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N/A PENN ENTERTAINMENT INC COMMON STOCK 707569109 4200.00000000 NS USD 124740.00000000 0.012859051406 Long EC US N 1 N N N DOLLAR TREE, INC. 549300PMSTQITB1WHR43 DOLLAR TREE INC COMMON STOCK 256746108 5756.00000000 NS USD 814128.64000000 0.083925942226 Long EC US N 1 N N N DOVER CORPORATION 549300FMC2ALGA7N9E80 DOVER CORP COMMON STOCK 260003108 3851.00000000 NS USD 521463.91000000 0.053756062412 Long EC US N 1 N N N EASTMAN CHEMICAL COMPANY FDPVHDGJ1IQZFK9KH630 EASTMAN CHEMICAL CO COMMON STOCK 277432100 3232.00000000 NS USD 263214.08000000 0.027133905608 Long EC US N 1 N N N JUNIPER NETWORKS, INC. 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N/A APARTMENT INCOME REIT CO REIT 03750L109 4165.00000000 NS USD 142901.15000000 0.014731226822 Long EC US N 1 N N N PALANTIR TECHNOLOGIES INC. 549300UVN46B3BBDHO85 PALANTIR TECHNOLOGIES INC-A COMMON STOCK 69608A108 50020.00000000 NS USD 321128.40000000 0.033104109377 Long EC US N 1 N N N MATCH GROUP, INC. 15OMOPB0A8K0EFUVD031 MATCH GROUP INC COMMON STOCK 57667L107 7499.00000000 NS USD 311133.51000000 0.032073767832 Long EC US N 1 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 US BANCORP COMMON STOCK 902973304 36380.00000000 NS USD 1586531.80000000 0.163550536910 Long EC US N 1 N N N SONOCO PRODUCTS COMPANY. 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N/A SIGNIFY HEALTH INC -CLASS A COMMON STOCK 82671G100 2300.00000000 NS USD 65918.00000000 0.006795277782 Long EC US N 1 N N N ANTERO MIDSTREAM CORPORATION N/A ANTERO MIDSTREAM CORP COMMON STOCK 03676B102 8900.00000000 NS USD 96031.00000000 0.009899531550 Long EC US N 1 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CORP COMMON STOCK 14040H105 10363.00000000 NS USD 963344.48000000 0.099308130435 Long EC US N 1 N N N 2022-12-31 SEI INSTITUTIONAL MANAGED TRUST Ankit Puri Ankit Puri CFO XXXX NPORT-EX 2 fp0082421-1_nportex.htm SCHEDULE F

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.8%
                 

Communication Services — 5.6%

        

Alphabet Inc, Cl A *

     46,972     $ 4,144  

Alphabet Inc, Cl C *

     228,159       20,245  

AT&T Inc

    158,917       2,926  

Comcast Corp, Cl A

    142,077       4,968  

Fox Corp, Cl A

    57,265       1,739  

Live Nation Entertainment Inc *

     86,592       6,039  

Meta Platforms Inc, Cl A *

     76,652       9,224  

Netflix Inc *

     6,922       2,041  

Nexstar Media Group Inc, Cl A

    7,733       1,354  

Paramount Global, Cl B

    22,664       383  

TEGNA Inc

    150,197       3,183  

T-Mobile US Inc *

     67,629       9,468  

Trade Desk Inc/The, Cl A *

     47,680       2,137  

Verizon Communications Inc

    280,734       11,061  

Walt Disney Co/The *

     149,447       12,984  

Warner Bros Discovery Inc *

     56,488       535  
                 
              92,431  

Consumer Discretionary — 9.9%

        

Advance Auto Parts Inc

    11,327       1,665  

Alibaba Group Holding Ltd ADR *

     10,126       892  

Amazon.com Inc, Cl A *

     282,471       23,728  

Autoliv Inc

    12,805       981  

AutoZone Inc *

     969       2,390  

Best Buy Co Inc

    63,975       5,131  

BorgWarner Inc

    159,883       6,435  

Capri Holdings Ltd *

     66,333       3,802  

Carnival Corp *

     75,978       612  

Dick's Sporting Goods Inc

    36,476       4,388  

Dillard's Inc, Cl A

    7,630       2,466  

Dollar General Corp

    41,094       10,119  

DR Horton Inc

    43,190       3,850  

eBay Inc

    56,727       2,353  

Farfetch Ltd, Cl A *

     67,468       319  

Foot Locker Inc, Cl A

    23,394       884  

Ford Motor Co

    105,794       1,230  

General Motors Co

    167,255       5,626  

Harley-Davidson Inc, Cl A

    49,267       2,050  

Kohl's Corp

    24,781       626  

Lennar Corp, Cl A

    12,211       1,105  

Lithia Motors Inc, Cl A

    10,129       2,074  

Lowe's Cos Inc

    60,013       11,957  

Magna International Inc, Cl A

    47,105       2,646  

MercadoLibre Inc *

     2,769       2,343  

MGM Resorts International

    188,891       6,334  

NIKE Inc, Cl B

    89,182       10,435  

O'Reilly Automotive Inc *

     1,790       1,511  

PulteGroup Inc

    167,906       7,645  

Ross Stores Inc

    101,920       11,830  

Royal Caribbean Cruises Ltd *

     5,535       274  

Starbucks Corp

    76,846       7,623  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Target Corp, Cl A

    45,317     $ 6,754  

Tesla Inc *

     34,686       4,273  

Thor Industries Inc

    11,700       883  

Toll Brothers Inc

    48,368       2,415  

Vail Resorts Inc

    3,358       800  

Whirlpool Corp

    27,260       3,856  

Williams-Sonoma Inc

    9,127       1,049  
                 
              165,354  

Consumer Staples — 7.1%

        

Altria Group Inc

    46,068       2,106  

Archer-Daniels-Midland Co

    20,067       1,863  

Coca-Cola Co/The

    146,094       9,293  

Coca-Cola Europacific Partners PLC

    89,238       4,937  

Colgate-Palmolive Co

    140,514       11,071  

Conagra Brands Inc

    265,977       10,293  

Costco Wholesale Corp

    3,582       1,635  

Haleon PLC ADR *

     219,044       1,752  

Hershey Co/The

    1,388       321  

Ingredion Inc

    74,995       7,344  

J M Smucker Co/The

    58,785       9,315  

Kraft Heinz Co/The

    12,498       509  

Kroger Co/The

    268,628       11,976  

Molson Coors Beverage Co, Cl B

    30,456       1,569  

Mondelez International Inc, Cl A

    47,375       3,158  

PepsiCo Inc

    63,397       11,453  

Philip Morris International Inc

    106,185       10,747  

Sysco Corp, Cl A

    145,077       11,091  

Tyson Foods Inc, Cl A

    105,363       6,559  

Walgreens Boots Alliance Inc

    38,987       1,457  
                 
              118,449  

Energy — 5.0%

        

Antero Resources Corp *

     36,353       1,127  

Baker Hughes Co, Cl A

    209,475       6,186  

BP PLC ADR

    131,377       4,589  

Canadian Natural Resources Ltd

    96,107       5,337  

Chevron Corp

    83,769       15,036  

ConocoPhillips

    81,177       9,579  

Devon Energy Corp

    84,202       5,179  

EOG Resources Inc

    72,995       9,454  

Exxon Mobil Corp

    16,215       1,788  

HF Sinclair Corp

    47,867       2,484  

Marathon Oil Corp

    12,387       335  

Marathon Petroleum Corp

    66,384       7,726  

Phillips 66

    44,348       4,616  

Schlumberger Ltd, Cl A

    18,833       1,007  

Shell PLC ADR

    30,942       1,762  

Valero Energy Corp

    52,042       6,602  
                 
              82,807  

Financials — 13.8%

        

Aflac Inc

    81,002       5,827  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

1

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Allstate Corp/The

    21,940     $ 2,975  

American Financial Group Inc/OH

    10,346       1,420  

Ameriprise Financial Inc

    20,868       6,498  

Bank of America Corp

    352,715       11,682  

Bank of New York Mellon Corp/The

    19,244       876  

Berkshire Hathaway Inc, Cl B *

     66,437       20,522  

Capital One Financial Corp

    28,722       2,670  

Charles Schwab Corp/The

    213,754       17,797  

Citigroup Inc

    178,158       8,058  

Citizens Financial Group Inc

    9,142       360  

Discover Financial Services

    32,032       3,134  

Everest Re Group Ltd

    1,843       610  

Fifth Third Bancorp

    123,682       4,058  

First American Financial Corp

    14,531       760  

First Republic Bank/CA

    85,489       10,420  

Goldman Sachs Group Inc/The

    996       342  

Hartford Financial Services Group Inc/The

    70,421       5,340  

JPMorgan Chase & Co

    80,976       10,859  

KeyCorp

    107,415       1,871  

Markel Corp *

     13,030       17,167  

Marsh & McLennan Cos Inc

    57,085       9,446  

Moody's Corp

    38,887       10,835  

Morgan Stanley

    38,058       3,236  

New York Community Bancorp Inc

    123,504       1,062  

Progressive Corp/The

    57,358       7,440  

Radian Group Inc

    16,498       315  

Regions Financial Corp

    212,723       4,586  

Reinsurance Group of America Inc, Cl A

    17,568       2,496  

S&P Global Inc

    20,519       6,873  

Signature Bank/New York NY, Cl B

    12,417       1,431  

Starwood Property Trust Inc ‡

     32,387       594  

State Street Corp

    99,816       7,743  

Synchrony Financial

    101,634       3,340  

US Bancorp

    290,296       12,660  

Voya Financial Inc

    59,127       3,636  

Wells Fargo & Co

    115,137       4,754  

Willis Towers Watson PLC

    48,312       11,816  

Zions Bancorp NA

    71,519       3,516  
                 
              229,025  

Health Care — 16.8%

        

AbbVie Inc

    59,751       9,656  

Acadia Healthcare Co Inc, Cl A *

     46,772       3,850  

AmerisourceBergen Corp, Cl A

    70,298       11,649  

Amgen Inc, Cl A

    55,935       14,691  

AstraZeneca PLC ADR

    85,913       5,825  

Baxter International Inc

    136,426       6,954  

Biogen Inc *

     8,612       2,385  

Bristol-Myers Squibb Co

    155,447       11,184  

Cardinal Health Inc

    15,457       1,188  

Cigna Corp

    1,877       622  

Cooper Cos Inc/The, Cl A

    12,410       4,104  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CVS Health Corp

    187,434     $ 17,467  

Danaher Corp, Cl A

    43,061       11,429  

DaVita Inc *

     4,103       306  

DENTSPLY SIRONA Inc

    9,719       310  

Eli Lilly & Co

    14,356       5,252  

Gilead Sciences Inc

    63,484       5,450  

GSK PLC ADR

    30,666       1,078  

Horizon Therapeutics Plc *

     43,342       4,932  

Humana Inc

    10,070       5,158  

Jazz Pharmaceuticals PLC *

     28,906       4,605  

Johnson & Johnson

    149,927       26,485  

McKesson Corp

    37,517       14,073  

Medtronic PLC

    79,267       6,161  

Merck & Co Inc

    91,347       10,135  

Mettler-Toledo International Inc *

     10,733       15,514  

Natera Inc *

     132,394       5,318  

Organon & Co

    15,833       442  

Perrigo Co PLC

    72,728       2,479  

Pfizer Inc

    237,127       12,150  

Prometheus Biosciences Inc *

     11,687       1,286  

Reata Pharmaceuticals Inc, Cl A *

     30,707       1,167  

Syneos Health Inc, Cl A *

     26,119       958  

Teleflex Inc

    22,986       5,738  

Thermo Fisher Scientific Inc

    13,456       7,410  

TransMedics Group Inc *

     29,151       1,799  

UnitedHealth Group Inc

    44,382       23,531  

Vertex Pharmaceuticals Inc *

     21,049       6,079  

Viatris Inc, Cl W *

     56,822       632  

Zimmer Biomet Holdings Inc

    62,960       8,027  
                 
              277,479  

Industrials — 10.0%

        

AerCap Holdings NV *

     62,810       3,663  

AGCO Corp

    28,514       3,955  

Alaska Air Group Inc *

     80,294       3,448  

Allison Transmission Holdings Inc

    37,699       1,568  

American Airlines Group Inc *

     147,592       1,877  

AMETEK Inc

    42,093       5,881  

Cummins Inc

    27,223       6,596  

Delta Air Lines Inc, Cl A *

     64,342       2,114  

Eaton Corp PLC

    36,869       5,787  

Emerson Electric Co

    16,230       1,559  

FedEx Corp

    33,861       5,865  

Fortive Corp

    171,178       10,998  

GXO Logistics Inc *

     171,008       7,300  

Honeywell International Inc

    79,854       17,113  

Huntington Ingalls Industries Inc, Cl A

    10,975       2,532  

IDEX Corp

    18,824       4,298  

Jacobs Solutions Inc

    28,438       3,415  

Knight-Swift Transportation Holdings Inc, Cl A

    12,688       665  

L3Harris Technologies Inc

    8,172       1,702  

 

 

 

2

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lockheed Martin Corp

    7,508     $ 3,653  

ManpowerGroup Inc

    29,203       2,430  

Norfolk Southern Corp

    6,491       1,600  

Northrop Grumman Corp

    2,095       1,143  

Owens Corning

    34,317       2,927  

Parker-Hannifin Corp, Cl A

    25,172       7,325  

Ryder System Inc

    14,973       1,251  

Snap-on Inc

    8,649       1,976  

Textron Inc

    56,360       3,990  

Timken Co/The

    69,809       4,933  

TransDigm Group Inc *

     27,627       17,395  

Uber Technologies Inc *

     83,796       2,072  

United Airlines Holdings Inc *

     23,047       869  

United Parcel Service Inc, Cl B

    54,473       9,470  

Westinghouse Air Brake Technologies Corp

    9,477       946  

WW Grainger Inc

    23,990       13,344  
                 
              165,660  

Information Technology — 21.3%

        

Adobe Inc *

     45,772       15,404  

Advanced Micro Devices Inc *

     92,604       5,998  

Amdocs Ltd

    51,821       4,711  

Amkor Technology Inc

    51,908       1,245  

Amphenol Corp, Cl A

    108,662       8,273  

Apple Inc

    337,558       43,859  

Applied Materials Inc

    49,270       4,798  

Arrow Electronics Inc, Cl A *

     14,925       1,561  

Automatic Data Processing Inc

    1,360       325  

Broadcom Inc

    593       332  

Cadence Design Systems Inc *

     17,078       2,743  

Cisco Systems Inc

    151,519       7,219  

Datadog Inc, Cl A *

     69,015       5,073  

Dell Technologies Inc, Cl C

    24,102       969  

DXC Technology Co *

     70,284       1,863  

First Solar Inc *

     24,657       3,693  

Global Payments Inc

    148,513       14,750  

Hewlett Packard Enterprise Co

    249,894       3,988  

HP Inc

    173,068       4,650  

Intel Corp

    118,591       3,134  

International Business Machines Corp

    24,273       3,420  

Intuit Inc

    45,838       17,841  

Jabil Inc

    68,671       4,683  

Marvell Technology Inc

    131,675       4,877  

Microchip Technology Inc

    299,789       21,060  

Micron Technology Inc

    45,152       2,257  

Microsoft Corp

    225,644       54,114  

Motorola Solutions Inc

    23,607       6,084  

NVIDIA Corp

    39,931       5,835  

Oracle Corp, Cl B

    64,030       5,234  

Palo Alto Networks Inc *

     37,344       5,211  

Paychex Inc

    13,684       1,581  

PayPal Holdings Inc *

     41,194       2,934  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Qorvo Inc *

     8,524     $ 773  

QUALCOMM Inc

    72,759       7,999  

Roper Technologies Inc

    21,778       9,410  

Salesforce Inc *

     56,006       7,426  

SAP SE ADR

    85,766       8,850  

Seagate Technology Holdings PLC

    44,700       2,352  

Snowflake Inc, Cl A *

     10,940       1,570  

SolarEdge Technologies Inc *

     10,209       2,892  

Teradyne Inc

    53,338       4,659  

Visa Inc, Cl A

    110,461       22,949  

Vishay Intertechnology Inc

    115,899       2,500  

VMware Inc, Cl A *

     16,249       1,995  

Vontier Corp

    352,361       6,811  

Xerox Holdings Corp

    58,641       856  

Zebra Technologies Corp, Cl A *

     7,469       1,915  
                 
              352,676  

Materials — 4.2%

        

Air Products and Chemicals Inc

    48,544       14,964  

Berry Global Group Inc

    31,426       1,899  

Celanese Corp, Cl A

    33,158       3,390  

Crown Holdings Inc

    66,973       5,506  

DuPont de Nemours Inc

    38,689       2,655  

Eastman Chemical Co

    73,135       5,956  

Freeport-McMoRan Inc, Cl B

    52,389       1,991  

Huntsman Corp

    180,232       4,953  

International Flavors & Fragrances Inc

    13,914       1,459  

International Paper Co

    39,192       1,357  

Linde PLC

    27,030       8,816  

Louisiana-Pacific Corp

    24,368       1,443  

LyondellBasell Industries NV, Cl A

    3,410       283  

Mosaic Co/The

    15,728       690  

Newmont Corp

    48,882       2,307  

O-I Glass Inc, Cl I *

     23,882       396  

Packaging Corp of America

    4,398       562  

Reliance Steel & Aluminum Co

    8,194       1,659  

Sherwin-Williams Co/The, Cl A

    5,717       1,357  

Steel Dynamics Inc

    9,490       927  

Sylvamo Corp

    17,925       871  

Vulcan Materials Co

    40,048       7,013  

Westrock Co

    8,670       305  
                 
              70,759  

Real Estate — 2.7%

        

American Homes 4 Rent, Cl A ‡

     254,955       7,684  

American Tower Corp, Cl A ‡

     55,725       11,806  

Crown Castle Inc ‡

     70,972       9,627  

Extra Space Storage Inc ‡

     39,044       5,747  

Howard Hughes Corp/The *‡

     35,813       2,737  

Iron Mountain Inc ‡

     24,500       1,221  

Omega Healthcare Investors Inc ‡

     57,992       1,621  

Prologis Inc ‡

     19,649       2,215  

Sabra Health Care Inc ‡

     73,150       909  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

3

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Service Properties Trust ‡

     184,830     $ 1,347  
                 
              44,914  

Utilities — 2.4%

        

CMS Energy Corp

    50,162       3,177  

Edison International

    104,559       6,652  

FirstEnergy Corp

    180,214       7,558  

NextEra Energy Inc

    61,422       5,135  

NRG Energy Inc

    60,226       1,916  

PPL Corp

    319,532       9,337  

UGI Corp

    103,502       3,837  

Vistra Corp

    114,510       2,656  
                 
              40,268  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Total Common Stock

               

(Cost $1,159,918) ($ Thousands)

           $ 1,639,822  
                 
                 
                 

CASH EQUIVALENT — 0.5%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     8,139,809       8,140  
                 

Total Cash Equivalent

                

(Cost $8,140) ($ Thousands)

             8,140  
                 
                 

Total Investments in Securities — 99.3%

                

(Cost $1,168,058) ($ Thousands)

  $ 1,647,962  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     69       Mar-2023     $ 13,376     $ 13,320     $ (56 )

S&P Mid Cap 400 Index E-MINI

     6       Mar-2023       1,470       1,466       (4 )
                    $ 14,846     $ 14,786     $ (60 )

 

 

 

Percentages are based on Net Assets of $1,659,715 ($ Thousands).

†

Investment in Affiliated Security.

*

Non-income producing security.

‡

Real Estate Investment Trust.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

    

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

   

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 1,266     $ 4,271     $ (5,527 )   $ (4 )   $ (6 )   $ —     $ 1     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     15,252       73,242       (80,354 )     —       —       8,140       152       —  

Totals

   $ 16,518     $ 77,513     $ (85,881 )   $ (4 )   $ (6 )   $ 8,140     $ 153     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

4

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Value Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.7%
                 

Communication Services — 6.7%

        

AT&T Inc

    1,130,444     $ 20,811  

BCE Inc

    272,263       11,966  

Comcast Corp, Cl A

    436,657       15,270  

Fox Corp, Cl A

    114,572       3,480  

Meta Platforms Inc, Cl A *

     94,082       11,322  

Nexstar Media Group Inc, Cl A

    7,601       1,330  

Omnicom Group Inc

    3,708       302  

Paramount Global, Cl B

    76,913       1,298  

TEGNA Inc

    131,658       2,790  

T-Mobile US Inc *

     49,749       6,965  

Verizon Communications Inc

    174,796       6,887  

Walt Disney Co/The *

     70,190       6,098  

Warner Bros Discovery Inc *

     155,468       1,474  
                 
              89,993  

Consumer Discretionary — 7.4%

        

Autoliv Inc

    22,443       1,719  

Best Buy Co Inc

    56,534       4,535  

Bloomin' Brands Inc

    18,273       368  

BorgWarner Inc

    26,597       1,071  

Carnival Corp *

     171,400       1,381  

Dick's Sporting Goods Inc

    18,515       2,227  

Dillard's Inc, Cl A

    8,166       2,639  

DR Horton Inc

    32,509       2,898  

eBay Inc

    41,518       1,722  

Foot Locker Inc, Cl A

    44,858       1,695  

Ford Motor Co

    185,547       2,158  

General Motors Co

    241,473       8,123  

Genuine Parts Co

    111,491       19,345  

Goodyear Tire & Rubber Co/The *

     238,828       2,424  

Harley-Davidson Inc, Cl A

    31,143       1,296  

Kohl's Corp

    41,773       1,055  

Lennar Corp, Cl A

    10,600       959  

Lithia Motors Inc, Cl A

    9,683       1,982  

Lowe's Cos Inc

    41,462       8,261  

Magna International Inc, Cl A

    27,465       1,543  

PulteGroup Inc

    181,391       8,259  

Royal Caribbean Cruises Ltd *

     26,836       1,326  

Target Corp, Cl A

    97,910       14,592  

Thor Industries Inc

    20,376       1,538  

Whirlpool Corp

    24,849       3,515  

Williams-Sonoma Inc

    24,423       2,807  
                 
              99,438  

Consumer Staples — 7.8%

        

Altria Group Inc

    207,317       9,477  

Archer-Daniels-Midland Co

    6,119       568  

Conagra Brands Inc

    146,906       5,685  

Diageo PLC ADR

    37,752       6,727  

Haleon PLC ADR *

     281,752       2,254  

Ingredion Inc

    82,931       8,121  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

J M Smucker Co/The

    17,549     $ 2,781  

Kimberly-Clark Corp

    77,089       10,465  

Kraft Heinz Co/The

    56,221       2,289  

Kroger Co/The

    285,342       12,720  

Molson Coors Beverage Co, Cl B

    104,071       5,362  

Philip Morris International Inc

    156,341       15,823  

Tyson Foods Inc, Cl A

    147,143       9,160  

Unilever PLC ADR

    172,247       8,673  

Walgreens Boots Alliance Inc

    146,771       5,483  
                 
              105,588  

Energy — 8.1%

        

APA Corp

    18,427       860  

BP PLC ADR

    126,293       4,411  

Canadian Natural Resources Ltd

    61,012       3,388  

Chevron Corp

    150,003       26,924  

ConocoPhillips

    189,139       22,318  

Devon Energy Corp

    52,632       3,238  

Exxon Mobil Corp

    273,934       30,215  

HF Sinclair Corp

    30,151       1,565  

Marathon Petroleum Corp

    79,232       9,222  

Phillips 66

    15,015       1,563  

Shell PLC ADR

    61,589       3,507  

Valero Energy Corp

    24,250       3,076  
                 
              110,287  

Financials — 19.0%

        

Aflac Inc

    86,434       6,218  

Allstate Corp/The

    29,649       4,020  

Ally Financial Inc

    31,400       768  

American Financial Group Inc/OH

    20,349       2,793  

Ameriprise Financial Inc

    23,214       7,228  

Annaly Capital Management Inc ‡

     66,321       1,398  

Bank of America Corp

    623,733       20,658  

Bank of New York Mellon Corp/The

    191,211       8,704  

Berkshire Hathaway Inc, Cl B *

     39,144       12,092  

Capital One Financial Corp

    28,002       2,603  

Charles Schwab Corp/The

    41,132       3,425  

Chubb Ltd

    85,357       18,830  

Citigroup Inc

    538,848       24,372  

Citizens Financial Group Inc

    104,794       4,126  

Discover Financial Services

    35,862       3,508  

Fifth Third Bancorp

    113,014       3,708  

First American Financial Corp

    19,225       1,006  

Goldman Sachs Group Inc/The

    6,327       2,173  

Hartford Financial Services Group Inc/The

    40,505       3,071  

JPMorgan Chase & Co

    171,797       23,038  

KeyCorp

    125,944       2,194  

Lincoln National Corp

    55,009       1,690  

MetLife Inc

    85,353       6,177  

Morgan Stanley

    228,481       19,425  

New York Community Bancorp Inc

    391,751       3,369  

Principal Financial Group Inc, Cl A

    9,662       811  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

5

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Value Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Prudential Financial Inc

    22,278     $ 2,216  

Radian Group Inc

    51,479       982  

Regions Financial Corp

    201,984       4,355  

Reinsurance Group of America Inc, Cl A

    21,858       3,106  

State Street Corp

    47,517       3,686  

Synchrony Financial

    153,808       5,054  

T Rowe Price Group Inc

    6,194       675  

Travelers Cos Inc/The

    48,773       9,144  

Truist Financial Corp

    211,571       9,104  

Unum Group

    55,915       2,294  

Voya Financial Inc

    94,607       5,817  

Wells Fargo & Co

    377,180       15,574  

Willis Towers Watson PLC

    16,379       4,006  

Zions Bancorp NA

    79,407       3,904  
                 
              257,322  

Health Care — 16.7%

        

AbbVie Inc

    22,361       3,614  

Amgen Inc, Cl A

    23,054       6,055  

AstraZeneca PLC ADR

    54,158       3,672  

Baxter International Inc

    27,948       1,424  

Biogen Inc *

     10,497       2,907  

Bristol-Myers Squibb Co

    183,512       13,204  

Cardinal Health Inc

    41,264       3,172  

Cigna Corp

    22,581       7,482  

CVS Health Corp

    185,795       17,314  

DaVita Inc *

     25,118       1,876  

DENTSPLY SIRONA Inc

    115,297       3,671  

Gilead Sciences Inc

    114,091       9,795  

GSK PLC ADR

    73,244       2,574  

HCA Healthcare Inc

    16,836       4,040  

Hologic Inc *

     14,996       1,122  

Horizon Therapeutics Plc *

     42,242       4,807  

Jazz Pharmaceuticals PLC *

     41,808       6,660  

Johnson & Johnson

    143,512       25,351  

McKesson Corp

    28,817       10,810  

Medtronic PLC

    177,966       13,832  

Merck & Co Inc

    277,054       30,739  

Novartis AG ADR

    103,013       9,345  

Pfizer Inc

    715,823       36,679  

Syneos Health Inc, Cl A *

     71,479       2,622  

Viatris Inc, Cl W *

     291,220       3,241  
                 
              226,008  

Industrials — 11.0%

        

3M Co

    61,376       7,360  

AerCap Holdings NV *

     77,499       4,520  

AGCO Corp

    31,476       4,365  

Alaska Air Group Inc *

     72,619       3,118  

Allison Transmission Holdings Inc

    68,559       2,852  

Cummins Inc

    37,324       9,043  

Delta Air Lines Inc, Cl A *

     130,072       4,274  

Expeditors International of Washington Inc

    8,152       847  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

FedEx Corp

    39,365     $ 6,818  

General Dynamics Corp

    61,430       15,241  

Huntington Ingalls Industries Inc, Cl A

    15,488       3,573  

Johnson Controls International plc

    269,752       17,264  

Lockheed Martin Corp

    5,828       2,835  

ManpowerGroup Inc

    42,383       3,527  

Northrop Grumman Corp

    5,266       2,873  

Owens Corning

    25,116       2,142  

PACCAR Inc

    17,012       1,684  

Raytheon Technologies Corp

    195,349       19,715  

Ryder System Inc

    28,822       2,409  

Siemens AG ADR

    135,812       9,343  

Snap-on Inc

    18,096       4,135  

Textron Inc

    56,910       4,029  

Timken Co/The

    50,058       3,538  

United Airlines Holdings Inc *

     38,423       1,449  

United Parcel Service Inc, Cl B

    68,760       11,953  
                 
              148,907  

Information Technology — 8.8%

        

Amdocs Ltd

    68,616       6,237  

Amkor Technology Inc

    108,102       2,592  

Applied Materials Inc

    39,864       3,882  

Arrow Electronics Inc, Cl A *

     43,920       4,593  

Broadcom Inc

    22,984       12,851  

Cisco Systems Inc

    349,960       16,672  

Cognizant Technology Solutions Corp, Cl A

    16,911       967  

Dell Technologies Inc, Cl C

    40,811       1,641  

DXC Technology Co *

     71,616       1,898  

Global Payments Inc

    34,526       3,429  

Hewlett Packard Enterprise Co

    292,631       4,670  

HP Inc

    326,068       8,761  

Intel Corp

    565,851       14,955  

International Business Machines Corp

    26,606       3,749  

Jabil Inc

    72,955       4,976  

Micron Technology Inc

    67,160       3,357  

Microsoft Corp

    35,937       8,618  

Oracle Corp, Cl B

    36,299       2,967  

Seagate Technology Holdings PLC

    47,512       2,500  

Teradyne Inc

    60,533       5,288  

Vontier Corp

    190,609       3,685  

Xerox Holdings Corp

    50,701       740  
                 
              119,028  

Materials — 5.1%

        

Berry Global Group Inc

    26,280       1,588  

Celanese Corp, Cl A

    36,390       3,720  

Crown Holdings Inc

    50,076       4,117  

Dow Inc

    306,089       15,424  

DuPont de Nemours Inc

    50,372       3,457  

Eastman Chemical Co

    61,502       5,009  

Huntsman Corp

    202,556       5,566  

International Paper Co

    111,708       3,868  

 

 

 

6

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Value Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Louisiana-Pacific Corp

    56,701     $ 3,357  

LyondellBasell Industries NV, Cl A

    39,065       3,244  

Mosaic Co/The

    39,382       1,728  

Newmont Corp

    65,956       3,113  

O-I Glass Inc, Cl I *

     82,301       1,364  

Reliance Steel & Aluminum Co

    32,299       6,539  

Steel Dynamics Inc

    48,750       4,763  

Sylvamo Corp

    10,155       493  

Westrock Co

    60,481       2,126  
                 
              69,476  

Real Estate — 3.0%

        

Boston Properties Inc ‡

     87,252       5,896  

Healthpeak Properties Inc ‡

     430,340       10,789  

Howard Hughes Corp/The *‡

     41,684       3,185  

Iron Mountain Inc ‡

     40,352       2,012  

Omega Healthcare Investors Inc ‡

     80,756       2,257  

Sabra Health Care REIT Inc ‡

     136,253       1,694  

Service Properties Trust ‡

     119,570       872  

Simon Property Group Inc ‡

     18,224       2,141  

VICI Properties Inc ‡

     337,474       10,934  
                 
              39,780  

Utilities — 5.1%

        

Duke Energy Corp

    145,213       14,955  

Edison International

    110,674       7,041  

FirstEnergy Corp

    149,566       6,273  

NextEra Energy Inc

    232,462       19,434  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

NRG Energy Inc

    134,759     $ 4,288  

PPL Corp

    88,237       2,578  

UGI Corp

    262,750       9,740  

Vistra Corp

    214,260       4,971  
                 
              69,280  

Total Common Stock

               

(Cost $979,425) ($ Thousands)

             1,335,107  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(A)

     2,772       3  
                 
                 

Total Affiliated Partnership

                

(Cost $3) ($ Thousands)

     3  
                 
                 
                 

CASH EQUIVALENT — 1.1%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     14,817,689       14,818  
                 

Total Cash Equivalent

                

(Cost $14,818) ($ Thousands)

             14,818  
                 
                 

Total Investments in Securities — 99.8%

                

(Cost $994,246) ($ Thousands)

  $ 1,349,928  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     33       Mar-2023     $ 6,408     $ 6,371     $ (37 )

S&P Mid Cap 400 Index E-MINI

     16       Mar-2023       3,921       3,908       (13 )
                    $ 10,329     $ 10,279     $ (50 )

 

 

 

Percentages are based on Net Assets of $1,352,316 ($ Thousands).

‡

Real Estate Investment Trust.

*

Non-income producing security.

(A)

This security was purchased with cash collateral held from securities on loan.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

  

The total market value of such securities as of December 31, 2022 was $3

†

Investment in Affiliated Security.

  

($ Thousands).

 

 
 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 15,770     $ 20,622     $ (36,391 )   $ —     $ 2     $ 3     $ 31     $ 2  

SEI Daily Income Trust, Government Fund, Cl F

     16,000       77,712       (78,894 )     —       —       14,818       113       —  

Totals

   $ 31,770     $ 98,334     $ (115,285 )   $ —     $ 2     $ 14,821     $ 144     $ 2  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

7

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Growth Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† — 99.3%
                 

Communication Services — 6.5%

        

Alphabet Inc, Cl A *

     333,626     $ 29,436  

Alphabet Inc, Cl C *

     334,496       29,680  

Liberty Media Corp-Liberty Formula One, Cl C *

     18,042       1,078  

Live Nation Entertainment Inc *

     141,253       9,851  

Meta Platforms Inc, Cl A *

     1,711       206  

Netflix Inc *

     20,597       6,074  

Sirius XM Holdings Inc (A)

     23,435       137  

T-Mobile US Inc *

     19,366       2,711  

Trade Desk Inc/The, Cl A *

     89,812       4,026  

World Wrestling Entertainment Inc, Cl A

    13,107       898  
                 
              84,097  

Consumer Discretionary — 13.6%

        

Alibaba Group Holding Ltd ADR *

     30,242       2,664  

Amazon.com Inc, Cl A *

     612,483       51,448  

AutoZone Inc *

     10,258       25,298  

Booking Holdings Inc *

     1       2  

Capri Holdings Ltd *

     103,070       5,908  

eBay Inc

    2,250       93  

Farfetch, Cl A *

     124,742       590  

Genuine Parts Co

    10,794       1,873  

Grand Canyon Education Inc *

     1,871       198  

H&R Block Inc

    13,227       483  

Home Depot Inc/The

    39,549       12,492  

Lowe's Cos Inc

    70,462       14,039  

Lululemon Athletica Inc *

     3,675       1,177  

Marriott International Inc/MD, Cl A

    52,218       7,775  

McDonald's Corp

    12,195       3,214  

MercadoLibre Inc *

     2,815       2,382  

MGM Resorts International

    293,581       9,844  

NIKE Inc, Cl B

    38,462       4,500  

O'Reilly Automotive Inc *

     501       423  

Tesla Inc *

     111,837       13,776  

TJX Cos Inc/The

    145,852       11,610  

Ulta Beauty Inc *

     239       112  

Vail Resorts Inc

    17,939       4,276  

Yum! Brands Inc

    1,539       197  
                 
              174,374  

Consumer Staples — 6.3%

        

Altria Group Inc

    23       1  

BJ's Wholesale Club Holdings Inc *

     1,343       89  

Bunge Ltd

    68,297       6,814  

Coca-Cola Co/The

    3,115       198  

Colgate-Palmolive Co

    82,910       6,533  

Costco Wholesale Corp

    33,013       15,070  

General Mills Inc

    41,653       3,493  

Grocery Outlet Holding Corp *

     6,005       175  

Hershey Co/The

    57,979       13,426  

Kroger Co/The

    84,103       3,749  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Lamb Weston Holdings Inc

    8,611     $ 770  

PepsiCo Inc

    125,368       22,649  

Philip Morris International Inc

    1,080       109  

Procter & Gamble Co/The

    52,380       7,939  
                 
              81,015  

Energy — 2.3%

        

Antero Resources Corp *

     58,575       1,815  

Cheniere Energy Inc

    3,222       483  

Chevron Corp

    10,356       1,859  

ConocoPhillips

    35,268       4,162  

EOG Resources Inc

    136,396       17,666  

Halliburton Co

    10,066       396  

Schlumberger Ltd, Cl A

    51,712       2,765  
                 
              29,146  

Financials — 5.2%

        

CME Group Inc, Cl A

    42,935       7,220  

FactSet Research Systems Inc

    24,114       9,675  

Moody's Corp

    44,675       12,447  

MSCI Inc, Cl A

    25,072       11,663  

S&P Global Inc

    29,549       9,897  

Signature Bank/New York NY, Cl B

    23,602       2,720  

Unum Group

    84,506       3,467  

UWM Holdings Corp

    58,651       194  

W R Berkley Corp

    138,349       10,040  
                 
              67,323  

Health Care — 14.7%

        

AbbVie Inc

    75,147       12,144  

Acadia Healthcare Co Inc, Cl A *

     89,367       7,357  

Amgen Inc, Cl A

    722       190  

AstraZeneca PLC ADR

    38,224       2,592  

Becton Dickinson and Co

    18,769       4,773  

Biogen Inc *

     10,027       2,777  

Centene Corp *

     46,552       3,818  

Danaher Corp, Cl A

    67,277       17,857  

Eli Lilly & Co

    31,366       11,475  

Gilead Sciences Inc

    25,181       2,162  

Humana Inc

    17,313       8,867  

Incyte Corp *

     2,512       202  

Johnson & Johnson

    74,128       13,095  

McKesson Corp

    56,111       21,048  

Merck & Co Inc

    38,050       4,222  

Mettler-Toledo International Inc *

     3,304       4,776  

Natera Inc *

     201,543       8,096  

Prometheus Biosciences Inc *

     8,137       895  

Reata Pharmaceuticals Inc, Cl A *

     51,571       1,959  

Thermo Fisher Scientific Inc

    549       302  

TransMedics Group Inc *

     39,267       2,423  

UnitedHealth Group Inc

    99,804       52,914  

Vertex Pharmaceuticals Inc *

     18,383       5,308  

 

 

 

8

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Growth Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Waters Corp *

     291     $ 100  
                 
              189,352  

Industrials — 8.1%

        

AMETEK Inc

    31,966       4,466  

Carlisle Cos Inc

    357       84  

Carrier Global Corp

    209,480       8,641  

Caterpillar Inc, Cl A

    3,941       944  

Eaton Corp PLC

    104,932       16,469  

General Dynamics Corp

    27,029       6,706  

Graco Inc

    143,435       9,648  

Hubbell Inc, Cl B

    421       99  

Middleby Corp/The *

     51,098       6,842  

Otis Worldwide Corp

    108,620       8,506  

Robert Half International Inc

    1,307       97  

Tetra Tech Inc

    36,505       5,300  

TransDigm Group Inc *

     22,125       13,931  

Uber Technologies Inc *

     136,130       3,367  

Union Pacific Corp

    41,577       8,609  

Waste Management Inc

    37,738       5,920  

Westinghouse Air Brake Technologies Corp

    48,052       4,796  
                 
              104,425  

Information Technology — 38.7%

        

Adobe Inc *

     37,583       12,648  

Advanced Micro Devices Inc *

     141,747       9,181  

Analog Devices Inc

    68,618       11,255  

Apple Inc

    758,153       98,507  

Applied Materials Inc

    86,204       8,394  

Arista Networks Inc *

     62,700       7,609  

Autodesk Inc, Cl A *

     463       86  

Automatic Data Processing Inc

    13,088       3,126  

Broadcom Inc

    22,811       12,754  

Cadence Design Systems Inc *

     26,374       4,237  

Cisco Systems Inc

    38,126       1,816  

Crowdstrike Holdings Inc, Cl A *

     1,406       148  

Datadog Inc, Cl A *

     87,682       6,445  

Dolby Laboratories Inc, Cl A

    33,074       2,333  

Dropbox Inc, Cl A *

     4,633       104  

Enphase Energy Inc *

     35,607       9,434  

Fair Isaac Corp *

     2,282       1,366  

First Solar Inc *

     48,536       7,270  

Fortinet Inc *

     75,531       3,693  

Globant SA *

     534       90  

Intuit Inc

    69,108       26,898  

Jabil Inc

    75,766       5,167  

Keysight Technologies Inc *

     15,506       2,653  

Lattice Semiconductor Corp *

     2,697       175  

Manhattan Associates Inc *

     772       94  

Marvell Technology Inc

    123,016       4,556  

Mastercard Inc, Cl A

    73,622       25,601  

Microchip Technology Inc

    96,558       6,783  

Microsoft Corp

    559,519       134,184  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Monolithic Power Systems Inc

    1,475     $ 522  

NetApp Inc

    44,056       2,646  

NVIDIA Corp

    113,854       16,639  

ON Semiconductor Corp *

     65,073       4,059  

Oracle Corp, Cl B

    128,781       10,527  

Palo Alto Networks Inc *

     87,786       12,250  

Paychex Inc

    28,220       3,261  

Paylocity Holding Corp *

     3,022       587  

PayPal Holdings Inc *

     45,001       3,205  

Pure Storage Inc, Cl A *

     94,317       2,524  

QUALCOMM Inc

    1,776       195  

ServiceNow Inc *

     16,631       6,457  

Snowflake Inc, Cl A *

     18,416       2,643  

SolarEdge Technologies Inc *

     8,118       2,300  

Teradata Corp *

     5,924       199  

Teradyne Inc

    210       18  

Texas Instruments Inc

    1,148       190  

Ubiquiti Inc

    4,350       1,190  

Visa Inc, Cl A

    109,215       22,690  
                 
              498,709  

Materials — 2.6%

        

CF Industries Holdings Inc

    11,165       951  

Chemours Co/The

    2,768       85  

Linde PLC

    42,120       13,739  

Sherwin-Williams Co/The, Cl A

    46,195       10,963  

Steel Dynamics Inc

    79,149       7,733  
                 
              33,471  

Real Estate — 0.5%

        

Crown Castle Inc ‡

     43,102       5,846  
                 
                 

Utilities — 0.8%

        

National Fuel Gas Co

    51,842       3,282  

NextEra Energy Inc

    79,502       6,646  
                 
              9,928  

Total Common Stock

               

(Cost $770,681) ($ Thousands)

             1,277,686  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     137,575       137  
                 
                 

Total Affiliated Partnership

                

(Cost $138) ($ Thousands)

     137  
                 
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

9

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Growth Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 0.7%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     9,293,184     $ 9,293  
                 

Total Cash Equivalent

                

(Cost $9,293) ($ Thousands)

             9,293  
                 
                 

Total Investments in Securities — 100.0%

                

(Cost $780,112) ($ Thousands)

  $ 1,287,116  
                 
                 

 

 
 

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Russell 2000 Index E-MINI

     6       Mar-2023     $ 527     $ 531     $ 4  

S&P 500 Index E-MINI

     30       Mar-2023       5,811       5,792       (19 )
                    $ 6,338     $ 6,323     $ (15 )

 

 

 

Percentages are based on Net Assets of $1,287,618 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

††

Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $137 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $137 ($ Thousands).

 

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 45     $ 575     $ (483 )     $ —     $ —     $ 137     $ 6     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     13,898       54,317       (58,922 )     —       —       9,293       84       —  

Totals

   $ 13,943     $ 54,892     $ (59,405 )   $ —     $ —     $ 9,430     $ 90     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for Abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

10

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.1%
                 

Communication Services — 7.0%

        

Activision Blizzard Inc

    21,081     $ 1,614  

Alphabet Inc, Cl A *

     163,081       14,389  

Alphabet Inc, Cl C *

     144,572       12,828  

Altice USA Inc, Cl A *

     5,800       27  

AMC Entertainment Holdings Inc, Cl A (A)

     13,800       56  

AT&T Inc

    194,001       3,571  

Cable One Inc

    138       98  

Charter Communications Inc, Cl A *

     2,872       974  

Comcast Corp, Cl A

    116,176       4,063  

DISH Network Corp, Cl A *

     6,511       91  

Electronic Arts Inc

    7,506       917  

Fox Corp, Cl A

    8,031       244  

Fox Corp, Cl B

    3,700       105  

Frontier Communications Parent Inc *

     6,600       168  

IAC Inc *

     1,998       89  

Interpublic Group of Cos Inc/The

    10,400       346  

Liberty Broadband Corp, Cl A *

     500       38  

Liberty Broadband Corp, Cl C *

     3,258       248  

Liberty Media Corp-Liberty Formula One, Cl A *

     500       27  

Liberty Media Corp-Liberty Formula One, Cl C *

     5,400       323  

Liberty Media Corp-Liberty SiriusXM *

     6,198       243  

Live Nation Entertainment Inc *

     4,290       299  

Lumen Technologies Inc

    27,095       141  

Madison Square Garden Sports Corp

    496       91  

Match Group Inc *

     7,499       311  

Meta Platforms Inc, Cl A *

     60,928       7,332  

Netflix Inc *

     11,877       3,502  

New York Times Co/The, Cl A

    4,312       140  

News Corp, Cl A

    10,300       187  

News Corp, Cl B

    3,200       59  

Nexstar Media Group Inc, Cl A

    1,000       175  

Omnicom Group Inc

    5,526       451  

Paramount Global, Cl A

    219       4  

Paramount Global, Cl B

    15,453       261  

Pinterest Inc, Cl A *

     15,576       378  

Playtika Holding Corp *

     4,600       39  

ROBLOX Corp, Cl A *

     12,200       347  

Roku Inc, Cl A *

     3,145       128  

Sirius XM Holdings Inc (A)

     18,618       109  

Spotify Technology SA *

     3,760       297  

Take-Two Interactive Software Inc, Cl A *

     4,404       459  

T-Mobile US Inc *

     16,114       2,256  

Trade Desk Inc/The, Cl A *

     11,951       536  

TripAdvisor Inc *

     2,600       47  

Verizon Communications Inc

    113,879       4,487  

Walt Disney Co/The *

     49,344       4,287  

Warner Bros Discovery Inc *

     64,020       607  

World Wrestling Entertainment Inc, Cl A

    1,200       82  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ZoomInfo Technologies Inc, Cl A *

     7,400     $ 223  
                 
              67,694  

Consumer Discretionary — 9.8%

        

ADT Inc

    5,828       53  

Advance Auto Parts Inc

    1,617       238  

Airbnb Inc, Cl A *

     10,200       872  

Amazon.com Inc, Cl A *

     240,905       20,236  

Aptiv PLC *

     7,353       685  

Aramark

    6,191       256  

AutoNation Inc *

     994       107  

AutoZone Inc *

     517       1,275  

Bath & Body Works Inc

    6,100       257  

Best Buy Co Inc

    5,380       431  

Booking Holdings Inc *

     1,039       2,094  

BorgWarner Inc

    6,200       250  

Boyd Gaming Corp

    2,100       114  

Bright Horizons Family Solutions Inc *

     1,500       95  

Brunswick Corp/DE

    2,000       144  

Burlington Stores Inc *

     1,753       355  

Caesars Entertainment Inc *

     5,600       233  

Capri Holdings Ltd *

     3,500       201  

CarMax Inc *

     4,300       262  

Carnival Corp *

     25,927       209  

Carter's Inc

    1,000       75  

Carvana Co, Cl A *(A)

     2,868       14  

Chipotle Mexican Grill Inc, Cl A *

     739       1,025  

Choice Hotels International Inc

    928       105  

Churchill Downs Inc

    961       203  

Columbia Sportswear Co

    1,000       88  

Darden Restaurants Inc

    3,299       456  

Deckers Outdoor Corp *

     701       280  

Dick's Sporting Goods Inc

    1,392       167  

Dollar General Corp

    6,145       1,513  

Dollar Tree Inc *

     5,756       814  

Domino's Pizza Inc

    960       333  

DoorDash Inc, Cl A *

     6,664       325  

DR Horton Inc

    8,538       761  

DraftKings Inc, Cl A *

     9,700       110  

eBay Inc

    14,706       610  

Etsy Inc *

     3,404       408  

Expedia Group Inc *

     4,024       352  

Five Below Inc *

     1,483       262  

Floor & Decor Holdings Inc, Cl A *

     2,800       195  

Ford Motor Co

    106,885       1,243  

GameStop Corp, Cl A *(A)

     7,200       133  

Gap Inc/The

    5,300       60  

Garmin Ltd

    4,157       384  

General Motors Co

    38,449       1,293  

Gentex Corp

    6,235       170  

Genuine Parts Co

    3,776       655  

Grand Canyon Education Inc *

     800       84  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

11

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

H&R Block Inc

    4,200     $ 153  

Hanesbrands Inc

    9,000       57  

Harley-Davidson Inc, Cl A

    3,600       150  

Hasbro Inc

    3,502       214  

Hilton Worldwide Holdings Inc

    7,184       908  

Home Depot Inc/The

    28,046       8,859  

Hyatt Hotels Corp, Cl A *

     1,294       117  

Kohl's Corp

    3,325       84  

Las Vegas Sands Corp *

     8,846       425  

Lear Corp

    1,594       198  

Leggett & Platt Inc

    3,600       116  

Lennar Corp, Cl A

    6,789       614  

Lennar Corp, Cl B

    450       34  

Leslie's Inc *

     4,400       54  

Lithia Motors Inc, Cl A

    730       149  

LKQ Corp

    6,888       368  

Lowe's Cos Inc

    16,826       3,352  

Lucid Group Inc *(A)

     14,200       97  

Lululemon Athletica Inc *

     2,993       959  

Macy's Inc

    7,100       147  

Marriott International Inc/MD, Cl A

    7,155       1,065  

Marriott Vacations Worldwide Corp

    1,000       135  

Mattel Inc *

     9,300       166  

McDonald's Corp

    20,061       5,287  

MGM Resorts International

    8,753       293  

Mister Car Wash Inc *

     2,100       19  

Mohawk Industries Inc *

     1,432       146  

Newell Brands Inc, Cl B

    10,070       132  

NIKE Inc, Cl B

    33,244       3,890  

Nordstrom Inc

    3,000       48  

Norwegian Cruise Line Holdings Ltd *

     11,363       139  

NVR Inc *

     75       346  

Ollie's Bargain Outlet Holdings Inc *

     1,661       78  

O'Reilly Automotive Inc *

     1,650       1,393  

Peloton Interactive Inc, Cl A *

     7,927       63  

Penn Entertainment Inc *

     4,200       125  

Penske Automotive Group Inc, Cl A

    700       80  

Petco Health & Wellness Co Inc, Cl A *

     2,300       22  

Planet Fitness Inc, Cl A *

     2,200       173  

Polaris Inc

    1,531       155  

Pool Corp

    1,021       309  

PulteGroup Inc

    6,100       278  

PVH Corp

    1,849       130  

QuantumScape Corp, Cl A *(A)

     6,600       37  

Ralph Lauren Corp, Cl A

    1,084       115  

RH *

     553       148  

Rivian Automotive Inc, Cl A *

     14,200       262  

Ross Stores Inc

    9,244       1,073  

Royal Caribbean Cruises Ltd *

     6,023       298  

Service Corp International/US

    4,100       283  

Six Flags Entertainment Corp *

     2,100       49  

Skechers USA Inc, Cl A *

     3,653       153  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Starbucks Corp

    31,101     $ 3,085  

Tapestry Inc

    6,708       255  

Target Corp, Cl A

    12,602       1,878  

Tempur Sealy International Inc

    4,400       151  

Tesla Inc *

     70,024       8,626  

Thor Industries Inc

    1,400       106  

TJX Cos Inc/The

    31,459       2,504  

Toll Brothers Inc

    2,900       145  

TopBuild Corp *

     858       134  

Tractor Supply Co

    3,001       675  

Travel + Leisure Co

    2,263       82  

Ulta Beauty Inc *

     1,378       646  

Under Armour Inc, Cl A *

     4,815       49  

Under Armour Inc, Cl C *

     5,600       50  

Vail Resorts Inc

    1,070       255  

VF Corp

    9,364       259  

Victoria's Secret & Co *

     2,266       81  

Wayfair Inc, Cl A *

     2,023       67  

Wendy's Co/The

    4,600       104  

Whirlpool Corp

    1,438       203  

Williams-Sonoma Inc

    1,800       207  

Wyndham Hotels & Resorts Inc

    2,363       168  

Wynn Resorts Ltd *

     2,815       232  

YETI Holdings Inc *

     2,300       95  

Yum! Brands Inc

    7,609       975  
                 
              95,462  

Consumer Staples — 6.7%

        

Albertsons Cos Inc, Cl A

    4,300       89  

Altria Group Inc

    48,550       2,219  

Archer-Daniels-Midland Co

    14,788       1,373  

BJ's Wholesale Club Holdings Inc *

     3,600       238  

Boston Beer Co Inc/The, Cl A *

     240       79  

Brown-Forman Corp, Cl A

    1,240       82  

Brown-Forman Corp, Cl B

    4,922       323  

Bunge Ltd

    3,700       369  

Campbell Soup Co

    5,200       295  

Casey's General Stores Inc

    996       224  

Church & Dwight Co Inc

    6,610       533  

Clorox Co/The

    3,371       473  

Coca-Cola Co/The

    105,776       6,728  

Colgate-Palmolive Co

    22,479       1,771  

Conagra Brands Inc

    12,749       493  

Constellation Brands Inc, Cl A

    4,086       947  

Costco Wholesale Corp

    11,964       5,462  

Coty Inc, Cl A *

     9,339       80  

Darling Ingredients Inc *

     4,323       271  

Estee Lauder Cos Inc/The, Cl A

    6,180       1,533  

Flowers Foods Inc

    4,900       141  

Freshpet Inc *

     1,200       63  

General Mills Inc

    16,161       1,355  

Grocery Outlet Holding Corp *

     2,300       67  

 

 

 

12

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Hershey Co/The

    3,942     $ 913  

Hormel Foods Corp

    7,837       357  

Ingredion Inc

    1,710       168  

J M Smucker Co/The

    2,754       436  

Kellogg Co

    6,885       491  

Keurig Dr Pepper Inc

    23,285       830  

Kimberly-Clark Corp

    9,090       1,234  

Kraft Heinz Co/The

    18,949       772  

Kroger Co/The

    17,788       793  

Lamb Weston Holdings Inc

    3,900       349  

McCormick & Co Inc/MD

    6,782       562  

Molson Coors Beverage Co, Cl B

    4,695       242  

Mondelez International Inc, Cl A

    36,946       2,463  

Monster Beverage Corp *

     9,939       1,009  

Olaplex Holdings Inc *

     3,500       18  

PepsiCo Inc

    37,430       6,762  

Performance Food Group Co *

     4,100       239  

Philip Morris International Inc

    41,963       4,247  

Pilgrim's Pride Corp *

     1,300       31  

Post Holdings Inc *

     1,507       136  

Procter & Gamble Co/The

    64,030       9,704  

Reynolds Consumer Products Inc

    1,500       45  

Seaboard Corp

    6       23  

Spectrum Brands Holdings Inc

    1,057       64  

Sysco Corp, Cl A

    13,763       1,052  

Tyson Foods Inc, Cl A

    7,708       480  

US Foods Holding Corp *

     5,397       184  

Walgreens Boots Alliance Inc

    19,441       726  

Walmart Inc

    38,571       5,469  
                 
              65,007  

Energy — 5.2%

        

Antero Midstream Corp

    8,900       96  

Antero Resources Corp *

     7,700       238  

APA Corp

    8,600       401  

Baker Hughes Co, Cl A

    25,502       753  

Cheniere Energy Inc

    6,773       1,016  

Chesapeake Energy Corp

    3,300       311  

Chevron Corp

    52,433       9,411  

ConocoPhillips

    33,804       3,989  

Coterra Energy Inc

    21,314       524  

Devon Energy Corp

    17,661       1,086  

Diamondback Energy Inc, Cl A

    4,729       647  

DT Midstream Inc

    2,706       150  

Enviva Inc

    800       42  

EOG Resources Inc

    15,882       2,057  

EQT Corp

    10,067       341  

Exxon Mobil Corp

    111,747       12,326  

Halliburton Co

    24,345       958  

Hess Corp

    7,649       1,085  

HF Sinclair Corp

    3,900       202  

Kinder Morgan Inc

    53,834       973  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Marathon Oil Corp

    17,192     $ 465  

Marathon Petroleum Corp

    12,712       1,480  

New Fortress Energy Inc, Cl A

    1,500       64  

NOV Inc

    10,400       217  

Occidental Petroleum Corp

    21,523       1,356  

ONEOK Inc

    12,061       792  

Ovintiv Inc

    6,700       340  

PDC Energy Inc, Cl A

    2,500       159  

Phillips 66

    12,762       1,328  

Pioneer Natural Resources Co

    6,474       1,479  

Range Resources Corp

    6,700       168  

Schlumberger Ltd, Cl A

    38,275       2,046  

Southwestern Energy Co *

     29,800       174  

Targa Resources Corp

    6,100       448  

Texas Pacific Land Corp

    149       349  

Valero Energy Corp

    10,474       1,329  

Williams Cos Inc/The

    32,973       1,085  
                 
              49,885  

Financials — 11.9%

        

Affiliated Managers Group Inc

    1,071       170  

Aflac Inc

    16,746       1,205  

AGNC Investment Corp ‡

     15,628       162  

Allstate Corp/The

    7,180       974  

Ally Financial Inc

    8,158       199  

American Express Co

    16,314       2,410  

American Financial Group Inc/OH

    1,843       253  

American International Group Inc

    20,103       1,271  

Ameriprise Financial Inc

    2,836       883  

Annaly Capital Management Inc ‡

     12,593       265  

Aon PLC, Cl A

    5,547       1,665  

Apollo Global Management Inc

    13,147       839  

Arch Capital Group Ltd *

     9,589       602  

Ares Management Corp, Cl A

    4,200       287  

Arthur J Gallagher & Co

    5,605       1,057  

Assurant Inc

    1,400       175  

Assured Guaranty Ltd

    1,514       94  

Axis Capital Holdings Ltd

    2,023       110  

Bank of America Corp

    190,202       6,300  

Bank of Hawaii Corp

    1,048       81  

Bank of New York Mellon Corp/The

    19,885       905  

Bank OZK

    2,900       116  

Berkshire Hathaway Inc, Cl B *

     48,920       15,111  

BlackRock Inc

    4,069       2,883  

Blackstone Inc, Cl A

    18,999       1,410  

Blue Owl Capital Inc, Cl A

    10,800       115  

BOK Financial Corp

    800       83  

Brighthouse Financial Inc *

     1,900       97  

Brown & Brown Inc

    6,300       359  

Capital One Financial Corp

    10,363       963  

Carlyle Group Inc/The

    5,600       167  

Cboe Global Markets Inc

    2,900       364  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

13

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Charles Schwab Corp/The

    41,127     $ 3,424  

Chubb Ltd

    11,310       2,495  

Cincinnati Financial Corp

    4,100       420  

Citigroup Inc

    52,480       2,374  

Citizens Financial Group Inc

    13,259       522  

CME Group Inc, Cl A

    9,733       1,637  

CNA Financial Corp

    752       32  

Coinbase Global Inc, Cl A *(A)

     4,400       156  

Comerica Inc

    3,453       231  

Commerce Bancshares Inc/MO

    3,024       206  

Corebridge Financial

    2,200       44  

Credit Acceptance Corp, Cl A *

     136       65  

Cullen/Frost Bankers Inc

    1,614       216  

Discover Financial Services

    7,371       721  

East West Bancorp Inc

    3,800       250  

Equitable Holdings Inc

    9,900       284  

Erie Indemnity Co, Cl A

    656       163  

Evercore Inc, Cl A

    983       107  

Everest Re Group Ltd

    1,016       337  

Eversource Energy

    9,298       780  

F&G Annuities & Life Inc

    476       10  

FactSet Research Systems Inc

    985       395  

Fidelity National Financial Inc

    7,010       264  

Fifth Third Bancorp

    18,500       607  

First American Financial Corp

    2,700       141  

First Citizens BancShares Inc/NC, Cl A

    319       242  

First Hawaiian Inc

    3,500       91  

First Horizon Corp

    14,400       353  

First Republic Bank/CA

    4,973       606  

FNB Corp/PA

    9,200       120  

Franklin Resources Inc

    7,700       203  

Globe Life Inc

    2,401       289  

Goldman Sachs Group Inc/The

    8,940       3,070  

Hanover Insurance Group Inc/The, Cl A

    926       125  

Hartford Financial Services Group Inc/The

    8,559       649  

Huntington Bancshares Inc/OH

    38,938       549  

Interactive Brokers Group Inc, Cl A

    2,521       182  

Intercontinental Exchange Inc

    14,912       1,530  

Invesco Ltd

    10,062       181  

Janus Henderson Group PLC

    3,600       85  

Jefferies Financial Group Inc

    5,400       185  

JPMorgan Chase & Co

    79,045       10,600  

Kemper Corp, Cl A

    1,755       86  

KeyCorp

    25,288       441  

KKR & Co Inc

    15,500       720  

Lazard Ltd, Cl A

    2,300       80  

Lincoln National Corp

    4,477       138  

Loews Corp

    5,289       309  

LPL Financial Holdings Inc

    2,192       474  

M&T Bank Corp

    4,677       678  

Markel Corp *

     360       474  

MarketAxess Holdings Inc

    975       272  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Marsh & McLennan Cos Inc

    13,395     $ 2,217  

MetLife Inc

    17,815       1,289  

MGIC Investment Corp

    8,200       107  

Moody's Corp

    4,356       1,214  

Morgan Stanley

    33,362       2,836  

Morningstar Inc, Cl A

    700       152  

MSCI Inc, Cl A

    2,087       971  

Nasdaq Inc, Cl A

    9,300       571  

New York Community Bancorp Inc

    17,900       154  

Northern Trust Corp

    5,550       491  

Old Republic International Corp

    7,500       181  

OneMain Holdings Inc, Cl A

    3,181       106  

PacWest Bancorp

    3,000       69  

Pinnacle Financial Partners Inc

    2,000       147  

PNC Financial Services Group Inc/The

    10,956       1,730  

Popular Inc

    1,900       126  

Primerica Inc

    981       139  

Principal Financial Group Inc, Cl A

    6,534       548  

Progressive Corp/The

    15,807       2,050  

Prosperity Bancshares Inc

    2,300       167  

Prudential Financial Inc

    9,962       991  

Raymond James Financial Inc

    5,305       567  

Regions Financial Corp

    25,412       548  

Reinsurance Group of America Inc, Cl A

    1,824       259  

RenaissanceRe Holdings Ltd

    1,175       216  

Rithm Capital Corp ‡

     11,640       95  

Robinhood Markets Inc, Cl A *

     14,900       121  

Rocket Cos Inc, Cl A

    3,700       26  

Ryan Specialty Holdings Inc, Cl A *

     2,200       91  

S&P Global Inc

    8,851       2,965  

SEI Investments Co †

     2,800       163  

Signature Bank/New York NY, Cl B

    1,706       197  

SLM Corp

    6,540       109  

SoFi Technologies Inc *

     21,300       98  

Starwood Property Trust Inc ‡

     7,600       139  

State Street Corp

    9,909       769  

Stifel Financial Corp

    2,700       158  

SVB Financial Group, Cl B *

     1,591       366  

Synchrony Financial

    12,168       400  

Synovus Financial Corp

    3,900       146  

T Rowe Price Group Inc

    5,971       651  

TFS Financial Corp

    1,417       20  

Tradeweb Markets Inc, Cl A

    2,900       188  

Travelers Cos Inc/The

    6,370       1,194  

Truist Financial Corp

    36,027       1,550  

Umpqua Holdings Corp

    5,819       104  

Unum Group

    5,275       216  

Upstart Holdings Inc *(A)

     2,000       26  

US Bancorp

    36,380       1,587  

UWM Holdings Corp (A)

     2,800       9  

Virtu Financial Inc, Cl A

    2,800       57  

Voya Financial Inc

    2,600       160  

 

 

 

14

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

W R Berkley Corp

    5,550     $ 403  

Webster Financial Corp

    4,568       216  

Wells Fargo & Co

    102,715       4,241  

Western Alliance Bancorp

    2,800       167  

White Mountains Insurance Group Ltd

    79       112  

Willis Towers Watson PLC

    2,904       710  

Wintrust Financial Corp

    1,600       135  

Zions Bancorp NA

    4,000       197  
                 
              115,820  

Health Care — 15.4%

        

10X Genomics Inc, Cl A *

     2,498       91  

Abbott Laboratories

    46,433       5,098  

AbbVie Inc

    47,885       7,739  

Acadia Healthcare Co Inc, Cl A *

     2,400       198  

Agilent Technologies Inc

    8,054       1,205  

agilon health Inc *

     5,070       82  

Align Technology Inc *

     2,151       454  

Alnylam Pharmaceuticals Inc *

     3,327       791  

Amedisys Inc *

     900       75  

AmerisourceBergen Corp, Cl A

    4,195       695  

Amgen Inc, Cl A

    14,445       3,794  

Avantor Inc *

     16,220       342  

Azenta Inc *

     1,900       111  

Baxter International Inc

    13,665       696  

Becton Dickinson and Co

    7,709       1,960  

Biogen Inc *

     3,859       1,069  

BioMarin Pharmaceutical Inc *

     4,967       514  

Bio-Rad Laboratories Inc, Cl A *

     556       234  

Bio-Techne Corp

    4,196       348  

Boston Scientific Corp *

     38,638       1,788  

Bristol-Myers Squibb Co

    57,736       4,154  

Bruker Corp

    2,900       198  

Cardinal Health Inc

    7,200       553  

Catalent Inc *

     4,923       222  

Centene Corp *

     15,381       1,261  

Certara Inc *

     3,100       50  

Charles River Laboratories International Inc *

     1,403       306  

Chemed Corp

    392       200  

Cigna Corp

    8,150       2,700  

Cooper Cos Inc/The, Cl A

    1,368       452  

CVS Health Corp

    35,508       3,309  

Danaher Corp, Cl A

    17,534       4,654  

DaVita Inc *

     1,500       112  

Definitive Healthcare Corp, Cl A *

     600       7  

DENTSPLY SIRONA Inc

    5,800       185  

Dexcom Inc *

     10,472       1,186  

Doximity Inc, Cl A *

     2,900       97  

Edwards Lifesciences Corp, Cl A *

     16,747       1,249  

Elanco Animal Health Inc *

     11,877       145  

Elevance Health Inc

    6,532       3,351  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Eli Lilly & Co

