SEI Institutional Managed Trust
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)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
155 Federal
Street
Boston, MA 02110
(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, 2014
Date of reporting period: September 30, 2014
| Item 1. |
Reports to Stockholders. |
September 30, 2014
ANNUAL REPORT
SEI Institutional Managed Trust
† Large Cap Fund
† Large Cap Value Fund
† Large Cap Growth Fund
†
Tax-Managed Large Cap Fund
† S&P 500 Index Fund
† Small Cap Fund
† Small Cap Value Fund
† Small Cap Growth Fund
† Tax-Managed Small/Mid Cap 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
† U.S. Fixed Income Fund
† High Yield Bond Fund
† Real Return Fund
† Multi-Strategy Alternative Fund
† Multi-Asset Accumulation Fund
† Multi-Asset Income Fund
† Multi-Asset Inflation Managed Fund
† Multi-Asset Capital Stability Fund
TABLE OF CONTENTS
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.
LETTER TO SHAREHOLDERS
To our Shareholders:
This annual report covers the one-year period ended September 30, 2014. Most
asset classes performed well in the first half of the Funds’ fiscal year, as the economic outlook brightened and volatility ebbed to very low levels. This shifted significantly in the second and third quarters of 2014, however, as global growth
projections were ratcheted down and concerns rose about economic conditions in the euro area, China and Japan. Despite the higher volatility of the last six months, most asset classes provided positive returns over the Funds’ full fiscal year.
Geopolitical events
There were several
important geopolitical developments during the Funds’ fiscal year. One of the most relevant occurred in Eastern Europe, where Russia’s annexation of the Crimean Peninsula and subsequent tensions with Ukraine had a negative impact on
certain areas of the market. Worries about an outbreak of Ebola in Western Africa and the subsequent spread of the virus to Europe and the U.S. played a prominent role in news headlines from the summer of 2014 through the end of the Funds’
reporting period. At present, Ebola seems unlikely to have a significant impact on the global economy. However, there was an interesting correlation between Ebola-related headlines and market volatility during the third quarter of 2014; while quite
possibly coincidental, it might reflect heightened anxiety among investors given the somewhat uncertain state of global economic policies and growth. There has also been severe unrest in certain areas of the Middle East; while conflicts in Iraq and
Syria have taken a terrible human toll, they have not had a significant impact on global markets or the global economy.
Economic performance
— Global
For the period, global economic growth continued but remained frustratingly slow, while near-term growth estimates were revised
downward. Growth, inflation and interest-rate expectations fluctuated quite a bit over the period, leading to higher volatility in several asset classes, as discussed below. Overall, we believe the global economic recovery remains a work in
progress.
Economic performance — United States
In the U.S., the steady but largely uninspiring growth of recent years was interrupted by a sharp acceleration in the fourth quarter of 2013, stoking fears of tighter monetary policy and higher interest
rates from the Federal Reserve (“Fed”). This was followed by a sudden and unexpected contraction in the first quarter of 2014, which raised concerns over the durability of the current economic expansion. However, a solid rebound in
economic activity during the second quarter of 2014 indicated that the slowdown was largely caused by harsh winter conditions in certain regions of the country. Housing continued to recover early in the period, but then conditions softened. The
Case-Shiller Index of home prices continued to rise from its early-2012 low until the spring of 2014, after which it flattened out and declined slightly. Homebuilder sentiment, according to the National Association of Homebuilders, began the period
strongly, softened from February through May 2014, then recovered over the rest of the year, reaching a nine-year high in September 2014. There were encouraging signs around U.S. consumers during 2014. Auto sales continued to steadily climb from the
depths of 2009, finally returning to levels that preceded the financial crisis. Consumer credit continued to recover from its 2010 trough and was boosted by a second-quarter 2014 revival of revolving credit growth, which tends to reflect (and
support) consumer purchases. This dynamic was supported by solid labor-market improvements during 2014. Layoffs continued to decline and, in September 2014, the U.S. unemployment rate fell below 6% for the first time since 2008. At the same time,
wage gains — and, as a result, inflation expectations — remained fairly muted; thus, the Fed should be able to take a slow and measured approach to tightening monetary policy. That said, the Fed spent 2014 reducing its monthly bond
purchases in order to wind down its quantitative-easing programs. And as labor-market and other economic data continued to improve, markets began to price in the beginning of Fed interest-rate hikes. This, along with growing weakness in the eurozone
in the second half of 2014 and rising expectations that the European Central Bank (“ECB”) could be forced to ease policy and weaken the euro, helped put a strong bid under the dollar. The greenback appreciated sharply against most other
currencies during the third quarter of 2014, an event that put downward pressure on asset classes such as commodities and Treasury Inflation Protected Securities (“TIPS”).
While the U.S. economic expansion now appears to be well established, we expect the Fed to take a very cautious approach toward policy normalization as long as inflation pressures remain subdued.
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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Economic performance — Europe
Encouraging signs were seen in Europe for most of the period. The U.K. remained on the solid economic trajectory it has enjoyed since the end of 2012, resulting in notable labor-market improvements. Layoffs
and unemployment both declined nicely during the reporting period. Wage increases remained subdued, however. This should help keep a lid on inflation and allow the Bank of England (“BoE”) to take a measured approach to tightening monetary
policy. Gilt yields rose toward the end of 2013 on rising optimism, but gradually declined over the rest of the period on faltering expectations for both growth (especially in the euro area) and central-bank tightening (most notably in the U.K. and
the U.S.). U.K. stocks were largely flat and exhibited increasing volatility toward the end of the period. In late 2013 and early 2014, the euro area’s economy finally appeared to be rebounding from the stubborn recession that began in 2011.
Inflation remained quite tame despite the rebound — so tame, in fact, that concerns over the risk of deflation were reignited in recent months. Euro-area government bonds performed well during the period, with falling interest rates and
narrower spreads between the yields on core and periphery issuers (such as Germany and Greece, respectively). Unfortunately, some worrying signs surfaced again toward the end of the Funds’ fiscal year, as Italy, France and some smaller national
economies appeared to be at risk of reentering recession. Even Germany, the currency union’s stalwart in recent years, showed some signs of sputtering toward the end of the third quarter. While leaders of the European Central Bank
(“ECB”) and International Monetary Fund have observed in recent months that the eurozone appears to be in need of further fiscal and/or monetary easing, the European Commission and Germany have thus far been resistant to such calls. The
resulting uncertainty led to spread widening in September, reflecting renewed risk aversion among investors. European stocks performed well from October 2013 to July 2014; since then, through the end of September, they gave up much of those gains.
Economic performance — Asia Pacific
In the Asia-Pacific region, Japan’s long-moribund economic growth showed signs of revival following implementation of the new prime minister’s
economic policies in 2013. However, a sharp hike in the national consumption tax in April 2014 appeared to undermine the country’s momentum for the rest of the reporting period. Another hike in the tax, along with comprehensive economic
reforms, are still under consideration. As a result, Japan’s economic performance could rely heavily on government-policy decisions in coming quarters and years. Like parts of the eurozone, China gave investors cause for concern over the
reporting period. The government is attempting to rebalance the country’s economy by lessening its dependence on export and low-value added manufacturing activities in favor of domestic consumption. The government has also been taking a strong
stand against corrupt business and financial practices. While these efforts should prove positive in the long term, they — along with rising overall debt levels within the country — added to the general uncertainty surrounding China’s
economy over the past year. This uncertainty had a notable impact on commodity prices during the period.
Market developments — Equities
Global equity markets, as reflected by the MSCI All-Country World Index (“ACWI”), performed well before enduring a September swoon at
the end of the Funds’ reporting period. U.S. large-cap stocks performed even better and managed to avoid a steep selloff in September. U.S. small-cap stocks were a different story; they struggled to produce positive gains over most of the
period and were caught up in the September downdraft; in the second half of the month, the small-cap Russell 2000 Index underperformed both U.S. large caps (Russell 1000 Index) and the MSCI ACWI.
Sector performance was mixed both globally and in the U.S. Globally (MSCI ACWI), consumer discretionary, energy, materials and industrials tended to
underperform among larger-cap stocks. In the U.S., as measured by the Russell 1000 Index, extreme optimism was reflected in growth names at the start of 2014, especially in biotechnology and certain information technology stocks. This reversed
abruptly in the middle of the first quarter, and markets saw strong rotation out of high-momentum stocks and into prior laggards. Biotech and technology quickly returned to form for the rest of the period, however. Cyclical sectors did not fare as
well; consumer discretionary was a laggard, as were energy, industrials and materials. Utilities and telecommunications also lagged over the period, while health care performed well. Homebuilders were down slightly as a group, reflecting the slower
pace of recovery seen in the U.S. housing market; homebuilder stocks did not participate in the recovery of homebuilder sentiment seen during the second half of the period.
Within small-cap U.S. stocks, as represented by the Russell 2000 Index, health care and biotech were strong performers. In small-cap value stocks (Russell 2000 Value Index), utilities and health care
performed well, while consumer discretionary and telecommunications lagged.
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SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Consumer discretionary also lagged in the small-cap growth space (Russell 2000 Growth Index), as did industrials; consumer staples were strong. In the small-and-mid-cap space (Russell 2500
Index), healthcare led the way while technology lagged. Healthcare and telecommunications were the best-performing sectors within the Russell Midcap Index, while technology lagged.
Although normally sensitive to the threat of rising interest rates, real estate investment trusts (“REIT’s”), as measured by Wilshire Real Estate Securities Index (“RESI”), performed
well for the period despite also succumbing to the September swoon. Within the Wilshire RESI, the industrial and health care spaces lagged over the full-year period, while hotel and residential REIT’s performed well.
Regionally, the U.S. was once again a strong performer, although small-cap stocks (as represented by the Russell 2000 Index) notably underperformed large-cap
stocks (the Russell 1000 Index) for the first time in several years. French and Japanese equity markets (as reflected by the MSCI France and MSCI Japan Indexes) were notable laggards over the full 12-month period.
Market developments — Fixed Income
After a
difficult 2013, U.S. Treasurys performed well in 2014, as global growth and inflation expectations were lowered, and investors became more risk-averse in light of economic uncertainties in Europe and China, falling global growth and inflation
expectations, and the Fed’s current and expected tightening of U.S. monetary policy. Treasurys were also boosted by periodic geopolitical flareups, especially in Russia and Ukraine. The Treasury yield curve, which plots the current yield on
Treasurys of different maturities (from as short as one month to as long as thirty years), flattened during the period. Shorter-term yields rose in response to expectations that the Fed would eventually begin hiking interest rates, while long-term
yields fell on softening economic and inflation expectations. As a result, certain Funds benefitted from curve-flattening positions while short-duration positions detracted.
Inflation-linked bonds struggled for the most part. TIPS, which are impacted negatively by both rising interest rates and falling inflation, have generally underperformed since the spring of 2013. They did
rebound somewhat in the first half of 2014 before selling off again in September, as inflation expectations fell while markets continued to expect higher interest rates in 2015. As a result, TIPS holdings detracted from some of our Funds’
results.
Spread sectors — areas of the market that offer a higher yield than government debt in return for assuming more credit risk
(including corporate, mortgage-backed and asset-backed securities as well as bank loans) — once again outperformed over the reporting period. They experienced heightened volatility, however, especially during the third quarter of 2014, when
they underperformed on geopolitical tensions, concerns about Fed tightening and a sharp increase in risk aversion.
Corporate debt performed well
over the full 12-month period thanks to supportive economic fundamentals, healthy investor demand and limited new issuance. Within corporates, large financial issuers performed well thanks to several factors; they tend to benefit from a steep yield
curve and, despite the curve flattening that occurred during the period, the yield curve remained steep relative to historic norms. Larger financial issuers tend to have better access to capital markets during periods of risk aversion and
illiquidity, which we saw at times during in the third quarter of 2014. In this period, they also continued to strengthen their balance sheets in response to stronger financial regulations and their collective profitability continued to improve.
Non-agency mortgage-backed securities (“MBS”) continued to perform well, thanks to ongoing improvements in housing fundamentals, such
as rising home prices and lower default rates. Demand for MBS also remained healthy while new supply was limited. Agency MBS performance was more mixed, as Fed purchases kept them close to fairly valued, while concerns about the Fed tapering its
asset-purchase program caused periods of volatility. Commercial mortgage-backed securities (“CMBS”) did well, as commercial real estate enjoyed a dual tailwind of improving operating performance and rising property values. Asset-backed
securities (“ABS”) also performed well, thanks to the continued improvement in auto sales and credit-card activity.
High-yield
corporates (which are below investment grade and carry greater credit risk) performed well from October 2013 through June 2014 before encountering some turbulence. They were caught up in the flight-to-safety trade during July, rebounded strongly in
August, and fell below their July lows during September in a volatile, saw-tooth fashion. Their full-year performance was still positive and, thanks to higher coupon income, better than the overall investment-grade fixed income market when measured
by the BofA Merrill Lynch U.S. High Yield Constrained Index and the Barclays U.S. Aggregate Bond Index. Bank loans and collateralized loan obligations (“CLO”) exhibited return patterns similar to
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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high yield during the period. Strong new issuance in the space, reflecting improved lending activity, was met with robust investor demand. The floating-rate feature of most loan-related
securities was attractive to investors who were concerned that the Fed would begin hiking rates in the near future.
Market developments —
Commodities
After falling during the last quarter of 2013, commodity prices (as measured by the Reuters/Jefferies CRB Index, for example) rose
during the first quarter of 2014 but then fell sharply between June and the end of September on slower growth in China, recession fears in the eurozone and a significantly stronger U.S. dollar. A spike in natural gas prices and renewed interest in
gold during the first quarter of 2014 provided a sharp but short-lived reprieve. From the summer until the end of September 2014, commodities fell back to their October 2013 levels.
Our view
We believe the global economic recovery remains a work in progress. Economic expansions in
North America and the U.K. seem to be well established, and we expect the Fed and the BoE to take cautious approaches toward policy normalization as long as inflation pressures remain subdued. In contrast to the extremely low levels of risk aversion
seen for most of the Funds’ fiscal year, the more-normal volatility levels of the third quarter could remain in place as markets digest diverging central-bank policies and other causes of uncertainty.
On behalf of SEI, I want to thank you for your confidence in the SEI Institutional Managed Trust. We are dedicated to helping our investors reach their
long-term objectives, and we look forward to serving your investment needs in the future.
Sincerely,
William Lawrence, CFA
Managing Director, Portfolio Management Team
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SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Large Cap Fund
I. Objective
The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II.
Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches
to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: AQR Capital Management, LLC, AJO,
L.P., Brown Advisory LLC, Jackson Square Partners, LLC, LSV Asset Management, and Waddell + Reed Investment Management Company. During the one-year period ending September 30, 2014 Delaware Investments Fund Advisers, a series of Delaware Management
Business Trust, and WestEnd Advisors, LLC were terminated from the Fund; Jackson Square Partners, LLC was hired.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Large Cap Fund, Class A, underperformed the Russell 1000 Index (the “Index”),
returning 16.96% versus the Index return of 19.01%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, telecommunications and utilities stocks lagged. The Fund’s underweights to these two sectors boosted results for the period while stock selection in
information technology dragged on results (mainly within hardware & equipment). Selection was also challenged in energy and consumer discretionary (particularly within media and consumer durables). As also observed in the shareholder letter, the
largest companies in the benchmark led performance for the period; the Fund’s overweight exposure to smaller-capitalization stocks hurt performance as a result.
Stock selection across a few sectors weighed on Fund performance for the period, although sector allocations gave a marginal boost to results.
Over the full 12-month period, all of the Fund’s sub-advisers except for AQR Capital Management, LLC underperformed the benchmark.
Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
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One Year
Return |
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Annualized
3
Year
Return |
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Annualized
5
Year
Return |
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Annualized
Inception
to Date |
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| Large Cap Fund, Class A |
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16.96% |
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22.64% |
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14.60% |
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14.60% |
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| Russell 1000 Index |
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19.01% |
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23.23% |
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15.90% |
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15.89% |
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index
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For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. Returns shown
do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and
reimbursements, performance would have been lower. |
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Large Cap Value Fund
I. Objective
The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Multi-Manager Approach Statement
The Fund uses a
multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund
utilized the following sub-advisers as of September 30, 2014: AJO, L.P., Brandywine Global Investment Management LLC, Lazard Asset Management LLC and LSV Asset Management. During the one-year period ending September 30, 2014, Brandywine Global
Investment Management was hired by the Fund and Tocqueville Asset Management, LP was terminated.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Large Cap Value Fund, Class A, underperformed the Russell 1000 Value Index (the “Index”),
returning 18.55% versus the Index return of 18.89%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, information technology stocks performed well while utilities lagged. The Fund’s overweight to the information technology sector was beneficial, as was an
underweight to utilities. Stock selection in the materials sector dragged on results, mainly within the paper segment. Selection in the consumer discretionary sector was also challenged within both the media and auto segments. As also observed in
the shareholder letter, the largest companies in the benchmark led performance for the period; the Fund’s overweight exposure to smaller-capitalization stocks hurt performance as a result.
Stock selection across a few sectors weighed on Fund performance for the period, although sector allocations gave a marginal boost to results.
Over the full 12-month period, sub-advisers LSV Asset Management and Brandywine Global Investment Management outperformed the benchmark, while AJO, LP,
Lazard Asset Management, LLC and Tocqueville Asset Management, LP underperformed.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
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One Year
Return |
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Annualized
3 Year
Return |
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Annualized
5 Year
Return |
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Annualized
10 Year
Return |
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Annualized
Since
Inception |
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| Large Cap Value Fund, Class A |
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18.55% |
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23.80% |
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14.85% |
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7.16% |
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9.34% |
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| Large Cap Value Fund, Class I |
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18.22% |
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23.51% |
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14.58% |
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6.91% |
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9.03% |
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| Russell 1000 Value Index |
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18.89% |
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23.93% |
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15.26% |
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7.84% |
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10.17% |
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the
Russell 1000 Value Index
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For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 10/3/94 and Class I
Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
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SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Large Cap Growth Fund
I. Objective
The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.
II.
Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches
to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: Brown Advisory LLC, INTECH Investment
Management, LLC, and Jackson Square Partners, LLC. During the one-year period ending September 30, 2014 Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, was terminated from the Fund, and Jackson Square Partners,
LLC was hired.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Large Cap Growth Fund, Class A, underperformed the Russell 1000 Growth Index (the “Index”),
returning 14.51% versus the Index return of 19.15%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, health care was a strong-performing sector, while consumer discretionary lagged. The Fund’s overweight to the former and underweight to the latter boosted
results marginally. As also observed in the shareholder letter, the largest companies in the benchmark led performance for the period; the Fund’s overweight exposure to smaller-capitalization stocks hurt performance as a result.
Stock selection across a number of sectors detracted from Fund performance over the period. The most significant drag came from the strong-performing
information technology sector, where selection was challenged in the technology hardware & equipment segment. The Fund’s sub-advisers also struggled with selection within the lagging energy and industrials sectors.
Over the full 12-month period, all of the Fund’s current sub-advisers underperformed the benchmark.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
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One Year
Return |
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Annualized
3 Year
Return |
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Annualized
5 Year
Return |
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Annualized
10 Year
Return |
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Annualized
Inception
to Date |
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| Large Cap Growth Fund, Class A |
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14.51% |
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20.80% |
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14.85% |
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7.68% |
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8.00% |
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| Large Cap Growth Fund, Class I |
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14.28% |
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20.53% |
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14.60% |
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7.43% |
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7.67% |
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| Russell 1000 Growth Index |
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19.15% |
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22.45% |
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16.50% |
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8.94% |
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8.95% |
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the
Frank Russell 1000 Growth Index
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1 |
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For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I
Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Tax-Managed Large Cap Fund
I. Objective
The Tax-Managed Large Cap Fund (the “Fund”) aims to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a
multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund
utilized the following sub-advisers as of September 30, 2014: AQR Capital Management, LLC, AJO, L.P., Brown Advisory LLC, Jackson Square Partners, LLC, LSV Asset Management, Parametric Portfolio Associates LLC, and Waddell + Reed Investment
Management Company. During the one-year period ending September 30, 2014, Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, and WestEnd Advisors, LLC were terminated from the Fund; Jackson Square Partners, LLC was
hired.
III. Return vs. Benchmark
For the
fiscal year ending September 30, 2014, the Tax-Managed Large Cap Fund, Class A, underperformed the Russell 1000 Index (the “Index”), returning 17.63%, versus the Index return of 19.01%.
IV. Fund Attribution
As noted in the enclosed
shareholder letter, telecommunications and utilities lagged. The Fund’s underweights to those sectors boosted results as a result. Stock selection in information technology (primarily within software & services and hardware & equipment)
dragged on results. Selection in financials was also challenged, particularly within the diversified financials segment. As also observed in the shareholder letter, the largest companies in the benchmark led performance for the period; the
Fund’s overweight exposure to smaller-capitalization stocks hurt performance as a result.
Stock selection across a few sectors weighed on
Fund performance for the period, although sector allocations gave a marginal boost to results.
Over the full 12-month period, all of the
Fund’s sub-advisers except for AQR Capital Management, LLC and LSV Asset Management underperformed the benchmark.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Tax-Managed Large Cap Fund, Class A |
|
|
17.63% |
|
|
|
23.17% |
|
|
|
15.06% |
|
|
|
7.66% |
|
|
|
5.11% |
|
| Tax-Managed Large Cap Fund, Class T‡ |
|
|
18.05% |
|
|
|
23.53% |
|
|
|
15.45% |
|
|
|
8.01% |
|
|
|
5.36% |
|
| Russell 1000 Index |
|
|
19.01% |
|
|
|
23.23% |
|
|
|
15.90% |
|
|
|
8.46% |
|
|
|
6.19% |
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A
and Class T‡, versus the Russell 1000 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 3/5/98 and Class Y
Shares were offered beginning 4/8/02. The performance of Class Y Shares prior to 4/8/02 is calculated using the performance of the fund’s Class A Shares adjusted for the lower expenses of the Class Y Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
| |
‡ |
|
Effective August 7, 2014, Class Y shares were redesignated as Class T shares. This share class change had no impact on the Fund’s operations or
investment policy. |
|
|
|
| 8 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
S&P 500 Index Fund
I. Objective
The S&P 500 Index Fund (the “Fund”) seeks to achieve investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.
II. Multi-Manager Approach Statement
The Fund uses a
sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). The sole sub-adviser as of September 30, 2014 was SSgA Funds Management, Inc. There were no sub-advisor changes during the period.
III. Return vs. Benchmark
For the fiscal
year ending September 30, 2014, the S&P 500 Index Fund, Class A, underperformed the S&P 500 Index (the “Index”), returning 19.23% versus the Index return of 19.73%.
IV. Fund Attribution
The Fund’s performance followed a pattern similar to the performance of the
S&P 500 Index since it invested in the same securities with generally the same weights. From a sector perspective, information technology and health care led the advance, while telecommunications, consumer discretionary and energy lagged
materially.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| S&P 500 Index Fund, Class A |
|
|
19.23% |
|
|
|
22.51% |
|
|
|
15.29% |
|
|
|
7.70% |
|
|
|
7.76% |
|
| S&P 500 Index Fund, Class I |
|
|
18.95% |
|
|
|
22.24% |
|
|
|
15.04% |
|
|
|
7.45% |
|
|
|
7.47% |
|
| S&P 500 Index |
|
|
19.73% |
|
|
|
22.99% |
|
|
|
15.70% |
|
|
|
8.11% |
|
|
|
8.20% |
|
Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A and Class I,
versus the S&P 500 Index
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
9 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
S&P 500 Index Fund (Concluded)
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| S&P 500 Index Fund, Class E |
|
|
19.42% |
|
|
|
22.73% |
|
|
|
15.49% |
|
|
|
7.88% |
|
|
|
10.55% |
|
| S&P 500 Index |
|
|
19.73% |
|
|
|
22.99% |
|
|
|
15.70% |
|
|
|
8.11% |
|
|
|
8.20% |
|
Comparison of Change in the Value of a $5,000,000 Investment in the S&P 500 Index Fund, Class E, versus the
S&P 500 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares
were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. The performance of Class I Shares prior to 6/28/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I
Shares. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
|
|
|
|
| 10 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Small Cap Fund
I. Objective
The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager
Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage
portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: AllianceBernstein, L.P., AQR Capital
Management, LLC, Fiduciary Management Associates, LLC, Integrity Asset Management, LLC, J.P. Morgan Investment Management Inc., Montibus Capital Management, LLC, Robeco Investment Management, Inc., and William Blair + Company LLC. During the
one-year period ending September 30, 2014, Montibus Capital Management LLC changed its name from Timberline Asset Management LLC.
III. Return
vs. Benchmark
For the fiscal year ending September 30, 2014, the Small Cap Fund, Class A, outperformed the Russell 2000 Index (the
“Index”), returning 4.38% versus the Index return of 3.93%.
IV. Fund Attribution
The Fund outperformed its benchmark through strong stock selection across a number of sectors. Sector positioning was neutral for the full period. As noted
in the enclosed shareholder letter, within the Russell 2000 Index, utilities and health care were two of the top-performing sectors for the period. The Fund’s sub-advisers found ample opportunities within health care, especially in
biotechnology. Results in industrials were strong; an overweight to and selection in transportation were especially helpful. The Fund struggled with stock selection in the information technology sector, particularly within the lagging software
industry.
Five out of eight of the Fund’s sub-advisers outperformed over the full fiscal year, led by Integrity Asset Management, LLC and
AQR Capital Management, LLC. J.P. Morgan Investment Management Inc. and William Blair & Company, LLC were the largest underperformers.
Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Small Cap Fund, Class A |
|
|
4.38% |
|
|
|
21.55% |
|
|
|
13.38% |
|
|
|
13.38% |
|
| Russell 2000 Index |
|
|
3.93% |
|
|
|
21.26% |
|
|
|
14.29% |
|
|
|
14.28% |
|
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. Returns shown
do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and
reimbursements, performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
11 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Small Cap Value Fund
I. Objective
The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.
II.
Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches
to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: Artisan Partners Limited Partnership,
Fiduciary Management Associates, LLC, Lee Munder Capital Group LLC, LSV Asset Management, Martingale Asset Management, L.P., Robeco Investment Management, Inc., Security Capital Research + Management Incorporated, and William Blair + Company, LLC.
No sub-advisers were added to or terminated from the Fund during the one-year period ending September 30, 2014.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Small Cap Value Fund, Class A, outperformed the Russell 2000 Value Index (the
“Index”), returning 4.54% versus the Index return of 4.13%.
IV. Fund Attribution
The Fund outperformed its benchmark through strong stock selection across a number of sectors, while sector positioning detracted marginally. As noted in the
enclosed shareholder letter, within the Russell 2000 Value Index, the consumer discretionary and telecommunications sectors lagged while health care and utilities performed well. The Fund’s underweight to consumer discretionary helped, but an
underweight to the rallying utilities sector weighed on results. Strong stock selection in industrials was the most meaningful contributor to performance, with strong results in transportation and capital goods. Strong selection in the
top-performing health care sector also boosted results, mainly through strong results within the health care equipment & services industry. The Fund’s sub-advisers were also able to add value through their stock selection in the
telecommunications sector, despite the sector meaningfully lagging the Russell 2000 Value Index. Selection was weak in the materials sector, particularly in the packaging industry.
Five of the Fund’s eight sub-advisers outperformed the benchmark over the Fund’s fiscal year led by
LSV Asset Management and Security Capital Research & Management Incorporated. Artisan Partners Limited Partnership and Robeco Investment Management, Inc. were the largest underperformers.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Small Cap Value Fund, Class A |
|
|
4.54% |
|
|
|
20.19% |
|
|
|
12.93% |
|
|
|
7.55% |
|
|
|
10.39% |
|
| Small Cap Value Fund, Class I |
|
|
4.29% |
|
|
|
19.95% |
|
|
|
12.69% |
|
|
|
7.30% |
|
|
|
10.06% |
|
| Russell 2000 Value Index |
|
|
4.13% |
|
|
|
20.61% |
|
|
|
13.02% |
|
|
|
7.25% |
|
|
|
10.76% |
|
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the
Russell 2000 Value Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I
Shares were offered beginning 2/11/02. The performance of Class I Shares prior to 2/11/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
| 12 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Small Cap Growth Fund
I. Objective
The Small Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.
II.
Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches
to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: AllianceBernstein, L.P., AQR Capital
Management, LLC, Janus Capital Management, LLC, J.P. Morgan Investment Management Inc. and Montibus Asset Management, LLC. During the one-year period ending September 30, 2014, Montibus Capital Management, LLC changed its name from Timberline Asset
Management, LLC.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Small Cap Growth Fund, Class A, outperformed the Russell 2000 Growth Index (the “Index”),
returning 5.36% versus the Index return of 3.79%.
IV. Fund Attribution
The Fund outperformed its benchmark through strong stock selection across a number of sectors, while sector positioning had a neutral impact over the full period. As noted in the enclosed shareholder letter,
in the Russell 2000 Growth Index, consumer discretionary and industrials lagged while consumer staples outperformed. As a result, the Fund’s underweight to discretionary stocks boosted results; however, this was offset by an underweight to
staples. Stock selection was the predominant driver of results and was led by strong selection in health care sector, especially within biotechnology. Strong selection in industrials — especially capital goods and transportation — also
boosted results, despite the sector lagging behind the Index. Selection within technology detracted, especially in semiconductors.
All but one of
the Fund’s sub-advisers outperformed over the full fiscal year, led by AQR Capital Management LLC. J.P. Morgan Investment Management Inc. underperformed.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Small Cap Growth Fund, Class A |
|
|
5.36% |
|
|
|
22.44% |
|
|
|
15.00% |
|
|
|
6.51% |
|
|
|
9.20% |
|
| Small Cap Growth Fund, Class I |
|
|
5.10% |
|
|
|
22.15% |
|
|
|
14.72% |
|
|
|
6.24% |
|
|
|
8.88% |
|
| Russell 2000 Growth Index |
|
|
3.79% |
|
|
|
21.91% |
|
|
|
15.51% |
|
|
|
9.03% |
|
|
|
7.48% |
|
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the
Russell 2000 Growth Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 4/20/92 and Class I
Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 08/06/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
13 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Tax-Managed Small/Mid Cap Fund
I. Objective
The Tax-Managed Small/Mid Cap Fund (the “Fund”) seeks to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of
September 30, 2014: AllianceBernstein, L.P., J.P Morgan Investment Management Inc., Lee Munder Capital Group, LLC, Parametric Portfolio Associates LLC, Wellington Management Company, LLP and William Blair + Company, LLC. During the one-year period
ending September 30, 2014, LSV Asset Management was terminated from the Fund.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Tax-Managed Small/Mid Cap Fund, Class A, underperformed the Russell 2500 Index (the “Index”),
returning 8.44% versus the Index return of 8.97%
IV. Fund Attribution
As noted in the enclosed shareholder letter, within the Russell 2500 Index, healthcare led while technology lagged. The Fund underperformed its benchmark despite strong stock selection across a number of
sectors; sector positioning had a neutral impact over the full period. Weak selection in consumer discretionary and telecommunications weighed on results, although strong selection in health care (especially in biotechnology and equipment &
services) and information technology (hardware & equipment in particular) partially mitigated the impact.
Three out of the Fund’s seven
sub-advisers outperformed over the full reporting period, led by LSV Asset Management and J.P. Morgan Investment Management Inc. AllianceBernstein, L.P., William Blair + Company, LLC and Parametric Portfolio Associates LLC were the largest
underperformers.
Tax-Managed Small/Mid Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Tax-Managed Small/Mid Cap Fund, Class A |
|
|
8.44% |
|
|
|
21.63% |
|
|
|
14.80% |
|
|
|
7.75% |
|
|
|
6.67% |
|
| Russell 2500 Index |
|
|
8.97% |
|
|
|
22.80% |
|
|
|
15.99% |
|
|
|
9.45% |
|
|
|
8.38% |
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund, Class A, versus the Russell
2500 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower |
|
|
|
| 14 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Mid-Cap Fund
I. Objective
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a
multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the
following sub-advisers as of September 30, 2014: J.P. Morgan Investment Management Inc., Lee Munder Capital Group, LLC, and Quantitative Management Associates LLC. No sub-advisers were added to or terminated from the Fund during the one-year period
ending September 30, 2014.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Mid-Cap Fund, Class A, underperformed the Russell Midcap Index (the “Index”), returning 15.28% versus the Index return of 15.83%.
IV. Fund Attribution
The Fund underperformed the
Russell Midcap Index due to challenged stock selection and a headwind from sector allocation. As noted in the enclosed shareholder letter, healthcare and telecommunications were the best-performing sectors within the Russell Midcap Index while
technology lagged. The Fund’s underweight in telecommunications detracted, offsetting the positive impact of an overweight to the health care sector. Within consumer staples, stock selection was especially challenged in the food, beverage &
tobacco industry. Weak selection within consumer durables also detracted. Strong stock selection in the financials sector, primarily in real estate, was a bright spot, as was selection in health care (biotechnology and life sciences).
Sub-adviser Quantitative Management Associates LLC outperformed the Russell Midcap Index over the Fund’s full fiscal year. Lee Munder Capital Group, LLC
underperformed, and J.P. Morgan Investment Management Inc. performed roughly in line with the Index.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Mid-Cap Fund, Class A |
|
|
15.28% |
|
|
|
24.26% |
|
|
|
15.86% |
|
|
|
9.18% |
|
|
|
10.21% |
|
Mid-Cap Fund,
Class I |
|
|
15.01% |
|
|
|
23.96% |
|
|
|
15.58% |
|
|
|
8.91% |
|
|
|
9.90% |
|
| Russell Midcap Index |
|
|
15.83% |
|
|
|
23.79% |
|
|
|
17.19% |
|
|
|
10.34% |
|
|
|
11.37% |
|
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell
Midcap Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 2/16/93 and Class I
Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
15 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
U.S. Managed Volatility Fund
I. Objective:
The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement:
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30,
2014: AJO, L.P., Analytic Investors, LLC and LSV Asset Management.
III. Return vs. Benchmark:
For the fiscal year ending September 30, 2014, the U.S. Managed Volatility Fund, Class A, outperformed the Russell 3000 Index (the “Index”),
returning 18.68% versus the Index return of 17.76%.
IV. Fund Attribution:
As noted in the enclosed shareholder letter, U.S. equity market investors’ risk appetites were somewhat volatile over the reporting period. Increasing optimism led to higher-volatility stocks in the
Russell 3000 Index outperforming from the fourth quarter of 2013 into 2014, but later in the first quarter, this trend reversed dramatically. This pattern repeated in the second half of the Fund’s fiscal year, as lower-volatility names lagged
in the second quarter but outperformed in the third. For the fiscal year, the Fund achieved its objective of earning returns similar to the stock market but with less volatility, as measured by standard deviation. The standard deviation of the
Fund’s returns was 19% lower than that of the Index. (Standard deviation is a statistical measure of how widely returns are dispersed around their average). Although not normally expected in periods where the stock market rallies, the Fund
outperformed the Russell 3000 Index, as lower-volatility stocks outperformed for the full 12-month period. From a sector perspective, strong stock selection in consumer staples, health care and industrials explain most of the outperformance. The
Fund’s underweight to information technology and challenged selection in financials were the biggest detractors.
All three of the
Fund’s sub-advisers outperformed the benchmark over the Fund’s fiscal year, led by LSV Asset Management.
|
|
|
| 16 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| U.S. Managed Volatility Fund, Class A |
|
|
18.68% |
|
|
|
20.14% |
|
|
|
16.22% |
|
|
|
8.87% |
|
| U.S. Managed Volatility Fund, Class I |
|
|
18.35% |
|
|
|
19.82% |
|
|
|
15.94% |
|
|
|
8.54% |
|
| Russell 3000 Index |
|
|
17.76% |
|
|
|
23.08% |
|
|
|
15.78% |
|
|
|
8.34% |
|
Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus
the Russell 3000 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 10/28/04 and Class I
Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 06/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
17 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Global Managed Volatility Fund
I. Objective:
The Global Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad global equity markets.
II. Multi-Manager Approach Statement:
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30,
2014: Acadian Asset Management LLC and Analytic Investors, LLC. For the one-year period ending September 30, 2014, no sub-adviser changes were made in the Fund.
III. Return vs. Benchmark:
For the fiscal year ending September 30, 2014, the Global Managed Volatility
Fund, Class A, underperformed the MSCI World 100% USD Hedged Index (the “Index”), returning 13.97% versus the Index return of 15.21%.
IV. Fund Attribution:
As noted in the enclosed
shareholder letter, global equity markets performed well before enduring a September swoon at the end of the Funds’ reporting period. Global sector performance was mixed, with more cyclical sectors such as consumer discretionary, energy,
materials and industrials underperforming. Regionally, the U.S. outperformed, while France and Japan were laggards. For the fiscal year, the Fund successfully reached its objective of smoothing market volatility, as measured by standard deviation.
In currency-hedged terms, its standard deviation was approximately 30% lower than that of the MSCI World 100% USD Hedged Index. (Standard deviation is a statistical measure of how widely returns are dispersed around their average.) A low-risk
strategy with a focus on reduced downside participation is normally expected to lag during stock-market rallies, but the Fund managed to outperform the MSCI World 100% USD Hedged Index over the full period. Underweights to more cyclical
sectors—consumer discretionary, energy, materials and industrials—added value, while negative stock selection in health care hurt. An underweight to and stock selection in the U.S. detracted, while underweights to Japan and France, along
with selection in the U.K., were beneficial.
Both of the Fund’s sub-advisers outperformed over the Fund’s fiscal year, with Acadian Asset
Management LLC leading the way.
Derivatives were used by the Fund to equitize cash and hedge currency risk. They had a positive overall impact on
returns.
|
|
|
| 18 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Global Managed Volatility Fund, Class A |
|
|
13.97% |
|
|
|
14.66% |
|
|
|
10.54% |
|
|
|
3.77% |
|
| Global Managed Volatility Fund, Class I |
|
|
13.78% |
|
|
|
14.38% |
|
|
|
10.29% |
|
|
|
3.48% |
|
| MSCI World 100% USD Hedged Index |
|
|
15.21% |
|
|
|
19.55% |
|
|
|
11.53% |
|
|
|
5.79% |
|
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus
the MSCI World 100% USD Hedged Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 7/27/06 and Class I
Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 06/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
19 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Tax-Managed Managed Volatility Fund
I. Objective:
The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement:
The Fund uses
a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund
utilized the following sub-advisers as of September 30, 2014: Analytic Investors LLC, AJO, L.P., and LSV Asset Management.
III. Return vs.
Benchmark:
For the fiscal year ending September 30, 2014, the Tax-Managed Managed Volatility Fund, Class A, underperformed the Russell 3000 Index
(the “Index”), returning 17.33% versus the Index return of 17.76%.
IV. Fund Attribution:
As noted in the enclosed shareholder letter, U.S. equity market investors’ risk appetites were somewhat volatile over the reporting period. Increasing
optimism led to higher-volatility stocks outperforming from the fourth quarter of 2013 into 2014, but later in the first quarter, this trend reversed dramatically. This pattern repeated in the second half of the Fund’s fiscal year, as
lower-volatility names lagged in the second quarter but outperformed in the third. For the fiscal year, the Fund achieved its objective of earning returns similar to the stock market but with less volatility, as measured by standard deviation. The
standard deviation of the Fund’s returns was 19% lower than that of the Index. (Standard deviation is a statistical measure of how widely returns are dispersed around their average.) From a sector perspective, an underweight to consumer
discretionary and an overweight to health care added value. Selection in industrials and consumer staples also helped significantly. An underweight to information technology and poor selection in financials detracted.
|
|
|
| 20 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Tax-Managed Managed Volatility Fund, Class A |
|
|
17.33% |
|
|
|
19.07% |
|
|
|
15.81% |
|
|
|
8.46% |
|
| Russell 3000 Index |
|
|
17.76% |
|
|
|
23.08% |
|
|
|
15.78% |
|
|
|
7.07% |
|
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A, versus
the Russell 3000 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Fund shares were offered beginning 12/20/07. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
21 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Real Estate Fund
I. Objective
The Real Estate Fund (the “Fund”) seeks to provide total return, including current income and capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of
September 30, 2014: Center Square Investment Management (formerly, Urdang Capital Management Inc.) and Security Capital Research and Management, Inc. No sub-advisers were added to or terminated from the Fund during the one-year period ending
September 30, 2014.
III. Return vs. Benchmark
For the fiscal year period ending September 30, 2014, the Real Estate Fund, Class A, underperformed the Wilshire U.S. Real Estate Securities Index (the “Index”), returning 12.63% versus the Index
return of 13.48%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, within the Wilshire Real Estate Securities Index, the industrial and health care spaces lagged over the
full-year period while hotel and residential REITS performed well. Security selection was positive in many segments, but the Fund underperformed due to sector allocations. The most significant detractors were underweights to the outperforming hotel
and residential areas. An underweight to healthcare REITs and strong selection in the retail and office segments were beneficial.
Both of the
Fund’s sub-advisers underperformed the benchmark during the Fund’s full fiscal year.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
Real Estate Fund,
Class A |
|
|
12.63% |
|
|
|
14.99% |
|
|
|
14.68% |
|
|
|
7.68% |
|
|
|
8.91% |
|
Real Estate Fund,
Class I |
|
|
12.33% |
|
|
|
14.73% |
|
|
|
14.43% |
|
|
|
7.44% |
|
|
|
8.66% |
|
| Wilshire U.S. Real Estate Securities Index |
|
|
13.48% |
|
|
|
16.58% |
|
|
|
15.96% |
|
|
|
8.28% |
|
|
|
9.42% |
|
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire
U.S. Real Estate Securities Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 11/13/03 and Class I
Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
| 22 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Enhanced Income Fund
I. Objective
The Enhanced Income Fund (the “Fund”) seeks to provide capital appreciation and income.
II.
Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches
to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2014: Ares Management LLC and Wellington
Management Company, LLP. No manager changes were made during the fiscal year.
III. Return vs. Benchmark
For year fiscal year ended September 30, 2014, the Enhanced Income Fund, Class A, outperformed the BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index
(the “Index”), returning 1.69% versus the Index return of 0.24%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, most spread sectors outperformed over the full period, although they suffered some volatility in the third
quarter of 2014 and agency mortgage-backed securities struggled at times. Overall, the largest contributors to absolute and relative return were bank loans, non-agency mortgage backed securities (“MBS”) and commercial mortgage-backed
securities (“CMBS”). The bank-loan market performed well over the period, as credit spreads narrowed across the board. In the fourth quarter of 2013 and first quarter of 2014, the Fund’s allocation to bank loans contributed to
relative performance, as did an allocation to asset-backed securities (“ABS”). In ABS, autos, credit cards and equipment financing were particularly helpful. In the first quarter of 2014, the Fund’s allocations to non-agency MBS and
CMBS were positive contributors, while the allocation to agency MBS detracted. In the second quarter of 2014, non-agency MBS positions continued to perform well and contributed to performance, as did positions in agency MBS. During the third quarter
of 2014, the Fund’s meaningful exposure to bank loans detracted, but exposures to other high-quality spread sectors, such as non-agency MBS, were beneficial and helped to offset the losses in bank-loan holdings.
Both of the Fund’s sub-advisers outperformed the benchmark over the full fiscal year.
Enhanced Income Fund:
AVERAGE
ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
Enhanced Income Fund,
Class A |
|
|
1.69% |
|
|
|
3.15% |
|
|
|
3.40% |
|
|
|
(0.32)% |
|
Enhanced Income Fund,
Class I |
|
|
1.44% |
|
|
|
2.83% |
|
|
|
3.10% |
|
|
|
(0.65)% |
|
| BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index |
|
|
0.24% |
|
|
|
0.33% |
|
|
|
0.32% |
|
|
|
1.74% |
|
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the BofA
Merrill Lynch 3-Month LIBOR Constant Maturity Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 7/27/06 and Class I
Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 6/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
23 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of
September 30, 2014: Jennison Associates LLC, Metropolitan West Asset Management LLC, Wells Capital Management, Inc. and Western Asset Management Company. There were no manager changes during the period.
III. Return vs. Benchmark
For the fiscal year ended
September 30, 2014, the Core Fixed Income Fund, Class A, outperformed the Barclays U.S. Aggregate Bond Index (the “Index”), returning 5.14% versus the Index return of 3.96%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, spread products outperformed over the
full period, the yield curve flattened, and long-duration positioning worked well. The Fund’s overweight positions in corporate bonds, non-agency mortgage-backed securities and commercial mortgage-backed securities (“CMBS”) were the
key drivers of performance. High-yield debt also outperformed investment-grade corporates, and the Fund’s allocation to below-investment-grade credits was positive as a result. Within CMBS, the sub-advisers have concentrated on higher-quality
segments of the market. Non-agency mortgages continued to perform well thanks to an improving housing market, mortgage principal pay downs and a shrinking supply of these securities. The Fund’s yield-curve positioning (underweighting the front
or short end and overweighting the long end of the curve in the belief that the yield curve will flatten) enhanced returns, as short-term yields rose and long-term yields declined. Duration exposure that was shorter than the benchmark subtracted
from performance, as intermediate- and longer-term issues outperformed.
Over the full reporting period, all of the Fund’s sub-advisers outperformed the benchmark. Western Asset
Management Company did best, followed by Metropolitan West Asset Management LLC, Wells Capital Management, Inc. and Jennison Associates LLC.
To
obtain exposure to the CMBS sector, the Fund sometimes used credit default swaps to help partially hedge risks associated with these securities. These had a slightly positive effect on returns. Treasury futures were utilized to help manage the
Fund’s duration and yield-curve exposure; these positions did not have a significant effect on performance.
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Core Fixed Income Fund, Class A |
|
|
5.14% |
|
|
|
4.16% |
|
|
|
6.36% |
|
|
|
5.09% |
|
|
|
6.59% |
|
| Core Fixed Income Fund, Class I |
|
|
4.91% |
|
|
|
3.93% |
|
|
|
6.13% |
|
|
|
4.84% |
|
|
|
6.18% |
|
| Barclays U.S. Aggregate Bond Index |
|
|
3.96% |
|
|
|
2.43% |
|
|
|
4.12% |
|
|
|
4.62% |
|
|
|
6.80% |
|
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the
Barclays U.S. Aggregate Bond Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 5/1/87 and Class I
Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
| 24 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
U.S. Fixed Income Fund
I. Objective
The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30,
2014: Jennison Associates LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management Inc. and Western Asset Management Company. There were no manager changes in the period.
III. Return vs. Benchmark
For the fiscal year ending
September 30, 2014, the U.S. Fixed Income Fund, Class A underperformed the Barclays U.S. Aggregate Bond Index (the “Index”), returning 3.91% versus the Index return of 3.96%.
IV. Fund Attribution
As noted in the enclosed shareholder letter, spread products outperformed over the
full period, the yield curve flattened, and long-duration positioning worked well. The Fund’s overweight positions in corporate bonds, non-agency mortgage-backed securities (non-agency MBS) and commercial mortgage-backed securities
(“CMBS”) were the key drivers of performance. Within CMBS, the sub-advisers have concentrated on higher-quality segments of the market. Non-agency mortgages continued to perform well thanks to an improving housing market, mortgage
principal pay downs and a shrinking supply of these securities. As also observed in the shareholder letter, large financial issuers performed well thanks to several factors, including a still-steep yield curve, access to liquidity in times of market
stress, and strengthening balance sheets and profitability. The Fund’s overweight to these issuers generated positive results. The Fund’s yield-curve positioning (underweighting the front or short end and overweighting the long end of the
curve in the belief that the yield curve will flatten) enhanced returns, as short-term yields rose and long-term yields declined. Duration exposure that was shorter than the benchmark subtracted from performance, as intermediate- and longer-term
issues outperformed.
Over the full reporting period, all of the Fund’s sub-advisers outperformed the benchmark. Western Asset
Management Company did best, followed by Wells Capital Management Incorporated, Jennison Associates LLC and Metropolitan West Asset Management LLC. J.P. Morgan Investment Management, Inc. lagged the other sub-advisers over the full year but
performed best in the last quarter of the Fund’s fiscal year.
To obtain exposure to the CMBS sector, the Fund sometimes used credit default
swaps to help partially hedge risks associated with these securities. These had a slightly positive effect on returns. Treasury futures were utilized to help manage the Fund’s duration and yield-curve exposure; return effects were neutral
overall.
U.S. Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| U.S. Fixed Income Fund, Class A |
|
|
3.91% |
|
|
|
2.93% |
|
|
|
4.66% |
|
|
|
5.14% |
|
| Barclays U.S. Aggregate Bond Index |
|
|
3.96% |
|
|
|
2.43% |
|
|
|
4.12% |
|
|
|
4.59% |
|
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A, versus the Barclays U.S.
Aggregate Bond Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
25 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (the “Fund”) seeks total return.
II. Multi-Manager Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the
Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of September 30, 2014: Ares Management LLC, Benefit Street Partners, LLC, Brigade Capital
Management, LLC, Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, and J.P. Morgan Investment Management Inc. Benefit Street Partners, LLC replaced Guggenheim Partners Investment Management, LLC during the period.
III. Return vs. Benchmark
For the fiscal
year ending September 30, 2014, the High Yield Bond Fund, Class A, underperformed the BofA Merrill Lynch U.S. High Yield Constrained Index (the “Index”), returning 6.49% versus the Index return of 7.23%.
IV. Fund Attribution
As noted in the enclosed
shareholder letter, high-yield corporates and bank loans outperformed over the full period, although they suffered some volatility in the third quarter of 2014. The Fund’s allocation to collateralized loan obligations enhanced performance, as
strong new issuance was met with robust demand, while steady economic growth and concerns about rising interest rates supported the asset class. (These securities typically have floating-rate features.) Within high yield, selection in the
health-care sector added to returns, particularly within health facilities. Selection in the leisure sector also contributed, especially within gaming, where the Fund avoided losses associated with casino closings and a debt restructuring for a
large gaming company. Selection in the wireless telecommunications was beneficial, as the Fund avoided bond losses associated with a large company bankruptcy filing. Detracting from performance were an underweight to and selection within the utility
sector, especially within electric generation, where a large issuer rallied sharply despite filing
for bankruptcy in the second quarter. Selection within the technology & electronics sector subtracted, particularly within software and services companies. An underweight to and selection in
the wireline telecommunications sector also detracted from returns, primarily driven by a large underweight to a single outperforming company that benefitted from economic and market stabilization in the euro area.
Over the full fiscal year, three out of five of the Fund’s sub-advisers (excluding Benefit Street Partners LLC, as it was added during the period)
outperformed, led by Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, and SIMC. (SIMC manages a portion of the Fund directly.) Ares Management LLC and J.P. Morgan Investment Management Inc. underperformed.
The Fund used derivatives throughout the one-year period ending September 30, 2014 to help manage duration, yield-curve positioning and spread
duration more efficiently. Futures and credit default swaps were used for this purpose, and they had a modestly negative impact on Fund performance overall.
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
10 Year
Return |
|
|
Annualized
Inception
to Date |
|
High Yield Bond
Fund, Class A |
|
|
6.49% |
|
|
|
10.52% |
|
|
|
11.14% |
|
|
|
7.30% |
|
|
|
7.64% |
|
High Yield Bond
Fund, Class I |
|
|
5.81% |
|
|
|
9.74% |
|
|
|
10.24% |
|
|
|
6.81% |
|
|
|
7.33% |
|
| BofA Merrill Lynch U.S. High Yield Constrained Index |
|
|
7.23% |
|
|
|
10.94% |
|
|
|
10.37% |
|
|
|
8.21% |
|
|
|
N/A |
|
|
|
|
| 26 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I,
versus the BofA Merrill Lynch U.S. High Yield Constrained Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A Shares were offered beginning 1/11/95 and Class I
Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect
the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
27 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Real Return Fund
I. Objective
The Real Return Fund’s (the “Fund”) objective is to provide return characteristics similar to Treasury Inflation Protected Securities (TIPS) with a maturity range of one to five years.
II. Multi-Manager Approach
The Fund uses
a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The Fund is managed by the SEI Fixed Income Portfolio Management Team.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Real Return Fund, Class A,
underperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”), returning -0.30% versus the Index return of 0.22%.
IV. Fund
Attribution
As noted in the enclosed shareholder letter, inflation-related assets such as TIPS struggled overall during the period. While the
5-year TIPS breakeven rate (a measure of expected consumer price inflation) increased early in the period, ultimately reaching 2.07% in the second quarter of 2014, it declined meaningfully to 1.64% by the end of the third quarter. This caused TIPS
to underperform nominal Treasuries across the yield curve.
Real Return Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
5 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Real Return Fund, Class A |
|
|
(0.30)% |
|
|
|
0.20% |
|
|
|
2.04% |
|
|
|
2.31% |
|
| Barclays 1-5 Year U.S. TIPS Index |
|
|
0.22% |
|
|
|
0.66% |
|
|
|
2.38% |
|
|
|
2.73% |
|
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, versus the Barclays 1-5 Year U.S. TIPS
Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect for waivers and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower. |
|
|
|
| 28 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Strategy Alternative Fund
I. Objective
The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond
markets.
II. Multi-Manager Approach Statement
The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the
Fund’s investment objective. In order to achieve its investment objective, the Fund may allocate its assets among a variety of investment strategies through the use of: (i) affiliated and unaffiliated funds, including open-end funds, closed-end
funds and exchange traded funds (Underlying Funds); and (ii) one or more investment sub-advisers. As of September 30, 2014, the Fund allocated its assets among unaffiliated funds only. In May 2014, the Fund terminated sub-adviser Turner
Investments, LP (“Turner”).
III. Return vs. Benchmark
For the fiscal year ended September 30, 2014, the Multi-Strategy Alternative Fund, Class A, outperformed the benchmark BofA Merrill Lynch 3-Month U.S. Treasury Bills Index (the “Index”), returning
3.45% versus 0.05% for the Index. Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bills Index, an investment in the Fund is substantially different from an investment in U.S.
Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of
investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.
IV. Fund Attribution
As noted in the
enclosed shareholder, homebuilder stocks lagged during the period, Europe’s economy began to struggle, and emerging markets rallied early in 2014. These developments worked against one the Fund’s macro-oriented long/short equity holdings,
as it was betting on a stronger housing recovery and an economic recovery in Europe and against emerging markets at the start of 2014. As a result, that holding detracted from Fund performance. The largest positive contributor to the Fund’s
returns was the equity-hedge strategy, followed by relative value and event driven. Tactical directional was eliminated in January, as volatile investor sentiment, driven by
uncertainty around central bank policies, proved challenging for the strategy (although it was a marginally positive contributor to performance). As noted in the enclosed shareholder letter,
steady U.S. economic growth supported U.S. stock-market performance, and our equity-hedge strategies benefitted as a result. As also noted in the shareholder letter, continued demand from yield-hungry investors supported spread products in fixed
income markets; as a result, the Fund’s relative-value strategies generated solid returns. The event-driven strategy also performed well, as moderate economic growth helped support corporate merger-and-acquisition activity.
Turner made limited use of options contracts for hedging purposes, and this activity had a neutral impact on performance during the Fund’s fiscal year.
Multi-Strategy Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
3 Year
Return |
|
|
Annualized
Inception
to Date |
|
| Multi-Strategy Alternative Fund, Class A |
|
|
3.45% |
|
|
|
2.76% |
|
|
|
1.18% |
|
BofA Merrill Lynch 3-Month U.S. Treasury
Bills Index |
|
|
0.05% |
|
|
|
0.07% |
|
|
|
0.10% |
|
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA
Merrill Lynch 3-Month U.S. Treasury Bills Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 3/31/10. Returns shown
do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and
reimbursements, performance would have been lower. Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an
investment in U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of
money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund
may invest. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
29 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Accumulation Fund
I. Objective
The Multi-Asset Accumulation Fund, (the “Fund”) seeks total return, including capital appreciation and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of
September 30, 2014: AQR Capital Management, LLC and PanAgora Asset Management Inc. For the 12-month period ending September 30, 2014 there were no manager changes.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Multi-Asset Accumulation
Fund, Class A, returned 9.11%. Its blended benchmark, 60% MSCI World Index (Net)(Hedged)(USD) and 40% Barclays Global Aggregate Index, Hedged (USD), returned 11.31% over the same period.
IV. Fund Attribution
Overall, the Fund performed well; however, it was slightly behind its blended
benchmark for the year. As noted in the enclosed shareholder letter, government bonds performed well over the reporting period while inflation-related holdings struggled, and the U.S. dollar gained against foreign currencies toward the end of the
period. The Fund’s nominal (non-inflation linked) sovereign bonds contributed positively to both absolute and relative performance, but the Fund’s inflation-related holdings were a drag on performance. Commodities, inflation-linked bonds
and emerging-market currencies were big detractors from performance toward the end of the Fund’s fiscal year.
The Fund’s positive
return in the fourth quarter of 2013 trailed its blended benchmark due to an underweight to developed-market equities, which performed well. First-quarter 2014 returns were positive and ahead of the benchmark, thanks mainly to an overweight to
nominal sovereign bonds, which rallied on concerns over
emerging-
market growth and geopolitical risks emanating from Russia and Ukraine. Out-of-benchmark exposures to commodities also drove outperformance. The Fund had positive performance in second quarter of
2014, with all major asset classes delivering positive returns, as the Fund benefitted from the low-volatility environment. In the third quarter of 2014, the Fund had modestly negative performance and underperformed the benchmark. The majority of
underperformance came from out-of-benchmark inflation-related holdings — namely commodities, emerging-market currencies and U.S. Treasury inflation-protected securities.
Derivatives used in the reporting period included equity-index futures, bond-index futures, interest-rate swaps, commodity futures, total-return swaps and currency forwards. These derivatives are primarily
used to provide cost-effective exposures to the desired asset classes. Derivatives had a meaningful impact on Fund performance in the period. Sovereign bond index futures, interest-rate swaps and, to a lesser extent, sovereign bond total-return
swaps (used to gain market exposure) positively contributed to performance, as interest rates declined over the period, boosting bond prices. Global equity futures, used specifically to gain exposure to U.S. equities, were also a meaningful
contributor. The Fund also gained exposure to the commodities markets through investments in a wholly owned subsidiary (the “Subsidiary”). Specifically, the Subsidiary invested substantially in both commodity futures and, to a lesser
extent, commodity total-return swaps, as commodities are a key part of the strategy. The commodity futures provided strategic exposure to a diversified mix of underlying commodities. This exposure was a negative contributor to total returns over the
period. Forward contracts used to gain exposures to emerging-market currencies were a modestly negative contributor to absolute and benchmark-relative returns. Forward contracts on developed-market currencies were principally used to hedge
foreign-currency risk relative to the U.S. dollar; these exposures added slightly to performance.
|
|
|
| 30 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Accumulation Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
Inception
to Date |
|
| Multi-Asset Accumulation Fund, Class A |
|
|
9.11% |
|
|
|
6.33% |
|
| MSCI World Index (Net)(Hedged)(USD) |
|
|
15.21% |
|
|
|
16.35% |
|
| Barclays Global Aggregate Index, Hedged (USD) |
|
|
5.50% |
|
|
|
3.78% |
|
| 60/40 Hybrid consisting of the MSCI World Index (Net)(Hedged)(USD) and Barclays Global Aggregate Index, Hedged (USD) |
|
|
11.31% |
|
|
|
11.27% |
|
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Accumulation Fund, Class A, versus a 60/40
Hybrid of the following Indexes: the MSCI World Index (Net) (Hedged) (USD), and the Barclays Global Aggregate Index Hedged (USD)
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 4/09/12. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
31 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Income Fund
I. Objective
The Multi-Asset Income Fund, (the “Fund”) seeks total return with an emphasis on current income.
II. Multi-Manager Approach Statement
As of September 30, 2014, the Fund used a single sub-adviser,
Guggenheim Investment Partners Investment Management, LLC, under the general supervision of SEI Investments Management Corporation (SIMC). For the 12-month period ending September 30, 2014, there were no manager changes.
III. Return vs. Benchmark
For the fiscal year ending
September 30, 2014, the Multi-Asset Income Fund, Class A, returned 6.19%. The blended benchmark, 45% Barclays U.S. Aggregate Bond Index, 40% BofA Merrill Lynch U.S. High Yield Constrained Index and 15% S&P 500 Index, returned 7.57% over the same
period.
IV. Fund Attribution
Overall,
the Fund provided a positive absolute return; however, it underperformed its blended benchmark. As noted in the enclosed shareholder letter, equities and longer-dated bonds performed well over the full reporting period. The primary drivers of the
Fund’s underperformance were lower-than-benchmark duration and a lower-than-benchmark weight to equities. During the fourth quarter of 2013, the main detractor from relative performance was a lack of equity exposure and higher levels of cash.
In the first quarter of 2014, the Fund modestly outperformed its benchmark, as opportunistic purchases of high-yield corporate, bank loans and asset-backed securities in January were rewarded during the quarter. The Fund had positive performance in
the second quarter of 2014, but lagged the benchmark. Its duration of approximately one year, compared to the benchmark’s four years, detracted as bond yields fell. In the third quarter of 2014, performance was slightly negative, but the Fund
outperformed its benchmark. High-yield exposure had been reduced, and this was rewarded as credit spreads widened. Bank loan and non-agency mortgage allocations, which fared better than non-investment grade corporates, also contributed to relative
performance.
Derivatives used by the Fund primarily consisted of total-return swaps on equity indexes, interest-rate swaps
and options on exchange-traded funds. These were employed for various purposes, including equity-market exposure to specific countries and sectors as well as interest-rate risk hedging. Derivatives had a minor impact on Fund performance.
Interest-rate swaps, which were used to hedge duration risk in the portfolio for a portion of the reporting period, detracted slightly. Total-return swaps, used to gain exposure to the U.S. homebuilder and for-profit education industries, slightly
detracted from performance.
Multi-Asset Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
Inception
to Date |
|
| Multi-Asset Income Fund, Class A |
|
|
6.19% |
|
|
|
8.05% |
|
| Barclays U.S. Aggregate Bond Index |
|
|
3.96% |
|
|
|
2.11% |
|
| BofA Merrill Lynch U.S. High Yield Constrained Index |
|
|
7.23% |
|
|
|
8.56% |
|
| S&P 500 Index |
|
|
19.73% |
|
|
|
17.94% |
|
| 45/40/15 Hybrid consisting of the Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index and S&P 500
Index |
|
|
7.57% |
|
|
|
7.00% |
|
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Income Fund, Class A, versus a 45/40/15 Hybrid
of the following Indexes: the Barclays U.S. Aggregate Bond Index, the BofA Merrill Lynch U.S. High Yield Constrained Index, and the S&P 500 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 4/09/12. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
| 32 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Inflation Managed Fund
I. Objective
The Multi-Asset Inflation Managed Fund, (the “Fund”) seeks total return exceeding the rate of inflation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of
sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of
September 30, 2014: AllianceBernstein, L.P. and QS Investors, LLC. During the 12-month period ending September 30, 2014, QS Investors, LLC was added as a sub-adviser to the Fund.
III. Return vs. Benchmark
For the fiscal year ending September 30, 2014, the Multi-Asset Inflation
Managed Fund, Class A, returned -0.32%. The blended benchmark, 70% Barclays 1-5 Year U.S. TIPS Total Return Index, 20% Bloomberg Commodity Index Total Return Index and 10% Russell 1000 Low Volatility Index, returned 0.60% over the same period.
IV. Fund Attribution
As noted in the
enclosed shareholder letter, inflation-sensitive assets, including commodities and Treasury Inflation-Protected Securities (“TIPS”), struggled over the full reporting period. Along with its TIPS allocation, the Fund’s equity-market
hedge detracted from performance in the fourth quarter of 2013, as TIPS underperformed and equities performed well. Commodities exposures were positive at the start of 2014 but detracted through the end of September. In the second quarter of 2014,
the Fund’s equity sector long/short strategy was the biggest contributor to performance, thanks to significant exposure to energy stocks, which outperformed in the quarter. While the commodities sector was flat, commodity allocations added
value in the second quarter. In the third quarter of 2014, the Fund posted a negative total return, as inflation-sensitive assets performed poorly. However, it outperformed its blended benchmark thanks to the inflation-equity long/short strategy.
The Fund utilized derivatives (specifically commodity futures, bond-index futures and total-return swaps)
which meaningfully impacted performance over the reporting period. A short position in U.S. Treasury futures was used to hedge duration (interest-rate sensitivity) risk for a portion of the Fund’s corporate-bond exposure. This hedge slightly
detracted from total returns, as interest rates fell. A short position in U.S. equity total-return swaps was used to hedge equity-market risk for a portion of the Fund’s long equity positions. This hedge detracted from total returns, as equity
market returns were positive. The Fund also gained exposure to the commodities markets through investments in a wholly owned subsidiary (the “Subsidiary”). Specifically, the Subsidiary invested substantially in commodity futures, which are
a key element of the strategy. These futures provide strategic exposure to a diversified mix of underlying commodities. This exposure detracted from total returns over the period. Forward-currency contracts on developed-market currencies were
principally used to hedge foreign-currency risk relative to the U.S. dollar and had a slightly positive effect on performance.
Multi-Asset
Inflation Managed Fund:
AVERAGE ANNUAL TOTAL
RETURN1
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
Inception
to Date |
|
| Multi-Asset Inflation Managed Fund, Class A |
|
|
(0.32)% |
|
|
|
(2.11)% |
|
| Barclays 1-5 Year U.S. TIPS Index |
|
|
0.22% |
|
|
|
(0.13)% |
|
| Bloomberg Commodity Index Total Return Index* |
|
|
(6.58)% |
|
|
|
(6.70)% |
|
| Russell 1000 Low Volatility Index* |
|
|
18.43% |
|
|
|
16.69% |
|
| MSCI All Country World Commodity Producers Index* |
|
|
3.61% |
|
|
|
0.90% |
|
| 70/20/10 Hybrid consisting of the Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index
Total Return Index* and Russell 1000 Low Volatility Index* |
|
|
0.60% |
|
|
|
0.21% |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
33 |
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Inflation Managed Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Inflation Managed Fund,
Class A, versus a 70/20/10 Hybrid of the following Indexes: the Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index Total Return Index*, Russell 1000 Low Volatility Index* and MSCI All Country World Commodity Producers Index*:
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 4/09/12. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements,
performance would have been lower. |
| |
* |
|
The Fund has changed its benchmark from including the MSCI All Country World Commodity Producers Index to including the Bloomberg Commodity Index Total Return Index and
Russell 1000 Low Volatility Index. These Indexes more closely align with the strategy and investments of the Fund.
|
|
|
|
| 34 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2014
Multi-Asset Capital Stability Fund
I. Objective
The Multi-Asset Capital Stability Fund, (the “Fund”) attempts to manage the risk of loss while providing current income and an opportunity for capital appreciation. Managing the risk of loss does
not mean preventing losses, but rather managing the Fund in a manner intended to limit the level of losses that the Fund could incur over any particular period.
II. Multi-Manager Approach Statement
As of September 30, 2014, the Fund used a single sub-adviser,
AllianceBernstein, L.P., under the general supervision of SEI Investments Management Corporation (“SIMC”). For the 12-month period ending September 30, 2014, there were no manager changes.
III. Return vs. Benchmark
For the fiscal year ending
September 30, 2014, the Multi-Asset Capital Stability Fund, Class A, returned 3.37%. The blended benchmark, 95% Barclays 1-3 Year Government/Credit Index and 5% S&P 500 Index, returned 1.67% over the same period.
IV. Fund Attribution
As noted in the enclosed
shareholder letter, interest rates rose on rising economic optimism at the start of the reporting period, and global equities and longer-dated sovereign bonds performed well for most of 2014. Fund performance was challenged at the start of the
period by rising U.S. interest rates due to the longer-average-maturity and higher interest-rate sensitivity of the Fund’s fixed-income holdings. Overweight exposures to equities and longer-dated sovereign bonds during 2014 had a positive
impact overall.
Derivatives used in the reporting period included credit-default swaps, equity-index futures, bond-index futures, interest-rate
swaps and currency forwards. These derivatives were primarily used to provide cost-effective exposures to desired asset classes, and they meaningfully impacted Fund performance. Sovereign bond-index futures and interest-rate swaps were the biggest
positive contributors to performance, as interest rates declined (meaning that bond prices rose) over most of the period. Bond futures tend to exhibit longer duration (greater sensitivity to interest rates) than the benchmark, and
longer-duration exposures are typically positively impacted by falling interest rates. Stock-index futures (used to obtain stock-market market exposure), primarily U.S. stocks, also contributed
positively to total returns over the period, as the U.S. market performed well. Small positions in credit-default swaps, used to gain exposure to high-yield and investment-grade credit, contributed modestly to returns. Forward contracts on
developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar; the effect of these was largely neutral over the reporting period.
Multi-Asset Capital Stability Fund:
AVERAGE ANNUAL TOTAL RETURN1
|
|
|
|
|
|
|
|
|
| |
|
One Year
Return |
|
|
Annualized
Inception
to Date |
|
| Multi-Asset Capital Stability Fund, Class A |
|
|
3.37% |
|
|
|
1.41% |
|
| Barclays 1-3 Year U.S. Government/Credit Index |
|
|
0.77% |
|
|
|
0.85% |
|
| S&P 500 Index |
|
|
19.73% |
|
|
|
17.94% |
|
| 95/5 Hybrid consisting of Barclays 1-3 Year U.S. Government/Credit Index and S&P 500 Index |
|
|
1.67% |
|
|
|
1.66% |
|
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Capital Stability Fund, versus a 95/5 Hybrid of
the following Indexes: the Barclays 1-3 Year Government/Credit Index, and the S&P 500 Index
| |
1 |
|
For the period ended 9/30/14. Past performance is no indication of future performance. Class A shares were offered beginning 4/09/12. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements,
performance would have been lower. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
35 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 94.2% |
|
|
| Consumer Discretionary — 11.3% |
|
| Discovery Communications, Cl C* |
|
|
0.6 |
% |
|
|
451,729 |
|
|
$ |
16,840 |
|
| L Brands |
|
|
0.6 |
|
|
|
242,225 |
|
|
|
16,224 |
|
| Liberty Media - Interactive, Cl A* |
|
|
0.7 |
|
|
|
606,884 |
|
|
|
17,308 |
|
| priceline.com* |
|
|
0.7 |
|
|
|
16,625 |
|
|
|
19,262 |
|
| Starbucks |
|
|
0.6 |
|
|
|
190,843 |
|
|
|
14,401 |
|
| Time Warner Cable, Cl A |
|
|
0.5 |
|
|
|
98,780 |
|
|
|
14,174 |
|
| Other Securities |
|
|
7.6 |
|
|
|
|
|
|
|
194,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
293,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 7.6% |
|
| Anheuser-Busch InBev |
|
|
0.6 |
|
|
|
136,332 |
|
|
|
15,112 |
|
| Costco Wholesale |
|
|
0.8 |
|
|
|
162,549 |
|
|
|
20,371 |
|
| Mead Johnson Nutrition, Cl A |
|
|
0.9 |
|
|
|
234,205 |
|
|
|
22,535 |
|
| Philip Morris International |
|
|
0.6 |
|
|
|
182,800 |
|
|
|
15,245 |
|
| Walgreen |
|
|
0.7 |
|
|
|
313,475 |
|
|
|
18,580 |
|
| Other Securities |
|
|
4.0 |
|
|
|
|
|
|
|
104,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 10.8% |
|
| Chevron |
|
|
0.9 |
|
|
|
186,300 |
|
|
|
22,229 |
|
| EOG Resources |
|
|
0.9 |
|
|
|
236,700 |
|
|
|
23,438 |
|
| Exxon Mobil |
|
|
1.2 |
|
|
|
321,100 |
|
|
|
30,200 |
|
| Noble Energy |
|
|
0.6 |
|
|
|
210,040 |
|
|
|
14,358 |
|
| Phillips 66 |
|
|
0.9 |
|
|
|
287,890 |
|
|
|
23,408 |
|
| Schlumberger, Cl A |
|
|
0.6 |
|
|
|
142,657 |
|
|
|
14,507 |
|
| Other Securities |
|
|
5.7 |
|
|
|
|
|
|
|
150,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
278,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.4% |
|
| American International Group |
|
|
1.1 |
|
|
|
499,000 |
|
|
|
26,956 |
|
| Bank of America |
|
|
1.0 |
|
|
|
1,464,100 |
|
|
|
24,963 |
|
| Charles Schwab |
|
|
0.6 |
|
|
|
522,814 |
|
|
|
15,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Citigroup |
|
|
1.0 |
% |
|
|
493,310 |
|
|
$ |
25,563 |
|
| Crown Castle International† |
|
|
0.8 |
|
|
|
252,575 |
|
|
|
20,340 |
|
| JPMorgan Chase |
|
|
1.2 |
|
|
|
502,000 |
|
|
|
30,241 |
|
| Wells Fargo |
|
|
1.0 |
|
|
|
507,900 |
|
|
|
26,345 |
|
| Other Securities |
|
|
8.7 |
|
|
|
|
|
|
|
226,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
396,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 14.8% |
|
| Allergan |
|
|
1.1 |
|
|
|
165,235 |
|
|
|
29,443 |
|
| Biogen Idec* |
|
|
0.7 |
|
|
|
58,480 |
|
|
|
19,346 |
|
| Celgene, Cl A* |
|
|
1.1 |
|
|
|
294,450 |
|
|
|
27,908 |
|
| Express Scripts Holding* |
|
|
0.8 |
|
|
|
275,720 |
|
|
|
19,474 |
|
| Gilead Sciences* |
|
|
0.8 |
|
|
|
193,278 |
|
|
|
20,574 |
|
| Humana |
|
|
0.8 |
|
|
|
168,030 |
|
|
|
21,893 |
|
| Pfizer |
|
|
0.7 |
|
|
|
567,857 |
|
|
|
16,792 |
|
| Shire ADR |
|
|
0.8 |
|
|
|
74,640 |
|
|
|
19,335 |
|
| WellPoint |
|
|
0.6 |
|
|
|
132,010 |
|
|
|
15,791 |
|
| Other Securities |
|
|
7.4 |
|
|
|
|
|
|
|
192,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
383,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 8.0% |
|
| Canadian Pacific Railway |
|
|
0.9 |
|
|
|
113,500 |
|
|
|
23,548 |
|
| Northrop Grumman |
|
|
0.6 |
|
|
|
120,850 |
|
|
|
15,923 |
|
| Other Securities |
|
|
6.5 |
|
|
|
|
|
|
|
166,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
205,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 20.5% |
|
| Adobe Systems* |
|
|
1.0 |
|
|
|
384,680 |
|
|
|
26,616 |
|
| Apple |
|
|
0.9 |
|
|
|
235,084 |
|
|
|
23,685 |
|
| Applied Materials |
|
|
0.8 |
|
|
|
938,090 |
|
|
|
20,272 |
|
| eBay* |
|
|
0.9 |
|
|
|
386,325 |
|
|
|
21,878 |
|
| Facebook, Cl A* |
|
|
0.6 |
|
|
|
205,760 |
|
|
|
16,263 |
|
| Google, Cl A* |
|
|
0.7 |
|
|
|
29,398 |
|
|
|
17,298 |
|
| Google, Cl C* |
|
|
0.7 |
|
|
|
32,698 |
|
|
|
18,879 |
|
| Intel |
|
|
0.7 |
|
|
|
538,300 |
|
|
|
18,744 |
|
| MasterCard, Cl A |
|
|
1.4 |
|
|
|
481,030 |
|
|
|
35,558 |
|
| Microsoft |
|
|
1.4 |
|
|
|
751,450 |
|
|
|
34,837 |
|
| Qualcomm |
|
|
1.3 |
|
|
|
443,130 |
|
|
|
33,133 |
|
| Visa, Cl A |
|
|
1.3 |
|
|
|
161,841 |
|
|
|
34,532 |
|
| Western Digital |
|
|
0.6 |
|
|
|
162,800 |
|
|
|
15,844 |
|
| Other Securities |
|
|
8.2 |
|
|
|
|
|
|
|
212,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
529,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.0% |
|
| Dow Chemical, Cl A |
|
|
0.6 |
|
|
|
273,950 |
|
|
|
14,366 |
|
| Other Securities |
|
|
2.4 |
|
|
|
|
|
|
|
64,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.8% |
|
| AT&T |
|
|
0.7 |
|
|
|
478,400 |
|
|
|
16,859 |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
3,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 36 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 2.0% |
|
| Other Securities |
|
|
2.0 |
% |
|
|
|
|
|
$ |
51,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,839,156) ($ Thousands) |
|
|
|
2,433,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.4% |
|
| SEI Liquidity Fund, L.P.
0.080%**†† (B) |
|
|
2.4 |
|
|
|
61,199,504 |
|
|
|
61,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $61,200) ($ Thousands) |
|
|
|
61,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENTS — 5.7% |
|
| SEI Daily Income Trust,
Prime Obligation Fund Cl A
0.010%**†† |
|
|
5.6 |
|
|
|
145,995,442 |
|
|
|
145,995 |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
1,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalents
(Cost $147,811) ($ Thousands) |
|
|
|
147,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.2% |
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $4,993) ($ Thousands) |
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.5%
(Cost $2,053,160) ($ Thousands) |
|
|
$ |
2,647,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
954 |
|
|
|
Dec-2014 |
|
|
$ |
(762 |
) |
| S&P Mid 400 Index E-MINI |
|
|
97 |
|
|
|
Dec-2014 |
|
|
|
(529 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $2,581,944 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $58,715 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$61,200 ($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P —
Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the
Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other Securities’’ represent all issues not required to be disclosed under the rules adopted by the U.S.
Securities and Exchange Commission (‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,433,257 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,433,257 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
61,200 |
|
|
|
— |
|
|
|
61,200 |
|
| Cash Equivalents |
|
|
147,811 |
|
|
|
— |
|
|
|
— |
|
|
|
147,811 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
4,993 |
|
|
|
— |
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
2,581,068 |
|
|
$ |
66,193 |
|
|
$ |
— |
|
|
$ |
2,647,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(1,291 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(1,291 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
37 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 96.5%‡ |
|
|
|
|
|
|
|
| Consumer Discretionary — 9.8% |
|
|
|
|
|
| DIRECTV* |
|
|
0.9 |
% |
|
|
152,670 |
|
|
$ |
13,209 |
|
| Foot Locker, Cl A |
|
|
0.6 |
|
|
|
157,200 |
|
|
|
8,748 |
|
| General Motors |
|
|
0.6 |
|
|
|
313,274 |
|
|
|
10,006 |
|
| Macy’s |
|
|
0.9 |
|
|
|
229,060 |
|
|
|
13,327 |
|
| Toyota Motor ADR |
|
|
0.9 |
|
|
|
118,400 |
|
|
|
13,915 |
|
| Viacom, Cl B |
|
|
0.8 |
|
|
|
171,250 |
|
|
|
13,176 |
|
| Other Securities |
|
|
5.1 |
|
|
|
|
|
|
|
78,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 4.8% |
|
|
|
|
|
| CVS Health |
|
|
0.6 |
|
|
|
122,000 |
|
|
|
9,710 |
|
| Kroger |
|
|
0.6 |
|
|
|
185,040 |
|
|
|
9,622 |
|
| Other Securities |
|
|
3.6 |
|
|
|
|
|
|
|
54,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 12.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Apache |
|
|
0.6 |
|
|
|
93,000 |
|
|
|
8,730 |
|
| BP ADR |
|
|
0.6 |
|
|
|
214,104 |
|
|
|
9,410 |
|
| Canadian Natural Resources |
|
|
0.5 |
|
|
|
215,000 |
|
|
|
8,351 |
|
| Chevron |
|
|
2.1 |
|
|
|
271,700 |
|
|
|
32,419 |
|
| Exxon Mobil |
|
|
1.9 |
|
|
|
310,800 |
|
|
|
29,231 |
|
| Halliburton |
|
|
0.9 |
|
|
|
214,640 |
|
|
|
13,847 |
|
| Marathon Petroleum |
|
|
0.8 |
|
|
|
143,680 |
|
|
|
12,165 |
|
| Occidental Petroleum |
|
|
0.8 |
|
|
|
120,300 |
|
|
|
11,567 |
|
| Other Securities |
|
|
4.7 |
|
|
|
|
|
|
|
72,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
198,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 26.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Allstate |
|
|
1.0 |
|
|
|
252,720 |
|
|
|
15,509 |
|
| American International Group |
|
|
1.0 |
|
|
|
274,580 |
|
|
|
14,833 |
|
| Bank of America |
|
|
0.9 |
|
|
|
819,100 |
|
|
|
13,966 |
|
| Berkshire Hathaway, Cl B* |
|
|
0.7 |
|
|
|
81,300 |
|
|
|
11,231 |
|
| Capital One Financial |
|
|
0.7 |
|
|
|
123,990 |
|
|
|
10,120 |
|
| Citigroup |
|
|
2.0 |
|
|
|
606,100 |
|
|
|
31,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Discover Financial Services |
|
|
0.6 |
% |
|
|
154,620 |
|
|
$ |
9,956 |
|
| Everest Re Group |
|
|
0.7 |
|
|
|
68,700 |
|
|
|
11,130 |
|
| Hartford Financial Services Group |
|
|
0.6 |
|
|
|
249,800 |
|
|
|
9,305 |
|
| JPMorgan Chase |
|
|
3.4 |
|
|
|
862,100 |
|
|
|
51,933 |
|
| KeyCorp |
|
|
0.5 |
|
|
|
603,870 |
|
|
|
8,050 |
|
| Lincoln National |
|
|
0.6 |
|
|
|
165,560 |
|
|
|
8,871 |
|
| MetLife |
|
|
1.4 |
|
|
|
392,800 |
|
|
|
21,101 |
|
| PNC Financial Services Group |
|
|
0.6 |
|
|
|
109,400 |
|
|
|
9,362 |
|
| Travelers |
|
|
0.6 |
|
|
|
98,000 |
|
|
|
9,206 |
|
| Wells Fargo |
|
|
2.6 |
|
|
|
757,580 |
|
|
|
39,296 |
|
| Other Securities |
|
|
8.9 |
|
|
|
|
|
|
|
137,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
412,589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 11.4% |
|
|
|
|
|
|
|
|
|
| Aetna, Cl A |
|
|
0.6 |
|
|
|
113,300 |
|
|
|
9,177 |
|
| Johnson & Johnson |
|
|
0.6 |
|
|
|
79,900 |
|
|
|
8,516 |
|
| Merck |
|
|
0.7 |
|
|
|
180,100 |
|
|
|
10,676 |
|
| Pfizer |
|
|
2.1 |
|
|
|
1,093,600 |
|
|
|
32,338 |
|
| United Therapeutics* |
|
|
0.5 |
|
|
|
63,720 |
|
|
|
8,198 |
|
| WellPoint |
|
|
1.1 |
|
|
|
144,830 |
|
|
|
17,325 |
|
| Other Securities |
|
|
5.8 |
|
|
|
|
|
|
|
88,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
174,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 9.0% |
|
|
|
|
|
|
|
|
|
| Delta Air Lines, Cl A |
|
|
0.6 |
|
|
|
261,300 |
|
|
|
9,446 |
|
| General Electric |
|
|
1.2 |
|
|
|
681,900 |
|
|
|
17,470 |
|
| Northrop Grumman |
|
|
0.7 |
|
|
|
85,050 |
|
|
|
11,206 |
|
| Other Securities |
|
|
6.5 |
|
|
|
|
|
|
|
99,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
137,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 11.0% |
|
|
|
|
|
| Cisco Systems |
|
|
1.7 |
|
|
|
1,027,600 |
|
|
|
25,865 |
|
| Intel |
|
|
1.0 |
|
|
|
446,300 |
|
|
|
15,540 |
|
| Microsoft |
|
|
0.6 |
|
|
|
208,700 |
|
|
|
9,675 |
|
| Western Digital |
|
|
0.9 |
|
|
|
143,570 |
|
|
|
13,972 |
|
| Other Securities |
|
|
6.8 |
|
|
|
|
|
|
|
104,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
169,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
4.1 |
|
|
|
|
|
|
|
63,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 3.1% |
|
|
|
|
|
| AT&T |
|
|
1.3 |
|
|
|
564,950 |
|
|
|
19,909 |
|
| China Mobile |
|
|
0.7 |
|
|
|
179,600 |
|
|
|
10,552 |
|
| Verizon Communications |
|
|
0.8 |
|
|
|
261,300 |
|
|
|
13,062 |
|
| Other Securities |
|
|
0.3 |
|
|
|
|
|
|
|
4,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 38 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| American Electric Power |
|
|
0.8 |
% |
|
|
238,410 |
|
|
$ |
12,448 |
|
| Entergy |
|
|
0.5 |
|
|
|
107,980 |
|
|
|
8,350 |
|
| Other Securities |
|
|
2.3 |
|
|
|
|
|
|
|
34,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,186,222) ($ Thousands) |
|
|
|
1,483,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 4.0% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**† (B) |
|
|
4.0 |
|
|
|
60,837,827 |
|
|
|
60,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $60,838) ($ Thousands) |
|
|
|
60,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.2% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A 0.010%**† |
|
|
3.2 |
|
|
|
49,137,192 |
|
|
|
49,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $49,137) ($ Thousands) |
|
|
|
49,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.1% |
|
|
|
|
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $2,059) ($ Thousands) |
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.8%
(Cost $1,298,256) ($ Thousands) |
|
|
$ |
1,595,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
7 |
|
|
|
Dec-2014 |
|
|
$ |
(20 |
) |
| S&P 500 Index E-MINI |
|
|
347 |
|
|
|
Dec-2014 |
|
|
|
(482 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,536,999
($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $58,714 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$60,838 ($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts.
|
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary
Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other Securities’’
represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise apply are
included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,483,235 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,483,235 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
60,838 |
|
|
|
— |
|
|
|
60,838 |
|
| Cash Equivalent |
|
|
49,137 |
|
|
|
— |
|
|
|
— |
|
|
|
49,137 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
2,059 |
|
|
|
— |
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,532,372 |
|
|
$ |
62,897 |
|
|
$ |
— |
|
|
$ |
1,595,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(502 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(502 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
39 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 98.7%‡ |
|
|
|
|
|
|
|
| Consumer Discretionary — 12.8% |
|
|
|
|
|
| Discovery Communications, Cl A* |
|
|
0.7 |
% |
|
|
271,053 |
|
|
$ |
10,246 |
|
| Discovery Communications, Cl C* |
|
|
1.4 |
|
|
|
584,334 |
|
|
|
21,784 |
|
| L Brands |
|
|
1.3 |
|
|
|
296,675 |
|
|
|
19,871 |
|
| Liberty Media - Interactive,
Cl A* |
|
|
1.4 |
|
|
|
741,997 |
|
|
|
21,162 |
|
| Liberty TripAdvisor Holdings, Cl A* |
|
|
0.0 |
|
|
|
12,500 |
|
|
|
424 |
|
| Liberty Ventures, Ser A* |
|
|
0.1 |
|
|
|
12,500 |
|
|
|
474 |
|
| Nike, Cl B |
|
|
0.9 |
|
|
|
152,000 |
|
|
|
13,559 |
|
| priceline.com* |
|
|
1.3 |
|
|
|
17,725 |
|
|
|
20,536 |
|
| Starbucks |
|
|
1.1 |
|
|
|
228,934 |
|
|
|
17,275 |
|
| Other Securities |
|
|
4.6 |
|
|
|
|
|
|
|
73,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
198,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 9.3% |
|
|
|
|
|
| Costco Wholesale |
|
|
0.7 |
|
|
|
88,975 |
|
|
|
11,150 |
|
| Estee Lauder, Cl A |
|
|
1.0 |
|
|
|
210,063 |
|
|
|
15,696 |
|
| Mead Johnson Nutrition, Cl A |
|
|
1.2 |
|
|
|
190,820 |
|
|
|
18,361 |
|
| Walgreen |
|
|
1.4 |
|
|
|
371,750 |
|
|
|
22,034 |
|
| Whole Foods Market |
|
|
0.9 |
|
|
|
370,105 |
|
|
|
14,105 |
|
| Other Securities |
|
|
4.1 |
|
|
|
|
|
|
|
63,357 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 8.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Core Laboratories |
|
|
0.9 |
|
|
|
92,146 |
|
|
|
13,486 |
|
| EOG Resources |
|
|
1.6 |
|
|
|
253,900 |
|
|
|
25,141 |
|
| FMC Technologies* |
|
|
1.1 |
|
|
|
303,377 |
|
|
|
16,476 |
|
| Kinder Morgan |
|
|
0.6 |
|
|
|
253,675 |
|
|
|
9,726 |
|
| Schlumberger, Cl A |
|
|
1.1 |
|
|
|
172,512 |
|
|
|
17,543 |
|
| Williams |
|
|
1.2 |
|
|
|
335,000 |
|
|
|
18,542 |
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
26,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
127,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 6.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Charles Schwab |
|
|
1.5 |
% |
|
|
793,013 |
|
|
$ |
23,306 |
|
| Crown Castle
International† |
|
|
1.6 |
|
|
|
300,000 |
|
|
|
24,159 |
|
| IntercontinentalExchange
Group |
|
|
0.9 |
|
|
|
74,225 |
|
|
|
14,478 |
|
| Other Securities |
|
|
2.3 |
|
|
|
|
|
|
|
36,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 15.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Allergan |
|
|
1.8 |
|
|
|
160,750 |
|
|
|
28,644 |
|
| Celgene, Cl A* |
|
|
2.1 |
|
|
|
347,100 |
|
|
|
32,898 |
|
| Covance* |
|
|
0.7 |
|
|
|
138,724 |
|
|
|
10,918 |
|
| DaVita HealthCare Partners* |
|
|
0.9 |
|
|
|
194,768 |
|
|
|
14,245 |
|
| Express Scripts Holding* |
|
|
1.5 |
|
|
|
319,840 |
|
|
|
22,590 |
|
| Gilead Sciences* |
|
|
1.5 |
|
|
|
208,322 |
|
|
|
22,176 |
|
| Intuitive Surgical* |
|
|
1.1 |
|
|
|
38,487 |
|
|
|
17,774 |
|
| Novo Nordisk ADR |
|
|
1.0 |
|
|
|
327,385 |
|
|
|
15,590 |
|
| Perrigo |
|
|
0.6 |
|
|
|
67,750 |
|
|
|
10,175 |
|
| Other Securities |
|
|
4.4 |
|
|
|
|
|
|
|
67,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 11.6% |
|
|
|
|
|
|
|
|
|
| 3M |
|
|
0.9 |
|
|
|
101,900 |
|
|
|
14,437 |
|
| Danaher, Cl A |
|
|
1.2 |
|
|
|
242,314 |
|
|
|
18,411 |
|
| Fastenal, Cl A |
|
|
0.8 |
|
|
|
289,647 |
|
|
|
13,005 |
|
| Stericycle, Cl A* |
|
|
1.1 |
|
|
|
151,246 |
|
|
|
17,629 |
|
| Other Securities |
|
|
7.6 |
|
|
|
|
|
|
|
116,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 30.0% |
|
|
|
|
|
| Adobe Systems* |
|
|
1.1 |
|
|
|
239,525 |
|
|
|
16,573 |
|
| Amphenol, Cl A |
|
|
1.2 |
|
|
|
193,728 |
|
|
|
19,346 |
|
| Apple |
|
|
2.3 |
|
|
|
356,554 |
|
|
|
35,923 |
|
| Automatic Data Processing |
|
|
0.8 |
|
|
|
158,700 |
|
|
|
13,185 |
|
| Baidu ADR* |
|
|
0.8 |
|
|
|
57,200 |
|
|
|
12,483 |
|
| eBay* |
|
|
1.7 |
|
|
|
473,250 |
|
|
|
26,800 |
|
| Equinix* |
|
|
1.1 |
|
|
|
80,925 |
|
|
|
17,195 |
|
| Google, Cl A* |
|
|
1.5 |
|
|
|
38,986 |
|
|
|
22,940 |
|
| Google, Cl C* |
|
|
1.5 |
|
|
|
39,136 |
|
|
|
22,595 |
|
| Intuit |
|
|
1.3 |
|
|
|
221,900 |
|
|
|
19,450 |
|
| MasterCard, Cl A |
|
|
1.6 |
|
|
|
338,400 |
|
|
|
25,015 |
|
| Microsoft |
|
|
2.1 |
|
|
|
702,300 |
|
|
|
32,559 |
|
| Qualcomm |
|
|
2.8 |
|
|
|
572,373 |
|
|
|
42,796 |
|
| Salesforce.com* |
|
|
0.9 |
|
|
|
241,773 |
|
|
|
13,909 |
|
| Visa, Cl A |
|
|
3.0 |
|
|
|
216,709 |
|
|
|
46,239 |
|
| Other Securities |
|
|
6.3 |
|
|
|
|
|
|
|
100,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
467,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 40 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ecolab |
|
|
1.6 |
% |
|
|
215,784 |
|
|
$ |
24,779 |
|
| Other Securities |
|
|
2.8 |
|
|
|
|
|
|
|
44,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.3% |
|
|
|
|
|
| Other Securities |
|
|
0.3 |
|
|
|
|
|
|
|
4,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
2,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,202,856) ($ Thousands) |
|
|
|
1,536,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.0% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
3.0 |
|
|
|
47,416,649 |
|
|
|
47,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $47,417) ($ Thousands) |
|
|
|
47,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENTS — 1.5% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A 0.010%**†† |
|
|
1.4 |
|
|
|
21,336,432 |
|
|
|
21,336 |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
2,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalents
(Cost $23,800) ($ Thousands) |
|
|
|
23,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.1% |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,594) ($ Thousands) |
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.3%
(Cost $1,275,667) ($ Thousands) |
|
|
$ |
1,609,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
19 |
|
|
|
Dec-2014 |
|
|
$ |
(100 |
) |
| S&P 500 Index E-MINI |
|
|
142 |
|
|
|
Dec-2014 |
|
|
|
(112 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,557,968 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.
|
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $46,000 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$47,417 ($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P —
Standard and Poor’s
Ser — Series
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of
any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other Securities’’ represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission
(‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon
request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of
inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,536,884 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,536,884 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
47,417 |
|
|
|
— |
|
|
|
47,417 |
|
| Cash Equivalents |
|
|
23,800 |
|
|
|
— |
|
|
|
— |
|
|
|
23,800 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,594 |
|
|
|
— |
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,560,684 |
|
|
$ |
49,011 |
|
|
$ |
— |
|
|
$ |
1,609,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(212 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(212 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
41 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 94.6% |
|
|
|
|
|
|
|
| Consumer Discretionary — 11.5% |
|
|
|
|
|
| Harley-Davidson, Cl A |
|
|
0.5 |
% |
|
|
278,957 |
|
|
$ |
16,235 |
|
| Liberty Media - Interactive, Cl A* |
|
|
0.5 |
|
|
|
569,028 |
|
|
|
16,229 |
|
| Nike, Cl B |
|
|
0.7 |
|
|
|
249,213 |
|
|
|
22,230 |
|
| priceline.com* |
|
|
0.6 |
|
|
|
15,768 |
|
|
|
18,268 |
|
| Other Securities |
|
|
9.2 |
|
|
|
|
|
|
|
283,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
356,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 7.6% |
|
|
|
|
|
| Costco Wholesale |
|
|
0.8 |
|
|
|
190,219 |
|
|
|
23,838 |
|
| CVS Health |
|
|
0.7 |
|
|
|
260,343 |
|
|
|
20,721 |
|
| Mead Johnson Nutrition, Cl A |
|
|
0.7 |
|
|
|
211,348 |
|
|
|
20,336 |
|
| Tyson Foods, Cl A |
|
|
0.5 |
|
|
|
381,578 |
|
|
|
15,023 |
|
| Walgreen |
|
|
0.5 |
|
|
|
281,641 |
|
|
|
16,693 |
|
| Other Securities |
|
|
4.4 |
|
|
|
|
|
|
|
139,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
235,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 10.5% |
|
|
|
|
|
| Chevron |
|
|
1.0 |
|
|
|
248,643 |
|
|
|
29,668 |
|
| ConocoPhillips |
|
|
0.6 |
|
|
|
257,902 |
|
|
|
19,735 |
|
| EOG Resources |
|
|
0.9 |
|
|
|
272,227 |
|
|
|
26,956 |
|
| Exxon Mobil |
|
|
1.2 |
|
|
|
394,419 |
|
|
|
37,095 |
|
| Noble Energy |
|
|
0.5 |
|
|
|
234,453 |
|
|
|
16,027 |
|
| Phillips 66 |
|
|
0.9 |
|
|
|
342,900 |
|
|
|
27,881 |
|
| Schlumberger, Cl A |
|
|
0.6 |
|
|
|
169,851 |
|
|
|
17,272 |
|
| Williams |
|
|
0.5 |
|
|
|
298,651 |
|
|
|
16,530 |
|
| Other Securities |
|
|
4.3 |
|
|
|
|
|
|
|
133,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.9% |
|
|
|
|
|
| American International Group |
|
|
0.9 |
|
|
|
531,198 |
|
|
|
28,695 |
|
| Bank of America |
|
|
0.7 |
|
|
|
1,261,847 |
|
|
|
21,515 |
|
| Capital One Financial |
|
|
0.5 |
|
|
|
188,167 |
|
|
|
15,358 |
|
| Citigroup |
|
|
0.9 |
|
|
|
505,196 |
|
|
|
26,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Crown Castle
International† |
|
|
0.9 |
% |
|
|
321,932 |
|
|
$ |
25,925 |
|
| Discover Financial Services |
|
|
0.6 |
|
|
|
300,119 |
|
|
|
19,325 |
|
| JPMorgan Chase |
|
|
0.9 |
|
|
|
474,451 |
|
|
|
28,581 |
|
| Wells Fargo |
|
|
1.0 |
|
|
|
571,346 |
|
|
|
29,636 |
|
| Other Securities |
|
|
9.5 |
|
|
|
|
|
|
|
297,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
492,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 14.3% |
|
|
|
|
|
| Allergan |
|
|
0.9 |
|
|
|
165,605 |
|
|
|
29,509 |
|
| Amgen, Cl A |
|
|
0.7 |
|
|
|
144,948 |
|
|
|
20,359 |
|
| Biogen Idec* |
|
|
0.8 |
|
|
|
79,044 |
|
|
|
26,149 |
|
| Celgene, Cl A* |
|
|
1.0 |
|
|
|
336,014 |
|
|
|
31,848 |
|
| Express Scripts Holding* |
|
|
0.7 |
|
|
|
289,070 |
|
|
|
20,417 |
|
| Gilead Sciences* |
|
|
0.8 |
|
|
|
231,849 |
|
|
|
24,680 |
|
| Humana |
|
|
0.6 |
|
|
|
142,839 |
|
|
|
18,610 |
|
| Johnson & Johnson |
|
|
0.6 |
|
|
|
181,443 |
|
|
|
19,340 |
|
| Pfizer |
|
|
0.8 |
|
|
|
803,311 |
|
|
|
23,754 |
|
| Shire ADR |
|
|
0.7 |
|
|
|
84,071 |
|
|
|
21,778 |
|
| Other Securities |
|
|
6.7 |
|
|
|
|
|
|
|
206,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
442,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 8.9% |
|
|
|
|
|
| Canadian Pacific Railway |
|
|
0.9 |
|
|
|
137,739 |
|
|
|
28,577 |
|
| Northrop Grumman |
|
|
0.7 |
|
|
|
156,994 |
|
|
|
20,686 |
|
| Raytheon |
|
|
0.5 |
|
|
|
160,818 |
|
|
|
16,342 |
|
| Other Securities |
|
|
6.8 |
|
|
|
|
|
|
|
210,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
275,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 20.3% |
|
|
|
|
|
| Adobe Systems* |
|
|
1.3 |
|
|
|
592,523 |
|
|
|
40,997 |
|
| Apple |
|
|
1.2 |
|
|
|
371,259 |
|
|
|
37,404 |
|
| Applied Materials |
|
|
0.6 |
|
|
|
865,500 |
|
|
|
18,703 |
|
| Facebook, Cl A* |
|
|
0.9 |
|
|
|
356,099 |
|
|
|
28,146 |
|
| Google, Cl A* |
|
|
0.6 |
|
|
|
29,979 |
|
|
|
17,640 |
|
| Google, Cl C* |
|
|
0.9 |
|
|
|
46,906 |
|
|
|
27,082 |
|
| MasterCard, Cl A |
|
|
1.2 |
|
|
|
505,598 |
|
|
|
37,374 |
|
| Microsoft |
|
|
1.3 |
|
|
|
883,147 |
|
|
|
40,943 |
|
| Qualcomm |
|
|
1.3 |
|
|
|
534,150 |
|
|
|
39,938 |
|
| Visa, Cl A |
|
|
1.3 |
|
|
|
188,618 |
|
|
|
40,246 |
|
| Western Digital |
|
|
0.7 |
|
|
|
230,097 |
|
|
|
22,393 |
|
| Other Securities |
|
|
9.0 |
|
|
|
|
|
|
|
275,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
626,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.4% |
|
|
|
|
|
| LyondellBasell Industries, Cl A |
|
|
0.7 |
|
|
|
197,175 |
|
|
|
21,425 |
|
| Other Securities |
|
|
2.7 |
|
|
|
|
|
|
|
82,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.6% |
|
|
|
|
|
| Other Securities |
|
|
0.6 |
|
|
|
|
|
|
|
17,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 42 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 1.6% |
|
|
|
|
|
| Other Securities |
|
|
1.6 |
% |
|
|
|
|
|
$ |
48,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,758,450) ($ Thousands) |
|
|
|
2,923,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.4% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
3.4 |
|
|
|
106,036,456 |
|
|
|
106,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $106,036) ($ Thousands) |
|
|
|
106,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.4% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**†† |
|
|
5.4 |
|
|
|
166,898,018 |
|
|
|
166,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $166,898) ($ Thousands) |
|
|
|
166,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.2% |
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
5,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $5,406) ($ Thousands) |
|
|
|
5,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.6%
(Cost $2,036,790) ($ Thousands) |
|
|
$ |
3,201,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
1,000 |
|
|
|
Dec-2014 |
|
|
$ |
(788 |
) |
| S&P Mid 400 Index E-MINI |
|
|
101 |
|
|
|
Dec-2014 |
|
|
|
(567 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $3,090,311 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $101,757 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$106,036 ($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The
Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other
Securities’’ represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise
apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial
instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,923,015 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,923,015 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
106,036 |
|
|
|
— |
|
|
|
106,036 |
|
| Cash Equivalent |
|
|
166,898 |
|
|
|
— |
|
|
|
— |
|
|
|
166,898 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
5,407 |
|
|
|
— |
|
|
|
5,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
3,089,913 |
|
|
$ |
111,443 |
|
|
$ |
— |
|
|
$ |
3,201,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(1,355 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(1,355 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
43 |
|
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 99.1% |
|
|
| Consumer Discretionary — 11.6% |
|
| Amazon.com, Cl A* |
|
|
0.7 |
% |
|
|
52,900 |
|
|
$ |
17,057 |
|
| Comcast, Cl A |
|
|
0.8 |
|
|
|
361,722 |
|
|
|
19,453 |
|
| Home Depot |
|
|
0.7 |
|
|
|
188,096 |
|
|
|
17,256 |
|
| McDonald’s |
|
|
0.5 |
|
|
|
137,170 |
|
|
|
13,005 |
|
| Walt Disney |
|
|
0.8 |
|
|
|
220,727 |
|
|
|
19,651 |
|
| Other Securities |
|
|
8.1 |
|
|
|
|
|
|
|
200,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
286,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 9.5% |
|
| Altria Group |
|
|
0.5 |
|
|
|
277,156 |
|
|
|
12,733 |
|
| Coca-Cola |
|
|
0.9 |
|
|
|
551,706 |
|
|
|
23,536 |
|
| CVS Health |
|
|
0.5 |
|
|
|
161,835 |
|
|
|
12,880 |
|
| PepsiCo |
|
|
0.8 |
|
|
|
210,585 |
|
|
|
19,603 |
|
| Philip Morris International |
|
|
0.8 |
|
|
|
218,265 |
|
|
|
18,203 |
|
| Procter & Gamble |
|
|
1.3 |
|
|
|
378,501 |
|
|
|
31,696 |
|
| Wal-Mart Stores |
|
|
0.7 |
|
|
|
220,644 |
|
|
|
16,873 |
|
| Other Securities |
|
|
4.0 |
|
|
|
|
|
|
|
98,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
233,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 9.6% |
|
| Chevron |
|
|
1.3 |
|
|
|
265,478 |
|
|
|
31,677 |
|
| ConocoPhillips |
|
|
0.5 |
|
|
|
171,843 |
|
|
|
13,149 |
|
| Exxon Mobil |
|
|
2.3 |
|
|
|
596,298 |
|
|
|
56,082 |
|
| Schlumberger, Cl A |
|
|
0.7 |
|
|
|
181,143 |
|
|
|
18,420 |
|
| Other Securities |
|
|
4.8 |
|
|
|
|
|
|
|
118,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
237,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 16.1% |
|
| American Express |
|
|
0.4 |
|
|
|
125,715 |
|
|
|
11,005 |
|
| American International Group |
|
|
0.4 |
|
|
|
199,308 |
|
|
|
10,767 |
|
| Bank of America |
|
|
1.0 |
|
|
|
1,469,928 |
|
|
|
25,062 |
|
| Berkshire Hathaway, Cl B* |
|
|
1.4 |
|
|
|
254,847 |
|
|
|
35,205 |
|
| Citigroup |
|
|
0.9 |
|
|
|
423,708 |
|
|
|
21,956 |
|
| JPMorgan Chase |
|
|
1.3 |
|
|
|
525,757 |
|
|
|
31,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wells Fargo |
|
|
1.4 |
% |
|
|
664,163 |
|
|
$ |
34,450 |
|
| Other Securities |
|
|
9.3 |
|
|
|
|
|
|
|
229,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
399,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 13.8% |
|
| AbbVie |
|
|
0.5 |
|
|
|
222,346 |
|
|
|
12,843 |
|
| Amgen, Cl A |
|
|
0.6 |
|
|
|
106,155 |
|
|
|
14,910 |
|
| Biogen Idec* |
|
|
0.4 |
|
|
|
33,000 |
|
|
|
10,917 |
|
| Bristol-Myers Squibb |
|
|
0.5 |
|
|
|
231,575 |
|
|
|
11,852 |
|
| Gilead Sciences* |
|
|
0.9 |
|
|
|
211,244 |
|
|
|
22,487 |
|
| Johnson & Johnson |
|
|
1.7 |
|
|
|
394,282 |
|
|
|
42,026 |
|
| Merck |
|
|
1.0 |
|
|
|
403,244 |
|
|
|
23,904 |
|
| Pfizer |
|
|
1.1 |
|
|
|
886,391 |
|
|
|
26,211 |
|
| UnitedHealth Group |
|
|
0.5 |
|
|
|
135,747 |
|
|
|
11,708 |
|
| Other Securities |
|
|
6.6 |
|
|
|
|
|
|
|
163,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
340,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 10.2% |
|
| 3M |
|
|
0.5 |
|
|
|
90,482 |
|
|
|
12,819 |
|
| Boeing |
|
|
0.5 |
|
|
|
93,632 |
|
|
|
11,927 |
|
| General Electric |
|
|
1.4 |
|
|
|
1,402,774 |
|
|
|
35,939 |
|
| Union Pacific |
|
|
0.5 |
|
|
|
125,388 |
|
|
|
13,594 |
|
| United Technologies |
|
|
0.5 |
|
|
|
118,832 |
|
|
|
12,549 |
|
| Other Securities |
|
|
6.8 |
|
|
|
|
|
|
|
165,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
252,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 19.5% |
|
| Apple |
|
|
3.4 |
|
|
|
837,317 |
|
|
|
84,360 |
|
| Cisco Systems |
|
|
0.7 |
|
|
|
712,604 |
|
|
|
17,936 |
|
| Facebook, Cl A* |
|
|
0.9 |
|
|
|
272,600 |
|
|
|
21,546 |
|
| Google, Cl A* |
|
|
0.9 |
|
|
|
39,663 |
|
|
|
23,338 |
|
| Google, Cl C* |
|
|
0.9 |
|
|
|
39,663 |
|
|
|
22,900 |
|
| Intel |
|
|
1.0 |
|
|
|
692,015 |
|
|
|
24,096 |
|
| International Business Machines |
|
|
1.0 |
|
|
|
129,637 |
|
|
|
24,609 |
|
| Microsoft |
|
|
2.1 |
|
|
|
1,152,093 |
|
|
|
53,411 |
|
| Oracle, Cl B |
|
|
0.7 |
|
|
|
454,488 |
|
|
|
17,398 |
|
| Qualcomm |
|
|
0.7 |
|
|
|
234,232 |
|
|
|
17,514 |
|
| Visa, Cl A |
|
|
0.6 |
|
|
|
68,772 |
|
|
|
14,674 |
|
| Other Securities |
|
|
6.6 |
|
|
|
|
|
|
|
159,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
481,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.4% |
|
| Other Securities |
|
|
3.4 |
|
|
|
|
|
|
|
84,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 2.4% |
|
| AT&T |
|
|
1.0 |
|
|
|
724,940 |
|
|
|
25,547 |
|
| Verizon Communications |
|
|
1.2 |
|
|
|
579,448 |
|
|
|
28,967 |
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
5,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 44 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.0% |
|
| Other Securities |
|
|
3.0 |
% |
|
|
|
|
|
$ |
73,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $983,457) ($ Thousands) |
|
|
|
2,450,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.2% |
|
| SEI Liquidity Fund, L.P.
0.080%**† (B) |
|
|
2.2 |
|
|
|
54,885,947 |
|
|
|
54,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $54,886) ($ Thousands) |
|
|
|
54,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 0.6% |
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**† |
|
|
0.6 |
|
|
|
13,301,212 |
|
|
|
13,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $13,301) ($ Thousands) |
|
|
|
13,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.1% |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $3,310) ($ Thousands) |
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.0%
(Cost $1,054,954) ($ Thousands) |
|
|
$ |
2,522,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
(Depreciation)
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
240 |
|
|
|
Dec-2014 |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $2,472,718 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $53,007 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$54,886 ($Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The
Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other
Securities’’ represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (‘‘SEC’’). In certain instances, securities for which footnotes listed above may
otherwise
apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and
(ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in
valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,450,655 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,450,655 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
54,886 |
|
|
|
— |
|
|
|
54,886 |
|
| Cash Equivalent |
|
|
13,301 |
|
|
|
— |
|
|
|
— |
|
|
|
13,301 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
3,310 |
|
|
|
— |
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
2,463,956 |
|
|
$ |
58,196 |
|
|
$ |
— |
|
|
$ |
2,522,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(134 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(134 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
45 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 94.2% |
|
|
|
|
|
|
|
| Consumer Discretionary — 12.7% |
|
|
|
|
|
| Brunswick |
|
|
0.5 |
% |
|
|
50,877 |
|
|
$ |
2,144 |
|
| Fiesta Restaurant Group* |
|
|
0.3 |
|
|
|
29,931 |
|
|
|
1,487 |
|
| Five Below* |
|
|
0.6 |
|
|
|
71,247 |
|
|
|
2,822 |
|
| Jack in the Box |
|
|
0.5 |
|
|
|
35,341 |
|
|
|
2,410 |
|
| Marriott Vacations Worldwide* |
|
|
0.4 |
|
|
|
27,424 |
|
|
|
1,739 |
|
| Pool |
|
|
0.4 |
|
|
|
34,888 |
|
|
|
1,881 |
|
| Shutterfly* |
|
|
0.3 |
|
|
|
31,275 |
|
|
|
1,524 |
|
| Vitamin Shoppe* |
|
|
0.3 |
|
|
|
38,217 |
|
|
|
1,696 |
|
| Other Securities |
|
|
9.4 |
|
|
|
|
|
|
|
45,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.7% |
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
8,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 6.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Helix Energy Solutions Group* |
|
|
0.4 |
|
|
|
81,377 |
|
|
|
1,795 |
|
| PDC Energy, Cl A* |
|
|
0.3 |
|
|
|
30,522 |
|
|
|
1,535 |
|
| Rosetta Resources* |
|
|
0.4 |
|
|
|
43,718 |
|
|
|
1,948 |
|
| Other Securities |
|
|
5.8 |
|
|
|
|
|
|
|
27,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 19.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank of the Ozarks |
|
|
0.3 |
|
|
|
52,146 |
|
|
|
1,644 |
|
| CNO Financial Group |
|
|
0.5 |
|
|
|
144,800 |
|
|
|
2,456 |
|
| EastGroup Properties† |
|
|
0.3 |
|
|
|
26,979 |
|
|
|
1,635 |
|
| Hanover Insurance Group, Cl A |
|
|
0.3 |
|
|
|
25,370 |
|
|
|
1,558 |
|
| IBERIABANK |
|
|
0.4 |
|
|
|
28,825 |
|
|
|
1,802 |
|
| Pebblebrook Hotel Trust† |
|
|
0.3 |
|
|
|
43,393 |
|
|
|
1,620 |
|
| Radian Group |
|
|
0.3 |
|
|
|
115,841 |
|
|
|
1,652 |
|
| Western Alliance Bancorp* |
|
|
0.4 |
|
|
|
84,778 |
|
|
|
2,026 |
|
| Other Securities |
|
|
16.8 |
|
|
|
|
|
|
|
80,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 13.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Acadia Healthcare, Cl A* |
|
|
0.6 |
% |
|
|
58,610 |
|
|
$ |
2,843 |
|
| Akorn* |
|
|
0.4 |
|
|
|
54,452 |
|
|
|
1,975 |
|
| Greatbatch* |
|
|
0.3 |
|
|
|
38,745 |
|
|
|
1,651 |
|
| HealthSouth |
|
|
0.5 |
|
|
|
67,697 |
|
|
|
2,498 |
|
| Isis Pharmaceuticals* |
|
|
0.3 |
|
|
|
40,897 |
|
|
|
1,588 |
|
| Puma Biotechnology* |
|
|
0.4 |
|
|
|
8,509 |
|
|
|
2,030 |
|
| Other Securities |
|
|
10.7 |
|
|
|
|
|
|
|
51,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 15.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Actuant, Cl A |
|
|
0.4 |
|
|
|
68,707 |
|
|
|
2,097 |
|
| Carlisle |
|
|
0.3 |
|
|
|
20,096 |
|
|
|
1,615 |
|
| Curtiss-Wright |
|
|
0.4 |
|
|
|
25,672 |
|
|
|
1,692 |
|
| Dycom Industries* |
|
|
0.3 |
|
|
|
48,090 |
|
|
|
1,477 |
|
| EMCOR Group |
|
|
0.4 |
|
|
|
44,145 |
|
|
|
1,764 |
|
| Esterline Technologies* |
|
|
0.4 |
|
|
|
15,319 |
|
|
|
1,705 |
|
| H&E Equipment Services |
|
|
0.4 |
|
|
|
45,990 |
|
|
|
1,853 |
|
| Kirby* |
|
|
0.3 |
|
|
|
14,196 |
|
|
|
1,673 |
|
| Middleby* |
|
|
0.4 |
|
|
|
22,332 |
|
|
|
1,968 |
|
| Swift Transportation,
Cl A* |
|
|
0.4 |
|
|
|
97,018 |
|
|
|
2,035 |
|
| TrueBlue* |
|
|
0.4 |
|
|
|
76,185 |
|
|
|
1,924 |
|
| Other Securities |
|
|
11.4 |
|
|
|
|
|
|
|
55,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 18.1% |
|
|
|
|
|
| Aspen Technology* |
|
|
0.4 |
|
|
|
53,474 |
|
|
|
2,017 |
|
| Cavium* |
|
|
0.5 |
|
|
|
45,330 |
|
|
|
2,254 |
|
| Dealertrack Technologies* |
|
|
0.5 |
|
|
|
56,524 |
|
|
|
2,454 |
|
| Demandware* |
|
|
0.3 |
|
|
|
30,828 |
|
|
|
1,570 |
|
| Envestnet* |
|
|
0.5 |
|
|
|
54,393 |
|
|
|
2,448 |
|
| Fortinet* |
|
|
0.3 |
|
|
|
59,261 |
|
|
|
1,497 |
|
| Guidewire Software,
Cl Z* |
|
|
0.4 |
|
|
|
41,934 |
|
|
|
1,859 |
|
| Intersil, Cl A |
|
|
0.5 |
|
|
|
165,347 |
|
|
|
2,350 |
|
| Ruckus Wireless* |
|
|
0.4 |
|
|
|
154,787 |
|
|
|
2,068 |
|
| Other Securities |
|
|
14.3 |
|
|
|
|
|
|
|
68,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| PolyOne |
|
|
0.4 |
|
|
|
55,080 |
|
|
|
1,960 |
|
| US Silica Holdings |
|
|
0.4 |
|
|
|
28,526 |
|
|
|
1,783 |
|
| Other Securities |
|
|
2.9 |
|
|
|
|
|
|
|
14,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.3% |
|
|
|
|
|
| Other Securities |
|
|
0.3 |
|
|
|
|
|
|
|
1,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 46 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 2.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| ALLETE |
|
|
0.4 |
% |
|
|
38,505 |
|
|
$ |
1,709 |
|
| PNM Resources |
|
|
0.4 |
|
|
|
75,426 |
|
|
|
1,879 |
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
8,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $392,864) ($ Thousands) |
|
|
|
455,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — 0.6% |
|
|
|
|
|
| iShares Russell 2000 Value ETF |
|
|
0.3 |
|
|
|
16,700 |
|
|
|
1,563 |
|
| Other Securities |
|
|
0.3 |
|
|
|
|
|
|
|
1,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $2,858) ($ Thousands) |
|
|
|
2,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $—) ($ Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 12.3% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
12.3 |
|
|
|
59,508,011 |
|
|
|
59,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $59,508) ($ Thousands) |
|
|
|
59,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 4.9% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**†† |
|
|
4.9 |
|
|
|
23,849,366 |
|
|
|
23,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $23,849) ($ Thousands) |
|
|
|
23,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.2% |
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $783) ($ Thousands) |
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 112.2%
(Cost $479,862) ($ Thousands) |
|
|
$ |
542,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
94 |
|
|
|
Dec-2014 |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $483,282 ($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $56,717 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral received from securities on loan (see note 10). The total market value of such securities as of September 30, 2014
was $59,508 ($Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
ETF — Exchange Traded Fund
L.P. — Limited Partnership
The Summary Schedule
of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other Securities’’ represent all
issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other
Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
455,370 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
455,370 |
|
| Exchange Traded Funds |
|
|
2,878 |
|
|
|
— |
|
|
|
— |
|
|
|
2,878 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Affiliated Partnership |
|
|
— |
|
|
|
59,508 |
|
|
|
— |
|
|
|
59,508 |
|
| Cash Equivalent |
|
|
23,849 |
|
|
|
— |
|
|
|
— |
|
|
|
23,849 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
783 |
|
|
|
— |
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
482,097 |
|
|
$ |
60,291 |
|
|
$ |
— |
|
|
$ |
542,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(456 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(456 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2014, there were no level 3 investments.
For more information on
valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as
‘‘—‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
47 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 94.9%‡ |
|
|
|
|
|
|
|
| Consumer Discretionary — 8.2% |
|
|
|
|
|
| Libbey* |
|
|
0.4 |
% |
|
|
56,900 |
|
|
$ |
1,494 |
|
| Matthews International, Cl A |
|
|
0.4 |
|
|
|
33,248 |
|
|
|
1,459 |
|
| Rent-A-Center (A) |
|
|
0.5 |
|
|
|
64,408 |
|
|
|
1,955 |
|
| Other Securities |
|
|
6.9 |
|
|
|
|
|
|
|
26,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 2.4% |
|
| Darling Ingredients* |
|
|
0.3 |
|
|
|
67,442 |
|
|
|
1,236 |
|
| Fresh Del Monte Produce |
|
|
0.4 |
|
|
|
40,733 |
|
|
|
1,299 |
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
6,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 7.7% |
|
| Approach Resources, Cl A* (A) |
|
|
0.7 |
|
|
|
185,443 |
|
|
|
2,689 |
|
| Cloud Peak Energy* |
|
|
0.3 |
|
|
|
106,022 |
|
|
|
1,338 |
|
| McDermott International* (A) |
|
|
0.3 |
|
|
|
208,686 |
|
|
|
1,194 |
|
| Nuverra Environmental Solutions* (A) |
|
|
0.5 |
|
|
|
137,700 |
|
|
|
2,031 |
|
| Scorpio Tankers (A) |
|
|
0.4 |
|
|
|
162,900 |
|
|
|
1,354 |
|
| World Fuel Services (A) |
|
|
0.5 |
|
|
|
44,630 |
|
|
|
1,782 |
|
| Other Securities |
|
|
5.0 |
|
|
|
|
|
|
|
18,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 36.6% |
|
| Brandywine Realty Trust† |
|
|
0.3 |
|
|
|
83,090 |
|
|
|
1,169 |
|
| Central Pacific Financial |
|
|
0.3 |
|
|
|
71,600 |
|
|
|
1,284 |
|
| CNO Financial Group |
|
|
0.8 |
|
|
|
168,875 |
|
|
|
2,864 |
|
| Employers Holdings |
|
|
0.4 |
|
|
|
74,976 |
|
|
|
1,443 |
|
| First Midwest Bancorp |
|
|
0.3 |
|
|
|
72,795 |
|
|
|
1,171 |
|
| Geo Group† |
|
|
0.6 |
|
|
|
55,700 |
|
|
|
2,129 |
|
| Hanover Insurance Group, Cl A |
|
|
0.8 |
|
|
|
50,538 |
|
|
|
3,104 |
|
| Hatteras Financial† |
|
|
0.4 |
|
|
|
88,385 |
|
|
|
1,587 |
|
| Horace Mann Educators, Cl A |
|
|
0.4 |
|
|
|
47,909 |
|
|
|
1,366 |
|
| IBERIABANK |
|
|
0.3 |
|
|
|
20,443 |
|
|
|
1,278 |
|
| Lexington Realty Trust† |
|
|
0.3 |
|
|
|
119,452 |
|
|
|
1,169 |
|
| Nelnet, Cl A |
|
|
0.4 |
|
|
|
36,600 |
|
|
|
1,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PacWest Bancorp |
|
|
0.3 |
% |
|
|
30,656 |
|
|
$ |
1,264 |
|
| Platinum Underwriters Holdings |
|
|
0.6 |
|
|
|
38,314 |
|
|
|
2,332 |
|
| Popular* |
|
|
0.6 |
|
|
|
70,500 |
|
|
|
2,075 |
|
| Simon Property Group† |
|
|
0.5 |
|
|
|
10,344 |
|
|
|
1,701 |
|
| Webster Financial |
|
|
0.3 |
|
|
|
39,630 |
|
|
|
1,155 |
|
| WSFS Financial |
|
|
0.4 |
|
|
|
18,385 |
|
|
|
1,317 |
|
| Other Securities |
|
|
28.6 |
|
|
|
|
|
|
|
108,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
138,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 4.9% |
|
| Accuray* (A) |
|
|
0.4 |
|
|
|
213,900 |
|
|
|
1,553 |
|
| Other Securities |
|
|
4.5 |
|
|
|
|
|
|
|
17,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.1% |
|
| Cubic |
|
|
0.3 |
|
|
|
26,870 |
|
|
|
1,258 |
|
| Curtiss-Wright |
|
|
0.5 |
|
|
|
26,665 |
|
|
|
1,758 |
|
| EMCOR Group |
|
|
0.8 |
|
|
|
78,583 |
|
|
|
3,140 |
|
| FTI Consulting* |
|
|
0.5 |
|
|
|
51,750 |
|
|
|
1,809 |
|
| Great Lakes Dredge & Dock* |
|
|
0.3 |
|
|
|
208,400 |
|
|
|
1,288 |
|
| JetBlue Airways* (A) |
|
|
0.4 |
|
|
|
155,800 |
|
|
|
1,655 |
|
| Kadant |
|
|
0.3 |
|
|
|
32,741 |
|
|
|
1,278 |
|
| Tutor Perini* |
|
|
0.4 |
|
|
|
49,887 |
|
|
|
1,317 |
|
| Other Securities |
|
|
12.6 |
|
|
|
|
|
|
|
47,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 10.9% |
|
| Adtran (A) |
|
|
0.4 |
|
|
|
67,986 |
|
|
|
1,396 |
|
| Arrow Electronics, Cl A* |
|
|
0.3 |
|
|
|
20,956 |
|
|
|
1,160 |
|
| Cadence Design Systems* |
|
|
0.3 |
|
|
|
73,250 |
|
|
|
1,261 |
|
| MKS Instruments (A) |
|
|
0.3 |
|
|
|
35,264 |
|
|
|
1,177 |
|
| Tech Data* |
|
|
0.5 |
|
|
|
30,009 |
|
|
|
1,766 |
|
| Ultratech* |
|
|
0.4 |
|
|
|
61,065 |
|
|
|
1,389 |
|
| Other Securities |
|
|
8.7 |
|
|
|
|
|
|
|
33,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
| H.B. Fuller |
|
|
0.4 |
|
|
|
40,020 |
|
|
|
1,589 |
|
| Sensient Technologies |
|
|
0.4 |
|
|
|
31,571 |
|
|
|
1,653 |
|
| Other Securities |
|
|
3.6 |
|
|
|
|
|
|
|
13,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.7% |
|
| Other Securities |
|
|
0.7 |
|
|
|
|
|
|
|
2,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.0% |
|
| Avista |
|
|
0.3 |
|
|
|
39,000 |
|
|
|
1,191 |
|
| Great Plains Energy |
|
|
0.3 |
|
|
|
52,712 |
|
|
|
1,274 |
|
| Portland General Electric (A) |
|
|
0.7 |
|
|
|
78,722 |
|
|
|
2,528 |
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
6,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $325,870) ($ Thousands) |
|
|
|
|
|
|
|
359,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 48 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — (A) 1.1% |
|
|
|
|
|
| iShares Russell 2000 ETF |
|
|
0.8 |
% |
|
|
31,800 |
|
|
$ |
2,975 |
|
| Other securities |
|
|
0.3 |
|
|
|
|
|
|
|
1,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $3,937) ($ Thousands) |
|
|
|
4,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 13.1% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
13.1 |
|
|
|
49,789,563 |
|
|
|
49,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $49,790) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
49,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.8% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**†† |
|
|
3.8 |
|
|
|
14,510,128 |
|
|
|
14,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $14,510) ($Thousands) |
|
|
|
|
|
|
|
|
|
|
14,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.2% |
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $598) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 113.1%
(Cost $394,705) ($ Thousands) |
|
|
|
|
|
|
$ |
428,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
65 |
|
|
|
Dec-2014 |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $379,007 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan as of
September 30, 2014 was $47,343 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$49,790 ($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
ETF — Exchange Traded Fund
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the
Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and
Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without
charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of
the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
359,782 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
359,782 |
|
| Exchange Traded Funds |
|
|
4,118 |
|
|
|
— |
|
|
|
— |
|
|
|
4,118 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
49,790 |
|
|
|
— |
|
|
|
49,790 |
|
| Cash Equivalent |
|
|
14,510 |
|
|
|
— |
|
|
|
— |
|
|
|
14,510 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
598 |
|
|
|
— |
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
378,410 |
|
|
$ |
50,388 |
|
|
$ |
— |
|
|
$ |
428,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(369 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(369 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
49 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 96.3%‡ |
|
|
|
|
|
|
|
| Consumer Discretionary — 14.6% |
|
|
|
|
|
| Buffalo Wild Wings* |
|
|
0.5 |
% |
|
|
12,620 |
|
|
$ |
1,695 |
|
| Capella Education |
|
|
0.4 |
|
|
|
22,869 |
|
|
|
1,432 |
|
| Five Below* (A) |
|
|
0.8 |
|
|
|
67,443 |
|
|
|
2,671 |
|
| National CineMedia |
|
|
0.5 |
|
|
|
113,941 |
|
|
|
1,653 |
|
| Pool |
|
|
0.5 |
|
|
|
29,597 |
|
|
|
1,596 |
|
| Sally Beauty Holdings* |
|
|
0.4 |
|
|
|
54,943 |
|
|
|
1,504 |
|
| Wolverine World Wide (A) |
|
|
0.6 |
|
|
|
79,930 |
|
|
|
2,003 |
|
| Other Securities |
|
|
10.9 |
|
|
|
|
|
|
|
36,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.9% |
|
| Casey’s General Stores |
|
|
0.4 |
|
|
|
17,471 |
|
|
|
1,253 |
|
| Other Securities |
|
|
1.5 |
|
|
|
|
|
|
|
5,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 5.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Dril-Quip* |
|
|
0.6 |
|
|
|
22,301 |
|
|
|
1,994 |
|
| Forum Energy Technologies* |
|
|
0.4 |
|
|
|
44,821 |
|
|
|
1,372 |
|
| Laredo Petroleum* (A) |
|
|
0.4 |
|
|
|
56,604 |
|
|
|
1,269 |
|
| Other Securities |
|
|
4.0 |
|
|
|
|
|
|
|
13,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 6.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Signature Bank NY, Cl B* |
|
|
0.4 |
|
|
|
13,179 |
|
|
|
1,477 |
|
| Other Securities |
|
|
6.5 |
|
|
|
|
|
|
|
22,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 20.7% |
|
|
|
|
|
| Acadia Healthcare,
Cl A* (A) |
|
|
0.8 |
|
|
|
58,850 |
|
|
|
2,854 |
|
| Akorn* (A) |
|
|
0.5 |
|
|
|
47,202 |
|
|
|
1,712 |
|
| Insulet* |
|
|
0.5 |
|
|
|
45,508 |
|
|
|
1,677 |
|
| Isis Pharmaceuticals* (A) |
|
|
0.5 |
|
|
|
46,833 |
|
|
|
1,818 |
|
| LDR Holding* (A) |
|
|
0.5 |
|
|
|
48,813 |
|
|
|
1,520 |
|
| Novadaq Technologies* (A) |
|
|
0.4 |
|
|
|
99,813 |
|
|
|
1,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NPS Pharmaceuticals* |
|
|
0.5 |
% |
|
|
59,973 |
|
|
$ |
1,559 |
|
| Pacira Pharmaceuticals* |
|
|
0.5 |
|
|
|
17,090 |
|
|
|
1,656 |
|
| Parexel International* |
|
|
0.5 |
|
|
|
24,750 |
|
|
|
1,562 |
|
| Puma Biotechnology* |
|
|
0.8 |
|
|
|
11,991 |
|
|
|
2,861 |
|
| Other Securities |
|
|
15.2 |
|
|
|
|
|
|
|
51,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,967 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.8% |
|
|
|
|
|
| Acuity Brands (A) |
|
|
0.4 |
|
|
|
11,831 |
|
|
|
1,393 |
|
| Carlisle |
|
|
0.6 |
|
|
|
24,710 |
|
|
|
1,986 |
|
| Hexcel, Cl A* |
|
|
0.5 |
|
|
|
43,424 |
|
|
|
1,724 |
|
| Kirby* |
|
|
0.6 |
|
|
|
17,500 |
|
|
|
2,062 |
|
| Middleby* |
|
|
0.7 |
|
|
|
28,464 |
|
|
|
2,509 |
|
| Old Dominion Freight Line, Cl A* |
|
|
0.4 |
|
|
|
20,487 |
|
|
|
1,447 |
|
| TrueBlue* |
|
|
0.7 |
|
|
|
87,011 |
|
|
|
2,198 |
|
| Other Securities |
|
|
12.9 |
|
|
|
|
|
|
|
43,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 26.2% |
|
|
|
|
|
| Aspen Technology* |
|
|
0.6 |
|
|
|
56,390 |
|
|
|
2,127 |
|
| Cavium* (A) |
|
|
0.6 |
|
|
|
41,063 |
|
|
|
2,042 |
|
| Cornerstone OnDemand* |
|
|
0.4 |
|
|
|
37,947 |
|
|
|
1,306 |
|
| CoStar Group* |
|
|
0.6 |
|
|
|
11,931 |
|
|
|
1,856 |
|
| Dealertrack Technologies* |
|
|
0.6 |
|
|
|
46,517 |
|
|
|
2,019 |
|
| Demandware* (A) |
|
|
0.4 |
|
|
|
28,120 |
|
|
|
1,432 |
|
| Envestnet* |
|
|
1.0 |
|
|
|
75,820 |
|
|
|
3,412 |
|
| Euronet Worldwide* |
|
|
0.4 |
|
|
|
31,176 |
|
|
|
1,490 |
|
| Fortinet* |
|
|
0.5 |
|
|
|
72,425 |
|
|
|
1,830 |
|
| Guidewire Software,
Cl Z* (A) |
|
|
0.7 |
|
|
|
48,473 |
|
|
|
2,149 |
|
| Manhattan Associates* |
|
|
0.4 |
|
|
|
37,300 |
|
|
|
1,247 |
|
| MAXIMUS |
|
|
0.4 |
|
|
|
31,031 |
|
|
|
1,245 |
|
| Methode Electronics |
|
|
0.4 |
|
|
|
38,600 |
|
|
|
1,423 |
|
| Monolithic Power Systems |
|
|
0.5 |
|
|
|
37,621 |
|
|
|
1,657 |
|
| RF Micro Devices, Cl A* (A) |
|
|
0.4 |
|
|
|
125,455 |
|
|
|
1,448 |
|
| Ruckus Wireless* |
|
|
0.5 |
|
|
|
131,292 |
|
|
|
1,754 |
|
| SS&C Technologies Holdings* |
|
|
0.8 |
|
|
|
58,123 |
|
|
|
2,551 |
|
| Synaptics* |
|
|
0.4 |
|
|
|
20,650 |
|
|
|
1,512 |
|
| Tableau Software, Cl A* |
|
|
0.4 |
|
|
|
20,353 |
|
|
|
1,479 |
|
| WEX* |
|
|
0.4 |
|
|
|
11,256 |
|
|
|
1,242 |
|
| Other Securities |
|
|
15.8 |
|
|
|
|
|
|
|
53,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.3% |
|
|
|
|
|
| PolyOne |
|
|
0.4 |
|
|
|
37,695 |
|
|
|
1,341 |
|
| Other Securities |
|
|
2.9 |
|
|
|
|
|
|
|
9,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.4% |
|
| Other Securities |
|
|
0.4 |
|
|
|
|
|
|
|
1,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 50 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.1 |
% |
|
|
|
|
|
$ |
177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $296,381) ($ Thousands) |
|
|
|
|
|
|
|
326,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUND — 0.2% |
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Fund
(Cost $725) ($ Thousands) |
|
|
|
|
|
|
|
677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $—) ($ Thousands) |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.0% |
|
|
|
|
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $105) ($ Thousands) |
|
|
|
|
|
|
|
68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 16.3% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.
0.080%**† (B) |
|
|
16.3 |
|
|
|
55,195,281 |
|
|
|
55,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $55,195) ($ Thousands) |
|
|
|
55,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.2% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**† |
|
|
3.2 |
|
|
|
10,693,856 |
|
|
|
10,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $10,694) ($ Thousands) |
|
|
|
10,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.1% |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $367) ($ Thousands) |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 116.1%
(Cost $363,467) ($ Thousands) |
|
|
$ |
393,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
20 |
|
|
|
Dec-2014 |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
| Percentages |
|
are based on Net Assets of $338,817 ($Thousands). |
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan as of
September 30, 2014 was $52,772 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$55,195 ($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of
any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances,
securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and
(ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in
valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3(1) |
|
|
Total |
|
| Common Stock |
|
$ |
326,215 |
|
|
$ |
— |
|
|
$ |
68 |
|
|
$ |
326,283 |
|
| Exchange Traded Fund |
|
|
677 |
|
|
|
— |
|
|
|
— |
|
|
|
677 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Preferred Stock |
|
|
— |
|
|
|
68 |
|
|
|
— |
|
|
|
68 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
55,195 |
|
|
|
— |
|
|
|
55,195 |
|
| Cash Equivalent |
|
|
10,694 |
|
|
|
— |
|
|
|
— |
|
|
|
10,694 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
367 |
|
|
|
— |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
337,586 |
|
|
$ |
55,630 |
|
|
$ |
68 |
|
|
$ |
393,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(114 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(114 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
| (1) |
|
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the
period in relation to the net assets. |
For the year ended September 30, 2014, there were no transfers between Level 1 and
Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and
liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
51 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 93.2% |
|
|
| Consumer Discretionary — 13.0% |
|
| Cabela’s* (A) |
|
|
0.3 |
% |
|
|
26,989 |
|
|
$ |
1,590 |
|
| Five Below* (A) |
|
|
0.3 |
|
|
|
40,927 |
|
|
|
1,621 |
|
| Sally Beauty Holdings* |
|
|
0.3 |
|
|
|
62,468 |
|
|
|
1,710 |
|
| Other Securities |
|
|
12.1 |
|
|
|
|
|
|
|
69,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 3.2% |
|
| Other Securities |
|
|
3.2 |
|
|
|
|
|
|
|
18,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 5.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Helmerich & Payne |
|
|
0.3 |
|
|
|
15,849 |
|
|
|
1,551 |
|
| Oasis Petroleum* |
|
|
0.3 |
|
|
|
40,289 |
|
|
|
1,684 |
|
| Other Securities |
|
|
4.6 |
|
|
|
|
|
|
|
26,448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 19.3% |
|
| Affiliated Managers Group* |
|
|
0.3 |
|
|
|
7,614 |
|
|
|
1,526 |
|
| CNO Financial Group |
|
|
0.4 |
|
|
|
117,143 |
|
|
|
1,987 |
|
| East West Bancorp |
|
|
0.3 |
|
|
|
49,395 |
|
|
|
1,679 |
|
| Hancock Holding, Cl A |
|
|
0.3 |
|
|
|
50,948 |
|
|
|
1,633 |
|
| Hanover Insurance Group,
Cl A |
|
|
0.4 |
|
|
|
38,140 |
|
|
|
2,343 |
|
| Huntington Bancshares |
|
|
0.3 |
|
|
|
148,998 |
|
|
|
1,450 |
|
| IBERIABANK |
|
|
0.3 |
|
|
|
29,825 |
|
|
|
1,864 |
|
| PacWest Bancorp |
|
|
0.5 |
|
|
|
72,271 |
|
|
|
2,980 |
|
| PartnerRe |
|
|
0.3 |
|
|
|
14,878 |
|
|
|
1,635 |
|
| Pebblebrook Hotel Trust† |
|
|
0.3 |
|
|
|
47,337 |
|
|
|
1,768 |
|
| SVB Financial Group, Cl B* |
|
|
0.4 |
|
|
|
19,393 |
|
|
|
2,174 |
|
| Western Alliance Bancorp* |
|
|
0.3 |
|
|
|
70,979 |
|
|
|
1,696 |
|
| Other Securities |
|
|
15.2 |
|
|
|
|
|
|
|
87,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 11.9% |
|
| Acadia Healthcare, Cl A* |
|
|
0.4 |
|
|
|
44,350 |
|
|
|
2,151 |
|
| Charles River Laboratories International* |
|
|
0.3 |
|
|
|
29,906 |
|
|
|
1,787 |
|
| Humana |
|
|
0.3 |
|
|
|
12,744 |
|
|
|
1,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illumina* |
|
|
0.3 |
% |
|
|
9,836 |
|
|
$ |
1,612 |
|
| Insulet* |
|
|
0.3 |
|
|
|
47,510 |
|
|
|
1,751 |
|
| MEDNAX* |
|
|
0.3 |
|
|
|
27,690 |
|
|
|
1,518 |
|
| Pacira Pharmaceuticals* |
|
|
0.3 |
|
|
|
16,090 |
|
|
|
1,559 |
|
| Team Health Holdings* |
|
|
0.4 |
|
|
|
41,665 |
|
|
|
2,416 |
|
| Other Securities |
|
|
9.3 |
|
|
|
|
|
|
|
53,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.0% |
|
| Actuant, Cl A |
|
|
0.3 |
|
|
|
62,561 |
|
|
|
1,909 |
|
| Acuity Brands |
|
|
0.3 |
|
|
|
16,722 |
|
|
|
1,968 |
|
| Carlisle |
|
|
0.3 |
|
|
|
22,039 |
|
|
|
1,772 |
|
| Clean Harbors* |
|
|
0.3 |
|
|
|
35,531 |
|
|
|
1,916 |
|
| Curtiss-Wright |
|
|
0.3 |
|
|
|
29,201 |
|
|
|
1,925 |
|
| EMCOR Group |
|
|
0.4 |
|
|
|
48,413 |
|
|
|
1,935 |
|
| HD Supply Holdings* |
|
|
0.3 |
|
|
|
63,638 |
|
|
|
1,735 |
|
| Kirby* |
|
|
0.4 |
|
|
|
17,464 |
|
|
|
2,058 |
|
| Middleby* |
|
|
0.3 |
|
|
|
18,565 |
|
|
|
1,636 |
|
| Moog, Cl A* |
|
|
0.3 |
|
|
|
23,071 |
|
|
|
1,578 |
|
| Regal-Beloit |
|
|
0.3 |
|
|
|
23,284 |
|
|
|
1,496 |
|
| Stericycle, Cl A* |
|
|
0.4 |
|
|
|
18,266 |
|
|
|
2,129 |
|
| Trinity Industries |
|
|
0.3 |
|
|
|
35,278 |
|
|
|
1,648 |
|
| TrueBlue* |
|
|
0.3 |
|
|
|
62,958 |
|
|
|
1,590 |
|
| Watts Water Technologies, Cl A |
|
|
0.3 |
|
|
|
29,120 |
|
|
|
1,696 |
|
| Other Securities |
|
|
11.2 |
|
|
|
|
|
|
|
64,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 16.5% |
|
| Cadence Design Systems* |
|
|
0.6 |
|
|
|
196,641 |
|
|
|
3,384 |
|
| Concur Technologies* |
|
|
0.3 |
|
|
|
14,875 |
|
|
|
1,886 |
|
| CoStar Group* |
|
|
0.4 |
|
|
|
13,719 |
|
|
|
2,134 |
|
| Dealertrack Technologies* |
|
|
0.3 |
|
|
|
39,259 |
|
|
|
1,704 |
|
| Intersil, Cl A |
|
|
0.3 |
|
|
|
112,926 |
|
|
|
1,605 |
|
| PTC* |
|
|
0.6 |
|
|
|
86,887 |
|
|
|
3,206 |
|
| Other Securities |
|
|
14.0 |
|
|
|
|
|
|
|
80,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
| PolyOne |
|
|
0.4 |
|
|
|
63,674 |
|
|
|
2,266 |
|
| Silgan Holdings |
|
|
0.3 |
|
|
|
39,270 |
|
|
|
1,846 |
|
| Other Securities |
|
|
3.7 |
|
|
|
|
|
|
|
21,346 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.5% |
|
| Other Securities |
|
|
0.5 |
|
|
|
|
|
|
|
2,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Portland General Electric |
|
|
0.6 |
|
|
|
100,050 |
|
|
|
3,214 |
|
| SCANA |
|
|
0.3 |
|
|
|
29,391 |
|
|
|
1,458 |
|
| Other Securities |
|
|
2.3 |
|
|
|
|
|
|
|
13,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $392,463) ($ Thousands) |
|
|
|
534,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 52 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUND — 0.1% |
|
| Other Securities |
|
|
0.1 |
% |
|
|
|
|
|
$ |
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Fund
(Cost $613) ($ Thousands) |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS — 0.0% |
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $2) ($ Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WARRANTS — 0.0% |
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants
(Cost $—) ($ Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 7.5% |
|
| SEI Liquidity Fund, L.P.
0.080%**† (B) |
|
|
7.5 |
|
|
|
42,852,130 |
|
|
|
42,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $42,852) ($ Thousands) |
|
|
|
42,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 6.5% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**† |
|
|
6.5 |
|
|
|
37,381,602 |
|
|
|
37,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $37,382) ($ Thousands) |
|
|
|
37,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) — 0.2% |
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,073) ($ Thousands) |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 107.5%
(Cost $474,385) ($ Thousands) |
|
|
$ |
616,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
97 |
|
|
|
Dec-2014 |
|
|
$ |
(528 |
) |
| S&P Mid 400 Index E-MINI |
|
|
80 |
|
|
|
Dec-2014 |
|
|
|
(448 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $573,175 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6).
|
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan as of
September 30, 2014 was $41,356 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$42,852 ($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary
Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all
issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities
caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
533,306 |
|
|
$ |
894 |
|
|
$ |
— |
|
|
$ |
534,200 |
|
| Exchange Traded Fund |
|
|
888 |
|
|
|
— |
|
|
|
— |
|
|
|
888 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Affiliated Partnership |
|
|
— |
|
|
|
42,852 |
|
|
|
— |
|
|
|
42,852 |
|
| Cash Equivalent |
|
|
37,382 |
|
|
|
— |
|
|
|
— |
|
|
|
37,382 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,073 |
|
|
|
— |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
571,576 |
|
|
$ |
44,819 |
|
|
$ |
— |
|
|
$ |
616,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(976 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(976 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
53 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK (A) — 98.9% |
|
|
| Consumer Discretionary — 16.9% |
|
| BorgWarner |
|
|
0.6 |
% |
|
|
10,300 |
|
|
$ |
542 |
|
| Cabela’s* |
|
|
0.5 |
|
|
|
8,588 |
|
|
|
506 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
0.6 |
|
|
|
895 |
|
|
|
597 |
|
| Harley-Davidson, Cl A |
|
|
0.7 |
|
|
|
10,668 |
|
|
|
621 |
|
| Michael Kors Holdings* |
|
|
0.7 |
|
|
|
9,700 |
|
|
|
693 |
|
| Ralph Lauren, Cl A |
|
|
0.5 |
|
|
|
3,120 |
|
|
|
514 |
|
| Sally Beauty Holdings* |
|
|
0.5 |
|
|
|
17,398 |
|
|
|
476 |
|
| Tesla Motors* (A) |
|
|
0.5 |
|
|
|
2,090 |
|
|
|
507 |
|
| Other Securities |
|
|
12.3 |
|
|
|
|
|
|
|
11,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 5.8% |
|
| JM Smucker |
|
|
0.8 |
|
|
|
7,184 |
|
|
|
711 |
|
| Kroger |
|
|
0.9 |
|
|
|
15,988 |
|
|
|
831 |
|
| Monster Beverage* |
|
|
0.7 |
|
|
|
7,000 |
|
|
|
642 |
|
| SYSCO, Cl A |
|
|
0.5 |
|
|
|
12,635 |
|
|
|
480 |
|
| Other Securities |
|
|
2.9 |
|
|
|
|
|
|
|
2,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 6.0% |
|
| Cabot Oil & Gas |
|
|
0.5 |
|
|
|
15,000 |
|
|
|
490 |
|
| EQT |
|
|
0.7 |
|
|
|
7,403 |
|
|
|
678 |
|
| Other Securities |
|
|
4.8 |
|
|
|
|
|
|
|
4,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 16.9% |
|
| Affiliated Managers Group* |
|
|
0.7 |
|
|
|
3,570 |
|
|
|
715 |
|
| American Campus Communities† |
|
|
0.7 |
|
|
|
17,922 |
|
|
|
653 |
|
| Ameriprise Financial |
|
|
0.8 |
|
|
|
5,831 |
|
|
|
719 |
|
| CBRE Group, Cl A* |
|
|
0.8 |
|
|
|
25,300 |
|
|
|
753 |
|
| Fifth Third Bancorp |
|
|
0.7 |
|
|
|
31,301 |
|
|
|
627 |
|
| Hartford Financial Services Group |
|
|
0.5 |
|
|
|
13,438 |
|
|
|
501 |
|
| SunTrust Banks |
|
|
0.5 |
|
|
|
13,800 |
|
|
|
525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unum Group |
|
|
0.7 |
% |
|
|
19,808 |
|
|
$ |
681 |
|
| Other Securities |
|
|
11.5 |
|
|
|
|
|
|
|
10,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 12.4% |
|
| Agilent Technologies |
|
|
0.5 |
|
|
|
8,500 |
|
|
|
484 |
|
| CareFusion* |
|
|
0.8 |
|
|
|
16,133 |
|
|
|
730 |
|
| Charles River Laboratories |
|
|
|
|
|
|
|
|
|
|
|
|
| International* |
|
|
0.6 |
|
|
|
9,102 |
|
|
|
544 |
|
| Cooper, Cl A |
|
|
0.5 |
|
|
|
3,180 |
|
|
|
495 |
|
| Illumina* |
|
|
0.6 |
|
|
|
3,700 |
|
|
|
607 |
|
| Patterson |
|
|
0.6 |
|
|
|
13,272 |
|
|
|
550 |
|
| Other Securities |
|
|
8.8 |
|
|
|
|
|
|
|
8,306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 14.4% |
|
| Acuity Brands (A) |
|
|
0.7 |
|
|
|
5,450 |
|
|
|
642 |
|
| Carlisle |
|
|
0.6 |
|
|
|
6,575 |
|
|
|
529 |
|
| Cintas |
|
|
0.5 |
|
|
|
7,108 |
|
|
|
502 |
|
| Dover |
|
|
0.7 |
|
|
|
7,832 |
|
|
|
629 |
|
| Fortune Brands Home & Security |
|
|
0.5 |
|
|
|
12,150 |
|
|
|
499 |
|
| Kirby* |
|
|
0.6 |
|
|
|
4,850 |
|
|
|
572 |
|
| Pall |
|
|
0.5 |
|
|
|
5,925 |
|
|
|
496 |
|
| Parker-Hannifin, Cl A |
|
|
0.7 |
|
|
|
6,108 |
|
|
|
697 |
|
| Stanley Black & Decker |
|
|
0.5 |
|
|
|
5,621 |
|
|
|
499 |
|
| Other Securities |
|
|
9.1 |
|
|
|
|
|
|
|
8,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 17.4% |
|
| Alliance Data Systems* |
|
|
0.6 |
|
|
|
2,375 |
|
|
|
590 |
|
| Amphenol, Cl A |
|
|
0.5 |
|
|
|
5,050 |
|
|
|
504 |
|
| Applied Materials |
|
|
0.6 |
|
|
|
24,400 |
|
|
|
527 |
|
| Avago Technologies, Cl A |
|
|
0.9 |
|
|
|
9,600 |
|
|
|
835 |
|
| Cadence Design Systems* |
|
|
0.5 |
|
|
|
29,336 |
|
|
|
505 |
|
| Citrix Systems* |
|
|
0.5 |
|
|
|
7,091 |
|
|
|
506 |
|
| Electronic Arts* |
|
|
0.7 |
|
|
|
17,900 |
|
|
|
637 |
|
| Fidelity National Information
Services, Cl B |
|
|
0.5 |
|
|
|
9,220 |
|
|
|
519 |
|
| Microchip Technology (A) |
|
|
0.5 |
|
|
|
10,123 |
|
|
|
478 |
|
| Synopsys* |
|
|
0.8 |
|
|
|
19,415 |
|
|
|
771 |
|
| Other Securities |
|
|
11.3 |
|
|
|
|
|
|
|
10,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.6% |
|
| Sherwin-Williams, Cl A |
|
|
0.7 |
|
|
|
2,885 |
|
|
|
632 |
|
| Other Securities |
|
|
3.9 |
|
|
|
|
|
|
|
3,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.0% |
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 54 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 4.5% |
|
| AGL Resources |
|
|
0.7 |
% |
|
|
12,264 |
|
|
$ |
630 |
|
| SCANA |
|
|
0.6 |
|
|
|
11,521 |
|
|
|
572 |
|
| Other Securities |
|
|
3.2 |
|
|
|
|
|
|
|
3,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $80,813) ($ Thousands) |
|
|
|
93,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.7% |
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
3.7 |
|
|
|
3,517,405 |
|
|
|
3,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $3,517) ($ Thousands) |
|
|
|
3,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.0% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† |
|
|
5.0 |
|
|
|
4,703,015 |
|
|
|
4,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $4,703) ($ Thousands) |
|
|
|
4,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 0.2% |
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $189) ($ Thousands) |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 107.8%
(Cost $89,222) ($ Thousands) |
|
|
$ |
102,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the year ended September 30, 2014, the fund held futures contracts. As of September 30, 2014 the fund did not
hold any futures contracts.
Percentages are based on Net Assets of $94,849 ($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Certain securities or partial positions of certain securities are on loan at September 30, 2014 (see Note 10). The total market value of securities on loan as of
September 30, 2014 was $3,393 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$3,517 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules
adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings
is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s
investments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
93,810 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
93,810 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
3,517 |
|
|
|
— |
|
|
|
3,517 |
|
| Cash Equivalent |
|
|
4,703 |
|
|
|
— |
|
|
|
— |
|
|
|
4,703 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
189 |
|
|
|
— |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
98,513 |
|
|
$ |
3,706 |
|
|
$ |
— |
|
|
$ |
102,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
55 |
|
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 97.7% |
|
|
| Consumer Discretionary — 6.3% |
|
| DIRECTV* |
|
|
0.9 |
% |
|
|
101,200 |
|
|
$ |
8,756 |
|
| Kohl’s |
|
|
0.9 |
|
|
|
147,477 |
|
|
|
9,001 |
|
| Target, Cl A |
|
|
0.8 |
|
|
|
124,580 |
|
|
|
7,809 |
|
| Other Securities |
|
|
3.7 |
|
|
|
|
|
|
|
38,033 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 17.0% |
|
| Altria Group |
|
|
0.7 |
|
|
|
155,000 |
|
|
|
7,121 |
|
| Bunge |
|
|
0.6 |
|
|
|
76,224 |
|
|
|
6,420 |
|
| Clorox |
|
|
1.0 |
|
|
|
102,580 |
|
|
|
9,852 |
|
| CVS Health |
|
|
0.9 |
|
|
|
117,100 |
|
|
|
9,320 |
|
| Dr Pepper Snapple Group |
|
|
1.3 |
|
|
|
199,043 |
|
|
|
12,800 |
|
| Kroger |
|
|
1.4 |
|
|
|
270,934 |
|
|
|
14,088 |
|
| PepsiCo |
|
|
0.9 |
|
|
|
99,995 |
|
|
|
9,309 |
|
| Tyson Foods, Cl A |
|
|
1.2 |
|
|
|
297,199 |
|
|
|
11,701 |
|
| Wal-Mart Stores |
|
|
1.6 |
|
|
|
204,211 |
|
|
|
15,616 |
|
| Other Securities |
|
|
7.4 |
|
|
|
|
|
|
|
73,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 4.8% |
|
| Chevron |
|
|
1.4 |
|
|
|
113,463 |
|
|
|
13,538 |
|
| ConocoPhillips |
|
|
0.7 |
|
|
|
93,852 |
|
|
|
7,182 |
|
| Exxon Mobil |
|
|
0.8 |
|
|
|
81,300 |
|
|
|
7,646 |
|
| Other Securities |
|
|
1.9 |
|
|
|
|
|
|
|
19,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 17.8% |
|
| Allstate |
|
|
0.8 |
|
|
|
135,255 |
|
|
|
8,301 |
|
| Annaly Capital Management† |
|
|
0.8 |
|
|
|
786,206 |
|
|
|
8,397 |
|
| Axis Capital Holdings |
|
|
0.8 |
|
|
|
176,080 |
|
|
|
8,334 |
|
| Everest Re Group |
|
|
1.5 |
|
|
|
92,254 |
|
|
|
14,946 |
|
| PartnerRe |
|
|
1.6 |
|
|
|
141,454 |
|
|
|
15,544 |
|
| RenaissanceRe Holdings |
|
|
1.0 |
|
|
|
100,489 |
|
|
|
10,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Travelers |
|
|
1.3 |
% |
|
|
133,367 |
|
|
$ |
12,528 |
|
| Validus Holdings |
|
|
1.0 |
|
|
|
247,832 |
|
|
|
9,700 |
|
| Other Securities |
|
|
9.0 |
|
|
|
|
|
|
|
91,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 16.8% |
|
| Aetna, Cl A |
|
|
0.7 |
|
|
|
90,100 |
|
|
|
7,298 |
|
| AmerisourceBergen |
|
|
1.0 |
|
|
|
123,074 |
|
|
|
9,514 |
|
| Amgen, Cl A |
|
|
0.7 |
|
|
|
51,100 |
|
|
|
7,178 |
|
| Baxter International |
|
|
0.8 |
|
|
|
109,760 |
|
|
|
7,877 |
|
| Express Scripts Holding* |
|
|
0.8 |
|
|
|
114,759 |
|
|
|
8,105 |
|
| Johnson & Johnson |
|
|
1.3 |
|
|
|
118,700 |
|
|
|
12,652 |
|
| Merck |
|
|
1.1 |
|
|
|
180,759 |
|
|
|
10,715 |
|
| Pfizer |
|
|
1.1 |
|
|
|
353,100 |
|
|
|
10,441 |
|
| Quest Diagnostics |
|
|
0.8 |
|
|
|
135,086 |
|
|
|
8,197 |
|
| UnitedHealth Group |
|
|
0.8 |
|
|
|
94,600 |
|
|
|
8,159 |
|
| WellPoint |
|
|
0.9 |
|
|
|
74,600 |
|
|
|
8,924 |
|
| Other Securities |
|
|
6.8 |
|
|
|
|
|
|
|
69,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 4.1% |
|
| Northrop Grumman |
|
|
0.7 |
|
|
|
54,100 |
|
|
|
7,128 |
|
| Raytheon |
|
|
0.8 |
|
|
|
72,200 |
|
|
|
7,337 |
|
| Other Securities |
|
|
2.6 |
|
|
|
|
|
|
|
26,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 10.1% |
|
| Amdocs |
|
|
1.3 |
|
|
|
287,200 |
|
|
|
13,177 |
|
| Apple |
|
|
1.1 |
|
|
|
109,850 |
|
|
|
11,067 |
|
| Intel |
|
|
1.2 |
|
|
|
334,400 |
|
|
|
11,644 |
|
| International Business Machines |
|
|
1.3 |
|
|
|
69,759 |
|
|
|
13,242 |
|
| Microsoft |
|
|
0.9 |
|
|
|
196,700 |
|
|
|
9,119 |
|
| Other Securities |
|
|
4.3 |
|
|
|
|
|
|
|
42,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100,974 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 1.7% |
|
| Other Securities |
|
|
1.7 |
|
|
|
|
|
|
|
17,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 6.7% |
|
| AT&T |
|
|
2.1 |
|
|
|
590,479 |
|
|
|
20,809 |
|
| Verizon Communications |
|
|
1.5 |
|
|
|
303,469 |
|
|
|
15,170 |
|
| Other Securities |
|
|
3.1 |
|
|
|
|
|
|
|
31,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 12.4% |
|
| American Electric Power |
|
|
0.8 |
|
|
|
160,900 |
|
|
|
8,401 |
|
| Consolidated Edison |
|
|
1.0 |
|
|
|
168,544 |
|
|
|
9,550 |
|
| Edison International |
|
|
1.2 |
|
|
|
208,526 |
|
|
|
11,661 |
|
| Entergy |
|
|
1.8 |
|
|
|
227,946 |
|
|
|
17,627 |
|
| Exelon |
|
|
0.7 |
|
|
|
214,600 |
|
|
|
7,316 |
|
| PG&E |
|
|
1.1 |
|
|
|
237,500 |
|
|
|
10,697 |
|
|
|
|
| 56 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Public Service Enterprise Group |
|
|
1.0 |
% |
|
|
256,555 |
|
|
$ |
9,554 |
|
| Other Securities |
|
|
4.8 |
|
|
|
|
|
|
|
49,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $799,876) ($ Thousands) |
|
|
|
980,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 2.4% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† |
|
|
2.4 |
|
|
|
23,783,710 |
|
|
|
23,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $23,784) ($ Thousands) |
|
|
|
23,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (A) — 0.1% |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $888) ($ Thousands) |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.2%
(Cost $824,548) ($ Thousands) |
|
|
$ |
1,004,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
109 |
|
|
|
Dec-2014 |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,002,845
($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
Cl
— Class
S&P — Standard & Poor’s
| (A) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net
assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may
otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at
http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and
other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
980,218 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
980,218 |
|
| Cash Equivalent |
|
|
23,784 |
|
|
|
— |
|
|
|
— |
|
|
|
23,784 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
888 |
|
|
|
— |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,004,002 |
|
|
$ |
888 |
|
|
$ |
— |
|
|
$ |
1,004,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(87 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(87 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
57 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 92.5% |
|
|
|
|
|
|
|
| Australia — 6.1% |
|
|
|
|
|
| Amcor |
|
|
0.7 |
% |
|
|
1,200,680 |
|
|
$ |
11,904 |
|
| Woodside Petroleum |
|
|
0.8 |
|
|
|
430,496 |
|
|
|
15,294 |
|
| Other Securities |
|
|
4.6 |
|
|
|
|
|
|
|
82,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Austria — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
2,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belgium — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.4 |
|
|
|
|
|
|
|
7,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada — 12.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank of Montreal |
|
|
0.6 |
|
|
|
143,700 |
|
|
|
10,599 |
|
| Canadian Imperial Bank of Commerce |
|
|
0.8 |
|
|
|
169,300 |
|
|
|
15,239 |
|
| Canadian Tire, Cl A |
|
|
1.1 |
|
|
|
200,600 |
|
|
|
20,598 |
|
| Fortis, Cl Common Subscription Receipt |
|
|
0.6 |
|
|
|
353,000 |
|
|
|
10,935 |
|
| Metro, Cl A |
|
|
0.9 |
|
|
|
235,400 |
|
|
|
15,777 |
|
| National Bank of Canada |
|
|
0.6 |
|
|
|
234,600 |
|
|
|
10,712 |
|
| Rogers Communications, Cl B |
|
|
0.7 |
|
|
|
328,200 |
|
|
|
12,311 |
|
| Other Securities |
|
|
6.9 |
|
|
|
|
|
|
|
123,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
219,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| China — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
3,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
1.1 |
|
|
|
|
|
|
|
19,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finland — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.1 |
% |
|
|
|
|
|
$ |
1,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| France — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.4 |
|
|
|
|
|
|
|
6,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Germany — 1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
1.6 |
|
|
|
|
|
|
|
29,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greece — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.4 |
|
|
|
|
|
|
|
7,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Guernsey — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Amdocs |
|
|
0.6 |
|
|
|
222,273 |
|
|
|
10,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 3.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| CLP Holdings, Cl B |
|
|
0.9 |
|
|
|
1,970,500 |
|
|
|
15,822 |
|
| Other Securities |
|
|
2.4 |
|
|
|
|
|
|
|
44,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
2,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Teva Pharmaceutical Industries |
|
|
0.7 |
|
|
|
222,091 |
|
|
|
11,977 |
|
| Other Securities |
|
|
0.5 |
|
|
|
|
|
|
|
9,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
2,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Japan — 5.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Canon |
|
|
0.6 |
|
|
|
311,100 |
|
|
|
10,126 |
|
| Other Securities |
|
|
5.1 |
|
|
|
|
|
|
|
92,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Jersey — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
0.0 |
|
|
|
|
|
|
|
773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Netherlands — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Royal Dutch Shell, Cl A |
|
|
0.5 |
|
|
|
247,579 |
|
|
|
9,484 |
|
| Other Securities |
|
|
0.5 |
|
|
|
|
|
|
|
8,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 58 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Zealand — 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
1.4 |
% |
|
|
|
|
|
$ |
25,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway — 2.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Orkla |
|
|
0.6 |
|
|
|
1,215,013 |
|
|
|
10,991 |
|
| Statoil |
|
|
0.9 |
|
|
|
559,026 |
|
|
|
15,249 |
|
| Other Securities |
|
|
1.0 |
|
|
|
|
|
|
|
19,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| EDP - Energias de Portugal |
|
|
0.6 |
|
|
|
2,298,197 |
|
|
|
10,031 |
|
| Other Securities |
|
|
0.1 |
|
|
|
|
|
|
|
2,306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore — 3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
3.1 |
|
|
|
|
|
|
|
56,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain — 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Gas Natural SDG |
|
|
0.6 |
|
|
|
375,974 |
|
|
|
11,071 |
|
| Iberdrola |
|
|
0.6 |
|
|
|
1,567,508 |
|
|
|
11,227 |
|
| Other Securities |
|
|
0.5 |
|
|
|
|
|
|
|
8,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Hennes & Mauritz, Cl B |
|
|
0.5 |
|
|
|
245,579 |
|
|
|
10,204 |
|
| Other Securities |
|
|
1.1 |
|
|
|
|
|
|
|
19,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 2.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Swisscom |
|
|
0.6 |
|
|
|
19,408 |
|
|
|
11,019 |
|
| Other Securities |
|
|
1.6 |
|
|
|
|
|
|
|
27,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 8.1% |
|
|
|
|
|
| British American Tobacco |
|
|
0.6 |
|
|
|
177,012 |
|
|
|
9,992 |
|
| GlaxoSmithKline |
|
|
0.7 |
|
|
|
551,211 |
|
|
|
12,626 |
|
| Imperial Tobacco Group |
|
|
1.0 |
|
|
|
424,880 |
|
|
|
18,349 |
|
| Next, Cl A |
|
|
1.0 |
|
|
|
171,261 |
|
|
|
18,338 |
|
| Royal Dutch Shell, Cl A |
|
|
0.7 |
|
|
|
318,978 |
|
|
|
12,196 |
|
| SSE |
|
|
1.1 |
|
|
|
761,936 |
|
|
|
19,109 |
|
| Other Securities |
|
|
3.0 |
|
|
|
|
|
|
|
54,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
145,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 36.4% |
|
|
|
|
|
|
|
|
|
| Altria Group |
|
|
0.6 |
|
|
|
247,785 |
|
|
|
11,383 |
|
| Archer-Daniels-Midland |
|
|
0.6 |
|
|
|
207,981 |
|
|
|
10,628 |
|
| AT&T |
|
|
1.4 |
|
|
|
717,807 |
|
|
|
25,295 |
|
| Bunge |
|
|
0.8 |
|
|
|
170,581 |
|
|
|
14,368 |
|
| Church & Dwight |
|
|
0.6 |
|
|
|
150,767 |
|
|
|
10,578 |
|
| Clorox |
|
|
1.3 |
|
|
|
250,249 |
|
|
|
24,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares/
Face Amount (1) (Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colgate-Palmolive |
|
|
0.6 |
% |
|
|
162,349 |
|
|
$ |
10,588 |
|
| ConocoPhillips |
|
|
0.6 |
|
|
|
138,094 |
|
|
|
10,567 |
|
| Dr Pepper Snapple Group |
|
|
0.6 |
|
|
|
160,946 |
|
|
|
10,350 |
|
| Entergy |
|
|
1.4 |
|
|
|
335,474 |
|
|
|
25,942 |
|
| Exelon |
|
|
0.7 |
|
|
|
362,890 |
|
|
|
12,371 |
|
| General Mills, Cl A |
|
|
0.8 |
|
|
|
298,725 |
|
|
|
15,071 |
|
| Johnson & Johnson |
|
|
1.2 |
|
|
|
203,545 |
|
|
|
21,696 |
|
| Kimberly-Clark |
|
|
0.9 |
|
|
|
145,995 |
|
|
|
15,705 |
|
| Laboratory Corp of America Holdings* |
|
|
0.8 |
|
|
|
139,753 |
|
|
|
14,220 |
|
| LifePoint Hospitals* |
|
|
0.6 |
|
|
|
152,993 |
|
|
|
10,586 |
|
| McDonald’s |
|
|
1.0 |
|
|
|
189,264 |
|
|
|
17,944 |
|
| Omnicare |
|
|
0.5 |
|
|
|
165,672 |
|
|
|
10,315 |
|
| PepsiCo |
|
|
0.6 |
|
|
|
123,075 |
|
|
|
11,457 |
|
| Philip Morris International |
|
|
0.6 |
|
|
|
122,846 |
|
|
|
10,245 |
|
| Procter & Gamble |
|
|
1.4 |
|
|
|
296,378 |
|
|
|
24,819 |
|
| Verizon Communications |
|
|
0.7 |
|
|
|
234,459 |
|
|
|
11,721 |
|
| Wal-Mart Stores |
|
|
0.8 |
|
|
|
188,723 |
|
|
|
14,432 |
|
| Other Securities |
|
|
17.3 |
|
|
|
|
|
|
|
311,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
655,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,552,852) ($ Thousands) |
|
|
|
1,666,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.4% |
|
|
|
|
|
|
|
| Germany — 0.4% |
|
|
|
|
|
| Other Securities |
|
|
0.4 |
|
|
|
|
|
|
|
7,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $8,324) ($ Thousands) |
|
|
|
7,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.6% |
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A 0.010%**† |
|
|
5.6 |
|
|
|
101,853,307 |
|
|
|
101,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $101,853) ($ Thousands) |
|
|
|
101,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TIME DEPOSITS — 0.7% |
|
| Brown Brothers Harriman |
|
|
|
|
|
|
|
|
|
| 2.750%,
10/01/2014 |
|
|
0.0 |
|
|
NZD |
208 |
|
|
|
162 |
|
| 1.578%,
10/01/2014 |
|
|
0.0 |
|
|
AUD |
616 |
|
|
|
539 |
|
| 0.299%,
10/01/2014 |
|
|
0.0 |
|
|
CAD |
156 |
|
|
|
140 |
|
| 0.060%,
10/01/2014 |
|
|
0.0 |
|
|
GBP |
363 |
|
|
|
589 |
|
| 0.030%,
10/01/2014 |
|
|
0.7 |
|
|
|
10,111 |
|
|
|
10,111 |
|
| 0.005%,
10/01/2014 |
|
|
0.0 |
|
|
HKD |
2,069 |
|
|
|
266 |
|
| 0.005%,
10/01/2014 |
|
|
0.0 |
|
|
JPY |
1,382 |
|
|
|
13 |
|
| 0.001%,
10/01/2014 |
|
|
0.0 |
|
|
CHF |
4 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Time Deposits
(Cost $11,825) ($ Thousands) |
|
|
|
11,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
59 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (A) — 0.5% |
|
| Other Securities |
|
|
0.5 |
% |
|
|
|
$ |
8,393 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $8,392) ($ Thousands) |
|
|
|
|
|
8,393 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.7%
(Cost $1,683,246) ($ Thousands) |
|
|
|
|
$ |
1,795,616 |
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| DJ Euro Stoxx 50 Index |
|
|
261 |
|
|
|
Dec-2014 |
|
|
$ |
(44 |
) |
| FTSE 100 Index |
|
|
78 |
|
|
|
Dec-2014 |
|
|
|
(171 |
) |
| Hang Seng Index |
|
|
13 |
|
|
|
Oct-2014 |
|
|
|
(90 |
) |
| S&P 500 Index E-MINI |
|
|
448 |
|
|
|
Dec-2014 |
|
|
|
(238 |
) |
| SPI 200 Index |
|
|
35 |
|
|
|
Dec-2014 |
|
|
|
(110 |
) |
| Topix Index |
|
|
55 |
|
|
|
Dec-2014 |
|
|
|
115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(538 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held
by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Settlement
Date |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 10/30/14 |
|
|
AUD |
|
|
|
141,122 |
|
|
|
USD |
|
|
|
124,135 |
|
|
$ |
928 |
|
| 10/30/14 |
|
|
CAD |
|
|
|
266,390 |
|
|
|
USD |
|
|
|
240,085 |
|
|
|
1,855 |
|
| 10/30/14 |
|
|
CHF |
|
|
|
44,282 |
|
|
|
USD |
|
|
|
46,768 |
|
|
|
401 |
|
| 10/30/14 |
|
|
DKK |
|
|
|
139,333 |
|
|
|
USD |
|
|
|
23,861 |
|
|
|
209 |
|
| 10/30/14 |
|
|
EUR |
|
|
|
119,518 |
|
|
|
USD |
|
|
|
152,405 |
|
|
|
1,414 |
|
| 10/30/14 |
|
|
GBP |
|
|
|
101,914 |
|
|
|
USD |
|
|
|
166,329 |
|
|
|
1,177 |
|
| 10/30/14 |
|
|
HKD |
|
|
|
517,621 |
|
|
|
USD |
|
|
|
66,751 |
|
|
|
92 |
|
| 10/30/14 |
|
|
JPY |
|
|
|
11,567,026 |
|
|
|
USD |
|
|
|
106,436 |
|
|
|
952 |
|
| 10/30/14 |
|
|
NOK |
|
|
|
351,112 |
|
|
|
USD |
|
|
|
54,824 |
|
|
|
194 |
|
| 10/30/14 |
|
|
NZD |
|
|
|
36,113 |
|
|
|
USD |
|
|
|
28,592 |
|
|
|
536 |
|
| 10/30/14 |
|
|
SEK |
|
|
|
205,928 |
|
|
|
USD |
|
|
|
28,559 |
|
|
|
(13 |
) |
| 10/30/14 |
|
|
SGD |
|
|
|
102,337 |
|
|
|
USD |
|
|
|
80,717 |
|
|
|
458 |
|
| 10/30/14 |
|
|
USD |
|
|
|
1,567 |
|
|
|
AUD |
|
|
|
1,791 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
1,398 |
|
|
|
CAD |
|
|
|
1,560 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
265 |
|
|
|
CHF |
|
|
|
252 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
139 |
|
|
|
DKK |
|
|
|
817 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
906 |
|
|
|
EUR |
|
|
|
714 |
|
|
|
(5 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
1,119 |
|
|
|
GBP |
|
|
|
689 |
|
|
|
(2 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
824 |
|
|
|
HKD |
|
|
|
6,395 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
739 |
|
|
|
JPY |
|
|
|
80,677 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
593 |
|
|
|
NOK |
|
|
|
3,814 |
|
|
|
1 |
|
| 10/30/14 |
|
|
USD |
|
|
|
274 |
|
|
|
NZD |
|
|
|
351 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
305 |
|
|
|
SEK |
|
|
|
2,208 |
|
|
|
1 |
|
| 10/30/14 |
|
|
USD |
|
|
|
707 |
|
|
|
SGD |
|
|
|
900 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
8,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30,
2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency to
Deliver
($ Thousands) |
|
|
Currency to
Receive
($ Thousands) |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| Brown Brothers Harriman |
|
|
(1,120,096 |
) |
|
|
1,128,280 |
|
|
$ |
8,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open forward currency contracts, as
presented in the table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on Net
Assets of $1,800,876 ($Thousands).
(1) In U.S. Dollars unless otherwise indicated.
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australia Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Denmark Krone
EUR — Euro
FTSE — Financial
Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD — New Zealand
Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD —
U.S. Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest
holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission
(“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by
calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used
as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,640,667 |
|
|
$ |
25,480 |
|
|
$ |
— |
|
|
$ |
1,666,147 |
|
| Preferred Stock |
|
|
7,398 |
|
|
|
— |
|
|
|
— |
|
|
|
7,398 |
|
| Cash Equivalent |
|
|
101,853 |
|
|
|
— |
|
|
|
— |
|
|
|
101,853 |
|
| Time Deposits |
|
|
— |
|
|
|
11,825 |
|
|
|
— |
|
|
|
11,825 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
8,393 |
|
|
|
— |
|
|
|
8,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,749,918 |
|
|
$ |
45,698 |
|
|
$ |
— |
|
|
$ |
1,795,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
115 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
115 |
|
| Unrealized Depreciation |
|
|
(653 |
) |
|
|
— |
|
|
|
— |
|
|
|
(653 |
) |
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
8,218 |
|
|
|
— |
|
|
|
8,218 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(34 |
) |
|
|
— |
|
|
|
(34 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(538 |
) |
|
$ |
8,184 |
|
|
$ |
— |
|
|
$ |
7,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures and Forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—’’ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 60 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 94.0% |
|
|
|
|
|
|
|
| Consumer Discretionary — 5.6% |
|
|
|
|
|
| DIRECTV* |
|
|
0.8 |
% |
|
|
70,300 |
|
|
$ |
6,082 |
|
| McDonald’s |
|
|
0.8 |
|
|
|
62,325 |
|
|
|
5,909 |
|
| Target, Cl A |
|
|
0.8 |
|
|
|
92,991 |
|
|
|
5,829 |
|
| Other Securities |
|
|
3.2 |
|
|
|
|
|
|
|
24,835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 19.8% |
|
|
|
|
|
|
|
|
|
| Altria Group |
|
|
1.5 |
|
|
|
242,883 |
|
|
|
11,158 |
|
| Church & Dwight |
|
|
0.8 |
|
|
|
80,204 |
|
|
|
5,627 |
|
| Clorox |
|
|
0.7 |
|
|
|
55,666 |
|
|
|
5,346 |
|
| Hershey |
|
|
0.9 |
|
|
|
70,157 |
|
|
|
6,695 |
|
| Hormel Foods |
|
|
0.7 |
|
|
|
107,711 |
|
|
|
5,535 |
|
| Kimberly-Clark |
|
|
0.8 |
|
|
|
58,839 |
|
|
|
6,329 |
|
| Kroger |
|
|
1.1 |
|
|
|
165,216 |
|
|
|
8,591 |
|
| Lorillard |
|
|
0.8 |
|
|
|
108,303 |
|
|
|
6,489 |
|
| PepsiCo |
|
|
1.0 |
|
|
|
78,237 |
|
|
|
7,283 |
|
| Philip Morris International |
|
|
0.8 |
|
|
|
78,636 |
|
|
|
6,558 |
|
| Procter & Gamble |
|
|
0.7 |
|
|
|
61,418 |
|
|
|
5,143 |
|
| Reynolds American |
|
|
0.7 |
|
|
|
87,625 |
|
|
|
5,170 |
|
| Wal-Mart Stores |
|
|
1.5 |
|
|
|
153,890 |
|
|
|
11,768 |
|
| Other Securities |
|
|
7.8 |
|
|
|
|
|
|
|
59,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 3.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Chevron |
|
|
0.8 |
|
|
|
50,900 |
|
|
|
6,073 |
|
| Exxon Mobil |
|
|
1.0 |
|
|
|
84,800 |
|
|
|
7,976 |
|
| Other Securities |
|
|
1.5 |
|
|
|
|
|
|
|
11,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Everest Re Group |
|
|
0.9 |
|
|
|
44,053 |
|
|
|
7,137 |
|
| PartnerRe |
|
|
1.1 |
|
|
|
74,469 |
|
|
|
8,183 |
|
| RenaissanceRe Holdings |
|
|
1.2 |
|
|
|
89,558 |
|
|
|
8,955 |
|
| Travelers |
|
|
0.9 |
|
|
|
72,400 |
|
|
|
6,801 |
|
| Validus Holdings |
|
|
0.8 |
|
|
|
167,629 |
|
|
|
6,561 |
|
| Other Securities |
|
|
10.8 |
|
|
|
|
|
|
|
82,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
119,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 15.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| AmerisourceBergen |
|
|
0.8 |
% |
|
|
75,737 |
|
|
$ |
5,854 |
|
| Amgen, Cl A |
|
|
0.6 |
|
|
|
36,900 |
|
|
|
5,183 |
|
| Baxter International |
|
|
0.7 |
|
|
|
77,220 |
|
|
|
5,542 |
|
| Humana |
|
|
0.7 |
|
|
|
40,597 |
|
|
|
5,289 |
|
| Johnson & Johnson |
|
|
1.9 |
|
|
|
135,917 |
|
|
|
14,488 |
|
| Merck |
|
|
1.4 |
|
|
|
183,562 |
|
|
|
10,882 |
|
| Pfizer |
|
|
0.9 |
|
|
|
241,000 |
|
|
|
7,126 |
|
| Quest Diagnostics |
|
|
0.9 |
|
|
|
117,119 |
|
|
|
7,107 |
|
| UnitedHealth Group |
|
|
0.7 |
|
|
|
63,200 |
|
|
|
5,451 |
|
| WellPoint |
|
|
0.9 |
|
|
|
56,500 |
|
|
|
6,758 |
|
| Other Securities |
|
|
5.6 |
|
|
|
|
|
|
|
42,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 5.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| L-3 Communications Holdings |
|
|
0.9 |
|
|
|
55,500 |
|
|
|
6,600 |
|
| Northrop Grumman |
|
|
0.9 |
|
|
|
52,700 |
|
|
|
6,944 |
|
| Raytheon |
|
|
0.9 |
|
|
|
66,100 |
|
|
|
6,717 |
|
| Other Securities |
|
|
2.9 |
|
|
|
|
|
|
|
22,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 8.6% |
|
|
|
|
|
| Apple |
|
|
0.8 |
|
|
|
58,849 |
|
|
|
5,929 |
|
| Intel |
|
|
1.1 |
|
|
|
241,300 |
|
|
|
8,402 |
|
| International Business Machines |
|
|
1.0 |
|
|
|
40,839 |
|
|
|
7,752 |
|
| Microsoft |
|
|
0.7 |
|
|
|
120,200 |
|
|
|
5,572 |
|
| Other Securities |
|
|
5.0 |
|
|
|
|
|
|
|
38,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Securities |
|
|
1.2 |
|
|
|
|
|
|
|
9,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 4.9% |
|
|
|
|
|
| AT&T |
|
|
1.3 |
|
|
|
290,000 |
|
|
|
10,219 |
|
| Verizon Communications |
|
|
1.1 |
|
|
|
163,014 |
|
|
|
8,149 |
|
| Other Securities |
|
|
2.5 |
|
|
|
|
|
|
|
19,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 14.2% |
|
|
|
|
|
|
|
|
|
| Consolidated Edison |
|
|
1.0 |
|
|
|
134,607 |
|
|
|
7,627 |
|
| DTE Energy |
|
|
0.7 |
|
|
|
68,285 |
|
|
|
5,195 |
|
| Edison International |
|
|
0.8 |
|
|
|
109,300 |
|
|
|
6,112 |
|
| Entergy |
|
|
1.0 |
|
|
|
100,000 |
|
|
|
7,733 |
|
| Exelon |
|
|
0.9 |
|
|
|
192,900 |
|
|
|
6,576 |
|
| PG&E |
|
|
0.8 |
|
|
|
138,900 |
|
|
|
6,256 |
|
| Public Service Enterprise Group |
|
|
1.5 |
|
|
|
306,549 |
|
|
|
11,416 |
|
| Southern |
|
|
1.0 |
|
|
|
173,530 |
|
|
|
7,575 |
|
| Other Securities |
|
|
6.5 |
|
|
|
|
|
|
|
49,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
108,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $546,946) ($ Thousands) |
|
|
|
719,974 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
61 |
|
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Concluded)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Percentage of
Net Assets (%) |
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.5% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% **† |
|
|
5.5 |
% |
|
|
41,669,711 |
|
|
$ |
41,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $41,670) ($ Thousands) |
|
|
|
41,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (A) — 0.2% |
|
|
|
|
|
| Other Securities |
|
|
0.2 |
|
|
|
|
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,433) ($ Thousands) |
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.7%
(Cost $590,049) ($ Thousands) |
|
|
$ |
763,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
309 |
|
|
|
Dec-2014 |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $765,744
($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of
any issuer that exceeds 1% of the Fund’s net assets. ‘‘Other Securities’’ represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission
(‘‘SEC’’). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon
request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of
inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
719,974 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
719,974 |
|
| Cash Equivalent |
|
|
41,670 |
|
|
|
— |
|
|
|
— |
|
|
|
41,670 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,433 |
|
|
|
— |
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
761,644 |
|
|
$ |
1,433 |
|
|
$ |
— |
|
|
$ |
763,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(252 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(252 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized depreciation on the instrument.
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and
liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 62 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 95.5%‡ |
|
|
| Consumer Discretionary — 1.6% |
|
| Hyatt Hotels, Cl A* |
|
|
30,800 |
|
|
$ |
1,864 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
21,200 |
|
|
|
1,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,628 |
|
|
|
|
|
|
|
|
|
|
|
| Financials — 93.9% |
|
| Acadia Realty Trust† |
|
|
19,460 |
|
|
|
537 |
|
| Alexandria Real Estate Equities† |
|
|
66,580 |
|
|
|
4,910 |
|
| American Campus Communities† |
|
|
25,820 |
|
|
|
941 |
|
| Apartment Investment & Management,
Cl A† |
|
|
102,136 |
|
|
|
3,250 |
|
| AvalonBay Communities† |
|
|
51,711 |
|
|
|
7,290 |
|
| Aviv† |
|
|
24,890 |
|
|
|
656 |
|
| BioMed Realty Trust (A)† |
|
|
145,050 |
|
|
|
2,930 |
|
| Boston Properties† |
|
|
74,880 |
|
|
|
8,668 |
|
| Brandywine Realty Trust† |
|
|
232,500 |
|
|
|
3,271 |
|
| Brixmor Property Group† |
|
|
55,100 |
|
|
|
1,227 |
|
| Camden Property Trust† |
|
|
12,590 |
|
|
|
863 |
|
| Chesapeake Lodging Trust† |
|
|
13,540 |
|
|
|
395 |
|
| Corporate Office Properties Trust† |
|
|
16,720 |
|
|
|
430 |
|
| CubeSmart† |
|
|
178,510 |
|
|
|
3,210 |
|
| CyrusOne† |
|
|
26,180 |
|
|
|
629 |
|
| DDR† |
|
|
191,060 |
|
|
|
3,196 |
|
| Digital Realty Trust, Cl A (A)† |
|
|
19,720 |
|
|
|
1,230 |
|
| Douglas Emmett† |
|
|
65,250 |
|
|
|
1,675 |
|
| Duke Realty† |
|
|
307,425 |
|
|
|
5,282 |
|
| Education Realty Trust, Cl A† |
|
|
58,000 |
|
|
|
596 |
|
| Empire State Realty Trust, Cl A† |
|
|
19,170 |
|
|
|
288 |
|
| Equity Commonwealth*† |
|
|
23,440 |
|
|
|
603 |
|
| Equity Lifestyle Properties† |
|
|
49,250 |
|
|
|
2,086 |
|
| Equity Residential† |
|
|
135,900 |
|
|
|
8,369 |
|
| Essex Property Trust† |
|
|
32,169 |
|
|
|
5,750 |
|
| Excel Trust† |
|
|
21,870 |
|
|
|
257 |
|
| Extra Space Storage† |
|
|
30,820 |
|
|
|
1,589 |
|
| Federal Realty Investment Trust† |
|
|
18,910 |
|
|
|
2,240 |
|
| First Industrial Realty Trust† |
|
|
23,430 |
|
|
|
396 |
|
| General Growth Properties† |
|
|
237,089 |
|
|
|
5,583 |
|
| HCP† |
|
|
122,850 |
|
|
|
4,878 |
|
| Health Care† |
|
|
154,920 |
|
|
|
9,662 |
|
| Highwoods Properties† |
|
|
47,560 |
|
|
|
1,850 |
|
| Host Hotels & Resorts† |
|
|
372,024 |
|
|
|
7,935 |
|
| Hudson Pacific Properties† |
|
|
52,450 |
|
|
|
1,293 |
|
| Kilroy Realty† |
|
|
47,510 |
|
|
|
2,824 |
|
| Kimco Realty† |
|
|
237,360 |
|
|
|
5,201 |
|
| LaSalle Hotel Properties† |
|
|
42,900 |
|
|
|
1,469 |
|
| Liberty Property Trust† |
|
|
98,200 |
|
|
|
3,266 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Macerich† |
|
|
74,479 |
|
|
$ |
4,754 |
|
| Mid-America Apartment Communities† |
|
|
20,000 |
|
|
|
1,313 |
|
| National Health Investors† |
|
|
7,360 |
|
|
|
421 |
|
| Parkway Properties† |
|
|
39,320 |
|
|
|
738 |
|
| Pebblebrook Hotel Trust† |
|
|
6,200 |
|
|
|
232 |
|
| Post Properties† |
|
|
8,500 |
|
|
|
436 |
|
| ProLogis† |
|
|
323,797 |
|
|
|
12,207 |
|
| PS Business Parks† |
|
|
16,120 |
|
|
|
1,227 |
|
| Public Storage† |
|
|
61,481 |
|
|
|
10,196 |
|
| Regency Centers† |
|
|
73,890 |
|
|
|
3,978 |
|
| Retail Opportunity Investments (A)† |
|
|
139,250 |
|
|
|
2,047 |
|
| Retail Properties of America, Cl A† |
|
|
42,710 |
|
|
|
625 |
|
| Rexford Industrial Realty† |
|
|
31,570 |
|
|
|
437 |
|
| RLJ Lodging Trust† |
|
|
119,960 |
|
|
|
3,415 |
|
| Simon Property Group† |
|
|
118,158 |
|
|
|
19,428 |
|
| SL Green Realty (A)† |
|
|
47,800 |
|
|
|
4,843 |
|
| Sovran Self Storage† |
|
|
17,900 |
|
|
|
1,331 |
|
| Strategic Hotels & Resorts*† |
|
|
107,880 |
|
|
|
1,257 |
|
| Sunstone Hotel Investors† |
|
|
160,250 |
|
|
|
2,215 |
|
| Tanger Factory Outlet Centers† |
|
|
33,850 |
|
|
|
1,108 |
|
| Taubman Centers† |
|
|
38,050 |
|
|
|
2,778 |
|
| UDR† |
|
|
234,820 |
|
|
|
6,399 |
|
| Ventas† |
|
|
124,030 |
|
|
|
7,684 |
|
| Vornado Realty Trust† |
|
|
66,050 |
|
|
|
6,602 |
|
| Washington Prime Group† |
|
|
1 |
|
|
|
— |
|
| Weingarten Realty Investors (A)† |
|
|
33,050 |
|
|
|
1,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
213,437 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $189,227) ($ Thousands) |
|
|
|
|
|
|
217,065 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.6% |
|
| SEI Liquidity Fund, L.P.
0.080%**†† (B) |
|
|
8,255,987 |
|
|
|
8,256 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $8,256) ($ Thousands) |
|
|
|
|
|
|
8,256 |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.8% |
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**†† |
|
|
8,735,315 |
|
|
|
8,735 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $8,735) ($ Thousands) |
|
|
|
|
|
|
8,735 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.9%
(Cost $206,218) ($ Thousands) |
|
|
|
|
|
$ |
234,056 |
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $227,402 ($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
63 |
|
SCHEDULE OF INVESTMENTS
Real Estate Fund (Concluded)
September 30, 2014
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014 (see Note 10). The total market value of securities on loan at
September 30, 2014 was $7,996 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014
was $8,256. |
Cl — Class
L.P. — Limited Partnership
The following is a
list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
217,065 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
217,065 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
8,256 |
|
|
|
— |
|
|
|
8,256 |
|
| Cash Equivalent |
|
|
8,735 |
|
|
|
— |
|
|
|
— |
|
|
|
8,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
225,800 |
|
|
$ |
8,256 |
|
|
$ |
— |
|
|
$ |
234,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there have been no transfers between Level 1 and Level 2 assets and
liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “— “ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 64 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 33.1% |
|
|
|
|
|
|
|
|
| Consumer Discretionary — 4.7% |
|
|
|
|
|
|
|
|
| American Honda Finance |
|
|
|
|
|
|
|
|
| 0.610%, 05/26/2016 (A) (B) |
|
$ |
750 |
|
|
$ |
754 |
|
| AutoZone |
|
|
|
|
|
|
|
|
| 1.300%, 01/13/2017 |
|
|
500 |
|
|
|
500 |
|
| Cequel Communications Holdings LLC |
|
|
|
|
|
|
|
|
| 6.375%, 09/15/2020 (B) |
|
|
688 |
|
|
|
708 |
|
| Comcast |
|
|
|
|
|
|
|
|
| 5.850%, 11/15/2015 |
|
|
400 |
|
|
|
423 |
|
| CSC Holdings |
|
|
|
|
|
|
|
|
| 8.625%, 02/15/2019 |
|
|
875 |
|
|
|
1,000 |
|
| Daimler Finance North America
LLC (B) |
|
|
|
|
|
|
|
|
| 1.375%, 08/01/2017 |
|
|
535 |
|
|
|
532 |
|
| 1.100%, 08/01/2018 (A) |
|
|
250 |
|
|
|
254 |
|
| ERAC USA Finance LLC |
|
|
|
|
|
|
|
|
| 1.400%, 4/15/2016 (B) |
|
|
115 |
|
|
|
116 |
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
| 1.724%, 12/06/2017 |
|
|
350 |
|
|
|
347 |
|
| 1.065%, 03/12/2019 (A) |
|
|
400 |
|
|
|
402 |
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
| 1.625%, 10/02/2015 (B) |
|
|
150 |
|
|
|
151 |
|
| NBCUniversal Enterprise |
|
|
|
|
|
|
|
|
| 0.919%, 04/15/2018 (A) (B) |
|
|
550 |
|
|
|
555 |
|
| Newell Rubbermaid |
|
|
|
|
|
|
|
|
| 2.000%, 6/15/2015 |
|
|
450 |
|
|
|
454 |
|
| Nissan Motor Acceptance (A) |
|
|
|
|
|
|
|
|
| 0.935%, 09/26/2016 |
|
|
350 |
|
|
|
353 |
|
| 0.784%, 03/03/2017 (B) |
|
|
310 |
|
|
|
311 |
|
| President and Fellows of Harvard College |
|
|
|
|
|
|
|
|
| 6.300%, 10/01/2037 |
|
|
380 |
|
|
|
408 |
|
| Sirius XM Radio |
|
|
|
|
|
|
|
|
| 5.875%, 10/01/2020 (B) |
|
|
1,000 |
|
|
|
1,012 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Thomson Reuters |
|
|
|
|
|
|
|
|
| 1.650%, 09/29/2017 |
|
$ |
345 |
|
|
$ |
345 |
|
| 0.875%, 05/23/2016 |
|
|
250 |
|
|
|
250 |
|
| Time Warner Cable |
|
|
|
|
|
|
|
|
| 5.850%, 05/01/2017 |
|
|
450 |
|
|
|
499 |
|
| TRW Automotive |
|
|
|
|
|
|
|
|
| 7.250%, 03/15/2017 (B) |
|
|
315 |
|
|
|
347 |
|
| Volkswagen Group of America Finance |
|
|
|
|
|
|
|
|
| 1.250%, 05/23/2017 (B) |
|
|
300 |
|
|
|
298 |
|
| Volkswagen International Finance |
|
|
|
|
|
|
|
|
| 0.671%, 11/18/2016 (A) (B) |
|
|
300 |
|
|
|
301 |
|
| Whirlpool |
|
|
|
|
|
|
|
|
| 1.350%, 03/01/2017 |
|
|
440 |
|
|
|
439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 2.2% |
|
|
|
|
|
|
|
|
| Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
| 0.640%, 02/01/2019 (A) |
|
|
650 |
|
|
|
650 |
|
| Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
| 0.800%, 07/15/2015 |
|
|
350 |
|
|
|
351 |
|
| BAT International Finance |
|
|
|
|
|
|
|
|
| 1.400%, 06/05/2015 (B) |
|
|
500 |
|
|
|
502 |
|
| CVS Health |
|
|
|
|
|
|
|
|
| 1.200%, 12/05/2016 |
|
|
330 |
|
|
|
331 |
|
| Elizabeth Arden |
|
|
|
|
|
|
|
|
| 7.375%, 03/15/2021 |
|
|
700 |
|
|
|
621 |
|
| Heineken |
|
|
|
|
|
|
|
|
| 0.800%, 10/1/2015 (B) |
|
|
325 |
|
|
|
325 |
|
| Kraft Foods Group |
|
|
|
|
|
|
|
|
| 1.625%, 06/04/2015 |
|
|
500 |
|
|
|
503 |
|
| Kroger |
|
|
|
|
|
|
|
|
| 0.763%, 10/17/2016 (A) |
|
|
450 |
|
|
|
451 |
|
| Mondelez International |
|
|
|
|
|
|
|
|
| 0.760%, 02/01/2019 (A) |
|
|
450 |
|
|
|
450 |
|
| Reynolds American |
|
|
|
|
|
|
|
|
| 1.050%, 10/30/2015 |
|
|
240 |
|
|
|
241 |
|
| SABMiller Holdings |
|
|
|
|
|
|
|
|
| 0.930%, 08/01/2018 (A) (B) |
|
|
500 |
|
|
|
504 |
|
| Sysco |
|
|
|
|
|
|
|
|
| 1.450%, 10/02/2017 |
|
|
105 |
|
|
|
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 2.5% |
|
|
|
|
|
|
|
|
| Atlas Pipeline Partners |
|
|
|
|
|
|
|
|
| 4.750%, 11/15/2021 |
|
|
300 |
|
|
|
279 |
|
| Atwood Oceanics |
|
|
|
|
|
|
|
|
| 6.500%, 02/01/2020 |
|
|
1,000 |
|
|
|
1,025 |
|
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
| 0.864%, 09/26/2018 (A) |
|
|
700 |
|
|
|
704 |
|
| Devon Energy |
|
|
|
|
|
|
|
|
| 0.774%, 12/15/2016 (A) |
|
|
600 |
|
|
|
604 |
|
| Enbridge |
|
|
|
|
|
|
|
|
| 0.684%, 06/02/2017 (A) |
|
|
675 |
|
|
|
677 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
65 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Enterprise Products |
|
|
|
|
|
|
|
|
| 1.250%, 08/13/2015 |
|
$ |
40 |
|
|
$ |
40 |
|
| Gibson Energy |
|
|
|
|
|
|
|
|
| 6.750%, 07/15/2021 (B) |
|
|
207 |
|
|
|
219 |
|
| Hess |
|
|
|
|
|
|
|
|
| 1.300%, 06/15/2017 |
|
|
365 |
|
|
|
364 |
|
| Linn Energy |
|
|
|
|
|
|
|
|
| 6.500%, 05/15/2019 |
|
|
400 |
|
|
|
392 |
|
| Petrobras Global Finance |
|
|
|
|
|
|
|
|
| 1.853%, 05/20/2016 (A) |
|
|
300 |
|
|
|
300 |
|
| Statoil |
|
|
|
|
|
|
|
|
| 0.694%, 11/08/2018 (A) |
|
|
300 |
|
|
|
302 |
|
| Total Capital Canada |
|
|
|
|
|
|
|
|
| 0.614%, 01/15/2016 (A) |
|
|
170 |
|
|
|
171 |
|
| Total Capital International |
|
|
|
|
|
|
|
|
| 0.803%, 08/10/2018 (A) |
|
|
450 |
|
|
|
454 |
|
| TransCanada PipeLines |
|
|
|
|
|
|
|
|
| 0.750%, 01/15/2016 |
|
|
325 |
|
|
|
325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 16.6% |
|
|
|
|
|
|
|
|
| Abbey National Treasury Services (A) |
|
|
|
|
|
|
|
|
| 0.744%, 03/13/2017 |
|
|
600 |
|
|
|
601 |
|
| 0.238%, 09/29/2017 |
|
|
350 |
|
|
|
350 |
|
| ABN AMRO Bank |
|
|
|
|
|
|
|
|
| 1.035%, 10/28/2016 (A) (B) |
|
|
450 |
|
|
|
454 |
|
| American Express Credit MTN |
|
|
|
|
|
|
|
|
| 1.125%, 06/05/2017 |
|
|
1,000 |
|
|
|
993 |
|
| Australia & New Zealand Banking Group (A) |
|
|
|
|
|
|
|
|
| 0.794%, 05/15/2018 |
|
|
300 |
|
|
|
302 |
|
| 0.614%, 01/10/2017 (B) |
|
|
300 |
|
|
|
301 |
|
| Bank of America MTN |
|
|
|
|
|
|
|
|
| 1.700%, 08/25/2017 |
|
|
500 |
|
|
|
498 |
|
| 0.994%, 09/15/2036 (A) |
|
|
700 |
|
|
|
629 |
|
| 0.703%, 02/14/2017 (A) |
|
|
300 |
|
|
|
301 |
|
| Bank of Montreal MTN |
|
|
|
|
|
|
|
|
| 0.834%, 04/09/2018 (A) |
|
|
650 |
|
|
|
656 |
|
| Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
| 0.673%, 03/06/2018 (A) |
|
|
650 |
|
|
|
653 |
|
| Bank of Nova Scotia |
|
|
|
|
|
|
|
|
| 1.300%, 07/21/2017 |
|
|
400 |
|
|
|
398 |
|
| 0.950%, 03/15/2016 |
|
|
400 |
|
|
|
402 |
|
| 0.675%, 9/11/2015 (A) |
|
|
375 |
|
|
|
376 |
|
| Bank of Tokyo-Mitsubishi UFJ (B) |
|
|
|
|
|
|
|
|
| 1.450%, 09/08/2017 |
|
|
400 |
|
|
|
397 |
|
| 0.650%, 09/08/2017 (A) |
|
|
400 |
|
|
|
400 |
|
| Barclays Bank PLC MTN |
|
|
|
|
|
|
|
|
| 6.050%, 12/04/2017 (B) |
|
|
600 |
|
|
|
667 |
|
| BB&T MTN (A) |
|
|
|
|
|
|
|
|
| 1.094%, 06/15/2018 |
|
|
535 |
|
|
|
544 |
|
| 0.900%, 02/01/2019 |
|
|
325 |
|
|
|
328 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| BNP Paribas MTN |
|
|
|
|
|
|
|
|
| 0.825%, 12/12/2016 (A) |
|
$ |
600 |
|
|
$ |
603 |
|
| BPCE MTN |
|
|
|
|
|
|
|
|
| 1.083%, 02/10/2017 (A) |
|
|
700 |
|
|
|
707 |
|
| Capital One Bank USA |
|
|
|
|
|
|
|
|
| 1.300%, 06/05/2017 |
|
|
550 |
|
|
|
547 |
|
| Citigroup |
|
|
|
|
|
|
|
|
| 0.785%, 08/25/2036 (A) |
|
|
1,500 |
|
|
|
1,214 |
|
| Cooperatieve Centrale Raiffeisen-Boerenleenbank |
|
|
|
|
|
|
|
|
| 0.714%, 03/18/2016 (A) |
|
|
550 |
|
|
|
553 |
|
| Credit Agricole |
|
|
|
|
|
|
|
|
| 1.082%, 10/03/2016 (A) (B) |
|
|
750 |
|
|
|
756 |
|
| Credit Suisse NY MTN |
|
|
|
|
|
|
|
|
| 1.375%, 05/26/2017 |
|
|
510 |
|
|
|
507 |
|
| Deutsche Bank |
|
|
|
|
|
|
|
|
| 1.350%, 05/30/2017 |
|
|
700 |
|
|
|
695 |
|
| Fifth Third Bank |
|
|
|
|
|
|
|
|
| 1.350%, 06/01/2017 |
|
|
1,000 |
|
|
|
997 |
|
| General Electric Capital |
|
|
|
|
|
|
|
|
| 0.941%, 04/02/2018 (A) |
|
|
300 |
|
|
|
304 |
|
| Goldman Sachs Group (A) |
|
|
|
|
|
|
|
|
| 1.436%, 04/30/2018 |
|
|
500 |
|
|
|
511 |
|
| 1.334%, 11/15/2018 |
|
|
400 |
|
|
|
407 |
|
| HSBC Bank PLC |
|
|
|
|
|
|
|
|
| 0.874%, 05/15/2018 (A) (B) |
|
|
600 |
|
|
|
605 |
|
| HSBC USA |
|
|
|
|
|
|
|
|
| 1.300%, 06/23/2017 |
|
|
700 |
|
|
|
699 |
|
| Huntington National Bank |
|
|
|
|
|
|
|
|
| 1.375%, 04/24/2017 |
|
|
350 |
|
|
|
350 |
|
| 0.658%, 04/24/2017 (A) |
|
|
350 |
|
|
|
350 |
|
| ING Bank |
|
|
|
|
|
|
|
|
| 0.925%, 10/01/2019 (A) (B) |
|
|
400 |
|
|
|
400 |
|
| Intesa Sanpaolo |
|
|
|
|
|
|
|
|
| 3.125%, 01/15/2016 |
|
|
300 |
|
|
|
307 |
|
| JPMorgan Chase |
|
|
|
|
|
|
|
|
| 0.865%, 01/28/2019 (A) |
|
|
300 |
|
|
|
302 |
|
| JPMorgan Chase Capital XXI |
|
|
|
|
|
|
|
|
| 1.189%, 02/02/2037 (A) |
|
|
1,300 |
|
|
|
1,107 |
|
| Macquarie Group |
|
|
|
|
|
|
|
|
| 1.237%, 01/31/2017 (A) (B) |
|
|
400 |
|
|
|
404 |
|
| Manufacturers & Traders Trust |
|
|
|
|
|
|
|
|
| 1.400%, 07/25/2017 |
|
|
475 |
|
|
|
474 |
|
| 0.611%, 01/30/2017 (A) |
|
|
400 |
|
|
|
401 |
|
| Metropolitan Life Global Funding I (B) |
|
|
|
|
|
|
|
|
| 1.500%, 01/10/2018 |
|
|
220 |
|
|
|
218 |
|
| 0.614%, 04/10/2017 (A) |
|
|
500 |
|
|
|
503 |
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
| 5.950%, 12/28/2017 |
|
|
140 |
|
|
|
157 |
|
| 1.485%, 02/25/2016 (A) |
|
|
250 |
|
|
|
253 |
|
| 1.083%, 01/24/2019 (A) |
|
|
450 |
|
|
|
455 |
|
| New York Life Global Funding (B) |
|
|
|
|
|
|
|
|
| 1.125%, 03/01/2017 |
|
|
500 |
|
|
|
500 |
|
| 0.583%, 05/23/2016 (A) |
|
|
400 |
|
|
|
402 |
|
|
|
|
| 66 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Nordea Bank |
|
|
|
|
|
|
|
|
| 1.250%, 04/04/2017 (B) |
|
$ |
600 |
|
|
$ |
598 |
|
| Pricoa Global Funding I MTN |
|
|
|
|
|
|
|
|
| 0.381%, 05/16/2016 (A) (B) |
|
|
650 |
|
|
|
650 |
|
| Principal Life Global Funding II (B) |
|
|
|
|
|
|
|
|
| 1.200%, 05/19/2017 |
|
|
400 |
|
|
|
398 |
|
| 1.125%, 02/24/2017 |
|
|
300 |
|
|
|
299 |
|
| Prudential Financial MTN |
|
|
|
|
|
|
|
|
| 1.014%, 08/15/2018 (A) |
|
|
500 |
|
|
|
504 |
|
| RHP Hotel Properties‡ |
|
|
|
|
|
|
|
|
| 5.000%, 04/15/2021 |
|
|
217 |
|
|
|
212 |
|
| Royal Bank of Canada MTN |
|
|
|
|
|
|
|
|
| 0.563%, 01/23/2017 (A) |
|
|
900 |
|
|
|
903 |
|
| Royal Bank of Scotland Group |
|
|
|
|
|
|
|
|
| 1.875%, 03/31/2017 |
|
|
400 |
|
|
|
400 |
|
| Societe Generale |
|
|
|
|
|
|
|
|
| 1.315%, 10/01/2018 (A) |
|
|
550 |
|
|
|
551 |
|
| Standard Chartered PLC |
|
|
|
|
|
|
|
|
| 0.573%, 09/08/2017 |
|
|
800 |
|
|
|
801 |
|
| State Street Capital Trust IV |
|
|
|
|
|
|
|
|
| 1.234%, 06/15/2037 (A) |
|
|
375 |
|
|
|
320 |
|
| Sumitomo Mitsui Banking |
|
|
|
|
|
|
|
|
| 0.664%, 01/10/2017 (A) |
|
|
400 |
|
|
|
401 |
|
| SunTrust Bank |
|
|
|
|
|
|
|
|
| 0.674%, 02/15/2017 (A) |
|
|
650 |
|
|
|
651 |
|
| Svenska Handelsbanken |
|
|
|
|
|
|
|
|
| 0.703%, 09/23/2016 (A) |
|
|
800 |
|
|
|
805 |
|
| Synchrony Financial |
|
|
|
|
|
|
|
|
| 1.875%, 08/15/2017 |
|
|
325 |
|
|
|
326 |
|
| Toronto-Dominion Bank MTN (A) |
|
|
|
|
|
|
|
|
| 0.692%, 09/09/2016 |
|
|
200 |
|
|
|
201 |
|
| 0.478%, 05/02/2017 |
|
|
600 |
|
|
|
600 |
|
| UBS MTN |
|
|
|
|
|
|
|
|
| 5.875%, 12/20/2017 |
|
|
400 |
|
|
|
450 |
|
| 0.873%, 08/14/2019 (A) |
|
|
700 |
|
|
|
704 |
|
| Unitrin |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2017 |
|
|
670 |
|
|
|
734 |
|
| US Bancorp MTN |
|
|
|
|
|
|
|
|
| 0.634%, 04/25/2019 (A) |
|
|
550 |
|
|
|
550 |
|
| Ventas Realty‡ |
|
|
|
|
|
|
|
|
| 1.550%, 09/26/2016 |
|
|
500 |
|
|
|
503 |
|
| 1.250%, 04/17/2017 |
|
|
130 |
|
|
|
129 |
|
| WEA Finance |
|
|
|
|
|
|
|
|
| 1.750%, 09/15/2017 (B) |
|
|
280 |
|
|
|
280 |
|
| Wells Fargo MTN |
|
|
|
|
|
|
|
|
| 1.150%, 06/02/2017 |
|
|
700 |
|
|
|
696 |
|
| Westpac Banking |
|
|
|
|
|
|
|
|
| 1.200%, 05/19/2017 |
|
|
300 |
|
|
|
299 |
|
| 0.843%, 01/17/2019 (A) |
|
|
400 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 1.9% |
|
|
|
|
|
|
|
|
| AbbVie |
|
|
|
|
|
|
|
|
| 1.200%, 11/06/2015 |
|
|
550 |
|
|
|
552 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Actavis Funding SCS |
|
|
|
|
|
|
|
|
| 1.300%, 06/15/2017 (B) |
|
$ |
550 |
|
|
$ |
540 |
|
| Amgen |
|
|
|
|
|
|
|
|
| 2.125%, 05/15/2017 |
|
|
600 |
|
|
|
611 |
|
| Express Scripts Holding |
|
|
|
|
|
|
|
|
| 1.250%, 06/02/2017 |
|
|
550 |
|
|
|
546 |
|
| McKesson |
|
|
|
|
|
|
|
|
| 1.292%, 03/10/2017 |
|
|
370 |
|
|
|
369 |
|
| 0.950%, 12/4/2015 |
|
|
235 |
|
|
|
235 |
|
| Mylan |
|
|
|
|
|
|
|
|
| 1.350%, 11/29/2016 |
|
|
450 |
|
|
|
450 |
|
| Providence Health & Services Obligated Group |
|
|
|
|
|
|
|
|
| 1.035%, 10/01/2016 (A) |
|
|
800 |
|
|
|
802 |
|
| Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
| 1.300%, 02/01/2017 |
|
|
145 |
|
|
|
144 |
|
| WellPoint |
|
|
|
|
|
|
|
|
| 1.250%, 09/10/2015 |
|
|
210 |
|
|
|
211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 2.4% |
|
|
|
|
|
|
|
|
| Air Lease |
|
|
|
|
|
|
|
|
| 4.500%, 01/15/2016 |
|
|
350 |
|
|
|
362 |
|
| 2.125%, 01/15/2018 |
|
|
310 |
|
|
|
308 |
|
| Boart Longyear Management Properties |
|
|
|
|
|
|
|
|
| 10.000%, 10/01/2018 (B) |
|
|
516 |
|
|
|
542 |
|
| Bombardier |
|
|
|
|
|
|
|
|
| 6.000%, 10/15/2022 (B) |
|
|
300 |
|
|
|
298 |
|
| Clean Harbors |
|
|
|
|
|
|
|
|
| 5.250%, 08/01/2020 |
|
|
350 |
|
|
|
350 |
|
| Continental |
|
|
|
|
|
|
|
|
| 4.500%, 09/15/2019 |
|
|
450 |
|
|
|
472 |
|
| GATX |
|
|
|
|
|
|
|
|
| 1.250%, 03/04/2017 |
|
|
245 |
|
|
|
243 |
|
| General Electric Capital MTN |
|
|
|
|
|
|
|
|
| 1.250%, 05/15/2017 |
|
|
600 |
|
|
|
600 |
|
| Glencore Funding LLC |
|
|
|
|
|
|
|
|
| 1.398%, 05/27/2016 (A) (B) |
|
|
675 |
|
|
|
680 |
|
| ILFC E-Capital Trust I |
|
|
|
|
|
|
|
|
| 4.840%, 12/21/2065 (A) (B) |
|
|
500 |
|
|
|
471 |
|
| John Deere Capital MTN |
|
|
|
|
|
|
|
|
| 0.354%, 06/15/2015 (A) |
|
|
450 |
|
|
|
450 |
|
| PACCAR Financial MTN |
|
|
|
|
|
|
|
|
| 1.100%, 06/06/2017 |
|
|
360 |
|
|
|
358 |
|
| Pentair Finance |
|
|
|
|
|
|
|
|
| 1.350%, 12/01/2015 |
|
|
285 |
|
|
|
287 |
|
| Precision Castparts |
|
|
|
|
|
|
|
|
| 0.700%, 12/20/2015 |
|
|
135 |
|
|
|
135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
67 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.6% |
|
|
|
|
|
|
|
|
| Fidelity National Information Services |
|
|
|
|
|
|
|
|
| 1.450%, 06/05/2017 |
|
$ |
210 |
|
|
$ |
209 |
|
| Hewlett-Packard |
|
|
|
|
|
|
|
|
| 1.174%, 01/14/2019 (A) |
|
|
600 |
|
|
|
608 |
|
| TSMC Global |
|
|
|
|
|
|
|
|
| 0.950%, 04/03/2016 (B) |
|
|
250 |
|
|
|
250 |
|
| Western Union |
|
|
|
|
|
|
|
|
| 2.375%, 12/10/2015 |
|
|
85 |
|
|
|
86 |
|
| 1.234%, 08/21/2015 (A) |
|
|
325 |
|
|
|
326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.5% |
|
|
|
|
|
|
|
|
| Monsanto |
|
|
|
|
|
|
|
|
| 1.150%, 06/30/2017 |
|
|
625 |
|
|
|
621 |
|
| Rio Tinto Finance USA PLC |
|
|
|
|
|
|
|
|
| 1.075%, 06/17/2016 (A) |
|
|
625 |
|
|
|
631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,252 |
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 1.1% |
|
| AT&T |
|
|
|
|
|
|
|
|
| 0.800%, 12/1/2015 |
|
|
450 |
|
|
|
451 |
|
| 0.608%, 02/12/2016 (A) |
|
|
450 |
|
|
|
451 |
|
| British Telecommunications PLC |
|
|
|
|
|
|
|
|
| 1.250%, 02/14/2017 |
|
|
295 |
|
|
|
295 |
|
| Verizon Communications |
|
|
|
|
|
|
|
|
| 1.984%, 09/14/2018 (A) |
|
|
515 |
|
|
|
542 |
|
| 1.350%, 06/09/2017 |
|
|
750 |
|
|
|
746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.6% |
|
|
|
|
|
|
|
|
| Dominion Gas Holdings |
|
|
|
|
|
|
|
|
| 1.050%, 11/01/2016 |
|
|
600 |
|
|
|
599 |
|
| Exelon |
|
|
|
|
|
|
|
|
| 4.900%, 06/15/2015 |
|
|
425 |
|
|
|
438 |
|
| Southern |
|
|
|
|
|
|
|
|
| 1.300%, 08/15/2017 |
|
|
390 |
|
|
|
388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,425 |
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $77,219) ($ Thousands) |
|
|
|
|
|
|
76,612 |
|
|
|
|
|
|
|
|
|
|
|
| LOAN PARTICIPATIONS — 27.3% |
|
| Acosta Holdco, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 08/13/2021 (C) |
|
|
897 |
|
|
|
894 |
|
| Advanstar Communications, Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 04/29/2019 |
|
|
198 |
|
|
|
197 |
|
| Advantage Sales and Marketing,
1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 07/23/2021 |
|
|
581 |
|
|
|
570 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Advantage Sales and Marketing, |
|
|
|
|
|
|
|
|
| 0.000%, 07/23/2021 (C) (F) |
|
$ |
10 |
|
|
$ |
— |
|
| Affinia Group |
|
|
|
|
|
|
|
|
| 4.750%, 04/25/2020 |
|
|
544 |
|
|
|
541 |
|
| Affinia Group, 2nd Lien |
|
|
|
|
|
|
|
|
| 4.750%, 04/25/2020 |
|
|
46 |
|
|
|
46 |
|
| Affinion Group Holdings |
|
|
|
|
|
|
|
|
| 6.750%, 04/30/2018 |
|
|
778 |
|
|
|
754 |
|
| Air Medical Group Holdings, Term Loan B1 |
|
|
|
|
|
|
|
|
| 5.000%, 06/30/2018 |
|
|
592 |
|
|
|
592 |
|
| Alinta, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.375%, 08/13/2019 |
|
|
422 |
|
|
|
426 |
|
| Alinta Ltd. |
|
|
|
|
|
|
|
|
| 0.000%, 08/13/2018 (F) |
|
|
28 |
|
|
|
7 |
|
| Alliance Holdings, Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 12/07/2019 |
|
|
730 |
|
|
|
719 |
|
| Alliance Laundry System LLC, Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 12/07/2018 |
|
|
525 |
|
|
|
519 |
|
| Alliance Laundry Systems LLC, Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 12/10/2018 |
|
|
7 |
|
|
|
7 |
|
| Allison Transmission |
|
|
|
|
|
|
|
|
| 3.750%, 08/23/2019 |
|
|
620 |
|
|
|
613 |
|
| American Builders & Contract Supply, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 04/16/2020 |
|
|
496 |
|
|
|
486 |
|
| American Renal Holdings |
|
|
|
|
|
|
|
|
| 4.500%, 08/14/2019 |
|
|
543 |
|
|
|
534 |
|
| Applied Systems, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 01/25/2021 |
|
|
493 |
|
|
|
487 |
|
| Applied Systems, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 01/24/2022 |
|
|
175 |
|
|
|
174 |
|
| Aramark, 1st lien |
|
|
|
|
|
|
|
|
| 3.250%, 09/06/2019 |
|
|
32 |
|
|
|
32 |
|
| 3.250%, 02/24/2021 |
|
|
1,048 |
|
|
|
1,026 |
|
| Ardagh Holdings USA, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 12/17/2019 |
|
|
449 |
|
|
|
442 |
|
| Aricent Technologies, 1st Lien |
|
|
|
|
|
|
|
|
| 5.500%, 04/14/2021 |
|
|
700 |
|
|
|
695 |
|
| Asurion LLC |
|
|
|
|
|
|
|
|
| 5.000%, 05/24/2019 |
|
|
853 |
|
|
|
848 |
|
| Asurion LLC, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 03/03/2021 |
|
|
300 |
|
|
|
303 |
|
| Atlas Energy, Term Loan B |
|
|
|
|
|
|
|
|
| 6.500%, 07/31/2019 |
|
|
223 |
|
|
|
225 |
|
| August Holding, 1st Lien Term Loan B2 |
|
|
|
|
|
|
|
|
| 5.000%, 04/27/2018 |
|
|
345 |
|
|
|
343 |
|
|
|
|
| 68 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Avaya, Term Loan B3 |
|
|
|
|
|
|
|
|
| 4.654%, 10/26/2017 |
|
$ |
321 |
|
|
$ |
306 |
|
| Booz Allen Hamilton,
1st Lien Term Loan B1 |
|
|
|
|
|
|
|
|
| 3.750%, 07/31/2019 |
|
|
246 |
|
|
|
244 |
|
| Brickman Group Holdings,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 12/18/2020 |
|
|
498 |
|
|
|
486 |
|
| Burger King, Term Loan B,
1st Lien, Cov-Lite |
|
|
|
|
|
|
|
|
| 0.000%, 09/24/2021 (C) |
|
|
173 |
|
|
|
172 |
|
| Calpine, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 04/01/2018 |
|
|
698 |
|
|
|
692 |
|
| Catalent Pharma Solutions,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.500%, 05/20/2021 |
|
|
500 |
|
|
|
497 |
|
| CCM Merger |
|
|
|
|
|
|
|
|
| 4.500%, 08/06/2021 |
|
|
414 |
|
|
|
409 |
|
| CDW, Term Loan |
|
|
|
|
|
|
|
|
| 3.250%, 04/29/2020 |
|
|
494 |
|
|
|
481 |
|
| Cengage Learning Acquisitions,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.000%, 03/31/2020 |
|
|
196 |
|
|
|
195 |
|
| CeramTec Acquisition |
|
|
|
|
|
|
|
|
| 4.250%, 08/30/2020 |
|
|
84 |
|
|
|
84 |
|
| CeramTec GmbH, Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 08/30/2020 |
|
|
211 |
|
|
|
209 |
|
| Charter Communications Operating |
|
|
|
|
|
|
|
|
| 4.250%, 09/12/2021 |
|
|
369 |
|
|
|
368 |
|
| Charter Communications Operating LLC, Term Loan E |
|
|
|
|
|
|
|
|
| 3.000%, 07/01/2020 |
|
|
317 |
|
|
|
307 |
|
| Chief Exploration |
|
|
|
|
|
|
|
|
| 7.500%, 05/16/2021 |
|
|
200 |
|
|
|
199 |
|
| 0.000% 05/16/2021 (C) |
|
|
300 |
|
|
|
300 |
|
| Community Health Services,
1st Lien Term Loan D |
|
|
|
|
|
|
|
|
| 4.250%, 01/27/2021 |
|
|
597 |
|
|
|
594 |
|
| ConvaTec, Dollar Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 12/30/2016 |
|
|
631 |
|
|
|
625 |
|
| Cumulus Media, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 12/23/2020 |
|
|
591 |
|
|
|
580 |
|
| DAE Aviation Holdings,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 08/05/2019 |
|
|
200 |
|
|
|
201 |
|
| 5.000%, 11/02/2018 |
|
|
596 |
|
|
|
598 |
|
| Dealertrack, Cov-Lite,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 02/28/2021 |
|
|
181 |
|
|
|
178 |
|
| Dex Media West LLC |
|
|
|
|
|
|
|
|
| 8.000%, 12/30/2016 |
|
|
439 |
|
|
|
401 |
|
| EFS Cogen Holdings,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 3.750%, 12/17/2020 |
|
|
240 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Emergency Medical Services, Cov-Lite, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 05/25/2018 |
|
$ |
21 |
|
|
$ |
21 |
|
| Emergency Medical Services,
Initial Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 05/28/2018 |
|
|
218 |
|
|
|
215 |
|
| 4.000%, 05/25/2018 |
|
|
107 |
|
|
|
105 |
|
| Endurance International, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 11/09/2019 |
|
|
358 |
|
|
|
357 |
|
| Energy & Exploration Partners,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 7.750%, 01/22/2019 |
|
|
887 |
|
|
|
868 |
|
| Energy Transfer Equity, 1st Lien |
|
|
|
|
|
|
|
|
| 3.250%, 12/02/2019 |
|
|
698 |
|
|
|
679 |
|
| Entegris, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 04/30/2021 |
|
|
473 |
|
|
|
464 |
|
| Epicor, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 05/16/2018 |
|
|
579 |
|
|
|
571 |
|
| Equinox Fitness Club, Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 01/31/2020 |
|
|
741 |
|
|
|
730 |
|
| Evergreen Skillsoft, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 04/28/2021 |
|
|
647 |
|
|
|
634 |
|
| Fibertech Networks LLC, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 11/30/2016 |
|
|
478 |
|
|
|
473 |
|
| First Data, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 3.655%, 03/23/2018 |
|
|
624 |
|
|
|
611 |
|
| Firth Rixson Limited, Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 06/30/2017 |
|
|
493 |
|
|
|
491 |
|
| FMG Resources Property, Cov- Lite,
1st Lien |
|
|
|
|
|
|
|
|
| 3.750%, 06/30/2019 |
|
|
1 |
|
|
|
1 |
|
| Freescale Semiconductor,
Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 02/13/2020 |
|
|
887 |
|
|
|
873 |
|
| 4.250%, 02/28/2020 |
|
|
2 |
|
|
|
2 |
|
| Generac Power Systems, Term Loan B |
|
|
|
|
|
|
|
|
| 3.250%, 06/22/2018 |
|
|
740 |
|
|
|
725 |
|
| Genpact International, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 08/30/2019 |
|
|
493 |
|
|
|
489 |
|
| Gray Television, Cov-Lite,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 3.750%, 06/13/2021 |
|
|
170 |
|
|
|
167 |
|
| Greeneden U.S. Holding II LLC |
|
|
|
|
|
|
|
|
| 4.000%, 01/31/2020 |
|
|
198 |
|
|
|
193 |
|
| Harbor Freight Tools |
|
|
|
|
|
|
|
|
| 4.750%, 07/26/2019 |
|
|
246 |
|
|
|
245 |
|
| Harron Communications L.P.,
Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/05/2017 |
|
|
374 |
|
|
|
371 |
|
| Hilton Hotels, Cov-Lite,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
175 |
|
|
|
172 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
69 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Hilton Worldwide Finance |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
$ |
276 |
|
|
$ |
272 |
|
| Hilton Worldwide Holdings,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
46 |
|
|
|
45 |
|
| Hub International,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 10/02/2020 |
|
|
693 |
|
|
|
677 |
|
| Hub International, Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 10/02/2020 |
|
|
2 |
|
|
|
2 |
|
| Husky Injection Molding |
|
|
|
|
|
|
|
|
| 4.250%, 06/20/2022 |
|
|
640 |
|
|
|
629 |
|
| Ikaria, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 02/12/2021 |
|
|
122 |
|
|
|
122 |
|
| Ikaria, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.750%, 02/14/2022 |
|
|
80 |
|
|
|
81 |
|
| IMS Health |
|
|
|
|
|
|
|
|
| 3.500%, 03/17/2021 |
|
|
580 |
|
|
|
568 |
|
| Ineos Holdings Limited, Cov-Lite |
|
|
|
|
|
|
|
|
| 3.750%, 04/27/2018 |
|
|
606 |
|
|
|
593 |
|
| Intelsat Jackson Holdings |
|
|
|
|
|
|
|
|
| 3.750%, 06/30/2019 |
|
|
288 |
|
|
|
283 |
|
| Interactive Date, Cov-Lite,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 05/02/2021 |
|
|
534 |
|
|
|
531 |
|
| ION Trading Technologies,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 06/10/2021 |
|
|
55 |
|
|
|
54 |
|
| ION Trading Technologies,
2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.250%, 06/10/2022 |
|
|
350 |
|
|
|
348 |
|
| Jeld-Wen, Term Loan B, 1st Lien |
|
|
|
|
|
|
|
|
| 0.000%, 09/24/2021 (C) |
|
|
208 |
|
|
|
207 |
|
| JHT Holding, 2nd Lien Term
Loan (D) (E) |
|
|
|
|
|
|
|
|
| 12.500%, 05/30/2015 |
|
|
53 |
|
|
|
18 |
|
| Karman Buyer, Term Loan,
Delayed Draw |
|
|
|
|
|
|
|
|
| 4.250%, 07/23/2021 (C) |
|
|
10 |
|
|
|
10 |
|
| Kronos, Incremental Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 10/30/2019 |
|
|
981 |
|
|
|
974 |
|
| Kronos, Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 10/30/2019 |
|
|
1 |
|
|
|
1 |
|
| Language Line LLC, Term
Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 06/20/2016 |
|
|
428 |
|
|
|
426 |
|
| Lee Enterprises |
|
|
|
|
|
|
|
|
| 7.250%, 03/31/2019 |
|
|
51 |
|
|
|
50 |
|
| Lee Enterprises, Term Loan B |
|
|
|
|
|
|
|
|
| 7.250%, 03/31/2019 |
|
|
297 |
|
|
|
296 |
|
| Leslie’s Poolmart, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 10/16/2019 |
|
|
590 |
|
|
|
581 |
|
| Level 3 Communications |
|
|
|
|
|
|
|
|
| 4.000%, 08/01/2019 |
|
|
750 |
|
|
|
736 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Light Tower Fiber LLC, Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 04/12/2021 |
|
$ |
63 |
|
|
$ |
63 |
|
| 4.000%, 04/13/2020 |
|
|
198 |
|
|
|
194 |
|
| MacDermid, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 06/07/2020 |
|
|
377 |
|
|
|
370 |
|
| Media General, Delayed Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 07/31/2020 |
|
|
19 |
|
|
|
19 |
|
| Media General, Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 07/31/2020 |
|
|
209 |
|
|
|
206 |
|
| MEG Energy |
|
|
|
|
|
|
|
|
| 3.750%, 03/21/2020 |
|
|
632 |
|
|
|
628 |
|
| MGM Resorts, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 12/20/2019 |
|
|
395 |
|
|
|
387 |
|
| Millennium Laboratories LLC,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 04/16/2021 |
|
|
707 |
|
|
|
704 |
|
| Mohegan Tribal Gaming Authority,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.500%, 11/19/2019 |
|
|
251 |
|
|
|
246 |
|
| MTL Publishing LLC, Term Loan B |
|
|
|
|
|
|
|
|
| 3.750%, 06/29/2018 |
|
|
449 |
|
|
|
441 |
|
| Navistar International |
|
|
|
|
|
|
|
|
| 5.750%, 08/17/2017 |
|
|
155 |
|
|
|
156 |
|
| Nelson Education Limited,
Term Loan B1 (G) |
|
|
|
|
|
|
|
|
| 5.250%, 07/05/2014 |
|
|
206 |
|
|
|
170 |
|
| Numericable US,
1st Lien Term Loan B1 |
|
|
|
|
|
|
|
|
| 4.500%, 05/21/2020 |
|
|
150 |
|
|
|
149 |
|
| Numericable US, 1st Lien Term Loan B2 |
|
|
|
|
|
|
|
|
| 4.500%, 05/21/2020 |
|
|
130 |
|
|
|
129 |
|
| Ocwen Financial |
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2018 |
|
|
97 |
|
|
|
95 |
|
| One Call Medical, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 11/27/2020 |
|
|
963 |
|
|
|
960 |
|
| Pilot Travel Centers |
|
|
|
|
|
|
|
|
| 0.000%‡‡ (C) |
|
|
1,000 |
|
|
|
999 |
|
| Quintiles Transnational,
1st Lien Term Loan B3 |
|
|
|
|
|
|
|
|
| 3.750%, 06/08/2018 |
|
|
429 |
|
|
|
422 |
|
| Realogy |
|
|
|
|
|
|
|
|
| 3.750%, 03/05/2020 |
|
|
28 |
|
|
|
28 |
|
| Redtop Acquisitions, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 12/03/2020 |
|
|
100 |
|
|
|
99 |
|
| Redtop Acquisitions, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.250%, 06/03/2021 |
|
|
104 |
|
|
|
105 |
|
| Rexnord LLC, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 08/21/2020 |
|
|
833 |
|
|
|
819 |
|
| Ruby Western Pipeline Holdings,
Term Loan |
|
|
|
|
|
|
|
|
| 3.500%, 03/22/2020 |
|
|
542 |
|
|
|
536 |
|
| 3.500%, 03/27/2020 |
|
|
79 |
|
|
|
78 |
|
|
|
|
| 70 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Schaeffler Finances, Term Loan E |
|
|
|
|
|
|
|
|
| 3.750%, 05/15/2020 |
|
$ |
425 |
|
|
$ |
421 |
|
| Seadrill Partners LLC,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 02/21/2021 |
|
|
661 |
|
|
|
628 |
|
| Seaworld |
|
|
|
|
|
|
|
|
| 3.000%, 05/30/2020 |
|
|
405 |
|
|
|
382 |
|
| Serta Simmons Holdings,
Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 09/19/2019 |
|
|
512 |
|
|
|
508 |
|
| Shields Finance, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 01/29/2021 |
|
|
399 |
|
|
|
397 |
|
| Skillsoft, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 7.750%, 04/28/2022 |
|
|
251 |
|
|
|
242 |
|
| Smart & Final, 1st Lien Term Loan, Cov-Lite |
|
|
|
|
|
|
|
|
| 4.750%, 11/15/2019 |
|
|
412 |
|
|
|
411 |
|
| Starwood Property Trust,
Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 04/17/2020 |
|
|
869 |
|
|
|
855 |
|
| STHI Holding, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 08/06/2021 |
|
|
179 |
|
|
|
177 |
|
| Surgical Care Affiliates LLC,
Term Loan B |
|
|
|
|
|
|
|
|
| 4.234%, 12/29/2017 |
|
|
589 |
|
|
|
580 |
|
| Syncreon Holdings,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 10/28/2020 |
|
|
995 |
|
|
|
985 |
|
| Telesat Canada, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 03/26/2019 |
|
|
394 |
|
|
|
386 |
|
| Templar Energy |
|
|
|
|
|
|
|
|
| 8.000%, 11/25/2020 |
|
|
218 |
|
|
|
211 |
|
| Templar Energy, Cov-Lite,
2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 11/25/2020 |
|
|
762 |
|
|
|
738 |
|
| Texas Competitive Electric Holdings,
Extending Term Loan |
|
|
|
|
|
|
|
|
| 4.650%, 10/10/2017 |
|
|
654 |
|
|
|
483 |
|
| The Nieman Marcus Group,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 10/25/2020 |
|
|
596 |
|
|
|
584 |
|
| The Pantry, Term Loan B |
|
|
|
|
|
|
|
|
| 4.750%, 07/31/2019 |
|
|
353 |
|
|
|
352 |
|
| TI Group Automotive Systems,
1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 07/02/2021 |
|
|
866 |
|
|
|
853 |
|
| Trans Union LLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 04/09/2021 |
|
|
998 |
|
|
|
981 |
|
| TransDigm, Cov-Lite, 1st Lien,
Term Loan D |
|
|
|
|
|
|
|
|
| 3.750%, 06/04/2021 |
|
|
512 |
|
|
|
502 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Tribune Company, 1st Lien
Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 12/27/2020 |
|
$ |
645 |
|
|
$ |
636 |
|
| True Religion Apparel,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.875%, 07/30/2019 |
|
|
304 |
|
|
|
279 |
|
| True Religion Apparel, Term Loan |
|
|
|
|
|
|
|
|
| 5.875%, 07/30/2019 |
|
|
325 |
|
|
|
298 |
|
| U.S. Telepacific, Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 02/23/2017 |
|
|
485 |
|
|
|
484 |
|
| Univision Communications,
Term Loan C3 |
|
|
|
|
|
|
|
|
| 4.000%, 03/01/2020 |
|
|
546 |
|
|
|
535 |
|
| Valeant Pharmaceuticals |
|
|
|
|
|
|
|
|
| 3.750%, 02/13/2019 |
|
|
95 |
|
|
|
94 |
|
| Valeant Pharmaceuticals International, Term
Loan E |
|
|
|
|
|
|
|
|
| 3.750%, 08/05/2020 |
|
|
398 |
|
|
|
393 |
|
| Vanity LLC, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.750%, 06/13/2021 |
|
|
289 |
|
|
|
287 |
|
| Vantiv LLC |
|
|
|
|
|
|
|
|
| 3.750%, 06/13/2021 |
|
|
1 |
|
|
|
1 |
|
| Verint Systems, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 09/06/2019 |
|
|
390 |
|
|
|
388 |
|
| Walter Energy, Term Loan B |
|
|
|
|
|
|
|
|
| 7.250%, 04/02/2018 |
|
|
149 |
|
|
|
133 |
|
| Warner Music Group, Term Loan |
|
|
|
|
|
|
|
|
| 3.750%, 07/01/2020 |
|
|
498 |
|
|
|
480 |
|
| Waste Industries USA, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 03/17/2017 |
|
|
481 |
|
|
|
477 |
|
| WCA Waste Systems, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 03/23/2018 |
|
|
244 |
|
|
|
243 |
|
| WCA Waste Systems, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 03/23/2018 |
|
|
1 |
|
|
|
1 |
|
| Weight Watchers International |
|
|
|
|
|
|
|
|
| 4.000%, 04/02/2020 |
|
|
242 |
|
|
|
184 |
|
| 4.000%, 04/02/2020 (C) |
|
|
71 |
|
|
|
54 |
|
| West |
|
|
|
|
|
|
|
|
| 3.250%, 06/30/2018 |
|
|
293 |
|
|
|
286 |
|
| WideOpenWest Finance |
|
|
|
|
|
|
|
|
| 4.750%, 03/26/2019 |
|
|
147 |
|
|
|
146 |
|
| Wilsonart International Holdings LLC, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 10/31/2019 |
|
|
497 |
|
|
|
487 |
|
| York Risk Services Holding, Delayed Draw |
|
|
|
|
|
|
|
|
| 0.000%, 10/01/2021 (C) |
|
|
29 |
|
|
|
28 |
|
| York Risk Services Holding,
Term Loan B |
|
|
|
|
|
|
|
|
| 0.000%, 10/01/2021 (C) |
|
|
264 |
|
|
|
263 |
|
| Zayo Group LLC, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 07/02/2019 |
|
|
973 |
|
|
|
957 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
71 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ziggo, 1st Lien Term Loan B1 |
|
|
|
|
|
|
|
|
| 3.250%, 01/15/2022 |
|
$ |
292 |
|
|
$ |
274 |
|
| 0.000%, 01/15/2022 (F) |
|
|
324 |
|
|
|
— |
|
| Ziggo, 1st Lien Term Loan B2 |
|
|
|
|
|
|
|
|
| 3.250%, 01/15/2022 |
|
|
173 |
|
|
|
168 |
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations
(Cost $63,931) ($ Thousands) |
|
|
|
|
|
|
63,061 |
|
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 20.3% |
|
|
|
|
|
|
|
|
| Automotive — 8.6% |
|
|
|
|
|
|
|
|
| Ally Auto Receivables Trust,
Ser 2010-5, Cl B |
|
|
|
|
|
|
|
|
| 2.450%, 06/15/2016 (B) |
|
|
300 |
|
|
|
301 |
|
| Ally Auto Receivables Trust,
Ser 2011-1, Cl A4 |
|
|
|
|
|
|
|
|
| 2.230%, 03/15/2016 |
|
|
133 |
|
|
|
133 |
|
| Ally Auto Receivables Trust,
Ser 2012-SN1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.700%, 12/21/2015 |
|
|
380 |
|
|
|
380 |
|
| Ally Auto Receivables Trust,
Ser 2013-SN1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.720%, 05/20/2016 |
|
|
493 |
|
|
|
494 |
|
| Ally Auto Receivables Trust,
Ser 2014-SN1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.750%, 02/21/2017 |
|
|
285 |
|
|
|
284 |
|
| American Credit Acceptance Receivables Trust,
Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
| 1.640%, 11/15/2016 (B) |
|
|
91 |
|
|
|
91 |
|
| American Credit Acceptance Receivables Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 1.450%, 04/16/2018 (B) |
|
|
177 |
|
|
|
177 |
|
| American Credit Acceptance Receivables Trust,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 1.320%, 02/15/2017 (B) |
|
|
155 |
|
|
|
156 |
|
| American Credit Acceptance Receivables Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 1.140%, 03/12/2018 (B) |
|
|
139 |
|
|
|
139 |
|
| AmeriCredit Automobile Receivables Trust, Ser 2011-2, CI C |
|
|
|
|
|
|
|
|
| 3.190%, 10/12/2016 |
|
|
798 |
|
|
|
803 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2012- 5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.620%, 06/08/2017 |
|
|
433 |
|
|
|
433 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.490%, 06/08/2016 |
|
|
12 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.650%, 12/08/2017 |
|
$ |
440 |
|
|
$ |
440 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-5, Cl A2B |
|
|
|
|
|
|
|
|
| 0.539%, 03/08/2017 (A) |
|
|
128 |
|
|
|
129 |
|
| ARI Fleet Lease Trust,
Ser 2012-A, Cl A |
|
|
|
|
|
|
|
|
| 0.704%, 03/15/2020 (A) (B) |
|
|
291 |
|
|
|
291 |
|
| ARI Fleet Lease Trust,
Ser 2012-B, Cl A |
|
|
|
|
|
|
|
|
| 0.454%, 01/15/2021 (A) (B) |
|
|
205 |
|
|
|
205 |
|
| Bank of America Auto Trust,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.780%, 06/15/2016 |
|
|
50 |
|
|
|
50 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A1A |
|
|
|
|
|
|
|
|
| 0.680%, 05/20/2016 |
|
|
295 |
|
|
|
295 |
|
| Carfinance Capital Auto Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.650%, 07/17/2017 (B) |
|
|
28 |
|
|
|
28 |
|
| CarMax Auto Owner Trust,
Ser 2011-3, Cl B |
|
|
|
|
|
|
|
|
| 2.170%, 07/17/2017 |
|
|
550 |
|
|
|
559 |
|
| CarMax Auto Owner Trust,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.890%, 09/15/2016 |
|
|
76 |
|
|
|
76 |
|
| CarMax Auto Owner Trust,
Ser 2012-3, Cl C |
|
|
|
|
|
|
|
|
| 1.500%, 08/15/2018 |
|
|
115 |
|
|
|
116 |
|
| Carnow Auto Receivables Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.960%, 07/17/2017 (B) |
|
|
650 |
|
|
|
650 |
|
| Chesapeake Funding LLC,
Ser 2012-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.909%, 11/07/2023 (A) (B) |
|
|
193 |
|
|
|
193 |
|
| Chesapeake Funding LLC,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.609%, 01/07/2025 (A) (B) |
|
|
754 |
|
|
|
753 |
|
| Chesapeake Funding LLC,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.579%, 03/07/2026 (A) (B) |
|
|
490 |
|
|
|
490 |
|
| Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2 |
|
|
|
|
|
|
|
|
| 0.610%, 11/15/2016 (B) |
|
|
136 |
|
|
|
136 |
|
| CPS Auto Receivables Trust,
Ser 2013-D, Cl A |
|
|
|
|
|
|
|
|
| 1.540%, 07/16/2018 (B) |
|
|
227 |
|
|
|
228 |
|
| CPS Auto Receivables Trust,
Ser 2014-A, Cl A |
|
|
|
|
|
|
|
|
| 1.210%, 08/15/2018 (B) |
|
|
226 |
|
|
|
226 |
|
|
|
|
| 72 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Credit Acceptance Auto Loan Trust, Ser 2012-1A, Cl A |
|
|
|
|
|
|
|
|
| 2.200%, 09/16/2019 (B) |
|
$ |
198 |
|
|
$ |
199 |
|
| Credit Acceptance Auto Loan Trust, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.210%, 10/15/2020 (B) |
|
|
270 |
|
|
|
270 |
|
| Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 1.500%, 04/15/2021 (B) |
|
|
400 |
|
|
|
402 |
|
| Credit Acceptance Auto Loan Trust, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.550%, 10/15/2021 (B) |
|
|
345 |
|
|
|
346 |
|
| DT Auto Owner Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.660%, 07/17/2017 (B) |
|
|
170 |
|
|
|
170 |
|
| Enterprise Fleet Financing LLC,
Ser 2012-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.140%, 11/20/2017 (B) |
|
|
52 |
|
|
|
52 |
|
| Enterprise Fleet Financing LLC,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.680%, 09/20/2018 (B) |
|
|
326 |
|
|
|
326 |
|
| Enterprise Fleet Financing LLC,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.870%, 09/20/2019 (B) |
|
|
210 |
|
|
|
210 |
|
| First Investors Auto Owner Trust,
Ser 2012-2A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.470%, 05/15/2018 (B) |
|
|
203 |
|
|
|
204 |
|
| First Investors Auto Owner Trust,
Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.900%, 10/15/2018 (B) |
|
|
99 |
|
|
|
100 |
|
| First Investors Auto Owner Trust,
Ser 2013-2A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.230%, 03/15/2019 (B) |
|
|
420 |
|
|
|
421 |
|
| First Investors Auto Owner Trust,
Ser 2013-3A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.890%, 09/15/2017 (B) |
|
|
142 |
|
|
|
142 |
|
| First Investors Auto Owner Trust,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.800%, 02/15/2018 (B) |
|
|
249 |
|
|
|
249 |
|
| Ford Credit Auto Owner Trust,
Ser 2011-A, CI D |
|
|
|
|
|
|
|
|
| 3.210%, 07/15/2017 |
|
|
650 |
|
|
|
661 |
|
| Ford Credit Auto Owner Trust,
Ser 2012-A, Cl B |
|
|
|
|
|
|
|
|
| 1.880%, 08/15/2017 |
|
|
475 |
|
|
|
482 |
|
| Ford Credit Auto Owner Trust,
Ser 2012-B, CI D |
|
|
|
|
|
|
|
|
| 2.930%, 10/15/2018 |
|
|
700 |
|
|
|
720 |
|
| Harley-Davidson Motorcycle Trust,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.680%, 04/15/2017 |
|
|
68 |
|
|
|
68 |
|
| Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A4 |
|
|
|
|
|
|
|
|
| 1.050%, 04/17/2017 (B) |
|
|
120 |
|
|
|
120 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| M&T Bank Auto Receivables Trust,
Ser 2013-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 1.060%, 11/15/2017 (B) |
|
$ |
825 |
|
|
$ |
829 |
|
| Mercedes Benz Auto Lease Trust,
Ser 2013-B, Cl A3 |
|
|
|
|
|
|
|
|
| 0.620%, 07/15/2016 |
|
|
145 |
|
|
|
145 |
|
| Motor PLC, Ser 2013-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.655%, 02/15/2021 (A) (B) |
|
|
213 |
|
|
|
213 |
|
| Nissan Auto Lease Trust,
Ser 2013-A, Cl A2A |
|
|
|
|
|
|
|
|
| 0.450%, 09/15/2015 |
|
|
220 |
|
|
|
220 |
|
| Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.540%, 12/21/2015 (B) |
|
|
110 |
|
|
|
110 |
|
| Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.880%, 10/22/2019 (B) |
|
|
335 |
|
|
|
336 |
|
| Prestige Auto Receivables Trust,
Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.090%, 02/15/2018 (B) |
|
|
294 |
|
|
|
295 |
|
| Prestige Auto Receivables Trust,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.970%, 03/15/2018 (B) |
|
|
295 |
|
|
|
295 |
|
| Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C |
|
|
|
|
|
|
|
|
| 3.890%, 07/17/2017 |
|
|
193 |
|
|
|
193 |
|
| Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D |
|
|
|
|
|
|
|
|
| 3.640%, 05/15/2018 |
|
|
545 |
|
|
|
564 |
|
| Santander Drive Auto Receivables Trust, Ser 2012-4, Cl B |
|
|
|
|
|
|
|
|
| 1.830%, 03/15/2017 |
|
|
700 |
|
|
|
703 |
|
| Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.700%, 10/16/2017 |
|
|
520 |
|
|
|
520 |
|
| Santander Drive Auto Receivables Trust, Ser 2014-1, Cl A2A |
|
|
|
|
|
|
|
|
| 0.660%, 06/15/2017 |
|
|
108 |
|
|
|
108 |
|
| Santander Drive Auto Receivables Trust, Ser 2014-2, Cl A2A |
|
|
|
|
|
|
|
|
| 0.540%, 07/17/2017 |
|
|
310 |
|
|
|
310 |
|
| SNAAC Auto Receivables Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.140%, 07/16/2018 (B) |
|
|
53 |
|
|
|
53 |
|
| Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.120%, 01/15/2018 (B) |
|
|
301 |
|
|
|
302 |
|
| Westlake Automobile Receivables Trust, Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.700%, 05/15/2017 (B) |
|
|
505 |
|
|
|
505 |
|
| Wheels SPV 2 LLC,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.840%, 03/20/2023 (B) |
|
|
500 |
|
|
|
498 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
73 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| World Omni Auto Receivables Trust, Ser 2012-A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.640%, 02/15/2017 |
|
$ |
99 |
|
|
$ |
99 |
|
| World Omni Automobile Lease Securitization Trust,
Ser 2012-A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.930%, 11/16/2015 |
|
|
9 |
|
|
|
9 |
|
| World Omni Master Owner Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 0.505%, 02/15/2018 (A) (B) |
|
|
235 |
|
|
|
235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Cards — 4.3% |
|
|
|
|
|
|
|
|
| BA Credit Card Trust,
Ser 2014-A1, Cl A |
|
|
|
|
|
|
|
|
| 0.534%, 06/15/2021 (A) |
|
|
650 |
|
|
|
650 |
|
| Barclays Dryrock Issuance Trust,
Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
| 0.640%, 08/15/2018 |
|
|
440 |
|
|
|
439 |
|
| Barclays Dryrock Issuance Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 0.495%, 07/16/2018 (A) |
|
|
240 |
|
|
|
240 |
|
| Barclays Dryrock Issuance Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 0.515%, 12/16/2019 (A) |
|
|
365 |
|
|
|
365 |
|
| Cabela’s Master Credit Card Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 0.505%, 03/16/2020 (A) |
|
|
190 |
|
|
|
190 |
|
| Chase Issuance Trust,
Ser 2007-B1, Cl B1 |
|
|
|
|
|
|
|
|
| 0.404%, 04/15/2019 (A) |
|
|
750 |
|
|
|
747 |
|
| Chase Issuance Trust,
Ser 2012-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.790%, 06/15/2017 |
|
|
495 |
|
|
|
496 |
|
| Chase Issuance Trust,
Ser 2012-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.590%, 08/15/2017 |
|
|
675 |
|
|
|
676 |
|
| Chase Issuance Trust,
Ser 2013-A6, Cl A6 |
|
|
|
|
|
|
|
|
| 0.574%, 07/15/2020 (A) |
|
|
650 |
|
|
|
653 |
|
| Chase Issuance Trust,
Ser 2014- A1, Cl A1 |
|
|
|
|
|
|
|
|
| 1.150%, 01/15/2019 |
|
|
490 |
|
|
|
490 |
|
| Citibank Credit Card Issuance Trust, Ser 2013-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.110%, 07/23/2018 |
|
|
600 |
|
|
|
602 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.020%, 02/22/2019 |
|
|
485 |
|
|
|
483 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A4, Cl A4 |
|
|
|
|
|
|
|
|
| 1.230%, 04/24/2019 |
|
|
1,000 |
|
|
|
998 |
|
| Discover Card Execution Note Trust, Ser 2014-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.220%, 10/15/2019 |
|
|
525 |
|
|
|
524 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A |
|
|
|
|
|
|
|
|
| 0.950%, 06/15/2018 |
|
$ |
475 |
|
|
$ |
476 |
|
| Golden Credit Card Trust,
Ser 2012-5A, Cl A |
|
|
|
|
|
|
|
|
| 0.790%, 09/15/2017 (B) |
|
|
525 |
|
|
|
526 |
|
| Golden Credit Card Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.475%, 03/15/2019 (A) (B) |
|
|
435 |
|
|
|
435 |
|
| Gracechurch Card PLC,
Ser 2012-4A, Cl A |
|
|
|
|
|
|
|
|
| 0.854%, 06/15/2017 (A) (B) |
|
|
550 |
|
|
|
551 |
|
| Master Credit Card Trust,
Ser 2012-2A, Cl A |
|
|
|
|
|
|
|
|
| 0.780%, 04/21/2017 (B) |
|
|
330 |
|
|
|
330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,871 |
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 7.4% |
|
| Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A |
|
|
|
|
|
|
|
|
| 0.495%, 01/25/2035 (A) |
|
|
244 |
|
|
|
239 |
|
| Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B |
|
|
|
|
|
|
|
|
| 1.255%, 09/25/2034 (A) |
|
|
286 |
|
|
|
282 |
|
| Ally Master Owner Trust,
Ser 2012-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.440%, 02/15/2017 |
|
|
600 |
|
|
|
602 |
|
| Ally Master Owner Trust,
Ser 2012-3, Cl A1 |
|
|
|
|
|
|
|
|
| 0.854%, 06/15/2017 (A) |
|
|
500 |
|
|
|
502 |
|
| Ally Master Owner Trust,
Ser 2012-3, Cl A2 |
|
|
|
|
|
|
|
|
| 1.210%, 06/15/2017 |
|
|
440 |
|
|
|
442 |
|
| Ally Master Owner Trust,
Ser 2013-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.604%, 02/15/2018 (A) |
|
|
280 |
|
|
|
281 |
|
| Ally Master Owner Trust,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 0.604%, 04/15/2018 (A) |
|
|
675 |
|
|
|
676 |
|
| Ally Master Owner Trust,
Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.624%, 01/15/2019 (A) |
|
|
570 |
|
|
|
571 |
|
| Ally Master Owner Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 0.524%, 01/16/2018 (A) |
|
|
660 |
|
|
|
660 |
|
| Ally Master Owner Trust,
Ser 2014-4, Cl A2 |
|
|
|
|
|
|
|
|
| 1.430%, 06/17/2019 |
|
|
830 |
|
|
|
827 |
|
| Bear Stearns Asset-Backed Securities Trust,
Ser 2005-SD2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.815%, 12/25/2044 (A) |
|
|
250 |
|
|
|
250 |
|
|
|
|
| 74 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| CIFC Funding Ltd.,
Ser 2013-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.379%, 04/16/2025 (A) (B) |
|
$ |
485 |
|
|
$ |
479 |
|
| CNH Equipment Trust,
Ser 2012-B, Cl A3 |
|
|
|
|
|
|
|
|
| 0.860%, 09/15/2017 |
|
|
102 |
|
|
|
102 |
|
| CNH Equipment Trust,
Ser 2013-D, Cl A2 |
|
|
|
|
|
|
|
|
| 0.490%, 03/15/2017 |
|
|
204 |
|
|
|
204 |
|
| First Franklin Mortgage Loan Trust,
Ser 2006-FF1, Cl 2A3 |
|
|
|
|
|
|
|
|
| 0.395%, 01/25/2036 (A) |
|
|
563 |
|
|
|
556 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.534%, 01/15/2018 (A) |
|
|
330 |
|
|
|
330 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2 |
|
|
|
|
|
|
|
|
| 0.624%, 09/15/2018 (A) |
|
|
505 |
|
|
|
506 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.554%, 02/15/2019 (A) |
|
|
490 |
|
|
|
491 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B |
|
|
|
|
|
|
|
|
| 1.400%, 02/15/2019 |
|
|
90 |
|
|
|
90 |
|
| GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A |
|
|
|
|
|
|
|
|
| 0.724%, 02/20/2017 (A) |
|
|
640 |
|
|
|
641 |
|
| GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
| 0.644%, 06/20/2017 (A) |
|
|
455 |
|
|
|
455 |
|
| GE Equipment Midticket LLC,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.600%, 05/23/2016 |
|
|
162 |
|
|
|
162 |
|
| GE Equipment Midticket LLC,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.640%, 03/22/2016 |
|
|
140 |
|
|
|
140 |
|
| GE Equipment Small Ticket LLC,
Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.730%, 01/25/2016 (B) |
|
|
118 |
|
|
|
118 |
|
| GE Equipment Small Ticket LLC,
Ser 2014-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.950%, 09/25/2017 (B) |
|
|
800 |
|
|
|
800 |
|
| GE Equipment Transportation LLC,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.500%, 11/24/2015 |
|
|
58 |
|
|
|
58 |
|
| Golden Credit Card Trust,
Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 0.586%, 09/15/2018 (A) (B) |
|
|
625 |
|
|
|
627 |
|
| John Deere Owner Trust,
Ser 2012-B, Cl A3 |
|
|
|
|
|
|
|
|
| 0.530%, 07/15/2016 |
|
|
361 |
|
|
|
361 |
|
| John Deere Owner Trust,
Ser 2013-A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.600%, 03/15/2017 |
|
|
725 |
|
|
|
725 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| John Deere Owner Trust,
Ser 2013-B, Cl A2 |
|
|
|
|
|
|
|
|
| 0.550%, 01/15/2016 |
|
$ |
139 |
|
|
$ |
139 |
|
| JPMorgan Mortgage Acquisition Trust, Ser 2007-CH1, Cl AV4 |
|
|
|
|
|
|
|
|
| 0.285%, 11/25/2036 (A) |
|
|
200 |
|
|
|
199 |
|
| Kubota Credit Owner Trust,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.580%, 02/15/2017 (B) |
|
|
220 |
|
|
|
220 |
|
| Mercedes-Benz Master Owner Trust, Ser 2012-AA, Cl A |
|
|
|
|
|
|
|
|
| 0.790%, 11/15/2017 (B) |
|
|
310 |
|
|
|
310 |
|
| MMAF Equipment Finance,
Ser 2014-AA, Cl A3 |
|
|
|
|
|
|
|
|
| 0.870%, 01/08/2019 (B) |
|
|
745 |
|
|
|
742 |
|
| NYCTL Trust, Ser 2013-A, Cl A |
|
|
|
|
|
|
|
|
| 1.190%, 11/10/2026 (B) |
|
|
73 |
|
|
|
73 |
|
| NYCTL Trust, Ser 2014-A, Cl A |
|
|
|
|
|
|
|
|
| 1.030%, 11/10/2027 (B) |
|
|
295 |
|
|
|
295 |
|
| SLM Student Loan Trust,
Ser 2011-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.675%, 03/25/2026 (A) |
|
|
342 |
|
|
|
344 |
|
| SLM Student Loan Trust,
Ser 2011-B, Cl A1 |
|
|
|
|
|
|
|
|
| 1.004%, 12/16/2024 (A) (B) |
|
|
146 |
|
|
|
147 |
|
| Springleaf Funding Trust,
Ser 2014-AA, Cl A |
|
|
|
|
|
|
|
|
| 2.410%, 12/15/2022 (B) |
|
|
510 |
|
|
|
509 |
|
| Structured Asset Securities Mortgage Loan Trust,
Ser 2006-GEL3, Cl A2 |
|
|
|
|
|
|
|
|
| 0.385%, 07/25/2036 (A) (B) |
|
|
1,084 |
|
|
|
1,077 |
|
| Structured Asset Securities Mortgage Loan Trust,
Ser 2006-WF1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.305%, 02/25/2036 (A) |
|
|
292 |
|
|
|
288 |
|
| Volvo Financial Equipment LLC,
Ser 2013-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.740%, 03/15/2017 (B) |
|
|
320 |
|
|
|
320 |
|
| Volvo Financial Equipment LLC,
Ser 2014-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.820%, 04/16/2018 (B) |
|
|
285 |
|
|
|
284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,124 |
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $46,960) ($ Thousands) |
|
|
|
|
|
|
46,947 |
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 12.8% |
|
|
| Agency Mortgage-Backed Obligations — 3.4% |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 6.000%, 09/01/2026 |
|
|
104 |
|
|
|
117 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 6.500%, 09/01/2026 |
|
|
78 |
|
|
|
89 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
75 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.000%, 11/01/2026 to 04/01/2040 |
|
$ |
624 |
|
|
$ |
707 |
|
| 5.000%, 02/01/2023 to 03/01/2025 |
|
|
184 |
|
|
|
199 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1 |
|
|
|
|
|
|
|
|
| 1.105%, 05/25/2024 (A) (B) |
|
|
342 |
|
|
|
337 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1 |
|
|
|
|
|
|
|
|
| 1.105%, 05/25/2024 (A) (B) |
|
|
281 |
|
|
|
276 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 |
|
|
|
|
|
|
|
|
| 1.355%, 07/25/2024 (A) (B) |
|
|
767 |
|
|
|
761 |
|
| FNMA TBA |
|
|
|
|
|
|
|
|
| 3.500%, 10/16/2027 |
|
|
900 |
|
|
|
946 |
|
| 3.000%, 10/15/2027 |
|
|
3,100 |
|
|
|
3,193 |
|
| NCUA Guaranteed Notes,
Ser 2010-R1, Cl 1A |
|
|
|
|
|
|
|
|
| 0.603%, 10/07/2020 (A) |
|
|
379 |
|
|
|
382 |
|
| NCUA Guaranteed Notes,
Ser 2011-R1, Cl 1A |
|
|
|
|
|
|
|
|
| 0.607%, 01/08/2020 (A) |
|
|
492 |
|
|
|
494 |
|
| NCUA Guaranteed Notes,
Ser 2011-R3, Cl 1A |
|
|
|
|
|
|
|
|
| 0.557%, 03/11/2020 (A) |
|
|
165 |
|
|
|
165 |
|
| NCUA Guaranteed Notes,
Ser 2011-R4, Cl 1A |
|
|
|
|
|
|
|
|
| 0.536%, 03/06/2020 (A) |
|
|
145 |
|
|
|
145 |
|
| NCUA Guaranteed Notes,
Ser 2011-R6, Cl 1A |
|
|
|
|
|
|
|
|
| 0.536%, 05/07/2020 (A) |
|
|
80 |
|
|
|
80 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,891 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Obligations — 9.4% |
|
| Adjustable Rate Mortgage Trust,
Ser 2005-4, Cl 7A2 |
|
|
|
|
|
|
|
|
| 0.615%, 08/25/2035 (A) (B) |
|
|
284 |
|
|
|
283 |
|
| Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.776%, 11/25/2034 (A) (B) |
|
|
106 |
|
|
|
107 |
|
| Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 |
|
|
|
|
|
|
|
|
| 2.688%, 04/25/2035 (A) (B) |
|
|
323 |
|
|
|
303 |
|
| Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.784%, 10/25/2035 (A) (B) |
|
|
239 |
|
|
|
215 |
|
| Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 |
|
|
|
|
|
|
|
|
| 5.405%, 12/11/2040 (A) |
|
|
422 |
|
|
|
437 |
|
| Bear Stearns Commercial Mortgage Securities,
Ser 2005-PWR9, Cl A4A |
|
|
|
|
|
|
|
|
| 4.871%, 09/11/2042 |
|
|
82 |
|
|
|
84 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A |
|
|
|
|
|
|
|
|
| 5.288%, 10/12/2042 (A) |
|
$ |
315 |
|
|
$ |
325 |
|
| Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 |
|
|
|
|
|
|
|
|
| 5.600%, 03/11/2039 (A) |
|
|
448 |
|
|
|
468 |
|
| Bear Stearns Commercial Mortgage Securities, Ser 2006-PW13, Cl A4 |
|
|
|
|
|
|
|
|
| 5.540%, 09/11/2041 |
|
|
335 |
|
|
|
355 |
|
| CD Commercial Mortgage Trust,
Ser 2005-CD1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.400%, 07/15/2044 (A) |
|
|
689 |
|
|
|
708 |
|
| Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 |
|
|
|
|
|
|
|
|
| 0.685%, 09/10/2045 |
|
|
294 |
|
|
|
294 |
|
| Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A |
|
|
|
|
|
|
|
|
| 2.604%, 09/25/2034 (A) (B) |
|
|
69 |
|
|
|
70 |
|
| Citigroup/Deutsche Bank Commercial Mortgage,
Ser 2007-CD4, Cl A4 |
|
|
|
|
|
|
|
|
| 5.322%, 12/11/2049 |
|
|
725 |
|
|
|
774 |
|
| Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser 2007-CD5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.886%, 11/15/2044 (A) |
|
|
698 |
|
|
|
767 |
|
| Citigroup/Deutsche Bank Commercial Mortgage,
Ser 2006-CD2, Cl A4 |
|
|
|
|
|
|
|
|
| 5.480%, 01/15/2046 (A) |
|
|
360 |
|
|
|
375 |
|
| COMM Mortgage Trust,
Ser 2006-C7, Cl A4 |
|
|
|
|
|
|
|
|
| 5.945%, 06/10/2046 (A) |
|
|
561 |
|
|
|
595 |
|
| COMM Mortgage Trust,
Ser 2012-CR4, Cl A1 |
|
|
|
|
|
|
|
|
| 0.704%, 10/15/2045 |
|
|
290 |
|
|
|
288 |
|
| COMM Mortgage Trust,
Ser 2013-CR10, Cl A1 |
|
|
|
|
|
|
|
|
| 1.278%, 08/10/2046 |
|
|
257 |
|
|
|
257 |
|
| COMM Mortgage Trust,
Ser 2013-CR9, Cl A1 |
|
|
|
|
|
|
|
|
| 1.344%, 07/10/2045 |
|
|
216 |
|
|
|
217 |
|
| Commercial Mortgage Pass- Through Certificates,
Ser 2010-C1, Cl A1 |
|
|
|
|
|
|
|
|
| 3.156%, 07/10/2046 (B) |
|
|
459 |
|
|
|
466 |
|
| Commercial Mortgage Pass- Through Certificates,
Ser 2012-CR2, Cl A1 |
|
|
|
|
|
|
|
|
| 0.824%, 08/15/2045 |
|
|
210 |
|
|
|
210 |
|
| Commercial Mortgage Pass- Through Certificates,
Ser 2012-CR3, Cl A1 |
|
|
|
|
|
|
|
|
| 0.666%, 11/15/2045 |
|
|
184 |
|
|
|
183 |
|
|
|
|
| 76 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage Pass- Through Certificates,
Ser 2014-BBG, Cl A |
|
|
|
|
|
|
|
|
| 0.955%, 03/15/2029 (A) (B) |
|
$ |
340 |
|
|
$ |
340 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl A1 |
|
|
|
|
|
|
|
|
| 3.742%, 11/10/2046 (B) |
|
|
450 |
|
|
|
464 |
|
| GE Business Loan Trust,
Ser 2003-2A, Cl B |
|
|
|
|
|
|
|
|
| 1.154%, 11/15/2031 (A) (B) |
|
|
25 |
|
|
|
24 |
|
| GE Business Loan Trust,
Ser 2004-2A, Cl A |
|
|
|
|
|
|
|
|
| 0.374%, 12/15/2032 (A) (B) |
|
|
38 |
|
|
|
37 |
|
| GE Business Loan Trust,
Ser 2004-2A, Cl B |
|
|
|
|
|
|
|
|
| 0.634%, 12/15/2032 (A) (B) |
|
|
29 |
|
|
|
27 |
|
| GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A4 |
|
|
|
|
|
|
|
|
| 5.490%, 11/10/2045 (A) |
|
|
1,100 |
|
|
|
1,129 |
|
| Granite Master Issuer PLC,
Ser 2006-3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.234%, 12/20/2054 (A) (B) |
|
|
757 |
|
|
|
753 |
|
| Granite Master Issuer PLC,
Ser 2006-3, Cl A4 |
|
|
|
|
|
|
|
|
| 0.234%, 12/20/2054 (A) (B) |
|
|
779 |
|
|
|
775 |
|
| Granite Master Issuer PLC,
Ser 2006-4, Cl A6 |
|
|
|
|
|
|
|
|
| 0.334%, 12/20/2054 (A) (B) |
|
|
115 |
|
|
|
115 |
|
| Granite Master Issuer PLC,
Ser 2007-1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.294%, 12/20/2054 (A) (B) |
|
|
442 |
|
|
|
440 |
|
| Granite Master Issuer PLC,
Ser 2007-1, Cl 3A1 |
|
|
|
|
|
|
|
|
| 0.354%, 12/20/2054 (A) (B) |
|
|
136 |
|
|
|
136 |
|
| GS Mortgage Securities II,
Ser 2012-GCJ9, Cl A1 |
|
|
|
|
|
|
|
|
| 0.662%, 11/10/2045 |
|
|
200 |
|
|
|
199 |
|
| GS Mortgage Securities,
Ser 2010-C2, Cl A1 |
|
|
|
|
|
|
|
|
| 3.849%, 12/10/2043 (B) |
|
|
450 |
|
|
|
465 |
|
| GS Mortgage Securities,
Ser 2013-GC13, Cl A1 |
|
|
|
|
|
|
|
|
| 1.206%, 07/10/2046 |
|
|
159 |
|
|
|
160 |
|
| Hilton USA, Ser 2013-HLF, Cl AFL |
|
|
|
|
|
|
|
|
| 1.156%, 11/05/2030 (A) (B) |
|
|
245 |
|
|
|
245 |
|
| Impac CMB Trust,
Ser 2005-1, Cl 1A1 |
|
|
|
|
|
|
|
|
| 0.675%, 04/25/2035 (A) (B) |
|
|
229 |
|
|
|
211 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2005-FLD1, Cl M2 |
|
|
|
|
|
|
|
|
| 0.890%, 07/25/2035 (A) |
|
|
272 |
|
|
|
270 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2005-LDP4, Cl A4 |
|
|
|
|
|
|
|
|
| 4.918%, 10/15/2042 (A) |
|
|
558 |
|
|
|
571 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-LDP7, Cl A4 |
|
|
|
|
|
|
|
|
| 6.058%, 04/15/2045 (A) |
|
$ |
215 |
|
|
$ |
228 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2010-C1, Cl A1 |
|
|
|
|
|
|
|
|
| 3.853%, 06/15/2043 (B) |
|
|
247 |
|
|
|
250 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2012-C8, Cl A1 |
|
|
|
|
|
|
|
|
| 0.705%, 10/15/2045 |
|
|
94 |
|
|
|
94 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2013-C13, Cl A1 |
|
|
|
|
|
|
|
|
| 1.303%, 01/15/2046 |
|
|
285 |
|
|
|
286 |
|
| JPMorgan Chase Commercial Mortgage Securities,
Ser 2012-LC9, Cl A1 |
|
|
|
|
|
|
|
|
| 0.670%, 12/15/2047 |
|
|
111 |
|
|
|
110 |
|
| JPMorgan Mortgage Trust,
Ser 2006-A6, Cl 4A1 |
|
|
|
|
|
|
|
|
| 2.660%, 10/25/2036 (A) (B) |
|
|
470 |
|
|
|
417 |
|
| Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A |
|
|
|
|
|
|
|
|
| 2.745%, 12/25/2034 (A) (B) |
|
|
156 |
|
|
|
156 |
|
| Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser 2007-5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.378%, 08/12/2048 |
|
|
146 |
|
|
|
156 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2012-C6, Cl A1 |
|
|
|
|
|
|
|
|
| 0.664%, 11/15/2045 |
|
|
116 |
|
|
|
116 |
|
| Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A |
|
|
|
|
|
|
|
|
| 4.989%, 08/13/2042 |
|
|
510 |
|
|
|
516 |
|
| Morgan Stanley Re-REMIC Trust,
Ser IO, Cl AXA |
|
|
|
|
|
|
|
|
| 1.000%, 03/27/2051 (B) |
|
|
338 |
|
|
|
339 |
|
| MortgageIT Trust,
Ser 2005-5, Cl A1 |
|
|
|
|
|
|
|
|
| 0.415%, 12/25/2035 (A) (B) |
|
|
707 |
|
|
|
654 |
|
| Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.555%, 02/25/2035 (A) (B) |
|
|
29 |
|
|
|
29 |
|
| Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-2, Cl AII1 |
|
|
|
|
|
|
|
|
| 0.415%, 04/25/2035 (A) (B) |
|
|
550 |
|
|
|
550 |
|
| Option One Mortgage Loan Trust,
Ser 2005-1, Cl A1A |
|
|
|
|
|
|
|
|
| 0.655%, 02/25/2035 (A) |
|
|
290 |
|
|
|
286 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
77 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Sequoia Mortgage Trust,
Ser 2004-10, Cl A2 |
|
|
|
|
|
|
|
|
| 0.474%, 11/20/2034 (A) (B) |
|
$ |
169 |
|
|
$ |
162 |
|
| Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 |
|
|
|
|
|
|
|
|
| 0.456%, 12/20/2034 (A) (B) |
|
|
144 |
|
|
|
138 |
|
| Sequoia Mortgage Trust,
Ser 2005-2, Cl A1 |
|
|
|
|
|
|
|
|
| 0.374%, 03/20/2035 (A) (B) |
|
|
82 |
|
|
|
73 |
|
| Springleaf Mortgage Loan Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.270%, 06/25/2058 (A) (B) |
|
|
260 |
|
|
|
259 |
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C3, Cl A1 |
|
|
|
|
|
|
|
|
| 0.726%, 08/10/2049 |
|
|
330 |
|
|
|
328 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2005- C18, Cl A4 |
|
|
|
|
|
|
|
|
| 4.935%, 04/15/2042 |
|
|
295 |
|
|
|
297 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2005-C21, Cl A4 |
|
|
|
|
|
|
|
|
| 5.414%, 10/15/2044 (A) |
|
|
269 |
|
|
|
277 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2005-C22, Cl A4 |
|
|
|
|
|
|
|
|
| 5.455%, 12/15/2044 (A) |
|
|
287 |
|
|
|
297 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2006-AR2, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.332%, 03/25/2036 (A) (B) |
|
|
299 |
|
|
|
278 |
|
| Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 |
|
|
|
|
|
|
|
|
| 0.687%, 10/15/2045 |
|
|
334 |
|
|
|
334 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-BB, Cl A2 |
|
|
|
|
|
|
|
|
| 2.616%, 01/25/2035 (A) (B) |
|
|
244 |
|
|
|
243 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 |
|
|
|
|
|
|
|
|
| 1.988%, 03/15/2044 (B) |
|
|
64 |
|
|
|
65 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C6, Cl A1 |
|
|
|
|
|
|
|
|
| 1.081%, 04/15/2045 |
|
|
164 |
|
|
|
164 |
|
| WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1 |
|
|
|
|
|
|
|
|
| 0.673%, 11/15/2045 |
|
|
343 |
|
|
|
342 |
|
| WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A1 |
|
|
|
|
|
|
|
|
| 1.264%, 08/15/2046 |
|
|
197 |
|
|
|
198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,784 |
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $29,996) ($ Thousands) |
|
|
|
|
|
|
29,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| COLLATERALIZED DEBT OBLIGATIONS (A) (B) — 3.5% |
|
|
| Other Asset-Backed Securities — 3.5% |
|
| Apidos CLO XII, Ser 2013-12A, Cl A |
|
|
|
|
|
|
|
|
| 1.334%, 04/15/2025 |
|
$ |
550 |
|
|
$ |
544 |
|
| Apidos CLO XVII,
Ser 2014-17A, Cl A1A |
|
|
|
|
|
|
|
|
| 1.734%, 04/17/2026 |
|
|
350 |
|
|
|
350 |
|
| Cent CLO 16 L.P.,
Ser 2014-16AR, Cl A1AR |
|
|
|
|
|
|
|
|
| 1.710%, 08/01/2024 |
|
|
500 |
|
|
|
500 |
|
| Cent CLO 20, Ser 2014-20A, Cl A |
|
|
|
|
|
|
|
|
| 1.724%, 01/25/2026 |
|
|
625 |
|
|
|
623 |
|
| Dryden XXXI Senior Loan Fund,
Ser 2014-31A, Cl A |
|
|
|
|
|
|
|
|
| 1.620%, 04/18/2026 |
|
|
510 |
|
|
|
507 |
|
| Gramercy Park CLO,
Ser 2014-1AR, Cl A1R |
|
|
|
|
|
|
|
|
| 1.534%, 07/17/2023 |
|
|
400 |
|
|
|
399 |
|
| ING Investment Management CLO,
Ser 2014-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.769%, 04/18/2026 |
|
|
510 |
|
|
|
510 |
|
| ING Investment Management CLO,
Ser 2014-1RA, Cl A1R |
|
|
|
|
|
|
|
|
| 1.431%, 03/14/2022 |
|
|
600 |
|
|
|
599 |
|
| ING Investment Management CLO,
Ser 2014-1RA, Cl A2R |
|
|
|
|
|
|
|
|
| 2.081%, 03/14/2022 |
|
|
500 |
|
|
|
495 |
|
| Limerock CLO II, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
| 1.734%, 04/18/2026 |
|
|
600 |
|
|
|
600 |
|
| Neuberger Berman CLO XVI,
Ser 2014-16A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.704%, 04/15/2026 |
|
|
440 |
|
|
|
439 |
|
| Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.346%, 07/17/2025 |
|
|
550 |
|
|
|
542 |
|
| OHA Credit Partners VIII Ltd.,
Ser 2013-8A, Cl A |
|
|
|
|
|
|
|
|
| 1.348%, 04/20/2025 |
|
|
330 |
|
|
|
325 |
|
| OHA Intrepid Leveraged Loan Fund,
Ser 2013-1AR, Cl AR |
|
|
|
|
|
|
|
|
| 1.148%, 04/20/2021 |
|
|
338 |
|
|
|
337 |
|
| Race Point VI CLO Ltd.,
Ser 2014-6RA, Cl BR |
|
|
|
|
|
|
|
|
| 2.384%, 05/24/2023 |
|
|
525 |
|
|
|
525 |
|
| Symphony CLO Ltd.,
Ser 2014-8AR, Cl BR |
|
|
|
|
|
|
|
|
| 1.985%, 01/09/2023 (B) |
|
|
805 |
|
|
|
805 |
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations
(Cost $8,125) ($ Thousands) |
|
|
|
8,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 78 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.7% |
|
| FFCB |
|
|
|
|
|
|
|
|
| 0.190%, 06/04/2015 |
|
$ |
1,000 |
|
|
$ |
1,000 |
|
| FHLB |
|
|
|
|
|
|
|
|
| 0.260%, 07/21/2015 |
|
|
3,000 |
|
|
|
3,003 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 2.375%, 07/28/2015 |
|
|
1,000 |
|
|
|
1,018 |
|
| 0.375%, 03/16/2015 |
|
|
1,200 |
|
|
|
1,201 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agency Obligations
(Cost $6,222) ($ Thousands) |
|
|
|
6,222 |
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 1.4% |
|
| Florida State, Board of Administration Finance,
Ser A, RB |
|
|
|
|
|
|
|
|
| 1.298%, 07/01/2016 |
|
|
570 |
|
|
|
572 |
|
| New Jersey State, Economic Development Authority,
Ser 00, RB |
|
|
|
|
|
|
|
|
| 1.059%, 03/01/2016 |
|
|
455 |
|
|
|
455 |
|
| New Jersey State, Economic Development Authority,
Ser Q, RB |
|
|
|
|
|
|
|
|
| 0.996%, 06/15/2016 |
|
|
1,000 |
|
|
|
997 |
|
| New Jersey State, Turnpike Authority, Ser B, RB, AMBAC |
|
|
|
|
|
|
|
|
| 4.252%, 01/01/2016 |
|
|
230 |
|
|
|
234 |
|
| State of Illinois,
Ser B, GO |
|
|
|
|
|
|
|
|
| 1.780%, 04/01/2016 |
|
|
400 |
|
|
|
402 |
|
| University of California,
Ser Y-1, RB
01/01/2017 @ 100 |
|
|
|
|
|
|
|
|
| 0.652%, 07/01/2041 (A) |
|
|
565 |
|
|
|
567 |
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $3,227) ($ Thousands) |
|
|
|
3,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 0.0% |
|
|
|
|
|
|
|
|
| JHT Holding* |
|
|
4,002 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $–) ($ Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 1.6% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A |
|
|
|
|
|
|
|
|
| 0.010%**† |
|
|
3,670,736 |
|
|
|
3,671 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $3,671) ($ Thousands) |
|
|
|
3,671 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.7%
(Cost $239,351) ($ Thousands) |
|
|
$ |
237,515 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| U.S. 10-Year Treasury Note |
|
|
(43 |
) |
|
|
Dec-2014 |
|
|
$ |
40 |
|
| U.S. 2-Year Treasury Note |
|
|
(20 |
) |
|
|
Dec-2014 |
|
|
|
— |
|
| U.S. 5-Year Treasury Note |
|
|
21 |
|
|
|
Dec-2014 |
|
|
|
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
Percentages are based on a Net Assets of $231,286 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
The rate reported is the 7-day effective yield as of September 30, 2014. |
| ‡ |
|
Real Estate Investment Trust. |
| ‡‡ |
|
Maturity date is unavailable. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2014. The date reported on the Schedule of
Investments is the final maturity 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) |
|
Unsettled bank loan. Interest rate not available. |
| (D) |
|
Securities considered illiquid and restricted. The total value of such securities as of September 30, 2014 was $18 ($ Thousands) and represented 0.01% of Net Assets.
|
| (E) |
|
Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of
September 30, 2014 was $18 ($ Thousands) and represented 0.01% of Net Assets. |
| (F) |
|
Unfunded bank loan. Interest rate not available. |
| (G) |
|
Security in default on interest payments. |
AMBAC
— American Municipal Bond Assurance Corporation
Cl — Class
CLO — Collateralized Loan Obligation
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC —
Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GO — General Obligation
L.P. — Limited Partnership
LLC — Limited Liability Company
Ltd. —
Limited
MTN — Medium Term Note
NCUA
— National Credit Union Administration
PLC — Public Limited Company
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be
Announced
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other
financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
76,612 |
|
|
$ |
— |
|
|
$ |
76,612 |
|
| Loan Participations |
|
|
— |
|
|
|
63,043 |
|
|
|
18 |
|
|
|
63,061 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
46,947 |
|
|
|
— |
|
|
|
46,947 |
|
| Mortgage-Backed Securities |
|
|
— |
|
|
|
29,675 |
|
|
|
— |
|
|
|
29,675 |
|
| Collateralized Debt Obligations |
|
|
— |
|
|
|
8,100 |
|
|
|
— |
|
|
|
8,100 |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
6,222 |
|
|
|
— |
|
|
|
6,222 |
|
| Municipal Bonds |
|
|
— |
|
|
|
3,227 |
|
|
|
— |
|
|
|
3,227 |
|
| Common Stock |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cash Equivalent |
|
|
3,671 |
|
|
|
— |
|
|
|
— |
|
|
|
3,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
3,671 |
|
|
$ |
233,826 |
|
|
$ |
18 |
|
|
$ |
237,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
79 |
|
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
40 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
40 |
|
| Unrealized Depreciation |
|
|
(9 |
) |
|
|
— |
|
|
|
— |
|
|
|
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
31 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are
an integral part of the financial statements.