    22,816     $ 8,347  

Encompass Health Corp

    2,600       155  

Enhabit Inc *

     1,300       17  

Enovis Corp *

     1,266       68  

Envista Holdings Corp *

     4,300       145  

Exact Sciences Corp *

     4,800       238  

Exelixis Inc *

     8,200       131  

Gilead Sciences Inc

    34,044       2,923  

Globus Medical Inc, Cl A *

     2,100       156  

Guardant Health Inc *

     2,609       71  

HCA Healthcare Inc

    5,904       1,417  

Henry Schein Inc *

     3,647       291  

Hologic Inc *

     6,700       501  

Horizon Therapeutics Plc *

     6,000       683  

Humana Inc

    3,404       1,743  

ICU Medical Inc *

     519       82  

IDEXX Laboratories Inc *

     2,255       920  

Illumina Inc *

     4,228       855  

Incyte Corp *

     4,943       397  

Insulet Corp *

     1,919       565  

Integra LifeSciences Holdings Corp *

     1,900       107  

Intuitive Surgical Inc *

     9,583       2,543  

Ionis Pharmaceuticals Inc *

     3,700       140  

IQVIA Holdings Inc *

     5,005       1,025  

Jazz Pharmaceuticals PLC *

     1,680       268  

Johnson & Johnson

    71,347       12,603  

Laboratory Corp of America Holdings

    2,401       565  

Maravai LifeSciences Holdings Inc, Cl A *

     3,000       43  

Masimo Corp *

     1,300       192  

McKesson Corp

    3,842       1,441  

Medtronic PLC

    36,203       2,814  

Merck & Co Inc

    68,572       7,608  

Mettler-Toledo International Inc *

     593       857  

Mirati Therapeutics Inc *

     1,100       50  

Moderna Inc *

     8,981       1,613  

Molina Healthcare Inc *

     1,595       527  

Natera Inc *

     2,600       104  

Neurocrine Biosciences Inc *

     2,584       309  

Novavax Inc *

     2,000       21  

Novocure Ltd *

     2,775       204  

Oak Street Health Inc *

     3,200       69  

Organon & Co

    6,770       189  

Penumbra Inc *

     1,000       222  

PerkinElmer Inc

    3,441       482  

Perrigo Co PLC

    3,493       119  

Pfizer Inc

    153,075       7,843  

Premier Inc, Cl A

    3,200       112  

QIAGEN NV *

     6,200       309  

Quest Diagnostics Inc

    3,100       485  

QuidelOrtho Corp *

     1,300       111  

Regeneron Pharmaceuticals Inc *

     2,813       2,030  

Repligen Corp *

     1,550       262  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

15

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ResMed Inc

    3,953     $ 823  

Royalty Pharma PLC, Cl A

    10,100       399  

Sarepta Therapeutics Inc *

     2,300       298  

Seagen Inc *

     3,707       476  

Signify Health Inc, Cl A *

     2,300       66  

Sotera Health Co *

     2,700       22  

STERIS PLC

    2,740       506  

Stryker Corp

    9,498       2,322  

Syneos Health Inc, Cl A *

     2,659       98  

Tandem Diabetes Care Inc *

     1,662       75  

Teladoc Health Inc *

     4,310       102  

Teleflex Inc

    1,239       309  

Tenet Healthcare Corp *

     2,800       137  

Thermo Fisher Scientific Inc

    10,647       5,863  

Ultragenyx Pharmaceutical Inc *

     1,700       79  

United Therapeutics Corp *

     1,172       326  

UnitedHealth Group Inc

    25,385       13,459  

Universal Health Services Inc, Cl B

    1,675       236  

Veeva Systems Inc, Cl A *

     3,768       608  

Vertex Pharmaceuticals Inc *

     6,896       1,991  

Viatris Inc, Cl W *

     32,930       366  

Waters Corp *

     1,599       548  

West Pharmaceutical Services Inc

    2,028       477  

Zimmer Biomet Holdings Inc

    5,722       730  

Zoetis Inc, Cl A

    12,725       1,865  
                 
              148,828  

Industrials — 9.3%

        

3M Co

    15,052       1,805  

A O Smith Corp

    3,400       195  

Acuity Brands Inc

    919       152  

Advanced Drainage Systems Inc

    1,700       139  

AECOM

    3,500       297  

AGCO Corp

    1,700       236  

Air Lease Corp, Cl A

    2,800       108  

Alaska Air Group Inc *

     3,400       146  

Allegion PLC

    2,350       247  

Allison Transmission Holdings Inc

    2,500       104  

American Airlines Group Inc *

     17,072       217  

AMETEK Inc

    6,283       878  

Armstrong World Industries Inc

    1,200       82  

Avis Budget Group Inc *

     800       131  

Axon Enterprise Inc *

     1,843       306  

AZEK Co Inc/The, Cl A *

     3,000       61  

Boeing Co/The *

     14,838       2,827  

Booz Allen Hamilton Holding Corp, Cl A

    3,540       370  

Builders FirstSource Inc *

     4,100       266  

BWX Technologies Inc, Cl W

    2,500       145  

CACI International Inc, Cl A *

     592       178  

Carlisle Cos Inc

    1,424       336  

Carrier Global Corp

    22,552       930  

Caterpillar Inc, Cl A

    14,067       3,370  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CH Robinson Worldwide Inc

    3,255     $ 298  

ChargePoint Holdings Inc *(A)

     6,800       65  

Cintas Corp

    2,301       1,039  

Clarivate PLC *

     12,400       103  

Clean Harbors Inc *

     1,400       160  

Copa Holdings SA, Cl A *

     733       61  

Copart Inc *

     11,528       702  

Core & Main Inc, Cl A *

     2,000       39  

CoStar Group Inc *

     10,900       842  

Crane Holdings Co

    1,300       131  

CSX Corp

    56,800       1,760  

Cummins Inc

    3,844       931  

Curtiss-Wright Corp

    1,000       167  

Deere & Co

    7,462       3,199  

Delta Air Lines Inc, Cl A *

     17,421       572  

Donaldson Co Inc, Cl A

    3,300       194  

Dover Corp

    3,851       521  

Driven Brands Holdings Inc *

     1,500       41  

Dun & Bradstreet Holdings Inc

    6,900       85  

Eaton Corp PLC

    10,811       1,697  

Emerson Electric Co

    16,046       1,541  

Equifax Inc

    3,279       637  

Esab Corp

    1,366       64  

Expeditors International of Washington Inc

    4,300       447  

Fastenal Co, Cl A

    15,587       738  

FedEx Corp

    6,560       1,136  

Flowserve Corp

    3,400       104  

Fortive Corp

    9,559       614  

Fortune Brands Innovations Inc

    3,461       198  

FTI Consulting Inc *

     952       151  

Gates Industrial Corp PLC *

     2,600       30  

Generac Holdings Inc *

     1,700       171  

General Dynamics Corp

    6,555       1,626  

General Electric Co

    29,714       2,490  

Graco Inc

    4,500       303  

GXO Logistics Inc *

     2,733       117  

Hayward Holdings Inc *

     2,000       19  

HEICO Corp

    1,250       192  

HEICO Corp, Cl A

    2,100       252  

Hertz Global Holdings Inc *

     5,400       83  

Hexcel Corp, Cl A

    2,200       129  

Honeywell International Inc

    18,251       3,911  

Howmet Aerospace Inc

    10,000       394  

Hubbell Inc, Cl B

    1,505       353  

Huntington Ingalls Industries Inc, Cl A

    1,027       237  

IAA Inc *

     3,600       144  

IDEX Corp

    2,103       480  

Illinois Tool Works Inc

    8,289       1,826  

Ingersoll Rand Inc

    11,049       577  

ITT Inc

    2,248       182  

Jacobs Solutions Inc

    3,495       420  

JB Hunt Transport Services Inc

    2,210       385  

 

 

 

16

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

JetBlue Airways Corp *

     8,197     $ 53  

Johnson Controls International plc

    18,626       1,192  

KBR Inc

    3,700       195  

Kirby Corp *

     1,600       103  

Knight-Swift Transportation Holdings Inc, Cl A

    4,227       222  

L3Harris Technologies Inc

    5,197       1,082  

Landstar System Inc

    992       162  

Leidos Holdings Inc

    3,700       389  

Lennox International Inc

    878       210  

Lincoln Electric Holdings Inc

    1,542       223  

Lockheed Martin Corp

    6,388       3,108  

Lyft Inc, Cl A *

     8,300       91  

ManpowerGroup Inc

    1,388       116  

Masco Corp

    6,000       280  

MasTec Inc *

     1,600       137  

Masterbrand Inc *

     3,461       26  

MDU Resources Group Inc

    5,300       161  

Mercury Systems Inc *

     1,500       67  

Middleby Corp/The *

     1,439       193  

MSA Safety Inc

    958       138  

MSC Industrial Direct Co Inc, Cl A

    1,179       96  

Nordson Corp

    1,543       367  

Norfolk Southern Corp

    6,315       1,556  

Northrop Grumman Corp

    3,931       2,145  

nVent Electric PLC

    4,400       169  

Old Dominion Freight Line Inc, Cl A

    2,670       758  

Oshkosh Corp

    1,800       159  

Otis Worldwide Corp

    11,226       879  

Owens Corning

    2,560       218  

PACCAR Inc

    9,255       916  

Parker-Hannifin Corp, Cl A

    3,456       1,006  

Pentair PLC

    4,400       198  

Plug Power Inc *

     13,800       171  

Quanta Services Inc

    3,900       556  

Raytheon Technologies Corp

    39,797       4,016  

Regal Rexnord Corp

    1,800       216  

Republic Services Inc

    5,546       715  

Robert Half International Inc

    2,900       214  

Rockwell Automation Inc

    3,149       811  

Rollins Inc

    6,100       223  

RXO Inc *

     2,733       47  

Ryder System Inc

    1,300       109  

Schneider National Inc, Cl B

    1,500       35  

Science Applications International Corp

    1,500       166  

Sensata Technologies Holding PLC

    4,100       166  

SiteOne Landscape Supply Inc *

     1,152       135  

Snap-on Inc

    1,479       338  

Southwest Airlines Co, Cl A

    16,044       540  

Spirit AeroSystems Holdings Inc, Cl A

    2,700       80  

Stanley Black & Decker Inc

    3,957       297  

Stericycle Inc, Cl A *

     2,400       120  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sunrun Inc *

     5,409     $ 130  

Tetra Tech Inc

    1,400       203  

Textron Inc

    5,638       399  

Timken Co/The

    1,700       120  

Toro Co/The

    2,800       317  

Trane Technologies PLC

    6,220       1,046  

TransDigm Group Inc

    1,425       897  

TransUnion

    5,100       289  

Trex Co Inc *

     2,900       123  

Uber Technologies Inc *

     52,029       1,287  

U-Haul Holding Co

    237       14  

U-Haul Holding Co, Cl B

    2,133       117  

Union Pacific Corp

    16,636       3,445  

United Airlines Holdings Inc *

     8,673       327  

United Parcel Service Inc, Cl B

    19,920       3,463  

United Rentals Inc *

     1,888       671  

Univar Solutions Inc *

     4,500       143  

Valmont Industries Inc

    559       185  

Verisk Analytics Inc, Cl A

    4,249       750  

Vertiv Holdings Co, Cl A

    7,900       108  

Waste Management Inc

    11,150       1,749  

Watsco Inc

    876       219  

WESCO International Inc *

     1,200       150  

Westinghouse Air Brake Technologies Corp

    4,866       486  

WillScot Mobile Mini Holdings Corp, Cl A *

     5,500       248  

Woodward Inc

    1,542       149  

WW Grainger Inc

    1,211       674  

XPO Inc *

     2,733       91  

Xylem Inc/NY

    4,838       535  
                 
              89,989  

Information Technology — 24.9%

        

Accenture PLC, Cl A

    17,179       4,584  

Adobe Inc *

     12,603       4,241  

Advanced Micro Devices Inc *

     43,723       2,832  

Affirm Holdings Inc, Cl A *

     6,100       59  

Akamai Technologies Inc *

     4,200       354  

Allegro MicroSystems Inc *

     1,800       54  

Alteryx Inc, Cl A *

     1,536       78  

Amdocs Ltd

    3,300       300  

Amphenol Corp, Cl A

    15,832       1,205  

Analog Devices Inc

    13,937       2,286  

ANSYS Inc *

     2,375       574  

Apple Inc

    407,311       52,922  

Applied Materials Inc

    23,297       2,269  

AppLovin Corp, Cl A *

     6,000       63  

Arista Networks Inc *

     6,652       807  

Arrow Electronics Inc, Cl A *

     1,731       181  

Aspen Technology Inc *

     731       150  

Atlassian Corp Ltd, Cl A *

     3,843       495  

Autodesk Inc, Cl A *

     5,882       1,099  

Automatic Data Processing Inc

    11,274       2,693  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

17

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Avnet Inc

    2,500     $ 104  

Bentley Systems Inc, Cl B

    4,600       170  

Bill.com Holdings Inc *

     2,741       299  

Black Knight Inc *

     4,100       253  

Block Inc, Cl A *

     14,553       915  

Broadcom Inc

    10,701       5,983  

Broadridge Financial Solutions Inc

    3,125       419  

Cadence Design Systems Inc *

     7,402       1,189  

CCC Intelligent Solutions Holdings Inc *

     4,500       39  

CDW Corp/DE

    3,645       651  

Ceridian HCM Holding Inc *

     3,655       234  

Ciena Corp *

     3,900       199  

Cirrus Logic Inc *

     1,500       112  

Cisco Systems Inc

    111,281       5,301  

Cloudflare Inc, Cl A *

     7,700       348  

Cognex Corp

    4,700       221  

Cognizant Technology Solutions Corp, Cl A

    13,861       793  

Coherent Corp *

     3,385       119  

Concentrix Corp

    1,200       160  

Confluent Inc, Cl A *

     3,300       73  

Corning Inc, Cl B

    20,514       655  

Coupa Software Inc *

     2,012       159  

Crowdstrike Holdings Inc, Cl A *

     5,741       605  

Datadog Inc, Cl A *

     7,200       529  

Dell Technologies Inc, Cl C

    6,887       277  

DocuSign Inc, Cl A *

     5,320       295  

Dolby Laboratories Inc, Cl A

    1,653       117  

DoubleVerify Holdings Inc, Cl Rights *

     1,800       40  

Dropbox Inc, Cl A *

     7,300       163  

DXC Technology Co *

     6,081       161  

Dynatrace Inc *

     5,300       203  

Elastic NV *

     2,000       103  

Enphase Energy Inc *

     3,540       938  

Entegris Inc

    4,000       262  

EPAM Systems Inc *

     1,492       489  

Euronet Worldwide Inc *

     1,300       123  

F5 Inc, Cl A *

     1,581       227  

Fair Isaac Corp *

     662       396  

Fidelity National Information Services Inc, Cl B

    16,119       1,094  

First Solar Inc *

     2,900       434  

Fiserv Inc, Cl A *

     15,928       1,610  

Five9 Inc *

     1,900       129  

FleetCor Technologies Inc *

     1,911       351  

Fortinet Inc *

     17,535       857  

Gartner Inc *

     2,125       714  

Gen Digital Inc

    15,201       326  

Genpact Ltd

    4,900       227  

Global Payments Inc

    7,277       723  

GLOBALFOUNDRIES Inc *(A)

     1,700       92  

Globant SA *

     1,153       194  

GoDaddy Inc, Cl A *

     4,225       316  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Guidewire Software Inc, Cl Z *

     2,182     $ 137  

Hewlett Packard Enterprise Co

    34,907       557  

HP Inc

    27,401       736  

HubSpot Inc *

     1,271       368  

Informatica Inc, Cl A *

     900       15  

Intel Corp

    110,876       2,930  

International Business Machines Corp

    24,437       3,443  

Intuit Inc

    7,499       2,919  

IPG Photonics Corp *

     872       83  

Jabil Inc

    3,600       246  

Jack Henry & Associates Inc

    1,994       350  

Jamf Holding Corp *

     1,790       38  

Juniper Networks Inc

    8,500       272  

Keysight Technologies Inc *

     4,832       827  

KLA Corp

    3,895       1,469  

Kyndryl Holdings Inc *

     5,177       58  

Lam Research Corp

    3,707       1,558  

Lattice Semiconductor Corp *

     3,600       234  

Littelfuse Inc

    700       154  

Lumentum Holdings Inc *

     1,900       99  

Manhattan Associates Inc *

     1,705       207  

Marvell Technology Inc

    23,059       854  

Mastercard Inc, Cl A

    23,095       8,031  

Microchip Technology Inc

    14,450       1,015  

Micron Technology Inc

    29,473       1,473  

Microsoft Corp

    202,779       48,631  

MKS Instruments Inc

    1,500       127  

MongoDB Inc, Cl A *

     1,764       347  

Monolithic Power Systems Inc

    1,184       419  

Motorola Solutions Inc

    4,464       1,150  

National Instruments Corp

    3,527       130  

nCino inc *

     1,900       50  

NCR Corp *

     3,423       80  

NetApp Inc

    5,800       348  

New Relic Inc *

     1,400       79  

Nutanix Inc, Cl A *

     6,259       163  

NVIDIA Corp

    65,223       9,532  

Okta Inc, Cl A *

     4,016       274  

ON Semiconductor Corp *

     11,757       733  

Oracle Corp, Cl B

    41,393       3,384  

Palantir Technologies Inc, Cl A *

     50,020       321  

Palo Alto Networks Inc *

     7,923       1,106  

Paychex Inc

    8,790       1,016  

Paycom Software Inc *

     1,366       424  

Paycor HCM Inc *

     1,400       34  

Paylocity Holding Corp *

     1,035       201  

PayPal Holdings Inc *

     30,920       2,202  

Pegasystems Inc

    1,100       38  

Procore Technologies Inc *

     1,900       90  

PTC Inc *

     2,865       344  

Pure Storage Inc, Cl A *

     7,600       203  

Qorvo Inc *

     2,724       247  

 

 

 

18

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

QUALCOMM Inc

    30,357     $ 3,337  

RingCentral Inc, Cl A *

     2,155       76  

Roper Technologies Inc

    2,844       1,229  

Salesforce Inc *

     26,104       3,461  

SentinelOne Inc, Cl A *

     5,300       77  

ServiceNow Inc *

     5,443       2,113  

Shift4 Payments Inc, Cl A *

     1,300       73  

Skyworks Solutions Inc

    4,326       394  

Smartsheet Inc, Cl A *

     3,300       130  

Snowflake Inc, Cl A *

     8,300       1,191  

Splunk Inc *

     4,382       377  

SS&C Technologies Holdings Inc

    5,900       307  

Synopsys Inc *

     4,167       1,331  

TD SYNNEX Corp

    1,100       104  

Teledyne Technologies Inc *

     1,294       518  

Teradata Corp *

     2,697       91  

Teradyne Inc

    4,254       372  

Texas Instruments Inc

    24,557       4,057  

Thoughtworks Holding Inc *

     2,400       24  

Toast Inc, Cl A *

     6,700       121  

Trimble Inc *

     6,600       334  

Twilio Inc, Cl A *

     4,758       233  

Tyler Technologies Inc *

     1,160       374  

Ubiquiti Inc

    169       46  

UiPath Inc, Cl A *

     10,000       127  

Unity Software Inc *

     6,653       190  

Universal Display Corp

    1,142       123  

VeriSign Inc *

     2,548       523  

Viasat Inc *

     1,900       60  

Visa Inc, Cl A

    44,619       9,270  

VMware Inc, Cl A *

     5,775       709  

Vontier Corp

    4,463       86  

Western Digital Corp *

     8,692       274  

Western Union Co/The

    10,600       146  

WEX Inc *

     1,195       196  

Wix.com Ltd *

     1,500       115  

Wolfspeed Inc *

     3,330       230  

Workday Inc, Cl A *

     5,439       910  

Zebra Technologies Corp, Cl A *

     1,384       355  

Zoom Video Communications Inc, Cl A *

     6,900       467  

Zscaler Inc *

     2,264       253  
                 
              241,787  

Materials — 2.9%

        

Air Products and Chemicals Inc

    5,985       1,845  

Albemarle Corp

    3,220       698  

Alcoa Corp

    4,700       214  

Amcor PLC

    40,100       478  

AptarGroup Inc

    1,800       198  

Ardagh Metal Packaging SA

    5,550       27  

Ashland Inc

    1,400       151  

Avery Dennison Corp

    2,166       392  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Axalta Coating Systems Ltd *

     6,000     $ 153  

Ball Corp

    8,235       421  

Berry Global Group Inc

    3,377       204  

Celanese Corp, Cl A

    2,938       300  

CF Industries Holdings Inc

    5,237       446  

Chemours Co/The

    4,200       129  

Cleveland-Cliffs Inc *

     13,500       218  

Corteva Inc

    19,434       1,142  

Crown Holdings Inc

    3,100       255  

Dow Inc

    19,075       961  

DuPont de Nemours Inc

    13,638       936  

Eagle Materials Inc

    959       127  

Eastman Chemical Co

    3,232       263  

Ecolab Inc

    6,688       974  

Element Solutions Inc

    6,100       111  

FMC Corp

    3,410       426  

Freeport-McMoRan Inc, Cl B

    38,602       1,467  

Ginkgo Bioworks Holdings Inc *

     22,000       37  

Graphic Packaging Holding Co

    8,300       185  

Huntsman Corp

    5,105       140  

International Flavors & Fragrances Inc

    6,869       720  

International Paper Co

    9,591       332  

Linde PLC

    13,400       4,371  

Louisiana-Pacific Corp

    1,900       112  

LyondellBasell Industries NV, Cl A

    6,961       578  

Martin Marietta Materials Inc, Cl A

    1,716       580  

Mosaic Co/The

    9,200       404  

MP Materials Corp *

     2,400       58  

NewMarket Corp

    182       57  

Newmont Corp

    21,555       1,017  

Nucor Corp

    6,941       915  

Olin Corp

    3,500       185  

Packaging Corp of America

    2,464       315  

PPG Industries Inc

    6,388       803  

Reliance Steel & Aluminum Co

    1,629       330  

Royal Gold Inc, Cl A

    1,747       197  

RPM International Inc

    3,400       331  

Scotts Miracle-Gro Co/The, Cl A

    1,077       52  

Sealed Air Corp

    3,900       195  

Sherwin-Williams Co/The, Cl A

    6,442       1,529  

Silgan Holdings Inc

    2,230       116  

Sonoco Products Co

    2,600       158  

Southern Copper Corp

    2,300       139  

SSR Mining Inc

    5,700       89  

Steel Dynamics Inc

    4,549       444  

United States Steel Corp

    6,200       155  

Valvoline Inc

    4,800       157  

Vulcan Materials Co

    3,639       637  

Westlake Corp

    832       85  

Westrock Co

    6,700       236  
                 
              28,195  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

19

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Real Estate — 3.1%

        

Alexandria Real Estate Equities Inc ‡

     4,348     $ 633  

American Homes 4 Rent, Cl A ‡

     8,200       247  

American Tower Corp, Cl A ‡

     12,584       2,666  

Americold Realty Trust Inc ‡

     7,100       201  

Apartment Income REIT Corp ‡

     4,165       143  

AvalonBay Communities Inc ‡

     3,759       607  

Boston Properties Inc ‡

     4,162       281  

Brixmor Property Group Inc ‡

     7,900       179  

Camden Property Trust ‡

     2,769       310  

CBRE Group Inc, Cl A *

     8,500       654  

Cousins Properties Inc ‡

     4,000       101  

Crown Castle Inc ‡

     11,736       1,592  

CubeSmart ‡

     5,900       237  

Digital Realty Trust Inc, Cl A ‡

     7,773       779  

Douglas Emmett Inc ‡

     4,500       71  

EastGroup Properties Inc ‡

     1,100       163  

EPR Properties, Cl A ‡

     1,900       72  

Equinix Inc ‡

     2,512       1,645  

Equity LifeStyle Properties Inc ‡

     4,800       310  

Equity Residential ‡

     10,083       595  

Essex Property Trust Inc ‡

     1,817       385  

Extra Space Storage Inc ‡

     3,640       536  

Federal Realty Investment Trust ‡

     2,146       217  

First Industrial Realty Trust Inc ‡

     3,600       174  

Gaming and Leisure Properties Inc ‡

     6,610       344  

Healthcare Realty Trust Inc, Cl A ‡

     10,300       198  

Healthpeak Properties Inc ‡

     14,670       368  

Highwoods Properties Inc ‡

     2,778       78  

Host Hotels & Resorts Inc ‡

     18,802       302  

Howard Hughes Corp/The *‡

     963       74  

Hudson Pacific Properties Inc ‡

     3,800       37  

Invitation Homes Inc ‡

     16,600       492  

Iron Mountain Inc ‡

     7,800       389  

JBG SMITH Properties ‡

     2,800       53  

Jones Lang LaSalle Inc *‡

     1,303       208  

Kilroy Realty Corp ‡

     3,100       120  

Kimco Realty Corp ‡

     16,405       347  

Lamar Advertising Co, Cl A ‡

     2,300       217  

Life Storage Inc ‡

     2,251       222  

Medical Properties Trust Inc ‡

     15,735       175  

Mid-America Apartment Communities Inc ‡

     3,100       487  

National Retail Properties Inc ‡

     4,900       224  

National Storage Affiliates Trust ‡

     2,300       83  

Omega Healthcare Investors Inc ‡

     6,245       175  

Opendoor Technologies Inc *‡

     12,400       14  

Park Hotels & Resorts Inc ‡

     5,800       69  

Prologis Inc ‡

     24,912       2,808  

Public Storage ‡

     4,256       1,192  

Rayonier Inc ‡

     4,000       132  

Realty Income Corp ‡

     17,039       1,081  

Regency Centers Corp ‡

     4,600       287  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Rexford Industrial Realty Inc ‡

     4,900     $ 268  

SBA Communications Corp, Cl A ‡

     2,937       823  

Simon Property Group Inc ‡

     8,835       1,038  

SL Green Realty Corp ‡

     1,830       62  

Spirit Realty Capital Inc ‡

     3,678       147  

STORE Capital Corp ‡

     6,900       221  

Sun Communities Inc ‡

     3,283       469  

UDR Inc ‡

     8,800       341  

Ventas Inc ‡

     10,890       491  

VICI Properties Inc ‡

     26,094       845  

Vornado Realty Trust ‡

     4,600       96  

Welltower Inc ‡

     12,800       839  

WeWork Inc, Cl A *‡

     3,500       5  

Weyerhaeuser Co ‡

     19,797       614  

WP Carey Inc ‡

     5,590       437  

Zillow Group Inc, Cl A *‡

     1,600       50  

Zillow Group Inc, Cl C *‡

     4,400       142  
                 
              29,862  

Utilities — 2.9%

        

AES Corp/The

    18,100       520  

Alliant Energy Corp

    6,821       377  

Ameren Corp

    7,025       625  

American Electric Power Co Inc

    13,929       1,322  

American Water Works Co Inc

    4,965       757  

Atmos Energy Corp

    3,766       422  

Avangrid Inc

    1,900       82  

Brookfield Renewable Corp, Cl A

    3,400       94  

CenterPoint Energy Inc

    17,155       514  

CMS Energy Corp

    7,910       501  

Consolidated Edison Inc

    9,579       913  

Constellation Energy Corp

    8,813       760  

Dominion Energy Inc

    22,602       1,386  

DTE Energy Co

    5,213       613  

Duke Energy Corp

    20,912       2,154  

Edison International

    10,249       652  

Entergy Corp

    5,489       617  

Essential Utilities Inc

    6,300       301  

Evergy Inc

    6,017       379  

Exelon Corp

    26,939       1,165  

FirstEnergy Corp

    14,700       616  

Hawaiian Electric Industries Inc

    2,800       117  

IDACORP Inc, Cl A

    1,400       151  

National Fuel Gas Co

    2,300       146  

NextEra Energy Inc

    53,755       4,494  

NiSource Inc

    10,900       299  

NRG Energy Inc

    6,300       200  

OGE Energy Corp

    5,300       210  

PG&E Corp *

     44,706       727  

Pinnacle West Capital Corp

    3,000       228  

PPL Corp

    20,003       584  

Public Service Enterprise Group Inc

    13,504       827  

 

 

 

20

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Large Cap Index Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sempra Energy

    8,531     $ 1,318  

Southern Co/The

    29,462       2,104  

UGI Corp

    5,530       205  

Vistra Corp

    10,869       252  

WEC Energy Group Inc

    8,584       805  

Xcel Energy Inc

    14,790       1,037  
                 
              28,474  

Total Common Stock

               

(Cost $760,677) ($ Thousands)

             961,003  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.1%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     735,839     $ 736  
                 
                 

Total Affiliated Partnership

                

(Cost $736) ($ Thousands)

     736  
                 
                 
                 

CASH EQUIVALENT — 0.9%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     8,997,392       8,997  
                 

Total Cash Equivalent

                

(Cost $8,997) ($ Thousands)

             8,997  
                 
                 

Total Investments in Securities — 100.1%

                

(Cost $770,410) ($ Thousands)

  $ 970,736  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022 is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     47       Mar-2023     $ 9,372     $ 9,073     $ (299 )

S&P Mid Cap 400 Index E-MINI

     3       Mar-2023       754       733       (21 )
                    $ 10,126     $ 9,806     $ (320 )

 

 

 

 

Percentages are based on Net Assets of $970,050 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

 

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $761 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $736 ($ Thousands).

 

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Investments Co

  $ 137     $ —     $ —       $ —     $ 26     $ 163     $ 1     $ —  

SEI Liquidity Fund, LP

     855       1,182       (1,302 )     —       1       736       18       —  

SEI Daily Income Trust, Government Fund, Cl F

     5,327       38,089       (34,419 )     —       —       8,997       62       —  

Totals

   $ 6,319     $ 39,271     $ (35,721 )   $ —     $ 27     $ 9,896     $ 81     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

21

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Large Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.5%
                 

Communication Services — 4.5%

        

Alphabet Inc, Cl A *

     524,280     $ 46,257  

Alphabet Inc, Cl C *

     456,960       40,546  

AT&T Inc

    209,514       3,857  

BCE Inc

    213,770       9,395  

Charter Communications Inc, Cl A *

     12,696       4,305  

Comcast Corp, Cl A

    240,091       8,396  

Electronic Arts Inc

    44,812       5,475  

Meta Platforms Inc, Cl A *

     135,757       16,337  

Omnicom Group Inc

    79,912       6,518  

Paramount Global, Cl B

    245,524       4,145  

TEGNA Inc

    153,973       3,263  

Verizon Communications Inc

    97,068       3,825  

Walt Disney Co/The *

     161,054       13,992  

Warner Bros Discovery Inc *

     82,533       783  
                 
              167,094  

Consumer Discretionary — 10.7%

        

Amazon.com Inc, Cl A *

     368,960       30,993  

AutoZone Inc *

     16,513       40,724  

Best Buy Co Inc

    185,088       14,846  

Booking Holdings Inc *

     2,537       5,113  

BorgWarner Inc

    89,239       3,592  

Brinker International Inc *

     141,821       4,526  

Darden Restaurants Inc

    3,127       432  

Dick's Sporting Goods Inc

    94,331       11,347  

Dollar General Corp

    192,477       47,397  

Domino's Pizza Inc

    16,892       5,851  

DR Horton Inc

    16,198       1,444  

eBay Inc

    127,055       5,269  

Foot Locker Inc, Cl A

    65,687       2,482  

Genuine Parts Co

    79,642       13,819  

Goodyear Tire & Rubber Co/The *

     406,438       4,125  

Grand Canyon Education Inc *

     9,300       983  

Harley-Davidson Inc, Cl A

    88,020       3,662  

Home Depot Inc/The

    28,380       8,964  

Lear Corp

    50,010       6,202  

Lowe's Cos Inc

    328,236       65,398  

Magna International Inc, Cl A

    19,822       1,114  

NIKE Inc, Cl B

    357,743       41,859  

O'Reilly Automotive Inc *

     1,906       1,609  

PulteGroup Inc

    251,522       11,452  

Ross Stores Inc

    102,513       11,899  

Royal Caribbean Cruises Ltd *

     81,005       4,004  

Starbucks Corp

    68,046       6,750  

Target Corp, Cl A

    56,539       8,427  

TJX Cos Inc/The

    374,562       29,815  

TopBuild Corp *

     31,775       4,972  

Whirlpool Corp

    59,551       8,424  
                 
              407,494  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Consumer Staples — 7.9%

        

Altria Group Inc

    257,075     $ 11,751  

Archer-Daniels-Midland Co

    50,878       4,724  

Coca-Cola Co/The

    123,765       7,873  

Conagra Brands Inc

    354,894       13,734  

Constellation Brands Inc, Cl A

    10,975       2,544  

Costco Wholesale Corp

    18,347       8,375  

Diageo PLC ADR

    73,341       13,068  

Estee Lauder Cos Inc/The, Cl A

    35,000       8,684  

Hershey Co/The

    26,426       6,120  

Ingredion Inc

    26,094       2,555  

J M Smucker Co/The

    115,422       18,290  

Kimberly-Clark Corp

    41,873       5,684  

Kraft Heinz Co/The

    115,076       4,685  

Kroger Co/The

    798,798       35,610  

Lamb Weston Holdings Inc

    16,377       1,464  

Molson Coors Beverage Co, Cl B

    246,452       12,697  

Mondelez International Inc, Cl A

    24,475       1,631  

Monster Beverage Corp *

     13,727       1,394  

PepsiCo Inc

    208,587       37,683  

Philip Morris International Inc

    324,574       32,850  

Procter & Gamble Co/The

    233,806       35,436  

Sysco Corp, Cl A

    22,279       1,703  

Tyson Foods Inc, Cl A

    253,116       15,757  

Unilever PLC ADR

    162,720       8,193  

Walgreens Boots Alliance Inc

    110,735       4,137  

Walmart Inc

    43,983       6,236  
                 
              302,878  

Energy — 4.8%

        

BP PLC ADR

    49,122       1,716  

Canadian Natural Resources Ltd

    293,668       16,307  

Chevron Corp

    212,408       38,125  

ConocoPhillips

    204,582       24,141  

Devon Energy Corp

    471,481       29,001  

Exxon Mobil Corp

    129,439       14,277  

Halliburton Co

    112,731       4,436  

HF Sinclair Corp

    40,846       2,119  

Marathon Petroleum Corp

    154,884       18,027  

Phillips 66

    109,951       11,444  

Shell PLC ADR

    66,816       3,805  

Valero Energy Corp

    173,346       21,991  
                 
              185,389  

Financials — 15.4%

        

Aflac Inc

    136,144       9,794  

Allstate Corp/The

    59,438       8,060  

American Financial Group Inc/OH

    11,100       1,524  

Ameriprise Financial Inc

    82,444       25,671  

Assurant Inc

    33,412       4,178  

Assured Guaranty Ltd

    31,872       1,984  

Bank of America Corp

    1,439,653       47,681  

Berkshire Hathaway Inc, Cl B *

     93,247       28,804  

 

 

 

22

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Capital One Financial Corp

    43,778     $ 4,070  

Charles Schwab Corp/The

    253,417       21,099  

Citigroup Inc

    120,793       5,463  

Citizens Financial Group Inc

    262,482       10,334  

CME Group Inc, Cl A

    77,815       13,085  

Comerica Inc

    75,804       5,067  

Discover Financial Services

    126,480       12,374  

Everest Re Group Ltd

    38,172       12,645  

FactSet Research Systems Inc

    11,209       4,497  

Fifth Third Bancorp

    589,594       19,345  

First Republic Bank/CA

    27,885       3,399  

Goldman Sachs Group Inc/The

    21,644       7,432  

Hartford Financial Services Group Inc/The

    66,936       5,076  

Intercontinental Exchange Inc

    58,438       5,995  

JPMorgan Chase & Co

    444,568       59,617  

KeyCorp

    778,006       13,553  

KKR & Co Inc

    76,949       3,572  

Lincoln National Corp

    21,062       647  

Markel Corp *

     11,401       15,021  

Marsh & McLennan Cos Inc

    138,328       22,890  

Moody's Corp

    245,702       68,457  

Morgan Stanley

    311,935       26,521  

MSCI Inc, Cl A

    64,006       29,774  

Navient Corp

    263,511       4,335  

PNC Financial Services Group Inc/The

    36,433       5,754  

Popular Inc

    125,661       8,334  

Progressive Corp/The

    23,730       3,078  

Prudential Financial Inc

    17,700       1,760  

Regions Financial Corp

    599,114       12,917  

S&P Global Inc

    17,358       5,814  

SLM Corp

    109,358       1,815  

Travelers Cos Inc/The

    119,703       22,443  

Truist Financial Corp

    71,501       3,077  

US Bancorp

    41,704       1,819  

Voya Financial Inc

    156,840       9,644  

Wells Fargo & Co

    92,870       3,835  

Zions Bancorp NA

    58,535       2,878  
                 
              585,132  

Health Care — 16.5%

        

Abbott Laboratories

    84,496       9,277  

AbbVie Inc

    92,048       14,876  

AmerisourceBergen Corp, Cl A

    137,635       22,807  

Amgen Inc, Cl A

    144,595       37,976  

AstraZeneca PLC ADR

    99,185       6,725  

Becton Dickinson and Co

    113,758       28,929  

Biogen Inc *

     23,794       6,589  

Bristol-Myers Squibb Co

    192,866       13,877  

Cardinal Health Inc

    36,074       2,773  

Centene Corp *

     19,739       1,619  

Cigna Corp

    27,340       9,059  

CVS Health Corp

    379,134       35,332  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Edwards Lifesciences Corp, Cl A *

     61,914     $ 4,619  

Elevance Health Inc

    10,844       5,563  

Eli Lilly & Co

    17,885       6,543  

Gilead Sciences Inc

    120,443       10,340  

HCA Healthcare Inc

    109,165       26,195  

Horizon Therapeutics Plc *

     70,709       8,047  

Humana Inc

    11,818       6,053  

IDEXX Laboratories Inc *

     15,431       6,295  

Intuitive Surgical Inc *

     21,300       5,652  

Johnson & Johnson

    532,816       94,122  

McKesson Corp

    12,923       4,848  

Medtronic PLC

    36,329       2,823  

Merck & Co Inc

    563,613       62,533  

Mettler-Toledo International Inc *

     28,371       41,009  

Novartis AG ADR

    67,833       6,154  

Novo Nordisk A/S ADR

    47,668       6,451  

Organon & Co

    26,217       732  

Pfizer Inc

    815,680       41,795  

United Therapeutics Corp *

     22,931       6,377  

UnitedHealth Group Inc

    158,185       83,867  

Veeva Systems Inc, Cl A *

     4,706       759  

Vertex Pharmaceuticals Inc *

     2,576       744  

Zoetis Inc, Cl A

    42,976       6,298  
                 
              627,658  

Industrials — 9.5%

        

AerCap Holdings NV *

     20,386       1,189  

AGCO Corp

    52,600       7,295  

Alaska Air Group Inc *

     317,367       13,628  

Carlisle Cos Inc

    6,137       1,446  

Carrier Global Corp

    357,041       14,728  

Caterpillar Inc, Cl A

    26,819       6,425  

Chart Industries Inc *

     29,522       3,402  

Cummins Inc

    8,214       1,990  

Deere & Co

    14,637       6,276  

Delta Air Lines Inc, Cl A *

     128,832       4,233  

Eaton Corp PLC

    40,749       6,396  

Expeditors International of Washington Inc

    28,492       2,961  

FedEx Corp

    20,626       3,572  

Fortive Corp

    67,655       4,347  

Graco Inc

    542,313       36,476  

GXO Logistics Inc *

     266,043       11,357  

Honeywell International Inc

    44,277       9,489  

Huntington Ingalls Industries Inc, Cl A

    41,706       9,621  

Illinois Tool Works Inc

    47,481       10,460  

Johnson Controls International plc

    490,100       31,366  

L3Harris Technologies Inc

    25,220       5,251  

Lockheed Martin Corp

    15,688       7,632  

ManpowerGroup Inc

    18,167       1,512  

Middleby Corp/The *

     100,000       13,390  

Northrop Grumman Corp

    16,563       9,037  

Oshkosh Corp

    61,954       5,464  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

23

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

PACCAR Inc

    43,000     $ 4,256  

Raytheon Technologies Corp

    247,761       25,004  

Robert Half International Inc

    25,692       1,897  

Siemens AG ADR

    170,436       11,724  

Southwest Airlines Co, Cl A

    86,460       2,911  

SPX Technologies Inc *

     97,725       6,416  

Textron Inc

    190,528       13,489  

Timken Co/The

    112,333       7,939  

TransDigm Group Inc *

     19,865       12,508  

United Parcel Service Inc, Cl B

    51,878       9,018  

Waste Management Inc

    18,232       2,860  

WW Grainger Inc

    64,211       35,717  
                 
              362,682  

Information Technology — 20.9%

        

Adobe Inc *

     132,912       44,729  

Amphenol Corp, Cl A

    104,624       7,966  

Analog Devices Inc

    101,656       16,675  

Apple Inc

    815,325       105,935  

Applied Materials Inc

    148,944       14,504  

Arista Networks Inc *

     90,886       11,029  

ASML Holding NV, Cl G

    10,692       5,842  

Broadcom Inc

    17,576       9,827  

Cadence Design Systems Inc *

     15,000       2,410  

Cisco Systems Inc

    488,328       23,264  

Cognizant Technology Solutions Corp, Cl A

    8,912       510  

Corning Inc, Cl B

    177,573       5,672  

Dropbox Inc, Cl A *

     126,209       2,825  

Fair Isaac Corp *

     2,421       1,449  

Hewlett Packard Enterprise Co

    307,307       4,905  

HP Inc

    480,394       12,908  

Intel Corp

    382,298       10,104  

International Business Machines Corp

    6,932       977  

Intuit Inc

    135,199       52,622  

Juniper Networks Inc

    31,547       1,008  

Keysight Technologies Inc *

     96,705       16,543  

Lam Research Corp

    10,701       4,498  

Marvell Technology Inc

    74,923       2,775  

Mastercard Inc, Cl A

    168,189       58,484  

Microchip Technology Inc

    554,907       38,982  

Micron Technology Inc

    156,515       7,823  

Microsoft Corp

    486,353       116,637  

Motorola Solutions Inc

    22,111       5,698  

NetApp Inc

    45,929       2,759  

Oracle Corp, Cl B

    453,993       37,109  

QUALCOMM Inc

    67,431       7,413  

Roper Technologies Inc

    56,426       24,381  

Salesforce Inc *

     15,984       2,119  

SAP SE ADR

    178,714       18,442  

Seagate Technology Holdings PLC

    112,151       5,900  

ServiceNow Inc *

     12,293       4,773  

Texas Instruments Inc

    44,297       7,319  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

VeriSign Inc *

     91,384     $ 18,774  

Visa Inc, Cl A

    275,684       57,276  

Vishay Intertechnology Inc

    778,023       16,782  

Western Digital Corp *

     33,750       1,065  
                 
              790,713  

Materials — 5.2%

        

Air Products and Chemicals Inc

    75,409       23,246  

Cabot Corp

    83,951       5,611  

Celanese Corp, Cl A

    28,298       2,893  

Corteva Inc

    64,004       3,762  

Dow Inc

    162,912       8,209  

DuPont de Nemours Inc

    43,599       2,992  

Eastman Chemical Co

    164,019       13,358  

Ecolab Inc

    37,520       5,461  

Huntsman Corp

    531,983       14,619  

Ingevity Corp *

     14,131       995  

International Paper Co

    76,269       2,641  

Linde PLC

    123,959       40,433  

LyondellBasell Industries NV, Cl A

    74,826       6,213  

O-I Glass Inc, Cl I *

     451,358       7,479  

Reliance Steel & Aluminum Co

    11,055       2,238  

Sherwin-Williams Co/The, Cl A

    170,648       40,500  

Steel Dynamics Inc

    152,103       14,860  

Sylvamo Corp

    12,276       597  

Westrock Co

    27,405       964  
                 
              197,071  

Real Estate — 1.8%

        

American Tower Corp, Cl A ‡

     101,757       21,558  

Boston Properties Inc ‡

     12,224       826  

Brandywine Realty Trust ‡

     24,300       149  

CBRE Group Inc, Cl A *

     41,173       3,169  

Crown Castle Inc ‡

     34,157       4,633  

Equinix Inc ‡

     1,986       1,301  

Gaming and Leisure Properties Inc ‡

     87,521       4,559  

Healthpeak Properties Inc ‡

     510,606       12,801  

Howard Hughes Corp/The *‡

     15,655       1,196  

Invitation Homes Inc ‡

     28,203       836  

Public Storage ‡

     4,106       1,150  

SBA Communications Corp, Cl A ‡

     18,373       5,150  

Service Properties Trust ‡

     574,963       4,192  

VICI Properties Inc ‡

     118,726       3,847  

Welltower Inc ‡

     70,223       4,603  
                 
              69,970  

Utilities — 2.3%

        

Ameren Corp

    64,109       5,701  

American Electric Power Co Inc

    57,553       5,465  

CenterPoint Energy Inc

    272,381       8,169  

Constellation Energy Corp

    59,660       5,143  

Duke Energy Corp

    262,299       27,014  

Edison International

    105,386       6,705  

 

 

 

24

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Large Cap Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Exelon Corp

    132,096     $ 5,710  

FirstEnergy Corp

    49,414       2,072  

National Fuel Gas Co

    12,171       770  

NextEra Energy Inc

    192,725       16,112  

Southern Co/The

    11,823       844  

UGI Corp

    35,833       1,328  

Vistra Corp

    40,284       935  
                 
              85,968  

Total Common Stock

               

(Cost $1,352,670) ($ Thousands)

             3,782,049  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(A)

     17,264     $ 16  
                 
                 

Total Affiliated Partnership

                

(Cost $17) ($ Thousands)

     16  
                 
                 
                 

CASH EQUIVALENT — 0.8%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     32,118,441       32,118  
                 

Total Cash Equivalent

                

(Cost $32,118) ($ Thousands)

             32,118  
                 
                 

Total Investments in Securities — 100.3%

                

(Cost $1,384,805) ($ Thousands)

  $ 3,814,183  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     42       Mar-2023     $ 8,087     $ 8,108     $ 21  

S&P Mid Cap 400 Index E-MINI

     3       Mar-2023       728       733       5  
                    $ 8,815     $ 8,841     $ 26  

 

 

 

 

Percentages are based on Net Assets of $3,801,477 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

 

‡

Real Estate Investment Trust.

(A)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $16 ($ Thousands).

 

 
 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 28,547     $ 21,092     $ (49,624 )   $ —     $ 1     $ 16     $ 10     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     21,654       226,690       (216,226 )     —       —       32,118       127       —  

Totals

   $ 50,201     $ 247,782     $ (265,850 )   $ —     $ 1     $ 32,134     $ 137     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

25

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† — 99.2%
                 

Communication Services — 7.2%

        

Activision Blizzard Inc

    16,952     $ 1,298  

Alphabet Inc, Cl A *

     142,190       12,546  

Alphabet Inc, Cl C *

     126,035       11,183  

AT&T Inc

    169,617       3,123  

Charter Communications Inc, Cl A *

     2,532       859  

Comcast Corp, Cl A

    102,755       3,593  

DISH Network Corp, Cl A *

     6,238       88  

Electronic Arts Inc

    6,278       767  

Fox Corp, Cl A

    7,186       218  

Fox Corp, Cl B

    3,381       96  

Interpublic Group of Cos Inc/The

    9,301       310  

Live Nation Entertainment Inc *

     3,400       237  

Lumen Technologies Inc *

     23,170       121  

Match Group Inc *

     6,700       278  

Meta Platforms Inc, Cl A *

     53,485       6,436  

Netflix Inc *

     10,611       3,129  

News Corp, Cl A

    8,975       163  

News Corp, Cl B

    3,000       55  

Omnicom Group Inc

    4,904       400  

Paramount Global, Cl B

    12,217       206  

Take-Two Interactive Software Inc, Cl A *

     3,700       385  

T-Mobile US Inc *

     14,200       1,988  

Verizon Communications Inc

    100,013       3,941  

Walt Disney Co/The *

     43,424       3,773  

Warner Bros Discovery Inc *

     52,574       498  
                 
              55,691  

Consumer Discretionary — 9.7%

        

Advance Auto Parts Inc

    1,400       206  

Amazon.com Inc, Cl A *

     211,065       17,729  

Aptiv PLC *

     6,470       603  

AutoZone Inc *

     465       1,147  

Bath & Body Works Inc

    5,427       229  

Best Buy Co Inc

    4,754       381  

Booking Holdings Inc *

     897       1,808  

BorgWarner Inc

    5,553       223  

Caesars Entertainment Inc *

     5,200       216  

CarMax Inc *

     3,800       231  

Carnival Corp *

     23,784       192  

Chipotle Mexican Grill Inc, Cl A *

     662       918  

Darden Restaurants Inc

    2,918       404  

Dollar General Corp

    5,381       1,325  

Dollar Tree Inc *

     4,954       701  

Domino's Pizza Inc

    795       275  

DR Horton Inc

    7,458       665  

eBay Inc

    12,849       533  

Etsy Inc *

     3,000       359  

Expedia Group Inc *

     3,555       311  

Ford Motor Co

    94,070       1,094  

Garmin Ltd

    3,671       339  

General Motors Co

    33,947       1,142  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Genuine Parts Co

    3,396     $ 589  

Hasbro Inc

    3,096       189  

Hilton Worldwide Holdings Inc

    6,400       809  

Home Depot Inc/The

    24,363       7,695  

Las Vegas Sands Corp *

     7,800       375  

Lennar Corp, Cl A

    6,074       550  

LKQ Corp

    6,000       320  

Lowe's Cos Inc

    14,806       2,950  

Marriott International Inc/MD, Cl A

    6,424       956  

McDonald's Corp

    17,454       4,600  

MGM Resorts International

    7,600       255  

Mohawk Industries Inc *

     1,300       133  

Newell Brands Inc, Cl B

    8,855       116  

NIKE Inc, Cl B

    29,976       3,507  

Norwegian Cruise Line Holdings Ltd *

     10,200       125  

NVR Inc *

     68       314  

O'Reilly Automotive Inc *

     1,477       1,247  

Pool Corp

    922       279  

PulteGroup Inc

    5,499       250  

Ralph Lauren Corp, Cl A

    1,005       106  

Ross Stores Inc

    8,219       954  

Royal Caribbean Cruises Ltd *

     5,300       262  

Starbucks Corp

    27,304       2,709  

Tapestry Inc

    5,719       218  

Target Corp, Cl A

    10,928       1,629  

Tesla Inc *

     63,839       7,864  

TJX Cos Inc/The

    27,686       2,204  

Tractor Supply Co

    2,580       580  

Ulta Beauty Inc *

     1,197       561  

VF Corp

    7,965       220  

Whirlpool Corp

    1,312       186  

Wynn Resorts Ltd *

     2,429       200  

Yum! Brands Inc

    6,670       854  
                 
              74,837  

Consumer Staples — 7.1%

        

Altria Group Inc

    42,673       1,951  

Archer-Daniels-Midland Co

    13,118       1,218  

Brown-Forman Corp, Cl B

    4,365       287  

Campbell Soup Co

    4,784       272  

Church & Dwight Co Inc

    5,776       466  

Clorox Co/The

    2,942       413  

Coca-Cola Co/The

    92,648       5,893  

Colgate-Palmolive Co

    19,895       1,567  

Conagra Brands Inc

    11,365       440  

Constellation Brands Inc, Cl A

    3,807       882  

Costco Wholesale Corp

    10,519       4,802  

Estee Lauder Cos Inc/The, Cl A

    5,450       1,352  

General Mills Inc

    14,086       1,181  

Hershey Co/The

    3,512       813  

Hormel Foods Corp

    6,908       315  

J M Smucker Co/The

    2,553       405  

 

 

 

26

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Kellogg Co

    6,067     $ 432  

Keurig Dr Pepper Inc

    20,200       720  

Kimberly-Clark Corp

    8,003       1,086  

Kraft Heinz Co/The

    19,008       774  

Kroger Co/The

    15,536       693  

Lamb Weston Holdings Inc

    3,400       304  

McCormick & Co Inc/MD

    5,932       492  

Molson Coors Beverage Co, Cl B

    4,551       234  

Mondelez International Inc, Cl A

    32,520       2,167  

Monster Beverage Corp *

     9,054       919  

PepsiCo Inc

    32,779       5,922  

Philip Morris International Inc

    36,927       3,737  

Procter & Gamble Co/The

    56,372       8,544  

Sysco Corp, Cl A

    12,120       927  

Tyson Foods Inc, Cl A

    6,903       430  

Walgreens Boots Alliance Inc

    17,057       637  

Walmart Inc

    33,573       4,760  
                 
              55,035  

Energy — 5.2%

        

APA Corp

    7,731       361  

Baker Hughes Co, Cl A

    23,849       704  

Chevron Corp

    42,341       7,600  

ConocoPhillips

    29,608       3,494  

Coterra Energy Inc

    18,913       465  

Devon Energy Corp

    15,613       960  

Diamondback Energy Inc, Cl A

    4,151       568  

EOG Resources Inc

    14,007       1,814  

EQT Corp

    8,700       294  

Exxon Mobil Corp

    97,956       10,805  

Halliburton Co

    21,642       852  

Hess Corp

    6,575       932  

Kinder Morgan Inc

    47,182       853  

Marathon Oil Corp

    15,156       410  

Marathon Petroleum Corp

    11,158       1,299  

Occidental Petroleum Corp

    17,362       1,094  

ONEOK Inc

    10,609       697  

Phillips 66

    11,287       1,175  

Pioneer Natural Resources Co

    5,666       1,294  

Schlumberger Ltd, Cl A

    33,700       1,801  

Targa Resources Corp

    5,400       397  

Valero Energy Corp

    9,210       1,168  

Williams Cos Inc/The

    29,069       956  
                 
              39,993  

Financials — 11.7%

        

Aflac Inc

    13,434       966  

Allstate Corp/The

    6,259       849  

American Express Co

    14,195       2,097  

American International Group Inc

    17,735       1,122  

Ameriprise Financial Inc

    2,481       772  

Aon PLC, Cl A

    4,901       1,471  

Arch Capital Group Ltd *

     8,800       552  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Arthur J Gallagher & Co

    5,049     $ 952  

Assurant Inc

    1,205       151  

Bank of America Corp

    166,209       5,505  

Bank of New York Mellon Corp/The

    17,499       797  

Berkshire Hathaway Inc, Cl B *

     42,845       13,235  

BlackRock Inc

    3,569       2,529  

Brown & Brown Inc

    5,600       319  

Capital One Financial Corp

    9,049       841  

Cboe Global Markets Inc

    2,500       314  

Charles Schwab Corp/The

    36,270       3,020  

Chubb Ltd

    9,901       2,184  

Cincinnati Financial Corp

    3,683       377  

Citigroup Inc

    46,198       2,090  

Citizens Financial Group Inc

    11,800       465  

CME Group Inc, Cl A

    8,512       1,431  

Comerica Inc

    3,092       207  

Discover Financial Services

    6,530       639  

Everest Re Group Ltd

    937       310  

Eversource Energy

    8,335       699  

FactSet Research Systems Inc

    900       361  

Fifth Third Bancorp

    16,311       535  

First Republic Bank/CA

    4,359       531  

Franklin Resources Inc

    6,738       178  

Globe Life Inc

    2,139       258  

Goldman Sachs Group Inc/The

    8,045       2,763  

Hartford Financial Services Group Inc/The

    7,586       575  

Huntington Bancshares Inc/OH

    34,314       484  

Intercontinental Exchange Inc

    13,305       1,365  

Invesco Ltd

    11,016       198  

JPMorgan Chase & Co

    69,774       9,357  

KeyCorp

    22,183       386  

Lincoln National Corp

    3,789       116  

Loews Corp

    4,762       278  

M&T Bank Corp

    4,134       600  

MarketAxess Holdings Inc

    856       239  

Marsh & McLennan Cos Inc

    11,759       1,946  

MetLife Inc

    15,739       1,139  

Moody's Corp

    3,771       1,051  

Morgan Stanley

    31,336       2,664  

MSCI Inc, Cl A

    1,884       876  

Nasdaq Inc, Cl A

    8,077       495  

Northern Trust Corp

    5,009       443  

PNC Financial Services Group Inc/The

    9,613       1,518  

Principal Financial Group Inc, Cl A

    5,457       458  

Progressive Corp/The

    13,885       1,801  

Prudential Financial Inc

    8,766       872  

Raymond James Financial Inc

    4,558       487  

Regions Financial Corp

    22,163       478  

S&P Global Inc

    7,905       2,648  

Signature Bank/New York NY, Cl B

    1,457       168  

State Street Corp

    8,745       678  

SVB Financial Group, Cl B *

     1,445       332  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

27

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Synchrony Financial

    10,763     $ 354  

T Rowe Price Group Inc

    5,293       577  

Travelers Cos Inc/The

    5,556       1,042  

Truist Financial Corp

    31,606       1,360  

US Bancorp

    32,238       1,406  

W R Berkley Corp

    4,900       356  

Wells Fargo & Co

    90,467       3,735  

Willis Towers Watson PLC

    2,569       628  

Zions Bancorp NA

    3,486       171  
                 
              89,801  

Health Care — 15.7%

        

Abbott Laboratories

    41,512       4,558  

AbbVie Inc

    42,113       6,806  

Agilent Technologies Inc

    7,015       1,050  

Align Technology Inc *

     1,686       356  

AmerisourceBergen Corp, Cl A

    3,696       612  

Amgen Inc, Cl A

    12,722       3,341  

Baxter International Inc

    12,035       613  

Becton Dickinson and Co

    6,821       1,735  

Biogen Inc *

     3,406       943  

Bio-Rad Laboratories Inc, Cl A *

     531       223  

Bio-Techne Corp

    3,752       311  

Boston Scientific Corp *

     34,076       1,577  

Bristol-Myers Squibb Co

    50,632       3,643  

Cardinal Health Inc

    6,259       481  

Catalent Inc *

     4,300       194  

Centene Corp *

     13,489       1,106  

Charles River Laboratories International Inc *

     1,160       253  

Cigna Corp

    7,243       2,400  

Cooper Cos Inc/The, Cl A

    1,204       398  

CVS Health Corp

    31,276       2,915  

Danaher Corp, Cl A

    15,555       4,129  

DaVita Inc *

     1,356       101  

DENTSPLY SIRONA Inc

    5,209       166  

Dexcom Inc *

     9,172       1,039  

Edwards Lifesciences Corp, Cl A *

     14,749       1,100  

Elevance Health Inc

    5,671       2,909  

Eli Lilly & Co

    18,762       6,864  

Gilead Sciences Inc

    29,814       2,559  

HCA Healthcare Inc

    5,039       1,209  

Henry Schein Inc *

     3,200       256  

Hologic Inc *

     6,000       449  

Humana Inc

    3,031       1,552  

IDEXX Laboratories Inc *

     1,923       785  

Illumina Inc *

     3,696       747  

Incyte Corp *

     4,400       353  

Intuitive Surgical Inc *

     8,407       2,231  

IQVIA Holdings Inc *

     4,396       901  

Johnson & Johnson

    62,189       10,986  

Laboratory Corp of America Holdings

    2,110       497  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

McKesson Corp

    3,343     $ 1,254  

Medtronic PLC

    31,679       2,462  

Merck & Co Inc

    60,314       6,692  

Mettler-Toledo International Inc *

     554       801  

Moderna Inc *

     7,900       1,419  

Molina Healthcare Inc *

     1,379       455  

Organon & Co

    6,017       168  

PerkinElmer Inc

    2,998       420  

Pfizer Inc

    133,601       6,846  

Quest Diagnostics Inc

    2,724       426  

Regeneron Pharmaceuticals Inc *

     2,544       1,836  

ResMed Inc

    3,509       730  

STERIS PLC

    2,345       433  

Stryker Corp

    8,026       1,962  

Teleflex Inc

    1,129       282  

Thermo Fisher Scientific Inc

    9,318       5,131  

UnitedHealth Group Inc

    22,219       11,780  

Universal Health Services Inc, Cl B

    1,500       211  

Vertex Pharmaceuticals Inc *

     6,127       1,769  

Viatris Inc, Cl W *

     28,757       320  

Waters Corp *

     1,372       470  

West Pharmaceutical Services Inc

    1,722       405  

Zimmer Biomet Holdings Inc

    4,974       634  

Zoetis Inc, Cl A

    11,045       1,619  
                 
              120,873  

Industrials — 8.6%

        

3M Co

    13,171       1,580  

A O Smith Corp

    3,100       177  

Alaska Air Group Inc *

     3,100       133  

Allegion PLC

    2,070       218  

American Airlines Group Inc *

     15,809       201  

AMETEK Inc

    5,500       769  

Boeing Co/The *

     13,335       2,540  

Carrier Global Corp

    19,831       818  

Caterpillar Inc, Cl A

    12,334       2,955  

CH Robinson Worldwide Inc

    2,805       257  

Cintas Corp

    2,032       918  

Copart Inc *

     10,200       621  

CoStar Group Inc *

     9,400       726  

CSX Corp

    49,999       1,549  

Cummins Inc

    3,398       823  

Deere & Co

    6,511       2,792  

Delta Air Lines Inc, Cl A *

     15,213       500  

Dover Corp

    3,337       452  

Eaton Corp PLC

    9,420       1,478  

Emerson Electric Co

    14,075       1,352  

Equifax Inc

    2,889       562  

Expeditors International of Washington Inc

    3,777       393  

Fastenal Co, Cl A

    13,618       644  

FedEx Corp

    5,711       989  

Fortive Corp

    8,487       545  

 

 

 

28

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Generac Holdings Inc *

     1,554     $ 156  

General Dynamics Corp

    5,344       1,326  

General Electric Co

    25,988       2,178  

Honeywell International Inc

    16,020       3,433  

Howmet Aerospace Inc

    8,878       350  

Huntington Ingalls Industries Inc, Cl A

    947       218  

IDEX Corp

    1,800       411  

Illinois Tool Works Inc

    6,665       1,468  

Ingersoll Rand Inc

    9,633       503  

Jacobs Solutions Inc

    3,062       368  

JB Hunt Transport Services Inc

    1,951       340  

Johnson Controls International PLC

    16,372       1,048  

L3Harris Technologies Inc

    4,509       939  

Leidos Holdings Inc

    3,243       341  

Lockheed Martin Corp

    5,528       2,689  

Masco Corp

    5,384       251  

Nordson Corp

    1,300       309  

Norfolk Southern Corp

    5,486       1,352  

Northrop Grumman Corp

    3,430       1,871  

Old Dominion Freight Line Inc, Cl A

    2,144       608  

Otis Worldwide Corp

    9,950       779  

PACCAR Inc

    8,267       818  

Parker-Hannifin Corp, Cl A

    3,071       894  

Pentair PLC

    3,866       174  

Quanta Services Inc

    3,418       487  

Raytheon Technologies Corp

    35,028       3,535  

Republic Services Inc

    4,883       630  

Robert Half International Inc

    2,632       194  

Rockwell Automation Inc

    2,726       702  

Rollins Inc

    5,500       201  

Snap-on Inc

    1,307       299  

Southwest Airlines Co, Cl A

    14,162       477  

Stanley Black & Decker Inc

    3,508       264  

Textron Inc

    5,007       355  

Trane Technologies PLC

    5,470       919  

TransDigm Group Inc *

     1,220       768  

Union Pacific Corp

    14,641       3,032  

United Airlines Holdings Inc *

     7,800       294  

United Parcel Service Inc, Cl B

    17,368       3,019  

United Rentals Inc *

     1,614       574  

Verisk Analytics Inc, Cl A

    3,666       647  

Waste Management Inc

    8,928       1,401  

Westinghouse Air Brake Technologies Corp

    4,371       436  

WW Grainger Inc

    1,064       592  

Xylem Inc/NY

    4,300       475  
                 
              66,117  

Information Technology — 25.5%

        

Accenture PLC, Cl A

    15,008       4,005  

Adobe Inc *

     11,047       3,718  

Advanced Micro Devices Inc *

     38,425       2,489  

Akamai Technologies Inc *

     3,704       312  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Amphenol Corp, Cl A

    14,160     $ 1,078  

Analog Devices Inc

    12,272       2,013  

ANSYS Inc *

     2,107       509  

Apple Inc

    355,629       46,207  

Applied Materials Inc

    20,441       1,991  

Arista Networks Inc *

     5,870       712  

Autodesk Inc, Cl A *

     5,155       963  

Automatic Data Processing Inc

    9,865       2,356  

Broadcom Inc

    9,651       5,396  

Broadridge Financial Solutions Inc

    2,784       373  

Cadence Design Systems Inc *

     6,551       1,052  

CDW Corp/DE

    3,247       580  

Ceridian HCM Holding Inc *

     3,500       225  

Cisco Systems Inc

    97,678       4,653  

Cognizant Technology Solutions Corp, Cl A

    12,305       704  

Corning Inc, Cl B

    18,108       578  

DXC Technology Co *

     5,630       149  

Enphase Energy Inc *

     3,200       848  

EPAM Systems Inc *

     1,400       459  

F5 Inc, Cl A *

     1,460       210  

Fidelity National Information Services Inc, Cl B

    14,165       961  

First Solar Inc *

     2,400       360  

Fiserv Inc, Cl A *

     15,072       1,523  

FleetCor Technologies Inc *

     1,729       318  

Fortinet Inc *

     15,490       757  

Gartner Inc *

     1,856       624  

Gen Digital Inc

    13,747       295  

Global Payments Inc

    6,483       644  

Hewlett Packard Enterprise Co

    30,891       493  

HP Inc

    21,072       566  

Intel Corp

    97,937       2,589  

International Business Machines Corp

    21,468       3,025  

Intuit Inc

    6,659       2,592  

Jack Henry & Associates Inc

    1,700       298  

Juniper Networks Inc

    7,600       243  

Keysight Technologies Inc *

     4,232       724  

KLA Corp

    3,377       1,273  

Lam Research Corp

    3,224       1,355  

Mastercard Inc, Cl A

    20,156       7,009  

Microchip Technology Inc

    13,113       921  

Micron Technology Inc

    25,869       1,293  

Microsoft Corp

    177,284       42,516  

Monolithic Power Systems Inc

    1,050       371  

Motorola Solutions Inc

    3,982       1,026  

NetApp Inc

    5,185       311  

NVIDIA Corp

    59,297       8,666  

NXP Semiconductors NV

    6,176       976  

ON Semiconductor Corp *

     10,300       642  

Oracle Corp, Cl B

    36,571       2,989  

Paychex Inc

    7,669       886  

Paycom Software Inc *

     1,159       360  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

29

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

PayPal Holdings Inc *

     27,129     $ 1,932  

PTC Inc *

     2,457       295  

Qorvo Inc *

     2,400       218  

QUALCOMM Inc

    26,632       2,928  

Roper Technologies Inc

    2,513       1,086  

Salesforce Inc *

     23,767       3,151  

Seagate Technology Holdings PLC

    4,600       242  

ServiceNow Inc *

     4,820       1,871  

Skyworks Solutions Inc

    3,816       348  

SolarEdge Technologies Inc *

     1,300       368  

Synopsys Inc *

     3,671       1,172  

TE Connectivity Ltd

    7,609       874  

Teledyne Technologies Inc *

     1,118       447  

Teradyne Inc

    3,715       325  

Texas Instruments Inc

    21,644       3,576  

Trimble Inc *

     5,800       293  

Tyler Technologies Inc *

     1,020       329  

VeriSign Inc *

     2,195       451  

Visa Inc, Cl A

    38,900       8,082  

Western Digital Corp *

     7,474       236  

Zebra Technologies Corp, Cl A *

     1,173       301  
                 
              196,711  

Materials — 2.7%

        

Air Products and Chemicals Inc

    5,266       1,623  

Albemarle Corp

    2,757       598  

Amcor PLC

    35,732       426  

Avery Dennison Corp

    1,964       356  

Ball Corp

    7,472       382  

Celanese Corp, Cl A

    2,352       240  

CF Industries Holdings Inc

    4,650       396  

Corteva Inc

    17,073       1,004  

Dow Inc

    16,806       847  

DuPont de Nemours Inc

    11,799       810  

Eastman Chemical Co

    2,820       230  

Ecolab Inc

    5,916       861  

FMC Corp

    3,000       374  

Freeport-McMoRan Inc, Cl B

    34,063       1,294  

International Flavors & Fragrances Inc

    6,026       632  

International Paper Co

    8,452       293  

Linde PLC

    11,746       3,831  

LyondellBasell Industries NV, Cl A

    6,074       504  

Martin Marietta Materials Inc, Cl A

    1,469       496  

Mosaic Co/The

    8,109       356  

Newmont Corp

    18,925       893  

Nucor Corp

    6,127       808  

Packaging Corp of America

    2,200       281  

PPG Industries Inc

    5,605       705  

Sealed Air Corp

    3,528       176  

Sherwin-Williams Co/The, Cl A

    5,645       1,340  

Steel Dynamics Inc

    4,000       391  

Vulcan Materials Co

    3,149       551  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Westrock Co

    6,184     $ 217  
                 
              20,915  

Real Estate — 2.7%

        

Alexandria Real Estate Equities Inc ‡

     3,560       519  

American Tower Corp, Cl A ‡

     11,097       2,351  

AvalonBay Communities Inc ‡

     3,328       538  

Boston Properties Inc ‡

     3,400       230  

Camden Property Trust ‡

     2,500       280  

CBRE Group Inc, Cl A *

     7,509       578  

Crown Castle Inc ‡

     10,264       1,392  

Digital Realty Trust Inc, Cl A ‡

     6,869       689  

Equinix Inc ‡

     2,196       1,438  

Equity Residential ‡

     8,044       475  

Essex Property Trust Inc ‡

     1,521       322  

Extra Space Storage Inc ‡

     3,199       471  

Federal Realty Investment Trust ‡

     1,700       172  

Healthpeak Properties Inc ‡

     12,800       321  

Host Hotels & Resorts Inc ‡

     16,974       272  

Invitation Homes Inc ‡

     13,900       412  

Iron Mountain Inc ‡

     6,938       346  

Kimco Realty Corp ‡

     14,713       312  

Mid-America Apartment Communities Inc ‡

     2,740       430  

Prologis Inc ‡

     21,980       2,478  

Public Storage ‡

     3,787       1,061  

Realty Income Corp ‡

     14,700       932  

Regency Centers Corp ‡

     3,699       231  

SBA Communications Corp, Cl A ‡

     2,549       714  

Simon Property Group Inc ‡

     7,806       917  

UDR Inc ‡

     7,200       279  

Ventas Inc ‡

     9,532       429  

VICI Properties Inc ‡

     22,900       742  

Vornado Realty Trust ‡

     3,777       79  

Welltower Inc ‡

     11,000       721  

Weyerhaeuser Co ‡

     17,661       547  
                 
              20,678  

Utilities — 3.1%

        

AES Corp/The

    15,890       457  

Alliant Energy Corp

    6,000       331  

Ameren Corp

    6,153       547  

American Electric Power Co Inc

    12,215       1,160  

American Water Works Co Inc

    4,276       652  

Atmos Energy Corp

    3,300       370  

CenterPoint Energy Inc

    14,985       449  

CMS Energy Corp

    6,901       437  

Consolidated Edison Inc

    8,436       804  

Constellation Energy Corp

    7,751       668  

Dominion Energy Inc

    19,830       1,216  

DTE Energy Co

    4,570       537  

Duke Energy Corp

    18,291       1,884  

Edison International

    9,057       576  

Entergy Corp

    4,826       543  

 

 

 

30

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

S&P 500 Index Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Evergy Inc

    5,499     $ 346  

Exelon Corp

    23,655       1,023  

FirstEnergy Corp

    12,923       542  

NextEra Energy Inc

    47,280       3,953  

NiSource Inc

    9,644       264  

NRG Energy Inc

    5,481       174  

PG&E Corp *

     38,300       623  

Pinnacle West Capital Corp

    2,749       209  

PPL Corp

    17,471       511  

Public Service Enterprise Group Inc

    11,830       725  

Sempra Energy

    7,445       1,151  

Southern Co/The

    25,919       1,851  

WEC Energy Group Inc

    7,471       700  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† (continued)

Xcel Energy Inc

    13,036     $ 914  
                 
              23,617  

Total Common Stock

               

(Cost $227,601) ($ Thousands)

             764,268  
                 
                 
                 

CASH EQUIVALENT — 0.6%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     4,497,287       4,497  
                 

Total Cash Equivalent

                

(Cost $4,497) ($ Thousands)

             4,497  
                 
                 

Total Investments in Securities — 99.8%

                

(Cost $232,098) ($ Thousands)

  $ 768,765  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     31       Mar-2023     $ 6,146     $ 5,985     $ (161 )
                                         
                                         

 

 

 

 

Percentages are based on Net Assets of $770,068 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

 

††

Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

‡

Real Estate Investment Trust.

 

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 1     $ —     $ (1 )     $ —     $ —     $ —     $ 5     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     2,986       38,199       (36,688 )     —       —       4,497       26       —  

Totals

   $ 2,987     $ 38,199     $ (36,689 )   $ —     $ —     $ 4,497     $ 31     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

31

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.7%
                 

Communication Services — 2.3%

        

Audacy Inc, Cl A *

     592,560     $ 133  

Bandwidth Inc, Cl A *

     29,320       673  

Cable One Inc

    1,634       1,163  

Cinemark Holdings Inc *

     201,522       1,745  

Cogent Communications Holdings Inc

    17,924       1,023  

IDT Corp, Cl B *

     13,680       385  

Integral Ad Science Holding Corp *

     20,420       180  

Iridium Communications Inc

    29,929       1,538  

Liberty Latin America Ltd, Cl A *

     34,460       260  

Lions Gate Entertainment Corp, Cl A *

     210,568       1,202  

Magnite Inc *

     46,169       489  

Nexstar Media Group Inc, Cl A

    6,883       1,205  

PubMatic Inc, Cl A *

     20,300       260  

Shutterstock Inc

    20,903       1,102  

TEGNA Inc

    11,668       247  

Thryv Holdings Inc *

     13,550       258  

Vimeo Inc *

     41,530       143  

Ziff Davis Inc *

     8,487       671  
                 
              12,677  

Consumer Discretionary — 11.3%

        

2U Inc *

     28,330       178  

Aaron's Co Inc/The

    88,735       1,060  

Academy Sports & Outdoors Inc

    15,664       823  

ADT Inc

    79,921       725  

Advance Auto Parts Inc

    6,195       911  

American Eagle Outfitters Inc *

     295,796       4,129  

Beazer Homes USA Inc, Cl A *

     44,788       572  

Biglari Holdings Inc, Cl B *

     1,926       267  

BJ's Restaurants Inc *

     19,710       520  

Bloomin' Brands Inc

    134,700       2,710  

Bluegreen Vacations Holding Corp, Cl A

    30,461       760  

Brinker International Inc *

     111,266       3,551  

Brunswick Corp/DE

    17,191       1,239  

Buckle Inc/The

    5,800       263  

Build-A-Bear Workshop Inc *

     41,640       993  

Caleres Inc

    17,380       387  

Carter's Inc

    16,366       1,221  

Cavco Industries Inc *

     2,919       660  

Century Casinos Inc *

     33,632       236  

Chico's FAS Inc *

     91,830       452  

Churchill Downs Inc

    6,875       1,454  

Chuy's Holdings Inc *

     38,243       1,082  

Crocs Inc *

     9,000       976  

Deckers Outdoor Corp *

     1,600       639  

Destination XL Group Inc *

     164,086       1,108  

Dick's Sporting Goods Inc

    3,842       462  

Dillard's Inc, Cl A

    1,700       549  

Domino's Pizza Inc

    2,828       980  

Dorman Products Inc *

     10,436       844  

Duolingo Inc, Cl A *

     6,400       455  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ethan Allen Interiors Inc

    42,120     $ 1,113  

Express Inc *

     118,090       121  

First Watch Restaurant Group Inc *

     58,864       796  

Goodyear Tire & Rubber Co/The *

     48,899       496  

Haverty Furniture Cos Inc

    34,149       1,021  

Hibbett Inc

    5,973       407  

JAKKS Pacific Inc *

     26,043       456  

Latham Group Inc *

     43,731       141  

Legacy Housing Corp *

     35,791       679  

Lifetime Brands Inc

    14,566       111  

Light & Wonder Inc, Cl A *

     7,890       462  

Lindblad Expeditions Holdings Inc *

     35,490       273  

Lovesac Co/The *

     34,210       753  

Marine Products Corp

    14,288       168  

MarineMax Inc *

     6,130       191  

MasterCraft Boat Holdings Inc *

     30,100       779  

Modine Manufacturing Co *

     167,026       3,317  

Monarch Casino & Resort Inc *

     5,395       415  

Monro Inc

    21,396       967  

Movado Group Inc

    35,136       1,133  

Murphy USA Inc

    7,920       2,214  

NEOGAMES SA *

     15,370       187  

Noodles & Co, Cl A *

     31,075       171  

OneWater Marine Inc, Cl A *

     17,764       508  

Oxford Industries Inc, Cl A

    4,662       434  

Pool Corp

    3,177       961  

Porch Group Inc *

     173,380       326  

Ruth's Hospitality Group Inc

    19,400       300  

Shoe Carnival Inc

    23,518       562  

Steven Madden Ltd

    22,812       729  

Target Hospitality Corp *

     67,174       1,017  

Topgolf Callaway Brands Corp *

     41,185       813  

Travel + Leisure Co

    28,933       1,053  

Udemy Inc *

     46,324       489  

Urban Outfitters Inc *

     125,552       2,994  

Vivint Smart Home Inc *

     51,064       608  

Wingstop Inc, Cl A

    14,199       1,954  

Winmark Corp

    648       153  

WW International Inc *

     63,900       247  

Xponential Fitness Inc, Cl A *

     48,370       1,109  

YETI Holdings Inc *

     9,647       399  
                 
              61,233  

Consumer Staples — 3.7%

        

Cal-Maine Foods Inc

    12,053       656  

Casey's General Stores Inc

    8,076       1,812  

Celsius Holdings Inc *

     5,884       612  

elf Beauty Inc *

     27,322       1,511  

Fresh Market Inc *

     19,578       —  

Hain Celestial Group Inc/The *

     29,717       481  

Hostess Brands Inc, Cl A *

     79,823       1,791  

Ingles Markets Inc, Cl A

    6,280       606  

 

 

 

32

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ingredion Inc

    11,936     $ 1,169  

Inter Parfums Inc

    13,413       1,295  

Lancaster Colony Corp

    5,352       1,056  

MGP Ingredients Inc

    14,762       1,570  

Natural Grocers by Vitamin Cottage Inc

    32,460       297  

Performance Food Group Co *

     27,732       1,619  

Pilgrim's Pride Corp *

     90,156       2,140  

Post Holdings Inc *

     4,734       427  

TreeHouse Foods Inc *

     29,632       1,463  

Village Super Market Inc, Cl A

    18,788       438  

Vital Farms Inc *

     40,314       601  

Weis Markets Inc

    6,630       546  
                 
              20,090  

Energy — 8.9%

        

Alto Ingredients Inc *

     142,485       410  

Ardmore Shipping Corp *

     48,126       693  

Berry Corp

    125,085       1,001  

Bristow Group Inc *

     40,488       1,098  

Cactus Inc, Cl A

    21,331       1,072  

Centrus Energy Corp, Cl A *

     23,824       774  

ChampionX Corp

    64,846       1,880  

Chord Energy Corp

    9,675       1,324  

Civitas Resources Inc

    14,640       848  

Coterra Energy Inc

    37,020       910  

Crescent Point Energy Corp

    63,692       455  

Delek US Holdings Inc

    141,194       3,812  

DHT Holdings Inc

    113,341       1,006  

Diamondback Energy Inc, Cl A

    6,929       948  

Earthstone Energy Inc, Cl A *

     37,500       534  

Expro Group Holdings NV *

     33,209       602  

Golar LNG Ltd *

     28,279       644  

Helix Energy Solutions Group Inc *

     163,007       1,203  

Helmerich & Payne Inc

    29,359       1,455  

HF Sinclair Corp

    59,332       3,079  

International Seaways Inc

    27,666       1,024  

Liberty Energy Inc, Cl A

    44,309       709  

Murphy Oil Corp

    23,267       1,001  

NexTier Oilfield Solutions Inc *

     61,965       573  

Noble Corp PLC *

     15,200       573  

Northern Oil and Gas Inc

    58,766       1,811  

NOV Inc

    22,500       470  

Oil States International Inc *

     33,050       247  

Par Pacific Holdings Inc *

     46,666       1,085  

Patterson-UTI Energy Inc

    41,559       700  

PBF Energy Inc, Cl A

    27,516       1,122  

PDC Energy Inc, Cl A

    21,081       1,338  

Permian Resources Corp, Cl A

    53,000       498  

Ranger Energy Services Inc, Cl A *

     55,500       611  

REX American Resources Corp *

     34,989       1,115  

RPC Inc

    93,620       832  

Scorpio Tankers Inc

    24,749       1,331  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Select Energy Services Inc, Cl A

    53,224     $ 492  

SFL Corp Ltd

    133,288       1,229  

SM Energy Co

    9,926       346  

Solaris Oilfield Infrastructure Inc, Cl A

    84,396       838  

Southwestern Energy Co *

     338,586       1,981  

Talos Energy Inc *

     29,210       551  

Teekay Tankers Ltd, Cl A *

     50,910       1,569  

TETRA Technologies Inc *

     36,250       125  

Tidewater Inc *

     20,700       763  

VAALCO Energy Inc

    128,230       585  

Weatherford International PLC *

     13,500       687  
                 
              47,954  

Financials — 18.4%

        

1st Source Corp

    18,569       986  

AFC Gamma Inc ‡

     8,790       138  

Amalgamated Financial Corp

    47,013       1,083  

Ambac Financial Group Inc *

     59,900       1,045  

American Equity Investment Life Holding Co

    93,109       4,248  

Argo Group International Holdings Ltd

    39,694       1,026  

Arrow Financial Corp

    5,539       188  

AssetMark Financial Holdings Inc *

     22,648       521  

Associated Banc-Corp

    25,178       581  

Atlanticus Holdings Corp *

     21,406       561  

Bank of Marin Bancorp

    9,639       317  

Bank of NT Butterfield & Son Ltd/The

    18,054       538  

Bank OZK

    33,567       1,345  

BankUnited Inc

    133,136       4,523  

Bridgewater Bancshares Inc *

     7,724       137  

Byline Bancorp Inc

    12,540       288  

Cambridge Bancorp

    1,614       134  

Capital Bancorp Inc

    13,584       320  

Capital City Bank Group Inc

    18,019       586  

Carter Bankshares Inc *

     15,208       252  

Cathay General Bancorp

    16,297       665  

Central Pacific Financial Corp

    19,330       392  

Chimera Investment Corp ‡

     134,917       742  

Civista Bancshares Inc

    18,241       401  

CNB Financial Corp/PA

    5,880       140  

CNO Financial Group Inc

    161,266       3,685  

Coastal Financial Corp/WA *

     31,077       1,477  

Cohen & Steers Inc

    15,696       1,013  

Community Trust Bancorp Inc

    7,810       359  

Crawford & Co, Cl A

    22,240       124  

CrossFirst Bankshares Inc *

     22,630       281  

CVB Financial Corp

    39,625       1,020  

Enova International Inc *

     8,640       331  

Enterprise Financial Services Corp

    19,300       945  

Equity Bancshares Inc, Cl A

    11,560       378  

Esquire Financial Holdings Inc

    9,954       431  

FactSet Research Systems Inc

    2,856       1,146  

Farmers National Banc Corp

    21,024       297  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

33

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Federated Hermes Inc, Cl B

    18,298     $ 664  

Financial Institutions Inc

    15,449       376  

First Bancshares Inc/The

    15,413       493  

First Busey Corp

    22,700       561  

First Commonwealth Financial Corp

    142,111       1,985  

First Community Bankshares Inc

    17,640       598  

First Financial Corp/IN

    18,597       857  

First Interstate BancSystem Inc, Cl A

    64,555       2,495  

First of Long Island Corp/The

    12,271       221  

FNB Corp/PA

    195,840       2,556  

Globe Life Inc

    9,479       1,143  

Great Southern Bancorp Inc

    8,100       482  

Hamilton Lane Inc, Cl A

    14,968       956  

Hanmi Financial Corp

    23,660       585  

HarborOne Bancorp Inc

    16,352       227  

HBT Financial Inc

    26,450       518  

Heritage Commerce Corp

    44,663       581  

Home BancShares Inc/AR

    61,365       1,398  

HomeTrust Bancshares Inc

    12,200       295  

Independent Bank Corp

    23,118       1,952  

Independent Bank Corp/MI

    25,550       611  

Investar Holding Corp

    23,633       509  

Kinsale Capital Group Inc

    1,475       386  

Lakeland Bancorp Inc

    13,850       244  

Lincoln National Corp

    71,250       2,189  

Macatawa Bank Corp

    56,098       619  

Mercantile Bank Corp

    12,752       427  

Merchants Bancorp/IN

    21,630       526  

Metrocity Bankshares Inc

    11,856       256  

Metropolitan Bank Holding Corp *

     16,530       970  

MGIC Investment Corp

    52,276       680  

Mid Penn Bancorp Inc

    3,930       118  

Morningstar Inc, Cl A

    4,611       999  

National Bank Holdings Corp, Cl A

    13,326       561  

National Western Life Group Inc, Cl A

    750       211  

NBT Bancorp Inc

    9,000       391  

Nicolet Bankshares Inc *

     7,009       559  

NMI Holdings Inc, Cl A *

     23,020       481  

Northfield Bancorp Inc

    13,194       207  

Northrim BanCorp Inc

    10,535       575  

OFG Bancorp

    61,159       1,685  

Old National Bancorp/IN, Cl A

    264,182       4,750  

Old Second Bancorp Inc

    42,650       684  

Oppenheimer Holdings Inc, Cl A

    24,720       1,046  

Origin Bancorp Inc

    4,080       150  

Orrstown Financial Services Inc

    18,682       433  

PacWest Bancorp

    30,721       705  

PCSB Financial Corp

    15,800       301  

Peapack-Gladstone Financial Corp

    9,550       355  

Peoples Bancorp Inc/OH

    6,720       190  

Peoples Financial Services Corp

    7,134       370  

Pinnacle Financial Partners Inc

    18,393       1,350  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Popular Inc

    14,547     $ 965  

Preferred Bank/Los Angeles CA

    9,422       703  

Primerica Inc

    8,553       1,213  

Prosperity Bancshares Inc

    16,281       1,183  

Provident Bancorp Inc

    22,886       167  

RBB Bancorp

    20,540       428  

Regional Management Corp

    25,347       712  

RenaissanceRe Holdings Ltd

    3,420       630  

Renasant Corp

    18,663       701  

Republic First Bancorp Inc *

     55,140       118  

RLI Corp

    4,400       578  

S&T Bancorp Inc

    18,991       649  

ServisFirst Bancshares Inc

    7,504       517  

Silvergate Capital Corp, Cl A *

     6,530       114  

South Plains Financial Inc

    4,763       131  

Southern Missouri Bancorp Inc

    4,691       215  

SouthState Corp

    14,082       1,075  

Stellar Bancorp Inc

    18,610       548  

StepStone Group Inc, Cl A

    14,875       374  

StoneX Group Inc *

     14,838       1,414  

Summit Financial Group Inc

    4,970       124  

TrustCo Bank Corp NY

    18,426       693  

Trustmark Corp

    16,632       581  

Umpqua Holdings Corp

    197,733       3,529  

United Bankshares Inc/WV

    12,137       491  

Universal Insurance Holdings Inc

    66,475       704  

Univest Financial Corp

    52,314       1,367  

Washington Federal Inc

    19,865       666  

Westamerica BanCorp

    10,407       614  

Western Alliance Bancorp

    23,355       1,391  

Wintrust Financial Corp

    20,464       1,730  
                 
              99,450  

Health Care — 15.3%

        

2seventy bio Inc *

     14,580       137  

Acadia Healthcare Co Inc, Cl A *

     8,824       726  

Accolade Inc *

     52,290       407  

ADMA Biologics Inc *

     140,000       543  

Agenus Inc *

     217,579       522  

Akero Therapeutics Inc *

     13,207       724  

Alector Inc *

     109,330       1,009  

Alignment Healthcare Inc *

     38,879       457  

ALX Oncology Holdings Inc *

     76,127       858  

Amedisys Inc *

     9,426       787  

Amicus Therapeutics Inc *

     50,670       619  

AMN Healthcare Services Inc *

     22,567       2,320  

Amneal Pharmaceuticals Inc *

     61,270       122  

Amylyx Pharmaceuticals Inc *

     15,400       569  

Apellis Pharmaceuticals Inc *

     10,981       568  

Arcellx Inc *

     33,115       1,026  

Arcturus Therapeutics Holdings Inc *

     10,257       174  

Atea Pharmaceuticals Inc *

     82,770       398  

 

 

 

34

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Avanos Medical Inc *

     21,584     $ 584  

Axogen Inc *

     53,557       534  

Axonics Inc *

     9,646       603  

BioLife Solutions Inc *

     23,950       436  

Bluebird Bio Inc *

     65,710       455  

Brookdale Senior Living Inc, Cl A *

     47,438       129  

Cara Therapeutics Inc *

     28,050       301  

CareDx Inc *

     50,110       572  

Castle Biosciences Inc *

     10,150       239  

Catalyst Pharmaceuticals Inc *

     106,280       1,977  

Celldex Therapeutics Inc *

     12,000       535  

Chemed Corp

    2,913       1,487  

Chinook Therapeutics Inc *

     24,361       638  

Co-Diagnostics Inc *

     151,068       381  

Collegium Pharmaceutical Inc *

     53,220       1,235  

Computer Programs and Systems Inc *

     5,150       140  

Cross Country Healthcare Inc *

     79,341       2,108  

Deciphera Pharmaceuticals Inc *

     37,064       607  

DICE Therapeutics Inc *

     12,706       396  

Eagle Pharmaceuticals Inc/DE *

     20,310       594  

Encompass Health Corp

    45,646       2,730  

Ensign Group Inc/The

    17,357       1,642  

Envista Holdings Corp *

     26,921       906  

Generation Bio Co *

     35,081       138  

Haemonetics Corp *

     17,153       1,349  

Halozyme Therapeutics Inc *

     16,000       910  

Harmony Biosciences Holdings Inc *

     10,500       579  

HealthEquity Inc *

     9,169       565  

HealthStream Inc *

     25,294       628  

Heron Therapeutics Inc *

     64,380       161  

Inhibrx Inc *

     19,190       473  

Innoviva Inc *

     32,903       436  

Inspire Medical Systems Inc *

     5,285       1,331  

Integra LifeSciences Holdings Corp *

     58,392       3,274  

Intra-Cellular Therapies Inc, Cl A *

     10,944       579  

Invitae Corp *

     212,246       395  

iRadimed Corp *

     6,571       186  

iTeos Therapeutics Inc *

     43,940       858  

IVERIC bio Inc *

     22,823       489  

Karuna Therapeutics Inc *

     2,033       399  

Karyopharm Therapeutics Inc *

     39,070       133  

Kiniksa Pharmaceuticals Ltd, Cl A *

     56,592       848  

Kodiak Sciences Inc *

     79,980       573  

Krystal Biotech Inc *

     8,163       647  

Lantheus Holdings Inc *

     10,625       541  

LeMaitre Vascular Inc

    23,586       1,085  

Madrigal Pharmaceuticals Inc *

     3,124       907  

MannKind Corp *

     102,000       538  

Merit Medical Systems Inc *

     9,846       695  

Mersana Therapeutics Inc *

     108,848       638  

Morphic Holding Inc *

     4,860       130  

Neurocrine Biosciences Inc *

     5,790       692  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Neuronetics Inc *

     79,000     $ 543  

Nurix Therapeutics Inc *

     50,060       550  

NuVasive Inc *

     15,581       643  

OptimizeRx Corp *

     12,815       215  

Option Care Health Inc *

     20,811       626  

Organogenesis Holdings Inc, Cl A *

     186,605       502  

PDS Biotechnology Corp *

     33,000       436  

Penumbra Inc *

     2,400       534  

Perrigo Co PLC

    27,200       927  

PetIQ Inc, Cl A *

     13,220       122  

Phreesia Inc *

     35,000       1,133  

PMV Pharmaceuticals Inc *

     24,940       217  

Praxis Precision Medicines Inc *

     69,090       164  

Precigen Inc *

     233,510       355  

Premier Inc, Cl A

    18,800       658  

Prestige Consumer Healthcare Inc, Cl A *

     34,399       2,153  

Privia Health Group Inc *

     25,048       569  

Prometheus Biosciences Inc *

     6,500       715  

Protagonist Therapeutics Inc *

     40,220       439  

Prothena Corp PLC *

     10,750       648  

Provention Bio Inc *

     58,000       613  

PTC Therapeutics Inc *

     13,829       528  

Puma Biotechnology Inc *

     12,359       52  

Quest Diagnostics Inc

    8,611       1,347  

RAPT Therapeutics Inc *

     60,450       1,197  

Replimune Group Inc *

     21,200       577  

Rhythm Pharmaceuticals Inc *

     20,433       595  

Rigel Pharmaceuticals Inc *

     193,906       291  

Sana Biotechnology Inc *

     75,620       299  

Sarepta Therapeutics Inc *

     3,658       474  

Seer Inc, Cl A *

     49,520       287  

Seres Therapeutics Inc *

     31,940       179  

Shockwave Medical Inc *

     2,481       510  

SIGA Technologies Inc *

     108,690       800  

Silk Road Medical Inc *

     10,700       565  

STERIS PLC

    7,119       1,315  

Stoke Therapeutics Inc *

     17,924       165  

Supernus Pharmaceuticals Inc *

     13,200       471  

Sutro Biopharma Inc *

     32,507       263  

Tactile Systems Technology Inc *

     86,813       997  

TG Therapeutics Inc *

     58,690       694  

TransMedics Group Inc *

     9,639       595  

UFP Technologies Inc *

     11,200       1,320  

US Physical Therapy Inc

    11,100       899  

Utah Medical Products Inc

    2,416       243  

Vanda Pharmaceuticals Inc *

     17,800       132  

Vaxcyte Inc *

     16,500       791  

Ventyx Biosciences Inc *

     15,300       502  

Viemed Healthcare Inc *

     79,182       599  

ViewRay Inc *

     115,030       515  

Viking Therapeutics Inc *

     70,701       665  

Viridian Therapeutics Inc *

     21,333       623  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

35

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Voyager Therapeutics Inc *

     74,003     $ 451  
                 
              83,075  

Industrials — 18.2%

        

AAON Inc

    7,106       535  

ABM Industries Inc

    101,685       4,517  

ACCO Brands Corp

    520,101       2,907  

Air Lease Corp, Cl A

    29,838       1,146  

Allison Transmission Holdings Inc

    29,390       1,223  

Alta Equipment Group Inc

    44,588       588  

Altra Industrial Motion Corp

    33,888       2,025  

Applied Industrial Technologies Inc, Cl A

    12,304       1,551  

Arcosa Inc

    10,028       545  

Argan Inc

    16,477       608  

Array Technologies Inc *

     23,675       458  

Atkore Inc *

     6,550       743  

AZEK Co Inc/The, Cl A *

     34,601       703  

Barrett Business Services Inc

    9,003       840  

Booz Allen Hamilton Holding Corp, Cl A

    11,515       1,204  

Bowman Consulting Group Ltd, Cl A *

     19,238       420  

Brady Corp, Cl A

    13,203       622  

BWX Technologies Inc, Cl W

    39,111       2,272  

CACI International Inc, Cl A *

     4,434       1,333  

Carlisle Cos Inc

    3,902       920  

Casella Waste Systems Inc, Cl A *

     8,440       669  

CBIZ Inc *

     27,617       1,294  

CECO Environmental Corp *

     63,014       736  

CIRCOR International Inc *

     35,735       856  

Clean Harbors Inc *

     15,080       1,721  

Comfort Systems USA Inc

    12,126       1,395  

Costamare Inc

    39,644       368  

Covenant Logistics Group Inc, Cl A

    16,150       558  

CRA International Inc

    5,286       647  

CSW Industrials Inc

    5,396       626  

Curtiss-Wright Corp

    3,750       626  

Daseke Inc *

     87,234       496  

Ducommun Inc *

     7,899       395  

Dycom Industries Inc *

     5,650       529  

EMCOR Group Inc

    18,815       2,787  

Enerpac Tool Group Corp, Cl A

    22,943       584  

Ennis Inc

    47,373       1,050  

EnPro Industries Inc

    15,868       1,725  

Federal Signal Corp

    14,600       678  

First Advantage Corp *

     14,080       183  

Fluor Corp *

     20,600       714  

Forrester Research Inc *

     10,498       375  

Forward Air Corp

    5,319       558  

Franklin Covey Co *

     22,442       1,050  

Gates Industrial Corp PLC *

     56,352       643  

GATX Corp

    4,280       455  

Genco Shipping & Trading Ltd

    9,333       143  

GFL Environmental Inc

    41,069       1,200  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

GMS Inc *

     9,375     $ 467  

Griffon Corp

    34,398       1,231  

H&E Equipment Services Inc

    15,262       693  

Harsco Corp *

     36,576       230  

Heartland Express Inc

    37,170       570  

Heidrick & Struggles International Inc

    16,326       457  

Heritage-Crystal Clean Inc *

     35,006       1,137  

Hexcel Corp, Cl A

    15,369       904  

Hillenbrand Inc

    30,147       1,286  

Hub Group Inc, Cl A *

     6,535       519  

Hudson Technologies Inc *

     159,040       1,609  

Huron Consulting Group Inc *

     44,410       3,224  

Insperity Inc, Cl A

    16,749       1,903  

Interface Inc, Cl A

    20,583       203  

ITT Inc

    16,545       1,342  

Kelly Services Inc, Cl A

    24,618       416  

Kennametal Inc

    18,141       436  

Kimball International Inc, Cl B

    55,988       364  

Korn Ferry

    18,880       956  

Landstar System Inc

    7,174       1,169  

LSI Industries Inc

    61,107       748  

Marten Transport Ltd

    35,493       702  

Masonite International Corp *

     11,206       903  

MasTec Inc *

     3,514       300  

Mayville Engineering Co Inc *

     18,945       240  

McGrath RentCorp

    6,903       682  

MRC Global Inc *

     52,477       608  

Nordson Corp

    4,306       1,024  

Northwest Pipe Co *

     16,705       563  

NOW Inc *

     49,521       629  

PAM Transportation Services Inc *

     24,986       647  

Parsons Corp *

     13,000       601  

PGT Innovations Inc *

     32,546       585  

Quanex Building Products Corp

    25,057       593  

Radiant Logistics Inc *

     130,025       662  

Regal Rexnord Corp

    9,560       1,147  

Resources Connection Inc

    66,565       1,223  

Rush Enterprises Inc, Cl A

    14,481       757  

Safe Bulkers Inc

    269,660       785  

Shoals Technologies Group Inc, Cl A *

     40,068       988  

Simpson Manufacturing Co Inc

    4,966       440  

SP Plus Corp *

     16,879       586  

SPX Technologies Inc *

     8,700       571  

Standex International Corp

    20,764       2,126  

Sterling Infrastructure Inc *

     55,760       1,829  

Terex Corp

    25,627       1,095  

Tetra Tech Inc

    8,828       1,282  

Thermon Group Holdings Inc *

     13,190       265  

Titan Machinery Inc *

     42,391       1,684  

TPI Composites Inc *

     26,670       270  

TrueBlue Inc *

     20,210       396  

UFP Industries Inc

    12,018       952  

 

 

 

36

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

UniFirst Corp/MA

    5,563     $ 1,074  

Universal Logistics Holdings Inc

    8,740       292  

V2X Inc *

     13,330       550  

Valmont Industries Inc

    6,537       2,162  

WESCO International Inc *

     6,030       755  

WillScot Mobile Mini Holdings Corp, Cl A *

     13,300       601  
                 
              98,654  

Information Technology — 12.9%

        

8x8 Inc *

     142,560       616  

A10 Networks Inc

    69,569       1,157  

Aehr Test Systems *

     21,360       429  

Agilysys Inc *

     18,194       1,440  

Alkami Technology Inc *

     57,191       834  

Allegro MicroSystems Inc *

     19,700       591  

Alpha & Omega Semiconductor Ltd *

     14,970       428  

Amkor Technology Inc

    22,700       544  

Amplitude Inc, Cl A *

     26,310       318  

Appfolio Inc, Cl A *

     5,272       556  

Aviat Networks Inc *

     15,520       484  

AvidXchange Holdings Inc *

     18,800       187  

Axcelis Technologies Inc *

     15,328       1,216  

AXT Inc *

     74,345       326  

Badger Meter Inc

    6,700       730  

Bel Fuse Inc, Cl B

    18,593       612  

Belden Inc

    31,051       2,233  

Box Inc, Cl A *

     48,625       1,514  

Broadridge Financial Solutions Inc

    6,517       874  

Calix Inc *

     22,693       1,553  

Cambium Networks Corp *

     6,380       138  

Cass Information Systems Inc

    11,720       537  

Clearfield Inc *

     7,045       663  

Cognex Corp

    14,467       682  

CommScope Holding Co Inc *

     79,692       586  

CSG Systems International Inc

    7,647       437  

Diebold Nixdorf Inc *

     106,140       151  

Digi International Inc *

     41,765       1,526  

Diodes Inc *

     11,366       865  

eGain Corp *

     59,536       538  

EngageSmart Inc *

     29,083       512  

Entegris Inc

    16,813       1,103  

ExlService Holdings Inc *

     14,323       2,427  

Extreme Networks Inc *

     41,937       768  

Fabrinet *

     10,322       1,324  

Grid Dynamics Holdings Inc *

     43,640       490  

Hackett Group Inc/The

    49,277       1,004  

Harmonic Inc, Cl A *

     128,943       1,689  

I3 Verticals Inc, Cl A *

     8,772       213  

Impinj Inc *

     11,503       1,256  

International Money Express Inc *

     23,447       571  

Jack Henry & Associates Inc

    6,106       1,072  

Kimball Electronics Inc *

     7,750       175  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kulicke & Soffa Industries Inc

    24,289     $ 1,075  

Lattice Semiconductor Corp *

     8,900       577  

Littelfuse Inc

    4,727       1,041  

Lumentum Holdings Inc *

     16,879       881  

MACOM Technology Solutions Holdings Inc *

     17,107       1,077  

Mitek Systems Inc *

     15,216       147  

Model N Inc *

     17,500       710  

Napco Security Technologies Inc *

     37,221       1,023  

National Instruments Corp

    27,505       1,015  

Nutanix Inc, Cl A *

     20,300       529  

Payoneer Global Inc *

     94,255       516  

Paysafe Ltd *

     29,707       413  

PC Connection Inc *

     21,707       1,018  

PDF Solutions Inc *

     19,350       552  

Photronics Inc *

     252,800       4,255  

Plexus Corp *

     12,050       1,240  

Power Integrations Inc

    16,011       1,148  

PowerSchool Holdings Inc, Cl A *

     27,200       628  

Qualys Inc *

     5,191       583  

Rambus Inc *

     41,822       1,498  

Sanmina Corp *

     18,352       1,051  

ScanSource Inc *

     5,410       158  

ShotSpotter Inc *

     14,801       501  

Silicon Motion Technology Corp ADR

    40,905       2,658  

SPS Commerce Inc *

     4,521       581  

Super Micro Computer Inc *

     64,903       5,328  

Tenable Holdings Inc *

     11,962       456  

TTEC Holdings Inc

    20,712       914  

Universal Display Corp

    10,701       1,156  

Viavi Solutions Inc *

     92,877       976  

Vishay Precision Group Inc *

     28,480       1,101  
                 
              70,175  

Materials — 4.8%

        

Alamos Gold Inc, Cl A

    64,558       653  

Alpha Metallurgical Resources Inc

    4,198       615  

Aspen Aerogels Inc *

     48,100       567  

Axalta Coating Systems Ltd *

     30,812       785  

Balchem Corp

    3,510       429  

Cabot Corp

    15,350       1,026  

Chase Corp

    6,220       537  

Clearwater Paper Corp *

     27,500       1,040  

Commercial Metals Co, Cl A

    81,906       3,956  

Element Solutions Inc

    49,661       903  

Haynes International Inc

    21,893       1,000  

Ingevity Corp *

     22,684       1,598  

Innospec Inc

    12,037       1,238  

Livent Corp *

     56,483       1,122  

O-I Glass Inc, Cl I *

     70,994       1,176  

Olympic Steel Inc

    17,626       592  

Quaker Chemical Corp

    4,842       808  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

37

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Rayonier Advanced Materials Inc *

     135,514     $ 1,301  

Reliance Steel & Aluminum Co

    6,432       1,302  

Ryerson Holding Corp

    35,280       1,068  

Silgan Holdings Inc

    21,861       1,133  

SunCoke Energy Inc

    140,830       1,215  

Tredegar Corp

    20,970       214  

Valvoline Inc

    30,224       987  

Warrior Met Coal Inc

    13,748       476  
                 
              25,741  

Real Estate — 1.6%

        

Ashford Hospitality Trust Inc *‡

     25,110       112  

Corporate Office Properties Trust ‡

     33,968       881  

eXp World Holdings Inc ‡(A)

     71,813       796  

Hersha Hospitality Trust, Cl A ‡

     12,750       109  

Kennedy-Wilson Holdings Inc ‡

     60,649       954  

National Storage Affiliates Trust ‡

     24,328       879  

Newmark Group Inc, Cl A ‡

     85,924       685  

NexPoint Residential Trust Inc ‡

     23,453       1,021  

RMR Group Inc/The, Cl A ‡

     9,710       274  

Ryman Hospitality Properties Inc ‡

     6,986       571  

STAG Industrial Inc ‡

     40,294       1,302  

Terreno Realty Corp ‡

     17,557       998  
                 
              8,582  

Utilities — 1.3%

        

Algonquin Power & Utilities Corp (A)

     65,113       424  

Black Hills Corp, Cl A

    12,481       878  

Brookfield Infrastructure Corp, Cl A

    17,600       685  

Chesapeake Utilities Corp

    4,850       573  

IDACORP Inc, Cl A

    10,281       1,109  

Portland General Electric Co

    35,035       1,717  

Spire Inc

    9,544       657  

Unitil Corp

    4,414       227  

Via Renewables Inc, Cl A

    26,008       133  
                 
              6,403  

Total Common Stock

               

(Cost $461,118) ($ Thousands)

             534,034  
                 
                 
                 

EXCHANGE TRADED FUND — 0.2%
                 

iShares Russell 2000 Value ETF

    6,165       855  
                 
                 
                 

Total Exchange Traded Fund

               

(Cost $922) ($ Thousands)

             855  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.2%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     788,653     $ 788  
                 
                 

Total Affiliated Partnership

                

(Cost $789) ($ Thousands)

     788  
                 
                 
                 

CASH EQUIVALENT — 1.1%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     6,217,388       6,217  
                 

Total Cash Equivalent

                

(Cost $6,217) ($ Thousands)

             6,217  
                 
                 

Total Investments in Securities — 100.2%

                

(Cost $469,046) ($ Thousands)

  $ 541,894  
                 
                 

 

 

Percentages are based on Net Assets of $540,995 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $781 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $788 ($ Thousands).

 

 

 

38

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Fund (Concluded)

 

 

 

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 2,751     $ 7,014     $ (8,977 )   $ —     $ —     $ 788     $ 8     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     9,050       48,490       (51,323 )     —       —       6,217       83       —  

Totals

   $ 11,801     $ 55,504     $ (60,300 )   $ —     $ —     $ 7,005     $ 91     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

39

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.0%
                 

Communication Services — 4.7%

        

Advantage Solutions Inc *

     22,958     $ 48  

AMC Networks Inc, Cl A *

     19,791       310  

Cinemark Holdings Inc *

     154,378       1,337  

EchoStar Corp, Cl A *

     11,616       194  

Entravision Communications Corp, Cl A

    19,713       95  

IDT Corp, Cl B *

     1,416       40  

John Wiley & Sons Inc, Cl A

    69,179       2,771  

Lions Gate Entertainment Corp, Cl A *

     159,888       913  

Nexstar Media Group Inc, Cl A

    38,637       6,763  

Scholastic Corp, Cl B

    8,400       331  

Telephone and Data Systems Inc

    28,539       299  

Yelp Inc, Cl A *

     4,612       126  

Ziff Davis Inc *

     56,239       4,448  
                 
              17,675  

Consumer Discretionary — 12.7%

        

Aaron's Co Inc/The

    32,783       392  

American Axle & Manufacturing Holdings Inc *

     75,586       591  

American Eagle Outfitters Inc *

     161,835       2,259  

Big 5 Sporting Goods Corp (A)

     6,921       61  

Big Lots Inc

    10,080       148  

Biglari Holdings Inc, Cl B *

     325       45  

Bloomin' Brands Inc

    142,563       2,868  

Brinker International Inc *

     83,992       2,680  

Capri Holdings Ltd *

     13,972       801  

Carriage Services Inc, Cl A

    14,603       402  

Carter's Inc

    8,930       666  

Cato Corp/The, Cl A

    6,012       56  

Chico's FAS Inc *

     37,293       184  

Dick's Sporting Goods Inc

    8,306       999  

Ethan Allen Interiors Inc

    7,992       211  

Genesco Inc *

     13,777       634  

G-III Apparel Group Ltd *

     22,248       305  

Goodyear Tire & Rubber Co/The *

     83,417       847  

GoPro Inc, Cl A *

     4,827       24  

Group 1 Automotive Inc

    8,068       1,455  

Guess? inc, Cl 3

    37,880       784  

H&R Block Inc

    41,922       1,531  

Harley-Davidson Inc, Cl A

    23,539       979  

Haverty Furniture Cos Inc

    28,221       844  

Helen of Troy Ltd *

     9,577       1,062  

KB Home

    22,601       720  

La-Z-Boy Inc, Cl Z

    50,944       1,163  

Leslie's Inc *

     131,374       1,604  

Lithia Motors Inc, Cl A

    13,746       2,814  

Macy's Inc

    57,831       1,194  

MarineMax Inc *

     6,250       195  

MasterCraft Boat Holdings Inc *

     5,463       141  

MDC Holdings Inc

    26,574       840  

Meritage Homes Corp *

     12,659       1,167  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Modine Manufacturing Co *

     121,655     $ 2,416  

Movado Group Inc

    4,365       141  

ODP Corp/The *

     19,312       880  

Perdoceo Education Corp *

     21,965       305  

PVH Corp

    10,713       756  

Qurate Retail Inc *

     103,000       168  

Rent-A-Center Inc/TX

    24,169       545  

Sally Beauty Holdings Inc *

     55,179       691  

Shoe Carnival Inc

    1,654       40  

Signet Jewelers Ltd

    19,154       1,303  

Sleep Number Corp *

     5,412       141  

Smith & Wesson Brands Inc

    15,147       132  

Sonic Automotive Inc, Cl A

    23,206       1,143  

Taylor Morrison Home Corp, Cl A *

     31,342       951  

Thor Industries Inc

    9,906       748  

Tri Pointe Homes Inc *

     82,754       1,538  

Tupperware Brands Corp *

     64,997       269  

Universal Technical Institute Inc *

     9,294       62  

Urban Outfitters Inc *

     60,907       1,453  

Victoria's Secret & Co *

     64,563       2,310  

Vista Outdoor Inc *

     2,670       65  

Winnebago Industries Inc

    18,564       978  

Zumiez Inc *

     5,830       127  
                 
              47,828  

Consumer Staples — 3.4%

        

Cal-Maine Foods Inc

    2,249       122  

Coca-Cola Consolidated Inc

    2,124       1,088  

Energizer Holdings Inc

    24,109       809  

Herbalife Nutrition Ltd *

     21,359       318  

Ingles Markets Inc, Cl A

    16,931       1,633  

Ingredion Inc

    13,494       1,321  

Nature's Sunshine Products Inc *

     3,728       31  

Nu Skin Enterprises Inc, Cl A

    3,050       129  

Pilgrim's Pride Corp *

     67,925       1,612  

SpartanNash Co

    23,571       713  

Spectrum Brands Holdings Inc

    42,895       2,613  

Sprouts Farmers Market Inc *

     49,559       1,604  

Village Super Market Inc, Cl A

    15,136       353  

Weis Markets Inc

    3,733       307  
                 
              12,653  

Energy — 7.6%

        

Arch Resources Inc

    3,216       459  

Bristow Group Inc *

     7,575       206  

California Resources Corp

    27,998       1,218  

Chord Energy Corp

    7,938       1,086  

Civitas Resources Inc

    13,710       794  

Comstock Resources Inc

    65,620       900  

CONSOL Energy Inc

    1,178       77  

Crescent Point Energy Corp

    47,510       340  

Delek US Holdings Inc

    91,387       2,467  

DHT Holdings Inc

    40,688       361  

 

 

 

40

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

DT Midstream Inc

    66,024     $ 3,648  

HF Sinclair Corp

    79,320       4,116  

Magnolia Oil & Gas Corp, Cl A

    128,615       3,016  

Murphy Oil Corp

    23,067       992  

National Energy Services Reunited Corp *

     4,990       35  

PBF Energy Inc, Cl A

    13,334       544  

PDC Energy Inc, Cl A

    27,799       1,765  

REX American Resources Corp *

     4,644       148  

SFL Corp Ltd

    69,620       642  

Southwestern Energy Co *

     259,549       1,518  

Viper Energy Partners LP

    51,451       1,636  

W&T Offshore Inc *

     181,259       1,011  

World Fuel Services Corp

    52,063       1,423  
                 
              28,402  

Financials — 24.5%

        

Amalgamated Financial Corp

    4,384       101  

A-Mark Precious Metals Inc

    6,350       221  

American Equity Investment Life Holding Co

    73,874       3,370  

Apollo Commercial Real Estate Finance Inc ‡

     28,013       301  

Arbor Realty Trust Inc ‡

     69,936       922  

Argo Group International Holdings Ltd

    30,839       797  

Associated Banc-Corp

    74,149       1,712  

Axis Capital Holdings Ltd

    15,974       865  

B Riley Financial Inc

    12,282       420  

Banco Latinoamericano de Comercio Exterior SA, Cl E

    40,533       657  

Bank OZK

    26,052       1,044  

BankUnited Inc

    107,031       3,636  

Bankwell Financial Group Inc

    1,565       46  

Banner Corp

    10,029       634  

Bar Harbor Bankshares

    4,295       138  

BayCom Corp

    5,529       105  

BCB Bancorp Inc

    4,000       72  

Berkshire Hills Bancorp Inc

    26,000       777  

BGC Partners Inc, Cl A

    598,373       2,256  

Blue Ridge Bankshares Inc

    5,776       72  

BrightSpire Capital Inc, Cl A ‡

     64,000       399  

Business First Bancshares Inc

    5,863       130  

Camden National Corp

    21,470       895  

Capital Bancorp Inc

    2,753       65  

Capstar Financial Holdings Inc

    4,268       75  

Carlyle Secured Lending Inc

    22,527       322  

Carter Bankshares Inc *

     7,203       119  

Cathay General Bancorp

    38,511       1,571  

Central Pacific Financial Corp

    26,324       534  

Civista Bancshares Inc

    4,598       101  

CNB Financial Corp/PA

    5,063       120  

CNO Financial Group Inc

    231,537       5,291  

Columbia Banking System Inc

    79,943       2,409  

Community Trust Bancorp Inc

    10,699       491  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cowen Inc, Cl A

    8,176     $ 316  

Crawford & Co, Cl A

    5,820       32  

Customers Bancorp Inc *

     11,152       316  

Donnelley Financial Solutions Inc *

     28,127       1,087  

Enova International Inc *

     9,768       375  

Enterprise Bancorp Inc

    2,900       102  

EZCORP Inc, Cl A *

     15,751       128  

Federated Hermes Inc, Cl B

    28,016       1,017  

Financial Institutions Inc

    4,854       118  

First American Financial Corp

    11,142       583  

First Bank/Hamilton NJ

    4,774       66  

First Busey Corp

    49,133       1,215  

First Business Financial Services Inc

    2,400       88  

First Commonwealth Financial Corp

    174,666       2,440  

First Financial Corp/IN

    13,922       641  

First Foundation Inc

    15,500       222  

First Guaranty Bancshares Inc

    2,368       56  

First Internet Bancorp

    3,003       73  

First Merchants Corp

    58,056       2,387  

Flushing Financial Corp

    49,872       966  

FNB Corp/PA

    220,704       2,880  

FS KKR Capital Corp

    31,885       558  

Fulton Financial Corp

    64,683       1,089  

Genworth Financial Inc, Cl A *

     245,298       1,298  

Great Southern Bancorp Inc

    7,274       433  

Greenlight Capital Re Ltd, Cl A *

     9,121       74  

Hancock Whitney Corp, Cl A

    31,629       1,531  

Hanmi Financial Corp

    31,341       776  

HarborOne Bancorp Inc

    46,542       647  

HBT Financial Inc

    2,321       45  

Hercules Capital Inc, Cl A (A)

     50,909       673  

Hilltop Holdings Inc

    18,110       543  

HomeStreet Inc

    27,020       745  

HomeTrust Bancshares Inc

    4,006       97  

Hope Bancorp Inc

    103,253       1,323  

Horizon Bancorp Inc/IN

    3,050       46  

Independent Bank Corp/MI

    6,278       150  

Invesco Mortgage Capital Inc ‡

     20,821       265  

Jackson Financial Inc, Cl A

    22,618       787  

Kearny Financial Corp/MD

    52,484       533  

Ladder Capital Corp, Cl A ‡

     63,026       633  

LendingClub Corp *

     30,639       270  

Lincoln National Corp

    53,700       1,650  

Luther Burbank Corp

    5,044       56  

Mercantile Bank Corp

    4,399       147  

Merchants Bancorp/IN

    5,977       145  

Metropolitan Bank Holding Corp *

     3,100       182  

MGIC Investment Corp

    65,342       849  

Mid Penn Bancorp Inc

    4,546       136  

Midland States Bancorp Inc

    6,502       173  

MidWestOne Financial Group Inc

    4,386       139  

MVB Financial Corp

    3,000       66  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

41

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Navient Corp

    59,521     $ 979  

New Mountain Finance Corp

    37,379       462  

OceanFirst Financial Corp

    17,718       376  

OFG Bancorp

    98,794       2,723  

Old National Bancorp/IN, Cl A

    161,431       2,903  

Oppenheimer Holdings Inc, Cl A

    4,859       206  

Orrstown Financial Services Inc

    3,530       82  

Oscar Health Inc, Cl A *

     16,935       42  

Pacific Premier Bancorp Inc

    55,084       1,738  

PacWest Bancorp

    146,917       3,372  

Pathward Financial Inc

    8,906       383  

PCB Bancorp

    3,500       62  

Peapack-Gladstone Financial Corp

    5,631       210  

PennantPark Investment Corp

    64,464       371  

PennyMac Financial Services Inc

    19,524       1,106  

Peoples Bancorp Inc/OH

    16,866       476  

Peoples Financial Services Corp

    2,240       116  

Popular Inc

    18,549       1,230  

Provident Bancorp Inc

    9,439       69  

QCR Holdings Inc

    5,210       259  

Radian Group Inc

    88,943       1,696  

RBB Bancorp

    4,906       102  

Redwood Trust Inc ‡

     46,399       314  

Republic Bancorp Inc/KY, Cl A

    10,270       420  

Republic First Bancorp Inc *

     13,454       29  

Rithm Capital Corp ‡

     115,768       946  

Sierra Bancorp

    4,509       96  

Simmons First National Corp, Cl A

    40,784       880  

SiriusPoint Ltd *

     26,044       154  

SmartFinancial Inc

    2,250       62  

South Plains Financial Inc

    3,417       94  

Starwood Property Trust Inc ‡

     163,649       3,000  

Stewart Information Services Corp

    1,532       65  

Summit Financial Group Inc

    3,604       90  

Synovus Financial Corp

    21,689       814  

Third Coast Bancshares Inc *

     4,000       74  

TowneBank

    21,204       654  

Two Harbors Investment Corp ‡

     11,596       183  

Umpqua Holdings Corp

    81,500       1,455  

Universal Insurance Holdings Inc

    24,840       263  

Washington Federal Inc

    29,863       1,002  

Zions Bancorp NA

    23,420       1,151  
                 
              92,544  

Health Care — 5.6%

        

AbCellera Biologics Inc *

     1,480       15  

AMN Healthcare Services Inc *

     29,161       2,998  

Amneal Pharmaceuticals Inc *

     99,560       198  

Arcus Biosciences Inc *

     8,877       184  

Avanos Medical Inc *

     3,419       92  

Catalyst Pharmaceuticals Inc *

     19,933       371  

Co-Diagnostics Inc *

     109,025       275  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Collegium Pharmaceutical Inc *

     18,667     $ 433  

Computer Programs and Systems Inc *

     20,543       559  

Corcept Therapeutics Inc *

     2,148       44  

Cross Country Healthcare Inc *

     47,500       1,262  

Dynavax Technologies Corp *

     35,122       374  

Eagle Pharmaceuticals Inc/DE *

     3,432       100  

Emergent BioSolutions Inc *

     34,367       406  

Enovis Corp *

     40,187       2,151  

Exelixis Inc *

     92,093       1,477  

Fulgent Genetics Inc *

     6,500       193  

Innoviva Inc *

     47,095       624  

Integra LifeSciences Holdings Corp *

     26,332       1,476  

Ironwood Pharmaceuticals Inc, Cl A *

     157,754       1,955  

iTeos Therapeutics Inc *

     7,004       137  

LivaNova PLC *

     23,856       1,325  

NextGen Healthcare Inc *

     7,504       141  

Pediatrix Medical Group Inc *

     27,079       403  

Premier Inc, Cl A

    18,889       661  

Prestige Consumer Healthcare Inc, Cl A *

     26,128       1,636  

Select Medical Holdings Corp

    47,536       1,180  

Vanda Pharmaceuticals Inc *

     17,220       127  

Varex Imaging Corp *

     4,500       91  

Veradigm Inc *

     5,283       93  

Zimvie Inc *

     5,861       55  
                 
              21,036  

Industrials — 13.6%

        

ABM Industries Inc

    56,764       2,521  

ACCO Brands Corp

    507,591       2,837  

AerSale Corp *

     4,881       79  

Alaska Air Group Inc *

     16,559       711  

Allison Transmission Holdings Inc

    24,684       1,027  

Apogee Enterprises Inc

    15,668       697  

ArcBest Corp

    15,110       1,058  

Argan Inc

    754       28  

Atkore Inc *

     14,265       1,618  

Atlas Air Worldwide Holdings Inc *

     8,590       866  

Boise Cascade Co

    11,817       811  

BWX Technologies Inc, Cl W

    59,462       3,454  

CoreCivic Inc *‡

     19,750       228  

Covenant Logistics Group Inc, Cl A

    3,450       119  

Deluxe Corp

    13,854       235  

Eagle Bulk Shipping Inc

    2,647       132  

EMCOR Group Inc

    4,184       620  

Encore Wire Corp

    11,786       1,621  

Ennis Inc

    23,122       512  

Esab Corp

    40,778       1,913  

Fluor Corp *

     11,319       392  

Genco Shipping & Trading Ltd

    6,414       98  

GXO Logistics Inc *

     63,365       2,705  

Heidrick & Struggles International Inc

    5,834       163  

Hillenbrand Inc

    39,960       1,705  

 

 

 

42

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Hub Group Inc, Cl A *

     724     $ 58  

IAA Inc *

     45,668       1,827  

Interface Inc, Cl A

    40,563       400  

Kaman Corp, Cl A

    35,988       803  

KAR Auction Services Inc *

     178,623       2,331  

Kelly Services Inc, Cl A

    42,427       717  

Kennametal Inc

    13,700       330  

ManpowerGroup Inc

    7,435       619  

Matson Inc

    10,098       631  

MDU Resources Group Inc

    26,754       812  

Moog Inc, Cl A

    12,478       1,095  

Mueller Industries Inc

    25,063       1,479  

Park-Ohio Holdings Corp

    11,604       142  

Primoris Services Corp

    28,879       634  

Quanex Building Products Corp

    7,497       177  

Resources Connection Inc

    4,918       90  

Rush Enterprises Inc, Cl A

    18,392       962  

Ryder System Inc

    16,552       1,383  

Safe Bulkers Inc

    26,340       77  

SkyWest Inc *

     9,274       153  

Terex Corp

    38,519       1,646  

Timken Co/The

    15,082       1,066  

Titan Machinery Inc *

     5,729       228  

Triton International Ltd

    24,968       1,717  

TrueBlue Inc *

     13,004       255  

Tutor Perini Corp *

     11,956       90  

UFP Industries Inc

    3,443       273  

V2X Inc *

     593       24  

Wabash National Corp

    45,802       1,035  

Werner Enterprises Inc

    24,308       979  

WESCO International Inc *

     13,994       1,752  

XPO Inc *

     28,284       942  
                 
              50,877  

Information Technology — 10.4%

        

ACI Worldwide Inc *

     113,028       2,600  

Adeia Inc

    29,641       281  

Amkor Technology Inc

    114,366       2,742  

Avnet Inc

    30,519       1,269  

Benchmark Electronics Inc

    27,947       746  

Cirrus Logic Inc *

     11,642       867  

Conduent Inc *

     52,230       212  

Consensus Cloud Solutions Inc *

     26,170       1,407  

CSG Systems International Inc

    16,439       940  

Diodes Inc *

     17,374       1,323  

Euronet Worldwide Inc *

     17,997       1,699  

Insight Enterprises Inc *

     6,347       636  

Jabil Inc

    31,912       2,176  

Methode Electronics Inc

    10,375       460  

NCR Corp *

     33,213       778  

NetScout Systems Inc *

     6,016       196  

Paysafe Ltd *

     9,033       125  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Photronics Inc *

     168,555     $ 2,837  

Rimini Street Inc *

     7,468       28  

Sanmina Corp *

     52,176       2,989  

ScanSource Inc *

     16,155       472  

Silicon Motion Technology Corp ADR

    30,923       2,010  

Super Micro Computer Inc *

     37,121       3,048  

TD SYNNEX Corp

    9,457       896  

Teledyne Technologies Inc *

     3,622       1,448  

TTM Technologies Inc *

     62,107       937  

Unisys Corp *

     8,449       43  

Verint Systems Inc *

     90,094       3,269  

Verra Mobility Corp, Cl A *

     86,224       1,192  

Vishay Intertechnology Inc

    40,518       874  

Xerox Holdings Corp

    27,788       406  
                 
              38,906  

Materials — 8.4%

        

AdvanSix Inc

    23,928       910  

Alamos Gold Inc, Cl A

    49,850       504  

Ashland Inc

    33,894       3,645  

Axalta Coating Systems Ltd *

     121,344       3,091  

Chemours Co/The

    21,776       667  

Clearwater Paper Corp *

     4,378       166  

Commercial Metals Co, Cl A

    91,854       4,437  

FMC Corp

    23,114       2,885  

FutureFuel Corp

    8,285       67  

Greif Inc, Cl A

    27,595       1,850  

Huntsman Corp

    40,038       1,100  

Ingevity Corp *

     10,362       730  

Koppers Holdings Inc

    24,402       688  

Kronos Worldwide Inc

    1,434       13  

Louisiana-Pacific Corp

    12,731       754  

Mativ Holdings Inc

    23,449       490  

Minerals Technologies Inc

    1,186       72  

O-I Glass Inc, Cl I *

     51,317       850  

Rayonier Advanced Materials Inc *

     3,940       38  

Schnitzer Steel Industries Inc, Cl A

    13,519       414  

Silgan Holdings Inc

    129,936       6,736  

SunCoke Energy Inc

    93,296       805  

TimkenSteel Corp *

     7,730       140  

Tredegar Corp

    8,703       89  

Valhi Inc

    1,055       23  

Warrior Met Coal Inc

    13,035       452  
                 
              31,616  

Real Estate — 6.4%

        

Acadia Realty Trust ‡

     1,711       25  

Alexander & Baldwin Inc ‡

     11,457       215  

American Assets Trust Inc ‡

     21,681       575  

Anywhere Real Estate Inc *

     33,998       217  

Apple Hospitality REIT Inc ‡

     52,469       828  

Brandywine Realty Trust ‡

     60,921       375  

Brixmor Property Group Inc ‡

     30,839       699  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

43

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CareTrust REIT Inc ‡

     23,568     $ 438  

Chatham Lodging Trust ‡

     48,074       590  

City Office REIT Inc ‡

     42,794       359  

Corporate Office Properties Trust ‡

     24,124       626  

CTO Realty Growth Inc ‡

     4,895       89  

DiamondRock Hospitality Co ‡

     6,594       54  

Diversified Healthcare Trust ‡

     48,583       31  

Douglas Elliman Inc ‡

     25,262       103  

EPR Properties, Cl A ‡

     18,681       705  

Equity Commonwealth *‡

     52,100       1,301  

Forestar Group Inc *‡

     7,553       116  

Franklin Street Properties Corp ‡

     96,591       264  

Gaming and Leisure Properties Inc ‡

     97,680       5,088  

Global Net Lease Inc ‡

     59,612       749  

Industrial Logistics Properties Trust ‡

     36,893       121  

Kite Realty Group Trust ‡

     34,398       724  

LXP Industrial Trust, Cl B ‡

     3,503       35  

Marcus & Millichap Inc ‡

     3,088       106  

Medical Properties Trust Inc ‡

     228,063       2,541  

Newmark Group Inc, Cl A ‡

     179,421       1,430  

Office Properties Income Trust ‡

     20,671       276  

Paramount Group Inc ‡

     2,496       15  

Pebblebrook Hotel Trust ‡

     4,360       58  

Piedmont Office Realty Trust Inc, Cl A ‡

     68,425       627  

PotlatchDeltic Corp ‡

     16,237       714  

RLJ Lodging Trust ‡

     16,338       173  

Sabra Health Care Inc ‡

     114,536       1,424  

Service Properties Trust ‡

     47,520       346  

SITE Centers Corp ‡

     4,500       61  

Summit Hotel Properties Inc ‡

     4,100       30  

Sunstone Hotel Investors Inc ‡

     17,789       172  

Tanger Factory Outlet Centers Inc ‡

     59,686       1,071  

Uniti Group Inc ‡

     98,055       542  

Urstadt Biddle Properties Inc, Cl A ‡

     8,782       166  

Xenia Hotels & Resorts Inc ‡

     5,651       74  
                 
              24,153  

Utilities — 0.7%

        

National Fuel Gas Co

    27,689       1,753  

Northwest Natural Holding Co

    7,079       337  

Otter Tail Corp

    2,828       166  

Portland General Electric Co

    8,796       431  

Unitil Corp

    1,587       81  

Via Renewables Inc, Cl A

    4,287       22  
                 
              2,790  

Total Common Stock

               

(Cost $312,190) ($ Thousands)

             368,480  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.2%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     739,860     $ 742  
                 
                 

Total Affiliated Partnership

                

(Cost $740) ($ Thousands)

     742  
                 
                 
                 

CASH EQUIVALENT — 1.9%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     7,238,750       7,239  
                 

Total Cash Equivalent

                

(Cost $7,239) ($ Thousands)

             7,239  
                 
                 

Total Investments in Securities — 100.1%

                

(Cost $320,169) ($ Thousands)

  $ 376,461  
                 
                 

 

 

 

44

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Value Fund (Concluded)

 

 

A list of the open futures contracts held at December 31, 2022 is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

Russell 2000 Index E-MINI

     25       Mar-2023     $ 2,235     $ 2,213     $ (22 )
                                         
                                         

 

 

 

Percentages are based on Net Assets of $376,190 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $734 ($ Thousands).

 

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $742 ($ Thousands).