|
|
|
| 80 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 35.7% |
|
|
| Agency Mortgage-Backed Obligations — 27.5% |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 7.500%, 05/01/2031 to 09/01/2032 |
|
$ |
660 |
|
|
$ |
788 |
|
| 7.000%, 06/01/2015 to 03/01/2039 |
|
|
593 |
|
|
|
652 |
|
| 6.500%, 06/01/2017 to 09/01/2039 |
|
|
824 |
|
|
|
892 |
|
| 6.000%, 03/01/2020 to 07/01/2037 |
|
|
2,484 |
|
|
|
2,716 |
|
| 5.500%, 02/01/2017 to 01/01/2039 |
|
|
9,167 |
|
|
|
10,137 |
|
| 5.000%, 10/01/2018 to 08/01/2041 |
|
|
14,207 |
|
|
|
15,673 |
|
| 4.500%, 07/01/2026 to 03/01/2044 |
|
|
3,658 |
|
|
|
3,988 |
|
| 4.000%, 04/01/2019 to 08/01/2043 |
|
|
9,857 |
|
|
|
10,500 |
|
| 3.500%, 12/01/2041 to 08/01/2043 |
|
|
9,221 |
|
|
|
9,437 |
|
| 2.500%, 03/01/2028 |
|
|
674 |
|
|
|
681 |
|
| FHLMC ARM (A) |
|
|
|
|
|
|
|
|
| 3.421%, 04/01/2044 |
|
|
317 |
|
|
|
329 |
|
| 3.237%, 06/01/2044 |
|
|
1,077 |
|
|
|
1,117 |
|
| 3.220%, 06/01/2044 |
|
|
532 |
|
|
|
550 |
|
| 3.168%, 02/01/2042 |
|
|
864 |
|
|
|
895 |
|
| 3.083%, 04/01/2044 |
|
|
502 |
|
|
|
520 |
|
| 3.030%, 11/01/2043 |
|
|
532 |
|
|
|
543 |
|
| 2.985%, 10/01/2043 |
|
|
660 |
|
|
|
672 |
|
| 2.959%, 11/01/2043 |
|
|
809 |
|
|
|
823 |
|
| 2.949%, 01/01/2044 |
|
|
404 |
|
|
|
411 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 2.870%, 06/01/2044 |
|
$ |
504 |
|
|
$ |
519 |
|
| 2.869%, 09/01/2044 |
|
|
78 |
|
|
|
80 |
|
| 2.840%, 08/01/2044 |
|
|
708 |
|
|
|
727 |
|
| 2.838%, 07/01/2044 |
|
|
75 |
|
|
|
77 |
|
| 2.820%, 08/01/2044 |
|
|
246 |
|
|
|
252 |
|
| 2.811%, 09/01/2044 |
|
|
571 |
|
|
|
586 |
|
| 2.806%, 07/01/2044 |
|
|
77 |
|
|
|
79 |
|
| 2.773%, 08/01/2044 |
|
|
215 |
|
|
|
221 |
|
| 2.753%, 10/01/2044 |
|
|
438 |
|
|
|
448 |
|
| 2.707%, 07/01/2042 |
|
|
1,701 |
|
|
|
1,744 |
|
| 2.684%, 11/01/2042 |
|
|
502 |
|
|
|
514 |
|
| FHLMC CMO, Ser 1988-1, Cl Z |
|
|
|
|
|
|
|
|
| 9.300%, 04/15/2019 |
|
|
19 |
|
|
|
21 |
|
| FHLMC CMO,
Ser 1997-1983, Cl Z |
|
|
|
|
|
|
|
|
| 6.500%, 12/15/2023 |
|
|
720 |
|
|
|
796 |
|
| FHLMC CMO,
Ser 2001-2277, Cl B |
|
|
|
|
|
|
|
|
| 7.500%, 01/15/2031 |
|
|
184 |
|
|
|
211 |
|
| FHLMC CMO,
Ser 2002-48, Cl 1A |
|
|
|
|
|
|
|
|
| 5.698%, 07/25/2033 (A) |
|
|
15 |
|
|
|
17 |
|
| FHLMC CMO,
Ser 2002-2399, Cl XG |
|
|
|
|
|
|
|
|
| 6.500%, 01/15/2032 |
|
|
998 |
|
|
|
1,120 |
|
| FHLMC CMO,
Ser 2003-57, Cl 1A2 |
|
|
|
|
|
|
|
|
| 7.000%, 07/25/2043 |
|
|
194 |
|
|
|
222 |
|
| FHLMC CMO,
Ser 2003-57, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 07/25/2043 |
|
|
154 |
|
|
|
183 |
|
| FHLMC CMO,
Ser 2004-59, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 10/25/2043 |
|
|
213 |
|
|
|
252 |
|
| FHLMC CMO,
Ser 2004-60, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 03/25/2044 |
|
|
221 |
|
|
|
263 |
|
| FHLMC CMO,
Ser 2005-2945, Cl SA |
|
|
|
|
|
|
|
|
| 12.018%, 03/15/2020 (A) |
|
|
620 |
|
|
|
553 |
|
| FHLMC CMO,
Ser 2005-2980, Cl QA |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2035 |
|
|
619 |
|
|
|
689 |
|
| FHLMC CMO,
Ser 2006-R007, Cl ZA |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2036 |
|
|
1,929 |
|
|
|
2,165 |
|
| FHLMC CMO,
Ser 2007-3294, Cl CB |
|
|
|
|
|
|
|
|
| 5.500%, 03/15/2037 |
|
|
602 |
|
|
|
643 |
|
| FHLMC CMO,
Ser 2008-3451, Cl SB, IO |
|
|
|
|
|
|
|
|
| 5.876%, 05/15/2038 (A) |
|
|
187 |
|
|
|
22 |
|
| FHLMC CMO,
Ser 2009-3529, Cl AG |
|
|
|
|
|
|
|
|
| 6.500%, 04/15/2039 |
|
|
528 |
|
|
|
585 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
81 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO,
Ser 2010-3621, Cl SB, IO |
|
|
|
|
|
|
|
|
| 6.076%, 01/15/2040 (A) |
|
$ |
153 |
|
|
$ |
21 |
|
| FHLMC CMO,
Ser 2010-3622, Cl WA |
|
|
|
|
|
|
|
|
| 5.500%, 09/15/2039 |
|
|
775 |
|
|
|
869 |
|
| FHLMC CMO,
Ser 2010-3664, Cl DA |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2037 |
|
|
362 |
|
|
|
385 |
|
| FHLMC CMO,
Ser 2011-3876, Cl NB |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2038 |
|
|
549 |
|
|
|
596 |
|
| FHLMC CMO,
Ser 2011-3947, Cl SG, IO |
|
|
|
|
|
|
|
|
| 5.796%, 10/15/2041 (A) |
|
|
1,094 |
|
|
|
202 |
|
| FHLMC CMO,
Ser 2012-3997, Cl SK, IO |
|
|
|
|
|
|
|
|
| 6.446%, 11/15/2041 (A) |
|
|
894 |
|
|
|
167 |
|
| FHLMC CMO,
Ser 2012-4054, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.896%, 08/15/2039 (A) |
|
|
1,835 |
|
|
|
212 |
|
| FHLMC CMO,
Ser 2012-4076, Cl SW, IO |
|
|
|
|
|
|
|
|
| 5.896%, 07/15/2042 (A) |
|
|
85 |
|
|
|
17 |
|
| FHLMC CMO,
Ser 2012-4092, Cl AI, IO |
|
|
|
|
|
|
|
|
| 3.000%, 09/15/2031 |
|
|
1,708 |
|
|
|
236 |
|
| FHLMC CMO,
Ser 2012-4097, Cl ST, IO |
|
|
|
|
|
|
|
|
| 5.896%, 08/15/2042 (A) |
|
|
169 |
|
|
|
38 |
|
| FHLMC CMO,
Ser 2012-4136, Cl SE, IO |
|
|
|
|
|
|
|
|
| 5.996%, 11/15/2042 (A) |
|
|
170 |
|
|
|
39 |
|
| FHLMC CMO,
Ser 2012-4136, Cl SJ, IO |
|
|
|
|
|
|
|
|
| 5.996%, 11/15/2042 (A) |
|
|
178 |
|
|
|
37 |
|
| FHLMC CMO,
Ser 2012-4136, Cl SQ, IO |
|
|
|
|
|
|
|
|
| 5.995%, 11/15/2042 (A) |
|
|
264 |
|
|
|
55 |
|
| FHLMC CMO,
Ser 2013-4174, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.046%, 05/15/2039 (A) |
|
|
537 |
|
|
|
106 |
|
| FHLMC CMO,
Ser 2013-4203, Cl PS, IO |
|
|
|
|
|
|
|
|
| 6.096%, 09/15/2042 (A) |
|
|
528 |
|
|
|
96 |
|
| FHLMC CMO,
Ser 2013-4281, Cl CE |
|
|
|
|
|
|
|
|
| 4.000%, 07/15/2043 |
|
|
499 |
|
|
|
533 |
|
| FHLMC CMO,
Ser 2014-336, Cl 300 |
|
|
|
|
|
|
|
|
| 3.000%, 08/15/2044 |
|
|
1,995 |
|
|
|
2,006 |
|
| FHLMC CMO,
Ser 2014-4302, Cl PA |
|
|
|
|
|
|
|
|
| 4.000%, 12/15/2043 |
|
|
1,827 |
|
|
|
1,948 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO,
Ser 2014-4384, Cl LA |
|
|
|
|
|
|
|
|
| 3.500%, 09/15/2040 |
|
$ |
3,711 |
|
|
$ |
3,897 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K007, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.361%, 04/25/2020 (A) |
|
|
4,774 |
|
|
|
233 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K008, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.815%, 06/25/2020 (A) |
|
|
2,958 |
|
|
|
212 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K015, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.825%, 07/25/2021 (A) |
|
|
3,109 |
|
|
|
283 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K016, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.725%, 10/25/2021 (A) |
|
|
1,251 |
|
|
|
111 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K017, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.586%, 12/25/2021 (A) |
|
|
1,603 |
|
|
|
131 |
|
| FHLMC Multifamily Structured
Pass-Through Certificates,
Ser K024, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.021%, 09/25/2022 (A) |
|
|
1,307 |
|
|
|
74 |
|
| FHLMC TBA |
|
|
|
|
|
|
|
|
| 3.500%, 10/15/2041 |
|
|
600 |
|
|
|
612 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 7.000%, 09/01/2026 to 02/01/2039 |
|
|
2,000 |
|
|
|
2,248 |
|
| 6.500%, 05/01/2017 to 05/01/2040 |
|
|
650 |
|
|
|
703 |
|
| 6.000%, 10/01/2019 to 07/01/2037 |
|
|
6,839 |
|
|
|
7,769 |
|
| 5.500%, 09/01/2016 to 04/01/2040 |
|
|
4,025 |
|
|
|
4,494 |
|
| 5.000%, 01/01/2020 to 05/01/2042 |
|
|
17,077 |
|
|
|
19,033 |
|
| 4.761%, 02/01/2020 |
|
|
2,758 |
|
|
|
3,054 |
|
| 4.500%, 04/01/2025 to 03/01/2044 |
|
|
23,325 |
|
|
|
25,292 |
|
| 4.338%, 11/01/2021 |
|
|
2,929 |
|
|
|
3,229 |
|
| 4.300%, 07/01/2021 |
|
|
2,865 |
|
|
|
3,150 |
|
| 4.000%, 08/01/2020 to 12/01/2043 |
|
|
48,011 |
|
|
|
51,044 |
|
| 3.840%, 08/01/2021 |
|
|
3,051 |
|
|
|
3,292 |
|
| 3.762%, 12/01/2020 |
|
|
3,005 |
|
|
|
3,214 |
|
| 3.665%, 10/01/2020 |
|
|
1,819 |
|
|
|
1,946 |
|
| 3.614%, 12/01/2020 |
|
|
1,970 |
|
|
|
2,078 |
|
| 3.500%, 07/01/2032 to 10/25/2044 |
|
|
21,878 |
|
|
|
22,646 |
|
| 3.010%, 11/25/2044 |
|
|
501 |
|
|
|
514 |
|
|
|
|
| 82 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.000%, 08/01/2033 to 09/01/2042 |
|
$ |
7,923 |
|
|
$ |
7,997 |
|
| 2.830%, 06/01/2022 |
|
|
1,205 |
|
|
|
1,217 |
|
| 2.500%, 11/01/2027 to 10/01/2042 |
|
|
5,776 |
|
|
|
5,780 |
|
| FNMA ACES,
Ser 2012-M14, Cl X2, IO |
|
|
|
|
|
|
|
|
| 0.628%, 09/25/2022 (A) |
|
|
18,717 |
|
|
|
589 |
|
| FNMA ACES,
Ser 2014-M8, Cl FA |
|
|
|
|
|
|
|
|
| 0.415%, 05/25/2018 (A) |
|
|
2,671 |
|
|
|
2,672 |
|
| FNMA ARM (A) |
|
|
|
|
|
|
|
|
| 3.298%, 09/01/2044 |
|
|
705 |
|
|
|
732 |
|
| 3.235%, 04/01/2044 |
|
|
2,642 |
|
|
|
2,736 |
|
| 3.188%, 07/01/2044 |
|
|
173 |
|
|
|
179 |
|
| 3.152%, 07/01/2044 |
|
|
306 |
|
|
|
315 |
|
| 3.120%, 09/01/2044 |
|
|
672 |
|
|
|
692 |
|
| 3.071%, 01/01/2044 |
|
|
359 |
|
|
|
373 |
|
| 2.989%, 04/01/2044 |
|
|
324 |
|
|
|
336 |
|
| 2.985%, 04/01/2044 |
|
|
395 |
|
|
|
409 |
|
| 2.978%, 01/01/2044 |
|
|
364 |
|
|
|
371 |
|
| 2.915%, 10/01/2044 |
|
|
1,350 |
|
|
|
1,393 |
|
| 2.869%, 07/01/2044 |
|
|
1,247 |
|
|
|
1,284 |
|
| 2.850%, 12/01/2043 |
|
|
619 |
|
|
|
634 |
|
| 2.820%, 08/01/2044 |
|
|
367 |
|
|
|
377 |
|
| 2.812%, 07/01/2044 |
|
|
541 |
|
|
|
556 |
|
| 2.760%, 08/01/2044 |
|
|
644 |
|
|
|
664 |
|
| 2.759%, 09/01/2044 |
|
|
864 |
|
|
|
885 |
|
| 2.738%, 08/01/2044 |
|
|
1,665 |
|
|
|
1,707 |
|
| 2.731%, 07/01/2044 |
|
|
342 |
|
|
|
351 |
|
| 2.556%, 05/01/2043 |
|
|
338 |
|
|
|
337 |
|
| 2.144%, 10/01/2035 |
|
|
2,654 |
|
|
|
2,799 |
|
| 2.119%, 11/01/2035 |
|
|
413 |
|
|
|
441 |
|
| 2.114%, 11/01/2035 |
|
|
326 |
|
|
|
344 |
|
| 2.111%, 11/01/2035 |
|
|
435 |
|
|
|
462 |
|
| 2.099%, 11/01/2035 |
|
|
1,512 |
|
|
|
1,580 |
|
| 2.098%, 11/01/2035 |
|
|
332 |
|
|
|
352 |
|
| 2.093%, 11/01/2035 |
|
|
344 |
|
|
|
364 |
|
| 2.079%, 10/01/2035 |
|
|
1,876 |
|
|
|
1,958 |
|
| 2.034%, 10/01/2035 |
|
|
216 |
|
|
|
229 |
|
| FNMA CMO STRIPS,
Ser 2012-409, Cl C2, IO |
|
|
|
|
|
|
|
|
| 3.000%, 04/25/2027 |
|
|
1,292 |
|
|
|
150 |
|
| FNMA CMO STRIPS,
Ser 2012-409, Cl C13, IO |
|
|
|
|
|
|
|
|
| 3.500%, 11/25/2041 |
|
|
834 |
|
|
|
169 |
|
| FNMA CMO STRIPS,
Ser 2012-409, Cl C22, IO |
|
|
|
|
|
|
|
|
| 4.500%, 11/25/2039 |
|
|
1,260 |
|
|
|
255 |
|
| FNMA CMO, Ser 1999-11, Cl Z |
|
|
|
|
|
|
|
|
| 5.500%, 03/25/2029 |
|
|
484 |
|
|
|
524 |
|
| FNMA CMO,
Ser 2002-33, Cl A2 |
|
|
|
|
|
|
|
|
| 7.500%, 06/25/2032 |
|
|
161 |
|
|
|
188 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO,
Ser 2002-95, Cl DB |
|
|
|
|
|
|
|
|
| 6.000%, 01/25/2033 |
|
$ |
611 |
|
|
$ |
687 |
|
| FNMA CMO,
Ser 2005-117, Cl LC |
|
|
|
|
|
|
|
|
| 5.500%, 11/25/2035 |
|
|
1,379 |
|
|
|
1,503 |
|
| FNMA CMO,
Ser 2005-360, Cl 2, IO |
|
|
|
|
|
|
|
|
| 5.000%, 08/01/2035 |
|
|
3,251 |
|
|
|
510 |
|
| FNMA CMO, Ser 2005-5, Cl PA |
|
|
|
|
|
|
|
|
| 5.000%, 01/25/2035 |
|
|
189 |
|
|
|
203 |
|
| FNMA CMO,
Ser 2006-112, Cl ST, IO |
|
|
|
|
|
|
|
|
| 6.546%, 11/25/2036 (A) |
|
|
2,325 |
|
|
|
355 |
|
| FNMA CMO,
Ser 2006-56, Cl CA |
|
|
|
|
|
|
|
|
| 6.000%, 07/25/2036 |
|
|
119 |
|
|
|
131 |
|
| FNMA CMO,
Ser 2008-22, Cl SI, IO |
|
|
|
|
|
|
|
|
| 6.276%, 03/25/2037 (A) |
|
|
4,783 |
|
|
|
445 |
|
| FNMA CMO,
Ser 2009-20, Cl DT |
|
|
|
|
|
|
|
|
| 4.500%, 04/25/2039 |
|
|
543 |
|
|
|
579 |
|
| FNMA CMO,
Ser 2009-86, Cl BO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2037 |
|
|
3,396 |
|
|
|
3,194 |
|
| FNMA CMO,
Ser 2010-142, Cl SM, IO |
|
|
|
|
|
|
|
|
| 6.376%, 12/25/2040 (A) |
|
|
230 |
|
|
|
32 |
|
| FNMA CMO,
Ser 2010-150, Cl SK, IO |
|
|
|
|
|
|
|
|
| 6.291%, 01/25/2041 (A) |
|
|
830 |
|
|
|
147 |
|
| FNMA CMO,
Ser 2011-117, Cl LS, IO |
|
|
|
|
|
|
|
|
| 6.393%, 10/25/2040 (A) |
|
|
1,773 |
|
|
|
310 |
|
| FNMA CMO,
Ser 2011-59, Cl NZ |
|
|
|
|
|
|
|
|
| 5.500%, 07/25/2041 |
|
|
2,023 |
|
|
|
2,312 |
|
| FNMA CMO,
Ser 2011-59, Cl SW, IO |
|
|
|
|
|
|
|
|
| 6.486%, 07/25/2041 (A) |
|
|
1,638 |
|
|
|
262 |
|
| FNMA CMO,
Ser 2011-90, Cl QI, IO |
|
|
|
|
|
|
|
|
| 5.000%, 05/25/2034 |
|
|
1,438 |
|
|
|
187 |
|
| FNMA CMO,
Ser 2011-96, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.396%, 10/25/2041 (A) |
|
|
2,710 |
|
|
|
436 |
|
| FNMA CMO,
Ser 2012-128, Cl SL, IO |
|
|
|
|
|
|
|
|
| 5.996%, 11/25/2042 (A) |
|
|
359 |
|
|
|
77 |
|
| FNMA CMO,
Ser 2012-128, Cl SQ, IO |
|
|
|
|
|
|
|
|
| 5.996%, 11/25/2042 (A) |
|
|
534 |
|
|
|
118 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
83 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO,
Ser 2012-130, Cl DC |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2042 |
|
$ |
2,820 |
|
|
$ |
2,785 |
|
| FNMA CMO,
Ser 2012-133, Cl CS, IO |
|
|
|
|
|
|
|
|
| 5.996%, 12/25/2042 (A) |
|
|
347 |
|
|
|
78 |
|
| FNMA CMO,
Ser 2012-133, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.996%, 12/25/2042 (A) |
|
|
178 |
|
|
|
41 |
|
| FNMA CMO,
Ser 2012-134, Cl LC |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2042 |
|
|
467 |
|
|
|
464 |
|
| FNMA CMO, Ser 2012-28, Cl B |
|
|
|
|
|
|
|
|
| 6.500%, 06/25/2039 |
|
|
212 |
|
|
|
238 |
|
| FNMA CMO,
Ser 2012-46, Cl BA |
|
|
|
|
|
|
|
|
| 6.000%, 05/25/2042 |
|
|
902 |
|
|
|
1,003 |
|
| FNMA CMO,
Ser 2012-70, Cl YS, IO |
|
|
|
|
|
|
|
|
| 6.496%, 02/25/2041 (A) |
|
|
232 |
|
|
|
41 |
|
| FNMA CMO,
Ser 2012-74, Cl OA, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2042 |
|
|
68 |
|
|
|
62 |
|
| FNMA CMO,
Ser 2012-74, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.496%, 03/25/2042 (A) |
|
|
883 |
|
|
|
155 |
|
| FNMA CMO,
Ser 2012-75, Cl AO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2042 |
|
|
136 |
|
|
|
124 |
|
| FNMA CMO,
Ser 2012-93, Cl SG, IO |
|
|
|
|
|
|
|
|
| 5.946%, 09/25/2042 (A) |
|
|
424 |
|
|
|
90 |
|
| FNMA CMO,
Ser 2012-M12, Cl 1A |
|
|
|
|
|
|
|
|
| 2.935%, 08/25/2022 (A) |
|
|
3,276 |
|
|
|
3,300 |
|
| FNMA CMO,
Ser 2013-10, Cl JS, IO |
|
|
|
|
|
|
|
|
| 5.996%, 02/25/2043 (A) |
|
|
1,212 |
|
|
|
240 |
|
| FNMA CMO,
Ser 2013-10, Cl SJ, IO |
|
|
|
|
|
|
|
|
| 5.996%, 02/25/2043 (A) |
|
|
1,351 |
|
|
|
290 |
|
| FNMA CMO,
Ser 2013-121, Cl LB |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2043 |
|
|
1,994 |
|
|
|
2,054 |
|
| FNMA CMO,
Ser 2013-35, Cl CL |
|
|
|
|
|
|
|
|
| 3.000%, 02/25/2043 |
|
|
6,875 |
|
|
|
6,700 |
|
| FNMA CMO,
Ser 2013-67, Cl KS, IO |
|
|
|
|
|
|
|
|
| 5.946%, 07/25/2043 (A) |
|
|
457 |
|
|
|
101 |
|
| FNMA CMO, Ser 2013-9, Cl BC |
|
|
|
|
|
|
|
|
| 6.500%, 07/25/2042 |
|
|
977 |
|
|
|
1,106 |
|
| FNMA CMO, Ser 2013-9, Cl CB |
|
|
|
|
|
|
|
|
| 5.500%, 04/25/2042 |
|
|
6,604 |
|
|
|
7,326 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO,
Ser 2013-9, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.996%, 03/25/2042 (A) |
|
$ |
1,087 |
|
|
$ |
196 |
|
| FNMA TBA |
|
|
|
|
|
|
|
|
| 5.000%, 10/01/2038 |
|
|
1,100 |
|
|
|
1,214 |
|
| 4.500%, 11/15/2034 to 10/25/2044 |
|
|
42,850 |
|
|
|
46,178 |
|
| 4.000%, 10/14/2039 to 10/25/2044 |
|
|
32,705 |
|
|
|
34,439 |
|
| 3.500%, 10/16/2027 to 10/25/2044 |
|
|
51,485 |
|
|
|
52,799 |
|
| 3.000%, 10/15/2027 to 10/25/2044 |
|
|
33,800 |
|
|
|
33,960 |
|
| 2.500%, 10/15/2027 to 10/25/2029 |
|
|
6,690 |
|
|
|
6,727 |
|
| FNMA Whole Loan CMO,
Ser 2003-W17, Cl 1A7 |
|
|
|
|
|
|
|
|
| 5.750%, 08/25/2033 |
|
|
251 |
|
|
|
271 |
|
| GNMA |
|
|
|
|
|
|
|
|
| 8.000%, 11/15/2029 to 09/15/2030 |
|
|
67 |
|
|
|
74 |
|
| 7.500%, 03/15/2029 |
|
|
95 |
|
|
|
115 |
|
| 6.500%, 04/15/2026 to 09/15/2035 |
|
|
3,313 |
|
|
|
3,805 |
|
| 6.000%, 10/15/2023 to 10/20/2040 |
|
|
6,023 |
|
|
|
6,927 |
|
| 5.000%, 07/20/2040 to 11/20/2040 |
|
|
1,657 |
|
|
|
1,844 |
|
| 4.500%, 04/20/2041 |
|
|
2,412 |
|
|
|
2,628 |
|
| GNMA CMO,
Ser 2007-17, Cl IB, IO |
|
|
|
|
|
|
|
|
| 6.097%, 04/20/2037 (A) |
|
|
1,063 |
|
|
|
198 |
|
| GNMA CMO,
Ser 2010-31, Cl GS, IO |
|
|
|
|
|
|
|
|
| 6.345%, 03/20/2039 (A) |
|
|
263 |
|
|
|
34 |
|
| GNMA CMO,
Ser 2010-4, Cl NS, IO |
|
|
|
|
|
|
|
|
| 6.236%, 01/16/2040 (A) |
|
|
9,186 |
|
|
|
1,530 |
|
| GNMA CMO,
Ser 2010-47, Cl XN, IO |
|
|
|
|
|
|
|
|
| 6.396%, 04/16/2034 (A) |
|
|
53 |
|
|
|
2 |
|
| GNMA CMO,
Ser 2010-85, Cl HS, IO |
|
|
|
|
|
|
|
|
| 6.495%, 01/20/2040 (A) |
|
|
215 |
|
|
|
39 |
|
| GNMA CMO,
Ser 2010-H27, Cl FA |
|
|
|
|
|
|
|
|
| 0.536%, 12/20/2060 (A) |
|
|
1,793 |
|
|
|
1,789 |
|
| GNMA CMO,
Ser 2010-H28, Cl FE |
|
|
|
|
|
|
|
|
| 0.556%, 12/20/2060 (A) |
|
|
1,043 |
|
|
|
1,042 |
|
| GNMA CMO,
Ser 2011-H08, Cl FG |
|
|
|
|
|
|
|
|
| 0.636%, 03/20/2061 (A) |
|
|
1,098 |
|
|
|
1,101 |
|
|
|
|
| 84 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GNMA CMO,
Ser 2011-H09, Cl AF |
|
|
|
|
|
|
|
|
| 0.656%, 03/20/2061 (A) |
|
$ |
743 |
|
|
$ |
745 |
|
| GNMA CMO,
Ser 2012-66, Cl CI, IO |
|
|
|
|
|
|
|
|
| 3.500%, 02/20/2038 |
|
|
1,263 |
|
|
|
180 |
|
| GNMA CMO,
Ser 2012-98, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.893%, 08/16/2042 (A) |
|
|
672 |
|
|
|
107 |
|
| GNMA CMO,
Ser 2012-100, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.827%, 08/16/2052 (A) |
|
|
1,834 |
|
|
|
120 |
|
| GNMA CMO,
Ser 2013-152, Cl HS, IO |
|
|
|
|
|
|
|
|
| 6.545%, 06/20/2043 (A) |
|
|
1,258 |
|
|
|
254 |
|
| GNMA, Ser 152, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.753%, 01/16/2054 (A) |
|
|
9,675 |
|
|
|
637 |
|
| GNMA, Ser 162, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.095%, 09/16/2046 (A) |
|
|
8,904 |
|
|
|
621 |
|
| GNMA, Ser 2013-153, Cl AB |
|
|
|
|
|
|
|
|
| 2.900%, 06/16/2044 (A) |
|
|
713 |
|
|
|
730 |
|
| GNMA, Ser 2013-154, Cl AB |
|
|
|
|
|
|
|
|
| 2.900%, 02/16/2044 (A) |
|
|
1,642 |
|
|
|
1,683 |
|
| GNMA, Ser 2013-178, Cl A |
|
|
|
|
|
|
|
|
| 2.250%, 03/16/2035 |
|
|
350 |
|
|
|
358 |
|
| GNMA, Ser 2013-178, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.944%, 06/16/2055 (A) |
|
|
1,921 |
|
|
|
121 |
|
| GNMA, Ser 2013-193, Cl AB |
|
|
|
|
|
|
|
|
| 2.000%, 12/16/2049 |
|
|
403 |
|
|
|
403 |
|
| GNMA TBA |
|
|
|
|
|
|
|
|
| 4.500%, 10/15/2039 |
|
|
4,100 |
|
|
|
4,447 |
|
| 4.000%, 10/01/2039 |
|
|
20,700 |
|
|
|
21,957 |
|
| 3.500%, 10/15/2041 |
|
|
7,700 |
|
|
|
7,956 |
|
| 3.000%, 11/20/2044 |
|
|
1,655 |
|
|
|
1,665 |
|
| NCUA Guaranteed Notes CMO,
Ser 2010-R2, Cl 1A |
|
|
|
|
|
|
|
|
| 0.526%, 11/06/2017 (A) |
|
|
1,595 |
|
|
|
1,598 |
|
| NCUA Guaranteed Notes CMO,
Ser 2010-R2, Cl 2A |
|
|
|
|
|
|
|
|
| 0.627%, 11/05/2020 (A) |
|
|
1,348 |
|
|
|
1,355 |
|
| NCUA Guaranteed Notes,
Ser 2010-C1, Cl APT |
|
|
|
|
|
|
|
|
| 2.650%, 10/29/2020 |
|
|
795 |
|
|
|
807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
563,878 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Obligations — 8.2% |
|
| ACRE Commercial Mortgage Trust, Ser 2013-FL1, Cl C |
|
|
|
|
|
|
|
|
| 3.156%, 06/15/2030 (A) (B) |
|
|
150 |
|
|
|
151 |
|
| Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 3A1 |
|
|
|
|
|
|
|
|
| 2.302%, 02/25/2035 (A) (B) |
|
|
2,458 |
|
|
|
2,378 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Adjustable Rate Mortgage Trust, Ser 2007-1, Cl 5A31 |
|
|
|
|
|
|
|
|
| 0.295%, 03/25/2037 (A) (B) |
|
$ |
3,249 |
|
|
$ |
2,365 |
|
| Alternative Loan Trust,
Ser 2005-36, Cl 3A1 |
|
|
|
|
|
|
|
|
| 2.458%, 08/25/2035 (A) (B) |
|
|
3,325 |
|
|
|
2,917 |
|
| Alternative Loan Trust,
Ser 2006-18CB, Cl A6 |
|
|
|
|
|
|
|
|
| 27.982%, 07/25/2036 (A) (B) |
|
|
533 |
|
|
|
838 |
|
| Alternative Loan Trust,
Ser 2006-OA11, Cl A4 |
|
|
|
|
|
|
|
|
| 0.345%, 09/25/2046 (A) (B) |
|
|
705 |
|
|
|
577 |
|
| Alternative Loan Trust,
Ser 2007-23CB, Cl A7 |
|
|
|
|
|
|
|
|
| 0.555%, 09/25/2037 (A) (B) |
|
|
3,864 |
|
|
|
2,686 |
|
| American Home Mortgage
Assets Trust,
Ser 2006-6, Cl A1A |
|
|
|
|
|
|
|
|
| 0.345%, 12/25/2046 (A) (B) |
|
|
2,162 |
|
|
|
1,515 |
|
| American Home Mortgage
Investment Trust,
Ser 2005-1, Cl 6A |
|
|
|
|
|
|
|
|
| 2.332%, 06/25/2045 (A) (B) |
|
|
2,578 |
|
|
|
2,525 |
|
| American Home Mortgage
Investment Trust,
Ser 2005-4, Cl 5A |
|
|
|
|
|
|
|
|
| 2.082%, 11/25/2045 (A) (B) |
|
|
2,328 |
|
|
|
1,866 |
|
| Banc of America Commercial Mortgage Trust,
Ser 2006-5, Cl AM |
|
|
|
|
|
|
|
|
| 5.448%, 09/10/2047 |
|
|
100 |
|
|
|
107 |
|
| Banc of America Commercial Mortgage Trust,
Ser 2007-3, Cl A3 |
|
|
|
|
|
|
|
|
| 5.765%, 06/10/2049 (A) |
|
|
977 |
|
|
|
980 |
|
| Banc of America Funding Trust,
Ser 2003-1, Cl A1 |
|
|
|
|
|
|
|
|
| 6.000%, 05/20/2033 (B) |
|
|
9 |
|
|
|
9 |
|
| Banc of America Funding Trust,
Ser 2006-G, Cl 2A3 |
|
|
|
|
|
|
|
|
| 0.326%, 07/20/2036 (A) (B) |
|
|
405 |
|
|
|
404 |
|
| Bayview Commercial Asset Trust,
Ser 2008-4, Cl A2 |
|
|
|
|
|
|
|
|
| 2.655%, 07/25/2038 (A) (B) |
|
|
136 |
|
|
|
147 |
|
| Bear Stearns Adjustable Rate Mortgage Trust,
Ser 2004-2, Cl 24A |
|
|
|
|
|
|
|
|
| 2.625%, 05/25/2034 (A) (B) |
|
|
326 |
|
|
|
313 |
|
| Bear Stearns ALT-A Trust,
Ser 2004-12, Cl 1A3 |
|
|
|
|
|
|
|
|
| 0.855%, 01/25/2035 (A) (B) |
|
|
1,151 |
|
|
|
1,124 |
|
| Bear Stearns Asset-Backed Securities I Trust,
Ser 2005-AC8, Cl A3, IO |
|
|
|
|
|
|
|
|
| 7.496%, 11/25/2035 (A) (B) |
|
|
6,748 |
|
|
|
2,064 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
85 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Bear Stearns Asset-Backed Securities I Trust,
Ser 2005-AC6, Cl 1A3 |
|
|
|
|
|
|
|
|
| 5.500%,
09/25/2035 (A) (B) |
|
$ |
2,470 |
|
|
$ |
2,556 |
|
| Bear Stearns Commercial Mortgage Securities Trust,
Ser 2007-PW17, Cl AJ |
|
|
|
|
|
|
|
|
| 6.084%, 06/11/2050 (A) |
|
|
250 |
|
|
|
253 |
|
| CD Commercial Mortgage Trust,
Ser 2006-CD2, Cl AJ |
|
|
|
|
|
|
|
|
| 5.566%, 01/15/2046 (A) |
|
|
590 |
|
|
|
553 |
|
| CD Commercial Mortgage Trust,
Ser 2007-CD3, Cl AJ |
|
|
|
|
|
|
|
|
| 5.688%, 10/15/2048 |
|
|
340 |
|
|
|
326 |
|
| CD Commercial Mortgage Trust,
Ser 2007-CD4, Cl AJ |
|
|
|
|
|
|
|
|
| 5.398%, 12/11/2049 (A) |
|
|
490 |
|
|
|
406 |
|
| CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 |
|
|
|
|
|
|
|
|
| 4.961%,
04/15/2044 (A) (B) |
|
|
729 |
|
|
|
809 |
|
| CGBRAM Commerical Mortgage Trust, Ser 2014-HD, Cl E |
|
|
|
|
|
|
|
|
| 3.154%,
02/15/2031 (A) (B) |
|
|
640 |
|
|
|
640 |
|
| CG-CCRE Commercial Mortgage Trust, Ser 2014-FL1, Cl A |
|
|
|
|
|
|
|
|
| 1.105%,
06/15/2031 (A) (B) |
|
|
630 |
|
|
|
629 |
|
| Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ |
|
|
|
|
|
|
|
|
| 5.482%, 10/15/2049 |
|
|
270 |
|
|
|
261 |
|
| Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl AJA |
|
|
|
|
|
|
|
|
| 6.339%, 12/10/2049 (A) |
|
|
140 |
|
|
|
138 |
|
| Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl E |
|
|
|
|
|
|
|
|
| 3.635%,
05/10/2035 (A) (B) |
|
|
1,040 |
|
|
|
931 |
|
| Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl A3 |
|
|
|
|
|
|
|
|
| 3.753%, 01/10/2024 |
|
|
273 |
|
|
|
281 |
|
| Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl AAB |
|
|
|
|
|
|
|
|
| 3.552%, 03/10/2047 |
|
|
354 |
|
|
|
366 |
|
| COBALT CMBS Commercial Mortgage Trust,
Ser 2007-C2, Cl AMFX |
|
|
|
|
|
|
|
|
| 5.526%, 04/15/2047 (A) |
|
|
130 |
|
|
|
141 |
|
| COMM Mortgage Trust,
Ser 2010-C1, Cl A3 |
|
|
|
|
|
|
|
|
| 4.205%, 07/10/2046 (B) |
|
|
614 |
|
|
|
660 |
|
| COMM Mortgage Trust,
Ser 2010-C1, Cl XWB, IO |
|
|
|
|
|
|
|
|
| 0.764%,
07/10/2046 (A) (B) |
|
|
13,060 |
|
|
|
536 |
|
| COMM Mortgage Trust,
Ser 2012-LC4, Cl A3 |
|
|
|
|
|
|
|
|
| 3.069%, 12/10/2044 |
|
|
315 |
|
|
|
323 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl AM |
|
|
|
|
|
|
|
|
| 4.300%, 10/10/2046 |
|
$ |
210 |
|
|
$ |
221 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl ASB |
|
|
|
|
|
|
|
|
| 3.623%, 10/10/2046 |
|
|
666 |
|
|
|
690 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl B |
|
|
|
|
|
|
|
|
| 4.762%, 10/10/2046 (A) |
|
|
90 |
|
|
|
96 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl C |
|
|
|
|
|
|
|
|
| 5.255%, 10/10/2046 (A) |
|
|
40 |
|
|
|
42 |
|
| COMM Mortgage Trust,
Ser 2013-CR7, Cl A4 |
|
|
|
|
|
|
|
|
| 3.213%, 03/10/2046 |
|
|
134 |
|
|
|
134 |
|
| COMM Mortgage Trust,
Ser 2014-CR18, Cl ASB |
|
|
|
|
|
|
|
|
| 3.452%, 07/15/2047 |
|
|
310 |
|
|
|
317 |
|
| COMM Mortgage Trust,
Ser 2014-CR19, Cl A5 |
|
|
|
|
|
|
|
|
| 3.796%, 08/10/2047 |
|
|
697 |
|
|
|
712 |
|
| COMM Mortgage Trust,
2014-SAVA, Cl D |
|
|
|
|
|
|
|
|
| 3.255%, 06/15/2034 (A) (B) |
|
|
870 |
|
|
|
870 |
|
| COMM Mortgage Trust,
Ser 2014-UBS4, Cl A5 |
|
|
|
|
|
|
|
|
| 3.694%, 08/10/2047 |
|
|
1,406 |
|
|
|
1,432 |
|
| COMM Mortgage Trust,
Ser 2014-UBS5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.838%, 09/10/2047 |
|
|
539 |
|
|
|
555 |
|
| COMM Mortgage Trust,
Ser 2014-UBS5, Cl ASB |
|
|
|
|
|
|
|
|
| 3.548%, 09/10/2047 |
|
|
191 |
|
|
|
196 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2007-C2, Cl AM |
|
|
|
|
|
|
|
|
| 5.615%, 01/15/2049 (A) |
|
|
582 |
|
|
|
630 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2012-CR3, Cl A3 |
|
|
|
|
|
|
|
|
| 2.822%, 11/15/2045 |
|
|
60 |
|
|
|
59 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2013-WWP, Cl A2 |
|
|
|
|
|
|
|
|
| 3.424%, 03/10/2031 (B) |
|
|
100 |
|
|
|
101 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2014-LC15, Cl ASB |
|
|
|
|
|
|
|
|
| 3.528%, 04/10/2047 |
|
|
553 |
|
|
|
570 |
|
| Commercial Mortgage Trust,
Ser 2005-GG5, Cl A5 |
|
|
|
|
|
|
|
|
| 5.224%, 04/10/2037 (A) |
|
|
326 |
|
|
|
334 |
|
| Commercial Mortgage Trust,
Ser 2006-GG7, Cl AM |
|
|
|
|
|
|
|
|
| 6.014%, 07/10/2038 (A) |
|
|
400 |
|
|
|
427 |
|
|
|
|
| 86 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.500%, 10/25/2033 (B) |
|
$ |
631 |
|
|
$ |
677 |
|
| Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1 |
|
|
|
|
|
|
|
|
| 6.000%, 02/25/2034 (B) |
|
|
124 |
|
|
|
126 |
|
| Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 |
|
|
|
|
|
|
|
|
| 1.217%, 08/25/2035 (A) (B) |
|
|
268 |
|
|
|
183 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2005-R3, Cl AF |
|
|
|
|
|
|
|
|
| 0.555%, 09/25/2035 (A) (B) |
|
|
1,889 |
|
|
|
1,698 |
|
| Credit Suisse First Boston Mortgage Securities,
Ser 2003-AR24, Cl 2A4 |
|
|
|
|
|
|
|
|
| 2.570%, 10/25/2033 (A) (B) |
|
|
1,735 |
|
|
|
1,700 |
|
| Credit Suisse First Boston Mortgage Securities,
Ser 2005-C3, Cl A4 |
|
|
|
|
|
|
|
|
| 4.686%, 07/15/2037 |
|
|
2,851 |
|
|
|
2,883 |
|
| Credit Suisse First Boston Mortgage Securities,
Ser 2005-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.100%, 08/15/2038 (A) |
|
|
278 |
|
|
|
284 |
|
| Credit Suisse Mortgage Trust,
Ser 2014-USA, Cl A2 |
|
|
|
|
|
|
|
|
| 3.953%, 09/15/2037 |
|
|
870 |
|
|
|
899 |
|
| Credit Suisse Mortgage Trust,
Ser 2014-USA, Cl E |
|
|
|
|
|
|
|
|
| 4.373%, 09/15/2037 |
|
|
800 |
|
|
|
725 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl A1 |
|
|
|
|
|
|
|
|
| 3.742%, 11/10/2046 (B) |
|
|
818 |
|
|
|
844 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl A3 |
|
|
|
|
|
|
|
|
| 5.002%, 11/10/2046 (B) |
|
|
199 |
|
|
|
222 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC2A, Cl A2 |
|
|
|
|
|
|
|
|
| 3.386%, 07/10/2044 (B) |
|
|
2,500 |
|
|
|
2,587 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC2A, Cl A4 |
|
|
|
|
|
|
|
|
| 4.537%, 07/10/2044 (B) |
|
|
671 |
|
|
|
732 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC3A, Cl A2 |
|
|
|
|
|
|
|
|
| 3.642%, 08/10/2044 |
|
|
2,690 |
|
|
|
2,795 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC3A, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.554%, 08/10/2044 (A) (B) |
|
|
2,810 |
|
|
|
69 |
|
| Deutsche Mortgage Securities Mortgage Loan Trust,
Ser 2004-4, Cl 7AR2 |
|
|
|
|
|
|
|
|
| 0.605%, 06/20/2034 (A) (B) |
|
|
401 |
|
|
|
371 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B |
|
|
|
|
|
|
|
|
| 0.953%, 11/19/2044 (A) (B) |
|
$ |
1,434 |
|
|
$ |
1,249 |
|
| EQTY Mortgage Trust Equity,
Ser 2014-INNS, Cl D |
|
|
|
|
|
|
|
|
| 2.506%, 05/08/2031 (A) (B) |
|
|
530 |
|
|
|
530 |
|
| FHLMC Structured Agency Credit Risk Debt Notes,
Ser 2014-HQ1, Cl M1 |
|
|
|
|
|
|
|
|
| 1.807%, 08/25/2024 (A) (B) |
|
|
811 |
|
|
|
813 |
|
| FNMA Connecticut Avenue Securities,
Ser 2014-C03, Cl 1M2 |
|
|
|
|
|
|
|
|
| 3.155%, 07/25/2024 (A) (B) |
|
|
4,810 |
|
|
|
4,513 |
|
| Fund America Investors II,
Ser 1993-A, Cl A2 |
|
|
|
|
|
|
|
|
| 3.498%, 06/25/2023 (A) (B) |
|
|
43 |
|
|
|
44 |
|
| GE Capital Assurance,
Ser 2003-1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.254%, 05/12/2035 (A) (B) |
|
|
694 |
|
|
|
710 |
|
| GE Capital Commercial Mortgage,
Ser 2005-C1, Cl A5 |
|
|
|
|
|
|
|
|
| 4.772%, 06/10/2048 (A) |
|
|
3,240 |
|
|
|
3,264 |
|
| GS Mortgage Securities II,
Ser 2005-GG4, Cl A4A |
|
|
|
|
|
|
|
|
| 4.751%, 07/10/2039 |
|
|
284 |
|
|
|
286 |
|
| GS Mortgage Securities Trust,
Ser 2007-GG10, Cl AM |
|
|
|
|
|
|
|
|
| 5.991%, 08/10/2045 (A) |
|
|
2,180 |
|
|
|
2,260 |
|
| GS Mortgage Securities Trust,
Ser 2011-GC5, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.868%, 08/10/2044 (A) (B) |
|
|
1,189 |
|
|
|
74 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl A3 |
|
|
|
|
|
|
|
|
| 4.244%, 11/10/2046 |
|
|
244 |
|
|
|
261 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl AAB |
|
|
|
|
|
|
|
|
| 3.813%, 11/10/2046 |
|
|
863 |
|
|
|
908 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl B |
|
|
|
|
|
|
|
|
| 5.161%, 11/10/2046 (A) |
|
|
340 |
|
|
|
370 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC18, Cl A4 |
|
|
|
|
|
|
|
|
| 4.074%, 01/10/2047 |
|
|
503 |
|
|
|
528 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC18, Cl AAB |
|
|
|
|
|
|
|
|
| 3.648%, 01/10/2047 |
|
|
311 |
|
|
|
323 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC20, Cl AAB |
|
|
|
|
|
|
|
|
| 3.655%, 04/10/2047 |
|
|
717 |
|
|
|
745 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC24, Cl AAB |
|
|
|
|
|
|
|
|
| 3.650%, 09/10/2047 |
|
|
1,050 |
|
|
|
1,081 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
87 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A |
|
|
|
|
|
|
|
|
| 8.000%, 09/19/2027 (A) (B) |
|
$ |
36 |
|
|
$ |
36 |
|
| GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.576%, 10/25/2033 (A) (B) |
|
|
522 |
|
|
|
532 |
|
| GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 3A5 |
|
|
|
|
|
|
|
|
| 2.585%, 07/25/2035 (A) (B) |
|
|
6,403 |
|
|
|
6,067 |
|
| HarborView Mortgage Loan,
Ser 2004-3, Cl 1A |
|
|
|
|
|
|
|
|
| 2.587%, 05/19/2034 (A) (B) |
|
|
2,725 |
|
|
|
2,724 |
|
| Impac Secured Assets Trust,
Ser 2006-2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.505%, 08/25/2036 (A) (B) |
|
|
268 |
|
|
|
264 |
|
| Impact Funding LLC,
Ser 2010-1, Cl A1 |
|
|
|
|
|
|
|
|
| 5.314%, 01/25/2051 (B) |
|
|
1,817 |
|
|
|
2,044 |
|
| IndyMac IMSC Mortgage Loan Trust,
Ser 2007-HOA1, Cl A21 |
|
|
|
|
|
|
|
|
| 0.245%, 07/25/2047 (A) (B) |
|
|
2,911 |
|
|
|
1,984 |
|
| IndyMac IMSC Mortgage Loan Trust,
Ser 2007-HOA1, Cl A22 |
|
|
|
|
|
|
|
|
| 0.335%, 07/25/2047 (A) (B) |
|
|
2,205 |
|
|
|
1,547 |
|
| JPMorgan Alternative Loan Trust,
Ser 2007-S1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.435%, 04/25/2047 (A) (B) |
|
|
2,757 |
|
|
|
2,526 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-CB18, Cl AJ |
|
|
|
|
|
|
|
|
| 5.502%, 06/12/2047 (A) |
|
|
1,570 |
|
|
|
1,555 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2013-C15, Cl C |
|
|
|
|
|
|
|
|
| 5.251%, 11/15/2045 (A) |
|
|
190 |
|
|
|
202 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2013-C17, Cl B |
|
|
|
|
|
|
|
|
| 5.050%, 01/15/2047 (A) |
|
|
100 |
|
|
|
107 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C21, Cl ASB |
|
|
|
|
|
|
|
|
| 3.428%, 08/15/2047 |
|
|
284 |
|
|
|
290 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C22, Cl A4 |
|
|
|
|
|
|
|
|
| 3.801%, 09/15/2047 |
|
|
199 |
|
|
|
204 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C23, Cl ASB |
|
|
|
|
|
|
|
|
| 3.657%, 09/15/2047 |
|
|
592 |
|
|
|
613 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2004-LN2, Cl A2 |
|
|
|
|
|
|
|
|
| 5.115%, 07/15/2041 |
|
$ |
44 |
|
|
$ |
45 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2005-LDP2, Cl A3A |
|
|
|
|
|
|
|
|
| 4.678%, 07/15/2042 |
|
|
52 |
|
|
|
52 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-CB14, Cl A4 |
|
|
|
|
|
|
|
|
| 5.481%, 12/12/2044 (A) |
|
|
261 |
|
|
|
272 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-CB20, Cl AM |
|
|
|
|
|
|
|
|
| 6.082%, 02/12/2051 (A) |
|
|
500 |
|
|
|
555 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2010-C2, Cl A3 |
|
|
|
|
|
|
|
|
| 4.070%, 11/15/2043 (B) |
|
|
1,393 |
|
|
|
1,482 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2010-CNTR, Cl A1 |
|
|
|
|
|
|
|
|
| 3.300%, 08/05/2032 (B) |
|
|
265 |
|
|
|
274 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2011-C3, Cl A3 |
|
|
|
|
|
|
|
|
| 4.388%, 02/15/2046 (B) |
|
|
3,025 |
|
|
|
3,261 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2012-C8, Cl ASB |
|
|
|
|
|
|
|
|
| 2.379%, 10/15/2045 |
|
|
556 |
|
|
|
549 |
|
| JPMorgan Chase Commercial Mortgage Securities,
Ser 2012-LC9, Cl A5 |
|
|
|
|
|
|
|
|
| 2.840%, 12/15/2047 |
|
|
151 |
|
|
|
147 |
|
| JPMorgan Mortgage Trust,
Ser 2014-IVR3, Cl 2A1 |
|
|
|
|
|
|
|
|
| 3.000%, 09/25/2044 (A) (B) |
|
|
300 |
|
|
|
303 |
|
| LB Commercial Conduit Mortgage Trust,
Ser 2007-C3, Cl AM |
|
|
|
|
|
|
|
|
| 6.090%, 07/15/2044 (A) |
|
|
280 |
|
|
|
309 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A6 |
|
|
|
|
|
|
|
|
| 4.799%, 12/15/2029 (A) |
|
|
1 |
|
|
|
1 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2007-C6, Cl AJ |
|
|
|
|
|
|
|
|
| 6.331%, 07/15/2040 (A) |
|
|
590 |
|
|
|
611 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2007-C7, Cl AM |
|
|
|
|
|
|
|
|
| 6.370%, 09/15/2045 (A) |
|
|
160 |
|
|
|
180 |
|
| Lehman XS Trust,
Ser 2005-5N, Cl 1A1 |
|
|
|
|
|
|
|
|
| 0.455%, 11/25/2035 (A) (B) |
|
|
1,006 |
|
|
|
890 |
|
|
|
|
| 88 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| MASTR Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 |
|
|
|
|
|
|
|
|
| 6.000%, 08/25/2034 (B) |
|
$ |
2,112 |
|
|
$ |
2,151 |
|
| Merrill Lynch Mortgage Investors Trust,
Ser 2004-A1, Cl 4A |
|
|
|
|
|
|
|
|
| 2.625%, 02/25/2034 (A) (B) |
|
|
638 |
|
|
|
644 |
|
| Merrill Lynch Mortgage Investors Trust,
Ser 2004-B, Cl A3 |
|
|
|
|
|
|
|
|
| 1.987%, 05/25/2029 (A) (B) |
|
|
466 |
|
|
|
472 |
|
| Merrill Lynch Mortgage Trust,
Ser 2006-C2, Cl AJ |
|
|
|
|
|
|
|
|
| 5.802%, 08/12/2043 (A) |
|
|
650 |
|
|
|
662 |
|
| Merrill Lynch Mortgage Trust,
Ser 2007-C1, Cl A4 |
|
|
|
|
|
|
|
|
| 6.009%, 06/12/2050 (A) |
|
|
100 |
|
|
|
110 |
|
| Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser 2007-7, Cl A4 |
|
|
|
|
|
|
|
|
| 5.810%, 06/12/2050 (A) |
|
|
693 |
|
|
|
754 |
|
| ML-CFC Commercial Mortgage Trust,
Ser 2006-3, Cl AJ |
|
|
|
|
|
|
|
|
| 5.485%, 07/12/2046 (A) |
|
|
610 |
|
|
|
623 |
|
| ML-CFC Commercial Mortgage Trust,
Ser 2007-5, Cl AJ |
|
|
|
|
|
|
|
|
| 5.450%, 08/12/2048 (A) |
|
|
670 |
|
|
|
645 |
|
| ML-CFC Commercial Mortgage Trust,
Ser 2007-9, Cl AJ |
|
|
|
|
|
|
|
|
| 6.193%, 09/12/2049 (A) |
|
|
1,240 |
|
|
|
1,207 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2012-C5, Cl XA, IO |
|
|
|
|
|
|
|
|
| 2.024%, 08/15/2045 (A) (B) |
|
|
2,108 |
|
|
|
182 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2012-C6, Cl A3 |
|
|
|
|
|
|
|
|
| 2.506%, 11/15/2045 |
|
|
800 |
|
|
|
791 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C7, Cl AS |
|
|
|
|
|
|
|
|
| 3.214%, 02/15/2046 |
|
|
83 |
|
|
|
81 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C10, Cl A1 |
|
|
|
|
|
|
|
|
| 1.394%, 07/15/2046 |
|
|
810 |
|
|
|
815 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2014-C15, Cl ASB |
|
|
|
|
|
|
|
|
| 3.654%, 04/15/2047 |
|
|
320 |
|
|
|
331 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2014-C16, Cl ASB |
|
|
|
|
|
|
|
|
| 3.477%, 01/15/2024 |
|
|
71 |
|
|
|
73 |
|
| Morgan Stanley Capital I Trust,
Ser 2006-IQ12, Cl AJ |
|
|
|
|
|
|
|
|
| 5.399%, 12/15/2043 |
|
|
670 |
|
|
|
616 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley Capital I Trust,
Ser 2007-IQ14, Cl A4 |
|
|
|
|
|
|
|
|
| 5.692%, 04/15/2049 (A) |
|
$ |
320 |
|
|
$ |
348 |
|
| Morgan Stanley Capital I Trust, Ser 2011-C2, Cl A2 |
|
|
|
|
|
|
|
|
| 3.476%, 06/15/2044 (B) |
|
|
766 |
|
|
|
793 |
|
| Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A2 |
|
|
|
|
|
|
|
|
| 3.224%, 07/15/2049 |
|
|
712 |
|
|
|
736 |
|
| Motel 6 Trust,
Ser 2012-MTL6, Cl A2 |
|
|
|
|
|
|
|
|
| 1.948%, 10/05/2025 (B) |
|
|
715 |
|
|
|
715 |
|
| PFP III, Ser 2014-1, Cl D |
|
|
|
|
|
|
|
|
| 4.254%, 06/14/2031 (A) (B) |
|
|
260 |
|
|
|
262 |
|
| Prime Mortgage Trust,
Ser 2006-DR1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 5.500%, 05/25/2035 (B) |
|
|
1,591 |
|
|
|
1,599 |
|
| RALI Series Trust,
Ser 2005-QS2, Cl A1 |
|
|
|
|
|
|
|
|
| 5.500%, 02/25/2035 (B) |
|
|
2,684 |
|
|
|
2,664 |
|
| RBS Commercial Funding Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 3.961%, 01/13/2032 (A) (B) |
|
|
527 |
|
|
|
547 |
|
| Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8 |
|
|
|
|
|
|
|
|
| 6.500%, 11/25/2031 (B) |
|
|
196 |
|
|
|
202 |
|
| Residential Asset Securitization Trust,
Ser 2004-A6, Cl A1 |
|
|
|
|
|
|
|
|
| 5.000%, 08/25/2019 (B) |
|
|
146 |
|
|
|
150 |
|
| Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.489%, 12/25/2034 (A) (B) |
|
|
506 |
|
|
|
515 |
|
| Structured Adjustable Rate Mortgage Loan Trust,
Ser 2004-10, Cl 2A |
|
|
|
|
|
|
|
|
| 2.386%, 08/25/2034 (A) (B) |
|
|
1,078 |
|
|
|
1,068 |
|
| Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 |
|
|
|
|
|
|
|
|
| 2.618%, 08/25/2015 (A) (B) |
|
|
4,784 |
|
|
|
3,789 |
|
| Structured Asset Securities,
Ser 2005-17, Cl 5A1 |
|
|
|
|
|
|
|
|
| 5.500%, 10/25/2035 (B) |
|
|
1,481 |
|
|
|
1,330 |
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl AS |
|
|
|
|
|
|
|
|
| 3.317%, 12/10/2045 (B) |
|
|
40 |
|
|
|
39 |
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl D |
|
|
|
|
|
|
|
|
| 4.650%, 12/10/2045 (A) (B) |
|
|
670 |
|
|
|
640 |
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl XA, IO |
|
|
|
|
|
|
|
|
| 2.012%, 12/10/2045 (A) (B) |
|
|
1,850 |
|
|
|
194 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
89 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2013-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.185%, 03/10/2046 |
|
$ |
178 |
|
|
$ |
177 |
|
| UBS-Citigroup Commercial Mortgage Trust,
Ser 2001-C1, Cl A2 |
|
|
|
|
|
|
|
|
| 2.804%, 01/10/2045 |
|
|
3,200 |
|
|
|
3,299 |
|
| VNDO Mortgage Trust,
Ser 2012-6AVE, Cl A |
|
|
|
|
|
|
|
|
| 2.996%, 11/15/2030 (B) |
|
|
110 |
|
|
|
108 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2005-C17, Cl A4 |
|
|
|
|
|
|
|
|
| 5.083%, 03/15/2042 (A) |
|
|
2,212 |
|
|
|
2,219 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2006C23, Cl A4 |
|
|
|
|
|
|
|
|
| 5.418%, 01/15/2045 (A) |
|
|
2,836 |
|
|
|
2,941 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2006-C28, Cl AJ |
|
|
|
|
|
|
|
|
| 5.632%, 10/15/2048 (A) |
|
|
540 |
|
|
|
552 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2007-C30, Cl AJ |
|
|
|
|
|
|
|
|
| 5.413%, 12/15/2043 (A) |
|
|
604 |
|
|
|
622 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2007-C30, Cl AM |
|
|
|
|
|
|
|
|
| 5.383%, 12/15/2043 |
|
|
260 |
|
|
|
278 |
|
| Wachovia Bank Commercial Mortgage Trust,
Ser 2007-C31, Cl AJ |
|
|
|
|
|
|
|
|
| 5.660%, 04/15/2047 (A) |
|
|
300 |
|
|
|
310 |
|
| WaMu Mortgage Pass-Through Certificates Trust,
Ser 2005-AR5, Cl A6 |
|
|
|
|
|
|
|
|
| 2.382%, 05/25/2035 (A) (B) |
|
|
9,220 |
|
|
|
9,235 |
|
| WaMu Mortgage Pass-Through Certificates Trust,
Ser 2006-AR13, Cl 1A |
|
|
|
|
|
|
|
|
| 0.997%, 10/25/2046 (A) (B) |
|
|
2,486 |
|
|
|
2,039 |
|
| WaMu Mortgage Pass-Through Certificates Trust,
Ser 2007-OA1, Cl A1A |
|
|
|
|
|
|
|
|
| 0.817%, 02/25/2047 (A) (B) |
|
|
3,765 |
|
|
|
3,098 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 |
|
|
|
|
|
|
|
|
| 0.445%, 10/25/2047 (A) (B) |
|
|
2,483 |
|
|
|
2,373 |
|
| Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A |
|
|
|
|
|
|
|
|
| 0.817%, 01/25/2047 (A) (B) |
|
|
2,122 |
|
|
|
1,551 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Washington Mutual MSC Mortgage Pass-Through Certificates,
Ser 2003-MS1, Cl 1A |
|
|
|
|
|
|
|
|
| 5.000%, 02/25/2018 (B) |
|
$ |
127 |
|
|
$ |
129 |
|
| Wells Fargo Commercial Mortgage Trust,
Ser 2013-LC12, Cl B |
|
|
|
|
|
|
|
|
| 4.438%, 07/15/2046 (A) |
|
|
20 |
|
|
|
21 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-H, Cl A1 |
|
|
|
|
|
|
|
|
| 2.615%, 06/25/2034 (A) (B) |
|
|
1,111 |
|
|
|
1,131 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.278%, 02/15/2044 (A) (B) |
|
|
3,441 |
|
|
|
111 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C4, Cl A3 |
|
|
|
|
|
|
|
|
| 4.394%, 06/15/2044 (B) |
|
|
2,420 |
|
|
|
2,606 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.667%, 11/15/2044 |
|
|
3,125 |
|
|
|
3,266 |
|
| WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.735%, 06/15/2045 (A) (B) |
|
|
359 |
|
|
|
32 |
|
| WFRBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3 |
|
|
|
|
|
|
|
|
| 3.001%, 08/15/2045 |
|
|
1,685 |
|
|
|
1,676 |
|
| WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.509%, 03/15/2047 (A) |
|
|
2,296 |
|
|
|
185 |
|
| WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl D |
|
|
|
|
|
|
|
|
| 3.993%, 10/15/2057 (A) (B) |
|
|
630 |
|
|
|
536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168,784 |
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $733,884) ($ Thousands) |
|
|
|
732,662 |
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 26.5% |
|
|
|
| Consumer Discretionary — 1.9% |
|
|
|
|
|
| 1011778 B.C. ULC / New Red Finance |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2022 (B) |
|
|
390 |
|
|
|
387 |
|
| 21st Century Fox America |
|
|
|
|
|
|
|
|
| 6.650%, 11/15/2037 |
|
|
180 |
|
|
|
226 |
|
| 6.200%, 12/15/2034 |
|
|
65 |
|
|
|
79 |
|
| Bed Bath & Beyond |
|
|
|
|
|
|
|
|
| 5.165%, 08/01/2044 |
|
|
310 |
|
|
|
304 |
|
| British Sky Broadcasting Group |
|
|
|
|
|
|
|
|
| 3.750%, 09/16/2024 (B) |
|
|
570 |
|
|
|
569 |
|
| Comcast |
|
|
|
|
|
|
|
|
| 6.950%, 08/15/2037 |
|
|
450 |
|
|
|
605 |
|
| 6.550%, 07/01/2039 |
|
|
270 |
|
|
|
353 |
|
|
|
|
| 90 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.500%, 01/15/2017 |
|
$ |
1,335 |
|
|
$ |
1,495 |
|
| 4.200%, 08/15/2034 |
|
|
280 |
|
|
|
278 |
|
| 3.600%, 03/01/2024 |
|
|
1,600 |
|
|
|
1,628 |
|
| Comcast Cable Communications Holdings |
|
|
|
|
|
|
|
|
| 9.455%, 11/15/2022 |
|
|
560 |
|
|
|
804 |
|
| Cox Communications (B) |
|
|
|
|
|
|
|
|
| 6.950%, 06/01/2038 |
|
|
20 |
|
|
|
25 |
|
| 4.700%, 12/15/2042 |
|
|
10 |
|
|
|
10 |
|
| CSC Holdings |
|
|
|
|
|
|
|
|
| 6.750%, 11/15/2021 |
|
|
570 |
|
|
|
607 |
|
| Daimler Finance North America LLC (B) |
|
|
|
|
|
|
|
|
| 2.375%, 08/01/2018 |
|
|
1,460 |
|
|
|
1,478 |
|
| 1.875%, 01/11/2018 |
|
|
502 |
|
|
|
502 |
|
| 1.300%, 07/31/2015 |
|
|
150 |
|
|
|
151 |
|
| 1.125%, 03/10/2017 |
|
|
975 |
|
|
|
970 |
|
| DIRECTV Holdings LLC |
|
|
|
|
|
|
|
|
| 6.000%, 08/15/2040 |
|
|
845 |
|
|
|
949 |
|
| 4.450%, 04/01/2024 (C) |
|
|
645 |
|
|
|
672 |
|
| 3.800%, 03/15/2022 |
|
|
513 |
|
|
|
521 |
|
| DISH DBS |
|
|
|
|
|
|
|
|
| 5.875%, 07/15/2022 |
|
|
200 |
|
|
|
204 |
|
| 5.125%, 05/01/2020 |
|
|
80 |
|
|
|
80 |
|
| 5.000%, 03/15/2023 |
|
|
580 |
|
|
|
556 |
|
| ERAC USA Finance (B) |
|
|
|
|
|
|
|
|
| 5.625%, 03/15/2042 |
|
|
624 |
|
|
|
705 |
|
| 3.850%, 11/15/2024 |
|
|
220 |
|
|
|
220 |
|
| Ford Motor |
|
|
|
|
|
|
|
|
| 4.750%, 01/15/2043 |
|
|
1,130 |
|
|
|
1,131 |
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
| 3.664%, 09/08/2024 |
|
|
580 |
|
|
|
568 |
|
| General Motors |
|
|
|
|
|
|
|
|
| 6.250%, 10/02/2043 |
|
|
100 |
|
|
|
117 |
|
| 4.875%, 10/02/2023 |
|
|
425 |
|
|
|
449 |
|
| 3.500%, 10/02/2018 |
|
|
645 |
|
|
|
655 |
|
| General Motors Financial |
|
|
|
|
|
|
|
|
| 4.375%, 09/25/2021 |
|
|
180 |
|
|
|
184 |
|
| 4.250%, 05/15/2023 |
|
|
180 |
|
|
|
181 |
|
| 3.250%, 05/15/2018 |
|
|
150 |
|
|
|
151 |
|
| 2.750%, 05/15/2016 |
|
|
200 |
|
|
|
202 |
|
| Grupo Televisa |
|
|
|
|
|
|
|
|
| 5.000%, 05/13/2045 |
|
|
270 |
|
|
|
267 |
|
| Hilton Worldwide Finance LLC |
|
|
|
|
|
|
|
|
| 5.625%, 10/15/2021 (B) |
|
|
920 |
|
|
|
948 |
|
| Johnson Controls |
|
|
|
|
|
|
|
|
| 4.950%, 07/02/2064 |
|
|
155 |
|
|
|
151 |
|
| 4.625%, 07/02/2044 |
|
|
285 |
|
|
|
278 |
|
| LVMH Moet Hennessy Louis Vuitton |
|
|
|
|
|
|
|
|
| 1.625%, 06/29/2017 (B) |
|
|
854 |
|
|
|
858 |
|
| Numericable Group |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2022 (B) |
|
|
400 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| QVC |
|
|
|
|
|
|
|
|
| 5.950%, 03/15/2043 |
|
$ |
20 |
|
|
$ |
21 |
|
| Reynolds Group Issuer |
|
|
|
|
|
|
|
|
| 7.125%, 04/15/2019 |
|
|
810 |
|
|
|
839 |
|
| 6.875%, 02/15/2021 |
|
|
180 |
|
|
|
190 |
|
| Taylor Morrison Communities (B) |
|
|
|
|
|
|
|
|
| 7.750%, 04/15/2020 |
|
|
120 |
|
|
|
128 |
|
| 5.250%, 04/15/2021 |
|
|
460 |
|
|
|
449 |
|
| Thomson Reuters |
|
|
|
|
|
|
|
|
| 3.850%, 09/29/2024 |
|
|
580 |
|
|
|
576 |
|
| Time Warner |
|
|
|
|
|
|
|
|
| 7.700%, 05/01/2032 |
|
|
1,010 |
|
|
|
1,390 |
|
| 6.250%, 03/29/2041 |
|
|
265 |
|
|
|
313 |
|
| 4.750%, 03/29/2021 |
|
|
730 |
|
|
|
795 |
|
| 3.550%, 06/01/2024 |
|
|
1,365 |
|
|
|
1,345 |
|
| Time Warner Cable |
|
|
|
|
|
|
|
|
| 8.250%, 04/01/2019 |
|
|
2,265 |
|
|
|
2,821 |
|
| 6.550%, 05/01/2037 |
|
|
1,645 |
|
|
|
2,075 |
|
| 5.500%, 09/01/2041 |
|
|
325 |
|
|
|
366 |
|
| Time Warner Entertainment |
|
|
|
|
|
|
|
|
| 8.375%, 07/15/2033 |
|
|
270 |
|
|
|
399 |
|
| Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
| 2.750%, 05/17/2021 |
|
|
695 |
|
|
|
701 |
|
| 1.125%, 05/16/2017 |
|
|
1,115 |
|
|
|
1,111 |
|
| United Business Media |
|
|
|
|
|
|
|
|
| 5.750%, 11/03/2020 (B) |
|
|
490 |
|
|
|
530 |
|
| Univision Communications |
|
|
|
|
|
|
|
|
| 6.750%, 09/15/2022 (B) |
|
|
310 |
|
|
|
332 |
|
| Viacom |
|
|
|
|
|
|
|
|
| 5.250%, 04/01/2044 (C) |
|
|
590 |
|
|
|
610 |
|
| 4.250%, 09/01/2023 |
|
|
480 |
|
|
|
494 |
|
| Volkswagen Group of America Finance |
|
|
|
|
|
|
|
|
| 2.125%, 05/23/2019 (B) |
|
|
490 |
|
|
|
486 |
|
| Volkswagen International Finance |
|
|
|
|
|
|
|
|
| 1.125%, 11/18/2016 (B) |
|
|
1,115 |
|
|
|
1,116 |
|
| Yum! Brands |
|
|
|
|
|
|
|
|
| 5.350%, 11/01/2043 |
|
|
340 |
|
|
|
370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.8% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
|
|
|
|
|
|
| 9.950%, 11/10/2038 |
|
|
150 |
|
|
|
248 |
|
| 9.250%, 08/06/2019 |
|
|
1,250 |
|
|
|
1,627 |
|
| 5.375%, 01/31/2044 (C) |
|
|
775 |
|
|
|
826 |
|
| 4.750%, 05/05/2021 |
|
|
720 |
|
|
|
784 |
|
| 4.000%, 01/31/2024 |
|
|
260 |
|
|
|
265 |
|
| Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
| 2.625%, 01/17/2023 (C) |
|
|
400 |
|
|
|
375 |
|
| 2.150%, 02/01/2019 |
|
|
810 |
|
|
|
806 |
|
| Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
| 7.750%, 01/15/2019 |
|
|
2,930 |
|
|
|
3,538 |
|
| 5.375%, 01/15/2020 |
|
|
1,360 |
|
|
|
1,534 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
91 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 5.000%, 04/15/2020 |
|
$ |
560 |
|
|
$ |
625 |
|
| 2.500%, 07/15/2022 |
|
|
330 |
|
|
|
312 |
|
| Anheuser-Busch LLC |
|
|
|
|
|
|
|
|
| 5.050%, 10/15/2016 |
|
|
940 |
|
|
|
1,013 |
|
| Coca-Cola Femsa |
|
|
|
|
|
|
|
|
| 2.375%, 11/26/2018 |
|
|
680 |
|
|
|
683 |
|
| ConAgra Foods |
|
|
|
|
|
|
|
|
| 1.900%, 01/25/2018 |
|
|
480 |
|
|
|
477 |
|
| CVS Health |
|
|
|
|
|
|
|
|
| 5.750%, 05/15/2041 |
|
|
970 |
|
|
|
1,145 |
|
| 2.250%, 12/05/2018 |
|
|
565 |
|
|
|
567 |
|
| Diageo Capital PLC |
|
|
|
|
|
|
|
|
| 4.828%, 07/15/2020 |
|
|
1,580 |
|
|
|
1,756 |
|
| Heineken |
|
|
|
|
|
|
|
|
| 1.400%, 10/01/2017 (B) |
|
|
320 |
|
|
|
318 |
|
| HJ Heinz |
|
|
|
|
|
|
|
|
| 4.250%, 10/15/2020 |
|
|
440 |
|
|
|
437 |
|
| Kraft Foods Group |
|
|
|
|
|
|
|
|
| 6.500%, 02/09/2040 |
|
|
225 |
|
|
|
279 |
|
| 5.375%, 02/10/2020 |
|
|
455 |
|
|
|
513 |
|
| 3.500%, 06/06/2022 (C) |
|
|
1,350 |
|
|
|
1,367 |
|
| Kroger |
|
|
|
|
|
|
|
|
| 6.900%, 04/15/2038 |
|
|
260 |
|
|
|
333 |
|
| Lorillard Tobacco |
|
|
|
|
|
|
|
|
| 8.125%, 06/23/2019 |
|
|
20 |
|
|
|
25 |
|
| 3.750%, 05/20/2023 |
|
|
840 |
|
|
|
826 |
|
| Molson Coors Brewing |
|
|
|
|
|
|
|
|
| 3.500%, 05/01/2022 |
|
|
100 |
|
|
|
101 |
|
| Mondelez International |
|
|
|
|
|
|
|
|
| 6.500%, 02/09/2040 |
|
|
454 |
|
|
|
569 |
|
| 5.375%, 02/10/2020 (C) |
|
|
925 |
|
|
|
1,049 |
|
| 4.000%, 02/01/2024 (C) |
|
|
870 |
|
|
|
891 |
|
| PepsiCo |
|
|
|
|
|
|
|
|
| 4.000%, 03/05/2042 |
|
|
110 |
|
|
|
104 |
|
| 0.700%, 08/13/2015 |
|
|
1,090 |
|
|
|
1,094 |
|
| Pernod Ricard (B) |
|
|
|
|
|
|
|
|
| 5.750%, 04/07/2021 |
|
|
724 |
|
|
|
825 |
|
| 5.500%, 01/15/2042 (C) |
|
|
150 |
|
|
|
165 |
|
| 4.450%, 01/15/2022 |
|
|
1,050 |
|
|
|
1,110 |
|
| 2.950%, 01/15/2017 |
|
|
360 |
|
|
|
371 |
|
| Philip Morris International |
|
|
|
|
|
|
|
|
| 4.500%, 03/20/2042 |
|
|
390 |
|
|
|
392 |
|
| 2.900%, 11/15/2021 |
|
|
690 |
|
|
|
690 |
|
| 2.500%, 08/22/2022 (C) |
|
|
340 |
|
|
|
325 |
|
| Reynolds American |
|
|
|
|
|
|
|
|
| 6.750%, 06/15/2017 |
|
|
1,260 |
|
|
|
1,422 |
|
| 3.250%, 11/01/2022 |
|
|
340 |
|
|
|
328 |
|
| Sysco |
|
|
|
|
|
|
|
|
| 3.000%, 10/02/2021 |
|
|
610 |
|
|
|
611 |
|
| 2.350%, 10/02/2019 |
|
|
855 |
|
|
|
855 |
|
| Tyson Foods |
|
|
|
|
|
|
|
|
| 5.150%, 08/15/2044 |
|
|
130 |
|
|
|
135 |
|
| 4.500%, 06/15/2022 |
|
|
540 |
|
|
|
572 |
|
| 3.950%, 08/15/2024 |
|
|
280 |
|
|
|
280 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Wal-Mart Stores |
|
|
|
|
|
|
|
|
| 4.300%, 04/22/2044 |
|
$ |
1,055 |
|
|
$ |
1,061 |
|
| Wm Wrigley Jr (B) |
|
|
|
|
|
|
|
|
| 3.375%, 10/21/2020 |
|
|
755 |
|
|
|
766 |
|
| 2.900%, 10/21/2019 |
|
|
1,079 |
|
|
|
1,094 |
|
| 2.400%, 10/21/2018 |
|
|
425 |
|
|
|
428 |
|
| 2.000%, 10/20/2017 |
|
|
205 |
|
|
|
207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 3.3% |
|
|
|
|
|
|
|
|
| Access Midstream Partners |
|
|
|
|
|
|
|
|
| 6.125%, 07/15/2022 |
|
|
680 |
|
|
|
724 |
|
| 4.875%, 05/15/2023 |
|
|
700 |
|
|
|
718 |
|
| 4.875%, 03/15/2024 |
|
|
100 |
|
|
|
102 |
|
| Anadarko Finance, Ser B |
|
|
|
|
|
|
|
|
| 7.500%, 05/01/2031 |
|
|
810 |
|
|
|
1,097 |
|
| Antero Resources Finance |
|
|
|
|
|
|
|
|
| 5.375%, 11/01/2021 |
|
|
210 |
|
|
|
209 |
|
| Arch Coal |
|
|
|
|
|
|
|
|
| 7.000%, 06/15/2019 (C) |
|
|
600 |
|
|
|
320 |
|
| Atwood Oceanics |
|
|
|
|
|
|
|
|
| 6.500%, 02/01/2020 |
|
|
240 |
|
|
|
246 |
|
| Baker Hughes |
|
|
|
|
|
|
|
|
| 7.500%, 11/15/2018 |
|
|
1,230 |
|
|
|
1,493 |
|
| BG Energy Capital PLC |
|
|
|
|
|
|
|
|
| 4.000%, 10/15/2021 (B) |
|
|
910 |
|
|
|
952 |
|
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
| 3.875%, 03/10/2015 |
|
|
210 |
|
|
|
213 |
|
| 3.561%, 11/01/2021 |
|
|
50 |
|
|
|
51 |
|
| 3.245%, 05/06/2022 |
|
|
160 |
|
|
|
159 |
|
| California Resources |
|
|
|
|
|
|
|
|
| 6.000%, 11/15/2024 (B) |
|
|
450 |
|
|
|
462 |
|
| Canadian Oil Sands |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2042 (B) |
|
|
293 |
|
|
|
337 |
|
| Chesapeake Energy |
|
|
|
|
|
|
|
|
| 6.875%, 11/15/2020 |
|
|
450 |
|
|
|
502 |
|
| 6.500%, 08/15/2017 |
|
|
275 |
|
|
|
298 |
|
| Cimarex Energy |
|
|
|
|
|
|
|
|
| 4.375%, 06/01/2024 |
|
|
765 |
|
|
|
771 |
|
| CNOOC Nexen Finance ULC |
|
|
|
|
|
|
|
|
| 1.625%, 04/30/2017 |
|
|
820 |
|
|
|
817 |
|
| Concho Resources |
|
|
|
|
|
|
|
|
| 5.500%, 10/01/2022 |
|
|
350 |
|
|
|
361 |
|
| 5.500%, 04/01/2023 |
|
|
80 |
|
|
|
83 |
|
| Conoco Funding |
|
|
|
|
|
|
|
|
| 7.250%, 10/15/2031 |
|
|
50 |
|
|
|
70 |
|
| ConocoPhillips |
|
|
|
|
|
|
|
|
| 5.900%, 10/15/2032 |
|
|
10 |
|
|
|
13 |
|
| 5.900%, 05/15/2038 |
|
|
420 |
|
|
|
522 |
|
| Consol Energy |
|
|
|
|
|
|
|
|
| 8.250%, 04/01/2020 |
|
|
660 |
|
|
|
690 |
|
| Continental Resources |
|
|
|
|
|
|
|
|
| 5.000%, 09/15/2022 |
|
|
90 |
|
|
|
95 |
|
| 4.500%, 04/15/2023 |
|
|
735 |
|
|
|
761 |
|
| 3.800%, 06/01/2024 |
|
|
110 |
|
|
|
108 |
|
|
|
|
| 92 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Devon Energy |
|
|
|
|
|
|
|
|
| 5.600%, 07/15/2041 |
|
$ |
765 |
|
|
$ |
853 |
|
| 3.250%, 05/15/2022 |
|
|
530 |
|
|
|
526 |
|
| Devon Financing LLC |
|
|
|
|
|
|
|
|
| 7.875%, 09/30/2031 |
|
|
260 |
|
|
|
363 |
|
| Diamond Offshore Drilling |
|
|
|
|
|
|
|
|
| 4.875%, 11/01/2043 (C) |
|
|
285 |
|
|
|
264 |
|
| Ecopetrol |
|
|
|
|
|
|
|
|
| 7.375%, 09/18/2043 |
|
|
240 |
|
|
|
290 |
|
| 5.875%, 05/28/2045 |
|
|
895 |
|
|
|
906 |
|
| El Paso Pipeline Partners Operating LP |
|
|
|
|
|
|
|
|
| 4.300%, 05/01/2024 |
|
|
555 |
|
|
|
551 |
|
| 4.100%, 11/15/2015 |
|
|
570 |
|
|
|
589 |
|
| Encana |
|
|
|
|
|
|
|
|
| 6.500%, 02/01/2038 |
|
|
230 |
|
|
|
283 |
|
| Energy Transfer Partners |
|
|
|
|
|
|
|
|
| 8.250%, 11/15/2029 |
|
|
1,315 |
|
|
|
1,845 |
|
| 5.950%, 10/01/2043 |
|
|
225 |
|
|
|
241 |
|
| Equities Midstream Partners |
|
|
|
|
|
|
|
|
| 4.000%, 08/01/2024 |
|
|
440 |
|
|
|
434 |
|
| Hess |
|
|
|
|
|
|
|
|
| 7.875%, 10/01/2029 |
|
|
610 |
|
|
|
828 |
|
| Kerr-McGee |
|
|
|
|
|
|
|
|
| 7.875%, 09/15/2031 |
|
|
430 |
|
|
|
595 |
|
| 6.950%, 07/01/2024 |
|
|
530 |
|
|
|
667 |
|
| Key Energy Services |
|
|
|
|
|
|
|
|
| 6.750%, 03/01/2021 |
|
|
1,290 |
|
|
|
1,242 |
|
| Kinder Morgan |
|
|
|
|
|
|
|
|
| 6.950%, 06/01/2028 |
|
|
6,750 |
|
|
|
7,547 |
|
| Kinder Morgan Energy Partners |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2042 |
|
|
140 |
|
|
|
132 |
|
| 5.000%, 03/01/2043 |
|
|
140 |
|
|
|
129 |
|
| 4.150%, 02/01/2024 |
|
|
280 |
|
|
|
277 |
|
| Kodiak Oil & Gas |
|
|
|
|
|
|
|
|
| 5.500%, 01/15/2021 |
|
|
530 |
|
|
|
535 |
|
| Marathon Petroleum |
|
|
|
|
|
|
|
|
| 5.000%, 09/15/2054 |
|
|
180 |
|
|
|
172 |
|
| 4.750%, 09/15/2044 |
|
|
140 |
|
|
|
134 |
|
| MarkWest Energy Partners |
|
|
|
|
|
|
|
|
| 6.250%, 06/15/2022 |
|
|
128 |
|
|
|
135 |
|
| 5.500%, 02/15/2023 |
|
|
320 |
|
|
|
327 |
|
| Newfield Exploration |
|
|
|
|
|
|
|
|
| 5.625%, 07/01/2024 |
|
|
445 |
|
|
|
476 |
|
| Noble Energy |
|
|
|
|
|
|
|
|
| 5.250%, 11/15/2043 |
|
|
180 |
|
|
|
190 |
|
| 4.150%, 12/15/2021 |
|
|
690 |
|
|
|
731 |
|
| Occidental Petroleum |
|
|
|
|
|
|
|
|
| 3.125%, 02/15/2022 |
|
|
330 |
|
|
|
332 |
|
| 2.700%, 02/15/2023 |
|
|
170 |
|
|
|
163 |
|
| ONEOK Partners |
|
|
|
|
|
|
|
|
| 2.000%, 10/01/2017 |
|
|
440 |
|
|
|
443 |
|
| Panhandle Eastern Pipeline |
|
|
|
|
|
|
|
|
| 8.125%, 06/01/2019 |
|
|
2,500 |
|
|
|
3,044 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Penn Virginia Resource Partners |
|
|
|
|
|
|
|
|
| 8.375%, 06/01/2020 |
|
$ |
416 |
|
|
$ |
453 |
|
| Petrobras Global Finance |
|
|
|
|
|
|
|
|
| 6.250%, 03/17/2024 |
|
|
720 |
|
|
|
755 |
|
| 4.875%, 03/17/2020 |
|
|
535 |
|
|
|
542 |
|
| 3.000%, 01/15/2019 (C) |
|
|
375 |
|
|
|
365 |
|
| 1.853%, 05/20/2016 (A) |
|
|
825 |
|
|
|
824 |
|
| Petrobras International Finance |
|
|
|
|
|
|
|
|
| 6.125%, 10/06/2016 |
|
|
655 |
|
|
|
703 |
|
| 5.750%, 01/20/2020 |
|
|
574 |
|
|
|
604 |
|
| 5.375%, 01/27/2021 |
|
|
2,670 |
|
|
|
2,699 |
|
| Petro-Canada |
|
|
|
|
|
|
|
|
| 6.800%, 05/15/2038 |
|
|
1,665 |
|
|
|
2,188 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
| 6.625%, 06/15/2035 |
|
|
1,667 |
|
|
|
1,934 |
|
| 6.375%, 01/23/2045 (B) |
|
|
1,350 |
|
|
|
1,527 |
|
| 5.500%, 06/27/2044 |
|
|
360 |
|
|
|
367 |
|
| 2.254%, 07/18/2018 (A) |
|
|
255 |
|
|
|
266 |
|
| QEP Resources |
|
|
|
|
|
|
|
|
| 6.875%, 03/01/2021 |
|
|
520 |
|
|
|
564 |
|
| 5.250%, 05/01/2023 |
|
|
290 |
|
|
|
281 |
|
| Range Resources |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2022 |
|
|
100 |
|
|
|
102 |
|
| 5.000%, 03/15/2023 |
|
|
330 |
|
|
|
340 |
|
| Regency Energy Partners |
|
|
|
|
|
|
|
|
| 4.500%, 11/01/2023 |
|
|
690 |
|
|
|
668 |
|
| Rowan |
|
|
|
|
|
|
|
|
| 5.400%, 12/01/2042 |
|
|
286 |
|
|
|
268 |
|
| Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
| 5.750%, 05/15/2024 (B) (C) |
|
|
220 |
|
|
|
224 |
|
| 5.625%, 02/01/2021 |
|
|
140 |
|
|
|
144 |
|
| Samson Investment |
|
|
|
|
|
|
|
|
| 9.750%, 02/15/2020 |
|
|
650 |
|
|
|
590 |
|
| SESI LLC |
|
|
|
|
|
|
|
|
| 7.125%, 12/15/2021 |
|
|
180 |
|
|
|
199 |
|
| Shelf Drilling Holdings |
|
|
|
|
|
|
|
|
| 8.625%, 11/01/2018 (B) |
|
|
140 |
|
|
|
147 |
|
| Shell International Finance |
|
|
|
|
|
|
|
|
| 4.375%, 03/25/2020 |
|
|
1,160 |
|
|
|
1,279 |
|
| 3.400%, 08/12/2023 |
|
|
595 |
|
|
|
605 |
|
| Sinopec Group Overseas Development (B) |
|
|
|
|
|
|
|
|
| 4.375%, 04/10/2024 |
|
|
1,150 |
|
|
|
1,180 |
|
| 2.750%, 05/17/2017 |
|
|
490 |
|
|
|
502 |
|
| Southeast Supply Header |
|
|
|
|
|
|
|
|
| 4.250%, 06/15/2024 (B) |
|
|
535 |
|
|
|
546 |
|
| Southern Natural Gas LLC |
|
|
|
|
|
|
|
|
| 8.000%, 03/01/2032 |
|
|
170 |
|
|
|
216 |
|
| Statoil |
|
|
|
|
|
|
|
|
| 2.900%, 11/08/2020 |
|
|
1,235 |
|
|
|
1,259 |
|
| Talisman Energy |
|
|
|
|
|
|
|
|
| 3.750%, 02/01/2021 |
|
|
535 |
|
|
|
541 |
|
| TC PipeLines |
|
|
|
|
|
|
|
|
| 4.650%, 06/15/2021 |
|
|
160 |
|
|
|
169 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
93 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Tennessee Gas Pipeline LLC |
|
|
|
|
|
|
|
|
| 8.375%, 06/15/2032 |
|
$ |
1,638 |
|
|
$ |
2,165 |
|
| Total Capital International |
|
|
|
|
|
|
|
|
| 2.750%, 06/19/2021 |
|
|
1,135 |
|
|
|
1,129 |
|
| 2.100%, 06/19/2019 |
|
|
700 |
|
|
|
698 |
|
| TransCanada PipeLines |
|
|
|
|
|
|
|
|
| 4.625%, 03/01/2034 |
|
|
1,345 |
|
|
|
1,380 |
|
| Transocean |
|
|
|
|
|
|
|
|
| 6.375%, 12/15/2021 |
|
|
40 |
|
|
|
42 |
|
| Weatherford International |
|
|
|
|
|
|
|
|
| 5.950%, 04/15/2042 |
|
|
330 |
|
|
|
355 |
|
| Western Gas Partners |
|
|
|
|
|
|
|
|
| 5.375%, 06/01/2021 |
|
|
160 |
|
|
|
179 |
|
| Williams |
|
|
|
|
|
|
|
|
| 7.875%, 09/01/2021 |
|
|
505 |
|
|
|
608 |
|
| 7.750%, 06/15/2031 |
|
|
861 |
|
|
|
1,036 |
|
| 5.750%, 06/24/2044 |
|
|
200 |
|
|
|
197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 11.6% |
|
|
|
|
|
|
|
|
| ACE INA Holdings |
|
|
|
|
|
|
|
|
| 3.350%, 05/15/2024 |
|
|
330 |
|
|
|
329 |
|
| Alleghany |
|
|
|
|
|
|
|
|
| 4.900%, 09/15/2044 |
|
|
185 |
|
|
|
182 |
|
| Allstate |
|
|
|
|
|
|
|
|
| 3.150%, 06/15/2023 |
|
|
555 |
|
|
|
553 |
|
| Ally Financial |
|
|
|
|
|
|
|
|
| 7.500%, 09/15/2020 |
|
|
1,410 |
|
|
|
1,625 |
|
| American Express |
|
|
|
|
|
|
|
|
| 6.800%, 09/01/2066 (A) |
|
|
1,790 |
|
|
|
1,911 |
|
| American Express Credit MTN |
|
|
|
|
|
|
|
|
| 2.250%, 08/15/2019 |
|
|
1,705 |
|
|
|
1,693 |
|
| 1.750%, 06/12/2015 |
|
|
1,206 |
|
|
|
1,217 |
|
| American Honda Finance
MTN (B) |
|
|
|
|
|
|
|
|
| 3.875%, 09/21/2020 |
|
|
1,065 |
|
|
|
1,135 |
|
| 1.000%, 08/11/2015 |
|
|
1,010 |
|
|
|
1,015 |
|
| American International Group MTN |
|
|
|
|
|
|
|
|
| 8.175%, 05/15/2058 (A) |
|
|
145 |
|
|
|
195 |
|
| 6.400%, 12/15/2020 |
|
|
354 |
|
|
|
421 |
|
| 6.250%, 03/15/2037 |
|
|
1,670 |
|
|
|
1,870 |
|
| 5.850%, 01/16/2018 |
|
|
860 |
|
|
|
968 |
|
| American Tower ‡ |
|
|
|
|
|
|
|
|
| 5.050%, 09/01/2020 |
|
|
374 |
|
|
|
406 |
|
| 3.500%, 01/31/2023 |
|
|
337 |
|
|
|
320 |
|
| 3.450%, 09/15/2021 |
|
|
555 |
|
|
|
544 |
|
| Ameriprise Financial |
|
|
|
|
|
|
|
|
| 3.700%, 10/15/2024 |
|
|
430 |
|
|
|
432 |
|
| ANZ National International |
|
|
|
|
|
|
|
|
| 1.850%, 10/15/2015 (B) |
|
|
470 |
|
|
|
476 |
|
| Assurant |
|
|
|
|
|
|
|
|
| 2.500%, 03/15/2018 |
|
|
570 |
|
|
|
572 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Australia & New Zealand Banking Group |
|
|
|
|
|
|
|
|
| 4.500%, 03/19/2024 (B) |
|
$ |
575 |
|
|
$ |
580 |
|
| Bank of America |
|
|
|
|
|
|
|
|
| 8.950%, 05/18/2017 (A) |
|
|
1,790 |
|
|
|
1,927 |
|
| 8.680%, 05/02/2017 (A) |
|
|
3,160 |
|
|
|
3,409 |
|
| 6.250%, 09/29/2049 (A) (C) |
|
|
1,030 |
|
|
|
1,023 |
|
| 6.050%, 05/16/2016 |
|
|
350 |
|
|
|
376 |
|
| 6.000%, 09/01/2017 |
|
|
655 |
|
|
|
730 |
|
| 5.750%, 12/01/2017 |
|
|
305 |
|
|
|
339 |
|
| 5.700%, 05/02/2017 |
|
|
1,300 |
|
|
|
1,425 |
|
| 5.650%, 05/01/2018 |
|
|
270 |
|
|
|
300 |
|
| 5.625%, 10/14/2016 |
|
|
3,135 |
|
|
|
3,401 |
|
| 5.625%, 07/01/2020 |
|
|
110 |
|
|
|
124 |
|
| 5.420%, 03/15/2017 (C) |
|
|
4,400 |
|
|
|
4,765 |
|
| 5.000%, 05/13/2021 |
|
|
90 |
|
|
|
99 |
|
| 5.000%, 01/21/2044 |
|
|
1,430 |
|
|
|
1,509 |
|
| 4.875%, 04/01/2044 (C) |
|
|
780 |
|
|
|
809 |
|
| 4.500%, 04/01/2015 |
|
|
180 |
|
|
|
184 |
|
| 4.200%, 08/26/2024 |
|
|
1,245 |
|
|
|
1,234 |
|
| 4.000%, 04/01/2024 (C) |
|
|
1,295 |
|
|
|
1,308 |
|
| 3.875%, 03/22/2017 |
|
|
280 |
|
|
|
295 |
|
| 3.625%, 03/17/2016 |
|
|
2,275 |
|
|
|
2,357 |
|
| 3.300%, 01/11/2023 |
|
|
160 |
|
|
|
156 |
|
| 2.600%, 01/15/2019 |
|
|
670 |
|
|
|
669 |
|
| 1.500%, 10/09/2015 |
|
|
1,901 |
|
|
|
1,915 |
|
| Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
| 3.400%, 05/15/2024 |
|
|
1,865 |
|
|
|
1,879 |
|
| 2.200%, 03/04/2019 |
|
|
630 |
|
|
|
630 |
|
| Bank of Tokyo-Mitsubishi
UFJ (B) |
|
|
|
|
|
|
|
|
| 3.850%, 01/22/2015 |
|
|
350 |
|
|
|
354 |
|
| 2.350%, 09/08/2019 |
|
|
1,775 |
|
|
|
1,760 |
|
| Barclays Bank PLC MTN |
|
|
|
|
|
|
|
|
| 6.050%, 12/04/2017 (B) |
|
|
420 |
|
|
|
467 |
|
| Bear Stearns |
|
|
|
|
|
|
|
|
| 6.400%, 10/02/2017 |
|
|
70 |
|
|
|
79 |
|
| 4.650%, 07/02/2018 |
|
|
995 |
|
|
|
1,085 |
|
| Berkshire Hathaway |
|
|
|
|
|
|
|
|
| 3.200%, 02/11/2015 |
|
|
950 |
|
|
|
960 |
|
| BNP Paribas MTN |
|
|
|
|
|
|
|
|
| 2.375%, 09/14/2017 |
|
|
320 |
|
|
|
325 |
|
| Boeing Capital |
|
|
|
|
|
|
|
|
| 4.700%, 10/27/2019 |
|
|
490 |
|
|
|
546 |
|
| BPCE |
|
|
|
|
|
|
|
|
| 5.700%, 10/22/2023 (B) |
|
|
310 |
|
|
|
330 |
|
| 5.150%, 07/21/2024 (B) (C) |
|
|
210 |
|
|
|
215 |
|
| 4.000%, 04/15/2024 |
|
|
270 |
|
|
|
271 |
|
| Capital One |
|
|
|
|
|
|
|
|
| 2.400%, 09/05/2019 |
|
|
1,045 |
|
|
|
1,032 |
|
| Chase Capital VI |
|
|
|
|
|
|
|
|
| 0.865%, 08/01/2028 (A) |
|
|
1,750 |
|
|
|
1,523 |
|
| CIT Group |
|
|
|
|
|
|
|
|
| 5.000%, 08/01/2023 |
|
|
580 |
|
|
|
576 |
|
|
|
|
| 94 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Citigroup |
|
|
|
|
|
|
|
|
| 6.875%, 03/05/2038 |
|
$ |
370 |
|
|
$ |
488 |
|
| 6.675%, 09/13/2043 |
|
|
130 |
|
|
|
159 |
|
| 6.625%, 06/15/2032 |
|
|
100 |
|
|
|
121 |
|
| 6.300%, 12/29/2049 (A) |
|
|
520 |
|
|
|
514 |
|
| 5.950%, 12/29/2049 (A) (C) |
|
|
360 |
|
|
|
360 |
|
| 5.900%, 12/29/2049 (A) |
|
|
220 |
|
|
|
217 |
|
| 5.500%, 09/13/2025 |
|
|
750 |
|
|
|
817 |
|
| 5.350%, 05/29/2049 (A) |
|
|
390 |
|
|
|
362 |
|
| 5.300%, 05/06/2044 (C) |
|
|
240 |
|
|
|
249 |
|
| 4.050%, 07/30/2022 |
|
|
70 |
|
|
|
71 |
|
| 3.500%, 05/15/2023 |
|
|
570 |
|
|
|
546 |
|
| 2.650%, 03/02/2015 |
|
|
385 |
|
|
|
388 |
|
| 2.500%, 09/26/2018 (C) |
|
|
3,330 |
|
|
|
3,352 |
|
| 2.500%, 07/29/2019 |
|
|
1,010 |
|
|
|
1,001 |
|
| 1.750%, 05/01/2018 |
|
|
1,835 |
|
|
|
1,809 |
|
| 1.700%, 07/25/2016 |
|
|
655 |
|
|
|
662 |
|
| 1.550%, 08/14/2017 |
|
|
930 |
|
|
|
923 |
|
| 0.502%, 06/09/2016 (A) |
|
|
3,650 |
|
|
|
3,630 |
|
| Citigroup Capital III |
|
|
|
|
|
|
|
|
| 7.625%, 12/01/2036 |
|
|
1,500 |
|
|
|
1,853 |
|
| Commonwealth Bank of Australia MTN (B) |
|
|
|
|
|
|
|
|
| 5.000%, 10/15/2019 |
|
|
10 |
|
|
|
11 |
|
| 3.750%, 10/15/2014 |
|
|
1,060 |
|
|
|
1,062 |
|
| Cooperatieve Centrale Raiffeisen-Boerenleenbank |
|
|
|
|
|
|
|
|
| 11.000%, 12/31/2049 (A) (B) |
|
|
1,050 |
|
|
|
1,389 |
|
| 5.750%, 12/01/2043 |
|
|
250 |
|
|
|
284 |
|
| 4.625%, 12/01/2023 |
|
|
1,100 |
|
|
|
1,140 |
|
| Countrywide Financial |
|
|
|
|
|
|
|
|
| 6.250%, 05/15/2016 |
|
|
1,080 |
|
|
|
1,164 |
|
| Credit Agricole |
|
|
|
|
|
|
|
|
| 8.375%, 12/31/2049 (A) (B) |
|
|
1,550 |
|
|
|
1,794 |
|
| Credit Suisse MTN |
|
|
|
|
|
|
|
|
| 5.400%, 01/14/2020 |
|
|
1,350 |
|
|
|
1,506 |
|
| Credit Suisse NY MTN |
|
|
|
|
|
|
|
|
| 3.625%, 09/09/2024 (C) |
|
|
1,085 |
|
|
|
1,071 |
|
| 0.555%, 08/24/2015 (A) |
|
|
1,500 |
|
|
|
1,499 |
|
| DDR‡ |
|
|
|
|
|
|
|
|
| 4.625%, 07/15/2022 |
|
|
685 |
|
|
|
724 |
|
| 3.375%, 05/15/2023 |
|
|
655 |
|
|
|
627 |
|
| Deutsche Bank |
|
|
|
|
|
|
|
|
| 1.350%, 05/30/2017 |
|
|
800 |
|
|
|
794 |
|
| Farmer Mac Guaranteed Notes Trust |
|
|
|
|
|
|
|
|
| 5.125%, 04/19/2017 (B) |
|
|
3,540 |
|
|
|
3,897 |
|
| Farmers Exchange Capital |
|
|
|
|
|
|
|
|
| 7.050%, 07/15/2028 (B) |
|
|
1,000 |
|
|
|
1,242 |
|
| Farmers Exchange Capital II |
|
|
|
|
|
|
|
|
| 6.151%, 11/01/2053 (A) (B) |
|
|
2,150 |
|
|
|
2,436 |
|
| Federal Realty Investment Trust‡ |
|
|
|
|
|
|
|
|
| 3.950%, 01/15/2024 |
|
|
305 |
|
|
|
315 |
|
| 3.000%, 08/01/2022 |
|
|
230 |
|
|
|
226 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| First Industrial MTN |
|
|
|
|
|
|
|
|
| 7.500%, 12/01/2017 |
|
$ |
970 |
|
|
$ |
1,109 |
|
| FMS Wertmanagement AoeR |
|
|
|
|
|
|
|
|
| 1.000%, 11/21/2017 |
|
|
640 |
|
|
|
634 |
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
| 8.125%, 01/15/2020 |
|
|
1,170 |
|
|
|
1,462 |
|
| 5.875%, 08/02/2021 |
|
|
230 |
|
|
|
264 |
|
| 5.750%, 02/01/2021 |
|
|
220 |
|
|
|
250 |
|
| 1.700%, 05/09/2016 |
|
|
2,000 |
|
|
|
2,017 |
|
| General Electric Capital MTN |
|
|
|
|
|
|
|
|
| 6.875%, 01/10/2039 |
|
|
360 |
|
|
|
485 |
|
| 6.375%, 11/15/2019 (A) |
|
|
3,980 |
|
|
|
4,308 |
|
| 5.875%, 01/14/2038 |
|
|
620 |
|
|
|
748 |
|
| 5.550%, 05/04/2020 |
|
|
2,975 |
|
|
|
3,404 |
|
| 4.375%, 09/16/2020 |
|
|
2,490 |
|
|
|
2,722 |
|
| 1.625%, 07/02/2015 |
|
|
410 |
|
|
|
414 |
|
| 0.714%, 08/15/2036 (A) (C) |
|
|
1,550 |
|
|
|
1,349 |
|
| 0.618%, 05/05/2026 (A) |
|
|
1,950 |
|
|
|
1,859 |
|
| Goldman Sachs Capital II |
|
|
|
|
|
|
|
|
| 4.000%, 06/01/2043 (A) |
|
|
200 |
|
|
|
152 |
|
| Goldman Sachs Group |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/2019 |
|
|
950 |
|
|
|
1,133 |
|
| 6.750%, 10/01/2037 |
|
|
238 |
|
|
|
284 |
|
| 6.250%, 02/01/2041 |
|
|
1,780 |
|
|
|
2,156 |
|
| 6.150%, 04/01/2018 |
|
|
1,780 |
|
|
|
2,007 |
|
| 6.000%, 06/15/2020 |
|
|
170 |
|
|
|
195 |
|
| 5.950%, 01/18/2018 (C) |
|
|
260 |
|
|
|
291 |
|
| 5.750%, 01/24/2022 |
|
|
110 |
|
|
|
125 |
|
| 5.375%, 03/15/2020 |
|
|
2,860 |
|
|
|
3,184 |
|
| 5.350%, 01/15/2016 |
|
|
660 |
|
|
|
697 |
|
| 5.250%, 07/27/2021 |
|
|
340 |
|
|
|
377 |
|
| 4.000%, 03/03/2024 |
|
|
490 |
|
|
|
494 |
|
| 3.850%, 07/08/2024 |
|
|
1,030 |
|
|
|
1,024 |
|
| 2.375%, 01/22/2018 (C) |
|
|
1,370 |
|
|
|
1,384 |
|
| HBOS PLC MTN |
|
|
|
|
|
|
|
|
| 6.750%, 05/21/2018 (B) |
|
|
2,100 |
|
|
|
2,375 |
|
| HCP‡ |
|
|
|
|
|
|
|
|
| 6.300%, 09/15/2016 |
|
|
1,075 |
|
|
|
1,183 |
|
| 6.000%, 01/30/2017 |
|
|
1,800 |
|
|
|
1,988 |
|
| 2.625%, 02/01/2020 |
|
|
1,000 |
|
|
|
985 |
|
| Health Care‡ |
|
|
|
|
|
|
|
|
| 6.500%, 03/15/2041 |
|
|
710 |
|
|
|
885 |
|
| 5.250%, 01/15/2022 |
|
|
900 |
|
|
|
996 |
|
| 4.950%, 01/15/2021 |
|
|
2,820 |
|
|
|
3,102 |
|
| Healthcare Trust of America Holdings‡ |
|
|
|
|
|
|
|
|
| 3.375%, 07/15/2021 |
|
|
370 |
|
|
|
368 |
|
| Highwoods Properties‡ |
|
|
|
|
|
|
|
|
| 7.500%, 04/15/2018 |
|
|
1,142 |
|
|
|
1,333 |
|
| HSBC Bank PLC |
|
|
|
|
|
|
|
|
| 4.750%, 01/19/2021 (B) |
|
|
1,760 |
|
|
|
1,952 |
|
| HSBC Holdings PLC |
|
|
|
|
|
|
|
|
| 6.800%, 06/01/2038 |
|
|
180 |
|
|
|
231 |
|
| 5.250%, 03/14/2044 |
|
|
380 |
|
|
|
403 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
95 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 4.250%, 03/14/2024 |
|
$ |
2,925 |
|
|
$ |
2,960 |
|
| 4.000%, 03/30/2022 |
|
|
330 |
|
|
|
347 |
|
| HSBC USA |
|
|
|
|
|
|
|
|
| 2.375%, 02/13/2015 |
|
|
690 |
|
|
|
695 |
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
| 2.125%, 10/02/2017 (B) |
|
|
270 |
|
|
|
273 |
|
| ILFC E-Capital Trust II |
|
|
|
|
|
|
|
|
| 6.250%, 12/21/2065 (A) (B) |
|
|
400 |
|
|
|
392 |
|
| ING Bank (B) |
|
|
|
|
|
|
|
|
| 5.800%, 09/25/2023 |
|
|
1,385 |
|
|
|
1,525 |
|
| 2.500%, 10/01/2019 |
|
|
1,230 |
|
|
|
1,222 |
|
| Inter-American Development Bank MTN |
|
|
|
|
|
|
|
|
| 4.375%, 01/24/2044 |
|
|
190 |
|
|
|
215 |
|
| 3.875%, 10/28/2041 |
|
|
512 |
|
|
|
523 |
|
| International Lease Finance |
|
|
|
|
|
|
|
|
| 7.125%, 09/01/2018 (B) (C) |
|
|
1,080 |
|
|
|
1,215 |
|
| Intesa Sanpaolo |
|
|
|
|
|
|
|
|
| 5.017%, 06/26/2024 (B) |
|
|
1,610 |
|
|
|
1,568 |
|
| 3.625%, 08/12/2015 (B) |
|
|
500 |
|
|
|
511 |
|
| 3.125%, 01/15/2016 |
|
|
390 |
|
|
|
399 |
|
| 2.375%, 01/13/2017 |
|
|
717 |
|
|
|
725 |
|
| John Deere Capital |
|
|
|
|
|
|
|
|
| 1.700%, 01/15/2020 |
|
|
160 |
|
|
|
155 |
|
| JPMorgan Chase |
|
|
|
|
|
|
|
|
| 6.000%, 01/15/2018 |
|
|
135 |
|
|
|
152 |
|
| 4.850%, 02/01/2044 (C) |
|
|
355 |
|
|
|
372 |
|
| 4.500%, 01/24/2022 |
|
|
180 |
|
|
|
193 |
|
| 4.400%, 07/22/2020 |
|
|
210 |
|
|
|
226 |
|
| 4.350%, 08/15/2021 |
|
|
215 |
|
|
|
230 |
|
| 4.250%, 10/15/2020 |
|
|
330 |
|
|
|
352 |
|
| 3.625%, 05/13/2024 |
|
|
1,940 |
|
|
|
1,927 |
|
| 3.450%, 03/01/2016 |
|
|
2,785 |
|
|
|
2,884 |
|
| 3.375%, 05/01/2023 |
|
|
650 |
|
|
|
623 |
|
| JPMorgan Chase Bank |
|
|
|
|
|
|
|
|
| 6.000%, 07/05/2017 |
|
|
2,250 |
|
|
|
2,516 |
|
| 6.000%, 10/01/2017 |
|
|
1,000 |
|
|
|
1,118 |
|
| 0.564%, 06/13/2016 (A) |
|
|
1,300 |
|
|
|
1,300 |
|
| JPMorgan Chase Capital XIII |
|
|
|
|
|
|
|
|
| 1.183%, 09/30/2034 (A) |
|
|
550 |
|
|
|
473 |
|
| JPMorgan Chase Capital XXIII |
|
|
|
|
|
|
|
|
| 1.234%, 05/15/2047 (A) |
|
|
1,900 |
|
|
|
1,539 |
|
| Landwirtschaftliche Rentenbank |
|
|
|
|
|
|
|
|
| 1.375%, 10/23/2019 |
|
|
530 |
|
|
|
516 |
|
| Lazard Group LLC |
|
|
|
|
|
|
|
|
| 6.850%, 06/15/2017 |
|
|
1,102 |
|
|
|
1,242 |
|
| 4.250%, 11/14/2020 |
|
|
560 |
|
|
|
586 |
|
| Liberty Mutual Group |
|
|
|
|
|
|
|
|
| 4.850%, 08/01/2044 (B) |
|
|
510 |
|
|
|
507 |
|
| M&T Bank |
|
|
|
|
|
|
|
|
| 6.875%, 12/29/2049 |
|
|
1,740 |
|
|
|
1,775 |
|
| Markel |
|
|
|
|
|
|
|
|
| 4.900%, 07/01/2022 |
|
|
335 |
|
|
|
365 |
|
| 3.625%, 03/30/2023 |
|
|
240 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Massachusetts Mutual Life Insurance |
|
|
|
|
|
|
|
|
| 8.875%, 06/01/2039 (B) |
|
$ |
605 |
|
|
$ |
935 |
|
| MetLife |
|
|
|
|
|
|
|
|
| 6.750%, 06/01/2016 |
|
|
375 |
|
|
|
412 |
|
| 6.400%, 12/15/2036 |
|
|
220 |
|
|
|
245 |
|
| 4.750%, 02/08/2021 |
|
|
540 |
|
|
|
597 |
|
| 2.463%, 12/15/2017 |
|
|
550 |
|
|
|
552 |
|
| 2.463%, 12/15/2044 |
|
|
130 |
|
|
|
131 |
|
| MetLife Capital Trust IV |
|
|
|
|
|
|
|
|
| 7.875%, 12/15/2037 (B) |
|
|
800 |
|
|
|
1,024 |
|
| Mid-America Apartments‡ |
|
|
|
|
|
|
|
|
| 4.300%, 10/15/2023 |
|
|
440 |
|
|
|
456 |
|
| 3.750%, 06/15/2024 |
|
|
595 |
|
|
|
587 |
|
| Mizuho Bank |
|
|
|
|
|
|
|
|
| 2.650%, 09/25/2019 (B) |
|
|
1,050 |
|
|
|
1,050 |
|
| Morgan Stanley MTN |
|
|
|
|
|
|
|
|
| 7.300%, 05/13/2019 |
|
|
545 |
|
|
|
650 |
|
| 6.625%, 04/01/2018 (C) |
|
|
1,640 |
|
|
|
1,878 |
|
| 6.000%, 04/28/2015 |
|
|
630 |
|
|
|
649 |
|
| 5.375%, 10/15/2015 |
|
|
595 |
|
|
|
623 |
|
| 4.750%, 03/22/2017 |
|
|
140 |
|
|
|
151 |
|
| 4.350%, 09/08/2026 |
|
|
670 |
|
|
|
659 |
|
| 3.875%, 04/29/2024 |
|
|
620 |
|
|
|
619 |
|
| 2.375%, 07/23/2019 |
|
|
1,120 |
|
|
|
1,102 |
|
| 0.684%, 10/18/2016 (A) |
|
|
5,965 |
|
|
|
5,981 |
|
| Murray Street Investment Trust |
|
|
|
|
|
|
|
|
| 4.647%, 03/09/2017 (D) |
|
|
1,021 |
|
|
|
1,093 |
|
| National Australia Bank Ltd. |
|
|
|
|
|
|
|
|
| 1.600%, 08/07/2015 |
|
|
450 |
|
|
|
454 |
|
| Nationwide Mutual Insurance |
|
|
|
|
|
|
|
|
| 5.810%, 12/15/2024 (A) (B) |
|
|
2,975 |
|
|
|
2,994 |
|
| Navient MTN |
|
|
|
|
|
|
|
|
| 5.625%, 08/01/2033 |
|
|
145 |
|
|
|
122 |
|
| New York Life Insurance (B) |
|
|
|
|
|
|
|
|
| 6.750%, 11/15/2039 |
|
|
415 |
|
|
|
547 |
|
| 2.100%, 01/02/2019 |
|
|
575 |
|
|
|
574 |
|
| Norddeutsche Landesbank Girozentrale |
|
|
|
|
|
|
|
|
| 2.000%, 02/05/2019 (B) |
|
|
1,400 |
|
|
|
1,395 |
|
| Nordea Bank MTN |
|
|
|
|
|
|
|
|
| 3.700%, 11/13/2014 (B) |
|
|
110 |
|
|
|
110 |
|
| Northwestern Mutual Life Insurance |
|
|
|
|
|
|
|
|
| 6.063%, 03/30/2040 (B) |
|
|
690 |
|
|
|
855 |
|
| PNC Bank |
|
|
|
|
|
|
|
|
| 2.400%, 10/18/2019 |
|
|
625 |
|
|
|
621 |
|
| 2.250%, 07/02/2019 |
|
|
545 |
|
|
|
542 |
|
| Prudential Holdings LLC |
|
|
|
|
|
|
|
|
| 8.695%, 12/18/2023 (B) |
|
|
1,244 |
|
|
|
1,573 |
|
| Royal Bank of Scotland |
|
|
|
|
|
|
|
|
| 4.650%, 06/04/2018 |
|
|
270 |
|
|
|
279 |
|
| Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
| 7.648%, 08/31/2049 (A) |
|
|
110 |
|
|
|
129 |
|
| 7.640%, 09/29/2017 (A) |
|
|
200 |
|
|
|
211 |
|
|
|
|
| 96 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.400%, 10/21/2019 |
|
$ |
280 |
|
|
$ |
326 |
|
| 6.125%, 12/15/2022 |
|
|
390 |
|
|
|
413 |
|
| 6.100%, 06/10/2023 |
|
|
550 |
|
|
|
581 |
|
| 6.000%, 12/19/2023 |
|
|
860 |
|
|
|
902 |
|
| 5.125%, 05/28/2024 |
|
|
330 |
|
|
|
324 |
|
| 2.550%, 09/18/2015 |
|
|
200 |
|
|
|
203 |
|
| Santander US Debt Unipersonal (B) |
|
|
|
|
|
|
|
|
| 3.781%, 10/07/2015 |
|
|
100 |
|
|
|
103 |
|
| 3.724%, 01/20/2015 |
|
|
800 |
|
|
|
807 |
|
| SL Green Realty‡ |
|
|
|
|
|
|
|
|
| 7.750%, 03/15/2020 |
|
|
1,000 |
|
|
|
1,189 |
|
| Standard Chartered |
|
|
|
|
|
|
|
|
| 5.700%, 03/26/2044 (B) |
|
|
1,420 |
|
|
|
1,500 |
|
| State Street |
|
|
|
|
|
|
|
|
| 4.956%, 03/15/2018 |
|
|
1,380 |
|
|
|
1,502 |
|
| Sumitomo Mitsui Banking |
|
|
|
|
|
|
|
|
| 3.150%, 07/22/2015 (B) |
|
|
570 |
|
|
|
581 |
|
| 3.100%, 01/14/2016 (B) |
|
|
200 |
|
|
|
206 |
|
| 1.350%, 07/11/2017 |
|
|
860 |
|
|
|
855 |
|
| Sumitomo Mitsui Financial Group |
|
|
|
|
|
|
|
|
| 4.436%, 04/02/2024 (B) |
|
|
495 |
|
|
|
507 |
|
| Synchrony Financial |
|
|
|
|
|
|
|
|
| 4.250%, 08/15/2024 |
|
|
515 |
|
|
|
515 |
|
| Tanger Properties‡ |
|
|
|
|
|
|
|
|
| 3.875%, 12/01/2023 |
|
|
295 |
|
|
|
298 |
|
| Teachers Insurance & Annuity Association of America (B) |
|
|
|
|
|
|
|
|
| 6.850%, 12/16/2039 |
|
|
1,300 |
|
|
|
1,675 |
|
| 4.900%, 09/15/2044 |
|
|
505 |
|
|
|
515 |
|
| Temasek Financial I MTN |
|
|
|
|
|
|
|
|
| 2.375%, 01/23/2023 (B) |
|
|
690 |
|
|
|
661 |
|
| Toronto-Dominion Bank |
|
|
|
|
|
|
|
|
| 2.250%, 09/25/2019 (B) |
|
|
1,485 |
|
|
|
1,481 |
|
| Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
| 3.400%, 09/15/2021 |
|
|
810 |
|
|
|
839 |
|
| 1.250%, 10/05/2017 |
|
|
1,150 |
|
|
|
1,143 |
|
| Ventas Realty L.P.‡ |
|
|
|
|
|
|
|
|
| 2.700%, 04/01/2020 |
|
|
1,450 |
|
|
|
1,427 |
|
| Voya Financial |
|
|
|
|
|
|
|
|
| 2.900%, 02/15/2018 |
|
|
150 |
|
|
|
154 |
|
| Wachovia Capital Trust III |
|
|
|
|
|
|
|
|
| 5.570%, 05/31/2016 (A) |
|
|
2,630 |
|
|
|
2,548 |
|
| WEA Finance (B) |
|
|
|
|
|
|
|
|
| 3.750%, 09/17/2024 |
|
|
1,180 |
|
|
|
1,177 |
|
| 2.700%, 09/17/2019 |
|
|
290 |
|
|
|
291 |
|
| Wells Fargo |
|
|
|
|
|
|
|
|
| 5.375%, 11/02/2043 |
|
|
410 |
|
|
|
448 |
|
| 4.600%, 04/01/2021 |
|
|
160 |
|
|
|
175 |
|
| 4.480%, 01/16/2024 |
|
|
2,658 |
|
|
|
2,803 |
|
| 3.676%, 06/15/2016 (D) |
|
|
680 |
|
|
|
711 |
|
| 3.450%, 02/13/2023 (C) |
|
|
430 |
|
|
|
422 |
|
| 3.000%, 01/22/2021 |
|
|
1,010 |
|
|
|
1,020 |
|
| 2.125%, 04/22/2019 |
|
|
420 |
|
|
|
415 |
|
| 1.500%, 01/16/2018 (C) |
|
|
420 |
|
|
|
418 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Wells Fargo Bank |
|
|
|
|
|
|
|
|
| 6.000%, 11/15/2017 |
|
$ |
250 |
|
|
$ |
282 |
|
| Wells Fargo Capital X |
|
|
|
|
|
|
|
|
| 5.950%, 12/15/2036 |
|
|
610 |
|
|
|
627 |
|
| Woodbourne Capital Trust III |
|
|
|
|
|
|
|
|
| 1.360%, 04/08/2049 (A) (B) |
|
|
500 |
|
|
|
280 |
|
| Woodbourne Capital Trust IV |
|
|
|
|
|
|
|
|
| 1.360%, 04/08/2049 (A) (B) |
|
|
275 |
|
|
|
154 |
|
| WR Berkley |
|
|
|
|
|
|
|
|
| 4.750%, 08/01/2044 |
|
|
315 |
|
|
|
311 |
|
| 4.625%, 03/15/2022 |
|
|
301 |
|
|
|
322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
238,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 1.5% |
|
|
|
|
|
|
|
|
| AbbVie |
|
|
|
|
|
|
|
|
| 4.400%, 11/06/2042 |
|
|
695 |
|
|
|
653 |
|
| 2.900%, 11/06/2022 |
|
|
490 |
|
|
|
468 |
|
| 1.750%, 11/06/2017 |
|
|
1,220 |
|
|
|
1,216 |
|
| Actavis Funding SCS (B) |
|
|
|
|
|
|
|
|
| 4.850%, 06/15/2044 |
|
|
185 |
|
|
|
174 |
|
| 3.850%, 06/15/2024 |
|
|
735 |
|
|
|
712 |
|
| Aetna |
|
|
|
|
|
|
|
|
| 2.200%, 03/15/2019 |
|
|
310 |
|
|
|
307 |
|
| Amgen |
|
|
|
|
|
|
|
|
| 5.650%, 06/15/2042 |
|
|
475 |
|
|
|
540 |
|
| 5.375%, 05/15/2043 |
|
|
280 |
|
|
|
305 |
|
| 5.150%, 11/15/2041 |
|
|
1,125 |
|
|
|
1,187 |
|
| 3.625%, 05/22/2024 |
|
|
750 |
|
|
|
743 |
|
| 1.250%, 05/22/2017 |
|
|
1,115 |
|
|
|
1,109 |
|
| Celgene |
|
|
|
|
|
|
|
|
| 5.250%, 08/15/2043 |
|
|
245 |
|
|
|
266 |
|
| 4.625%, 05/15/2044 (C) |
|
|
285 |
|
|
|
280 |
|
| 2.250%, 05/15/2019 |
|
|
555 |
|
|
|
553 |
|
| DaVita HealthCare Partners |
|
|
|
|
|
|
|
|
| 5.125%, 07/15/2024 (C) |
|
|
740 |
|
|
|
727 |
|
| Fresenius Medical Care US Finance |
|
|
|
|
|
|
|
|
| 5.750%, 02/15/2021 (B) |
|
|
160 |
|
|
|
169 |
|
| Fresenius Medical Care US
Finance II (B) |
|
|
|
|
|
|
|
|
| 5.875%, 01/31/2022 |
|
|
190 |
|
|
|
201 |
|
| 5.625%, 07/31/2019 |
|
|
240 |
|
|
|
253 |
|
| Gilead Sciences |
|
|
|
|
|
|
|
|
| 3.700%, 04/01/2024 |
|
|
1,555 |
|
|
|
1,588 |
|
| GlaxoSmithKline Capital |
|
|
|
|
|
|
|
|
| 5.650%, 05/15/2018 |
|
|
810 |
|
|
|
917 |
|
| HCA |
|
|
|
|
|
|
|
|
| 7.500%, 11/15/2095 |
|
|
3,800 |
|
|
|
3,572 |
|
| Humana |
|
|
|
|
|
|
|
|
| 7.200%, 06/15/2018 |
|
|
1,150 |
|
|
|
1,356 |
|
| 4.625%, 12/01/2042 |
|
|
130 |
|
|
|
127 |
|
| 3.850%, 10/01/2024 |
|
|
790 |
|
|
|
790 |
|
| 3.150%, 12/01/2022 (C) |
|
|
170 |
|
|
|
166 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
97 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| McKesson |
|
|
|
|
|
|
|
|
| 3.796%, 03/15/2024 |
|
$ |
330 |
|
|
$ |
333 |
|
| Medtronic |
|
|
|
|
|
|
|
|
| 4.450%, 03/15/2020 |
|
|
730 |
|
|
|
803 |
|
| 3.625%, 03/15/2024 |
|
|
940 |
|
|
|
959 |
|
| Mylan |
|
|
|
|
|
|
|
|
| 5.400%, 11/29/2043 |
|
|
170 |
|
|
|
180 |
|
| 2.550%, 03/28/2019 |
|
|
660 |
|
|
|
656 |
|
| Perrigo |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2023 (B) (C) |
|
|
370 |
|
|
|
377 |
|
| Roche Holdings |
|
|
|
|
|
|
|
|
| 6.000%, 03/01/2019 (B) |
|
|
329 |
|
|
|
381 |
|
| Teva Pharmaceutical Finance |
|
|
|
|
|
|
|
|
| 3.650%, 11/10/2021 |
|
|
350 |
|
|
|
356 |
|
| Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
| 5.300%, 02/01/2044 |
|
|
50 |
|
|
|
55 |
|
| 3.600%, 08/15/2021 |
|
|
620 |
|
|
|
638 |
|
| 3.200%, 03/01/2016 |
|
|
435 |
|
|
|
449 |
|
| 1.300%, 02/01/2017 |
|
|
660 |
|
|
|
658 |
|
| UnitedHealth Group |
|
|
|
|
|
|
|
|
| 6.000%, 06/15/2017 |
|
|
51 |
|
|
|
57 |
|
| 5.800%, 03/15/2036 |
|
|
280 |
|
|
|
343 |
|
| 5.700%, 10/15/2040 |
|
|
510 |
|
|
|
615 |
|
| 3.875%, 10/15/2020 |
|
|
530 |
|
|
|
567 |
|
| WellPoint |
|
|
|
|
|
|
|
|
| 5.875%, 06/15/2017 |
|
|
1,155 |
|
|
|
1,284 |
|
| 5.100%, 01/15/2044 |
|
|
205 |
|
|
|
218 |
|
| 3.500%, 08/15/2024 |
|
|
370 |
|
|
|
361 |
|
| 3.125%, 05/15/2022 |
|
|
690 |
|
|
|
682 |
|
| 1.250%, 09/10/2015 |
|
|
240 |
|
|
|
241 |
|
| Wyeth LLC |
|
|
|
|
|
|
|
|
| 5.950%, 04/01/2037 |
|
|
960 |
|
|
|
1,177 |
|
| Zoetis |
|
|
|
|
|
|
|
|
| 3.250%, 02/01/2023 |
|
|
150 |
|
|
|
147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 1.3% |
|
|
|
|
|
|
|
|
| ABB Finance USA |
|
|
|
|
|
|
|
|
| 4.375%, 05/08/2042 |
|
|
80 |
|
|
|
82 |
|
| AerCap Ireland Capital |
|
|
|
|
|
|
|
|
| 3.750%, 05/15/2019 (B) |
|
|
520 |
|
|
|
504 |
|
| American Airlines Pass-Through Trust, Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 4.950%, 01/15/2023 |
|
|
2,360 |
|
|
|
2,522 |
|
| BAE Systems |
|
|
|
|
|
|
|
|
| 4.750%, 10/11/2021 (B) |
|
|
1,350 |
|
|
|
1,490 |
|
| Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
| 4.550%, 09/01/2044 |
|
|
280 |
|
|
|
280 |
|
| Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
| 2.750%, 08/20/2021 |
|
|
620 |
|
|
|
615 |
|
| Catholic Health Initiatives |
|
|
|
|
|
|
|
|
| 4.350%, 11/01/2042 |
|
|
80 |
|
|
|
78 |
|
| 2.950%, 11/01/2022 |
|
|
800 |
|
|
|
777 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Continental Airlines Pass-Through Trust,
Ser 1999-2, Cl C-2 |
|
|
|
|
|
|
|
|
| 7.256%, 03/15/2020 |
|
$ |
2,096 |
|
|
$ |
2,374 |
|
| Continental Airlines Pass-Through Trust,
Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 5.983%, 04/19/2022 |
|
|
1,433 |
|
|
|
1,590 |
|
| Continental Airlines Pass-Through Trust,
Ser 2009-1 |
|
|
|
|
|
|
|
|
| 9.000%, 07/08/2016 |
|
|
2,239 |
|
|
|
2,463 |
|
| Delta Air Lines Pass-Through Trust,
Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 6.821%, 08/10/2022 |
|
|
1,195 |
|
|
|
1,393 |
|
| Eaton |
|
|
|
|
|
|
|
|
| 4.150%, 11/02/2042 |
|
|
440 |
|
|
|
419 |
|
| 2.750%, 11/02/2022 |
|
|
950 |
|
|
|
915 |
|
| 1.500%, 11/02/2017 |
|
|
270 |
|
|
|
269 |
|
| Florida East Coast Holdings |
|
|
|
|
|
|
|
|
| 6.750%, 05/01/2019 (B) |
|
|
460 |
|
|
|
469 |
|
| General Electric |
|
|
|
|
|
|
|
|
| 4.500%, 03/11/2044 |
|
|
220 |
|
|
|
228 |
|
| General Electric Capital |
|
|
|
|
|
|
|
|
| 0.850%, 10/09/2015 |
|
|
460 |
|
|
|
462 |
|
| JetBlue Airways Pass-Through Trust,
Ser 2004-2, Cl G1 |
|
|
|
|
|
|
|
|
| 0.609%, 08/15/2016 (A) |
|
|
1,344 |
|
|
|
1,334 |
|
| L-3 Communications |
|
|
|
|
|
|
|
|
| 3.950%, 05/28/2024 |
|
|
445 |
|
|
|
442 |
|
| Lockheed Martin |
|
|
|
|
|
|
|
|
| 3.350%, 09/15/2021 |
|
|
1,035 |
|
|
|
1,065 |
|
| Northrop Grumman |
|
|
|
|
|
|
|
|
| 4.750%, 06/01/2043 |
|
|
555 |
|
|
|
570 |
|
| 3.250%, 08/01/2023 |
|
|
3,240 |
|
|
|
3,204 |
|
| Penske Truck Leasing L.P. |
|
|
|
|
|
|
|
|
| 2.500%, 06/15/2019 (B) |
|
|
720 |
|
|
|
716 |
|
| Raytheon |
|
|
|
|
|
|
|
|
| 3.125%, 10/15/2020 |
|
|
430 |
|
|
|
441 |
|
| Union Pacific |
|
|
|
|
|
|
|
|
| 3.250%, 01/15/2025 |
|
|
435 |
|
|
|
432 |
|
| United Air Lines Pass-Through Trust, Ser 2009-2A |
|
|
|
|
|
|
|
|
| 9.750%, 01/15/2017 |
|
|
130 |
|
|
|
146 |
|
| United Technologies |
|
|
|
|
|
|
|
|
| 4.500%, 06/01/2042 |
|
|
540 |
|
|
|
565 |
|
| US Airways Pass-Through Trust,
Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
| 4.625%, 06/03/2025 |
|
|
956 |
|
|
|
999 |
|
| Valmont Industries |
|
|
|
|
|
|
|
|
| 5.250%, 10/01/2054 |
|
|
295 |
|
|
|
288 |
|
| Waste Management |
|
|
|
|
|
|
|
|
| 7.375%, 05/15/2029 |
|
|
330 |
|
|
|
437 |
|
| 3.500%, 05/15/2024 |
|
|
310 |
|
|
|
309 |
|
| West |
|
|
|
|
|
|
|
|
| 5.375%, 07/15/2022 (B) |
|
|
430 |
|
|
|
397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 98 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.6% |
|
|
|
|
|
|
|
|
| Activision Blizzard |
|
|
|
|
|
|
|
|
| 5.625%, 09/15/2021 (B) |
|
$ |
300 |
|
|
$ |
312 |
|
| Apple |
|
|
|
|
|
|
|
|
| 4.450%, 05/06/2044 |
|
|
400 |
|
|
|
408 |
|
| 3.450%, 05/06/2024 |
|
|
750 |
|
|
|
757 |
|
| 2.850%, 05/06/2021 |
|
|
3,340 |
|
|
|
3,347 |
|
| Broadcom MTN |
|
|
|
|
|
|
|
|
| 4.500%, 08/01/2034 |
|
|
120 |
|
|
|
122 |
|
| Cisco Systems |
|
|
|
|
|
|
|
|
| 2.125%, 03/01/2019 |
|
|
575 |
|
|
|
575 |
|
| Google |
|
|
|
|
|
|
|
|
| 3.375%, 02/25/2024 |
|
|
320 |
|
|
|
327 |
|
| MasterCard |
|
|
|
|
|
|
|
|
| 3.375%, 04/01/2024 |
|
|
755 |
|
|
|
759 |
|
| National Semiconductor |
|
|
|
|
|
|
|
|
| 6.600%, 06/15/2017 |
|
|
170 |
|
|
|
194 |
|
| Oracle |
|
|
|
|
|
|
|
|
| 4.500%, 07/08/2044 |
|
|
295 |
|
|
|
299 |
|
| 4.300%, 07/08/2034 |
|
|
730 |
|
|
|
735 |
|
| 3.400%, 07/08/2024 |
|
|
695 |
|
|
|
693 |
|
| 2.250%, 10/08/2019 |
|
|
1,420 |
|
|
|
1,414 |
|
| 1.200%, 10/15/2017 |
|
|
1,050 |
|
|
|
1,042 |
|
| Tencent Holdings MTN |
|
|
|
|
|
|
|
|
| 3.375%, 05/02/2019 (B) |
|
|
545 |
|
|
|
551 |
|
| Texas Instruments |
|
|
|
|
|
|
|
|
| 2.750%, 03/12/2021 |
|
|
470 |
|
|
|
473 |
|
| TSMC Global |
|
|
|
|
|
|
|
|
| 1.625%, 04/03/2018 (B) |
|
|
875 |
|
|
|
864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,872 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 1.2% |
|
|
|
|
|
|
|
|
| Alcoa |
|
|
|
|
|
|
|
|
| 5.125%, 10/01/2024 |
|
|
400 |
|
|
|
400 |
|
| Ardagh Packaging Finance |
|
|
|
|
|
|
|
|
| 3.234%, 12/15/2019 (A) (B) |
|
|
640 |
|
|
|
619 |
|
| Barrick Gold |
|
|
|
|
|
|
|
|
| 4.100%, 05/01/2023 |
|
|
1,500 |
|
|
|
1,441 |
|
| 3.850%, 04/01/2022 |
|
|
270 |
|
|
|
260 |
|
| Barrick North America Finance |
|
|
|
|
|
|
|
|
| 4.400%, 05/30/2021 |
|
|
1,260 |
|
|
|
1,276 |
|
| BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
| 5.000%, 09/30/2043 |
|
|
745 |
|
|
|
817 |
|
| 3.850%, 09/30/2023 |
|
|
400 |
|
|
|
416 |
|
| 3.250%, 11/21/2021 |
|
|
1,400 |
|
|
|
1,429 |
|
| Celulosa Arauco y Constitucion |
|
|
|
|
|
|
|
|
| 4.750%, 01/11/2022 |
|
|
520 |
|
|
|
526 |
|
| Cliffs Natural Resources (C) |
|
|
|
|
|
|
|
|
| 4.800%, 10/01/2020 |
|
|
290 |
|
|
|
225 |
|
| 3.950%, 01/15/2018 |
|
|
850 |
|
|
|
731 |
|
| CodelCo |
|
|
|
|
|
|
|
|
| 4.750%, 10/15/2014 (B) |
|
|
470 |
|
|
|
470 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Dow Chemical |
|
|
|
|
|
|
|
|
| 3.000%, 11/15/2022 |
|
$ |
1,265 |
|
|
$ |
1,220 |
|
| Eagle Spinco |
|
|
|
|
|
|
|
|
| 4.625%, 02/15/2021 |
|
|
160 |
|
|
|
154 |
|
| Ecolab |
|
|
|
|
|
|
|
|
| 4.350%, 12/08/2021 |
|
|
220 |
|
|
|
238 |
|
| FMG Resources August 2006 Pty |
|
|
|
|
|
|
|
|
| 6.875%, 04/01/2022 (B) (C) |
|
|
170 |
|
|
|
173 |
|
| FMG Resources Property |
|
|
|
|
|
|
|
|
| 8.250%, 11/01/2019 (B) (C) |
|
|
140 |
|
|
|
145 |
|
| Freeport-McMoRan Copper |
|
|
|
|
|
|
|
|
| 3.550%, 03/01/2022 |
|
|
290 |
|
|
|
283 |
|
| 3.100%, 03/15/2020 |
|
|
530 |
|
|
|
526 |
|
| 2.375%, 03/15/2018 |
|
|
20 |
|
|
|
20 |
|
| Glencore Finance Canada (B) |
|
|
|
|
|
|
|
|
| 2.700%, 10/25/2017 |
|
|
810 |
|
|
|
824 |
|
| 2.050%, 10/23/2015 |
|
|
1,293 |
|
|
|
1,307 |
|
| Hexion US Finance |
|
|
|
|
|
|
|
|
| 6.625%, 04/15/2020 |
|
|
360 |
|
|
|
362 |
|
| LYB International Finance BV |
|
|
|
|
|
|
|
|
| 4.875%, 03/15/2044 |
|
|
345 |
|
|
|
352 |
|
| LyondellBasell Industries |
|
|
|
|
|
|
|
|
| 5.750%, 04/15/2024 |
|
|
200 |
|
|
|
232 |
|
| Mosaic |
|
|
|
|
|
|
|
|
| 5.625%, 11/15/2043 |
|
|
210 |
|
|
|
234 |
|
| 5.450%, 11/15/2033 (C) |
|
|
165 |
|
|
|
183 |
|
| Nucor |
|
|
|
|
|
|
|
|
| 4.000%, 08/01/2023 |
|
|
270 |
|
|
|
277 |
|
| Plains Exploration & Production |
|
|
|
|
|
|
|
|
| 6.875%, 02/15/2023 |
|
|
145 |
|
|
|
165 |
|
| 6.500%, 11/15/2020 |
|
|
104 |
|
|
|
114 |
|
| Potash Corp of Saskatchewan |
|
|
|
|
|
|
|
|
| 4.875%, 03/30/2020 (C) |
|
|
280 |
|
|
|
311 |
|
| Rio Tinto Finance USA Ltd. |
|
|
|
|
|
|
|
|
| 9.000%, 05/01/2019 |
|
|
700 |
|
|
|
896 |
|
| 6.500%, 07/15/2018 |
|
|
810 |
|
|
|
938 |
|
| Rio Tinto Finance USA PLC |
|
|
|
|
|
|
|
|
| 2.875%, 08/21/2022 |
|
|
160 |
|
|
|
154 |
|
| 2.250%, 12/14/2018 |
|
|
200 |
|
|
|
201 |
|
| Rock-Tenn |
|
|
|
|
|
|
|
|
| 4.000%, 03/01/2023 |
|
|
70 |
|
|
|
71 |
|
| 3.500%, 03/01/2020 |
|
|
320 |
|
|
|
325 |
|
| Southern Copper |
|
|
|
|
|
|
|
|
| 5.250%, 11/08/2042 (C) |
|
|
1,550 |
|
|
|
1,464 |
|
| Steel Dynamics |
|
|
|
|
|
|
|
|
| 6.375%, 08/15/2022 |
|
|
510 |
|
|
|
539 |
|
| Vale Overseas |
|
|
|
|
|
|
|
|
| 8.250%, 01/17/2034 |
|
|
140 |
|
|
|
175 |
|
| 6.875%, 11/21/2036 |
|
|
1,510 |
|
|
|
1,703 |
|
| 4.375%, 01/11/2022 |
|
|
1,789 |
|
|
|
1,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
99 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 1.4% |
|
|
|
|
|
| America Movil |
|
|
|
|
|
|
|
|
| 5.625%, 11/15/2017 |
|
$ |
440 |
|
|
$ |
490 |
|
| 5.000%, 03/30/2020 |
|
|
750 |
|
|
|
821 |
|
| 3.125%, 07/16/2022 |
|
|
930 |
|
|
|
903 |
|
| AT&T |
|
|
|
|
|
|
|
|
| 6.500%, 09/01/2037 |
|
|
765 |
|
|
|
929 |
|
| 6.450%, 06/15/2034 |
|
|
625 |
|
|
|
758 |
|
| 5.550%, 08/15/2041 |
|
|
20 |
|
|
|
22 |
|
| 4.800%, 06/15/2044 |
|
|
400 |
|
|
|
394 |
|
| 4.350%, 06/15/2045 |
|
|
845 |
|
|
|
777 |
|
| 4.300%, 12/15/2042 (C) |
|
|
265 |
|
|
|
242 |
|
| 3.900%, 03/11/2024 (C) |
|
|
490 |
|
|
|
498 |
|
| 3.875%, 08/15/2021 |
|
|
540 |
|
|
|
566 |
|
| 3.000%, 02/15/2022 |
|
|
470 |
|
|
|
465 |
|
| Bharti Airtel International Netherlands BV |
|
|
|
|
|
|
|
|
| 5.350%, 05/20/2024 (B) |
|
|
295 |
|
|
|
314 |
|
| CenturyLink |
|
|
|
|
|
|
|
|
| 5.625%, 04/01/2020 |
|
|
240 |
|
|
|
248 |
|
| Deutsche Telekom International Finance |
|
|
|
|
|
|
|
|
| 2.250%, 03/06/2017 (B) |
|
|
905 |
|
|
|
921 |
|
| Intelsat Jackson Holdings |
|
|
|
|
|
|
|
|
| 7.500%, 04/01/2021 |
|
|
380 |
|
|
|
406 |
|
| Rogers Communications |
|
|
|
|
|
|
|
|
| 6.750%, 03/15/2015 |
|
|
1,015 |
|
|
|
1,044 |
|
| Sprint |
|
|
|
|
|
|
|
|
| 7.875%, 09/15/2023 (B) |
|
|
520 |
|
|
|
551 |
|
| Sprint Capital |
|
|
|
|
|
|
|
|
| 8.750%, 03/15/2032 |
|
|
910 |
|
|
|
993 |
|
| Telecom Italia Capital |
|
|
|
|
|
|
|
|
| 7.175%, 06/18/2019 |
|
|
40 |
|
|
|
45 |
|
| Telefonica Chile |
|
|
|
|
|
|
|
|
| 3.875%, 10/12/2022 (B) |
|
|
445 |
|
|
|
438 |
|
| Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
| 6.221%, 07/03/2017 |
|
|
100 |
|
|
|
111 |
|
| 5.877%, 07/15/2019 |
|
|
90 |
|
|
|
103 |
|
| 5.134%, 04/27/2020 |
|
|
300 |
|
|
|
330 |
|
| Verizon Communications |
|
|
|
|
|
|
|
|
| 6.550%, 09/15/2043 |
|
|
1,463 |
|
|
|
1,828 |
|
| 6.400%, 09/15/2033 |
|
|
2,525 |
|
|
|
3,076 |
|
| 5.150%, 09/15/2023 |
|
|
3,600 |
|
|
|
3,987 |
|
| 5.050%, 03/15/2034 |
|
|
510 |
|
|
|
540 |
|
| 4.862%, 08/21/2046 (B) (C) |
|
|
3,026 |
|
|
|
3,036 |
|
| 4.150%, 03/15/2024 (C) |
|
|
340 |
|
|
|
351 |
|
| 3.850%, 11/01/2042 |
|
|
130 |
|
|
|
114 |
|
| 3.450%, 03/15/2021 |
|
|
980 |
|
|
|
995 |
|
| 1.350%, 06/09/2017 |
|
|
1,480 |
|
|
|
1,472 |
|
| Vodafone Group PLC |
|
|
|
|
|
|
|
|
| 2.950%, 02/19/2023 |
|
|
905 |
|
|
|
853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 1.9% |
|
|
|
|
|
|
|
|
| AES |
|
|
|
|
|
|
|
|
| 7.375%, 07/01/2021 |
|
$ |
40 |
|
|
$ |
45 |
|
| 4.875%, 05/15/2023 |
|
|
920 |
|
|
|
874 |
|
| Alabama Power |
|
|
|
|
|
|
|
|
| 4.150%, 08/15/2044 |
|
|
195 |
|
|
|
194 |
|
| Ameren Illinois |
|
|
|
|
|
|
|
|
| 4.300%, 07/01/2044 |
|
|
200 |
|
|
|
202 |
|
| American Electric Power |
|
|
|
|
|
|
|
|
| 1.650%, 12/15/2017 |
|
|
705 |
|
|
|
705 |
|
| American Transmission Systems |
|
|
|
|
|
|
|
|
| 5.000%, 09/01/2044 (B) |
|
|
300 |
|
|
|
302 |
|
| Berkshire Hathaway Energy |
|
|
|
|
|
|
|
|
| 6.500%, 09/15/2037 |
|
|
1,160 |
|
|
|
1,500 |
|
| 5.150%, 11/15/2043 |
|
|
200 |
|
|
|
222 |
|
| Connecticut Light & Power |
|
|
|
|
|
|
|
|
| 4.300%, 04/15/2044 |
|
|
240 |
|
|
|
246 |
|
| Consolidated Edison of New York |
|
|
|
|
|
|
|
|
| 4.450%, 03/15/2044 |
|
|
900 |
|
|
|
915 |
|
| Consumers Energy |
|
|
|
|
|
|
|
|
| 4.350%, 08/31/2064 |
|
|
210 |
|
|
|
209 |
|
| Dominion Resources |
|
|
|
|
|
|
|
|
| 8.875%, 01/15/2019 |
|
|
600 |
|
|
|
755 |
|
| 5.750%, 10/01/2054 (A) |
|
|
265 |
|
|
|
268 |
|
| 1.950%, 08/15/2016 |
|
|
265 |
|
|
|
269 |
|
| Duke Energy |
|
|
|
|
|
|
|
|
| 3.750%, 04/15/2024 |
|
|
535 |
|
|
|
548 |
|
| Duke Energy Florida |
|
|
|
|
|
|
|
|
| 3.850%, 11/15/2042 |
|
|
165 |
|
|
|
157 |
|
| Duke Energy Ohio |
|
|
|
|
|
|
|
|
| 3.800%, 09/01/2023 |
|
|
285 |
|
|
|
298 |
|
| Duquesne Light Holdings |
|
|
|
|
|
|
|
|
| 6.400%, 09/15/2020 (B) |
|
|
700 |
|
|
|
818 |
|
| Electricite de France |
|
|
|
|
|
|
|
|
| 6.000%, 01/22/2114 (B) |
|
|
440 |
|
|
|
499 |
|
| Exelon |
|
|
|
|
|
|
|
|
| 5.625%, 06/15/2035 |
|
|
880 |
|
|
|
989 |
|
| FirstEnergy |
|
|
|
|
|
|
|
|
| 2.750%, 03/15/2018 |
|
|
280 |
|
|
|
281 |
|
| FirstEnergy, Ser C |
|
|
|
|
|
|
|
|
| 7.375%, 11/15/2031 |
|
|
2,965 |
|
|
|
3,505 |
|
| Florida Gas Transmission LLC |
|
|
|
|
|
|
|
|
| 3.875%, 07/15/2022 (B) |
|
|
1,000 |
|
|
|
1,014 |
|
| IPALCO Enterprises |
|
|
|
|
|
|
|
|
| 7.250%, 04/01/2016 (B) |
|
|
1,340 |
|
|
|
1,430 |
|
| 5.000%, 05/01/2018 |
|
|
1,200 |
|
|
|
1,265 |
|
| KCP&L Greater Missouri Operations |
|
|
|
|
|
|
|
|
| 8.270%, 11/15/2021 |
|
|
2,700 |
|
|
|
3,380 |
|
| Metropolitan Edison |
|
|
|
|
|
|
|
|
| 3.500%, 03/15/2023 (B) |
|
|
2,425 |
|
|
|
2,408 |
|
| Niagara Mohawk Power |
|
|
|
|
|
|
|
|
| 4.278%, 10/01/2034 (B) |
|
|
345 |
|
|
|
347 |
|
|
|
|
| 100 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| NiSource Finance |
|
|
|
|
|
|
|
|
| 6.800%, 01/15/2019 |
|
$ |
2,261 |
|
|
$ |
2,659 |
|
| Oncor Electric Delivery LLC |
|
|
|
|
|
|
|
|
| 6.800%, 09/01/2018 |
|
|
1,075 |
|
|
|
1,260 |
|
| 4.550%, 12/01/2041 |
|
|
690 |
|
|
|
741 |
|
| Pacific Gas & Electric |
|
|
|
|
|
|
|
|
| 8.250%, 10/15/2018 |
|
|
280 |
|
|
|
344 |
|
| 6.050%, 03/01/2034 (C) |
|
|
130 |
|
|
|
160 |
|
| 5.800%, 03/01/2037 |
|
|
710 |
|
|
|
852 |
|
| 4.450%, 04/15/2042 |
|
|
700 |
|
|
|
700 |
|
| 3.250%, 06/15/2023 |
|
|
270 |
|
|
|
267 |
|
| PacifiCorp |
|
|
|
|
|
|
|
|
| 3.600%, 04/01/2024 |
|
|
625 |
|
|
|
642 |
|
| PECO Energy |
|
|
|
|
|
|
|
|
| 4.150%, 10/01/2044 |
|
|
625 |
|
|
|
626 |
|
| Potomac Electric Power |
|
|
|
|
|
|
|
|
| 3.600%, 03/15/2024 |
|
|
285 |
|
|
|
293 |
|
| PPL Capital Funding |
|
|
|
|
|
|
|
|
| 3.950%, 03/15/2024 |
|
|
300 |
|
|
|
308 |
|
| PSEG Power LLC |
|
|
|
|
|
|
|
|
| 2.750%, 09/15/2016 |
|
|
320 |
|
|
|
331 |
|
| Public Service Electric & Gas MTN |
|
|
|
|
|
|
|
|
| 4.000%, 06/01/2044 |
|
|
655 |
|
|
|
642 |
|
| Public Service of Colorado |
|
|
|
|
|
|
|
|
| 4.300%, 03/15/2044 |
|
|
175 |
|
|
|
179 |
|
| Public Service of New Hampshire |
|
|
|
|
|
|
|
|
| 3.500%, 11/01/2023 |
|
|
310 |
|
|
|
320 |
|
| Public Service of New Mexico |
|
|
|
|
|
|
|
|
| 7.950%, 05/15/2018 |
|
|
1,265 |
|
|
|
1,509 |
|
| Puget Energy |
|
|
|
|
|
|
|
|
| 6.000%, 09/01/2021 |
|
|
760 |
|
|
|
884 |
|
| PVNGS II Funding |
|
|
|
|
|
|
|
|
| 8.000%, 12/30/2015 |
|
|
571 |
|
|
|
586 |
|
| Southern |
|
|
|
|
|
|
|
|
| 2.150%, 09/01/2019 |
|
|
615 |
|
|
|
609 |
|
| Southwestern Electric Power |
|
|
|
|
|
|
|
|
| 3.550%, 02/15/2022 |
|
|
225 |
|
|
|
230 |
|
| Texas-New Mexico Power |
|
|
|
|
|
|
|
|
| 6.950%, 04/01/2043 (B) |
|
|
880 |
|
|
|
1,179 |
|
| Virginia Electric and Power |
|
|
|
|
|
|
|
|
| 4.650%, 08/15/2043 |
|
|
405 |
|
|
|
435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,401 |
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $514,025) ($ Thousands) |
|
|
|
544,476 |
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 10.5% |
|
|
| Automotive — 1.0% |
|
| Ally Auto Receivables Trust,
Ser 2010-5, Cl A4 |
|
|
|
|
|
|
|
|
| 1.750%, 03/15/2016 |
|
|
313 |
|
|
|
313 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ally Auto Receivables Trust,
Ser 2011-1, Cl A4 |
|
|
|
|
|
|
|
|
| 2.230%, 03/15/2016 |
|
$ |
358 |
|
|
$ |
358 |
|
| Ally Auto Receivables Trust,
Ser 2011-5, Cl A4 |
|
|
|
|
|
|
|
|
| 1.320%, 07/15/2016 |
|
|
315 |
|
|
|
316 |
|
| Ally Auto Receivables Trust,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.930%, 02/16/2016 |
|
|
42 |
|
|
|
42 |
|
| Ally Auto Receivables Trust,
Ser 2012-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.740%, 04/15/2016 |
|
|
495 |
|
|
|
495 |
|
| Ally Auto Receivables Trust,
Ser 2013-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.840%, 02/15/2018 |
|
|
425 |
|
|
|
424 |
|
| Ally Auto Receivables Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.600%, 02/15/2017 |
|
|
1,050 |
|
|
|
1,050 |
|
| Ally Auto Receivables Trust,
Ser 2014-1, Cl A4 |
|
|
|
|
|
|
|
|
| 1.550%, 04/15/2019 |
|
|
3,031 |
|
|
|
3,021 |
|
| Ally Auto Receivables Trust,
Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.840%, 01/15/2020 |
|
|
323 |
|
|
|
323 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.530%, 11/08/2016 |
|
|
73 |
|
|
|
73 |
|
| Avis Budget Rental Car Funding AESOP LLC,
Ser 2012-3A, Cl A |
|
|
|
|
|
|
|
|
| 2.100%, 03/20/2019 (B) |
|
|
600 |
|
|
|
603 |
|
| Avis Budget Rental Car Funding AESOP LLC,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.920%, 09/20/2019 (B) |
|
|
1,405 |
|
|
|
1,393 |
|
| Avis Budget Rental Car Funding AESOP LLC,
Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 2.970%, 02/20/2020 (B) |
|
|
350 |
|
|
|
357 |
|
| California Republic Auto Receivables Trust,
Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.570%, 12/16/2019 |
|
|
281 |
|
|
|
279 |
|
| California Republic Auto Receivables Trust,
Ser 2014-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.790%, 03/16/2020 |
|
|
281 |
|
|
|
281 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.790%, 06/20/2017 |
|
|
1,500 |
|
|
|
1,502 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.920%, 09/20/2016 |
|
|
806 |
|
|
|
807 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
101 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.560%, 07/20/2018 |
|
$ |
429 |
|
|
$ |
432 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.310%, 10/20/2016 |
|
|
9 |
|
|
|
9 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.680%, 04/20/2018 |
|
|
264 |
|
|
|
267 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A3 |
|
|
|
|
|
|
|
|
| 1.090%, 03/20/2018 |
|
|
666 |
|
|
|
667 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 |
|
|
|
|
|
|
|
|
| 1.470%, 07/20/2018 |
|
|
906 |
|
|
|
908 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
| 1.320%, 06/20/2018 |
|
|
605 |
|
|
|
606 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 |
|
|
|
|
|
|
|
|
| 1.690%, 10/22/2018 |
|
|
525 |
|
|
|
526 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A1 |
|
|
|
|
|
|
|
|
| 0.456%, 06/20/2016 (A) |
|
|
1,048 |
|
|
|
1,048 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.260%, 05/21/2018 |
|
|
933 |
|
|
|
932 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.620%, 10/22/2018 |
|
|
266 |
|
|
|
266 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.491%, 11/20/2018 |
|
|
1,188 |
|
|
|
1,188 |
|
| Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.837%, 04/22/2019 |
|
|
243 |
|
|
|
243 |
|
| Chrysler Capital Auto Receivables Trust,
Ser 2014-BA, Cl A3 |
|
|
|
|
|
|
|
|
| 1.270%, 05/15/2019 (B) |
|
|
301 |
|
|
|
301 |
|
| Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.110%, 09/15/2016 |
|
|
34 |
|
|
|
34 |
|
| Hyundai Auto Receivables Trust, Ser 2011-C, Cl A4 |
|
|
|
|
|
|
|
|
| 1.300%, 02/15/2018 |
|
|
485 |
|
|
|
488 |
|
| MMCA Automobile Trust,
Ser 2011-A, Cl A4 |
|
|
|
|
|
|
|
|
| 2.020%, 10/17/2016 (B) |
|
|
80 |
|
|
|
80 |
|
| Nissan Auto Receivables Owner Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.420%, 11/15/2016 |
|
|
297 |
|
|
|
297 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Santander Drive Auto Receivables Trust,
Ser 2012-5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.830%, 12/15/2016 |
|
$ |
90 |
|
|
$ |
90 |
|
| Santander Drive Auto Receivables Trust,
Ser 2012-6, Cl A3 |
|
|
|
|
|
|
|
|
| 0.620%, 07/15/2016 |
|
|
7 |
|
|
|
7 |
|
| Santander Drive Auto Receivables Trust,
Ser 2013-3, Cl A2 |
|
|
|
|
|
|
|
|
| 0.550%, 09/15/2016 |
|
|
235 |
|
|
|
235 |
|
| Toyota Auto Receivables Owner Trust, Ser 2014-B, Cl A2 |
|
|
|
|
|
|
|
|
| 0.400%, 12/15/2016 |
|
|
330 |
|
|
|
330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Cards — 1.2% |
|
|
|
|
|
|
|
|
| American Express Credit Account Master Trust,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 0.574%, 05/17/2021 (A) |
|
|
533 |
|
|
|
534 |
|
| American Express Credit Account Secured Note Trust,
Ser 2012-4, Cl A |
|
|
|
|
|
|
|
|
| 0.394%, 05/15/2020 (A) |
|
|
2,573 |
|
|
|
2,567 |
|
| American Express Issuance Trust II, Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 0.584%, 08/15/2019 (A) |
|
|
1,166 |
|
|
|
1,169 |
|
| BA Credit Card Trust,
Ser 2007-A4, Cl A4 |
|
|
|
|
|
|
|
|
| 0.194%, 11/15/2019 (A) |
|
|
819 |
|
|
|
814 |
|
| BA Credit Card Trust,
Ser 2014-A2, Cl A |
|
|
|
|
|
|
|
|
| 0.424%, 09/16/2019 (A) |
|
|
1,503 |
|
|
|
1,504 |
|
| BA Credit Card Trust,
Ser 2014-A3, Cl A |
|
|
|
|
|
|
|
|
| 0.443%, 01/15/2020 (A) |
|
|
2,083 |
|
|
|
2,083 |
|
| Capital One Multi-Asset Execution Trust,
Ser 2013-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.630%, 11/15/2018 |
|
|
455 |
|
|
|
455 |
|
| Chase Issuance Trust,
Ser 2012-A2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.424%, 05/15/2019 (A) |
|
|
1,330 |
|
|
|
1,333 |
|
| Chase Issuance Trust,
Ser 2012-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.590%, 08/15/2017 |
|
|
500 |
|
|
|
500 |
|
| Chase Issuance Trust,
Ser 2012-A8, Cl A8 |
|
|
|
|
|
|
|
|
| 0.540%, 10/16/2017 |
|
|
352 |
|
|
|
352 |
|
| Chase Issuance Trust,
Ser 2013-A7, Cl A |
|
|
|
|
|
|
|
|
| 0.584%, 09/15/2020 (A) |
|
|
1,008 |
|
|
|
1,012 |
|
|
|
|
| 102 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Chase Issuance Trust,
Ser 2013-A9, Cl A |
|
|
|
|
|
|
|
|
| 0.574%, 11/16/2020 (A) |
|
$ |
1,717 |
|
|
$ |
1,721 |
|
| Chase Issuance Trust,
Ser 2014-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.524%, 04/15/2021 (A) |
|
|
362 |
|
|
|
362 |
|
| Chase Issuance Trust,
Ser 2014-A6, Cl A6 |
|
|
|
|
|
|
|
|
| 1.260%, 07/15/2019 |
|
|
325 |
|
|
|
325 |
|
| Citibank Credit Card Issuance Trust, Ser 2012-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.550%, 10/10/2017 |
|
|
298 |
|
|
|
298 |
|
| Citibank Credit Card Issuance Trust, Ser 2013-A7, Cl A7 |
|
|
|
|
|
|
|
|
| 0.584%, 09/10/2020 (A) |
|
|
2,442 |
|
|
|
2,451 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.020%, 02/22/2019 |
|
|
506 |
|
|
|
504 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.353%, 05/09/2018 (A) |
|
|
1,411 |
|
|
|
1,411 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A6, Cl A6 |
|
|
|
|
|
|
|
|
| 2.150%, 07/15/2021 |
|
|
2,251 |
|
|
|
2,250 |
|
| Citibank Credit Card Issuance Trust, Ser 2014-A8, Cl A8 |
|
|
|
|
|
|
|
|
| 1.730%, 04/09/2020 |
|
|
553 |
|
|
|
553 |
|
| Discover Card Execution Note Trust, Ser 2013-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 1.040%, 04/15/2019 |
|
|
200 |
|
|
|
200 |
|
| Discover Card Execution Note Trust, Ser 2014-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.584%, 07/15/2021 (A) |
|
|
1,096 |
|
|
|
1,098 |
|
| MBNA Credit Card Master Note Trust, Ser 2004-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.414%, 08/16/2021 (A) |
|
|
1,283 |
|
|
|
1,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,772 |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Related Securities — 1.5% |
|
| AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 |
|
|
|
|
|
|
|
|
| 0.825%, 04/25/2028 (A) |
|
|
14 |
|
|
|
13 |
|
| AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A |
|
|
|
|
|
|
|
|
| 0.795%, 03/25/2030 (A) |
|
|
2,152 |
|
|
|
1,411 |
|
| Bear Stearns Asset-Backed Securities Trust,
Ser 2005-SD1, Cl 1A3 |
|
|
|
|
|
|
|
|
| 0.555%, 08/25/2043 (A) |
|
|
1,234 |
|
|
|
1,217 |
|
| Centex Home Equity,
Ser 2006-A, Cl AV4 |
|
|
|
|
|
|
|
|
| 0.405%, 06/25/2036 (A) |
|
|
4,917 |
|
|
|
4,413 |
|
| Citigroup Mortgage Loan Trust,
Ser 2006-HE2, Cl A2D |
|
|
|
|
|
|
|
|
| 0.395%, 08/25/2036 (A) |
|
|
4,200 |
|
|
|
3,469 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 |
|
|
|
|
|
|
|
|
| 7.090%, 04/15/2028 |
|
$ |
— |
|
|
$ |
— |
|
| EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 |
|
|
|
|
|
|
|
|
| 1.095%, 05/25/2039 (A) (B) |
|
|
656 |
|
|
|
626 |
|
| Home Loan Trust,
Ser 2000-HI1, Cl AI7 |
|
|
|
|
|
|
|
|
| 8.290%, 02/25/2025 |
|
|
174 |
|
|
|
173 |
|
| HSBC Home Equity Loan Trust,
Ser 2006-4, Cl A4 |
|
|
|
|
|
|
|
|
| 0.384%, 03/20/2036 (A) |
|
|
3,756 |
|
|
|
3,731 |
|
| Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D |
|
|
|
|
|
|
|
|
| 0.525%, 06/25/2035 (A) |
|
|
587 |
|
|
|
584 |
|
| Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.435%, 05/25/2037 (A) |
|
|
5,500 |
|
|
|
3,598 |
|
| New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 |
|
|
|
|
|
|
|
|
| 0.585%, 06/25/2035 (A) |
|
|
3,564 |
|
|
|
3,539 |
|
| New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 |
|
|
|
|
|
|
|
|
| 0.645%, 07/25/2035 (A) |
|
|
3,500 |
|
|
|
3,336 |
|
| RASC Trust,
Ser 2005-AHL2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.415%, 10/25/2035 (A) |
|
|
374 |
|
|
|
374 |
|
| Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.315%, 01/25/2037 (A) |
|
|
5,698 |
|
|
|
3,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,376 |
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 6.8% |
|
| Academic Loan Funding Trust,
Ser 2012-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.255%, 12/27/2044 (A) (B) |
|
|
2,100 |
|
|
|
2,122 |
|
| Ally Master Owner Trust,
Ser 2012-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.440%, 02/15/2017 |
|
|
800 |
|
|
|
803 |
|
| Ally Master Owner Trust,
Ser 2012-5, Cl A |
|
|
|
|
|
|
|
|
| 1.540%, 09/15/2019 |
|
|
1,536 |
|
|
|
1,527 |
|
| Ally Master Owner Trust,
Ser 2014-4, Cl A2 |
|
|
|
|
|
|
|
|
| 1.430%, 06/17/2019 |
|
|
2,322 |
|
|
|
2,314 |
|
| Brazos Higher Education Authority, Ser 2010-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.438%, 02/25/2035 (A) |
|
|
2,200 |
|
|
|
2,276 |
|
| Brazos Higher Education Authority, Ser 2011-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.234%, 10/27/2036 (A) |
|
|
1,750 |
|
|
|
1,776 |
|
| Carrington Mortgage Loan Trust,
Ser 2005-NC4, Cl A3 |
|
|
|
|
|
|
|
|
| 0.555%, 09/25/2035 (A) |
|
|
944 |
|
|
|
934 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
103 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Centerpoint Energy Transition Bond III, Ser 2008-A, Cl A1 |
|
|
|
|
|
|
|
|
| 4.192%, 02/01/2020 |
|
$ |
549 |
|
|
$ |
570 |
|
| CIT Education Loan Trust,
Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 0.324%, 03/25/2042 (A) (B) |
|
|
1,628 |
|
|
|
1,555 |
|
| Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 |
|
|
|
|
|
|
|
|
| 6.046%, 03/25/2037 |
|
|
1,970 |
|
|
|
1,923 |
|
| CNH Equipment Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.490%, 06/15/2017 |
|
|
405 |
|
|
|
405 |
|
| Conseco Finance Home Improvement Loan Trust,
Ser 2000-E, Cl M1 |
|
|
|
|
|
|
|
|
| 8.130%, 08/15/2031 (A) |
|
|
90 |
|
|
|
91 |
|
| Conseco Financial,
Ser 1993-4, Cl A5 |
|
|
|
|
|
|
|
|
| 7.050%, 01/15/2019 |
|
|
143 |
|
|
|
147 |
|
| Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.755%, 06/25/2033 (A) |
|
|
38 |
|
|
|
32 |
|
| Countrywide Asset-Backed Certificates,
Ser 2007-13, Cl 2A2 |
|
|
|
|
|
|
|
|
| 0.955%, 10/25/2047 (A) |
|
|
3,879 |
|
|
|
3,498 |
|
| Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B |
|
|
|
|
|
|
|
|
| 0.305%, 11/15/2036 (A) |
|
|
145 |
|
|
|
128 |
|
| Credit-Based Asset Servicing and Securities,
Ser 2006-CB3, Cl AV4 |
|
|
|
|
|
|
|
|
| 0.415%, 03/25/2036 (A) |
|
|
5,000 |
|
|
|
3,369 |
|
| Cronos Containers Program,
Ser 2012-2A, Cl A |
|
|
|
|
|
|
|
|
| 3.810%, 09/18/2027 (B) |
|
|
600 |
|
|
|
600 |
|
| CWABS Revolving Home Equity Loan Trust,
Ser 2004-K, Cl 2A |
|
|
|
|
|
|
|
|
| 0.454%, 02/15/2034 (A) |
|
|
447 |
|
|
|
398 |
|
| Educational Funding of the South, Ser 2011-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.884%, 04/25/2035 (A) |
|
|
2,100 |
|
|
|
2,104 |
|
| First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1 |
|
|
|
|
|
|
|
|
| 0.645%, 09/25/2035 (A) |
|
|
3,700 |
|
|
|
3,441 |
|
| Ford Credit Auto Owner Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 2.260%, 11/15/2025 (B) |
|
|
1,055 |
|
|
|
1,054 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
| 1.920%, 01/15/2019 |
|
|
1,022 |
|
|
|
1,038 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2013-5, Cl A1 |
|
|
|
|
|
|
|
|
| 1.500%, 09/15/2018 |
|
$ |
270 |
|
|
$ |
273 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
| 1.200%, 02/15/2019 |
|
|
759 |
|
|
|
757 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2014-4, Cl A1 |
|
|
|
|
|
|
|
|
| 1.400%, 08/15/2019 |
|
|
1,220 |
|
|
|
1,214 |
|
| Global SC Finance II,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 3.090%, 07/17/2024 (B) |
|
|
1,908 |
|
|
|
1,886 |
|
| Green Tree,
Ser 2008-MH1, Cl A2 |
|
|
|
|
|
|
|
|
| 8.970%, 04/25/2038 (A) (B) |
|
|
1,234 |
|
|
|
1,309 |
|
| Green Tree,
Ser 2008-MH1, Cl A3 |
|
|
|
|
|
|
|
|
| 8.970%, 04/25/2038 (A) (B) |
|
|
982 |
|
|
|
1,042 |
|
| Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 |
|
|
|
|
|
|
|
|
| 2.911%, 03/18/2029 (A) |
|
|
525 |
|
|
|
479 |
|
| Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 |
|
|
|
|
|
|
|
|
| 7.270%, 06/15/2029 |
|
|
1,079 |
|
|
|
1,087 |
|
| Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 |
|
|
|
|
|
|
|
|
| 3.527%, 06/19/2029 (A) |
|
|
325 |
|
|
|
285 |
|
| Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 |
|
|
|
|
|
|
|
|
| 3.656%, 02/20/2030 (A) |
|
|
375 |
|
|
|
329 |
|
| Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 |
|
|
|
|
|
|
|
|
| 3.653%, 02/20/2032 (A) |
|
|
300 |
|
|
|
275 |
|
| Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 |
|
|
|
|
|
|
|
|
| 3.652%, 03/13/2032 (A) |
|
|
500 |
|
|
|
452 |
|
| GSAMP Trust,
Ser 2003-SEA, Cl A1 |
|
|
|
|
|
|
|
|
| 0.555%, 02/25/2033 (A) |
|
|
1,680 |
|
|
|
1,568 |
|
| GSAMP Trust,
Ser 2006-HE3, Cl A2D |
|
|
|
|
|
|
|
|
| 0.405%, 05/25/2046 (A) |
|
|
3,300 |
|
|
|
2,179 |
|
| GSAMP Trust,
Ser 2006-SEA1, Cl A |
|
|
|
|
|
|
|
|
| 0.455%, 05/25/2036 (A) (B) |
|
|
179 |
|
|
|
177 |
|
| Higher Education Funding I,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 1.288%, 05/25/2034 (A) (B) |
|
|
1,618 |
|
|
|
1,604 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2013-T7, Cl AT7 |
|
|
|
|
|
|
|
|
| 1.981%, 11/15/2046 (B) |
|
|
890 |
|
|
|
892 |
|
|
|
|
| 104 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 |
|
|
|
|
|
|
|
|
| 0.445%, 11/25/2035 (A) |
|
$ |
1,686 |
|
|
$ |
1,575 |
|
| HSI Asset Securitization Trust,
Ser 2006-OPT3, Cl 3A3 |
|
|
|
|
|
|
|
|
| 0.335%, 02/25/2036 (A) |
|
|
590 |
|
|
|
550 |
|
| JGWPT XXX LLC,
Ser 2013-3A, Cl A |
|
|
|
|
|
|
|
|
| 4.080%, 01/17/2073 (B) |
|
|
1,022 |
|
|
|
1,060 |
|
| JGWPT XXXII,
Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
| 3.610%, 01/17/2073 (B) |
|
|
1,335 |
|
|
|
1,329 |
|
| Lehman ABS Manufactured Housing Contract Trust,
Ser 2001-B, Cl A4 |
|
|
|
|
|
|
|
|
| 5.270%, 09/15/2018 |
|
|
932 |
|
|
|
998 |
|
| Mid-State Trust,
Ser 2003-11, Cl A1 |
|
|
|
|
|
|
|
|
| 4.864%, 07/15/2038 |
|
|
2,612 |
|
|
|
2,782 |
|
| National Collegiate Student Loan Trust, Ser 2005-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.395%, 11/27/2028 (A) |
|
|
793 |
|
|
|
778 |
|
| National Collegiate Student Loan Trust, Ser 2005-3, Cl A4 |
|
|
|
|
|
|
|
|
| 0.435%, 04/25/2029 (A) |
|
|
490 |
|
|
|
476 |
|
| National Collegiate Student Loan Trust, Ser 2006-3, Cl A4 |
|
|
|
|
|
|
|
|
| 0.425%, 03/26/2029 (A) |
|
|
1,750 |
|
|
|
1,597 |
|
| National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L |
|
|
|
|
|
|
|
|
| 1.005%, 03/25/2038 (A) |
|
|
4,460 |
|
|
|
3,025 |
|
| Navient Student Loan Trust,
Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.665%, 06/25/2031 (A) |
|
|
3,320 |
|
|
|
3,320 |
|
| Navient Student Loan Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 0.797%, 03/25/2043 (A) |
|
|
3,320 |
|
|
|
3,320 |
|
| Navient Student Loan Trust,
Ser 2014-3, Cl A |
|
|
|
|
|
|
|
|
| 0.777%, 02/25/2043 (A) |
|
|
3,320 |
|
|
|
3,320 |
|
| Navient Student Loan Trust,
Ser 2014-4, Cl A |
|
|
|
|
|
|
|
|
| 0.777%, 03/25/2043 (A) |
|
|
2,520 |
|
|
|
2,520 |
|
| Nelnet Student Loan Trust,
Ser 2004-3, Cl A5 |
|
|
|
|
|
|
|
|
| 0.414%, 10/27/2036 (A) |
|
|
815 |
|
|
|
807 |
|
| Nelnet Student Loan Trust,
Ser 2005-1, Cl A5 |
|
|
|
|
|
|
|
|
| 0.344%, 10/25/2033 (A) |
|
|
418 |
|
|
|
411 |
|
| Nelnet Student Loan Trust,
Ser 2006-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.325%, 11/23/2022 (A) |
|
|
324 |
|
|
|
323 |
|
| Nelnet Student Loan Trust,
Ser 2006-2, Cl A4 |
|
|
|
|
|
|
|
|
| 0.314%, 10/26/2026 (A) |
|
|
1,155 |
|
|
|
1,153 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Nelnet Student Loan Trust,
Ser 2007-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.245%, 11/27/2018 (A) |
|
$ |
131 |
|
|
$ |
131 |
|
| Nelnet Student Loan Trust,
Ser 2007-2A, Cl A3L |
|
|
|
|
|
|
|
|
| 0.584%, 03/25/2026 (A) (B) |
|
|
1,896 |
|
|
|
1,883 |
|
| Nelnet Student Loan Trust,
Ser 2010-4A, Cl A |
|
|
|
|
|
|
|
|
| 0.955%, 04/25/2046 (A) (B) |
|
|
360 |
|
|
|
364 |
|
| Nelnet Student Loan Trust,
Ser 2012-5A, Cl A |
|
|
|
|
|
|
|
|
| 0.755%, 10/27/2036 (A) (B) |
|
|
2,308 |
|
|
|
2,298 |
|
| Nelnet Student Loan Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.465%, 03/27/2023 (A) |
|
|
529 |
|
|
|
529 |
|
| Nelnet Student Loan Trust,
Ser 2014-3A, Cl A |
|
|
|
|
|
|
|
|
| 0.735%, 06/25/2041 (A) (B) |
|
|
1,446 |
|
|
|
1,446 |
|
| Nelnet Student Loan Trust,
Ser 2014-4A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.105%, 11/25/2043 (A) (B) |
|
|
1,655 |
|
|
|
1,655 |
|
| North Carolina State Education Assistance Authority,
Ser 2011-2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.034%, 07/25/2025 (A) |
|
|
1,000 |
|
|
|
1,005 |
|
| Octagon Investment Partners XI Ltd., Ser 2007-1A, Cl A1B |
|
|
|
|
|
|
|
|
| 0.495%, 08/25/2021 (A) (B) |
|
|
1,700 |
|
|
|
1,673 |
|
| Origen Manufactured Housing,
Ser 2006-A, Cl A2 |
|
|
|
|
|
|
|
|
| 2.359%, 10/15/2037 (A) |
|
|
3,437 |
|
|
|
3,087 |
|
| Park Place Securities,
Ser 2004-WCW1, Cl M2 |
|
|
|
|
|
|
|
|
| 1.175%, 09/25/2034 (A) |
|
|
2,014 |
|
|
|
1,995 |
|
| Residential Asset Mortgage Products Trust,
Ser 2003-RS11, Cl MII1 |
|
|
|
|
|
|
|
|
| 1.250%, 12/25/2033 (A) |
|
|
188 |
|
|
|
174 |
|
| Residential Asset Mortgage Products Trust,
Ser 2003-RS2, Cl AII |
|
|
|
|
|
|
|
|
| 0.835%, 03/25/2033 (A) |
|
|
32 |
|
|
|
29 |
|
| RSB Bondco LLC,
Ser 2007-A, Cl A3 |
|
|
|
|
|
|
|
|
| 5.820%, 06/28/2019 |
|
|
775 |
|
|
|
846 |
|
| Scholar Funding Trust,
Ser 2011-A, Cl A |
|
|
|
|
|
|
|
|
| 1.135%, 10/28/2043 (A) (B) |
|
|
1,157 |
|
|
|
1,161 |
|
| SLC Student Loan Trust,
Ser 2007-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.634%, 05/15/2028 (A) |
|
|
299 |
|
|
|
299 |
|
| SLM Private Education Loan Trust, Ser 2012-A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.554%, 08/15/2025 (A) (B) |
|
|
828 |
|
|
|
839 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
105 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SLM Private Education Loan Trust, Ser 2012-C, Cl A1 |
|
|
|
|
|
|
|
|
| 1.254%, 08/15/2023 (A) (B) |
|
$ |
499 |
|
|
$ |
503 |
|
| SLM Private Education Loan Trust, Ser 2012-D, Cl A2 |
|
|
|
|
|
|
|
|
| 2.950%, 02/15/2046 (B) |
|
|
1,032 |
|
|
|
1,064 |
|
| SLM Private Education Loan Trust, Ser 2012-E, Cl A1 |
|
|
|
|
|
|
|
|
| 0.904%, 10/16/2023 (A) (B) |
|
|
454 |
|
|
|
455 |
|
| SLM Private Education Loan Trust, Ser 2012-E, Cl A2B |
|
|
|
|
|
|
|
|
| 1.904%, 06/15/2045 (A) (B) |
|
|
1,227 |
|
|
|
1,267 |
|
| SLM Private Education Loan Trust, Ser 2013-1, Cl B |
|
|
|
|
|
|
|
|
| 1.955%, 11/25/2043 (A) |
|
|
245 |
|
|
|
245 |
|
| SLM Private Education Loan Trust, Ser 2013-A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.754%, 08/15/2022 (A) (B) |
|
|
773 |
|
|
|
774 |
|
| SLM Private Education Loan Trust, Ser 2013-B, Cl A1 |
|
|
|
|
|
|
|
|
| 0.804%, 07/15/2022 (A) (B) |
|
|
320 |
|
|
|
320 |
|
| SLM Private Education Loan Trust, Ser 2013-B, Cl A2A |
|
|
|
|
|
|
|
|
| 1.850%, 06/17/2030 (B) |
|
|
1,393 |
|
|
|
1,356 |
|
| SLM Private Education Loan Trust, Ser 2013-C, Cl A1 |
|
|
|
|
|
|
|
|
| 1.004%, 02/15/2022 (A) (B) |
|
|
705 |
|
|
|
709 |
|
| SLM Student Loan EDC Repackaging Trust,
Ser 2013-M1, Cl M1 |
|
|
|
|
|
|
|
|
| 3.500%, 10/28/2029 (B) |
|
|
1,666 |
|
|
|
1,649 |
|
| SLM Student Loan Trust,
Ser 2003-11, Cl A6 |
|
|
|
|
|
|
|
|
| 0.984%, 12/15/2025 (A) (B) |
|
|
850 |
|
|
|
850 |
|
| SLM Student Loan Trust,
Ser 2003-12, Cl A5 |
|
|
|
|
|
|
|
|
| 0.514%, 09/15/2022 (A) (B) |
|
|
752 |
|
|
|
752 |
|
| SLM Student Loan Trust,
Ser 2004-8, Cl B |
|
|
|
|
|
|
|
|
| 0.694%, 01/25/2040 (A) |
|
|
162 |
|
|
|
148 |
|
| SLM Student Loan Trust,
Ser 2004-8A, Cl A5 |
|
|
|
|
|
|
|
|
| 0.734%, 04/25/2024 (A) (B) |
|
|
1,481 |
|
|
|
1,485 |
|
| SLM Student Loan Trust,
Ser 2005-5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.334%, 04/25/2025 (A) |
|
|
107 |
|
|
|
107 |
|
| SLM Student Loan Trust,
Ser 2005-6, Cl A5B |
|
|
|
|
|
|
|
|
| 1.434%, 07/27/2026 (A) |
|
|
442 |
|
|
|
449 |
|
| SLM Student Loan Trust,
Ser 2005-7, Cl A4 |
|
|
|
|
|
|
|
|
| 0.384%, 10/25/2029 (A) |
|
|
1,444 |
|
|
|
1,405 |
|
| SLM Student Loan Trust,
Ser 2005-9, Cl A5 |
|
|
|
|
|
|
|
|
| 0.354%, 01/27/2025 (A) |
|
|
891 |
|
|
|
889 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SLM Student Loan Trust,
Ser 2006-2, Cl A6 |
|
|
|
|
|
|
|
|
| 0.404%, 01/25/2041 (A) |
|
$ |
1,900 |
|
|
$ |
1,750 |
|
| SLM Student Loan Trust,
Ser 2006-3, Cl A5 |
|
|
|
|
|
|
|
|
| 0.334%, 01/25/2021 (A) |
|
|
989 |
|
|
|
976 |
|
| SLM Student Loan Trust,
Ser 2006-5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.344%, 01/25/2027 (A) |
|
|
2,649 |
|
|
|
2,622 |
|
| SLM Student Loan Trust,
Ser 2006-7, Cl A4 |
|
|
|
|
|
|
|
|
| 0.304%, 04/25/2022 (A) |
|
|
154 |
|
|
|
154 |
|
| SLM Student Loan Trust,
Ser 2006-8, Cl A6 |
|
|
|
|
|
|
|
|
| 0.394%, 01/25/2041 (A) |
|
|
1,900 |
|
|
|
1,728 |
|
| SLM Student Loan Trust,
Ser 2007-2, Cl B |
|
|
|
|
|
|
|
|
| 0.404%, 07/25/2025 (A) |
|
|
391 |
|
|
|
353 |
|
| SLM Student Loan Trust,
Ser 2007-6, Cl B |
|
|
|
|
|
|
|
|
| 1.084%, 04/27/2043 (A) |
|
|
499 |
|
|
|
455 |
|
| SLM Student Loan Trust,
Ser 2008-2, Cl B |
|
|
|
|
|
|
|
|
| 1.434%, 01/25/2029 (A) |
|
|
525 |
|
|
|
476 |
|
| SLM Student Loan Trust,
Ser 2008-3, Cl B |
|
|
|
|
|
|
|
|
| 1.434%, 04/25/2029 (A) |
|
|
525 |
|
|
|
484 |
|
| SLM Student Loan Trust,
Ser 2008-4, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 04/25/2029 (A) |
|
|
525 |
|
|
|
523 |
|
| SLM Student Loan Trust,
Ser 2008-5, Cl A3 |
|
|
|
|
|
|
|
|
| 1.534%, 01/25/2018 (A) |
|
|
291 |
|
|
|
293 |
|
| SLM Student Loan Trust,
Ser 2008-5, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
525 |
|
|
|
538 |
|
| SLM Student Loan Trust,
Ser 2008-6, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
525 |
|
|
|
525 |
|
| SLM Student Loan Trust,
Ser 2008-7, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
525 |
|
|
|
527 |
|
| SLM Student Loan Trust,
Ser 2008-8, Cl B |
|
|
|
|
|
|
|
|
| 2.484%, 10/25/2029 (A) |
|
|
525 |
|
|
|
554 |
|
| SLM Student Loan Trust,
Ser 2008-9, Cl B |
|
|
|
|
|
|
|
|
| 2.484%, 10/25/2029 (A) |
|
|
525 |
|
|
|
557 |
|
| SLM Student Loan Trust,
Ser 2010-1, Cl A |
|
|
|
|
|
|
|
|
| 0.555%, 03/25/2025 (A) |
|
|
740 |
|
|
|
740 |
|
| SLM Student Loan Trust,
Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
| 0.805%, 12/26/2025 (A) |
|
|
1,758 |
|
|
|
1,771 |
|
|
|
|
| 106 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SLM Student Loan Trust,
Ser 2012-6, Cl B |
|
|
|
|
|
|
|
|
| 1.155%, 04/27/2043 (A) |
|
$ |
564 |
|
|
$ |
526 |
|
| SLM Student Loan Trust,
Ser 2013-2, Cl B |
|
|
|
|
|
|
|
|
| 1.655%, 06/25/2043 (A) |
|
|
281 |
|
|
|
275 |
|
| SLM Student Loan Trust,
Ser 2013-3, Cl A2 |
|
|
|
|
|
|
|
|
| 0.455%, 05/26/2020 (A) |
|
|
551 |
|
|
|
551 |
|
| SLM Student Loan Trust,
Ser 2013-3, Cl B |
|
|
|
|
|
|
|
|
| 1.655%, 09/25/2043 (A) |
|
|
291 |
|
|
|
284 |
|
| SLM Student Loan Trust,
Ser 2013-4, Cl A |
|
|
|
|
|
|
|
|
| 0.705%, 06/25/2027 (A) |
|
|
1,329 |
|
|
|
1,329 |
|
| SLM Student Loan Trust,
Ser 2013-5, Cl A2 |
|
|
|
|
|
|
|
|
| 0.555%, 10/26/2020 (A) |
|
|
446 |
|
|
|
447 |
|
| SLM Student Loan Trust,
Ser 2013-6, Cl A2 |
|
|
|
|
|
|
|
|
| 0.655%, 02/25/2021 (A) |
|
|
236 |
|
|
|
237 |
|
| SLM Student Loan Trust,
Ser 2013-6, Cl A3 |
|
|
|
|
|
|
|
|
| 0.805%, 06/26/2028 (A) |
|
|
981 |
|
|
|
978 |
|
| SLM Student Loan Trust,
Ser 2013-C, Cl A2A |
|
|
|
|
|
|
|
|
| 2.940%, 10/15/2031 (B) |
|
|
240 |
|
|
|
245 |
|
| SLM Student Loan Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.535%, 07/26/2021 (A) |
|
|
493 |
|
|
|
493 |
|
| SLM Student Loan Trust,
Ser 2014-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.745%, 03/26/2029 (A) |
|
|
851 |
|
|
|
856 |
|
| SLM Student Loan Trust,
Ser 2014-A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.755%, 07/15/2022 (A) (B) |
|
|
327 |
|
|
|
327 |
|
| SLM Student Loan Trust,
Ser 2014-A, Cl A2A |
|
|
|
|
|
|
|
|
| 2.590%, 01/15/2026 (B) |
|
|
421 |
|
|
|
423 |
|
| SpringCastle America Funding,
Ser 2014-AA, Cl A |
|
|
|
|
|
|
|
|
| 2.700%, 05/25/2023 (B) |
|
|
650 |
|
|
|
650 |
|
| Structured Asset Securities Mortgage Loan Trust,
Ser 2008-BC4, Cl A3 |
|
|
|
|
|
|
|
|
| 0.405%, 11/25/2037 (A) |
|
|
1,133 |
|
|
|
1,109 |
|
| TAL Advantage,
Ser 2006-1A, Cl N |
|
|
|
|
|
|
|
|
| 0.346%, 04/20/2021 (A) (B) |
|
|
459 |
|
|
|
455 |
|
| Trade Maps, Ltd.,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.854%, 12/10/2018 (A) (B) |
|
|
1,400 |
|
|
|
1,404 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Triton Container Finance LLC,
Ser 2007-1A, Cl N |
|
|
|
|
|
|
|
|
| 0.290%, 02/26/2019 (A) (B) |
|
$ |
161 |
|
|
$ |
161 |
|
| Wells Fargo Home Equity Asset-Backed Securities Trust,
Ser 2006-2, Cl A4 |
|
|
|
|
|
|
|
|
| 0.405%, 07/25/2036 (A) |
|
|
4,000 |
|
|
|
3,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140,577 |
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $212,547) ($ Thousands) |
|
|
|
216,316 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5% |
|
| FHLB |
|
|
|
|
|
|
|
|
| 0.875%, 05/24/2017 |
|
|
40 |
|
|
|
40 |
|
| 0.750%, 05/26/2015 (D) |
|
|
3,410 |
|
|
|
3,382 |
|
| 0.080%, 10/15/2014 (F) |
|
|
5,230 |
|
|
|
5,230 |
|
| 0.075%, 11/07/2014 (F) |
|
|
4,880 |
|
|
|
4,880 |
|
| 0.069%, 10/29/2014 (F) |
|
|
4,200 |
|
|
|
4,200 |
|
| 0.065%, 11/28/2014 (F) |
|
|
4,770 |
|
|
|
4,770 |
|
| 0.060%, 10/24/2014 (F) |
|
|
11,610 |
|
|
|
11,610 |
|
| 0.060%, 11/24/2014 (F) |
|
|
6,605 |
|
|
|
6,605 |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 6.750%, 03/15/2031 |
|
|
530 |
|
|
|
764 |
|
| FICO STRIPS |
|
|
|
|
|
|
|
|
| 9.800%, 04/06/2018 |
|
|
850 |
|
|
|
1,092 |
|
| 9.700%, 04/05/2019 |
|
|
1,050 |
|
|
|
1,408 |
|
| 8.600%, 09/26/2019 |
|
|
2,490 |
|
|
|
3,258 |
|
| 0.092%, 11/02/2018 |
|
|
1,800 |
|
|
|
1,673 |
|
| 0.091%, 08/03/2018 |
|
|
1,820 |
|
|
|
1,702 |
|
| 0.090%, 04/06/2018 |
|
|
1,550 |
|
|
|
1,464 |
|
| 0.080%, 09/26/2019 |
|
|
100 |
|
|
|
90 |
|
| 0.070%, 06/06/2019 |
|
|
250 |
|
|
|
227 |
|
| 0.060%, 03/07/2019 |
|
|
770 |
|
|
|
707 |
|
| 0.050%, 02/08/2018 |
|
|
510 |
|
|
|
484 |
|
| 0.040%, 08/03/2018 |
|
|
780 |
|
|
|
730 |
|
| 0.030%, 08/03/2018 |
|
|
820 |
|
|
|
767 |
|
| 0.020%, 08/03/2018 |
|
|
1,470 |
|
|
|
1,375 |
|
| 0.010%, 05/11/2018 |
|
|
3,295 |
|
|
|
3,103 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 7.762%, 10/09/2019 |
|
|
2,925 |
|
|
|
2,594 |
|
| 6.250%, 05/15/2029 |
|
|
2,110 |
|
|
|
2,853 |
|
| 2.625%, 09/06/2024 |
|
|
561 |
|
|
|
552 |
|
| Resolution Funding STRIPS |
|
|
|
|
|
|
|
|
| 2.273%, 10/15/2019 |
|
|
600 |
|
|
|
541 |
|
| 2.209%, 07/15/2020 |
|
|
2,630 |
|
|
|
2,305 |
|
| Tennessee Valley Authority |
|
|
|
|
|
|
|
|
| 5.250%, 09/15/2039 |
|
|
590 |
|
|
|
717 |
|
| 3.875%, 02/15/2021 |
|
|
1,510 |
|
|
|
1,646 |
|
| 2.875%, 09/15/2024 |
|
|
1,540 |
|
|
|
1,528 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agency Obligations
(Cost $68,916) ($ Thousands) |
|
|
|
72,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
107 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount (1)
(Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 2.5% |
|
|
|
|
|
| Brazil Notas do Tesouro Nacional Serie B, |
|
|
|
|
|
|
|
|
| 14.714%, 08/15/2050 |
|
BRL |
1,292 |
|
|
$ |
1,253 |
|
| Brazil Notas do Tesouro Nacional, Ser F |
|
|
|
|
|
|
|
|
| 10.000%, 01/01/2017 |
|
BRL |
11,687 |
|
|
|
4,552 |
|
| Colombia Government International Bond |
|
|
|
|
|
|
|
|
| 5.625%, 02/26/2044 (C) |
|
|
1,110 |
|
|
|
1,221 |
|
| Federal Republic of Brazil |
|
|
|
|
|
|
|
|
| 4.250%, 01/07/2025 |
|
|
560 |
|
|
|
555 |
|
| Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
| 5.875%, 03/13/2020 |
|
|
240 |
|
|
|
264 |
|
| 5.875%, 01/15/2024 (B) |
|
|
840 |
|
|
|
926 |
|
| 4.875%, 05/05/2021 |
|
|
200 |
|
|
|
208 |
|
| Japan Finance Organization for Municipalities |
|
|
|
|
|
|
|
|
| 4.000%, 01/13/2021 |
|
|
1,800 |
|
|
|
1,965 |
|
| Kommunalbanken |
|
|
|
|
|
|
|
|
| 1.125%, 05/23/2018 (B) |
|
|
3,420 |
|
|
|
3,369 |
|
| Mexican Bonos |
|
|
|
|
|
|
|
|
| 8.000%, 06/11/2020 |
|
MXP |
8,398 |
|
|
|
703 |
|
| 7.750%, 11/13/2042 |
|
MXP |
100,681 |
|
|
|
8,212 |
|
| 6.500%, 06/09/2022 |
|
MXP |
55,850 |
|
|
|
4,305 |
|
| 6.500%, 06/09/2022 |
|
MXP |
40,737 |
|
|
|
3,140 |
|
| Mexico Government International Bond |
|
|
|
|
|
|
|
|
| 5.750%, 10/12/2110 |
|
|
1,273 |
|
|
|
1,314 |
|
| 5.550%, 01/21/2045 |
|
|
2,630 |
|
|
|
2,922 |
|
| 4.750%, 03/08/2044 (C) |
|
|
1,180 |
|
|
|
1,171 |
|
| Poland Government International Bond |
|
|
|
|
|
|
|
|
| 4.000%, 01/22/2024 |
|
|
2,546 |
|
|
|
2,616 |
|
| Portugal Government International Bond MTN |
|
|
|
|
|
|
|
|
| 5.125%, 10/15/2024 (B) |
|
|
1,350 |
|
|
|
1,399 |
|
| Province of Manitoba Canada |
|
|
|
|
|
|
|
|
| 3.050%, 05/14/2024 |
|
|
420 |
|
|
|
424 |
|
| Republic of Paraguay |
|
|
|
|
|
|
|
|
| 6.100%, 08/11/2044 (B) (C) |
|
|
535 |
|
|
|
564 |
|
| Russia Government International Bond |
|
|
|
|
|
|
|
|
| 7.500%, 03/31/2030 (B) |
|
|
360 |
|
|
|
404 |
|
| Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
| 7.500%, 03/31/2030 |
|
|
1,231 |
|
|
|
1,379 |
|
| Slovakia Government International Bond |
|
|
|
|
|
|
|
|
| 4.375%, 05/21/2022 (B) |
|
|
1,240 |
|
|
|
1,322 |
|
| Slovenia Government International Bond (B) |
|
|
|
|
|
|
|
|
| 5.850%, 05/10/2023 |
|
|
245 |
|
|
|
273 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 10/26/2022 |
|
$ |
528 |
|
|
$ |
573 |
|
| 5.250%, 02/18/2024 |
|
|
1,015 |
|
|
|
1,081 |
|
| South Africa Government International Bond |
|
|
|
|
|
|
|
|
| 5.875%, 09/16/2025 (C) |
|
|
1,380 |
|
|
|
1,518 |
|
| Tunisia Government AID Bonds |
|
|
|
|
|
|
|
|
| 2.452%, 07/24/2021 |
|
|
720 |
|
|
|
717 |
|
| Turkey Government International Bond |
|
|
|
|
|
|
|
|
| 7.000%, 03/11/2019 |
|
|
430 |
|
|
|
482 |
|
| 6.250%, 09/26/2022 |
|
|
457 |
|
|
|
503 |
|
| 5.750%, 03/22/2024 (C) |
|
|
1,120 |
|
|
|
1,189 |
|
| 5.625%, 03/30/2021 |
|
|
161 |
|
|
|
171 |
|
| United Mexican States MTN |
|
|
|
|
|
|
|
|
| 6.050%, 01/11/2040 |
|
|
248 |
|
|
|
293 |
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt
(Cost $51,429) ($ Thousands) |
|
|
|
50,988 |
|
|
|
|
|
|
|
|
|
|
|
|
| LOAN PARTICIPATIONS — 1.0% |
|
|
|
|
|
| Advanced Disposal Service |
|
|
|
|
|
|
|
|
| 3.750%, 10/09/2019 |
|
|
306 |
|
|
|
297 |
|
| AMR |
|
|
|
|
|
|
|
|
| 3.750%, 06/21/2019 |
|
|
642 |
|
|
|
630 |
|
| Aramark, 1st lien |
|
|
|
|
|
|
|
|
| 3.250%, 02/24/2021 |
|
|
285 |
|
|
|
279 |
|
| Burger King, Term Loan B, 1st Lien, Cov-Lite |
|
|
|
|
|
|
|
|
| 0.000%, 09/24/2021 (H) |
|
|
600 |
|
|
|
595 |
|
| Charter Communications Operating |
|
|
|
|
|
|
|
|
| 0.000%, 09/12/2021 (H) |
|
|
440 |
|
|
|
438 |
|
| Charter Communications, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 3.000%, 01/03/2021 |
|
|
254 |
|
|
|
246 |
|
| CSC Holdings, Term Loan B |
|
|
|
|
|
|
|
|
| 2.654%, 04/17/2020 |
|
|
411 |
|
|
|
398 |
|
| Del Monte Foods |
|
|
|
|
|
|
|
|
| 3.500%, 03/09/2020 |
|
|
1,077 |
|
|
|
1,033 |
|
| Energy Future International, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 06/19/2016 |
|
|
2,200 |
|
|
|
2,188 |
|
| First Data, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 3.655%, 03/23/2018 |
|
|
1,515 |
|
|
|
1,484 |
|
| 3.655%, 09/24/2018 |
|
|
1,000 |
|
|
|
978 |
|
| FMG Resources Property, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 3.750%, 06/30/2019 |
|
|
612 |
|
|
|
599 |
|
| Gardner Denver, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 07/30/2020 |
|
|
516 |
|
|
|
505 |
|
| H.J. Heinz |
|
|
|
|
|
|
|
|
| 3.250%, 06/07/2019 |
|
|
149 |
|
|
|
146 |
|
|
|
|
| 108 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| H.J. Heinz, Term Loan B2 |
|
|
|
|
|
|
|
|
| 3.500%, 06/05/2020 |
|
$ |
495 |
|
|
$ |
488 |
|
| Harrah’s Entertainment, Extended Term Loan B6 |
|
|
|
|
|
|
|
|
| 6.949%, 03/01/2017 |
|
|
274 |
|
|
|
250 |
|
| Hilton Hotels, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
223 |
|
|
|
220 |
|
| Intelsat Jackson Holdings |
|
|
|
|
|
|
|
|
| 3.750%, 06/30/2019 |
|
|
671 |
|
|
|
660 |
|
| Michaels Stores |
|
|
|
|
|
|
|
|
| 3.750%, 01/28/2020 |
|
|
93 |
|
|
|
92 |
|
| Michaels Stores, Term Loan B |
|
|
|
|
|
|
|
|
| 3.750%, 01/28/2020 |
|
|
93 |
|
|
|
92 |
|
| Michaels Stores, Term Loan, Tranche 1 |
|
|
|
|
|
|
|
|
| 3.750%, 01/24/2020 |
|
|
287 |
|
|
|
281 |
|
| NRG Energy, Term Loan |
|
|
|
|
|
|
|
|
| 2.750%, 07/01/2018 |
|
|
643 |
|
|
|
631 |
|
| Par Pharmaceuticals |
|
|
|
|
|
|
|
|
| 4.000%, 09/30/2019 |
|
|
266 |
|
|
|
260 |
|
| 0.000%, 09/30/2019 (H) |
|
|
389 |
|
|
|
381 |
|
| Party City Holdings |
|
|
|
|
|
|
|
|
| 4.000%, 07/27/2019 |
|
|
455 |
|
|
|
447 |
|
| Schaeffler Finances, Term Loan E |
|
|
|
|
|
|
|
|
| 3.750%, 05/15/2020 |
|
|
400 |
|
|
|
396 |
|
| Silver II Acquisition, Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 12/13/2019 |
|
|
597 |
|
|
|
586 |
|
| SunGard Data Systems, Term Loan E |
|
|
|
|
|
|
|
|
| 4.000%, 03/07/2020 |
|
|
713 |
|
|
|
704 |
|
| Supervalu, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.500%, 03/21/2019 |
|
|
493 |
|
|
|
484 |
|
| Telesat Canada, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 03/26/2019 |
|
|
490 |
|
|
|
481 |
|
| Univision Communications |
|
|
|
|
|
|
|
|
| 4.000%, 03/20/2020 |
|
|
1,721 |
|
|
|
1,687 |
|
| Virgin Media, Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 06/07/2020 |
|
|
740 |
|
|
|
720 |
|
| Wendy’s / Arby’s Group |
|
|
|
|
|
|
|
|
| 3.250%, 05/15/2019 |
|
|
704 |
|
|
|
699 |
|
| Windstream, Term Loan B4 |
|
|
|
|
|
|
|
|
| 3.500%, 01/10/2020 |
|
|
198 |
|
|
|
195 |
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations
(Cost $19,899) ($ Thousands) |
|
|
|
19,570 |
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 0.8% |
|
| Brazos, Higher Education Authority,
Ser 2006-2, RB |
|
|
|
|
|
|
|
|
| 0.243%, 12/26/2024 (A) |
|
|
560 |
|
|
|
552 |
|
| California State, GO |
|
|
|
|
|
|
|
|
| 6.200%, 03/01/2019 |
|
|
1,775 |
|
|
|
2,079 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| City of New York, GO |
|
|
|
|
|
|
|
|
| Callable 12/01/2020 @ 100 |
|
|
|
|
|
|
|
|
| 6.646%, 12/01/2031 |
|
$ |
900 |
|
|
$ |
1,072 |
|
| County of Clark, Department of Aviation, Build America Project, Ser C, RB |
|
|
|
|
|
|
|
|
| 6.820%, 07/01/2045 |
|
|
500 |
|
|
|
688 |
|
| Houston, Ser A, GO |
|
|
|
|
|
|
|
|
| 6.290%, 03/01/2032 |
|
|
1,820 |
|
|
|
2,258 |
|
| Illinois State, GO |
|
|
|
|
|
|
|
|
| 5.877%, 03/01/2019 |
|
|
2,245 |
|
|
|
2,488 |
|
| 5.100%, 06/01/2033 |
|
|
1,725 |
|
|
|
1,675 |
|
| 4.350%, 06/01/2018 |
|
|
1,000 |
|
|
|
1,043 |
|
| Los Angeles, Community College District, Build America Project, GO |
|
|
|
|
|
|
|
|
| 6.750%, 08/01/2049 |
|
|
495 |
|
|
|
708 |
|
| New Jersey State, Turnpike Authority, Build America Project, Ser C, RB |
|
|
|
|
|
|
|
|
| 7.102%, 01/01/2041 |
|
|
635 |
|
|
|
881 |
|
| New York and New Jersey, Port Authority, RB |
|
|
|
|
|
|
|
|
| 4.458%, 10/01/2062 |
|
|
670 |
|
|
|
668 |
|
| North Texas, Tollway Authority, Build America Project,
Ser B, RB |
|
|
|
|
|
|
|
|
| 6.718%, 01/01/2049 |
|
|
569 |
|
|
|
784 |
|
| Ohio State University, Ser A, RB |
|
|
|
|
|
|
|
|
| 4.800%, 06/01/2111 |
|
|
192 |
|
|
|
199 |
|
| South Carolina, Student Loan,
Ser A2, RB |
|
|
|
|
|
|
|
|
| 0.354%, 12/01/2020 (A) |
|
|
918 |
|
|
|
913 |
|
| State of California, Build America Project, GO |
|
|
|
|
|
|
|
|
| 7.600%, 11/01/2040 |
|
|
430 |
|
|
|
636 |
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $14,677) ($ Thousands) |
|
|
|
|
|
|
16,644 |
|
|
|
|
|
|
|
|
|
|
|
| COLLATERALIZED DEBT OBLIGATIONS — 0.6% |
|
|
|
| Other Asset-Backed Securities — 0.6% |
|
|
|
|
|
| AMMC CLO XIV Ltd.,
Ser 2014-14A, Cl A1L |
|
|
|
|
|
|
|
|
| 1.680%, 07/27/2026 (A) (B) |
|
|
1,650 |
|
|
|
1,649 |
|
| Cent CLO,
Ser 2013-18A, Cl A |
|
|
|
|
|
|
|
|
| 1.353%, 07/23/2025 (A) (B) |
|
|
1,600 |
|
|
|
1,575 |
|
| Eaton Vance CLO,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.685%, 07/15/2026 (A) (B) |
|
|
550 |
|
|
|
550 |
|
| Flatiron CLO,
Ser 2014-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.607%, 07/17/2026 (A) (B) |
|
|
1,600 |
|
|
|
1,592 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
109 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| ING Investment Management CLO, Ser 2014-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.769%, 04/18/2026 (A) (B) |
|
$ |
1,780 |
|
|
$ |
1,779 |
|
| Latitude CLO II,
Ser 2006-2A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.564%, 12/15/2018 (A) (B) |
|
|
733 |
|
|
|
728 |
|
| OHA Credit Partners VII,
Ser 2012-7A, Cl A |
|
|
|
|
|
|
|
|
| 1.649%, 11/20/2023 (A) (B) |
|
|
1,750 |
|
|
|
1,745 |
|
| Voya CLO,
Ser 2014-2A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.673%, 07/17/2026 (A) (B) |
|
|
1,730 |
|
|
|
1,730 |
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations
(Cost $11,337) ($ Thousands) |
|
|
|
|
|
|
11,348 |
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.0% |
|
| Citigroup Capital XIII, 7.875% (A) |
|
|
24,750 |
|
|
|
666 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $647) ($ Thousands) |
|
|
|
|
|
|
666 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 24.2% |
|
| U.S. Treasury Bills (F) |
|
|
|
|
|
|
|
|
| 0.027%, 11/06/2014 |
|
|
459 |
|
|
|
459 |
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 4.500%, 08/15/2039 |
|
|
742 |
|
|
|
921 |
|
| 3.750%, 11/15/2043 |
|
|
10,898 |
|
|
|
12,046 |
|
| 3.625%, 08/15/2043 |
|
|
3,167 |
|
|
|
3,423 |
|
| 3.625%, 02/15/2044 |
|
|
7,704 |
|
|
|
8,325 |
|
| 3.375%, 05/15/2044 |
|
|
2,731 |
|
|
|
2,732 |
|
| 3.125%, 02/15/2042 |
|
|
9,075 |
|
|
|
8,986 |
|
| 3.125%, 02/15/2043 |
|
|
1,524 |
|
|
|
1,502 |
|
| 3.125%, 08/15/2044 |
|
|
29,673 |
|
|
|
29,200 |
|
| 2.875%, 05/15/2043 |
|
|
24,495 |
|
|
|
22,945 |
|
| 2.750%, 08/15/2042 |
|
|
8,835 |
|
|
|
8,095 |
|
| 2.750%, 11/15/2042 |
|
|
12,264 |
|
|
|
11,220 |
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
| 2.125%, 02/15/2040 |
|
|
937 |
|
|
|
1,159 |
|
| 1.375%, 02/15/2044 |
|
|
5,791 |
|
|
|
6,194 |
|
| 0.750%, 02/15/2042 |
|
|
1,329 |
|
|
|
1,217 |
|
| 0.625%, 01/15/2024 |
|
|
2,461 |
|
|
|
2,473 |
|
| 0.500%, 04/15/2015 |
|
|
1,055 |
|
|
|
1,056 |
|
| 0.375%, 07/15/2023 |
|
|
11,395 |
|
|
|
11,271 |
|
| 0.125%, 04/15/2017 |
|
|
3,136 |
|
|
|
3,178 |
|
| 0.125%, 07/15/2024 |
|
|
4,134 |
|
|
|
3,969 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
| 4.250%, 11/15/2017 |
|
|
11,350 |
|
|
|
12,425 |
|
| 3.125%, 04/30/2017 |
|
|
7,135 |
|
|
|
7,538 |
|
| 2.750%, 02/15/2024 |
|
|
3,706 |
|
|
|
3,793 |
|
| 2.500%, 05/15/2024 (C) |
|
|
12,467 |
|
|
|
12,475 |
|
| 2.375%, 08/15/2024 (C) |
|
|
53,966 |
|
|
|
53,342 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 2.250%, 11/30/2017 |
|
$ |
7,385 |
|
|
$ |
7,623 |
|
| 2.250%, 07/31/2021 |
|
|
1,259 |
|
|
|
1,263 |
|
| 2.125%, 01/31/2021 |
|
|
3,865 |
|
|
|
3,865 |
|
| 2.000%, 08/31/2021 (C) |
|
|
4,095 |
|
|
|
4,040 |
|
| 1.750%, 09/30/2019 |
|
|
16,761 |
|
|
|
16,739 |
|
| 1.625%, 03/31/2019 |
|
|
12,933 |
|
|
|
12,897 |
|
| 1.625%, 04/30/2019 |
|
|
6,075 |
|
|
|
6,052 |
|
| 1.625%, 06/30/2019 (C) |
|
|
4,556 |
|
|
|
4,532 |
|
| 1.625%, 07/31/2019 |
|
|
1,091 |
|
|
|
1,084 |
|
| 1.625%, 08/31/2019 |
|
|
3,121 |
|
|
|
3,048 |
|
| 1.500%, 07/31/2016 (C) |
|
|
22,255 |
|
|
|
22,262 |
|
| 1.500%, 01/31/2019 |
|
|
26,592 |
|
|
|
26,426 |
|
| 1.500%, 05/31/2019 |
|
|
3,032 |
|
|
|
3,000 |
|
| 1.375%, 02/28/2019 |
|
|
10,154 |
|
|
|
10,024 |
|
| 1.000%, 09/15/2017 |
|
|
17,525 |
|
|
|
17,498 |
|
| 0.875%, 09/15/2016 |
|
|
9,025 |
|
|
|
9,074 |
|
| 0.875%, 05/15/2017 |
|
|
11,367 |
|
|
|
11,352 |
|
| 0.875%, 07/15/2017 (C) |
|
|
19,205 |
|
|
|
19,139 |
|
| 0.875%, 08/15/2017 |
|
|
5,158 |
|
|
|
5,133 |
|
| 0.750%, 10/31/2017 |
|
|
150 |
|
|
|
148 |
|
| 0.750%, 12/31/2017 |
|
|
1,210 |
|
|
|
1,191 |
|
| 0.625%, 08/31/2017 |
|
|
4,978 |
|
|
|
4,912 |
|
| 0.625%, 09/30/2017 |
|
|
9,710 |
|
|
|
9,567 |
|
| 0.625%, 11/30/2017 |
|
|
9,555 |
|
|
|
9,383 |
|
| 0.500%, 08/31/2016 (C) |
|
|
30,480 |
|
|
|
30,449 |
|
| 0.500%, 09/30/2016 |
|
|
15,833 |
|
|
|
15,807 |
|
| U.S. Treasury STRIPS (F) |
|
|
|
|
|
|
|
|
| 4.152%, 11/15/2043 |
|
|
13,300 |
|
|
|
5,038 |
|
| 3.963%, 05/15/2043 |
|
|
2,010 |
|
|
|
774 |
|
| 3.019%, 11/15/2027 |
|
|
5,175 |
|
|
|
3,531 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $492,160) ($ Thousands) |
|
|
|
495,795 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 4.9% |
|
| SEI Liquidity Fund, L.P. |
|
|
|
|
|
|
|
|
| 0.080% **† (G) |
|
|
99,758,303 |
|
|
|
99,758 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $99,758) ($ Thousands) |
|
|
|
99,758 |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.7% |
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A |
|
|
|
|
|
|
|
|
| 0.010% **† |
|
|
117,846,596 |
|
|
|
117,847 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $117,847) ($ Thousands) |
|
|
|
|
|
|
117,847 |
|
|
|
|
|
|
|
|
|
|
|
| COMMERCIAL PAPER (F) — 0.3% |
|
| RBS Holdings USA |
|
|
|
|
|
|
|
|
| 0.190%, 10/27/2014 |
|
|
6,290 |
|
|
|
6,289 |
|
|
|
|
|
|
|
|
|
|
| Total Commercial Paper
(Cost $6,289) ($ Thousands) |
|
|
|
6,289 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 116.2%
(Cost $2,343,415) ($ Thousands) |
|
|
$ |
2,384,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 110 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Contracts |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| PURCHASED SWAPTIONS — 0.0%*†† |
|
| April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.500% |
|
|
4,800,000 |
|
|
$ |
183 |
|
| April 2018, 3-Month LIBOR Put, Expires: 04/09/2018, Strike Rate: 4.500% |
|
|
5,810,000 |
|
|
|
225 |
|
| January 2019, 5 year/30 year Put, Expires: 01/14/2019, Strike Rate: 5.000% |
|
|
3,685,000 |
|
|
|
108 |
|
| March 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.500% |
|
|
4,800,000 |
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
| Total Purchased Swaptions
(Cost $1,303) ($ Thousands) |
|
|
|
699 |
|
|
|
|
|
|
|
|
|
|
|
| WRITTEN OPTIONS — 0.0%*†† |
|
| December 2014, U.S. 10-Year Treasury Note Call,
Expires: 11/22/14,
Strike Price: $127.00 |
|
|
(169 |
) |
|
|
(29 |
) |
| December 2014, U.S. 10-Year Treasury Note Put,
Expires: 11/22/14,
Strike Price: $122.00 |
|
|
(169 |
) |
|
|
(27 |
) |
| November 2014, U.S. 10-Year Treasury Note Call,
Expires: 10/18/14,
Strike Price: $126.50 |
|
|
(31 |
) |
|
|
(3 |
) |
| November 2014, U.S. Long Treasury Bond Future Call, Expires 10/18/14,
Strike Price: $140.00 |
|
|
(51 |
) |
|
|
(20 |
) |
| November 2014, U.S. Long Treasury Bond Future Put,
Expires: 10/18/14,
Strike Price: $133.00 |
|
|
(51 |
) |
|
|
(3 |
) |
| November 2014, USD Call / EUR Put, Expires: 11/28/2014,
Strike Price $1.30 |
|
|
(6,400,000 |
) |
|
|
(194 |
) |
| November 2020, U.S. CPI Consumers NSA Call,
Expires: 11/21/2020,
Strike Inflation: 0.00% |
|
|
(3,990,000 |
) |
|
|
(1 |
) |
|
|
|
|
|
|
|
|
|
| Total Written Options
(Premiums Received $(209)) ($ Thousands) |
|
|
|
(277 |
) |
|
|
|
|
|
|
|
|
|
|
| WRITTEN SWAPTION — 0.0%*†† |
|
| January 2019, 5 Year/30 Year Put, Expires: 01/14/2019, Strike Rate: 5.000% |
|
|
(13,905,000 |
) |
|
|
(160 |
) |
|
|
|
|
|
|
|
|
|
| Total Written Swaption
(Premiums Received $(360)) ($ Thousands) |
|
|
|
(160 |
) |
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 90-Day Euro$ |
|
|
284 |
|
|
|
Dec-2016 |
|
|
$ |
(16 |
) |
| 90-Day Euro$ |
|
|
(30 |
) |
|
|
Dec-2017 |
|
|
|
1 |
|
| 90-Day Euro$ |
|
|
134 |
|
|
|
Jun-2016 |
|
|
|
(4 |
) |
| 90-Day Euro$ |
|
|
(247 |
) |
|
|
Jun-2018 |
|
|
|
(158 |
) |
| 90-Day Euro$ |
|
|
70 |
|
|
|
Mar-2015 |
|
|
|
1 |
|
| 90-Day Euro$ |
|
|
(70 |
) |
|
|
Mar-2016 |
|
|
|
(1 |
) |
| Euro |
|
|
(18 |
) |
|
|
Dec-2014 |
|
|
|
75 |
|
| Euro-Bobl |
|
|
(112 |
) |
|
|
Dec-2014 |
|
|
|
(64 |
) |
| Euro-Bund |
|
|
(38 |
) |
|
|
Dec-2014 |
|
|
|
(44 |
) |
| U.S. 10-Year Treasury Note |
|
|
(274 |
) |
|
|
Dec-2014 |
|
|
|
67 |
|
| U.S. 2-Year Treasury Note |
|
|
(517 |
) |
|
|
Dec-2014 |
|
|
|
46 |
|
| U.S. 5-Year Treasury Note |
|
|
632 |
|
|
|
Dec-2014 |
|
|
|
(81 |
) |
| U.S. Long Treasury Bond |
|
|
(390 |
) |
|
|
Dec-2014 |
|
|
|
463 |
|
| U.S. Ultra Long Treasury Bond |
|
|
164 |
|
|
|
Dec-2014 |
|
|
|
(162 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
A list of the open forward foreign currency contracts held
by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement
Date |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation (Depreciation)
($ Thousands) |
|
| 11/14/14 |
|
|
EUR |
|
|
|
15,481 |
|
|
|
USD |
|
|
|
20,729 |
|
|
$ |
1,169 |
|
| 11/14/14 |
|
|
JPY |
|
|
|
1,006,730 |
|
|
|
USD |
|
|
|
9,864 |
|
|
|
683 |
|
| 11/14/14 |
|
|
USD |
|
|
|
9,533 |
|
|
|
EUR |
|
|
|
7,291 |
|
|
|
(321 |
) |
| 11/14/14 |
|
|
USD |
|
|
|
4,475 |
|
|
|
JPY |
|
|
|
486,895 |
|
|
|
(35 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30,
2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
to Deliver
($ Thousands) |
|
|
Currency
to Receive
($ Thousands) |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| Barclays PLC |
|
$ |
(3,132 |
) |
|
$ |
3,355 |
|
|
$ |
223 |
|
| Citigroup |
|
|
(27,768 |
) |
|
|
28,740 |
|
|
|
973 |
|
| JPMorgan Chase Bank |
|
|
(10,441 |
) |
|
|
10,657 |
|
|
|
216 |
|
| UBS |
|
|
(1,411 |
) |
|
|
1,494 |
|
|
|
84 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all forward foreign currency contracts, as presented in the table
above, are representative of the volume of activity for this derivative type during the year.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
111 |
|
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (concluded)
September 30, 2014
A
list of open OTC swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default
Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation) ($ Thousands) |
|
| Deutsche Bank |
|
Berkshire Hathaway |
|
SELL |
|
1.00 |
|
03/20/24 |
|
$ |
(1,490 |
) |
|
$ |
26 |
|
| Deutsche Bank |
|
Metlife, Inc. |
|
SELL |
|
1.00 |
|
06/20/21 |
|
|
(1,590 |
) |
|
|
(12 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate
Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Barclays Capital |
|
2.42% |
|
3 Month USD - LIBOR |
|
11/15/27 |
|
$ |
1,620 |
|
|
$ |
(10 |
) |
| Barclays Capital |
|
2.48% |
|
3 Month USD - LIBOR |
|
11/15/27 |
|
|
1,620 |
|
|
|
4 |
|
| Barclays Capital |
|
3.49% |
|
3 Month USD - LIBOR |
|
03/15/46 |
|
|
3,370 |
|
|
|
(54 |
) |
| Barclays Capital |
|
3-Month USD - LIBOR |
|
3.15% |
|
03/15/26 |
|
|
7,520 |
|
|
|
6 |
|
| Citigroup |
|
2.71% |
|
3 Month USD - LIBOR |
|
08/15/42 |
|
|
3,245 |
|
|
|
289 |
|
| Goldman Sachs |
|
3.13% |
|
3 Month USD - LIBOR |
|
04/09/46 |
|
|
3,550 |
|
|
|
199 |
|
| Goldman Sachs |
|
2.80% |
|
3 Month USD - LIBOR |
|
04/09/26 |
|
|
7,870 |
|
|
|
(238 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of open centrally cleared swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default
Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Depreciation
($Thousands) |
|
| Barclays Bank PLC |
|
CDX.NA.HY.22 06/19 |
|
SELL |
|
5.00 |
|
06/20/19 |
|
$ |
(5,900 |
) |
|
$ |
(31 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate
Swaps |
|
| Broker |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Depreciation
($ Thousands) |
|
| Barclays Bank PLC |
|
0.04% |
|
3-Month LIBOR |
|
11/15/43 |
|
$ |
2,275 |
|
|
$ |
(216 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open OTC and centrally cleared swap agreements, as presented
in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $2,051,756 ($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
The rate reported is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
| †† |
|
For the year ended September 30, 2014, the total amount of open purchased swaptions, written options and written swaptions, as presented in the Schedule of
Investments, are representative of the volume of activity for these derivative types during the year. |
| ‡ |
|
Real Estate Investment Trust. |
| (1) |
|
In U.S. Dollars unless otherwise stated. |
| (A) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2014. The date reported on the Schedule of
Investments is the final maturity 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) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$97,187 ($ Thousands). |
| (D) |
|
Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2014. The coupon on a step bond changes on a specified
date. |
| (E) |
|
Unsettled bank loan. Interest rate not available. |
| (F) |
|
The rate reported is the effective yield at time of purchase. |
| (G) |
|
This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2014 was $99,758 ($ Thousands).