 

 

 

 

 
 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 675     $ 521     $ (454 )     $ —     $ —     $ 742     $ 3     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     10,063       17,595       (20,419 )     —       —       7,239       64       —  

Totals

   $ 10,738     $ 18,116     $ (20,873 )   $ —     $ —     $ 7,981     $ 67     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

45

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Growth Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.8%
                 

Communication Services — 2.2%

        

Bandwidth Inc, Cl A *

     27,327     $ 627  

Gogo Inc *

     44,781       661  

Iridium Communications Inc

    23,302       1,198  

Magnite Inc *

     55,912       592  

Reservoir Media Inc *(A)

     147,432       880  

TechTarget Inc *

     3,042       134  

Thryv Holdings Inc *

     14,749       280  

Yelp Inc, Cl A *

     13,579       372  

Ziff Davis Inc *

     2,050       162  

ZipRecruiter Inc, Cl A *

     118,768       1,950  
                 
              6,856  

Consumer Discretionary — 10.8%

        

Academy Sports & Outdoors Inc

    23,058       1,211  

ADT Inc

    89,846       815  

American Eagle Outfitters Inc *

     77,798       1,086  

Bowlero Corp *(A)

     51,506       694  

Boyd Gaming Corp

    2,419       132  

Canada Goose Holdings Inc *

     38,891       693  

Carter's Inc

    8,940       667  

Cavco Industries Inc *

     1,905       431  

Chegg Inc *

     17,107       432  

Clarus Corp

    47,528       373  

Crocs Inc *

     14,430       1,565  

Dave & Buster's Entertainment Inc *

     12,954       459  

Deckers Outdoor Corp *

     1,939       774  

Dick's Sporting Goods Inc

    4,913       591  

Dillard's Inc, Cl A

    3,805       1,230  

Everi Holdings Inc *

     28,091       403  

Farfetch Ltd, Cl A *

     85,392       404  

Fox Factory Holding Corp *

     4,234       386  

Frontdoor Inc *

     104,335       2,170  

Funko Inc, Cl A *

     16,722       182  

Grand Canyon Education Inc *

     10,370       1,096  

Group 1 Automotive Inc

    2,237       403  

Hanesbrands Inc

    80,026       509  

Installed Building Products Inc

    3,942       337  

International Game Technology PLC

    23,241       527  

Lovesac Co/The *

     11,972       263  

Modine Manufacturing Co *

     36,248       720  

Monarch Casino & Resort Inc *

     5,109       393  

Movado Group Inc

    8,598       277  

Murphy USA Inc

    5,368       1,501  

NEOGAMES SA *

     73,006       890  

Oxford Industries Inc, Cl A

    9,226       860  

PlayAGS Inc *

     186,766       953  

Sally Beauty Holdings Inc *

     119,440       1,496  

SeaWorld Entertainment Inc *

     7,223       386  

Signet Jewelers Ltd

    9,010       613  

Skechers USA Inc, Cl A *

     59,950       2,515  

Skyline Champion Corp *

     13,161       678  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Stoneridge Inc *

     82,463     $ 1,778  

Stride Inc *

     9,849       308  

Target Hospitality Corp *

     58,671       888  

Texas Roadhouse Inc, Cl A

    4,174       380  

TravelCenters of America Inc *

     10,455       468  

Urban Outfitters Inc *

     25,479       608  

Vista Outdoor Inc *

     12,660       309  

Visteon Corp *

     3,228       422  
                 
              34,276  

Consumer Staples — 4.7%

        

Andersons Inc/The

    9,083       318  

Beauty Health Co/The *

     90,997       828  

Cal-Maine Foods Inc

    10,708       583  

Casey's General Stores Inc

    2,920       655  

Celsius Holdings Inc *

     14,682       1,527  

Chefs' Warehouse Inc/The *

     28,386       945  

Coca-Cola Consolidated Inc

    568       291  

elf Beauty Inc *

     33,809       1,870  

Hostess Brands Inc, Cl A *

     36,323       815  

MGP Ingredients Inc

    16,371       1,741  

Performance Food Group Co *

     22,582       1,319  

Post Holdings Inc *

     6,504       587  

Primo Water Corp

    14,551       226  

Simply Good Foods Co/The *

     17,003       647  

SpartanNash Co

    22,872       692  

Turning Point Brands Inc

    73,762       1,595  

United Natural Foods Inc *

     6,596       255  
                 
              14,894  

Energy — 6.2%

        

Cactus Inc, Cl A

    8,341       419  

ChampionX Corp

    35,351       1,025  

Chord Energy Corp

    2,202       301  

DHT Holdings Inc

    71,629       636  

Earthstone Energy Inc, Cl A *

     16,120       229  

Gulfport Energy Corp *

     3,675       271  

Helix Energy Solutions Group Inc *

     124,677       920  

HF Sinclair Corp

    9,845       511  

International Seaways Inc

    17,768       658  

Liberty Energy Inc, Cl A

    34,704       556  

Magnolia Oil & Gas Corp, Cl A

    22,777       534  

Murphy Oil Corp

    15,878       683  

Nabors Industries Ltd *

     2,807       435  

NexTier Oilfield Solutions Inc *

     36,432       337  

Noble Corp PLC *

     17,666       666  

Northern Oil and Gas Inc

    49,582       1,528  

NOV Inc

    36,915       771  

Par Pacific Holdings Inc *

     31,532       733  

PBF Energy Inc, Cl A

    27,319       1,114  

PDC Energy Inc, Cl A

    8,531       541  

Permian Resources Corp, Cl A

    106,351       1,000  

ProPetro Holding Corp *

     38,718       401  

 

 

 

46

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Growth Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ranger Oil Corp, Cl A

    21,087     $ 852  

RPC Inc

    48,465       431  

Scorpio Tankers Inc

    17,968       966  

Select Energy Services Inc, Cl A

    10,362       96  

SFL Corp Ltd

    9,950       92  

Teekay Tankers Ltd, Cl A *

     22,972       708  

Tidewater Inc *

     26,924       992  

Value Creation Inc *(B)(C)

     145,600       56  

Weatherford International PLC *

     30,217       1,539  
                 
              20,001  

Financials — 7.6%

        

Amerant Bancorp Inc, Cl A

    5,820       156  

American Equity Investment Life Holding Co

    10,435       476  

Associated Banc-Corp

    22,245       514  

Axos Financial Inc *

     2,965       113  

BancFirst Corp

    6,887       607  

Bancorp Inc/The *

     3,972       113  

Banner Corp

    11,698       739  

Blackstone Mortgage Trust Inc, Cl A ‡

     16,735       354  

City Holding Co

    1,073       100  

CNO Financial Group Inc

    18,712       428  

Customers Bancorp Inc *

     5,019       142  

CVB Financial Corp

    17,672       455  

Donnelley Financial Solutions Inc *

     2,501       97  

Employers Holdings Inc

    8,749       377  

Enova International Inc *

     13,151       505  

Enterprise Financial Services Corp

    25,390       1,243  

First Bank/Hamilton NJ

    11,277       155  

First Financial Bancorp

    19,426       471  

First Foundation Inc

    7,018       100  

Fulton Financial Corp

    50,504       850  

Guaranty Bancshares Inc/TX

    2,745       95  

Hancock Whitney Corp, Cl A

    7,303       353  

Hanmi Financial Corp

    30,135       746  

Hannon Armstrong Sustainable Infrastructure Capital Inc ‡

     17,927       519  

HBT Financial Inc

    10,948       214  

Heartland Financial USA Inc

    11,845       552  

Heritage Financial Corp/WA

    3,045       93  

Home Bancorp Inc

    2,394       96  

HomeTrust Bancshares Inc

    4,192       101  

Houlihan Lokey Inc, Cl A

    6,322       551  

Kinsale Capital Group Inc

    4,259       1,114  

KKR Real Estate Finance Trust Inc ‡

     19,693       275  

Mercantile Bank Corp

    6,036       202  

Mr Cooper Group Inc *

     14,057       564  

MVB Financial Corp

    5,912       130  

National Bank Holdings Corp, Cl A

    8,779       369  

Navient Corp

    12,822       211  

NBT Bancorp Inc

    10,913       474  

Old National Bancorp/IN, Cl A

    19,516       351  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Orrstown Financial Services Inc

    5,121     $ 119  

Preferred Bank/Los Angeles CA

    7,696       574  

Provident Financial Services Inc

    37,075       792  

RBB Bancorp

    9,292       194  

RenaissanceRe Holdings Ltd

    4,053       747  

Renasant Corp

    9,830       369  

RLI Corp

    9,514       1,249  

S&T Bancorp Inc

    17,015       582  

ServisFirst Bancshares Inc

    3,508       242  

StoneX Group Inc *

     8,833       842  

Towne Bank/Portsmouth VA

    15,623       482  

Trustmark Corp

    12,283       429  

United Bankshares Inc/WV

    16,982       688  

Washington Federal Inc

    22,052       740  

WisdomTree Inc

    208,395       1,136  
                 
              24,190  

Health Care — 23.9%

        

4D Molecular Therapeutics Inc *

     34,435       765  

AbCellera Biologics Inc *

     40,222       408  

Acadia Healthcare Co Inc, Cl A *

     12,612       1,038  

ADMA Biologics Inc *

     163,076       633  

Akero Therapeutics Inc *

     19,396       1,063  

Albireo Pharma Inc *

     26,109       564  

Alkermes PLC *

     27,420       717  

AMN Healthcare Services Inc *

     9,426       969  

Amphastar Pharmaceuticals Inc *

     15,965       447  

Amylyx Pharmaceuticals Inc *

     18,810       695  

Arbutus Biopharma Corp *

     73,832       172  

Arcellx Inc *

     45,285       1,403  

Artivion Inc *

     46,721       566  

Arvinas Inc *

     10,477       358  

Avid Bioservices Inc *

     19,092       263  

Axogen Inc *

     58,474       584  

Axonics Inc *

     12,826       802  

C4 Therapeutics Inc *

     77,945       460  

Cardiovascular Systems Inc *

     55,577       757  

CareDx Inc *

     45,421       518  

Catalyst Pharmaceuticals Inc *

     108,515       2,018  

Celldex Therapeutics Inc *

     14,177       632  

Certara Inc *

     74,986       1,205  

Chinook Therapeutics Inc *

     31,747       832  

Collegium Pharmaceutical Inc *

     9,396       218  

CorVel Corp *

     1,759       256  

Cross Country Healthcare Inc *

     14,340       381  

DICE Therapeutics Inc *

     41,293       1,288  

Eagle Pharmaceuticals Inc/DE *

     8,789       257  

Ensign Group Inc/The

    6,807       644  

Erasca Inc *

     85,761       370  

Evolent Health Inc, Cl A *

     25,003       702  

Haemonetics Corp *

     21,673       1,705  

Halozyme Therapeutics Inc *

     26,308       1,497  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

47

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Growth Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Harmony Biosciences Holdings Inc *

     21,586     $ 1,189  

HealthEquity Inc *

     30,864       1,902  

Heron Therapeutics Inc *

     164,901       412  

ImmunoGen Inc *

     15,787       78  

Inhibrx Inc *

     32,931       811  

Innoviva Inc *

     26,228       348  

Inspire Medical Systems Inc *

     4,277       1,077  

Intercept Pharmaceuticals Inc *

     46,463       575  

Intra-Cellular Therapies Inc, Cl A *

     7,478       396  

Ironwood Pharmaceuticals Inc, Cl A *

     44,101       546  

iTeos Therapeutics Inc *

     15,248       298  

IVERIC bio Inc *

     32,618       698  

Karuna Therapeutics Inc *

     4,353       855  

Kiniksa Pharmaceuticals Ltd, Cl A *

     65,034       974  

Krystal Biotech Inc *

     9,581       759  

Lantheus Holdings Inc *

     22,324       1,138  

Madrigal Pharmaceuticals Inc *

     3,878       1,126  

MannKind Corp *

     119,296       629  

MaxCyte Inc *

     137,588       751  

Medpace Holdings Inc *

     6,435       1,367  

Merit Medical Systems Inc *

     43,687       3,085  

Mirum Pharmaceuticals Inc *

     27,155       530  

Neurocrine Biosciences Inc *

     6,858       819  

Nevro Corp *

     16,531       655  

NextGen Healthcare Inc *

     33,251       624  

Nurix Therapeutics Inc *

     28,553       314  

Nuvalent Inc, Cl A *

     15,626       465  

Omnicell Inc *

     13,637       688  

Paragon 28 Inc *

     32,316       618  

PDS Biotechnology Corp *

     32,049       423  

Pediatrix Medical Group Inc *

     61,912       920  

Penumbra Inc *

     2,847       633  

Phreesia Inc *

     39,433       1,276  

PMV Pharmaceuticals Inc *

     40,469       352  

Prestige Consumer Healthcare Inc, Cl A *

     20,011       1,253  

Progyny Inc *

     8,920       278  

Prometheus Biosciences Inc *

     9,092       1,000  

Prothena Corp PLC *

     12,508       753  

Provention Bio Inc *

     68,563       725  

QuidelOrtho Corp *

     35,025       3,001  

Recursion Pharmaceuticals Inc, Cl A *

     26,054       201  

Relay Therapeutics Inc *

     28,142       420  

Replimune Group Inc *

     25,090       682  

Rhythm Pharmaceuticals Inc *

     29,773       867  

Sarepta Therapeutics Inc *

     6,176       800  

Shockwave Medical Inc *

     2,319       477  

Sight Sciences Inc *

     104,670       1,278  

Silk Road Medical Inc *

     22,896       1,210  

Sonendo Inc *(A)

     139,610       395  

SpringWorks Therapeutics Inc *

     29,626       771  

Supernus Pharmaceuticals Inc *

     44,296       1,580  

Tenet Healthcare Corp *

     11,459       559  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

TransMedics Group Inc *

     22,197     $ 1,370  

UFP Technologies Inc *

     6,832       805  

Vaxcyte Inc *

     20,701       993  

Ventyx Biosciences Inc *

     19,038       624  

Veracyte Inc *

     43,259       1,027  

Veradigm Inc *

     26,756       472  

Viking Therapeutics Inc *

     82,608       777  

Viridian Therapeutics Inc *

     23,525       687  

Zentalis Pharmaceuticals Inc *

     5,583       112  
                 
              75,635  

Industrials — 21.0%

        

ACV Auctions Inc, Cl A *

     239,488       1,966  

Air Transport Services Group Inc *

     13,011       338  

Albany International Corp, Cl A

    4,367       431  

Alight Inc, Cl A *

     328,900       2,750  

Apogee Enterprises Inc

    12,442       553  

Applied Industrial Technologies Inc, Cl A

    7,909       997  

Arcosa Inc

    7,207       392  

Array Technologies Inc *

     34,613       669  

Atkore Inc *

     9,641       1,093  

Atlas Air Worldwide Holdings Inc *

     1,765       178  

Avis Budget Group Inc *

     1,439       236  

Beacon Roofing Supply Inc *

     12,460       658  

Boise Cascade Co

    12,737       875  

Byrna Technologies Inc *

     138,439       1,085  

Casella Waste Systems Inc, Cl A *

     4,713       374  

CBIZ Inc *

     17,184       805  

Cimpress PLC *

     27,104       748  

Clean Harbors Inc *

     10,352       1,181  

Comfort Systems USA Inc

    13,100       1,508  

Covenant Logistics Group Inc, Cl A

    12,320       426  

Curtiss-Wright Corp

    4,264       712  

Dycom Industries Inc *

     11,984       1,122  

EMCOR Group Inc

    12,462       1,846  

Encore Wire Corp

    2,296       316  

EnPro Industries Inc

    6,221       676  

Evoqua Water Technologies Corp *

     15,408       610  

Federal Signal Corp

    16,903       785  

Fluor Corp *

     25,159       872  

Forrester Research Inc *

     16,507       590  

Forward Air Corp

    18,500       1,940  

GMS Inc *

     15,701       782  

Griffon Corp

    36,450       1,305  

H&E Equipment Services Inc

    12,810       582  

Heartland Express Inc

    86,895       1,333  

Herc Holdings Inc

    2,749       362  

Heritage-Crystal Clean Inc *

     104,150       3,383  

Hillenbrand Inc

    17,634       752  

Hudson Technologies Inc *

     248,012       2,510  

Huron Consulting Group Inc *

     20,948       1,521  

ICF International Inc, Cl A

    4,146       411  

 

 

 

48

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Growth Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Janus International Group Inc *

     38,752     $ 369  

John Bean Technologies Corp, Cl A

    9,629       879  

Kadant Inc

    4,376       777  

Kirby Corp *

     23,271       1,498  

Korn Ferry

    4,850       246  

Legalzoom.com Inc *

     113,919       882  

Matson Inc

    23,523       1,470  

Maxar Technologies Inc

    4,476       232  

McGrath RentCorp

    3,943       389  

MRC Global Inc *

     34,420       399  

NOW Inc *

     110,037       1,397  

Parsons Corp *

     15,170       702  

Quanex Building Products Corp

    17,208       407  

Resources Connection Inc

    35,249       648  

Ritchie Bros Auctioneers Inc

    56,847       3,287  

Rocket Lab USA Inc *

     156,532       590  

Rush Enterprises Inc, Cl A

    15,765       824  

Shoals Technologies Group Inc, Cl A *

     23,374       577  

SP Plus Corp *

     32,809       1,139  

SPX Technologies Inc *

     10,241       672  

Sterling Infrastructure Inc *

     22,016       722  

Tennant Co

    22,508       1,386  

Terex Corp

    10,256       438  

Titan International Inc *

     22,409       343  

Titan Machinery Inc *

     33,606       1,335  

Transcat Inc *

     3,120       221  

TriNet Group Inc *

     18,427       1,249  

TrueBlue Inc *

     61,286       1,200  

Valmont Industries Inc

    2,985       987  

WillScot Mobile Mini Holdings Corp, Cl A *

     34,868       1,575  
                 
              66,513  

Information Technology — 17.3%

        

8x8 Inc *

     241,831       1,045  

A10 Networks Inc

    55,536       923  

ADTRAN Holdings Inc

    29,313       551  

Aehr Test Systems *

     31,430       632  

Agilysys Inc *

     12,055       954  

Alkami Technology Inc *

     81,488       1,189  

Allegro MicroSystems Inc *

     77,320       2,321  

Amkor Technology Inc

    26,920       645  

Asure Software Inc *

     140,202       1,309  

Avid Technology Inc *

     3,137       83  

Axcelis Technologies Inc *

     17,019       1,351  

Badger Meter Inc

    12,903       1,407  

Belden Inc

    22,819       1,641  

Benchmark Electronics Inc

    30,418       812  

Blackbaud Inc, Cl A *

     6,651       391  

Box Inc, Cl A *

     37,556       1,169  

Calix Inc *

     16,026       1,097  

Clearfield Inc *

     7,857       740  

Consensus Cloud Solutions Inc *

     24,532       1,319  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Digi International Inc *

     43,043     $ 1,573  

Diodes Inc *

     10,914       831  

EngageSmart Inc *

     21,821       384  

ExlService Holdings Inc *

     15,760       2,670  

Extreme Networks Inc *

     70,202       1,285  

Fabrinet *

     7,890       1,012  

Hackett Group Inc/The

    6,806       139  

Harmonic Inc, Cl A *

     57,424       752  

Impinj Inc *

     12,652       1,381  

International Money Express Inc *

     99,226       2,418  

Lattice Semiconductor Corp *

     18,802       1,220  

LiveRamp Holdings Inc *

     16,923       397  

MACOM Technology Solutions Holdings Inc *

     8,460       533  

Mirion Technologies Inc *

     184,678       1,221  

Model N Inc *

     44,911       1,821  

Momentive Global Inc *

     235,172       1,646  

Monday.com Ltd *

     10,071       1,229  

Napco Security Technologies Inc *

     22,140       608  

Nutanix Inc, Cl A *

     24,328       634  

PagerDuty Inc *

     26,709       709  

Payoneer Global Inc *

     100,955       552  

Plexus Corp *

     9,238       951  

PowerSchool Holdings Inc, Cl A *

     34,430       795  

Progress Software Corp

    15,319       773  

Qualys Inc *

     12,293       1,380  

Rambus Inc *

     42,463       1,521  

Sanmina Corp *

     40,161       2,301  

SPS Commerce Inc *

     5,832       749  

Sumo Logic Inc *

     34,530       280  

Super Micro Computer Inc *

     19,560       1,606  

Tenable Holdings Inc *

     9,553       364  

Upland Software Inc *

     83,814       598  

Vertex Inc, Cl A *

     34,007       493  

Vishay Intertechnology Inc

    17,522       378  
                 
              54,783  

Materials — 2.0%

        

ATI Inc *

     24,731       738  

Clearwater Paper Corp *

     8,984       340  

Commercial Metals Co, Cl A

    8,629       417  

Ecovyst Inc *

     50,217       445  

Ingevity Corp *

     5,622       396  

Innospec Inc

    3,894       401  

Kronos Worldwide Inc

    10,538       99  

Livent Corp *

     49,152       977  

MP Materials Corp *

     2,931       71  

O-I Glass Inc, Cl I *

     24,072       399  

Ranpak Holdings Corp, Cl A *

     212,175       1,224  

Silgan Holdings Inc

    14,400       746  
                 
              6,253  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

49

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Small Cap Growth Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Real Estate — 2.2%

        

American Assets Trust Inc ‡

     14,414     $ 382  

Armada Hoffler Properties Inc ‡

     23,329       268  

DiamondRock Hospitality Co ‡

     52,142       427  

Equity Commonwealth *‡

     14,574       364  

Farmland Partners Inc ‡

     62,761       782  

Independence Realty Trust Inc ‡

     64,169       1,082  

Kennedy-Wilson Holdings Inc ‡

     23,573       371  

Kite Realty Group Trust ‡

     18,624       392  

Marcus & Millichap Inc ‡

     2,926       101  

National Storage Affiliates Trust ‡

     19,173       692  

Newmark Group Inc, Cl A ‡

     21,634       172  

Plymouth Industrial REIT Inc ‡

     20,392       391  

SITE Centers Corp ‡

     64,434       880  

Tanger Factory Outlet Centers Inc ‡

     26,231       471  

Uniti Group Inc ‡

     62,362       345  
                 
              7,120  

Utilities — 0.9%

        

ALLETE Inc

    7,013       453  

Clearway Energy Inc, Cl C

    10,956       349  

New Jersey Resources Corp

    8,295       412  

Northwest Natural Holding Co

    8,550       407  

Otter Tail Corp

    12,508       734  

Portland General Electric Co

    8,353       409  
                 
              2,764  

Total Common Stock

               

(Cost $299,857) ($ Thousands)

             313,285  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.4%

SEI Liquidity Fund, LP

                

4.240% **†(D)

     1,309,288     $ 1,305  
                 
                 

Total Affiliated Partnership

                

(Cost $1,309) ($ Thousands)

     1,305  
                 
                 
                 

CASH EQUIVALENT — 1.2%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     3,708,343       3,708  
                 

Total Cash Equivalent

                

(Cost $3,708) ($ Thousands)

             3,708  
                 
                 

Total Investments in Securities — 100.4%

                

(Cost $304,874) ($ Thousands)

  $ 318,298  
                 
                 

 

 

Percentages are based on Net Assets of $316,894 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $1,342 ($ Thousands).

(B)

Level 3 security in accordance with fair value hierarchy.

(C)

Security considered restricted, excluding 144A. The total market value of such securities as of December 31, 2022 was $56 ($ Thousands) and represented 0.0% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost.

(D)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $1,305 ($ Thousands).

 

 
 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 3,740     $ 11,334     $ (13,769 )   $ —     $ —     $ 1,305     $ 26     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     6,614       17,969       (20,875 )     —       —       3,708       44       —  

Totals

   $ 10,354     $ 29,303     $ (34,644 )   $ —     $ —     $ 5,013     $ 70     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

A list of the restricted securities held by the Fund at December 31, 2022, is as follows:

 

Description

  

Number of Shares

    

Acquisition Date

    

Cost ($ Thousands)

    

Market Value
($ Thousands)

  

Common Stock

                                

Value Creation Inc

     145,600       1/7/2009     $ 1,491     $ 56  
                    $ 1,491     $ 56  

 

See “Glossary” for abbreviations.

 

 

50

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.8%
                 

Communication Services — 5.2%

        

Anterix Inc *

     1,865     $ 60  

ATN International Inc

    16,608       753  

Cinemark Holdings Inc *

     380,744       3,297  

Cogent Communications Holdings Inc

    18,392       1,050  

EchoStar Corp, Cl A *

     3,402       57  

Electronic Arts Inc

    2,290       280  

IAC Inc *

     3,105       138  

Interpublic Group of Cos Inc/The

    24,754       825  

Iridium Communications Inc

    9,732       500  

John Wiley & Sons Inc, Cl A

    114,407       4,583  

Lions Gate Entertainment Corp, Cl A *

     264,008       1,507  

Match Group Inc *

     1,449       60  

Nexstar Media Group Inc, Cl A

    68,960       12,070  

Ooma Inc *

     8,203       112  

Playstudios Inc *

     56,187       218  

Shutterstock Inc

    14,686       774  

Take-Two Interactive Software Inc, Cl A *

     3,431       357  

World Wrestling Entertainment Inc, Cl A

    47,069       3,225  

Ziff Davis Inc *

     152,330       12,049  
                 
              41,915  

Consumer Discretionary — 8.7%

        

Advance Auto Parts Inc

    10,274       1,511  

American Eagle Outfitters Inc

    398,373       5,561  

Arko Corp

    54,778       475  

Asbury Automotive Group Inc *

     3,907       700  

AutoNation Inc *

     1,730       186  

Bloomin' Brands Inc

    189,746       3,818  

Bright Horizons Family Solutions Inc *

     1,538       97  

Brinker International Inc *

     203,887       6,506  

Carter's Inc

    4,159       310  

Cavco Industries Inc *

     1,857       420  

Dave & Buster's Entertainment Inc *

     43,840       1,554  

Deckers Outdoor Corp *

     3,400       1,357  

Duolingo Inc, Cl A *

     3,568       254  

Etsy Inc *

     6,503       779  

Group 1 Automotive Inc

    4,472       807  

Haverty Furniture Cos Inc

    17,831       533  

Helen of Troy Ltd *

     5,659       628  

Hibbett Inc

    17,681       1,206  

JAKKS Pacific Inc *

     53,967       944  

LCI Industries

    16,429       1,519  

Leslie's Inc *

     89,696       1,095  

Lithia Motors Inc, Cl A

    24,454       5,007  

LKQ Corp

    70,239       3,751  

Modine Manufacturing Co *

     342,131       6,795  

Murphy USA Inc

    11,043       3,087  

Ollie's Bargain Outlet Holdings Inc *

     3,893       182  

Overstock.com Inc *

     6,309       122  

Penske Automotive Group Inc, Cl A

    1,099       126  

Pool Corp

    15,000       4,535  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Service Corp International/US

    8,000     $ 553  

Skechers USA Inc, Cl A *

     19,536       820  

Sleep Number Corp *

     2,049       53  

Standard Motor Products Inc

    15,384       535  

Strategic Education Inc

    9,665       757  

Stride Inc *

     38,570       1,207  

Taylor Morrison Home Corp, Cl A *

     60,000       1,821  

Udemy Inc *

     70,711       746  

Urban Outfitters Inc *

     129,062       3,078  

Vail Resorts Inc

    9,517       2,268  

Victoria's Secret & Co *

     83,125       2,974  

Whirlpool Corp

    3,320       470  

Williams-Sonoma Inc

    7,799       896  

Winmark Corp

    1,329       313  
                 
              70,356  

Consumer Staples — 4.4%

        

BJ's Wholesale Club Holdings Inc *

     24,382       1,613  

Calavo Growers Inc

    30,440       895  

Cal-Maine Foods Inc

    19,638       1,069  

Casey's General Stores Inc

    6,437       1,444  

Central Garden & Pet Co, Cl A *

     15,496       555  

Coca-Cola Consolidated Inc

    2,500       1,281  

Darling Ingredients Inc *

     16,819       1,053  

Flowers Foods Inc

    23,770       683  

Fresh Del Monte Produce Inc

    14,071       369  

Fresh Market Inc *

     17,502       —  

Freshpet Inc *

     8,866       468  

Hostess Brands Inc, Cl A *

     87,053       1,953  

Ingles Markets Inc, Cl A

    6,621       639  

Ingredion Inc

    14,851       1,454  

J & J Snack Foods Corp

    7,030       1,052  

John B Sanfilippo & Son Inc

    5,357       436  

Kroger Co/The

    6,156       274  

Lancaster Colony Corp

    6,500       1,282  

Medifast Inc

    25,446       2,935  

Performance Food Group Co *

     6,364       372  

Pilgrim's Pride Corp *

     70,809       1,680  

PriceSmart Inc

    12,015       730  

Primo Water Corp

    30,856       479  

Seaboard Corp

    144       544  

Seneca Foods Corp, Cl A *

     315       19  

SpartanNash Co

    5,962       180  

Spectrum Brands Holdings Inc

    68,298       4,161  

Sprouts Farmers Market Inc *

     27,834       901  

Tootsie Roll Industries Inc

    5,885       251  

TreeHouse Foods Inc *

     9,556       472  

Universal Corp/VA

    18,077       955  

US Foods Holding Corp *

     10,313       351  

USANA Health Sciences Inc *

     4,731       252  

Vector Group Ltd

    6,608       78  

Village Super Market Inc, Cl A

    15,188       354  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

51

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Vital Farms Inc *

     111,395     $ 1,662  

Weis Markets Inc

    27,069       2,228  
                 
              35,124  

Energy — 6.0%

        

Ardmore Shipping Corp *

     69,843       1,006  

ChampionX Corp

    14,821       430  

Coterra Energy Inc

    69,602       1,710  

Delek US Holdings Inc

    329,791       8,904  

DHT Holdings Inc

    134,402       1,194  

Diamondback Energy Inc, Cl A

    14,147       1,935  

DT Midstream Inc

    70,000       3,868  

Golar LNG Ltd *

     45,458       1,036  

Helmerich & Payne Inc

    27,627       1,370  

HF Sinclair Corp

    73,441       3,811  

International Seaways Inc

    44,523       1,648  

Liberty Energy Inc, Cl A

    72,157       1,155  

Magnolia Oil & Gas Corp, Cl A

    130,870       3,069  

Marathon Petroleum Corp

    7,296       849  

NexTier Oilfield Solutions Inc *

     77,121       713  

Ovintiv Inc

    14,602       740  

Patterson-UTI Energy Inc

    27,328       460  

PBF Energy Inc, Cl A

    42,772       1,744  

Pioneer Natural Resources Co

    7,509       1,715  

Ranger Energy Services Inc, Cl A *

     67,715       746  

REX American Resources Corp *

     69       2  

Scorpio Tankers Inc

    14,897       801  

SFL Corp Ltd

    96,342       888  

Sitio Royalties Corp, Cl A

    13,653       394  

Southwestern Energy Co *

     436,877       2,556  

Teekay Corp *

     14,563       66  

Teekay Tankers Ltd, Cl A *

     28,298       872  

Viper Energy Partners LP

    173,304       5,509  
                 
              49,191  

Financials — 18.4%

        

1st Source Corp

    16,788       891  

Allstate Corp/The

    1,408       191  

Amalgamated Financial Corp

    43,074       992  

A-Mark Precious Metals Inc

    15,834       550  

American Equity Investment Life Holding Co

    164,447       7,502  

American Financial Group Inc/OH

    13,674       1,877  

Ameriprise Financial Inc

    4,701       1,464  

AMERISAFE Inc

    1,124       58  

Arch Capital Group Ltd *

     10,008       628  

Argo Group International Holdings Ltd

    100,090       2,587  

Arrow Financial Corp

    21,180       718  

Associated Banc-Corp

    22,000       508  

Assurant Inc

    5,558       695  

Axos Financial Inc *

     48,113       1,839  

Bank of Marin Bancorp

    6,366       209  

Bank of NT Butterfield & Son Ltd/The

    31,268       932  

Bank OZK

    55,988       2,243  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

BankUnited Inc

    127,615     $ 4,335  

BGC Partners Inc, Cl A

    1,099,126       4,144  

Business First Bancshares Inc

    2,728       60  

Camden National Corp

    18,864       786  

Capital City Bank Group Inc

    9,652       314  

Capstar Financial Holdings Inc

    6,027       106  

Carter Bankshares Inc *

     3,328       55  

Cathay General Bancorp

    15,000       612  

Cboe Global Markets Inc

    3,600       452  

Central Pacific Financial Corp

    6,509       132  

City Holding Co

    10,410       969  

CNB Financial Corp/PA

    44,272       1,053  

CNO Financial Group Inc

    289,034       6,604  

Coastal Financial Corp/WA *

     9,000       428  

Columbia Banking System Inc

    113,504       3,420  

Columbia Financial Inc *

     91,296       1,974  

Community Trust Bancorp Inc

    27,038       1,242  

CVB Financial Corp

    49,470       1,274  

Diamond Hill Investment Group Inc

    2,001       370  

Donegal Group Inc, Cl A

    4,178       59  

Donnelley Financial Solutions Inc *

     39,415       1,523  

Eagle Bancorp Inc

    29,167       1,285  

Employers Holdings Inc

    17,888       771  

Enstar Group Ltd *

     314       73  

Equity Bancshares Inc, Cl A

    1,815       59  

Everest Re Group Ltd

    6,060       2,008  

Farmers National Banc Corp

    24,544       347  

Financial Institutions Inc

    51,330       1,250  

First American Financial Corp

    3,200       167  

First Busey Corp

    9,425       233  

First Citizens BancShares Inc/NC, Cl A

    775       588  

First Commonwealth Financial Corp

    316,920       4,427  

First Community Bankshares Inc

    66,479       2,254  

First Financial Corp/IN

    34,238       1,578  

First Interstate BancSystem Inc, Cl A

    51,000       1,971  

First Merchants Corp

    85,646       3,521  

First Mid Bancshares Inc

    1,866       60  

First of Long Island Corp/The

    28,487       513  

FNB Corp/PA

    494,669       6,455  

German American Bancorp Inc

    1,528       57  

Glacier Bancorp Inc, Cl A

    18,951       937  

Great Southern Bancorp Inc

    13,042       776  

Hanover Insurance Group Inc/The, Cl A

    25,705       3,473  

Heritage Commerce Corp

    4,211       55  

Heritage Financial Corp/WA

    12,204       374  

HomeTrust Bancshares Inc

    4,975       120  

Horace Mann Educators Corp, Cl A

    21,962       821  

Independent Bank Corp

    5,600       473  

Independent Bank Corp/MI

    12,857       308  

Investar Holding Corp

    78,161       1,683  

James River Group Holdings Ltd

    10,476       219  

Lincoln National Corp

    12,738       391  

 

 

 

52

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

MarketAxess Holdings Inc

    350     $ 98  

Mercantile Bank Corp

    1,832       61  

Merchants Bancorp/IN

    59,391       1,444  

Mid Penn Bancorp Inc

    1,871       56  

MidWestOne Financial Group Inc

    2,052       65  

Morningstar Inc, Cl A

    1,600       347  

NBT Bancorp Inc

    27,152       1,179  

Northrim BanCorp Inc

    1,087       59  

OFG Bancorp

    133,441       3,678  

Old National Bancorp/IN, Cl A

    323,230       5,812  

Old Second Bancorp Inc

    28,000       449  

Origin Bancorp Inc

    10,420       382  

Pacific Premier Bancorp Inc

    84,780       2,676  

PacWest Bancorp

    261,480       6,001  

PCSB Financial Corp

    35,655       679  

Peoples Bancorp Inc/OH

    2,043       58  

PJT Partners Inc, Cl A

    14,364       1,058  

Popular Inc

    11,261       747  

Preferred Bank/Los Angeles CA

    9,178       685  

Provident Financial Services Inc

    24,819       530  

Reinsurance Group of America Inc, Cl A

    7,938       1,128  

RenaissanceRe Holdings Ltd

    6,981       1,286  

Renasant Corp

    24,000       902  

Republic Bancorp Inc/KY, Cl A

    17,019       696  

S&T Bancorp Inc

    16,259       556  

Safety Insurance Group Inc

    7,585       639  

Selective Insurance Group Inc

    19,688       1,745  

ServisFirst Bancshares Inc

    26,000       1,792  

Sierra Bancorp

    29,264       622  

Southside Bancshares Inc

    5,386       194  

Starwood Property Trust Inc ‡

     237,454       4,353  

Stifel Financial Corp

    5,705       333  

StoneX Group Inc *

     6,000       572  

SVB Financial Group, Cl B *

     3,699       851  

Tompkins Financial Corp

    716       56  

Towne Bank/Portsmouth VA

    17,345       535  

TPG RE Finance Trust Inc ‡

     58,414       397  

TriCo Bancshares

    22,196       1,132  

TrustCo Bank Corp NY

    19,056       716  

Trustmark Corp

    15,000       524  

Umpqua Holdings Corp

    229,225       4,092  

United Fire Group Inc

    57,059       1,561  

Univest Financial Corp

    50,690       1,324  

Washington Federal Inc

    37,676       1,264  

Westamerica BanCorp

    37,607       2,219  

Wintrust Financial Corp

    10,000       845  
                 
              147,441  

Health Care — 12.6%

        

ACADIA Pharmaceuticals Inc *

     87,758       1,397  

Akero Therapeutics Inc *

     30,983       1,698  

Albireo Pharma Inc *

     27,070       585  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Alignment Healthcare Inc *

     69,319     $ 815  

Alkermes PLC *

     68,608       1,793  

AmerisourceBergen Corp, Cl A

    4,713       781  

Amicus Therapeutics Inc *

     125,521       1,533  

AMN Healthcare Services Inc *

     53,282       5,478  

Amphastar Pharmaceuticals Inc *

     39,594       1,109  

AnaptysBio Inc *

     10,097       313  

ANI Pharmaceuticals Inc *

     11,989       482  

Arcutis Biotherapeutics Inc *

     12,277       182  

Ascendis Pharma A/S ADR *

     9,780       1,194  

Atea Pharmaceuticals Inc *

     109,061       525  

AtriCure Inc *

     14,000       621  

Atrion Corp

    890       498  

Aura Biosciences Inc *

     9,471       99  

Avanos Medical Inc *

     13,906       376  

Avista Public Acquisition Corp II, Cl W *

     75,686       273  

Axogen Inc *

     110,178       1,100  

Axonics Inc *

     10,000       625  

Biohaven Ltd *

     7,698       107  

BioMarin Pharmaceutical Inc *

     11,000       1,138  

Bio-Techne Corp

    11,452       949  

Catalyst Pharmaceuticals Inc *

     76,995       1,432  

Charles River Laboratories International Inc *

     7,525       1,640  

Chemed Corp

    5,665       2,892  

Chinook Therapeutics Inc *

     21,466       562  

Co-Diagnostics Inc *

     60,761       153  

Collegium Pharmaceutical Inc *

     46,029       1,068  

Computer Programs and Systems Inc *

     21,134       575  

Corcept Therapeutics Inc *

     24,000       487  

CorVel Corp *

     3,132       455  

Cross Country Healthcare Inc *

     23,965       637  

Cullinan Oncology Inc *

     12,598       133  

Day One Biopharmaceuticals Inc *

     5,609       121  

Deciphera Pharmaceuticals Inc *

     66,481       1,090  

Doximity Inc, Cl A *

     38,194       1,282  

Dyne Therapeutics Inc *

     5,352       62  

Eagle Pharmaceuticals Inc/DE *

     11,371       332  

Encompass Health Corp

    19,928       1,192  

Enhabit Inc *

     9,964       131  

Enovis Corp *

     57,084       3,055  

Ensign Group Inc/The

    4,885       462  

Globus Medical Inc, Cl A *

     14,804       1,100  

Harmony Biosciences Holdings Inc *

     2,962       163  

HealthEquity Inc *

     10,875       670  

HealthStream Inc *

     64,547       1,603  

ICON PLC *

     7,886       1,532  

ICU Medical Inc *

     5,669       893  

IDEXX Laboratories Inc *

     458       187  

Incyte Corp *

     3,300       265  

Innoviva Inc *

     11,158       148  

Insmed Inc *

     25,371       507  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

53

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Inspire Medical Systems Inc *

     2,500     $ 630  

Integra LifeSciences Holdings Corp *

     50,747       2,845  

Intra-Cellular Therapies Inc, Cl A *

     4,832       256  

Iovance Biotherapeutics Inc *

     144,344       922  

Jazz Pharmaceuticals PLC *

     5,848       932  

Kezar Life Sciences Inc *

     30,442       214  

Kiniksa Pharmaceuticals Ltd, Cl A *

     31,021       465  

Lantheus Holdings Inc *

     12,701       647  

LeMaitre Vascular Inc

    3,528       162  

LHC Group Inc *

     6,905       1,117  

Ligand Pharmaceuticals Inc *

     15,446       1,032  

LivaNova PLC *

     30,380       1,687  

Masimo Corp *

     3,863       572  

Medpace Holdings Inc *

     13,095       2,782  

Meridian Bioscience Inc *

     15,000       498  

Merit Medical Systems Inc *

     21,642       1,528  

Mersana Therapeutics Inc *

     221,101       1,296  

Mettler-Toledo International Inc *

     411       594  

Neurocrine Biosciences Inc *

     18,038       2,155  

Neuronetics Inc *

     321,428       2,208  

NextGen Healthcare Inc *

     76,488       1,436  

Novocure Ltd *

     2,480       182  

OmniAB Inc *

     11,714       —  

Option Care Health Inc *

     42,714       1,285  

Organon & Co

    41,904       1,170  

Orthofix Medical Inc *

     3,709       76  

Pacira BioSciences Inc *

     44,489       1,718  

Penumbra Inc *

     1,427       317  

PerkinElmer Inc

    12,707       1,782  

Perrigo Co PLC

    27,874       950  

Phibro Animal Health Corp, Cl A

    33,788       453  

Phreesia Inc *

     20,000       647  

Premier Inc, Cl A

    80,870       2,829  

Prestige Consumer Healthcare Inc, Cl A *

     46,904       2,936  

PTC Therapeutics Inc *

     22,345       853  

Puma Biotechnology Inc *

     327,172       1,384  

Revance Therapeutics Inc *

     87,429       1,614  

Shockwave Medical Inc *

     2,788       573  

SIGA Technologies Inc

    2,198       16  

Supernus Pharmaceuticals Inc *

     50,405       1,798  

Teleflex Inc

    5,980       1,493  

Tenet Healthcare Corp *

     6,108       298  

Theravance Biopharma Inc *

     70,109       787  

UFP Technologies Inc *

     9,200       1,085  

United Therapeutics Corp *

     7,055       1,962  

Utah Medical Products Inc

    6,164       620  

Vanda Pharmaceuticals Inc *

     20,715       153  

Viemed Healthcare Inc *

     122,739       928  

Voyager Therapeutics Inc *

     54,213       331  

Xencor Inc *

     5,445       142  
                 
              100,860  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Industrials — 14.7%

        

A O Smith Corp

    4,400     $ 252  

AAON Inc

    16,416       1,236  

ABM Industries Inc

    90,461       4,018  

ACCO Brands Corp

    732,758       4,096  

Advanced Drainage Systems Inc

    15,809       1,296  

AECOM

    13,579       1,153  

Apogee Enterprises Inc

    8,561       381  

Applied Industrial Technologies Inc, Cl A

    12,000       1,512  

Arcosa Inc

    5,784       314  

Armstrong World Industries Inc

    4,726       324  

Atlas Air Worldwide Holdings Inc *

     21,621       2,179  

Barrett Business Services Inc

    2,700       252  

Boise Cascade Co

    4,228       290  

Brady Corp, Cl A

    1,378       65  

Builders FirstSource Inc *

     23,370       1,516  

BWX Technologies Inc, Cl W

    92,285       5,360  

CACI International Inc, Cl A *

     1,428       429  

Casella Waste Systems Inc, Cl A *

     5,000       397  

CBIZ Inc *

     22,449       1,052  

CECO Environmental Corp *

     122,408       1,430  

Cintas Corp

    3,186       1,439  

Clean Harbors Inc *

     7,022       801  

CoStar Group Inc *

     27,109       2,095  

CRA International Inc

    11,678       1,430  

CSW Industrials Inc

    1,824       211  

Curtiss-Wright Corp

    12,804       2,138  

EMCOR Group Inc

    19,007       2,815  

Ennis Inc

    34,657       768  

Esab Corp

    75,081       3,523  

Evoqua Water Technologies Corp *

     9,047       358  

Exponent Inc

    30,000       2,973  

Forrester Research Inc *

     9,468       339  

Forward Air Corp

    13,445       1,410  

Franklin Covey Co *

     12,085       565  

FTI Consulting Inc *

     10,890       1,729  

Griffon Corp

    24,171       865  

GXO Logistics Inc *

     66,615       2,844  

Heartland Express Inc

    53,253       817  

Heritage-Crystal Clean Inc *

     29,302       952  

Hillenbrand Inc

    8,146       348  

Hub Group Inc, Cl A *

     12,964       1,031  

Hubbell Inc, Cl B

    1,900       446  

Huntington Ingalls Industries Inc, Cl A

    2,000       461  

IAA Inc *

     115,940       4,638  

ICF International Inc, Cl A

    4,655       461  

IDEX Corp

    4,000       913  

Insperity Inc, Cl A

    5,000       568  

Kadant Inc

    11,850       2,105  

Kaman Corp, Cl A

    47,361       1,056  

KAR Auction Services Inc *

     295,227       3,853  

Kennametal Inc

    33,177       798  

 

 

 

54

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kforce Inc

    10,057     $ 551  

L3Harris Technologies Inc

    2,036       424  

Landstar System Inc

    8,600       1,401  

LSI Industries Inc

    123,562       1,512  

Marten Transport Ltd

    78,638       1,556  

Masonite International Corp *

     28,376       2,287  

Matthews International Corp, Cl A

    45,895       1,397  

McGrath RentCorp

    6,000       592  

Miller Industries Inc/TN

    23,991       640  

MRC Global Inc *

     110,923       1,285  

MSA Safety Inc

    10,698       1,543  

MSC Industrial Direct Co Inc, Cl A

    3,679       301  

Mueller Industries Inc

    8,000       472  

MYR Group Inc *

     22,025       2,028  

National Presto Industries Inc

    7,176       491  

Northwest Pipe Co *

     1,654       56  

Old Dominion Freight Line Inc, Cl A

    7,000       1,987  

Park Aerospace Corp

    85,755       1,150  

RBC Bearings Inc *

     4,000       837  

Resources Connection Inc

    94,244       1,732  

Rush Enterprises Inc, Cl A

    38,922       2,035  

RXO Inc *

     50,356       866  

Saia Inc *

     1       —  

Schneider National Inc, Cl B

    13,231       310  

Science Applications International Corp

    13,698       1,520  

Shoals Technologies Group Inc, Cl A *

     33,815       834  

Simpson Manufacturing Co Inc

    7,500       665  

SP Plus Corp *

     1,746       61  

Standex International Corp

    5,842       598  

Tennant Co

    12,618       777  

Terex Corp

    2,076       89  

Tetra Tech Inc

    27,739       4,027  

Textainer Group Holdings Ltd

    56,064       1,739  

Toro Co/The

    2,800       317  

Trinity Industries Inc

    19,013       562  

UFP Industries Inc

    9,396       745  

United Rentals Inc *

     4,375       1,555  

Werner Enterprises Inc

    7,139       287  

WESCO International Inc *

     33,000       4,132  

Westinghouse Air Brake Technologies Corp

    3,600       359  

XPO Inc *

     60,356       2,009  
                 
              118,031  

Information Technology — 15.3%

        

A10 Networks Inc

    136,224       2,265  

ACI Worldwide Inc *

     262,078       6,028  

Agilysys Inc *

     17,117       1,355  

Alpha & Omega Semiconductor Ltd *

     22,839       653  

Amdocs Ltd

    14,000       1,273  

American Software Inc/GA, Cl A

    30,440       447  

Amkor Technology Inc

    50,512       1,211  

ANSYS Inc *

     2,600       628  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Appfolio Inc, Cl A *

     977     $ 103  

Arista Networks Inc *

     9,952       1,208  

Aspen Technology Inc *

     10,699       2,198  

Axcelis Technologies Inc *

     22,971       1,823  

Bel Fuse Inc, Cl B

    80,329       2,644  

Blackbaud Inc, Cl A *

     10,741       632  

Box Inc, Cl A *

     12,914       402  

Broadridge Financial Solutions Inc

    1,700       228  

Cadence Design Systems Inc *

     12,100       1,944  

Calix Inc *

     23,763       1,626  

Cass Information Systems Inc

    15,894       728  

CommScope Holding Co Inc *

     161,272       1,185  

CommVault Systems Inc *

     26,733       1,680  

Consensus Cloud Solutions Inc *

     40,554       2,180  

CSG Systems International Inc

    20,024       1,145  

CTS Corp

    7,000       276  

Digital Turbine Inc *

     30,804       470  

Diodes Inc *

     15,000       1,142  

EngageSmart Inc *

     15,583       274  

Entegris Inc

    17,353       1,138  

EPAM Systems Inc *

     2,034       667  

Euronet Worldwide Inc *

     56,998       5,380  

EVERTEC Inc

    55,000       1,781  

ExlService Holdings Inc *

     24,383       4,131  

F5 Inc, Cl A *

     1       —  

Fabrinet *

     2,627       337  

Fair Isaac Corp *

     2,500       1,497  

Gartner Inc *

     1,518       510  

Genpact Ltd

    30,604       1,418  

Global Payments Inc

    1,009       100  

GoDaddy Inc, Cl A *

     42,432       3,175  

Hackett Group Inc/The

    37,239       759  

Ichor Holdings Ltd *

     16,589       445  

Insight Enterprises Inc *

     21,641       2,170  

International Money Express Inc *

     1,250       31  

Jack Henry & Associates Inc

    5,129       900  

Lattice Semiconductor Corp *

     30,000       1,946  

Lumentum Holdings Inc *

     2,779       145  

MACOM Technology Solutions Holdings Inc *

     12,485       786  

Manhattan Associates Inc *

     10,280       1,248  

Maximus Inc

    13,695       1,004  

MicroStrategy Inc, Cl A *(A)

     1       —  

Monolithic Power Systems Inc

    2,213       783  

NetScout Systems Inc *

     35,165       1,143  

ON Semiconductor Corp *

     72,434       4,518  

OSI Systems Inc *

     184       15  

Palo Alto Networks Inc *

     2,358       329  

PDF Solutions Inc *

     6,638       189  

Perficient Inc *

     12,505       873  

Photronics Inc *

     295,111       4,967  

Power Integrations Inc

    10,000       717  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

55

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Progress Software Corp

    5,788     $ 292  

PTC Inc *

     19,109       2,294  

Qualys Inc *

     11,994       1,346  

Radware Ltd *

     15,000       296  

Rambus Inc *

     12,784       458  

RingCentral Inc, Cl A *

     773       27  

ShotSpotter Inc *

     17,620       596  

Silicon Motion Technology Corp ADR

    95,561       6,211  

SolarWinds Corp *

     64,815       607  

SPS Commerce Inc *

     16,563       2,127  

Super Micro Computer Inc *

     134,366       11,031  

Synopsys Inc *

     5,999       1,915  

Teledyne Technologies Inc *

     13,800       5,519  

Tenable Holdings Inc *

     29,500       1,125  

Teradyne Inc

    11,312       988  

Tyler Technologies Inc *

     4,508       1,453  

Verint Systems Inc *

     114,807       4,165  

Vishay Precision Group Inc *

     10,000       387  

Wix.com Ltd *

     12,484       959  

WNS Holdings Ltd ADR *

     26,370       2,109  
                 
              122,755  

Materials — 7.3%

        

Alamos Gold Inc, Cl A

    80,913       818  

Albemarle Corp

    4,500       976  

Alpha Metallurgical Resources Inc

    1,481       217  

Ashland Inc

    55,852       6,006  

Avery Dennison Corp

    2,472       447  

Axalta Coating Systems Ltd *

     170,448       4,341  

Balchem Corp

    14,444       1,764  

Century Aluminum Co *

     83,044       679  

Chase Corp

    3,821       330  

Commercial Metals Co, Cl A

    208,427       10,067  

Crown Holdings Inc

    4,800       395  

FMC Corp

    63,800       7,962  

Fortitude Gold Corp

    40,846       225  

Hawkins Inc

    12,136       468  

Ingevity Corp *

     39,763       2,801  

Innospec Inc

    7,000       720  

Louisiana-Pacific Corp

    10,000       592  

Materion Corp

    9,421       824  

NewMarket Corp

    1,035       322  

Novagold Resources Inc *

     234,835       1,404  

Packaging Corp of America

    2,600       333  

Reliance Steel & Aluminum Co

    1,787       362  

Royal Gold Inc, Cl A

    8,757       987  

Ryerson Holding Corp

    23,026       697  

Silgan Holdings Inc

    257,609       13,354  

Stepan Co

    8,553       911  

Warrior Met Coal Inc

    11,000       381  
                 
              58,383  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Real Estate — 4.0%

        

Alexander & Baldwin Inc ‡

     34,477     $ 646  

Alexander's Inc ‡

     4,791       1,054  

American Assets Trust Inc ‡

     25,616       679  

Centerspace ‡

     15,417       905  

Community Healthcare Trust Inc ‡

     384       14  

EastGroup Properties Inc ‡

     14,800       2,191  

Elme Communities ‡

     58,378       1,039  

Equity Commonwealth ‡

     30,722       767  

Equity LifeStyle Properties Inc ‡

     20,564       1,328  

FRP Holdings Inc *

     4,575       246  

Gaming and Leisure Properties Inc ‡

     167,435       8,722  

Getty Realty Corp ‡

     28,351       960  

Gladstone Commercial Corp ‡

     37,471       693  

Howard Hughes Corp/The *‡

     9,600       734  

Independence Realty Trust Inc ‡

     113,415       1,912  

Invitation Homes Inc ‡

     32,569       965  

Life Storage Inc ‡

     4,650       458  

LTC Properties Inc ‡

     1,664       59  

Medical Properties Trust Inc ‡

     190,106       2,118  

Newmark Group Inc, Cl A ‡

     450,766       3,593  

RMR Group Inc/The, Cl A ‡

     2,112       60  

Ryman Hospitality Properties Inc ‡

     10,995       899  

Saul Centers Inc ‡

     296       12  

Sun Communities Inc ‡

     1,400       200  

Terreno Realty Corp ‡

     14,480       823  

Universal Health Realty Income Trust ‡

     14,403       687  

Urstadt Biddle Properties Inc, Cl A ‡

     3,615       69  

Ventas Inc ‡

     7,436       335  
                 
              32,168  

Utilities — 2.2%

        

American States Water Co

    4,880       452  

Artesian Resources Corp, Cl A

    30,081       1,762  

Avista Corp

    50,500       2,239  

Brookfield Infrastructure Corp, Cl A

    4,100       159  

Chesapeake Utilities Corp

    10,037       1,186  

Hawaiian Electric Industries Inc

    21,153       885  

IDACORP Inc, Cl A

    10,909       1,177  

MGE Energy Inc

    21,134       1,488  

Middlesex Water Co

    22,660       1,783  

Northwest Natural Holding Co

    15,832       753  

NorthWestern Corp

    16,470       977  

Ormat Technologies Inc

    2,512       217  

Otter Tail Corp

    19,000       1,116  

Portland General Electric Co

    43,378       2,126  

SJW Group

    5,000       406  

UGI Corp

    6,450       239  

Unitil Corp

    17,644       906  

York Water Co/The

    9,081       408  
                 
              18,279  

 

 

 

56

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Small/Mid Cap Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Total Common Stock

               

(Cost $490,486) ($ Thousands)

           $ 794,503  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Abiomed Inc *‡‡

     967       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 0.1%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     466,558       473  
                 
                 

Total Affiliated Partnership

                

(Cost $466) ($ Thousands)

     473  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 1.3%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     10,502,541     $ 10,503  
                 

Total Cash Equivalent

                

(Cost $10,503) ($ Thousands)

             10,503  
                 
                 

Total Investments in Securities — 100.2%

                

(Cost $501,455) ($ Thousands)

  $ 805,479  
                 
                 

 

 

Percentages are based on Net Assets of $803,947 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $99 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $473 ($ Thousands).

 

 
 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 525     $ 3,114     $ (3,166 )   $ —     $ —     $ 473     $ 6     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     10,783       65,237       (65,517 )     —       —       10,503       103       —  

Totals

   $ 11,308     $ 68,351     $ (68,683 )   $ —     $ —     $ 10,976     $ 109     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

57

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Mid-Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.4%
                 

Communication Services — 1.6%

        

Fox Corp, Cl A

    2,180     $ 66  

Liberty Broadband Corp, Cl A *

     1,010       77  

Liberty Media Corp-Liberty SiriusXM *

     5,271       206  

News Corp, Cl B

    7,090       131  

Pinterest Inc, Cl A *

     5,895       143  

Playtika Holding Corp *

     10,490       89  

ROBLOX Corp, Cl A *

     3,000       85  

Trade Desk Inc/The, Cl A *

     5,320       239  

ZoomInfo Technologies Inc, Cl A *

     4,234       128  
                 
              1,164  

Consumer Discretionary — 9.9%

        

Aptiv PLC *

     1,200       112  

AutoNation Inc *

     819       88  

AutoZone Inc *

     153       377  

Bath & Body Works Inc

    3,330       140  

Best Buy Co Inc

    3,240       260  

BorgWarner Inc

    6,016       242  

Boyd Gaming Corp

    3,304       180  

Caesars Entertainment Inc *

     3,800       158  

Capri Holdings Ltd *

     1,970       113  

Carter's Inc

    1,646       123  

Carvana Co, Cl A *(A)

     8,670       41  

Chipotle Mexican Grill Inc, Cl A *

     114       158  

Columbia Sportswear Co

    4,109       360  

Dollar Tree Inc *

     2,066       292  

DoorDash Inc, Cl A *

     3,730       182  

eBay Inc

    4,700       195  

Expedia Group Inc *

     920       81  

Grand Canyon Education Inc *

     560       59  

H&R Block Inc

    6,740       246  

Harley-Davidson Inc, Cl A

    10,586       440  

Hasbro Inc

    2,632       161  

Hilton Worldwide Holdings Inc

    550       69  

Lennar Corp, Cl A

    2,180       197  

Lennar Corp, Cl B

    1,585       119  

LKQ Corp

    6,016       321  

Lululemon Athletica Inc *

     591       189  

Macy's Inc

    5,270       109  

Mattel Inc *

     3,420       61  

MGM Resorts International

    1,790       60  

O'Reilly Automotive Inc *

     260       219  

Rivian Automotive Inc, Cl A *

     3,030       56  

Ross Stores Inc

    2,150       250  

Six Flags Entertainment Corp *

     3,120       73  

Tapestry Inc

    6,897       263  

Thor Industries Inc

    1,010       76  

Toll Brothers Inc

    4,720       236  

Tractor Supply Co

    844       190  

Travel + Leisure Co

    5,670       206  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ulta Beauty Inc *

     217     $ 102  

Williams-Sonoma Inc

    2,441       281  

Wyndham Hotels & Resorts Inc

    1,250       89  

Yum! Brands Inc

    990       127  
                 
              7,301  

Consumer Staples — 6.5%

        

Archer-Daniels-Midland Co

    1,290       120  

BJ's Wholesale Club Holdings Inc *

     1,990       131  

Brown-Forman Corp, Cl A

    5,290       348  

Brown-Forman Corp, Cl B

    6,380       419  

Campbell Soup Co

    3,210       182  

Casey's General Stores Inc

    962       216  

Constellation Brands Inc, Cl A

    1,044       242  

Coty Inc, Cl A *

     23,710       203  

Darling Ingredients Inc *

     9,247       579  

Hain Celestial Group Inc/The *

     3,453       56  

Hershey Co/The

    1,341       310  

Ingredion Inc

    3,173       311  

Kellogg Co

    2,033       145  

Kroger Co/The

    6,580       293  

Lamb Weston Holdings Inc

    6,708       599  

Performance Food Group Co *

     1,830       107  

TreeHouse Foods Inc *

     5,766       285  

Tyson Foods Inc, Cl A

    3,242       202  

US Foods Holding Corp *

     2,300       78  
                 
              4,826  

Energy — 6.9%

        

Antero Midstream Corp

    20,500       221  

Antero Resources Corp *

     3,110       96  

ChampionX Corp

    8,194       238  

Cheniere Energy Inc

    730       110  

Coterra Energy Inc

    13,036       320  

Diamondback Energy Inc, Cl A

    1,651       226  

DT Midstream Inc

    9,805       542  

EQT Corp

    2,170       73  

Halliburton Co

    2,260       89  

HF Sinclair Corp

    1,735       90  

Marathon Petroleum Corp

    1,815       211  

ONEOK Inc

    5,865       385  

Ovintiv Inc

    3,680       187  

PDC Energy Inc, Cl A

    1,520       97  

Phillips 66

    4,105       427  

Pioneer Natural Resources Co

    2,807       641  

Range Resources Corp

    3,090       77  

Targa Resources Corp

    6,466       475  

Valero Energy Corp

    1,297       165  

Williams Cos Inc/The

    13,302       438  
                 
              5,108  

Financials — 15.6%

        

Allstate Corp/The

    3,807       516  

 

 

 

58

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Mid-Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

American International Group Inc

    5,714     $ 361  

Ameriprise Financial Inc

    1,243       387  

Arch Capital Group Ltd *

     14,237       894  

Assurant Inc

    670       84  

Axis Capital Holdings Ltd

    1,750       94  

Bank of New York Mellon Corp/The

    1,410       64  

Bank OZK

    4,630       186  

Carlyle Group Inc/The

    1,920       57  

Cboe Global Markets Inc

    1,314       165  

Chimera Investment Corp ‡

     20,745       114  

CNA Financial Corp

    1,490       63  

Comerica Inc

    2,261       151  

Cullen/Frost Bankers Inc

    4,160       556  

East West Bancorp Inc

    4,714       311  

Evercore Inc, Cl A

    920       100  

Everest Re Group Ltd

    1,305       432  

Eversource Energy

    2,140       179  

Fidelity National Financial Inc

    10,102       380  

First American Financial Corp

    2,817       147  

First Hawaiian Inc

    3,930       102  

Globe Life Inc

    2,717       328  

Interactive Brokers Group Inc, Cl A

    4,624       335  

Loews Corp

    1,340       78  

Markel Corp *

     220       290  

MGIC Investment Corp

    35,030       455  

Nasdaq Inc, Cl A

    1,386       85  

New York Community Bancorp Inc

    11,935       103  

PacWest Bancorp

    6,928       159  

Pinnacle Financial Partners Inc

    2,907       213  

Popular Inc

    2,256       150  

Primerica Inc

    977       139  

Progressive Corp/The

    3,082       400  

Prosperity Bancshares Inc

    2,904       211  

Regions Financial Corp

    6,544       141  

Reinsurance Group of America Inc, Cl A

    3,613       513  

Signature Bank/New York NY, Cl B

    2,365       273  

SLM Corp

    7,455       124  

Stifel Financial Corp

    6,878       401  

Synchrony Financial

    9,760       321  

Synovus Financial Corp

    1,830       69  

Umpqua Holdings Corp

    4,080       73  

Unum Group

    5,940       244  

Voya Financial Inc

    1,300       80  

W R Berkley Corp

    3,742       272  

Webster Financial Corp

    3,726       176  

Western Alliance Bancorp

    5,951       354  

Wintrust Financial Corp

    2,210       187  

Zions Bancorp NA

    1,790       88  
                 
              11,605  

Health Care — 11.2%

        

Acadia Healthcare Co Inc, Cl A *

     1,900       156  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Agilent Technologies Inc

    4,116     $ 616  

agilon health Inc *

     3,600       58  

Align Technology Inc *

     300       63  

Alnylam Pharmaceuticals Inc *

     550       131  

AmerisourceBergen Corp, Cl A

    2,268       376  

Biogen Inc *

     1,130       313  

Bio-Techne Corp

    1,168       97  

Centene Corp *

     3,226       265  

Chemed Corp

    765       391  

Dexcom Inc *

     2,620       297  

Doximity Inc, Cl A *

     6,430       216  

Encompass Health Corp

    7,411       443  

Envista Holdings Corp *

     5,445       183  

Exelixis Inc *

     11,950       192  

Hologic Inc *

     3,310       248  

Horizon Therapeutics Plc *

     780       89  

IDEXX Laboratories Inc *

     890       363  

Incyte Corp *

     1,010       81  

IQVIA Holdings Inc *

     1,778       364  

Jazz Pharmaceuticals PLC *

     504       80  

Laboratory Corp of America Holdings

    2,195       517  

Mettler-Toledo International Inc *

     241       348  

Molina Healthcare Inc *

     970       320  

Neurocrine Biosciences Inc *

     940       112  

Oak Street Health Inc *

     3,940       85  

Perrigo Co PLC

    3,990       136  

Premier Inc, Cl A

    7,870       275  

Quest Diagnostics Inc

    1,165       182  

QuidelOrtho Corp *

     770       66  

Repligen Corp *

     725       123  

Royalty Pharma PLC, Cl A

    7,173       284  

United Therapeutics Corp *

     1,090       303  

Veeva Systems Inc, Cl A *

     659       106  

Waters Corp *

     433       148  

Zimmer Biomet Holdings Inc

    1,742       222  
                 
              8,249  

Industrials — 13.8%

        

A O Smith Corp

    3,510       201  

Advanced Drainage Systems Inc

    1,060       87  

AerCap Holdings NV *

     3,684       215  

Allegion PLC

    2,188       230  

AMETEK Inc

    967       135  

Booz Allen Hamilton Holding Corp, Cl A

    1,282       134  

Carlisle Cos Inc

    882       208  

Carrier Global Corp

    4,030       166  

Cintas Corp

    1,000       452  

Clean Harbors Inc *

     3,320       379  

Copa Holdings SA, Cl A *

     1,280       107  

Copart Inc *

     1,480       90  

Cummins Inc

    1,110       269  

Delta Air Lines Inc, Cl A *

     4,360       143  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

59

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Mid-Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Dover Corp

    3,503     $ 474  

Fastenal Co, Cl A

    3,047       144  

Fortune Brands Innovations Inc

    2,451       140  

GXO Logistics Inc *

     1,760       75  

HEICO Corp, Cl A

    1,930       231  

Hexcel Corp, Cl A

    3,652       215  

Huntington Ingalls Industries Inc, Cl A

    531       123  

Landstar System Inc

    1,408       229  

Leidos Holdings Inc

    1,741       183  

Lincoln Electric Holdings Inc

    630       91  

Masco Corp

    1,242       58  

Masterbrand Inc *

     2,451       19  

MSC Industrial Direct Co Inc, Cl A

    940       77  

nVent Electric PLC

    3,770       145  

Old Dominion Freight Line Inc, Cl A

    480       136  

Otis Worldwide Corp

    7,115       557  

Owens Corning

    3,589       306  

PACCAR Inc

    3,650       361  

Parker-Hannifin Corp, Cl A

    897       261  

Regal Rexnord Corp

    2,952       354  

Republic Services Inc

    1,024       132  

Robert Half International Inc

    1,283       95  

Rockwell Automation Inc

    265       68  

Ryder System Inc

    3,980       333  

Schneider National Inc, Cl B

    5,190       122  

Snap-on Inc

    1,344       307  

Tetra Tech Inc

    1,670       243  

Textron Inc

    3,980       282  

Timken Co/The

    840       59  

Trane Technologies PLC

    853       143  

TransDigm Group Inc

    170       107  

United Airlines Holdings Inc *

     2,080       78  

United Rentals Inc *

     1,330       473  

Univar Solutions Inc *

     3,130       100  

Watsco Inc

    523       130  

Westinghouse Air Brake Technologies Corp

    2,640       264  

WW Grainger Inc

    470       261  
                 
              10,192  

Information Technology — 15.1%

        

Affirm Holdings Inc, Cl A *

     6,660       64  

Akamai Technologies Inc *

     2,800       236  

Amdocs Ltd

    3,196       290  

Amphenol Corp, Cl A

    935       71  

Arrow Electronics Inc, Cl A *

     575       60  

Avnet Inc

    7,385       307  

Bill.com Holdings Inc *

     904       98  

Cadence Design Systems Inc *

     2,175       349  

CDW Corp/DE

    2,098       375  

Ceridian HCM Holding Inc *

     1,480       95  

Cirrus Logic Inc *

     1,400       104  

Cloudflare Inc, Cl A *

     2,887       130  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Coupa Software Inc *

     1,260     $ 100  

Crowdstrike Holdings Inc, Cl A *

     1,930       203  

Datadog Inc, Cl A *

     2,505       184  

DocuSign Inc, Cl A *

     1,270       70  

DoubleVerify Holdings Inc, Cl Rights *

     7,350       161  

Dynatrace Inc *

     6,363       244  

Enphase Energy Inc *

     712       189  

F5 Inc, Cl A *

     1,659       238  

Fair Isaac Corp *

     473       283  

First Solar Inc *

     1,380       207  

FleetCor Technologies Inc *

     1,977       363  

Fortinet Inc *

     1,440       70  

Global Payments Inc

    2,478       246  

HubSpot Inc *

     487       141  

Jabil Inc

    8,883       606  

Juniper Networks Inc

    8,750       280  

Keysight Technologies Inc *

     583       100  

Lattice Semiconductor Corp *

     5,100       331  

Manhattan Associates Inc *

     2,295       279  

Marvell Technology Inc

    2,675       99  

Microchip Technology Inc

    4,676       328  

MongoDB Inc, Cl A *

     389       77  

Monolithic Power Systems Inc

    1,390       491  

Motorola Solutions Inc

    2,623       676  

Paychex Inc

    4,870       563  

Paycom Software Inc *

     1,330       413  

PTC Inc *

     1,646       198  

Pure Storage Inc, Cl A *

     2,680       72  

Qorvo Inc *

     2,810       255  

Skyworks Solutions Inc

    3,509       320  

Smartsheet Inc, Cl A *

     3,166       125  

Splunk Inc *

     1,720       148  

StoneCo Ltd, Cl A *

     8,750       83  

Synopsys Inc *

     744       238  

Unity Software Inc *

     4,666       133  

Universal Display Corp

    1,569       169  

VeriSign Inc *

     602       124  

Vontier Corp

    3,099       60  

Zebra Technologies Corp, Cl A *

     248       64  

Zscaler Inc *

     520       58  
                 
              11,168  

Materials — 5.0%

        

Albemarle Corp

    640       139  

Ashland Inc

    2,340       252  

Axalta Coating Systems Ltd *

     9,144       233  

Berry Global Group Inc

    4,522       273  

Eagle Materials Inc

    2,380       316  

Eastman Chemical Co

    1,240       101  

FMC Corp

    2,972       371  

International Flavors & Fragrances Inc

    1,770       185  

International Paper Co

    5,550       192  

 

 

 

60

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Mid-Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Livent Corp *

     11,473     $ 228  

NewMarket Corp

    423       132  

Nucor Corp

    1,340       177  

Packaging Corp of America

    760       97  

Scotts Miracle-Gro Co/The, Cl A

    1,172       57  

Silgan Holdings Inc

    3,758       195  

Sonoco Products Co

    1,530       93  

SSR Mining Inc

    9,160       143  

Steel Dynamics Inc

    1,175       115  

United States Steel Corp

    4,710       118  

Valvoline Inc

    6,992       228  

Westrock Co

    2,370       83  
                 
              3,728  

Real Estate — 6.0%

        

Alexandria Real Estate Equities Inc ‡

     1,711       249  

Apartment Income Corp ‡

     4,460       153  

AvalonBay Communities Inc ‡

     444       72  

Camden Property Trust ‡

     1,190       133  

Digital Realty Trust Inc, Cl A ‡

     2,071       208  

EastGroup Properties Inc ‡

     930       138  

EPR Properties, Cl A ‡

     7,190       271  

Equity Residential ‡

     1,190       70  

Essex Property Trust Inc ‡

     1,091       231  

Extra Space Storage Inc ‡

     856       126  

Federal Realty Investment Trust ‡

     670       68  

First Industrial Realty Trust Inc ‡

     3,610       174  

Healthcare Realty Trust Inc, Cl A ‡

     26,170       504  

Healthpeak Properties Inc ‡

     3,829       96  

Host Hotels & Resorts Inc ‡

     7,956       128  

Lamar Advertising Co, Cl A ‡

     760       72  

Mid-America Apartment Communities Inc ‡

     1,106       174  

National Retail Properties Inc ‡

     8,941       409  

Park Hotels & Resorts Inc ‡

     7,770       92  

SBA Communications Corp, Cl A ‡

     1,260       353  

Simon Property Group Inc ‡

     3,083       362  

Spirit Realty Capital Inc ‡

     3,775       151  

Ventas Inc ‡

     4,763       214  
                 
              4,448  

Utilities — 5.8%

        

Alliant Energy Corp

    2,500       138  

American Water Works Co Inc

    1,980       302  

Brookfield Renewable Corp, Cl A

    5,420       149  

CenterPoint Energy Inc

    10,850       325  

CMS Energy Corp

    1,280       81  

Consolidated Edison Inc

    810       77  

DTE Energy Co

    2,131       250  

Entergy Corp

    3,206       361  

Evergy Inc

    6,477       408  

FirstEnergy Corp

    5,373       225  

Hawaiian Electric Industries Inc

    4,330       181  

IDACORP Inc, Cl A

    1,502       162  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

National Fuel Gas Co

    1,725     $ 109  

NiSource Inc

    14,465       397  

NRG Energy Inc

    3,420       109  

PPL Corp

    10,580       309  

UGI Corp

    4,683       174  

WEC Energy Group Inc

    4,069       382  

Xcel Energy Inc

    2,510       176  
                 
              4,315  

Total Common Stock

               

(Cost $72,642) ($ Thousands)

             72,104  
                 
                 
                 

EXCHANGE TRADED FUND — 0.5%
                 

iShares Russell Mid-Cap Value ETF

    3,563       375  
                 
                 
                 

Total Exchange Traded Fund

               

(Cost $367) ($ Thousands)

             375  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Abiomed Inc *‡‡

     160       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     34,171       35  
                 
                 

Total Affiliated Partnership

                

(Cost $35) ($ Thousands)

     35  
                 
                 
                 

CASH EQUIVALENT — 2.1%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     1,522,284       1,522  
                 

Total Cash Equivalent

                

(Cost $1,522) ($ Thousands)

             1,522  
                 
                 

Total Investments in Securities — 100.0%

                

(Cost $74,566) ($ Thousands)

  $ 74,036  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

61

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Mid-Cap Fund (Concluded)

 

 

Percentages are based on Net Assets of $74,056 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

†

Investment in Affiliated Security.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $17 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $35 ($ Thousands).