|
| (H) |
|
Unsettled bank loan. Interest rate not available. |
ABS
— Asset-Backed Security
ACES — Alternative Credit Enhancement Structure
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
CMO —
Collateralized Mortgage Obligation
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal
National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
JPY — Japanese Yen
LIBOR —
London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
MXP — Mexican Peso
|
|
|
| 112 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
NCUA — National Credit Union Administration
OTC — Over the Counter
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
Ser — Series
STRIPS —
Separately Traded Registered Interest and Principal Securities
ULC — Unlimited Liability Company
TBA — To Be Announced
USD — United States
Dollar
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other
financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Mortgage-Backed Securities |
|
$ |
— |
|
|
$ |
732,662 |
|
|
$ |
— |
|
|
$ |
732,662 |
|
| Corporate Obligations |
|
|
— |
|
|
|
544,476 |
|
|
|
— |
|
|
|
544,476 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
216,316 |
|
|
|
— |
|
|
|
216,316 |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
72,297 |
|
|
|
— |
|
|
|
72,297 |
|
| Sovereign Debt |
|
|
— |
|
|
|
50,988 |
|
|
|
— |
|
|
|
50,988 |
|
| Loan Participations |
|
|
— |
|
|
|
19,570 |
|
|
|
— |
|
|
|
19,570 |
|
| Municipal Bonds |
|
|
— |
|
|
|
16,644 |
|
|
|
— |
|
|
|
16,644 |
|
| Collateralized Debt Obligations |
|
|
— |
|
|
|
11,348 |
|
|
|
— |
|
|
|
11,348 |
|
| Preferred Stock |
|
|
666 |
|
|
|
— |
|
|
|
— |
|
|
|
666 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
495,795 |
|
|
|
— |
|
|
|
495,795 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
99,758 |
|
|
|
— |
|
|
|
99,758 |
|
| Cash Equivalent |
|
|
117,847 |
|
|
|
— |
|
|
|
— |
|
|
|
117,847 |
|
| Commercial Paper |
|
|
— |
|
|
|
6,289 |
|
|
|
— |
|
|
|
6,289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
118,513 |
|
|
$ |
2,266,143 |
|
|
$ |
— |
|
|
$ |
2,384,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Purchased Swaptions |
|
$ |
— |
|
|
$ |
699 |
|
|
$ |
— |
|
|
$ |
699 |
|
| Written Options |
|
|
— |
|
|
|
(277 |
) |
|
|
— |
|
|
|
(277 |
) |
| Written Swaption |
|
|
— |
|
|
|
(160 |
) |
|
|
— |
|
|
|
(160 |
) |
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
653 |
|
|
|
— |
|
|
|
— |
|
|
|
653 |
|
| Unrealized Depreciation |
|
|
(530 |
) |
|
|
— |
|
|
|
— |
|
|
|
(530 |
) |
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
1,852 |
|
|
|
— |
|
|
|
1,852 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(356 |
) |
|
|
— |
|
|
|
(356 |
) |
| OTC Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
26 |
|
|
|
— |
|
|
|
26 |
|
| Unrealized Deprecation |
|
|
— |
|
|
|
(12 |
) |
|
|
— |
|
|
|
(12 |
) |
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
498 |
|
|
|
— |
|
|
|
498 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(302 |
) |
|
|
— |
|
|
|
(302 |
) |
| Centrally Cleared Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(31 |
) |
|
|
— |
|
|
|
(31 |
) |
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(216 |
) |
|
|
— |
|
|
|
(216 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
123 |
|
|
$ |
1,721 |
|
|
$ |
— |
|
|
$ |
1,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
113 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 35.3% |
|
|
| Agency Mortgage-Backed Obligations — 28.4% |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 11.000%, 02/17/2021 |
|
$ |
78 |
|
|
$ |
87 |
|
| 10.000%, 03/17/2026 to 10/01/2030 |
|
|
568 |
|
|
|
636 |
|
| 7.500%, 01/01/2032 to 09/01/2038 |
|
|
665 |
|
|
|
786 |
|
| 6.500%, 10/01/2031 to 09/01/2038 |
|
|
1,020 |
|
|
|
1,165 |
|
| 6.000%, 08/01/2015 to 09/01/2038 |
|
|
1,213 |
|
|
|
1,346 |
|
| 5.500%, 06/01/2020 to 01/01/2039 |
|
|
4,762 |
|
|
|
5,225 |
|
| 5.000%, 03/01/2034 to 08/01/2041 |
|
|
3,612 |
|
|
|
4,024 |
|
| 4.500%, 04/01/2035 to 03/01/2044 |
|
|
5,526 |
|
|
|
6,034 |
|
| 4.000%, 03/01/2029 to 08/01/2043 |
|
|
7,448 |
|
|
|
7,898 |
|
| 3.500%, 08/01/2033 to 08/01/2043 |
|
|
5,958 |
|
|
|
6,091 |
|
| 2.500%, 03/01/2028 |
|
|
290 |
|
|
|
293 |
|
| FHLMC ARM (A) |
|
|
|
|
|
|
|
|
| 6.479%, 10/01/2037 |
|
|
176 |
|
|
|
187 |
|
| 5.042%, 01/01/2035 |
|
|
69 |
|
|
|
73 |
|
| 3.830%, 02/01/2036 |
|
|
241 |
|
|
|
255 |
|
| 3.435%, 07/01/2036 |
|
|
79 |
|
|
|
83 |
|
| 3.421%, 04/01/2044 |
|
|
165 |
|
|
|
171 |
|
| 3.237%, 06/01/2044 |
|
|
565 |
|
|
|
586 |
|
| 3.220%, 06/01/2044 |
|
|
360 |
|
|
|
372 |
|
| 3.168%, 02/01/2042 |
|
|
462 |
|
|
|
479 |
|
| 3.083%, 04/01/2044 |
|
|
272 |
|
|
|
282 |
|
| 3.074%, 03/01/2036 |
|
|
646 |
|
|
|
699 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.030%, 11/01/2043 |
|
$ |
272 |
|
|
$ |
277 |
|
| 2.985%, 10/01/2043 |
|
|
343 |
|
|
|
349 |
|
| 2.959%, 11/01/2043 |
|
|
413 |
|
|
|
420 |
|
| 2.949%, 01/01/2044 |
|
|
206 |
|
|
|
210 |
|
| 2.870%, 06/01/2044 |
|
|
269 |
|
|
|
277 |
|
| 2.869%, 09/01/2044 |
|
|
125 |
|
|
|
128 |
|
| 2.840%, 08/01/2044 |
|
|
380 |
|
|
|
390 |
|
| 2.838%, 07/01/2044 |
|
|
123 |
|
|
|
127 |
|
| 2.820%, 08/01/2044 |
|
|
121 |
|
|
|
124 |
|
| 2.811%, 09/01/2044 |
|
|
309 |
|
|
|
317 |
|
| 2.806%, 07/01/2044 |
|
|
126 |
|
|
|
129 |
|
| 2.790%, 03/01/2037 |
|
|
223 |
|
|
|
240 |
|
| 2.773%, 08/01/2044 |
|
|
302 |
|
|
|
310 |
|
| 2.753%, 10/01/2044 |
|
|
237 |
|
|
|
242 |
|
| 2.707%, 07/01/2042 |
|
|
904 |
|
|
|
927 |
|
| 2.684%, 11/01/2042 |
|
|
240 |
|
|
|
245 |
|
| 2.683%, 11/01/2036 |
|
|
40 |
|
|
|
43 |
|
| 2.680%, 05/01/2037 |
|
|
479 |
|
|
|
520 |
|
| 2.674%, 04/01/2037 |
|
|
100 |
|
|
|
108 |
|
| 2.633%, 05/01/2037 |
|
|
318 |
|
|
|
342 |
|
| 2.535%, 04/01/2037 |
|
|
8 |
|
|
|
9 |
|
| 2.488%, 05/01/2038 |
|
|
172 |
|
|
|
185 |
|
| 2.480%, 10/01/2037 |
|
|
45 |
|
|
|
48 |
|
| 2.375%, 11/01/2036 |
|
|
48 |
|
|
|
51 |
|
| 2.320%, 02/01/2037 |
|
|
53 |
|
|
|
56 |
|
| 2.271%, 06/01/2037 |
|
|
89 |
|
|
|
95 |
|
| 1.936%, 05/01/2037 |
|
|
260 |
|
|
|
273 |
|
| 1.925%, 04/01/2037 |
|
|
45 |
|
|
|
48 |
|
| FHLMC CMO, Ser 1591, Cl PV |
|
|
|
|
|
|
|
|
| 6.250%, 10/15/2023 |
|
|
588 |
|
|
|
641 |
|
| FHLMC CMO, Ser 2002-2399,
Cl XG |
|
|
|
|
|
|
|
|
| 6.500%, 01/15/2032 |
|
|
250 |
|
|
|
280 |
|
| FHLMC CMO, Ser 2002-48, Cl 1A |
|
|
|
|
|
|
|
|
| 5.698%, 07/25/2033 (A) |
|
|
6 |
|
|
|
7 |
|
| FHLMC CMO,
Ser 2003-57, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 07/25/2043 |
|
|
65 |
|
|
|
77 |
|
| FHLMC CMO,
Ser 2004-59, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 10/25/2043 |
|
|
90 |
|
|
|
106 |
|
| FHLMC CMO,
Ser 2004-60, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 03/25/2044 |
|
|
93 |
|
|
|
110 |
|
| FHLMC CMO, Ser 2005-2945,
Cl SA |
|
|
|
|
|
|
|
|
| 12.018%, 03/15/2020 (A) |
|
|
33 |
|
|
|
29 |
|
| FHLMC CMO,
Ser 2005-2967, Cl EA, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/2020 |
|
|
89 |
|
|
|
87 |
|
| FHLMC CMO, Ser 2005-2980, Cl QA |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2035 |
|
|
147 |
|
|
|
164 |
|
| FHLMC CMO,
Ser 2005-3077, Cl TO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/2035 |
|
|
115 |
|
|
|
104 |
|
| FHLMC CMO,
Ser 2006-3117, Cl OG, PO |
|
|
|
|
|
|
|
|
| 0.000%, 02/15/2036 |
|
|
117 |
|
|
|
110 |
|
|
|
|
| 114 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO,
Ser 2006-3153, Cl EO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 05/15/2036 |
|
$ |
78 |
|
|
$ |
73 |
|
| FHLMC CMO,
Ser 2006-3200, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 08/15/2036 |
|
|
105 |
|
|
|
97 |
|
| FHLMC CMO, Ser 2006-R007, Cl ZA |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2036 |
|
|
241 |
|
|
|
271 |
|
| FHLMC CMO,
Ser 2007-3316, Cl JO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 05/15/2037 |
|
|
21 |
|
|
|
20 |
|
| FHLMC CMO, Ser 2007-3318, Cl DB |
|
|
|
|
|
|
|
|
| 6.000%, 05/15/2027 |
|
|
257 |
|
|
|
289 |
|
| FHLMC CMO,
Ser 2007-3385, Cl SN, IO |
|
|
|
|
|
|
|
|
| 5.846%, 11/15/2037 (A) |
|
|
85 |
|
|
|
11 |
|
| FHLMC CMO,
Ser 2008-3451, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.896%, 05/15/2038 (A) |
|
|
81 |
|
|
|
12 |
|
| FHLMC CMO, Ser 2008-3461, Cl LZ |
|
|
|
|
|
|
|
|
| 6.000%, 06/15/2038 |
|
|
72 |
|
|
|
80 |
|
| FHLMC CMO,
Ser 2009-3510, Cl OD, PO |
|
|
|
|
|
|
|
|
| 0.000%, 02/15/2037 |
|
|
114 |
|
|
|
106 |
|
| FHLMC CMO, Ser 2009-3529, Cl AG |
|
|
|
|
|
|
|
|
| 6.500%, 04/15/2039 |
|
|
3 |
|
|
|
3 |
|
| FHLMC CMO,
Ser 2009-3604, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 05/15/2036 |
|
|
191 |
|
|
|
180 |
|
| FHLMC CMO,
Ser 2009-3607, Cl TO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/15/2039 |
|
|
127 |
|
|
|
116 |
|
| FHLMC CMO,
Ser 2010-3621, Cl BO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 01/15/2040 |
|
|
64 |
|
|
|
59 |
|
| FHLMC CMO, Ser 2010-3664, Cl DA |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2037 |
|
|
1,321 |
|
|
|
1,406 |
|
| FHLMC CMO, Ser 2010-3704, Cl CT |
|
|
|
|
|
|
|
|
| 7.000%, 12/15/2036 |
|
|
483 |
|
|
|
575 |
|
| FHLMC CMO,
Ser 2010-3714, Cl IP, IO |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2040 |
|
|
260 |
|
|
|
43 |
|
| FHLMC CMO,
Ser 2010-3739, Cl LI, IO |
|
|
|
|
|
|
|
|
| 4.000%, 03/15/2034 |
|
|
275 |
|
|
|
19 |
|
| FHLMC CMO,
Ser 2010-3747, Cl HI, IO |
|
|
|
|
|
|
|
|
| 4.500%, 07/15/2037 |
|
|
397 |
|
|
|
42 |
|
| FHLMC CMO,
Ser 2010-3756, Cl IP, IO |
|
|
|
|
|
|
|
|
| 4.000%, 08/15/2035 |
|
|
146 |
|
|
|
3 |
|
| FHLMC CMO,
Ser 2010-3759, Cl HI, IO |
|
|
|
|
|
|
|
|
| 4.000%, 08/15/2037 |
|
|
380 |
|
|
|
51 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO,
Ser 2010-3760, Cl GI, IO |
|
|
|
|
|
|
|
|
| 4.000%, 10/15/2037 |
|
$ |
189 |
|
|
$ |
17 |
|
| FHLMC CMO, Ser 2011-3793, Cl AB |
|
|
|
|
|
|
|
|
| 3.500%, 01/15/2026 |
|
|
500 |
|
|
|
510 |
|
| FHLMC CMO,
Ser 2011-3800, Cl AI, IO |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2029 |
|
|
316 |
|
|
|
33 |
|
| FHLMC CMO, Ser 2011-3804, Cl FN |
|
|
|
|
|
|
|
|
| 0.604%, 03/15/2039 (A) |
|
|
449 |
|
|
|
451 |
|
| FHLMC CMO, Ser 2011-3819, Cl ZQ |
|
|
|
|
|
|
|
|
| 6.000%, 04/15/2036 |
|
|
721 |
|
|
|
808 |
|
| FHLMC CMO, Ser 2011-3852, Cl QN |
|
|
|
|
|
|
|
|
| 5.500%, 05/15/2041 (A) |
|
|
147 |
|
|
|
149 |
|
| FHLMC CMO, Ser 2011-3876, Cl NB |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2038 |
|
|
263 |
|
|
|
285 |
|
| FHLMC CMO, Ser 2011-3925, Cl FL |
|
|
|
|
|
|
|
|
| 0.604%, 01/15/2041 (A) |
|
|
713 |
|
|
|
723 |
|
| FHLMC CMO,
Ser 2011-3947, Cl SG, IO |
|
|
|
|
|
|
|
|
| 5.796%, 10/15/2041 (A) |
|
|
938 |
|
|
|
173 |
|
| FHLMC CMO, Ser 2011-3957, Cl B |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2041 |
|
|
728 |
|
|
|
766 |
|
| FHLMC CMO, Ser 2012-279, Cl F6 |
|
|
|
|
|
|
|
|
| 0.604%, 09/15/2042 (A) |
|
|
436 |
|
|
|
434 |
|
| FHLMC CMO, Ser 2012-281, Cl F1 |
|
|
|
|
|
|
|
|
| 0.654%, 10/15/2042 (A) |
|
|
443 |
|
|
|
447 |
|
| FHLMC CMO,
Ser 2012-283, Cl IO, IO |
|
|
|
|
|
|
|
|
| 3.500%, 10/15/2027 |
|
|
1,495 |
|
|
|
217 |
|
| FHLMC CMO,
Ser 2012-4146, Cl DI, IO |
|
|
|
|
|
|
|
|
| 3.000%, 12/15/2031 |
|
|
1,544 |
|
|
|
219 |
|
| FHLMC CMO, Ser 2013-299, Cl 300 |
|
|
|
|
|
|
|
|
| 3.000%, 01/15/2043 |
|
|
906 |
|
|
|
896 |
|
| FHLMC CMO,
Ser 2013-310, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 09/15/2043 |
|
|
574 |
|
|
|
427 |
|
| FHLMC CMO,
Ser 2013-4203, Cl PS, IO |
|
|
|
|
|
|
|
|
| 6.096%, 09/15/2042 (A) |
|
|
616 |
|
|
|
112 |
|
| FHLMC CMO, Ser 2013-4206, Cl CZ |
|
|
|
|
|
|
|
|
| 3.000%, 05/15/2043 |
|
|
104 |
|
|
|
85 |
|
| FHLMC CMO, Ser 2013-4210, Cl Z |
|
|
|
|
|
|
|
|
| 3.000%, 05/15/2043 |
|
|
204 |
|
|
|
170 |
|
| FHLMC CMO, Ser 2013-4219, Cl JA |
|
|
|
|
|
|
|
|
| 3.500%, 08/15/2039 |
|
|
920 |
|
|
|
964 |
|
| FHLMC CMO, Ser 2013-4226, Cl GZ |
|
|
|
|
|
|
|
|
| 3.000%, 07/15/2043 |
|
|
104 |
|
|
|
87 |
|
| FHLMC CMO,
Ser 2013-4239, Cl IO, IO |
|
|
|
|
|
|
|
|
| 3.500%, 06/15/2027 |
|
|
1,161 |
|
|
|
144 |
|
| FHLMC CMO, Ser 2013-4281, Cl CE |
|
|
|
|
|
|
|
|
| 4.000%, 07/15/2043 |
|
|
270 |
|
|
|
288 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
115 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO, Ser 2014-336, Cl 300 |
|
|
|
|
|
|
|
|
| 3.000%, 08/15/2044 |
|
$ |
1,621 |
|
|
$ |
1,629 |
|
| FHLMC CMO, Ser 2014-4302, Cl PA |
|
|
|
|
|
|
|
|
| 4.000%, 12/15/2043 |
|
|
996 |
|
|
|
1,062 |
|
| FHLMC CMO,
Ser 2014-4335, Cl SW, IO |
|
|
|
|
|
|
|
|
| 5.846%, 05/15/2044 (A) |
|
|
99 |
|
|
|
22 |
|
| FHLMC CMO, Ser 2014-4384, Cl LA |
|
|
|
|
|
|
|
|
| 3.500%, 09/15/2040 |
|
|
1,997 |
|
|
|
2,097 |
|
| FHLMC CMO, Ser 2033, Cl HC |
|
|
|
|
|
|
|
|
| 6.500%, 02/15/2028 |
|
|
105 |
|
|
|
116 |
|
| FHLMC CMO, Ser 2075, Cl D |
|
|
|
|
|
|
|
|
| 6.500%, 08/15/2028 |
|
|
191 |
|
|
|
213 |
|
| FHLMC CMO, Ser 239, Cl S30, IO |
|
|
|
|
|
|
|
|
| 7.546%, 08/15/2036 (A) |
|
|
194 |
|
|
|
35 |
|
| FHLMC CMO, Ser 2434, Cl ZA |
|
|
|
|
|
|
|
|
| 6.500%, 04/15/2032 |
|
|
209 |
|
|
|
233 |
|
| FHLMC CMO, Ser 2458, Cl ZM |
|
|
|
|
|
|
|
|
| 6.500%, 06/15/2032 |
|
|
162 |
|
|
|
181 |
|
| FHLMC CMO, Ser 2631, Cl SA |
|
|
|
|
|
|
|
|
| 14.568%, 06/15/2033 (A) |
|
|
71 |
|
|
|
90 |
|
| FHLMC CMO, Ser 2725, Cl SC |
|
|
|
|
|
|
|
|
| 8.843%, 11/15/2033 (A) |
|
|
33 |
|
|
|
37 |
|
| FHLMC CMO, Ser 2950, Cl JO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/15/2020 |
|
|
30 |
|
|
|
30 |
|
| FHLMC CMO, Ser 3001, Cl HP |
|
|
|
|
|
|
|
|
| 21.386%, 05/15/2035 (A) |
|
|
75 |
|
|
|
101 |
|
| FHLMC CMO, Ser 3006, Cl QS |
|
|
|
|
|
|
|
|
| 19.759%, 07/15/2035 (A) |
|
|
163 |
|
|
|
219 |
|
| FHLMC CMO, Ser 3012, Cl GK |
|
|
|
|
|
|
|
|
| 24.059%, 06/15/2035 (A) |
|
|
106 |
|
|
|
148 |
|
| FHLMC CMO, Ser 3217, Cl CX, IO |
|
|
|
|
|
|
|
|
| 6.436%, 09/15/2036 (A) |
|
|
227 |
|
|
|
33 |
|
| FHLMC CMO, Ser 3225, Cl EO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/15/2036 |
|
|
150 |
|
|
|
138 |
|
| FHLMC CMO, Ser 3262, Cl SG, IO |
|
|
|
|
|
|
|
|
| 6.246%, 01/15/2037 (A) |
|
|
192 |
|
|
|
27 |
|
| FHLMC CMO, Ser 3373, Cl TO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/2037 |
|
|
40 |
|
|
|
36 |
|
| FHLMC CMO, Ser 3383, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.296%, 11/15/2037 (A) |
|
|
245 |
|
|
|
34 |
|
| FHLMC CMO, Ser 3422, Cl SE |
|
|
|
|
|
|
|
|
| 17.066%, 02/15/2038 (A) |
|
|
25 |
|
|
|
32 |
|
| FHLMC CMO, Ser 3515, Cl PI, IO |
|
|
|
|
|
|
|
|
| 5.500%, 07/15/2037 |
|
|
29 |
|
|
|
1 |
|
| FHLMC CMO, Ser 3607, Cl BO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/2036 |
|
|
41 |
|
|
|
38 |
|
| FHLMC CMO, Ser 3611, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 07/15/2034 |
|
|
56 |
|
|
|
51 |
|
| FHLMC CMO, Ser 3626, Cl MA |
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2030 |
|
|
499 |
|
|
|
504 |
|
| FHLMC CMO, Ser 3632, Cl BS |
|
|
|
|
|
|
|
|
| 16.988%, 02/15/2040 (A) |
|
|
100 |
|
|
|
130 |
|
| FHLMC CMO, Ser 3688, Cl NI, IO |
|
|
|
|
|
|
|
|
| 5.000%, 04/15/2032 |
|
|
424 |
|
|
|
40 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FHLMC CMO, Ser T-42, Cl A5 |
|
|
|
|
|
|
|
|
| 7.500%, 02/25/2042 |
|
$ |
641 |
|
|
$ |
745 |
|
| FHLMC CMO, Ser T-51, Cl 1A |
|
|
|
|
|
|
|
|
| 6.500%, 09/25/2043 (A) |
|
|
160 |
|
|
|
182 |
|
| FHLMC CMO, Ser T-54, Cl 2A |
|
|
|
|
|
|
|
|
| 6.500%, 02/25/2043 |
|
|
105 |
|
|
|
124 |
|
| FHLMC CMO, Ser T-54, Cl 3A |
|
|
|
|
|
|
|
|
| 7.000%, 02/25/2043 |
|
|
342 |
|
|
|
412 |
|
| FHLMC CMO, Ser T-57, Cl 1A2 |
|
|
|
|
|
|
|
|
| 7.000%, 07/25/2043 |
|
|
438 |
|
|
|
503 |
|
| FHLMC CMO, Ser T-58, Cl 4A |
|
|
|
|
|
|
|
|
| 7.500%, 09/25/2043 |
|
|
500 |
|
|
|
586 |
|
| FHLMC CMO, Ser T-60, Cl 1A2 |
|
|
|
|
|
|
|
|
| 7.000%, 03/25/2044 |
|
|
170 |
|
|
|
207 |
|
| FHLMC CMO, Ser T-76, Cl 2A |
|
|
|
|
|
|
|
|
| 1.516%, 10/25/2037 (A) |
|
|
241 |
|
|
|
234 |
|
| FHLMC-GNMA CMO,
Ser 1993-21, Cl L |
|
|
|
|
|
|
|
|
| 6.250%, 10/25/2023 |
|
|
230 |
|
|
|
254 |
|
| FHLMC Multifamily Structured Pass-Through Certificates,
Ser K017, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.586%, 12/25/2021 (A) |
|
|
301 |
|
|
|
25 |
|
| FHLMC Multifamily Structured Pass-Through Certificates,
Ser K021, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.642%, 06/25/2022 (A) |
|
|
375 |
|
|
|
34 |
|
| FHLMC Multifamily Structured Pass-Through Certificates,
Ser K024, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.021%, 09/25/2022 (A) |
|
|
337 |
|
|
|
19 |
|
| FHLMC Multifamily Structured Pass-Through Certificates,
Ser K037, Cl X1, IO |
|
|
|
|
|
|
|
|
| 1.198%, 01/25/2024 (A) |
|
|
6 |
|
|
|
— |
|
| FHLMC Multifamily Structured Pass-Through Certificates,
Ser KSMC, Cl A2 |
|
|
|
|
|
|
|
|
| 2.615%, 01/25/2023 |
|
|
500 |
|
|
|
488 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 7.500%, 10/01/2037 to 04/01/2039 |
|
|
425 |
|
|
|
486 |
|
| 7.000%, 04/01/2032 to 01/01/2039 |
|
|
277 |
|
|
|
311 |
|
| 6.500%, 05/01/2027 to 10/01/2038 |
|
|
1,168 |
|
|
|
1,340 |
|
| 6.000%, 10/01/2019 to 10/01/2040 |
|
|
4,324 |
|
|
|
4,877 |
|
| 5.500%, 02/01/2021 to 04/01/2040 |
|
|
3,151 |
|
|
|
3,537 |
|
| 5.000%, 01/01/2020 to 08/01/2041 |
|
|
5,603 |
|
|
|
6,230 |
|
| 4.761%, 02/01/2020 |
|
|
860 |
|
|
|
952 |
|
| 4.640%, 01/01/2021 |
|
|
479 |
|
|
|
533 |
|
|
|
|
| 116 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 4.540%, 01/01/2020 |
|
$ |
469 |
|
|
$ |
514 |
|
| 4.530%, 12/01/2019 |
|
|
453 |
|
|
|
500 |
|
| 4.500%, 08/01/2021 to 05/01/2044 |
|
|
6,288 |
|
|
|
6,847 |
|
| 4.410%, 05/01/2021 |
|
|
373 |
|
|
|
415 |
|
| 4.390%, 05/01/2021 |
|
|
247 |
|
|
|
273 |
|
| 4.380%, 01/01/2021 to 04/01/2021 |
|
|
1,446 |
|
|
|
1,591 |
|
| 4.369%, 02/01/2020 |
|
|
472 |
|
|
|
517 |
|
| 4.360%, 05/01/2021 |
|
|
996 |
|
|
|
1,098 |
|
| 4.301%, 01/01/2021 |
|
|
269 |
|
|
|
295 |
|
| 4.300%, 04/01/2021 to 07/01/2021 |
|
|
1,015 |
|
|
|
1,116 |
|
| 4.273%, 06/01/2021 |
|
|
424 |
|
|
|
460 |
|
| 4.250%, 04/01/2021 to 04/01/2021 |
|
|
750 |
|
|
|
824 |
|
| 4.240%, 06/01/2021 |
|
|
984 |
|
|
|
1,078 |
|
| 4.230%, 03/01/2020 |
|
|
392 |
|
|
|
425 |
|
| 4.130%, 08/01/2021 |
|
|
957 |
|
|
|
1,048 |
|
| 4.066%, 07/01/2020 |
|
|
388 |
|
|
|
420 |
|
| 4.060%, 07/01/2021 |
|
|
1,000 |
|
|
|
1,086 |
|
| 4.000%, 03/01/2025 to 08/01/2043 |
|
|
14,790 |
|
|
|
15,766 |
|
| 3.840%, 08/01/2021 |
|
|
934 |
|
|
|
1,008 |
|
| 3.670%, 07/01/2023 |
|
|
1,000 |
|
|
|
1,058 |
|
| 3.614%, 12/01/2020 |
|
|
1,137 |
|
|
|
1,200 |
|
| 3.590%, 12/01/2020 |
|
|
470 |
|
|
|
498 |
|
| 3.505%, 09/01/2020 |
|
|
934 |
|
|
|
989 |
|
| 3.500%, 04/01/2032 to 10/25/2044 |
|
|
18,800 |
|
|
|
19,362 |
|
| 3.430%, 10/01/2020 |
|
|
944 |
|
|
|
994 |
|
| 3.290%, 10/01/2020 |
|
|
345 |
|
|
|
360 |
|
| 3.230%, 11/01/2020 |
|
|
340 |
|
|
|
354 |
|
| 3.010%, 11/25/2044 |
|
|
270 |
|
|
|
277 |
|
| 3.000%, 08/01/2033 to 01/01/2043 |
|
|
2,440 |
|
|
|
2,457 |
|
| 2.810%, 06/01/2023 |
|
|
1,000 |
|
|
|
998 |
|
| 2.770%, 05/01/2022 |
|
|
1,000 |
|
|
|
1,007 |
|
| 2.703%, 04/01/2023 |
|
|
491 |
|
|
|
487 |
|
| 2.680%, 07/01/2022 |
|
|
1,961 |
|
|
|
1,967 |
|
| 2.510%, 06/01/2023 |
|
|
489 |
|
|
|
478 |
|
| 2.500%, 11/01/2026 to 10/01/2042 |
|
|
2,987 |
|
|
|
3,000 |
|
| 2.480%, 06/01/2019 |
|
|
989 |
|
|
|
1,003 |
|
| 2.460%, 04/01/2023 |
|
|
914 |
|
|
|
901 |
|
| 2.420%, 06/01/2023 |
|
|
489 |
|
|
|
474 |
|
| FNMA - ACES, Ser 2014-M8, Cl FA |
|
|
|
|
|
|
|
|
| 0.415%, 05/25/2018 (A) |
|
|
819 |
|
|
|
819 |
|
| FNMA ARM (A) |
|
|
|
|
|
|
|
|
| 6.254%, 08/01/2036 |
|
|
42 |
|
|
|
46 |
|
| 5.790%, 09/01/2037 |
|
|
84 |
|
|
|
90 |
|
| 3.235%, 04/01/2044 |
|
|
1,347 |
|
|
|
1,395 |
|
| 3.188%, 07/01/2044 |
|
|
210 |
|
|
|
217 |
|
| 3.152%, 07/01/2044 |
|
|
47 |
|
|
|
48 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.120%, 09/01/2044 |
|
$ |
359 |
|
|
$ |
369 |
|
| 3.071%, 01/01/2044 |
|
|
191 |
|
|
|
199 |
|
| 2.996%, 03/01/2036 |
|
|
176 |
|
|
|
188 |
|
| 2.989%, 04/01/2044 |
|
|
174 |
|
|
|
180 |
|
| 2.985%, 04/01/2044 |
|
|
214 |
|
|
|
221 |
|
| 2.978%, 01/01/2044 |
|
|
190 |
|
|
|
193 |
|
| 2.915%, 10/01/2044 |
|
|
727 |
|
|
|
750 |
|
| 2.869%, 07/01/2044 |
|
|
695 |
|
|
|
716 |
|
| 2.850%, 12/01/2043 |
|
|
324 |
|
|
|
333 |
|
| 2.820%, 08/01/2044 |
|
|
509 |
|
|
|
523 |
|
| 2.812%, 07/01/2044 |
|
|
288 |
|
|
|
297 |
|
| 2.791%, 11/01/2036 |
|
|
145 |
|
|
|
155 |
|
| 2.760%, 08/01/2044 |
|
|
338 |
|
|
|
349 |
|
| 2.759%, 09/01/2044 |
|
|
465 |
|
|
|
477 |
|
| 2.738%, 08/01/2044 |
|
|
758 |
|
|
|
777 |
|
| 2.731%, 07/01/2044 |
|
|
185 |
|
|
|
189 |
|
| 2.570%, 09/01/2036 |
|
|
52 |
|
|
|
55 |
|
| 2.560%, 12/01/2036 |
|
|
473 |
|
|
|
508 |
|
| 2.556%, 05/01/2043 |
|
|
162 |
|
|
|
161 |
|
| 2.519%, 11/01/2036 |
|
|
128 |
|
|
|
139 |
|
| 2.498%, 09/01/2037 |
|
|
4 |
|
|
|
4 |
|
| 2.454%, 12/01/2036 |
|
|
122 |
|
|
|
131 |
|
| 2.345%, 04/01/2037 |
|
|
87 |
|
|
|
94 |
|
| 2.333%, 07/01/2037 |
|
|
255 |
|
|
|
273 |
|
| 2.332%, 04/01/2036 |
|
|
103 |
|
|
|
110 |
|
| 2.275%, 07/01/2037 |
|
|
131 |
|
|
|
141 |
|
| 2.262%, 11/01/2037 |
|
|
262 |
|
|
|
280 |
|
| 2.022%, 11/01/2037 |
|
|
139 |
|
|
|
147 |
|
| 1.709%, 07/01/2037 |
|
|
303 |
|
|
|
316 |
|
| 0.611%, 11/01/2023 |
|
|
985 |
|
|
|
993 |
|
| 0.516%, 01/01/2023 |
|
|
193 |
|
|
|
195 |
|
| 0.506%, 01/01/2023 |
|
|
483 |
|
|
|
482 |
|
| 0.496%, 01/01/2023 |
|
|
500 |
|
|
|
500 |
|
| FNMA CMO,
Ser 1998-300, Cl 1, PO |
|
|
|
|
|
|
|
|
| 0.000%, 09/01/2024 |
|
|
85 |
|
|
|
81 |
|
| FNMA CMO, Ser 1999-11, Cl Z |
|
|
|
|
|
|
|
|
| 5.500%, 03/25/2029 |
|
|
121 |
|
|
|
131 |
|
| FNMA CMO,
Ser 2000-18, Cl EC, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/25/2023 |
|
|
64 |
|
|
|
60 |
|
| FNMA CMO, Ser 2001-79, Cl BA |
|
|
|
|
|
|
|
|
| 7.000%, 03/25/2045 |
|
|
146 |
|
|
|
170 |
|
| FNMA CMO, Ser 2002-33, Cl A2 |
|
|
|
|
|
|
|
|
| 7.500%, 06/25/2032 |
|
|
68 |
|
|
|
79 |
|
| FNMA CMO, Ser 2002-95, Cl DB |
|
|
|
|
|
|
|
|
| 6.000%, 01/25/2033 |
|
|
259 |
|
|
|
291 |
|
| FNMA CMO, Ser 2003-131, Cl SK |
|
|
|
|
|
|
|
|
| 15.890%, 01/25/2034 (A) |
|
|
82 |
|
|
|
107 |
|
| FNMA CMO, Ser 2003-23, Cl EQ |
|
|
|
|
|
|
|
|
| 5.500%, 04/25/2023 |
|
|
959 |
|
|
|
1,052 |
|
| FNMA CMO, Ser 2003-35, Cl EA, PO |
|
|
|
|
|
|
|
|
| 0.000%, 05/25/2033 |
|
|
37 |
|
|
|
33 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
117 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO, Ser 2004-46, Cl EP, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2034 |
|
$ |
88 |
|
|
$ |
83 |
|
| FNMA CMO, Ser 2004-52, Cl PX, PO |
|
|
|
|
|
|
|
|
| 0.000%, 09/25/2032 |
|
|
17 |
|
|
|
17 |
|
| FNMA CMO, Ser 2004-61, Cl BO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/25/2032 |
|
|
17 |
|
|
|
17 |
|
| FNMA CMO, Ser 2004-89, Cl SM |
|
|
|
|
|
|
|
|
| 17.450%, 09/25/2024 (A) |
|
|
295 |
|
|
|
385 |
|
| FNMA CMO, Ser 2005-106, Cl US |
|
|
|
|
|
|
|
|
| 24.000%, 11/25/2035 (A) |
|
|
431 |
|
|
|
630 |
|
| FNMA CMO, Ser 2005-117, Cl LC |
|
|
|
|
|
|
|
|
| 5.500%, 11/25/2035 |
|
|
536 |
|
|
|
584 |
|
| FNMA CMO, Ser 2005-360, Cl 2, IO |
|
|
|
|
|
|
|
|
| 5.000%, 08/01/2035 |
|
|
361 |
|
|
|
57 |
|
| FNMA CMO, Ser 2005-5, Cl PA |
|
|
|
|
|
|
|
|
| 5.000%, 01/25/2035 |
|
|
78 |
|
|
|
84 |
|
| FNMA CMO, Ser 2005-72, Cl SB |
|
|
|
|
|
|
|
|
| 16.489%, 08/25/2035 (A) |
|
|
73 |
|
|
|
95 |
|
| FNMA CMO, Ser 2005-90, Cl ES |
|
|
|
|
|
|
|
|
| 16.489%, 10/25/2035 (A) |
|
|
101 |
|
|
|
128 |
|
| FNMA CMO,
Ser 2006-117, Cl GS, IO |
|
|
|
|
|
|
|
|
| 6.496%, 12/25/2036 (A) |
|
|
72 |
|
|
|
11 |
|
| FNMA CMO, Ser 2006-118, Cl A2 |
|
|
|
|
|
|
|
|
| 0.222%, 12/25/2036 (A) |
|
|
137 |
|
|
|
134 |
|
| FNMA CMO, Ser 2006-15, Cl OP, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2036 |
|
|
76 |
|
|
|
69 |
|
| FNMA CMO, Ser 2006-27, Cl OH, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/25/2036 |
|
|
71 |
|
|
|
67 |
|
| FNMA CMO, Ser 2006-59, Cl QO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 01/25/2033 |
|
|
30 |
|
|
|
30 |
|
| FNMA CMO,
Ser 2006-60, Cl DO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 04/25/2035 |
|
|
60 |
|
|
|
58 |
|
| FNMA CMO, Ser 2006-63, Cl ZH |
|
|
|
|
|
|
|
|
| 6.500%, 07/25/2036 |
|
|
362 |
|
|
|
405 |
|
| FNMA CMO, Ser 2006-78, Cl BZ |
|
|
|
|
|
|
|
|
| 6.500%, 08/25/2036 |
|
|
65 |
|
|
|
72 |
|
| FNMA CMO,
Ser 2007-100, Cl SM, IO |
|
|
|
|
|
|
|
|
| 6.296%, 10/25/2037 (A) |
|
|
192 |
|
|
|
27 |
|
| FNMA CMO,
Ser 2007-101, Cl A2 |
|
|
|
|
|
|
|
|
| 0.405%, 06/27/2036 (A) |
|
|
101 |
|
|
|
99 |
|
| FNMA CMO,
Ser 2007-112, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.296%, 12/25/2037 (A) |
|
|
230 |
|
|
|
32 |
|
| FNMA CMO,
Ser 2007-114, Cl A6 |
|
|
|
|
|
|
|
|
| 0.355%, 10/27/2037 (A) |
|
|
200 |
|
|
|
200 |
|
| FNMA CMO,
Ser 2007-116, Cl HI, IO |
|
|
|
|
|
|
|
|
| 1.491%, 01/25/2038 (A) |
|
|
203 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO,
Ser 2007-29, Cl SG |
|
|
|
|
|
|
|
|
| 22.151%, 04/25/2037 (A) |
|
$ |
34 |
|
|
$ |
47 |
|
| FNMA CMO,
Ser 2007-65, Cl KI, IO |
|
|
|
|
|
|
|
|
| 6.466%, 07/25/2037 (A) |
|
|
136 |
|
|
|
18 |
|
| FNMA CMO,
Ser 2007-72, Cl EK, IO |
|
|
|
|
|
|
|
|
| 6.246%, 07/25/2037 (A) |
|
|
181 |
|
|
|
25 |
|
| FNMA CMO,
Ser 2007-77, Cl PD |
|
|
|
|
|
|
|
|
| 6.000%, 10/25/2036 |
|
|
885 |
|
|
|
922 |
|
| FNMA CMO,
Ser 2007-85, Cl SG |
|
|
|
|
|
|
|
|
| 15.864%, 09/25/2037 (A) |
|
|
39 |
|
|
|
50 |
|
| FNMA CMO,
Ser 2008-35, Cl IM, IO |
|
|
|
|
|
|
|
|
| 0.642%, 10/25/2016 (A) |
|
|
225 |
|
|
|
2 |
|
| FNMA CMO,
Ser 2008-4, Cl SD, IO |
|
|
|
|
|
|
|
|
| 5.846%, 02/25/2038 (A) |
|
|
461 |
|
|
|
61 |
|
| FNMA CMO,
Ser 2008-95, Cl BA |
|
|
|
|
|
|
|
|
| 5.000%, 01/25/2024 |
|
|
250 |
|
|
|
274 |
|
| FNMA CMO,
Ser 2009-103, Cl MB |
|
|
|
|
|
|
|
|
| 2.365%, 12/25/2039 (A) |
|
|
203 |
|
|
|
206 |
|
| FNMA CMO,
Ser 2009-20, Cl DT |
|
|
|
|
|
|
|
|
| 4.500%, 04/25/2039 |
|
|
280 |
|
|
|
299 |
|
| FNMA CMO,
Ser 2009-52, Cl PI, IO |
|
|
|
|
|
|
|
|
| 5.000%, 07/25/2039 |
|
|
169 |
|
|
|
29 |
|
| FNMA CMO,
Ser 2009-70, Cl CO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 01/25/2037 |
|
|
154 |
|
|
|
137 |
|
| FNMA CMO,
Ser 2009-84, Cl WS, IO |
|
|
|
|
|
|
|
|
| 5.746%, 10/25/2039 (A) |
|
|
92 |
|
|
|
12 |
|
| FNMA CMO,
Ser 2009-86, Cl BO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 03/25/2037 |
|
|
1,208 |
|
|
|
1,137 |
|
| FNMA CMO,
Ser 2009-86, Cl IP, IO |
|
|
|
|
|
|
|
|
| 5.500%, 10/25/2039 |
|
|
68 |
|
|
|
12 |
|
| FNMA CMO,
Ser 2009-86, Cl OT, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/25/2037 |
|
|
141 |
|
|
|
129 |
|
| FNMA CMO,
Ser 2009-99, Cl SC, IO |
|
|
|
|
|
|
|
|
| 6.026%, 12/25/2039 (A) |
|
|
117 |
|
|
|
17 |
|
| FNMA CMO,
Ser 2009-99, Cl WA |
|
|
|
|
|
|
|
|
| 6.299%, 12/25/2039 (A) |
|
|
266 |
|
|
|
294 |
|
|
|
|
| 118 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO, Ser 2010-1, Cl WA |
|
|
|
|
|
|
|
|
| 6.189%, 02/25/2040 (A) |
|
$ |
100 |
|
|
$ |
109 |
|
| FNMA CMO, Ser 2010-16, Cl WA |
|
|
|
|
|
|
|
|
| 6.436%, 03/25/2040 (A) |
|
|
125 |
|
|
|
140 |
|
| FNMA CMO, Ser 2010-23, Cl KS, IO |
|
|
|
|
|
|
|
|
| 6.946%, 02/25/2040 (A) |
|
|
215 |
|
|
|
32 |
|
| FNMA CMO, Ser 2010-35, Cl SB, IO |
|
|
|
|
|
|
|
|
| 6.266%, 04/25/2040 (A) |
|
|
139 |
|
|
|
18 |
|
| FNMA CMO,
Ser 2010-39, Cl OT, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/25/2035 |
|
|
64 |
|
|
|
59 |
|
| FNMA CMO,
Ser 2010-68, Cl SA, IO |
|
|
|
|
|
|
|
|
| 4.846%, 07/25/2040 (A) |
|
|
880 |
|
|
|
103 |
|
| FNMA CMO,
Ser 2011-118, Cl MT |
|
|
|
|
|
|
|
|
| 7.000%, 11/25/2041 |
|
|
554 |
|
|
|
636 |
|
| FNMA CMO,
Ser 2011-87, Cl SG, IO |
|
|
|
|
|
|
|
|
| 6.395%, 04/25/2040 (A) |
|
|
651 |
|
|
|
110 |
|
| FNMA CMO, Ser 2011-M3, Cl A1 |
|
|
|
|
|
|
|
|
| 2.072%, 07/25/2021 |
|
|
1,033 |
|
|
|
1,047 |
|
| FNMA CMO, Ser 2011-M4, Cl A2 |
|
|
|
|
|
|
|
|
| 3.726%, 06/25/2021 |
|
|
845 |
|
|
|
900 |
|
| FNMA CMO,
Ser 2012-101, Cl AI, IO |
|
|
|
|
|
|
|
|
| 3.000%, 06/25/2027 |
|
|
1,055 |
|
|
|
119 |
|
| FNMA CMO, Ser 2012-108, Cl F |
|
|
|
|
|
|
|
|
| 0.655%, 10/25/2042 (A) |
|
|
443 |
|
|
|
446 |
|
| FNMA CMO, Ser 2012-112, Cl FD |
|
|
|
|
|
|
|
|
| 0.655%, 10/25/2042 (A) |
|
|
449 |
|
|
|
453 |
|
| FNMA CMO,
Ser 2012-118, Cl CI, IO |
|
|
|
|
|
|
|
|
| 3.500%, 12/25/2039 |
|
|
1,126 |
|
|
|
180 |
|
| FNMA CMO, Ser 2012-130, Cl DC |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2042 |
|
|
1,041 |
|
|
|
1,028 |
|
| FNMA CMO, Ser 2012-134, Cl LC |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2042 |
|
|
194 |
|
|
|
193 |
|
| FNMA CMO, Ser 2012-14, Cl FG |
|
|
|
|
|
|
|
|
| 0.555%, 07/25/2040 (A) |
|
|
725 |
|
|
|
728 |
|
| FNMA CMO, Ser 2012-M12, Cl 1A |
|
|
|
|
|
|
|
|
| 2.935%, 08/25/2022 (A) |
|
|
2 |
|
|
|
2 |
|
| FNMA CMO, Ser 2012-M15, Cl A |
|
|
|
|
|
|
|
|
| 2.744%, 10/25/2022 (A) |
|
|
920 |
|
|
|
914 |
|
| FNMA CMO,
Ser 2013-101, Cl DO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 10/25/2043 |
|
|
377 |
|
|
|
278 |
|
| FNMA CMO, Ser 2013-121, Cl LB |
|
|
|
|
|
|
|
|
| 3.000%, 12/25/2043 |
|
|
591 |
|
|
|
609 |
|
| FNMA CMO,
Ser 2013-126, Cl CS, IO |
|
|
|
|
|
|
|
|
| 5.996%, 09/25/2041 (A) |
|
|
987 |
|
|
|
143 |
|
| FNMA CMO,
Ser 2013-128, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 12/25/2043 |
|
|
380 |
|
|
|
284 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA CMO, Ser 2013-4, Cl AJ |
|
|
|
|
|
|
|
|
| 3.500%, 02/25/2043 |
|
$ |
899 |
|
|
$ |
912 |
|
| FNMA CMO,
Ser 2013-73, Cl IA, IO |
|
|
|
|
|
|
|
|
| 3.000%, 09/25/2032 |
|
|
1,090 |
|
|
|
160 |
|
| FNMA CMO, Ser 2013-9, Cl CB |
|
|
|
|
|
|
|
|
| 5.500%, 04/25/2042 |
|
|
24 |
|
|
|
27 |
|
| FNMA CMO,
Ser 2013-NPL7, Cl A1 |
|
|
|
|
|
|
|
|
| 3.625%, 11/25/2053 |
|
|
134 |
|
|
|
134 |
|
| FNMA CMO,
Ser 2014-47, Cl AI, IO |
|
|
|
|
|
|
|
|
| 1.884%, 08/25/2044 (A) |
|
|
1,653 |
|
|
|
120 |
|
| FNMA CMO, Ser 2014-M5, Cl FA |
|
|
|
|
|
|
|
|
| 0.523%, 01/25/2017 (A) |
|
|
134 |
|
|
|
134 |
|
| FNMA CMO, Ser 2014-M6, Cl FA |
|
|
|
|
|
|
|
|
| 0.461%, 12/25/2017 (A) |
|
|
118 |
|
|
|
118 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 |
|
|
|
|
|
|
|
|
| 1.355%, 07/25/2024 (A) (B) |
|
|
249 |
|
|
|
247 |
|
| FNMA Grantor Trust CMO,
Ser 2001-T10, Cl A1 |
|
|
|
|
|
|
|
|
| 7.000%, 12/25/2041 |
|
|
433 |
|
|
|
501 |
|
| FNMA Grantor Trust CMO,
Ser 2001-T10, Cl A2 |
|
|
|
|
|
|
|
|
| 7.500%, 12/25/2041 |
|
|
246 |
|
|
|
283 |
|
| FNMA Grantor Trust CMO,
Ser 2002-T1, Cl A1 |
|
|
|
|
|
|
|
|
| 6.500%, 11/25/2031 |
|
|
294 |
|
|
|
334 |
|
| FNMA Grantor Trust CMO,
Ser 2002-T19, Cl A2 |
|
|
|
|
|
|
|
|
| 7.000%, 07/25/2042 |
|
|
327 |
|
|
|
373 |
|
| FNMA Grantor Trust CMO,
Ser 2004-T3, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.000%, 02/25/2044 |
|
|
274 |
|
|
|
310 |
|
| FNMA, Ser M8, Cl X2, IO |
|
|
|
|
|
|
|
|
| 0.549%, 06/25/2024 (A) |
|
|
8,976 |
|
|
|
288 |
|
| FNMA TBA |
|
|
|
|
|
|
|
|
| 5.000%, 10/01/2038 |
|
|
3,000 |
|
|
|
3,310 |
|
| 4.500%, 11/15/2034 to 10/15/2042 |
|
|
16,085 |
|
|
|
17,323 |
|
| 4.000%, 10/14/2039 to 10/25/2044 |
|
|
16,115 |
|
|
|
16,973 |
|
| 3.500%, 10/16/2027 to 10/25/2044 |
|
|
17,250 |
|
|
|
17,679 |
|
| 3.000%, 10/15/2027 to 10/25/2044 |
|
|
19,315 |
|
|
|
19,407 |
|
| 2.500%, 10/15/2027 to 10/25/2029 |
|
|
1,925 |
|
|
|
1,936 |
|
| FNMA Whole Loan CMO,
Ser 2002-W6, Cl 2SI, IO |
|
|
|
|
|
|
|
|
| 7.946%, 06/25/2042 (A) |
|
|
380 |
|
|
|
78 |
|
| FNMA Whole Loan CMO,
Ser 2003-W1, Cl 2A |
|
|
|
|
|
|
|
|
| 6.591%, 12/25/2042 (A) |
|
|
214 |
|
|
|
250 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
119 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FNMA Whole Loan CMO,
Ser 2003-W12, Cl 1A8 |
|
|
|
|
|
|
|
|
| 4.550%, 06/25/2043 |
|
$ |
177 |
|
|
$ |
191 |
|
| FNMA Whole Loan CMO,
Ser 2003-W17, Cl 1A7 |
|
|
|
|
|
|
|
|
| 5.750%, 08/25/2033 |
|
|
83 |
|
|
|
90 |
|
| FNMA Whole Loan CMO,
Ser 2003-W8, Cl 2A |
|
|
|
|
|
|
|
|
| 7.000%, 10/25/2042 |
|
|
190 |
|
|
|
216 |
|
| FNMA Whole Loan CMO,
Ser 2004-W1, Cl 2A2 |
|
|
|
|
|
|
|
|
| 7.000%, 12/25/2033 |
|
|
358 |
|
|
|
413 |
|
| FNMA Whole Loan CMO,
Ser 2004-W2, Cl 2A2 |
|
|
|
|
|
|
|
|
| 7.000%, 02/25/2044 |
|
|
385 |
|
|
|
443 |
|
| FNMA Whole Loan CMO,
Ser 2005-W3, Cl 2AF |
|
|
|
|
|
|
|
|
| 0.375%, 03/25/2045 (A) |
|
|
406 |
|
|
|
407 |
|
| FNMA Whole Loan CMO,
Ser 2006-W1, Cl 1A3 |
|
|
|
|
|
|
|
|
| 7.500%, 12/25/2045 |
|
|
228 |
|
|
|
263 |
|
| FNMA Whole Loan CMO,
Ser 2006-W2, Cl 1AF1 |
|
|
|
|
|
|
|
|
| 0.375%, 02/25/2036 (A) |
|
|
175 |
|
|
|
175 |
|
| FNMA Whole Loan CMO,
Ser 2007-W1, Cl 1AF1 |
|
|
|
|
|
|
|
|
| 0.415%, 11/25/2046 (A) |
|
|
241 |
|
|
|
241 |
|
| FREMF Mortgage Trust,
Ser 2014-K36, Cl C |
|
|
|
|
|
|
|
|
| 4.502%, 12/25/2046 (A) (B) |
|
|
120 |
|
|
|
120 |
|
| FREMF Mortgage Trust,
Ser 2014-K714, Cl C |
|
|
|
|
|
|
|
|
| 3.988%, 01/25/2047 (A) (B) |
|
|
60 |
|
|
|
60 |
|
| GNMA |
|
|
|
|
|
|
|
|
| 7.500%, 10/15/2037 |
|
|
108 |
|
|
|
121 |
|
| 7.000%, 09/15/2031 |
|
|
64 |
|
|
|
76 |
|
| 6.500%, 12/15/2035 |
|
|
617 |
|
|
|
718 |
|
| 6.000%, 09/20/2038 |
|
|
183 |
|
|
|
207 |
|
| 1.625%, 02/20/2034 (A) |
|
|
438 |
|
|
|
454 |
|
| GNMA CMO, Ser 2001-61, Cl Z |
|
|
|
|
|
|
|
|
| 6.500%, 12/20/2031 |
|
|
517 |
|
|
|
579 |
|
| GNMA CMO,
Ser 2003-97, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.396%, 11/16/2033 (A) |
|
|
349 |
|
|
|
69 |
|
| GNMA CMO, Ser 2004-11, Cl SX |
|
|
|
|
|
|
|
|
| 17.056%, 02/20/2034 (A) |
|
|
37 |
|
|
|
52 |
|
| GNMA CMO, Ser 2004-28, Cl SV |
|
|
|
|
|
|
|
|
| 8.845%, 04/20/2034 (A) |
|
|
129 |
|
|
|
140 |
|
| GNMA CMO, Ser 2004-71, Cl ST |
|
|
|
|
|
|
|
|
| 7.000%, 09/20/2034 (A) |
|
|
79 |
|
|
|
86 |
|
| GNMA CMO,
Ser 2004-85, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 01/17/2033 |
|
|
9 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GNMA CMO, Ser 2004-87, Cl SB |
|
|
|
|
|
|
|
|
| 7.494%, 03/17/2033 (A) |
|
$ |
100 |
|
|
$ |
110 |
|
| GNMA CMO, Ser 2005-28, Cl YO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 02/17/2033 |
|
|
196 |
|
|
|
189 |
|
| GNMA CMO, Ser 2005-92, Cl PB |
|
|
|
|
|
|
|
|
| 6.000%, 12/20/2035 |
|
|
400 |
|
|
|
462 |
|
| GNMA CMO,
Ser 2006-34, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 07/20/2036 |
|
|
34 |
|
|
|
32 |
|
| GNMA CMO,
Ser 2006-38, Cl SG, IO |
|
|
|
|
|
|
|
|
| 6.495%, 09/20/2033 (A) |
|
|
70 |
|
|
|
1 |
|
| GNMA CMO,
Ser 2007-26, Cl SW, IO |
|
|
|
|
|
|
|
|
| 6.045%, 05/20/2037 (A) |
|
|
311 |
|
|
|
44 |
|
| GNMA CMO,
Ser 2007-27, Cl SD, IO |
|
|
|
|
|
|
|
|
| 6.045%, 05/20/2037 (A) |
|
|
207 |
|
|
|
30 |
|
| GNMA CMO,
Ser 2007-72, Cl US, IO |
|
|
|
|
|
|
|
|
| 6.395%, 11/20/2037 (A) |
|
|
118 |
|
|
|
18 |
|
| GNMA CMO,
Ser 2007-78, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.376%, 12/16/2037 (A) |
|
|
1,388 |
|
|
|
215 |
|
| GNMA CMO,
Ser 2007-82, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.375%, 12/20/2037 (A) |
|
|
166 |
|
|
|
26 |
|
| GNMA CMO, Ser 2007-9, Cl CI, IO |
|
|
|
|
|
|
|
|
| 6.045%, 03/20/2037 (A) |
|
|
298 |
|
|
|
43 |
|
| GNMA CMO,
Ser 2008-1, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 01/20/2038 |
|
|
63 |
|
|
|
57 |
|
| GNMA CMO, Ser 2008-10, Cl S, IO |
|
|
|
|
|
|
|
|
| 5.675%, 02/20/2038 (A) |
|
|
260 |
|
|
|
34 |
|
| GNMA CMO,
Ser 2008-29, Cl PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 02/17/2033 |
|
|
44 |
|
|
|
43 |
|
| GNMA CMO,
Ser 2008-33, Cl XS, IO |
|
|
|
|
|
|
|
|
| 7.546%, 04/16/2038 (A) |
|
|
121 |
|
|
|
25 |
|
| GNMA CMO,
Ser 2008-55, Cl SA, IO |
|
|
|
|
|
|
|
|
| 6.045%, 06/20/2038 (A) |
|
|
270 |
|
|
|
37 |
|
| GNMA CMO,
Ser 2009-106, Cl AS, IO |
|
|
|
|
|
|
|
|
| 6.246%, 11/16/2039 (A) |
|
|
347 |
|
|
|
52 |
|
| GNMA CMO, Ser 2009-14, Cl KI, IO |
|
|
|
|
|
|
|
|
| 6.500%, 03/20/2039 |
|
|
161 |
|
|
|
32 |
|
| GNMA CMO,
Ser 2009-24, Cl DS, IO |
|
|
|
|
|
|
|
|
| 6.145%, 03/20/2039 (A) |
|
|
274 |
|
|
|
25 |
|
| GNMA CMO,
Ser 2009-25, Cl SE, IO |
|
|
|
|
|
|
|
|
| 7.445%, 09/20/2038 (A) |
|
|
192 |
|
|
|
35 |
|
|
|
|
| 120 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GNMA CMO,
Ser 2009-43, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.795%, 06/20/2039 (A) |
|
$ |
203 |
|
|
$ |
27 |
|
| GNMA CMO, Ser 2009-6, Cl SH, IO |
|
|
|
|
|
|
|
|
| 5.885%, 02/20/2039 (A) |
|
|
173 |
|
|
|
23 |
|
| GNMA CMO, Ser 2009-65, Cl IQ, IO |
|
|
|
|
|
|
|
|
| 6.000%, 12/20/2038 |
|
|
89 |
|
|
|
14 |
|
| GNMA CMO,
Ser 2009-65, Cl TS, IO |
|
|
|
|
|
|
|
|
| 6.245%, 12/20/2038 (A) |
|
|
357 |
|
|
|
43 |
|
| GNMA CMO,
Ser 2009-66, Cl XS, IO |
|
|
|
|
|
|
|
|
| 6.646%, 07/16/2039 (A) |
|
|
2,076 |
|
|
|
302 |
|
| GNMA CMO,
Ser 2009-67, Cl SA, IO |
|
|
|
|
|
|
|
|
| 5.896%, 08/16/2039 (A) |
|
|
131 |
|
|
|
18 |
|
| GNMA CMO, Ser 2009-75, Cl MN |
|
|
|
|
|
|
|
|
| 5.500%, 09/20/2039 |
|
|
500 |
|
|
|
580 |
|
| GNMA CMO,
Ser 2009-79, Cl OK, PO |
|
|
|
|
|
|
|
|
| 0.000%, 11/16/2037 |
|
|
239 |
|
|
|
226 |
|
| GNMA CMO,
Ser 2009-83, Cl TS, IO |
|
|
|
|
|
|
|
|
| 5.945%, 08/20/2039 (A) |
|
|
250 |
|
|
|
32 |
|
| GNMA CMO,
Ser 2010-14, Cl CO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 08/20/2035 |
|
|
121 |
|
|
|
110 |
|
| GNMA CMO,
Ser 2010-157, Cl OP, PO |
|
|
|
|
|
|
|
|
| 0.000%, 12/20/2040 |
|
|
355 |
|
|
|
287 |
|
| GNMA CMO, Ser 2010-4, Cl NS, IO |
|
|
|
|
|
|
|
|
| 6.236%, 01/16/2040 (A) |
|
|
2,986 |
|
|
|
497 |
|
| GNMA CMO,
Ser 2010-47, Cl PX, IO |
|
|
|
|
|
|
|
|
| 6.545%, 06/20/2037 (A) |
|
|
427 |
|
|
|
68 |
|
| GNMA CMO, Ser 2010-H11, Cl FA |
|
|
|
|
|
|
|
|
| 1.156%, 06/20/2060 (A) |
|
|
668 |
|
|
|
685 |
|
| GNMA CMO,
Ser 2011-142, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.937%, 09/16/2046 (A) |
|
|
6,417 |
|
|
|
323 |
|
| GNMA CMO, Ser 2011-H08, Cl FD |
|
|
|
|
|
|
|
|
| 0.656%, 02/20/2061 (A) |
|
|
503 |
|
|
|
504 |
|
| GNMA CMO,
Ser 2012-100, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.827%, 08/16/2052 (A) |
|
|
615 |
|
|
|
40 |
|
| GNMA CMO,
Ser 2012-112, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.855%, 02/16/2053 (A) |
|
|
4,623 |
|
|
|
293 |
|
| GNMA CMO,
Ser 2012-125, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.860%, 02/16/2053 (A) |
|
|
2,218 |
|
|
|
158 |
|
| GNMA CMO, Ser 2012-H25, Cl FA |
|
|
|
|
|
|
|
|
| 0.856%, 12/20/2061 (A) |
|
|
929 |
|
|
|
935 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GNMA CMO,
Ser 2013-147, Cl QS, IO |
|
|
|
|
|
|
|
|
| 6.595%, 12/20/2039 (A) |
|
$ |
888 |
|
|
$ |
161 |
|
| GNMA CMO, Ser 2013-154, Cl AB |
|
|
|
|
|
|
|
|
| 2.900%, 02/16/2044 (A) |
|
|
215 |
|
|
|
220 |
|
| GNMA CMO, Ser 2013-178, Cl A |
|
|
|
|
|
|
|
|
| 2.250%, 03/16/2035 |
|
|
477 |
|
|
|
487 |
|
| GNMA CMO,
Ser 2013-178, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.944%, 06/16/2055 (A) |
|
|
1,176 |
|
|
|
74 |
|
| GNMA CMO, Ser 2013-193, Cl AB |
|
|
|
|
|
|
|
|
| 2.000%, 12/16/2049 |
|
|
314 |
|
|
|
315 |
|
| GNMA CMO, Ser 2013-63, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.773%, 09/16/2051 (A) |
|
|
7,061 |
|
|
|
459 |
|
| GNMA CMO, Ser 2013-69, Cl AI, IO |
|
|
|
|
|
|
|
|
| 3.500%, 05/20/2043 |
|
|
932 |
|
|
|
204 |
|
| GNMA CMO, Ser 2013-H04, Cl BA |
|
|
|
|
|
|
|
|
| 1.650%, 02/20/2063 |
|
|
500 |
|
|
|
493 |
|
| GNMA CMO, Ser 2013-H21, Cl FB |
|
|
|
|
|
|
|
|
| 0.856%, 09/20/2063 (A) |
|
|
985 |
|
|
|
997 |
|
| GNMA CMO,
Ser 2014-117, Cl SJ, IO |
|
|
|
|
|
|
|
|
| 5.445%, 08/20/2044 (A) |
|
|
400 |
|
|
|
66 |
|
| GNMA CMO, Ser 2014-5, Cl SP, IO |
|
|
|
|
|
|
|
|
| 5.996%, 06/16/2043 (A) |
|
|
1,277 |
|
|
|
178 |
|
| GNMA CMO, Ser 2014-H10, Cl TA |
|
|
|
|
|
|
|
|
| 0.756%, 05/01/2064 (A) |
|
|
980 |
|
|
|
988 |
|
| GNMA, Ser 163, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.215%, 02/16/2046 (A) |
|
|
1,761 |
|
|
|
141 |
|
| GNMA, Ser 2012-114, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.038%, 01/16/2053 (A) |
|
|
1,287 |
|
|
|
111 |
|
| GNMA, Ser 2012-27, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.284%, 04/16/2053 (A) |
|
|
2,033 |
|
|
|
132 |
|
| GNMA, Ser 2012-44, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.929%, 03/16/2049 (A) |
|
|
2,936 |
|
|
|
173 |
|
| GNMA, Ser 2013-145, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.124%, 09/16/2044 (A) |
|
|
1,754 |
|
|
|
130 |
|
| GNMA, Ser 2013-96, Cl IO, IO |
|
|
|
|
|
|
|
|
| 0.554%, 10/16/2054 (A) |
|
|
4,470 |
|
|
|
197 |
|
| GNMA, Ser 2014-50, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.041%, 09/16/2055 (A) |
|
|
1,879 |
|
|
|
139 |
|
| GNMA, Ser 2014-89, Cl IO, IO |
|
|
|
|
|
|
|
|
| 1.038%, 01/16/2057 |
|
|
3,113 |
|
|
|
293 |
|
| GNMA, Ser 47, Cl IA, IO |
|
|
|
|
|
|
|
|
| 1.383%, 02/16/2048 (A) |
|
|
1,915 |
|
|
|
153 |
|
| GNMA, Ser 92, Cl IX, IO |
|
|
|
|
|
|
|
|
| 0.874%, 05/16/2054 (A) |
|
|
9,527 |
|
|
|
592 |
|
| GNMA TBA |
|
|
|
|
|
|
|
|
| 4.500%, 10/15/2039 |
|
|
3,400 |
|
|
|
3,687 |
|
| 4.000%, 10/01/2039 to 10/20/2044 |
|
|
11,055 |
|
|
|
11,724 |
|
| 3.500%, 10/15/2041 |
|
|
6,000 |
|
|
|
6,200 |
|
| 3.000%, 11/20/2044 |
|
|
505 |
|
|
|
508 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
121 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| NCUA Guaranteed Notes,
Ser 2010-C1, Cl A2 |
|
|
|
|
|
|
|
|
| 2.900%, 10/29/2020 |
|
$ |
300 |
|
|
$ |
309 |
|
| NCUA Guaranteed Notes,
Ser 2010-C1, Cl APT |
|
|
|
|
|
|
|
|
| 2.650%, 10/29/2020 |
|
|
373 |
|
|
|
379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
312,117 |
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Obligations — 6.9% |
|
| A10 Term Asset Financing,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 2.620%, 11/15/2027 (B) |
|
|
286 |
|
|
|
287 |
|
| AAM ACE Resecuritization Trust,
Ser 2011-1, Cl A20 |
|
|
|
|
|
|
|
|
| 0.386%, 02/02/2037 (A) (B) |
|
|
29 |
|
|
|
29 |
|
| American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 5.150%, 03/25/2058 (A) (B) |
|
|
3 |
|
|
|
3 |
|
| American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 5.650%, 03/25/2058 (A) (B) |
|
|
190 |
|
|
|
195 |
|
| American Home Mortgage Investment Trust,
Ser 2004-4, Cl 4A |
|
|
|
|
|
|
|
|
| 2.332%, 02/25/2045 (A) (B) |
|
|
802 |
|
|
|
810 |
|
| ASG Resecuritization Trust,
Ser 2009-2, Cl A55 |
|
|
|
|
|
|
|
|
| 4.872%, 05/24/2036 (A) (B) |
|
|
17 |
|
|
|
17 |
|
| ASG Resecuritization Trust,
Ser 2009-2, Cl G60 |
|
|
|
|
|
|
|
|
| 4.872%, 05/24/2036 (A) (B) |
|
|
100 |
|
|
|
101 |
|
| ASG Resecuritization Trust,
Ser 2009-3, Cl A65 |
|
|
|
|
|
|
|
|
| 2.066%, 03/26/2037 (A) (B) |
|
|
419 |
|
|
|
418 |
|
| Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 |
|
|
|
|
|
|
|
|
| 6.000%, 01/25/2034 (B) |
|
|
100 |
|
|
|
105 |
|
| Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 |
|
|
|
|
|
|
|
|
| 6.000%, 01/25/2034 (B) |
|
|
236 |
|
|
|
246 |
|
| Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 |
|
|
|
|
|
|
|
|
| 5.000%, 09/25/2018 (B) |
|
|
60 |
|
|
|
61 |
|
| Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 |
|
|
|
|
|
|
|
|
| 5.500%, 11/25/2033 (B) |
|
|
31 |
|
|
|
31 |
|
| Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 |
|
|
|
|
|
|
|
|
| 5.500%, 02/25/2019 (B) |
|
|
34 |
|
|
|
35 |
|
| Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 |
|
|
|
|
|
|
|
|
| 5.500%, 09/25/2019 (B) |
|
|
60 |
|
|
|
62 |
|
| Banc of America Commercial Mortgage Trust, Ser 2006-1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.372%, 09/10/2045 (A) |
|
|
200 |
|
|
|
208 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Banc of America Commercial Mortgage Trust,
Ser 2006-5, Cl AM |
|
|
|
|
|
|
|
|
| 5.448%, 09/10/2047 |
|
$ |
340 |
|
|
$ |
364 |
|
| Banc of America Funding Trust,
Ser 2004-C, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.045%, 12/20/2034 (A) (B) |
|
|
30 |
|
|
|
30 |
|
| Banc of America Funding Trust,
Ser 2006-G, Cl 2A3 |
|
|
|
|
|
|
|
|
| 0.326%, 07/20/2036 (A) (B) |
|
|
162 |
|
|
|
162 |
|
| Banc of America Funding Trust,
Ser 2010-R11A, Cl 1A6 |
|
|
|
|
|
|
|
|
| 5.564%, 08/26/2035 (A) (B) |
|
|
75 |
|
|
|
76 |
|
| Banc of America Funding Trust,
Ser 2010-R5, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.500%, 10/26/2037 (B) |
|
|
59 |
|
|
|
59 |
|
| Banc of America Funding Trust,
Ser 2012-R6, Cl 1A1 |
|
|
|
|
|
|
|
|
| 3.000%, 10/26/2039 (B) |
|
|
175 |
|
|
|
174 |
|
| Banc of America Merrill Lynch Commercial Mortgage,
Ser 2005-2, Cl A5 |
|
|
|
|
|
|
|
|
| 4.857%, 07/10/2043 (A) |
|
|
472 |
|
|
|
478 |
|
| Banc of America Merrill Lynch Commercial Mortgage,
Ser 2005-3, Cl AM |
|
|
|
|
|
|
|
|
| 4.727%, 07/10/2043 |
|
|
300 |
|
|
|
306 |
|
| Banc of America Merrill Lynch Commercial Mortgage,
Ser 2005-5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.115%, 10/10/2045 (A) |
|
|
191 |
|
|
|
196 |
|
| Banc of America Merrill Lynch Commercial Mortgage,
Ser 2005-A, Cl A4 |
|
|
|
|
|
|
|
|
| 5.369%, 07/10/2045 (A) |
|
|
1,000 |
|
|
|
1,004 |
|
| Banc of America Merrill Lynch Commercial Mortgage,
Ser 2006-3, Cl A4 |
|
|
|
|
|
|
|
|
| 5.889%, 07/10/2044 (A) |
|
|
210 |
|
|
|
224 |
|
| Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.705%, 05/25/2018 (A) (B) |
|
|
43 |
|
|
|
41 |
|
| Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.605%, 08/25/2018 (A) (B) |
|
|
12 |
|
|
|
12 |
|
| Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 |
|
|
|
|
|
|
|
|
| 5.500%, 04/25/2034 (B) |
|
|
52 |
|
|
|
54 |
|
| Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 |
|
|
|
|
|
|
|
|
| 5.000%, 04/25/2019 (B) |
|
|
24 |
|
|
|
24 |
|
| Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 |
|
|
|
|
|
|
|
|
| 4.750%, 06/25/2019 (B) |
|
|
28 |
|
|
|
29 |
|
|
|
|
| 122 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| BB-UBS Trust, Ser 2012-SHOW, Cl A |
|
|
|
|
|
|
|
|
| 3.430%, 11/05/2036 (B) |
|
$ |
600 |
|
|
$ |
592 |
|
| BB-UBS Trust, Ser 2012-TFT, Cl A |
|
|
|
|
|
|
|
|
| 2.892%, 06/05/2030 (B) |
|
|
150 |
|
|
|
145 |
|
| BCAP LLC Trust,
Ser 2009-RR10, Cl 17A1 |
|
|
|
|
|
|
|
|
| 5.750%, 06/26/2037 (B) |
|
|
35 |
|
|
|
36 |
|
| BCAP LLC Trust,
Ser 2009-RR13, Cl 17A2 |
|
|
|
|
|
|
|
|
| 5.500%, 04/26/2037 (A) (B) |
|
|
54 |
|
|
|
56 |
|
| BCAP LLC Trust,
Ser 2009-RR5, Cl 8A1 |
|
|
|
|
|
|
|
|
| 5.500%, 11/26/2034 (B) |
|
|
212 |
|
|
|
219 |
|
|
|
|
|
|
|
|
|
|
| BCAP LLC Trust,
Ser 2010-RR12, Cl 2A5 |
|
|
|
|
|
|
|
|
| 4.500%, 01/26/2036 (A) (B) |
|
|
109 |
|
|
|
110 |
|
| BCAP LLC Trust,
Ser 2010-RR5, Cl 2A5 |
|
|
|
|
|
|
|
|
| 5.402%, 04/26/2037 (A) (B) |
|
|
173 |
|
|
|
177 |
|
| BCAP LLC Trust,
Ser 2010-RR7, Cl 1A5 |
|
|
|
|
|
|
|
|
| 4.924%, 04/26/2035 (A) (B) |
|
|
21 |
|
|
|
21 |
|
| BCAP LLC Trust,
Ser 2010-RR7, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.073%, 07/26/2045 (A) (B) |
|
|
170 |
|
|
|
172 |
|
| BCAP LLC Trust,
Ser 2010-RR7, Cl 16A1 |
|
|
|
|
|
|
|
|
| 0.856%, 02/26/2047 (A) (B) |
|
|
20 |
|
|
|
20 |
|
| BCAP LLC Trust,
Ser 2011-RR4, Cl 6A3 |
|
|
|
|
|
|
|
|
| 5.000%, 08/26/2037 (A) (B) |
|
|
148 |
|
|
|
150 |
|
| BCAP LLC Trust,
Ser 2011-RR5, Cl 11A3 |
|
|
|
|
|
|
|
|
| 0.305%, 05/28/2036 (A) (B) |
|
|
107 |
|
|
|
105 |
|
| BCAP LLC Trust,
Ser 2011-RR5, Cl 14A3 |
|
|
|
|
|
|
|
|
| 2.501%, 07/26/2036 (A) (B) |
|
|
25 |
|
|
|
25 |
|
| BCAP Trust,
Ser 2011-RR10, Cl 2A1 |
|
|
|
|
|
|
|
|
| 1.008%, 09/26/2037 (A) (B) |
|
|
303 |
|
|
|
278 |
|
| BCAP Trust,
Ser 2012-RR10, Cl 3A1 |
|
|
|
|
|
|
|
|
| 0.345%, 05/26/2036 (A) (B) |
|
|
288 |
|
|
|
273 |
|
| BCAP Trust, Ser 2012-RR2, Cl 1A1 |
|
|
|
|
|
|
|
|
| 0.325%, 08/26/2036 (A) (B) |
|
|
187 |
|
|
|
182 |
|
| Bear Stearns Adjustable Rate Mortgage Trust,
Ser 2004-2, Cl 14A |
|
|
|
|
|
|
|
|
| 3.035%, 05/25/2034 (A) (B) |
|
|
34 |
|
|
|
35 |
|
| Bear Stearns Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl A1 |
|
|
|
|
|
|
|
|
| 2.171%, 08/25/2035 (A) (B) |
|
|
105 |
|
|
|
107 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Bear Stearns ALT-A Trust,
Ser 2004-12, Cl 1A3 |
|
|
|
|
|
|
|
|
| 0.855%, 01/25/2035 (A) (B) |
|
$ |
339 |
|
|
$ |
331 |
|
| Bear Stearns ALT-A Trust,
Ser 2004-6, Cl 1A |
|
|
|
|
|
|
|
|
| 0.795%, 07/25/2034 (A) (B) |
|
|
215 |
|
|
|
206 |
|
| Bear Stearns ALT-A Trust,
Ser 2004-7, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.468%, 08/25/2034 (A) (B) |
|
|
324 |
|
|
|
328 |
|
| Bear Stearns Commercial Mortgage Securities,
Ser 2005-PWR8, Cl X1, IO |
|
|
|
|
|
|
|
|
| 0.942%, 06/11/2041 (A) (B) |
|
|
2,103 |
|
|
|
6 |
|
| Bear Stearns Commercial Mortgage Securities,
Ser 2005-T20, Cl A4A |
|
|
|
|
|
|
|
|
| 5.289%, 10/12/2042 (A) |
|
|
250 |
|
|
|
258 |
|
| Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A |
|
|
|
|
|
|
|
|
| 5.600%, 03/11/2039 (A) |
|
|
99 |
|
|
|
104 |
|
| Bear Stearns Commercial Mortgage Securities,
Ser 2007-PW18, Cl AM |
|
|
|
|
|
|
|
|
| 6.084%, 06/11/2050 (A) |
|
|
150 |
|
|
|
167 |
|
| CAM Mortgage Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 3.352%, 12/15/2053 (B) |
|
|
11 |
|
|
|
11 |
|
| CAM Mortgage Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 2.600%, 05/15/2048 (B) |
|
|
143 |
|
|
|
143 |
|
| CD Commercial Mortgage Trust,
Ser 2005-CD1, Cl AJ |
|
|
|
|
|
|
|
|
| 5.399%, 07/15/2044 (A) |
|
|
100 |
|
|
|
103 |
|
| CD Commercial Mortgage Trust,
Ser 2006-CD2, Cl AM |
|
|
|
|
|
|
|
|
| 5.527%, 01/15/2046 (A) |
|
|
120 |
|
|
|
126 |
|
| CFCRE Commercial Mortgage Trust,
Ser 2011-C1, Cl A4 |
|
|
|
|
|
|
|
|
| 4.961%, 04/15/2044 (A) (B) |
|
|
359 |
|
|
|
398 |
|
| Chase Mortgage Finance,
Ser 2007-A1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.473%, 02/25/2037 (A) (B) |
|
|
70 |
|
|
|
70 |
|
| Chase Mortgage Finance,
Ser 2007-A1, Cl 9A1 |
|
|
|
|
|
|
|
|
| 2.522%, 02/25/2037 (A) (B) |
|
|
37 |
|
|
|
37 |
|
| Chase Mortgage Finance,
Ser 2007-A2, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.594%, 07/25/2037 (A) (B) |
|
|
84 |
|
|
|
84 |
|
| Chase Mortgage Finance,
Ser 2007-A2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.571%, 07/25/2037 (A) (B) |
|
|
90 |
|
|
|
92 |
|
| Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM |
|
|
|
|
|
|
|
|
| 4.830%, 05/15/2043 (A) |
|
|
120 |
|
|
|
122 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
123 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl XA, IO |
|
|
|
|
|
|
|
|
| 2.384%, 09/10/2045 (A) (B) |
|
$ |
1,110 |
|
|
$ |
116 |
|
| Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A |
|
|
|
|
|
|
|
|
| 2.110%, 01/12/2018 (B) |
|
|
573 |
|
|
|
578 |
|
| Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl A3 |
|
|
|
|
|
|
|
|
| 3.753%, 01/10/2024 |
|
|
147 |
|
|
|
151 |
|
| Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl AAB |
|
|
|
|
|
|
|
|
| 3.552%, 03/10/2047 |
|
|
189 |
|
|
|
195 |
|
| Citigroup Mortgage Loan Trust,
Ser 2005-2, Cl 2A11 |
|
|
|
|
|
|
|
|
| 5.500%, 05/25/2035 (B) |
|
|
75 |
|
|
|
78 |
|
| Citigroup Mortgage Loan Trust,
Ser 2008-AR4, Cl 1A1A |
|
|
|
|
|
|
|
|
| 2.734%, 11/25/2038 (A) (B) |
|
|
142 |
|
|
|
143 |
|
| Citigroup Mortgage Loan Trust,
Ser 2010-7, Cl 10A1 |
|
|
|
|
|
|
|
|
| 2.610%, 02/25/2035 (A) (B) |
|
|
40 |
|
|
|
40 |
|
| Citigroup Mortgage Loan Trust,
Ser 2010-8, Cl 5A6 |
|
|
|
|
|
|
|
|
| 4.000%, 11/25/2036 (B) |
|
|
455 |
|
|
|
464 |
|
| Citigroup Mortgage Loan Trust,
Ser 2010-8, Cl 6A6 |
|
|
|
|
|
|
|
|
| 4.500%, 12/25/2036 (B) |
|
|
220 |
|
|
|
226 |
|
| Citigroup Mortgage Loan Trust,
Ser 2012-A, Cl A |
|
|
|
|
|
|
|
|
| 2.500%, 06/25/2051 (B) |
|
|
112 |
|
|
|
108 |
|
| Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser 2006-CD2, Cl X, IO |
|
|
|
|
|
|
|
|
| 0.086%, 01/15/2046 (A) (B) |
|
|
12,298 |
|
|
|
9 |
|
| Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser 2007-CD4, Cl XC, IO |
|
|
|
|
|
|
|
|
| 0.556%, 12/11/2049 (A) (B) |
|
|
10,251 |
|
|
|
78 |
|
| COBALT CMBS Commercial Mortgage Trust,
Ser 2007-C2, Cl AMFX |
|
|
|
|
|
|
|
|
| 5.526%, 04/15/2047 (A) |
|
|
125 |
|
|
|
136 |
|
| COMM Mortgage Trust,
Ser 2005-C6, Cl A5A |
|
|
|
|
|
|
|
|
| 5.116%, 06/10/2044 (A) |
|
|
665 |
|
|
|
677 |
|
| COMM Mortgage Trust,
Ser 2010-C1, Cl A3 |
|
|
|
|
|
|
|
|
| 4.205%, 07/10/2046 (B) |
|
|
338 |
|
|
|
363 |
|
| COMM Mortgage Trust,
Ser 2012-CR2, Cl XA, IO |
|
|
|
|
|
|
|
|
| 2.081%, 08/15/2045 (A) |
|
|
747 |
|
|
|
77 |
|
| COMM Mortgage Trust,
Ser 2012-CR5, Cl A2 |
|
|
|
|
|
|
|
|
| 1.678%, 12/10/2045 |
|
|
980 |
|
|
|
972 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| COMM Mortgage Trust,
Ser 2012-LC4, Cl A3 |
|
|
|
|
|
|
|
|
| 3.069%, 12/10/2044 |
|
$ |
161 |
|
|
$ |
165 |
|
| COMM Mortgage Trust,
Ser 2012-LC4, Cl A4 |
|
|
|
|
|
|
|
|
| 3.288%, 12/10/2044 |
|
|
79 |
|
|
|
80 |
|
| COMM Mortgage Trust,
Ser 2013-CR11, Cl AM |
|
|
|
|
|
|
|
|
| 4.715%, 10/10/2046 (A) |
|
|
143 |
|
|
|
155 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl A4 |
|
|
|
|
|
|
|
|
| 4.046%, 10/10/2046 |
|
|
60 |
|
|
|
63 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl AM |
|
|
|
|
|
|
|
|
| 4.300%, 10/10/2046 |
|
|
70 |
|
|
|
74 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl ASB |
|
|
|
|
|
|
|
|
| 3.623%, 10/10/2046 |
|
|
344 |
|
|
|
356 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl B |
|
|
|
|
|
|
|
|
| 4.762%, 10/10/2046 (A) |
|
|
30 |
|
|
|
32 |
|
| COMM Mortgage Trust,
Ser 2013-CR12, Cl C |
|
|
|
|
|
|
|
|
| 5.255%, 10/10/2046 (A) |
|
|
10 |
|
|
|
11 |
|
| COMM Mortgage Trust,
Ser 2013-CR13, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.179%, 12/10/2023 (A) |
|
|
4,067 |
|
|
|
245 |
|
| COMM Mortgage Trust,
Ser 2013-CR7, Cl A4 |
|
|
|
|
|
|
|
|
| 3.213%, 03/10/2046 |
|
|
72 |
|
|
|
72 |
|
| COMM Mortgage Trust,
Ser 2014-277P, Cl A |
|
|
|
|
|
|
|
|
| 3.731%, 08/10/2049 (A) (B) |
|
|
140 |
|
|
|
143 |
|
| COMM Mortgage Trust,
Ser 2014-CR18, Cl ASB |
|
|
|
|
|
|
|
|
| 3.452%, 07/15/2047 |
|
|
165 |
|
|
|
169 |
|
| COMM Mortgage Trust,
Ser 2014-CR18, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.466%, 07/15/2047 (A) |
|
|
2,347 |
|
|
|
191 |
|
| COMM Mortgage Trust,
Ser 2014-CR19, Cl A5 |
|
|
|
|
|
|
|
|
| 3.796%, 08/10/2047 |
|
|
773 |
|
|
|
790 |
|
| COMM Mortgage Trust,
Ser 2014-PAT, Cl A |
|
|
|
|
|
|
|
|
| 0.950%, 08/13/2027 (A) |
|
|
100 |
|
|
|
100 |
|
| COMM Mortgage Trust,
Ser 2014-SAVA, Cl A |
|
|
|
|
|
|
|
|
| 1.305%, 06/15/2034 (A) (B) |
|
|
490 |
|
|
|
490 |
|
| COMM Mortgage Trust,
Ser 2014-SAVA, Cl D |
|
|
|
|
|
|
|
|
| 3.255%, 06/15/2034 (A) (B) |
|
|
320 |
|
|
|
320 |
|
| COMM Mortgage Trust,
Ser 2014-TWC, Cl A |
|
|
|
|
|
|
|
|
| 1.006%, 02/13/2032 (A) (B) |
|
|
125 |
|
|
|
125 |
|
|
|
|
| 124 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| COMM Mortgage Trust,
Ser 2014-UBS4, Cl A5 |
|
|
|
|
|
|
|
|
| 3.694%, 08/10/2047 |
|
$ |
750 |
|
|
$ |
764 |
|
| COMM Mortgage Trust,
Ser 2014-UBS5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.838%, 09/10/2047 |
|
|
291 |
|
|
|
300 |
|
| COMM Mortgage Trust,
Ser 2014-UBS5, Cl ASB |
|
|
|
|
|
|
|
|
| 3.548%, 09/10/2047 |
|
|
103 |
|
|
|
106 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2014-KYO, Cl A |
|
|
|
|
|
|
|
|
| 1.054%, 06/11/2027 (A) (B) |
|
|
423 |
|
|
|
423 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2014-LC15, Cl ASB |
|
|
|
|
|
|
|
|
| 3.528%, 04/10/2047 |
|
|
296 |
|
|
|
305 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2014-LC15, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.593%, 04/10/2047 (A) |
|
|
2,604 |
|
|
|
222 |
|
| Commercial Mortgage Pass-Through Certificates,
Ser 2014-UBS2, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.604%, 03/10/2047 (A) |
|
|
2,272 |
|
|
|
207 |
|
| Commercial Mortgage Trust,
Ser 2005-GG5, Cl A5 |
|
|
|
|
|
|
|
|
| 5.224%, 04/10/2037 (A) |
|
|
173 |
|
|
|
177 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-39, Cl A6 |
|
|
|
|
|
|
|
|
| 5.000%, 10/25/2033 (B) |
|
|
138 |
|
|
|
145 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-J13, Cl 1A7 |
|
|
|
|
|
|
|
|
| 5.250%, 01/25/2034 (B) |
|
|
218 |
|
|
|
229 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2003-J7, Cl 4A3 |
|
|
|
|
|
|
|
|
| 9.573%, 08/25/2018 (A) (B) |
|
|
12 |
|
|
|
12 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust,
Ser 2004-8, Cl 2A1 |
|
|
|
|
|
|
|
|
| 4.500%, 06/25/2019 (B) |
|
|
43 |
|
|
|
45 |
|
| Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 |
|
|
|
|
|
|
|
|
| 5.250%, 11/25/2033 (B) |
|
|
170 |
|
|
|
174 |
|
| Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 |
|
|
|
|
|
|
|
|
| 7.000%, 12/25/2033 (B) |
|
|
90 |
|
|
|
95 |
|
| Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 |
|
|
|
|
|
|
|
|
| 6.000%, 11/25/2018 (B) |
|
|
88 |
|
|
|
91 |
|
| Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 |
|
|
|
|
|
|
|
|
| 2.570%, 10/25/2033 (A) (B) |
|
|
743 |
|
|
|
729 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Credit Suisse First Boston Mortgage Securities,
Ser 2005-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.100%, 08/15/2038 (A) |
|
$ |
143 |
|
|
$ |
146 |
|
| Credit Suisse Mortgage Capital Certificates,
Ser 2006-C2, Cl A3 |
|
|
|
|
|
|
|
|
| 5.857%, 03/15/2039 (A) |
|
|
215 |
|
|
|
226 |
|
| Credit Suisse Mortgage Capital Certificates,
Ser 2011-16R, Cl 7A3 |
|
|
|
|
|
|
|
|
| 3.500%, 12/27/2036 (A) (B) |
|
|
126 |
|
|
|
127 |
|
| Credit Suisse Mortgage Capital Certificates,
Ser 2011-6R, Cl 3A1 |
|
|
|
|
|
|
|
|
| 2.616%, 07/28/2036 (A) (B) |
|
|
83 |
|
|
|
84 |
|
| Credit Suisse Mortgage Capital Certificates,
Ser 2011-9R, Cl A1 |
|
|
|
|
|
|
|
|
| 2.155%, 03/27/2046 (A) (B) |
|
|
150 |
|
|
|
150 |
|
| CSMC, Ser 2009-2R, Cl 1A14 |
|
|
|
|
|
|
|
|
| 2.618%, 09/26/2034 (A) (B) |
|
|
503 |
|
|
|
513 |
|
| CSMC, Ser 2009-2R, Cl 1A16 |
|
|
|
|
|
|
|
|
| 2.618%, 09/26/2034 (A) (B) |
|
|
1,000 |
|
|
|
985 |
|
| CSMC, Ser 2010-16, Cl A3 |
|
|
|
|
|
|
|
|
| 3.519%, 06/25/2050 (A) (B) |
|
|
100 |
|
|
|
102 |
|
| CSMC, Ser 2010-3R, Cl 2A3 |
|
|
|
|
|
|
|
|
| 4.500%, 12/26/2036 (A) (B) |
|
|
770 |
|
|
|
775 |
|
| CSMC, Ser 2012-11R, Cl A6 |
|
|
|
|
|
|
|
|
| 1.156%, 06/28/2047 (A) (B) |
|
|
362 |
|
|
|
347 |
|
| CSMC, Ser 2014-ICE, Cl A |
|
|
|
|
|
|
|
|
| 0.954%, 04/15/2016 (A) (B) |
|
|
168 |
|
|
|
168 |
|
| CW Capital Cobalt, Ser 2006-C1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.223%, 08/15/2048 |
|
|
195 |
|
|
|
207 |
|
| DBRR Trust, Ser 2011-LC2, Cl A4A |
|
|
|
|
|
|
|
|
| 4.537%, 07/12/2044 (A) (B) |
|
|
500 |
|
|
|
546 |
|
| DBRR Trust, Ser 2013-EZ2, Cl A |
|
|
|
|
|
|
|
|
| 0.853%, 02/25/2045 (A) (B) |
|
|
78 |
|
|
|
78 |
|
| DBRR Trust, Ser 2013-EZ3, Cl A |
|
|
|
|
|
|
|
|
| 1.636%, 12/18/2049 (A) (B) |
|
|
230 |
|
|
|
231 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl A1 |
|
|
|
|
|
|
|
|
| 3.742%, 11/10/2046 (B) |
|
|
437 |
|
|
|
452 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl A3 |
|
|
|
|
|
|
|
|
| 5.002%, 11/10/2046 (B) |
|
|
100 |
|
|
|
112 |
|
| DBUBS Mortgage Trust,
Ser 2011-LC2A, Cl A4 |
|
|
|
|
|
|
|
|
| 4.537%, 07/10/2044 (B) |
|
|
509 |
|
|
|
556 |
|
| Deutsche ALT-A Securities Alternate Loan Trust,
Ser 2005-1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 5.744%, 02/25/2020 (A) (B) |
|
|
55 |
|
|
|
57 |
|
| Deutsche Mortgage Securities,
Ser 2009-RS2, Cl 4A1 |
|
|
|
|
|
|
|
|
| 0.285%, 04/26/2037 (A) (B) |
|
|
2 |
|
|
|
2 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
125 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| FDIC Trust, Ser 2013-N1, Cl A |
|
|
|
|
|
|
|
|
| 4.500%, 10/25/2018 (B) |
|
$ |
59 |
|
|
$ |
60 |
|
| FHLMC Structured Agency Credit Risk Debt Notes,
Ser 2014-DN1, Cl M2 |
|
|
|
|
|
|
|
|
| 2.355%, 02/25/2024 (A) (B) |
|
|
250 |
|
|
|
248 |
|
| FHLMC Structured Agency Credit Risk Debt Notes,
Ser 2014-DN2, Cl M2 |
|
|
|
|
|
|
|
|
| 1.805%, 04/25/2024 (A) (B) |
|
|
1,490 |
|
|
|
1,445 |
|
| FHLMC Structured Agency Credit Risk Debt Notes,
Ser 2014-DN3, Cl M2 |
|
|
|
|
|
|
|
|
| 2.557%, 08/25/2024 (A) (B) |
|
|
290 |
|
|
|
291 |
|
| FHLMC Structured Agency Credit Risk Debt Notes,
Ser 2014-HQ1, Cl M1 |
|
|
|
|
|
|
|
|
| 1.807%, 08/25/2024 (A) (B) |
|
|
434 |
|
|
|
435 |
|
| GE Capital Assurance,
Ser 2003-1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.254%, 05/12/2035 (A) (B) |
|
|
142 |
|
|
|
145 |
|
| GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM |
|
|
|
|
|
|
|
|
| 5.290%, 11/10/2045 (A) |
|
|
380 |
|
|
|
396 |
|
| GMAC Mortgage Loan Trust,
Ser 2003-AR1, Cl A4 |
|
|
|
|
|
|
|
|
| 2.911%, 10/19/2033 (A) (B) |
|
|
112 |
|
|
|
112 |
|
| GMAC Mortgage Loan Trust,
Ser 2003-GH2, Cl A4 |
|
|
|
|
|
|
|
|
| 5.000%, 10/25/2033 (B) |
|
|
94 |
|
|
|
98 |
|
| GMAC Mortgage Loan Trust,
Ser 2003-J7, Cl A7 |
|
|
|
|
|
|
|
|
| 5.000%, 11/25/2033 (B) |
|
|
122 |
|
|
|
126 |
|
| GMAC Mortgage Loan Trust,
Ser 2004-J5, Cl A7 |
|
|
|
|
|
|
|
|
| 6.500%, 01/25/2035 (B) |
|
|
109 |
|
|
|
115 |
|
| GMAC Mortgage Loan Trust,
Ser 2004-J6, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.000%, 01/25/2020 (B) |
|
|
42 |
|
|
|
43 |
|
| GreenPoint Mortgage Funding Trust,
Ser 2005-HY1, Cl 1A1A |
|
|
|
|
|
|
|
|
| 0.425%, 07/25/2035 (A) (B) |
|
|
966 |
|
|
|
928 |
|
| Greenwich Capital Commercial Funding,
Ser 2007-GG11, Cl A4 |
|
|
|
|
|
|
|
|
| 5.736%, 12/10/2049 |
|
|
40 |
|
|
|
44 |
|
| GS Mortgage Securities II,
Ser 2005-GG4, Cl A4A |
|
|
|
|
|
|
|
|
| 4.751%, 07/10/2039 |
|
|
145 |
|
|
|
146 |
|
| GS Mortgage Securities II,
Ser 2006-GG6, Cl A4 |
|
|
|
|
|
|
|
|
| 5.553%, 04/10/2038 (A) |
|
|
170 |
|
|
|
177 |
|
| GS Mortgage Securities II,
Ser 2006-GG8, Cl X, IO |
|
|
|
|
|
|
|
|
| 0.779%, 11/10/2039 (A) (B) |
|
|
2,642 |
|
|
|
25 |
|
| GS Mortgage Securities II,
Ser 2013-KING, Cl A |
|
|
|
|
|
|
|
|
| 2.706%, 12/10/2027 (B) |
|
|
116 |
|
|
|
117 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| GS Mortgage Securities Trust,
Ser 2012-GCJ7, Cl A1 |
|
|
|
|
|
|
|
|
| 1.144%, 05/10/2045 |
|
$ |
1,022 |
|
|
$ |
1,026 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl A3 |
|
|
|
|
|
|
|
|
| 4.244%, 11/10/2046 |
|
|
130 |
|
|
|
139 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl A4 |
|
|
|
|
|
|
|
|
| 4.271%, 11/10/2046 |
|
|
190 |
|
|
|
203 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl AAB |
|
|
|
|
|
|
|
|
| 3.813%, 11/10/2046 |
|
|
450 |
|
|
|
473 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl AS |
|
|
|
|
|
|
|
|
| 4.649%, 11/10/2046 |
|
|
130 |
|
|
|
140 |
|
| GS Mortgage Securities Trust,
Ser 2013-GC16, Cl B |
|
|
|
|
|
|
|
|
| 5.161%, 11/10/2046 (A) |
|
|
110 |
|
|
|
120 |
|
| GS Mortgage Securities Trust,
Ser 2013-NYC5, Cl A |
|
|
|
|
|
|
|
|
| 2.318%, 01/10/2030 (B) |
|
|
122 |
|
|
|
123 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC18, Cl A4 |
|
|
|
|
|
|
|
|
| 4.074%, 01/10/2047 |
|
|
273 |
|
|
|
286 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC18, Cl AAB |
|
|
|
|
|
|
|
|
| 3.648%, 01/10/2047 |
|
|
153 |
|
|
|
159 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC20, Cl AAB |
|
|
|
|
|
|
|
|
| 3.655%, 04/10/2047 |
|
|
383 |
|
|
|
398 |
|
| GS Mortgage Securities Trust,
Ser 2014-GC24, Cl AAB |
|
|
|
|
|
|
|
|
| 3.650%, 09/10/2047 |
|
|
584 |
|
|
|
601 |
|
| GSMPS Mortgage Loan Trust,
Ser 2005-RP3, Cl 1AF |
|
|
|
|
|
|
|
|
| 0.505%, 09/25/2035 (A) (B) |
|
|
150 |
|
|
|
128 |
|
| GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.576%, 10/25/2033 (A) (B) |
|
|
174 |
|
|
|
177 |
|
| GSR Mortgage Loan Trust,
Ser 2004-8F, Cl 2A3 |
|
|
|
|
|
|
|
|
| 6.000%, 09/25/2034 (B) |
|
|
108 |
|
|
|
112 |
|
| GSR Mortgage Loan Trust,
Ser 2005-5F, Cl 8A3 |
|
|
|
|
|
|
|
|
| 0.655%, 06/25/2035 (A) (B) |
|
|
17 |
|
|
|
16 |
|
| GSR Mortgage Loan Trust,
Ser 2007-1F, Cl 2A4 |
|
|
|
|
|
|
|
|
| 5.500%, 01/25/2037 (B) |
|
|
28 |
|
|
|
28 |
|
| HILT Mortgage Trust,
Ser 2014-ORL, Cl A |
|
|
|
|
|
|
|
|
| 1.055%, 07/15/2029 (A) (B) |
|
|
305 |
|
|
|
305 |
|
| Homestar Mortgage Acceptance,
Ser 2004-5, Cl A1 |
|
|
|
|
|
|
|
|
| 0.605%, 10/25/2034 (A) (B) |
|
|
941 |
|
|
|
947 |
|
| Homestar Mortgage Acceptance,
Ser 2004-6, Cl M3 |
|
|
|
|
|
|
|
|
| 1.255%, 01/25/2035 (A) (B) |
|
|
1,640 |
|
|
|
1,600 |
|
|
|
|
| 126 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Impac Secured Assets Trust,
Ser 2003-2, Cl A1 |
|
|
|
|
|
|
|
|
| 5.500%, 08/25/2033 (B) |
|
$ |
90 |
|
|
$ |
94 |
|
| Impac Secured Assets Trust,
Ser 2004-3, Cl M1 |
|
|
|
|
|
|
|
|
| 1.055%, 11/25/2034 (A) (B) |
|
|
720 |
|
|
|
594 |
|
| Impac Secured Assets Trust,
Ser 2006-1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.505%, 05/25/2036 (A) (B) |
|
|
77 |
|
|
|
76 |
|
| Impac Secured Assets Trust,
Ser 2006-2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.505%, 08/25/2036 (A) (B) |
|
|
80 |
|
|
|
79 |
|
| Impac Secured Assets Trust,
Ser 2007-2, Cl 2A |
|
|
|
|
|
|
|
|
| 0.405%, 04/25/2037 (A) (B) |
|
|
265 |
|
|
|
245 |
|
| Impac Secured Assets Trust,
Ser 2007-A, Cl M1 |
|
|
|
|
|
|
|
|
| 0.555%, 05/25/2037 (A) (B) |
|
|
568 |
|
|
|
536 |
|
| Impact Funding LLC,
Ser 2010-1, Cl A1 |
|
|
|
|
|
|
|
|
| 5.314%, 01/25/2051 (B) |
|
|
970 |
|
|
|
1,091 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2013-C15, Cl AS |
|
|
|
|
|
|
|
|
| 4.420%, 11/15/2045 |
|
|
150 |
|
|
|
159 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2013-C15, Cl C |
|
|
|
|
|
|
|
|
| 5.251%, 11/15/2045 (A) |
|
|
60 |
|
|
|
64 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2013-C17, Cl B |
|
|
|
|
|
|
|
|
| 5.050%, 01/15/2047 (A) |
|
|
30 |
|
|
|
32 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C21, Cl ASB |
|
|
|
|
|
|
|
|
| 3.428%, 08/15/2047 |
|
|
151 |
|
|
|
154 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C22, Cl A4 |
|
|
|
|
|
|
|
|
| 3.801%, 09/15/2047 |
|
|
107 |
|
|
|
110 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C22, Cl C |
|
|
|
|
|
|
|
|
| 4.714%, 09/15/2047 (A) |
|
|
160 |
|
|
|
160 |
|
| JPMBB Commercial Mortgage Securities Trust,
Ser 2014-C23, Cl ASB |
|
|
|
|
|
|
|
|
| 3.657%, 09/15/2047 |
|
|
337 |
|
|
|
349 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2004-LN2, Cl A2 |
|
|
|
|
|
|
|
|
| 5.115%, 07/15/2041 |
|
|
23 |
|
|
|
23 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2005-LDP2, Cl A3A |
|
|
|
|
|
|
|
|
| 4.678%, 07/15/2042 |
|
|
45 |
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2005-LDP4, Cl A4 |
|
|
|
|
|
|
|
|
| 4.918%, 10/15/2042 (A) |
|
$ |
562 |
|
|
$ |
575 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-CB14, Cl A4 |
|
|
|
|
|
|
|
|
| 5.481%, 12/12/2044 (A) |
|
|
137 |
|
|
|
142 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-CB15, Cl X1, IO |
|
|
|
|
|
|
|
|
| 0.410%, 06/12/2043 (A) |
|
|
10,254 |
|
|
|
45 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-LDP8, Cl A4 |
|
|
|
|
|
|
|
|
| 5.399%, 05/15/2045 |
|
|
317 |
|
|
|
337 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2006-LDP9, Cl A3SF |
|
|
|
|
|
|
|
|
| 0.309%, 05/15/2047 (A) |
|
|
58 |
|
|
|
58 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-CB20, Cl AM |
|
|
|
|
|
|
|
|
| 6.082%, 02/12/2051 (A) |
|
|
180 |
|
|
|
200 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2010-C2, Cl A3 |
|
|
|
|
|
|
|
|
| 4.070%, 11/15/2043 (B) |
|
|
733 |
|
|
|
780 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2010-CNTR, Cl A1 |
|
|
|
|
|
|
|
|
| 3.300%, 08/05/2032 (B) |
|
|
101 |
|
|
|
104 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2011-C5, Cl A2 |
|
|
|
|
|
|
|
|
| 3.149%, 08/15/2046 |
|
|
1,079 |
|
|
|
1,116 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2012-C8, Cl ASB |
|
|
|
|
|
|
|
|
| 2.379%, 10/15/2045 |
|
|
338 |
|
|
|
333 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2013-JWRZ, Cl A |
|
|
|
|
|
|
|
|
| 0.934%, 04/15/2030 (A) (B) |
|
|
350 |
|
|
|
350 |
|
| JPMorgan Chase Commercial Mortgage Securities,
Ser 2005-LDP5, Cl A4 |
|
|
|
|
|
|
|
|
| 5.404%, 12/15/2044 (A) |
|
|
200 |
|
|
|
206 |
|
| JPMorgan Chase Commercial Mortgage Securities,
Ser 2012-LC9, Cl A5 |
|
|
|
|
|
|
|
|
| 2.840%, 12/15/2047 |
|
|
142 |
|
|
|
138 |
|
| JPMorgan Mortgage Trust,
Ser 2004-A3, Cl 4A1 |
|
|
|
|
|
|
|
|
| 2.506%, 07/25/2034 (A) (B) |
|
|
33 |
|
|
|
34 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
127 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| JPMorgan Mortgage Trust,
Ser 2004-A4, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.558%, 09/25/2034 (A) (B) |
|
$ |
34 |
|
|
$ |
35 |
|
| JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 4A1 |
|
|
|
|
|
|
|
|
| 2.495%, 08/25/2034 (A) (B) |
|
|
275 |
|
|
|
274 |
|
| JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 5A3 |
|
|
|
|
|
|
|
|
| 2.519%, 11/25/2033 (A) (B) |
|
|
145 |
|
|
|
146 |
|
| JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 6A1 |
|
|
|
|
|
|
|
|
| 3.128%, 08/25/2034 (A) (B) |
|
|
130 |
|
|
|
131 |
|
| JPMorgan Mortgage Trust,
Ser 2014-IVR3, Cl 2A1 |
|
|
|
|
|
|
|
|
| 3.000%, 09/25/2044 (A) (B) |
|
|
163 |
|
|
|
165 |
|
| JPMorgan Resecuritization Trust,
Ser 2010-4, Cl 7A1 |
|
|
|
|
|
|
|
|
| 1.865%, 08/26/2035 (A) (B) |
|
|
44 |
|
|
|
44 |
|
| LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl AM |
|
|
|
|
|
|
|
|
| 6.090%, 07/15/2044 (A) |
|
|
60 |
|
|
|
66 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A6 |
|
|
|
|
|
|
|
|
| 4.799%, 12/15/2029 (A) |
|
|
— |
|
|
|
— |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2006-C1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.156%, 02/15/2031 |
|
|
200 |
|
|
|
207 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2006-C1, Cl XCL, IO |
|
|
|
|
|
|
|
|
| 0.534%, 02/15/2041 (A) (B) |
|
|
7,428 |
|
|
|
27 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2006-C3, Cl A4 |
|
|
|
|
|
|
|
|
| 5.661%, 03/15/2039 |
|
|
353 |
|
|
|
370 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2006-C4, Cl A4 |
|
|
|
|
|
|
|
|
| 6.029%, 06/15/2038 (A) |
|
|
121 |
|
|
|
128 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2007-C7, Cl AM |
|
|
|
|
|
|
|
|
| 6.370%, 09/15/2045 (A) |
|
|
40 |
|
|
|
45 |
|
| Master Alternative Loans Trust,
Ser 2003-9, Cl 2A1 |
|
|
|
|
|
|
|
|
| 6.000%, 12/25/2033 (B) |
|
|
86 |
|
|
|
86 |
|
| Master Resecuritization Trust,
Ser 2005, Cl PO |
|
|
|
|
|
|
|
|
| 0.000%, 05/28/2035 (B) |
|
|
38 |
|
|
|
30 |
|
| MASTR Asset Securitization Trust,
Ser 2003-11, Cl 9A6 |
|
|
|
|
|
|
|
|
| 5.250%, 12/25/2033 (B) |
|
|
180 |
|
|
|
190 |
|
| MASTR Asset Securitization Trust,
Ser 2003-2, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.000%, 03/25/2018 (B) |
|
|
13 |
|
|
|
13 |
|
| MASTR Asset Securitization Trust,
Ser 2003-3, Cl 3A18 |
|
|
|
|
|
|
|
|
| 5.500%, 04/25/2033 (B) |
|
|
49 |
|
|
|
49 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Merrill Lynch Mortgage Investors Trust,
Ser 2003-A4, Cl 2A |
|
|
|
|
|
|
|
|
| 2.583%, 07/25/2033 (A) (B) |
|
$ |
33 |
|
|
$ |
34 |
|
| Merrill Lynch Mortgage Investors Trust,
Ser 2004-A1, Cl 4A |
|
|
|
|
|
|
|
|
| 2.625%, 02/25/2034 (A) (B) |
|
|
213 |
|
|
|
215 |
|
| Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl A4 |
|
|
|
|
|
|
|
|
| 5.047%, 07/12/2038 (A) |
|
|
325 |
|
|
|
332 |
|
| Merrill Lynch Mortgage Trust,
Ser 2005-LC1, Cl AJ |
|
|
|
|
|
|
|
|
| 5.548%, 01/12/2044 (A) |
|
|
120 |
|
|
|
125 |
|
| Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser 2006-4, Cl XC, IO |
|
|
|
|
|
|
|
|
| 0.274%, 12/12/2049 (A) (B) |
|
|
2,884 |
|
|
|
32 |
|
| Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser 2007-7, Cl A4 |
|
|
|
|
|
|
|
|
| 5.810%, 06/12/2050 (A) |
|
|
337 |
|
|
|
367 |
|
| MLCC Mortgage Investors,
Ser 2004-A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.615%, 04/25/2029 (A) (B) |
|
|
369 |
|
|
|
356 |
|
| MLCC Mortgage Investors,
Ser 2004-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.830%, 04/25/2029 (A) (B) |
|
|
64 |
|
|
|
63 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2012-C6, Cl A3 |
|
|
|
|
|
|
|
|
| 2.506%, 11/15/2045 |
|
|
421 |
|
|
|
416 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2012-C6, Cl B |
|
|
|
|
|
|
|
|
| 3.930%, 09/15/2022 |
|
|
390 |
|
|
|
395 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C10, Cl A1 |
|
|
|
|
|
|
|
|
| 1.394%, 07/15/2046 |
|
|
410 |
|
|
|
412 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C7, Cl A4 |
|
|
|
|
|
|
|
|
| 2.918%, 02/15/2046 |
|
|
50 |
|
|
|
49 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C7, Cl AS |
|
|
|
|
|
|
|
|
| 3.214%, 02/15/2046 |
|
|
21 |
|
|
|
21 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2013-C9, Cl AS |
|
|
|
|
|
|
|
|
| 3.456%, 05/15/2046 |
|
|
80 |
|
|
|
80 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2014-C15, Cl ASB |
|
|
|
|
|
|
|
|
| 3.654%, 04/15/2047 |
|
|
165 |
|
|
|
171 |
|
|
|
|
| 128 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2014-C16, Cl ASB |
|
|
|
|
|
|
|
|
| 3.477%, 01/15/2024 |
|
$ |
63 |
|
|
$ |
65 |
|
| Morgan Stanley Capital I Trust,
Ser 2005-IQ10, Cl A4A |
|
|
|
|
|
|
|
|
| 5.230%, 09/15/2042 (A) |
|
|
149 |
|
|
|
153 |
|
| Morgan Stanley Capital I Trust,
Ser 2006-HQ8, Cl A4 |
|
|
|
|
|
|
|
|
| 5.596%, 03/12/2044 (A) |
|
|
3 |
|
|
|
3 |
|
| Morgan Stanley Capital I Trust,
Ser 2006-T23, Cl A4 |
|
|
|
|
|
|
|
|
| 5.984%, 08/12/2041 (A) |
|
|
600 |
|
|
|
640 |
|
| Morgan Stanley Capital I Trust,
Ser 2007-HQ11, Cl A4FL |
|
|
|
|
|
|
|
|
| 0.287%, 02/12/2044 (A) |
|
|
990 |
|
|
|
984 |
|
| Morgan Stanley Capital I Trust,
Ser 2007-HQ11, Cl X, IO |
|
|
|
|
|
|
|
|
| 0.392%, 02/12/2044 (A) (B) |
|
|
6,647 |
|
|
|
27 |
|
| Morgan Stanley Capital I Trust,
Ser 2007-T27, Cl A4 |
|
|
|
|
|
|
|
|
| 5.831%, 06/11/2042 (A) |
|
|
100 |
|
|
|
110 |
|
| Morgan Stanley Capital I Trust,
Ser 2011-C2, Cl A2 |
|
|
|
|
|
|
|
|
| 3.476%, 06/15/2044 (B) |
|
|
407 |
|
|
|
421 |
|
| Morgan Stanley Capital I Trust,
Ser 2011-C3, Cl A2 |
|
|
|
|
|
|
|
|
| 3.224%, 07/15/2049 |
|
|
270 |
|
|
|
279 |
|
| Morgan Stanley Capital I Trust,
Ser 2011-C3, Cl A3 |
|
|
|
|
|
|
|
|
| 4.054%, 07/15/2049 |
|
|
100 |
|
|
|
106 |
|
| Morgan Stanley Capital I Trust,
Ser 2011-C3, Cl A4 |
|
|
|
|
|
|
|
|
| 4.118%, 07/15/2049 |
|
|
170 |
|
|
|
181 |
|
| Morgan Stanley Capital I Trust,
Ser 2014-CPT, Cl AM |
|
|
|
|
|
|
|
|
| 3.516%, 07/13/2029 (A) (B) |
|
|
770 |
|
|
|
788 |
|
| Morgan Stanley Capital I Trust,
Ser 2014-CPT, Cl B |
|
|
|
|
|
|
|
|
| 3.560%, 07/13/2029 (A) (B) |
|
|
650 |
|
|
|
661 |
|
| Morgan Stanley RE-REMIC Trust,
Ser 12-IO, Cl AXA |
|
|
|
|
|
|
|
|
| 1.000%, 03/27/2051 (B) |
|
|
111 |
|
|
|
111 |
|
| Morgan Stanley Re-REMIC Trust,
Ser 2009-IO, Cl B, PO |
|
|
|
|
|
|
|
|
| 0.000%, 07/17/2056 (B) |
|
|
30 |
|
|
|
30 |
|
| Morgan Stanley Re-REMIC Trust,
Ser 2010-R4, Cl 2A |
|
|
|
|
|
|
|
|
| 0.493%, 07/26/2036 (A) (B) |
|
|
454 |
|
|
|
453 |
|
| Morgan Stanley Re-REMIC Trust,
Ser 2012-XA, Cl A |
|
|
|
|
|
|
|
|
| 2.000%, 07/27/2049 (B) |
|
|
386 |
|
|
|
388 |
|
| Morgan Stanley Re-REMIC Trust,
Ser 2012-XA, Cl B |
|
|
|
|
|
|
|
|
| 0.250%, 07/27/2049 (B) |
|
|
130 |
|
|
|
112 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Motel 6 Trust, Ser 2012-MTL6, Cl A2 |
|
|
|
|
|
|
|
|
| 1.948%, 10/05/2025 (B) |
|
$ |
443 |
|
|
$ |
443 |
|
| Nomura Asset Acceptance Alternative Loan Trust,
Ser 2007-1, Cl 1A3 |
|
|
|
|
|
|
|
|
| 5.957%, 03/25/2047 (B) |
|
|
192 |
|
|
|
195 |
|
| Nomura Asset Acceptance Alternative Loan Trust,
Ser 2007-1, Cl 1A4 |
|
|
|
|
|
|
|
|
| 6.138%, 03/25/2047 (B) |
|
|
158 |
|
|
|
160 |
|
| NorthStar Mortgage Trust,
Ser 2012-1, Cl A |
|
|
|
|
|
|
|
|
| 1.355%, 08/25/2029 (A) (B) |
|
|
63 |
|
|
|
63 |
|
| ORES NPL, Ser 2013-LV2, Cl A |
|
|
|
|
|
|
|
|
| 3.081%, 09/25/2025 (B) |
|
|
133 |
|
|
|
133 |
|
| Prime Mortgage Trust,
Ser 2004-CL1, Cl 1A1 |
|
|
|
|
|
|
|
|
| 6.000%, 02/25/2034 (B) |
|
|
59 |
|
|
|
62 |
|
| Prime Mortgage Trust,
Ser 2004-CL1, Cl 1PO, PO |
|
|
|
|
|
|
|
|
| 0.000%, 02/25/2034 (B) |
|
|
22 |
|
|
|
18 |
|
| RBSSP Resecuritization Trust,
Ser 2010-9, Cl 7A5 |
|
|
|
|
|
|
|
|
| 4.000%, 05/26/2037 (A) (B) |
|
|
106 |
|
|
|
108 |
|
| Residential Accredit Loans,
Ser 2003-QS15, Cl A7 |
|
|
|
|
|
|
|
|
| 5.500%, 08/25/2033 (B) |
|
|
262 |
|
|
|
267 |
|
| Residential Accredit Loans,
Ser 2003-QS18, Cl A1 |
|
|
|
|
|
|
|
|
| 5.000%, 09/25/2018 (B) |
|
|
69 |
|
|
|
70 |
|
| Residential Accredit Loans,
Ser 2004-QA7, Cl A4 |
|
|
|
|
|
|
|
|
| 5.500%, 05/25/2034 (B) |
|
|
313 |
|
|
|
321 |
|
| Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8 |
|
|
|
|
|
|
|
|
| 6.500%, 11/25/2031 (B) |
|
|
365 |
|
|
|
375 |
|
| Residential Asset Securitization Trust,
Ser 2002-A13, Cl A4 |
|
|
|
|
|
|
|
|
| 5.250%, 12/25/2017 (B) |
|
|
19 |
|
|
|
19 |
|
| Residential Asset Securitization Trust,
Ser 2003-A5, Cl A1 |
|
|
|
|
|
|
|
|
| 5.500%, 06/25/2033 (B) |
|
|
65 |
|
|
|
70 |
|
| Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.489%, 12/25/2034 (A) (B) |
|
|
506 |
|
|
|
515 |
|
| Salomon Brothers Mortgage Securities VII,
Ser 2003-HYB1, Cl A |
|
|
|
|
|
|
|
|
| 2.612%, 09/25/2033 (A) (B) |
|
|
87 |
|
|
|
88 |
|
| Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 |
|
|
|
|
|
|
|
|
| 0.456%, 12/20/2034 (A) (B) |
|
|
249 |
|
|
|
239 |
|
| Springleaf Mortgage Loan Trust,
Ser 2012-2A, Cl A |
|
|
|
|
|
|
|
|
| 2.220%, 10/25/2057 (A) (B) |
|
|
62 |
|
|
|
63 |
|
| Springleaf Mortgage Loan Trust,
Ser 2012-2A, Cl M4 |
|
|
|
|
|
|
|
|
| 6.000%, 10/25/2057 (A) (B) |
|
|
100 |
|
|
|
105 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
129 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Springleaf Mortgage Loan Trust,
Ser 2012-3A, Cl A |
|
|
|
|
|
|
|
|
| 1.570%, 12/25/2059 (A) (B) |
|
$ |
140 |
|
|
$ |
140 |
|
| Springleaf Mortgage Loan Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.270%, 06/25/2058 (A) (B) |
|
|
167 |
|
|
|
167 |
|
| Springleaf Mortgage Loan Trust,
Ser 2013-1A, Cl M1 |
|
|
|
|
|
|
|
|
| 2.310%, 06/25/2058 (A) (B) |
|
|
103 |
|
|
|
101 |
|
| Springleaf Mortgage Loan Trust,
Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 1.780%, 12/25/2065 (A) (B) |
|
|
536 |
|
|
|
535 |
|
| Springleaf Mortgage Loan Trust,
Ser 2013-2A, Cl M1 |
|
|
|
|
|
|
|
|
| 3.520%, 12/25/2065 (A) (B) |
|
|
125 |
|
|
|
128 |
|
| Structured Adjustable Rate Mortgage Loan Trust,
Ser 2004-5, Cl 2A |
|
|
|
|
|
|
|
|
| 2.366%, 05/25/2034 (A) (B) |
|
|
335 |
|
|
|
335 |
|
| Structured Adjustable Rate Mortgage Loan Trust,
Ser 2004-6, Cl 5A4 |
|
|
|
|
|
|
|
|
| 2.371%, 06/25/2034 (A) (B) |
|
|
34 |
|
|
|
34 |
|
| Structured Asset Securities,
Ser 2003-16, Cl A3 |
|
|
|
|
|
|
|
|
| 0.655%, 06/25/2033 (A) (B) |
|
|
29 |
|
|
|
28 |
|
| Structured Asset Securities,
Ser 2003-24A, Cl 3A2 |
|
|
|
|
|
|
|
|
| 2.362%, 07/25/2033 (A) (B) |
|
|
180 |
|
|
|
184 |
|
| Structured Asset Securities,
Ser 2003-32, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.453%, 11/25/2033 (A) (B) |
|
|
49 |
|
|
|
50 |
|
| Structured Asset Securities,
Ser 2003-33H, Cl 1A1 |
|
|
|
|
|
|
|
|
| 5.500%, 10/25/2033 (B) |
|
|
125 |
|
|
|
128 |
|
| Structured Asset Securities,
Ser 2003-37A, Cl 2A |
|
|
|
|
|
|
|
|
| 3.614%, 12/25/2033 (A) (B) |
|
|
59 |
|
|
|
60 |
|
| Structured Asset Securities,
Ser 2004-5H, Cl A4 |
|
|
|
|
|
|
|
|
| 5.540%, 12/25/2033 (B) |
|
|
200 |
|
|
|
206 |
|
| TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 |
|
|
|
|
|
|
|
|
| 5.561%, 08/15/2039 (A) |
|
|
108 |
|
|
|
109 |
|
| UBS Commercial Mortgage Trust,
Ser 2012-C1, Cl XA, IO |
|
|
|
|
|
|
|
|
| 2.474%, 05/10/2045 (A) (B) |
|
|
3,195 |
|
|
|
390 |
|
| UBS-BAMLL Trust, Ser 2012-WRM, Cl A |
|
|
|
|
|
|
|
|
| 3.663%, 06/10/2030 (B) |
|
|
145 |
|
|
|
145 |
|
| UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 |
|
|
|
|
|
|
|
|
| 3.525%, 05/10/2063 |
|
|
130 |
|
|
|
133 |
|
| UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.929%, 05/10/2063 (A) (B) |
|
|
755 |
|
|
|
62 |
|
| UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.185%, 03/10/2046 |
|
|
93 |
|
|
|
92 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Vendee Mortgage Trust,
Ser 1993-1, Cl ZB |
|
|
|
|
|
|
|
|
| 7.250%, 02/15/2023 |
|
$ |
547 |
|
|
$ |
625 |
|
| VNO Mortgage Trust,
Ser 2012-6AVE, Cl A |
|
|
|
|
|
|
|
|
| 2.996%, 11/15/2030 (B) |
|
|
100 |
|
|
|
98 |
|
| VNO Mortgage Trust,
Ser 2013-PENN, Cl A |
|
|
|
|
|
|
|
|
| 3.808%, 12/13/2029 (B) |
|
|
250 |
|
|
|
262 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl B |
|
|
|
|
|
|
|
|
| 5.287%, 03/15/2042 (A) |
|
|
280 |
|
|
|
284 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 |
|
|
|
|
|
|
|
|
| 5.118%, 07/15/2042 (A) |
|
|
362 |
|
|
|
369 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 |
|
|
|
|
|
|
|
|
| 5.414%, 10/15/2044 (A) |
|
|
165 |
|
|
|
170 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2006C23, Cl A4 |
|
|
|
|
|
|
|
|
| 5.418%, 01/15/2045 (A) |
|
|
810 |
|
|
|
840 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl AM |
|
|
|
|
|
|
|
|
| 5.383%, 12/15/2043 |
|
|
90 |
|
|
|
96 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-AR10, Cl A7 |
|
|
|
|
|
|
|
|
| 2.421%, 10/25/2033 (A) (B) |
|
|
148 |
|
|
|
152 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-AR7, Cl A7 |
|
|
|
|
|
|
|
|
| 2.301%, 08/25/2033 (A) (B) |
|
|
80 |
|
|
|
81 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-AR8, Cl A |
|
|
|
|
|
|
|
|
| 2.397%, 08/25/2033 (A) (B) |
|
|
42 |
|
|
|
43 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-AR9, Cl 1A6 |
|
|
|
|
|
|
|
|
| 2.408%, 09/25/2033 (A) (B) |
|
|
133 |
|
|
|
138 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-S13, Cl 21A1 |
|
|
|
|
|
|
|
|
| 4.500%, 12/25/2018 (B) |
|
|
31 |
|
|
|
32 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-S4, Cl 2A10 |
|
|
|
|
|
|
|
|
| 17.038%, 06/25/2033 (A) (B) |
|
|
21 |
|
|
|
24 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2003-S9, Cl A8 |
|
|
|
|
|
|
|
|
| 5.250%, 10/25/2033 (B) |
|
|
335 |
|
|
|
344 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2004-AR3, Cl A1 |
|
|
|
|
|
|
|
|
| 2.377%, 06/25/2034 (A) (B) |
|
|
62 |
|
|
|
63 |
|
|
|
|
| 130 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2004-AR3, Cl A2 |
|
|
|
|
|
|
|
|
| 2.377%, 06/25/2034 (A) (B) |
|
$ |
92 |
|
|
$ |
94 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2004-CB2, Cl 7A |
|
|
|
|
|
|
|
|
| 5.500%, 08/25/2019 (B) |
|
|
103 |
|
|
|
106 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2004-RA4, Cl 3A |
|
|
|
|
|
|
|
|
| 7.500%, 07/25/2034 (B) |
|
|
266 |
|
|
|
278 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2004-S2, Cl 2A4 |
|
|
|
|
|
|
|
|
| 5.500%, 06/25/2034 (B) |
|
|
185 |
|
|
|
194 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 |
|
|
|
|
|
|
|
|
| 0.445%, 10/25/2045 (A) (B) |
|
|
917 |
|
|
|
876 |
|
| WaMu Mortgage Pass-Through Certificates,
Ser 2005-AR13, Cl A1A3 |
|
|
|
|
|
|
|
|
| 0.935%, 10/25/2045 (A) (B) |
|
|
964 |
|
|
|
966 |
|
| Wells Fargo Commercial Mortgage Trust,
Ser 2013-120B, Cl A |
|
|
|
|
|
|
|
|
| 2.800%, 03/18/2028 (A) (B) |
|
|
200 |
|
|
|
199 |
|
| Wells Fargo Mortgage Loan Trust,
Ser 2012-RR1, Cl A1 |
|
|
|
|
|
|
|
|
| 2.847%, 08/27/2037 (A) (B) |
|
|
65 |
|
|
|
66 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2003-K, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.491%, 11/25/2033 (A) (B) |
|
|
58 |
|
|
|
59 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-E, Cl A2 |
|
|
|
|
|
|
|
|
| 4.500%, 05/25/2034 (A) (B) |
|
|
22 |
|
|
|
22 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-EE, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.612%, 12/25/2034 (A) (B) |
|
|
131 |
|
|
|
133 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-EE, Cl 2A2 |
|
|
|
|
|
|
|
|
| 2.612%, 12/25/2034 (A) (B) |
|
|
131 |
|
|
|
134 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-EE, Cl 3A1 |
|
|
|
|
|
|
|
|
| 2.533%, 12/25/2034 (A) (B) |
|
|
64 |
|
|
|
65 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-H, Cl A1 |
|
|
|
|
|
|
|
|
| 2.615%, 06/25/2034 (A) (B) |
|
|
244 |
|
|
|
248 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-I, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.618%, 07/25/2034 (A) (B) |
|
$ |
135 |
|
|
$ |
137 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-P, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.613%, 09/25/2034 (A) (B) |
|
|
241 |
|
|
|
246 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-V, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.609%, 10/25/2034 (A) (B) |
|
|
71 |
|
|
|
72 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2004-V, Cl 1A2 |
|
|
|
|
|
|
|
|
| 2.609%, 10/25/2034 (A) (B) |
|
|
142 |
|
|
|
144 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2005-AR3, Cl 1A1 |
|
|
|
|
|
|
|
|
| 2.619%, 03/25/2035 (A) (B) |
|
|
329 |
|
|
|
334 |
|
| Wells Fargo Mortgage-Backed Securities Trust,
Ser 2005-AR8, Cl 2A1 |
|
|
|
|
|
|
|
|
| 2.600%, 06/25/2035 (A) (B) |
|
|
125 |
|
|
|
126 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4 |
|
|
|
|
|
|
|
|
| 4.375%, 03/15/2044 (B) |
|
|
125 |
|
|
|
135 |
|
| WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 |
|
|
|
|
|
|
|
|
| 3.667%, 11/15/2044 |
|
|
790 |
|
|
|
826 |
|
| WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.955%, 12/15/2045 (A) (B) |
|
|
1,656 |
|
|
|
167 |
|
| WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.735%, 06/15/2045 (A) (B) |
|
|
387 |
|
|
|
35 |
|
| WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO |
|
|
|
|
|
|
|
|
| 1.603%, 05/15/2045 (A) (B) |
|
|
1,124 |
|
|
|
94 |
|
| WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA |
|
|
|
|
|
|
|
|
| 1.410%, 01/15/2024 (A) |
|
|
3,167 |
|
|
|
247 |
|
| WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B |
|
|
|
|
|
|
|
|
| 4.213%, 08/15/2047 (A) |
|
|
300 |
|
|
|
304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,026 |
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $379,200) ($ Thousands) |
|
|
|
|
|
|
388,143 |
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 22.4% |
|
|
|
|
|
|
|
|
| Consumer Discretionary — 1.6% |
|
|
|
|
|
|
|
|
| 21st Century Fox America |
|
|
|
|
|
|
|
|
| 7.300%, 04/30/2028 |
|
|
150 |
|
|
|
186 |
|
| 7.250%, 05/18/2018 |
|
|
50 |
|
|
|
59 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
131 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.900%, 08/15/2039 |
|
$ |
10 |
|
|
$ |
13 |
|
| 6.750%, 01/09/2038 |
|
|
20 |
|
|
|
24 |
|
| 6.650%, 11/15/2037 |
|
|
25 |
|
|
|
31 |
|
| 6.150%, 03/01/2037 |
|
|
20 |
|
|
|
24 |
|
| 6.150%, 02/15/2041 |
|
|
15 |
|
|
|
18 |
|
| American Honda Finance MTN |
|
|
|
|
|
|
|
|
| 2.250%, 08/15/2019 |
|
|
197 |
|
|
|
196 |
|
| Bed Bath & Beyond |
|
|
|
|
|
|
|
|
| 5.165%, 08/01/2044 |
|
|
170 |
|
|
|
166 |
|
| 4.915%, 08/01/2034 |
|
|
82 |
|
|
|
82 |
|
| British Sky Broadcasting Group |
|
|
|
|
|
|
|
|
| 3.750%, 09/16/2024 (B) |
|
|
310 |
|
|
|
309 |
|
| CBS |
|
|
|
|
|
|
|
|
| 5.750%, 04/15/2020 |
|
|
25 |
|
|
|
29 |
|
| 4.900%, 08/15/2044 |
|
|
45 |
|
|
|
44 |
|
| Comcast |
|
|
|
|
|
|
|
|
| 7.050%, 03/15/2033 |
|
|
90 |
|
|
|
121 |
|
| 6.950%, 08/15/2037 |
|
|
50 |
|
|
|
67 |
|
| 6.550%, 07/01/2039 |
|
|
70 |
|
|
|
91 |
|
| 6.500%, 01/15/2017 |
|
|
600 |
|
|
|
672 |
|
| 4.200%, 08/15/2034 |
|
|
150 |
|
|
|
149 |
|
| 3.600%, 03/01/2024 |
|
|
360 |
|
|
|
366 |
|
| Comcast Cable Communications Holdings |
|
|
|
|
|
|
|
|
| 9.455%, 11/15/2022 |
|
|
180 |
|
|
|
259 |
|
| Comcast Cable Holdings |
|
|
|
|
|
|
|
|
| 10.125%, 04/15/2022 |
|
|
45 |
|
|
|
62 |
|
| Cox Communications |
|
|
|
|
|
|
|
|
| 6.950%, 06/01/2038 (B) |
|
|
10 |
|
|
|
12 |
|
| 5.450%, 12/15/2014 |
|
|
22 |
|
|
|
22 |
|
| Cox Enterprises |
|
|
|
|
|
|
|
|
| 7.375%, 07/15/2027 (B) |
|
|
50 |
|
|
|
62 |
|
| Daimler Finance North America LLC (B) |
|
|
|
|
|
|
|
|
| 2.625%, 09/15/2016 |
|
|
150 |
|
|
|
154 |
|
| 2.375%, 08/01/2018 |
|
|
790 |
|
|
|
800 |
|
| 1.875%, 01/11/2018 |
|
|
247 |
|
|
|
247 |
|
| 1.300%, 07/31/2015 |
|
|
490 |
|
|
|
493 |
|
| 1.125%, 03/10/2017 |
|
|
555 |
|
|
|
552 |
|
| DIRECTV Holdings LLC |
|
|
|
|
|
|
|
|
| 6.000%, 08/15/2040 |
|
|
455 |
|
|
|
511 |
|
| 5.150%, 03/15/2042 |
|
|
25 |
|
|
|
25 |
|
| 4.600%, 02/15/2021 |
|
|
100 |
|
|
|
109 |
|
| 4.450%, 04/01/2024 |
|
|
350 |
|
|
|
365 |
|
| 3.800%, 03/15/2022 |
|
|
380 |
|
|
|
386 |
|
| Discovery Communications |
|
|
|
|
|
|
|
|
| 4.950%, 05/15/2042 |
|
|
25 |
|
|
|
25 |
|
| 4.375%, 06/15/2021 |
|
|
53 |
|
|
|
57 |
|
| ERAC USA Finance (B) |
|
|
|
|
|
|
|
|
| 6.700%, 06/01/2034 |
|
|
71 |
|
|
|
90 |
|
| 5.625%, 03/15/2042 |
|
|
370 |
|
|
|
418 |
|
| 3.850%, 11/15/2024 |
|
|
120 |
|
|
|
120 |
|
| 2.750%, 03/15/2017 |
|
|
16 |
|
|
|
16 |
|
| Ford Motor |
|
|
|
|
|
|
|
|
| 4.750%, 01/15/2043 |
|
|
240 |
|
|
|
240 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
| 3.664%, 09/08/2024 |
|
$ |
310 |
|
|
$ |
304 |
|
| 2.375%, 03/12/2019 |
|
|
200 |
|
|
|
198 |
|
| 1.684%, 09/08/2017 |
|
|
200 |
|
|
|
199 |
|
| Gap |
|
|
|
|
|
|
|
|
| 5.950%, 04/12/2021 |
|
|
133 |
|
|
|
151 |
|
| Historic TW |
|
|
|
|
|
|
|
|
| 9.150%, 02/01/2023 |
|
|
200 |
|
|
|
270 |
|
| Home Depot |
|
|
|
|
|
|
|
|
| 3.750%, 02/15/2024 |
|
|
66 |
|
|
|
69 |
|
| Johnson Controls |
|
|
|
|
|
|
|
|
| 5.250%, 12/01/2041 |
|
|
120 |
|
|
|
129 |
|
| 4.950%, 07/02/2064 |
|
|
85 |
|
|
|
83 |
|
| 4.625%, 07/02/2044 |
|
|
155 |
|
|
|
151 |
|
| 4.250%, 03/01/2021 |
|
|
65 |
|
|
|
70 |
|
| 3.750%, 12/01/2021 |
|
|
69 |
|
|
|
71 |
|
| Lowe’s MTN |
|
|
|
|
|
|
|
|
| 7.110%, 05/15/2037 |
|
|
110 |
|
|
|
148 |
|
| 5.125%, 11/15/2041 |
|
|
11 |
|
|
|
12 |
|
| LVMH Moet Hennessy Louis Vuitton |
|
|
|
|
|
|
|
|
| 1.625%, 06/29/2017 (B) |
|
|
462 |
|
|
|
464 |
|
| Macy’s Retail Holdings |
|
|
|
|
|
|
|
|
| 7.450%, 07/15/2017 |
|
|
35 |
|
|
|
40 |
|
| 5.125%, 01/15/2042 |
|
|
14 |
|
|
|
15 |
|
| McDonald’s MTN |
|
|
|
|
|
|
|
|
| 5.350%, 03/01/2018 |
|
|
150 |
|
|
|
168 |
|
| NBCUniversal Enterprise |
|
|
|
|
|
|
|
|
| 1.974%, 04/15/2019 (B) |
|
|
200 |
|
|
|
197 |
|
| NBCUniversal Media |
|
|
|
|
|
|
|
|
| 5.950%, 04/01/2041 |
|
|
50 |
|
|
|
61 |
|
| 4.375%, 04/01/2021 |
|
|
100 |
|
|
|
109 |
|
| QVC |
|
|
|
|
|
|
|
|
| 5.950%, 03/15/2043 |
|
|
10 |
|
|
|
11 |
|
| TCI Communications |
|
|
|
|
|
|
|
|
| 8.750%, 08/01/2015 |
|
|
210 |
|
|
|
224 |
|
| 7.125%, 02/15/2028 |
|
|
200 |
|
|
|
263 |
|
| Thomson Reuters |
|
|
|
|
|
|
|
|
| 4.700%, 10/15/2019 |
|
|
75 |
|
|
|
82 |
|
| 3.950%, 09/30/2021 |
|
|
109 |
|
|
|
113 |
|
| 3.850%, 09/29/2024 |
|
|
315 |
|
|
|
313 |
|
| Time Warner |
|
|
|
|
|
|
|
|
| 7.700%, 05/01/2032 |
|
|
530 |
|
|
|
729 |
|
| 7.625%, 04/15/2031 |
|
|
385 |
|
|
|
520 |
|
| 5.375%, 10/15/2041 |
|
|
12 |
|
|
|
13 |
|
| 3.550%, 06/01/2024 |
|
|
385 |
|
|
|
379 |
|
| Time Warner Cable |
|
|
|
|
|
|
|
|
| 8.250%, 04/01/2019 |
|
|
200 |
|
|
|
249 |
|
| 7.300%, 07/01/2038 |
|
|
110 |
|
|
|
150 |
|
| 6.750%, 07/01/2018 |
|
|
40 |
|
|
|
47 |
|
| 6.550%, 05/01/2037 |
|
|
80 |
|
|
|
101 |
|
| 5.875%, 11/15/2040 |
|
|
210 |
|
|
|
247 |
|
| 5.500%, 09/01/2041 |
|
|
44 |
|
|
|
50 |
|
| 5.000%, 02/01/2020 |
|
|
320 |
|
|
|
356 |
|
| 4.000%, 09/01/2021 |
|
|
110 |
|
|
|
116 |
|
|
|
|
| 132 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
| 2.750%, 05/17/2021 |
|
$ |
380 |
|
|
$ |
383 |
|
| 2.000%, 10/24/2018 |
|
|
174 |
|
|
|
174 |
|
| 1.125%, 05/16/2017 |
|
|
600 |
|
|
|
598 |
|
| Viacom |
|
|
|
|
|
|
|
|
| 5.250%, 04/01/2044 (C) |
|
|
320 |
|
|
|
331 |
|
| 4.250%, 09/01/2023 |
|
|
160 |
|
|
|
165 |
|
| 3.875%, 12/15/2021 |
|
|
75 |
|
|
|
78 |
|
| 3.250%, 03/15/2023 |
|
|
22 |
|
|
|
22 |
|
| Volkswagen Group of America Finance |
|
|
|
|
|
|
|
|
| 2.125%, 05/23/2019 (B) |
|
|
260 |
|
|
|
258 |
|
| Volkswagen International Finance |
|
|
|
|
|
|
|
|
| 1.125%, 11/18/2016 (B) |
|
|
580 |
|
|
|
581 |
|
| Walt Disney MTN |
|
|
|
|
|
|
|
|
| 0.450%, 12/1/2015 |
|
|
21 |
|
|
|
21 |
|
| WPP Finance |
|
|
|
|
|
|
|
|
| 5.125%, 09/07/2042 |
|
|
60 |
|
|
|
61 |
|
| Yum! Brands |
|
|
|
|
|
|
|
|
| 5.350%, 11/01/2043 |
|
|
185 |
|
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.4% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
|
|
|
|
|
|
| 9.950%, 11/10/2038 |
|
|
50 |
|
|
|
83 |
|
| 5.375%, 01/31/2044 |
|
|
295 |
|
|
|
314 |
|
| 4.750%, 05/05/2021 |
|
|
230 |
|
|
|
251 |
|
| 4.000%, 01/31/2024 |
|
|
180 |
|
|
|
184 |
|
| 2.850%, 08/09/2022 |
|
|
460 |
|
|
|
441 |
|
| Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
| 4.000%, 01/17/2043 |
|
|
265 |
|
|
|
244 |
|
| 2.625%, 01/17/2023 (C) |
|
|
215 |
|
|
|
202 |
|
| 2.150%, 02/01/2019 |
|
|
435 |
|
|
|
433 |
|
| Anheuser-Busch InBev Worldwide |
|
|
|
|
|
|
|
|
| 7.750%, 01/15/2019 |
|
|
858 |
|
|
|
1,036 |
|
| 2.500%, 07/15/2022 |
|
|
420 |
|
|
|
397 |
|
| 1.375%, 07/15/2017 |
|
|
105 |
|
|
|
105 |
|
| 0.800%, 07/15/2015 |
|
|
110 |
|
|
|
110 |
|
| Bunge Finance |
|
|
|
|
|
|
|
|
| 8.500%, 06/15/2019 |
|
|
120 |
|
|
|
149 |
|
| Coca-Cola |
|
|
|
|
|
|
|
|
| 1.800%, 09/01/2016 |
|
|
60 |
|
|
|
61 |
|
| Coca-Cola Femsa |
|
|
|
|
|
|
|
|
| 2.375%, 11/26/2018 |
|
|
400 |
|
|
|
402 |
|
| ConAgra Foods |
|
|
|
|
|
|
|
|
| 2.100%, 03/15/2018 |
|
|
6 |
|
|
|
6 |
|
| 1.900%, 01/25/2018 |
|
|
250 |
|
|
|
248 |
|
| CVS Health |
|
|
|
|
|
|
|
|
| 5.750%, 05/15/2041 |
|
|
50 |
|
|
|
59 |
|
| 2.750%, 12/1/2022 |
|
|
550 |
|
|
|
525 |
|
| 2.250%, 12/05/2018 |
|
|
335 |
|
|
|
336 |
|
| CVS Pass-Through Trust |
|
|
|
|
|
|
|
|
| 5.926%, 01/10/2034 (B) |
|
|
91 |
|
|
|
105 |
|
| Diageo Capital PLC |
|
|
|
|
|
|
|
|
| 4.828%, 07/15/2020 |
|
|
90 |
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Diageo Investment |
|
|
|
|
|
|
|
|
| 2.875%, 05/11/2022 |
|
$ |
580 |
|
|
$ |
569 |
|
| Heineken |
|
|
|
|
|
|
|
|
| 1.400%, 10/1/2017 (B) |
|
|
70 |
|
|
|
70 |
|
| Kellogg |
|
|
|
|
|
|
|
|
| 1.750%, 05/17/2017 |
|
|
55 |
|
|
|
55 |
|
| Kimberly-Clark |
|
|
|
|
|
|
|
|
| 2.400%, 03/01/2022 |
|
|
12 |
|
|
|
12 |
|
| Kraft Foods Group |
|
|
|
|
|
|
|
|
| 6.500%, 02/09/2040 |
|
|
140 |
|
|
|
173 |
|
| 6.125%, 08/23/2018 |
|
|
225 |
|
|
|
258 |
|
| 5.375%, 02/10/2020 |
|
|
31 |
|
|
|
35 |
|
| 5.000%, 06/04/2042 |
|
|
50 |
|
|
|
52 |
|
| 3.500%, 06/06/2022 |
|
|
925 |
|
|
|
936 |
|
| Kroger |
|
|
|
|
|
|
|
|
| 7.500%, 04/01/2031 |
|
|
90 |
|
|
|
117 |
|
| 6.900%, 04/15/2038 |
|
|
80 |
|
|
|
102 |
|
| 5.400%, 07/15/2040 |
|
|
14 |
|
|
|
15 |
|
| 2.200%, 01/15/2017 |
|
|
40 |
|
|
|
41 |
|
| Lorillard Tobacco |
|
|
|
|
|
|
|
|
| 8.125%, 06/23/2019 |
|
|
370 |
|
|
|
453 |
|
| Mondelez International |
|
|
|
|
|
|
|
|
| 6.500%, 02/09/2040 |
|
|
295 |
|
|
|
370 |
|
| 5.375%, 02/10/2020 |
|
|
550 |
|
|
|
624 |
|
| 4.000%, 02/01/2024 (C) |
|
|
380 |
|
|
|
389 |
|
| PepsiCo |
|
|
|
|
|
|
|
|
| 7.900%, 11/01/2018 |
|
|
11 |
|
|
|
13 |
|
| 4.000%, 03/05/2042 |
|
|
150 |
|
|
|
142 |
|
| 3.000%, 08/25/2021 |
|
|
31 |
|
|
|
32 |
|
| 2.500%, 05/10/2016 |
|
|
35 |
|
|
|
36 |
|
| 1.250%, 08/13/2017 |
|
|
72 |
|
|
|
72 |
|
| 0.700%, 08/13/2015 |
|
|
220 |
|
|
|
221 |
|
| Pernod Ricard (B) |
|
|
|
|
|
|
|
|
| 5.750%, 04/07/2021 |
|
|
370 |
|
|
|
421 |
|
| 4.450%, 01/15/2022 |
|
|
370 |
|
|
|
391 |
|
| Philip Morris International |
|
|
|
|
|
|
|
|
| 4.500%, 03/20/2042 |
|
|
200 |
|
|
|
201 |
|
| 2.500%, 08/22/2022 |
|
|
250 |
|
|
|
239 |
|
| Reynolds American |
|
|
|
|
|
|
|
|
| 3.250%, 11/1/2022 |
|
|
280 |
|
|
|
270 |
|
| SABMiller Holdings |
|
|
|
|
|
|
|
|
| 3.750%, 01/15/2022 (B) |
|
|
245 |
|
|
|
250 |
|
| Sysco |
|
|
|
|
|
|
|
|
| 3.000%, 10/02/2021 |
|
|
404 |
|
|
|
405 |
|
| 2.350%, 10/02/2019 |
|
|
535 |
|
|
|
535 |
|
| Tyson Foods |
|
|
|
|
|
|
|
|
| 4.500%, 06/15/2022 |
|
|
290 |
|
|
|
307 |
|
| 3.950%, 08/15/2024 |
|
|
296 |
|
|
|
296 |
|
| Wal-Mart Stores |
|
|
|
|
|
|
|
|
| 5.625%, 04/15/2041 |
|
|
20 |
|
|
|
24 |
|
| 4.300%, 04/22/2044 |
|
|
605 |
|
|
|
609 |
|
| 3.300%, 04/22/2024 |
|
|
60 |
|
|
|
61 |
|
| Wm Wrigley Jr (B) |
|
|
|
|
|
|
|
|
| 3.375%, 10/21/2020 |
|
|
380 |
|
|
|
386 |
|
| 2.900%, 10/21/2019 |
|
|
516 |
|
|
|
523 |
|
| 2.400%, 10/21/2018 |
|
|
200 |
|
|
|
201 |
|
| 2.000%, 10/20/2017 |
|
|
110 |
|
|
|
111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
133 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 2.3% |
|
|
|
|
|
|
|
|
| Anadarko Finance, Ser B |
|
|
|
|
|
|
|
|
| 7.500%, 05/01/2031 |
|
$ |
60 |
|
|
$ |
81 |
|
| Anadarko Petroleum |
|
|
|
|
|
|
|
|
| 6.375%, 09/15/2017 |
|
|
10 |
|
|
|
11 |
|
| 5.950%, 09/15/2016 |
|
|
60 |
|
|
|
65 |
|
| Apache |
|
|
|
|
|
|
|
|
| 5.625%, 01/15/2017 |
|
|
250 |
|
|
|
274 |
|
| 3.250%, 04/15/2022 |
|
|
109 |
|
|
|
109 |
|
| Baker Hughes |
|
|
|
|
|
|
|
|
| 7.500%, 11/15/2018 |
|
|
170 |
|
|
|
206 |
|
| BG Energy Capital PLC |
|
|
|
|
|
|
|
|
| 4.000%, 10/15/2021 (B) |
|
|
575 |
|
|
|
602 |
|
| BP Capital Markets PLC |
|
|
|
|
|
|
|
|
| 3.994%, 09/26/2023 |
|
|
95 |
|
|
|
98 |
|
| 3.814%, 02/10/2024 |
|
|
83 |
|
|
|
84 |
|
| 3.561%, 11/1/2021 |
|
|
80 |
|
|
|
82 |
|
| 3.245%, 05/06/2022 |
|
|
190 |
|
|
|
189 |
|
| 1.846%, 05/05/2017 |
|
|
172 |
|
|
|
174 |
|
| Cameron International |
|
|
|
|
|
|
|
|
| 4.000%, 12/15/2023 |
|
|
21 |
|
|
|
22 |
|
| Canadian Natural Resources |
|
|
|
|
|
|
|
|
| 7.200%, 01/15/2032 |
|
|
50 |
|
|
|
66 |
|
| 6.450%, 06/30/2033 |
|
|
50 |
|
|
|
61 |
|
| Canadian Oil Sands |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2042 (B) |
|
|
158 |
|
|
|
182 |
|
| Cenovus Energy |
|
|
|
|
|
|
|
|
| 4.450%, 09/15/2042 |
|
|
19 |
|
|
|
19 |
|
| 3.000%, 08/15/2022 |
|
|
8 |
|
|
|
8 |
|
| Chevron |
|
|
|
|
|
|
|
|
| 3.191%, 06/24/2023 |
|
|
22 |
|
|
|
22 |
|
| 2.355%, 12/05/2022 |
|
|
15 |
|
|
|
14 |
|
| CNOOC Nexen Finance ULC |
|
|
|
|
|
|
|
|
| 4.250%, 04/30/2024 |
|
|
200 |
|
|
|
203 |
|
| 1.625%, 04/30/2017 |
|
|
410 |
|
|
|
409 |
|
| Conoco Funding |
|
|
|
|
|
|
|
|
| 7.250%, 10/15/2031 |
|
|
130 |
|
|
|
181 |
|
| ConocoPhillips |
|
|
|
|
|
|
|
|
| 6.000%, 01/15/2020 |
|
|
100 |
|
|
|
118 |
|
| Continental Resources |
|
|
|
|
|
|
|
|
| 4.500%, 04/15/2023 |
|
|
355 |
|
|
|
368 |
|
| 3.800%, 06/01/2024 |
|
|
40 |
|
|
|
39 |
|
| Devon Energy |
|
|
|
|
|
|
|
|
| 6.300%, 01/15/2019 |
|
|
80 |
|
|
|
93 |
|
| 5.600%, 07/15/2041 |
|
|
350 |
|
|
|
390 |
|
| 4.750%, 05/15/2042 |
|
|
17 |
|
|
|
17 |
|
| 3.250%, 05/15/2022 |
|
|
327 |
|
|
|
325 |
|
| Devon Financing LLC |
|
|
|
|
|
|
|
|
| 7.875%, 09/30/2031 |
|
|
40 |
|
|
|
56 |
|
| Diamond Offshore Drilling |
|
|
|
|
|
|
|
|
| 4.875%, 11/01/2043 (C) |
|
|
219 |
|
|
|
203 |
|
| Ecopetrol |
|
|
|
|
|
|
|
|
| 7.375%, 09/18/2043 |
|
|
130 |
|
|
|
157 |
|
| 5.875%, 05/28/2045 |
|
|
350 |
|
|
|
354 |
|
| 4.125%, 01/16/2025 |
|
|
43 |
|
|
|
42 |
|
| El Paso Pipeline Partners Operating LP |
|
|
|
|
|
|
|
|
| 4.300%, 05/01/2024 |
|
|
300 |
|
|
|
298 |
|
| 4.100%, 11/15/2015 |
|
|
305 |
|
|
|
315 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Encana |
|
|
|
|
|
|
|
|
| 6.500%, 05/15/2019 |
|
$ |
100 |
|
|
$ |
117 |
|
| 6.500%, 02/01/2038 |
|
|
315 |
|
|
|
387 |
|
| Energy Transfer Partners |
|
|
|
|
|
|
|
|
| 8.250%, 11/15/2029 |
|
|
675 |
|
|
|
947 |
|
| 5.950%, 10/01/2043 |
|
|
120 |
|
|
|
129 |
|
| ENI |
|
|
|
|
|
|
|
|
| 5.700%, 10/01/2040 (B) |
|
|
300 |
|
|
|
336 |
|
| Enterprise Products Operating |
|
|
|
|
|
|
|
|
| 5.700%, 02/15/2042 |
|
|
40 |
|
|
|
45 |
|
| 5.100%, 02/15/2045 |
|
|
39 |
|
|
|
41 |
|
| 3.900%, 02/15/2024 |
|
|
58 |
|
|
|
59 |
|
| Equities Midstream Partners |
|
|
|
|
|
|
|
|
| 4.000%, 08/01/2024 |
|
|
235 |
|
|
|
232 |
|
| Halliburton |
|
|
|
|
|
|
|
|
| 6.150%, 09/15/2019 |
|
|
80 |
|
|
|
94 |
|
| Hess |
|
|
|
|
|
|
|
|
| 8.125%, 02/15/2019 |
|
|
260 |
|
|
|
321 |
|
| Kerr-McGee |
|
|
|
|
|
|
|
|
| 6.950%, 07/01/2024 |
|
|
618 |
|
|
|
778 |
|
| Kinder Morgan Energy Partners |
|
|
|
|
|
|
|
|
| 5.000%, 08/15/2042 |
|
|
75 |
|
|
|
71 |
|
| 5.000%, 03/01/2043 |
|
|
75 |
|
|
|
69 |
|
| 4.150%, 02/01/2024 |
|
|
150 |
|
|
|
148 |
|
| Magellan Midstream Partners |
|
|
|
|
|
|
|
|
| 5.150%, 10/15/2043 |
|
|
35 |
|
|
|
38 |
|
| Marathon Petroleum |
|
|
|
|
|
|
|
|
| 5.000%, 09/15/2054 |
|
|
100 |
|
|
|
95 |
|
| 4.750%, 09/15/2044 |
|
|
75 |
|
|
|
72 |
|
| 3.625%, 09/15/2024 |
|
|
48 |
|
|
|
47 |
|
| Noble Energy |
|
|
|
|
|
|
|
|
| 5.250%, 11/15/2043 |
|
|
60 |
|
|
|
63 |
|
| 4.150%, 12/15/2021 |
|
|
230 |
|
|
|
244 |
|
| Noble Holding International |
|
|
|
|
|
|
|
|
| 5.250%, 03/15/2042 |
|
|
40 |
|
|
|
36 |
|
| 3.950%, 03/15/2022 |
|
|
12 |
|
|
|
12 |
|
| Occidental Petroleum |
|
|
|
|
|
|
|
|
| 2.700%, 02/15/2023 |
|
|
219 |
|
|
|
210 |
|
| 1.750%, 02/15/2017 |
|
|
35 |
|
|
|
35 |
|
| ONEOK Partners |
|
|
|
|
|
|
|
|
| 2.000%, 10/01/2017 |
|
|
235 |
|
|
|
236 |
|
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
| 6.250%, 03/17/2024 |
|
|
410 |
|
|
|
430 |
|
| 4.875%, 03/17/2020 |
|
|
290 |
|
|
|
294 |
|
| 4.375%, 05/20/2023 |
|
|
39 |
|
|
|
37 |
|
| 3.000%, 01/15/2019 (C) |
|
|
205 |
|
|
|
200 |
|
| 1.853%, 05/20/2016 (A) |
|
|
350 |
|
|
|
350 |
|
| Petrobras International Finance |
|
|
|
|
|
|
|
|
| 5.375%, 01/27/2021 |
|
|
1,120 |
|
|
|
1,132 |
|
| Petro-Canada |
|
|
|
|
|
|
|
|
| 6.800%, 05/15/2038 |
|
|
475 |
|
|
|
624 |
|
| 6.050%, 05/15/2018 |
|
|
115 |
|
|
|
131 |
|
| Petrofac |
|
|
|
|
|
|
|
|
| 3.400%, 10/10/2018 (B) |
|
|
270 |
|
|
|
278 |
|
|
|
|
| 134 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
| 6.625%, 06/15/2035 |
|
$ |
350 |
|
|
$ |
406 |
|
| 6.375%, 01/23/2045 (B) |
|
|
908 |
|
|
|
1,027 |
|
| 5.500%, 06/27/2044 |
|
|
200 |
|
|
|
204 |
|
| 4.875%, 01/18/2024 (B) |
|
|
32 |
|
|
|
34 |
|
| 3.500%, 01/30/2023 |
|
|
436 |
|
|
|
418 |
|
| 2.254%, 07/18/2018 (A) |
|
|
130 |
|
|
|
136 |
|
| Phillips 66 |
|
|
|
|
|
|
|
|
| 5.875%, 05/01/2042 |
|
|
35 |
|
|
|
41 |
|
| 4.300%, 04/01/2022 |
|
|
26 |
|
|
|
28 |
|
| 2.950%, 05/01/2017 |
|
|
33 |
|
|
|
34 |
|
| Plains All American Pipeline |
|
|
|
|
|
|
|
|
| 3.600%, 11/01/2024 |
|
|
90 |
|
|
|
88 |
|
| Rowan |
|
|
|
|
|
|
|
|
| 5.400%, 12/1/2042 |
|
|
154 |
|
|
|
144 |
|
| Schlumberger Investment |
|
|
|
|
|
|
|
|
| 3.650%, 12/01/2023 |
|
|
61 |
|
|
|
63 |
|
| 3.300%, 09/14/2021 (B) |
|
|
47 |
|
|
|
49 |
|
| Shell International Finance |
|
|
|
|
|
|
|
|
| 4.375%, 03/25/2020 |
|
|
140 |
|
|
|
154 |
|
| 3.400%, 08/12/2023 |
|
|
465 |
|
|
|
473 |
|
| Sinopec Group Overseas Development |
|
|
|
|
|
|
|
|
| 4.375%, 04/10/2024 (B) |
|
|
380 |
|
|
|
390 |
|
| Southeast Supply Header |
|
|
|
|
|
|
|
|
| 4.250%, 06/15/2024 (B) |
|
|
260 |
|
|
|
265 |
|
| Spectra Energy Capital |
|
|
|
|
|
|
|
|
| 8.000%, 10/01/2019 |
|
|
200 |
|
|
|
247 |
|
| 5.650%, 03/01/2020 |
|
|
100 |
|
|
|
112 |
|
| Spectra Energy Partners |
|
|
|
|
|
|
|
|
| 5.950%, 09/25/2043 |
|
|
30 |
|
|
|
35 |
|
| Statoil |
|
|
|
|
|
|
|
|
| 5.250%, 04/15/2019 |
|
|
140 |
|
|
|
158 |
|
| 4.250%, 11/23/2041 |
|
|
27 |
|
|
|
27 |
|
| 3.150%, 01/23/2022 |
|
|
33 |
|
|
|
34 |
|
| 3.125%, 08/17/2017 |
|
|
50 |
|
|
|
52 |
|
| 2.900%, 11/08/2020 |
|
|
729 |
|
|
|
743 |
|
| Suncor Energy |
|
|
|
|
|
|
|
|
| 6.850%, 06/01/2039 |
|
|
50 |
|
|
|
66 |
|
| Talisman Energy |
|
|
|
|
|
|
|
|
| 7.750%, 06/01/2019 |
|
|
100 |
|
|
|
121 |
|
| 3.750%, 02/01/2021 |
|
|
290 |
|
|
|
293 |
|
| TC PipeLines |
|
|
|
|
|
|
|
|
| 4.650%, 06/15/2021 |
|
|
85 |
|
|
|
90 |
|
| Tennessee Gas Pipeline |
|
|
|
|
|
|
|
|
| 8.000%, 02/01/2016 |
|
|
1,000 |
|
|
|
1,088 |
|
| Tosco |
|
|
|
|
|
|
|
|
| 7.800%, 01/01/2027 |
|
|
65 |
|
|
|
89 |
|
| Total Capital Canada |
|
|
|
|
|
|
|
|
| 2.750%, 07/15/2023 |
|
|
50 |
|
|
|
48 |
|
| Total Capital International |
|
|
|
|
|
|
|
|
| 3.700%, 01/15/2024 |
|
|
42 |
|
|
|
43 |
|
| 2.875%, 02/17/2022 |
|
|
37 |
|
|
|
37 |
|
| 2.750%, 06/19/2021 |
|
|
660 |
|
|
|
657 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 2.100%, 06/19/2019 |
|
$ |
380 |
|
|
$ |
379 |
|
| 1.550%, 06/28/2017 |
|
|
28 |
|
|
|
28 |
|
| TransCanada PipeLines |
|
|
|
|
|
|
|
|
| 7.125%, 01/15/2019 |
|
|
50 |
|
|
|
60 |
|
| 6.500%, 08/15/2018 |
|
|
175 |
|
|
|
203 |
|
| 4.625%, 03/01/2034 |
|
|
755 |
|
|
|
775 |
|
| Transocean |
|
|
|
|
|
|
|
|
| 7.350%, 12/15/2041 |
|
|
9 |
|
|
|
10 |
|
| 6.500%, 11/15/2020 |
|
|
120 |
|
|
|
128 |
|
| 6.375%, 12/15/2021 |
|
|
21 |
|
|
|
22 |
|
| 5.050%, 12/15/2016 |
|
|
90 |
|
|
|
96 |
|
| Union Pacific Resources Group |
|
|
|
|
|
|
|
|
| 7.150%, 05/15/2028 |
|
|
52 |
|
|
|
66 |
|
| Weatherford International |
|
|
|
|
|
|
|
|
| 5.950%, 04/15/2042 |
|
|
202 |
|
|
|
217 |
|
| 4.500%, 04/15/2022 |
|
|
20 |
|
|
|
21 |
|
| Western Gas Partners |
|
|
|
|
|
|
|
|
| 5.375%, 06/01/2021 |
|
|
110 |
|
|
|
123 |
|
| 4.000%, 07/01/2022 |
|
|
35 |
|
|
|
36 |
|
| Williams |
|
|
|
|
|
|
|
|
| 7.875%, 09/01/2021 |
|
|
496 |
|
|
|
597 |
|
| 5.750%, 06/24/2044 |
|
|
110 |
|
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 10.0% |
|
|
|
|
|
|
|
|
| ABB Treasury Center USA |
|
|
|
|
|
|
|
|
| 2.500%, 06/15/2016 (B) |
|
|
325 |
|
|
|
333 |
|
| ACE INA Holdings |
|
|
|
|
|
|
|
|
| 5.600%, 05/15/2015 |
|
|
100 |
|
|
|
103 |
|
| 3.350%, 05/15/2024 |
|
|
180 |
|
|
|
180 |
|
| African Development Bank |
|
|
|
|
|
|
|
|
| 8.800%, 09/01/2019 |
|
|
100 |
|
|
|
126 |
|
| AIG SunAmerica Global Financing X |
|
|
|
|
|
|
|
|
| 6.900%, 03/15/2032 (B) |
|
|
30 |
|
|
|
40 |
|
| Alleghany |
|
|
|
|
|
|
|
|
| 4.900%, 09/15/2044 |
|
|
100 |
|
|
|
99 |
|
| American Express |
|
|
|
|
|
|
|
|
| 7.000%, 03/19/2018 |
|
|
170 |
|
|
|
198 |
|
| American Express Credit MTN |
|
|
|
|
|
|
|
|
| 2.800%, 09/19/2016 |
|
|
44 |
|
|
|
45 |
|
| 2.250%, 08/15/2019 |
|
|
995 |
|
|
|
988 |
|
| 1.750%, 06/12/2015 |
|
|
654 |
|
|
|
660 |
|
| American Honda Finance MTN (B) |
|
|
|
|
|
|
|
|
| 3.875%, 09/21/2020 |
|
|
495 |
|
|
|
527 |
|
| 1.000%, 08/11/2015 |
|
|
210 |
|
|
|
211 |
|
| American International Group |
|
|
|
|
|
|
|
|
| 8.175%, 05/15/2058 (A) |
|
|
80 |
|
|
|
108 |
|
| 6.400%, 12/15/2020 |
|
|
190 |
|
|
|
226 |
|
| 5.850%, 01/16/2018 |
|
|
655 |
|
|
|
737 |
|
| 4.125%, 02/15/2024 |
|
|
71 |
|
|
|
74 |
|
| 2.300%, 07/16/2019 |
|
|
36 |
|
|
|
36 |
|
| American Tower‡ |
|
|
|
|
|
|
|
|
| 5.050%, 09/01/2020 |
|
|
204 |
|
|
|
221 |
|
| 3.500%, 01/31/2023 |
|
|
263 |
|
|
|
250 |
|
| 3.450%, 09/15/2021 |
|
|
300 |
|
|
|
294 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
135 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| American Tower Trust I‡ |
|
|
|
|
|
|
|
|
| 1.551%, 03/15/2018 (B) |
|
$ |
25 |
|
|
$ |
25 |
|
| Ameriprise Financial |
|
|
|
|
|
|
|
|
| 4.000%, 10/15/2023 |
|
|
130 |
|
|
|
136 |
|
| 3.700%, 10/15/2024 |
|
|
235 |
|
|
|
236 |
|
| Andina de Fomento |
|
|
|
|
|
|
|
|
| 3.750%, 01/15/2016 |
|
|
90 |
|
|
|
93 |
|
| ANZ New Zealand International MTN |
|
|
|
|
|
|
|
|
| 3.125%, 08/10/2015 (B) |
|
|
100 |
|
|
|
102 |
|
| AON |
|
|
|
|
|
|
|
|
| 6.250%, 09/30/2040 |
|
|
19 |
|
|
|
24 |
|
| 3.500%, 09/30/2015 |
|
|
11 |
|
|
|
11 |
|
| 3.500%, 06/14/2024 |
|
|
65 |
|
|
|
64 |
|
| Associates of North America |
|
|
|
|
|
|
|
|
| 6.950%, 11/01/2018 |
|
|
128 |
|
|
|
150 |
|
| Assurant |
|
|
|
|
|
|
|
|
| 2.500%, 03/15/2018 |
|
|
310 |
|
|
|
311 |
|
| Australia & New Zealand Banking Group |
|
|
|
|
|
|
|
|
| 4.500%, 03/19/2024 (B) |
|
|
310 |
|
|
|
313 |
|
| Bank of America MTN |
|
|
|
|
|
|
|
|
| 6.875%, 04/25/2018 |
|
|
100 |
|
|
|
115 |
|
| 6.500%, 08/01/2016 |
|
|
1,325 |
|
|
|
1,446 |
|
| 6.400%, 08/28/2017 (C) |
|
|
150 |
|
|
|
169 |
|
| 6.100%, 06/15/2017 |
|
|
2,600 |
|
|
|
2,895 |
|
| 6.000%, 09/01/2017 |
|
|
355 |
|
|
|
396 |
|
| 5.750%, 12/01/2017 |
|
|
70 |
|
|
|
78 |
|
| 5.700%, 01/24/2022 |
|
|
5 |
|
|
|
6 |
|
| 5.650%, 05/01/2018 (C) |
|
|
1,100 |
|
|
|
1,224 |
|
| 5.625%, 07/01/2020 |
|
|
105 |
|
|
|
119 |
|
| 5.420%, 03/15/2017 |
|
|
200 |
|
|
|
217 |
|
| 5.000%, 05/13/2021 |
|
|
410 |
|
|
|
450 |
|
| 5.000%, 01/21/2044 |
|
|
460 |
|
|
|
485 |
|
| 4.875%, 04/01/2044 |
|
|
260 |
|
|
|
270 |
|
| 4.200%, 08/26/2024 |
|
|
485 |
|
|
|
481 |
|
| 4.125%, 01/22/2024 |
|
|
290 |
|
|
|
296 |
|
| 4.100%, 07/24/2023 |
|
|
340 |
|
|
|
347 |
|
| 4.000%, 04/01/2024 |
|
|
505 |
|
|
|
510 |
|
| 3.300%, 01/11/2023 |
|
|
440 |
|
|
|
429 |
|
| 2.600%, 01/15/2019 |
|
|
160 |
|
|
|
160 |
|
| 1.500%, 10/9/2015 |
|
|
1,019 |
|
|
|
1,027 |
|
| Bank of Montreal MTN |
|
|
|
|
|
|
|
|
| 1.400%, 09/11/2017 |
|
|
108 |
|
|
|
108 |
|
| Bank of New York Mellon MTN |
|
|
|
|
|
|
|
|
| 4.600%, 01/15/2020 |
|
|
40 |
|
|
|
44 |
|
| 3.550%, 09/23/2021 |
|
|
34 |
|
|
|
35 |
|
| 3.400%, 05/15/2024 |
|
|
1,075 |
|
|
|
1,083 |
|
| 3.250%, 09/11/2024 |
|
|
100 |
|
|
|
98 |
|
| 2.950%, 06/18/2015 (C) |
|
|
125 |
|
|
|
127 |
|
| 2.400%, 01/17/2017 |
|
|
129 |
|
|
|
132 |
|
| 2.200%, 03/04/2019 |
|
|
360 |
|
|
|
360 |
|
| Bank of Tokyo-Mitsubishi UFJ (B) |
|
|
|
|
|
|
|
|
| 4.100%, 09/09/2023 |
|
|
200 |
|
|
|
212 |
|
| 3.850%, 01/22/2015 |
|
|
100 |
|
|
|
101 |
|
| 2.350%, 09/08/2019 |
|
|
955 |
|
|
|
947 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Barclays Bank |
|
|
|
|
|
|
|
|
| 5.000%, 09/22/2016 |
|
$ |
100 |
|
|
$ |
107 |
|
| 2.750%, 02/23/2015 |
|
|
110 |
|
|
|
111 |
|
| BB&T |
|
|
|
|
|
|
|
|
| 4.900%, 06/30/2017 |
|
|
200 |
|
|
|
217 |
|
| 3.950%, 04/29/2016 |
|
|
160 |
|
|
|
168 |
|
| Bear Stearns |
|
|
|
|
|
|
|
|
| 7.250%, 02/01/2018 |
|
|
1,500 |
|
|
|
1,745 |
|
| Berkshire Hathaway |
|
|
|
|
|
|
|
|
| 3.750%, 08/15/2021 (C) |
|
|
500 |
|
|
|
532 |
|
| 3.400%, 01/31/2022 |
|
|
65 |
|
|
|
67 |
|
| Berkshire Hathaway Finance |
|
|
|
|
|
|
|
|
| 5.400%, 05/15/2018 (C) |
|
|
110 |
|
|
|
123 |
|
| 4.400%, 05/15/2042 |
|
|
41 |
|
|
|
41 |
|
| BlackRock |
|
|
|
|
|
|
|
|
| 6.250%, 09/15/2017 |
|
|
145 |
|
|
|
164 |
|
| Blackstone Holdings Finance |
|
|
|
|
|
|
|
|
| 5.875%, 03/15/2021 (B) |
|
|
295 |
|
|
|
341 |
|
| BNP Paribas MTN |
|
|
|
|
|
|
|
|
| 2.700%, 08/20/2018 |
|
|
380 |
|
|
|
387 |
|
| 2.375%, 09/14/2017 |
|
|
110 |
|
|
|
112 |
|
| BPCE (B) |
|
|
|
|
|
|
|
|
| 5.700%, 10/22/2023 |
|
|
210 |
|
|
|
223 |
|
| 5.150%, 07/21/2024 |
|
|
200 |
|
|
|
205 |
|
| Capital One |
|
|
|
|
|
|
|
|
| 2.400%, 09/05/2019 |
|
|
560 |
|
|
|
553 |
|
| Capital One Financial |
|
|
|
|
|
|
|
|
| 4.750%, 07/15/2021 |
|
|
50 |
|
|
|
54 |
|
| 3.500%, 06/15/2023 |
|
|
159 |
|
|
|
157 |
|
| Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
| 7.150%, 02/15/2019 |
|
|
110 |
|
|
|
132 |
|
| 5.850%, 09/01/2017 |
|
|
140 |
|
|
|
158 |
|
| Charles Schwab |
|
|
|
|
|
|
|
|
| 3.225%, 09/01/2022 |
|
|
20 |
|
|
|
20 |
|
| Citigroup |
|
|
|
|
|
|
|
|
| 8.125%, 07/15/2039 |
|
|
275 |
|
|
|
408 |
|
| 6.875%, 03/05/2038 |
|
|
115 |
|
|
|
152 |
|
| 6.125%, 05/15/2018 |
|
|
45 |
|
|
|
51 |
|
| 6.010%, 01/15/2015 |
|
|
219 |
|
|
|
222 |
|
| 6.000%, 08/15/2017 |
|
|
620 |
|
|
|
694 |
|
| 5.875%, 01/30/2042 |
|
|
250 |
|
|
|
301 |
|
| 5.500%, 10/15/2014 |
|
|
115 |
|
|
|
115 |
|
| 5.500%, 02/15/2017 |
|
|
250 |
|
|
|
271 |
|
| 5.500%, 09/13/2025 |
|
|
269 |
|
|
|
293 |
|
| 5.375%, 08/09/2020 |
|
|
340 |
|
|
|
385 |
|
| 5.300%, 01/07/2016 |
|
|
220 |
|
|
|
232 |
|
| 5.300%, 05/06/2044 |
|
|
50 |
|
|
|
52 |
|
| 4.500%, 01/14/2022 |
|
|
380 |
|
|
|
407 |
|
| 4.450%, 01/10/2017 |
|
|
155 |
|
|
|
165 |
|
| 3.500%, 05/15/2023 |
|
|
150 |
|
|
|
144 |
|
| 2.650%, 03/02/2015 |
|
|
261 |
|
|
|
263 |
|
| 2.500%, 09/26/2018 |
|
|
990 |
|
|
|
996 |
|
| 2.500%, 07/29/2019 |
|
|
545 |
|
|
|
540 |
|
| 1.700%, 07/25/2016 |
|
|
355 |
|
|
|
359 |
|
| 1.550%, 08/14/2017 |
|
|
500 |
|
|
|
496 |
|
| 0.785%, 08/25/2036 (A) |
|
|
1,500 |
|
|
|
1,214 |
|
|
|
|
| 136 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| CNA Financial |
|
|
|
|
|
|
|
|
| 5.875%, 08/15/2020 |
|
$ |
72 |
|
|
$ |
82 |
|
| Comerica |
|
|
|
|
|
|
|
|
| 3.800%, 07/22/2026 |
|
|
82 |
|
|
|
81 |
|
| 3.000%, 09/16/2015 |
|
|
35 |
|
|
|
36 |
|
| CommonWealth‡ |
|
|
|
|
|
|
|
|
| 6.650%, 01/15/2018 |
|
|
60 |
|
|
|
66 |
|
| Commonwealth Bank of Australia NY |
|
|
|
|
|
|
|
|
| 2.250%, 03/16/2017 (B) |
|
|
250 |
|
|
|
256 |
|
| Cooperatieve Centrale Raiffeisen-Boerenleenbank |
|
|
|
|
|
|
|
|
| 5.800%, 09/30/2110 (B) |
|
|
100 |
|
|
|
109 |
|
| 4.625%, 12/01/2023 |
|
|
530 |
|
|
|
549 |
|
| 3.875%, 02/08/2022 |
|
|
30 |
|
|
|
32 |
|
| 3.375%, 01/19/2017 |
|
|
370 |
|
|
|
388 |
|
| Credit Agricole |
|
|
|
|
|
|
|
|
| 8.375%, 12/31/2049 (A) (B) |
|
|
170 |
|
|
|
197 |
|
| Credit Suisse NY |
|
|
|
|
|
|
|
|
| 3.625%, 09/09/2024 |
|
|
585 |
|
|
|
577 |
|
| 0.555%, 08/24/2015 (A) |
|
|
850 |
|
|
|
850 |
|
| 0.474%, 04/10/2015 (A) |
|
|
400 |
|
|
|
401 |
|
| Credit Suisse USA |
|
|
|
|
|
|
|
|
| 5.125%, 08/15/2015 |
|
|
100 |
|
|
|
104 |
|
| DDR‡ |
|
|
|
|
|
|
|
|
| 4.625%, 7/15/2022 |
|
|
370 |
|
|
|
391 |
|
| 3.375%, 05/15/2023 |
|
|
355 |
|
|
|
340 |
|
| Deutsche Bank |
|
|
|
|
|
|
|
|
| 1.350%, 05/30/2017 |
|
|
460 |
|
|
|
457 |
|
| Discover Financial Services |
|
|
|
|
|
|
|
|
| 6.450%, 06/12/2017 |
|
|
250 |
|
|
|
280 |
|
| DnB Boligkreditt |
|
|
|
|
|
|
|
|
| 2.100%, 10/14/2015 (B) |
|
|
400 |
|
|
|
406 |
|
| Duke Realty‡ |
|
|
|
|
|
|
|
|
| 3.875%, 02/15/2021 |
|
|
50 |
|
|
|
52 |
|
| ERP Operating‡ |
|
|
|
|
|
|
|
|
| 5.750%, 06/15/2017 |
|
|
125 |
|
|
|
139 |
|
| 4.625%, 12/15/2021 |
|
|
64 |
|
|
|
70 |
|
| Farmers Exchange Capital |
|
|
|
|
|
|
|
|
| 7.200%, 07/15/2048 (B) |
|
|
1,021 |
|
|
|
1,322 |
|
| Federal Realty Investment Trust‡ |
|
|
|
|
|
|
|
|
| 3.950%, 01/15/2024 |
|
|
165 |
|
|
|
170 |
|
| 3.000%, 08/01/2022 |
|
|
125 |
|
|
|
123 |
|
| Fifth Third Bancorp |
|
|
|
|
|
|
|
|
| 2.300%, 03/01/2019 |
|
|
30 |
|
|
|
30 |
|
| Fifth Third Bank |
|
|
|
|
|
|
|
|
| 2.875%, 10/01/2021 |
|
|
200 |
|
|
|
197 |
|
| FMS Wertmanagement AoeR |
|
|
|
|
|
|
|
|
| 1.000%, 11/21/2017 |
|
|
200 |
|
|
|
198 |
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
| 5.875%, 08/02/2021 |
|
|
550 |
|
|
|
632 |
|
| 3.984%, 06/15/2016 |
|
|
200 |
|
|
|
209 |
|
| 2.750%, 05/15/2015 |
|
|
800 |
|
|
|
810 |
|
| General Electric Capital MTN |
|
|
|
|
|
|
|
|
| 6.875%, 01/10/2039 |
|
|
520 |
|
|
|
700 |
|
| 6.375%, 11/15/2067 (A) |
|
|
40 |
|
|
|
43 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.150%, 08/07/2037 (C) |
|
$ |
885 |
|
|
$ |
1,093 |
|
| 6.000%, 08/07/2019 |
|
|
645 |
|
|
|
752 |
|
| 5.875%, 01/14/2038 |
|
|
335 |
|
|
|
404 |
|
| 5.625%, 09/15/2017 |
|
|
100 |
|
|
|
112 |
|
| 5.500%, 01/08/2020 |
|
|
180 |
|
|
|
206 |
|
| 5.400%, 02/15/2017 |
|
|
200 |
|
|
|
219 |
|
| 5.300%, 02/11/2021 |
|
|
470 |
|
|
|
530 |
|
| 4.650%, 10/17/2021 |
|
|
140 |
|
|
|
154 |
|
| 4.625%, 01/07/2021 |
|
|
540 |
|
|
|
595 |
|
| 4.375%, 09/16/2020 |
|
|
10 |
|
|
|
11 |
|
| 2.300%, 04/27/2017 |
|
|
45 |
|
|
|
46 |
|
| 2.100%, 12/11/2019 |
|
|
30 |
|
|
|
30 |
|
| 1.625%, 07/02/2015 |
|
|
180 |
|
|
|
182 |
|
| 0.714%, 08/15/2036 (A) |
|
|
850 |
|
|
|
740 |
|
| 0.618%, 05/05/2026 (A) |
|
|
155 |
|
|
|
148 |
|
| Goldman Sachs Group |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/2019 |
|
|
710 |
|
|
|
847 |
|
| 6.750%, 10/01/2037 |
|
|
187 |
|
|
|
223 |
|
| 6.250%, 09/01/2017 |
|
|
350 |
|
|
|
393 |
|
| 6.250%, 02/01/2041 |
|
|
425 |
|
|
|
515 |
|
| 6.150%, 04/01/2018 |
|
|
780 |
|
|
|
879 |
|
| 6.000%, 06/15/2020 |
|
|
880 |
|
|
|
1,011 |
|
| 5.750%, 01/24/2022 |
|
|
200 |
|
|
|
227 |
|
| 5.375%, 03/15/2020 |
|
|
950 |
|
|
|
1,058 |
|
| 4.000%, 03/03/2024 |
|
|
200 |
|
|
|
202 |
|
| 3.850%, 07/08/2024 |
|
|
501 |
|
|
|
498 |
|
| 3.300%, 05/03/2015 |
|
|
55 |
|
|
|
56 |
|
| 2.900%, 07/19/2018 |
|
|
220 |
|
|
|
225 |
|
| 2.375%, 01/22/2018 |
|
|
520 |
|
|
|
525 |
|
| GTP Acquisition Partners I |
|
|
|
|
|
|
|
|
| 4.347%, 06/15/2016 (B) |
|
|
144 |
|
|
|
147 |
|
| HCP MTN‡ |
|
|
|
|
|
|
|
|
| 6.300%, 09/15/2016 |
|
|
375 |
|
|
|
413 |
|
| 2.625%, 2/1/2020 |
|
|
953 |
|
|
|
939 |
|
| Health Care‡ |
|
|
|
|
|
|
|
|
| 6.125%, 04/15/2020 |
|
|
1,475 |
|
|
|
1,706 |
|
| 4.500%, 01/15/2024 |
|
|
102 |
|
|
|
105 |
|
| Healthcare Realty Trust‡ |
|
|
|
|
|
|
|
|
| 6.500%, 01/17/2017 |
|
|
1,400 |
|
|
|
1,548 |
|
| Healthcare Trust of America Holdings‡ |
|
|
|
|
|
|
|
|
| 3.375%, 07/15/2021 |
|
|
200 |
|
|
|
199 |
|
| HSBC Bank PLC |
|
|
|
|
|
|
|
|
| 4.125%, 08/12/2020 (B) |
|
|
100 |
|
|
|
108 |
|
| HSBC Finance |
|
|
|
|
|
|
|
|
| 6.676%, 01/15/2021 |
|
|
850 |
|
|
|
996 |
|
| 5.500%, 01/19/2016 |
|
|
140 |
|
|
|
148 |
|
| HSBC Holdings PLC |
|
|
|
|
|
|
|
|
| 5.250%, 03/14/2044 |
|
|
310 |
|
|
|
329 |
|
| 4.875%, 01/14/2022 |
|
|
100 |
|
|
|
111 |
|
| 4.250%, 03/14/2024 |
|
|
225 |
|
|
|
228 |
|
| 4.000%, 03/30/2022 |
|
|
206 |
|
|
|
217 |
|
| HSBC USA |
|
|
|
|
|
|
|
|
| 2.375%, 02/13/2015 |
|
|
435 |
|
|
|
438 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
137 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
| 2.125%, 10/02/2017 (B) |
|
$ |
60 |
|
|
$ |
61 |
|
| ING Bank (B) |
|
|
|
|
|
|
|
|
| 5.800%, 09/25/2023 |
|
|
670 |
|
|
|
738 |
|
| 3.750%, 03/07/2017 |
|
|
200 |
|
|
|
210 |
|
| 2.500%, 10/01/2019 |
|
|
820 |
|
|
|
815 |
|
| Inter-American Development Bank |
|
|
|
|
|
|
|
|
| 4.375%, 01/24/2044 |
|
|
100 |
|
|
|
113 |
|
| 3.875%, 10/28/2041 |
|
|
271 |
|
|
|
277 |
|
| Intercontinental Exchange |
|
|
|
|
|
|
|
|
| 4.000%, 10/15/2023 |
|
|
65 |
|
|
|
68 |
|
| 2.500%, 10/15/2018 |
|
|
85 |
|
|
|
86 |
|
| International Lease Finance (B) |
|
|
|
|
|
|
|
|
| 7.125%, 09/01/2018 (C) |
|
|
500 |
|
|
|
563 |
|
| 6.750%, 09/01/2016 |
|
|
640 |
|
|
|
690 |
|
| Intesa Sanpaolo |
|
|
|
|
|
|
|
|
| 5.017%, 06/26/2024 (B) |
|
|
510 |
|
|
|
497 |
|
| 3.125%, 01/15/2016 |
|
|
250 |
|
|
|
256 |
|
| 2.375%, 01/13/2017 (C) |
|
|
368 |
|
|
|
372 |
|
| Invesco Finance |
|
|
|
|
|
|
|
|
| 4.000%, 01/30/2024 |
|
|
43 |
|
|
|
45 |
|
| Jackson National Life Global Funding |
|
|
|
|
|
|
|
|
| 4.700%, 06/01/2018 (B) |
|
|
100 |
|
|
|
109 |
|
| Jefferies Group |
|
|
|
|
|
|
|
|
| 6.450%, 06/08/2027 |
|
|
160 |
|
|
|
179 |
|
| 6.250%, 01/15/2036 |
|
|
120 |
|
|
|
126 |
|
| John Deere Capital MTN |
|
|
|
|
|
|
|
|
| 5.750%, 09/10/2018 |
|
|
100 |
|
|
|
114 |
|
| JPMorgan Chase |
|
|
|
|
|
|
|
|
| 5.400%, 01/06/2042 |
|
|
25 |
|
|
|
28 |
|
| 4.850%, 02/01/2044 (C) |
|
|
190 |
|
|
|
199 |
|
| 4.500%, 01/24/2022 |
|
|
660 |
|
|
|
707 |
|
| 3.625%, 05/13/2024 |
|
|
535 |
|
|
|
531 |
|
| 3.450%, 03/01/2016 |
|
|
385 |
|
|
|
399 |
|
| 3.375%, 05/01/2023 |
|
|
150 |
|
|
|
144 |
|
| 3.250%, 09/23/2022 |
|
|
240 |
|
|
|
236 |
|
| 3.200%, 01/25/2023 |
|
|
100 |
|
|
|
98 |
|
| 3.150%, 07/05/2016 |
|
|
180 |
|
|
|
186 |
|
| JPMorgan Chase Bank |
|
|
|
|
|
|
|
|
| 6.000%, 10/01/2017 |
|
|
1,927 |
|
|
|
2,154 |
|
| JPMorgan Chase Capital XIII |
|
|
|
|
|
|
|
|
| 1.183%, 09/30/2034 (A) |
|
|
500 |
|
|
|
430 |
|
| Landwirtschaftliche Rentenbank |
|
|
|
|
|
|
|
|
| 1.375%, 10/23/2019 |
|
|
120 |
|
|
|
117 |
|
| Lazard Group LLC |
|
|
|
|
|
|
|
|
| 6.850%, 06/15/2017 |
|
|
574 |
|
|
|
647 |
|
| 4.250%, 11/14/2020 |
|
|
295 |
|
|
|
308 |
|
| Liberty Mutual Group |
|
|
|
|
|
|
|
|
| 4.850%, 08/01/2044 (B) |
|
|
275 |
|
|
|
274 |
|
| Liberty Mutual Insurance |
|
|
|
|
|
|
|
|
| 8.500%, 05/15/2025 (B) |
|
|
100 |
|
|
|
125 |
|
| Lincoln National |
|
|
|
|
|
|
|
|
| 4.850%, 06/24/2021 |
|
|
10 |
|
|
|
11 |
|
| Lloyds TSB Bank MTN |
|
|
|
|
|
|
|
|
| 5.800%, 01/13/2020 (B) |
|
|
310 |
|
|
|
357 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Macquarie Bank |
|
|
|
|
|
|
|
|
| 5.000%, 02/22/2017 (B) |
|
$ |
170 |
|
|
$ |
183 |
|
| Macquarie Group (B) |
|
|
|
|
|
|
|
|
| 6.250%, 01/14/2021 (C) |
|
|
166 |
|
|
|
188 |
|
| 6.000%, 01/14/2020 |
|
|
50 |
|
|
|
56 |
|
| Markel |
|
|
|
|
|
|
|
|
| 4.900%, 07/01/2022 |
|
|
175 |
|
|
|
191 |
|
| 3.625%, 03/30/2023 |
|
|
130 |
|
|
|
129 |
|
| Marsh & McLennan |
|
|
|
|
|
|
|
|
| 3.500%, 03/10/2025 |
|
|
52 |
|
|
|
51 |
|
| Massachusetts Mutual Life Insurance (B) |
|
|
|
|
|
|
|
|
| 8.875%, 06/01/2039 |
|
|
295 |
|
|
|
456 |
|
| 5.375%, 12/01/2041 (C) |
|
|
49 |
|
|
|
54 |
|
| MetLife |
|
|
|
|
|
|
|
|
| 6.750%, 06/01/2016 |
|
|
390 |
|
|
|
428 |
|
| 6.400%, 12/15/2036 |
|
|
945 |
|
|
|
1,054 |
|
| 5.700%, 06/15/2035 |
|
|
15 |
|
|
|
18 |
|
| 2.463%, 12/15/2017 |
|
|
295 |
|
|
|
296 |
|
| 2.463%, 12/15/2044 |
|
|
70 |
|
|
|
71 |
|
| Metropolitan Life Global Funding I (B) |
|
|
|
|
|
|
|
|
| 1.700%, 06/29/2015 |
|
|
213 |
|
|
|
215 |
|
| 1.500%, 01/10/2018 |
|
|
100 |
|
|
|
99 |
|
| Mid-America Apartments‡ |
|
|
|
|
|
|
|
|
| 4.300%, 10/15/2023 |
|
|
235 |
|
|
|
243 |
|
| 3.750%, 06/15/2024 |
|
|
320 |
|
|
|
315 |
|
| Mizuho Bank |
|
|
|
|
|
|
|
|
| 2.650%, 09/25/2019 (B) |
|
|
570 |
|
|
|
570 |
|
| Morgan Stanley MTN |
|
|
|
|
|
|
|
|
| 7.300%, 05/13/2019 |
|
|
320 |
|
|
|
382 |
|
| 6.625%, 04/01/2018 (C) |
|
|
2,050 |
|
|
|
2,348 |
|
| 5.950%, 12/28/2017 |
|
|
200 |
|
|
|
224 |
|
| 5.750%, 01/25/2021 |
|
|
100 |
|
|
|
114 |
|
| 5.625%, 09/23/2019 |
|
|
350 |
|
|
|
394 |
|
| 5.550%, 04/27/2017 |
|
|
100 |
|
|
|
109 |
|
| 5.450%, 01/09/2017 |
|
|
470 |
|
|
|
511 |
|
| 5.375%, 10/15/2015 |
|
|
290 |
|
|
|
304 |
|
| 4.350%, 09/08/2026 |
|
|
365 |
|
|
|
359 |
|
| 4.200%, 11/20/2014 |
|
|
156 |
|
|
|
156 |
|
| 3.875%, 04/29/2024 |
|
|
335 |
|
|
|
335 |
|
| 2.375%, 07/23/2019 |
|
|
605 |
|
|
|
595 |
|
| Murray Street Investment Trust |
|
|
|
|
|
|
|
|
| 4.647%, 03/09/2017 (D) |
|
|
552 |
|
|
|
591 |
|
| National Australia Bank (B) |
|
|
|
|
|
|
|
|
| 3.750%, 03/02/2015 |
|
|
120 |
|
|
|
122 |
|
| 3.000%, 07/27/2016 |
|
|
180 |
|
|
|
187 |
|
| National City |
|
|
|
|
|
|
|
|
| 6.875%, 05/15/2019 |
|
|
50 |
|
|
|
59 |
|
| 0.603%, 06/07/2017 (A) |
|
|
600 |
|
|
|
598 |
|
| National Rural Utilities Cooperative Finance |
|
|
|
|
|
|
|
|
| 10.375%, 11/01/2018 |
|
|
60 |
|
|
|
79 |
|
| Nationwide Mutual Insurance (B) |
|
|
|
|
|
|
|
|
| 9.375%, 08/15/2039 |
|
|
165 |
|
|
|
254 |
|
| 5.810%, 12/15/2024 (A) |
|
|
760 |
|
|
|
765 |
|
| Navient MTN |
|
|
|
|
|
|
|
|
| 3.875%, 09/10/2015 |
|
|
390 |
|
|
|
395 |
|
|
|
|
| 138 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| New York Life Global Funding (B) |
|
|
|
|
|
|
|
|
| 3.000%, 05/04/2015 |
|
$ |
150 |
|
|
$ |
152 |
|
| 2.150%, 06/18/2019 |
|
|
73 |
|
|
|
73 |
|
| New York Life Insurance (B) |
|
|
|
|
|
|
|
|
| 6.750%, 11/15/2039 |
|
|
255 |
|
|
|
336 |
|
| 2.100%, 01/02/2019 |
|
|
330 |
|
|
|
330 |
|
| Nomura Holdings |
|
|
|
|
|
|
|
|
| 6.700%, 03/04/2020 |
|
|
54 |
|
|
|
64 |
|
| 5.000%, 03/04/2015 |
|
|
40 |
|
|
|
41 |
|
| 4.125%, 01/19/2016 |
|
|
60 |
|
|
|
62 |
|
| Norddeutsche Landesbank Girozentrale |
|
|
|
|
|
|
|
|
| 2.000%, 02/05/2019 (B) |
|
|
800 |
|
|
|
797 |
|
| Nordea Bank (B) |
|
|
|
|
|
|
|
|
| 4.875%, 05/13/2021 |
|
|
250 |
|
|
|
268 |
|
| 1.625%, 05/15/2018 |
|
|
220 |
|
|
|
218 |
|
| Northwestern Mutual Life Insurance |
|
|
|
|
|
|
|
|
| 6.063%, 03/30/2040 (B) |
|
|
430 |
|
|
|
533 |
|
| Oversea-Chinese Banking |
|
|
|
|
|
|
|
|
| 1.625%, 03/13/2015 (B) |
|
|
200 |
|
|
|
201 |
|
| PACCAR Financial MTN |
|
|
|
|
|
|
|
|
| 1.600%, 03/15/2017 |
|
|
53 |
|
|
|
54 |
|
| Pacific Life Global Funding MTN |
|
|
|
|
|
|
|
|
| 5.000%, 05/15/2017 (B) |
|
|
50 |
|
|
|
54 |
|
| Pacific Life Insurance |
|
|
|
|
|
|
|
|
| 9.250%, 06/15/2039 (B) |
|
|
80 |
|
|
|
124 |
|
| Pipeline Funding |
|
|
|
|
|
|
|
|
| 7.500%, 01/15/2030 (B) |
|
|
450 |
|
|
|
566 |
|
| PNC Bank |
|
|
|
|
|
|
|
|
| 2.400%, 10/18/2019 |
|
|
400 |
|
|
|
398 |
|
| 2.250%, 07/02/2019 |
|
|
325 |
|
|
|
323 |
|
| PNC Funding |
|
|
|
|
|
|
|
|
| 5.125%, 02/08/2020 |
|
|
90 |
|
|
|
101 |
|
| 3.300%, 03/08/2022 |
|
|
76 |
|
|
|
76 |
|
| 2.700%, 09/19/2016 |
|
|
20 |
|
|
|
21 |
|
| Post Apartment Homes |
|
|
|
|
|
|
|
|
| 4.750%, 10/15/2017 |
|
|
700 |
|
|
|
760 |
|
| Pricoa Global Funding I MTN |
|
|
|
|
|
|
|
|
| 1.600%, 05/29/2018 (B) |
|
|
150 |
|
|
|
148 |
|
| Prologis‡ |
|
|
|
|
|
|
|
|
| 6.875%, 03/15/2020 |
|
|
29 |
|
|
|
34 |
|
| Prudential Financial MTN |
|
|
|
|
|
|
|
|
| 5.625%, 05/12/2041 |
|
|
10 |
|
|
|
11 |
|
| Prudential Holdings LLC |
|
|
|
|
|
|
|
|
| 8.695%, 12/18/2023 (B) |
|
|
574 |
|
|
|
726 |
|
| Prudential Insurance of America |
|
|
|
|
|
|
|
|
| 8.300%, 07/01/2025 (B) |
|
|
150 |
|
|
|
204 |
|
| Rabobank Nederland |
|
|
|
|
|
|
|
|
| 3.200%, 03/11/2015 (B) |
|
|
200 |
|
|
|
202 |
|
| Royal Bank of Canada |
|
|
|
|
|
|
|
|
| 2.300%, 07/20/2016 |
|
|
120 |
|
|
|
123 |
|
| 2.000%, 10/01/2018 |
|
|
183 |
|
|
|
184 |
|
| 1.200%, 09/19/2017 |
|
|
140 |
|
|
|
139 |
|
| Royal Bank of Scotland |
|
|
|
|
|
|
|
|
| 4.650%, 06/04/2018 |
|
|
350 |
|
|
|
361 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
| 2.550%, 09/18/2015 |
|
$ |
330 |
|
|
$ |
335 |
|
| Santander Holdings USA |
|
|
|
|
|
|
|
|
| 3.450%, 08/27/2018 |
|
|
230 |
|
|
|
240 |
|
| Santander US Debt Unipersonal |
|
|
|
|
|
|
|
|
| 3.724%, 01/20/2015 (B) |
|
|
100 |
|
|
|
101 |
|
| Simon Property Group‡ |
|
|
|
|
|
|
|
|
| 10.350%, 04/01/2019 |
|
|
130 |
|
|
|
173 |
|
| 5.650%, 02/01/2020 |
|
|
38 |
|
|
|
44 |
|
| 4.125%, 12/01/2021 |
|
|
27 |
|
|
|
29 |
|
| 2.150%, 09/15/2017 |
|
|
125 |
|
|
|
128 |
|
| Standard Chartered |
|
|
|
|
|
|
|
|
| 5.700%, 03/26/2044 (B) |
|
|
560 |
|
|
|
592 |
|
| State Street |
|
|
|
|
|
|
|
|
| 4.956%, 03/15/2018 |
|
|
300 |
|
|
|
326 |
|
| 3.700%, 11/20/2023 |
|
|
138 |
|
|
|
143 |
|
| 3.100%, 05/15/2023 |
|
|
72 |
|
|
|
70 |
|
| Sumitomo Mitsui Banking MTN |
|
|
|
|
|
|
|
|
| 1.350%, 07/11/2017 |
|
|
460 |
|
|
|
457 |
|
| Sumitomo Mitsui Financial Group |
|
|
|
|
|
|
|
|
| 4.436%, 04/02/2024 (B) |
|
|
380 |
|
|
|
389 |
|
| Synchrony Financial |
|
|
|
|
|
|
|
|
| 4.250%, 08/15/2024 |
|
|
280 |
|
|
|
280 |
|
| Tanger Properties‡ |
|
|
|
|
|
|
|
|
| 3.875%, 12/01/2023 |
|
|
160 |
|
|
|
162 |
|
| Teachers Insurance & Annuity Association of America (B) |
|
|
|
|
|
|
|
|
| 6.850%, 12/16/2039 |
|
|
150 |
|
|
|
193 |
|
| 4.900%, 09/15/2044 |
|
|
275 |
|
|
|
280 |
|
| Toronto-Dominion Bank MTN |
|
|
|
|
|
|
|
|
| 2.500%, 07/14/2016 |
|
|
72 |
|
|
|
74 |
|
| 2.250%, 09/25/2019 (B) |
|
|
805 |
|
|
|
803 |
|
| Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
| 3.400%, 09/15/2021 |
|
|
510 |
|
|
|
528 |
|
| 1.250%, 10/5/2017 |
|
|
250 |
|
|
|
248 |
|
| Travelers Property Casualty |
|
|
|
|
|
|
|
|
| 7.750%, 04/15/2026 |
|
|
100 |
|
|
|
135 |
|
| UBS MTN |
|
|
|
|
|
|
|
|
| 5.875%, 12/20/2017 |
|
|
120 |
|
|
|
135 |
|
| 5.750%, 04/25/2018 |
|
|
100 |
|
|
|
113 |
|
| US Bancorp MTN |
|
|
|
|
|
|
|
|
| 3.000%, 03/15/2022 |
|
|
33 |
|
|
|
33 |
|
| 2.950%, 07/15/2022 |
|
|
25 |
|
|
|
24 |
|
| 2.450%, 07/27/2015 |
|
|
75 |
|
|
|
76 |
|
| 2.200%, 04/25/2019 |
|
|
100 |
|
|
|
100 |
|
| Wachovia Capital Trust III |
|
|
|
|
|
|
|
|
| 5.570%, 12/31/2049 (A) |
|
|
500 |
|
|
|
484 |
|
| WEA Finance (B) |
|
|
|
|
|
|
|
|
| 3.750%, 09/17/2024 |
|
|
210 |
|
|
|
209 |
|
| 2.700%, 09/17/2019 |
|
|
270 |
|
|
|
271 |
|
| Wells Fargo MTN |
|
|
|
|
|
|
|
|
| 5.375%, 11/02/2043 |
|
|
125 |
|
|
|
137 |
|
| 4.125%, 08/15/2023 |
|
|
900 |
|
|
|
931 |
|
| 3.500%, 03/08/2022 |
|
|
430 |
|
|
|
440 |
|
| 3.450%, 02/13/2023 |
|
|
230 |
|
|
|
226 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
139 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.300%, 09/09/2024 |
|
$ |
200 |
|
|
$ |
196 |
|
| 3.000%, 01/22/2021 |
|
|
575 |
|
|
|
581 |
|
| 2.150%, 01/15/2019 |
|
|
46 |
|
|
|
46 |
|
| Wells Fargo Bank MTN |
|
|
|
|
|
|
|
|
| 6.000%, 11/15/2017 |
|
|
590 |
|
|
|
666 |
|
| 0.564%, 03/15/2016 (A) |
|
|
400 |
|
|
|
401 |
|
| Westpac Banking |
|
|
|
|
|
|
|
|
| 4.875%, 11/19/2019 |
|
|
170 |
|
|
|
190 |
|
| 2.450%, 11/28/2016 (B) |
|
|
200 |
|
|
|
206 |
|
| WR Berkley |
|
|
|
|
|
|
|
|
| 4.750%, 08/01/2044 |
|
|
170 |
|
|
|
168 |
|
| 4.625%, 03/15/2022 |
|
|
163 |
|
|
|
174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 1.1% |
|
|
|
|
|
|
|
|
| AbbVie |
|
|
|
|
|
|
|
|
| 4.400%, 11/06/2042 |
|
|
415 |
|
|
|
390 |
|
| 2.900%, 11/06/2022 |
|
|
260 |
|
|
|
249 |
|
| 1.750%, 11/06/2017 |
|
|
290 |
|
|
|
289 |
|
| Actavis |
|
|
|
|
|
|
|
|
| 3.250%, 10/01/2022 |
|
|
13 |
|
|
|
13 |
|
| Actavis Funding SCS (B) |
|
|
|
|
|
|
|
|
| 4.850%, 06/15/2044 |
|
|
100 |
|
|
|
94 |
|
| 3.850%, 06/15/2024 |
|
|
435 |
|
|
|
422 |
|
| Aetna |
|
|
|
|
|
|
|
|
| 2.200%, 03/15/2019 |
|
|
180 |
|
|
|
178 |
|
| Amgen |
|
|
|
|
|
|
|
|
| 5.750%, 03/15/2040 |
|
|
62 |
|
|
|
71 |
|
| 5.650%, 06/15/2042 |
|
|
227 |
|
|
|
258 |
|
| 5.375%, 05/15/2043 |
|
|
150 |
|
|
|
163 |
|
| 5.150%, 11/15/2041 |
|
|
905 |
|
|
|
955 |
|
| 4.500%, 03/15/2020 |
|
|
22 |
|
|
|
24 |
|
| 3.875%, 11/15/2021 |
|
|
100 |
|
|
|
105 |
|
| 3.625%, 05/22/2024 |
|
|
325 |
|
|
|
322 |
|
| 3.450%, 10/01/2020 |
|
|
50 |
|
|
|
52 |
|
| 1.250%, 05/22/2017 |
|
|
600 |
|
|
|
597 |
|
| Celgene |
|
|
|
|
|
|
|
|
| 5.250%, 08/15/2043 |
|
|
135 |
|
|
|
147 |
|
| 4.625%, 05/15/2044 (C) |
|
|
155 |
|
|
|
152 |
|
| 3.625%, 05/15/2024 |
|
|
22 |
|
|
|
22 |
|
| 2.250%, 05/15/2019 |
|
|
300 |
|
|
|
299 |
|
| 1.900%, 08/15/2017 |
|
|
63 |
|
|
|
63 |
|
| Express Scripts Holding |
|
|
|
|
|
|
|
|
| 2.650%, 02/15/2017 |
|
|
405 |
|
|
|
416 |
|
| 2.100%, 02/12/2015 |
|
|
70 |
|
|
|
70 |
|
| Gilead Sciences |
|
|
|
|
|
|
|
|
| 5.650%, 12/01/2041 |
|
|
35 |
|
|
|
41 |
|
| 3.700%, 04/01/2024 |
|
|
665 |
|
|
|
679 |
|
| GlaxoSmithKline Capital PLC |
|
|
|
|
|
|
|
|
| 2.850%, 05/08/2022 |
|
|
170 |
|
|
|
167 |
|
| 1.500%, 05/08/2017 |
|
|
160 |
|
|
|
161 |
|
| Humana |
|
|
|
|
|
|
|
|
| 7.200%, 06/15/2018 |
|
|
159 |
|
|
|
187 |
|
| 4.625%, 12/01/2042 |
|
|
40 |
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.850%, 10/01/2024 |
|
$ |
495 |
|
|
$ |
495 |
|
| 3.150%, 12/1/2022 |
|
|
390 |
|
|
|
381 |
|
| McKesson |
|
|
|
|
|
|
|
|
| 3.796%, 03/15/2024 |
|
|
180 |
|
|
|
181 |
|
| Medco Health Solutions |
|
|
|
|
|
|
|
|
| 2.750%, 09/15/2015 |
|
|
35 |
|
|
|
36 |
|
| Medtronic |
|
|
|
|
|
|
|
|
| 3.625%, 03/15/2024 |
|
|
545 |
|
|
|
556 |
|
| Merck |
|
|
|
|
|
|
|
|
| 2.400%, 09/15/2022 |
|
|
29 |
|
|
|
28 |
|
| Mylan |
|
|
|
|
|
|
|
|
| 5.400%, 11/29/2043 |
|
|
95 |
|
|
|
101 |
|
| 2.550%, 03/28/2019 |
|
|
390 |
|
|
|
388 |
|
| Novartis Capital |
|
|
|
|
|
|
|
|
| 3.400%, 05/06/2024 |
|
|
66 |
|
|
|
67 |
|
| Pfizer |
|
|
|
|
|
|
|
|
| 6.200%, 03/15/2019 |
|
|
120 |
|
|
|
140 |
|
| Roche Holdings |
|
|
|
|
|
|
|
|
| 6.000%, 03/01/2019 (B) |
|
|
87 |
|
|
|
101 |
|
| Teva Pharmaceutical Finance |
|
|
|
|
|
|
|
|
| 3.650%, 11/10/2021 |
|
|
380 |
|
|
|
386 |
|
| Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
| 5.300%, 02/01/2044 |
|
|
70 |
|
|
|
77 |
|
| 4.150%, 02/01/2024 |
|
|
98 |
|
|
|
101 |
|
| 3.600%, 08/15/2021 |
|
|
145 |
|
|
|
149 |
|
| 1.300%, 02/01/2017 |
|
|
410 |
|
|
|
409 |
|
| UnitedHealth Group |
|
|
|
|
|
|
|
|
| 3.875%, 10/15/2020 |
|
|
180 |
|
|
|
193 |
|
| 3.375%, 11/15/2021 |
|
|
75 |
|
|
|
77 |
|
| 2.875%, 03/15/2023 |
|
|
50 |
|
|
|
49 |
|
| WellPoint |
|
|
|
|
|
|
|
|
| 5.100%, 01/15/2044 |
|
|
110 |
|
|
|
117 |
|
| 4.625%, 05/15/2042 |
|
|
41 |
|
|
|
40 |
|
| 3.500%, 08/15/2024 |
|
|
290 |
|
|
|
283 |
|
| 3.125%, 05/15/2022 |
|
|
841 |
|
|
|
831 |
|
| 2.300%, 07/15/2018 |
|
|
65 |
|
|
|
65 |
|
| 1.250%, 09/10/2015 |
|
|
50 |
|
|
|
50 |
|
| Wyeth LLC |
|
|
|
|
|
|
|
|
| 5.950%, 04/01/2037 |
|
|
170 |
|
|
|
208 |
|
| Zoetis |
|
|
|
|
|
|
|
|
| 4.700%, 02/01/2043 |
|
|
11 |
|
|
|
11 |
|
| 3.250%, 02/01/2023 |
|
|
190 |
|
|
|
186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 1.4% |
|
|
|
|
|
|
|
|
| ABB Finance USA |
|
|
|
|
|
|
|
|
| 4.375%, 05/08/2042 |
|
|
42 |
|
|
|
43 |
|
| 2.875%, 05/08/2022 |
|
|
23 |
|
|
|
23 |
|
| 1.625%, 05/08/2017 |
|
|
20 |
|
|
|
20 |
|
| ADT |
|
|
|
|
|
|
|
|
| 4.875%, 07/15/2042 |
|
|
22 |
|
|
|
18 |
|
| 3.500%, 07/15/2022 |
|
|
21 |
|
|
|
18 |
|
| Air Canada Pass-Through Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 4.125%, 05/15/2025 (B) |
|
|
27 |
|
|
|
28 |
|
|
|
|
| 140 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| American Airlines Pass-Through
Trust, Ser 2011-1, Cl A |
|
|
|
|
|
|
|
|
| 5.250%, 01/31/2021 |
|
$ |
15 |
|
|
$ |
16 |
|
| American Airlines Pass-Through
Trust, Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 4.950%, 01/15/2023 (B) |
|
|
944 |
|
|
|
1,009 |
|
| BAE Systems (B) |
|
|
|
|
|
|
|
|
| 5.800%, 10/11/2041 |
|
|
20 |
|
|
|
24 |
|
| 4.750%, 10/11/2021 |
|
|
750 |
|
|
|
828 |
|
| BAE Systems Holdings (B) |
|
|
|
|
|
|
|
|
| 6.375%, 06/01/2019 |
|
|
100 |
|
|
|
116 |
|
| 5.200%, 08/15/2015 |
|
|
90 |
|
|
|
94 |
|
| Boeing |
|
|
|
|
|
|
|
|
| 4.875%, 02/15/2020 |
|
|
210 |
|
|
|
237 |
|
| Burlington Northern Santa Fe |
|
|
|
|
|
|
|
|
| 7.290%, 06/01/2036 |
|
|
90 |
|
|
|
123 |
|
| 5.750%, 03/15/2018 |
|
|
950 |
|
|
|
1,074 |
|
| 5.400%, 06/01/2041 |
|
|
50 |
|
|
|
56 |
|
| 4.550%, 09/01/2044 |
|
|
150 |
|
|
|
150 |
|
| 3.850%, 09/01/2023 |
|
|
530 |
|
|
|
547 |
|
| 3.450%, 09/15/2021 |
|
|
91 |
|
|
|
94 |
|
| Canadian National Railway |
|
|
|
|
|
|
|
|
| 5.850%, 11/15/2017 |
|
|
50 |
|
|
|
57 |
|
| Cargill |
|
|
|
|
|
|
|
|
| 7.350%, 03/06/2019 (B) |
|
|
250 |
|
|
|
301 |
|
| Caterpillar |
|
|
|
|
|
|
|
|
| 0.950%, 06/26/2015 |
|
|
300 |
|
|
|
301 |
|
| Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
| 2.750%, 08/20/2021 |
|
|
405 |
|
|
|
402 |
|
| Catholic Health Initiatives |
|
|
|
|
|
|
|
|
| 4.350%, 11/01/2042 |
|
|
30 |
|
|
|
29 |
|
| Continental Airlines Pass-Through
Trust, Ser 1999-2, Cl A-1 |
|
|
|
|
|
|
|
|
| 7.256%, 03/15/2020 |
|
|
207 |
|
|
|
234 |
|
| Continental Airlines Pass-Through
Trust, Ser 2000-1, Cl A-1 |
|
|
|
|
|
|
|
|
| 8.048%, 11/01/2020 |
|
|
321 |
|
|
|
370 |
|
| Continental Airlines Pass-Through
Trust, Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 5.983%, 04/19/2022 |
|
|
691 |
|
|
|
767 |
|
| Continental Airlines Pass-Through
Trust, Ser 2009-2, Cl A |
|
|
|
|
|
|
|
|
| 7.250%, 11/10/2019 |
|
|
160 |
|
|
|
188 |
|
| CSX |
|
|
|
|
|
|
|
|
| 6.250%, 03/15/2018 |
|
|
155 |
|
|
|
178 |
|
| Danaher |
|
|
|
|
|
|
|
|
| 3.900%, 06/23/2021 |
|
|
22 |
|
|
|
24 |
|
| Deere |
|
|
|
|
|
|
|
|
| 3.900%, 06/09/2042 |
|
|
153 |
|
|
|
145 |
|
| 2.600%, 06/08/2022 |
|
|
15 |
|
|
|
15 |
|
| Delta Air Lines Pass-Through Trust,
Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 6.821%, 08/10/2022 |
|
|
126 |
|
|
|
147 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Delta Air Lines Pass-Through Trust,
Ser 2010-1, Cl A |
|
|
|
|
|
|
|
|
| 6.200%, 07/02/2018 |
|
$ |
399 |
|
|
$ |
442 |
|
| Delta Air Lines Pass-Through Trust,
Ser 2010-2, Cl A |
|
|
|
|
|
|
|
|
| 4.950%, 05/23/2019 |
|
|
36 |
|
|
|
39 |
|
| Delta Air Lines Pass-Through Trust,
Ser 2012-1, Cl A |
|
|
|
|
|
|
|
|
| 4.750%, 05/07/2020 |
|
|
19 |
|
|
|
20 |
|
| Eaton |
|
|
|
|
|
|
|
|
| 7.625%, 04/01/2024 |
|
|
75 |
|
|
|
96 |
|
| 4.150%, 11/02/2042 |
|
|
110 |
|
|
|
105 |
|
| 2.750%, 11/02/2022 |
|
|
450 |
|
|
|
434 |
|
| 1.500%, 11/02/2017 |
|
|
60 |
|
|
|
60 |
|
| Fluor |
|
|
|
|
|
|
|
|
| 3.375%, 09/15/2021 |
|
|
68 |
|
|
|
70 |
|
| General Electric |
|
|
|
|
|
|
|
|
| 4.500%, 03/11/2044 |
|
|
60 |
|
|
|
62 |
|
| 3.375%, 03/11/2024 |
|
|
1,075 |
|
|
|
1,086 |
|
| General Electric Capital |
|
|
|
|
|
|
|
|
| 0.850%, 10/9/2015 |
|
|
110 |
|
|
|
110 |
|
| Glencore Funding LLC |
|
|
|
|
|
|
|
|
| 2.500%, 01/15/2019 (B) |
|
|
190 |
|
|
|
186 |
|
| Koninklijke Philips Electronics |
|
|
|
|
|
|
|
|
| 5.750%, 03/11/2018 |
|
|
24 |
|
|
|
27 |
|
| 3.750%, 03/15/2022 |
|
|
127 |
|
|
|
132 |
|
| L-3 Communications |
|
|
|
|
|
|
|
|
| 3.950%, 05/28/2024 |
|
|
240 |
|
|
|
238 |
|
| Lockheed Martin |
|
|
|
|
|
|
|
|
| 4.070%, 12/15/2042 |
|
|
91 |
|
|
|
86 |
|
| 3.350%, 09/15/2021 |
|
|
650 |
|
|
|
669 |
|
| 2.125%, 09/15/2016 |
|
|
37 |
|
|
|
38 |
|
| Norfolk Southern |
|
|
|
|
|
|
|
|
| 6.000%, 05/23/2111 |
|
|
158 |
|
|
|
190 |
|
| Northrop Grumman |
|
|
|
|
|
|
|
|
| 4.750%, 06/01/2043 |
|
|
300 |
|
|
|
308 |
|
| 3.250%, 08/01/2023 |
|
|
1,790 |
|
|
|
1,770 |
|
| Penske Truck Leasing L.P. |
|
|
|
|
|
|
|
|
| 2.500%, 06/15/2019 (B) |
|
|
390 |
|
|
|
388 |
|
| Pitney Bowes MTN |
|
|
|
|
|
|
|
|
| 5.600%, 03/15/2018 |
|
|
25 |
|
|
|
27 |
|
| Republic Services |
|
|
|
|
|
|
|
|
| 3.550%, 06/01/2022 |
|
|
29 |
|
|
|
29 |
|
| Ryder System MTN |
|
|
|
|
|
|
|
|
| 3.600%, 03/01/2016 |
|
|
35 |
|
|
|
36 |
|
| 2.500%, 03/01/2017 |
|
|
47 |
|
|
|
48 |
|
| Union Pacific |
|
|
|
|
|
|
|
|
| 4.300%, 06/15/2042 |
|
|
20 |
|
|
|
20 |
|
| 4.163%, 07/15/2022 |
|
|
131 |
|
|
|
142 |
|
| 3.250%, 01/15/2025 |
|
|
265 |
|
|
|
263 |
|
| United Airlines Pass-Through Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 4.300%, 08/15/2025 |
|
|
33 |
|
|
|
34 |
|
| United Parcel Service of America |
|
|
|
|
|
|
|
|
| 8.375%, 04/01/2020 |
|
|
50 |
|
|
|
65 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
141 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| United Technologies |
|
|
|
|
|
|
|
|
| 8.875%, 11/15/2019 |
|
$ |
110 |
|
|
$ |
143 |
|
| 4.500%, 06/01/2042 |
|
|
117 |
|
|
|
122 |
|
| Valmont Industries |
|
|
|
|
|
|
|
|
| 5.250%, 10/01/2054 |
|
|
160 |
|
|
|
156 |
|
| Waste Management |
|
|
|
|
|
|
|
|
| 4.750%, 06/30/2020 |
|
|
93 |
|
|
|
103 |
|
| 4.600%, 03/01/2021 |
|
|
90 |
|
|
|
99 |
|
| 3.500%, 05/15/2024 |
|
|
100 |
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.8% |
|
|
|
|
|
|
|
|
| Apple |
|
|
|
|
|
|
|
|
| 4.450%, 05/06/2044 |
|
|
215 |
|
|
|
219 |
|
| 3.450%, 05/06/2024 |
|
|
405 |
|
|
|
409 |
|
| 2.850%, 05/06/2021 |
|
|
1,983 |
|
|
|
1,987 |
|
| 2.400%, 05/03/2023 |
|
|
114 |
|
|
|
108 |
|
| 0.489%, 05/03/2018 (A) |
|
|
69 |
|
|
|
69 |
|
| Arrow Electronics |
|
|
|
|
|
|
|
|
| 6.875%, 06/01/2018 |
|
|
95 |
|
|
|
108 |
|
| 6.000%, 04/01/2020 |
|
|
45 |
|
|
|
51 |
|
| 3.375%, 11/01/2015 |
|
|
5 |
|
|
|
5 |
|
| Broadcom MTN |
|
|
|
|
|
|
|
|
| 4.500%, 08/01/2034 |
|
|
65 |
|
|
|
66 |
|
| Cisco Systems |
|
|
|
|
|
|
|
|
| 5.900%, 02/15/2039 |
|
|
150 |
|
|
|
181 |
|
| 5.500%, 01/15/2040 |
|
|
100 |
|
|
|
116 |
|
| 2.125%, 03/01/2019 |
|
|
335 |
|
|
|
335 |
|
| eBay |
|
|
|
|
|
|
|
|
| 4.000%, 07/15/2042 |
|
|
21 |
|
|
|
18 |
|
| 3.450%, 08/01/2024 |
|
|
100 |
|
|
|
97 |
|
| 2.875%, 08/01/2021 |
|
|
60 |
|
|
|
59 |
|
| 2.600%, 07/15/2022 |
|
|
19 |
|
|
|
18 |
|
| Google |
|
|
|
|
|
|
|
|
| 3.375%, 02/25/2024 |
|
|
175 |
|
|
|
179 |
|
| Hewlett-Packard |
|
|
|
|
|
|
|
|
| 6.000%, 09/15/2041 |
|
|
23 |
|
|
|
26 |
|
| 4.650%, 12/09/2021 |
|
|
20 |
|
|
|
22 |
|
| 4.375%, 09/15/2021 |
|
|
24 |
|
|
|
26 |
|
| HP Enterprise Services |
|
|
|
|
|
|
|
|
| 7.450%, 10/15/2029 |
|
|
125 |
|
|
|
155 |
|
| Intel |
|
|
|
|
|
|
|
|
| 4.800%, 10/01/2041 |
|
|
65 |
|
|
|
68 |
|
| 3.300%, 10/01/2021 |
|
|
70 |
|
|
|
72 |
|
| International Business Machines |
|
|
|
|
|
|
|
|
| 4.000%, 06/20/2042 (C) |
|
|
169 |
|
|
|
162 |
|
| 1.625%, 05/15/2020 |
|
|
126 |
|
|
|
121 |
|
| Intuit |
|
|
|
|
|
|
|
|
| 5.750%, 03/15/2017 |
|
|
75 |
|
|
|
83 |
|
| MasterCard |
|
|
|
|
|
|
|
|
| 3.375%, 04/01/2024 |
|
|
660 |
|
|
|
664 |
|
| Microsoft |
|
|
|
|
|
|
|
|
| 4.500%, 10/01/2040 |
|
|
14 |
|
|
|
15 |
|
| 3.625%, 12/15/2023 |
|
|
89 |
|
|
|
93 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Oracle |
|
|
|
|
|
|
|
|
| 6.125%, 07/08/2039 |
|
$ |
27 |
|
|
$ |
33 |
|
| 5.375%, 07/15/2040 |
|
|
17 |
|
|
|
19 |
|
| 4.500%, 07/08/2044 |
|
|
160 |
|
|
|
162 |
|
| 4.300%, 07/08/2034 |
|
|
498 |
|
|
|
502 |
|
| 3.625%, 07/15/2023 |
|
|
56 |
|
|
|
57 |
|
| 3.400%, 07/08/2024 |
|
|
380 |
|
|
|
379 |
|
| 2.800%, 07/08/2021 |
|
|
103 |
|
|
|
102 |
|
| 2.375%, 01/15/2019 |
|
|
61 |
|
|
|
62 |
|
| 2.250%, 10/08/2019 |
|
|
850 |
|
|
|
846 |
|
| 1.200%, 10/15/2017 |
|
|
250 |
|
|
|
248 |
|
| Tencent Holdings MTN |
|
|
|
|
|
|
|
|
| 3.375%, 05/02/2019 (B) |
|
|
385 |
|
|
|
389 |
|
| Texas Instruments |
|
|
|
|
|
|
|
|
| 2.750%, 03/12/2021 |
|
|
275 |
|
|
|
277 |
|
| 1.650%, 08/03/2019 |
|
|
55 |
|
|
|
53 |
|
| TSMC Global |
|
|
|
|
|
|
|
|
| 1.625%, 04/03/2018 (B) |
|
|
460 |
|
|
|
454 |
|
| Xerox |
|
|
|
|
|
|
|
|
| 4.500%, 05/15/2021 |
|
|
13 |
|
|
|
14 |
|
| 2.950%, 03/15/2017 |
|
|
27 |
|
|
|
28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.8% |
|
|
|
|
|
|
|
|
| Barrick Gold |
|
|
|
|
|
|
|
|
| 4.100%, 05/01/2023 |
|
|
435 |
|
|
|
418 |
|
| 3.850%, 04/01/2022 |
|
|
540 |
|
|
|
519 |
|
| BHP Billiton Finance USA |
|
|
|
|
|
|
|
|
| 6.500%, 04/01/2019 |
|
|
125 |
|
|
|
148 |
|
| 5.000%, 09/30/2043 |
|
|
339 |
|
|
|
372 |
|
| 4.125%, 02/24/2042 |
|
|
40 |
|
|
|
38 |
|
| 3.850%, 09/30/2023 |
|
|
275 |
|
|
|
286 |
|
| 3.250%, 11/21/2021 |
|
|
360 |
|
|
|
367 |
|
| 2.050%, 09/30/2018 |
|
|
44 |
|
|
|
44 |
|
| Celulosa Arauco y Constitucion |
|
|
|
|
|
|
|
|
| 4.750%, 01/11/2022 |
|
|
170 |
|
|
|
172 |
|
| Cliffs Natural Resources |
|
|
|
|
|
|
|
|
| 4.800%, 10/1/2020 |
|
|
70 |
|
|
|
54 |
|
| 3.950%, 1/15/2018 |
|
|
240 |
|
|
|
206 |
|
| CRH America |
|
|
|
|
|
|
|
|
| 6.000%, 09/30/2016 |
|
|
31 |
|
|
|
34 |
|
| Dow Chemical |
|
|
|
|
|
|
|
|
| 8.550%, 05/15/2019 |
|
|
22 |
|
|
|
28 |
|
| 5.250%, 11/15/2041 |
|
|
70 |
|
|
|
73 |
|
| 4.125%, 11/15/2021 |
|
|
86 |
|
|
|
90 |
|
| 3.000%, 11/15/2022 |
|
|
800 |
|
|
|
772 |
|
| E.I. du Pont de Nemours |
|
|
|
|
|
|
|
|
| 5.600%, 12/15/2036 |
|
|
80 |
|
|
|
94 |
|
| 4.900%, 01/15/2041 |
|
|
25 |
|
|
|
26 |
|
| 1.950%, 01/15/2016 |
|
|
40 |
|
|
|
41 |
|
| Ecolab |
|
|
|
|
|
|
|
|
| 1.450%, 12/8/2017 |
|
|
31 |
|
|
|
31 |
|
| Freeport-McMoRan |
|
|
|
|
|
|
|
|
| 3.550%, 03/01/2022 |
|
|
120 |
|
|
|
117 |
|
| 3.100%, 03/15/2020 |
|
|
160 |
|
|
|
159 |
|
|
|
|
| 142 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 2.375%, 03/15/2018 |
|
$ |
10 |
|
|
$ |
10 |
|
| 2.150%, 03/01/2017 |
|
|
81 |
|
|
|
82 |
|
| Glencore Finance Canada (B) |
|
|
|
|
|
|
|
|
| 2.700%, 10/25/2017 |
|
|
250 |
|
|
|
254 |
|
| 2.050%, 10/23/2015 |
|
|
452 |
|
|
|
457 |
|
| LYB International Finance BV |
|
|
|
|
|
|
|
|
| 4.875%, 03/15/2044 |
|
|
185 |
|
|
|
189 |
|
| Monsanto |
|
|
|
|
|
|
|
|
| 4.700%, 07/15/2064 |
|
|
12 |
|
|
|
12 |
|
| 4.200%, 07/15/2034 |
|
|
12 |
|
|
|
12 |
|
| 3.375%, 07/15/2024 |
|
|
60 |
|
|
|
60 |
|
| 2.750%, 07/15/2021 |
|
|
50 |
|
|
|
50 |
|
| Mosaic |
|
|
|
|
|
|
|
|
| 5.625%, 11/15/2043 (C) |
|
|
115 |
|
|
|
128 |
|
| 5.450%, 11/15/2033 (C) |
|
|
199 |
|
|
|
220 |
|
| 4.875%, 11/15/2041 |
|
|
30 |
|
|
|
30 |
|
| 4.250%, 11/15/2023 |
|
|
60 |
|
|
|
62 |
|
| 3.750%, 11/15/2021 |
|
|
25 |
|
|
|
26 |
|
| Nucor |
|
|
|
|
|
|
|
|
| 4.000%, 08/01/2023 |
|
|
184 |
|
|
|
188 |
|
| Plains Exploration & Production |
|
|
|
|
|
|
|
|
| 6.875%, 02/15/2023 |
|
|
26 |
|
|
|
30 |
|
| 6.500%, 11/15/2020 |
|
|
33 |
|
|
|
36 |
|
| Potash Corp of Saskatchewan |
|
|
|
|
|
|
|
|
| 6.500%, 05/15/2019 |
|
|
50 |
|
|
|
59 |
|
| PPG Industries |
|
|
|
|
|
|
|
|
| 9.000%, 05/01/2021 |
|
|
145 |
|
|
|
189 |
|
| Praxair |
|
|
|
|
|
|
|
|
| 5.200%, 03/15/2017 |
|
|
70 |
|
|
|
77 |
|
| Rio Tinto Finance USA |
|
|
|
|
|
|
|
|
| 9.000%, 05/01/2019 |
|
|
30 |
|
|
|
38 |
|
| 6.500%, 07/15/2018 |
|
|
200 |
|
|
|
232 |
|
| 3.750%, 09/20/2021 |
|
|
450 |
|
|
|
467 |
|
| 2.875%, 08/21/2022 |
|
|
95 |
|
|
|
92 |
|
| Southern Copper |
|
|
|
|
|
|
|
|
| 5.250%, 11/8/2042 |
|
|
370 |
|
|
|
350 |
|
| Teck Resources Limited |
|
|
|
|
|
|
|
|
| 6.250%, 07/15/2041 |
|
|
5 |
|
|
|
5 |
|
| Union Carbide |
|
|
|
|
|
|
|
|
| 7.750%, 10/01/2096 |
|
|
50 |
|
|
|
66 |
|
| Vale Overseas |
|
|
|
|
|
|
|
|
| 8.250%, 01/17/2034 |
|
|
75 |
|
|
|
94 |
|
| 6.875%, 11/21/2036 |
|
|
190 |
|
|
|
214 |
|
| 4.375%, 01/11/2022 |
|
|
885 |
|
|
|
891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 1.3% |
|
|
|
|
|
|
|
|
| America Movil |
|
|
|
|
|
|
|
|
| 5.625%, 11/15/2017 |
|
|
400 |
|
|
|
446 |
|
| 3.125%, 07/16/2022 |
|
|
535 |
|
|
|
519 |
|
| 1.235%, 09/12/2016 (A) |
|
|
220 |
|
|
|
222 |
|
| AT&T |
|
|
|
|
|
|
|
|
| 6.300%, 01/15/2038 |
|
|
270 |
|
|
|
319 |
|
| 5.800%, 02/15/2019 |
|
|
210 |
|
|
|
241 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 02/01/2018 |
|
$ |
100 |
|
|
$ |
112 |
|
| 5.350%, 09/01/2040 |
|
|
423 |
|
|
|
448 |
|
| 4.800%, 06/15/2044 |
|
|
215 |
|
|
|
212 |
|
| 4.350%, 06/15/2045 |
|
|
380 |
|
|
|
349 |
|
| 4.300%, 12/15/2042 (C) |
|
|
295 |
|
|
|
270 |
|
| 3.875%, 08/15/2021 |
|
|
350 |
|
|
|
367 |
|
| 1.600%, 02/15/2017 |
|
|
45 |
|
|
|
45 |
|
| BellSouth Telecommunications |
|
|
|
|
|
|
|
|
| 6.300%, 12/15/2015 |
|
|
50 |
|
|
|
50 |
|
| Bharti Airtel International Netherlands BV |
|
|
|
|
|
|
|
|
| 5.350%, 05/20/2024 (B) |
|
|
210 |
|
|
|
224 |
|
| British Telecommunications |
|
|
|
|
|
|
|
|
| 5.950%, 01/15/2018 |
|
|
200 |
|
|
|
226 |
|
| Centel Capital |
|
|
|
|
|
|
|
|
| 9.000%, 10/15/2019 |
|
|
65 |
|
|
|
78 |
|
| CenturyLink |
|
|
|
|
|
|
|
|
| 7.650%, 03/15/2042 |
|
|
15 |
|
|
|
15 |
|
| Deutsche Telekom International Finance |
|
|
|
|
|
|
|
|
| 6.000%, 07/08/2019 |
|
|
175 |
|
|
|
202 |
|
| 5.750%, 03/23/2016 |
|
|
170 |
|
|
|
182 |
|
| 2.250%, 03/06/2017 (B) |
|
|
770 |
|
|
|
784 |
|
| Nippon Telegraph & Telephone |
|
|
|
|
|
|
|
|
| 1.400%, 07/18/2017 |
|
|
65 |
|
|
|
65 |
|
| Orange |
|
|
|
|
|
|
|
|
| 9.000%, 03/01/2031 |
|
|
50 |
|
|
|
74 |
|
| 2.750%, 09/14/2016 |
|
|
35 |
|
|
|
36 |
|
| Qwest |
|
|
|
|
|
|
|
|
| 6.750%, 12/01/2021 |
|
|
156 |
|
|
|
179 |
|
| Rogers Communications |
|
|
|
|
|
|
|
|
| 8.750%, 05/01/2032 |
|
|
70 |
|
|
|
101 |
|
| 5.450%, 10/01/2043 |
|
|
33 |
|
|
|
36 |
|
| 4.100%, 10/01/2023 |
|
|
80 |
|
|
|
83 |
|
| Telefonica Chile |
|
|
|
|
|
|
|
|
| 3.875%, 10/12/2022 (B) |
|
|
210 |
|
|
|
206 |
|
| Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
| 5.877%, 07/15/2019 |
|
|
52 |
|
|
|
59 |
|
| 5.462%, 02/16/2021 |
|
|
23 |
|
|
|
26 |
|
| 5.134%, 04/27/2020 |
|
|
310 |
|
|
|
341 |
|
| Verizon Communications |
|
|
|
|
|
|
|
|
| 6.550%, 09/15/2043 |
|
|
452 |
|
|
|
565 |
|
| 6.400%, 09/15/2033 |
|
|
1,263 |
|
|
|
1,539 |
|
| 6.350%, 04/01/2019 |
|
|
120 |
|
|
|
139 |
|
| 5.150%, 09/15/2023 |
|
|
1,405 |
|
|
|
1,556 |
|
| 5.050%, 03/15/2034 |
|
|
367 |
|
|
|
389 |
|
| 4.862%, 08/21/2046 (B) (C) |
|
|
1,463 |
|
|
|
1,467 |
|
| 4.500%, 09/15/2020 |
|
|
159 |
|
|
|
172 |
|
| 4.150%, 03/15/2024 |
|
|
110 |
|
|
|
114 |
|
| 3.850%, 11/1/2042 |
|
|
200 |
|
|
|
175 |
|
| 3.450%, 03/15/2021 |
|
|
435 |
|
|
|
441 |
|
| 2.625%, 02/21/2020 (B) |
|
|
24 |
|
|
|
24 |
|
| 2.450%, 11/1/2022 |
|
|
90 |
|
|
|
83 |
|
| 1.350%, 06/09/2017 |
|
|
800 |
|
|
|
796 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
143 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Verizon Global Funding |
|
|
|
|
|
|
|
|
| 5.850%, 09/15/2035 |
|
$ |
40 |
|
|
$ |
46 |
|
| Vodafone Group PLC |
|
|
|
|
|
|
|
|
| 5.450%, 06/10/2019 |
|
|
75 |
|
|
|
84 |
|
| 2.950%, 02/19/2023 |
|
|
475 |
|
|
|
448 |
|
| 1.625%, 03/20/2017 |
|
|
80 |
|
|
|
80 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 1.7% |
|
|
|
|
|
|
|
|
| AEP Texas Central Transition Funding II |
|
| 5.170%, 01/01/2018 |
|
|
575 |
|
|
|
621 |
|
| 5.090%, 07/01/2015 |
|
|
643 |
|
|
|
651 |
|
| AGL Capital |
|
|
|
|
|
|
|
|
| 6.375%, 07/15/2016 |
|
|
50 |
|
|
|
54 |
|
| 5.250%, 08/15/2019 |
|
|
50 |
|
|
|
56 |
|
| Alabama Power |
|
|
|
|
|
|
|
|
| 6.125%, 05/15/2038 |
|
|
18 |
|
|
|
23 |
|
| 5.875%, 12/01/2022 |
|
|
95 |
|
|
|
115 |
|
| 4.150%, 08/15/2044 |
|
|
105 |
|
|
|
104 |
|
| Ameren Illinois |
|
|
|
|
|
|
|
|
| 4.300%, 07/01/2044 |
|
|
110 |
|
|
|
111 |
|
| American Electric Power |
|
|
|
|
|
|
|
|
| 1.650%, 12/15/2017 |
|
|
398 |
|
|
|
398 |
|
| American Transmission Systems |
|
|
|
|
|
|
|
|
| 5.000%, 09/01/2044 (B) |
|
|
165 |
|
|
|
166 |
|
| American Water Capital |
|
|
|
|
|
|
|
|
| 3.850%, 03/01/2024 |
|
|
120 |
|
|
|
125 |
|
| 3.400%, 03/01/2025 |
|
|
32 |
|
|
|
32 |
|
| Appalachian Power |
|
|
|
|
|
|
|
|
| 6.700%, 08/15/2037 |
|
|
100 |
|
|
|
130 |
|
| 5.950%, 05/15/2033 |
|
|
100 |
|
|
|
118 |
|
| Arizona Public Service |
|
|
|
|
|
|
|
|
| 5.050%, 09/01/2041 |
|
|
47 |
|
|
|
53 |
|
| 4.500%, 04/01/2042 |
|
|
15 |
|
|
|
16 |
|
| Atmos Energy |
|
|
|
|
|
|
|
|
| 4.950%, 10/15/2014 |
|
|
75 |
|
|
|
75 |
|
| Berkshire Hathaway Energy |
|
|
|
|
|
|
|
|
| 5.150%, 11/15/2043 |
|
|
105 |
|
|
|
116 |
|
| 3.750%, 11/15/2023 |
|
|
156 |
|
|
|
160 |
|
| Boston Gas |
|
|
|
|
|
|
|
|
| 4.487%, 02/15/2042 (B) |
|
|
35 |
|
|
|
36 |
|
| Carolina Power & Light |
|
|
|
|
|
|
|
|
| 5.300%, 01/15/2019 |
|
|
175 |
|
|
|
198 |
|
| 3.000%, 09/15/2021 |
|
|
194 |
|
|
|
197 |
|
| 2.800%, 05/15/2022 |
|
|
25 |
|
|
|
25 |
|
| CenterPoint Energy |
|
|
|
|
|
|
|
|
| 6.500%, 05/01/2018 |
|
|
50 |
|
|
|
58 |
|
| CenterPoint Energy Resources |
|
|
|
|
|
|
|
|
| 4.500%, 01/15/2021 |
|
|
81 |
|
|
|
89 |
|
| Cleveland Electric Illuminating |
|
|
|
|
|
|
|
|
| 7.880%, 11/01/2017 |
|
|
170 |
|
|
|
201 |
|
| Connecticut Light & Power |
|
|
|
|
|
|
|
|
| 4.300%, 04/15/2044 |
|
|
130 |
|
|
|
133 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Consolidated Edison of New York |
|
|
|
|
|
|
|
|
| 5.700%, 06/15/2040 |
|
$ |
38 |
|
|
$ |
46 |
|
| 4.450%, 03/15/2044 |
|
|
520 |
|
|
|
529 |
|
| Consumers Energy |
|
|
|
|
|
|
|
|
| 6.700%, 09/15/2019 |
|
|
100 |
|
|
|
120 |
|
| 4.350%, 08/31/2064 |
|
|
115 |
|
|
|
114 |
|
| Detroit Edison |
|
|
|
|
|
|
|
|
| 2.650%, 06/15/2022 |
|
|
26 |
|
|
|
26 |
|
| Dominion Resources |
|
|
|
|
|
|
|
|
| 8.875%, 01/15/2019 |
|
|
365 |
|
|
|
459 |
|
| 6.400%, 06/15/2018 |
|
|
180 |
|
|
|
207 |
|
| 5.750%, 10/01/2054 (A) |
|
|
145 |
|
|
|
147 |
|
| 5.250%, 08/01/2033 |
|
|
90 |
|
|
|
102 |
|
| 1.950%, 08/15/2016 |
|
|
165 |
|
|
|
168 |
|
| Duke Energy |
|
|
|
|
|
|
|
|
| 3.750%, 04/15/2024 |
|
|
290 |
|
|
|
297 |
|
| 3.550%, 09/15/2021 |
|
|
76 |
|
|
|
79 |
|
| Duke Energy Carolinas |
|
|
|
|
|
|
|
|
| 4.300%, 06/15/2020 |
|
|
39 |
|
|
|
43 |
|
| 4.250%, 12/15/2041 |
|
|
28 |
|
|
|
28 |
|
| Duke Energy Florida |
|
|
|
|
|
|
|
|
| 3.850%, 11/15/2042 |
|
|
215 |
|
|
|
204 |
|
| Duke Energy Indiana |
|
|
|
|
|
|
|
|
| 4.200%, 03/15/2042 |
|
|
30 |
|
|
|
30 |
|
| 3.750%, 07/15/2020 |
|
|
52 |
|
|
|
55 |
|
| Duke Energy Ohio |
|
|
|
|
|
|
|
|
| 3.800%, 09/01/2023 |
|
|
155 |
|
|
|
162 |
|
| Duke Energy Progress |
|
|
|
|
|
|
|
|
| 4.100%, 05/15/2042 |
|
|
25 |
|
|
|
25 |
|
| Electricite de France |
|
|
|
|
|
|
|
|
| 6.000%, 01/22/2114 (B) |
|
|
235 |
|
|
|
267 |
|
| Enel Finance International |
|
|
|
|
|
|
|
|
| 5.125%, 10/07/2019 (B) |
|
|
100 |
|
|
|
110 |
|
| Exelon Generation |
|
|
|
|
|
|
|
|
| 6.200%, 10/01/2017 |
|
|
100 |
|
|
|
112 |
|
| 4.000%, 10/01/2020 (C) |
|
|
120 |
|
|
|
126 |
|
| FirstEnergy |
|
|
|
|
|
|
|
|
| 4.250%, 03/15/2023 |
|
|
340 |
|
|
|
338 |
|
| 2.750%, 03/15/2018 |
|
|
70 |
|
|
|
70 |
|
| FirstEnergy, Ser C |
|
|
|
|
|
|
|
|
| 7.375%, 11/15/2031 |
|
|
480 |
|
|
|
567 |
|
| Florida Power & Light |
|
|
|
|
|
|
|
|
| 5.950%, 10/01/2033 |
|
|
35 |
|
|
|
44 |
|
| 5.125%, 06/01/2041 |
|
|
28 |
|
|
|
32 |
|
| Jersey Central Power & Light |
|
|
|
|
|
|
|
|
| 7.350%, 02/01/2019 |
|
|
100 |
|
|
|
119 |
|
| 5.625%, 05/01/2016 |
|
|
300 |
|
|
|
320 |
|
| 4.700%, 04/01/2024 (B) |
|
|
200 |
|
|
|
212 |
|
| John Sevier Combined Cycle Generation |
|
|
|
|
|
|
|
|
| 4.626%, 01/15/2042 |
|
|
57 |
|
|
|
62 |
|
| Kansas City Power & Light |
|
|
|
|
|
|
|
|
| 5.300%, 10/01/2041 |
|
|
100 |
|
|
|
113 |
|
| Massachusetts Electric |
|
|
|
|
|
|
|
|
| 5.900%, 11/15/2039 (B) |
|
|
55 |
|
|
|
68 |
|
|
|
|
| 144 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Metropolitan Edison |
|
|
|
|
|
|
|
|
| 3.500%, 03/15/2023 (B) |
|
$ |
350 |
|
|
$ |
348 |
|
| MidAmerican Energy Holdings |
|
|
|
|
|
|
|
|
| 6.500%, 09/15/2037 |
|
|
200 |
|
|
|
259 |
|
| Nevada Power |
|
|
|
|
|
|
|
|
| 7.125%, 03/15/2019 |
|
|
110 |
|
|
|
133 |
|
| 6.500%, 08/01/2018 |
|
|
40 |
|
|
|
47 |
|
| 5.450%, 05/15/2041 |
|
|
50 |
|
|
|
61 |
|
| 5.375%, 09/15/2040 |
|
|
12 |
|
|
|
14 |
|
| NextEra Energy Capital Holdings |
|
|
|
|
|
|
|
|
| 3.625%, 06/15/2023 |
|
|
100 |
|
|
|
101 |
|
| Niagara Mohawk Power (B) |
|
|
|
|
|
|
|
|
| 4.881%, 08/15/2019 |
|
|
80 |
|
|
|
89 |
|
| 4.278%, 10/01/2034 |
|
|
185 |
|
|
|
186 |
|
| NiSource Finance |
|
|
|
|
|
|
|
|
| 5.800%, 02/01/2042 |
|
|
149 |
|
|
|
172 |
|
| 5.650%, 02/01/2045 |
|
|
50 |
|
|
|
57 |
|
| Northern States Power |
|
|
|
|
|
|
|
|
| 6.250%, 06/01/2036 |
|
|
100 |
|
|
|
131 |
|
| 5.350%, 11/01/2039 |
|
|
19 |
|
|
|
22 |
|
| Oncor Electric Delivery LLC |
|
|
|
|
|
|
|
|
| 6.800%, 09/01/2018 |
|
|
460 |
|
|
|
539 |
|
| 5.250%, 09/30/2040 |
|
|
250 |
|
|
|
290 |
|
| Pacific Gas & Electric |
|
|
|
|
|
|
|
|
| 8.250%, 10/15/2018 |
|
|
180 |
|
|
|
221 |
|
| 6.050%, 03/01/2034 |
|
|
160 |
|
|
|
197 |
|
| 5.800%, 03/01/2037 |
|
|
70 |
|
|
|
84 |
|
| 5.625%, 11/30/2017 |
|
|
525 |
|
|
|
588 |
|
| 5.400%, 01/15/2040 |
|
|
42 |
|
|
|
48 |
|
| 4.500%, 12/15/2041 |
|
|
48 |
|
|
|
49 |
|
| 3.250%, 09/15/2021 |
|
|
12 |
|
|
|
12 |
|
| 3.250%, 06/15/2023 |
|
|
145 |
|
|
|
144 |
|
| PacifiCorp |
|
|
|
|
|
|
|
|
| 6.250%, 10/15/2037 |
|
|
90 |
|
|
|
117 |
|
| 5.650%, 07/15/2018 |
|
|
175 |
|
|
|
199 |
|
| 3.600%, 04/01/2024 |
|
|
340 |
|
|
|
349 |
|
| PECO Energy |
|
|
|
|
|
|
|
|
| 4.150%, 10/01/2044 |
|
|
385 |
|
|
|
385 |
|
| Potomac Electric Power |
|
|
|
|
|
|
|
|
| 3.600%, 03/15/2024 |
|
|
155 |
|
|
|
159 |
|
| PPL Capital Funding |
|
|
|
|
|
|
|
|
| 3.950%, 03/15/2024 |
|
|
160 |
|
|
|
164 |
|
| Progress Energy |
|
|
|
|
|
|
|
|
| 3.150%, 04/01/2022 |
|
|
280 |
|
|
|
281 |
|
| PSEG Power LLC |
|
|
|
|
|
|
|
|
| 5.500%, 12/01/2015 |
|
|
100 |
|
|
|
105 |
|
| 5.320%, 09/15/2016 |
|
|
40 |
|
|
|
43 |
|
| 5.125%, 04/15/2020 |
|
|
45 |
|
|
|
50 |
|
| 4.150%, 09/15/2021 |
|
|
33 |
|
|
|
35 |
|
| 2.750%, 09/15/2016 |
|
|
200 |
|
|
|
207 |
|
| Public Service Electric & Gas MTN |
|
|
|
|
|
|
|
|
| 5.375%, 11/01/2039 |
|
|
28 |
|
|
|
34 |
|
| 4.000%, 06/01/2044 (C) |
|
|
355 |
|
|
|
348 |
|
| 2.700%, 05/01/2015 |
|
|
45 |
|
|
|
46 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Public Service of Colorado |
|
|
|
|
|
|
|
|
| 4.300%, 03/15/2044 |
|
$ |
95 |
|
|
$ |
97 |
|
| Public Service of New Hampshire |
|
|
|
|
|
|
|
|
| 3.500%, 11/01/2023 |
|
|
205 |
|
|
|
212 |
|
| Public Service of Oklahoma |
|
|
|
|
|
|
|
|
| 5.150%, 12/01/2019 |
|
|
83 |
|
|
|
93 |
|
| Puget Energy |
|
|
|
|
|
|
|
|
| 6.000%, 09/01/2021 |
|
|
190 |
|
|
|
221 |
|
| San Diego Gas & Electric |
|
|
|
|
|
|
|
|
| 6.000%, 06/01/2026 |
|
|
60 |
|
|
|
75 |
|
| 3.950%, 11/15/2041 |
|
|
14 |
|
|
|
14 |
|
| Sempra Energy |
|
|
|
|
|
|
|
|
| 6.000%, 10/15/2039 |
|
|
50 |
|
|
|
62 |
|
| South Carolina Electric & Gas |
|
|
|
|
|
|
|
|
| 4.500%, 06/01/2064 |
|
|
13 |
|
|
|
13 |
|
| Southern |
|
|
|
|
|
|
|
|
| 2.150%, 09/01/2019 |
|
|
375 |
|
|
|
371 |
|
| 1.950%, 09/01/2016 |
|
|
26 |
|
|
|
27 |
|
| Southern California Edison |
|
|
|
|
|
|
|
|
| 5.500%, 03/15/2040 |
|
|
50 |
|
|
|
61 |
|
| 4.050%, 03/15/2042 |
|
|
5 |
|
|
|
5 |
|
| 3.900%, 12/01/2041 |
|
|
60 |
|
|
|
58 |
|
| 3.875%, 06/01/2021 |
|
|
22 |
|
|
|
24 |
|
| 3.500%, 10/01/2023 |
|
|
205 |
|
|
|
211 |
|
| Southern Power |
|
|
|
|
|
|
|
|
| 5.150%, 09/15/2041 |
|
|
11 |
|
|
|
12 |
|
| Southwestern Electric Power |
|
|
|
|
|
|
|
|
| 3.550%, 02/15/2022 |
|
|
120 |
|
|
|
123 |
|
| Southwestern Public Service |
|
|
|
|
|
|
|
|
| 8.750%, 12/01/2018 |
|
|
90 |
|
|
|
113 |
|
| Virginia Electric and Power |
|
|
|
|
|
|
|
|
| 4.650%, 08/15/2043 |
|
|
245 |
|
|
|
263 |
|
| 2.950%, 01/15/2022 |
|
|
330 |
|
|
|
333 |
|
| Wisconsin Electric Power |
|
|
|
|
|
|
|
|
| 2.950%, 09/15/2021 |
|
|
3 |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,167 |
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $236,572) ($ Thousands) |
|
|
|
|
|
|
246,345 |
|
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 9.7% |
|
|
|
|
|
|
|
|
| Automotive — 1.5% |
|
|
|
|
|
|
|
|
| Ally Auto Receivables Trust,
Ser 2010-5, Cl A4 |
|
|
|
|
|
|
|
|
| 1.750%, 03/15/2016 |
|
|
206 |
|
|
|
206 |
|
| Ally Auto Receivables Trust,
Ser 2011-1, Cl A4 |
|
|
|
|
|
|
|
|
| 2.230%, 03/15/2016 |
|
|
146 |
|
|
|
146 |
|
| Ally Auto Receivables Trust,
Ser 2011-5, Cl A4 |
|
|
|
|
|
|
|
|
| 1.320%, 07/15/2016 |
|
|
164 |
|
|
|
164 |
|
| Ally Auto Receivables Trust,
Ser 2012-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.930%, 02/16/2016 |
|
|
20 |
|
|
|
20 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
145 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ally Auto Receivables Trust,
Ser 2012-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.740%, 04/15/2016 |
|
$ |
350 |
|
|
$ |
351 |
|
| Ally Auto Receivables Trust,
Ser 2013-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.840%, 02/15/2018 |
|
|
219 |
|
|
|
218 |
|
| Ally Auto Receivables Trust,
Ser 2013-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.790%, 01/15/2018 |
|
|
574 |
|
|
|
574 |
|
| Ally Auto Receivables Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.600%, 02/15/2017 |
|
|
455 |
|
|
|
455 |
|
| Ally Auto Receivables Trust,
Ser 2014-1, Cl A4 |
|
|
|
|
|
|
|
|
| 1.550%, 04/15/2019 |
|
|
1,608 |
|
|
|
1,603 |
|
| Ally Auto Receivables Trust,
Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.840%, 01/15/2020 |
|
|
201 |
|
|
|
201 |
|
| American Credit Acceptance Receivables Trust,
Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
| 1.640%, 11/15/2016 (B) |
|
|
16 |
|
|
|
16 |
|
| American Credit Acceptance Receivables Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 1.450%, 04/16/2018 (B) |
|
|
82 |
|
|
|
82 |
|
| American Credit Acceptance Receivables Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 0.990%, 10/10/2017 (B) |
|
|
265 |
|
|
|
265 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2012-5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.620%, 06/08/2017 |
|
|
40 |
|
|
|
40 |
|
| AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.490%, 06/08/2016 |
|
|
3 |
|
|
|
3 |
|
| AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.530%, 11/08/2016 |
|
|
37 |
|
|
|
37 |
|
| AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A2 |
|
|
|
|
|
|
|
|
| 0.740%, 11/08/2016 |
|
|
170 |
|
|
|
171 |
|
| Avis Budget Rental Car Funding AESOP LLC,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.920%, 09/20/2019 (B) |
|
|
542 |
|
|
|
537 |
|
| Avis Budget Rental Car Funding AESOP LLC,
Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 2.970%, 02/20/2020 (B) |
|
|
190 |
|
|
|
194 |
|
| California Republic Auto Receivables Trust, Ser 2012-1, Cl A |
|
|
|
|
|
|
|
|
| 1.180%, 08/15/2017 (B) |
|
|
32 |
|
|
|
33 |
|
| California Republic Auto Receivables Trust, Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.570%, 12/16/2019 |
|
|
148 |
|
|
|
147 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| California Republic Auto Receivables Trust, Ser 2014-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.790%, 03/16/2020 |
|
$ |
154 |
|
|
$ |
154 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.620%, 07/20/2016 |
|
|
68 |
|
|
|
68 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.790%, 06/20/2017 |
|
|
769 |
|
|
|
770 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.920%, 09/20/2016 |
|
|
385 |
|
|
|
386 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.560%, 07/20/2018 |
|
|
205 |
|
|
|
207 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-3, Cl A1B |
|
|
|
|
|
|
|
|
| 0.584%, 11/20/2015 (A) |
|
|
122 |
|
|
|
122 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.310%, 10/20/2016 |
|
|
80 |
|
|
|
80 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.680%, 04/20/2018 |
|
|
135 |
|
|
|
136 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-4, Cl A3 |
|
|
|
|
|
|
|
|
| 1.090%, 03/20/2018 |
|
|
347 |
|
|
|
348 |
|
| Capital Auto Receivables Asset Trust,
Ser 2013-4, Cl A4 |
|
|
|
|
|
|
|
|
| 1.470%, 07/20/2018 |
|
|
472 |
|
|
|
473 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
| 1.320%, 06/20/2018 |
|
|
323 |
|
|
|
324 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-1, Cl A4 |
|
|
|
|
|
|
|
|
| 1.690%, 10/22/2018 |
|
|
280 |
|
|
|
281 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-2, Cl A1 |
|
|
|
|
|
|
|
|
| 0.456%, 06/20/2016 (A) |
|
|
566 |
|
|
|
566 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.260%, 05/21/2018 |
|
|
480 |
|
|
|
480 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
| 1.620%, 10/22/2018 |
|
|
137 |
|
|
|
137 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-3, Cl A3 |
|
|
|
|
|
|
|
|
| 1.491%, 11/20/2018 |
|
|
637 |
|
|
|
637 |
|
| Capital Auto Receivables Asset Trust,
Ser 2014-3, Cl A4 |
|
|
|
|
|
|
|
|
| 1.837%, 04/22/2019 |
|
|
175 |
|
|
|
175 |
|
| Carfinance Capital Auto Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.650%, 07/17/2017 (B) |
|
|
41 |
|
|
|
41 |
|
|
|
|
| 146 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Carnow Auto Receivables Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.960%, 07/17/2017 (B) |
|
$ |
162 |
|
|
$ |
162 |
|
| CFC LLC, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.460%, 12/17/2018 (B) |
|
|
168 |
|
|
|
168 |
|
| CFC LLC, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
| 1.440%, 11/16/2020 |
|
|
244 |
|
|
|
243 |
|
| Chrysler Capital Auto Receivables Trust, Ser 2014-BA, Cl A3 |
|
|
|
|
|
|
|
|
| 1.270%, 05/15/2019 (B) |
|
|
163 |
|
|
|
163 |
|
| CPS Auto Receivables Trust,
Ser 2013-D, Cl A |
|
|
|
|
|
|
|
|
| 1.540%, 07/16/2018 (B) |
|
|
228 |
|
|
|
228 |
|
| CPS Auto Receivables Trust,
Ser 2014-A, Cl A |
|
|
|
|
|
|
|
|
| 1.210%, 08/15/2018 (B) |
|
|
81 |
|
|
|
81 |
|
| CPS Auto Receivables Trust,
Ser 2014-B, Cl A |
|
|
|
|
|
|
|
|
| 1.110%, 11/15/2018 (B) |
|
|
267 |
|
|
|
266 |
|
| CPS Auto Receivables Trust,
Ser 2014-C, Cl A |
|
|
|
|
|
|
|
|
| 1.310%, 02/15/2019 (B) |
|
|
236 |
|
|
|
235 |
|
| CPS Auto Trust, Ser 2011-C, Cl A |
|
|
|
|
|
|
|
|
| 4.210%, 03/15/2019 (B) |
|
|
45 |
|
|
|
46 |
|
| CPS Auto Trust, Ser 2013-C, Cl A |
|
|
|
|
|
|
|
|
| 1.640%, 04/16/2018 (B) |
|
|
237 |
|
|
|
238 |
|
| Exeter Auto Receivables Trust,
Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
| 1.490%, 11/15/2017 (B) |
|
|
132 |
|
|
|
133 |
|
| Exeter Auto Receivables Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.290%, 05/15/2018 (B) |
|
|
124 |
|
|
|
124 |
|
| Fifth Third Auto Trust, Ser 2013-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.880%, 10/16/2017 |
|
|
105 |
|
|
|
105 |
|
| First Investors Auto Owner Trust,
Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.900%, 10/15/2018 (B) |
|
|
26 |
|
|
|
26 |
|
| Ford Credit Auto Lease Trust,
Ser 2014-B, Cl A3 |
|
|
|
|
|
|
|
|
| 0.890%, 09/15/2017 |
|
|
56 |
|
|
|
56 |
|
| Ford Credit Auto Lease Trust,
Ser 2014-B, Cl A4 |
|
|
|
|
|
|
|
|
| 1.100%, 11/15/2017 |
|
|
22 |
|
|
|
22 |
|
| Ford Credit Auto Owner Trust,
Ser 2012-C, Cl A3 |
|
|
|
|
|
|
|
|
| 0.580%, 12/15/2016 |
|
|
159 |
|
|
|
159 |
|
| Ford Credit Auto Owner Trust,
Ser 2013-B, Cl A2 |
|
|
|
|
|
|
|
|
| 0.380%, 02/15/2016 |
|
|
25 |
|
|
|
25 |
|
| Harley-Davidson Motorcycle Trust,
Ser 2011-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.110%, 09/15/2016 |
|
|
20 |
|
|
|
20 |
|
| Hertz Vehicle Financing,
Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.830%, 08/25/2019 (B) |
|
|
800 |
|
|
|
788 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Honda Auto Receivables Owner Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.410%, 09/21/2016 |
|
$ |
320 |
|
|
$ |
320 |
|
| Huntington Auto Trust,
Ser 2011-1A, Cl A4 |
|
|
|
|
|
|
|
|
| 1.310%, 11/15/2016 (B) |
|
|
200 |
|
|
|
201 |
|
| Hyundai Auto Receivables Trust,
Ser 2010-B, Cl A4 |
|
|
|
|
|
|
|
|
| 1.630%, 03/15/2017 |
|
|
39 |
|
|
|
40 |
|
| Hyundai Auto Receivables Trust,
Ser 2011-B, Cl A4 |
|
|
|
|
|
|
|
|
| 1.650%, 02/15/2017 |
|
|
29 |
|
|
|
29 |
|
| Hyundai Auto Receivables Trust,
Ser 2011-C, Cl A4 |
|
|
|
|
|
|
|
|
| 1.300%, 02/15/2018 |
|
|
268 |
|
|
|
269 |
|
| MMCA Automobile Trust,
Ser 2011-A, Cl A4 |
|
|
|
|
|
|
|
|
| 2.020%, 10/17/2016 (B) |
|
|
36 |
|
|
|
36 |
|
| MMCA Automobile Trust,
Ser 2012-A, Cl A4 |
|
|
|
|
|
|
|
|
| 1.570%, 08/15/2017 (B) |
|
|
156 |
|
|
|
158 |
|
| Nissan Auto Receivables Owner Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.420%, 11/15/2016 |
|
|
158 |
|
|
|
158 |
|
| Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.830%, 12/15/2016 |
|
|
62 |
|
|
|
62 |
|
| Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3 |
|
|
|
|
|
|
|
|
| 0.620%, 07/15/2016 |
|
|
3 |
|
|
|
3 |
|
| Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A2 |
|
|
|
|
|
|
|
|
| 0.550%, 09/15/2016 |
|
|
120 |
|
|
|
120 |
|
| Tidewater Auto Receivables Trust,
Ser 2014-AA, Cl A3 |
|
|
|
|
|
|
|
|
| 1.400%, 07/15/2018 (B) |
|
|
175 |
|
|
|
175 |
|
| Toyota Auto Receivables Owner Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.410%, 08/15/2016 |
|
|
430 |
|
|
|
430 |
|
| Toyota Auto Receivables Owner Trust,
Ser 2014-B, Cl A2 |
|
|
|
|
|
|
|
|
| 0.400%, 12/15/2016 |
|
|
325 |
|
|
|
325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Cards — 1.3% |
|
|
|
|
|
|
|
|
| American Express Credit Account Master Trust, Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 0.574%, 05/17/2021 (A) |
|
|
263 |
|
|
|
263 |
|
| American Express Credit Account Master Trust, Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 1.260%, 01/15/2020 |
|
|
411 |
|
|
|
410 |
|
| American Express Credit Account Secured Note Trust,
Ser 2012-4, Cl A |
|
|
|
|
|
|
|
|
| 0.394%, 05/15/2020 (A) |
|
|
1,397 |
|
|
|
1,394 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
147 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| American Express Issuance Trust II,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
| 0.584%, 08/15/2019 (A) |
|
$ |
755 |
|
|
$ |
757 |
|
| BA Credit Card Trust,
Ser 2007-A4, Cl A4 |
|
|
|
|
|
|
|
|
| 0.194%, 11/15/2019 (A) |
|
|
445 |
|
|
|
442 |
|
| BA Credit Card Trust,
Ser 2014-A2, Cl A |
|
|
|
|
|
|
|
|
| 0.424%, 09/16/2019 (A) |
|
|
803 |
|
|
|
803 |
|
| BA Credit Card Trust,
Ser 2014-A3, Cl A |
|
|
|
|
|
|
|
|
| 0.443%, 01/15/2020 (A) |
|
|
1,123 |
|
|
|
1,123 |
|
| Cabela’s Master Credit Card Trust,
Ser 2012-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.630%, 02/18/2020 (B) |
|
|
200 |
|
|
|
201 |
|
| Capital One Multi-Asset Execution Trust,
Ser 2013-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.630%, 11/15/2018 |
|
|
227 |
|
|
|
227 |
|
| Chase Issuance Trust,
Ser 2012-A2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.424%, 05/15/2019 (A) |
|
|
691 |
|
|
|
693 |
|
| Chase Issuance Trust,
Ser 2012-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.590%, 08/15/2017 |
|
|
290 |
|
|
|
290 |
|
| Chase Issuance Trust,
Ser 2012-A8, Cl A8 |
|
|
|
|
|
|
|
|
| 0.540%, 10/16/2017 |
|
|
181 |
|
|
|
181 |
|
| Chase Issuance Trust,
Ser 2013-A7, Cl A |
|
|
|
|
|
|
|
|
| 0.584%, 09/15/2020 (A) |
|
|
538 |
|
|
|
540 |
|
| Chase Issuance Trust,
Ser 2013-A9, Cl A |
|
|
|
|
|
|
|
|
| 0.574%, 11/16/2020 (A) |
|
|
851 |
|
|
|
853 |
|
| Chase Issuance Trust,
Ser 2014-A5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.524%, 04/15/2021 (A) |
|
|
266 |
|
|
|
266 |
|
| Chase Issuance Trust,
Ser 2014-A6, Cl A6 |
|
|
|
|
|
|
|
|
| 1.260%, 07/15/2019 |
|
|
174 |
|
|
|
174 |
|
| Citibank Credit Card Issuance Trust,
Ser 2012-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.550%, 10/10/2017 |
|
|
186 |
|
|
|
186 |
|
| Citibank Credit Card Issuance Trust,
Ser 2013-A7, Cl A7 |
|
|
|
|
|
|
|
|
| 0.584%, 09/10/2020 (A) |
|
|
1,345 |
|
|
|
1,350 |
|
| Citibank Credit Card Issuance Trust,
Ser 2014-A2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.020%, 02/22/2019 |
|
|
275 |
|
|
|
274 |
|
| Citibank Credit Card Issuance Trust,
Ser 2014-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.353%, 05/09/2018 (A) |
|
|
762 |
|
|
|
762 |
|
| Citibank Credit Card Issuance Trust,
Ser 2014-A6, Cl A6 |
|
|
|
|
|
|
|
|
| 2.150%, 07/15/2021 |
|
|
1,217 |
|
|
|
1,216 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Citibank Credit Card Issuance Trust,
Ser 2014-A8, Cl A8 |
|
|
|
|
|
|
|
|
| 1.730%, 04/09/2020 |
|
$ |
298 |
|
|
$ |
298 |
|
| Discover Card Execution Note Trust,
Ser 2014-A1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.584%, 07/15/2021 (A) |
|
|
637 |
|
|
|
638 |
|
| MBNA Credit Card Master Note Trust,
Ser 2004-A3, Cl A3 |
|
|
|
|
|
|
|
|
| 0.414%, 08/16/2021 (A) |
|
|
667 |
|
|
|
664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,005 |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Related Securities — 1.3% |
|
| ABFC Trust, Ser 2004-OPT4, Cl A2 |
|
|
|
|
|
|
|
|
| 0.775%, 04/25/2034 (A) |
|
|
91 |
|
|
|
90 |
|
| Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 |
|
|
|
|
|
|
|
|
| 1.205%, 01/25/2034 (A) |
|
|
505 |
|
|
|
491 |
|
| Aegis Asset-Backed Securities Trust,
Ser 2004-5, Cl M1 |
|
|
|
|
|
|
|
|
| 1.130%, 12/25/2034 (A) |
|
|
516 |
|
|
|
507 |
|
| Aegis Asset-Backed Securities Trust,
Ser 2004-6, Cl M1 |
|
|
|
|
|
|
|
|
| 0.695%, 03/25/2035 (A) |
|
|
161 |
|
|
|
161 |
|
| Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates,
Ser 2003-9, Cl AV1 |
|
|
|
|
|
|
|
|
| 0.915%, 09/25/2033 (A) |
|
|
199 |
|
|
|
192 |
|
| Argent Securities,
Ser 2003-W5, Cl M1 |
|
|
|
|
|
|
|
|
| 1.205%, 10/25/2033 (A) |
|
|
588 |
|
|
|
573 |
|
| Asset-Backed Funding Certificates,
Ser 2005-WMC1, Cl M1 |
|
|
|
|
|
|
|
|
| 0.815%, 06/25/2035 (A) |
|
|
449 |
|
|
|
442 |
|
| Bear Stearns Asset-Backed Securities I Trust, Ser 2004-BO1, Cl M5 |
|
|
|
|
|
|
|
|
| 1.555%, 10/25/2034 (A) |
|
|
360 |
|
|
|
352 |
|
| Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE10, Cl M1 |
|
|
|
|
|
|
|
|
| 1.130%, 12/25/2034 (A) |
|
|
429 |
|
|
|
403 |
|
| Bear Stearns Asset-Backed Securities I Trust, Ser 2005-TC2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.525%, 08/25/2035 (A) |
|
|
380 |
|
|
|
377 |
|
| Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 |
|
|
|
|
|
|
|
|
| 0.555%, 08/25/2043 (A) |
|
|
497 |
|
|
|
490 |
|
| Bear Stearns Asset-Backed Securities Trust,
Ser 2006-1, Cl A |
|
|
|
|
|
|
|
|
| 0.435%, 02/25/2036 (A) |
|
|
321 |
|
|
|
318 |
|
| BNC Mortgage Loan Trust,
Ser 2008-4, Cl A3A |
|
|
|
|
|
|
|
|
| 0.405%, 11/25/2037 (A) |
|
|
83 |
|
|
|
83 |
|
| Citifinancial Mortgage Securities,
Ser 2004-1, Cl AF4 |
|
|
|
|
|
|
|
|
| 4.570%, 04/25/2034 |
|
|
370 |
|
|
|
384 |
|
|
|
|
| 148 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Contimortgage Home Equity Trust,
Ser 1997-2, Cl A9 |
|
|
|
|
|
|
|
|
| 7.090%, 04/15/2028 |
|
$ |
— |
|
|
$ |
— |
|
| HSBC Home Equity Loan Trust,
Ser 2006-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.314%, 01/20/2036 (A) |
|
|
787 |
|
|
|
782 |
|
| HSBC Home Equity Loan Trust,
Ser 2006-2, Cl A1 |
|
|
|
|
|
|
|
|
| 0.304%, 03/20/2036 (A) |
|
|
49 |
|
|
|
48 |
|
| HSBC Home Equity Loan Trust,
Ser 2007-1, Cl AS |
|
|
|
|
|
|
|
|
| 0.354%, 03/20/2036 (A) |
|
|
53 |
|
|
|
52 |
|
| HSBC Home Equity Loan Trust,
Ser 2007-1, Cl M2 |
|
|
|
|
|
|
|
|
| 0.634%, 03/20/2036 (A) |
|
|
2,000 |
|
|
|
1,881 |
|
| HSBC Home Equity Loan Trust,
Ser 2007-3, Cl APT |
|
|
|
|
|
|
|
|
| 1.354%, 11/20/2036 (A) |
|
|
455 |
|
|
|
455 |
|
| Lake Country Mortgage Loan Trust,
Ser 2006-HE1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.505%, 07/25/2034 (A) (B) |
|
|
30 |
|
|
|
30 |
|
| Master Asset-Backed Securities Trust,
Ser 2005-OPT1, Cl M1 |
|
|
|
|
|
|
|
|
| 0.755%, 03/25/2035 (A) |
|
|
791 |
|
|
|
792 |
|
| Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl ASB |
|
|
|
|
|
|
|
|
| 5.022%, 07/12/2038 (A) |
|
|
208 |
|
|
|
209 |
|
| Morgan Stanley ABS Capital I Trust,
Ser 2005-HE5, Cl M1 |
|
|
|
|
|
|
|
|
| 0.575%, 09/25/2035 (A) |
|
|
600 |
|
|
|
587 |
|
| Morgan Stanley ABS Capital I Trust,
Ser 2005-HE6, Cl A2C |
|
|
|
|
|
|
|
|
| 0.475%, 11/25/2035 (A) |
|
|
570 |
|
|
|
556 |
|
| New Century Home Equity Loan Trust,
Ser 2003-A, Cl A |
|
|
|
|
|
|
|
|
| 0.875%, 10/25/2033 (A) (B) |
|
|
190 |
|
|
|
179 |
|
| New Century Home Equity Loan Trust,
Ser 2005-3, Cl M1 |
|
|
|
|
|
|
|
|
| 0.635%, 07/25/2035 (A) |
|
|
809 |
|
|
|
805 |
|
| New Century Home Equity Loan Trust,
Ser 2005-4, Cl A2C |
|
|
|
|
|
|
|
|
| 0.525%, 09/25/2035 (A) |
|
|
1,010 |
|
|
|
1,002 |
|
| Normandy Mortgage Loan Trust,
Ser 2013-NPL3, Cl A |
|
|
|
|
|
|
|
|
| 4.949%, 09/16/2043 (B) |
|
|
562 |
|
|
|
561 |
|
| NovaStar Mortgage Funding Trust,
Ser 2004-4, Cl M4 |
|
|
|
|
|
|
|
|
| 1.805%, 03/25/2035 (A) |
|
|
520 |
|
|
|
510 |
|
| RMAT, Ser 2012-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 2.734%, 08/26/2052 (A) (B) |
|
|
19 |
|
|
|
19 |
|
| Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A |
|
|
|
|
|
|
|
|
| 3.950%, 04/25/2032 (B) |
|
|
49 |
|
|
|
48 |
|
| Saxon Asset Securities Trust,
Ser 2003-1, Cl AF6 |
|
|
|
|
|
|
|
|
| 4.795%, 06/25/2033 |
|
|
43 |
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Structured Asset Securities,
Ser 2002-AL1, Cl A2 |
|
|
|
|
|
|
|
|
| 3.450%, 02/25/2032 |
|
$ |
61 |
|
|
$ |
61 |
|
| Structured Asset Securities,
Ser 2005-NC1, Cl A11 |
|
|
|
|
|
|
|
|
| 4.605%, 02/25/2035 |
|
|
76 |
|
|
|
76 |
|
| Truman Capital Mortgage Loan Trust,
Ser 2014-NPL1, Cl A1 |
|
|
|
|
|
|
|
|
| 3.228%, 07/25/2053 (D) |
|
|
241 |
|
|
|
241 |
|
| Truman Capital Mortgage Loan Trust,
Ser 2014-NPL2, Cl A1 |
|
|
|
|
|
|
|
|
| 3.250%, 06/25/2054 (D) |
|
|
207 |
|
|
|
207 |
|
| Truman Capital Mortgage Loan Trust,
Ser 2014-NPL3, Cl A1 |
|
|
|
|
|
|
|
|
| 3.250%, 04/25/2053 (D) |
|
|
207 |
|
|
|
207 |
|
| Wells Fargo Home Equity Trust,
Ser 2004-2, Cl AI6 |
|
|
|
|
|
|
|
|
| 5.000%, 10/25/2034 (A) |
|
|
239 |
|
|
|
241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,456 |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 5.6% |
|
|
|
|
|
| Academic Loan Funding Trust,
Ser 2012-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.955%, 12/27/2022 (A) (B) |
|
|
92 |
|
|
|
93 |
|
| Academic Loan Funding Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.956%, 12/26/2044 (A) (B) |
|
|
225 |
|
|
|
225 |
|
| Access Group, Ser 2004-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.424%, 10/25/2024 (A) |
|
|
400 |
|
|
|
374 |
|
| Airspeed, Ser 2007-1A, Cl G2 |
|
|
|
|
|
|
|
|
| 0.434%, 06/15/2032 (A) (B) |
|
|
457 |
|
|
|
392 |
|
| Ally Master Owner Trust,
Ser 2012-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.440%, 02/15/2017 |
|
|
625 |
|
|
|
627 |
|
| Ally Master Owner Trust,
Ser 2012-5, Cl A |
|
|
|
|
|
|
|
|
| 1.540%, 09/15/2019 |
|
|
795 |
|
|
|
790 |
|
| Ally Master Owner Trust,
Ser 2014-4, Cl A2 |
|
|
|
|
|
|
|
|
| 1.430%, 06/17/2019 |
|
|
1,328 |
|
|
|
1,323 |
|
| ALM VII, Ser 2012-7A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.654%, 10/19/2024 (A) (B) |
|
|
450 |
|
|
|
449 |
|
| Ascentium Equipment Receivables,
Ser 2012-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.830%, 09/15/2019 (B) |
|
|
17 |
|
|
|
17 |
|
| AXIS Equipment Finance Receivables II, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.750%, 03/20/2017 (B) |
|
|
117 |
|
|
|
117 |
|
| Brazos Higher Education Authority,
Ser 2010-1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.438%, 02/25/2035 (A) |
|
|
850 |
|
|
|
879 |
|
| Brazos Higher Education Authority,
Ser 2011-2, Cl A3 |
|
|
|
|
|
|
|
|
| 1.234%, 10/27/2036 (A) |
|
|
400 |
|
|
|
406 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
149 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| BXG Receivables Note Trust,
Ser 2012-A, Cl A |
|
|
|
|
|
|
|
|
| 2.660%, 12/02/2027 (B) |
|
$ |
52 |
|
|
$ |
52 |
|
| Carlyle Global Market Strategies Commodities Funding,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 4.076%, 10/15/2021 (A) (B) |
|
|
250 |
|
|
|
250 |
|
| Chase Funding Mortgage Loan Asset-Backed Certificates,
Ser 2003-6, Cl 1A4 |
|
|
|
|
|
|
|
|
| 4.499%, 11/25/2034 |
|
|
11 |
|
|
|
11 |
|
| Chase Funding Mortgage Loan Asset-Backed Certificates,
Ser 2003-6, Cl 1A5 |
|
|
|
|
|
|
|
|
| 5.291%, 11/25/2034 |
|
|
125 |
|
|
|
129 |
|
| CIT Education Loan Trust,
Ser 2007-1, Cl A |
|
|
|
|
|
|
|
|
| 0.324%, 03/25/2042 (A) (B) |
|
|
656 |
|
|
|
627 |
|
| CNH Equipment Trust,
Ser 2013-C, Cl A2 |
|
|
|
|
|
|
|
|
| 0.630%, 01/17/2017 |
|
|
161 |
|
|
|
161 |
|
| CNH Equipment Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.490%, 06/15/2017 |
|
|
210 |
|
|
|
210 |
|
| Concord Funding, Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
| 3.145%, 01/15/2017 (B) |
|
|
200 |
|
|
|
200 |
|
| Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A |
|
|
|
|
|
|
|
|
| 0.655%, 10/25/2034 (A) |
|
|
614 |
|
|
|
577 |
|
| Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 |
|
|
|
|
|
|
|
|
| 0.695%, 12/25/2034 (A) |
|
|
511 |
|
|
|
484 |
|
| Countrywide Home Equity Loan Trust,
Ser 2006-F, Cl 2A1A |
|
|
|
|
|
|
|
|
| 0.294%, 07/15/2036 (A) |
|
|
109 |
|
|
|
98 |
|
| Cronos Containers Program,
Ser 2012-2A, Cl A |
|
|
|
|
|
|
|
|
| 3.810%, 09/18/2027 (B) |
|
|
160 |
|
|
|
160 |
|
| CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A |
|
|
|
|
|
|
|
|
| 0.344%, 11/15/2035 (A) |
|
|
553 |
|
|
|
500 |
|
| Educational Funding of the South,
Ser 2011-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.884%, 04/25/2035 (A) |
|
|
460 |
|
|
|
461 |
|
| FFMLT Trust, Ser 2005-FF4, Cl M1 |
|
|
|
|
|
|
|
|
| 0.585%, 05/25/2035 (A) |
|
|
495 |
|
|
|
492 |
|
| FFMLT Trust, Ser 2005-FF8, Cl A2D |
|
|
|
|
|
|
|
|
| 0.535%, 09/25/2035 (A) |
|
|
416 |
|
|
|
414 |
|
| First Franklin Mortgage Loan Asset-Backed Certificates,
Ser 2004-FF5, Cl A3C |
|
|
|
|
|
|
|
|
| 1.155%, 08/25/2034 (A) |
|
|
1,160 |
|
|
|
1,068 |
|
| FNDUS |
|
|
|
|
|
|
|
|
| 3.235%, 10/31/2026 |
|
|
500 |
|
|
|
500 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ford Credit Auto Owner Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 2.260%, 11/15/2025 (B) |
|
$ |
610 |
|
|
$ |
610 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2012-2, Cl A |
|
|
|
|
|
|
|
|
| 1.920%, 01/15/2019 |
|
|
539 |
|
|
|
548 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.534%, 01/15/2018 (A) |
|
|
112 |
|
|
|
112 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2013-5, Cl A1 |
|
|
|
|
|
|
|
|
| 1.500%, 09/15/2018 |
|
|
275 |
|
|
|
278 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
| 1.200%, 02/15/2019 |
|
|
387 |
|
|
|
386 |
|
| Ford Credit Floorplan Master Owner Trust,
Ser 2014-4, Cl A1 |
|
|
|
|
|
|
|
|
| 1.400%, 08/15/2019 |
|
|
640 |
|
|
|
637 |
|
| GCAT, Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
| 3.228%, 07/31/2019 (A) |
|
|
252 |
|
|
|
252 |
|
| Global SC Finance II SRL,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 3.090%, 07/17/2024 (B) |
|
|
585 |
|
|
|
578 |
|
| GMAT Trust, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 3.967%, 11/25/2043 (B) |
|
|
216 |
|
|
|
217 |
|
| GMAT Trust, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 3.721%, 02/25/2044 (B) |
|
|
93 |
|
|
|
94 |
|
| GSAMP Trust, Ser 2005-HE4, Cl M1 |
|
|
|
|
|
|
|
|
| 0.602%, 07/25/2045 (A) |
|
|
929 |
|
|
|
927 |
|
| Higher Education Funding I,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
| 1.288%, 05/25/2034 (A) (B) |
|
|
490 |
|
|
|
486 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2012-T2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.990%, 10/15/2045 (B) |
|
|
146 |
|
|
|
147 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2013-T1, Cl A2 |
|
|
|
|
|
|
|
|
| 1.495%, 01/16/2046 (B) |
|
|
150 |
|
|
|
150 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2013-T7, Cl AT7 |
|
|
|
|
|
|
|
|
| 1.981%, 11/15/2046 (B) |
|
|
586 |
|
|
|
587 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2014-T1, Cl AT1 |
|
|
|
|
|
|
|
|
| 1.244%, 01/17/2045 (B) |
|
|
100 |
|
|
|
100 |
|
| HLSS Servicer Advance Receivables Trust,
Ser 2014-T2, Cl AT2 |
|
|
|
|
|
|
|
|
| 2.217%, 01/15/2047 (B) |
|
|
111 |
|
|
|
112 |
|
| ING Investment Management,
Ser 2012-4A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.624%, 10/15/2023 (A) (B) |
|
|
450 |
|
|
|
449 |
|
| JGWPT XXX LLC, Ser 2013-3A, Cl A |
|
|
|
|
|
|
|
|
| 4.080%, 01/17/2073 (B) |
|
|
317 |
|
|
|
329 |
|
| JGWPT XXXI LLC, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 3.960%, 03/15/2063 (B) |
|
|
297 |
|
|
|
306 |
|
|
|
|
| 150 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| JGWPT XXXII, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
| 3.610%, 01/17/2073 (B) |
|
$ |
410 |
|
|
$ |
408 |
|
| JPMorgan Chase Acquisition,
Ser 2005-OPT1, Cl M1 |
|
|
|
|
|
|
|
|
| 0.605%, 06/25/2035 (A) |
|
|
979 |
|
|
|
971 |
|
| Kondaur Mortgage Asset Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 4.458%, 08/25/2052 (A) (B) |
|
|
46 |
|
|
|
46 |
|
| Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 |
|
|
|
|
|
|
|
|
| 5.270%, 04/15/2040 |
|
|
339 |
|
|
|
363 |
|
| Macquarie Equipment Funding Trust,
Ser 2012-A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.610%, 04/20/2015 (B) |
|
|
8 |
|
|
|
8 |
|
| Madison Avenue Manufactured Housing Contract,
Ser 2002-A, Cl M2 |
|
|
|
|
|
|
|
|
| 2.405%, 03/25/2032 (A) |
|
|
110 |
|
|
|
109 |
|
| Mid-State Trust, Ser 2003-11, Cl A1 |
|
|
|
|
|
|
|
|
| 4.864%, 07/15/2038 |
|
|
851 |
|
|
|
907 |
|
| Nationstar Agency Advance Funding Trust, Ser 2013-T1A, Cl AT1 |
|
|
|
|
|
|
|
|
| 0.997%, 02/15/2045 (B) |
|
|
200 |
|
|
|
200 |
|
| Navient Student Loan Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.465%, 03/27/2023 (A) |
|
|
312 |
|
|
|
312 |
|
| Navient Student Loan Trust,
Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.665%, 06/25/2031 (A) |
|
|
1,005 |
|
|
|
1,005 |
|
| Navient Student Loan Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
| 0.797%, 03/25/2043 (A) |
|
|
1,030 |
|
|
|
1,030 |
|
| Navient Student Loan Trust,
Ser 2014-3, Cl A |
|
|
|
|
|
|
|
|
| 0.777%, 02/25/2043 (A) |
|
|
1,030 |
|
|
|
1,030 |
|
| Navient Student Loan Trust,
Ser 2014-4, Cl A |
|
|
|
|
|
|
|
|
| 0.777%, 03/25/2043 (A) |
|
|
600 |
|
|
|
600 |
|
| Navitas Equipment Receivables,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
| 1.950%, 11/15/2016 (B) |
|
|
70 |
|
|
|
70 |
|
| Nelnet Student Loan Trust,
Ser 2004-3, Cl A5 |
|
|
|
|
|
|
|
|
| 0.414%, 10/27/2036 (A) |
|
|
478 |
|
|
|
474 |
|
| Nelnet Student Loan Trust,
Ser 2005-1, Cl A5 |
|
|
|
|
|
|
|
|
| 0.344%, 10/25/2033 (A) |
|
|
311 |
|
|
|
306 |
|
| Nelnet Student Loan Trust,
Ser 2005-2, Cl A5 |
|
|
|
|
|
|
|
|
| 0.333%, 03/23/2037 (A) |
|
|
100 |
|
|
|
98 |
|
| Nelnet Student Loan Trust,
Ser 2006-1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.325%, 11/23/2022 (A) |
|
|
165 |
|
|
|
165 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Nelnet Student Loan Trust,
Ser 2006-2, Cl A4 |
|
|
|
|
|
|
|
|
| 0.314%, 10/26/2026 (A) |
|
$ |
563 |
|
|
$ |
562 |
|
| Nelnet Student Loan Trust,
Ser 2007-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.245%, 11/27/2018 (A) |
|
|
68 |
|
|
|
68 |
|
| Nelnet Student Loan Trust,
Ser 2007-2A, Cl A3L |
|
|
|
|
|
|
|
|
| 0.584%, 03/25/2026 (A) (B) |
|
|
1,201 |
|
|
|
1,193 |
|
| Nelnet Student Loan Trust,
Ser 2010-4A, Cl A |
|
|
|
|
|
|
|
|
| 0.955%, 04/25/2046 (A) (B) |
|
|
166 |
|
|
|
167 |
|
| Nelnet Student Loan Trust,
Ser 2011-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.005%, 02/25/2043 (A) (B) |
|
|
938 |
|
|
|
951 |
|
| Nelnet Student Loan Trust,
Ser 2014-3A, Cl A |
|
|
|
|
|
|
|
|
| 0.735%, 06/25/2041 (A) (B) |
|
|
738 |
|
|
|
738 |
|
| Nelnet Student Loan Trust,
Ser 2014-4A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.105%, 11/25/2043 (A) (B) |
|
|
500 |
|
|
|
500 |
|
| New Residential Advance Receivables Trust,
Ser 2014-T1, Cl A1 |
|
|
|
|
|
|
|
|
| 1.274%, 03/15/2045 (B) |
|
|
188 |
|
|
|
188 |
|
| North Carolina State Education Assistance Authority,
Ser 2011-2, Cl A2 |
|
|
|
|
|
|
|
|
| 1.034%, 07/25/2025 (A) |
|
|
450 |
|
|
|
452 |
|
| NYMT Residential,
Ser 2012-RP1A, Cl NOTE |
|
|
|
|
|
|
|
|
| 4.250%, 12/25/2017 (A) (B) |
|
|
150 |
|
|
|
150 |
|
| NYMT Residential,
Ser 2013-RP3A, Cl NOTE |
|
|
|
|
|
|
|
|
| 4.850%, 09/25/2018 (B) |
|
|
328 |
|
|
|
328 |
|
| OneMain Financial Issuance Trust,
Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
| 2.470%, 09/18/2024 (B) |
|
|
478 |
|
|
|
478 |
|
| Park Place Securities,
Ser 2004-MCW1, Cl M1 |
|
|
|
|
|
|
|
|
| 1.092%, 10/25/2034 (A) |
|
|
143 |
|
|
|
142 |
|
| Park Place Securities,
Ser 2004-MHQ1, Cl M2 |
|
|
|
|
|
|
|
|
| 1.280%, 12/25/2034 (A) |
|
|
493 |
|
|
|
494 |
|
| Park Place Securities,
Ser 2004-WCW1, Cl M2 |
|
|
|
|
|
|
|
|
| 1.175%, 09/25/2034 (A) |
|
|
793 |
|
|
|
786 |
|
| Park Place Securities,
Ser 2004-WCW2, Cl M1 |
|
|
|
|
|
|
|
|
| 1.085%, 10/25/2034 (A) |
|
|
389 |
|
|
|
389 |
|
| Residential Asset Mortgage Products,
Ser 2004-RZ1, Cl AI7 |
|
|
|
|
|
|
|
|
| 4.030%, 01/25/2033 (A) |
|
|
1 |
|
|
|
1 |
|
| Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.495%, 10/25/2035 (A) |
|
|
23 |
|
|
|
23 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
151 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3 |
|
|
|
|
|
|
|
|
| 0.455%, 03/25/2036 (A) |
|
$ |
248 |
|
|
$ |
241 |
|
| RSB Bondco LLC, Ser 2007-A, Cl A3 |
|
|
|
|
|
|
|
|
| 5.820%, 06/28/2019 |
|
|
405 |
|
|
|
442 |
|
| Scholar Funding Trust, Ser 2011-A, Cl A |
|
|
|
|
|
|
|
|
| 1.135%, 10/28/2043 (A) (B) |
|
|
356 |
|
|
|
357 |
|
| Selene Non-Performing Loans,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 2.981%, 05/25/2054 (B) |
|
|
102 |
|
|
|
101 |
|
| SLC Student Loan Trust,
Ser 2007-2, Cl A2 |
|
|
|
|
|
|
|
|
| 0.634%, 05/15/2028 (A) |
|
|
134 |
|
|
|
134 |
|
| SLM Private Education Loan Trust,
Ser 2012-A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.554%, 08/15/2025 (A) (B) |
|
|
428 |
|
|
|
433 |
|
| SLM Private Education Loan Trust,
Ser 2012-C, Cl A1 |
|
|
|
|
|
|
|
|
| 1.254%, 08/15/2023 (A) (B) |
|
|
244 |
|
|
|
245 |
|
| SLM Private Education Loan Trust,
Ser 2012-D, Cl A2 |
|
|
|
|
|
|
|
|
| 2.950%, 02/15/2046 (B) |
|
|
550 |
|
|
|
567 |
|
| SLM Private Education Loan Trust,
Ser 2012-E, Cl A1 0.904%, |
|
|
|
|
|
|
|
|
| 10/16/2023 (A) (B) |
|
|
74 |
|
|
|
74 |
|
| SLM Private Education Loan Trust,
Ser 2012-E, Cl A2B 1.904%, |
|
|
|
|
|
|
|
|
| 06/15/2045 (A) (B) |
|
|
655 |
|
|
|
676 |
|
| SLM Private Education Loan Trust,
Ser 2013-1, Cl B |
|
|
|
|
|
|
|
|
| 1.955%, 11/25/2043 (A) |
|
|
180 |
|
|
|
180 |
|
| SLM Private Education Loan Trust,
Ser 2013-A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.754%, 08/15/2022 (A) (B) |
|
|
590 |
|
|
|
591 |
|
| SLM Private Education Loan Trust,
Ser 2013-B, Cl A1 |
|
|
|
|
|
|
|
|
| 0.804%, 07/15/2022 (A) (B) |
|
|
167 |
|
|
|
167 |
|
| SLM Private Education Loan Trust,
Ser 2013-B, Cl A2A |
|
|
|
|
|
|
|
|
| 1.850%, 06/17/2030 (B) |
|
|
744 |
|
|
|
724 |
|
| SLM Private Education Loan Trust,
Ser 2013-C, Cl A1 |
|
|
|
|
|
|
|
|
| 1.004%, 02/15/2022 (A) (B) |
|
|
372 |
|
|
|
373 |
|
| SLM Student Loan Trust,
Ser 2003-11, Cl A6 |
|
|
|
|
|
|
|
|
| 0.984%, 12/15/2025 (A) (B) |
|
|
350 |
|
|
|
350 |
|
| SLM Student Loan Trust,
Ser 2004-8, Cl B |
|
|
|
|
|
|
|
|
| 0.694%, 01/25/2040 (A) |
|
|
134 |
|
|
|
122 |
|
| SLM Student Loan Trust,
Ser 2005-5, Cl A3 |
|
|
|
|
|
|
|
|
| 0.334%, 04/25/2025 (A) |
|
|
87 |
|
|
|
87 |
|
| SLM Student Loan Trust,
Ser 2005-6, Cl A5B |
|
|
|
|
|
|
|
|
| 1.434%, 07/27/2026 (A) |
|
|
212 |
|
|
|
216 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SLM Student Loan Trust,
Ser 2005-7, Cl A4 |
|
|
|
|
|
|
|
|
| 0.384%, 10/25/2029 (A) |
|
$ |
779 |
|
|
$ |
758 |
|
| SLM Student Loan Trust,
Ser 2005-9, Cl A5 |
|
|
|
|
|
|
|
|
| 0.354%, 01/27/2025 (A) |
|
|
451 |
|
|
|
451 |
|
| SLM Student Loan Trust,
Ser 2006-2, Cl A6 |
|
|
|
|
|
|
|
|
| 0.404%, 01/25/2041 (A) |
|
|
540 |
|
|
|
497 |
|
| SLM Student Loan Trust,
Ser 2006-3, Cl A5 |
|
|
|
|
|
|
|
|
| 0.334%, 01/25/2021 (A) |
|
|
531 |
|
|
|
524 |
|
| SLM Student Loan Trust,
Ser 2006-5, Cl A5 |
|
|
|
|
|
|
|
|
| 0.344%, 01/25/2027 (A) |
|
|
1,416 |
|
|
|
1,402 |
|
| SLM Student Loan Trust,
Ser 2006-7, Cl A4 |
|
|
|
|
|
|
|
|
| 0.304%, 04/25/2022 (A) |
|
|
49 |
|
|
|
49 |
|
| SLM Student Loan Trust,
Ser 2006-8, Cl A6 |
|
|
|
|
|
|
|
|
| 0.394%, 01/25/2041 (A) |
|
|
540 |
|
|
|
491 |
|
| SLM Student Loan Trust,
Ser 2007-2, Cl B |
|
|
|
|
|
|
|
|
| 0.404%, 07/25/2025 (A) |
|
|
178 |
|
|
|
161 |
|
| SLM Student Loan Trust,
Ser 2007-6, Cl B |
|
|
|
|
|
|
|
|
| 1.084%, 04/27/2043 (A) |
|
|
152 |
|
|
|
139 |
|
| SLM Student Loan Trust,
Ser 2008-2, Cl B |
|
|
|
|
|
|
|
|
| 1.434%, 01/25/2029 (A) |
|
|
160 |
|
|
|
145 |
|
| SLM Student Loan Trust,
Ser 2008-3, Cl B |
|
|
|
|
|
|
|
|
| 1.434%, 04/25/2029 (A) |
|
|
160 |
|
|
|
148 |
|
| SLM Student Loan Trust,
Ser 2008-4, Cl A4 |
|
|
|
|
|
|
|
|
| 1.884%, 07/25/2022 (A) |
|
|
1,300 |
|
|
|
1,367 |
|
| SLM Student Loan Trust,
Ser 2008-4, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 04/25/2029 (A) |
|
|
160 |
|
|
|
159 |
|
| SLM Student Loan Trust,
Ser 2008-5, Cl A3 |
|
|
|
|
|
|
|
|
| 1.534%, 01/25/2018 (A) |
|
|
153 |
|
|
|
154 |
|
| SLM Student Loan Trust,
Ser 2008-5, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
160 |
|
|
|
164 |
|
| SLM Student Loan Trust,
Ser 2008-6, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
160 |
|
|
|
160 |
|
| SLM Student Loan Trust,
Ser 2008-7, Cl B |
|
|
|
|
|
|
|
|
| 2.084%, 07/25/2029 (A) |
|
|
160 |
|
|
|
161 |
|
| SLM Student Loan Trust,
Ser 2008-8, Cl B |
|
|
|
|
|
|
|
|
| 2.484%, 10/25/2029 (A) |
|
|
160 |
|
|
|
169 |
|
|
|
|
| 152 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SLM Student Loan Trust,
Ser 2008-9, Cl B |
|
|
|
|
|
|
|
|
| 2.484%, 10/25/2029 (A) |
|
$ |
160 |
|
|
$ |
170 |
|
| SLM Student Loan Trust,
Ser 2010-1, Cl A |
|
|
|
|
|
|
|
|
| 0.555%, 03/25/2025 (A) |
|
|
325 |
|
|
|
325 |
|
| SLM Student Loan Trust,
Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
| 0.805%, 12/26/2025 (A) |
|
|
941 |
|
|
|
948 |
|
| SLM Student Loan Trust,
Ser 2012-6, Cl B |
|
|
|
|
|
|
|
|
| 1.155%, 04/27/2043 (A) |
|
|
249 |
|
|
|
232 |
|
| SLM Student Loan Trust,
Ser 2013-2, Cl B |
|
|
|
|
|
|
|
|
| 1.655%, 06/25/2043 (A) |
|
|
128 |
|
|
|
125 |
|
| SLM Student Loan Trust,
Ser 2013-3, Cl A2 |
|
|
|
|
|
|
|
|
| 0.455%, 05/26/2020 (A) |
|
|
287 |
|
|
|
287 |
|
| SLM Student Loan Trust,
Ser 2013-3, Cl B |
|
|
|
|
|
|
|
|
| 1.655%, 09/25/2043 (A) |
|
|
136 |
|
|
|
133 |
|
| SLM Student Loan Trust,
Ser 2013-4, Cl A |
|
|
|
|
|
|
|
|
| 0.705%, 06/25/2027 (A) |
|
|
396 |
|
|
|
396 |
|
| SLM Student Loan Trust,
Ser 2013-5, Cl A2 |
|
|
|
|
|
|
|
|
| 0.555%, 10/26/2020 (A) |
|
|
228 |
|
|
|
229 |
|
| SLM Student Loan Trust,
Ser 2013-6, Cl A2 |
|
|
|
|
|
|
|
|
| 0.655%, 02/25/2021 (A) |
|
|
125 |
|
|
|
125 |
|
| SLM Student Loan Trust,
Ser 2013-6, Cl A3 |
|
|
|
|
|
|
|
|
| 0.805%, 06/26/2028 (A) |
|
|
532 |
|
|
|
530 |
|
| SLM Student Loan Trust,
Ser 2013-C, Cl A2A |
|
|
|
|
|
|
|
|
| 2.940%, 10/15/2031 (B) |
|
|
129 |
|
|
|
132 |
|
| SLM Student Loan Trust,
Ser 2013-M1, Cl M1 |
|
|
|
|
|
|
|
|
| 3.500%, 10/28/2029 (B) |
|
|
668 |
|
|
|
661 |
|
| SLM Student Loan Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 0.535%, 07/26/2021 (A) |
|
|
208 |
|
|
|
208 |
|
| SLM Student Loan Trust,
Ser 2014-2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.745%, 03/26/2029 (A) |
|
|
448 |
|
|
|
450 |
|
| SLM Student Loan Trust,
Ser 2014-A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.755%, 07/15/2022 (A) (B) |
|
|
175 |
|
|
|
175 |
|
| SLM Student Loan Trust,
Ser 2014-A, Cl A2A |
|
|
|
|
|
|
|
|
| 2.590%, 01/15/2026 (B) |
|
|
225 |
|
|
|
226 |
|
| Springleaf Funding Trust,
Ser 2013-AA, Cl A |
|
|
|
|
|
|
|
|
| 2.580%, 09/15/2021 (B) |
|
|
600 |
|
|
|
604 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Springleaf Funding Trust,
Ser 2013-BA, Cl A |
|
|
|
|
|
|
|
|
| 3.920%, 01/16/2023 (B) |
|
$ |
250 |
|
|
$ |
256 |
|
| Springleaf Funding Trust,
Ser 2014-AA, Cl A |
|
|
|
|
|
|
|
|
| 2.680%, 05/25/2023 |
|
|
750 |
|
|
|
750 |
|
| 2.410%, 12/15/2022 (B) |
|
|
467 |
|
|
|
466 |
|
| Springleaf Funding Trust,
Ser 2014-AA, Cl B |
|
|
|
|
|
|
|
|
| 4.590%, 10/25/2027 |
|
|
125 |
|
|
|
125 |
|
| Stanwich Mortgage Loan Trust,
Ser 2012-NPL4, Cl A |
|
|
|
|
|
|
|
|
| 2.981%, 09/15/2042 (B) |
|
|
29 |
|
|
|
29 |
|
| Stanwich Mortgage Loan Trust,
Ser 2013-NPL1, Cl A |
|
|
|
|
|
|
|
|
| 2.981%, 02/16/2043 (B) |
|
|
100 |
|
|
|
101 |
|
| Stanwich Mortgage Loan Trust,
Ser 2013-NPL2, Cl A |
|
|
|
|
|
|
|
|
| 3.228%, 04/16/2059 (B) |
|
|
196 |
|
|
|
196 |
|
| Structured Asset Securities,
Ser 2005-WF2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.755%, 05/25/2035 (A) |
|
|
863 |
|
|
|
862 |
|
| Structured Asset Securities,
Ser 2006-WF2, Cl A3 |
|
|
|
|
|
|
|
|
| 0.305%, 07/25/2036 (A) |
|
|
422 |
|
|
|
420 |
|
| TAL Advantage, Ser 2006-1A, Cl N |
|
|
|
|
|
|
|
|
| 0.346%, 04/20/2021 (A) (B) |
|
|
166 |
|
|
|
165 |
|
| Trade Maps, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 0.854%, 12/10/2018 (A) (B) |
|
|
737 |
|
|
|
739 |
|
| Trafigura Securitisation Finance,
Ser 2012-1A, Cl A |
|
|
|
|
|
|
|
|
| 2.554%, 10/15/2015 (A) (B) |
|
|
137 |
|
|
|
138 |
|
| US Residential Opportunity Fund Trust, Ser 2014-1A, Cl NOTE |
|
|
|
|
|
|
|
|
| 3.466%, 03/25/2034 (B) |
|
|
90 |
|
|
|
91 |
|
| Vericrest Opportunity Loan Transferee, Ser 2014-3A, Cl A1 |
|
|
|
|
|
|
|
|
| 3.250%, 05/25/2054 |
|
|
154 |
|
|
|
155 |
|
| Vericrest Opportunity Loan Transferee, Ser 2014-NPL4, Cl A1 |
|
|
|
|
|
|
|
|
| 3.125%, 04/27/2054 |
|
|
597 |
|
|
|
597 |
|
| VOLT, Ser 2013-NPL3, Cl A1 |
|
|
|
|
|
|
|
|
| 4.250%, 04/25/2053 (B) |
|
|
148 |
|
|
|
148 |
|
| VOLT, Ser 2013-NPL5, Cl A1 |
|
|
|
|
|
|
|
|
| 3.625%, 04/25/2055 |
|
|
94 |
|
|
|
95 |
|
| VOLT, Ser 2013-NPL6, Cl A1 |
|
|
|
|
|
|
|
|
| 3.625%, 03/25/2054 (B) |
|
|
158 |
|
|
|
159 |
|
| VOLT, Ser 2014-NPL1, Cl A1 |
|
|
|
|
|
|
|
|
| 3.625%, 10/27/2053 |
|
|
197 |
|
|
|
197 |
|
| VOLT, Ser 2014-NPL2, Cl A1 |
|
|
|
|
|
|
|
|
| 3.625%, 11/25/2053 (B) |
|
|
199 |
|
|
|
199 |
|
| VOLT, Ser 2014-NPL3, Cl A1 |
|
|
|
|
|
|
|
|
| 3.250%, 11/25/2053 (B) |
|
|
356 |
|
|
|
357 |
|
| VOLT, Ser 2014-NPL5, Cl A1 |
|
|
|
|
|
|
|
|
| 3.228%, 09/25/2058 |
|
|
304 |
|
|
|
303 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
153 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| VOLT, Ser 2014-NPL6, Cl A1 |
|
|
|
|
|
|
|
|
| 3.125%, 09/25/2043 |
|
$ |
296 |
|
|
$ |
296 |
|
| VOLT, Ser 2014-NPL6, Cl A2 |
|
|
|
|
|
|
|
|
| 4.250%, 09/25/2043 |
|
|
100 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,180 |
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $104,120) ($ Thousands) |
|
|
|
|
|
|
106,103 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.9% |
|
| FHLB |
|
|
|
|
|
|
|
|
| 5.500%, 07/15/2036 |
|
|
300 |
|
|
|
389 |
|
| 0.875%, 05/24/2017 |
|
|
10 |
|
|
|
10 |
|
| 0.750%, 05/26/2015 (D) |
|
|
950 |
|
|
|
942 |
|
| 0.069%, 10/29/2014 (E) |
|
|
4,930 |
|
|
|
4,930 |
|
| 0.065%, 11/28/2014 (E) |
|
|
1,095 |
|
|
|
1,095 |
|
| 0.060%, 11/24/2014 (E) |
|
|
2,260 |
|
|
|
2,260 |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 2.375%, 01/13/2022 |
|
|
1,500 |
|
|
|
1,491 |
|
| 0.160%, 11/17/2014 (E) |
|
|
5,000 |
|
|
|
5,000 |
|
| FICO STRIPS, PO |
|
|
|
|
|
|
|
|
| 9.800%, 11/30/2017 |
|
|
875 |
|
|
|
1,100 |
|
| 9.700%, 04/05/2019 |
|
|
320 |
|
|
|
429 |
|
| 8.600%, 09/26/2019 |
|
|
845 |
|
|
|
1,106 |
|
| 3.582%, 12/06/2017 (E) |
|
|
660 |
|
|
|
629 |
|
| 1.621%, 10/06/2017 (E) |
|
|
360 |
|
|
|
345 |
|
| 0.000%, 05/11/2018 to 09/26/2019 |
|
|
2,225 |
|
|
|
2,067 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 5.375%, 06/12/2017 |
|
|
50 |
|
|
|
56 |
|
| 3.886%, 06/01/2017 (E) |
|
|
600 |
|
|
|
581 |
|
| 3.389%, 03/25/2024 |
|
|
286 |
|
|
|
295 |
|
| 2.625%, 09/06/2024 |
|
|
303 |
|
|
|
298 |
|
| 2.140%, 10/09/2019 (E) |
|
|
4,270 |
|
|
|
3,787 |
|
| Resolution Funding STRIPS (E) |
|
|
|
|
|
|
|
|
| 2.243%, 07/15/2020 |
|
|
2,915 |
|
|
|
2,555 |
|
| 1.809%, 10/15/2019 |
|
|
200 |
|
|
|
180 |
|
| Tennessee Valley Authority |
|
|
|
|
|
|
|
|
| 5.880%, 04/01/2036 |
|
|
250 |
|
|
|
326 |
|
| 5.250%, 09/15/2039 |
|
|
390 |
|
|
|
474 |
|
| 4.625%, 09/15/2060 |
|
|
60 |
|
|
|
65 |
|
| 2.875%, 09/15/2024 |
|
|
835 |
|
|
|
829 |
|
| 1.750%, 10/15/2018 |
|
|
83 |
|
|
|
83 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Agency Obligations
(Cost $31,110) ($ Thousands) |
|
|
|
31,322 |
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 1.4% |
|
|
|
|
|
| Colombia Government International Bond |
|
|
|
|
|
|
|
|
| 5.625%, 02/26/2044 |
|
|
1,070 |
|
|
|
1,177 |
|
| Fed Republic of Brazil |
|
|
|
|
|
|
|
|
| 4.250%, 01/07/2025 |
|
|
200 |
|
|
|
198 |
|
| Indonesia Government International Bond |
|
|
|
|
|
|
|
|
| 3.750%, 04/25/2022 (B) |
|
|
470 |
|
|
|
453 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Israel Government AID Bond |
|
|
|
|
|
|
|
|
| 2.547%, 11/15/2019 (E) |
|
$ |
500 |
|
|
$ |
446 |
|
| Kommunalbanken |
|
|
|
|
|
|
|
|
| 1.125%, 05/23/2018 (B) |
|
|
940 |
|
|
|
926 |
|
| Mexico Government International Bond MTN |
|
|
|
|
|
|
|
|
| 5.750%, 10/12/2110 |
|
|
694 |
|
|
|
717 |
|
| 5.550%, 01/21/2045 |
|
|
3,332 |
|
|
|
3,702 |
|
| 4.750%, 03/08/2044 |
|
|
60 |
|
|
|
59 |
|
| 4.000%, 10/02/2023 |
|
|
144 |
|
|
|
149 |
|
| 3.500%, 01/21/2021 |
|
|
195 |
|
|
|
198 |
|
| Poland Government International Bond |
|
|
|
|
|
|
|
|
| 4.000%, 01/22/2024 |
|
|
1,666 |
|
|
|
1,712 |
|
| Province of Manitoba Canada |
|
|
|
|
|
|
|
|
| 3.050%, 05/14/2024 |
|
|
225 |
|
|
|
227 |
|
| Province of Quebec Canada |
|
|
|
|
|
|
|
|
| 6.350%, 01/30/2026 |
|
|
70 |
|
|
|
88 |
|
| 2.625%, 02/13/2023 |
|
|
620 |
|
|
|
608 |
|
| Russia Government International Bond |
|
|
|
|
|
|
|
|
| 7.500%, 03/31/2030 (B) |
|
|
796 |
|
|
|
892 |
|
| Slovakia Government International Bond |
|
|
|
|
|
|
|
|
| 4.375%, 05/21/2022 (B) |
|
|
680 |
|
|
|
725 |
|
| Slovenia Government International Bond (B) |
|
|
|
|
|
|
|
|
| 5.850%, 05/10/2023 |
|
|
200 |
|
|
|
222 |
|
| 5.500%, 10/26/2022 |
|
|
420 |
|
|
|
456 |
|
| 5.250%, 02/18/2024 |
|
|
415 |
|
|
|
442 |
|
| South Africa Government International Bond |
|
|
|
|
|
|
|
|
| 5.875%, 09/16/2025 |
|
|
750 |
|
|
|
825 |
|
| Tunisia Government AID Bonds |
|
|
|
|
|
|
|
|
| 2.452%, 07/24/2021 |
|
|
385 |
|
|
|
384 |
|
| Turkey Government International Bond |
|
|
|
|
|
|
|
|
| 6.250%, 09/26/2022 |
|
|
450 |
|
|
|
495 |
|
| 5.750%, 03/22/2024 |
|
|
580 |
|
|
|
616 |
|
| United Mexican States MTN |
|
|
|
|
|
|
|
|
| 6.050%, 01/11/2040 |
|
|
100 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt
(Cost $15,171) ($ Thousands) |
|
|
|
|
|
|
15,835 |
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 0.6% |
|
| American Municipal Power, Build America Project, RB |
|
|
|
|
|
|
|
|
| 7.499%, 02/15/2050 |
|
|
80 |
|
|
|
113 |
|
| California State, Build America Project, GO |
|
|
|
|
|
|
|
|
| 7.600%, 11/01/2040 |
|
|
235 |
|
|
|
347 |
|
| 6.650%, 03/01/2022 |
|
|
250 |
|
|
|
309 |
|
| California State, GO |
|
|
|
|
|
|
|
|
| 6.200%, 03/01/2019 |
|
|
300 |
|
|
|
351 |
|
| Chicago, Ser B, GO |
|
|
|
|
|
|
|
|
| 6.314%, 01/01/2044 |
|
|
380 |
|
|
|
388 |
|
|
|
|
| 154 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Clark County, Airport System Revenue, Build America Project,
Ser C, RB |
|
|
|
|
|
|
|
|
| 6.820%, 07/01/2045 |
|
$ |
260 |
|
|
$ |
358 |
|
| Houston, Ser A, GO |
|
|
|
|
|
|
|
|
| 6.290%, 03/01/2032 |
|
|
470 |
|
|
|
583 |
|
| Illinois State, GO |
|
|
|
|
|
|
|
|
| 5.877%, 03/01/2019 |
|
|
120 |
|
|
|
133 |
|
| 5.100%, 06/01/2033 |
|
|
535 |
|
|
|
519 |
|
| 4.950%, 06/01/2023 |
|
|
650 |
|
|
|
674 |
|
| 4.350%, 06/01/2018 |
|
|
475 |
|
|
|
495 |
|
| Los Angeles, Community College District, Build America Project, GO |
|
|
|
|
|
|
|
|
| 6.750%, 08/01/2049 |
|
|
270 |
|
|
|
386 |
|
| Los Angeles, Department of Airports, Build America Project, RB |
|
|
|
|
|
|
|
|
| 6.582%, 05/15/2039 |
|
|
25 |
|
|
|
32 |
|
| New Jersey State, Turnpike Authority, Build America Project, Ser C, RB |
|
|
|
|
|
|
|
|
| 7.102%, 01/01/2041 |
|
|
345 |
|
|
|
478 |
|
| New York and New Jersey, Port Authority, RB |
|
|
|
|
|
|
|
|
| 5.647%, 11/01/2040 |
|
|
105 |
|
|
|
127 |
|
| 4.458%, 10/01/2062 |
|
|
365 |
|
|
|
364 |
|
| North Texas, Tollway Authority, Build America Project, Ser B, RB |
|
|
|
|
|
|
|
|
| 6.718%, 01/01/2049 |
|
|
311 |
|
|
|
429 |
|
| Ohio State University, Ser A, RB |
|
|
|
|
|
|
|
|
| 4.800%, 06/01/2111 |
|
|
266 |
|
|
|
276 |
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $5,596) ($ Thousands) |
|
|
|
|
|
|
6,362 |
|
|
|
|
|
|
|
|
|
|
|
| COLLATERALIZED DEBT OBLIGATIONS — 0.3% |
|
|
| Other Asset-Backed Securities — 0.3% |
|
| AMMC CLO XIV, Ser 2014-14A, Cl A1L |
|
|
|
|
|
|
|
|
| 1.680%, 07/27/2026 (A) (B) |
|
|
500 |
|
|
|
500 |
|
| Cent CLO, Ser 2013-18A, Cl A |
|
|
|
|
|
|
|
|
| 1.353%, 07/23/2025 (A) (B) |
|
|
500 |
|
|
|
492 |
|
| Eaton Vance CLO, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
| 1.685%, 07/15/2026 (A) (B) |
|
|
200 |
|
|
|
200 |
|
| Flatiron CLO, Ser 2014-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.607%, 07/17/2026 (A) (B) |
|
|
500 |
|
|
|
497 |
|
| ING Investment Management CLO, Ser 2014-1A,
Cl A1 |
|
|
|
|
|
|
|
|
| 1.769%, 04/18/2026 (A) (B) |
|
|
540 |
|
|
|
540 |
|
| OHA Credit Partners VII,
Ser 2012-7A, Cl A |
|
|
|
|
|
|
|
|
| 1.649%, 11/20/2023 (A) (B) |
|
|
450 |
|
|
|
449 |
|
| Voya CLO, Ser 2014-2A, Cl A1 |
|
|
|
|
|
|
|
|
| 1.673%, 07/17/2026 (A) (B) |
|
|
500 |
|
|
|
500 |
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations
(Cost $3,182) ($ Thousands) |
|
|
|
|
|
|
3,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 30.7% |
|
| U.S. Treasury Bills (E) |
|
|
|
|
|
|
|
|
| 0.027%, 11/06/2014 |
|
$ |
40 |
|
|
$ |
40 |
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 6.375%, 08/15/2027 |
|
|
50 |
|
|
|
70 |
|
| 6.125%, 08/15/2029 |
|
|
325 |
|
|
|
244 |
|
| 5.375%, 02/15/2031 |
|
|
100 |
|
|
|
132 |
|
| 5.250%, 02/15/2029 |
|
|
100 |
|
|
|
129 |
|
| 5.000%, 05/15/2037 |
|
|
965 |
|
|
|
1,273 |
|
| 4.750%, 02/15/2037 |
|
|
100 |
|
|
|
128 |
|
| 4.500%, 05/15/2038 |
|
|
200 |
|
|
|
247 |
|
| 4.375%, 02/15/2038 |
|
|
550 |
|
|
|
668 |
|
| 4.250%, 05/15/2039 |
|
|
100 |
|
|
|
120 |
|
| 3.750%, 11/15/2043 |
|
|
6,664 |
|
|
|
7,366 |
|
| 3.625%, 08/15/2043 |
|
|
688 |
|
|
|
744 |
|
| 3.625%, 02/15/2044 |
|
|
7,969 |
|
|
|
8,612 |
|
| 3.375%, 05/15/2044 |
|
|
3,595 |
|
|
|
3,711 |
|
| 3.125%, 11/15/2041 |
|
|
30 |
|
|
|
30 |
|
| 3.125%, 02/15/2042 |
|
|
1,075 |
|
|
|
1,064 |
|
| 3.125%, 02/15/2043 |
|
|
340 |
|
|
|
335 |
|
| 3.125%, 08/15/2044 |
|
|
10,614 |
|
|
|
10,445 |
|
| 2.875%, 05/15/2043 |
|
|
17,600 |
|
|
|
16,486 |
|
| 2.750%, 08/15/2042 |
|
|
4,560 |
|
|
|
4,178 |
|
| 2.750%, 11/15/2042 |
|
|
7,833 |
|
|
|
7,166 |
|
| 2.724%, 08/15/2023 |
|
|
500 |
|
|
|
398 |
|
| 2.625%, 11/15/2020 |
|
|
200 |
|
|
|
206 |
|
| 1.840%, 11/15/2019 |
|
|
200 |
|
|
|
181 |
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
| 2.500%, 01/15/2029 |
|
|
111 |
|
|
|
135 |
|
| 2.125%, 02/15/2040 |
|
|
231 |
|
|
|
286 |
|
| 1.625%, 01/15/2015 |
|
|
412 |
|
|
|
412 |
|
| 1.375%, 02/15/2044 |
|
|
1,625 |
|
|
|
1,739 |
|
| 0.750%, 02/15/2042 |
|
|
221 |
|
|
|
203 |
|
| 0.625%, 02/15/2043 |
|
|
2,870 |
|
|
|
2,534 |
|
| 0.500%, 04/15/2015 |
|
|
934 |
|
|
|
935 |
|
| 0.125%, 04/15/2017 |
|
|
955 |
|
|
|
967 |
|
| 0.125%, 07/15/2024 |
|
|
838 |
|
|
|
804 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
| 4.625%, 11/15/2016 |
|
|
1,400 |
|
|
|
1,516 |
|
| 4.500%, 05/15/2017 |
|
|
1,700 |
|
|
|
1,857 |
|
| 4.250%, 11/15/2017 |
|
|
5,075 |
|
|
|
5,556 |
|
| 3.500%, 02/15/2018 |
|
|
1,350 |
|
|
|
1,448 |
|
| 3.125%, 04/30/2017 |
|
|
3,530 |
|
|
|
3,729 |
|
| 3.125%, 05/15/2021 |
|
|
1,250 |
|
|
|
1,325 |
|
| 2.750%, 05/31/2017 |
|
|
1,000 |
|
|
|
1,047 |
|
| 2.750%, 02/15/2019 |
|
|
250 |
|
|
|
262 |
|
| 2.750%, 02/15/2024 |
|
|
2,028 |
|
|
|
2,076 |
|
| 2.500%, 05/15/2024 |
|
|
9,602 |
|
|
|
9,608 |
|
| 2.375%, 05/31/2018 |
|
|
500 |
|
|
|
517 |
|
| 2.375%, 08/15/2024 |
|
|
20,792 |
|
|
|
20,552 |
|
| 2.250%, 11/30/2017 |
|
|
11,350 |
|
|
|
11,430 |
|
| 2.250%, 07/31/2021 |
|
|
1,867 |
|
|
|
1,873 |
|
| 2.125%, 01/31/2021 |
|
|
520 |
|
|
|
520 |
|
| 2.125%, 06/30/2021 |
|
|
4,120 |
|
|
|
4,102 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
155 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 2.000%, 05/31/2021 |
|
$ |
6,400 |
|
|
$ |
6,325 |
|
| 2.000%, 08/31/2021 |
|
|
2,134 |
|
|
|
2,105 |
|
| 2.000%, 02/15/2022 |
|
|
200 |
|
|
|
196 |
|
| 1.750%, 09/30/2019 |
|
|
6,664 |
|
|
|
6,655 |
|
| 1.625%, 03/31/2019 |
|
|
7,395 |
|
|
|
7,374 |
|
| 1.625%, 04/30/2019 |
|
|
9,395 |
|
|
|
9,360 |
|
| 1.625%, 06/30/2019 (C) |
|
|
4,188 |
|
|
|
4,166 |
|
| 1.625%, 07/31/2019 (C) |
|
|
10,027 |
|
|
|
9,964 |
|
| 1.625%, 08/31/2019 |
|
|
2,252 |
|
|
|
2,209 |
|
| 1.500%, 07/31/2016 |
|
|
360 |
|
|
|
366 |
|
| 1.500%, 08/31/2018 |
|
|
400 |
|
|
|
400 |
|
| 1.500%, 01/31/2019 |
|
|
18,924 |
|
|
|
18,806 |
|
| 1.500%, 05/31/2019 |
|
|
2,462 |
|
|
|
2,436 |
|
| 1.375%, 02/28/2019 |
|
|
4,747 |
|
|
|
4,686 |
|
| 1.000%, 09/15/2017 |
|
|
10,464 |
|
|
|
10,448 |
|
| 1.000%, 11/30/2019 |
|
|
800 |
|
|
|
767 |
|
| 0.875%, 09/15/2016 |
|
|
3,180 |
|
|
|
3,197 |
|
| 0.875%, 05/15/2017 |
|
|
4,662 |
|
|
|
4,656 |
|
| 0.875%, 07/15/2017 (C) |
|
|
9,243 |
|
|
|
9,211 |
|
| 0.875%, 08/15/2017 |
|
|
740 |
|
|
|
736 |
|
| 0.750%, 10/31/2017 |
|
|
320 |
|
|
|
316 |
|
| 0.750%, 12/31/2017 |
|
|
755 |
|
|
|
743 |
|
| 0.625%, 08/31/2017 |
|
|
2,759 |
|
|
|
2,723 |
|
| 0.625%, 09/30/2017 |
|
|
5,113 |
|
|
|
5,038 |
|
| 0.500%, 07/31/2016 |
|
|
12,625 |
|
|
|
12,626 |
|
| 0.500%, 08/31/2016 (C) |
|
|
8,680 |
|
|
|
8,671 |
|
| 0.250%, 05/15/2015 |
|
|
3,210 |
|
|
|
3,214 |
|
| 0.086%, 09/30/2016 (E) |
|
|
14,376 |
|
|
|
14,352 |
|
| U.S. Treasury STRIPS |
|
|
|
|
|
|
|
|
| 6.291%, 05/15/2024 (E) |
|
|
200 |
|
|
|
155 |
|
| 5.902%, 05/15/2026 (E) |
|
|
100 |
|
|
|
72 |
|
| 5.584%, 05/15/2036 (E) |
|
|
100 |
|
|
|
50 |
|
|
|
|
|
|
|
|
|
|
| 5.546%, 02/15/2024 (E) |
|
|
75 |
|
|
|
59 |
|
| 5.515%, 05/15/2029 (E) |
|
|
100 |
|
|
|
64 |
|
| 5.200%, 08/15/2027 (E) |
|
|
800 |
|
|
|
547 |
|
| 5.145%, 05/15/2034 (E) |
|
|
175 |
|
|
|
93 |
|
| 5.100%, 02/15/2034 (E) |
|
|
250 |
|
|
|
134 |
|
| 5.055%, 02/15/2028 (E) |
|
|
653 |
|
|
|
438 |
|
| 4.972%, 08/15/2033 (E) |
|
|
300 |
|
|
|
164 |
|
| 4.907%, 05/15/2028 (E) |
|
|
700 |
|
|
|
465 |
|
| 4.853%, 05/15/2033 (E) |
|
|
425 |
|
|
|
234 |
|
| 4.779%, 11/15/2026 (E) |
|
|
1,100 |
|
|
|
775 |
|
| 4.674%, 08/15/2019 (E) |
|
|
1,350 |
|
|
|
1,234 |
|
| 4.359%, 02/15/2030 (E) |
|
|
1,300 |
|
|
|
806 |
|
| 4.304%, 05/15/2030 (E) |
|
|
400 |
|
|
|
246 |
|
| 4.259%, 11/15/2032 (E) |
|
|
250 |
|
|
|
140 |
|
| 4.230%, 11/15/2030 (E) |
|
|
1,450 |
|
|
|
876 |
|
| 4.206%, 11/15/2033 (E) |
|
|
750 |
|
|
|
405 |
|
| 4.168%, 02/15/2027 (E) |
|
|
1,350 |
|
|
|
941 |
|
| 4.125%, 11/15/2029 (E) |
|
|
550 |
|
|
|
344 |
|
| 4.006%, 11/15/2027 |
|
|
1,930 |
|
|
|
1,313 |
|
| 3.963%, 05/15/2043 (E) |
|
|
1,150 |
|
|
|
443 |
|
| 3.943%, 08/15/2020 (E) |
|
|
3,550 |
|
|
|
3,137 |
|
| 3.855%, 08/15/2030 (E) |
|
|
700 |
|
|
|
426 |
|
| 3.847%, 05/15/2027 (E) |
|
|
315 |
|
|
|
218 |
|
| 3.846%, 02/15/2033 (E) |
|
|
100 |
|
|
|
56 |
|
| 3.837%, 11/15/2024 (E) |
|
|
250 |
|
|
|
190 |
|
| 3.764%, 11/15/2016 (C) (E) |
|
|
200 |
|
|
|
197 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/ Shares/Contracts |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 3.645%, 02/15/2017 (E) |
|
$ |
4,460 |
|
|
$ |
4,370 |
|
| 3.560%, 02/15/2031 (C) (E) |
|
|
1,025 |
|
|
|
613 |
|
| 3.530%, 11/15/2031 (E) |
|
|
710 |
|
|
|
413 |
|
| 3.530%, 05/15/2032 (E) |
|
|
850 |
|
|
|
485 |
|
| 3.521%, 05/15/2031 (E) |
|
|
560 |
|
|
|
332 |
|
| 3.440%, 02/15/2029 (E) |
|
|
500 |
|
|
|
322 |
|
| 3.431%, 02/15/2018 (E) |
|
|
925 |
|
|
|
884 |
|
| 3.424%, 05/15/2018 (E) |
|
|
250 |
|
|
|
237 |
|
| 3.352%, 02/15/2032 (E) |
|
|
900 |
|
|
|
519 |
|
| 3.337%, 08/15/2031 (E) |
|
|
275 |
|
|
|
161 |
|
| 3.260%, 05/15/2020 (E) |
|
|
3,359 |
|
|
|
2,995 |
|
| 3.143%, 11/15/2017 (E) |
|
|
650 |
|
|
|
626 |
|
| 2.950%, 05/15/2035 (E) |
|
|
100 |
|
|
|
51 |
|
| 2.870%, 05/15/2019 (E) |
|
|
1,875 |
|
|
|
1,725 |
|
| 2.844%, 11/15/2034 (E) |
|
|
200 |
|
|
|
104 |
|
| 2.715%, 08/15/2022 (E) |
|
|
100 |
|
|
|
82 |
|
| 2.696%, 08/15/2021 (E) |
|
|
450 |
|
|
|
384 |
|
| 2.669%, 02/15/2023 (C) (E) |
|
|
3,550 |
|
|
|
2,871 |
|
| 2.650%, 05/15/2023 (E) |
|
|
1,700 |
|
|
|
1,362 |
|
| 2.566%, 08/15/2018 (E) |
|
|
850 |
|
|
|
801 |
|
| 2.504%, 05/15/2022 (E) |
|
|
400 |
|
|
|
333 |
|
| 2.470%, 11/15/2022 (E) |
|
|
1,100 |
|
|
|
898 |
|
| 2.459%, 11/15/2023 (E) |
|
|
100 |
|
|
|
79 |
|
| 2.458%, 02/15/2022 (E) |
|
|
1,885 |
|
|
|
1,581 |
|
| 2.398%, 02/15/2021 (E) |
|
|
2,880 |
|
|
|
2,504 |
|
| 2.274%, 11/15/2021 (E) |
|
|
1,600 |
|
|
|
1,354 |
|
| 1.891%, 05/15/2021 (E) |
|
|
2,550 |
|
|
|
2,195 |
|
| 1.684%, 02/15/2020 (E) |
|
|
3,550 |
|
|
|
3,192 |
|
| 1.419%, 08/15/2026 (E) |
|
|
47 |
|
|
|
33 |
|
| 1.130%, 02/15/2035 (E) |
|
|
40 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $331,425) ($ Thousands) |
|
|
|
|
|
|
336,901 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.6% |
|
| SEI Liquidity Fund, L.P.