 

 

 
 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ —     $ 159     $ (124 )   $ —     $ —     $ 35     $ —     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     2,161       1,931       (2,570 )     —       —       1,522       15       —  

Totals

   $ 2,161     $ 2,090     $ (2,694 )   $ —     $ —     $ 1,557     $ 15     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

62

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

U.S. Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.2%
                 

Communication Services — 5.6%

        

Advantage Solutions Inc *

     33,948     $ 71  

AT&T Inc

    517,800       9,533  

Comcast Corp, Cl A

    153,928       5,383  

EchoStar Corp, Cl A *

     9,048       151  

Fox Corp, Cl A

    92,000       2,794  

Fox Corp, Cl B

    35,449       1,009  

Interpublic Group of Cos Inc/The

    12,705       423  

Madison Square Garden Sports Corp

    6,241       1,144  

Omnicom Group Inc

    42,409       3,459  

Playstudios Inc *

     20,626       80  

Scholastic Corp, Cl B

    1,606       63  

Shutterstock Inc

    4,465       235  

SK Telecom Co Ltd ADR

    84,213       1,734  

TEGNA Inc

    171,600       3,636  

United States Cellular Corp *

     630       13  

Verizon Communications Inc

    409,768       16,145  

World Wrestling Entertainment Inc, Cl A

    11,974       821  
                 
              46,694  

Consumer Discretionary — 7.0%

        

AutoZone Inc *

     4,963       12,240  

Canadian Tire Corp Ltd, Cl A

    23,000       2,402  

Coursera Inc *

     5,773       68  

Dollar General Corp

    17,173       4,229  

DR Horton Inc

    26,000       2,318  

eBay Inc

    66,799       2,770  

Gentex Corp

    37,401       1,020  

Graham Holdings Co, Cl B

    318       192  

Grand Canyon Education Inc *

     21,460       2,267  

H&R Block Inc

    150,165       5,482  

Honda Motor Co Ltd ADR

    145,242       3,320  

LKQ Corp

    8,489       453  

Lowe's Cos Inc

    18,200       3,626  

Marriott International Inc/MD, Cl A

    10,160       1,513  

Murphy USA Inc

    9,200       2,572  

O'Reilly Automotive Inc *

     2,606       2,200  

Perdoceo Education Corp *

     23,496       327  

Service Corp International/US

    33,200       2,295  

Target Corp, Cl A

    19,900       2,966  

Toyota Motor Corp ADR

    25,800       3,524  

Whirlpool Corp

    20,400       2,886  
                 
              58,670  

Consumer Staples — 17.2%

        

Altria Group Inc

    135,977       6,215  

Archer-Daniels-Midland Co

    64,900       6,026  

Bunge Ltd

    13,231       1,320  

Calavo Growers Inc

    5,915       174  

Cal-Maine Foods Inc

    7,299       397  

Campbell Soup Co

    94,090       5,340  

Church & Dwight Co Inc

    30,018       2,420  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Clorox Co/The

    20,499     $ 2,877  

Coca-Cola Co/The

    35,493       2,258  

Colgate-Palmolive Co

    60,641       4,778  

Conagra Brands Inc

    279,991       10,836  

Energizer Holdings Inc

    1,730       58  

Flowers Foods Inc

    110,558       3,177  

Fresh Del Monte Produce Inc

    13,280       348  

General Mills Inc

    107,282       8,996  

Hain Celestial Group Inc/The *

     3,693       60  

Herbalife Nutrition Ltd *

     17,212       256  

Hershey Co/The

    2,425       562  

Hormel Foods Corp

    47,695       2,173  

Hostess Brands Inc, Cl A *

     17,834       400  

Ingles Markets Inc, Cl A

    1,106       107  

Ingredion Inc

    44,500       4,358  

J & J Snack Foods Corp

    2,624       393  

J M Smucker Co/The

    82,416       13,060  

John B Sanfilippo & Son Inc

    6,116       497  

Kellogg Co

    145,444       10,361  

Keurig Dr Pepper Inc

    37,691       1,344  

Kimberly-Clark Corp

    15,315       2,079  

Kraft Heinz Co/The

    224,063       9,122  

Kroger Co/The

    266,200       11,867  

Lancaster Colony Corp

    1,267       250  

Molson Coors Beverage Co, Cl B

    101,200       5,214  

Nu Skin Enterprises Inc, Cl A

    3,663       154  

PepsiCo Inc

    7,766       1,403  

Philip Morris International Inc

    17,153       1,736  

Pilgrim's Pride Corp *

     89,326       2,120  

Post Holdings Inc *

     21,457       1,937  

PriceSmart Inc

    3,873       235  

Procter & Gamble Co/The

    26,329       3,990  

Reynolds Consumer Products Inc

    30,768       922  

Seaboard Corp

    64       242  

Seneca Foods Corp, Cl A *

     2,117       129  

Simply Good Foods Co/The *

     2,568       98  

SpartanNash Co

    10,003       302  

Tootsie Roll Industries Inc

    8,345       355  

Turning Point Brands Inc

    10,972       237  

Tyson Foods Inc, Cl A

    111,965       6,970  

Universal Corp/VA

    7,525       397  

USANA Health Sciences Inc *

     5,476       291  

Vector Group Ltd

    29,933       355  

Village Super Market Inc, Cl A

    10,265       239  

Vital Farms Inc *

     20,255       302  

WD-40 Co

    126       20  

Weis Markets Inc

    52,226       4,298  

Whole Earth Brands Inc *

     39,627       161  
                 
              144,216  

Energy — 4.1%

        

California Resources Corp

    3,981       173  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

63

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Chesapeake Energy Corp

    49,800     $ 4,700  

Chevron Corp

    49,000       8,795  

DT Midstream Inc

    23,349       1,290  

EOG Resources Inc

    1,542       200  

Exxon Mobil Corp

    119,618       13,194  

Kinder Morgan Inc

    317,300       5,737  

Southwestern Energy Co *

     85,507       500  

Teekay Corp *

     17,377       79  
                 
              34,668  

Financials — 11.8%

        

Aflac Inc

    161,700       11,633  

Allstate Corp/The

    44,400       6,021  

American Financial Group Inc/OH

    14,800       2,032  

AMERISAFE Inc

    5,736       298  

Annaly Capital Management Inc ‡

     63,275       1,334  

Axis Capital Holdings Ltd

    22,074       1,196  

Banco Latinoamericano de Comercio Exterior SA, Cl E

    3,237       52  

Bank First Corp

    1,049       97  

Bank of New York Mellon Corp/The

    190,449       8,669  

Bankwell Financial Group Inc

    613       18  

Berkshire Hathaway Inc, Cl B *

     22,600       6,981  

Blue Foundry Bancorp *

     2,472       32  

Byline Bancorp Inc

    5,118       118  

Canadian Imperial Bank of Commerce

    85,800       3,468  

Cboe Global Markets Inc

    23,418       2,938  

Chubb Ltd

    2,628       580  

CME Group Inc, Cl A

    4,100       689  

Columbia Financial Inc *

     21,797       471  

Community Bank System Inc

    5,489       346  

CVB Financial Corp

    7,688       198  

Donegal Group Inc, Cl A

    12,750       181  

Eastern Bankshares Inc

    13,060       225  

Employers Holdings Inc

    9,925       428  

Erie Indemnity Co, Cl A

    1,193       297  

Everest Re Group Ltd

    22,671       7,510  

Farmers National Banc Corp

    8,060       114  

First Financial Bankshares Inc, Cl A

    3,256       112  

First Financial Corp/IN

    8,940       412  

Glacier Bancorp Inc, Cl A

    494       24  

Greenlight Capital Re Ltd, Cl A *

     22,757       186  

Hanover Insurance Group Inc/The, Cl A

    15,305       2,068  

HarborOne Bancorp Inc

    7,453       104  

Hartford Financial Services Group Inc/The

    69,100       5,240  

Independent Bank Corp

    414       35  

Independent Bank Corp/MI

    1,017       24  

James River Group Holdings Ltd

    6,574       137  

Loblaw Cos Ltd

    61,600       5,443  

Loews Corp

    1,203       70  

MarketAxess Holdings Inc

    7,060       1,969  

Marsh & McLennan Cos Inc

    6,716       1,111  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

MetLife Inc

    57,100     $ 4,132  

Midland States Bancorp Inc

    5,574       148  

Morningstar Inc, Cl A

    2,237       485  

OceanFirst Financial Corp

    79,430       1,688  

Park National Corp

    113       16  

Popular Inc

    8,782       582  

Progressive Corp/The

    22,901       2,971  

Reinsurance Group of America Inc, Cl A

    13,715       1,949  

Safety Insurance Group Inc

    3,396       286  

SLM Corp

    5,318       88  

Stock Yards Bancorp Inc

    853       55  

Towne Bank/Portsmouth VA

    24,200       746  

TrustCo Bank Corp NY

    3,796       143  

Unity Bancorp Inc

    905       25  

Univest Financial Corp

    6,031       158  

Virtu Financial Inc, Cl A

    166,163       3,391  

W R Berkley Corp

    54,873       3,982  

Washington Federal Inc

    79,300       2,661  

Westamerica BanCorp

    3,198       189  

Willis Towers Watson PLC

    900       220  

Zions Bancorp NA

    28,443       1,398  
                 
              98,174  

Health Care — 20.5%

        

4D Molecular Therapeutics Inc *

     1,835       41  

Abbott Laboratories

    6,401       703  

AbbVie Inc

    34,100       5,511  

AbCellera Biologics Inc *

     11,869       120  

Aclaris Therapeutics Inc *

     10,219       161  

AdaptHealth Corp, Cl A *

     4,881       94  

Adicet Bio Inc *

     2,798       25  

Agilent Technologies Inc

    2,829       423  

Alkermes PLC *

     982       26  

Amgen Inc, Cl A

    42,500       11,162  

Amneal Pharmaceuticals Inc *

     64,717       129  

Amphastar Pharmaceuticals Inc *

     10,517       295  

Anika Therapeutics Inc *

     6,523       193  

Avanos Medical Inc *

     6,936       188  

Becton Dickinson and Co

    14,577       3,707  

Biogen Inc *

     6,089       1,686  

Bio-Techne Corp

    7,576       628  

Bristol-Myers Squibb Co

    175,120       12,600  

Catalyst Pharmaceuticals Inc *

     15,830       294  

Cigna Corp

    138       46  

Computer Programs and Systems Inc *

     3,315       90  

Corcept Therapeutics Inc *

     16,477       335  

Cross Country Healthcare Inc *

     719       19  

CVS Health Corp

    119,726       11,157  

Danaher Corp, Cl A

    4,326       1,148  

DaVita Inc *

     24,025       1,794  

Deciphera Pharmaceuticals Inc *

     10,328       169  

Dynavax Technologies Corp *

     10,904       116  

 

 

 

64

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Eagle Pharmaceuticals Inc/DE *

     9,883     $ 289  

Elevance Health Inc

    6,787       3,481  

Exelixis Inc *

     88,863       1,425  

Gilead Sciences Inc

    242,628       20,830  

Halozyme Therapeutics Inc *

     732       42  

Harmony Biosciences Holdings Inc *

     3,696       204  

Hologic Inc *

     36,719       2,747  

Humana Inc

    3,823       1,958  

Incyte Corp *

     45,002       3,615  

Innoviva Inc *

     27,372       363  

Intercept Pharmaceuticals Inc *

     10,708       132  

Ionis Pharmaceuticals Inc *

     48,943       1,849  

Ironwood Pharmaceuticals Inc, Cl A *

     17,062       211  

iTeos Therapeutics Inc *

     12,581       246  

Jazz Pharmaceuticals PLC *

     11,355       1,809  

Johnson & Johnson

    67,199       11,871  

Kiniksa Pharmaceuticals Ltd, Cl A *

     15,231       228  

Laboratory Corp of America Holdings

    14,400       3,391  

Ligand Pharmaceuticals Inc *

     3,613       241  

Masimo Corp *

     4,026       596  

McKesson Corp

    19,000       7,127  

Medpace Holdings Inc *

     575       122  

Merck & Co Inc

    144,731       16,058  

Mesa Laboratories Inc

    93       15  

Neurocrine Biosciences Inc *

     26,967       3,221  

NuVasive Inc *

     1,856       77  

Organogenesis Holdings Inc, Cl A *

     34,275       92  

Organon & Co

    110,753       3,093  

Pacira BioSciences Inc *

     4,661       180  

Patterson Cos Inc

    7,776       218  

PerkinElmer Inc

    1,810       254  

PetIQ Inc, Cl A *

     8,518       79  

Pfizer Inc

    234,656       12,024  

Phibro Animal Health Corp, Cl A

    12,502       168  

Point Biopharma Global Inc, Cl A *

     4,532       33  

Premier Inc, Cl A

    77,570       2,713  

Prestige Consumer Healthcare Inc, Cl A *

     2,007       126  

QIAGEN NV *

     54,359       2,711  

Quest Diagnostics Inc

    27,500       4,302  

Regeneron Pharmaceuticals Inc *

     448       323  

Sage Therapeutics Inc *

     3,057       117  

Supernus Pharmaceuticals Inc *

     7,853       280  

Thermo Fisher Scientific Inc

    247       136  

United Therapeutics Corp *

     1,179       328  

Vanda Pharmaceuticals Inc *

     26,865       198  

Vertex Pharmaceuticals Inc *

     206       59  

Viatris Inc, Cl W *

     253,179       2,818  

Vir Biotechnology Inc *

     7,279       184  

Waters Corp *

     8,437       2,890  

West Pharmaceutical Services Inc

    6,991       1,645  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Zimmer Biomet Holdings Inc

    20,495     $ 2,613  
                 
              172,592  

Industrials — 7.4%

        

3M Co

    13,246       1,589  

Allison Transmission Holdings Inc

    141,695       5,895  

AZZ Inc

    2,474       99  

Barrett Business Services Inc

    1,662       155  

Booz Allen Hamilton Holding Corp, Cl A

    12,611       1,318  

BWX Technologies Inc, Cl W

    11,628       675  

Casella Waste Systems Inc, Cl A *

     2,868       228  

CH Robinson Worldwide Inc

    23,529       2,154  

Cummins Inc

    31,600       7,657  

Dun & Bradstreet Holdings Inc

    23,228       285  

Enerpac Tool Group Corp, Cl A

    16,357       416  

Ennis Inc

    15,604       346  

Expeditors International of Washington Inc

    1,311       136  

Exponent Inc

    525       52  

FTI Consulting Inc *

     18,747       2,977  

General Dynamics Corp

    11,306       2,805  

Golden Ocean Group Ltd (A)

     36,812       320  

Heidrick & Struggles International Inc

    7,375       206  

Huntington Ingalls Industries Inc, Cl A

    7,736       1,785  

Landstar System Inc

    6,957       1,133  

Leidos Holdings Inc

    2,626       276  

Lockheed Martin Corp

    19,149       9,316  

ManpowerGroup Inc

    15,472       1,287  

Matson Inc

    2,626       164  

Miller Industries Inc/TN

    1,507       40  

MSC Industrial Direct Co Inc, Cl A

    2,371       194  

National Presto Industries

    5,408       370  

Northrop Grumman Corp

    6,932       3,782  

Proto Labs Inc *

     2,749       70  

Resources Connection Inc

    14,682       270  

Rollins Inc

    37,951       1,387  

Schneider National Inc, Cl B

    152,118       3,560  

Snap-on Inc

    20,400       4,661  

Stericycle Inc, Cl A *

     559       28  

Thermon Group Holdings Inc *

     3,635       73  

TrueBlue Inc *

     1,279       25  

U-Haul Holding Co, Cl B

    6,574       361  

Waste Management Inc

    15,500       2,432  

Werner Enterprises Inc

    101,288       4,078  
                 
              62,605  

Information Technology — 14.6%

        

A10 Networks Inc

    16,371       272  

ACI Worldwide Inc *

     9,046       208  

Adeia Inc

    3,806       36  

Adobe Inc *

     785       264  

Altair Engineering Inc, Cl A *

     376       17  

Amdocs Ltd

    158,812       14,436  

Arrow Electronics Inc, Cl A *

     38,000       3,974  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

65

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Autodesk Inc, Cl A *

     2,918     $ 545  

Aviat Networks Inc *

     5,439       170  

Avnet Inc

    84,000       3,493  

Brightcove Inc *

     18,105       95  

Broadridge Financial Solutions Inc

    1,143       153  

Cadence Design Systems Inc *

     5,839       938  

Canon Inc ADR (A)

     212,800       4,613  

Cisco Systems Inc

    265,600       12,653  

CommVault Systems Inc *

     5,680       357  

Consensus Cloud Solutions Inc *

     12,471       670  

CSG Systems International Inc

    41,568       2,378  

Dropbox Inc, Cl A *

     67,962       1,521  

Euronet Worldwide Inc *

     315       30  

EVERTEC Inc

    916       30  

FleetCor Technologies Inc *

     7,960       1,462  

GoDaddy Inc, Cl A *

     15,666       1,172  

Hewlett Packard Enterprise Co

    418,100       6,673  

Intel Corp

    388,720       10,274  

InterDigital Inc

    5,108       253  

International Business Machines Corp

    102,708       14,470  

Knowles Corp *

     187,900       3,085  

LiveRamp Holdings Inc *

     13,809       324  

Maximus Inc

    1,038       76  

Microsoft Corp

    1,134       272  

NetApp Inc

    6,942       417  

Open Text Corp

    57,000       1,688  

Oracle Corp, Cl B

    171,028       13,980  

OSI Systems Inc *

     28,433       2,261  

Progress Software Corp

    8,096       408  

PTC Inc *

     4,147       498  

QUALCOMM Inc

    5,591       615  

Roper Technologies Inc

    4,223       1,825  

Sapiens International Corp NV

    16,915       313  

Seagate Technology Holdings PLC

    61,200       3,220  

Skyworks Solutions Inc

    12,229       1,114  

SS&C Technologies Holdings Inc

    7,993       416  

Teradata Corp *

     30,264       1,019  

Upland Software Inc *

     23,680       169  

VeriSign Inc *

     3,129       643  

Vishay Intertechnology Inc

    6,312       136  

Vishay Precision Group Inc *

     2,602       100  

Vontier Corp

    17,162       332  

Western Union Co/The

    608,574       8,380  

Yext Inc *

     22,753       148  
                 
              122,596  

Materials — 3.9%

        

Balchem Corp

    1,406       172  

Berry Global Group Inc

    59,384       3,589  

International Paper Co

    65,600       2,272  

NewMarket Corp

    19,148       5,957  

Newmont Corp

    14,740       696  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Packaging Corp of America

    32,800     $ 4,195  

Sealed Air Corp

    43,200       2,155  

Silgan Holdings Inc

    155,186       8,045  

Sonoco Products Co

    72,100       4,377  

SSR Mining Inc

    58,727       920  

Westrock Co

    16,624       584  
                 
              32,962  

Real Estate — 0.3%

        

Agree Realty Corp ‡

     3,126       222  

Broadstone Net Lease Inc, Cl A ‡

     8,341       135  

BRT Apartments Corp ‡

     11,548       227  

Easterly Government Properties Inc, Cl A ‡

     5,111       73  

Equity Commonwealth ‡

     10,051       251  

Essex Property Trust Inc ‡

     988       209  

InvenTrust Properties Corp ‡

     4,826       114  

NETSTREIT Corp ‡

     5,167       95  

Postal Realty Trust Inc, Cl A ‡

     25,044       364  

RMR Group Inc/The, Cl A ‡

     8,154       230  

Weyerhaeuser Co ‡

     20,736       643  
                 
              2,563  

Utilities — 5.8%

        

American States Water Co

    5,612       519  

Avista Corp

    4,419       196  

Brookfield Infrastructure Corp, Cl A

    8,229       320  

Chesapeake Utilities Corp

    3,388       400  

Clearway Energy Inc, Cl A

    2,895       87  

Clearway Energy Inc, Cl C

    1,961       62  

Consolidated Edison Inc

    9,926       946  

Dominion Energy Inc

    29,907       1,834  

DTE Energy Co

    28,023       3,294  

Entergy Corp

    29,700       3,341  

Evergy Inc

    149,600       9,414  

Exelon Corp

    61,000       2,637  

Hawaiian Electric Industries Inc

    11,878       497  

MGE Energy Inc

    1,751       123  

Middlesex Water Co

    795       63  

National Fuel Gas Co

    121,522       7,692  

New Jersey Resources Corp

    336       17  

Northwest Natural Holding Co

    5,992       285  

NorthWestern Corp

    3,196       190  

Otter Tail Corp

    55,888       3,281  

Portland General Electric Co

    86,445       4,236  

SJW Group

    3,675       298  

Spire Inc

    2,651       183  

UGI Corp

    201,690       7,477  

Vistra Corp

    81,392       1,888  
                 
              49,280  

Total Common Stock

               

(Cost $684,675) ($ Thousands)

             825,020  
                 
                 

 

 

 

66

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

U.S. Managed Volatility Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.6%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     4,976,850     $ 4,977  
                 
                 

Total Affiliated Partnership

                

(Cost $4,978) ($ Thousands)

     4,977  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 1.7%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     14,155,012     $ 14,155  
                 

Total Cash Equivalent

                

(Cost $14,155) ($ Thousands)

             14,155  
                 
                 

Total Investments in Securities — 100.5%

                

(Cost $703,808) ($ Thousands)

  $ 844,152  
                 
                 

 

 
 

A list of open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     51       Mar-2023     $ 10,168     $ 9,845     $ (323 )
                                         
                                         

 

 

 

Percentages are based on Net Assets of $840,297 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $4,127 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $4,977 ($ Thousands).

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 7,816     $ 5,817     $ (8,656 )   $ —     $ —     $ 4,977     $ 28     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     9,947       76,760       (72,552 )     —       —       14,155       124       —  

Totals

   $ 17,763     $ 82,577     $ (81,208 )   $ —     $ —     $ 19,132     $ 152     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

67

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.1%

Australia — 0.6%

Coles Group Ltd

    31,635     $ 357  

Glencore PLC

    127,996       851  

Medibank Pvt Ltd

    135,762       270  

Rio Tinto Ltd

    13,776       1,083  

Telstra Group Ltd, Cl B

    932,275       2,511  
              5,072  
                 

Austria — 0.0%

Oberbank AG

    81       9  

Telekom Austria AG, Cl A

    44,848       276  
              285  
                 

Belgium — 0.3%

Ageas SA/NV

    21,222       938  

Deme Group NV *

     190       25  

Solvay SA

    12,483       1,259  
              2,222  
                 

Brazil — 0.2%

Yara International ASA

    37,531       1,641  
                 

Canada — 2.1%

BCE Inc

    99,699       4,382  

Canadian Utilities Ltd, Cl A

    38,800       1,050  

Dollarama Inc

    14,300       836  

Emera Inc

    25,200       963  

Empire Co Ltd, Cl A

    61,300       1,613  

George Weston Ltd

    34,321       4,255  

Loblaw Cos Ltd

    31,126       2,750  

Metro Inc/CN, Cl A

    22,600       1,250  

Wesdome Gold Mines Ltd *

     72,500       400  
              17,499  
                 

China — 0.8%

BOC Hong Kong Holdings Ltd

    1,346,000       4,587  

CITIC Telecom International Holdings Ltd

    1,597,000       542  

Kerry Logistics Network Ltd

    108,054       195  

Wilmar International Ltd

    433,000       1,346  
              6,670  
                 

Denmark — 0.9%

Carlsberg AS, Cl B

    22,777       3,018  

Novo Nordisk A/S, Cl B

    35,981       4,843  
              7,861  
                 

Finland — 1.1%

Elisa Oyj

    86,919       4,588  

Kemira Oyj

    11,081       170  

Orion Oyj, Cl A

    259       14  

Orion Oyj, Cl B

    26,878       1,470  

Sampo Oyj, Cl A

    61,749       3,217  
              9,459  
                 

France — 1.9%

ABC arbitrage

    4,265       29  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Air Liquide SA

    7,580     $ 1,071  

Carrefour SA

    104,207       1,740  

Orange SA

    518,003       5,131  

Sanofi

    85,944       8,240  
              16,211  
                 

Germany — 0.0%

Henkel AG & Co KGaA

    6,099       392  

McKesson Europe AG

    874       19  
              411  
                 

Hong Kong — 2.9%

CK Hutchison Holdings Ltd

    404,000       2,425  

CLP Holdings Ltd, Cl B

    746,156       5,444  

Dah Sing Banking Group Ltd

    108,898       78  

HK Electric Investments & HK Electric Investments Ltd

    475,315       315  

HKT Trust & HKT Ltd

    2,767,000       3,393  

Langham Hospitality Investments and Langham Hospitality Investments Ltd ‡

     425,500       61  

Link REIT ‡

     135,200       993  

Miramar Hotel & Investment

    49,000       77  

MTR Corp Ltd

    118,500       628  

New World Development Co Ltd ‡

     345,000       972  

PCCW Ltd

    4,732,000       2,134  

Power Assets Holdings Ltd

    964,000       5,280  

Regal Hotels International Holdings Ltd *

     158,182       65  

SmarTone Telecommunications Holdings Ltd

    118,020       71  

Swire Pacific Ltd, Cl A

    74,000       651  

VTech Holdings Ltd

    58,569       377  

WH Group Ltd

    3,029,000       1,762  
              24,726  
                 

Ireland — 0.2%

Kerry Group PLC, Cl A

    19,407       1,745  
                 

Israel — 2.4%

Bank Hapoalim BM

    166,611       1,494  

Bank Leumi Le-Israel BM

    375,974       3,120  

Bezeq The Israeli Telecommunication Corp Ltd

    762,886       1,304  

Check Point Software Technologies Ltd *

     71,994       9,083  

Elbit Systems Ltd

    1,395       226  

First International Bank Of Israel Ltd/The

    36,856       1,448  

ICL Group Ltd

    326,954       2,353  

Isracard Ltd

    5       –  

Nice Ltd *

     2,924       560  

Radware Ltd *

     14,978       296  

Rami Levy Chain Stores Hashikma Marketing 2006 Ltd

    1,637       114  
              19,998  
                 

Italy — 0.2%

ACEA SpA

    4,043       56  

 

 

 

68

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Iren SpA

    242,643     $ 380  

Italgas SpA

    28,912       160  

Orsero SpA

    2,595       37  

Snam SpA

    198,328       958  

TXT e-solutions SpA *

     5,101       70  
              1,661  
                 

Japan — 8.4%

Achilles Corp

    2,500       24  

Ahjikan Co Ltd

    1,200       8  

Aichi Electric Co Ltd

    600       15  

Akita Bank Ltd/The

    2,000       29  

Albis Co Ltd

    1,600       29  

Alinco Inc

    2,700       20  

Amano Corp

    6,200       114  

Anritsu Corp

    28,300       275  

Arcs Co Ltd

    38,300       637  

Asahi Co Ltd

    6,200       64  

Asante Inc

    8,400       103  

Autobacs Seven Co Ltd

    33,200       363  

Axial Retailing Inc

    2,300       59  

Belc Co Ltd

    4,300       187  

Calbee Inc

    6,500       147  

Canon Inc (A)

     25,800       558  

Canon Marketing Japan Inc (A)

     7,100       161  

Cawachi Ltd

    27,300       461  

C'BON COSMETICS Co Ltd

    1,100       13  

Chugin Financial Group Inc

    22,500       163  

CI Takiron Corp

    20,800       79  

Computer Engineering & Consulting Ltd

    18,100       210  

Create Medic Co Ltd

    5,677       38  

Dai Nippon Toryo Co Ltd

    7,800       44  

Earth Corp (A)

     21,200       813  

Eizo Corp

    8,600       223  

Ezaki Glico Co Ltd (A)

     14,300       392  

FAN Communications Inc

    8,000       25  

FJ Next Holdings Co Ltd

    14,600       106  

Fujicco Co Ltd

    22,500       327  

Fujiya Co Ltd (A)

     8,200       157  

Fukuda Denshi Co Ltd

    200       7  

Gakken Holdings Co Ltd

    5,300       37  

Gakkyusha Co Ltd

    5,600       77  

Heiwado Co Ltd

    23,600       383  

Hitachi Ltd

    569       29  

Hokuto Corp

    57,900       824  

House Foods Group Inc

    7,500       158  

Itochu-Shokuhin Co Ltd

    2,003       75  

Japan Oil Transportation Co Ltd

    2,100       35  

Japan Tobacco Inc (A)

     384,100       7,746  

JSP Corp

    10,800       121  

Kajima Corp

    90,800       1,057  

Kaken Pharmaceutical Co Ltd

    23,200       684  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kakiyasu Honten Co Ltd

    1,131     $ 18  

Kansai Electric Power Co Inc/The

    128,500       1,246  

Kato Sangyo Co Ltd

    27,200       724  

KDDI Corp

    69,700       2,103  

Kenedix Retail REIT Corp ‡

     162       312  

Key Coffee Inc

    7,400       116  

Komeri Co Ltd

    2,800       58  

Kyokuyo Co Ltd

    5,100       147  

KYORIN Holdings Inc

    104,700       1,365  

Maezawa Kasei Industries Co Ltd

    2,400       24  

Marimo Regional Revitalization REIT Inc ‡

     75       74  

Marvelous Inc *

     5,300       27  

McDonald's Holdings Co Japan Ltd (A)

     46,500       1,760  

Megmilk Snow Brand Co Ltd

    11,500       157  

Ministop Co Ltd

    4,700       51  

Miroku Jyoho Service Co Ltd

    6,500       71  

Mitsubishi Corp

    32,200       1,045  

Mitsubishi Shokuhin Co Ltd

    18,900       447  

Mitsui & Co Ltd

    5,600       164  

Mitsui DM Sugar Holdings Co Ltd

    9,900       151  

MIXI Inc

    10,900       204  

Miyoshi Oil & Fat Co Ltd (A)

     16,300       117  

Mochida Pharmaceutical Co Ltd

    6,100       161  

Mori Hills REIT Investment Corp ‡

     165       197  

Mori Trust Sogo Reit Inc ‡

     42       47  

Morinaga Milk Industry Co Ltd

    4,000       151  

Morozoff Ltd

    1,200       32  

Musashi Co Ltd

    2,400       26  

NEC Capital Solutions Ltd

    1,600       26  

NH Foods Ltd

    6,300       176  

Nichirei Corp

    16,800       366  

Nichirin Co Ltd

    2,600       35  

Nihon Chouzai Co Ltd

    25,200       232  

Nikko Co Ltd/Hyogo

    5,600       26  

Nintendo Co Ltd

    79,700       3,342  

Nippn Corp

    111,234       1,366  

Nippon Air Conditioning Services Co Ltd

    4,300       22  

Nippon BS Broadcasting Corp

    1,700       12  

NIPPON REIT Investment Corp ‡

     213       561  

Nippon Telegraph & Telephone Corp

    295,800       8,434  

Nisshin Oillio Group Ltd/The

    9,252       230  

Nissin Foods Holdings Co Ltd

    5,100       403  

Nittoc Construction Co Ltd

    17,600       124  

Oiles Corp

    3,800       42  

Okinawa Cellular Telephone Co

    7,000       154  

Osaki Electric Co Ltd

    13,700       55  

Otsuka Holdings Co Ltd (A)

     31,100       1,015  

OUG Holdings Inc

    2,236       40  

Raito Kogyo Co Ltd

    6,700       96  

Ryoden Corp

    2,300       30  

San Holdings Inc

    3,800       49  

San ju San Financial Group Inc

    3,700       45  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

69

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

San-A Co Ltd, Cl A

    22,800     $ 744  

Sanki Engineering Co Ltd

    11,600       136  

Sankyo Co Ltd

    33,700       1,374  

Secom Co Ltd

    3,000       172  

Shinmaywa Industries Ltd

    22,800       182  

Showa Sangyo Co Ltd

    18,600       355  

SKY Perfect JSAT Holdings Inc

    180,700       664  

SoftBank Corp

    474,400       5,350  

SRA Holdings

    5,000       115  

ST Corp

    5,400       62  

Sugi Holdings Co Ltd

    7,300       325  

Sumitomo Corp

    106,400       1,771  

Sumitomo Seika Chemicals Co Ltd

    2,700       83  

Sundrug Co Ltd

    57,400       1,703  

Takamatsu Construction Group Co Ltd

    9,300       135  

Takasago International Corp

    2,300       44  

Takeda Pharmaceutical Co Ltd

    99,300       3,094  

Teijin Ltd

    31,000       303  

Tekken Corp

    6,000       80  

TOKAI Holdings Corp

    54,700       356  

Tokushu Tokai Paper Co Ltd

    3,300       70  

Tokuyama Corp

    13,000       177  

Tokyo Gas Co Ltd

    28,700       562  

Tokyo Seimitsu Co Ltd

    11,000       356  

Tokyu Construction Co Ltd

    19,300       93  

Toyo Ink SC Holdings Co Ltd

    12,800       175  

Trend Micro Inc/Japan *(A)

     117,800       5,482  

Unicafe Inc *(A)

     6,400       45  

United Super Markets Holdings Inc

    101,800       868  

Uoriki Co Ltd

    5,800       94  

Valor Holdings Co Ltd

    6,500       90  

Vital KSK Holdings Inc

    31,000       200  

Wowow Inc

    19,124       184  

XYMAX REIT Investment Corp ‡

     105       96  

Yaoko Co Ltd

    6,100       313  

Yokorei Co Ltd

    21,200       172  

Yondoshi Holdings Inc

    3,300       44  

Zenrin Co Ltd

    5,400       34  
              71,056  
                 

Netherlands — 1.7%

Heineken Holding NV

    1,881       145  

Koninklijke Ahold Delhaize NV

    151,653       4,344  

Koninklijke KPN NV

    550,348       1,697  

OCI NV

    26,860       958  

Shell PLC

    95,963       2,712  

Wolters Kluwer NV

    44,109       4,602  
              14,458  
                 

New Zealand — 0.6%

Auckland International Airport Ltd *

     15,877       79  

Freightways Ltd

    33,894       207  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Spark New Zealand Ltd

    1,460,238     $ 4,987  
              5,273  
                 

Norway — 1.6%

AF Gruppen ASA

    449       7  

Bouvet ASA

    2,334       14  

Equinor ASA

    207,947       7,426  

Gjensidige Forsikring ASA

    9,038       176  

Orkla ASA

    216,768       1,561  

Sparebank 1 Oestlandet

    3,854       48  

SpareBank 1 Sorost-Norge

    3,479       20  

Sparebanken Vest

    8,999       84  

Telenor ASA

    429,885       3,997  

Veidekke ASA

    21,684       213  
              13,546  
                 

Portugal — 0.7%

Corticeira Amorim SGPS SA

    12,229       114  

Jeronimo Martins SGPS SA

    177,861       3,830  

Navigator Co SA/The

    192,891       711  

NOS SGPS SA

    57,922       234  

REN - Redes Energeticas Nacionais SGPS SA

    471,024       1,267  
              6,156  
                 

Singapore — 1.0%

Bukit Sembawang Estates Ltd ‡

     11,000       38  

Fraser and Neave Ltd

    20,400       19  

Jardine Matheson Holdings Ltd

    50,400       2,565  

Kimly Ltd

    90,400       24  

Oversea-Chinese Banking Corp Ltd

    159,400       1,448  

Sheng Siong Group Ltd

    1,367,374       1,682  

Singapore Exchange Ltd

    222,800       1,487  

Singapore Technologies Engineering Ltd

    331,700       828  

STMicroelectronics NV

    6,469       228  
              8,319  
                 

Spain — 0.8%

Cia de Distribucion Integral Logista Holdings SA

    30,628       772  

Endesa SA

    49,952       940  

Red Electrica Corp SA

    307,265       5,332  
              7,044  
                 

Sweden — 1.0%

Axfood AB

    160,322       4,399  

Swedish Orphan Biovitrum AB *

     14,037       290  

Tele2 AB, Cl B

    218,269       1,783  

Telia Co AB

    646,290       1,654  

Volvo AB, Cl A

    6,820       130  
              8,256  
                 

Switzerland — 4.9%

AEVIS VICTORIA SA

    1,211       23  

Barry Callebaut AG

    834       1,649  

Berner Kantonalbank AG

    248       59  

 

 

 

70

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Emmi AG

    346     $ 293  

Nestle SA

    53,225       6,164  

Novartis AG

    115,621       10,446  

Plazza AG ‡

     133       44  

PSP Swiss Property AG ‡

     33,334       3,909  

Roche Holding AG

    34,633       11,114  

Sonova Holding AG

    3,450       818  

St Galler Kantonalbank AG

    813       423  

Swisscom AG

    9,111       4,989  

TX Group AG

    316       50  

Zug Estates Holding AG, Cl B ‡

     3       6  

Zurich Insurance Group AG

    3,673       1,756  
              41,743  
                 

United Kingdom — 6.2%

Bunzl PLC

    78,191       2,595  

Coca-Cola Europacific Partners PLC

    25,128       1,390  

Diageo PLC

    3,467       152  

GSK PLC

    416,150       7,196  

HSBC Holdings PLC

    586,895       3,641  

Imperial Brands PLC

    325,920       8,119  

Reckitt Benckiser Group PLC

    83,834       5,803  

RELX PLC

    230,133       6,334  

Sage Group PLC/The

    636,756       5,711  

Shell PLC

    155,576       4,353  

Spirent Communications PLC

    233,490       731  

Standard Chartered PLC

    49,550       371  

Tesco PLC

    475,999       1,284  

Unilever PLC

    23,783       1,196  

Vodafone Group PLC

    3,319,373       3,364  
              52,240  
                 

United States — 57.6%

3M Co

    12,370       1,483  

AbbVie Inc

    17,243       2,787  

Aflac Inc

    1,493       107  

Air Products and Chemicals Inc

    3,287       1,013  

Alphabet Inc, Cl A *

     17,927       1,582  

Alphabet Inc, Cl C *

     16,522       1,466  

Altria Group Inc

    126,106       5,764  

Amcor PLC

    348,911       4,155  

Amdocs Ltd

    75,235       6,839  

American Business Bank *

     1,369       55  

American Electric Power Co Inc

    9,451       897  

American Software Inc/GA, Cl A

    2,317       34  

AMETEK Inc

    17,016       2,377  

Amgen Inc, Cl A

    33,111       8,696  

Aon PLC, Cl A

    7,297       2,190  

Apple Inc

    45,559       5,919  

AptarGroup Inc

    8,408       925  

Arrow Electronics Inc, Cl A *

     8,774       918  

Ashland Inc

    11,181       1,202  

AT&T Inc

    257,285       4,737  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

AutoZone Inc *

     3,599     $ 8,876  

Becton Dickinson and Co

    13,609       3,461  

Berkshire Hathaway Inc, Cl A *

     6       2,812  

Berkshire Hathaway Inc, Cl B *

     6,032       1,863  

Bio-Rad Laboratories Inc, Cl A *

     4,325       1,819  

BlackRock TCP Capital Corp

    35,631       461  

Booz Allen Hamilton Holding Corp, Cl A

    5,690       595  

Box Inc, Cl A *

     5,018       156  

Bristol-Myers Squibb Co

    128,895       9,274  

CACI International Inc, Cl A *

     1,202       361  

Cal-Maine Foods Inc

    8,862       483  

Campbell Soup Co

    115,684       6,565  

Cardinal Health Inc

    11,093       853  

Casey's General Stores Inc

    21,577       4,841  

Cboe Global Markets Inc

    17,490       2,194  

CF Industries Holdings Inc

    28,682       2,444  

CH Robinson Worldwide Inc

    29,085       2,663  

Chemed Corp

    229       117  

Chubb Ltd

    10,697       2,360  

Church & Dwight Co Inc

    113,675       9,163  

Cigna Corp

    6,966       2,308  

Cisco Systems Inc

    192,917       9,191  

Clorox Co/The

    13,878       1,947  

CME Group Inc, Cl A

    29,264       4,921  

Coca-Cola Co/The

    100,764       6,410  

Cognizant Technology Solutions Corp, Cl A

    4,618       264  

Colgate-Palmolive Co

    101,625       8,007  

Comcast Corp, Cl A

    8,307       290  

CommVault Systems Inc *

     61,856       3,887  

Computer Programs and Systems Inc *

     3,066       84  

Conagra Brands Inc

    2,371       92  

Consolidated Edison Inc

    12,694       1,210  

Constellation Brands Inc, Cl A

    5,141       1,191  

Corebridge Financial Inc

    44,341       890  

Costco Wholesale Corp

    18,904       8,630  

Crane Holdings Co

    55,914       5,617  

CVS Health Corp

    26,200       2,442  

Dolby Laboratories Inc, Cl A

    48,161       3,397  

Dominion Energy Inc

    17,999       1,104  

Domino's Pizza Inc

    4,057       1,405  

DTE Energy Co

    51,528       6,056  

Duke Energy Corp

    22,584       2,326  

Ecolab Inc

    23,301       3,392  

Elevance Health Inc

    1,275       654  

Ennis Inc

    6,146       136  

Expeditors International of Washington Inc

    17,393       1,808  

Exxon Mobil Corp

    7,131       787  

Fair Isaac Corp *

     5,805       3,475  

Ferguson PLC

    9,739       1,237  

Flowers Foods Inc

    175,867       5,054  

FMC Corp

    12,018       1,500  

Fox Corp, Cl A

    42,933       1,304  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

71

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

General Dynamics Corp

    13,144     $ 3,261  

General Mills Inc

    128,630       10,786  

Genuine Parts Co

    2,648       459  

Gilead Sciences Inc

    129,363       11,106  

Graco Inc

    20,586       1,385  

Graham Holdings Co, Cl B

    2,107       1,273  

Grand Canyon Education Inc *

     13,044       1,378  

Hackett Group Inc/The

    7,061       144  

HealthStream Inc *

     4,884       121  

Henry Schein Inc *

     19,836       1,584  

Hershey Co/The

    41,111       9,520  

HF Sinclair Corp

    73,156       3,796  

Hologic Inc *

     4,389       328  

Hormel Foods Corp

    10,261       467  

Hubbell Inc, Cl B

    1,975       464  

Humana Inc

    15,265       7,819  

Incyte Corp *

     65,755       5,282  

Insperity Inc, Cl A

    2,599       295  

Intercontinental Exchange Inc

    51,850       5,319  

J M Smucker Co/The

    28,405       4,501  

Jack Henry & Associates Inc

    7,815       1,372  

Jacobs Solutions Inc

    33,430       4,014  

John B Sanfilippo & Son Inc

    7,496       610  

Johnson & Johnson

    61,013       10,778  

Juniper Networks Inc

    263,977       8,437  

Kellogg Co

    126,059       8,981  

Kimberly-Clark Corp

    87,479       11,875  

Knight-Swift Transportation Holdings Inc, Cl A

    635       33  

Lamb Weston Holdings Inc

    2,486       222  

Lockheed Martin Corp

    11,027       5,365  

Mallinckrodt PLC *

     1,300       10  

Marsh & McLennan Cos Inc

    46,568       7,706  

McDonald's Corp

    6,506       1,715  

McKesson Corp

    21,970       8,241  

Medtronic PLC

    51,373       3,993  

Merck & Co Inc

    77,694       8,620  

Microsoft Corp

    24,820       5,952  

Molina Healthcare Inc *

     6,097       2,013  

Mondelez International Inc, Cl A

    119,899       7,991  

MP Materials Corp *

     20,428       496  

NetScout Systems Inc *

     14,779       480  

NewMarket Corp

    567       176  

Newmont Corp

    1,522       72  

NexPoint Diversified Real Estate Trust ‡

     10,017       112  

NextGen Healthcare Inc *

     26,470       497  

NiSource Inc

    9,494       260  

Northrop Grumman Corp

    1,282       699  

Oracle Corp, Cl B

    35,044       2,864  

O'Reilly Automotive Inc *

     1,137       960  

PACCAR Inc

    27,078       2,680  

Packaging Corp of America

    3,303       422  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

PepsiCo Inc

    41,651     $ 7,525  

Pfizer Inc

    31,207       1,599  

Philip Morris International Inc

    74,471       7,537  

Phillips 66

    21,044       2,190  

Prestige Consumer Healthcare Inc, Cl A *

     13,879       869  

Procter & Gamble Co/The

    70,137       10,630  

Public Storage ‡

     8,145       2,282  

QIAGEN NV *

     764       38  

Regeneron Pharmaceuticals Inc *

     444       320  

Reliance Steel & Aluminum Co

    12,207       2,471  

Robert Half International Inc

    2,671       197  

Royal Gold Inc, Cl A

    57,746       6,509  

RPM International Inc

    41,947       4,088  

Sealed Air Corp

    7,719       385  

Service Corp International/US

    8,364       578  

Sherwin-Williams Co/The, Cl A

    18,159       4,310  

Silgan Holdings Inc

    101,226       5,248  

Sixth Street Specialty Lending Inc

    21,329       380  

Sonoco Products Co

    15,806       960  

Synopsys Inc *

     612       195  

Toro Co/The

    3,216       364  

Travelers Cos Inc/The

    19,381       3,634  

Tyson Foods Inc, Cl A

    46,876       2,918  

United Parcel Service Inc, Cl B

    284       49  

UnitedHealth Group Inc

    11,487       6,090  

USANA Health Sciences Inc *

     14,391       766  

Valero Energy Corp

    24,155       3,064  

Varia US Properties AG ‡

     28       2  

Verint Systems Inc *

     20,206       733  

VeriSign Inc *

     12,264       2,520  

Verizon Communications Inc

    265,864       10,475  

Vertex Pharmaceuticals Inc *

     14,355       4,145  

Vistra Corp

    43,220       1,003  

VMware Inc, Cl A *

     1,674       206  

Walgreens Boots Alliance Inc

    58,653       2,191  

Walmart Inc

    29,605       4,198  

Waste Management Inc

    2,314       363  

Waterstone Financial Inc

    3,254       56  

WEC Energy Group Inc

    13,217       1,239  

Western Union Co/The

    147,878       2,036  

Yum! Brands Inc

    21,401       2,741  
              489,561  
                 

Total Common Stock

               

(Cost $789,197) ($ Thousands)

             833,113  
                 
                 

 

 

 

72

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 2.2%

SEI Liquidity Fund, LP

                

4.240% **†(B)

     19,025,894     $ 19,028  
                 
                 

Total Affiliated Partnership

                

(Cost $19,029) ($ Thousands)

     19,028  
                 
                 
                 

CASH EQUIVALENT — 1.2%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     10,304,144       10,304  
                 

Total Cash Equivalent

                

(Cost $10,304) ($ Thousands)

             10,304  
                 
                 

Total Investments in Securities — 101.5%

                

(Cost $818,530) ($ Thousands)

  $ 862,445  
                 
                 

 

 
 

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     27       Mar-2023     $ 1,095     $ 1,090     $ (7 )

FTSE 100 Index

     5       Mar-2023       451       449       (2 )

S&P 500 Index E-MINI

     38       Mar-2023       7,271       7,336       65  

SPI 200 Index

     4       Mar-2023       474       474       (3 )

TOPIX Index

     2       Mar-2023       284       287       –  
                    $ 9,575     $ 9,636     $ 53  

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Barclays PLC

     01/09/23       CAD       18,332       USD       13,406     $ (124 )

Barclays PLC

     01/09/23       NOK       81,436       USD       8,115       (154 )

BNP Paribas

     01/09/23       CHF       18,583       USD       19,822       (277 )

BNP Paribas

     01/09/23       EUR       32,124       USD       33,796       (499 )

BNP Paribas

     01/09/23       HKD       105,104       USD       13,489       21  

Brown Brothers Harriman

     01/09/23       USD       224       AUD       333       1  

Brown Brothers Harriman

     01/09/23       USD       15       AUD       22       —  

Brown Brothers Harriman

     01/09/23       USD       26       NZD       41       —  

Brown Brothers Harriman

     01/09/23       USD       497       NZD       780       (3 )

Brown Brothers Harriman

     01/09/23       USD       538       SGD       727       4  

Brown Brothers Harriman

     01/09/23       AUD       133       USD       90       —  

Brown Brothers Harriman

     01/09/23       AUD       448       USD       301       (3 )

Brown Brothers Harriman

     01/09/23       NZD       252       USD       160       1  

Brown Brothers Harriman

     01/09/23       NZD       471       USD       297       (1 )

Brown Brothers Harriman

     01/09/23       USD       732       DKK       5,118       3  

Brown Brothers Harriman

     01/09/23       SGD       258       USD       192       —  

Brown Brothers Harriman

     01/09/23       SGD       956       USD       708       (5 )

Brown Brothers Harriman

     01/09/23       USD       1,221       NOK       12,076       6  

Brown Brothers Harriman

     01/09/23       USD       200       NOK       1,951       (2 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

73

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Brown Brothers Harriman

     01/09/23       CHF       1,037       USD       1,121     $ —  

Brown Brothers Harriman

     01/09/23       CHF       1,045       USD       1,126       (5 )

Brown Brothers Harriman

     01/09/23       USD       2,116       HKD       16,477       (4 )

Brown Brothers Harriman

     01/09/23       CAD       956       USD       706       —  

Brown Brothers Harriman

     01/09/23       CAD       1,173       USD       860       (6 )

Brown Brothers Harriman

     01/09/23       USD       627       SEK       6,556       2  

Brown Brothers Harriman

     01/09/23       USD       1,520       SEK       15,750       (8 )

Brown Brothers Harriman

     01/09/23       GBP       2,845       USD       3,442       18  

Brown Brothers Harriman

     01/09/23       GBP       137       USD       164       —  

Brown Brothers Harriman

     01/09/23       USD       3,374       CAD       4,595       17  

Brown Brothers Harriman

     01/09/23       USD       90       CAD       121       —  

Brown Brothers Harriman

     01/09/23       USD       2,024       CHF       1,884       13  

Brown Brothers Harriman

     01/09/23       USD       1,620       CHF       1,495       (3 )

Brown Brothers Harriman

     01/09/23       USD       3,874       GBP       3,193       (32 )

Brown Brothers Harriman

     01/09/23       DKK       1,715       USD       246       —  

Brown Brothers Harriman

     01/09/23       DKK       3,315       USD       474       (2 )

Brown Brothers Harriman

     01/09/23       EUR       1,886       USD       2,014       —  

Brown Brothers Harriman

     01/09/23       EUR       3,951       USD       4,198       (20 )

Brown Brothers Harriman

     01/09/23       USD       5,936       EUR       5,581       23  

Brown Brothers Harriman

     01/09/23       NOK       5,014       USD       509       —  

Brown Brothers Harriman

     01/09/23       NOK       4,981       USD       503       (3 )

Brown Brothers Harriman

     01/09/23       SEK       11,087       USD       1,068       4  

Brown Brothers Harriman

     01/09/23       SEK       1,496       USD       143       (1 )

Brown Brothers Harriman

     01/09/23       HKD       17,512       USD       2,247       3  

Brown Brothers Harriman

     01/10/23       USD       5,790       JPY       780,175       128  

Brown Brothers Harriman

     01/10/23       USD       1,223       JPY       160,222       (7 )

Brown Brothers Harriman

     01/10/23       JPY       191,952       USD       1,458       2  

Brown Brothers Harriman

     01/10/23       JPY       628,212       USD       4,686       (79 )

Standard Chartered

     01/09/23       AUD       1,918       USD       1,284       (17 )

Standard Chartered

     01/09/23       GBP       19,769       USD       24,038       255  

Standard Chartered

     01/09/23       DKK       29,515       USD       4,178       (60 )

Standard Chartered

     01/09/23       SEK       109,715       USD       10,585       51  

Westpac Banking

     01/09/23       SGD       4,092       USD       3,012       (39 )

Westpac Banking

     01/09/23       NZD       4,487       USD       2,843       5  

Westpac Banking

     01/10/23       JPY       4,484,272       USD       32,789       (1,227 )
                                            $ (2,024 )

 

 

Percentages are based on Net Assets of $849,355 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $17,933 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $19,028 ($ Thousands).

 

 

 

74

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Global Managed Volatility Fund (Concluded)

 

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 17,355     $ 41,917     $ (40,248 )   $ 1     $ 3     $ 19,028     $ 17     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     8,497       56,690       (54,883 )     —       —       10,304       84       —  

Totals

   $ 25,852     $ 98,607     $ (95,131 )   $ 1     $ 3     $ 29,332     $ 101     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

75

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.8%
                 

Communication Services — 2.3%

        

Alphabet Inc, Cl A *

     21,473     $ 1,895  

Alphabet Inc, Cl C *

     2,000       177  

AT&T Inc

    190,500       3,507  

Fox Corp, Cl A

    83,711       2,542  

Fox Corp, Cl B

    52,779       1,501  

Madison Square Garden Sports Corp

    8,917       1,635  

New York Times Co/The, Cl A

    92,656       3,008  

Verizon Communications Inc

    176,872       6,969  
                 
              21,234  

Consumer Discretionary — 5.0%

        

AutoZone Inc *

     10,000       24,662  

Darden Restaurants Inc

    7,687       1,063  

Dick's Sporting Goods Inc

    13,375       1,609  

Dollar General Corp

    8,848       2,179  

Honda Motor Co Ltd ADR

    129,300       2,956  

McDonald's Corp

    24,867       6,553  

Target Corp, Cl A

    25,933       3,865  

Toyota Motor Corp ADR

    16,500       2,253  
                 
              45,140  

Consumer Staples — 15.4%

        

Altria Group Inc

    51,246       2,342  

Archer-Daniels-Midland Co

    11,942       1,109  

Bunge Ltd

    11,345       1,132  

Campbell Soup Co

    50,496       2,866  

Church & Dwight Co Inc

    74,784       6,028  

Clorox Co/The

    19,287       2,707  

Coca-Cola Co/The

    63,107       4,014  

Coca-Cola Europacific Partners PLC

    49,400       2,733  

Colgate-Palmolive Co

    68,670       5,410  

Costco Wholesale Corp

    10,898       4,975  

General Mills Inc

    70,976       5,951  

Hershey Co/The

    32,533       7,534  

Hormel Foods Corp

    110,755       5,045  

J M Smucker Co/The

    33,538       5,314  

Kellogg Co

    91,886       6,546  

Kimberly-Clark Corp

    41,715       5,663  

Kroger Co/The

    317,500       14,154  

Lamb Weston Holdings Inc

    28,333       2,532  

McCormick & Co Inc/MD

    75,752       6,279  

Metro Inc/CN, Cl A

    58,400       3,231  

PepsiCo Inc

    56,305       10,172  

Procter & Gamble Co/The

    39,490       5,985  

Tyson Foods Inc, Cl A

    67,054       4,174  

Walmart Inc

    169,607       24,049  
                 
              139,945  

Energy — 1.0%

        

Chesapeake Energy Corp

    30,700       2,897  

DT Midstream Inc

    19,049       1,053  

Exxon Mobil Corp

    17,300       1,908  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Williams Cos Inc/The

    96,414     $ 3,172  
                 
              9,030  

Financials — 15.2%

        

Aflac Inc

    112,800       8,115  

Allstate Corp/The

    65,446       8,875  

American Financial Group Inc/OH

    41,500       5,697  

Assurant Inc

    10,566       1,321  

Bank of America Corp

    7,089       235  

Bank of Hawaii Corp

    48,639       3,772  

Bank OZK

    120,055       4,809  

Berkshire Hathaway Inc, Cl B *

     40,300       12,449  

Cboe Global Markets Inc

    46,588       5,845  

Chubb Ltd

    12,399       2,735  

Cullen/Frost Bankers Inc

    13,679       1,829  

Everest Re Group Ltd

    41,580       13,774  

Eversource Energy

    68,092       5,709  

First Hawaiian Inc

    91,228       2,376  

Hanover Insurance Group Inc/The, Cl A

    19,700       2,662  

M&T Bank Corp

    1,035       150  

MGIC Investment Corp

    145,255       1,888  

Morningstar Inc, Cl A

    21,864       4,736  

National Bank of Canada

    54,700       3,683  

Progressive Corp/The

    115,800       15,020  

RenaissanceRe Holdings Ltd

    31,431       5,790  

TFS Financial Corp

    110,415       1,591  

Travelers Cos Inc/The

    105,737       19,825  

White Mountains Insurance Group Ltd

    2,847       4,027  
                 
              136,913  

Health Care — 22.5%

        

AbbVie Inc

    88,384       14,284  

Agilent Technologies Inc

    1,588       238  

AmerisourceBergen Corp, Cl A

    14,727       2,440  

Amgen Inc, Cl A

    16,800       4,412  

AstraZeneca PLC ADR

    93,200       6,319  

Bio-Rad Laboratories Inc, Cl A *

     4,023       1,692  

Bristol-Myers Squibb Co

    124,169       8,934  

Chemed Corp

    1,680       857  

CVS Health Corp

    31,417       2,928  

Danaher Corp, Cl A

    4,059       1,077  

Elevance Health Inc

    44,047       22,595  

Eli Lilly & Co

    77,000       28,170  

Gilead Sciences Inc

    42,973       3,689  

Henry Schein Inc *

     3,411       272  

Humana Inc

    25,337       12,977  

Incyte Corp *

     55,898       4,490  

Johnson & Johnson

    63,627       11,240  

McKesson Corp

    8,957       3,360  

Merck & Co Inc

    220,445       24,458  

Mettler-Toledo International Inc *

     3,168       4,579  

Neurocrine Biosciences Inc *

     3,283       392  

Pfizer Inc

    208,635       10,691  

 

 

 

76

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Quest Diagnostics Inc

    50,752     $ 7,940  

Thermo Fisher Scientific Inc

    3,426       1,887  

United Therapeutics Corp *

     15,161       4,216  

UnitedHealth Group Inc

    35,650       18,901  
                 
              203,038  

Industrials — 12.1%

        

3M Co

    13,320       1,597  

Carrier Global Corp

    50,700       2,092  

CH Robinson Worldwide Inc

    33,696       3,085  

Cummins Inc

    10,600       2,568  

EMCOR Group Inc

    13,365       1,980  

General Dynamics Corp

    30,100       7,468  

L3Harris Technologies Inc

    26,704       5,560  

Landstar System Inc

    11,414       1,859  

Lockheed Martin Corp

    5,885       2,863  

Northrop Grumman Corp

    40,245       21,958  

Quanta Services Inc

    37,697       5,372  

Raytheon Technologies Corp

    135,100       13,634  

Republic Services Inc

    131,000       16,898  

Schneider National Inc, Cl B

    126,110       2,951  

Waste Management Inc

    124,445       19,523  
                 
              109,408  

Information Technology — 15.9%

        

Amdocs Ltd

    200,000       18,180  

Apple Inc

    205,700       26,727  

Automatic Data Processing Inc

    11,680       2,790  

Ciena Corp *

     35,219       1,796  

Cisco Systems Inc

    101,118       4,817  

CSG Systems International Inc

    37,600       2,151  

F5 Inc, Cl A *

     22,786       3,270  

Jack Henry & Associates Inc

    10,939       1,920  

Microsoft Corp

    97,950       23,490  

Motorola Solutions Inc

    87,964       22,669  

NetApp Inc

    46,296       2,781  

Oracle Corp, Cl B

    203,928       16,669  

Qorvo Inc *

     29,520       2,676  

Synopsys Inc *

     41,600       13,282  
                 
              143,218  

Materials — 2.2%

        

AptarGroup Inc

    6,262       689  

Avery Dennison Corp

    31,600       5,720  

Corteva Inc

    74,350       4,370  

Royal Gold Inc, Cl A

    15,330       1,728  

Sealed Air Corp

    58,400       2,913  

Silgan Holdings Inc

    81,300       4,214  
                 
              19,634  

Real Estate — 0.3%

        

Equity LifeStyle Properties Inc ‡

     29,390       1,899  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

SBA Communications Corp, Cl A ‡

     4,213     $ 1,181  
                 
              3,080  

Utilities — 5.9%

        

Ameren Corp

    74,283       6,605  

American Electric Power Co Inc

    77,441       7,353  

DTE Energy Co

    38,099       4,478  

Duke Energy Corp

    41,428       4,267  

Entergy Corp

    17,400       1,957  

National Fuel Gas Co

    34,340       2,174  

NextEra Energy Inc

    85,116       7,116  

Portland General Electric Co

    73,374       3,595  

Public Service Enterprise Group Inc

    55,400       3,394  

Southern Co/The

    83,686       5,976  

WEC Energy Group Inc

    63,946       5,996  
                 
              52,911  

Total Common Stock

               

(Cost $390,719) ($ Thousands)

             883,551  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†

     42,483       42  
                 
                 

Total Affiliated Partnership

                

(Cost $42) ($ Thousands)

     42  
                 
                 
                 

CASH EQUIVALENT — 2.1%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     18,668,696       18,669  
                 

Total Cash Equivalent

                

(Cost $18,669) ($ Thousands)

             18,669  
                 
                 

Total Investments in Securities — 99.9%

                

(Cost $409,430) ($ Thousands)

  $ 902,262  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

77

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed Managed Volatility Fund (Concluded)

 

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     61       Mar-2023     $ 11,910     $ 11,776     $ (134 )
                                         
                                         

 

 

 

Percentages are based on Net Assets of $903,088 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

 

‡

Real Estate Investment Trust.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 3,473     $ 1,563     $ (4,994 )   $ —     $ —     $ 42     $ 13     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     14,834       82,076       (78,241 )     —       —       18,669       127       —  

Totals

   $ 18,307     $ 83,639     $ (83,235 )   $ —     $ —     $ 18,711     $ 140     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

78

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.4%

Australia — 5.8%

Abacus Property Group ‡

     226,087     $ 401  

AGL Energy Ltd

    194,391       1,060  

Ansell Ltd

    19,834       379  

ANZ Group Holdings

    18,552       298  

APA Group

    12,739       93  

ASX Ltd

    5,643       259  

Aurizon Holdings Ltd

    461,205       1,164  

Bendigo & Adelaide Bank

    74,373       492  

BHP Group Ltd

    5,197       161  

Coles Group Ltd

    71,140       803  

Computershare Ltd

    19,479       342  

CSL Ltd

    3,389       658  

Deterra Royalties

    32,233       99  

Dexus *‡

     57,350       300  

EBOS Group Ltd

    5,627       156  

Elders Ltd

    26,856       184  

Endeavour Group Ltd/Australia

    21,286       92  

Glencore PLC

    152,932       1,016  

Harvey Norman Holdings Ltd

    390,215       1,089  

JB Hi-Fi Ltd

    40,629       1,153  

Medibank Pvt Ltd

    521,432       1,036  

Metcash Ltd, Cl A

    406,212       1,094  

Newcrest Mining Ltd

    13,198       184  

Orica Ltd

    14,718       150  

Orora Ltd

    321,320       626  

Rio Tinto Ltd

    9,399       739  

Rio Tinto PLC

    5,470       381  

Rio Tinto PLC ADR

    4,770       340  

Sonic Healthcare Ltd

    32,214       653  

South32 Ltd

    90,000       246  

Telstra Group Ltd, Cl B

    502,620       1,354  

Vicinity Centres ‡

     170,560       229  

Wesfarmers Ltd

    18,824       585  

Woolworths Group Ltd

    17,215       392  
              18,208  
                 

Austria — 0.7%

CA Immobilien Anlagen AG ‡

     4,737       143  

Mayr Melnhof Karton AG

    3,798       613  

Oesterreichische Post AG (A)

     11,087       348  

S Immo AG

    9,548       –  

Telekom Austria AG, Cl A

    81,520       503  

Verbund AG

    5,746       482  
              2,089  
                 

Belgium — 0.7%

Ageas SA/NV

    28,570       1,263  

Etablissements Franz Colruyt NV

    34,473       784  

Proximus SADP

    13,891       133  

UCB SA, Cl A

    2,296       180  
              2,360  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Brazil — 0.1%

Yara International ASA

    7,751     $ 339  
                 

Canada — 2.1%

Bank of Nova Scotia/The, Cl C (A)

     7,856       385  

Canadian Imperial Bank of Commerce

    22,622       914  

Canadian Tire Corp Ltd, Cl A

    16,576       1,731  

Cogeco Communications Inc

    11,715       664  

Empire Co Ltd, Cl A

    30,553       804  

Loblaw Cos Ltd

    24,108       2,130  
              6,628  
                 

China — 0.5%

BOC Hong Kong Holdings Ltd

    351,000       1,196  

Wilmar International Ltd

    124,500       387  
              1,583  
                 

Denmark — 3.0%

AP Moller - Maersk A/S, Cl B

    127       285  

Carlsberg AS, Cl B

    12,271       1,626  

Coloplast A/S, Cl B

    7,340       855  

Danske Bank A/S

    48,402       954  

DSV A/S

    720       113  

Genmab A/S *

     1,478       624  

Jyske Bank A/S *

     2,041       132  

Novo Nordisk A/S, Cl B

    18,196       2,450  

Scandinavian Tobacco Group A/S

    66,734       1,169  

Solar A/S, Cl B

    2,119       189  

Sydbank A/S

    22,507       945  

UIE

    5,640       144  
              9,486  
                 

Finland — 1.9%

Elisa Oyj

    12,487       659  

Kemira Oyj

    45,914       702  

Kesko Oyj, Cl B

    56,495       1,244  

Metsa Board, Cl B

    50,571       473  

Orion Oyj, Cl B

    28,803       1,575  

Sampo Oyj, Cl A

    5,926       309  

TietoEVRY Oyj

    35,616       1,008  
              5,970  
                 

France — 9.3%

Air Liquide SA

    4,883       690  

Arkema SA

    7,540       675  

AXA SA

    35,579       989  

BNP Paribas SA

    3,209       182  

Caisse Regionale de Credit Agricole Mutuel Brie Picardie

    5,335       99  

Caisse Regionale de Credit Agricole Mutuel Nord de France

    9,313       164  

Caisse Regionale de Credit Agricole Mutuel Sud Rhone Alpes

    886       104  

Carrefour SA

    145,994       2,437  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

79

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cie Generale des Etablissements Michelin SCA