0.080% ** †(F) |
|
|
28,699,779 |
|
|
|
28,700 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $28,700) ($ Thousands) |
|
|
|
28,700 |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 6.0% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% ** † |
|
|
65,985,428 |
|
|
|
65,985 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $65,985) ($ Thousands) |
|
|
|
65,985 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 111.9%
(Cost $1,201,061) ($ Thousands) |
|
|
$ |
1,228,874 |
|
|
|
|
|
|
|
|
|
|
|
| WRITTEN OPTIONS*‡‡ — 0.0% |
|
| December 2014, U.S. 10-Year Treasury Note Call, Expires 11/22/14, Strike Price: $127.00 |
|
|
(54 |
) |
|
|
(9 |
) |
| December 2014, U.S. 10-Year Treasury Note Put, Expires 11/22/14, Strike Price: $122.00 |
|
|
(54 |
) |
|
|
(8 |
) |
|
|
|
| 156 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Contracts |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| November 2014, U.S. 10-Year Treasury Note Call, Expires 10/18/14, Strike Price: $126.50 |
|
|
(10 |
) |
|
$ |
(1 |
) |
| November 2014, U.S. Long Treasury Bond Future Call, Expires 10/18/14, Strike Price: $140.00 |
|
|
(16 |
) |
|
|
(6 |
) |
| November 2014, U.S. Long Treasury Bond Future Put, Expires 10/18/14, Strike Price: $133.00 |
|
|
(16 |
) |
|
|
(1 |
) |
| November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.000% |
|
|
(1,490,000 |
) |
|
|
(1 |
) |
|
|
|
|
|
|
|
|
|
| Total Written Options
(Premiums Received $(56)) ($ Thousands) |
|
|
$ |
(26 |
) |
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 90-Day Euro$ |
|
|
74 |
|
|
|
Dec-2016 |
|
|
$ |
(5 |
) |
| 90-Day Euro$ |
|
|
(10 |
) |
|
|
Dec-2017 |
|
|
|
— |
|
| 90-Day Euro$ |
|
|
43 |
|
|
|
Jun-2016 |
|
|
|
(1 |
) |
| 90-Day Euro$ |
|
|
(62 |
) |
|
|
Jun-2018 |
|
|
|
(34 |
) |
| 90-Day Euro$ |
|
|
20 |
|
|
|
Mar-2015 |
|
|
|
11 |
|
| 90-Day Euro$ |
|
|
(20 |
) |
|
|
Mar-2016 |
|
|
|
12 |
|
| U.S. 10-Year Treasury Note |
|
|
42 |
|
|
|
Dec-2014 |
|
|
|
(12 |
) |
| U.S. 10-Year Treasury Note |
|
|
(186 |
) |
|
|
Dec-2014 |
|
|
|
120 |
|
| U.S. 2-Year Treasury Note |
|
|
(305 |
) |
|
|
Dec-2014 |
|
|
|
29 |
|
| U.S. 2-Year Treasury Note |
|
|
16 |
|
|
|
Dec-2014 |
|
|
|
(5 |
) |
| U.S. 5-Year Treasury Note |
|
|
246 |
|
|
|
Dec-2014 |
|
|
|
20 |
|
| U.S. Long Treasury Bond |
|
|
(85 |
) |
|
|
Dec-2014 |
|
|
|
96 |
|
| U.S. Ultra Long Treasury Bond |
|
|
(120 |
) |
|
|
Dec-2014 |
|
|
|
107 |
|
| U.S. Ultra Long Treasury Bond |
|
|
16 |
|
|
|
Dec-2014 |
|
|
|
(2 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
A list of the outstanding OTC swap
agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Barclays Bank |
|
2.48% |
|
3 Month USD-LIBOR |
|
11/15/2027 |
|
$ |
415 |
|
|
$ |
(3 |
) |
| Barclays Bank |
|
2.42% |
|
3 Month USD-LIBOR |
|
11/15/2027 |
|
|
420 |
|
|
|
1 |
|
| Citigroup |
|
2.71% |
|
3 Month USD-LIBOR |
|
08/15/2042 |
|
|
830 |
|
|
|
74 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
72 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the outstanding centrally cleared swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
Net Unrealized
Depreciation
($ Thousands) |
|
Citigroup
|
|
3.68% |
|
3 Month USD-LIBOR |
|
11/15/2043 |
|
$ 725 |
|
$ |
(69 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014 the total amount of open swap agreements, as presented in the table above, are
representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $1,098,480 ($ Thousands).
| * |
|
Non-Income Producing Security. |
| ** |
|
The rate reported is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security. |
| ‡ |
|
Real Estate Investment Trust. |
| ‡‡ |
|
For the year ended September 30, 2014, the total amount of all written options, as presented in the Schedule of Investments are representative of the volume of activity
for these derivative types during the year. |
| (A) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2014. The date reported on the Schedule of
Investments is the final maturity 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) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$27,900 ($ Thousands). |
| (D) |
|
Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2014. The coupon on a step bond changes on a specified
date. |
| (E) |
|
The rate reported is the effective yield at time of purchase. |
| (F) |
|
This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2014 was $28,700 ($ Thousands).
|
ABS — Asset-Backed Security
ACES — Alternative Credit Enhancement Structure
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
CMBS — Commercial Mortgage-Backed Securities
CMO
— Collateralized Mortgage Obligation
FDIC — Federal Deposit Insurance Corporation
FHLB — Federal Home Loan Bank
FHLMC —
Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO —
Interest Only
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
LLC — Limited Liability Company
MTN — Medium Term Note
NCUA — National
Credit Union Association
PLC — Public Limited Company
PO — Principle Only
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
157 |
|
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2014
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s
investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Mortgage-Backed Securities |
|
$ |
— |
|
|
$ |
388,143 |
|
|
$ |
— |
|
|
$ |
388,143 |
|
| Corporate Obligations |
|
|
— |
|
|
|
246,345 |
|
|
|
— |
|
|
|
246,345 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
106,103 |
|
|
|
— |
|
|
|
106,103 |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
31,322 |
|
|
|
— |
|
|
|
31,322 |
|
| Sovereign Debt |
|
|
— |
|
|
|
15,835 |
|
|
|
— |
|
|
|
15,835 |
|
| Municipal Bonds |
|
|
— |
|
|
|
6,362 |
|
|
|
— |
|
|
|
6,362 |
|
| Collateralized Debt Obligations |
|
|
— |
|
|
|
3,178 |
|
|
|
— |
|
|
|
3,178 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
336,901 |
|
|
|
— |
|
|
|
336,901 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
28,700 |
|
|
|
— |
|
|
|
28,700 |
|
| Cash Equivalent |
|
|
65,985 |
|
|
|
— |
|
|
|
— |
|
|
|
65,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
65,985 |
|
|
$ |
1,162,889 |
|
|
$ |
— |
|
|
$ |
1,228,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Written Options |
|
$ |
(26 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(26 |
) |
| Futures* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
395 |
|
|
|
— |
|
|
|
— |
|
|
|
395 |
|
| Unrealized Depreciation |
|
|
(59 |
) |
|
|
— |
|
|
|
— |
|
|
|
(59 |
) |
| OTC Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Unrealized Appreciation |
|
|
— |
|
|
|
75 |
|
|
|
— |
|
|
|
75 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(3 |
) |
|
|
— |
|
|
|
(3 |
) |
| Centrally Cleared Swaps* |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(69 |
) |
|
|
— |
|
|
|
(69 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
310 |
|
|
$ |
3 |
|
|
$ |
— |
|
|
$ |
313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts and swaps are valued at the unrealized appreciation (depreciation) of the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 158 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 74.8% |
|
|
|
|
|
|
|
|
| Consumer Discretionary — 18.6% |
|
|
|
|
|
|
|
|
| 1011778 B.C. ULC / New Red Finance |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2022 (A) |
|
$ |
1,776 |
|
|
$ |
1,765 |
|
| Academy |
|
|
|
|
|
|
|
|
| 9.250%, 08/01/2019 (A) |
|
|
655 |
|
|
|
693 |
|
| Adelphia Communications
(Escrow Security) (B) |
|
|
|
|
|
|
|
|
| 10.250%, 06/15/2011 |
|
|
150 |
|
|
|
1 |
|
| 0.000%, 01/15/2009 |
|
|
225 |
|
|
|
2 |
|
| Adelphia Communications
(Escrow Security), Ser B (B) |
|
|
|
|
|
|
|
|
| 0.000%, 02/15/2004 |
|
|
25 |
|
|
|
— |
|
| Affinity Gaming |
|
|
|
|
|
|
|
|
| 9.000%, 05/15/2018 |
|
|
1,675 |
|
|
|
1,625 |
|
| Allegion US Holding |
|
|
|
|
|
|
|
|
| 5.750%, 10/01/2021 |
|
|
1,031 |
|
|
|
1,052 |
|
| American Achievement |
|
|
|
|
|
|
|
|
| 10.875%, 04/15/2016 (A) |
|
|
2,615 |
|
|
|
2,589 |
|
| American Axle & Manufacturing |
|
|
|
|
|
|
|
|
| 6.250%, 03/15/2021 |
|
|
595 |
|
|
|
619 |
|
| American Axle & Manufacturing Holdings |
|
|
|
|
|
|
|
|
| 7.750%, 11/15/2019 |
|
|
275 |
|
|
|
308 |
|
| Apex Tool Group |
|
|
|
|
|
|
|
|
| 7.000%, 02/01/2021 (A) |
|
|
1,705 |
|
|
|
1,569 |
|
| Armored Autogroup |
|
|
|
|
|
|
|
|
| 9.250%, 11/01/2018 |
|
|
845 |
|
|
|
866 |
|
| Ashtead Capital |
|
|
|
|
|
|
|
|
| 6.500%, 07/15/2022 (A) |
|
|
3,855 |
|
|
|
4,086 |
|
| Aventine (Escrow Security) |
|
|
|
|
|
|
|
|
| 0.000%, 10/15/2049 (B) (C) (D) (E) |
|
|
2,750 |
|
|
|
1 |
|
| Baker & Taylor Acquisitions |
|
|
|
|
|
|
|
|
| 15.000%, 04/01/2017 (A) |
|
|
752 |
|
|
|
707 |
|
| Beazer Homes USA |
|
|
|
|
|
|
|
|
| 5.750%, 06/15/2019 |
|
|
1,560 |
|
|
|
1,509 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Belo |
|
|
|
|
|
|
|
|
| 7.750%, 06/01/2027 |
|
$ |
1,675 |
|
|
$ |
1,851 |
|
| Bon-Ton Department Stores |
|
|
|
|
|
|
|
|
| 8.000%, 06/15/2021 |
|
|
2,535 |
|
|
|
2,269 |
|
| Boyd Gaming |
|
|
|
|
|
|
|
|
| 9.000%, 07/01/2020 |
|
|
1,980 |
|
|
|
2,099 |
|
| Cablevision Systems |
|
|
|
|
|
|
|
|
| 7.750%, 04/15/2018 |
|
|
500 |
|
|
|
542 |
|
| 5.875%, 09/15/2022 |
|
|
1,917 |
|
|
|
1,855 |
|
| Caesars Entertainment Operating |
|
|
|
|
|
|
|
|
| 9.000%, 02/15/2020 |
|
|
11,410 |
|
|
|
8,728 |
|
| 8.500%, 02/15/2020 |
|
|
1,260 |
|
|
|
964 |
|
| Caesars Entertainment Resort Properties |
|
|
|
|
|
|
|
|
| 8.000%, 10/01/2020 (A) |
|
|
3,259 |
|
|
|
3,210 |
|
| Caesars Growth Properties Holdings |
|
|
|
|
|
|
|
|
| 9.375%, 05/01/2022 (A) |
|
|
1,595 |
|
|
|
1,396 |
|
| Carmike Cinemas |
|
|
|
|
|
|
|
|
| 7.375%, 05/15/2019 |
|
|
750 |
|
|
|
795 |
|
| CBS Outdoor Americas Capital (A) |
|
|
|
|
|
|
|
|
| 5.875%, 03/15/2025 |
|
|
800 |
|
|
|
804 |
|
| 5.250%, 02/15/2022 |
|
|
390 |
|
|
|
390 |
|
| CCO Holdings |
|
|
|
|
|
|
|
|
| 7.375%, 06/01/2020 |
|
|
835 |
|
|
|
883 |
|
| 7.000%, 01/15/2019 |
|
|
885 |
|
|
|
919 |
|
| 6.500%, 04/30/2021 |
|
|
2,350 |
|
|
|
2,450 |
|
| 5.250%, 03/15/2021 |
|
|
620 |
|
|
|
608 |
|
| 5.250%, 09/30/2022 |
|
|
530 |
|
|
|
519 |
|
| 5.125%, 02/15/2023 |
|
|
2,000 |
|
|
|
1,920 |
|
| Cedar Fair |
|
|
|
|
|
|
|
|
| 5.375%, 06/01/2024 (A) |
|
|
1,174 |
|
|
|
1,139 |
|
| 5.250%, 03/15/2021 |
|
|
2,250 |
|
|
|
2,216 |
|
| Century Communities |
|
|
|
|
|
|
|
|
| 6.875%, 05/15/2022 (A) |
|
|
2,295 |
|
|
|
2,312 |
|
| Cequel Communications Holdings (Escrow) |
|
|
|
|
|
|
|
|
| 6.375%, 9/15/2020 (A) |
|
|
3,560 |
|
|
|
3,662 |
|
| Cequel Communications Holdings I |
|
|
|
|
|
|
|
|
| 5.125%, 12/15/2021 (A) |
|
|
360 |
|
|
|
345 |
|
| Chassix |
|
|
|
|
|
|
|
|
| 9.250%, 08/01/2018 (A) |
|
|
970 |
|
|
|
958 |
|
| Chester Downs & Marina |
|
|
|
|
|
|
|
|
| 9.250%, 02/01/2020 (A) |
|
|
4,130 |
|
|
|
3,882 |
|
| Chinos Intermediate Holdings A |
|
|
|
|
|
|
|
|
| 7.750%, 05/01/2019 (A) |
|
|
525 |
|
|
|
497 |
|
| Chrysler Group |
|
|
|
|
|
|
|
|
| 8.250%, 06/15/2021 |
|
|
5,155 |
|
|
|
5,619 |
|
| Cinemark USA |
|
|
|
|
|
|
|
|
| 7.375%, 06/15/2021 |
|
|
565 |
|
|
|
605 |
|
| 5.125%, 12/15/2022 |
|
|
1,390 |
|
|
|
1,366 |
|
| 4.875%, 06/01/2023 |
|
|
500 |
|
|
|
476 |
|
| Claire’s Stores |
|
|
|
|
|
|
|
|
| 9.000%, 03/15/2019 (A) |
|
|
1,590 |
|
|
|
1,618 |
|
| 8.875%, 03/15/2019 |
|
|
745 |
|
|
|
618 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
159 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Clear Channel Worldwide Holdings |
|
|
|
|
|
|
|
|
| 7.625%, 03/15/2020 |
|
$ |
1,460 |
|
|
$ |
1,514 |
|
| 6.500%, 11/15/2022 |
|
|
3,245 |
|
|
|
3,309 |
|
| Cogeco Cable |
|
|
|
|
|
|
|
|
| 4.875%, 05/01/2020 (A) |
|
|
1,050 |
|
|
|
1,042 |
|
| Columbus International |
|
|
|
|
|
|
|
|
| 7.375%, 03/30/2021 (A) |
|
|
3,330 |
|
|
|
3,463 |
|
| Conn’s |
|
|
|
|
|
|
|
|
| 7.250%, 07/15/2022 (A) |
|
|
2,427 |
|
|
|
2,066 |
|
| CSC Holdings |
|
|
|
|
|
|
|
|
| 8.625%, 02/15/2019 |
|
|
2,125 |
|
|
|
2,428 |
|
| 6.750%, 11/15/2021 |
|
|
1,250 |
|
|
|
1,331 |
|
| 5.250%, 06/01/2024 (A) |
|
|
3,830 |
|
|
|
3,677 |
|
| CST Brands |
|
|
|
|
|
|
|
|
| 5.000%, 05/01/2023 |
|
|
350 |
|
|
|
341 |
|
| Dana Holding |
|
|
|
|
|
|
|
|
| 6.750%, 02/15/2021 |
|
|
1,108 |
|
|
|
1,173 |
|
| 6.500%, 02/15/2019 |
|
|
515 |
|
|
|
534 |
|
| 6.000%, 09/15/2023 |
|
|
520 |
|
|
|
537 |
|
| 5.375%, 09/15/2021 |
|
|
200 |
|
|
|
204 |
|
| DBP Holding |
|
|
|
|
|
|
|
|
| 7.750%, 10/15/2020 (A) |
|
|
936 |
|
|
|
814 |
|
| DCP |
|
|
|
|
|
|
|
|
| 10.750%, 08/15/2015 (A) |
|
|
1,114 |
|
|
|
1,116 |
|
| DISH DBS |
|
|
|
|
|
|
|
|
| 7.875%, 09/01/2019 |
|
|
1,550 |
|
|
|
1,752 |
|
| 6.750%, 06/01/2021 |
|
|
1,690 |
|
|
|
1,817 |
|
| 5.875%, 7/15/2022 |
|
|
3,975 |
|
|
|
4,055 |
|
| 5.125%, 05/01/2020 |
|
|
40 |
|
|
|
40 |
|
| 5.000%, 03/15/2023 |
|
|
2,805 |
|
|
|
2,691 |
|
| Eldorado Resorts |
|
|
|
|
|
|
|
|
| 8.625%, 06/15/2019 (A) |
|
|
1,490 |
|
|
|
1,565 |
|
| Empire Today |
|
|
|
|
|
|
|
|
| 11.375%, 02/01/2017 (A) |
|
|
2,000 |
|
|
|
2,000 |
|
| Expo Event Transco |
|
|
|
|
|
|
|
|
| 9.000%, 06/15/2021 (A) |
|
|
550 |
|
|
|
567 |
|
| Fontainebleau Las Vegas Holdings |
|
|
|
|
|
|
|
|
| 10.250%, 06/15/2015 (A) (B) |
|
|
3,125 |
|
|
|
33 |
|
| Gannett (A) |
|
|
|
|
|
|
|
|
| 5.500%, 09/15/2024 |
|
|
960 |
|
|
|
946 |
|
| 4.875%, 09/15/2021 |
|
|
400 |
|
|
|
387 |
|
| General Motors |
|
|
|
|
|
|
|
|
| 6.250%, 10/02/2043 |
|
|
890 |
|
|
|
1,041 |
|
| 4.875%, 10/02/2023 |
|
|
1,760 |
|
|
|
1,861 |
|
| Gestamp Funding Luxembourg |
|
|
|
|
|
|
|
|
| 5.625%, 05/31/2020 (A) |
|
|
2,720 |
|
|
|
2,747 |
|
| Gibson Brands |
|
|
|
|
|
|
|
|
| 8.875%, 08/01/2018 (A) |
|
|
1,414 |
|
|
|
1,382 |
|
| Goodyear Tire & Rubber |
|
|
|
|
|
|
|
|
| 6.500%, 03/01/2021 |
|
|
2,700 |
|
|
|
2,808 |
|
| Graton Economic Development Authority |
|
|
|
|
|
|
|
|
| 9.625%, 09/01/2019 (A) |
|
|
1,900 |
|
|
|
2,171 |
|
| GRD Holdings III |
|
|
|
|
|
|
|
|
| 10.750%, 06/01/2019 (A) |
|
|
1,810 |
|
|
|
1,996 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Guitar Center (A) |
|
|
|
|
|
|
|
|
| 9.625%, 04/15/2020 |
|
$ |
1,745 |
|
|
$ |
1,339 |
|
| 6.500%, 04/15/2019 |
|
|
2,270 |
|
|
|
2,043 |
|
| Gymboree |
|
|
|
|
|
|
|
|
| 9.125%, 12/01/2018 |
|
|
830 |
|
|
|
232 |
|
| Harrah’s Operating |
|
|
|
|
|
|
|
|
| 11.250%, 06/01/2017 |
|
|
530 |
|
|
|
411 |
|
| 10.000%, 12/15/2018 |
|
|
698 |
|
|
|
161 |
|
| Hillman Group |
|
|
|
|
|
|
|
|
| 6.375%, 07/15/2022 (A) |
|
|
330 |
|
|
|
319 |
|
| Icahn Enterprises |
|
|
|
|
|
|
|
|
| 6.000%, 08/01/2020 |
|
|
2,895 |
|
|
|
2,975 |
|
| 5.875%, 02/01/2022 |
|
|
1,615 |
|
|
|
1,615 |
|
| 4.875%, 03/15/2019 |
|
|
2,961 |
|
|
|
2,917 |
|
| iHeartCommunications |
|
|
|
|
|
|
|
|
| 14.000%, 02/01/2021 |
|
|
2,576 |
|
|
|
2,357 |
|
| 9.000%, 12/15/2019 |
|
|
529 |
|
|
|
533 |
|
| 9.000%, 03/01/2021 |
|
|
530 |
|
|
|
527 |
|
| 9.000%, 09/15/2022 (A) |
|
|
3,870 |
|
|
|
3,841 |
|
| International Automotive Components Group SL |
|
|
|
|
|
|
|
|
| 9.125%, 06/01/2018 (A) |
|
|
1,700 |
|
|
|
1,794 |
|
| inVentiv Health (A) |
|
|
|
|
|
|
|
|
| 11.000%, 08/15/2018 |
|
|
388 |
|
|
|
313 |
|
| 10.000%, 08/15/2018 |
|
|
537 |
|
|
|
497 |
|
| 9.000%, 1/15/2018 |
|
|
750 |
|
|
|
778 |
|
| Isle of Capri Casinos |
|
|
|
|
|
|
|
|
| 5.875%, 03/15/2021 |
|
|
375 |
|
|
|
380 |
|
| JC Penney |
|
|
|
|
|
|
|
|
| 8.125%, 10/01/2019 |
|
|
305 |
|
|
|
297 |
|
| 6.375%, 10/15/2036 |
|
|
265 |
|
|
|
205 |
|
| 5.750%, 02/15/2018 |
|
|
665 |
|
|
|
622 |
|
| 5.650%, 06/01/2020 |
|
|
3,655 |
|
|
|
3,070 |
|
| L Brands |
|
|
|
|
|
|
|
|
| 6.950%, 03/01/2033 |
|
|
1,146 |
|
|
|
1,180 |
|
| 6.625%, 04/01/2021 |
|
|
1,065 |
|
|
|
1,171 |
|
| 5.625%, 02/15/2022 |
|
|
1,175 |
|
|
|
1,225 |
|
| 5.625%, 10/15/2023 |
|
|
585 |
|
|
|
610 |
|
| Landry’s |
|
|
|
|
|
|
|
|
| 9.375%, 05/01/2020 (A) |
|
|
2,998 |
|
|
|
3,170 |
|
| Liberty Media |
|
|
|
|
|
|
|
|
| 8.250%, 02/01/2030 (A) |
|
|
5,215 |
|
|
|
5,717 |
|
| Live Nation Entertainment |
|
|
|
|
|
|
|
|
| 7.000%, 09/01/2020 (A) |
|
|
850 |
|
|
|
903 |
|
| MCE Finance |
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2021 (A) |
|
|
800 |
|
|
|
768 |
|
| McGraw-Hill Global Education Holdings |
|
|
|
|
|
|
|
|
| 9.750%, 04/01/2021 |
|
|
450 |
|
|
|
497 |
|
| MDC Partners |
|
|
|
|
|
|
|
|
| 6.750%, 04/01/2020 (A) |
|
|
6,160 |
|
|
|
6,345 |
|
| Men’s Wearhouse |
|
|
|
|
|
|
|
|
| 7.000%, 07/01/2022 (A) |
|
|
780 |
|
|
|
788 |
|
| MGM Resorts International |
|
|
|
|
|
|
|
|
| 6.750%, 10/01/2020 |
|
|
2,475 |
|
|
|
2,636 |
|
|
|
|
| 160 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 6.625%, 12/15/2021 |
|
$ |
2,200 |
|
|
$ |
2,321 |
|
| 5.250%, 03/31/2020 |
|
|
2,765 |
|
|
|
2,765 |
|
| Michaels FinCo Holdings |
|
|
|
|
|
|
|
|
| 7.500%, 08/01/2018 (A) |
|
|
1,136 |
|
|
|
1,156 |
|
| Michaels Stores |
|
|
|
|
|
|
|
|
| 5.875%, 12/15/2020 (A) |
|
|
1,220 |
|
|
|
1,214 |
|
| Midas Intermediate Holdco II |
|
|
|
|
|
|
|
|
| 7.875%, 10/01/2022 (A) |
|
|
400 |
|
|
|
399 |
|
| Midcontinent Communications & Midcontinent Finance |
|
|
|
|
|
|
|
|
| 6.250%, 08/01/2021 (A) |
|
|
400 |
|
|
|
404 |
|
| Millennium (Escrow Security) (B) |
|
|
|
|
|
|
|
|
| 7.625%, 11/15/2026 |
|
|
175 |
|
|
|
— |
|
| 0.000%, 12/31/2049 |
|
|
1,760 |
|
|
|
— |
|
| Mohegan Tribal Gaming Authority |
|
|
|
|
|
|
|
|
| 9.750%, 09/01/2021 |
|
|
3,657 |
|
|
|
3,698 |
|
| Monitronics International |
|
|
|
|
|
|
|
|
| 9.125%, 04/01/2020 |
|
|
6,205 |
|
|
|
6,391 |
|
| MTR Gaming Group PIK |
|
|
|
|
|
|
|
|
| 11.500%, 08/01/2019 |
|
|
1,170 |
|
|
|
1,277 |
|
| Murphy Oil USA |
|
|
|
|
|
|
|
|
| 6.000%, 08/15/2023 |
|
|
1,350 |
|
|
|
1,407 |
|
| Neiman Marcus Group (A) |
|
|
|
|
|
|
|
|
| 8.750%, 10/15/2021 |
|
|
455 |
|
|
|
479 |
|
| 8.000%, 10/15/2021 |
|
|
455 |
|
|
|
473 |
|
| Netflix |
|
|
|
|
|
|
|
|
| 5.375%, 02/01/2021 |
|
|
1,947 |
|
|
|
1,986 |
|
| New Academy Finance PIK |
|
|
|
|
|
|
|
|
| 8.000%, 06/15/2018 (A) |
|
|
1,100 |
|
|
|
1,097 |
|
| Nexstar Broadcasting |
|
|
|
|
|
|
|
|
| 6.875%, 11/15/2020 |
|
|
2,900 |
|
|
|
2,972 |
|
| Numericable Group |
|
|
|
|
|
|
|
|
| 6.250%, 05/15/2024 (A) |
|
|
765 |
|
|
|
763 |
|
| 6.000%, 05/15/2022 (A) |
|
|
3,115 |
|
|
|
3,138 |
|
| Party City Holdings |
|
|
|
|
|
|
|
|
| 8.875%, 08/01/2020 |
|
|
2,785 |
|
|
|
3,008 |
|
| PC Nextco Holdings |
|
|
|
|
|
|
|
|
| 8.750%, 08/15/2019 |
|
|
835 |
|
|
|
839 |
|
| Peninsula Gaming |
|
|
|
|
|
|
|
|
| 8.375%, 02/15/2018 (A) |
|
|
3,250 |
|
|
|
3,392 |
|
| Petco Animal Supplies |
|
|
|
|
|
|
|
|
| 9.250%, 12/01/2018 (A) |
|
|
620 |
|
|
|
653 |
|
| PF Chang’s China Bistro |
|
|
|
|
|
|
|
|
| 10.250%, 06/30/2020 (A) |
|
|
2,735 |
|
|
|
2,714 |
|
| Pinnacle Entertainment |
|
|
|
|
|
|
|
|
| 7.500%, 04/15/2021 |
|
|
5,000 |
|
|
|
5,200 |
|
| 6.375%, 08/01/2021 |
|
|
615 |
|
|
|
643 |
|
| Quebecor Media |
|
|
|
|
|
|
|
|
| 5.750%, 01/15/2023 |
|
|
1,140 |
|
|
|
1,131 |
|
| Quebecor Media (Escrow Security) (B) |
|
|
|
|
|
|
|
|
| 0.000%, 11/15/2013 (F) |
|
|
1,725 |
|
|
|
6 |
|
| 0.000%, 03/15/2016 |
|
|
1,915 |
|
|
|
7 |
|
| Radio One |
|
|
|
|
|
|
|
|
| 9.250%, 02/15/2020 (A) |
|
|
2,416 |
|
|
|
2,410 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Radio Systems |
|
|
|
|
|
|
|
|
| 8.375%, 11/01/2019 (A) |
|
$ |
770 |
|
|
$ |
824 |
|
| RCN Telecom Services |
|
|
|
|
|
|
|
|
| 8.500%, 08/15/2020 (A) |
|
|
920 |
|
|
|
938 |
|
| Regal Entertainment Group |
|
|
|
|
|
|
|
|
| 5.750%, 03/15/2022 |
|
|
230 |
|
|
|
231 |
|
| Reynolds Group |
|
|
|
|
|
|
|
|
| 5.750%, 10/15/2020 |
|
|
4,145 |
|
|
|
4,218 |
|
| Reynolds Group Issuer |
|
|
|
|
|
|
|
|
| 9.875%, 08/15/2019 |
|
|
3,790 |
|
|
|
4,079 |
|
| 9.000%, 04/15/2019 |
|
|
1,086 |
|
|
|
1,131 |
|
| 8.250%, 02/15/2021 |
|
|
3,389 |
|
|
|
3,584 |
|
| 6.875%, 02/15/2021 |
|
|
2,180 |
|
|
|
2,300 |
|
| RSI Home Products |
|
|
|
|
|
|
|
|
| 6.875%, 03/01/2018 (A) |
|
|
390 |
|
|
|
407 |
|
| Sally Holdings |
|
|
|
|
|
|
|
|
| 5.750%, 06/01/2022 |
|
|
740 |
|
|
|
755 |
|
| 5.500%, 11/01/2023 |
|
|
195 |
|
|
|
196 |
|
| Serta Simmons Holdings |
|
|
|
|
|
|
|
|
| 8.125%, 10/01/2020 (A) |
|
|
2,130 |
|
|
|
2,247 |
|
| Service International |
|
|
|
|
|
|
|
|
| 7.500%, 04/01/2027 |
|
|
1,295 |
|
|
|
1,434 |
|
| 5.375%, 05/15/2024 (A) |
|
|
410 |
|
|
|
411 |
|
| Shingle Springs Tribal Gaming Authority |
|
|
|
|
|
|
|
|
| 9.750%, 09/01/2021 (A) |
|
|
2,450 |
|
|
|
2,637 |
|
| Sinclair Television Group |
|
|
|
|
|
|
|
|
| 6.125%, 10/01/2022 |
|
|
310 |
|
|
|
315 |
|
| 5.625%, 08/01/2024 (A) |
|
|
1,533 |
|
|
|
1,476 |
|
| 5.375%, 04/01/2021 |
|
|
5,750 |
|
|
|
5,664 |
|
| Sirius XM Holdings (A) |
|
|
|
|
|
|
|
|
| 5.750%, 08/01/2021 |
|
|
810 |
|
|
|
814 |
|
| 4.625%, 05/15/2023 |
|
|
2,100 |
|
|
|
1,953 |
|
| 4.250%, 05/15/2020 |
|
|
4,578 |
|
|
|
4,383 |
|
| Sirius XM Radio (A) |
|
|
|
|
|
|
|
|
| 6.000%, 07/15/2024 |
|
|
430 |
|
|
|
436 |
|
| 5.875%, 10/01/2020 |
|
|
1,000 |
|
|
|
1,012 |
|
| SITEL |
|
|
|
|
|
|
|
|
| 11.000%, 08/01/2017 (A) |
|
|
2,221 |
|
|
|
2,299 |
|
| Six Flags Entertainment |
|
|
|
|
|
|
|
|
| 5.250%, 1/15/2021 (A) |
|
|
3,200 |
|
|
|
3,104 |
|
| Spanish Broadcasting System |
|
|
|
|
|
|
|
|
| 12.500%, 04/15/2017 (A) |
|
|
1,603 |
|
|
|
1,723 |
|
| Station Casinos |
|
|
|
|
|
|
|
|
| 7.500%, 03/01/2021 |
|
|
2,043 |
|
|
|
2,130 |
|
| Taylor Morrison Communities |
|
|
|
|
|
|
|
|
| 5.625%, 03/01/2024 (A) |
|
|
3,010 |
|
|
|
2,897 |
|
| Tempur Sealy International |
|
|
|
|
|
|
|
|
| 6.875%, 12/15/2020 |
|
|
415 |
|
|
|
442 |
|
| Time |
|
|
|
|
|
|
|
|
| 5.750%, 04/15/2022 (A) |
|
|
600 |
|
|
|
574 |
|
| Toys R Us |
|
|
|
|
|
|
|
|
| 10.375%, 08/15/2017 |
|
|
5,775 |
|
|
|
4,721 |
|
| UCI International |
|
|
|
|
|
|
|
|
| 8.625%, 02/15/2019 |
|
|
1,110 |
|
|
|
1,071 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
161 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Unitymedia Hessen GmbH & KG |
|
|
|
|
|
|
|
|
| 5.500%, 01/15/2023 (A) |
|
$ |
4,770 |
|
|
$ |
4,818 |
|
| Univision Communications |
|
|
|
|
|
|
|
|
| 8.500%, 05/15/2021 (A) |
|
|
975 |
|
|
|
1,031 |
|
| 7.875%, 11/01/2020 (A) |
|
|
2,350 |
|
|
|
2,517 |
|
| Vail Resorts |
|
|
|
|
|
|
|
|
| 6.500%, 05/01/2019 |
|
|
654 |
|
|
|
684 |
|
| Videotron |
|
|
|
|
|
|
|
|
| 5.000%, 07/15/2022 |
|
|
2,275 |
|
|
|
2,252 |
|
| Viking Cruises |
|
|
|
|
|
|
|
|
| 8.500%, 10/15/2022 (A) |
|
|
4,945 |
|
|
|
5,378 |
|
| VTR Finance BV |
|
|
|
|
|
|
|
|
| 6.875%, 01/15/2024 (A) |
|
|
1,735 |
|
|
|
1,796 |
|
| Wave Holdco |
|
|
|
|
|
|
|
|
| 8.250%, 07/15/2019 (A) |
|
|
381 |
|
|
|
391 |
|
| William Lyon Homes |
|
|
|
|
|
|
|
|
| 5.750%, 04/15/2019 |
|
|
945 |
|
|
|
928 |
|
| WLH PNW Finance |
|
|
|
|
|
|
|
|
| 7.000%, 08/15/2022 (A) |
|
|
1,800 |
|
|
|
1,822 |
|
| WMG Acquisition (A) |
|
|
|
|
|
|
|
|
| 6.750%, 04/15/2022 |
|
|
1,975 |
|
|
|
1,891 |
|
| 6.000%, 01/15/2021 |
|
|
601 |
|
|
|
609 |
|
| 5.625%, 04/15/2022 |
|
|
940 |
|
|
|
940 |
|
| Wynn Las Vegas |
|
|
|
|
|
|
|
|
| 4.250%, 05/30/2023 (A) |
|
|
479 |
|
|
|
454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
318,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 3.1% |
|
|
|
|
|
|
|
|
| Albea Beauty Holdings |
|
|
|
|
|
|
|
|
| 8.375%, 11/1/2019 (A) |
|
|
740 |
|
|
|
789 |
|
| B&G Foods |
|
|
|
|
|
|
|
|
| 4.625%, 06/01/2021 |
|
|
445 |
|
|
|
424 |
|
| Big Heart Pet Brands |
|
|
|
|
|
|
|
|
| 7.625%, 02/15/2019 |
|
|
78 |
|
|
|
77 |
|
| BI-LO |
|
|
|
|
|
|
|
|
| 8.625%, 09/15/2018 (A) |
|
|
1,345 |
|
|
|
1,227 |
|
| Bumble Bee Holdco SCA PIK |
|
|
|
|
|
|
|
|
| 9.625%, 03/15/2018 (A) |
|
|
2,250 |
|
|
|
2,334 |
|
| Bumble Bee Holdings |
|
|
|
|
|
|
|
|
| 9.000%, 12/15/2017 (A) |
|
|
2,610 |
|
|
|
2,734 |
|
| Central Garden and Pet |
|
|
|
|
|
|
|
|
| 8.250%, 03/01/2018 |
|
|
5,870 |
|
|
|
5,973 |
|
| Chiquita Brands International |
|
|
|
|
|
|
|
|
| 7.875%, 02/01/2021 |
|
|
1,007 |
|
|
|
1,088 |
|
| Cott Beverages |
|
|
|
|
|
|
|
|
| 5.375%, 07/01/2022 (A) |
|
|
1,150 |
|
|
|
1,113 |
|
| Crestview DS Merger Sub II |
|
|
|
|
|
|
|
|
| 10.000%, 09/01/2021 |
|
|
1,071 |
|
|
|
1,183 |
|
| Darling Ingredients |
|
|
|
|
|
|
|
|
| 5.375%, 01/15/2022 |
|
|
1,535 |
|
|
|
1,547 |
|
| Diamond Foods |
|
|
|
|
|
|
|
|
| 7.000%, 03/15/2019 (A) |
|
|
900 |
|
|
|
900 |
|
| Elizabeth Arden |
|
|
|
|
|
|
|
|
| 7.375%, 03/15/2021 |
|
|
3,200 |
|
|
|
2,840 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Harbinger Group |
|
|
|
|
|
|
|
|
| 7.875%, 07/15/2019 |
|
$ |
2,200 |
|
|
$ |
2,343 |
|
| 7.750%, 01/15/2022 (A) |
|
|
1,582 |
|
|
|
1,570 |
|
| Hearthside Group Holdings |
|
|
|
|
|
|
|
|
| 6.500%, 05/01/2022 (A) |
|
|
150 |
|
|
|
146 |
|
| JBS Investments GmbH |
|
|
|
|
|
|
|
|
| 7.750%, 10/28/2020 (A) |
|
|
1,510 |
|
|
|
1,604 |
|
| KeHE Distributors |
|
|
|
|
|
|
|
|
| 7.625%, 08/15/2021 (A) |
|
|
1,900 |
|
|
|
2,014 |
|
| New Albertsons |
|
|
|
|
|
|
|
|
| 8.700%, 05/01/2030 |
|
|
360 |
|
|
|
355 |
|
| 8.000%, 05/01/2031 |
|
|
4,645 |
|
|
|
4,413 |
|
| 7.750%, 06/15/2026 |
|
|
160 |
|
|
|
151 |
|
| 7.450%, 08/01/2029 |
|
|
2,105 |
|
|
|
1,916 |
|
| Pantry |
|
|
|
|
|
|
|
|
| 8.375%, 08/01/2020 |
|
|
1,325 |
|
|
|
1,385 |
|
| Post Holdings |
|
|
|
|
|
|
|
|
| 7.375%, 02/15/2022 |
|
|
1,620 |
|
|
|
1,604 |
|
| 6.000%, 12/15/2022 (A) |
|
|
1,409 |
|
|
|
1,289 |
|
| Rite Aid |
|
|
|
|
|
|
|
|
| 7.700%, 02/15/2027 |
|
|
2,345 |
|
|
|
2,509 |
|
| 6.750%, 06/15/2021 |
|
|
1,475 |
|
|
|
1,508 |
|
| Roundy’s Supermarkets |
|
|
|
|
|
|
|
|
| 10.250%, 12/15/2020 (A) |
|
|
265 |
|
|
|
245 |
|
| Spectrum Brands |
|
|
|
|
|
|
|
|
| 6.750%, 03/15/2020 |
|
|
665 |
|
|
|
693 |
|
| 6.625%, 11/15/2022 |
|
|
1,010 |
|
|
|
1,060 |
|
| 6.375%, 11/15/2020 |
|
|
515 |
|
|
|
537 |
|
| SUPERVALU |
|
|
|
|
|
|
|
|
| 6.750%, 06/01/2021 |
|
|
3,650 |
|
|
|
3,595 |
|
| Vector Group |
|
|
|
|
|
|
|
|
| 7.750%, 02/15/2021 |
|
|
2,595 |
|
|
|
2,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 12.1% |
|
|
|
|
|
|
|
|
| Access Midstream Partners |
|
|
|
|
|
|
|
|
| 6.125%, 07/15/2022 |
|
|
620 |
|
|
|
660 |
|
| Alpha Natural Resources |
|
|
|
|
|
|
|
|
| 6.000%, 06/01/2019 |
|
|
1,825 |
|
|
|
1,104 |
|
| American Energy-Permian Basin (A) |
|
|
|
|
|
|
|
|
| 7.375%, 11/01/2021 |
|
|
1,060 |
|
|
|
975 |
|
| 7.125%, 11/01/2020 |
|
|
1,335 |
|
|
|
1,222 |
|
| 6.741%, 08/01/2019 (G) |
|
|
5,755 |
|
|
|
5,273 |
|
| American Greetings |
|
|
|
|
|
|
|
|
| 7.375%, 12/01/2021 |
|
|
555 |
|
|
|
579 |
|
| Antero Resources Finance |
|
|
|
|
|
|
|
|
| 6.000%, 12/01/2020 |
|
|
480 |
|
|
|
490 |
|
| Arch Coal |
|
|
|
|
|
|
|
|
| 8.000%, 01/15/2019 (A) |
|
|
1,580 |
|
|
|
1,355 |
|
| 7.250%, 06/15/2021 |
|
|
880 |
|
|
|
425 |
|
| 7.000%, 06/15/2019 |
|
|
450 |
|
|
|
240 |
|
| Athlon Holdings |
|
|
|
|
|
|
|
|
| 6.000%, 05/01/2022 (A) |
|
|
785 |
|
|
|
842 |
|
|
|
|
| 162 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Atlas Energy Holdings Operating |
|
|
|
|
|
|
|
|
| 9.250%, 08/15/2021 |
|
$ |
2,050 |
|
|
$ |
2,091 |
|
| 7.750%, 01/15/2021 |
|
|
1,250 |
|
|
|
1,231 |
|
| Atlas Pipeline Partners |
|
|
|
|
|
|
|
|
| 6.625%, 10/01/2020 |
|
|
1,724 |
|
|
|
1,763 |
|
| 5.875%, 08/01/2023 |
|
|
750 |
|
|
|
733 |
|
| Atwood Oceanics |
|
|
|
|
|
|
|
|
| 6.500%, 02/01/2020 |
|
|
1,175 |
|
|
|
1,204 |
|
| Baytex Energy (A) |
|
|
|
|
|
|
|
|
| 5.625%, 06/01/2024 |
|
|
1,295 |
|
|
|
1,243 |
|
| 5.125%, 06/01/2021 |
|
|
285 |
|
|
|
278 |
|
| Berry Petroleum |
|
|
|
|
|
|
|
|
| 6.375%, 09/15/2022 |
|
|
330 |
|
|
|
320 |
|
| Bill Barrett |
|
|
|
|
|
|
|
|
| 7.625%, 10/01/2019 |
|
|
2,200 |
|
|
|
2,271 |
|
| 7.000%, 10/15/2022 |
|
|
1,500 |
|
|
|
1,489 |
|
| BreitBurn Energy Partners |
|
|
|
|
|
|
|
|
| 8.625%, 10/15/2020 |
|
|
950 |
|
|
|
988 |
|
| 7.875%, 04/15/2022 |
|
|
275 |
|
|
|
278 |
|
| California Resources (A) |
|
|
|
|
|
|
|
|
| 6.000%, 11/15/2024 |
|
|
1,600 |
|
|
|
1,644 |
|
| 5.500%, 09/15/2021 |
|
|
1,365 |
|
|
|
1,385 |
|
| Calumet Specialty Products Partners |
|
|
|
|
|
|
|
|
| 7.625%, 01/15/2022 |
|
|
2,120 |
|
|
|
2,152 |
|
| Carrizo Oil & Gas |
|
|
|
|
|
|
|
|
| 7.500%, 09/15/2020 |
|
|
375 |
|
|
|
390 |
|
| Chaparral Energy |
|
|
|
|
|
|
|
|
| 8.250%, 09/01/2021 |
|
|
550 |
|
|
|
588 |
|
| 7.625%, 11/15/2022 |
|
|
715 |
|
|
|
733 |
|
| CHC Helicopter |
|
|
|
|
|
|
|
|
| 9.375%, 06/01/2021 |
|
|
2,510 |
|
|
|
2,648 |
|
| Chesapeake Energy |
|
|
|
|
|
|
|
|
| 6.875%, 11/15/2020 |
|
|
65 |
|
|
|
72 |
|
| 6.625%, 08/15/2020 |
|
|
1,170 |
|
|
|
1,291 |
|
| 6.125%, 02/15/2021 |
|
|
260 |
|
|
|
283 |
|
| 4.875%, 04/15/2022 |
|
|
2,200 |
|
|
|
2,211 |
|
| Compressco Partners |
|
|
|
|
|
|
|
|
| 7.250%, 08/15/2022 (A) |
|
|
1,425 |
|
|
|
1,429 |
|
| Crestwood Midstream Partners |
|
|
|
|
|
|
|
|
| 6.000%, 12/15/2020 |
|
|
1,700 |
|
|
|
1,708 |
|
| Denbury Resources |
|
|
|
|
|
|
|
|
| 5.500%, 05/01/2022 |
|
|
815 |
|
|
|
807 |
|
| 4.625%, 07/15/2023 |
|
|
515 |
|
|
|
476 |
|
| Endeavor Energy Resources |
|
|
|
|
|
|
|
|
| 7.000%, 08/15/2021 (A) |
|
|
3,600 |
|
|
|
3,708 |
|
| Energy Transfer Equity |
|
|
|
|
|
|
|
|
| 5.875%, 01/15/2024 |
|
|
5,129 |
|
|
|
5,193 |
|
| Energy XXI Gulf Coast |
|
|
|
|
|
|
|
|
| 7.500%, 12/15/2021 |
|
|
3,365 |
|
|
|
3,298 |
|
| 6.875%, 03/15/2024 (A) |
|
|
1,450 |
|
|
|
1,363 |
|
| EP Energy |
|
|
|
|
|
|
|
|
| 9.375%, 05/01/2020 |
|
|
1,435 |
|
|
|
1,564 |
|
| 7.750%, 09/01/2022 |
|
|
750 |
|
|
|
793 |
|
| EV Energy Partners |
|
|
|
|
|
|
|
|
| 8.000%, 04/15/2019 |
|
|
1,310 |
|
|
|
1,356 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| EXCO Resources |
|
|
|
|
|
|
|
|
| 8.500%, 04/15/2022 |
|
$ |
1,095 |
|
|
$ |
1,040 |
|
| Exterran Partners |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2021 |
|
|
475 |
|
|
|
462 |
|
| FTS International |
|
|
|
|
|
|
|
|
| 6.250%, 05/01/2022 (A) |
|
|
1,550 |
|
|
|
1,523 |
|
| Genesis Energy |
|
|
|
|
|
|
|
|
| 5.750%, 02/15/2021 |
|
|
370 |
|
|
|
363 |
|
| Gibson Energy |
|
|
|
|
|
|
|
|
| 6.750%, 07/15/2021 (A) |
|
|
3,750 |
|
|
|
3,975 |
|
| Global Partners |
|
|
|
|
|
|
|
|
| 6.250%, 07/15/2022 (A) |
|
|
3,275 |
|
|
|
3,259 |
|
| Gulfport Energy |
|
|
|
|
|
|
|
|
| 7.750%, 11/01/2020 (A) |
|
|
95 |
|
|
|
99 |
|
| Halcon Resources |
|
|
|
|
|
|
|
|
| 9.750%, 07/15/2020 |
|
|
2,143 |
|
|
|
2,181 |
|
| 9.250%, 02/15/2022 |
|
|
310 |
|
|
|
309 |
|
| 8.875%, 05/15/2021 |
|
|
4,417 |
|
|
|
4,351 |
|
| Hercules Offshore (A) |
|
|
|
|
|
|
|
|
| 8.750%, 07/15/2021 |
|
|
355 |
|
|
|
309 |
|
| 7.500%, 10/01/2021 |
|
|
675 |
|
|
|
543 |
|
| 6.750%, 04/01/2022 |
|
|
1,335 |
|
|
|
1,045 |
|
| Hiland Partners (A) |
|
|
|
|
|
|
|
|
| 7.250%, 10/01/2020 |
|
|
2,634 |
|
|
|
2,792 |
|
| 5.500%, 05/15/2022 |
|
|
490 |
|
|
|
477 |
|
| IronGate Energy Services |
|
|
|
|
|
|
|
|
| 11.000%, 07/01/2018 (A) |
|
|
400 |
|
|
|
402 |
|
| Key Energy Services |
|
|
|
|
|
|
|
|
| 6.750%, 03/01/2021 |
|
|
1,620 |
|
|
|
1,559 |
|
| Kinder Morgan |
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2021 (A) |
|
|
1,036 |
|
|
|
1,080 |
|
| Kodiak Oil & Gas |
|
|
|
|
|
|
|
|
| 8.125%, 12/01/2019 |
|
|
790 |
|
|
|
847 |
|
| 5.500%, 01/15/2021 |
|
|
15 |
|
|
|
15 |
|
| 5.500%, 02/01/2022 |
|
|
110 |
|
|
|
111 |
|
| Laredo Petroleum |
|
|
|
|
|
|
|
|
| 7.375%, 05/01/2022 |
|
|
1,175 |
|
|
|
1,234 |
|
| 5.625%, 01/15/2022 |
|
|
950 |
|
|
|
931 |
|
| Legacy Reserves |
|
|
|
|
|
|
|
|
| 8.000%, 12/01/2020 |
|
|
2,040 |
|
|
|
2,122 |
|
| 6.625%, 12/01/2021 (A) |
|
|
1,555 |
|
|
|
1,523 |
|
| Lightstream Resources |
|
|
|
|
|
|
|
|
| 8.625%, 02/01/2020 (A) |
|
|
315 |
|
|
|
312 |
|
| Linn Energy |
|
|
|
|
|
|
|
|
| 7.750%, 02/01/2021 |
|
|
1,820 |
|
|
|
1,834 |
|
| 6.500%, 5/15/2019 |
|
|
2,530 |
|
|
|
2,479 |
|
| 6.500%, 09/15/2021 |
|
|
2,545 |
|
|
|
2,481 |
|
| 6.250%, 11/01/2019 |
|
|
2,900 |
|
|
|
2,831 |
|
| MarkWest Energy Partners |
|
|
|
|
|
|
|
|
| 6.500%, 08/15/2021 |
|
|
310 |
|
|
|
326 |
|
| 5.500%, 02/15/2023 |
|
|
280 |
|
|
|
286 |
|
| MEG Energy (A) |
|
|
|
|
|
|
|
|
| 7.000%, 03/31/2024 |
|
|
565 |
|
|
|
585 |
|
| 6.500%, 03/15/2021 |
|
|
616 |
|
|
|
631 |
|
| 6.375%, 01/30/2023 |
|
|
920 |
|
|
|
928 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
163 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Memorial Production Partners |
|
|
|
|
|
|
|
|
| 7.625%, 05/01/2021 |
|
$ |
5,200 |
|
|
$ |
5,174 |
|
| 6.875%, 08/01/2022 (A) |
|
|
5,485 |
|
|
|
5,238 |
|
| Memorial Resource Development |
|
|
|
|
|
|
|
|
| 5.875%, 07/01/2022 (A) |
|
|
2,960 |
|
|
|
2,893 |
|
| Midstates Petroleum |
|
|
|
|
|
|
|
|
| 10.750%, 10/01/2020 |
|
|
3,458 |
|
|
|
3,588 |
|
| 9.250%, 06/01/2021 |
|
|
2,475 |
|
|
|
2,438 |
|
| Milagro Oil & Gas |
|
|
|
|
|
|
|
|
| 10.500%, 05/15/2016 (B) |
|
|
1,700 |
|
|
|
1,343 |
|
| Millennium Offshore Services Superholdings |
|
|
|
|
|
|
|
|
| 9.500%, 02/15/2018 (A) |
|
|
925 |
|
|
|
980 |
|
| Murray Energy |
|
|
|
|
|
|
|
|
| 8.625%, 06/15/2021 (A) |
|
|
2,150 |
|
|
|
2,225 |
|
| NGL Energy Partners |
|
|
|
|
|
|
|
|
| 6.875%, 10/15/2021 (A) |
|
|
1,600 |
|
|
|
1,664 |
|
| Northern Blizzard Resources |
|
|
|
|
|
|
|
|
| 7.250%, 02/01/2022 (A) |
|
|
954 |
|
|
|
983 |
|
| Northern Oil and Gas |
|
|
|
|
|
|
|
|
| 8.000%, 06/01/2020 |
|
|
1,095 |
|
|
|
1,111 |
|
| NuStar Logistics |
|
|
|
|
|
|
|
|
| 6.750%, 02/01/2021 |
|
|
1,000 |
|
|
|
1,087 |
|
| Oasis Petroleum |
|
|
|
|
|
|
|
|
| 6.875%, 03/15/2022 |
|
|
2,070 |
|
|
|
2,184 |
|
| Ocean Rig UDW |
|
|
|
|
|
|
|
|
| 7.250%, 04/01/2019 (A) |
|
|
1,755 |
|
|
|
1,606 |
|
| Offshore Group Investments |
|
|
|
|
|
|
|
|
| 7.125%, 04/01/2023 |
|
|
1,060 |
|
|
|
934 |
|
| Pacific Drilling |
|
|
|
|
|
|
|
|
| 5.375%, 06/01/2020 (A) |
|
|
1,200 |
|
|
|
1,098 |
|
| Parker Drilling |
|
|
|
|
|
|
|
|
| 0.000%, 08/01/2020 (B) |
|
|
450 |
|
|
|
4 |
|
| PDC Energy |
|
|
|
|
|
|
|
|
| 7.750%, 10/15/2022 |
|
|
720 |
|
|
|
770 |
|
| Peabody Energy |
|
|
|
|
|
|
|
|
| 6.500%, 09/15/2020 |
|
|
130 |
|
|
|
122 |
|
| 6.250%, 11/15/2021 |
|
|
725 |
|
|
|
674 |
|
| Penn Virginia Resource Partners |
|
|
|
|
|
|
|
|
| 8.375%, 06/01/2020 |
|
|
1,938 |
|
|
|
2,112 |
|
| 6.500%, 05/15/2021 |
|
|
2,100 |
|
|
|
2,200 |
|
| Pioneer Energy Services |
|
|
|
|
|
|
|
|
| 6.125%, 03/15/2022 (A) |
|
|
495 |
|
|
|
490 |
|
| QR Energy |
|
|
|
|
|
|
|
|
| 9.250%, 8/1/2020 |
|
|
665 |
|
|
|
755 |
|
| Regency Energy Partners |
|
|
|
|
|
|
|
|
| 8.375%, 06/01/2019 (A) |
|
|
3,850 |
|
|
|
4,081 |
|
| 5.875%, 03/01/2022 |
|
|
3,080 |
|
|
|
3,203 |
|
| 5.750%, 09/01/2020 |
|
|
35 |
|
|
|
36 |
|
| 5.500%, 04/15/2023 |
|
|
510 |
|
|
|
516 |
|
| 5.000%, 10/01/2022 |
|
|
325 |
|
|
|
320 |
|
| Rice Energy |
|
|
|
|
|
|
|
|
| 6.250%, 05/01/2022 (A) |
|
|
2,575 |
|
|
|
2,511 |
|
| RKI Exploration & Production |
|
|
|
|
|
|
|
|
| 8.500%, 08/01/2021 (A) |
|
|
520 |
|
|
|
537 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Rose Rock Midstream |
|
|
|
|
|
|
|
|
| 5.625%, 07/15/2022 (A) |
|
$ |
4,606 |
|
|
$ |
4,560 |
|
| Rosetta Resources |
|
|
|
|
|
|
|
|
| 5.875%, 06/01/2022 |
|
|
1,050 |
|
|
|
1,046 |
|
| RSP Permian |
|
|
|
|
|
|
|
|
| 6.625%, 10/01/2022 (A) |
|
|
130 |
|
|
|
131 |
|
| Sabine Pass Liquefaction |
|
|
|
|
|
|
|
|
| 6.250%, 03/15/2022 (A) |
|
|
2,825 |
|
|
|
2,973 |
|
| 5.750%, 05/15/2024 (A) |
|
|
525 |
|
|
|
534 |
|
| 5.625%, 02/01/2021 |
|
|
3,095 |
|
|
|
3,180 |
|
| 5.625%, 04/15/2023 |
|
|
6,900 |
|
|
|
6,969 |
|
| Samson Investment |
|
|
|
|
|
|
|
|
| 9.750%, 02/15/2020 |
|
|
1,540 |
|
|
|
1,398 |
|
| Sanchez Energy |
|
|
|
|
|
|
|
|
| 6.125%, 01/15/2023 (A) |
|
|
395 |
|
|
|
391 |
|
| SandRidge Energy |
|
|
|
|
|
|
|
|
| 8.125%, 10/15/2022 |
|
|
2,624 |
|
|
|
2,621 |
|
| 7.500%, 03/15/2021 |
|
|
3,656 |
|
|
|
3,565 |
|
| 7.500%, 02/15/2023 |
|
|
6,340 |
|
|
|
6,158 |
|
| Tesoro Logistics |
|
|
|
|
|
|
|
|
| 6.125%, 10/15/2021 |
|
|
250 |
|
|
|
258 |
|
| 5.875%, 10/01/2020 |
|
|
818 |
|
|
|
847 |
|
| Triangle USA Petroleum |
|
|
|
|
|
|
|
|
| 6.750%, 07/15/2022 (A) |
|
|
1,375 |
|
|
|
1,342 |
|
| Trinidad Drilling |
|
|
|
|
|
|
|
|
| 7.875%, 01/15/2019 (A) |
|
|
750 |
|
|
|
776 |
|
| Ultra Petroleum |
|
|
|
|
|
|
|
|
| 6.125%, 10/01/2024 (A) |
|
|
1,330 |
|
|
|
1,270 |
|
| 5.750%, 12/15/2018 |
|
|
1,400 |
|
|
|
1,407 |
|
| Unit |
|
|
|
|
|
|
|
|
| 6.625%, 05/15/2021 |
|
|
2,000 |
|
|
|
2,005 |
|
| Venoco |
|
|
|
|
|
|
|
|
| 8.875%, 02/15/2019 |
|
|
3,000 |
|
|
|
2,730 |
|
| Warren Resources |
|
|
|
|
|
|
|
|
| 9.000%, 08/01/2022 (A) |
|
|
725 |
|
|
|
709 |
|
| Whiting Petroleum |
|
|
|
|
|
|
|
|
| 5.750%, 03/15/2021 |
|
|
900 |
|
|
|
952 |
|
| WPX Energy |
|
|
|
|
|
|
|
|
| 5.250%, 09/15/2024 |
|
|
325 |
|
|
|
315 |
|
| YPF |
|
|
|
|
|
|
|
|
| 8.750%, 04/04/2024 (A) |
|
|
1,335 |
|
|
|
1,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
207,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 6.6% |
|
|
|
|
|
|
|
|
| AAF Holdings |
|
|
|
|
|
|
|
|
| 12.000%, 07/01/2019 (A) |
|
|
954 |
|
|
|
954 |
|
| Ally Financial |
|
|
|
|
|
|
|
|
| 8.000%, 03/15/2020 |
|
|
1,498 |
|
|
|
1,745 |
|
| 8.000%, 11/01/2031 |
|
|
1,230 |
|
|
|
1,534 |
|
| 7.500%, 09/15/2020 |
|
|
1,670 |
|
|
|
1,925 |
|
| 6.250%, 12/01/2017 |
|
|
890 |
|
|
|
955 |
|
| 5.125%, 09/30/2024 |
|
|
1,323 |
|
|
|
1,297 |
|
| 3.500%, 01/27/2019 |
|
|
1,845 |
|
|
|
1,794 |
|
|
|
|
| 164 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| American Equity Investment Life Holding |
|
|
|
|
|
|
|
|
| 6.625%, 07/15/2021 |
|
$ |
1,900 |
|
|
$ |
1,995 |
|
| A-S -Issuer Subsidiary |
|
|
|
|
|
|
|
|
| 7.875%, 12/15/2020 (A) |
|
|
3,533 |
|
|
|
3,657 |
|
| Bank of America (G) |
|
|
|
|
|
|
|
|
| 8.000%, 12/29/2049 |
|
|
1,675 |
|
|
|
1,806 |
|
| 6.250%, 09/29/2049 |
|
|
845 |
|
|
|
839 |
|
| 5.125%, 12/31/2049 |
|
|
1,917 |
|
|
|
1,867 |
|
| Barclays Bank |
|
|
|
|
|
|
|
|
| 7.625%, 11/21/2022 |
|
|
1,310 |
|
|
|
1,408 |
|
| CIT Group |
|
|
|
|
|
|
|
|
| 6.625%, 04/01/2018 (A) |
|
|
250 |
|
|
|
268 |
|
| 5.500%, 02/15/2019 (A) |
|
|
2,375 |
|
|
|
2,485 |
|
| 5.250%, 03/15/2018 |
|
|
140 |
|
|
|
144 |
|
| 4.250%, 08/15/2017 |
|
|
50 |
|
|
|
51 |
|
| 3.875%, 02/19/2019 |
|
|
795 |
|
|
|
781 |
|
| Citigroup |
|
|
|
|
|
|
|
|
| 5.950%, 12/29/2049 (G) |
|
|
1,950 |
|
|
|
1,949 |
|
| City National Bank |
|
|
|
|
|
|
|
|
| 9.000%, 08/12/2019 |
|
|
3,384 |
|
|
|
4,029 |
|
| Corrections Corp of America‡ |
|
|
|
|
|
|
|
|
| 4.625%, 05/01/2023 |
|
|
830 |
|
|
|
803 |
|
| 4.125%, 04/01/2020 |
|
|
945 |
|
|
|
926 |
|
| Credit Suisse Group |
|
|
|
|
|
|
|
|
| 7.500%, 12/11/2048 |
|
|
2,775 |
|
|
|
2,914 |
|
| CTR Partnership‡ |
|
|
|
|
|
|
|
|
| 5.875%, 06/01/2021 (A) |
|
|
1,970 |
|
|
|
1,970 |
|
| CyrusOne |
|
|
|
|
|
|
|
|
| 6.375%, 11/15/2022 |
|
|
500 |
|
|
|
523 |
|
| Denali Borrower |
|
|
|
|
|
|
|
|
| 5.625%, 10/15/2020 (A) |
|
|
1,395 |
|
|
|
1,435 |
|
| Geo Group‡ |
|
|
|
|
|
|
|
|
| 5.875%, 01/15/2022 |
|
|
1,050 |
|
|
|
1,061 |
|
| 5.875%, 10/15/2024 |
|
|
550 |
|
|
|
551 |
|
| GLP Capital |
|
|
|
|
|
|
|
|
| 4.875%, 11/01/2020 |
|
|
643 |
|
|
|
656 |
|
| Harland Clarke Holdings |
|
|
|
|
|
|
|
|
| 9.250%, 03/01/2021 (A) |
|
|
8,093 |
|
|
|
8,194 |
|
| Hockey Merger Sub 2 |
|
|
|
|
|
|
|
|
| 7.875%, 10/01/2021 (A) |
|
|
3,970 |
|
|
|
4,064 |
|
| HSBC Holdings |
|
|
|
|
|
|
|
|
| 6.375%, 12/29/2049 (G) |
|
|
1,205 |
|
|
|
1,203 |
|
| Hub Holdings |
|
|
|
|
|
|
|
|
| 8.125%, 07/15/2019 (A) |
|
|
1,065 |
|
|
|
1,041 |
|
| Infinity Acquisition |
|
|
|
|
|
|
|
|
| 7.250%, 08/01/2022 (A) |
|
|
2,065 |
|
|
|
1,993 |
|
| International Lease Finance |
|
|
|
|
|
|
|
|
| 6.250%, 05/15/2019 |
|
|
1,620 |
|
|
|
1,736 |
|
| 5.875%, 04/01/2019 |
|
|
2,680 |
|
|
|
2,854 |
|
| Jefferies Finance |
|
|
|
|
|
|
|
|
| 6.875%, 04/15/2022 (A) |
|
|
2,645 |
|
|
|
2,605 |
|
| JPMorgan Chase (G) |
|
|
|
|
|
|
|
|
| 7.900%, 04/29/2049 |
|
|
1,967 |
|
|
|
2,129 |
|
| 6.750%, 08/29/2049 |
|
|
1,570 |
|
|
|
1,649 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Kennedy-Wilson |
|
|
|
|
|
|
|
|
| 5.875%, 04/01/2024 |
|
$ |
2,300 |
|
|
$ |
2,312 |
|
| LBG Capital No.1 MTN |
|
|
|
|
|
|
|
|
| 8.000%, 06/15/2020 (G) |
|
|
2,000 |
|
|
|
2,162 |
|
| Lloyds Banking Group |
|
|
|
|
|
|
|
|
| 7.500%, 12/01/2099 (G) |
|
|
2,585 |
|
|
|
2,663 |
|
| Mattamy Group |
|
|
|
|
|
|
|
|
| 6.500%, 11/15/2020 (A) |
|
|
1,810 |
|
|
|
1,805 |
|
| National Life Insurance |
|
|
|
|
|
|
|
|
| 10.500%, 09/15/2039 (A) |
|
|
990 |
|
|
|
1,504 |
|
| Nationstar Mortgage |
|
|
|
|
|
|
|
|
| 6.500%, 08/01/2018 |
|
|
1,350 |
|
|
|
1,347 |
|
| 6.500%, 07/01/2021 |
|
|
1,525 |
|
|
|
1,453 |
|
| NSG Holdings |
|
|
|
|
|
|
|
|
| 7.750%, 12/15/2025 (A) |
|
|
2,000 |
|
|
|
2,150 |
|
| Nuveen Investments |
|
|
|
|
|
|
|
|
| 9.500%, 10/15/2020 (A) |
|
|
2,000 |
|
|
|
2,320 |
|
| Opal Acquisition |
|
|
|
|
|
|
|
|
| 8.875%, 12/15/2021 (A) |
|
|
5,400 |
|
|
|
5,575 |
|
| Popular |
|
|
|
|
|
|
|
|
| 7.000%, 07/01/2019 |
|
|
1,420 |
|
|
|
1,427 |
|
| Qualitytech |
|
|
|
|
|
|
|
|
| 5.875%, 08/01/2022 (A) |
|
|
3,190 |
|
|
|
3,126 |
|
| Realogy |
|
|
|
|
|
|
|
|
| 7.625%, 01/15/2020 (A) |
|
|
530 |
|
|
|
567 |
|
| RHP Hotel Properties‡ |
|
|
|
|
|
|
|
|
| 5.000%, 04/15/2021 |
|
|
2,508 |
|
|
|
2,445 |
|
| Royal Bank of Scotland Group PLC |
|
|
|
|
|
|
|
|
| 5.125%, 05/28/2024 |
|
|
780 |
|
|
|
766 |
|
| TransUnion Holding |
|
|
|
|
|
|
|
|
| 9.625%, 06/15/2018 |
|
|
625 |
|
|
|
644 |
|
| UPCB Finance III |
|
|
|
|
|
|
|
|
| 6.625%, 07/01/2020 (A) |
|
|
650 |
|
|
|
679 |
|
| USI |
|
|
|
|
|
|
|
|
| 7.750%, 01/15/2021 (A) |
|
|
3,630 |
|
|
|
3,612 |
|
| Walter Investment Management |
|
|
|
|
|
|
|
|
| 7.875%, 12/15/2021 (A) |
|
|
1,342 |
|
|
|
1,322 |
|
| Wells Fargo |
|
|
|
|
|
|
|
|
| 7.980%, 03/15/2018 (G) |
|
|
950 |
|
|
|
1,040 |
|
| Wilton Re Finance |
|
|
|
|
|
|
|
|
| 5.875%, 03/30/2033 (A) (G) |
|
|
1,900 |
|
|
|
1,976 |
|
| XL Capital |
|
|
|
|
|
|
|
|
| 6.500%, 12/31/2049 (G) |
|
|
1,700 |
|
|
|
1,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 5.8% |
|
|
|
|
|
|
|
|
| 21st Century Oncology |
|
|
|
|
|
|
|
|
| 9.875%, 04/15/2017 |
|
|
555 |
|
|
|
547 |
|
| 8.875%, 01/15/2017 |
|
|
610 |
|
|
|
630 |
|
| Acadia Healthcare |
|
|
|
|
|
|
|
|
| 12.875%, 11/01/2018 |
|
|
1,250 |
|
|
|
1,437 |
|
| 5.125%, 07/01/2022 |
|
|
1,600 |
|
|
|
1,560 |
|
| Alere |
|
|
|
|
|
|
|
|
| 6.500%, 06/15/2020 |
|
|
215 |
|
|
|
214 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
165 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Amsurg |
|
|
|
|
|
|
|
|
| 5.625%, 07/15/2022 (A) |
|
$ |
4,620 |
|
|
$ |
4,574 |
|
| Aurora Diagnostics Holdings |
|
|
|
|
|
|
|
|
| 10.750%, 01/15/2018 |
|
|
4,340 |
|
|
|
3,548 |
|
| Biomet |
|
|
|
|
|
|
|
|
| 6.500%, 08/01/2020 |
|
|
6,905 |
|
|
|
7,319 |
|
| CHS |
|
|
|
|
|
|
|
|
| 8.000%, 11/15/2019 |
|
|
1,075 |
|
|
|
1,148 |
|
| 7.125%, 07/15/2020 |
|
|
2,650 |
|
|
|
2,809 |
|
| 6.875%, 02/01/2022 (A) |
|
|
1,200 |
|
|
|
1,248 |
|
| Crimson Merger Sub |
|
|
|
|
|
|
|
|
| 6.625%, 05/15/2022 (A) |
|
|
895 |
|
|
|
816 |
|
| DaVita HealthCare Partners |
|
|
|
|
|
|
|
|
| 5.125%, 07/15/2024 |
|
|
2,615 |
|
|
|
2,569 |
|
| DJO Finance |
|
|
|
|
|
|
|
|
| 9.875%, 04/15/2018 |
|
|
190 |
|
|
|
199 |
|
| 8.750%, 03/15/2018 |
|
|
480 |
|
|
|
506 |
|
| 7.750%, 04/15/2018 |
|
|
1,225 |
|
|
|
1,231 |
|
| Fresenius Medical Care US Finance II |
|
|
|
|
|
| 5.625%, 07/31/2019 (A) |
|
|
1,375 |
|
|
|
1,447 |
|
| Gates Global |
|
|
|
|
|
|
|
|
| 6.000%, 07/15/2022 (A) |
|
|
1,355 |
|
|
|
1,274 |
|
| Grifols Worldwide Operations |
|
|
|
|
|
|
|
|
| 5.250%, 04/01/2022 (A) |
|
|
3,889 |
|
|
|
3,840 |
|
| HCA |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/2022 |
|
|
3,825 |
|
|
|
4,303 |
|
| 6.500%, 02/15/2020 |
|
|
910 |
|
|
|
994 |
|
| 5.000%, 03/15/2024 |
|
|
863 |
|
|
|
849 |
|
| HCA Holdings |
|
|
|
|
|
|
|
|
| 7.750%, 05/15/2021 |
|
|
2,871 |
|
|
|
3,068 |
|
| Healthsouth |
|
|
|
|
|
|
|
|
| 7.750%, 09/15/2022 |
|
|
327 |
|
|
|
349 |
|
| Hologic |
|
|
|
|
|
|
|
|
| 6.250%, 08/01/2020 |
|
|
4,000 |
|
|
|
4,120 |
|
| IASIS Healthcare |
|
|
|
|
|
|
|
|
| 8.375%, 05/15/2019 |
|
|
2,000 |
|
|
|
2,095 |
|
| Immucor |
|
|
|
|
|
|
|
|
| 11.125%, 08/15/2019 |
|
|
3,865 |
|
|
|
4,174 |
|
| IMS Health |
|
|
|
|
|
|
|
|
| 6.000%, 11/01/2020 (A) |
|
|
785 |
|
|
|
805 |
|
| Kindred Healthcare |
|
|
|
|
|
|
|
|
| 6.375%, 04/15/2022 (A) |
|
|
3,440 |
|
|
|
3,354 |
|
| Kinetic Concepts |
|
|
|
|
|
|
|
|
| 12.500%, 11/01/2019 |
|
|
660 |
|
|
|
734 |
|
| 10.500%, 11/01/2018 |
|
|
2,260 |
|
|
|
2,458 |
|
| Lantheus Medical Imaging |
|
|
|
|
|
|
|
|
| 9.750%, 05/15/2017 |
|
|
1,385 |
|
|
|
1,375 |
|
| LifePoint Hospitals |
|
|
|
|
|
|
|
|
| 5.500%, 12/01/2021 |
|
|
2,940 |
|
|
|
2,977 |
|
| Mallinckrodt International Finance |
|
|
|
|
|
|
|
|
| 5.750%, 08/01/2022 (A) |
|
|
1,650 |
|
|
|
1,662 |
|
| 4.750%, 04/15/2023 |
|
|
790 |
|
|
|
739 |
|
| MPH Acquisition Holdings |
|
|
|
|
|
|
|
|
| 6.625%, 04/01/2022 (A) |
|
|
4,185 |
|
|
|
4,227 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Par Pharmaceutical |
|
|
|
|
|
|
|
|
| 7.375%, 10/15/2020 |
|
$ |
2,435 |
|
|
$ |
2,538 |
|
| Salix Pharmaceuticals |
|
|
|
|
|
|
|
|
| 6.000%, 01/15/2021 (A) |
|
|
1,769 |
|
|
|
1,915 |
|
| Tenet Healthcare |
|
|
|
|
|
|
|
|
| 8.125%, 04/01/2022 |
|
|
1,875 |
|
|
|
2,058 |
|
| 8.000%, 08/01/2020 |
|
|
960 |
|
|
|
1,013 |
|
| 6.750%, 02/01/2020 |
|
|
2,365 |
|
|
|
2,466 |
|
| 5.500%, 03/01/2019 (A) |
|
|
1,323 |
|
|
|
1,326 |
|
| 5.000%, 03/01/2019 (A) |
|
|
955 |
|
|
|
943 |
|
| 4.750%, 06/01/2020 |
|
|
1,000 |
|
|
|
992 |
|
| THC Escrow |
|
|
|
|
|
|
|
|
| 6.000%, 10/01/2020 |
|
|
990 |
|
|
|
1,047 |
|
| Trinseo Materials Operating SCA |
|
|
|
|
|
|
|
|
| 8.750%, 02/01/2019 |
|
|
794 |
|
|
|
836 |
|
| Truven Health Analytics |
|
|
|
|
|
|
|
|
| 10.625%, 06/01/2020 |
|
|
1,591 |
|
|
|
1,678 |
|
| United Surgical Partners International |
|
|
|
|
|
|
|
|
| 9.000%, 4/1/2020 |
|
|
1,150 |
|
|
|
1,239 |
|
| Valeant Pharmaceuticals International (A) |
|
|
|
|
|
|
|
|
| 7.250%, 07/15/2022 |
|
|
1,033 |
|
|
|
1,090 |
|
| 7.000%, 10/01/2020 |
|
|
305 |
|
|
|
319 |
|
| 6.750%, 08/15/2021 |
|
|
905 |
|
|
|
939 |
|
| Valeant Pharmaceuticals International Escrow |
|
|
|
|
|
|
|
|
| 7.500%, 07/15/2021 (A) |
|
|
3,095 |
|
|
|
3,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 9.3% |
|
|
|
|
|
|
|
|
| ACCO Brands |
|
|
|
|
|
|
|
|
| 6.750%, 04/30/2020 |
|
|
1,345 |
|
|
|
1,392 |
|
| Accudyne Industries Borrower |
|
|
|
|
|
|
|
|
| 7.750%, 12/15/2020 (A) |
|
|
1,000 |
|
|
|
1,037 |
|
| Actuant |
|
|
|
|
|
|
|
|
| 5.625%, 06/15/2022 |
|
|
3,000 |
|
|
|
3,120 |
|
| ADT |
|
|
|
|
|
|
|
|
| 6.250%, 10/15/2021 |
|
|
2,460 |
|
|
|
2,546 |
|
| 3.500%, 07/15/2022 |
|
|
330 |
|
|
|
285 |
|
| AECOM Technology (A) |
|
|
|
|
|
|
|
|
| 5.875%, 10/15/2024 |
|
|
805 |
|
|
|
810 |
|
| 5.750%, 10/15/2022 |
|
|
660 |
|
|
|
662 |
|
| AerCap Ireland Capital |
|
|
|
|
|
|
|
|
| 4.500%, 05/15/2021 (A) |
|
|
3,637 |
|
|
|
3,528 |
|
| Air Canada |
|
|
|
|
|
|
|
|
| 7.750%, 04/15/2021 (A) |
|
|
3,200 |
|
|
|
3,264 |
|
| Air Medical Group Holdings |
|
|
|
|
|
|
|
|
| 9.250%, 11/01/2018 |
|
|
2,666 |
|
|
|
2,783 |
|
| Aircastle |
|
|
|
|
|
|
|
|
| 7.625%, 04/15/2020 |
|
|
1,360 |
|
|
|
1,520 |
|
| Aleris International |
|
|
|
|
|
|
|
|
| 10.000%, 12/15/2016 (B) |
|
|
1,800 |
|
|
|
— |
|
| Aleris International PIK |
|
|
|
|
|
|
|
|
| 9.000%, 12/15/2014 (B) |
|
|
725 |
|
|
|
— |
|
|
|
|
| 166 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Algeco Scotsman Global Finance (A) |
|
|
|
|
|
|
|
|
| 10.750%, 10/15/2019 |
|
$ |
1,980 |
|
|
$ |
1,901 |
|
| 8.500%, 10/15/2018 |
|
|
820 |
|
|
|
841 |
|
| Allegiant Travel |
|
|
|
|
|
|
|
|
| 5.500%, 07/15/2019 |
|
|
190 |
|
|
|
194 |
|
| Alliant Techsystems |
|
|
|
|
|
|
|
|
| 5.250%, 10/01/2021 (A) |
|
|
475 |
|
|
|
476 |
|
| Allison Transmission |
|
|
|
|
|
|
|
|
| 7.125%, 05/15/2019 (A) |
|
|
2,655 |
|
|
|
2,781 |
|
| Alphabet Holding PIK |
|
|
|
|
|
|
|
|
| 7.750%, 11/01/2017 |
|
|
4,200 |
|
|
|
4,116 |
|
| Altegrity |
|
|
|
|
|
|
|
|
| 9.500%, 07/01/2019 (A) |
|
|
955 |
|
|
|
881 |
|
| American Builders & Contractors Supply |
|
|
|
|
|
|
|
|
| 5.625%, 04/15/2021 (A) |
|
|
1,340 |
|
|
|
1,313 |
|
| Amsted Industries |
|
|
|
|
|
|
|
|
| 5.000%, 03/15/2022 (A) |
|
|
950 |
|
|
|
923 |
|
| APX Group |
|
|
|
|
|
|
|
|
| 8.750%, 12/01/2020 |
|
|
4,735 |
|
|
|
4,309 |
|
| 6.375%, 12/01/2019 |
|
|
2,322 |
|
|
|
2,247 |
|
| Avis Budget Car Rental |
|
|
|
|
|
|
|
|
| 5.500%, 04/01/2023 |
|
|
525 |
|
|
|
521 |
|
| Boart Longyear Management Properties (A) |
|
|
|
|
|
|
|
|
| 10.000%, 10/01/2018 |
|
|
2,000 |
|
|
|
2,100 |
|
| 7.000%, 04/01/2021 |
|
|
4,090 |
|
|
|
3,149 |
|
| Bombardier (A) |
|
|
|
|
|
|
|
|
| 6.125%, 01/15/2023 |
|
|
1,060 |
|
|
|
1,061 |
|
| 6.000%, 10/15/2022 |
|
|
3,000 |
|
|
|
2,985 |
|
| 5.750%, 03/15/2022 |
|
|
825 |
|
|
|
821 |
|
| Briggs & Stratton |
|
|
|
|
|
|
|
|
| 6.875%, 12/15/2020 |
|
|
1,500 |
|
|
|
1,659 |
|
| Builders FirstSource |
|
|
|
|
|
|
|
|
| 7.625%, 06/01/2021 (A) |
|
|
1,448 |
|
|
|
1,473 |
|
| Building Materials Corp of America (A) |
|
|
|
|
|
|
|
|
| 7.500%, 03/15/2020 |
|
|
300 |
|
|
|
314 |
|
| 6.750%, 05/01/2021 |
|
|
620 |
|
|
|
649 |
|
| CDW |
|
|
|
|
|
|
|
|
| 8.500%, 04/01/2019 |
|
|
1,096 |
|
|
|
1,162 |
|
| Cenveo |
|
|
|
|
|
|
|
|
| 6.000%, 08/01/2019 (A) |
|
|
4,250 |
|
|
|
3,985 |
|
| Ceridian HCM Holding |
|
|
|
|
|
|
|
|
| 11.000%, 03/15/2021 (A) |
|
|
1,300 |
|
|
|
1,476 |
|
| CEVA Group (A) |
|
|
|
|
|
|
|
|
| 9.000%, 09/01/2021 |
|
|
1,000 |
|
|
|
998 |
|
| 7.000%, 03/01/2021 |
|
|
1,235 |
|
|
|
1,235 |
|
| Clean Harbors |
|
|
|
|
|
|
|
|
| 5.250%, 08/01/2020 |
|
|
4,095 |
|
|
|
4,095 |
|
| CNH Industrial Capital |
|
|
|
|
|
|
|
|
| 3.625%, 04/15/2018 |
|
|
815 |
|
|
|
797 |
|
| Covanta Holding |
|
|
|
|
|
|
|
|
| 5.875%, 03/01/2024 |
|
|
1,560 |
|
|
|
1,560 |
|
| CPG Merger |
|
|
|
|
|
|
|
|
| 8.000%, 10/01/2021 (A) |
|
|
1,675 |
|
|
|
1,704 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| DigitalGlobe |
|
|
|
|
|
|
|
|
| 5.250%, 02/01/2021 (A) |
|
$ |
4,375 |
|
|
$ |
4,200 |
|
| Enpro Industries |
|
|
|
|
|
|
|
|
| 5.875%, 09/15/2022 |
|
|
2,082 |
|
|
|
2,113 |
|
| Esterline Technologies |
|
|
|
|
|
|
|
|
| 7.000%, 08/01/2020 |
|
|
300 |
|
|
|
318 |
|
| FGI Operating |
|
|
|
|
|
|
|
|
| 7.875%, 05/01/2020 |
|
|
895 |
|
|
|
873 |
|
| Florida East Coast Holdings |
|
|
|
|
|
|
|
|
| 6.750%, 05/01/2019 (A) |
|
|
1,358 |
|
|
|
1,385 |
|
| Fly Leasing |
|
|
|
|
|
|
|
|
| 6.375%, 10/15/2021 |
|
|
2,615 |
|
|
|
2,589 |
|
| Gardner Denver |
|
|
|
|
|
|
|
|
| 6.875%, 08/15/2021 (A) |
|
|
980 |
|
|
|
982 |
|
| GenCorp |
|
|
|
|
|
|
|
|
| 7.125%, 03/15/2021 |
|
|
1,160 |
|
|
|
1,250 |
|
| General Cable |
|
|
|
|
|
|
|
|
| 5.750%, 10/01/2022 |
|
|
865 |
|
|
|
804 |
|
| Great Lakes Dredge & Dock |
|
|
|
|
|
|
|
|
| 7.375%, 02/01/2019 |
|
|
1,087 |
|
|
|
1,117 |
|
| H&E Equipment Services |
|
|
|
|
|
|
|
|
| 7.000%, 09/01/2022 |
|
|
370 |
|
|
|
395 |
|
| Hardwoods Acquisition |
|
|
|
|
|
|
|
|
| 7.500%, 08/01/2021 (A) |
|
|
950 |
|
|
|
936 |
|
| HD Supply |
|
|
|
|
|
|
|
|
| 11.500%, 07/15/2020 |
|
|
3,350 |
|
|
|
3,861 |
|
| 8.125%, 04/15/2019 |
|
|
1,235 |
|
|
|
1,334 |
|
| 7.500%, 07/15/2020 |
|
|
1,567 |
|
|
|
1,626 |
|
| Hertz |
|
|
|
|
|
|
|
|
| 7.375%, 01/15/2021 |
|
|
320 |
|
|
|
338 |
|
| 5.875%, 10/15/2020 |
|
|
830 |
|
|
|
842 |
|
| Interline Brands PIK |
|
|
|
|
|
|
|
|
| 10.000%, 11/15/2018 |
|
|
280 |
|
|
|
292 |
|
| International Lease Finance |
|
|
|
|
|
|
|
|
| 4.625%, 04/15/2021 |
|
|
175 |
|
|
|
174 |
|
| Iron Mountain |
|
|
|
|
|
|
|
|
| 7.750%, 10/01/2019 |
|
|
1,250 |
|
|
|
1,334 |
|
| 6.000%, 08/15/2023 |
|
|
715 |
|
|
|
733 |
|
| Jack Cooper Holdings |
|
|
|
|
|
|
|
|
| 9.250%, 06/01/2020 (A) |
|
|
740 |
|
|
|
796 |
|
| JCH Parent |
|
|
|
|
|
|
|
|
| 10.500%, 03/15/2019 (A) |
|
|
320 |
|
|
|
313 |
|
| Kratos Defense & Security Solutions |
|
|
|
|
|
|
|
|
| 7.000%, 05/15/2019 (A) |
|
|
790 |
|
|
|
784 |
|
| Manitowoc |
|
|
|
|
|
|
|
|
| 8.500%, 11/01/2020 |
|
|
910 |
|
|
|
978 |
|
| Marquette Transportation |
|
|
|
|
|
|
|
|
| 10.875%, 01/15/2017 |
|
|
1,292 |
|
|
|
1,353 |
|
| Meritor |
|
|
|
|
|
|
|
|
| 6.750%, 06/15/2021 |
|
|
1,015 |
|
|
|
1,056 |
|
| 6.250%, 02/15/2024 |
|
|
340 |
|
|
|
343 |
|
| Milacron |
|
|
|
|
|
|
|
|
| 7.750%, 02/15/2021 (A) |
|
|
1,375 |
|
|
|
1,447 |
|
| Mueller Water Products |
|
|
|
|
|
|
|
|
| 8.750%, 09/01/2020 |
|
|
468 |
|
|
|
503 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
167 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Navios South American Logistics |
|
|
|
|
|
|
|
|
| 7.250%, 05/01/2022 (A) |
|
$ |
1,405 |
|
|
$ |
1,391 |
|
| Nielsen Finance |
|
|
|
|
|
|
|
|
| 5.000%, 04/15/2022 (A) |
|
|
3,350 |
|
|
|
3,275 |
|
| 4.500%, 10/01/2020 |
|
|
1,290 |
|
|
|
1,248 |
|
| Nielsen Luxembourg SARL |
|
|
|
|
|
|
|
|
| 5.500%, 10/01/2021 (A) |
|
|
475 |
|
|
|
476 |
|
| Nortek |
|
|
|
|
|
|
|
|
| 8.500%, 04/15/2021 |
|
|
2,675 |
|
|
|
2,876 |
|
| Oshkosh |
|
|
|
|
|
|
|
|
| 5.375%, 03/01/2022 |
|
|
75 |
|
|
|
75 |
|
| Polymer Group |
|
|
|
|
|
|
|
|
| 7.750%, 02/01/2019 |
|
|
1,162 |
|
|
|
1,203 |
|
| 6.875%, 06/01/2019 (A) |
|
|
900 |
|
|
|
895 |
|
| RSC Equipment Rental |
|
|
|
|
|
|
|
|
| 8.250%, 02/01/2021 |
|
|
3,459 |
|
|
|
3,744 |
|
| Seminole Tribe of Florida |
|
|
|
|
|
|
|
|
| 6.535%, 10/01/2020 (A) |
|
|
500 |
|
|
|
537 |
|
| Sensata Technologies BV (A) |
|
|
|
|
|
|
|
|
| 6.500%, 05/15/2019 |
|
|
2,688 |
|
|
|
2,802 |
|
| 4.875%, 10/15/2023 |
|
|
1,600 |
|
|
|
1,544 |
|
| ServiceMaster |
|
|
|
|
|
|
|
|
| 8.000%, 02/15/2020 |
|
|
135 |
|
|
|
143 |
|
| 7.450%, 08/15/2027 |
|
|
1,900 |
|
|
|
1,919 |
|
| 7.250%, 03/01/2038 |
|
|
2,990 |
|
|
|
2,855 |
|
| 7.000%, 08/15/2020 |
|
|
406 |
|
|
|
422 |
|
| Stena |
|
|
|
|
|
|
|
|
| 7.000%, 02/01/2024 (A) |
|
|
1,330 |
|
|
|
1,383 |
|
| Tempel Steel |
|
|
|
|
|
|
|
|
| 12.000%, 08/15/2016 (A) |
|
|
860 |
|
|
|
860 |
|
| Terex |
|
|
|
|
|
|
|
|
| 6.500%, 04/01/2020 |
|
|
115 |
|
|
|
120 |
|
| 6.000%, 05/15/2021 |
|
|
2,785 |
|
|
|
2,896 |
|
| Tervita |
|
|
|
|
|
|
|
|
| 8.000%, 11/15/2018 (A) |
|
|
3,180 |
|
|
|
3,204 |
|
| TransDigm (A) |
|
|
|
|
|
|
|
|
| 6.500%, 07/15/2024 |
|
|
3,780 |
|
|
|
3,766 |
|
| 6.000%, 07/15/2022 |
|
|
3,540 |
|
|
|
3,496 |
|
| Triumph Group |
|
|
|
|
|
|
|
|
| 4.875%, 04/01/2021 |
|
|
860 |
|
|
|
843 |
|
| Unifrax I |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/2019 (A) |
|
|
600 |
|
|
|
606 |
|
| United Airlines, Ser 95A1 |
|
|
|
|
|
|
|
|
| 9.020%, 04/19/2012 (B) (C) |
|
|
267 |
|
|
|
75 |
|
| 3.000%, 10/19/2018 |
|
|
420 |
|
|
|
118 |
|
| United Airlines Pass-Through Trust, Ser 2013-1, Cl B |
|
|
|
|
|
|
|
|
| 5.375%, 08/15/2021 |
|
|
1,500 |
|
|
|
1,549 |
|
| United Rentals North America |
|
|
|
|
|
|
|
|
| 8.250%, 02/01/2021 |
|
|
165 |
|
|
|
179 |
|
| 7.625%, 04/15/2022 |
|
|
325 |
|
|
|
353 |
|
| 7.375%, 05/15/2020 |
|
|
525 |
|
|
|
558 |
|
| 5.750%, 11/15/2024 |
|
|
1,315 |
|
|
|
1,331 |
|
| Vander Intermediate Holding II |
|
|
|
|
|
|
|
|
| 9.750%, 02/01/2019 (A) |
|
|
550 |
|
|
|
575 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Watco |
|
|
|
|
|
|
|
|
| 6.375%, 04/01/2023 (A) |
|
$ |
2,260 |
|
|
$ |
2,271 |
|
| West |
|
|
|
|
|
|
|
|
| 5.375%, 07/15/2022 (A) |
|
|
1,200 |
|
|
|
1,107 |
|
| Wise Metals Group |
|
|
|
|
|
|
|
|
| 8.750%, 12/15/2018 (A) |
|
|
625 |
|
|
|
667 |
|
| Wise Metals Intermediate Holdings |
|
|
|
|
|
|
|
|
| 9.750%, 06/15/2019 (A) |
|
|
420 |
|
|
|
445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
159,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 6.6% |
|
|
|
|
|
|
|
|
| ACI Worldwide |
|
|
|
|
|
|
|
|
| 6.375%, 08/15/2020 (A) |
|
|
525 |
|
|
|
545 |
|
| Activision Blizzard |
|
|
|
|
|
|
|
|
| 5.625%, 09/15/2021 (A) |
|
|
6,200 |
|
|
|
6,448 |
|
| Advanced Micro Devices |
|
|
|
|
|
|
|
|
| 7.500%, 08/15/2022 |
|
|
2,115 |
|
|
|
2,136 |
|
| Alcatel-Lucent USA (A) |
|
|
|
|
|
|
|
|
| 8.875%, 01/01/2020 |
|
|
1,550 |
|
|
|
1,678 |
|
| 6.750%, 11/15/2020 |
|
|
375 |
|
|
|
381 |
|
| Amkor Technology |
|
|
|
|
|
|
|
|
| 6.625%, 06/01/2021 |
|
|
461 |
|
|
|
481 |
|
| 6.375%, 10/01/2022 |
|
|
2,575 |
|
|
|
2,665 |
|
| Aspect Software |
|
|
|
|
|
|
|
|
| 10.625%, 05/15/2017 |
|
|
785 |
|
|
|
779 |
|
| Audatex North America (A) |
|
|
|
|
|
|
|
|
| 6.125%, 11/01/2023 |
|
|
3,955 |
|
|
|
4,054 |
|
| 6.000%, 06/15/2021 |
|
|
905 |
|
|
|
928 |
|
| Avaya (A) |
|
|
|
|
|
|
|
|
| 10.500%, 03/01/2021 |
|
|
1,631 |
|
|
|
1,427 |
|
| 9.000%, 04/01/2019 |
|
|
2,220 |
|
|
|
2,237 |
|
| 7.000%, 04/01/2019 |
|
|
1,140 |
|
|
|
1,106 |
|
| Belden |
|
|
|
|
|
|
|
|
| 5.500%, 09/01/2022 (A) |
|
|
845 |
|
|
|
855 |
|
| Blackboard |
|
|
|
|
|
|
|
|
| 7.750%, 11/15/2019 (A) |
|
|
725 |
|
|
|
718 |
|
| BMC Software Finance |
|
|
|
|
|
|
|
|
| 8.125%, 07/15/2021 (A) |
|
|
2,780 |
|
|
|
2,669 |
|
| Boxer Parent |
|
|
|
|
|
|
|
|
| 9.000%, 10/15/2019 (A) |
|
|
1,990 |
|
|
|
1,831 |
|
| CommScope |
|
|
|
|
|
|
|
|
| 5.500%, 06/15/2024 (A) |
|
|
1,615 |
|
|
|
1,587 |
|
| CommScope Holding PIK |
|
|
|
|
|
|
|
|
| 6.625%, 06/01/2020 (A) |
|
|
1,810 |
|
|
|
1,864 |
|
| Eagle Midco |
|
|
|
|
|
|
|
|
| 9.000%, 06/15/2018 (A) |
|
|
2,985 |
|
|
|
3,048 |
|
| EarthLink Holdings |
|
|
|
|
|
|
|
|
| 7.375%, 06/01/2020 |
|
|
1,950 |
|
|
|
2,000 |
|
| Entegris |
|
|
|
|
|
|
|
|
| 6.000%, 04/01/2022 (A) |
|
|
795 |
|
|
|
807 |
|
| Epicor Software |
|
|
|
|
|
|
|
|
| 8.625%, 05/01/2019 |
|
|
1,030 |
|
|
|
1,089 |
|
| Equinix |
|
|
|
|
|
|
|
|
| 4.875%, 04/01/2020 |
|
|
2,175 |
|
|
|
2,153 |
|
|
|
|
| 168 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| First Data |
|
|
|
|
|
|
|
|
| 12.625%, 01/15/2021 |
|
$ |
1,104 |
|
|
$ |
1,322 |
|
| 11.750%, 08/15/2021 |
|
|
4,494 |
|
|
|
5,201 |
|
| 11.250%, 01/15/2021 |
|
|
758 |
|
|
|
863 |
|
| 8.875%, 08/15/2020 (A) |
|
|
1,670 |
|
|
|
1,791 |
|
| 8.250%, 01/15/2021 (A) |
|
|
370 |
|
|
|
392 |
|
| 7.375%, 06/15/2019 (A) |
|
|
3,000 |
|
|
|
3,158 |
|
| 6.750%, 11/01/2020 (A) |
|
|
1,411 |
|
|
|
1,496 |
|
| First Data PIK |
|
|
|
|
|
|
|
|
| 8.750%, 01/15/2022 (A) |
|
|
6,510 |
|
|
|
6,901 |
|
| First Data Holdings PIK |
|
|
|
|
|
|
|
|
| 14.500%, 09/24/2019 (A) |
|
|
83 |
|
|
|
87 |
|
| Hughes Satellite Systems |
|
|
|
|
|
|
|
|
| 7.625%, 06/15/2021 |
|
|
3,255 |
|
|
|
3,548 |
|
| Infor Software Parent |
|
|
|
|
|
|
|
|
| 7.125%, 05/01/2021 (A) |
|
|
2,885 |
|
|
|
2,856 |
|
| Infor US |
|
|
|
|
|
|
|
|
| 9.375%, 04/01/2019 |
|
|
3,675 |
|
|
|
3,969 |
|
| j2 Global |
|
|
|
|
|
|
|
|
| 8.000%, 08/01/2020 |
|
|
1,160 |
|
|
|
1,253 |
|
| Magnachip Semiconductor |
|
|
|
|
|
|
|
|
| 6.625%, 07/15/2021 |
|
|
915 |
|
|
|
842 |
|
| Micron Technology (A) |
|
|
|
|
|
|
|
|
| 5.875%, 02/15/2022 |
|
|
1,950 |
|
|
|
2,018 |
|
| 5.500%, 02/01/2025 |
|
|
3,265 |
|
|
|
3,200 |
|
| NCR |
|
|
|
|
|
|
|
|
| 6.375%, 12/15/2023 |
|
|
3,215 |
|
|
|
3,368 |
|
| 5.875%, 12/15/2021 |
|
|
1,300 |
|
|
|
1,329 |
|
| 5.000%, 07/15/2022 |
|
|
1,675 |
|
|
|
1,637 |
|
| NeuStar |
|
|
|
|
|
|
|
|
| 4.500%, 01/15/2023 |
|
|
1,949 |
|
|
|
1,725 |
|
| NXP BV (A) |
|
|
|
|
|
|
|
|
| 5.750%, 02/15/2021 |
|
|
3,230 |
|
|
|
3,278 |
|
| 5.750%, 03/15/2023 |
|
|
435 |
|
|
|
440 |
|
| Sabre |
|
|
|
|
|
|
|
|
| 8.500%, 05/15/2019 (A) |
|
|
1,131 |
|
|
|
1,210 |
|
| SPCM |
|
|
|
|
|
|
|
|
| 6.000%, 01/15/2022 (A) |
|
|
1,311 |
|
|
|
1,396 |
|
| STATS ChipPAC |
|
|
|
|
|
|
|
|
| 4.500%, 03/20/2018 (A) |
|
|
2,206 |
|
|
|
2,206 |
|
| Sungard Availability Services Capital |
|
|
|
|
|
|
|
|
| 8.750%, 04/01/2022 (A) |
|
|
940 |
|
|
|
700 |
|
| SunGard Data Systems |
|
|
|
|
|
|
|
|
| 7.625%, 11/15/2020 |
|
|
360 |
|
|
|
376 |
|
| 6.625%, 11/01/2019 |
|
|
800 |
|
|
|
800 |
|
| VeriSign |
|
|
|
|
|
|
|
|
| 4.625%, 05/01/2023 |
|
|
900 |
|
|
|
868 |
|
| Viasystems |
|
|
|
|
|
|
|
|
| 7.875%, 05/01/2019 (A) |
|
|
770 |
|
|
|
807 |
|
| WEX |
|
|
|
|
|
|
|
|
| 4.750%, 02/01/2023 (A) |
|
|
2,825 |
|
|
|
2,684 |
|
| Zayo Group |
|
|
|
|
|
|
|
|
| 10.125%, 07/01/2020 |
|
|
580 |
|
|
|
654 |
|
| 8.125%, 01/01/2020 |
|
|
4,180 |
|
|
|
4,483 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Zebra Technologies |
|
|
|
|
|
|
|
|
| 7.250%, 10/15/2022 (A) |
|
$ |
2,135 |
|
|
$ |
2,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.7% |
|
|
|
|
|
|
|
|
| AK Steel |
|
|
|
|
|
|
|
|
| 7.625%, 05/15/2020 |
|
|
1,545 |
|
|
|
1,526 |
|
| 7.625%, 10/01/2021 |
|
|
1,590 |
|
|
|
1,542 |
|
| Alcoa |
|
|
|
|
|
|
|
|
| 5.125%, 10/01/2024 |
|
|
165 |
|
|
|
165 |
|
| ArcelorMittal |
|
|
|
|
|
|
|
|
| 6.000%, 03/01/2021 |
|
|
375 |
|
|
|
394 |
|
| Ardagh Packaging Finance (A) |
|
|
|
|
|
|
|
|
| 9.125%, 10/15/2020 |
|
|
2,260 |
|
|
|
2,446 |
|
| 7.000%, 11/15/2020 |
|
|
77 |
|
|
|
78 |
|
| 6.000%, 06/30/2021 |
|
|
1,576 |
|
|
|
1,513 |
|
| 3.234%, 12/15/2019 (G) |
|
|
695 |
|
|
|
672 |
|
| Ashland |
|
|
|
|
|
|
|
|
| 4.750%, 08/15/2022 |
|
|
1,435 |
|
|
|
1,399 |
|
| Axalta Coating Systems US Holdings |
|
|
|
|
|
|
|
|
| 7.375%, 05/01/2021 (A) |
|
|
365 |
|
|
|
391 |
|
| Ball |
|
|
|
|
|
|
|
|
| 5.000%, 03/15/2022 |
|
|
1,150 |
|
|
|
1,156 |
|
| BWAY Holding |
|
|
|
|
|
|
|
|
| 9.125%, 08/15/2021 (A) |
|
|
1,960 |
|
|
|
1,970 |
|
| Cemex (A) |
|
|
|
|
|
|
|
|
| 7.250%, 01/15/2021 |
|
|
660 |
|
|
|
698 |
|
| 5.700%, 01/11/2025 |
|
|
735 |
|
|
|
708 |
|
| Consolidated Container |
|
|
|
|
|
|
|
|
| 10.125%, 07/15/2020 (A) |
|
|
1,285 |
|
|
|
1,208 |
|
| Constellium |
|
|
|
|
|
|
|
|
| 5.750%, 05/15/2024 (A) |
|
|
250 |
|
|
|
250 |
|
| Cornerstone Chemical |
|
|
|
|
|
|
|
|
| 9.375%, 03/15/2018 (A) |
|
|
6,183 |
|
|
|
6,492 |
|
| First Quantum Minerals (A) |
|
|
|
|
|
|
|
|
| 7.250%, 05/15/2022 |
|
|
760 |
|
|
|
777 |
|
| 7.000%, 02/15/2021 |
|
|
736 |
|
|
|
746 |
|
| FMG Resources August 2006 Pty (A) |
|
|
|
|
|
|
|
|
| 8.250%, 11/01/2019 |
|
|
1,445 |
|
|
|
1,494 |
|
| 6.875%, 04/01/2022 |
|
|
1,373 |
|
|
|
1,397 |
|
| Graphic Packaging International |
|
|
|
|
|
|
|
|
| 4.750%, 04/15/2021 |
|
|
1,154 |
|
|
|
1,151 |
|
| Hecla Mining |
|
|
|
|
|
|
|
|
| 6.875%, 05/01/2021 |
|
|
1,200 |
|
|
|
1,128 |
|
| Hexion US Finance |
|
|
|
|
|
|
|
|
| 9.000%, 11/15/2020 |
|
|
385 |
|
|
|
367 |
|
| 8.875%, 02/01/2018 |
|
|
530 |
|
|
|
540 |
|
| 6.625%, 4/15/2020 |
|
|
1,880 |
|
|
|
1,889 |
|
| Huntsman International |
|
|
|
|
|
|
|
|
| 8.625%, 03/15/2021 |
|
|
1,135 |
|
|
|
1,226 |
|
| 4.875%, 11/15/2020 |
|
|
780 |
|
|
|
768 |
|
| IAMGOLD |
|
|
|
|
|
|
|
|
| 6.750%, 10/01/2020 (A) |
|
|
6,220 |
|
|
|
5,256 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
169 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Ineos Finance (A) |
|
|
|
|
|
|
|
|
| 8.375%, 02/15/2019 |
|
$ |
1,180 |
|
|
$ |
1,263 |
|
| 7.500%, 05/01/2020 |
|
|
1,005 |
|
|
|
1,070 |
|
| Ineos Group Holdings (A) |
|
|
|
|
|
|
|
|
| 6.125%, 08/15/2018 |
|
|
1,425 |
|
|
|
1,421 |
|
| 5.875%, 02/15/2019 |
|
|
2,920 |
|
|
|
2,876 |
|
| JMC Steel Group |
|
|
|
|
|
|
|
|
| 8.250%, 03/15/2018 (A) |
|
|
1,130 |
|
|
|
1,141 |
|
| Kaiser Aluminum |
|
|
|
|
|
|
|
|
| 8.250%, 06/01/2020 |
|
|
1,650 |
|
|
|
1,819 |
|
| KGHM International |
|
|
|
|
|
|
|
|
| 7.750%, 06/15/2019 (A) |
|
|
1,190 |
|
|
|
1,255 |
|
| Kissner Milling |
|
|
|
|
|
|
|
|
| 7.250%, 06/01/2019 (A) |
|
|
1,185 |
|
|
|
1,215 |
|
| LSB Industries |
|
|
|
|
|
|
|
|
| 7.750%, 08/01/2019 |
|
|
1,970 |
|
|
|
2,088 |
|
| Mirabela Nickel |
|
|
|
|
|
|
|
|
| 8.750%, 04/15/2018 (A) (B) |
|
|
2,420 |
|
|
|
532 |
|
| Momentive Performance Materials PIK |
|
|
|
|
|
|
|
|
| 1.535%, 06/04/2017 (C) (D) (E) |
|
|
2,473 |
|
|
|
62 |
|
| New |
|
|
|
|
|
|
|
|
| 7.000%, 04/15/2020 (A) |
|
|
600 |
|
|
|
639 |
|
| Nexeo Solutions |
|
|
|
|
|
|
|
|
| 8.375%, 03/01/2018 |
|
|
750 |
|
|
|
743 |
|
| Noranda Aluminum Acquisition |
|
|
|
|
|
|
|
|
| 11.000%, 06/01/2019 |
|
|
355 |
|
|
|
366 |
|
| Packaging Dynamics |
|
|
|
|
|
|
|
|
| 8.750%, 02/01/2016 (A) |
|
|
520 |
|
|
|
525 |
|
| Plastipak Holdings |
|
|
|
|
|
|
|
|
| 6.500%, 10/01/2021 (A) |
|
|
1,115 |
|
|
|
1,132 |
|
| PolyOne |
|
|
|
|
|
|
|
|
| 7.375%, 09/15/2020 |
|
|
850 |
|
|
|
895 |
|
| Rain CII Carbon (A) |
|
|
|
|
|
|
|
|
| 8.250%, 01/15/2021 |
|
|
2,990 |
|
|
|
3,110 |
|
| 8.000%, 12/01/2018 |
|
|
270 |
|
|
|
277 |
|
| Reichhold Industries PIK |
|
|
|
|
|
|
|
|
| 9.000%, 05/08/2017 (A) |
|
|
1,458 |
|
|
|
933 |
|
| Rentech Nitrogen Partners |
|
|
|
|
|
|
|
|
| 6.500%, 04/15/2021 (A) |
|
|
490 |
|
|
|
486 |
|
| Ryerson |
|
|
|
|
|
|
|
|
| 11.250%, 10/15/2018 |
|
|
240 |
|
|
|
264 |
|
| 9.000%, 10/15/2017 |
|
|
880 |
|
|
|
928 |
|
| Sappi Papier Holding GmbH |
|
|
|
|
|
|
|
|
| 7.750%, 07/15/2017 (A) |
|
|
300 |
|
|
|
323 |
|
| Scotts Miracle-Gro |
|
|
|
|
|
|
|
|
| 6.625%, 12/15/2020 |
|
|
290 |
|
|
|
307 |
|
| Sealed Air |
|
|
|
|
|
|
|
|
| 8.375%, 09/15/2021 (A) |
|
|
975 |
|
|
|
1,082 |
|
| Signode Industrial Group Lux |
|
|
|
|
|
|
|
|
| 6.375%, 05/01/2022 (A) |
|
|
4,250 |
|
|
|
4,080 |
|
| Smurfit Kappa Acquisitions |
|
|
|
|
|
|
|
|
| 4.875%, 09/15/2018 (A) |
|
|
1,400 |
|
|
|
1,428 |
|
| St. Barbara |
|
|
|
|
|
|
|
|
| 8.875%, 04/15/2018 (A) |
|
|
800 |
|
|
|
672 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Steel Dynamics (A) |
|
|
|
|
|
|
|
|
| 5.500%, 10/01/2024 |
|
$ |
755 |
|
|
$ |
759 |
|
| 5.125%, 10/01/2021 |
|
|
360 |
|
|
|
365 |
|
| TPC Group |
|
|
|
|
|
|
|
|
| 8.750%, 12/15/2020 (A) |
|
|
2,725 |
|
|
|
2,895 |
|
| Tupy Overseas |
|
|
|
|
|
|
|
|
| 6.625%, 07/17/2024 (A) |
|
|
565 |
|
|
|
575 |
|
| Walter Energy |
|
|
|
|
|
|
|
|
| 11.000%, 04/01/2020 (A) |
|
|
700 |
|
|
|
343 |
|
| 9.875%, 12/15/2020 |
|
|
3,745 |
|
|
|
1,180 |
|
| 9.500%, 10/15/2019 (A) |
|
|
650 |
|
|
|
592 |
|
| 8.500%, 04/15/2021 |
|
|
2,105 |
|
|
|
632 |
|
| WR Grace & -Conn (A) |
|
|
|
|
|
|
|
|
| 5.625%, 10/01/2024 |
|
|
570 |
|
|
|
584 |
|
| 5.125%, 10/01/2021 |
|
|
645 |
|
|
|
656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,860 |
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 6.5% |
|
| Altice MTN |
|
|
|
|
|
|
|
|
| 7.750%, 05/15/2022 (A) |
|
|
6,470 |
|
|
|
6,680 |
|
| Altice Financing |
|
|
|
|
|
|
|
|
| 6.500%, 01/15/2022 (A) |
|
|
930 |
|
|
|
953 |
|
| CenturyLink |
|
|
|
|
|
|
|
|
| 6.750%, 12/01/2023 |
|
|
3,195 |
|
|
|
3,427 |
|
| 5.800%, 03/15/2022 |
|
|
1,520 |
|
|
|
1,558 |
|
| 5.625%, 04/01/2020 |
|
|
1,460 |
|
|
|
1,506 |
|
| Cincinnati Bell |
|
|
|
|
|
|
|
|
| 8.750%, 03/15/2018 |
|
|
1,519 |
|
|
|
1,576 |
|
| Cogent Communications Finance |
|
|
|
|
|
|
|
|
| 5.625%, 04/15/2021 (A) |
|
|
2,055 |
|
|
|
2,024 |
|
| Cogent Communications Holdings |
|
|
|
|
|
|
|
|
| 8.375%, 02/15/2018 (A) |
|
|
775 |
|
|
|
814 |
|
| Digicel Group (A) |
|
|
|
|
|
|
|
|
| 8.250%, 09/30/2020 |
|
|
4,290 |
|
|
|
4,419 |
|
| 7.125%, 04/01/2022 |
|
|
725 |
|
|
|
724 |
|
| Frontier Communications |
|
|
|
|
|
|
|
|
| 6.875%, 01/15/2025 |
|
|
305 |
|
|
|
301 |
|
| 6.250%, 09/15/2021 |
|
|
160 |
|
|
|
158 |
|
| GCI |
|
|
|
|
|
|
|
|
| 8.625%, 11/15/2019 |
|
|
875 |
|
|
|
901 |
|
| 6.750%, 06/01/2021 |
|
|
650 |
|
|
|
646 |
|
| Gray Television |
|
|
|
|
|
|
|
|
| 7.500%, 10/01/2020 |
|
|
1,390 |
|
|
|
1,421 |
|
| Intelsat Jackson Holdings |
|
|
|
|
|
|
|
|
| 7.500%, 04/01/2021 |
|
|
1,180 |
|
|
|
1,260 |
|
| 7.250%, 10/15/2020 |
|
|
2,810 |
|
|
|
2,972 |
|
| 6.625%, 12/15/2022 |
|
|
720 |
|
|
|
724 |
|
| 5.500%, 08/01/2023 |
|
|
1,592 |
|
|
|
1,520 |
|
| Intelsat Luxembourg |
|
|
|
|
|
|
|
|
| 8.125%, 06/01/2023 |
|
|
2,040 |
|
|
|
2,127 |
|
| 7.750%, 06/01/2021 |
|
|
3,870 |
|
|
|
3,943 |
|
| Level 3 Communications |
|
|
|
|
|
|
|
|
| 8.875%, 06/01/2019 |
|
|
1,025 |
|
|
|
1,094 |
|
|
|
|
| 170 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Level 3 Escrow II |
|
|
|
|
|
|
|
|
| 5.375%, 08/15/2022 (A) |
|
$ |
1,490 |
|
|
$ |
1,464 |
|
| Level 3 Financing |
|
|
|
|
|
|
|
|
| 8.625%, 07/15/2020 |
|
|
710 |
|
|
|
769 |
|
| 8.125%, 07/01/2019 |
|
|
345 |
|
|
|
367 |
|
| 7.000%, 06/01/2020 |
|
|
970 |
|
|
|
1,022 |
|
| 6.125%, 01/15/2021 (A) |
|
|
500 |
|
|
|
515 |
|
| Lynx I |
|
|
|
|
|
|
|
|
| 5.375%, 04/15/2021 (A) |
|
|
3,485 |
|
|
|
3,511 |
|
| Lynx II |
|
|
|
|
|
|
|
|
| 6.375%, 04/15/2023 (A) |
|
|
1,445 |
|
|
|
1,492 |
|
| NII International Telecom SCA |
|
|
|
|
|
|
|
|
| 7.875%, 08/15/2019 (A) (B) |
|
|
1,350 |
|
|
|
901 |
|
| Qwest Capital Funding |
|
|
|
|
|
|
|
|
| 7.750%, 02/15/2031 |
|
|
415 |
|
|
|
424 |
|
| Sable International Finance |
|
|
|
|
|
|
|
|
| 8.750%, 02/01/2020 (A) |
|
|
68 |
|
|
|
74 |
|
| SBA Communications |
|
|
|
|
|
|
|
|
| 4.875%, 07/15/2022 (A) |
|
|
1,600 |
|
|
|
1,536 |
|
| SBA Telecommunications |
|
|
|
|
|
|
|
|
| 5.750%, 07/15/2020 |
|
|
675 |
|
|
|
687 |
|
| SoftBank |
|
|
|
|
|
|
|
|
| 4.500%, 04/15/2020 (A) |
|
|
3,886 |
|
|
|
3,876 |
|
| Sprint (A) |
|
|
|
|
|
|
|
|
| 7.875%, 09/15/2023 |
|
|
10,070 |
|
|
|
10,674 |
|
| 7.250%, 09/15/2021 |
|
|
2,615 |
|
|
|
2,723 |
|
| 7.125%, 06/15/2024 |
|
|
3,665 |
|
|
|
3,693 |
|
| Sprint Capital |
|
|
|
|
|
|
|
|
| 8.750%, 03/15/2032 |
|
|
3,195 |
|
|
|
3,487 |
|
| 6.900%, 05/01/2019 |
|
|
3,250 |
|
|
|
3,417 |
|
| 6.875%, 11/15/2028 |
|
|
4,964 |
|
|
|
4,741 |
|
| Telecom Italia |
|
|
|
|
|
|
|
|
| 5.303%, 05/30/2024 (A) |
|
|
860 |
|
|
|
845 |
|
| T-Mobile USA |
|
|
|
|
|
|
|
|
| 6.731%, 04/28/2022 |
|
|
2,020 |
|
|
|
2,065 |
|
| 6.633%, 04/28/2021 |
|
|
330 |
|
|
|
338 |
|
| 6.542%, 04/28/2020 |
|
|
875 |
|
|
|
897 |
|
| 6.375%, 03/01/2025 |
|
|
3,780 |
|
|
|
3,771 |
|
| 6.125%, 01/15/2022 |
|
|
435 |
|
|
|
437 |
|
| 6.000%, 03/01/2023 |
|
|
455 |
|
|
|
454 |
|
| tw telecom holdings |
|
|
|
|
|
|
|
|
| 5.375%, 10/01/2022 |
|
|
230 |
|
|
|
247 |
|
| UPCB Finance V |
|
|
|
|
|
|
|
|
| 7.250%, 11/15/2021 (A) |
|
|
2,440 |
|
|
|
2,611 |
|
| UPCB Finance VI |
|
|
|
|
|
|
|
|
| 6.875%, 01/15/2022 (A) |
|
|
843 |
|
|
|
900 |
|
| Virgin Media Finance |
|
|
|
|
|
|
|
|
| 6.000%, 10/15/2024 (A) |
|
|
400 |
|
|
|
401 |
|
| Wind Acquisition Finance (A) |
|
|
|
|
|
|
|
|
| 7.375%, 04/23/2021 |
|
|
1,805 |
|
|
|
1,814 |
|
| 6.500%, 04/30/2020 |
|
|
1,189 |
|
|
|
1,240 |
|
| 4.750%, 07/15/2020 |
|
|
4,625 |
|
|
|
4,440 |
|
| Windstream |
|
|
|
|
|
|
|
|
| 7.750%, 10/01/2021 |
|
|
3,730 |
|
|
|
3,972 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| 7.500%, 06/01/2022 |
|
$ |
520 |
|
|
$ |
547 |
|
| 6.375%, 08/01/2023 |
|
|
80 |
|
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
111,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 1.5% |
|
|
|
|
|
|
|
|
| AES |
|
|
|
|
|
|
|
|
| 8.000%, 06/01/2020 |
|
|
325 |
|
|
|
373 |
|
| 7.375%, 07/01/2021 |
|
|
2,200 |
|
|
|
2,464 |
|
| 4.875%, 05/15/2023 |
|
|
215 |
|
|
|
204 |
|
| AES Gener |
|
|
|
|
|
|
|
|
| 8.375%, 12/18/2073 (A) (G) |
|
|
905 |
|
|
|
1,018 |
|
| AmeriGas Finance |
|
|
|
|
|
|
|
|
| 7.000%, 05/20/2022 |
|
|
4,641 |
|
|
|
4,861 |
|
| Calpine |
|
|
|
|
|
|
|
|
| 5.375%, 01/15/2023 |
|
|
1,270 |
|
|
|
1,229 |
|
| DPL |
|
|
|
|
|
|
|
|
| 6.750%, 10/01/2019 (A) |
|
|
525 |
|
|
|
534 |
|
| Dynegy |
|
|
|
|
|
|
|
|
| 5.875%, 06/01/2023 |
|
|
2,770 |
|
|
|
2,583 |
|
| Elwood Energy |
|
|
|
|
|
|
|
|
| 8.159%, 07/05/2026 |
|
|
646 |
|
|
|
721 |
|
| Enel |
|
|
|
|
|
|
|
|
| 8.750%, 09/24/2073 (A) (G) |
|
|
1,438 |
|
|
|
1,665 |
|
| Ferrellgas |
|
|
|
|
|
|
|
|
| 6.500%, 05/01/2021 |
|
|
2,825 |
|
|
|
2,761 |
|
| GenOn Americas Generation |
|
|
|
|
|
|
|
|
| 9.125%, 05/01/2031 |
|
|
285 |
|
|
|
261 |
|
| LBC Tank Terminals Holding Netherlands BV |
|
|
|
|
|
|
|
|
| 6.875%, 05/15/2023 (A) |
|
|
2,800 |
|
|
|
2,982 |
|
| Mirant Americas Generation LLC |
|
|
|
|
|
|
|
|
| 8.500%, 10/01/2021 |
|
|
1,995 |
|
|
|
1,868 |
|
| NRG Energy |
|
|
|
|
|
|
|
|
| 7.875%, 05/15/2021 |
|
|
1,015 |
|
|
|
1,091 |
|
| 6.250%, 07/15/2022 (A) |
|
|
615 |
|
|
|
631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,246 |
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $1,297,823) ($ Thousands) |
|
|
|
|
|
|
1,280,614 |
|
|
|
|
|
|
|
|
|
|
|
|
| LOAN PARTICIPATIONS — 10.6% |
|
|
|
|
|
| Academy Sports Limited, Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 08/03/2018 |
|
|
547 |
|
|
|
541 |
|
| Accellent, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 7.500%, 03/11/2022 |
|
|
515 |
|
|
|
496 |
|
| Accellent, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 03/12/2021 |
|
|
1,387 |
|
|
|
1,360 |
|
| Affinion Group Holdings |
|
|
|
|
|
|
|
|
| 6.750%, 10/08/2016 |
|
|
1,982 |
|
|
|
1,920 |
|
| Air Medical Group Holdings, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.625%, 05/21/2018 |
|
|
2,810 |
|
|
|
2,796 |
|
| Albertson’s |
|
|
|
|
|
|
|
|
| 4.750%, 06/27/2021 |
|
|
780 |
|
|
|
766 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
171 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Alinta, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.375%, 08/13/2019 |
|
$ |
2,534 |
|
|
$ |
2,554 |
|
| Alinta Energy Finance, Draw Term Loan |
|
|
|
|
|
|
|
|
| 6.375%, 08/13/2018 |
|
|
43 |
|
|
|
43 |
|
| Alinta, Delayed Term Loan Unfunded |
|
|
|
|
|
|
|
|
| 0.500%, 08/13/2018 |
|
|
124 |
|
|
|
1 |
|
| Alliance Laundry System, Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 12/07/2018 |
|
|
951 |
|
|
|
939 |
|
| American Energy |
|
|
|
|
|
|
|
|
| 5.250%, 08/04/2020 |
|
|
665 |
|
|
|
659 |
|
| American Renal Holdings, Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 02/20/2020 |
|
|
1,750 |
|
|
|
1,732 |
|
| American Tire |
|
|
|
|
|
|
|
|
| 5.750%, 06/01/2018 |
|
|
1 |
|
|
|
1 |
|
| ANVC Merger, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 02/18/2021 |
|
|
1,886 |
|
|
|
1,872 |
|
| Applied Systems, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 01/24/2022 |
|
|
1,073 |
|
|
|
1,068 |
|
| Arctic Glacier, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 05/10/2019 |
|
|
1,036 |
|
|
|
1,020 |
|
| Arizona Chemical, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 06/10/2022 |
|
|
384 |
|
|
|
385 |
|
| Aspect Software |
|
|
|
|
|
|
|
|
| 7.250%, 05/07/2016 |
|
|
1,094 |
|
|
|
1,091 |
|
| Astoria Generating, Cov-Lite, Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 10/26/2017 |
|
|
4,620 |
|
|
|
4,701 |
|
| Asurion LLC, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 03/03/2021 |
|
|
1,600 |
|
|
|
1,614 |
|
| Atkore, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 10/09/2021 |
|
|
545 |
|
|
|
540 |
|
| Atlas Energy, Term Loan B |
|
|
|
|
|
|
|
|
| 6.500%, 07/31/2019 |
|
|
693 |
|
|
|
697 |
|
| Azure Midstream, 1st Lien Term
Loan B |
|
|
|
|
|
|
|
|
| 6.500%, 11/15/2018 |
|
|
329 |
|
|
|
325 |
|
| BJ’s Wholesale Club, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.500%, 03/26/2020 |
|
|
1,200 |
|
|
|
1,206 |
|
| Bowie Resources, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.750%, 08/16/2020 |
|
|
1,976 |
|
|
|
1,971 |
|
| BWAY Intermediate Company, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 08/14/2020 |
|
|
545 |
|
|
|
544 |
|
| Caesars Growth Properties Holdings, 1st Lien |
|
|
|
|
|
|
|
|
| 6.250%, 05/08/2021 |
|
|
800 |
|
|
|
757 |
|
| Carestream Health, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 06/07/2019 |
|
|
3,181 |
|
|
|
3,174 |
|
| Carestream Health, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.500%, 12/07/2019 |
|
|
2,348 |
|
|
|
2,354 |
|
| CD&R Millennium |
|
|
|
|
|
|
|
|
| 8.250%, 07/31/2022 |
|
|
2,285 |
|
|
|
2,258 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Cengage Learning Acquisitions,
1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.000%, 03/31/2020 |
|
$ |
1,314 |
|
|
$ |
1,311 |
|
| Ceridian |
|
|
|
|
|
|
|
|
| 4.500%, 05/09/2017 |
|
|
967 |
|
|
|
954 |
|
| Ceva Group PLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
497 |
|
|
|
480 |
|
| Ceva Intercompany BV, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
213 |
|
|
|
206 |
|
| Ceva Logistics, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
37 |
|
|
|
36 |
|
| Charter Communications Operating |
|
|
|
|
|
|
|
|
| 4.250%, 09/12/2021 |
|
|
1,385 |
|
|
|
1,380 |
|
| City Center Holdings, Cov-Lite,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 10/16/2020 |
|
|
1,865 |
|
|
|
1,844 |
|
| CKX, Term Loan B |
|
|
|
|
|
|
|
|
| 9.000%, 06/21/2017 |
|
|
421 |
|
|
|
358 |
|
| Clear Channel Communications,
1st Lien Term Loan D |
|
|
|
|
|
|
|
|
| 6.904%, 01/22/2019 |
|
|
8,572 |
|
|
|
8,181 |
|
| Crestwood Holdings LLC,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 7.000%, 05/24/2019 |
|
|
1,436 |
|
|
|
1,450 |
|
| CTI Foods, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.250%, 06/28/2021 |
|
|
1,190 |
|
|
|
1,194 |
|
| Cumulus Media, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 12/13/2020 |
|
|
15 |
|
|
|
15 |
|
| DAE Aviation Holdings, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 08/05/2019 |
|
|
1,000 |
|
|
|
1,006 |
|
| Dell, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/29/2020 |
|
|
2,310 |
|
|
|
2,292 |
|
| Dex Media West |
|
|
|
|
|
|
|
|
| 8.000%, 10/24/2014 |
|
|
1,543 |
|
|
|
1,408 |
|
| Diamond Foods, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 08/20/2018 |
|
|
886 |
|
|
|
875 |
|
| Empire Generating |
|
|
|
|
|
|
|
|
| 5.250%, 03/12/2021 |
|
|
1,836 |
|
|
|
1,814 |
|
| Evergreen Skillsoft, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 04/28/2021 |
|
|
1,280 |
|
|
|
1,255 |
|
| Fender Musical Instruments, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 04/03/2019 |
|
|
355 |
|
|
|
354 |
|
| First Advantage, Cov-Lite, Term Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 02/13/2019 |
|
|
493 |
|
|
|
492 |
|
| First Advantage, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 10.500%, 08/28/2019 (D) |
|
|
600 |
|
|
|
595 |
|
| First Advantage, Term Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 02/28/2019 |
|
|
1 |
|
|
|
1 |
|
| Flint Group, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 0.000%, 05/02/2022 (H) |
|
|
1,220 |
|
|
|
1,194 |
|
| Foresight Energy, Cov-Lite,
1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.500%, 08/21/2020 |
|
|
1,057 |
|
|
|
1,057 |
|
|
|
|
| 172 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Gardner Denver, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 07/30/2020 |
|
$ |
548 |
|
|
$ |
537 |
|
| GCA Services Group, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.250%, 10/11/2020 |
|
|
560 |
|
|
|
559 |
|
| Gentiva Health Services, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 6.500%, 10/18/2019 |
|
|
944 |
|
|
|
944 |
|
| Global Aviation Holdings (B) (D) |
|
|
|
|
|
|
|
|
| 10.000%, 07/13/2017 |
|
|
1,869 |
|
|
|
— |
|
| 3.000%, 02/13/2018 |
|
|
611 |
|
|
|
— |
|
| GOGO |
|
|
|
|
|
|
|
|
| 11.250%, 06/21/2017 |
|
|
883 |
|
|
|
927 |
|
| Greenway Medical Technologies, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.250%, 11/04/2021 |
|
|
900 |
|
|
|
891 |
|
| Gymboree, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 02/23/2018 |
|
|
340 |
|
|
|
225 |
|
| Hearthside Food Solutions, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 06/02/2021 |
|
|
693 |
|
|
|
689 |
|
| Hillman, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.500%, 06/30/2021 |
|
|
304 |
|
|
|
303 |
|
| Hilton Hotels, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
249 |
|
|
|
244 |
|
| Hilton Worldwide Finance |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
414 |
|
|
|
408 |
|
| Hilton Worldwide Holdings, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.500%, 10/26/2020 |
|
|
69 |
|
|
|
68 |
|
| Hostess Brands |
|
|
|
|
|
|
|
|
| 6.750%, 04/09/2020 |
|
|
1,182 |
|
|
|
1,206 |
|
| Hub International, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 10/02/2020 |
|
|
1,980 |
|
|
|
1,935 |
|
| Ikaria, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.750%, 02/14/2022 |
|
|
390 |
|
|
|
393 |
|
| Infor US, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 3.750%, 06/03/2020 |
|
|
1,363 |
|
|
|
1,331 |
|
| Integra Telecom, 2nd Lien |
|
|
|
|
|
|
|
|
| 9.750%, 02/19/2020 |
|
|
700 |
|
|
|
699 |
|
| Integra Telecom, Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 02/22/2019 |
|
|
1,330 |
|
|
|
1,318 |
|
| Interactive Date, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 05/02/2021 |
|
|
1,032 |
|
|
|
1,026 |
|
| Interline Brands |
|
|
|
|
|
|
|
|
| 4.000%, 03/17/2021 |
|
|
637 |
|
|
|
625 |
|
| ION Trading Technologies, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.250%, 06/10/2022 |
|
|
2,150 |
|
|
|
2,137 |
|
| J Crew Group, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 03/05/2021 |
|
|
773 |
|
|
|
733 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| J Crew Group, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 03/05/2021 |
|
$ |
364 |
|
|
$ |
345 |
|
| JC Penney, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 6.000%, 05/21/2018 |
|
|
1,037 |
|
|
|
1,034 |
|
| KCA Deutag Drilling, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 05/15/2020 |
|
|
1,032 |
|
|
|
1,014 |
|
| Kindred Healthcare |
|
|
|
|
|
|
|
|
| 4.000%, 04/09/2021 |
|
|
249 |
|
|
|
244 |
|
| Light Tower Fiber, Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 04/12/2021 |
|
|
221 |
|
|
|
220 |
|
| Lions Gate Entertainment, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 07/19/2020 |
|
|
2,500 |
|
|
|
2,506 |
|
| Marine District Finance, 1st Lien |
|
|
|
|
|
|
|
|
| 6.750%, 08/15/2018 |
|
|
1,069 |
|
|
|
1,067 |
|
| Mashantucket Pequot Tribe, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.375%, 06/30/2020 |
|
|
3,932 |
|
|
|
3,614 |
|
| Mauser-Werke GMBH, Cov-Lite, Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 07/31/2021 |
|
|
640 |
|
|
|
636 |
|
| Medical Card, Term Loan |
|
|
|
|
|
|
|
|
| 12.000%, 09/17/2015 |
|
|
1,250 |
|
|
|
1,225 |
|
| Metroflag, 2nd Lien |
|
|
|
|
|
|
|
|
| 14.000%, 01/06/2009 (B) |
|
|
300 |
|
|
|
— |
|
| Millennium Labortories LLC, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 04/16/2021 |
|
|
1,960 |
|
|
|
1,951 |
|
| MISYS, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 12/12/2018 |
|
|
1,188 |
|
|
|
1,185 |
|
| MISYS, 2nd Lien |
|
|
|
|
|
|
|
|
| 12.000%, 06/12/2019 |
|
|
1,250 |
|
|
|
1,410 |
|
| Moxie Liberty LLC, 1st Lien Term Loan B1 |
|
|
|
|
|
|
|
|
| 7.500%, 08/21/2020 |
|
|
2,755 |
|
|
|
2,796 |
|
| Moxie Patriot LLC, 1st Lien Term Loan B1 |
|
|
|
|
|
|
|
|
| 6.750%, 12/19/2020 |
|
|
780 |
|
|
|
792 |
|
| NANA Development, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 03/15/2018 |
|
|
439 |
|
|
|
431 |
|
| Navistar International |
|
|
|
|
|
|
|
|
| 5.750%, 08/17/2017 |
|
|
556 |
|
|
|
556 |
|
| Nelson Education Limited, Term Loan B1 |
|
|
|
|
|
|
|
|
| 5.250%, 07/05/2014 (B) |
|
|
913 |
|
|
|
751 |
|
| New MMI, Term Loan |
|
|
|
|
|
|
|
|
| 9.000%, 01/31/2020 |
|
|
3,076 |
|
|
|
3,061 |
|
| NexTech Systems, 1st Lien |
|
|
|
|
|
|
|
|
| 6.000%, 10/28/2018 (D) |
|
|
1,121 |
|
|
|
1,102 |
|
| Nuveen Investments, 2nd Lien Term Loan B |
|
|
|
|
|
|
|
|
| 6.500%, 02/28/2019 |
|
|
1,705 |
|
|
|
1,706 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
173 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Obsidian Natural Gas Trust |
|
|
|
|
|
|
|
|
| 7.000%, 11/02/2015 |
|
$ |
597 |
|
|
$ |
599 |
|
| Ocean, Cov-Lite, 1st Lien Term
Loan B1 |
|
|
|
|
|
|
|
|
| 6.000%, 03/31/2021 |
|
|
2,562 |
|
|
|
2,453 |
|
| One Call Medical, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 11/27/2020 |
|
|
2,261 |
|
|
|
2,253 |
|
| Ortho-Clinical |
|
|
|
|
|
|
|
|
| 4.750%, 06/30/2021 |
|
|
316 |
|
|
|
312 |
|
| Ortho-Clinical Diagnostics, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.750%, 06/30/2021 |
|
|
477 |
|
|
|
471 |
|
| Otter Products |
|
|
|
|
|
|
|
|
| 5.750%, 06/03/2020 |
|
|
948 |
|
|
|
938 |
|
| Oxbow Carbon & Minerals, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.000%, 01/19/2020 |
|
|
1,250 |
|
|
|
1,253 |
|
| Oxea, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.250%, 07/15/2020 |
|
|
750 |
|
|
|
741 |
|
| Pacific Drilling, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 05/18/2018 |
|
|
1,975 |
|
|
|
1,907 |
|
| Panda Sherman Power, Term Loan |
|
|
|
|
|
|
|
|
| 9.000%, 09/14/2018 |
|
|
1,650 |
|
|
|
1,681 |
|
| Panda Temple Power, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 7.250%, 04/03/2019 |
|
|
805 |
|
|
|
821 |
|
| Panolam Industries International |
|
|
|
|
|
|
|
|
| 7.750%, 08/23/2017 |
|
|
706 |
|
|
|
703 |
|
| Peak, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.250%, 06/17/2022 |
|
|
2,300 |
|
|
|
2,277 |
|
| Performance Food Group, Cov- Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.250%, 11/07/2019 |
|
|
594 |
|
|
|
592 |
|
| Polymer Group, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 12/19/2019 |
|
|
1,944 |
|
|
|
1,934 |
|
| Presidio, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 03/31/2017 |
|
|
1,735 |
|
|
|
1,732 |
|
| Reddy Ice, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 10.750%, 11/01/2019 |
|
|
1,670 |
|
|
|
1,486 |
|
| Rite Aid, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 07/07/2020 |
|
|
727 |
|
|
|
735 |
|
| Road Infrastructure Investments,
2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 09/30/2021 |
|
|
300 |
|
|
|
289 |
|
| Royal Adhesives and Sealants, Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 07/31/2018 |
|
|
1,455 |
|
|
|
1,461 |
|
| Salix Pharmaceuticals, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 01/02/2020 |
|
|
625 |
|
|
|
622 |
|
| Samson Investments |
|
|
|
|
|
|
|
|
| 5.000%, 09/25/2018 |
|
|
1,100 |
|
|
|
1,059 |
|
| Sears Holdings, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 06/30/2018 |
|
|
2,184 |
|
|
|
2,121 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Sirva Worldwide, Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 03/27/2019 |
|
$ |
1,383 |
|
|
$ |
1,404 |
|
| Skillsoft, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 7.750%, 04/28/2022 |
|
|
4,267 |
|
|
|
4,097 |
|
| Solenis, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 07/31/2022 |
|
|
410 |
|
|
|
398 |
|
| Solenis International, Initial Dollar Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 07/31/2021 |
|
|
510 |
|
|
|
500 |
|
| Steinway Musical Instruments, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 09/19/2019 |
|
|
971 |
|
|
|
968 |
|
| Supervalu, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.500%, 03/21/2019 |
|
|
3,925 |
|
|
|
3,849 |
|
| Syncreon Holdings, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 10/28/2020 |
|
|
2,243 |
|
|
|
2,220 |
|
| Templar Energy |
|
|
|
|
|
|
|
|
| 8.000%, 11/25/2020 |
|
|
618 |
|
|
|
598 |
|
| Templar Energy, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 11/25/2020 |
|
|
2,162 |
|
|
|
2,095 |
|
| Texas Competitive Electric Holdings, Extending Term Loan |
|
|
|
|
|
|
|
|
| 4.650%, 10/10/2017 |
|
|
1,677 |
|
|
|
1,239 |
|
| Texas Competitive Electric Holdings, Term Loan |
|
|
|
|
|
|
|
|
| 4.650%, 10/10/2014 |
|
|
9,798 |
|
|
|
7,193 |
|
| The Nieman Marcus Group, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 10/25/2020 |
|
|
2,880 |
|
|
|
2,827 |
|
| TNT Logistics Canadian, Cov- Lite,
1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
— |
|
|
|
— |
|
| TNT Logistics, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
1 |
|
|
|
1 |
|
| TNT Logistics Dutch BV, Cov- Lite,
1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/2021 |
|
|
1 |
|
|
|
1 |
|
| Toys R Us-Delaware |
|
|
|
|
|
|
|
|
| 6.000%, 08/21/2019 |
|
|
2,198 |
|
|
|
2,110 |
|
| Trans Union LLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 04/09/2021 |
|
|
498 |
|
|
|
489 |
|
| Travelport |
|
|
|
|
|
|
|
|
| 6.000%, 09/02/2021 |
|
|
3,095 |
|
|
|
3,088 |
|
| True Religion Apparel, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.875%, 07/30/2019 |
|
|
368 |
|
|
|
338 |
|
| True Religion Apparel, Term Loan |
|
|
|
|
|
|
|
|
| 5.875%, 07/30/2019 |
|
|
393 |
|
|
|
361 |
|
| TSAM Delaware LLC, 1st Lien |
|
|
|
|
|
|
|
|
| 8.750%, 09/12/2019 (D) |
|
|
963 |
|
|
|
954 |
|
|
|
|
| 174 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Vertafore |
|
|
|
|
|
|
|
|
| 9.750%, 10/27/2017 |
|
$ |
560 |
|
|
$ |
563 |
|
| Vantage Drilling Company |
|
|
|
|
|
|
|
|
| 0.000%, 03/22/2019 (H) |
|
|
511 |
|
|
|
489 |
|
| Wilton Brands, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 08/30/2018 |
|
|
1,399 |
|
|
|
1,319 |
|
| WTG Holdings III |
|
|
|
|
|
|
|
|
| 4.750%, 01/15/2021 |
|
|
1,493 |
|
|
|
1,474 |
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations
(Cost $186,354) ($ Thousands) |
|
|
|
|
|
|
180,996 |
|
|
|
|
|
|
|
|
|
|
|
| COLLATERALIZED DEBT OBLIGATIONS — 9.2% |
|
|
|
|
| Financials — 0.6% |
|
|
|
|
|
|
|
|
| Battalion CLO VII Warehouse Note |
|
|
|
|
|
|
|
|
| 0.000% ‡‡ |
|
|
2,466 |
|
|
|
2,480 |
|
| Battalion CLO, Ser 2012-3A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 1/18/2025 (A) |
|
|
2,303 |
|
|
|
2,291 |
|
| Battalion CLO, Ser 2013-4A |
|
|
|
|
|
|
|
|
| 0.000%, 10/22/2025 |
|
|
5,640 |
|
|
|
4,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,678 |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 8.6% |
|
|
|
|
|
| B&M CLO, Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.948%, 04/16/2026 (A) (G) |
|
|
2,108 |
|
|
|
1,997 |
|
| B&M CLO, Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.948%, 04/16/2026 (A) (G) |
|
|
3,471 |
|
|
|
3,101 |
|
| B&M CLO, Ser 2014-1A, Cl E |
|
|
|
|
|
|
|
|
| 5.948%, 04/16/2026 (A) (G) |
|
|
2,480 |
|
|
|
2,113 |
|
| Battalion CLO V, Ser 2014-5A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 04/17/2026 (A) |
|
|
3,274 |
|
|
|
2,900 |
|
| Benefit Street Partners CLO III,
Ser 2013-IIIA, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 01/20/2026 |
|
|
2,528 |
|
|
|
2,351 |
|
| Benefit Street Partners CLO IV |
|
|
|
|
|
|
|
|
| 0.000% ‡‡ |
|
|
2,000 |
|
|
|
2,277 |
|
| Benefit Street Partners CLO V |
|
|
|
|
|
|
|
|
| 0.000% ‡‡ |
|
|
6,487 |
|
|
|
6,487 |
|
| CVP Cascade CLO-2,
Ser 2014- 2A, Cl D |
|
|
|
|
|
|
|
|
| 5.020%, 07/18/2026 (A) (G) |
|
|
1,709 |
|
|
|
1,511 |
|
| CVP Cascade CLO-2,
Ser 2014- 2A, Cl E |
|
|
|
|
|
|
|
|
| 6.020%, 07/18/2026 (A) (G) |
|
|
2,469 |
|
|
|
2,151 |
|
| Fifth Street Senior Loan Fund II, Warehouse Note |
|
|
|
|
|
|
|
|
| 0.000% ‡‡ |
|
|
3,380 |
|
|
|
3,380 |
|
| Figueroa CLO, Ser 2013-1I |
|
|
|
|
|
|
|
|
| 0.000%, 3/21/2024 |
|
|
18,856 |
|
|
|
15,517 |
|
| Figueroa CLO, Ser 2013-2A |
|
|
|
|
|
|
|
|
| 0.000%, 12/15/2025 |
|
|
2,930 |
|
|
|
2,857 |
|
| Fortress Credit Opportunities III |
|
|
|
|
|
|
|
|
| CLO, Ser 2014-3A, Cl E |
|
|
|
|
|
|
|
|
| 6.478%, 04/28/2026 (A) (G) |
|
|
3,482 |
|
|
|
3,317 |
|
| Great Lakes CLO, Ser 2012-1A, Cl E |
|
|
|
|
|
|
|
|
| 5.734%, 01/15/2023 (A) (G) |
|
|
2,811 |
|
|
|
2,600 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Great Lakes CLO, Ser 2012-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 1/15/2023 (A) |
|
$ |
2,457 |
|
|
$ |
2,064 |
|
| Great Lakes CLO, Ser 2014-1A, Cl F |
|
|
|
|
|
|
|
|
| 6.234%, 04/15/2025 (A) (G) |
|
|
2,480 |
|
|
|
2,145 |
|
| Great Lakes CLO, Ser 2014-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000% ‡‡ |
|
|
6,943 |
|
|
|
6,388 |
|
| Hildene CLO II, Ser 2014-2A, Cl C |
|
|
|
|
|
|
|
|
| 3.176%, 07/19/2026 (A) (G) |
|
|
1,987 |
|
|
|
1,925 |
|
| Hildene CLO II, Ser 2014-2A, Cl D |
|
|
|
|
|
|
|
|
| 3.976%, 07/19/2026 (A) (G) |
|
|
1,987 |
|
|
|
1,890 |
|
| Hildene CLO II, Ser 2014-2A, Cl E |
|
|
|
|
|
|
|
|
| 5.376%, 07/19/2026 (A) (G) |
|
|
1,987 |
|
|
|
1,778 |
|
| Ivy Hill Middle Market Credit Fund,
Ser 7A |
|
|
|
|
|
|
|
|
| 0.000%, 10/20/2025 (A) |
|
|
3,198 |
|
|
|
2,878 |
|
| JFIN Revolver CLO, Ser 2013- 1A, Cl B |
|
|
|
|
|
|
|
|
| 2.234%, 01/20/2021 (A) (G) |
|
|
1,990 |
|
|
|
1,941 |
|
| JFIN Revolver CLO, Ser 2014- 2A, Cl C |
|
|
|
|
|
|
|
|
| 2.984%, 02/20/2022 (A) (G) |
|
|
1,951 |
|
|
|
1,868 |
|
| KKR CLO Trust, Ser 2012-1A, Cl C |
|
|
|
|
|
|
|
|
| 4.731%, 12/15/2024 (A) (G) |
|
|
2,941 |
|
|
|
2,943 |
|
| KVK CLO, Ser 2012-2A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 2/10/2025 (A) |
|
|
2,471 |
|
|
|
2,002 |
|
| MidOcean Credit CLO, Ser 2014-3A, Cl F |
|
|
|
|
|
|
|
|
| 6.230%, 07/21/2026 (A) (G) |
|
|
1,968 |
|
|
|
1,731 |
|
| Nelder Grove CLO,
Ser 2014- 1A, Cl D1 |
|
|
|
|
|
|
|
|
| 4.758%, 08/28/2026 (A) (G) |
|
|
1,951 |
|
|
|
1,912 |
|
| Nelder Grove CLO, Ser 2014- 1A,
Cl E |
|
|
|
|
|
|
|
|
| 6.988%, 08/28/2026 (A) (G) |
|
|
2,926 |
|
|
|
2,882 |
|
| Neuberger Berman CLO VXI,
Ser 2014-16A |
|
|
|
|
|
|
|
|
| 0.000%, 4/15/2026 |
|
|
2,450 |
|
|
|
2,131 |
|
| Neuberger Berman CLO XIII,
Ser 2012-13A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 1/23/2024 (A) |
|
|
447 |
|
|
|
259 |
|
| Neuberger Berman CLO XVI,
Ser 2014-16A, Cl SFN |
|
|
|
|
|
|
|
|
| 0.000%, 4/15/2026 |
|
|
163 |
|
|
|
139 |
|
| NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl E |
|
|
|
|
|
|
|
|
| 6.330%, 07/25/2025 (A) (G) |
|
|
1,974 |
|
|
|
1,830 |
|
| NXT Capital CLO, Ser 2012-1A, Cl E |
|
|
|
|
|
|
|
|
| 7.734%, 07/20/2022 (A) (G) |
|
|
2,417 |
|
|
|
2,418 |
|
| OCP CLO, Ser 2012-2A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 11/22/2023 (A) |
|
|
2,615 |
|
|
|
2,223 |
|
| Peaks CLO 1, Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.734%, 06/15/2026 (A) (G) |
|
|
985 |
|
|
|
907 |
|
| Rockwall CDO, Ser 2007-1A, Cl A1LA |
|
|
|
|
|
|
|
|
| 0.490%, 08/01/2024 (A) (G) |
|
|
18,640 |
|
|
|
17,895 |
|
| Rockwall CDO, Ser 2006-1A, Cl A1LB |
|
|
|
|
|
|
|
|
| 0.740%, 08/01/2021 (A) (G) |
|
|
18,260 |
|
|
|
17,393 |
|
| Shackleton CLO, Ser 2014-6A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 07/17/2026 (A) |
|
|
7,935 |
|
|
|
6,646 |
|
| Trinitas CLO I, Ser 2014-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/2026 (A) |
|
|
3,507 |
|
|
|
3,472 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
175 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Trinitas CLO II, Ser 2014-2A, Cl D |
|
|
|
|
|
|
|
|
| 4.114%, 07/15/2026 (A) (G) |
|
$ |
1,184 |
|
|
$ |
1,115 |
|
| Venture X CLO, Ser 2013-12A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 2/28/2024 (A) |
|
|
2,693 |
|
|
|
2,208 |
|
| Venture XIV CLO, Ser 2013-14A |
|
|
|
|
|
|
|
|
| 0.000%, 08/25/2025 (A) |
|
|
1,728 |
|
|
|
1,598 |
|
| Venture XIV CLO, Ser 2013- 14A,
Cl SFN |
|
|
|
|
|
|
|
|
| 0.000%, 08/25/2025 (A) |
|
|
105 |
|
|
|
90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
147,230 |
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations
(Cost $146,320) ($ Thousands) |
|
|
|
|
|
|
156,908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 1.6% |
|
|
|
|
|
|
|
|
| Ally Financial, 7.000% (A) (G) |
|
|
33,845 |
|
|
|
14,397 |
|
| Aspen Insurance Holdings,
5.950% (G) |
|
|
86,000 |
|
|
|
2,147 |
|
| Ceva Holdings, 0.000%* (D) |
|
|
1,214 |
|
|
|
1,457 |
|
| Chesapeake Energy * (A) |
|
|
721 |
|
|
|
800 |
|
| Dana Holding, 0.000%* (A) |
|
|
5,478 |
|
|
|
888 |
|
| Dominion Resources, 6.000%* |
|
|
15,500 |
|
|
|
872 |
|
| Exelon, 6.500%* |
|
|
17,750 |
|
|
|
902 |
|
| Intelsat, 5.750%* |
|
|
6,450 |
|
|
|
306 |
|
| RBS Capital Funding Trust V, 5.900% |
|
|
22,579 |
|
|
|
531 |
|
| Regions Financial, 6.375% |
|
|
131,800 |
|
|
|
3,228 |
|
| Royal Bank of Scotland Group, 6.400% |
|
|
70 |
|
|
|
2 |
|
| SandRidge Energy, 7.000%* |
|
|
4,800 |
|
|
|
427 |
|
| SLM, 1.934% (G) |
|
|
15,457 |
|
|
|
1,091 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $23,527) ($ Thousands) |
|
|
|
|
|
|
27,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 1.1% |
|
|
|
|
|
|
|
|
| Commonwealth of Puerto Rico,
Ser A, GO |
|
|
|
|
|
|
|
|
| Callable 07/01/2022 @ 100 |
|
|
|
|
|
|
|
|
| 5.000%, 07/01/2041 |
|
|
665 |
|
|
|
487 |
|
| Commonwealth of Puerto Rico,
Ser A, GO
Callable 07/01/2020 @ 100 |
|
|
|
|
|
|
|
|
| 8.000%, 07/01/2035 |
|
|
5,198 |
|
|
|
4,574 |
|
| Golden State, Tobacco Securitization, Ser A-1, RB
Callable 06/01/2017 @ 100 |
|
|
|
|
|
|
|
|
| 5.750%, 06/01/2047 |
|
|
2,055 |
|
|
|
1,633 |
|
| Golden State, Tobacco Securitization, Ser A-2, RB
Callable 06/01/2022 @ 100 |
|
|
|
|
|
|
|
|
| 5.300%, 06/01/2037 |
|
|
845 |
|
|
|
671 |
|
| Texas, Public Finance Authority, RB |
|
|
|
|
|
|
|
|
| Callable 07/01/2019 @ 100 |
|
|
|
|
|
|
|
|
| 8.250%, 07/01/2024 |
|
|
3,730 |
|
|
|
3,730 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Tobacco Settlement Financing,
Ser 1A, RB
Callable 06/01/2017 @ 100 |
|
|
|
|
|
|
|
|
| 5.000%, 06/01/2029 |
|
$ |
410 |
|
|
$ |
345 |
|
| 5.000%, 06/01/2041 |
|
|
7,350 |
|
|
|
5,396 |
|
| 4.750%, 06/01/2034 |
|
|
4,035 |
|
|
|
2,983 |
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $19,704) ($ Thousands) |
|
|
|
|
|
|
19,819 |
|
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 0.0% |
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 0.0% |
|
|
|
|
|
| Airplanes Pass-Through Trust,
Ser 2001-1A, Cl A9 |
|
|
|
|
|
|
|
|
| 0.704%, 03/15/2019 (G) |
|
|
1,117 |
|
|
|
482 |
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $834) ($ Thousands) |
|
|
|
|
|
|
482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS — 0.3% |
|
|
|
|
|
|
|
|
| Liberty Media CV to 16.7764 |
|
|
|
|
|
|
|
|
| 3.750%, 02/15/2030 |
|
|
4,094 |
|
|
|
2,567 |
|
| Liberty Media CV to 22.94686 |
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2029 |
|
|
1,670 |
|
|
|
1,079 |
|
| Mirabela Nickel |
|
|
|
|
|
|
|
|
| 9.500%, 06/20/2019 (A) (D) |
|
|
1,280 |
|
|
|
1,280 |
|
| Mirant CV to 14.7167 |
|
|
|
|
|
|
|
|
| 0.000%, 06/15/2021 (B) |
|
|
2,200 |
|
|
|
— |
|
| Salix Pharmaceuticals CV to 15.1947 |
|
|
|
|
|
|
|
|
| 1.500%, 03/15/2019 |
|
|
348 |
|
|
|
842 |
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bonds
(Cost $5,264) ($ Thousands) |
|
|
|
|
|
|
5,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 0.3% |
|
|
|
|
|
|
|
|
| Aventine Renewable Energy Holdings* |
|
|
1,411 |
|
|
|
17 |
|
| Cengage Learning Holdings II* |
|
|
2,408 |
|
|
|
75 |
|
| Ceva Holdings* (D) |
|
|
561 |
|
|
|
673 |
|
| CUI Acquisition (D) |
|
|
3 |
|
|
|
217 |
|
| Dana Holding |
|
|
67,046 |
|
|
|
1,285 |
|
| Global Aviation Holdings, Cl A* |
|
|
97,655 |
|
|
|
— |
|
| HMH Holdings Delaware* (D) |
|
|
63,251 |
|
|
|
1,230 |
|
| Mmodal |
|
|
40,229 |
|
|
|
714 |
|
| Quad |
|
|
1,894 |
|
|
|
36 |
|
| VSS AHC, Cl A* (C) (D) (E) |
|
|
27,106 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $5,662) ($ Thousands) |
|
|
|
|
|
|
4,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 176 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Number Of
Warrants/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| WARRANTS — 0.0% |
|
|
|
|
|
|
|
|
| Alion Science & Technology,
Expires 03/15/17* |
|
|
1,790 |
|
|
$ |
— |
|
| Medical Card Systems* |
|
|
14,662 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Warrants
(Cost $—) ($ Thousands) |
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 0.0% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.
0.080%** †(I) |
|
|
6,082 |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $6) ($ Thousands) |
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| CASH EQUIVALENT — 0.5% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%** † |
|
|
7,997,068 |
|
|
$ |
7,997 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $7,997) ($ Thousands) |
|
|
|
|
|
|
7,997 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 98.4%
(Cost $1,693,491) ($ Thousands) |
|
|
|
|
|
$ |
1,684,288 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Short |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| U.S. 2-Year Treasury Note |
|
|
(21 |
) |
|
|
Dec-2014 |
|
|
$ |
1 |
|
| U.S. 5-Year Treasury Note |
|
|
(43 |
) |
|
|
Dec-2014 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the outstanding centrally cleared swap agreements held by the Fund at September 30, 2014, is as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default
Swap |
|
| Counterparty |
|
Reference Entity/ Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
($ Thousands) |
|
|
Net Unrealized
Appreciation
($ Thousands) |
|
| JPMorgan Chase Bank |
|
CDX.NA.HY.22-V1 Index |
|
BUY |
|
(5.00%) |
|
06/20/19 |
|
$ |
16,672 |
|
|
$ |
78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on a Net Assets of $1,711,276 ($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
The rate reported is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security. |
| ‡ |
|
Real Estate Investment Trust. |
| ‡‡ |
|
Maturity date is unavailable. |
| (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) |
|
Security in default on interest payments. |
| (C) |
|
Securities considered illiquid. The total market value of such securities as of September 30, 2014 was $540 ($ Thousands) and represented 0.0% of Net Assets.
|
| (D) |
|
Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of
September 30, 2014 was $7,974 ($ Thousands) and represented 0.5% of Net Assets. |
| (E) |
|
Securities considered restricted. The total value of such securities as of September 30, 2014 was $466 and represented 0.0% of Net Assets. |
| (F) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was $6
($ Thousands). |
| (G) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2014. The date reported on the Schedule of
Investments is the final maturity date. |
| (H) |
|
Unsettled bank loan. Interest rate not available. |
| (I) |
|
This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2014 was $6 ($ Thousands).
|
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited
Liability Company
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s
investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level
3(1) |
|
|
Total |
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
1,276,353 |
|
|
$ |
4,261 |
|
|
$ |
1,280,614 |
|
| Loan Participations |
|
|
— |
|
|
|
172,353 |
|
|
|
8,643 |
|
|
|
180,996 |
|
| Collateralized Debt Obligations |
|
|
— |
|
|
|
— |
|
|
|
156,908 |
|
|
|
156,908 |
|
| Preferred Stock |
|
|
5,916 |
|
|
|
21,132 |
|
|
|
— |
|
|
|
27,048 |
|
| Municipal Bonds |
|
|
— |
|
|
|
19,819 |
|
|
|
— |
|
|
|
19,819 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
482 |
|
|
|
— |
|
|
|
482 |
|
| Convertible Bonds |
|
|
— |
|
|
|
4,488 |
|
|
|
1,280 |
|
|
|
5,768 |
|
| Common Stock |
|
|
1,339 |
|
|
|
1,943 |
|
|
|
1,368 |
|
|
|
4,650 |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Affiliated Partnership |
|
|
— |
|
|
|
6 |
|
|
|
— |
|
|
|
6 |
|
| Cash Equivalent |
|
|
7,997 |
|
|
|
— |
|
|
|
— |
|
|
|
7,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
15,252 |
|
|
$ |
1,496,576 |
|
|
$ |
172,460 |
|
|
$ |
1,684,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
19 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19 |
|
| Centrally Cleared Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
78 |
|
|
|
— |
|
|
|
78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
19 |
|
|
$ |
78 |
|
|
$ |
— |
|
|
$ |
97 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts and swaps are valued at the unrealized appreciation on the instrument.
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
177 |
|
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2014
The following is a reconciliation of the investments in which significant
unobservable inputs (Level 3) were used in determining value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate
Obligations |
|
|
Loan Participations |
|
|
Collateralized
Debt Obligations |
|
|
Preferred
Stock |
|
|
Convertible
Bonds |
|
|
Common
Stock |
|
|
Warrants |
|
| Beginning balance as of October 1, 2013 |
|
$ |
2,110 |
|
|
$ |
20,725 |
|
|
$ |
189,595 |
|
|
$ |
1,001 |
|
|
$ |
— |
|
|
$ |
738 |
|
|
$ |
570 |
|
| Accrued discounts/premiums |
|
|
33 |
|
|
|
18 |
|
|
|
(2,799 |
) |
|
|
— |
|
|
|
(2
|
)
|
|
|
— |
|
|
|
— |
|
| Realized gain/(loss) |
|
|
(630 |
) |
|
|
(4 |
) |
|
|
23,000 |
|
|
|
— |
|
|
|
7 |
|
|
|
64 |
|
|
|
(3,463 |
) |
| Change in unrealized appreciation/(depreciation) |
|
|
(1,456 |
) |
|
|
(19 |
) |
|
|
(9,345 |
) |
|
|
— |
|
|
|
(17 |
) |
|
|
370 |
|
|
|
3,463 |
|
| Purchases |
|
|
4,449 |
|
|
|
10,984 |
|
|
|
80,635 |
|
|
|
— |
|
|
|
1,299 |
|
|
|
270 |
|
|
|
— |
|
| Sales |
|
|
(32 |
) |
|
|
(15,873 |
) |
|
|
(126,008 |
) |
|
|
— |
|
|
|
(7 |
) |
|
|
(149 |
) |
|
|
(570 |
) |
| Transfer into Level 3 |
|
|
— |
|
|
|
1,225 |
|
|
|
1,830 |
|
|
|
— |
|
|
|
— |
|
|
|
75 |
|
|
|
— |
|
| Transfer out of Level 3 |
|
|
(213 |
) |
|
|
(8,413 |
) |
|
|
— |
|
|
|
(1,001 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ending balance as of September 30, 2014 |
|
$ |
4,261 |
|
|
$ |
8,643 |
|
|
$ |
156,908 |
|
|
$ |
— |
|
|
$ |
1,280 |
|
|
$ |
1,368 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Changes in unrealized gains (losses) included in earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Related to securities held at reporting date |
|
$ |
(2,117 |
) |
|
$ |
(1,705 |
) |
|
$ |
(367 |
) |
|
$ |
— |
|
|
$ |
(17 |
) |
|
$ |
422 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
|
Of the $172,460 ($ Thousands) in Level 3 securities as of September 30, 2014, $6,744 ($ Thousands) or 0.4% of net assets are not valued via third party pricing
vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or
broker quotes. The value of these securities is immaterial and no further disclosure is required. |
For the year ended
September 30, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30,
2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2
— Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to
$0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 178 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 99.7% |
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
| 2.625%, 07/15/2017 |
|
$ |
13,194 |
|
|
$ |
14,385 |
|
| 2.500%, 07/15/2016 |
|
|
17,789 |
|
|
|
18,883 |
|
| 2.375%, 01/15/2017 |
|
|
15,410 |
|
|
|
16,454 |
|
| 2.125%, 01/15/2019 |
|
|
12,783 |
|
|
|
13,964 |
|
| 2.000%, 01/15/2016 |
|
|
18,178 |
|
|
|
18,817 |
|
| 1.875%, 07/15/2019 |
|
|
14,765 |
|
|
|
16,111 |
|
| 1.625%, 01/15/2018 |
|
|
13,938 |
|
|
|
14,802 |
|
| 1.375%, 07/15/2018 |
|
|
13,745 |
|
|
|
14,601 |
|
| 0.125%, 04/15/2016 |
|
|
36,671 |
|
|
|
37,094 |
|
| 0.125%, 04/15/2017 |
|
|
41,284 |
|
|
|
41,832 |
|
| 0.125%, 04/15/2018 |
|
|
45,914 |
|
|
|
46,280 |
|
| 0.125%, 04/15/2019 |
|
|
30,909 |
|
|
|
30,984 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $288,135) ($ Thousands) |
|
|
|
|
|
|
284,207 |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 0.1% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A |
|
|
|
|
|
|
|
|
| 0.010%*† |
|
|
294,650 |
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $295) ($ Thousands) |
|
|
|
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.8%
(Cost $288,430) ($ Thousands) |
|
|
|
|
|
$ |
284,502 |
|
|
|
|
|
|
|
|
|
|
Percentages are based on a Net Assets of $284,944 ($ Thousands).
| * |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
Cl
— Class
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments carried at
value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| U.S. Treasury Obligations |
|
$ |
— |
|
|
$ |
284,207 |
|
|
$ |
— |
|
|
$ |
284,207 |
|
| Cash Equivalent |
|
|
295 |
|
|
|
— |
|
|
|
— |
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
295 |
|
|
$ |
284,207 |
|
|
$ |
— |
|
|
$ |
284,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
179 |
|
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| REGISTERED INVESTMENT COMPANIES — 94.8% |
|
| Avenue Credit Strategies
Fund, Cl I |
|
|
4,396,544 |
|
|
$ |
50,385 |
|
| Blackrock Global Long/Short Credit
Fund, Cl I |
|
|
5,414,278 |
|
|
|
58,907 |
|
| Diamond Hill Long/Short
Fund, Cl Y |
|
|
1,680,813 |
|
|
|
39,566 |
|
| Driehaus Active Income
Fund, Cl I |
|
|
4,535,503 |
|
|
|
47,804 |
|
| Driehaus Select Credit Fund |
|
|
2,677,211 |
|
|
|
26,344 |
|
| FPA Crescent Fund, Cl R |
|
|
1,383,718 |
|
|
|
47,047 |
|
| Gabelli ABC Fund, Cl A |
|
|
2,693,242 |
|
|
|
27,794 |
|
| Gabelli Enterprise Mergers, Cl Y |
|
|
537,909 |
|
|
|
7,181 |
|
| Gotham Absolute Return Fund |
|
|
2,926,989 |
|
|
|
39,924 |
|
| Merger Fund, Cl I |
|
|
3,835,415 |
|
|
|
62,556 |
|
| Robeco Boston Partners Long/Short Research Fund, Cl I |
|
|
3,313,146 |
|
|
|
49,598 |
|
| Wasatch Long/Short Fund, Cl R |
|
|
932,124 |
|
|
|
15,184 |
|
|
|
|
|
|
|
|
|
|
| Total Registered Investment Companies
(Cost $461,245) ($ Thousands) |
|
|
|
|
|
|
472,290 |
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 13.1% |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A |
|
|
|
|
|
|
|
|
| 0.010%*† |
|
|
65,337,946 |
|
|
|
65,338 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $65,338) ($ Thousands) |
|
|
|
|
|
|
65,338 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 107.9%
(Cost $526,583) ($ Thousands) |
|
|
|
|
|
$ |
537,628 |
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $498,090 ($Thousands).
| * |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Investment in Affiliated Security (see Note 6). |
Cl
— Class
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments carried at
value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Registered Investment Companies |
|
$ |
472,290 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
472,290 |
|
| Cash Equivalent |
|
|
65,338 |
|
|
|
— |
|
|
|
— |
|
|
|
65,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
537,628 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
537,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 180 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount (1)
(Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 11.7% |
|
|
|
|
|
| Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.750%, 04/15/2018 to 04/15/2018 |
|
|
EUR |
|
|
|
22,326 |
|
|
$ |
29,639 |
|
| Canada Government International Bond (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.625%, 02/27/2019 |
|
|
|
|
|
|
500 |
|
|
|
498 |
|
| 0.875%, 02/14/2017 |
|
|
|
|
|
|
1,200 |
|
|
|
1,198 |
|
| Chile Government International
Bond (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.875%, 08/05/2020 |
|
|
|
|
|
|
250 |
|
|
|
267 |
|
| Deutsche Bundesrepublik Inflation Linked Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.750%, 04/15/2020 |
|
|
EUR |
|
|
|
13,416 |
|
|
|
19,334 |
|
| 1.500%, 04/15/2016 |
|
|
EUR |
|
|
|
2,367 |
|
|
|
3,074 |
|
| 0.500%, 04/15/2030 |
|
|
EUR |
|
|
|
453 |
|
|
|
624 |
|
| 0.100%, 04/15/2023 |
|
|
EUR |
|
|
|
27,857 |
|
|
|
37,054 |
|
| Development Bank of Japan (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 02/01/2017 |
|
|
|
|
|
|
200 |
|
|
|
219 |
|
| Export Development Canada (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.250%, 05/28/2015 |
|
|
|
|
|
|
250 |
|
|
|
253 |
|
| 0.750%, 12/15/2017 |
|
|
|
|
|
|
750 |
|
|
|
737 |
|
| 0.500%, 09/15/2015 |
|
|
|
|
|
|
1,250 |
|
|
|
1,253 |
|
| France Government Bond OAT |
|
|
|
|
|
|
|
|
|
| 3.400%, 07/25/2029 |
|
|
EUR |
|
|
|
375 |
|
|
|
700 |
|
| 3.150%, 07/25/2032 |
|
|
EUR |
|
|
|
825 |
|
|
|
1,557 |
|
| 2.250%, 07/25/2020 |
|
|
EUR |
|
|
|
1,349 |
|
|
|
2,005 |
|
| 1.850%, 07/25/2027 |
|
|
EUR |
|
|
|
499 |
|
|
|
775 |
|
| 1.800%, 07/25/2040 |
|
|
EUR |
|
|
|
519 |
|
|
|
866 |
|
| 1.600%, 07/25/2015 |
|
|
EUR |
|
|
|
910 |
|
|
|
1,177 |
|
| 1.300%, 07/25/2019 |
|
|
EUR |
|
|
|
21,220 |
|
|
|
29,588 |
|
| 1.100%, 07/25/2022 |
|
|
EUR |
|
|
|
2,832 |
|
|
|
4,018 |
|
| 1.000%, 07/25/2017 |
|
|
EUR |
|
|
|
1,584 |
|
|
|
2,108 |
|
| 0.250%, 07/25/2018 to 07/25/2024 |
|
|
EUR |
|
|
|
10,332 |
|
|
|
13,607 |
|
| French Treasury Note |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.100%, 07/25/2023 |
|
|
EUR |
|
|
|
1,511 |
|
|
|
2,325 |
|
| 0.700%, 07/25/2030 |
|
|
EUR |
|
|
|
200 |
|
|
|
269 |
|
| 0.450%, 07/25/2016 |
|
|
EUR |
|
|
|
398 |
|
|
|
516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount (1)
(Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hydro-Quebec (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 06/30/2016 |
|
|
|
|
|
|
250 |
|
|
$ |
256 |
|
| 1.375%, 06/19/2017 |
|
|
|
|
|
|
150 |
|
|
|
151 |
|
| Italy Buoni Poliennali Del Tesoro |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.100%, 09/15/2026 |
|
|
EUR |
|
|
|
211 |
|
|
|
316 |
|
| 2.600%, 09/15/2023 |
|
|
EUR |
|
|
|
1,216 |
|
|
|
1,742 |
|
| 2.550%, 09/15/2041 |
|
|
EUR |
|
|
|
519 |
|
|
|
714 |
|
| 2.350%, 09/15/2019 to 09/15/2035 |
|
|
EUR |
|
|
|
1,379 |
|
|
|
1,924 |
|
| 2.100%, 09/15/2016 to 09/15/2021 |
|
|
EUR |
|
|
|
1,666 |
|
|
|
2,248 |
|
| 1.700%, 09/15/2018 |
|
|
EUR |
|
|
|
604 |
|
|
|
812 |
|
| Province of British Columbia (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 01/15/2026 |
|
|
|
|
|
|
250 |
|
|
|
328 |
|
| 2.000%, 10/23/2022 |
|
|
|
|
|
|
750 |
|
|
|
717 |
|
| Province of Ontario Canada (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.450%, 06/29/2022 |
|
|
|
|
|
|
250 |
|
|
|
245 |
|
| 0.950%, 05/26/2015 |
|
|
|
|
|
|
250 |
|
|
|
251 |
|
| Svensk Exportkredit (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 03/01/2017 |
|
|
|
|
|
|
150 |
|
|
|
164 |
|
| United Kingdom Gilt Inflation Linked |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 07/22/2030 |
|
|
GBP |
|
|
|
160 |
|
|
|
840 |
|
| 2.500%, 04/16/2020 to 07/17/2024 |
|
|
GBP |
|
|
|
769 |
|
|
|
4,380 |
|
| 2.000%, 01/26/2035 |
|
|
GBP |
|
|
|
432 |
|
|
|
1,512 |
|
| 1.875%, 11/22/2022 |
|
|
GBP |
|
|
|
10,954 |
|
|
|
21,575 |
|
| 1.250%, 11/22/2017 to 11/22/2055 |
|
|
GBP |
|
|
|
5,618 |
|
|
|
11,684 |
|
| 1.125%, 11/22/2037 |
|
|
GBP |
|
|
|
258 |
|
|
|
565 |
|
| 0.750%, 03/22/2034 to 11/22/2047 |
|
|
GBP |
|
|
|
1,290 |
|
|
|
2,730 |
|
| 0.625%, 03/22/2040 to 11/22/2042 |
|
|
GBP |
|
|
|
1,432 |
|
|
|
2,955 |
|
| 0.500%, 03/22/2050 |
|
|
GBP |
|
|
|
240 |
|
|
|
508 |
|
| 0.375%, 03/22/2062 |
|
|
GBP |
|
|
|
481 |
|
|
|
1,057 |
|
| 0.125%, 03/22/2024 to 03/22/2044 |
|
|
GBP |
|
|
|
4,182 |
|
|
|
7,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt (Cost $220,909) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
218,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 2.9% |
|
|
|
|
|
|
|
| Consumer Discretionary — 0.3% |
|
|
|
|
|
| Amazon.com, Cl A* |
|
|
|
|
|
|
210 |
|
|
|
68 |
|
| Autonation* |
|
|
|
|
|
|
925 |
|
|
|
46 |
|
| Autozone* |
|
|
|
|
|
|
115 |
|
|
|
59 |
|
| Bed Bath & Beyond* |
|
|
|
|
|
|
871 |
|
|
|
57 |
|
| Best Buy |
|
|
|
|
|
|
2,160 |
|
|
|
73 |
|
| BorgWarner |
|
|
|
|
|
|
609 |
|
|
|
32 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
181 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Cablevision Systems, Cl A |
|
|
|
|
2,692 |
|
|
$ |
47 |
|
| CarMax* |
|
|
|
|
974 |
|
|
|
45 |
|
| CBS, Cl B |
|
|
|
|
891 |
|
|
|
48 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
|
|
131 |
|
|
|
87 |
|
| Coach |
|
|
|
|
2,031 |
|
|
|
72 |
|
| Comcast, Cl A |
|
|
|
|
1,101 |
|
|
|
59 |
|
| Darden Restaurants |
|
|
|
|
1,212 |
|
|
|
62 |
|
| Delphi Automotive |
|
|
|
|
1,026 |
|
|
|
63 |
|
| DIRECTV* |
|
|
|
|
748 |
|
|
|
65 |
|
| Discovery Communications,
Cl A* |
|
|
|
|
611 |
|
|
|
23 |
|
| Discovery Communications,
Cl C* |
|
|
|
|
611 |
|
|
|
23 |
|
| Dollar General* |
|
|
|
|
1,154 |
|
|
|
71 |
|
| Dollar Tree* |
|
|
|
|
1,222 |
|
|
|
68 |
|
| DR Horton |
|
|
|
|
2,237 |
|
|
|
46 |
|
| Expedia |
|
|
|
|
660 |
|
|
|
58 |
|
| Family Dollar Stores |
|
|
|
|
921 |
|
|
|
71 |
|
| Ford Motor |
|
|
|
|
2,814 |
|
|
|
42 |
|
| Fossil Group* |
|
|
|
|
541 |
|
|
|
51 |
|
| GameStop, Cl A |
|
|
|
|
1,141 |
|
|
|
47 |
|
| Gannett |
|
|
|
|
1,572 |
|
|
|
46 |
|
| Gap |
|
|
|
|
2,002 |
|
|
|
83 |
|
| Garmin |
|
|
|
|
1,579 |
|
|
|
82 |
|
| General Motors |
|
|
|
|
1,259 |
|
|
|
40 |
|
| Genuine Parts |
|
|
|
|
563 |
|
|
|
49 |
|
| Goodyear Tire & Rubber |
|
|
|
|
3,358 |
|
|
|
76 |
|
| Graham Holdings, Cl B |
|
|
|
|
90 |
|
|
|
63 |
|
| H&R Block |
|
|
|
|
2,909 |
|
|
|
90 |
|
| Harley-Davidson, Cl A |
|
|
|
|
750 |
|
|
|
44 |
|
| Harman International Industries, Cl A |
|
|
|
|
299 |
|
|
|
29 |
|
| Hasbro |
|
|
|
|
950 |
|
|
|
52 |
|
| Home Depot |
|
|
|
|
660 |
|
|
|
61 |
|
| Interpublic Group |
|
|
|
|
2,930 |
|
|
|
54 |
|
| Johnson Controls |
|
|
|
|
1,192 |
|
|
|
52 |
|
| Kohl’s |
|
|
|
|
1,084 |
|
|
|
66 |
|
| L Brands |
|
|
|
|
1,100 |
|
|
|
74 |
|
| Leggett & Platt |
|
|
|
|
2,324 |
|
|
|
81 |
|
| Lennar, Cl A |
|
|
|
|
1,255 |
|
|
|
49 |
|
| Lowe’s |
|
|
|
|
1,189 |
|
|
|
63 |
|
| Macy’s |
|
|
|
|
1,130 |
|
|
|
66 |
|
| Marriott International, Cl A |
|
|
|
|
1,390 |
|
|
|
97 |
|
| Mattel |
|
|
|
|
1,549 |
|
|
|
48 |
|
| McDonald’s |
|
|
|
|
711 |
|
|
|
68 |
|
| Michael Kors Holdings* |
|
|
|
|
798 |
|
|
|
57 |
|
| NetFlix* |
|
|
|
|
63 |
|
|
|
29 |
|
| Newell Rubbermaid, Cl B |
|
|
|
|
1,797 |
|
|
|
62 |
|
| News* |
|
|
|
|
3,347 |
|
|
|
55 |
|
| Nike, Cl B |
|
|
|
|
721 |
|
|
|
64 |
|
| Nordstrom |
|
|
|
|
882 |
|
|
|
60 |
|
| Omnicom Group |
|
|
|
|
1,019 |
|
|
|
70 |
|
| O’Reilly Automotive* |
|
|
|
|
451 |
|
|
|
68 |
|
| PetSmart |
|
|
|
|
770 |
|
|
|
54 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Priceline Group* |
|
|
|
|
45 |
|
|
$ |
52 |
|
| PulteGroup |
|
|
|
|
2,869 |
|
|
|
51 |
|
| PVH |
|
|
|
|
529 |
|
|
|
64 |
|
| Ralph Lauren, Cl A |
|
|
|
|
318 |
|
|
|
53 |
|
| Ross Stores |
|
|
|
|
730 |
|
|
|
55 |
|
| Scripps Networks Interactive, Cl A |
|
|
|
|
899 |
|
|
|
70 |
|
| Shimamura |
|
|
|
|
500 |
|
|
|
46 |
|
| Staples |
|
|
|
|
5,706 |
|
|
|
69 |
|
| Starbucks |
|
|
|
|
728 |
|
|
|
55 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
|
|
802 |
|
|
|
67 |
|
| Target, Cl A |
|
|
|
|
839 |
|
|
|
53 |
|
| Thomson Reuters, Cl B |
|
|
|
|
1,875 |
|
|
|
68 |
|
| Tiffany |
|
|
|
|
538 |
|
|
|
52 |
|
| Time Warner |
|
|
|
|
1,132 |
|
|
|
85 |
|
| Time Warner Cable, Cl A |
|
|
|
|
381 |
|
|
|
55 |
|
| TJX |
|
|
|
|
1,183 |
|
|
|
70 |
|
| Tractor Supply |
|
|
|
|
780 |
|
|
|
48 |
|
| TransAlta |
|
|
|
|
14,704 |
|
|
|
155 |
|
| TripAdvisor* |
|
|
|
|
606 |
|
|
|
55 |
|
| Twenty-First Century Fox, Cl A |
|
|
|
|
1,390 |
|
|
|
47 |
|
| Urban Outfitters* |
|
|
|
|
2,108 |
|
|
|
77 |
|
| VF |
|
|
|
|
892 |
|
|
|
59 |
|
| Viacom, Cl B |
|
|
|
|
751 |
|
|
|
58 |
|
| Walt Disney |
|
|
|
|
583 |
|
|
|
52 |
|
| Whirlpool |
|
|
|
|
397 |
|
|
|
58 |
|
| Wyndham Worldwide |
|
|
|
|
519 |
|
|
|
42 |
|
| Wynn Resorts |
|
|
|
|
141 |
|
|
|
27 |
|
| Yum! Brands |
|
|
|
|
892 |
|
|
|
64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 0.4% |
|
|
|
|
|
|
|
|
|
|
| Altria Group |
|
|
|
|
3,188 |
|
|
|
147 |
|
| Archer-Daniels-Midland |
|
|
|
|
2,391 |
|
|
|
122 |
|
| Avon Products |
|
|
|
|
10,607 |
|
|
|
133 |
|
| Brown-Forman, Cl B |
|
|
|
|
1,540 |
|
|
|
139 |
|
| Campbell Soup |
|
|
|
|
5,326 |
|
|
|
228 |
|
| Clorox |
|
|
|
|
2,249 |
|
|
|
216 |
|
| Coca-Cola |
|
|
|
|
5,019 |
|
|
|
214 |
|
| Coca-Cola Enterprises |
|
|
|
|
3,533 |
|
|
|
157 |
|
| Colgate-Palmolive |
|
|
|
|
2,381 |
|
|
|
155 |
|
| ConAgra Foods |
|
|
|
|
6,607 |
|
|
|
218 |
|
| Constellation Brands, Cl A* |
|
|
|
|
1,282 |
|
|
|
112 |
|
| Costco Wholesale |
|
|
|
|
969 |
|
|
|
121 |
|
| CVS Health |
|
|
|
|
2,373 |
|
|
|
189 |
|
| Dr Pepper Snapple Group |
|
|
|
|
3,217 |
|
|
|
207 |
|
| Estee Lauder, Cl A |
|
|
|
|
2,003 |
|
|
|
150 |
|
| General Mills, Cl A |
|
|
|
|
3,893 |
|
|
|
196 |
|
| Heineken |
|
|
|
|
867 |
|
|
|
65 |
|
| Hershey |
|
|
|
|
2,261 |
|
|
|
216 |
|
| Hormel Foods |
|
|
|
|
4,156 |
|
|
|
214 |
|
| JM Smucker |
|
|
|
|
2,125 |
|
|
|
210 |
|
| Kellogg |
|
|
|
|
2,746 |
|
|
|
169 |
|
| Keurig Green Mountain |
|
|
|
|
865 |
|
|
|
113 |
|
|
|
|
| 182 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Kimberly-Clark |
|
|
|
|
1,728 |
|
|
$ |
186 |
|
| Kraft Foods |
|
|
|
|
3,022 |
|
|
|
170 |
|
| Kroger |
|
|
|
|
2,940 |
|
|
|
153 |
|
| Lorillard |
|
|
|
|
2,734 |
|
|
|
164 |
|
| McCormick |
|
|
|
|
3,079 |
|
|
|
206 |
|
| Mead Johnson Nutrition, Cl A |
|
|
|
|
1,595 |
|
|
|
154 |
|
| Molson Coors Brewing, Cl B |
|
|
|
|
2,464 |
|
|
|
183 |
|
| Mondelez International, Cl A |
|
|
|
|
5,619 |
|
|
|
193 |
|
| Monster Beverage* |
|
|
|
|
1,680 |
|
|
|
154 |
|
| PepsiCo |
|
|
|
|
1,678 |
|
|
|
156 |
|
| Philip Morris International |
|
|
|
|
1,860 |
|
|
|
155 |
|
| Procter & Gamble |
|
|
|
|
2,259 |
|
|
|
189 |
|
| Reynolds American |
|
|
|
|
3,768 |
|
|
|
222 |
|
| Safeway |
|
|
|
|
2,823 |
|
|
|
97 |
|
| SYSCO, Cl A |
|
|
|
|
5,177 |
|
|
|
196 |
|
| Tyson Foods, Cl A |
|
|
|
|
4,314 |
|
|
|
170 |
|
| Walgreen |
|
|
|
|
2,355 |
|
|
|
140 |
|
| Wal-Mart Stores |
|
|
|
|
1,615 |
|
|
|
123 |
|
| Whole Foods Market |
|
|
|
|
3,400 |
|
|
|
130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,832 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Anadarko Petroleum, Cl A |
|
|
|
|
913 |
|
|
|
93 |
|
| Apache |
|
|
|
|
962 |
|
|
|
90 |
|
| Baker Hughes |
|
|
|
|
1,250 |
|
|
|
81 |
|
| Cabot Oil & Gas |
|
|
|
|
2,952 |
|
|
|
96 |
|
| Cameron International* |
|
|
|
|
1,419 |
|
|
|
94 |
|
| Chesapeake Energy |
|
|
|
|
3,983 |
|
|
|
91 |
|
| Chevron |
|
|
|
|
824 |
|
|
|
98 |
|
| Cimarex Energy |
|
|
|
|
700 |
|
|
|
88 |
|
| ConocoPhillips |
|
|
|
|
1,874 |
|
|
|
143 |
|
| Consol Energy |
|
|
|
|
2,336 |
|
|
|
88 |
|
| Denbury Resources |
|
|
|
|
6,027 |
|
|
|
91 |
|
| Devon Energy |
|
|
|
|
1,312 |
|
|
|
89 |
|
| Diamond Offshore Drilling |
|
|
|
|
2,198 |
|
|
|
75 |
|
| EOG Resources |
|
|
|
|
834 |
|
|
|
83 |
|
| EQT |
|
|
|
|
1,221 |
|
|
|
112 |
|
| Exxon Mobil |
|
|
|
|
1,312 |
|
|
|
123 |
|
| FMC Technologies* |
|
|
|
|
1,898 |
|
|
|
103 |
|
| Halliburton |
|
|
|
|
1,541 |
|
|
|
100 |
|
| Helmerich & Payne |
|
|
|
|
777 |
|
|
|
76 |
|
| Hess |
|
|
|
|
797 |
|
|
|
75 |
|
| Kinder Morgan |
|
|
|
|
3,199 |
|
|
|
123 |
|
| Marathon Oil |
|
|
|
|
2,383 |
|
|
|
90 |
|
| Marathon Petroleum |
|
|
|
|
1,154 |
|
|
|
98 |
|
| Murphy Oil |
|
|
|
|
2,333 |
|
|
|
133 |
|
| Nabors Industries |
|
|
|
|
2,958 |
|
|
|
67 |
|
| National Oilwell Varco, Cl A |
|
|
|
|
1,320 |
|
|
|
101 |
|
| Newfield Exploration* |
|
|
|
|
2,166 |
|
|
|
80 |
|
| Noble Energy |
|
|
|
|
1,386 |
|
|
|
95 |
|
| Occidental Petroleum |
|
|
|
|
1,154 |
|
|
|
111 |
|
| Oneok |
|
|
|
|
2,044 |
|
|
|
134 |
|
| Peabody Energy |
|
|
|
|
4,589 |
|
|
|
57 |
|
| Phillips 66 |
|
|
|
|
1,153 |
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Pioneer Natural Resources |
|
|
|
|
645 |
|
|
$ |
127 |
|
| QEP Resources |
|
|
|
|
3,090 |
|
|
|
95 |
|
| Range Resources |
|
|
|
|
1,290 |
|
|
|
87 |
|
| Schlumberger, Cl A |
|
|
|
|
1,258 |
|
|
|
128 |
|
| Southwestern Energy, Cl A* |
|
|
|
|
2,367 |
|
|
|
83 |
|
| Spectra Energy |
|
|
|
|
3,735 |
|
|
|
147 |
|
| Subsea 7 |
|
|
|
|
4,431 |
|
|
|
63 |
|
| Tesoro |
|
|
|
|
1,406 |
|
|
|
86 |
|
| Valero Energy |
|
|
|
|
1,722 |
|
|
|
80 |
|
| Williams |
|
|
|
|
2,673 |
|
|
|
148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 0.3% |
|
|
|
|
|
|
|
|
|
|
| Affiliated Managers Group* |
|
|
|
|
278 |
|
|
|
56 |
|
| Aflac |
|
|
|
|
669 |
|
|
|
39 |
|
| Allstate |
|
|
|
|
963 |
|
|
|
59 |
|
| American Express |
|
|
|
|
700 |
|
|
|
61 |
|
| American International Group |
|
|
|
|
833 |
|
|
|
45 |
|
| American Tower, Cl A† |
|
|
|
|
1,028 |
|
|
|
96 |
|
| Ameriprise Financial |
|
|
|
|
614 |
|
|
|
76 |
|
| Apartment Investment & Management, Cl A† |
|
|
|
|
1,239 |
|
|
|
39 |
|
| Assurant |
|
|
|
|
976 |
|
|
|
63 |
|
| AvalonBay Communities† |
|
|
|
|
370 |
|
|
|
52 |
|
| Bank of America |
|
|
|
|
3,043 |
|
|
|
52 |
|
| Bank of New York Mellon |
|
|
|
|
1,378 |
|
|
|
53 |
|
| BB&T |
|
|
|
|
1,475 |
|
|
|
55 |
|
| Berkshire Hathaway, Cl B* |
|
|
|
|
465 |
|
|
|
64 |
|
| BlackRock |
|
|
|
|
239 |
|
|
|
78 |
|
| Boston Properties† |
|
|
|
|
488 |
|
|
|
57 |
|
| Capital One Financial |
|
|
|
|
700 |
|
|
|
57 |
|
| CBRE Group, Cl A* |
|
|
|
|
1,563 |
|
|
|
47 |
|
| Charles Schwab |
|
|
|
|
2,369 |
|
|
|
70 |
|
| Chubb |
|
|
|
|
727 |
|
|
|
66 |
|
| Cincinnati Financial |
|
|
|
|
2,017 |
|
|
|
95 |
|
| Citigroup |
|
|
|
|
679 |
|
|
|
35 |
|
| CME Group |
|
|
|
|
580 |
|
|
|
46 |
|
| Comerica |
|
|
|
|
1,055 |
|
|
|
53 |
|
| Crown Castle International† |
|
|
|
|
1,610 |
|
|
|
130 |
|
| Discover Financial Services |
|
|
|
|
1,159 |
|
|
|
75 |
|
| E*Trade Financial* |
|
|
|
|
2,457 |
|
|
|
55 |
|
| Equity Residential† |
|
|
|
|
941 |
|
|
|
58 |
|
| Essex Property Trust† |
|
|
|
|
340 |
|
|
|
61 |
|
| Fifth Third Bancorp |
|
|
|
|
3,134 |
|
|
|
63 |
|
| Franklin Resources |
|
|
|
|
783 |
|
|
|
43 |
|
| General Growth Properties† |
|
|
|
|
2,355 |
|
|
|
55 |
|
| Genworth Financial, Cl A* |
|
|
|
|
1,800 |
|
|
|
23 |
|
| Goldman Sachs Group |
|
|
|
|
268 |
|
|
|
49 |
|
| Hartford Financial Services Group |
|
|
|
|
1,315 |
|
|
|
49 |
|
| HCP† |
|
|
|
|
1,674 |
|
|
|
67 |
|
| Health Care† |
|
|
|
|
867 |
|
|
|
54 |
|
| Host Hotels & Resorts† |
|
|
|
|
3,192 |
|
|
|
68 |
|
| Hudson City Bancorp, Cl A |
|
|
|
|
4,255 |
|
|
|
42 |
|
| Huntington Bancshares |
|
|
|
|
5,352 |
|
|
|
52 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
183 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Intercontinental Exchange |
|
|
|
|
310 |
|
|
$ |
60 |
|
| Invesco |
|
|
|
|
1,903 |
|
|
|
75 |
|
| Iron Mountain† |
|
|
|
|
2,432 |
|
|
|
79 |
|
| JPMorgan Chase |
|
|
|
|
755 |
|
|
|
46 |
|
| KeyCorp |
|
|
|
|
3,605 |
|
|
|
48 |
|
| Kimco Realty† |
|
|
|
|
2,593 |
|
|
|
57 |
|
| Legg Mason |
|
|
|
|
1,384 |
|
|
|
71 |
|
| Leucadia National |
|
|
|
|
2,506 |
|
|
|
60 |
|
| Lincoln National |
|
|
|
|
1,188 |
|
|
|
64 |
|
| Loews |
|
|
|
|
1,087 |
|
|
|
45 |
|
| M&T Bank |
|
|
|
|
449 |
|
|
|
55 |
|
| Macerich† |
|
|
|
|
1,104 |
|
|
|
71 |
|
| Marsh & McLennan |
|
|
|
|
1,756 |
|
|
|
92 |
|
| McGraw-Hill |
|
|
|
|
531 |
|
|
|
45 |
|
| MetLife |
|
|
|
|
873 |
|
|
|
47 |
|
| Moody’s |
|
|
|
|
673 |
|
|
|
64 |
|
| Morgan Stanley |
|
|
|
|
1,399 |
|
|
|
48 |
|
| NASDAQ OMX Group, Cl A |
|
|
|
|
1,585 |
|
|
|
67 |
|
| Navient |
|
|
|
|
2,108 |
|
|
|
37 |
|
| Northern Trust |
|
|
|
|
820 |
|
|
|
56 |
|
| Oversea-Chinese Banking |
|
|
|
|
4,000 |
|
|
|
30 |
|
| People’s United Financial |
|
|
|
|
3,326 |
|
|
|
48 |
|
| Plum Creek Timber† |
|
|
|
|
1,119 |
|
|
|
44 |
|
| PNC Financial Services Group |
|
|
|
|
592 |
|
|
|
51 |
|
| Principal Financial Group, Cl A |
|
|
|
|
1,244 |
|
|
|
65 |
|
| Progressive |
|
|
|
|
2,974 |
|
|
|
75 |
|
| ProLogis† |
|
|
|
|
2,009 |
|
|
|
76 |
|
| Prudential Financial |
|
|
|
|
570 |
|
|
|
50 |
|
| Public Storage† |
|
|
|
|
541 |
|
|
|
90 |
|
| Regions Financial |
|
|
|
|
5,512 |
|
|
|
55 |
|
| Simon Property Group† |
|
|
|
|
325 |
|
|
|
53 |
|
| Singapore Exchange |
|
|
|
|
4,000 |
|
|
|
23 |
|
| State Street |
|
|
|
|
770 |
|
|
|
57 |
|
| SunTrust Banks |
|
|
|
|
1,338 |
|
|
|
51 |
|
| T. Rowe Price Group |
|
|
|
|
832 |
|
|
|
65 |
|
| Torchmark, Cl A |
|
|
|
|
964 |
|
|
|
50 |
|
| Travelers |
|
|
|
|
849 |
|
|
|
80 |
|
| Unum Group |
|
|
|
|
1,475 |
|
|
|
51 |
|
| US Bancorp |
|
|
|
|
1,531 |
|
|
|
64 |
|
| Ventas† |
|
|
|
|
1,347 |
|
|
|
83 |
|
| Vornado Realty Trust† |
|
|
|
|
658 |
|
|
|
66 |
|
| Wells Fargo |
|
|
|
|
1,097 |
|
|
|
57 |
|
| Weyerhaeuser† |
|
|
|
|
1,332 |
|
|
|
42 |
|
| XL Group, Cl A |
|
|
|
|
1,587 |
|
|
|
53 |
|
| Zions Bancorporation |
|
|
|
|
1,284 |
|
|
|
37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 0.3% |
|
|
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
|
|
3,250 |
|
|
|
135 |
|
| AbbVie |
|
|
|
|
1,774 |
|
|
|
103 |
|
| Aetna, Cl A |
|
|
|
|
1,342 |
|
|
|
109 |
|
| Agilent Technologies |
|
|
|
|
1,375 |
|
|
|
79 |
|
| Alexion Pharmaceuticals* |
|
|
|
|
770 |
|
|
|
128 |
|
| Allergan |
|
|
|
|
887 |
|
|
|
158 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| AmerisourceBergen |
|
|
|
|
1,216 |
|
|
$ |
94 |
|
| Amgen, Cl A |
|
|
|
|
1,015 |
|
|
|
143 |
|
| Baxter International |
|
|
|
|
1,783 |
|
|
|
128 |
|
| Becton Dickinson |
|
|
|
|
1,001 |
|
|
|
114 |
|
| Biogen Idec* |
|
|
|
|
231 |
|
|
|
76 |
|
| Boston Scientific* |
|
|
|
|
8,618 |
|
|
|
102 |
|
| Bristol-Myers Squibb |
|
|
|
|
2,520 |
|
|
|
129 |
|
| C.R. Bard |
|
|
|
|
1,009 |
|
|
|
144 |
|
| Cardinal Health |
|
|
|
|
1,831 |
|
|
|
137 |
|
| CareFusion* |
|
|
|
|
1,711 |
|
|
|
77 |
|
| Celgene, Cl A* |
|
|
|
|
1,198 |
|
|
|
114 |
|
| Cerner* |
|
|
|
|
2,136 |
|
|
|
127 |
|
| Cigna |
|
|
|
|
1,164 |
|
|
|
106 |
|
| DaVita HealthCare Partners* |
|
|
|
|
1,274 |
|
|
|
93 |
|
| Dentsply International |
|
|
|
|
1,986 |
|
|
|
91 |
|
| Edwards Lifesciences, Cl A* |
|
|
|
|
1,189 |
|
|
|
121 |
|
| Eli Lilly |
|
|
|
|
2,348 |
|
|
|
152 |
|
| Express Scripts Holding* |
|
|
|
|
1,303 |
|
|
|
92 |
|
| Gilead Sciences* |
|
|
|
|
1,056 |
|
|
|
112 |
|
| Hospira* |
|
|
|
|
2,090 |
|
|
|
109 |
|
| Humana |
|
|
|
|
710 |
|
|
|
92 |
|
| Intuitive Surgical* |
|
|
|
|
248 |
|
|
|
115 |
|
| Johnson & Johnson |
|
|
|
|
1,072 |
|
|
|
114 |
|
| Laboratory Corp of America Holdings* |
|
|
|
|
954 |
|
|
|
97 |
|
| McKesson |
|
|
|
|
595 |
|
|
|
116 |
|
| Medtronic |
|
|
|
|
1,811 |
|
|
|
112 |
|
| Merck |
|
|
|
|
2,621 |
|
|
|
156 |
|
| Mylan* |
|
|
|
|
2,116 |
|
|
|
96 |
|
| Patterson |
|
|
|
|
2,743 |
|
|
|
114 |
|
| PerkinElmer |
|
|
|
|
1,796 |
|
|
|
78 |
|
| Pfizer |
|
|
|
|
3,995 |
|
|
|
118 |
|
| Quest Diagnostics |
|
|
|
|
1,743 |
|
|
|
106 |
|
| Regeneron Pharmaceuticals* |
|
|
|
|
331 |
|
|
|
119 |
|
| St. Jude Medical |
|
|
|
|
1,964 |
|
|
|
118 |
|
| Stryker |
|
|
|
|
1,505 |
|
|
|
121 |
|
| Tenet Healthcare* |
|
|
|
|
1,688 |
|
|
|
100 |
|
| Thermo Fisher Scientific |
|
|
|
|
740 |
|
|
|
90 |
|
| UnitedHealth Group |
|
|
|
|
1,450 |
|
|
|
125 |
|
| Varian Medical Systems* |
|
|
|
|
1,374 |
|
|
|
110 |
|
| Vertex Pharmaceuticals* |
|
|
|
|
1,209 |
|
|
|
136 |
|
| Waters* |
|
|
|
|
1,193 |
|
|
|
118 |
|
| WellPoint |
|
|
|
|
1,014 |
|
|
|
121 |
|
| Zimmer Holdings |
|
|
|
|
1,217 |
|
|
|
122 |
|
| Zoetis, Cl A |
|
|
|
|
2,551 |
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 0.2% |
|
|
|
|
|
|
|
|
|
|
| 3M |
|
|
|
|
528 |
|
|
|
75 |
|
| ADT, Cl A |
|
|
|
|
1,823 |
|
|
|
65 |
|
| Ametek |
|
|
|
|
1,000 |
|
|
|
50 |
|
| Boeing |
|
|
|
|
707 |
|
|
|
90 |
|
| C.H. Robinson Worldwide |
|
|
|
|
1,277 |
|
|
|
84 |
|
| Caterpillar, Cl A |
|
|
|
|
615 |
|
|
|
61 |
|
| Cintas |
|
|
|
|
1,538 |
|
|
|
109 |
|
|
|
|
| 184 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| CSX |
|
|
|
|
2,876 |
|
|
$ |
92 |
|
| Cummins |
|
|
|
|
374 |
|
|
|
49 |
|
| Danaher, Cl A |
|
|
|
|
910 |
|
|
|
69 |
|
| Deere |
|
|
|
|
725 |
|
|
|
59 |
|
| Delta Air Lines, Cl A |
|
|
|
|
1,401 |
|
|
|
51 |
|
| Dover |
|
|
|
|
786 |
|
|
|
63 |
|
| Dun & Bradstreet |
|
|
|
|
676 |
|
|
|
79 |
|
| Emerson Electric |
|
|
|
|
1,127 |
|
|
|
70 |
|
| Equifax |
|
|
|
|
1,030 |
|
|
|
77 |
|
| Expeditors International of Washington |
|
|
|
|
1,894 |
|
|
|
77 |
|
| Fastenal, Cl A |
|
|
|
|
2,002 |
|
|
|
90 |
|
| FedEx |
|
|
|
|
581 |
|
|
|
94 |
|
| Flowserve |
|
|
|
|
922 |
|
|
|
65 |
|
| Fluor |
|
|
|
|
896 |
|
|
|
60 |
|
| General Dynamics |
|
|
|
|
849 |
|
|
|
108 |
|
| General Electric |
|
|
|
|
2,213 |
|
|
|
56 |
|
| Honeywell International |
|
|
|
|
801 |
|
|
|
75 |
|
| Illinois Tool Works |
|
|
|
|
945 |
|
|
|
80 |
|
| Jacobs Engineering Group* |
|
|
|
|
1,059 |
|
|
|
52 |
|
| Joy Global |
|
|
|
|
916 |
|
|
|
50 |
|
| Kansas City Southern |
|
|
|
|
757 |
|
|
|
92 |
|
| L-3 Communications Holdings |
|
|
|
|
643 |
|
|
|
76 |
|
| Lockheed Martin |
|
|
|
|
290 |
|
|
|
53 |
|
| Masco |
|
|
|
|
3,321 |
|
|
|
79 |
|
| Norfolk Southern |
|
|
|
|
909 |
|
|
|
101 |
|
| Northrop Grumman |
|
|
|
|
759 |
|
|
|
100 |
|
| PACCAR |
|
|
|
|
1,085 |
|
|
|
62 |
|
| Pall |
|
|
|
|
857 |
|
|
|
72 |
|
| Parker-Hannifin, Cl A |
|
|
|
|
653 |
|
|
|
75 |
|
| Pitney Bowes |
|
|
|
|
2,255 |
|
|
|
56 |
|
| Precision Castparts |
|
|
|
|
310 |
|
|
|
73 |
|
| Quanta Services* |
|
|
|
|
1,779 |
|
|
|
64 |
|
| Raytheon |
|
|
|
|
853 |
|
|
|
87 |
|
| Republic Services |
|
|
|
|
2,778 |
|
|
|
108 |
|
| Robert Half International |
|
|
|
|
1,948 |
|
|
|
95 |
|
| Rockwell Automation |
|
|
|
|
815 |
|
|
|
90 |
|
| Rockwell Collins |
|
|
|
|
1,049 |
|
|
|
82 |
|
| Roper Industries |
|
|
|
|
388 |
|
|
|
57 |
|
| Ryder System |
|
|
|
|
976 |
|
|
|
88 |
|
| Snap-on |
|
|
|
|
540 |
|
|
|
65 |
|
| Southwest Airlines, Cl A |
|
|
|
|
2,040 |
|
|
|
69 |
|
| Stanley Black & Decker |
|
|
|
|
854 |
|
|
|
76 |
|
| Stericycle, Cl A* |
|
|
|
|
907 |
|
|
|
106 |
|
| Textron |
|
|
|
|
1,332 |
|
|
|
48 |
|
| Union Pacific |
|
|
|
|
856 |
|
|
|
93 |
|
| United Parcel Service, Cl B |
|
|
|
|
682 |
|
|
|
67 |
|
| United Technologies |
|
|
|
|
672 |
|
|
|
71 |
|
| Waste Management |
|
|
|
|
2,460 |
|
|
|
117 |
|
| WW Grainger |
|
|
|
|
266 |
|
|
|
67 |
|
| Xylem |
|
|
|
|
1,841 |
|
|
|
65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.3% |
|
|
|
|
|
|
|
|
|
|
| Adobe Systems* |
|
|
|
|
1,333 |
|
|
|
92 |
|
| Akamai Technologies* |
|
|
|
|
1,426 |
|
|
|
85 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Alliance Data Systems* |
|
|
|
|
225 |
|
|
$ |
56 |
|
| Altera |
|
|
|
|
2,530 |
|
|
|
91 |
|
| Amphenol, Cl A |
|
|
|
|
610 |
|
|
|
61 |
|
| Analog Devices |
|
|
|
|
1,415 |
|
|
|
70 |
|
| Apple |
|
|
|
|
1,148 |
|
|
|
116 |
|
| Applied Materials |
|
|
|
|
3,455 |
|
|
|
75 |
|
| Autodesk, Cl A* |
|
|
|
|
1,243 |
|
|
|
69 |
|
| Automatic Data Processing |
|
|
|
|
1,236 |
|
|
|
103 |
|
| Broadcom, Cl A |
|
|
|
|
2,356 |
|
|
|
95 |
|
| CA |
|
|
|
|
2,697 |
|
|
|
75 |
|
| Cisco Systems |
|
|
|
|
3,423 |
|
|
|
86 |
|
| Citrix Systems* |
|
|
|
|
1,207 |
|
|
|
86 |
|
| Cognizant Technology Solutions, Cl A* |
|
|
|
|
1,460 |
|
|
|
65 |
|
| Computer Sciences |
|
|
|
|
1,176 |
|
|
|
72 |
|
| Corning, Cl B |
|
|
|
|
3,400 |
|
|
|
66 |
|
| eBay* |
|
|
|
|
1,313 |
|
|
|
75 |
|
| Electronic Arts* |
|
|
|
|
1,687 |
|
|
|
60 |
|
| EMC |
|
|
|
|
2,540 |
|
|
|
74 |
|
| F5 Networks, Cl A* |
|
|
|
|
643 |
|
|
|
76 |
|
| Facebook, Cl A* |
|
|
|
|
800 |
|
|
|
63 |
|
| Fidelity National Information Services, Cl B |
|
|
|
|
1,370 |
|
|
|
77 |
|
| First Solar* |
|
|
|
|
548 |
|
|
|
36 |
|
| Fiserv, Cl A* |
|
|
|
|
1,220 |
|
|
|
79 |
|
| Flir Systems |
|
|
|
|
1,587 |
|
|
|
50 |
|
| Google, Cl A* |
|
|
|
|
126 |
|
|
|
74 |
|
| Google, Cl C* |
|
|
|
|
67 |
|
|
|
39 |
|
| Harris |
|
|
|
|
849 |
|
|
|
57 |
|
| Hewlett-Packard |
|
|
|
|
1,974 |
|
|
|
70 |
|
| Intel |
|
|
|
|
2,316 |
|
|
|
81 |
|
| International Business Machines |
|
|
|
|
503 |
|
|
|
95 |
|
| Intuit |
|
|
|
|
1,158 |
|
|
|
102 |
|
| Jabil Circuit |
|
|
|
|
3,548 |
|
|
|
71 |
|
| Juniper Networks |
|
|
|
|
2,336 |
|
|
|
52 |
|
| KLA-Tencor |
|
|
|
|
1,029 |
|
|
|
81 |
|
| Lam Research |
|
|
|
|
1,034 |
|
|
|
77 |
|
| Linear Technology |
|
|
|
|
1,618 |
|
|
|
72 |
|
| MasterCard, Cl A |
|
|
|
|
1,158 |
|
|
|
86 |
|
| Microchip Technology |
|
|
|
|
1,617 |
|
|
|
76 |
|
| Microsoft |
|
|
|
|
2,162 |
|
|
|
100 |
|
| Motorola Solutions |
|
|
|
|
1,017 |
|
|
|
64 |
|
| NetApp |
|
|
|
|
2,048 |
|
|
|
88 |
|
| Nvidia |
|
|
|
|
4,153 |
|
|
|
77 |
|
| Oracle, Cl B |
|
|
|
|
2,124 |
|
|
|
81 |
|
| Paychex |
|
|
|
|
2,240 |
|
|
|
99 |
|
| Qualcomm |
|
|
|
|
1,313 |
|
|
|
98 |
|
| Red Hat* |
|
|
|
|
1,679 |
|
|
|
94 |
|
| Salesforce.com* |
|
|
|
|
1,084 |
|
|
|
63 |
|
| SanDisk |
|
|
|
|
768 |
|
|
|
75 |
|
| Symantec, Cl A |
|
|
|
|
4,377 |
|
|
|
103 |
|
| Teradata* |
|
|
|
|
1,941 |
|
|
|
81 |
|
| Texas Instruments |
|
|
|
|
1,935 |
|
|
|
92 |
|
| Total System Services |
|
|
|
|
2,623 |
|
|
|
81 |
|
| VeriSign* |
|
|
|
|
1,285 |
|
|
|
71 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
185 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Visa, Cl A |
|
|
|
|
345 |
|
|
$ |
74 |
|
| Western Digital |
|
|
|
|
821 |
|
|
|
80 |
|
| Western Union |
|
|
|
|
3,461 |
|
|
|
56 |
|
| Xerox |
|
|
|
|
5,181 |
|
|
|
69 |
|
| Xilinx |
|
|
|
|
1,139 |
|
|
|
48 |
|
| Yahoo!* |
|
|
|
|
1,891 |
|
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Air Products & Chemicals |
|
|
|
|
1,352 |
|
|
|
176 |
|
| Airgas |
|
|
|
|
1,440 |
|
|
|
159 |
|
| Alcoa |
|
|
|
|
7,387 |
|
|
|
119 |
|
| Allegheny Technologies |
|
|
|
|
2,842 |
|
|
|
106 |
|
| Avery Dennison |
|
|
|
|
3,561 |
|
|
|
159 |
|
| Ball |
|
|
|
|
2,359 |
|
|
|
149 |
|
| Bemis |
|
|
|
|
4,969 |
|
|
|
189 |
|
| CF Industries Holdings |
|
|
|
|
519 |
|
|
|
145 |
|
| Dow Chemical, Cl A |
|
|
|
|
2,113 |
|
|
|
111 |
|
| E.I. du Pont de Nemours |
|
|
|
|
2,122 |
|
|
|
152 |
|
| Eastman Chemical |
|
|
|
|
1,512 |
|
|
|
122 |
|
| Ecolab |
|
|
|
|
1,335 |
|
|
|
153 |
|
| FMC |
|
|
|
|
2,338 |
|
|
|
134 |
|
| Freeport-McMoRan, Cl B |
|
|
|
|
3,472 |
|
|
|
113 |
|
| International Flavors & Fragrances |
|
|
|
|
1,619 |
|
|
|
155 |
|
| International Paper |
|
|
|
|
3,363 |
|
|
|
161 |
|
| Martin Marietta Materials, Cl A |
|
|
|
|
995 |
|
|
|
128 |
|
| MeadWestvaco |
|
|
|
|
3,651 |
|
|
|
149 |
|
| Monsanto |
|
|
|
|
1,460 |
|
|
|
164 |
|
| Mosaic |
|
|
|
|
3,072 |
|
|
|
137 |
|
| Newmont Mining |
|
|
|
|
7,545 |
|
|
|
174 |
|
| Nucor |
|
|
|
|
2,439 |
|
|
|
132 |
|
| Owens-Illinois* |
|
|
|
|
4,063 |
|
|
|
106 |
|
| PPG Industries |
|
|
|
|
740 |
|
|
|
146 |
|
| Praxair |
|
|
|
|
1,132 |
|
|
|
146 |
|
| Sealed Air |
|
|
|
|
3,899 |
|
|
|
136 |
|
| Sherwin-Williams, Cl A |
|
|
|
|
831 |
|
|
|
182 |
|
| Sigma-Aldrich |
|
|
|
|
1,578 |
|
|
|
215 |
|
| Voestalpine |
|
|
|
|
3,151 |
|
|
|
125 |
|
| Vulcan Materials |
|
|
|
|
2,486 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.3% |
|
|
|
|
|
| AT&T |
|
|
|
|
45,494 |
|
|
|
1,603 |
|
| CenturyTel |
|
|
|
|
28,606 |
|
|
|
1,170 |
|
| Frontier Communications |
|
|
|
|
173,360 |
|
|
|
1,129 |
|
| Verizon Communications |
|
|
|
|
27,761 |
|
|
|
1,388 |
|
| Windstream Holdings |
|
|
|
|
111,449 |
|
|
|
1,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.4% |
|
|
|
|
|
|
|
|
|
|
| AES |
|
|
|
|
15,859 |
|
|
|
225 |
|
| AGL Resources |
|
|
|
|
3,950 |
|
|
|
203 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Ameren |
|
|
|
|
6,424 |
|
|
$ |
246 |
|
| American Electric Power |
|
|
|
|
4,511 |
|
|
|
235 |
|
| AusNet Services |
|
|
|
|
122,879 |
|
|
|
147 |
|
| Centerpoint Energy |
|
|
|
|
9,333 |
|
|
|
228 |
|
| CMS Energy |
|
|
|
|
8,242 |
|
|
|
245 |
|
| Consolidated Edison |
|
|
|
|
5,035 |
|
|
|
285 |
|
| Dominion Resources |
|
|
|
|
3,522 |
|
|
|
243 |
|
| DTE Energy |
|
|
|
|
3,434 |
|
|
|
261 |
|
| Duke Energy |
|
|
|
|
3,640 |
|
|
|
272 |
|
| Edison International |
|
|
|
|
4,542 |
|
|
|
254 |
|
| Entergy |
|
|
|
|
3,011 |
|
|
|
233 |
|
| Exelon |
|
|
|
|
6,475 |
|
|
|
221 |
|
| FirstEnergy |
|
|
|
|
6,835 |
|
|
|
229 |
|
| Integrys Energy Group |
|
|
|
|
4,449 |
|
|
|
289 |
|
| NextEra Energy |
|
|
|
|
2,502 |
|
|
|
235 |
|
| NiSource |
|
|
|
|
6,334 |
|
|
|
260 |
|
| Northeast Utilities |
|
|
|
|
5,933 |
|
|
|
263 |
|
| NRG Energy |
|
|
|
|
6,416 |
|
|
|
195 |
|
| Pepco Holdings |
|
|
|
|
7,327 |
|
|
|
196 |
|
| PG&E |
|
|
|
|
5,556 |
|
|
|
250 |
|
| Pinnacle West Capital |
|
|
|
|
5,247 |
|
|
|
287 |
|
| PPL |
|
|
|
|
6,672 |
|
|
|
219 |
|
| Public Service Enterprise Group |
|
|
|
|
6,520 |
|
|
|
243 |
|
| Red Electrica, Cl B |
|
|
|
|
1,399 |
|
|
|
121 |
|
| SCANA |
|
|
|
|
5,367 |
|
|
|
266 |
|
| Sempra Energy |
|
|
|
|
2,530 |
|
|
|
267 |
|
| Southern |
|
|
|
|
6,436 |
|
|
|
281 |
|
| TECO Energy |
|
|
|
|
15,208 |
|
|
|
264 |
|
| Wisconsin Energy |
|
|
|
|
6,018 |
|
|
|
259 |
|
| Xcel Energy |
|
|
|
|
8,583 |
|
|
|
261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,683 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $42,432) ($ Thousands) |
|
|
|
|
|
|
|
|
54,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| FOREIGN COMMON STOCK — 2.6% |
|
|
|
|
|
| Australia — 0.2% |
|
|
|
|
|
|
|
|
|
|
| AGL Energy |
|
|
|
|
12,731 |
|
|
|
151 |
|
| ALS |
|
|
|
|
4,596 |
|
|
|
21 |
|
| APA Group |
|
|
|
|
20,222 |
|
|
|
132 |
|
| Asciano |
|
|
|
|
5,498 |
|
|
|
29 |
|
| ASX |
|
|
|
|
950 |
|
|
|
30 |
|
| Aurizon Holdings |
|
|
|
|
9,275 |
|
|
|
37 |
|
| BHP Billiton |
|
|
|
|
1,444 |
|
|
|
43 |
|
| Brambles |
|
|
|
|
3,731 |
|
|
|
31 |
|
| Caltex Australia |
|
|
|
|
4,649 |
|
|
|
114 |
|
| CFS Retail Property Trust Group† |
|
|
|
|
17,960 |
|
|
|
31 |
|
| Coca-Cola Amatil |
|
|
|
|
6,171 |
|
|
|
47 |
|
| Cochlear |
|
|
|
|
2,066 |
|
|
|
126 |
|
| Computershare |
|
|
|
|
22,927 |
|
|
|
244 |
|
| Crown Resorts |
|
|
|
|
4,311 |
|
|
|
52 |
|
| CSL |
|
|
|
|
2,169 |
|
|
|
141 |
|
| Fortescue Metals Group |
|
|
|
|
10,069 |
|
|
|
31 |
|
| Harvey Norman Holdings |
|
|
|
|
22,915 |
|
|
|
73 |
|
|
|
|
| 186 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Iluka Resources |
|
|
|
|
4,121 |
|
|
$ |
28 |
|
| Incitec Pivot |
|
|
|
|
9,597 |
|
|
|
23 |
|
| Insurance Australia Group |
|
|
|
|
7,664 |
|
|
|
41 |
|
| Leighton Holdings |
|
|
|
|
1,331 |
|
|
|
23 |
|
| Metcash, Cl A |
|
|
|
|
17,072 |
|
|
|
39 |
|
| Origin Energy |
|
|
|
|
8,809 |
|
|
|
115 |
|
| Qantas Airways* |
|
|
|
|
27,446 |
|
|
|
33 |
|
| Ramsay Health Care |
|
|
|
|
3,903 |
|
|
|
171 |
|
| REA Group |
|
|
|
|
843 |
|
|
|
32 |
|
| Rio Tinto |
|
|
|
|
1,320 |
|
|
|
69 |
|
| Santos |
|
|
|
|
7,343 |
|
|
|
88 |
|
| Scentre Group*† |
|
|
|
|
11,668 |
|
|
|
34 |
|
| Sonic Healthcare |
|
|
|
|
6,780 |
|
|
|
104 |
|
| Sydney Airport |
|
|
|
|
4,696 |
|
|
|
17 |
|
| Tabcorp Holdings |
|
|
|
|
16,759 |
|
|
|
53 |
|
| Tatts Group |
|
|
|
|
26,867 |
|
|
|
74 |
|
| Telstra, Cl B |
|
|
|
|
40,064 |
|
|
|
186 |
|
| Toll Holdings |
|
|
|
|
6,200 |
|
|
|
30 |
|
| TPG Telecom |
|
|
|
|
18,871 |
|
|
|
113 |
|
| Transurban Group |
|
|
|
|
5,588 |
|
|
|
38 |
|
| Treasury Wine Estates |
|
|
|
|
19,143 |
|
|
|
71 |
|
| Wesfarmers |
|
|
|
|
1,475 |
|
|
|
54 |
|
| Westfield† |
|
|
|
|
3,250 |
|
|
|
21 |
|
| Woodside Petroleum |
|
|
|
|
2,705 |
|
|
|
96 |
|
| Woolworths |
|
|
|
|
3,001 |
|
|
|
90 |
|
| WorleyParsons |
|
|
|
|
4,350 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Austria — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Andritz |
|
|
|
|
1,380 |
|
|
|
74 |
|
| Erste Group Bank |
|
|
|
|
2,296 |
|
|
|
52 |
|
| OMV |
|
|
|
|
4,244 |
|
|
|
143 |
|
| Telekom Austria |
|
|
|
|
14,656 |
|
|
|
132 |
|
| Vienna Insurance Group Wiener Versicherung Gruppe |
|
|
|
|
1,814 |
|
|
|
82 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belgium — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Ageas |
|
|
|
|
983 |
|
|
|
33 |
|
| Anheuser-Busch InBev |
|
|
|
|
1,099 |
|
|
|
122 |
|
| Belgacom |
|
|
|
|
6,880 |
|
|
|
239 |
|
| Colruyt |
|
|
|
|
2,862 |
|
|
|
126 |
|
| Delhaize Group |
|
|
|
|
1,344 |
|
|
|
94 |
|
| KBC Groep |
|
|
|
|
675 |
|
|
|
36 |
|
| Solvay |
|
|
|
|
386 |
|
|
|
59 |
|
| Telenet Group Holding* |
|
|
|
|
2,272 |
|
|
|
131 |
|
| UCB, Cl A |
|
|
|
|
3,163 |
|
|
|
287 |
|
| Umicore |
|
|
|
|
2,024 |
|
|
|
89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Agnico Eagle Mines |
|
|
|
|
1,067 |
|
|
|
31 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Agrium |
|
|
|
|
572 |
|
|
$ |
51 |
|
| Alimentation Couche-Tard, Cl B |
|
|
|
|
4,209 |
|
|
|
135 |
|
| Atco, Cl I |
|
|
|
|
3,268 |
|
|
|
133 |
|
| Bank of Montreal |
|
|
|
|
535 |
|
|
|
39 |
|
| Bank of Nova Scotia, Cl C |
|
|
|
|
668 |
|
|
|
41 |
|
| Barrick Gold |
|
|
|
|
1,727 |
|
|
|
25 |
|
| BCE |
|
|
|
|
3,420 |
|
|
|
147 |
|
| BlackBerry* |
|
|
|
|
13,856 |
|
|
|
138 |
|
| Bombardier, Cl B |
|
|
|
|
18,231 |
|
|
|
61 |
|
| CAE |
|
|
|
|
5,499 |
|
|
|
67 |
|
| Cameco |
|
|
|
|
1,287 |
|
|
|
23 |
|
| Canadian National Railway |
|
|
|
|
1,516 |
|
|
|
108 |
|
| Canadian Pacific Railway |
|
|
|
|
389 |
|
|
|
81 |
|
| Canadian Tire, Cl A |
|
|
|
|
691 |
|
|
|
71 |
|
| Canadian Utilities, Cl A |
|
|
|
|
4,940 |
|
|
|
173 |
|
| Catamaran* |
|
|
|
|
4,904 |
|
|
|
207 |
|
| CGI Group, Cl A* |
|
|
|
|
5,895 |
|
|
|
200 |
|
| CI Financial |
|
|
|
|
1,596 |
|
|
|
48 |
|
| Crescent Point Energy, Cl F |
|
|
|
|
1,225 |
|
|
|
44 |
|
| Dollarama |
|
|
|
|
1,042 |
|
|
|
89 |
|
| Empire, Cl A |
|
|
|
|
1,710 |
|
|
|
119 |
|
| Encana |
|
|
|
|
2,274 |
|
|
|
48 |
|
| Enerplus |
|
|
|
|
2,352 |
|
|
|
45 |
|
| Finning International |
|
|
|
|
2,404 |
|
|
|
68 |
|
| First Quantum Minerals (Canada) |
|
|
|
|
2,143 |
|
|
|
42 |
|
| Fortis |
|
|
|
|
5,621 |
|
|
|
174 |
|
| Franco-Nevada |
|
|
|
|
1,000 |
|
|
|
49 |
|
| George Weston |
|
|
|
|
1,379 |
|
|
|
109 |
|
| Gildan Activewear |
|
|
|
|
1,192 |
|
|
|
65 |
|
| H&R† |
|
|
|
|
636 |
|
|
|
13 |
|
| Husky Energy |
|
|
|
|
1,708 |
|
|
|
47 |
|
| Imperial Oil |
|
|
|
|
528 |
|
|
|
25 |
|
| Intact Financial |
|
|
|
|
860 |
|
|
|
56 |
|
| Loblaw |
|
|
|
|
2,607 |
|
|
|
131 |
|
| Magna International, Cl A |
|
|
|
|
748 |
|
|
|
71 |
|
| Metro, Cl A |
|
|
|
|
1,162 |
|
|
|
78 |
|
| National Bank of Canada |
|
|
|
|
1,018 |
|
|
|
47 |
|
| Open Text |
|
|
|
|
3,568 |
|
|
|
198 |
|
| Pengrowth Energy |
|
|
|
|
7,109 |
|
|
|
37 |
|
| Potash Corp of Saskatchewan |
|
|
|
|
2,157 |
|
|
|
75 |
|
| RioCan† |
|
|
|
|
1,451 |
|
|
|
33 |
|
| Rogers Communications, Cl B |
|
|
|
|
2,529 |
|
|
|
95 |
|
| Saputo |
|
|
|
|
2,238 |
|
|
|
63 |
|
| Shaw Communications, Cl B |
|
|
|
|
4,071 |
|
|
|
100 |
|
| Silver Wheaton, Cl H |
|
|
|
|
353 |
|
|
|
7 |
|
| SNC-Lavalin Group |
|
|
|
|
1,501 |
|
|
|
69 |
|
| Suncor Energy |
|
|
|
|
689 |
|
|
|
25 |
|
| Teck Resources, Cl B |
|
|
|
|
2,423 |
|
|
|
46 |
|
| TELUS |
|
|
|
|
3,640 |
|
|
|
124 |
|
| Tim Hortons |
|
|
|
|
1,429 |
|
|
|
113 |
|
| Toronto-Dominion Bank |
|
|
|
|
744 |
|
|
|
37 |
|
| Turquoise Hill Resources* |
|
|
|
|
6,748 |
|
|
|
25 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
187 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Valeant Pharmaceuticals International* |
|
|
|
|
1,554 |
|
|
$ |
204 |
|
| Vermilion Energy |
|
|
|
|
783 |
|
|
|
48 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| China — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Sands China |
|
|
|
|
7,200 |
|
|
|
38 |
|
| Yangzijiang Shipbuilding Holdings |
|
|
|
|
63,108 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark — 0.1% |
|
|
|
|
|
|
|
|
|
|
| AP Moeller - Maersk, Cl A |
|
|
|
|
30 |
|
|
|
70 |
|
| AP Moeller - Maersk, Cl B |
|
|
|
|
35 |
|
|
|
83 |
|
| Carlsberg, Cl B |
|
|
|
|
1,235 |
|
|
|
110 |
|
| Coloplast, Cl B |
|
|
|
|
2,373 |
|
|
|
199 |
|
| Danske Bank |
|
|
|
|
2,438 |
|
|
|
66 |
|
| Novo Nordisk, Cl B |
|
|
|
|
3,520 |
|
|
|
168 |
|
| Novozymes, Cl B |
|
|
|
|
3,477 |
|
|
|
151 |
|
| Pandora |
|
|
|
|
981 |
|
|
|
77 |
|
| TDC |
|
|
|
|
19,418 |
|
|
|
148 |
|
| Tryg |
|
|
|
|
1,050 |
|
|
|
109 |
|
| Vestas Wind Systems* |
|
|
|
|
974 |
|
|
|
38 |
|
| William Demant Holding* |
|
|
|
|
1,463 |
|
|
|
112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finland — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Elisa |
|
|
|
|
5,193 |
|
|
|
138 |
|
| Fortum |
|
|
|
|
7,714 |
|
|
|
188 |
|
| Kone, Cl B |
|
|
|
|
1,544 |
|
|
|
62 |
|
| Metso |
|
|
|
|
980 |
|
|
|
35 |
|
| Neste Oil |
|
|
|
|
6,922 |
|
|
|
142 |
|
| Nokia |
|
|
|
|
19,940 |
|
|
|
170 |
|
| Nokian Renkaat |
|
|
|
|
2,756 |
|
|
|
83 |
|
| Orion, Cl B |
|
|
|
|
6,265 |
|
|
|
245 |
|
| Sampo, Cl A |
|
|
|
|
1,991 |
|
|
|
97 |
|
| Stora Enso, Cl R |
|
|
|
|
5,916 |
|
|
|
49 |
|
| UPM-Kymmene, Cl V |
|
|
|
|
4,939 |
|
|
|
71 |
|
| Wartsila OYJ Abp |
|
|
|
|
1,289 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| France — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Accor |
|
|
|
|
875 |
|
|
|
39 |
|
| Aeroports de Paris, Cl A |
|
|
|
|
373 |
|
|
|
45 |
|
| Air Liquide |
|
|
|
|
672 |
|
|
|
82 |
|
| Alcatel-Lucent* |
|
|
|
|
18,365 |
|
|
|
57 |
|
| ArcelorMittal |
|
|
|
|
4,854 |
|
|
|
67 |
|
| Arkema |
|
|
|
|
601 |
|
|
|
40 |
|
| AtoS |
|
|
|
|
1,295 |
|
|
|
94 |
|
| Bureau Veritas |
|
|
|
|
900 |
|
|
|
20 |
|
| Capital Gemini |
|
|
|
|
1,281 |
|
|
|
92 |
|
| Carrefour |
|
|
|
|
1,050 |
|
|
|
32 |
|
| Casino Guichard Perrachon |
|
|
|
|
507 |
|
|
|
55 |
|
| Christian Dior, Cl B |
|
|
|
|
255 |
|
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| CNP Assurances |
|
|
|
|
1,903 |
|
|
$ |
36 |
|
| Credit Agricole |
|
|
|
|
1,627 |
|
|
|
25 |
|
| Danone |
|
|
|
|
624 |
|
|
|
42 |
|
| Dassault Systemes |
|
|
|
|
1,844 |
|
|
|
119 |
|
| Electricite de France |
|
|
|
|
2,757 |
|
|
|
90 |
|
| Essilor International |
|
|
|
|
1,806 |
|
|
|
198 |
|
| Eutelsat Communications |
|
|
|
|
168 |
|
|
|
5 |
|
| Fonciere Des Regions† |
|
|
|
|
434 |
|
|
|
39 |
|
| GDF Suez |
|
|
|
|
2,949 |
|
|
|
74 |
|
| Groupe Eurotunnel |
|
|
|
|
4,624 |
|
|
|
56 |
|
| ICADE† |
|
|
|
|
512 |
|
|
|
43 |
|
| Iliad |
|
|
|
|
495 |
|
|
|
105 |
|
| Klepierre† |
|
|
|
|
731 |
|
|
|
32 |
|
| L’Oreal |
|
|
|
|
335 |
|
|
|
53 |
|
| LVMH Moet Hennessy Louis Vuitton |
|
|
|
|
241 |
|
|
|
39 |
|
| Natixis |
|
|
|
|
5,679 |
|
|
|
39 |
|
| Orange |
|
|
|
|
9,037 |
|
|
|
136 |
|
| Pernod Ricard |
|
|
|
|
333 |
|
|
|
38 |
|
| Remy Cointreau |
|
|
|
|
588 |
|
|
|
42 |
|
| Renault |
|
|
|
|
450 |
|
|
|
33 |
|
| Rexel |
|
|
|
|
1,194 |
|
|
|
22 |
|
| Sanofi |
|
|
|
|
1,412 |
|
|
|
160 |
|
| Schneider Electric |
|
|
|
|
577 |
|
|
|
44 |
|
| SCOR |
|
|
|
|
1,457 |
|
|
|
45 |
|
| SES |
|
|
|
|
475 |
|
|
|
17 |
|
| Suez Environnement |
|
|
|
|
2,291 |
|
|
|
39 |
|
| Technip |
|
|
|
|
1,327 |
|
|
|
112 |
|
| Thales, Cl A |
|
|
|
|
738 |
|
|
|
39 |
|
| Total |
|
|
|
|
1,483 |
|
|
|
96 |
|
| Unibail-Rodamco† |
|
|
|
|
139 |
|
|
|
36 |
|
| Valeo |
|
|
|
|
335 |
|
|
|
37 |
|
| Veolia Environnement* |
|
|
|
|
4,258 |
|
|
|
75 |
|
| Vinci |
|
|
|
|
822 |
|
|
|
48 |
|
| Vivendi |
|
|
|
|
3,157 |
|
|
|
76 |
|
| Wendel |
|
|
|
|
279 |
|
|
|
32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Germany — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Adidas |
|
|
|
|
223 |
|
|
|
17 |
|
| Allianz |
|
|
|
|
347 |
|
|
|
56 |
|
| BASF |
|
|
|
|
525 |
|
|
|
48 |
|
| Bayer |
|
|
|
|
703 |
|
|
|
99 |
|
| Beiersdorf |
|
|
|
|
629 |
|
|
|
53 |
|
| Brenntag |
|
|
|
|
1,131 |
|
|
|
56 |
|
| Celesio |
|
|
|
|
1,540 |
|
|
|
51 |
|
| Commerzbank* |
|
|
|
|
1,850 |
|
|
|
28 |
|
| Continental |
|
|
|
|
286 |
|
|
|
55 |
|
| Deutsche Bank |
|
|
|
|
542 |
|
|
|
19 |
|
| Deutsche Boerse |
|
|
|
|
557 |
|
|
|
37 |
|
| Deutsche Lufthansa |
|
|
|
|
2,426 |
|
|
|
38 |
|
| Deutsche Post |
|
|
|
|
923 |
|
|
|
30 |
|
| Deutsche Telekom |
|
|
|
|
10,128 |
|
|
|
154 |
|
| E.ON |
|
|
|
|
5,767 |
|
|
|
106 |
|
|
|
|
| 188 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Fraport Frankfurt Airport Services Worldwide |
|
|
|
|
761 |
|
|
$ |
50 |
|
| Fresenius |
|
|
|
|
1,842 |
|
|
|
91 |
|
| Fresenius Medical Care |
|
|
|
|
1,901 |
|
|
|
133 |
|
| GEA Group |
|
|
|
|
582 |
|
|
|
25 |
|
| Hannover Rueck |
|
|
|
|
619 |
|
|
|
50 |
|
| HeidelbergCement |
|
|
|
|
879 |
|
|
|
58 |
|
| Henkel & KGaA |
|
|
|
|
793 |
|
|
|
74 |
|
| Infineon Technologies |
|
|
|
|
9,810 |
|
|
|
101 |
|
| K+S |
|
|
|
|
1,500 |
|
|
|
43 |
|
| LANXESS |
|
|
|
|
600 |
|
|
|
33 |
|
| Linde |
|
|
|
|
210 |
|
|
|
40 |
|
| MAN |
|
|
|
|
398 |
|
|
|
45 |
|
| Merck KGaA |
|
|
|
|
1,034 |
|
|
|
95 |
|
| Metro |
|
|
|
|
2,178 |
|
|
|
72 |
|
| Muenchener Rueckversicherungs |
|
|
|
|
274 |
|
|
|
54 |
|
| OSRAM Licht* |
|
|
|
|
641 |
|
|
|
24 |
|
| RTL Group |
|
|
|
|
199 |
|
|
|
17 |
|
| RWE |
|
|
|
|
3,914 |
|
|
|
152 |
|
| SAP |
|
|
|
|
1,731 |
|
|
|
125 |
|
| Siemens |
|
|
|
|
424 |
|
|
|
50 |
|
| Telefonica Deutschland Holding |
|
|
|
|
23,199 |
|
|
|
121 |
|
| ThyssenKrupp |
|
|
|
|
1,832 |
|
|
|
48 |
|
| United Internet |
|
|
|
|
4,008 |
|
|
|
171 |
|
| Volkswagen |
|
|
|
|
135 |
|
|
|
28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greece — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Coca-Cola HBC |
|
|
|
|
1,128 |
|
|
|
24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 0.1% |
|
|
|
|
|
|
|
|
|
|
| AIA Group |
|
|
|
|
5,800 |
|
|
|
30 |
|
| ASM Pacific Technology |
|
|
|
|
27,400 |
|
|
|
271 |
|
| Cathay Pacific Airways |
|
|
|
|
27,000 |
|
|
|
50 |
|
| Cheung Kong Infrastructure Holdings |
|
|
|
|
42,438 |
|
|
|
298 |
|
| CLP Holdings, Cl B |
|
|
|
|
43,000 |
|
|
|
345 |
|
| Galaxy Entertainment Group |
|
|
|
|
7,000 |
|
|
|
41 |
|
| HKT Trust and HKT |
|
|
|
|
111,920 |
|
|
|
135 |
|
| Hong Kong & China Gas |
|
|
|
|
101,420 |
|
|
|
220 |
|
| Hopewell Hong Kong Properties* |
|
|
|
|
660 |
|
|
|
0 |
|
| Hutchison Whampoa |
|
|
|
|
5,000 |
|
|
|
61 |
|
| Kerry Properties |
|
|
|
|
13,000 |
|
|
|
44 |
|
| Li & Fung |
|
|
|
|
78,000 |
|
|
|
89 |
|
| Link† |
|
|
|
|
12,000 |
|
|
|
69 |
|
| MGM China Holdings |
|
|
|
|
10,400 |
|
|
|
30 |
|
| MTR |
|
|
|
|
13,000 |
|
|
|
51 |
|
| NWS Holdings |
|
|
|
|
28,000 |
|
|
|
50 |
|
| PCCW |
|
|
|
|
418,000 |
|
|
|
263 |
|
| Power Assets Holdings |
|
|
|
|
32,602 |
|
|
|
288 |
|
| Shangri-La Asia |
|
|
|
|
16,000 |
|
|
|
24 |
|
| SJM Holdings |
|
|
|
|
12,000 |
|
|
|
23 |
|
| Swire Pacific, Cl A |
|
|
|
|
4,000 |
|
|
|
51 |
|
| Techtronic Industries |
|
|
|
|
17,000 |
|
|
|
49 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Wynn Macau |
|
|
|
|
10,800 |
|
|
$ |
34 |
|
| Yue Yuen Industrial Holdings |
|
|
|
|
13,000 |
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Accenture, Cl A |
|
|
|
|
975 |
|
|
|
79 |
|
| Actavis* |
|
|
|
|
563 |
|
|
|
136 |
|
| Allegion |
|
|
|
|
1,531 |
|
|
|
73 |
|
| Bank of Ireland* |
|
|
|
|
151,278 |
|
|
|
59 |
|
| Covidien |
|
|
|
|
1,548 |
|
|
|
134 |
|
| CRH |
|
|
|
|
4,534 |
|
|
|
104 |
|
| Eaton |
|
|
|
|
1,420 |
|
|
|
90 |
|
| Ingersoll-Rand |
|
|
|
|
1,099 |
|
|
|
62 |
|
| Kerry Group, Cl A |
|
|
|
|
2,692 |
|
|
|
190 |
|
| Mallinckrodt* |
|
|
|
|
700 |
|
|
|
63 |
|
| Pentair |
|
|
|
|
964 |
|
|
|
63 |
|
| Perrigo |
|
|
|
|
655 |
|
|
|
99 |
|
| Ryanair Holdings ADR* |
|
|
|
|
1,580 |
|
|
|
89 |
|
| Seagate Technology |
|
|
|
|
1,313 |
|
|
|
75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Bank Hapoalim |
|
|
|
|
9,043 |
|
|
|
51 |
|
| Bank Leumi Le-Israel* |
|
|
|
|
20,570 |
|
|
|
83 |
|
| Bezeq The Israeli Telecommunication |
|
|
|
|
87,057 |
|
|
|
150 |
|
| Delek Group |
|
|
|
|
603 |
|
|
|
228 |
|
| Israel* |
|
|
|
|
261 |
|
|
|
147 |
|
| Israel Chemicals |
|
|
|
|
12,621 |
|
|
|
91 |
|
| Mizrahi Tefahot Bank* |
|
|
|
|
6,105 |
|
|
|
73 |
|
| NICE-Systems |
|
|
|
|
7,919 |
|
|
|
321 |
|
| Teva Pharmaceutical Industries |
|
|
|
|
5,350 |
|
|
|
289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Assicurazioni Generali |
|
|
|
|
2,134 |
|
|
|
45 |
|
| Atlantia |
|
|
|
|
3,095 |
|
|
|
76 |
|
| CNH Industrial |
|
|
|
|
4,168 |
|
|
|
33 |
|
| Enel |
|
|
|
|
13,273 |
|
|
|
71 |
|
| Enel Green Power |
|
|
|
|
26,232 |
|
|
|
67 |
|
| Eni |
|
|
|
|
3,019 |
|
|
|
72 |
|
| Fiat |
|
|
|
|
5,271 |
|
|
|
51 |
|
| Finmeccanica |
|
|
|
|
5,105 |
|
|
|
50 |
|
| Luxottica Group |
|
|
|
|
1,251 |
|
|
|
65 |
|
| Pirelli & C. |
|
|
|
|
3,530 |
|
|
|
49 |
|
| Prysmian |
|
|
|
|
1,992 |
|
|
|
37 |
|
| Saipem |
|
|
|
|
2,856 |
|
|
|
61 |
|
| Snam Rete Gas |
|
|
|
|
25,202 |
|
|
|
139 |
|
| Telecom Italia |
|
|
|
|
202,728 |
|
|
|
201 |
|
| Tenaris |
|
|
|
|
3,874 |
|
|
|
89 |
|
| Terna Rete Elettrica Nazionale |
|
|
|
|
28,255 |
|
|
|
142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
189 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Japan — 0.4% |
|
|
|
|
|
|
|
|
|
|
| Acom* |
|
|
|
|
1,100 |
|
|
$ |
4 |
|
| Aeon, Cl H |
|
|
|
|
8,800 |
|
|
|
88 |
|
| Air Water |
|
|
|
|
2,000 |
|
|
|
30 |
|
| Aisin Seiki |
|
|
|
|
700 |
|
|
|
25 |
|
| Ajinomoto |
|
|
|
|
5,000 |
|
|
|
83 |
|
| Alfresa Holdings |
|
|
|
|
5,200 |
|
|
|
75 |
|
| ANA Holdings |
|
|
|
|
20,000 |
|
|
|
47 |
|
| Asahi Group Holdings |
|
|
|
|
2,800 |
|
|
|
81 |
|
| Asahi Kasei |
|
|
|
|
4,000 |
|
|
|
33 |
|
| Astellas Pharma |
|
|
|
|
5,000 |
|
|
|
74 |
|
| Bank of Yokohama |
|
|
|
|
10,000 |
|
|
|
55 |
|
| Benesse, Cl A |
|
|
|
|
1,200 |
|
|
|
39 |
|
| Bridgestone |
|
|
|
|
800 |
|
|
|
27 |
|
| Calbee |
|
|
|
|
1,900 |
|
|
|
62 |
|
| Central Japan Railway |
|
|
|
|
400 |
|
|
|
54 |
|
| Chiba Bank, Cl B |
|
|
|
|
6,000 |
|
|
|
42 |
|
| Chubu Electric Power |
|
|
|
|
5,900 |
|
|
|
68 |
|
| Chugai Pharmaceutical |
|
|
|
|
2,500 |
|
|
|
72 |
|
| Chugoku Bank |
|
|
|
|
2,200 |
|
|
|
32 |
|
| Chugoku Electric Power |
|
|
|
|
6,400 |
|
|
|
82 |
|
| Daicel |
|
|
|
|
3,000 |
|
|
|
33 |
|
| Daiichi Sankyo |
|
|
|
|
3,000 |
|
|
|
47 |
|
| Daito Trust Construction |
|
|
|
|
400 |
|
|
|
47 |
|
| Daiwa House Industry |
|
|
|
|
2,000 |
|
|
|
36 |
|
| Daiwa Securities Group |
|
|
|
|
5,000 |
|
|
|
40 |
|
| Dentsu |
|
|
|
|
1,000 |
|
|
|
38 |
|
| East Japan Railway |
|
|
|
|
400 |
|
|
|
30 |
|
| Eisai |
|
|
|
|
1,800 |
|
|
|
73 |
|
| Electric Power Development |
|
|
|
|
2,800 |
|
|
|
91 |
|
| FamilyMart, Cl H |
|
|
|
|
2,600 |
|
|
|
99 |
|
| Fast Retailing |
|
|
|
|
100 |
|
|
|
34 |
|
| Fuji Heavy Industries |
|
|
|
|
900 |
|
|
|
30 |
|
| FUJIFILM Holdings |
|
|
|
|
400 |
|
|
|
12 |
|
| Fukuoka Financial Group |
|
|
|
|
12,000 |
|
|
|
57 |
|
| Gunma Bank |
|
|
|
|
6,000 |
|
|
|
35 |
|
| Hachijuni Bank |
|
|
|
|
8,000 |
|
|
|
48 |
|
| Hakuhodo DY Holdings |
|
|
|
|
2,400 |
|
|
|
25 |
|
| Hankyu Hanshin Holdings |
|
|
|
|
7,000 |
|
|
|
41 |
|
| Hirose Electric |
|
|
|
|
200 |
|
|
|
25 |
|
| Hiroshima Bank |
|
|
|
|
10,000 |
|
|
|
49 |
|
| Hisamitsu Pharmaceutical |
|
|
|
|
1,500 |
|
|
|
54 |
|
| Hitachi Chemical |
|
|
|
|
839 |
|
|
|
15 |
|
| Hitachi Metals |
|
|
|
|
2,000 |
|
|
|
36 |
|
| Hokuriku Electric Power |
|
|
|
|
4,300 |
|
|
|
56 |
|
| Idemitsu Kosan |
|
|
|
|
6,900 |
|
|
|
146 |
|
| Inpex |
|
|
|
|
7,200 |
|
|
|
102 |
|
| Isetan Mitsukoshi Holdings |
|
|
|
|
3,300 |
|
|
|
43 |
|
| Itochu Techno-Solutions |
|
|
|
|
1,800 |
|
|
|
75 |
|
| Iyo Bank |
|
|
|
|
6,000 |
|
|
|
61 |
|
| J Front Retailing |
|
|
|
|
3,000 |
|
|
|
39 |
|
| Japan Prime Realty Investment, Cl A† |
|
|
|
|
11 |
|
|
|
40 |
|
| Japan Real Estate Investment† |
|
|
|
|
10 |
|
|
|
52 |
|
| Japan Retail Fund Investment, Cl A† |
|
|
|
|
18 |
|
|
|
36 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Japan Tobacco |
|
|
|
|
1,900 |
|
|
$ |
62 |
|
| Joyo Bank |
|
|
|
|
8,000 |
|
|
|
39 |
|
| JX Holdings |
|
|
|
|
16,000 |
|
|
|
74 |
|
| Kajima |
|
|
|
|
7,000 |
|
|
|
34 |
|
| Kakaku.com |
|
|
|
|
2,300 |
|
|
|
33 |
|
| Kamigumi |
|
|
|
|
3,000 |
|
|
|
28 |
|
| Kaneka |
|
|
|
|
4,000 |
|
|
|
22 |
|
| Kansai Electric Power |
|
|
|
|
6,200 |
|
|
|
59 |
|
| Kansai Paint |
|
|
|
|
3,000 |
|
|
|
45 |
|
| Kao |
|
|
|
|
1,800 |
|
|
|
70 |
|
| KDDI |
|
|
|
|
2,400 |
|
|
|
144 |
|
| Keikyu |
|
|
|
|
4,000 |
|
|
|
33 |
|
| Keio |
|
|
|
|
4,000 |
|
|
|
30 |
|
| Keyence |
|
|
|
|
100 |
|
|
|
43 |
|
| Kikkoman |
|
|
|
|
3,000 |
|
|
|
64 |
|
| Kintetsu |
|
|
|
|
15,000 |
|
|
|
51 |
|
| Kirin Holdings |
|
|
|
|
6,100 |
|
|
|
81 |
|
| Konami |
|
|
|
|
456 |
|
|
|
10 |
|
| Kuraray |
|
|
|
|
2,000 |
|
|
|
23 |
|
| Kyocera |
|
|
|
|
400 |
|
|
|
19 |
|
| Kyowa Hakko Kirin |
|
|
|
|
6,000 |
|
|
|
74 |
|
| Kyushu Electric Power |
|
|
|
|
5,100 |
|
|
|
55 |
|
| Lawson |
|
|
|
|
1,600 |
|
|
|
112 |
|
| LIXIL Group |
|
|
|
|
800 |
|
|
|
17 |
|
| M3 |
|
|
|
|
4,300 |
|
|
|
69 |
|
| Maruichi Steel Tube |
|
|
|
|
1,300 |
|
|
|
32 |
|
| McDonald’s Holdings Japan |
|
|
|
|
2,800 |
|
|
|
69 |
|
| Medipal Holdings |
|
|
|
|
4,900 |
|
|
|
60 |
|
| MEIJI Holdings |
|
|
|
|
1,100 |
|
|
|
87 |
|
| Miraca Holdings |
|
|
|
|
1,800 |
|
|
|
74 |
|
| Mitsubishi Chemical Holdings, Cl B |
|
|
|
|
5,000 |
|
|
|
25 |
|
| Mitsubishi Motors |
|
|
|
|
4,200 |
|
|
|
51 |
|
| Mitsubishi Tanabe Pharma |
|
|
|
|
2,100 |
|
|
|
31 |
|
| Mitsui Chemicals |
|
|
|
|
9,000 |
|
|
|
25 |
|
| Murata Manufacturing |
|
|
|
|
500 |
|
|
|
57 |
|
| NEC |
|
|
|
|
12,000 |
|
|
|
42 |
|
| NGK Spark Plug |
|
|
|
|
1,000 |
|
|
|
29 |
|
| NH Foods |
|
|
|
|
4,000 |
|
|
|
85 |
|
| NHK Spring |
|
|
|
|
2,400 |
|
|
|
24 |
|
| Nippon Building Fund† |
|
|
|
|
9 |
|
|
|
47 |
|
| Nippon Electric Glass |
|
|
|
|
4,000 |
|
|
|
19 |
|
| Nippon Express |
|
|
|
|
5,000 |
|
|
|
21 |
|
| Nippon Steel & Sumitomo Metal |
|
|
|
|
9,555 |
|
|
|
25 |
|
| Nippon Telegraph & Telephone |
|
|
|
|
3,200 |
|
|
|
199 |
|
| Nisshin Seifun Group |
|
|
|
|
8,415 |
|
|
|
83 |
|
| Nissin Food Products |
|
|
|
|
2,000 |
|
|
|
104 |
|
| Nitori Holdings |
|
|
|
|
900 |
|
|
|
56 |
|
| NOK |
|
|
|
|
1,500 |
|
|
|
34 |
|
| Nomura Research Institute |
|
|
|
|
1,800 |
|
|
|
58 |
|
| NTT Data |
|
|
|
|
800 |
|
|
|
29 |
|
| NTT DOCOMO |
|
|
|
|
10,100 |
|
|
|
169 |
|
| Odakyu Electric Railway |
|
|
|
|
3,000 |
|
|
|
27 |
|
| Oji Holdings |
|
|
|
|
10,000 |
|
|
|
38 |
|
| Ono Pharmaceutical |
|
|
|
|
600 |
|
|
|
53 |
|
|
|
|
| 190 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Oracle Japan |
|
|
|
|
800 |
|
|
$ |
31 |
|
| Osaka Gas |
|
|
|
|
32,000 |
|
|
|
128 |
|
| Otsuka |
|
|
|
|
1,200 |
|
|
|
48 |
|
| Otsuka Holdings |
|
|
|
|
1,600 |
|
|
|
55 |
|
| Rakuten |
|
|
|
|
1,800 |
|
|
|
21 |
|
| Resona Holdings |
|
|
|
|
3,200 |
|
|
|
18 |
|
| Rohm |
|
|
|
|
800 |
|
|
|
50 |
|
| Sankyo |
|
|
|
|
1,100 |
|
|
|
39 |
|
| Santen Pharmaceutical |
|
|
|
|
1,000 |
|
|
|
56 |
|
| Sekisui Chemical |
|
|
|
|
3,000 |
|
|
|
34 |
|
| Seven & I Holdings |
|
|
|
|
2,100 |
|
|
|
81 |
|
| Seven Bank |
|
|
|
|
11,800 |
|
|
|
48 |
|
| Sharp |
|
|
|
|
8,000 |
|
|
|
23 |
|
| Shikoku Electric Power |
|
|
|
|
6,500 |
|
|
|
83 |
|
| Shimadzu |
|
|
|
|
2,000 |
|
|
|
17 |
|
| Shimizu |
|
|
|
|
6,000 |
|
|
|
47 |
|
| Shin-Etsu Chemical, Cl A |
|
|
|
|
400 |
|
|
|
26 |
|
| Shiseido |
|
|
|
|
4,900 |
|
|
|
81 |
|
| Shizuoka Bank |
|
|
|
|
3,000 |
|
|
|
31 |
|
| Showa Shell Sekiyu |
|
|
|
|
12,600 |
|
|
|
120 |
|
| SoftBank |
|
|
|
|
1,300 |
|
|
|
91 |
|
| Sumitomo |
|
|
|
|
1,400 |
|
|
|
15 |
|
| Suntory Beverage & Food |
|
|
|
|
2,600 |
|
|
|
92 |
|
| Suruga Bank |
|
|
|
|
2,000 |
|
|
|
40 |
|
| Suzuken |
|
|
|
|
1,900 |
|
|
|
55 |
|
| Sysmex |
|
|
|
|
1,300 |
|
|
|
52 |
|
| Taisei |
|
|
|
|
5,000 |
|
|
|
28 |
|
| Taiyo Nippon Sanso |
|
|
|
|
4,000 |
|
|
|
35 |
|
| Takashimaya |
|
|
|
|
3,000 |
|
|
|
25 |
|
| Takeda Pharmaceutical |
|
|
|
|
900 |
|
|
|
39 |
|
| Teijin |
|
|
|
|
10,000 |
|
|
|
24 |
|
| Terumo |
|
|
|
|
2,200 |
|
|
|
53 |
|
| Tobu Railway |
|
|
|
|
7,000 |
|
|
|
35 |
|
| Toho |
|
|
|
|
1,600 |
|
|
|
36 |
|
| Toho Gas |
|
|
|
|
17,063 |
|
|
|
96 |
|
| Tohoku Electric Power |
|
|
|
|
4,200 |
|
|
|
48 |
|
| Tokyo Gas |
|
|
|
|
19,000 |
|
|
|
107 |
|
| Tokyu |
|
|
|
|
4,000 |
|
|
|
26 |
|
| TonenGeneral Sekiyu |
|
|
|
|
19,000 |
|
|
|
166 |
|
| Toray Industries |
|
|
|
|
4,000 |
|
|
|
26 |
|
| TOTO |
|
|
|
|
2,000 |
|
|
|
22 |
|
| Toyo Seikan Group Holdings |
|
|
|
|
1,900 |
|
|
|
24 |
|
| Toyo Suisan Kaisha |
|
|
|
|
3,000 |
|
|
|
100 |
|
| Toyota Industries |
|
|
|
|
700 |
|
|
|
34 |
|
| Toyota Motor |
|
|
|
|
500 |
|
|
|
29 |
|
| Unicharm |
|
|
|
|
3,300 |
|
|
|
75 |
|
| USS |
|
|
|
|
2,700 |
|
|
|
41 |
|
| West Japan Railway |
|
|
|
|
700 |
|
|
|
31 |
|
| Yahoo Japan |
|
|
|
|
8,200 |
|
|
|
31 |
|
| Yakult Honsha |
|
|
|
|
1,200 |
|
|
|
63 |
|
| Yamaguchi Financial Group |
|
|
|
|
2,000 |
|
|
|
19 |
|
| Yamato Holdings |
|
|
|
|
1,400 |
|
|
|
26 |
|
| Yamato Kogyo |
|
|
|
|
600 |
|
|
|
20 |
|
| Yamazaki Baking |
|
|
|
|
5,000 |
|
|
|
64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Netherlands — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Aegon |
|
|
|
|
4,287 |
|
|
$ |
36 |
|
| Akzo Nobel |
|
|
|
|
1,034 |
|
|
|
71 |
|
| Altice SA* |
|
|
|
|
691 |
|
|
|
37 |
|
| ASML Holding |
|
|
|
|
1,897 |
|
|
|
189 |
|
| Corio† |
|
|
|
|
1,083 |
|
|
|
53 |
|
| Delta Lloyd |
|
|
|
|
2,203 |
|
|
|
53 |
|
| Fugro |
|
|
|
|
3,158 |
|
|
|
96 |
|
| Gemalto |
|
|
|
|
1,917 |
|
|
|
176 |
|
| ING Groep* |
|
|
|
|
2,732 |
|
|
|
39 |
|
| Koninklijke Ahold |
|
|
|
|
4,258 |
|
|
|
69 |
|
| Koninklijke Boskalis Westminster |
|
|
|
|
625 |
|
|
|
35 |
|
| Koninklijke DSM |
|
|
|
|
1,537 |
|
|
|
95 |
|
| Koninklijke Philips |
|
|
|
|
1,231 |
|
|
|
39 |
|
| Koninklijke Vopak |
|
|
|
|
2,850 |
|
|
|
154 |
|
| LyondellBasell Industries, Cl A |
|
|
|
|
1,505 |
|
|
|
163 |
|
| Nielsen |
|
|
|
|
1,700 |
|
|
|
75 |
|
| OCI* |
|
|
|
|
1,040 |
|
|
|
32 |
|
| QIAGEN* |
|
|
|
|
3,735 |
|
|
|
85 |
|
| Randstad Holding |
|
|
|
|
769 |
|
|
|
36 |
|
| Reed Elsevier |
|
|
|
|
5,291 |
|
|
|
120 |
|
| Royal KPN* |
|
|
|
|
48,403 |
|
|
|
155 |
|
| STMicroelectronics |
|
|
|
|
12,799 |
|
|
|
99 |
|
| TNT Express |
|
|
|
|
3,349 |
|
|
|
21 |
|
| Unilever |
|
|
|
|
2,163 |
|
|
|
86 |
|
| Wolters Kluwer |
|
|
|
|
4,314 |
|
|
|
115 |
|
| Ziggo NV |
|
|
|
|
2,791 |
|
|
|
131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Zealand — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Auckland International Airport |
|
|
|
|
47,461 |
|
|
|
142 |
|
| Contact Energy |
|
|
|
|
61,510 |
|
|
|
287 |
|
| Fletcher Building |
|
|
|
|
22,187 |
|
|
|
152 |
|
| Ryman Healthcare |
|
|
|
|
27,971 |
|
|
|
170 |
|
| Spark New Zealand |
|
|
|
|
99,640 |
|
|
|
231 |
|
| Xero* |
|
|
|
|
7,067 |
|
|
|
119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Akastor |
|
|
|
|
5,060 |
|
|
|
20 |
|
| Aker Solutions* |
|
|
|
|
5,060 |
|
|
|
52 |
|
| DNB, Cl A |
|
|
|
|
4,057 |
|
|
|
76 |
|
| Gjensidige Forsikring |
|
|
|
|
3,894 |
|
|
|
82 |
|
| Norsk Hydro |
|
|
|
|
19,704 |
|
|
|
110 |
|
| Orkla |
|
|
|
|
13,781 |
|
|
|
125 |
|
| Seadrill |
|
|
|
|
2,600 |
|
|
|
70 |
|
| Statoil |
|
|
|
|
2,091 |
|
|
|
57 |
|
| Telenor |
|
|
|
|
5,194 |
|
|
|
114 |
|
| Yara International |
|
|
|
|
2,094 |
|
|
|
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Panama — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Carnival |
|
|
|
|
1,100 |
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
191 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Banco Comercial Portugues, |
|
|
|
|
|
|
|
|
|
|
| Cl R* |
|
|
|
|
515,788 |
|
|
$ |
67 |
|
| Banco Espirito Santo* |
|
|
|
|
50,830 |
|
|
|
8 |
|
| EDP - Energias de Portugal |
|
|
|
|
46,145 |
|
|
|
202 |
|
| Galp Energia SGPS |
|
|
|
|
9,755 |
|
|
|
159 |
|
| Jeronimo Martins SGPS |
|
|
|
|
11,012 |
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Avago Technologies, Cl A |
|
|
|
|
612 |
|
|
|
53 |
|
| CapitaLand |
|
|
|
|
16,000 |
|
|
|
40 |
|
| DBS Group Holdings |
|
|
|
|
3,000 |
|
|
|
43 |
|
| Genting Singapore |
|
|
|
|
104,000 |
|
|
|
93 |
|
| Global Logistic Properties |
|
|
|
|
17,000 |
|
|
|
36 |
|
| Golden Agri-Resources |
|
|
|
|
303,000 |
|
|
|
122 |
|
| Hutchison Port Holdings, Cl U |
|
|
|
|
59,000 |
|
|
|
41 |
|
| Jardine Cycle & Carriage |
|
|
|
|
3,000 |
|
|
|
101 |
|
| Keppel |
|
|
|
|
7,000 |
|
|
|
58 |
|
| Keppel Land |
|
|
|
|
18,000 |
|
|
|
50 |
|
| Olam International |
|
|
|
|
38,000 |
|
|
|
70 |
|
| Sembcorp Industries |
|
|
|
|
17,000 |
|
|
|
69 |
|
| Sembcorp Marine |
|
|
|
|
22,000 |
|
|
|
65 |
|
| Singapore Press Holdings |
|
|
|
|
45,000 |
|
|
|
148 |
|
| Singapore Telecommunications |
|
|
|
|
67,000 |
|
|
|
200 |
|
| StarHub |
|
|
|
|
77,000 |
|
|
|
249 |
|
| United Overseas Bank |
|
|
|
|
2,000 |
|
|
|
35 |
|
| Wilmar International |
|
|
|
|
54,000 |
|
|
|
131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Abertis Infraestructuras |
|
|
|
|
3,168 |
|
|
|
63 |
|
| ACS Actividades de Construccion y Servicios |
|
|
|
|
627 |
|
|
|
24 |
|
| Amadeus IT Holding, Cl A |
|
|
|
|
6,318 |
|
|
|
236 |
|
| Banco Bilbao Vizcaya |
|
|
|
|
|
|
|
|
|
|
| Argentaria |
|
|
|
|
7,846 |
|
|
|
48 |
|
| Bankia* |
|
|
|
|
12,911 |
|
|
|
24 |
|
| Distribuidora Internacional de Alimentacion |
|
|
|
|
17,088 |
|
|
|
123 |
|
| Enagas |
|
|
|
|
2,650 |
|
|
|
85 |
|
| Ferrovial |
|
|
|
|
1,249 |
|
|
|
24 |
|
| Gas Natural SDG |
|
|
|
|
3,251 |
|
|
|
96 |
|
| Grifols |
|
|
|
|
3,800 |
|
|
|
156 |
|
| Iberdrola |
|
|
|
|
11,015 |
|
|
|
79 |
|
| Inditex |
|
|
|
|
4,585 |
|
|
|
127 |
|
| International Consolidated |
|
|
|
|
|
|
|
|
|
|
| Airlines Group* |
|
|
|
|
7,033 |
|
|
|
42 |
|
| Repsol, Cl A |
|
|
|
|
5,486 |
|
|
|
130 |
|
| Telefonica |
|
|
|
|
7,193 |
|
|
|
111 |
|
| Zardoya Otis |
|
|
|
|
3,490 |
|
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Alfa Laval |
|
|
|
|
1,154 |
|
|
$ |
25 |
|
| Atlas Copco, Cl A |
|
|
|
|
1,818 |
|
|
|
52 |
|
| Atlas Copco, Cl B |
|
|
|
|
1,891 |
|
|
|
49 |
|
| Boliden |
|
|
|
|
8,489 |
|
|
|
138 |
|
| Electrolux |
|
|
|
|
2,415 |
|
|
|
64 |
|
| Elekta, Cl B |
|
|
|
|
16,358 |
|
|
|
161 |
|
| Getinge, Cl B |
|
|
|
|
4,418 |
|
|
|
112 |
|
| Hennes & Mauritz, Cl B |
|
|
|
|
1,697 |
|
|
|
70 |
|
| Hexagon, Cl B |
|
|
|
|
4,786 |
|
|
|
152 |
|
| Husqvarna, Cl B |
|
|
|
|
10,117 |
|
|
|
72 |
|
| Industrivarden, Cl C |
|
|
|
|
2,237 |
|
|
|
39 |
|
| Investment Kinnevik, Cl B |
|
|
|
|
1,565 |
|
|
|
57 |
|
| Lundin Petroleum* |
|
|
|
|
8,304 |
|
|
|
141 |
|
| Millicom International Cellular |
|
|
|
|
965 |
|
|
|
77 |
|
| Nordea Bank |
|
|
|
|
3,377 |
|
|
|
44 |
|
| Skandinaviska Enskilda Banken, Cl A |
|
|
|
|
2,527 |
|
|
|
34 |
|
| Svenska Cellulosa SCA, Cl B |
|
|
|
|
2,836 |
|
|
|
68 |
|
| Swedbank, Cl A |
|
|
|
|
2,347 |
|
|
|
59 |
|
| Swedish Match |
|
|
|
|
3,223 |
|
|
|
105 |
|
| Tele2, Cl B |
|
|
|
|
5,367 |
|
|
|
65 |
|
| Telefonaktiebolaget LM Ericsson, Cl B |
|
|
|
|
17,279 |
|
|
|
219 |
|
| TeliaSonera |
|
|
|
|
16,045 |
|
|
|
111 |
|
| Volvo, Cl B |
|
|
|
|
2,403 |
|
|
|
26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 0.1% |
|
|
|
|
|
|
|
|
|
|
| ABB |
|
|
|
|
2,216 |
|
|
|
50 |
|
| ACE |
|
|
|
|
744 |
|
|
|
78 |
|
| Actelion |
|
|
|
|
953 |
|
|
|
112 |
|
| Adecco |
|
|
|
|
787 |
|
|
|
54 |
|
| Aryzta |
|
|
|
|
892 |
|
|
|
77 |
|
| Baloise Holding |
|
|
|
|
537 |
|
|
|
69 |
|
| Barry Callebaut |
|
|
|
|
52 |
|
|
|
58 |
|
| Cie Financiere Richemont |
|
|
|
|
1,207 |
|
|
|
99 |
|
| EMS-Chemie Holding |
|
|
|
|
226 |
|
|
|
94 |
|
| Givaudan |
|
|
|
|
59 |
|
|
|
95 |
|
| Holcim |
|
|
|
|
803 |
|
|
|
58 |
|
| Kuehne & Nagel International |
|
|
|
|
331 |
|
|
|
42 |
|
| Lindt & Spruengli |
|
|
|
|
17 |
|
|
|
139 |
|
| Lonza Group |
|
|
|
|
898 |
|
|
|
108 |
|
| Nestle |
|
|
|
|
1,249 |
|
|
|
92 |
|
| Novartis |
|
|
|
|
1,376 |
|
|
|
130 |
|
| Partners Group Holding |
|
|
|
|
160 |
|
|
|
42 |
|
| Roche Holding |
|
|
|
|
431 |
|
|
|
127 |
|
| Schindler Holding |
|
|
|
|
484 |
|
|
|
65 |
|
| SGS, Cl B |
|
|
|
|
17 |
|
|
|
35 |
|
| Sika |
|
|
|
|
24 |
|
|
|
83 |
|
| Sonova Holding |
|
|
|
|
687 |
|
|
|
110 |
|
| Swatch Group |
|
|
|
|
806 |
|
|
|
71 |
|
| Swatch Group, Cl B |
|
|
|
|
139 |
|
|
|
66 |
|
| Swiss Life Holding |
|
|
|
|
52 |
|
|
|
12 |
|
| Swisscom |
|
|
|
|
463 |
|
|
|
263 |
|
|
|
|
| 192 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Syngenta |
|
|
|
|
167 |
|
|
$ |
53 |
|
| TE Connectivity |
|
|
|
|
1,250 |
|
|
|
69 |
|
| Transocean |
|
|
|
|
6,882 |
|
|
|
221 |
|
| Tyco International |
|
|
|
|
2,113 |
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Admiral Group |
|
|
|
|
999 |
|
|
|
21 |
|
| AMEC |
|
|
|
|
4,533 |
|
|
|
81 |
|
| Anglo American |
|
|
|
|
1,410 |
|
|
|
32 |
|
| Antofagasta |
|
|
|
|
4,282 |
|
|
|
50 |
|
| Aon |
|
|
|
|
1,040 |
|
|
|
91 |
|
| ARM Holdings |
|
|
|
|
14,245 |
|
|
|
209 |
|
| ASOS* |
|
|
|
|
695 |
|
|
|
25 |
|
| Associated British Foods |
|
|
|
|
1,185 |
|
|
|
52 |
|
| AstraZeneca |
|
|
|
|
2,421 |
|
|
|
174 |
|
| BG Group |
|
|
|
|
4,346 |
|
|
|
80 |
|
| BHP Billiton |
|
|
|
|
1,565 |
|
|
|
44 |
|
| BP |
|
|
|
|
9,694 |
|
|
|
71 |
|
| British American Tobacco |
|
|
|
|
862 |
|
|
|
48 |
|
| British Sky Broadcasting Group |
|
|
|
|
2,333 |
|
|
|
33 |
|
| BT Group, Cl A |
|
|
|
|
22,256 |
|
|
|
137 |
|
| Bunzl |
|
|
|
|
1,394 |
|
|
|
36 |
|
| Burberry Group |
|
|
|
|
1,376 |
|
|
|
34 |
|
| Capita |
|
|
|
|
2,265 |
|
|
|
43 |
|
| Centrica |
|
|
|
|
21,436 |
|
|
|
107 |
|
| Compass Group |
|
|
|
|
2,623 |
|
|
|
42 |
|
| Croda International |
|
|
|
|
1,447 |
|
|
|
48 |
|
| Diageo |
|
|
|
|
1,208 |
|
|
|
35 |
|
| Ensco, Cl A |
|
|
|
|
2,502 |
|
|
|
103 |
|
| Friends Life Group |
|
|
|
|
5,557 |
|
|
|
28 |
|
| G4S |
|
|
|
|
5,689 |
|
|
|
23 |
|
| GlaxoSmithKline |
|
|
|
|
5,929 |
|
|
|
136 |
|
| Glencore |
|
|
|
|
6,137 |
|
|
|
34 |
|
| IMI |
|
|
|
|
1,574 |
|
|
|
32 |
|
| Imperial Tobacco Group |
|
|
|
|
919 |
|
|
|
40 |
|
| Inmarsat |
|
|
|
|
11,267 |
|
|
|
128 |
|
| InterContinental Hotels Group |
|
|
|
|
1,529 |
|
|
|
59 |
|
| Intertek Group |
|
|
|
|
544 |
|
|
|
23 |
|
| ITV |
|
|
|
|
11,950 |
|
|
|
40 |
|
| J Sainsbury |
|
|
|
|
7,007 |
|
|
|
28 |
|
| Johnson Matthey |
|
|
|
|
1,033 |
|
|
|
49 |
|
| Marks & Spencer Group |
|
|
|
|
4,422 |
|
|
|
29 |
|
| National Grid |
|
|
|
|
10,422 |
|
|
|
150 |
|
| Next, Cl A |
|
|
|
|
560 |
|
|
|
60 |
|
| Noble |
|
|
|
|
4,039 |
|
|
|
90 |
|
| Pearson |
|
|
|
|
1,667 |
|
|
|
34 |
|
| Petrofac |
|
|
|
|
2,796 |
|
|
|
47 |
|
| Reckitt Benckiser Group |
|
|
|
|
1,075 |
|
|
|
93 |
|
| Reed Elsevier |
|
|
|
|
3,034 |
|
|
|
49 |
|
| Rexam |
|
|
|
|
6,431 |
|
|
|
51 |
|
| Rio Tinto |
|
|
|
|
1,309 |
|
|
|
64 |
|
| Royal Dutch Shell, Cl A |
|
|
|
|
1,470 |
|
|
|
56 |
|
| Royal Dutch Shell, Cl B |
|
|
|
|
1,430 |
|
|
|
57 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares/Face Amount ($
Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| RSA Insurance Group |
|
|
|
|
3,364 |
|
|
$ |
26 |
|
| SABMiller |
|
|
|
|
864 |
|
|
|
48 |
|
| Sage Group |
|
|
|
|
37,971 |
|
|
|
225 |
|
| Severn Trent |
|
|
|
|
5,554 |
|
|
|
169 |
|
| Shire |
|
|
|
|
1,772 |
|
|
|
154 |
|
| Smith & Nephew |
|
|
|
|
9,047 |
|
|
|
153 |
|
| Smiths Group |
|
|
|
|
1,958 |
|
|
|
40 |
|
| SSE |
|
|
|
|
5,959 |
|
|
|
149 |
|
| Tate & Lyle |
|
|
|
|
2,203 |
|
|
|
21 |
|
| Tesco |
|
|
|
|
5,643 |
|
|
|
17 |
|
| Travis Perkins |
|
|
|
|
1,784 |
|
|
|
48 |
|
| TUI Travel |
|
|
|
|
8,063 |
|
|
|
51 |
|
| Tullow Oil |
|
|
|
|
7,183 |
|
|
|
75 |
|
| Unilever |
|
|
|
|
1,003 |
|
|
|
42 |
|
| United Utilities Group, Cl B |
|
|
|
|
13,136 |
|
|
|
172 |
|
| Vodafone Group |
|
|
|
|
44,635 |
|
|
|
148 |
|
| WM Morrison Supermarkets |
|
|
|
|
17,806 |
|
|
|
49 |
|
| WPP |
|
|
|
|
2,771 |
|
|
|
56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,639 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Common Stock
(Cost $42,007) ($ Thousands) |
|
|
|
49,207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 2.0% |
|
|
|
|
|
|
|
| Consumer Discretionary — 0.0% |
|
|
|
|
|
| Trustees of Dartmouth College (C) |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 06/01/2019 |
|
|
|
$ |
250 |
|
|
|
278 |
|
| University of Southern California (C) |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 10/01/2111 |
|
|
|
|
100 |
|
|
|
122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Wal-Mart Stores (C) |
|
|
|
|
|
|
|
|
|
|
| 2.800%, 04/15/2016 |
|
|
|
|
300 |
|
|
|
310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Chevron (C) |
|
|
|
|
|
|
|
|
|
|
| 4.950%, 03/03/2019 |
|
|
|
|
150 |
|
|
|
168 |
|
| Exxon Mobil (C) |
|
|
|
|
|
|
|
|
|
|
| 3.176%, 03/15/2024 |
|
|
|
|
500 |
|
|
|
510 |
|
| Shell International Finance BV (C) |
|
|
|
|
|
|
|
|
|
|
| 3.250%, 09/22/2015 |
|
|
|
|
250 |
|
|
|
257 |
|
| Statoil (C) |
|
|
|
|
|
|
|
|
|
|
| 2.900%, 10/15/2014 |
|
|
|
|
250 |
|
|
|
250 |
|
| Total Capital (C) |
|
|
|
|
|
|
|
|
|
|
| 3.000%, 06/24/2015 |
|
|
|
|
250 |
|
|
|
255 |
|
| XTO Energy (C) |
|
|
|
|
|
|
|
|
|
|
| 6.750%, 08/01/2037 |
|
|
|
|
300 |
|
|
|
426 |
|
| 6.500%, 12/15/2018 |
|
|
|
|
750 |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
193 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 1.5% |
|
|
|
|
|
|
|
|
|
|
| African Development Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 2.500%, 03/15/2016 |
|
|
|
$ |
250 |
|
|
$ |
257 |
|
| 1.250%, 09/02/2016 |
|
|
|
|
850 |
|
|
|
859 |
|
| 1.125%, 03/15/2017 |
|
|
|
|
200 |
|
|
|
201 |
|
| 0.875%, 03/15/2018 |
|
|
|
|
1,000 |
|
|
|
981 |
|
| Andina de Fomento (C) |
|
|
|
|
|
|
|
|
|
|
| 4.375%, 06/15/2022 |
|
|
|
|
250 |
|
|
|
267 |
|
| Asian Development Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 5.593%, 07/16/2018 |
|
|
|
|
250 |
|
|
|
283 |
|
| 2.625%, 02/09/2015 |
|
|
|
|
1,000 |
|
|
|
1,009 |
|
| 1.125%, 03/15/2017 |
|
|
|
|
150 |
|
|
|
150 |
|
| 0.500%, 06/20/2016 |
|
|
|
|
1,000 |
|
|
|
998 |
|
| Australia & New Zealand Banking Group NY MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.875%, 10/06/2017 |
|
|
|
|
250 |
|
|
|
252 |
|
| Bank of Montreal MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.400%, 09/11/2017 |
|
|
|
|
200 |
|
|
|
200 |
|
| Bank of New York Mellon (C) |
|
|
|
|
|
|
|
|
|
|
| 3.550%, 09/23/2021 |
|
|
|
|
200 |
|
|
|
208 |
|
| Bank of Nova Scotia (C) |
|
|
|
|
|
|
|
|
|
|
| 3.400%, 01/22/2015 |
|
|
|
|
300 |
|
|
|
303 |
|
| 1.850%, 01/12/2015 |
|
|
|
|
500 |
|
|
|
502 |
|
| Berkshire Hathaway Finance (C) |
|
|
|
|
|
|
|
|
|
|
| 5.400%, 05/15/2018 |
|
|
|
|
250 |
|
|
|
281 |
|
| Canadian Imperial Bank of Commerce (C) |
|
|
|
|
|
|
|
|
|
|
| 2.350%, 12/11/2015 |
|
|
|
|
250 |
|
|
|
255 |
|
| China Development Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 5.000%, 10/15/2015 |
|
|
|
|
250 |
|
|
|
260 |
|
| CME Group (C) |
|
|
|
|
|
|
|
|
|
|
| 3.000%, 09/15/2022 |
|
|
|
|
100 |
|
|
|
100 |
|
| Commonwealth Bank of Australia NY MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.900%, 09/18/2017 |
|
|
|
|
150 |
|
|
|
151 |
|
| Cooperatieve Centrale Raiffeisen-Boerenleenbank (C) |
|
|
|
|
|
|
|
|
|
|
| 3.375%, 01/19/2017 |
|
|
|
|
250 |
|
|
|
262 |
|
| Council of Europe Development Bank MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.500%, 02/22/2017 |
|
|
|
|
850 |
|
|
|
860 |
|
| European Bank for Reconstruction & Development (C) |
|
|
|
|
|
|
|
|
| 1.625%, 09/03/2015 |
|
|
|
|
300 |
|
|
|
304 |
|
| 1.500%, 03/16/2020 |
|
|
|
|
750 |
|
|
|
727 |
|
| 1.000%, 02/16/2017 |
|
|
|
|
600 |
|
|
|
601 |
|
| 0.750%, 09/01/2017 |
|
|
|
|
200 |
|
|
|
198 |
|
| European Investment Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 4.875%, 02/15/2036 |
|
|
|
|
250 |
|
|
|
305 |
|
| 1.125%, 09/15/2017 |
|
|
|
|
850 |
|
|
|
849 |
|
| 1.000%, 12/15/2017 |
|
|
|
|
150 |
|
|
|
149 |
|
| FMS Wertmanagement AoeR (C) |
|
|
|
|
|
|
|
|
|
|
| 1.000%, 11/21/2017 |
|
|
|
|
950 |
|
|
|
941 |
|
| 0.625%, 04/18/2016 |
|
|
|
|
750 |
|
|
|
751 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| HSBC Holdings (C) |
|
|
|
|
|
|
|
|
|
|
| 5.100%, 04/05/2021 |
|
|
|
$ |
250 |
|
|
$ |
281 |
|
| Inter-American Development Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 7.000%, 06/15/2025 |
|
|
|
|
500 |
|
|
|
677 |
|
| 3.875%, 09/17/2019 |
|
|
|
|
350 |
|
|
|
385 |
|
| 1.125%, 03/15/2017 |
|
|
|
|
300 |
|
|
|
303 |
|
| International Bank for Reconstruction & Development (C) |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 02/15/2035 |
|
|
|
|
250 |
|
|
|
301 |
|
| 2.375%, 05/26/2015 |
|
|
|
|
250 |
|
|
|
254 |
|
| 2.125%, 03/15/2016 |
|
|
|
|
300 |
|
|
|
307 |
|
| 0.875%, 04/17/2017 |
|
|
|
|
450 |
|
|
|
450 |
|
| 0.500%, 04/15/2016 |
|
|
|
|
1,000 |
|
|
|
998 |
|
| International Finance (C) |
|
|
|
|
|
|
|
|
|
|
| 2.125%, 11/17/2017 |
|
|
|
|
750 |
|
|
|
769 |
|
| 1.750%, 09/04/2018 |
|
|
|
|
200 |
|
|
|
201 |
|
| 1.125%, 11/23/2016 |
|
|
|
|
750 |
|
|
|
754 |
|
| 1.000%, 04/24/2017 |
|
|
|
|
300 |
|
|
|
300 |
|
| KFW (C) |
|
|
|
|
|
|
|
|
|
|
| 2.375%, 08/25/2021 |
|
|
|
|
500 |
|
|
|
502 |
|
| 1.000%, 01/12/2015 |
|
|
|
|
1,000 |
|
|
|
1,002 |
|
| 0.875%, 09/05/2017 |
|
|
|
|
200 |
|
|
|
198 |
|
| Korea Finance (C) |
|
|
|
|
|
|
|
|
|
|
| 4.625%, 11/16/2021 |
|
|
|
|
250 |
|
|
|
272 |
|
| Landwirtschaftliche Rentenbank (C) |
|
|
|
|
|
|
|
|
| 1.875%, 09/17/2018 |
|
|
|
|
550 |
|
|
|
556 |
|
| 1.750%, 04/15/2019 |
|
|
|
|
200 |
|
|
|
200 |
|
| 1.375%, 10/23/2019 |
|
|
|
|
500 |
|
|
|
486 |
|
| 1.000%, 04/04/2018 |
|
|
|
|
200 |
|
|
|
197 |
|
| 0.875%, 09/12/2017 |
|
|
|
|
300 |
|
|
|
297 |
|
| National Australia Bank, Ltd. (C) |
|
|
|
|
|
|
|
|
|
|
| 1.600%, 08/07/2015 |
|
|
|
|
350 |
|
|
|
354 |
|
| Nordic Investment Bank MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 2.625%, 10/06/2014 |
|
|
|
|
250 |
|
|
|
250 |
|
| 2.500%, 07/15/2015 |
|
|
|
|
200 |
|
|
|
204 |
|
| 1.000%, 03/07/2017 |
|
|
|
|
750 |
|
|
|
750 |
|
| 0.750%, 01/17/2018 |
|
|
|
|
200 |
|
|
|
196 |
|
| 0.500%, 04/14/2016 |
|
|
|
|
750 |
|
|
|
750 |
|
| North American Development Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 2.400%, 10/26/2022 |
|
|
|
|
200 |
|
|
|
190 |
|
| Oesterreichische Kontrollbank MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.125%, 07/06/2015 |
|
|
|
|
150 |
|
|
|
151 |
|
| Royal Bank of Canada MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 1.150%, 03/13/2015 |
|
|
|
|
250 |
|
|
|
251 |
|
| Svenska Handelsbanken (C) |
|
|
|
|
|
|
|
|
|
|
| 2.875%, 04/04/2017 |
|
|
|
|
200 |
|
|
|
208 |
|
| Toronto-Dominion Bank (C) |
|
|
|
|
|
|
|
|
|
|
| 2.375%, 10/19/2016 |
|
|
|
|
250 |
|
|
|
257 |
|
| Toyota Motor Credit MTN (C) |
|
|
|
|
|
|
|
|
|
|
| 3.400%, 09/15/2021 |
|
|
|
|
150 |
|
|
|
155 |
|
| 3.200%, 06/17/2015 |
|
|
|
|
100 |
|
|
|
102 |
|
|
|
|
| 194 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Westpac Banking (C) |
|
|
|
|
|
|
|
|
|
|
| 4.875%, 11/19/2019 |
|
|
|
$ |
200 |
|
|
$ |
223 |
|
| 3.000%, 08/04/2015 |
|
|
|
|
250 |
|
|
|
256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,451 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Johns Hopkins University |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 07/01/2019 |
|
|
|
|
75 |
|
|
|
85 |
|
| Johnson & Johnson |
|
|
|
|
|
|
|
|
|
|
| 5.950%, 08/15/2037 |
|
|
|
|
300 |
|
|
|
387 |
|
| 3.375%, 12/05/2023 |
|
|
|
|
500 |
|
|
|
522 |
|
| Merck Sharp & Dohme |
|
|
|
|
|
|
|
|
|
|
| 6.400%, 03/01/2028 |
|
|
|
|
50 |
|
|
|
64 |
|
| Novartis Securities Investment |
|
|
|
|
|
|
|
|
|
|
| 5.125%, 02/10/2019 |
|
|
|
|
150 |
|
|
|
168 |
|
| Sanofi |
|
|
|
|
|
|
|
|
|
|
| 4.000%, 03/29/2021 |
|
|
|
|
150 |
|
|
|
161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 0.0% |
|
|
|
|
|
|
|
|
|
|
| 3M MTN |
|
|
|
|
|
|
|
|
|
|
| 5.700%, 03/15/2037 |
|
|
|
|
150 |
|
|
|
189 |
|
| General Electric Capital |
|
|
|
|
|
|
|
|
|
|
| 0.850%, 10/09/2015 |
|
|
|
|
500 |
|
|
|
502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.2% |
|
|
|
|
|
| Google |
|
|
|
|
|
|
|
|
|
|
| 3.625%, 05/19/2021 |
|
|
|
|
150 |
|
|
|
159 |
|
| Microsoft |
|
|
|
|
|
|
|
|
|
|
| 2.500%, 02/08/2016 |
|
|
|
|
350 |
|
|
|
360 |
|
| 2.125%, 11/15/2022 |
|
|
|
|
500 |
|
|
|
477 |
|
| 1.625%, 09/25/2015 |
|
|
|
|
1,250 |
|
|
|
1,267 |
|
| 0.875%, 11/15/2017 |
|
|
|
|
1,500 |
|
|
|
1,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.0% |
|
|
|
|
|
| Nippon Telegraph & Telephone |
|
|
|
|
|
|
|
|
|
|
| 1.400%, 07/18/2017 |
|
|
|
|
200 |
|
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.0% |
|
|
|
|
|
|
|
|
|
|
| Southern California Gas |
|
|
|
|
|
|
|
|
|
|
| 5.125%, 11/15/2040 |
|
|
|
|
150 |
|
|
|
173 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $37,373) ($ Thousands) |
|
|
|
37,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUND — 1.0% |
|
|
|
|
|
| iShares iBoxx Investment Grade Corporate Bond Fund |
|
|
|
|
162,104 |
|
|
|
19,164 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Fund
(Cost $18,866) ($ Thousands) |
|
|
|
19,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount (1) ($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.0% |
|
|
|
|
|
|
|
|
| Consumer Discretionary — 0.0% |
|
|
|
|
|
|
|
|
|
| Porsche Automobil Holding |
|
|
|
|
|
|
342 |
|
|
$ |
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Henkel & KGaA |
|
|
|
|
|
|
596 |
|
|
|
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Fuchs Petrolub |
|
|
|
|
|
|
1,520 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $137) ($ Thousands) |
|
|
|
|
|
|
|
145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Number of
Warrants |
|
|
|
|
|
|
|
|
| WARRANTS — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Olam International
Expires 12/31/17* |
|
|
|
|
|
|
4,698 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants
(Cost $—) ($Thousands) |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 35.8% |
|
|
|
|
|
| SEI Daily Income Trust,
Prime Obligation Fund, Cl A
0.010%**†† |
|
|
|
668,167,142 |
|
|
|
668,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $668,167) ($ Thousands) |
|
|
|
|
|
|
|
668,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TIME DEPOSITS — 19.7% |
|
|
|
|
|
| Brown Brothers Harriman |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 10/01/2014 |
|
|
NZD |
|
|
|
10 |
|
|
|
8 |
|
| 1.578%, 10/03/2014 |
|
|
AUD |
|
|
|
42 |
|
|
|
37 |
|
| 0.350%, 10/01/2014 |
|
|
NOK |
|
|
|
19 |
|
|
|
3 |
|
| 0.299%, 10/01/2014 |
|
|
CAD |
|
|
|
80 |
|
|
|
71 |
|
| 0.060%, 10/01/2014 |
|
|
GBP |
|
|
|
780 |
|
|
|
1,265 |
|
| 0.050%, 10/01/2014 |
|
|
SEK |
|
|
|
99 |
|
|
|
14 |
|
| 0.030%, 10/01/2014 (C) |
|
|
|
362,695 |
|
|
|
362,695 |
|
| 0.005%, 10/01/2014 |
|
|
HKD |
|
|
|
72 |
|
|
|
9 |
|
| 0.005%, 10/01/2014 |
|
|
SGD |
|
|
|
19 |
|
|
|
15 |
|
| 0.005%, 10/01/2014 |
|
|
JPY |
|
|
|
6,521 |
|
|
|
59 |
|
| 0.001%, 10/03/2014 |
|
|
CHF |
|
|
|
9 |
|
|
|
10 |
|
| 0.000%, 10/01/2014 |
|
|
EUR |
|
|
|
2,334 |
|
|
|
2,948 |
|
| 0.000%, 10/01/2014 |
|
|
DKK |
|
|
|
25 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Time Deposits
(Cost $367,138) ($ Thousands) |
|
|
|
|
|
|
|
367,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 19.7% |
|
| U.S. Treasury Bills (A) (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.052%, 12/04/2014 |
|
|
|
|
|
|
42,750 |
|
|
|
42,749 |
|
| 0.045%, 11/28/2014 |
|
|
|
|
|
|
42,750 |
|
|
|
42,749 |
|
| 0.014%, 01/15/2015 (B) |
|
|
|
13,500 |
|
|
|
13,499 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
195 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
| 3.875%, 04/15/2029 |
|
|
|
$ |
609 |
|
|
$ |
859 |
|
| 3.625%, 04/15/2028 |
|
|
|
|
829 |
|
|
|
1,126 |
|
| 2.625%, 07/15/2017 |
|
|
|
|
29,888 |
|
|
|
32,585 |
|
| 2.500%, 07/15/2016 |
|
|
|
|
1,567 |
|
|
|
1,663 |
|
| 2.500%, 01/15/2029 |
|
|
|
|
1,949 |
|
|
|
2,378 |
|
| 2.375%, 01/15/2017 |
|
|
|
|
236 |
|
|
|
252 |
|
| 2.375%, 01/15/2025 |
|
|
|
|
1,351 |
|
|
|
1,583 |
|
| 2.375%, 01/15/2027 |
|
|
|
|
177 |
|
|
|
210 |
|
| 2.125%, 01/15/2019 |
|
|
|
|
13,538 |
|
|
|
14,789 |
|
| 2.125%, 02/15/2041 |
|
|
|
|
1,160 |
|
|
|
1,443 |
|
| 2.000%, 01/15/2016 |
|
|
|
|
180 |
|
|
|
186 |
|
| 2.000%, 01/15/2026 |
|
|
|
|
462 |
|
|
|
526 |
|
| 1.875%, 07/15/2015 |
|
|
|
|
390 |
|
|
|
398 |
|
| 1.875%, 07/15/2019 |
|
|
|
|
1,343 |
|
|
|
1,466 |
|
| 1.750%, 01/15/2028 |
|
|
|
|
653 |
|
|
|
727 |
|
| 1.625%, 01/15/2015 |
|
|
|
|
795 |
|
|
|
795 |
|
| 1.625%, 01/15/2018 |
|
|
|
|
25,361 |
|
|
|
26,932 |
|
| 1.375%, 07/15/2018 |
|
|
|
|
735 |
|
|
|
780 |
|
| 1.375%, 01/15/2020 |
|
|
|
|
962 |
|
|
|
1,023 |
|
| 1.250%, 07/15/2020 |
|
|
|
|
1,261 |
|
|
|
1,339 |
|
| 1.125%, 01/15/2021 |
|
|
|
|
906 |
|
|
|
950 |
|
| 0.750%, 02/15/2042 |
|
|
|
|
1,529 |
|
|
|
1,400 |
|
| 0.625%, 07/15/2021 |
|
|
|
|
2,304 |
|
|
|
2,351 |
|
| 0.625%, 01/15/2024 |
|
|
|
|
2,348 |
|
|
|
2,360 |
|
| 0.500%, 04/15/2015 |
|
|
|
|
837 |
|
|
|
837 |
|
| 0.375%, 07/15/2023 |
|
|
|
|
19,964 |
|
|
|
19,747 |
|
| 0.125%, 04/15/2016 |
|
|
|
|
889 |
|
|
|
900 |
|
| 0.125%, 04/15/2017 |
|
|
|
|
1,206 |
|
|
|
1,222 |
|
| 0.125%, 04/15/2018 |
|
|
|
|
97,656 |
|
|
|
98,434 |
|
| 0.125%, 01/15/2022 |
|
|
|
|
16,211 |
|
|
|
15,838 |
|
| 0.125%, 07/15/2022 |
|
|
|
|
14,919 |
|
|
|
14,564 |
|
| 0.125%, 01/15/2023 |
|
|
|
|
19,147 |
|
|
|
18,525 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $370,771) ($ Thousands) |
|
|
|
367,185 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 95.4%
(Cost $1,767,800) ($ Thousands) |
|
|
$ |
1,780,795 |
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts Long |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Amsterdam Index |
|
|
112 |
|
|
|
Oct-2014 |
|
|
$ |
98 |
|
| Bloomberg Commodity Index Total Return Index*** |
|
|
314 |
|
|
|
Dec-2014 |
|
|
|
(79 |
) |
| CAC40 10 Euro |
|
|
337 |
|
|
|
Oct-2014 |
|
|
|
28 |
|
| DAX Index |
|
|
57 |
|
|
|
Dec-2014 |
|
|
|
(252 |
) |
| DJ Euro Stoxx 50 Index |
|
|
1,133 |
|
|
|
Dec-2014 |
|
|
|
87 |
|
| FTSE 100 Index |
|
|
441 |
|
|
|
Dec-2014 |
|
|
|
(1,162 |
) |
| FTSE/JSE Top 40 Index |
|
|
226 |
|
|
|
Dec-2014 |
|
|
|
(384 |
) |
| Goldman Sachs Index*** |
|
|
63 |
|
|
|
Oct-2014 |
|
|
|
(241 |
) |
| Hang Seng Index |
|
|
54 |
|
|
|
Oct-2014 |
|
|
|
(314 |
) |
| H-Shares Index |
|
|
408 |
|
|
|
Oct-2014 |
|
|
|
(904 |
) |
| IBEX 35 Plus Index |
|
|
81 |
|
|
|
Oct-2014 |
|
|
|
93 |
|
| KOSPI 200 Index |
|
|
152 |
|
|
|
Dec-2014 |
|
|
|
(496 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts Long |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| MSCI EAFE Index E-MINI |
|
|
420 |
|
|
|
Dec-2014 |
|
|
$ |
(1,240 |
) |
| MSCI Emerging Index E-MINI |
|
|
625 |
|
|
|
Dec-2014 |
|
|
|
(1,917 |
) |
| Russell 2000 Index E-MINI |
|
|
499 |
|
|
|
Dec-2014 |
|
|
|
(2,543 |
) |
| S&P 500 Index EMINI |
|
|
2,727 |
|
|
|
Dec-2014 |
|
|
|
(2,125 |
) |
| S&P Composite Index |
|
|
32 |
|
|
|
Dec-2014 |
|
|
|
(86 |
) |
| S&P Mid 400 Index E-MINI |
|
|
221 |
|
|
|
Dec-2014 |
|
|
|
(1,152 |
) |
| S&P TSE 60 Index |
|
|
106 |
|
|
|
Dec-2014 |
|
|
|
(592 |
) |
| S&P/MIB Index |
|
|
37 |
|
|
|
Dec-2014 |
|
|
|
51 |
|
| SGX S&P CNX Nifty Index |
|
|
356 |
|
|
|
Oct-2014 |
|
|
|
(98 |
) |
| Taiwan Index |
|
|
310 |
|
|
|
Oct-2014 |
|
|
|
(135 |
) |
| Topix Index |
|
|
419 |
|
|
|
Dec-2014 |
|
|
|
1,309 |
|
| Australian 10-Year Bond |
|
|
916 |
|
|
|
Dec-2014 |
|
|
|
932 |
|
| Canadian 10-Year Bond |
|
|
1,031 |
|
|
|
Dec-2014 |
|
|
|
(836 |
) |
| Euro-BOBL |
|
|
98 |
|
|
|
Dec-2014 |
|
|
|
14 |
|
| Euro-Bund |
|
|
1,525 |
|
|
|
Dec-2014 |
|
|
|
1,791 |
|
| Euro-Buxl 30-Year Bond |
|
|
55 |
|
|
|
Dec-2014 |
|
|
|
127 |
|
| Euro-Schatz |
|
|
233 |
|
|
|
Dec-2014 |
|
|
|
(5 |
) |
| Japanese 10-Year Bond |
|
|
25 |
|
|
|
Dec-2014 |
|
|
|
(3 |
) |
| Long Gilt 10-Year Bond |
|
|
1,117 |
|
|
|
Dec-2014 |
|
|
|
585 |
|
| Mini Japan 10-Year Bond |
|
|
1,291 |
|
|
|
Dec-2014 |
|
|
|
181 |
|
| U.S. 10-Year Treasury Note |
|
|
4,690 |
|
|
|
Dec-2014 |
|
|
|
(3,864 |
) |
| U.S. 2-Year Treasury Note |
|
|
2 |
|
|
|
Dec-2014 |
|
|
|
— |
|
| U.S. 5-Year Treasury Note |
|
|
161 |
|
|
|
Dec-2014 |
|
|
|
(39 |
) |
| U.S. Long Treasury Bond |
|
|
407 |
|
|
|
Dec-2014 |
|
|
|
(666 |
) |
| Brent Crude Penultimate*** |
|
|
38 |
|
|
|
Nov-2014 |
|
|
|
(226 |
) |
| Cocoa*** |
|
|
31 |
|
|
|
Dec-2014 |
|
|
|
45 |
|
| Cocoa*** |
|
|
105 |
|
|
|
Mar-2015 |
|
|
|
174 |
|
| Coffee ‘C’*** |
|
|
124 |
|
|
|
Dec-2014 |
|
|
|
126 |
|
| Copper*** |
|
|
48 |
|
|
|
Dec-2014 |
|
|
|
(280 |
) |
| Corn*** |
|
|
243 |
|
|
|
Dec-2014 |
|
|
|
(1,025 |
) |
| Corn*** |
|
|
53 |
|
|
|
May-2015 |
|
|
|
(141 |
) |
| Cotton No. 2*** |
|
|
109 |
|
|
|
Dec-2014 |
|
|
|
(509 |
) |
| Cotton No. 2*** |
|
|
140 |
|
|
|
Mar-2015 |
|
|
|
(364 |
) |
| Feeder Cattle*** |
|
|
51 |
|
|
|
Jan-2015 |
|
|
|
308 |
|
| Feeder Cattle*** |
|
|
23 |
|
|
|
Nov-2014 |
|
|
|
162 |
|
| Gasoline RBOB*** |
|
|
29 |
|
|
|
Nov-2014 |
|
|
|
(189 |
) |
| Gasoil*** |
|
|
21 |
|
|
|
Dec-2014 |
|
|
|
(166 |
) |
| Gold*** |
|
|
218 |
|
|
|
Dec-2014 |
|
|
|
(2,025 |
) |
| Heating Oil*** |
|
|
14 |
|
|
|
Nov-2014 |
|
|
|
(150 |
) |
| Lean Hogs*** |
|
|
41 |
|
|
|
Apr-2015 |
|
|
|
(16 |
) |
| Lean Hogs*** |
|
|
167 |
|
|
|
Dec-2014 |
|
|
|
(28 |
) |
| Lean Hogs*** |
|
|
198 |
|
|
|
Feb-2015 |
|
|
|
(112 |
) |
| Live Cattle*** |
|
|
54 |
|
|
|
Apr-2015 |
|
|
|
72 |
|
| Live Cattle*** |
|
|
143 |
|
|
|
Dec-2014 |
|
|
|
499 |
|
| Live Cattle*** |
|
|
128 |
|
|
|
Feb-2015 |
|
|
|
298 |
|
| LME Aluminum*** |
|
|
106 |
|
|
|
Dec-2014 |
|
|
|
47 |
|
| LME Copper*** |
|
|
150 |
|
|
|
Mar-2015 |
|
|
|
(732 |
) |
| LME Lead*** |
|
|
34 |
|
|
|
Mar-2015 |
|
|
|
(97 |
) |
| LME Nickel*** |
|
|
34 |
|
|
|
Dec-2014 |
|
|
|
(438 |
) |
| LME Nickel*** |
|
|
43 |
|
|
|
Mar-2015 |
|
|
|
(831 |
) |
| LME Primary Aluminum*** |
|
|
412 |
|
|
|
Mar-2015 |
|
|
|
(1,086 |
) |
| LME Zinc*** |
|
|
77 |
|
|
|
Dec-2014 |
|
|
|
154 |
|
| LME Zinc*** |
|
|
115 |
|
|
|
Mar-2015 |
|
|
|
(203 |
) |
| Natural Gas*** |
|
|
91 |
|
|
|
Nov-2014 |
|
|
|
28 |
|
| Silver*** |
|
|
165 |
|
|
|
Dec-2014 |
|
|
|
(1,544 |
) |
| Soybean*** |
|
|
100 |
|
|
|
Dec-2014 |
|
|
|
(253 |
) |
| Soybean*** |
|
|
174 |
|
|
|
Jan-2015 |
|
|
|
(542 |
) |
| Soybean*** |
|
|
72 |
|
|
|
Mar-2015 |
|
|
|
(381 |
) |
| Soybean Meal*** |
|
|
62 |
|
|
|
Dec-2014 |
|
|
|
(438 |
) |
| Soybean Meal*** |
|
|
127 |
|
|
|
Mar-2015 |
|
|
|
(266 |
) |
| Soybean Oil*** |
|
|
27 |
|
|
|
Mar-2015 |
|
|
|
(62 |
) |
| Sugar #11*** |
|
|
531 |
|
|
|
Feb-2015 |
|
|
|
(216 |
) |
| Wheat*** |
|
|
85 |
|
|
|
Dec-2014 |
|
|
|
(614 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(24,858 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
|
|
|
| 196 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2014, is as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement
Date |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 10/30/14 |
|
|
AUD |
|
|
|
3,700 |
|
|
|
USD |
|
|
|
3,248 |
|
|
$ |
18 |
|
| 10/30/14 |
|
|
CAD |
|
|
|
5,300 |
|
|
|
USD |
|
|
|
4,770 |
|
|
|
30 |
|
| 10/30/14 |
|
|
CHF |
|
|
|
2,200 |
|
|
|
USD |
|
|
|
2,322 |
|
|
|
19 |
|
| 10/30/14-12/17/14 |
|
|
EUR |
|
|
|
258,032 |
|
|
|
USD |
|
|
|
334,878 |
|
|
|
8,796 |
|
| 10/30/14-12/17/14 |
|
|
GBP |
|
|
|
52,998 |
|
|
|
USD |
|
|
|
86,491 |
|
|
|
633 |
|
| 10/30/14-12/17/14 |
|
|
HKD |
|
|
|
20,950 |
|
|
|
USD |
|
|
|
2,702 |
|
|
|
4 |
|
| 10/30/14-12/17/14 |
|
|
JPY |
|
|
|
950,834 |
|
|
|
USD |
|
|
|
8,751 |
|
|
|
80 |
|
| 12/17/14 |
|
|
BRL |
|
|
|
24,400 |
|
|
|
USD |
|
|
|
9,890 |
|
|
|
139 |
|
| 12/17/14 |
|
|
ILS |
|
|
|
33,300 |
|
|
|
USD |
|
|
|
9,186 |
|
|
|
137 |
|
| 12/17/14 |
|
|
KRW |
|
|
|
13,740,100 |
|
|
|
USD |
|
|
|
13,173 |
|
|
|
163 |
|
| 12/17/14 |
|
|
MXP |
|
|
|
40,200 |
|
|
|
USD |
|
|
|
2,969 |
|
|
|
(9 |
) |
| 12/17/14 |
|
|
SGD |
|
|
|
24,900 |
|
|
|
USD |
|
|
|
19,703 |
|
|
|
174 |
|
| 12/17/14 |
|
|
TRY |
|
|
|
25,000 |
|
|
|
USD |
|
|
|
10,952 |
|
|
|
206 |
|
| 12/17/14 |
|
|
TWD |
|
|
|
396,200 |
|
|
|
USD |
|
|
|
13,137 |
|
|
|
99 |
|
| 12/17/14 |
|
|
USD |
|
|
|
40,148 |
|
|
|
BRL |
|
|
|
93,000 |
|
|
|
(2,983 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
16 |
|
|
|
CAD |
|
|
|
17 |
|
|
|
— |
|
| 12/17/14 |
|
|
USD |
|
|
|
1,249 |
|
|
|
CHF |
|
|
|
1,157 |
|
|
|
(37 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
39,565 |
|
|
|
EUR |
|
|
|
30,479 |
|
|
|
(1,045 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
28,639 |
|
|
|
GBP |
|
|
|
17,506 |
|
|
|
(282 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
984 |
|
|
|
HKD |
|
|
|
7,625 |
|
|
|
(2 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
29,661 |
|
|
|
ILS |
|
|
|
106,200 |
|
|
|
(801 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
81 |
|
|
|
JPY |
|
|
|
8,607 |
|
|
|
(3 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
37,721 |
|
|
|
KRW |
|
|
|
38,746,500 |
|
|
|
(1,033 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
37,876 |
|
|
|
MXP |
|
|
|
500,500 |
|
|
|
(804 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
29,493 |
|
|
|
SGD |
|
|
|
37,000 |
|
|
|
(476 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement
Date |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 12/17/14 |
|
|
USD |
|
|
|
41,412 |
|
|
|
TRY |
|
|
|
92,100 |
|
|
$ |
(1,824 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
28,906 |
|
|
|
TWD |
|
|
|
862,500 |
|
|
|
(525 |
) |
| 12/17/14 |
|
|
USD |
|
|
|
29,746 |
|
|
|
ZAR |
|
|
|
326,600 |
|
|
|
(1,216 |
) |
| 12/17/14 |
|
|
ZAR |
|
|
|
160,800 |
|
|
|
USD |
|
|
|
14,314 |
|
|
|
267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(275 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open forward foreign currency contracts, as presented in
the table above, are representative of the volume of activity for the derivative type during the year.
A list of the counterparties for the
outstanding forward foreign currency contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency to
Deliver
($ Thousands) |
|
|
Currency to
Receive
($ Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Barclays |
|
$ |
(7,969 |
) |
|
$ |
8,017 |
|
|
$ |
48 |
|
| Credit Suisse First Boston |
|
|
(353,895 |
) |
|
|
353,750 |
|
|
|
(145 |
) |
| JPMorgan Chase Bank |
|
|
(63,842 |
) |
|
|
64,545 |
|
|
|
703 |
|
| Royal Bank of Scotland |
|
|
(413,374 |
) |
|
|
412,247 |
|
|
|
(1,127 |
) |
| State Street |
|
|
(29,842 |
) |
|
|
30,070 |
|
|
|
228 |
|
| UBS |
|
|
(2,304 |
) |
|
|
2,322 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(275 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of open OTC swap agreements held by the Fund at September 30, 2014, are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Fund Pays |
|
Fund Receives |
|
Termination
Date |
|
Currency |
|
|
Notional Amount
(Thousands) (1) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| JPMorgan Chase Bank |
|
Bovaspa Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/16/14 |
|
|
BRL |
|
|
|
7,723 |
|
|
$ |
(1,081 |
) |
| Bank of America |
|
Hang Seng Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/31/14 |
|
|
HKD |
|
|
|
2,365 |
|
|
|
(881 |
) |
| Bank of America |
|
H-Shares Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/30/14 |
|
|
HKD |
|
|
|
1,344 |
|
|
|
(420 |
) |
| JPMorgan Chase Bank |
|
H-Shares Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/31/14 |
|
|
HKD |
|
|
|
180 |
|
|
|
(59 |
) |
| Bank of America |
|
SGX S&P CNX Nifty Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/30/14 |
|
|
|
|
|
|
8,372 |
|
|
|
(166 |
) |
| JPMorgan Chase Bank |
|
Swiss M arket Index |
|
Negative Price Return |
|
Positive Price Return |
|
12/19/14 |
|
|
CHF |
|
|
|
4,549 |
|
|
|
19 |
|
| Bank of America |
|
Taiex Futures Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/15/14 |
|
|
TWD |
|
|
|
23 |
|
|
|
(17 |
) |
| Bank of America |
|
Taiwan Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/30/14 |
|
|
|
|
|
|
12,859 |
|
|
|
(250 |
) |
| Bank of America |
|
Canadian 10-Year Bond |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
CAD |
|
|
|
1,519 |
|
|
|
(9 |
) |
| Bank of America |
|
Euro-Bund |
|
Negative Price Return |
|
Positive Price Return |
|
12/10/14 |
|
|
EUR |
|
|
|
104,395 |
|
|
|
461 |
|
| Bank of America |
|
Long Gilt 10-Year Bond |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
GBP |
|
|
|
12,191 |
|
|
|
31 |
|
| Bank of America |
|
Mini Japan 10-Year Bond |
|
Negative Price Return |
|
Positive Price Return |
|
12/22/14 |
|
|
JPY |
|
|
|
424 |
|
|
|
56 |
|
| Bank of America |
|
U.S. Treasury 10-Year Note |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
|
|
|
|
498,438 |
|
|
|
(3,529 |
) |
| Barclays |
|
Brent Crude Penultimate*** |
|
Negative Price Return |
|
Positive Price Return |
|
11/13/14 |
|
|
|
|
|
|
25,927 |
|
|
|
(2,320 |
) |
| Citigroup |
|
Brent Crude Penultimate*** |
|
Negative Price Return |
|
Positive Price Return |
|
11/13/14 |
|
|
|
|
|
|
2,288 |
|
|
|
(123 |
) |
| Barclays |
|
WTI Crude*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
|
|
|
|
28,074 |
|
|
|
(407 |
) |
| Citigroup |
|
WTI Crude*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
|
|
|
|
7,853 |
|
|
|
(96 |
) |
| Barclays |
|
Natural Gas*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
|
|
|
|
7,626 |
|
|
|
142 |
|
| Barclays |
|
Natural Gas*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/01/14 |
|
|
|
|
|
|
5,824 |
|
|
|
108 |
|
| Barclays |
|
Heating Oil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/06/14 |
|
|
|
|
|
|
6,137 |
|
|
|
(348 |
) |
| Deutsche Bank |
|
Heating Oil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/06/14 |
|
|
|
|
|
|
6,248 |
|
|
|
(239 |
) |
| Barclays |
|
Gasoline RBOB*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/06/14 |
|
|
|
|
|
|
6,420 |
|
|
|
(249 |
) |
| Deutsche Bank |
|
Gasoline RBOB*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/06/14 |
|
|
|
|
|
|
5,116 |
|
|
|
(158 |
) |
| Citigroup |
|
Soybean Oil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/12/14 |
|
|
|
|
|
|
2,234 |
|
|
|
(60 |
) |
| BoA Merrill Lynch |
|
Soybean Oil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/23/14 |
|
|
|
|
|
|
2,389 |
|
|
|
(480 |
) |
| Citigroup |
|
Corn*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
305 |
|
|
|
(46 |
) |
| BoA Merrill Lynch |
|
Corn*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
10,777 |
|
|
|
(2,576 |
) |
| Deutsche Bank |
|
Lean Hogs*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
340 |
|
|
|
(8 |
) |
| BoA Merrill Lynch |
|
Lean Hogs*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
4,726 |
|
|
|
(152 |
) |
| Barclays |
|
Gasoil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
10,468 |
|
|
|
(581 |
) |
| BoA Merrill Lynch |
|
Gasoil*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
406 |
|
|
|
(23 |
) |
| Bank of America |
|
Soybean Meal*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
2,062 |
|
|
|
(681 |
) |
| Bank of America |
|
Wheat*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/16/14 |
|
|
|
|
|
|
478 |
|
|
|
(166 |
) |
| BoA Merrill Lynch |
|
Live Cattle*** |
|
Negative Price Return |
|
Positive Price Return |
|
12/18/14 |
|
|
|
|
|
|
12,489 |
|
|
|
129 |
|
| Bank of America |
|
Soybean*** |
|
Negative Price Return |
|
Positive Price Return |
|
01/02/15 |
|
|
|
|
|
|
4,238 |
|
|
|
(367 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(14,546 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
197 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Concluded)
September 30, 2014
A list of open Centrally cleared swap agreements held by the Fund at September 30, 2014, are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Currency |
|
Notional Amount
(Thousands) (1) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| JPMorgan Chase Bank |
|
3-Month USD - LIBOR |
|
2.25% |
|
03/18/2020 |
|
|
|
|
75,000 |
|
|
$ |
99 |
|
| JPMorgan Chase Bank |
|
3-Month USD - LIBOR |
|
1.25% |
|
03/18/2017 |
|
|
|
|
248,000 |
|
|
|
(139 |
) |
| JPMorgan Chase Bank |
|
6-Month EUR - EURIBOR |
|
0.50% |
|
12/21/2016 |
|
EUR |
|
|
25,725 |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(37 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open swap agreements, as presented in the tables above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,865,846 ($ Thousands).
(1) In U.S. Dollars unless otherwise indicated.