    64,025     $ 1,776  

Credit Agricole SA

    22,471       236  

Danone SA

    48,613       2,554  

Engie SA

    109,908       1,571  

Euroapi *

     2,998       44  

Eutelsat Communications SA (A)

     79,016       587  

Ipsen SA

    868       93  

Legrand SA

    1,842       147  

L'Oreal SA

    465       165  

Metropole Television SA

    61,744       1,012  

Orange SA

    375,770       3,722  

Pernod Ricard SA

    6,112       1,199  

Sanofi

    68,378       6,556  

Societe BIC SA

    24,363       1,663  

Thales SA, Cl A

    5,065       645  

TotalEnergies SE (A)

     25,354       1,587  

Vivendi SE

    33,639       320  
              29,217  
                 

Germany — 4.9%

BASF SE

    3,269       162  

Bayer AG

    33,074       1,706  

Bayerische Motoren Werke AG

    1,331       118  

Beiersdorf AG

    12,795       1,464  

Deutsche Boerse AG

    3,936       678  

Deutsche Post AG

    28,985       1,088  

Deutsche Telekom AG

    168,553       3,353  

E.ON SE

    10,939       109  

Freenet AG

    47,470       1,035  

Fresenius Medical Care AG & Co KGaA

    3,728       122  

Fresenius SE & Co KGaA

    14,259       399  

Hannover Rueck SE

    1,509       299  

Henkel AG & Co KGaA

    2,190       141  

Hornbach Holding AG & Co KGaA

    11,109       916  

Knorr-Bremse AG

    2,220       121  

Merck KGaA

    4,963       958  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

    5,589       1,813  

QIAGEN NV *

     11,941       597  

Siemens Healthineers AG

    2,446       122  

Sirius Real Estate Ltd ‡

     87,389       78  

Talanx AG

    3,767       178  
              15,457  
                 

Hong Kong — 4.0%

Chevalier International Holdings

    70,000       63  

China Motor Bus Co Ltd ‡

     6,800       63  

CK Asset Holdings Ltd ‡

     236,500       1,456  

CK Hutchison Holdings Ltd

    225,000       1,351  

CK Infrastructure Holdings Ltd

    115,500       604  

CLP Holdings Ltd, Cl B

    39,500       288  

Dah Sing Banking Group Ltd

    643,600       462  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Harbour Centre Development ‡

     88,000     $ 81  

Henderson Land Development ‡

     87,000       304  

HK Electric Investments & HK Electric Investments Ltd

    609,500       404  

HKT Trust & HKT Ltd

    741,000       909  

Hutchison Telecommunications Hong Kong Holdings

    620,000       97  

Kerry Properties Ltd ‡

     425,500       927  

Link ‡

     16,100       118  

New World Development Co Ltd ‡

     113,000       319  

Pacific Textiles Holdings

    276,000       91  

Paliburg Holdings Ltd *

     98,000       23  

PCCW Ltd

    1,944,704       877  

Power Assets Holdings Ltd

    228,000       1,249  

SmarTone Telecommunications Holdings Ltd

    328,500       198  

VTech Holdings Ltd

    241,200       1,554  

WH Group Ltd

    1,763,000       1,025  
              12,463  
                 

Indonesia — 0.1%

First Resources Ltd

    228,600       252  
                 

Israel — 2.2%

Bank Hapoalim BM

    84,582       759  

Bank Leumi Le-Israel BM

    130,338       1,081  

Check Point Software Technologies Ltd *

     15,009       1,894  

Elbit Systems Ltd

    5,463       885  

ICL Group Ltd

    115,335       830  

Isracard Ltd

    –       –  

Mizrahi Tefahot Bank Ltd

    12,013       386  

Oil Refineries Ltd

    1,987,570       694  

Radware Ltd *

     4,841       96  

Shufersal Ltd

    26,493       152  
              6,777  
                 

Italy — 2.0%

A2A SpA

    537,173       714  

ACEA SpA

    26,106       360  

Assicurazioni Generali SpA

    15,478       274  

Enel SpA

    61,229       329  

Eni SpA

    126,614       1,795  

Hera SpA

    106,201       285  

Snam SpA

    154,099       745  

Terna - Rete Elettrica Nazionale

    41,284       304  

UnipolSai Assicurazioni SpA

    545,440       1,340  
              6,146  
                 

Japan — 25.1%

AEON Investment Corp ‡

     681       797  

Anritsu Corp

    14,300       139  

Aozora Bank Ltd (A)

     37,600       740  

Arcs Co Ltd

    45,400       756  

Bandai Namco Holdings Inc

    2,300       145  

 

 

 

80

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Bridgestone Corp (A)

     26,900     $ 956  

Brother Industries Ltd

    45,600       694  

Canon Inc (A)

     74,600       1,614  

Choushimaru Co Ltd

    10,500       89  

CI Takiron Corp

    66,800       255  

Daicel Corp

    75,100       544  

Daiichi Sankyo Co Ltd

    7,500       242  

Daiki Aluminium Industry Co Ltd

    9,800       92  

Daito Trust Construction Co Ltd

    1,700       174  

DCM Holdings Co Ltd

    121,800       1,110  

Earth Corp

    2,700       104  

EDION Corp

    77,600       756  

ENEOS Holdings Inc

    438,800       1,490  

Ezaki Glico Co Ltd (A)

     16,900       464  

Fuji Nihon Seito

    29,300       114  

Fujicco Co Ltd

    7,900       115  

FUJIFILM Holdings Corp

    7,600       382  

Heiwado Co Ltd

    7,900       128  

Hokkan Holdings

    14,000       146  

Honda Motor Co Ltd

    18,300       421  

House Foods Group Inc

    9,900       208  

Hoya Corp

    1,500       144  

Idemitsu Kosan Co Ltd

    10,200       237  

Inaba Denki Sangyo Co Ltd

    8,000       164  

Inpex Corp (A)

     113,300       1,199  

ITOCHU Corp

    88,700       2,787  

Itochu Enex Co Ltd

    78,700       626  

Itoham Yonekyu Holdings

    160,400       852  

Iwatani Corp

    6,300       276  

Japan Post Bank Co Ltd

    38,900       333  

Japan Post Holdings Co Ltd

    227,700       1,915  

Japan Tobacco Inc (A)

     130,500       2,632  

Kadoya Sesame Mills Inc

    3,900       104  

Kajima Corp

    157,800       1,837  

Kaken Pharmaceutical Co Ltd

    42,500       1,253  

Kamigumi Co Ltd

    17,200       350  

Kaneka Corp

    12,600       314  

Kansai Electric Power Co Inc/The

    47,000       456  

Kato Sangyo Co Ltd

    8,700       231  

KDDI Corp

    117,300       3,540  

Keihanshin Building Co Ltd ‡

     14,200       138  

Keisei Electric Railway

    4,674       133  

Keiyo Co Ltd

    32,400       221  

Kewpie Corp

    18,100       328  

Kinden Corp

    80,000       872  

Komeri Co Ltd

    5,200       108  

K's Holdings Corp

    32,400       277  

Kuraray Co Ltd (A)

     187,400       1,503  

Kurimoto Ltd

    10,700       141  

Lawson Inc

    8,600       328  

Lintec Corp

    19,400       316  

Lion Corp

    21,200       243  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Marubeni Corp

    17,400     $ 200  

Maruichi Steel Tube Ltd

    4,400       90  

McDonald's Holdings Co Japan Ltd (A)

     11,800       447  

Medipal Holdings Corp

    8,100       107  

Megmilk Snow Brand Co Ltd

    25,000       341  

MEIJI Holdings Co Ltd

    14,400       736  

Mirait Holdings Corp

    59,300       683  

Mitsubishi Corp

    3,200       104  

Mitsubishi Electric Corp

    62,600       623  

Mitsubishi Shokuhin Co Ltd

    23,500       556  

Mitsubishi UFJ Financial Group Inc

    205,800       1,387  

Mitsui & Co Ltd

    28,400       829  

Mizuho Financial Group Inc (A)

     197,280       2,775  

Mochida Pharmaceutical Co Ltd

    4,000       106  

Morinaga

    14,200       422  

Morinaga Milk Industry Co Ltd

    7,400       280  

Morishita Jintan Co Ltd

    10,900       157  

MS&AD Insurance Group Holdings Inc

    49,400       1,581  

NH Foods Ltd

    17,300       482  

Nichirei Corp

    6,500       142  

Nintendo Co Ltd

    23,000       964  

Nippn Corp

    25,200       309  

Nippon Electric Glass (A)

     15,200       270  

NIPPON EXPRESS HOLDINGS INC (A)

     9,100       520  

Nippon Kayaku

    11,300       98  

Nippon Light Metal Holdings Co Ltd

    17,800       204  

Nippon Telegraph & Telephone Corp

    169,100       4,821  

Nippon Television Holdings

    11,100       88  

Nisshin Seifun Group Inc

    15,500       194  

Nissin Foods Holdings Co Ltd

    2,500       197  

Nitto Fuji Flour Milling Co Ltd

    5,000       168  

Nomura Holdings Inc

    27,600       102  

Okinawa Cellular Telephone Co

    6,200       137  

Ono Pharmaceutical Co Ltd

    8,100       189  

ORIX Corp

    15,100       242  

Otsuka Corp

    9,100       287  

Otsuka Holdings Co Ltd (A)

     11,200       365  

Rengo Co Ltd

    66,100       455  

S&B Foods

    3,700       97  

Sankyo Co Ltd

    38,600       1,574  

Sankyu Inc

    10,600       388  

Secom Co Ltd

    11,400       652  

Seino Holdings Co Ltd

    36,900       328  

Sekisui Chemical Co Ltd

    43,000       601  

Sekisui House Ltd

    42,200       746  

Senko Group Holdings

    59,100       432  

Seven & i Holdings Co Ltd

    5,500       236  

Shizuoka Financial Group

    72,400       579  

Showa Sangyo Co Ltd

    5,500       105  

SoftBank Corp (A)

     83,300       939  

Sompo Holdings Inc

    8,200       364  

Sugi Holdings Co Ltd

    6,900       307  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

81

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sumitomo Chemical Co Ltd

    67,000     $ 241  

Sumitomo Corp

    44,900       747  

Sumitomo Mitsui Financial Group Inc

    46,500       1,866  

Sumitomo Mitsui Trust Holdings

    29,800       1,036  

Sundrug Co Ltd

    16,200       481  

Taisei Corp

    17,100       551  

Takeda Pharmaceutical Co Ltd

    26,500       826  

Techno Ryowa

    18,100       123  

Teijin Ltd

    158,600       1,548  

Toho Holdings Co Ltd

    13,800       230  

Tokio Marine Holdings Inc

    8,700       186  

Tokyo Gas Co Ltd

    30,800       603  

Toyo Suisan Kaisha Ltd

    2,600       100  

Toyota Motor Corp

    20,500       282  

Trend Micro Inc/Japan (A)

     21,100       982  

USS Co Ltd

    61,600       978  

Valor Holdings Co Ltd

    29,600       409  

Yaizu Suisankagaku Industry Co Ltd

    16,800       108  

Yamada Denki Co Ltd

    348,900       1,235  

Yamaguchi Financial Group

    92,500       604  

Yamato Holdings Co Ltd

    5,700       90  

Yellow Hat Ltd

    11,200       152  

Zaoh Co Ltd

    8,700       114  
              79,031  
                 

Jordan — 0.1%

Hikma Pharmaceuticals PLC

    21,879       409  
                 

Netherlands — 3.0%

ABN AMRO Bank NV

    11,695       161  

Heineken Holding NV

    1,435       110  

JDE Peet's NV

    16,874       487  

Koninklijke Ahold Delhaize NV

    184,443       5,283  

Koninklijke KPN NV

    143,332       442  

NN Group NV

    37,509       1,528  

OCI NV

    9,645       344  

Shell PLC

    3,555       101  

Signify NV

    4,814       161  

Wolters Kluwer NV

    9,184       958  
              9,575  
                 

New Zealand — 0.9%

Fisher & Paykel Healthcare Corp Ltd

    19,131       273  

Fletcher Building Ltd

    153,357       458  

Freightways Ltd

    33,613       205  

Mainfreight Ltd

    3,366       144  

Manawa Energy Ltd

    32,240       102  

Mercury NZ Ltd

    109,078       384  

Meridian Energy Ltd

    35,190       117  

SKY Network Television

    42,841       62  

Spark New Zealand Ltd

    354,077       1,209  
              2,954  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Norway — 1.1%

DNB Bank ASA

    22,448     $ 443  

Equinor ASA

    28,595       1,021  

Norsk Hydro ASA

    28,454       212  

Olav Thon Eiendomsselskap ASA ‡

     6,096       109  

Orkla ASA

    183,913       1,324  

SpareBank 1 SR-Bank ASA

    17,208       211  

Telenor ASA

    20,269       188  
              3,508  
                 

Portugal — 0.7%

Galp Energia SGPS SA

    11,883       160  

Jeronimo Martins SGPS SA

    75,328       1,622  

NOS SGPS SA

    37,349       151  

Sonae SGPS

    383,487       383  
              2,316  
                 

Singapore — 4.3%

DBS Group Holdings Ltd

    108,700       2,749  

Frasers Centrepoint ‡

     144,000       100  

Great Eastern Holdings Ltd

    25,400       350  

Ho Bee Land Ltd ‡

     39,500       72  

Jardine Cycle & Carriage Ltd

    96,500       2,058  

Jardine Matheson Holdings Ltd

    19,300       982  

Keppel Corp Ltd

    49,200       266  

Mapletree Logistics Trust ‡

     154,270       183  

Oversea-Chinese Banking Corp Ltd

    244,200       2,218  

Sheng Siong Group Ltd

    383,000       471  

Singapore Exchange Ltd

    44,800       299  

Singapore Technologies Engineering Ltd

    465,500       1,163  

Straits Trading Co Ltd

    87,910       153  

United Overseas Bank Ltd

    96,900       2,218  

Venture Corp Ltd

    25,400       323  
              13,605  
                 

South Africa — 0.0%

Thungela Resources Ltd

    1,394       23  
                 

Spain — 2.1%

CaixaBank SA

    37,980       149  

Cia de Distribucion Integral Logista Holdings SA

    90,492       2,279  

Endesa SA

    31,136       586  

Faes Farma SA

    125,662       471  

Iberdrola SA

    57,003       665  

Red Electrica Corp SA

    45,641       792  

Repsol SA, Cl A

    81,536       1,292  

Telefonica SA *

     61,390       222  
              6,456  
                 

Sweden — 1.6%

Axfood AB

    37,092       1,018  

Epiroc AB, Cl B

    14,793       238  

Essity AB, Cl B

    24,943       654  

KNOW IT AB

    7,589       148  

 

 

 

82

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Nordea Bank Abp, Cl A

    46,952     $ 503  

Nyfosa AB ‡

     18,745       145  

Svenska Cellulosa AB SCA, Cl B

    11,438       145  

Swedbank AB, Cl A

    32,836       559  

Swedish Orphan Biovitrum AB *

     29,681       615  

Tele2 AB, Cl B

    110,244       900  

Telia Co AB

    54,761       140  
              5,065  
                 

Switzerland — 7.8%

Alcon Inc

    3,282       224  

ALSO Holding AG

    606       111  

Baloise Holding AG

    7,301       1,126  

Banque Cantonale Vaudoise

    1,422       136  

Barry Callebaut AG

    300       593  

Basellandschaftliche Kantonalbank

    201       198  

Berner Kantonalbank AG

    473       114  

BKW AG

    5,701       779  

Chocoladefabriken Lindt & Spruengli AG

    74       754  

Emmi AG

    360       305  

EMS-Chemie Holding AG

    206       139  

Helvetia Holding AG

    4,974       580  

Intershop Holding AG ‡

     203       132  

Nestle SA

    10,269       1,189  

Novartis AG

    58,091       5,248  

PSP Swiss Property AG ‡

     2,998       352  

Roche Holding AG

    15,942       5,006  

Romande Energie Holding SA

    76       92  

Sika AG

    1,337       320  

Sonova Holding AG

    3,097       734  

Swiss Life Holding AG

    1,760       907  

Swiss Prime Site AG ‡

     1,431       124  

Swiss Re AG

    1,155       108  

Swisscom AG

    6,302       3,451  

Thurgauer Kantonalbank

    927       119  

TX Group AG

    559       89  

Valiant Holding AG

    9,267       1,002  

Vetropack Holding, Cl A

    3,654       143  

Zurich Insurance Group AG

    965       461  
              24,536  
                 

United Kingdom — 13.3%

3i Group PLC

    18,195       294  

Alliance Pharma PLC

    164,555       105  

AstraZeneca PLC ADR

    5,620       381  

Atalaya Mining PLC

    44,952       178  

Auto Trader Group PLC

    15,293       95  

B&M European Value Retail SA

    75,125       372  

BAE Systems PLC

    437,255       4,502  

Bank of Georgia Group

    12,433       390  

BP PLC

    235,524       1,345  

BP PLC ADR

    18,564       648  

British American Tobacco PLC

    49,933       1,971  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

British Land Co PLC/The ‡

     14,346     $ 68  

BT Group PLC, Cl A

    650,300       876  

Bunzl PLC

    27,294       906  

Coca-Cola Europacific Partners PLC

    6,368       352  

Computacenter PLC

    25,732       592  

DCC PLC

    8,658       425  

Diageo PLC

    12,148       533  

Direct Line Insurance Group

    256,905       684  

Ferguson PLC

    3,272       411  

Finsbury Food Group PLC

    134,390       149  

Gateley Holdings

    45,924       97  

GSK PLC

    244,055       4,220  

GSK PLC ADR

    9,074       319  

Haleon *

     227,013       894  

Howden Joinery Group PLC

    31,799       215  

HSBC Holdings PLC

    129,946       806  

Imperial Brands PLC

    167,084       4,162  

Inchcape PLC

    24,346       240  

J Sainsbury PLC

    587,868       1,539  

Kingfisher PLC

    189,795       539  

Land Securities Group PLC ‡

     30,716       230  

National Grid PLC

    92,224       1,107  

Premier Foods PLC

    195,123       255  

QinetiQ Group PLC

    391,128       1,680  

Reckitt Benckiser Group PLC

    16,320       1,130  

RELX PLC

    23,211       639  

Sage Group PLC/The

    54,119       485  

Shell PLC

    80,736       2,259  

Spirent Communications PLC

    36,561       114  

Standard Chartered PLC

    31,352       235  

Tate & Lyle

    112,963       966  

Tesco PLC

    414,300       1,117  

Unilever PLC

    60,441       3,041  

Vodafone Group PLC

    67,058       68  

Woodside Energy Group

    5,009       120  

YouGov PLC

    8,551       105  
              41,859  
                 

United States — 0.1%

Ferguson PLC

    1,687       214  

Jardine Matheson Holdings

    2,000       102  
              316  
                 

Total Common Stock

               

(Cost $268,092) ($ Thousands)

             306,628  
                 
                 
                 

PREFERRED STOCK — 0.6%

Germany — 0.6%

Draegerwerk AG & Co KGaA (B)

     5,129       229  

Henkel AG & Co KGaA (B)

     26,464       1,836  
              2,065  
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

83

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Managed International Managed Volatility Fund (Concluded)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

PREFERRED STOCK (continued)

Total Preferred Stock

               

(Cost $1,984) ($ Thousands)

           $ 2,065  
                 
                 
                 

AFFILIATED PARTNERSHIP — 4.7%

SEI Liquidity Fund, LP

                

4.240% **†(C)

     14,733,294       14,737  
                 
                 

Total Affiliated Partnership

                

(Cost $14,735) ($ Thousands)

     14,737  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 0.3%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     852,925     $ 853  
                 

Total Cash Equivalent

                

(Cost $853) ($ Thousands)

             853  
                 
                 

Total Investments in Securities — 103.0%

                

(Cost $285,664) ($ Thousands)

  $ 324,283  
                 
                 

 

 
 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     5       Mar-2023     $ 201     $ 202     $ (1 )

FTSE 100 Index

     1       Mar-2023       89       90       2  

SPI 200 Index

     1       Mar-2023       119       118       (1 )

TOPIX Index

     3       Mar-2023       426       430       (3 )
                    $ 835     $ 840     $ (3 )

 

 

 

Percentages are based on Net Assets of $314,846 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $13,873 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $14,737 ($ Thousands).

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value

3/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 18,526     $ 24,013     $ (27,804 )   $ —     $ 2     $ 14,737     $ 19     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     2,754       19,559       (21,460 )     —       —       853       32       —  

Totals

   $ 21,280     $ 43,572     $ (49,264 )   $ —     $ 2     $ 15,590     $ 51     $ —  

 

See “Glossary for abbreviations”.

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

 

84

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Real Estate Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK†† — 97.8%
                 

Real Estate — 97.8%

        

Acadia Realty Trust ‡

     42,530     $ 610  

Alexandria Real Estate Equities Inc ‡

     17,830       2,597  

American Homes 4 Rent, Cl A ‡

     43,270       1,304  

American Tower Corp, Cl A ‡

     8,400       1,780  

Apple Hospitality REIT Inc ‡

     23,910       377  

AvalonBay Communities Inc ‡

     19,270       3,113  

Boston Properties Inc ‡

     10,340       699  

Brixmor Property Group Inc ‡

     60,860       1,380  

Camden Property Trust ‡

     6,600       738  

Cousins Properties Inc ‡

     28,190       713  

CubeSmart ‡

     14,890       599  

DiamondRock Hospitality Co ‡

     41,590       341  

Digital Realty Trust Inc, Cl A ‡

     34,530       3,462  

Douglas Emmett Inc ‡

     50,760       796  

Equinix Inc ‡

     7,372       4,829  

Equity Residential ‡

     48,750       2,876  

Extra Space Storage Inc ‡

     7,594       1,118  

First Industrial Realty Trust Inc ‡

     35,070       1,692  

Healthpeak Properties Inc ‡

     14,570       365  

Highwoods Properties Inc ‡

     27,640       773  

Host Hotels & Resorts Inc ‡

     71,910       1,154  

Invitation Homes Inc ‡

     93,230       2,763  

Kilroy Realty Corp ‡

     30,129       1,165  

Life Storage Inc ‡

     15,488       1,526  

Medical Properties Trust Inc ‡

     52,875       589  

Mid-America Apartment Communities Inc ‡

     8,540       1,341  

Omega Healthcare Investors Inc ‡

     11,335       317  

Park Hotels & Resorts Inc ‡

     30,620       361  

Phillips Edison & Co Inc ‡

     13,599       433  

Prologis Inc ‡

     77,317       8,716  

Public Storage ‡

     13,980       3,917  

Regency Centers Corp ‡

     13,000       813  

Retail Opportunity Investments Corp ‡

     18,000       271  

Rexford Industrial Realty Inc ‡

     26,860       1,468  

RPT Realty ‡

     60,896       611  

Sabra Health Care Inc ‡

     65,749       817  

SBA Communications Corp, Cl A ‡

     6,650       1,864  

Simon Property Group Inc ‡

     24,440       2,871  

Sun Communities Inc ‡

     19,680       2,814  

UDR Inc ‡

     44,940       1,741  

Urban Edge Properties ‡

     29,640       418  

Ventas Inc ‡

     57,546       2,592  

Veris Residential Inc *‡

     17,479       278  

Welltower Inc ‡

     49,472       3,243  

Xenia Hotels & Resorts Inc ‡

     49,370       651  
                 
              72,896  

Total Common Stock

               

(Cost $63,154) ($ Thousands)

             72,896  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(A)

     4,207     $ 4  
                 
                 

Total Affiliated Partnership

                

(Cost $4) ($ Thousands)

     4  
                 
                 
                 

CASH EQUIVALENT — 1.9%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     1,424,949       1,425  
                 

Total Cash Equivalent

                

(Cost $1,425) ($ Thousands)

             1,425  
                 
                 

Total Investments in Securities — 99.7%

                

(Cost $64,583) ($ Thousands)

  $ 74,325  
                 
                 

 

 

Percentages are based on Net Assets of $74,571 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

††

Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

‡

Real Estate Investment Trust.

(A)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $- ($ Thousands).

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

85

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Real Estate Fund (Concluded)

 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation (Depreciation)

    

Value 12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 3     $ —     $ —     $ —     $ 1     $ 4     $ —     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     2,110       5,235       (5,920 )     —       —       1,425       13       —  

Totals

   $ 2,113     $ 5,235     $ (5,920 )   $ —     $ 1     $ 1,429     $ 13     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

86

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES — 38.8%

Agency Mortgage-Backed Obligations — 31.3%

        

FHLMC

                

7.500%, 05/01/2031 to 02/01/2038

  $ 210     $ 217  

7.000%, 05/01/2024 to 03/01/2039

    56       60  

6.500%, 10/01/2031 to 12/01/2052

    832       854  

6.000%, 02/01/2032 to 10/01/2052

    777       794  

5.500%, 01/01/2024 to 09/01/2052

    2,179       2,189  

5.497%, ICE LIBOR USD 12 Month + 1.770%, 09/01/2042(A)

     77       79  

5.000%, 05/01/2033 to 09/01/2052

    5,799       5,791  

4.500%, 04/01/2035 to 07/01/2052

    6,873       6,745  

4.000%, 08/01/2041 to 07/01/2052

    14,153       13,530  

3.722%, ICE LIBOR USD 12 Month + 1.635%, 04/01/2048(A)

     1,177       1,179  

3.500%, 12/01/2033 to 05/01/2052

    45,244       42,055  

3.314%, ICE LIBOR USD 12 Month + 1.687%, 09/01/2047(A)

     578       586  

3.000%, 03/01/2031 to 04/01/2052

    30,842       27,522  

2.500%, 10/01/2031 to 05/01/2052

    56,742       48,517  

2.000%, 11/01/2040 to 05/01/2052

    50,288       41,532  

1.500%, 10/01/2041 to 05/01/2051

    10,951       8,476  

0.000%, 07/15/2031(B)

     265       185  

FHLMC ARM

                

4.486%, ICE LIBOR USD 12 Month + 1.686%, 02/01/2043(A)

     133       137  

4.301%, SOFR30A + 2.130%, 07/01/2052(A)

     513       499  

4.119%, SOFR30A + 2.380%, 09/01/2052(A)

     292       281  

3.989%, SOFR30A + 2.140%, 08/01/2052(A)

     568       541  

3.912%, SOFR30A + 2.130%, 07/01/2052(A)

     429       411  

3.888%, SOFR30A + 2.241%, 12/01/2052(A)

     544       526  

3.574%, SOFR30A + 2.183%, 10/01/2052(A)

     3,403       3,263  

3.457%, ICE LIBOR USD 12 Month + 1.638%, 03/01/2049(A)

     520       517  

3.091%, ICE LIBOR USD 12 Month + 1.621%, 02/01/2050(A)

     247       237  

3.009%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(A)

     1,371       1,298  

2.878%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(A)

     455       438  

2.874%, ICE LIBOR USD 12 Month + 1.723%, 01/01/2044(A)

     203       206  

2.814%, ICE LIBOR USD 12 Month + 1.640%, 05/01/2049(A)

     307       298  

2.703%, ICE LIBOR USD 12 Month + 1.611%, 10/01/2043(A)

     111       111  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

2.556%, ICE LIBOR USD 12 Month + 1.606%, 09/01/2043(A)

   $ 47     $ 47  

2.542%, ICE LIBOR USD 12 Month + 1.646%, 10/01/2043(A)

     188       190  

2.509%, ICE LIBOR USD 12 Month + 1.632%, 11/01/2043(A)

     97       98  

2.447%, ICE LIBOR USD 12 Month + 1.637%, 09/01/2045(A)

     1,130       1,141  

2.357%, ICE LIBOR USD 12 Month + 1.635%, 07/01/2043(A)

     59       59  

2.317%, ICE LIBOR USD 12 Month + 1.642%, 08/01/2043(A)

     91       92  

2.305%, ICE LIBOR USD 12 Month + 1.650%, 03/01/2043(A)

     134       137  

FHLMC CMO, Ser 1997-1983, Cl Z

                

6.500%, 12/15/2023

     23       23  

FHLMC CMO, Ser 2001-2277, Cl B

                

7.500%, 01/15/2031

     17       19  

FHLMC CMO, Ser 2002-2399, Cl XG

                

6.500%, 01/15/2032

     170       174  

FHLMC CMO, Ser 2006-R007, Cl ZA

                

6.000%, 05/15/2036

     451       462  

FHLMC CMO, Ser 2007-3281, Cl AI, IO

                

2.112%, 02/15/2037(A)

     35       3  

FHLMC CMO, Ser 2007-3294, Cl CB

                

5.500%, 03/15/2037

     111       112  

FHLMC CMO, Ser 2007-3316, Cl JO, PO

                

0.000%, 05/15/2037(B)

     1       1  

FHLMC CMO, Ser 2008-3451, Cl SB, IO

                

1.712%, 05/15/2038(A)

     4       –  

FHLMC CMO, Ser 2010-3621, Cl SB, IO

                

1.912%, 01/15/2040(A)

     24       2  

FHLMC CMO, Ser 2011-3947, Cl SG, IO

                

1.632%, 10/15/2041(A)

     198       17  

FHLMC CMO, Ser 2012-264, Cl 30

                

3.000%, 07/15/2042

     947       859  

FHLMC CMO, Ser 2012-271, Cl 30

                

3.000%, 08/15/2042

     251       230  

FHLMC CMO, Ser 2012-283, Cl IO, IO

                

3.500%, 10/15/2027

     143       7  

FHLMC CMO, Ser 2012-4054, Cl SA, IO

                

1.732%, 08/15/2039(A)

     376       29  

FHLMC CMO, Ser 2012-4146, Cl DI, IO

                

3.000%, 12/15/2031

     265       14  

FHLMC CMO, Ser 2013-4194, Cl BI, IO

                

3.500%, 04/15/2043

     50       8  

FHLMC CMO, Ser 2013-4203, Cl PS, IO

                

1.932%, 09/15/2042(A)

     182       13  

FHLMC CMO, Ser 2013-4205, Cl PA

                

1.750%, 05/15/2043

     306       258  

FHLMC CMO, Ser 2013-4210, Cl Z

                

3.000%, 05/15/2043

     71       56  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

87

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC CMO, Ser 2013-4239, Cl IO, IO

                

3.500%, 06/15/2027

   $ 94     $ 4  

FHLMC CMO, Ser 2014-328, Cl S4, IO

                

0.074%, 02/15/2038(A)

     12       –  

FHLMC CMO, Ser 2014-4335, Cl SW, IO

                

1.682%, 05/15/2044(A)

     40       4  

FHLMC CMO, Ser 2014-4391, Cl MZ

                

3.000%, 09/15/2044

     128       110  

FHLMC CMO, Ser 2014-4415, Cl IO, IO

                

0.000%, 04/15/2041(A)(B)

     130       5  

FHLMC CMO, Ser 2015-4426, Cl QC

                

1.750%, 07/15/2037

     –       –  

FHLMC CMO, Ser 2015-4479, Cl HA

                

3.750%, 05/15/2039(C)

     139       137  

FHLMC CMO, Ser 2016-353, Cl S1, IO

                

1.682%, 12/15/2046(A)

     285       25  

FHLMC CMO, Ser 2016-4639, Cl HZ

                

3.250%, 04/15/2053(C)

     1,832       1,491  

FHLMC CMO, Ser 2017-356, Cl 300

                

3.000%, 09/15/2047

     1,300       1,174  

FHLMC CMO, Ser 2017-4742, Cl PA

                

3.000%, 10/15/2047

     939       851  

FHLMC CMO, Ser 2018-4813, Cl CJ

                

3.000%, 08/15/2048

     189       164  

FHLMC CMO, Ser 2018-4818, Cl CA

                

3.000%, 04/15/2048

     440       381  

FHLMC CMO, Ser 2018-4846, Cl PA

                

4.000%, 06/15/2047

     45       44  

FHLMC CMO, Ser 2019-4880, Cl DA

                

3.000%, 05/15/2050

     628       572  

FHLMC CMO, Ser 2020-4995, Cl IC, IO

                

4.500%, 07/25/2050

     790       132  

FHLMC CMO, Ser 2020-5010, Cl JI, IO

                

2.500%, 09/25/2050

     741       114  

FHLMC CMO, Ser 2020-5010, Cl IK, IO

                

2.500%, 09/25/2050

     278       41  

FHLMC CMO, Ser 2020-5012, Cl BI, IO

                

4.000%, 09/25/2050

     2,882       524  

FHLMC CMO, Ser 2020-5013, Cl IN, IO

                

2.500%, 09/25/2050

     338       52  

FHLMC CMO, Ser 2020-5018, Cl MI, IO

                

2.000%, 10/25/2050

     521       71  

FHLMC CMO, Ser 2020-5040, Cl IB, IO

                

2.500%, 11/25/2050

     149       22  

FHLMC CMO, Ser 2020-5059, Cl IB, IO

                

2.500%, 01/25/2051

     700       112  

FHLMC CMO, Ser 2021-5070, Cl DI, IO

                

4.000%, 02/25/2051

     2,423       450  

FHLMC CMO, Ser 2021-5071, Cl IH, IO

                

2.500%, 02/25/2051

     530       68  

FHLMC CMO, Ser 2021-5085, Cl NI, IO

                

2.000%, 03/25/2051

     1,068       123  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC CMO, Ser 2021-5091, Cl AB

                

1.500%, 03/25/2051

   $ 1,061     $ 870  

FHLMC CMO, Ser 2021-5119, Cl AB

                

1.500%, 08/25/2049

     445       360  

FHLMC CMO, Ser 2021-5140, Cl NI, IO

                

2.500%, 05/25/2049

     1,009       136  

FHLMC CMO, Ser 2021-5178, Cl TP

                

2.500%, 04/25/2049

     859       736  

FHLMC CMO, Ser 2021-5182, Cl M

                

2.500%, 05/25/2049

     545       480  

FHLMC CMO, Ser 2022-5201, Cl CA

                

2.500%, 07/25/2048

     799       711  

FHLMC CMO, Ser 2022-5202, Cl LA

                

2.500%, 05/25/2049

     779       672  

FHLMC CMO, Ser 2022-5203, Cl G

                

2.500%, 11/25/2048

     346       303  

FHLMC CMO, Ser 2022-5217, Cl CD

                

2.500%, 07/25/2049

     699       636  

FHLMC CMO, Ser 2022-5224, Cl HL

                

4.000%, 04/25/2052

     2,100       1,887  

FHLMC Multiclass Certificates, Ser P009, Cl A2

                

1.878%, 01/25/2031

     500       414  

FHLMC Multifamily Structured Pass Through Certificates, Ser 152, Cl X1, IO

                

0.154%, 11/25/2032(A)

     13,000       198  

FHLMC Multifamily Structured Pass Through Certificates, Ser K144, Cl A2

                

2.450%, 04/25/2032

     4,347       3,673  

FHLMC Multifamily Structured Pass Through Certificates, Ser K145, Cl A2

                

2.580%, 05/25/2032

     782       668  

FHLMC Multifamily Structured Pass Through Certificates, Ser K146, Cl A2

                

2.920%, 06/25/2032

     1,926       1,693  

FHLMC Multifamily Structured Pass Through Certificates, Ser K147, Cl A2

                

3.000%, 06/25/2032(A)

     1,916       1,695  

FHLMC Multifamily Structured Pass Through Certificates, Ser K148, Cl A2

                

3.500%, 07/25/2032(A)

     2,000       1,843  

FHLMC Multifamily Structured Pass Through Certificates, Ser K149, Cl A2

                

3.530%, 08/25/2032(A)

     560       517  

FHLMC Multifamily Structured Pass Through Certificates, Ser K149, Cl X1, IO

                

0.264%, 08/25/2032(A)

     10,996       256  

FHLMC Multifamily Structured Pass Through Certificates, Ser KG07, Cl A2

                

3.123%, 08/25/2032(A)

     780       696  

 

 

 

88

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC Multifamily Structured Pass-Through Certificates, Ser K032, Cl X1, IO

                

0.062%, 05/25/2023(A)

   $ 29,373     $ 7  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K047, Cl A2

                

3.329%, 05/25/2025(A)

     280       271  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO

                

0.602%, 03/25/2027(A)

     4,604       98  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO

                

0.880%, 06/25/2029(A)

     1,989       90  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO

                

1.148%, 06/25/2029(A)

     4,850       302  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO

                

1.240%, 06/25/2029(A)

     700       47  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO

                

1.697%, 04/25/2030(A)

     1,295       118  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO

                

0.914%, 08/25/2023(A)

     6,211       22  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO

                

1.289%, 07/25/2026(A)

     969       36  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K741, Cl X1, IO

                

0.571%, 12/25/2027(A)

     2,995       69  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K743, Cl X1, IO

                

0.925%, 05/25/2028(A)

     3,998       164  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO

                

1.212%, 06/25/2027(A)

     1,516       45  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KLU1, Cl A4

                

2.854%, 01/25/2031

     600       541  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KSG2, Cl A2

                

2.091%, 11/25/2031(A)

     710       586  

FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2

                

3.291%, 03/25/2027

     320       303  

FHLMC Multifamily Structured Pass-Through Certificates, Ser X3FX, Cl A2FX

                

3.000%, 06/25/2027

     580       547  

FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1

                

6.689%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(A)(D)

     590       556  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2

                

5.428%, SOFR30A + 1.500%, 10/25/2041(A)(D)

   $ 5,746     $ 5,459  

FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A

                

2.016%, 10/25/2037(A)

     63       54  

FNMA

                

7.500%, 10/01/2037 to 04/01/2039

    71       76  

7.000%, 09/01/2026 to 02/01/2039

    279       288  

6.500%, 05/01/2027 to 12/01/2052

    342       359  

6.000%, 02/01/2023 to 09/01/2052

    1,880       1,929  

5.500%, 02/01/2035 to 09/01/2056

    2,328       2,377  

5.000%, 07/01/2033 to 07/01/2052

    3,031       3,063  

4.520%, 11/01/2032

     300       300  

4.500%, 04/01/2025 to 08/01/2058

    14,793       14,506  

4.440%, 11/01/2032

     100       99  

4.410%, 10/01/2032 to 12/01/2032

    499       495  

4.370%, 11/01/2032

     200       197  

4.260%, 11/01/2032

     200       196  

4.200%, 01/01/2029

     775       762  

4.060%, 07/01/2032

     299       286  

4.000%, 01/01/2027 to 08/01/2059

    43,658       41,817  

3.900%, 08/01/2032

     100       94  

3.890%, 07/01/2032

     600       562  

3.880%, 07/01/2032

     99       95  

3.850%, 08/01/2032

     200       187  

3.840%, 07/01/2032 to 08/01/2032

    300       285  

3.820%, 07/01/2027

     112       108  

3.790%, 12/01/2025

     1,201       1,168  

3.740%, 09/01/2032

     200       189  

3.560%, 07/01/2032

     100       93  

3.520%, 06/01/2032

     100       93  

3.500%, 05/01/2033 to 05/01/2052

    49,052       45,497  

3.450%, 03/01/2029

     57       54  

3.250%, 05/01/2029

     59       55  

3.160%, 05/01/2029

     181       167  

3.020%, 06/01/2024 to 05/01/2026

    1,540       1,480  

3.000%, 12/01/2031 to 07/01/2060

    109,292       98,104  

2.930%, 06/01/2030

     76       69  

2.900%, 11/01/2029

     499       453  

2.820%, 07/01/2027

     557       519  

2.500%, 03/01/2035 to 09/01/2061

    76,884       66,336  

2.455%, 04/01/2040

     1,920       1,328  

2.150%, 02/01/2032(A)

     239       199  

2.000%, 05/01/2036 to 04/01/2052

    122,006       101,287  

1.850%, 09/01/2035

     566       477  

1.500%, 10/01/2041 to 03/01/2051

    15,237       12,259  

FNMA ARM

                

4.663%, SOFR30A + 2.122%, 12/01/2052(A)

     750       745  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

89

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

4.651%, SOFR30A + 2.131%, 08/01/2052(A)

   $ 993     $ 981  

4.645%, SOFR30A + 2.122%, 08/01/2052(A)

     931       912  

4.624%, SOFR30A + 2.127%, 08/01/2052(A)

     1,261       1,244  

4.526%, ICE LIBOR USD 12 Month + 1.639%, 01/01/2043(A)

     61       62  

4.351%, SOFR30A + 2.124%, 07/01/2052(A)

     1,091       1,067  

4.317%, SOFR30A + 2.125%, 08/01/2052(A)

     1,128       1,102  

4.256%, SOFR30A + 2.127%, 11/01/2052(A)

     743       730  

4.224%, SOFR30A + 2.370%, 09/01/2052(A)

     291       282  

4.168%, SOFR30A + 2.120%, 07/01/2052(A)

     975       937  

4.159%, SOFR30A + 2.132%, 10/01/2052(A)

     2,180       2,135  

3.963%, SOFR30A + 2.120%, 08/01/2052(A)

     249       238  

3.684%, SOFR30A + 2.370%, 08/01/2052(A)

     633       603  

3.621%, 12 Month Treas Avg + 1.929%, 11/01/2035(A)

     170       167  

3.557%, 12 Month Treas Avg + 1.848%, 10/01/2035(A)

     41       40  

3.521%, 12 Month Treas Avg + 1.859%, 11/01/2035(A)

     33       32  

3.494%, 12 Month Treas Avg + 1.854%, 10/01/2035(A)

     156       153  

3.077%, ICE LIBOR USD 12 Month + 1.579%, 06/01/2045(A)

     262       264  

2.990%, ICE LIBOR USD 12 Month + 1.579%, 10/01/2043(A)

     262       264  

2.734%, ICE LIBOR USD 12 Month + 1.584%, 01/01/2046(A)

     716       726  

2.443%, ICE LIBOR USD 12 Month + 1.565%, 03/01/2043(A)

     36       37  

2.260%, ICE LIBOR USD 12 Month + 1.560%, 06/01/2043(A)

     76       77  

1.614%, 12/01/2051(A)

     276       247  

FNMA CMO, Ser 1999-11, Cl Z

                

5.500%, 03/25/2029

     99       95  

FNMA CMO, Ser 2005-117, Cl LC

                

5.500%, 11/25/2035

     16       16  

FNMA CMO, Ser 2005-29, Cl ZA

                

5.500%, 04/25/2035

     122       126  

FNMA CMO, Ser 2006-112, Cl ST, IO

                

2.311%, 11/25/2036(A)

     225       10  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA CMO, Ser 2009-103, Cl MB

                

3.403%, 12/25/2039(A)

   $ 19     $ 19  

FNMA CMO, Ser 2009-86, Cl BO, PO

                

0.000%, 03/25/2037(B)

     412       349  

FNMA CMO, Ser 2011-59, Cl NZ

                

5.500%, 07/25/2041

     869       884  

FNMA CMO, Ser 2011-87, Cl SG, IO

                

2.161%, 04/25/2040(A)

     50       1  

FNMA CMO, Ser 2011-96, Cl SA, IO

                

2.161%, 10/25/2041(A)

     474       31  

FNMA CMO, Ser 2012-101, Cl BI, IO

                

4.000%, 09/25/2027

     14       –  

FNMA CMO, Ser 2012-101, Cl AI, IO

                

3.000%, 06/25/2027

     81       2  

FNMA CMO, Ser 2012-133, Cl CS, IO

                

1.761%, 12/25/2042(A)

     129       13  

FNMA CMO, Ser 2012-151, Cl NX

                

1.500%, 01/25/2043

     338       286  

FNMA CMO, Ser 2012-28, Cl B

                

6.500%, 06/25/2039

     5       5  

FNMA CMO, Ser 2012-35, Cl SC, IO

                

2.111%, 04/25/2042(A)

     107       11  

FNMA CMO, Ser 2012-46, Cl BA

                

6.000%, 05/25/2042

     111       116  

FNMA CMO, Ser 2012-74, Cl OA, PO

                

0.000%, 03/25/2042(B)

     11       9  

FNMA CMO, Ser 2012-74, Cl SA, IO

                

2.261%, 03/25/2042(A)

     138       8  

FNMA CMO, Ser 2012-75, Cl AO, PO

                

0.000%, 03/25/2042(B)

     21       19  

FNMA CMO, Ser 2013-11, Cl AP

                

1.500%, 01/25/2043

     1,174       1,040  

FNMA CMO, Ser 2013-111, Cl PL

                

2.000%, 12/25/2042

     287       251  

FNMA CMO, Ser 2013-124, Cl SB, IO

                

1.561%, 12/25/2043(A)

     207       19  

FNMA CMO, Ser 2013-126, Cl CS, IO

                

1.761%, 09/25/2041(A)

     168       9  

FNMA CMO, Ser 2013-35, Cl CL

                

3.000%, 02/25/2043

     6,875       6,443  

FNMA CMO, Ser 2013-43, Cl BP

                

1.750%, 05/25/2043

     386       335  

FNMA CMO, Ser 2013-54, Cl BS, IO

                

1.761%, 06/25/2043(A)

     77       8  

FNMA CMO, Ser 2013-73, Cl IB, IO

                

3.500%, 07/25/2028

     31       2  

FNMA CMO, Ser 2013-73, Cl IA, IO

                

3.000%, 09/25/2032

     200       13  

FNMA CMO, Ser 2013-9, Cl BC

                

6.500%, 07/25/2042

     133       140  

FNMA CMO, Ser 2013-9, Cl SA, IO

                

1.761%, 03/25/2042(A)

     169       9  

 

 

 

90

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA CMO, Ser 2013-9, Cl CB

                

5.500%, 04/25/2042

   $ 1,011     $ 1,027  

FNMA CMO, Ser 2014-47, Cl AI, IO

                

0.255%, 08/25/2044(A)

     89       4  

FNMA CMO, Ser 2014-6, Cl Z

                

2.500%, 02/25/2044

     250       209  

FNMA CMO, Ser 2015-55, Cl IO, IO

                

0.309%, 08/25/2055(A)

     224       8  

FNMA CMO, Ser 2015-56, Cl AS, IO

                

1.761%, 08/25/2045(A)

     32       3  

FNMA CMO, Ser 2015-65, Cl CZ

                

3.500%, 09/25/2045

     258       219  

FNMA CMO, Ser 2015-84, Cl PA

                

1.700%, 08/25/2033

     1,349       1,219  

FNMA CMO, Ser 2016-37, Cl MJ

                

3.500%, 08/25/2043

     61       60  

FNMA CMO, Ser 2016-48, Cl MA

                

2.000%, 06/25/2038

     1,361       1,226  

FNMA CMO, Ser 2016-57, Cl PC

                

1.750%, 06/25/2046

     2,646       2,198  

FNMA CMO, Ser 2017-13, Cl PA

                

3.000%, 08/25/2046

     525       476  

FNMA CMO, Ser 2017-76, Cl SB, IO

                

1.711%, 10/25/2057(A)

     814       79  

FNMA CMO, Ser 2017-85, Cl SC, IO

                

1.811%, 11/25/2047(A)

     251       21  

FNMA CMO, Ser 2018-14, Cl KC

                

3.000%, 03/25/2048

     956       890  

FNMA CMO, Ser 2018-43, Cl CT

                

3.000%, 06/25/2048

     725       640  

FNMA CMO, Ser 2018-54, Cl KA

                

3.500%, 01/25/2047

     268       258  

FNMA CMO, Ser 2018-8, Cl KL

                

2.500%, 03/25/2047

     264       231  

FNMA CMO, Ser 2018-85, Cl FE

                

4.689%, ICE LIBOR USD 1 Month + 0.300%, 12/25/2048(A)

     1,221       1,192  

FNMA CMO, Ser 2019-15, Cl AB

                

3.500%, 05/25/2053

     –       –  

FNMA CMO, Ser 2019-25, Cl PA

                

3.000%, 05/25/2048

     877       796  

FNMA CMO, Ser 2019-79, Cl FA

                

4.889%, ICE LIBOR USD 1 Month + 0.500%, 01/25/2050(A)

     1,323       1,285  

FNMA CMO, Ser 2020-25, Cl BI, IO

                

3.500%, 01/25/2047

     649       104  

FNMA CMO, Ser 2020-45, Cl JL

                

3.000%, 07/25/2040

     1,032       932  

FNMA CMO, Ser 2020-47, Cl GZ

                

2.000%, 07/25/2050

     420       244  

FNMA CMO, Ser 2020-48, Cl AB

                

2.000%, 07/25/2050

     436       367  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA CMO, Ser 2020-48, Cl DA

                

2.000%, 07/25/2050

   $ 1,316     $ 1,126  

FNMA CMO, Ser 2020-56, Cl AQ

                

2.000%, 08/25/2050

     900       705  

FNMA CMO, Ser 2020-56, Cl DI, IO

                

2.500%, 08/25/2050

     558       87  

FNMA CMO, Ser 2020-64, Cl IB, IO

                

4.000%, 09/25/2050

     937       187  

FNMA CMO, Ser 2020-65, Cl DI, IO

                

4.000%, 09/25/2050

     1,099       204  

FNMA CMO, Ser 2020-65, Cl EI, IO

                

4.000%, 09/25/2050

     1,640       354  

FNMA CMO, Ser 2020-65, Cl JI, IO

                

4.000%, 09/25/2050

     1,984       362  

FNMA CMO, Ser 2020-96, Cl IN, IO

                

3.000%, 01/25/2051

     747       121  

FNMA CMO, Ser 2021-1, Cl IG, IO

                

2.500%, 02/25/2051

     173       29  

FNMA CMO, Ser 2021-27, Cl EC

                

1.500%, 05/25/2051

     1,869       1,528  

FNMA CMO, Ser 2021-78, Cl PA

                

2.500%, 11/25/2051

     590       513  

FNMA CMO, Ser 2021-78, Cl ND

                

1.500%, 11/25/2051

     1,086       889  

FNMA CMO, Ser 2022-11, Cl A

                

2.500%, 07/25/2047

     1,632       1,472  

FNMA CMO, Ser 2022-28, Cl CA

                

2.000%, 01/25/2048

     646       568  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2

                

6.689%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(A)(D)

     96       96  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2

                

6.489%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(A)(D)

     167       167  

FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M2

                

6.989%, ICE LIBOR USD 1 Month + 2.600%, 05/25/2024(A)

     363       368  

FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2

                

7.389%, ICE LIBOR USD 1 Month + 3.000%, 07/25/2024(A)

     1,347       1,372  

FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1B1

                

8.639%, ICE LIBOR USD 1 Month + 4.250%, 01/25/2031(A)

     540       557  

FNMA Interest CMO, Ser 2005-360, Cl 2, IO

                

5.000%, 08/25/2035

     511       91  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

91

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA Interest CMO, Ser 2012-409, Cl C22, IO

                

4.500%, 11/25/2039

   $ 150     $ 26  

FNMA Interest CMO, Ser 2012-409, Cl C2, IO

                

3.000%, 04/25/2027

     140       6  

FNMA Interest CMO, Ser 2012-409, Cl C13, IO

                

3.500%, 11/25/2041

     121       19  

FNMA Interest CMO, Ser 2012-411, Cl A3

                

3.000%, 08/25/2042

     637       572  

FNMA Interest CMO, Ser 2012-414, Cl A35

                

3.500%, 10/25/2042

     967       902  

FNMA Interest CMO, Ser 2018-424, Cl C11, IO

                

3.500%, 02/25/2048

     1,233       244  

FNMA TBA

                

6.500%, 01/01/2038

     1,300       1,331  

5.500%, 02/01/2038

     1,100       1,102  

5.000%, 01/01/2038 to 01/01/2038

    55,895       55,068  

4.500%, 01/15/2053 to 01/15/2053

    48,941       47,094  

4.000%, 02/13/2047 to 01/15/2053

    20,654       19,366  

3.500%, 01/15/2053 to 02/15/2053

    22,705       20,623  

3.000%, 01/15/2043 to 02/15/2045

    42,015       36,863  

2.500%, 01/01/2026 to 01/15/2053

    73,593       62,472  

2.000%, 01/15/2038

     3,047       2,709  

FNMA, Ser 2014-M8, Cl X2, IO

                

0.288%, 06/25/2024(A)

     2,714       7  

FNMA, Ser 2017-M7, Cl A2

                

2.961%, 02/25/2027(A)

     288       271  

FNMA, Ser M13, Cl A2

                

2.593%, 06/25/2032(A)

     620       524  

FNMA, Ser M15, Cl 1A2

                

3.700%, 01/25/2036

     100       91  

FNMA, Ser M36, Cl X1, IO

                

1.498%, 09/25/2034(A)

     553       44  

FREMF Mortgage Trust, Ser 2019-KF58, Cl B

                

6.292%, ICE LIBOR USD 1 Month + 2.150%, 01/25/2026(A)(D)

     709       650  

GNMA

                

8.000%, 11/15/2029 to 09/15/2030

    28       27  

7.500%, 03/15/2029 to 10/15/2037

    34       35  

7.000%, 09/15/2031

     13       14  

6.500%, 07/15/2028 to 12/15/2035

    730       752  

6.000%, 12/15/2028 to 10/20/2040

    1,331       1,386  

5.510%, 07/20/2060(A)

     1       1  

5.000%, 12/20/2039 to 03/20/2049

    5,135       5,147  

4.700%, 09/20/2061(A)

     66       64  

4.535%, 01/20/2069(A)

     9       9  

4.500%, 04/20/2041 to 12/20/2050

    5,809       5,693  

4.000%, 06/20/2047 to 11/20/2050

    8,891       8,521  

3.630%, 04/20/2063(A)

     12       11  

3.500%, 01/20/2046 to 06/20/2052

    13,671       12,723  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

3.000%, 09/15/2042 to 04/20/2052

  $ 20,486     $ 18,385  

2.625%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 02/20/2034(A)

     81       79  

2.500%, 01/20/2051 to 12/20/2051

    8,410       7,275  

2.000%, 09/20/2050

     408       345  

GNMA CMO, Ser 2007-17, Cl IB, IO

                

1.897%, 04/20/2037(A)

     256       11  

GNMA CMO, Ser 2007-51, Cl SG, IO

                

2.227%, 08/20/2037(A)

     33       1  

GNMA CMO, Ser 2007-78, Cl SA, IO

                

2.204%, 12/16/2037(A)

     337       13  

GNMA CMO, Ser 2009-66, Cl XS, IO

                

2.474%, 07/16/2039(A)

     182       8  

GNMA CMO, Ser 2010-4, Cl NS, IO

                

2.064%, 01/16/2040(A)

     2,157       195  

GNMA CMO, Ser 2010-85, Cl HS, IO

                

2.297%, 01/20/2040(A)

     5       –  

GNMA CMO, Ser 2010-H11, Cl FA

                

5.055%, ICE LIBOR USD 1 Month + 1.000%, 06/20/2060(A)

     283       283  

GNMA CMO, Ser 2010-H27, Cl FA

                

4.222%, ICE LIBOR USD 1 Month + 0.380%, 12/20/2060(A)

     798       790  

GNMA CMO, Ser 2010-H28, Cl FE

                

4.242%, ICE LIBOR USD 1 Month + 0.400%, 12/20/2060(A)

     252       250  

GNMA CMO, Ser 2011-H08, Cl FD

                

4.342%, ICE LIBOR USD 1 Month + 0.500%, 02/20/2061(A)

     128       127  

GNMA CMO, Ser 2011-H08, Cl FG

                

4.322%, ICE LIBOR USD 1 Month + 0.480%, 03/20/2061(A)

     274       272  

GNMA CMO, Ser 2011-H09, Cl AF

                

4.342%, ICE LIBOR USD 1 Month + 0.500%, 03/20/2061(A)

     177       175  

GNMA CMO, Ser 2012-141, Cl WA

                

4.523%, 11/16/2041(A)

     176       173  

GNMA CMO, Ser 2012-34, Cl SA, IO

                

1.697%, 03/20/2042(A)

     254       26  

GNMA CMO, Ser 2012-43, Cl SN, IO

                

2.274%, 04/16/2042(A)

     44       5  

GNMA CMO, Ser 2012-98, Cl SA, IO

                

1.774%, 08/16/2042(A)

     108       10  

GNMA CMO, Ser 2012-H25, Cl FA

                

4.542%, ICE LIBOR USD 1 Month + 0.700%, 12/20/2061(A)

     6       6  

GNMA CMO, Ser 2012-H27, Cl AI, IO

                

1.697%, 10/20/2062(A)

     551       17  

GNMA CMO, Ser 2013-53, Cl OI, IO

                

3.500%, 04/20/2043

     85       9  

 

 

 

92

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA CMO, Ser 2013-69, Cl AI, IO

                

3.500%, 05/20/2043

   $ 271     $ 43  

GNMA CMO, Ser 2014-5, Cl SP, IO

                

1.824%, 06/16/2043(A)

     76       3  

GNMA CMO, Ser 2014-H10, Cl TA

                

4.442%, ICE LIBOR USD 1 Month + 0.600%, 04/20/2064(A)

     419       415  

GNMA CMO, Ser 2015-167, Cl OI, IO

                

4.000%, 04/16/2045

     70       13  

GNMA CMO, Ser 2015-H10, Cl FC

                

4.322%, ICE LIBOR USD 1 Month + 0.480%, 04/20/2065(A)

     261       258  

GNMA CMO, Ser 2015-H18, Cl FA

                

4.292%, ICE LIBOR USD 1 Month + 0.450%, 06/20/2065(A)

     116       115  

GNMA CMO, Ser 2015-H20, Cl FA

                

4.312%, ICE LIBOR USD 1 Month + 0.470%, 08/20/2065(A)

     183       181  

GNMA CMO, Ser 2016-135, Cl SB, IO

                

1.774%, 10/16/2046(A)

     206       29  

GNMA CMO, Ser 2017-167, Cl BQ

                

2.500%, 08/20/2044

     515       468  

GNMA CMO, Ser 2017-H15, Cl KI, IO

                

1.703%, 07/20/2067(A)

     481       25  

GNMA CMO, Ser 2017-H18, Cl BI, IO

                

0.162%, 09/20/2067(A)

     3,101       102  

GNMA CMO, Ser 2017-H20, Cl IB, IO

                

0.155%, 10/20/2067(A)

     221       9  

GNMA CMO, Ser 2017-H22, Cl IC, IO

                

0.001%, 11/20/2067(A)

     101       3  

GNMA CMO, Ser 2018-11, Cl PC

                

2.750%, 12/20/2047

     7       6  

GNMA CMO, Ser 2018-H06, Cl PF

                

4.142%, ICE LIBOR USD 1 Month + 0.300%, 02/20/2068(A)

     264       261  

GNMA CMO, Ser 2018-H07, Cl FD

                

4.142%, ICE LIBOR USD 1 Month + 0.300%, 05/20/2068(A)

     473       470  

GNMA CMO, Ser 2019-132, Cl NA

                

3.500%, 09/20/2049

     5       4  

GNMA CMO, Ser 2019-31, Cl JC

                

3.500%, 03/20/2049

     2       2  

GNMA CMO, Ser 2019-90, Cl AB

                

3.000%, 07/20/2049

     302       271  

GNMA CMO, Ser 2020-123, Cl IL, IO

                

2.500%, 08/20/2050

     238       34  

GNMA CMO, Ser 2020-123, Cl NI, IO

                

2.500%, 08/20/2050

     648       89  

GNMA CMO, Ser 2020-127, Cl IN, IO

                

2.500%, 08/20/2050

     319       47  

GNMA CMO, Ser 2020-129, Cl IE, IO

                

2.500%, 09/20/2050

     247       36  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA CMO, Ser 2020-160, Cl YI, IO

                

2.500%, 10/20/2050

   $ 920     $ 125  

GNMA CMO, Ser 2020-160, Cl IH, IO

                

2.500%, 10/20/2050

     168       25  

GNMA CMO, Ser 2020-160, Cl VI, IO

                

2.500%, 10/20/2050

     247       35  

GNMA CMO, Ser 2020-175, Cl GI, IO

                

2.000%, 11/20/2050

     319       34  

GNMA CMO, Ser 2020-181, Cl WI, IO

                

2.000%, 12/20/2050

     2,062       227  

GNMA CMO, Ser 2020-47, Cl MI, IO

                

3.500%, 04/20/2050

     543       87  

GNMA CMO, Ser 2020-47, Cl NI, IO

                

3.500%, 04/20/2050

     222       36  

GNMA CMO, Ser 2020-H09, Cl NF

                

5.092%, ICE LIBOR USD 1 Month + 1.250%, 04/20/2070(A)

     244       245  

GNMA CMO, Ser 2020-H09, Cl FL

                

2.880%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(A)

     575       564  

GNMA CMO, Ser 2020-H12, Cl F

                

3.749%, ICE LIBOR USD 1 Month + 0.500%, 07/20/2070(A)

     50       48  

GNMA CMO, Ser 2020-H13, Cl FA

                

2.980%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(A)

     590       564  

GNMA CMO, Ser 2021-115, Cl MI, IO

                

2.500%, 05/20/2051

     437       49  

GNMA CMO, Ser 2021-176, Cl IN, IO

                

2.500%, 10/20/2051

     1,101       148  

GNMA CMO, Ser 2021-23, Cl MG

                

1.500%, 02/20/2051

     1,261       1,037  

GNMA CMO, Ser 2021-27, Cl NT

                

5.000%, 02/20/2051

     546       532  

GNMA CMO, Ser 2021-27, Cl Q

                

5.000%, 02/20/2051

     472       461  

GNMA CMO, Ser 2021-27, Cl BD

                

5.000%, 02/20/2051

     507       508  

GNMA CMO, Ser 2021-27, Cl CW

                

5.001%, 02/20/2051(A)

     679       672  

GNMA CMO, Ser 2021-29, Cl TI, IO

                

2.500%, 02/20/2051

     472       81  

GNMA CMO, Ser 2021-57, Cl BI, IO

                

3.000%, 03/20/2051

     1,455       212  

GNMA CMO, Ser 2021-8, Cl CY

                

5.000%, 01/20/2051

     492       486  

GNMA CMO, Ser 2021-96, Cl VI, IO

                

2.500%, 06/20/2051

     916       125  

GNMA CMO, Ser 2022-107, Cl C

                

2.500%, 06/20/2051

     2,271       1,914  

GNMA CMO, Ser 2022-189, Cl PT

                

2.500%, 10/20/2051

     894       750  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

93

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA CMO, Ser 2022-205, Cl A

                

2.000%, 09/20/2051

   $ 811     $ 659  

GNMA CMO, Ser 2022-31, Cl GH

                

2.500%, 12/20/2049

     1,534       1,357  

GNMA CMO, Ser 2022-50, Cl DC

                

2.500%, 08/20/2051

     683       586  

GNMA CMO, Ser 2022-84, Cl A

                

2.500%, 01/20/2052

     4,338       3,674  

GNMA TBA

                

6.000%, 03/01/2037

     100       101  

5.500%, 02/15/2053

     3,300       3,315  

5.000%, 02/01/2040

     4,800       4,754  

4.500%, 01/15/2040 to 02/15/2045

    11,165       10,829  

4.000%, 01/01/2040 to 02/15/2045

    15,958       15,099  

3.500%, 01/15/2041 to 02/19/2045

    4,988       4,582  

3.000%, 01/15/2043 to 02/01/2045

    8,621       7,675  

2.500%, 01/15/2053 to 02/15/2053

    33,523       29,043  

2.000%, 01/15/2053

     1,283       1,075  

GNMA, Ser 103, Cl AD

                

1.450%, 01/16/2063

     774       617  

GNMA, Ser 107, Cl AD

                

2.846%, 11/16/2047(A)

     233       211  

GNMA, Ser 110, Cl IO, IO

                

0.872%, 11/16/2063(A)

     2,398       167  

GNMA, Ser 113, Cl Z

                

2.000%, 09/16/2061

     2,222       1,478  

GNMA, Ser 14, Cl AB

                

1.340%, 06/16/2063

     518       402  

GNMA, Ser 196, Cl BE

                

3.000%, 10/16/2064(A)

     600       454  

GNMA, Ser 2012-112, Cl IO, IO

                

0.145%, 02/16/2053(A)

     350       1  

GNMA, Ser 2012-152, Cl IO, IO

                

0.583%, 01/16/2054(A)

     2,219       36  

GNMA, Ser 2012-27, Cl IO, IO

                

0.283%, 04/16/2053(A)

     452       2  

GNMA, Ser 2013-96, Cl IO, IO

                

0.051%, 10/16/2054(A)

     641       1  

GNMA, Ser 2014-47, Cl IA, IO

                

0.147%, 02/16/2048(A)

     55       –  

GNMA, Ser 2014-50, Cl IO, IO

                

0.629%, 09/16/2055(A)

     242       6  

GNMA, Ser 2014-92, Cl IX, IO

                

0.104%, 05/16/2054(A)

     2,927       16  

GNMA, Ser 2015-5, Cl IK, IO

                

0.303%, 11/16/2054(A)

     2,502       24  

GNMA, Ser 2019-71, Cl PT

                

3.000%, 06/20/2049

     157       143  

GNMA, Ser 21, Cl AH

                

1.400%, 06/16/2063

     89       69  

GNMA, Ser 3, Cl B

                

1.850%, 02/16/2061

     300       176  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA, Ser 3, Cl IO, IO

                

0.640%, 02/16/2061(A)

   $ 688     $ 38  

GNMA, Ser 41, Cl IO, IO

                

0.601%, 07/16/2058(A)

     525       15  

GNMA, Ser 59, Cl IO, IO

                

0.571%, 02/16/2062(A)

     3,455       183  

GNMA, Ser 60, Cl IO, IO

                

0.826%, 05/16/2063(A)

     2,296       145  
                 
                 
              1,104,865  

Non-Agency Mortgage-Backed Obligations — 7.5%

        

Alen Mortgage Trust, Ser ACEN, Cl A

                

5.468%, ICE LIBOR USD 1 Month + 1.150%, 04/15/2034(A)(D)

     885       812  

Alternative Loan Trust, Ser 2006-18CB, Cl A6

                

11.045%, 07/25/2036(A)

     147       138  

American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A

                

7.162%, ICE LIBOR USD 6 Month + 2.000%, 06/25/2045(A)

     470       462  

American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A

                

6.959%, ICE LIBOR USD 6 Month + 1.750%, 11/25/2045(A)

     703       329  

American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1

                

4.789%, ICE LIBOR USD 1 Month + 0.400%, 03/25/2046(A)

     2,092       1,735  

Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A

                

2.531%, 01/26/2065(A)(D)

     287       259  

Angel Oak Mortgage Trust, Ser 2020-5, Cl A1

                

1.373%, 05/25/2065(A)(D)

     94       84  

Angel Oak Mortgage Trust, Ser 2021-6, Cl A1

                

1.458%, 09/25/2066(A)(D)

     518       409  

Angel Oak Mortgage Trust, Ser 2022-2, Cl A1

                

3.353%, 01/25/2067(A)(D)

     4,999       4,513  

Arbor Multifamily Mortgage Securities Trust, Ser MF2, Cl B

                

2.560%, 06/15/2054(A)(D)

     615       445  

AREIT Trust, Ser 2019-CRE3, Cl A

                

5.710%, TSFR1M + 1.384%, 09/14/2036(A)(D)

     224       221  

AREIT, Ser 2022-CRE7, Cl A

                

6.567%, TSFR1M + 2.242%, 06/17/2039(A)(D)

     2,050       2,020  

 

 

 

94

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A

                

4.091%, 08/10/2038(A)(D)

   $ 1,790     $ 1,609  

BAMLL Re-REMIC Trust, Ser 2016-GG10, Cl AJA

                

5.621%, 08/10/2045(A)(D)