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| *** |
|
Futures and swap contracts held by Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security (see Note 6). |
| (A) |
|
The rate shown is the effective yield at the time of purchase. |
| (B) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (C) |
|
Security, or portion thereof, is held by Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2014. |
ADR — American Depositary Receipt
AUD —
Australian Dollar
BOBL — Bundesobligationen
BRL — Brazilian Real
Cl — Class
CAD — Canadian Dollar
CHF — Swiss Franc
CNX — Credit Rating Information Services of India Limited and National Stock Exchange of India
DJ — Dow Jones
DAX — Deutsche Borse AG German Stock Index
DKK — Denmark Krone
EAFE — Europe,
Australasia and Far East
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FTSE
— Financial Times Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
IBEX — Spanish Exchange Index
ILS — Israeli Shekel
JPY — Japanese Yen
JSE — Johannesburg Stock Exchange
KOSPI — Korea Composite Stock Price Index
KRW
— Korean Wan
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
Ltd. — Limited
MIB — Italian Stock Exchange
MSCI — Morgan
Stanley Capital International
MTN — Medium Term Note
MXP — Mexican Peso
NOK — Norwegian Krone
NZD — New Zealand Dollar
OAT — Obligations
Assimilables du Trésor
OTC — Over the Counter
RBOB — Reformulated Blendstock for Oxygenate Blending
SEK — Sweden Krona
S&P — Standard & Poor’s
SGD
— Singapore Dollar
SGX — Singapore Exchange
TRY — Turkish New Lira
TSE — Tokyo Stock Exchange
TWD — Taiwanese Dollar
USD —
U.S. Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Sovereign Debt |
|
$ |
3,365 |
|
|
$ |
215,173 |
|
|
$ |
— |
|
|
$ |
218,538 |
|
| Common Stock |
|
|
54,140 |
|
|
|
— |
|
|
|
— |
|
|
|
54,140 |
|
| Foreign Common Stock |
|
|
48,174 |
|
|
|
1,033 |
|
|
|
— |
|
|
|
49,207 |
|
| Corporate Obligations |
|
|
— |
|
|
|
37,111 |
|
|
|
— |
|
|
|
37,111 |
|
| Exchange Traded Fund |
|
|
19,164 |
|
|
|
— |
|
|
|
— |
|
|
|
19,164 |
|
| Preferred Stock |
|
|
145 |
|
|
|
— |
|
|
|
— |
|
|
|
145 |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cash Equivalent |
|
|
668,167 |
|
|
|
— |
|
|
|
— |
|
|
|
668,167 |
|
| Time Deposits |
|
|
— |
|
|
|
367,138 |
|
|
|
— |
|
|
|
367,138 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
367,185 |
|
|
|
— |
|
|
|
367,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
793,155 |
|
|
$ |
987,640 |
|
|
$ |
— |
|
|
$ |
1,780,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
7,209 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,209 |
|
| Unrealized Depreciation |
|
|
(32,067 |
) |
|
|
— |
|
|
|
— |
|
|
|
(32,067 |
) |
| Forwards* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
10,765 |
|
|
|
— |
|
|
|
10,765 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(11,040 |
) |
|
|
— |
|
|
|
(11,040 |
) |
| OTC Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
946 |
|
|
|
— |
|
|
|
946 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(15,492 |
) |
|
|
— |
|
|
|
(15,492 |
) |
| Centrally Cleared Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
102 |
|
|
|
— |
|
|
|
102 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(139 |
) |
|
|
— |
|
|
|
(139 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(24,858 |
) |
|
$ |
(14,858 |
) |
|
$ |
— |
|
|
$ |
(39,716 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2014, there have been no transfers between Level 1
and Level 2 assets and liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets
and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| |
198 |
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| LOAN PARTICIPATIONS — 22.5% |
|
| 1-800 Contacts, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 01/29/21 |
|
$ |
698 |
|
|
$ |
688 |
|
| AABS, Bridge Term Loan |
|
|
|
|
|
|
|
|
| 4.875%, 01/15/38 (A) |
|
|
896 |
|
|
|
910 |
|
| ABG Intermediate Holdings 2, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.500%, 05/27/21 |
|
|
498 |
|
|
|
495 |
|
| Active Network, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 11/13/20 |
|
|
474 |
|
|
|
470 |
|
| Advance Pierre Foods, Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 07/10/17 |
|
|
1 |
|
|
|
1 |
|
| Advantage Sales and Marketing |
|
|
|
|
|
|
|
|
| 0.000%, 07/23/21 (B) (C) |
|
|
27 |
|
|
|
1 |
|
| Advantage Sales and Marketing, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 07/23/21 (C) |
|
|
1,548 |
|
|
|
1,520 |
|
| Advantage Sales and Marketing, Revolver Loan |
|
|
|
|
|
|
|
|
| 0.000%, 07/25/19 (B) (C) |
|
|
500 |
|
|
|
(65 |
) |
| Aircell Business Aviation Services, 1st Lien |
|
|
|
|
|
|
|
|
| 7.500%, 03/21/18 |
|
|
250 |
|
|
|
252 |
|
| Akorn, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.500%, 04/16/21 |
|
|
550 |
|
|
|
546 |
|
| Albertsons Holdings, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 08/25/21 |
|
|
1,400 |
|
|
|
1,392 |
|
| Alexander Mann Solutions, 1st Lien |
|
|
|
|
|
|
|
|
| 5.750%, 12/20/19 |
|
|
348 |
|
|
|
345 |
|
| AlliedBarton Security Services, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 02/12/21 |
|
|
913 |
|
|
|
899 |
|
| AmWINS Group, 1st Lien Term
Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 09/06/19 |
|
|
47 |
|
|
|
47 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| AmWINS Group, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 09/06/19 |
|
$ |
101 |
|
|
$ |
101 |
|
| ANVC Merger, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 02/18/21 |
|
|
498 |
|
|
|
494 |
|
| Araren, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.250%, 08/18/21 |
|
|
500 |
|
|
|
497 |
|
| Arctic Glacier, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 05/10/19 |
|
|
313 |
|
|
|
308 |
|
| Arctic Glacier U.S.A. |
|
|
|
|
|
|
|
|
| 5.000%, 05/10/19 |
|
|
1 |
|
|
|
1 |
|
| Aspect Software |
|
|
|
|
|
|
|
|
| 7.250%, 05/07/16 |
|
|
567 |
|
|
|
565 |
|
| Assured Partners, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/02/21 |
|
|
550 |
|
|
|
542 |
|
| Assured Partners, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 04/02/22 |
|
|
100 |
|
|
|
98 |
|
| Astoria Generating, Cov-Lite, Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 10/26/17 |
|
|
519 |
|
|
|
528 |
|
| Atkore, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/09/21 |
|
|
1,300 |
|
|
|
1,287 |
|
| Atkore, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 10/09/21 |
|
|
350 |
|
|
|
346 |
|
| Avaya |
|
|
|
|
|
|
|
|
| 6.500%, 03/31/18 |
|
|
1,625 |
|
|
|
1,610 |
|
| Avaya, Term Loan B3 |
|
|
|
|
|
|
|
|
| 4.654%, 10/26/17 |
|
|
1,916 |
|
|
|
1,824 |
|
| Bauer Performance Sports |
|
|
|
|
|
|
|
|
| 4.000%, 04/15/21 |
|
|
220 |
|
|
|
218 |
|
| Belmond Interfin |
|
|
|
|
|
|
|
|
| 4.000%, 03/19/21 |
|
|
698 |
|
|
|
687 |
|
| Berling Packaging LLC, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.750%, 04/02/20 |
|
|
150 |
|
|
|
149 |
|
| BG Intermediate Holdings 2, 1st Lien |
|
|
|
|
|
|
|
|
| 5.500%, 05/27/21 |
|
|
1 |
|
|
|
1 |
|
| BJ’s Wholesale Club |
|
|
|
|
|
|
|
|
| 4.500%, 09/26/19 |
|
|
946 |
|
|
|
931 |
|
| Brickman Group Holdings, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 12/18/20 |
|
|
1,200 |
|
|
|
1,172 |
|
| California Pizza Kitchen, Term Loan |
|
|
|
|
|
|
|
|
| 5.250%, 03/29/18 |
|
|
236 |
|
|
|
226 |
|
| Call Credit Information Group, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.206%, 02/12/21 |
|
|
2,000 |
|
|
|
3,221 |
|
| CAMP Systems, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 05/31/19 |
|
|
149 |
|
|
|
149 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
199 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| CAMP Systems, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.250%, 11/29/19 |
|
$ |
200 |
|
|
$ |
201 |
|
| Capital Automotive |
|
|
|
|
|
|
|
|
| 6.000%, 04/30/20 (C) |
|
|
210 |
|
|
|
212 |
|
| Carcore National, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 03/05/21 |
|
|
449 |
|
|
|
446 |
|
| Carcore National, Unfunded Loan |
|
|
|
|
|
|
|
|
| 0.500%, 09/15/15 (B) (C) |
|
|
1,600 |
|
|
|
— |
|
| Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
| 5.250%, 02/15/29 (A) |
|
|
2,677 |
|
|
|
2,687 |
|
| Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/29 (A) |
|
|
1,784 |
|
|
|
1,787 |
|
| Catalent Pharma Solutions, Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 12/31/17 |
|
|
15 |
|
|
|
15 |
|
| Cengage Learning Acquisitions, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.000%, 03/31/20 |
|
|
898 |
|
|
|
896 |
|
| Ceridian |
|
|
|
|
|
|
|
|
| 4.500%, 05/09/17 |
|
|
365 |
|
|
|
361 |
|
| Ceridian, 1st Lien |
|
|
|
|
|
|
|
|
| 4.157%, 05/09/17 |
|
|
350 |
|
|
|
349 |
|
| Ceva Group PLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 |
|
|
1,127 |
|
|
|
1,088 |
|
| Ceva Intercompany BV, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 |
|
|
483 |
|
|
|
467 |
|
| Ceva Logistics, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 |
|
|
83 |
|
|
|
81 |
|
| CHG Healthcare Services, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 11/19/19 |
|
|
736 |
|
|
|
731 |
|
| CompuCom Systems, Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 05/07/20 |
|
|
931 |
|
|
|
891 |
|
| Connolly, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 05/14/21 |
|
|
1,500 |
|
|
|
1,491 |
|
| CPM Holdings |
|
|
|
|
|
|
|
|
| 6.250%, 08/29/17 |
|
|
321 |
|
|
|
321 |
|
| CPM Holdings, 2nd Lien |
|
|
|
|
|
|
|
|
| 10.250%, 03/01/18 |
|
|
200 |
|
|
|
202 |
|
| CTI Foods, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 06/12/20 |
|
|
200 |
|
|
|
199 |
|
| CTI Foods, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.250%, 06/28/21 |
|
|
400 |
|
|
|
401 |
|
| Cumulus Media, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 12/23/20 |
|
|
666 |
|
|
|
654 |
|
| Cunningham Lindsey, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 12/10/19 |
|
|
197 |
|
|
|
194 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Deltek Systems, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 10/10/18 |
|
$ |
434 |
|
|
$ |
430 |
|
| Dematic, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 12/28/19 |
|
|
1,234 |
|
|
|
1,215 |
|
| Diamond Foods Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 08/20/18 |
|
|
1,095 |
|
|
|
1,082 |
|
| DJO Finance |
|
|
|
|
|
|
|
|
| 4.250%, 09/15/17 |
|
|
246 |
|
|
|
244 |
|
| Doncaster PLC, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.500%, 10/09/20 |
|
|
138 |
|
|
|
138 |
|
| DS Waters, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.250%, 08/30/20 |
|
|
99 |
|
|
|
100 |
|
| Endurance International, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 11/09/19 (C) |
|
|
790 |
|
|
|
787 |
|
| Evergreen Skillsoft, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 04/28/21 |
|
|
1,050 |
|
|
|
1,029 |
|
| EXE Castle, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.250%, 04/05/21 |
|
|
150 |
|
|
|
149 |
|
| Exopack, Cov-Lite, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 05/08/19 |
|
|
199 |
|
|
|
200 |
|
| Expert Global |
|
|
|
|
|
|
|
|
| 8.500%, 04/02/18 |
|
|
10 |
|
|
|
10 |
|
| 8.000%, 04/02/18 |
|
|
1,280 |
|
|
|
1,277 |
|
| Expro Holdings, 1st Lien |
|
|
|
|
|
|
|
|
| 0.000%, 09/02/21(C) |
|
|
700 |
|
|
|
696 |
|
| Fender Musical Instruments, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 04/03/19 |
|
|
266 |
|
|
|
265 |
|
| Filtration Group, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 11/20/20 |
|
|
398 |
|
|
|
396 |
|
| First Advantage, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 10.500%, 08/28/19 (A) |
|
|
150 |
|
|
|
149 |
|
| First Advantage, Cov-Lite, Term
Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 02/13/19 |
|
|
690 |
|
|
|
688 |
|
| First Advantage, Term Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 02/28/19 |
|
|
2 |
|
|
|
2 |
|
| First Data, 1st Lien Extended Term Loan |
|
|
|
|
|
|
|
|
| 4.155%, 03/24/21 |
|
|
700 |
|
|
|
689 |
|
| First Data, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 3.655%, 03/23/18 |
|
|
280 |
|
|
|
274 |
|
| Fitness International |
|
|
|
|
|
|
|
|
| 5.500%, 07/01/20 |
|
|
700 |
|
|
|
693 |
|
| Flakt Woods Group Hybrid Term Loan, 2nd Lien |
|
|
|
|
|
|
|
|
| 4.819%, 03/20/17 |
|
|
650 |
|
|
|
788 |
|
| Fleetpride, 1st Lien |
|
|
|
|
|
|
|
|
| 5.250%, 11/19/19 |
|
|
442 |
|
|
|
437 |
|
|
|
|
| 200 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Flexera Software, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/02/20 |
|
$ |
400 |
|
|
$ |
396 |
|
| Flexera Software, Cov-Lite, 2nd Lien |
|
|
|
|
|
|
|
|
| 8.000%, 04/02/21 |
|
|
150 |
|
|
|
145 |
|
| Gates Global |
|
|
|
|
|
|
|
|
| 4.250%, 07/05/21 |
|
|
1,000 |
|
|
|
981 |
|
| GCA Services Group, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 11/01/19 |
|
|
1 |
|
|
|
1 |
|
| 4.250%, 11/01/19 |
|
|
91 |
|
|
|
90 |
|
| GCA Services Group, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.250%, 10/11/20 |
|
|
120 |
|
|
|
120 |
|
| GlobalLogic Holdings, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 6.250%, 05/31/19 |
|
|
299 |
|
|
|
289 |
|
| Go Daddy, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 05/13/21 |
|
|
95 |
|
|
|
94 |
|
| GOGO |
|
|
|
|
|
|
|
|
| 11.250%, 06/21/17 |
|
|
468 |
|
|
|
491 |
|
| Goodpack, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 09/09/21 |
|
|
500 |
|
|
|
498 |
|
| Greenway Medical Technologies, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.250%, 11/04/21 |
|
|
100 |
|
|
|
99 |
|
| 6.000%, 11/04/20 |
|
|
896 |
|
|
|
891 |
|
| Grocery Outlet, Cov-Lite, Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 12/17/18 |
|
|
1,475 |
|
|
|
1,471 |
|
| Gypsum, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 04/01/21 |
|
|
998 |
|
|
|
983 |
|
| HDV Holdings, Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 12/18/18 |
|
|
127 |
|
|
|
126 |
|
| Hearthside Food Solutions, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 06/02/21 |
|
|
500 |
|
|
|
497 |
|
| Hoffmaster Group, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.250%, 05/09/20 |
|
|
750 |
|
|
|
746 |
|
| Hostess Brands |
|
|
|
|
|
|
|
|
| 6.750%, 04/09/20 |
|
|
100 |
|
|
|
102 |
|
| Hub International, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 4.250%, 10/02/20 |
|
|
1,397 |
|
|
|
1,364 |
|
| Hyland Software, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 02/19/21 |
|
|
200 |
|
|
|
199 |
|
| Interactive Date, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 05/02/21 |
|
|
1,000 |
|
|
|
994 |
|
| Interlind Brands |
|
|
|
|
|
|
|
|
| 4.000%, 03/17/21 |
|
|
182 |
|
|
|
179 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Interline Brands |
|
|
|
|
|
|
|
|
| 4.000%, 03/17/21 |
|
$ |
1,114 |
|
|
$ |
1,092 |
|
| Intertrust Group, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.484%, 04/16/21 |
|
|
500 |
|
|
|
497 |
|
| Intertrust Group, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 04/15/22 |
|
|
1,700 |
|
|
|
1,680 |
|
| Intrawest Holdings |
|
|
|
|
|
|
|
|
| 0.375%, 12/10/18 (B) |
|
|
200 |
|
|
|
— |
|
| Intrawest, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 12/09/20 |
|
|
279 |
|
|
|
279 |
|
| J Crew Group, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 03/05/21 |
|
|
543 |
|
|
|
515 |
|
| J Crew Group, Term Loan B |
|
|
|
|
|
|
|
|
| 4.000%, 03/05/21 |
|
|
255 |
|
|
|
242 |
|
| Jacobs Entertainment, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.250%, 10/29/18 |
|
|
393 |
|
|
|
365 |
|
| Jazz Acquisition Wencor, Cov-Lite, Unfunded |
|
|
|
|
|
|
|
|
| 0.000%, 06/19/19 (B) (C) |
|
|
450 |
|
|
|
(8 |
) |
| Karman Buyer |
|
|
|
|
|
|
|
|
| 0.000%, 07/23/21 |
|
|
24 |
|
|
|
24 |
|
| Knowledge Universe Education LLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.250%, 03/18/21 |
|
|
798 |
|
|
|
798 |
|
| Kronos, Incremental Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 10/30/19 |
|
|
367 |
|
|
|
364 |
|
| Kronos, Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 10/30/19 (B) |
|
|
— |
|
|
|
— |
|
| La Quinta, Intermediate Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 04/14/21 |
|
|
644 |
|
|
|
639 |
|
| Lafarge MONIER, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.702%, 10/15/20 |
|
|
655 |
|
|
|
832 |
|
| Landest Software, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 02/25/20 |
|
|
447 |
|
|
|
445 |
|
| Learning Care Group, 1st Lien |
|
|
|
|
|
|
|
|
| 5.500%, 05/05/21 |
|
|
1,500 |
|
|
|
1,498 |
|
| Lineage Logistics, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/07/21 |
|
|
2,175 |
|
|
|
2,147 |
|
| Lions Gate Entertainment, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 07/19/20 |
|
|
1,500 |
|
|
|
1,504 |
|
| McJunkin Red Man, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 11/08/19 |
|
|
1,836 |
|
|
|
1,833 |
|
| Men’s Wearhouse |
|
|
|
|
|
|
|
|
| 4.500%, 06/18/21 |
|
|
850 |
|
|
|
844 |
|
| Mergermarket, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 02/04/21 |
|
|
748 |
|
|
|
726 |
|
| Minimax GmbH & Co. |
|
|
|
|
|
|
|
|
| 4.500%, 08/14/20 |
|
|
350 |
|
|
|
349 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
201 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| MISYS, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 12/12/18 |
|
$ |
790 |
|
|
$ |
788 |
|
| MISYS, 2nd Lien |
|
|
|
|
|
|
|
|
| 12.000%, 06/12/19 |
|
|
350 |
|
|
|
395 |
|
| Mitchell International, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 10/11/21 |
|
|
1,150 |
|
|
|
1,146 |
|
| Mitel Networks, 1st Lien |
|
|
|
|
|
|
|
|
| 5.250%, 01/31/20 |
|
|
557 |
|
|
|
558 |
|
| Momentive Performance Materials, 1st Lien |
|
|
|
|
|
|
|
|
| 4.000%, 04/15/15 |
|
|
400 |
|
|
|
399 |
|
| MRI Software, 1st Lien |
|
|
|
|
|
|
|
|
| 5.250%, 02/04/21 |
|
|
200 |
|
|
|
199 |
|
| Multiplan |
|
|
|
|
|
|
|
|
| 4.000%, 03/31/21 |
|
|
1,445 |
|
|
|
1,410 |
|
| NANA Development, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 03/15/18 |
|
|
271 |
|
|
|
265 |
|
| National Veterinary Associates, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 08/14/21 |
|
|
750 |
|
|
|
747 |
|
| National Veterinary Associates, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 08/14/22 |
|
|
250 |
|
|
|
248 |
|
| National Vision, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 03/12/21 |
|
|
1,297 |
|
|
|
1,260 |
|
| Navistar International |
|
|
|
|
|
|
|
|
| 5.750%, 08/17/17 |
|
|
118 |
|
|
|
118 |
|
| Nes Global Talent, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 10/03/19 |
|
|
1,128 |
|
|
|
1,117 |
|
| NexTech Systems, 1st Lien |
|
|
|
|
|
|
|
|
| 6.000%, 10/28/18 (A) |
|
|
829 |
|
|
|
815 |
|
| Nord Anglia Education, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 03/31/21 |
|
|
1,097 |
|
|
|
1,089 |
|
| Nuveen Investments |
|
|
|
|
|
|
|
|
| 4.155%, 05/13/17 |
|
|
250 |
|
|
|
249 |
|
| One Call Medical, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.000%, 11/27/20 (C) |
|
|
778 |
|
|
|
776 |
|
| P2 Energy, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.250%, 10/30/20 |
|
|
2 |
|
|
|
2 |
|
| 5.000%, 10/30/20 |
|
|
695 |
|
|
|
691 |
|
| P2 Energy Solutions, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.000%, 04/30/21 |
|
|
150 |
|
|
|
150 |
|
| Panda Temple Power, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 7.250%, 04/03/19 |
|
|
350 |
|
|
|
357 |
|
| Panolam Industries International |
|
|
|
|
|
|
|
|
| 7.750%, 08/23/17 |
|
|
196 |
|
|
|
195 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Paradigm |
|
|
|
|
|
|
|
|
| 4.750%, 07/30/19 |
|
$ |
315 |
|
|
$ |
311 |
|
| Pelican Products |
|
|
|
|
|
|
|
|
| 9.250%, 04/09/21 |
|
|
1,000 |
|
|
|
998 |
|
| Performance Food Group, Cov-Lite, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.250%, 11/07/19 |
|
|
1,192 |
|
|
|
1,188 |
|
| Phillips-Medisize, 1st Lien |
|
|
|
|
|
|
|
|
| 4.750%, 06/16/21 |
|
|
500 |
|
|
|
497 |
|
| Pierre Foods, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 9.500%, 10/02/17 |
|
|
346 |
|
|
|
341 |
|
| Pierre Foods, Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 5.750%, 07/10/17 |
|
|
362 |
|
|
|
362 |
|
| Pipeline Supply & Service, 1st Liean Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 01/28/20 |
|
|
273 |
|
|
|
272 |
|
| Ranpak, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.500%, 04/10/20 |
|
|
200 |
|
|
|
202 |
|
| RCS, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 6.500%, 04/29/19 |
|
|
700 |
|
|
|
703 |
|
| Reddy Ice, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 05/01/19 (B) |
|
|
— |
|
|
|
— |
|
| 6.750%, 05/01/19 |
|
|
345 |
|
|
|
326 |
|
| Reddy Ice, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 10.750%, 11/01/19 |
|
|
225 |
|
|
|
200 |
|
| Reddy Ice, Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 05/01/19 |
|
|
1 |
|
|
|
1 |
|
| Renaissance Learning, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 04/09/21 |
|
|
898 |
|
|
|
878 |
|
| Rexam PLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 8.000%, 05/02/22 |
|
|
650 |
|
|
|
646 |
|
| 4.250%, 05/03/21 |
|
|
1,000 |
|
|
|
991 |
|
| Rise, Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 02/12/39 (A) |
|
|
2,891 |
|
|
|
2,931 |
|
| Road Infrastructure Investments, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 03/31/21 |
|
|
748 |
|
|
|
726 |
|
| Road Infrastructure Investments, 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.750%, 09/30/21 |
|
|
400 |
|
|
|
385 |
|
| Royal Adhesives and Sealants, Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 07/31/18 |
|
|
292 |
|
|
|
293 |
|
| Sabre Holdings |
|
|
|
|
|
|
|
|
| 4.250%, 02/15/19 |
|
|
588 |
|
|
|
580 |
|
| Sears Holdings, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.500%, 06/30/18 |
|
|
496 |
|
|
|
482 |
|
| Servicemaster, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 07/01/21 |
|
|
1,150 |
|
|
|
1,131 |
|
| Shields Finance, 1st Lien Term
Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 01/29/21 |
|
|
1,496 |
|
|
|
1,491 |
|
| SI Organization, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 5.750%, 11/23/19 |
|
|
442 |
|
|
|
443 |
|
|
|
|
| 202 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| SI Organization, Unfunded |
|
|
|
|
|
|
|
|
| 4.750%, 11/23/19
(B) |
|
$ |
58 |
|
|
$ |
— |
|
| Signode Industrial Group |
|
|
|
|
|
|
|
|
| 4.000%, 05/01/21 |
|
|
1,080 |
|
|
|
1,059 |
|
| Signode Industrial Group, 2nd Lien |
|
|
|
|
|
|
|
|
| 4.000%, 05/01/21 |
|
|
1,344 |
|
|
|
1,318 |
|
| Sirva Worldwide, Term Loan |
|
|
|
|
|
|
|
|
| 7.500%, 03/27/19 |
|
|
839 |
|
|
|
851 |
|
| Smart & Final, Cov-Lite, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.750%, 11/15/19 |
|
|
749 |
|
|
|
747 |
|
| Southern Graphic Systems |
|
|
|
|
|
|
|
|
| 4.250%, 10/17/19 |
|
|
245 |
|
|
|
242 |
|
| Southern Graphic Systems, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 10/17/19 |
|
|
169 |
|
|
|
167 |
|
| Sparta Systems |
|
|
|
|
|
|
|
|
| 7.750%, 07/28/20 (A) |
|
|
700 |
|
|
|
693 |
|
| Stuart Weitzman Acquisition LLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.500%, 04/08/20 |
|
|
750 |
|
|
|
735 |
|
| Sutherland Global, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 7.250%, 03/06/19 |
|
|
194 |
|
|
|
193 |
|
| Sutherland SGS |
|
|
|
|
|
|
|
|
| 7.250%, 03/06/19 |
|
|
87 |
|
|
|
87 |
|
| Syncreon Holdings, 1st Lien Term Loan B |
|
|
|
|
|
|
|
|
| 5.250%, 10/28/20 |
|
|
647 |
|
|
|
640 |
|
| Texas Competitive Electric Holdings |
|
|
|
|
|
|
|
|
| 3.750%, 05/05/16 |
|
|
139 |
|
|
|
139 |
|
| Texas Competitive Electric Holdings, Delayed Term Loan, 1st Lien |
|
|
|
|
|
|
|
|
| 3.750%, 05/05/16 |
|
|
144 |
|
|
|
144 |
|
| The Harvard Drug Group, Term Loan B |
|
|
|
|
|
|
|
|
| 5.000%, 10/29/19 |
|
|
356 |
|
|
|
356 |
|
| The Nieman Marcus Group, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.250%, 10/25/20 |
|
|
1,490 |
|
|
|
1,463 |
|
| The Telx Group |
|
|
|
|
|
|
|
|
| 7.500%, 04/09/21 |
|
|
300 |
|
|
|
298 |
|
| 4.500%, 04/09/20 |
|
|
1,000 |
|
|
|
982 |
|
| ThermaSys, Term Loan 1st Lien |
|
|
|
|
|
|
|
|
| 5.250%, 05/03/19 |
|
|
366 |
|
|
|
363 |
|
| TI Group Automotive Systems, 1st Lien |
|
|
|
|
|
|
|
|
| 4.250%, 07/02/21 |
|
|
270 |
|
|
|
266 |
|
| TMS International, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 4.500%, 10/16/20 |
|
|
398 |
|
|
|
397 |
|
| TNT Logistics Canadian, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 (B) |
|
|
— |
|
|
|
— |
|
| TNT Logistics, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 |
|
|
2 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| TNT Logistics Dutch BV, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 6.500%, 03/19/21 |
|
$ |
1 |
|
|
$ |
1 |
|
| Trans Union LLC, 1st Lien Term Loan |
|
|
|
|
|
|
|
|
| 4.000%, 04/09/21 |
|
|
998 |
|
|
|
981 |
|
| TSAM Delaware LLC, 1st Lien |
|
|
|
|
|
|
|
|
| 8.750%, 09/12/19 (A) |
|
|
385 |
|
|
|
382 |
|
| Univision Communications, Term Loan C3 |
|
|
|
|
|
|
|
|
| 4.000%, 03/01/20 |
|
|
995 |
|
|
|
975 |
|
| V Group, Cov-Lite, 1st Lien |
|
|
|
|
|
|
|
|
| 5.000%, 06/25/21 |
|
|
250 |
|
|
|
248 |
|
| Viking Aquisitions |
|
|
|
|
|
|
|
|
| 6.000%, 11/05/16 |
|
|
76 |
|
|
|
75 |
|
| Wall Street Systems Delaware |
|
|
|
|
|
|
|
|
| 4.500%, 04/30/21 |
|
|
2,343 |
|
|
|
2,320 |
|
| WTG Holdings III |
|
|
|
|
|
|
|
|
| 4.750%, 01/15/21 |
|
|
498 |
|
|
|
491 |
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations
(Cost $122,116) ($ Thousands) |
|
|
|
|
|
|
121,256 |
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 19.8% |
|
|
| Credit Cards — 0.1% |
|
| Citi Holdings Liquidating Unrated Performing Assets, Ser 2012-BIZ, Cl A |
|
|
|
|
|
|
|
|
| 0.253%, 12/15/49 (A) (D) |
|
|
309 |
|
|
|
267 |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Related Securities — 0.7% |
|
| Asset-Backed Securities Home Equity, Ser 2004-HE8, Cl M1 |
|
|
|
|
|
|
|
|
| 1.205%, 12/25/34 (E) |
|
|
711 |
|
|
|
665 |
|
| GSAA Home Equity Trust,
Ser 2006-14, Cl A3A |
|
|
|
|
|
|
|
|
| 0.405%, 09/25/36 (E) |
|
|
655 |
|
|
|
412 |
|
| GSAA Home Equity Trust,
Ser 2007-7, Cl A4 |
|
|
|
|
|
|
|
|
| 0.425%, 07/25/37 (E) |
|
|
1,308 |
|
|
|
1,110 |
|
| Home Equity Asset Trust,
Ser 2005-7, Cl M1 |
|
|
|
|
|
|
|
|
| 0.605%, 01/25/36 (E) |
|
|
800 |
|
|
|
723 |
|
| New Century Home Equity Loan Trust, Ser 2004-4, Cl M2 |
|
|
|
|
|
|
|
|
| 0.950%, 02/25/35 (E) |
|
|
685 |
|
|
|
627 |
|
| New Century Home Equity Loan Trust, Ser 2005-1, Cl M2 |
|
|
|
|
|
|
|
|
| 0.875%, 03/25/35 (E) |
|
|
524 |
|
|
|
466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,003 |
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 19.0% |
|
| ACAS CLO, Ser 2014-1AR, Cl CR |
|
|
|
|
|
|
|
|
| 3.485%, 09/20/23 (D) (E) |
|
|
2,500 |
|
|
|
2,503 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
203 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| ACE Securities Home Equity Loan Trust, Ser 2006-ASP2, Cl A2D |
|
|
|
|
|
|
|
|
| 0.435%, 03/25/36 (E) |
|
$ |
1,750 |
|
|
$ |
1,547 |
|
| Aerco, Ser 2000-2A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.612%, 07/15/25 (E) (F) |
|
|
1,101 |
|
|
|
594 |
|
| Airplanes Pass-Through Trust,
Ser 2001-1A, Cl A9 |
|
|
|
|
|
|
|
|
| 0.704%, 03/15/19 (E) |
|
|
1,411 |
|
|
|
609 |
|
| ALM VII, Ser 2013-7RA, Cl C |
|
|
|
|
|
|
|
|
| 3.683%, 04/24/24 (D) (E) |
|
|
1,250 |
|
|
|
1,199 |
|
| ALM VII, Ser 2013-7R2A, Cl B |
|
|
|
|
|
|
|
|
| 2.833%, 04/24/24 (D) (E) |
|
|
1,250 |
|
|
|
1,208 |
|
| Ares XXVI CLO, Ser 2013-1A, Cl C |
|
|
|
|
|
|
|
|
| 2.984%, 04/15/25 (D) (E) |
|
|
750 |
|
|
|
722 |
|
| Avalon IV Capital, Ser 2014-1AR, Cl DR |
|
|
|
|
|
|
|
|
| 4.083%, 04/17/23 (D) (E) |
|
|
750 |
|
|
|
750 |
|
| Babcock & Brown Air Funding I,
Ser 2007-1A, Cl G1 |
|
|
|
|
|
|
|
|
| 0.454%, 11/14/33 (D) (E) |
|
|
764 |
|
|
|
650 |
|
| Carlyle Global Market Strategies CLO, Ser 2014-2AR, Cl DR |
|
|
|
|
|
|
|
|
| 4.132%, 07/20/23 (D) (E) |
|
|
1,000 |
|
|
|
992 |
|
| CCR MT100 Payment Rights Master Trust, Ser 2010-CA, Cl C |
|
|
|
|
|
|
|
|
| 0.599%, 07/10/17 (A) (D) (E) |
|
|
6,477 |
|
|
|
6,303 |
|
| Cent CLO 16, Ser 2014-16AR, Cl BR |
|
|
|
|
|
|
|
|
| 3.740%, 08/01/24 (D) (E) |
|
|
2,500 |
|
|
|
2,487 |
|
| Centerline REIT, Ser 2004-RR3, Cl A2 |
|
|
|
|
|
|
|
|
| 4.760%, 09/21/45 (D) (E) |
|
|
3,273 |
|
|
|
3,317 |
|
| CIFC Funding
Ser 2012-1AR, Cl A3R |
|
|
|
|
|
|
|
|
| 3.306%, 08/14/24 (D) (E) |
|
|
1,000 |
|
|
|
995 |
|
| CIFC Funding
Ser 2012-2A, Cl A3L |
|
|
|
|
|
|
|
|
| 3.234%, 12/05/24 (D) (E) |
|
|
500 |
|
|
|
488 |
|
| CIFC Funding
Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.034%, 04/18/25 (D) (E) |
|
|
750 |
|
|
|
726 |
|
| CIT Mortgage Loan Trust,
Ser 2007-1, Cl 2A3 |
|
|
|
|
|
|
|
|
| 1.605%, 10/25/37 (D) (E) |
|
|
4,700 |
|
|
|
4,366 |
|
| Citigroup Mortgage Loan Trust,
Ser 2007-WFH2, Cl A4 |
|
|
|
|
|
|
|
|
| 0.505%, 03/25/37 (E) |
|
|
700 |
|
|
|
620 |
|
| COA Summit CLO, Ser 2014-1A,
Cl C |
|
|
|
|
|
|
|
|
| 4.086%, 04/20/23 (D) (E) |
|
|
500 |
|
|
|
500 |
|
| ColumbusNova CLO, Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 1.581%, 05/16/19 (D) (E) |
|
|
1,500 |
|
|
|
1,441 |
|
| Connecticut Valley Structured Credit CDO III, Ser 2006-3A, Cl A3A |
|
|
|
|
|
|
|
|
| 0.883%, 03/23/23 (D) (E) |
|
|
500 |
|
|
|
476 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Connecticut Valley Structured Credit, Ser 2006-3A, Cl B2 |
|
|
|
|
|
|
|
|
| 6.676%, 03/23/23 |
|
$ |
442 |
|
|
$ |
438 |
|
| Copper River CLO, Ser 2007-1A, Cl A2B |
|
|
|
|
|
|
|
|
| 0.634%, 01/20/21 (D) (E) |
|
|
2,000 |
|
|
|
1,956 |
|
| Credit Suisse Mortgage Trust,
Ser 14-SURF, Cl E |
|
|
|
|
|
|
|
|
| 3.260%, 02/15/29 |
|
|
3,150 |
|
|
|
3,158 |
|
| Drug Royalty II, Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
| 3.484%, 07/15/23 |
|
|
1,079 |
|
|
|
1,079 |
|
| Dryden XXIII Senior Loan Fund,
Ser 2014-23RA, Cl BR |
|
|
|
|
|
|
|
|
| 3.184%, 07/17/23 (D) (E) |
|
|
1,750 |
|
|
|
1,741 |
|
| Duane Street CLO II, Ser 2006-2A,
Cl E |
|
|
|
|
|
|
|
|
| 3.982%, 08/20/18 (D) (E) |
|
|
1,250 |
|
|
|
1,217 |
|
| Emerald Aviation Finance,
Ser 2013-1, Cl B |
|
|
|
|
|
|
|
|
| 6.350%, 10/15/38 (D) |
|
|
1,414 |
|
|
|
1,436 |
|
| First Frankin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A4 |
|
|
|
|
|
|
|
|
| 0.495%, 01/25/36 (E) |
|
|
500 |
|
|
|
440 |
|
| Flagship CLO VI, Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.634%, 06/10/21 (D) (E) |
|
|
2,000 |
|
|
|
1,956 |
|
| Gallatin CLO VII, Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 3.987%, 07/15/23 (D) (E) |
|
|
500 |
|
|
|
484 |
|
| Golub Capital Partners CLO,
Ser 2014-10AR, Cl CR |
|
|
|
|
|
|
|
|
| 3.184%, 10/20/21 (D) (E) |
|
|
1,500 |
|
|
|
1,492 |
|
| Gramercy Park CLO, Ser 2014-1AR, Cl BR |
|
|
|
|
|
|
|
|
| 3.183%, 07/17/23 (D) (E) |
|
|
2,700 |
|
|
|
2,686 |
|
| Gramercy Park CLO, Ser 2014-1AR, Cl CR |
|
|
|
|
|
|
|
|
| 4.283%, 07/17/23 (D) (E) |
|
|
600 |
|
|
|
596 |
|
| GreenPoint Mortgage Funding Trust, Ser 2005-HE4, Cl M1 |
|
|
|
|
|
|
|
|
| 0.860%, 07/25/30 (E) |
|
|
3,150 |
|
|
|
2,949 |
|
| Greywolf CLO III, Ser 2014-1A, Cl B |
|
|
|
|
|
|
|
|
| 3.076%, 04/22/26 (D) (E) |
|
|
750 |
|
|
|
727 |
|
| GSAA Home Equity Trust, Ser 06-18, Cl AF5A |
|
|
|
|
|
|
|
|
| 6.002%, 11/25/36 |
|
|
3,202 |
|
|
|
2,264 |
|
| GSAA Trust, Ser 2005-10, Cl M4 |
|
|
|
|
|
|
|
|
| 0.805%, 06/25/35 (E) |
|
|
950 |
|
|
|
878 |
|
| GSAMP Trust, Ser 2005-HE6, Cl M1 |
|
|
|
|
|
|
|
|
| 0.595%, 11/25/35 (E) |
|
|
2,850 |
|
|
|
2,624 |
|
| Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B |
|
|
|
|
|
|
|
|
| 3.234%, 08/15/23 (D) (E) |
|
|
500 |
|
|
|
487 |
|
| Halcyon Loan Advisors Funding,
Ser 2012-2A, Cl C |
|
|
|
|
|
|
|
|
| 3.083%, 12/20/24 (D) (E) |
|
|
500 |
|
|
|
482 |
|
|
|
|
| 204 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Halcyon Loan Investors CLO II,
Ser 2007-2A, Cl C |
|
|
|
|
|
|
|
|
| 1.633%, 04/24/21 (D) (E) |
|
$ |
500 |
|
|
$ |
473 |
|
| Helios Series I Multi Asset CBO,
Ser 2001-1A, Cl B |
|
|
|
|
|
|
|
|
| 1.170%, 12/13/36 (D) (E) |
|
|
1,082 |
|
|
|
1,028 |
|
| Icon Brand Holdings, Ser 2013-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 4.352%, 01/25/43 (A) |
|
|
1,382 |
|
|
|
1,376 |
|
| Katonah, Ser 2007-10A, Cl D |
|
|
|
|
|
|
|
|
| 2.238%, 04/17/20 (D) (E) |
|
|
500 |
|
|
|
489 |
|
| Kingsland IV, Ser 2007-4A, Cl D |
|
|
|
|
|
|
|
|
| 1.683%, 04/16/21 (D) (E) |
|
|
500 |
|
|
|
472 |
|
| LCM X, Ser 2014-10AR, Cl DR |
|
|
|
|
|
|
|
|
| 3.984%, 04/15/22 (D) (E) |
|
|
1,000 |
|
|
|
995 |
|
| LCM X, Ser 5A, Cl D |
|
|
|
|
|
|
|
|
| 1.580%, 03/21/19 |
|
|
500 |
|
|
|
474 |
|
| Lehman XS Trust,
Ser 2007-9, Cl 1A1 |
|
|
|
|
|
|
|
|
| 0.275%, 06/25/37 (E) |
|
|
1,659 |
|
|
|
1,497 |
|
| Lime Street CLO, Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.733%, 06/20/21 (D) (E) |
|
|
750 |
|
|
|
718 |
|
| MT Wilson CLO II, Ser 2007-2A, Cl D |
|
|
|
|
|
|
|
|
| 2.984%, 07/11/20 (D) (E) |
|
|
3,000 |
|
|
|
2,897 |
|
| MWAM CBO, Ser 2001-1A, Cl C1 |
|
|
|
|
|
|
|
|
| 3.078%, 01/30/31 (D) (E) |
|
|
2,117 |
|
|
|
1,970 |
|
| MWAM CBO, Ser 2001-1A, Cl C2 |
|
|
|
|
|
|
|
|
| 14.092%, 01/30/31 (D) |
|
|
1,631 |
|
|
|
1,773 |
|
| Newstar Commercial Loan Funding,
Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.830%, 04/20/25 (D) (E) |
|
|
1,500 |
|
|
|
1,492 |
|
| Newstar Commercial Loan Funding,
Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.980%, 04/20/25 (D) (E) |
|
|
750 |
|
|
|
739 |
|
| N-Star REL CDO VIII, Ser 2006-8A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.517%, 02/01/41 (D) (E) |
|
|
1,000 |
|
|
|
899 |
|
| OCP CLO, Ser 2014-6A, Cl B |
|
|
|
|
|
|
|
|
| 3.224%, 07/17/26 (D) (E) |
|
|
1,000 |
|
|
|
991 |
|
| Octagon Investment Partners X, Ser 2006-10A, Cl D |
|
|
|
|
|
|
|
|
| 1.634%, 10/18/20 (D) (E) |
|
|
1,250 |
|
|
|
1,188 |
|
| Octagon Investment Partners XV,
Ser 2013-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.084%, 01/19/25 (D) (E) |
|
|
500 |
|
|
|
486 |
|
| OHA Credit Partners VII,
Ser 2012-7A, Cl D |
|
|
|
|
|
|
|
|
| 4.232%, 11/20/23 (D) (E) |
|
|
500 |
|
|
|
494 |
|
| OZLM Funding V, Ser 2013-5A, Cl B |
|
|
|
|
|
|
|
|
| 3.233%, 01/17/26 (D) (E) |
|
|
750 |
|
|
|
734 |
|
| Pangaea CLO, Ser 2007-1A, Cl B |
|
|
|
|
|
|
|
|
| 1.234%, 10/21/21 (D) (E) |
|
|
500 |
|
|
|
479 |
|
| Primus CLO II, Ser 2007-2A, Cl C |
|
|
|
|
|
|
|
|
| 1.184%, 07/15/21 (D) (E) |
|
|
1,500 |
|
|
|
1,451 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Raspro Trust, Ser 2005-1A, Cl G |
|
|
|
|
|
|
|
|
| 0.633%, 03/23/24 (D) (E) |
|
$ |
31 |
|
|
$ |
31 |
|
| Sands Point Funding, Ser 2006-1A, Cl D |
|
|
|
|
|
|
|
|
| 1.984%, 07/18/20 (D) (E) |
|
|
500 |
|
|
|
473 |
|
| Saxon Asset Securities Trust,
Ser 2005-4, Cl M1 |
|
|
|
|
|
|
|
|
| 0.595%, 11/25/37 (E) |
|
|
1,650 |
|
|
|
1,425 |
|
| Shackleton CLO, Ser 2012-2A, Cl D |
|
|
|
|
|
|
|
|
| 4.284%, 10/20/23 |
|
|
1,000 |
|
|
|
981 |
|
| Steele Creek CLO, Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.434%, 08/21/26 (D) (E) |
|
|
500 |
|
|
|
489 |
|
| Structured Asset Securities Mortgage Loan Trust, Ser 2006-OPT1, Cl A5 |
|
|
|
|
|
|
|
|
| 0.415%, 04/25/36 (E) |
|
|
1,700 |
|
|
|
1,530 |
|
| Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC1, Cl A4 |
|
|
|
|
|
|
|
|
| 0.285%, 02/25/37 (E) |
|
|
1,850 |
|
|
|
1,599 |
|
| Structured Asset Securities, Ser 2006-BC6, Cl A4 |
|
|
|
|
|
|
|
|
| 0.325%, 01/25/37 (E) |
|
|
750 |
|
|
|
624 |
|
| Suane Street CLO, Ser 2007-4A,
Cl D |
|
|
|
|
|
|
|
|
| 2.483%, 11/14/21 |
|
|
1,850 |
|
|
|
1,781 |
|
| TICP CLO II, Ser 2014-2A, Cl B |
|
|
|
|
|
|
|
|
| 3.231%, 07/20/26 (D) (E) |
|
|
600 |
|
|
|
587 |
|
| Turbine Engines Securitization,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
| 5.125%, 12/13/48 (A) (D) |
|
|
1,061 |
|
|
|
1,072 |
|
| Turbine Engine Securitization,
Ser 2013-1A, Cl B |
|
|
|
|
|
|
|
|
| 6.375%, 12/15/48 (A) |
|
|
647 |
|
|
|
657 |
|
| Venture XIV CLO, Ser 2013-14A,
Cl C |
|
|
|
|
|
|
|
|
| 2.988%, 08/28/25 (D) (E) |
|
|
500 |
|
|
|
484 |
|
| Venture XV CLO, Ser 2013-15A, Cl C |
|
|
|
|
|
|
|
|
| 3.334%, 07/15/25 (D) (E) |
|
|
250 |
|
|
|
246 |
|
| Vibrant CLO II, Ser 2013-2A, Cl B |
|
|
|
|
|
|
|
|
| 2.983%, 07/24/24 (D) (E) |
|
|
1,000 |
|
|
|
951 |
|
| Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A |
|
|
|
|
|
|
|
|
| 0.295%, 07/25/37 (D) (E) |
|
|
964 |
|
|
|
854 |
|
| Wachovia Bank Commercial Mortgage Trust, Ser 2007-WHL8, Cl LXR1 |
|
|
|
|
|
|
|
|
| 0.854%, 06/15/20 |
|
|
730 |
|
|
|
702 |
|
| Willis Engine Securitization Trust II,
Ser 2012-A, Cl A |
|
|
|
|
|
|
|
|
| 5.500%, 09/15/37 (A) (D) (F) |
|
|
1,830 |
|
|
|
1,835 |
|
| Witeh, Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 2.990%, 05/01/26 |
|
|
1,000 |
|
|
|
963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,982 |
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $106,070) ($ Thousands) |
|
|
|
106,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
205 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 18.3% |
|
|
|
|
| Consumer Discretionary — 2.3% |
|
|
|
|
|
|
|
|
| Checkers Drive-In Restaurants |
|
|
|
|
|
|
|
|
| 11.000%, 12/01/17 (D) |
|
$ |
575 |
|
|
$ |
630 |
|
| GRD Holdings III |
|
|
|
|
|
|
|
|
| 10.750%, 06/01/19 (D) |
|
|
1,500 |
|
|
|
1,654 |
|
| Guitar Center |
|
|
|
|
|
|
|
|
| 6.500%, 04/15/19 (D) |
|
|
1,650 |
|
|
|
1,485 |
|
| MDC Partners |
|
|
|
|
|
|
|
|
| 6.750%, 04/01/20 (D) |
|
|
3,535 |
|
|
|
3,641 |
|
| Men’s Wearhouse |
|
|
|
|
|
|
|
|
| 7.000%, 07/01/22 (D) |
|
|
650 |
|
|
|
656 |
|
| PF Chang’s China Bistro |
|
|
|
|
|
|
|
|
| 10.250%, 06/30/20 (D) |
|
|
160 |
|
|
|
159 |
|
| R&R Ice Cream |
|
|
|
|
|
|
|
|
| 8.250%, 05/15/20 |
|
|
500 |
|
|
|
440 |
|
| Reynolds Group Issuer |
|
|
|
|
|
|
|
|
| 7.875%, 08/15/19 |
|
|
1,250 |
|
|
|
1,328 |
|
| 7.125%, 04/15/19 |
|
|
1,500 |
|
|
|
1,554 |
|
| Seminole Hard Rock Entertainment |
|
|
|
|
|
|
|
|
| 5.875%, 05/15/21 (D) |
|
|
100 |
|
|
|
97 |
|
| SITEL |
|
|
|
|
|
|
|
|
| 11.000%, 08/01/17 (D) |
|
|
750 |
|
|
|
776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.4% |
|
|
|
|
|
|
|
|
| Bumble Bee Holdings |
|
|
|
|
|
|
|
|
| 9.000%, 12/15/17 (D) |
|
|
1,621 |
|
|
|
1,698 |
|
| Central Garden and Pet |
|
|
|
|
|
|
|
|
| 8.250%, 03/01/18 |
|
|
1,500 |
|
|
|
1,526 |
|
| Harbinger Group |
|
|
|
|
|
|
|
|
| 7.875%, 07/15/19 |
|
|
349 |
|
|
|
372 |
|
| KeHE Distributors |
|
|
|
|
|
|
|
|
| 7.625%, 08/15/21 (D) |
|
|
550 |
|
|
|
583 |
|
| Vector Group |
|
|
|
|
|
|
|
|
| 7.750%, 02/15/21 |
|
|
3,050 |
|
|
|
3,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 3.1% |
|
|
|
|
|
|
|
|
| Atlas Energy Holdings Operating |
|
|
|
|
|
|
|
|
| 9.250%, 08/15/21 |
|
|
1,500 |
|
|
|
1,530 |
|
| 7.750%, 01/15/21 |
|
|
389 |
|
|
|
383 |
|
| 7.750%, 01/15/21 (D) |
|
|
150 |
|
|
|
148 |
|
| Atlas Pipeline Partners |
|
|
|
|
|
|
|
|
| 6.625%, 10/01/20 |
|
|
200 |
|
|
|
204 |
|
| Bill Barrett |
|
|
|
|
|
|
|
|
| 7.625%, 10/01/19 |
|
|
250 |
|
|
|
258 |
|
| 7.000%, 10/15/22 |
|
|
600 |
|
|
|
596 |
|
| BreitBurn Energy Partners |
|
|
|
|
|
|
|
|
| 7.875%, 04/15/22 |
|
|
1,700 |
|
|
|
1,721 |
|
| Crestwood Midstream Partners |
|
|
|
|
|
|
|
|
| 7.750%, 04/01/19 |
|
|
810 |
|
|
|
848 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Endeavor Energy Resources |
|
|
|
|
|
|
|
|
| 7.000%, 08/15/21 (D) |
|
$ |
2,450 |
|
|
$ |
2,524 |
|
| Global Partners |
|
|
|
|
|
|
|
|
| 6.250%, 07/15/22 (D) |
|
|
50 |
|
|
|
50 |
|
| NGL Energy Partners |
|
|
|
|
|
|
|
|
| 6.875%, 10/15/21 (D) |
|
|
780 |
|
|
|
811 |
|
| Pacific Drilling |
|
|
|
|
|
|
|
|
| 5.375%, 06/01/20 (D) |
|
|
500 |
|
|
|
458 |
|
| Penn Virginia Resource Partners |
|
|
|
|
|
|
|
|
| 8.375%, 06/01/20 (F) |
|
|
1,024 |
|
|
|
1,116 |
|
| Regency Energy Partners |
|
|
|
|
|
|
|
|
| 8.375%, 06/01/19 (D) |
|
|
3,185 |
|
|
|
3,376 |
|
| SandRidge Energy |
|
|
|
|
|
|
|
|
| 8.125%, 10/15/22 |
|
|
300 |
|
|
|
300 |
|
| 7.500%, 03/15/21 |
|
|
500 |
|
|
|
487 |
|
| 7.500%, 02/15/23 |
|
|
200 |
|
|
|
194 |
|
| Ultra Petroleum |
|
|
|
|
|
|
|
|
| 5.750%, 12/15/18 (D) (F) |
|
|
1,120 |
|
|
|
1,126 |
|
| Ultra Resources |
|
|
|
|
|
|
|
|
| 4.510%, 10/12/20 (A) |
|
|
500 |
|
|
|
476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 8.6% |
|
|
|
|
|
|
|
|
| Bank of America (E) |
|
|
|
|
|
|
|
|
| 6.250%, 09/29/49 |
|
|
2,800 |
|
|
|
2,782 |
|
| 5.125%, 12/31/49 |
|
|
5,150 |
|
|
|
5,015 |
|
| Barclays |
|
|
|
|
|
|
|
|
| 8.250%, 12/31/99 (E) |
|
|
750 |
|
|
|
759 |
|
| Cadence Financial |
|
|
|
|
|
|
|
|
| 4.875%, 06/28/19 (D) |
|
|
1,750 |
|
|
|
1,759 |
|
| CIC Receive Master Trust |
|
|
|
|
|
|
|
|
| 4.890%, 10/07/21 (A) |
|
|
2,800 |
|
|
|
2,803 |
|
| Citigroup (E) |
|
|
|
|
|
|
|
|
| 5.950%, 12/29/49 |
|
|
1,250 |
|
|
|
1,250 |
|
| 5.350%, 05/29/49 |
|
|
1,250 |
|
|
|
1,159 |
|
| Credit Suisse Group |
|
|
|
|
|
|
|
|
| 6.250%, 12/29/49 (D) (E) |
|
|
600 |
|
|
|
579 |
|
| Customers Bank |
|
|
|
|
|
|
|
|
| 6.125%, 06/26/29 (D) (E) |
|
|
2,300 |
|
|
|
2,320 |
|
| Fifth Third Bancorp (E) |
|
|
|
|
|
|
|
|
| 5.100%, 12/31/49 |
|
|
1,630 |
|
|
|
1,536 |
|
| 4.900%, 12/29/49 |
|
|
1,200 |
|
|
|
1,174 |
|
| HSBC Holdings (E) |
|
|
|
|
|
|
|
|
| 6.375%, 12/29/49 |
|
|
1,000 |
|
|
|
999 |
|
| 5.625%, 12/29/49 |
|
|
2,850 |
|
|
|
2,830 |
|
| Jefferies Finance |
|
|
|
|
|
|
|
|
| 7.375%, 04/01/20 (D) |
|
|
1,000 |
|
|
|
1,023 |
|
| Jefferies LoanCore |
|
|
|
|
|
|
|
|
| 6.875%, 06/01/20 (D) |
|
|
300 |
|
|
|
290 |
|
| JPMorgan Chase (E) |
|
|
|
|
|
|
|
|
| 5.150%, 04/05/23 |
|
|
2,110 |
|
|
|
2,010 |
|
| 5.000%, 12/29/49 |
|
|
5,970 |
|
|
|
5,820 |
|
| Kennedy-Wilson |
|
|
|
|
|
|
|
|
| 8.750%, 04/01/19 |
|
|
2,395 |
|
|
|
2,545 |
|
|
|
|
| 206 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Nationstar Mortgage |
|
|
|
|
|
|
|
|
| 7.875%, 10/01/20 |
|
$ |
45 |
|
|
$ |
45 |
|
| 6.500%, 07/01/21 |
|
|
230 |
|
|
|
219 |
|
| Nordea Bank |
|
|
|
|
|
|
|
|
| 6.125%, 12/31/49 (D) (E) |
|
|
1,700 |
|
|
|
1,666 |
|
| 5.500%, 09/29/49 |
|
|
1,350 |
|
|
|
1,326 |
|
| Opal Acquisition |
|
|
|
|
|
|
|
|
| 8.875%, 12/15/21 (D) |
|
|
1,600 |
|
|
|
1,652 |
|
| Oxford Finance |
|
|
|
|
|
|
|
|
| 7.250%, 01/15/18 (D) |
|
|
875 |
|
|
|
906 |
|
| ProSight Global |
|
|
|
|
|
|
|
|
| 7.500%, 11/20/20 (A) |
|
|
250 |
|
|
|
256 |
|
| Schahin II Finance SPV |
|
|
|
|
|
|
|
|
| 5.875%, 09/25/22 (D) (F) |
|
|
1,799 |
|
|
|
1,704 |
|
| Skyway Concession |
|
|
|
|
|
|
|
|
| 0.613%, 06/30/26 (D) (E) |
|
|
850 |
|
|
|
680 |
|
| Wilton Re Finance |
|
|
|
|
|
|
|
|
| 5.875%, 03/30/33 (D) (E) |
|
|
1,350 |
|
|
|
1,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 0.1% |
|
|
|
|
|
|
|
|
| Symbion |
|
|
|
|
|
|
|
|
| 8.000%, 06/15/16 |
|
|
705 |
|
|
|
731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 1.1% |
|
|
|
|
|
|
|
|
| Dynagas LNG Partners |
|
|
|
|
|
|
|
|
| 6.250%, 10/30/19 |
|
|
1,150 |
|
|
|
1,150 |
|
| LMI Aerospace |
|
|
|
|
|
|
|
|
| 7.375%, 07/15/19 (D) |
|
|
200 |
|
|
|
200 |
|
| Marquette Transportation |
|
|
|
|
|
|
|
|
| 10.875%, 01/15/17 |
|
|
50 |
|
|
|
52 |
|
| Princess Juliana International Airport Operating |
|
|
|
|
|
|
|
|
| 5.500%, 12/20/27 (D) (F) |
|
|
1,036 |
|
|
|
1,036 |
|
| Quality Distribution |
|
|
|
|
|
|
|
|
| 9.875%, 11/01/18 |
|
|
1,000 |
|
|
|
1,050 |
|
| Unifrax I |
|
|
|
|
|
|
|
|
| 7.500%, 02/15/19 (D) |
|
|
200 |
|
|
|
202 |
|
| Xefin Lux SCA MTN |
|
|
|
|
|
|
|
|
| 3.913%, 06/01/19 (D) (E) |
|
|
1,850 |
|
|
|
2,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.9% |
|
|
|
|
|
|
|
|
| Avaya |
|
|
|
|
|
|
|
|
| 7.000%, 04/01/19 (D) |
|
|
1,250 |
|
|
|
1,213 |
|
| Eagle Midco |
|
|
|
|
|
|
|
|
| 9.000%, 06/15/18 (D) |
|
|
800 |
|
|
|
817 |
|
| Infor US |
|
|
|
|
|
|
|
|
| 9.375%, 04/01/19 |
|
|
2,200 |
|
|
|
2,376 |
|
| Sabre |
|
|
|
|
|
|
|
|
| 8.500%, 05/15/19 (D) |
|
|
420 |
|
|
|
449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.5% |
|
|
|
|
|
|
|
|
| Kaiser Aluminum |
|
|
|
|
|
|
|
|
| 8.250%, 06/01/20 |
|
$ |
225 |
|
|
$ |
248 |
|
| KGHM International |
|
|
|
|
|
|
|
|
| 7.750%, 06/15/19 (D) |
|
|
650 |
|
|
|
686 |
|
| TPC Group |
|
|
|
|
|
|
|
|
| 8.750%, 12/15/20 (D) |
|
|
1,695 |
|
|
|
1,801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.3% |
|
|
|
|
|
|
|
|
| AES |
|
|
|
|
|
|
|
|
| 3.234%, 06/01/19 (E) |
|
|
1,500 |
|
|
|
1,478 |
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $99,710) ($ Thousands) |
|
|
|
|
|
|
98,735 |
|
|
|
|
|
|
|
|
|
|
|
| COLLATERALIZED DEBT OBLIGATIONS — 16.5% |
|
|
|
|
| Financials — 1.8% |
|
|
|
|
|
|
|
|
| ALM VI, Ser 2012-6A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 06/14/23 |
|
|
500 |
|
|
|
445 |
|
| Commercial Industrial Finance,
Ser 2006-1BA, Cl B2L |
|
|
|
|
|
|
|
|
| 4.233%, 12/22/20 (D) (E) |
|
|
1,000 |
|
|
|
985 |
|
| Copper River CLO, Ser 2006-1A, Cl INC |
|
|
|
|
|
|
|
|
| 0.000%, 01/20/21 (D) (E) |
|
|
3,000 |
|
|
|
3,291 |
|
| Covenant Credit Partners CLO,
Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.154%, 07/20/26 |
|
|
500 |
|
|
|
487 |
|
| GSC Partners CDO Fund V,
Ser 2004-5I |
|
|
|
|
|
|
|
|
| 0.000%, 11/20/16 (E) |
|
|
100 |
|
|
|
1 |
|
| GSC Partners CDO Fund,
Ser 2004-5A |
|
|
|
|
|
|
|
|
| 0.000%, 11/20/16 (D) (E) |
|
|
1,800 |
|
|
|
11 |
|
| Marathon CLO II,
Ser 2005-2A, Cl INC |
|
|
|
|
|
|
|
|
| 0.000%, 12/20/19 (D) |
|
|
750 |
|
|
|
380 |
|
| Marathon CLO II, Ser 2005-2A, Cl C |
|
|
|
|
|
|
|
|
| 2.033%, 12/20/19 (D) (E) |
|
|
600 |
|
|
|
594 |
|
| Rockwall CDO II,
Ser 2007-1A, Cl A1LB |
|
|
|
|
|
|
|
|
| 0.790%, 08/01/24 (D) (E) |
|
|
3,400 |
|
|
|
3,031 |
|
| Rockwall CDO, Ser 2006-1A, Cl A2L |
|
|
|
|
|
|
|
|
| 0.890%, 08/01/21 (D) (E) |
|
|
200 |
|
|
|
184 |
|
| WhiteHorse II |
|
|
|
|
|
|
|
|
| 0.000%, 06/15/17 (D) (E) |
|
|
11 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,425 |
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 14.7% |
|
| ACA CLO, Ser 2007-1A, Cl C |
|
|
|
|
|
|
|
|
| 1.184%, 06/15/22 (D) (E) |
|
|
1,650 |
|
|
|
1,584 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
207 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| ACIS CLO, Ser 2013-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.734%, 04/18/24 (D) (E) |
|
$ |
800 |
|
|
$ |
799 |
|
| ACIS CLO, Ser 2013-2A, Cl D |
|
|
|
|
|
|
|
|
| 4.084%, 10/14/22 (D) (E) |
|
|
1,100 |
|
|
|
1,098 |
|
| ALM XIV, Ser 2014-14A, Cl B |
|
|
|
|
|
|
|
|
| 3.184%, 07/28/26 (D) (E) |
|
|
1,000 |
|
|
|
984 |
|
| ALM XIV, Ser 2014-14A, Cl C |
|
|
|
|
|
|
|
|
| 3.684%, 07/28/26 (D) (E) |
|
|
1,250 |
|
|
|
1,180 |
|
| AMMC CDO, Ser 2012-11A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 10/30/23 (D) |
|
|
2,100 |
|
|
|
1,585 |
|
| AMMC CLO XIV,
Ser 2014-14A, Cl A3L |
|
|
|
|
|
|
|
|
| 3.148%, 07/27/26 (D) (E) |
|
|
1,000 |
|
|
|
961 |
|
| Ares XXV CLO, Ser 2012-3A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 01/17/24 (D) |
|
|
750 |
|
|
|
574 |
|
| Ares XXVI CLO,
Ser 2013-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 04/15/25 (D) |
|
|
1,500 |
|
|
|
1,132 |
|
| Atlas Senior Loan Fund,
Ser 2013-2A, Cl A3L |
|
|
|
|
|
|
|
|
| 2.934%, 02/17/26 |
|
|
1,350 |
|
|
|
1,291 |
|
| Atlas Senior Loan Fund II,
Ser 2012-2A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 01/30/24 (D) |
|
|
950 |
|
|
|
893 |
|
| Babson CLO, Ser 2014-IA, Cl SUB |
|
|
|
|
|
|
|
|
| 0.787%, 07/20/25 (D) |
|
|
2,400 |
|
|
|
2,185 |
|
| Battalion CLO, Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.384%, 07/14/22 (D) (E) |
|
|
1,900 |
|
|
|
1,846 |
|
| Black Diamond CLO Delaware,
Ser 2005-2A, Cl D |
|
|
|
|
|
|
|
|
| 2.032%, 01/07/18 (D) (E) |
|
|
1,800 |
|
|
|
1,735 |
|
| Black Diamond CLO Luxembourg,
Ser 2007-1A, Cl C |
|
|
|
|
|
|
|
|
| 0.924%, 04/29/19 (D) (E) |
|
|
1,100 |
|
|
|
1,040 |
|
| BlackRock Senior Income,
Ser 2004-1A, Cl BSIS |
|
|
|
|
|
|
|
|
| 0.000%, 09/15/16 (A) (D) |
|
|
950 |
|
|
|
— |
|
| Callidus Debt Partners CLO Fund VI,
Ser 2007-6A, Cl B |
|
|
|
|
|
|
|
|
| 1.483%, 10/23/21 (D) (E) |
|
|
500 |
|
|
|
475 |
|
| Carlyle Global Market Strategies CLO,
Ser 2012-3A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 10/14/24 (D) |
|
|
750 |
|
|
|
700 |
|
| Cedarwoods CRE CDO,
Ser 2006-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.425%, 07/25/51 (D) |
|
|
3,022 |
|
|
|
2,587 |
|
| Cerberus Offshore Levered I CLO,
Ser 2012-1A, Cl C |
|
|
|
|
|
|
|
|
| 6.234%, 11/30/18 (D) (E) |
|
|
300 |
|
|
|
300 |
|
| Cerberus Onshore II CLO,
Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.234%, 10/15/23 (D) (E) |
|
|
250 |
|
|
|
236 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Cerberus Onshore II CLO,
Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.734%, 10/15/23 (D) (E) |
|
$ |
250 |
|
|
$ |
243 |
|
| Copper River CLO,
Ser 2006-1A, Cl D |
|
|
|
|
|
|
|
|
| 1.734%, 01/20/21 (D) (E) |
|
|
1,000 |
|
|
|
914 |
|
| Copper River CLO,
Ser 2007-1A, Cl C |
|
|
|
|
|
|
|
|
| 1.034%, 01/20/21 (D) (E) |
|
|
1,000 |
|
|
|
947 |
|
| DIVCORE CLO, Ser 2013-1A, Cl B |
|
|
|
|
|
|
|
|
| 4.052%, 11/15/32 (A) |
|
|
750 |
|
|
|
750 |
|
| Diversified Asset Securitization Holdings II,
Ser 2000-1A, Cl A1L |
|
|
|
|
|
|
|
|
| 0.724%, 09/15/35 (D) (E) |
|
|
208 |
|
|
|
203 |
|
| Finn Square CLO,
Ser 2012-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 12/24/23 (D) |
|
|
1,000 |
|
|
|
842 |
|
| Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl C |
|
|
|
|
|
|
|
|
| 3.478%, 04/28/26 (D) (E) |
|
|
2,500 |
|
|
|
2,483 |
|
| Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl C |
|
|
|
|
|
|
|
|
| 3.784%, 10/15/26 (D) (E) |
|
|
2,250 |
|
|
|
2,206 |
|
| Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl D |
|
|
|
|
|
|
|
|
| 4.734%, 10/15/26 (D) (E) |
|
|
1,000 |
|
|
|
978 |
|
| Garrison Funding CLO,
Ser 2013-2A, Cl B |
|
|
|
|
|
|
|
|
| 4.882%, 09/25/23 (D) (E) |
|
|
250 |
|
|
|
248 |
|
| Global Leveraged Capital Credit Opportunity Fund,
Ser 2006-1A, Cl C |
|
|
|
|
|
|
|
|
| 1.234%, 12/20/18 (D) (E) |
|
|
1,550 |
|
|
|
1,522 |
|
| Golub Capital Partners CLO,
Ser 2014-18A, Cl C |
|
|
|
|
|
|
|
|
| 3.734%, 04/25/26 (D) (E) |
|
|
600 |
|
|
|
596 |
|
| Golub Capital Partners CLO,
Ser 2014-18A, Cl D |
|
|
|
|
|
|
|
|
| 4.234%, 04/25/26 (D) (E) |
|
|
300 |
|
|
|
289 |
|
| Gramercy Real Estate CDO,
Ser 2007-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.514%, 08/15/56 (D) (E) |
|
|
3,654 |
|
|
|
3,220 |
|
| Grayson CLO, Ser 2006-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.650%, 11/01/21 (D) (E) (F) |
|
|
700 |
|
|
|
658 |
|
| Great Lakes CLO,
Ser 2012-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 0.000%, 01/15/23 (D) |
|
|
1,000 |
|
|
|
840 |
|
| Great Lakes CLO,
Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.934%, 04/15/25 (D) (E) |
|
|
2,500 |
|
|
|
2,486 |
|
| Great Lakes CLO,
Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.434%, 04/15/25 (D) (E) |
|
|
500 |
|
|
|
478 |
|
|
|
|
| 208 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Halcyon Structured Asset Management Long Secured / Short Unsecured CLO,
Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.537%, 08/07/21 (D) (E) |
|
$ |
1,350 |
|
|
$ |
1,336 |
|
| Highland Park CDO I,
Ser 2006-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.565%, 11/25/51 (D) (E) (F) |
|
|
1,582 |
|
|
|
1,509 |
|
| Ivy Hill Middle Market Credit Fund CLO, Ser 2011-3A, Cl E |
|
|
|
|
|
|
|
|
| 6.734%, 01/15/22 (D) (E) |
|
|
250 |
|
|
|
250 |
|
| Kingsland CLO III,
Ser 2006-3A, Cl C1 |
|
|
|
|
|
|
|
|
| 1.835%, 08/24/21 (D) (E) |
|
|
1,350 |
|
|
|
1,270 |
|
| KKR Financial CLO,
Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.484%, 05/15/21 (D) (E) |
|
|
2,600 |
|
|
|
2,600 |
|
| KVK CLO, Ser 2014-1A, Cl C |
|
|
|
|
|
|
|
|
| 3.133%, 05/15/26 (D) (E) |
|
|
1,000 |
|
|
|
966 |
|
| KVK CLO, Ser 2014-2A, Cl C |
|
|
|
|
|
|
|
|
| 3.253%, 07/15/26 (D) (E) |
|
|
1,000 |
|
|
|
973 |
|
| Liberty CLO, Ser 2005-1A, Cl A3 |
|
|
|
|
|
|
|
|
| 0.740%, 11/01/17 (D) (E) |
|
|
1,600 |
|
|
|
1,575 |
|
| MCF CLO III, Ser 2013-3A, Cl D |
|
|
|
|
|
|
|
|
| 3.462%, 01/20/24 (E) |
|
|
250 |
|
|
|
226 |
|
| Neuberger Berman CLO,
Ser 2012-12AR, Cl CR |
|
|
|
|
|
|
|
|
| 3.334%, 07/25/23 |
|
|
2,000 |
|
|
|
1,993 |
|
| NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1 |
|
|
|
|
|
|
|
|
| 3.530%, 07/25/25 (D) (E) |
|
|
1,000 |
|
|
|
975 |
|
| NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.480%, 07/25/25 (D) (E) |
|
|
750 |
|
|
|
718 |
|
| Newstar Commercial Loan Funding, Ser 2013-1A, Cl D |
|
|
|
|
|
|
|
|
| 4.783%, 09/20/23 (D) (E) |
|
|
600 |
|
|
|
589 |
|
| Newstar Commercial Loan Funding, Ser 2013-1A, Cl E |
|
|
|
|
|
|
|
|
| 5.533%, 09/20/23 (D) (E) |
|
|
250 |
|
|
|
249 |
|
| Newstar Commercial Loan Trust,
Ser 2007-1A, Cl C |
|
|
|
|
|
|
|
|
| 1.534%, 09/30/22 (D) (E) |
|
|
500 |
|
|
|
472 |
|
| Newstar Trust, Ser 2012-2A, Cl D |
|
|
|
|
|
|
|
|
| 6.484%, 01/20/23 (D) (E) |
|
|
500 |
|
|
|
509 |
|
| Northwoods Capital VII CLO,
Ser 2006-7A, Cl D |
|
|
|
|
|
|
|
|
| 1.782%, 10/22/21 (D) (E) |
|
|
700 |
|
|
|
681 |
|
| Northwoods Capital VII CDO,
Ser 2006-7A, Cl E |
|
|
|
|
|
|
|
|
| 3.732%, 10/22/21 (D) (E) |
|
|
300 |
|
|
|
300 |
|
| NStar CDO VIII,
Ser 2006-8A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.476%, 02/01/41 |
|
|
2,248 |
|
|
|
2,156 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Octagon Loan Funding,
Ser 2014-1A, Cl SUB |
|
|
|
|
|
|
|
|
| 1.121%, 11/18/26 (A) (D) |
|
$ |
1,000 |
|
|
$ |
872 |
|
| Palmer Square CLO,
Ser 2014-1A, Cl B |
|
|
|
|
|
|
|
|
| 2.775%, 10/17/22 (D) (E) |
|
|
1,000 |
|
|
|
977 |
|
| Putnam Structured Product Funding CDO,
Ser 2002-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 0.834%, 01/10/38 |
|
|
1,090 |
|
|
|
1,002 |
|
| Race Point CLO, Ser 2007-4A, Cl D |
|
|
|
|
|
|
|
|
| 2.240%, 08/01/21 (D) (E) |
|
|
750 |
|
|
|
740 |
|
| Race Point CLO,
Ser 2011-5AR, Cl DR |
|
|
|
|
|
|
|
|
| 3.984%, 12/15/22 |
|
|
1,600 |
|
|
|
1,596 |
|
| RAIT CRE CDO I,
Ser 2006-1X, Cl A1B |
|
|
|
|
|
|
|
|
| 0.484%, 11/20/46 (E) |
|
|
2,344 |
|
|
|
2,106 |
|
| Rockwall CDO,
Ser 2006-1A, Cl A1LB |
|
|
|
|
|
|
|
|
| 0.740%, 08/01/21 (D) (E) |
|
|
1,700 |
|
|
|
1,619 |
|
| Salus CLO, Ser 2012-1AN, Cl DN |
|
|
|
|
|
|
|
|
| 6.977%, 03/05/21 |
|
|
250 |
|
|
|
247 |
|
| T2 Income Fund CLO,
Ser 2007-1A, Cl C |
|
|
|
|
|
|
|
|
| 1.734%, 07/15/19 (D) (E) |
|
|
250 |
|
|
|
248 |
|
| T2 Income Fund CLO,
Ser 2007-1A, Cl D |
|
|
|
|
|
|
|
|
| 2.984%, 07/15/19 (D) (E) |
|
|
350 |
|
|
|
344 |
|
| TCW Global Project Fund II,
Ser 2004-1A, Cl A2A |
|
|
|
|
|
|
|
|
| 1.584%, 06/15/16 (A) (D) (E) |
|
|
596 |
|
|
|
592 |
|
| TCW Global Project Fund III,
Ser 2005-1A, Cl A1 |
|
|
|
|
|
|
|
|
| 0.884%, 09/01/17 (A) (D) (E) |
|
|
1,250 |
|
|
|
1,203 |
|
| TCW Global Project Fund III,
Ser 2005-1A, Cl A2 |
|
|
|
|
|
|
|
|
| 1.084%, 09/01/17 (A) (D) (E) |
|
|
500 |
|
|
|
429 |
|
| Telos CLO, Ser 2013-3A, Cl D |
|
|
|
|
|
|
|
|
| 4.483%, 01/17/24 (D) (E) |
|
|
1,050 |
|
|
|
1,021 |
|
| Tricadia CDO,
Ser 2006-6A, Cl A1LB |
|
|
|
|
|
|
|
|
| 0.788%, 11/05/41 (D) (E) |
|
|
1,535 |
|
|
|
1,452 |
|
| Tricadia CDO, Ser 2006-6A, Cl A2L |
|
|
|
|
|
|
|
|
| 0.988%, 11/05/41 (D) (E) |
|
|
550 |
|
|
|
505 |
|
| West Coast Funding,
Ser 2006-1A, Cl A1A |
|
|
|
|
|
|
|
|
| 0.377%, 11/02/41 (D) (E) (F) |
|
|
1,936 |
|
|
|
1,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,288 |
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations (Cost $88,651) ($ Thousands) |
|
|
|
|
|
|
88,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
209 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 11.7% |
|
|
| Non-Agency Mortgage-Backed Obligations — 11.7% |
|
| Alliance Bancorp Trust,
Ser 2007-OA1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.395%, 07/25/37 (E) |
|
$ |
1,300 |
|
|
$ |
898 |
|
| American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A |
|
|
|
|
|
|
|
|
| 0.345%, 12/25/46 (E) |
|
|
2,467 |
|
|
|
1,729 |
|
| American Home Mortgage Assets Trust, Ser 2007-1, Cl A1 |
|
|
|
|
|
|
|
|
| 0.817%, 02/25/47 (E) |
|
|
5,761 |
|
|
|
3,634 |
|
| American Home Mortgage Investment Trust,
Ser 2006-1, Cl 12A1 |
|
|
|
|
|
|
|
|
| 0.355%, 03/25/46 (E) |
|
|
1,848 |
|
|
|
1,569 |
|
| BAMLL Commercial Mortgage Securities Trust,
Ser 2014-ICTS, Cl E |
|
|
|
|
|
|
|
|
| 3.104%, 06/15/28 (D) (E) |
|
|
1,000 |
|
|
|
999 |
|
| Chase Mortgage Finance,
Ser 2006-S3, Cl 1A2 |
|
|
|
|
|
|
|
|
| 6.000%, 11/25/36 |
|
|
1,517 |
|
|
|
1,301 |
|
| Commercial Mortgage Pass-Through Certificates, Ser 2014-KYO, Cl E |
|
|
|
|
|
|
|
|
| 2.504%, 06/11/27 (D) (E) |
|
|
3,750 |
|
|
|
3,751 |
|
| First Horizon Alternative Mortgage Securities Trust,
Ser 2006-FA1, Cl 1A3 |
|
|
|
|
|
|
|
|
| 5.750%, 04/25/36 |
|
|
2,082 |
|
|
|
1,764 |
|
| GE Business Loan Trust,
Ser 2007-1, Cl C |
|
|
|
|
|
|
|
|
| 0.604%, 04/16/35 (D) (E) |
|
|
2,288 |
|
|
|
2,065 |
|
| GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A |
|
|
|
|
|
|
|
|
| 0.445%, 02/25/36 (E) |
|
|
783 |
|
|
|
657 |
|
| GreenPoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A |
|
|
|
|
|
|
|
|
| 0.235%, 02/25/47 (E) |
|
|
2,556 |
|
|
|
2,366 |
|
| HarborView Mortgage Loan Trust,
Ser 2006-12, Cl 2A2A |
|
|
|
|
|
|
|
|
| 0.343%, 01/19/38 (E) |
|
|
4,026 |
|
|
|
3,437 |
|
| Hilton USA Trust,
Ser 2013-HLT, Cl EFX |
|
|
|
|
|
|
|
|
| 5.609%, 11/05/30 (D) (E) |
|
|
1,600 |
|
|
|
1,625 |
|
| Lehman XS Trust,
Ser 2006-16N, Cl A4A |
|
|
|
|
|
|
|
|
| 0.345%, 11/25/46 (E) |
|
|
4,088 |
|
|
|
3,402 |
|
| LSTAR Securities Investment Trust, Ser 2014-1 |
|
|
|
|
|
|
|
|
| 3.254%, 09/01/21 (D) (E) |
|
|
5,800 |
|
|
|
5,800 |
|
| Luminent Mortgage Trust,
Ser 2006-2, Cl A1A |
|
|
|
|
|
|
|
|
| 0.355%, 02/25/46 (E) |
|
|
5,189 |
|
|
|
3,847 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Morgan Stanley Re-REMIC Trust,
Ser 2010-R5, Cl 4B |
|
|
|
|
|
|
|
|
| 0.544%, 06/26/36 (D) (E) |
|
$ |
1,114 |
|
|
$ |
837 |
|
| Nomura Resecuritization Trust,
Ser 2012-1R, Cl A |
|
|
|
|
|
|
|
|
| 0.595%, 08/27/47 (D) (E) |
|
|
4,364 |
|
|
|
4,037 |
|
| Residential Asset Securitization Trust,
Ser 2006-A12, Cl A1 |
|
|
|
|
|
|
|
|
| 6.250%, 11/25/36 |
|
|
3,561 |
|
|
|
2,687 |
|
| Residential Asset Securitization Trust,
Ser 2007-A1, Cl A9 |
|
|
|
|
|
|
|
|
| 5.750%, 03/25/37 |
|
|
369 |
|
|
|
277 |
|
| Resource Capital CDO,
Ser 2013-CRE1, Cl C |
|
|
|
|
|
|
|
|
| 3.654%, 12/15/28 (D) (E) |
|
|
400 |
|
|
|
404 |
|
| SRERS Funding,
Ser 2011-RS, Cl A1B1 |
|
|
|
|
|
|
|
|
| 0.406%, 05/09/46 (D) (E) |
|
|
2,456 |
|
|
|
2,339 |
|
| Structured Asset Mortgage Investments II Trust,
Ser 2006-AR1, Cl 2A1 |
|
|
|
|
|
|
|
|
| 0.385%, 02/25/36 (E) |
|
|
2,002 |
|
|
|
1,713 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2005-8, Cl 3CB1 |
|
|
|
|
|
|
|
|
| 6.000%, 10/25/35 |
|
|
254 |
|
|
|
192 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2006-7, Cl A5 |
|
|
|
|
|
|
|
|
| 6.422%, 09/25/36 |
|
|
4,260 |
|
|
|
2,507 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2006-8, Cl A6 |
|
|
|
|
|
|
|
|
| 5.768%, 10/25/36 |
|
|
1,443 |
|
|
|
1,026 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2006-AR9, Cl 2A |
|
|
|
|
|
|
|
|
| 0.955%, 11/25/46 (E) |
|
|
8,466 |
|
|
|
6,005 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2007-5, Cl A6 |
|
|
|
|
|
|
|
|
| 6.000%, 06/25/37 |
|
|
335 |
|
|
|
287 |
|
| Washington Mutual Mortgage Pass-Through Certificates,
Ser 2007-OA4, Cl A1A |
|
|
|
|
|
|
|
|
| 0.878%, 04/25/47 |
|
|
896 |
|
|
|
680 |
|
| Wells Fargo Alternative Loan Trust,
Ser 2007-PA3, Cl 3A1 |
|
|
|
|
|
|
|
|
| 6.250%, 07/25/37 |
|
|
1,636 |
|
|
|
1,491 |
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $63,189) ($ Thousands) |
|
|
|
|
|
|
63,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 210 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — 2.9% |
|
| iShares MSCI Italy Capped ETF |
|
|
338,500 |
|
|
$ |
5,311 |
|
| iShares MSCI Spain Capped ETF |
|
|
131,900 |
|
|
|
5,131 |
|
| SPDR EURO STOXX 50 ETF |
|
|
130,600 |
|
|
|
5,185 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $16,015) ($ Thousands) |
|
|
|
|
|
|
15,627 |
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 2.2% |
|
| Alm Loan Funding |
|
|
392 |
|
|
|
349 |
|
| Aspen Insurance Holdings (E) |
|
|
80,000 |
|
|
|
1,998 |
|
| Goldman Sachs Group, |
|
|
|
|
|
|
|
|
| 5.510% (E) |
|
|
94,000 |
|
|
|
2,240 |
|
| Morgan Stanley, |
|
|
|
|
|
|
|
|
| 7.125% (E) |
|
|
73,000 |
|
|
|
1,839 |
|
| Seaspan |
|
|
216,000 |
|
|
|
5,527 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $11,885) ($ Thousands) |
|
|
|
|
|
|
11,953 |
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 1.3% |
|
| City of Detroit, GO |
|
|
|
|
|
|
|
|
| 3.500%, 10/07/16 (E) |
|
$ |
6,000 |
|
|
|
6,000 |
|
| Puerto Rico, Highways & Transportation Authority, RB,
NATL-RE-IBC |
|
|
|
|
|
|
|
|
| 5.500%, 07/01/28 |
|
|
1,150 |
|
|
|
1,205 |
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $7,116) ($ Thousands) |
|
|
|
|
|
|
7,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 0.2% |
|
|
|
|
|
|
|
|
| Cengage Learning Holdings II* |
|
|
5,114 |
|
|
|
159 |
|
| Mirabela Nickel* |
|
|
597,236 |
|
|
|
35 |
|
| Travelport Worldwide* |
|
|
67,628 |
|
|
|
1,113 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,497) ($ Thousands) |
|
|
|
|
|
|
1,307 |
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 0.1% |
|
| El Salvador Government International Bond |
|
|
|
|
|
|
|
|
| 6.375%, 01/18/27 (D) (F) |
|
|
750 |
|
|
|
750 |
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt
(Cost $750) ($ Thousands) |
|
|
|
|
|
|
750 |
|
|
|
|
|
|
|
|
|
|
|
| CONVERTIBLE BOND — 0.0% |
|
| Mirabela Nickel |
|
|
|
|
|
|
|
|
| 9.500%, 06/20/19 (A) (D) |
|
|
139 |
|
|
|
139 |
|
|
|
|
|
|
|
|
|
|
| Total Convertible Bond
(Cost $140) ($ Thousands) |
|
|
|
|
|
|
139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| TIME DEPOSIT — 5.2% |
|
| Brown Brothers Harriman |
|
|
|
|
|
|
|
|
| 0.030%, 10/01/14 |
|
$ |
28,261 |
|
|
$ |
28,261 |
|
|
|
|
|
|
|
|
|
|
| Total Time Deposit
(Cost $28,261) ($ Thousands) |
|
|
|
|
|
|
28,261 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.7%
(Cost $545,400) ($ Thousands) |
|
|
|
|
|
$ |
543,524 |
|
|
|
|
|
|
|
|
|
|
A list of the open forward foreign currency contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| 10/7/14 |
|
|
AUD |
|
|
|
570 |
|
|
|
USD |
|
|
|
531 |
|
|
$ |
33 |
|
| 10/7/14 |
|
|
GBP |
|
|
|
2,000 |
|
|
|
USD |
|
|
|
3,289 |
|
|
|
47 |
|
| 10/7/14-12/1/14 |
|
|
EUR |
|
|
|
11,910 |
|
|
|
USD |
|
|
|
15,574 |
|
|
|
526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30,
2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
to Deliver
($ Thousands) |
|
|
Currency
to Receive
($ Thousands) |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| Barclays PLC |
|
|
(18,789 |
) |
|
|
19,395 |
|
|
$ |
606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all forward foreign currency contracts, as presented in the
table above, are representative of the volume of activity for this derivative type during the year.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
211 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Concluded)
September 30, 2014
A
list of open centrally cleared swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Currency |
|
|
Notional Amount
(Thousands) |
|
Net Unrealized
Depreciation
($ Thousands) |
|
| Bank of America |
|
2.70% |
|
3 Month USD - LIBOR |
|
07/18/23 |
|
|
|
|
|
600 |
|
$ |
(16 |
) |
| Bank of America |
|
1.56% |
|
3 Month USD - LIBOR |
|
07/03/18 |
|
|
|
|
|
7,150 |
|
|
(57 |
) |
| Bank of America |
|
1.89% |
|
6 Month EURIBOR |
|
08/24/25 |
|
|
EUR |
|
|
16,400 |
|
|
(62 |
) |
| Bank of America |
|
1.42% |
|
6 Month EURIBOR |
|
08/24/25 |
|
|
EUR |
|
|
11,515 |
|
|
(104 |
) |
| Bank of America |
|
3.13% |
|
3 Month USD - LIBOR |
|
06/08/25 |
|
|
|
|
|
17,400 |
|
|
359 |
|
| Bank of America |
|
1.89% |
|
6 Month EURIBOR |
|
06/08/25 |
|
|
EUR |
|
|
12,100 |
|
|
(876 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(756 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of open OTC swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return Swaps |
|
| Counterparty |
|
Reference
Entity/
Obligation |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
($ Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Bank of America |
|
S15EDSV Index |
|
Index Return |
|
1-Month USD LIBOR Plus 33 Bps |
|
10/10/14 |
|
|
(3,031 |
) |
|
$ |
(204 |
) |
| Bank of America |
|
S15EDSV Index |
|
Index Return |
|
1-Month USD LIBOR Plus 33 Bps |
|
10/10/14 |
|
|
(4,085 |
) |
|
|
(307 |
) |
| Bank of America |
|
S5HOME Index |
|
Index Return |
|
1-Month USD LIBOR Plus 35 Bps |
|
10/10/14 |
|
|
(1,278 |
) |
|
|
(145 |
) |
| Bank of America |
|
S15EDSV Index |
|
Index Return |
|
1-Month USD LIBOR Plus 33 Bps |
|
10/10/14 |
|
|
(7,709 |
) |
|
|
(353 |
) |
| Bank of America |
|
S5HOME Index |
|
Index Return |
|
1-Month USD LIBOR Plus 35 Bps |
|
10/11/14 |
|
|
(11,112 |
) |
|
|
(1,201 |
) |
| Bank of America |
|
S5HOME Index |
|
Index Return |
|
1-Month USD LIBOR Plus 33 Bps |
|
12/20/14 |
|
|
(1,398 |
) |
|
|
(84 |
) |
| Bank of America |
|
U.S. Dollar Index |
|
Negative Price Return |
|
Positive Price Return |
|
10/17/14 |
|
|
10,584 |
|
|
|
112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,182 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on a Net Assets of $539,504 ($ Thousands).
| * |
|
Non-income producing security. |
| (A) |
|
Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of
September 30, 2014 was $29,384 ($ Thousands) and represented 5.4% of Net Assets. |
| (B) |
|
Unfunded bank loan. Interest rate not available. |
| (C) |
|
Unsettled bank loan. Interest rate not available. |
| (D) |
|
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. |
| (E) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2014. The date reported on the Schedule of
Investments is the next reset date. |
| (F) |
|
Security, or a portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
AUD — Australian Dollar
CBO —
Collateralized Bond Obligation
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
ETF — Exchange Traded Fund
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
GBP — British Pound
GO — General Obligation
IBC — Insured Bond Certificate
LIBOR
— London Interbank Offered Rate
LLC — Limited Liability Company
MSCI — Morgan Stanley Capital International
NATL-RE — National Public Finance Guarantee
Corporation
OTC — Over The Counter
PLC — Public Limited Company
REIT — Real
Estate Investment Trust
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
SPDR — Standard &
Poor’s Depositary Receipt
SPV — Special Purpose Vehicle
USD — U.S. Dollar
The following is a list of the level of inputs used as of September 30,
2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level
3(1) |
|
|
Total |
|
| Loan Participations |
|
$ |
— |
|
|
$ |
110,902 |
|
|
$ |
10,354 |
|
|
$ |
121,256 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
94,742 |
|
|
|
11,510 |
|
|
|
106,252 |
|
| Corporate Obligations |
|
|
— |
|
|
|
95,200 |
|
|
|
3,535 |
|
|
|
98,735 |
|
| Collateralized Debt Obligations |
|
|
— |
|
|
|
79,224 |
|
|
|
9,489 |
|
|
|
88,713 |
|
| Mortgage-Backed Securities |
|
|
— |
|
|
|
59,289 |
|
|
|
4,037 |
|
|
|
63,326 |
|
| Exchange Traded Funds |
|
|
15,627 |
|
|
|
— |
|
|
|
— |
|
|
|
15,627 |
|
| Preferred Stock |
|
|
4,473 |
|
|
|
7,480 |
|
|
|
— |
|
|
|
11,953 |
|
| Municipal Bonds |
|
|
— |
|
|
|
7,205 |
|
|
|
— |
|
|
|
7,205 |
|
| Common Stock |
|
|
1,148 |
|
|
|
— |
|
|
|
159 |
|
|
|
1,307 |
|
| Sovereign Debt |
|
|
— |
|
|
|
750 |
|
|
|
— |
|
|
|
750 |
|
| Convertible Bond |
|
|
— |
|
|
|
— |
|
|
|
139 |
|
|
|
139 |
|
| Time Deposit |
|
|
— |
|
|
|
28,261 |
|
|
|
— |
|
|
|
28,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
21,248 |
|
|
$ |
483,053 |
|
|
$ |
39,223 |
|
|
$ |
543,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
— |
|
|
$ |
606 |
|
|
$ |
— |
|
|
$ |
606 |
|
| Centrally Cleared Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
359 |
|
|
|
— |
|
|
|
359 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(1,115 |
) |
|
|
— |
|
|
|
(1,115 |
) |
| OTC Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
112 |
|
|
|
— |
|
|
|
112 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(2,294 |
) |
|
|
— |
|
|
|
(2,294 |
) |
| Reverse Repurchase |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agreements** |
|
|
(4,019 |
) |
|
|
— |
|
|
|
— |
|
|
|
(4,019 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(4,019 |
) |
|
$ |
(2,332 |
) |
|
$ |
— |
|
|
$ |
(6,351 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Swaps are valued at the unrealized depreciation on the instrument. |
| ** |
|
See Note 2 for more information on the reverse repurchase agreements. |
| (1) |
|
Please see Note 2 for details on the unobservable inputs and the interrelationships and sensitivity between these inputs for those Level 3 securities that are not valued
by third party pricing vendors or broker quotes. |
|
|
|
| 212 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Loan Participations |
|
|
Asset-Backed
Securities |
|
|
Corporate
Obligations |
|
|
Collateralized
Debt Obligations |
|
|
Mortgage-Backed
Securities |
|
|
Common
Stock |
|
|
Convertible Bond |
|
| Beginning balance as of October 1, 2013 |
|
$ |
1,003 |
|
|
$ |
3,894 |
|
|
$ |
— |
|
|
$ |
29,056 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
91 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Realized gain/(loss) |
|
|
3 |
|
|
|
1,837 |
|
|
|
— |
|
|
|
143 |
|
|
|
— |
|
|
|
— |
|
|
|
68 |
|
| Change in unrealized appreciation/(depreciation) |
|
|
20 |
|
|
|
66 |
|
|
|
13 |
|
|
|
(200 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1 |
) |
| Purchases |
|
|
9,589 |
|
|
|
— |
|
|
|
3,520 |
|
|
|
4,802 |
|
|
|
— |
|
|
|
— |
|
|
|
72 |
|
| Sales |
|
|
(876 |
) |
|
|
(420 |
) |
|
|
— |
|
|
|
(1,768 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Transfer into Level 3 |
|
|
815 |
|
|
|
7,680 |
|
|
|
— |
|
|
|
— |
|
|
|
4,037 |
|
|
|
159 |
|
|
|
— |
|
| Transfer out of Level 3 |
|
|
(200 |
) |
|
|
(1,547 |
) |
|
|
— |
|
|
|
(22,635 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ending balance as of September 30, 2014 |
|
$ |
10,354 |
|
|
$ |
11,510 |
|
|
$ |
3,535 |
|
|
$ |
9,489 |
|
|
$ |
4,037 |
|
|
$ |
159 |
|
|
$ |
139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Changes in unrealized gains (losses) included in earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Related to securities held at reporting date |
|
$ |
23 |
|
|
$ |
53 |
|
|
$ |
7 |
|
|
$ |
(698 |
) |
|
$ |
101 |
|
|
$ |
53 |
|
|
$ |
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there have
been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there have been no transfers
between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies
in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
213 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK — 29.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 0.3% |
|
|
|
|
|
|
|
|
|
|
| Cablevision Systems, Cl A |
|
|
|
|
95,500 |
|
|
$ |
1,672 |
|
| Thomson Reuters |
|
|
|
|
38,000 |
|
|
|
1,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 4.9% |
|
|
|
|
|
|
|
|
|
|
| Andersons |
|
|
|
|
6,100 |
|
|
|
384 |
|
| Archer-Daniels-Midland |
|
|
|
|
4,000 |
|
|
|
204 |
|
| Cal-Maine Foods |
|
|
|
|
11,000 |
|
|
|
982 |
|
| Coca-Cola |
|
|
|
|
19,800 |
|
|
|
845 |
|
| Costco Wholesale |
|
|
|
|
23,200 |
|
|
|
2,907 |
|
| CVS Health |
|
|
|
|
53,400 |
|
|
|
4,250 |
|
| Dr Pepper Snapple Group |
|
|
|
|
70,300 |
|
|
|
4,521 |
|
| Kimberly-Clark |
|
|
|
|
39,400 |
|
|
|
4,238 |
|
| Kroger |
|
|
|
|
3,400 |
|
|
|
177 |
|
| Lorillard |
|
|
|
|
69,100 |
|
|
|
4,140 |
|
| Molson Coors Brewing, Cl B |
|
|
|
|
11,400 |
|
|
|
849 |
|
| Monster Beverage* |
|
|
|
|
18,200 |
|
|
|
1,668 |
|
| Omega Protein* |
|
|
|
|
12,800 |
|
|
|
160 |
|
| Pantry* |
|
|
|
|
1,500 |
|
|
|
30 |
|
| PepsiCo |
|
|
|
|
29,100 |
|
|
|
2,709 |
|
| Philip Morris International |
|
|
|
|
600 |
|
|
|
50 |
|
| Pilgrim’s Pride* |
|
|
|
|
97,700 |
|
|
|
2,986 |
|
| Procter & Gamble |
|
|
|
|
37,900 |
|
|
|
3,174 |
|
| Sanderson Farms |
|
|
|
|
63,400 |
|
|
|
5,576 |
|
| Tyson Foods, Cl A |
|
|
|
|
130,700 |
|
|
|
5,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 6.4% |
|
|
|
|
|
|
|
|
|
|
| Basic Energy Services* |
|
|
|
|
42,700 |
|
|
|
926 |
|
| Cameron International* |
|
|
|
|
57,300 |
|
|
|
3,804 |
|
| Chevron |
|
|
|
|
21,490 |
|
|
|
2,564 |
|
| Cimarex Energy |
|
|
|
|
11,190 |
|
|
|
1,416 |
|
| ConocoPhillips |
|
|
|
|
93,510 |
|
|
|
7,155 |
|
| EOG Resources |
|
|
|
|
58,060 |
|
|
|
5,749 |
|
| Exxon Mobil |
|
|
|
|
92,130 |
|
|
|
8,665 |
|
| Halliburton |
|
|
|
|
8,990 |
|
|
|
580 |
|
| Helmerich & Payne |
|
|
|
|
3,400 |
|
|
|
333 |
|
| Hess |
|
|
|
|
30,120 |
|
|
|
2,841 |
|
| Kosmos Energy* |
|
|
|
|
73,700 |
|
|
|
734 |
|
| Matrix Service* |
|
|
|
|
4,400 |
|
|
|
106 |
|
| Murphy Oil |
|
|
|
|
7,300 |
|
|
|
415 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Nabors Industries |
|
|
|
|
209,920 |
|
|
$ |
4,778 |
|
| Occidental Petroleum |
|
|
|
|
4,240 |
|
|
|
408 |
|
| Patterson-UTI Energy |
|
|
|
|
64,900 |
|
|
|
2,111 |
|
| Pioneer Energy Services* |
|
|
|
|
88,000 |
|
|
|
1,234 |
|
| RPC |
|
|
|
|
29,800 |
|
|
|
654 |
|
| Schlumberger, Cl A |
|
|
|
|
1,170 |
|
|
|
119 |
|
| SM Energy |
|
|
|
|
69,900 |
|
|
|
5,452 |
|
| Superior Energy Services |
|
|
|
|
87,600 |
|
|
|
2,879 |
|
| Unit* |
|
|
|
|
14,900 |
|
|
|
874 |
|
| Whiting Petroleum* |
|
|
|
|
67,640 |
|
|
|
5,246 |
|
| WPX Energy* |
|
|
|
|
13,400 |
|
|
|
322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 3.5% |
|
|
|
|
|
|
|
|
|
|
| Alleghany* |
|
|
|
|
12,400 |
|
|
|
5,185 |
|
| Altisource Residential† |
|
|
|
|
9,500 |
|
|
|
228 |
|
| American Financial Group |
|
|
|
|
20,500 |
|
|
|
1,187 |
|
| American Tower, Cl A† |
|
|
|
|
11,600 |
|
|
|
1,086 |
|
| Annaly Capital Management† |
|
|
|
|
491,200 |
|
|
|
5,246 |
|
| Arlington Asset Investment, Cl A |
|
|
|
|
8,300 |
|
|
|
211 |
|
| Armada Hoffler Properties† |
|
|
|
|
17,964 |
|
|
|
163 |
|
| Capstead Mortgage† |
|
|
|
|
10,300 |
|
|
|
126 |
|
| Comerica |
|
|
|
|
6,800 |
|
|
|
339 |
|
| Corporate Office Properties Trust† |
|
|
|
|
1,510 |
|
|
|
39 |
|
| Cousins Properties, Cl A† |
|
|
|
|
124,894 |
|
|
|
1,492 |
|
| Ellington Residential Mortgage† |
|
|
|
|
9,400 |
|
|
|
152 |
|
| Goldman Sachs Group |
|
|
|
|
1,500 |
|
|
|
275 |
|
| Host Hotels & Resorts† |
|
|
|
|
23,700 |
|
|
|
506 |
|
| Invesco |
|
|
|
|
4,200 |
|
|
|
166 |
|
| Jones Lang LaSalle |
|
|
|
|
1,500 |
|
|
|
190 |
|
| Lazard, Cl A |
|
|
|
|
27,600 |
|
|
|
1,399 |
|
| Mortgage Investment Trust† |
|
|
|
|
71,000 |
|
|
|
1,264 |
|
| Principal Financial Group, Cl A |
|
|
|
|
70,000 |
|
|
|
3,673 |
|
| ProLogis† |
|
|
|
|
56,102 |
|
|
|
2,115 |
|
| RCS Capital, Cl A |
|
|
|
|
41,400 |
|
|
|
932 |
|
| Ryman Hospitality Properties† |
|
|
|
|
27,400 |
|
|
|
1,296 |
|
| Senior Housing Properties Trust† |
|
|
|
|
24,310 |
|
|
|
509 |
|
| SL Green Realty† |
|
|
|
|
23,094 |
|
|
|
2,340 |
|
| Sovran Self Storage† |
|
|
|
|
3,970 |
|
|
|
295 |
|
| Western Asset Mortgage Capital† |
|
|
|
|
141,700 |
|
|
|
2,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 7.7% |
|
|
|
|
|
|
|
|
|
|
| Abaxis |
|
|
|
|
3,900 |
|
|
|
198 |
|
| AbbVie |
|
|
|
|
49,600 |
|
|
|
2,865 |
|
| Affymetrix, Cl A* |
|
|
|
|
45,000 |
|
|
|
359 |
|
| Alexion Pharmaceuticals* |
|
|
|
|
7,100 |
|
|
|
1,177 |
|
| Allergan |
|
|
|
|
37,900 |
|
|
|
6,753 |
|
| Amgen, Cl A |
|
|
|
|
11,000 |
|
|
|
1,545 |
|
| Biogen Idec* |
|
|
|
|
500 |
|
|
|
165 |
|
| Cigna |
|
|
|
|
49,400 |
|
|
|
4,480 |
|
| Edwards Lifesciences, Cl A* |
|
|
|
|
20,700 |
|
|
|
2,114 |
|
| Gilead Sciences* |
|
|
|
|
80,900 |
|
|
|
8,612 |
|
|
|
|
| 214 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Health Net, Cl A* |
|
|
|
|
121,900 |
|
|
$ |
5,621 |
|
| Hospira* |
|
|
|
|
11,300 |
|
|
|
588 |
|
| Illumina* |
|
|
|
|
25,600 |
|
|
|
4,196 |
|
| Johnson & Johnson |
|
|
|
|
79,400 |
|
|
|
8,463 |
|
| Laboratory Corp of America Holdings* |
|
|
|
|
8,800 |
|
|
|
895 |
|
| Magellan Health* |
|
|
|
|
29,800 |
|
|
|
1,631 |
|
| McKesson |
|
|
|
|
13,700 |
|
|
|
2,667 |
|
| Parexel International* |
|
|
|
|
65,300 |
|
|
|
4,120 |
|
| PDL BioPharma |
|
|
|
|
518,600 |
|
|
|
3,874 |
|
| PharMerica* |
|
|
|
|
38,100 |
|
|
|
931 |
|
| Quintiles Transnational Holdings* |
|
|
|
|
22,400 |
|
|
|
1,250 |
|
| Symmetry Medical* |
|
|
|
|
6,400 |
|
|
|
65 |
|
| Team Health Holdings* |
|
|
|
|
4,900 |
|
|
|
284 |
|
| United Therapeutics* |
|
|
|
|
7,700 |
|
|
|
991 |
|
| Universal Health Services, Cl B |
|
|
|
|
30,900 |
|
|
|
3,229 |
|
| WellPoint |
|
|
|
|
31,900 |
|
|
|
3,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 1.5% |
|
|
|
|
|
|
|
|
|
|
| Enphase Energy* |
|
|
|
|
24,500 |
|
|
|
367 |
|
| Heidrick & Struggles International |
|
|
|
|
3,100 |
|
|
|
64 |
|
| Huntington Ingalls Industries, Cl A |
|
|
|
|
29,200 |
|
|
|
3,043 |
|
| Lockheed Martin |
|
|
|
|
29,500 |
|
|
|
5,392 |
|
| Southwest Airlines, Cl A |
|
|
|
|
94,300 |
|
|
|
3,185 |
|
| Spirit AeroSystems Holdings, Cl A* |
|
|
|
|
2,600 |
|
|
|
99 |
|
| Trinity Industries |
|
|
|
|
34,000 |
|
|
|
1,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 3.2% |
|
|
|
|
|
|
|
|
|
|
| Amdocs |
|
|
|
|
2,000 |
|
|
|
92 |
|
| AVG Technologies* |
|
|
|
|
74,700 |
|
|
|
1,238 |
|
| Broadridge Financial Solutions |
|
|
|
|
21,900 |
|
|
|
912 |
|
| Constant Contact* |
|
|
|
|
2,500 |
|
|
|
68 |
|
| Convergys |
|
|
|
|
46,000 |
|
|
|
820 |
|
| DST Systems |
|
|
|
|
32,000 |
|
|
|
2,685 |
|
| Electronic Arts* |
|
|
|
|
146,000 |
|
|
|
5,199 |
|
| Euronet Worldwide* |
|
|
|
|
1,300 |
|
|
|
62 |
|
| Facebook, Cl A* |
|
|
|
|
48,900 |
|
|
|
3,865 |
|
| Factset Research Systems |
|
|
|
|
18,000 |
|
|
|
2,188 |
|
| Forrester Research |
|
|
|
|
2,900 |
|
|
|
107 |
|
| Gartner* |
|
|
|
|
10,000 |
|
|
|
735 |
|
| LogMeIn* |
|
|
|
|
71,300 |
|
|
|
3,285 |
|
| Manhattan Associates* |
|
|
|
|
73,500 |
|
|
|
2,456 |
|
| NetScout Systems* |
|
|
|
|
15,500 |
|
|
|
710 |
|
| Take-Two Interactive Software, Cl A* |
|
|
|
|
162,100 |
|
|
|
3,740 |
|
| WebMD Health, Cl A* |
|
|
|
|
25,200 |
|
|
|
1,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 1.3% |
|
|
|
|
|
|
|
|
|
|
| Atlantic Telegraph-Network |
|
|
|
|
7,500 |
|
|
|
404 |
|
| Verizon Communications |
|
|
|
|
226,000 |
|
|
|
11,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.9% |
|
|
|
|
|
|
|
|
|
|
| AGL Resources |
|
|
|
|
95,600 |
|
|
$ |
4,908 |
|
| Entergy |
|
|
|
|
44,200 |
|
|
|
3,418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,326 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $262,142) ($ Thousands) |
|
|
|
|
|
|
|
|
273,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE OBLIGATIONS — 6.8% |
|
|
|
|
|
| Consumer Discretionary — 0.6% |
|
|
|
|
|
|
|
|
|
|
| 21st Century Fox America |
|
|
|
|
|
|
|
|
|
|
| 6.150%, 02/15/2041 |
|
|
|
$ |
165 |
|
|
|
196 |
|
| 4.500%, 02/15/2021 |
|
|
|
|
260 |
|
|
|
283 |
|
| 4.000%, 10/01/2023 |
|
|
|
|
185 |
|
|
|
192 |
|
| 3.000%, 09/15/2022 |
|
|
|
|
405 |
|
|
|
393 |
|
| Comcast |
|
|
|
|
|
|
|
|
|
|
| 6.450%, 03/15/2037 |
|
|
|
|
185 |
|
|
|
236 |
|
| Dana Holding |
|
|
|
|
|
|
|
|
|
|
| 6.000%, 09/15/2023 |
|
|
|
|
148 |
|
|
|
153 |
|
| DIRECTV Holdings |
|
|
|
|
|
|
|
|
|
|
| 5.200%, 03/15/2020 |
|
|
|
|
107 |
|
|
|
120 |
|
| DIRECTV Holdings LLC |
|
|
|
|
|
|
|
|
|
|
| 4.450%, 04/01/2024 |
|
|
|
|
348 |
|
|
|
362 |
|
| 3.800%, 03/15/2022 |
|
|
|
|
262 |
|
|
|
266 |
|
| General Motors |
|
|
|
|
|
|
|
|
|
|
| 3.500%, 10/02/2018 |
|
|
|
|
465 |
|
|
|
473 |
|
| Goodyear Tire & Rubber |
|
|
|
|
|
|
|
|
|
|
| 8.250%, 08/15/2020 |
|
|
|
|
210 |
|
|
|
225 |
|
| Hertz |
|
|
|
|
|
|
|
|
|
|
| 6.750%, 04/15/2019 |
|
|
|
|
48 |
|
|
|
49 |
|
| KB Home |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 05/15/2019 |
|
|
|
|
382 |
|
|
|
371 |
|
| MCE Finance |
|
|
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2021 (A) |
|
|
|
|
405 |
|
|
|
389 |
|
| Numericable Group |
|
|
|
|
|
|
|
|
|
|
| 5.375%, 05/15/2022 (A) |
|
|
|
|
235 |
|
|
|
307 |
|
| Omnicom Group |
|
|
|
|
|
|
|
|
|
|
| 3.625%, 05/01/2022 |
|
|
|
|
167 |
|
|
|
169 |
|
| Reed Elsevier Capital |
|
|
|
|
|
|
|
|
|
|
| 8.625%, 01/15/2019 |
|
|
|
|
475 |
|
|
|
592 |
|
| Sirius XM Radio |
|
|
|
|
|
|
|
|
|
|
| 4.625%, 05/15/2023 (A) |
|
|
|
|
421 |
|
|
|
392 |
|
| Univision Communications |
|
|
|
|
|
|
|
|
|
|
| 6.875%, 05/15/2019 (A) |
|
|
|
|
359 |
|
|
|
374 |
|
| Viacom |
|
|
|
|
|
|
|
|
|
|
| 3.875%, 04/01/2024 |
|
|
|
|
344 |
|
|
|
343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 0.4% |
|
|
|
|
|
|
|
|
|
|
| Altria Group |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 05/05/2021 |
|
|
|
|
210 |
|
|
|
229 |
|
| Grupo Bimbo |
|
|
|
|
|
|
|
|
|
|
| 3.875%, 06/27/2024 (A) |
|
|
|
|
703 |
|
|
|
694 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
215 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Kroger |
|
|
|
|
|
|
|
|
|
|
| 3.400%, 04/15/2022 |
|
|
|
$ |
638 |
|
|
$ |
640 |
|
| Marfrig Overseas |
|
|
|
|
|
|
|
|
|
|
| 9.500%, 05/04/2020 (A) |
|
|
|
|
375 |
|
|
|
396 |
|
| Reynolds American |
|
|
|
|
|
|
|
|
|
|
| 3.250%, 11/01/2022 |
|
|
|
|
330 |
|
|
|
318 |
|
| Skandinaviska Enskilda Banken |
|
|
|
|
|
|
|
|
|
|
| 5.471%, 03/29/2049 (A) (B) |
|
|
|
|
235 |
|
|
|
237 |
|
| Tyson Foods |
|
|
|
|
|
|
|
|
|
|
| 3.950%, 08/15/2024 |
|
|
|
|
715 |
|
|
|
716 |
|
| 2.650%, 08/15/2019 |
|
|
|
|
219 |
|
|
|
220 |
|
| Virgolino de Oliveira Finance |
|
|
|
|
|
|
|
|
|
|
| 10.500%, 01/28/2018 (A) |
|
|
|
|
660 |
|
|
|
417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 1.4% |
|
|
|
|
|
|
|
|
|
|
| Access Midstream Partners |
|
|
|
|
|
|
|
|
|
|
| 4.875%, 03/15/2024 |
|
|
|
|
429 |
|
|
|
439 |
|
| California Resources |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 09/15/2021 (A) |
|
|
|
|
303 |
|
|
|
308 |
|
| Cimarex Energy |
|
|
|
|
|
|
|
|
|
|
| 4.375%, 06/01/2024 |
|
|
|
|
321 |
|
|
|
323 |
|
| CNOOC Finance |
|
|
|
|
|
|
|
|
|
|
| 3.000%, 05/09/2023 |
|
|
|
|
641 |
|
|
|
596 |
|
| CNOOC Nexen Finance ULC |
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/30/2024 |
|
|
|
|
289 |
|
|
|
293 |
|
| DCP Midstream |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 09/30/2021 (A) |
|
|
|
|
220 |
|
|
|
234 |
|
| Diamond Offshore Drilling |
|
|
|
|
|
|
|
|
|
|
| 4.875%, 11/01/2043 |
|
|
|
|
370 |
|
|
|
343 |
|
| Ecopetrol |
|
|
|
|
|
|
|
|
|
|
| 5.875%, 05/28/2045 |
|
|
|
|
309 |
|
|
|
313 |
|
| Energy Transfer Partners |
|
|
|
|
|
|
|
|
|
|
| 6.125%, 02/15/2017 |
|
|
|
|
200 |
|
|
|
221 |
|
| 5.200%, 02/01/2022 |
|
|
|
|
465 |
|
|
|
499 |
|
| Enterprise Products Operating |
|
|
|
|
|
|
|
|
|
|
| 5.200%, 09/01/2020 |
|
|
|
|
340 |
|
|
|
382 |
|
| KazMunayGas National |
|
|
|
|
|
|
|
|
|
|
| 7.000%, 05/05/2020 (A) |
|
|
|
|
325 |
|
|
|
361 |
|
| Kinder Morgan Energy Partners |
|
|
|
|
|
|
|
|
|
|
| 3.950%, 09/01/2022 |
|
|
|
|
990 |
|
|
|
983 |
|
| Korea National Oil |
|
|
|
|
|
|
|
|
|
|
| 3.125%, 04/03/2017 (A) |
|
|
|
|
465 |
|
|
|
480 |
|
| Marathon Petroleum |
|
|
|
|
|
|
|
|
|
|
| 5.125%, 03/01/2021 |
|
|
|
|
196 |
|
|
|
218 |
|
| Nabors Industries |
|
|
|
|
|
|
|
|
|
|
| 4.625%, 09/15/2021 |
|
|
|
|
360 |
|
|
|
387 |
|
| Noble Energy |
|
|
|
|
|
|
|
|
|
|
| 8.250%, 03/01/2019 |
|
|
|
|
153 |
|
|
|
189 |
|
| 4.150%, 12/15/2021 |
|
|
|
|
475 |
|
|
|
503 |
|
| ONEOK |
|
|
|
|
|
|
|
|
|
|
| 4.250%, 02/01/2022 |
|
|
|
|
300 |
|
|
|
296 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Paragon Offshore (A) |
|
|
|
|
|
|
|
|
|
|
| 7.250%, 08/15/2024 |
|
|
|
$ |
389 |
|
|
$ |
328 |
|
| 6.750%, 07/15/2022 |
|
|
|
|
66 |
|
|
|
56 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
| 3.500%, 07/18/2018 (A) |
|
|
|
|
452 |
|
|
|
469 |
|
| Petronas Capital |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 08/12/2019 |
|
|
|
|
330 |
|
|
|
369 |
|
| Regency Energy Partners |
|
|
|
|
|
|
|
|
|
|
| 4.500%, 11/01/2023 |
|
|
|
|
114 |
|
|
|
110 |
|
| Reliance Holding USA |
|
|
|
|
|
|
|
|
|
|
| 5.400%, 02/14/2022 (A) |
|
|
|
|
1,161 |
|
|
|
1,267 |
|
| Sinopec Group Overseas Development |
|
|
|
|
|
|
|
|
|
|
| 4.375%, 04/10/2024 (A) |
|
|
|
|
540 |
|
|
|
554 |
|
| SM Energy |
|
|
|
|
|
|
|
|
|
|
| 6.500%, 01/01/2023 |
|
|
|
|
43 |
|
|
|
45 |
|
| Transocean |
|
|
|
|
|
|
|
|
|
|
| 6.500%, 11/15/2020 |
|
|
|
|
570 |
|
|
|
606 |
|
| 6.375%, 12/15/2021 |
|
|
|
|
3 |
|
|
|
3 |
|
| Valero Energy |
|
|
|
|
|
|
|
|
|
|
| 6.125%, 02/01/2020 |
|
|
|
|
480 |
|
|
|
557 |
|
| Williams Partners |
|
|
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2021 |
|
|
|
|
585 |
|
|
|
605 |
|
| 3.900%, 01/15/2025 |
|
|
|
|
217 |
|
|
|
215 |
|
| 3.350%, 08/15/2022 |
|
|
|
|
185 |
|
|
|
181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 2.4% |
|
|
|
|
|
|
|
|
|
|
| American International Group |
|
|
|
|
|
|
|
|
|
|
| 6.400%, 12/15/2020 |
|
|
|
|
325 |
|
|
|
387 |
|
| 4.875%, 06/01/2022 |
|
|
|
|
520 |
|
|
|
572 |
|
| American Tower† |
|
|
|
|
|
|
|
|
|
|
| 4.700%, 03/15/2022 |
|
|
|
|
365 |
|
|
|
382 |
|
| 3.500%, 01/31/2023 |
|
|
|
|
485 |
|
|
|
461 |
|
| Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
| 4.200%, 08/26/2024 |
|
|
|
|
618 |
|
|
|
613 |
|
| Barclays Bank |
|
|
|
|
|
|
|
|
|
|
| 7.750%, 04/10/2023 (B) |
|
|
|
|
393 |
|
|
|
425 |
|
| 7.625%, 11/21/2022 |
|
|
|
|
207 |
|
|
|
223 |
|
| 6.860%, 09/29/2049 |
|
|
|
|
131 |
|
|
|
145 |
|
| 6.625%, 03/30/2022 |
|
|
|
|
195 |
|
|
|
309 |
|
| BNP Paribas |
|
|
|
|
|
|
|
|
|
|
| 5.186%, 06/29/2049 (A) (B) |
|
|
|
|
259 |
|
|
|
262 |
|
| Credit Agricole |
|
|
|
|
|
|
|
|
|
|
| 7.875%, 01/23/2024 (A) (B) |
|
|
|
|
249 |
|
|
|
251 |
|
| Credit Suisse |
|
|
|
|
|
|
|
|
|
|
| 6.500%, 08/08/2023 (A) |
|
|
|
|
649 |
|
|
|
709 |
|
| Danske Bank MTN |
|
|
|
|
|
|
|
|
|
|
| 5.684%, 12/31/2049 (B) |
|
|
|
|
309 |
|
|
|
520 |
|
| Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
|
|
| 5.875%, 08/02/2021 |
|
|
|
|
695 |
|
|
|
799 |
|
| Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
| 3.850%, 07/08/2024 |
|
|
|
|
430 |
|
|
|
427 |
|
| 1.835%, 11/29/2023 (B) |
|
|
|
|
810 |
|
|
|
831 |
|
|
|
|
| 216 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Hartford Financial Services Group |
|
|
|
|
|
|
|
|
|
|
| 5.125%, 04/15/2022 |
|
|
|
$ |
655 |
|
|
$ |
731 |
|
| HBOS Capital Funding |
|
|
|
|
|
|
|
|
|
|
| 4.939%, 05/29/2049 (B) |
|
|
|
|
1,006 |
|
|
|
1,268 |
|
| HCP† |
|
|
|
|
|
|
|
|
|
|
| 5.375%, 02/01/2021 |
|
|
|
|
455 |
|
|
|
508 |
|
| Health Care† |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 01/15/2022 |
|
|
|
|
695 |
|
|
|
769 |
|
| Healthcare Realty Trust† |
|
|
|
|
|
|
|
|
|
|
| 5.750%, 01/15/2021 |
|
|
|
|
285 |
|
|
|
317 |
|
| Host Hotels & Resorts† |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 03/15/2022 |
|
|
|
|
190 |
|
|
|
209 |
|
| ING Bank |
|
|
|
|
|
|
|
|
|
|
| 2.000%, 09/25/2015 (A) |
|
|
|
|
665 |
|
|
|
673 |
|
| Intesa Sanpaolo MTN |
|
|
|
|
|
|
|
|
|
|
| 5.017%, 06/26/2024 (A) |
|
|
|
|
746 |
|
|
|
727 |
|
| IPIC GMTN |
|
|
|
|
|
|
|
|
|
|
| 3.750%, 03/01/2017 (A) |
|
|
|
|
460 |
|
|
|
481 |
|
| JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|
| 5.400%, 01/06/2042 |
|
|
|
|
175 |
|
|
|
199 |
|
| Lincoln National |
|
|
|
|
|
|
|
|
|
|
| 4.200%, 03/15/2022 |
|
|
|
|
355 |
|
|
|
374 |
|
| MetLife |
|
|
|
|
|
|
|
|
|
|
| 5.700%, 06/15/2035 |
|
|
|
|
80 |
|
|
|
96 |
|
| Metropolitan Life Global Funding I |
|
|
|
|
|
|
|
|
|
|
| 3.875%, 04/11/2022 (A) |
|
|
|
|
275 |
|
|
|
288 |
|
| Mizuho Financial Group Cayman 3 |
|
|
|
|
|
|
|
|
|
|
| 4.600%, 03/27/2024 (A) |
|
|
|
|
840 |
|
|
|
874 |
|
| Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 07/28/2021 |
|
|
|
|
585 |
|
|
|
659 |
|
| Murray Street Investment Trust |
|
|
|
|
|
|
|
|
|
|
| 4.647%, 03/09/2017 (C) |
|
|
|
|
55 |
|
|
|
59 |
|
| Nationwide Financial Services |
|
|
|
|
|
|
|
|
|
|
| 5.375%, 03/25/2021 (A) |
|
|
|
|
470 |
|
|
|
528 |
|
| Navient MTN |
|
|
|
|
|
|
|
|
|
|
| 7.250%, 01/25/2022 |
|
|
|
|
52 |
|
|
|
56 |
|
| Nomura Holdings MTN |
|
|
|
|
|
|
|
|
|
|
| 2.000%, 09/13/2016 |
|
|
|
|
804 |
|
|
|
812 |
|
| Nordea Bank |
|
|
|
|
|
|
|
|
|
|
| 6.125%, 12/31/2049 (A) (B) |
|
|
|
|
205 |
|
|
|
201 |
|
| PNC Bank |
|
|
|
|
|
|
|
|
|
|
| 3.800%, 07/25/2023 |
|
|
|
|
960 |
|
|
|
978 |
|
| Prudential Financial |
|
|
|
|
|
|
|
|
|
|
| 5.625%, 06/15/2043 (B) |
|
|
|
|
365 |
|
|
|
380 |
|
| Rabobank Capital Funding Trust III |
|
|
|
|
|
|
|
|
|
|
| 5.254%, 10/21/2016 (A) (B) |
|
|
|
|
380 |
|
|
|
399 |
|
| Rio Oil Finance Trust, Ser 2014-1 |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 07/06/2024 (A) |
|
|
|
|
528 |
|
|
|
545 |
|
| Royal Bank of Scotland MTN |
|
|
|
|
|
|
|
|
|
|
| 9.500%, 03/16/2022 (B) |
|
|
|
|
110 |
|
|
|
125 |
|
| Societe Generale (B) |
|
|
|
|
|
|
|
|
|
|
| 5.922%, 04/05/2017 (A) |
|
|
|
|
115 |
|
|
|
121 |
|
| 4.196%, 01/26/2015 |
|
|
|
|
204 |
|
|
|
258 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Standard Chartered MTN |
|
|
|
|
|
|
|
|
|
|
| 4.000%, 07/12/2022 (B) |
|
|
|
$ |
775 |
|
|
$ |
796 |
|
| Trust F/1401 |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 12/15/2024 (A)† |
|
|
|
|
830 |
|
|
|
863 |
|
| Turkiye Garanti Bankasi MTN |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 10/17/2019 (A) |
|
|
|
|
365 |
|
|
|
363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Actavis Funding SCS |
|
|
|
|
|
|
|
|
|
|
| 3.850%, 06/15/2024 (A) |
|
|
|
|
297 |
|
|
|
288 |
|
| CHS |
|
|
|
|
|
|
|
|
|
|
| 5.125%, 08/15/2018 |
|
|
|
|
169 |
|
|
|
174 |
|
| Thermo Fisher Scientific |
|
|
|
|
|
|
|
|
|
|
| 4.150%, 02/01/2024 |
|
|
|
|
365 |
|
|
|
378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Empresa de Transporte de Pasajeros Metro |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 02/04/2024 (A) |
|
|
|
|
360 |
|
|
|
373 |
|
| International Lease Finance |
|
|
|
|
|
|
|
|
|
|
| 5.875%, 04/01/2019 |
|
|
|
|
325 |
|
|
|
346 |
|
| Odebrecht Finance |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 06/27/2029 (A) |
|
|
|
|
457 |
|
|
|
442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 0.3% |
|
|
|
|
|
|
|
|
|
|
| Baidu |
|
|
|
|
|
|
|
|
|
|
| 3.250%, 08/06/2018 |
|
|
|
|
418 |
|
|
|
430 |
|
| 2.750%, 06/09/2019 |
|
|
|
|
264 |
|
|
|
262 |
|
| Sabre |
|
|
|
|
|
|
|
|
|
|
| 8.500%, 05/15/2019 (A) |
|
|
|
|
421 |
|
|
|
450 |
|
| Seagate HDD Cayman |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 01/01/2025 (A) |
|
|
|
|
427 |
|
|
|
425 |
|
| Telefonaktiebolaget LM Ericsson |
|
|
|
|
|
|
|
|
|
|
| 4.125%, 05/15/2022 |
|
|
|
|
24 |
|
|
|
25 |
|
| Tencent Holdings MTN |
|
|
|
|
|
|
|
|
|
|
| 3.375%, 05/02/2019 (A) |
|
|
|
|
676 |
|
|
|
683 |
|
| Total System Services |
|
|
|
|
|
|
|
|
|
|
| 2.375%, 06/01/2018 |
|
|
|
|
262 |
|
|
|
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 0.8% |
|
|
|
|
|
|
|
|
|
|
| Basell Finance BV |
|
|
|
|
|
|
|
|
|
|
| 8.100%, 03/15/2027 (A) |
|
|
|
|
220 |
|
|
|
293 |
|
| Cia Minera Milpo SAA |
|
|
|
|
|
|
|
|
|
|
| 4.625%, 03/28/2023 (A) |
|
|
|
|
428 |
|
|
|
426 |
|
| Dow Chemical |
|
|
|
|
|
|
|
|
|
|
| 4.375%, 11/15/2042 |
|
|
|
|
232 |
|
|
|
216 |
|
| 4.250%, 11/15/2020 |
|
|
|
|
210 |
|
|
|
224 |
|
| Glencore Funding |
|
|
|
|
|
|
|
|
|
|
| 3.125%, 04/29/2019 (A) |
|
|
|
|
1,840 |
|
|
|
1,841 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
217 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| International Paper |
|
|
|
|
|
|
|
|
|
|
| 4.750%, 02/15/2022 |
|
|
|
$ |
490 |
|
|
$ |
528 |
|
| 3.650%, 06/15/2024 |
|
|
|
|
247 |
|
|
|
240 |
|
| Minsur |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 02/07/2024 (A) |
|
|
|
|
875 |
|
|
|
961 |
|
| NOVA Chemicals |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 08/01/2023 (A) |
|
|
|
|
420 |
|
|
|
437 |
|
| Novelis |
|
|
|
|
|
|
|
|
|
|
| 8.375%, 12/15/2017 |
|
|
|
|
99 |
|
|
|
103 |
|
| OCP |
|
|
|
|
|
|
|
|
|
|
| 5.625%, 04/25/2024 (A) |
|
|
|
|
341 |
|
|
|
355 |
|
| Sealed Air |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 04/01/2023 (A) |
|
|
|
|
332 |
|
|
|
325 |
|
| Sociedad Quimica y Minera de Chile |
|
|
|
|
|
|
|
|
|
|
| 3.625%, 04/03/2023 (A) |
|
|
|
|
408 |
|
|
|
386 |
|
| Yamana |
|
|
|
|
|
|
|
|
|
|
| 4.950%, 07/15/2024 (A) |
|
|
|
|
917 |
|
|
|
913 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.4% |
|
|
|
|
|
|
|
|
|
|
| AT&T |
|
|
|
|
|
|
|
|
|
|
| 5.550%, 08/15/2041 |
|
|
|
|
245 |
|
|
|
266 |
|
| 3.000%, 02/15/2022 |
|
|
|
|
465 |
|
|
|
460 |
|
| Comcel Trust |
|
|
|
|
|
|
|
|
|
|
| 6.875%, 02/06/2024 (A) |
|
|
|
|
208 |
|
|
|
220 |
|
| Rogers Communications |
|
|
|
|
|
|
|
|
|
|
| 4.000%, 06/06/2022 |
|
|
|
|
60 |
|
|
|
56 |
|
| Sprint |
|
|
|
|
|
|
|
|
|
|
| 7.875%, 09/15/2023 (A) |
|
|
|
|
405 |
|
|
|
429 |
|
| Telecom Italia Capital |
|
|
|
|
|
|
|
|
|
|
| 7.175%, 06/18/2019 |
|
|
|
|
260 |
|
|
|
294 |
|
| Telefonica Emisiones SAU |
|
|
|
|
|
|
|
|
|
|
| 5.462%, 02/16/2021 |
|
|
|
|
200 |
|
|
|
223 |
|
| Verizon Communications |
|
|
|
|
|
|
|
|
|
|
| 7.350%, 04/01/2039 |
|
|
|
|
350 |
|
|
|
474 |
|
| 5.150%, 09/15/2023 |
|
|
|
|
1,013 |
|
|
|
1,122 |
|
| Virgin Media Finance |
|
|
|
|
|
|
|
|
|
|
| 5.250%, 02/15/2022 |
|
|
|
|
200 |
|
|
|
192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.3% |
|
|
|
|
|
|
|
|
|
|
| AES |
|
|
|
|
|
|
|
|
|
|
| 7.375%, 07/01/2021 |
|
|
|
|
415 |
|
|
|
465 |
|
| Berkshire Hathaway Energy |
|
|
|
|
|
|
|
|
|
|
| 6.125%, 04/01/2036 |
|
|
|
|
390 |
|
|
|
482 |
|
| CMS Energy |
|
|
|
|
|
|
|
|
|
|
| 5.050%, 03/15/2022 |
|
|
|
|
185 |
|
|
|
207 |
|
| Constellation Energy Group |
|
|
|
|
|
|
|
|
|
|
| 5.150%, 12/01/2020 |
|
|
|
|
70 |
|
|
|
77 |
|
| NRG Energy |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 05/01/2024 (A) |
|
|
|
|
315 |
|
|
|
316 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Talent Yield Investments |
|
|
|
|
|
|
|
|
|
|
| 4.500%, 04/25/2022 (A) |
|
|
|
$ |
1,301 |
|
|
$ |
1,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,889 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations
(Cost $62,052) ($ Thousands) |
|
|
|
|
|
|
|
|
62,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ASSET-BACKED SECURITIES — 4.4% |
|
|
|
|
|
| Automotive — 2.1% |
|
|
|
|
|
|
|
|
|
|
| AmeriCredit Automobile Receivables Trust,
Ser 2012-3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 0.960%, 01/09/2017 |
|
|
|
|
327 |
|
|
|
327 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.490%, 06/08/2016 |
|
|
|
|
24 |
|
|
|
23 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-3, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 0.920%, 04/09/2018 |
|
|
|
|
1,275 |
|
|
|
1,275 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2013-4, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 0.960%, 04/09/2018 |
|
|
|
|
550 |
|
|
|
551 |
|
| AmeriCredit Automobile Receivables Trust,
Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 0.900%, 02/08/2019 |
|
|
|
|
530 |
|
|
|
528 |
|
| ARI Fleet Lease Trust,
Ser 2013-A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.700%, 12/15/2015 (A) |
|
|
|
|
437 |
|
|
|
438 |
|
| ARI Fleet Lease Trust,
Ser 2014-A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.810%, 11/15/2022 (A) |
|
|
|
|
450 |
|
|
|
449 |
|
| Avis Budget Rental Car Funding AESOP LLC, Ser 2012-3A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 2.100%, 03/20/2019 (A) |
|
|
|
|
435 |
|
|
|
437 |
|
| Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 2.970%, 02/20/2020 (A) |
|
|
|
|
594 |
|
|
|
606 |
|
| Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 2.460%, 07/20/2020 (A) |
|
|
|
|
1,404 |
|
|
|
1,398 |
|
| California Republic Auto Receivables Trust,
Ser 2014-2, Cl A4 |
|
|
|
|
|
|
|
|
|
|
| 1.570%, 12/16/2019 |
|
|
|
|
907 |
|
|
|
901 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.620%, 07/20/2016 |
|
|
|
|
390 |
|
|
|
390 |
|
| Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 1.040%, 11/21/2016 |
|
|
|
|
1,115 |
|
|
|
1,119 |
|
|
|
|
| 218 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B |
|
|
|
|
|
|
|
|
|
|
| 2.220%, 01/22/2019 |
|
|
|
$ |
200 |
|
|
$ |
201 |
|
| Carfinance Capital Auto Trust,
Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.650%, 07/17/2017 (A) |
|
|
|
|
210 |
|
|
|
210 |
|
| Chrysler Capital Auto Receivables Trust, Ser 2014-BA, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.690%, 09/15/2017 (A) |
|
|
|
|
1,646 |
|
|
|
1,646 |
|
| CPS Auto Receivables Trust,
Ser 2013-B, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.820%, 09/15/2020 (A) |
|
|
|
|
676 |
|
|
|
677 |
|
| CPS Auto Receivables Trust,
Ser 2014-B, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.110%, 11/15/2018 (A) |
|
|
|
|
660 |
|
|
|
658 |
|
| Enterprise Fleet Financing LLC,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.870%, 09/20/2019 (A) |
|
|
|
|
430 |
|
|
|
430 |
|
| Exeter Auto Receivables Trust,
Ser 2014-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.290%, 05/15/2018 (A) |
|
|
|
|
373 |
|
|
|
374 |
|
| Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.300%, 06/15/2017 (A) |
|
|
|
|
107 |
|
|
|
107 |
|
| Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.290%, 10/16/2017 (A) |
|
|
|
|
181 |
|
|
|
182 |
|
| Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.060%, 08/15/2018 (A) |
|
|
|
|
386 |
|
|
|
386 |
|
| Flagship Credit Auto Trust,
Ser 2013-1, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.320%, 04/16/2018 (A) |
|
|
|
|
182 |
|
|
|
183 |
|
| Ford Auto Securitization Trust,
Ser 2013-R1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 1.676%, 09/15/2016 (A) |
|
|
|
|
365 |
|
|
|
327 |
|
| Ford Auto Securitization Trust,
Ser 2013-R4A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 1.487%, 08/15/2015 |
|
|
|
|
97 |
|
|
|
87 |
|
| Ford Auto Securitization Trust,
Ser 2014-R2A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 1.353%, 03/15/2016 (A) |
|
|
|
|
592 |
|
|
|
529 |
|
| Ford Credit Auto Owner Trust,
Ser 2012-D, Cl B |
|
|
|
|
|
|
|
|
|
|
| 1.010%, 05/15/2018 |
|
|
|
|
240 |
|
|
|
240 |
|
| Harley-Davidson Motorcycle Trust,
Ser 2014-1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 1.100%, 09/15/2019 |
|
|
|
|
420 |
|
|
|
419 |
|
| Hertz Fleet Lease Funding,
Ser 2013-3, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.704%, 12/10/2027 (A) (B) |
|
|
|
|
1,452 |
|
|
|
1,454 |
|
| Hyundai Auto Receivables Trust,
Ser 2012-B, Cl C |
|
|
|
|
|
|
|
|
|
|
| 1.950%, 10/15/2018 |
|
|
|
|
170 |
|
|
|
172 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Mercedes Benz Auto Lease Trust,
Ser 2014-A, Cl A2A |
|
|
|
|
|
|
|
|
|
|
| 0.480%, 06/15/2016 |
|
|
|
$ |
672 |
|
|
$ |
672 |
|
| Mercedes-Benz Auto Lease Trust,
Ser 2013-A, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 0.590%, 02/15/2016 |
|
|
|
|
623 |
|
|
|
623 |
|
| Santander Drive Auto Receivables Trust, Ser 2013-4, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 1.110%, 12/15/2017 |
|
|
|
|
1,035 |
|
|
|
1,038 |
|
| Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2A |
|
|
|
|
|
|
|
|
|
|
| 0.640%, 04/17/2017 |
|
|
|
|
258 |
|
|
|
258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Cards — 0.5% |
|
|
|
|
|
|
|
|
|
|
| Barclays Dryrock Issuance Trust,
Ser 2014-3, Cl A |
|
|
|
|
|
|
|
|
|
|
| 2.410%, 07/15/2022 |
|
|
|
|
570 |
|
|
|
570 |
|
| Cabela’s Master Credit Card Trust,
Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.505%, 03/16/2020 (B) |
|
|
|
|
500 |
|
|
|
500 |
|
| First National Master Note Trust,
Ser 2013-2, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.684%, 10/15/2019 (B) |
|
|
|
|
794 |
|
|
|
796 |
|
| Synchrony Credit Card Master Note Trust, Ser 2012-1, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.030%, 01/15/2018 |
|
|
|
|
1,000 |
|
|
|
1,002 |
|
| World Financial Network Credit Card Master Trust,
Ser 2012-B, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.760%, 05/17/2021 |
|
|
|
|
380 |
|
|
|
382 |
|
| World Financial Network Credit Card Master Trust,
Ser 2013-A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.610%, 12/15/2021 |
|
|
|
|
385 |
|
|
|
381 |
|
| World Financial Network Credit Card Master Trust,
Ser 2014-A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.534%, 12/15/2019 (B) |
|
|
|
|
915 |
|
|
|
917 |
|
| World Financial Network Credit Card Master Trust,
Ser 2014-B, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.610%, 07/15/2019 |
|
|
|
|
468 |
|
|
|
468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Asset-Backed Securities — 1.7% |
|
| Ally Master Owner Trust,
Ser 2014-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 1.290%, 01/15/2019 |
|
|
|
|
1,405 |
|
|
|
1,403 |
|
| Ally Master Owner Trust,
Ser 2014-2, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.524%, 01/16/2018 (B) |
|
|
|
|
810 |
|
|
|
811 |
|
| BHMS, Ser 2014-ATLS, Cl AFX |
|
|
|
|
|
|
|
|
|
|
| 3.600%, 07/01/2033 |
|
|
|
|
1,180 |
|
|
|
1,173 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
219 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| BMW Floorplan Master Owner Trust,
Ser 2012-1A, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.554%, 09/15/2017 (A) (B) |
|
|
|
$ |
906 |
|
|
$ |
908 |
|
| CIT Equipment Collateral,
Ser 2012-VT1, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 1.100%, 08/22/2016 (A) |
|
|
|
|
2 |
|
|
|
2 |
|
| CNH Equipment Trust,
Ser 2013-C, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.630%, 01/17/2017 |
|
|
|
|
322 |
|
|
|
322 |
|
| CNH Equipment Trust,
Ser 2013-D, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.490%, 03/15/2017 |
|
|
|
|
767 |
|
|
|
767 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 1.854%, 02/15/2017 (A) (B) |
|
|
|
|
1,390 |
|
|
|
1,398 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.534%, 01/15/2018 (B) |
|
|
|
|
838 |
|
|
|
839 |
|
| Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 1.200%, 02/15/2019 |
|
|
|
|
999 |
|
|
|
996 |
|
| GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.644%, 06/20/2017 (B) |
|
|
|
|
1,075 |
|
|
|
1,076 |
|
| GE Dealer Floorplan Master Note Trust, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.534%, 07/20/2019 (B) |
|
|
|
|
1,159 |
|
|
|
1,159 |
|
| GE Equipment Small Ticket,
Ser 2014-1A, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.590%, 08/24/2016 (A) |
|
|
|
|
929 |
|
|
|
929 |
|
| GSAA Home Equity Trust,
Ser 2006-5, Cl 2A3 |
|
|
|
|
|
|
|
|
|
|
| 0.425%, 03/25/2036 (B) |
|
|
|
|
732 |
|
|
|
510 |
|
| Hertz Vehicle Financing,
Ser 2013-1A, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 1.120%, 08/25/2017 (A) |
|
|
|
|
2,230 |
|
|
|
2,227 |
|
| Mercedes-Benz Master Owner Trust, Ser 2012-AA, Cl A |
|
|
|
|
|
|
|
|
|
|
| 0.790%, 11/15/2017 (A) |
|
|
|
|
1,278 |
|
|
|
1,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,800 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities
(Cost $40,175) ($ Thousands) |
|
|
|
|
|
|
|
|
40,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 4.2% |
|
|
| Agency Mortgage-Backed Obligations — 0.3% |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN2, Cl M2 |
|
|
|
|
|
|
|
|
|
|
| 4.405%, 11/25/2023 (B) |
|
|
|
|
1,035 |
|
|
|
1,088 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M3 |
|
|
|
|
|
|
|
|
|
|
| 3.755%, 04/25/2024 (B) |
|
|
|
|
352 |
|
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| FNMA Connecticut Avenue Securities,
Ser 2014-C01, Cl M2 |
|
|
|
|
|
|
|
|
|
|
| 4.555%, 01/25/2024 (B) |
|
|
|
$ |
512 |
|
|
$ |
545 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 |
|
|
|
|
|
|
|
|
|
|
| 1.355%, 07/25/2024 (B) |
|
|
|
|
441 |
|
|
|
437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Obligations — 4.0% |
|
| Banc of America Commercial Mortgage Trust,
Ser 2007-4, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.774%, 02/10/2051 (B) |
|
|
|
|
1,760 |
|
|
|
1,935 |
|
| Banc of America Commercial Mortgage Trust,
Ser 2007-5, Cl AM |
|
|
|
|
|
|
|
|
|
|
| 5.772%, 02/10/2051 (B) |
|
|
|
|
262 |
|
|
|
281 |
|
| CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19 |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 09/25/2036 |
|
|
|
|
240 |
|
|
|
224 |
|
| CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 |
|
|
|
|
|
|
|
|
|
|
| 6.000%, 05/25/2036 |
|
|
|
|
446 |
|
|
|
418 |
|
| CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A18 |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 09/25/2036 |
|
|
|
|
665 |
|
|
|
620 |
|
| CHL Mortgage Pass-Through Trust, Ser 2007-HYB2, Cl 3A1 |
|
|
|
|
|
|
|
|
|
|
| 2.640%, 02/25/2047 (B) |
|
|
|
|
580 |
|
|
|
485 |
|
| Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.975%, 03/15/2049 (B) |
|
|
|
|
502 |
|
|
|
531 |
|
| COBALT CMBS Commercial Mortgage Trust, Ser 2007-C3,
Cl A4 |
|
|
|
|
|
|
|
|
|
|
| 5.969%, 05/15/2046 (B) |
|
|
|
|
511 |
|
|
|
559 |
|
| COMM Mortgage Trust,
Ser 2014-SAVA, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.304%, 06/15/2034 (A) (B) |
|
|
|
|
719 |
|
|
|
719 |
|
| Commercial Mortgage Loan Trust,
Ser 2008-LS1, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 6.212%, 12/10/2049 (B) |
|
|
|
|
1,700 |
|
|
|
1,879 |
|
| Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 1.873%, 04/12/2035 (A) |
|
|
|
|
419 |
|
|
|
407 |
|
| Commercial Mortgage Pass-Through Certificates, Ser 2014-KYO, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.054%, 06/11/2027 (A) (B) |
|
|
|
|
835 |
|
|
|
836 |
|
| Commercial Mortgage Trust,
Ser 2013-VN05, Cl A |
|
|
|
|
|
|
|
|
|
|
| 3.187%, 03/13/2035 |
|
|
|
|
915 |
|
|
|
917 |
|
|
|
|
| 220 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| Countrywide Alternative Loan Trust,
Ser 2005-20CB, Cl 3A6 |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 07/25/2035 |
|
|
|
$ |
198 |
|
|
$ |
186 |
|
| Countrywide Alternative Loan Trust,
Ser 2006-24CB, Cl A16 |
|
|
|
|
|
|
|
|
|
|
| 5.750%, 06/25/2036 |
|
|
|
|
750 |
|
|
|
667 |
|
| Countrywide Alternative Loan Trust,
Ser 2006-J1, Cl 1A13 |
|
|
|
|
|
|
|
|
|
|
| 5.500%, 02/25/2036 |
|
|
|
|
473 |
|
|
|
436 |
|
| Countrywide Alternative Loan Trust,
Ser 2006-28CB, Cl A14 |
|
|
|
|
|
|
|
|
|
|
| 6.250%, 10/25/2036 |
|
|
|
|
510 |
|
|
|
444 |
|
| Deutsche Alt-A Securities Mortgage Loan Trust,
Ser 2013-G1, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 2.059%, 04/10/2031 (B) |
|
|
|
|
729 |
|
|
|
714 |
|
| Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 0.345%, 12/25/2036 (B) |
|
|
|
|
800 |
|
|
|
494 |
|
| Extended Stay America Trust,
Ser 2013-ESFL, Cl A2FL |
|
|
|
|
|
|
|
|
|
|
| 0.856%, 12/05/2031 (A) (B) |
|
|
|
|
425 |
|
|
|
424 |
|
| Extended Stay America Trust,
Ser 2013-ESH7, Cl A17 |
|
|
|
|
|
|
|
|
|
|
| 2.295%, 12/05/2031 (A) |
|
|
|
|
560 |
|
|
|
546 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3 |
|
|
|
|
|
|
|
|
|
|
| 4.157%, 08/25/2024 (B) |
|
|
|
|
1,165 |
|
|
|
1,161 |
|
| First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9 |
|
|
|
|
|
|
|
|
|
|
| 6.000%, 07/25/2036 |
|
|
|
|
487 |
|
|
|
412 |
|
| Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl AM |
|
|
|
|
|
|
|
|
|
|
| 5.475%, 03/10/2039 |
|
|
|
|
613 |
|
|
|
649 |
|
| Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 |
|
|
|
|
|
|
|
|
|
|
| 5.444%, 03/10/2039 |
|
|
|
|
754 |
|
|
|
812 |
|
| GS Mortgage Securities II,
Ser 2013-KING, Cl A |
|
|
|
|
|
|
|
|
|
|
| 2.706%, 12/10/2027 (A) |
|
|
|
|
851 |
|
|
|
856 |
|
| HomeBanc Mortgage Trust,
Ser 2005-1, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 0.405%, 03/25/2035 (B) |
|
|
|
|
407 |
|
|
|
366 |
|
| IndyMac INDX Mortgage Loan Trust,
Ser 2006-AR15, Cl A1 |
|
|
|
|
|
|
|
|
|
|
| 0.275%, 07/25/2036 (B) |
|
|
|
|
589 |
|
|
|
456 |
|
| IndyMac INDX Mortgage Loan Trust,
Ser 2006-AR27, Cl 2A2 |
|
|
|
|
|
|
|
|
|
|
| 0.355%, 10/25/2036 (B) |
|
|
|
|
621 |
|
|
|
535 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2004-LN2, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 4.838%, 07/15/2041 (A) (B) |
|
|
|
|
295 |
|
|
|
294 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-CB19, Cl AM |
|
|
|
|
|
|
|
|
|
|
| 5.892%, 02/12/2049 (B) |
|
|
|
$ |
300 |
|
|
$ |
322 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-LD12, Cl A4 |
|
|
|
|
|
|
|
|
|
|
| 5.882%, 02/15/2051 (B) |
|
|
|
|
930 |
|
|
|
1,012 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-LD12, Cl AM |
|
|
|
|
|
|
|
|
|
|
| 6.217%, 02/15/2051 (B) |
|
|
|
|
254 |
|
|
|
280 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-LDP10, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.439%, 01/15/2049 |
|
|
|
|
1,964 |
|
|
|
2,130 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2007-LDPX, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 5.420%, 01/15/2049 |
|
|
|
|
875 |
|
|
|
943 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2008-C2, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.998%, 02/12/2051 |
|
|
|
|
901 |
|
|
|
992 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust,
Ser 2014-INN, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.074%, 06/15/2029 (A) (B) |
|
|
|
|
1,145 |
|
|
|
1,144 |
|
| LB-UBS Commercial Mortgage Trust,
Ser 2007-C2, Cl A3 |
|
|
|
|
|
|
|
|
|
|
| 5.430%, 02/15/2040 |
|
|
|
|
724 |
|
|
|
785 |
|
| LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 2.767%, 01/20/2041 (A) |
|
|
|
|
687 |
|
|
|
688 |
|
| Merrill Lynch Mortgage Trust,
Ser 2006-C2, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.739%, 08/12/2043 (B) |
|
|
|
|
609 |
|
|
|
652 |
|
| ML-CFC Commercial Mortgage Trust,
Ser 2006-4, Cl A1A |
|
|
|
|
|
|
|
|
|
|
| 5.166%, 12/12/2049 |
|
|
|
|
2,248 |
|
|
|
2,399 |
|
| ML-CFC Commercial Mortgage Trust,
Ser 2007-9, Cl A4 |
|
|
|
|
|
|
|
|
|
|
| 5.700%, 09/12/2049 |
|
|
|
|
1,220 |
|
|
|
1,337 |
|
| Motel 6 Trust,
Ser 2012-MTL6, Cl A2 |
|
|
|
|
|
|
|
|
|
|
| 1.948%, 10/05/2025 (A) |
|
|
|
|
590 |
|
|
|
590 |
|
| PFP III, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.326%, 06/14/2031 (A) (B) |
|
|
|
|
918 |
|
|
|
920 |
|
| Resource Capital,
Ser 2014-CRE2, Cl A |
|
|
|
|
|
|
|
|
|
|
| 1.204%, 04/15/2032 (A) (B) |
|
|
|
|
488 |
|
|
|
488 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
221 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount (1)
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C3, Cl A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.091%, 08/10/2049 |
|
|
|
|
|
$ |
297 |
|
|
$ |
295 |
|
| UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.850%, 12/10/2045 |
|
|
|
|
|
|
596 |
|
|
|
579 |
|
| Wells Fargo Mortgage Backed Securities Trust,
Ser 2007-8, Cl 2A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 07/25/2037 |
|
|
|
|
|
|
319 |
|
|
|
313 |
|
| WFRBS Commercial Mortgage Trust,
Ser 2013-C14, Cl A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.337%, 06/15/2046 |
|
|
|
|
|
|
856 |
|
|
|
860 |
|
| WFRBS Commercial Mortgage Trust,
Ser 2014-C20, Cl A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.036%, 05/15/2047 |
|
|
|
|
|
|
701 |
|
|
|
721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $39,453) ($ Thousands) |
|
|
|
|
|
|
|
39,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 0.0% |
|
| Qatar Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 01/20/2022 (A) |
|
|
|
|
|
|
355 |
|
|
|
385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt
(Cost $368) ($ Thousands) |
|
|
|
|
|
|
|
385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.0% |
|
|
|
|
|
| Financials — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Allstate (B) |
|
|
|
|
|
|
2,250 |
|
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $56) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TIME DEPOSITS — 4.2% |
|
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 10/01/2014 |
|
|
ZAR |
|
|
|
— |
|
|
|
— |
|
| 1.578%, 10/01/2014 |
|
|
AUD |
|
|
|
— |
|
|
|
— |
|
| 0.350%, 10/01/2014 |
|
|
NOK |
|
|
|
— |
|
|
|
— |
|
| 0.060%, 10/01/2014 |
|
|
GBP |
|
|
|
— |
|
|
|
— |
|
| 0.050%, 10/01/2014 |
|
|
SEK |
|
|
|
— |
|
|
|
— |
|
| 0.030%, 10/01/2014 (D) |
|
|
|
|
|
|
38,829 |
|
|
|
38,829 |
|
| 0.005%, 10/01/2014 |
|
|
HKD |
|
|
|
— |
|
|
|
— |
|
| 0.005%, 10/01/2014 |
|
|
JPY |
|
|
|
— |
|
|
|
— |
|
| 0.005%, 10/01/2014 |
|
|
SGD |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Time Deposits
(Cost $38,829) ($ Thousands) |
|
|
|
|
|
|
|
38,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Face Amount (1)
($ Thousands)/Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 67.1% |
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
|
|
| 2.625%, 07/15/2017 |
|
|
|
$ |
14,704 |
|
|
$ |
16,031 |
|
| 2.500%, 07/15/2016 |
|
|
|
|
55,310 |
|
|
|
58,710 |
|
| 2.375%, 01/15/2017 |
|
|
|
|
12,758 |
|
|
|
13,622 |
|
| 2.125%, 01/15/2019 |
|
|
|
|
17,521 |
|
|
|
19,140 |
|
| 2.000%, 01/15/2016 |
|
|
|
|
14,600 |
|
|
|
15,114 |
|
| 1.875%, 07/15/2015 |
|
|
|
|
9,081 |
|
|
|
9,283 |
|
| 1.625%, 01/15/2018 |
|
|
|
|
27,559 |
|
|
|
29,266 |
|
| 0.125%, 04/15/2016 |
|
|
|
|
57,173 |
|
|
|
57,834 |
|
| 0.125%, 04/15/2017 |
|
|
|
|
77,631 |
|
|
|
78,662 |
|
| 0.125%, 04/15/2018 |
|
|
|
|
97,838 |
|
|
|
98,618 |
|
| 0.125%, 04/15/2019 |
|
|
|
|
70,234 |
|
|
|
70,405 |
|
| U.S. Treasury Bills (D) (E) |
|
|
|
|
|
|
|
|
|
|
| 0.020%, 10/23/2014 |
|
|
|
|
130,000 |
|
|
|
129,999 |
|
| 0.020%, 11/28/2014 |
|
|
|
|
7,000 |
|
|
|
7,000 |
|
| 0.010%, 12/26/2014 |
|
|
|
|
16,000 |
|
|
|
15,999 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $625,249) ($ Thousands) |
|
|
|
|
|
|
619,683 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 116.4%
(Cost $1,068,324) ($ Thousands) |
|
|
|
|
|
$ |
1,074,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCK SOLD SHORT — (14.39)% |
|
|
|
| Consumer Discretionary — (6.3)% |
|
|
|
|
|
| Amazon.com, Cl A* |
|
|
|
|
(2,000 |
) |
|
|
(645 |
) |
| American Axle & Manufacturing Holdings* |
|
|
|
|
(25,400 |
) |
|
|
(426 |
) |
| American Public Education* |
|
|
|
|
(19,500 |
) |
|
|
(526 |
) |
| Arctic Cat |
|
|
|
|
(33,000 |
) |
|
|
(1,149 |
) |
| bebe stores, Cl A |
|
|
|
|
(260,500 |
) |
|
|
(604 |
) |
| Big 5 Sporting Goods |
|
|
|
|
(71,700 |
) |
|
|
(672 |
) |
| Black Diamond* |
|
|
|
|
(44,800 |
) |
|
|
(339 |
) |
| Bloomin’ Brands* |
|
|
|
|
(19,200 |
) |
|
|
(352 |
) |
| Bob Evans Farms |
|
|
|
|
(83,900 |
) |
|
|
(3,972 |
) |
| Boyd Gaming* |
|
|
|
|
(20,100 |
) |
|
|
(204 |
) |
| Callaway Golf |
|
|
|
|
(54,600 |
) |
|
|
(395 |
) |
| Carriage Services |
|
|
|
|
(6,600 |
) |
|
|
(115 |
) |
| Carrols Restaurant Group* |
|
|
|
|
(10,600 |
) |
|
|
(75 |
) |
| Chuy’s Holdings* |
|
|
|
|
(5,500 |
) |
|
|
(173 |
) |
| Coach |
|
|
|
|
(107,400 |
) |
|
|
(3,824 |
) |
| Cumulus Media, Cl A* |
|
|
|
|
(66,600 |
) |
|
|
(268 |
) |
| Destination Maternity |
|
|
|
|
(2,700 |
) |
|
|
(42 |
) |
| Destination XL Group* |
|
|
|
|
(47,300 |
) |
|
|
(223 |
) |
| Dixie Group* |
|
|
|
|
(35,900 |
) |
|
|
(311 |
) |
| Dorman Products* |
|
|
|
|
(6,000 |
) |
|
|
(240 |
) |
| DreamWorks Animation SKG, Cl A* |
|
|
|
|
(65,900 |
) |
|
|
(1,797 |
) |
| Express* |
|
|
|
|
(40,300 |
) |
|
|
(629 |
) |
| Federal-Mogul Holdings, Cl A* |
|
|
|
|
(7,300 |
) |
|
|
(109 |
) |
| Ford Motor |
|
|
|
|
(248,600 |
) |
|
|
(3,677 |
) |
| Fox Factory Holding* |
|
|
|
|
(9,000 |
) |
|
|
(139 |
) |
| Fuel Systems Solutions* |
|
|
|
|
(97,100 |
) |
|
|
(865 |
) |
|
|
|
| 222 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| General Motors |
|
|
|
|
(5,000 |
) |
|
$ |
(160 |
) |
| GNC Holdings, Cl A |
|
|
|
|
(21,900 |
) |
|
|
(848 |
) |
| Gray Television* |
|
|
|
|
(97,700 |
) |
|
|
(770 |
) |
| Groupon, Cl A* |
|
|
|
|
(701,900 |
) |
|
|
(4,689 |
) |
| Harley-Davidson, Cl A |
|
|
|
|
(66,800 |
) |
|
|
(3,888 |
) |
| Liberty Ventures, Ser A* |
|
|
|
|
(5,500 |
) |
|
|
(209 |
) |
| Life Time Fitness* |
|
|
|
|
(1,900 |
) |
|
|
(96 |
) |
| M/I Homes* |
|
|
|
|
(17,300 |
) |
|
|
(343 |
) |
| Mattel |
|
|
|
|
(46,000 |
) |
|
|
(1,410 |
) |
| Motorcar Parts & Accesories* |
|
|
|
|
(53,500 |
) |
|
|
(1,456 |
) |
| New York* |
|
|
|
|
(12,400 |
) |
|
|
(38 |
) |
| Nexstar Broadcasting Group, Cl A |
|
|
|
|
(75,800 |
) |
|
|
(3,064 |
) |
| Perry Ellis International, Cl A* |
|
|
|
|
(25,800 |
) |
|
|
(525 |
) |
| Pier 1 Imports |
|
|
|
|
(108,300 |
) |
|
|
(1,288 |
) |
| Pinnacle Entertainment* |
|
|
|
|
(140,500 |
) |
|
|
(3,525 |
) |
| ReachLocal* |
|
|
|
|
(7,400 |
) |
|
|
(27 |
) |
| Remy International |
|
|
|
|
(2,200 |
) |
|
|
(45 |
) |
| RetailMeNot* |
|
|
|
|
(152,200 |
) |
|
|
(2,459 |
) |
| Ryland Group |
|
|
|
|
(52,600 |
) |
|
|
(1,748 |
) |
| Scientific Games, Cl A* |
|
|
|
|
(389,500 |
) |
|
|
(4,195 |
) |
| Sears Hometown and Outlet Stores* |
|
|
|
|
(3,500 |
) |
|
|
(54 |
) |
| SeaWorld Entertainment |
|
|
|
|
(124,700 |
) |
|
|
(2,398 |
) |
| Stoneridge* |
|
|
|
|
(42,300 |
) |
|
|
(477 |
) |
| Town Sports International Holdings |
|
|
|
|
(54,600 |
) |
|
|
(366 |
) |
| TRI Pointe Homes* |
|
|
|
|
(143,700 |
) |
|
|
(1,860 |
) |
| UCP, Cl A* |
|
|
|
|
(4,900 |
) |
|
|
(59 |
) |
| ValueVision Media, Cl A* |
|
|
|
|
(74,200 |
) |
|
|
(381 |
) |
| VOXX International, Cl A* |
|
|
|
|
(22,800 |
) |
|
|
(212 |
) |
| Winnebago Industries* |
|
|
|
|
(7,000 |
) |
|
|
(152 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(58,513 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — (1.5)% |
|
|
|
|
|
|
|
|
|
|
| Bancorp* |
|
|
|
|
(57,100 |
) |
|
|
(490 |
) |
| eHealth* |
|
|
|
|
(93,700 |
) |
|
|
(2,261 |
) |
| Ezcorp, Cl A* |
|
|
|
|
(54,900 |
) |
|
|
(544 |
) |
| Ocwen Financial* |
|
|
|
|
(195,400 |
) |
|
|
(5,116 |
) |
| Regional Management* |
|
|
|
|
(14,000 |
) |
|
|
(251 |
) |
| WisdomTree Investments* |
|
|
|
|
(417,100 |
) |
|
|
(4,747 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(13,409 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — (1.4)% |
|
|
|
|
|
|
|
|
|
|
| Ameresco, Cl A* |
|
|
|
|
(46,700 |
) |
|
|
(320 |
) |
| Chart Industries* |
|
|
|
|
(37,900 |
) |
|
|
(2,317 |
) |
| Layne Christensen* |
|
|
|
|
(30,300 |
) |
|
|
(294 |
) |
| LMI Aerospace* |
|
|
|
|
(30,200 |
) |
|
|
(387 |
) |
| NCI Building Systems* |
|
|
|
|
(23,000 |
) |
|
|
(446 |
) |
| Ply Gem Holdings* |
|
|
|
|
(58,900 |
) |
|
|
(639 |
) |
| Powell Industries |
|
|
|
|
(4,700 |
) |
|
|
(192 |
) |
| Power Solutions International* |
|
|
|
|
(4,900 |
) |
|
|
(338 |
) |
| PowerSecure International* |
|
|
|
|
(287,600 |
) |
|
|
(2,755 |
) |
| UTI Worldwide* |
|
|
|
|
(468,700 |
) |
|
|
(4,982 |
) |
| Wesco Aircraft Holdings* |
|
|
|
|
(5,600 |
) |
|
|
(97 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,767 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — (3.9)% |
|
|
|
|
|
|
|
|
|
|
| Apple |
|
|
|
|
(13,400 |
) |
|
$ |
(1,350 |
) |
| Applied Micro Circuits* |
|
|
|
|
(554,100 |
) |
|
|
(3,879 |
) |
| Audience* |
|
|
|
|
(16,600 |
) |
|
|
(123 |
) |
| CalAmp* |
|
|
|
|
(39,800 |
) |
|
|
(701 |
) |
| Calix* |
|
|
|
|
(58,100 |
) |
|
|
(556 |
) |
| CEVA, Cl A* |
|
|
|
|
(6,100 |
) |
|
|
(82 |
) |
| Cray* |
|
|
|
|
(45,700 |
) |
|
|
(1,199 |
) |
| CUI Global* |
|
|
|
|
(4,400 |
) |
|
|
(32 |
) |
| Digi International* |
|
|
|
|
(7,700 |
) |
|
|
(58 |
) |
| Dot Hill Systems* |
|
|
|
|
(30,700 |
) |
|
|
(116 |
) |
| Electro Scientific Industries |
|
|
|
|
(48,400 |
) |
|
|
(329 |
) |
| Entropic Communications* |
|
|
|
|
(499,400 |
) |
|
|
(1,328 |
) |
| Exar* |
|
|
|
|
(21,600 |
) |
|
|
(193 |
) |
| Extreme Networks* |
|
|
|
|
(456,900 |
) |
|
|
(2,189 |
) |
| Finisar* |
|
|
|
|
(213,000 |
) |
|
|
(3,542 |
) |
| Hutchinson Technology* |
|
|
|
|
(28,000 |
) |
|
|
(102 |
) |
| Immersion* |
|
|
|
|
(31,700 |
) |
|
|
(272 |
) |
| Intevac* |
|
|
|
|
(44,200 |
) |
|
|
(295 |
) |
| Ixia* |
|
|
|
|
(18,400 |
) |
|
|
(168 |
) |
| JDS Uniphase* |
|
|
|
|
(126,800 |
) |
|
|
(1,623 |
) |
| Kemet* |
|
|
|
|
(27,500 |
) |
|
|
(113 |
) |
| Kopin* |
|
|
|
|
(11,100 |
) |
|
|
(38 |
) |
| Maxwell Technologies* |
|
|
|
|
(166,400 |
) |
|
|
(1,451 |
) |
| MoSys* |
|
|
|
|
(46,800 |
) |
|
|
(113 |
) |
| Nanometrics* |
|
|
|
|
(8,200 |
) |
|
|
(124 |
) |
| NeoPhotonics* |
|
|
|
|
(26,700 |
) |
|
|
(89 |
) |
| Numerex, Cl A* |
|
|
|
|
(4,600 |
) |
|
|
(48 |
) |
| Peregrine Semiconductor* |
|
|
|
|
(21,800 |
) |
|
|
(270 |
) |
| Procera Networks* |
|
|
|
|
(198,500 |
) |
|
|
(1,902 |
) |
| Radisys* |
|
|
|
|
(35,800 |
) |
|
|
(96 |
) |
| Silicon Graphics International* |
|
|
|
|
(124,800 |
) |
|
|
(1,152 |
) |
| Speed Commerce* |
|
|
|
|
(11,400 |
) |
|
|
(31 |
) |
| SunEdison* |
|
|
|
|
(290,400 |
) |
|
|
(5,483 |
) |
| Ultratech* |
|
|
|
|
(78,600 |
) |
|
|
(1,788 |
) |
| Veeco Instruments* |
|
|
|
|
(99,500 |
) |
|
|
(3,478 |
) |
| Viasat* |
|
|
|
|
(24,100 |
) |
|
|
(1,328 |
) |
| Vitesse Semiconductor* |
|
|
|
|
(41,000 |
) |
|
|
(147 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(35,788 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — (1.3)% |
|
|
|
|
|
|
|
|
|
|
| Advanced Emissions Solutions* |
|
|
|
|
(57,300 |
) |
|
|
(1,219 |
) |
| AM Castle* |
|
|
|
|
(38,000 |
) |
|
|
(325 |
) |
| American Vanguard, Cl B |
|
|
|
|
(263,000 |
) |
|
|
(2,945 |
) |
| Axiall |
|
|
|
|
(29,900 |
) |
|
|
(1,071 |
) |
| Coeur Mining* |
|
|
|
|
(225,600 |
) |
|
|
(1,119 |
) |
| Horsehead Holding* |
|
|
|
|
(16,300 |
) |
|
|
(269 |
) |
| Louisiana-Pacific* |
|
|
|
|
(368,000 |
) |
|
|
(5,001 |
) |
| LSB Industries* |
|
|
|
|
(6,500 |
) |
|
|
(232 |
) |
| Wausau Paper |
|
|
|
|
(22,100 |
) |
|
|
(175 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,356 |
) |
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock Sold Short
(Proceeds ($139,491)) ($ Thousands) |
|
|
$ |
(132,833 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
223 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2014
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Brent Crude Penultimate** |
|
|
246 |
|
|
|
Dec-2014 |
|
|
$ |
(1,160 |
) |
| Brent Crude Penultimate** |
|
|
75 |
|
|
|
Nov-2014 |
|
|
|
(717 |
) |
| Brent Crude Penultimate** |
|
|
(93 |
) |
|
|
Nov-2015 |
|
|
|
424 |
|
| Coffee ‘C’** |
|
|
94 |
|
|
|
Dec-2014 |
|
|
|
119 |
|
| Copper** |
|
|
135 |
|
|
|
Dec-2014 |
|
|
|
(571 |
) |
| Copper** |
|
|
(20 |
) |
|
|
Mar-2015 |
|
|
|
93 |
|
| Corn** |
|
|
605 |
|
|
|
Dec-2014 |
|
|
|
(354 |
) |
| Cotton No. 2** |
|
|
(339 |
) |
|
|
Dec-2014 |
|
|
|
464 |
|
| Crude Oil** |
|
|
94 |
|
|
|
Nov-2014 |
|
|
|
(430 |
) |
| Crude Oil** |
|
|
(39 |
) |
|
|
Nov-2014 |
|
|
|
86 |
|
| Crude Oil** |
|
|
39 |
|
|
|
Nov-2015 |
|
|
|
(147 |
) |
| E-MINI MSCI Future |
|
|
(152 |
) |
|
|
Dec-2014 |
|
|
|
380 |
|
| Feeder Cattle** |
|
|
(38 |
) |
|
|
Jan-2015 |
|
|
|
(235 |
) |
| Gas** |
|
|
(19 |
) |
|
|
Nov-2014 |
|
|
|
128 |
|
| Gold** |
|
|
95 |
|
|
|
Dec-2014 |
|
|
|
(363 |
) |
| Heating Oil** |
|
|
(57 |
) |
|
|
Feb-2015 |
|
|
|
504 |
|
| Heating Oil** |
|
|
57 |
|
|
|
Nov-2014 |
|
|
|
(529 |
) |
| Heating Oil** |
|
|
114 |
|
|
|
Oct-2014 |
|
|
|
(1,089 |
) |
| Lead** |
|
|
38 |
|
|
|
Nov-2014 |
|
|
|
(70 |
) |
| Live Cattle** |
|
|
57 |
|
|
|
Dec-2014 |
|
|
|
63 |
|
| LME Aluminum** |
|
|
169 |
|
|
|
Nov-2014 |
|
|
|
(503 |
) |
| LME Nickel** |
|
|
116 |
|
|
|
Nov-2014 |
|
|
|
(1,656 |
) |
| LME Zinc** |
|
|
58 |
|
|
|
Jun-2015 |
|
|
|
137 |
|
| LME Zinc** |
|
|
59 |
|
|
|
Nov-2014 |
|
|
|
(131 |
) |
| Natural Gas** |
|
|
491 |
|
|
|
Oct-2014 |
|
|
|
669 |
|
| Palladium** |
|
|
114 |
|
|
|
Dec-2014 |
|
|
|
(1,054 |
) |
| Platinum** |
|
|
131 |
|
|
|
Jan-2015 |
|
|
|
(543 |
) |
| S&P 500 Index E-MINI |
|
|
(154 |
) |
|
|
Dec-2014 |
|
|
|
81 |
|
| Silver 5,000oz** |
|
|
134 |
|
|
|
Dec-2014 |
|
|
|
(1,831 |
) |
| Soybean** |
|
|
191 |
|
|
|
Dec-2014 |
|
|
|
(764 |
) |
| Soybean** |
|
|
95 |
|
|
|
Nov-2014 |
|
|
|
(26 |
) |
| Soybean Meal** |
|
|
98 |
|
|
|
Dec-2014 |
|
|
|
(950 |
) |
| Sugar #11** |
|
|
400 |
|
|
|
Feb-2015 |
|
|
|
(180 |
) |
| U.S. 10-Year Treasury Note |
|
|
(238 |
) |
|
|
Dec-2014 |
|
|
|
148 |
|
| U.S. 2-Year Treasury Note |
|
|
(20 |
) |
|
|
Dec-2014 |
|
|
|
— |
|
| U.S. 5-Year Treasury Note |
|
|
(121 |
) |
|
|
Dec-2014 |
|
|
|
9 |
|
| U.S. Long Treasury Bond |
|
|
(32 |
) |
|
|
Dec-2014 |
|
|
|
35 |
|
| U.S. Ultra Long Treasury Bond |
|
|
23 |
|
|
|
Dec-2014 |
|
|
|
2 |
|
| Wheat** |
|
|
267 |
|
|
|
Dec-2014 |
|
|
|
(1,033 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(10,994 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2014, is as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 10/10/14 |
|
|
CAD |
|
|
|
4,990 |
|
|
|
USD |
|
|
|
4,551 |
|
|
$ |
87 |
|
| 10/10/14 |
|
|
USD |
|
|
|
267 |
|
|
|
CAD |
|
|
|
293 |
|
|
|
(5 |
) |
| 10/14/14 |
|
|
GBP |
|
|
|
201 |
|
|
|
USD |
|
|
|
333 |
|
|
|
8 |
|
| 10/16/14 |
|
|
EUR |
|
|
|
7,742 |
|
|
|
USD |
|
|
|
10,148 |
|
|
|
367 |
|
| 10/16/14 |
|
|
USD |
|
|
|
4,346 |
|
|
|
EUR |
|
|
|
3,294 |
|
|
|
(185 |
) |
| 10/17/14 |
|
|
JPY |
|
|
|
474,261 |
|
|
|
USD |
|
|
|
4,524 |
|
|
|
200 |
|
| 10/17/14 |
|
|
USD |
|
|
|
2,044 |
|
|
|
JPY |
|
|
|
223,336 |
|
|
|
(7 |
) |
| 10/24/14 |
|
|
AUD |
|
|
|
3,919 |
|
|
|
USD |
|
|
|
3,574 |
|
|
|
151 |
|
| 10/31/14 |
|
|
NZD |
|
|
|
2,842 |
|
|
|
USD |
|
|
|
2,309 |
|
|
|
102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30,
2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
to
Deliver ($ Thousands) |
|
|
Currency to
Receive
($ Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| BNP Paribas |
|
|
(5,466 |
) |
|
|
5,610 |
|
|
$ |
144 |
|
| Brown Brothers Harriman |
|
|
(4,597 |
) |
|
|
4,792 |
|
|
|
195 |
|
| Goldman Sachs |
|
|
(2,533 |
) |
|
|
2,643 |
|
|
|
110 |
|
| Royal Bank of Scotland |
|
|
(7,719 |
) |
|
|
7,614 |
|
|
|
(105 |
) |
| UBS |
|
|
(10,867 |
) |
|
|
11,241 |
|
|
|
374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open forward foreign currency contracts, as presented in
the table above, are representative of the volume of activity for the derivative type during the year.
A list of open OTC swap agreements held by the Fund at September 30, 2014, are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
($ Thousands) |
|
|
Net Unrealized
Appreciation
($ Thousands) |
|
| Bank of America |
|
Societe Generale |
|
SELL |
|
3.00 |
|
12/20/17 |
|
$ |
(550 |
) |
|
$ |
35 |
|
| Credit Suisse |
|
Kohl’s Corporation |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(471 |
) |
|
|
7 |
|
| Credit Suisse |
|
Kohl’s Corporation |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(190 |
) |
|
|
3 |
|
| Credit Suisse |
|
Kohl’s Corporation |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(192 |
) |
|
|
3 |
|
| Credit Suisse |
|
Kohl’s Corporation |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(276 |
) |
|
|
4 |
|
| Deutsche Bank |
|
Anadarko Petroleum Corporation |
|
SELL |
|
1.00 |
|
09/20/17 |
|
|
(500 |
) |
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Notional Amount
($ Thousands) |
|
Net Unrealized
Appreciation
($ Thousands) |
|
| JPMorgan Chase Bank |
|
2.83% |
|
3 Month USD - LIBOR |
|
04/12/42 |
|
$2,790 |
|
$ |
155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 224 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
A list of open centrally cleared swap agreements held by the Fund at September 30, 2014, are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
($ Thousands) |
|
|
Net Unrealized
Depreciation
($ Thousands) |
|
| Morgan Stanley |
|
CDX.NA.HY. 21 V1 cleared |
|
BUY |
|
(5.00) |
|
12/20/18 |
|
$ |
2,856 |
|
|
$ |
(99 |
) |
| Morgan Stanley |
|
CDX.NA.IG. 22 V1 cleared |
|
BUY |
|
(1.00) |
|
06/20/19 |
|
|
8,590 |
|
|
|
(23 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(122 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Currency |
|
Notional Amount
(Thousands) |
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
3.31% |
|
05/06/34 |
|
|
|
1,510 |
|
$ |
70 |
|
| Morgan Stanley |
|
4.63% |
|
3-Month NZD - BKBM |
|
09/25/24 |
|
NZD |
|
4,260 |
|
|
(16 |
) |
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
2.69% |
|
09/24/24 |
|
|
|
3,090 |
|
|
12 |
|
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
2.67% |
|
07/18/24 |
|
|
|
2,060 |
|
|
16 |
|
| Morgan Stanley |
|
2.67% |
|
3-Month USD - LIBOR |
|
07/10/24 |
|
|
|
2,570 |
|
|
(24 |
) |
| Morgan Stanley |
|
2.63% |
|
3-Month USD - LIBOR |
|
07/02/24 |
|
|
|
4,100 |
|
|
(25 |
) |
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
2.63% |
|
05/29/24 |
|
|
|
1,990 |
|
|
18 |
|
| Morgan Stanley |
|
2.63% |
|
3-Month USD - LIBOR |
|
05/23/24 |
|
|
|
3,980 |
|
|
(38 |
) |
| Morgan Stanley |
|
2.82% |
|
3-Month USD - LIBOR |
|
04/28/24 |
|
|
|
3,520 |
|
|
(103 |
) |
| Morgan Stanley |
|
2.89% |
|
3-Month USD - LIBOR |
|
02/14/24 |
|
|
|
2,310 |
|
|
(66 |
) |
| Morgan Stanley |
|
2.98% |
|
3-Month USD - LIBOR |
|
01/14/24 |
|
|
|
2,630 |
|
|
(103 |
) |
| Morgan Stanley |
|
2.24% |
|
3-Month USD - LIBOR |
|
06/25/21 |
|
|
|
2,100 |
|
|
(8 |
) |
| Morgan Stanley |
|
3-Month NZD - BKBM |
|
4.39% |
|
09/25/19 |
|
NZD |
|
6,340 |
|
|
7 |
|
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
1.70% |
|
07/02/19 |
|
|
|
1,900 |
|
|
(10 |
) |
| Morgan Stanley |
|
0.54% |
|
3-Month USD - LIBOR |
|
05/06/16 |
|
|
|
56,710 |
|
|
(16 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(286 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open swap agreements, as presented in the tables above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $923,541 ($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Future is held by Inflation Commodity Strategy Subsidiary, Ltd. as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| (A) |
|
Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2014. |
| (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 not be
sold 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) |
|
Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2014. The coupon on a step bond changes on a specified
date. |
| (D) |
|
Security, or portion thereof, is held by Inflation Commodity Strategy Subsidiary, Ltd. as of September 30, 2014. |
| (E) |
|
The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BKBM — New Zealand Bank Bill Reference Rate
BRL
— Brazilian Real
CAD — Canadian Dollar
Cl — Class
CNY — Chinese Yuan
ETF — Exchange Traded Fund
EUR — Euro
FNMA — Fannie Mae
GBP — British Pound
HKD — Hong Kong Dollar
JPY —
Japanese Yen
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MTN — Medium Term Note
NOK — Norwegian Krone
NYMEX — New York
Mercantile Exchange
NZD — New Zealand Dollar
RUB — Russian Ruble
Ser — Series
SGD — Singapore Dollar
THB — Thailand Baht
USD — United States Dollar
ZAR — South
African Rand
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other
financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
273,795 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
273,795 |
|
| Corporate Obligations |
|
|
— |
|
|
|
62,867 |
|
|
|
— |
|
|
|
62,867 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
40,131 |
|
|
|
— |
|
|
|
40,131 |
|
| Mortgage-Backed Securities |
|
|
— |
|
|
|
39,124 |
|
|
|
— |
|
|
|
39,124 |
|
| Sovereign Debt |
|
|
— |
|
|
|
385 |
|
|
|
— |
|
|
|
385 |
|
| Preferred Stock |
|
|
— |
|
|
|
55 |
|
|
|
— |
|
|
|
55 |
|
| Time Deposits |
|
|
— |
|
|
|
38,829 |
|
|
|
— |
|
|
|
38,829 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
619,683 |
|
|
|
— |
|
|
|
619,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
273,795 |
|
|
$ |
801,074 |
|
|
$ |
— |
|
|
$ |
1,074,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securities Sold Short |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
(132,833 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(132,833 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Securities Sold Short |
|
$ |
(132,833 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(132,833 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
225 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Concluded)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
3,342 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,342 |
|
| Unrealized Depreciation |
|
|
(14,336 |
) |
|
|
— |
|
|
|
— |
|
|
|
(14,336 |
) |
| Forwards* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
915 |
|
|
|
— |
|
|
|
915 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(197 |
) |
|
|
— |
|
|
|
(197 |
) |
| OTC Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
71 |
|
|
|
— |
|
|
|
71 |
|
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
155 |
|
|
|
— |
|
|
|
155 |
|
| Centrally Cleared Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(122 |
) |
|
|
— |
|
|
|
(122 |
) |
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
123 |
|
|
|
— |
|
|
|
123 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(409 |
) |
|
|
— |
|
|
|
(409 |
) |
| Reverse Repurchase |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agreements** |
|
|
(124,997 |
) |
|
|
— |
|
|
|
— |
|
|
|
(124,997 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(135,991 |
) |
|
$ |
536 |
|
|
$ |
— |
|
|
$ |
(135,455 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
| ** |
|
See Note 2 for more information on the reverse repurchase agreements. |
For the year ended September 30, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designed as ‘‘— ‘‘are $0 or have been rounded to $0.
The accompanying
notes are an integral part of the financial statements.
|
|
|
| 226 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| MORTGAGE-BACKED SECURITIES — 7.4% |
|
|
| Agency Mortgage-Backed Obligations — 7.4% |
|
| FHLMC |
|
|
|
|
|
|
|
|
| 2.500%, 05/27/2016 |
|
$ |
14,579 |
|
|
$ |
15,065 |
|
| FNMA |
|
|
|
|
|
|
|
|
| 5.250%, 09/15/2016 |
|
|
13,355 |
|
|
|
14,544 |
|
| 3.000%, 07/01/2043 to 10/01/2043 |
|
|
3,619 |
|
|
|
3,573 |
|
| FNMA TBA |
|
|
|
|
|
|
|
|
| 3.500%, 11/01/2040 |
|
|
6,494 |
|
|
|
6,618 |
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $39,687) ($ Thousands) |
|
|
|
|
|
|
39,800 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 5.3% |
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 3.625%, 08/15/2043 |
|
|
8,060 |
|
|
|
8,713 |
|
| U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
|
|
|
| 3.875%, 04/15/2029 |
|
|
419 |
|
|
|
590 |
|
| 3.625%, 04/15/2028 |
|
|
332 |
|
|
|
450 |
|
| 3.375%, 04/15/2032 |
|
|
137 |
|
|
|
190 |
|
| 2.625%, 07/15/2017 |
|
|
241 |
|
|
|
263 |
|
| 2.500%, 07/15/2016 to 01/15/2029 |
|
|
843 |
|
|
|
944 |
|
| 2.375%, 01/15/2017 to 01/15/2027 |
|
|
1,361 |
|
|
|
1,566 |
|
| 2.125%, 02/15/2040 to 02/15/2041 |
|
|
660 |
|
|
|
785 |
|
| 2.000%, 01/15/2016 to 01/15/2026 |
|
|
982 |
|
|
|
1,057 |
|
| 1.875%, 07/15/2019 |
|
|
354 |
|
|
|
387 |
|
| 1.750%, 01/15/2028 |
|
|
248 |
|
|
|
276 |
|
| 1.625%, 01/15/2018 |
|
|
348 |
|
|
|
369 |
|
| 1.375%, 07/15/2018 to 02/15/2044 |
|
|
1,088 |
|
|
|
1,158 |
|
| 1.250%, 07/15/2020 |
|
|
672 |
|
|
|
714 |
|
| 1.125%, 01/15/2021 |
|
|
773 |
|
|
|
811 |
|
| 0.750%, 02/15/2042 |
|
|
420 |
|
|
|
384 |
|
| 0.625%, 07/15/2021 to 02/15/2043 |
|
|
1,979 |
|
|
|
1,963 |
|
| 0.375%, 07/15/2023 |
|
|
931 |
|
|
|
921 |
|
| 0.125%, 04/15/2016 to 07/15/2024 |
|
|
6,961 |
|
|
|
6,897 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $27,379) ($ Thousands) |
|
|
|
|
|
|
28,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| FOREIGN COMMON STOCK — 3.2% |
|
| Anhui Gujing Distillery, Cl B |
|
|
138,066 |
|
|
$ |
396 |
|
| Bengang Steel Plates, Cl B |
|
|
1,308,375 |
|
|
|
494 |
|
| Changchai, Cl B |
|
|
168,892 |
|
|
|
122 |
|
| China Fangda Group, Cl B |
|
|
893,798 |
|
|
|
520 |
|
| China Merchants Property Development, Cl B |
|
|
98,167 |
|
|
|
161 |
|
| China National Accord Medicines, Cl B |
|
|
12,493 |
|
|
|
65 |
|
| CSG Holding |
|
|
427,502 |
|
|
|
321 |
|
| Dalian Refrigeration, Cl B |
|
|
128,293 |
|
|
|
126 |
|
| Danhua Chemical Technology, Cl B* |
|
|
659,301 |
|
|
|
364 |
|
| Dazhong Transportation Group, Cl B |
|
|
683,101 |
|
|
|
469 |
|
| Dongxu Optoelectronic Technology, Cl B* |
|
|
342,360 |
|
|
|
314 |
|
| Double Coin Holdings, Cl B |
|
|
440,858 |
|
|
|
337 |
|
| Eastern Communications, Cl B |
|
|
794,603 |
|
|
|
494 |
|
| Fiyta Holdings, Cl B |
|
|
132,810 |
|
|
|
134 |
|
| Foshan Electrical and Lighting, Cl B |
|
|
553,874 |
|
|
|
542 |
|
| Greattown Holdings, Cl B* |
|
|
733,680 |
|
|
|
412 |
|
| Guangdong Electric Power Development, Cl B |
|
|
436,301 |
|
|
|
288 |
|
| Guangdong Provincial Expressway Development |
|
|
931,689 |
|
|
|
358 |
|
| Huadian Energy, Cl B* |
|
|
444,200 |
|
|
|
173 |
|
| Huangshan Tourism Development, Cl B |
|
|
360,432 |
|
|
|
515 |
|
| Hubei Sanonda, Cl B |
|
|
43,006 |
|
|
|
53 |
|
| Hunan Tyen Machinery, Cl B* |
|
|
861,082 |
|
|
|
420 |
|
| INESA Electron, Cl B* |
|
|
265,209 |
|
|
|
140 |
|
| Jiangling Motors, Cl B |
|
|
9,805 |
|
|
|
38 |
|
| Jinshan Development & Construction, Cl B* |
|
|
341,107 |
|
|
|
249 |
|
| Konka Group, Cl B |
|
|
463,900 |
|
|
|
194 |
|
| Lao Feng Xiang, Cl B |
|
|
135,210 |
|
|
|
404 |
|
| Shandong Chenming Paper Holdings, Cl B |
|
|
944,591 |
|
|
|
479 |
|
| Shang Gong Group, Cl B* |
|
|
813,305 |
|
|
|
549 |
|
| Shanghai Baosight Software, Cl B |
|
|
82,402 |
|
|
|
169 |
|
| Shanghai Chlor-Alkali Chemical, Cl B |
|
|
923,881 |
|
|
|
461 |
|
| Shanghai Dajiang Food Group, Cl B* |
|
|
1,148,197 |
|
|
|
470 |
|
| Shanghai Diesel Engine, Cl B |
|
|
654,220 |
|
|
|
494 |
|
| Shanghai Dingli Technology Development Group, Cl B |
|
|
415,993 |
|
|
|
281 |
|
| Shanghai Haixin Group, Cl B* |
|
|
982,233 |
|
|
|
518 |
|
| Shanghai Highly Group, Cl B |
|
|
563,126 |
|
|
|
332 |
|
| Shanghai Jinjiang International Hotels Development |
|
|
302,608 |
|
|
|
556 |
|
| Shanghai Jinjiang International Industrial Development, Cl B |
|
|
168,628 |
|
|
|
161 |
|
| Shanghai Kaikai Industrial, Cl B |
|
|
551,914 |
|
|
|
519 |
|
| Shanghai Lujiazui Finance & Trade Zone Development, Cl B |
|
|
238,315 |
|
|
|
391 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
227 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount (1)
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
| Shanghai Material Trading, Cl B* |
|
|
558,930 |
|
|
$ |
405 |
|
| Shanghai Outer Gaoqiao, Cl B |
|
|
201,502 |
|
|
|
395 |
|
| Shanghai Potevio, Cl B* |
|
|
592,556 |
|
|
|
538 |
|
| Shanxi Guoxin Energy, Cl B* |
|
|
186,458 |
|
|
|
320 |
|
| Shenzhen Properties & Resources Development Group, Cl B |
|
|
46,900 |
|
|
|
36 |
|
| Shenzhen SEG, Cl B* |
|
|
810,155 |
|
|
|
360 |
|
| Shenzhen Textile Holdings, Cl B* |
|
|
61,654 |
|
|
|
56 |
|
| Tianjin Marine Shipping, Cl B* |
|
|
1,569,496 |
|
|
|
659 |
|
| Weifu High-Technology Group, Cl B |
|
|
46,268 |
|
|
|
161 |
|
| Wuxi Little Swan, Cl B |
|
|
66,093 |
|
|
|
98 |
|
| Yantai Changyu Pioneer Wine, Cl B |
|
|
174,747 |
|
|
|
565 |
|
| Zhonglu, Cl B |
|
|
412,483 |
|
|
|
494 |
|
|
|
|
|
|
|
|
|
|
| Total Foreign Common Stock
(Cost $15,287) ($ Thousands) |
|
|
|
17,570 |
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN DEBT — 2.7% |
|
|
|
|
|
| Bundesrepublik Deutschland |
|
|
|
|
|
|
|
|
| 3.250%, 07/04/42 |
|
EUR |
2,995 |
|
|
|
4,959 |
|
| Canadian Government Bond |
|
|
|
|
|
|
|
|
| 1.500%, 06/01/23 |
|
CAD |
5,435 |
|
|
|
4,651 |
|
| United Kingdom GILT |
|
|
|
|
|
|
|
|
| 4.500%, 12/07/42 |
|
GBP |
2,360 |
|
|
|
4,896 |
|
|
|
|
|
|
|
|
|
|
| Total Sovereign Debt
(Cost $13,470) ($ Thousands) |
|
|
|
14,506 |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — 1.0% |
|
|
| United States — 1.0% |
|
| iShares Core MSCI Emerging Markets ETF |
|
|
77,170 |
|
|
|
3,861 |
|
| iShares MSCI Brazil Capped ETF |
|
|
29,040 |
|
|
|
1,262 |
|
| WisdomTree Japan Hedged Equity Fund |
|
|
7,797 |
|
|
|
408 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $5,764) ($ Thousands) |
|
|
|
5,531 |
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK† — 0.9% |
|
|
|
|
|
| Apartment Investment & Management, 6.875% |
|
|
51,000 |
|
|
|
1,308 |
|
| Hersha Hospitality Trust, 6.875% |
|
|
49,075 |
|
|
|
1,268 |
|
| Pebblebrook Hotel Trust, 6.500% |
|
|
54,050 |
|
|
|
1,284 |
|
| Sabra Health Care, 7.125% |
|
|
43,875 |
|
|
|
1,127 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $4,950) ($ Thousands) |
|
|
|
4,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount (1)
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
| TIME DEPOSITS — 79.4% |
|
|
|
|
|
| Brown Brothers Harriman |
|
|
|
|
|
|
|
|
| 1.578%, 10/03/14 |
|
AUD |
— |
|
|
$ |
— |
|
| 0.299%, 10/01/14 |
|
CAD |
10 |
|
|
|
9 |
|
| 0.060%, 10/01/14 |
|
GBP |
53 |
|
|
|
86 |
|
| 0.030%, 10/01/14 |
|
|
425,031 |
|
|
|
425,031 |
|
| 0.005%, 10/01/14 |
|
HKD |
— |
|
|
|
— |
|
| 0.005%, 10/01/14 |
|
JPY |
488,838 |
|
|
|
4,456 |
|
| 0.000%, 10/01/14 |
|
EUR |
422 |
|
|
|
534 |
|
|
|
|
|
|
|
|
|
|
| Total Time Deposits
(Cost $430,116) ($ Thousands) |
|
|
|
430,116 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.9%
(Cost $536,653) ($ Thousands) |
|
|
$ |
540,948 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 90-Day Euro$ |
|
|
(3,325 |
) |
|
|
Dec-2015 |
|
|
$ |
416 |
|
| 90-Day Euro$ |
|
|
6,650 |
|
|
|
Dec-2016 |
|
|
|
(619 |
) |
| 90-Day Euro$ |
|
|
(3,325 |
) |
|
|
Dec-2017 |
|
|
|
(34 |
) |
| CBOE Volatility Index |
|
|
87 |
|
|
|
Dec-2014 |
|
|
|
35 |
|
| CBOE Volatility Index |
|
|
(87 |
) |
|
|
Nov-2014 |
|
|
|
(41 |
) |
| DJ Euro Stoxx 50 Index |
|
|
51 |
|
|
|
Dec-2014 |
|
|
|
12 |
|
| MSCI Index E-MINI |
|
|
258 |
|
|
|
Dec-2014 |
|
|
|
(865 |
) |
| Euro-Bund |
|
|
(146 |
) |
|
|
Dec-2014 |
|
|
|
(146 |
) |
| Euro-Buxl 30-Year Bond |
|
|
15 |
|
|
|
Dec-2014 |
|
|
|
11 |
|
| FTSE China A50 Index |
|
|
(1,285 |
) |
|
|
Oct-2014 |
|
|
|
135 |
|
| Long Gilt 10-Year Bond |
|
|
143 |
|
|
|
Dec-2014 |
|
|
|
243 |
|
| S&P 500 Index E-MINI |
|
|
295 |
|
|
|
Dec-2014 |
|
|
|
(320 |
) |
| S&P TSE 60 Index |
|
|
17 |
|
|
|
Dec-2014 |
|
|
|
(86 |
) |
| Topix Index |
|
|
11 |
|
|
|
Dec-2014 |
|
|
|
28 |
|
| U.S. 10-Year Treasury Note |
|
|
125 |
|
|
|
Dec-2014 |
|
|
|
(16 |
) |
| U.S. Ultra Long Treasury Bond |
|
|
73 |
|
|
|
Dec-2014 |
|
|
|
(36 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,283 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held
by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Settlement |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 11/4/14 |
|
|
USD |
|
|
|
8,047 |
|
|
|
BRL |
|
|
|
19,192 |
|
|
$ |
(288 |
) |
| 12/15/14 |
|
|
CAD |
|
|
|
7,351 |
|
|
|
USD |
|
|
|
6,683 |
|
|
|
117 |
|
| 12/15/14 |
|
|
EUR |
|
|
|
3,561 |
|
|
|
USD |
|
|
|
4,610 |
|
|
|
109 |
|
| 12/15/14 |
|
|
JPY |
|
|
|
481,792 |
|
|
|
USD |
|
|
|
4,563 |
|
|
|
167 |
|
| 12/15/14 |
|
|
KRW |
|
|
|
8,452,021 |
|
|
|
JPY |
|
|
|
880,419 |
|
|
|
30 |
|
| 12/15/14 |
|
|
TRY |
|
|
|
18,036 |
|
|
|
USD |
|
|
|
7,962 |
|
|
|
205 |
|
| 12/15/14 |
|
|
USD |
|
|
|
4,683 |
|
|
|
CAD |
|
|
|
5,135 |
|
|
|
(96 |
) |
| 12/15/14 |
|
|
USD |
|
|
|
4,306 |
|
|
|
JPY |
|
|
|
472,376 |
|
|
|
4 |
|
| 12/15/14 |
|
|
GBP |
|
|
|
2,842 |
|
|
|
USD |
|
|
|
4,583 |
|
|
|
(20 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 228 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at
September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency to
Deliver
($ Thousands) |
|
|
Currency to
Receive
($ Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Barclays |
|
|
(1,237 |
) |
|
|
1,213 |
|
|
$ |
(24 |
) |
| BNP Pariibas |
|
|
(390 |
) |
|
|
398 |
|
|
|
8 |
|
| Brown Brothers Harriman |
|
|
(5,306 |
) |
|
|
5,400 |
|
|
|
94 |
|
| Deutsche Bank |
|
|
(7,195 |
) |
|
|
7,237 |
|
|
|
42 |
|
| Goldman Sachs |
|
|
(29,356 |
) |
|
|
29,249 |
|
|
|
(107 |
) |
| JPMorgan Chase Bank |
|
|
(568 |
) |
|
|
573 |
|
|
|
5 |
|
| Royal Bank of Scotland |
|
|
(8,811 |
) |
|
|
9,021 |
|
|
|
210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open forward foreign currency contracts, as presented in
the table above, are representative of the volume of activity for the derivative type during the year.
A list of open OTC swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Currency |
|
Notional Amount
(Thousands) (1) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Deutsche Bank |
|
CM BX.NA.BB.6 Index |
|
SELL |
|
5.00 |
|
05/11/63 |
|
|
|
|
(5,340) |
|
|
$ |
(38) |
|
| Morgan Stanley |
|
iTRAXX-JAPAN 21.V1-5Y Index |
|
BUY |
|
(1.00) |
|
06/20/19 |
|
JPY |
|
|
1,470,100 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(30) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of open Centrally cleared swap agreements held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
| Counterparty |
|
Reference Entity/ Obligation |
|
Buy/Sell Protection |
|
(Pays)/
Receives Rate |
|
Termination Date |
|
Notional Amount
(Thousands) |
|
|
Net Unrealized
Depreciation
($ Thousands) |
|
| Morgan Stanley |
|
CDX.NA.IG.22.V1-5Y Index |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(780 |
) |
|
$ |
(1 |
) |
| Morgan Stanley |
|
CDX.NA.IG.22.V1-5Y Index |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(520 |
) |
|
|
(2 |
) |
| Morgan Stanley |
|
CDX.NA.IG.22.V1-5Y Index |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(2,950 |
) |
|
|
(15 |
) |
| Morgan Stanley |
|
CDX.NA.IG.22.V1-5Y Index |
|
SELL |
|
1.00 |
|
06/20/19 |
|
|
(1,810 |
) |
|
|
(10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(28 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Termination Date |
|
Currency |
|
|
Notional Amount
(Thousands) (1) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
3.22% |
|
09/30/44 |
|
|
|
|
|
|
6,820 |
|
|
$ |
22 |
|
| Morgan Stanley |
|
6-Month GBP - LIBOR |
|
2.87% |
|
08/27/44 |
|
|
GBP |
|
|
|
210 |
|
|
|
— |
|
| Morgan Stanley |
|
1.38% |
|
6-Month JPY - LIBOR |
|
09/30/34 |
|
|
JPY |
|
|
|
261,130 |
|
|
|
(7 |
) |
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
3.63% |
|
09/17/24 |
|
|
|
|
|
|
13,500 |
|
|
|
95 |
|
| Morgan Stanley |
|
2.00% |
|
6-Month EUR - LIBOR |
|
09/17/24 |
|
|
EUR |
|
|
|
10,400 |
|
|
|
(90 |
) |
| Morgan Stanley |
|
3-Month CAD - LIBOR |
|
2.49% |
|
08/26/24 |
|
|
CAD |
|
|
|
2,200 |
|
|
|
18 |
|
| Morgan Stanley |
|
1.97% |
|
6-Month EUR - LIBOR |
|
08/19/24 |
|
|
EUR |
|
|
|
9,900 |
|
|
|
(85 |
) |
| Morgan Stanley |
|
3-Month USD - LIBOR |
|
3.51% |
|
08/19/24 |
|
|
|
|
|
|
13,300 |
|
|
|
35 |
|
| Morgan Stanley |
|
3-Month CAD - LIBOR |
|
2.53% |
|
08/19/24 |
|
|
CAD |
|
|
|
2,790 |
|
|
|
(13 |
) |
| Morgan Stanley |
|
3-Month CAD - CDOR |
|
2.67% |
|
07/14/24 |
|
|
CAD |
|
|
|
420 |
|
|
|
4 |
|
| Morgan Stanley |
|
3-Month CAD - LIBOR |
|
2.67% |
|
06/27/24 |
|
|
CAD |
|
|
|
1,910 |
|
|
|
19 |
|
| Morgan Stanley |
|
2.70% |
|
3-Month CAD - LIBOR |
|
05/21/24 |
|
|
CAD |
|
|
|
150 |
|
|
|
2 |
|
| Morgan Stanley |
|
1.95% |
|
3-Month USD - LIBOR |
|
09/30/19 |
|
|
|
|
|
|
28,590 |
|
|
|
(10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open swap agreements, as presented in the tables above,
are representative of the volume of activity for this derivative type during the year.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
229 |
|
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund (Concluded)
September 30, 2014
Percentages are based on Net Assets of $541,602 ($Thousands).
| (1) |
|
In U.S. Dollars unless otherwise indicated. |
| * |
|
Non-income producing security. |
| † |
|
Real Estate Investment Trust. |
| EAFE |
|
— Europe, Australasia and Far East |
| ETF |
|
— Exchange Traded Fund |
| FHLMC |
|
— Federal Home Loan Mortgage Corporation |
| FNMA |
|
— Federal National Mortgage Association |
| FTSE |
|
— Financial Times and the London Stock Exchange |
| LIBOR |
|
— London Interbank Offered Rate |
| MSCI |
|
— Morgan Stanley Capital International |
| PLC |
|
— Public Limited Company |
| TIIE |
|
— Equilibrium Interbank Interest Rate |
Topix — Tokyo Stock Price
Index
TSE — Tokyo Stock Exchange
USD
— U.S. Dollar
The following is list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments
and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Mortgage-Backed Securities |
|
$ |
— |
|
|
$ |
39,800 |
|
|
$ |
— |
|
|
$ |
39,800 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
28,438 |
|
|
|
— |
|
|
|
28,438 |
|
| Foreign Common Stock |
|
|
17,228 |
|
|
|
342 |
|
|
|
— |
|
|
|
17,570 |
|
| Sovereign Debt |
|
|
— |
|
|
|
14,506 |
|
|
|
— |
|
|
|
14,506 |
|
| Exchange Traded Funds |
|
|
5,531 |
|
|
|
— |
|
|
|
— |
|
|
|
5,531 |
|
| Preferred Stock |
|
|
— |
|
|
|
4,987 |
|
|
|
— |
|
|
|
4,987 |
|
| Time Deposits |
|
|
— |
|
|
|
430,116 |
|
|
|
— |
|
|
|
430,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
22,759 |
|
|
$ |
518,189 |
|
|
$ |
— |
|
|
$ |
540,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
880 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
880 |
|
| Unrealized Depreciation |
|
|
(2,163 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,163 |
) |
| Forwards* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
632 |
|
|
|
— |
|
|
|
632 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(404 |
) |
|
|
— |
|
|
|
(404 |
) |
| OTC Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
8 |
|
|
|
— |
|
|
|
8 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(38 |
) |
|
|
— |
|
|
|
(38 |
) |
| Centrally Cleared Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(28 |
) |
|
|
— |
|
|
|
(28 |
) |
| Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
195 |
|
|
|
— |
|
|
|
195 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(205 |
) |
|
|
— |
|
|
|
(205 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(1,283 |
) |
|
$ |
160 |
|
|
$ |
— |
|
|
$ |
(1,123 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.
|
For the year ended September 30, 2014, there have been no transfers between Level 1 and Level 2 assets
and liabilities.
For the year ended September 30, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘— ‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
|
230
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30,
2014 |
This page intentionally
left blank.
Statements of Assets and Liabilities ($ Thousands)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Large Cap
Fund |
|
|
Large Cap
Value Fund |
|
|
Large Cap
Growth Fund |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments, at value† |
|
$ |
2,440,066 |
* |
|
$ |
1,485,294 |
* |
|
$ |
1,540,942 |
* |
| Affiliated investment, at value†† |
|
|
207,195 |
|
|
|
109,975 |
|
|
|
68,753 |
|
| Cash |
|
|
— |
|
|
|
166 |
|
|
|
4 |
|
| Foreign currency, at value††† |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Receivable for investment securities sold |
|
|
5,797 |
|
|
|
4,746 |
|
|
|
4,209 |
|
| Receivable for fund shares sold |
|
|
3,155 |
|
|
|
2,442 |
|
|
|
1,501 |
|
| Dividends and interest receivable |
|
|
1,797 |
|
|
|
1,911 |
|
|
|
884 |
|
| Prepaid Expenses |
|
|
17 |
|
|
|
13 |
|
|
|
11 |
|
| Total Assets |
|
|
2,658,027 |
|
|
|
1,604,547 |
|
|
|
1,616,304 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Payable upon return on securities loaned |
|
|
61,200 |
|
|
|
60,838 |
|
|
|
47,417 |
|
| Payable for investment securities purchased |
|
|
8,194 |
|
|
|
4,321 |
|
|
|
8,364 |
|
| Payable for fund shares redeemed |
|
|
4,391 |
|
|
|
1,131 |
|
|
|
1,317 |
|
| Payable to custodian |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Payable for variation margin |
|
|
306 |
|
|
|
81 |
|
|
|
60 |
|
| Administration fees payable |
|
|
750 |
|
|
|
451 |
|
|
|
456 |
|
| Investment advisory fees payable |
|
|
813 |
|
|
|
409 |
|
|
|
468 |
|
| Shareholder servicing fees payable Class A |
|
|
328 |
|
|
|
260 |
|
|
|
199 |
|
| Shareholder servicing fees payable Class I |
|
|
— |
|
|
|
2 |
|
|
|
1 |
|
| Chief Compliance Officer fees payable |
|
|
3 |
|
|
|
2 |
|
|
|
2 |
|
| Administration servicing fees payable Class I |
|
|
— |
|
|
|
2 |
|
|
|
— |
|
| Accrued expense payable |
|
|
98 |
|
|
|
51 |
|
|
|
52 |
|
| Total Liabilities |
|
|
76,083 |
|
|
|
67,548 |
|
|
|
58,336 |
|
| Net Assets |
|
$ |
2,581,944 |
|
|
$ |
1,536,999 |
|
|
$ |
1,557,968 |
|
| †Cost of investments |
|
|
1,845,965 |
|
|
|
1,188,281 |
|
|
|
1,206,914 |
|
| ††Cost of affiliated investments |
|
|
207,195 |
|
|
|
109,975 |
|
|
|
68,753 |
|
| †††Cost of foreign currency |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * Includes market value of securities on loan |
|
|
58,715 |
|
|
|
58,714 |
|
|
|
46,000 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in-Capital — (unlimited authorization — no par value) |
|
$ |
1,812,500 |
|
|
$ |
1,170,212 |
|
|
$ |
1,119,153 |
|
| Undistributed (distributions in excess of) net investment income |
|
|
2,462 |
|
|
|
3,825 |
|
|
|
123 |
|
| Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and
foreign currency |
|
|
174,172 |
|
|
|
66,451 |
|
|
|
104,876 |
|
| Net unrealized appreciation on investments, securities sold short, and affiliated investments |
|
|
594,101 |
|
|
|
297,013 |
|
|
|
334,028 |
|
| Net unrealized depreciation on futures contracts |
|
|
(1,291 |
) |
|
|
(502 |
) |
|
|
(212 |
) |
| Net unrealized depreciation on forward foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated in foreign currencies |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Assets |
|
$ |
2,581,944 |
|
|
$ |
1,536,999 |
|
|
$ |
1,557,968 |
|
| Net Asset Value, Offering and Redemption Price Per Share — Class A |
|
|
$15.19 |
|
|
|
$25.71 |
|
|
|
$33.82 |
|
| |
|
|
($2,581,944,383 ÷
169,956,689 shares |
) |
|
|
($1,527,500,159 ÷
59,421,715 shares |
) |
|
|
($1,550,723,038 ÷
45,854,427 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 |
|
|
N/A |
|
|
|
$25.71 |
|
|
|
$33.40 |
|
| |
|
|
|
|
|
|
($9,498,501 ÷
369,445 shares |
) |
|
|
($7,245,217 ÷
216,946 shares |
) |
| Net Asset Value, Offering and Redemption Price Per Share — Class T‡ |
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| ‡ |
|
Effective August 7, 2014, Class Y shares were redesignated as Class T shares. This share class change had no impact on the Fund’s operations or investment policy.
|
Amounts designated as “—” are $0 or have been rounded to $0.
N/A — Not Applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 232 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-Managed
Large Cap Fund |
|
|
S&P 500 Index
Fund |
|
|
Small Cap
Fund |
|
|
Small
Cap Value Fund |
|
|
Small Cap
Growth Fund |
|
|
Tax-Managed
Small/Mid Cap Fund |
|
|
Mid-Cap
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$2,928,422 |
* |
|
|
$2,453,965 |
* |
|
|
$459,031 |
* |
|
|
$364,498 |
* |
|
|
$327,395 |
* |
|
|
$536,161 |
* |
|
|
$93,999 |
* |
| |
272,934 |
|
|
|
68,187 |
|
|
|
83,357 |
|
|
|
64,300 |
|
|
|
65,889 |
|
|
|
80,234 |
|
|
|
8,220 |
|
| |
18 |
|
|
|
7 |
|
|
|
10 |
|
|
|
— |
|
|
|
627 |
|
|
|
20 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
| |
— |
|
|
|
78,459 |
|
|
|
8,643 |
|
|
|
2,180 |
|
|
|
1,266 |
|
|
|
10 |
|
|
|
249 |
|
| |
2,263 |
|
|
|
418 |
|
|
|
651 |
|
|
|
760 |
|
|
|
452 |
|
|
|
410 |
|
|
|
69 |
|
| |
2,376 |
|
|
|
2,994 |
|
|
|
337 |
|
|
|
589 |
|
|
|
107 |
|
|
|
476 |
|
|
|
102 |
|
| |
20 |
|
|
|
20 |
|
|
|
3 |
|
|
|
3 |
|
|
|
3 |
|
|
|
4 |
|
|
|
1 |
|
| |
3,206,033 |
|
|
|
2,604,050 |
|
|
|
552,032 |
|
|
|
432,330 |
|
|
|
395,739 |
|
|
|
617,316 |
|
|
|
102,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
106,036 |
|
|
|
54,886 |
|
|
|
59,508 |
|
|
|
49,790 |
|
|
|
55,195 |
|
|
|
42,852 |
|
|
|
3,517 |
|
| |
3,341 |
|
|
|
— |
|
|
|
8,144 |
|
|
|
2,371 |
|
|
|
1,127 |
|
|
|
— |
|
|
|
175 |
|
| |
3,721 |
|
|
|
75,709 |
|
|
|
481 |
|
|
|
428 |
|
|
|
239 |
|
|
|
492 |
|
|
|
4,003 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
247 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
323 |
|
|
|
48 |
|
|
|
144 |
|
|
|
103 |
|
|
|
32 |
|
|
|
250 |
|
|
|
9 |
|
| |
899 |
|
|
|
399 |
|
|
|
144 |
|
|
|
114 |
|
|
|
101 |
|
|
|
170 |
|
|
|
29 |
|
| |
878 |
|
|
|
64 |
|
|
|
242 |
|
|
|
202 |
|
|
|
172 |
|
|
|
273 |
|
|
|
32 |
|
| |
410 |
|
|
|
59 |
|
|
|
65 |
|
|
|
51 |
|
|
|
41 |
|
|
|
77 |
|
|
|
21 |
|
| |
— |
|
|
|
1 |
|
|
|
— |
|
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
| |
3 |
|
|
|
3 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
| |
— |
|
|
|
2 |
|
|
|
— |
|
|
|
1 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
| |
111 |
|
|
|
161 |
|
|
|
21 |
|
|
|
15 |
|
|
|
13 |
|
|
|
26 |
|
|
|
5 |
|
| |
115,722 |
|
|
|
131,332 |
|
|
|
68,750 |
|
|
|
53,323 |
|
|
|
56,922 |
|
|
|
44,141 |
|
|
|
7,791 |
|
| |
$3,090,311 |
|
|
|
$2,472,718 |
|
|
|
$483,282 |
|
|
|
$379,007 |
|
|
|
$338,817 |
|
|
|
$573,175 |
|
|
|
$94,849 |
|
| |
1,763,856 |
|
|
|
986,767 |
|
|
|
396,505 |
|
|
|
330,405 |
|
|
|
297,578 |
|
|
|
394,151 |
|
|
|
81,002 |
|
| |
272,934 |
|
|
|
68,187 |
|
|
|
83,357 |
|
|
|
64,300 |
|
|
|
65,889 |
|
|
|
80,234 |
|
|
|
8,220 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
| |
101,757 |
|
|
|
53,007 |
|
|
|
56,717 |
|
|
|
47,343 |
|
|
|
52,772 |
|
|
|
41,356 |
|
|
|
3,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$2,183,616 |
|
|
|
$884,991 |
|
|
|
$385,246 |
|
|
|
$319,164 |
|
|
|
$391,702 |
|
|
|
$427,654 |
|
|
|
$74,445 |
|
| |
3,602 |
|
|
|
10,371 |
|
|
|
(13 |
) |
|
|
848 |
|
|
|
(1,544 |
) |
|
|
(196 |
) |
|
|
— |
|
| |
(260,118 |
) |
|
|
110,292 |
|
|
|
35,979 |
|
|
|
25,271 |
|
|
|
(81,044 |
) |
|
|
4,684 |
|
|
|
7,407 |
|
| |
1,164,566 |
|
|
|
1,467,198 |
|
|
|
62,526 |
|
|
|
34,093 |
|
|
|
29,817 |
|
|
|
142,010 |
|
|
|
12,997 |
|
| |
(1,355 |
) |
|
|
(134 |
) |
|
|
(456 |
) |
|
|
(369 |
) |
|
|
(114 |
) |
|
|
(976 |
) |
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1 |
) |
|
|
— |
|
| |
$3,090,311 |
|
|
|
$2,472,718 |
|
|
|
$483,282 |
|
|
|
$379,007 |
|
|
|
$338,817 |
|
|
|
$573,175 |
|
|
|
$94,849 |
|
| |
$19.64 |
|
|
|
$53.00 |
|
|
|
$13.01 |
|
|
|
$23.97 |
|
|
|
$25.95 |
|
|
|
$17.62 |
|
|
|
$27.53 |
|
|
($3,089,838,723 ÷
157,290,652 shares |
) |
|
|
($394,131,702 ÷
7,436,817 shares |
) |
|
|
($483,281,648 ÷
37,149,626 shares |
) |
|
|
($374,827,957 ÷
15,636,782 shares |
) |
|
|
($335,849,361 ÷
12,942,422 shares |
) |
|
|
($573,175,169 ÷
32,520,692 shares |
) |
|
|
($93,705,009 ÷
3,403,653 shares |
) |
| |
N/A |
|
|
|
$53.30 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
| |
|
|
|
|
($2,070,624,367 ÷
38,845,158 shares |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
N/A |
|
|
|
$53.22 |
|
|
|
N/A |
|
|
|
$23.81 |
|
|
|
$25.15 |
|
|
|
N/A |
|
|
|
$27.52 |
|
| |
|
|
|
|
($7,962,320 ÷
149,612 shares |
) |
|
|
|
|
|
|
($4,179,237 ÷
175,545 shares |
) |
|
|
($2,967,775 ÷
118,002 shares |
) |
|
|
|
|
|
|
($1,143,682 ÷
41,554 shares |
) |
| |
$20.29 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
($472,113 ÷
23,266 shares |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
233 |
|
Statements of Assets and Liabilities ($
Thousands) (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
U.S. Managed
Volatility Fund |
|
|
Global Managed
Volatility Fund |
|
|
Tax-Managed Managed Volatility Fund |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments, at value† |
|
$ |
981,106 |
|
|
$ |
1,693,763 |
|
|
$ |
721,407 |
|
| Affiliated investment, at value†† |
|
|
23,784 |
|
|
|
101,853 |
|
|
|
41,670 |
|
| Cash |
|
|
319 |
|
|
|
— |
|
|
|
74 |
|
| Foreign currency, at value††† |
|
|
316 |
|
|
|
71 |
|
|
|
338 |
|
| Cash collateral on futures |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cash collateral on swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Receivable for investment securities sold |
|
|
9,717 |
|
|
|
42 |
|
|
|
7,179 |
|
| Receivable for fund shares sold |
|
|
776 |
|
|
|
1,063 |
|
|
|
871 |
|
| Dividends and interest receivable |
|
|
1,946 |
|
|
|
4,538 |
|
|
|
1,401 |
|
| Receivable for variation margin |
|
|
— |
|
|
|
166 |
|
|
|
— |
|
| OTC Swap contracts, at value†††† |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swaptions purchased, at value‡ |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Unrealized gain on forward foreign currency contracts |
|
|
— |
|
|
|
8,224 |
|
|
|
— |
|
| Unrealized gain on foreign spot currency contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Prepaid Expenses |
|
|
7 |
|
|
|
11 |
|
|
|
5 |
|
| Total Assets |
|
|
1,017,971 |
|
|
|
1,809,731 |
|
|
|
772,945 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Payable upon return on securities loaned |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Payable for investment securities purchased |
|
|
9,555 |
|
|
|
42 |
|
|
|
5,645 |
|
| Payable for fund shares redeemed |
|
|
4,687 |
|
|
|
6,851 |
|
|
|
856 |
|
| Payable to custodian |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Payable for variation margin |
|
|
30 |
|
|
|
208 |
|
|
|
61 |
|
| Administration fees payable |
|
|
294 |
|
|
|
524 |
|
|
|
221 |
|
| Investment advisory fees payable |
|
|
312 |
|
|
|
710 |
|
|
|
230 |
|
| Shareholder servicing fees payable Class A |
|
|
209 |
|
|
|
373 |
|
|
|
158 |
|
| Shareholder servicing fees payable Class I |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Chief Compliance Officer fees payable |
|
|
1 |
|
|
|
2 |
|
|
|
1 |
|
| Administration servicing fees payable Class I |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Income distribution payable |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| OTC Swap contracts, at value†††† |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Options written, at value# |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Payable to affiliate |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swaptions, written, at value@ |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Unrealized loss on forward foreign currency contracts |
|
|
— |
|
|
|
40 |
|
|
|
— |
|
| Unrealized loss on foreign spot currency contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Interest payable |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Accrued expense payable |
|
|
38 |
|
|
|
105 |
|
|
|
29 |
|
| Total Liabilites |
|
|
15,126 |
|
|
|
8,855 |
|
|
|
7,201 |
|
| Net Assets |
|
$ |
1,002,845 |
|
|
$ |
1,800,876 |
|
|
$ |
765,744 |
|
| †Cost of investments and repurchase agreements |
|
|
800,764 |
|
|
|
1,581,393 |
|
|
|
548,379 |
|
| ††Cost of affiliated investments |
|
|
23,784 |
|
|
|
101,853 |
|
|
|
41,670 |
|
| †††Cost of foreign currency/(overdraft of foreign
currency) |
|
|
324 |
|
|
|
73 |
|
|
|
345 |
|
| ††††Premiums received/(paid) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| # Premiums received on written options |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| ‡ Cost of swaptions purchased |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| @ Premiums received on written swaptions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * Includes market value of securities on loan |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in-Capital — (unlimited authorization — no par value) |
|
$ |
724,179 |
|
|
$ |
1,516,753 |
|
|
$ |
544,509 |
|
| Undistributed (distributions in excess of) net investment income |
|
|
3,758 |
|
|
|
62,500 |
|
|
|
2,635 |
|
| Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and
foreign currency |
|
|
94,662 |
|
|
|
101,743 |
|
|
|
45,832 |
|
| Net unrealized appreciation (depreciation) on investments, securities sold short, and affiliated investments |
|
|
180,342 |
|
|
|
112,370 |
|
|
|
173,028 |
|
| Net unrealized appreciation (depreciation) on futures contracts |
|
|
(87 |
) |
|
|
(538 |
) |
|
|
(252 |
) |
| Net unrealized appreciation (depreciation) on swap contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net unrealized appreciation (depreciation) on options |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| 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 |
|
|
(9 |
) |
|
|
8,048 |
|
|
|
(8 |
) |
| Net Assets |
|
$ |
1,002,845 |
|
|
$ |
1,800,876 |
|
|
$ |
765,744 |
|
| Net Asset Value, Offering and Redemption Price Per Share — Class A |
|
|
$17.50 |
|
|
|
$11.41 |
|
|
|
$14.14 |
|
| |
|
|
($1,001,564,701 ÷
57,248,130 shares |
) |
|
|
($1,799,841,973 ÷
157,677,870 shares |
) |
|
|
($765,744,014 ÷
54,171,282 shares |
) |
| Net Asset Value, Offering and Redemption Price Per Share — Class I |
|
|
$17.47 |
|
|
|
$11.23 |
|
|
|
N/A |
|
| |
|
|
($1,280,540 ÷
73,288 shares |
) |
|
|
($1,034,273 ÷
92,132 shares |
) |
|
|
|
|
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 234 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate
Fund |
|
|
Enhanced
Income Fund |
|
|
Core Fixed
Income Fund |
|
|
U.S. Fixed
Income Fund |
|
|
High Yield
Bond Fund |
|
|
Real Return
Fund |
|
|
Multi-Strategy
Alternative Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
217,065 |
* |
|
$ |
233,844 |
|
|
$ |
2,167,051 |
* |
|
$ |
1,134,189 |
* |
|
$ |
1,676,285 |
* |
|
$ |
284,207 |
|
|
$ |
472,290 |
|
| |
16,991 |
|
|
|
3,671 |
|
|
|
217,605 |
|
|
|
94,685 |
|
|
|
8,003 |
|
|
|
295 |
|
|
|
65,338 |
|
| |
— |
|
|
|
179 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
299 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
100 |
|
|
|
168 |
|
|
|
402 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
1,007 |
|
|
|
54 |
|
|
|
507 |
|
|
|
— |
|
|
|
— |
|
| |
2,868 |
|
|
|
663 |
|
|
|
139,333 |
|
|
|
69,756 |
|
|
|
38,359 |
|
|
|
— |
|
|
|
— |
|
| |
880 |
|
|
|
182 |
|
|
|
1,947 |
|
|
|
1,202 |
|
|
|
1,460 |
|
|
|
308 |
|
|
|
646 |
|
| |
690 |
|
|
|
657 |
|
|
|
10,977 |
|
|
|
5,175 |
|
|
|
28,407 |
|
|
|
616 |
|
|
|
514 |
|
| |
— |
|
|
|
6 |
|
|
|
290 |
|
|
|
170 |
|
|
|
3 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
506 |
|
|
|
75 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
699 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
1,851 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
3 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
2 |
|
|
|
2 |
|
|
|
14 |
|
|
|
7 |
|
|
|
17 |
|
|
|
2 |
|
|
|
4 |
|
| |
238,496 |
|
|
|
239,304 |
|
|
|
2,541,750 |
|
|
|
1,305,715 |
|
|
|
1,753,041 |
|
|
|
285,428 |
|
|
|
538,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
8,256 |
|
|
|
— |
|
|
|
99,758 |
|
|
|
28,700 |
|
|
|
6 |
|
|
|
— |
|
|
|
— |
|
| |
2,534 |
|
|
|
7,568 |
|
|
|
384,393 |
|
|
|
175,909 |
|
|
|
21,116 |
|
|
|
— |
|
|
|
39,924 |
|
| |
82 |
|
|
|
331 |
|
|
|
2,634 |
|
|
|
1,524 |
|
|
|
2,515 |
|
|
|
371 |
|
|
|
562 |
|
| |
— |
|
|
|
— |
|
|
|
188 |
|
|
|
98 |
|
|
|
1,144 |
|
|
|
— |
|
|
|
1 |
|
| |
— |
|
|
|
1 |
|
|
|
290 |
|
|
|
35 |
|
|
|
102 |
|
|
|
— |
|
|
|
— |
|
| |
67 |
|
|
|
22 |
|
|
|
473 |
|
|
|
252 |
|
|
|
520 |
|
|
|
67 |
|
|
|
133 |
|
| |
111 |
|
|
|
73 |
|
|
|
433 |
|
|
|
234 |
|
|
|
626 |
|
|
|
36 |
|
|
|
62 |
|
| |
36 |
|
|
|
— |
|
|
|
94 |
|
|
|
91 |
|
|
|
37 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
2 |
|
|
|
1 |
|
|
|
2 |
|
|
|
— |
|
|
|
1 |
|
| |
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
397 |
|
|
|
252 |
|
|
|
882 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
307 |
|
|
|
3 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
277 |
|
|
|
26 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
14,644 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
160 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
355 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9 |
|
|
|
— |
|
|
|
— |
|
| |
8 |
|
|
|
23 |
|
|
|
228 |
|
|
|
110 |
|
|
|
158 |
|
|
|
10 |
|
|
|
19 |
|
| |
11,094 |
|
|
|
8,018 |
|
|
|
489,994 |
|
|
|
207,235 |
|
|
|
41,765 |
|
|
|
484 |
|
|
|
40,702 |
|
| $ |
227,402 |
|
|
$ |
231,286 |
|
|
$ |
2,051,756 |
|
|
$ |
1,098,480 |
|
|
$ |
1,711,276 |
|
|
$ |
284,944 |
|
|
$ |
498,090 |
|
| |
189,227 |
|
|
|
235,680 |
|
|
|
2,125,810 |
|
|
|
1,106,376 |
|
|
|
1,685,488 |
|
|
|
288,135 |
|
|
|
461,245 |
|
| |
16,991 |
|
|
|
3,671 |
|
|
|
217,605 |
|
|
|
94,685 |
|
|
|
8,003 |
|
|
|
295 |
|
|
|
65,338 |
|
| |
— |
|
|
|
— |
|
|
|
304 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
11 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
209 |
|
|
|
56 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
1,303 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
360 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
7,996 |
|
|
|
— |
|
|
|
97,187 |
|
|
|
27,900 |
|
|
|
6 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
195,626 |
|
|
$ |
357,360 |
|
|
$ |
2,033,585 |
|
|
$ |
1,078,679 |
|
|
$ |
1,760,664 |
|
|
$ |
291,204 |
|
|
$ |
490,430 |
|
| |
1,679 |
|
|
|
1,106 |
|
|
|
(3,462 |
) |
|
|
214 |
|
|
|
2,748 |
|
|
|
258 |
|
|
|
1,140 |
|
| |
2,259 |
|
|
|
(125,375 |
) |
|
|
(20,698 |
) |
|
|
(8,595 |
) |
|
|
(43,030 |
) |
|
|
(2,590 |
) |
|
|
(4,525 |
) |
|
27,838 |
|
|
|
(1,836 |
) |
|
|
41,241 |
|
|
|
27,813 |
|
|
|
(9,203 |
) |
|
|
(3,928 |
) |
|
|
11,045 |
|
| |
— |
|
|
|
31 |
|
|
|
123 |
|
|
|
336 |
|
|
|
19 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(37 |
) |
|
|
3 |
|
|
|
78 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(68 |
) |
|
|
30 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(404 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
1,476 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| $ |
227,402 |
|
|
$ |
231,286 |
|
|
$ |
2,051,756 |
|
|
$ |
1,098,480 |
|
|
$ |
1,711,276 |
|
|
$ |
284,944 |
|
|
$ |
498,090 |
|
| |
$17.05 |
|
|
|
$7.60 |
|
|
|
$11.47 |
|
|
|
$10.33 |
|
|
|
$7.70 |
|
|
|
$10.08 |
|
|
|
$10.05 |
|
|
($226,780,199 ÷
13,302,963 shares |
) |
|
|
($230,909,972 ÷
30,388,557 shares |
) |
|
|
($2,041,268,250 ÷
177,989,752 shares |
) |
|
|
($1,098,479,680 ÷
106,287,955 shares |
) |
|
|
($1,707,481,613 ÷
221,636,951 shares |
) |
|
|
($284,944,255 ÷
28,256,196 shares |
) |
|
|
($498,089,756 ÷
49,569,688 shares |
) |
| |
$17.03 |
|
|
|
$7.58 |
|
|
|
$11.46 |
|
|
|
N/A |
|
|
|
$7.48 |
|
|
|
N/A |
|
|
|
N/A |
|
|
($621,607 ÷
36,500 shares |
) |
|
|
($376,498 ÷
49,663 shares |
) |
|
|
($10,488,219 ÷
914,859 shares |
) |
|
|
|
|
|
|
($3,794,241 ÷
507,252 shares |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
235 |
|
Consolidated Statements of Assets and Liabilities/
Statements of Assets and Liabilities ($ Thousands) (Concluded)
September 30, 2014
|
|
|
|
|
| |
|
Multi-Asset
Accumulation Fund |
|
| ASSETS: |
|
|
|
|
| Investments, at value† |
|
$ |
1,112,628 |
|
| Affiliated investment, at value†† |
|
|
668,167 |
|
| Cash |
|
|
26,213 |
|
| Due from broker |
|
|
981 |
|
| Foreign currency, at value††† |
|
|
— |
|
| Cash collateral on futures |
|
|
62,382 |
|
| Cash collateral on swaps |
|
|
22,669 |
|
| Cash collateral on forward foreign currency contracts |
|
|
950 |
|
| Receivable for investment securities sold |
|
|
123 |
|
| Receivable for fund shares sold |
|
|
5,839 |
|
| Dividends and interest receivable |
|
|
1,463 |
|
| Receivable for variation margin |
|
|
2,323 |
|
| OTC Swap contracts, at value†††† |
|
|
946 |
|
| Foreign tax reclaim receivable |
|
|
85 |
|
| Unrealized gain on forward foreign currency contracts |
|
|
10,894 |
|
| Prepaid Expenses |
|
|
12 |
|
| Total Assets |
|
|
1,915,675 |
|
| LIABILITIES: |
|
|
|
|
| Due to broker |
|
|
7,703 |
|
| Payable for securities sold short@ |
|
|
— |
|
| Payable for investment securities purchased |
|
|
1,197 |
|
| Payable for fund shares redeemed |
|
|
2,477 |
|
| Payable to custodian |
|
|
— |
|
| Payable for variation margin |
|
|
8,470 |
|
| Administration fees payable |
|
|
539 |
|
| Investment advisory fees payable |
|
|
810 |
|
| Shareholder servicing fees payable Class A |
|
|
383 |
|
| Chief Compliance Officer fees payable |
|
|
2 |
|
| Overdraft of foreign currency, at value††† |
|
|
1,502 |
|
| Income distribution payable |
|
|
— |
|
| OTC Swap contracts, at value†††† |
|
|
15,492 |
|
| Reverse repurchase agreements |
|
|
— |
|
| Unrealized loss on forward foreign currency contracts |
|
|
11,169 |
|
| Unrealized loss on foreign spot currency contracts |
|
|
— |
|
| Interest payable |
|
|
— |
|
| Accrued expense payable |
|
|
85 |
|
| Total Liabilities |
|
|
49,829 |
|
| Net Assets |
|
$ |
1,865,846 |
|
| † Cost of investments and repurchase agreements |
|
|
1,099,633 |
|
| †† Cost of affiliated investments |
|
|
668,167 |
|
| ††† Cost of foreign currency/(overdraft of foreign currency) |
|
|
(1,497 |
) |
| †††† Premiums received/(paid) |
|
|
— |
|
| @ Proceeds from securities sold short |
|
|
— |
|
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital — (unlimited authorization — no par value) |
|
$ |
1,756,599 |
|
| Undistributed (distributions in excess of) net investment income |
|
|
9,663 |
|
| Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and
foreign currency |
|
|
126,354 |
|
| Net unrealized appreciation (depreciation) on investments, securities sold short, and affiliated investments |
|
|
12,995 |
|
| Net unrealized appreciation (depreciation) on futures contracts |
|
|
(24,858 |
) |
| Net unrealized depreciation on swap contracts |
|
|
(14,583 |
) |
| Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign
currencies and translation of other assets and liabilities denominated in foreign currencies |
|
|
(324 |
) |
| Net Assets |
|
$ |
1,865,846 |
|
| Net Asset Value, Offering and Redemption Price Per Share — Class A |
|
|
$10.89 |
|
| |
|
|
($1,865,846,003 ÷
171,268,250 shares |
) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 236 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
Multi-Asset
Income Fund |
|
|
Multi-Asset Inflation Managed Fund |
|
|
Multi-Asset Capital
Stability
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| |
$543,524 |
|
|
|
$1,074,869 |
|
|
|
$540,948 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
| |
138 |
|
|
|
137,706 |
|
|
|
24 |
|
| |
— |
|
|
|
— |
|
|
|
244 |
|
| |
71 |
|
|
|
— |
|
|
|
115 |
|
| |
— |
|
|
|
1,774 |
|
|
|
5,829 |
|
| |
2,237 |
|
|
|
141 |
|
|
|
107 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
| |
908 |
|
|
|
54,714 |
|
|
|
11,111 |
|
| |
2,807 |
|
|
|
4,896 |
|
|
|
1,877 |
|
| |
3,204 |
|
|
|
2,219 |
|
|
|
418 |
|
| |
3 |
|
|
|
701 |
|
|
|
361 |
|
| |
112 |
|
|
|
222 |
|
|
|
— |
|
| |
2 |
|
|
|
15 |
|
|
|
11 |
|
| |
606 |
|
|
|
915 |
|
|
|
632 |
|
| |
115 |
|
|
|
7 |
|
|
|
4 |
|
| |
553,727 |
|
|
|
1,278,179 |
|
|
|
561,681 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
132,833 |
|
|
|
— |
|
| |
5,744 |
|
|
|
88,859 |
|
|
|
17,830 |
|
| |
676 |
|
|
|
1,176 |
|
|
|
724 |
|
| |
624 |
|
|
|
1,976 |
|
|
|
— |
|
| |
187 |
|
|
|
3,469 |
|
|
|
599 |
|
| |
53 |
|
|
|
264 |
|
|
|
86 |
|
| |
239 |
|
|
|
268 |
|
|
|
177 |
|
| |
— |
|
|
|
110 |
|
|
|
— |
|
| |
1 |
|
|
|
1 |
|
|
|
1 |
|
| |
— |
|
|
|
301 |
|
|
|
— |
|
| |
338 |
|
|
|
— |
|
|
|
— |
|
| |
2,294 |
|
|
|
— |
|
|
|
240 |
|
| |
4,019 |
|
|
|
124,997 |
|
|
|
— |
|
| |
— |
|
|
|
197 |
|
|
|
404 |
|
| |
— |
|
|
|
— |
|
|
|
2 |
|
| |
— |
|
|
|
118 |
|
|
|
— |
|
| |
48 |
|
|
|
69 |
|
|
|
16 |
|
| |
14,223 |
|
|
|
354,638 |
|
|
|
20,079 |
|
| |
$539,504 |
|
|
|
$923,541 |
|
|
|
$541,602 |
|
| |
545,400 |
|
|
|
1,068,324 |
|
|
|
536,653 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
| |
72 |
|
|
|
(307 |
) |
|
|
354 |
|
| |
— |
|
|
|
(4 |
) |
|
|
(210 |
) |
| |
— |
|
|
|
(139,491 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| |
$538,988 |
|
|
|
$953,467 |
|
|
|
$530,621 |
|
| |
1,724 |
|
|
|
(7,423 |
) |
|
|
(539 |
) |
|
3,062 |
|
|
|
(25,252 |
) |
|
|
8,353 |
|
| |
(1,876 |
) |
|
|
13,203 |
|
|
|
4,295 |
|
| |
— |
|
|
|
(10,994 |
) |
|
|
(1,283 |
) |
| |
(2,938 |
) |
|
|
(182 |
) |
|
|
(68 |
) |
|
544 |
|
|
|
722 |
|
|
|
223 |
|
| |
$539,504 |
|
|
|
$923,541 |
|
|
|
$541,602 |
|
| |
$10.60 |
|
|
|
$9.39 |
|
|
|
$10.25 |
|
|
($539,503,743 ÷
50,895,383 shares |
) |
|
|
($923,541,109 ÷
98,349,495 shares |
) |
|
|
($541,601,855 ÷
52,820,856 shares |
) |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
237 |
|
Statements of Operations ($
Thousands)
For the year ended September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Large Cap
Fund |
|
|
Large Cap
Value Fund |
|
|
Large Cap
Growth Fund |
|
| Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends |
|
$ |
35,691 |
|
|
$ |
31,869 |
|
|
$ |
17,806 |
|
| Dividends from Affiliated Investments*† |
|
|
11 |
|
|
|
5 |
|
|
|
4 |
|
| Interest Income |
|
|
2 |
|
|
|
1 |
|
|
|
1 |
|
| Securities Lending Income — Net |
|
|
143 |
|
|
|
126 |
|
|
|
80 |
|
| Less: Foreign Taxes Withheld |
|
|
(284 |
) |
|
|
(50 |
) |
|
|
(173 |
) |
| Total Investment Income |
|
|
35,563 |
|
|
|
31,951 |
|
|
|
17,718 |
|
| Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Advisory Fees |
|
|
9,313 |
|
|
|
5,375 |
|
|
|
6,156 |
|
| Administration Fees |
|
|
8,358 |
|
|
|
5,375 |
|
|
|
5,386 |
|
| Shareholder Servicing Fees Class (A) |
|
|
5,970 |
|
|
|
3,814 |
|
|
|
3,826 |
|
| Shareholder Servicing Fees Class (E) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Shareholder Servicing Fees Class (I) |
|
|
— |
|
|
|
26 |
|
|
|
21 |
|
| Shareholder Servicing Fees Class (T)‡ |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Administration Servicing Fees Class (I) |
|
|
— |
|
|
|
26 |
|
|
|
21 |
|
| Trustee Fees |
|
|
32 |
|
|
|
21 |
|
|
|
21 |
|
| Chief Compliance Officer Fees |
|
|
12 |
|
|
|
7 |
|
|
|
8 |
|
| Printing Fees |
|
|
168 |
|
|
|
107 |
|
|
|
108 |
|
| Professional Fees |
|
|
108 |
|
|
|
67 |
|
|
|
68 |
|
| Custodian/Wire Agent Fees |
|
|
145 |
|
|
|
93 |
|
|
|
95 |
|
| Registration Fees |
|
|
88 |
|
|
|
39 |
|
|
|
37 |
|
| Licensing Fees |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Other Expenses |
|
|
37 |
|
|
|
24 |
|
|
|
25 |
|
| Total Expenses |
|
|
24,231 |
|
|
|
14,974 |
|
|
|
15,772 |
|
| Less: |
|
|
|
|
|
|
|
|
|
|
|
|
| Waiver of Investment Advisory Fees |
|
|
(954 |
) |
|
|
(573 |
) |
|
|
(640 |
) |
| Waiver of Shareholder Servicing Fees Class (A) |
|
|
(1,721 |
) |
|
|
(639 |
) |
|
|
(1,359 |
) |
| Waiver of Shareholder Servicing Fees Class (E) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Waiver of Shareholder Servicing Fees Class (I) |
|
|
— |
|
|
|
(7 |
) |
|
|
(10 |
) |
| Waiver of Administration Fees |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Fees Paid Indirectly* |
|
|
(270 |
) |
|
|
(44 |
) |
|
|
(26 |
) |
| Net Expenses |
|
|
21,286 |
|
|
|
13,711 |
|
|
|
13,737 |
|
| Net Investment Income (Loss) |
|
|
14,277 |
|
|
|
18,240 |
|
|
|
3,981 |
|
| Net Realized and Unrealized Gain (Loss) on Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
205,947 |
|
|
|
184,854 |
|
|
|
117,858 |
|
| Futures Contracts |
|
|
11,121 |
|
|
|
3,149 |
|
|
|
4,717 |
|
| Foreign Currency Transactions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
127,874 |
|
|
|
51,015 |
|
|
|
78,244 |
|
| Futures Contracts |
|
|
(1,116 |
) |
|
|
(477 |
) |
|
|
(194 |
) |
| Net Increase in Net Assets from Operations |
|
$ |
358,103 |
|
|
$ |
256,781 |
|
|
$ |
204,606 |
|
| * |
|
See Note 6 in Notes to Financial Statements. |
| † |
|
Portion of the income is from the investment of collateral in an affiliated security. |
| @ |
|
Includes realized gains of $204,201 ($ Thousands) due to affiliated transactions (see Note 6). |
| ‡ |
|
Effective August 7, 2014, Class Y shares were redesignated as Class T shares. This share class change had no impact on the Fund’s operations or investment policy.
|
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 238 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-Managed
Large Cap Fund |
|
|
S&P 500
Index Fund |
|
|
Small Cap
Fund |
|
|
Small Cap
Value Fund |
|
|
Small Cap
Growth Fund |
|
|
Tax-Managed
Small/Mid Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
43,377 |
|
|
$ |
54,707 |
|
|
$ |
3,812 |
|
|
$ |
6,402 |
|
|
$ |
1,531 |
|
|
$ |
5,999 |
|
| |
11 |
|
|
|
3 |
|
|
|
3 |
|
|
|
2 |
|
|
|
1 |
|
|
|
3 |
|
| |
4 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2 |
|
| |
324 |
|
|
|
106 |
|
|
|
324 |
|
|
|
253 |
|
|
|
426 |
|
|
|
460 |
|
| |
(305 |
) |
|
|
— |
|
|
|
(6 |
) |
|
|
(11 |
) |
|
|
(7 |
) |
|
|
(3 |
) |
| |
43,411 |
|
|
|
54,817 |
|
|
|
4,133 |
|
|
|
6,646 |
|
|
|
1,951 |
|
|
|
6,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
11,248 |
|
|
|
818 |
|
|
|
2,992 |
|
|
|
2,647 |
|
|
|
2,329 |
|
|
|
3,564 |
|
| |
9,842 |
|
|
|
5,996 |
|
|
|
1,611 |
|
|
|
1,426 |
|
|
|
1,254 |
|
|
|
1,919 |
|
| |
7,029 |
|
|
|
967 |
|
|
|
1,151 |
|
|
|
1,005 |
|
|
|
887 |
|
|
|
1,371 |
|
| |
— |
|
|
|
—
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
20 |
|
|
|
— |
|
|
|
13 |
|
|
|
9 |
|
|
|
— |
|
| |
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
20 |
|
|
|
— |
|
|
|
13 |
|
|
|
9 |
|
|
|
— |
|
| |
38 |
|
|
|
37 |
|
|
|
6 |
|
|
|
5 |
|
|
|
5 |
|
|
|
8 |
|
| |
14 |
|
|
|
13 |
|
|
|
2 |
|
|
|
2 |
|
|
|
2 |
|
|
|
3 |
|
| |
198 |
|
|
|
189 |
|
|
|
32 |
|
|
|
28 |
|
|
|
25 |
|
|
|
39 |
|
| |
129 |
|
|
|
114 |
|
|
|
21 |
|
|
|
18 |
|
|
|
15 |
|
|
|
25 |
|
| |
170 |
|
|
|
176 |
|
|
|
28 |
|
|
|
25 |
|
|
|
22 |
|
|
|
34 |
|
| |
81 |
|
|
|
71 |
|
|
|
19 |
|
|
|
10 |
|
|
|
9 |
|
|
|
18 |
|
| |
— |
|
|
|
330 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
45 |
|
|
|
46 |
|
|
|
16 |
|
|
|
13 |
|
|
|
12 |
|
|
|
27 |
|
| |
28,795 |
|
|
|
8,797 |
|
|
|
5,878 |
|
|
|
5,205 |
|
|
|
4,578 |
|
|
|
7,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(1,618 |
) |
|
|
— |
|
|
|
(275 |
) |
|
|
(117 |
) |
|
|
(191 |
) |
|
|
(665 |
) |
| |
(2,111 |
) |
|
|
(271 |
) |
|
|
(337 |
) |
|
|
(409 |
) |
|
|
(388 |
) |
|
|
(224 |
) |
| |
— |
|
|
|
—
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
(8 |
) |
|
|
— |
|
|
|
(7 |
) |
|
|
(4 |
) |
|
|
— |
|
| |
(1 |
) |
|
|
(933 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
(6 |
) |
|
|
(12 |
) |
|
|
(12 |
) |
|
|
(4 |
) |
|
|
(24 |
) |
| |
25,065 |
|
|
|
7,579 |
|
|
|
5,254 |
|
|
|
4,660 |
|
|
|
3,991 |
|
|
|
6,095 |
|
| |
18,346 |
|
|
|
47,238 |
|
|
|
(1,121 |
) |
|
|
1,986 |
|
|
|
(2,040 |
) |
|
|
366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
40,268 |
|
|
|
323,913 |
@ |
|
|
44,971 |
|
|
|
34,775 |
|
|
|
51,466 |
|
|
|
8,216 |
|
| |
11,377 |
|
|
|
7,799 |
|
|
|
181 |
|
|
|
1,217 |
|
|
|
620 |
|
|
|
2,478 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
368,399 |
|
|
|
109,912 |
|
|
|
(27,439 |
) |
|
|
(18,924 |
) |
|
|
(30,800 |
) |
|
|
30,578 |
|
| |
(1,116 |
) |
|
|
90 |
|
|
|
(681 |
) |
|
|
(485 |
) |
|
|
(219 |
) |
|
|
(1,145 |
) |
| $ |
437,274 |
|
|
$ |
488,952 |
|
|
$ |
15,911 |
|
|
$ |
18,569 |
|
|
$ |
19,027 |
|
|
$ |
40,490 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
239 |
|
Statements of Operations ($ Thousands) (Continued)
For the year ended September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Mid-Cap
Fund |
|
|
U.S. Managed
Volatility Fund |
|
|
Global Managed
Volatility Fund |
|
| Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends |
|
$ |
1,182 |
|
|
$ |
23,109 |
|
|
$ |
49,247 |
|
| Dividends from Affiliated Investments*† |
|
|
— |
|
|
|
4 |
|
|
|
7 |
|
| Interest Income |
|
|
— |
|
|
|
1 |
|
|
|
11 |
|
| Securities Lending Income — Net |
|
|
8 |
|
|
|
— |
|
|
|
— |
|
| Less: Foreign Taxes Withheld |
|
|
(1 |
) |
|
|
(205 |
) |
|
|
(3,108 |
) |
| Total Investment Income |
|
|
1,189 |
|
|
|
22,909 |
|
|
|
46,157 |
|
| Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Advisory Fees |
|
|
403 |
|
|
|
6,242 |
|
|
|
10,176 |
|
| Administration Fees |
|
|
352 |
|
|
|
3,361 |
|
|
|
5,479 |
|
| Shareholder Servicing Fees Class (A) |
|
|
248 |
|
|
|
2,398 |
|
|
|
3,911 |
|
| Shareholder Servicing Fees Class (I) |
|
|
3 |
|
|
|
3 |
|
|
|
3 |
|
| Administration Servicing Fees Class (I) |
|
|
3 |
|
|
|
3 |
|
|
|
3 |
|
| Trustee Fees |
|
|
1 |
|
|
|
13 |
|
|
|
21 |
|
| Chief Compliance Officer Fees |
|
|
1 |
|
|
|
5 |
|
|
|
8 |
|
| Printing Fees |
|
|
7 |
|
|
|
67 |
|
|
|
108 |
|
| Professional Fees |
|
|
4 |
|
|
|
43 |
|
|
|
72 |
|
| Custodian/Wire Agent Fees |
|
|
6 |
|
|
|
59 |
|
|
|
128 |
|
| Registration Fees |
|
|
3 |
|
|
|
32 |
|
|
|
75 |
|
| Interest expense |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Other Expenses |
|
|
6 |
|
|
|
17 |
|
|
|
47 |
|
| Total Expenses |
|
|
1,037 |
|
|
|
12,243 |
|
|
|
20,031 |
|
| Less: |
|
|
|
|
|
|
|
|
|
|
|
|
| Waiver of Investment Advisory Fees |
|
|
(5 |
) |
|
|
— |
|
|
|
(2,627 |
) |
| Waiver of Shareholder Servicing Fees Class (A) |
|
|
— |
|
|
|
(2,623 |
) |
|
|
— |
|
| Waiver of Shareholder Servicing Fees Class (E) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Waiver of Shareholder Servicing Fees Class (I) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Waiver of Administration Fees |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Fees Paid Indirectly* |
|
|
(1 |
) |
|
|
— |
|
|
|
— |
|
| Net Expenses |
|
|
1,031 |
|
|
|
9,620 |
|
|
|
17,404 |
|
| Net Investment Income |
|
|
158 |
|
|
|
13,289 |
|
|
|
28,753 |
|
| Net Realized and Unrealized Gain (Loss) on Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
11,269 |
|
|
|
112,866 |
|
|
|
112,573 |
|
| Futures Contracts |
|
|
390 |
|
|
|
3,801 |
|
|
|
7,953 |
|
| Options |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swaptions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swap Contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Foreign Currency Transactions |
|
|
— |
|
|
|
(9 |
) |
|
|
42,848 |
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
1,872 |
|
|
|
29,351 |
|
|
|
(4,544 |
) |
| Futures Contracts |
|
|
(47 |
) |
|
|
25 |
|
|
|
(278 |
) |
| Options |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swaptions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swap Contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign
Currency |
|
|
— |
|
|
|
(10 |
) |
|
|
11,234 |
|
| Net Increase in Net Assets from Operations |
|
$ |
13,642 |
|
|
$ |
159,313 |
|
|
$ |
198,539 |
|
| * |
|
See Note 6 in Notes to Financial Statements. |
| † |
|
Portion of the income is from the investment of collateral in an affiliated security. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are
an integral part of the financial statements.
|
|
|
| 240 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-Managed Managed
Volatility Fund |
|
|
Real Estate
Fund |
|
|
Enhanced
Income Fund |
|
|
Core Fixed
Income Fund |
|
|
U.S. Fixed
Income Fund |
|
|
High Yield
Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
16,792 |
|
|
$ |
6,297 |
|
|
$ |
— |
|
|
$ |
49 |
|
|
$ |
— |
|
|
$ |
813 |
|
| |
3 |
|
|
|
1 |
|
|
|
— |
|
|
|
9 |
|
|
|
6 |
|
|
|
7 |
|
| |
1 |
|
|
|
— |
|
|
|
5,184 |
|
|
|
65,039 |
|
|
|
28,217 |
|
|
|
130,393 |
|
| |
— |
|
|
|
13 |
|
|
|
— |
|
|
|
145 |
|
|
|
56 |
|
|
|
— |
|
| |
(153 |
) |
|
|
(4 |
) |
|
|
— |
|
|
|
(17 |
) |
|
|
1 |
|
|
|
(29 |
) |
| |
16,643 |
|
|
|
6,307 |
|
|
|
5,184 |
|
|
|
65,225 |
|
|
|
28,280 |
|
|
|
131,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
4,544 |
|
|
|
1,415 |
|
|
|
871 |
|
|
|
5,504 |
|
|
|
2,896 |
|
|
|
10,047 |
|
| |
2,447 |
|
|
|
762 |
|
|
|
762 |
|
|
|
5,604 |
|
|
|
2,949 |
|
|
|
7,213 |
|
| |
1,748 |
|
|
|
543 |
|
|
|
543 |
|
|
|
4,973 |
|
|
|
2,633 |
|
|
|
5,069 |
|
| |
— |
|
|
|
2 |
|
|
|
1 |
|
|
|
30 |
|
|
|
— |
|
|
|
83 |
|
| |
— |
|
|
|
2 |
|
|
|
1 |
|
|
|
30 |
|
|
|
— |
|
|
|
83 |
|
| |
9 |
|
|
|
3 |
|
|
|
3 |
|
|
|
27 |
|
|
|
14 |
|
|
|
28 |
|
| |
4 |
|
|
|
1 |
|
|
|
1 |
|
|
|
10 |
|
|
|
5 |
|
|
|
— |
|
| |
48 |
|
|
|
15 |
|
|
|
15 |
|
|
|
137 |
|
|
|
72 |
|
|
|
148 |
|
| |
32 |
|
|
|
10 |
|
|
|
10 |
|
|
|
88 |
|
|
|
46 |
|
|
|
88 |
|
| |
43 |
|
|
|
13 |
|
|
|
13 |
|
|
|
120 |
|
|
|
64 |
|
|
|
132 |
|
| |
26 |
|
|
|
6 |
|
|
|
9 |
|
|
|
58 |
|
|
|
39 |
|
|
|
64 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5 |
|
| |
12 |
|
|
|
6 |
|
|
|
54 |
|
|
|
473 |
|
|
|
336 |
|
|
|
214 |
|
| |
8,913 |
|
|
|
2,778 |
|
|
|
2,283 |
|
|
|
17,054 |
|
|
|
9,054 |
|
|
|
23,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(1,913 |
) |
|
|
(141 |
) |
|
|
(27 |
) |
|
|
(369 |
) |
|
|
(161 |
) |
|
|
(1,287 |
) |
| |
— |
|
|
|
(142 |
) |
|
|
(542 |
) |
|
|
(3,197 |
) |
|
|
(1,929 |
) |
|
|
(3,379 |
) |
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
(23 |
) |
|
|
— |
|
|
|
(64 |
) |
| |
— |
|
|
|
— |
|
|
|
(403 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
(7 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
7,000 |
|
|
|
2,487 |
|
|
|
1,310 |
|
|
|
13,465 |
|
|
|
6,964 |
|
|
|
18,444 |
|
| |
9,643 |
|
|
|
3,820 |
|
|
|
3,874 |
|
|
|
51,760 |
|
|
|
21,316 |
|
|
|
112,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
44,716 |
|
|
|
23,505 |
|
|
|
(1,526 |
) |
|
|
28,756 |
|
|
|
6,116 |
|
|
|
64,084 |
|
| |
3,787 |
|
|
|
— |
|
|
|
(268 |
) |
|
|
(1,126 |
) |
|
|
(3,216 |
) |
|
|
(41 |
) |
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
143 |
|
|
|
96 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
26 |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
(23 |
) |
|
|
(18 |
) |
|
|
(1,092 |
) |
| |
(14 |
) |
|
|
— |
|
|
|
— |
|
|
|
417 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
49,743 |
|
|
|
(2,744 |
) |
|
|
1,324 |
|
|
|
20,026 |
|
|
|
15,680 |
|
|
|
(39,404 |
) |
| |
(145 |
) |
|
|
— |
|
|
|
154 |
|
|
|
549 |
|
|
|
1,054 |
|
|
|
19 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
(159 |
) |
|
|
14 |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
(926 |
) |
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
(758 |
) |
|
|
(199 |
) |
|
|
90 |
|
|
|
|
|
|
|
| |
(9 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,899 |
|
|
|
— |
|
|
|
— |
|
| $ |
107,721 |
|
|
$ |
24,581 |
|
|
$ |
3,558 |
|
|
$ |
100,584 |
|
|
$ |
40,843 |
|
|
$ |
136,396 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
241 |
|
Statements of Operations/Consolidated Statements of Operations ($ Thousands) (Concluded)
For the year ended September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Real Return
Fund |
|
|
Multi-Strategy
Alternative
Fund |
|
|
Multi-Asset
Accumulation
Fund‡ |
|
| Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends |
|
$ |
— |
|
|
$ |
5,999 |
|
|
$ |
5,515 |
|
| Dividends from Affiliated Investments*† |
|
|
— |
|
|
|
3 |
|
|
|
49 |
|
| Interest Income |
|
|
2,840 |
|
|
|
— |
|
|
|
6,325 |
|
| Less: Foreign Taxes Withheld |
|
|
— |
|
|
|
(8 |
) |
|
|
(182 |
) |
| Total Investment Income |
|
|
2,840 |
|
|
|
5,994 |
|
|
|
11,707 |
|
| Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Advisory Fees |
|
|
647 |
|
|
|
7,013 |
|
|
|
12,434 |
|
| Administration Fees |
|
|
1,030 |
|
|
|
1,637 |
|
|
|
5,803 |
|
| Shareholder Servicing Fees Class (A) |
|
|
736 |
|
|
|
1,169 |
|
|
|
4,145 |
|
| Trustee Fees |
|
|
4 |
|
|
|
6 |
|
|
|
22 |
|
| Chief Compliance Officer Fees |
|
|
1 |
|
|
|
2 |
|
|
|
9 |
|
| Printing Fees |
|
|
20 |
|
|
|
32 |
|
|
|
116 |
|
| Professional Fees |
|
|
12 |
|
|
|
21 |
|
|
|
77 |
|
| Custodian/Wire Agent Fees |
|
|
18 |
|
|
|
28 |
|
|
|
64 |
|
| Registration Fees |
|
|
11 |
|
|
|
19 |
|
|
|
80 |
|
| Fees for Securities Sold Short |
|
|
— |
|
|
|
178 |
|
|
|
— |
|
| Dividend expense |
|
|
— |
|
|
|
111 |
|
|
|
— |
|
| Interest expense |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Other Expenses |
|
|
5 |
|
|
|
3 |
|
|
|
52 |
|
| Total Expenses |
|
|
2,484 |
|
|
|
10,219 |
|
|
|
22,802 |
|
| Less: |
|
|
|
|
|
|
|
|
|
|
|
|
| Waiver of Investment Advisory Fees |
|
|
(206 |
) |
|
|
(5,901 |
) |
|
|
(2,709 |
) |
| Waiver of Shareholder Servicing Fees Class (A) |
|
|
(736 |
) |
|
|
(1,165 |
) |
|
|
(673 |
) |
| Waiver of Administration Fees |
|
|
(215 |
) |
|
|
(156 |
) |
|
|
— |
|
| Net Expenses |
|
|
1,327 |
|
|
|
2,997 |
|
|
|
19,420 |
|
| Net Investment Income (Loss) |
|
|
1,513 |
|
|
|
2,997 |
|
|
|
(7,713 |
) |
| Net Realized and Unrealized Gain (Loss) on Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net Realized Gain (Loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
(61 |
) |
|
|
11,682 |
|
|
|
4,172 |
|
| Securities Sold Short |
|
|
— |
|
|
|
(1,261 |
) |
|
|
— |
|
| Futures Contracts |
|
|
— |
|
|
|
— |
|
|
|
157,549 |
|
| Options |
|
|
— |
|
|
|
(11 |
) |
|
|
— |
|
| Swaptions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Swap Contracts |
|
|
— |
|
|
|
— |
|
|
|
16,445 |
|
| Foreign Currency Transactions |
|
|
— |
|
|
|
(17 |
) |
|
|
17,646 |
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
(2,136 |
) |
|
|
819 |
|
|
|
(1,643 |
) |
| Securities Sold Short |
|
|
— |
|
|
|
509 |
|
|
|
— |
|
| Futures Contracts |
|
|
— |
|
|
|
— |
|
|
|
(34,211 |
) |
| Options |
|
|
— |
|
|
|
2 |
|
|
|
— |
|
| Swap Contracts |
|
|
— |
|
|
|
— |
|
|
|
(16,276 |
) |
| Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign
Currency |
|
|
— |
|
|
|
1 |
|
|
|
3,927 |
|
| Net Increase (Decrease) in Net Assets from Operations |
|
$ |
(684 |
) |
|
$ |
14,721 |
|
|
$ |
139,896 |
|
| * |
|
See Note 6 in Notes to Financial Statements. |
| † |
|
Portion of the income is from the investment of collateral in an affiliated security. |
| ‡ |
|
See Note 5 for details on gains and losses attributed to the Funds investments in Subsidiaries. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are
an integral part of the financial statements.
|
|
|
| 242 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
Multi-Asset
Income
Fund |
|
|
Multi-Asset Inflation
Managed
Fund‡ |
|
|
Multi-Asset
Capital Stability
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
320 |
|
|
$ |
5,814 |
|
|
$ |
705 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
| |
21,458 |
|
|
|
8,534 |
|
|
|
1,871 |
|
| |
— |
|
|
|
(133 |
) |
|
|
(7 |
) |
| |
21,778 |
|
|
|
14,215 |
|
|
|
2,569 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,336 |
|
|
|
4,665 |
|
|
|
2,033 |
|
| |
1,363 |
|
|
|
2,969 |
|
|
|
1,779 |
|
| |
974 |
|
|
|
2,121 |
|
|
|
1,271 |
|
| |
5 |
|
|
|
11 |
|
|
|
7 |
|
| |
2 |
|
|
|
4 |
|
|
|
3 |
|
| |
27 |
|
|
|
59 |
|
|
|
35 |
|
| |
21 |
|
|
|
38 |
|
|
|
22 |
|
| |
16 |
|
|
|
36 |
|
|
|
14 |
|
| |
29 |
|
|
|
42 |
|
|
|
22 |
|
| |
— |
|
|
|
168 |
|
|
|
— |
|
| |
— |
|
|
|
735 |
|
|
|
— |
|
| |
118 |
|
|
|
130 |
|
|
|
— |
|
| |
37 |
|
|
|
36 |
|
|
|
9 |
|
| |
4,928 |
|
|
|
11,014 |
|
|
|
5,195 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
(104 |
) |
|
|
(1,182 |
) |
|
|
(757 |
) |
| |
(970 |
) |
|
|
(1,154 |
) |
|
|
(1,271 |
) |
| |
(614 |
) |
|
|
— |
|
|
|
(8 |
) |
| |
3,240 |
|
|
|
8,678 |
|
|
|
3,159 |
|
| |
18,538 |
|
|
|
5,537 |
|
|
|
(590 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1,895 |
|
|
|
4,028 |
|
|
|
(623 |
) |
| |
— |
|
|
|
(1,881 |
) |
|
|
— |
|
| |
— |
|
|
|
(5,378 |
) |
|
|
12,273 |
|
| |
(1,329 |
) |
|
|
(1,270 |
) |
|
|
(592 |
) |
| |
— |
|
|
|
— |
|
|
|
(549 |
) |
| |
1,452 |
|
|
|
(11,599 |
) |
|
|
2,843 |
|
| |
808 |
|
|
|
(1,475 |
) |
|
|
376 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
(795 |
) |
|
|
6,955 |
|
|
|
4,754 |
|
| |
— |
|
|
|
6,658 |
|
|
|
— |
|
| |
— |
|
|
|
(9,719 |
) |
|
|
(1,680 |
) |
| |
99 |
|
|
|
— |
|
|
|
473 |
|
| |
(2,813 |
) |
|
|
84 |
|
|
|
262 |
|
|
|
|
| |
544 |
|
|
|
3,762 |
|
|
|
35 |
|
| $ |
18,399 |
|
|
$ |
(4,298 |
) |
|
$ |
16,982 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
243 |
|
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Large Cap
Fund |
|
|
Large Cap
Value Fund |
|
|
Large Cap
Growth Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Investment Income (Loss) |
|
$ |
14,277 |
|
|
$ |
16,678 |
|
|
$ |
18,240 |
|
|
$ |
19,274 |
|
|
$ |
3,981 |
|
|
$ |
3,812 |
|
| Net Realized Gain from Investments and Futures Contracts |
|
|
217,068 |
|
|
|
124,795 |
|
|
|
188,003 |
|
|
|
138,297 |
|
|
|
122,575 |
|
|
|
164,559 |
|
| Net Realized Loss on Foreign Currency Transactions |
|
|
— |
|
|
|
(18 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments
and Futures Contracts |
|
|
126,758 |
|
|
|
216,674 |
|
|
|
50,538 |
|
|
|
134,299 |
|
|
|
78,050 |
|
|
|
67,871 |
|
| Net Increase in Net Assets from Operations |
|
|
358,103 |
|
|
|
358,129 |
|
|
|
256,781 |
|
|
|
291,870 |
|
|
|
204,606 |
|
|
|
236,242 |
|
| Dividends and Distributions From: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
(14,803 |
) |
|
|
(17,476 |
) |
|
|
(17,800 |
) |
|
|
(19,919 |
) |
|
|
(4,128 |
) |
|
|
(5,289 |
) |
| Class E |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class I |
|
|
— |
|
|
|
— |
|
|
|
(100 |
) |
|
|
(99 |
) |
|
|
(10 |
) |
|
|
(17 |
) |
| Class T‡ |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Capital Gains: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
(146,397 |
) |
|
|
(76,749 |
) |
|
|
— |
|
|
|
— |
|
|
|
(33,112 |
) |
|
|
— |
|
| Class E |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class I |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(192 |
) |
|
|
— |
|
| Total Dividends and Distributions |
|
|
(161,200 |
) |
|
|
(94,225 |
) |
|
|
(17,900 |
) |
|
|
(20,018 |
) |
|
|
(37,442 |
) |
|
|
(5,306 |
) |
| Capital Share Transactions(1): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
856,029 |
|
|
|
741,781 |
|
|
|
226,708 |
|
|
|
181,708 |
|
|
|
200,094 |
|
|
|
169,212 |
|
| Reinvestment of Dividends and Distributions |
|
|
145,509 |
|
|
|
84,285 |
|
|
|
16,703 |
|
|
|
18,690 |
|
|
|
34,948 |
|
|
|
4,954 |
|
| Cost of Shares Redeemed |
|
|
(723,689 |
) |
|
|
(471,037 |
) |
|
|
(398,149 |
) |
|
|
(370,082 |
) |
|
|
(283,862 |
) |
|
|
(325,201 |
) |
| Increase (Decrease) in Net Assets Derived from Class A Transactions |
|
|
277,849 |
|
|
|
355,029 |
|
|
|
(154,738 |
) |
|
|
(169,684 |
) |
|
|
(48,820 |
) |
|
|
(151,035 |
) |
| Class E: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Reinvestment of Dividends and Distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cost of Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Decrease in Net Assets Derived from Class E Transactions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
2,372 |
|
|
|
2,529 |
|
|
|
2,037 |
|
|
|
1,930 |
|
| Reinvestment of Dividends and Distributions |
|
|
— |
|
|
|
— |
|
|
|
87 |
|
|
|
82 |
|
|
|
171 |
|
|
|
13 |
|
| Cost of Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
(3,944 |
) |
|
|
(2,511 |
) |
|
|
(4,192 |
) |
|
|
(3,559 |
) |
| Increase (Decrease) in Net Assets Derived from Class I Transactions |
|
|
— |
|
|
|
— |
|
|
|
(1,485 |
) |
|
|
100 |
|
|
|
(1,984 |
) |
|
|
(1,616 |
) |
| Class T‡: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Reinvestment of Dividends and Distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cost of Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Decrease in Net Assets Derived from Class T‡ Transactions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Increase (Decrease) in Net Assets Derived from Capital Share Transactions |
|
|
277,849 |
|
|
|
355,029 |
|
|
|
(156,223 |
) |
|
|
(169,584 |
) |
|
|
(50,804 |
) |
|
|
(152,651 |
) |
| Net Increase (Decrease) in Net Assets |
|
|
474,752 |
|
|
|
618,933 |
|
|
|
82,658 |
|
|
|
102,268 |
|
|
|
116,360 |
|
|
|
78,285 |
|
| Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of Year |
|
|
2,107,192 |
|
|
|
1,488,259 |
|
|
|
1,454,341 |
|
|
|
1,352,073 |
|
|
|
1,441,608 |
|
|
|
1,363,323 |
|
| End of Year |
|
$ |
2,581,944 |
|
|
$ |
2,107,192 |
|
|
$ |
1,536,999 |
|
|
$ |
1,454,341 |
|
|
$ |
1,557,968 |
|
|
$ |
1,441,608 |
|
| Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net
Investment Loss) Included in Net Assets at Year End |
|
$ |
2,462 |
|
|
$ |
3,016 |
|
|
$ |
3,825 |
|
|
$ |
3,890 |
|
|
$ |
123 |
|
|
$ |
263 |
|
| (1) |
|
See Note 7 in Notes to Financial Statements. |
| @ |
|
Includes realized gains of $204,201 ($ Thousands) due to affiliated transactions (see Note 6). |
| * |
|
Includes redemptions as a result of affiliated transactions (see Note 6). |
| ‡ |
|
Effective August 7, 2014, Class Y shares were redesignated as Class T shares. This share class change had no impact on the Funds’ operations or investment policy.
|
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 244 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-Managed
Large Cap Fund |
|
|
S&P 500
Index Fund |
|
|
Small Cap
Fund |
|
|
Small Cap
Value Fund |
|
|
Small Cap
Growth Fund |
|
| 2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
18,346 |
|
|
$ |
21,076 |
|
|
$ |
47,238 |
|
|
$ |
56,197 |
|
|
$ |
(1,121 |
) |
|
$ |
151 |
|
|
$ |
1,986 |
|
|
$ |
3,240 |
|
|
$ |
(2,040 |
) |
|
$ |
(242 |
) |
| |
51,645 |
|
|
|
58,114 |
|
|
|
331,712 |
@ |
|
|
61,747 |
|
|
|
45,152 |
|
|
|
25,170 |
|
|
|
35,992 |
|
|
|
46,272 |
|
|
|
52,086 |
|
|
|
40,877 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
367,283 |
|
|
|
347,848 |
|
|
|
110,002 |
|
|
|
383,534 |
|
|
|
(28,120 |
) |
|
|
67,253 |
|
|
|
(19,409 |
) |
|
|
48,641 |
|
|
|
(31,019 |
) |
|
|
50,644 |
|
| |
437,274 |
|
|
|
427,038 |
|
|
|
488,952 |
|
|
|
501,478 |
|
|
|
15,911 |
|
|
|
92,574 |
|
|
|
18,569 |
|
|
|
98,153 |
|
|
|
19,027 |
|
|
|
91,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(18,673 |
) |
|
|
(22,238 |
) |
|
|
(6,454 |
) |
|
|
(5,744 |
) |
|
|
(63 |
) |
|
|
(1,304 |
) |
|
|
(2,228 |
) |
|
|
(3,759 |
) |
|
|
(10 |
) |
|
|
(1,204 |
) |
| |
— |
|
|
|
— |
|
|
|
(42,481 |
) |
|
|
(50,619 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(114 |
) |
|
|
(127 |
) |
|
|
— |
|
|
|
— |
|
|
|
(18 |
) |
|
|
(31 |
) |
|
|
— |
|
|
|
(3 |
) |
| |
(3 |
) |
|
|
(11 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
(8,230 |
) |
|
|
— |
|
|
|
(27,889 |
) |
|
|
(12,456 |
) |
|
|
(3,246 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(54,970 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(174 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(45 |
) |
|
|
— |
|
|
|
—
|
|
|
|
— |
|
| |
(18,676 |
) |
|
|
(22,249 |
) |
|
|
(112,423 |
) |
|
|
(56,490 |
) |
|
|
(27,952 |
) |
|
|
(13,760 |
) |
|
|
(5,537 |
) |
|
|
(3,790 |
) |
|
|
(10 |
) |
|
|
(1,207 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
669,352 |
|
|
|
549,378 |
|
|
|
73,402 |
|
|
|
128,355 |
|
|
|
181,468 |
|
|
|
143,753 |
|
|
|
47,546 |
|
|
|
63,958 |
|
|
|
41,391 |
|
|
|
41,621 |
|
| |
16,653 |
|
|
|
20,023 |
|
|
|
13,773 |
|
|
|
5,353 |
|
|
|
24,258 |
|
|
|
11,833 |
|
|
|
5,062 |
|
|
|
3,470 |
|
|
|
9 |
|
|
|
1,115 |
|
| |
(422,640 |
) |
|
|
(448,897 |
) |
|
|
(97,840 |
) |
|
|
(125,075 |
) |
|
|
(121,183 |
) |
|
|
(77,671 |
) |
|
|
(81,718 |
) |
|
|
(174,668 |
) |
|
|
(77,480 |
) |
|
|
(79,892 |
) |
|
263,365 |
|
|
|
120,504 |
|
|
|
(10,665 |
) |
|
|
8,633 |
|
|
|
84,543 |
|
|
|
77,915 |
|
|
|
(29,110 |
) |
|
|
(107,240 |
) |
|
|
(36,080 |
) |
|
|
(37,156 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
351,973 |
|
|
|
359,283 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
95,326 |
|
|
|
49,551 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
(1,065,608 |
)* |
|
|
(1,017,719 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
— |
|
|
|
— |
|
|
|
(618,309 |
) |
|
|
(608,885 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
2,360 |
|
|
|
2,060 |
|
|
|
— |
|
|
|
— |
|
|
|
1,193 |
|
|
|
1,786 |
|
|
|
1,835 |
|
|
|
1,255 |
|
| |
— |
|
|
|
— |
|
|
|
188 |
|
|
|
82 |
|
|
|
— |
|
|
|
— |
|
|
|
58 |
|
|
|
28 |
|
|
|
— |
|
|
|
3 |
|
| |
— |
|
|
|
— |
|
|
|
(3,247 |
) |
|
|
(4,262 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,587 |
) |
|
|
(1,990 |
) |
|
|
(2,436 |
) |
|
|
(1,315 |
) |
|
— |
|
|
|
— |
|
|
|
(699 |
) |
|
|
(2,120 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,336 |
) |
|
|
(176 |
) |
|
|
(601 |
) |
|
|
(57 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
410 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
3 |
|
|
|
11 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
(61 |
) |
|
|
(1,228 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
(58 |
) |
|
|
(807 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
263,307 |
|
|
|
119,697 |
|
|
|
(629,673 |
) |
|
|
(602,372 |
) |
|
|
84,543 |
|
|
|
77,915 |
|
|
|
(30,446 |
) |
|
|
(107,416 |
) |
|
|
(36,681 |
) |
|
|
(37,213 |
) |
| |
681,905 |
|
|
|
524,486 |
|
|
|
(253,144 |
) |
|
|
(157,384 |
) |
|
|
72,502 |
|
|
|
156,729 |
|
|
|
(17,414 |
) |
|
|
(13,053 |
) |
|
|
(17,664 |
) |
|
|
52,859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,408,406 |
|
|
|
1,883,920 |
|
|
|
2,725,862 |
|
|
|
2,883,246 |
|
|
|
410,780 |
|
|
|
254,051 |
|
|
|
396,421 |
|
|
|
409,474 |
|
|
|
356,481 |
|
|
|
303,622 |
|
| $ |
3,090,311 |
|
|
$ |
2,408,406 |
|
|
$ |
2,472,718 |
|
|
$ |
2,725,862 |
|
|
$ |
483,282 |
|
|
$ |
410,780 |
|
|
$ |
379,007 |
|
|
$ |
396,421 |
|
|
$ |
338,817 |
|
|
$ |
356,481 |
|
$ |
3,602 |
|
|
$ |
3,907 |
|
|
$ |
10,371 |
|
|
$ |
11,980 |
|
|
$ |
(13 |
) |
|
$ |
(322 |
) |
|
$ |
848 |
|
|
$ |
366 |
|
|
$ |
(1,544 |
) |
|
$ |
(1,357 |
) |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
245 |
|
Statements of Changes in Net Assets ($ Thousands)
(Continued)
For the years ended September 30,
|
|
|
|
|
|
|
|
|
| |
|
Tax-Managed
Small/Mid Cap Fund |
|
| |
|
2014 |
|
|
2013 |
|
| Operations: |
|
|
|
|
|
|
|
|
| Net Investment Income |
|
$ |
366 |
|
|
$ |
1,177 |
|
| Net Realized Gain from Investments and Futures Contracts |
|
|
10,694 |
|
|
|
30,023 |
|
| Net Realized Gain (Loss) on Foreign Currency Transactions |
|
|
(3 |
) |
|
|
4 |
|
| Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts |
|
|
29,433 |
|
|
|
72,652 |
|
| Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of
Other Assets and Liabilities Denominated in Foreign Currency |
|
|
— |
|
|
|
— |
|
| Net Increase in Net Assets from Operations |
|
|
40,490 |
|
|
|
103,856 |
|
| Dividends and Distributions From: |
|
|
|
|
|
|
|
|
| Net Investment Income: |
|
|
|
|
|
|
|
|
| Class A |
|
|
(696 |
) |
|
|
(1,558 |
) |
| Class I |
|
|
— |
|
|
|
— |
|
| Net Capital Gains: |
|
|
|
|
|
|
|
|
| Class A |
|
|
(24,789 |
) |
|
|
— |
|
| Class I |
|
|
— |
|
|
|
— |
|
| Total Dividends and Distributions |
|
|
(25,485 |
) |
|
|
(1,558 |
) |
| Capital Share Transactions(1): |
|
|
|
|
|
|
|
|
| Class A: |
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
147,032 |
|
|
|
126,018 |
|
| Reinvestment of Dividends and Distributions |
|
|
22,644 |
|
|
|
1,380 |
|
| Cost of Shares Redeemed |
|
|
(97,722 |
) |
|
|
(79,819 |
) |
| Increase (Decrease) in Net Assets Derived from Class A Transactions |
|
|
71,954 |
|
|
|
47,579 |
|
| Class I: |
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
— |
|
|
|
— |
|
| Reinvestment of Dividends and Distributions |
|
|
— |
|
|
|
— |
|
| Cost of Shares Redeemed |
|
|
— |
|
|
|
— |
|
| Increase (Decrease) in Net Assets Derived from Class I Transactions |
|
|
— |
|
|
|
— |
|
| Increase (Decrease) in Net Assets Derived from Capital Share Transactions |
|
|
71,954 |
|
|
|
47,579 |
|
| Net Increase (Decrease) in Net Assets |
|
|
86,959 |
|
|
|
149,877 |
|
| Net Assets: |
|
|
|
|
|
|
|
|
| Beginning of Year |
|
|
486,216 |
|
|
|
336,339 |
|
| End of Year |
|
$ |
573,175 |
|
|
$ |
486,216 |
|
| Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net
Investment Loss) Included in Net Assets at Year End |
|
$ |
(196 |
) |
|
$ |
(25 |
) |
| (1) |
|
See Note 7 in Notes to Financial Statements. |
Amounts
designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 246 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mid-Cap
Fund |
|
|
U.S. Managed
Volatility Fund |
|
|
Global Managed
Volatility Fund |
|
| 2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
158 |
|
|
$ |
516 |
|
|
$ |
13,289 |
|
|
$ |
13,338 |
|
|
$ |
28,753 |
|
|
$ |
26,141 |
|
| |
11,659 |
|
|
|
16,955 |
|
|
|
116,667 |
|
|
|
49,275 |
|
|
|
120,526 |
|
|
|
73,565 |
|
| |
— |
|
|
|
— |
|
|
|
(9 |
) |
|
|
(87 |
) |
|
|
42,848 |
|
|
|
51,379 |
|
| |
1,825 |
|
|
|
7,502 |
|
|
|
29,376 |
|
|
|
62,938 |
|
|
|
(4,822 |
) |
|
|
30,606 |
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
(10 |
) |
|
|
(4 |
) |
|
|
11,234 |
|
|
|
(5,418 |
) |
| |
13,642 |
|
|
|
24,973 |
|
|
|
159,313 |
|
|
|
125,460 |
|
|
|
198,539 |
|
|
|
176,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(239 |
) |
|
|
(621 |
) |
|
|
(13,072 |
) |
|
|
(13,076 |
) |
|
|
(66,968 |
) |
|
|
(26,158 |
) |
| |
(1 |
) |
|
|
(5 |
) |
|
|
(14 |
) |
|
|
(11 |
) |
|
|
(44 |
) |
|
|
(6 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(2,727 |
) |
|
|
— |
|
|
|
(65,044 |
) |
|
|
(5,613 |
) |
|
|
(67,367 |
) |
|
|
— |
|
| |
(48 |
) |
|
|
— |
|
|
|
(92 |
) |
|
|
(5 |
) |
|
|
(46 |
) |
|
|
— |
|
| |
(3,015 |
) |
|
|
(626 |
) |
|
|
(78,222 |
) |
|
|
(18,705 |
) |
|
|
(134,425 |
) |
|
|
(26,164 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
33,084 |
|
|
|
65,909 |
|
|
|
314,017 |
|
|
|
325,032 |
|
|
|
614,792 |
|
|
|
684,976 |
|
| |
2,680 |
|
|
|
423 |
|
|
|
67,114 |
|
|
|
16,039 |
|
|
|
124,774 |
|
|
|
23,967 |
|
| |
(60,015 |
) |
|
|
(67,988 |
) |
|
|
(311,670 |
) |
|
|
(231,892 |
) |
|
|
(403,113 |
) |
|
|
(387,846 |
) |
| |
(24,251 |
) |
|
|
(1,656 |
) |
|
|
69,461 |
|
|
|
109,179 |
|
|
|
336,453 |
|
|
|
321,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
495 |
|
|
|
860 |
|
|
|
311 |
|
|
|
741 |
|
|
|
359 |
|
|
|
728 |
|
| |
49 |
|
|
|
5 |
|
|
|
106 |
|
|
|
16 |
|
|
|
91 |
|
|
|
6 |
|
| |
(1,116 |
) |
|
|
(718 |
) |
|
|
(473 |
) |
|
|
(349 |
) |
|
|
(411 |
) |
|
|
(131 |
) |
| |
(572 |
) |
|
|
147 |
|
|
|
(56 |
) |
|
|
408 |
|
|
|
39 |
|
|
|
603 |
|
| |
(24,823 |
) |
|
|
(1,509 |
) |
|
|
69,405 |
|
|
|
109,587 |
|
|
|
336,492 |
|
|
|
321,700 |
|
| |
(14,196 |
) |
|
|
22,838 |
|
|
|
150,496 |
|
|
|
216,342 |
|
|
|
400,606 |
|
|
|
471,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
109,045 |
|
|
|
86,207 |
|
|
|
852,349 |
|
|
|
636,007 |
|
|
|
1,400,270 |
|
|
|
928,461 |
|
| $ |
94,849 |
|
|
$ |
109,045 |
|
|
$ |
1,002,845 |
|
|
$ |
852,349 |
|
|
$ |
1,800,876 |
|
|
$ |
1,400,270 |
|
$ |
— |
|
|
$ |
38 |
|
|
$ |
3,758 |
|
|
$ |
3,414 |
|
|
$ |
62,500 |
|
|
$ |
54,890 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
247 |
|
Statements of Changes in Net Assets ($ Thousands)
(Continued)
For the years ended September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Tax-Managed Managed
Volatility Fund |
|
|
Real Estate
Fund |
|
|
Enhanced
Income Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Investment Income |
|
$ |
9,643 |
|
|
$ |
9,831 |
|
|
$ |
3,820 |
|
|
$ |
1,930 |
|
|
$ |
3,874 |
|
|
$ |
3,698 |
|
| Net Realized Gain (Loss) from Investments, Securities Sold Short Affiliated Investments, Futures Contracts, Options, Swaptions and
Swap Contracts |
|
|
48,503 |
|
|
|
25,421 |
|
|
|
23,505 |
|
|
|
30,569 |
|
|
|
(1,794 |
) |
|
|
444 |
|
| Net Realized Gain (Loss) on Foreign Currency Transactions |
|
|
(14 |
) |
|
|
(48 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Affiliated Investments, Futures
Contracts, Options, Swaptions and Swap Contracts |
|
|
49,598 |
|
|
|
52,671 |
|
|
|
(2,744 |
) |
|
|
(24,663 |
) |
|
|
1,478 |
|
|
|
(92 |
) |
| Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of
Other Assets and Liabilities Denominated in Foreign Currency |
|
|
(9 |
) |
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net Increase (Decrease) in Net Assets from Operations |
|
|
107,721 |
|
|
|
87,876 |
|
|
|
24,581 |
|
|
|
7,836 |
|
|
|
3,558 |
|
|
|
4,050 |
|
| Dividends and Distributions From: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
(9,448 |
) |
|
|
(9,506 |
) |
|
|
(3,897 |
) |
|
|
(2,449 |
) |
|
|
(3,802 |
) |
|
|
(3,329 |
) |
| Class I |
|
|
— |
|
|
|
— |
|
|
|
(10 |
) |
|
|
(6 |
) |
|
|
(6 |
) |
|
|
(5 |
) |
| Net Capital Gains: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
(25,166 |
) |
|
|
(13,481 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class I |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total Dividends and Distributions |
|
|
(34,614 |
) |
|
|
(22,987 |
) |
|
|
(3,907 |
) |
|
|
(2,455 |
) |
|
|
(3,808 |
) |
|
|
(3,334 |
) |
| Capital Share Transactions(1): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
216,416 |
|
|
|
233,883 |
|
|
|
61,684 |
|
|
|
98,442 |
|
|
|
101,380 |
|
|
|
116,708 |
|
| Reinvestment of Dividends and Distributions |
|
|
29,162 |
|
|
|
19,553 |
|
|
|
3,731 |
|
|
|
2,327 |
|
|
|
3,298 |
|
|
|
2,983 |
|
| Redemption Fees |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Cost of Shares Redeemed |
|
|
(174,471 |
) |
|
|
(138,869 |
) |
|
|
(67,122 |
) |
|
|
(89,751 |
) |
|
|
(68,340 |
) |
|
|
(86,622 |
) |
| Increase (Decrease) in Net Assets Derived from Class A
Transactions |
|
|
71,107 |
|
|
|
114,567 |
|
|
|
(1,707 |
) |
|
|
11,018 |
|
|
|
36,338 |
|
|
|
33,069 |
|
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
215 |
|
|
|
463 |
|
|
|
110 |
|
|
|
477 |
|
| Reinvestment of Dividends and Distributions |
|
|
— |
|
|
|
— |
|
|
|
10 |
|
|
|
6 |
|
|
|
6 |
|
|
|
5 |
|
| Cost of Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
(231 |
) |
|
|
(517 |
) |
|
|
(107 |
) |
|
|
(184 |
) |
| Increase (Decrease) in Net Assets Derived from Class I
Transactions |
|
|
— |
|
|
|
— |
|
|
|
(6 |
) |
|
|
(48 |
) |
|
|
9 |
|
|
|
298 |
|
| Increase (Decrease) in Net Assets Derived from Capital Share Transactions |
|
|
71,107 |
|
|
|
114,567 |
|
|
|
(1,713 |
) |
|
|
10,970 |
|
|
|
36,347 |
|
|
|
33,367 |
|
| Net Increase (Decrease) in Net Assets |
|
|
144,214 |
|
|
|
179,456 |
|
|
|
18,961 |
|
|
|
16,351 |
|
|
|
36,097 |
|
|
|
34,083 |
|
| Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of Year |
|
|
621,530 |
|
|
|
442,074 |
|
|
|
208,441 |
|
|
|
192,090 |
|
|
|
195,189 |
|
|
|
161,106 |
|
| End of Year |
|
$ |
765,744 |
|
|
$ |
621,530 |
|
|
$ |
227,402 |
|
|
$ |
208,441 |
|
|
$ |
231,286 |
|
|
$ |
195,189 |
|
| Undistributed (Distributions in Excess of) Net Investment
Income/(Accumulated Net
Investment Loss) Included in Net Assets at Year End |
|
$ |
2,635 |
|
|
$ |
2,358 |
|
|
$ |
1,679 |
|
|
$ |
1,753 |
|
|
$ |
1,106 |
|
|
$ |
1,110 |
|
| (1) |
|
See Note 7 in Notes to Financial Statements. |
Amounts
designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 248 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Fixed
Income Fund |
|
|
U.S. Fixed
Income
Fund |
|
|
High Yield
Bond Fund |
|
|
Real
Return
Fund |
|
|
Multi-Strategy
Alternative Fund |
|
| 2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
51,760 |
|
|
$ |
54,511 |
|
|
$ |
21,316 |
|
|
$ |
18,005 |
|
|
$ |
112,740 |
|
|
$ |
116,001 |
|
|
$ |
1,513 |
|
|
$ |
1,456 |
|
|
$ |
2,997 |
|
|
$ |
2,715 |
|
|
27,776 |
|
|
|
(987 |
) |
|
|
2,978 |
|
|
|
(209 |
) |
|
|
62,951 |
|
|
|
44,346 |
|
|
|
(61 |
) |
|
|
1,385 |
|
|
|
10,410 |
|
|
|
(6,483 |
) |
| |
417 |
|
|
|
1,116 |
|
|
|
— |
|
|
|
342 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(17 |
) |
|
|
(20 |
) |
|
18,732 |
|
|
|
(77,872 |
) |
|
|
16,549 |
|
|
|
(34,327 |
) |
|
|
(39,295 |
) |
|
|
(26,999 |
) |
|
|
(2,136 |
) |
|
|
(8,432 |
) |
|
|
1,330 |
|
|
|
12,708 |
|
|
|
|
|
|
|
|
|
|
|
| |
1,899 |
|
|
|
710 |
|
|
|
— |
|
|
|
50 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
(1 |
) |
| |
100,584 |
|
|
|
(22,522 |
) |
|
|
40,843 |
|
|
|
(16,139 |
) |
|
|
136,396 |
|
|
|
133,348 |
|
|
|
(684 |
) |
|
|
(5,591 |
) |
|
|
14,721 |
|
|
|
8,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(52,363 |
) |
|
|
(57,910 |
) |
|
|
(21,901 |
) |
|
|
(19,701 |
) |
|
|
(110,759 |
) |
|
|
(112,376 |
) |
|
|
(1,083 |
) |
|
|
(1,678 |
) |
|
|
(3,459 |
) |
|
|
(1,930 |
) |
| |
(290 |
) |
|
|
(419 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,720 |
) |
|
|
(316 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
(26,951 |
) |
|
|
(11,776 |
) |
|
|
— |
|
|
|
(1,247 |
) |
|
|
(6,613 |
) |
|
|
— |
|
|
|
— |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(226 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
(52,653 |
) |
|
|
(58,329 |
) |
|
|
(21,901 |
) |
|
|
(46,652 |
) |
|
|
(124,481 |
) |
|
|
(112,692 |
) |
|
|
(2,330 |
) |
|
|
(8,291 |
) |
|
|
(3,459 |
) |
|
|
(1,930 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
474,834 |
|
|
|
424,683 |
|
|
|
349,872 |
|
|
|
410,499 |
|
|
|
706,633 |
|
|
|
1,159,582 |
|
|
|
92,554 |
|
|
|
133,450 |
|
|
|
160,649 |
|
|
|
175,525 |
|
| |
46,904 |
|
|
|
51,889 |
|
|
|
18,894 |
|
|
|
40,293 |
|
|
|
104,472 |
|
|
|
92,794 |
|
|
|
2,014 |
|
|
|
7,341 |
|
|
|
3,082 |
|
|
|
1,769 |
|
| |
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
671 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
(432,728 |
) |
|
|
(664,520 |
) |
|
|
(311,461 |
) |
|
|
(264,218 |
) |
|
|
(1,105,068 |
) |
|
|
(1,036,189 |
) |
|
|
(115,431 |
) |
|
|
(101,734 |
) |
|
|
(103,636 |
) |
|
|
(92,464 |
) |
|
|
|
|
|
|
|
|
|
|
| |
89,010 |
|
|
|
(187,948 |
) |
|
|
57,305 |
|
|
|
186,574 |
|
|
|
(293,292 |
) |
|
|
216,187 |
|
|
|
(20,863 |
) |
|
|
39,057 |
|
|
|
60,095 |
|
|
|
84,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,059 |
|
|
|
7,629 |
|
|
|
— |
|
|
|
— |
|
|
|
13,625 |
|
|
|
39,083 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
211 |
|
|
|
326 |
|
|
|
— |
|
|
|
— |
|
|
|
1,878 |
|
|
|
271 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
(6,206 |
) |
|
|
(8,143 |
) |
|
|
— |
|
|
|
— |
|
|
|
(51,054 |
) |
|
|
(14,511 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| |
(3,936 |
) |
|
|
(188 |
) |
|
|
— |
|
|
|
— |
|
|
|
(35,551 |
) |
|
|
24,843 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| |
85,074 |
|
|
|
(188,136 |
) |
|
|
57,305 |
|
|
|
186,574 |
|
|
|
(328,843 |
) |
|
|
241,030 |
|
|
|
(20,863 |
) |
|
|
39,057 |
|
|
|
60,095 |
|
|
|
84,830 |
|
| |
133,005 |
|
|
|
(268,987 |
) |
|
|
76,247 |
|
|
|
123,783 |
|
|
|
(316,928 |
) |
|
|
261,686 |
|
|
|
(23,877 |
) |
|
|
25,175 |
|
|
|
71,357 |
|
|
|
91,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1,918,751 |
|
|
|
2,187,738 |
|
|
|
1,022,233 |
|
|
|
898,450 |
|
|
|
2,028,204 |
|
|
|
1,766,518 |
|
|
|
308,821 |
|
|
|
283,646 |
|
|
|
426,733 |
|
|
|
334,914 |
|
| $ |
2,051,756 |
|
|
$ |
1,918,751 |
|
|
$ |
1,098,480 |
|
|
$ |
1,022,233 |
|
|
$ |
1,711,276 |
|
|
$ |
2,028,204 |
|
|
$ |
284,944 |
|
|
$ |
308,821 |
|
|
$ |
498,090 |
|
|
$ |
426,733 |
|
$ |
(3,462 |
) |
|
$ |
(3,792 |
) |
|
$ |
214 |
|
|
$ |
108 |
|
|
$ |
2,748 |
|
|
$ |
9,349 |
|
|
$ |
258 |
|
|
$ |
(170 |
) |
|
$ |
1,140 |
|
|
$ |
1,734 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
249 |
|
Consolidated Statements of Changes in Net Assets/Statements of Changes in Net Assets ($ Thousands) (Concluded)
For the years
ended September 30,
|
|
|
|
|
|
|
|
|
| |
|
Multi-Asset
Accumulation Fund |
|
| |
|
2014 |
|
|
2013 |
|
| Operations: |
|
|
|
|
|
|
|
|
| Net Investment Income (Loss) |
|
$ |
(7,713 |
) |
|
$ |
(6,292 |
) |
| Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and
Swap Contracts |
|
|
178,166 |
|
|
|
9,871 |
|
| Net Realized Gain (Loss) on Foreign Currency Transactions |
|
|
17,646 |
|
|
|
(5,950 |
) |
| Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Futures Contracts, Written Options,
Written Swaptions and Swap Contracts |
|
|
(52,130 |
) |
|
|
14,970 |
|
| Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of
Other Assets and Liabilities Denominated in Foreign Currency |
|
|
3,927 |
|
|
|
(5,468 |
) |
| Net Increase (Decrease) in Net Assets from Operations |
|
|
139,896 |
|
|
|
7,131 |
|
| Dividends and Distributions From: |
|
|
|
|
|
|
|
|
| Net Investment Income: |
|
|
|
|
|
|
|
|
| Class A |
|
|
(639 |
) |
|
|
(641 |
) |
| Net Capital Gains: |
|
|
|
|
|
|
|
|
| Class A |
|
|
(46,026 |
) |
|
|
(31,438 |
) |
| Total Dividends and Distributions |
|
|
(46,665 |
) |
|
|
(32,079 |
) |
| Capital Share Transactions(1): |
|
|
|
|
|
|
|
|
| Class A: |
|
|
|
|
|
|
|
|
| Proceeds from Shares Issued |
|
|
649,470 |
|
|
|
682,870 |
|
| Reinvestment of Dividends and Distributions |
|
|
42,225 |
|
|
|
29,368 |
|
| Cost of Shares Redeemed |
|
|
(333,643 |
) |
|
|
(232,454 |
) |
| Increase in Net Assets Derived from Class A Transactions |
|
|
358,052 |
|
|
|
479,784 |
|
| Increase in Net Assets Derived from Capital Share Transactions |
|
|
358,052 |
|
|
|
479,784 |
|
| Net Increase in Net Assets |
|
|
451,283 |
|
|
|
454,836 |
|
| Net Assets: |
|
|
|
|
|
|
|
|
| Beginning of Year |
|
|
1,414,563 |
|
|
|
959,727 |
|
| End of Year |
|
$ |
1,865,846 |
|
|
$ |
1,414,563 |
|
| Undistributed (Distributions in Excess of) Net Investment
Income/(Accumulated Net
Investment Loss) Included in Net Assets at Year End |
|
$ |
9,663 |
|
|
$ |
2,389 |
|
| (1) |
|
See Note 7 in Notes to Financial Statements. |
Amounts
designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
| 250 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Asset
Income Fund |
|
|
Multi-Asset Inflation
Managed Fund |
|
|
Multi-Asset Capital
Stability Fund |
|
| 2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
18,538 |
|
|
$ |
9,946 |
|
|
$ |
5,537 |
|
|
$ |
3,958 |
|
|
$ |
(590 |
) |
|
$ |
(937 |
) |
| |
2,018 |
|
|
|
2,964 |
|
|
|
(16,100 |
) |
|
|
(40,133 |
) |
|
|
13,352 |
|
|
|
(2,133 |
) |
| |
808 |
|
|
|
— |
|
|
|
(1,475 |
) |
|
|
4,341 |
|
|
|
376 |
|
|
|
917 |
|
| |
(3,509 |
) |
|
|
(3,361 |
) |
|
|
3,978 |
|
|
|
(9,489 |
) |
|
|
3,809 |
|
|
|
(3,584 |
) |
|
544 |
|
|
|
— |
|
|
|
3,762 |
|
|
|
(2,440 |
) |
|
|
35 |
|
|
|
(281 |
) |
| |
18,399 |
|
|
|
9,549 |
|
|
|
(4,298 |
) |
|
|
(43,763 |
) |
|
|
16,982 |
|
|
|
(6,018 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(17,264 |
) |
|
|
(7,937 |
) |
|
|
— |
|
|
|
(2,639 |
) |
|
|
— |
|
|
|
(315 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(3,989 |
) |
|
|
(782 |
) |
|
|
— |
|
|
|
(372 |
) |
|
|
(1,179 |
) |
|
|
(2,654 |
) |
| |
(21,253 |
) |
|
|
(8,719 |
) |
|
|
— |
|
|
|
(3,011 |
) |
|
|
(1,179 |
) |
|
|
(2,969 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
400,040 |
|
|
|
223,521 |
|
|
|
349,047 |
|
|
|
405,369 |
|
|
|
197,842 |
|
|
|
271,527 |
|
| |
17,265 |
|
|
|
6,814 |
|
|
|
— |
|
|
|
2,701 |
|
|
|
964 |
|
|
|
2,552 |
|
| |
(105,303 |
) |
|
|
(85,308 |
) |
|
|
(187,576 |
) |
|
|
(135,183 |
) |
|
|
(159,933 |
) |
|
|
(126,027 |
) |
| |
312,002 |
|
|
|
145,027 |
|
|
|
161,471 |
|
|
|
272,887 |
|
|
|
38,873 |
|
|
|
148,052 |
|
| |
312,002 |
|
|
|
145,027 |
|
|
|
161,471 |
|
|
|
272,887 |
|
|
|
38,873 |
|
|
|
148,052 |
|
| |
309,148 |
|
|
|
145,857 |
|
|
|
157,173 |
|
|
|
226,113 |
|
|
|
54,676 |
|
|
|
139,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
230,356 |
|
|
|
84,499 |
|
|
|
766,368 |
|
|
|
540,255 |
|
|
|
486,926 |
|
|
|
347,861 |
|
| $ |
539,504 |
|
|
$ |
230,356 |
|
|
$ |
923,541 |
|
|
$ |
766,368 |
|
|
$ |
541,602 |
|
|
$ |
486,926 |
|
$ |
1,724 |
|
|
$ |
1,117 |
|
|
$ |
(7,423 |
) |
|
$ |
(15,131 |
) |
|
$ |
(539 |
) |
|
$ |
(248 |
) |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
251 |
|
Statement of Cash Flows/Consolidated Statement of Cash Flows ($ Thousands)
For the year ended September 30,
2014
|
|
|
|
|
|
|
|
|
| |
|
Multi-Asset
Income
Fund |
|
|
Multi-Asset Inflation
Managed
Fund |
|
| Cash Flows from Operating Activities: |
|
|
|
|
|
|
|
|
| Net Increase (Decrease) in Net Assets from Operations |
|
$ |
18,399 |
|
|
$ |
(4,298 |
) |
| Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash Used in Operating
Activities: |
|
|
|
|
|
|
|
|
| Purchase of Investment Securities |
|
|
(645,624 |
) |
|
|
(1,610,993 |
) |
| Proceeds from Disposition of Investment Securities |
|
|
345,929 |
|
|
|
1,434,574 |
|
| Proceeds from Securities Sold Short |
|
|
— |
|
|
|
263,778
|
|
| Purchases to Cover Securities Sold Short |
|
|
— |
|
|
|
(126,168
|
)
|
| Purchased Options/Purchases to Cover Written Options |
|
|
(986 |
) |
|
|
(2,070 |
) |
| Proceeds from Sale of Options/Expired Options |
|
|
(169 |
) |
|
|
800 |
|
| Amortization (Accretion of Market Discount) |
|
|
(1,421 |
) |
|
|
1,204 |
|
| Net Realized (Gain) Loss on: |
|
|
|
|
|
|
|
|
| Investments and Securities Sold Short |
|
|
(1,895 |
) |
|
|
(2,147 |
) |
| Options |
|
|
1,329 |
|
|
|
1,270 |
|
| Net Change in Unrealized (Appreciation) Depreciation on: |
|
|
|
|
|
|
|
|
| Investments and Securities Sold Short |
|
|
795 |
|
|
|
(13,613 |
) |
| Options |
|
|
(99 |
) |
|
|
— |
|
| Changes in assets: |
|
|
|
|
|
|
|
|
| Foreign currency, at value |
|
|
(71 |
) |
|
|
121 |
|
| Cash collateral for reverse repos |
|
|
559 |
|
|
|
— |
|
| Cash collateral on swaps |
|
|
(2,056 |
) |
|
|
(141 |
) |
| Cash collateral on futures |
|
|
— |
|
|
|
1,658 |
|
| Cash collateral on options |
|
|
384 |
|
|
|
— |
|
| Receivable for investment securities sold |
|
|
3,890 |
|
|
|
(52,481 |
) |
| Dividends and interest receivable |
|
|
(958 |
) |
|
|
521 |
|
| Receivable for variation margin |
|
|
3 |
|
|
|
(2,028 |
) |
| OTC Swap contracts, at value |
|
|
— |
|
|
|
1,395 |
|
| Foreign tax reclaim receivable |
|
|
(2 |
) |
|
|
32 |
|
| Unrealized gain on forward foreign currency contracts |
|
|
(606 |
) |
|
|
(812 |
) |
| Unrealized gain on foreign spot currency contracts |
|
|
— |
|
|
|
2 |
|
| Prepaid Expenses |
|
|
(113 |
) |
|
|
2 |
|
| Changes in liabilities: |
|
|
|
|
|
|
|
|
| Payable for investment securities purchased |
|
|
(6,020 |
) |
|
|
85,598 |
|
| Payable for variation margin |
|
|
(19 |
) |
|
|
4,279 |
|
| Administration fees payable |
|
|
23 |
|
|
|
44 |
|
| Payable to custodian |
|
|
140 |
|
|
|
1,966 |
|
| Investment advisory fees payable |
|
|
131 |
|
|
|
12 |
|
| Shareholder servicing fees payable Class A |
|
|
— |
|
|
|
42 |
|
| Chief Compliance Officer fees payable |
|
|
1 |
|
|
|
— |
|
| OTC Swap contracts, at value |
|
|
2,294 |
|
|
|
(1,370 |
) |
| Reverse repurchase agreements |
|
|
(3,106 |
) |
|
|
1,193 |
|
| Unrealized loss on forward foreign currency contracts |
|
|
— |
|
|
|
(2,964 |
) |
| Overdraft of foreign currency, at value |
|
|
— |
|
|
|
301 |
|
| Interest payable |
|
|
— |
|
|
|
118 |
|
| Accrued expense payable |
|
|
23 |
|
|
|
20 |
|
| Net Cash Used in Operating Activities |
|
|
(289,245 |
) |
|
|
(20,155 |
) |
| Cash Flows from Financing Activities: |
|
|
|
|
|
|
|
|
| Dividends and Distributions |
|
|
(21,253 |
) |
|
|
— |
|
| Proceeds from Shares Issued |
|
|
397,680 |
|
|
|
344,988 |
|
| Reinvestment of Dividends and Distributions |
|
|
17,458 |
|
|
|
— |
|
| Cost of Shares Redeemed |
|
|
(104,936 |
) |
|
|
(187,290 |
) |
| Net Cash Provided by Financing Activities |
|
|
288,949 |
|
|
|
157,698 |
|
| Net Change in Cash |
|
|
(296 |
) |
|
|
137,543 |
|
| Cash at beginning of year |
|
$ |
434 |
|
|
$ |
163 |
|
| Cash at end of year |
|
$ |
138 |
|
|
$ |
137,706 |
|
| Amounts |
|
designated as “—” are $0 or have been rounded to $0. |
The accompanying notes are an integral part of the financial statements.