     877       220  

BANK 2022, Ser BNK40, Cl A4

                

3.394%, 03/15/2064(A)

     605       532  

BANK, Ser BNK42, Cl A5

                

4.493%, 06/15/2055(A)

     655       626  

BANK, Ser BNK43, Cl A5

                

4.399%, 08/15/2055

     1,715       1,626  

Barclays Commercial Mortgage Trust, Ser C3, Cl A3

                

3.319%, 05/15/2052

     743       669  

Bayview MSR Opportunity Master Fund Trust, Ser 2022-2, Cl A1

                

3.000%, 12/25/2051(A)(D)

     –       –  

BBCMS Mortgage Trust, Ser C2, Cl ASB

                

4.236%, 12/15/2051

     221       213  

BBCMS Mortgage Trust, Ser C6, Cl A2

                

2.690%, 02/15/2053

     660       622  

BBCMS Trust, Ser 2015-SRCH, Cl A1

                

3.312%, 08/10/2035(D)

     487       457  

Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A

                

3.203%, 05/25/2034(A)

     4       4  

Bear Stearns ARM Trust, Ser 2003-7, Cl 9A

                

4.237%, 10/25/2033(A)

     254       230  

Bear Stearns Asset Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO

                

3.261%, 11/25/2035(A)

     2,348       443  

Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3

                

5.500%, 09/25/2035(A)

     628       553  

Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO

                

0.716%, 06/11/2041(A)(D)

     –       –  

Bear Stearns Mortgage Funding Trust, Ser 2007-AR3, Cl 1A1

                

4.529%, ICE LIBOR USD 1 Month + 0.140%, 03/25/2037(A)

     2,493       2,078  

Benchmark Mortgage Trust, Ser B31, Cl A5

                

2.669%, 12/15/2054

     1,125       930  

Benchmark Mortgage Trust, Ser B33, Cl A5

                

3.458%, 03/15/2055

     935       827  

Benchmark Mortgage Trust, Ser B35, Cl AS

                

4.445%, 05/15/2055(A)

     645       583  

Benchmark Mortgage Trust, Ser B35, Cl A5

                

4.445%, 05/15/2055(A)

     731       699  

BMO Mortgage Trust, Ser C1, Cl A1

                

2.198%, 02/17/2055

     696       650  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BPR Trust, Ser OANA, Cl A

                

6.234%, TSFR1M + 1.898%, 04/15/2037(A)(D)

   $ 915     $ 893  

BPR Trust, Ser STAR, Cl A

                

7.568%, TSFR1M + 3.232%, 08/15/2024(A)(D)

     1,785       1,757  

BPR Trust, Ser TY, Cl A

                

5.368%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(A)(D)

     1,160       1,093  

Bunker Hill Loan Depositary Trust, Ser 2019-2, Cl A1

                

2.879%, 07/25/2049(C)(D)

     373       343  

Bunker Hill Loan Depositary Trust, Ser 2019-3, Cl A1

                

2.724%, 11/25/2059(C)(D)

     225       216  

BWAY Mortgage Trust, Ser 1740, Cl A

                

2.917%, 01/10/2035(D)

     1,540       1,359  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

5.370%, TSFR1M + 1.034%, 10/15/2036(A)(D)

     4,653       4,596  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl F

                

6.450%, TSFR1M + 2.114%, 10/15/2036(A)(D)

     2,303       2,217  

BX Commercial Mortgage Trust, Ser VIV4, Cl A

                

2.843%, 03/09/2044(D)

     2,000       1,617  

BX Commercial Mortgage Trust, Ser VOLT, Cl A

                

5.018%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(D)

     2,867       2,762  

BX Commercial Mortgage Trust, Ser XL2, Cl A

                

5.007%, ICE LIBOR USD 1 Month + 0.689%, 10/15/2038(A)(D)

     958       921  

BX Trust, Ser 2019-OC11, Cl A

                

3.202%, 12/09/2041(D)

     1,200       1,004  

BX Trust, Ser GPA, Cl A

                

6.501%, TSFR1M + 2.165%, 10/15/2039(A)(D)

     1,285       1,277  

BX Trust, Ser MMP, Cl A

                

5.318%, ICE LIBOR USD 1 Month + 1.000%, 08/15/2036(A)(D)

     711       698  

BX Trust, Ser PSB, Cl A

                

6.787%, TSFR1M + 2.451%, 08/15/2039(A)(D)

     994       992  

Cali Mortgage Trust, Ser 101C, Cl A

                

3.957%, 03/10/2039(D)

     1,280       1,103  

CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO

                

0.023%, 01/15/2046(A)(D)

     51       –  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

95

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

CD Commercial Mortgage Trust, Ser 2017-CD3, Cl A4

                

3.631%, 02/10/2050

   $ 310     $ 288  

CD Commercial Mortgage Trust, Ser 2017-CD5, Cl XA, IO

                

0.790%, 08/15/2050(A)

     7,480       211  

CD Mortgage Trust, Ser CD3, Cl AS

                

3.833%, 02/10/2050

     3,843       3,454  

CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4

                

3.572%, 06/15/2050

     371       342  

CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB

                

3.367%, 06/15/2050

     265       253  

CFCRE Commercial Mortgage Trust, Ser C4, Cl AM

                

3.691%, 05/10/2058

     2,502       2,294  

CFK Trust, Ser 2020-MF2, Cl E

                

3.458%, 03/15/2039(A)(D)

     2,840       2,289  

CFK Trust, Ser MF2, Cl F

                

3.458%, 03/15/2039(A)(D)

     2,960       2,301  

Chase Mortgage Finance, Ser 2007-A1, Cl 9A1

                

3.092%, 02/25/2037(A)

     3       3  

Chase Mortgage Finance, Ser 2007-A1, Cl 2A1

                

3.645%, 02/25/2037(A)

     6       6  

Chase Mortgage Finance, Ser 2007-A2, Cl 1A1

                

3.215%, 06/25/2035(A)

     6       5  

CIM Trust, Ser 2018-INV1, Cl A4

                

4.000%, 08/25/2048(A)(D)

     54       50  

CIM Trust, Ser 2021-R6, Cl A1

                

1.425%, 07/25/2061(A)(D)

     1,190       1,048  

CIM TRUST, Ser 2022-R2, Cl A1

                

3.750%, 12/25/2061(A)(D)

     725       682  

Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A

                

3.251%, 05/10/2035(D)

     240       225  

Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5

                

2.869%, 08/10/2056

     2,680       2,315  

Citigroup Commercial Mortgage Trust, Ser GC48, Cl A5

                

4.580%, 05/15/2054(A)

     594       572  

Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A

                

4.240%, 09/25/2033(A)

     5       5  

Citigroup Mortgage Loan Trust, Ser 2021-INV1, Cl A3A

                

2.500%, 05/25/2051(A)(D)

     1,240       995  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COLT Mortgage Loan Trust, Ser 2021-2, Cl A1

                

0.924%, 08/25/2066(A)(D)

   $ 672     $ 530  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A1

                

1.397%, 10/25/2066(A)(D)

     742       602  

COMM Mortgage Trust, Ser 2013-CR10, Cl A4

                

4.210%, 08/10/2046(A)

     15       15  

COMM Mortgage Trust, Ser 2013-CR12, Cl AM

                

4.300%, 10/10/2046

     130       118  

COMM Mortgage Trust, Ser 2013-CR12, Cl B

                

4.762%, 10/10/2046(A)

     120       109  

COMM Mortgage Trust, Ser 2013-CR12, Cl C

                

5.037%, 10/10/2046(A)

     70       47  

COMM Mortgage Trust, Ser 2013-CR6, Cl B

                

3.397%, 03/10/2046(D)

     299       297  

COMM Mortgage Trust, Ser 2014-UBS2, Cl A5

                

3.961%, 03/10/2047

     236       231  

COMM Mortgage Trust, Ser 2014-UBS2, Cl XA, IO

                

1.059%, 03/10/2047(A)

     1,328       10  

COMM Mortgage Trust, Ser 2014-UBS3, Cl AM

                

4.012%, 06/10/2047

     285       274  

COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO

                

1.085%, 02/10/2048(A)

     5,261       86  

COMM Mortgage Trust, Ser 2017-PANW, Cl A

                

3.244%, 10/10/2029(D)

     410       383  

COMM Mortgage Trust, Ser CBM, Cl A2

                

2.896%, 02/10/2037(D)

     1,085       1,000  

COMM Mortgage Trust, Ser CR11, Cl A4

                

4.258%, 08/10/2050

     2,331       2,305  

COMM Mortgage Trust, Ser CR13, Cl A4

                

4.194%, 11/10/2046(A)

     318       312  

COMM Mortgage Trust, Ser CR14, Cl B

                

4.590%, 02/10/2047(A)

     850       817  

COMM Mortgage Trust, Ser CR26, Cl C

                

4.467%, 10/10/2048(A)

     870       783  

COMM Mortgage Trust, Ser CR6, Cl A4

                

3.101%, 03/10/2046

     687       685  

COMM Mortgage Trust, Ser CR8, Cl A5

                

3.612%, 06/10/2046(A)

     490       487  

COMM Mortgage Trust, Ser LC19, Cl A3

                

2.922%, 02/10/2048

     1,488       1,428  

COMM Mortgage Trust, Ser LC23, Cl A3

                

3.521%, 10/10/2048

     368       349  

COMM Mortgage Trust, Ser LC23, Cl ASB

                

3.598%, 10/10/2048

     455       442  

 

 

 

96

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COMM Mortgage Trust, Ser UBS4, Cl A4

                

3.420%, 08/10/2047

   $ 729     $ 705  

Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl AM

                

3.251%, 10/15/2045

     590       550  

Commercial Mortgage Trust, Ser PF1, Cl A5

                

2.522%, 11/15/2054

     480       384  

Connecticut Avenue Securities Trust, Ser 2020-R01, Cl 1M2

                

6.439%, ICE LIBOR USD 1 Month + 2.050%, 01/25/2040(A)(D)

     200       199  

Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1

                

7.000%, 12/25/2033

     13       13  

Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4

                

3.643%, 10/25/2033(A)

     296       280  

Credit Suisse Mortgage Trust

                

0.000%, 10/25/2066(B)

     1,401       1,394  

Credit Suisse Mortgage Trust, Ser NXSR, Cl A4

                

3.795%, 12/15/2049(A)

     730       686  

CSAIL Commercial Mortgage Trust, Ser 2015-C3, Cl A3

                

3.447%, 08/15/2048

     477       455  

CSAIL Commercial Mortgage Trust, Ser C16, Cl A2

                

3.067%, 06/15/2052

     363       317  

CSAIL Commercial Mortgage Trust, Ser C20, Cl A3

                

2.805%, 03/15/2054

     1,066       887  

CSAIL Commercial Mortgage Trust, Ser C3, Cl ASB

                

3.448%, 08/15/2048

     813       791  

CSMC Trust, Ser 2014-USA, Cl E

                

4.373%, 09/15/2037(D)

     290       161  

CSMC Trust, Ser 2017-CHOP, Cl G

                

9.668%, ICE LIBOR USD 1 Month + 5.350%, 07/15/2032(A)(D)

     1,000       902  

CSMC Trust, Ser 2017-PFHP, Cl A

                

5.268%, ICE LIBOR USD 1 Month + 0.950%, 12/15/2030(A)(D)

     1,190       1,142  

CSMC Trust, Ser 2017-RPL1, Cl M2

                

2.950%, 07/25/2057(A)(D)

     1,760       1,318  

CSMC Trust, Ser 2018-J1, Cl A2

                

3.500%, 02/25/2048(A)(D)

     1,895       1,647  

CSMC Trust, Ser 2020-RPL4, Cl A1

                

2.000%, 01/25/2060(A)(D)

     617       547  

CSMC Trust, Ser 2021-RPL3, Cl A1

                

2.000%, 01/25/2060(A)(D)

     1,633       1,394  

CSMC Trust, Ser 2021-RPL4, Cl A1

                

1.796%, 12/27/2060(A)(D)

     468       427  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

CSMC Trust, Ser 2021-RPL6, Cl A1

                

2.000%, 10/25/2060(A)(D)

   $ 1,578     $ 1,382  

CSMC, Ser 2014-11R, Cl 9A2

                

4.296%, ICE LIBOR USD 1 Month + 0.140%, 10/27/2036(A)(D)

     1,774       1,293  

CSMC, Ser 2014-USA, Cl A2

                

3.953%, 09/15/2037(D)

     2,135       1,918  

CSMC, Ser 2015-5R, Cl 1A1

                

2.609%, 09/27/2046(A)(D)

     7       7  

CSMC, Ser 2021-NQM8, Cl A1

                

1.841%, 10/25/2066(A)(D)

     1,442       1,224  

CSMC, Ser 2022-ATH2, Cl A1

                

4.547%, 05/25/2067(A)(D)

     3,083       2,947  

CSMC, Ser MARK, Cl A

                

7.031%, TSFR1M + 2.695%, 06/15/2039(A)(D)

     480       475  

DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl A

                

4.238%, 01/10/2034(D)

     1,175       1,131  

DBCCRE Mortgage Trust, Ser 2018-ARCP, Cl C

                

4.935%, 01/10/2034(A)(D)

     550       518  

DC Office Trust, Ser 2019-MTC, Cl A

                

2.965%, 09/15/2045(D)

     1,240       985  

DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B

                

5.139%, ICE LIBOR USD 1 Month + 0.800%, 11/19/2044(A)

     259       236  

ELP Commercial Mortgage Trust, Ser ELP, Cl C

                

5.638%, ICE LIBOR USD 1 Month + 1.320%, 11/15/2038(A)(D)

     2,500       2,375  

EQUS Mortgage Trust, Ser EQAZ, Cl A

                

5.073%, ICE LIBOR USD 1 Month + 0.755%, 10/15/2038(A)(D)

     816       785  

EQUS Mortgage Trust, Ser EQAZ, Cl B

                

5.418%, ICE LIBOR USD 1 Month + 1.100%, 10/15/2038(A)(D)

     790       754  

EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22

                

3.500%, 02/25/2048(A)(D)

     136       118  

Flagstar Mortgage Trust, Ser 2018-2, Cl A4

                

3.500%, 04/25/2048(A)(D)

     75       73  

Flagstar Mortgage Trust, Ser 2021-13IN, Cl A2

                

3.000%, 12/30/2051(A)(D)

     6       5  

FNMA TBA

                

6.500%, 02/01/2038

     9,200       9,406  

2.500%, 02/15/2053

     400       339  

2.000%, 01/15/2053

     50,182       40,821  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

97

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FWDSecuritization Trust, Ser 2019-INV1, Cl A1

                

2.810%, 06/25/2049(A)(D)

   $ 320     $ 294  

GCAT Trust, Ser 2022-INV1, Cl A1

                

3.000%, 12/25/2051(A)(D)

     3       3  

GPMT, Ser 2021-FL3, Cl A

                

5.589%, ICE LIBOR USD 1 Month + 1.250%, 07/16/2035(A)(D)

     725       707  

GS Mortgage Securities II, Ser 2017-SLP, Cl C

                

3.924%, 10/10/2032(D)

     1,310       1,259  

GS Mortgage Securities II, Ser ARDN, Cl B

                

5.968%, ICE LIBOR USD 1 Month + 1.650%, 11/15/2036(A)(D)

     1,623       1,541  

GS Mortgage Securities II, Ser GC30, Cl B

                

4.025%, 05/10/2050(A)

     480       440  

GS Mortgage Securities II, Ser SRP5, Cl A

                

6.118%, ICE LIBOR USD 1 Month + 1.800%, 09/15/2031(A)(D)

     2,639       2,211  

GS Mortgage Securities Trust, Ser 2013-GC16, Cl B

                

5.161%, 11/10/2046(A)

     270       263  

GS Mortgage Securities Trust, Ser 2014-GC18, Cl A4

                

4.074%, 01/10/2047

     977       956  

GS Mortgage Securities Trust, Ser 2014-GC26, Cl B

                

4.215%, 11/10/2047(A)

     680       623  

GS Mortgage Securities Trust, Ser GC14, Cl A5

                

4.243%, 08/10/2046

     415       411  

GS Mortgage Securities Trust, Ser GC47, Cl A5

                

2.377%, 05/12/2053

     328       271  

GS Mortgage Securities Trust, Ser GSA2, Cl A4

                

1.721%, 12/12/2053

     1,055       828  

GS Mortgage Securities Trust, Ser ROSS, Cl A

                

5.468%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2026(A)(D)

     2,170       2,028  

GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A

                

3.750%, 10/25/2057(D)

     1,997       1,910  

GS Mortgage-Backed Securities Trust, Ser 2022-PJ2, Cl A24

                

3.000%, 06/25/2052(A)(D)

     839       742  

GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A

                

8.000%, 09/19/2027(A)(D)

     11       10  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1

                

4.124%, 10/25/2033(A)

   $ 90     $ 88  

GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3

                

6.000%, 09/25/2034

     8       7  

GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4

                

5.500%, 01/25/2037

     2       2  

HarborView Mortgage Loan, Ser 2004-3, Cl 1A

                

3.928%, 05/19/2034(A)

     389       359  

HIT Trust, Ser HI32, Cl A

                

6.727%, TSFR1M + 2.391%, 07/15/2024(A)(D)

     1,560       1,535  

Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl A

                

3.228%, 07/10/2039(D)

     1,225       1,053  

Hudson Yards Mortgage Trust, Ser 2019-55HY, Cl A

                

2.943%, 12/10/2041(A)(D)

     1,240       1,039  

Impact Funding, Ser 2010-1, Cl A1

                

5.314%, 01/25/2051(D)

     619       603  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B

                

4.883%, 01/15/2047(A)

     130       126  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C

                

4.547%, 09/15/2047(A)

     120       107  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4

                

3.670%, 09/15/2047

     339       328  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3

                

2.912%, 10/15/2048

     1,471       1,396  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5

                

3.822%, 07/15/2048

     568       541  

JPMBB Commercial Mortgage Securities Trust, Ser C12, Cl A5

                

3.664%, 07/15/2045

     605       600  

JPMBB Commercial Mortgage Securities Trust, Ser C15, Cl AS

                

4.420%, 11/15/2045

     925       909  

JPMBB Commercial Mortgage Securities Trust, Ser C17, Cl A4

                

4.199%, 01/15/2047

     210       207  

JPMBB Commercial Mortgage Securities Trust, Ser C21, Cl AS

                

3.997%, 08/15/2047

     415       398  

 

 

 

98

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO

                

0.296%, 06/12/2043(A)

   $ 131     $ –  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AJ

                

6.514%, 02/15/2051(A)

     2       2  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C

                

4.560%, 07/15/2047(A)

     380       338  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-BCON, Cl B

                

3.756%, 01/05/2031(A)(D)

     1,305       1,304  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A

                

3.397%, 06/05/2039(D)

     1,500       1,303  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser C16, Cl A4

                

4.166%, 12/15/2046

     908       895  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser JP4, Cl A3

                

3.393%, 12/15/2049

     206       191  

JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3

                

4.191%, 11/25/2033(A)

     9       8  

JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1

                

3.650%, 08/25/2034(A)

     26       25  

JPMorgan Mortgage Trust, Ser 2015-5, Cl A9

                

4.864%, 05/25/2045(A)(D)

     30       29  

JPMorgan Mortgage Trust, Ser 2018-4, Cl A1

                

3.500%, 10/25/2048(A)(D)

     98       85  

JPMorgan Mortgage Trust, Ser 2018-5, Cl A1

                

3.500%, 10/25/2048(A)(D)

     311       273  

JPMorgan Mortgage Trust, Ser 2020-1, Cl A3A

                

3.000%, 06/25/2050(A)(D)

     150       127  

JPMorgan Mortgage Trust, Ser 2021-11, Cl A3

                

2.500%, 01/25/2052(A)(D)

     714       573  

JPMorgan Mortgage Trust, Ser 2021-3, Cl A3

                

2.500%, 07/25/2051(A)(D)

     –       –  

JPMorgan Mortgage Trust, Ser 2021-INV2, Cl A2

                

2.500%, 12/25/2051(A)(D)

     1,942       1,559  

JPMorgan Mortgage Trust, Ser 2022-3, Cl A2

                

3.000%, 08/25/2052(A)(D)

     1,781       1,474  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

LAQ Mortgage Trust, Ser LAQ, Cl A

                

6.050%, TSFR1M + 1.724%, 03/15/2039(A)(D)

   $ 130     $ 127  

Legacy Mortgage Asset Trust, Ser 2021-GS2, Cl A1

                

1.750%, 04/25/2061(C)(D)

     513       464  

Lehman XS Trust, Ser 2007-16N, Cl 2A2

                

6.089%, ICE LIBOR USD 1 Month + 1.700%, 09/25/2047(A)

     3,951       3,271  

Master Resecuritization Trust, Ser 2005, Cl 3, PO

                

0.000%, 05/28/2035(B)(D)

     2       1  

MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1

                

6.000%, 08/25/2034(D)

     1,066       708  

Med Trust, Ser MDLN, Cl A

                

5.268%, ICE LIBOR USD 1 Month + 0.950%, 11/15/2038(A)(D)

     1,314       1,265  

Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A

                

3.650%, 07/25/2033(A)

     8       7  

MFA Trust, Ser 2021-RPL1, Cl A1

                

1.131%, 07/25/2060(A)(D)

     550       481  

MFA Trust, Ser 2022-NQM2, Cl A1

                

4.000%, 05/25/2067(C)(D)

     945       901  

MHC Trust, Ser MHC2, Cl A

                

5.168%, ICE LIBOR USD 1 Month + 0.850%, 05/15/2038(A)(D)

     1,250       1,212  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(A)(D)

     661       611  

MKT Mortgage Trust, Ser 525M, Cl A

                

2.694%, 02/12/2040(D)

     965       755  

ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ

                

5.450%, 08/12/2048(A)

     83       20  

ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL

                

5.450%, 08/12/2048(A)(D)

     11       3  

ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ

                

6.193%, 09/12/2049(A)

     14       14  

Morgan Stanley BAML Trust, Ser 2012-CKSV, Cl A2

                

3.277%, 10/15/2030(D)

     741       597  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B

                

3.930%, 11/15/2045

     9       9  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS

                

3.456%, 05/15/2046

     80       79  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

99

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5

                

3.635%, 10/15/2048

   $ 250     $ 237  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl B

                

4.111%, 11/15/2052(A)

     1,030       889  

Morgan Stanley Capital I Trust, Ser 2007-IQ16, Cl AJ

                

6.079%, 12/12/2049(A)

     54       26  

Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO

                

0.963%, 11/15/2049(A)

     2,880       80  

Morgan Stanley Capital I Trust, Ser 2017-ASHF, Cl A

                

5.293%, ICE LIBOR USD 1 Month + 0.975%, 11/15/2034(A)(D)

     36       35  

Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A

                

5.968%, ICE LIBOR USD 1 Month + 1.650%, 05/15/2036(A)(D)

     1,508       1,441  

Morgan Stanley Capital I Trust, Ser HR8, Cl A3

                

1.790%, 07/15/2053

     576       457  

Morgan Stanley Capital I Trust, Ser L2, Cl A3

                

3.806%, 03/15/2052

     480       438  

Morgan Stanley Capital I Trust, Ser L8, Cl AS

                

3.795%, 04/15/2055(A)

     580       490  

Morgan Stanley Residential Mortgage Loan Trust, Ser 2021-2, Cl A3

                

2.500%, 05/25/2051(A)(D)

     5,629       4,518  

Mortgage Repurchase Agreement Financing Trust II Series, Ser 2022-S1, Cl A1

                

5.805%, SOFR30A + 2.000%, 03/30/2025(A)(D)

     1,350       1,331  

MSCG Trust, Ser 2015-ALDR, Cl A2

                

3.462%, 06/07/2035(A)(D)

     620       562  

New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1

                

4.000%, 02/25/2057(A)(D)

     538       506  

New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1

                

2.492%, 09/25/2059(A)(D)

     144       130  

New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3

                

1.516%, 11/27/2056(A)(D)

     366       296  

New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1

                

5.000%, 06/25/2062(C)(D)

     1,843       1,799  

NewRez Warehouse Securitization Trust, Ser 2021-1, Cl A

                

5.139%, ICE LIBOR USD 1 Month + 0.750%, 05/25/2055(A)(D)

     1,957       1,926  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

OBX Trust, Ser 2019-EXP1, Cl 1A3

                

4.000%, 01/25/2059(A)(D)

   $ 50     $ 47  

OBX Trust, Ser 2020-EXP3, Cl 2A1A

                

5.289%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2060(A)(D)

     53       53  

OBX Trust, Ser 2021-NQM2, Cl A1

                

1.101%, 05/25/2061(A)(D)

     526       400  

OBX Trust, Ser 2021-NQM3, Cl A3

                

1.362%, 07/25/2061(A)(D)

     450       328  

OBX Trust, Ser 2022-NQM1, Cl A1

                

2.305%, 11/25/2061(A)(D)

     1,597       1,369  

One Bryant Park Trust, Ser 2019-OBP, Cl A

                

2.516%, 09/15/2054(D)

     1,570       1,285  

PHH Alternative Mortgage Trust, Ser 2007-3, Cl A3

                

4.989%, ICE LIBOR USD 1 Month + 0.600%, 07/25/2037(A)

     3,041       2,940  

Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1

                

6.000%, 02/25/2034

     7       7  

Prime Mortgage Trust, Ser 2004-CL1, Cl 1, PO

                

0.000%, 02/25/2034(B)

     2       1  

Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1

                

5.500%, 05/25/2035(D)

     631       540  

PRKCM Trust, Ser 2022-AFC1, Cl A1A

                

4.100%, 04/25/2057(A)(D)

     1,763       1,651  

Radnor RE, Ser 2018-1, Cl M2

                

7.089%, ICE LIBOR USD 1 Month + 2.700%, 03/25/2028(A)(D)

     7,219       7,220  

RATE Mortgage Trust, Ser 2021-HB1, Cl A1

                

2.500%, 12/25/2051(A)(D)

     2,106       1,691  

Rate Mortgage Trust, Ser 2021-J1, Cl A1

                

2.500%, 07/25/2051(A)(D)

     404       324  

Rate Mortgage Trust, Ser 2021-J1, Cl A7

                

2.500%, 07/25/2051(A)(D)

     294       252  

Rate Mortgage Trust, Ser 2022-J1, Cl A7

                

3.000%, 01/25/2052(A)(D)

     910       759  

RBSCF Trust, Ser 2013-GSP, Cl A

                

3.834%, 01/15/2032(A)(D)

     445       428  

RCKT Mortgage Trust, Ser 2021-3, Cl A1

                

2.500%, 07/25/2051(A)(D)

     491       394  

RCKT Mortgage Trust, Ser 2022-2, Cl A2

                

2.500%, 02/25/2052(A)(D)

     612       491  

Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1

                

3.438%, 12/25/2034(A)

     197       165  

Residential Mortgage Loan Trust, Ser 2019-3, Cl A1

                

2.633%, 09/25/2059(A)(D)

     244       236  

Seasoned Credit Risk Transfer Trust, Ser 2016-1, Cl M2

                

3.750%, 09/25/2055(A)(D)

     2,303       2,058  

 

 

 

100

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl M

                

4.750%, 07/25/2058(A)(D)

   $ 2,840     $ 2,476  

Sequoia Mortgage Trust, Ser 2018-CH4, Cl B1B

                

4.985%, 10/25/2048(A)(D)

     1,174       1,106  

SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B

                

4.144%, 01/05/2043(A)(D)

     75       51  

SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1

                

3.872%, 01/05/2043(A)(D)

     390       266  

Stack Infrastructure Issuer, Ser 2019-1A, Cl A2

                

4.540%, 02/25/2044(D)

     289       282  

STAR Trust, Ser 2021-1, Cl A1

                

1.219%, 05/25/2065(A)(D)

     267       241  

Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1

                

2.275%, 02/25/2050(A)(D)

     52       50  

Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1

                

1.486%, 04/25/2065(A)(D)

     184       168  

Starwood Mortgage Residential Trust, Ser 2020-INV1, Cl A1

                

1.027%, 11/25/2055(A)(D)

     207       191  

Starwood Mortgage Residential Trust, Ser 2021-4, Cl A1

                

1.162%, 08/25/2056(A)(D)

     695       558  

Structured Asset Mortgage Investments II Trust, Ser 2007-AR3, Cl 2A1

                

4.579%, ICE LIBOR USD 1 Month + 0.190%, 09/25/2047(A)

     2,072       1,798  

Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2

                

3.783%, 07/25/2033(A)

     26       24  

Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-37A, Cl 2A

                

3.835%, 12/25/2033(A)

     12       11  

Towd Point Mortgage Trust, Ser 2017-5, Cl A1

                

3.773%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057(A)(D)

     283       280  

Towd Point Mortgage Trust, Ser 2017-6, Cl M1

                

3.250%, 10/25/2057(A)(D)

     1,050       916  

Towd Point Mortgage Trust, Ser 2019-4, Cl A1

                

2.900%, 10/25/2059(A)(D)

     756       702  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Towd Point Mortgage Trust, Ser 2019-MH1, Cl A1

                

3.000%, 11/25/2058(A)(D)

   $ 645     $ 632  

Towd Point Mortgage Trust, Ser 2020-3, Cl A1

                

3.088%, 02/25/2063(A)(D)

     895       837  

Towd Point Mortgage Trust, Ser 2021-1, Cl A1

                

2.250%, 11/25/2061(A)(D)

     537       479  

Towd Point Mortgage Trust, Ser 2022-4, Cl A1

                

3.750%, 09/25/2062(D)

     477       446  

UBS Commercial Mortgage Trust, Ser C4, Cl A3

                

3.301%, 10/15/2050

     401       369  

UBS Commercial Mortgage Trust, Ser C7, Cl A3

                

3.418%, 12/15/2050

     395       366  

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D

                

4.096%, 12/10/2045(A)(D)

     108       103  

Verus Securitization Trust, Ser 2019-4, Cl A1

                

2.642%, 11/25/2059(C)(D)

     241       229  

Verus Securitization Trust, Ser 2019-INV2, Cl A1

                

2.913%, 07/25/2059(A)(D)

     130       125  

Verus Securitization Trust, Ser 2019-INV3, Cl A1

                

2.692%, 11/25/2059(A)(D)

     219       205  

Verus Securitization Trust, Ser 2020-2, Cl A1

                

2.226%, 05/25/2060(A)(D)

     183       175  

Verus Securitization Trust, Ser 2020-5, Cl A1

                

1.218%, 05/25/2065(C)(D)

     109       99  

Verus Securitization Trust, Ser 2021-1, Cl A1

                

0.815%, 01/25/2066(A)(D)

     347       289  

Verus Securitization Trust, Ser 2021-2, Cl A1

                

1.031%, 02/25/2066(A)(D)

     669       556  

Verus Securitization Trust, Ser 2021-3, Cl A1

                

1.046%, 06/25/2066(A)(D)

     499       398  

Verus Securitization Trust, Ser 2021-4, Cl A1

                

0.938%, 07/25/2066(A)(D)

     609       469  

Verus Securitization Trust, Ser 2021-5, Cl A1

                

1.013%, 09/25/2066(A)(D)

     2,019       1,611  

Verus Securitization Trust, Ser 2021-7, Cl A1

                

1.829%, 10/25/2066(A)(D)

     933       783  

Verus Securitization Trust, Ser 2021-8, Cl A1

                

1.824%, 11/25/2066(A)(D)

     669       563  

Verus Securitization Trust, Ser 2021-R1, Cl A1

                

0.820%, 10/25/2063(A)(D)

     300       268  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

101

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Verus Securitization Trust, Ser 2021-R3, Cl A1

                

1.020%, 04/25/2064(A)(D)

   $ 314     $ 271  

Visio Trust, Ser 2020-1R, Cl A1

                

1.312%, 11/25/2055(D)

     228       205  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7

                

4.237%, 10/25/2033(A)

     19       18  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7

                

3.819%, 08/25/2033(A)

     12       11  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6

                

4.124%, 09/25/2033(A)

     19       17  

WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10

                

5.394%, 06/25/2033(A)

     3       3  

WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8

                

5.250%, 10/25/2033

     42       40  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2

                

3.104%, 06/25/2034(A)

     11       10  

WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A

                

7.500%, 07/25/2034

     66       66  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3

                

5.949%, ICE LIBOR USD 1 Month + 1.560%, 10/25/2045(A)

     162       152  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1

                

4.909%, ICE LIBOR USD 1 Month + 0.520%, 11/25/2045(A)

     3,591       3,205  

WaMu Mortgage Pass-Through Certificates, Ser 2007-OA1, Cl A1A

                

2.748%, 12 Month Treas Avg + 0.700%, 02/25/2047(A)

     1,032       854  

Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A

                

2.748%, 12 Month Treas Avg + 0.700%, 01/25/2047(A)

     650       512  

Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A

                

4.104%, 09/14/2022(A)(D)

     114       112  

Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B

                

4.296%, 07/15/2046(A)

     20       19  

Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl A5

                

3.405%, 12/15/2047

     570       544  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA, IO

                

1.183%, 11/15/2059(A)

   $ 4,617     $ 157  

Wells Fargo Commercial Mortgage Trust, Ser C62, Cl A4

                

4.000%, 04/15/2055(A)

     840       762  

Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR7, Cl B1

                

3.112%, 05/25/2035(A)

     1,348       1,119  

WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO

                

1.158%, 05/15/2045(A)(D)

     503       –  

WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B

                

4.723%, 03/15/2047(A)

     110       105  

WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B

                

4.213%, 08/15/2047(A)

     300       279  

WFRBS Commercial Mortgage Trust, Ser C22, Cl B

                

4.371%, 09/15/2057(A)

     245       228  

WFRBS Commercial Mortgage Trust, Ser C25, Cl ASB

                

3.369%, 11/15/2047

     203       199  
                 
                 
              264,801  

Total Mortgage-Backed Securities

                

(Cost $1,463,162) ($ Thousands)

             1,369,666  
                 
                 
                 

CORPORATE OBLIGATIONS — 31.7%

Communication Services — 3.1%

        

Alphabet

               

2.050%, 08/15/2050

    150       88  

1.900%, 08/15/2040

    250       166  

1.100%, 08/15/2030

    240       188  

0.450%, 08/15/2025

    110       99  

Altice France

               

5.500%, 10/15/2029 (D)

     210       160  

AT&T

               

5.550%, 08/15/2041

    130       124  

5.350%, 09/01/2040 (E)

     130       124  

5.250%, 03/01/2037 (E)

     2,420       2,332  

5.150%, 03/15/2042 (E)

     25       23  

4.850%, 03/01/2039

    750       671  

4.750%, 05/15/2046

    1,600       1,353  

4.500%, 05/15/2035 (E)

     445       405  

4.350%, 03/01/2029 (E)

     300       285  

4.350%, 06/15/2045

    350       281  

3.800%, 02/15/2027

    318       303  

3.800%, 12/01/2057

    2,620       1,808  

 

 

 

102

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.650%, 09/15/2059

  $ 435     $ 291  

3.550%, 09/15/2055

    151       101  

3.500%, 06/01/2041

    302       225  

3.500%, 09/15/2053 (E)

     2,823       1,905  

3.300%, 02/01/2052 (E)

     120       80  

2.550%, 12/01/2033

    290       223  

2.300%, 06/01/2027

    750       667  

2.250%, 02/01/2032

    60       47  

1.700%, 03/25/2026 (E)

     2,539       2,288  

1.650%, 02/01/2028

    2,005       1,693  

CCO Holdings

               

4.750%, 02/01/2032 (D)(E)

     250       203  

4.500%, 08/15/2030 (D)

     50       41  

4.500%, 05/01/2032 (E)

     1,240       987  

Charter Communications Operating

               

6.834%, 10/23/2055

    70       65  

6.484%, 10/23/2045

    110       99  

6.384%, 10/23/2035

    10       10  

5.750%, 04/01/2048

    1,097       898  

5.500%, 04/01/2063 (E)

     320       244  

5.375%, 04/01/2038

    663       552  

5.375%, 05/01/2047

    191       150  

5.250%, 04/01/2053 (E)

     1,650       1,274  

5.125%, 07/01/2049

    160       121  

4.908%, 07/23/2025

    1,924       1,886  

4.800%, 03/01/2050

    2,410       1,750  

4.400%, 04/01/2033 (E)

     800       685  

4.200%, 03/15/2028

    1,263       1,161  

3.750%, 02/15/2028 (E)

     85       77  

3.500%, 06/01/2041

    162       106  

3.500%, 03/01/2042

    970       622  

Comcast

               

7.050%, 03/15/2033 (E)

     90       104  

6.500%, 11/15/2035 (E)

     97       108  

5.500%, 11/15/2032 (E)

     1,240       1,293  

5.350%, 11/15/2027

    620       633  

4.950%, 10/15/2058 (E)

     60       54  

4.400%, 08/15/2035

    1,770       1,647  

4.250%, 10/15/2030 (E)

     730       698  

4.200%, 08/15/2034

    220       203  

4.150%, 10/15/2028

    2,220       2,129  

4.000%, 08/15/2047

    90       72  

4.000%, 03/01/2048 (E)

     70       56  

3.999%, 11/01/2049 (E)

     259       204  

3.969%, 11/01/2047

    418       334  

3.950%, 10/15/2025 (E)

     90       88  

3.750%, 04/01/2040

    200       165  

3.450%, 02/01/2050

    140       102  

3.400%, 04/01/2030 (E)

     755       688  

3.400%, 07/15/2046

    60       44  

3.300%, 04/01/2027 (E)

     190       179  

3.250%, 11/01/2039

    60       47  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.150%, 03/01/2026 (E)

   $ 390     $ 371  

2.987%, 11/01/2063

    353       213  

2.937%, 11/01/2056

    533       330  

2.887%, 11/01/2051

    410       263  

2.800%, 01/15/2051

    280       177  

1.500%, 02/15/2031

    1,788       1,392  

Discovery Communications

               

4.000%, 09/15/2055

    330       198  

DISH DBS

               

7.750%, 07/01/2026

    120       97  

5.875%, 11/15/2024

    410       381  

5.750%, 12/01/2028 (D)

     30       24  

5.250%, 12/01/2026 (D)

     170       143  

5.125%, 06/01/2029

    280       181  

Fox

               

5.476%, 01/25/2039 (E)

     520       473  

Level 3 Financing

               

3.875%, 11/15/2029 (D)(E)

     2,165       1,708  

3.400%, 03/01/2027 (D)

     578       488  

Netflix

               

5.875%, 11/15/2028

    538       545  

5.375%, 11/15/2029 (D)

     331       321  

NTT Finance

               

1.162%, 04/03/2026 (D)(E)

     2,250       1,990  

Paramount Global

               

6.875%, 04/30/2036 (E)

     620       602  

5.900%, 10/15/2040 (E)

     455       393  

4.750%, 05/15/2025

    457       450  

4.200%, 05/19/2032 (E)

     970       794  

Rogers Communications

               

4.550%, 03/15/2052 (D)

     349       271  

SES GLOBAL Americas Holdings

               

5.300%, 03/25/2044 (D)

     1,200       918  

Sprint Spectrum

               

5.152%, 03/20/2028 (D)(E)

     3,552       3,501  

4.738%, 03/20/2025 (D)

     3,535       3,494  

Take-Two Interactive Software

               

4.000%, 04/14/2032 (E)

     1,265       1,120  

Telefonica Emisiones

               

5.213%, 03/08/2047

    150       120  

T-Mobile USA

               

4.500%, 04/15/2050 (E)

     600       493  

4.375%, 04/15/2040

    125       107  

3.875%, 04/15/2030

    4,485       4,063  

3.750%, 04/15/2027 (E)

     2,195       2,067  

3.500%, 04/15/2025 (E)

     1,910       1,837  

3.500%, 04/15/2031

    794       686  

3.400%, 10/15/2052

    1,230       826  

3.375%, 04/15/2029

    1,764       1,554  

2.875%, 02/15/2031

    368       304  

2.700%, 03/15/2032

    70       57  

2.625%, 02/15/2029

    330       279  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

103

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.550%, 02/15/2031

  $ 2,601     $ 2,125  

2.250%, 02/15/2026

    1,377       1,253  

Verizon Communications

               

5.500%, 03/16/2047

    60       58  

5.250%, 03/16/2037 (E)

     805       795  

4.862%, 08/21/2046 (E)

     470       421  

4.500%, 08/10/2033

    740       692  

4.400%, 11/01/2034

    2,062       1,893  

4.329%, 09/21/2028 (E)

     1,106       1,063  

4.272%, 01/15/2036

    78       69  

4.125%, 08/15/2046

    320       254  

4.016%, 12/03/2029 (E)

     714       667  

4.000%, 03/22/2050

    170       133  

3.875%, 02/08/2029

    210       197  

3.850%, 11/01/2042

    610       483  

3.700%, 03/22/2061 (E)

     195       136  

3.550%, 03/22/2051 (E)

     1,242       885  

3.400%, 03/22/2041

    130       98  

3.150%, 03/22/2030

    360       317  

3.000%, 03/22/2027

    140       130  

2.875%, 11/20/2050

    1,420       890  

2.650%, 11/20/2040

    1,345       908  

2.625%, 08/15/2026

    1,000       923  

2.550%, 03/21/2031

    2,293       1,886  

2.355%, 03/15/2032

    1,532       1,214  

2.100%, 03/22/2028

    400       347  

1.750%, 01/20/2031

    410       318  

Vmed O2 UK Financing I

               

4.750%, 07/15/2031 (D)

     630       512  

Vodafone Group

               

5.250%, 05/30/2048

    1,810       1,594  

5.000%, 05/30/2038

    141       130  

4.875%, 06/19/2049

    1,544       1,290  

4.250%, 09/17/2050

    112       85  

Walt Disney

               

6.650%, 11/15/2037

    235       266  

6.200%, 12/15/2034 (E)

     65       71  

4.625%, 03/23/2040

    765       715  

3.500%, 05/13/2040

    500       402  

Warnermedia Holdings

               

5.391%, 03/15/2062 (D)

     704       514  

5.141%, 03/15/2052 (D)

     10,453       7,599  

5.050%, 03/15/2042 (D)

     3,319       2,539  

4.279%, 03/15/2032 (D)(E)

     2,040       1,680  

4.054%, 03/15/2029 (D)(E)

     925       800  

3.755%, 03/15/2027 (D)

     200       180  
                 
              105,472  
                 

Consumer Discretionary — 1.3%

        

Amazon.com

               

4.950%, 12/05/2044

    500       492  

4.700%, 12/01/2032

    771       763  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.250%, 08/22/2057

  $ 110     $ 94  

4.050%, 08/22/2047 (E)

     380       326  

3.875%, 08/22/2037

    1,290       1,143  

3.600%, 04/13/2032 (E)

     1,240       1,135  

3.450%, 04/13/2029 (E)

     310       290  

3.300%, 04/13/2027 (E)

     150       142  

3.150%, 08/22/2027 (E)

     680       639  

2.875%, 05/12/2041

    197       147  

2.800%, 08/22/2024

    245       237  

2.500%, 06/03/2050 (E)

     550       347  

2.100%, 05/12/2031

    300       245  

1.500%, 06/03/2030

    350       281  

1.200%, 06/03/2027 (E)

     672       582  

0.800%, 06/03/2025

    560       511  

BMW US Capital

               

3.800%, 04/06/2023 (D)

     420       419  

Comcast

               

4.049%, 11/01/2052 (E)

     305       241  

Cox Communications

               

4.800%, 02/01/2035 (D)

     890       789  

2.600%, 06/15/2031 (D)

     915       729  

CSC Holdings

               

4.500%, 11/15/2031 (D)

     1,000       694  

3.375%, 02/15/2031 (D)

     200       130  

Ford Motor

               

6.100%, 08/19/2032 (E)

     380       351  

5.291%, 12/08/2046 (E)

     99       75  

4.750%, 01/15/2043

    61       44  

3.250%, 02/12/2032

    480       360  

Ford Motor Credit

               

5.125%, 06/16/2025

    400       385  

5.113%, 05/03/2029 (E)

     420       380  

4.950%, 05/28/2027

    850       793  

4.125%, 08/17/2027

    200       179  

4.000%, 11/13/2030 (E)

     470       386  

3.815%, 11/02/2027

    261       229  

3.810%, 01/09/2024

    300       292  

3.625%, 06/17/2031

    380       299  

2.900%, 02/16/2028

    200       165  

2.900%, 02/10/2029

    572       457  

2.700%, 08/10/2026

    521       452  

General Motors

               

6.600%, 04/01/2036

    40       39  

6.250%, 10/02/2043 (E)

     260       240  

6.125%, 10/01/2025

    320       326  

5.950%, 04/01/2049 (E)

     80       70  

5.600%, 10/15/2032 (E)

     151       140  

5.400%, 10/15/2029

    739       705  

5.150%, 04/01/2038

    240       207  

4.875%, 10/02/2023 (E)

     315       314  

General Motors Financial

               

5.000%, 04/09/2027 (E)

     180       174  

 

 

 

104

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.350%, 01/17/2027

  $ 110     $ 105  

4.250%, 05/15/2023

    110       110  

4.150%, 06/19/2023 (E)

     83       83  

3.100%, 01/12/2032 (E)

     454       356  

Hanesbrands

               

4.875%, 05/15/2026 (D)(E)

     210       188  

4.625%, 05/15/2024 (D)

     30       29  

Hilton Domestic Operating

               

5.750%, 05/01/2028 (D)

     150       145  

5.375%, 05/01/2025 (D)

     460       455  

Home Depot

               

4.950%, 09/15/2052 (E)

     617       592  

4.500%, 09/15/2032

    901       880  

4.250%, 04/01/2046 (E)

     48       42  

3.900%, 12/06/2028

    40       39  

3.900%, 06/15/2047

    60       49  

3.750%, 02/15/2024 (E)

     66       65  

3.625%, 04/15/2052

    280       216  

3.350%, 04/15/2050

    710       521  

3.300%, 04/15/2040

    466       371  

3.125%, 12/15/2049

    546       387  

2.700%, 04/15/2030

    320       279  

2.500%, 04/15/2027

    280       258  

2.375%, 03/15/2051

    451       269  

Hyundai Capital America MTN

               

2.000%, 06/15/2028 (D)

     280       228  

1.300%, 01/08/2026 (D)(E)

     595       520  

0.800%, 01/08/2024 (D)

     248       236  

Las Vegas Sands

               

3.200%, 08/08/2024

    1,980       1,871  

2.900%, 06/25/2025

    210       193  

Lennar

               

4.750%, 11/29/2027 (E)

     410       395  

4.500%, 04/30/2024 (E)

     140       138  

Lowe's

               

5.625%, 04/15/2053 (E)

     1,689       1,617  

5.000%, 04/15/2040 (E)

     725       672  

4.500%, 04/15/2030 (E)

     200       192  

4.250%, 04/01/2052

    592       469  

McDonald's

               

5.150%, 09/09/2052

    296       284  

McDonald's MTN

               

4.875%, 12/09/2045

    260       240  

4.450%, 03/01/2047

    240       208  

4.450%, 09/01/2048

    72       63  

4.200%, 04/01/2050 (E)

     1,208       1,005  

3.800%, 04/01/2028

    170       163  

3.700%, 01/30/2026 (E)

     220       214  

3.625%, 09/01/2049 (E)

     639       481  

3.600%, 07/01/2030 (E)

     290       266  

3.500%, 03/01/2027 (E)

     510       486  

3.500%, 07/01/2027

    200       190  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.300%, 07/01/2025

  $ 320     $ 310  

1.450%, 09/01/2025

    80       73  

MDC Holdings

               

6.000%, 01/15/2043

    30       24  

Mercedes-Benz Finance North America

               

2.700%, 06/14/2024 (D)

     595       574  

0.750%, 03/01/2024 (D)

     980       930  

Newell Brands

               

4.450%, 04/01/2026

    110       103  

NIKE

               

3.375%, 03/27/2050 (E)

     520       407  

3.250%, 03/27/2040

    210       171  

2.850%, 03/27/2030 (E)

     150       134  

2.750%, 03/27/2027 (E)

     410       383  

2.400%, 03/27/2025

    260       248  

Nissan Motor

               

4.345%, 09/17/2027 (D)(E)

     1,100       997  

3.522%, 09/17/2025 (D)

     1,190       1,105  

3.043%, 09/15/2023 (D)

     580       568  

Sands China

               

5.900%, 08/08/2028

    320       300  

5.625%, 08/08/2025

    1,580       1,510  

4.300%, 01/08/2026

    420       387  

3.350%, 03/08/2029

    690       564  

2.800%, 03/08/2027

    460       394  

Starbucks

               

3.500%, 11/15/2050 (E)

     435       314  

3.350%, 03/12/2050

    120       85  

Target

               

2.250%, 04/15/2025

    450       427  

Time Warner Cable

               

7.300%, 07/01/2038

    530       526  

6.750%, 06/15/2039

    10       9  

6.550%, 05/01/2037 (E)

     268       255  

5.875%, 11/15/2040

    1,405       1,224  

5.500%, 09/01/2041

    1,599       1,327  

Time Warner Entertainment

               

8.375%, 07/15/2033 (E)

     270       300  

Toll Brothers Finance

               

4.375%, 04/15/2023

    120       119  

Toyota Motor Credit

               

5.450%, 11/10/2027 (E)

     182       186  

Virgin Media Secured Finance

               

5.500%, 05/15/2029 (D)

     250       224  

VOC Escrow

               

5.000%, 02/15/2028 (D)

     380       327  

Volkswagen Group of America Finance

               

1.250%, 11/24/2025 (D)(E)

     1,345       1,199  

0.875%, 11/22/2023 (D)(E)

     1,055       1,015  

Walmart

               

4.500%, 09/09/2052

    444       422  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

105

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Wynn Macau

               

5.625%, 08/26/2028 (D)

   $ 500     $ 427  

5.125%, 12/15/2029 (D)(E)

     200       162  
                 
              50,738  
                 

Consumer Staples — 1.8%

        

Alimentation Couche-Tard

               

3.550%, 07/26/2027 (D)(E)

     360       333  

Altria Group

               

6.200%, 02/14/2059

    76       71  

5.950%, 02/14/2049

    960       854  

5.800%, 02/14/2039

    883       814  

4.800%, 02/14/2029

    28       27  

4.400%, 02/14/2026

    514       503  

3.875%, 09/16/2046 (E)

     240       160  

3.400%, 02/04/2041

    600       398  

2.450%, 02/04/2032

    770       581  

2.350%, 05/06/2025

    130       122  

Anheuser-Busch

               

4.900%, 02/01/2046

    4,752       4,320  

4.700%, 02/01/2036

    797       753  

3.650%, 02/01/2026

    1,135       1,092  

Anheuser-Busch InBev Worldwide

               

5.550%, 01/23/2049

    475       470  

5.450%, 01/23/2039

    645       644  

4.750%, 01/23/2029

    120       119  

4.600%, 04/15/2048

    510       443  

4.375%, 04/15/2038

    837       748  

4.350%, 06/01/2040

    560       492  

4.000%, 04/13/2028 (E)

     160       152  

3.500%, 06/01/2030 (E)

     200       182  

Bacardi

               

4.450%, 05/15/2025 (D)

     1,840       1,786  

BAT Capital

               

5.650%, 03/16/2052 (E)

     695       573  

5.282%, 04/02/2050 (E)

     1,260       992  

4.540%, 08/15/2047

    2,583       1,825  

4.390%, 08/15/2037

    61       47  

3.984%, 09/25/2050 (E)

     460       301  

3.734%, 09/25/2040

    10       7  

3.557%, 08/15/2027

    3,000       2,741  

3.222%, 08/15/2024

    167       161  

Bunge Finance

               

1.630%, 08/17/2025

    324       295  

Cargill

               

1.375%, 07/23/2023 (D)

     440       431  

Coca-Cola

               

3.375%, 03/25/2027 (E)

     380       364  

2.600%, 06/01/2050

    190       126  

2.500%, 06/01/2040

    20       15  

1.450%, 06/01/2027 (E)

     490       433  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Constellation Brands

               

4.400%, 11/15/2025

  $ 415     $ 408  

4.350%, 05/09/2027 (E)

     320       312  

3.600%, 05/09/2024 (E)

     230       225  

2.250%, 08/01/2031

    80       64  

Costco Wholesale

               

3.000%, 05/18/2027 (E)

     284       267  

2.750%, 05/18/2024 (E)

     183       178  

1.600%, 04/20/2030

    450       369  

1.375%, 06/20/2027

    780       683  

CVS Health

               

4.875%, 07/20/2035

    92       87  

Danone

               

2.589%, 11/02/2023 (D)

     1,370       1,341  

Diageo Capital

               

5.500%, 01/24/2033

    1,828       1,913  

5.300%, 10/24/2027 (E)

     789       807  

GSK Consumer Healthcare Capital US

               

3.625%, 03/24/2032

    1,545       1,356  

3.375%, 03/24/2027

    1,081       1,007  

3.375%, 03/24/2029 (D)(E)

     575       517  

Hershey

               

0.900%, 06/01/2025

    130       119  

Imperial Brands Finance

               

3.500%, 07/26/2026 (D)

     635       582  

3.125%, 07/26/2024 (D)

     2,250       2,151  

JBS USA LUX

               

6.500%, 12/01/2052 (D)(E)

     2,115       2,013  

3.750%, 12/01/2031 (D)(E)

     350       286  

3.000%, 02/02/2029 (D)

     1,205       997  

3.000%, 05/15/2032 (D)(E)

     1,520       1,166  

Kraft Heinz Foods

               

7.125%, 08/01/2039 (D)

     10       11  

6.875%, 01/26/2039

    40       43  

6.750%, 03/15/2032

    10       11  

5.500%, 06/01/2050

    220       210  

5.200%, 07/15/2045

    360       332  

5.000%, 06/04/2042

    1,250       1,131  

4.875%, 10/01/2049

    2,370       2,057  

4.625%, 10/01/2039

    10       9  

4.375%, 06/01/2046

    160       130  

4.250%, 03/01/2031

    110       103  

3.000%, 06/01/2026 (E)

     380       356  

Mars

               

3.200%, 04/01/2030 (D)

     210       188  

2.700%, 04/01/2025 (D)

     370       352  

2.375%, 07/16/2040 (D)

     300       203  

Mondelez International

               

1.500%, 05/04/2025 (E)

     660       611  

Nestle Holdings

               

4.700%, 01/15/2053 (D)

     321       302  

4.125%, 10/01/2027 (D)

     473       462  

 

 

 

106

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

PepsiCo

               

2.875%, 10/15/2049 (E)

   $ 60     $ 43  

2.625%, 03/19/2027

    50       46  

2.250%, 03/19/2025

    50       48  

1.625%, 05/01/2030

    440       358  

0.750%, 05/01/2023

    530       523  

Philip Morris International

               

5.750%, 11/17/2032

    500       510  

5.125%, 11/17/2027

    999       1,006  

5.000%, 11/17/2025

    666       669  

4.500%, 03/20/2042

    130       110  

2.100%, 05/01/2030

    290       234  

1.125%, 05/01/2023

    280       276  

Procter & Gamble

               

3.000%, 03/25/2030 (E)

     240       219  

2.800%, 03/25/2027

    80       75  

Reckitt Benckiser Treasury Services

               

2.750%, 06/26/2024 (D)

     1,505       1,454  

Reynolds American

               

8.125%, 05/01/2040

    570       615  

7.250%, 06/15/2037 (E)

     390       399  

5.850%, 08/15/2045 (E)

     3,140       2,675  

Viterra Finance BV

               

5.250%, 04/21/2032 (D)

     851       747  

Walmart

               

3.300%, 04/22/2024 (E)

     60       59  

1.800%, 09/22/2031

    110       89  

1.500%, 09/22/2028 (E)

     230       197  
                 
              57,086  
                 

Corporate Obligation — 0.4%

        

Barclays

               

7.437%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 11/02/2033 (A)(E)

     947       992  

7.385%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.300%, 11/02/2028 (A)(E)

     1,580       1,647  

Citigroup

               

5.610%, U.S. SOFR + 1.546%, 09/29/2026 (A)(E)

     2,720       2,732  

Lloyds Banking Group

               

4.976%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 08/11/2033 (A)(E)

     2,492       2,288  

4.716%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 08/11/2026 (A)(E)

     1,242       1,215  

Macquarie Group MTN

               

5.033%, ICE LIBOR USD 3 Month + 1.750%, 01/15/2030 (A)(D)(E)

     635       597  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Mitsubishi UFJ Financial Group

               

5.133%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.125%, 07/20/2033 (A)

   $ 415     $ 396  

5.063%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 09/12/2025 (A)(E)

     1,620       1,609  

Morgan Stanley

               

2.484%, U.S. SOFR + 1.360%, 09/16/2036 (A)

     1,040       754  

UBS Group

               

4.703%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.050%, 08/05/2027 (A)(D)(E)

     1,465       1,416  
                 
              13,646  
                 

Energy — 2.6%

        

Aker BP

               

4.000%, 01/15/2031 (D)

     369       323  

3.100%, 07/15/2031 (D)

     934       766  

2.000%, 07/15/2026 (D)(E)

     783       692  

Apache

               

7.750%, 12/15/2029

    140       146  

5.350%, 07/01/2049

    230       186  

5.250%, 02/01/2042

    90       73  

5.100%, 09/01/2040 (E)

     205       170  

4.750%, 04/15/2043 (E)

     390       294  

4.250%, 01/15/2044

    890       622  

BP Capital Markets America

               

3.633%, 04/06/2030

    320       294  

3.410%, 02/11/2026

    1,110       1,066  

3.119%, 05/04/2026

    230       218  

3.000%, 02/24/2050

    940       627  

Cameron LNG

               

3.302%, 01/15/2035 (D)(E)

     660       531  

2.902%, 07/15/2031 (D)

     140       118  

Canadian Natural Resources

               

6.450%, 06/30/2033

    50       51  

Cheniere Corpus Christi Holdings

               

3.700%, 11/15/2029 (E)

     938       848  

Cheniere Energy

               

4.625%, 10/15/2028

    260       235  

Cheniere Energy Partners

               

4.000%, 03/01/2031

    100       85  

3.250%, 01/31/2032

    530       421  

Chevron

               

2.895%, 03/03/2024

    560       547  

1.995%, 05/11/2027

    180       162  

1.554%, 05/11/2025 (E)

     520       484  

Chevron USA

               

3.850%, 01/15/2028

    200       193  

3.250%, 10/15/2029

    50       46  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

107

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Conoco Funding

               

7.250%, 10/15/2031

  $ 180     $ 205  

ConocoPhillips

               

5.900%, 10/15/2032

    10       11  

5.900%, 05/15/2038

    420       441  

4.150%, 11/15/2034

    280       243  

Continental Resources

               

5.750%, 01/15/2031 (D)

     370       344  

4.900%, 06/01/2044

    80       59  

4.500%, 04/15/2023 (E)

     250       249  

4.375%, 01/15/2028

    520       476  

3.800%, 06/01/2024 (E)

     200       194  

2.268%, 11/15/2026 (D)

     2,070       1,794  

Coterra Energy

               

4.375%, 03/15/2029 (D)(E)

     780       734  

3.900%, 05/15/2027 (D)

     970       906  

DCP Midstream Operating

               

6.450%, 11/03/2036 (D)

     110       108  

Devon Energy

               

8.250%, 08/01/2023

    50       51  

7.875%, 09/30/2031

    660       745  

5.875%, 06/15/2028 (E)

     40       40  

5.850%, 12/15/2025 (E)

     50       51  

5.600%, 07/15/2041 (E)

     490       457  

5.250%, 10/15/2027

    46       46  

5.000%, 06/15/2045 (E)

     1,232       1,064  

4.750%, 05/15/2042 (E)

     187       158  

4.500%, 01/15/2030

    304       283  

Diamondback Energy

               

6.250%, 03/15/2033

    1,430       1,451  

3.500%, 12/01/2029 (E)

     500       439  

3.250%, 12/01/2026 (E)

     30       28  

Ecopetrol

               

5.875%, 05/28/2045

    1,276       888  

5.375%, 06/26/2026

    200       189  

4.625%, 11/02/2031

    160       122  

4.125%, 01/16/2025

    3       3  

Energy Transfer

               

7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(A)(F)

     580       484  

6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.134%(A)(F)

     500       432  

6.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.694%(A)(F)

     200       172  

6.250%, 04/15/2049

    490       456  

6.250%, ICE LIBOR USD 3 Month + 4.028%(A)(F)

     90       76  

6.125%, 12/15/2045

    251       232  

5.750%, 02/15/2033

    1,142       1,117  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.500%, 06/01/2027

  $ 118     $ 117  

5.400%, 10/01/2047

    2,165       1,834  

5.350%, 05/15/2045

    465       394  

5.300%, 04/01/2044

    640       540  

5.300%, 04/15/2047

    812       676  

5.250%, 04/15/2029

    1,165       1,126  

5.150%, 03/15/2045

    414       343  

5.000%, 05/15/2050 (E)

     1,285       1,027  

4.950%, 05/15/2028

    1,039       997  

4.950%, 06/15/2028

    180       174  

4.500%, 11/01/2023 (E)

     690       685  

4.400%, 03/15/2027

    139       132  

4.000%, 10/01/2027 (E)

     1,190       1,111  

3.750%, 05/15/2030 (E)

     1,250       1,102  

Eni

               

4.000%, 09/12/2023 (D)(E)

     1,940       1,913  

Enterprise Products Operating

               

7.550%, 04/15/2038

    40       45  

5.700%, 02/15/2042

    40       39  

5.375%, ICE LIBOR USD 3 Month + 2.570%, 02/15/2078 (A)

     150       114  

5.100%, 02/15/2045

    395       355  

4.850%, 03/15/2044

    430       379  

4.800%, 02/01/2049

    60       51  

4.200%, 01/31/2050 (E)

     120       94  

4.150%, 10/16/2028

    1,605       1,520  

3.950%, 01/31/2060 (E)

     220       159  

3.700%, 01/31/2051

    270       195  

3.125%, 07/31/2029

    170       150  

2.800%, 01/31/2030

    540       459  

EOG Resources

               

4.950%, 04/15/2050 (E)

     450       428  

4.375%, 04/15/2030

    120       116  

4.150%, 01/15/2026

    340       333  

3.900%, 04/01/2035 (E)

     390       348  

EQM Midstream Partners

               

5.500%, 07/15/2028

    30       27  

EQT

               

6.125%, 02/01/2025

    30       30  

5.000%, 01/15/2029

    150       141  

3.900%, 10/01/2027 (E)

     1,020       941  

3.625%, 05/15/2031 (D)(E)

     320       271  

3.125%, 05/15/2026 (D)

     10       9  

Equinor

               

3.000%, 04/06/2027

    555       518  

2.875%, 04/06/2025

    1,685       1,615  

Exxon Mobil

               

4.327%, 03/19/2050

    1,099       962  

4.114%, 03/01/2046

    533       453  

3.482%, 03/19/2030 (E)

     460       429  

3.452%, 04/15/2051

    989       745  

3.043%, 03/01/2026

    660       629  

 

 

 

108

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.992%, 03/19/2025 (E)

   $ 2,400     $ 2,312  

1.571%, 04/15/2023 (E)

     50       50  

Galaxy Pipeline Assets Bidco

               

2.940%, 09/30/2040 (D)

     252       202  

2.625%, 03/31/2036 (D)

     458       369  

2.160%, 03/31/2034 (D)

     666       566  

1.750%, 09/30/2027 (D)

     1,337       1,236  

Halliburton

               

5.000%, 11/15/2045

    80       71  

4.850%, 11/15/2035

    60       55  

3.800%, 11/15/2025 (E)

     17       17  

Hess

               

6.000%, 01/15/2040

    880       862  

5.600%, 02/15/2041 (E)

     860       813  

HF Sinclair

               

5.875%, 04/01/2026 (E)

     620       621  

KazMunayGas National JSC

               

5.750%, 04/19/2047 (D)

     340       263  

Kinder Morgan

               

5.550%, 06/01/2045

    300       274  

5.450%, 08/01/2052

    917       823  

5.200%, 03/01/2048

    455       393  

5.050%, 02/15/2046

    170       144  

4.300%, 06/01/2025 (E)

     510       500  

4.300%, 03/01/2028 (E)

     150       144  

3.150%, 01/15/2023

    193       193  

Kinder Morgan Energy Partners

               

5.500%, 03/01/2044 (E)

     415       375  

5.400%, 09/01/2044

    20       18  

MEG Energy

               

5.875%, 02/01/2029 (D)

     80       75  

MPLX

               

5.500%, 02/15/2049

    390       343  

4.950%, 03/14/2052

    1,160       948  

4.875%, 12/01/2024

    320       317  

4.800%, 02/15/2029 (E)

     330       316  

4.700%, 04/15/2048

    430       339  

4.500%, 04/15/2038

    520       438  

Northwest Pipeline

               

4.000%, 04/01/2027

    219       207  

Occidental Petroleum

               

7.875%, 09/15/2031

    610       673  

7.500%, 05/01/2031

    870       930  

6.950%, 07/01/2024

    136       139  

6.600%, 03/15/2046

    360       370  

6.450%, 09/15/2036

    280       286  

5.550%, 03/15/2026

    110       110  

4.625%, 06/15/2045

    280       225  

4.400%, 04/15/2046

    120       94  

4.200%, 03/15/2048

    170       131  

4.100%, 02/15/2047 (E)

     600       458  

3.400%, 04/15/2026

    270       253  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.000%, 02/15/2027 (E)

   $ 300     $ 271  

Parsley Energy

               

4.125%, 02/15/2028 (D)

     60       55  

Pertamina Persero

               

6.000%, 05/03/2042 (D)

     300       286  

Petrobras Global Finance BV

               

6.850%, 06/05/2115 (E)

     790       669  

6.250%, 03/17/2024

    1,394       1,399  

5.299%, 01/27/2025

    1,278       1,270  

Petroleos Mexicanos

               

7.690%, 01/23/2050

    150       104  

6.950%, 01/28/2060

    780       493  

6.625%, 06/15/2035 (E)

     767       557  

6.375%, 01/23/2045

    1,105       684  

5.625%, 01/23/2046

    480       279  

4.875%, 01/18/2024

    32       31  

2.460%, 12/15/2025

    646       617  

2.378%, 04/15/2025

    254       245  

Petroleos Mexicanos MTN

               

6.875%, 08/04/2026

    120       113  

6.750%, 09/21/2047

    2,970       1,895  

Phillips 66

               

1.300%, 02/15/2026

    405       363  

Pioneer Natural Resources

               

2.150%, 01/15/2031

    1,080       854  

1.900%, 08/15/2030 (E)

     240       188  

1.125%, 01/15/2026

    110       98  

Plains All American Pipeline

               

3.550%, 12/15/2029

    495       429  

2.850%, 01/31/2023

    250       250  

Range Resources

               

4.875%, 05/15/2025

    120       114  

Reliance Industries

               

3.625%, 01/12/2052 (D)

     870       571  

2.875%, 01/12/2032 (D)

     320       259  

Rockies Express Pipeline

               

6.875%, 04/15/2040 (D)

     830       697  

4.950%, 07/15/2029 (D)

     1,600       1,436  

Ruby Pipeline

               

8.000%, 04/01/2022 (D)(E)(G)

     1,008       1,093  

Sabine Pass Liquefaction

               

5.750%, 05/15/2024 (E)

     1,370       1,370  

5.000%, 03/15/2027

    1,265       1,240  

4.500%, 05/15/2030

    990       918  

Saudi Arabian Oil

               

1.625%, 11/24/2025 (D)

     540       492  

1.250%, 11/24/2023 (D)

     450       432  

Schlumberger Holdings

               

3.900%, 05/17/2028 (D)

     475       443  

Schlumberger Investment

               

3.650%, 12/01/2023

    61       60  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

109

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Shell International Finance BV