|
|
|
| 252 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Financial Highlights
For years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding
Throughout the Periods
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Net Asset
Value,
Beginning
of Period |
|
|
Net
Investment
Income (1) |
|
|
Net
Realized
and
Unrealized
Gains
(Losses)
on
Securities(1) |
|
|
Total from
Operations |
|
|
Dividends
from Net
Investment
Income |
|
|
Distributions
from
Realized
Capital
Gains |
|
|
Total
Dividends
and
Distributions |
|
|
Net Asset
Value,
End of
Period |
|
|
Total
Return† |
|
|
Net Assets
End of Period
($Thousands) |
|
|
Ratio of
Expenses
to Average
Net Assets |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly) |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly and
Waivers) |
|
|
Ratio of
Net
Investment
Income
(Loss) to
Average
Net
Assets |
|
|
Portfolio
Turnover
Rate† |
|
| Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
13.95 |
|
|
$ |
0.09 |
|
|
$ |
2.19 |
|
|
$ |
2.28 |
|
|
$ |
(0.09 |
) |
|
$ |
(0.95 |
) |
|
$ |
(1.04 |
) |
|
$ |
15.19 |
|
|
|
16.96 |
% |
|
$ |
2,581,944 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.01 |
% |
|
|
0.60 |
% |
|
|
57 |
% |
| 2013 |
|
|
12.15 |
|
|
|
0.12 |
|
|
|
2.43 |
|
|
|
2.55 |
|
|
|
(0.13 |
) |
|
|
(0.62 |
) |
|
|
(0.75 |
) |
|
|
13.95 |
|
|
|
22.23 |
|
|
|
2,107,192 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.01 |
|
|
|
0.94 |
|
|
|
49 |
|
| 2012 |
|
|
10.15 |
|
|
|
0.10 |
|
|
|
2.72 |
|
|
|
2.82 |
|
|
|
(0.09 |
) |
|
|
(0.73 |
) |
|
|
(0.82 |
) |
|
|
12.15 |
|
|
|
29.04 |
|
|
|
1,488,259 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.02 |
|
|
|
0.89 |
|
|
|
50 |
|
| 2011 |
|
|
10.77 |
|
|
|
0.08 |
|
|
|
(0.22 |
) |
|
|
(0.14 |
) |
|
|
(0.08 |
) |
|
|
(0.40 |
) |
|
|
(0.48 |
) |
|
|
10.15 |
|
|
|
(1.71 |
) |
|
|
1,521,942 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.02 |
|
|
|
0.70 |
|
|
|
100 |
|
| 2010(9) |
|
|
10.00 |
|
|
|
0.10 |
|
|
|
0.80 |
|
|
|
0.90 |
|
|
|
(0.08 |
) |
|
|
(0.05 |
) |
|
|
(0.13 |
) |
|
|
10.77 |
|
|
|
9.00 |
|
|
|
1,395,899 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.02 |
|
|
|
0.96 |
|
|
|
90 |
|
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
21.94 |
|
|
$ |
0.29 |
|
|
$ |
3.76 |
|
|
$ |
4.05 |
|
|
$ |
(0.28 |
) |
|
$ |
— |
|
|
$ |
(0.28 |
) |
|
$ |
25.71 |
|
|
|
18.55 |
% |
|
$ |
1,527,500 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
0.97 |
% |
|
|
1.19 |
% |
|
|
58 |
% |
| 2013 |
|
|
18.02 |
|
|
|
0.28 |
|
|
|
3.92 |
|
|
|
4.20 |
|
|
|
(0.28 |
) |
|
|
— |
|
|
|
(0.28 |
) |
|
|
21.94 |
|
|
|
23.55 |
|
|
|
1,444,929 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
0.97 |
|
|
|
1.39 |
|
|
|
55 |
|
| 2012 |
|
|
14.13 |
|
|
|
0.25 |
|
|
|
3.89 |
|
|
|
4.14 |
|
|
|
(0.25 |
) |
|
|
— |
|
|
|
(0.25 |
) |
|
|
18.02 |
|
|
|
29.54 |
|
|
|
1,344,405 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
0.98 |
|
|
|
1.51 |
|
|
|
37 |
|
| 2011 |
|
|
14.75 |
|
|
|
0.22 |
|
|
|
(0.61 |
) |
|
|
(0.39 |
) |
|
|
(0.23 |
) |
|
|
— |
|
|
|
(0.23 |
) |
|
|
14.13 |
|
|
|
(2.89 |
) |
|
|
1,197,272 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
0.98 |
|
|
|
1.35 |
|
|
|
63 |
|
| 2010 |
|
|
13.83 |
|
|
|
0.21 |
|
|
|
0.94 |
|
|
|
1.15 |
|
|
|
(0.23 |
) |
|
|
— |
|
|
|
(0.23 |
) |
|
|
14.75 |
|
|
|
8.43 |
|
|
|
1,504,082 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
0.98 |
|
|
|
1.48 |
|
|
|
64 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
21.96 |
|
|
$ |
0.24 |
|
|
$ |
3.75 |
|
|
$ |
3.99 |
|
|
$ |
(0.24 |
) |
|
$ |
— |
|
|
$ |
(0.24 |
) |
|
$ |
25.71 |
|
|
|
18.22 |
% |
|
$ |
9,499 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.22 |
% |
|
|
0.97 |
% |
|
|
58 |
% |
| 2013 |
|
|
18.02 |
|
|
|
0.23 |
|
|
|
3.95 |
|
|
|
4.18 |
|
|
|
(0.24 |
) |
|
|
— |
|
|
|
(0.24 |
) |
|
|
21.96 |
|
|
|
23.35 |
|
|
|
9,412 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.22 |
|
|
|
1.16 |
|
|
|
55 |
|
| 2012 |
|
|
14.13 |
|
|
|
0.21 |
|
|
|
3.89 |
|
|
|
4.10 |
|
|
|
(0.21 |
) |
|
|
— |
|
|
|
(0.21 |
) |
|
|
18.02 |
|
|
|
29.20 |
|
|
|
7,668 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.23 |
|
|
|
1.28 |
|
|
|
37 |
|
| 2011 |
|
|
14.76 |
|
|
|
0.18 |
|
|
|
(0.62 |
) |
|
|
(0.44 |
) |
|
|
(0.19 |
) |
|
|
— |
|
|
|
(0.19 |
) |
|
|
14.13 |
|
|
|
(3.14 |
) |
|
|
7,073 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.23 |
|
|
|
1.13 |
|
|
|
63 |
|
| 2010 |
|
|
13.83 |
|
|
|
0.18 |
|
|
|
0.95 |
|
|
|
1.13 |
|
|
|
(0.20 |
) |
|
|
— |
|
|
|
(0.20 |
) |
|
|
14.76 |
|
|
|
8.23 |
|
|
|
10,358 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.24 |
|
|
|
1.25 |
|
|
|
64 |
|
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
30.28 |
|
|
$ |
0.09 |
|
|
$ |
4.25 |
|
|
$ |
4.34 |
|
|
$ |
(0.09 |
) |
|
$ |
(0.71 |
) |
|
$ |
(0.80 |
) |
|
$ |
33.82 |
|
|
|
14.51 |
% |
|
$ |
1,550,723 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.02 |
% |
|
|
0.26 |
% |
|
|
61 |
% |
| 2013 |
|
|
25.57 |
|
|
|
0.08 |
|
|
|
4.73 |
|
|
|
4.81 |
|
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
30.28 |
|
|
|
18.89 |
|
|
|
1,433,284 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.02 |
|
|
|
0.28 |
|
|
|
69 |
|
| 2012 |
|
|
19.77 |
|
|
|
0.05 |
|
|
|
5.78 |
|
|
|
5.83 |
|
|
|
(0.03 |
) |
|
|
— |
|
|
|
(0.03 |
) |
|
|
25.57 |
|
|
|
29.47 |
|
|
|
1,354,774 |
|
|
|
0.89 |
|
|
|
0.90 |
|
|
|
1.03 |
|
|
|
0.19 |
|
|
|
88 |
|
| 2011 |
|
|
19.66 |
|
|
|
0.06 |
|
|
|
0.14 |
|
|
|
0.20 |
|
|
|
(0.09 |
) |
|
|
— |
|
|
|
(0.09 |
) |
|
|
19.77 |
|
|
|
0.97 |
|
|
|
1,278,538 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.03 |
|
|
|
0.27 |
|
|
|
108 |
|
| 2010 |
|
|
17.62 |
|
|
|
0.12 |
|
|
|
2.04 |
|
|
|
2.16 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
19.66 |
|
|
|
12.29 |
|
|
|
1,602,130 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.03 |
|
|
|
0.63 |
|
|
|
83 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
29.93 |
|
|
$ |
0.01 |
|
|
$ |
4.21 |
|
|
$ |
4.22 |
|
|
$ |
(0.04 |
) |
|
$ |
(0.71 |
) |
|
$ |
(0.75 |
) |
|
$ |
33.40 |
|
|
|
14.28 |
% |
|
$ |
7,245 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.27 |
% |
|
|
0.05 |
% |
|
|
61 |
% |
| 2013 |
|
|
25.28 |
|
|
|
0.02 |
|
|
|
4.68 |
|
|
|
4.70 |
|
|
|
(0.05 |
) |
|
|
— |
|
|
|
(0.05 |
) |
|
|
29.93 |
|
|
|
18.62 |
|
|
|
8,324 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.27 |
|
|
|
0.06 |
|
|
|
69 |
|
| 2012 |
|
|
19.57 |
|
|
|
— |
* |
|
|
5.71 |
|
|
|
5.71 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
25.28 |
|
|
|
29.18 |
|
|
|
8,549 |
|
|
|
1.11 |
|
|
|
1.12 |
|
|
|
1.28 |
|
|
|
(0.02 |
) |
|
|
88 |
|
| 2011 |
|
|
19.47 |
|
|
|
0.01 |
|
|
|
0.14 |
|
|
|
0.15 |
|
|
|
(0.05 |
) |
|
|
— |
|
|
|
(0.05 |
) |
|
|
19.57 |
|
|
|
0.73 |
|
|
|
6,695 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.28 |
|
|
|
0.05 |
|
|
|
108 |
|
| 2010 |
|
|
17.44 |
|
|
|
0.08 |
|
|
|
2.02 |
|
|
|
2.10 |
|
|
|
(0.07 |
) |
|
|
— |
|
|
|
(0.07 |
) |
|
|
19.47 |
|
|
|
12.06 |
|
|
|
7,953 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.28 |
|
|
|
0.41 |
|
|
|
83 |
|
| Tax-Managed Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
16.81 |
|
|
$ |
0.12 |
|
|
$ |
2.84 |
|
|
$ |
2.96 |
|
|
$ |
(0.13 |
) |
|
$ |
— |
|
|
$ |
(0.13 |
) |
|
$ |
19.64 |
|
|
|
17.63 |
% |
|
$ |
3,089,839 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.02 |
% |
|
|
0.65 |
% |
|
|
39 |
% |
| 2013 |
|
|
13.88 |
|
|
|
0.15 |
|
|
|
2.94 |
|
|
|
3.09 |
|
|
|
(0.16 |
) |
|
|
— |
|
|
|
(0.16 |
) |
|
|
16.81 |
|
|
|
22.47 |
|
|
|
2,407,951 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.02 |
|
|
|
1.00 |
|
|
|
42 |
|
| 2012 |
|
|
10.80 |
|
|
|
0.12 |
|
|
|
3.07 |
|
|
|
3.19 |
|
|
|
(0.11 |
) |
|
|
— |
|
|
|
(0.11 |
) |
|
|
13.88 |
|
|
|
29.70 |
|
|
|
1,882,834 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.03 |
|
|
|
0.96 |
|
|
|
53 |
|
| 2011 |
|
|
11.02 |
|
|
|
0.10 |
|
|
|
(0.22 |
) |
|
|
(0.12 |
) |
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
10.80 |
|
|
|
(1.20 |
) |
|
|
1,495,783 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.03 |
|
|
|
0.78 |
|
|
|
72 |
|
| 2010 |
|
|
10.19 |
|
|
|
0.10 |
|
|
|
0.84 |
|
|
|
0.94 |
|
|
|
(0.11 |
) |
|
|
— |
|
|
|
(0.11 |
) |
|
|
11.02 |
|
|
|
9.26 |
|
|
|
1,534,797 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.04 |
|
|
|
0.95 |
|
|
|
58 |
|
| Class T‡ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
17.31 |
|
|
$ |
0.19 |
|
|
$ |
2.92 |
|
|
$ |
3.11 |
|
|
$ |
(0.13 |
) |
|
$ |
— |
|
|
$ |
(0.13 |
) |
|
$ |
20.29 |
|
|
|
18.05 |
% |
|
$ |
472 |
|
|
|
0.56 |
% |
|
|
0.56 |
% |
|
|
0.72 |
% |
|
|
0.98 |
% |
|
|
39 |
% |
| 2013 |
|
|
14.26 |
|
|
|
0.22 |
|
|
|
3.00 |
|
|
|
3.22 |
|
|
|
(0.17 |
) |
|
|
— |
|
|
|
(0.17 |
) |
|
|
17.31 |
|
|
|
22.80 |
|
|
|
455 |
|
|
|
0.56 |
|
|
|
0.56 |
|
|
|
0.72 |
|
|
|
1.42 |
|
|
|
42 |
|
| 2012 |
|
|
11.07 |
|
|
|
0.17 |
|
|
|
3.14 |
|
|
|
3.31 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
14.26 |
|
|
|
30.03 |
|
|
|
1,086 |
|
|
|
0.56 |
|
|
|
0.56 |
|
|
|
0.73 |
|
|
|
1.29 |
|
|
|
53 |
|
| 2011 |
|
|
11.24 |
|
|
|
0.14 |
|
|
|
(0.21 |
) |
|
|
(0.07 |
) |
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
11.07 |
|
|
|
(0.68 |
) |
|
|
913 |
|
|
|
0.56 |
|
|
|
0.56 |
|
|
|
0.73 |
|
|
|
1.14 |
|
|
|
72 |
|
| 2010 |
|
|
10.37 |
|
|
|
0.01 |
|
|
|
0.97 |
|
|
|
0.98 |
|
|
|
(0.11 |
) |
|
|
— |
|
|
|
(0.11 |
) |
|
|
11.24 |
|
|
|
9.54 |
|
|
|
2,980 |
|
|
|
0.56 |
|
|
|
0.56 |
|
|
|
0.74 |
|
|
|
1.28 |
|
|
|
58 |
|
| S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
46.20 |
|
|
$ |
0.79 |
|
|
$ |
7.91 |
|
|
$ |
8.70 |
|
|
$ |
(0.83 |
) |
|
$ |
(1.07 |
) |
|
$ |
(1.90 |
) |
|
$ |
53.00 |
|
|
|
19.23 |
% |
|
$ |
394,132 |
|
|
|
0.43 |
% |
|
|
0.43 |
% |
|
|
0.54 |
% |
|
|
1.58 |
% |
|
|
10 |
% |
| 2013 |
|
|
39.60 |
|
|
|
0.76 |
|
|
|
6.61 |
|
|
|
7.37 |
|
|
|
(0.77 |
) |
|
|
— |
|
|
|
(0.77 |
) |
|
|
46.20 |
|
|
|
18.87 |
|
|
|
352,589 |
|
|
|
0.43 |
|
|
|
0.43 |
|
|
|
0.54 |
|
|
|
1.78 |
|
|
|
6 |
|
| 2012 |
|
|
31.03 |
|
|
|
0.64 |
|
|
|
8.51 |
|
|
|
9.15 |
|
|
|
(0.58 |
) |
|
|
— |
|
|
|
(0.58 |
) |
|
|
39.60 |
|
|
|
29.74 |
|
|
|
294,234 |
|
|
|
0.43 |
|
|
|
0.43 |
|
|
|
0.54 |
|
|
|
1.76 |
|
|
|
18 |
|
| 2011 |
|
|
31.30 |
|
|
|
0.55 |
|
|
|
(0.26 |
)(5) |
|
|
0.29 |
|
|
|
(0.56 |
) |
|
|
— |
|
|
|
(0.56 |
) |
|
|
31.03 |
|
|
|
0.75 |
|
|
|
255,345 |
|
|
|
0.43 |
|
|
|
0.43 |
|
|
|
0.53 |
|
|
|
1.61 |
|
|
|
61 |
|
| 2010 |
|
|
29.01 |
|
|
|
0.56 |
|
|
|
2.29 |
|
|
|
2.85 |
|
|
|
(0.56 |
) |
|
|
— |
|
|
|
(0.56 |
) |
|
|
31.30 |
|
|
|
9.93 |
|
|
|
325,796 |
|
|
|
0.43 |
|
|
|
0.43 |
|
|
|
0.54 |
|
|
|
1.85 |
|
|
|
20 |
|
| Class E |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
46.45 |
|
|
$ |
0.89 |
|
|
$ |
7.94 |
|
|
$ |
8.83 |
|
|
$ |
(0.91 |
) |
|
$ |
(1.07 |
) |
|
$ |
(1.98 |
) |
|
$ |
53.30 |
|
|
|
19.42 |
% |
|
$ |
2,070,624 |
|
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.29 |
% |
|
|
1.76 |
% |
|
|
10 |
% |
| 2013 |
|
|
39.79 |
|
|
|
0.85 |
|
|
|
6.65 |
|
|
|
7.50 |
|
|
|
(0.84 |
) |
|
|
— |
|
|
|
(0.84 |
) |
|
|
46.45 |
|
|
|
19.11 |
|
|
|
2,365,696 |
|
|
|
0.25 |
|
|
|
0.25 |
|
|
|
0.29 |
|
|
|
1.99 |
|
|
|
6 |
|
| 2012 |
|
|
31.17 |
|
|
|
0.71 |
|
|
|
8.54 |
|
|
|
9.25 |
|
|
|
(0.63 |
) |
|
|
— |
|
|
|
(0.63 |
) |
|
|
39.79 |
|
|
|
29.97 |
|
|
|
2,580,512 |
|
|
|
0.25 |
|
|
|
0.25 |
|
|
|
0.29 |
|
|
|
1.92 |
|
|
|
18 |
|
| 2011 |
|
|
31.42 |
|
|
|
0.61 |
|
|
|
(0.25 |
)(5) |
|
|
0.36 |
|
|
|
(0.61 |
) |
|
|
— |
|
|
|
(0.61 |
) |
|
|
31.17 |
|
|
|
0.96 |
|
|
|
1,195,729 |
|
|
|
0.25 |
|
|
|
0.25 |
|
|
|
0.29 |
|
|
|
1.76 |
|
|
|
61 |
|
| 2010 |
|
|
29.12 |
|
|
|
0.61 |
|
|
|
2.29 |
|
|
|
2.90 |
|
|
|
(0.60 |
) |
|
|
— |
|
|
|
(0.60 |
) |
|
|
31.42 |
|
|
|
10.10 |
|
|
|
1,046,410 |
|
|
|
0.25 |
|
|
|
0.25 |
|
|
|
0.29 |
|
|
|
2.02 |
|
|
|
20 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
253 |
|
Financial Highlights (Continued)
For years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Net Asset
Value,
Beginning
of Period |
|
|
Net
Investment
Income
(Loss)(1) |
|
|
Net
Realized
and
Unrealized
Gains
(Losses)
on
Securities(1) |
|
|
Total from
Operations |
|
|
Dividends
from Net
Investment
Income |
|
|
Distributions
from
Realized
Capital
Gains |
|
|
Total
Dividends,
Distributions
and
Return of
Capital |
|
|
Net Asset
Value,
End of
Period |
|
|
Total
Return† |
|
|
Net Assets
End of Period
($Thousands) |
|
|
Ratio of
Expenses
to Average
Net Assets |
|
|
Ratio of
Expenses
to Average
Net Assets
(Excluding
Fees
Paid
Indirectly) |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly and
Waivers) |
|
|
Ratio of
Net
Investment
Income
(Loss) to
Average
Net
Assets |
|
|
Portfolio
Turnover
Rate† |
|
| S&P 500 Index Fund (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
46.38 |
|
|
$ |
0.68 |
|
|
$ |
7.94 |
|
|
$ |
8.62 |
|
|
$ |
(0.71 |
) |
|
$ |
(1.07 |
) |
|
$ |
(1.78 |
) |
|
$ |
53.22 |
|
|
|
18.95 |
% |
|
$ |
7,962 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
0.79 |
% |
|
|
1.35 |
% |
|
|
10 |
% |
| 2013 |
|
|
39.73 |
|
|
|
0.67 |
|
|
|
6.65 |
|
|
|
7.32 |
|
|
|
(0.67 |
) |
|
|
— |
|
|
|
(0.67 |
) |
|
|
46.38 |
|
|
|
18.60 |
|
|
|
7,577 |
|
|
|
0.65 |
|
|
|
0.65 |
|
|
|
0.79 |
|
|
|
1.58 |
|
|
|
6 |
|
| 2012 |
|
|
31.12 |
|
|
|
0.56 |
|
|
|
8.54 |
|
|
|
9.10 |
|
|
|
(0.49 |
) |
|
|
— |
|
|
|
(0.49 |
) |
|
|
39.73 |
|
|
|
29.46 |
|
|
|
8,500 |
|
|
|
0.65 |
|
|
|
0.65 |
|
|
|
0.79 |
|
|
|
1.53 |
|
|
|
18 |
|
| 2011 |
|
|
31.37 |
|
|
|
0.47 |
|
|
|
(0.25 |
)(5) |
|
|
0.22 |
|
|
|
(0.47 |
) |
|
|
— |
|
|
|
(0.47 |
) |
|
|
31.12 |
|
|
|
0.56 |
|
|
|
7,198 |
|
|
|
0.65 |
|
|
|
0.65 |
|
|
|
0.79 |
|
|
|
1.35 |
|
|
|
61 |
|
| 2010 |
|
|
29.07 |
|
|
|
0.49 |
|
|
|
2.29 |
|
|
|
2.78 |
|
|
|
(0.48 |
) |
|
|
— |
|
|
|
(0.48 |
) |
|
|
31.37 |
|
|
|
9.66 |
|
|
|
8,341 |
|
|
|
0.65 |
|
|
|
0.65 |
|
|
|
0.79 |
|
|
|
1.63 |
|
|
|
20 |
|
| Small Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
13.32 |
|
|
$ |
(0.03 |
) |
|
$ |
0.61 |
|
|
$ |
0.58 |
|
|
$ |
— |
* |
|
$ |
(0.89 |
) |
|
$ |
(0.89 |
) |
|
$ |
13.01 |
|
|
|
4.38 |
% $ |
|
|
483,282 |
|
|
|
1.14 |
% |
|
|
1.14 |
% |
|
|
1.28 |
% |
|
|
(0.24 |
)% |
|
|
72 |
% |
| 2013 |
|
|
10.62 |
|
|
|
0.01 |
|
|
|
3.25 |
|
|
|
3.26 |
|
|
|
(0.05 |
) |
|
|
(0.51 |
) |
|
|
(0.56 |
) |
|
|
13.32 |
|
|
|
32.40 |
|
|
|
410,780 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
0.08 |
|
|
|
72 |
|
| 2012 |
|
|
9.51 |
|
|
|
0.01 |
|
|
|
2.67 |
|
|
|
2.68 |
|
|
|
(0.01 |
) |
|
|
(1.56 |
) |
|
|
(1.57 |
) |
|
|
10.62 |
|
|
|
29.93 |
|
|
|
254,051 |
|
|
|
1.14 |
|
|
|
1.15 |
|
|
|
1.28 |
|
|
|
0.08 |
|
|
|
114 |
|
| 2011 |
|
|
11.14 |
|
|
|
(0.01 |
) |
|
|
(0.55 |
) |
|
|
(0.56 |
) |
|
|
(0.01 |
) |
|
|
(1.06 |
) |
|
|
(1.07 |
) |
|
|
9.51 |
|
|
|
(6.54 |
) |
|
|
203,909 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
(0.09 |
) |
|
|
123 |
|
| 2010(9) |
|
|
10.00 |
|
|
|
0.01 |
|
|
|
1.15 |
|
|
|
1.16 |
|
|
|
(0.01 |
) |
|
|
(0.01 |
) |
|
|
(0.02 |
) |
|
|
11.14 |
|
|
|
11.64 |
|
|
|
223,978 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.29 |
|
|
|
0.10 |
|
|
|
115 |
|
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
23.24 |
|
|
$ |
0.12 |
|
|
$ |
0.95 |
|
|
$ |
1.07 |
|
|
$ |
(0.14 |
) |
|
$ |
(0.20 |
) |
|
$ |
(0.34 |
) |
|
$ |
23.97 |
|
|
|
4.54 |
% |
|
$ |
374,828 |
|
|
|
1.14 |
% |
|
|
1.14 |
% |
|
|
1.27 |
% |
|
|
0.49 |
% |
|
|
52 |
% |
| 2013 |
|
|
18.23 |
|
|
|
0.17 |
|
|
|
5.03 |
|
|
|
5.20 |
|
|
|
(0.19 |
) |
|
|
— |
|
|
|
(0.19 |
) |
|
|
23.24 |
|
|
|
28.73 |
|
|
|
391,113 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
0.84 |
|
|
|
51 |
|
| 2012 |
|
|
14.26 |
|
|
|
0.11 |
|
|
|
4.02 |
|
|
|
4.13 |
|
|
|
(0.16 |
) |
|
|
— |
|
|
|
(0.16 |
) |
|
|
18.23 |
|
|
|
29.04 |
|
|
|
405,106 |
|
|
|
1.14 |
|
|
|
1.15 |
|
|
|
1.28 |
|
|
|
0.64 |
|
|
|
53 |
|
| 2011 |
|
|
15.45 |
|
|
|
0.07 |
|
|
|
(1.16 |
) |
|
|
(1.09 |
) |
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
14.26 |
|
|
|
(7.15 |
) |
|
|
377,222 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
0.41 |
|
|
|
70 |
|
| 2010 |
|
|
13.66 |
|
|
|
0.07 |
|
|
|
1.82 |
|
|
|
1.89 |
|
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
15.45 |
|
|
|
13.93 |
|
|
|
535,938 |
|
|
|
1.14 |
|
|
|
1.15 |
|
|
|
1.29 |
|
|
|
0.46 |
|
|
|
69 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
23.09 |
|
|
$ |
0.07 |
|
|
$ |
0.93 |
|
|
$ |
1.00 |
|
|
$ |
(0.08 |
) |
|
$ |
(0.20 |
) |
|
$ |
(0.28 |
) |
|
$ |
23.81 |
|
|
|
4.29 |
% |
|
$ |
4,179 |
|
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.52 |
% |
|
|
0.27 |
% |
|
|
52 |
% |
| 2013 |
|
|
18.10 |
|
|
|
0.11 |
|
|
|
5.02 |
|
|
|
5.13 |
|
|
|
(0.14 |
) |
|
|
— |
|
|
|
(0.14 |
) |
|
|
23.09 |
|
|
|
28.51 |
|
|
|
5,308 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.53 |
|
|
|
0.55 |
|
|
|
51 |
|
| 2012 |
|
|
14.15 |
|
|
|
0.07 |
|
|
|
3.99 |
|
|
|
4.06 |
|
|
|
(0.11 |
) |
|
|
— |
|
|
|
(0.11 |
) |
|
|
18.10 |
|
|
|
28.78 |
|
|
|
4,368 |
|
|
|
1.36 |
|
|
|
1.37 |
|
|
|
1.53 |
|
|
|
0.42 |
|
|
|
53 |
|
| 2011 |
|
|
15.34 |
|
|
|
0.03 |
|
|
|
(1.15 |
) |
|
|
(1.12 |
) |
|
|
(0.07 |
) |
|
|
— |
|
|
|
(0.07 |
) |
|
|
14.15 |
|
|
|
(7.40 |
) |
|
|
3,908 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.53 |
|
|
|
0.20 |
|
|
|
70 |
|
| 2010 |
|
|
13.56 |
|
|
|
0.04 |
|
|
|
1.81 |
|
|
|
1.85 |
|
|
|
(0.07 |
) |
|
|
— |
|
|
|
(0.07 |
) |
|
|
15.34 |
|
|
|
13.73 |
|
|
|
6,933 |
|
|
|
1.36 |
|
|
|
1.37 |
|
|
|
1.54 |
|
|
|
0.25 |
|
|
|
69 |
|
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
24.63 |
|
|
$ |
(0.15 |
) |
|
$ |
1.47 |
|
|
$ |
1.32 |
|
|
$ |
— |
* |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
25.95 |
|
|
|
5.36 |
% |
|
$ |
335,849 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.28 |
% |
|
|
(0.57 |
)% |
|
|
70 |
% |
| 2013 |
|
|
18.57 |
|
|
|
(0.02 |
) |
|
|
6.16 |
|
|
|
6.14 |
|
|
|
(0.08 |
) |
|
|
— |
|
|
|
(0.08 |
) |
|
|
24.63 |
|
|
|
33.21 |
|
|
|
353,097 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.28 |
|
|
|
(0.08 |
) |
|
|
81 |
|
| 2012 |
|
|
14.20 |
|
|
|
(0.02 |
) |
|
|
4.39 |
|
|
|
4.37 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
18.57 |
|
|
|
30.77 |
|
|
|
300,972 |
|
|
|
1.11 |
|
|
|
1.12 |
|
|
|
1.28 |
|
|
|
(0.13 |
) |
|
|
110 |
|
| 2011 |
|
|
14.69 |
|
|
|
(0.07 |
) |
|
|
(0.42 |
) |
|
|
(0.49 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
14.20 |
|
|
|
(3.34 |
) |
|
|
272,275 |
|
|
|
1.11 |
|
|
|
1.12 |
|
|
|
1.28 |
|
|
|
(0.43 |
) |
|
|
125 |
|
| 2010 |
|
|
12.96 |
|
|
|
(0.03 |
) |
|
|
1.76 |
|
|
|
1.73 |
|
|
|
— |
(2) |
|
|
— |
|
|
|
— |
|
|
|
14.69 |
|
|
|
13.36 |
|
|
|
380,910 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.29 |
|
|
|
(0.21 |
) |
|
|
99 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
23.93 |
|
|
$ |
(0.21 |
) |
|
$ |
1.43 |
|
|
$ |
1.22 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
25.15 |
|
|
|
5.10 |
% |
|
$ |
2,968 |
|
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.52 |
% |
|
|
(0.82 |
)% |
|
|
70 |
% |
| 2013 |
|
|
18.04 |
|
|
|
(0.07 |
) |
|
|
5.99 |
|
|
|
5.92 |
|
|
|
(0.03 |
) |
|
|
— |
|
|
|
(0.03 |
) |
|
|
23.93 |
|
|
|
32.86 |
|
|
|
3,384 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.53 |
|
|
|
(0.35 |
) |
|
|
81 |
|
| 2012 |
|
|
13.82 |
|
|
|
(0.06 |
) |
|
|
4.28 |
|
|
|
4.22 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
18.04 |
|
|
|
30.54 |
|
|
|
2,650 |
|
|
|
1.36 |
|
|
|
1.37 |
|
|
|
1.53 |
|
|
|
(0.38 |
) |
|
|
110 |
|
| 2011 |
|
|
14.34 |
|
|
|
(0.12 |
) |
|
|
(0.40 |
) |
|
|
(0.52 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
13.82 |
|
|
|
(3.63 |
) |
|
|
2,826 |
|
|
|
1.36 |
|
|
|
1.37 |
|
|
|
1.53 |
|
|
|
(0.69 |
) |
|
|
125 |
|
| 2010 |
|
|
12.68 |
|
|
|
(0.06 |
) |
|
|
1.72 |
|
|
|
1.66 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
14.34 |
|
|
|
13.09 |
|
|
|
3,703 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.54 |
|
|
|
(0.45 |
) |
|
|
99 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
17.10 |
|
|
$ |
0.01 |
|
|
$ |
1.40 |
|
|
$ |
1.41 |
|
|
$ |
(0.02 |
) |
|
$ |
(0.87 |
) |
|
$ |
(0.89 |
) |
|
$ |
17.62 |
|
|
|
8.44 |
% |
|
$ |
573,175 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.28 |
% |
|
|
0.07 |
% |
|
|
61 |
% |
| 2013 |
|
|
13.26 |
|
|
|
0.04 |
|
|
|
3.86 |
|
|
|
3.90 |
|
|
|
(0.06 |
) |
|
|
— |
|
|
|
(0.06 |
) |
|
|
17.10 |
|
|
|
29.54 |
|
|
|
486,216 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.28 |
|
|
|
0.30 |
|
|
|
67 |
|
| 2012 |
|
|
10.39 |
|
|
|
0.03 |
|
|
|
2.88 |
|
|
|
2.91 |
|
|
|
(0.04 |
) |
|
|
— |
|
|
|
(0.04 |
) |
|
|
13.26 |
|
|
|
28.09 |
|
|
|
336,339 |
|
|
|
1.11 |
|
|
|
1.12 |
|
|
|
1.28 |
|
|
|
0.24 |
|
|
|
67 |
|
| 2011 |
|
|
10.81 |
|
|
|
0.02 |
|
|
|
(0.41 |
) |
|
|
(0.39 |
) |
|
|
(0.03 |
) |
|
|
— |
|
|
|
(0.03 |
) |
|
|
10.39 |
|
|
|
(3.66 |
) |
|
|
255,297 |
|
|
|
1.11 |
|
|
|
1.12 |
|
|
|
1.29 |
|
|
|
0.17 |
|
|
|
105 |
|
| 2010 |
|
|
9.42 |
|
|
|
0.03 |
|
|
|
1.39 |
|
|
|
1.42 |
|
|
|
(0.03 |
) |
|
|
— |
|
|
|
(0.03 |
) |
|
|
10.81 |
|
|
|
15.05 |
|
|
|
300,343 |
|
|
|
1.11 |
|
|
|
1.13 |
|
|
|
1.29 |
|
|
|
0.30 |
|
|
|
75 |
|
| Mid-Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
24.64 |
|
|
$ |
0.04 |
|
|
$ |
3.65 |
|
|
$ |
3.69 |
|
|
$ |
(0.06 |
) |
|
$ |
(0.74 |
) |
|
$ |
(0.80 |
) |
|
$ |
27.53 |
|
|
|
15.28 |
% |
|
$ |
93,705 |
|
|
|
1.02 |
% |
|
|
1.02 |
% |
|
|
1.03 |
% |
|
|
0.16 |
% |
|
|
66 |
% |
| 2013 |
|
|
19.30 |
|
|
|
0.11 |
|
|
|
5.37 |
|
|
|
5.48 |
|
|
|
(0.14 |
) |
|
|
— |
|
|
|
(0.14 |
) |
|
|
24.64 |
|
|
|
28.52 |
|
|
|
107,487 |
|
|
|
1.02 |
|
|
|
1.02 |
|
|
|
1.03 |
|
|
|
0.52 |
|
|
|
108 |
|
| 2012 |
|
|
14.99 |
|
|
|
0.09 |
|
|
|
4.32 |
|
|
|
4.41 |
|
|
|
(0.10 |
) |
|
|
— |
|
|
|
(0.10 |
) |
|
|
19.30 |
|
|
|
29.50 |
|
|
|
85,119 |
|
|
|
1.02 |
|
|
|
1.02 |
|
|
|
1.04 |
|
|
|
0.53 |
|
|
|
81 |
|
| 2011 |
|
|
15.80 |
|
|
|
0.06 |
|
|
|
(0.79 |
) |
|
|
(0.73 |
) |
|
|
(0.08 |
) |
|
|
— |
|
|
|
(0.08 |
) |
|
|
14.99 |
|
|
|
(4.67 |
) |
|
|
74,200 |
|
|
|
1.02 |
|
|
|
1.04 |
|
|
|
1.06 |
|
|
|
0.36 |
|
|
|
151 |
|
| 2010 |
|
|
13.92 |
|
|
|
0.08 |
|
|
|
1.88 |
|
|
|
1.96 |
|
|
|
(0.08 |
) |
|
|
— |
|
|
|
(0.08 |
) |
|
|
15.80 |
|
|
|
14.13 |
|
|
|
124,569 |
|
|
|
1.02 |
|
|
|
1.04 |
|
|
|
1.04 |
|
|
|
0.51 |
|
|
|
185 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
24.64 |
|
|
$ |
(0.02 |
) |
|
$ |
3.65 |
|
|
$ |
3.63 |
|
|
$ |
(0.01 |
) |
|
$ |
(0.74 |
) |
|
$ |
(0.75 |
) |
|
$ |
27.52 |
|
|
|
15.01 |
% |
|
$ |
1,144 |
|
|
|
1.26 |
% |
|
|
1.26 |
% |
|
|
1.28 |
% |
|
|
(0.08 |
)% |
|
|
66 |
% |
| 2013 |
|
|
19.30 |
|
|
|
0.06 |
|
|
|
5.37 |
|
|
|
5.43 |
|
|
|
(0.09 |
) |
|
|
— |
|
|
|
(0.09 |
) |
|
|
24.64 |
|
|
|
28.20 |
|
|
|
1,558 |
|
|
|
1.26 |
|
|
|
1.26 |
|
|
|
1.28 |
|
|
|
0.27 |
|
|
|
108 |
|
| 2012 |
|
|
14.99 |
|
|
|
0.05 |
|
|
|
4.32 |
|
|
|
4.37 |
|
|
|
(0.06 |
) |
|
|
— |
|
|
|
(0.06 |
) |
|
|
19.30 |
|
|
|
29.21 |
|
|
|
1,088 |
|
|
|
1.26 |
|
|
|
1.26 |
|
|
|
1.29 |
|
|
|
0.28 |
|
|
|
81 |
|
| 2011 |
|
|
15.81 |
|
|
|
0.03 |
|
|
|
(0.81 |
) |
|
|
(0.78 |
) |
|
|
(0.04 |
) |
|
|
— |
|
|
|
(0.04 |
) |
|
|
14.99 |
|
|
|
(4.95 |
) |
|
|
940 |
|
|
|
1.26 |
|
|
|
1.28 |
|
|
|
1.31 |
|
|
|
0.18 |
|
|
|
151 |
|
| 2010 |
|
|
13.92 |
|
|
|
0.04 |
|
|
|
1.89 |
|
|
|
1.93 |
|
|
|
(0.04 |
) |
|
|
— |
|
|
|
(0.04 |
) |
|
|
15.81 |
|
|
|
13.91 |
|
|
|
623 |
|
|
|
1.26 |
|
|
|
1.28 |
|
|
|
1.29 |
|
|
|
0.30 |
|
|
|
185 |
|
|
|
|
| 254 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Net Asset
Value,
Beginning
of Period |
|
|
Net
Investment
Income
(Loss)(1) |
|
|
Net
Realized
and
Unrealized
Gains
(Losses)
on
Securities(1) |
|
|
Total from
Operations |
|
|
Dividends
from Net
Investment
Income |
|
|
Distributions
from
Realized
Capital
Gains |
|
|
Total
Dividends,
Distributions
and
Return of
Capital |
|
|
Net Asset
Value,
End of
Period |
|
|
Total
Return† |
|
|
Net Assets
End of Period
($Thousands) |
|
|
Ratio of
Expenses
to Average
Net Assets |
|
|
Ratio of
Expenses
to Average
Net Assets
(Excluding
Fees
Paid
Indirectly) |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly and
Waivers) |
|
|
Ratio of
Net
Investment
Income
(Loss) to
Average
Net
Assets |
|
|
Portfolio
Turnover
Rate† |
|
| U.S. Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
16.09 |
|
|
$ |
0.23 |
|
|
$ |
2.62 |
|
|
$ |
2.85 |
|
|
$ |
(0.23 |
) |
|
$ |
(1.21 |
) |
|
$ |
(1.44 |
) |
|
$ |
17.50 |
|
|
|
18.68 |
% |
|
$ |
1,001,565 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
1.27 |
% |
|
|
1.38 |
% |
|
|
71 |
% |
| 2013 |
|
|
13.96 |
|
|
|
0.27 |
|
|
|
2.25 |
|
|
|
2.52 |
|
|
|
(0.27 |
) |
|
|
(0.12 |
) |
|
|
(0.39 |
) |
|
|
16.09 |
|
|
|
18.39 |
|
|
|
851,119 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.27 |
|
|
|
1.78 |
|
|
|
39 |
% |
| 2012 |
|
|
11.49 |
|
|
|
0.22 |
|
|
|
2.45 |
|
|
|
2.67 |
|
|
|
(0.20 |
) |
|
|
— |
|
|
|
(0.20 |
) |
|
|
13.96 |
|
|
|
23.41 |
|
|
|
635,298 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.28 |
|
|
|
1.72 |
|
|
|
48 |
|
| 2011 |
|
|
10.81 |
|
|
|
0.16 |
|
|
|
0.67 |
|
|
|
0.83 |
|
|
|
(0.15 |
) |
|
|
— |
|
|
|
(0.15 |
) |
|
|
11.49 |
|
|
|
7.63 |
|
|
|
452,489 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.28 |
|
|
|
1.33 |
|
|
|
71 |
|
| 2010 |
|
|
9.65 |
|
|
|
0.14 |
|
|
|
1.16 |
|
|
|
1.30 |
|
|
|
(0.14 |
) |
|
|
— |
|
|
|
(0.14 |
) |
|
|
10.81 |
|
|
|
13.61 |
|
|
|
415,669 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.29 |
|
|
|
1.37 |
|
|
|
53 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
16.07 |
|
|
$ |
0.19 |
|
|
$ |
2.61 |
|
|
$ |
2.80 |
|
|
$ |
(0.19 |
) |
|
$ |
(1.21 |
) |
|
$ |
(1.40 |
) |
|
$ |
17.47 |
|
|
|
18.35 |
% |
|
$ |
1,280 |
|
|
|
1.25 |
% |
|
|
1.25 |
% |
|
|
1.52 |
% |
|
|
1.13 |
% |
|
|
71 |
% |
| 2013 |
|
|
13.93 |
|
|
|
0.23 |
|
|
|
2.25 |
|
|
|
2.48 |
|
|
|
(0.22 |
) |
|
|
(0.12 |
) |
|
|
(0.34 |
) |
|
|
16.07 |
|
|
|
18.10 |
|
|
|
1,230 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
1.52 |
|
|
|
1.52 |
|
|
|
39 |
|
| 2012 |
|
|
11.47 |
|
|
|
0.22 |
|
|
|
2.41 |
|
|
|
2.63 |
|
|
|
(0.17 |
) |
|
|
— |
|
|
|
(0.17 |
) |
|
|
13.93 |
|
|
|
23.08 |
|
|
|
709 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
1.53 |
|
|
|
1.62 |
|
|
|
48 |
|
| 2011 |
|
|
10.79 |
|
|
|
0.14 |
|
|
|
0.66 |
|
|
|
0.80 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
11.47 |
|
|
|
7.39 |
|
|
|
52 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
1.53 |
|
|
|
1.14 |
|
|
|
71 |
|
| 2010 |
|
|
9.63 |
|
|
|
0.11 |
|
|
|
1.17 |
|
|
|
1.28 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
10.79 |
|
|
|
13.38 |
|
|
|
37 |
|
|
|
1.25 |
|
|
|
1.25 |
|
|
|
1.54 |
|
|
|
1.08 |
|
|
|
53 |
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
11.00 |
|
|
$ |
0.20 |
|
|
$ |
1.24 |
|
|
$ |
1.44 |
|
|
$ |
(0.50 |
) |
|
$ |
(0.53 |
) |
|
$ |
(1.03 |
) |
|
$ |
11.41 |
|
|
|
13.97 |
% |
|
$ |
1,799,842 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.28 |
% |
|
|
1.84 |
% |
|
|
68 |
% |
| 2013 |
|
|
9.80 |
|
|
|
0.23 |
|
|
|
1.22 |
|
|
|
1.45 |
|
|
|
(0.25 |
) |
|
|
— |
|
|
|
(0.25 |
) |
|
|
11.00 |
|
|
|
15.12 |
|
|
|
1,399,316 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.28 |
|
|
|
2.09 |
|
|
|
60 |
|
| 2012 |
|
|
8.53 |
|
|
|
0.20 |
|
|
|
1.07 |
|
|
|
1.27 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9.80 |
|
|
|
14.89 |
|
|
|
928,141 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.30 |
|
|
|
2.19 |
|
|
|
48 |
|
| 2011 |
|
|
8.21 |
|
|
|
0.18 |
|
|
|
0.14 |
|
|
|
0.32 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8.53 |
|
|
|
3.90 |
|
|
|
522,646 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.29 |
|
|
|
2.11 |
|
|
|
68 |
|
| 2010 |
|
|
7.82 |
|
|
|
0.13 |
|
|
|
0.29 |
|
|
|
0.42 |
|
|
|
(0.03 |
)(2) |
|
|
— |
|
|
|
(0.03 |
) |
|
|
8.21 |
|
|
|
5.37 |
|
|
|
330,526 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.31 |
|
|
|
1.62 |
|
|
|
91 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
10.84 |
|
|
$ |
0.17 |
|
|
$ |
1.23 |
|
|
$ |
1.40 |
|
|
$ |
(0.48 |
) |
|
$ |
(0.53 |
) |
|
$ |
(1.01 |
) |
|
$ |
11.23 |
|
|
|
13.78 |
% |
|
$ |
1,034 |
|
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.53 |
% |
|
|
1.59 |
% |
|
|
68 |
% |
| 2013 |
|
|
9.66 |
|
|
|
0.20 |
|
|
|
1.21 |
|
|
|
1.41 |
|
|
|
(0.23 |
) |
|
|
— |
|
|
|
(0.23 |
) |
|
|
10.84 |
|
|
|
14.91 |
|
|
|
954 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.54 |
|
|
|
1.85 |
|
|
|
60 |
|
| 2012 |
|
|
8.44 |
|
|
|
0.22 |
|
|
|
1.00 |
|
|
|
1.22 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9.66 |
|
|
|
14.45 |
|
|
|
320 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.55 |
|
|
|
2.32 |
|
|
|
48 |
|
| 2011 |
|
|
8.15 |
|
|
|
0.15 |
|
|
|
0.14 |
|
|
|
0.29 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8.44 |
|
|
|
3.56 |
|
|
|
21 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.54 |
|
|
|
1.78 |
|
|
|
68 |
|
| 2010 |
|
|
7.76 |
|
|
|
0.16 |
|
|
|
0.25 |
|
|
|
0.41 |
|
|
|
(0.02 |
)(2) |
|
|
— |
|
|
|
(0.02 |
) |
|
|
8.15 |
|
|
|
5.32 |
|
|
|
64 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.57 |
|
|
|
2.00 |
|
|
|
91 |
|
| Tax-Managed Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
12.70 |
|
|
$ |
0.19 |
|
|
$ |
1.94 |
|
|
$ |
2.13 |
|
|
$ |
(0.18 |
) |
|
$ |
(0.51 |
) |
|
$ |
(0.69 |
) |
|
$ |
14.14 |
|
|
|
17.33 |
% |
|
$ |
765,744 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
1.28 |
% |
|
|
1.38 |
% |
|
|
58 |
% |
| 2013 |
|
|
11.28 |
|
|
|
0.22 |
|
|
|
1.75 |
|
|
|
1.97 |
|
|
|
(0.22 |
) |
|
|
(0.33 |
) |
|
|
(0.55 |
) |
|
|
12.70 |
|
|
|
18.24 |
|
|
|
621,530 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.27 |
|
|
|
1.86 |
|
|
|
28 |
|
| 2012 |
|
|
9.77 |
|
|
|
0.18 |
|
|
|
1.87 |
|
|
|
2.05 |
|
|
|
(0.16 |
) |
|
|
(0.38 |
) |
|
|
(0.54 |
) |
|
|
11.28 |
|
|
|
21.70 |
|
|
|
442,074 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.28 |
|
|
|
1.71 |
|
|
|
30 |
|
| 2011 |
|
|
9.24 |
|
|
|
0.14 |
|
|
|
0.52 |
|
|
|
0.66 |
|
|
|
(0.13 |
) |
|
|
— |
|
|
|
(0.13 |
) |
|
|
9.77 |
|
|
|
7.13 |
|
|
|
279,408 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.28 |
|
|
|
1.41 |
|
|
|
63 |
|
| 2010 |
|
|
8.14 |
|
|
|
0.12 |
|
|
|
1.10 |
|
|
|
1.22 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
9.24 |
|
|
|
15.17 |
|
|
|
236,402 |
|
|
|
1.00 |
|
|
|
1.00 |
|
|
|
1.29 |
|
|
|
1.39 |
|
|
|
28 |
|
| Real Estate Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
15.42 |
|
|
$ |
0.29 |
|
|
$ |
1.64 |
|
|
$ |
1.93 |
|
|
$ |
(0.30 |
) |
|
$ |
— |
|
|
$ |
(0.30 |
) |
|
$ |
17.05 |
|
|
|
12.63 |
% |
|
$ |
226,780 |
|
|
|
1.14 |
% |
|
|
1.14 |
% |
|
|
1.28 |
% |
|
|
1.76 |
% |
|
|
57 |
% |
| 2013 |
|
|
14.97 |
|
|
|
0.14 |
|
|
|
0.50 |
|
|
|
0.64 |
|
|
|
(0.19 |
) |
|
|
— |
|
|
|
(0.19 |
) |
|
|
15.42 |
|
|
|
4.30 |
|
|
|
207,876 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.27 |
|
|
|
0.91 |
|
|
|
74 |
|
| 2012 |
|
|
11.67 |
|
|
|
0.08 |
|
|
|
3.34 |
|
|
|
3.42 |
|
|
|
(0.12 |
) |
|
|
— |
|
|
|
(0.12 |
) |
|
|
14.97 |
|
|
|
29.44 |
|
|
|
191,484 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
0.55 |
|
|
|
68 |
|
| 2011 |
|
|
11.58 |
|
|
|
0.04 |
|
|
|
0.25 |
|
|
|
0.29 |
|
|
|
(0.20 |
) |
|
|
— |
|
|
|
(0.20 |
) |
|
|
11.67 |
|
|
|
2.41 |
|
|
|
142,538 |
|
|
|
1.14 |
|
|
|
1.14 |
|
|
|
1.28 |
|
|
|
0.33 |
|
|
|
83 |
|
| 2010 |
|
|
9.42 |
|
|
|
0.05 |
|
|
|
2.46 |
|
|
|
2.51 |
|
|
|
(0.35 |
)(7) |
|
|
— |
|
|
|
(0.35 |
) |
|
|
11.58 |
|
|
|
27.37 |
|
|
|
220,866 |
|
|
|
1.14 |
|
|
|
1.15 |
|
|
|
1.29 |
|
|
|
0.50 |
|
|
|
69 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
15.39 |
|
|
$ |
0.25 |
|
|
$ |
1.64 |
|
|
$ |
1.89 |
|
|
$ |
(0.25 |
) |
|
$ |
— |
|
|
$ |
(0.25 |
) |
|
$ |
17.03 |
|
|
|
12.33 |
% |
|
$ |
622 |
|
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.52 |
% |
|
|
1.51 |
% |
|
|
57 |
% |
| 2013 |
|
|
14.93 |
|
|
|
0.10 |
|
|
|
0.51 |
|
|
|
0.61 |
|
|
|
(0.15 |
) |
|
|
— |
|
|
|
(0.15 |
) |
|
|
15.39 |
|
|
|
4.09 |
|
|
|
565 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.52 |
|
|
|
0.65 |
|
|
|
74 |
|
| 2012 |
|
|
11.64 |
|
|
|
0.05 |
|
|
|
3.33 |
|
|
|
3.38 |
|
|
|
(0.09 |
) |
|
|
— |
|
|
|
(0.09 |
) |
|
|
14.93 |
|
|
|
29.16 |
|
|
|
606 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.53 |
|
|
|
0.33 |
|
|
|
68 |
|
| 2011 |
|
|
11.57 |
|
|
|
(0.01 |
) |
|
|
0.28 |
|
|
|
0.27 |
|
|
|
(0.20 |
) |
|
|
— |
|
|
|
(0.20 |
) |
|
|
11.64 |
|
|
|
2.19 |
|
|
|
445 |
|
|
|
1.36 |
|
|
|
1.36 |
|
|
|
1.53 |
|
|
|
(0.07 |
) |
|
|
83 |
|
| 2010 |
|
|
9.41 |
|
|
|
— |
* |
|
|
2.49 |
|
|
|
2.49 |
|
|
|
(0.33 |
)(7) |
|
|
— |
|
|
|
(0.33 |
) |
|
|
11.57 |
|
|
|
27.12 |
|
|
|
306 |
|
|
|
1.36 |
|
|
|
1.37 |
|
|
|
1.54 |
|
|
|
0.00 |
|
|
|
69 |
|
| Enhanced Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
7.61 |
|
|
$ |
0.14 |
|
|
$ |
(0.01 |
) |
|
$ |
0.13 |
|
|
$ |
(0.14 |
) |
|
$ |
— |
|
|
$ |
(0.14 |
) |
|
$ |
7.60 |
|
|
|
1.69 |
% |
|
$ |
230,910 |
|
|
|
0.60 |
% |
|
|
0.60 |
% |
|
|
1.05 |
% |
|
|
1.78 |
% |
|
|
106 |
% |
| 2013 |
|
|
7.57 |
|
|
|
0.16 |
|
|
|
0.03 |
|
|
|
0.19 |
|
|
|
(0.15 |
) |
|
|
— |
|
|
|
(0.15 |
) |
|
|
7.61 |
|
|
|
2.50 |
|
|
|
194,821 |
|
|
|
0.60 |
|
|
|
0.60 |
|
|
|
1.05 |
|
|
|
2.08 |
|
|
|
170 |
|
| 2012 |
|
|
7.36 |
|
|
|
0.18 |
|
|
|
0.20 |
|
|
|
0.38 |
|
|
|
(0.17 |
) |
|
|
— |
|
|
|
(0.17 |
) |
|
|
7.57 |
|
|
|
5.30 |
|
|
|
161,037 |
|
|
|
0.60 |
|
|
|
0.60 |
|
|
|
1.05 |
|
|
|
2.41 |
|
|
|
198 |
|
| 2011 |
|
|
7.46 |
|
|
|
0.20 |
|
|
|
(0.14 |
) |
|
|
0.06 |
|
|
|
(0.16 |
) |
|
|
— |
|
|
|
(0.16 |
) |
|
|
7.36 |
|
|
|
0.83 |
|
|
|
158,936 |
|
|
|
0.60 |
|
|
|
0.60 |
|
|
|
1.05 |
|
|
|
2.61 |
|
|
|
174 |
|
| 2010 |
|
|
7.21 |
|
|
|
0.18 |
|
|
|
0.30 |
|
|
|
0.48 |
|
|
|
(0.23 |
) |
|
|
— |
|
|
|
(0.23 |
) |
|
|
7.46 |
|
|
|
6.78 |
|
|
|
137,223 |
|
|
|
0.60 |
|
|
|
0.60 |
|
|
|
1.06 |
|
|
|
2.45 |
|
|
|
77 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
7.59 |
|
|
$ |
0.12 |
|
|
$ |
(0.01 |
) |
|
$ |
0.11 |
|
|
$ |
(0.12 |
) |
|
$ |
— |
|
|
$ |
(0.12 |
) |
|
$ |
7.58 |
|
|
|
1.44 |
% |
|
$ |
376 |
|
|
|
0.85 |
% |
|
|
0.85 |
% |
|
|
1.30 |
% |
|
|
1.53 |
% |
|
|
106 |
% |
| 2013 |
|
|
7.56 |
|
|
|
0.14 |
|
|
|
0.02 |
|
|
|
0.16 |
|
|
|
(0.13 |
) |
|
|
— |
|
|
|
(0.13 |
) |
|
|
7.59 |
|
|
|
2.17 |
|
|
|
368 |
|
|
|
0.85 |
|
|
|
0.85 |
|
|
|
1.30 |
|
|
|
1.85 |
|
|
|
170 |
|
| 2012 |
|
|
7.36 |
|
|
|
0.15 |
|
|
|
0.21 |
|
|
|
0.36 |
|
|
|
(0.16 |
) |
|
|
— |
|
|
|
(0.16 |
) |
|
|
7.56 |
|
|
|
4.93 |
|
|
|
69 |
|
|
|
0.85 |
|
|
|
0.85 |
|
|
|
1.30 |
|
|
|
2.11 |
|
|
|
198 |
|
| 2011 |
|
|
7.45 |
|
|
|
0.18 |
|
|
|
(0.12 |
) |
|
|
0.06 |
|
|
|
(0.15 |
) |
|
|
— |
|
|
|
(0.15 |
) |
|
|
7.36 |
|
|
|
0.72 |
|
|
|
19 |
|
|
|
0.85 |
|
|
|
0.85 |
|
|
|
1.30 |
|
|
|
2.36 |
|
|
|
174 |
|
| 2010 |
|
|
7.20 |
|
|
|
0.16 |
|
|
|
0.29 |
|
|
|
0.45 |
|
|
|
(0.20 |
) |
|
|
— |
|
|
|
(0.20 |
) |
|
|
7.45 |
|
|
|
6.35 |
|
|
|
16 |
|
|
|
0.85 |
|
|
|
0.85 |
|
|
|
1.33 |
|
|
|
2.21 |
|
|
|
77 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
255 |
|
Financial Highlights/Consolidated Financial Highlights
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Net Asset
Value,
Beginning
of Period |
|
|
Net
Investment
Income
(Loss)(1) |
|
|
Net
Realized
and
Unrealized
Gains
(Losses)
on
Securities(1) |
|
|
Total from
Operations |
|
|
Dividends
from Net
Investment
Income |
|
|
Distributions
from
Realized
Capital
Gains |
|
|
Total
Dividends,
Distributions
and
Return of
Capital |
|
|
Net Asset
Value,
End of
Period |
|
|
Total
Return† |
|
|
Net Assets
End of Period
($Thousands) |
|
|
Ratio of
Expenses
to Average
Net Assets |
|
|
Ratio of
Expenses
to Average
Net Assets
(Excluding
Fees
Paid
Indirectly) |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly and
Waivers) |
|
|
Ratio of
Net
Investment
Income
(Loss) to
Average
Net
Assets |
|
|
Portfolio
Turnover
Rate† |
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
11.20 |
|
|
$ |
0.29 |
|
|
$ |
0.28 |
|
|
$ |
0.57 |
|
|
$ |
(0.30 |
) |
|
$ |
— |
|
|
$ |
(0.30 |
) |
|
$ |
11.47 |
|
|
|
5.14 |
% |
|
$ |
2,041,268 |
|
|
|
0.67 |
% |
|
|
0.67 |
% |
|
|
0.85 |
% |
|
|
2.59 |
% |
|
|
343 |
% |
| 2013 |
|
|
11.64 |
|
|
|
0.30 |
|
|
|
(0.42 |
) |
|
|
(0.12 |
) |
|
|
(0.32 |
) |
|
|
— |
|
|
|
(0.32 |
) |
|
|
11.20 |
|
|
|
(1.09 |
) |
|
|
1,904,623 |
|
|
|
0.67 |
|
|
|
0.67 |
|
|
|
0.85 |
|
|
|
2.57 |
|
|
|
342 |
|
| 2012 |
|
|
11.14 |
|
|
|
0.33 |
|
|
|
0.61 |
|
|
|
0.94 |
|
|
|
(0.35 |
) |
|
|
(0.09 |
) |
|
|
(0.44 |
) |
|
|
11.64 |
|
|
|
8.67 |
|
|
|
2,172,794 |
|
|
|
0.67 |
|
|
|
0.67 |
|
|
|
0.85 |
|
|
|
2.93 |
|
|
|
349 |
|
| 2011 |
|
|
10.93 |
|
|
|
0.36 |
|
|
|
0.22 |
|
|
|
0.58 |
|
|
|
(0.37 |
) |
|
|
— |
|
|
|
(0.37 |
) |
|
|
11.14 |
|
|
|
5.43 |
|
|
|
2,185,135 |
|
|
|
0.71 |
(4) |
|
|
0.71 |
(4) |
|
|
0.89 |
(4) |
|
|
3.25 |
|
|
|
473 |
|
| 2010 |
|
|
9.98 |
|
|
|
0.44 |
|
|
|
0.95 |
|
|
|
1.39 |
|
|
|
(0.44 |
) |
|
|
— |
|
|
|
(0.44 |
) |
|
|
10.93 |
|
|
|
14.25 |
|
|
|
2,335,314 |
|
|
|
0.67 |
|
|
|
0.67 |
|
|
|
0.85 |
|
|
|
4.20 |
|
|
|
283 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
11.19 |
|
|
$ |
0.27 |
|
|
$ |
0.27 |
|
|
$ |
0.54 |
|
|
$ |
(0.27 |
) |
|
$ |
— |
|
|
$ |
(0.27 |
) |
|
$ |
11.46 |
|
|
|
4.91 |
% |
|
$ |
10,488 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.08 |
% |
|
|
2.38 |
% |
|
|
343 |
% |
| 2013 |
|
|
11.63 |
|
|
|
0.27 |
|
|
|
(0.42 |
) |
|
|
(0.15 |
) |
|
|
(0.29 |
) |
|
|
— |
|
|
|
(0.29 |
) |
|
|
11.19 |
|
|
|
(1.31 |
) |
|
|
14,128 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.10 |
|
|
|
2.34 |
|
|
|
342 |
|
| 2012 |
|
|
11.13 |
|
|
|
0.31 |
|
|
|
0.61 |
|
|
|
0.92 |
|
|
|
(0.33 |
) |
|
|
(0.09 |
) |
|
|
(0.42 |
) |
|
|
11.63 |
|
|
|
8.44 |
|
|
|
14,944 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.10 |
|
|
|
2.71 |
|
|
|
349 |
|
| 2011 |
|
|
10.92 |
|
|
|
0.33 |
|
|
|
0.23 |
|
|
|
0.56 |
|
|
|
(0.35 |
) |
|
|
— |
|
|
|
(0.35 |
) |
|
|
11.13 |
|
|
|
5.20 |
|
|
|
15,701 |
|
|
|
0.93 |
(4) |
|
|
0.93 |
(4) |
|
|
1.14 |
(4) |
|
|
3.03 |
|
|
|
473 |
|
| 2010 |
|
|
9.97 |
|
|
|
0.41 |
|
|
|
0.96 |
|
|
|
1.37 |
|
|
|
(0.42 |
) |
|
|
— |
|
|
|
(0.42 |
) |
|
|
10.92 |
|
|
|
14.01 |
|
|
|
17,445 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.10 |
|
|
|
3.96 |
|
|
|
283 |
|
| U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
10.15 |
|
|
$ |
0.21 |
|
|
$ |
0.18 |
|
|
$ |
0.39 |
|
|
$ |
(0.21 |
) |
|
$ |
— |
|
|
$ |
(0.21 |
) |
|
$ |
10.33 |
|
|
|
3.91 |
% |
|
$ |
1,098,480 |
|
|
|
0.66 |
% |
|
|
0.66 |
% |
|
|
0.86 |
% |
|
|
2.02 |
% |
|
|
345 |
% |
| 2013 |
|
|
10.84 |
|
|
|
0.19 |
|
|
|
(0.36 |
) |
|
|
(0.17 |
) |
|
|
(0.21 |
) |
|
|
(0.31 |
) |
|
|
(0.52 |
) |
|
|
10.15 |
|
|
|
(1.61 |
) |
|
|
1,022,233 |
|
|
|
0.66 |
|
|
|
0.66 |
|
|
|
0.86 |
|
|
|
1.85 |
|
|
|
319 |
|
| 2012 |
|
|
10.70 |
|
|
|
0.25 |
|
|
|
0.44 |
|
|
|
0.69 |
|
|
|
(0.27 |
) |
|
|
(0.28 |
) |
|
|
(0.55 |
) |
|
|
10.84 |
|
|
|
6.68 |
|
|
|
898,450 |
|
|
|
0.66 |
|
|
|
0.66 |
|
|
|
0.87 |
|
|
|
2.34 |
|
|
|
322 |
|
| 2011 |
|
|
10.81 |
|
|
|
0.30 |
|
|
|
0.26 |
|
|
|
0.56 |
|
|
|
(0.32 |
) |
|
|
(0.35 |
) |
|
|
(0.67 |
) |
|
|
10.70 |
|
|
|
5.43 |
|
|
|
972,449 |
|
|
|
0.66 |
|
|
|
0.66 |
|
|
|
0.87 |
|
|
|
2.85 |
|
|
|
337 |
|
| 2010 |
|
|
10.28 |
|
|
|
0.33 |
|
|
|
0.60 |
|
|
|
0.93 |
|
|
|
(0.36 |
) |
|
|
(0.04 |
) |
|
|
(0.40 |
) |
|
|
10.81 |
|
|
|
9.22 |
|
|
|
877,709 |
|
|
|
0.66 |
|
|
|
0.66 |
|
|
|
0.86 |
|
|
|
3.12 |
|
|
|
299 |
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
7.68 |
|
|
$ |
0.43 |
|
|
$ |
0.06 |
‡‡ |
|
$ |
0.49 |
|
|
$ |
(0.43 |
) |
|
$ |
(0.04 |
) |
|
$ |
(0.47 |
) |
|
$ |
7.70 |
|
|
|
6.49 |
% |
|
$ |
1,707,482 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.12 |
% |
|
|
5.47 |
% |
|
|
73 |
% |
| 2013 |
|
|
7.59 |
|
|
|
0.48 |
|
|
|
0.07 |
|
|
|
0.55 |
|
|
|
(0.46 |
) |
|
|
— |
|
|
|
(0.46 |
) |
|
|
7.68 |
|
|
|
7.39 |
|
|
|
1,989,355 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.12 |
|
|
|
6.13 |
|
|
|
74 |
|
| 2012 |
|
|
6.92 |
|
|
|
0.53 |
|
|
|
0.68 |
|
|
|
1.21 |
|
|
|
(0.51 |
) |
|
|
(0.03 |
) |
|
|
(0.54 |
) |
|
|
7.59 |
|
|
|
18.04 |
|
|
|
1,752,357 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.12 |
|
|
|
7.23 |
|
|
|
65 |
|
| 2011 |
|
|
7.27 |
|
|
|
0.55 |
|
|
|
(0.32 |
) |
|
|
0.23 |
|
|
|
(0.54 |
) |
|
|
(0.04 |
) |
|
|
(0.58 |
) |
|
|
6.92 |
|
|
|
2.96 |
|
|
|
1,316,158 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.13 |
|
|
|
7.38 |
|
|
|
82 |
|
| 2010 |
|
|
6.52 |
|
|
|
0.64 |
|
|
|
0.74 |
|
|
|
1.38 |
|
|
|
(0.61 |
) |
|
|
(0.02 |
) |
|
|
(0.63 |
) |
|
|
7.27 |
|
|
|
21.98 |
|
|
|
1,503,070 |
|
|
|
0.89 |
|
|
|
0.89 |
|
|
|
1.13 |
|
|
|
9.22 |
|
|
|
113 |
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
7.49 |
|
|
$ |
0.40 |
|
|
$ |
0.03 |
|
|
$ |
0.43 |
|
|
$ |
(0.40 |
) |
|
$ |
(0.04 |
) |
|
$ |
(0.44 |
) |
|
$ |
7.48 |
|
|
|
5.81 |
% |
|
$ |
3,794 |
|
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.37 |
% |
|
|
5.24 |
% |
|
|
73 |
% |
| 2013 |
|
|
7.40 |
|
|
|
0.45 |
|
|
|
0.07 |
|
|
|
0.52 |
|
|
|
(0.43 |
) |
|
|
— |
|
|
|
(0.43 |
) |
|
|
7.49 |
|
|
|
7.19 |
|
|
|
38,849 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.38 |
|
|
|
6.07 |
|
|
|
74 |
|
| 2012 |
|
|
6.82 |
|
|
|
0.50 |
|
|
|
0.59 |
|
|
|
1.09 |
|
|
|
(0.48 |
) |
|
|
(0.03 |
) |
|
|
(0.51 |
) |
|
|
7.40 |
|
|
|
16.54 |
|
|
|
14,161 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.38 |
|
|
|
6.91 |
|
|
|
65 |
|
| 2011 |
|
|
7.28 |
|
|
|
0.53 |
|
|
|
(0.42 |
) |
|
|
0.11 |
|
|
|
(0.53 |
) |
|
|
(0.04 |
) |
|
|
(0.57 |
) |
|
|
6.82 |
|
|
|
1.19 |
|
|
|
915 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.37 |
|
|
|
7.06 |
|
|
|
82 |
|
| 2010 |
|
|
6.53 |
|
|
|
0.63 |
|
|
|
0.74 |
|
|
|
1.37 |
|
|
|
(0.60 |
) |
|
|
(0.02 |
) |
|
|
(0.62 |
) |
|
|
7.28 |
|
|
|
21.76 |
|
|
|
1,846 |
|
|
|
1.11 |
|
|
|
1.11 |
|
|
|
1.40 |
|
|
|
8.96 |
|
|
|
113 |
|
| Real Return Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
10.19 |
|
|
$ |
0.05 |
|
|
$ |
(0.08 |
) |
|
$ |
(0.03 |
) |
|
$ |
(0.04 |
) |
|
$ |
(0.04 |
) |
|
$ |
(0.08 |
) |
|
$ |
10.08 |
|
|
|
(0.30 |
)% |
|
$ |
284,944 |
|
|
|
0.45 |
% |
|
|
0.45 |
% |
|
|
0.84 |
% |
|
|
0.51 |
% |
|
|
34 |
% |
| 2013 |
|
|
10.67 |
|
|
|
0.05 |
|
|
|
(0.23 |
) |
|
|
(0.18 |
) |
|
|
(0.06 |
) |
|
|
(0.24 |
) |
|
|
(0.30 |
) |
|
|
10.19 |
|
|
|
(1.72 |
) |
|
|
308,821 |
|
|
|
0.45 |
|
|
|
0.45 |
|
|
|
0.84 |
|
|
|
0.48 |
|
|
|
72 |
|
| 2012 |
|
|
10.60 |
|
|
|
0.05 |
|
|
|
0.23 |
|
|
|
0.28 |
|
|
|
(0.14 |
) |
|
|
(0.07 |
) |
|
|
(0.21 |
) |
|
|
10.67 |
|
|
|
2.66 |
|
|
|
283,646 |
|
|
|
0.45 |
|
|
|
0.45 |
|
|
|
0.85 |
|
|
|
0.48 |
|
|
|
137 |
|
| 2011 |
|
|
10.51 |
|
|
|
0.33 |
|
|
|
0.13 |
|
|
|
0.46 |
|
|
|
(0.27 |
) |
|
|
(0.10 |
) |
|
|
(0.37 |
) |
|
|
10.60 |
|
|
|
4.51 |
|
|
|
373,560 |
|
|
|
0.45 |
|
|
|
0.45 |
|
|
|
0.85 |
|
|
|
3.06 |
|
|
|
77 |
|
| 2010 |
|
|
10.19 |
|
|
|
0.12 |
|
|
|
0.40 |
|
|
|
0.52 |
|
|
|
(0.19 |
) |
|
|
(0.01 |
) |
|
|
(0.20 |
) |
|
|
10.51 |
|
|
|
5.20 |
|
|
|
240,925 |
|
|
|
0.45 |
|
|
|
0.45 |
|
|
|
0.86 |
|
|
|
1.18 |
|
|
|
94 |
|
| Multi-Strategy Alternative Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
9.79 |
|
|
$ |
0.06 |
|
|
$ |
0.28 |
|
|
$ |
0.34 |
|
|
$ |
(0.08 |
) |
|
$ |
— |
|
|
$ |
(0.08 |
) |
|
$ |
10.05 |
|
|
|
3.45 |
% |
|
$ |
498,090 |
|
|
|
0.64 |
%(12) |
|
|
0.64 |
%(12) |
|
|
2.19 |
%(12) |
|
|
0.64 |
% |
|
|
72 |
% |
| 2013 |
|
|
9.62 |
|
|
|
0.07 |
|
|
|
0.15 |
|
|
|
0.22 |
|
|
|
(0.05 |
) |
|
|
— |
|
|
|
(0.05 |
) |
|
|
9.79 |
|
|
|
2.33 |
|
|
|
426,733 |
|
|
|
0.73 |
(16) |
|
|
0.73 |
(16) |
|
|
2.22 |
(16) |
|
|
0.71 |
|
|
|
139 |
|
| 2012 |
|
|
9.57 |
|
|
|
0.07 |
|
|
|
0.17 |
|
|
|
0.24 |
|
|
|
(0.19 |
) |
|
|
— |
|
|
|
(0.19 |
) |
|
|
9.62 |
|
|
|
2.50 |
|
|
|
334,914 |
|
|
|
0.65 |
(11) |
|
|
0.65 |
(11) |
|
|
2.15 |
(11) |
|
|
0.68 |
|
|
|
44 |
|
| 2011 |
|
|
9.93 |
|
|
|
0.20 |
|
|
|
(0.41 |
) |
|
|
(0.21 |
) |
|
|
(0.15 |
) |
|
|
— |
|
|
|
(0.15 |
) |
|
|
9.57 |
|
|
|
(2.16 |
) |
|
|
292,006 |
|
|
|
0.50 |
|
|
|
0.50 |
|
|
|
2.13 |
|
|
|
1.76 |
|
|
|
25 |
|
| 2010(6) |
|
|
10.00 |
|
|
|
(0.02 |
) |
|
|
(0.05 |
) |
|
|
(0.07 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9.93 |
|
|
|
(0.70 |
) |
|
|
191,055 |
|
|
|
0.50 |
|
|
|
0.50 |
|
|
|
2.19 |
|
|
|
(0.42 |
) |
|
|
49 |
|
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
10.30 |
|
|
$ |
(0.05 |
) |
|
$ |
0.96 |
|
|
$ |
0.91 |
|
|
$ |
— |
* |
|
$ |
(0.32 |
) |
|
$ |
(0.32 |
) |
|
$ |
10.89 |
|
|
|
9.11 |
% |
|
$ |
1,865,846 |
|
|
|
1.17 |
% |
|
|
1.17 |
% |
|
|
1.38 |
% |
|
|
(0.47 |
)% |
|
|
55 |
% |
| 2013 |
|
|
10.51 |
|
|
|
(0.05 |
) |
|
|
0.17 |
|
|
|
0.12 |
|
|
|
(0.01 |
) |
|
|
(0.32 |
) |
|
|
(0.33 |
) |
|
|
10.30 |
|
|
|
1.12 |
|
|
|
1,414,563 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
1.37 |
|
|
|
(0.52 |
) |
|
|
104 |
|
| 2012(8) |
|
|
10.00 |
|
|
|
(0.02 |
) |
|
|
0.57 |
|
|
|
0.55 |
|
|
|
(0.04 |
) |
|
|
— |
|
|
|
(0.04 |
) |
|
|
10.51 |
|
|
|
5.51 |
|
|
|
959,727 |
|
|
|
1.17 |
|
|
|
1.17 |
|
|
|
1.39 |
|
|
|
(0.46 |
) |
|
|
38 |
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
10.60 |
|
|
$ |
0.51 |
|
|
$ |
0.13 |
(5) |
|
$ |
0.64 |
|
|
$ |
(0.47 |
) |
|
$ |
(0.17 |
) |
|
$ |
(0.64 |
) |
|
$ |
10.60 |
|
|
|
6.19 |
% |
|
$ |
539,504 |
|
|
|
0.83 |
%(13) |
|
|
0.83 |
%(13) |
|
|
1.27 |
%(13) |
|
|
4.76 |
% |
|
|
124 |
% |
| 2013 |
|
|
10.35 |
|
|
|
0.67 |
|
|
|
0.17 |
(5) |
|
|
0.84 |
|
|
|
(0.52 |
) |
|
|
(0.07 |
) |
|
|
(0.59 |
) |
|
|
10.60 |
|
|
|
8.24 |
|
|
|
230,356 |
|
|
|
0.98 |
(17) |
|
|
0.98 |
(17) |
|
|
1.40 |
(17) |
|
|
6.22 |
|
|
|
89 |
|
| 2012(8) |
|
|
10.00 |
|
|
|
0.23 |
|
|
|
0.30 |
|
|
|
0.53 |
|
|
|
(0.18 |
) |
|
|
— |
|
|
|
(0.18 |
) |
|
|
10.35 |
|
|
|
5.37 |
|
|
|
84,499 |
|
|
|
0.89 |
(10) |
|
|
0.89 |
(10) |
|
|
1.36 |
(10) |
|
|
4.88 |
|
|
|
25 |
|
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
9.42 |
|
|
$ |
0.06 |
|
|
$ |
(0.09 |
) |
|
$ |
(0.03 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
9.39 |
|
|
|
(0.32 |
)% |
|
$ |
923,541 |
|
|
|
1.02 |
%(18) |
|
|
1.02 |
%(18) |
|
|
1.30 |
%(18) |
|
|
0.65 |
% |
|
|
119 |
% |
| 2013 |
|
|
10.10 |
|
|
|
0.06 |
|
|
|
(0.69 |
) |
|
|
(0.63 |
) |
|
|
(0.04 |
) |
|
|
(0.01 |
) |
|
|
(0.05 |
) |
|
|
9.42 |
|
|
|
(6.27 |
) |
|
|
766,368 |
|
|
|
0.93 |
(14) |
|
|
0.93 |
(14) |
|
|
1.20 |
(14) |
|
|
0.59 |
|
|
|
61 |
|
| 2012(8) |
|
|
10.00 |
|
|
|
0.02 |
|
|
|
0.13 |
|
|
|
0.15 |
|
|
|
(0.05 |
)(3) |
|
|
— |
|
|
|
(0.05 |
) |
|
|
10.10 |
|
|
|
1.54 |
|
|
|
540,255 |
|
|
|
0.93 |
(15) |
|
|
0.93 |
(15) |
|
|
1.22 |
(15) |
|
|
0.47 |
|
|
|
19 |
|
|
|
|
| 256 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Net Asset
Value,
Beginning
of Period |
|
|
Net
Investment
Loss(1) |
|
|
Net
Realized
and
Unrealized
Gains
(Losses)
on
Securities(1) |
|
|
Total from
Operations |
|
|
Dividends
from Net
Investment
Income |
|
|
Distributions
from
Realized
Capital
Gains |
|
|
Total
Dividends,
Distributions
and
Return of
Capital |
|
|
Net Asset
Value,
End of
Period |
|
|
Total
Return† |
|
|
Net Assets
End of Period
($Thousands) |
|
|
Ratio of
Expenses
to Average
Net Assets |
|
|
Ratio of
Expenses
to Average
Net Assets
(Excluding
Fees
Paid
Indirectly) |
|
|
Ratio of
Expenses
to Average
Net
Assets
(Excluding
Fees Paid
Indirectly and
Waivers) |
|
|
Ratio of
Net
Investment
Loss to
Average
Net
Assets |
|
|
Portfolio
Turnover
Rate† |
|
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2014 |
|
$ |
9.94 |
|
|
$ |
(0.01 |
) |
|
$ |
0.34 |
|
|
$ |
0.33 |
|
|
$ |
— |
|
|
$ |
(0.02 |
) |
|
$ |
(0.02 |
) |
|
$ |
10.25 |
|
|
|
3.37 |
% |
|
$ |
541,602 |
|
|
|
0.62 |
% |
|
|
0.62 |
% |
|
|
1.02 |
% |
|
|
(0.12 |
)% |
|
|
246 |
% |
| 2013 |
|
|
10.14 |
|
|
|
(0.02 |
) |
|
|
(0.10 |
) |
|
|
(0.12 |
) |
|
|
(0.01 |
) |
|
|
(0.07 |
) |
|
|
(0.08 |
) |
|
|
9.94 |
|
|
|
(1.23 |
) |
|
|
486,926 |
|
|
|
0.62 |
|
|
|
0.62 |
|
|
|
1.02 |
|
|
|
(0.22 |
) |
|
|
410 |
|
| 2012(8) |
|
|
10.00 |
|
|
|
(0.01 |
) |
|
|
0.15 |
|
|
|
0.14 |
|
|
|
— |
* |
|
|
— |
|
|
|
— |
* |
|
|
10.14 |
|
|
|
1.40 |
|
|
|
347,861 |
|
|
|
0.62 |
|
|
|
0.62 |
|
|
|
1.02 |
|
|
|
(0.29 |
) |
|
|
180 |
|
| † |
|
Returns and turnover rates are for the period indicated and have not been annualized. |
| * |
|
Amount represents less than $0.01. |
| ‡ |
|
Effective August 7, 2014, Class Y shares were redesignated as Class T shares. This share class change had no impact on the Funds’ operations or investment policy.
|
| ‡‡ |
|
Includes redemption fees of $0.03 per share. |
| (1) |
|
Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
| (2) |
|
Includes return of capital of less than $0.01. |
| (3) |
|
Includes return of capital of $0.04. |
| (4) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.67%, 0.67% and 0.85% for Class A and 0.89%, 0.89% and 1.10% for
Class I, respectively. |
| (5) |
|
The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and
repurchase of Fund shares in relation to fluctuating market value of the investments of the Fund. |
| (6) |
|
Commenced operations on March 31, 2010. All ratios for the period have been annualized. |
| (7) |
|
Includes return of capital of $0.10. |
| (8) |
|
Commenced operations on April 9, 2012. All ratios for the period have been annualized. |
| (9) |
|
Commenced operations on October 1, 2009. All ratios for the period have been annualized. |
| (10) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.76%, 0.76% and 1.23%. |
| (11) |
|
The expense ratio includes dividend expense. Had this expense been excluded the ratios would have been 0.63%, 0.63% and 2.13%. |
| (12) |
|
The expense ratio includes dividend expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.58%, 0.58% and 2.13%.
|
| (13) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.24%. |
| (14) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.17%. |
| (15) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.19%. |
| (16) |
|
The expense ratio includes dividend expense and other expenses outside of the cap. Had this expense been excluded the ratios would have been 0.60%, 0.60% and 2.09%.
|
| (17) |
|
The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.22% |
| (18) |
|
The expense ratio includes dividend and interest expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.90%, 0.90% and
1.18%. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
257 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 2014
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
25 funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid
Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income,
High Yield Bond, Real Return, Prime Obligation, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds (each a “Fund,” collectively the
“Funds”) each of which are diversified Funds, with the exception of the Real Estate, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds.
The Accumulation Commodity Strategy Subsidiary, Ltd. and Inflation Commodity Strategy Subsidiary, Ltd. are both wholly-owned subsidiaries of the Multi-Asset Accumulation and Multi-Asset Inflation Managed
Funds, respectively, (each a “Subsidiary”, collectively the “Subsidiaries”). Each Subsidiary is organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Multi-Asset Accumulation and
Multi-Asset Inflation Managed Funds and their respective subsidiaries have been consolidated in the Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement
of Changes in Net Assets and Consolidated Statement of Cash Flows.
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, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global
Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds; Class Y shares of the Large Cap, Large Cap Value, Large Cap Growth, Small Cap, Small Cap Value, Small Cap Growth,
Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Real Return, Multi-Strategy Alternative,
Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds and Class T shares of the 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 and its principal strategies and risks.
Effective August 7, 2014, the Tax-Managed Large Cap Fund, Class Y shares were redesignated as Tax-Managed Large Cap Fund, Class T shares. This share class name change had no impact on the Fund’s
operations or investment policy.
As of September 30, 2014, the Prime Obligation Fund and the Class Y shares, 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 Funds are investment companies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidelines for
investment companies. The preparation of financial statements, in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and
liabilities as of 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. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser, as applicable, reasonably
believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable,
continuously monitors the reliability of prices obtained from any pricing service and will notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator,
in turn, will notify the Trust’s Fair Value Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably
believes that a particular pricing service is no longer a reliable source for prices. 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 determined to be unreliable or cannot be valued using methodologies
described above are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through the Committee designated by the Trust’s Board of Trustees. The
Committee is currently composed of two members of the Board of Trustees, as well as representatives from SIMC and its affiliates. The Committee provides regular reports to the Board concerning investments for which market prices are not readily
available or may be unreliable. Some of the more common reasons that may necessitate that a security be valued using Fair
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SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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. Examples of factors the Committee may consider are: (i) the facts giving rise to
the need to fair value; (ii) the last trade price; (iii) the performance of but may be Level 3 depending on the circumstances. For certain collateralized debt obligations,
corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the
hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2014, maximized the use of
observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2014,
there have been no significant changes to the Trust’s fair valuation methodologies.
The following table summarizes the quantitative inputs
and assumptions used for items categorized as recurring Level 3 assets as of September 30, 2014. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant
unobservable inputs.
Multi-Asset Income Fund
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| Assets |
|
Fair Value
(in Thousands) at
September 30, 2014 |
|
|
Valuation Technique(s) |
|
Unobservable Input |
|
Range
(Weighted Average) |
| Collateralized Debt Obligations |
|
$ |
1,632 |
|
|
Option Adjusted Spread off 8/29/2014 multiple broker price |
|
Indicative Quote |
|
366-835 |
|
|
|
|
|
|
|
|
592 |
|
|
Previous Day IDC BAML Vendor Price |
|
Indicative Quote |
|
182 |
|
|
|
|
|
|
|
|
872 |
|
|
Option Adjusted Spread off 8/29/2014 single broker price |
|
Indicative Quote |
|
626 |
|
|
|
|
|
|
|
|
750 |
|
|
Daily broker price |
|
Broker Quote |
|
380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Debt Obligations |
|
|
3,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
|
2,803 |
|
|
Previous Day IDC BAML Vendor Price |
|
Indicative Quote |
|
302 |
|
|
|
|
|
|
|
|
732 |
|
|
Option Adjusted Spread off 8/29/2014 single broker price |
|
Indicative Quote |
|
414-502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Obligations |
|
|
3,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Convertible Bond |
|
|
139 |
|
|
Quarterly model price |
|
Indicative Quote |
|
N/A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
6,303 |
|
|
Option Adjusted Spread off 8/29/2014 single broker price |
|
Indicative Quote |
|
201 |
|
|
|
|
|
|
|
|
267 |
|
|
Spread off 9/16/2014 SNP Vendor Price |
|
Indicative Quote |
|
771 |
|
|
|
|
|
|
|
|
3,211 |
|
|
Previous Day IDC BAML Vendor Price |
|
Indicative Quote |
|
299 |
|
|
|
|
|
|
|
|
1,729 |
|
|
Previous Day Broker Price |
|
Indicative Quote |
|
251-360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities |
|
|
11,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loan Participations |
|
|
2,930 |
|
|
Previous Day Broker Price |
|
Indicative Quote |
|
N/A |
|
|
|
|
|
|
|
|
2,040 |
|
|
Quarterly model price |
|
Indicative Quote |
|
N/A |
|
|
|
|
|
|
|
|
5,384 |
|
|
Daily broker price |
|
Broker Quote |
|
N/A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Loan Participations |
|
|
10,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
The unobservable inputs used to determine fair value of reoccurring Level 3 assets may have similar or diverging impacts on
valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.
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.
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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259 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
Amortization and accretion is calculated using the scientific interest method, which approximates the
effective interest method over the holding period of the security, which is not materially different from the effective interest method. 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 may 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 — To the extent consistent with
its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. 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, a 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. Reverse repurchase agreements outstanding as of September 30, 2014 were as follows:
MULTI-ASSET INCOME FUND
|
|
|
|
|
|
|
|
|
Principal Amount
($ Thousands) |
|
|
Counterparty |
|
Value
($ Thousands) |
|
| |
$(1,515) |
|
|
Barclays Capital, 0.70% |
|
$ |
(1,515 |
) |
| |
(967) |
|
|
Barclays Capital, 0.90% |
|
|
(967 |
) |
| |
(931) |
|
|
Barclays Capital, 0.70% |
|
|
(931 |
) |
| |
(606) |
|
|
Credit Suisse First Boston, 0.20% |
|
|
(606 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,019 |
) |
|
|
|
|
|
|
|
|
|
MULTI-ASSET INFLATION MANAGED FUND
|
|
|
|
|
|
|
|
|
Principal Amount
($ Thousands) |
|
|
Counterparty |
|
Value
($ Thousands) |
|
| |
$(41,850) |
|
|
JP Morgan, 0.14% |
|
$ |
(41,850 |
) |
| |
(17,855) |
|
|
JP Morgan, 0.12% |
|
|
(17,855 |
) |
| |
(16,467) |
|
|
JP Morgan, 0.15% |
|
|
(16,467 |
) |
| |
(15,075) |
|
|
Bank of America, 0.08% |
|
|
(15,075 |
) |
| |
(12,147) |
|
|
Barclays Capital, 0.11% |
|
|
(12,147 |
) |
| |
(6,948) |
|
|
Bank of America, 0.10% |
|
|
(6,948 |
) |
| |
(5,062) |
|
|
Bank of America, 0.12% |
|
|
(5,062 |
) |
| |
(3,457) |
|
|
Barclays Capital, 0.18% |
|
|
(3,457 |
) |
| |
(3,073) |
|
|
Bank of America, 0.13% |
|
|
(3,073 |
) |
| |
(3,063) |
|
|
Barclays Capital, 0.12% |
|
|
(3,063 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(124,997 |
) |
|
|
|
|
|
|
|
|
|
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.
Expenses — Expenses that are directly related to a Fund 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.
Commodity-Linked Investments — To the extent consistent with its Investment
Objective and Strategies, the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes
with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that
provide returns that are tied to commodities or commodity indices. The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also seek to gain exposure to the commodity markets, in whole or in part, through
investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts,
swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative
positions. A Fund may invest up to 25% of its total assets in its Subsidiary.
In order for a Fund to qualify as a regulated investment company
under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling
2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Accumulation and the Multi-Asset
Inflation Managed Funds invests in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its
gross income (when combined with its other investments that produce non-qualifying income).
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.
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| 260 |
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SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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 — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either
specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that 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 Funds realize gains
and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax
purposes.
The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from
unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts
disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details
regarding open forward foreign currency contracts as of September 30, 2014, if applicable.
Futures Contracts — To the
extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help
manage duration and yield curve exposure. 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 Funds record 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 Statements of Assets and
Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September
30, 2014, if applicable.
Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and
Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities or to enhance the Fund’s returns. When a 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 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details
regarding open option/swaption contracts as of September 30, 2014, if applicable.
Securities Sold Short — To the extent consistent
with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to
the buyer. A Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund.
Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during
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| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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261 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which
would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a
Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short
position or replaces the borrowed security, the Fund will: (i) earmark on the books of the Fund or place in a segregated account cash or liquid securities at such a level that the amount earmarked or deposited in the segregated account plus the
amount deposited with the broker as collateral will equal the current value of the security sold short; or (ii) otherwise “cover” the Fund’s short position as required by the 1940 Act. Refer to each Fund’s Schedule of
Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2014, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities
or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities,
currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a
Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. 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. Swap agreements are privately negotiated in the over-the-counter market
(“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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 a 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 recovery rate used to settle the contracts. The recovery rate is a function
of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is
determined through an auction process. 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. Payments received or
made are recorded as realized gains or loss. A 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 a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by
a Fund’s custodian.
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 or Consolidated Statement of Operations. Net payments of interest are recorded as
realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.
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 or Consolidated 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.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See
Note 3 for further details. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments. for details regarding open swap agreements as of September 30, 2014, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a 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
|
|
|
| 262 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
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 — To the extent consistent with its Investment Objective and Strategies, a Fund 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 cash flows 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 its 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 its Class and its collateral securities. 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 not limited to: (i) the
possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate
to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days
or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At September 30, 2014, 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 September 30, 2014, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number
of Shares/
Face Amount
($ Thousands) |
|
|
Acquisition
Date |
|
|
Right to
Acquire
Date |
|
|
Cost
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
|
% of Net
Assets |
|
|
|
|
|
|
|
|
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Value Creation |
|
|
145,600 |
|
|
|
08/10/06 |
|
|
|
08/10/06 |
|
|
$ |
1,491 |
|
|
$ |
68 |
|
|
|
0.02 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Enhanced Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JHT Holding, 2nd Lien Term Loan |
|
|
53,319 |
|
|
|
12/16/2008 |
|
|
|
12/16/2008 |
|
|
$ |
53 |
|
|
$ |
18 |
|
|
|
0.01 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aventine (Escrow Security) |
|
$ |
2,750 |
|
|
|
04/21/10 |
|
|
|
04/21/10 |
|
|
$ |
— |
|
|
$ |
1 |
|
|
|
0.00 |
% |
| Momentive Performance Materials PIK |
|
|
2,472,955 |
|
|
|
12/07/40 |
|
|
|
12/07/10 |
|
|
|
2,382 |
|
|
|
62 |
|
|
|
0.00 |
|
| VSS AHC, Cl A |
|
|
27,106 |
|
|
|
10/08/09 |
|
|
|
10/08/09 |
|
|
|
485 |
|
|
|
403 |
|
|
|
0.03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,867 |
|
|
$ |
466 |
|
|
|
0.03 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CI — Class
PIK
— Payment-In-Kind
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
263 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
Dividends and Distributions to Shareholders — Dividends from net investment income are declared
and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth,
Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Real
Return, Multi-Strategy Alternative, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds; are declared and paid annually for the Global Managed Volatility Fund; are declared daily and paid monthly for the Core Fixed Income, U.S. Fixed
Income, High Yield Bond, the Multi-Asset Income and Multi-Asset Capital Stability 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.
Investments in Real Estate Investment Trust — With respect to the Real Estate
Fund, dividend income is recorded based on the income included in distributions received from the Real Estate Investment Trust (“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.
Investment in Subsidiary — Each of the
Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may invest in its own Subsidiary. By investing in a Subsidiary, each Fund is indirectly exposed to the risks associated with such Subsidiary’s investments. The commodity-related
instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not
registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Thus, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, as investors in their respective Subsidiary, will not have all of
the protections offered to investors in registered investment companies.
However, each Fund wholly owns and controls its respective Subsidiary,
and the Funds and the Subsidiaries are all managed by SIMC, making it unlikely that a Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own Board of Directors
(“Board”) that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Board has oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary,
and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of any Subsidiary will be sold or offered to investors other than the respective Fund.
Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Funds
and the Subsidiaries, respectively, are organized, could result in the inability of a Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Funds and their
shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the
Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.
Redemption Fees — The Funds charge a redemption fee based on a redemption, or a series of redemptions from a single identifiable source that in
the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:
|
|
|
|
|
|
|
|
|
| |
|
Dollar Threshold
($Thousands) |
|
|
Redemption
Fee |
|
| Large Cap Fund |
|
$ |
50,000 |
|
|
|
0.50 |
% |
| Large Cap Value Fund |
|
|
50,000 |
|
|
|
0.50 |
|
| Large Cap Growth Fund |
|
|
50,000 |
|
|
|
0.50 |
|
| Tax-Managed Large Cap Fund |
|
|
50,000 |
|
|
|
0.50 |
|
| S&P 500 Index Fund |
|
|
50,000 |
|
|
|
0.15 |
|
| Small Cap Fund |
|
|
25,000 |
|
|
|
1.00 |
|
| Small Cap Value Fund |
|
|
25,000 |
|
|
|
1.00 |
|
| Small Cap Growth Fund |
|
|
25,000 |
|
|
|
1.00 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
25,000 |
|
|
|
1.00 |
|
| Mid-Cap Fund |
|
|
10,000 |
|
|
|
0.75 |
|
| U.S. Managed Volatility Fund |
|
|
25,000 |
|
|
|
0.50 |
|
| Global Managed Volatility Fund |
|
|
25,000 |
|
|
|
0.75 |
|
| Tax-Managed Managed Volatility Fund |
|
|
25,000 |
|
|
|
0.50 |
|
| Real Estate Fund |
|
|
10,000 |
|
|
|
1.00 |
|
| Enhanced Income Fund |
|
|
10,000 |
|
|
|
0.75 |
|
| Core Fixed Income Fund |
|
|
50,000 |
|
|
|
0.60 |
|
| U.S. Fixed Income Fund |
|
|
50,000 |
|
|
|
0.60 |
|
| High Yield Bond Fund |
|
|
25,000 |
|
|
|
1.00 |
|
| Real Return Fund |
|
|
10,000 |
|
|
|
0.25 |
|
| Multi-Strategy Alternative Fund |
|
|
25,000 |
|
|
|
0.25 |
|
| Multi-Asset Accumulation Fund |
|
|
25,000 |
|
|
|
0.75 |
|
| Multi-Asset Income Fund |
|
|
25,000 |
|
|
|
0.50 |
|
| Multi-Asset Inflation Managed Fund |
|
|
25,000 |
|
|
|
0.75 |
|
| Multi-Asset Capital Stability Fund |
|
|
10,000 |
|
|
|
0.25 |
|
For the year ended September 30, 2014, the High Yield Bond Fund charged redemption fees in the amount of $671 ($ Thousands).
Such fees are retained by the Funds for the benefit of the remaining shareholders.
3. CREDIT DERIVATIVES
A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the
likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return
for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration,
repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a
|
|
|
| 264 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the
notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the
notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a
Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the
referenced obligation, other deliverable obligations or underlying securities comprising the
referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or
underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has
occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with
select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of September 30, 2014, the High Yield
Bond Fund and Multi-Asset Inflation Managed Fund are the buyers (“receiving protection”) on a total notional amount of $17.9 million and $11.5 million, respectively. As of September 30, 2014, the Core Fixed Income Fund, Multi-Asset
Inflation Managed Fund and Multi-Asset Capital Stability Fund are the sellers (“providing protection”) on a total notional amount of $9.0 million, $2.3 million and $11.4 million respectively. The notional amounts of the swaps are not
recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit
default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CORE FIXED INCOME FUND
WRITTEN CREDIT DERIVATIVE CONTRACTS |
|
SINGLE NAME CDS |
|
|
CDS ON AN INDEX |
|
|
|
|
| REFERENCE ASSET |
|
CORP
US$ |
|
|
SOVEREIGN
US$ |
|
|
ABS
US$ |
|
|
CORP
US$ |
|
|
Total |
|
| Fair value of written credit derivatives |
|
$ |
2,964 |
|
|
|
— |
|
|
|
— |
|
|
$ |
353,337 |
|
|
$ |
356,301 |
|
| Maximum potential amount of future payments |
|
$ |
3,080,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
3,080,000 |
|
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit
protection)1 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Collateral held that the Fund can obtain upon occurrence of triggering event |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MULTI-ASSET INFLATION MANAGED FUND
WRITTEN CREDIT DERIVATIVE CONTRACTS |
|
SINGLE NAME CDS |
|
|
CDS ON AN INDEX |
|
|
|
|
| REFERENCE ASSET |
|
CORP
US$ |
|
|
SOVEREIGN
US$ |
|
|
ABS
US$ |
|
|
CORP
US$ |
|
|
Total |
|
| Fair value of written credit derivatives |
|
$ |
66,692 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
66,692 |
|
| Maximum potential amount of future payments |
|
$ |
2,324,787 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
2,324,787 |
|
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit
protection)1 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Collateral held that the Fund can obtain upon occurrence of triggering event |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MULTI-ASSET CAPITAL STABILITY FUND
WRITTEN CREDIT DERIVATIVE CONTRACTS |
|
SINGLE NAME CDS |
|
|
CDS ON AN INDEX |
|
|
|
|
| REFERENCE ASSET |
|
CORP
US$ |
|
|
SOVEREIGN
US$ |
|
|
ABS
US$ |
|
|
CORP
US$ |
|
|
Total |
|
| Fair value of written credit derivatives |
|
|
— |
|
|
|
— |
|
|
$ |
(4,060 |
) |
|
$ |
97,195 |
|
|
$ |
93,135 |
|
| Maximum potential amount of future payments |
|
|
— |
|
|
|
— |
|
|
$ |
5,340,000 |
|
|
$ |
6,060,000 |
|
|
$ |
11,400,000 |
|
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit
protection)1 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Collateral held that the Fund can obtain upon occurrence of triggering event |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| 1 |
|
Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting
arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
265 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM |
|
| CORE FIXED INCOME FUND |
|
0-6 MONTHS |
|
|
6-12 MONTHS |
|
|
1-5 YEARS |
|
|
5-10 YEARS |
|
|
> 10 YEARS |
|
|
Total |
|
| Current credit spread* on underlying (in basis points) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0-400 |
|
|
— |
|
|
|
— |
|
|
$ |
5,900,400 |
|
|
$ |
3,080,000 |
|
|
|
— |
|
|
$ |
8,980,400 |
|
| > than 400 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
— |
|
|
|
— |
|
|
$ |
5,900,400 |
|
|
$ |
3,080,000 |
|
|
|
— |
|
|
$ |
8,980,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM |
|
| MULTI-ASSET INFLATION MANAGED FUND |
|
0-6 MONTHS |
|
|
6-12 MONTHS |
|
|
1-5 YEARS |
|
|
5-10 YEARS |
|
|
> 10 YEARS |
|
|
Total |
|
| Current credit spread* on underlying (in basis points) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0-200 |
|
|
— |
|
|
|
— |
|
|
$ |
2,324,787 |
|
|
|
— |
|
|
|
— |
|
|
$ |
2,324,787 |
|
| > than 200 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
— |
|
|
|
— |
|
|
$ |
2,324,787 |
|
|
|
— |
|
|
|
— |
|
|
$ |
2,324,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM |
|
| MULTI-ASSET CAPITAL STABILITY FUND |
|
0-6 MONTHS |
|
|
6-12 MONTHS |
|
|
1-5 YEARS |
|
|
5-10 YEARS |
|
|
> 10 YEARS |
|
|
Total |
|
| Current credit spread* on underlying (in basis points) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0-200 |
|
|
— |
|
|
|
— |
|
|
$ |
6,060,000 |
|
|
|
— |
|
|
|
— |
|
|
$ |
6,060,000 |
|
| 201-400 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| > than 400 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
5,340,000 |
|
|
|
5,340,000 |
|
| Total |
|
|
— |
|
|
|
— |
|
|
$ |
6,060,000 |
|
|
|
— |
|
|
$ |
5,340,000 |
|
|
$ |
11,400,000 |
|
| * |
|
The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the
cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.
|
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of
the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period with only one type of
risk exposure, additional information can be found on the Summary Schedule of Investments, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statement of Operations.
The fair value of derivative instruments as of September 30, 2014 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| |
|
For the year ended September 30, 2014
($Thousands) |
|
|
For the year ended September 30, 2014
($Thousands) |
|
|
|
| |
|
Statement of Assets and Liabilities/Consolidated
Statements of Assets and Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and Liabilities/Consolidated Statements
of Assets and Liabilities Location |
|
Fair Value |
|
| Derivatives not accounted for as hedging instruments: |
|
|
|
|
|
|
|
|
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Equity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
115 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
653 |
* |
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
8,224 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
8,339 |
|
|
|
|
$ |
693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
653 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
530 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
498 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
518 |
† |
|
|
Options purchased, at value |
|
|
— |
|
|
Options written, at value |
|
|
277 |
|
|
|
Swaptions purchased, at value |
|
|
699 |
|
|
Swaptions written, at value |
|
|
160 |
|
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
1,851 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
355 |
|
| Credit contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
26 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
43 |
† |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
3,727 |
|
|
|
|
$ |
1,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 266 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| |
|
For the year ended September 30, 2014
($Thousands) |
|
|
For the year ended September 30, 2014
($Thousands) |
|
|
|
| |
|
Statement of Assets and Liabilities/Consolidated
Statements of Assets and Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and Liabilities/Consolidated Statements
of Assets and Liabilities Location |
|
Fair Value |
|
|
|
|
|
|
| U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
395 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
59 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
75 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
72 |
† |
|
|
Options purchased, at value |
|
|
— |
|
|
Options written, at value |
|
|
26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
470 |
|
|
|
|
$ |
157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
19 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
— |
|
| Credit contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
78 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
97 |
|
|
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
3,630 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
5,413 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
650 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
3,677 |
† |
| Equity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
1,666 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
13,720 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
19 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
2,874 |
† |
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
10,765 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
11,040 |
|
| Commodity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
1,913 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
12,934 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
379 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
9,080 |
† |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
19,022 |
|
|
|
|
$ |
58,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on swaps contracts |
|
$ |
359 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
$ |
1,115 |
† |
| Equity contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
112 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
2,294 |
† |
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
606 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
1,077 |
|
|
|
|
$ |
3,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
$ |
278 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
$ |
409 |
† |
|
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
194 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
— |
|
| Equity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
461 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
— |
|
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
915 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
197 |
|
| Commodity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
2,687 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
14,336 |
* |
| Credit contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
71 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
122 |
† |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
4,606 |
|
|
|
|
$ |
15,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
267 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| |
|
For the year ended September 30, 2014
($Thousands) |
|
|
For the year ended September 30, 2014
($Thousands) |
|
|
|
| |
|
Statement of Assets and Liabilities/Consolidated
Statements of Assets and Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and Liabilities/Consolidated Statements
of Assets and Liabilities Location |
|
Fair Value |
|
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
$ |
670 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
$ |
851 |
* |
|
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
195 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
205 |
† |
| Equity contracts |
|
Net Assets — Unrealized appreciation on futures contracts |
|
|
210 |
* |
|
Net Assets — Unrealized depreciation on futures contracts |
|
|
1,312 |
* |
| Foreign exchange contracts |
|
Unrealized gain on forward foreign currency contracts |
|
|
632 |
|
|
Unrealized loss on forward foreign currency contracts |
|
|
404 |
|
| Credit contracts |
|
Net Assets — Unrealized appreciation on swap contracts |
|
|
8 |
† |
|
Net Assets — Unrealized depreciation on swap contracts |
|
|
66 |
† |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivatives not accounted for as hedging instruments |
|
$ |
1,715 |
|
|
|
|
$ |
2,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments/Consolidated Schedule of Investments. Only current
day’s variation margin is reported within the Statements of Assets & Liabilities. |
| † |
|
Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments/Consolidated Schedule of Investments. Market Value is reported
within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments
on the Statements of Operations for the year ended September 30, 2014
Amount of realized gain or (loss) on derivatives recognized in income ($
Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivatives Not Accounted for as Hedging Instruments |
|
Swaptions |
|
|
Options |
|
|
Futures |
|
|
Forward
Currency
Contracts |
|
|
Swaps |
|
|
Total |
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,953 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,953 |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
42,984 |
|
|
|
— |
|
|
|
42,984 |
|
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,953 |
|
|
$
|
42,984
|
|
|
$ |
— |
|
|
$ |
50,937 |
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
26 |
|
|
$ |
143 |
|
|
$ |
(1,126 |
) |
|
$ |
— |
|
|
$ |
(169 |
) |
|
$ |
(1,126 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
380 |
|
|
|
— |
|
|
|
380 |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
146 |
|
|
|
146 |
|
| Total |
|
$ |
26 |
|
|
$ |
143 |
|
|
$ |
(1,126 |
) |
|
$ |
380 |
|
|
$ |
(23 |
) |
|
$ |
(600 |
) |
| U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
96 |
|
|
$ |
(3,216 |
) |
|
$ |
— |
|
|
$ |
(18 |
) |
|
$ |
(3,138 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
96 |
|
|
$ |
(3,216 |
) |
|
$ |
— |
|
|
$ |
(18 |
) |
|
$ |
(3,138 |
) |
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(41 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(41 |
) |
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,092 |
) |
|
|
(1,092 |
) |
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(41 |
) |
|
$ |
— |
|
|
$ |
(1,092 |
) |
|
$ |
(1,133 |
) |
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
68,371 |
|
|
$ |
— |
|
|
$ |
21,264 |
|
|
$ |
89,635 |
|
| Equity contracts |
|
|
— |
|
|
|
— |
|
|
|
80,860 |
|
|
|
— |
|
|
|
1,547 |
|
|
|
82,407 |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(12,211 |
) |
|
|
— |
|
|
|
(12,211 |
) |
| Commodity contracts |
|
|
— |
|
|
|
— |
|
|
|
8,318 |
|
|
|
— |
|
|
|
(6,356 |
) |
|
|
1,962 |
|
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
157,549 |
|
|
$ |
(12,211 |
) |
|
$ |
16,455 |
|
|
$ |
161,793 |
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity contracts |
|
$ |
— |
|
|
$ |
(174 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(174 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
869 |
|
|
|
— |
|
|
|
869 |
|
| Interest contracts |
|
|
— |
|
|
|
(1,155 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,452 |
|
|
|
297 |
|
| Total |
|
$ |
— |
|
|
$ |
(1,329 |
) |
|
$ |
— |
|
|
$ |
869 |
|
|
$ |
1,452 |
|
|
$ |
992 |
|
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(2,835 |
) |
|
$ |
— |
|
|
$ |
270 |
|
|
$ |
(2,565 |
) |
| Equity contracts |
|
|
— |
|
|
|
(957 |
) |
|
|
(1,629 |
) |
|
|
— |
|
|
|
(11,673 |
) |
|
|
(14,259 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,701 |
) |
|
|
— |
|
|
|
(1,701 |
) |
| Commodity contracts |
|
|
— |
|
|
|
(313 |
) |
|
|
(914 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,227 |
) |
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(196 |
) |
|
|
(196 |
) |
| Total |
|
$ |
— |
|
|
$ |
(1,270 |
) |
|
$ |
(5,378 |
) |
|
$ |
(1,701 |
) |
|
$ |
(11,599 |
) |
|
$ |
(19,948 |
) |
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
(549 |
) |
|
$ |
(558 |
) |
|
$ |
3,877 |
|
|
$ |
— |
|
|
$ |
883 |
|
|
$ |
3,653 |
|
| Equity contracts |
|
|
— |
|
|
|
(34 |
) |
|
|
8,396 |
|
|
|
— |
|
|
|
— |
|
|
|
8,362 |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,292 |
|
|
|
— |
|
|
|
1,292 |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,960 |
|
|
|
1,960 |
|
| Total |
|
$ |
(549 |
) |
|
$ |
(592 |
) |
|
$ |
12,273 |
|
|
$ |
1,292 |
|
|
$ |
2,843 |
|
|
$ |
15,267 |
|
|
|
|
| 268 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivatives Not Accounted for as Hedging Instruments |
|
Swaptions |
|
|
Options |
|
|
Futures |
|
|
Forward
Currency
Contracts |
|
|
Swaps |
|
|
Total |
|
|
|
|
|
|
|
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(278 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(278 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
11,437 |
|
|
|
— |
|
|
|
11,437 |
|
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(278 |
) |
|
$ |
11,437 |
|
|
$ |
— |
|
|
$ |
11,159 |
|
|
|
|
|
|
|
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
(926 |
) |
|
$ |
(159 |
) |
|
$ |
549 |
|
|
$ |
— |
|
|
$ |
(693 |
) |
|
$ |
(1,229 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,948 |
|
|
|
— |
|
|
|
1,948 |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(65 |
) |
|
|
(65 |
) |
| Total |
|
$ |
(926 |
) |
|
$ |
(159 |
) |
|
$ |
549 |
|
|
$ |
1,948 |
|
|
$ |
(758 |
) |
|
$ |
654 |
|
|
|
|
|
|
|
|
| U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
14 |
|
|
$ |
1,054 |
|
|
$ |
— |
|
|
$ |
(199 |
) |
|
$ |
869 |
|
| Total |
|
$ |
— |
|
|
$ |
14 |
|
|
$ |
1,054 |
|
|
$ |
— |
|
|
$ |
(199 |
) |
|
$ |
869 |
|
|
|
|
|
|
|
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19 |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
90 |
|
|
|
90 |
|
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19 |
|
|
$ |
— |
|
|
$ |
90 |
|
|
$ |
109 |
|
|
|
|
|
|
|
|
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(12,664 |
) |
|
$ |
— |
|
|
$ |
(7,916 |
) |
|
$ |
(20,580 |
) |
| Equity contracts |
|
|
— |
|
|
|
— |
|
|
|
(10,771 |
) |
|
|
— |
|
|
|
(3,105 |
) |
|
|
(13,876 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,054 |
|
|
|
— |
|
|
|
4,054 |
|
| Commodity contracts |
|
|
— |
|
|
|
— |
|
|
|
(10,776 |
) |
|
|
— |
|
|
|
(5,255 |
) |
|
|
(16,031 |
) |
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(34,211 |
) |
|
$ |
4,054 |
|
|
$ |
(16,276 |
) |
|
$ |
(46,433 |
) |
|
|
|
|
|
|
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(519 |
) |
|
$ |
(469 |
) |
| Equity contracts |
|
|
— |
|
|
|
99 |
|
|
|
— |
|
|
|
— |
|
|
|
(2,294 |
) |
|
|
(2,195 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
606 |
|
|
|
— |
|
|
|
606 |
|
| Total |
|
$ |
— |
|
|
$ |
99 |
|
|
$ |
— |
|
|
$ |
606 |
|
|
$ |
(2,813 |
) |
|
$ |
(2,058 |
) |
|
|
|
|
|
|
|
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,520 |
|
|
$ |
— |
|
|
$ |
(472 |
) |
|
$ |
1,048 |
|
| Equity contracts |
|
|
— |
|
|
|
— |
|
|
|
461 |
|
|
|
— |
|
|
|
706 |
|
|
|
1,167 |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
3,776 |
|
|
|
— |
|
|
|
3,776 |
|
| Commodity contracts |
|
|
— |
|
|
|
— |
|
|
|
(11,700 |
) |
|
|
— |
|
|
|
— |
|
|
|
(11,700 |
) |
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(150 |
) |
|
|
(150 |
) |
| Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(9,719 |
) |
|
$ |
3,776 |
|
|
$ |
84 |
|
|
$ |
(5,859 |
) |
|
|
|
|
|
|
|
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
453 |
|
|
$ |
(574 |
) |
|
$ |
— |
|
|
$ |
238 |
|
|
$ |
117 |
|
| Equity contracts |
|
|
— |
|
|
|
20 |
|
|
|
(1,106 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,086 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
41 |
|
|
|
— |
|
|
|
41 |
|
| Credit contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
24 |
|
|
|
24 |
|
| Total |
|
$ |
— |
|
|
$ |
473 |
|
|
$ |
(1,680 |
) |
|
$ |
41 |
|
|
$ |
262 |
|
|
$ |
(904 |
) |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
269 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
A Fund is subject to various netting arrangements with select
counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing
standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered
by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure
to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the
total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000
depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities
and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value
(securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities/Consolidated Statements of Assets and
Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short
period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer Account Agreements and related addendums govern
exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated
at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the
segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC
derivatives.
The following is a summary of the market
value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of September 30, 2014 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
Financial Derivative Liabilities |
|
| |
|
Market value |
|
|
Variation Margin Asset |
|
|
|
|
|
|
|
Market value |
|
|
Variation Margin Liability |
|
|
|
|
| Fund |
|
Purchased
Options/
Swaptions |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
|
|
|
Written
Options/
Swaptions |
|
|
Futures |
|
|
Swap
Agreements |
|
|
Total |
|
| Large Cap Fund |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
$ |
— |
|
|
$ |
306 |
|
|
$ |
— |
|
|
$ |
306 |
|
| Large Cap Value Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
81 |
|
|
|
— |
|
|
|
81 |
|
| Large cap Growth Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
60 |
|
|
|
— |
|
|
|
60 |
|
| Tax-Managed Large Cap Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
323 |
|
|
|
— |
|
|
|
323 |
|
| S&P 500 Index Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
48 |
|
|
|
— |
|
|
|
48 |
|
| Extended Market Index Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
144 |
|
|
|
— |
|
|
|
144 |
|
| Small Cap Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
103 |
|
|
|
— |
|
|
|
103 |
|
| Small Cap Value Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
32 |
|
|
|
— |
|
|
|
32 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
250 |
|
|
|
— |
|
|
|
250 |
|
| Mid-Cap Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
9 |
|
|
|
— |
|
|
|
9 |
|
| U.S. Managed Volatility Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
30 |
|
|
|
— |
|
|
|
30 |
|
| Global Managed Volatility Fund |
|
|
— |
|
|
|
166 |
|
|
|
— |
|
|
|
166 |
|
|
|
|
|
— |
|
|
|
208 |
|
|
|
— |
|
|
|
208 |
|
| Tax-Managed Managed Volatility Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
61 |
|
|
|
— |
|
|
|
61 |
|
| Enhanced Income Fund |
|
|
— |
|
|
|
6 |
|
|
|
— |
|
|
|
6 |
|
|
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
1 |
|
| Core Fixed Income Fund |
|
|
699 |
|
|
|
240 |
|
|
|
50 |
|
|
|
989 |
|
|
|
|
|
437 |
|
|
|
290 |
|
|
|
— |
|
|
|
727 |
|
| U.S. Fixed Income Fund |
|
|
— |
|
|
|
165 |
|
|
|
5 |
|
|
|
170 |
|
|
|
|
|
26 |
|
|
|
35 |
|
|
|
— |
|
|
|
61 |
|
| High Yield Bond Fund |
|
|
— |
|
|
|
3 |
|
|
|
— |
|
|
|
3 |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
102 |
|
|
|
102 |
|
| Multi-Asset Accumulation Fund |
|
|
— |
|
|
|
2,314 |
|
|
|
9 |
|
|
|
2,323 |
|
|
|
|
|
— |
|
|
|
8,373 |
|
|
|
97 |
|
|
|
8,470 |
|
| Multi-Asset Income Fund |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
187 |
|
|
|
187 |
|
| Multi-Asset Inflation Managed Fund |
|
|
— |
|
|
|
669 |
|
|
|
32 |
|
|
|
701 |
|
|
|
|
|
— |
|
|
|
3,430 |
|
|
|
39 |
|
|
|
3,469 |
|
| Multi-Asset Capital Stability Fund |
|
|
— |
|
|
|
339 |
|
|
|
22 |
|
|
|
361 |
|
|
|
|
|
— |
|
|
|
513 |
|
|
|
86 |
|
|
|
599 |
|
| Total Exchange-Traded or Centrally Cleared |
|
$ |
699 |
|
|
$ |
3,902 |
|
|
$ |
118 |
|
|
$ |
4,719 |
|
|
|
|
$ |
463 |
|
|
$ |
14,297 |
|
|
$ |
339 |
|
|
$ |
15,271 |
|
|
|
|
| 270 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Securities with an aggregate marked value of $147,826 ($ Thousands) have been pledged as collateral for
exchange-traded and centrally cleared derivative instruments as of September 30, 2014.
International Swaps and Derivatives Association, Inc.
Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund
and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include
conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate
early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has
a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.
The following is a summary by derivative
type of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2014 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Financial Derivative Assets |
|
|
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Forward
Foreign
Currency
Contracts |
|
|
Purchased
Options
and
Swaptions |
|
|
Swap
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
Forward
Foreign
Currency
Contracts |
|
|
Written
Options
and
Swaptions |
|
|
Swap
Agreements |
|
|
Reverse
Repurchase
Agreements |
|
|
Total
Over the
Counter |
|
|
|
|
Net Market
Value of OTC
Derivatives |
|
|
Collateral
(Received)/
Pledged |
|
|
Net
Exposures(1) |
|
| Global Managed Volatility Fund |
|
$ |
8,224 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8,224 |
|
|
|
|
$ |
40 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
40 |
|
|
|
|
$ |
8,184 |
|
|
$ |
— |
|
|
$ |
8,184 |
|
| Core Fixed Income Fund |
|
|
1,851 |
|
|
|
— |
|
|
|
506 |
|
|
|
2,357 |
|
|
|
|
|
355 |
|
|
|
— |
|
|
|
307 |
|
|
|
— |
|
|
|
662 |
|
|
|
|
|
1,695 |
|
|
|
— |
|
|
|
1,695 |
|
| U.S. Fixed Income Fund |
|
|
— |
|
|
|
— |
|
|
|
75 |
|
|
|
75 |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
3 |
|
|
|
— |
|
|
|
3 |
|
|
|
|
|
72 |
|
|
|
— |
|
|
|
72 |
|
| Multi-Asset Accumulation Fund |
|
|
10,894 |
|
|
|
— |
|
|
|
946 |
|
|
|
11,840 |
|
|
|
|
|
11,169 |
|
|
|
— |
|
|
|
15,492 |
|
|
|
— |
|
|
|
26,661 |
|
|
|
|
|
(14,821 |
) |
|
|
4,265 |
|
|
|
(10,556 |
) |
| Multi-Asset Income Fund |
|
|
606 |
|
|
|
— |
|
|
|
112 |
|
|
|
718 |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
2,294 |
|
|
|
4,019 |
|
|
|
6,313 |
|
|
|
|
|
(5,595 |
) |
|
|
4,019 |
|
|
|
(1,576 |
) |
| Multi-Asset Inflation Managed Fund |
|
|
915 |
|
|
|
— |
|
|
|
222 |
|
|
|
1,137 |
|
|
|
|
|
197 |
|
|
|
— |
|
|
|
— |
|
|
|
124,997 |
|
|
|
125,194 |
|
|
|
|
|
(124,057 |
) |
|
|
124,675 |
|
|
|
618 |
|
| Multi-Asset Capital Stability Fund |
|
|
632 |
|
|
|
— |
|
|
|
— |
|
|
|
632 |
|
|
|
|
|
404 |
|
|
|
— |
|
|
|
240 |
|
|
|
— |
|
|
|
644 |
|
|
|
|
|
(12 |
) |
|
|
— |
|
|
|
(12 |
) |
| Total Over the Counter |
|
$ |
23,122 |
|
|
$ |
— |
|
|
$ |
1,861 |
|
|
$ |
24,983 |
|
|
|
|
$ |
12,165 |
|
|
$ |
— |
|
|
$ |
18,336 |
|
|
$ |
129,016 |
|
|
$ |
159,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
|
Net Exposures represents the net receivable/(payable) that would be due from /to the counterparty in the event of default. Exposure from OTC financial derivative
instruments can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (2) |
|
Excess collateral received is not shown for financial reporting purposes. |
Securities with an aggregate market value of $0 have been pledged and $0 have been received as collateral for
financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2014.
Written Options transactions entered into during the year ended September 30, 2014 are summarized as follows:
|
|
|
|
|
|
|
|
|
Core Fixed
Income Fund |
|
| |
|
Number of
Contracts |
|
|
Premium
($ Thousands) |
|
| Balance at beginning of period |
|
|
10,980,000 |
|
|
$ |
93 |
|
| Written |
|
|
6,402,840 |
|
|
|
963 |
|
| Expired |
|
|
(6,990,592 |
) |
|
|
(285 |
) |
| Closing Buys |
|
|
(1,777 |
) |
|
|
(562 |
) |
| Balance at end of period |
|
|
10,390,471 |
|
|
$ |
209 |
|
|
|
|
|
|
|
|
|
|
U.S.Fixed
Income Fund |
|
| |
|
Number of
Contracts |
|
|
Premium
($ Thousands) |
|
| Balance at beginning of period |
|
|
1,490,000 |
|
|
$ |
17 |
|
| Written |
|
|
935 |
|
|
|
312 |
|
| Expired |
|
|
(189 |
) |
|
|
(75 |
) |
| Closing Buys |
|
|
(596 |
) |
|
|
(198 |
) |
| Balance at end of period |
|
|
1,490,150 |
|
|
$ |
56 |
|
|
|
|
|
|
|
|
|
|
Multi-Asset
Income Fund |
|
| |
|
Number of
Contracts |
|
|
Premium
($ Thousands) |
|
| Balance at beginning of period |
|
|
384 |
|
|
$ |
57 |
|
| Written |
|
|
15,126 |
|
|
|
365 |
|
| Expired |
|
|
(13,601 |
) |
|
|
(252 |
) |
| Closing Buys |
|
|
(1,909 |
) |
|
|
(170 |
) |
| Balance at end of period |
|
|
— |
|
|
$ |
— |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
271 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
Multi-Asset
Capital Stability Fund |
|
| |
|
Number of
Contracts |
|
|
Premium
($ Thousands) |
|
| Balance at beginning of period |
|
|
41,572,606 |
|
|
$ |
629 |
|
| Written |
|
|
99,656,105 |
|
|
|
1,099 |
|
| Expired |
|
|
(42,372,037 |
) |
|
|
(236 |
) |
| Closing Buys |
|
|
(98,856,674 |
) |
|
|
(1,492 |
) |
| Balance at end of period |
|
|
— |
|
|
$ |
— |
|
Written Swaptions transactions entered into during the year ended September 30, 2014 are summarized as follows:
|
|
|
|
|
|
|
|
|
| Core Fixed
Income
Fund |
|
| |
|
Notional Amount
($ Thousands) |
|
|
Premium
($ Thousands) |
|
| Balance at beginning of period |
|
$ |
— |
|
|
$ |
— |
|
| Written |
|
|
13,905 |
|
|
|
360 |
|
| Expired |
|
|
— |
|
|
|
— |
|
| Closing Buys |
|
|
— |
|
|
|
— |
|
| Balance at end of period |
|
$ |
13,905 |
|
|
$ |
360 |
|
At September 30, 2014 the Funds had cash and/or securities at least equal to the value of written options/written swaptions.
5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND
The consolidated Schedules of Investments, Statements of Assets and Liabilities, Statements of Operations, Statements of Changes in Net Assets, Statement of
Cash Flows, and the Financial Highlights of the Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund include the accounts of their respective Subsidiaries. All inter-company accounts and transactions have been eliminated in
consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of September 30th for financial statement consolidation purposes and a nonconforming tax year end of August 31.
The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). Each Subsidiary’s taxable income is included in the calculation of the
relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.
The Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund may each invest up to 25% of their total assets in its respective Subsidiary.
A summary of the Funds’ investments in the Subsidiaries are as follows:
|
|
|
|
|
|
|
|
|
|
|
| |
|
INCEPTION DATE
OF SUBSIDIARY |
|
SUBSIDIARY NET
ASSETS AT SEPTEMBER 30,
2014 ($ THOUSANDS) |
|
|
% OF TOTAL NET ASSETS AT
SEPTEMBER 30,
2014 |
|
| Accumulation Commodity Strategy Subsidiary, Ltd |
|
April 9, 2012 |
|
$ |
288,556 |
|
|
|
15.5 |
% |
| Inflation Commodity Strategy Subsidiary, Ltd. |
|
April 9, 2012 |
|
|
169,695 |
|
|
|
18.4 |
% |
Gains and losses attributed to the Funds’ investments in Subsidiaries are as follows:
|
|
|
|
|
|
|
|
|
| |
|
ACCUMULATION
COMMODITY
STRATEGY
SUBSIDIARY, LTD.
($ THOUSANDS) |
|
|
INFLATION
COMMODITY
STRATEGY
SUBSIDIARY,
LTD.
($ THOUSANDS) |
|
| Investment Income: |
|
| Interest Income |
|
$ |
526 |
|
|
$ |
8 |
|
| Net Realized Gain (Loss) on: |
|
| Investments |
|
|
(520 |
) |
|
|
(2,949 |
) |
| Futures Contracts |
|
|
6,912 |
|
|
|
(914 |
) |
| Options |
|
|
— |
|
|
|
(540 |
) |
| Swap Contracts |
|
|
(6,356 |
) |
|
|
270 |
|
| Foreign Currency Transactions |
|
|
(2 |
) |
|
|
— |
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
| Investments |
|
|
438 |
|
|
|
2,937 |
|
| Futures Contracts |
|
|
(11,096 |
) |
|
|
(11,700 |
) |
| Swap Contracts |
|
|
(5,255 |
) |
|
|
1,778 |
|
| Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency |
|
|
— |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
| Total gains and losses attributed to the Funds’ investments in Subsidiaries |
|
$ |
(15,353 |
) |
|
$ |
(11,104) |
|
|
|
|
|
|
|
|
|
|
6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT
SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration and
Distribution Agreements — 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.
SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency
services to the Funds for annual fees, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (the
“Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”) serves as each Fund’s Distributor. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and
administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor, calculated as a percentage of the average daily net assets attributable to each particular class of each respective
fund. Under both the Shareholder Servicing Plan 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. During the year ended September 30, 2014, the Distributor voluntarily waived a portion of its fee for all of the Funds except the U.S. Managed Volatility, Global Managed Volatility and Tax-Managed
Managed Volatility Funds.
|
|
|
| 272 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in
order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the
ordinary course of the Funds’ business) at a specified level. The waivers by the Funds’ Adviser, Administrator and/or Distributor are limited to the Funds’ direct operating expenses and,
therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or
Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of
the commissions paid on those trades are then used to pay the Funds’ expenses.
As of September 30, 2014, the following
is a summary of annual fees payable to the Adviser, Administrator and Distributor and the voluntary expense limitations for each fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Advisory
Fee |
|
|
Administration
Fee |
|
|
Shareholder
Servicing
Fee |
|
|
Administrative
Servicing Fee |
|
|
Voluntary
Expense
Limitation |
|
| Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.3900 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.3500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.3500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Tax-Managed Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class T‡ |
|
|
0.4000 |
% |
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
— |
|
|
|
0.56 |
% |
| S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.43 |
% |
| Class E |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
— |
|
|
|
— |
|
|
|
0.25 |
% |
| Class I |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.65 |
% |
| Small Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Tax-Managed Small/Mid Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Mid-Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.02 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.26 |
% |
| U.S. Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.00 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.25 |
% |
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Tax-Managed Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.00 |
% |
| Real Estate Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Enhanced Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.60 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.85 |
% |
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.67 |
% |
| Class I |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.89 |
% |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
273 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Advisory
Fee |
|
|
Administration
Fee |
|
|
Shareholder
Servicing
Fee |
|
|
Administrative
Servicing Fee |
|
|
Voluntary
Expense
Limitation |
|
| U.S. Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.66 |
% |
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4875 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.4875 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Real Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2200 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.45 |
% |
| Multi-Strategy Alternative Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
1.5000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.50 |
%† |
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.7500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.17 |
% |
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.80 |
% |
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.5500 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.90 |
% |
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.35 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.62 |
% |
| † |
|
Prior to May 15, 2014, the voluntary expense limitation was 0.63%. |
| ‡ |
|
Effective August 7, 2014 Class Y shares were redesignated as Class T shares. This share class change had no impact on the Funds’ operations or investment policy.
|
Effective October 1, 2014, the following is a summary of annual fees payable to the Adviser, Administrator and Distributor and the
voluntary expense limitations for each fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Advisory
Fee |
|
|
Administration
Fee |
|
|
Shareholder
Servicing
Fee |
|
|
Administrative
Servicing Fee |
|
|
Voluntary
Expense
Limitation |
|
| Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.3900 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.3500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.3500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Tax-Managed Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class T‡ |
|
|
0.4000 |
% |
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
— |
|
|
|
0.56 |
% |
| S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.43 |
% |
| Class E |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
— |
|
|
|
— |
|
|
|
0.25 |
% |
| Class I |
|
|
0.0300 |
% |
|
|
0.22 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.65 |
% |
| Small Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Tax-Managed Small/Mid Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Mid-Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.02 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.26 |
% |
| U.S. Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.00 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.25 |
% |
|
|
|
| 274 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Advisory
Fee |
|
|
Administration
Fee |
|
|
Shareholder
Servicing
Fee |
|
|
Administrative
Servicing Fee |
|
|
Voluntary
Expense
Limitation |
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.11 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Tax-Managed Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.00 |
% |
| Real Estate Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.14 |
% |
| Class I |
|
|
0.6500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.36 |
% |
| Enhanced Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.60 |
% |
| Class I |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.85 |
% |
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.67 |
% |
| Class I |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
0.89 |
% |
| U.S. Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2750 |
% |
|
|
0.28 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.66 |
% |
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4875 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.89 |
% |
| Class I |
|
|
0.4875 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
|
|
1.11 |
% |
| Real Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.2200 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.45 |
% |
| Multi-Strategy Alternative Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
1.5000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.50 |
%† |
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.7500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
1.17 |
% |
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.6000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.80 |
% |
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.5500 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.90 |
% |
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A |
|
|
0.4000 |
% |
|
|
0.30 |
% |
|
|
0.25 |
% |
|
|
— |
|
|
|
0.62 |
% |
| † |
|
Prior to May 15, 2014, the voluntary expense limitation was 0.63%. |
| ‡ |
|
Effective August 7, 2014 Class Y shares were redesignated as Class T shares. This share class change had no impact on the Funds’ operations or investment policy.
|
As of September 30, 2014, SIMC has entered into investment sub-advisory agreements with
the following parties:
|
| Investment Sub-Adviser |
| Large Cap Fund |
| AQR Capital Management, LLC |
| AJO, L.P. |
| Brown Advisory LLC |
| Jackson Square Partners, LLC |
| LSV Asset Management |
| Waddell + Reed Investment Management Company |
| Large Cap Value Fund |
| AJO, L.P. |
| Brandywine Global Investment Management LLC |
| Lazard Asset Management LLC |
| LSV Asset Management |
| Large Cap Growth Fund |
| Brown Advisory LLC |
| INTECH Investment Management, LLC |
| Jackson Square Partners, LLC |
| Tax-Managed Large Cap Fund |
| AQR Capital Management, LLC |
| AJO, L.P. |
| Brown Advisory LLC |
| Jackson Square Partners,
LLC |
|
| Investment Sub-Adviser |
| LSV Asset Management |
| Parametric Portfolio Associates LLC |
| Waddell + Reed Investment Management Company |
| S&P 500 Index Fund |
| SSgA Funds Management, Inc. |
| Small Cap Fund |
| AllianceBernstein, L.P. |
| AQR Capital Management, LLC |
| Fiduciary Management Associates, LLC |
| Integrity Asset Management, LLC |
| J.P. Morgan Investment Management Inc. |
| Montibus Capital Management, LLC
(formerly, Timberline Asset Management, LLC) |
| Robeco Investment Management, Inc. |
| William Blair + Company LLC |
| Small Cap Value Fund |
| Artisan Partners, Limited Partnership |
| Fiduciary Management Associates, LLC |
| Lee Munder Capital Group LLC |
| LSV Asset Management |
| Martingale Asset Management, L.P. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
275 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
| Investment Sub-Adviser |
| Robeco Investment Management, Inc. |
| Security Capital Research + Management |
| William Blair + Company, LLC |
| Small Cap Growth Fund |
| AllianceBernstein, L.P. |
| AQR Capital Management, LLC |
| Janus Capital Management, LLC |
| J.P. Morgan Investment Management Inc. |
| Montibus Capital Management, LLC
(formerly, Timberline Asset Management,
LLC) |
| Tax-Managed Small/Mid Cap Fund |
| AllianceBernstein, L.P. |
| J.P. Morgan Investment Management Inc. |
| Lee Munder Capital Group, LLC |
| Parametric Portfolio Associates LLC |
| Wellington Management Company, LLP |
| William Blair + Company, LLC |
| Mid-Cap Fund |
| J.P. Morgan Investment Management Inc. |
| Lee Munder Capital Group, LLC |
| Quantitative Management Associates LLC |
| U.S. Managed Volatility Fund |
| AJO, L.P. |
| Analytic Investors, LLC |
| LSV Asset Management |
| Global Managed Volatility Fund |
| Acadian Asset Management LLC |
| Analytic Investors, LLC |
| Tax-Managed Managed Volatility Fund |
| Analytic Investors LLC |
| AJO, L.P. |
| LSV Asset Management |
| Real Estate Fund |
| Center Square Investment Management (formerly, Urdang Capital Management Inc.) |
| Security Capital Research and Management, Inc. |
| Enhanced Income Fund |
| Ares Management LLC |
| Wellington Management Company, LLP |
| Core Fixed Income Fund |
| Jennison Associates LLC |
| Metropolitan West Asset Management LLC |
| Wells Capital Management, Inc. |
| Western Asset Management Company |
| Western Asset Management Company Limited |
| U.S. Fixed Income Fund |
| Jennison Associates LLC |
| J.P. Morgan Investment Management, Inc. |
| Metropolitan West Asset Management LLC |
| Wells Capital Management, Inc. |
| Western Asset Management Company |
| Western Asset Management Company Limited |
| High Yield Bond Fund |
| Ares Management LLC |
| Benefit Street Partners, LLC |
| Brigade Capital Management, LLC |
|
| Investment Sub-Adviser |
| Delaware Investments Fund Advisers |
| J.P. Morgan Investment Management, Inc. |
| Multi-Strategy Alternative Fund |
| Multi-Asset Accumulation Fund |
| AQR Capital Management, LLC |
| PanAgora Asset Management Inc. |
| Multi-Asset Income Fund |
| Guggenheim Partners Investment Management, LLC |
| Multi-Asset Inflation Managed Fund |
| AllianceBernstein, L.P. |
| QS Investors, LLC |
| Multi-Asset Capital Stability Fund |
| AllianceBernstein, L.P. |
Under the investment sub-advisory agreements, each sub-adviser receives an annual fee paid by SIMC.
Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund
transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC
rules require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2014 were as
follows ($ Thousands):
|
|
|
|
|
| Large Cap Fund |
|
$ |
398 |
|
| Large Cap Value Fund |
|
|
209 |
|
| Large Cap Growth Fund |
|
|
35 |
|
| S&P 500 Index Fund |
|
|
16 |
|
| Small Cap Fund |
|
|
20 |
|
| Small Cap Value Fund |
|
|
17 |
|
| Small Cap Growth Fund |
|
|
5 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
32 |
|
| Mid-Cap Fund |
|
|
2 |
|
| Real Estate Fund |
|
|
8 |
|
|
|
|
|
|
|
|
$ |
742 |
|
|
|
|
|
|
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors of the
Administrator, Adviser and/or Distributor. 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 Administrator
or Distributor.
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.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap, Large Cap
Value, Tax-Managed Large Cap, Small Cap Value, Tax-Managed Small/Mid Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For
|
|
|
| 276 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2014 were as follows ($ Thousands):
|
|
|
|
|
| Large Cap Fund |
|
$ |
520 |
|
| Large Cap Value Fund |
|
|
494 |
|
| Tax-Managed Large Cap Fund |
|
|
561 |
|
| Small Cap Value Fund |
|
|
438 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
236 |
|
| U.S. Managed Volatility Fund |
|
|
1,064 |
|
| Tax-Managed Managed Volatility Fund |
|
|
770 |
|
|
|
|
|
|
|
|
$ |
4,083 |
|
|
|
|
|
|
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the
Funds’ expenses.
Accord-
ingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year
ended September 30, 2014, can be found on the Statement of Operations and Financial Highlights, respectively.
Investment in Affiliated
Security — The Funds may invest in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. Additionally, the Funds may invest the
cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.
The following is a summary of the
transactions with affiliates for the year ended September 30, 2014 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SEI Liquidity Fund |
|
Purchases
at Cost |
|
|
Proceeds
from Sales |
|
|
Value
9/30/2014 |
|
|
Dividend
Income |
|
| Large Cap Fund |
|
$ |
462,596 |
|
|
$ |
(482,798 |
) |
|
$ |
61,200 |
|
|
$ |
143 |
|
| Large Cap Value Fund |
|
|
403,416 |
|
|
|
(389,420 |
) |
|
|
60,838 |
|
|
|
126 |
|
| Large Cap Growth Fund |
|
|
375,450 |
|
|
|
(457,387 |
) |
|
|
47,417 |
|
|
|
80 |
|
| Tax-Managed Large Cap Fund |
|
|
730,038 |
|
|
|
(749,774 |
) |
|
|
106,036 |
|
|
|
324 |
|
| S&P 500 Index Fund |
|
|
549,541 |
|
|
|
(666,038 |
) |
|
|
54,886 |
|
|
|
106 |
|
| Small Cap Fund |
|
|
126,831 |
|
|
|
(137,962 |
) |
|
|
59,508 |
|
|
|
324 |
|
| Small Cap Value Fund |
|
|
118,175 |
|
|
|
(134,477 |
) |
|
|
49,790 |
|
|
|
253 |
|
| Small Cap Growth Fund |
|
|
121,916 |
|
|
|
(144,058 |
) |
|
|
55,195 |
|
|
|
426 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
218,910 |
|
|
|
(224,692 |
) |
|
|
42,852 |
|
|
|
460 |
|
| Mid-Cap Fund |
|
|
27,280 |
|
|
|
(30,809 |
) |
|
|
3,517 |
|
|
|
8 |
|
| Real Estate Fund |
|
|
93,648 |
|
|
|
(105,374 |
) |
|
|
8,256 |
|
|
|
13 |
|
| Core Fixed Income Fund |
|
|
854,165 |
|
|
|
(843,302 |
) |
|
|
99,758 |
|
|
|
145 |
|
| U.S. Fixed Income Fund |
|
|
470,205 |
|
|
|
(453,753 |
) |
|
|
28,700 |
|
|
|
56 |
|
| High Yield Fund |
|
|
— |
|
|
|
— |
|
|
|
6 |
|
|
|
— |
|
| Real Return Fund |
|
|
46,331 |
|
|
|
(46,331 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
| SDIT Prime Obligation |
|
|
|
|
|
|
|
|
|
|
|
|
| Large Cap Fund |
|
|
1,001,466 |
|
|
|
(947,614 |
) |
|
|
145,995 |
|
|
|
11 |
|
| Large Cap Value Fund |
|
|
402,356 |
|
|
|
(399,820 |
) |
|
|
49,137 |
|
|
|
5 |
|
| Large Cap Growth Fund |
|
|
241,934 |
|
|
|
(260,122 |
) |
|
|
21,336 |
|
|
|
4 |
|
| Tax-Managed Large Cap Fund |
|
|
668,323 |
|
|
|
(611,247 |
) |
|
|
166,898 |
|
|
|
11 |
|
| S&P 500 Index Fund |
|
|
336,968 |
|
|
|
(367,117 |
) |
|
|
13,301 |
|
|
|
3 |
|
| Small Cap Fund |
|
|
247,985 |
|
|
|
(246,225 |
) |
|
|
23,849 |
|
|
|
3 |
|
| Small Cap Value Fund |
|
|
131,122 |
|
|
|
(137,201 |
) |
|
|
14,510 |
|
|
|
2 |
|
| Small Cap Growth Fund |
|
|
111,725 |
|
|
|
(114,443 |
) |
|
|
10,069 |
|
|
|
1 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
202,810 |
|
|
|
(188,105 |
) |
|
|
37,382 |
|
|
|
3 |
|
| Mid-Cap Fund |
|
|
51,676 |
|
|
|
(53,452 |
) |
|
|
4,703 |
|
|
|
— |
|
| U.S. Managed Volatility Fund |
|
|
206,592 |
|
|
|
(218,575 |
) |
|
|
23,784 |
|
|
|
4 |
|
| Global Managed Volatility Fund |
|
|
484,384 |
|
|
|
(446,934 |
) |
|
|
101,853 |
|
|
|
7 |
|
| Tax-Managed Managed Volatility Fund |
|
|
165,780 |
|
|
|
(160,796 |
) |
|
|
41,670 |
|
|
|
3 |
|
| Real Estate Fund |
|
|
89,645 |
|
|
|
(87,569 |
) |
|
|
8,735 |
|
|
|
1 |
|
| Enhanced Income Fund |
|
|
42,984 |
|
|
|
(41,335 |
) |
|
|
3,671 |
|
|
|
— |
|
| Core Fixed Income Fund |
|
|
1,322,069 |
|
|
|
(1,272,032 |
) |
|
|
117,847 |
|
|
|
9 |
|
| U.S. Fixed Income Fund |
|
|
639,904 |
|
|
|
(639,234 |
) |
|
|
65,985 |
|
|
|
6 |
|
| High Yield Fund |
|
|
1,034,811 |
|
|
|
(1,180,199 |
) |
|
|
7,997 |
|
|
|
7 |
|
| Real Return Fund |
|
|
38,535 |
|
|
|
(38,365 |
) |
|
|
295 |
|
|
|
— |
|
| Multi-Strategy Alternative Fund |
|
|
365,322 |
|
|
|
(315,170 |
) |
|
|
65,338 |
|
|
|
— |
|
| Multi-Asset Accumulation Fund |
|
|
260,048 |
|
|
|
(150,000 |
) |
|
|
668,167 |
|
|
|
49 |
|
Affiliated Transactions — On December 19, 2013 and March 31, 2014, the S&P 500 Index Fund
participated in a transaction with an affiliated fund. The Fund sold securities in the amount of $434,575 ($ Thousands) resulting in realized gains of $204,201 ($ Thousands).
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies
registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the
SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase
agreements (“Repo Rate”), and more favorable
to the borrowing fund than the rate of interest that would be charged by a bank for
short-term borrowings (“Bank Loan Rate”). The Bank
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
277 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank
Loan Rate.
During the year ended September 30, 2014, the Trust borrowed funds from the SEI Liquid Asset Trust Prime Obligation Fund. The amount
borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Borrowing
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed |
|
|
Interest
Paid |
|
|
Interest
Rate |
|
| Mid Cap Fund |
|
|
10/10/13 |
|
|
|
10/15/13 |
|
|
$ |
9,151 |
|
|
$ |
— |
|
|
|
0.24 |
% |
| High Yield Bond Fund |
|
|
07/24/14 |
|
|
|
07/28/14 |
|
|
|
15,000 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
07/28/14 |
|
|
|
07/29/14 |
|
|
|
12,190 |
|
|
|
— |
|
|
|
0.27 |
|
| High Yield Bond Fund |
|
|
07/29/14 |
|
|
|
07/30/14 |
|
|
|
44,433 |
|
|
|
— |
|
|
|
0.27 |
|
| High Yield Bond Fund |
|
|
07/30/14 |
|
|
|
07/31/14 |
|
|
|
22,605 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
07/31/14 |
|
|
|
08/01/14 |
|
|
|
33,880 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/01/14 |
|
|
|
08/04/14 |
|
|
|
47,444 |
|
|
|
1 |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/04/14 |
|
|
|
08/05/14 |
|
|
|
48,525 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/05/14 |
|
|
|
08/06/14 |
|
|
|
55,564 |
|
|
|
— |
|
|
|
0.26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Borrowing
Date |
|
|
Maturity
Date |
|
|
Amount
Borrowed |
|
|
Interest
Paid |
|
|
Interest
Rate |
|
| High Yield Bond Fund |
|
|
08/06/14 |
|
|
|
08/07/14 |
|
|
$ |
55,550 |
|
|
$ |
— |
|
|
|
0.26 |
% |
| High Yield Bond Fund |
|
|
08/07/14 |
|
|
|
08/08/14 |
|
|
|
52,898 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/08/14 |
|
|
|
08/11/14 |
|
|
|
18,403 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/11/14 |
|
|
|
08/12/14 |
|
|
|
31,778 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/12/14 |
|
|
|
08/13/14 |
|
|
|
21,615 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/13/14 |
|
|
|
08/14/14 |
|
|
|
20,495 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/14/14 |
|
|
|
08/15/14 |
|
|
|
14,263 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/15/14 |
|
|
|
08/18/14 |
|
|
|
9,159 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
08/18/14 |
|
|
|
08/19/14 |
|
|
|
18,684 |
|
|
|
— |
|
|
|
0.26 |
|
| High Yield Bond Fund |
|
|
09/26/14 |
|
|
|
09/29/14 |
|
|
|
9,274 |
|
|
|
— |
|
|
|
0.22 |
|
| High Yield Bond Fund |
|
|
09/30/14 |
|
|
|
10/01/14 |
|
|
|
14,644 |
|
|
|
— |
|
|
|
0.22 |
|
| Large Cap Fund |
|
|
04/10/14 |
|
|
|
04/11/14 |
|
|
|
7,200 |
|
|
|
— |
|
|
|
0.22 |
|
| Large Cap Value Fund |
|
|
04/08/14 |
|
|
|
04/11/14 |
|
|
|
11,000 |
|
|
|
— |
|
|
|
0.31 |
|
Amounts designated as “—” are $0 or have been rounded to $0.
At September 30, 2014, the Trust had outstanding borrowings of approximately $14,644,000 with an interest rate of 0.22% for the High Yield Bond Fund.
7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years ended September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Large Cap
Fund |
|
|
Large Cap
Value Fund |
|
|
Large Cap
Growth Fund |
|
|
Tax-Managed
Large Cap Fund |
|
|
S&P 500
Index Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
58,637 |
|
|
|
58,079 |
|
|
|
9,334 |
|
|
|
9,070 |
|
|
|
6,140 |
|
|
|
6,231 |
|
|
|
35,888 |
|
|
|
36,203 |
|
|
|
1,469 |
|
|
|
3,033 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
10,338 |
|
|
|
7,221 |
|
|
|
687 |
|
|
|
969 |
|
|
|
1,103 |
|
|
|
190 |
|
|
|
901 |
|
|
|
1,380 |
|
|
|
282 |
|
|
|
129 |
|
| Shares Redeemed |
|
|
(50,023 |
) |
|
|
(36,808 |
) |
|
|
(16,445 |
) |
|
|
(18,816 |
) |
|
|
(8,725 |
) |
|
|
(12,071 |
) |
|
|
(22,769 |
) |
|
|
(29,980 |
) |
|
|
(1,946 |
) |
|
|
(2,961 |
) |
| Total Class A Transactions |
|
|
18,952 |
|
|
|
28,492 |
|
|
|
(6,424 |
) |
|
|
(8,777 |
) |
|
|
(1,482 |
) |
|
|
(5,650 |
) |
|
|
14,020 |
|
|
|
7,603 |
|
|
|
(195 |
) |
|
|
201 |
|
| Class E: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
7,068 |
|
|
|
8,463 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
—
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,941 |
|
|
|
1,201 |
|
| Shares Redeemed |
|
|
—
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(21,099 |
)(1) |
|
|
(23,580 |
) |
| Total Class E Transactions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(12,090 |
) |
|
|
(13,916 |
) |
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
—
|
|
|
|
— |
|
|
|
96 |
|
|
|
123 |
|
|
|
64 |
|
|
|
70 |
|
|
|
— |
|
|
|
— |
|
|
|
47 |
|
|
|
48 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
— |
|
|
|
— |
|
|
|
4 |
|
|
|
4 |
|
|
|
5 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4 |
|
|
|
2 |
|
| Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
(159 |
) |
|
|
(124 |
) |
|
|
(130 |
) |
|
|
(130 |
) |
|
|
— |
|
|
|
— |
|
|
|
(65 |
) |
|
|
(101 |
) |
| Total Class I Transactions |
|
|
— |
|
|
|
— |
|
|
|
(59 |
) |
|
|
3 |
|
|
|
(61 |
) |
|
|
(60 |
) |
|
|
— |
|
|
|
— |
|
|
|
(14 |
) |
|
|
(51 |
) |
| Class T‡: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
29 |
|
|
|
— |
|
|
|
— |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
| Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3 |
) |
|
|
(80 |
) |
|
|
— |
|
|
|
— |
|
| Total Class T‡ Transactions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3 |
) |
|
|
(50 |
) |
|
|
— |
|
|
|
— |
|
| Increase (Decrease) in Share Transactions |
|
|
18,952 |
|
|
|
28,492 |
|
|
|
(6,483 |
) |
|
|
(8,774 |
) |
|
|
(1,543 |
) |
|
|
(5,710 |
) |
|
|
14,017 |
|
|
|
7,553 |
|
|
|
(12,299 |
) |
|
|
(13,766 |
) |
|
|
|
|
|
|
| |
|
Small Cap
Fund |
|
|
Small Cap
Value Fund |
|
|
Small Cap
Growth Fund |
|
|
Tax-Managed
Small/Mid Cap Fund |
|
|
Mid-Cap
Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
13,478 |
|
|
|
12,519 |
|
|
|
1,922 |
|
|
|
3,116 |
|
|
|
1,576 |
|
|
|
2,035 |
|
|
|
8,270 |
|
|
|
8,489 |
|
|
|
1,235 |
|
|
|
2,970 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
1,859 |
|
|
|
1,176 |
|
|
|
205 |
|
|
|
180 |
|
|
|
— |
|
|
|
61 |
|
|
|
1,322 |
|
|
|
101 |
|
|
|
105 |
|
|
|
20 |
|
| Shares Redeemed |
|
|
(9,025 |
) |
|
|
(6,785 |
) |
|
|
(3,317 |
) |
|
|
(8,691 |
) |
|
|
(2,973 |
) |
|
|
(3,961 |
) |
|
|
(5,512 |
) |
|
|
(5,515 |
) |
|
|
(2,298 |
) |
|
|
(3,038 |
) |
| Total Class A Transactions |
|
|
6,312 |
|
|
|
6,910 |
|
|
|
(1,190 |
) |
|
|
(5,395 |
) |
|
|
(1,397 |
) |
|
|
(1,865 |
) |
|
|
4,080 |
|
|
|
3,075 |
|
|
|
(958 |
) |
|
|
(48 |
) |
|
|
|
| 278 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Small Cap
Fund |
|
|
Small Cap
Value Fund |
|
|
Small Cap
Growth Fund |
|
|
Tax-Managed
Small/Mid Cap Fund |
|
|
Mid-Cap
Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
— |
|
|
|
— |
|
|
|
48 |
|
|
|
86 |
|
|
|
72 |
|
|
|
61 |
|
|
|
— |
|
|
|
— |
|
|
|
18 |
|
|
|
40 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
2 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
| Shares Redeemed |
|
|
— |
|
|
|
— |
|
|
|
(105 |
) |
|
|
(99 |
) |
|
|
(95 |
) |
|
|
(67 |
) |
|
|
— |
|
|
|
— |
|
|
|
(41 |
) |
|
|
(33 |
) |
| Total Class I Transactions |
|
|
— |
|
|
|
— |
|
|
|
(55 |
) |
|
|
(11 |
) |
|
|
(23 |
) |
|
|
(6 |
) |
|
|
— |
|
|
|
— |
|
|
|
(21 |
) |
|
|
7 |
|
| Increase (Decrease) in Share Transactions |
|
|
6,312 |
|
|
|
6,910 |
|
|
|
(1,245 |
) |
|
|
(5,406 |
) |
|
|
(1,420 |
) |
|
|
(1,871 |
) |
|
|
4,080 |
|
|
|
3,075 |
|
|
|
(979 |
) |
|
|
(41 |
) |
|
|
|
|
|
|
| |
|
U.S. Managed
Volatility Fund |
|
|
Global Managed
Volatility Fund |
|
|
Tax-Managed
Managed
Volatility Fund |
|
|
Real Estate Fund |
|
|
Enhanced
Income Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
18,835 |
|
|
|
21,727 |
|
|
|
55,338 |
|
|
|
66,254 |
|
|
|
15,996 |
|
|
|
19,656 |
|
|
|
3,725 |
|
|
|
6,276 |
|
|
|
13,321 |
|
|
|
15,366 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
4,189 |
|
|
|
1,119 |
|
|
|
11,679 |
|
|
|
2,476 |
|
|
|
2,236 |
|
|
|
1,750 |
|
|
|
229 |
|
|
|
154 |
|
|
|
435 |
|
|
|
394 |
|
| Shares Redeemed |
|
|
(18,676 |
) |
|
|
(15,468 |
) |
|
|
(36,551 |
) |
|
|
(36,256 |
) |
|
|
(12,989 |
) |
|
|
(11,665 |
) |
|
|
(4,133 |
) |
|
|
(5,737 |
) |
|
|
(8,982 |
) |
|
|
(11,407 |
) |
| Total Class A Transactions |
|
|
4,348 |
|
|
|
7,378 |
|
|
|
30,466 |
|
|
|
32,474 |
|
|
|
5,243 |
|
|
|
9,741 |
|
|
|
(179 |
) |
|
|
693 |
|
|
|
4,774 |
|
|
|
4,353 |
|
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
17 |
|
|
|
50 |
|
|
|
33 |
|
|
|
67 |
|
|
|
— |
|
|
|
— |
|
|
|
13 |
|
|
|
29 |
|
|
|
14 |
|
|
|
64 |
|
| Shares Issued in Lieu of Cash Distributions |
|
|
7 |
|
|
|
1 |
|
|
|
9 |
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
— |
|
|
|
1 |
|
|
|
1 |
|
| Shares Redeemed |
|
|
(28 |
) |
|
|
(25 |
) |
|
|
(38 |
) |
|
|
(13 |
) |
|
|
— |
|
|
|
— |
|
|
|
(14 |
) |
|
|
(33 |
) |
|
|
(14 |
) |
|
|
(26 |
) |
| Total Class I Transactions |
|
|
(4 |
) |
|
|
26 |
|
|
|
4 |
|
|
|
55 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(4 |
) |
|
|
1 |
|
|
|
39 |
|
| Increase (Decrease) in Share Transactions |
|
|
4,344 |
|
|
|
7,404 |
|
|
|
30,470 |
|
|
|
32,529 |
|
|
|
5,243 |
|
|
|
9,741 |
|
|
|
(179 |
) |
|
|
689 |
|
|
|
4,775 |
|
|
|
4,392 |
|
|
|
|
|
|
|
| |
|
Core Fixed
Income Fund |
|
|
U.S. Fixed
Income Fund |
|
|
High Yield
Bond Fund |
|
|
Real
Return Fund |
|
|
Multi-Strategy
Alternative Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
42,012 |
|
|
|
36,858 |
|
|
|
34,182 |
|
|
|
39,382 |
|
|
|
90,268 |
|
|
|
150,061 |
|
|
|
9,092 |
|
|
|
12,838 |
|
|
|
15,994 |
|
|
|
18,147 |
|
| Shares Issued in Lieu of Cash Distributions |
|
|
4,123 |
|
|
|
4,525 |
|
|
|
1,840 |
|
|
|
3,843 |
|
|
|
13,360 |
|
|
|
11,987 |
|
|
|
197 |
|
|
|
702 |
|
|
|
309 |
|
|
|
185 |
|
| Shares Redeemed |
|
|
(38,228 |
) |
|
|
(58,028 |
) |
|
|
(30,480 |
) |
|
|
(25,391 |
) |
|
|
(141,167 |
) |
|
|
(133,750 |
) |
|
|
(11,345 |
) |
|
|
(9,815 |
) |
|
|
(10,327 |
) |
|
|
(9,567 |
) |
| Total Class A Transactions |
|
|
7,907 |
|
|
|
(16,645 |
) |
|
|
5,542 |
|
|
|
17,834 |
|
|
|
(37,539 |
) |
|
|
28,298 |
|
|
|
(2,056 |
) |
|
|
3,725 |
|
|
|
5,976 |
|
|
|
8,765 |
|
| Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
183 |
|
|
|
659 |
|
|
|
— |
|
|
|
— |
|
|
|
1,784 |
|
|
|
5,199 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Shares Issued in Lieu of Cash Distributions |
|
|
19 |
|
|
|
28 |
|
|
|
— |
|
|
|
— |
|
|
|
246 |
|
|
|
36 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Shares Redeemed |
|
|
(549 |
) |
|
|
(710 |
) |
|
|
— |
|
|
|
— |
|
|
|
(6,711 |
) |
|
|
(1,961 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total Class I Transactions |
|
|
(347 |
) |
|
|
(23 |
) |
|
|
— |
|
|
|
— |
|
|
|
(4,681 |
) |
|
|
3,274 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Increase (Decrease) in Share Transactions |
|
|
7,560 |
|
|
|
(16,668 |
) |
|
|
5,542 |
|
|
|
17,834 |
|
|
|
(42,220 |
) |
|
|
31,572 |
|
|
|
(2,056 |
) |
|
|
3,725 |
|
|
|
5,976 |
|
|
|
8,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Multi-Asset
Accumulation
Fund |
|
|
Multi-Asset
Income Fund |
|
|
Multi-Asset
Inflation Managed
Fund |
|
|
Multi-Asset
Capital Stability
Fund |
|
| |
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
|
2014 |
|
|
2013 |
|
| Class A: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Issued |
|
|
61,372 |
|
|
|
65,577 |
|
|
|
37,401 |
|
|
|
20,859 |
|
|
|
36,793 |
|
|
|
41,546 |
|
|
|
19,632 |
|
|
|
26,979 |
|
| Shares Issued in Lieu of
Cash Distributions |
|
|
4,168 |
|
|
|
2,832 |
|
|
|
1,620 |
|
|
|
638 |
|
|
|
— |
|
|
|
270 |
|
|
|
97 |
|
|
|
253 |
|
| Shares Redeemed |
|
|
(31,636 |
) |
|
|
(22,396 |
) |
|
|
(9,850 |
) |
|
|
(7,937 |
) |
|
|
(19,793 |
) |
|
|
(13,977 |
) |
|
|
(15,893 |
) |
|
|
(12,565 |
) |
| Total Class A Transactions |
|
|
33,904 |
|
|
|
46,013 |
|
|
|
29,171 |
|
|
|
13,560 |
|
|
|
17,000 |
|
|
|
27,839 |
|
|
|
3,836 |
|
|
|
14,667 |
|
| Increase in Share Transactions |
|
|
33,904 |
|
|
|
46,013 |
|
|
|
29,171 |
|
|
|
13,560 |
|
|
|
17,000 |
|
|
|
27,839 |
|
|
|
3,836 |
|
|
|
14,667 |
|
| (1) |
|
Includes redemptions as a result of affiliated transactions (see Note 6). |
| ‡ |
|
Effective August 7, 2014, the Class Y shares were redesignated as Class T shares. This share class name change had no impact on the Fund’s operations or investment
policy. |
Amounts designated as “—” are zero or have been rounded to zero.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
279 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2014, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
U.S. Gov’t
($ Thousands) |
|
|
Other
($ Thousands) |
|
|
Total
($ Thousands) |
|
| Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
$ |
— |
|
|
$ |
1,373,004 |
|
|
$ |
1,373,004 |
|
| Sales |
|
|
— |
|
|
|
1,281,208 |
|
|
|
1,281,208 |
|
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
861,573 |
|
|
|
861,573 |
|
| Sales |
|
|
— |
|
|
|
1,019,830 |
|
|
|
1,019,830 |
|
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
908,180 |
|
|
|
908,180 |
|
| Sales |
|
|
— |
|
|
|
966,039 |
|
|
|
966,039 |
|
| Tax-Managed Large Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
1,268,251 |
|
|
|
1,268,251 |
|
| Sales |
|
|
— |
|
|
|
1,046,907 |
|
|
|
1,046,907 |
|
| S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
279,340 |
|
|
|
279,340 |
|
| Sales |
|
|
— |
|
|
|
938,141 |
|
|
|
938,141 |
|
| Small Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
363,582 |
|
|
|
363,582 |
|
| Sales |
|
|
— |
|
|
|
312,346 |
|
|
|
312,346 |
|
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
200,886 |
|
|
|
200,886 |
|
| Sales |
|
|
— |
|
|
|
228,830 |
|
|
|
228,830 |
|
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
241,072 |
|
|
|
241,072 |
|
| Sales |
|
|
— |
|
|
|
276,655 |
|
|
|
276,655 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
344,823 |
|
|
|
344,823 |
|
| Sales |
|
|
— |
|
|
|
315,160 |
|
|
|
315,160 |
|
| Mid-Cap Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
63,586 |
|
|
|
63,586 |
|
| Sales |
|
|
— |
|
|
|
85,943 |
|
|
|
85,943 |
|
| U.S. Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
678,210 |
|
|
|
678,210 |
|
| Sales |
|
|
— |
|
|
|
654,824 |
|
|
|
654,824 |
|
| Global Managed Volatility Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
1,289,166 |
|
|
|
1,289,166 |
|
| Sales |
|
|
— |
|
|
|
1,002,592 |
|
|
|
1,002,592 |
|
| Tax-Managed Managed Volatility |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
425,943 |
|
|
|
425,943 |
|
| Sales |
|
|
— |
|
|
|
383,414 |
|
|
|
383,414 |
|
| Real Estate Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
118,674 |
|
|
|
118,674 |
|
| Sales |
|
|
— |
|
|
|
123,970 |
|
|
|
123,970 |
|
| Enhanced Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
71,467 |
|
|
|
70,374 |
|
|
|
141,841 |
|
| Sales |
|
|
63,909 |
|
|
|
56,197 |
|
|
|
120,106 |
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
5,953,121 |
|
|
|
673,233 |
|
|
|
6,626,354 |
|
| Sales |
|
|
5,847,980 |
|
|
|
700,375 |
|
|
|
6,548,355 |
|
| U.S Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
3,271,751 |
|
|
|
305,271 |
|
|
|
3,577,022 |
|
| Sales |
|
|
3,223,877 |
|
|
|
283,126 |
|
|
|
3,507,003 |
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
1,186,299 |
|
|
|
1,186,299 |
|
| Sales |
|
|
— |
|
|
|
1,359,232 |
|
|
|
1,359,232 |
|
| Real Return Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
99,692 |
|
|
|
— |
|
|
|
99,692 |
|
| Sales |
|
|
121,347 |
|
|
|
— |
|
|
|
121,347 |
|
| Multi-Strategy Alternative Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
— |
|
|
|
373,128 |
|
|
|
373,128 |
|
| Sales |
|
|
— |
|
|
|
317,991 |
|
|
|
317,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
U.S. Gov’t
($ Thousands) |
|
|
Other
($ Thousands) |
|
|
Total
($ Thousands) |
|
| Multi-Asset Accumulation Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
$ |
464,878 |
|
|
$ |
383,940 |
|
|
$ |
848,818 |
|
| Sales |
|
|
376,637 |
|
|
|
333,305 |
|
|
|
709,942 |
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
2,429 |
|
|
|
309,599 |
|
|
|
312,028 |
|
| Sales |
|
|
1,903 |
|
|
|
204,086 |
|
|
|
205,989 |
|
| Multi-Asset Inflation Managed Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
2,429 |
|
|
|
893,576 |
|
|
|
896,005 |
|
| Sales |
|
|
1,903 |
|
|
|
1,062,708 |
|
|
|
1,064,611 |
|
| Multi-Asset Capital Stability Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| Purchases |
|
|
245,784 |
|
|
|
95,676 |
|
|
|
341,460 |
|
| Sales |
|
|
231,110 |
|
|
|
84,220 |
|
|
|
315,330 |
|
9. 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.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have
each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be
“qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.
In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which
principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to issue public guidance regarding the use of
controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying
income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the
treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Multi-Asset Accumulation
and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income.” If the IRS does issue public guidance that
results in an adverse determination relating to the treatment of income and gain to the Funds from controlled foreign corporations such as the Subsidiaries, the Funds would likely need to significantly change their investment strategies, which could
adversely affect such Funds.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative
as of September 30, 2014, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2013. Accordingly, the
|
|
|
| 280 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ending December 31, 2014.
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 U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to
paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, investments in
swaps, investments in passive foreign investment companies, investments in partnerships, distribution reclassification, net operating losses, REIT income reclassification and foreign currency translations have been reclassified to/from the following
accounts as of September 30, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid-in-
Capital
($ Thousands) |
|
|
Undistributed
Net Investment
Income/(Loss)
($
Thousands) |
|
|
Accumulated
Realized
Gain/(loss)
($ Thousands) |
|
| Large Cap Fund |
|
$ |
— |
|
|
$ |
(28 |
) |
|
$ |
28 |
|
| Large Cap Value Fund |
|
|
(2 |
) |
|
|
(405 |
) |
|
|
407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid-in-
Capital
($ Thousands) |
|
|
Undistributed
Net Investment
Income/(Loss)
($
Thousands) |
|
|
Accumulated
Realized
Gain/(loss)
($ Thousands) |
|
| Large Cap Growth Fund |
|
$ |
— |
|
|
$ |
17 |
|
|
$ |
(17 |
) |
| Tax-Managed Large Cap Fund |
|
|
— |
|
|
|
25 |
|
|
|
(25 |
) |
| S&P 500 Index Fund |
|
|
203,033 |
|
|
|
202 |
|
|
|
(203,235 |
) |
| Small Cap Fund |
|
|
— |
|
|
|
1,493 |
|
|
|
(1,493 |
) |
| Small Cap Value Fund |
|
|
— |
|
|
|
742 |
|
|
|
(742 |
) |
| Small Cap Growth Fund |
|
|
(1,833 |
) |
|
|
1,863 |
|
|
|
(30 |
) |
| Tax-Managed Small/Mid Cap Fund |
|
|
— |
|
|
|
159 |
|
|
|
(159 |
) |
| Mid-Cap Fund |
|
|
— |
|
|
|
44 |
|
|
|
(44 |
) |
| U.S. Managed Volatility |
|
|
— |
|
|
|
141 |
|
|
|
(141 |
) |
| Global Managed Volatility Fund |
|
|
— |
|
|
|
45,869 |
|
|
|
(45,869 |
) |
| Tax-Managed Managed Volatility Fund |
|
|
— |
|
|
|
82 |
|
|
|
(82 |
) |
| Real Estate Fund |
|
|
— |
|
|
|
13 |
|
|
|
(13 |
) |
| Enhanced Income Fund |
|
|
— |
|
|
|
(70 |
) |
|
|
70 |
|
| Core Fixed Income Fund |
|
|
— |
|
|
|
1,223 |
|
|
|
(1,223 |
) |
| U.S. Fixed Income Fund |
|
|
— |
|
|
|
691 |
|
|
|
(691 |
) |
| High Yield Bond Fund |
|
|
— |
|
|
|
(6,862 |
) |
|
|
6,862 |
|
| Real Return Fund |
|
|
— |
|
|
|
(2 |
) |
|
|
2 |
|
| Multi-Strategy Alternative Fund |
|
|
— |
|
|
|
(132 |
) |
|
|
132 |
|
| Multi-Asset Accumulation Fund |
|
|
2,701 |
|
|
|
15,626 |
|
|
|
(18,327 |
) |
| Multi-Asset Income Fund |
|
|
— |
|
|
|
(667 |
) |
|
|
667 |
|
| Multi-Asset Inflation Managed Fund |
|
|
(14,380 |
) |
|
|
2,171 |
|
|
|
12,209 |
|
| Multi-Asset Capital Stability Fund |
|
|
— |
|
|
|
299 |
|
|
|
(299 |
) |
The tax character of dividends and
distributions paid during the fiscal years ended September 30, 2014 and September 30, 2013 (unless otherwise indicated) was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Ordinary Income
($ Thousands) |
|
|
Long-Term Capital Gain
($
Thousands) |
|
|
Return of Capital
($ Thousands) |
|
|
Total
($ Thousands) |
|
| Large Cap Fund |
|
|
2014 |
|
|
$ |
48,424 |
|
|
$ |
112,776 |
|
|
$ |
— |
|
|
$ |
161,200 |
|
|
|
|
2013 |
|
|
|
34,159 |
|
|
|
60,066 |
|
|
|
— |
|
|
|
94,225 |
|
| Large Cap Value Fund |
|
|
2014 |
|
|
|
17,900 |
|
|
|
— |
|
|
|
— |
|
|
|
17,900 |
|
|
|
|
2013 |
|
|
|
20,018 |
|
|
|
— |
|
|
|
— |
|
|
|
20,018 |
|
| Large Cap Growth Fund |
|
|
2014 |
|
|
|
12,795 |
|
|
|
24,647 |
|
|
|
— |
|
|
|
37,442 |
|
|
|
|
2013 |
|
|
|
5,306 |
|
|
|
— |
|
|
|
— |
|
|
|
5,306 |
|
| Tax-Managed Large Cap Fund |
|
|
2014 |
|
|
|
18,676 |
|
|
|
— |
|
|
|
— |
|
|
|
18,676 |
|
|
|
|
2013 |
|
|
|
22,249 |
|
|
|
— |
|
|
|
— |
|
|
|
22,249 |
|
| S&P 500 Index Fund |
|
|
2014 |
|
|
|
50,107 |
|
|
|
62,316 |
|
|
|
— |
|
|
|
112,423 |
|
|
|
|
2013 |
|
|
|
56,490 |
|
|
|
— |
|
|
|
— |
|
|
|
56,490 |
|
| Small Cap Fund |
|
|
2014 |
|
|
|
8,310 |
|
|
|
19,642 |
|
|
|
— |
|
|
|
27,952 |
|
|
|
|
2013 |
|
|
|
1,273 |
|
|
|
12,487 |
|
|
|
— |
|
|
|
13,760 |
|
| Small Cap Value Fund |
|
|
2014 |
|
|
|
2,246 |
|
|
|
3,291 |
|
|
|
— |
|
|
|
5,537 |
|
|
|
|
2013 |
|
|
|
3,790 |
|
|
|
— |
|
|
|
— |
|
|
|
3,790 |
|
| Small Cap Growth Fund |
|
|
2014 |
|
|
|
10 |
|
|
|
— |
|
|
|
— |
|
|
|
10 |
|
|
|
|
2013 |
|
|
|
1,207 |
|
|
|
— |
|
|
|
— |
|
|
|
1,207 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
2014 |
|
|
|
2,853 |
|
|
|
22,632 |
|
|
|
— |
|
|
|
25,485 |
|
|
|
|
2013 |
|
|
|
1,558 |
|
|
|
— |
|
|
|
— |
|
|
|
1,558 |
|
| Mid-Cap Fund |
|
|
2014 |
|
|
|
556 |
|
|
|
2,459 |
|
|
|
— |
|
|
|
3,015 |
|
|
|
|
2013 |
|
|
|
626 |
|
|
|
— |
|
|
|
— |
|
|
|
626 |
|
| U.S. Managed Volatility Fund |
|
|
2014 |
|
|
|
25,724 |
|
|
|
52,498 |
|
|
|
— |
|
|
|
78,222 |
|
|
|
|
2013 |
|
|
|
13,192 |
|
|
|
5,513 |
|
|
|
— |
|
|
|
18,705 |
|
| Global Managed Volatility Fund |
|
|
2014 |
|
|
|
79,214 |
|
|
|
55,211 |
|
|
|
— |
|
|
|
134,425 |
|
|
|
|
2013 |
|
|
|
26,164 |
|
|
|
— |
|
|
|
— |
|
|
|
26,164 |
|
| Tax- Managed Managed Volatility Fund |
|
|
2014 |
|
|
|
13,556 |
|
|
|
21,058 |
|
|
|
— |
|
|
|
34,614 |
|
|
|
|
2013 |
|
|
|
11,340 |
|
|
|
11,647 |
|
|
|
— |
|
|
|
22,987 |
|
| Real Estate Fund |
|
|
2014 |
|
|
|
3,907 |
|
|
|
— |
|
|
|
— |
|
|
|
3,907 |
|
|
|
|
2013 |
|
|
|
2,455 |
|
|
|
— |
|
|
|
— |
|
|
|
2,455 |
|
| Enhanced Income Fund |
|
|
2014 |
|
|
|
3,808 |
|
|
|
— |
|
|
|
— |
|
|
|
3,808 |
|
|
|
|
2013 |
|
|
|
3,334 |
|
|
|
— |
|
|
|
— |
|
|
|
3,334 |
|
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
281 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Ordinary Income
($ Thousands) |
|
|
Long-Term Capital Gain
($
Thousands) |
|
|
Return of Capital
($ Thousands) |
|
|
Total
($ Thousands) |
|
| Core Fixed Income Fund |
|
|
2014 |
|
|
$ |
52,653 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,653 |
|
|
|
|
2013 |
|
|
|
58,329 |
|
|
|
— |
|
|
|
— |
|
|
|
58,329 |
|
| U.S. Fixed Income Fund |
|
|
2014 |
|
|
|
21,901 |
|
|
|
— |
|
|
|
— |
|
|
|
21,901 |
|
|
|
|
2013 |
|
|
|
43,328 |
|
|
|
3,324 |
|
|
|
— |
|
|
|
46,652 |
|
| High Yield Bond Fund |
|
|
2014 |
|
|
|
124,482 |
|
|
|
— |
|
|
|
— |
|
|
|
124,482 |
|
|
|
|
2013 |
|
|
|
112,692 |
|
|
|
— |
|
|
|
— |
|
|
|
112,692 |
|
| Real Return Fund |
|
|
2014 |
|
|
|
1,274 |
|
|
|
1,056 |
|
|
|
— |
|
|
|
2,330 |
|
|
|
|
2013 |
|
|
|
8,291 |
|
|
|
— |
|
|
|
— |
|
|
|
8,291 |
|
| Multi-Strategy Alternative Fund |
|
|
2014 |
|
|
|
3,459 |
|
|
|
— |
|
|
|
— |
|
|
|
3,459 |
|
|
|
|
2013 |
|
|
|
1,930 |
|
|
|
— |
|
|
|
— |
|
|
|
1,930 |
|
| Multi-Asset Accumulation Fund |
|
|
2014 |
|
|
|
15,631 |
|
|
|
31,034 |
|
|
|
— |
|
|
|
46,665 |
|
|
|
|
2013 |
|
|
|
24,477 |
|
|
|
7,602 |
|
|
|
— |
|
|
|
32,079 |
|
| Multi-Asset Income Fund |
|
|
2014 |
|
|
|
20,220 |
|
|
|
1,033 |
|
|
|
— |
|
|
|
21,253 |
|
|
|
|
2013 |
|
|
|
8,719 |
|
|
|
— |
|
|
|
— |
|
|
|
8,719 |
|
| Multi-Asset Inflation Managed Fund |
|
|
2014 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
2013 |
|
|
|
2,918 |
|
|
|
93 |
|
|
|
— |
|
|
|
3,011 |
|
| Multi-Asset Capital Stability Fund |
|
|
2014 |
|
|
|
69 |
|
|
|
1,110 |
|
|
|
— |
|
|
|
1,179 |
|
|
|
|
2013 |
|
|
|
1,266 |
|
|
|
1,703 |
|
|
|
— |
|
|
|
2,969 |
|
As of September 30, 2014, the components of Distributable Earnings/(Accumulated Losses) were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Undistributed
Ordinary
Income
($ Thousands) |
|
|
Undistributed
Long-Term
Capital Gain
($ Thousands) |
|
|
Capital Loss
Carryforwards
($ Thousands) |
|
|
Post October
Losses
($ Thousands) |
|
|
Late-Year
Loss Deferral
($ Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
|
Other
Temporary
Differences
($ Thousands) |
|
|
Total Distributable
Earnings
(Accumulated Losses)
($
Thousands) |
|
| Large Cap Fund |
|
$ |
33,546 |
|
|
$ |
152,458 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
582,149 |
|
|
$ |
1,291 |
|
|
$ |
769,444 |
|
| Large Cap Value Fund |
|
|
3,818 |
|
|
|
88,201 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
274,268 |
|
|
|
500 |
|
|
|
366,787 |
|
| Large Cap Growth Fund |
|
|
31,505 |
|
|
|
78,371 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
328,725 |
|
|
|
214 |
|
|
|
438,815 |
|
| Tax-Managed Large Cap Fund |
|
|
3,507 |
|
|
|
— |
|
|
|
(192,917 |
) |
|
|
(33,478 |
) |
|
|
— |
|
|
|
1,128,227 |
|
|
|
1,356 |
|
|
|
906,695 |
|
| S&P 500 Index Fund |
|
|
13,928 |
|
|
|
114,753 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,458,905 |
|
|
|
141 |
|
|
|
1,587,727 |
|
| Small Cap Fund |
|
|
7,390 |
|
|
|
31,965 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
58,225 |
|
|
|
456 |
|
|
|
98,036 |
|
| Small Cap Value Fund |
|
|
7,648 |
|
|
|
21,527 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
30,301 |
|
|
|
367 |
|
|
|
59,843 |
|
| Small Cap Growth Fund |
|
|
— |
|
|
|
— |
|
|
|
(79,469 |
) |
|
|
— |
|
|
|
(1,589 |
) |
|
|
28,059 |
|
|
|
114 |
|
|
|
(52,885 |
) |
| Tax-Managed Small/Mid Cap Fund |
|
|
— |
|
|
|
5,867 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
138,680 |
|
|
|
974 |
|
|
|
145,521 |
|
| Mid-Cap Fund |
|
|
3,840 |
|
|
|
3,860 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,704 |
|
|
|
— |
|
|
|
20,404 |
|
| U.S. Managed Volatility Fund |
|
|
30,032 |
|
|
|
69,607 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
178,940 |
|
|
|
87 |
|
|
|
278,666 |
|
| Global Managed Volatility Fund |
|
|
101,709 |
|
|
|
75,794 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
113,595 |
|
|
|
(6,975 |
) |
|
|
284,123 |
|
| Tax-Managed Managed Volatility Fund |
|
|
5,831 |
|
|
|
43,574 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
171,579 |
|
|
|
251 |
|
|
|
221,235 |
|
| Real Estate Fund |
|
|
1,673 |
|
|
|
5,798 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
24,309 |
|
|
|
(4 |
) |
|
|
31,776 |
|
| Enhanced Income Fund |
|
|
1,108 |
|
|
|
— |
|
|
|
(123,600 |
) |
|
|
(1,746 |
) |
|
|
— |
|
|
|
(1,805 |
) |
|
|
(31 |
) |
|
|
(126,074 |
) |
| Core Fixed Income Fund |
|
|
1,942 |
|
|
|
— |
|
|
|
(11,883 |
) |
|
|
— |
|
|
|
— |
|
|
|
39,235 |
|
|
|
(11,123 |
) |
|
|
18,171 |
|
| U.S. Fixed Income Fund |
|
|
2,027 |
|
|
|
— |
|
|
|
— |
|
|
|
(634 |
) |
|
|
— |
|
|
|
27,099 |
|
|
|
(8,691 |
) |
|
|
19,801 |
|
| High Yield Bond Fund |
|
|
18,034 |
|
|
|
— |
|
|
|
(35,901 |
) |
|
|
— |
|
|
|
— |
|
|
|
(21,495 |
) |
|
|
(10,026 |
) |
|
|
(49,388 |
) |
| Real Return Fund |
|
|
343 |
|
|
|
— |
|
|
|
(953 |
) |
|
|
(1,021 |
) |
|
|
— |
|
|
|
(4,413 |
) |
|
|
(216 |
) |
|
|
(6,260 |
) |
| Multi-Strategy Alternative Fund |
|
|
1,115 |
|
|
|
— |
|
|
|
(4,016 |
) |
|
|
— |
|
|
|
— |
|
|
|
10,561 |
|
|
|
— |
|
|
|
7,660 |
|
| Multi-Asset Accumulation Fund |
|
|
105,936 |
|
|
|
48,227 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(53,689 |
) |
|
|
8,773 |
|
|
|
109,247 |
|
| Multi-Asset Income Fund |
|
|
5,511 |
|
|
|
1,430 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3,829 |
) |
|
|
(2,596 |
) |
|
|
516 |
|
| Multi-Asset Inflation Managed Fund |
|
|
— |
|
|
|
— |
|
|
|
(25,639 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,993 |
) |
|
|
(1,294 |
) |
|
|
(29,926 |
) |
| Multi-Asset Capital Stability Fund |
|
|
4,774 |
|
|
|
4,282 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,550 |
|
|
|
(625 |
) |
|
|
10,981 |
|
Post October losses represent losses realized on investment transactions from November 1, 2013 through
September 30, 2014 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. Deferred Late-Year Losses represent ordinary losses realized on investment transactions
from January 1, 2014 through September 30, 2014 and specified losses realized on investment transactions from November 1, 2013 through September 30, 2014, that, in accordance with Federal income tax regulations, the Fund defers and treats as having
arisen in the following fiscal year.
|
|
|
| 282 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Expires 2019
($ Thousands) |
|
|
Expires 2018
($ Thousands) |
|
|
Expires 2017
($ Thousands) |
|
|
Expires 2016
($ Thousands) |
|
|
Expires 2015
($ Thousands) |
|
|
Total Capital
Loss
Carryforwards
($ Thousands) |
|
| Tax-Managed Large Cap Fund |
|
$ |
— |
|
|
$ |
192,917 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
192,917 |
|
| Small Cap Growth Fund |
|
|
— |
|
|
|
79,469 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
79,469 |
|
| Real Estate Fund* |
|
|
— |
|
|
|
— |
|
|
|
7,723 |
|
|
|
— |
|
|
|
— |
|
|
|
7,723 |
|
| Enhanced Income Fund |
|
|
26,775 |
|
|
|
61,656 |
|
|
|
31,834 |
|
|
|
3,335 |
|
|
|
— |
|
|
|
123,600 |
|
| High Yield Bond Fund |
|
|
— |
|
|
|
3,086 |
|
|
|
32,815 |
|
|
|
— |
|
|
|
— |
|
|
|
35,901 |
|
| Multi-Strategy Alternative Fund |
|
|
1,945 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,945 |
|
| * |
|
Balance as of December 31, 2013, the Fund’s tax year end. |
Under the Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward
capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years are required to be utilized prior to the losses incurred in pre-enactment taxable
years. As a result of this ordering rule, pre-enactment capital loss carryforwards are more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term
capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Short-Term
Loss |
|
|
Long-Term
Loss |
|
|
Total* |
|
| Core Fixed Income Fund |
|
$ |
— |
|
|
$ |
11,883 |
|
|
$ |
11,883 |
|
| Real Return Fund |
|
|
951 |
|
|
|
2 |
|
|
|
953 |
|
| Multi-Strategy Alternative Fund |
|
|
1,639 |
|
|
|
432 |
|
|
|
2,071 |
|
| Multi-Asset Inflation Managed Fund |
|
|
8,244 |
|
|
|
17,395 |
|
|
|
25,639 |
|
| * |
|
This table should be used in conjuction with the capital loss carryforwards table. |
During the fiscal year ended September 30, 2014, the following Funds utilized capital loss carryforward to offset capital gains and/or had expired capital loss carryforwards:
|
|
|
|
|
|
|
|
|
| |
|
Utilized
Capital Loss
Carryforwards
($ Thousands) |
|
|
Expired
Capital Loss
Carryforwards
($ Thousands) |
|
| Large Cap Value Fund |
|
|
$107,382 |
|
|
$ |
— |
|
| Tax-Managed Large Cap Fund |
|
|
81,129 |
|
|
|
— |
|
| Small Cap Value Fund |
|
|
2,868 |
|
|
|
— |
|
| Small Cap Growth Fund |
|
|
51,633 |
|
|
|
— |
|
| Mid-Cap Fund |
|
|
952 |
|
|
|
— |
|
| Enhanced Income Fund |
|
|
175 |
|
|
|
— |
|
| Core Fixed Income Fund |
|
|
15,667 |
|
|
|
— |
|
| High Yield Fund |
|
|
54,205 |
|
|
|
— |
|
For Federal income tax purposes, the cost of securities owned at September 30, 2014, 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 investments in partnerships that captures losses from other securities, and wash sales which cannot be used for Federal
income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2014, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Federal Tax Cost
($ Thousands) |
|
|
Appreciated
Securities
($ Thousands) |
|
|
Depreciated
Securities
($ Thousands) |
|
|
Net
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Large Cap Fund |
|
$ |
2,063,818 |
|
|
$ |
628,115 |
|
|
$ |
(44,672 |
) |
|
$ |
583,443 |
|
| Large Cap Value Fund |
|
|
1,320,499 |
|
|
|
332,988 |
|
|
|
(58,218 |
) |
|
|
274,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Federal Tax Cost
($ Thousands) |
|
|
Appreciated
Securities
($ Thousands) |
|
|
Depreciated
Securities
($ Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| Large Cap Growth Fund |
|
$ |
1,280,758 |
|
|
$ |
353,580 |
|
|
$ |
(24,643 |
) |
|
$ |
328,937 |
|
| Tax-Managed Large Cap Fund |
|
|
2,071,773 |
|
|
|
1,167,265 |
|
|
|
(37,682 |
) |
|
|
1,129,583 |
|
| S&P 500 Index Fund |
|
|
1,063,112 |
|
|
|
1,472,857 |
|
|
|
(13,817 |
) |
|
|
1,459,040 |
|
| Small Cap Fund |
|
|
483,706 |
|
|
|
84,367 |
|
|
|
(25,685 |
) |
|
|
58,682 |
|
| Small Cap Value Fund |
|
|
398,127 |
|
|
|
60,815 |
|
|
|
(30,144 |
) |
|
|
30,671 |
|
| Small Cap Growth Fund |
|
|
365,110 |
|
|
|
54,646 |
|
|
|
(26,472 |
) |
|
|
28,174 |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
476,740 |
|
|
|
145,494 |
|
|
|
(5,839 |
) |
|
|
139,655 |
|
| Mid-Cap Fund |
|
|
89,515 |
|
|
|
15,440 |
|
|
|
(2,736 |
) |
|
|
12,704 |
|
| U.S. Managed Volatility Fund |
|
|
825,854 |
|
|
|
194,281 |
|
|
|
(15,245 |
) |
|
|
179,036 |
|
| Global Managed Volatility Fund |
|
|
1,689,532 |
|
|
|
154,266 |
|
|
|
(48,182 |
) |
|
|
106,084 |
|
| Tax-Managed Managed Volatility Fund |
|
|
591,238 |
|
|
|
179,074 |
|
|
|
(7,235 |
) |
|
|
171,839 |
|
| Real Estate Fund |
|
|
209,747 |
|
|
|
30,728 |
|
|
|
(6,419 |
) |
|
|
24,309 |
|
| Enhanced Income Fund |
|
|
239,350 |
|
|
|
735 |
|
|
|
(2,570 |
) |
|
|
(1,835 |
) |
| Core Fixed Income Fund |
|
|
2,346,671 |
|
|
|
83,790 |
|
|
|
(45,805 |
) |
|
|
37,985 |
|
| U.S. Fixed Income Fund |
|
|
1,202,188 |
|
|
|
33,882 |
|
|
|
(7,196 |
) |
|
|
26,686 |
|
| High Yield Bond Fund |
|
|
1,705,879 |
|
|
|
42,536 |
|
|
|
(64,127 |
) |
|
|
(21,591 |
) |
| Real Return Fund |
|
|
288,915 |
|
|
|
218 |
|
|
|
(4,631 |
) |
|
|
(4,413 |
) |
| Multi-Strategy Alternative Fund |
|
|
527,067 |
|
|
|
12,575 |
|
|
|
(2,014 |
) |
|
|
10,561 |
|
| Multi-Asset Accumulation Fund |
|
|
1,776,179 |
|
|
|
25,293 |
|
|
|
(20,677 |
) |
|
|
4,616 |
|
| Multi-Asset Income Fund |
|
|
545,093 |
|
|
|
6,613 |
|
|
|
(8,182 |
) |
|
|
(1,569 |
) |
| Multi-Asset Inflation Managed Fund |
|
|
1,072,335 |
|
|
|
19,462 |
|
|
|
(16,928 |
) |
|
|
2,534 |
|
| Multi-Asset Capital Stability Fund |
|
|
537,270 |
|
|
|
4,742 |
|
|
|
(1,064 |
) |
|
|
3,678 |
|
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has
concluded that as of September 30, 2014, no provision for income tax would be required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes
of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
10. SECURITIES
LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit
requirements
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
283 |
|
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2014
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 between 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 the SEI Liquidity Fund L.P., and the Fund bears all of
the gains and losses on such investment. There is no guarantee that these investments will not lose value.
The following is a summary of
securities lending agreements held by certain Funds which would be subject to offset as of September 30, 2014 (in $ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Securities
Loaned
at Value |
|
|
Cash
Collateral
Received(1) |
|
|
Net
Amount |
|
| Large Cap Fund |
|
$ |
58,715 |
|
|
$ |
58,715 |
|
|
$ |
— |
|
| Large Cap Value Fund |
|
|
58,714 |
|
|
|
58,714 |
|
|
|
— |
|
| Large Cap Growth Fund |
|
|
46,000 |
|
|
|
46,000 |
|
|
|
— |
|
| Tax-Managed Large Cap Fund |
|
|
101,757 |
|
|
|
101,757 |
|
|
|
— |
|
| S&P 500 Index Fund |
|
|
53,007 |
|
|
|
53,007 |
|
|
|
— |
|
| Small Cap Fund |
|
|
56,717 |
|
|
|
56,717 |
|
|
|
— |
|
| Small Cap Value Fund |
|
|
47,343 |
|
|
|
47,343 |
|
|
|
— |
|
| Small Cap Growth Fund |
|
|
52,772 |
|
|
|
52,772 |
|
|
|
— |
|
| Tax-Managed Small/Mid Cap Fund |
|
|
41,356 |
|
|
|
41,356 |
|
|
|
— |
|
| Mid-Cap Fund |
|
|
3,393 |
|
|
|
3,393 |
|
|
|
— |
|
| Real Estate Fund |
|
|
7,996 |
|
|
|
7,996 |
|
|
|
— |
|
| Core Fixed Income Fund |
|
|
97,187 |
|
|
|
97,187 |
|
|
|
— |
|
| U.S. Fixed Income Fund |
|
|
27,900 |
|
|
|
27,900 |
|
|
|
— |
|
| High Yield Bond Fund |
|
|
6 |
|
|
|
6 |
|
|
|
— |
|
| (1) |
|
Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Summary
Schedule of Investments or Schedule of Investments for the total collateral received. |
11. CONCENTRATIONS/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The
Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is
considered remote.
In the normal course of business, the Multi-Strategy Alternative Fund invests substantially in underlying
funds that are comprised of fixed income and equity securities in specific industries and that may engage in short selling activities, writing option contracts, and equity swaps, and therefore, the Fund may be affected by events in these industries.
The Fund’s Prospectus provides a description of risks associated with the different investments in the underlying affiliated investment companies.
In the normal course of business, the Multi-Asset Funds’ invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically
associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective
countries. The Funds’ Prospectus provides a description of the risk associated with the different investments.
The market values of the Core
Fixed Income, U.S. Fixed Income, High Yield Bond and Multi-Asset 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.
The following descriptions provide additional information about some of
the risks of investing in the Funds:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is
dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — Due to the Fund’s active positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate
in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments
in the United States or abroad.
Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic
developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if
interest rates rise and vice versa. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.
|
|
|
| 284 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to
additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market
countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Interest Rate Risk
— The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest
investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase
more rapidly.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected by, among other things, interest rate changes
and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. Please refer to the Funds current prospectus for a
comprehensive discussion of the risks associated with investing in the Funds.
The foregoing is not intended to be a complete discussion of the
risks associated with investing in a Fund. Please review each Fund’s
current prospectus for additional disclosures regarding the principal
risks associated with investing in a Fund.
12. IN-KIND TRANSACTIONS
During the year ended September 30, 2014, the S&P Index Fund participated in a transaction with an affiliated fund. The Fund sold securities at their current value on the date of the transaction.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Transaction Date |
|
|
Shares Redeemed
(Thousands) |
|
|
Value
($ Thousands) |
|
|
Cash
($ Thousands) |
|
|
Gain
($ Thousands) |
|
| |
12/19/2013 |
|
|
|
5,658 |
|
|
$ |
252,371 |
|
|
$ |
24,437 |
|
|
$ |
189,080 |
|
| |
03/31/2014 |
|
|
|
3,131 |
|
|
|
151,190 |
|
|
|
6,577 |
|
|
|
15,121 |
|
13. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued.
Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of November 26, 2014 except for the disclosure included in Note 6 relating to a change in Fund expenses effective October 1, 2014.
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
285 |
|
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the
accompanying statements of assets and liabilities of SEI Institutional Managed Trust (the Trust), comprised of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small
Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap 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,
U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund and the Multi-Asset Capital Stability Fund (twenty-two of the twenty-four funds comprising the Trust), including the schedules
of investments and summary schedules of investments, as of September 30, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, the
statement of cash flows for the year then ended for the Multi-Asset Income Fund, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of
assets and liabilities of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-four funds comprising the Trust), including the consolidated schedules of investments, as of September 30, 2014, and the
related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for
the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the three-year period then ended. These financial statements and consolidated financial statements and financial highlights and
consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial
highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30,
2014, by correspondence with the custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements
and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust
as of September 30, 2014, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for the years or periods described in the first paragraph, in conformity with U.S. generally accepted
accounting principles.
Philadelphia, Pennsylvania
November 26, 2014
|
|
|
| 286 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2014.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex
overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional
information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
|
|
|
|
|
|
|
|
|
|
|
Name
Address,
and Age |
|
Position(s)
Held with
Trusts |
|
Term of
Office and
Length of
Time Served1 |
|
Principal Occupation(s)
During Past Five Years |
|
Number of
Portfolios in
Fund Complex
Overseen
by Trustee2 |
|
Other Directorships
Held by Trustee |
| INTERESTED TRUSTEES |
|
|
|
|
|
|
|
|
| Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 67 yrs. old |
|
Chairman of the Board of Trustees* |
|
since 1982 |
|
Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. |
|
99 |
|
Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, Director of SEI
Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Global Nominee Ltd., SEI Structured
Credit Fund, L.P. |
| William M. Doran One Freedom Valley Drive Oaks, PA 19456 73 yrs. old |
|
Trustee* |
|
since 1982 |
|
Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the
Administrator and the Distributor. Secretary of SEI since 1978. |
|
99 |
|
Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, The Advisors’ Inner Circle Fund III, Bishop
Street Funds, The KP Funds, O’Connor EQUUS, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe),
Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd. |
| TRUSTEES |
|
|
|
|
|
|
|
|
| George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 71 yrs. old |
|
Trustee |
|
since 1996 |
|
Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997-December 2011. |
|
99 |
|
Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, State Street
Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds. |
| |
* |
Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their
affiliation with SIMC and the Trust’s Distributor. |
| |
1 |
Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she
sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| |
2 |
The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser
Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
287 |
|
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
| Name
Address, and
Age |
|
Position(s)
Held with
Trusts |
|
Term of
Office and
Length of
Time Served1 |
|
Principal
Occupation(s) During Past Five Years |
|
Number of
Portfolios in
Fund Complex
Overseen
by Trustee2 |
|
Other
Directorships Held by Trustee |
| TRUSTEES (continued) |
|
|
|
|
|
|
|
|
| Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 56 yrs. old |
|
Trustee |
|
since 2003 |
|
Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. |
|
99 |
|
Director of SEI Structured Credit Fund, L.P. |
| James M. Williams
One Freedom Valley Drive Oaks, PA 19456 66 yrs. old |
|
Trustee |
|
since 2004 |
|
Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. |
|
99 |
|
Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P. |
| Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 72 yrs. old |
|
Trustee |
|
Since 2007 |
|
Private Investor since 1994. |
|
99 |
|
Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds |
| Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 70 yrs. old |
|
Trustee |
|
since 2008 |
|
Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief
Executive Officer, INVESCO North America, September 2003-December 2005. |
|
99 |
|
Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech
Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center. |
| OFFICERS |
|
|
|
|
|
|
|
|
| Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 67 yrs. old |
|
President and CEO |
|
since 2005 |
|
Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. |
|
N/A |
|
N/A |
| Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 52 yrs. old |
|
Controller and Chief Financial Officer |
|
since 2011 |
|
Director, Fund Accounting, SEI Investments Global Funds Services (March 2011, September 2002 to March 2005 and 1997- 2002); Director, Mutual
Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Funds Services (March 2005 to June
2006) |
|
N/A |
|
N/A |
| Russell Emery One Freedom Valley Drive Oaks, PA 19456 51 yrs. old |
|
Chief Compliance Officer |
|
since 2006 |
|
Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International
Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI
Structured Credit Fund, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of SEI Insurance Products Trust since
2013. |
|
N/A |
|
N/A |
| Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 46 yrs. old |
|
Vice President and Secretary |
|
since 2002 |
|
General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since
2001. Vice President of SIMC and the Administrator since 1999. |
|
N/A |
|
N/A |
|
|
|
| 288 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
| Name
Address, and
Age |
|
Position(s)
Held with
Trusts |
|
Term of
Office and
Length of
Time Served1 |
|
Principal
Occupation(s) During Past Five Years |
|
Number of
Portfolios in
Fund Complex
Overseen
by Trustee2 |
|
Other
Directorships Held by Trustee |
| OFFICERS (continued) |
|
|
|
|
|
|
|
|
| Aaron Buser One Freedom Valley Drive Oaks, PA 19456 43 yrs. old |
|
Vice President and Assistant Secretary |
|
since 2008 |
|
Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007). |
|
N/A |
|
N/A |
| David F. McCann One Freedom Valley Drive Oaks, PA 19456 38 yrs. old |
|
Vice President and Assistant Secretary |
|
since 2009 |
|
Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008.
Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005. |
|
N/A |
|
N/A |
| Stephen G. MacRae One Freedom Valley Drive Oaks, PA 19456 46 yrs. old |
|
Vice President |
|
since 2012 |
|
Director of Global Investment Product Management, January 2004 to present. |
|
N/A |
|
N/A |
| Edward McCusker One Freedom Valley Drive Oaks, PA 19456 30 yrs. old |
|
Anti-Money Laundering Compliance Officer and Privacy Officer |
|
since 2013 |
|
Compliance Manager of SEI Investments Company, May 2011-April 2013. Project Manager and AML Operations Lead of SEI Private Trust Company,
September 2010-May 2011. Private Banking Client Service Professional of SEI Private Banking and Trust, September 2008-September 2010. |
|
N/A |
|
N/A |
| |
1 |
Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she
sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| |
2 |
The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser
Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
289 |
|
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:
• 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.”
• 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beginning
Account
Value
4/1/14 |
|
|
Ending
Account
Value
9/30/14 |
|
|
Annualized
Expense
Ratios |
|
|
Expense
Paid
During
Period* |
|
| Large Cap Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,043.50 |
|
|
|
0.89 |
% |
|
$ |
4.56 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.61 |
|
|
|
0.89 |
% |
|
$ |
4.51 |
|
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,039.50 |
|
|
|
0.89 |
% |
|
$ |
4.55 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,038.00 |
|
|
|
1.11 |
|
|
|
5.67 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.61 |
|
|
|
0.89 |
% |
|
$ |
4.51 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,019.50 |
|
|
|
1.11 |
|
|
|
5.62 |
|
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,035.90 |
|
|
|
0.89 |
% |
|
$ |
4.55 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,034.80 |
|
|
|
1.11 |
|
|
|
5.67 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.60 |
|
|
|
0.89 |
% |
|
$ |
4.52 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,019.50 |
|
|
|
1.11 |
|
|
|
5.63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beginning
Account
Value
4/1/14 |
|
|
Ending
Account
Value
9/30/14 |
|
|
Annualized
Expense
Ratios |
|
|
Expense
Paid
During
Period* |
|
| Tax-Managed Large Cap Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,045.50 |
|
|
|
0.89 |
% |
|
$ |
4.57 |
|
| Class T Shares |
|
|
1,000.00 |
|
|
|
1,047.40 |
|
|
|
0.56 |
|
|
|
2.89 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.60 |
|
|
|
0.89 |
% |
|
$ |
4.52 |
|
| Class T Shares |
|
|
1,000.00 |
|
|
|
1,022.25 |
|
|
|
0.56 |
|
|
|
2.85 |
|
| S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,062.00 |
|
|
|
0.43 |
% |
|
$ |
2.23 |
|
| Class E Shares |
|
|
1,000.00 |
|
|
|
1,062.80 |
|
|
|
0.25 |
|
|
|
1.30 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,060.80 |
|
|
|
0.65 |
|
|
|
3.37 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,022.90 |
|
|
|
0.43 |
% |
|
$ |
2.19 |
|
| Class E Shares |
|
|
1,000.00 |
|
|
|
1,023.80 |
|
|
|
0.25 |
|
|
|
1.28 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,021.80 |
|
|
|
0.65 |
|
|
|
3.30 |
|
| Small Cap Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
948.90 |
|
|
|
1.14 |
% |
|
$ |
5.58 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.34 |
|
|
|
1.14 |
% |
|
$ |
5.78 |
|
|
|
|
| 290 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beginning
Account
Value
4/1/14 |
|
|
Ending
Account
Value
9/30/14 |
|
|
Annualized
Expense
Ratios |
|
|
Expense
Paid
During
Period* |
|
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
944.90 |
|
|
|
1.14 |
% |
|
$ |
5.57 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
944.00 |
|
|
|
1.36 |
|
|
|
6.63 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.34 |
|
|
|
1.14 |
% |
|
$ |
5.78 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.24 |
|
|
|
1.36 |
|
|
|
6.89 |
|
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
960.80 |
|
|
|
1.11 |
% |
|
$ |
5.47 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
959.60 |
|
|
|
1.36 |
|
|
|
6.69 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.49 |
|
|
|
1.11 |
% |
|
$ |
5.63 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.24 |
|
|
|
1.36 |
|
|
|
6.89 |
|
| Tax-Managed Small/Mid Cap
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
975.10 |
|
|
|
1.11 |
% |
|
$ |
5.51 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.49 |
|
|
|
1.11 |
% |
|
$ |
5.63 |
|
| Mid-Cap Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.10 |
|
|
|
1.02 |
% |
|
$ |
5.18 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.90 |
|
|
|
1.26 |
|
|
|
6.40 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.94 |
|
|
|
1.02 |
% |
|
$ |
5.18 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.73 |
|
|
|
1.26 |
|
|
|
6.40 |
|
| U.S. Managed Volatility
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,046.30 |
|
|
|
1.00 |
% |
|
$ |
5.14 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,044.50 |
|
|
|
1.25 |
|
|
|
6.42 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.05 |
|
|
|
1.00 |
% |
|
$ |
5.07 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.79 |
|
|
|
1.25 |
|
|
|
6.34 |
|
| Global Managed Volatility
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,049.70 |
|
|
|
1.11 |
% |
|
$ |
5.71 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,049.50 |
|
|
|
1.36 |
|
|
|
6.98 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.49 |
|
|
|
1.11 |
% |
|
$ |
5.63 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.25 |
|
|
|
1.36 |
|
|
|
6.88 |
|
| Tax-Managed Managed Volatility
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,043.50 |
|
|
|
1.00 |
% |
|
$ |
5.13 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.05 |
|
|
|
1.00 |
% |
|
$ |
5.07 |
|
| Real Estate Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,034.00 |
|
|
|
1.14 |
% |
|
$ |
5.82 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,032.70 |
|
|
|
1.36 |
|
|
|
6.94 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.35 |
|
|
|
1.14 |
% |
|
$ |
5.78 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,018.24 |
|
|
|
1.36 |
|
|
|
6.89 |
|
| Enhanced Income Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,004.30 |
|
|
|
0.60 |
% |
|
$ |
3.02 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,002.30 |
|
|
|
0.85 |
|
|
|
4.27 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,022.05 |
|
|
|
0.60 |
% |
|
$ |
3.05 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,020.80 |
|
|
|
0.85 |
|
|
|
4.31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beginning
Account
Value
4/1/14 |
|
|
Ending
Account
Value
9/30/14 |
|
|
Annualized
Expense
Ratios |
|
|
Expense
Paid
During
Period* |
|
| Core Fixed Income Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,026.30 |
|
|
|
0.67 |
% |
|
$ |
3.41 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,024.30 |
|
|
|
0.89 |
|
|
|
4.52 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,021.70 |
|
|
|
0.67 |
% |
|
$ |
3.41 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,020.61 |
|
|
|
0.89 |
|
|
|
4.51 |
|
| U.S. Fixed Income Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,021.40 |
|
|
|
0.66 |
% |
|
$ |
3.35 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,021.75 |
|
|
|
0.66 |
% |
|
$ |
3.35 |
|
| High Yield Bond Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,006.50 |
|
|
|
0.89 |
% |
|
$ |
4.49 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,000.80 |
|
|
|
1.11 |
|
|
|
5.57 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.59 |
|
|
|
0.89 |
% |
|
$ |
4.52 |
|
| Class I Shares |
|
|
1,000.00 |
|
|
|
1,019.50 |
|
|
|
1.11 |
|
|
|
5.62 |
|
| Real Return Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
999.80 |
|
|
|
0.45 |
% |
|
$ |
2.26 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,022.81 |
|
|
|
0.45 |
% |
|
$ |
2.29 |
|
| Multi-Strategy Alternative
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
997.00 |
|
|
|
0.43 |
% |
|
$ |
2.13 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,022.94 |
|
|
|
0.43 |
% |
|
$ |
2.16 |
|
| Multi-Asset Accumulation
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,039.10 |
|
|
|
1.17 |
% |
|
$ |
5.99 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.20 |
|
|
|
1.17 |
% |
|
$ |
5.93 |
|
| Multi-Asset Income Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,009.10 |
|
|
|
0.82 |
% |
|
$ |
4.13 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,020.96 |
|
|
|
0.82 |
% |
|
$ |
4.15 |
|
| Multi-Asset Inflation Managed
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
992.60 |
|
|
|
1.13 |
% |
|
$ |
5.64 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,019.40 |
|
|
|
1.13 |
% |
|
$ |
5.72 |
|
| Multi-Asset Capital Stability
Fund |
|
|
|
|
|
|
|
|
|
| Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,023.00 |
|
|
|
0.62 |
% |
|
$ |
3.15 |
|
| Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
|
$ |
1,000.00 |
|
|
$ |
1,021.95 |
|
|
|
0.62 |
% |
|
$ |
3.15 |
|
| * |
Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year
period shown). |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
291 |
|
Board of Trustee 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 all or a portion of a 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 (each, a “Sub-Adviser” and collectively, 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 are also 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 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(s). In connection with their consideration of such approval(s), 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 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 Board calls and holds meetings each year that are dedicated to considering whether to approve new and terminate
or renew existing 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 data from third parties. This information is provided 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 counsel 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 sessions
outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding:
(i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial
condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that
SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds generally as classified by
Lipper (unless otherwise adjusted), an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’
compliance systems; (ix) the Adviser’s and Sub-Advisers’ potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the
Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance compared with peer groups of mutual funds as classified by Lipper (unless otherwise adjusted) (although for certain
Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party) and the Funds’ benchmark indices.
|
|
|
| 292 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
At the December 10-11, 2013, March 25-26, 2014, June 24-25, 2014 and September 15-16, 2014 meetings of the
Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Advisory Agreement and approved the selection of SIMC and certain 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 but not necessarily limited to:
| • |
|
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 dedicated to the Funds; |
| • |
|
the Funds’ investment performance and how it compared to that of other comparable mutual funds (although for certain Funds, it was determined that no
readily available peer group comparable to such Funds was maintained by an independent party) and the applicable benchmarks; |
| • |
|
the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds;
|
| • |
|
the profitability of SIMC and, in most cases, 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 |
| • |
|
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 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 each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by
SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support renewal of the Investment Advisory Agreements.
Fund Performance. The Board considered Fund performance in determining whether to approve new and terminate or renew existing 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, including the fact that for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party. In evaluating performance, the
Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied that
appropriate steps were being taken, but agreed that they would continue to closely monitor the Fund performance. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was
sufficient to support 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 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. The Trustees also considered the effects of SIMC’s voluntary
waiver of management and other fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its 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.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly
or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. The
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
293 |
|
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
Trustees found that profitability was reasonable. 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 unaffiliated 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 each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’
shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely
identifiable on a fund-by-fund basis. Based on this evaluation, the Board was unable to conclude that economies of scale, if any, were not appropriately shared with the Funds.
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, different factors may have been given varied weight by different Trustees, and the Trustees did not identify any particular information that was all-important or controlling.
|
|
|
| 294 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Notice to Shareholders
(Unaudited)
For shareholders who do not have a September 30, 2014, taxable year end, this notice is for informational purposes only. For shareholders with a
September 30, 2014, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended
September 30, 2014, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
(A)
Return of
Capital |
|
|
(B)
Long Term
Capital Gains
Distributions
(Tax
Basis) |
|
|
(C)
Ordinary
Income
Distributions
(Tax Basis) |
|
|
Total
Distributions
(Tax Basis) |
|
|
(D)
Dividends
Qualifying
for Corporate
Dividends
Rec.
Deduction (1) |
|
| Large Cap Fund |
|
|
0 |
% |
|
|
70 |
% |
|
|
30 |
% |
|
|
100 |
% |
|
|
63 |
% |
| Large Cap Value Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
100 |
% |
| Large Cap Growth Fund |
|
|
0 |
% |
|
|
66 |
% |
|
|
34 |
% |
|
|
100 |
% |
|
|
40 |
% |
| Tax-Managed Large Cap Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
100 |
% |
| S&P 500 Index Fund |
|
|
0 |
% |
|
|
55 |
% |
|
|
45 |
% |
|
|
100 |
% |
|
|
98 |
% |
| Small Cap Fund |
|
|
0 |
% |
|
|
70 |
% |
|
|
30 |
% |
|
|
100 |
% |
|
|
30 |
% |
| Small Cap Value Fund |
|
|
0 |
% |
|
|
59 |
% |
|
|
41 |
% |
|
|
100 |
% |
|
|
60 |
% |
| Small Cap Growth Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
100 |
% |
| Tax-Managed Small/Mid Cap Fund |
|
|
0 |
% |
|
|
89 |
% |
|
|
11 |
% |
|
|
100 |
% |
|
|
100 |
% |
| Mid-Cap Fund |
|
|
0 |
% |
|
|
82 |
% |
|
|
18 |
% |
|
|
100 |
% |
|
|
28 |
% |
| U.S. Managed Volatility Fund |
|
|
0 |
% |
|
|
67 |
% |
|
|
33 |
% |
|
|
100 |
% |
|
|
65 |
% |
| Global Managed Volatility Fund(7) |
|
|
0 |
% |
|
|
40 |
% |
|
|
60 |
% |
|
|
100 |
% |
|
|
17 |
% |
| Tax-Managed Managed Volatility Fund |
|
|
0 |
% |
|
|
61 |
% |
|
|
39 |
% |
|
|
100 |
% |
|
|
100 |
% |
| Real Estate Fund(6) |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
0 |
% |
| Enhanced Income Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
0 |
% |
| Core Fixed Income Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
0 |
% |
| U.S. Fixed Income Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
0 |
% |
| High Yield Bond Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
0 |
% |
| Real Return Fund |
|
|
0 |
% |
|
|
45 |
% |
|
|
55 |
% |
|
|
100 |
% |
|
|
0 |
% |
| Multi-Strategy Alternative Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
|
|
100 |
% |
|
|
35 |
% |
| Multi-Asset Accumulation Fund |
|
|
0 |
% |
|
|
67 |
% |
|
|
33 |
% |
|
|
100 |
% |
|
|
11 |
% |
| Multi-Asset Income Fund |
|
|
0 |
% |
|
|
5 |
% |
|
|
95 |
% |
|
|
100 |
% |
|
|
0 |
% |
| Multi-Asset Inflation Managed Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Multi-Asset Capital Stability Fund |
|
|
0 |
% |
|
|
94 |
% |
|
|
6 |
% |
|
|
100 |
% |
|
|
0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
(E)
Qualifying
Dividend Income
(15% Tax Rate
for
QDI) (2) |
|
|
U.S. Government
Interest (3) |
|
|
Interest
Related
Dividends (4) |
|
|
Short-Term
Capital
Gain
Dividends (5) |
|
| Large Cap Fund |
|
|
63 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Large Cap Value Fund |
|
|
100 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Large Cap Growth Fund |
|
|
38 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Tax-Managed Large Cap Fund |
|
|
100 |
% |
|
|
1 |
% |
|
|
1 |
% |
|
|
0 |
% |
| S&P 500 Index Fund |
|
|
98 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Small Cap Fund |
|
|
28 |
% |
|
|
0 |
% |
|
|
1 |
% |
|
|
100 |
% |
| Small Cap Value Fund |
|
|
55 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Small Cap Growth Fund |
|
|
100 |
% |
|
|
0 |
% |
|
|
1 |
% |
|
|
0 |
% |
| Tax-Managed Small/Mid Cap Fund |
|
|
100 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Mid-Cap Fund |
|
|
28 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| U.S. Managed Volatility Fund |
|
|
68 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Global Managed Volatility Fund(7) |
|
|
43 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Tax-Managed Managed Volatility Fund |
|
|
100 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Real Estate Fund(6) |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Enhanced Income Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
37 |
% |
|
|
0 |
% |
| Core Fixed Income Fund |
|
|
0 |
% |
|
|
12 |
% |
|
|
100 |
% |
|
|
0 |
% |
| U.S. Fixed Income Fund |
|
|
0 |
% |
|
|
21 |
% |
|
|
99 |
% |
|
|
0 |
% |
| High Yield Bond Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
80 |
% |
|
|
0 |
% |
| Real Return Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Multi-Strategy Alternative Fund |
|
|
60 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Multi-Asset Accumulation Fund |
|
|
22 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
100 |
% |
| Multi-Asset Income Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
57 |
% |
|
|
100 |
% |
| Multi-Asset Inflation Managed Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| Multi-Asset Capital Stability Fund |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
| (1) |
Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions
(the total of short term capital gain and net investment income distributions). |
| (2) |
The percentage in this column represents the amount of “Qualifying Dividend Income” and is reflected as a percentage of ordinary income distributions (the total
of short term capital gain and net investment income distributions). |
| (3) |
“U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year.
This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income
tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
|
|
|
|
|
| SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
|
|
295 |
|
Notice to Shareholders (Unaudited) (Concluded)
| (4) |
The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that
is exempt from U.S. withholding tax when paid to foreign investors. The provision that allows RICs to pass through “Interest Related Dividends” expired after December 31, 2013. |
| (5) |
The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain
distributions that is exempt from U.S. withholding tax when paid to foreign investors. The provision that allows RICs to pass through “Short-Term Capital Gain Dividends” expired after December 31, 2013. |
| (6) |
Information reflects Fund activity based on Fund’s December 31, 2013 tax reporting year. |
| (7) |
The Fund intends to pass through a foreign tax credit to shareholders for fiscal year ended 2014, the total amount of foreign source income is $31,401,394. The total
amount of foreign tax credit is $3,051,164. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. |
Items (A) and (B) are based on the percentages of each Fund’s total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
|
|
|
| 296 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2014
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Officers
Robert A. Nesher
President and Chief Executive Officer
Peter A. Rodriguez
Controller and Chief Financial
Officer
Russell Emery
Chief
Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant
Secretary
Stephen G. MacRae
Vice
President
Edward McCusker
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius
LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general
information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the
Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
SEI-F-087 (9/14)
The Registrant has adopted a code of
ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.
| Item 3. |
Audit Committee Financial Expert. |
(a) (1) The
Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in
Form N-CSR Item 3 (a) (2)
| Item 4. |
Principal Accountant Fees and Services. |
Fees billed
by KPMG LLP (“KPMG”) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the
fiscal years 2014 and 2013 as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fiscal 2014 |
|
|
Fiscal 2013 |
|
| |
|
|
|
All fees and
services to
the Registrant
that were pre-
approved |
|
|
All fees and
services to
service
affiliates that
were pre-
approved |
|
|
All other fees
and services
to service
affiliates that
did not
require
pre-
approval |
|
|
All fees and
services to
the Registrant
that were pre-
approved |
|
|
All fees and
services to
service
affiliates that
were pre-
approved |
|
|
All other fees
and services
to service
affiliates that
did not
require
pre-
approval |
|
| (a) |
|
Audit Fees (1) |
|
$ |
693,000 |
|
|
$ |
0 |
|
|
|
N/A |
|
|
$ |
691,000 |
|
|
$ |
0 |
|
|
|
N/A |
|
| (b) |
|
Audit-Related Fees |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
| (c) |
|
Tax Fees (3) |
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
28,000 |
|
|
$ |
0 |
|
| (d) |
|
All Other Fees (2) |
|
$ |
0 |
|
|
$ |
240,350 |
|
|
$ |
0 |
|
|
$ |
0 |
|
|
$ |
237,000 |
|
|
$ |
0 |
|
Notes:
| |
(1) |
Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with
statutory and regulatory filings. |
| |
(2) |
See Item 4(g) for a description of the services comprising the fees disclosed in this category. |
| |
(3) |
Tax fees include amounts related to tax compliance and consulting services for various service affiliates of the Registrant. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the
“Policy”), which sets forth the procedures
and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and
must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general
pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services
require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO.
The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts,
provided that the estimated fee for any such proposed pre-approved service does not exceed $50,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has received general pre-approval.
All services to be provided by the
independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of
timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of
the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant,
and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to
non-audit services pursuant to waiver of pre-approval requirement were as follows:
|
|
|
|
|
|
|
|
|
| |
|
Fiscal
2014 |
|
|
Fiscal
2013 |
|
| Audit-Related Fees |
|
|
0 |
% |
|
|
0 |
% |
| Tax Fees |
|
|
0 |
% |
|
|
0 |
% |
| All Other Fees |
|
|
0 |
% |
|
|
0 |
% |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2014 and 2013 were $240,350 and $237,000, respectively. Non-audit fees
consist of SSAE No. 16 review of fund accounting and administration operations, attestation report in accordance with Rule 17
Ad-13, and agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to
entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant’s independence.
| Item 5. |
Audit Committee of Listed Registrants. |
Not
applicable.
| Item 6. |
Schedule of Investments |
The Schedules of
Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund,
Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedules of Investments/Consolidated Schedules of
Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund Multi-Strategy
Alternative Fund, Multi-Asset Accumulation Fund, Multi-Asset Income Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund is included as part of the report to shareholders filed under Item 1 of this form.
SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 94.2% |
|
|
|
|
|
|
|
| Consumer Discretionary — 11.3% |
|
|
|
|
|
| Abercrombie & Fitch, Cl A (A) |
|
|
38,600 |
|
|
$ |
1,403 |
|
| Amazon.com, Cl A* |
|
|
17,550 |
|
|
|
5,659 |
|
| Apollo Education Group, Cl A* |
|
|
44,700 |
|
|
|
1,124 |
|
| Autoliv (A) |
|
|
17,400 |
|
|
|
1,600 |
|
| Best Buy |
|
|
27,400 |
|
|
|
920 |
|
| Big Lots |
|
|
19,300 |
|
|
|
831 |
|
| CBS, Cl B |
|
|
238,768 |
|
|
|
12,774 |
|
| Charter Communications, Cl A* |
|
|
53,181 |
|
|
|
8,050 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
12,100 |
|
|
|
8,066 |
|
| Comcast, Cl A |
|
|
193,030 |
|
|
|
10,381 |
|
| Delphi Automotive |
|
|
121,980 |
|
|
|
7,482 |
|
| Dillard’s, Cl A |
|
|
44,400 |
|
|
|
4,839 |
|
| DIRECTV* |
|
|
120,200 |
|
|
|
10,400 |
|
| Discovery Communications, Cl A* |
|
|
201,908 |
|
|
|
7,632 |
|
| Discovery Communications, Cl C* |
|
|
451,729 |
|
|
|
16,840 |
|
| Expedia |
|
|
25,500 |
|
|
|
2,234 |
|
| Foot Locker, Cl A |
|
|
96,600 |
|
|
|
5,376 |
|
| Ford Motor |
|
|
841,670 |
|
|
|
12,448 |
|
| Fossil Group* |
|
|
51,531 |
|
|
|
4,839 |
|
| GameStop, Cl A (A) |
|
|
45,700 |
|
|
|
1,883 |
|
| Gannett |
|
|
57,600 |
|
|
|
1,709 |
|
| Garmin (A) |
|
|
11,700 |
|
|
|
608 |
|
| Hanesbrands |
|
|
3,900 |
|
|
|
419 |
|
| Harley-Davidson, Cl A |
|
|
158,124 |
|
|
|
9,203 |
|
| Hilton Worldwide Holdings* |
|
|
257,130 |
|
|
|
6,333 |
|
| Home Depot |
|
|
112,660 |
|
|
|
10,336 |
|
| International Game Technology (A) |
|
|
131,900 |
|
|
|
2,225 |
|
| Johnson Controls |
|
|
19,100 |
|
|
|
840 |
|
| Kohl’s |
|
|
43,200 |
|
|
|
2,636 |
|
| L Brands |
|
|
242,225 |
|
|
|
16,224 |
|
| Lear |
|
|
83,100 |
|
|
|
7,181 |
|
| Liberty Media - Interactive, Cl A* |
|
|
606,884 |
|
|
|
17,308 |
|
| Macy’s |
|
|
120,640 |
|
|
|
7,019 |
|
| Magna International, Cl A |
|
|
51,400 |
|
|
|
4,878 |
|
| Nike, Cl B |
|
|
120,025 |
|
|
|
10,706 |
|
| priceline.com* |
|
|
16,625 |
|
|
|
19,262 |
|
| Sally Beauty Holdings* |
|
|
220,000 |
|
|
|
6,021 |
|
| Signet Jewelers |
|
|
12,800 |
|
|
|
1,458 |
|
| Starbucks |
|
|
190,843 |
|
|
|
14,401 |
|
| Target, Cl A |
|
|
32,200 |
|
|
|
2,018 |
|
| Time Warner |
|
|
32,000 |
|
|
|
2,407 |
|
| Time Warner Cable, Cl A |
|
|
98,780 |
|
|
|
14,174 |
|
| TRW Automotive Holdings* |
|
|
35,000 |
|
|
|
3,544 |
|
| Viacom, Cl B |
|
|
19,900 |
|
|
|
1,531 |
|
| Whirlpool |
|
|
40,700 |
|
|
|
5,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
293,150 |
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 7.6% |
|
|
|
|
|
| Altria Group |
|
|
22,500 |
|
|
|
1,034 |
|
| Anheuser-Busch InBev ADR |
|
|
136,332 |
|
|
|
15,112 |
|
| Archer-Daniels-Midland |
|
|
200,000 |
|
|
|
10,220 |
|
| Bunge |
|
|
5,330 |
|
|
|
449 |
|
| Coca-Cola |
|
|
53,600 |
|
|
|
2,287 |
|
| Coca-Cola Enterprises |
|
|
106,150 |
|
|
|
4,709 |
|
| ConAgra Foods |
|
|
129,000 |
|
|
|
4,262 |
|
| Constellation Brands, Cl A* |
|
|
8,300 |
|
|
|
723 |
|
| Costco Wholesale |
|
|
162,549 |
|
|
|
20,371 |
|
| CVS Health |
|
|
126,000 |
|
|
|
10,028 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Dr Pepper Snapple Group |
|
|
16,700 |
|
|
$ |
1,074 |
|
| Energizer Holdings |
|
|
22,200 |
|
|
|
2,735 |
|
| Estee Lauder, Cl A |
|
|
145,383 |
|
|
|
10,863 |
|
| Ingredion (A) |
|
|
16,500 |
|
|
|
1,250 |
|
| Kimberly-Clark |
|
|
29,700 |
|
|
|
3,195 |
|
| Kroger |
|
|
202,000 |
|
|
|
10,504 |
|
| Lorillard (A) |
|
|
133,900 |
|
|
|
8,022 |
|
| Mead Johnson Nutrition, Cl A |
|
|
234,205 |
|
|
|
22,535 |
|
| PepsiCo |
|
|
21,400 |
|
|
|
1,992 |
|
| Philip Morris International |
|
|
182,800 |
|
|
|
15,245 |
|
| Pilgrim’s Pride* |
|
|
42,600 |
|
|
|
1,302 |
|
| Procter & Gamble |
|
|
28,500 |
|
|
|
2,387 |
|
| Reynolds American |
|
|
13,200 |
|
|
|
779 |
|
| Rite Aid* |
|
|
113,630 |
|
|
|
550 |
|
| Tyson Foods, Cl A |
|
|
354,450 |
|
|
|
13,955 |
|
| Walgreen |
|
|
313,475 |
|
|
|
18,580 |
|
| Wal-Mart Stores |
|
|
32,200 |
|
|
|
2,462 |
|
| Whole Foods Market |
|
|
256,147 |
|
|
|
9,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,387 |
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 10.8% |
|
|
|
|
|
| Apache |
|
|
32,400 |
|
|
|
3,041 |
|
| Baker Hughes |
|
|
95,300 |
|
|
|
6,200 |
|
| Cabot Oil & Gas |
|
|
248,220 |
|
|
|
8,114 |
|
| Cameron International* |
|
|
78,300 |
|
|
|
5,197 |
|
| Chevron |
|
|
186,300 |
|
|
|
22,229 |
|
| Cimarex Energy |
|
|
23,000 |
|
|
|
2,910 |
|
| ConocoPhillips |
|
|
152,170 |
|
|
|
11,644 |
|
| Core Laboratories (A) |
|
|
63,773 |
|
|
|
9,333 |
|
| EOG Resources |
|
|
236,700 |
|
|
|
23,438 |
|
| Exxon Mobil |
|
|
321,100 |
|
|
|
30,200 |
|
| FMC Technologies* |
|
|
210,065 |
|
|
|
11,409 |
|
| Halliburton |
|
|
161,286 |
|
|
|
10,405 |
|
| Helmerich & Payne |
|
|
27,200 |
|
|
|
2,662 |
|
| Hess |
|
|
38,400 |
|
|
|
3,622 |
|
| Kinder Morgan (A) |
|
|
207,100 |
|
|
|
7,940 |
|
| Marathon Oil |
|
|
69,000 |
|
|
|
2,594 |
|
| Marathon Petroleum |
|
|
143,200 |
|
|
|
12,125 |
|
| MarkWest Energy Partners (A) |
|
|
129,420 |
|
|
|
9,942 |
|
| Murphy Oil |
|
|
36,800 |
|
|
|
2,094 |
|
| Nabors Industries |
|
|
20,340 |
|
|
|
463 |
|
| Newfield Exploration* |
|
|
17,700 |
|
|
|
656 |
|
| Noble |
|
|
59,900 |
|
|
|
1,331 |
|
| Noble Energy |
|
|
210,040 |
|
|
|
14,358 |
|
| Occidental Petroleum |
|
|
24,400 |
|
|
|
2,346 |
|
| Oil States International* |
|
|
15,000 |
|
|
|
928 |
|
| Paragon Offshore (A) |
|
|
19,966 |
|
|
|
123 |
|
| Patterson-UTI Energy |
|
|
67,200 |
|
|
|
2,186 |
|
| Phillips 66 |
|
|
287,890 |
|
|
|
23,408 |
|
| RPC |
|
|
8,500 |
|
|
|
187 |
|
| Schlumberger, Cl A |
|
|
142,657 |
|
|
|
14,507 |
|
| SM Energy |
|
|
69,300 |
|
|
|
5,406 |
|
| Superior Energy Services |
|
|
39,000 |
|
|
|
1,282 |
|
| Tesoro |
|
|
58,060 |
|
|
|
3,541 |
|
| Unit* |
|
|
3,800 |
|
|
|
223 |
|
| Valero Energy |
|
|
187,600 |
|
|
|
8,680 |
|
| Williams |
|
|
245,000 |
|
|
|
13,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
278,285 |
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.4% |
|
|
|
|
|
| ACE |
|
|
26,800 |
|
|
|
2,811 |
|
| Aflac |
|
|
31,500 |
|
|
|
1,835 |
|
| Allied World Assurance Holdings |
|
|
72,150 |
|
|
|
2,658 |
|
| Allstate |
|
|
183,600 |
|
|
|
11,268 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| American Financial Group |
|
|
54,437 |
|
|
$ |
3,151 |
|
| American International Group |
|
|
499,000 |
|
|
|
26,956 |
|
| American Realty Capital Properties† |
|
|
20,900 |
|
|
|
252 |
|
| American Tower, Cl A† |
|
|
104,750 |
|
|
|
9,808 |
|
| Ameriprise Financial |
|
|
53,400 |
|
|
|
6,588 |
|
| Annaly Capital Management† |
|
|
62,300 |
|
|
|
665 |
|
| Assurant |
|
|
108,430 |
|
|
|
6,972 |
|
| AvalonBay Communities† |
|
|
1,900 |
|
|
|
268 |
|
| Axis Capital Holdings |
|
|
56,500 |
|
|
|
2,674 |
|
| Bank of America |
|
|
1,464,100 |
|
|
|
24,963 |
|
| Bank of New York Mellon |
|
|
68,700 |
|
|
|
2,661 |
|
| BB&T |
|
|
63,800 |
|
|
|
2,374 |
|
| Berkshire Hathaway, Cl B* |
|
|
23,600 |
|
|
|
3,260 |
|
| Boston Properties† |
|
|
2,200 |
|
|
|
255 |
|
| Brandywine Realty Trust† |
|
|
67,500 |
|
|
|
950 |
|
| Capital One Financial |
|
|
132,100 |
|
|
|
10,782 |
|
| CBL & Associates Properties† |
|
|
35,800 |
|
|
|
641 |
|
| CBOE Holdings |
|
|
59,400 |
|
|
|
3,179 |
|
| CBRE Group, Cl A* |
|
|
139,300 |
|
|
|
4,143 |
|
| Charles Schwab |
|
|
522,814 |
|
|
|
15,366 |
|
| Chubb |
|
|
59,700 |
|
|
|
5,437 |
|
| Citigroup |
|
|
493,310 |
|
|
|
25,563 |
|
| CNA Financial |
|
|
25,700 |
|
|
|
977 |
|
| Comerica |
|
|
17,500 |
|
|
|
873 |
|
| Crown Castle International† |
|
|
252,575 |
|
|
|
20,340 |
|
| Discover Financial Services |
|
|
215,300 |
|
|
|
13,863 |
|
| Endurance Specialty Holdings |
|
|
20,000 |
|
|
|
1,104 |
|
| Equity Commonwealth† |
|
|
17,600 |
|
|
|
452 |
|
| Equity Residential† |
|
|
9,000 |
|
|
|
554 |
|
| Everest Re Group |
|
|
49,900 |
|
|
|
8,084 |
|
| Fifth Third Bancorp |
|
|
130,900 |
|
|
|
2,621 |
|
| General Growth Properties† |
|
|
14,200 |
|
|
|
334 |
|
| Genworth Financial, Cl A* |
|
|
332,100 |
|
|
|
4,351 |
|
| Goldman Sachs Group |
|
|
32,800 |
|
|
|
6,021 |
|
| Hartford Financial Services Group |
|
|
52,600 |
|
|
|
1,959 |
|
| HCP† |
|
|
11,500 |
|
|
|
457 |
|
| Health Care† |
|
|
7,600 |
|
|
|
474 |
|
| Hospitality Properties Trust† |
|
|
29,600 |
|
|
|
795 |
|
| Host Hotels & Resorts† |
|
|
10,200 |
|
|
|
218 |
|
| Huntington Bancshares |
|
|
356,170 |
|
|
|
3,465 |
|
| IntercontinentalExchange Group |
|
|
59,250 |
|
|
|
11,557 |
|
| Jones Lang LaSalle |
|
|
1,100 |
|
|
|
139 |
|
| JPMorgan Chase |
|
|
502,000 |
|
|
|
30,241 |
|
| KeyCorp |
|
|
545,400 |
|
|
|
7,270 |
|
| Lincoln National |
|
|
84,900 |
|
|
|
4,549 |
|
| McGraw-Hill |
|
|
70,200 |
|
|
|
5,928 |
|
| MetLife |
|
|
42,000 |
|
|
|
2,256 |
|
| MFA Financial† |
|
|
94,700 |
|
|
|
737 |
|
| Morgan Stanley |
|
|
34,500 |
|
|
|
1,193 |
|
| Navient |
|
|
52,100 |
|
|
|
923 |
|
| Northern Trust |
|
|
4,400 |
|
|
|
299 |
|
| PartnerRe |
|
|
66,900 |
|
|
|
7,352 |
|
| PNC Financial Services Group |
|
|
76,200 |
|
|
|
6,521 |
|
| ProLogis† |
|
|
12,500 |
|
|
|
471 |
|
| Protective Life |
|
|
1,100 |
|
|
|
76 |
|
| Prudential Financial |
|
|
35,400 |
|
|
|
3,113 |
|
| Public Storage† |
|
|
3,600 |
|
|
|
597 |
|
| Radian Group |
|
|
89,120 |
|
|
|
1,271 |
|
| Realogy Holdings* |
|
|
3,600 |
|
|
|
134 |
|
| Regions Financial |
|
|
155,700 |
|
|
|
1,563 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Reinsurance Group of America, Cl A |
|
|
74,680 |
|
|
$ |
5,984 |
|
| RenaissanceRe Holdings |
|
|
36,200 |
|
|
|
3,620 |
|
| Senior Housing Properties Trust† |
|
|
28,600 |
|
|
|
598 |
|
| Simon Property Group† |
|
|
7,700 |
|
|
|
1,266 |
|
| SLM |
|
|
52,100 |
|
|
|
446 |
|
| State Street |
|
|
43,900 |
|
|
|
3,231 |
|
| SunTrust Banks |
|
|
62,300 |
|
|
|
2,369 |
|
| Travelers |
|
|
124,900 |
|
|
|
11,733 |
|
| Unum Group |
|
|
171,800 |
|
|
|
5,907 |
|
| Validus Holdings |
|
|
45,100 |
|
|
|
1,765 |
|
| Ventas† |
|
|
7,351 |
|
|
|
455 |
|
| Vornado Realty Trust† |
|
|
2,800 |
|
|
|
280 |
|
| Voya Financial |
|
|
5,880 |
|
|
|
230 |
|
| Waddell & Reed Financial, Cl A |
|
|
66,920 |
|
|
|
3,459 |
|
| Wells Fargo |
|
|
507,900 |
|
|
|
26,345 |
|
| Weyerhaeuser† |
|
|
8,000 |
|
|
|
255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
396,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 14.8% |
|
|
|
|
|
|
|
|
| AbbVie |
|
|
15,200 |
|
|
|
878 |
|
| Actavis* |
|
|
8,500 |
|
|
|
2,051 |
|
| Aetna, Cl A |
|
|
96,130 |
|
|
|
7,786 |
|
| Alexion Pharmaceuticals* |
|
|
74,940 |
|
|
|
12,426 |
|
| Allergan |
|
|
165,235 |
|
|
|
29,443 |
|
| AmerisourceBergen |
|
|
69,700 |
|
|
|
5,388 |
|
| Amgen, Cl A |
|
|
32,700 |
|
|
|
4,593 |
|
| Baxter International |
|
|
78,700 |
|
|
|
5,648 |
|
| Biogen Idec* |
|
|
58,480 |
|
|
|
19,346 |
|
| Bristol-Myers Squibb |
|
|
231,520 |
|
|
|
11,849 |
|
| Cardinal Health |
|
|
99,200 |
|
|
|
7,432 |
|
| Celgene, Cl A* |
|
|
294,450 |
|
|
|
27,908 |
|
| Cigna |
|
|
80,500 |
|
|
|
7,301 |
|
| Covance* |
|
|
84,106 |
|
|
|
6,619 |
|
| DaVita HealthCare Partners* |
|
|
134,797 |
|
|
|
9,859 |
|
| Edwards Lifesciences, Cl A* |
|
|
2,800 |
|
|
|
286 |
|
| Express Scripts Holding* |
|
|
275,720 |
|
|
|
19,474 |
|
| Gilead Sciences* |
|
|
193,278 |
|
|
|
20,574 |
|
| HCA Holdings* |
|
|
37,500 |
|
|
|
2,644 |
|
| Health Net, Cl A* |
|
|
14,400 |
|
|
|
664 |
|
| Humana |
|
|
168,030 |
|
|
|
21,893 |
|
| Intuitive Surgical* |
|
|
26,637 |
|
|
|
12,302 |
|
| Jazz Pharmaceuticals* |
|
|
22,000 |
|
|
|
3,532 |
|
| Johnson & Johnson |
|
|
98,700 |
|
|
|
10,520 |
|
| Mallinckrodt* |
|
|
5,200 |
|
|
|
469 |
|
| McKesson |
|
|
54,300 |
|
|
|
10,571 |
|
| Medtronic |
|
|
185,110 |
|
|
|
11,468 |
|
| Merck |
|
|
111,300 |
|
|
|
6,598 |
|
| Myriad Genetics (A)* |
|
|
17,700 |
|
|
|
683 |
|
| Novo Nordisk ADR |
|
|
264,925 |
|
|
|
12,616 |
|
| Omnicare |
|
|
75,000 |
|
|
|
4,669 |
|
| Perrigo |
|
|
54,325 |
|
|
|
8,159 |
|
| Pfizer |
|
|
567,857 |
|
|
|
16,792 |
|
| Shire ADR |
|
|
74,640 |
|
|
|
19,335 |
|
| Teva Pharmaceutical Industries ADR |
|
|
206,300 |
|
|
|
11,089 |
|
| United Therapeutics* |
|
|
81,490 |
|
|
|
10,484 |
|
| UnitedHealth Group |
|
|
15,300 |
|
|
|
1,320 |
|
| WellPoint |
|
|
132,010 |
|
|
|
15,791 |
|
| Zimmer Holdings |
|
|
27,900 |
|
|
|
2,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
383,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 8.0% |
|
|
|
|
|
|
|
|
| AGCO |
|
|
48,500 |
|
|
|
2,205 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Alaska Air Group |
|
|
134,800 |
|
|
$ |
5,869 |
|
| Alliant Techsystems |
|
|
37,789 |
|
|
|
4,824 |
|
| Amerco* |
|
|
2,600 |
|
|
|
681 |
|
| American Airlines Group |
|
|
54,400 |
|
|
|
1,930 |
|
| Avis Budget Group (A)* |
|
|
72,400 |
|
|
|
3,974 |
|
| Canadian Pacific Railway |
|
|
113,500 |
|
|
|
23,548 |
|
| Caterpillar, Cl A |
|
|
22,600 |
|
|
|
2,238 |
|
| Cummins |
|
|
36,460 |
|
|
|
4,812 |
|
| Danaher, Cl A |
|
|
147,771 |
|
|
|
11,228 |
|
| Deere |
|
|
57,600 |
|
|
|
4,722 |
|
| Delta Air Lines, Cl A |
|
|
205,500 |
|
|
|
7,429 |
|
| Engility Holdings* |
|
|
4,883 |
|
|
|
152 |
|
| Exelis |
|
|
165,010 |
|
|
|
2,729 |
|
| Fastenal, Cl A (A) |
|
|
200,558 |
|
|
|
9,005 |
|
| FedEx |
|
|
41,890 |
|
|
|
6,763 |
|
| Flowserve |
|
|
161,080 |
|
|
|
11,359 |
|
| Fluor |
|
|
87,235 |
|
|
|
5,826 |
|
| General Dynamics |
|
|
18,100 |
|
|
|
2,300 |
|
| Huntington Ingalls Industries, Cl A |
|
|
42,540 |
|
|
|
4,433 |
|
| ITT |
|
|
9,200 |
|
|
|
413 |
|
| Kansas City Southern |
|
|
98,280 |
|
|
|
11,912 |
|
| L-3 Communications Holdings |
|
|
47,600 |
|
|
|
5,661 |
|
| Lincoln Electric Holdings |
|
|
2,400 |
|
|
|
166 |
|
| Lockheed Martin |
|
|
31,150 |
|
|
|
5,694 |
|
| Norfolk Southern |
|
|
20,300 |
|
|
|
2,265 |
|
| Northrop Grumman |
|
|
120,850 |
|
|
|
15,923 |
|
| Raytheon |
|
|
51,200 |
|
|
|
5,203 |
|
| RR Donnelley & Sons |
|
|
78,200 |
|
|
|
1,287 |
|
| Southwest Airlines, Cl A |
|
|
268,300 |
|
|
|
9,061 |
|
| Stericycle, Cl A* |
|
|
81,976 |
|
|
|
9,555 |
|
| Timken |
|
|
37,500 |
|
|
|
1,590 |
|
| Towers Watson, Cl A |
|
|
20,400 |
|
|
|
2,030 |
|
| Trinity Industries |
|
|
174,500 |
|
|
|
8,153 |
|
| Union Pacific |
|
|
88,740 |
|
|
|
9,621 |
|
| United Rentals (A)* |
|
|
10,960 |
|
|
|
1,218 |
|
| Vectrus* |
|
|
9,167 |
|
|
|
179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
205,958 |
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 20.5% |
|
|
|
|
|
| Accenture, Cl A |
|
|
59,987 |
|
|
|
4,878 |
|
| Adobe Systems* |
|
|
384,680 |
|
|
|
26,616 |
|
| Alliance Data Systems* |
|
|
28,471 |
|
|
|
7,068 |
|
| Amdocs |
|
|
98,760 |
|
|
|
4,531 |
|
| Amphenol, Cl A |
|
|
103,122 |
|
|
|
10,298 |
|
| Ansys* |
|
|
76,405 |
|
|
|
5,782 |
|
| Apple |
|
|
235,084 |
|
|
|
23,685 |
|
| Applied Materials |
|
|
938,090 |
|
|
|
20,272 |
|
| ARRIS Group* |
|
|
35,100 |
|
|
|
995 |
|
| Arrow Electronics, Cl A* |
|
|
44,850 |
|
|
|
2,482 |
|
| Autodesk, Cl A* |
|
|
143,000 |
|
|
|
7,879 |
|
| Avnet |
|
|
46,300 |
|
|
|
1,921 |
|
| Baidu ADR* |
|
|
46,700 |
|
|
|
10,191 |
|
| Broadcom, Cl A |
|
|
7,300 |
|
|
|
295 |
|
| Broadridge Financial Solutions |
|
|
7,500 |
|
|
|
312 |
|
| Brocade Communications Systems |
|
|
275,900 |
|
|
|
2,999 |
|
| CA |
|
|
43,400 |
|
|
|
1,213 |
|
| Cisco Systems |
|
|
280,900 |
|
|
|
7,070 |
|
| Cognizant Technology Solutions, Cl A* |
|
|
144,788 |
|
|
|
6,482 |
|
| Computer Sciences |
|
|
22,440 |
|
|
|
1,372 |
|
| CoreLogic* |
|
|
24,700 |
|
|
|
669 |
|
| Corning, Cl B |
|
|
178,000 |
|
|
|
3,443 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| eBay* |
|
|
386,325 |
|
|
$ |
21,878 |
|
| EMC |
|
|
72,800 |
|
|
|
2,130 |
|
| Equinix* |
|
|
65,725 |
|
|
|
13,965 |
|
| Facebook, Cl A* |
|
|
205,760 |
|
|
|
16,263 |
|
| Fidelity National Information
Services, Cl B |
|
|
18,500 |
|
|
|
1,042 |
|
| Fiserv, Cl A* |
|
|
11,100 |
|
|
|
717 |
|
| Flextronics International* |
|
|
356,190 |
|
|
|
3,676 |
|
| Genpact* |
|
|
393,310 |
|
|
|
6,419 |
|
| Google, Cl A* |
|
|
29,398 |
|
|
|
17,298 |
|
| Google, Cl C* |
|
|
32,698 |
|
|
|
18,879 |
|
| Harris |
|
|
37,800 |
|
|
|
2,510 |
|
| Hewlett-Packard |
|
|
233,300 |
|
|
|
8,275 |
|
| IAC |
|
|
9,300 |
|
|
|
613 |
|
| Ingram Micro, Cl A* |
|
|
159,900 |
|
|
|
4,127 |
|
| Intel |
|
|
538,300 |
|
|
|
18,744 |
|
| Intuit |
|
|
154,000 |
|
|
|
13,498 |
|
| Leidos Holdings |
|
|
26,750 |
|
|
|
918 |
|
| Lexmark International, Cl A (A) |
|
|
69,900 |
|
|
|
2,971 |
|
| Marvell Technology Group |
|
|
18,400 |
|
|
|
248 |
|
| MasterCard, Cl A |
|
|
481,030 |
|
|
|
35,558 |
|
| Micron Technology* |
|
|
206,370 |
|
|
|
7,070 |
|
| Microsoft |
|
|
751,450 |
|
|
|
34,837 |
|
| National Instruments |
|
|
175,333 |
|
|
|
5,423 |
|
| NetSuite* |
|
|
28,733 |
|
|
|
2,573 |
|
| Oracle, Cl B |
|
|
122,400 |
|
|
|
4,686 |
|
| Qualcomm |
|
|
443,130 |
|
|
|
33,133 |
|
| Salesforce.com* |
|
|
167,329 |
|
|
|
9,626 |
|
| Science Applications International |
|
|
15,285 |
|
|
|
676 |
|
| Seagate Technology (A) |
|
|
53,000 |
|
|
|
3,035 |
|
| Skyworks Solutions |
|
|
77,800 |
|
|
|
4,517 |
|
| TE Connectivity |
|
|
37,400 |
|
|
|
2,068 |
|
| Tech Data* |
|
|
20,300 |
|
|
|
1,195 |
|
| Texas Instruments |
|
|
243,830 |
|
|
|
11,628 |
|
| Twitter* |
|
|
104,730 |
|
|
|
5,402 |
|
| Visa, Cl A |
|
|
161,841 |
|
|
|
34,532 |
|
| Western Digital |
|
|
162,800 |
|
|
|
15,844 |
|
| Xerox |
|
|
425,500 |
|
|
|
5,629 |
|
| Yahoo!* |
|
|
59,300 |
|
|
|
2,416 |
|
| Yelp, Cl A* |
|
|
64,925 |
|
|
|
4,431 |
|
| Zebra Technologies, Cl A* |
|
|
12,100 |
|
|
|
859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
529,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.0% |
|
|
|
|
|
|
|
|
| Cabot |
|
|
27,000 |
|
|
|
1,371 |
|
| Celanese, Ser A |
|
|
22,400 |
|
|
|
1,311 |
|
| CF Industries Holdings |
|
|
20,900 |
|
|
|
5,836 |
|
| Dow Chemical, Cl A |
|
|
273,950 |
|
|
|
14,366 |
|
| Eastman Chemical |
|
|
23,100 |
|
|
|
1,869 |
|
| Ecolab |
|
|
98,543 |
|
|
|
11,316 |
|
| Freeport-McMoRan Copper & Gold, Cl B |
|
|
62,100 |
|
|
|
2,028 |
|
| Huntsman |
|
|
98,200 |
|
|
|
2,552 |
|
| LyondellBasell Industries, Cl A |
|
|
97,400 |
|
|
|
10,583 |
|
| PPG Industries |
|
|
42,905 |
|
|
|
8,441 |
|
| Reliance Steel & Aluminum |
|
|
3,500 |
|
|
|
239 |
|
| Rock-Tenn, Cl A |
|
|
33,000 |
|
|
|
1,570 |
|
| Steel Dynamics |
|
|
48,200 |
|
|
|
1,090 |
|
| Syngenta (A) |
|
|
85,547 |
|
|
|
5,421 |
|
| TimkenSteel |
|
|
8,000 |
|
|
|
372 |
|
| United States Steel (A) |
|
|
195,000 |
|
|
|
7,638 |
|
| Westlake Chemical |
|
|
29,800 |
|
|
|
2,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| Telecommunication Services — 0.8% |
|
| AT&T |
|
|
478,400 |
|
|
$ |
16,859 |
|
| CenturyTel |
|
|
82,000 |
|
|
|
3,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 2.0% |
|
|
|
|
|
|
|
|
| AES |
|
|
355,100 |
|
|
|
5,035 |
|
| Ameren |
|
|
32,300 |
|
|
|
1,238 |
|
| American Electric Power |
|
|
197,300 |
|
|
|
10,301 |
|
| Atmos Energy |
|
|
6,900 |
|
|
|
329 |
|
| Calpine* |
|
|
145,750 |
|
|
|
3,163 |
|
| Dominion Resources |
|
|
8,600 |
|
|
|
594 |
|
| DTE Energy |
|
|
27,200 |
|
|
|
2,069 |
|
| Duke Energy |
|
|
9,500 |
|
|
|
710 |
|
| Edison International |
|
|
177,600 |
|
|
|
9,931 |
|
| Entergy |
|
|
110,700 |
|
|
|
8,561 |
|
| Exelon |
|
|
75,500 |
|
|
|
2,574 |
|
| Public Service Enterprise Group |
|
|
102,580 |
|
|
|
3,820 |
|
| SCANA |
|
|
52,300 |
|
|
|
2,595 |
|
| Vectren |
|
|
4,500 |
|
|
|
180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,100 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,839,156) ($ Thousands) |
|
|
|
2,433,257 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.4% |
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
61,199,504 |
|
|
|
61,200 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $61,200) ($ Thousands) |
|
|
|
61,200 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENTS — 5.7% |
|
|
|
|
|
| Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund,
0.010%** |
|
|
1,815,472 |
|
|
|
1,816 |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.010%**†† |
|
|
145,995,442 |
|
|
|
145,995 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalents
(Cost $147,811) ($ Thousands) |
|
|
|
147,811 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.042%, 03/05/15 |
|
$ |
4,444 |
|
|
|
4,443 |
|
| 0.027%, 05/28/15 |
|
|
550 |
|
|
|
550 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $4,993) ($ Thousands) |
|
|
|
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.5%
(Cost $2,053,160) ($ Thousands) |
|
|
$ |
2,647,261 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
954 |
|
|
|
Dec-2014 |
|
|
$ |
(762 |
) |
| S&P Mid 400 Index E-MINI |
|
|
97 |
|
|
|
Dec-2014 |
|
|
|
(529 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in
the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of
$2,581,944 ($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$58,715 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2014 was $61,200 ($ Thousands).
|
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard and Poor’s
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,433,257 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,433,257 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
61,200 |
|
|
|
— |
|
|
|
61,200 |
|
| Cash Equivalents |
|
|
147,811 |
|
|
|
— |
|
|
|
— |
|
|
|
147,811 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
4,993 |
|
|
|
— |
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
2,581,068 |
|
|
$ |
66,193 |
|
|
$ |
— |
|
|
$ |
2,647,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(1,291 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(1,291 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2014, there were no Level 3 investments.
For more information on
valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—”
are $0 or have been rounded to $0.
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 96.5%‡ |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 9.8% |
|
|
|
|
|
|
|
|
| Autoliv (A) |
|
|
23,000 |
|
|
$ |
2,114 |
|
| Autozone* |
|
|
4,800 |
|
|
|
2,447 |
|
| Best Buy |
|
|
29,200 |
|
|
|
981 |
|
| Comcast, Cl A |
|
|
76,100 |
|
|
|
4,071 |
|
| Delphi Automotive |
|
|
19,510 |
|
|
|
1,197 |
|
| Dillard’s, Cl A |
|
|
49,700 |
|
|
|
5,416 |
|
| DIRECTV* |
|
|
152,670 |
|
|
|
13,209 |
|
| Foot Locker, Cl A |
|
|
157,200 |
|
|
|
8,748 |
|
| Ford Motor |
|
|
199,700 |
|
|
|
2,954 |
|
| GameStop, Cl A (A) |
|
|
42,600 |
|
|
|
1,755 |
|
| Gannett |
|
|
54,900 |
|
|
|
1,629 |
|
| General Motors |
|
|
313,274 |
|
|
|
10,006 |
|
| H&R Block |
|
|
82,800 |
|
|
|
2,568 |
|
| Hasbro |
|
|
62,800 |
|
|
|
3,454 |
|
| Kohl’s |
|
|
106,200 |
|
|
|
6,481 |
|
| Lear |
|
|
75,290 |
|
|
|
6,506 |
|
| Macy’s |
|
|
229,060 |
|
|
|
13,327 |
|
| Magna International, Cl A |
|
|
47,230 |
|
|
|
4,482 |
|
| McDonald’s |
|
|
39,700 |
|
|
|
3,764 |
|
| Norwegian Cruise Line Holdings* |
|
|
97,200 |
|
|
|
3,501 |
|
| PVH |
|
|
21,600 |
|
|
|
2,617 |
|
| Target, Cl A |
|
|
99,200 |
|
|
|
6,218 |
|
| Time Warner Cable, Cl A |
|
|
19,300 |
|
|
|
2,769 |
|
| Toyota Motor ADR (A) |
|
|
118,400 |
|
|
|
13,915 |
|
| Tribune Media* |
|
|
68,800 |
|
|
|
4,555 |
|
| TRW Automotive Holdings* |
|
|
26,500 |
|
|
|
2,683 |
|
| Viacom, Cl B |
|
|
171,250 |
|
|
|
13,176 |
|
| Whirlpool |
|
|
41,930 |
|
|
|
6,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 4.8% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland |
|
|
65,300 |
|
|
|
3,337 |
|
| Bunge |
|
|
4,940 |
|
|
|
416 |
|
| Coca-Cola Enterprises |
|
|
62,600 |
|
|
|
2,777 |
|
| ConAgra Foods |
|
|
122,600 |
|
|
|
4,051 |
|
| CVS Health |
|
|
122,000 |
|
|
|
9,710 |
|
| Dr Pepper Snapple Group |
|
|
16,710 |
|
|
|
1,075 |
|
| Herbalife (A)* |
|
|
13,310 |
|
|
|
582 |
|
| Ingredion (A) |
|
|
32,300 |
|
|
|
2,448 |
|
| Kellogg |
|
|
74,500 |
|
|
|
4,589 |
|
| Kroger |
|
|
185,040 |
|
|
|
9,622 |
|
| Lorillard (A) |
|
|
92,920 |
|
|
|
5,567 |
|
| Molson Coors Brewing, Cl B |
|
|
54,500 |
|
|
|
4,057 |
|
| PepsiCo |
|
|
39,000 |
|
|
|
3,630 |
|
| Philip Morris International |
|
|
34,100 |
|
|
|
2,844 |
|
| Procter & Gamble |
|
|
58,700 |
|
|
|
4,915 |
|
| Rite Aid* |
|
|
99,360 |
|
|
|
481 |
|
| SUPERVALU* |
|
|
111,437 |
|
|
|
996 |
|
| SYSCO, Cl A (A) |
|
|
118,100 |
|
|
|
4,482 |
|
| Tyson Foods, Cl A |
|
|
136,020 |
|
|
|
5,355 |
|
| Wal-Mart Stores |
|
|
39,200 |
|
|
|
2,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 12.9% |
|
|
|
|
|
|
|
|
| Anadarko Petroleum, Cl A |
|
|
41,400 |
|
|
|
4,200 |
|
| Apache |
|
|
93,000 |
|
|
|
8,730 |
|
| Baker Hughes |
|
|
87,610 |
|
|
|
5,700 |
|
| BP ADR |
|
|
214,104 |
|
|
|
9,410 |
|
| Cabot Oil & Gas |
|
|
119,100 |
|
|
|
3,893 |
|
| Cameron International* |
|
|
72,700 |
|
|
|
4,826 |
|
| Canadian Natural Resources |
|
|
215,000 |
|
|
|
8,351 |
|
| Chevron |
|
|
271,700 |
|
|
|
32,419 |
|
| ConocoPhillips |
|
|
104,610 |
|
|
|
8,005 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| EOG Resources |
|
|
31,400 |
|
|
$ |
3,109 |
|
| Exxon Mobil |
|
|
310,800 |
|
|
|
29,231 |
|
| Halliburton |
|
|
214,640 |
|
|
|
13,847 |
|
| Helmerich & Payne |
|
|
20,100 |
|
|
|
1,967 |
|
| Hess |
|
|
72,400 |
|
|
|
6,829 |
|
| Marathon Oil |
|
|
152,600 |
|
|
|
5,736 |
|
| Marathon Petroleum |
|
|
143,680 |
|
|
|
12,165 |
|
| Murphy Oil |
|
|
33,800 |
|
|
|
1,923 |
|
| Nabors Industries |
|
|
19,570 |
|
|
|
445 |
|
| Noble |
|
|
42,500 |
|
|
|
944 |
|
| Occidental Petroleum |
|
|
120,300 |
|
|
|
11,567 |
|
| Oil States International* |
|
|
5,320 |
|
|
|
329 |
|
| Paragon Offshore (A) |
|
|
14,166 |
|
|
|
87 |
|
| Patterson-UTI Energy |
|
|
52,750 |
|
|
|
1,716 |
|
| Phillips 66 |
|
|
55,800 |
|
|
|
4,537 |
|
| SM Energy |
|
|
63,650 |
|
|
|
4,965 |
|
| Superior Energy Services |
|
|
27,700 |
|
|
|
911 |
|
| Tesoro |
|
|
91,800 |
|
|
|
5,598 |
|
| Valero Energy |
|
|
150,000 |
|
|
|
6,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
198,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 26.8% |
|
|
|
|
|
|
|
|
| ACE |
|
|
57,400 |
|
|
|
6,019 |
|
| Aflac |
|
|
28,000 |
|
|
|
1,631 |
|
| Allied World Assurance Holdings |
|
|
33,470 |
|
|
|
1,233 |
|
| Allstate |
|
|
252,720 |
|
|
|
15,509 |
|
| Ally Financial* |
|
|
141,900 |
|
|
|
3,284 |
|
| American Financial Group |
|
|
23,050 |
|
|
|
1,334 |
|
| American International Group |
|
|
274,580 |
|
|
|
14,833 |
|
| Ameriprise Financial |
|
|
42,300 |
|
|
|
5,219 |
|
| Aon |
|
|
27,600 |
|
|
|
2,420 |
|
| Assurant |
|
|
69,060 |
|
|
|
4,441 |
|
| Axis Capital Holdings |
|
|
51,930 |
|
|
|
2,458 |
|
| Bank of America |
|
|
819,100 |
|
|
|
13,966 |
|
| Bank of New York Mellon |
|
|
44,400 |
|
|
|
1,719 |
|
| Berkshire Hathaway, Cl B* |
|
|
81,300 |
|
|
|
11,231 |
|
| Blackstone Group |
|
|
164,700 |
|
|
|
5,185 |
|
| Capital One Financial |
|
|
123,990 |
|
|
|
10,120 |
|
| CBL & Associates Properties† |
|
|
83,500 |
|
|
|
1,495 |
|
| CBOE Holdings |
|
|
45,000 |
|
|
|
2,408 |
|
| CBRE Group, Cl A* |
|
|
121,350 |
|
|
|
3,609 |
|
| Chubb |
|
|
65,670 |
|
|
|
5,981 |
|
| Citigroup |
|
|
606,100 |
|
|
|
31,408 |
|
| Comerica |
|
|
16,030 |
|
|
|
799 |
|
| Discover Financial Services |
|
|
154,620 |
|
|
|
9,956 |
|
| Endurance Specialty Holdings |
|
|
29,300 |
|
|
|
1,617 |
|
| Everest Re Group |
|
|
68,700 |
|
|
|
11,130 |
|
| Fifth Third Bancorp |
|
|
291,100 |
|
|
|
5,828 |
|
| Genworth Financial, Cl A* |
|
|
305,320 |
|
|
|
4,000 |
|
| Goldman Sachs Group |
|
|
31,300 |
|
|
|
5,746 |
|
| Hartford Financial Services Group |
|
|
249,800 |
|
|
|
9,305 |
|
| Hatteras Financial† |
|
|
217,200 |
|
|
|
3,901 |
|
| Hospitality Properties Trust† |
|
|
58,400 |
|
|
|
1,568 |
|
| Huntington Bancshares |
|
|
315,000 |
|
|
|
3,065 |
|
| Invesco |
|
|
111,600 |
|
|
|
4,406 |
|
| JPMorgan Chase |
|
|
862,100 |
|
|
|
51,933 |
|
| KeyCorp |
|
|
603,870 |
|
|
|
8,050 |
|
| KKR |
|
|
219,400 |
|
|
|
4,892 |
|
| Lincoln National |
|
|
165,560 |
|
|
|
8,871 |
|
| McGraw-Hill |
|
|
69,740 |
|
|
|
5,890 |
|
| MetLife |
|
|
392,800 |
|
|
|
21,101 |
|
| Morgan Stanley |
|
|
102,800 |
|
|
|
3,554 |
|
| PartnerRe |
|
|
46,610 |
|
|
|
5,122 |
|
| PNC Financial Services Group |
|
|
109,400 |
|
|
|
9,362 |
|
| Prudential Financial |
|
|
38,500 |
|
|
|
3,386 |
|
| Radian Group (A) |
|
|
105,870 |
|
|
|
1,510 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Regions Financial |
|
|
713,500 |
|
|
$ |
7,163 |
|
| Reinsurance Group of America, Cl A |
|
|
30,070 |
|
|
|
2,409 |
|
| RenaissanceRe Holdings |
|
|
33,320 |
|
|
|
3,332 |
|
| Santander Consumer USA Holdings |
|
|
222,200 |
|
|
|
3,957 |
|
| State Street |
|
|
38,500 |
|
|
|
2,834 |
|
| Tanger Factory Outlet Centers† |
|
|
63,900 |
|
|
|
2,091 |
|
| Travelers |
|
|
98,000 |
|
|
|
9,206 |
|
| Two Harbors Investment† |
|
|
281,200 |
|
|
|
2,719 |
|
| Unum Group |
|
|
153,400 |
|
|
|
5,274 |
|
| Voya Financial |
|
|
37,700 |
|
|
|
1,474 |
|
| Waddell & Reed Financial, Cl A |
|
|
45,250 |
|
|
|
2,339 |
|
| Wells Fargo |
|
|
757,580 |
|
|
|
39,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
412,589 |
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 11.4% |
|
| AbbVie |
|
|
74,200 |
|
|
|
4,286 |
|
| Aetna, Cl A |
|
|
113,300 |
|
|
|
9,177 |
|
| AmerisourceBergen |
|
|
67,230 |
|
|
|
5,197 |
|
| Amgen, Cl A |
|
|
48,900 |
|
|
|
6,868 |
|
| Baxter International |
|
|
59,600 |
|
|
|
4,277 |
|
| Biogen Idec* |
|
|
15,070 |
|
|
|
4,985 |
|
| Cardinal Health |
|
|
91,180 |
|
|
|
6,831 |
|
| CareFusion* |
|
|
72,900 |
|
|
|
3,299 |
|
| Cigna |
|
|
71,960 |
|
|
|
6,526 |
|
| Eli Lilly |
|
|
79,100 |
|
|
|
5,130 |
|
| Express Scripts Holding* |
|
|
77,460 |
|
|
|
5,471 |
|
| Gilead Sciences* |
|
|
13,330 |
|
|
|
1,419 |
|
| HCA Holdings* |
|
|
35,200 |
|
|
|
2,482 |
|
| Humana |
|
|
41,610 |
|
|
|
5,421 |
|
| Johnson & Johnson |
|
|
79,900 |
|
|
|
8,516 |
|
| McKesson |
|
|
40,750 |
|
|
|
7,933 |
|
| Merck |
|
|
180,100 |
|
|
|
10,676 |
|
| Mylan* |
|
|
134,400 |
|
|
|
6,114 |
|
| NPS Pharmaceuticals* |
|
|
67,100 |
|
|
|
1,745 |
|
| Omnicare |
|
|
65,700 |
|
|
|
4,090 |
|
| Pfizer |
|
|
1,093,600 |
|
|
|
32,338 |
|
| United Therapeutics* |
|
|
63,720 |
|
|
|
8,198 |
|
| UnitedHealth Group |
|
|
44,250 |
|
|
|
3,817 |
|
| WellPoint |
|
|
144,830 |
|
|
|
17,325 |
|
| Zimmer Holdings |
|
|
22,900 |
|
|
|
2,303 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
174,424 |
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 9.0% |
|
| AGCO |
|
|
47,000 |
|
|
|
2,137 |
|
| Alaska Air Group |
|
|
73,800 |
|
|
|
3,213 |
|
| Alliant Techsystems |
|
|
31,190 |
|
|
|
3,981 |
|
| American Airlines Group |
|
|
147,400 |
|
|
|
5,230 |
|
| Avis Budget Group* |
|
|
59,300 |
|
|
|
3,255 |
|
| Caterpillar, Cl A |
|
|
68,800 |
|
|
|
6,813 |
|
| Deere |
|
|
49,700 |
|
|
|
4,075 |
|
| Delta Air Lines, Cl A |
|
|
261,300 |
|
|
|
9,446 |
|
| Eaton |
|
|
90,800 |
|
|
|
5,754 |
|
| Engility Holdings* |
|
|
9,516 |
|
|
|
297 |
|
| Exelis |
|
|
120,820 |
|
|
|
1,998 |
|
| FedEx |
|
|
30,640 |
|
|
|
4,947 |
|
| Generac Holdings (A)* |
|
|
49,300 |
|
|
|
1,999 |
|
| General Dynamics |
|
|
15,100 |
|
|
|
1,919 |
|
| General Electric |
|
|
681,900 |
|
|
|
17,470 |
|
| Honeywell International |
|
|
23,300 |
|
|
|
2,170 |
|
| Huntington Ingalls Industries, Cl A |
|
|
30,160 |
|
|
|
3,143 |
|
| Joy Global (A) |
|
|
79,100 |
|
|
|
4,314 |
|
| Kennametal |
|
|
86,600 |
|
|
|
3,577 |
|
| L-3 Communications Holdings |
|
|
38,100 |
|
|
|
4,531 |
|
| Lockheed Martin |
|
|
32,600 |
|
|
|
5,959 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Norfolk Southern |
|
|
17,000 |
|
|
$ |
1,897 |
|
| Northrop Grumman |
|
|
85,050 |
|
|
|
11,206 |
|
| Oshkosh Truck |
|
|
31,900 |
|
|
|
1,408 |
|
| Parker-Hannifin, Cl A |
|
|
28,400 |
|
|
|
3,242 |
|
| Raytheon |
|
|
31,700 |
|
|
|
3,221 |
|
| RR Donnelley & Sons |
|
|
109,400 |
|
|
|
1,801 |
|
| Southwest Airlines, Cl A |
|
|
109,150 |
|
|
|
3,686 |
|
| Trinity Industries |
|
|
94,660 |
|
|
|
4,423 |
|
| Triumph Group |
|
|
45,900 |
|
|
|
2,986 |
|
| United Rentals (A)* |
|
|
4,860 |
|
|
|
540 |
|
| United Technologies |
|
|
67,400 |
|
|
|
7,117 |
|
| Vectrus* |
|
|
6,712 |
|
|
|
131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
137,886 |
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 11.0% |
|
| Activision Blizzard |
|
|
223,698 |
|
|
|
4,651 |
|
| Amdocs |
|
|
91,090 |
|
|
|
4,179 |
|
| Apple |
|
|
56,120 |
|
|
|
5,654 |
|
| Applied Materials |
|
|
181,400 |
|
|
|
3,920 |
|
| Arrow Electronics, Cl A* |
|
|
43,150 |
|
|
|
2,388 |
|
| Avnet |
|
|
43,660 |
|
|
|
1,812 |
|
| CA |
|
|
145,400 |
|
|
|
4,063 |
|
| Check Point Software |
|
|
|
|
|
|
|
|
| Technologies* |
|
|
52,500 |
|
|
|
3,635 |
|
| Cisco Systems |
|
|
1,027,600 |
|
|
|
25,865 |
|
| Computer Sciences |
|
|
13,820 |
|
|
|
845 |
|
| Convergys |
|
|
109,727 |
|
|
|
1,955 |
|
| Corning, Cl B |
|
|
133,200 |
|
|
|
2,576 |
|
| EMC |
|
|
231,800 |
|
|
|
6,783 |
|
| Flextronics International* |
|
|
331,200 |
|
|
|
3,418 |
|
| Harris |
|
|
35,200 |
|
|
|
2,337 |
|
| Hewlett-Packard |
|
|
193,500 |
|
|
|
6,863 |
|
| Ingram Micro, Cl A* |
|
|
156,170 |
|
|
|
4,031 |
|
| Intel |
|
|
446,300 |
|
|
|
15,540 |
|
| Lam Research |
|
|
46,700 |
|
|
|
3,489 |
|
| Lexmark International, Cl A (A) |
|
|
62,100 |
|
|
|
2,639 |
|
| Micron Technology* |
|
|
221,890 |
|
|
|
7,602 |
|
| Microsoft |
|
|
208,700 |
|
|
|
9,675 |
|
| NCR* |
|
|
127,200 |
|
|
|
4,250 |
|
| NXP Semiconductor* |
|
|
52,300 |
|
|
|
3,579 |
|
| Oracle, Cl B |
|
|
64,300 |
|
|
|
2,461 |
|
| Seagate Technology (A) |
|
|
133,900 |
|
|
|
7,669 |
|
| TE Connectivity |
|
|
37,200 |
|
|
|
2,057 |
|
| Tech Data* |
|
|
27,600 |
|
|
|
1,624 |
|
| Teradyne |
|
|
153,600 |
|
|
|
2,978 |
|
| Vantiv, Cl A* |
|
|
78,400 |
|
|
|
2,423 |
|
| Vishay Intertechnology (A) |
|
|
103,400 |
|
|
|
1,478 |
|
| Western Digital |
|
|
143,570 |
|
|
|
13,972 |
|
| Xerox |
|
|
222,600 |
|
|
|
2,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
169,356 |
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.1% |
|
| Alcoa |
|
|
49,000 |
|
|
|
788 |
|
| Celanese, Ser A |
|
|
21,000 |
|
|
|
1,229 |
|
| CF Industries Holdings |
|
|
19,300 |
|
|
|
5,389 |
|
| Crown Holdings* |
|
|
151,000 |
|
|
|
6,723 |
|
| Domtar |
|
|
30,200 |
|
|
|
1,061 |
|
| Dow Chemical, Cl A |
|
|
62,600 |
|
|
|
3,283 |
|
| Eastman Chemical |
|
|
96,400 |
|
|
|
7,798 |
|
| Freeport-McMoRan Copper & Gold, Cl B |
|
|
44,900 |
|
|
|
1,466 |
|
| Huntsman |
|
|
82,000 |
|
|
|
2,131 |
|
| International Paper |
|
|
75,800 |
|
|
|
3,619 |
|
| Louisiana-Pacific (A)* |
|
|
171,900 |
|
|
|
2,336 |
|
| LyondellBasell Industries, Cl A |
|
|
47,430 |
|
|
|
5,153 |
|
| Mosaic |
|
|
62,200 |
|
|
|
2,762 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Owens-Illinois* |
|
|
144,700 |
|
|
$ |
3,769 |
|
| Reliance Steel & Aluminum |
|
|
70,900 |
|
|
|
4,850 |
|
| Rio Tinto ADR (A) |
|
|
70,450 |
|
|
|
3,465 |
|
| Rock-Tenn, Cl A |
|
|
28,600 |
|
|
|
1,361 |
|
| United States Steel (A) |
|
|
152,700 |
|
|
|
5,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,164 |
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 3.1% |
|
| AT&T |
|
|
564,950 |
|
|
|
19,909 |
|
| CenturyTel |
|
|
110,100 |
|
|
|
4,502 |
|
| China Mobile (A) |
|
|
179,600 |
|
|
|
10,552 |
|
| Verizon Communications |
|
|
261,300 |
|
|
|
13,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,025 |
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.6% |
|
| AES |
|
|
334,390 |
|
|
|
4,742 |
|
| Ameren |
|
|
45,100 |
|
|
|
1,729 |
|
| American Electric Power |
|
|
238,410 |
|
|
|
12,448 |
|
| Calpine* |
|
|
92,400 |
|
|
|
2,005 |
|
| Edison International |
|
|
106,540 |
|
|
|
5,958 |
|
| Entergy |
|
|
107,980 |
|
|
|
8,350 |
|
| Exelon |
|
|
204,260 |
|
|
|
6,963 |
|
| Pinnacle West Capital |
|
|
55,900 |
|
|
|
3,054 |
|
| Public Service Enterprise Group |
|
|
81,000 |
|
|
|
3,016 |
|
| Westar Energy, Cl A |
|
|
88,600 |
|
|
|
3,023 |
|
| Xcel Energy |
|
|
116,500 |
|
|
|
3,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,829 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,186,222) ($ Thousands) |
|
|
|
|
|
|
1,483,235 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 4.0% |
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
60,837,827 |
|
|
|
60,838 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $60,838) ($ Thousands) |
|
|
|
|
|
|
60,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.2% |
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.010%**†† |
|
|
49,137,192 |
|
|
|
49,137 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $49,137) ($ Thousands) |
|
|
|
|
|
|
49,137 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.046%, 03/05/15 |
|
|
2,059 |
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $2,059) ($ Thousands) |
|
|
|
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.8%
(Cost $1,298,256) ($ Thousands) |
|
|
|
|
|
$ |
1,595,269 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of
Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
7 |
|
|
|
Dec-2014 |
|
|
$ |
(20 |
) |
| S&P 500 Index E-MINI |
|
|
347 |
|
|
|
Dec-2014 |
|
|
|
(482 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in
the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of
$1,536,999 ($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$58,714 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2014 was $60,838
($Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
|
| ADR — American Depositary Receipt |
| Cl — Class |
| L.P. — Limited Partnership |
| Ser — Series |
| S&P — Standard and Poor’s |
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and
other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,483,235 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,483,235 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
60,838 |
|
|
|
— |
|
|
|
60,838 |
|
| Cash Equivalent |
|
|
49,137 |
|
|
|
— |
|
|
|
— |
|
|
|
49,137 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
2,059 |
|
|
|
— |
|
|
|
2,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,532,372 |
|
|
$ |
62,897 |
|
|
$ |
— |
|
|
$ |
1,595,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(502 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(502 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(502 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized depreciation on the instrument.
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 98.7%‡ |
|
|
|
|
| Consumer Discretionary — 12.8% |
|
|
|
|
|
|
|
|
| Autozone* |
|
|
4,100 |
|
|
$ |
2,090 |
|
| Best Buy |
|
|
4,900 |
|
|
|
165 |
|
| BorgWarner |
|
|
48,900 |
|
|
|
2,572 |
|
| Brinker International |
|
|
6,400 |
|
|
|
325 |
|
| Burger King Worldwide (A) |
|
|
40,100 |
|
|
|
1,189 |
|
| Carter’s |
|
|
2,300 |
|
|
|
178 |
|
| Comcast, Cl A |
|
|
2,700 |
|
|
|
145 |
|
| Discovery Communications, Cl A* |
|
|
271,053 |
|
|
|
10,246 |
|
| Discovery Communications, Cl C* |
|
|
584,334 |
|
|
|
21,784 |
|
| DISH Network, Cl A* |
|
|
11,300 |
|
|
|
730 |
|
| Domino’s Pizza |
|
|
23,100 |
|
|
|
1,778 |
|
| Dunkin’ Brands Group |
|
|
6,200 |
|
|
|
278 |
|
| Foot Locker, Cl A |
|
|
5,900 |
|
|
|
328 |
|
| Fossil Group* |
|
|
74,456 |
|
|
|
6,992 |
|
| Genuine Parts |
|
|
19,200 |
|
|
|
1,684 |
|
| Goodyear Tire & Rubber |
|
|
49,200 |
|
|
|
1,111 |
|
| Hanesbrands |
|
|
32,400 |
|
|
|
3,481 |
|
| Interpublic Group |
|
|
184,500 |
|
|
|
3,380 |
|
| Jarden* |
|
|
15,000 |
|
|
|
901 |
|
| L Brands |
|
|
296,675 |
|
|
|
19,871 |
|
| Lear |
|
|
27,400 |
|
|
|
2,368 |
|
| Liberty Media - Interactive, Cl A* |
|
|
741,997 |
|
|
|
21,162 |
|
| Liberty TripAdvisor Holdings, Cl A* |
|
|
12,500 |
|
|
|
424 |
|
| Liberty Ventures, Ser A* |
|
|
12,500 |
|
|
|
474 |
|
| Live Nation* |
|
|
23,100 |
|
|
|
555 |
|
| Marriott International, Cl A |
|
|
68,700 |
|
|
|
4,802 |
|
| MGM Mirage* |
|
|
5,800 |
|
|
|
132 |
|
| Murphy USA* |
|
|
5,400 |
|
|
|
287 |
|
| Newell Rubbermaid, Cl B |
|
|
65,000 |
|
|
|
2,237 |
|
| Nike, Cl B |
|
|
152,000 |
|
|
|
13,559 |
|
| NVR* |
|
|
100 |
|
|
|
113 |
|
| Omnicom Group |
|
|
50,600 |
|
|
|
3,484 |
|
| O’Reilly Automotive* |
|
|
39,400 |
|
|
|
5,924 |
|
| priceline.com* |
|
|
17,725 |
|
|
|
20,536 |
|
| Sally Beauty Holdings* |
|
|
267,850 |
|
|
|
7,331 |
|
| Signet Jewelers |
|
|
500 |
|
|
|
57 |
|
| Starbucks |
|
|
228,934 |
|
|
|
17,275 |
|
| Starz - Liberty Capital* |
|
|
10,400 |
|
|
|
344 |
|
| Time Warner Cable, Cl A |
|
|
28,200 |
|
|
|
4,046 |
|
| Tupperware Brands |
|
|
1,100 |
|
|
|
76 |
|
| Twenty-First Century Fox, Cl A |
|
|
68,800 |
|
|
|
2,359 |
|
| Under Armour, Cl A* |
|
|
2,900 |
|
|
|
200 |
|
| VF |
|
|
61,400 |
|
|
|
4,054 |
|
| Viacom, Cl B |
|
|
63,900 |
|
|
|
4,917 |
|
| Walt Disney |
|
|
31,400 |
|
|
|
2,796 |
|
| Wyndham Worldwide |
|
|
2,900 |
|
|
|
236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
198,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 9.3% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
42,597 |
|
|
|
1,957 |
|
| Archer-Daniels-Midland |
|
|
21,100 |
|
|
|
1,078 |
|
| Brown-Forman, Cl B |
|
|
37,600 |
|
|
|
3,392 |
|
| Church & Dwight |
|
|
52,100 |
|
|
|
3,655 |
|
| Clorox (A) |
|
|
26,500 |
|
|
|
2,545 |
|
| Coca-Cola Enterprises |
|
|
105,500 |
|
|
|
4,680 |
|
| Colgate-Palmolive |
|
|
51,700 |
|
|
|
3,372 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Constellation Brands, Cl A* |
|
|
55,700 |
|
|
$ |
4,855 |
|
| Costco Wholesale |
|
|
88,975 |
|
|
|
11,150 |
|
| CVS Health |
|
|
64,700 |
|
|
|
5,149 |
|
| Dr Pepper Snapple Group |
|
|
31,500 |
|
|
|
2,026 |
|
| Estee Lauder, Cl A |
|
|
210,063 |
|
|
|
15,696 |
|
| General Mills, Cl A |
|
|
69,500 |
|
|
|
3,506 |
|
| Hershey |
|
|
51,300 |
|
|
|
4,895 |
|
| Hormel Foods |
|
|
54,800 |
|
|
|
2,816 |
|
| Kellogg |
|
|
14,500 |
|
|
|
893 |
|
| Kimberly-Clark |
|
|
56,600 |
|
|
|
6,089 |
|
| Kroger |
|
|
98,500 |
|
|
|
5,122 |
|
| Lorillard |
|
|
39,900 |
|
|
|
2,390 |
|
| McCormick (A) |
|
|
14,200 |
|
|
|
950 |
|
| Mead Johnson Nutrition, Cl A |
|
|
190,820 |
|
|
|
18,361 |
|
| Reynolds American |
|
|
46,300 |
|
|
|
2,732 |
|
| Rite Aid* |
|
|
216,500 |
|
|
|
1,048 |
|
| SYSCO, Cl A (A) |
|
|
1,500 |
|
|
|
57 |
|
| Tyson Foods, Cl A |
|
|
3,800 |
|
|
|
150 |
|
| Walgreen |
|
|
371,750 |
|
|
|
22,034 |
|
| Whole Foods Market |
|
|
370,105 |
|
|
|
14,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 8.2% |
|
|
|
|
|
|
|
|
| Athlon Energy* |
|
|
20,200 |
|
|
|
1,176 |
|
| Baker Hughes |
|
|
14,300 |
|
|
|
930 |
|
| Cheniere Energy* |
|
|
45,000 |
|
|
|
3,601 |
|
| Chesapeake Energy |
|
|
36,000 |
|
|
|
828 |
|
| Cimarex Energy |
|
|
3,400 |
|
|
|
430 |
|
| Concho Resources* |
|
|
7,700 |
|
|
|
966 |
|
| Continental Resources, Cl A* |
|
|
21,300 |
|
|
|
1,416 |
|
| Core Laboratories (A) |
|
|
92,146 |
|
|
|
13,486 |
|
| EOG Resources |
|
|
253,900 |
|
|
|
25,141 |
|
| EQT |
|
|
19,500 |
|
|
|
1,785 |
|
| FMC Technologies* |
|
|
303,377 |
|
|
|
16,476 |
|
| Gulfport Energy* |
|
|
20,500 |
|
|
|
1,095 |
|
| Halliburton |
|
|
57,900 |
|
|
|
3,735 |
|
| Helmerich & Payne |
|
|
27,900 |
|
|
|
2,731 |
|
| Kinder Morgan (A) |
|
|
253,675 |
|
|
|
9,726 |
|
| Nabors Industries |
|
|
9,900 |
|
|
|
225 |
|
| National Oilwell Varco, Cl A |
|
|
12,100 |
|
|
|
921 |
|
| Oneok |
|
|
20,700 |
|
|
|
1,357 |
|
| Patterson-UTI Energy |
|
|
27,400 |
|
|
|
891 |
|
| Phillips 66 |
|
|
13,700 |
|
|
|
1,114 |
|
| Schlumberger, Cl A |
|
|
172,512 |
|
|
|
17,543 |
|
| Southwestern Energy, Cl A* |
|
|
2,200 |
|
|
|
77 |
|
| Superior Energy Services |
|
|
3,100 |
|
|
|
102 |
|
| Targa Resources |
|
|
11,900 |
|
|
|
1,620 |
|
| Teekay Shipping |
|
|
7,900 |
|
|
|
524 |
|
| Whiting Petroleum* |
|
|
4,500 |
|
|
|
349 |
|
| Williams |
|
|
335,000 |
|
|
|
18,542 |
|
| World Fuel Services (A) |
|
|
6,600 |
|
|
|
264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
127,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 6.3% |
|
|
|
|
|
|
|
|
| American Express |
|
|
38,500 |
|
|
|
3,370 |
|
| American Financial Group |
|
|
4,200 |
|
|
|
243 |
|
| Ameriprise Financial |
|
|
23,000 |
|
|
|
2,838 |
|
| Aon |
|
|
33,200 |
|
|
|
2,911 |
|
| Apartment Investment & Management, Cl A† |
|
|
22,000 |
|
|
|
700 |
|
| Arthur J. Gallagher |
|
|
8,300 |
|
|
|
377 |
|
| BlackRock |
|
|
600 |
|
|
|
197 |
|
| CBOE Holdings |
|
|
1,800 |
|
|
|
96 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| CBRE Group, Cl A* |
|
|
18,400 |
|
|
$ |
547 |
|
| Charles Schwab |
|
|
793,013 |
|
|
|
23,306 |
|
| Crown Castle International† |
|
|
300,000 |
|
|
|
24,159 |
|
| Equity Lifestyle Properties† |
|
|
25,600 |
|
|
|
1,085 |
|
| Extra Space Storage† |
|
|
33,800 |
|
|
|
1,743 |
|
| Howard Hughes* |
|
|
5,700 |
|
|
|
855 |
|
| IntercontinentalExchange Group |
|
|
74,225 |
|
|
|
14,478 |
|
| Jones Lang LaSalle |
|
|
1,100 |
|
|
|
139 |
|
| Lazard, Cl A |
|
|
7,400 |
|
|
|
375 |
|
| Legg Mason |
|
|
3,200 |
|
|
|
164 |
|
| Marsh & McLennan |
|
|
152,300 |
|
|
|
7,971 |
|
| McGraw-Hill |
|
|
68,300 |
|
|
|
5,768 |
|
| Moody’s |
|
|
26,800 |
|
|
|
2,533 |
|
| MSCI, Cl A |
|
|
19,500 |
|
|
|
917 |
|
| Omega Healthcare Investors (A)† |
|
|
19,300 |
|
|
|
660 |
|
| Public Storage† |
|
|
3,100 |
|
|
|
514 |
|
| Reinsurance Group of America, Cl A |
|
|
7,500 |
|
|
|
601 |
|
| Vornado Realty Trust† |
|
|
18,200 |
|
|
|
1,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 15.6% |
|
|
|
|
|
|
|
|
| Actavis* |
|
|
16,532 |
|
|
|
3,989 |
|
| Aetna, Cl A |
|
|
29,600 |
|
|
|
2,398 |
|
| Agilent Technologies |
|
|
16,700 |
|
|
|
951 |
|
| Allergan |
|
|
160,750 |
|
|
|
28,644 |
|
| AmerisourceBergen |
|
|
89,200 |
|
|
|
6,895 |
|
| Becton Dickinson (A) |
|
|
74,600 |
|
|
|
8,490 |
|
| C.R. Bard |
|
|
11,000 |
|
|
|
1,570 |
|
| Cardinal Health |
|
|
11,500 |
|
|
|
862 |
|
| Celgene, Cl A* |
|
|
347,100 |
|
|
|
32,898 |
|
| Centene* |
|
|
1,500 |
|
|
|
124 |
|
| Charles River Laboratories International* |
|
|
300 |
|
|
|
18 |
|
| Cigna |
|
|
8,000 |
|
|
|
726 |
|
| Cooper, Cl A |
|
|
3,000 |
|
|
|
467 |
|
| Covance* |
|
|
138,724 |
|
|
|
10,918 |
|
| DaVita HealthCare Partners* |
|
|
194,768 |
|
|
|
14,245 |
|
| Dentsply International |
|
|
19,600 |
|
|
|
894 |
|
| Envision Healthcare Holdings* |
|
|
33,700 |
|
|
|
1,169 |
|
| Express Scripts Holding* |
|
|
319,840 |
|
|
|
22,590 |
|
| Gilead Sciences* |
|
|
208,322 |
|
|
|
22,176 |
|
| HCA Holdings* |
|
|
10,100 |
|
|
|
712 |
|
| Henry Schein* |
|
|
37,600 |
|
|
|
4,379 |
|
| Idexx Laboratories* |
|
|
10,200 |
|
|
|
1,202 |
|
| Illumina* |
|
|
11,600 |
|
|
|
1,901 |
|
| Intuitive Surgical* |
|
|
38,487 |
|
|
|
17,774 |
|
| Jazz Pharmaceuticals* |
|
|
500 |
|
|
|
80 |
|
| Johnson & Johnson |
|
|
54,000 |
|
|
|
5,756 |
|
| Laboratory Corp of America Holdings* |
|
|
15,800 |
|
|
|
1,608 |
|
| McKesson |
|
|
22,900 |
|
|
|
4,458 |
|
| MEDNAX* |
|
|
30,300 |
|
|
|
1,661 |
|
| Novo Nordisk ADR |
|
|
327,385 |
|
|
|
15,590 |
|
| Patterson |
|
|
4,900 |
|
|
|
203 |
|
| PerkinElmer |
|
|
8,500 |
|
|
|
371 |
|
| Perrigo |
|
|
67,750 |
|
|
|
10,175 |
|
| Quintiles Transnational Holdings* |
|
|
2,700 |
|
|
|
151 |
|
| Salix Pharmaceuticals* |
|
|
7,700 |
|
|
|
1,203 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Sirona Dental Systems, Cl A* |
|
|
18,500 |
|
|
$ |
1,419 |
|
| St. Jude Medical |
|
|
50,900 |
|
|
|
3,061 |
|
| Stryker |
|
|
58,100 |
|
|
|
4,691 |
|
| Thermo Fisher Scientific |
|
|
18,100 |
|
|
|
2,203 |
|
| Universal Health Services, Cl B |
|
|
7,200 |
|
|
|
752 |
|
| Varian Medical Systems* |
|
|
10,500 |
|
|
|
841 |
|
| Waters* |
|
|
21,000 |
|
|
|
2,081 |
|
| Zimmer Holdings |
|
|
5,500 |
|
|
|
553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 11.6% |
|
|
|
|
|
|
|
|
| 3M |
|
|
101,900 |
|
|
|
14,437 |
|
| Alaska Air Group |
|
|
40,100 |
|
|
|
1,746 |
|
| Allegion |
|
|
39,166 |
|
|
|
1,866 |
|
| American Airlines Group |
|
|
84,400 |
|
|
|
2,994 |
|
| Ametek |
|
|
5,800 |
|
|
|
291 |
|
| Avis Budget Group* |
|
|
16,200 |
|
|
|
889 |
|
| BE Aerospace* |
|
|
41,600 |
|
|
|
3,492 |
|
| Cintas |
|
|
31,400 |
|
|
|
2,217 |
|
| Colfax* |
|
|
45,500 |
|
|
|
2,592 |
|
| Danaher, Cl A |
|
|
242,314 |
|
|
|
18,411 |
|
| Delta Air Lines, Cl A |
|
|
17,800 |
|
|
|
643 |
|
| Dover |
|
|
43,500 |
|
|
|
3,494 |
|
| Dun & Bradstreet (A) |
|
|
3,300 |
|
|
|
388 |
|
| Emerson Electric |
|
|
34,400 |
|
|
|
2,153 |
|
| Equifax |
|
|
30,000 |
|
|
|
2,242 |
|
| Fastenal, Cl A (A) |
|
|
289,647 |
|
|
|
13,005 |
|
| FedEx |
|
|
1,500 |
|
|
|
242 |
|
| Flowserve |
|
|
31,800 |
|
|
|
2,243 |
|
| Fluor |
|
|
125,983 |
|
|
|
8,414 |
|
| HD Supply Holdings* |
|
|
4,800 |
|
|
|
131 |
|
| Honeywell International |
|
|
38,000 |
|
|
|
3,538 |
|
| Hubbell, Cl B |
|
|
3,700 |
|
|
|
446 |
|
| Huntington Ingalls Industries, Cl A |
|
|
15,100 |
|
|
|
1,574 |
|
| IDEX |
|
|
29,900 |
|
|
|
2,164 |
|
| Illinois Tool Works |
|
|
51,400 |
|
|
|
4,339 |
|
| Ingersoll-Rand |
|
|
11,900 |
|
|
|
671 |
|
| ITT |
|
|
12,400 |
|
|
|
557 |
|
| KAR Auction Services |
|
|
11,400 |
|
|
|
326 |
|
| Kirby* |
|
|
14,600 |
|
|
|
1,721 |
|
| Landstar System |
|
|
13,700 |
|
|
|
989 |
|
| Lennox International |
|
|
19,800 |
|
|
|
1,522 |
|
| Lockheed Martin |
|
|
44,400 |
|
|
|
8,115 |
|
| Manitowoc |
|
|
10,000 |
|
|
|
234 |
|
| Nielsen Holdings |
|
|
66,700 |
|
|
|
2,957 |
|
| Norfolk Southern |
|
|
22,700 |
|
|
|
2,533 |
|
| Old Dominion Freight Line, Cl A* |
|
|
23,600 |
|
|
|
1,667 |
|
| Pall |
|
|
43,000 |
|
|
|
3,599 |
|
| Pentair |
|
|
4,800 |
|
|
|
314 |
|
| Robert Half International |
|
|
28,900 |
|
|
|
1,416 |
|
| Rockwell Automation |
|
|
15,900 |
|
|
|
1,747 |
|
| Rockwell Collins |
|
|
24,600 |
|
|
|
1,931 |
|
| Roper Industries |
|
|
18,300 |
|
|
|
2,677 |
|
| Snap-on |
|
|
2,700 |
|
|
|
327 |
|
| Southwest Airlines, Cl A |
|
|
75,300 |
|
|
|
2,543 |
|
| Spirit AeroSystems Holdings, Cl A* |
|
|
13,400 |
|
|
|
510 |
|
| Spirit Airlines* |
|
|
28,200 |
|
|
|
1,950 |
|
| Stericycle, Cl A* |
|
|
151,246 |
|
|
|
17,629 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Toro |
|
|
23,100 |
|
|
$ |
1,368 |
|
| TransDigm Group* |
|
|
20,000 |
|
|
|
3,687 |
|
| Trinity Industries |
|
|
22,700 |
|
|
|
1,061 |
|
| Union Pacific |
|
|
80,700 |
|
|
|
8,750 |
|
| United Parcel Service, Cl B |
|
|
55,900 |
|
|
|
5,495 |
|
| United Rentals (A)* |
|
|
12,300 |
|
|
|
1,366 |
|
| United Technologies |
|
|
28,700 |
|
|
|
3,031 |
|
| WABCO Holdings* |
|
|
1,600 |
|
|
|
146 |
|
| Wabtec |
|
|
38,000 |
|
|
|
3,080 |
|
| Waste Connections |
|
|
32,900 |
|
|
|
1,596 |
|
| Waste Management |
|
|
18,000 |
|
|
|
856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 30.0% |
|
|
|
|
|
|
|
|
| Accenture, Cl A |
|
|
90,375 |
|
|
|
7,349 |
|
| Adobe Systems* |
|
|
239,525 |
|
|
|
16,573 |
|
| Alliance Data Systems* |
|
|
18,500 |
|
|
|
4,593 |
|
| Amphenol, Cl A |
|
|
193,728 |
|
|
|
19,346 |
|
| Ansys* |
|
|
110,343 |
|
|
|
8,350 |
|
| Apple |
|
|
356,554 |
|
|
|
35,923 |
|
| Applied Materials |
|
|
15,700 |
|
|
|
339 |
|
| Automatic Data Processing |
|
|
158,700 |
|
|
|
13,185 |
|
| Avago Technologies, Cl A |
|
|
9,100 |
|
|
|
792 |
|
| Baidu ADR* |
|
|
57,200 |
|
|
|
12,483 |
|
| Broadridge Financial Solutions |
|
|
49,100 |
|
|
|
2,044 |
|
| CDW |
|
|
25,800 |
|
|
|
801 |
|
| Cognizant Technology Solutions, Cl A* |
|
|
209,101 |
|
|
|
9,361 |
|
| Corning, Cl B |
|
|
115,100 |
|
|
|
2,226 |
|
| DST Systems |
|
|
11,300 |
|
|
|
948 |
|
| eBay* |
|
|
473,250 |
|
|
|
26,800 |
|
| Equinix* |
|
|
80,925 |
|
|
|
17,195 |
|
| Factset Research Systems |
|
|
600 |
|
|
|
73 |
|
| Fidelity National Information Services, Cl B |
|
|
15,200 |
|
|
|
856 |
|
| Fiserv, Cl A* |
|
|
105,500 |
|
|
|
6,819 |
|
| FleetCor Technologies* |
|
|
15,100 |
|
|
|
2,146 |
|
| Flir Systems |
|
|
12,900 |
|
|
|
404 |
|
| Gartner* |
|
|
35,100 |
|
|
|
2,579 |
|
| Genpact* |
|
|
575,093 |
|
|
|
9,386 |
|
| Global Payments |
|
|
16,000 |
|
|
|
1,118 |
|
| Google, Cl A* |
|
|
38,986 |
|
|
|
22,940 |
|
| Google, Cl C* |
|
|
39,136 |
|
|
|
22,595 |
|
| Harris |
|
|
7,400 |
|
|
|
491 |
|
| IAC |
|
|
2,100 |
|
|
|
138 |
|
| Intel |
|
|
45,100 |
|
|
|
1,570 |
|
| Intuit |
|
|
221,900 |
|
|
|
19,450 |
|
| Jack Henry & Associates |
|
|
34,300 |
|
|
|
1,909 |
|
| KLA-Tencor |
|
|
9,500 |
|
|
|
749 |
|
| Linear Technology |
|
|
19,400 |
|
|
|
861 |
|
| MasterCard, Cl A |
|
|
338,400 |
|
|
|
25,015 |
|
| Microchip Technology (A) |
|
|
37,600 |
|
|
|
1,776 |
|
| Micron Technology* |
|
|
43,200 |
|
|
|
1,480 |
|
| Microsoft |
|
|
702,300 |
|
|
|
32,559 |
|
| Motorola Solutions |
|
|
20,600 |
|
|
|
1,304 |
|
| National Instruments |
|
|
253,338 |
|
|
|
7,836 |
|
| NetSuite* |
|
|
41,493 |
|
|
|
3,715 |
|
| Paychex |
|
|
94,500 |
|
|
|
4,177 |
|
| PTC* |
|
|
13,400 |
|
|
|
494 |
|
| Qualcomm |
|
|
572,373 |
|
|
|
42,796 |
|
| Salesforce.com* |
|
|
241,773 |
|
|
|
13,909 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| SanDisk |
|
|
14,800 |
|
|
$ |
1,449 |
|
| SunEdison* |
|
|
35,500 |
|
|
|
670 |
|
| Texas Instruments |
|
|
19,500 |
|
|
|
930 |
|
| Vantiv, Cl A* |
|
|
32,700 |
|
|
|
1,010 |
|
| VeriSign (A)* |
|
|
2,100 |
|
|
|
116 |
|
| Visa, Cl A |
|
|
216,709 |
|
|
|
46,239 |
|
| Xilinx |
|
|
75,200 |
|
|
|
3,185 |
|
| Yelp, Cl A* |
|
|
79,225 |
|
|
|
5,407 |
|
| Zebra Technologies, Cl A* |
|
|
21,400 |
|
|
|
1,519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
467,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
|
|
|
|
|
|
|
| Airgas |
|
|
22,900 |
|
|
|
2,534 |
|
| AptarGroup |
|
|
7,900 |
|
|
|
479 |
|
| Ball |
|
|
28,400 |
|
|
|
1,797 |
|
| Cytec Industries |
|
|
2,600 |
|
|
|
123 |
|
| Dow Chemical, Cl A |
|
|
35,700 |
|
|
|
1,872 |
|
| E.I. Du Pont de Nemours |
|
|
42,700 |
|
|
|
3,064 |
|
| Ecolab |
|
|
215,784 |
|
|
|
24,779 |
|
| FMC |
|
|
34,100 |
|
|
|
1,950 |
|
| Huntsman |
|
|
37,400 |
|
|
|
972 |
|
| International Flavors & Fragrances |
|
|
32,300 |
|
|
|
3,097 |
|
| LyondellBasell Industries, Cl A |
|
|
43,500 |
|
|
|
4,727 |
|
| NewMarket (A) |
|
|
3,800 |
|
|
|
1,448 |
|
| Packaging Corp of America |
|
|
40,700 |
|
|
|
2,597 |
|
| PPG Industries |
|
|
10,200 |
|
|
|
2,007 |
|
| Praxair |
|
|
19,300 |
|
|
|
2,490 |
|
| RPM International |
|
|
38,500 |
|
|
|
1,763 |
|
| Sherwin-Williams, Cl A |
|
|
2,500 |
|
|
|
547 |
|
| Sigma-Aldrich |
|
|
17,500 |
|
|
|
2,380 |
|
| Silgan Holdings |
|
|
17,800 |
|
|
|
837 |
|
| Syngenta (A) |
|
|
104,724 |
|
|
|
6,636 |
|
| Westlake Chemical |
|
|
12,900 |
|
|
|
1,117 |
|
| WR Grace* |
|
|
23,700 |
|
|
|
2,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,371 |
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.3% |
|
|
|
|
|
| CenturyTel |
|
|
14,500 |
|
|
|
593 |
|
| SBA Communications, Cl A* |
|
|
33,100 |
|
|
|
3,671 |
|
| Windstream Holdings (A) |
|
|
52,900 |
|
|
|
570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.2% |
|
|
|
|
|
|
|
|
| ITC Holdings |
|
|
68,300 |
|
|
|
2,434 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,202,856) ($ Thousands) |
|
|
|
1,536,884 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.0% |
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
47,416,649 |
|
|
|
47,417 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $47,417) ($ Thousands) |
|
|
|
47,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| CASH EQUIVALENTS — 1.5% |
|
|
|
|
|
|
|
|
| Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund,
0.010%** |
|
|
2,464,028 |
|
|
$ |
2,464 |
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.010%**†† |
|
|
21,336,432 |
|
|
|
21,336 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalents
(Cost $23,800) ($ Thousands) |
|
|
|
|
|
|
23,800 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
|
| U.S. Treasury Bills
0.040%, 03/05/15 |
|
$ |
1,594 |
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,594) ($ Thousands) |
|
|
|
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.3%
(Cost $1,275,667) ($ Thousands) |
|
|
|
|
|
$ |
1,609,695 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
19 |
|
|
|
Dec-2014 |
|
|
$ |
(100 |
) |
| S&P 500 Index EMINI |
|
|
142 |
|
|
|
Dec-2014 |
|
|
|
(112 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,557,968
($ Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$46,000 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2014 was $47,417 ($ Thousands).
|
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard and Poor’s
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,536,884 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,536,884 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
47,417 |
|
|
|
— |
|
|
|
47,417 |
|
| Cash Equivalents |
|
|
23,800 |
|
|
|
— |
|
|
|
— |
|
|
|
23,800 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,594 |
|
|
|
— |
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,560,684 |
|
|
$ |
49,011 |
|
|
$ |
— |
|
|
$ |
1,609,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(212 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(212 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—“ are $0 or have been rounded to $0.
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 94.6% |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 11.5% |
|
|
|
|
|
|
|
|
| Amazon.com, Cl A* |
|
|
5,145 |
|
|
$ |
1,659 |
|
| Autoliv (A) |
|
|
22,650 |
|
|
|
2,082 |
|
| Bed Bath & Beyond* |
|
|
18,911 |
|
|
|
1,245 |
|
| Best Buy |
|
|
86,319 |
|
|
|
2,899 |
|
| CarMax* |
|
|
1,883 |
|
|
|
87 |
|
| CBS, Cl B |
|
|
208,745 |
|
|
|
11,168 |
|
| Charter Communications, Cl A* |
|
|
19,672 |
|
|
|
2,978 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
13,788 |
|
|
|
9,191 |
|
| Coach |
|
|
137,282 |
|
|
|
4,889 |
|
| Comcast, Cl A |
|
|
199,521 |
|
|
|
10,730 |
|
| CST Brands |
|
|
26,846 |
|
|
|
965 |
|
| Darden Restaurants |
|
|
3,127 |
|
|
|
161 |
|
| Delphi Automotive |
|
|
118,155 |
|
|
|
7,248 |
|
| Dillard’s, Cl A |
|
|
25,714 |
|
|
|
2,803 |
|
| DIRECTV* |
|
|
149,085 |
|
|
|
12,899 |
|
| Discovery Communications, Cl A (A)* |
|
|
26,104 |
|
|
|
987 |
|
| Discovery Communications, Cl C* |
|
|
271,663 |
|
|
|
10,128 |
|
| DISH Network, Cl A* |
|
|
17,303 |
|
|
|
1,117 |
|
| Domino’s Pizza |
|
|
18,894 |
|
|
|
1,454 |
|
| DR Horton |
|
|
6,500 |
|
|
|
133 |
|
| Expedia (A) |
|
|
7,289 |
|
|
|
639 |
|
| Family Dollar Stores |
|
|
701 |
|
|
|
54 |
|
| Foot Locker, Cl A |
|
|
90,000 |
|
|
|
5,009 |
|
| Ford Motor |
|
|
249,297 |
|
|
|
3,687 |
|
| Fossil Group* |
|
|
36,577 |
|
|
|
3,435 |
|
| GameStop, Cl A (A) |
|
|
164,221 |
|
|
|
6,766 |
|
| Gannett |
|
|
153,973 |
|
|
|
4,568 |
|
| Gap |
|
|
100,419 |
|
|
|
4,187 |
|
| General Motors |
|
|
4,749 |
|
|
|
152 |
|
| Genuine Parts |
|
|
2,400 |
|
|
|
210 |
|
| Goodyear Tire & Rubber |
|
|
145,740 |
|
|
|
3,291 |
|
| Graham Holdings, Cl B |
|
|
809 |
|
|
|
566 |
|
| H&R Block |
|
|
52,113 |
|
|
|
1,616 |
|
| Harley-Davidson, Cl A |
|
|
278,957 |
|
|
|
16,235 |
|
| Harman International Industries, Cl A |
|
|
89,212 |
|
|
|
8,746 |
|
| Hasbro |
|
|
9,640 |
|
|
|
530 |
|
| Home Depot |
|
|
119,248 |
|
|
|
10,940 |
|
| International Game Technology |
|
|
28,909 |
|
|
|
488 |
|
| Interpublic Group |
|
|
2,743 |
|
|
|
50 |
|
| Johnson Controls |
|
|
4,300 |
|
|
|
189 |
|
| Kohl’s |
|
|
11,093 |
|
|
|
677 |
|
| L Brands |
|
|
147,326 |
|
|
|
9,868 |
|
| Lands’ End (A)* |
|
|
119,166 |
|
|
|
4,900 |
|
| Las Vegas Sands |
|
|
4,119 |
|
|
|
256 |
|
| Lear |
|
|
115,549 |
|
|
|
9,985 |
|
| Liberty Global, Cl A (A)* |
|
|
3,095 |
|
|
|
132 |
|
| Liberty Global* |
|
|
3,095 |
|
|
|
127 |
|
| Liberty Media - Interactive, Cl A* |
|
|
569,028 |
|
|
|
16,229 |
|
| Liberty TripAdvisor Holdings, Cl A* |
|
|
16,818 |
|
|
|
570 |
|
| Liberty Ventures, Ser A* |
|
|
16,818 |
|
|
|
638 |
|
| LKQ* |
|
|
13,165 |
|
|
|
350 |
|
| Lowe’s |
|
|
45,020 |
|
|
|
2,382 |
|
| Macy’s |
|
|
86,900 |
|
|
|
5,056 |
|
| Magna International, Cl A |
|
|
65,512 |
|
|
|
6,218 |
|
| Marriott International, Cl A |
|
|
11 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| McDonald’s |
|
|
6,294 |
|
|
$ |
597 |
|
| MGM Mirage* |
|
|
33,662 |
|
|
|
767 |
|
| Murphy USA* |
|
|
24,225 |
|
|
|
1,285 |
|
| NetFlix* |
|
|
1,635 |
|
|
|
738 |
|
| Newell Rubbermaid, Cl B |
|
|
63,977 |
|
|
|
2,201 |
|
| News, Ser Cl A* |
|
|
48,686 |
|
|
|
796 |
|
| News, Ser Cl B* |
|
|
58,750 |
|
|
|
948 |
|
| Nike, Cl B |
|
|
249,213 |
|
|
|
22,230 |
|
| Nordstrom |
|
|
117,714 |
|
|
|
8,048 |
|
| Omnicom Group |
|
|
3,479 |
|
|
|
239 |
|
| PetSmart |
|
|
1,608 |
|
|
|
113 |
|
| priceline.com* |
|
|
15,768 |
|
|
|
18,268 |
|
| Ralph Lauren, Cl A |
|
|
1,827 |
|
|
|
301 |
|
| Royal Caribbean Cruises |
|
|
3,900 |
|
|
|
262 |
|
| Signet Jewelers |
|
|
40,637 |
|
|
|
4,629 |
|
| Sirius XM Holdings (A)* |
|
|
19,560 |
|
|
|
68 |
|
| Staples |
|
|
4,274 |
|
|
|
52 |
|
| Starbucks |
|
|
139,397 |
|
|
|
10,519 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
4,743 |
|
|
|
395 |
|
| Target, Cl A |
|
|
21,414 |
|
|
|
1,342 |
|
| Tempur-Pedic International (A)* |
|
|
21,091 |
|
|
|
1,185 |
|
| Tesla Motors (A)* |
|
|
10,289 |
|
|
|
2,497 |
|
| Time* |
|
|
5,248 |
|
|
|
123 |
|
| Time Warner |
|
|
41,985 |
|
|
|
3,158 |
|
| Time Warner Cable, Cl A |
|
|
81,364 |
|
|
|
11,675 |
|
| TJX |
|
|
4,954 |
|
|
|
293 |
|
| TripAdvisor* |
|
|
11,773 |
|
|
|
1,076 |
|
| TRW Automotive Holdings* |
|
|
16,424 |
|
|
|
1,663 |
|
| Tupperware Brands |
|
|
5,517 |
|
|
|
381 |
|
| Twenty-First Century Fox, Cl A |
|
|
114,501 |
|
|
|
3,926 |
|
| Twenty-First Century Fox |
|
|
343,373 |
|
|
|
11,438 |
|
| Under Armour, Cl A (A)* |
|
|
66,082 |
|
|
|
4,566 |
|
| Urban Outfitters* |
|
|
763 |
|
|
|
28 |
|
| VF |
|
|
4,748 |
|
|
|
313 |
|
| Walt Disney |
|
|
114,940 |
|
|
|
10,233 |
|
| Whirlpool |
|
|
68,064 |
|
|
|
9,914 |
|
| Wyndham Worldwide |
|
|
55,235 |
|
|
|
4,488 |
|
| Yum! Brands |
|
|
29,668 |
|
|
|
2,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
356,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 7.6% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
89,960 |
|
|
|
4,133 |
|
| Anheuser-Busch InBev ADR |
|
|
132,920 |
|
|
|
14,734 |
|
| Archer-Daniels-Midland |
|
|
240,966 |
|
|
|
12,313 |
|
| Brown-Forman, Cl B |
|
|
19,493 |
|
|
|
1,759 |
|
| Bunge |
|
|
22,852 |
|
|
|
1,925 |
|
| Church & Dwight |
|
|
11,874 |
|
|
|
833 |
|
| Clorox |
|
|
832 |
|
|
|
80 |
|
| Coca-Cola |
|
|
84,125 |
|
|
|
3,589 |
|
| Coca-Cola Enterprises |
|
|
38,954 |
|
|
|
1,728 |
|
| Colgate-Palmolive |
|
|
6,566 |
|
|
|
428 |
|
| ConAgra Foods |
|
|
49,133 |
|
|
|
1,623 |
|
| Constellation Brands, Cl A* |
|
|
10,975 |
|
|
|
957 |
|
| Costco Wholesale |
|
|
190,219 |
|
|
|
23,838 |
|
| CVS Health |
|
|
260,343 |
|
|
|
20,721 |
|
| Dr Pepper Snapple Group |
|
|
25,908 |
|
|
|
1,666 |
|
| Estee Lauder, Cl A |
|
|
157,034 |
|
|
|
11,733 |
|
| Herbalife (A)* |
|
|
10,600 |
|
|
|
464 |
|
| Hershey |
|
|
47,876 |
|
|
|
4,569 |
|
| Ingredion (A) |
|
|
22,400 |
|
|
|
1,698 |
|
| Keurig Green Mountain |
|
|
11,520 |
|
|
|
1,499 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Kimberly-Clark |
|
|
41,873 |
|
|
$ |
4,504 |
|
| Kraft Foods |
|
|
13,143 |
|
|
|
741 |
|
| Kroger |
|
|
265,496 |
|
|
|
13,806 |
|
| Lorillard |
|
|
80,682 |
|
|
|
4,834 |
|
| Mead Johnson Nutrition, Cl A |
|
|
211,348 |
|
|
|
20,336 |
|
| Mondelez International, Cl A |
|
|
244,723 |
|
|
|
8,386 |
|
| PepsiCo |
|
|
3,825 |
|
|
|
356 |
|
| Philip Morris International |
|
|
142,499 |
|
|
|
11,884 |
|
| Procter & Gamble |
|
|
83,374 |
|
|
|
6,982 |
|
| Reynolds American |
|
|
93,279 |
|
|
|
5,503 |
|
| Safeway |
|
|
107,954 |
|
|
|
3,703 |
|
| SYSCO, Cl A |
|
|
6,029 |
|
|
|
229 |
|
| Tyson Foods, Cl A |
|
|
381,578 |
|
|
|
15,023 |
|
| Walgreen |
|
|
281,641 |
|
|
|
16,693 |
|
| Wal-Mart Stores |
|
|
48,480 |
|
|
|
3,707 |
|
| WhiteWave Foods, Cl A* |
|
|
17,791 |
|
|
|
646 |
|
| Whole Foods Market |
|
|
210,822 |
|
|
|
8,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
235,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 10.5% |
|
|
|
|
|
|
|
|
| Anadarko Petroleum, Cl A |
|
|
3,563 |
|
|
|
361 |
|
| Apache |
|
|
9,872 |
|
|
|
927 |
|
| Baker Hughes |
|
|
50,488 |
|
|
|
3,285 |
|
| Cabot Oil & Gas |
|
|
91,996 |
|
|
|
3,007 |
|
| Cameron International* |
|
|
89,684 |
|
|
|
5,953 |
|
| Cheniere Energy* |
|
|
15,424 |
|
|
|
1,234 |
|
| Chesapeake Energy |
|
|
4,174 |
|
|
|
96 |
|
| Chevron |
|
|
248,643 |
|
|
|
29,668 |
|
| Cimarex Energy |
|
|
5,805 |
|
|
|
735 |
|
| Concho Resources* |
|
|
900 |
|
|
|
113 |
|
| ConocoPhillips |
|
|
257,902 |
|
|
|
19,735 |
|
| Continental Resources, Cl A (A)* |
|
|
49,660 |
|
|
|
3,301 |
|
| Core Laboratories (A) |
|
|
58,324 |
|
|
|
8,536 |
|
| Devon Energy |
|
|
6,790 |
|
|
|
463 |
|
| Energen |
|
|
750 |
|
|
|
54 |
|
| EOG Resources |
|
|
272,227 |
|
|
|
26,956 |
|
| EQT |
|
|
2,100 |
|
|
|
192 |
|
| Exxon Mobil |
|
|
394,419 |
|
|
|
37,095 |
|
| FMC Technologies (A)* |
|
|
169,519 |
|
|
|
9,207 |
|
| Halliburton |
|
|
137,907 |
|
|
|
8,896 |
|
| Helmerich & Payne |
|
|
55,735 |
|
|
|
5,455 |
|
| Hess |
|
|
96,213 |
|
|
|
9,075 |
|
| HollyFrontier |
|
|
5,691 |
|
|
|
249 |
|
| Kinder Morgan (A) |
|
|
251,314 |
|
|
|
9,635 |
|
| Marathon Oil |
|
|
197,196 |
|
|
|
7,413 |
|
| Marathon Petroleum |
|
|
136,931 |
|
|
|
11,594 |
|
| MarkWest Energy Partners (A) |
|
|
43,354 |
|
|
|
3,330 |
|
| Murphy Oil |
|
|
96,903 |
|
|
|
5,515 |
|
| Nabors Industries |
|
|
33,146 |
|
|
|
754 |
|
| National Oilwell Varco, Cl A |
|
|
44,172 |
|
|
|
3,361 |
|
| Noble Energy (A) |
|
|
234,453 |
|
|
|
16,027 |
|
| Occidental Petroleum |
|
|
17,280 |
|
|
|
1,662 |
|
| Patterson-UTI Energy |
|
|
48,928 |
|
|
|
1,592 |
|
| Phillips 66 |
|
|
342,900 |
|
|
|
27,881 |
|
| Pioneer Natural Resources |
|
|
2,401 |
|
|
|
473 |
|
| Schlumberger, Cl A |
|
|
169,851 |
|
|
|
17,272 |
|
| Seventy Seven Energy* |
|
|
298 |
|
|
|
7 |
|
| SM Energy |
|
|
44,855 |
|
|
|
3,499 |
|
| Spectra Energy |
|
|
43,512 |
|
|
|
1,708 |
|
| Suncor Energy |
|
|
96,983 |
|
|
|
3,506 |
|
| Superior Energy Services |
|
|
31,248 |
|
|
|
1,027 |
|
| Targa Resources |
|
|
35,082 |
|
|
|
4,777 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Teekay Shipping |
|
|
40,972 |
|
|
$ |
2,719 |
|
| Tesoro |
|
|
20,299 |
|
|
|
1,238 |
|
| Ultra Petroleum (A)* |
|
|
12,516 |
|
|
|
291 |
|
| Valero Energy |
|
|
174,730 |
|
|
|
8,085 |
|
| Williams |
|
|
298,651 |
|
|
|
16,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.9% |
|
|
|
|
|
|
|
|
| ACE |
|
|
32,344 |
|
|
|
3,392 |
|
| Aflac |
|
|
68,072 |
|
|
|
3,965 |
|
| Allied World Assurance Holdings |
|
|
112,032 |
|
|
|
4,127 |
|
| Allstate |
|
|
59,438 |
|
|
|
3,648 |
|
| American Capital* |
|
|
129,457 |
|
|
|
1,833 |
|
| American Express |
|
|
26,517 |
|
|
|
2,321 |
|
| American Financial Group |
|
|
39,790 |
|
|
|
2,303 |
|
| American International Group |
|
|
531,198 |
|
|
|
28,695 |
|
| American Tower, Cl A† |
|
|
49,283 |
|
|
|
4,614 |
|
| Ameriprise Financial |
|
|
82,444 |
|
|
|
10,172 |
|
| Aon |
|
|
17,008 |
|
|
|
1,491 |
|
| Arch Capital Group* |
|
|
6,051 |
|
|
|
331 |
|
| Arthur J. Gallagher |
|
|
11,453 |
|
|
|
520 |
|
| Associated Banc-Corp |
|
|
21,133 |
|
|
|
368 |
|
| Assurant (A) |
|
|
185,288 |
|
|
|
11,914 |
|
| AvalonBay Communities† |
|
|
1,788 |
|
|
|
252 |
|
| Axis Capital Holdings |
|
|
113,203 |
|
|
|
5,358 |
|
| Bank of America |
|
|
1,261,847 |
|
|
|
21,515 |
|
| Bank of New York Mellon |
|
|
51,336 |
|
|
|
1,988 |
|
| BB&T |
|
|
51,249 |
|
|
|
1,907 |
|
| Berkshire Hathaway, Cl B* |
|
|
43,666 |
|
|
|
6,032 |
|
| BlackRock |
|
|
2,401 |
|
|
|
788 |
|
| Boston Properties† |
|
|
4,827 |
|
|
|
559 |
|
| Brandywine Realty Trust† |
|
|
101,137 |
|
|
|
1,423 |
|
| Capital One Financial |
|
|
188,167 |
|
|
|
15,358 |
|
| CBL & Associates Properties† |
|
|
28,663 |
|
|
|
513 |
|
| CBRE Group, Cl A* |
|
|
2,800 |
|
|
|
83 |
|
| Charles Schwab |
|
|
508,727 |
|
|
|
14,952 |
|
| Chubb |
|
|
129,966 |
|
|
|
11,837 |
|
| Citigroup |
|
|
505,196 |
|
|
|
26,179 |
|
| CME Group |
|
|
87,815 |
|
|
|
7,021 |
|
| Comerica |
|
|
24,959 |
|
|
|
1,244 |
|
| Crown Castle International† |
|
|
321,932 |
|
|
|
25,925 |
|
| Cullen/Frost Bankers (A) |
|
|
15,682 |
|
|
|
1,200 |
|
| Digital Realty Trust, Cl A† |
|
|
1,300 |
|
|
|
81 |
|
| Discover Financial Services |
|
|
300,119 |
|
|
|
19,325 |
|
| E*Trade Financial* |
|
|
109,253 |
|
|
|
2,468 |
|
| Equity Residential† |
|
|
13,138 |
|
|
|
809 |
|
| Everest Re Group |
|
|
60,718 |
|
|
|
9,837 |
|
| Fifth Third Bancorp |
|
|
689,655 |
|
|
|
13,807 |
|
| FNF Group |
|
|
8,706 |
|
|
|
242 |
|
| FNFV Group* |
|
|
2,901 |
|
|
|
40 |
|
| Franklin Resources |
|
|
78,842 |
|
|
|
4,306 |
|
| General Growth Properties† |
|
|
22,472 |
|
|
|
529 |
|
| Genworth Financial, Cl A* |
|
|
83,086 |
|
|
|
1,088 |
|
| Goldman Sachs Group |
|
|
21,644 |
|
|
|
3,973 |
|
| Hartford Financial Services Group |
|
|
101,910 |
|
|
|
3,796 |
|
| Health Care† |
|
|
5,009 |
|
|
|
312 |
|
| Hospitality Properties Trust† |
|
|
55,114 |
|
|
|
1,480 |
|
| Host Hotels & Resorts† |
|
|
15,849 |
|
|
|
338 |
|
| Huntington Bancshares |
|
|
321,477 |
|
|
|
3,128 |
|
| IntercontinentalExchange Group |
|
|
50,070 |
|
|
|
9,766 |
|
| JPMorgan Chase |
|
|
474,451 |
|
|
|
28,581 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| KeyCorp |
|
|
816,571 |
|
|
$ |
10,885 |
|
| Kimco Realty† |
|
|
15,742 |
|
|
|
345 |
|
| Lincoln National |
|
|
182,558 |
|
|
|
9,781 |
|
| Loews |
|
|
5,360 |
|
|
|
223 |
|
| Macerich† |
|
|
5,647 |
|
|
|
360 |
|
| McGraw-Hill |
|
|
110,000 |
|
|
|
9,290 |
|
| MetLife |
|
|
56,878 |
|
|
|
3,056 |
|
| Morgan Stanley |
|
|
24,877 |
|
|
|
860 |
|
| Nationstar Mortgage Holdings (A)* |
|
|
124,992 |
|
|
|
4,280 |
|
| Navient |
|
|
76,532 |
|
|
|
1,356 |
|
| PartnerRe |
|
|
129,412 |
|
|
|
14,221 |
|
| People’s United Financial (A) |
|
|
23,725 |
|
|
|
343 |
|
| PNC Financial Services Group |
|
|
133,835 |
|
|
|
11,454 |
|
| Popular* |
|
|
44,819 |
|
|
|
1,319 |
|
| Progressive |
|
|
309,125 |
|
|
|
7,815 |
|
| ProLogis† |
|
|
14,709 |
|
|
|
555 |
|
| Protective Life |
|
|
103,767 |
|
|
|
7,203 |
|
| Prudential Financial |
|
|
44,724 |
|
|
|
3,933 |
|
| Public Storage† |
|
|
4,106 |
|
|
|
681 |
|
| Raymond James Financial |
|
|
4,992 |
|
|
|
267 |
|
| Regions Financial |
|
|
507,300 |
|
|
|
5,093 |
|
| Reinsurance Group of America, Cl A |
|
|
80,696 |
|
|
|
6,466 |
|
| RenaissanceRe Holdings (A) |
|
|
16,714 |
|
|
|
1,671 |
|
| RLJ Lodging Trust† |
|
|
38,000 |
|
|
|
1,082 |
|
| Simon Property Group† |
|
|
20,571 |
|
|
|
3,382 |
|
| SLM |
|
|
76,532 |
|
|
|
655 |
|
| Spirit Realty Capital† |
|
|
131,075 |
|
|
|
1,438 |
|
| State Street |
|
|
40,538 |
|
|
|
2,984 |
|
| SunTrust Banks |
|
|
16,281 |
|
|
|
619 |
|
| Taubman Centers† |
|
|
4,009 |
|
|
|
293 |
|
| Torchmark, Cl A |
|
|
17,535 |
|
|
|
918 |
|
| Travelers |
|
|
120,419 |
|
|
|
11,312 |
|
| Unum Group |
|
|
110,928 |
|
|
|
3,814 |
|
| US Bancorp |
|
|
65,779 |
|
|
|
2,752 |
|
| Validus Holdings |
|
|
28,272 |
|
|
|
1,107 |
|
| Ventas† |
|
|
7,372 |
|
|
|
457 |
|
| Vornado Realty Trust† |
|
|
5,334 |
|
|
|
533 |
|
| Voya Financial |
|
|
39,187 |
|
|
|
1,532 |
|
| Washington Prime Group† |
|
|
3,361 |
|
|
|
59 |
|
| Wells Fargo |
|
|
571,346 |
|
|
|
29,636 |
|
| Weyerhaeuser† |
|
|
17,503 |
|
|
|
558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
492,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 14.3% |
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
99,343 |
|
|
|
4,132 |
|
| AbbVie |
|
|
87,679 |
|
|
|
5,064 |
|
| Actavis* |
|
|
23,176 |
|
|
|
5,592 |
|
| Aetna, Cl A |
|
|
56,625 |
|
|
|
4,587 |
|
| Agilent Technologies |
|
|
5,250 |
|
|
|
299 |
|
| Alexion Pharmaceuticals* |
|
|
53,484 |
|
|
|
8,869 |
|
| Allergan |
|
|
165,605 |
|
|
|
29,509 |
|
| AmerisourceBergen |
|
|
88,988 |
|
|
|
6,879 |
|
| Amgen, Cl A |
|
|
144,948 |
|
|
|
20,359 |
|
| Ariad Pharmaceuticals (A)* |
|
|
428,752 |
|
|
|
2,315 |
|
| Baxter International |
|
|
36,801 |
|
|
|
2,641 |
|
| Becton Dickinson |
|
|
2,360 |
|
|
|
269 |
|
| Biogen Idec* |
|
|
79,044 |
|
|
|
26,149 |
|
| Bristol-Myers Squibb |
|
|
168,291 |
|
|
|
8,613 |
|
| Cardinal Health |
|
|
108,112 |
|
|
|
8,100 |
|
| Celgene, Cl A* |
|
|
336,014 |
|
|
|
31,848 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Cerner (A)* |
|
|
4,400 |
|
|
$ |
262 |
|
| Cigna |
|
|
68,071 |
|
|
|
6,173 |
|
| Community Health Systems* |
|
|
39,000 |
|
|
|
2,137 |
|
| Covance* |
|
|
92,947 |
|
|
|
7,315 |
|
| Covidien |
|
|
15,456 |
|
|
|
1,337 |
|
| DaVita HealthCare Partners* |
|
|
143,162 |
|
|
|
10,471 |
|
| Edwards Lifesciences, Cl A* |
|
|
1,400 |
|
|
|
143 |
|
| Eli Lilly |
|
|
51,961 |
|
|
|
3,370 |
|
| Endo International* |
|
|
29,070 |
|
|
|
1,987 |
|
| Express Scripts Holding* |
|
|
289,070 |
|
|
|
20,417 |
|
| Gilead Sciences* |
|
|
231,849 |
|
|
|
24,680 |
|
| HCA Holdings* |
|
|
91,112 |
|
|
|
6,425 |
|
| Health Net, Cl A* |
|
|
11,102 |
|
|
|
512 |
|
| Henry Schein* |
|
|
1,000 |
|
|
|
116 |
|
| Hill-Rom Holdings |
|
|
14,983 |
|
|
|
621 |
|
| Humana |
|
|
142,839 |
|
|
|
18,610 |
|
| Idexx Laboratories (A)* |
|
|
36,178 |
|
|
|
4,263 |
|
| Illumina* |
|
|
3,684 |
|
|
|
604 |
|
| Intuitive Surgical* |
|
|
16,927 |
|
|
|
7,817 |
|
| Jazz Pharmaceuticals* |
|
|
30,220 |
|
|
|
4,852 |
|
| Johnson & Johnson |
|
|
181,443 |
|
|
|
19,340 |
|
| Mallinckrodt (A)* |
|
|
24,625 |
|
|
|
2,220 |
|
| McKesson |
|
|
63,426 |
|
|
|
12,347 |
|
| Medivation* |
|
|
8,573 |
|
|
|
848 |
|
| Medtronic |
|
|
90,275 |
|
|
|
5,593 |
|
| Merck |
|
|
162,674 |
|
|
|
9,643 |
|
| Novo Nordisk ADR |
|
|
292,209 |
|
|
|
13,915 |
|
| Omnicare |
|
|
95,994 |
|
|
|
5,977 |
|
| Patterson |
|
|
2,100 |
|
|
|
87 |
|
| Perrigo |
|
|
32,384 |
|
|
|
4,864 |
|
| Pfizer |
|
|
803,311 |
|
|
|
23,754 |
|
| Regeneron Pharmaceuticals* |
|
|
4,677 |
|
|
|
1,686 |
|
| Salix Pharmaceuticals* |
|
|
4,958 |
|
|
|
775 |
|
| Shire ADR |
|
|
84,071 |
|
|
|
21,778 |
|
| St. Jude Medical |
|
|
64,996 |
|
|
|
3,908 |
|
| Tenet Healthcare* |
|
|
4,865 |
|
|
|
289 |
|
| Teva Pharmaceutical Industries ADR |
|
|
6,003 |
|
|
|
323 |
|
| United Therapeutics* |
|
|
71,499 |
|
|
|
9,198 |
|
| UnitedHealth Group |
|
|
4,280 |
|
|
|
369 |
|
| Vertex Pharmaceuticals* |
|
|
7,611 |
|
|
|
855 |
|
| Waters* |
|
|
1,600 |
|
|
|
158 |
|
| WellPoint |
|
|
112,322 |
|
|
|
13,436 |
|
| Zimmer Holdings |
|
|
37,448 |
|
|
|
3,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
442,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 8.9% |
|
|
|
|
|
|
|
|
| ADT, Cl A (A) |
|
|
1,662 |
|
|
|
59 |
|
| Aecom Technology* |
|
|
11,743 |
|
|
|
396 |
|
| AGCO |
|
|
52,600 |
|
|
|
2,391 |
|
| Alaska Air Group (A) |
|
|
181,446 |
|
|
|
7,900 |
|
| Allegion |
|
|
3,048 |
|
|
|
145 |
|
| Alliant Techsystems |
|
|
12,857 |
|
|
|
1,641 |
|
| Avis Budget Group (A)* |
|
|
40,000 |
|
|
|
2,195 |
|
| Babcock & Wilcox |
|
|
37,080 |
|
|
|
1,027 |
|
| Boeing |
|
|
12,550 |
|
|
|
1,599 |
|
| C.H. Robinson Worldwide |
|
|
2,502 |
|
|
|
166 |
|
| Canadian Pacific Railway |
|
|
137,739 |
|
|
|
28,577 |
|
| Carlisle |
|
|
1,500 |
|
|
|
121 |
|
| Caterpillar, Cl A |
|
|
38,536 |
|
|
|
3,816 |
|
| Chicago Bridge & Iron |
|
|
199 |
|
|
|
12 |
|
| Copa Holdings, Cl A |
|
|
2,992 |
|
|
|
321 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| CSX |
|
|
10,047 |
|
|
$ |
322 |
|
| Cummins |
|
|
67,680 |
|
|
|
8,932 |
|
| Danaher, Cl A |
|
|
125,204 |
|
|
|
9,513 |
|
| Deere |
|
|
7,864 |
|
|
|
645 |
|
| Delta Air Lines, Cl A |
|
|
248,720 |
|
|
|
8,991 |
|
| Donaldson, Cl A (A) |
|
|
3,800 |
|
|
|
154 |
|
| Dover |
|
|
3,105 |
|
|
|
250 |
|
| Dun & Bradstreet |
|
|
21,406 |
|
|
|
2,515 |
|
| Eaton |
|
|
3,913 |
|
|
|
248 |
|
| Emerson Electric |
|
|
4,998 |
|
|
|
313 |
|
| Engility Holdings* |
|
|
13,582 |
|
|
|
423 |
|
| Equifax |
|
|
2,500 |
|
|
|
187 |
|
| Exelis |
|
|
402,985 |
|
|
|
6,665 |
|
| Expeditors International of Washington |
|
|
1,343 |
|
|
|
54 |
|
| FedEx |
|
|
38,230 |
|
|
|
6,172 |
|
| Fluor |
|
|
110,375 |
|
|
|
7,372 |
|
| Fortune Brands Home & Security |
|
|
1,837 |
|
|
|
76 |
|
| General Dynamics |
|
|
19,797 |
|
|
|
2,516 |
|
| General Electric |
|
|
224,840 |
|
|
|
5,760 |
|
| Genesee & Wyoming, Cl A* |
|
|
2,905 |
|
|
|
277 |
|
| Hertz Global Holdings* |
|
|
4,200 |
|
|
|
107 |
|
| Honeywell International |
|
|
4,905 |
|
|
|
457 |
|
| Huntington Ingalls Industries, Cl A |
|
|
63,273 |
|
|
|
6,594 |
|
| Illinois Tool Works |
|
|
3,529 |
|
|
|
298 |
|
| Ingersoll-Rand |
|
|
9,146 |
|
|
|
516 |
|
| ITT |
|
|
12,586 |
|
|
|
566 |
|
| Jacobs Engineering Group* |
|
|
17,906 |
|
|
|
874 |
|
| Kansas City Southern |
|
|
87,547 |
|
|
|
10,611 |
|
| KBR |
|
|
39,400 |
|
|
|
742 |
|
| L-3 Communications Holdings |
|
|
91,113 |
|
|
|
10,835 |
|
| Lincoln Electric Holdings |
|
|
16,823 |
|
|
|
1,163 |
|
| Lockheed Martin |
|
|
35,370 |
|
|
|
6,465 |
|
| Manitowoc |
|
|
4,100 |
|
|
|
96 |
|
| Manpowergroup |
|
|
18,167 |
|
|
|
1,273 |
|
| Navistar International* |
|
|
9,626 |
|
|
|
317 |
|
| Nielsen Holdings |
|
|
164,893 |
|
|
|
7,310 |
|
| Norfolk Southern |
|
|
26,000 |
|
|
|
2,901 |
|
| Northrop Grumman |
|
|
156,994 |
|
|
|
20,686 |
|
| NOW* |
|
|
11,043 |
|
|
|
336 |
|
| Oshkosh Truck |
|
|
112,940 |
|
|
|
4,986 |
|
| Pall |
|
|
109,286 |
|
|
|
9,147 |
|
| Parker-Hannifin, Cl A |
|
|
18,236 |
|
|
|
2,082 |
|
| Pentair |
|
|
171,938 |
|
|
|
11,260 |
|
| Precision Castparts |
|
|
5,500 |
|
|
|
1,303 |
|
| Quanta Services* |
|
|
1,386 |
|
|
|
50 |
|
| Raytheon |
|
|
160,818 |
|
|
|
16,342 |
|
| Republic Services |
|
|
2,031 |
|
|
|
79 |
|
| Robert Half International |
|
|
2,900 |
|
|
|
142 |
|
| Roper Industries |
|
|
60,847 |
|
|
|
8,901 |
|
| RR Donnelley & Sons |
|
|
93,388 |
|
|
|
1,537 |
|
| Southwest Airlines, Cl A |
|
|
206,187 |
|
|
|
6,963 |
|
| Stericycle, Cl A* |
|
|
73,247 |
|
|
|
8,538 |
|
| Textron |
|
|
5,200 |
|
|
|
187 |
|
| Timken |
|
|
24,553 |
|
|
|
1,041 |
|
| Towers Watson, Cl A |
|
|
4,588 |
|
|
|
456 |
|
| Trinity Industries |
|
|
80,185 |
|
|
|
3,746 |
|
| Union Pacific |
|
|
89,394 |
|
|
|
9,692 |
|
| United Parcel Service, Cl B |
|
|
4,585 |
|
|
|
451 |
|
| United Rentals (A)* |
|
|
7,390 |
|
|
|
821 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| United Technologies |
|
|
17,341 |
|
|
$ |
1,831 |
|
| URS |
|
|
13,061 |
|
|
|
753 |
|
| Vectrus* |
|
|
22,388 |
|
|
|
437 |
|
| Veritiv* |
|
|
591 |
|
|
|
29 |
|
| Waste Management |
|
|
18,232 |
|
|
|
867 |
|
| WW Grainger |
|
|
762 |
|
|
|
192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
275,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 20.3% |
|
|
|
|
|
|
|
|
| Accenture, Cl A |
|
|
117,395 |
|
|
|
9,547 |
|
| Activision Blizzard |
|
|
17,055 |
|
|
|
355 |
|
| Adobe Systems* |
|
|
592,523 |
|
|
|
40,997 |
|
| Akamai Technologies* |
|
|
12,058 |
|
|
|
721 |
|
| Alliance Data Systems* |
|
|
29,252 |
|
|
|
7,262 |
|
| Altera |
|
|
16,400 |
|
|
|
587 |
|
| Amdocs |
|
|
149,815 |
|
|
|
6,873 |
|
| Amphenol, Cl A |
|
|
97,621 |
|
|
|
9,748 |
|
| Analog Devices |
|
|
42,023 |
|
|
|
2,080 |
|
| Ansys* |
|
|
62,424 |
|
|
|
4,724 |
|
| Apple |
|
|
371,259 |
|
|
|
37,404 |
|
| Applied Materials |
|
|
865,500 |
|
|
|
18,703 |
|
| Atmel* |
|
|
156,217 |
|
|
|
1,262 |
|
| Autodesk, Cl A* |
|
|
31,671 |
|
|
|
1,745 |
|
| Avnet |
|
|
36,856 |
|
|
|
1,530 |
|
| Baidu ADR* |
|
|
54,500 |
|
|
|
11,893 |
|
| Blackhawk Network Holdings, Cl B* |
|
|
17,735 |
|
|
|
573 |
|
| Brocade Communications Systems |
|
|
180,808 |
|
|
|
1,965 |
|
| CA |
|
|
67,197 |
|
|
|
1,877 |
|
| Cisco Systems |
|
|
185,169 |
|
|
|
4,661 |
|
| Citrix Systems* |
|
|
23,629 |
|
|
|
1,686 |
|
| Cognizant Technology Solutions, Cl A* |
|
|
90,285 |
|
|
|
4,042 |
|
| Computer Sciences |
|
|
28,981 |
|
|
|
1,772 |
|
| CoreLogic* |
|
|
9,831 |
|
|
|
266 |
|
| Corning, Cl B |
|
|
215,764 |
|
|
|
4,173 |
|
| DST Systems |
|
|
11,635 |
|
|
|
976 |
|
| eBay* |
|
|
91,255 |
|
|
|
5,168 |
|
| Electronic Arts* |
|
|
58,203 |
|
|
|
2,073 |
|
| EMC |
|
|
232,384 |
|
|
|
6,800 |
|
| Equinix* |
|
|
23,709 |
|
|
|
5,038 |
|
| F5 Networks, Cl A* |
|
|
29,243 |
|
|
|
3,472 |
|
| Facebook, Cl A* |
|
|
356,099 |
|
|
|
28,146 |
|
| Fidelity National Information Services, Cl B |
|
|
64,209 |
|
|
|
3,615 |
|
| First Solar* |
|
|
38,575 |
|
|
|
2,539 |
|
| Fiserv, Cl A* |
|
|
42,046 |
|
|
|
2,718 |
|
| FleetCor Technologies* |
|
|
19,160 |
|
|
|
2,723 |
|
| Freescale Semiconductor (A)* |
|
|
89,002 |
|
|
|
1,738 |
|
| Genpact* |
|
|
287,054 |
|
|
|
4,685 |
|
| Global Payments |
|
|
17,235 |
|
|
|
1,204 |
|
| Google, Cl A* |
|
|
29,979 |
|
|
|
17,640 |
|
| Google, Cl C* |
|
|
46,906 |
|
|
|
27,082 |
|
| Harris |
|
|
25,220 |
|
|
|
1,675 |
|
| Hewlett-Packard |
|
|
215,578 |
|
|
|
7,647 |
|
| Ingram Micro, Cl A* |
|
|
92,405 |
|
|
|
2,385 |
|
| Intel |
|
|
323,829 |
|
|
|
11,276 |
|
| International Business Machines |
|
|
20,181 |
|
|
|
3,831 |
|
| Intuit |
|
|
156,005 |
|
|
|
13,674 |
|
| Juniper Networks |
|
|
10,346 |
|
|
|
229 |
|
| Knowles* |
|
|
1,552 |
|
|
|
41 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Lam Research |
|
|
4,787 |
|
|
$ |
358 |
|
| Leidos Holdings |
|
|
11,079 |
|
|
|
380 |
|
| Lexmark International, Cl A (A) |
|
|
23,673 |
|
|
|
1,006 |
|
| Marvell Technology Group |
|
|
349,312 |
|
|
|
4,709 |
|
| MasterCard, Cl A |
|
|
505,598 |
|
|
|
37,374 |
|
| Microchip Technology (A) |
|
|
1,219 |
|
|
|
57 |
|
| Micron Technology* |
|
|
124,091 |
|
|
|
4,251 |
|
| Microsoft |
|
|
883,147 |
|
|
|
40,943 |
|
| National Instruments |
|
|
70,199 |
|
|
|
2,171 |
|
| NetApp |
|
|
7,296 |
|
|
|
313 |
|
| Nokia |
|
|
300,000 |
|
|
|
2,538 |
|
| Oracle, Cl B |
|
|
382,668 |
|
|
|
14,648 |
|
| Pandora Media* |
|
|
90,882 |
|
|
|
2,196 |
|
| Qualcomm |
|
|
534,150 |
|
|
|
39,938 |
|
| Red Hat* |
|
|
1,214 |
|
|
|
68 |
|
| Rovi* |
|
|
33,373 |
|
|
|
659 |
|
| Salesforce.com (A)* |
|
|
129,532 |
|
|
|
7,452 |
|
| SanDisk (A) |
|
|
85,771 |
|
|
|
8,401 |
|
| Science Applications International |
|
|
15,900 |
|
|
|
703 |
|
| Seagate Technology |
|
|
94,758 |
|
|
|
5,427 |
|
| Skyworks Solutions |
|
|
105,000 |
|
|
|
6,095 |
|
| Symantec, Cl A |
|
|
139,365 |
|
|
|
3,276 |
|
| TE Connectivity |
|
|
36,055 |
|
|
|
1,994 |
|
| Tech Data* |
|
|
22,300 |
|
|
|
1,313 |
|
| Teradata* |
|
|
63,400 |
|
|
|
2,658 |
|
| Texas Instruments |
|
|
269,748 |
|
|
|
12,864 |
|
| Total System Services |
|
|
13,564 |
|
|
|
420 |
|
| Twitter* |
|
|
20,932 |
|
|
|
1,080 |
|
| VeriFone Holdings* |
|
|
155,882 |
|
|
|
5,359 |
|
| VeriSign (A)* |
|
|
91,384 |
|
|
|
5,037 |
|
| Visa, Cl A |
|
|
188,618 |
|
|
|
40,246 |
|
| Vishay Intertechnology (A) |
|
|
88,686 |
|
|
|
1,267 |
|
| Western Digital |
|
|
230,097 |
|
|
|
22,393 |
|
| Xerox |
|
|
527,667 |
|
|
|
6,981 |
|
| Yahoo!* |
|
|
155,857 |
|
|
|
6,351 |
|
| Yelp, Cl A* |
|
|
40,709 |
|
|
|
2,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
626,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.4% |
|
|
|
|
|
|
|
|
| Avery Dennison |
|
|
11,196 |
|
|
|
500 |
|
| Cabot |
|
|
18,468 |
|
|
|
938 |
|
| CF Industries Holdings |
|
|
21,896 |
|
|
|
6,114 |
|
| Domtar |
|
|
28,000 |
|
|
|
984 |
|
| Dow Chemical, Cl A |
|
|
285,782 |
|
|
|
14,986 |
|
| E.I. Du Pont de Nemours |
|
|
5,201 |
|
|
|
373 |
|
| Eastman Chemical |
|
|
34,295 |
|
|
|
2,774 |
|
| Ecolab |
|
|
109,681 |
|
|
|
12,595 |
|
| Freeport-McMoRan Copper & Gold, Cl B |
|
|
29,848 |
|
|
|
974 |
|
| Huntsman |
|
|
130,787 |
|
|
|
3,399 |
|
| International Paper |
|
|
30,956 |
|
|
|
1,478 |
|
| LyondellBasell Industries, Cl A |
|
|
197,175 |
|
|
|
21,425 |
|
| Martin Marietta Materials, Cl A |
|
|
550 |
|
|
|
71 |
|
| Monsanto |
|
|
35,004 |
|
|
|
3,938 |
|
| Newmont Mining |
|
|
4,000 |
|
|
|
92 |
|
| Owens-Illinois* |
|
|
32,385 |
|
|
|
844 |
|
| Packaging Corp of America |
|
|
58,377 |
|
|
|
3,725 |
|
| PPG Industries |
|
|
29,569 |
|
|
|
5,817 |
|
| Praxair |
|
|
2,548 |
|
|
|
329 |
|
| Reliance Steel & Aluminum |
|
|
25,000 |
|
|
|
1,710 |
|
| Rock-Tenn, Cl A |
|
|
26,000 |
|
|
|
1,237 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Royal Gold, Cl A |
|
|
7,995 |
|
|
$ |
519 |
|
| Sherwin-Williams, Cl A |
|
|
3,368 |
|
|
|
738 |
|
| Sigma-Aldrich |
|
|
2,200 |
|
|
|
299 |
|
| Steel Dynamics |
|
|
94,148 |
|
|
|
2,129 |
|
| Syngenta (A) |
|
|
84,000 |
|
|
|
5,323 |
|
| TimkenSteel |
|
|
12,276 |
|
|
|
571 |
|
| United States Steel (A) |
|
|
166,712 |
|
|
|
6,530 |
|
| Vulcan Materials |
|
|
1,097 |
|
|
|
66 |
|
| Westlake Chemical |
|
|
24,674 |
|
|
|
2,137 |
|
| WR Grace* |
|
|
12,934 |
|
|
|
1,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,791 |
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.6% |
|
|
|
|
|
| AT&T |
|
|
252,969 |
|
|
|
8,915 |
|
| CenturyTel |
|
|
6,892 |
|
|
|
282 |
|
| Level 3 Communications* |
|
|
24,796 |
|
|
|
1,134 |
|
| SBA Communications, Cl A* |
|
|
19,500 |
|
|
|
2,163 |
|
| T-Mobile US* |
|
|
1,671 |
|
|
|
48 |
|
| Verizon Communications |
|
|
97,068 |
|
|
|
4,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 1.6% |
|
|
|
|
|
|
|
|
| AES |
|
|
246,798 |
|
|
|
3,500 |
|
| Ameren |
|
|
113,300 |
|
|
|
4,343 |
|
| American Electric Power |
|
|
179,636 |
|
|
|
9,379 |
|
| American Water Works |
|
|
5,896 |
|
|
|
284 |
|
| Centerpoint Energy |
|
|
4,900 |
|
|
|
120 |
|
| CMS Energy |
|
|
7,966 |
|
|
|
236 |
|
| Dominion Resources |
|
|
5,292 |
|
|
|
366 |
|
| DTE Energy |
|
|
10,523 |
|
|
|
801 |
|
| Duke Energy |
|
|
7,375 |
|
|
|
551 |
|
| Edison International |
|
|
234,583 |
|
|
|
13,118 |
|
| Entergy |
|
|
87,753 |
|
|
|
6,786 |
|
| Exelon |
|
|
11,287 |
|
|
|
385 |
|
| Hawaiian Electric Industries (A) |
|
|
3,200 |
|
|
|
85 |
|
| MDU Resources Group |
|
|
2,200 |
|
|
|
61 |
|
| National Fuel Gas |
|
|
1,300 |
|
|
|
91 |
|
| NextEra Energy |
|
|
4,538 |
|
|
|
426 |
|
| OGE Energy |
|
|
5,224 |
|
|
|
194 |
|
| PG&E |
|
|
6,066 |
|
|
|
273 |
|
| PNM Resources |
|
|
43,000 |
|
|
|
1,071 |
|
| Public Service Enterprise Group |
|
|
158,869 |
|
|
|
5,916 |
|
| Sempra Energy |
|
|
1,517 |
|
|
|
160 |
|
| UGI |
|
|
1,065 |
|
|
|
35 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,181 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,758,450) ($ Thousands) |
|
|
|
2,923,015 |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.4% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
106,036,456 |
|
|
|
106,036 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $106,036) ($ Thousands) |
|
|
|
106,036 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.4% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.010%**†† |
|
|
166,898,018 |
|
|
|
166,898 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $166,898) ($ Thousands) |
|
|
|
166,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.042%, 03/05/15 |
|
$ |
5,057 |
|
|
$ |
5,057 |
|
| 0.021%, 05/28/15 |
|
|
350 |
|
|
|
350 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $5,406) ($ Thousands) |
|
|
|
5,407 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 103.6%
(Cost $2,036,790) ($ Thousands) |
|
|
$ |
3,201,356 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
1,000 |
|
|
|
Dec-2014 |
|
|
$ |
(788 |
) |
| S&P Mid 400 Index E-MINI |
|
|
101 |
|
|
|
Dec-2014 |
|
|
|
(567 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $3,090,311 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$101,757 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2014 was $106,036
($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments
carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,923,015 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,923,015 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
106,036 |
|
|
|
— |
|
|
|
106,036 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
5,407 |
|
|
|
— |
|
|
|
5,407 |
|
| Cash Equivalent |
|
|
166,898 |
|
|
|
— |
|
|
|
— |
|
|
|
166,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
3,089,913 |
|
|
$ |
111,443 |
|
|
$ |
— |
|
|
$ |
3,201,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(1,355 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(1,355 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets
and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 99.1% |
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 11.6% |
|
|
|
|
|
| Amazon.com, Cl A* |
|
|
52,900 |
|
|
$ |
17,057 |
|
| Autonation* |
|
|
9,326 |
|
|
|
469 |
|
| Autozone* |
|
|
4,494 |
|
|
|
2,290 |
|
| Bed Bath & Beyond* |
|
|
28,033 |
|
|
|
1,845 |
|
| Best Buy |
|
|
39,341 |
|
|
|
1,322 |
|
| BorgWarner (A) |
|
|
32,900 |
|
|
|
1,731 |
|
| Cablevision Systems, Cl A (A) |
|
|
32,000 |
|
|
|
560 |
|
| CarMax* |
|
|
30,400 |
|
|
|
1,412 |
|
| Carnival |
|
|
63,084 |
|
|
|
2,534 |
|
| CBS, Cl B |
|
|
67,590 |
|
|
|
3,616 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
4,300 |
|
|
|
2,866 |
|
| Coach |
|
|
39,810 |
|
|
|
1,418 |
|
| Comcast, Cl A |
|
|
361,722 |
|
|
|
19,453 |
|
| Darden Restaurants (A) |
|
|
19,513 |
|
|
|
1,004 |
|
| Delphi Automotive |
|
|
41,700 |
|
|
|
2,558 |
|
| DIRECTV* |
|
|
70,100 |
|
|
|
6,065 |
|
| Discovery Communications, Cl A* |
|
|
21,400 |
|
|
|
809 |
|
| Discovery Communications, Cl C* |
|
|
39,400 |
|
|
|
1,469 |
|
| Dollar General* |
|
|
42,200 |
|
|
|
2,579 |
|
| Dollar Tree* |
|
|
29,700 |
|
|
|
1,665 |
|
| DR Horton |
|
|
45,649 |
|
|
|
937 |
|
| Expedia (A) |
|
|
13,750 |
|
|
|
1,205 |
|
| Family Dollar Stores |
|
|
13,622 |
|
|
|
1,052 |
|
| Ford Motor |
|
|
541,580 |
|
|
|
8,010 |
|
| Fossil Group* |
|
|
7,000 |
|
|
|
657 |
|
| GameStop, Cl A (A) |
|
|
17,000 |
|
|
|
700 |
|
| Gannett |
|
|
32,347 |
|
|
|
960 |
|
| Gap |
|
|
37,831 |
|
|
|
1,577 |
|
| Garmin (A) |
|
|
18,000 |
|
|
|
936 |
|
| General Motors |
|
|
189,900 |
|
|
|
6,065 |
|
| Genuine Parts |
|
|
21,236 |
|
|
|
1,863 |
|
| Goodyear Tire & Rubber |
|
|
39,293 |
|
|
|
887 |
|
| H&R Block |
|
|
39,304 |
|
|
|
1,219 |
|
| Harley-Davidson, Cl A |
|
|
30,208 |
|
|
|
1,758 |
|
| Harman International Industries, Cl A |
|
|
9,700 |
|
|
|
951 |
|
| Hasbro |
|
|
15,791 |
|
|
|
869 |
|
| Home Depot |
|
|
188,096 |
|
|
|
17,256 |
|
| Interpublic Group |
|
|
58,301 |
|
|
|
1,068 |
|
| Johnson Controls |
|
|
92,857 |
|
|
|
4,086 |
|
| Kohl’s |
|
|
27,947 |
|
|
|
1,706 |
|
| L Brands |
|
|
35,127 |
|
|
|
2,353 |
|
| Leggett & Platt (A) |
|
|
20,054 |
|
|
|
700 |
|
| Lennar, Cl A (A) |
|
|
25,007 |
|
|
|
971 |
|
| Lowe’s |
|
|
137,836 |
|
|
|
7,294 |
|
| Macy’s |
|
|
49,164 |
|
|
|
2,860 |
|
| Marriott International, Cl A |
|
|
30,352 |
|
|
|
2,122 |
|
| Mattel |
|
|
48,718 |
|
|
|
1,493 |
|
| McDonald’s |
|
|
137,170 |
|
|
|
13,005 |
|
| Michael Kors Holdings* |
|
|
28,500 |
|
|
|
2,035 |
|
| Mohawk Industries* |
|
|
8,800 |
|
|
|
1,186 |
|
| NetFlix* |
|
|
8,400 |
|
|
|
3,790 |
|
| Newell Rubbermaid, Cl B |
|
|
39,647 |
|
|
|
1,364 |
|
| News* |
|
|
71,058 |
|
|
|
1,162 |
|
| Nike, Cl B |
|
|
98,188 |
|
|
|
8,758 |
|
| Nordstrom |
|
|
20,402 |
|
|
|
1,395 |
|
| Omnicom Group |
|
|
34,904 |
|
|
|
2,404 |
|
| O’Reilly Automotive* |
|
|
14,400 |
|
|
|
2,165 |
|
| PetSmart (A) |
|
|
14,100 |
|
|
|
988 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| priceline.com* |
|
|
7,280 |
|
|
$ |
8,434 |
|
| PulteGroup |
|
|
46,582 |
|
|
|
823 |
|
| PVH |
|
|
11,400 |
|
|
|
1,381 |
|
| Ralph Lauren, Cl A |
|
|
8,400 |
|
|
|
1,384 |
|
| Ross Stores |
|
|
29,168 |
|
|
|
2,205 |
|
| Scripps Networks Interactive, Cl A |
|
|
14,300 |
|
|
|
1,117 |
|
| Staples (A) |
|
|
92,214 |
|
|
|
1,116 |
|
| Starbucks |
|
|
104,858 |
|
|
|
7,913 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
26,535 |
|
|
|
2,208 |
|
| Target, Cl A |
|
|
88,419 |
|
|
|
5,542 |
|
| Tiffany |
|
|
16,173 |
|
|
|
1,558 |
|
| Time Warner |
|
|
119,412 |
|
|
|
8,981 |
|
| Time Warner Cable, Cl A |
|
|
38,883 |
|
|
|
5,579 |
|
| TJX |
|
|
96,734 |
|
|
|
5,724 |
|
| Tractor Supply |
|
|
19,800 |
|
|
|
1,218 |
|
| TripAdvisor (A)* |
|
|
15,950 |
|
|
|
1,458 |
|
| Twenty-First Century Fox, Cl A |
|
|
263,033 |
|
|
|
9,019 |
|
| Under Armour, Cl A* |
|
|
23,300 |
|
|
|
1,610 |
|
| Urban Outfitters* |
|
|
15,100 |
|
|
|
554 |
|
| VF |
|
|
48,056 |
|
|
|
3,173 |
|
| Viacom, Cl B |
|
|
53,101 |
|
|
|
4,086 |
|
| Walt Disney |
|
|
220,727 |
|
|
|
19,651 |
|
| Whirlpool |
|
|
11,105 |
|
|
|
1,618 |
|
| Wyndham Worldwide |
|
|
17,402 |
|
|
|
1,414 |
|
| Wynn Resorts |
|
|
11,300 |
|
|
|
2,114 |
|
| Yum! Brands |
|
|
61,270 |
|
|
|
4,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
286,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 9.5% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
277,156 |
|
|
|
12,733 |
|
| Archer-Daniels-Midland |
|
|
90,066 |
|
|
|
4,602 |
|
| Avon Products |
|
|
64,251 |
|
|
|
809 |
|
| Brown-Forman, Cl B |
|
|
21,992 |
|
|
|
1,984 |
|
| Campbell Soup |
|
|
25,475 |
|
|
|
1,089 |
|
| Clorox (A) |
|
|
17,842 |
|
|
|
1,713 |
|
| Coca-Cola |
|
|
551,706 |
|
|
|
23,536 |
|
| Coca-Cola Enterprises |
|
|
31,317 |
|
|
|
1,389 |
|
| Colgate-Palmolive |
|
|
119,886 |
|
|
|
7,819 |
|
| ConAgra Foods |
|
|
60,552 |
|
|
|
2,001 |
|
| Constellation Brands, Cl A* |
|
|
23,300 |
|
|
|
2,031 |
|
| Costco Wholesale |
|
|
61,218 |
|
|
|
7,672 |
|
| CVS Health |
|
|
161,835 |
|
|
|
12,880 |
|
| Dr Pepper Snapple Group |
|
|
27,100 |
|
|
|
1,743 |
|
| Estee Lauder, Cl A |
|
|
31,300 |
|
|
|
2,339 |
|
| General Mills, Cl A |
|
|
85,382 |
|
|
|
4,308 |
|
| Hershey |
|
|
21,412 |
|
|
|
2,043 |
|
| Hormel Foods |
|
|
18,500 |
|
|
|
951 |
|
| JM Smucker |
|
|
14,148 |
|
|
|
1,400 |
|
| Kellogg |
|
|
36,567 |
|
|
|
2,253 |
|
| Keurig Green Mountain |
|
|
16,900 |
|
|
|
2,199 |
|
| Kimberly-Clark |
|
|
52,199 |
|
|
|
5,615 |
|
| Kraft Foods |
|
|
82,799 |
|
|
|
4,670 |
|
| Kroger |
|
|
68,159 |
|
|
|
3,544 |
|
| Lorillard |
|
|
50,128 |
|
|
|
3,003 |
|
| McCormick (A) |
|
|
18,661 |
|
|
|
1,248 |
|
| Mead Johnson Nutrition, Cl A |
|
|
28,134 |
|
|
|
2,707 |
|
| Molson Coors Brewing, Cl B |
|
|
22,746 |
|
|
|
1,693 |
|
| Mondelez International, Cl A |
|
|
235,398 |
|
|
|
8,066 |
|
| Monster Beverage* |
|
|
19,400 |
|
|
|
1,779 |
|
| PepsiCo |
|
|
210,585 |
|
|
|
19,603 |
|
| Philip Morris International |
|
|
218,265 |
|
|
|
18,203 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Procter & Gamble |
|
|
378,501 |
|
|
$ |
31,696 |
|
| Reynolds American |
|
|
42,880 |
|
|
|
2,530 |
|
| Safeway |
|
|
32,846 |
|
|
|
1,127 |
|
| SYSCO, Cl A (A) |
|
|
81,720 |
|
|
|
3,101 |
|
| Tyson Foods, Cl A |
|
|
42,190 |
|
|
|
1,661 |
|
| Walgreen |
|
|
122,844 |
|
|
|
7,281 |
|
| Wal-Mart Stores |
|
|
220,644 |
|
|
|
16,873 |
|
| Whole Foods Market |
|
|
50,200 |
|
|
|
1,913 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
233,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 9.6% |
|
|
|
|
|
|
|
|
| Anadarko Petroleum, Cl A |
|
|
70,680 |
|
|
|
7,170 |
|
| Apache |
|
|
53,400 |
|
|
|
5,013 |
|
| Baker Hughes |
|
|
60,649 |
|
|
|
3,946 |
|
| Cabot Oil & Gas |
|
|
58,000 |
|
|
|
1,896 |
|
| Cameron International* |
|
|
28,200 |
|
|
|
1,872 |
|
| Chesapeake Energy (A) |
|
|
72,800 |
|
|
|
1,674 |
|
| Chevron |
|
|
265,478 |
|
|
|
31,677 |
|
| Cimarex Energy |
|
|
12,100 |
|
|
|
1,531 |
|
| ConocoPhillips |
|
|
171,843 |
|
|
|
13,149 |
|
| Consol Energy |
|
|
31,900 |
|
|
|
1,208 |
|
| Denbury Resources (A) |
|
|
52,000 |
|
|
|
782 |
|
| Devon Energy |
|
|
53,613 |
|
|
|
3,655 |
|
| Diamond Offshore Drilling (A) |
|
|
10,100 |
|
|
|
346 |
|
| Ensco, Cl A (A) |
|
|
33,500 |
|
|
|
1,384 |
|
| EOG Resources |
|
|
76,488 |
|
|
|
7,574 |
|
| EQT |
|
|
21,100 |
|
|
|
1,931 |
|
| Exxon Mobil |
|
|
596,298 |
|
|
|
56,082 |
|
| FMC Technologies* |
|
|
33,800 |
|
|
|
1,836 |
|
| Halliburton |
|
|
118,733 |
|
|
|
7,660 |
|
| Helmerich & Payne |
|
|
15,000 |
|
|
|
1,468 |
|
| Hess |
|
|
36,475 |
|
|
|
3,440 |
|
| Kinder Morgan (A) |
|
|
91,665 |
|
|
|
3,514 |
|
| Marathon Oil |
|
|
94,056 |
|
|
|
3,536 |
|
| Marathon Petroleum |
|
|
39,478 |
|
|
|
3,343 |
|
| Murphy Oil |
|
|
23,163 |
|
|
|
1,318 |
|
| Nabors Industries |
|
|
38,678 |
|
|
|
880 |
|
| National Oilwell Varco, Cl A |
|
|
59,968 |
|
|
|
4,564 |
|
| Newfield Exploration* |
|
|
20,200 |
|
|
|
749 |
|
| Noble |
|
|
36,200 |
|
|
|
804 |
|
| Noble Energy |
|
|
50,200 |
|
|
|
3,432 |
|
| Occidental Petroleum |
|
|
108,859 |
|
|
|
10,467 |
|
| Oneok |
|
|
28,900 |
|
|
|
1,894 |
|
| Phillips 66 |
|
|
77,971 |
|
|
|
6,340 |
|
| Pioneer Natural Resources |
|
|
20,000 |
|
|
|
3,939 |
|
| QEP Resources |
|
|
22,800 |
|
|
|
702 |
|
| Range Resources |
|
|
24,200 |
|
|
|
1,641 |
|
| Schlumberger, Cl A |
|
|
181,143 |
|
|
|
18,420 |
|
| Southwestern Energy, Cl A* |
|
|
50,800 |
|
|
|
1,775 |
|
| Spectra Energy |
|
|
93,461 |
|
|
|
3,669 |
|
| Tesoro |
|
|
18,500 |
|
|
|
1,128 |
|
| Transocean (A) |
|
|
48,900 |
|
|
|
1,563 |
|
| Valero Energy |
|
|
73,608 |
|
|
|
3,406 |
|
| Williams |
|
|
93,865 |
|
|
|
5,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
237,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 16.1% |
|
|
|
|
|
|
|
|
| ACE |
|
|
46,800 |
|
|
|
4,908 |
|
| Affiliated Managers Group* |
|
|
7,900 |
|
|
|
1,583 |
|
| Aflac |
|
|
63,108 |
|
|
|
3,676 |
|
| Allstate |
|
|
60,459 |
|
|
|
3,710 |
|
| American Express |
|
|
125,715 |
|
|
|
11,005 |
|
| American International Group |
|
|
199,308 |
|
|
|
10,767 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| American Tower, Cl A† |
|
|
55,300 |
|
|
$ |
5,178 |
|
| Ameriprise Financial |
|
|
26,084 |
|
|
|
3,218 |
|
| Aon |
|
|
40,429 |
|
|
|
3,544 |
|
| Apartment Investment & |
|
|
|
|
|
|
|
|
| Management, Cl A† |
|
|
21,639 |
|
|
|
688 |
|
| Assurant |
|
|
10,600 |
|
|
|
682 |
|
| AvalonBay Communities† |
|
|
18,308 |
|
|
|
2,581 |
|
| Bank of America |
|
|
1,469,928 |
|
|
|
25,062 |
|
| Bank of New York Mellon |
|
|
157,886 |
|
|
|
6,115 |
|
| BB&T |
|
|
100,297 |
|
|
|
3,732 |
|
| Berkshire Hathaway, Cl B* |
|
|
254,847 |
|
|
|
35,205 |
|
| BlackRock |
|
|
17,557 |
|
|
|
5,764 |
|
| Boston Properties† |
|
|
21,300 |
|
|
|
2,466 |
|
| Capital One Financial |
|
|
78,362 |
|
|
|
6,396 |
|
| CBRE Group, Cl A* |
|
|
39,800 |
|
|
|
1,184 |
|
| Charles Schwab |
|
|
160,027 |
|
|
|
4,703 |
|
| Chubb |
|
|
33,456 |
|
|
|
3,047 |
|
| Cincinnati Financial |
|
|
20,979 |
|
|
|
987 |
|
| Citigroup |
|
|
423,708 |
|
|
|
21,956 |
|
| CME Group |
|
|
44,035 |
|
|
|
3,521 |
|
| Comerica |
|
|
25,983 |
|
|
|
1,295 |
|
| Crown Castle International† |
|
|
46,500 |
|
|
|
3,745 |
|
| Discover Financial Services |
|
|
64,430 |
|
|
|
4,149 |
|
| E*Trade Financial* |
|
|
42,143 |
|
|
|
952 |
|
| Equity Residential† |
|
|
50,340 |
|
|
|
3,100 |
|
| Essex Property Trust† |
|
|
9,100 |
|
|
|
1,627 |
|
| Fifth Third Bancorp |
|
|
116,011 |
|
|
|
2,323 |
|
| Franklin Resources |
|
|
54,845 |
|
|
|
2,995 |
|
| General Growth Properties† |
|
|
87,200 |
|
|
|
2,053 |
|
| Genworth Financial, Cl A* |
|
|
70,700 |
|
|
|
926 |
|
| Goldman Sachs Group |
|
|
57,256 |
|
|
|
10,510 |
|
| Hartford Financial Services Group |
|
|
62,286 |
|
|
|
2,320 |
|
| HCP† |
|
|
63,900 |
|
|
|
2,537 |
|
| Health Care† |
|
|
44,000 |
|
|
|
2,744 |
|
| Host Hotels & Resorts† |
|
|
105,248 |
|
|
|
2,245 |
|
| Hudson City Bancorp, Cl A |
|
|
70,400 |
|
|
|
684 |
|
| Huntington Bancshares |
|
|
118,075 |
|
|
|
1,149 |
|
| IntercontinentalExchange Group |
|
|
15,781 |
|
|
|
3,078 |
|
| Invesco |
|
|
60,200 |
|
|
|
2,377 |
|
| JPMorgan Chase |
|
|
525,757 |
|
|
|
31,672 |
|
| KeyCorp |
|
|
121,683 |
|
|
|
1,622 |
|
| Kimco Realty† |
|
|
56,900 |
|
|
|
1,247 |
|
| Legg Mason (A) |
|
|
15,200 |
|
|
|
778 |
|
| Leucadia National |
|
|
45,200 |
|
|
|
1,078 |
|
| Lincoln National |
|
|
36,298 |
|
|
|
1,945 |
|
| Loews |
|
|
43,849 |
|
|
|
1,827 |
|
| M&T Bank (A) |
|
|
18,361 |
|
|
|
2,264 |
|
| Macerich† |
|
|
20,100 |
|
|
|
1,283 |
|
| Marsh & McLennan |
|
|
75,850 |
|
|
|
3,970 |
|
| McGraw-Hill |
|
|
37,721 |
|
|
|
3,185 |
|
| MetLife |
|
|
157,026 |
|
|
|
8,435 |
|
| Moody’s |
|
|
25,908 |
|
|
|
2,448 |
|
| Morgan Stanley |
|
|
213,761 |
|
|
|
7,390 |
|
| NASDAQ OMX Group, Cl A |
|
|
17,400 |
|
|
|
738 |
|
| Navient |
|
|
60,243 |
|
|
|
1,067 |
|
| Northern Trust |
|
|
30,805 |
|
|
|
2,096 |
|
| People’s United Financial (A) |
|
|
45,900 |
|
|
|
664 |
|
| Plum Creek Timber (A)† |
|
|
25,235 |
|
|
|
984 |
|
| PNC Financial Services Group |
|
|
75,475 |
|
|
|
6,459 |
|
| Principal Financial Group, Cl A |
|
|
37,948 |
|
|
|
1,991 |
|
| Progressive |
|
|
74,768 |
|
|
|
1,890 |
|
| ProLogis† |
|
|
69,600 |
|
|
|
2,624 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Prudential Financial |
|
|
64,166 |
|
|
$ |
5,643 |
|
| Public Storage† |
|
|
20,228 |
|
|
|
3,355 |
|
| Regions Financial |
|
|
191,563 |
|
|
|
1,923 |
|
| Simon Property Group† |
|
|
43,402 |
|
|
|
7,136 |
|
| State Street |
|
|
59,091 |
|
|
|
4,350 |
|
| SunTrust Banks |
|
|
73,896 |
|
|
|
2,810 |
|
| T. Rowe Price Group |
|
|
36,608 |
|
|
|
2,870 |
|
| Torchmark, Cl A |
|
|
18,035 |
|
|
|
945 |
|
| Travelers |
|
|
47,252 |
|
|
|
4,439 |
|
| Unum Group |
|
|
36,852 |
|
|
|
1,267 |
|
| US Bancorp |
|
|
251,706 |
|
|
|
10,529 |
|
| Ventas† |
|
|
40,932 |
|
|
|
2,536 |
|
| Vornado Realty Trust† |
|
|
24,273 |
|
|
|
2,426 |
|
| Wells Fargo |
|
|
664,163 |
|
|
|
34,450 |
|
| Weyerhaeuser† |
|
|
73,545 |
|
|
|
2,343 |
|
| XL Group, Cl A |
|
|
36,805 |
|
|
|
1,221 |
|
| Zions Bancorporation |
|
|
28,760 |
|
|
|
836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
399,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 13.8% |
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
209,946 |
|
|
|
8,732 |
|
| AbbVie |
|
|
222,346 |
|
|
|
12,843 |
|
| Actavis* |
|
|
36,900 |
|
|
|
8,903 |
|
| Aetna, Cl A |
|
|
49,402 |
|
|
|
4,002 |
|
| Agilent Technologies |
|
|
46,406 |
|
|
|
2,644 |
|
| Alexion Pharmaceuticals* |
|
|
27,600 |
|
|
|
4,577 |
|
| Allergan |
|
|
43,666 |
|
|
|
7,781 |
|
| AmerisourceBergen |
|
|
29,692 |
|
|
|
2,295 |
|
| Amgen, Cl A |
|
|
106,155 |
|
|
|
14,910 |
|
| Baxter International |
|
|
75,538 |
|
|
|
5,421 |
|
| Becton Dickinson (A) |
|
|
26,762 |
|
|
|
3,046 |
|
| Biogen Idec* |
|
|
33,000 |
|
|
|
10,917 |
|
| Boston Scientific* |
|
|
184,412 |
|
|
|
2,178 |
|
| Bristol-Myers Squibb |
|
|
231,575 |
|
|
|
11,852 |
|
| C.R. Bard |
|
|
10,388 |
|
|
|
1,482 |
|
| Cardinal Health |
|
|
46,955 |
|
|
|
3,518 |
|
| CareFusion* |
|
|
28,077 |
|
|
|
1,271 |
|
| Celgene, Cl A* |
|
|
111,700 |
|
|
|
10,587 |
|
| Cerner (A)* |
|
|
42,500 |
|
|
|
2,532 |
|
| Cigna |
|
|
36,771 |
|
|
|
3,335 |
|
| Covidien |
|
|
63,000 |
|
|
|
5,450 |
|
| DaVita HealthCare Partners* |
|
|
23,900 |
|
|
|
1,748 |
|
| Dentsply International (A) |
|
|
20,200 |
|
|
|
921 |
|
| Edwards Lifesciences, Cl A* |
|
|
15,100 |
|
|
|
1,542 |
|
| Eli Lilly |
|
|
137,330 |
|
|
|
8,906 |
|
| Express Scripts Holding* |
|
|
104,061 |
|
|
|
7,350 |
|
| Gilead Sciences* |
|
|
211,244 |
|
|
|
22,487 |
|
| Hospira* |
|
|
23,904 |
|
|
|
1,244 |
|
| Humana |
|
|
21,497 |
|
|
|
2,801 |
|
| Intuitive Surgical* |
|
|
5,020 |
|
|
|
2,318 |
|
| Johnson & Johnson |
|
|
394,282 |
|
|
|
42,026 |
|
| Laboratory Corp of America |
|
|
|
|
|
|
|
|
| Holdings* |
|
|
12,163 |
|
|
|
1,238 |
|
| Mallinckrodt (A)* |
|
|
15,700 |
|
|
|
1,415 |
|
| McKesson |
|
|
32,369 |
|
|
|
6,301 |
|
| Medtronic |
|
|
136,817 |
|
|
|
8,476 |
|
| Merck |
|
|
403,244 |
|
|
|
23,904 |
|
| Mylan* |
|
|
52,011 |
|
|
|
2,366 |
|
| Patterson |
|
|
12,100 |
|
|
|
501 |
|
| PerkinElmer |
|
|
16,740 |
|
|
|
730 |
|
| Perrigo |
|
|
18,600 |
|
|
|
2,793 |
|
| Pfizer |
|
|
886,391 |
|
|
|
26,211 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Quest Diagnostics (A) |
|
|
20,024 |
|
|
$ |
1,215 |
|
| Regeneron Pharmaceuticals* |
|
|
10,300 |
|
|
|
3,713 |
|
| St. Jude Medical |
|
|
39,656 |
|
|
|
2,385 |
|
| Stryker |
|
|
41,642 |
|
|
|
3,363 |
|
| Tenet Healthcare* |
|
|
14,419 |
|
|
|
856 |
|
| Thermo Fisher Scientific |
|
|
55,643 |
|
|
|
6,772 |
|
| UnitedHealth Group |
|
|
135,747 |
|
|
|
11,708 |
|
| Universal Health Services, Cl B |
|
|
13,200 |
|
|
|
1,379 |
|
| Varian Medical Systems (A)* |
|
|
14,900 |
|
|
|
1,194 |
|
| Vertex Pharmaceuticals* |
|
|
33,200 |
|
|
|
3,729 |
|
| Waters* |
|
|
12,097 |
|
|
|
1,199 |
|
| WellPoint |
|
|
38,298 |
|
|
|
4,581 |
|
| Zimmer Holdings |
|
|
24,055 |
|
|
|
2,419 |
|
| Zoetis, Cl A |
|
|
69,746 |
|
|
|
2,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
340,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 10.2% |
|
|
|
|
|
|
|
|
| 3M |
|
|
90,482 |
|
|
|
12,819 |
|
| ADT, Cl A (A) |
|
|
25,750 |
|
|
|
913 |
|
| Allegion |
|
|
12,966 |
|
|
|
617 |
|
| Ametek |
|
|
35,300 |
|
|
|
1,772 |
|
| Boeing |
|
|
93,632 |
|
|
|
11,927 |
|
| C.H. Robinson Worldwide |
|
|
21,300 |
|
|
|
1,413 |
|
| Caterpillar, Cl A |
|
|
87,697 |
|
|
|
8,685 |
|
| Cintas |
|
|
13,307 |
|
|
|
939 |
|
| CSX |
|
|
139,450 |
|
|
|
4,471 |
|
| Cummins |
|
|
23,840 |
|
|
|
3,146 |
|
| Danaher, Cl A |
|
|
85,096 |
|
|
|
6,466 |
|
| Deere |
|
|
50,002 |
|
|
|
4,100 |
|
| Delta Air Lines, Cl A |
|
|
117,600 |
|
|
|
4,251 |
|
| Dover |
|
|
23,937 |
|
|
|
1,923 |
|
| Dun & Bradstreet |
|
|
5,500 |
|
|
|
646 |
|
| Eaton |
|
|
66,410 |
|
|
|
4,208 |
|
| Emerson Electric |
|
|
97,406 |
|
|
|
6,096 |
|
| Equifax |
|
|
17,425 |
|
|
|
1,303 |
|
| Expeditors International of |
|
|
|
|
|
|
|
|
| Washington |
|
|
27,000 |
|
|
|
1,096 |
|
| Fastenal, Cl A (A) |
|
|
39,200 |
|
|
|
1,760 |
|
| FedEx |
|
|
37,005 |
|
|
|
5,974 |
|
| Flowserve |
|
|
19,700 |
|
|
|
1,389 |
|
| Fluor |
|
|
21,844 |
|
|
|
1,459 |
|
| General Dynamics |
|
|
44,326 |
|
|
|
5,633 |
|
| General Electric |
|
|
1,402,774 |
|
|
|
35,939 |
|
| Honeywell International |
|
|
109,355 |
|
|
|
10,183 |
|
| Illinois Tool Works |
|
|
50,824 |
|
|
|
4,290 |
|
| Ingersoll-Rand |
|
|
36,100 |
|
|
|
2,035 |
|
| Iron Mountain† |
|
|
24,375 |
|
|
|
796 |
|
| Jacobs Engineering Group* |
|
|
18,800 |
|
|
|
918 |
|
| Joy Global (A) |
|
|
13,500 |
|
|
|
736 |
|
| Kansas City Southern |
|
|
15,800 |
|
|
|
1,915 |
|
| L-3 Communications Holdings |
|
|
11,923 |
|
|
|
1,418 |
|
| Lockheed Martin |
|
|
37,694 |
|
|
|
6,890 |
|
| Masco |
|
|
50,868 |
|
|
|
1,217 |
|
| Nielsen Holdings |
|
|
42,300 |
|
|
|
1,875 |
|
| Norfolk Southern |
|
|
43,126 |
|
|
|
4,813 |
|
| Northrop Grumman |
|
|
29,019 |
|
|
|
3,823 |
|
| PACCAR |
|
|
49,391 |
|
|
|
2,809 |
|
| Pall |
|
|
14,795 |
|
|
|
1,238 |
|
| Parker-Hannifin, Cl A |
|
|
20,671 |
|
|
|
2,360 |
|
| Pentair |
|
|
26,766 |
|
|
|
1,753 |
|
| Pitney Bowes (A) |
|
|
29,375 |
|
|
|
734 |
|
| Precision Castparts |
|
|
20,000 |
|
|
|
4,738 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Quanta Services* |
|
|
31,100 |
|
|
$ |
1,128 |
|
| Raytheon |
|
|
43,368 |
|
|
|
4,407 |
|
| Republic Services |
|
|
34,983 |
|
|
|
1,365 |
|
| Robert Half International |
|
|
19,027 |
|
|
|
932 |
|
| Rockwell Automation |
|
|
19,126 |
|
|
|
2,102 |
|
| Rockwell Collins |
|
|
19,378 |
|
|
|
1,521 |
|
| Roper Industries |
|
|
13,900 |
|
|
|
2,033 |
|
| Ryder System |
|
|
7,554 |
|
|
|
680 |
|
| Snap-on |
|
|
8,253 |
|
|
|
999 |
|
| Southwest Airlines, Cl A |
|
|
95,449 |
|
|
|
3,224 |
|
| Stanley Black & Decker |
|
|
22,435 |
|
|
|
1,992 |
|
| Stericycle, Cl A* |
|
|
12,100 |
|
|
|
1,411 |
|
| Textron |
|
|
38,698 |
|
|
|
1,393 |
|
| Tyco International |
|
|
61,700 |
|
|
|
2,750 |
|
| Union Pacific |
|
|
125,388 |
|
|
|
13,594 |
|
| United Parcel Service, Cl B |
|
|
98,211 |
|
|
|
9,653 |
|
| United Rentals* |
|
|
13,800 |
|
|
|
1,533 |
|
| United Technologies |
|
|
118,832 |
|
|
|
12,549 |
|
| Waste Management |
|
|
60,428 |
|
|
|
2,872 |
|
| WW Grainger |
|
|
8,465 |
|
|
|
2,131 |
|
| Xylem |
|
|
26,200 |
|
|
|
930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
252,685 |
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 19.5% |
|
|
|
|
|
| Accenture, Cl A |
|
|
88,100 |
|
|
|
7,164 |
|
| Adobe Systems* |
|
|
66,836 |
|
|
|
4,624 |
|
| Akamai Technologies* |
|
|
25,500 |
|
|
|
1,525 |
|
| Alliance Data Systems* |
|
|
7,900 |
|
|
|
1,961 |
|
| Altera |
|
|
42,851 |
|
|
|
1,533 |
|
| Amphenol, Cl A |
|
|
21,800 |
|
|
|
2,177 |
|
| Analog Devices |
|
|
43,699 |
|
|
|
2,163 |
|
| Apple |
|
|
837,317 |
|
|
|
84,360 |
|
| Applied Materials |
|
|
169,850 |
|
|
|
3,670 |
|
| Autodesk, Cl A* |
|
|
32,617 |
|
|
|
1,797 |
|
| Automatic Data Processing |
|
|
67,150 |
|
|
|
5,579 |
|
| Avago Technologies, Cl A |
|
|
35,100 |
|
|
|
3,054 |
|
| Broadcom, Cl A |
|
|
74,936 |
|
|
|
3,029 |
|
| CA |
|
|
45,727 |
|
|
|
1,278 |
|
| Cisco Systems |
|
|
712,604 |
|
|
|
17,936 |
|
| Citrix Systems* |
|
|
23,442 |
|
|
|
1,672 |
|
| Cognizant Technology Solutions, Cl A* |
|
|
84,700 |
|
|
|
3,792 |
|
| Computer Sciences |
|
|
20,633 |
|
|
|
1,262 |
|
| Corning, Cl B |
|
|
179,878 |
|
|
|
3,479 |
|
| eBay* |
|
|
157,732 |
|
|
|
8,933 |
|
| Electronic Arts* |
|
|
43,378 |
|
|
|
1,545 |
|
| EMC |
|
|
283,240 |
|
|
|
8,287 |
|
| F5 Networks, Cl A* |
|
|
10,800 |
|
|
|
1,282 |
|
| Facebook, Cl A* |
|
|
272,600 |
|
|
|
21,546 |
|
| Fidelity National Information Services, Cl B |
|
|
39,665 |
|
|
|
2,233 |
|
| First Solar* |
|
|
10,540 |
|
|
|
693 |
|
| Fiserv, Cl A* |
|
|
34,660 |
|
|
|
2,240 |
|
| Flir Systems |
|
|
20,500 |
|
|
|
642 |
|
| Google, Cl A* |
|
|
39,663 |
|
|
|
23,338 |
|
| Google, Cl C* |
|
|
39,663 |
|
|
|
22,900 |
|
| Harris |
|
|
15,200 |
|
|
|
1,009 |
|
| Hewlett-Packard |
|
|
260,665 |
|
|
|
9,246 |
|
| Intel |
|
|
692,015 |
|
|
|
24,096 |
|
| International Business Machines |
|
|
129,637 |
|
|
|
24,609 |
|
| Intuit |
|
|
39,586 |
|
|
|
3,470 |
|
| Jabil Circuit |
|
|
26,579 |
|
|
|
536 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Juniper Networks |
|
|
58,000 |
|
|
$ |
1,285 |
|
| KLA-Tencor |
|
|
22,971 |
|
|
|
1,810 |
|
| Lam Research |
|
|
23,317 |
|
|
|
1,742 |
|
| Linear Technology |
|
|
33,794 |
|
|
|
1,500 |
|
| MasterCard, Cl A |
|
|
137,500 |
|
|
|
10,164 |
|
| Microchip Technology (A) |
|
|
27,800 |
|
|
|
1,313 |
|
| Micron Technology* |
|
|
149,369 |
|
|
|
5,117 |
|
| Microsoft |
|
|
1,152,093 |
|
|
|
53,411 |
|
| Motorola Solutions |
|
|
30,729 |
|
|
|
1,945 |
|
| NetApp |
|
|
44,376 |
|
|
|
1,906 |
|
| Nvidia |
|
|
74,348 |
|
|
|
1,372 |
|
| Oracle, Cl B |
|
|
454,488 |
|
|
|
17,398 |
|
| Paychex |
|
|
46,556 |
|
|
|
2,058 |
|
| Qualcomm |
|
|
234,232 |
|
|
|
17,514 |
|
| Red Hat* |
|
|
27,200 |
|
|
|
1,527 |
|
| Salesforce.com (A)* |
|
|
80,300 |
|
|
|
4,620 |
|
| SanDisk (A) |
|
|
31,200 |
|
|
|
3,056 |
|
| Seagate Technology |
|
|
45,500 |
|
|
|
2,606 |
|
| Symantec, Cl A |
|
|
96,047 |
|
|
|
2,258 |
|
| TE Connectivity |
|
|
57,000 |
|
|
|
3,152 |
|
| Teradata* |
|
|
22,468 |
|
|
|
942 |
|
| Texas Instruments |
|
|
149,049 |
|
|
|
7,108 |
|
| Total System Services |
|
|
24,580 |
|
|
|
761 |
|
| VeriSign (A)* |
|
|
15,500 |
|
|
|
854 |
|
| Visa, Cl A |
|
|
68,772 |
|
|
|
14,674 |
|
| Western Digital |
|
|
30,200 |
|
|
|
2,939 |
|
| Western Union (A) |
|
|
73,312 |
|
|
|
1,176 |
|
| Xerox |
|
|
150,706 |
|
|
|
1,994 |
|
| Xilinx |
|
|
37,309 |
|
|
|
1,580 |
|
| Yahoo!* |
|
|
129,038 |
|
|
|
5,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
481,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.4% |
|
|
|
|
|
|
|
|
| Air Products & Chemicals |
|
|
26,726 |
|
|
|
3,479 |
|
| Airgas |
|
|
9,700 |
|
|
|
1,073 |
|
| Alcoa |
|
|
163,735 |
|
|
|
2,635 |
|
| Allegheny Technologies |
|
|
15,559 |
|
|
|
577 |
|
| Avery Dennison |
|
|
14,115 |
|
|
|
630 |
|
| Ball |
|
|
19,882 |
|
|
|
1,258 |
|
| Bemis |
|
|
14,890 |
|
|
|
566 |
|
| CF Industries Holdings |
|
|
6,890 |
|
|
|
1,924 |
|
| Dow Chemical, Cl A |
|
|
156,775 |
|
|
|
8,221 |
|
| E.I. Du Pont de Nemours |
|
|
127,835 |
|
|
|
9,174 |
|
| Eastman Chemical |
|
|
20,716 |
|
|
|
1,676 |
|
| Ecolab |
|
|
37,630 |
|
|
|
4,321 |
|
| FMC |
|
|
19,000 |
|
|
|
1,087 |
|
| Freeport-McMoRan Copper & Gold, Cl B |
|
|
144,936 |
|
|
|
4,732 |
|
| International Flavors & Fragrances |
|
|
11,594 |
|
|
|
1,112 |
|
| International Paper |
|
|
59,470 |
|
|
|
2,839 |
|
| LyondellBasell Industries, Cl A |
|
|
59,400 |
|
|
|
6,454 |
|
| Martin Marietta Materials, Cl A |
|
|
8,700 |
|
|
|
1,122 |
|
| MeadWestvaco |
|
|
23,915 |
|
|
|
979 |
|
| Monsanto |
|
|
73,248 |
|
|
|
8,241 |
|
| Mosaic |
|
|
44,300 |
|
|
|
1,967 |
|
| Newmont Mining |
|
|
71,608 |
|
|
|
1,651 |
|
| Nucor |
|
|
44,382 |
|
|
|
2,409 |
|
| Owens-Illinois* |
|
|
24,400 |
|
|
|
636 |
|
| PPG Industries |
|
|
19,245 |
|
|
|
3,786 |
|
| Praxair |
|
|
40,699 |
|
|
|
5,250 |
|
| Sealed Air |
|
|
28,328 |
|
|
|
988 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Sherwin-Williams, Cl A |
|
|
11,616 |
|
|
$ |
2,544 |
|
| Sigma-Aldrich |
|
|
16,536 |
|
|
|
2,249 |
|
| Vulcan Materials |
|
|
18,649 |
|
|
|
1,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,703 |
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 2.4% |
|
|
|
|
|
| AT&T |
|
|
724,940 |
|
|
|
25,547 |
|
| CenturyTel |
|
|
79,457 |
|
|
|
3,249 |
|
| Frontier Communications (A) |
|
|
142,625 |
|
|
|
929 |
|
| Verizon Communications |
|
|
579,448 |
|
|
|
28,967 |
|
| Windstream Holdings (A) |
|
|
85,846 |
|
|
|
925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.0% |
|
|
|
|
|
|
|
|
| AES |
|
|
94,390 |
|
|
|
1,339 |
|
| AGL Resources |
|
|
17,600 |
|
|
|
903 |
|
| Ameren |
|
|
34,644 |
|
|
|
1,328 |
|
| American Electric Power |
|
|
68,115 |
|
|
|
3,556 |
|
| Centerpoint Energy |
|
|
61,468 |
|
|
|
1,504 |
|
| CMS Energy |
|
|
38,492 |
|
|
|
1,142 |
|
| Consolidated Edison (A) |
|
|
40,733 |
|
|
|
2,308 |
|
| Dominion Resources |
|
|
81,340 |
|
|
|
5,620 |
|
| DTE Energy |
|
|
25,445 |
|
|
|
1,936 |
|
| Duke Energy |
|
|
98,707 |
|
|
|
7,380 |
|
| Edison International |
|
|
45,353 |
|
|
|
2,536 |
|
| Entergy |
|
|
25,764 |
|
|
|
1,993 |
|
| Exelon |
|
|
119,846 |
|
|
|
4,086 |
|
| FirstEnergy |
|
|
58,410 |
|
|
|
1,961 |
|
| Integrys Energy Group (A) |
|
|
11,534 |
|
|
|
748 |
|
| NextEra Energy |
|
|
60,920 |
|
|
|
5,719 |
|
| NiSource |
|
|
45,079 |
|
|
|
1,847 |
|
| Northeast Utilities |
|
|
43,935 |
|
|
|
1,946 |
|
| NRG Energy (A) |
|
|
48,400 |
|
|
|
1,475 |
|
| Pepco Holdings |
|
|
34,600 |
|
|
|
926 |
|
| PG&E |
|
|
66,929 |
|
|
|
3,014 |
|
| Pinnacle West Capital |
|
|
16,349 |
|
|
|
893 |
|
| PPL |
|
|
92,571 |
|
|
|
3,040 |
|
| Public Service Enterprise Group |
|
|
70,430 |
|
|
|
2,623 |
|
| SCANA |
|
|
20,900 |
|
|
|
1,037 |
|
| Sempra Energy |
|
|
32,165 |
|
|
|
3,389 |
|
| Southern |
|
|
124,935 |
|
|
|
5,454 |
|
| TECO Energy (A) |
|
|
35,012 |
|
|
|
608 |
|
| Wisconsin Energy (A) |
|
|
32,200 |
|
|
|
1,385 |
|
| Xcel Energy |
|
|
72,019 |
|
|
|
2,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,884 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $983,457) ($ Thousands) |
|
|
|
|
|
|
2,450,655 |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.2% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
54,885,947 |
|
|
|
54,886 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $54,886) ($ Thousands) |
|
|
|
|
|
|
54,886 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 0.6% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.010%**†† |
|
|
13,301,212 |
|
|
|
13,301 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $13,301) ($ Thousands) |
|
|
|
|
|
|
13,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.015%, 11/06/14 |
|
$ |
3,310 |
|
|
$ |
3,310 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $3,310) ($ Thousands) |
|
|
|
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 102.0%
(Cost $1,054,954) ($ Thousands) |
|
|
|
|
|
$ |
2,522,152 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
(Depreciation)
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
240 |
|
|
|
Dec-2014 |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $2,472,718 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$53,007 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2014 was $54,886
($ Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
2,450,655 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,450,655 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
54,886 |
|
|
|
— |
|
|
|
54,886 |
|
| Cash Equivalent |
|
|
13,301 |
|
|
|
— |
|
|
|
— |
|
|
|
13,301 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
3,310 |
|
|
|
— |
|
|
|
3,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
2,463,956 |
|
|
$ |
58,196 |
|
|
$ |
— |
|
|
$ |
2,522,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(134 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(134 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(134 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 94.2% |
|
|
|
|
| Consumer Discretionary — 12.7% |
|
|
|
|
|
|
|
|
| 2U (A)* |
|
|
36,913 |
|
|
$ |
575 |
|
| American Axle & Manufacturing Holdings* |
|
|
37,161 |
|
|
|
623 |
|
| American Eagle Outfitters (A) |
|
|
43,615 |
|
|
|
633 |
|
| ANN* |
|
|
19,341 |
|
|
|
796 |
|
| Asbury Automotive Group* |
|
|
7,069 |
|
|
|
455 |
|
| Ascena Retail Group* |
|
|
20,100 |
|
|
|
267 |
|
| Big 5 Sporting Goods |
|
|
8,365 |
|
|
|
78 |
|
| Bloomin’ Brands* |
|
|
3,100 |
|
|
|
57 |
|
| Bravo Brio Restaurant Group* |
|
|
17,800 |
|
|
|
231 |
|
| Bright Horizons Family Solutions* |
|
|
29,831 |
|
|
|
1,255 |
|
| Brown Shoe |
|
|
33,329 |
|
|
|
904 |
|
| Brunswick |
|
|
50,877 |
|
|
|
2,144 |
|
| Buffalo Wild Wings* |
|
|
9,030 |
|
|
|
1,212 |
|
| Cabela’s (A)* |
|
|
11,180 |
|
|
|
659 |
|
| Capella Education |
|
|
16,789 |
|
|
|
1,051 |
|
| Career Education* |
|
|
40,400 |
|
|
|
205 |
|
| Carmike Cinemas* |
|
|
23,525 |
|
|
|
729 |
|
| Children’s Place |
|
|
18,775 |
|
|
|
895 |
|
| Container Store Group (A)* |
|
|
14,672 |
|
|
|
319 |
|
| Cooper Tire & Rubber |
|
|
21,030 |
|
|
|
603 |
|
| Core-Mark Holding, Cl A |
|
|
24,093 |
|
|
|
1,278 |
|
| Coupons.com (A)* |
|
|
19,366 |
|
|
|
232 |
|
| CROCS* |
|
|
15,300 |
|
|
|
193 |
|
| Dana Holding |
|
|
27,420 |
|
|
|
526 |
|
| Denny’s, Cl A* |
|
|
15,273 |
|
|
|
107 |
|
| Destination XL Group* |
|
|
21,300 |
|
|
|
101 |
|
| Dex Media (A)* |
|
|
8,000 |
|
|
|
76 |
|
| Drew Industries* |
|
|
6,300 |
|
|
|
266 |
|
| Entravision Communications, Cl A |
|
|
39,323 |
|
|
|
156 |
|
| Ethan Allen Interiors |
|
|
17,505 |
|
|
|
399 |
|
| Fiesta Restaurant Group* |
|
|
29,931 |
|
|
|
1,487 |
|
| Finish Line, Cl A |
|
|
17,690 |
|
|
|
443 |
|
| Five Below (A)* |
|
|
71,247 |
|
|
|
2,822 |
|
| Francesca’s Holdings (A)* |
|
|
26,203 |
|
|
|
365 |
|
| Fuel Systems Solutions* |
|
|
3,000 |
|
|
|
27 |
|
| Genesco* |
|
|
8,205 |
|
|
|
613 |
|
| Gentherm* |
|
|
12,730 |
|
|
|
538 |
|
| G-III Apparel Group* |
|
|
5,350 |
|
|
|
443 |
|
| GNC Holdings, Cl A |
|
|
2,700 |
|
|
|
105 |
|
| Grand Canyon Education* |
|
|
1,400 |
|
|
|
57 |
|
| Gray Television* |
|
|
6,300 |
|
|
|
50 |
|
| Haverty Furniture |
|
|
5,176 |
|
|
|
113 |
|
| Helen of Troy* |
|
|
3,900 |
|
|
|
205 |
|
| HomeAway* |
|
|
26,591 |
|
|
|
944 |
|
| Jack in the Box |
|
|
35,341 |
|
|
|
2,410 |
|
| K12 (A)* |
|
|
27,500 |
|
|
|
439 |
|
| Krispy Kreme Doughnuts* |
|
|
49,616 |
|
|
|
851 |
|
| La Quinta Holdings* |
|
|
19,400 |
|
|
|
368 |
|
| La-Z-Boy, Cl Z |
|
|
32,091 |
|
|
|
635 |
|
| Libbey* |
|
|
29,900 |
|
|
|
785 |
|
| Lithia Motors, Cl A |
|
|
17,467 |
|
|
|
1,322 |
|
| LKQ* |
|
|
30,038 |
|
|
|
799 |
|
| Loral Space & Communications* |
|
|
6,500 |
|
|
|
467 |
|
| Marriott Vacations Worldwide* |
|
|
27,424 |
|
|
|
1,739 |
|
| Matthews International, Cl A |
|
|
11,000 |
|
|
|
483 |
|
| MDC Partners, Cl A |
|
|
37,650 |
|
|
|
722 |
|
| Men’s Wearhouse |
|
|
13,139 |
|
|
|
620 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Meredith (A) |
|
|
28,399 |
|
|
$ |
1,215 |
|
| Meritage Homes* |
|
|
18,864 |
|
|
|
670 |
|
| Modine Manufacturing* |
|
|
61,886 |
|
|
|
734 |
|
| Motorcar Parts & Accesories* |
|
|
3,300 |
|
|
|
90 |
|
| Movado Group |
|
|
25,028 |
|
|
|
828 |
|
| Multimedia Games Holding* |
|
|
10,255 |
|
|
|
369 |
|
| National CineMedia |
|
|
45,320 |
|
|
|
658 |
|
| Nautilus* |
|
|
12,600 |
|
|
|
151 |
|
| Office Depot* |
|
|
44,000 |
|
|
|
226 |
|
| Orbitz Worldwide* |
|
|
47,734 |
|
|
|
376 |
|
| Overstock.com* |
|
|
12,100 |
|
|
|
204 |
|
| Penske Auto Group, Cl A |
|
|
11,544 |
|
|
|
469 |
|
| Pep Boys-Manny Moe & Jack* |
|
|
32,015 |
|
|
|
285 |
|
| PetMed Express (A) |
|
|
7,000 |
|
|
|
95 |
|
| Pier 1 Imports |
|
|
26,655 |
|
|
|
317 |
|
| Pool |
|
|
34,888 |
|
|
|
1,881 |
|
| Popeyes Louisiana Kitchen* |
|
|
11,520 |
|
|
|
467 |
|
| Red Robin Gourmet Burgers* |
|
|
10,545 |
|
|
|
600 |
|
| RetailMeNot* |
|
|
19,912 |
|
|
|
322 |
|
| Ruth’s Chris Steak House |
|
|
34,809 |
|
|
|
384 |
|
| Ryland Group (A) |
|
|
39,037 |
|
|
|
1,297 |
|
| Scientific Games, Cl A (A)* |
|
|
51,899 |
|
|
|
559 |
|
| Shoe Carnival |
|
|
25,980 |
|
|
|
463 |
|
| Shutterfly* |
|
|
31,275 |
|
|
|
1,524 |
|
| Skechers U.S.A., Cl A* |
|
|
21,592 |
|
|
|
1,151 |
|
| Skullcandy* |
|
|
8,300 |
|
|
|
65 |
|
| Sonic |
|
|
4,500 |
|
|
|
101 |
|
| Standard Motor Products |
|
|
3,300 |
|
|
|
114 |
|
| Stoneridge* |
|
|
18,601 |
|
|
|
210 |
|
| TAL Education Group ADR* |
|
|
24,496 |
|
|
|
856 |
|
| Tempur-Pedic International* |
|
|
12,250 |
|
|
|
688 |
|
| Tenneco* |
|
|
5,000 |
|
|
|
261 |
|
| Tile Shop Holdings (A)* |
|
|
45,055 |
|
|
|
417 |
|
| Time* |
|
|
8,500 |
|
|
|
199 |
|
| Tower International* |
|
|
6,400 |
|
|
|
161 |
|
| TRI Pointe Homes* |
|
|
32,386 |
|
|
|
419 |
|
| Tuesday Morning* |
|
|
31,940 |
|
|
|
620 |
|
| Vail Resorts |
|
|
12,340 |
|
|
|
1,071 |
|
| Vera Bradley (A)* |
|
|
26,514 |
|
|
|
548 |
|
| Vince Holding* |
|
|
2,867 |
|
|
|
87 |
|
| Vitamin Shoppe* |
|
|
38,217 |
|
|
|
1,696 |
|
| Wolverine World Wide (A) |
|
|
28,943 |
|
|
|
725 |
|
| Zoe’s Kitchen (A)* |
|
|
17,648 |
|
|
|
543 |
|
| zulily, Cl A (A)* |
|
|
14,840 |
|
|
|
562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.7% |
|
|
|
|
|
|
|
|
| Andersons |
|
|
8,100 |
|
|
|
509 |
|
| Casey’s General Stores |
|
|
12,017 |
|
|
|
862 |
|
| Chefs’ Warehouse Holdings (A)* |
|
|
21,911 |
|
|
|
356 |
|
| Chiquita Brands International* |
|
|
40,100 |
|
|
|
569 |
|
| Darling Ingredients* |
|
|
28,160 |
|
|
|
516 |
|
| Fresh Del Monte Produce |
|
|
17,200 |
|
|
|
548 |
|
| J&J Snack Foods |
|
|
6,935 |
|
|
|
649 |
|
| Lancaster Colony |
|
|
2,800 |
|
|
|
239 |
|
| Medifast* |
|
|
11,233 |
|
|
|
369 |
|
| Sanderson Farms (A) |
|
|
11,835 |
|
|
|
1,041 |
|
| Snyder’s-Lance |
|
|
14,110 |
|
|
|
374 |
|
| SpartanNash |
|
|
28,458 |
|
|
|
554 |
|
| Sprouts Farmers Market (A)* |
|
|
21,296 |
|
|
|
619 |
|
| SUPERVALU* |
|
|
45,300 |
|
|
|
405 |
|
| TreeHouse Foods* |
|
|
7,851 |
|
|
|
632 |
|
| Universal |
|
|
2,400 |
|
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Energy — 6.9% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum* |
|
|
138,300 |
|
|
$ |
730 |
|
| Alberta Oilsands* |
|
|
184,500 |
|
|
|
21 |
|
| Alon USA Energy |
|
|
5,100 |
|
|
|
73 |
|
| Alpha Natural Resources (A)* |
|
|
21,000 |
|
|
|
52 |
|
| Approach Resources, Cl A (A)* |
|
|
79,400 |
|
|
|
1,151 |
|
| Basic Energy Services* |
|
|
36,961 |
|
|
|
802 |
|
| Bill Barrett (A)* |
|
|
16,100 |
|
|
|
355 |
|
| Bonanza Creek Energy* |
|
|
10,425 |
|
|
|
593 |
|
| Bristow Group (A) |
|
|
11,225 |
|
|
|
754 |
|
| C&J Energy Services* |
|
|
13,479 |
|
|
|
412 |
|
| Callon Petroleum* |
|
|
14,800 |
|
|
|
130 |
|
| Carrizo Oil & Gas* |
|
|
15,376 |
|
|
|
828 |
|
| Clayton Williams Energy* |
|
|
1,900 |
|
|
|
183 |
|
| Cloud Peak Energy* |
|
|
26,700 |
|
|
|
337 |
|
| Comstock Resources |
|
|
2,500 |
|
|
|
47 |
|
| Delek US Holdings |
|
|
24,421 |
|
|
|
809 |
|
| Dril-Quip* |
|
|
13,166 |
|
|
|
1,177 |
|
| Eclipse Resources (A)* |
|
|
14,713 |
|
|
|
244 |
|
| Exterran Holdings |
|
|
17,475 |
|
|
|
774 |
|
| Forest Oil* |
|
|
62,500 |
|
|
|
73 |
|
| Forum Energy Technologies* |
|
|
37,741 |
|
|
|
1,155 |
|
| GasLog |
|
|
9,300 |
|
|
|
205 |
|
| Goodrich Petroleum (A)* |
|
|
9,212 |
|
|
|
136 |
|
| Green Plains |
|
|
8,200 |
|
|
|
307 |
|
| Helix Energy Solutions Group* |
|
|
81,377 |
|
|
|
1,795 |
|
| Key Energy Services* |
|
|
13,300 |
|
|
|
64 |
|
| Kodiak Oil & Gas* |
|
|
12,300 |
|
|
|
167 |
|
| Laredo Petroleum (A)* |
|
|
45,036 |
|
|
|
1,009 |
|
| Matador Resources* |
|
|
38,903 |
|
|
|
1,006 |
|
| Matrix Service* |
|
|
29,737 |
|
|
|
717 |
|
| McDermott International (A)* |
|
|
77,900 |
|
|
|
446 |
|
| Navigator Holdings* |
|
|
10,600 |
|
|
|
295 |
|
| Newpark Resources, Cl A* |
|
|
22,500 |
|
|
|
280 |
|
| North Atlantic Drilling |
|
|
34,200 |
|
|
|
228 |
|
| Nuverra Environmental Solutions (A)* |
|
|
72,500 |
|
|
|
1,069 |
|
| Oasis Petroleum* |
|
|
22,657 |
|
|
|
947 |
|
| Oil States International* |
|
|
8,400 |
|
|
|
520 |
|
| Parker Drilling* |
|
|
38,100 |
|
|
|
188 |
|
| PDC Energy, Cl A* |
|
|
30,522 |
|
|
|
1,535 |
|
| Penn Virginia* |
|
|
31,231 |
|
|
|
397 |
|
| PetroQuest Energy* |
|
|
32,500 |
|
|
|
183 |
|
| Pioneer Energy Services* |
|
|
70,837 |
|
|
|
993 |
|
| Quicksilver Resources (A)* |
|
|
183,700 |
|
|
|
111 |
|
| Renewable Energy Group* |
|
|
10,200 |
|
|
|
103 |
|
| Resolute Energy (A)* |
|
|
47,700 |
|
|
|
299 |
|
| REX American Resources* |
|
|
10,000 |
|
|
|
729 |
|
| Ring Energy (A)* |
|
|
12,125 |
|
|
|
179 |
|
| Rosetta Resources* |
|
|
43,718 |
|
|
|
1,948 |
|
| Scorpio Tankers |
|
|
85,700 |
|
|
|
712 |
|
| StealthGas* |
|
|
45,900 |
|
|
|
418 |
|
| Stone Energy, Cl A* |
|
|
8,100 |
|
|
|
254 |
|
| Superior Energy Services |
|
|
22,669 |
|
|
|
745 |
|
| Synergy Resources* |
|
|
52,735 |
|
|
|
643 |
|
| Tesco |
|
|
47,650 |
|
|
|
946 |
|
| TETRA Technologies* |
|
|
90,015 |
|
|
|
974 |
|
| Triangle Petroleum (A)* |
|
|
19,870 |
|
|
|
219 |
|
| VAALCO Energy* |
|
|
83,540 |
|
|
|
710 |
|
| Vertex Energy (A)* |
|
|
14,900 |
|
|
|
104 |
|
| Western Refining |
|
|
13,100 |
|
|
|
550 |
|
| Willbros Group* |
|
|
37,500 |
|
|
|
313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Financials — 19.6% |
|
|
|
|
|
|
|
|
| Acadia Realty Trust† |
|
|
25,120 |
|
|
$ |
693 |
|
| Agree Realty† |
|
|
9,200 |
|
|
|
252 |
|
| Altisource Residential† |
|
|
4,400 |
|
|
|
106 |
|
| Ambac Financial Group* |
|
|
4,700 |
|
|
|
104 |
|
| American Assets Trust† |
|
|
20,225 |
|
|
|
667 |
|
| American Campus Communities† |
|
|
14,600 |
|
|
|
532 |
|
| American Capital Mortgage Investment† |
|
|
10,900 |
|
|
|
205 |
|
| American Equity Investment Life Holding (A) |
|
|
44,184 |
|
|
|
1,011 |
|
| AmTrust Financial Services (A) |
|
|
7,684 |
|
|
|
306 |
|
| Argo Group International Holdings |
|
|
14,760 |
|
|
|
743 |
|
| Artisan Partners Asset Management, Cl A |
|
|
5,160 |
|
|
|
269 |
|
| Ashford Hospitality Trust† |
|
|
4,400 |
|
|
|
45 |
|
| Associated Estates Realty† |
|
|
23,330 |
|
|
|
409 |
|
| Astoria Financial |
|
|
62,670 |
|
|
|
777 |
|
| Banco Latinoamericano de Exportaciones, Cl E |
|
|
10,600 |
|
|
|
325 |
|
| Bancorpsouth, Cl A (A) |
|
|
39,209 |
|
|
|
790 |
|
| Bank of the Ozarks (A) |
|
|
52,146 |
|
|
|
1,644 |
|
| Banner |
|
|
36,570 |
|
|
|
1,407 |
|
| BBCN Bancorp |
|
|
30,080 |
|
|
|
439 |
|
| BGC Partners, Cl A |
|
|
53,900 |
|
|
|
400 |
|
| BofI Holding* |
|
|
8,984 |
|
|
|
653 |
|
| Boston Private Financial Holdings |
|
|
60,433 |
|
|
|
749 |
|
| Brandywine Realty Trust† |
|
|
34,620 |
|
|
|
487 |
|
| Capital Bank Financial, Cl A* |
|
|
23,633 |
|
|
|
564 |
|
| Capitol Federal Financial |
|
|
49,000 |
|
|
|
579 |
|
| Caretrust*† |
|
|
2,100 |
|
|
|
30 |
|
| CatchMark Timber Trust, Cl A† |
|
|
27,600 |
|
|
|
302 |
|
| Cathay General Bancorp |
|
|
2,700 |
|
|
|
67 |
|
| Cedar Realty Trust† |
|
|
53,900 |
|
|
|
318 |
|
| Central Pacific Financial |
|
|
76,337 |
|
|
|
1,369 |
|
| Chatham Lodging Trust† |
|
|
3,100 |
|
|
|
72 |
|
| Chesapeake Lodging Trust† |
|
|
16,640 |
|
|
|
485 |
|
| City National |
|
|
7,210 |
|
|
|
546 |
|
| CNO Financial Group |
|
|
144,800 |
|
|
|
2,456 |
|
| CoBiz Financial |
|
|
58,973 |
|
|
|
659 |
|
| Cohen & Steers (A) |
|
|
2,238 |
|
|
|
86 |
|
| Columbia Banking System |
|
|
18,230 |
|
|
|
452 |
|
| Cousins Properties, Cl A† |
|
|
16,200 |
|
|
|
194 |
|
| Credit Acceptance, Cl A* |
|
|
4,300 |
|
|
|
542 |
|
| CubeSmart† |
|
|
41,999 |
|
|
|
755 |
|
| Customers Bancorp* |
|
|
19,000 |
|
|
|
341 |
|
| CyrusOne† |
|
|
4,400 |
|
|
|
106 |
|
| CYS Investments† |
|
|
24,300 |
|
|
|
200 |
|
| DiamondRock Hospitality† |
|
|
94,350 |
|
|
|
1,196 |
|
| DuPont Fabros Technology† |
|
|
21,230 |
|
|
|
574 |
|
| Eagle Bancorp* |
|
|
19,448 |
|
|
|
619 |
|
| East West Bancorp |
|
|
20,730 |
|
|
|
705 |
|
| EastGroup Properties† |
|
|
26,979 |
|
|
|
1,635 |
|
| Education Realty Trust, Cl A† |
|
|
59,192 |
|
|
|
608 |
|
| Employers Holdings |
|
|
27,300 |
|
|
|
525 |
|
| EPR Properties, Cl A† |
|
|
15,165 |
|
|
|
769 |
|
| EverBank Financial, Cl A |
|
|
21,340 |
|
|
|
377 |
|
| Evercore Partners, Cl A |
|
|
8,680 |
|
|
|
408 |
|
| FBR* |
|
|
17,775 |
|
|
|
489 |
|
| Federated National Holding |
|
|
7,300 |
|
|
|
205 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| FelCor Lodging Trust† |
|
|
62,700 |
|
|
$ |
587 |
|
| Fidelity & Guaranty Life |
|
|
25,200 |
|
|
|
538 |
|
| Financial Engines (A) |
|
|
17,785 |
|
|
|
608 |
|
| First American Financial |
|
|
300 |
|
|
|
8 |
|
| First BanCorp Puerto Rico* |
|
|
119,515 |
|
|
|
568 |
|
| First Cash Financial Services* |
|
|
672 |
|
|
|
38 |
|
| First Citizens BancShares, Cl A |
|
|
500 |
|
|
|
108 |
|
| First Commonwealth Financial |
|
|
80,930 |
|
|
|
679 |
|
| First Financial Bancorp |
|
|
40,580 |
|
|
|
642 |
|
| First Horizon National |
|
|
68,986 |
|
|
|
847 |
|
| First Interstate BancSystem, Cl A |
|
|
20,348 |
|
|
|
541 |
|
| First Midwest Bancorp |
|
|
29,900 |
|
|
|
481 |
|
| First NBC Bank Holding* |
|
|
1,600 |
|
|
|
52 |
|
| First Potomac Realty Trust† |
|
|
16,480 |
|
|
|
194 |
|
| Forest City Enterprises, Cl A* |
|
|
24,160 |
|
|
|
473 |
|
| Forestar Group* |
|
|
18,880 |
|
|
|
335 |
|
| Fulton Financial |
|
|
46,470 |
|
|
|
515 |
|
| FXCM, Cl A (A) |
|
|
69,943 |
|
|
|
1,109 |
|
| Geo Group† |
|
|
33,200 |
|
|
|
1,269 |
|
| Glacier Bancorp, Cl A |
|
|
29,575 |
|
|
|
765 |
|
| Gramercy Property Trust (A)† |
|
|
84,000 |
|
|
|
484 |
|
| Hanover Insurance Group, Cl A |
|
|
25,370 |
|
|
|
1,558 |
|
| Hatteras Financial† |
|
|
11,000 |
|
|
|
198 |
|
| HCI Group |
|
|
5,400 |
|
|
|
194 |
|
| Healthcare Realty Trust† |
|
|
500 |
|
|
|
12 |
|
| HFF, Cl A* |
|
|
4,000 |
|
|
|
116 |
|
| Highwoods Properties† |
|
|
25,844 |
|
|
|
1,005 |
|
| Home BancShares |
|
|
23,325 |
|
|
|
686 |
|
| HomeStreet |
|
|
3,300 |
|
|
|
56 |
|
| Horace Mann Educators, Cl A |
|
|
22,800 |
|
|
|
650 |
|
| IBERIABANK |
|
|
28,825 |
|
|
|
1,802 |
|
| Infinity Property & Casualty |
|
|
2,100 |
|
|
|
134 |
|
| Inland Real Estate† |
|
|
33,900 |
|
|
|
336 |
|
| International Bancshares |
|
|
2,900 |
|
|
|
71 |
|
| Investment Technology Group* |
|
|
53,264 |
|
|
|
839 |
|
| Investors Bancorp |
|
|
16,600 |
|
|
|
168 |
|
| Investors Real Estate Trust† |
|
|
4,500 |
|
|
|
35 |
|
| Janus Capital Group (A) |
|
|
47,478 |
|
|
|
690 |
|
| Jones Lang LaSalle |
|
|
4,836 |
|
|
|
611 |
|
| Kennedy-Wilson Holdings |
|
|
21,600 |
|
|
|
517 |
|
| Kite Realty Group Trust† |
|
|
23,959 |
|
|
|
581 |
|
| LaSalle Hotel Properties† |
|
|
23,295 |
|
|
|
798 |
|
| Lexington Realty Trust† |
|
|
147,263 |
|
|
|
1,442 |
|
| LTC Properties† |
|
|
5,100 |
|
|
|
188 |
|
| Mack-Cali Realty† |
|
|
11,100 |
|
|
|
212 |
|
| Maiden Holdings |
|
|
52,300 |
|
|
|
579 |
|
| MarketAxess Holdings |
|
|
7,406 |
|
|
|
458 |
|
| Meadowbrook Insurance Group |
|
|
64,600 |
|
|
|
378 |
|
| Medical Properties Trust† |
|
|
74,186 |
|
|
|
910 |
|
| Medley Management, Cl A* |
|
|
15,700 |
|
|
|
265 |
|
| MGIC Investment* |
|
|
96,640 |
|
|
|
755 |
|
| Montpelier Re Holdings |
|
|
12,800 |
|
|
|
398 |
|
| National Health Investors† |
|
|
3,700 |
|
|
|
211 |
|
| Navigators Group* |
|
|
1,600 |
|
|
|
98 |
|
| NBT Bancorp |
|
|
8,600 |
|
|
|
194 |
|
| Nelnet, Cl A |
|
|
17,000 |
|
|
|
732 |
|
| Northfield Bancorp |
|
|
35,350 |
|
|
|
482 |
|
| Ocwen Financial* |
|
|
7,800 |
|
|
|
204 |
|
| OFG Bancorp |
|
|
55,926 |
|
|
|
838 |
|
| Old National Bancorp, Cl A |
|
|
44,595 |
|
|
|
578 |
|
| Opus Bank* |
|
|
18,643 |
|
|
|
571 |
|
| PacWest Bancorp |
|
|
18,498 |
|
|
|
763 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Parkway Properties (A)† |
|
|
30,423 |
|
|
$ |
571 |
|
| Pebblebrook Hotel Trust† |
|
|
43,393 |
|
|
|
1,620 |
|
| PennantPark Investment |
|
|
39,656 |
|
|
|
433 |
|
| Pennsylvania Real Estate Investment Trust† |
|
|
27,054 |
|
|
|
539 |
|
| Pinnacle Financial Partners |
|
|
5,500 |
|
|
|
199 |
|
| Piper Jaffray* |
|
|
400 |
|
|
|
21 |
|
| Platinum Underwriters Holdings |
|
|
10,600 |
|
|
|
645 |
|
| Popular* |
|
|
24,300 |
|
|
|
715 |
|
| Potlatch† |
|
|
6,377 |
|
|
|
256 |
|
| Primerica |
|
|
2,900 |
|
|
|
140 |
|
| PrivateBancorp, Cl A |
|
|
5,300 |
|
|
|
158 |
|
| Prosperity Bancshares |
|
|
2,100 |
|
|
|
120 |
|
| Provident Financial Services |
|
|
10,000 |
|
|
|
164 |
|
| PS Business Parks† |
|
|
6,400 |
|
|
|
487 |
|
| Radian Group |
|
|
115,841 |
|
|
|
1,652 |
|
| RAIT Financial Trust† |
|
|
77,123 |
|
|
|
573 |
|
| Ramco-Gershenson Properties† |
|
|
21,000 |
|
|
|
341 |
|
| RCS Capital, Cl A |
|
|
7,000 |
|
|
|
158 |
|
| RE, Cl A |
|
|
17,836 |
|
|
|
530 |
|
| RLI (A) |
|
|
17,804 |
|
|
|
771 |
|
| RLJ Lodging Trust† |
|
|
9,800 |
|
|
|
279 |
|
| Rouse Properties (A)† |
|
|
25,900 |
|
|
|
419 |
|
| Ryman Hospitality Properties (A)† |
|
|
15,865 |
|
|
|
750 |
|
| Sabra Health Care† |
|
|
20,200 |
|
|
|
491 |
|
| Safeguard Scientifics* |
|
|
28,712 |
|
|
|
528 |
|
| Select Income† |
|
|
1,900 |
|
|
|
46 |
|
| Selective Insurance Group |
|
|
29,120 |
|
|
|
645 |
|
| Signature Bank NY, Cl B* |
|
|
10,660 |
|
|
|
1,195 |
|
| South State |
|
|
14,165 |
|
|
|
792 |
|
| Sovran Self Storage† |
|
|
9,900 |
|
|
|
736 |
|
| STAG Industrial† |
|
|
9,600 |
|
|
|
199 |
|
| StanCorp Financial Group |
|
|
6,340 |
|
|
|
401 |
|
| Starwood Property Trust† |
|
|
13,200 |
|
|
|
290 |
|
| Stewart Information Services |
|
|
19,766 |
|
|
|
580 |
|
| Stifel Financial* |
|
|
22,530 |
|
|
|
1,056 |
|
| Strategic Hotels & Resorts*† |
|
|
33,000 |
|
|
|
384 |
|
| Summit Hotel Properties† |
|
|
1,800 |
|
|
|
19 |
|
| Sunstone Hotel Investors† |
|
|
70,713 |
|
|
|
977 |
|
| Susquehanna Bancshares |
|
|
3,600 |
|
|
|
36 |
|
| SVB Financial Group, Cl B* |
|
|
7,336 |
|
|
|
822 |
|
| Symetra Financial |
|
|
33,113 |
|
|
|
773 |
|
| Synovus Financial |
|
|
31,761 |
|
|
|
751 |
|
| TCF Financial |
|
|
36,810 |
|
|
|
572 |
|
| Texas Capital Bancshares* |
|
|
14,954 |
|
|
|
862 |
|
| THL Credit (A) |
|
|
13,700 |
|
|
|
177 |
|
| Two Harbors Investment† |
|
|
20,500 |
|
|
|
198 |
|
| Umpqua Holdings |
|
|
3,100 |
|
|
|
51 |
|
| United Community Banks |
|
|
83,403 |
|
|
|
1,373 |
|
| United Insurance Holdings |
|
|
18,000 |
|
|
|
270 |
|
| Universal Insurance Holdings |
|
|
19,400 |
|
|
|
251 |
|
| ViewPoint Financial Group |
|
|
10,400 |
|
|
|
249 |
|
| Walter Investment Management (A)* |
|
|
6,700 |
|
|
|
147 |
|
| Webster Financial |
|
|
27,750 |
|
|
|
809 |
|
| Western Alliance Bancorp* |
|
|
84,778 |
|
|
|
2,026 |
|
| Winthrop Realty Trust† |
|
|
19,300 |
|
|
|
291 |
|
| Wintrust Financial |
|
|
12,950 |
|
|
|
578 |
|
| WSFS Financial |
|
|
13,090 |
|
|
|
937 |
|
| Yadkin Financial* |
|
|
23,110 |
|
|
|
420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Health Care — 13.2% |
|
|
|
|
|
|
|
|
| Acadia Healthcare, Cl A (A)* |
|
|
58,610 |
|
|
$ |
2,843 |
|
| ACADIA Pharmaceuticals (A)* |
|
|
14,066 |
|
|
|
348 |
|
| Acceleron Pharma* |
|
|
8,679 |
|
|
|
262 |
|
| Accuray (A)* |
|
|
112,500 |
|
|
|
817 |
|
| Acorda Therapeutics* |
|
|
2,900 |
|
|
|
98 |
|
| Addus HomeCare* |
|
|
21,033 |
|
|
|
412 |
|
| Aegerion Pharmaceuticals, Cl A (A)* |
|
|
7,070 |
|
|
|
236 |
|
| Aerie Pharmaceuticals* |
|
|
15,764 |
|
|
|
326 |
|
| Affymetrix, Cl A (A)* |
|
|
21,100 |
|
|
|
168 |
|
| Akorn (A)* |
|
|
54,452 |
|
|
|
1,975 |
|
| Alere* |
|
|
6,200 |
|
|
|
240 |
|
| Align Technology* |
|
|
9,030 |
|
|
|
467 |
|
| AMN Healthcare Services* |
|
|
4,700 |
|
|
|
74 |
|
| Amsurg* |
|
|
28,224 |
|
|
|
1,413 |
|
| ANI Pharmaceuticals* |
|
|
8,400 |
|
|
|
238 |
|
| Anika Therapeutics* |
|
|
17,300 |
|
|
|
634 |
|
| Aratana Therapeutics (A)* |
|
|
17,976 |
|
|
|
180 |
|
| Arrowhead Research (A)* |
|
|
16,306 |
|
|
|
241 |
|
| Avalanche Biotechnologies (A)* |
|
|
6,467 |
|
|
|
221 |
|
| BioCryst Pharmaceuticals* |
|
|
9,700 |
|
|
|
95 |
|
| BioDelivery Sciences International* |
|
|
30,202 |
|
|
|
516 |
|
| Bluebird Bio* |
|
|
2,900 |
|
|
|
104 |
|
| Bruker BioSciences* |
|
|
17,667 |
|
|
|
327 |
|
| Cambrex* |
|
|
24,200 |
|
|
|
452 |
|
| Cantel Medical |
|
|
3,550 |
|
|
|
122 |
|
| Cardiovascular Systems* |
|
|
16,754 |
|
|
|
396 |
|
| Celldex Therapeutics, Cl A (A)* |
|
|
6,600 |
|
|
|
86 |
|
| Centene* |
|
|
11,489 |
|
|
|
950 |
|
| Charles River Laboratories International* |
|
|
19,373 |
|
|
|
1,157 |
|
| Chimerix* |
|
|
13,107 |
|
|
|
362 |
|
| Conmed |
|
|
26,145 |
|
|
|
963 |
|
| Cross Country Healthcare* |
|
|
41,500 |
|
|
|
386 |
|
| Cubist Pharmaceuticals* |
|
|
9,678 |
|
|
|
642 |
|
| Depomed* |
|
|
38,400 |
|
|
|
583 |
|
| DexCom* |
|
|
27,763 |
|
|
|
1,110 |
|
| Emergent Biosolutions* |
|
|
31,270 |
|
|
|
666 |
|
| Enanta Pharmaceuticals* |
|
|
3,700 |
|
|
|
146 |
|
| Endocyte (A)* |
|
|
10,200 |
|
|
|
62 |
|
| Ensign Group |
|
|
7,200 |
|
|
|
251 |
|
| Exact Sciences (A)* |
|
|
15,789 |
|
|
|
306 |
|
| ExamWorks Group (A)* |
|
|
27,146 |
|
|
|
889 |
|
| Five Star Quality Care* |
|
|
24,384 |
|
|
|
92 |
|
| Fluidigm* |
|
|
21,971 |
|
|
|
538 |
|
| GenMark Diagnostics (A)* |
|
|
40,574 |
|
|
|
364 |
|
| Gentiva Health Services* |
|
|
19,400 |
|
|
|
325 |
|
| Globus Medical, Cl A* |
|
|
36,890 |
|
|
|
726 |
|
| Greatbatch* |
|
|
38,745 |
|
|
|
1,651 |
|
| GW Pharmaceuticals PLC* |
|
|
3,310 |
|
|
|
268 |
|
| Halozyme Therapeutics (A)* |
|
|
40,547 |
|
|
|
369 |
|
| Health Net, Cl A* |
|
|
11,700 |
|
|
|
539 |
|
| HealthSouth |
|
|
67,697 |
|
|
|
2,498 |
|
| HeartWare International* |
|
|
7,649 |
|
|
|
594 |
|
| ICON* |
|
|
10,239 |
|
|
|
586 |
|
| ICU Medical* |
|
|
5,620 |
|
|
|
361 |
|
| Idera Pharmaceuticals (A)* |
|
|
43,600 |
|
|
|
100 |
|
| Ignyta* |
|
|
21,646 |
|
|
|
174 |
|
| ImmunoGen (A)* |
|
|
5,000 |
|
|
|
53 |
|
| Impax Laboratories* |
|
|
5,300 |
|
|
|
126 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Insmed* |
|
|
55,406 |
|
|
$ |
723 |
|
| Insulet* |
|
|
34,214 |
|
|
|
1,261 |
|
| Intrexon (A)* |
|
|
9,646 |
|
|
|
179 |
|
| Invacare |
|
|
800 |
|
|
|
9 |
|
| Isis Pharmaceuticals (A)* |
|
|
40,897 |
|
|
|
1,588 |
|
| Jazz Pharmaceuticals* |
|
|
3,590 |
|
|
|
576 |
|
| K2M Group Holdings* |
|
|
39,451 |
|
|
|
569 |
|
| Karyopharm Therapeutics (A)* |
|
|
6,759 |
|
|
|
236 |
|
| Keryx Biopharmaceuticals (A)* |
|
|
19,839 |
|
|
|
273 |
|
| Kindred Healthcare |
|
|
3,800 |
|
|
|
74 |
|
| Kite Pharma (A)* |
|
|
8,635 |
|
|
|
246 |
|
| KYTHERA Biopharmaceuticals (A)* |
|
|
6,751 |
|
|
|
221 |
|
| Lannett* |
|
|
17,100 |
|
|
|
781 |
|
| LDR Holding (A)* |
|
|
37,987 |
|
|
|
1,183 |
|
| Luminex* |
|
|
1,200 |
|
|
|
24 |
|
| Magellan Health* |
|
|
15,266 |
|
|
|
835 |
|
| MEDNAX* |
|
|
18,396 |
|
|
|
1,008 |
|
| Molina Healthcare* |
|
|
15,857 |
|
|
|
671 |
|
| Momenta Pharmaceuticals* |
|
|
17,000 |
|
|
|
193 |
|
| MWI Veterinary Supply* |
|
|
2,770 |
|
|
|
411 |
|
| Natus Medical* |
|
|
23,400 |
|
|
|
690 |
|
| Nektar Therapeutics* |
|
|
31,011 |
|
|
|
374 |
|
| NewLink Genetics (A)* |
|
|
15,512 |
|
|
|
332 |
|
| Novadaq Technologies* |
|
|
41,469 |
|
|
|
526 |
|
| NPS Pharmaceuticals* |
|
|
17,950 |
|
|
|
467 |
|
| Oramed Pharmaceuticals (A)* |
|
|
31,238 |
|
|
|
252 |
|
| OraSure Technologies* |
|
|
22,300 |
|
|
|
161 |
|
| Orexigen Therapeutics (A)* |
|
|
57,625 |
|
|
|
246 |
|
| Orthofix International* |
|
|
11,000 |
|
|
|
341 |
|
| Otonomy* |
|
|
10,209 |
|
|
|
245 |
|
| Pacific Biosciences of California* |
|
|
6,700 |
|
|
|
33 |
|
| Pacira Pharmaceuticals* |
|
|
11,770 |
|
|
|
1,141 |
|
| Parexel International* |
|
|
13,100 |
|
|
|
827 |
|
| Pernix Therapeutics Holdings* |
|
|
22,200 |
|
|
|
171 |
|
| PharMerica* |
|
|
43,126 |
|
|
|
1,054 |
|
| Portola Pharmaceuticals* |
|
|
11,582 |
|
|
|
293 |
|
| POZEN* |
|
|
5,700 |
|
|
|
42 |
|
| Premier, Cl A* |
|
|
17,345 |
|
|
|
570 |
|
| Prestige Brands Holdings, Cl A* |
|
|
16,790 |
|
|
|
544 |
|
| Providence Service* |
|
|
8,292 |
|
|
|
401 |
|
| PTC Therapeutics* |
|
|
1,500 |
|
|
|
66 |
|
| Puma Biotechnology* |
|
|
8,509 |
|
|
|
2,030 |
|
| RadNet* |
|
|
13,600 |
|
|
|
90 |
|
| Receptos* |
|
|
6,700 |
|
|
|
416 |
|
| Relypsa* |
|
|
22,683 |
|
|
|
478 |
|
| Repligen* |
|
|
24,193 |
|
|
|
482 |
|
| Revance Therapeutics* |
|
|
17,348 |
|
|
|
335 |
|
| Rigel Pharmaceuticals* |
|
|
47,900 |
|
|
|
93 |
|
| Sage Therapeutics* |
|
|
3,818 |
|
|
|
120 |
|
| Sagent Pharmaceuticals* |
|
|
12,144 |
|
|
|
378 |
|
| Select Medical Holdings |
|
|
23,900 |
|
|
|
287 |
|
| Sirona Dental Systems, Cl A* |
|
|
7,685 |
|
|
|
589 |
|
| Spectranetics* |
|
|
22,893 |
|
|
|
608 |
|
| STERIS, Cl A |
|
|
11,230 |
|
|
|
606 |
|
| Sunesis Pharmaceuticals (A)* |
|
|
29,624 |
|
|
|
212 |
|
| Supernus Pharmaceuticals* |
|
|
10,500 |
|
|
|
91 |
|
| Surgical Care Affiliates* |
|
|
28,112 |
|
|
|
751 |
|
| SurModics* |
|
|
3,200 |
|
|
|
58 |
|
| Symmetry Medical* |
|
|
22,700 |
|
|
|
229 |
|
| Synageva BioPharma, Cl A (A)* |
|
|
4,351 |
|
|
|
299 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Syneron Medical* |
|
|
40,739 |
|
|
$ |
408 |
|
| Tandem Diabetes Care (A)* |
|
|
15,615 |
|
|
|
210 |
|
| Team Health Holdings* |
|
|
16,721 |
|
|
|
970 |
|
| TESARO (A)* |
|
|
10,279 |
|
|
|
277 |
|
| Threshold Pharmaceuticals, Cl A (A)* |
|
|
35,480 |
|
|
|
128 |
|
| Ultragenyx Pharmaceutical (A)* |
|
|
4,365 |
|
|
|
247 |
|
| Unilife (A)* |
|
|
166,073 |
|
|
|
381 |
|
| Veeva Systems, Cl A* |
|
|
20,328 |
|
|
|
573 |
|
| Versartis (A)* |
|
|
8,623 |
|
|
|
164 |
|
| WellCare Health Plans* |
|
|
21,374 |
|
|
|
1,290 |
|
| Zeltiq Aesthetics* |
|
|
6,400 |
|
|
|
145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 15.5% |
|
|
|
|
|
|
|
|
| AAON |
|
|
7,800 |
|
|
|
133 |
|
| AAR |
|
|
21,881 |
|
|
|
528 |
|
| ACCO Brands* |
|
|
30,000 |
|
|
|
207 |
|
| Actuant, Cl A |
|
|
68,707 |
|
|
|
2,097 |
|
| Acuity Brands (A) |
|
|
8,562 |
|
|
|
1,008 |
|
| Aegean Marine Petroleum Network |
|
|
24,300 |
|
|
|
223 |
|
| Aegion, Cl A* |
|
|
12,300 |
|
|
|
274 |
|
| Aerovironment* |
|
|
7,500 |
|
|
|
226 |
|
| Air Transport Services Group* |
|
|
29,000 |
|
|
|
211 |
|
| Aircastle |
|
|
11,700 |
|
|
|
191 |
|
| Albany International, Cl A |
|
|
3,300 |
|
|
|
112 |
|
| American Woodmark* |
|
|
5,300 |
|
|
|
195 |
|
| Apogee Enterprises |
|
|
12,900 |
|
|
|
514 |
|
| ARC Document Solutions* |
|
|
7,400 |
|
|
|
60 |
|
| ArcBest |
|
|
6,400 |
|
|
|
239 |
|
| Argan* |
|
|
7,800 |
|
|
|
260 |
|
| Astronics* |
|
|
7,980 |
|
|
|
381 |
|
| Astronics, Cl B* |
|
|
1,476 |
|
|
|
70 |
|
| Barnes Group |
|
|
29,775 |
|
|
|
904 |
|
| Barrett Business Services |
|
|
3,160 |
|
|
|
125 |
|
| Beacon Roofing Supply* |
|
|
13,029 |
|
|
|
332 |
|
| Blount International* |
|
|
7,300 |
|
|
|
110 |
|
| Carlisle |
|
|
20,096 |
|
|
|
1,615 |
|
| Chart Industries (A)* |
|
|
14,622 |
|
|
|
894 |
|
| CIRCOR International |
|
|
16,405 |
|
|
|
1,105 |
|
| Civeo |
|
|
10,400 |
|
|
|
121 |
|
| Corporate Executive Board |
|
|
10,434 |
|
|
|
627 |
|
| Curtiss-Wright |
|
|
25,672 |
|
|
|
1,692 |
|
| Deluxe |
|
|
17,094 |
|
|
|
943 |
|
| Diana Shipping* |
|
|
31,039 |
|
|
|
278 |
|
| DXP Enterprises* |
|
|
4,525 |
|
|
|
333 |
|
| Dycom Industries* |
|
|
48,090 |
|
|
|
1,477 |
|
| EMCOR Group |
|
|
44,145 |
|
|
|
1,764 |
|
| EnerSys (A) |
|
|
22,096 |
|
|
|
1,296 |
|
| Engility Holdings* |
|
|
15,668 |
|
|
|
488 |
|
| Esterline Technologies* |
|
|
15,319 |
|
|
|
1,705 |
|
| Exponent |
|
|
2,200 |
|
|
|
156 |
|
| Fortune Brands Home & Security |
|
|
14,790 |
|
|
|
608 |
|
| FreightCar America, Cl A |
|
|
21,024 |
|
|
|
700 |
|
| FTI Consulting* |
|
|
14,900 |
|
|
|
521 |
|
| G&K Services |
|
|
22,585 |
|
|
|
1,251 |
|
| Generac Holdings (A)* |
|
|
29,758 |
|
|
|
1,206 |
|
| General Cable |
|
|
24,223 |
|
|
|
365 |
|
| Genesee & Wyoming, Cl A* |
|
|
9,844 |
|
|
|
938 |
|
| Gibraltar Industries* |
|
|
8,864 |
|
|
|
121 |
|
| Global Brass & Copper Holdings |
|
|
5,700 |
|
|
|
84 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Global Power Equipment Group |
|
|
35,300 |
|
|
$ |
526 |
|
| Graco |
|
|
7,275 |
|
|
|
531 |
|
| GrafTech International (A)* |
|
|
77,100 |
|
|
|
353 |
|
| Great Lakes Dredge & Dock* |
|
|
109,600 |
|
|
|
677 |
|
| Greenbrier (A) |
|
|
12,392 |
|
|
|
909 |
|
| H&E Equipment Services |
|
|
45,990 |
|
|
|
1,853 |
|
| Healthcare Services Group |
|
|
13,430 |
|
|
|
384 |
|
| HEICO |
|
|
10,989 |
|
|
|
513 |
|
| Hexcel, Cl A* |
|
|
36,147 |
|
|
|
1,435 |
|
| Hub Group, Cl A* |
|
|
10,872 |
|
|
|
441 |
|
| Huron Consulting Group* |
|
|
7,810 |
|
|
|
476 |
|
| Hyster-Yale Materials Handling |
|
|
10,500 |
|
|
|
752 |
|
| ICF International, Cl A* |
|
|
7,600 |
|
|
|
234 |
|
| IDEX |
|
|
13,010 |
|
|
|
942 |
|
| Interface, Cl A |
|
|
24,689 |
|
|
|
398 |
|
| JetBlue Airways (A)* |
|
|
78,100 |
|
|
|
830 |
|
| John Bean Technologies, Cl A |
|
|
18,180 |
|
|
|
511 |
|
| Kadant |
|
|
14,405 |
|
|
|
563 |
|
| Kaman, Cl A |
|
|
10,600 |
|
|
|
417 |
|
| KAR Auction Services |
|
|
9,800 |
|
|
|
281 |
|
| KBR |
|
|
22,100 |
|
|
|
416 |
|
| Keyw Holding, Cl A (A)* |
|
|
23,431 |
|
|
|
259 |
|
| Kforce |
|
|
1,200 |
|
|
|
23 |
|
| Kirby* |
|
|
14,196 |
|
|
|
1,673 |
|
| Knight Transportation (A) |
|
|
22,804 |
|
|
|
625 |
|
| Korn/Ferry International* |
|
|
26,210 |
|
|
|
653 |
|
| Lincoln Electric Holdings |
|
|
12,810 |
|
|
|
886 |
|
| Lindsay (A) |
|
|
6,301 |
|
|
|
471 |
|
| Marten Transport |
|
|
22,543 |
|
|
|
401 |
|
| MasTec (A)* |
|
|
13,870 |
|
|
|
425 |
|
| Meritor* |
|
|
39,825 |
|
|
|
432 |
|
| Middleby* |
|
|
22,332 |
|
|
|
1,968 |
|
| Mobile Mini |
|
|
17,072 |
|
|
|
597 |
|
| Moog, Cl A* |
|
|
14,880 |
|
|
|
1,018 |
|
| MRC Global* |
|
|
15,500 |
|
|
|
361 |
|
| MSA Safety |
|
|
1,200 |
|
|
|
59 |
|
| MSC Industrial Direct, Cl A |
|
|
5,342 |
|
|
|
457 |
|
| MYR Group* |
|
|
24,600 |
|
|
|
592 |
|
| Navigant Consulting* |
|
|
8,600 |
|
|
|
120 |
|
| NN, Cl A |
|
|
1,600 |
|
|
|
43 |
|
| Norcraft* |
|
|
3,035 |
|
|
|
49 |
|
| Northwest Pipe* |
|
|
15,110 |
|
|
|
515 |
|
| Old Dominion Freight Line, Cl A* |
|
|
10,539 |
|
|
|
744 |
|
| Orbital Sciences* |
|
|
20,650 |
|
|
|
574 |
|
| Orion Marine Group* |
|
|
21,300 |
|
|
|
213 |
|
| Patrick Industries* |
|
|
1,600 |
|
|
|
68 |
|
| Performant Financial* |
|
|
1,800 |
|
|
|
15 |
|
| PGT* |
|
|
27,069 |
|
|
|
252 |
|
| PowerSecure International* |
|
|
6,200 |
|
|
|
60 |
|
| Primoris Services |
|
|
53,853 |
|
|
|
1,446 |
|
| Quality Distribution* |
|
|
6,700 |
|
|
|
86 |
|
| Rand Logistics* |
|
|
29,200 |
|
|
|
166 |
|
| RBC Bearings* |
|
|
10,450 |
|
|
|
592 |
|
| Rexnord* |
|
|
20,420 |
|
|
|
581 |
|
| Rush Enterprises, Cl A (A)* |
|
|
34,619 |
|
|
|
1,158 |
|
| Safe Bulkers |
|
|
27,400 |
|
|
|
182 |
|
| Saia* |
|
|
23,823 |
|
|
|
1,181 |
|
| Scorpio Bulkers* |
|
|
52,700 |
|
|
|
307 |
|
| Simpson Manufacturing |
|
|
9,919 |
|
|
|
289 |
|
| Spirit Airlines* |
|
|
8,621 |
|
|
|
596 |
|
| Standex International |
|
|
6,628 |
|
|
|
491 |
|
| Steelcase, Cl A |
|
|
41,964 |
|
|
|
679 |
|
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Swift Transportation, Cl A (A)* |
|
|
97,018 |
|
|
$ |
2,035 |
|
| Taser International (A)* |
|
|
9,000 |
|
|
|
139 |
|
| Titan Machinery (A)* |
|
|
31,900 |
|
|
|
414 |
|
| Toro |
|
|
6,479 |
|
|
|
384 |
|
| Trex (A)* |
|
|
22,879 |
|
|
|
791 |
|
| TrueBlue* |
|
|
76,185 |
|
|
|
1,924 |
|
| Tutor Perini* |
|
|
17,700 |
|
|
|
467 |
|
| Unifirst |
|
|
1,100 |
|
|
|
106 |
|
| United Rentals (A)* |
|
|
8,374 |
|
|
|
930 |
|
| US Ecology |
|
|
13,323 |
|
|
|
623 |
|
| USG (A)* |
|
|
24,413 |
|
|
|
671 |
|
| Valmont Industries (A) |
|
|
6,279 |
|
|
|
847 |
|
| Wabash National* |
|
|
52,099 |
|
|
|
694 |
|
| Watsco |
|
|
8,345 |
|
|
|
719 |
|
| XPO Logistics (A)* |
|
|
16,921 |
|
|
|
637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 18.1% |
|
|
|
|
|
|
|
|
| A10 Networks* |
|
|
51,216 |
|
|
|
467 |
|
| ACI Worldwide* |
|
|
25,230 |
|
|
|
473 |
|
| Acxiom* |
|
|
40,330 |
|
|
|
667 |
|
| Adtran |
|
|
23,821 |
|
|
|
489 |
|
| Advanced Energy Industries* |
|
|
3,700 |
|
|
|
69 |
|
| Alliance Fiber Optic Products |
|
|
25,400 |
|
|
|
316 |
|
| Ambarella (A)* |
|
|
9,538 |
|
|
|
417 |
|
| Amkor Technology* |
|
|
45,700 |
|
|
|
384 |
|
| Anixter International* |
|
|
3,800 |
|
|
|
322 |
|
| Arista Networks (A)* |
|
|
2,618 |
|
|
|
231 |
|
| ARRIS Group* |
|
|
19,545 |
|
|
|
554 |
|
| Aruba Networks* |
|
|
27,487 |
|
|
|
593 |
|
| Aspen Technology* |
|
|
53,474 |
|
|
|
2,017 |
|
| Atmel* |
|
|
70,520 |
|
|
|
570 |
|
| AVG Technologies* |
|
|
21,908 |
|
|
|
363 |
|
| Belden |
|
|
18,136 |
|
|
|
1,161 |
|
| Benchmark Electronics* |
|
|
11,200 |
|
|
|
249 |
|
| Brightcove* |
|
|
8,700 |
|
|
|
48 |
|
| Brooks Automation |
|
|
46,184 |
|
|
|
485 |
|
| Cabot Microelectronics* |
|
|
5,300 |
|
|
|
220 |
|
| CACI International, Cl A* |
|
|
5,690 |
|
|
|
406 |
|
| Cadence Design Systems* |
|
|
53,525 |
|
|
|
921 |
|
| Calix* |
|
|
26,400 |
|
|
|
253 |
|
| Cavium (A)* |
|
|
45,330 |
|
|
|
2,254 |
|
| ChannelAdvisor* |
|
|
12,868 |
|
|
|
211 |
|
| ChipMOS TECHNOLOGIES Bermuda |
|
|
6,200 |
|
|
|
140 |
|
| Ciber* |
|
|
129,000 |
|
|
|
442 |
|
| Ciena (A)* |
|
|
49,417 |
|
|
|
826 |
|
| Clearfield* |
|
|
2,900 |
|
|
|
37 |
|
| Cognex* |
|
|
1,800 |
|
|
|
73 |
|
| CommVault Systems* |
|
|
8,585 |
|
|
|
433 |
|
| Computer Task Group |
|
|
30,800 |
|
|
|
342 |
|
| comScore* |
|
|
6,700 |
|
|
|
244 |
|
| Comverse* |
|
|
3,800 |
|
|
|
85 |
|
| Constant Contact* |
|
|
9,300 |
|
|
|
252 |
|
| Conversant* |
|
|
1,500 |
|
|
|
51 |
|
| Cornerstone OnDemand* |
|
|
37,792 |
|
|
|
1,300 |
|
| CoStar Group* |
|
|
7,459 |
|
|
|
1,160 |
|
| Cray (A)* |
|
|
20,700 |
|
|
|
543 |
|
| Daktronics |
|
|
6,700 |
|
|
|
82 |
|
| Dealertrack Technologies* |
|
|
56,524 |
|
|
|
2,454 |
|
| Demandware* |
|
|
30,828 |
|
|
|
1,570 |
|
| Digi International* |
|
|
59,500 |
|
|
|
446 |
|
| Digital River* |
|
|
3,700 |
|
|
|
54 |
|
| Diodes* |
|
|
9,500 |
|
|
|
227 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Dot Hill Systems* |
|
|
81,600 |
|
|
$ |
308 |
|
| Electronics For Imaging* |
|
|
11,930 |
|
|
|
527 |
|
| Emulex* |
|
|
22,300 |
|
|
|
110 |
|
| Entegris* |
|
|
47,880 |
|
|
|
551 |
|
| Entropic Communications* |
|
|
9,200 |
|
|
|
24 |
|
| Envestnet* |
|
|
54,393 |
|
|
|
2,448 |
|
| EPAM Systems* |
|
|
6,000 |
|
|
|
263 |
|
| Euronet Worldwide* |
|
|
19,771 |
|
|
|
945 |
|
| EVERTEC |
|
|
24,215 |
|
|
|
541 |
|
| Exar* |
|
|
50,800 |
|
|
|
455 |
|
| ExlService Holdings* |
|
|
1,900 |
|
|
|
46 |
|
| Extreme Networks* |
|
|
68,300 |
|
|
|
327 |
|
| Fabrinet* |
|
|
20,600 |
|
|
|
301 |
|
| Fairchild Semiconductor International* |
|
|
45,674 |
|
|
|
709 |
|
| FARO Technologies* |
|
|
2,700 |
|
|
|
137 |
|
| FEI |
|
|
11,584 |
|
|
|
874 |
|
| FleetMatics Group (A)* |
|
|
13,311 |
|
|
|
406 |
|
| FormFactor* |
|
|
21,300 |
|
|
|
153 |
|
| Fortinet* |
|
|
59,261 |
|
|
|
1,497 |
|
| Global Cash Access Holdings* |
|
|
45,300 |
|
|
|
306 |
|
| Guidewire Software, Cl Z* |
|
|
41,934 |
|
|
|
1,859 |
|
| Harmonic, Cl A* |
|
|
35,000 |
|
|
|
222 |
|
| Hutchinson Technology* |
|
|
49,850 |
|
|
|
182 |
|
| iGATE* |
|
|
5,700 |
|
|
|
209 |
|
| Immersion* |
|
|
12,995 |
|
|
|
112 |
|
| Imperva* |
|
|
8,747 |
|
|
|
251 |
|
| Infinera (A)* |
|
|
47,399 |
|
|
|
506 |
|
| Infoblox* |
|
|
62,640 |
|
|
|
924 |
|
| Inphi* |
|
|
81,132 |
|
|
|
1,167 |
|
| Insight Enterprises* |
|
|
19,500 |
|
|
|
441 |
|
| Integrated Device Technology* |
|
|
54,297 |
|
|
|
866 |
|
| Interactive Intelligence Group* |
|
|
9,450 |
|
|
|
395 |
|
| International Rectifier* |
|
|
1,600 |
|
|
|
63 |
|
| Intersil, Cl A |
|
|
165,347 |
|
|
|
2,350 |
|
| Intralinks Holdings, Cl A* |
|
|
39,990 |
|
|
|
324 |
|
| InvenSense, Cl A (A)* |
|
|
50,190 |
|
|
|
990 |
|
| j2 Global (A) |
|
|
11,215 |
|
|
|
553 |
|
| Kofax (A)* |
|
|
13,900 |
|
|
|
108 |
|
| Lattice Semiconductor* |
|
|
155,355 |
|
|
|
1,165 |
|
| Littelfuse |
|
|
14,706 |
|
|
|
1,253 |
|
| LogMeIn* |
|
|
8,220 |
|
|
|
379 |
|
| Manhattan Associates* |
|
|
17,600 |
|
|
|
588 |
|
| Marketo (A)* |
|
|
14,731 |
|
|
|
476 |
|
| MAXIMUS |
|
|
19,850 |
|
|
|
797 |
|
| Mentor Graphics |
|
|
59,392 |
|
|
|
1,217 |
|
| Methode Electronics |
|
|
22,100 |
|
|
|
815 |
|
| Monolithic Power Systems |
|
|
30,084 |
|
|
|
1,325 |
|
| Monotype Imaging Holdings |
|
|
13,300 |
|
|
|
377 |
|
| MTS Systems, Cl A |
|
|
800 |
|
|
|
55 |
|
| NetScout Systems* |
|
|
3,700 |
|
|
|
170 |
|
| Newport* |
|
|
2,100 |
|
|
|
37 |
|
| NIC* |
|
|
7,300 |
|
|
|
126 |
|
| Nimble Storage (A)* |
|
|
51,276 |
|
|
|
1,332 |
|
| OmniVision Technologies* |
|
|
23,200 |
|
|
|
614 |
|
| Palo Alto Networks* |
|
|
4,060 |
|
|
|
398 |
|
| Pandora Media* |
|
|
18,860 |
|
|
|
456 |
|
| PDF Solutions* |
|
|
3,000 |
|
|
|
38 |
|
| Pegasystems |
|
|
3,400 |
|
|
|
65 |
|
| Photronics* |
|
|
85,048 |
|
|
|
685 |
|
| Plantronics |
|
|
6,700 |
|
|
|
320 |
|
| Plexus* |
|
|
15,759 |
|
|
|
582 |
|
| Polycom* |
|
|
10,800 |
|
|
|
133 |
|
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Power Integrations |
|
|
13,396 |
|
|
$ |
722 |
|
| PRGX Global* |
|
|
56,300 |
|
|
|
330 |
|
| Progress Software* |
|
|
11,209 |
|
|
|
268 |
|
| PTC* |
|
|
36,425 |
|
|
|
1,344 |
|
| Qlik Technologies* |
|
|
28,745 |
|
|
|
777 |
|
| QLogic* |
|
|
6,100 |
|
|
|
56 |
|
| RF Micro Devices, Cl A (A)* |
|
|
90,985 |
|
|
|
1,050 |
|
| Rogers* |
|
|
2,600 |
|
|
|
142 |
|
| Ruckus Wireless* |
|
|
154,787 |
|
|
|
2,068 |
|
| Saba Software* |
|
|
15,800 |
|
|
|
213 |
|
| Sanmina* |
|
|
41,190 |
|
|
|
859 |
|
| Sapient* |
|
|
11,800 |
|
|
|
165 |
|
| Scansource* |
|
|
3,700 |
|
|
|
128 |
|
| Science Applications International |
|
|
1,900 |
|
|
|
84 |
|
| ShoreTel* |
|
|
23,600 |
|
|
|
157 |
|
| Shutterstock (A)* |
|
|
7,677 |
|
|
|
548 |
|
| Silicon Graphics International* |
|
|
2,900 |
|
|
|
27 |
|
| Silicon Image* |
|
|
57,600 |
|
|
|
290 |
|
| Silicon Laboratories* |
|
|
13,930 |
|
|
|
566 |
|
| SolarWinds* |
|
|
17,390 |
|
|
|
731 |
|
| Sonus Networks* |
|
|
71,500 |
|
|
|
245 |
|
| Spansion, Cl A* |
|
|
64,274 |
|
|
|
1,465 |
|
| SPS Commerce* |
|
|
20,309 |
|
|
|
1,079 |
|
| SS&C Technologies Holdings* |
|
|
15,433 |
|
|
|
677 |
|
| Stamps.com* |
|
|
9,955 |
|
|
|
316 |
|
| Super Micro Computer* |
|
|
19,600 |
|
|
|
577 |
|
| Sykes Enterprises* |
|
|
4,000 |
|
|
|
80 |
|
| Synaptics* |
|
|
14,030 |
|
|
|
1,027 |
|
| SYNNEX |
|
|
11,577 |
|
|
|
748 |
|
| Tableau Software, Cl A* |
|
|
16,220 |
|
|
|
1,179 |
|
| Take-Two Interactive Software, Cl A* |
|
|
8,200 |
|
|
|
189 |
|
| Tech Data* |
|
|
12,520 |
|
|
|
737 |
|
| TeleTech Holdings* |
|
|
2,700 |
|
|
|
67 |
|
| Teradyne |
|
|
12,955 |
|
|
|
251 |
|
| Tivo* |
|
|
1,500 |
|
|
|
19 |
|
| Trulia (A)* |
|
|
4,983 |
|
|
|
244 |
|
| Tyler Technologies* |
|
|
300 |
|
|
|
27 |
|
| Ultimate Software Group* |
|
|
6,234 |
|
|
|
882 |
|
| Ultra Clean Holdings* |
|
|
6,200 |
|
|
|
55 |
|
| Ultratech* |
|
|
8,800 |
|
|
|
200 |
|
| Unisys* |
|
|
7,600 |
|
|
|
178 |
|
| VeriFone Holdings* |
|
|
13,010 |
|
|
|
447 |
|
| Verint Systems* |
|
|
14,460 |
|
|
|
804 |
|
| Virtusa* |
|
|
6,400 |
|
|
|
228 |
|
| Vishay Intertechnology (A) |
|
|
53,402 |
|
|
|
763 |
|
| WEX* |
|
|
13,065 |
|
|
|
1,441 |
|
| Xcerra* |
|
|
76,255 |
|
|
|
747 |
|
| Yelp, Cl A* |
|
|
6,360 |
|
|
|
434 |
|
| Zebra Technologies, Cl A* |
|
|
8,030 |
|
|
|
570 |
|
| Zillow, Cl A (A)* |
|
|
4,260 |
|
|
|
494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.7% |
|
|
|
|
|
|
|
|
| Advanced Emissions Solutions* |
|
|
8,200 |
|
|
|
175 |
|
| AK Steel Holding (A)* |
|
|
86,035 |
|
|
|
689 |
|
| Axiall |
|
|
5,000 |
|
|
|
179 |
|
| Balchem |
|
|
7,960 |
|
|
|
450 |
|
| Berry Plastics Group* |
|
|
35,110 |
|
|
|
886 |
|
| Boise Cascade* |
|
|
16,570 |
|
|
|
499 |
|
| Calgon Carbon* |
|
|
9,100 |
|
|
|
176 |
|
| Commercial Metals, Cl A |
|
|
50,010 |
|
|
|
854 |
|
| Eagle Materials |
|
|
6,968 |
|
|
|
710 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Ferro* |
|
|
38,900 |
|
|
$ |
564 |
|
| Flotek Industries* |
|
|
21,374 |
|
|
|
557 |
|
| FutureFuel |
|
|
3,700 |
|
|
|
44 |
|
| Globe Specialty Metals |
|
|
19,900 |
|
|
|
362 |
|
| Gold Resource (A) |
|
|
14,800 |
|
|
|
76 |
|
| Graphic Packaging Holding* |
|
|
18,400 |
|
|
|
229 |
|
| H.B. Fuller |
|
|
15,016 |
|
|
|
596 |
|
| Innophos Holdings |
|
|
800 |
|
|
|
44 |
|
| Innospec |
|
|
300 |
|
|
|
11 |
|
| Kaiser Aluminum |
|
|
5,723 |
|
|
|
436 |
|
| KapStone Paper and Packaging* |
|
|
4,800 |
|
|
|
134 |
|
| Kraton Performance Polymers* |
|
|
7,000 |
|
|
|
125 |
|
| Landec* |
|
|
39,700 |
|
|
|
486 |
|
| Louisiana-Pacific* |
|
|
26,745 |
|
|
|
364 |
|
| LSB Industries* |
|
|
3,900 |
|
|
|
139 |
|
| Materion |
|
|
4,100 |
|
|
|
126 |
|
| Minerals Technologies |
|
|
12,362 |
|
|
|
763 |
|
| Myers Industries |
|
|
3,200 |
|
|
|
56 |
|
| Novagold Resources (A)* |
|
|
34,800 |
|
|
|
105 |
|
| PolyOne |
|
|
55,080 |
|
|
|
1,960 |
|
| Quaker Chemical |
|
|
9,051 |
|
|
|
649 |
|
| RTI International Metals* |
|
|
16,415 |
|
|
|
405 |
|
| Schulman A |
|
|
9,100 |
|
|
|
329 |
|
| Senomyx (A)* |
|
|
4,800 |
|
|
|
39 |
|
| Sensient Technologies |
|
|
25,965 |
|
|
|
1,359 |
|
| Silgan Holdings |
|
|
10,699 |
|
|
|
503 |
|
| TCP International Holdings* |
|
|
26,148 |
|
|
|
199 |
|
| US Silica Holdings |
|
|
28,526 |
|
|
|
1,783 |
|
| Worthington Industries |
|
|
22,245 |
|
|
|
828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.3% |
|
|
|
|
|
|
|
|
| Boingo Wireless* |
|
|
28,260 |
|
|
|
202 |
|
| Inteliquent |
|
|
12,600 |
|
|
|
157 |
|
| Intelsat* |
|
|
3,500 |
|
|
|
60 |
|
| magicJack VocalTec* |
|
|
5,700 |
|
|
|
56 |
|
| RingCentral, Cl A* |
|
|
63,029 |
|
|
|
801 |
|
| Vonage Holdings* |
|
|
50,100 |
|
|
|
164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 2.5% |
|
|
|
|
|
|
|
|
| ALLETE |
|
|
38,505 |
|
|
|
1,709 |
|
| American States Water |
|
|
12,400 |
|
|
|
377 |
|
| Cadiz (A)* |
|
|
27,700 |
|
|
|
288 |
|
| California Water Service Group, Cl A |
|
|
1,900 |
|
|
|
43 |
|
| Cleco |
|
|
16,950 |
|
|
|
816 |
|
| Dynegy, Cl A* |
|
|
24,270 |
|
|
|
701 |
|
| Empire District Electric (A) |
|
|
21,300 |
|
|
|
514 |
|
| Great Plains Energy |
|
|
7,500 |
|
|
|
181 |
|
| Idacorp, Cl A |
|
|
1,300 |
|
|
|
70 |
|
| Laclede Group |
|
|
500 |
|
|
|
23 |
|
| New Jersey Resources |
|
|
8,700 |
|
|
|
440 |
|
| NorthWestern |
|
|
18,835 |
|
|
|
854 |
|
| Otter Tail |
|
|
5,500 |
|
|
|
147 |
|
| Piedmont Natural Gas (A) |
|
|
9,400 |
|
|
|
315 |
|
| PNM Resources |
|
|
75,426 |
|
|
|
1,879 |
|
| Portland General Electric |
|
|
28,010 |
|
|
|
900 |
|
| South Jersey Industries, Cl A |
|
|
10,820 |
|
|
|
577 |
|
| Southwest Gas |
|
|
16,204 |
|
|
|
787 |
|
| UIL Holdings |
|
|
26,530 |
|
|
|
939 |
|
| Vectren |
|
|
9,618 |
|
|
|
383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 7 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Total Common Stock
(Cost $392,864) ($ Thousands) |
|
|
|
|
|
$ |
455,370 |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — 0.6% |
|
| iShares Russell 2000 Growth ETF (A) |
|
|
10,142 |
|
|
|
1,315 |
|
| iShares Russell 2000 Value ETF (A) |
|
|
16,700 |
|
|
|
1,563 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $2,858) ($ Thousands) |
|
|
|
|
|
|
2,878 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
Number of
Rights |
|
|
|
|
|
|
|
| RIGHTS — 0.0% |
|
|
|
|
|
|
|
|
| Allos Therapeutics* |
|
|
45,500 |
|
|
|
— |
|
| Furiex Pharmaceuticals - CVR* |
|
|
300 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $—) ($Thousands) |
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 12.3% |
|
|
|
|
|
|
|
|
| SEI Liquidity Fund, L.P.,
0.080%**†† (B) |
|
|
59,508,011 |
|
|
|
59,508 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $59,508) ($ Thousands) |
|
|
|
|
|
|
59,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 4.9% |
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Prime
Obligation Fund, Cl A,
0.010%**†† |
|
|
23,849,366 |
|
|
|
23,849 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $23,849) ($ Thousands) |
|
|
|
|
|
|
23,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATION (C) (D) — 0.2% |
|
|
|
|
|
|
|
|
| U.S. Treasury Bills
0.040%, 03/05/15 |
|
|
783 |
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligation
(Cost $783) ($ Thousands) |
|
|
|
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 112.2%
(Cost $479,862) ($ Thousands) |
|
|
|
|
|
$ |
542,388 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
94 |
|
|
|
Dec-2014 |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $483,282
($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security.
|
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$56,717 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2014 was $59,508
($Thousands). |
| (C) |
|
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
CVR — Contingent Value Rights
ETF —
Exchange Traded Fund
L.P. — Limited Partnership
PLC — Public Limited Company
The following is a list of the level of inputs used as of
September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
455,370 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
455,370 |
|
| Exchange Traded Funds |
|
|
2,878 |
|
|
|
— |
|
|
|
— |
|
|
|
2,878 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Affiliated Partnership |
|
|
— |
|
|
|
59,508 |
|
|
|
— |
|
|
|
59,508 |
|
| Cash Equivalent |
|
|
23,849 |
|
|
|
— |
|
|
|
— |
|
|
|
23,849 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
783 |
|
|
|
— |
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
482,097 |
|
|
$ |
60,291 |
|
|
$ |
— |
|
|
$ |
542,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(456 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(456 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(456 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 8 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 94.9%‡ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 8.3% |
|
|
|
|
|
|
|
|
|
|
| American Eagle Outfitters (A) |
|
|
|
|
59,072 |
|
|
$ |
858 |
|
| America’s Car-Mart* |
|
|
|
|
10,316 |
|
|
|
408 |
|
| Arctic Cat |
|
|
|
|
20,714 |
|
|
|
721 |
|
| Ascena Retail Group* |
|
|
|
|
38,200 |
|
|
|
508 |
|
| Big 5 Sporting Goods |
|
|
|
|
14,100 |
|
|
|
132 |
|
| Big Lots |
|
|
|
|
10,300 |
|
|
|
444 |
|
| Bravo Brio Restaurant Group* |
|
|
|
|
15,900 |
|
|
|
206 |
|
| Bright Horizons Family Solutions* |
|
|
|
|
8,920 |
|
|
|
375 |
|
| Brinker International |
|
|
|
|
21,600 |
|
|
|
1,097 |
|
| Brunswick |
|
|
|
|
11,440 |
|
|
|
482 |
|
| Cabela’s (A)* |
|
|
|
|
6,101 |
|
|
|
359 |
|
| Callaway Golf (A) |
|
|
|
|
58,551 |
|
|
|
424 |
|
| Cato, Cl A |
|
|
|
|
12,400 |
|
|
|
427 |
|
| Children’s Place (A) |
|
|
|
|
7,520 |
|
|
|
358 |
|
| Core-Mark Holding, Cl A |
|
|
|
|
6,511 |
|
|
|
345 |
|
| CROCS* |
|
|
|
|
29,100 |
|
|
|
366 |
|
| CSS Industries |
|
|
|
|
24,100 |
|
|
|
585 |
|
| Dana Holding |
|
|
|
|
45,925 |
|
|
|
880 |
|
| Destination XL Group* |
|
|
|
|
40,500 |
|
|
|
191 |
|
| DreamWorks Animation SKG, Cl A (A)* |
|
|
|
|
27,398 |
|
|
|
747 |
|
| Ethan Allen Interiors (A) |
|
|
|
|
21,984 |
|
|
|
501 |
|
| Express* |
|
|
|
|
28,874 |
|
|
|
451 |
|
| Finish Line, Cl A |
|
|
|
|
13,100 |
|
|
|
328 |
|
| FTD* |
|
|
|
|
3,240 |
|
|
|
111 |
|
| Genesco* |
|
|
|
|
6,770 |
|
|
|
506 |
|
| Gentherm* |
|
|
|
|
6,630 |
|
|
|
280 |
|
| G-III Apparel Group* |
|
|
|
|
3,400 |
|
|
|
282 |
|
| GNC Holdings, Cl A |
|
|
|
|
5,100 |
|
|
|
198 |
|
| Hyatt Hotels, Cl A* |
|
|
|
|
4,050 |
|
|
|
245 |
|
| Journal Communications, Cl A* |
|
|
|
|
74,900 |
|
|
|
632 |
|
| K12 (A)* |
|
|
|
|
52,200 |
|
|
|
833 |
|
| Krispy Kreme Doughnuts* |
|
|
|
|
40,942 |
|
|
|
703 |
|
| La Quinta Holdings* |
|
|
|
|
12,330 |
|
|
|
234 |
|
| Libbey* |
|
|
|
|
56,900 |
|
|
|
1,494 |
|
| Marriott Vacations Worldwide* |
|
|
|
|
6,290 |
|
|
|
399 |
|
| Matthews International, Cl A |
|
|
|
|
33,248 |
|
|
|
1,459 |
|
| MDC Partners, Cl A |
|
|
|
|
57,700 |
|
|
|
1,107 |
|
| Men’s Wearhouse |
|
|
|
|
6,758 |
|
|
|
319 |
|
| Meredith |
|
|
|
|
9,540 |
|
|
|
408 |
|
| Movado Group |
|
|
|
|
6,825 |
|
|
|
225 |
|
| NACCO Industries, Cl A |
|
|
|
|
12,447 |
|
|
|
619 |
|
| Office Depot* |
|
|
|
|
83,700 |
|
|
|
430 |
|
| Outerwall (A)* |
|
|
|
|
4,600 |
|
|
|
258 |
|
| Oxford Industries, Cl A |
|
|
|
|
4,341 |
|
|
|
265 |
|
| Pep Boys-Manny Moe & Jack* |
|
|
|
|
26,420 |
|
|
|
235 |
|
| Pier 1 Imports |
|
|
|
|
37,486 |
|
|
|
446 |
|
| Pool |
|
|
|
|
6,630 |
|
|
|
358 |
|
| Popeyes Louisiana Kitchen* |
|
|
|
|
7,320 |
|
|
|
296 |
|
| Remy International |
|
|
|
|
14,987 |
|
|
|
308 |
|
| Rent-A-Center (A) |
|
|
|
|
64,408 |
|
|
|
1,955 |
|
| Ryland Group |
|
|
|
|
12,585 |
|
|
|
418 |
|
| Sally Beauty Holdings* |
|
|
|
|
14,742 |
|
|
|
404 |
|
| Scientific Games, Cl A (A)* |
|
|
|
|
21,003 |
|
|
|
226 |
|
| Select Comfort* |
|
|
|
|
19,431 |
|
|
|
407 |
|
| Shoe Carnival |
|
|
|
|
10,900 |
|
|
|
194 |
|
| Smith & Wesson Holding (A)* |
|
|
|
|
34,100 |
|
|
|
322 |
|
| Stage Stores |
|
|
|
|
21,300 |
|
|
|
365 |
|
| Standard Motor Products |
|
|
|
|
17,300 |
|
|
|
596 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
|
|
1,500 |
|
|
|
125 |
|
| Stoneridge* |
|
|
|
|
23,900 |
|
|
|
269 |
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
| TRI Pointe Homes* |
|
|
|
|
23,400 |
|
|
$ |
303 |
|
| Vail Resorts |
|
|
|
|
9,100 |
|
|
|
790 |
|
| Vera Bradley (A)* |
|
|
|
|
11,515 |
|
|
|
238 |
|
| Vitamin Shoppe* |
|
|
|
|
18,500 |
|
|
|
821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 2.4% |
|
|
|
|
|
|
|
|
|
|
| Casey’s General Stores |
|
|
|
|
4,496 |
|
|
|
322 |
|
| Chiquita Brands International* |
|
|
|
|
41,300 |
|
|
|
586 |
|
| Cott |
|
|
|
|
46,371 |
|
|
|
319 |
|
| Darling Ingredients* |
|
|
|
|
67,442 |
|
|
|
1,236 |
|
| Dean Foods |
|
|
|
|
24,062 |
|
|
|
319 |
|
| Fresh Del Monte Produce |
|
|
|
|
40,733 |
|
|
|
1,299 |
|
| Ingles Markets, Cl A |
|
|
|
|
28,600 |
|
|
|
678 |
|
| J&J Snack Foods |
|
|
|
|
5,720 |
|
|
|
535 |
|
| Pantry* |
|
|
|
|
14,478 |
|
|
|
293 |
|
| Roundy’s |
|
|
|
|
22,600 |
|
|
|
68 |
|
| Snyder’s-Lance |
|
|
|
|
15,827 |
|
|
|
419 |
|
| SpartanNash |
|
|
|
|
53,590 |
|
|
|
1,042 |
|
| TreeHouse Foods* |
|
|
|
|
6,070 |
|
|
|
489 |
|
| Universal (A) |
|
|
|
|
16,700 |
|
|
|
741 |
|
| USANA Health Sciences (A)* |
|
|
|
|
6,400 |
|
|
|
472 |
|
| Weis Markets |
|
|
|
|
4,700 |
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 7.7% |
|
|
|
|
|
|
|
|
|
|
| Alon USA Energy |
|
|
|
|
19,300 |
|
|
|
277 |
|
| Approach Resources, Cl A (A)* |
|
|
|
|
185,443 |
|
|
|
2,689 |
|
| Bill Barrett (A)* |
|
|
|
|
30,500 |
|
|
|
672 |
|
| Bonanza Creek Energy* |
|
|
|
|
6,460 |
|
|
|
368 |
|
| C&J Energy Services* |
|
|
|
|
4,270 |
|
|
|
130 |
|
| Carrizo Oil & Gas* |
|
|
|
|
5,378 |
|
|
|
289 |
|
| Cloud Peak Energy* |
|
|
|
|
106,022 |
|
|
|
1,338 |
|
| Delek US Holdings |
|
|
|
|
11,300 |
|
|
|
374 |
|
| Emerald Oil (A)* |
|
|
|
|
20,978 |
|
|
|
129 |
|
| Energy XXI Bermuda (A) |
|
|
|
|
30,252 |
|
|
|
343 |
|
| Era Group* |
|
|
|
|
28,724 |
|
|
|
625 |
|
| Exterran Holdings |
|
|
|
|
14,415 |
|
|
|
639 |
|
| Forum Energy Technologies* |
|
|
|
|
9,120 |
|
|
|
279 |
|
| Goodrich Petroleum (A)* |
|
|
|
|
17,101 |
|
|
|
253 |
|
| Green Plains |
|
|
|
|
7,900 |
|
|
|
295 |
|
| Gulfmark Offshore, Cl A |
|
|
|
|
25,345 |
|
|
|
795 |
|
| Helix Energy Solutions Group* |
|
|
|
|
35,915 |
|
|
|
792 |
|
| Hercules Offshore (A)* |
|
|
|
|
197,200 |
|
|
|
434 |
|
| Key Energy Services* |
|
|
|
|
82,351 |
|
|
|
399 |
|
| McDermott International (A)* |
|
|
|
|
208,686 |
|
|
|
1,194 |
|
| Mitcham Industries* |
|
|
|
|
19,648 |
|
|
|
217 |
|
| Navigator Holdings* |
|
|
|
|
20,100 |
|
|
|
559 |
|
| Newpark Resources, Cl A* |
|
|
|
|
54,971 |
|
|
|
684 |
|
| North Atlantic Drilling (A) |
|
|
|
|
65,000 |
|
|
|
433 |
|
| Northern Oil And Gas (A)* |
|
|
|
|
22,995 |
|
|
|
327 |
|
| Nuverra Environmental Solutions (A)* |
|
|
|
|
137,700 |
|
|
|
2,031 |
|
| Oasis Petroleum* |
|
|
|
|
9,414 |
|
|
|
394 |
|
| Oil States International* |
|
|
|
|
5,340 |
|
|
|
331 |
|
| Parker Drilling* |
|
|
|
|
212,405 |
|
|
|
1,049 |
|
| PDC Energy, Cl A* |
|
|
|
|
13,405 |
|
|
|
674 |
|
| Resolute Energy (A)* |
|
|
|
|
90,700 |
|
|
|
569 |
|
| Ring Energy (A)* |
|
|
|
|
10,007 |
|
|
|
148 |
|
| Rosetta Resources* |
|
|
|
|
18,604 |
|
|
|
829 |
|
| Scorpio Tankers (A) |
|
|
|
|
162,900 |
|
|
|
1,354 |
|
| SEACOR Holdings, Cl A* |
|
|
|
|
4,029 |
|
|
|
301 |
|
| StealthGas* |
|
|
|
|
87,200 |
|
|
|
794 |
|
| Superior Energy Services |
|
|
|
|
8,104 |
|
|
|
266 |
|
| Synergy Resources* |
|
|
|
|
15,053 |
|
|
|
183 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Tesco |
|
|
10,938 |
|
|
$ |
217 |
|
| TETRA Technologies* |
|
|
104,840 |
|
|
|
1,134 |
|
| TGC Industries* |
|
|
26,435 |
|
|
|
102 |
|
| Tidewater, Cl A |
|
|
21,467 |
|
|
|
838 |
|
| Unit* |
|
|
15,905 |
|
|
|
933 |
|
| VAALCO Energy* |
|
|
7,000 |
|
|
|
60 |
|
| Warren Resources* |
|
|
117,300 |
|
|
|
622 |
|
| World Fuel Services (A) |
|
|
44,630 |
|
|
|
1,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 36.6%‡ |
|
|
|
|
|
|
|
|
| 1st Source |
|
|
28,050 |
|
|
|
799 |
|
| Acadia Realty Trust† |
|
|
20,730 |
|
|
|
572 |
|
| Agree Realty† |
|
|
8,280 |
|
|
|
227 |
|
| Alexandria Real Estate Equities† |
|
|
6,350 |
|
|
|
468 |
|
| Allied World Assurance Holdings |
|
|
15,179 |
|
|
|
559 |
|
| American Assets Trust† |
|
|
16,690 |
|
|
|
550 |
|
| American Campus Communities† |
|
|
12,045 |
|
|
|
439 |
|
| American Capital Mortgage Investment† |
|
|
20,800 |
|
|
|
391 |
|
| American Equity Investment Life Holding (A) |
|
|
46,400 |
|
|
|
1,062 |
|
| American National Bankshares |
|
|
1,950 |
|
|
|
44 |
|
| Ameris Bancorp |
|
|
2,844 |
|
|
|
62 |
|
| AmTrust Financial Services (A) |
|
|
3,100 |
|
|
|
123 |
|
| Anworth Mortgage Asset† |
|
|
160,861 |
|
|
|
770 |
|
| Apartment Investment & Management, Cl A† |
|
|
13,503 |
|
|
|
430 |
|
| Arrow Financial |
|
|
1,618 |
|
|
|
41 |
|
| Ashford Hospitality Prime† |
|
|
6,660 |
|
|
|
101 |
|
| Ashford Hospitality Trust† |
|
|
61,600 |
|
|
|
630 |
|
| Aspen Insurance Holdings |
|
|
9,700 |
|
|
|
415 |
|
| Associated Estates Realty† |
|
|
14,880 |
|
|
|
261 |
|
| Astoria Financial |
|
|
7,550 |
|
|
|
94 |
|
| AvalonBay Communities† |
|
|
4,969 |
|
|
|
700 |
|
| BancFirst |
|
|
2,300 |
|
|
|
144 |
|
| Banco Latinoamericano de Exportaciones, Cl E |
|
|
32,700 |
|
|
|
1,003 |
|
| Bancorpsouth, Cl A (A) |
|
|
17,300 |
|
|
|
348 |
|
| Bank Mutual |
|
|
12,400 |
|
|
|
80 |
|
| Bank of Marin Bancorp |
|
|
1,600 |
|
|
|
73 |
|
| Bank of the Ozarks (A) |
|
|
18,155 |
|
|
|
572 |
|
| BankFinancial |
|
|
3,300 |
|
|
|
34 |
|
| BankUnited |
|
|
20,054 |
|
|
|
611 |
|
| Banner |
|
|
4,050 |
|
|
|
156 |
|
| BBCN Bancorp |
|
|
31,170 |
|
|
|
455 |
|
| Beneficial Mutual Bancorp* |
|
|
2,750 |
|
|
|
35 |
|
| Berkshire Hills Bancorp |
|
|
35,531 |
|
|
|
835 |
|
| BioMed Realty Trust (A)† |
|
|
19,200 |
|
|
|
388 |
|
| BlackRock Kelso Capital (A) |
|
|
52,500 |
|
|
|
448 |
|
| Blackstone Mortgage Trust, Cl A† |
|
|
15,279 |
|
|
|
414 |
|
| BNC Bancorp* |
|
|
7,150 |
|
|
|
112 |
|
| Boston Private Financial Holdings |
|
|
80,094 |
|
|
|
992 |
|
| Boston Properties† |
|
|
4,935 |
|
|
|
571 |
|
| Brandywine Realty Trust† |
|
|
83,090 |
|
|
|
1,169 |
|
| Brixmor Property Group† |
|
|
7,200 |
|
|
|
160 |
|
| Brookline Bancorp, Cl A |
|
|
19,800 |
|
|
|
169 |
|
| Bryn Mawr Bank |
|
|
2,100 |
|
|
|
59 |
|
| C&F Financial |
|
|
700 |
|
|
|
23 |
|
| Camden National |
|
|
12,600 |
|
|
|
441 |
|
| Campus Crest Communities† |
|
|
65,624 |
|
|
|
420 |
|
| Capital City Bank Group |
|
|
1,200 |
|
|
|
16 |
|
| Capitol Federal Financial |
|
|
37,855 |
|
|
|
447 |
|
| Capstead Mortgage (A)† |
|
|
48,900 |
|
|
|
598 |
|
| Cardinal Financial |
|
|
14,735 |
|
|
|
252 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| CatchMark Timber Trust, Cl A† |
|
|
52,500 |
|
|
$ |
575 |
|
| Cathay General Bancorp |
|
|
4,850 |
|
|
|
120 |
|
| CBL & Associates Properties† |
|
|
29,200 |
|
|
|
523 |
|
| Cedar Realty Trust† |
|
|
87,800 |
|
|
|
518 |
|
| Central Pacific Financial |
|
|
71,600 |
|
|
|
1,284 |
|
| Century Bancorp, Cl A |
|
|
350 |
|
|
|
12 |
|
| Chemical Financial |
|
|
5,050 |
|
|
|
136 |
|
| Chemung Financial |
|
|
100 |
|
|
|
3 |
|
| Chesapeake Lodging Trust† |
|
|
7,200 |
|
|
|
210 |
|
| City Holding |
|
|
3,500 |
|
|
|
147 |
|
| CNB Financial |
|
|
2,900 |
|
|
|
46 |
|
| CNO Financial Group |
|
|
168,875 |
|
|
|
2,864 |
|
| CoBiz Financial |
|
|
50,646 |
|
|
|
566 |
|
| Columbia Banking System |
|
|
14,690 |
|
|
|
364 |
|
| Community Bank System |
|
|
1,350 |
|
|
|
45 |
|
| Community Trust Bancorp |
|
|
16,830 |
|
|
|
566 |
|
| Corporate Office Properties Trust† |
|
|
22,493 |
|
|
|
578 |
|
| CU Bancorp* |
|
|
750 |
|
|
|
14 |
|
| CubeSmart† |
|
|
20,700 |
|
|
|
372 |
|
| Customers Bancorp* |
|
|
36,200 |
|
|
|
650 |
|
| CVB Financial |
|
|
3,100 |
|
|
|
44 |
|
| CYS Investments† |
|
|
112,973 |
|
|
|
931 |
|
| DDR† |
|
|
20,050 |
|
|
|
335 |
|
| DiamondRock Hospitality† |
|
|
19,030 |
|
|
|
241 |
|
| Dime Community Bancshares |
|
|
24,033 |
|
|
|
346 |
|
| Douglas Emmett† |
|
|
8,600 |
|
|
|
221 |
|
| Duke Realty† |
|
|
27,030 |
|
|
|
464 |
|
| DuPont Fabros Technology (A)† |
|
|
35,375 |
|
|
|
957 |
|
| Dynex Capital† |
|
|
49,200 |
|
|
|
398 |
|
| Eagle Bancorp* |
|
|
36,157 |
|
|
|
1,151 |
|
| East West Bancorp |
|
|
17,105 |
|
|
|
582 |
|
| EastGroup Properties† |
|
|
8,320 |
|
|
|
504 |
|
| Education Realty Trust, Cl A† |
|
|
86,097 |
|
|
|
885 |
|
| Employers Holdings |
|
|
74,976 |
|
|
|
1,443 |
|
| Endurance Specialty Holdings |
|
|
18,326 |
|
|
|
1,011 |
|
| Enterprise Bancorp |
|
|
1,550 |
|
|
|
29 |
|
| EPR Properties, Cl A† |
|
|
6,740 |
|
|
|
341 |
|
| Equity Commonwealth† |
|
|
18,100 |
|
|
|
465 |
|
| Equity Lifestyle Properties† |
|
|
6,550 |
|
|
|
277 |
|
| Equity One, Cl A† |
|
|
19,443 |
|
|
|
421 |
|
| Equity Residential† |
|
|
12,550 |
|
|
|
773 |
|
| Essex Property Trust† |
|
|
1,609 |
|
|
|
288 |
|
| EverBank Financial, Cl A |
|
|
32,810 |
|
|
|
579 |
|
| Evercore Partners, Cl A |
|
|
5,390 |
|
|
|
253 |
|
| Extra Space Storage† |
|
|
1,800 |
|
|
|
93 |
|
| Ezcorp, Cl A (A)* |
|
|
11,400 |
|
|
|
113 |
|
| FBR* |
|
|
33,800 |
|
|
|
930 |
|
| Federal Agricultural Mortgage, Cl C |
|
|
13,650 |
|
|
|
439 |
|
| Federal Realty Investment Trust† |
|
|
1,500 |
|
|
|
178 |
|
| Federated Investors, Cl B (A) |
|
|
9,764 |
|
|
|
287 |
|
| FelCor Lodging Trust† |
|
|
119,200 |
|
|
|
1,116 |
|
| Fidelity & Guaranty Life |
|
|
47,900 |
|
|
|
1,023 |
|
| Fidelity Southern |
|
|
6,312 |
|
|
|
86 |
|
| Financial Institutions |
|
|
1,750 |
|
|
|
39 |
|
| First Bancorp |
|
|
4,950 |
|
|
|
79 |
|
| First BanCorp Puerto Rico* |
|
|
38,200 |
|
|
|
181 |
|
| First Busey |
|
|
16,500 |
|
|
|
92 |
|
| First Business Financial Services |
|
|
1,900 |
|
|
|
83 |
|
| First Citizens BancShares, Cl A |
|
|
1,600 |
|
|
|
347 |
|
| First Commonwealth Financial |
|
|
78,200 |
|
|
|
656 |
|
| First Community Bancshares |
|
|
25,445 |
|
|
|
364 |
|
| First Defiance Financial |
|
|
2,850 |
|
|
|
77 |
|
| First Financial |
|
|
3,200 |
|
|
|
99 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| First Financial Bancorp |
|
|
200 |
|
|
$ |
3 |
|
| First Horizon National |
|
|
38,099 |
|
|
|
468 |
|
| First Interstate BancSystem, Cl A |
|
|
24,950 |
|
|
|
663 |
|
| First Merchants |
|
|
12,700 |
|
|
|
257 |
|
| First Midwest Bancorp |
|
|
72,795 |
|
|
|
1,171 |
|
| First NBC Bank Holding* |
|
|
14,048 |
|
|
|
460 |
|
| FirstMerit, Cl A |
|
|
14,505 |
|
|
|
255 |
|
| Flagstar Bancorp* |
|
|
3,000 |
|
|
|
51 |
|
| Flushing Financial |
|
|
53,575 |
|
|
|
979 |
|
| FNB (Pennsylvania) |
|
|
20,500 |
|
|
|
246 |
|
| Forest City Enterprises, Cl A* |
|
|
19,935 |
|
|
|
390 |
|
| Forestar Group* |
|
|
15,580 |
|
|
|
276 |
|
| Fulton Financial |
|
|
89,440 |
|
|
|
991 |
|
| FXCM, Cl A (A) |
|
|
62,780 |
|
|
|
995 |
|
| General Growth Properties† |
|
|
10,732 |
|
|
|
253 |
|
| Geo Group† |
|
|
55,700 |
|
|
|
2,129 |
|
| German American Bancorp |
|
|
2,900 |
|
|
|
75 |
|
| Glacier Bancorp, Cl A |
|
|
28,805 |
|
|
|
745 |
|
| Gladstone Commercial† |
|
|
27,400 |
|
|
|
465 |
|
| Gramercy Property Trust (A)† |
|
|
159,700 |
|
|
|
920 |
|
| Great Southern Bancorp |
|
|
3,450 |
|
|
|
105 |
|
| Hancock Holding, Cl A |
|
|
34,124 |
|
|
|
1,094 |
|
| Hanmi Financial, Cl Comdty (histrt) |
|
|
1,150 |
|
|
|
23 |
|
| Hanover Insurance Group, Cl A |
|
|
50,538 |
|
|
|
3,104 |
|
| Hatteras Financial† |
|
|
88,385 |
|
|
|
1,587 |
|
| HCP† |
|
|
16,262 |
|
|
|
646 |
|
| Health Care† |
|
|
12,830 |
|
|
|
800 |
|
| Heartland Financial USA |
|
|
4,000 |
|
|
|
96 |
|
| Hercules Technology Growth Capital, Cl A (A) |
|
|
38,400 |
|
|
|
555 |
|
| Heritage Commerce |
|
|
3,100 |
|
|
|
25 |
|
| Highwoods Properties† |
|
|
16,140 |
|
|
|
628 |
|
| Home BancShares |
|
|
20,640 |
|
|
|
607 |
|
| Home Loan Servicing Solutions |
|
|
26,400 |
|
|
|
559 |
|
| HomeStreet |
|
|
1,000 |
|
|
|
17 |
|
| Horace Mann Educators, Cl A |
|
|
47,909 |
|
|
|
1,366 |
|
| Horizon Bancorp |
|
|
2,725 |
|
|
|
63 |
|
| Hospitality Properties Trust† |
|
|
12,900 |
|
|
|
346 |
|
| Host Hotels & Resorts† |
|
|
26,106 |
|
|
|
557 |
|
| IBERIABANK |
|
|
20,443 |
|
|
|
1,278 |
|
| Independent Bank |
|
|
10,950 |
|
|
|
265 |
|
| Infinity Property & Casualty |
|
|
8,909 |
|
|
|
570 |
|
| Inland Real Estate† |
|
|
36,400 |
|
|
|
361 |
|
| International Bancshares |
|
|
31,105 |
|
|
|
767 |
|
| Investors Bancorp |
|
|
106,284 |
|
|
|
1,077 |
|
| Janus Capital Group (A) |
|
|
68,300 |
|
|
|
993 |
|
| Kennedy-Wilson Holdings |
|
|
41,100 |
|
|
|
985 |
|
| Kilroy Realty† |
|
|
2,450 |
|
|
|
146 |
|
| Kimco Realty† |
|
|
22,850 |
|
|
|
501 |
|
| Ladder Capital, Cl A* |
|
|
6,750 |
|
|
|
128 |
|
| Lakeland Bancorp |
|
|
2,719 |
|
|
|
27 |
|
| Lakeland Financial |
|
|
2,400 |
|
|
|
90 |
|
| LaSalle Hotel Properties† |
|
|
19,310 |
|
|
|
661 |
|
| Lexington Realty Trust† |
|
|
119,452 |
|
|
|
1,169 |
|
| Liberty Property Trust† |
|
|
4,800 |
|
|
|
160 |
|
| Macerich† |
|
|
8,661 |
|
|
|
553 |
|
| Mack-Cali Realty† |
|
|
21,000 |
|
|
|
401 |
|
| Maiden Holdings |
|
|
99,500 |
|
|
|
1,103 |
|
| MainSource Financial Group |
|
|
56,700 |
|
|
|
978 |
|
| Manning & Napier, Cl A |
|
|
7,119 |
|
|
|
120 |
|
| MB Financial |
|
|
32,429 |
|
|
|
898 |
|
| Meadowbrook Insurance Group (A) |
|
|
122,800 |
|
|
|
718 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Medical Properties Trust† |
|
|
26,300 |
|
|
$ |
322 |
|
| Medley Management, Cl A* |
|
|
29,800 |
|
|
|
503 |
|
| Meta Financial Group |
|
|
2,050 |
|
|
|
72 |
|
| Metro Bancorp* |
|
|
450 |
|
|
|
11 |
|
| MFA Financial† |
|
|
126,302 |
|
|
|
983 |
|
| MGIC Investment* |
|
|
14,400 |
|
|
|
112 |
|
| MidSouth Bancorp |
|
|
5,050 |
|
|
|
94 |
|
| MidWestOne Financial Group |
|
|
1,700 |
|
|
|
39 |
|
| Montpelier Re Holdings |
|
|
23,800 |
|
|
|
740 |
|
| Mortgage Investment Trust† |
|
|
22,300 |
|
|
|
397 |
|
| NASB Financial |
|
|
600 |
|
|
|
14 |
|
| National Bankshares, Cl A |
|
|
1,200 |
|
|
|
33 |
|
| National Penn Bancshares |
|
|
56,304 |
|
|
|
547 |
|
| NBT Bancorp |
|
|
11,350 |
|
|
|
256 |
|
| Nelnet, Cl A |
|
|
36,600 |
|
|
|
1,577 |
|
| Northfield Bancorp |
|
|
67,387 |
|
|
|
918 |
|
| Northrim BanCorp |
|
|
1,800 |
|
|
|
48 |
|
| Northwest Bancshares |
|
|
13,075 |
|
|
|
158 |
|
| OceanFirst Financial |
|
|
31,650 |
|
|
|
504 |
|
| Ocwen Financial* |
|
|
14,900 |
|
|
|
390 |
|
| OFG Bancorp |
|
|
42,600 |
|
|
|
638 |
|
| Old National Bancorp, Cl A |
|
|
77,250 |
|
|
|
1,002 |
|
| Oppenheimer Holdings, Cl A |
|
|
11,000 |
|
|
|
223 |
|
| Oritani Financial |
|
|
24,646 |
|
|
|
347 |
|
| Pacific Continental |
|
|
900 |
|
|
|
12 |
|
| Pacific Premier Bancorp* |
|
|
4,800 |
|
|
|
67 |
|
| PacWest Bancorp |
|
|
30,656 |
|
|
|
1,264 |
|
| Palmetto Bancshares |
|
|
850 |
|
|
|
12 |
|
| Park Sterling |
|
|
7,950 |
|
|
|
53 |
|
| Peapack Gladstone Financial |
|
|
1,550 |
|
|
|
27 |
|
| Pebblebrook Hotel Trust† |
|
|
19,324 |
|
|
|
722 |
|
| Pennsylvania† |
|
|
56,900 |
|
|
|
1,135 |
|
| PennyMac Mortgage Investment Trust† |
|
|
23,500 |
|
|
|
504 |
|
| Peoples Bancorp |
|
|
3,050 |
|
|
|
72 |
|
| PHH* |
|
|
21,700 |
|
|
|
485 |
|
| PICO Holdings* |
|
|
27,328 |
|
|
|
545 |
|
| Pinnacle Financial Partners |
|
|
850 |
|
|
|
31 |
|
| Platinum Underwriters Holdings |
|
|
38,314 |
|
|
|
2,332 |
|
| Popular* |
|
|
70,500 |
|
|
|
2,075 |
|
| Post Properties† |
|
|
1,100 |
|
|
|
56 |
|
| Preferred Bank |
|
|
3,550 |
|
|
|
80 |
|
| Primerica |
|
|
7,800 |
|
|
|
376 |
|
| PrivateBancorp, Cl A |
|
|
13,400 |
|
|
|
401 |
|
| ProLogis† |
|
|
28,089 |
|
|
|
1,059 |
|
| Prosperity Bancshares (A) |
|
|
6,600 |
|
|
|
377 |
|
| Protective Life |
|
|
14,200 |
|
|
|
986 |
|
| Provident Financial Holdings |
|
|
3,400 |
|
|
|
50 |
|
| Provident Financial Services |
|
|
16,150 |
|
|
|
264 |
|
| Public Storage† |
|
|
5,757 |
|
|
|
955 |
|
| Radian Group |
|
|
52,105 |
|
|
|
743 |
|
| RAIT Financial Trust† |
|
|
9,799 |
|
|
|
73 |
|
| Regency Centers† |
|
|
4,431 |
|
|
|
238 |
|
| Renasant |
|
|
8,650 |
|
|
|
234 |
|
| Republic Bancorp, Cl A (A) |
|
|
20,200 |
|
|
|
479 |
|
| Retail Opportunity Investments† |
|
|
8,950 |
|
|
|
132 |
|
| RLJ Lodging Trust† |
|
|
14,750 |
|
|
|
420 |
|
| Rouse Properties (A)† |
|
|
49,300 |
|
|
|
797 |
|
| S&T Bancorp |
|
|
21,600 |
|
|
|
507 |
|
| Safeguard Scientifics* |
|
|
23,697 |
|
|
|
436 |
|
| Sandy Spring Bancorp |
|
|
5,800 |
|
|
|
133 |
|
| Select Income† |
|
|
15,700 |
|
|
|
378 |
|
| Selective Insurance Group |
|
|
24,020 |
|
|
|
532 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| ServisFirst Bancshares |
|
|
4,200 |
|
|
$ |
121 |
|
| Sierra Bancorp |
|
|
3,300 |
|
|
|
55 |
|
| Simmons First National, Cl A |
|
|
150 |
|
|
|
6 |
|
| Simon Property Group† |
|
|
10,344 |
|
|
|
1,701 |
|
| SL Green Realty (A)† |
|
|
2,992 |
|
|
|
303 |
|
| South State |
|
|
5,466 |
|
|
|
306 |
|
| Southside Bancshares (A) |
|
|
8,399 |
|
|
|
279 |
|
| StanCorp Financial Group |
|
|
11,830 |
|
|
|
747 |
|
| Starwood Property Trust† |
|
|
25,100 |
|
|
|
551 |
|
| State Bank Financial |
|
|
15,205 |
|
|
|
247 |
|
| Sterling Bancorp |
|
|
40,735 |
|
|
|
521 |
|
| Stifel Financial* |
|
|
5,360 |
|
|
|
251 |
|
| Stock Yards Bancorp |
|
|
4,150 |
|
|
|
125 |
|
| Suffolk Bancorp |
|
|
100 |
|
|
|
2 |
|
| Summit Hotel Properties† |
|
|
26,900 |
|
|
|
290 |
|
| Sun Bancorp* |
|
|
2,310 |
|
|
|
42 |
|
| Susquehanna Bancshares |
|
|
37,352 |
|
|
|
374 |
|
| Symetra Financial |
|
|
33,900 |
|
|
|
791 |
|
| Talmer Bancorp, Cl A |
|
|
12,500 |
|
|
|
173 |
|
| Taubman Centers† |
|
|
5,050 |
|
|
|
369 |
|
| TCF Financial |
|
|
61,456 |
|
|
|
954 |
|
| Territorial Bancorp |
|
|
3,500 |
|
|
|
71 |
|
| Texas Capital Bancshares* |
|
|
5,823 |
|
|
|
336 |
|
| THL Credit |
|
|
26,100 |
|
|
|
337 |
|
| Tompkins Financial |
|
|
17,700 |
|
|
|
780 |
|
| Towne Bank |
|
|
6,650 |
|
|
|
90 |
|
| Trico Bancshares |
|
|
450 |
|
|
|
10 |
|
| Trustco Bank NY |
|
|
6,250 |
|
|
|
40 |
|
| Trustmark |
|
|
14,850 |
|
|
|
342 |
|
| Two Harbors Investment† |
|
|
39,000 |
|
|
|
377 |
|
| UDR† |
|
|
14,800 |
|
|
|
403 |
|
| UMB Financial |
|
|
2,400 |
|
|
|
131 |
|
| Umpqua Holdings |
|
|
35,138 |
|
|
|
579 |
|
| Union Bankshares |
|
|
33,895 |
|
|
|
783 |
|
| United Bankshares |
|
|
3,670 |
|
|
|
114 |
|
| United Community Banks |
|
|
65,450 |
|
|
|
1,077 |
|
| Univest Corp of Pennsylvania |
|
|
5,550 |
|
|
|
104 |
|
| Validus Holdings |
|
|
9,800 |
|
|
|
384 |
|
| Valley National Bancorp (A) |
|
|
11,500 |
|
|
|
111 |
|
| Ventas† |
|
|
9,769 |
|
|
|
605 |
|
| ViewPoint Financial Group |
|
|
19,800 |
|
|
|
474 |
|
| Vornado Realty Trust† |
|
|
6,000 |
|
|
|
600 |
|
| Walker & Dunlop* |
|
|
1,300 |
|
|
|
17 |
|
| Walter Investment Management (A)* |
|
|
12,800 |
|
|
|
281 |
|
| Washington Federal |
|
|
13,500 |
|
|
|
275 |
|
| Washington Trust Bancorp |
|
|
50 |
|
|
|
2 |
|
| Waterstone Financial |
|
|
857 |
|
|
|
10 |
|
| Webster Financial |
|
|
39,630 |
|
|
|
1,155 |
|
| Weingarten Realty Investors† |
|
|
4,400 |
|
|
|
139 |
|
| WesBanco |
|
|
22,400 |
|
|
|
685 |
|
| West Bancorporation |
|
|
2,300 |
|
|
|
33 |
|
| Westamerica Bancorporation |
|
|
550 |
|
|
|
26 |
|
| Western Alliance Bancorp* |
|
|
35,175 |
|
|
|
841 |
|
| Western Asset Mortgage
Capital (A)† |
|
|
21,607 |
|
|
|
319 |
|
| Wilshire Bancorp |
|
|
23,700 |
|
|
|
219 |
|
| Winthrop Realty Trust† |
|
|
36,700 |
|
|
|
553 |
|
| Wintrust Financial |
|
|
17,240 |
|
|
|
770 |
|
| World Acceptance (A)* |
|
|
5,149 |
|
|
|
348 |
|
| WSFS Financial |
|
|
18,385 |
|
|
|
1,317 |
|
| Yadkin Financial* |
|
|
19,065 |
|
|
|
346 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
138,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Health Care — 4.9% |
|
|
|
|
|
|
|
|
| Accuray (A)* |
|
|
213,900 |
|
|
$ |
1,553 |
|
| Alere* |
|
|
11,800 |
|
|
|
457 |
|
| Amsurg* |
|
|
22,486 |
|
|
|
1,125 |
|
| Bio-Reference Laboratories (A)* |
|
|
7,100 |
|
|
|
199 |
|
| Charles River Laboratories International* |
|
|
18,219 |
|
|
|
1,089 |
|
| Chemed (A) |
|
|
10,200 |
|
|
|
1,050 |
|
| Conmed |
|
|
11,920 |
|
|
|
439 |
|
| Cross Country Healthcare* |
|
|
78,800 |
|
|
|
732 |
|
| Emergent Biosolutions* |
|
|
11,040 |
|
|
|
235 |
|
| Exactech* |
|
|
12,600 |
|
|
|
288 |
|
| Globus Medical, Cl A* |
|
|
13,280 |
|
|
|
261 |
|
| Greatbatch* |
|
|
19,450 |
|
|
|
829 |
|
| Health Net, Cl A* |
|
|
7,425 |
|
|
|
342 |
|
| HealthSouth |
|
|
22,753 |
|
|
|
840 |
|
| Hill-Rom Holdings |
|
|
14,000 |
|
|
|
580 |
|
| ICU Medical* |
|
|
2,960 |
|
|
|
190 |
|
| Kindred Healthcare |
|
|
2,200 |
|
|
|
43 |
|
| Landauer |
|
|
10,250 |
|
|
|
338 |
|
| Magellan Health* |
|
|
9,095 |
|
|
|
498 |
|
| MEDNAX* |
|
|
10,580 |
|
|
|
580 |
|
| Merit Medical Systems* |
|
|
35,087 |
|
|
|
417 |
|
| MWI Veterinary Supply* |
|
|
1,760 |
|
|
|
261 |
|
| Natus Medical* |
|
|
19,000 |
|
|
|
561 |
|
| Orthofix International* |
|
|
7,000 |
|
|
|
217 |
|
| Owens & Minor (A) |
|
|
9,525 |
|
|
|
312 |
|
| PDL BioPharma (A) |
|
|
48,900 |
|
|
|
365 |
|
| PerkinElmer |
|
|
14,270 |
|
|
|
622 |
|
| PharMerica* |
|
|
35,300 |
|
|
|
862 |
|
| PhotoMedex (A)* |
|
|
18,900 |
|
|
|
117 |
|
| Prestige Brands Holdings, Cl A* |
|
|
18,879 |
|
|
|
611 |
|
| SciClone Pharmaceuticals* |
|
|
42,500 |
|
|
|
293 |
|
| Select Medical Holdings |
|
|
64,600 |
|
|
|
777 |
|
| Skilled Healthcare Group, Cl A* |
|
|
14,500 |
|
|
|
96 |
|
| STERIS, Cl A |
|
|
6,760 |
|
|
|
365 |
|
| Symmetry Medical* |
|
|
43,100 |
|
|
|
435 |
|
| Teleflex (A) |
|
|
3,847 |
|
|
|
404 |
|
| Vocera Communications* |
|
|
41,940 |
|
|
|
339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.1% |
|
|
|
|
|
|
|
|
| AAR |
|
|
20,200 |
|
|
|
488 |
|
| ACCO Brands* |
|
|
46,000 |
|
|
|
317 |
|
| Actuant, Cl A |
|
|
19,479 |
|
|
|
594 |
|
| Aegean Marine Petroleum Network (A) |
|
|
46,100 |
|
|
|
423 |
|
| Aegion, Cl A* |
|
|
35,226 |
|
|
|
784 |
|
| Air Transport Services Group* |
|
|
55,100 |
|
|
|
401 |
|
| Aircastle |
|
|
39,500 |
|
|
|
646 |
|
| Alamo Group |
|
|
8,928 |
|
|
|
366 |
|
| Alaska Air Group |
|
|
17,800 |
|
|
|
775 |
|
| Alliant Techsystems |
|
|
4,500 |
|
|
|
574 |
|
| Altra Industrial Motion |
|
|
10,523 |
|
|
|
307 |
|
| American Railcar Industries (A) |
|
|
6,000 |
|
|
|
443 |
|
| Ampco-Pittsburgh |
|
|
13,900 |
|
|
|
278 |
|
| Apogee Enterprises |
|
|
8,200 |
|
|
|
326 |
|
| ARC Document Solutions* |
|
|
14,300 |
|
|
|
116 |
|
| Astec Industries |
|
|
6,893 |
|
|
|
251 |
|
| Astronics, Cl B* |
|
|
940 |
|
|
|
45 |
|
| Astronics* |
|
|
4,700 |
|
|
|
224 |
|
| AZZ |
|
|
15,543 |
|
|
|
649 |
|
| Barnes Group |
|
|
22,240 |
|
|
|
675 |
|
| Brady, Cl A |
|
|
1,124 |
|
|
|
25 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Brink’s |
|
|
32,300 |
|
|
$ |
777 |
|
| Celadon Group |
|
|
18,307 |
|
|
|
356 |
|
| Chart Industries* |
|
|
3,845 |
|
|
|
235 |
|
| CIRCOR International |
|
|
8,665 |
|
|
|
583 |
|
| Civeo |
|
|
16,900 |
|
|
|
196 |
|
| Clean Harbors (A)* |
|
|
11,971 |
|
|
|
645 |
|
| Comfort Systems USA |
|
|
24,618 |
|
|
|
334 |
|
| CRA International* |
|
|
3,444 |
|
|
|
88 |
|
| Cubic |
|
|
26,870 |
|
|
|
1,258 |
|
| Curtiss-Wright |
|
|
26,665 |
|
|
|
1,758 |
|
| Deluxe |
|
|
15,700 |
|
|
|
866 |
|
| Dynamic Materials |
|
|
14,021 |
|
|
|
267 |
|
| EMCOR Group |
|
|
78,583 |
|
|
|
3,140 |
|
| Encore Wire |
|
|
12,247 |
|
|
|
454 |
|
| EnerSys (A) |
|
|
5,250 |
|
|
|
308 |
|
| EnPro Industries* |
|
|
5,610 |
|
|
|
340 |
|
| Esterline Technologies* |
|
|
6,190 |
|
|
|
689 |
|
| FreightCar America, Cl A |
|
|
22,300 |
|
|
|
743 |
|
| FTI Consulting* |
|
|
51,750 |
|
|
|
1,809 |
|
| G&K Services |
|
|
19,829 |
|
|
|
1,098 |
|
| Generac Holdings (A)* |
|
|
26,245 |
|
|
|
1,064 |
|
| General Cable |
|
|
8,001 |
|
|
|
121 |
|
| Global Brass & Copper Holdings |
|
|
16,544 |
|
|
|
243 |
|
| Global Power Equipment Group |
|
|
67,000 |
|
|
|
998 |
|
| GrafTech International (A)* |
|
|
146,600 |
|
|
|
672 |
|
| Granite Construction |
|
|
5,735 |
|
|
|
183 |
|
| Great Lakes Dredge & Dock* |
|
|
208,400 |
|
|
|
1,288 |
|
| H&E Equipment Services |
|
|
7,390 |
|
|
|
298 |
|
| Hawaiian Holdings* |
|
|
49,800 |
|
|
|
670 |
|
| Healthcare Services Group |
|
|
8,540 |
|
|
|
244 |
|
| Huron Consulting Group* |
|
|
4,960 |
|
|
|
302 |
|
| Hyster-Yale Materials Handling |
|
|
11,000 |
|
|
|
788 |
|
| ICF International, Cl A* |
|
|
11,900 |
|
|
|
366 |
|
| Interface, Cl A |
|
|
31,018 |
|
|
|
501 |
|
| ITT |
|
|
13,018 |
|
|
|
585 |
|
| JetBlue Airways (A)* |
|
|
155,800 |
|
|
|
1,655 |
|
| John Bean Technologies, Cl A |
|
|
8,700 |
|
|
|
245 |
|
| Kadant |
|
|
32,741 |
|
|
|
1,278 |
|
| Kaman, Cl A |
|
|
24,929 |
|
|
|
980 |
|
| KAR Auction Services |
|
|
30,804 |
|
|
|
882 |
|
| KBR |
|
|
41,900 |
|
|
|
789 |
|
| Kelly Services, Cl A |
|
|
13,700 |
|
|
|
215 |
|
| Korn/Ferry International* |
|
|
25,392 |
|
|
|
632 |
|
| LB Foster, Cl A |
|
|
5,700 |
|
|
|
262 |
|
| MasTec* |
|
|
8,820 |
|
|
|
270 |
|
| Meritor* |
|
|
52,700 |
|
|
|
572 |
|
| Moog, Cl A* |
|
|
6,829 |
|
|
|
467 |
|
| MRC Global* |
|
|
29,500 |
|
|
|
688 |
|
| MYR Group* |
|
|
36,851 |
|
|
|
887 |
|
| Navigant Consulting* |
|
|
12,700 |
|
|
|
177 |
|
| NN, Cl A |
|
|
13,700 |
|
|
|
366 |
|
| Northwest Pipe* |
|
|
12,470 |
|
|
|
425 |
|
| Orbital Sciences* |
|
|
10,300 |
|
|
|
286 |
|
| Orion Marine Group* |
|
|
94,416 |
|
|
|
942 |
|
| Powell Industries |
|
|
9,868 |
|
|
|
403 |
|
| Quad |
|
|
27,726 |
|
|
|
534 |
|
| Quanex Building Products |
|
|
36,775 |
|
|
|
665 |
|
| Rand Logistics* |
|
|
56,100 |
|
|
|
320 |
|
| Regal-Beloit |
|
|
7,468 |
|
|
|
480 |
|
| Republic Airways Holdings (A)* |
|
|
21,500 |
|
|
|
239 |
|
| Rexnord* |
|
|
11,780 |
|
|
|
335 |
|
| RR Donnelley & Sons |
|
|
18,986 |
|
|
|
313 |
|
| Ryder System |
|
|
10,538 |
|
|
|
948 |
|
| Safe Bulkers |
|
|
31,000 |
|
|
|
206 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Scorpio Bulkers* |
|
|
100,200 |
|
|
$ |
583 |
|
| Simpson Manufacturing |
|
|
8,184 |
|
|
|
239 |
|
| Skywest |
|
|
40,400 |
|
|
|
314 |
|
| Standex International |
|
|
1,178 |
|
|
|
87 |
|
| Steelcase, Cl A |
|
|
25,500 |
|
|
|
413 |
|
| Swift Transportation, Cl A (A)* |
|
|
16,345 |
|
|
|
343 |
|
| TAL International Group |
|
|
17,836 |
|
|
|
736 |
|
| Team* |
|
|
12,711 |
|
|
|
482 |
|
| Teledyne Technologies* |
|
|
4,340 |
|
|
|
408 |
|
| Terex |
|
|
8,875 |
|
|
|
282 |
|
| Tetra Tech |
|
|
44,616 |
|
|
|
1,115 |
|
| Textainer Group Holdings (A) |
|
|
8,400 |
|
|
|
261 |
|
| Titan Machinery (A)* |
|
|
60,600 |
|
|
|
787 |
|
| Toro |
|
|
5,345 |
|
|
|
317 |
|
| TriMas* |
|
|
30,290 |
|
|
|
737 |
|
| Triumph Group |
|
|
10,951 |
|
|
|
712 |
|
| TrueBlue* |
|
|
9,358 |
|
|
|
236 |
|
| Tutor Perini* |
|
|
49,887 |
|
|
|
1,317 |
|
| United Stationers (A) |
|
|
6,500 |
|
|
|
244 |
|
| VSE |
|
|
13,900 |
|
|
|
681 |
|
| Watts Water Technologies, Cl A (A) |
|
|
9,798 |
|
|
|
571 |
|
| Woodward |
|
|
13,905 |
|
|
|
662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 10.9% |
|
|
|
|
|
|
|
|
| ACI Worldwide* |
|
|
16,040 |
|
|
|
301 |
|
| Acxiom* |
|
|
33,265 |
|
|
|
551 |
|
| Adtran (A) |
|
|
67,986 |
|
|
|
1,396 |
|
| Amkor Technology* |
|
|
76,200 |
|
|
|
641 |
|
| Arrow Electronics, Cl A* |
|
|
20,956 |
|
|
|
1,160 |
|
| Atmel* |
|
|
58,170 |
|
|
|
470 |
|
| Belden |
|
|
13,208 |
|
|
|
845 |
|
| Benchmark Electronics* |
|
|
43,212 |
|
|
|
960 |
|
| Black Box |
|
|
12,300 |
|
|
|
287 |
|
| Blucora (A)* |
|
|
11,187 |
|
|
|
170 |
|
| BroadSoft* |
|
|
21,383 |
|
|
|
450 |
|
| CACI International, Cl A* |
|
|
9,720 |
|
|
|
693 |
|
| Cadence Design Systems* |
|
|
73,250 |
|
|
|
1,261 |
|
| ChipMOS TECHNOLOGIES Bermuda |
|
|
11,600 |
|
|
|
262 |
|
| Ciber* |
|
|
245,100 |
|
|
|
841 |
|
| Coherent* |
|
|
6,139 |
|
|
|
377 |
|
| Computer Task Group |
|
|
58,600 |
|
|
|
650 |
|
| Convergys |
|
|
24,345 |
|
|
|
434 |
|
| Cray* |
|
|
13,160 |
|
|
|
345 |
|
| CSG Systems International |
|
|
34,100 |
|
|
|
896 |
|
| Dealertrack Technologies* |
|
|
7,260 |
|
|
|
315 |
|
| Diebold |
|
|
10,752 |
|
|
|
380 |
|
| Digi International* |
|
|
113,100 |
|
|
|
848 |
|
| Diodes* |
|
|
15,100 |
|
|
|
361 |
|
| Dot Hill Systems* |
|
|
155,100 |
|
|
|
586 |
|
| EarthLink Holdings (A) |
|
|
127,954 |
|
|
|
438 |
|
| Electronics For Imaging* |
|
|
7,590 |
|
|
|
335 |
|
| Entegris* |
|
|
30,440 |
|
|
|
350 |
|
| EVERTEC |
|
|
19,971 |
|
|
|
446 |
|
| Exar* |
|
|
96,500 |
|
|
|
864 |
|
| ExlService Holdings* |
|
|
13,606 |
|
|
|
332 |
|
| Extreme Networks* |
|
|
96,800 |
|
|
|
464 |
|
| Fairchild Semiconductor International* |
|
|
20,096 |
|
|
|
312 |
|
| Heartland Payment Systems (A) |
|
|
11,025 |
|
|
|
526 |
|
| Inphi* |
|
|
32,642 |
|
|
|
469 |
|
| Insight Enterprises* |
|
|
27,600 |
|
|
|
625 |
|
| Integrated Silicon Solution |
|
|
22,700 |
|
|
|
312 |
|
| Intersil, Cl A |
|
|
47,050 |
|
|
|
669 |
|
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Intralinks Holdings, Cl A* |
|
|
33,000 |
|
|
$ |
267 |
|
| InvenSense, Cl A (A)* |
|
|
14,660 |
|
|
|
289 |
|
| Ixia* |
|
|
36,238 |
|
|
|
331 |
|
| j2 Global (A) |
|
|
9,250 |
|
|
|
457 |
|
| Knowles* |
|
|
12,531 |
|
|
|
332 |
|
| Kofax (A)* |
|
|
26,500 |
|
|
|
205 |
|
| Kulicke & Soffa Industries* |
|
|
38,200 |
|
|
|
544 |
|
| Littelfuse |
|
|
3,300 |
|
|
|
281 |
|
| Mentor Graphics |
|
|
29,965 |
|
|
|
614 |
|
| MicroStrategy, Cl A* |
|
|
8,746 |
|
|
|
1,144 |
|
| MKS Instruments (A) |
|
|
35,264 |
|
|
|
1,177 |
|
| MoneyGram International* |
|
|
26,500 |
|
|
|
332 |
|
| Multi-Fineline Electronix* |
|
|
14,400 |
|
|
|
135 |
|
| Nanometrics* |
|
|
37,246 |
|
|
|
562 |
|
| NETGEAR* |
|
|
21,800 |
|
|
|
681 |
|
| Park Electrochemical |
|
|
30,668 |
|
|
|
722 |
|
| Photronics* |
|
|
28,300 |
|
|
|
228 |
|
| Plantronics |
|
|
12,300 |
|
|
|
588 |
|
| PRGX Global* |
|
|
107,100 |
|
|
|
628 |
|
| Progress Software* |
|
|
28,014 |
|
|
|
670 |
|
| PTC* |
|
|
26,900 |
|
|
|
993 |
|
| Pulse Electronics (A)* |
|
|
3,630 |
|
|
|
5 |
|
| QLogic* |
|
|
70,500 |
|
|
|
646 |
|
| RF Micro Devices, Cl A (A)* |
|
|
44,717 |
|
|
|
516 |
|
| Rudolph Technologies* |
|
|
44,430 |
|
|
|
402 |
|
| Saba Software* |
|
|
30,100 |
|
|
|
406 |
|
| Sanmina* |
|
|
27,400 |
|
|
|
571 |
|
| Semtech* |
|
|
12,419 |
|
|
|
337 |
|
| Silicon Image* |
|
|
20,800 |
|
|
|
105 |
|
| Solera Holdings |
|
|
3,941 |
|
|
|
222 |
|
| SYNNEX |
|
|
10,600 |
|
|
|
685 |
|
| Tech Data* |
|
|
30,009 |
|
|
|
1,766 |
|
| TeleCommunication Systems, Cl A* |
|
|
95,700 |
|
|
|
267 |
|
| TeleTech Holdings* |
|
|
12,100 |
|
|
|
297 |
|
| Tessco Technologies |
|
|
7,200 |
|
|
|
209 |
|
| Ultratech* |
|
|
61,065 |
|
|
|
1,389 |
|
| Verint Systems* |
|
|
6,840 |
|
|
|
380 |
|
| Zebra Technologies, Cl A* |
|
|
5,544 |
|
|
|
394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
|
|
|
|
|
|
|
| Alamos Gold |
|
|
47,257 |
|
|
|
376 |
|
| Allegheny Technologies |
|
|
12,198 |
|
|
|
453 |
|
| American Vanguard, Cl B (A) |
|
|
26,805 |
|
|
|
300 |
|
| AuRico Gold (A) |
|
|
67,541 |
|
|
|
236 |
|
| Balchem |
|
|
5,050 |
|
|
|
286 |
|
| Berry Plastics Group* |
|
|
29,389 |
|
|
|
742 |
|
| Cabot |
|
|
15,000 |
|
|
|
761 |
|
| Commercial Metals, Cl A |
|
|
14,500 |
|
|
|
247 |
|
| Cytec Industries |
|
|
10,306 |
|
|
|
487 |
|
| Domtar |
|
|
7,700 |
|
|
|
271 |
|
| Glatfelter |
|
|
21,200 |
|
|
|
465 |
|
| Globe Specialty Metals |
|
|
6,304 |
|
|
|
115 |
|
| Greif, Cl A |
|
|
5,185 |
|
|
|
227 |
|
| H.B. Fuller |
|
|
40,020 |
|
|
|
1,589 |
|
| Innophos Holdings |
|
|
7,151 |
|
|
|
394 |
|
| Innospec |
|
|
7,300 |
|
|
|
262 |
|
| Intrepid Potash* |
|
|
7,373 |
|
|
|
114 |
|
| Landec* |
|
|
75,600 |
|
|
|
926 |
|
| LSB Industries* |
|
|
7,500 |
|
|
|
268 |
|
| Minerals Technologies |
|
|
10,195 |
|
|
|
629 |
|
| Neenah Paper, Cl A |
|
|
17,900 |
|
|
|
957 |
|
| Novagold Resources (A)* |
|
|
66,200 |
|
|
|
201 |
|
| Olin (A) |
|
|
36,400 |
|
|
|
919 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| PolyOne |
|
|
17,840 |
|
|
$ |
635 |
|
| Rayonier Advanced Materials (A) |
|
|
21,990 |
|
|
|
724 |
|
| RTI International Metals (A)* |
|
|
22,438 |
|
|
|
553 |
|
| Schnitzer Steel Industries, Cl A |
|
|
32,821 |
|
|
|
789 |
|
| Schweitzer-Mauduit International |
|
|
10,400 |
|
|
|
430 |
|
| Sensient Technologies |
|
|
31,571 |
|
|
|
1,653 |
|
| Silgan Holdings |
|
|
17,013 |
|
|
|
799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,808 |
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.7% |
|
|
|
|
|
| Atlantic Telegraph-Network |
|
|
11,744 |
|
|
|
633 |
|
| Cogent Communications Holdings |
|
|
11,124 |
|
|
|
374 |
|
| Inteliquent |
|
|
34,300 |
|
|
|
427 |
|
| Iridium Communications (A)* |
|
|
76,700 |
|
|
|
679 |
|
| Spok Holdings |
|
|
28,700 |
|
|
|
373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 3.0% |
|
|
|
|
|
|
|
|
| ALLETE |
|
|
18,860 |
|
|
|
837 |
|
| Avista |
|
|
39,000 |
|
|
|
1,191 |
|
| Cadiz (A)* |
|
|
52,600 |
|
|
|
547 |
|
| Cleco |
|
|
7,220 |
|
|
|
348 |
|
| Empire District Electric (A) |
|
|
14,000 |
|
|
|
338 |
|
| Great Plains Energy |
|
|
52,712 |
|
|
|
1,274 |
|
| Idacorp, Cl A |
|
|
6,970 |
|
|
|
374 |
|
| NorthWestern |
|
|
13,208 |
|
|
|
599 |
|
| Piedmont Natural Gas (A) |
|
|
17,800 |
|
|
|
597 |
|
| PNM Resources |
|
|
37,390 |
|
|
|
931 |
|
| Portland General Electric (A) |
|
|
78,722 |
|
|
|
2,528 |
|
| South Jersey Industries, Cl A |
|
|
746 |
|
|
|
40 |
|
| Southwest Gas |
|
|
11,725 |
|
|
|
569 |
|
| UIL Holdings |
|
|
29,720 |
|
|
|
1,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,225 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $325,870) ($ Thousands) |
|
|
|
|
|
|
359,782 |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUNDS — 1.1% |
|
| iShares Russell 2000 ETF (A) |
|
|
10,448 |
|
|
|
1,143 |
|
| iShares Russell 2000 Value ETF (A) |
|
|
31,800 |
|
|
|
2,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,118 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Funds
(Cost $3,937) ($ Thousands) |
|
|
|
|
|
|
4,118 |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 13.1% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.
0.080%**†† (B) |
|
|
49,789,563 |
|
|
|
49,790 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $49,790) ($ Thousands) |
|
|
|
|
|
|
49,790 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.8% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
14,510,128 |
|
|
|
14,510 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $14,510) ($ Thousands) |
|
|
|
|
|
|
14,510 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.043%, 03/05/15 |
|
$ |
598 |
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $598) ($ Thousands) |
|
|
|
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 113.1%
(Cost $394,705) ($ Thousands) |
|
|
|
|
|
$ |
428,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2014
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
65 |
|
|
|
Dec-2014 |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $379,007 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or partial position of this security is on loan at September 30,. The total market value of securities on loan as of September 30, 2014 was $47,343
($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2014 was $49,790
($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase |
Cl — Class
ETF — Exchange Traded Fund
L.P. — Limited Partnership
The following is a
list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
359,782 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
359,782 |
|
| Exchange Traded Funds |
|
|
4,118 |
|
|
|
— |
|
|
|
— |
|
|
|
4,118 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
49,790 |
|
|
|
— |
|
|
|
49,790 |
|
| Cash Equivalent |
|
|
14,510 |
|
|
|
— |
|
|
|
— |
|
|
|
14,510 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
598 |
|
|
|
— |
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
378,410 |
|
|
$ |
50,388 |
|
|
$ |
— |
|
|
$ |
428,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(369 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(369 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(369 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 7 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 96.3%‡ |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 14.6% |
|
|
|
|
|
|
|
|
| 2U (A)* |
|
|
50,967 |
|
|
$ |
795 |
|
| ANN* |
|
|
5,900 |
|
|
|
243 |
|
| Ascent Capital Group, Cl A* |
|
|
4,104 |
|
|
|
247 |
|
| Biglari Holdings* |
|
|
2,282 |
|
|
|
775 |
|
| Bloomin’ Brands* |
|
|
9,500 |
|
|
|
174 |
|
| Bravo Brio Restaurant Group* |
|
|
6,600 |
|
|
|
86 |
|
| Bright Horizons Family Solutions* |
|
|
17,606 |
|
|
|
740 |
|
| Brown Shoe |
|
|
23,600 |
|
|
|
640 |
|
| Brunswick |
|
|
18,790 |
|
|
|
792 |
|
| Buffalo Wild Wings* |
|
|
12,620 |
|
|
|
1,695 |
|
| Cabela’s (A)* |
|
|
12,600 |
|
|
|
742 |
|
| Capella Education |
|
|
22,869 |
|
|
|
1,432 |
|
| Carmike Cinemas* |
|
|
4,600 |
|
|
|
143 |
|
| Carter’s |
|
|
12,943 |
|
|
|
1,003 |
|
| Container Store Group (A)* |
|
|
20,227 |
|
|
|
440 |
|
| Core-Mark Holding, Cl A |
|
|
17,200 |
|
|
|
913 |
|
| Coupons.com (A)* |
|
|
33,290 |
|
|
|
398 |
|
| Cracker Barrel Old Country Store (A) |
|
|
2,900 |
|
|
|
299 |
|
| Denny’s, Cl A* |
|
|
35,700 |
|
|
|
251 |
|
| Diamond Resorts International* |
|
|
31,457 |
|
|
|
716 |
|
| DineEquity |
|
|
700 |
|
|
|
57 |
|
| Drew Industries |
|
|
12,500 |
|
|
|
527 |
|
| Entravision Communications, Cl A |
|
|
74,600 |
|
|
|
295 |
|
| Fiesta Restaurant Group* |
|
|
15,386 |
|
|
|
764 |
|
| Five Below (A)* |
|
|
67,443 |
|
|
|
2,671 |
|
| Francesca’s Holdings (A)* |
|
|
36,141 |
|
|
|
504 |
|
| Gentherm* |
|
|
11,200 |
|
|
|
473 |
|
| G-III Apparel Group* |
|
|
3,000 |
|
|
|
249 |
|
| Grand Canyon Education* |
|
|
6,700 |
|
|
|
273 |
|
| hhgregg, Cl A (A)* |
|
|
2,600 |
|
|
|
16 |
|
| Hibbett Sports (A)* |
|
|
18,068 |
|
|
|
770 |
|
| HomeAway* |
|
|
32,928 |
|
|
|
1,169 |
|
| HSN, Cl A |
|
|
3,200 |
|
|
|
196 |
|
| Jack in the Box |
|
|
16,583 |
|
|
|
1,131 |
|
| La-Z-Boy, Cl Z |
|
|
14,800 |
|
|
|
293 |
|
| LifeLock* |
|
|
11,100 |
|
|
|
159 |
|
| Lithia Motors, Cl A |
|
|
14,815 |
|
|
|
1,121 |
|
| LKQ* |
|
|
33,855 |
|
|
|
900 |
|
| Loral Space & Communications* |
|
|
7,500 |
|
|
|
539 |
|
| Manchester United, Cl A (A)* |
|
|
11,748 |
|
|
|
194 |
|
| MDC Partners, Cl A |
|
|
22,800 |
|
|
|
438 |
|
| Men’s Wearhouse |
|
|
18,145 |
|
|
|
857 |
|
| Modine Manufacturing* |
|
|
5,500 |
|
|
|
65 |
|
| Monro Muffler |
|
|
7,010 |
|
|
|
340 |
|
| Motorcar Parts & Accessories* |
|
|
3,500 |
|
|
|
95 |
|
| Movado Group |
|
|
19,366 |
|
|
|
640 |
|
| National CineMedia |
|
|
113,941 |
|
|
|
1,653 |
|
| Nautilus* |
|
|
2,800 |
|
|
|
33 |
|
| Orbitz Worldwide* |
|
|
102,700 |
|
|
|
808 |
|
| Overstock.com* |
|
|
36,600 |
|
|
|
617 |
|
| Papa John’s International, Cl A |
|
|
700 |
|
|
|
28 |
|
| Penske Auto Group, Cl A |
|
|
15,936 |
|
|
|
647 |
|
| PetMed Express (A) |
|
|
14,700 |
|
|
|
200 |
|
| Pier 1 Imports |
|
|
10,900 |
|
|
|
130 |
|
| Pinnacle Entertainment* |
|
|
3,000 |
|
|
|
75 |
|
| Pool |
|
|
29,597 |
|
|
|
1,596 |
|
| Popeyes Louisiana Kitchen* |
|
|
14,146 |
|
|
|
573 |
|
| Red Robin Gourmet Burgers* |
|
|
4,650 |
|
|
|
265 |
|
| RetailMeNot* |
|
|
27,465 |
|
|
|
444 |
|
| Ruth’s Chris Steak House |
|
|
65,600 |
|
|
|
724 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Sally Beauty Holdings* |
|
|
54,943 |
|
|
$ |
1,504 |
|
| Scientific Games, Cl A (A)* |
|
|
71,895 |
|
|
|
774 |
|
| Select Comfort* |
|
|
5,300 |
|
|
|
111 |
|
| ServiceMaster Global Holdings* |
|
|
20,926 |
|
|
|
506 |
|
| SFX Entertainment (A)* |
|
|
29,079 |
|
|
|
146 |
|
| Shutterfly* |
|
|
16,078 |
|
|
|
784 |
|
| Skechers U.S.A., Cl A* |
|
|
20,754 |
|
|
|
1,106 |
|
| Sonic |
|
|
2,700 |
|
|
|
60 |
|
| Standard Motor Products |
|
|
9,000 |
|
|
|
310 |
|
| Steven Madden* |
|
|
1,350 |
|
|
|
44 |
|
| Stoneridge* |
|
|
33,100 |
|
|
|
373 |
|
| Strayer Education* |
|
|
1,400 |
|
|
|
84 |
|
| TAL Education Group ADR* |
|
|
12,593 |
|
|
|
440 |
|
| Tempur-Pedic International* |
|
|
13,800 |
|
|
|
775 |
|
| Tenneco* |
|
|
11,400 |
|
|
|
596 |
|
| Texas Roadhouse, Cl A |
|
|
6,700 |
|
|
|
187 |
|
| Tile Shop Holdings (A)* |
|
|
23,161 |
|
|
|
214 |
|
| Tower International* |
|
|
5,100 |
|
|
|
129 |
|
| TRI Pointe Homes* |
|
|
27,688 |
|
|
|
358 |
|
| Tuesday Morning* |
|
|
35,990 |
|
|
|
698 |
|
| Vera Bradley (A)* |
|
|
36,686 |
|
|
|
759 |
|
| Vince Holding* |
|
|
4,472 |
|
|
|
135 |
|
| Vitamin Shoppe* |
|
|
25,426 |
|
|
|
1,129 |
|
| Wolverine World Wide (A) |
|
|
79,930 |
|
|
|
2,003 |
|
| Zoe’s Kitchen (A)* |
|
|
19,893 |
|
|
|
612 |
|
| zulily, Cl A (A)* |
|
|
16,724 |
|
|
|
634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 1.9% |
|
|
|
|
|
|
|
|
| Andersons |
|
|
6,300 |
|
|
|
396 |
|
| Casey’s General Stores |
|
|
17,471 |
|
|
|
1,253 |
|
| Chefs’ Warehouse Holdings (A)* |
|
|
24,731 |
|
|
|
402 |
|
| IGI Laboratories* |
|
|
36,107 |
|
|
|
336 |
|
| J&J Snack Foods |
|
|
5,300 |
|
|
|
496 |
|
| Lancaster Colony |
|
|
7,203 |
|
|
|
614 |
|
| Medifast* |
|
|
9,167 |
|
|
|
301 |
|
| Natural Grocers by Vitamin Cottage* |
|
|
1,700 |
|
|
|
28 |
|
| PriceSmart |
|
|
2,200 |
|
|
|
188 |
|
| Sanderson Farms (A) |
|
|
9,500 |
|
|
|
836 |
|
| Sprouts Farmers Market (A)* |
|
|
23,996 |
|
|
|
698 |
|
| United Natural Foods* |
|
|
3,400 |
|
|
|
209 |
|
| USANA Health Sciences (A)* |
|
|
6,500 |
|
|
|
479 |
|
| WhiteWave Foods, Cl A* |
|
|
7,007 |
|
|
|
255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 5.4% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum* |
|
|
111,200 |
|
|
|
587 |
|
| Alon USA Energy |
|
|
16,000 |
|
|
|
230 |
|
| Basic Energy Services* |
|
|
15,777 |
|
|
|
342 |
|
| Bonanza Creek Energy* |
|
|
19,600 |
|
|
|
1,115 |
|
| CARBO Ceramics (A) |
|
|
4,200 |
|
|
|
249 |
|
| Carrizo Oil & Gas* |
|
|
16,000 |
|
|
|
861 |
|
| Clayton Williams Energy* |
|
|
3,200 |
|
|
|
309 |
|
| Delek US Holdings |
|
|
31,622 |
|
|
|
1,047 |
|
| Diamondback Energy, Cl A* |
|
|
5,000 |
|
|
|
374 |
|
| Dresser-Rand Group* |
|
|
10,839 |
|
|
|
892 |
|
| Dril-Quip* |
|
|
22,301 |
|
|
|
1,994 |
|
| Eclipse Resources (A)* |
|
|
20,270 |
|
|
|
337 |
|
| Forest Oil* |
|
|
109,800 |
|
|
|
128 |
|
| Forum Energy Technologies* |
|
|
44,821 |
|
|
|
1,372 |
|
| GasLog |
|
|
4,600 |
|
|
|
101 |
|
| Green Plains |
|
|
10,700 |
|
|
|
400 |
|
| ION Geophysical* |
|
|
52,600 |
|
|
|
147 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Kodiak Oil & Gas* |
|
|
31,500 |
|
|
$ |
427 |
|
| Laredo Petroleum (A)* |
|
|
56,604 |
|
|
|
1,269 |
|
| Matador Resources* |
|
|
27,903 |
|
|
|
721 |
|
| Matrix Service* |
|
|
21,900 |
|
|
|
528 |
|
| Oasis Petroleum* |
|
|
28,350 |
|
|
|
1,185 |
|
| PetroQuest Energy* |
|
|
21,500 |
|
|
|
121 |
|
| Pioneer Energy Services* |
|
|
47,320 |
|
|
|
663 |
|
| REX American Resources* |
|
|
3,400 |
|
|
|
248 |
|
| RigNet, Cl A* |
|
|
1,300 |
|
|
|
52 |
|
| Rosetta Resources* |
|
|
9,387 |
|
|
|
418 |
|
| Superior Energy Services |
|
|
25,548 |
|
|
|
840 |
|
| Targa Resources |
|
|
2,121 |
|
|
|
289 |
|
| Tesco |
|
|
5,400 |
|
|
|
107 |
|
| Triangle Petroleum (A)* |
|
|
7,600 |
|
|
|
84 |
|
| Vertex Energy (A)* |
|
|
9,600 |
|
|
|
67 |
|
| W&T Offshore |
|
|
18,200 |
|
|
|
200 |
|
| Western Refining |
|
|
11,000 |
|
|
|
462 |
|
| Willbros Group* |
|
|
7,200 |
|
|
|
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 6.9% |
|
|
|
|
|
|
|
|
| AmTrust Financial Services (A) |
|
|
10,599 |
|
|
|
422 |
|
| Artisan Partners Asset Management, Cl A |
|
|
10,387 |
|
|
|
541 |
|
| Bank of the Ozarks (A) |
|
|
23,586 |
|
|
|
744 |
|
| Banner |
|
|
7,568 |
|
|
|
291 |
|
| BGC Partners, Cl A |
|
|
73,900 |
|
|
|
549 |
|
| BofI Holding* |
|
|
12,443 |
|
|
|
905 |
|
| City National |
|
|
8,130 |
|
|
|
615 |
|
| Cohen & Steers (A) |
|
|
2,934 |
|
|
|
113 |
|
| Credit Acceptance, Cl A* |
|
|
5,300 |
|
|
|
667 |
|
| EastGroup Properties† |
|
|
18,461 |
|
|
|
1,119 |
|
| Financial Engines (A) |
|
|
29,399 |
|
|
|
1,006 |
|
| First Cash Financial Services* |
|
|
1,028 |
|
|
|
58 |
|
| FXCM, Cl A (A) |
|
|
52,320 |
|
|
|
829 |
|
| Glimcher Realty Trust† |
|
|
31,000 |
|
|
|
420 |
|
| HCI Group |
|
|
2,500 |
|
|
|
90 |
|
| HFF, Cl A |
|
|
16,000 |
|
|
|
463 |
|
| Highwoods Properties† |
|
|
9,140 |
|
|
|
355 |
|
| Home BancShares |
|
|
1,800 |
|
|
|
53 |
|
| IBERIABANK |
|
|
10,850 |
|
|
|
678 |
|
| Jones Lang LaSalle |
|
|
7,076 |
|
|
|
894 |
|
| LPL Financial Holdings |
|
|
20,783 |
|
|
|
957 |
|
| MarketAxess Holdings |
|
|
11,830 |
|
|
|
732 |
|
| MSCI, Cl A |
|
|
13,422 |
|
|
|
631 |
|
| National Health Investors† |
|
|
4,600 |
|
|
|
263 |
|
| Opus Bank* |
|
|
5,904 |
|
|
|
181 |
|
| Pebblebrook Hotel Trust† |
|
|
10,270 |
|
|
|
383 |
|
| PennantPark Investment |
|
|
54,732 |
|
|
|
597 |
|
| Portfolio Recovery Associates (A)* |
|
|
6,400 |
|
|
|
334 |
|
| Potlatch† |
|
|
9,623 |
|
|
|
387 |
|
| PS Business Parks† |
|
|
2,600 |
|
|
|
198 |
|
| RCS Capital, Cl A |
|
|
9,300 |
|
|
|
209 |
|
| RE, Cl A |
|
|
33,139 |
|
|
|
985 |
|
| Signature Bank NY, Cl B* |
|
|
13,179 |
|
|
|
1,477 |
|
| South State |
|
|
7,282 |
|
|
|
407 |
|
| Sovran Self Storage† |
|
|
6,800 |
|
|
|
506 |
|
| St. Joe (A)* |
|
|
17,974 |
|
|
|
358 |
|
| Stifel Financial* |
|
|
15,930 |
|
|
|
747 |
|
| Strategic Hotels & Resorts*† |
|
|
24,100 |
|
|
|
281 |
|
| Sun Communities† |
|
|
8,700 |
|
|
|
439 |
|
| SVB Financial Group, Cl B* |
|
|
8,263 |
|
|
|
926 |
|
| Texas Capital Bancshares* |
|
|
9,990 |
|
|
|
576 |
|
| Tree.com* |
|
|
1,600 |
|
|
|
57 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| United Insurance Holdings |
|
|
6,000 |
|
|
$ |
90 |
|
| Universal Insurance Holdings |
|
|
7,100 |
|
|
|
92 |
|
| Value Creation (D) (E)* |
|
|
145,600 |
|
|
|
68 |
|
| Virtus Investment Partners |
|
|
1,400 |
|
|
|
243 |
|
| WisdomTree Investments (A)* |
|
|
53,040 |
|
|
|
604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 20.7% |
|
|
|
|
|
|
|
|
| Acadia Healthcare, Cl A (A)* |
|
|
58,850 |
|
|
|
2,854 |
|
| ACADIA Pharmaceuticals (A)* |
|
|
28,245 |
|
|
|
699 |
|
| Accelerate Diagnostics (A)* |
|
|
1,200 |
|
|
|
26 |
|
| Acceleron Pharma* |
|
|
11,952 |
|
|
|
361 |
|
| Acorda Therapeutics* |
|
|
16,700 |
|
|
|
566 |
|
| Addus HomeCare* |
|
|
37,500 |
|
|
|
735 |
|
| Aegerion Pharmaceuticals, Cl A (A)* |
|
|
13,337 |
|
|
|
445 |
|
| Aerie Pharmaceuticals* |
|
|
8,104 |
|
|
|
168 |
|
| Affymetrix, Cl A* |
|
|
17,900 |
|
|
|
143 |
|
| Akorn (A)* |
|
|
47,202 |
|
|
|
1,712 |
|
| Align Technology* |
|
|
10,180 |
|
|
|
526 |
|
| Amsurg* |
|
|
4,100 |
|
|
|
205 |
|
| ANI Pharmaceuticals* |
|
|
3,900 |
|
|
|
110 |
|
| Anika Therapeutics* |
|
|
7,400 |
|
|
|
271 |
|
| Aratana Therapeutics (A)* |
|
|
20,255 |
|
|
|
203 |
|
| Arrowhead Research (A)* |
|
|
23,165 |
|
|
|
342 |
|
| athenahealth (A)* |
|
|
4,136 |
|
|
|
545 |
|
| AtriCure* |
|
|
2,500 |
|
|
|
37 |
|
| Avalanche Biotechnologies* |
|
|
9,000 |
|
|
|
308 |
|
| Avanir Pharmaceuticals, Cl A* |
|
|
14,700 |
|
|
|
175 |
|
| BioCryst Pharmaceuticals* |
|
|
13,600 |
|
|
|
133 |
|
| BioDelivery Sciences International* |
|
|
21,926 |
|
|
|
375 |
|
| Bluebird Bio* |
|
|
5,300 |
|
|
|
190 |
|
| Bruker BioSciences* |
|
|
24,367 |
|
|
|
451 |
|
| Cambrex* |
|
|
35,100 |
|
|
|
656 |
|
| Cantel Medical |
|
|
9,900 |
|
|
|
340 |
|
| Capital Senior Living* |
|
|
13,865 |
|
|
|
294 |
|
| Cardiovascular Systems* |
|
|
19,947 |
|
|
|
471 |
|
| Catalent* |
|
|
14,578 |
|
|
|
365 |
|
| Celldex Therapeutics, Cl A (A)* |
|
|
10,400 |
|
|
|
135 |
|
| Centene* |
|
|
5,906 |
|
|
|
489 |
|
| Chimerix* |
|
|
37,221 |
|
|
|
1,028 |
|
| Cubist Pharmaceuticals* |
|
|
10,927 |
|
|
|
725 |
|
| Cyberonics* |
|
|
2,300 |
|
|
|
118 |
|
| Depomed (A)* |
|
|
72,700 |
|
|
|
1,104 |
|
| DexCom* |
|
|
30,902 |
|
|
|
1,236 |
|
| Durata Therapeutics (A)* |
|
|
8,500 |
|
|
|
108 |
|
| Dyax* |
|
|
37,033 |
|
|
|
375 |
|
| Emergent Biosolutions* |
|
|
17,200 |
|
|
|
366 |
|
| Enanta Pharmaceuticals* |
|
|
4,500 |
|
|
|
178 |
|
| Endologix* |
|
|
52,068 |
|
|
|
552 |
|
| Ensign Group |
|
|
2,700 |
|
|
|
94 |
|
| Exact Sciences (A)* |
|
|
21,763 |
|
|
|
422 |
|
| ExamWorks Group (A)* |
|
|
23,744 |
|
|
|
778 |
|
| Fluidigm (A)* |
|
|
30,340 |
|
|
|
743 |
|
| GenMark Diagnostics* |
|
|
55,984 |
|
|
|
502 |
|
| Gentiva Health Services* |
|
|
26,100 |
|
|
|
438 |
|
| Globus Medical, Cl A* |
|
|
33,900 |
|
|
|
667 |
|
| GW Pharmaceuticals PLC (A)* |
|
|
5,014 |
|
|
|
405 |
|
| Halozyme Therapeutics (A)* |
|
|
62,744 |
|
|
|
571 |
|
| HealthEquity* |
|
|
6,420 |
|
|
|
118 |
|
| HealthSouth |
|
|
33,169 |
|
|
|
1,224 |
|
| HeartWare International* |
|
|
11,586 |
|
|
|
899 |
|
| HMS Holdings* |
|
|
10,939 |
|
|
|
206 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| ICON* |
|
|
11,534 |
|
|
$ |
660 |
|
| Idera Pharmaceuticals (A)* |
|
|
37,800 |
|
|
|
87 |
|
| Ignyta* |
|
|
29,772 |
|
|
|
240 |
|
| ImmunoGen (A)* |
|
|
18,000 |
|
|
|
191 |
|
| Insmed* |
|
|
48,351 |
|
|
|
631 |
|
| Insulet* |
|
|
45,508 |
|
|
|
1,677 |
|
| Insys Therapeutics (A)* |
|
|
10,674 |
|
|
|
414 |
|
| Intrexon (A)* |
|
|
13,269 |
|
|
|
247 |
|
| Ironwood Pharmaceuticals, Cl A* |
|
|
35,350 |
|
|
|
458 |
|
| Isis Pharmaceuticals (A)* |
|
|
46,833 |
|
|
|
1,818 |
|
| Jazz Pharmaceuticals* |
|
|
4,040 |
|
|
|
649 |
|
| K2M Group Holdings* |
|
|
49,076 |
|
|
|
708 |
|
| Karyopharm Therapeutics (A)* |
|
|
7,611 |
|
|
|
266 |
|
| Keryx Biopharmaceuticals (A)* |
|
|
27,350 |
|
|
|
376 |
|
| Kite Pharma (A)* |
|
|
11,893 |
|
|
|
339 |
|
| KYTHERA Biopharmaceuticals (A)* |
|
|
7,687 |
|
|
|
252 |
|
| Lannett* |
|
|
14,600 |
|
|
|
667 |
|
| LDR Holding (A)* |
|
|
48,813 |
|
|
|
1,520 |
|
| Ligand Pharmaceuticals* |
|
|
5,000 |
|
|
|
235 |
|
| Luminex* |
|
|
3,900 |
|
|
|
76 |
|
| Mallinckrodt* |
|
|
6,691 |
|
|
|
603 |
|
| MannKind (A)* |
|
|
26,900 |
|
|
|
159 |
|
| Masimo* |
|
|
23,239 |
|
|
|
495 |
|
| MedAssets* |
|
|
6,000 |
|
|
|
124 |
|
| Medivation* |
|
|
2,471 |
|
|
|
244 |
|
| MEDNAX* |
|
|
6,282 |
|
|
|
344 |
|
| Momenta Pharmaceuticals* |
|
|
49,900 |
|
|
|
566 |
|
| Natus Medical* |
|
|
5,500 |
|
|
|
162 |
|
| Nektar Therapeutics* |
|
|
86,310 |
|
|
|
1,042 |
|
| Neuralstem (A)* |
|
|
9,500 |
|
|
|
31 |
|
| Neurocrine Biosciences* |
|
|
29,900 |
|
|
|
468 |
|
| NewLink Genetics (A)* |
|
|
7,974 |
|
|
|
171 |
|
| Novadaq Technologies (A)* |
|
|
99,813 |
|
|
|
1,267 |
|
| NPS Pharmaceuticals* |
|
|
59,973 |
|
|
|
1,559 |
|
| NuVasive* |
|
|
16,600 |
|
|
|
579 |
|
| NxStage Medical* |
|
|
8,600 |
|
|
|
113 |
|
| Omeros (A)* |
|
|
3,100 |
|
|
|
39 |
|
| Omnicell* |
|
|
2,300 |
|
|
|
63 |
|
| Oramed Pharmaceuticals (A)* |
|
|
16,059 |
|
|
|
129 |
|
| OraSure Technologies* |
|
|
12,500 |
|
|
|
90 |
|
| Orexigen Therapeutics (A)* |
|
|
29,623 |
|
|
|
126 |
|
| Otonomy* |
|
|
11,509 |
|
|
|
276 |
|
| Pacific Biosciences of California* |
|
|
8,400 |
|
|
|
41 |
|
| Pacira Pharmaceuticals* |
|
|
17,090 |
|
|
|
1,656 |
|
| Parexel International* |
|
|
24,750 |
|
|
|
1,562 |
|
| PDL BioPharma (A) |
|
|
6,000 |
|
|
|
45 |
|
| Pernix Therapeutics Holdings* |
|
|
68,089 |
|
|
|
523 |
|
| Phibro Animal Health, Cl A |
|
|
19,361 |
|
|
|
434 |
|
| Portola Pharmaceuticals* |
|
|
15,965 |
|
|
|
404 |
|
| POZEN |
|
|
6,900 |
|
|
|
51 |
|
| Premier, Cl A* |
|
|
19,585 |
|
|
|
644 |
|
| Prestige Brands Holdings, Cl A* |
|
|
22,937 |
|
|
|
743 |
|
| Providence Service* |
|
|
19,000 |
|
|
|
919 |
|
| PTC Therapeutics* |
|
|
3,400 |
|
|
|
150 |
|
| Puma Biotechnology* |
|
|
11,991 |
|
|
|
2,861 |
|
| Quidel (A)* |
|
|
24,540 |
|
|
|
659 |
|
| RadNet* |
|
|
9,100 |
|
|
|
60 |
|
| Receptos* |
|
|
9,240 |
|
|
|
574 |
|
| Relypsa* |
|
|
23,564 |
|
|
|
497 |
|
| Repligen* |
|
|
33,000 |
|
|
|
657 |
|
| Revance Therapeutics* |
|
|
21,949 |
|
|
|
424 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Sage Therapeutics* |
|
|
4,302 |
|
|
$ |
135 |
|
| Sagent Pharmaceuticals* |
|
|
16,745 |
|
|
|
521 |
|
| Select Medical Holdings |
|
|
20,400 |
|
|
|
245 |
|
| Sirona Dental Systems, Cl A* |
|
|
8,651 |
|
|
|
663 |
|
| Spectranetics* |
|
|
11,769 |
|
|
|
313 |
|
| STERIS, Cl A |
|
|
2,900 |
|
|
|
157 |
|
| Sunesis Pharmaceuticals (A)* |
|
|
15,228 |
|
|
|
109 |
|
| Supernus Pharmaceuticals* |
|
|
1,100 |
|
|
|
10 |
|
| Surgical Care Affiliates* |
|
|
26,376 |
|
|
|
705 |
|
| SurModics* |
|
|
3,700 |
|
|
|
67 |
|
| Synageva BioPharma, Cl A (A)* |
|
|
8,826 |
|
|
|
607 |
|
| Syneron Medical* |
|
|
58,888 |
|
|
|
590 |
|
| Tandem Diabetes Care* |
|
|
17,638 |
|
|
|
237 |
|
| Team Health Holdings* |
|
|
18,841 |
|
|
|
1,093 |
|
| Techne, Cl A |
|
|
5,915 |
|
|
|
553 |
|
| TESARO* |
|
|
18,678 |
|
|
|
503 |
|
| Threshold Pharmaceuticals, Cl A (A)* |
|
|
48,461 |
|
|
|
175 |
|
| Ultragenyx Pharmaceutical (A)* |
|
|
4,922 |
|
|
|
279 |
|
| Unilife (A)* |
|
|
229,111 |
|
|
|
526 |
|
| Veeva Systems, Cl A (A)* |
|
|
28,070 |
|
|
|
791 |
|
| Versartis (A)* |
|
|
11,860 |
|
|
|
225 |
|
| WellCare Health Plans* |
|
|
17,900 |
|
|
|
1,080 |
|
| Zeltiq Aesthetics* |
|
|
5,300 |
|
|
|
120 |
|
| Zogenix* |
|
|
9,200 |
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,967 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.8% |
|
|
|
|
|
|
|
|
| AAON |
|
|
15,000 |
|
|
|
255 |
|
| Aceto |
|
|
1,700 |
|
|
|
33 |
|
| Actuant, Cl A |
|
|
31,834 |
|
|
|
972 |
|
| Acuity Brands (A) |
|
|
11,831 |
|
|
|
1,393 |
|
| Aerovironment* |
|
|
1,800 |
|
|
|
54 |
|
| Aircastle |
|
|
16,800 |
|
|
|
275 |
|
| Albany International, Cl A |
|
|
3,600 |
|
|
|
123 |
|
| Allegiant Travel, Cl A |
|
|
1,600 |
|
|
|
198 |
|
| American Science & Engineering, Cl A |
|
|
2,000 |
|
|
|
111 |
|
| American Woodmark* |
|
|
9,400 |
|
|
|
346 |
|
| ArcBest |
|
|
6,400 |
|
|
|
239 |
|
| Argan |
|
|
3,400 |
|
|
|
113 |
|
| Astronics, Cl B* |
|
|
3,172 |
|
|
|
150 |
|
| Astronics* |
|
|
9,500 |
|
|
|
453 |
|
| Barrett Business Services |
|
|
12,000 |
|
|
|
474 |
|
| Beacon Roofing Supply (A)* |
|
|
6,698 |
|
|
|
171 |
|
| Blount International* |
|
|
3,100 |
|
|
|
47 |
|
| Carlisle |
|
|
24,710 |
|
|
|
1,986 |
|
| Chart Industries (A)* |
|
|
9,665 |
|
|
|
591 |
|
| CIRCOR International |
|
|
8,400 |
|
|
|
566 |
|
| Comfort Systems USA |
|
|
1,900 |
|
|
|
26 |
|
| Corporate Executive Board |
|
|
12,612 |
|
|
|
757 |
|
| Deluxe |
|
|
1,100 |
|
|
|
61 |
|
| Diana Shipping* |
|
|
15,956 |
|
|
|
143 |
|
| DXP Enterprises* |
|
|
8,342 |
|
|
|
615 |
|
| Dycom Industries* |
|
|
37,095 |
|
|
|
1,139 |
|
| EMCOR Group |
|
|
6,224 |
|
|
|
249 |
|
| EnerSys (A) |
|
|
14,524 |
|
|
|
852 |
|
| Exponent |
|
|
3,300 |
|
|
|
234 |
|
| Fortune Brands Home & Security |
|
|
20,421 |
|
|
|
840 |
|
| FuelCell Energy (A)* |
|
|
65,300 |
|
|
|
136 |
|
| Generac Holdings (A)* |
|
|
18,031 |
|
|
|
731 |
|
| Genesee & Wyoming, Cl A* |
|
|
11,088 |
|
|
|
1,057 |
|
| Global Brass & Copper Holdings |
|
|
3,000 |
|
|
|
44 |
|
| Graco |
|
|
10,074 |
|
|
|
735 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| GrafTech International (A)* |
|
|
65,842 |
|
|
$ |
301 |
|
| H&E Equipment Services |
|
|
19,619 |
|
|
|
790 |
|
| Harsco |
|
|
6,900 |
|
|
|
148 |
|
| Heico, Cl A |
|
|
28,181 |
|
|
|
1,136 |
|
| HEICO |
|
|
15,170 |
|
|
|
708 |
|
| Heritage-Crystal Clean* |
|
|
33,013 |
|
|
|
490 |
|
| Hexcel, Cl A* |
|
|
43,424 |
|
|
|
1,724 |
|
| Hillenbrand |
|
|
1,600 |
|
|
|
49 |
|
| Hub Group, Cl A* |
|
|
23,213 |
|
|
|
941 |
|
| Huron Consulting Group* |
|
|
2,700 |
|
|
|
165 |
|
| Hyster-Yale Materials Handling |
|
|
14,200 |
|
|
|
1,017 |
|
| IDEX |
|
|
14,670 |
|
|
|
1,062 |
|
| Insperity, Cl A |
|
|
900 |
|
|
|
25 |
|
| John Bean Technologies, Cl A |
|
|
13,600 |
|
|
|
383 |
|
| Kennametal |
|
|
24,025 |
|
|
|
992 |
|
| Keyw Holding, Cl A (A)* |
|
|
26,403 |
|
|
|
292 |
|
| Kforce |
|
|
20,800 |
|
|
|
407 |
|
| Kirby* |
|
|
17,500 |
|
|
|
2,062 |
|
| Korn/Ferry International* |
|
|
8,500 |
|
|
|
212 |
|
| Landstar System |
|
|
7,200 |
|
|
|
520 |
|
| Lincoln Electric Holdings |
|
|
14,436 |
|
|
|
998 |
|
| Lindsay (A) |
|
|
3,239 |
|
|
|
242 |
|
| Marten Transport |
|
|
29,783 |
|
|
|
530 |
|
| Meritor* |
|
|
21,800 |
|
|
|
236 |
|
| Middleby* |
|
|
28,464 |
|
|
|
2,509 |
|
| Mobile Mini |
|
|
8,776 |
|
|
|
307 |
|
| Moog, Cl A* |
|
|
5,200 |
|
|
|
356 |
|
| MSA Safety |
|
|
900 |
|
|
|
44 |
|
| MSC Industrial Direct, Cl A |
|
|
7,375 |
|
|
|
630 |
|
| Mueller Industries |
|
|
7,000 |
|
|
|
200 |
|
| Mueller Water Products, Cl A |
|
|
43,000 |
|
|
|
356 |
|
| NN, Cl A |
|
|
1,500 |
|
|
|
40 |
|
| Norcraft* |
|
|
2,952 |
|
|
|
47 |
|
| Nordson |
|
|
7,250 |
|
|
|
551 |
|
| Old Dominion Freight Line, Cl A* |
|
|
20,487 |
|
|
|
1,447 |
|
| On Assignment* |
|
|
6,000 |
|
|
|
161 |
|
| Patrick Industries* |
|
|
800 |
|
|
|
34 |
|
| Paylocity Holding* |
|
|
7,604 |
|
|
|
149 |
|
| Performant Financial* |
|
|
15,300 |
|
|
|
124 |
|
| PGT* |
|
|
70,100 |
|
|
|
653 |
|
| Polypore International (A)* |
|
|
9,919 |
|
|
|
386 |
|
| Primoris Services |
|
|
29,538 |
|
|
|
793 |
|
| Quality Distribution* |
|
|
2,100 |
|
|
|
27 |
|
| RBC Bearings |
|
|
11,777 |
|
|
|
668 |
|
| Rexnord* |
|
|
20,429 |
|
|
|
581 |
|
| Rush Enterprises, Cl A* |
|
|
36,243 |
|
|
|
1,212 |
|
| Saia* |
|
|
8,863 |
|
|
|
439 |
|
| SP Plus* |
|
|
25,346 |
|
|
|
480 |
|
| Sparton* |
|
|
9,705 |
|
|
|
239 |
|
| Spirit Airlines* |
|
|
11,909 |
|
|
|
823 |
|
| Standex International |
|
|
5,800 |
|
|
|
430 |
|
| Steelcase, Cl A |
|
|
37,272 |
|
|
|
603 |
|
| Swift Transportation, Cl A (A)* |
|
|
22,908 |
|
|
|
480 |
|
| Taser International (A)* |
|
|
27,700 |
|
|
|
428 |
|
| TCP International Holdings (A)* |
|
|
35,956 |
|
|
|
274 |
|
| Trex (A)* |
|
|
31,608 |
|
|
|
1,093 |
|
| TrueBlue* |
|
|
87,011 |
|
|
|
2,198 |
|
| United Rentals (A)* |
|
|
9,443 |
|
|
|
1,049 |
|
| US Ecology |
|
|
6,849 |
|
|
|
320 |
|
| USG (A)* |
|
|
12,550 |
|
|
|
345 |
|
| Valmont Industries (A) |
|
|
7,072 |
|
|
|
954 |
|
| Wabtec |
|
|
10,864 |
|
|
|
880 |
|
| Watsco |
|
|
12,027 |
|
|
|
1,037 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| WESCO International (A)* |
|
|
12,484 |
|
|
$ |
977 |
|
| XPO Logistics (A)* |
|
|
23,363 |
|
|
|
880 |
|
| YRC Worldwide (A)* |
|
|
2,500 |
|
|
|
51 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 26.2% |
|
|
|
|
|
|
|
|
| A10 Networks (A)* |
|
|
64,321 |
|
|
|
586 |
|
| ACI Worldwide* |
|
|
10,005 |
|
|
|
188 |
|
| Advanced Energy Industries* |
|
|
9,100 |
|
|
|
171 |
|
| Advent Software |
|
|
20,268 |
|
|
|
640 |
|
| Alliance Fiber Optic Products (A) |
|
|
13,900 |
|
|
|
173 |
|
| Ambarella* |
|
|
4,903 |
|
|
|
214 |
|
| Amkor Technology* |
|
|
46,800 |
|
|
|
393 |
|
| Anixter International |
|
|
10,400 |
|
|
|
882 |
|
| Arista Networks (A)* |
|
|
2,953 |
|
|
|
261 |
|
| ARRIS Group* |
|
|
10,048 |
|
|
|
285 |
|
| Aruba Networks* |
|
|
37,948 |
|
|
|
819 |
|
| Aspen Technology* |
|
|
56,390 |
|
|
|
2,127 |
|
| Atmel* |
|
|
84,689 |
|
|
|
684 |
|
| AVG Technologies* |
|
|
20,400 |
|
|
|
338 |
|
| Belden |
|
|
15,346 |
|
|
|
983 |
|
| Blackbaud, Cl A |
|
|
24,176 |
|
|
|
950 |
|
| Brightcove* |
|
|
45,600 |
|
|
|
254 |
|
| Broadridge Financial Solutions |
|
|
22,383 |
|
|
|
932 |
|
| Cabot Microelectronics* |
|
|
14,000 |
|
|
|
580 |
|
| Cadence Design Systems* |
|
|
59,404 |
|
|
|
1,022 |
|
| Cavium (A)* |
|
|
41,063 |
|
|
|
2,042 |
|
| ChannelAdvisor* |
|
|
44,704 |
|
|
|
733 |
|
| Ciena (A)* |
|
|
32,490 |
|
|
|
543 |
|
| Cirrus Logic* |
|
|
10,300 |
|
|
|
215 |
|
| Clearfield* |
|
|
3,800 |
|
|
|
49 |
|
| Coherent* |
|
|
800 |
|
|
|
49 |
|
| CommVault Systems* |
|
|
11,852 |
|
|
|
597 |
|
| comScore* |
|
|
22,100 |
|
|
|
805 |
|
| Comverse* |
|
|
7,000 |
|
|
|
156 |
|
| Constant Contact* |
|
|
19,700 |
|
|
|
535 |
|
| Conversant* |
|
|
20,200 |
|
|
|
692 |
|
| Cornerstone OnDemand* |
|
|
37,947 |
|
|
|
1,306 |
|
| CoStar Group* |
|
|
11,931 |
|
|
|
1,856 |
|
| CTS |
|
|
34,303 |
|
|
|
545 |
|
| Daktronics |
|
|
2,300 |
|
|
|
28 |
|
| Dealertrack Technologies* |
|
|
46,517 |
|
|
|
2,019 |
|
| Demandware (A)* |
|
|
28,120 |
|
|
|
1,432 |
|
| Diodes* |
|
|
4,800 |
|
|
|
115 |
|
| Electronics For Imaging* |
|
|
1,600 |
|
|
|
71 |
|
| EnerNOC* |
|
|
1,000 |
|
|
|
17 |
|
| Entegris* |
|
|
11,500 |
|
|
|
132 |
|
| Envestnet* |
|
|
75,820 |
|
|
|
3,412 |
|
| EPAM Systems* |
|
|
9,400 |
|
|
|
412 |
|
| Euronet Worldwide* |
|
|
31,176 |
|
|
|
1,490 |
|
| EVERTEC |
|
|
3,200 |
|
|
|
72 |
|
| ExlService Holdings* |
|
|
6,900 |
|
|
|
168 |
|
| Extreme Networks* |
|
|
9,600 |
|
|
|
46 |
|
| FARO Technologies* |
|
|
7,300 |
|
|
|
371 |
|
| FEI |
|
|
14,916 |
|
|
|
1,125 |
|
| FleetMatics Group (A)* |
|
|
30,053 |
|
|
|
916 |
|
| Fortinet* |
|
|
72,425 |
|
|
|
1,830 |
|
| Global Eagle Entertainment* |
|
|
5,700 |
|
|
|
64 |
|
| Guidewire Software, Cl Z (A)* |
|
|
48,473 |
|
|
|
2,149 |
|
| Harmonic, Cl A* |
|
|
14,700 |
|
|
|
93 |
|
| iGATE* |
|
|
10,300 |
|
|
|
378 |
|
| Immersion* |
|
|
23,700 |
|
|
|
203 |
|
| Imperva* |
|
|
12,054 |
|
|
|
346 |
|
| Infinera (A)* |
|
|
65,429 |
|
|
|
698 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Infoblox* |
|
|
32,201 |
|
|
$ |
475 |
|
| Inphi* |
|
|
59,311 |
|
|
|
853 |
|
| Integrated Device Technology* |
|
|
56,100 |
|
|
|
895 |
|
| Interactive Intelligence Group* |
|
|
4,859 |
|
|
|
203 |
|
| InterDigital |
|
|
3,600 |
|
|
|
143 |
|
| Intersil, Cl A |
|
|
57,650 |
|
|
|
819 |
|
| InvenSense, Cl A (A)* |
|
|
30,570 |
|
|
|
603 |
|
| j2 Global (A) |
|
|
10,842 |
|
|
|
535 |
|
| Lattice Semiconductor* |
|
|
105,700 |
|
|
|
793 |
|
| LivePerson* |
|
|
9,800 |
|
|
|
123 |
|
| LogMeIn* |
|
|
10,210 |
|
|
|
470 |
|
| Luxoft Holding, Cl A* |
|
|
3,100 |
|
|
|
115 |
|
| Manhattan Associates* |
|
|
37,300 |
|
|
|
1,247 |
|
| Marketo (A)* |
|
|
20,396 |
|
|
|
659 |
|
| MAXIMUS |
|
|
31,031 |
|
|
|
1,245 |
|
| Measurement Specialties* |
|
|
8,732 |
|
|
|
748 |
|
| Methode Electronics |
|
|
38,600 |
|
|
|
1,423 |
|
| Monolithic Power Systems |
|
|
37,621 |
|
|
|
1,657 |
|
| Monotype Imaging Holdings |
|
|
22,100 |
|
|
|
626 |
|
| National Instruments |
|
|
13,263 |
|
|
|
410 |
|
| NetScout Systems* |
|
|
14,400 |
|
|
|
659 |
|
| Newport* |
|
|
3,700 |
|
|
|
66 |
|
| NIC |
|
|
20,000 |
|
|
|
344 |
|
| NICE-Systems ADR |
|
|
17,647 |
|
|
|
720 |
|
| Nimble Storage (A)* |
|
|
46,104 |
|
|
|
1,197 |
|
| ON Semiconductor* |
|
|
77,155 |
|
|
|
690 |
|
| OSI Systems* |
|
|
7,217 |
|
|
|
458 |
|
| Palo Alto Networks* |
|
|
5,618 |
|
|
|
551 |
|
| Pandora Media* |
|
|
21,250 |
|
|
|
513 |
|
| PDF Solutions* |
|
|
1,900 |
|
|
|
24 |
|
| Pegasystems |
|
|
12,000 |
|
|
|
229 |
|
| Perficient* |
|
|
1,800 |
|
|
|
27 |
|
| Plantronics |
|
|
3,000 |
|
|
|
143 |
|
| Plexus* |
|
|
2,600 |
|
|
|
96 |
|
| Polycom* |
|
|
32,300 |
|
|
|
397 |
|
| Power Integrations |
|
|
6,887 |
|
|
|
371 |
|
| PTC* |
|
|
28,530 |
|
|
|
1,053 |
|
| Qlik Technologies* |
|
|
14,777 |
|
|
|
400 |
|
| RealPage (A)* |
|
|
36,271 |
|
|
|
562 |
|
| RF Micro Devices, Cl A (A)* |
|
|
125,455 |
|
|
|
1,448 |
|
| Rogers* |
|
|
5,000 |
|
|
|
274 |
|
| Ruckus Wireless* |
|
|
131,292 |
|
|
|
1,754 |
|
| Sapient* |
|
|
34,600 |
|
|
|
484 |
|
| ShoreTel* |
|
|
10,700 |
|
|
|
71 |
|
| Shutterstock (A)* |
|
|
8,654 |
|
|
|
618 |
|
| Silicon Image* |
|
|
107,200 |
|
|
|
540 |
|
| Silicon Laboratories* |
|
|
15,690 |
|
|
|
638 |
|
| SolarWinds* |
|
|
19,600 |
|
|
|
824 |
|
| Solera Holdings |
|
|
20,551 |
|
|
|
1,158 |
|
| Sonus Networks* |
|
|
54,800 |
|
|
|
188 |
|
| Spansion, Cl A* |
|
|
42,752 |
|
|
|
974 |
|
| SPS Commerce* |
|
|
10,440 |
|
|
|
555 |
|
| SS&C Technologies Holdings* |
|
|
58,123 |
|
|
|
2,551 |
|
| Stamps.com* |
|
|
19,500 |
|
|
|
619 |
|
| Stratasys (A)* |
|
|
1,890 |
|
|
|
228 |
|
| Super Micro Computer* |
|
|
15,900 |
|
|
|
468 |
|
| Sykes Enterprises* |
|
|
2,800 |
|
|
|
56 |
|
| Synaptics* |
|
|
20,650 |
|
|
|
1,512 |
|
| SYNNEX |
|
|
2,400 |
|
|
|
155 |
|
| Syntel* |
|
|
3,800 |
|
|
|
334 |
|
| Tableau Software, Cl A* |
|
|
20,353 |
|
|
|
1,479 |
|
| Take-Two Interactive Software, Cl A* |
|
|
16,800 |
|
|
|
388 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| TeleTech Holdings* |
|
|
3,200 |
|
|
$ |
79 |
|
| Teradyne |
|
|
14,590 |
|
|
|
283 |
|
| Textura (A)* |
|
|
6,006 |
|
|
|
159 |
|
| Tivo* |
|
|
14,300 |
|
|
|
183 |
|
| TriQuint Semiconductor* |
|
|
20,500 |
|
|
|
391 |
|
| Trulia (A)* |
|
|
6,895 |
|
|
|
337 |
|
| Tyler Technologies* |
|
|
8,027 |
|
|
|
710 |
|
| Ubiquiti Networks (A) |
|
|
4,400 |
|
|
|
165 |
|
| Ultimate Software Group* |
|
|
7,022 |
|
|
|
994 |
|
| Ultra Clean Holdings* |
|
|
4,200 |
|
|
|
38 |
|
| Unisys* |
|
|
16,100 |
|
|
|
377 |
|
| VeriFone Holdings* |
|
|
14,660 |
|
|
|
504 |
|
| Verint Systems* |
|
|
8,200 |
|
|
|
456 |
|
| Virtusa* |
|
|
3,000 |
|
|
|
107 |
|
| Vistaprint (A)* |
|
|
10,791 |
|
|
|
591 |
|
| Web.com Group* |
|
|
12,800 |
|
|
|
256 |
|
| WEX* |
|
|
11,256 |
|
|
|
1,242 |
|
| Xcerra* |
|
|
5,400 |
|
|
|
53 |
|
| Xoom* |
|
|
2,000 |
|
|
|
44 |
|
| Yelp, Cl A* |
|
|
7,162 |
|
|
|
489 |
|
| Zebra Technologies, Cl A* |
|
|
9,050 |
|
|
|
642 |
|
| Zillow, Cl A (A)* |
|
|
6,456 |
|
|
|
749 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 3.3% |
|
|
|
|
|
|
|
|
| Advanced Emissions Solutions, (A)* |
|
|
15,000 |
|
|
|
319 |
|
| Berry Plastics Group* |
|
|
26,500 |
|
|
|
669 |
|
| Calgon Carbon* |
|
|
30,700 |
|
|
|
595 |
|
| Eagle Materials |
|
|
9,655 |
|
|
|
983 |
|
| Ferro* |
|
|
80,100 |
|
|
|
1,161 |
|
| FutureFuel |
|
|
2,600 |
|
|
|
31 |
|
| Globe Specialty Metals |
|
|
15,600 |
|
|
|
284 |
|
| Graphic Packaging Holding* |
|
|
23,300 |
|
|
|
290 |
|
| H.B. Fuller |
|
|
7,719 |
|
|
|
306 |
|
| Innophos Holdings |
|
|
2,400 |
|
|
|
132 |
|
| Innospec |
|
|
500 |
|
|
|
18 |
|
| KapStone Paper and Packaging* |
|
|
12,800 |
|
|
|
358 |
|
| Koppers Holdings |
|
|
1,100 |
|
|
|
36 |
|
| Louisiana-Pacific* |
|
|
13,748 |
|
|
|
187 |
|
| Materion |
|
|
3,300 |
|
|
|
101 |
|
| Myers Industries |
|
|
3,300 |
|
|
|
58 |
|
| PolyOne |
|
|
37,695 |
|
|
|
1,341 |
|
| Quaker Chemical |
|
|
1,600 |
|
|
|
115 |
|
| Rentech* |
|
|
25,200 |
|
|
|
43 |
|
| Schulman A |
|
|
3,700 |
|
|
|
134 |
|
| Senomyx (A)* |
|
|
8,700 |
|
|
|
71 |
|
| Sensient Technologies |
|
|
17,051 |
|
|
|
893 |
|
| Stillwater Mining (A)* |
|
|
24,800 |
|
|
|
373 |
|
| Taminco* |
|
|
25,778 |
|
|
|
673 |
|
| US Silica Holdings (A) |
|
|
19,068 |
|
|
|
1,192 |
|
| Worthington Industries |
|
|
21,900 |
|
|
|
815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.4% |
|
|
|
|
|
|
|
|
| Boingo Wireless* |
|
|
42,964 |
|
|
|
306 |
|
| RingCentral, Cl A* |
|
|
88,223 |
|
|
|
1,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.1% |
|
|
|
|
|
|
|
|
| American States Water |
|
|
5,800 |
|
|
|
177 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $296,381) ($ Thousands) |
|
|
|
|
|
|
326,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| EXCHANGE TRADED FUND — 0.2% |
|
| iShares Russell 2000 Growth ETF (A) |
|
|
5,224 |
|
|
$ |
677 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Fund
(Cost $725) ($ Thousands) |
|
|
|
|
|
|
677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS — 0.0% |
|
|
|
|
|
|
|
|
| Furiex Pharmaceuticals — CVR |
|
|
800 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $—) ($Thousands) |
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.0% |
|
|
|
|
|
| Genie Energy Ltd* |
|
|
9,400 |
|
|
|
68 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $105) ($ Thousands) |
|
|
|
|
|
|
68 |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 16.3% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.
0.080%**†† (B) |
|
|
55,195,281 |
|
|
|
55,195 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $55,195) ($ Thousands) |
|
|
|
|
|
|
55,195 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 3.0% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
10,069,059 |
|
|
|
10,069 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $10,069) ($ Thousands) |
|
|
|
|
|
|
10,069 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (F) — 0.1% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.046%, 03/05/15 |
|
$ |
367 |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $367) ($ Thousands) |
|
|
|
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 115.9%
(Cost $363,467) ($ Thousands) |
|
|
|
|
|
$ |
392,659 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation ($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
20 |
|
|
|
Dec-2014 |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $338,817 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| ‡ |
|
Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.
|
| (A) |
|
This security of a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan as of September 30, 2014 was
$52,772 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014 was
$55,195 ($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
| (D) |
|
Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2014 was $68 ($ Thousands) and represented 0.02% of Net
Assets. |
| (E) |
|
Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of
September 30, 2014 was $68 ($ Thousands) and represented 0.02% of Net Assets. |
| (F) |
|
The rate reported is the effective yield at the time of purchase. |
Cl — Class
CVR — Contingent Value Rights
ETF — Exchange Traded Fund
L.P. — Limited
Partnership
Ltd. — Limited
The
following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 (1) |
|
|
Total |
|
| Common Stock |
|
$ |
326,215 |
|
|
$ |
— |
|
|
$ |
68 |
|
|
$ |
326,283 |
|
| Exchange Traded Fund |
|
|
677 |
|
|
|
— |
|
|
|
— |
|
|
|
677 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Preferred Stock |
|
|
— |
|
|
|
68 |
|
|
|
— |
|
|
|
68 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
55,195 |
|
|
|
— |
|
|
|
55,195 |
|
| Cash Equivalent |
|
|
10,069 |
|
|
|
— |
|
|
|
— |
|
|
|
10,069 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
367 |
|
|
|
— |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
336,961 |
|
|
$ |
55,630 |
|
|
$ |
68 |
|
|
$ |
392,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(114 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(114 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
| (1) |
|
A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to
the net assets. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and
liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 93.2% |
|
|
|
| Consumer Discretionary — 13.0% |
|
|
|
|
|
| Aaron’s |
|
|
2,100 |
|
|
$ |
51 |
|
| Abercrombie & Fitch, Cl A |
|
|
11,590 |
|
|
|
421 |
|
| Advance Auto Parts |
|
|
6,153 |
|
|
|
802 |
|
| Aeropostale (A)* |
|
|
115,298 |
|
|
|
379 |
|
| AMC Networks, Cl A* |
|
|
717 |
|
|
|
42 |
|
| American Axle & Manufacturing Holdings* |
|
|
3,600 |
|
|
|
60 |
|
| American Eagle Outfitters (A) |
|
|
99,741 |
|
|
|
1,448 |
|
| America’s Car-Mart* |
|
|
1,300 |
|
|
|
51 |
|
| ANN* |
|
|
4,100 |
|
|
|
169 |
|
| Apollo Education Group, Cl A* |
|
|
867 |
|
|
|
22 |
|
| Aramark |
|
|
4,079 |
|
|
|
107 |
|
| Arctic Cat |
|
|
9,884 |
|
|
|
344 |
|
| Asbury Automotive Group* |
|
|
2,041 |
|
|
|
132 |
|
| Ascent Capital Group, Cl A* |
|
|
2,217 |
|
|
|
133 |
|
| Autoliv (A) |
|
|
7,000 |
|
|
|
644 |
|
| Autonation* |
|
|
1,905 |
|
|
|
96 |
|
| Bally Technologies* |
|
|
3,100 |
|
|
|
250 |
|
| Barnes & Noble* |
|
|
1,500 |
|
|
|
30 |
|
| Beazer Homes USA, Cl A* |
|
|
7,301 |
|
|
|
123 |
|
| Bed Bath & Beyond* |
|
|
10,079 |
|
|
|
664 |
|
| Belmond, Cl A (A)* |
|
|
5,400 |
|
|
|
63 |
|
| Big Lots |
|
|
27,740 |
|
|
|
1,194 |
|
| Biglari Holdings* |
|
|
461 |
|
|
|
157 |
|
| BJ’s Restaurants* |
|
|
7,157 |
|
|
|
258 |
|
| Bloomin’ Brands* |
|
|
17,720 |
|
|
|
325 |
|
| Bob Evans Farms |
|
|
1,700 |
|
|
|
81 |
|
| BorgWarner |
|
|
11,640 |
|
|
|
612 |
|
| Boyd Gaming* |
|
|
3,600 |
|
|
|
37 |
|
| Bright Horizons Family Solutions* |
|
|
14,619 |
|
|
|
615 |
|
| Brinker International |
|
|
9,400 |
|
|
|
477 |
|
| Brown Shoe |
|
|
2,700 |
|
|
|
73 |
|
| Brunswick |
|
|
14,234 |
|
|
|
600 |
|
| Buckle (A) |
|
|
4,078 |
|
|
|
185 |
|
| Buffalo Wild Wings* |
|
|
4,373 |
|
|
|
587 |
|
| Burger King Worldwide (A) |
|
|
506 |
|
|
|
15 |
|
| Burlington Stores (A)* |
|
|
10,030 |
|
|
|
400 |
|
| Cabela’s (A)* |
|
|
26,989 |
|
|
|
1,590 |
|
| Cablevision Systems, Cl A |
|
|
5,644 |
|
|
|
99 |
|
| Caesars Acquisition, Cl A* |
|
|
782 |
|
|
|
7 |
|
| Caesars Entertainment (A)* |
|
|
9,327 |
|
|
|
117 |
|
| Callaway Golf |
|
|
36,270 |
|
|
|
263 |
|
| Capella Education |
|
|
14,650 |
|
|
|
917 |
|
| Career Education* |
|
|
2,696 |
|
|
|
14 |
|
| Carrols Restaurant Group* |
|
|
1,575 |
|
|
|
11 |
|
| Carter’s |
|
|
2,200 |
|
|
|
170 |
|
| Cato, Cl A |
|
|
9,700 |
|
|
|
334 |
|
| Cheesecake Factory |
|
|
3,149 |
|
|
|
143 |
|
| Chico’s FAS |
|
|
5,500 |
|
|
|
81 |
|
| Children’s Place (A) |
|
|
8,248 |
|
|
|
393 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
1,516 |
|
|
|
1,011 |
|
| Christopher & Banks* |
|
|
1,651 |
|
|
|
16 |
|
| Chuy’s Holdings* |
|
|
8,451 |
|
|
|
265 |
|
| Cinemark Holdings |
|
|
1,913 |
|
|
|
65 |
|
| Citi Trends* |
|
|
653 |
|
|
|
14 |
|
| Columbia Sportswear |
|
|
1,000 |
|
|
|
36 |
|
| Container Store Group (A)* |
|
|
1,184 |
|
|
|
26 |
|
| Cooper Tire & Rubber |
|
|
18,400 |
|
|
|
528 |
|
| Core-Mark Holding, Cl A |
|
|
14,946 |
|
|
|
793 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Cracker Barrel Old Country Store |
|
|
600 |
|
|
$ |
62 |
|
| CSS Industries |
|
|
649 |
|
|
|
16 |
|
| CST Brands |
|
|
5,292 |
|
|
|
190 |
|
| Cumulus Media, Cl A* |
|
|
2,995 |
|
|
|
12 |
|
| Dana Holding |
|
|
54,869 |
|
|
|
1,052 |
|
| Deckers Outdoor* |
|
|
409 |
|
|
|
40 |
|
| DeVry |
|
|
1,257 |
|
|
|
54 |
|
| Dick’s Sporting Goods |
|
|
6,670 |
|
|
|
293 |
|
| Dillard’s, Cl A |
|
|
2,522 |
|
|
|
275 |
|
| DineEquity |
|
|
800 |
|
|
|
65 |
|
| Dollar General* |
|
|
8,114 |
|
|
|
496 |
|
| Domino’s Pizza |
|
|
2,231 |
|
|
|
172 |
|
| DR Horton |
|
|
7,350 |
|
|
|
151 |
|
| DSW, Cl A |
|
|
846 |
|
|
|
25 |
|
| Dunkin’ Brands Group |
|
|
2,386 |
|
|
|
107 |
|
| Entercom Communications* |
|
|
1,583 |
|
|
|
13 |
|
| Ethan Allen Interiors |
|
|
16,463 |
|
|
|
375 |
|
| EW Scripps, Cl A (A)* |
|
|
543 |
|
|
|
9 |
|
| Express* |
|
|
26,096 |
|
|
|
407 |
|
| Fiesta Restaurant Group* |
|
|
563 |
|
|
|
28 |
|
| Finish Line, Cl A |
|
|
862 |
|
|
|
22 |
|
| Five Below (A)* |
|
|
40,927 |
|
|
|
1,621 |
|
| Foot Locker, Cl A |
|
|
3,237 |
|
|
|
180 |
|
| Fossil Group* |
|
|
1,300 |
|
|
|
122 |
|
| Francesca’s Holdings* |
|
|
37,440 |
|
|
|
522 |
|
| GameStop, Cl A (A) |
|
|
28,902 |
|
|
|
1,191 |
|
| Gannett |
|
|
18,864 |
|
|
|
560 |
|
| Genesco* |
|
|
10,583 |
|
|
|
791 |
|
| Gentex |
|
|
2,600 |
|
|
|
70 |
|
| Gentherm* |
|
|
3,300 |
|
|
|
139 |
|
| Goodyear Tire & Rubber |
|
|
24,900 |
|
|
|
562 |
|
| Graham Holdings, Cl B |
|
|
42 |
|
|
|
29 |
|
| Grand Canyon Education* |
|
|
533 |
|
|
|
22 |
|
| Group 1 Automotive |
|
|
1,724 |
|
|
|
125 |
|
| Hanesbrands |
|
|
1,788 |
|
|
|
192 |
|
| Harley-Davidson, Cl A |
|
|
17,753 |
|
|
|
1,033 |
|
| Harman International Industries, Cl A |
|
|
1,600 |
|
|
|
157 |
|
| Hasbro |
|
|
8,180 |
|
|
|
450 |
|
| Helen of Troy* |
|
|
2,400 |
|
|
|
126 |
|
| Hibbett Sports* |
|
|
1,500 |
|
|
|
64 |
|
| Hilton Worldwide Holdings* |
|
|
31,311 |
|
|
|
771 |
|
| HomeAway* |
|
|
16,876 |
|
|
|
599 |
|
| HSN, Cl A |
|
|
17,792 |
|
|
|
1,092 |
|
| Iconix Brand Group* |
|
|
1,300 |
|
|
|
48 |
|
| Imax* |
|
|
29,364 |
|
|
|
806 |
|
| International Game Technology |
|
|
38,688 |
|
|
|
653 |
|
| International Speedway, Cl A |
|
|
900 |
|
|
|
29 |
|
| Interpublic Group |
|
|
33,148 |
|
|
|
607 |
|
| Isle of Capri Casinos* |
|
|
14,702 |
|
|
|
110 |
|
| J.C. Penney (A)* |
|
|
48,420 |
|
|
|
486 |
|
| Jack in the Box |
|
|
560 |
|
|
|
38 |
|
| Jarden* |
|
|
3,150 |
|
|
|
189 |
|
| John Wiley & Sons, Cl A |
|
|
900 |
|
|
|
51 |
|
| Journal Communications, Cl A* |
|
|
13,350 |
|
|
|
113 |
|
| Kate Spade* |
|
|
1,744 |
|
|
|
46 |
|
| KB Home |
|
|
11,353 |
|
|
|
170 |
|
| Krispy Kreme Doughnuts* |
|
|
74,225 |
|
|
|
1,274 |
|
| Lamar Advertising, Cl A |
|
|
1,502 |
|
|
|
74 |
|
| Lands’ End* |
|
|
236 |
|
|
|
10 |
|
| La-Z-Boy, Cl Z |
|
|
513 |
|
|
|
10 |
|
| Lear |
|
|
15,285 |
|
|
|
1,321 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Leggett & Platt |
|
|
2,310 |
|
|
$ |
81 |
|
| Lennar, Cl A |
|
|
3,465 |
|
|
|
134 |
|
| Libbey* |
|
|
11,000 |
|
|
|
289 |
|
| Liberty TripAdvisor Holdings, Cl A* |
|
|
1,338 |
|
|
|
45 |
|
| Liberty Ventures, Ser A* |
|
|
1,338 |
|
|
|
51 |
|
| Life Time Fitness* |
|
|
800 |
|
|
|
40 |
|
| LifeLock (A)* |
|
|
846 |
|
|
|
12 |
|
| Lions Gate Entertainment |
|
|
5,485 |
|
|
|
181 |
|
| Lithia Motors, Cl A |
|
|
1,589 |
|
|
|
120 |
|
| Live Nation* |
|
|
5,200 |
|
|
|
125 |
|
| LKQ* |
|
|
34,746 |
|
|
|
924 |
|
| Loral Space & Communications* |
|
|
800 |
|
|
|
57 |
|
| Lumber Liquidators Holdings* |
|
|
3,520 |
|
|
|
202 |
|
| M/I Homes* |
|
|
595 |
|
|
|
12 |
|
| Madison Square Garden, Cl A* |
|
|
3,928 |
|
|
|
260 |
|
| Marcus |
|
|
723 |
|
|
|
11 |
|
| Matthews International, Cl A (A) |
|
|
13,564 |
|
|
|
595 |
|
| Mattress Firm Holding* |
|
|
220 |
|
|
|
13 |
|
| MDC Holdings |
|
|
2,000 |
|
|
|
51 |
|
| Men’s Wearhouse |
|
|
1,237 |
|
|
|
58 |
|
| Meredith |
|
|
13,204 |
|
|
|
565 |
|
| Meritage Homes* |
|
|
4,483 |
|
|
|
159 |
|
| Michael Kors Holdings* |
|
|
10,208 |
|
|
|
729 |
|
| Modine Manufacturing* |
|
|
2,100 |
|
|
|
25 |
|
| Mohawk Industries* |
|
|
6,272 |
|
|
|
846 |
|
| Monro Muffler (A) |
|
|
1,600 |
|
|
|
78 |
|
| Morgans Hotel Group* |
|
|
3,749 |
|
|
|
30 |
|
| Morningstar, Cl A |
|
|
300 |
|
|
|
20 |
|
| Multimedia Games Holding* |
|
|
8,402 |
|
|
|
303 |
|
| NACCO Industries, Cl A |
|
|
400 |
|
|
|
20 |
|
| Nathan’s Famous (A)* |
|
|
200 |
|
|
|
14 |
|
| National CineMedia |
|
|
42,271 |
|
|
|
613 |
|
| Nautilus* |
|
|
534 |
|
|
|
6 |
|
| NetFlix* |
|
|
2,558 |
|
|
|
1,154 |
|
| New York Times, Cl A |
|
|
11,962 |
|
|
|
134 |
|
| Newell Rubbermaid, Cl B |
|
|
17,223 |
|
|
|
593 |
|
| Nexstar Broadcasting Group, Cl A |
|
|
532 |
|
|
|
22 |
|
| Norwegian Cruise Line Holdings* |
|
|
18,229 |
|
|
|
657 |
|
| NVR* |
|
|
262 |
|
|
|
296 |
|
| Office Depot* |
|
|
27,939 |
|
|
|
144 |
|
| Outerwall (A)* |
|
|
1,200 |
|
|
|
67 |
|
| Oxford Industries, Cl A |
|
|
3,969 |
|
|
|
242 |
|
| Panera Bread, Cl A* |
|
|
8,513 |
|
|
|
1,385 |
|
| Papa John’s International, Cl A |
|
|
226 |
|
|
|
9 |
|
| Papa Murphy’s Holdings (A)* |
|
|
1,688 |
|
|
|
17 |
|
| Penn National Gaming* |
|
|
4,931 |
|
|
|
55 |
|
| Penske Auto Group, Cl A |
|
|
1,800 |
|
|
|
73 |
|
| Pep Boys-Manny Moe & Jack* |
|
|
30,060 |
|
|
|
268 |
|
| PetSmart |
|
|
12,380 |
|
|
|
868 |
|
| Pier 1 Imports |
|
|
43,198 |
|
|
|
514 |
|
| Pinnacle Entertainment* |
|
|
527 |
|
|
|
13 |
|
| Polaris Industries |
|
|
1,672 |
|
|
|
250 |
|
| Pool |
|
|
20,603 |
|
|
|
1,111 |
|
| Popeyes Louisiana Kitchen* |
|
|
5,887 |
|
|
|
238 |
|
| Potbelly (A) |
|
|
9,023 |
|
|
|
105 |
|
| PulteGroup |
|
|
7,423 |
|
|
|
131 |
|
| PVH |
|
|
893 |
|
|
|
108 |
|
| Ralph Lauren, Cl A |
|
|
7,129 |
|
|
|
1,174 |
|
| Red Robin Gourmet Burgers* |
|
|
800 |
|
|
|
46 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Regal Entertainment Group, Cl A (A) |
|
|
1,592 |
|
|
$ |
32 |
|
| Regis |
|
|
8,334 |
|
|
|
133 |
|
| Ruby Tuesday* |
|
|
3,000 |
|
|
|
18 |
|
| Ruth’s Chris Steak House |
|
|
1,450 |
|
|
|
16 |
|
| Ryland Group |
|
|
14,252 |
|
|
|
474 |
|
| Sally Beauty Holdings* |
|
|
62,468 |
|
|
|
1,710 |
|
| Scholastic, Cl B |
|
|
4,931 |
|
|
|
159 |
|
| Scientific Games, Cl A* |
|
|
34,562 |
|
|
|
372 |
|
| Select Comfort* |
|
|
7,895 |
|
|
|
165 |
|
| Service International |
|
|
6,700 |
|
|
|
141 |
|
| Shutterfly* |
|
|
2,730 |
|
|
|
133 |
|
| Signet Jewelers |
|
|
10,653 |
|
|
|
1,214 |
|
| Sinclair Broadcast Group, Cl A |
|
|
621 |
|
|
|
16 |
|
| Six Flags Entertainment |
|
|
312 |
|
|
|
11 |
|
| Skechers U.S.A., Cl A* |
|
|
21,398 |
|
|
|
1,141 |
|
| Skullcandy* |
|
|
3,473 |
|
|
|
27 |
|
| Sonic |
|
|
1,045 |
|
|
|
23 |
|
| Sonic Automotive, Cl A |
|
|
477 |
|
|
|
12 |
|
| Sotheby’s (A) |
|
|
1,400 |
|
|
|
50 |
|
| Stage Stores |
|
|
17,500 |
|
|
|
299 |
|
| Standard-Pacific* |
|
|
94,736 |
|
|
|
709 |
|
| Starz - Liberty Capital* |
|
|
3,849 |
|
|
|
127 |
|
| Steven Madden* |
|
|
11,397 |
|
|
|
367 |
|
| Stoneridge* |
|
|
1,763 |
|
|
|
20 |
|
| Strayer Education (A)* |
|
|
1,898 |
|
|
|
114 |
|
| Taylor Morrison Home, Cl A* |
|
|
6,799 |
|
|
|
110 |
|
| Tempur Sealy International* |
|
|
8,233 |
|
|
|
462 |
|
| Tenneco* |
|
|
14,569 |
|
|
|
762 |
|
| Tesla Motors* |
|
|
4,407 |
|
|
|
1,070 |
|
| Texas Roadhouse, Cl A |
|
|
991 |
|
|
|
28 |
|
| Thor Industries |
|
|
700 |
|
|
|
36 |
|
| Tile Shop Holdings (A)* |
|
|
52,253 |
|
|
|
483 |
|
| Toll Brothers* |
|
|
3,528 |
|
|
|
110 |
|
| TripAdvisor* |
|
|
4,810 |
|
|
|
440 |
|
| TRW Automotive Holdings* |
|
|
2,355 |
|
|
|
239 |
|
| Tuesday Morning (A)* |
|
|
44,322 |
|
|
|
860 |
|
| Tumi Holdings (A)* |
|
|
13,321 |
|
|
|
271 |
|
| Tupperware Brands |
|
|
1,200 |
|
|
|
83 |
|
| Ulta Salon Cosmetics & Fragrance* |
|
|
10,360 |
|
|
|
1,224 |
|
| Under Armour, Cl A* |
|
|
2,876 |
|
|
|
199 |
|
| Urban Outfitters* |
|
|
21,331 |
|
|
|
783 |
|
| Vail Resorts |
|
|
9,395 |
|
|
|
815 |
|
| Vera Bradley* |
|
|
7,294 |
|
|
|
151 |
|
| Vince Holding* |
|
|
14,200 |
|
|
|
430 |
|
| Visteon* |
|
|
5,986 |
|
|
|
582 |
|
| Vitamin Shoppe* |
|
|
2,650 |
|
|
|
118 |
|
| Wendy’s |
|
|
4,493 |
|
|
|
37 |
|
| Whirlpool |
|
|
5,200 |
|
|
|
757 |
|
| Williams-Sonoma |
|
|
11,752 |
|
|
|
782 |
|
| Winnebago Industries* |
|
|
1,852 |
|
|
|
40 |
|
| Wolverine World Wide (A) |
|
|
1,400 |
|
|
|
35 |
|
| World Wrestling Entertainment, Cl A (A) |
|
|
900 |
|
|
|
12 |
|
| Wynn Resorts |
|
|
2,125 |
|
|
|
398 |
|
| Zoe’s Kitchen* |
|
|
11,958 |
|
|
|
368 |
|
| zulily, Cl A* |
|
|
8,563 |
|
|
|
324 |
|
| Zumiez* |
|
|
550 |
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,707 |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 3.2% |
|
| Annie’s* |
|
|
11,883 |
|
|
|
545 |
|
| Avon Products |
|
|
26,996 |
|
|
|
340 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| B&G Foods, Cl A |
|
|
2,800 |
|
|
$ |
77 |
|
| Boston Beer, Cl A (A)* |
|
|
489 |
|
|
|
108 |
|
| Cal-Maine Foods |
|
|
1,100 |
|
|
|
98 |
|
| Casey’s General Stores |
|
|
10,240 |
|
|
|
734 |
|
| Central Garden and Pet, Cl A* |
|
|
7,100 |
|
|
|
57 |
|
| Chefs’ Warehouse Holdings (A)* |
|
|
17,920 |
|
|
|
291 |
|
| Coca-Cola Enterprises |
|
|
9,282 |
|
|
|
412 |
|
| Constellation Brands, Cl A* |
|
|
353 |
|
|
|
31 |
|
| Darling Ingredients* |
|
|
60,876 |
|
|
|
1,115 |
|
| Dean Foods (A) |
|
|
2,650 |
|
|
|
35 |
|
| Diamond Foods* |
|
|
1,500 |
|
|
|
43 |
|
| Energizer Holdings |
|
|
10,900 |
|
|
|
1,343 |
|
| Flowers Foods |
|
|
4,500 |
|
|
|
83 |
|
| Fresh Del Monte Produce |
|
|
10,000 |
|
|
|
319 |
|
| Fresh Market* |
|
|
3,016 |
|
|
|
105 |
|
| Hain Celestial Group* |
|
|
1,700 |
|
|
|
174 |
|
| Herbalife (A) |
|
|
2,400 |
|
|
|
105 |
|
| Ingredion |
|
|
6,334 |
|
|
|
480 |
|
| J&J Snack Foods |
|
|
12,068 |
|
|
|
1,129 |
|
| JM Smucker |
|
|
11,482 |
|
|
|
1,137 |
|
| Keurig Green Mountain |
|
|
739 |
|
|
|
96 |
|
| Kroger |
|
|
13,284 |
|
|
|
691 |
|
| Lancaster Colony (A) |
|
|
2,331 |
|
|
|
199 |
|
| Medifast* |
|
|
931 |
|
|
|
31 |
|
| Molson Coors Brewing, Cl B |
|
|
10,490 |
|
|
|
781 |
|
| Monster Beverage* |
|
|
4,735 |
|
|
|
434 |
|
| Nu Skin Enterprises, Cl A |
|
|
900 |
|
|
|
40 |
|
| Omega Protein* |
|
|
23,400 |
|
|
|
292 |
|
| Pantry* |
|
|
14,221 |
|
|
|
288 |
|
| Post Holdings (A)* |
|
|
500 |
|
|
|
17 |
|
| Rite Aid* |
|
|
15,025 |
|
|
|
73 |
|
| Safeway |
|
|
11,400 |
|
|
|
391 |
|
| Sanderson Farms (A) |
|
|
1,000 |
|
|
|
88 |
|
| Snyder’s-Lance |
|
|
7,852 |
|
|
|
208 |
|
| SpartanNash |
|
|
24,477 |
|
|
|
476 |
|
| Spectrum Brands Holdings |
|
|
9,521 |
|
|
|
862 |
|
| Sprouts Farmers Market (A)* |
|
|
31,154 |
|
|
|
906 |
|
| SUPERVALU* |
|
|
55,338 |
|
|
|
495 |
|
| SYSCO, Cl A |
|
|
15,954 |
|
|
|
605 |
|
| TreeHouse Foods* |
|
|
8,728 |
|
|
|
703 |
|
| United Natural Foods* |
|
|
3,596 |
|
|
|
221 |
|
| Universal (A) |
|
|
5,400 |
|
|
|
240 |
|
| USANA Health Sciences (A)* |
|
|
4,700 |
|
|
|
346 |
|
| Vector Group (A) |
|
|
3,699 |
|
|
|
82 |
|
| WD-40 |
|
|
400 |
|
|
|
27 |
|
| Weis Markets |
|
|
3,800 |
|
|
|
148 |
|
| WhiteWave Foods, Cl A* |
|
|
20,031 |
|
|
|
728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 5.2% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum* |
|
|
5,943 |
|
|
|
31 |
|
| Alon USA Energy |
|
|
841 |
|
|
|
12 |
|
| Amyris (A)* |
|
|
3,746 |
|
|
|
14 |
|
| Antero Resources* |
|
|
6,810 |
|
|
|
374 |
|
| Arch Coal (A) |
|
|
46,621 |
|
|
|
99 |
|
| Athlon Energy* |
|
|
21,109 |
|
|
|
1,229 |
|
| Bill Barrett (A)* |
|
|
10,632 |
|
|
|
234 |
|
| Bonanza Creek Energy* |
|
|
14,610 |
|
|
|
831 |
|
| Bristow Group |
|
|
700 |
|
|
|
47 |
|
| C&J Energy Services* |
|
|
28,700 |
|
|
|
877 |
|
| Callon Petroleum* |
|
|
2,924 |
|
|
|
26 |
|
| Carrizo Oil & Gas* |
|
|
6,145 |
|
|
|
331 |
|
| Cheniere Energy* |
|
|
5,327 |
|
|
|
426 |
|
| Clean Energy Fuels* |
|
|
1,077 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Comstock Resources (A) |
|
|
1,190 |
|
|
$ |
22 |
|
| Concho Resources* |
|
|
6,090 |
|
|
|
764 |
|
| Contango Oil & Gas* |
|
|
3,092 |
|
|
|
103 |
|
| Dawson Geophysical |
|
|
793 |
|
|
|
14 |
|
| Denbury Resources |
|
|
7,116 |
|
|
|
107 |
|
| Diamondback Energy, Cl A* |
|
|
10,189 |
|
|
|
762 |
|
| Dresser-Rand Group* |
|
|
2,636 |
|
|
|
217 |
|
| Dril-Quip* |
|
|
4,900 |
|
|
|
438 |
|
| Emerald Oil* |
|
|
1,498 |
|
|
|
9 |
|
| Energen |
|
|
2,800 |
|
|
|
202 |
|
| EnLink Midstream |
|
|
1,172 |
|
|
|
48 |
|
| EQT |
|
|
8,525 |
|
|
|
780 |
|
| Era Group* |
|
|
500 |
|
|
|
11 |
|
| Exterran Holdings |
|
|
25,571 |
|
|
|
1,133 |
|
| Forum Energy Technologies* |
|
|
3,483 |
|
|
|
107 |
|
| Gastar Exploration (A)* |
|
|
3,746 |
|
|
|
22 |
|
| Golar LNG |
|
|
3,200 |
|
|
|
212 |
|
| Goodrich Petroleum (A)* |
|
|
2,199 |
|
|
|
33 |
|
| Gulfport Energy* |
|
|
2,988 |
|
|
|
160 |
|
| Halcon Resources, Cl A (A)* |
|
|
5,558 |
|
|
|
22 |
|
| Hallador Energy |
|
|
1,311 |
|
|
|
15 |
|
| Helix Energy Solutions Group* |
|
|
38,660 |
|
|
|
853 |
|
| Helmerich & Payne |
|
|
15,849 |
|
|
|
1,551 |
|
| Hercules Offshore (A)* |
|
|
52,229 |
|
|
|
115 |
|
| HollyFrontier |
|
|
2,212 |
|
|
|
97 |
|
| Key Energy Services* |
|
|
3,100 |
|
|
|
15 |
|
| Kodiak Oil & Gas* |
|
|
9,063 |
|
|
|
123 |
|
| Kosmos Energy* |
|
|
46,032 |
|
|
|
458 |
|
| Laredo Petroleum* |
|
|
61,254 |
|
|
|
1,373 |
|
| LinnCo |
|
|
2,688 |
|
|
|
78 |
|
| Magnum Hunter Resources* |
|
|
4,668 |
|
|
|
26 |
|
| Matador Resources* |
|
|
17,834 |
|
|
|
461 |
|
| McDermott International* |
|
|
85,303 |
|
|
|
488 |
|
| Nabors Industries |
|
|
16,862 |
|
|
|
384 |
|
| Natural Gas Services Group* |
|
|
1,469 |
|
|
|
35 |
|
| Newfield Exploration* |
|
|
22,572 |
|
|
|
837 |
|
| Newpark Resources, Cl A* |
|
|
30,660 |
|
|
|
381 |
|
| Nordic American Tankers, Cl US (A) |
|
|
1,392 |
|
|
|
11 |
|
| Northern Oil And Gas* |
|
|
7,119 |
|
|
|
101 |
|
| Oasis Petroleum* |
|
|
40,289 |
|
|
|
1,684 |
|
| Oceaneering International, Cl A |
|
|
2,699 |
|
|
|
176 |
|
| Oil States International* |
|
|
1,249 |
|
|
|
77 |
|
| Panhandle Oil and Gas, Cl A |
|
|
600 |
|
|
|
36 |
|
| Patterson-UTI Energy |
|
|
19,700 |
|
|
|
641 |
|
| PDC Energy, Cl A* |
|
|
19,003 |
|
|
|
956 |
|
| Peabody Energy (A) |
|
|
8,411 |
|
|
|
104 |
|
| Penn Virginia* |
|
|
1,095 |
|
|
|
14 |
|
| Pioneer Energy Services* |
|
|
1,540 |
|
|
|
22 |
|
| Pioneer Natural Resources |
|
|
3,785 |
|
|
|
746 |
|
| QEP Resources |
|
|
4,252 |
|
|
|
131 |
|
| Range Resources |
|
|
2,470 |
|
|
|
167 |
|
| Rex Energy* |
|
|
9,836 |
|
|
|
125 |
|
| RigNet, Cl A* |
|
|
519 |
|
|
|
21 |
|
| Ring Energy* |
|
|
15,414 |
|
|
|
227 |
|
| Rosetta Resources* |
|
|
8,325 |
|
|
|
371 |
|
| RPC |
|
|
560 |
|
|
|
12 |
|
| RSP Permian* |
|
|
22,368 |
|
|
|
572 |
|
| Sanchez Energy (A)* |
|
|
442 |
|
|
|
12 |
|
| SEACOR Holdings, Cl A* |
|
|
500 |
|
|
|
37 |
|
| SemGroup, Cl A |
|
|
407 |
|
|
|
34 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| SM Energy |
|
|
1,490 |
|
|
$ |
116 |
|
| Solazyme (A)* |
|
|
26,467 |
|
|
|
197 |
|
| Spectra Energy |
|
|
19,405 |
|
|
|
762 |
|
| Stone Energy, Cl A* |
|
|
13,184 |
|
|
|
413 |
|
| Superior Energy Services |
|
|
33,918 |
|
|
|
1,115 |
|
| Swift Energy, Cl A* |
|
|
15,367 |
|
|
|
148 |
|
| Targa Resources |
|
|
467 |
|
|
|
64 |
|
| Tesoro |
|
|
14,233 |
|
|
|
868 |
|
| TETRA Technologies* |
|
|
45,582 |
|
|
|
493 |
|
| Tidewater, Cl A |
|
|
275 |
|
|
|
11 |
|
| Triangle Petroleum (A)* |
|
|
1,490 |
|
|
|
16 |
|
| Ultra Petroleum* |
|
|
5,018 |
|
|
|
117 |
|
| Unit* |
|
|
863 |
|
|
|
51 |
|
| VAALCO Energy* |
|
|
3,345 |
|
|
|
28 |
|
| Warren Resources* |
|
|
87,500 |
|
|
|
464 |
|
| Western Refining |
|
|
27,138 |
|
|
|
1,140 |
|
| Willbros Group* |
|
|
1,500 |
|
|
|
13 |
|
| World Fuel Services |
|
|
1,200 |
|
|
|
48 |
|
| WPX Energy* |
|
|
14,410 |
|
|
|
347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 19.3% |
|
|
|
|
|
|
|
|
| 1st Source |
|
|
4,900 |
|
|
|
140 |
|
| 1st United Bancorp |
|
|
1,336 |
|
|
|
11 |
|
| Acadia Realty Trust† |
|
|
37,048 |
|
|
|
1,022 |
|
| Affiliated Managers Group* |
|
|
7,614 |
|
|
|
1,526 |
|
| Alexander’s† |
|
|
100 |
|
|
|
37 |
|
| Alexandria Real Estate Equities† |
|
|
10,497 |
|
|
|
774 |
|
| Alleghany* |
|
|
298 |
|
|
|
125 |
|
| Allied World Assurance Holdings |
|
|
18,600 |
|
|
|
685 |
|
| Allstate |
|
|
8,087 |
|
|
|
496 |
|
| Altisource Residential† |
|
|
525 |
|
|
|
13 |
|
| Ambac Financial Group, Cl B (A)* |
|
|
1,198 |
|
|
|
27 |
|
| American Assets Trust† |
|
|
28,220 |
|
|
|
930 |
|
| American Campus Communities† |
|
|
28,488 |
|
|
|
1,038 |
|
| American Capital* |
|
|
8,900 |
|
|
|
126 |
|
| American Equity Investment Life Holding |
|
|
4,000 |
|
|
|
92 |
|
| American Financial Group |
|
|
13,800 |
|
|
|
799 |
|
| American National Insurance |
|
|
4,000 |
|
|
|
450 |
|
| American Residential Properties (A)*† |
|
|
8,376 |
|
|
|
154 |
|
| Ameriprise Financial |
|
|
5,318 |
|
|
|
656 |
|
| Ameris Bancorp |
|
|
612 |
|
|
|
13 |
|
| Amerisafe |
|
|
1,639 |
|
|
|
64 |
|
| Ames National, Cl B (A) |
|
|
463 |
|
|
|
10 |
|
| Anworth Mortgage Asset† |
|
|
27,389 |
|
|
|
131 |
|
| Aon |
|
|
8,200 |
|
|
|
719 |
|
| Apartment Investment & Management, Cl A† |
|
|
3,753 |
|
|
|
119 |
|
| Apollo Commercial Real Estate Finance† |
|
|
2,950 |
|
|
|
46 |
|
| Arch Capital Group* |
|
|
3,336 |
|
|
|
183 |
|
| Ares Capital |
|
|
10,969 |
|
|
|
177 |
|
| Ares Commercial Real Estate† |
|
|
1,575 |
|
|
|
18 |
|
| Argo Group International Holdings |
|
|
4,487 |
|
|
|
226 |
|
| Armada Hoffler Properties† |
|
|
908 |
|
|
|
8 |
|
| Arthur J. Gallagher |
|
|
3,767 |
|
|
|
171 |
|
| Artisan Partners Asset Management, Cl A |
|
|
368 |
|
|
|
19 |
|
| Ashford Hospitality Trust† |
|
|
1,207 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Aspen Insurance Holdings |
|
|
8,500 |
|
|
$ |
364 |
|
| Associated Banc-Corp |
|
|
3,600 |
|
|
|
63 |
|
| Associated Estates Realty† |
|
|
3,300 |
|
|
|
58 |
|
| Assurant |
|
|
10,159 |
|
|
|
653 |
|
| Assured Guaranty |
|
|
6,000 |
|
|
|
133 |
|
| Axis Capital Holdings |
|
|
2,535 |
|
|
|
120 |
|
| Banco Latinoamericano de Exportaciones, Cl E |
|
|
21,159 |
|
|
|
649 |
|
| Bancorpsouth, Cl A |
|
|
583 |
|
|
|
12 |
|
| Bank Mutual |
|
|
2,912 |
|
|
|
19 |
|
| Bank of Hawaii |
|
|
900 |
|
|
|
51 |
|
| Bank of Marin Bancorp |
|
|
496 |
|
|
|
23 |
|
| Bank of the Ozarks |
|
|
32,535 |
|
|
|
1,026 |
|
| BankFinancial |
|
|
1,059 |
|
|
|
11 |
|
| BankUnited |
|
|
16,893 |
|
|
|
515 |
|
| Banner |
|
|
523 |
|
|
|
20 |
|
| BBCN Bancorp |
|
|
29,949 |
|
|
|
437 |
|
| Berkshire Hills Bancorp |
|
|
11,600 |
|
|
|
272 |
|
| BGC Partners, Cl A |
|
|
3,162 |
|
|
|
23 |
|
| BioMed Realty Trust† |
|
|
4,615 |
|
|
|
93 |
|
| BlackRock Kelso Capital |
|
|
2,400 |
|
|
|
21 |
|
| Blackstone Mortgage Trust, Cl A† |
|
|
11,367 |
|
|
|
308 |
|
| Boston Private Financial Holdings |
|
|
96,724 |
|
|
|
1,198 |
|
| Brandywine Realty Trust† |
|
|
46,377 |
|
|
|
653 |
|
| Bridge Capital Holdings* |
|
|
649 |
|
|
|
15 |
|
| Brixmor Property Group† |
|
|
8,180 |
|
|
|
182 |
|
| Brown & Brown |
|
|
2,724 |
|
|
|
88 |
|
| Calamos Asset Management, Cl A |
|
|
28,862 |
|
|
|
325 |
|
| Camden Property Trust† |
|
|
1,473 |
|
|
|
101 |
|
| Capitol Federal Financial |
|
|
1,659 |
|
|
|
20 |
|
| Capstead Mortgage (A)† |
|
|
1,900 |
|
|
|
23 |
|
| Cardinal Financial |
|
|
13,748 |
|
|
|
235 |
|
| Cascade Bancorp* |
|
|
3,176 |
|
|
|
16 |
|
| Cash America International |
|
|
520 |
|
|
|
23 |
|
| Cathay General Bancorp |
|
|
2,100 |
|
|
|
52 |
|
| CBL & Associates Properties† |
|
|
40,731 |
|
|
|
729 |
|
| CBRE Group, Cl A* |
|
|
31,362 |
|
|
|
933 |
|
| Cedar Realty Trust† |
|
|
1,931 |
|
|
|
11 |
|
| Chambers Street Properties (A)† |
|
|
5,859 |
|
|
|
44 |
|
| Charter Financial |
|
|
994 |
|
|
|
11 |
|
| Chatham Lodging Trust† |
|
|
669 |
|
|
|
15 |
|
| Chemical Financial |
|
|
10,100 |
|
|
|
272 |
|
| Chesapeake Lodging Trust† |
|
|
3,000 |
|
|
|
88 |
|
| Chimera Investment† |
|
|
35,088 |
|
|
|
107 |
|
| City National |
|
|
6,489 |
|
|
|
491 |
|
| CNA Financial |
|
|
12,400 |
|
|
|
472 |
|
| CNB Financial |
|
|
608 |
|
|
|
10 |
|
| CNO Financial Group |
|
|
117,143 |
|
|
|
1,987 |
|
| CoBiz Financial |
|
|
72,117 |
|
|
|
806 |
|
| Cohen & Steers (A) |
|
|
491 |
|
|
|
19 |
|
| Colony Financial† |
|
|
2,059 |
|
|
|
46 |
|
| Columbia Banking System |
|
|
1,330 |
|
|
|
33 |
|
| Commerce Bancshares |
|
|
1,767 |
|
|
|
79 |
|
| Community Trust Bancorp |
|
|
11,110 |
|
|
|
374 |
|
| Connectone Bancorp* |
|
|
1,704 |
|
|
|
32 |
|
| Consolidated-Tomoka Land |
|
|
276 |
|
|
|
14 |
|
| Corporate Office Properties Trust† |
|
|
5,120 |
|
|
|
132 |
|
| Corrections Corp of America† |
|
|
2,250 |
|
|
|
77 |
|
| Cousins Properties, Cl A† |
|
|
14,402 |
|
|
|
172 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Cowen Group, Cl A* |
|
|
3,345 |
|
|
$ |
13 |
|
| Credit Acceptance, Cl A* |
|
|
230 |
|
|
|
29 |
|
| CubeSmart† |
|
|
3,500 |
|
|
|
63 |
|
| CVB Financial |
|
|
14,812 |
|
|
|
213 |
|
| CYS Investments (A)† |
|
|
36,241 |
|
|
|
299 |
|
| DCT Industrial Trust† |
|
|
9,100 |
|
|
|
68 |
|
| DDR† |
|
|
6,338 |
|
|
|
106 |
|
| DiamondRock Hospitality† |
|
|
4,812 |
|
|
|
61 |
|
| Dime Community Bancshares |
|
|
15,500 |
|
|
|
223 |
|
| Douglas Emmett† |
|
|
1,822 |
|
|
|
47 |
|
| Duke Realty† |
|
|
7,859 |
|
|
|
135 |
|
| DuPont Fabros Technology† |
|
|
41,958 |
|
|
|
1,135 |
|
| Dynex Capital† |
|
|
2,399 |
|
|
|
19 |
|
| E*Trade Financial* |
|
|
12,220 |
|
|
|
276 |
|
| Eagle Bancorp* |
|
|
39,339 |
|
|
|
1,252 |
|
| East West Bancorp |
|
|
49,395 |
|
|
|
1,679 |
|
| EastGroup Properties† |
|
|
17,132 |
|
|
|
1,038 |
|
| Education Realty Trust, Cl A† |
|
|
111,706 |
|
|
|
1,148 |
|
| eHealth* |
|
|
4,926 |
|
|
|
119 |
|
| Empire State Realty Trust, Cl A (A)† |
|
|
999 |
|
|
|
15 |
|
| Employers Holdings |
|
|
17,888 |
|
|
|
344 |
|
| Encore Capital Group (A)* |
|
|
303 |
|
|
|
13 |
|
| Endurance Specialty Holdings (A) |
|
|
18,886 |
|
|
|
1,042 |
|
| Enstar Group* |
|
|
400 |
|
|
|
55 |
|
| EPR Properties, Cl A† |
|
|
11,390 |
|
|
|
577 |
|
| Equity Commonwealth† |
|
|
11,100 |
|
|
|
285 |
|
| Equity Lifestyle Properties† |
|
|
1,800 |
|
|
|
76 |
|
| Equity One, Cl A† |
|
|
16,882 |
|
|
|
365 |
|
| Erie Indemnity, Cl A |
|
|
2,000 |
|
|
|
152 |
|
| Essex Property Trust† |
|
|
697 |
|
|
|
125 |
|
| Evercore Partners, Cl A |
|
|
700 |
|
|
|
33 |
|
| Everest Re Group |
|
|
7,460 |
|
|
|
1,209 |
|
| Excel Trust† |
|
|
2,400 |
|
|
|
28 |
|
| Extra Space Storage† |
|
|
2,600 |
|
|
|
134 |
|
| Ezcorp, Cl A* |
|
|
1,038 |
|
|
|
10 |
|
| FBL Financial Group, Cl A |
|
|
2,500 |
|
|
|
112 |
|
| Federal Agricultural Mortgage, Cl C |
|
|
381 |
|
|
|
12 |
|
| Federal Realty Investment Trust† |
|
|
1,637 |
|
|
|
194 |
|
| Federated Investors, Cl B (A) |
|
|
9,971 |
|
|
|
293 |
|
| FelCor Lodging Trust† |
|
|
6,100 |
|
|
|
57 |
|
| Fifth Street Finance |
|
|
1,600 |
|
|
|
15 |
|
| Fifth Third Bancorp |
|
|
35,039 |
|
|
|
702 |
|
| Financial Engines |
|
|
9,167 |
|
|
|
314 |
|
| First American Financial |
|
|
3,200 |
|
|
|
87 |
|
| First Bancorp (A) |
|
|
1,688 |
|
|
|
28 |
|
| First BanCorp Puerto Rico* |
|
|
19,799 |
|
|
|
94 |
|
| First Busey |
|
|
2,233 |
|
|
|
12 |
|
| First Cash Financial Services* |
|
|
2,281 |
|
|
|
128 |
|
| First Citizens BancShares, Cl A |
|
|
499 |
|
|
|
108 |
|
| First Commonwealth Financial |
|
|
51,502 |
|
|
|
432 |
|
| First Financial Bancorp |
|
|
3,100 |
|
|
|
49 |
|
| First Financial Bankshares, Cl A (A) |
|
|
13,050 |
|
|
|
363 |
|
| First Financial Northwest |
|
|
979 |
|
|
|
10 |
|
| First Horizon National |
|
|
48,411 |
|
|
|
595 |
|
| First Industrial Realty Trust† |
|
|
4,500 |
|
|
|
76 |
|
| First Midwest Bancorp |
|
|
37,558 |
|
|
|
604 |
|
| First NBC Bank Holding* |
|
|
12,995 |
|
|
|
426 |
|
| First Niagara Financial Group |
|
|
35,900 |
|
|
|
299 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| First Potomac Realty Trust† |
|
|
3,400 |
|
|
$ |
40 |
|
| First Republic Bank |
|
|
2,614 |
|
|
|
129 |
|
| FirstMerit, Cl A |
|
|
8,048 |
|
|
|
142 |
|
| Flushing Financial |
|
|
1,600 |
|
|
|
29 |
|
| FNB (Pennsylvania) |
|
|
11,200 |
|
|
|
134 |
|
| FNF Group |
|
|
6,136 |
|
|
|
170 |
|
| FNFV Group* |
|
|
1,233 |
|
|
|
17 |
|
| Forest City Enterprises, Cl A* |
|
|
59,109 |
|
|
|
1,156 |
|
| Fox Chase Bancorp, Cl A |
|
|
613 |
|
|
|
10 |
|
| Franklin Street Properties† |
|
|
5,100 |
|
|
|
57 |
|
| Fulton Financial |
|
|
38,300 |
|
|
|
424 |
|
| FXCM, Cl A (A) |
|
|
29,719 |
|
|
|
471 |
|
| GAMCO Investors, Cl A |
|
|
400 |
|
|
|
28 |
|
| Gaming and Leisure Properties (A)† |
|
|
1,300 |
|
|
|
40 |
|
| Garrison Capital |
|
|
1,398 |
|
|
|
20 |
|
| Genworth Financial, Cl A* |
|
|
10,545 |
|
|
|
138 |
|
| Geo Group† |
|
|
2,419 |
|
|
|
93 |
|
| Getty Realty† |
|
|
3,100 |
|
|
|
53 |
|
| GFI Group |
|
|
4,000 |
|
|
|
22 |
|
| Glacier Bancorp, Cl A |
|
|
31,724 |
|
|
|
820 |
|
| Gladstone Commercial (A)† |
|
|
2,329 |
|
|
|
40 |
|
| Glimcher Realty Trust† |
|
|
61,020 |
|
|
|
826 |
|
| Gramercy Property Trust† |
|
|
6,858 |
|
|
|
40 |
|
| Greenhill (A) |
|
|
3,906 |
|
|
|
182 |
|
| Greenlight Capital Re* |
|
|
1,000 |
|
|
|
32 |
|
| Hampton Roads Bankshares (A)* |
|
|
6,129 |
|
|
|
9 |
|
| Hancock Holding, Cl A |
|
|
50,948 |
|
|
|
1,633 |
|
| Hanmi Financial |
|
|
586 |
|
|
|
12 |
|
| Hanover Insurance Group, Cl A |
|
|
38,140 |
|
|
|
2,343 |
|
| Hartford Financial Services Group |
|
|
18,429 |
|
|
|
686 |
|
| Hatteras Financial† |
|
|
2,449 |
|
|
|
44 |
|
| HCC Insurance Holdings |
|
|
1,700 |
|
|
|
82 |
|
| Healthcare Realty Trust† |
|
|
3,400 |
|
|
|
81 |
|
| Hercules Technology Growth Capital, Cl A (A) |
|
|
2,284 |
|
|
|
33 |
|
| Heritage Commerce |
|
|
1,359 |
|
|
|
11 |
|
| Hersha Hospitality Trust, Cl A† |
|
|
6,370 |
|
|
|
41 |
|
| HFF, Cl A |
|
|
12,864 |
|
|
|
372 |
|
| Highwoods Properties† |
|
|
14,896 |
|
|
|
580 |
|
| Hilltop Holdings* |
|
|
610 |
|
|
|
12 |
|
| Home BancShares |
|
|
15,256 |
|
|
|
449 |
|
| Home Loan Servicing Solutions |
|
|
1,783 |
|
|
|
38 |
|
| Home Properties† |
|
|
588 |
|
|
|
34 |
|
| Horace Mann Educators, Cl A |
|
|
23,303 |
|
|
|
664 |
|
| Hospitality Properties Trust† |
|
|
21,800 |
|
|
|
585 |
|
| Host Hotels & Resorts† |
|
|
29,019 |
|
|
|
619 |
|
| Howard Hughes* |
|
|
1,995 |
|
|
|
299 |
|
| Hudson City Bancorp, Cl A |
|
|
15,642 |
|
|
|
152 |
|
| Hudson Pacific Properties† |
|
|
1,170 |
|
|
|
29 |
|
| Hudson Valley Holding |
|
|
589 |
|
|
|
11 |
|
| Huntington Bancshares |
|
|
148,998 |
|
|
|
1,450 |
|
| IBERIABANK |
|
|
29,825 |
|
|
|
1,864 |
|
| Independent Bank (A) |
|
|
800 |
|
|
|
29 |
|
| Infinity Property & Casualty |
|
|
6,577 |
|
|
|
421 |
|
| Inland Real Estate† |
|
|
46,050 |
|
|
|
456 |
|
| International Bancshares |
|
|
1,392 |
|
|
|
34 |
|
| Invesco Mortgage Capital† |
|
|
3,246 |
|
|
|
51 |
|
| Investment Technology Group* |
|
|
715 |
|
|
|
11 |
|
| Investors Bancorp |
|
|
122,838 |
|
|
|
1,244 |
|
| iStar Financial*† |
|
|
1,894 |
|
|
|
26 |
|
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30,
2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Janus Capital Group (A) |
|
|
35,474 |
|
|
$ |
516 |
|
| Jones Lang LaSalle |
|
|
999 |
|
|
|
126 |
|
| Kemper, Cl A |
|
|
2,400 |
|
|
|
82 |
|
| Kennedy-Wilson Holdings |
|
|
33,283 |
|
|
|
797 |
|
| Kilroy Realty† |
|
|
1,275 |
|
|
|
76 |
|
| Kite Realty Group Trust† |
|
|
569 |
|
|
|
14 |
|
| LaSalle Hotel Properties† |
|
|
23,535 |
|
|
|
806 |
|
| Legg Mason |
|
|
2,550 |
|
|
|
130 |
|
| Lexington Realty Trust (A)† |
|
|
72,556 |
|
|
|
710 |
|
| Liberty Property Trust (A)† |
|
|
2,295 |
|
|
|
76 |
|
| LPL Financial Holdings |
|
|
655 |
|
|
|
30 |
|
| LTC Properties† |
|
|
2,500 |
|
|
|
92 |
|
| MainSource Financial Group |
|
|
1,220 |
|
|
|
21 |
|
| Manning & Napier, Cl A |
|
|
843 |
|
|
|
14 |
|
| Markel* |
|
|
320 |
|
|
|
204 |
|
| MarketAxess Holdings |
|
|
3,601 |
|
|
|
223 |
|
| MB Financial |
|
|
16,649 |
|
|
|
461 |
|
| MBIA* |
|
|
5,600 |
|
|
|
51 |
|
| MCG Capital |
|
|
3,030 |
|
|
|
11 |
|
| Meadowbrook Insurance Group |
|
|
6,300 |
|
|
|
37 |
|
| Medical Properties Trust† |
|
|
5,500 |
|
|
|
67 |
|
| Mercury General |
|
|
500 |
|
|
|
24 |
|
| MFA Financial (A)† |
|
|
122,993 |
|
|
|
957 |
|
| MGIC Investment* |
|
|
7,929 |
|
|
|
62 |
|
| Mid-America Apartment Communities† |
|
|
8,042 |
|
|
|
528 |
|
| Monmouth Real Estate Investment, Cl A (A)† |
|
|
2,183 |
|
|
|
22 |
|
| Montpelier Re Holdings |
|
|
18,100 |
|
|
|
563 |
|
| Moody’s |
|
|
12,731 |
|
|
|
1,203 |
|
| MSCI, Cl A |
|
|
2,800 |
|
|
|
132 |
|
| NASDAQ OMX Group, Cl A |
|
|
1,409 |
|
|
|
60 |
|
| National Bank Holdings, Cl A |
|
|
516 |
|
|
|
10 |
|
| National Health Investors† |
|
|
800 |
|
|
|
46 |
|
| National Penn Bancshares |
|
|
58,312 |
|
|
|
566 |
|
| National Retail Properties, Cl REIT (A)† |
|
|
2,469 |
|
|
|
85 |
|
| National Western Life Insurance, Cl A |
|
|
200 |
|
|
|
49 |
|
| Navigators Group* |
|
|
800 |
|
|
|
49 |
|
| NBT Bancorp |
|
|
800 |
|
|
|
18 |
|
| Nelnet, Cl A |
|
|
932 |
|
|
|
40 |
|
| New Residential Investment† |
|
|
3,268 |
|
|
|
19 |
|
| New York Mortgage Trust (A)† |
|
|
3,009 |
|
|
|
22 |
|
| Northfield Bancorp |
|
|
1,122 |
|
|
|
15 |
|
| NorthStar Asset Management Group* |
|
|
3,601 |
|
|
|
66 |
|
| NorthStar Realty Finance† |
|
|
3,601 |
|
|
|
64 |
|
| Northwest Bancshares |
|
|
4,100 |
|
|
|
50 |
|
| Ocwen Financial* |
|
|
4,200 |
|
|
|
110 |
|
| OFG Bancorp (A) |
|
|
23,834 |
|
|
|
357 |
|
| Old National Bancorp, Cl A |
|
|
4,800 |
|
|
|
62 |
|
| Old Republic International |
|
|
4,000 |
|
|
|
57 |
|
| Omega Healthcare Investors (A)† |
|
|
33,700 |
|
|
|
1,152 |
|
| OmniAmerican Bancorp, Cl A |
|
|
888 |
|
|
|
23 |
|
| One Liberty Properties (A)† |
|
|
635 |
|
|
|
13 |
|
| Oppenheimer Holdings, Cl A |
|
|
660 |
|
|
|
13 |
|
| Opus Bank* |
|
|
6,608 |
|
|
|
202 |
|
| Oritani Financial |
|
|
4,100 |
|
|
|
58 |
|
| Pacific Continental |
|
|
884 |
|
|
|
11 |
|
| PacWest Bancorp |
|
|
72,271 |
|
|
|
2,980 |
|
| Park National |
|
|
300 |
|
|
|
23 |
|
| Parkway Properties† |
|
|
1,187 |
|
|
|
22 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| PartnerRe |
|
|
14,878 |
|
|
$ |
1,635 |
|
| Pebblebrook Hotel Trust† |
|
|
47,337 |
|
|
|
1,768 |
|
| Pennsylvania† |
|
|
27,100 |
|
|
|
540 |
|
| PennyMac Mortgage Investment Trust† |
|
|
6,334 |
|
|
|
136 |
|
| Peoples Bancorp (A) |
|
|
840 |
|
|
|
20 |
|
| People’s United Financial |
|
|
9,000 |
|
|
|
130 |
|
| PHH* |
|
|
1,000 |
|
|
|
22 |
|
| Phoenix* |
|
|
230 |
|
|
|
13 |
|
| Physicians Realty Trust† |
|
|
763 |
|
|
|
11 |
|
| Piedmont Office Realty Trust, Cl A (A)† |
|
|
2,520 |
|
|
|
45 |
|
| Platinum Underwriters Holdings |
|
|
7,736 |
|
|
|
471 |
|
| Popular* |
|
|
11,540 |
|
|
|
340 |
|
| Portfolio Recovery Associates* |
|
|
1,200 |
|
|
|
63 |
|
| Post Properties† |
|
|
1,200 |
|
|
|
62 |
|
| Potlatch† |
|
|
4,057 |
|
|
|
163 |
|
| Preferred Bank |
|
|
479 |
|
|
|
11 |
|
| Principal Financial Group, Cl A |
|
|
7,000 |
|
|
|
367 |
|
| PrivateBancorp, Cl A |
|
|
11,302 |
|
|
|
338 |
|
| ProAssurance |
|
|
3,600 |
|
|
|
159 |
|
| Prosperity Bancshares |
|
|
9,377 |
|
|
|
536 |
|
| Protective Life |
|
|
1,466 |
|
|
|
102 |
|
| Provident Financial Services |
|
|
11,461 |
|
|
|
188 |
|
| PS Business Parks† |
|
|
3,811 |
|
|
|
290 |
|
| Pzena Investment Management, Cl A (A) |
|
|
1,239 |
|
|
|
12 |
|
| Radian Group (A) |
|
|
47,598 |
|
|
|
679 |
|
| Ramco-Gershenson Properties† |
|
|
2,300 |
|
|
|
37 |
|
| Raymond James Financial |
|
|
1,947 |
|
|
|
104 |
|
| Rayonier† |
|
|
1,703 |
|
|
|
53 |
|
| Realogy Holdings* |
|
|
10,819 |
|
|
|
402 |
|
| Redwood Trust (A)† |
|
|
1,200 |
|
|
|
20 |
|
| Regency Centers† |
|
|
1,585 |
|
|
|
85 |
|
| Regional Management* |
|
|
1,170 |
|
|
|
21 |
|
| Regions Financial |
|
|
39,500 |
|
|
|
397 |
|
| Reinsurance Group of America, Cl A |
|
|
13,116 |
|
|
|
1,051 |
|
| RenaissanceRe Holdings |
|
|
1,520 |
|
|
|
152 |
|
| Resource Capital† |
|
|
2,600 |
|
|
|
13 |
|
| Retail Opportunity Investments† |
|
|
10,108 |
|
|
|
149 |
|
| Rexford Industrial Realty† |
|
|
15,104 |
|
|
|
209 |
|
| RLI |
|
|
1,600 |
|
|
|
69 |
|
| RLJ Lodging Trust† |
|
|
17,849 |
|
|
|
508 |
|
| Ryman Hospitality Properties (A)† |
|
|
1,086 |
|
|
|
51 |
|
| S&T Bancorp |
|
|
5,000 |
|
|
|
117 |
|
| Sabra Health Care† |
|
|
2,365 |
|
|
|
58 |
|
| Safeguard Scientifics (A)* |
|
|
34,616 |
|
|
|
637 |
|
| Selective Insurance Group |
|
|
19,441 |
|
|
|
430 |
|
| Senior Housing Properties Trust† |
|
|
3,100 |
|
|
|
65 |
|
| Signature Bank NY, Cl B* |
|
|
12,022 |
|
|
|
1,347 |
|
| Silver Bay Realty Trust† |
|
|
17,157 |
|
|
|
278 |
|
| Southwest Bancorp |
|
|
1,279 |
|
|
|
21 |
|
| Sovran Self Storage† |
|
|
1,800 |
|
|
|
134 |
|
| Spirit Realty Capital† |
|
|
11,051 |
|
|
|
121 |
|
| St. Joe (A)* |
|
|
1,651 |
|
|
|
33 |
|
| STAG Industrial† |
|
|
5,138 |
|
|
|
106 |
|
| StanCorp Financial Group |
|
|
11,989 |
|
|
|
757 |
|
| Starwood Property Trust† |
|
|
2,300 |
|
|
|
51 |
|
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Starwood Waypoint Residential Trust† |
|
|
8,006 |
|
|
$ |
208 |
|
| State Bank Financial |
|
|
1,268 |
|
|
|
21 |
|
| Sterling Bancorp |
|
|
18,456 |
|
|
|
236 |
|
| Stifel Financial* |
|
|
15,932 |
|
|
|
747 |
|
| Strategic Hotels & Resorts*† |
|
|
8,200 |
|
|
|
96 |
|
| Summit Hotel Properties† |
|
|
2,321 |
|
|
|
25 |
|
| Sun Bancorp (A)* |
|
|
10,338 |
|
|
|
187 |
|
| Sun Communities† |
|
|
1,400 |
|
|
|
71 |
|
| Sunstone Hotel Investors† |
|
|
5,100 |
|
|
|
71 |
|
| SunTrust Banks |
|
|
17,965 |
|
|
|
683 |
|
| Susquehanna Bancshares |
|
|
16,744 |
|
|
|
167 |
|
| SVB Financial Group, Cl B* |
|
|
19,393 |
|
|
|
2,174 |
|
| Symetra Financial |
|
|
31,096 |
|
|
|
725 |
|
| Synovus Financial |
|
|
3,642 |
|
|
|
86 |
|
| Tanger Factory Outlet Centers† |
|
|
2,000 |
|
|
|
65 |
|
| Taubman Centers† |
|
|
1,400 |
|
|
|
102 |
|
| TCF Financial |
|
|
80,970 |
|
|
|
1,257 |
|
| TD Ameritrade Holding |
|
|
21,741 |
|
|
|
726 |
|
| Terreno Realty† |
|
|
654 |
|
|
|
12 |
|
| Texas Capital Bancshares* |
|
|
8,507 |
|
|
|
491 |
|
| TFS Financial |
|
|
7,901 |
|
|
|
113 |
|
| THL Credit |
|
|
883 |
|
|
|
11 |
|
| Trustmark |
|
|
1,750 |
|
|
|
40 |
|
| Two Harbors Investment† |
|
|
61,791 |
|
|
|
598 |
|
| UMB Financial |
|
|
8,607 |
|
|
|
470 |
|
| UMH Properties (A)† |
|
|
1,069 |
|
|
|
10 |
|
| Umpqua Holdings |
|
|
23,247 |
|
|
|
383 |
|
| United Bankshares |
|
|
4,300 |
|
|
|
133 |
|
| United Community Banks |
|
|
805 |
|
|
|
13 |
|
| United Fire Group |
|
|
4,000 |
|
|
|
111 |
|
| Universal Health Realty Income Trust† |
|
|
296 |
|
|
|
12 |
|
| Unum Group |
|
|
37,084 |
|
|
|
1,275 |
|
| Urstadt Biddle Properties, Cl A† |
|
|
1,048 |
|
|
|
21 |
|
| Validus Holdings |
|
|
15,363 |
|
|
|
601 |
|
| Valley National Bancorp (A) |
|
|
2,429 |
|
|
|
24 |
|
| ViewPoint Financial Group |
|
|
3,900 |
|
|
|
93 |
|
| Virtus Investment Partners |
|
|
1,110 |
|
|
|
193 |
|
| Waddell & Reed Financial, Cl A |
|
|
1,215 |
|
|
|
63 |
|
| Walter Investment Management (A)* |
|
|
1,156 |
|
|
|
25 |
|
| Washington† |
|
|
937 |
|
|
|
24 |
|
| Washington Federal |
|
|
1,500 |
|
|
|
31 |
|
| Webster Financial |
|
|
7,700 |
|
|
|
224 |
|
| Weingarten Realty Investors† |
|
|
1,925 |
|
|
|
61 |
|
| WesBanco |
|
|
12,800 |
|
|
|
392 |
|
| Westamerica Bancorporation (A) |
|
|
9,791 |
|
|
|
455 |
|
| Western Alliance Bancorp* |
|
|
70,979 |
|
|
|
1,696 |
|
| White Mountains Insurance Group |
|
|
100 |
|
|
|
63 |
|
| Whitestone, Cl B† |
|
|
763 |
|
|
|
11 |
|
| Willis Group Holdings |
|
|
10,107 |
|
|
|
418 |
|
| Wilshire Bancorp |
|
|
1,754 |
|
|
|
16 |
|
| Winthrop Realty Trust† |
|
|
870 |
|
|
|
13 |
|
| Wintrust Financial |
|
|
600 |
|
|
|
27 |
|
| WisdomTree Investments* |
|
|
18,383 |
|
|
|
209 |
|
| WL Ross Holding* |
|
|
23,700 |
|
|
|
254 |
|
| World Acceptance (A)* |
|
|
800 |
|
|
|
54 |
|
| WR Berkley |
|
|
1,441 |
|
|
|
69 |
|
| WSFS Financial |
|
|
9,335 |
|
|
|
668 |
|
| Yadkin Financial* |
|
|
20,000 |
|
|
|
363 |
|
| Zions Bancorporation |
|
|
23,137 |
|
|
|
672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Health Care — 11.9% |
|
|
|
|
|
|
|
|
| Abaxis |
|
|
5,321 |
|
|
$ |
270 |
|
| ABIOMED (A)* |
|
|
3,356 |
|
|
|
83 |
|
| Acadia Healthcare, Cl A* |
|
|
44,350 |
|
|
|
2,151 |
|
| ACADIA Pharmaceuticals (A)* |
|
|
1,229 |
|
|
|
30 |
|
| Accuray (A)* |
|
|
4,734 |
|
|
|
34 |
|
| AcelRx Pharmaceuticals (A)* |
|
|
16,293 |
|
|
|
89 |
|
| Acorda Therapeutics* |
|
|
3,969 |
|
|
|
134 |
|
| Actavis* |
|
|
845 |
|
|
|
204 |
|
| Aetna, Cl A |
|
|
670 |
|
|
|
54 |
|
| Affymetrix, Cl A* |
|
|
4,300 |
|
|
|
34 |
|
| Agilent Technologies |
|
|
15,723 |
|
|
|
896 |
|
| Air Methods* |
|
|
1,800 |
|
|
|
100 |
|
| Akorn* |
|
|
36,105 |
|
|
|
1,309 |
|
| Albany Molecular Research* |
|
|
638 |
|
|
|
14 |
|
| Alere* |
|
|
890 |
|
|
|
35 |
|
| Alexion Pharmaceuticals* |
|
|
2,909 |
|
|
|
482 |
|
| Align Technology* |
|
|
16,270 |
|
|
|
841 |
|
| Alkermes* |
|
|
4,000 |
|
|
|
171 |
|
| Allscripts Healthcare Solutions* |
|
|
3,436 |
|
|
|
46 |
|
| Almost Family* |
|
|
454 |
|
|
|
12 |
|
| Alnylam Pharmaceuticals* |
|
|
6,062 |
|
|
|
473 |
|
| AMAG Pharmaceuticals (A)* |
|
|
10,039 |
|
|
|
320 |
|
| AmerisourceBergen |
|
|
6,362 |
|
|
|
492 |
|
| Amicus Therapeutics* |
|
|
4,902 |
|
|
|
29 |
|
| Ampio Pharmaceuticals* |
|
|
30,213 |
|
|
|
107 |
|
| Amsurg* |
|
|
16,469 |
|
|
|
824 |
|
| Arena Pharmaceuticals (A)* |
|
|
9,805 |
|
|
|
41 |
|
| Ariad Pharmaceuticals (A)* |
|
|
65,688 |
|
|
|
355 |
|
| Array BioPharma* |
|
|
5,436 |
|
|
|
19 |
|
| athenahealth (A)* |
|
|
1,600 |
|
|
|
211 |
|
| Auxilium Pharmaceuticals (A)* |
|
|
1,099 |
|
|
|
33 |
|
| Avanir Pharmaceuticals, Cl A* |
|
|
2,101 |
|
|
|
25 |
|
| BioDelivery Sciences International (A)* |
|
|
1,090 |
|
|
|
19 |
|
| BioMarin Pharmaceuticals* |
|
|
1,324 |
|
|
|
96 |
|
| Bio-Rad Laboratories, Cl A* |
|
|
4,892 |
|
|
|
555 |
|
| Bio-Reference Laboratories (A)* |
|
|
1,000 |
|
|
|
28 |
|
| BioScrip* |
|
|
15,262 |
|
|
|
106 |
|
| Brookdale Senior Living, Cl A* |
|
|
25,101 |
|
|
|
809 |
|
| Bruker BioSciences* |
|
|
19,364 |
|
|
|
359 |
|
| Capital Senior Living* |
|
|
200 |
|
|
|
4 |
|
| CareFusion* |
|
|
15,677 |
|
|
|
709 |
|
| Castlight Health, Cl B* |
|
|
8,723 |
|
|
|
113 |
|
| Catamaran* |
|
|
859 |
|
|
|
36 |
|
| Celldex Therapeutics, Cl A (A)* |
|
|
7,382 |
|
|
|
96 |
|
| Centene* |
|
|
1,600 |
|
|
|
132 |
|
| Cepheid* |
|
|
11,079 |
|
|
|
488 |
|
| Cerus* |
|
|
5,403 |
|
|
|
22 |
|
| Charles River Laboratories International* |
|
|
29,906 |
|
|
|
1,787 |
|
| Chemed (A) |
|
|
9,100 |
|
|
|
936 |
|
| ChemoCentryx (A)* |
|
|
2,128 |
|
|
|
10 |
|
| Chimerix* |
|
|
4,814 |
|
|
|
133 |
|
| Clovis Oncology* |
|
|
2,787 |
|
|
|
126 |
|
| Community Health Systems* |
|
|
2,645 |
|
|
|
145 |
|
| Conmed |
|
|
15,740 |
|
|
|
580 |
|
| Cooper, Cl A |
|
|
5,976 |
|
|
|
931 |
|
| Corcept Theraputics, Inc. (A)* |
|
|
5,556 |
|
|
|
15 |
|
| Covance* |
|
|
10,086 |
|
|
|
794 |
|
| CTI BioPharma (A)* |
|
|
5,848 |
|
|
|
14 |
|
| Cubist Pharmaceuticals* |
|
|
18,716 |
|
|
|
1,242 |
|
|
|
|
| 7 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Dentsply International |
|
|
21,678 |
|
|
$ |
989 |
|
| DexCom* |
|
|
26,872 |
|
|
|
1,075 |
|
| Dyax* |
|
|
3,774 |
|
|
|
38 |
|
| Endo International* |
|
|
3,342 |
|
|
|
228 |
|
| Endologix* |
|
|
753 |
|
|
|
8 |
|
| Envision Healthcare Holdings* |
|
|
37,160 |
|
|
|
1,289 |
|
| Enzo Biochem* |
|
|
1,981 |
|
|
|
10 |
|
| Exact Sciences (A)* |
|
|
930 |
|
|
|
18 |
|
| ExamWorks Group* |
|
|
24,081 |
|
|
|
789 |
|
| GenMark Diagnostics* |
|
|
1,141 |
|
|
|
10 |
|
| Genomic Health (A)* |
|
|
436 |
|
|
|
12 |
|
| Gentiva Health Services* |
|
|
6,986 |
|
|
|
117 |
|
| Geron (A)* |
|
|
5,525 |
|
|
|
11 |
|
| Globus Medical, Cl A* |
|
|
581 |
|
|
|
11 |
|
| Greatbatch* |
|
|
31,203 |
|
|
|
1,330 |
|
| GW Pharmaceuticals PLC (A)* |
|
|
3,379 |
|
|
|
273 |
|
| Haemonetics* |
|
|
1,600 |
|
|
|
56 |
|
| Halozyme Therapeutics (A)* |
|
|
2,500 |
|
|
|
23 |
|
| Health Net, Cl A* |
|
|
1,800 |
|
|
|
83 |
|
| HealthSouth |
|
|
30,384 |
|
|
|
1,121 |
|
| Healthways* |
|
|
644 |
|
|
|
10 |
|
| HeartWare International* |
|
|
1,641 |
|
|
|
127 |
|
| Hill-Rom Holdings |
|
|
1,400 |
|
|
|
58 |
|
| HMS Holdings* |
|
|
7,739 |
|
|
|
146 |
|
| Hologic* |
|
|
31,993 |
|
|
|
778 |
|
| Horizon Pharma (A)* |
|
|
4,049 |
|
|
|
50 |
|
| Humana |
|
|
12,744 |
|
|
|
1,661 |
|
| Hyperion Therapeutics (A)* |
|
|
1,076 |
|
|
|
27 |
|
| ICON* |
|
|
11,790 |
|
|
|
675 |
|
| ICU Medical* |
|
|
5,669 |
|
|
|
364 |
|
| Idexx Laboratories* |
|
|
1,226 |
|
|
|
144 |
|
| Illumina* |
|
|
9,836 |
|
|
|
1,612 |
|
| ImmunoGen (A)* |
|
|
29,619 |
|
|
|
314 |
|
| Impax Laboratories* |
|
|
2,000 |
|
|
|
47 |
|
| Incyte* |
|
|
3,300 |
|
|
|
162 |
|
| Insulet* |
|
|
47,510 |
|
|
|
1,751 |
|
| Integra LifeSciences Holdings* |
|
|
2,927 |
|
|
|
145 |
|
| Intercept Pharmaceuticals* |
|
|
644 |
|
|
|
152 |
|
| Intersect ENT* |
|
|
14,071 |
|
|
|
218 |
|
| Ironwood Pharmaceuticals, Cl A* |
|
|
4,284 |
|
|
|
55 |
|
| Isis Pharmaceuticals (A)* |
|
|
12,000 |
|
|
|
466 |
|
| Jazz Pharmaceuticals* |
|
|
6,606 |
|
|
|
1,061 |
|
| Karyopharm Therapeutics* |
|
|
5,686 |
|
|
|
199 |
|
| Keryx Biopharmaceuticals (A)* |
|
|
2,148 |
|
|
|
30 |
|
| Kindred Healthcare |
|
|
12,500 |
|
|
|
243 |
|
| KYTHERA Biopharmaceuticals* |
|
|
7,327 |
|
|
|
240 |
|
| LDR Holding* |
|
|
25,250 |
|
|
|
786 |
|
| LHC Group* |
|
|
500 |
|
|
|
12 |
|
| LifePoint Hospitals* |
|
|
1,200 |
|
|
|
83 |
|
| Magellan Health* |
|
|
7,805 |
|
|
|
427 |
|
| Mallinckrodt* |
|
|
6,229 |
|
|
|
562 |
|
| MannKind (A)* |
|
|
9,300 |
|
|
|
55 |
|
| MedAssets* |
|
|
4,742 |
|
|
|
98 |
|
| Medicines* |
|
|
12,480 |
|
|
|
279 |
|
| Medidata Solutions* |
|
|
1,048 |
|
|
|
46 |
|
| Medivation* |
|
|
1,438 |
|
|
|
142 |
|
| MEDNAX* |
|
|
27,690 |
|
|
|
1,518 |
|
| Merge Healthcare* |
|
|
8,683 |
|
|
|
19 |
|
| Merit Medical Systems* |
|
|
3,125 |
|
|
|
37 |
|
| Merrimack Pharmaceuticals (A)* |
|
|
3,589 |
|
|
|
31 |
|
| Mettler Toledo International* |
|
|
2,460 |
|
|
|
630 |
|
| MiMedx Group (A)* |
|
|
1,945 |
|
|
|
14 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Myriad Genetics (A)* |
|
|
2,200 |
|
|
$ |
85 |
|
| Nektar Therapeutics* |
|
|
16,412 |
|
|
|
198 |
|
| Neogen, Cl B* |
|
|
4,029 |
|
|
|
159 |
|
| Neurocrine Biosciences* |
|
|
750 |
|
|
|
12 |
|
| Novavax (A)* |
|
|
3,449 |
|
|
|
14 |
|
| NPS Pharmaceuticals* |
|
|
20,539 |
|
|
|
534 |
|
| NuVasive* |
|
|
1,300 |
|
|
|
45 |
|
| NxStage Medical* |
|
|
1,027 |
|
|
|
14 |
|
| Omeros (A)* |
|
|
1,972 |
|
|
|
25 |
|
| Omnicare |
|
|
3,200 |
|
|
|
199 |
|
| Omnicell* |
|
|
1,300 |
|
|
|
36 |
|
| Opko Health (A)* |
|
|
1,431 |
|
|
|
12 |
|
| OraSure Technologies* |
|
|
2,604 |
|
|
|
19 |
|
| Orthofix International* |
|
|
1,400 |
|
|
|
43 |
|
| Otonomy* |
|
|
8,157 |
|
|
|
196 |
|
| OvaScience* |
|
|
2,593 |
|
|
|
43 |
|
| Owens & Minor (A) |
|
|
950 |
|
|
|
31 |
|
| Pacific Biosciences of California* |
|
|
5,998 |
|
|
|
29 |
|
| Pacira Pharmaceuticals* |
|
|
16,090 |
|
|
|
1,559 |
|
| Parexel International* |
|
|
18,480 |
|
|
|
1,166 |
|
| Patterson |
|
|
33,887 |
|
|
|
1,404 |
|
| PDL BioPharma (A) |
|
|
1,700 |
|
|
|
13 |
|
| PerkinElmer |
|
|
14,013 |
|
|
|
611 |
|
| Pernix Therapeutics Holdings* |
|
|
4,566 |
|
|
|
35 |
|
| Pharmacyclics* |
|
|
1,202 |
|
|
|
141 |
|
| PharMerica* |
|
|
19,608 |
|
|
|
479 |
|
| Portola Pharmaceuticals* |
|
|
22,584 |
|
|
|
571 |
|
| Premier, Cl A* |
|
|
21,021 |
|
|
|
691 |
|
| Prestige Brands Holdings, Cl A* |
|
|
8,968 |
|
|
|
290 |
|
| Progenics Pharmaceuticals (A)* |
|
|
37,884 |
|
|
|
197 |
|
| PTC Therapeutics (A)* |
|
|
5,983 |
|
|
|
263 |
|
| Puma Biotechnology (A)* |
|
|
2,818 |
|
|
|
672 |
|
| QIAGEN* |
|
|
8,077 |
|
|
|
184 |
|
| Quest Diagnostics |
|
|
9,721 |
|
|
|
590 |
|
| Quidel* |
|
|
8,633 |
|
|
|
232 |
|
| Quintiles Transnational Holdings* |
|
|
213 |
|
|
|
12 |
|
| ResMed (A) |
|
|
4,239 |
|
|
|
209 |
|
| Rockwell Medical (A)* |
|
|
2,762 |
|
|
|
25 |
|
| RTI Biologics* |
|
|
3,333 |
|
|
|
16 |
|
| Salix Pharmaceuticals* |
|
|
6,312 |
|
|
|
986 |
|
| Sangamo Biosciences (A)* |
|
|
980 |
|
|
|
11 |
|
| Sarepta Therapeutics (A)* |
|
|
830 |
|
|
|
18 |
|
| SciClone Pharmaceuticals* |
|
|
43,342 |
|
|
|
299 |
|
| Seattle Genetics (A)* |
|
|
14,211 |
|
|
|
528 |
|
| Select Medical Holdings |
|
|
50,800 |
|
|
|
611 |
|
| Sequenom (A)* |
|
|
4,716 |
|
|
|
14 |
|
| Sirona Dental Systems, Cl A* |
|
|
17,098 |
|
|
|
1,311 |
|
| Spectranetics* |
|
|
1,051 |
|
|
|
28 |
|
| Spectrum Pharmaceuticals (A)* |
|
|
1,424 |
|
|
|
12 |
|
| STAAR Surgical* |
|
|
9,753 |
|
|
|
104 |
|
| STERIS, Cl A |
|
|
1,400 |
|
|
|
76 |
|
| Sunesis Pharmaceuticals (A)* |
|
|
1,992 |
|
|
|
14 |
|
| Supernus Pharmaceuticals (A)* |
|
|
1,449 |
|
|
|
13 |
|
| Symmetry Medical* |
|
|
1,500 |
|
|
|
15 |
|
| Synageva BioPharma, Cl A (A)* |
|
|
3,814 |
|
|
|
262 |
|
| Team Health Holdings* |
|
|
41,665 |
|
|
|
2,416 |
|
| Techne, Cl A |
|
|
1,171 |
|
|
|
110 |
|
| Teleflex |
|
|
3,980 |
|
|
|
418 |
|
| Tenet Healthcare* |
|
|
3,525 |
|
|
|
209 |
|
| TESARO (A)* |
|
|
29,683 |
|
|
|
799 |
|
| Tetraphase Pharmaceuticals* |
|
|
5,855 |
|
|
|
117 |
|
|
|
|
| 8 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Theravance, Cl A (A) |
|
|
1,400 |
|
|
$ |
24 |
|
| Theravance Biopharma (A)* |
|
|
585 |
|
|
|
13 |
|
| Thoratec* |
|
|
5,840 |
|
|
|
156 |
|
| Threshold Pharmaceuticals, Cl A (A)* |
|
|
3,800 |
|
|
|
14 |
|
| Tornier BV* |
|
|
677 |
|
|
|
16 |
|
| Ultragenyx Pharmaceutical (A)* |
|
|
3,316 |
|
|
|
188 |
|
| United Therapeutics* |
|
|
10,414 |
|
|
|
1,340 |
|
| Universal Health Services, Cl B |
|
|
2,241 |
|
|
|
234 |
|
| US Physical Therapy |
|
|
900 |
|
|
|
32 |
|
| Valeant Pharmaceuticals International* |
|
|
5,255 |
|
|
|
689 |
|
| VCA* |
|
|
1,119 |
|
|
|
44 |
|
| Veeva Systems, Cl A (A)* |
|
|
26,261 |
|
|
|
740 |
|
| Vertex Pharmaceuticals* |
|
|
10,018 |
|
|
|
1,125 |
|
| VIVUS* |
|
|
54,371 |
|
|
|
210 |
|
| WellCare Health Plans* |
|
|
800 |
|
|
|
48 |
|
| West Pharmaceutical Services |
|
|
2,200 |
|
|
|
98 |
|
| Wright Medical Group* |
|
|
16,320 |
|
|
|
495 |
|
| XenoPort* |
|
|
1,229 |
|
|
|
7 |
|
| XOMA* |
|
|
33,176 |
|
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 16.0% |
|
|
|
|
|
|
|
|
| AAON |
|
|
5,062 |
|
|
|
86 |
|
| AAR |
|
|
1,100 |
|
|
|
27 |
|
| ABM Industries |
|
|
2,100 |
|
|
|
54 |
|
| Acacia Research |
|
|
1,425 |
|
|
|
22 |
|
| ACCO Brands* |
|
|
1,693 |
|
|
|
12 |
|
| Actuant, Cl A |
|
|
62,561 |
|
|
|
1,909 |
|
| Acuity Brands |
|
|
16,722 |
|
|
|
1,968 |
|
| Advisory Board* |
|
|
2,000 |
|
|
|
93 |
|
| Aecom Technology (A)* |
|
|
34,793 |
|
|
|
1,174 |
|
| Aegion, Cl A* |
|
|
5,087 |
|
|
|
113 |
|
| AGCO |
|
|
13,497 |
|
|
|
614 |
|
| Air Lease, Cl A |
|
|
1,979 |
|
|
|
64 |
|
| Aircastle |
|
|
31,832 |
|
|
|
521 |
|
| Alaska Air Group |
|
|
3,200 |
|
|
|
139 |
|
| Albany International, Cl A |
|
|
1,900 |
|
|
|
65 |
|
| Allegion |
|
|
2,462 |
|
|
|
117 |
|
| Alliant Techsystems |
|
|
4,015 |
|
|
|
512 |
|
| Altra Industrial Motion |
|
|
28,293 |
|
|
|
825 |
|
| American Airlines Group |
|
|
3,969 |
|
|
|
141 |
|
| American Woodmark* |
|
|
2,878 |
|
|
|
106 |
|
| AO Smith |
|
|
14,044 |
|
|
|
664 |
|
| Applied Industrial Technologies, Cl A |
|
|
18,562 |
|
|
|
847 |
|
| ARC Document Solutions* |
|
|
2,532 |
|
|
|
21 |
|
| ArcBest |
|
|
900 |
|
|
|
34 |
|
| Armstrong World Industries* |
|
|
16,644 |
|
|
|
932 |
|
| Astronics* |
|
|
2,107 |
|
|
|
100 |
|
| Atlas Air Worldwide Holdings (A)* |
|
|
800 |
|
|
|
26 |
|
| Avis Budget Group* |
|
|
2,513 |
|
|
|
138 |
|
| Barnes Group |
|
|
1,100 |
|
|
|
33 |
|
| BE Aerospace* |
|
|
1,400 |
|
|
|
117 |
|
| Beacon Roofing Supply* |
|
|
5,422 |
|
|
|
138 |
|
| Briggs & Stratton |
|
|
7,081 |
|
|
|
128 |
|
| Brink’s |
|
|
3,100 |
|
|
|
75 |
|
| Canadian Pacific Railway |
|
|
4,601 |
|
|
|
954 |
|
| Carlisle |
|
|
22,039 |
|
|
|
1,772 |
|
| Chart Industries (A)* |
|
|
6,788 |
|
|
|
415 |
|
| Chicago Bridge & Iron |
|
|
2,261 |
|
|
|
131 |
|
| Cintas |
|
|
12,501 |
|
|
|
882 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| CIRCOR International |
|
|
17,165 |
|
|
$ |
1,156 |
|
| Civeo |
|
|
2,498 |
|
|
|
29 |
|
| Clarcor |
|
|
2,766 |
|
|
|
174 |
|
| Clean Harbors* |
|
|
35,531 |
|
|
|
1,916 |
|
| Colfax* |
|
|
4,951 |
|
|
|
282 |
|
| Con-way |
|
|
6,573 |
|
|
|
312 |
|
| Copa Holdings, Cl A |
|
|
2,016 |
|
|
|
216 |
|
| Copart* |
|
|
2,400 |
|
|
|
75 |
|
| Corporate Executive Board |
|
|
1,100 |
|
|
|
66 |
|
| Covanta Holding |
|
|
3,100 |
|
|
|
66 |
|
| Crane, Cl A |
|
|
600 |
|
|
|
38 |
|
| Curtiss-Wright |
|
|
29,201 |
|
|
|
1,925 |
|
| Delta Air Lines, Cl A |
|
|
27,393 |
|
|
|
990 |
|
| Deluxe |
|
|
11,400 |
|
|
|
629 |
|
| DigitalGlobe* |
|
|
23,468 |
|
|
|
669 |
|
| Donaldson, Cl A |
|
|
19,960 |
|
|
|
811 |
|
| Douglas Dynamics |
|
|
569 |
|
|
|
11 |
|
| Dover |
|
|
11,037 |
|
|
|
887 |
|
| Dun & Bradstreet |
|
|
651 |
|
|
|
76 |
|
| DXP Enterprises* |
|
|
1,577 |
|
|
|
116 |
|
| Dycom Industries* |
|
|
29,350 |
|
|
|
901 |
|
| Dynamic Materials |
|
|
986 |
|
|
|
19 |
|
| EMCOR Group |
|
|
48,413 |
|
|
|
1,935 |
|
| Engility Holdings* |
|
|
1,216 |
|
|
|
38 |
|
| EnPro Industries* |
|
|
5,587 |
|
|
|
338 |
|
| Equifax |
|
|
2,212 |
|
|
|
165 |
|
| ESCO Technologies |
|
|
5,019 |
|
|
|
175 |
|
| Esterline Technologies* |
|
|
12,454 |
|
|
|
1,386 |
|
| Exelis |
|
|
1,677 |
|
|
|
28 |
|
| Federal Signal |
|
|
3,905 |
|
|
|
52 |
|
| Flowserve |
|
|
10,357 |
|
|
|
730 |
|
| Fluor |
|
|
11,830 |
|
|
|
790 |
|
| Fortune Brands Home & Security |
|
|
26,703 |
|
|
|
1,098 |
|
| Forward Air |
|
|
4,163 |
|
|
|
187 |
|
| Foster Wheeler |
|
|
3,477 |
|
|
|
110 |
|
| Franklin Electric |
|
|
9,102 |
|
|
|
316 |
|
| FTI Consulting* |
|
|
331 |
|
|
|
12 |
|
| FuelCell Energy (A)* |
|
|
5,377 |
|
|
|
11 |
|
| G&K Services |
|
|
19,361 |
|
|
|
1,072 |
|
| GATX |
|
|
700 |
|
|
|
41 |
|
| GenCorp (A)* |
|
|
3,047 |
|
|
|
49 |
|
| Generac Holdings (A)* |
|
|
21,523 |
|
|
|
873 |
|
| Genesee & Wyoming, Cl A* |
|
|
10,897 |
|
|
|
1,039 |
|
| Gibraltar Industries* |
|
|
686 |
|
|
|
9 |
|
| Gorman-Rupp (A) |
|
|
1,952 |
|
|
|
59 |
|
| Graco |
|
|
9,611 |
|
|
|
701 |
|
| GrafTech International* |
|
|
1,400 |
|
|
|
6 |
|
| Graham, Cl A |
|
|
528 |
|
|
|
15 |
|
| Granite Construction |
|
|
5,570 |
|
|
|
177 |
|
| Great Lakes Dredge & Dock |
|
|
3,253 |
|
|
|
20 |
|
| Greenbrier (A) |
|
|
13,161 |
|
|
|
966 |
|
| H&E Equipment Services |
|
|
355 |
|
|
|
14 |
|
| Harsco |
|
|
3,200 |
|
|
|
68 |
|
| Hawaiian Holdings (A)* |
|
|
41,000 |
|
|
|
552 |
|
| HD Supply Holdings* |
|
|
63,638 |
|
|
|
1,735 |
|
| Healthcare Services Group |
|
|
4,458 |
|
|
|
128 |
|
| Heartland Express |
|
|
2,631 |
|
|
|
63 |
|
| HEICO (A) |
|
|
2,201 |
|
|
|
103 |
|
| Heidrick & Struggles International |
|
|
411 |
|
|
|
8 |
|
| Herman Miller |
|
|
1,500 |
|
|
|
45 |
|
| Hertz Global Holdings* |
|
|
29,221 |
|
|
|
742 |
|
|
|
|
| 9 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Hexcel, Cl A* |
|
|
24,505 |
|
|
$ |
973 |
|
| Hillenbrand |
|
|
2,500 |
|
|
|
77 |
|
| HNI |
|
|
3,926 |
|
|
|
141 |
|
| Houston Wire & Cable |
|
|
2,433 |
|
|
|
29 |
|
| Hub Group, Cl A* |
|
|
1,400 |
|
|
|
57 |
|
| Hubbell, Cl B |
|
|
2,337 |
|
|
|
282 |
|
| Hyster-Yale Materials Handling |
|
|
1,266 |
|
|
|
91 |
|
| IDEX |
|
|
15,583 |
|
|
|
1,128 |
|
| Insteel Industries |
|
|
905 |
|
|
|
19 |
|
| Interface, Cl A |
|
|
36,562 |
|
|
|
590 |
|
| ITT |
|
|
19,743 |
|
|
|
887 |
|
| JetBlue Airways (A)* |
|
|
1,486 |
|
|
|
16 |
|
| John Bean Technologies, Cl A |
|
|
1,377 |
|
|
|
39 |
|
| Kadant |
|
|
25,142 |
|
|
|
982 |
|
| Kaman, Cl A |
|
|
2,096 |
|
|
|
82 |
|
| KAR Auction Services |
|
|
17,113 |
|
|
|
490 |
|
| Kelly Services, Cl A |
|
|
1,200 |
|
|
|
19 |
|
| Kennametal |
|
|
2,875 |
|
|
|
119 |
|
| Keyw Holding, Cl A (A)* |
|
|
23,298 |
|
|
|
258 |
|
| Kirby* |
|
|
17,464 |
|
|
|
2,058 |
|
| Knightsbridge Tankers |
|
|
1,151 |
|
|
|
10 |
|
| Knoll, Cl B |
|
|
1,220 |
|
|
|
21 |
|
| Korn/Ferry International* |
|
|
13,035 |
|
|
|
325 |
|
| Kratos Defense & Security Solutions (A)* |
|
|
1,570 |
|
|
|
10 |
|
| L-3 Communications Holdings |
|
|
7,300 |
|
|
|
868 |
|
| Landstar System |
|
|
13,509 |
|
|
|
975 |
|
| Lennox International |
|
|
2,400 |
|
|
|
184 |
|
| Lincoln Electric Holdings |
|
|
15,552 |
|
|
|
1,075 |
|
| Lindsay (A) |
|
|
1,858 |
|
|
|
139 |
|
| LMI Aerospace (A)* |
|
|
911 |
|
|
|
12 |
|
| Lydall* |
|
|
13,800 |
|
|
|
373 |
|
| Manitowoc |
|
|
2,585 |
|
|
|
61 |
|
| Manpowergroup |
|
|
1,493 |
|
|
|
105 |
|
| Marten Transport |
|
|
2,100 |
|
|
|
37 |
|
| Masonite International* |
|
|
3,525 |
|
|
|
195 |
|
| MasTec* |
|
|
4,539 |
|
|
|
139 |
|
| Mcgrath Rentcorp |
|
|
1,900 |
|
|
|
65 |
|
| Meritor* |
|
|
1,468 |
|
|
|
16 |
|
| Middleby* |
|
|
18,565 |
|
|
|
1,636 |
|
| Moog, Cl A* |
|
|
23,071 |
|
|
|
1,578 |
|
| MRC Global* |
|
|
4,441 |
|
|
|
104 |
|
| MSA Safety |
|
|
320 |
|
|
|
16 |
|
| MSC Industrial Direct, Cl A |
|
|
7,818 |
|
|
|
668 |
|
| Mueller Industries |
|
|
1,000 |
|
|
|
28 |
|
| Mueller Water Products, Cl A |
|
|
42,314 |
|
|
|
350 |
|
| Navistar International* |
|
|
3,086 |
|
|
|
101 |
|
| NCI Building Systems* |
|
|
6,335 |
|
|
|
123 |
|
| Nordson |
|
|
8,742 |
|
|
|
665 |
|
| Northwest Pipe* |
|
|
15,185 |
|
|
|
518 |
|
| Old Dominion Freight Line, Cl A* |
|
|
14,168 |
|
|
|
1,001 |
|
| Orbital Sciences* |
|
|
11,449 |
|
|
|
318 |
|
| Oshkosh Truck |
|
|
13,500 |
|
|
|
596 |
|
| Pall |
|
|
15,234 |
|
|
|
1,275 |
|
| Parker-Hannifin, Cl A |
|
|
4,644 |
|
|
|
530 |
|
| Pentair |
|
|
2,782 |
|
|
|
182 |
|
| Pitney Bowes |
|
|
25,426 |
|
|
|
635 |
|
| Polypore International (A)* |
|
|
613 |
|
|
|
24 |
|
| Primoris Services |
|
|
3,775 |
|
|
|
101 |
|
| Quanex Building Products |
|
|
1,800 |
|
|
|
33 |
|
| Quanta Services* |
|
|
3,941 |
|
|
|
143 |
|
| RBC Bearings |
|
|
9,272 |
|
|
|
526 |
|
| Regal-Beloit |
|
|
23,284 |
|
|
|
1,496 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Republic Airways Holdings* |
|
|
19,258 |
|
|
$ |
214 |
|
| Rexnord* |
|
|
2,310 |
|
|
|
66 |
|
| Robert Half International |
|
|
3,076 |
|
|
|
151 |
|
| Rollins |
|
|
3,773 |
|
|
|
110 |
|
| RR Donnelley & Sons |
|
|
24,687 |
|
|
|
406 |
|
| Ryder System |
|
|
8,900 |
|
|
|
801 |
|
| Saia* |
|
|
9,900 |
|
|
|
491 |
|
| Simpson Manufacturing |
|
|
19,075 |
|
|
|
556 |
|
| Snap-on |
|
|
800 |
|
|
|
97 |
|
| SolarCity (A)* |
|
|
576 |
|
|
|
34 |
|
| Spirit AeroSystems Holdings, Cl A* |
|
|
2,153 |
|
|
|
82 |
|
| Spirit Airlines* |
|
|
11,740 |
|
|
|
812 |
|
| SPX |
|
|
900 |
|
|
|
84 |
|
| Stanley Black & Decker |
|
|
10,733 |
|
|
|
953 |
|
| Steelcase, Cl A |
|
|
25,800 |
|
|
|
418 |
|
| Stericycle, Cl A* |
|
|
18,266 |
|
|
|
2,129 |
|
| Swift Transportation, Cl A* |
|
|
636 |
|
|
|
13 |
|
| TAL International Group (A) |
|
|
10,200 |
|
|
|
421 |
|
| Team* |
|
|
6,035 |
|
|
|
229 |
|
| Teledyne Technologies* |
|
|
13,020 |
|
|
|
1,224 |
|
| Terex |
|
|
7,552 |
|
|
|
240 |
|
| Tetra Tech |
|
|
32,347 |
|
|
|
808 |
|
| Textron |
|
|
7,400 |
|
|
|
266 |
|
| Timken |
|
|
6,716 |
|
|
|
285 |
|
| Toro |
|
|
1,400 |
|
|
|
83 |
|
| Towers Watson, Cl A |
|
|
1,300 |
|
|
|
129 |
|
| TransDigm Group |
|
|
500 |
|
|
|
92 |
|
| TriMas* |
|
|
6,449 |
|
|
|
157 |
|
| TriNet Group* |
|
|
4,734 |
|
|
|
122 |
|
| Trinity Industries |
|
|
35,278 |
|
|
|
1,648 |
|
| Triumph Group |
|
|
6,787 |
|
|
|
441 |
|
| TrueBlue* |
|
|
62,958 |
|
|
|
1,590 |
|
| Tutor Perini* |
|
|
3,700 |
|
|
|
98 |
|
| Unifirst |
|
|
644 |
|
|
|
62 |
|
| United Rentals* |
|
|
12,187 |
|
|
|
1,354 |
|
| United Stationers |
|
|
1,000 |
|
|
|
38 |
|
| Universal Forest Products |
|
|
1,908 |
|
|
|
82 |
|
| URS |
|
|
9,353 |
|
|
|
539 |
|
| USG* |
|
|
8,140 |
|
|
|
224 |
|
| UTI Worldwide* |
|
|
21,013 |
|
|
|
223 |
|
| Valmont Industries (A) |
|
|
4,917 |
|
|
|
663 |
|
| Vectrus* |
|
|
93 |
|
|
|
2 |
|
| Vicor (A)* |
|
|
2,300 |
|
|
|
22 |
|
| Wabash National* |
|
|
2,806 |
|
|
|
37 |
|
| WABCO Holdings* |
|
|
5,849 |
|
|
|
532 |
|
| Wabtec |
|
|
3,600 |
|
|
|
292 |
|
| WageWorks* |
|
|
8,366 |
|
|
|
381 |
|
| Waste Connections |
|
|
3,782 |
|
|
|
183 |
|
| Watsco |
|
|
600 |
|
|
|
52 |
|
| Watts Water Technologies, Cl A |
|
|
29,120 |
|
|
|
1,696 |
|
| WESCO International* |
|
|
10,460 |
|
|
|
819 |
|
| Woodward |
|
|
1,400 |
|
|
|
67 |
|
| Xylem |
|
|
16,452 |
|
|
|
584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 16.5% |
|
|
|
|
|
|
|
|
| 3D Systems (A)* |
|
|
2,621 |
|
|
|
122 |
|
| ACI Worldwide* |
|
|
6,906 |
|
|
|
130 |
|
| Acxiom* |
|
|
61,828 |
|
|
|
1,023 |
|
| Adtran |
|
|
29,774 |
|
|
|
611 |
|
| Advanced Energy Industries* |
|
|
1,400 |
|
|
|
26 |
|
| Advanced Micro Devices (A)* |
|
|
11,118 |
|
|
|
38 |
|
| Advent Software |
|
|
4,096 |
|
|
|
129 |
|
|
|
|
| 10 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Alliance Data Systems* |
|
|
4,908 |
|
|
$ |
1,219 |
|
| Alpha & Omega Semiconductor* |
|
|
1,342 |
|
|
|
13 |
|
| Amdocs |
|
|
22,400 |
|
|
|
1,028 |
|
| Amphenol, Cl A |
|
|
11,642 |
|
|
|
1,163 |
|
| Anixter International |
|
|
500 |
|
|
|
42 |
|
| Ansys* |
|
|
8,824 |
|
|
|
668 |
|
| AOL* |
|
|
2,700 |
|
|
|
121 |
|
| Applied Materials |
|
|
46,775 |
|
|
|
1,011 |
|
| Applied Micro Circuits* |
|
|
370 |
|
|
|
3 |
|
| Arista Networks* |
|
|
1,705 |
|
|
|
151 |
|
| ARRIS Group* |
|
|
7,200 |
|
|
|
204 |
|
| Arrow Electronics, Cl A* |
|
|
1,900 |
|
|
|
105 |
|
| Aruba Networks* |
|
|
19,258 |
|
|
|
416 |
|
| ASML Holding, Cl G (A) |
|
|
690 |
|
|
|
68 |
|
| Aspen Technology* |
|
|
18,063 |
|
|
|
681 |
|
| Atmel* |
|
|
129,348 |
|
|
|
1,045 |
|
| Autodesk, Cl A* |
|
|
15,599 |
|
|
|
860 |
|
| Avago Technologies, Cl A |
|
|
12,340 |
|
|
|
1,074 |
|
| Avnet |
|
|
8,652 |
|
|
|
359 |
|
| Belden |
|
|
18,415 |
|
|
|
1,179 |
|
| Benchmark Electronics* |
|
|
25,072 |
|
|
|
557 |
|
| Blackbaud, Cl A |
|
|
3,876 |
|
|
|
152 |
|
| Blackhawk Network Holdings, Cl A (A)* |
|
|
835 |
|
|
|
27 |
|
| Blackhawk Network Holdings, Cl B* |
|
|
1,872 |
|
|
|
61 |
|
| Bottomline Technologies* |
|
|
2,964 |
|
|
|
82 |
|
| Broadridge Financial Solutions |
|
|
1,700 |
|
|
|
71 |
|
| BroadSoft* |
|
|
18,129 |
|
|
|
381 |
|
| Brocade Communications Systems |
|
|
100,100 |
|
|
|
1,088 |
|
| CACI International, Cl A* |
|
|
900 |
|
|
|
64 |
|
| Cadence Design Systems* |
|
|
196,641 |
|
|
|
3,384 |
|
| Calix* |
|
|
2,331 |
|
|
|
22 |
|
| Callidus Software* |
|
|
1,561 |
|
|
|
19 |
|
| Carbonite* |
|
|
1,001 |
|
|
|
10 |
|
| Cavium* |
|
|
16,410 |
|
|
|
816 |
|
| Checkpoint Systems* |
|
|
1,100 |
|
|
|
13 |
|
| Ciena* |
|
|
400 |
|
|
|
7 |
|
| Citrix Systems* |
|
|
16,070 |
|
|
|
1,146 |
|
| Cognex* |
|
|
24,977 |
|
|
|
1,006 |
|
| Coherent* |
|
|
8,615 |
|
|
|
529 |
|
| Cohu |
|
|
1,032 |
|
|
|
12 |
|
| CommVault Systems* |
|
|
3,421 |
|
|
|
172 |
|
| Computer Sciences |
|
|
10,700 |
|
|
|
654 |
|
| comScore* |
|
|
735 |
|
|
|
27 |
|
| Comtech Telecommunications |
|
|
400 |
|
|
|
15 |
|
| Concur Technologies* |
|
|
14,875 |
|
|
|
1,886 |
|
| Constant Contact* |
|
|
27,400 |
|
|
|
744 |
|
| Convergys |
|
|
33,801 |
|
|
|
602 |
|
| Conversant (A)* |
|
|
3,600 |
|
|
|
123 |
|
| CoreLogic* |
|
|
1,800 |
|
|
|
49 |
|
| Cornerstone OnDemand* |
|
|
2,249 |
|
|
|
77 |
|
| CoStar Group* |
|
|
13,719 |
|
|
|
2,134 |
|
| Cray (A)* |
|
|
1,586 |
|
|
|
42 |
|
| Cree (A)* |
|
|
1,902 |
|
|
|
78 |
|
| CSG Systems International |
|
|
16,700 |
|
|
|
439 |
|
| Cvent (A)* |
|
|
13,359 |
|
|
|
339 |
|
| Cypress Semiconductor (A) |
|
|
4,610 |
|
|
|
45 |
|
| Dealertrack Technologies* |
|
|
39,259 |
|
|
|
1,704 |
|
| Demandware (A)* |
|
|
13,070 |
|
|
|
666 |
|
| Diebold |
|
|
20,103 |
|
|
|
710 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Diodes* |
|
|
1,800 |
|
|
$ |
43 |
|
| Dolby Laboratories, Cl A (A)* |
|
|
257 |
|
|
|
11 |
|
| DST Systems |
|
|
600 |
|
|
|
50 |
|
| EarthLink Holdings |
|
|
5,988 |
|
|
|
21 |
|
| Ebix (A) |
|
|
1,665 |
|
|
|
24 |
|
| Echo Global Logistics* |
|
|
1,761 |
|
|
|
42 |
|
| EchoStar, Cl A* |
|
|
2,900 |
|
|
|
141 |
|
| Electronic Arts* |
|
|
34,627 |
|
|
|
1,233 |
|
| Electronics For Imaging* |
|
|
1,300 |
|
|
|
57 |
|
| EnerNOC* |
|
|
1,300 |
|
|
|
22 |
|
| Entegris* |
|
|
6,300 |
|
|
|
72 |
|
| Envestnet* |
|
|
24,504 |
|
|
|
1,103 |
|
| EPAM Systems* |
|
|
372 |
|
|
|
16 |
|
| Euronet Worldwide* |
|
|
1,400 |
|
|
|
67 |
|
| EVERTEC |
|
|
9,087 |
|
|
|
203 |
|
| ExlService Holdings* |
|
|
1,448 |
|
|
|
35 |
|
| Extreme Networks* |
|
|
2,439 |
|
|
|
12 |
|
| Factset Research Systems (A) |
|
|
644 |
|
|
|
78 |
|
| Fair Isaac |
|
|
800 |
|
|
|
44 |
|
| Fairchild Semiconductor International* |
|
|
25,548 |
|
|
|
397 |
|
| FARO Technologies* |
|
|
1,300 |
|
|
|
66 |
|
| FEI |
|
|
1,500 |
|
|
|
113 |
|
| Fidelity National Information Services, Cl B |
|
|
12,644 |
|
|
|
712 |
|
| Finisar* |
|
|
1,589 |
|
|
|
26 |
|
| FireEye (A)* |
|
|
4,255 |
|
|
|
130 |
|
| First Solar* |
|
|
1,834 |
|
|
|
121 |
|
| FleetCor Technologies* |
|
|
1,465 |
|
|
|
208 |
|
| FleetMatics Group* |
|
|
32,668 |
|
|
|
996 |
|
| Flir Systems |
|
|
2,745 |
|
|
|
86 |
|
| FormFactor* |
|
|
1,809 |
|
|
|
13 |
|
| Forrester Research |
|
|
1,400 |
|
|
|
52 |
|
| Fortinet* |
|
|
38,505 |
|
|
|
973 |
|
| Freescale Semiconductor (A)* |
|
|
17,100 |
|
|
|
334 |
|
| Gartner* |
|
|
5,828 |
|
|
|
428 |
|
| Genpact* |
|
|
2,904 |
|
|
|
47 |
|
| Gigamon* |
|
|
11,051 |
|
|
|
116 |
|
| Global Cash Access Holdings* |
|
|
2,457 |
|
|
|
17 |
|
| Global Payments |
|
|
2,534 |
|
|
|
177 |
|
| Glu Mobile* |
|
|
4,445 |
|
|
|
23 |
|
| GT Advanced Technologies (A)* |
|
|
3,775 |
|
|
|
41 |
|
| Guidewire Software, Cl Z* |
|
|
28,765 |
|
|
|
1,275 |
|
| Harmonic, Cl A* |
|
|
17,385 |
|
|
|
110 |
|
| Harris |
|
|
11,700 |
|
|
|
777 |
|
| Heartland Payment Systems (A) |
|
|
30,098 |
|
|
|
1,436 |
|
| IAC |
|
|
2,799 |
|
|
|
184 |
|
| iGATE* |
|
|
306 |
|
|
|
11 |
|
| Immersion* |
|
|
2,588 |
|
|
|
22 |
|
| Infoblox* |
|
|
7,872 |
|
|
|
116 |
|
| Informatica* |
|
|
2,900 |
|
|
|
99 |
|
| Ingram Micro, Cl A* |
|
|
1,651 |
|
|
|
43 |
|
| Inphi* |
|
|
48,603 |
|
|
|
699 |
|
| Insight Enterprises* |
|
|
9,500 |
|
|
|
215 |
|
| Integrated Device Technology* |
|
|
7,100 |
|
|
|
113 |
|
| Interactive Intelligence Group* |
|
|
2,622 |
|
|
|
110 |
|
| InterDigital |
|
|
1,288 |
|
|
|
51 |
|
| International Rectifier* |
|
|
1,600 |
|
|
|
63 |
|
| Intersil, Cl A |
|
|
112,926 |
|
|
|
1,605 |
|
| Intralinks Holdings, Cl A* |
|
|
37,705 |
|
|
|
305 |
|
| InvenSense, Cl A (A)* |
|
|
1,500 |
|
|
|
30 |
|
| IPG Photonics (A)* |
|
|
900 |
|
|
|
62 |
|
| Itron* |
|
|
7,459 |
|
|
|
293 |
|
|
|
|
| 11 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| j2 Global |
|
|
15,016 |
|
|
$ |
741 |
|
| Jabil Circuit |
|
|
5,381 |
|
|
|
109 |
|
| Jack Henry & Associates |
|
|
926 |
|
|
|
52 |
|
| JDS Uniphase* |
|
|
14,471 |
|
|
|
185 |
|
| Juniper Networks |
|
|
19,139 |
|
|
|
424 |
|
| Kemet* |
|
|
2,428 |
|
|
|
10 |
|
| Lam Research |
|
|
11,605 |
|
|
|
867 |
|
| Lattice Semiconductor* |
|
|
68,670 |
|
|
|
515 |
|
| Lexmark International, Cl A |
|
|
5,199 |
|
|
|
221 |
|
| Littelfuse |
|
|
800 |
|
|
|
68 |
|
| LivePerson* |
|
|
1,135 |
|
|
|
14 |
|
| LogMeIn* |
|
|
410 |
|
|
|
19 |
|
| Manhattan Associates* |
|
|
10,280 |
|
|
|
344 |
|
| Mantech International, Cl A |
|
|
900 |
|
|
|
24 |
|
| Marketo (A)* |
|
|
20,148 |
|
|
|
651 |
|
| Marvell Technology Group |
|
|
25,200 |
|
|
|
340 |
|
| MAXIMUS |
|
|
14,462 |
|
|
|
580 |
|
| Measurement Specialties* |
|
|
2,900 |
|
|
|
248 |
|
| Mentor Graphics |
|
|
2,400 |
|
|
|
49 |
|
| Mercury Systems* |
|
|
1,090 |
|
|
|
12 |
|
| Methode Electronics |
|
|
2,700 |
|
|
|
100 |
|
| Micrel |
|
|
7,000 |
|
|
|
84 |
|
| Microchip Technology (A) |
|
|
13,883 |
|
|
|
656 |
|
| Microsemi* |
|
|
1,731 |
|
|
|
44 |
|
| MicroStrategy, Cl A* |
|
|
118 |
|
|
|
15 |
|
| MKS Instruments |
|
|
13,957 |
|
|
|
466 |
|
| Monolithic Power Systems |
|
|
6,335 |
|
|
|
279 |
|
| Monotype Imaging Holdings |
|
|
454 |
|
|
|
13 |
|
| Monster Worldwide* |
|
|
2,868 |
|
|
|
16 |
|
| Move* |
|
|
1,000 |
|
|
|
21 |
|
| MTS Systems, Cl A |
|
|
1,000 |
|
|
|
68 |
|
| National Instruments |
|
|
1,606 |
|
|
|
50 |
|
| NCR* |
|
|
3,736 |
|
|
|
125 |
|
| NETGEAR* |
|
|
11,600 |
|
|
|
363 |
|
| NetScout Systems* |
|
|
4,329 |
|
|
|
198 |
|
| NetSuite (A)* |
|
|
3,285 |
|
|
|
294 |
|
| NeuStar, Cl A (A)* |
|
|
1,000 |
|
|
|
25 |
|
| NIC |
|
|
13,854 |
|
|
|
239 |
|
| Nimble Storage (A)* |
|
|
7,959 |
|
|
|
207 |
|
| Nuance Communications* |
|
|
6,474 |
|
|
|
100 |
|
| NVE (A)* |
|
|
200 |
|
|
|
13 |
|
| NXP Semiconductor* |
|
|
11,743 |
|
|
|
804 |
|
| OmniVision Technologies* |
|
|
2,077 |
|
|
|
55 |
|
| ON Semiconductor* |
|
|
41,770 |
|
|
|
373 |
|
| OSI Systems* |
|
|
1,300 |
|
|
|
82 |
|
| Palo Alto Networks* |
|
|
13,214 |
|
|
|
1,296 |
|
| Pandora Media* |
|
|
34,347 |
|
|
|
830 |
|
| Peregrine Semiconductor* |
|
|
2,326 |
|
|
|
29 |
|
| Pericom Semiconductor, Cl A* |
|
|
1,168 |
|
|
|
11 |
|
| Photronics* |
|
|
31,059 |
|
|
|
250 |
|
| Plantronics |
|
|
1,100 |
|
|
|
53 |
|
| Plexus* |
|
|
1,500 |
|
|
|
55 |
|
| PMC - Sierra* |
|
|
28,762 |
|
|
|
215 |
|
| Polycom* |
|
|
8,000 |
|
|
|
98 |
|
| Power Integrations |
|
|
10,367 |
|
|
|
559 |
|
| Procera Networks* |
|
|
1,790 |
|
|
|
17 |
|
| Progress Software* |
|
|
6,993 |
|
|
|
167 |
|
| PTC* |
|
|
86,887 |
|
|
|
3,206 |
|
| Qlik Technologies* |
|
|
10,779 |
|
|
|
292 |
|
| Rackspace Hosting* |
|
|
2,944 |
|
|
|
96 |
|
| Rally Software Development (A)* |
|
|
19,932 |
|
|
|
239 |
|
| Rambus* |
|
|
9,259 |
|
|
|
115 |
|
| RF Micro Devices, Cl A (A)* |
|
|
55,116 |
|
|
|
636 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Riverbed Technology* |
|
|
3,096 |
|
|
$ |
57 |
|
| Rofin-Sinar Technologies* |
|
|
1,100 |
|
|
|
25 |
|
| Rovi* |
|
|
1,112 |
|
|
|
22 |
|
| Ruckus Wireless* |
|
|
22,363 |
|
|
|
299 |
|
| Sanmina* |
|
|
1,177 |
|
|
|
25 |
|
| Sapient* |
|
|
2,100 |
|
|
|
29 |
|
| Scansource* |
|
|
3,394 |
|
|
|
117 |
|
| Science Applications International |
|
|
4,528 |
|
|
|
200 |
|
| Seagate Technology |
|
|
19,200 |
|
|
|
1,100 |
|
| Semtech* |
|
|
31,053 |
|
|
|
843 |
|
| ServiceNow* |
|
|
13,477 |
|
|
|
792 |
|
| Shutterstock (A)* |
|
|
16,622 |
|
|
|
1,187 |
|
| Silicon Graphics International (A)* |
|
|
2,400 |
|
|
|
22 |
|
| Silicon Laboratories* |
|
|
13,651 |
|
|
|
555 |
|
| Skyworks Solutions |
|
|
4,477 |
|
|
|
260 |
|
| SolarWinds* |
|
|
21,320 |
|
|
|
897 |
|
| Solera Holdings |
|
|
900 |
|
|
|
51 |
|
| Sonus Networks* |
|
|
21,550 |
|
|
|
74 |
|
| Spansion, Cl A* |
|
|
35,317 |
|
|
|
805 |
|
| Splunk* |
|
|
8,168 |
|
|
|
452 |
|
| SS&C Technologies Holdings* |
|
|
8,778 |
|
|
|
385 |
|
| Stratasys* |
|
|
780 |
|
|
|
94 |
|
| SunEdison* |
|
|
27,550 |
|
|
|
520 |
|
| SunPower, Cl A (A)* |
|
|
821 |
|
|
|
28 |
|
| Sykes Enterprises* |
|
|
2,600 |
|
|
|
52 |
|
| Synaptics* |
|
|
13,144 |
|
|
|
962 |
|
| Synchronoss Technologies* |
|
|
349 |
|
|
|
16 |
|
| SYNNEX |
|
|
395 |
|
|
|
25 |
|
| Synopsys* |
|
|
26,169 |
|
|
|
1,039 |
|
| Syntel* |
|
|
1,400 |
|
|
|
123 |
|
| Tableau Software, Cl A* |
|
|
18,270 |
|
|
|
1,327 |
|
| Take-Two Interactive Software, Cl A* |
|
|
2,400 |
|
|
|
55 |
|
| Tech Data* |
|
|
12,100 |
|
|
|
712 |
|
| TeleTech Holdings* |
|
|
3,816 |
|
|
|
94 |
|
| Teradyne |
|
|
38,333 |
|
|
|
743 |
|
| Tessera Technologies |
|
|
4,036 |
|
|
|
107 |
|
| Textura (A)* |
|
|
506 |
|
|
|
13 |
|
| TIBCO Software, Cl E* |
|
|
9,438 |
|
|
|
223 |
|
| TiVo* |
|
|
2,000 |
|
|
|
26 |
|
| Total System Services |
|
|
2,800 |
|
|
|
87 |
|
| Trimble Navigation* |
|
|
5,604 |
|
|
|
171 |
|
| TriQuint Semiconductor* |
|
|
2,716 |
|
|
|
52 |
|
| Trulia (A)* |
|
|
691 |
|
|
|
34 |
|
| Twitter* |
|
|
10,583 |
|
|
|
546 |
|
| Tyler Technologies* |
|
|
8,899 |
|
|
|
787 |
|
| Ubiquiti Networks (A) |
|
|
8,100 |
|
|
|
304 |
|
| Ultimate Software Group* |
|
|
6,180 |
|
|
|
875 |
|
| United Online |
|
|
457 |
|
|
|
5 |
|
| Vantiv, Cl A* |
|
|
980 |
|
|
|
30 |
|
| Veeco Instruments* |
|
|
2,300 |
|
|
|
80 |
|
| VeriFone Holdings* |
|
|
16,046 |
|
|
|
552 |
|
| Verint Systems* |
|
|
20,139 |
|
|
|
1,120 |
|
| Viasat (A)* |
|
|
9,478 |
|
|
|
523 |
|
| Viasystems Group* |
|
|
876 |
|
|
|
14 |
|
| Virtusa* |
|
|
24,849 |
|
|
|
884 |
|
| Vishay Intertechnology |
|
|
29,200 |
|
|
|
417 |
|
| Vishay Precision Group* |
|
|
192 |
|
|
|
3 |
|
| Vistaprint (A)* |
|
|
900 |
|
|
|
49 |
|
| Web.com Group* |
|
|
38,592 |
|
|
|
770 |
|
| WebMD Health, Cl A* |
|
|
1,121 |
|
|
|
47 |
|
|
|
|
| 12 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Western Digital |
|
|
6,200 |
|
|
$ |
603 |
|
| WEX* |
|
|
9,732 |
|
|
|
1,073 |
|
| WNS Holdings ADR* |
|
|
34,410 |
|
|
|
775 |
|
| Workday, Cl A* |
|
|
5,152 |
|
|
|
425 |
|
| Xcerra* |
|
|
1,585 |
|
|
|
15 |
|
| Yelp, Cl A* |
|
|
11,556 |
|
|
|
789 |
|
| Zebra Technologies, Cl A* |
|
|
13,921 |
|
|
|
988 |
|
| Zillow, Cl A (A)* |
|
|
4,537 |
|
|
|
526 |
|
| Zynga, Cl A* |
|
|
14,512 |
|
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.4% |
|
|
|
|
|
|
|
|
| Advanced Emissions Solutions* |
|
|
516 |
|
|
|
11 |
|
| Air Products & Chemicals |
|
|
3,876 |
|
|
|
505 |
|
| AK Steel Holding (A)* |
|
|
3,410 |
|
|
|
27 |
|
| Albemarle |
|
|
13,410 |
|
|
|
790 |
|
| Allegheny Technologies |
|
|
33,253 |
|
|
|
1,234 |
|
| Allied Nevada Gold (A)* |
|
|
3,049 |
|
|
|
10 |
|
| AptarGroup |
|
|
1,800 |
|
|
|
109 |
|
| Ashland |
|
|
9,200 |
|
|
|
958 |
|
| Avery Dennison |
|
|
2,472 |
|
|
|
110 |
|
| Axiall |
|
|
3,045 |
|
|
|
109 |
|
| Balchem |
|
|
1,400 |
|
|
|
79 |
|
| Ball |
|
|
4,242 |
|
|
|
268 |
|
| Bemis |
|
|
1,700 |
|
|
|
65 |
|
| Berry Plastics Group* |
|
|
14,891 |
|
|
|
376 |
|
| Boise Cascade* |
|
|
400 |
|
|
|
12 |
|
| Cabot |
|
|
11,600 |
|
|
|
589 |
|
| Calgon Carbon* |
|
|
5,791 |
|
|
|
112 |
|
| Carpenter Technology |
|
|
3,319 |
|
|
|
150 |
|
| Century Aluminum* |
|
|
5,100 |
|
|
|
132 |
|
| Chemtura* |
|
|
1,730 |
|
|
|
40 |
|
| Clearwater Paper* |
|
|
800 |
|
|
|
48 |
|
| Compass Minerals International, Cl A |
|
|
1,100 |
|
|
|
93 |
|
| Crown Holdings* |
|
|
4,800 |
|
|
|
214 |
|
| Cytec Industries |
|
|
10,520 |
|
|
|
497 |
|
| Eagle Materials |
|
|
5,033 |
|
|
|
513 |
|
| Eastman Chemical |
|
|
4,248 |
|
|
|
344 |
|
| Ecolab |
|
|
1 |
|
|
|
— |
|
| Ferro* |
|
|
2,300 |
|
|
|
33 |
|
| Flotek Industries* |
|
|
1,999 |
|
|
|
52 |
|
| Glatfelter |
|
|
1,700 |
|
|
|
37 |
|
| Globe Specialty Metals |
|
|
5,200 |
|
|
|
95 |
|
| Gold Resource (A) |
|
|
2,062 |
|
|
|
10 |
|
| Graphic Packaging Holding* |
|
|
2,283 |
|
|
|
28 |
|
| Greif, Cl A |
|
|
4,464 |
|
|
|
196 |
|
| H.B. Fuller |
|
|
4,209 |
|
|
|
167 |
|
| Handy & Harman* |
|
|
715 |
|
|
|
19 |
|
| Headwaters, Cl A* |
|
|
1,045 |
|
|
|
13 |
|
| Horsehead Holding (A)* |
|
|
2,100 |
|
|
|
35 |
|
| Huntsman |
|
|
41,051 |
|
|
|
1,067 |
|
| Innophos Holdings |
|
|
7,786 |
|
|
|
429 |
|
| International Flavors & Fragrances |
|
|
1,459 |
|
|
|
140 |
|
| Kaiser Aluminum |
|
|
2,571 |
|
|
|
196 |
|
| KapStone Paper and Packaging* |
|
|
19,156 |
|
|
|
536 |
|
| Martin Marietta Materials, Cl A |
|
|
1,281 |
|
|
|
165 |
|
| Materion |
|
|
595 |
|
|
|
18 |
|
| Minerals Technologies |
|
|
18,125 |
|
|
|
1,118 |
|
| Neenah Paper, Cl A |
|
|
14,000 |
|
|
|
749 |
|
| NewMarket |
|
|
99 |
|
|
|
38 |
|
| Nucor |
|
|
7,706 |
|
|
|
418 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Olin |
|
|
34,800 |
|
|
$ |
879 |
|
| Owens-Illinois* |
|
|
11,560 |
|
|
|
301 |
|
| Packaging Corp of America |
|
|
2,600 |
|
|
|
166 |
|
| Platform Specialty Products* |
|
|
2,400 |
|
|
|
60 |
|
| Platform Speciatly Products (PIPE)* |
|
|
35,716 |
|
|
|
894 |
|
| PolyOne |
|
|
63,674 |
|
|
|
2,266 |
|
| Reliance Steel & Aluminum |
|
|
1,340 |
|
|
|
92 |
|
| Resolute Forest Products* |
|
|
1,718 |
|
|
|
27 |
|
| Rock-Tenn, Cl A |
|
|
8,290 |
|
|
|
394 |
|
| Rockwood Holdings |
|
|
1,363 |
|
|
|
104 |
|
| Royal Gold, Cl A |
|
|
4,187 |
|
|
|
272 |
|
| RPM International |
|
|
3,100 |
|
|
|
142 |
|
| RTI International Metals* |
|
|
9,007 |
|
|
|
222 |
|
| Schnitzer Steel Industries, Cl A |
|
|
8,382 |
|
|
|
202 |
|
| Schulman A |
|
|
3,375 |
|
|
|
122 |
|
| Schweitzer-Mauduit International |
|
|
10,535 |
|
|
|
435 |
|
| Scotts Miracle-Gro, Cl A |
|
|
1,500 |
|
|
|
82 |
|
| Sealed Air |
|
|
4,354 |
|
|
|
152 |
|
| Sensient Technologies |
|
|
23,831 |
|
|
|
1,248 |
|
| Sherwin-Williams, Cl A |
|
|
5,368 |
|
|
|
1,176 |
|
| Silgan Holdings |
|
|
39,270 |
|
|
|
1,846 |
|
| Sonoco Products |
|
|
1,400 |
|
|
|
55 |
|
| Steel Dynamics |
|
|
6,072 |
|
|
|
137 |
|
| Stillwater Mining* |
|
|
2,600 |
|
|
|
39 |
|
| SunCoke Energy* |
|
|
6,593 |
|
|
|
148 |
|
| Tahoe Resources* |
|
|
3,516 |
|
|
|
71 |
|
| TimkenSteel |
|
|
3,358 |
|
|
|
156 |
|
| Tredegar |
|
|
641 |
|
|
|
12 |
|
| UFP Technologies* |
|
|
13,800 |
|
|
|
303 |
|
| United States Steel (A) |
|
|
3,182 |
|
|
|
125 |
|
| Universal Stainless & Alloy* |
|
|
346 |
|
|
|
9 |
|
| US Silica Holdings (A) |
|
|
492 |
|
|
|
31 |
|
| Valspar |
|
|
1,860 |
|
|
|
147 |
|
| Westlake Chemical |
|
|
474 |
|
|
|
41 |
|
| Worthington Industries |
|
|
309 |
|
|
|
11 |
|
| WR Grace* |
|
|
1,400 |
|
|
|
127 |
|
| Zep |
|
|
713 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.5% |
|
|
|
|
|
|
|
|
| Boingo Wireless* |
|
|
3,128 |
|
|
|
22 |
|
| Cincinnati Bell, Cl A* |
|
|
4,400 |
|
|
|
15 |
|
| Cogent Communications Holdings |
|
|
11,955 |
|
|
|
402 |
|
| Consolidated Communications Holdings (A) |
|
|
1,000 |
|
|
|
25 |
|
| Frontier Communications (A) |
|
|
20,667 |
|
|
|
135 |
|
| inContact (A)* |
|
|
1,263 |
|
|
|
11 |
|
| Iridium Communications (A)* |
|
|
58,600 |
|
|
|
519 |
|
| Level 3 Communications (A)* |
|
|
3,256 |
|
|
|
149 |
|
| Premiere Global Services* |
|
|
16,400 |
|
|
|
196 |
|
| RingCentral, Cl A (A)* |
|
|
29,929 |
|
|
|
380 |
|
| SBA Communications, Cl A* |
|
|
2,217 |
|
|
|
246 |
|
| Shenandoah Telecommunications |
|
|
520 |
|
|
|
13 |
|
| Spok Holdings |
|
|
15,500 |
|
|
|
202 |
|
| T-Mobile US* |
|
|
932 |
|
|
|
27 |
|
| tw telecom, Cl A* |
|
|
5,300 |
|
|
|
220 |
|
| Vonage Holdings* |
|
|
10,100 |
|
|
|
33 |
|
| Windstream Holdings |
|
|
12,378 |
|
|
|
133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 13 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Utilities — 3.1% |
|
|
|
|
|
|
|
|
| AGL Resources |
|
|
15,461 |
|
|
$ |
794 |
|
| ALLETE |
|
|
11,815 |
|
|
|
524 |
|
| Alliant Energy |
|
|
1,300 |
|
|
|
72 |
|
| American States Water |
|
|
3,400 |
|
|
|
103 |
|
| American Water Works |
|
|
3,741 |
|
|
|
181 |
|
| Aqua America |
|
|
336 |
|
|
|
8 |
|
| Atmos Energy |
|
|
2,500 |
|
|
|
119 |
|
| Avista |
|
|
32,600 |
|
|
|
995 |
|
| Black Hills, Cl A |
|
|
2,714 |
|
|
|
130 |
|
| California Water Service Group, Cl A |
|
|
2,800 |
|
|
|
63 |
|
| Chesapeake Utilities |
|
|
600 |
|
|
|
25 |
|
| Cleco |
|
|
26,686 |
|
|
|
1,285 |
|
| CMS Energy |
|
|
10,600 |
|
|
|
314 |
|
| Dynegy, Cl A* |
|
|
3,600 |
|
|
|
104 |
|
| Edison International |
|
|
10,136 |
|
|
|
567 |
|
| El Paso Electric, Cl A |
|
|
4,700 |
|
|
|
172 |
|
| Empire District Electric (A) |
|
|
4,400 |
|
|
|
106 |
|
| Great Plains Energy |
|
|
54,770 |
|
|
|
1,324 |
|
| Hawaiian Electric Industries (A) |
|
|
4,800 |
|
|
|
127 |
|
| Idacorp, Cl A |
|
|
7,162 |
|
|
|
384 |
|
| Integrys Energy Group |
|
|
10,100 |
|
|
|
655 |
|
| ITC Holdings |
|
|
4,434 |
|
|
|
158 |
|
| Laclede Group |
|
|
2,600 |
|
|
|
121 |
|
| MDU Resources Group |
|
|
8,866 |
|
|
|
247 |
|
| MGE Energy |
|
|
2,400 |
|
|
|
89 |
|
| National Fuel Gas |
|
|
1,422 |
|
|
|
99 |
|
| New Jersey Resources |
|
|
750 |
|
|
|
38 |
|
| Northwest Natural Gas (A) |
|
|
3,203 |
|
|
|
135 |
|
| NorthWestern |
|
|
7,335 |
|
|
|
333 |
|
| NRG Energy |
|
|
4,979 |
|
|
|
152 |
|
| OGE Energy |
|
|
2,277 |
|
|
|
84 |
|
| Otter Tail |
|
|
1,800 |
|
|
|
48 |
|
| Pattern Energy Group, Cl A |
|
|
3,539 |
|
|
|
109 |
|
| Pepco Holdings |
|
|
3,471 |
|
|
|
93 |
|
| Piedmont Natural Gas (A) |
|
|
1,800 |
|
|
|
60 |
|
| Pinnacle West Capital |
|
|
1,100 |
|
|
|
60 |
|
| PNM Resources |
|
|
44,269 |
|
|
|
1,103 |
|
| Portland General Electric |
|
|
100,050 |
|
|
|
3,214 |
|
| Questar |
|
|
434 |
|
|
|
10 |
|
| SCANA |
|
|
29,391 |
|
|
|
1,458 |
|
| South Jersey Industries, Cl A |
|
|
5,977 |
|
|
|
319 |
|
| Southwest Gas |
|
|
11,892 |
|
|
|
578 |
|
| TECO Energy |
|
|
1,800 |
|
|
|
31 |
|
| UGI |
|
|
6,450 |
|
|
|
220 |
|
| UIL Holdings |
|
|
10,402 |
|
|
|
368 |
|
| Vectren |
|
|
2,100 |
|
|
|
84 |
|
| Westar Energy, Cl A |
|
|
1,900 |
|
|
|
65 |
|
| WGL Holdings |
|
|
1,200 |
|
|
|
50 |
|
| Xcel Energy |
|
|
21,336 |
|
|
|
649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,027 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $392,463) ($ Thousands) |
|
|
|
|
|
|
534,200 |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE TRADED FUND — 0.2% |
|
| iShares Russell 2000 ETF (A) |
|
|
8,119 |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded Fund
(Cost $613) ($ Thousands) |
|
|
|
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
rights/
Number of warrants/
Shares/ Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| RIGHTS — 0.0% |
|
|
|
|
|
|
|
|
| Central European Media Enterprises |
|
|
53 |
|
|
$ |
— |
|
| Chelseea Therapeutics International |
|
|
3,004 |
|
|
|
— |
|
| Cubist Pharmaceuticals (A) |
|
|
767 |
|
|
|
— |
|
| Endo Pharmaceuticals |
|
|
1,900 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Rights
(Cost $2) ($Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| WARRANTS — 0.0% |
|
|
|
|
|
|
|
|
| Magnum Hunter Expires 04/20/16* |
|
|
467 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total Warrants
(Cost $—) ($Thousands) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 7.5% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. 0.080%**†† (B) |
|
|
42,852,130 |
|
|
|
42,852 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $42,852) ($ Thousands) |
|
|
|
42,852 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 6.5% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
37,381,602 |
|
|
|
37,382 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $37,382) ($ Thousands) |
|
|
|
37,382 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.046%, 03/05/15 |
|
$ |
1,073 |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,073) ($ Thousands) |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 107.5%
(Cost $474,385) ($ Thousands) |
|
|
$ |
616,395 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| Russell 2000 Index E-MINI |
|
|
97 |
|
|
|
Dec-2014 |
|
|
$ |
(528 |
) |
| S&P Mid 400 Index E-MINI |
|
|
80 |
|
|
|
Dec-2014 |
|
|
|
(448 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $567,728 ($
Thousands).
|
|
|
| 14 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2014
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan at September 30, 2014 was
$41,356 ($ Thousands) |
| (B) |
|
This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2014
was $42,852 ($ Thousands). |
| (C) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
| (D) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange-Traded Fund
L.P. — Limited
Partnership
PIPE — Private Investment in Public Entity
PLC — Public Limited Company
S&P — Standard and Poor’s
Ser — Series
The following is a list of the
level of inputs used as of September 30, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
533,306 |
|
|
$ |
894 |
|
|
$ |
— |
|
|
$ |
534,200 |
|
| Exchange Traded Fund |
|
|
888 |
|
|
|
— |
|
|
|
— |
|
|
|
888 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Affiliated Partnership |
|
|
— |
|
|
|
42,852 |
|
|
|
— |
|
|
|
42,852 |
|
| Cash Equivalent |
|
|
37,382 |
|
|
|
— |
|
|
|
— |
|
|
|
37,382 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,073 |
|
|
|
— |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
571,576 |
|
|
$ |
44,819 |
|
|
$ |
— |
|
|
$ |
616,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financialp Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(976 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(976 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(976 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 15 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 98.9% |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 16.9% |
|
|
|
|
|
|
|
|
| Aaron’s |
|
|
5,100 |
|
|
$ |
124 |
|
| Advance Auto Parts |
|
|
2,700 |
|
|
|
352 |
|
| American Eagle Outfitters (A) |
|
|
27,303 |
|
|
|
396 |
|
| Apollo Education Group, Cl A* |
|
|
400 |
|
|
|
10 |
|
| Bed Bath & Beyond* |
|
|
6,316 |
|
|
|
416 |
|
| Best Buy |
|
|
7,800 |
|
|
|
262 |
|
| Big Lots |
|
|
6,200 |
|
|
|
267 |
|
| BorgWarner |
|
|
10,300 |
|
|
|
542 |
|
| Brinker International |
|
|
3,300 |
|
|
|
168 |
|
| Cabela’s* |
|
|
8,588 |
|
|
|
506 |
|
| Chipotle Mexican Grill, Cl A* |
|
|
895 |
|
|
|
597 |
|
| Cinemark Holdings |
|
|
1,200 |
|
|
|
41 |
|
| DeVry |
|
|
500 |
|
|
|
21 |
|
| Dick’s Sporting Goods |
|
|
3,800 |
|
|
|
167 |
|
| Dillard’s, Cl A |
|
|
1,600 |
|
|
|
175 |
|
| DineEquity |
|
|
700 |
|
|
|
57 |
|
| Dollar General* |
|
|
5,827 |
|
|
|
356 |
|
| DSW, Cl A |
|
|
5,000 |
|
|
|
150 |
|
| Foot Locker, Cl A |
|
|
4,400 |
|
|
|
245 |
|
| GameStop, Cl A (A) |
|
|
7,400 |
|
|
|
305 |
|
| Gap |
|
|
5,400 |
|
|
|
225 |
|
| Genuine Parts |
|
|
500 |
|
|
|
44 |
|
| Harley-Davidson, Cl A |
|
|
10,668 |
|
|
|
621 |
|
| Hasbro |
|
|
5,965 |
|
|
|
328 |
|
| Haverty Furniture |
|
|
1,400 |
|
|
|
30 |
|
| Hilton Worldwide Holdings* |
|
|
13,500 |
|
|
|
332 |
|
| Interpublic Group |
|
|
15,090 |
|
|
|
276 |
|
| Johnson Controls |
|
|
1,300 |
|
|
|
57 |
|
| Kohl’s |
|
|
2,100 |
|
|
|
128 |
|
| Lear |
|
|
2,200 |
|
|
|
190 |
|
| lululemon athletica (A)* |
|
|
4,050 |
|
|
|
170 |
|
| Macy’s |
|
|
4,800 |
|
|
|
279 |
|
| Marriott Vacations Worldwide* |
|
|
1,100 |
|
|
|
70 |
|
| Michael Kors Holdings* |
|
|
9,700 |
|
|
|
693 |
|
| Mohawk Industries* |
|
|
2,900 |
|
|
|
391 |
|
| Morningstar, Cl A |
|
|
700 |
|
|
|
48 |
|
| NetFlix* |
|
|
885 |
|
|
|
399 |
|
| Newell Rubbermaid, Cl B |
|
|
12,559 |
|
|
|
432 |
|
| News* |
|
|
9,200 |
|
|
|
150 |
|
| Nordstrom |
|
|
1,400 |
|
|
|
96 |
|
| Norwegian Cruise Line Holdings* |
|
|
9,600 |
|
|
|
346 |
|
| NVR* |
|
|
140 |
|
|
|
158 |
|
| Panera Bread, Cl A* |
|
|
2,000 |
|
|
|
325 |
|
| PetSmart (A) |
|
|
5,531 |
|
|
|
388 |
|
| Ralph Lauren, Cl A |
|
|
3,120 |
|
|
|
514 |
|
| Ross Stores |
|
|
3,700 |
|
|
|
280 |
|
| Ruth’s Chris Steak House |
|
|
1,400 |
|
|
|
15 |
|
| Sally Beauty Holdings* |
|
|
17,398 |
|
|
|
476 |
|
| Signet Jewelers |
|
|
2,175 |
|
|
|
248 |
|
| Starwood Hotels & Resorts Worldwide |
|
|
1,200 |
|
|
|
100 |
|
| Starz - Liberty Capital* |
|
|
2,600 |
|
|
|
86 |
|
| Steven Madden* |
|
|
1,500 |
|
|
|
48 |
|
| Tenneco* |
|
|
700 |
|
|
|
37 |
|
| Tesla Motors (A)* |
|
|
2,090 |
|
|
|
507 |
|
| Thor Industries |
|
|
3,300 |
|
|
|
170 |
|
| Toll Brothers* |
|
|
7,600 |
|
|
|
237 |
|
| TripAdvisor* |
|
|
4,000 |
|
|
|
366 |
|
| Ulta Salon Cosmetics & Fragrance* |
|
|
3,800 |
|
|
|
449 |
|
| Urban Outfitters* |
|
|
9,600 |
|
|
|
352 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| VF |
|
|
4,140 |
|
|
$ |
273 |
|
| Williams-Sonoma |
|
|
4,500 |
|
|
|
300 |
|
| Wyndham Worldwide |
|
|
2,900 |
|
|
|
236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 5.8% |
|
|
|
|
|
|
|
|
| Avon Products |
|
|
2,800 |
|
|
|
35 |
|
| Bunge |
|
|
2,500 |
|
|
|
211 |
|
| Coca-Cola Enterprises |
|
|
7,368 |
|
|
|
327 |
|
| ConAgra Foods |
|
|
6,700 |
|
|
|
221 |
|
| Darling Ingredients* |
|
|
14,930 |
|
|
|
274 |
|
| Hormel Foods |
|
|
900 |
|
|
|
46 |
|
| Ingredion |
|
|
3,160 |
|
|
|
239 |
|
| JM Smucker |
|
|
7,184 |
|
|
|
711 |
|
| Kroger |
|
|
15,988 |
|
|
|
831 |
|
| Molson Coors Brewing, Cl B |
|
|
6,331 |
|
|
|
471 |
|
| Monster Beverage* |
|
|
7,000 |
|
|
|
642 |
|
| Nu Skin Enterprises, Cl A |
|
|
1,700 |
|
|
|
77 |
|
| Pilgrim’s Pride* |
|
|
5,400 |
|
|
|
165 |
|
| Sanderson Farms |
|
|
200 |
|
|
|
18 |
|
| Sprouts Farmers Market (A)* |
|
|
9,752 |
|
|
|
283 |
|
| SYSCO, Cl A |
|
|
12,635 |
|
|
|
480 |
|
| Tyson Foods, Cl A |
|
|
6,100 |
|
|
|
240 |
|
| WhiteWave Foods, Cl A* |
|
|
5,500 |
|
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 6.0% |
|
|
|
|
|
|
|
|
| Antero Resources (A)* |
|
|
3,800 |
|
|
|
209 |
|
| Baker Hughes |
|
|
2,400 |
|
|
|
156 |
|
| Cabot Oil & Gas |
|
|
15,000 |
|
|
|
490 |
|
| Chesapeake Energy |
|
|
8,900 |
|
|
|
205 |
|
| Concho Resources* |
|
|
3,480 |
|
|
|
436 |
|
| Dril-Quip* |
|
|
2,500 |
|
|
|
223 |
|
| EQT |
|
|
7,403 |
|
|
|
678 |
|
| Helmerich & Payne |
|
|
2,000 |
|
|
|
196 |
|
| HollyFrontier |
|
|
1,000 |
|
|
|
44 |
|
| Laredo Petroleum (A)* |
|
|
11,400 |
|
|
|
256 |
|
| Marathon Petroleum |
|
|
2,200 |
|
|
|
186 |
|
| Murphy Oil |
|
|
1,800 |
|
|
|
102 |
|
| Nabors Industries |
|
|
6,267 |
|
|
|
143 |
|
| Newfield Exploration* |
|
|
7,685 |
|
|
|
285 |
|
| Noble Energy |
|
|
1,000 |
|
|
|
68 |
|
| Oasis Petroleum* |
|
|
8,555 |
|
|
|
358 |
|
| Oneok |
|
|
2,100 |
|
|
|
138 |
|
| Pioneer Natural Resources |
|
|
2,243 |
|
|
|
442 |
|
| Range Resources |
|
|
1,801 |
|
|
|
122 |
|
| RPC |
|
|
7,600 |
|
|
|
167 |
|
| SM Energy |
|
|
2,500 |
|
|
|
195 |
|
| Spectra Energy |
|
|
7,880 |
|
|
|
309 |
|
| Targa Resources |
|
|
600 |
|
|
|
82 |
|
| Valero Energy |
|
|
3,100 |
|
|
|
143 |
|
| Whiting Petroleum* |
|
|
1,100 |
|
|
|
85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 16.9% |
|
|
|
|
|
|
|
|
| Affiliated Managers Group* |
|
|
3,570 |
|
|
|
715 |
|
| Aflac |
|
|
1,900 |
|
|
|
111 |
|
| Alexandria Real Estate Equities† |
|
|
6,404 |
|
|
|
472 |
|
| Allstate |
|
|
5,384 |
|
|
|
330 |
|
| American Campus Communities† |
|
|
17,922 |
|
|
|
653 |
|
| American Capital Agency, Cl A† |
|
|
9,300 |
|
|
|
198 |
|
| American Financial Group |
|
|
3,200 |
|
|
|
185 |
|
| Ameriprise Financial |
|
|
5,831 |
|
|
|
719 |
|
| Annaly Capital Management† |
|
|
19,600 |
|
|
|
209 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Assured Guaranty |
|
|
7,100 |
|
|
$ |
157 |
|
| Brixmor Property Group† |
|
|
17,695 |
|
|
|
394 |
|
| Camden Property Trust† |
|
|
1,800 |
|
|
|
123 |
|
| CBRE Group, Cl A* |
|
|
25,300 |
|
|
|
753 |
|
| Chambers Street Properties† |
|
|
8,800 |
|
|
|
66 |
|
| Chimera Investment† |
|
|
17,700 |
|
|
|
54 |
|
| CIT Group |
|
|
4,600 |
|
|
|
211 |
|
| CNA Financial |
|
|
3,300 |
|
|
|
125 |
|
| East West Bancorp |
|
|
8,800 |
|
|
|
299 |
|
| Endurance Specialty Holdings |
|
|
6,638 |
|
|
|
366 |
|
| Fifth Third Bancorp |
|
|
31,301 |
|
|
|
627 |
|
| First Niagara Financial Group |
|
|
2,200 |
|
|
|
18 |
|
| Franklin Street Properties† |
|
|
9,200 |
|
|
|
103 |
|
| Fulton Financial |
|
|
14,300 |
|
|
|
158 |
|
| General Growth Properties† |
|
|
10,000 |
|
|
|
236 |
|
| Genworth Financial, Cl A* |
|
|
15,200 |
|
|
|
199 |
|
| Hancock Holding, Cl A |
|
|
10,479 |
|
|
|
336 |
|
| Hanover Insurance Group, Cl A |
|
|
6,655 |
|
|
|
409 |
|
| Hartford Financial Services Group |
|
|
13,438 |
|
|
|
501 |
|
| HCP† |
|
|
6,600 |
|
|
|
262 |
|
| Hospitality Properties Trust† |
|
|
6,700 |
|
|
|
180 |
|
| Host Hotels & Resorts† |
|
|
21,160 |
|
|
|
451 |
|
| Invesco Mortgage Capital† |
|
|
9,800 |
|
|
|
154 |
|
| Investors Bancorp |
|
|
39,121 |
|
|
|
396 |
|
| Jones Lang LaSalle |
|
|
1,760 |
|
|
|
222 |
|
| KeyCorp |
|
|
11,600 |
|
|
|
155 |
|
| Loews |
|
|
400 |
|
|
|
17 |
|
| McGraw-Hill |
|
|
800 |
|
|
|
67 |
|
| Moody’s |
|
|
4,875 |
|
|
|
461 |
|
| Mortgage Investment Trust† |
|
|
4,400 |
|
|
|
78 |
|
| Navient |
|
|
1,500 |
|
|
|
27 |
|
| Nelnet, Cl A |
|
|
2,100 |
|
|
|
90 |
|
| New Residential Investment† |
|
|
9,700 |
|
|
|
57 |
|
| PartnerRe |
|
|
700 |
|
|
|
77 |
|
| Piper Jaffray* |
|
|
1,600 |
|
|
|
84 |
|
| ProLogis† |
|
|
6,700 |
|
|
|
253 |
|
| Raymond James Financial |
|
|
500 |
|
|
|
27 |
|
| Regions Financial |
|
|
22,900 |
|
|
|
230 |
|
| Reinsurance Group of America, Cl A |
|
|
3,913 |
|
|
|
314 |
|
| Resource Capital† |
|
|
10,300 |
|
|
|
50 |
|
| Senior Housing Properties Trust† |
|
|
500 |
|
|
|
11 |
|
| Signature Bank NY, Cl B* |
|
|
3,000 |
|
|
|
336 |
|
| Strategic Hotels & Resorts*† |
|
|
6,000 |
|
|
|
70 |
|
| SunTrust Banks |
|
|
13,800 |
|
|
|
525 |
|
| T. Rowe Price Group |
|
|
3,300 |
|
|
|
259 |
|
| TCF Financial |
|
|
26,195 |
|
|
|
407 |
|
| TD Ameritrade Holding |
|
|
12,000 |
|
|
|
401 |
|
| Unum Group |
|
|
19,808 |
|
|
|
681 |
|
| Ventas† |
|
|
2,000 |
|
|
|
124 |
|
| Waddell & Reed Financial, Cl A |
|
|
3,200 |
|
|
|
165 |
|
| Willis Group Holdings |
|
|
7,371 |
|
|
|
305 |
|
| Zions Bancorporation |
|
|
12,594 |
|
|
|
366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 12.4% |
|
|
|
|
|
|
|
|
| Aetna, Cl A |
|
|
2,000 |
|
|
|
162 |
|
| Agilent Technologies |
|
|
8,500 |
|
|
|
484 |
|
| Alexion Pharmaceuticals* |
|
|
2,800 |
|
|
|
464 |
|
| AmerisourceBergen |
|
|
4,639 |
|
|
|
359 |
|
| Becton Dickinson |
|
|
800 |
|
|
|
91 |
|
| BioMarin Pharmaceuticals* |
|
|
800 |
|
|
|
58 |
|
| Boston Scientific* |
|
|
16,200 |
|
|
|
191 |
|
| Brookdale Senior Living, Cl A* |
|
|
9,400 |
|
|
|
303 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Bruker BioSciences* |
|
|
9,800 |
|
|
$ |
181 |
|
| C.R. Bard |
|
|
1,600 |
|
|
|
228 |
|
| CareFusion* |
|
|
16,133 |
|
|
|
730 |
|
| Cerner* |
|
|
4,800 |
|
|
|
286 |
|
| Charles River Laboratories International* |
|
|
9,102 |
|
|
|
544 |
|
| Cigna |
|
|
3,600 |
|
|
|
326 |
|
| Cooper, Cl A |
|
|
3,180 |
|
|
|
495 |
|
| Dentsply International |
|
|
8,400 |
|
|
|
383 |
|
| Endo International* |
|
|
1,000 |
|
|
|
68 |
|
| Envision Healthcare Holdings* |
|
|
9,600 |
|
|
|
333 |
|
| Health Net, Cl A* |
|
|
4,300 |
|
|
|
198 |
|
| Hill-Rom Holdings |
|
|
1,400 |
|
|
|
58 |
|
| Hologic* |
|
|
8,100 |
|
|
|
197 |
|
| Humana |
|
|
3,500 |
|
|
|
456 |
|
| Illumina* |
|
|
3,700 |
|
|
|
607 |
|
| Insulet* |
|
|
5,200 |
|
|
|
192 |
|
| Jazz Pharmaceuticals* |
|
|
2,960 |
|
|
|
475 |
|
| Laboratory Corp of America Holdings* |
|
|
400 |
|
|
|
41 |
|
| Mettler Toledo International* |
|
|
180 |
|
|
|
46 |
|
| Patterson |
|
|
13,272 |
|
|
|
550 |
|
| Pharmacyclics* |
|
|
1,300 |
|
|
|
153 |
|
| Premier, Cl A* |
|
|
7,100 |
|
|
|
233 |
|
| Quest Diagnostics |
|
|
7,090 |
|
|
|
430 |
|
| Quintiles Transnational Holdings* |
|
|
3,200 |
|
|
|
178 |
|
| Sirona Dental Systems, Cl A* |
|
|
4,250 |
|
|
|
326 |
|
| St. Jude Medical |
|
|
3,600 |
|
|
|
217 |
|
| United Therapeutics* |
|
|
1,800 |
|
|
|
231 |
|
| Universal Health Services, Cl B |
|
|
2,400 |
|
|
|
251 |
|
| Valeant Pharmaceuticals International* |
|
|
3,075 |
|
|
|
404 |
|
| Veeva Systems, Cl A* |
|
|
5,500 |
|
|
|
155 |
|
| Vertex Pharmaceuticals* |
|
|
3,800 |
|
|
|
427 |
|
| WellPoint |
|
|
700 |
|
|
|
84 |
|
| Zimmer Holdings |
|
|
1,200 |
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 14.4% |
|
|
|
|
|
|
|
|
| Acuity Brands (A) |
|
|
5,450 |
|
|
|
642 |
|
| Alaska Air Group |
|
|
4,200 |
|
|
|
183 |
|
| Amerco |
|
|
680 |
|
|
|
178 |
|
| Ametek |
|
|
4,500 |
|
|
|
226 |
|
| AO Smith |
|
|
8,700 |
|
|
|
411 |
|
| BE Aerospace* |
|
|
500 |
|
|
|
42 |
|
| Canadian Pacific Railway |
|
|
1,755 |
|
|
|
364 |
|
| Carlisle |
|
|
6,575 |
|
|
|
529 |
|
| Chicago Bridge & Iron |
|
|
1,600 |
|
|
|
92 |
|
| Cintas |
|
|
7,108 |
|
|
|
502 |
|
| Clean Harbors (A)* |
|
|
7,390 |
|
|
|
398 |
|
| Colfax* |
|
|
3,600 |
|
|
|
205 |
|
| Copa Holdings, Cl A |
|
|
1,300 |
|
|
|
140 |
|
| Delta Air Lines, Cl A |
|
|
10,600 |
|
|
|
383 |
|
| Dover |
|
|
7,832 |
|
|
|
629 |
|
| Expeditors International of Washington |
|
|
4,700 |
|
|
|
191 |
|
| Flowserve |
|
|
5,375 |
|
|
|
379 |
|
| Fluor |
|
|
5,016 |
|
|
|
335 |
|
| Fortune Brands Home & Security |
|
|
12,150 |
|
|
|
499 |
|
| HD Supply Holdings* |
|
|
16,700 |
|
|
|
455 |
|
| Hexcel, Cl A* |
|
|
3,500 |
|
|
|
139 |
|
| Huntington Ingalls Industries, Cl A |
|
|
1,200 |
|
|
|
125 |
|
| IDEX |
|
|
2,600 |
|
|
|
188 |
|
| Kirby* |
|
|
4,850 |
|
|
|
572 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| L-3 Communications Holdings |
|
|
1,980 |
|
|
$ |
236 |
|
| Lincoln Electric Holdings |
|
|
600 |
|
|
|
41 |
|
| Manpowergroup |
|
|
2,500 |
|
|
|
175 |
|
| Middleby* |
|
|
3,510 |
|
|
|
309 |
|
| MSC Industrial Direct, Cl A |
|
|
3,750 |
|
|
|
321 |
|
| Northrop Grumman |
|
|
1,100 |
|
|
|
145 |
|
| Old Dominion Freight Line, Cl A* |
|
|
3,000 |
|
|
|
212 |
|
| Oshkosh Truck |
|
|
3,800 |
|
|
|
168 |
|
| Pall |
|
|
5,925 |
|
|
|
496 |
|
| Parker-Hannifin, Cl A |
|
|
6,108 |
|
|
|
697 |
|
| Quanta Services* |
|
|
1,400 |
|
|
|
51 |
|
| Regal-Beloit |
|
|
5,602 |
|
|
|
360 |
|
| Southwest Airlines, Cl A |
|
|
9,600 |
|
|
|
324 |
|
| Spirit AeroSystems Holdings, Cl A* |
|
|
4,500 |
|
|
|
171 |
|
| Stanley Black & Decker |
|
|
5,621 |
|
|
|
499 |
|
| Stericycle, Cl A* |
|
|
3,000 |
|
|
|
350 |
|
| Toro |
|
|
1,700 |
|
|
|
101 |
|
| United Continental Holdings* |
|
|
2,500 |
|
|
|
117 |
|
| United Rentals* |
|
|
2,100 |
|
|
|
233 |
|
| WABCO Holdings* |
|
|
2,975 |
|
|
|
271 |
|
| Watsco |
|
|
2,500 |
|
|
|
215 |
|
| Xylem |
|
|
9,602 |
|
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 17.4% |
|
|
|
|
|
|
|
|
| Activision Blizzard |
|
|
2,000 |
|
|
|
42 |
|
| Akamai Technologies* |
|
|
500 |
|
|
|
30 |
|
| Alliance Data Systems* |
|
|
2,375 |
|
|
|
590 |
|
| Amphenol, Cl A |
|
|
5,050 |
|
|
|
504 |
|
| Analog Devices |
|
|
4,800 |
|
|
|
238 |
|
| Ansys* |
|
|
2,600 |
|
|
|
197 |
|
| Applied Materials |
|
|
24,400 |
|
|
|
527 |
|
| Arrow Electronics, Cl A* |
|
|
3,200 |
|
|
|
177 |
|
| Aruba Networks* |
|
|
7,800 |
|
|
|
168 |
|
| Autodesk, Cl A* |
|
|
7,600 |
|
|
|
419 |
|
| Avago Technologies, Cl A |
|
|
9,600 |
|
|
|
835 |
|
| Avnet |
|
|
4,500 |
|
|
|
187 |
|
| Booz Allen Hamilton Holding, Cl A |
|
|
3,600 |
|
|
|
84 |
|
| Broadcom, Cl A |
|
|
6,100 |
|
|
|
247 |
|
| Broadridge Financial Solutions |
|
|
3,600 |
|
|
|
150 |
|
| CA |
|
|
7,500 |
|
|
|
209 |
|
| Cadence Design Systems* |
|
|
29,336 |
|
|
|
505 |
|
| CDW |
|
|
900 |
|
|
|
28 |
|
| Ciena (A)* |
|
|
12,400 |
|
|
|
207 |
|
| Citrix Systems* |
|
|
7,091 |
|
|
|
506 |
|
| CommScope Holding* |
|
|
6,600 |
|
|
|
158 |
|
| CommVault Systems* |
|
|
3,050 |
|
|
|
154 |
|
| Computer Sciences |
|
|
2,900 |
|
|
|
177 |
|
| Concur Technologies (A)* |
|
|
2,500 |
|
|
|
317 |
|
| CoStar Group* |
|
|
2,100 |
|
|
|
327 |
|
| Dealertrack Technologies* |
|
|
5,600 |
|
|
|
243 |
|
| Demand Media* |
|
|
1,200 |
|
|
|
11 |
|
| Diebold |
|
|
7,425 |
|
|
|
262 |
|
| DST Systems |
|
|
2,100 |
|
|
|
176 |
|
| Electronic Arts* |
|
|
17,900 |
|
|
|
637 |
|
| F5 Networks, Cl A* |
|
|
400 |
|
|
|
48 |
|
| Fidelity National Information Services, Cl B |
|
|
9,220 |
|
|
|
519 |
|
| Fiserv, Cl A* |
|
|
4,000 |
|
|
|
259 |
|
| Guidewire Software, Cl Z* |
|
|
5,400 |
|
|
|
239 |
|
| Harris |
|
|
2,800 |
|
|
|
186 |
|
| IAC |
|
|
5,949 |
|
|
|
392 |
|
| Informatica* |
|
|
1,000 |
|
|
|
34 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Ingram Micro, Cl A* |
|
|
6,500 |
|
|
$ |
168 |
|
| Integrated Device Technology* |
|
|
2,200 |
|
|
|
35 |
|
| Intuit |
|
|
3,300 |
|
|
|
289 |
|
| Juniper Networks |
|
|
16,780 |
|
|
|
372 |
|
| Lam Research |
|
|
5,000 |
|
|
|
373 |
|
| Lexmark International, Cl A |
|
|
2,600 |
|
|
|
111 |
|
| LogMeIn* |
|
|
800 |
|
|
|
37 |
|
| Marvell Technology Group |
|
|
4,400 |
|
|
|
59 |
|
| Maxim Integrated Products |
|
|
1,200 |
|
|
|
36 |
|
| Microchip Technology (A) |
|
|
10,123 |
|
|
|
478 |
|
| Mobileye (A)* |
|
|
2,200 |
|
|
|
118 |
|
| NetApp |
|
|
3,100 |
|
|
|
133 |
|
| NXP Semiconductor* |
|
|
5,100 |
|
|
|
349 |
|
| Palo Alto Networks* |
|
|
2,900 |
|
|
|
284 |
|
| Pandora Media* |
|
|
8,000 |
|
|
|
193 |
|
| SanDisk (A) |
|
|
3,100 |
|
|
|
304 |
|
| ServiceNow* |
|
|
4,425 |
|
|
|
260 |
|
| Skyworks Solutions |
|
|
5,300 |
|
|
|
308 |
|
| Solera Holdings |
|
|
4,896 |
|
|
|
276 |
|
| Symantec, Cl A |
|
|
11,200 |
|
|
|
263 |
|
| Synopsys* |
|
|
19,415 |
|
|
|
771 |
|
| Tableau Software, Cl A* |
|
|
2,750 |
|
|
|
200 |
|
| Tech Data* |
|
|
800 |
|
|
|
47 |
|
| Twitter* |
|
|
6,000 |
|
|
|
310 |
|
| VeriFone Holdings* |
|
|
8,700 |
|
|
|
299 |
|
| Western Digital |
|
|
2,500 |
|
|
|
243 |
|
| Workday, Cl A* |
|
|
2,825 |
|
|
|
233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 4.6% |
|
|
|
|
|
|
|
|
| Air Products & Chemicals |
|
|
2,826 |
|
|
|
368 |
|
| Albemarle |
|
|
7,800 |
|
|
|
459 |
|
| Alcoa |
|
|
14,800 |
|
|
|
238 |
|
| Allegheny Technologies |
|
|
10,711 |
|
|
|
397 |
|
| Cabot |
|
|
1,900 |
|
|
|
97 |
|
| Celanese, Ser A |
|
|
3,600 |
|
|
|
211 |
|
| Compass Minerals International, Cl A |
|
|
1,900 |
|
|
|
160 |
|
| Eagle Materials |
|
|
2,900 |
|
|
|
295 |
|
| Eastman Chemical |
|
|
2,600 |
|
|
|
210 |
|
| Greif, Cl A |
|
|
6,033 |
|
|
|
264 |
|
| Nucor |
|
|
3,548 |
|
|
|
192 |
|
| Reliance Steel & Aluminum |
|
|
1,500 |
|
|
|
103 |
|
| Sherwin-Williams, Cl A |
|
|
2,885 |
|
|
|
632 |
|
| Silgan Holdings |
|
|
6,228 |
|
|
|
293 |
|
| Southern Copper |
|
|
900 |
|
|
|
27 |
|
| Steel Dynamics |
|
|
6,900 |
|
|
|
156 |
|
| Westlake Chemical |
|
|
2,600 |
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 0.0% |
|
|
|
|
|
|
|
|
| Intelsat* |
|
|
2,100 |
|
|
|
36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 4.5% |
|
|
|
|
|
|
|
|
| AES |
|
|
15,300 |
|
|
|
217 |
|
| AGL Resources |
|
|
12,264 |
|
|
|
630 |
|
| Calpine* |
|
|
9,600 |
|
|
|
208 |
|
| Edison International |
|
|
6,708 |
|
|
|
375 |
|
| Entergy |
|
|
3,100 |
|
|
|
240 |
|
| Great Plains Energy |
|
|
18,038 |
|
|
|
436 |
|
| MDU Resources Group |
|
|
5,300 |
|
|
|
147 |
|
| Portland General Electric (A) |
|
|
14,441 |
|
|
|
464 |
|
| PPL |
|
|
8,200 |
|
|
|
269 |
|
| Public Service Enterprise Group |
|
|
6,900 |
|
|
|
257 |
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/ Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| SCANA |
|
|
11,521 |
|
|
$ |
572 |
|
| UGI |
|
|
600 |
|
|
|
20 |
|
| Xcel Energy |
|
|
15,558 |
|
|
|
473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,308 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $80,813) ($ Thousands) |
|
|
|
93,810 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 3.7% |
|
| SEI Liquidity Fund, L.P.
0.080%**†† (B) |
|
|
3,517,405 |
|
|
|
3,517 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $3,517) ($ Thousands) |
|
|
|
3,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.0% |
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
4,703,015 |
|
|
|
4,703 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $4,703) ($ Thousands) |
|
|
|
4,703 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.044%, 03/05/15 |
|
$ |
189 |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $189) ($ Thousands) |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 107.8%
(Cost $89,222) ($ Thousands) |
|
|
$ |
102,219 |
|
|
|
|
|
|
|
|
|
|
During the year ended September 30, 2014, the Fund held futures contracts. As of September 30, 2014, the Fund did
not hold any futures contracts.
Percentages are based on Net Assets of $94,849 ($Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
This security or a partial position of this security is on loan at September 30, 2014. The total market value of securities on loan as of September 30, 2014 was
$3,393 ($ Thousands). |
| (B) |
|
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2014 was $3,517
($ Thousands). |
Cl — Class
L.P. — Limited Partnership
Ser — Series
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
93,810 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
93,810 |
|
| Affiliated Partnership |
|
|
— |
|
|
|
3,517 |
|
|
|
— |
|
|
|
3,517 |
|
| Cash Equivalent |
|
|
4,703 |
|
|
|
— |
|
|
|
— |
|
|
|
4,703 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
189 |
|
|
|
— |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
98,513 |
|
|
$ |
3,706 |
|
|
$ |
— |
|
|
$ |
102,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 97.7% |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 6.3% |
|
|
|
|
|
|
|
|
| Aaron’s |
|
|
32,761 |
|
|
$ |
797 |
|
| ANN* |
|
|
2,638 |
|
|
|
109 |
|
| Aramark |
|
|
52,125 |
|
|
|
1,371 |
|
| Big Lots |
|
|
28,000 |
|
|
|
1,205 |
|
| Buckle |
|
|
11,352 |
|
|
|
515 |
|
| Canadian Tire, Cl A |
|
|
23,100 |
|
|
|
2,372 |
|
| Carter’s |
|
|
31,300 |
|
|
|
2,426 |
|
| Cheesecake Factory |
|
|
5,583 |
|
|
|
254 |
|
| Citi Trends* |
|
|
3,459 |
|
|
|
76 |
|
| Columbia Sportswear |
|
|
6,266 |
|
|
|
224 |
|
| Cooper-Standard Holding* |
|
|
4,944 |
|
|
|
308 |
|
| Core-Mark Holding, Cl A |
|
|
9,748 |
|
|
|
517 |
|
| Cracker Barrel Old Country Store |
|
|
25,100 |
|
|
|
2,590 |
|
| DineEquity |
|
|
1,182 |
|
|
|
96 |
|
| DIRECTV* |
|
|
101,200 |
|
|
|
8,756 |
|
| Dollar General* |
|
|
41,720 |
|
|
|
2,549 |
|
| Dollar Tree* |
|
|
60,358 |
|
|
|
3,384 |
|
| Einstein Noah Restaurant Group |
|
|
4,043 |
|
|
|
81 |
|
| Foot Locker, Cl A |
|
|
51,700 |
|
|
|
2,877 |
|
| Group 1 Automotive |
|
|
858 |
|
|
|
62 |
|
| Hilton Worldwide Holdings* |
|
|
20,322 |
|
|
|
501 |
|
| Kohl’s |
|
|
147,477 |
|
|
|
9,001 |
|
| Lear |
|
|
29,140 |
|
|
|
2,518 |
|
| Liberty Tax* |
|
|
1,570 |
|
|
|
51 |
|
| NVR* |
|
|
2,509 |
|
|
|
2,835 |
|
| Outerwall* |
|
|
2,674 |
|
|
|
150 |
|
| PetSmart |
|
|
42,200 |
|
|
|
2,958 |
|
| Reading International, Cl A* |
|
|
9,460 |
|
|
|
79 |
|
| Regal Entertainment Group, Cl A |
|
|
15,740 |
|
|
|
313 |
|
| Rent-A-Center |
|
|
5,850 |
|
|
|
178 |
|
| Sturm Ruger |
|
|
1,231 |
|
|
|
60 |
|
| Target, Cl A |
|
|
124,580 |
|
|
|
7,809 |
|
| Thomson Reuters |
|
|
41,059 |
|
|
|
1,495 |
|
| Time Warner Cable, Cl A |
|
|
33,400 |
|
|
|
4,793 |
|
| Vera Bradley* |
|
|
9,351 |
|
|
|
194 |
|
| William Lyon Homes, Cl A* |
|
|
4,276 |
|
|
|
95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 17.0% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
155,000 |
|
|
|
7,121 |
|
| Archer-Daniels-Midland |
|
|
64,700 |
|
|
|
3,306 |
|
| Bunge |
|
|
76,224 |
|
|
|
6,420 |
|
| Cal-Maine Foods |
|
|
30,490 |
|
|
|
2,724 |
|
| Church & Dwight |
|
|
28,000 |
|
|
|
1,964 |
|
| Clorox |
|
|
102,580 |
|
|
|
9,852 |
|
| Coca-Cola Bottling Consolidated |
|
|
4,871 |
|
|
|
364 |
|
| Coca-Cola Enterprises |
|
|
50,763 |
|
|
|
2,252 |
|
| Colgate-Palmolive |
|
|
41,700 |
|
|
|
2,720 |
|
| ConAgra Foods |
|
|
136,700 |
|
|
|
4,517 |
|
| Constellation Brands, Cl A* |
|
|
16,432 |
|
|
|
1,432 |
|
| Costco Wholesale |
|
|
3,494 |
|
|
|
438 |
|
| CVS Health |
|
|
117,100 |
|
|
|
9,320 |
|
| Dr Pepper Snapple Group |
|
|
199,043 |
|
|
|
12,800 |
|
| Energizer Holdings |
|
|
19,600 |
|
|
|
2,415 |
|
| Fresh Del Monte Produce |
|
|
10,037 |
|
|
|
320 |
|
| General Mills, Cl A |
|
|
54,900 |
|
|
|
2,770 |
|
| Hershey |
|
|
63,157 |
|
|
|
6,027 |
|
| Hormel Foods |
|
|
81,152 |
|
|
|
4,170 |
|
| Ingredion |
|
|
25,300 |
|
|
|
1,918 |
|
| J&J Snack Foods |
|
|
1,654 |
|
|
|
155 |
|
| Kellogg |
|
|
78,473 |
|
|
|
4,834 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Kimberly-Clark |
|
|
36,091 |
|
|
$ |
3,882 |
|
| Kraft Foods |
|
|
50,600 |
|
|
|
2,854 |
|
| Kroger |
|
|
270,934 |
|
|
|
14,088 |
|
| Lorillard |
|
|
77,200 |
|
|
|
4,625 |
|
| Mead Johnson Nutrition, Cl A |
|
|
30,600 |
|
|
|
2,944 |
|
| Metro, Cl A |
|
|
40,300 |
|
|
|
2,701 |
|
| Molson Coors Brewing, Cl B |
|
|
83,600 |
|
|
|
6,223 |
|
| Orchids Paper Products |
|
|
3,509 |
|
|
|
86 |
|
| PepsiCo |
|
|
99,995 |
|
|
|
9,309 |
|
| Philip Morris International |
|
|
34,700 |
|
|
|
2,894 |
|
| Sanderson Farms |
|
|
46,145 |
|
|
|
4,058 |
|
| Tyson Foods, Cl A |
|
|
297,199 |
|
|
|
11,701 |
|
| Universal |
|
|
31,000 |
|
|
|
1,376 |
|
| Wal-Mart Stores |
|
|
204,211 |
|
|
|
15,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 4.8% |
|
|
|
|
|
|
|
|
| Baker Hughes |
|
|
12,500 |
|
|
|
813 |
|
| Cameron International* |
|
|
40,000 |
|
|
|
2,655 |
|
| Canadian Natural Resources |
|
|
45,620 |
|
|
|
1,772 |
|
| Cenovus Energy |
|
|
70,300 |
|
|
|
1,890 |
|
| Chevron |
|
|
113,463 |
|
|
|
13,538 |
|
| ConocoPhillips |
|
|
93,852 |
|
|
|
7,182 |
|
| CVR Energy |
|
|
55,800 |
|
|
|
2,496 |
|
| Exterran Holdings |
|
|
6,779 |
|
|
|
301 |
|
| Exxon Mobil |
|
|
81,300 |
|
|
|
7,646 |
|
| Halliburton |
|
|
41,900 |
|
|
|
2,703 |
|
| Jones Energy, Cl A* |
|
|
3,440 |
|
|
|
65 |
|
| Marathon Petroleum |
|
|
11,800 |
|
|
|
999 |
|
| SemGroup, Cl A |
|
|
867 |
|
|
|
72 |
|
| SM Energy |
|
|
37,900 |
|
|
|
2,956 |
|
| Targa Resources |
|
|
1,753 |
|
|
|
239 |
|
| Tesoro |
|
|
40,900 |
|
|
|
2,494 |
|
| World Fuel Services |
|
|
9,773 |
|
|
|
390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 17.8% |
|
|
|
|
|
|
|
|
| Allied World Assurance Holdings |
|
|
133,515 |
|
|
|
4,919 |
|
| Allstate |
|
|
135,255 |
|
|
|
8,301 |
|
| American Capital Agency, Cl A† |
|
|
55,100 |
|
|
|
1,171 |
|
| American Capital Mortgage Investment† |
|
|
25,854 |
|
|
|
487 |
|
| American Financial Group |
|
|
49,160 |
|
|
|
2,846 |
|
| American Tower, Cl A† |
|
|
30,200 |
|
|
|
2,828 |
|
| Annaly Capital Management† |
|
|
786,206 |
|
|
|
8,397 |
|
| Apollo Commercial Real Estate Finance† |
|
|
32,522 |
|
|
|
511 |
|
| Apollo Residential Mortgage† |
|
|
31,122 |
|
|
|
480 |
|
| Arrow Financial |
|
|
3,557 |
|
|
|
89 |
|
| Aspen Insurance Holdings |
|
|
5,586 |
|
|
|
239 |
|
| Assurant |
|
|
21,300 |
|
|
|
1,369 |
|
| AvalonBay Communities† |
|
|
19,200 |
|
|
|
2,707 |
|
| Axis Capital Holdings |
|
|
176,080 |
|
|
|
8,334 |
|
| BankFinancial |
|
|
5,749 |
|
|
|
60 |
|
| BOK Financial |
|
|
17,200 |
|
|
|
1,144 |
|
| Capstead Mortgage† |
|
|
49,527 |
|
|
|
606 |
|
| Cash America International |
|
|
6,843 |
|
|
|
300 |
|
| CBOE Holdings |
|
|
6,650 |
|
|
|
356 |
|
| CBRE Group, Cl A* |
|
|
67,200 |
|
|
|
1,999 |
|
| Central Pacific Financial |
|
|
18,470 |
|
|
|
331 |
|
| Charter Financial |
|
|
16,036 |
|
|
|
171 |
|
| Chimera Investment† |
|
|
171,988 |
|
|
|
523 |
|
| Chubb |
|
|
52,400 |
|
|
|
4,773 |
|
| CorEnergy Infrastructure Trust† |
|
|
23,241 |
|
|
|
174 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Customers Bancorp* |
|
|
3,446 |
|
|
$ |
62 |
|
| CYS Investments† |
|
|
14,196 |
|
|
|
117 |
|
| Digital Realty Trust, Cl A† |
|
|
36,300 |
|
|
|
2,264 |
|
| Dynex Capital† |
|
|
35,953 |
|
|
|
290 |
|
| Endurance Specialty Holdings |
|
|
53,380 |
|
|
|
2,945 |
|
| Essent Group* |
|
|
19,246 |
|
|
|
412 |
|
| Everest Re Group |
|
|
92,254 |
|
|
|
14,946 |
|
| First NBC Bank Holding* |
|
|
1,936 |
|
|
|
63 |
|
| Gaming and Leisure Properties† |
|
|
139,986 |
|
|
|
4,326 |
|
| Genworth MI Canada |
|
|
71,000 |
|
|
|
2,249 |
|
| Geo Group† |
|
|
2,751 |
|
|
|
105 |
|
| Greenlight Capital Re* |
|
|
7,767 |
|
|
|
252 |
|
| HCC Insurance Holdings |
|
|
43,000 |
|
|
|
2,076 |
|
| HCP† |
|
|
67,900 |
|
|
|
2,696 |
|
| Health Care† |
|
|
46,100 |
|
|
|
2,875 |
|
| Heritage Insurance Holdings* |
|
|
15,140 |
|
|
|
228 |
|
| Hospitality Properties Trust† |
|
|
102,100 |
|
|
|
2,741 |
|
| Independent Bank Group |
|
|
9,274 |
|
|
|
440 |
|
| Jones Lang LaSalle |
|
|
29,978 |
|
|
|
3,787 |
|
| Ladder Capital, Cl A* |
|
|
5,597 |
|
|
|
106 |
|
| MFA Financial† |
|
|
327,580 |
|
|
|
2,549 |
|
| MidWestOne Financial Group |
|
|
2,634 |
|
|
|
61 |
|
| Montpelier Re Holdings |
|
|
5,101 |
|
|
|
159 |
|
| Mortgage Investment Trust† |
|
|
6,956 |
|
|
|
124 |
|
| National Bank of Canada |
|
|
96,800 |
|
|
|
4,420 |
|
| Omega Healthcare Investors† |
|
|
36,800 |
|
|
|
1,258 |
|
| PartnerRe |
|
|
141,454 |
|
|
|
15,544 |
|
| PennyMac Financial Services, Cl A* |
|
|
20,674 |
|
|
|
303 |
|
| PennyMac Mortgage Investment Trust† |
|
|
89,100 |
|
|
|
1,909 |
|
| Peoples Financial Services |
|
|
4,557 |
|
|
|
210 |
|
| Platinum Underwriters Holdings |
|
|
43,670 |
|
|
|
2,658 |
|
| Public Storage† |
|
|
6,344 |
|
|
|
1,052 |
|
| Reinsurance Group of America, Cl A |
|
|
35,800 |
|
|
|
2,869 |
|
| RenaissanceRe Holdings |
|
|
100,489 |
|
|
|
10,048 |
|
| Select Income REIT† |
|
|
13,185 |
|
|
|
317 |
|
| Senior Housing Properties Trust† |
|
|
74,900 |
|
|
|
1,567 |
|
| Simon Property Group† |
|
|
17,053 |
|
|
|
2,804 |
|
| St. Joe* |
|
|
20,168 |
|
|
|
402 |
|
| Starwood Property Trust† |
|
|
38,563 |
|
|
|
847 |
|
| Talmer Bancorp, Cl A |
|
|
6,338 |
|
|
|
88 |
|
| Travelers |
|
|
133,367 |
|
|
|
12,528 |
|
| Tree.com* |
|
|
7,148 |
|
|
|
256 |
|
| Two Harbors Investment† |
|
|
366,004 |
|
|
|
3,539 |
|
| UDR† |
|
|
35,400 |
|
|
|
965 |
|
| Validus Holdings |
|
|
247,832 |
|
|
|
9,700 |
|
| Ventas† |
|
|
45,400 |
|
|
|
2,812 |
|
| Waterstone Financial |
|
|
6,571 |
|
|
|
76 |
|
| Wells Fargo |
|
|
64,300 |
|
|
|
3,335 |
|
| Wintrust Financial |
|
|
7,597 |
|
|
|
339 |
|
| WR Berkley |
|
|
2,524 |
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 16.8% |
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
45,500 |
|
|
|
1,892 |
|
| AbbVie |
|
|
41,800 |
|
|
|
2,414 |
|
| Aetna, Cl A |
|
|
90,100 |
|
|
|
7,298 |
|
| Air Methods* |
|
|
2,622 |
|
|
|
146 |
|
| Alliance HealthCare Services* |
|
|
2,276 |
|
|
|
51 |
|
| AmerisourceBergen |
|
|
123,074 |
|
|
|
9,514 |
|
| Amgen, Cl A |
|
|
51,100 |
|
|
|
7,178 |
|
| Analogic |
|
|
2,268 |
|
|
|
145 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| AstraZeneca ADR |
|
|
56,700 |
|
|
$ |
4,051 |
|
| Atrion |
|
|
442 |
|
|
|
135 |
|
| Baxter International |
|
|
109,760 |
|
|
|
7,877 |
|
| Becton Dickinson |
|
|
36,982 |
|
|
|
4,209 |
|
| Bio-Path Holdings* |
|
|
25,159 |
|
|
|
51 |
|
| Bio-Reference Laboratories* |
|
|
11,581 |
|
|
|
325 |
|
| Cardinal Health |
|
|
38,800 |
|
|
|
2,907 |
|
| Chemed |
|
|
2,736 |
|
|
|
282 |
|
| Cigna |
|
|
34,600 |
|
|
|
3,138 |
|
| Edwards Lifesciences, Cl A* |
|
|
5,500 |
|
|
|
562 |
|
| Eli Lilly |
|
|
82,585 |
|
|
|
5,356 |
|
| Emergent Biosolutions* |
|
|
2,836 |
|
|
|
60 |
|
| Ensign Group |
|
|
4,715 |
|
|
|
164 |
|
| Express Scripts Holding* |
|
|
114,759 |
|
|
|
8,105 |
|
| HCA Holdings* |
|
|
20,000 |
|
|
|
1,410 |
|
| Henry Schein* |
|
|
8,170 |
|
|
|
952 |
|
| Hologic* |
|
|
21,160 |
|
|
|
515 |
|
| Humana |
|
|
46,152 |
|
|
|
6,013 |
|
| ICU Medical* |
|
|
6,587 |
|
|
|
423 |
|
| Idexx Laboratories* |
|
|
43,118 |
|
|
|
5,080 |
|
| Integra LifeSciences Holdings* |
|
|
3,073 |
|
|
|
152 |
|
| Intuitive Surgical* |
|
|
101 |
|
|
|
47 |
|
| Johnson & Johnson |
|
|
118,700 |
|
|
|
12,652 |
|
| Laboratory Corp of America Holdings* |
|
|
35,415 |
|
|
|
3,603 |
|
| LDR Holding* |
|
|
5,092 |
|
|
|
158 |
|
| McKesson |
|
|
30,368 |
|
|
|
5,912 |
|
| Medtronic |
|
|
52,100 |
|
|
|
3,228 |
|
| Merck |
|
|
180,759 |
|
|
|
10,715 |
|
| Omnicare |
|
|
73,683 |
|
|
|
4,588 |
|
| Parexel International* |
|
|
6,896 |
|
|
|
435 |
|
| Pfizer |
|
|
353,100 |
|
|
|
10,441 |
|
| POZEN |
|
|
14,193 |
|
|
|
104 |
|
| Quest Diagnostics |
|
|
135,086 |
|
|
|
8,197 |
|
| Sagent Pharmaceuticals* |
|
|
5,588 |
|
|
|
174 |
|
| Sirona Dental Systems, Cl A* |
|
|
579 |
|
|
|
44 |
|
| STERIS, Cl A |
|
|
5,444 |
|
|
|
294 |
|
| Team Health Holdings* |
|
|
45,770 |
|
|
|
2,654 |
|
| Triple-S Management, Cl B* |
|
|
16,594 |
|
|
|
330 |
|
| UnitedHealth Group |
|
|
94,600 |
|
|
|
8,159 |
|
| WellPoint |
|
|
74,600 |
|
|
|
8,924 |
|
| Zimmer Holdings |
|
|
21,400 |
|
|
|
2,152 |
|
| Zoetis, Cl A |
|
|
142,025 |
|
|
|
5,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 4.1% |
|
|
|
|
|
|
|
|
| Alliant Techsystems |
|
|
39,710 |
|
|
|
5,069 |
|
| Deere |
|
|
63,600 |
|
|
|
5,214 |
|
| Engility Holdings* |
|
|
1,916 |
|
|
|
60 |
|
| General Dynamics |
|
|
24,100 |
|
|
|
3,063 |
|
| Huntington Ingalls Industries, Cl A |
|
|
17,400 |
|
|
|
1,813 |
|
| L-3 Communications Holdings |
|
|
52,800 |
|
|
|
6,279 |
|
| Landstar System |
|
|
8,435 |
|
|
|
609 |
|
| Lockheed Martin |
|
|
23,570 |
|
|
|
4,308 |
|
| Northrop Grumman |
|
|
54,100 |
|
|
|
7,128 |
|
| Raytheon |
|
|
72,200 |
|
|
|
7,337 |
|
| Viad |
|
|
14,776 |
|
|
|
305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 10.1% |
|
|
|
|
|
|
|
|
| Accenture, Cl A |
|
|
37,078 |
|
|
|
3,015 |
|
| Amdocs |
|
|
287,200 |
|
|
|
13,177 |
|
| Apple |
|
|
109,850 |
|
|
|
11,067 |
|
| Bel Fuse, Cl B |
|
|
4,749 |
|
|
|
118 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Benchmark Electronics* |
|
|
17,018 |
|
|
$ |
378 |
|
| Blackhawk Network Holdings, Cl A* |
|
|
11,203 |
|
|
|
363 |
|
| Blucora* |
|
|
16,247 |
|
|
|
248 |
|
| Booz Allen Hamilton Holding, Cl A |
|
|
41,896 |
|
|
|
980 |
|
| Cisco Systems |
|
|
225,100 |
|
|
|
5,666 |
|
| Computer Sciences |
|
|
8,051 |
|
|
|
492 |
|
| Dolby Laboratories, Cl A* |
|
|
21,100 |
|
|
|
881 |
|
| DST Systems |
|
|
8,255 |
|
|
|
693 |
|
| Echo Global Logistics* |
|
|
10,697 |
|
|
|
252 |
|
| Factset Research Systems |
|
|
22,839 |
|
|
|
2,776 |
|
| Forrester Research |
|
|
2,017 |
|
|
|
74 |
|
| Genpact* |
|
|
19,703 |
|
|
|
322 |
|
| Harris |
|
|
60,700 |
|
|
|
4,030 |
|
| Hewlett-Packard |
|
|
86,557 |
|
|
|
3,070 |
|
| Intel |
|
|
334,400 |
|
|
|
11,644 |
|
| International Business Machines |
|
|
69,759 |
|
|
|
13,242 |
|
| Intuit |
|
|
8,523 |
|
|
|
747 |
|
| Juniper Networks |
|
|
66,140 |
|
|
|
1,465 |
|
| Leidos Holdings |
|
|
54,750 |
|
|
|
1,880 |
|
| Lexmark International, Cl A |
|
|
61,200 |
|
|
|
2,601 |
|
| Manhattan Associates* |
|
|
2,911 |
|
|
|
97 |
|
| Microsoft |
|
|
196,700 |
|
|
|
9,119 |
|
| NetScout Systems* |
|
|
2,173 |
|
|
|
99 |
|
| Oracle, Cl B |
|
|
69,800 |
|
|
|
2,672 |
|
| Polycom* |
|
|
23,652 |
|
|
|
291 |
|
| Qualcomm |
|
|
43,900 |
|
|
|
3,282 |
|
| Science Applications International |
|
|
31,285 |
|
|
|
1,384 |
|
| Sykes Enterprises* |
|
|
16,160 |
|
|
|
323 |
|
| Symantec, Cl A |
|
|
22,909 |
|
|
|
539 |
|
| Tech Data* |
|
|
30,000 |
|
|
|
1,766 |
|
| Western Digital |
|
|
22,820 |
|
|
|
2,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100,974 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 1.7% |
|
|
|
|
|
|
|
|
| Ball |
|
|
51,300 |
|
|
|
3,246 |
|
| Bemis |
|
|
61,000 |
|
|
|
2,319 |
|
| Berry Plastics Group* |
|
|
4,573 |
|
|
|
115 |
|
| Clearwater Paper* |
|
|
4,723 |
|
|
|
284 |
|
| Compass Minerals International, Cl A |
|
|
14,557 |
|
|
|
1,227 |
|
| Domtar |
|
|
40,120 |
|
|
|
1,409 |
|
| Kaiser Aluminum |
|
|
4,502 |
|
|
|
343 |
|
| LyondellBasell Industries, Cl A |
|
|
29,100 |
|
|
|
3,162 |
|
| Royal Gold, Cl A |
|
|
3,784 |
|
|
|
246 |
|
| Scotts Miracle-Gro, Cl A |
|
|
31,603 |
|
|
|
1,738 |
|
| Sonoco Products |
|
|
26,000 |
|
|
|
1,022 |
|
| United States Steel |
|
|
51,900 |
|
|
|
2,033 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 6.7% |
|
|
|
|
|
|
|
|
| AT&T |
|
|
590,479 |
|
|
|
20,809 |
|
| BCE |
|
|
108,100 |
|
|
|
4,627 |
|
| CenturyTel |
|
|
133,751 |
|
|
|
5,469 |
|
| Intelsat* |
|
|
3,658 |
|
|
|
63 |
|
| NTT DoCoMo ADR |
|
|
260,300 |
|
|
|
4,358 |
|
| Premiere Global Services* |
|
|
5,195 |
|
|
|
62 |
|
| RingCentral, Cl A* |
|
|
4,829 |
|
|
|
61 |
|
| Rogers Communications, Cl B |
|
|
135,800 |
|
|
|
5,089 |
|
| SK Telecom ADR |
|
|
191,000 |
|
|
|
5,795 |
|
| TELUS |
|
|
145,354 |
|
|
|
4,971 |
|
| Verizon Communications |
|
|
303,469 |
|
|
|
15,170 |
|
| Windstream Holdings |
|
|
71,658 |
|
|
|
772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/ Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| Utilities — 12.4% |
|
|
|
|
|
|
|
|
| AES |
|
|
164,500 |
|
|
$ |
2,333 |
|
| AGL Resources |
|
|
37,589 |
|
|
|
1,930 |
|
| ALLETE |
|
|
4,210 |
|
|
|
187 |
|
| Ameren |
|
|
71,700 |
|
|
|
2,748 |
|
| American Electric Power |
|
|
160,900 |
|
|
|
8,401 |
|
| American Water Works |
|
|
73,443 |
|
|
|
3,542 |
|
| Artesian Resources, Cl A |
|
|
4,592 |
|
|
|
93 |
|
| Atmos Energy |
|
|
31,200 |
|
|
|
1,488 |
|
| Avista |
|
|
58,354 |
|
|
|
1,782 |
|
| Calpine* |
|
|
107,421 |
|
|
|
2,331 |
|
| Cleco |
|
|
5,387 |
|
|
|
259 |
|
| CMS Energy |
|
|
73,900 |
|
|
|
2,192 |
|
| Consolidated Edison |
|
|
168,544 |
|
|
|
9,550 |
|
| DTE Energy |
|
|
79,922 |
|
|
|
6,081 |
|
| Edison International |
|
|
208,526 |
|
|
|
11,661 |
|
| Empire District Electric |
|
|
7,765 |
|
|
|
188 |
|
| Entergy |
|
|
227,946 |
|
|
|
17,627 |
|
| Exelon |
|
|
214,600 |
|
|
|
7,316 |
|
| FirstEnergy |
|
|
62,330 |
|
|
|
2,092 |
|
| Hawaiian Electric Industries |
|
|
21,752 |
|
|
|
578 |
|
| Idacorp, Cl A |
|
|
10,940 |
|
|
|
586 |
|
| MGE Energy |
|
|
1,673 |
|
|
|
62 |
|
| New Jersey Resources |
|
|
3,190 |
|
|
|
161 |
|
| Northwest Natural Gas |
|
|
14,481 |
|
|
|
612 |
|
| NorthWestern |
|
|
5,717 |
|
|
|
259 |
|
| NRG Energy |
|
|
73,500 |
|
|
|
2,240 |
|
| NRG Yield, Cl A |
|
|
3,462 |
|
|
|
163 |
|
| Pattern Energy Group, Cl A |
|
|
13,655 |
|
|
|
422 |
|
| PG&E |
|
|
237,500 |
|
|
|
10,697 |
|
| PNM Resources |
|
|
16,629 |
|
|
|
414 |
|
| Portland General Electric |
|
|
129,946 |
|
|
|
4,174 |
|
| PPL |
|
|
76,200 |
|
|
|
2,502 |
|
| Public Service Enterprise Group |
|
|
256,555 |
|
|
|
9,554 |
|
| SCANA |
|
|
89,200 |
|
|
|
4,425 |
|
| SJW |
|
|
11,728 |
|
|
|
315 |
|
| Southern |
|
|
107,127 |
|
|
|
4,676 |
|
| Unitil |
|
|
17,382 |
|
|
|
540 |
|
| WGL Holdings |
|
|
1,507 |
|
|
|
63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,244 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $799,876) ($ Thousands) |
|
|
|
980,218 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 2.4% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
23,783,710 |
|
|
|
23,784 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $23,784) ($ Thousands) |
|
|
|
23,784 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (A) (B) — 0.1% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.040%, 03/05/15 |
|
$ |
888 |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $888) ($ Thousands) |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.2%
(Cost $824,548) ($ Thousands) |
|
|
$ |
1,004,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2014
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index E-MINI |
|
|
109 |
|
|
|
Dec-2014 |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,002,845 ($
Thousands).
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| (A) |
|
Security, or portion of thereof has been pledged as collateral on open futures contracts. |
| (B) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of September 30, 2014, in valuing the Fund’s
investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
980,218 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
980,218 |
|
| Cash Equivalent |
|
|
23,784 |
|
|
|
— |
|
|
|
— |
|
|
|
23,784 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
888 |
|
|
|
— |
|
|
|
888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,004,002 |
|
|
$ |
888 |
|
|
$ |
— |
|
|
$ |
1,004,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(87 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(87 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(87 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 92.5% |
|
|
|
|
|
|
|
|
|
|
|
| Australia — 6.1% |
|
|
|
|
|
|
|
|
| AGL Energy |
|
|
397,846 |
|
|
$ |
4,714 |
|
| Amcor |
|
|
1,200,680 |
|
|
|
11,904 |
|
| Asciano |
|
|
518,034 |
|
|
|
2,743 |
|
| Aurizon Holdings |
|
|
267,236 |
|
|
|
1,059 |
|
| AusNet Services |
|
|
3,936,921 |
|
|
|
4,702 |
|
| Brambles |
|
|
9,727 |
|
|
|
81 |
|
| CFS Retail Property Trust Group* |
|
|
1,798,287 |
|
|
|
3,139 |
|
| Coca-Cola Amatil |
|
|
474,642 |
|
|
|
3,647 |
|
| Federation Centres* |
|
|
769,447 |
|
|
|
1,737 |
|
| Flight Centre Travel Group |
|
|
97,087 |
|
|
|
3,632 |
|
| GPT Group, Cl Miscellaneous* |
|
|
181,256 |
|
|
|
614 |
|
| GrainCorp† |
|
|
34,668 |
|
|
|
259 |
|
| Hansen Technologies |
|
|
41,039 |
|
|
|
55 |
|
| Insurance Australia Group |
|
|
248,308 |
|
|
|
1,330 |
|
| Metcash, Cl A |
|
|
2,122,048 |
|
|
|
4,883 |
|
| Orica |
|
|
55,527 |
|
|
|
918 |
|
| Scentre Group*† |
|
|
1,393,508 |
|
|
|
4,000 |
|
| Sonic Healthcare |
|
|
271,135 |
|
|
|
4,162 |
|
| Sydney Airport |
|
|
840,809 |
|
|
|
3,142 |
|
| Tabcorp Holdings |
|
|
848,238 |
|
|
|
2,679 |
|
| Tatts Group |
|
|
2,508,565 |
|
|
|
6,915 |
|
| Telstra, Cl B |
|
|
1,938,131 |
|
|
|
8,989 |
|
| Transurban Group |
|
|
479,076 |
|
|
|
3,236 |
|
| Wesfarmers |
|
|
181,634 |
|
|
|
6,701 |
|
| Westfield* |
|
|
731,592 |
|
|
|
4,769 |
|
| Woodside Petroleum |
|
|
430,496 |
|
|
|
15,294 |
|
| Woolworths |
|
|
159,997 |
|
|
|
4,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Austria — 0.2% |
|
|
|
|
|
|
|
|
| CA Immobilien Anlagen |
|
|
30,245 |
|
|
|
604 |
|
| Flughafen Wien |
|
|
2,159 |
|
|
|
180 |
|
| Oesterreichische Post |
|
|
20,933 |
|
|
|
1,004 |
|
| Verbund |
|
|
36,862 |
|
|
|
743 |
|
| Voestalpine |
|
|
9,405 |
|
|
|
372 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belgium — 0.4% |
|
|
|
|
|
|
|
|
| Befimmo* |
|
|
9,069 |
|
|
|
673 |
|
| Belgacom |
|
|
135,199 |
|
|
|
4,707 |
|
| Cofinimmo*† |
|
|
2,912 |
|
|
|
330 |
|
| UCB, Cl A |
|
|
15,539 |
|
|
|
1,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada — 12.2% |
|
|
|
|
|
|
|
|
| Alimentation Couche-Tard, Cl B |
|
|
106,100 |
|
|
|
3,400 |
|
| Bank of Montreal |
|
|
143,700 |
|
|
|
10,599 |
|
| Bank of Nova Scotia, Cl C |
|
|
26,000 |
|
|
|
1,612 |
|
| Barrick Gold |
|
|
66,700 |
|
|
|
983 |
|
| Baytex Energy, Cl Common Subscription Receipt |
|
|
10,800 |
|
|
|
409 |
|
| BCE |
|
|
299,571 |
|
|
|
12,817 |
|
| Canadian Imperial Bank of Commerce |
|
|
169,300 |
|
|
|
15,239 |
|
| Canadian Tire, Cl A |
|
|
200,600 |
|
|
|
20,598 |
|
| Cenovus Energy |
|
|
13,100 |
|
|
|
353 |
|
| CGI Group, Cl A† |
|
|
32,400 |
|
|
|
1,097 |
|
| CI Financial |
|
|
10,700 |
|
|
|
323 |
|
| Dollarama |
|
|
79,500 |
|
|
|
6,758 |
|
| Emera |
|
|
132,700 |
|
|
|
4,160 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Empire, Cl A |
|
|
80,400 |
|
|
$ |
5,603 |
|
| Encana |
|
|
244,000 |
|
|
|
5,192 |
|
| EnerCare, Cl Common Subscription Receipt |
|
|
15,822 |
|
|
|
194 |
|
| Fairfax Financial Holdings |
|
|
4,400 |
|
|
|
1,976 |
|
| First Capital Realty |
|
|
56,400 |
|
|
|
884 |
|
| Fortis, Cl Common Subscription Receipt |
|
|
353,000 |
|
|
|
10,935 |
|
| Franco-Nevada |
|
|
10,900 |
|
|
|
536 |
|
| George Weston |
|
|
123,400 |
|
|
|
9,746 |
|
| Gildan Activewear |
|
|
23,700 |
|
|
|
1,299 |
|
| Great-West Lifeco, Cl Common Subscription Receipt |
|
|
24,300 |
|
|
|
700 |
|
| H&R* |
|
|
159,100 |
|
|
|
3,112 |
|
| Industrial Alliance Insurance and Financial Services† |
|
|
23,800 |
|
|
|
987 |
|
| Intact Financial, Cl Common Subscription Receipt |
|
|
129,600 |
|
|
|
8,409 |
|
| Jean Coutu Group PJC, Cl A |
|
|
26,400 |
|
|
|
555 |
|
| K-Bro Linen |
|
|
4,265 |
|
|
|
150 |
|
| Keyera |
|
|
11,300 |
|
|
|
913 |
|
| Laurentian Bank of Canada |
|
|
13,000 |
|
|
|
563 |
|
| Manitoba Telecom Services |
|
|
184,100 |
|
|
|
4,799 |
|
| Metro, Cl A |
|
|
235,400 |
|
|
|
15,777 |
|
| Morguard* |
|
|
28,100 |
|
|
|
466 |
|
| National Bank of Canada |
|
|
234,600 |
|
|
|
10,712 |
|
| North West |
|
|
14,282 |
|
|
|
286 |
|
| Open Text |
|
|
72,600 |
|
|
|
4,025 |
|
| Pembina Pipeline |
|
|
64,500 |
|
|
|
2,723 |
|
| Power Corp of Canada |
|
|
45,900 |
|
|
|
1,276 |
|
| RioCan* |
|
|
245,300 |
|
|
|
5,635 |
|
| Rogers Communications, Cl B |
|
|
328,200 |
|
|
|
12,311 |
|
| Royal Bank of Canada |
|
|
19,600 |
|
|
|
1,404 |
|
| Saputo |
|
|
231,800 |
|
|
|
6,498 |
|
| Shaw Communications, Cl B |
|
|
244,550 |
|
|
|
6,007 |
|
| Silver Wheaton, Cl H |
|
|
48,400 |
|
|
|
968 |
|
| Suncor Energy |
|
|
47,900 |
|
|
|
1,737 |
|
| Thomson Reuters, Cl B |
|
|
31,700 |
|
|
|
1,157 |
|
| Toronto-Dominion Bank |
|
|
201,200 |
|
|
|
9,951 |
|
| TransAlta |
|
|
19,800 |
|
|
|
208 |
|
| TransAlta Renewables |
|
|
20,300 |
|
|
|
211 |
|
| TransCanada |
|
|
44,800 |
|
|
|
2,312 |
|
| Valener |
|
|
33,226 |
|
|
|
468 |
|
| Vermilion Energy |
|
|
3,300 |
|
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
219,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| China — 0.2% |
|
|
|
|
|
|
|
|
| Chow Tai Fook Jewellery Group |
|
|
1,791,800 |
|
|
|
2,331 |
|
| Yangzijiang Shipbuilding Holdings |
|
|
1,133,000 |
|
|
|
1,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark — 1.1% |
|
|
|
|
|
|
|
|
| AP Moeller - Maersk, Cl B |
|
|
435 |
|
|
|
1,033 |
|
| Carlsberg, Cl B |
|
|
62,605 |
|
|
|
5,567 |
|
| H Lundbeck, Cl H |
|
|
9,346 |
|
|
|
209 |
|
| Matas |
|
|
18,059 |
|
|
|
415 |
|
| Royal UNIBREW |
|
|
9,662 |
|
|
|
1,609 |
|
| Schouw |
|
|
13,187 |
|
|
|
539 |
|
| TDC |
|
|
1,065,583 |
|
|
|
8,094 |
|
| Topdanmark† |
|
|
55,611 |
|
|
|
1,686 |
|
| William Demant Holding† |
|
|
6,723 |
|
|
|
516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Finland — 0.1% |
|
|
|
|
|
|
|
|
| Fortum |
|
|
62,888 |
|
|
$ |
1,534 |
|
| Olvi, Cl A |
|
|
1,700 |
|
|
|
51 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| France — 0.4% |
|
|
|
|
|
|
|
|
| Boiron |
|
|
6,078 |
|
|
|
508 |
|
| Bonduelle S.C.A. |
|
|
6,128 |
|
|
|
157 |
|
| Dassault Systemes |
|
|
59,651 |
|
|
|
3,832 |
|
| Ipsen |
|
|
5,955 |
|
|
|
293 |
|
| Korian-Medica |
|
|
7,057 |
|
|
|
266 |
|
| Orpea |
|
|
23,183 |
|
|
|
1,442 |
|
| Societe d’Edition de Canal |
|
|
13,049 |
|
|
|
97 |
|
| Tessi |
|
|
282 |
|
|
|
31 |
|
| Vilmorin & Cie |
|
|
2,548 |
|
|
|
272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Germany — 1.6% |
|
|
|
|
|
|
|
|
| E.ON |
|
|
281,170 |
|
|
|
5,148 |
|
| Fielmann |
|
|
99,528 |
|
|
|
6,110 |
|
| LEG Immobilien |
|
|
4,108 |
|
|
|
285 |
|
| MAN |
|
|
8,565 |
|
|
|
964 |
|
| Merck KGaA |
|
|
93,802 |
|
|
|
8,654 |
|
| Rhoen Klinikum |
|
|
171,257 |
|
|
|
5,197 |
|
| Stada Arzneimittel |
|
|
84,893 |
|
|
|
3,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greece — 0.4% |
|
|
|
|
|
|
|
|
| Coca-Cola HBC |
|
|
343,087 |
|
|
|
7,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Guernsey — 0.6% |
|
|
|
|
|
|
|
|
| Amdocs |
|
|
222,273 |
|
|
|
10,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 3.3% |
|
|
|
|
|
|
|
|
| Bank of East Asia |
|
|
126,800 |
|
|
|
514 |
|
| Cathay Pacific Airways |
|
|
408,000 |
|
|
|
752 |
|
| Cheung Kong Holdings |
|
|
165,000 |
|
|
|
2,718 |
|
| Cheung Kong Infrastructure Holdings |
|
|
674,000 |
|
|
|
4,731 |
|
| CLP Holdings, Cl B |
|
|
1,970,500 |
|
|
|
15,822 |
|
| Hang Seng Bank |
|
|
49,100 |
|
|
|
788 |
|
| HKT Trust |
|
|
105,000 |
|
|
|
127 |
|
| Hopewell Holdings |
|
|
124,500 |
|
|
|
436 |
|
| Hutchison Whampoa |
|
|
489,000 |
|
|
|
5,920 |
|
| Li & Fung |
|
|
994,000 |
|
|
|
1,129 |
|
| Link* |
|
|
963,500 |
|
|
|
5,552 |
|
| MTR |
|
|
305,000 |
|
|
|
1,194 |
|
| NWS Holdings |
|
|
90,000 |
|
|
|
160 |
|
| PCCW |
|
|
2,159,000 |
|
|
|
1,357 |
|
| Power Assets Holdings |
|
|
494,000 |
|
|
|
4,367 |
|
| Prosperity* |
|
|
586,000 |
|
|
|
182 |
|
| Sunlight* |
|
|
590,000 |
|
|
|
238 |
|
| Swire Pacific, Cl A |
|
|
554,500 |
|
|
|
7,141 |
|
| Transport International Holdings, Cl B |
|
|
14,000 |
|
|
|
26 |
|
| Uni-Bio Science Group† |
|
|
5,500,000 |
|
|
|
152 |
|
| Wynn Macau |
|
|
1,097,600 |
|
|
|
3,491 |
|
| Yue Yuen Industrial Holdings |
|
|
1,113,500 |
|
|
|
3,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.1% |
|
|
|
|
|
|
|
|
| Greencore Group |
|
|
43,794 |
|
|
|
166 |
|
| ICON† |
|
|
20,420 |
|
|
|
1,169 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Kerry Group, Cl A |
|
|
14,861 |
|
|
$ |
1,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 1.2% |
|
|
|
|
|
|
|
|
| Azrieli Group |
|
|
72,774 |
|
|
|
2,499 |
|
| Bank Hapoalim |
|
|
514,209 |
|
|
|
2,899 |
|
| Bank Leumi Le-Israel† |
|
|
259,787 |
|
|
|
1,052 |
|
| Formula Systems 1985 |
|
|
3,851 |
|
|
|
102 |
|
| Ituran Location and Control |
|
|
6,055 |
|
|
|
127 |
|
| Osem Investments |
|
|
47,885 |
|
|
|
1,027 |
|
| Paz Oil |
|
|
5,303 |
|
|
|
838 |
|
| Strauss Group |
|
|
29,468 |
|
|
|
543 |
|
| Teva Pharmaceutical Industries |
|
|
222,091 |
|
|
|
11,977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy — 0.2% |
|
|
|
|
|
|
|
|
| Amplifon |
|
|
57,150 |
|
|
|
320 |
|
| CSP International Fashion Group |
|
|
1,207 |
|
|
|
2 |
|
| Parmalat |
|
|
107,552 |
|
|
|
340 |
|
| Snam Rete Gas |
|
|
377,554 |
|
|
|
2,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Japan — 5.7% |
|
|
|
|
|
|
|
|
| Ajis |
|
|
1,300 |
|
|
|
21 |
|
| Alpen |
|
|
19,900 |
|
|
|
307 |
|
| Aozora Bank |
|
|
2,361,000 |
|
|
|
7,985 |
|
| Bic Camera† |
|
|
221,200 |
|
|
|
2,085 |
|
| Can Do |
|
|
38,400 |
|
|
|
591 |
|
| Canon |
|
|
311,100 |
|
|
|
10,126 |
|
| Coca-Cola West |
|
|
106,000 |
|
|
|
1,542 |
|
| Dunlop Sports |
|
|
15,300 |
|
|
|
177 |
|
| Duskin |
|
|
20,500 |
|
|
|
335 |
|
| Dydo Drinco |
|
|
54,400 |
|
|
|
2,147 |
|
| Earth Chemiclal† |
|
|
12,800 |
|
|
|
466 |
|
| FamilyMart, Cl H |
|
|
37,600 |
|
|
|
1,435 |
|
| Fancl |
|
|
204,200 |
|
|
|
2,506 |
|
| Hirose Electric |
|
|
5,700 |
|
|
|
704 |
|
| House Foods Group |
|
|
164,100 |
|
|
|
2,848 |
|
| Idemitsu Kosan |
|
|
17,300 |
|
|
|
367 |
|
| Ito En |
|
|
180,400 |
|
|
|
3,807 |
|
| Itochu-Shokuhin |
|
|
3,900 |
|
|
|
129 |
|
| Itoham Foods |
|
|
79,000 |
|
|
|
379 |
|
| Japan Airlines |
|
|
65,800 |
|
|
|
1,800 |
|
| Kappa Create Holdings |
|
|
48,400 |
|
|
|
463 |
|
| Kasumi |
|
|
16,300 |
|
|
|
148 |
|
| Kewpie |
|
|
547,800 |
|
|
|
9,249 |
|
| Key Coffee |
|
|
16,900 |
|
|
|
254 |
|
| Kinden |
|
|
4,000 |
|
|
|
41 |
|
| Kohnan Shoji |
|
|
69,100 |
|
|
|
769 |
|
| Kose |
|
|
158,600 |
|
|
|
6,737 |
|
| Kura |
|
|
22,100 |
|
|
|
618 |
|
| Lawson |
|
|
19,100 |
|
|
|
1,336 |
|
| Lion, Cl H |
|
|
1,339,400 |
|
|
|
7,204 |
|
| Mandom |
|
|
22,200 |
|
|
|
766 |
|
| Marudai Food |
|
|
82,000 |
|
|
|
306 |
|
| Matsuya Foods |
|
|
27,600 |
|
|
|
535 |
|
| Maxvalu Tokai |
|
|
3,300 |
|
|
|
45 |
|
| McDonald’s Holdings Japan |
|
|
48,700 |
|
|
|
1,204 |
|
| Megmilk Snow Brand |
|
|
57,200 |
|
|
|
748 |
|
| MID, Cl A* |
|
|
217 |
|
|
|
536 |
|
| Ministop |
|
|
92,000 |
|
|
|
1,282 |
|
| Mitsubishi Materials |
|
|
73,000 |
|
|
|
236 |
|
| Morinaga |
|
|
261,000 |
|
|
|
564 |
|
| Morinaga Milk Industry |
|
|
486,025 |
|
|
|
1,564 |
|
| MOS Food Services |
|
|
28,000 |
|
|
|
559 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Nagoya Railroad |
|
|
491,000 |
|
|
$ |
1,969 |
|
| Nihon Shokuhin Kako |
|
|
2,000 |
|
|
|
7 |
|
| Nippon Flour Mills |
|
|
149,000 |
|
|
|
721 |
|
| Nippon Telegraph & Telephone |
|
|
39,600 |
|
|
|
2,462 |
|
| Nisshin Oillio Group† |
|
|
339,000 |
|
|
|
1,140 |
|
| Noevir Holdings |
|
|
66,200 |
|
|
|
1,250 |
|
| NTT DOCOMO |
|
|
362,100 |
|
|
|
6,042 |
|
| Ohsho Food Service |
|
|
21,000 |
|
|
|
812 |
|
| Oracle Japan |
|
|
74,500 |
|
|
|
2,907 |
|
| Osaka Gas |
|
|
37,000 |
|
|
|
149 |
|
| Otsuka |
|
|
15,700 |
|
|
|
624 |
|
| Rock Field |
|
|
27,700 |
|
|
|
490 |
|
| Royal Holdings |
|
|
45,100 |
|
|
|
728 |
|
| Saizeriya |
|
|
19,400 |
|
|
|
260 |
|
| Sankyo |
|
|
19,400 |
|
|
|
695 |
|
| Shimamura |
|
|
4,800 |
|
|
|
441 |
|
| Sogo Medical |
|
|
3,500 |
|
|
|
170 |
|
| Starbucks Coffee Japan |
|
|
41,400 |
|
|
|
552 |
|
| Studio Alice |
|
|
26,600 |
|
|
|
342 |
|
| Tokai |
|
|
9,200 |
|
|
|
283 |
|
| Trend Micro |
|
|
31,700 |
|
|
|
1,072 |
|
| Yamada Denki |
|
|
320,900 |
|
|
|
936 |
|
| Yamazaki Baking |
|
|
29,000 |
|
|
|
374 |
|
| Yoshinoya Holdings |
|
|
232,700 |
|
|
|
2,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Jersey — 0.0% |
|
|
|
|
|
|
|
|
| Randgold Resources |
|
|
11,326 |
|
|
|
773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Netherlands — 1.0% |
|
|
|
|
|
|
|
|
| Heineken |
|
|
49,337 |
|
|
|
3,692 |
|
| Heineken Holding |
|
|
77,041 |
|
|
|
5,097 |
|
| Royal Dutch Shell, Cl A |
|
|
247,579 |
|
|
|
9,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Zealand — 1.4% |
|
|
|
|
|
|
|
|
| Air New Zealand |
|
|
933,402 |
|
|
|
1,411 |
|
| Argosy Property |
|
|
669,970 |
|
|
|
525 |
|
| Auckland International Airport |
|
|
1,349,322 |
|
|
|
4,049 |
|
| Chorus |
|
|
17,569 |
|
|
|
25 |
|
| Contact Energy |
|
|
304,308 |
|
|
|
1,418 |
|
| Fisher & Paykel Healthcare |
|
|
210,732 |
|
|
|
852 |
|
| Fletcher Building |
|
|
463,728 |
|
|
|
3,174 |
|
| Infratil |
|
|
102,751 |
|
|
|
227 |
|
| Meridian Energy |
|
|
204,165 |
|
|
|
228 |
|
| Mighty River Power |
|
|
166,163 |
|
|
|
332 |
|
| Port of Tauranga |
|
|
37,108 |
|
|
|
460 |
|
| Restaurant Brands New Zealand |
|
|
21,157 |
|
|
|
55 |
|
| Ryman Healthcare |
|
|
388,835 |
|
|
|
2,367 |
|
| SKY Network Television |
|
|
315,450 |
|
|
|
1,549 |
|
| Spark New Zealand |
|
|
3,800,886 |
|
|
|
8,799 |
|
| Summerset Group Holdings |
|
|
69,427 |
|
|
|
154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway — 2.5% |
|
|
|
|
|
|
|
|
| Cermaq |
|
|
33,389 |
|
|
|
503 |
|
| Norsk Hydro |
|
|
1,753,043 |
|
|
|
9,809 |
|
| Orkla |
|
|
1,215,013 |
|
|
|
10,991 |
|
| Statoil |
|
|
559,026 |
|
|
|
15,249 |
|
| Telenor |
|
|
399,567 |
|
|
|
8,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.7% |
|
|
|
|
|
|
|
|
| CTT - Correiose de Portugal |
|
|
51,107 |
|
|
|
497 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| EDP - Energias de Portugal |
|
|
2,298,197 |
|
|
$ |
10,031 |
|
| Portucel |
|
|
122,445 |
|
|
|
488 |
|
| REN - Redes Energeticas Nacionais SGPS |
|
|
137,066 |
|
|
|
462 |
|
| Semapa-Sociedade de Investimento e Gestao |
|
|
25,343 |
|
|
|
310 |
|
| Sonaecom - SGPS† |
|
|
260,450 |
|
|
|
549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore — 3.1% |
|
|
|
|
|
|
|
|
| CapitaCommercial Trust* |
|
|
1,719,000 |
|
|
|
2,150 |
|
| CapitaMall Trust* |
|
|
1,142,000 |
|
|
|
1,710 |
|
| China Yuchai International |
|
|
29,083 |
|
|
|
539 |
|
| ComfortDelGro |
|
|
793,000 |
|
|
|
1,492 |
|
| DBS Group Holdings |
|
|
240,000 |
|
|
|
3,466 |
|
| First* |
|
|
140,000 |
|
|
|
135 |
|
| Genting Singapore |
|
|
1,634,000 |
|
|
|
1,461 |
|
| Keppel |
|
|
543,000 |
|
|
|
4,471 |
|
| Keppel Land |
|
|
106,000 |
|
|
|
291 |
|
| Metro Holdings |
|
|
73,539 |
|
|
|
52 |
|
| MobileOne |
|
|
1,169,000 |
|
|
|
3,263 |
|
| OSIM International |
|
|
165,000 |
|
|
|
340 |
|
| Oversea-Chinese Banking |
|
|
34,000 |
|
|
|
260 |
|
| Raffles Medical Group |
|
|
70,000 |
|
|
|
211 |
|
| Sabana Shari’ah Compliant Industrial, Cl REIT* |
|
|
867,000 |
|
|
|
687 |
|
| Sembcorp Industries |
|
|
304,000 |
|
|
|
1,235 |
|
| Sembcorp Marine |
|
|
382,000 |
|
|
|
1,121 |
|
| Singapore Airlines |
|
|
280,000 |
|
|
|
2,160 |
|
| Singapore Exchange |
|
|
105,000 |
|
|
|
595 |
|
| Singapore Post |
|
|
1,935,000 |
|
|
|
2,724 |
|
| Singapore Press Holdings |
|
|
1,010,000 |
|
|
|
3,326 |
|
| Singapore Technologies Engineering |
|
|
26,000 |
|
|
|
74 |
|
| Singapore Telecommunications |
|
|
2,728,000 |
|
|
|
8,129 |
|
| StarHub |
|
|
2,903,000 |
|
|
|
9,379 |
|
| Venture |
|
|
30,000 |
|
|
|
179 |
|
| Wilmar International |
|
|
2,882,000 |
|
|
|
6,983 |
|
| Yanlord Land Group† |
|
|
394,000 |
|
|
|
332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain — 1.7% |
|
|
|
|
|
|
|
|
| Ebro Foods |
|
|
26,356 |
|
|
|
500 |
|
| EDP Renovaveis |
|
|
161,666 |
|
|
|
1,121 |
|
| Enagas |
|
|
110,978 |
|
|
|
3,579 |
|
| Endesa |
|
|
82,585 |
|
|
|
3,264 |
|
| Gas Natural SDG |
|
|
375,974 |
|
|
|
11,071 |
|
| Iberdrola |
|
|
1,567,508 |
|
|
|
11,227 |
|
| Red Electrica, Cl B |
|
|
4,304 |
|
|
|
373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 1.6% |
|
|
|
|
|
|
|
|
| Axfood |
|
|
128,061 |
|
|
|
6,634 |
|
| Hennes & Mauritz, Cl B |
|
|
245,579 |
|
|
|
10,204 |
|
| Industrivarden, Cl C |
|
|
86,727 |
|
|
|
1,517 |
|
| KappAhl† |
|
|
26,114 |
|
|
|
137 |
|
| Millicom International Cellular |
|
|
18,030 |
|
|
|
1,449 |
|
| Svenska Cellulosa SCA, Cl B |
|
|
19,460 |
|
|
|
465 |
|
| Swedish Match |
|
|
45,308 |
|
|
|
1,471 |
|
| Tele2, Cl B |
|
|
107,943 |
|
|
|
1,305 |
|
| TeliaSonera |
|
|
895,777 |
|
|
|
6,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Switzerland — 2.2% |
|
|
|
|
|
|
|
|
| Allreal Holding, Cl A |
|
|
26,508 |
|
|
$ |
3,429 |
|
| Alpiq Holding |
|
|
4,200 |
|
|
|
442 |
|
| Aryzta |
|
|
20,763 |
|
|
|
1,789 |
|
| Basler Kantonalbank, Cl H |
|
|
2,216 |
|
|
|
151 |
|
| Bell |
|
|
46 |
|
|
|
104 |
|
| Cembra Money Bank |
|
|
3,705 |
|
|
|
211 |
|
| Emmi |
|
|
1,224 |
|
|
|
418 |
|
| Galenica |
|
|
8,738 |
|
|
|
7,691 |
|
| Intershop Holdings |
|
|
15 |
|
|
|
6 |
|
| Kaba Holding |
|
|
2,684 |
|
|
|
1,247 |
|
| Lindt & Spruengli |
|
|
9 |
|
|
|
534 |
|
| Mobilezone Holding |
|
|
28,743 |
|
|
|
311 |
|
| Mobimo Holding |
|
|
892 |
|
|
|
173 |
|
| Nestle |
|
|
135,474 |
|
|
|
9,960 |
|
| Novartis |
|
|
6,270 |
|
|
|
591 |
|
| Orior |
|
|
660 |
|
|
|
37 |
|
| Siegfried Holding |
|
|
5,821 |
|
|
|
865 |
|
| Swisscom |
|
|
19,408 |
|
|
|
11,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 8.1% |
|
|
|
|
|
|
|
|
| Admiral Group |
|
|
126,414 |
|
|
|
2,629 |
|
| AstraZeneca |
|
|
17,161 |
|
|
|
1,236 |
|
| British American Tobacco |
|
|
177,012 |
|
|
|
9,992 |
|
| Centrica |
|
|
1,565,946 |
|
|
|
7,814 |
|
| Cranswick |
|
|
60,855 |
|
|
|
1,310 |
|
| Dairy Crest Group |
|
|
18,916 |
|
|
|
117 |
|
| GlaxoSmithKline |
|
|
551,211 |
|
|
|
12,626 |
|
| Greggs |
|
|
477,871 |
|
|
|
4,586 |
|
| Imperial Tobacco Group |
|
|
424,880 |
|
|
|
18,349 |
|
| J Sainsbury |
|
|
1,289,649 |
|
|
|
5,258 |
|
| Lookers |
|
|
81,939 |
|
|
|
178 |
|
| National Grid |
|
|
88,264 |
|
|
|
1,271 |
|
| Next, Cl A |
|
|
171,261 |
|
|
|
18,338 |
|
| Royal Dutch Shell, Cl A |
|
|
318,978 |
|
|
|
12,196 |
|
| Sage Group |
|
|
499,745 |
|
|
|
2,960 |
|
| Smith & Nephew |
|
|
318,596 |
|
|
|
5,372 |
|
| SSE |
|
|
761,936 |
|
|
|
19,109 |
|
| Stock Spirits Group† |
|
|
37,991 |
|
|
|
180 |
|
| Subsea 7 |
|
|
165,767 |
|
|
|
2,368 |
|
| Synergy Health |
|
|
46,324 |
|
|
|
1,100 |
|
| Tate & Lyle |
|
|
928,951 |
|
|
|
8,908 |
|
| Unilever |
|
|
221,462 |
|
|
|
9,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
145,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 36.4% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
247,785 |
|
|
|
11,383 |
|
| Amsurg† |
|
|
64,101 |
|
|
|
3,208 |
|
| Annaly Capital Management* |
|
|
894,849 |
|
|
|
9,557 |
|
| Apache |
|
|
7,249 |
|
|
|
680 |
|
| Apollo Residential Mortgage* |
|
|
55,860 |
|
|
|
862 |
|
| Apple |
|
|
94,608 |
|
|
|
9,532 |
|
| Archer-Daniels-Midland |
|
|
207,981 |
|
|
|
10,628 |
|
| Associated Banc-Corp |
|
|
38,441 |
|
|
|
669 |
|
| AT&T |
|
|
717,807 |
|
|
|
25,295 |
|
| Avista |
|
|
97,667 |
|
|
|
2,982 |
|
| Axis Capital Holdings |
|
|
32,156 |
|
|
|
1,522 |
|
| Baxter International |
|
|
64,294 |
|
|
|
4,614 |
|
| Becton Dickinson |
|
|
45,773 |
|
|
|
5,209 |
|
| Bemis |
|
|
6,866 |
|
|
|
261 |
|
| Benchmark Electronics† |
|
|
12,133 |
|
|
|
270 |
|
| Brookline Bancorp, Cl A |
|
|
79,953 |
|
|
|
684 |
|
| Bunge |
|
|
170,581 |
|
|
|
14,368 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| C.R. Bard |
|
|
18,314 |
|
|
$ |
2,614 |
|
| Cablevision Systems, Cl A |
|
|
448,285 |
|
|
|
7,850 |
|
| CACI International, Cl A† |
|
|
75,797 |
|
|
|
5,402 |
|
| Capitol Federal Financial |
|
|
743,249 |
|
|
|
8,785 |
|
| Charles River Laboratories International† |
|
|
55,617 |
|
|
|
3,323 |
|
| Chemed |
|
|
16,210 |
|
|
|
1,668 |
|
| Church & Dwight |
|
|
150,767 |
|
|
|
10,578 |
|
| Cigna |
|
|
98,641 |
|
|
|
8,946 |
|
| Citrix Systems† |
|
|
3,339 |
|
|
|
238 |
|
| Clorox |
|
|
250,249 |
|
|
|
24,034 |
|
| Coca-Cola |
|
|
36,521 |
|
|
|
1,558 |
|
| Coca-Cola Bottling Consolidated |
|
|
8,210 |
|
|
|
613 |
|
| Colgate-Palmolive |
|
|
162,349 |
|
|
|
10,588 |
|
| Computer Sciences |
|
|
43,351 |
|
|
|
2,651 |
|
| Comtech Telecommunications |
|
|
5,620 |
|
|
|
209 |
|
| ConocoPhillips |
|
|
138,094 |
|
|
|
10,567 |
|
| Consolidated Edison |
|
|
4,875 |
|
|
|
276 |
|
| Costco Wholesale |
|
|
51,102 |
|
|
|
6,404 |
|
| CVS Health |
|
|
8,850 |
|
|
|
704 |
|
| Dentsply International |
|
|
48,663 |
|
|
|
2,219 |
|
| Dice Holdings† |
|
|
211,413 |
|
|
|
1,772 |
|
| Dr Pepper Snapple Group |
|
|
160,946 |
|
|
|
10,350 |
|
| DST Systems |
|
|
102,790 |
|
|
|
8,626 |
|
| Duke Energy |
|
|
17,052 |
|
|
|
1,275 |
|
| EchoStar, Cl A† |
|
|
6,175 |
|
|
|
301 |
|
| Edwards Lifesciences, Cl A† |
|
|
5,911 |
|
|
|
604 |
|
| Empire District Electric |
|
|
293,355 |
|
|
|
7,085 |
|
| Energizer Holdings |
|
|
58,500 |
|
|
|
7,208 |
|
| Entergy |
|
|
335,474 |
|
|
|
25,942 |
|
| Estee Lauder, Cl A |
|
|
12,864 |
|
|
|
961 |
|
| Exelon |
|
|
362,890 |
|
|
|
12,371 |
|
| Factset Research Systems |
|
|
41,011 |
|
|
|
4,984 |
|
| Fair Isaac |
|
|
10,868 |
|
|
|
599 |
|
| Fresh Del Monte Produce |
|
|
95,487 |
|
|
|
3,046 |
|
| General Mills, Cl A |
|
|
298,725 |
|
|
|
15,071 |
|
| Harris |
|
|
148,685 |
|
|
|
9,873 |
|
| HealthSouth |
|
|
210,634 |
|
|
|
7,772 |
|
| Henry Schein† |
|
|
80,960 |
|
|
|
9,429 |
|
| Hershey |
|
|
31,999 |
|
|
|
3,054 |
|
| Hill-Rom Holdings |
|
|
240,790 |
|
|
|
9,976 |
|
| Home Depot |
|
|
19,636 |
|
|
|
1,801 |
|
| HomeTrust Bancshares† |
|
|
7,985 |
|
|
|
117 |
|
| Hormel Foods |
|
|
5,424 |
|
|
|
279 |
|
| ICU Medical† |
|
|
6,482 |
|
|
|
416 |
|
| Idacorp, Cl A |
|
|
5,386 |
|
|
|
289 |
|
| Ingredion |
|
|
13,269 |
|
|
|
1,005 |
|
| Intuit |
|
|
27,779 |
|
|
|
2,435 |
|
| Jack Henry & Associates |
|
|
132,375 |
|
|
|
7,368 |
|
| Johnson & Johnson |
|
|
203,545 |
|
|
|
21,696 |
|
| Juniper Networks |
|
|
123,318 |
|
|
|
2,732 |
|
| Kaiser Aluminum |
|
|
88,987 |
|
|
|
6,783 |
|
| Kellogg |
|
|
149,407 |
|
|
|
9,203 |
|
| Kimberly-Clark |
|
|
145,995 |
|
|
|
15,705 |
|
| Kohl’s |
|
|
47,705 |
|
|
|
2,911 |
|
| Laboratory Corp of America Holdings† |
|
|
139,753 |
|
|
|
14,220 |
|
| Liberty Media - Interactive, Cl A† |
|
|
110,363 |
|
|
|
3,148 |
|
| LifePoint Hospitals† |
|
|
152,993 |
|
|
|
10,586 |
|
| Mantech International, Cl A |
|
|
17,707 |
|
|
|
477 |
|
| McCormick |
|
|
34,199 |
|
|
|
2,288 |
|
| McDonald’s |
|
|
189,264 |
|
|
|
17,944 |
|
| MEDNAX† |
|
|
92,698 |
|
|
|
5,082 |
|
|
|
|
| 4 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Medtronic |
|
|
|
|
160,000 |
|
|
$ |
9,912 |
|
| Michael Kors Holdings† |
|
|
|
|
6,366 |
|
|
|
454 |
|
| Motorola Solutions |
|
|
|
|
94,397 |
|
|
|
5,973 |
|
| News† |
|
|
|
|
159,776 |
|
|
|
2,612 |
|
| Nordstrom |
|
|
|
|
5,451 |
|
|
|
373 |
|
| Northfield Bancorp |
|
|
|
|
76,188 |
|
|
|
1,038 |
|
| Northwest Bancshares |
|
|
|
|
73,031 |
|
|
|
884 |
|
| Nutrisystem |
|
|
|
|
57,739 |
|
|
|
887 |
|
| Oil-Dri Corp of America |
|
|
|
|
3,429 |
|
|
|
89 |
|
| Omnicare |
|
|
|
|
165,672 |
|
|
|
10,315 |
|
| Orchids Paper Products |
|
|
|
|
29,612 |
|
|
|
727 |
|
| Oritani Financial |
|
|
|
|
19,574 |
|
|
|
276 |
|
| Owens & Minor |
|
|
|
|
275,078 |
|
|
|
9,006 |
|
| Patterson |
|
|
|
|
206,773 |
|
|
|
8,567 |
|
| People’s United Financial |
|
|
|
|
212,328 |
|
|
|
3,072 |
|
| PepsiCo |
|
|
|
|
123,075 |
|
|
|
11,457 |
|
| Philip Morris International |
|
|
|
|
122,846 |
|
|
|
10,245 |
|
| Procter & Gamble |
|
|
|
|
296,378 |
|
|
|
24,819 |
|
| Provident Financial Services |
|
|
|
|
53,364 |
|
|
|
873 |
|
| Public Service Enterprise Group |
|
|
|
|
81,365 |
|
|
|
3,030 |
|
| Qualcomm |
|
|
|
|
129,657 |
|
|
|
9,694 |
|
| Quest Diagnostics |
|
|
|
|
111,625 |
|
|
|
6,773 |
|
| Reading International, Cl A† |
|
|
|
|
16,183 |
|
|
|
136 |
|
| Reliance Steel & Aluminum |
|
|
|
|
32,081 |
|
|
|
2,194 |
|
| Simplicity Bancorp |
|
|
|
|
5,945 |
|
|
|
100 |
|
| Southern |
|
|
|
|
47,166 |
|
|
|
2,059 |
|
| Steel Dynamics |
|
|
|
|
247,984 |
|
|
|
5,607 |
|
| STERIS, Cl A |
|
|
|
|
40,257 |
|
|
|
2,172 |
|
| Sykes Enterprises† |
|
|
|
|
29,937 |
|
|
|
598 |
|
| Symantec, Cl A |
|
|
|
|
35,358 |
|
|
|
831 |
|
| Synopsys† |
|
|
|
|
11,412 |
|
|
|
453 |
|
| Territorial Bancorp |
|
|
|
|
7,233 |
|
|
|
147 |
|
| Tim Hortons |
|
|
|
|
2,386 |
|
|
|
188 |
|
| Tyson Foods, Cl A |
|
|
|
|
32,581 |
|
|
|
1,283 |
|
| Unitil |
|
|
|
|
64,498 |
|
|
|
2,005 |
|
| Universal |
|
|
|
|
102,204 |
|
|
|
4,537 |
|
| Vectren |
|
|
|
|
11,673 |
|
|
|
466 |
|
| VeriSign† |
|
|
|
|
71,430 |
|
|
|
3,937 |
|
| Verizon Communications |
|
|
|
|
234,459 |
|
|
|
11,721 |
|
| Wal-Mart Stores |
|
|
|
|
188,723 |
|
|
|
14,432 |
|
| Weis Markets |
|
|
|
|
28,796 |
|
|
|
1,124 |
|
| Westar Energy, Cl A |
|
|
|
|
83,034 |
|
|
|
2,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
655,634 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,552,852) ($ Thousands) |
|
|
|
|
|
|
|
|
1,666,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 0.4% |
|
|
|
|
|
|
|
|
|
| Germany — 0.4% |
|
|
|
|
|
|
|
|
|
|
| Henkel & KGaA |
|
|
|
|
74,079 |
|
|
|
7,398 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $8,324) ($ Thousands) |
|
|
|
|
|
|
|
|
7,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.6% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%‡** |
|
|
|
|
101,853,307 |
|
|
|
101,853 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $101,853) ($ Thousands) |
|
|
|
|
|
|
|
|
101,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount (1)
(Thousands) |
|
|
Market Value
($ Thousands) |
|
| TIME DEPOSITS — 0.7% |
|
| Brown Brothers Harriman, |
|
|
|
|
|
|
|
|
|
|
|
|
| 2,750%, 10/01/2014 |
|
|
NZD |
|
|
|
208,331 |
|
|
$ |
162 |
|
| 1.578%, 10/01/2014 |
|
|
AUD |
|
|
|
615,521 |
|
|
|
539 |
|
| 0.299%, 10/01/2014 |
|
|
CAD |
|
|
|
155,998 |
|
|
|
140 |
|
| 0.060%, 10/01/2014 |
|
|
GBP |
|
|
|
363,321 |
|
|
|
589 |
|
| 0.030%, 10/01/2014 |
|
|
|
|
|
|
10,111,538 |
|
|
|
10,111 |
|
| 0.005%, 10/01/2014 |
|
|
HKD |
|
|
|
2,069,297 |
|
|
|
266 |
|
| 0.005%, 10/01/2014 |
|
|
JPY |
|
|
|
1,382,063 |
|
|
|
13 |
|
| 0.001%, 10/01/2014 |
|
|
CHF |
|
|
|
4,440 |
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Time Deposits
(Cost $11,825) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
11,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 0.5% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.046%, 5/28/2015 (A) |
|
|
|
|
|
|
3,873 |
|
|
|
3,872 |
|
| 0.042%, 3/5/2015 (A)(B) |
|
|
|
|
|
|
4,521 |
|
|
|
4,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $8,392) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
8,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.7%
(Cost $1,683,246) ($ Thousands) |
|
|
|
|
|
|
|
|
|
$ |
1,795,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| DJ Euro Stoxx 50 Index |
|
|
261 |
|
|
|
Dec-2014 |
|
|
$ |
(44 |
) |
| FTSE 100 Index |
|
|
78 |
|
|
|
Dec-2014 |
|
|
|
(171 |
) |
| Hang Seng Index |
|
|
13 |
|
|
|
Oct-2014 |
|
|
|
(90 |
) |
| S&P 500 Index EMINI |
|
|
448 |
|
|
|
Dec-2014 |
|
|
|
(238 |
) |
| SPI 200 Index |
|
|
35 |
|
|
|
Dec-2014 |
|
|
|
(110 |
) |
| Topix Index |
|
|
55 |
|
|
|
Dec-2014 |
|
|
|
115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(538 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for the derivative type during the year.
|
|
|
| 5 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2014
A list of the open forward foreign currency contracts held by the Fund at September 30, 2014, is as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maturity Date |
|
Currency
to Deliver
(Thousands) |
|
|
Currency
to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
($ Thousands) |
|
| 10/30/14 |
|
|
AUD |
|
|
|
141,122 |
|
|
|
USD |
|
|
|
124,135 |
|
|
$ |
928 |
|
| 10/30/14 |
|
|
CAD |
|
|
|
266,390 |
|
|
|
USD |
|
|
|
240,085 |
|
|
|
1,855 |
|
| 10/30/14 |
|
|
CHF |
|
|
|
44,282 |
|
|
|
USD |
|
|
|
46,768 |
|
|
|
401 |
|
| 10/30/14 |
|
|
DKK |
|
|
|
139,333 |
|
|
|
USD |
|
|
|
23,861 |
|
|
|
209 |
|
| 10/30/14 |
|
|
EUR |
|
|
|
119,518 |
|
|
|
USD |
|
|
|
152,405 |
|
|
|
1,414 |
|
| 10/30/14 |
|
|
GBP |
|
|
|
101,914 |
|
|
|
USD |
|
|
|
166,329 |
|
|
|
1,177 |
|
| 10/30/14 |
|
|
HKD |
|
|
|
517,621 |
|
|
|
USD |
|
|
|
66,751 |
|
|
|
92 |
|
| 10/30/14 |
|
|
JPY |
|
|
|
11,567,026 |
|
|
|
USD |
|
|
|
106,436 |
|
|
|
952 |
|
| 10/30/14 |
|
|
NOK |
|
|
|
351,112 |
|
|
|
USD |
|
|
|
54,824 |
|
|
|
194 |
|
| 10/30/14 |
|
|
NZD |
|
|
|
36,113 |
|
|
|
USD |
|
|
|
28,592 |
|
|
|
536 |
|
| 10/30/14 |
|
|
SEK |
|
|
|
205,928 |
|
|
|
USD |
|
|
|
28,559 |
|
|
|
(13 |
) |
| 10/30/14 |
|
|
SGD |
|
|
|
102,337 |
|
|
|
USD |
|
|
|
80,717 |
|
|
|
458 |
|
| 10/30/14 |
|
|
USD |
|
|
|
1,567 |
|
|
|
AUD |
|
|
|
1,791 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
1,398 |
|
|
|
CAD |
|
|
|
1,560 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
265 |
|
|
|
CHF |
|
|
|
252 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
139 |
|
|
|
DKK |
|
|
|
817 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
906 |
|
|
|
EUR |
|
|
|
714 |
|
|
|
(5 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
1,119 |
|
|
|
GBP |
|
|
|
689 |
|
|
|
(2 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
824 |
|
|
|
HKD |
|
|
|
6,395 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
739 |
|
|
|
JPY |
|
|
|
80,677 |
|
|
|
(3 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
593 |
|
|
|
NOK |
|
|
|
3,814 |
|
|
|
1 |
|
| 10/30/14 |
|
|
USD |
|
|
|
274 |
|
|
|
NZD |
|
|
|
351 |
|
|
|
(1 |
) |
| 10/30/14 |
|
|
USD |
|
|
|
305 |
|
|
|
SEK |
|
|
|
2,208 |
|
|
|
1 |
|
| 10/30/14 |
|
|
USD |
|
|
|
707 |
|
|
|
SGD |
|
|
|
900 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
8,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30,
2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency to
Deliver
($ Thousands) |
|
|
Currency to
Receive
($ Thousands) |
|
|
Unrealized
Appreciation
($ Thousands) |
|
| Brown Brothers Harriman |
|
|
(1,120,096 |
) |
|
|
1,128,280 |
|
|
$ |
8,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open forward currency contracts, as presented in the
table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on Net Assets of
$1,800,876 ($Thousands).
| (1) |
|
In U.S. Dollars unless otherwise indicated. |
| † |
|
Non-income producing security. |
| ‡ |
|
Investment in Affiliated Security. |
| * |
|
Real Estate Investment Trust. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| (A) |
|
Security, or portion thereof has been pledged as collateral on open futures contracts. |
| (B) |
|
The rate reported is the effective yield at the time of purchase. |
AUD — Australia Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Denmark Krone
EUR — Euro
FTSE — Financial
Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD — New Zealand
Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — United
States Dollar
The following is a summary of the inputs used as of September 30, 2014, in valuing the Fund’s
investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
1,640,667 |
|
|
$ |
25,480 |
|
|
$ |
— |
|
|
$ |
1,666,147 |
|
| Preferred Stock |
|
|
7,398 |
|
|
|
— |
|
|
|
— |
|
|
|
7,398 |
|
| Cash Equivalent |
|
|
101,853 |
|
|
|
— |
|
|
|
— |
|
|
|
101,853 |
|
| Time Deposits |
|
|
— |
|
|
|
11,825 |
|
|
|
— |
|
|
|
11,825 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
8,393 |
|
|
|
— |
|
|
|
8,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
1,749,918 |
|
|
$ |
45,698 |
|
|
$ |
— |
|
|
$ |
1,795,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
$ |
115 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
115 |
|
| Unrealized Depreciation |
|
|
(653 |
) |
|
|
— |
|
|
|
— |
|
|
|
(653 |
) |
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
— |
|
|
|
8,218 |
|
|
|
— |
|
|
|
8,218 |
|
| Unrealized Depreciation |
|
|
— |
|
|
|
(34 |
) |
|
|
— |
|
|
|
(34 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(538 |
) |
|
$ |
8,184 |
|
|
$ |
— |
|
|
$ |
7,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts and Forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 6 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| COMMON STOCK — 94.0% |
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary — 5.6% |
|
|
|
|
|
|
|
|
| Advance Auto Parts |
|
|
7,500 |
|
|
$ |
977 |
|
| Big Lots |
|
|
16,600 |
|
|
|
714 |
|
| Canadian Tire, Cl A |
|
|
24,100 |
|
|
|
2,474 |
|
| Cogeco Cable |
|
|
10,500 |
|
|
|
538 |
|
| Cracker Barrel Old Country Store |
|
|
11,300 |
|
|
|
1,166 |
|
| DIRECTV* |
|
|
70,300 |
|
|
|
6,082 |
|
| Dollar General* |
|
|
13,022 |
|
|
|
796 |
|
| Foot Locker, Cl A |
|
|
37,800 |
|
|
|
2,104 |
|
| Graham Holdings, Cl B |
|
|
1,400 |
|
|
|
979 |
|
| Kohl’s |
|
|
43,600 |
|
|
|
2,661 |
|
| Lear |
|
|
21,160 |
|
|
|
1,829 |
|
| Madison Square Garden, Cl A* |
|
|
9,754 |
|
|
|
645 |
|
| Magna International, Cl A |
|
|
8,600 |
|
|
|
816 |
|
| McDonald’s |
|
|
62,325 |
|
|
|
5,909 |
|
| Morningstar, Cl A |
|
|
58,110 |
|
|
|
3,946 |
|
| PetSmart |
|
|
30,700 |
|
|
|
2,152 |
|
| Scripps Networks Interactive, Cl A |
|
|
5,100 |
|
|
|
398 |
|
| Target, Cl A |
|
|
92,991 |
|
|
|
5,829 |
|
| Time Warner Cable, Cl A |
|
|
18,400 |
|
|
|
2,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Staples — 19.8% |
|
|
|
|
|
|
|
|
| Altria Group |
|
|
242,883 |
|
|
|
11,158 |
|
| Archer-Daniels-Midland |
|
|
46,400 |
|
|
|
2,371 |
|
| Brown-Forman, Cl B |
|
|
10,201 |
|
|
|
920 |
|
| Cal-Maine Foods |
|
|
34,300 |
|
|
|
3,064 |
|
| Campbell Soup |
|
|
14,306 |
|
|
|
611 |
|
| Church & Dwight |
|
|
80,204 |
|
|
|
5,627 |
|
| Clorox |
|
|
55,666 |
|
|
|
5,346 |
|
| Coca-Cola Enterprises |
|
|
49,400 |
|
|
|
2,192 |
|
| Colgate-Palmolive |
|
|
68,913 |
|
|
|
4,495 |
|
| ConAgra Foods |
|
|
129,738 |
|
|
|
4,286 |
|
| Costco Wholesale |
|
|
40,729 |
|
|
|
5,104 |
|
| CVS Health |
|
|
62,200 |
|
|
|
4,951 |
|
| Dr Pepper Snapple Group |
|
|
74,400 |
|
|
|
4,785 |
|
| Energizer Holdings |
|
|
13,500 |
|
|
|
1,663 |
|
| General Mills, Cl A |
|
|
56,808 |
|
|
|
2,866 |
|
| Hershey |
|
|
70,157 |
|
|
|
6,695 |
|
| Hormel Foods |
|
|
107,711 |
|
|
|
5,535 |
|
| JM Smucker |
|
|
27,707 |
|
|
|
2,743 |
|
| Kellogg |
|
|
72,447 |
|
|
|
4,463 |
|
| Kimberly-Clark |
|
|
58,839 |
|
|
|
6,329 |
|
| Kroger |
|
|
165,216 |
|
|
|
8,591 |
|
| Lorillard |
|
|
108,303 |
|
|
|
6,489 |
|
| McCormick |
|
|
50,532 |
|
|
|
3,381 |
|
| Metro, Cl A |
|
|
35,000 |
|
|
|
2,346 |
|
| Molson Coors Brewing, Cl B |
|
|
35,200 |
|
|
|
2,620 |
|
| PepsiCo |
|
|
78,237 |
|
|
|
7,283 |
|
| Philip Morris International |
|
|
78,636 |
|
|
|
6,558 |
|
| Procter & Gamble |
|
|
61,418 |
|
|
|
5,143 |
|
| Reynolds American |
|
|
87,625 |
|
|
|
5,170 |
|
| Sanderson Farms |
|
|
18,200 |
|
|
|
1,601 |
|
| Tyson Foods, Cl A |
|
|
119,300 |
|
|
|
4,697 |
|
| Universal |
|
|
16,000 |
|
|
|
710 |
|
| Wal-Mart Stores |
|
|
153,890 |
|
|
|
11,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy — 3.3% |
|
|
|
|
|
|
|
|
| Cameron International* |
|
|
8,500 |
|
|
|
564 |
|
| Canadian Natural Resources |
|
|
50,800 |
|
|
|
1,973 |
|
| Cenovus Energy |
|
|
28,800 |
|
|
|
774 |
|
| Chevron |
|
|
50,900 |
|
|
|
6,073 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| ConocoPhillips |
|
|
55,200 |
|
|
$ |
4,224 |
|
| CVR Energy |
|
|
7,800 |
|
|
|
349 |
|
| Exxon Mobil |
|
|
84,800 |
|
|
|
7,976 |
|
| Halliburton |
|
|
28,800 |
|
|
|
1,858 |
|
| Marathon Petroleum |
|
|
3,200 |
|
|
|
271 |
|
| SM Energy |
|
|
13,900 |
|
|
|
1,084 |
|
| Southwestern Energy, Cl A* |
|
|
8,830 |
|
|
|
309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials — 15.7% |
|
|
|
|
|
|
|
|
| Allied World Assurance Holdings |
|
|
56,649 |
|
|
|
2,087 |
|
| Allstate |
|
|
74,100 |
|
|
|
4,548 |
|
| American Capital Agency, Cl A† |
|
|
38,300 |
|
|
|
814 |
|
| American Financial Group |
|
|
41,500 |
|
|
|
2,402 |
|
| Annaly Capital Management† |
|
|
167,700 |
|
|
|
1,791 |
|
| Arch Capital Group* |
|
|
64,338 |
|
|
|
3,521 |
|
| Assurant |
|
|
15,550 |
|
|
|
1,000 |
|
| Axis Capital Holdings |
|
|
96,410 |
|
|
|
4,563 |
|
| Canadian Imperial Bank of Commerce |
|
|
31,000 |
|
|
|
2,790 |
|
| CBL & Associates Properties† |
|
|
23,900 |
|
|
|
428 |
|
| CBOE Holdings |
|
|
24,500 |
|
|
|
1,311 |
|
| CBRE Group, Cl A* |
|
|
13,200 |
|
|
|
393 |
|
| Chubb |
|
|
34,200 |
|
|
|
3,115 |
|
| Cullen/Frost Bankers |
|
|
51,179 |
|
|
|
3,916 |
|
| Digital Realty Trust, Cl A† |
|
|
23,500 |
|
|
|
1,466 |
|
| Endurance Specialty Holdings |
|
|
20,100 |
|
|
|
1,109 |
|
| Equity Lifestyle Properties† |
|
|
6,000 |
|
|
|
254 |
|
| Everest Re Group |
|
|
44,053 |
|
|
|
7,137 |
|
| Genworth MI Canada |
|
|
23,900 |
|
|
|
757 |
|
| Government Properties Income Trust, Cl A† |
|
|
55,900 |
|
|
|
1,225 |
|
| Hanover Insurance Group, Cl A |
|
|
17,900 |
|
|
|
1,099 |
|
| HCC Insurance Holdings |
|
|
73,400 |
|
|
|
3,545 |
|
| HCP† |
|
|
49,100 |
|
|
|
1,950 |
|
| Health Care† |
|
|
31,200 |
|
|
|
1,946 |
|
| Home Properties† |
|
|
24,493 |
|
|
|
1,426 |
|
| Hospitality Properties Trust† |
|
|
74,700 |
|
|
|
2,006 |
|
| Jones Lang LaSalle |
|
|
2,900 |
|
|
|
366 |
|
| Maiden Holdings |
|
|
62,300 |
|
|
|
690 |
|
| Markel* |
|
|
3,151 |
|
|
|
2,005 |
|
| MFA Financial† |
|
|
126,200 |
|
|
|
982 |
|
| Mid-America Apartment Communities† |
|
|
29,610 |
|
|
|
1,944 |
|
| National Bank of Canada |
|
|
71,400 |
|
|
|
3,260 |
|
| Omega Healthcare Investors† |
|
|
26,900 |
|
|
|
920 |
|
| PartnerRe |
|
|
74,469 |
|
|
|
8,183 |
|
| PennyMac Mortgage Investment Trust† |
|
|
50,500 |
|
|
|
1,082 |
|
| Platinum Underwriters Holdings |
|
|
22,400 |
|
|
|
1,364 |
|
| Post Properties† |
|
|
43,595 |
|
|
|
2,238 |
|
| ProAssurance |
|
|
15,000 |
|
|
|
661 |
|
| Prosperity Bancshares |
|
|
13,700 |
|
|
|
783 |
|
| Public Storage† |
|
|
2,500 |
|
|
|
414 |
|
| Reinsurance Group of America, Cl A |
|
|
26,210 |
|
|
|
2,100 |
|
| RenaissanceRe Holdings |
|
|
89,558 |
|
|
|
8,955 |
|
| Simon Property Group† |
|
|
12,000 |
|
|
|
1,973 |
|
| Tanger Factory Outlet Centers† |
|
|
36,274 |
|
|
|
1,187 |
|
| TFS Financial |
|
|
119,488 |
|
|
|
1,711 |
|
| Travelers |
|
|
72,400 |
|
|
|
6,801 |
|
| Two Harbors Investment† |
|
|
308,871 |
|
|
|
2,987 |
|
| Validus Holdings |
|
|
167,629 |
|
|
|
6,561 |
|
| Ventas† |
|
|
11,100 |
|
|
|
687 |
|
|
|
|
| 1 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Wells Fargo |
|
|
55,300 |
|
|
$ |
2,869 |
|
| White Mountains Insurance Group |
|
|
4,079 |
|
|
|
2,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
119,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care — 15.1% |
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
32,900 |
|
|
|
1,368 |
|
| AbbVie |
|
|
30,200 |
|
|
|
1,744 |
|
| Actavis* |
|
|
9,739 |
|
|
|
2,350 |
|
| Aetna, Cl A |
|
|
63,300 |
|
|
|
5,127 |
|
| AmerisourceBergen |
|
|
75,737 |
|
|
|
5,854 |
|
| Amgen, Cl A |
|
|
36,900 |
|
|
|
5,183 |
|
| AstraZeneca ADR |
|
|
53,600 |
|
|
|
3,829 |
|
| Baxter International |
|
|
77,220 |
|
|
|
5,542 |
|
| Becton Dickinson |
|
|
22,400 |
|
|
|
2,549 |
|
| Cardinal Health |
|
|
26,600 |
|
|
|
1,993 |
|
| Centene* |
|
|
5,900 |
|
|
|
488 |
|
| Cigna |
|
|
7,200 |
|
|
|
653 |
|
| Eli Lilly |
|
|
44,380 |
|
|
|
2,878 |
|
| Endo International* |
|
|
25,300 |
|
|
|
1,729 |
|
| Express Scripts Holding* |
|
|
25,300 |
|
|
|
1,787 |
|
| Hologic* |
|
|
12,020 |
|
|
|
292 |
|
| Humana |
|
|
40,597 |
|
|
|
5,289 |
|
| Idexx Laboratories* |
|
|
9,500 |
|
|
|
1,119 |
|
| Jazz Pharmaceuticals* |
|
|
2,500 |
|
|
|
402 |
|
| Johnson & Johnson |
|
|
135,917 |
|
|
|
14,488 |
|
| Laboratory Corp of America Holdings* |
|
|
50,357 |
|
|
|
5,124 |
|
| McKesson |
|
|
11,100 |
|
|
|
2,161 |
|
| Medtronic |
|
|
29,000 |
|
|
|
1,797 |
|
| Merck |
|
|
183,562 |
|
|
|
10,882 |
|
| Omnicare |
|
|
34,400 |
|
|
|
2,142 |
|
| PDL BioPharma |
|
|
96,900 |
|
|
|
724 |
|
| Pfizer |
|
|
241,000 |
|
|
|
7,126 |
|
| Quest Diagnostics |
|
|
117,119 |
|
|
|
7,107 |
|
| Team Health Holdings* |
|
|
6,770 |
|
|
|
393 |
|
| UnitedHealth Group |
|
|
63,200 |
|
|
|
5,451 |
|
| WellPoint |
|
|
56,500 |
|
|
|
6,758 |
|
| Zimmer Holdings |
|
|
15,500 |
|
|
|
1,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials — 5.6% |
|
|
|
|
|
|
|
|
| Alliant Techsystems |
|
|
38,160 |
|
|
|
4,871 |
|
| Deere |
|
|
41,900 |
|
|
|
3,435 |
|
| General Dynamics |
|
|
22,900 |
|
|
|
2,910 |
|
| L-3 Communications Holdings |
|
|
55,500 |
|
|
|
6,600 |
|
| Landstar System |
|
|
24,200 |
|
|
|
1,747 |
|
| Lockheed Martin |
|
|
12,700 |
|
|
|
2,321 |
|
| Northrop Grumman |
|
|
52,700 |
|
|
|
6,944 |
|
| Old Dominion Freight Line, Cl A* |
|
|
32,000 |
|
|
|
2,261 |
|
| Raytheon |
|
|
66,100 |
|
|
|
6,717 |
|
| Rollins |
|
|
26,700 |
|
|
|
782 |
|
| Stericycle, Cl A* |
|
|
38,292 |
|
|
|
4,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Information Technology — 8.6% |
|
|
|
|
|
|
|
|
| Activision Blizzard |
|
|
23,400 |
|
|
|
487 |
|
| Amdocs |
|
|
104,240 |
|
|
|
4,783 |
|
| Apple |
|
|
58,849 |
|
|
|
5,929 |
|
| Automatic Data Processing |
|
|
52,748 |
|
|
|
4,382 |
|
| Broadridge Financial Solutions |
|
|
44,500 |
|
|
|
1,853 |
|
| CA |
|
|
48,400 |
|
|
|
1,352 |
|
| Cisco Systems |
|
|
149,100 |
|
|
|
3,753 |
|
| CSG Systems International |
|
|
37,600 |
|
|
|
988 |
|
| Dolby Laboratories, Cl A* |
|
|
44,800 |
|
|
|
1,872 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
| Flextronics International* |
|
|
157,000 |
|
|
$ |
1,620 |
|
| Global Payments |
|
|
10,700 |
|
|
|
748 |
|
| Harris |
|
|
48,300 |
|
|
|
3,207 |
|
| Ingram Micro, Cl A* |
|
|
39,220 |
|
|
|
1,012 |
|
| Intel |
|
|
241,300 |
|
|
|
8,402 |
|
| International Business Machines |
|
|
40,839 |
|
|
|
7,752 |
|
| Jack Henry & Associates |
|
|
13,800 |
|
|
|
768 |
|
| Leidos Holdings |
|
|
25,675 |
|
|
|
881 |
|
| Lexmark International, Cl A |
|
|
27,970 |
|
|
|
1,189 |
|
| Microsoft |
|
|
120,200 |
|
|
|
5,572 |
|
| Oracle, Cl B |
|
|
60,400 |
|
|
|
2,312 |
|
| Qualcomm |
|
|
29,900 |
|
|
|
2,236 |
|
| Science Applications International |
|
|
14,671 |
|
|
|
649 |
|
| Skyworks Solutions |
|
|
39,800 |
|
|
|
2,311 |
|
| Tech Data* |
|
|
22,200 |
|
|
|
1,307 |
|
| Zebra Technologies, Cl A* |
|
|
7,200 |
|
|
|
511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials — 1.2% |
|
|
|
|
|
|
|
|
| AptarGroup |
|
|
7,900 |
|
|
|
480 |
|
| Ball |
|
|
34,700 |
|
|
|
2,195 |
|
| Bemis |
|
|
42,300 |
|
|
|
1,608 |
|
| CF Industries Holdings |
|
|
2,500 |
|
|
|
698 |
|
| LyondellBasell Industries, Cl A |
|
|
19,200 |
|
|
|
2,086 |
|
| Sonoco Products |
|
|
14,500 |
|
|
|
570 |
|
| United States Steel |
|
|
9,300 |
|
|
|
364 |
|
| Westlake Chemical |
|
|
15,000 |
|
|
|
1,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services — 4.9% |
|
|
|
|
|
|
|
|
| AT&T |
|
|
290,000 |
|
|
|
10,219 |
|
| BCE |
|
|
92,600 |
|
|
|
3,964 |
|
| CenturyTel |
|
|
54,300 |
|
|
|
2,220 |
|
| NTT DoCoMo ADR |
|
|
130,100 |
|
|
|
2,178 |
|
| Rogers Communications, Cl B |
|
|
105,900 |
|
|
|
3,969 |
|
| SBA Communications, Cl A* |
|
|
10,900 |
|
|
|
1,209 |
|
| SK Telecom ADR |
|
|
129,800 |
|
|
|
3,938 |
|
| TELUS |
|
|
59,823 |
|
|
|
2,045 |
|
| Verizon Communications |
|
|
163,014 |
|
|
|
8,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 14.2% |
|
|
|
|
|
|
|
|
| AES |
|
|
120,100 |
|
|
|
1,703 |
|
| AGL Resources |
|
|
62,858 |
|
|
|
3,227 |
|
| Alliant Energy |
|
|
6,300 |
|
|
|
349 |
|
| Ameren |
|
|
60,200 |
|
|
|
2,307 |
|
| American Electric Power |
|
|
81,000 |
|
|
|
4,229 |
|
| Atmos Energy |
|
|
22,600 |
|
|
|
1,078 |
|
| Avista |
|
|
50,300 |
|
|
|
1,536 |
|
| Calpine* |
|
|
51,300 |
|
|
|
1,113 |
|
| CMS Energy |
|
|
53,900 |
|
|
|
1,599 |
|
| Consolidated Edison |
|
|
134,607 |
|
|
|
7,627 |
|
| Dominion Resources |
|
|
13,121 |
|
|
|
907 |
|
| DTE Energy |
|
|
68,285 |
|
|
|
5,195 |
|
| Duke Energy |
|
|
63,057 |
|
|
|
4,715 |
|
| Edison International |
|
|
109,300 |
|
|
|
6,112 |
|
| Entergy |
|
|
100,000 |
|
|
|
7,733 |
|
| Exelon |
|
|
192,900 |
|
|
|
6,576 |
|
| Great Plains Energy |
|
|
13,200 |
|
|
|
319 |
|
| ITC Holdings |
|
|
81,099 |
|
|
|
2,890 |
|
| Northeast Utilities |
|
|
84,838 |
|
|
|
3,758 |
|
| NRG Energy |
|
|
23,100 |
|
|
|
704 |
|
| OGE Energy |
|
|
56,484 |
|
|
|
2,096 |
|
| PG&E |
|
|
138,900 |
|
|
|
6,256 |
|
| Pinnacle West Capital |
|
|
30,700 |
|
|
|
1,677 |
|
|
|
|
| 2 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2014
|
|
|
|
|
|
|
|
|
| Description |
|
Shares/Face Amount
($ Thousands) |
|
|
Market Value
($ Thousands) |
|
| Portland General Electric |
|
|
64,100 |
|
|
$ |
2,059 |
|
| PPL |
|
|
53,000 |
|
|
|
1,740 |
|
| Public Service Enterprise Group |
|
|
306,549 |
|
|
|
11,416 |
|
| SCANA |
|
|
89,609 |
|
|
|
4,446 |
|
| Sempra Energy |
|
|
7,090 |
|
|
|
747 |
|
| Southern |
|
|
173,530 |
|
|
|
7,575 |
|
| UGI |
|
|
57,750 |
|
|
|
1,969 |
|
| Wisconsin Energy |
|
|
110,404 |
|
|
|
4,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
108,405 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $546,946) ($ Thousands) |
|
|
|
719,974 |
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 5.5% |
|
|
|
|
|
| SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†† |
|
|
41,669,711 |
|
|
|
41,670 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $41,670) ($ Thousands) |
|
|
|
|
|
|
41,670 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
| 0.041%, 3/5/2015 |
|
$ |
1,277 |
|
|
|
1,277 |
|
| 0.028%, 5/28/2015 |
|
|
156 |
|
|
|
156 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $1,433) ($ Thousands) |
|
|
|
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
| Total Investments — 99.7%
(Cost $590,049) ($ Thousands) |
|
|
$ |
763,077 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at September 30, 2014, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Unrealized
Depreciation
($ Thousands) |
|
| S&P 500 Index EMINI |
|
|
309 |
|
|
|
Dec-2014 |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2014, the total amount of all open futures contracts, as presented in the table above,
are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $765,744
($Thousands).
| † |
|
Real Estate Investment Trust. |
| †† |
|
Investment in Affiliated Security. |
| * |
|
Non-income producing security. |
| ** |
|
Rate shown is the 7-day effective yield as of September 30, 2014. |
| (A) |
|
Security or portion thereof has been pledged as collateral on open futures contracts. |
| (B) |
|
The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a list of the level inputs used as of September 30, 2014, in valuing the Fund’s
investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Common Stock |
|
$ |
719,974 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
719,974 |
|
| Cash Equivalent |
|
|
41,670 |
|
|
|
— |
|
|
|
— |
|
|
|
41,670 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
1,433 |
|
|
|
— |
|
|
|
1,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
761,644 |
|
|
$ |
1,433 |
|
|
$ |
— |
|
|
$ |
763,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
$ |
(252 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
$ |
(252 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
|
Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
|
|
|
| 3 |
|
SEI Institutional Managed Trust / Annual Report / September 30, 2014 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
SEI
Institutional Managed Trust:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States),
the financial statements of SEI Institutional Managed Trust (the Trust), comprised of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small
Cap Growth Fund, Tax-Managed Small/Mid Cap 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, U.S. Fixed Income Fund,
High Yield Bond Fund, Real Return Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund and the Multi-Asset Capital Stability Fund (twenty-two of the twenty-four funds comprising the Trust), and the accompanying consolidated financial
statements of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-four funds comprising the Trust) as of and for the year ended September 30, 2014, and have issued our unqualified report thereon dated
November 26, 2014 (which report, financial statements and consolidated financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the schedules of investments in securities and
the consolidated schedules of investments in securities (collectively, the “Schedules”) of the funds comprising the Trust as of September 30, 2014 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on these Schedules based on our audits.
In our opinion, the Schedules
referred to above, when read in conjunction with the financial statements and consolidated financial statements of the funds comprising the Trust referred to above, present fairly, in all material respects, the information set forth therein.
Philadelphia, Pennsylvania
November 26, 2014
| Item 7. |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. |
Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. |
Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
| Item 10. |
Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for
election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, 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 Registrant’s office.
| Item 11. |
Controls and Procedures. |
(a) The
Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date
within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over
financial reporting.
(a)(1) Code of Ethics attached
hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by
Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as
required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as exhibits.
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
SEI Institutional Managed Trust |
|
|
|
|
| By |
|
|
|
|
|
/s/ Robert A. Nesher |
|
|
|
|
|
|
Robert A. Nesher |
|
|
|
|
|
|
President & CEO |
Date: December 8, 2014
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 |
|
|
|
|
|
/s/ Robert A. Nesher |
|
|
|
|
|
|
Robert A. Nesher |
|
|
|
|
|
|
President & CEO |
Date: December 8, 2014
|
|
|
|
|
|
|
| By |
|
|
|
|
|
/s/ Peter A. Rodriguez |
|
|
|
|
|
|
Peter A. Rodriguez |
|
|
|
|
|
|
Controller & CFO |
Date: December 8, 2014