               

4.550%, 08/12/2043

  $ 280     $ 253  

4.375%, 05/11/2045

    470       411  

4.125%, 05/11/2035

    1,356       1,257  

3.250%, 04/06/2050

    840       603  

2.875%, 05/10/2026 (E)

     900       848  

2.750%, 04/06/2030

    440       386  

Sinopec Group Overseas Development

               

4.375%, 04/10/2024 (D)(E)

     1,240       1,231  

Southern Natural Gas

               

8.000%, 03/01/2032

    170       186  

Southwestern Energy

               

5.375%, 02/01/2029

    20       19  

5.375%, 03/15/2030

    80       73  

4.750%, 02/01/2032

    190       162  

Tallgrass Energy Partners

               

6.000%, 12/31/2030 (D)

     20       17  

Targa Resources

               

5.200%, 07/01/2027 (E)

     540       529  

4.200%, 02/01/2033

    250       215  

Targa Resources Partners

               

5.500%, 03/01/2030

    296       278  

5.000%, 01/15/2028 (E)

     100       95  

4.875%, 02/01/2031

    1,032       932  

4.000%, 01/15/2032

    40       34  

Tennessee Gas Pipeline

               

8.375%, 06/15/2032

    1,140       1,298  

2.900%, 03/01/2030 (D)

     1,560       1,307  

TransCanada PipeLines

               

4.625%, 03/01/2034

    860       784  

Transcontinental Gas Pipe Line

               

7.850%, 02/01/2026

    60       64  

Venture Global Calcasieu Pass

               

3.875%, 11/01/2033 (D)

     290       237  

Western Midstream Operating

               

5.500%, 08/15/2048

    244       202  

5.500%, 02/01/2050 (E)

     210       173  

5.300%, 03/01/2048

    162       133  

5.041%, ICE LIBOR USD 3 Month + 1.100%, 01/13/2023 (A)

     130       130  

4.650%, 07/01/2026 (E)

     40       38  

4.500%, 03/01/2028

    60       55  

4.300%, 02/01/2030 (E)

     1,200       1,047  

3.350%, 02/01/2025

    390       369  

Williams

               

7.750%, 06/15/2031

    841       927  

7.500%, 01/15/2031

    100       109  

5.750%, 06/24/2044 (E)

     51       49  

5.400%, 03/04/2044

    84       76  

3.750%, 06/15/2027

    1,044       983  
                 
              100,410  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Financials — 11.3%

        

ABN AMRO Bank

               

4.750%, 07/28/2025 (D)

   $ 360     $ 349  

AerCap Ireland Capital DAC

               

3.400%, 10/29/2033

    540       409  

Agree

               

4.800%, 10/01/2032

    295       273  

Ally Financial

               

1.450%, 10/02/2023

    670       650  

Ambac Assurance

               

5.100%(D)(F)

     8       12  

American Express

               

4.050%, 05/03/2029 (E)

     770       733  

3.950%, 08/01/2025

    555       544  

3.375%, 05/03/2024

    995       975  

American International Group

               

3.900%, 04/01/2026 (E)

     264       256  

3.875%, 01/15/2035 (E)

     210       184  

2.500%, 06/30/2025 (E)

     212       200  

American Tower

               

3.125%, 01/15/2027

    295       270  

Antares Holdings

               

3.750%, 07/15/2027 (D)

     649       525  

Aon

               

6.250%, 09/30/2040

    19       19  

2.600%, 12/02/2031

    2,080       1,698  

Apollo Management Holdings

               

4.400%, 05/27/2026 (D)

     530       501  

Arthur J Gallagher

               

3.050%, 03/09/2052 (E)

     1,370       866  

Athene Global Funding

               

4.518%, SOFRINDX + 0.700%, 05/24/2024 (A)(D)

     2,025       1,990  

3.205%, 03/08/2027 (D)

     635       566  

2.950%, 11/12/2026 (D)

     2,090       1,886  

2.500%, 03/24/2028 (D)

     986       822  

1.985%, 08/19/2028 (D)(E)

     30       24  

1.608%, 06/29/2026 (D)(E)

     1,365       1,177  

Athene Global Funding MTN

               

2.646%, 10/04/2031 (D)

     930       710  

Athene Holding

               

4.125%, 01/12/2028

    605       554  

Avolon Holdings Funding

               

3.950%, 07/01/2024 (D)

     715       684  

2.875%, 02/15/2025 (D)(E)

     975       901  

2.528%, 11/18/2027 (D)

     779       623  

AXA Equitable Holdings

               

3.900%, 04/20/2023

    500       498  

Banco Santander

               

5.039%, ICE LIBOR USD 3 Month + 1.120%, 04/12/2023 (A)

     400       400  

 

 

 

110

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (A)

   $ 200     $ 186  

3.848%, 04/12/2023

    600       597  

3.225%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.600%, 11/22/2032 (A)

     400       302  

2.746%, 05/28/2025 (E)

     1,400       1,310  

1.722%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 09/14/2027 (A)

     390       333  

Bank of America

               

6.204%, U.S. SOFR + 1.990%, 11/10/2028 (A)(E)

     1,528       1,578  

5.015%, U.S. SOFR + 2.160%, 07/22/2033 (A)(E)

     652       619  

4.571%, U.S. SOFR + 1.830%, 04/27/2033 (A)(E)

     2,350       2,150  

3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (A)(E)

     2,708       2,452  

3.366%, ICE LIBOR USD 3 Month + 0.810%, 01/23/2026 (A)

     631       602  

2.972%, U.S. SOFR + 1.330%, 02/04/2033 (A)(E)

     1,445       1,164  

2.687%, U.S. SOFR + 1.320%, 04/22/2032 (A)

     3,644       2,917  

2.651%, U.S. SOFR + 1.220%, 03/11/2032 (A)

     1,305       1,045  

2.592%, U.S. SOFR + 2.150%, 04/29/2031 (A)

     2,130       1,735  

2.572%, U.S. SOFR + 1.210%, 10/20/2032 (A)

     3,710       2,906  

1.734%, U.S. SOFR + 0.960%, 07/22/2027 (A)

     5,363       4,699  

1.658%, U.S. SOFR + 0.910%, 03/11/2027 (A)(E)

     7,263       6,426  

Bank of America MTN

               

5.000%, 01/21/2044

    830       763  

4.450%, 03/03/2026

    1,157       1,134  

4.376%, U.S. SOFR + 1.580%, 04/27/2028 (A)(E)

     1,140       1,090  

4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (A)

     260       213  

4.271%, ICE LIBOR USD 3 Month + 1.310%, 07/23/2029 (A)(E)

     65       61  

4.250%, 10/22/2026

    80       77  

4.244%, ICE LIBOR USD 3 Month + 1.814%, 04/24/2038 (A)

     179       152  

4.200%, 08/26/2024 (E)

     1,530       1,506  

4.125%, 01/22/2024 (E)

     290       288  

4.100%, 07/24/2023 (E)

     340       339  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (A)(E)

   $ 1,630     $ 1,276  

4.000%, 04/01/2024

    1,309       1,293  

4.000%, 01/22/2025

    1,610       1,576  

3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (A)

     1,900       1,726  

3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (A)

     625       577  

3.864%, ICE LIBOR USD 3 Month + 0.940%, 07/23/2024 (A)(E)

     600       595  

3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (A)

     524       489  

3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (A)

     1,364       1,256  

3.550%, ICE LIBOR USD 3 Month + 0.780%, 03/05/2024 (A)

     860       857  

3.500%, 04/19/2026 (E)

     780       744  

3.300%, 01/11/2023

    1,200       1,200  

3.194%, ICE LIBOR USD 3 Month + 1.180%, 07/23/2030 (A)

     240       206  

3.093%, ICE LIBOR USD 3 Month + 1.090%, 10/01/2025 (A)(E)

     960       920  

2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (A)

     265       222  

2.087%, U.S. SOFR + 1.060%, 06/14/2029 (A)(E)

     6,025       5,070  

1.530%, U.S. SOFR + 0.650%, 12/06/2025 (A)

     2,618       2,415  

1.197%, U.S. SOFR + 1.010%, 10/24/2026 (A)(E)

     720       640  

Bank of Montreal MTN

               

1.850%, 05/01/2025 (E)

     880       822  

Bank of New York Mellon

               

5.834%, SOFRINDX + 2.074%, 10/25/2033 (A)

     1,060       1,099  

3.400%, 05/15/2024 (E)

     530       519  

Bank of New York Mellon MTN

               

3.250%, 09/11/2024

    100       97  

1.600%, 04/24/2025 (E)

     260       242  

Bank of Nova Scotia

               

4.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.551%(A)(F)

     510       489  

4.588%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.050%, 05/04/2037 (A)

     390       333  

1.300%, 06/11/2025 (E)

     480       440  

Barclays

               

5.088%, ICE LIBOR USD 3 Month + 3.054%, 06/20/2030 (A)

     1,940       1,787  

4.375%, 01/12/2026 (E)

     2,270       2,197  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

111

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Barclays MTN

               

4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/2029 (A)(E)

   $ 520     $ 488  

Berkshire Hathaway Finance

               

4.250%, 01/15/2049

    870       774  

Blackstone Holdings Finance

               

6.200%, 04/22/2033 (D)(E)

     930       937  

Blackstone Secured Lending Fund

               

3.625%, 01/15/2026

    670       616  

BNP Paribas

               

4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (A)(D)

     930       921  

4.625%, 03/13/2027 (D)

     200       190  

4.400%, 08/14/2028 (D)

     1,447       1,368  

3.375%, 01/09/2025 (D)(E)

     290       279  

2.219%, U.S. SOFR + 2.074%, 06/09/2026 (A)(D)(E)

     600       551  

BNP Paribas MTN

               

4.375%, USD Swap Semi 30/360 5 Yr Curr + 1.483%, 03/01/2033 (A)(D)

     400       353  

3.500%, 03/01/2023 (D)

     464       463  

3.052%, U.S. SOFR + 1.507%, 01/13/2031 (A)(D)

     200       164  

BPCE

               

5.150%, 07/21/2024 (D)

     410       401  

Brighthouse Financial

               

3.850%, 12/22/2051

    279       176  

Brighthouse Financial Global Funding MTN

               

1.000%, 04/12/2024 (D)

     1,505       1,417  

Canadian Imperial Bank of Commerce

               

0.950%, 06/23/2023 (E)

     480       471  

Cantor Fitzgerald

               

4.500%, 04/14/2027 (D)

     1,135       1,051  

Capital One Financial

               

3.273%, U.S. SOFR + 1.790%, 03/01/2030 (A)

     1,850       1,582  

Cboe Global Markets

               

3.000%, 03/16/2032

    1,330       1,106  

Chubb INA Holdings

               

3.350%, 05/03/2026 (E)

     200       191  

3.150%, 03/15/2025

    74       71  

CI Financial

               

4.100%, 06/15/2051

    1,020       601  

3.200%, 12/17/2030

    1,255       952  

Citadel

               

4.875%, 01/15/2027 (D)(E)

     660       613  

Citigroup

               

8.125%, 07/15/2039 (E)

     1,064       1,308  

6.675%, 09/13/2043 (E)

     70       75  

6.625%, 06/15/2032 (E)

     100       105  

6.300%, ICE LIBOR USD 3 Month + 3.423%(A)(F)

     300       283  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

6.270%, U.S. SOFR + 2.338%, 11/17/2033 (A)

   $ 1,543     $ 1,592  

5.950%, ICE LIBOR USD 3 Month + 3.905%(A)(F)

     590       531  

5.950%, ICE LIBOR USD 3 Month + 4.068%(A)(E)(F)

     360       356  

5.500%, 09/13/2025 (E)

     950       956  

5.300%, 05/06/2044

    225       203  

4.910%, U.S. SOFR + 2.086%, 05/24/2033 (A)

     1,167       1,093  

4.750%, 05/18/2046 (E)

     100       83  

4.658%, U.S. SOFR + 1.887%, 05/24/2028 (A)

     340       329  

4.650%, 07/30/2045 (E)

     903       774  

4.450%, 09/29/2027

    1,295       1,235  

4.412%, U.S. SOFR + 3.914%, 03/31/2031 (A)

     2,750       2,525  

4.400%, 06/10/2025

    1,080       1,060  

4.300%, 11/20/2026 (E)

     240       232  

4.125%, 07/25/2028

    210       195  

4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (A)

     81       75  

3.980%, ICE LIBOR USD 3 Month + 1.338%, 03/20/2030 (A)

     1,860       1,678  

3.878%, ICE LIBOR USD 3 Month + 1.168%, 01/24/2039 (A)

     59       49  

3.785%, U.S. SOFR + 1.939%, 03/17/2033 (A)

     970       830  

3.500%, 05/15/2023 (E)

     630       627  

3.352%, ICE LIBOR USD 3 Month + 0.897%, 04/24/2025 (A)

     990       960  

3.300%, 04/27/2025

    120       116  

3.200%, 10/21/2026

    440       407  

3.106%, U.S. SOFR + 2.842%, 04/08/2026 (A)

     350       331  

3.070%, U.S. SOFR + 1.280%, 02/24/2028 (A)

     655       591  

3.057%, U.S. SOFR + 1.351%, 01/25/2033 (A)

     4,065       3,281  

2.976%, U.S. SOFR + 1.422%, 11/05/2030 (A)

     715       601  

2.572%, U.S. SOFR + 2.107%, 06/03/2031 (A)

     2,500       2,022  

2.561%, U.S. SOFR + 1.167%, 05/01/2032 (A)(E)

     2,875       2,270  

2.520%, U.S. SOFR + 1.177%, 11/03/2032 (A)

     360       280  

1.678%, U.S. SOFR + 1.667%, 05/15/2024 (A)(E)

     500       493  

1.462%, U.S. SOFR + 0.770%, 06/09/2027 (A)

     1,800       1,561  

 

 

 

112

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

0.981%, U.S. SOFR + 0.669%, 05/01/2025 (A)

   $ 250     $ 234  

CME Group

               

3.000%, 03/15/2025 (E)

     51       49  

Cooperatieve Rabobank UA

               

4.375%, 08/04/2025

    2,150       2,098  

3.758%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.420%, 04/06/2033 (A)(D)

     2,927       2,493  

3.649%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.220%, 04/06/2028 (A)(D)(E)

     2,111       1,945  

Credit Agricole MTN

               

4.000%, USD Swap Semi 30/360 5 Yr Curr + 1.644%, 01/10/2033 (A)(D)

     250       218  

1.907%, U.S. SOFR + 1.676%, 06/16/2026 (A)(D)

     400       365  

Credit Suisse Group

               

9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(A)(D)(F)

     2,030       1,768  

9.016%, U.S. SOFR + 5.020%, 11/15/2033 (A)(D)(E)

     3,138       3,213  

6.537%, U.S. SOFR + 3.920%, 08/12/2033 (A)(D)

     6,360       5,580  

4.207%, ICE LIBOR USD 3 Month + 1.240%, 06/12/2024 (A)(D)

     300       293  

4.194%, U.S. SOFR + 3.730%, 04/01/2031 (A)(D)

     730       567  

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (A)(D)(E)

     2,365       1,634  

2.593%, U.S. SOFR + 1.560%, 09/11/2025 (A)(D)(E)

     760       672  

2.193%, U.S. SOFR + 2.044%, 06/05/2026 (A)(D)(E)

     1,070       914  

1.305%, U.S. SOFR + 0.980%, 02/02/2027 (A)(D)

     2,825       2,256  

Credit Suisse NY

               

2.950%, 04/09/2025

    520       468  

CTR Partnership

               

3.875%, 06/30/2028 (D)(E)

     90       76  

Danske Bank

               

5.375%, 01/12/2024 (D)

     650       645  

3.875%, 09/12/2023 (D)

     200       197  

3.244%, ICE LIBOR USD 3 Month + 1.591%, 12/20/2025 (A)(D)(E)

     220       206  

1.226%, 06/22/2024 (D)

     200       187  

Danske Bank MTN

               

4.375%, 06/12/2028 (D)

     200       183  

Deutsche Bank NY

               

3.742%, U.S. SOFR + 2.257%, 01/07/2033 (A)

     1,274       905  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

DNB Bank

               

1.605%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.680%, 03/30/2028 (A)(D)

   $ 2,065     $ 1,747  

1.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 09/16/2026 (A)(D)

     5       4  

Enstar Group

               

3.100%, 09/01/2031

    709       518  

F&G Global Funding

               

1.750%, 06/30/2026 (D)(E)

     810       721  

Farmers Exchange Capital

               

7.200%, 07/15/2048 (D)

     1,021       1,089  

7.050%, 07/15/2028 (D)

     1,000       1,026  

Farmers Exchange Capital II

               

6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (A)(D)

     1,650       1,577  

Federal Realty Investment Trust

               

3.950%, 01/15/2024

    374       369  

Goldman Sachs Capital II

               

5.528%, ICE LIBOR USD 3 Month + 0.768%(A)(E)(F)

     10       8  

Goldman Sachs Group

               

6.750%, 10/01/2037

    30       32  

6.250%, 02/01/2041

    1,050       1,096  

5.150%, 05/22/2045

    820       737  

4.750%, 10/21/2045 (E)

     370       324  

4.250%, 10/21/2025 (E)

     1,120       1,093  

4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (A)

     1,300       1,211  

3.814%, ICE LIBOR USD 3 Month + 1.158%, 04/23/2029 (A)

     480       438  

3.750%, 02/25/2026

    345       332  

3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (A)

     380       353  

3.615%, U.S. SOFR + 1.846%, 03/15/2028 (A)

     170       158  

3.500%, 04/01/2025

    540       519  

3.500%, 11/16/2026 (E)

     900       844  

3.272%, ICE LIBOR USD 3 Month + 1.201%, 09/29/2025 (A)

     1,130       1,089  

3.210%, U.S. SOFR + 1.513%, 04/22/2042 (A)

     120       86  

3.200%, 02/23/2023 (E)

     1,815       1,810  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (A)(E)

     905       735  

2.908%, U.S. SOFR + 1.472%, 07/21/2042 (A)

     260       177  

2.650%, U.S. SOFR + 1.264%, 10/21/2032 (A)

     2,950       2,329  

2.600%, 02/07/2030

    125       104  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

113

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.383%, U.S. SOFR + 1.248%, 07/21/2032 (A)

   $ 3,845     $ 2,983  

1.948%, U.S. SOFR + 0.913%, 10/21/2027 (A)

     2,269       1,984  

1.542%, U.S. SOFR + 0.818%, 09/10/2027 (A)(E)

     5,835       5,033  

1.431%, U.S. SOFR + 0.798%, 03/09/2027 (A)

     1,150       1,008  

1.217%, 12/06/2023 (E)

     3,465       3,345  

0.925%, U.S. SOFR + 0.486%, 10/21/2024 (A)

     3,467       3,321  

0.657%, U.S. SOFR + 0.505%, 09/10/2024 (A)(E)

     1,412       1,358  

Goldman Sachs Group MTN

               

4.000%, 03/03/2024 (E)

     690       681  

3.850%, 07/08/2024

    330       323  

Guardian Life Global Funding

               

1.100%, 06/23/2025 (D)

     190       172  

Healthcare Realty Holdings

               

3.875%, 05/01/2025

    200       191  

2.400%, 03/15/2030

    170       133  

2.000%, 03/15/2031

    30       23  

HSBC Bank USA

               

7.000%, 01/15/2039 (E)

     275       296  

HSBC Holdings

               

7.390%, U.S. SOFR + 3.350%, 11/03/2028 (A)

     930       977  

4.762%, U.S. SOFR + 2.530%, 03/29/2033 (A)

     670       581  

4.755%, U.S. SOFR + 2.110%, 06/09/2028 (A)

     220       208  

4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (A)

     945       870  

4.375%, 11/23/2026

    345       331  

4.300%, 03/08/2026 (E)

     1,710       1,654  

4.250%, 03/14/2024

    510       501  

4.250%, 08/18/2025 (E)

     560       539  

3.973%, ICE LIBOR USD 3 Month + 1.610%, 05/22/2030

    860       753  

2.999%, U.S. SOFR + 1.430%, 03/10/2026 (A)(E)

     370       348  

2.871%, U.S. SOFR + 1.410%, 11/22/2032 (A)

     700       535  

2.804%, U.S. SOFR + 1.187%, 05/24/2032 (A)

     370       286  

2.357%, U.S. SOFR + 1.947%, 08/18/2031 (A)

     370       283  

2.206%, U.S. SOFR + 1.285%, 08/17/2029 (A)

     1,930       1,558  

2.099%, U.S. SOFR + 1.929%, 06/04/2026 (A)(E)

     2,640       2,402  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.013%, U.S. SOFR + 1.732%, 09/22/2028 (A)

   $ 3,230     $ 2,700  

1.645%, U.S. SOFR + 1.538%, 04/18/2026 (A)

     330       298  

1.589%, U.S. SOFR + 1.290%, 05/24/2027 (A)

     815       703  

ILFC E-Capital Trust II

               

6.538%, 12/21/2065 (A)(D)

     400       258  

Intercontinental Exchange

               

4.950%, 06/15/2052

    150       139  

4.600%, 03/15/2033

    1,150       1,100  

1.850%, 09/15/2032

    1,470       1,108  

Intesa Sanpaolo

               

3.375%, 01/12/2023 (D)

     440       440  

Intesa Sanpaolo MTN

               

5.017%, 06/26/2024 (D)

     2,320       2,230  

Invitation Homes Operating Partnership

               

2.000%, 08/15/2031

    319       236  

Jackson Financial

               

3.125%, 11/23/2031 (E)

     1,405       1,077  

JPMorgan Chase

               

8.750%, 09/01/2030

    970       1,130  

4.990%, ICE LIBOR USD 3 Month + 0.550%, 02/01/2027 (A)

     1,590       1,474  

4.950%, 06/01/2045

    430       384  

4.912%, U.S. SOFR + 2.080%, 07/25/2033 (A)

     590       562  

4.565%, U.S. SOFR + 1.750%, 06/14/2030 (A)(E)

     713       671  

4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (A)

     300       282  

4.323%, U.S. SOFR + 1.560%, 04/26/2028 (A)

     460       439  

4.260%, ICE LIBOR USD 3 Month + 1.580%, 02/22/2048 (A)

     84       69  

4.250%, 10/01/2027 (E)

     720       694  

4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (A)

     800       745  

4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (A)

     1,480       1,458  

3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (A)

     325       270  

3.875%, 09/10/2024

    1,140       1,116  

3.625%, 05/13/2024

    230       226  

3.625%, 12/01/2027

    230       213  

3.200%, 01/25/2023

    100       100  

3.109%, U.S. SOFR + 2.440%, 04/22/2051 (A)

     130       85  

2.956%, U.S. SOFR + 2.515%, 05/13/2031 (A)

     620       511  

2.950%, 10/01/2026 (E)

     377       352  

 

 

 

114

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.947%, U.S. SOFR + 1.170%, 02/24/2028 (A)

   $ 650     $ 588  

2.739%, U.S. SOFR + 1.510%, 10/15/2030 (A)

     855       717  

2.580%, U.S. SOFR + 1.250%, 04/22/2032 (A)(E)

     1,125       901  

2.545%, U.S. SOFR + 1.180%, 11/08/2032 (A)(E)

     4,350       3,438  

2.522%, U.S. SOFR + 2.040%, 04/22/2031 (A)(E)

     450       368  

2.301%, U.S. SOFR + 1.160%, 10/15/2025 (A)

     1,190       1,121  

2.182%, U.S. SOFR + 1.890%, 06/01/2028 (A)

     864       755  

2.083%, U.S. SOFR + 1.850%, 04/22/2026 (A)

     830       770  

2.069%, U.S. SOFR + 1.015%, 06/01/2029 (A)

     1,285       1,073  

2.005%, TSFR3M + 1.585%, 03/13/2026 (A)

     2,045       1,893  

1.953%, U.S. SOFR + 1.065%, 02/04/2032 (A)

     3,020       2,310  

1.578%, U.S. SOFR + 0.885%, 04/22/2027 (A)

     6,088       5,349  

1.561%, U.S. SOFR + 0.605%, 12/10/2025 (A)(E)

     6,199       5,739  

1.514%, U.S. SOFR + 1.455%, 06/01/2024 (A)

     1,340       1,318  

1.470%, U.S. SOFR + 0.765%, 09/22/2027 (A)

     702       608  

1.045%, U.S. SOFR + 0.800%, 11/19/2026 (A)

     1,275       1,125  

1.040%, TSFR3M + 0.695%, 02/04/2027 (A)

     2,823       2,456  

0.969%, TSFR3M + 0.580%, 06/23/2025 (A)

     4,070       3,794  

KKR Group Finance II

               

5.500%, 02/01/2043 (D)(E)

     80       74  

KKR Group Finance III

               

5.125%, 06/01/2044 (D)

     535       464  

KRC Interim

               

4.600%, 02/01/2033 (E)

     443       405  

Liberty Mutual Group

               

5.500%, 06/15/2052 (D)(E)

     273       245  

Life Storage

               

2.400%, 10/15/2031

    355       273  

Lloyds Banking Group

               

4.375%, 03/22/2028 (E)

     670       636  

4.344%, 01/09/2048

    200       146  

4.050%, 08/16/2023

    200       199  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.870%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 07/09/2025 (A)

   $ 1,190     $ 1,152  

1.627%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 05/11/2027 (A)

     2,000       1,731  

Macquarie Bank

               

3.624%, 06/03/2030 (D)

     425       344  

Macquarie Group

               

4.442%, U.S. SOFR + 2.405%, 06/21/2033 (A)(D)(E)

     330       286  

1.340%, U.S. SOFR + 1.069%, 01/12/2027 (A)(D)

     2,045       1,782  

Macquarie Group MTN

               

2.871%, U.S. SOFR + 1.532%, 01/14/2033 (A)(D)

     1,400       1,074  

Marsh & McLennan

               

6.250%, 11/01/2052

    156       173  

Massachusetts Mutual Life Insurance

               

3.729%, 10/15/2070 (D)

     88       58  

Mercury General

               

4.400%, 03/15/2027

    935       874  

MetLife

               

6.400%, 12/15/2036 (E)

     420       406  

5.700%, 06/15/2035

    15       16  

MetLife Capital Trust IV

               

7.875%, 12/15/2037 (D)

     800       864  

Metropolitan Life Global Funding I

               

3.450%, 12/18/2026 (D)

     1,955       1,827  

Mitsubishi UFJ Financial Group

               

4.080%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 04/19/2028 (A)

     400       377  

3.837%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 04/17/2026 (A)(E)

     380       366  

2.309%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.950%, 07/20/2032 (A)

     755       581  

Morgan Stanley

               

6.342%, U.S. SOFR + 2.560%, 10/18/2033 (A)(E)

     1,541       1,615  

1.593%, U.S. SOFR + 0.879%, 05/04/2027 (A)

     510       447  

0.985%, U.S. SOFR + 0.720%, 12/10/2026 (A)

     1,435       1,257  

0.790%, U.S. SOFR + 0.525%, 05/30/2025 (A)

     1,818       1,690  

Morgan Stanley MTN

               

4.431%, ICE LIBOR USD 3 Month + 1.628%, 01/23/2030 (A)

     340       316  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

115

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (A)

   $ 119     $ 100  

3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (A)(E)

     1,080       989  

3.622%, U.S. SOFR + 3.120%, 04/01/2031 (A)

     2,920       2,549  

2.943%, U.S. SOFR + 1.290%, 01/21/2033 (A)(E)

     785       635  

2.720%, U.S. SOFR + 1.152%, 07/22/2025 (A)

     360       344  

2.699%, U.S. SOFR + 1.143%, 01/22/2031 (A)

     520       430  

2.511%, U.S. SOFR + 1.200%, 10/20/2032 (A)

     2,265       1,773  

2.475%, U.S. SOFR + 1.000%, 01/21/2028 (A)

     2,025       1,799  

2.239%, U.S. SOFR + 1.178%, 07/21/2032 (A)

     1,195       917  

2.188%, U.S. SOFR + 1.990%, 04/28/2026 (A)

     1,300       1,208  

1.794%, U.S. SOFR + 1.034%, 02/13/2032 (A)

     2,400       1,804  

1.512%, U.S. SOFR + 0.858%, 07/20/2027 (A)

     1,653       1,434  

1.164%, U.S. SOFR + 0.560%, 10/21/2025 (A)

     4,860       4,474  

0.864%, U.S. SOFR + 0.745%, 10/21/2025 (A)

     154       141  

0.791%, U.S. SOFR + 0.509%, 01/22/2025 (A)

     1,800       1,703  

MUFG Bank

               

4.100%, 09/09/2023 (D)

     200       198  

National Securities Clearing

               

1.500%, 04/23/2025 (D)

     330       306  

1.200%, 04/23/2023 (D)

     410       406  

Nationwide Building Society

               

4.363%, ICE LIBOR USD 3 Month + 1.392%, 08/01/2024 (A)(D)

     800       790  

3.766%, ICE LIBOR USD 3 Month + 1.064%, 03/08/2024 (A)(D)

     1,840       1,830  

Nationwide Building Society MTN

               

2.972%, U.S. SOFR + 1.290%, 02/16/2028 (A)(D)

     1,375       1,209  

Nationwide Mutual Insurance

               

7.059%, ICE LIBOR USD 3 Month + 2.290%, 12/15/2024 (A)(D)

     3,735       3,725  

NatWest Group

               

7.472%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.850%, 11/10/2026 (A)(E)

     1,085       1,129  

4.892%, ICE LIBOR USD 3 Month + 1.754%, 05/18/2029 (A)

     200       189  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.519%, ICE LIBOR USD 3 Month + 1.550%, 06/25/2024 (A)

   $ 830     $ 822  

4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (A)

     1,500       1,467  

1.642%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 06/14/2027 (A)

     920       796  

New York Life Global Funding

               

0.950%, 06/24/2025 (D)

     340       308  

Northwestern Mutual Life Insurance

               

3.625%, 09/30/2059 (D)

     1,112       765  

Ohio National Financial Services

               

5.800%, 01/24/2030 (D)(E)

     625       574  

ORIX

               

5.200%, 09/13/2032 (E)

     1,130       1,101  

Owl Rock Capital III

               

3.125%, 04/13/2027

    383       315  

Park Aerospace Holdings

               

5.500%, 02/15/2024 (D)(E)

     212       209  

4.500%, 03/15/2023 (D)(E)

     2,070       2,065  

Physicians Realty

               

2.625%, 11/01/2031

    700       546  

PNC Bank

               

3.875%, 04/10/2025

    430       418  

PNC Financial Services Group

               

6.037%, SOFRINDX + 2.140%, 10/28/2033 (A)

     1,973       2,054  

Principal Life Global Funding II

               

2.250%, 11/21/2024 (D)

     1,465       1,384  

1.250%, 06/23/2025 (D)

     160       146  

Prospect Capital

               

3.706%, 01/22/2026

    500       438  

Prudential Financial MTN

               

5.625%, 05/12/2041

    10       9  

Raymond James Financial

               

4.950%, 07/15/2046 (E)

     180       160  

Royal Bank of Canada MTN

               

1.600%, 04/17/2023 (E)

     760       753  

1.150%, 06/10/2025

    460       421  

S&P Global

               

4.750%, 08/01/2028 (D)

     1,215       1,201  

Santander Holdings USA

               

4.500%, 07/17/2025

    80       78  

Santander UK Group Holdings

               

6.833%, U.S. SOFR + 2.749%, 11/21/2026 (A)

     1,246       1,262  

4.796%, ICE LIBOR USD 3 Month + 1.570%, 11/15/2024 (A)

     3,050       2,999  

2.896%, U.S. SOFR + 1.475%, 03/15/2032 (A)

     610       471  

2.469%, U.S. SOFR + 1.220%, 01/11/2028 (A)

     510       435  

 

 

 

116

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.673%, U.S. SOFR + 0.989%, 06/14/2027 (A)(E)

   $ 445     $ 378  

1.532%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.250%, 08/21/2026 (A)

     235       207  

1.089%, U.S. SOFR + 0.787%, 03/15/2025 (A)(E)

     2,475       2,312  

SBL Holdings

               

5.000%, 02/18/2031 (D)

     976       768  

Scentre Group Trust 1

               

3.625%, 01/28/2026 (D)

     635       597  

Societe Generale

               

3.625%, 03/01/2041 (D)(E)

     645       418  

Societe Generale MTN

               

2.625%, 01/22/2025 (D)

     735       691  

State Street

               

3.300%, 12/16/2024 (E)

     70       68  

Stewart Information Services

               

3.600%, 11/15/2031

    380       291  

Swedbank

               

1.300%, 06/02/2023 (D)

     580       570  

Teachers Insurance & Annuity Association of America

               

6.850%, 12/16/2039 (D)

     124       136  

4.900%, 09/15/2044 (D)(E)

     240       219  

3.300%, 05/15/2050 (D)

     2,455       1,697  

The Vanguard Group

               

3.050%, 08/22/2050

    670       433  

Toronto-Dominion Bank MTN

               

4.456%, 06/08/2032 (E)

     2,190       2,087  

2.800%, 03/10/2027 (E)

     1,300       1,192  

1.150%, 06/12/2025

    460       420  

0.750%, 06/12/2023 (E)

     910       894  

Truist Financial MTN

               

6.123%, U.S. SOFR + 2.300%, 10/28/2033 (A)(E)

     435       458  

4.260%, U.S. SOFR + 1.456%, 07/28/2026 (A)(E)

     1,590       1,562  

Trust Fibra Uno

               

6.390%, 01/15/2050 (D)

     344       278  

UBS MTN

               

4.500%, 06/26/2048 (D)

     440       370  

UBS Group

               

7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(D)(F)

     1,640       1,614  

4.751%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 05/12/2028 (A)(D)

     360       345  

4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (A)(D)

     1,005       982  

4.253%, 03/23/2028 (D)

     350       327  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.125%, 09/24/2025 (D)

   $ 200     $ 194  

2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(D)

     210       162  

US Bancorp

               

5.850%, U.S. SOFR + 2.090%, 10/21/2033 (A)(E)

     1,065       1,106  

5.727%, U.S. SOFR + 1.430%, 10/21/2026 (A)(E)

     385       392  

1.450%, 05/12/2025 (E)

     1,020       946  

Validus Holdings

               

8.875%, 01/26/2040

    905       1,103  

WEA Finance

               

4.750%, 09/17/2044 (D)

     230       159  

3.750%, 09/17/2024 (D)

     990       936  

Wells Fargo

               

7.950%, 11/15/2029

    495       545  

5.375%, 11/02/2043 (E)

     400       372  

3.000%, 10/23/2026 (E)

     1,030       952  

2.188%, U.S. SOFR + 2.000%, 04/30/2026 (A)

     5,025       4,677  

Wells Fargo MTN

               

5.013%, U.S. SOFR + 4.502%, 04/04/2051 (A)

     4,525       3,986  

4.900%, 11/17/2045 (E)

     909       783  

4.897%, U.S. SOFR + 2.100%, 07/25/2033 (A)

     2,062       1,958  

4.808%, U.S. SOFR + 1.980%, 07/25/2028 (A)

     308       301  

4.750%, 12/07/2046

    700       586  

4.650%, 11/04/2044

    261       220  

4.478%, U.S. SOFR + 4.032%, 04/04/2031 (A)(E)

     2,630       2,465  

4.400%, 06/14/2046

    1,370       1,100  

4.150%, 01/24/2029

    1,010       949  

4.125%, 08/15/2023 (E)

     900       895  

3.750%, 01/24/2024

    250       247  

3.526%, U.S. SOFR + 1.510%, 03/24/2028 (A)(E)

     6,766       6,265  

3.350%, U.S. SOFR + 1.500%, 03/02/2033 (A)

     4,210       3,546  

3.196%, ICE LIBOR USD 3 Month + 1.170%, 06/17/2027 (A)(E)

     1,550       1,438  

2.879%, TSFR3M + 1.432%, 10/30/2030 (A)(E)

     20       17  

2.406%, U.S. SOFR + 1.087%, 10/30/2025 (A)(E)

     1,005       950  

2.393%, U.S. SOFR + 2.100%, 06/02/2028 (A)

     900       794  

2.164%, ICE LIBOR USD 3 Month + 0.750%, 02/11/2026 (A)

     2,265       2,112  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

117

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Westpac Banking

               

2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (A)

   $ 450     $ 335  
                 
              396,397  
                 

Health Care — 3.2%

        

Abbott Laboratories

               

4.900%, 11/30/2046

    470       458  

4.750%, 11/30/2036

    260       257  

3.750%, 11/30/2026

    463       451  

AbbVie

               

4.875%, 11/14/2048

    70       64  

4.625%, 10/01/2042

    38       34  

4.550%, 03/15/2035

    585       547  

4.500%, 05/14/2035

    510       472  

4.450%, 05/14/2046

    208       179  

4.400%, 11/06/2042

    1,000       867  

4.300%, 05/14/2036

    204       184  

4.250%, 11/21/2049

    4,030       3,344  

4.050%, 11/21/2039

    748       640  

3.800%, 03/15/2025

    460       448  

3.750%, 11/14/2023 (E)

     100       99  

3.600%, 05/14/2025 (E)

     770       746  

3.200%, 11/21/2029 (E)

     1,325       1,194  

2.950%, 11/21/2026 (E)

     380       353  

2.600%, 11/21/2024

    1,820       1,741  

Advocate Health & Hospitals

               

2.211%, 06/15/2030

    1,615       1,325  

Aetna

               

3.875%, 08/15/2047

    90       69  

2.800%, 06/15/2023

    1,750       1,732  

Alcon Finance

               

3.000%, 09/23/2029 (D)

     1,975       1,720  

Amgen

               

6.375%, 06/01/2037

    910       969  

5.150%, 11/15/2041

    332       310  

4.663%, 06/15/2051

    269       231  

4.400%, 05/01/2045

    375       314  

3.625%, 05/22/2024 (E)

     130       127  

3.150%, 02/21/2040

    190       140  

2.770%, 09/01/2053

    263       158  

2.000%, 01/15/2032 (E)

     1,515       1,184  

AstraZeneca

               

1.375%, 08/06/2030

    285       225  

Astrazeneca Finance

               

1.750%, 05/28/2028 (E)

     975       837  

Bausch Health

               

7.250%, 05/30/2029 (D)

     170       82  

6.250%, 02/15/2029 (D)(E)

     500       241  

5.500%, 11/01/2025 (D)

     20       17  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Baxter International

               

3.950%, 04/01/2030

  $ 425     $ 387  

BayCare Health System

               

3.831%, 11/15/2050

    1,595       1,267  

Bayer US Finance

               

3.375%, 10/08/2024 (D)(E)

     800       773  

Bayer US Finance II

               

4.875%, 06/25/2048 (D)(E)

     1,795       1,548  

4.700%, 07/15/2064 (D)(E)

     210       166  

4.625%, 06/25/2038 (D)(E)

     420       365  

4.375%, 12/15/2028 (D)

     4,578       4,297  

4.250%, 12/15/2025 (D)

     520       504  

Becton Dickinson

               

4.685%, 12/15/2044

    264       236  

3.734%, 12/15/2024 (E)

     287       280  

3.700%, 06/06/2027

    121       114  

3.363%, 06/06/2024

    758       741  

Bon Secours Mercy Health

               

3.464%, 06/01/2030 (E)

     855       764  

Bristol-Myers Squibb

               

4.550%, 02/20/2048

    129       116  

4.350%, 11/15/2047

    51       45  

3.400%, 07/26/2029

    124       115  

3.200%, 06/15/2026

    506       482  

2.900%, 07/26/2024 (E)

     785       762  

2.750%, 02/15/2023 (E)

     300       299  

Centene

               

4.625%, 12/15/2029

    390       356  

4.250%, 12/15/2027 (E)

     260       244  

3.375%, 02/15/2030

    230       194  

3.000%, 10/15/2030 (E)

     3,706       3,038  

2.625%, 08/01/2031

    40       31  

2.500%, 03/01/2031

    263       206  

Cigna

               

4.900%, 12/15/2048

    830       748  

4.800%, 08/15/2038

    1,144       1,062  

4.375%, 10/15/2028

    810       781  

4.125%, 11/15/2025

    290       283  

3.750%, 07/15/2023 (E)

     462       459  

3.400%, 03/01/2027

    380       356  

3.400%, 03/15/2050

    250       177  

3.400%, 03/15/2051

    588       418  

CommonSpirit Health

               

4.350%, 11/01/2042 (E)

     480       405  

4.187%, 10/01/2049 (E)

     635       494  

2.782%, 10/01/2030

    1,970       1,625  

CVS Health

               

5.125%, 07/20/2045

    670       611  

5.050%, 03/25/2048 (E)

     5,302       4,759  

4.780%, 03/25/2038

    565       515  

4.300%, 03/25/2028

    1,084       1,049  

4.250%, 04/01/2050 (E)

     30       24  

 

 

 

118

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.125%, 04/01/2040

  $ 160     $ 133  

3.875%, 07/20/2025 (E)

     515       503  

3.750%, 04/01/2030

    540       490  

3.625%, 04/01/2027 (E)

     360       342  

3.000%, 08/15/2026 (E)

     304       284  

2.700%, 08/21/2040

    500       345  

2.125%, 09/15/2031 (E)

     370       293  

1.875%, 02/28/2031

    110       86  

CVS Pass-Through Trust

               

5.926%, 01/10/2034 (D)

     65       64  

Danaher

               

2.800%, 12/10/2051 (E)

     224       148  

2.600%, 10/01/2050

    335       214  

DH Europe Finance II Sarl

               

2.200%, 11/15/2024 (E)

     772       736  

Elevance Health

               

4.625%, 05/15/2042

    41       37  

4.550%, 05/15/2052

    250       217  

4.100%, 05/15/2032

    270       251  

3.650%, 12/01/2027

    220       207  

3.500%, 08/15/2024

    90       88  

3.350%, 12/01/2024 (E)

     1,425       1,381  

Fresenius Medical Care US Finance III

               

1.875%, 12/01/2026 (D)

     1,345       1,141  

Gilead Sciences

               

5.650%, 12/01/2041

    35       36  

4.750%, 03/01/2046

    380       342  

4.500%, 02/01/2045

    10       9  

4.000%, 09/01/2036

    251       221  

3.700%, 04/01/2024 (E)

     410       403  

3.650%, 03/01/2026

    460       443  

2.800%, 10/01/2050

    456       292  

2.600%, 10/01/2040

    488       341  

HCA

               

5.875%, 02/01/2029

    410       409  

5.625%, 09/01/2028

    60       60  

5.500%, 06/15/2047

    1,555       1,381  

5.375%, 02/01/2025

    160       160  

5.375%, 09/01/2026 (E)

     155       153  

5.250%, 04/15/2025

    820       815  

5.250%, 06/15/2026

    650       642  

5.250%, 06/15/2049

    2,150       1,831  

4.625%, 03/15/2052 (D)(E)

     2,110       1,642  

4.500%, 02/15/2027

    20       19  

4.125%, 06/15/2029

    1,500       1,369  

3.625%, 03/15/2032 (D)(E)

     840       711  

3.500%, 09/01/2030

    790       681  

2.375%, 07/15/2031

    945       736  

Humana

               

4.950%, 10/01/2044

    60       54  

4.800%, 03/15/2047

    30       26  

4.625%, 12/01/2042

    170       148  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.500%, 04/01/2025 (E)

   $ 80     $ 79  

3.950%, 03/15/2027

    70       67  

3.700%, 03/23/2029

    3,205       2,934  

2.150%, 02/03/2032 (E)

     130       101  

Johnson & Johnson

               

3.700%, 03/01/2046 (E)

     170       143  

3.625%, 03/03/2037

    260       231  

3.500%, 01/15/2048 (E)

     92       75  

3.400%, 01/15/2038

    173       147  

2.625%, 01/15/2025 (E)

     86       83  

2.450%, 09/01/2060 (E)

     655       400  

0.950%, 09/01/2027 (E)

     610       525  

0.550%, 09/01/2025

    300       271  

Medtronic

               

4.625%, 03/15/2045 (E)

     9       8  

Merck

               

1.450%, 06/24/2030

    300       239  

0.750%, 02/24/2026

    530       469  

New York and Presbyterian Hospital

               

3.563%, 08/01/2036

    730       606  

Pfizer

               

4.000%, 12/15/2036

    815       743  

2.625%, 04/01/2030

    440       387  

2.550%, 05/28/2040

    979       708  

1.750%, 08/18/2031

    569       457  

1.700%, 05/28/2030 (E)

     420       346  

0.800%, 05/28/2025

    670       614  

Roche Holdings

               

2.607%, 12/13/2051 (D)(E)

     425       275  

2.076%, 12/13/2031 (D)

     1,051       855  

Royalty Pharma

               

1.200%, 09/02/2025

    535       479  

0.750%, 09/02/2023 (E)

     925       896  

RWJ Barnabas Health

               

3.949%, 07/01/2046

    1,030       841  

Shire Acquisitions Investments Ireland DAC

               

2.875%, 09/23/2023

    923       907  

Smith & Nephew

               

2.032%, 10/14/2030 (E)

     670       524  

Takeda Pharmaceutical

               

5.000%, 11/26/2028 (E)

     460       456  

4.400%, 11/26/2023

    1,127       1,118  

3.175%, 07/09/2050

    376       254  

3.025%, 07/09/2040

    362       266  

2.050%, 03/31/2030 (E)

     781       638  

Tenet Healthcare

               

4.375%, 01/15/2030 (D)

     20       17  

Teva Pharmaceutical Finance Netherlands III BV

               

7.125%, 01/31/2025

    390       388  

6.000%, 04/15/2024

    200       196  

5.125%, 05/09/2029 (E)

     1,780       1,585  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

119

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.750%, 05/09/2027

  $ 200     $ 181  

3.150%, 10/01/2026 (E)

     1,580       1,382  

2.800%, 07/21/2023 (E)

     450       440  

Thermo Fisher Scientific

               

2.800%, 10/15/2041

    452       333  

1.750%, 10/15/2028

    284       241  

UnitedHealth Group

               

5.875%, 02/15/2053

    2,830       3,056  

5.800%, 03/15/2036

    280       295  

5.350%, 02/15/2033

    786       811  

5.300%, 02/15/2030 (E)

     786       810  

5.250%, 02/15/2028

    472       483  

4.625%, 07/15/2035 (E)

     966       937  

4.450%, 12/15/2048

    90       80  

4.250%, 04/15/2047

    450       387  

4.250%, 06/15/2048

    110       95  

4.200%, 05/15/2032

    290       275  

4.000%, 05/15/2029

    853       815  

3.875%, 12/15/2028

    170       162  

3.875%, 08/15/2059 (E)

     360       282  

3.750%, 07/15/2025 (E)

     270       264  

3.700%, 08/15/2049

    150       119  

3.500%, 06/15/2023

    150       149  

3.250%, 05/15/2051

    623       446  

3.125%, 05/15/2060 (E)

     50       34  

3.050%, 05/15/2041 (E)

     149       112  

2.875%, 03/15/2023 (E)

     50       50  

2.750%, 05/15/2040

    215       156  

2.300%, 05/15/2031 (E)

     80       67  

2.000%, 05/15/2030

    140       116  

1.250%, 01/15/2026 (E)

     170       154  

Universal Health Services

               

1.650%, 09/01/2026 (D)

     685       587  

Viatris

               

4.000%, 06/22/2050

    505       311  

2.700%, 06/22/2030 (E)

     140       109  

Wyeth

               

5.950%, 04/01/2037

    470       505  
                 
              106,311  
                 

Industrials — 2.3%

        

3M

               

3.700%, 04/15/2050 (E)

     660       505  

3.050%, 04/15/2030

    90       79  

2.375%, 08/26/2029 (E)

     390       331  

Adani International Container Terminal Pvt

               

3.000%, 02/16/2031 (D)

     262       205  

ADT Security

               

4.125%, 08/01/2029 (D)

     20       17  

AerCap Ireland Capital DAC

               

4.875%, 01/16/2024 (E)

     1,500       1,486  

3.875%, 01/23/2028 (E)

     345       310  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.500%, 01/15/2025 (E)

   $ 232     $ 221  

3.300%, 01/30/2032

    4,118       3,219  

3.150%, 02/15/2024

    560       541  

3.000%, 10/29/2028 (E)

     2,375       1,990  

2.450%, 10/29/2026

    3,530       3,087  

1.650%, 10/29/2024 (E)

     1,395       1,287  

1.150%, 10/29/2023 (E)

     1,765       1,698  

Air Lease

               

5.850%, 12/15/2027 (E)

     820       819  

3.625%, 04/01/2027

    221       201  

3.625%, 12/01/2027

    216       195  

3.375%, 07/01/2025

    310       293  

3.250%, 03/01/2025

    1,645       1,561  

Air Lease MTN

               

2.300%, 02/01/2025

    355       331  

Allied Universal Holdco

               

6.625%, 07/15/2026 (D)

     20       18  

Boeing

               

5.930%, 05/01/2060 (E)

     961       875  

5.805%, 05/01/2050

    1,390       1,289  

5.705%, 05/01/2040

    690       658  

5.150%, 05/01/2030

    940       917  

4.875%, 05/01/2025 (E)

     2,075       2,059  

3.750%, 02/01/2050 (E)

     966       663  

3.625%, 03/01/2048 (E)

     23       15  

3.550%, 03/01/2038

    196       144  

3.250%, 02/01/2035

    1,555       1,183  

3.200%, 03/01/2029

    490       430  

3.100%, 05/01/2026

    160       151  

2.800%, 03/01/2027 (E)

     190       171  

2.700%, 02/01/2027

    140       126  

2.196%, 02/04/2026

    2,002       1,819  

1.433%, 02/04/2024

    2,065       1,979  

Builders FirstSource

               

4.250%, 02/01/2032 (D)(E)

     80       65  

Burlington Northern Santa Fe

               

7.290%, 06/01/2036

    90       104  

5.400%, 06/01/2041

    50       50  

4.150%, 12/15/2048

    150       127  

4.050%, 06/15/2048

    124       103  

2.875%, 06/15/2052

    120       80  

Canadian National Railway

               

4.400%, 08/05/2052

    295       262  

3.850%, 08/05/2032

    443       412  

Canadian Pacific Railway

               

6.125%, 09/15/2115

    44       44  

3.000%, 12/02/2041

    189       142  

2.450%, 12/02/2031

    114       94  

1.750%, 12/02/2026

    135       120  

1.350%, 12/02/2024 (E)

     699       652  

Carrier Global

               

3.577%, 04/05/2050

    30       21  

 

 

 

120

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Cintas No. 2

               

4.000%, 05/01/2032

  $ 1,190     $ 1,117  

3.700%, 04/01/2027

    400       386  

CoStar Group

               

2.800%, 07/15/2030 (D)

     830       678  

Crowley Conro

               

4.181%, 08/15/2043

    415       387  

CSX

               

4.100%, 11/15/2032 (E)

     738       692  

Deere

               

3.750%, 04/15/2050 (E)

     530       447  

3.100%, 04/15/2030

    100       90  

Delta Air Lines

               

7.375%, 01/15/2026 (E)

     580       593  

7.000%, 05/01/2025 (D)

     2,410       2,463  

4.750%, 10/20/2028 (D)

     2,100       1,974  

4.500%, 10/20/2025 (D)(E)

     490       478  

4.375%, 04/19/2028 (E)

     153       136  

3.800%, 04/19/2023

    381       376  

2.900%, 10/28/2024 (E)

     60       57  

Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA

               

2.000%, 06/10/2028 (E)

     3,522       2,999  

DP World MTN

               

5.625%, 09/25/2048 (D)

     990       927  

Eaton

               

7.625%, 04/01/2024

    75       77  

4.150%, 11/02/2042

    140       120  

Emerson Electric

               

2.800%, 12/21/2051

    280       180  

Equifax

               

3.950%, 06/15/2023 (E)

     1,612       1,603  

2.600%, 12/15/2025

    255       237  

General Dynamics

               

4.250%, 04/01/2040

    880       803  

4.250%, 04/01/2050 (E)

     200       177  

3.500%, 05/15/2025

    60       58  

3.250%, 04/01/2025

    160       155  

General Electric MTN

               

6.750%, 03/15/2032

    601       666  

5.086%, ICE LIBOR USD 3 Month + 0.480%, 08/15/2036 (A)

     2,400       1,934  

GFL Environmental

               

4.250%, 06/01/2025 (D)

     250       239  

H&E Equipment Services

               

3.875%, 12/15/2028 (D)

     70       60  

Hawaiian Brand Intellectual Property

               

5.750%, 01/20/2026 (D)(E)

     50       45  

Honeywell International

               

5.000%, 02/15/2033

    946       964  

1.350%, 06/01/2025

    310       287  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

John Deere Capital MTN

               

4.850%, 10/11/2029

  $ 517     $ 518  

4.150%, 09/15/2027

    1,481       1,452  

3.350%, 04/18/2029

    1,255       1,160  

2.350%, 03/08/2027

    704       641  

L3Harris Technologies

               

5.054%, 04/27/2045

    180       161  

4.854%, 04/27/2035

    80       75  

Lockheed Martin

               

5.900%, 11/15/2063 (E)

     314       337  

5.700%, 11/15/2054

    628       658  

5.100%, 11/15/2027 (E)

     785       802  

4.500%, 05/15/2036 (E)

     90       86  

4.150%, 06/15/2053

    1,220       1,035  

4.070%, 12/15/2042

    91       79  

3.900%, 06/15/2032 (E)

     230       217  

3.550%, 01/15/2026

    1,188       1,154  

Mileage Plus Holdings

               

6.500%, 06/20/2027 (D)

     485       482  

Northrop Grumman

               

5.250%, 05/01/2050

    350       345  

4.400%, 05/01/2030 (E)

     1,005       964  

4.030%, 10/15/2047

    192       159  

3.250%, 08/01/2023 (E)

     716       711  

3.250%, 01/15/2028

    1,074       990  

2.930%, 01/15/2025

    810       777  

Otis Worldwide

               

3.112%, 02/15/2040

    335       244  

2.056%, 04/05/2025

    220       206  

Parker-Hannifin

               

4.500%, 09/15/2029

    571       547  

4.250%, 09/15/2027 (E)

     1,616       1,568  

2.700%, 06/14/2024

    400       385  

Prime Security Services Borrower

               

5.750%, 04/15/2026 (D)

     320       308  

Protective Life Global Funding

               

1.618%, 04/15/2026 (D)

     2,170       1,948  

Quanta Services

               

0.950%, 10/01/2024

    561       517  

Raytheon Technologies

               

4.625%, 11/16/2048

    51       46  

4.500%, 06/01/2042

    170       153  

4.450%, 11/16/2038

    63       57  

4.150%, 05/15/2045

    59       49  

4.125%, 11/16/2028

    280       268  

3.950%, 08/16/2025

    510       498  

3.150%, 12/15/2024

    200       193  

2.250%, 07/01/2030

    420       349  

Republic Services

               

3.950%, 05/15/2028 (E)

     335       318  

2.500%, 08/15/2024 (E)

     385       369  

1.450%, 02/15/2031

    1,650       1,272  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

121

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Siemens Financieringsmaatschappij

               

1.200%, 03/11/2026 (D)

   $ 1,120     $ 998  

Spirit Loyalty Cayman

               

8.000%, 09/20/2025 (D)

     375       376  

Triton Container International

               

2.050%, 04/15/2026 (D)

     755       656  

Union Pacific

               

4.950%, 09/09/2052

    700       671  

3.839%, 03/20/2060

    1,030       796  

3.750%, 07/15/2025

    340       330  

3.750%, 02/05/2070

    230       168  

3.375%, 02/14/2042 (E)

     338       269  

3.250%, 02/05/2050

    480       346  

2.891%, 04/06/2036

    1,595       1,268  

2.800%, 02/14/2032 (E)

     406       350  

2.375%, 05/20/2031 (E)

     299       252  

United Airlines

               

4.625%, 04/15/2029 (D)

     510       444  

4.375%, 04/15/2026 (D)

     300       278  

United Parcel Service

               

5.200%, 04/01/2040

    240       240  

United Rentals North America

               

4.875%, 01/15/2028 (E)

     150       142  

3.875%, 11/15/2027 (E)

     100       93  

3.875%, 02/15/2031

    920       771  

3.750%, 01/15/2032

    300       245  

US Airways Pass-Through Trust, Ser 2012-2, Cl A

               

4.625%, 06/03/2025

    451       411  

Vertiv Group

               

4.125%, 11/15/2028 (D)(E)

     140       119  

XPO Logistics

               

6.250%, 05/01/2025 (D)

     32       32  
                 
              85,907  
                 

Information Technology — 2.0%

        

Advanced Micro Devices

               

3.924%, 06/01/2032 (E)

     907       843  

Apple

               

4.375%, 05/13/2045

    360       333  

4.250%, 02/09/2047 (E)

     162       149  

4.100%, 08/08/2062 (E)

     1,228       1,021  

3.950%, 08/08/2052

    592       503  

3.850%, 05/04/2043

    220       190  

3.250%, 08/08/2029

    1,182       1,093  

3.200%, 05/13/2025

    64       62  

3.200%, 05/11/2027

    232       220  

2.800%, 02/08/2061

    200       127  

2.650%, 05/11/2050

    433       286  

2.650%, 02/08/2051

    192       127  

2.450%, 08/04/2026

    1,410       1,308  

2.400%, 08/20/2050

    36       22  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.375%, 02/08/2041

  $ 229     $ 162  

1.400%, 08/05/2028 (E)

     580       491  

1.125%, 05/11/2025

    1,110       1,022  

Broadcom

               

4.926%, 05/15/2037 (D)

     947       826  

4.150%, 11/15/2030

    702       629  

4.150%, 04/15/2032 (D)

     423       371  

3.469%, 04/15/2034 (D)

     628       501  

3.419%, 04/15/2033 (D)

     1,868       1,498  

3.187%, 11/15/2036 (D)

     10       7  

3.150%, 11/15/2025 (E)

     368       349  

3.137%, 11/15/2035 (D)

     1,960       1,441  

2.600%, 02/15/2033 (D)

     1,312       985  

2.450%, 02/15/2031 (D)

     492       387  

CommScope

               

6.000%, 03/01/2026 (D)

     200       185  

4.750%, 09/01/2029 (D)

     140       113  

Corning

               

5.450%, 11/15/2079

    570       492  

Dell International

               

6.100%, 07/15/2027 (E)

     286       294  

6.020%, 06/15/2026

    39       40  

3.450%, 12/15/2051 (D)(E)

     179       110  

3.375%, 12/15/2041 (D)

     698       467  

Global Payments

               

4.450%, 06/01/2028

    1,845       1,717  

Intel

               

5.050%, 08/05/2062 (E)

     295       259  

4.900%, 08/05/2052 (E)

     680       602  

4.750%, 03/25/2050 (E)

     170       148  

3.700%, 07/29/2025 (E)

     223       217  

3.250%, 11/15/2049 (E)

     380       259  

3.050%, 08/12/2051

    270       175  

2.800%, 08/12/2041 (E)

     735       513  

1.600%, 08/12/2028 (E)

     540       459  

International Business Machines

               

3.000%, 05/15/2024

    1,510       1,469  

KLA

               

4.950%, 07/15/2052 (E)

     262       243  

3.300%, 03/01/2050 (E)

     257       186  

Kyndryl Holdings

               

2.050%, 10/15/2026

    1,350       1,101  

Lenovo Group

               

6.536%, 07/27/2032 (D)

     585       566  

Marvell Technology

               

1.650%, 04/15/2026 (E)

     1,030       910  

Mastercard

               

3.850%, 03/26/2050

    80       67  

3.375%, 04/01/2024 (E)

     80       79  

Microsoft

               

4.100%, 02/06/2037 (E)

     251       237  

3.625%, 12/15/2023 (E)

     89       88  

 

 

 

122

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.500%, 02/12/2035

  $ 156     $ 141  

3.450%, 08/08/2036

    565       500  

3.300%, 02/06/2027 (E)

     1,550       1,494  

3.041%, 03/17/2062

    199       137  

2.921%, 03/17/2052

    365       258  

2.875%, 02/06/2024 (E)

     1,010       992  

2.700%, 02/12/2025

    250       240  

2.525%, 06/01/2050

    546       359  

2.400%, 08/08/2026

    1,410       1,315  

2.375%, 05/01/2023 (E)

     20       20  

NVIDIA

               

3.700%, 04/01/2060

    310       229  

3.500%, 04/01/2040 (E)

     430       348  

3.500%, 04/01/2050 (E)

     1,200       906  

2.850%, 04/01/2030

    1,000       872  

NXP BV

               

4.400%, 06/01/2027

    340       326  

3.400%, 05/01/2030

    391       338  

3.250%, 05/11/2041

    308       215  

2.700%, 05/01/2025

    280       264  

2.650%, 02/15/2032

    581       455  

Open Text Holdings

               

4.125%, 02/15/2030 (D)

     20       16  

4.125%, 12/01/2031 (D)(E)

     30       23  

Oracle

               

6.900%, 11/09/2052

    1,734       1,855  

4.375%, 05/15/2055 (E)

     190       144  

4.000%, 07/15/2046

    546       398  

3.950%, 03/25/2051 (E)

     2,930       2,087  

3.900%, 05/15/2035

    1,720       1,438  

3.800%, 11/15/2037

    2,255       1,785  

3.650%, 03/25/2041

    800       591  

3.600%, 04/01/2040

    915       671  

3.600%, 04/01/2050

    1,150       774  

2.950%, 11/15/2024 (E)

     315       303  

2.950%, 04/01/2030

    860       733  

2.875%, 03/25/2031

    1,320       1,094  

1.650%, 03/25/2026

    1,030       922  

PayPal Holdings

               

2.300%, 06/01/2030

    2,845       2,337  

1.650%, 06/01/2025

    400       371  

Prosus

               

3.832%, 02/08/2051 (D)

     320       193  

Prosus MTN

               

4.027%, 08/03/2050 (D)

     730       455  

3.061%, 07/13/2031 (D)

     2,100       1,619  

QUALCOMM

               

6.000%, 05/20/2053

    708       752  

4.500%, 05/20/2052 (E)

     463       405  

Roper Technologies

               

1.000%, 09/15/2025

    420       376  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Salesforce

               

3.700%, 04/11/2028

  $ 670     $ 643  

3.250%, 04/11/2023

    480       478  

Sprint

               

7.875%, 09/15/2023

    110       112  

Sprint Capital

               

8.750%, 03/15/2032

    590       702  

Tencent Holdings MTN

               

3.975%, 04/11/2029 (D)

     600       553  

3.840%, 04/22/2051 (D)

     1,225       868  

3.680%, 04/22/2041 (D)

     680       500  

Texas Instruments

               

4.150%, 05/15/2048 (E)

     300       265  

1.750%, 05/04/2030

    290       238  

TSMC Arizona

               

1.750%, 10/25/2026 (E)

     1,300       1,160  

TSMC Global

               

1.375%, 09/28/2030 (D)

     1,365       1,047  

Visa

               

4.300%, 12/14/2045

    690       630  

3.650%, 09/15/2047

    235       192  

3.150%, 12/14/2025 (E)

     1,410       1,359  

VMware

               

4.700%, 05/15/2030

    565       526  

1.400%, 08/15/2026

    912       795  

1.000%, 08/15/2024

    977       909  

0.600%, 08/15/2023 (E)

     1,376       1,340  

Vontier

               

2.950%, 04/01/2031

    425       307  

1.800%, 04/01/2026

    495       418  

Workday

               

3.800%, 04/01/2032

    1,370       1,209  

3.700%, 04/01/2029

    300       275  

3.500%, 04/01/2027

    180       168  

Xilinx

               

2.375%, 06/01/2030

    241       203  
                 
              69,597  
                 

Materials — 0.9%

        

Amcor Finance USA

               

3.625%, 04/28/2026

    2,425       2,294  

Anglo American Capital

               

4.750%, 04/10/2027 (D)

     720       696  

4.750%, 03/16/2052 (D)(E)

     746       619  

4.000%, 09/11/2027 (D)

     200       188  

3.875%, 03/16/2029 (D)

     679       610  

3.625%, 09/11/2024 (D)

     710       687  

ArcelorMittal

               

7.000%, 10/15/2039 (E)

     120       122  

Ball

               

3.125%, 09/15/2031

    370       297  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

123

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Barrick North America Finance

               

5.750%, 05/01/2043

  $ 290     $ 293  

5.700%, 05/30/2041

    509       511  

Berry Global

               

1.650%, 01/15/2027

    2,985       2,553  

BHP Billiton Finance USA

               

5.000%, 09/30/2043 (E)

     410       397  

4.125%, 02/24/2042

    40       35  

Celanese US Holdings

               

6.379%, 07/15/2032 (E)

     880       837  

6.330%, 07/15/2029 (E)

     990       962  

6.050%, 03/15/2025 (E)

     2,425       2,416  

Dow Chemical

               

7.375%, 11/01/2029

    712       791  

6.900%, 05/15/2053 (E)

     295       320  

5.250%, 11/15/2041 (E)

     25       23  

4.800%, 05/15/2049

    360       304  

DuPont de Nemours

               

4.493%, 11/15/2025

    830       816  

Equate Petrochemical BV MTN

               

4.250%, 11/03/2026 (D)

     480       459  

First Quantum Minerals

               

6.875%, 10/15/2027 (D)(E)

     220       206  

Freeport-McMoRan

               

5.450%, 03/15/2043

    785       708  

5.250%, 09/01/2029 (E)

     876       845  

4.625%, 08/01/2030

    180       168  

4.550%, 11/14/2024 (E)

     40       39  

3.875%, 03/15/2023

    20       20  

Glencore Finance Canada

               

6.900%, 11/15/2037 (D)

     324       341  

6.000%, 11/15/2041 (D)

     36       34  

Glencore Funding

               

4.875%, 03/12/2029 (D)(E)

     250       240  

4.125%, 05/30/2023 (D)

     200       199  

4.125%, 03/12/2024 (D)

     1,340       1,319  

4.000%, 03/27/2027 (D)

     1,200       1,133  

3.875%, 10/27/2027 (D)(E)

     220       205  

Hudbay Minerals

               

6.125%, 04/01/2029 (D)

     20       18  

Industrias Penoles

               

4.150%, 09/12/2029 (D)

     1,005       928  

International Flavors & Fragrances

               

5.000%, 09/26/2048 (E)

     1,505       1,278  

1.230%, 10/01/2025 (D)(E)

     1,835       1,621  

OCP

               

5.125%, 06/23/2051 (D)(E)

     360       272  

4.500%, 10/22/2025 (D)

     400       389  

3.750%, 06/23/2031 (D)(E)

     410       343  

Orbia Advance

               

2.875%, 05/11/2031 (D)

     780       609  

1.875%, 05/11/2026 (D)

     820       708  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Rohm and Haas

               

7.850%, 07/15/2029

  $ 389     $ 435  

Sealed Air

               

1.573%, 10/15/2026 (D)(E)

     425       367  

Southern Copper

               

5.250%, 11/08/2042 (E)

     2,220       2,118  

Suzano Austria GmbH

               

3.750%, 01/15/2031

    1,400       1,175  

3.125%, 01/15/2032

    70       55  

Teck Resources

               

6.250%, 07/15/2041

    5       5  

6.000%, 08/15/2040

    30       29  

Vale Overseas

               

6.875%, 11/21/2036

    874       922  

6.250%, 08/10/2026

    32       33  
                 
              32,992  
                 

Real Estate — 1.0%

        

Agree

               

2.600%, 06/15/2033

    135       102  

2.000%, 06/15/2028

    588       481  

American Assets Trust

               

3.375%, 02/01/2031 (E)

     1,370       1,087  

American Homes 4 Rent

               

4.300%, 04/15/2052

    243       178  

3.625%, 04/15/2032

    3,117       2,622  

American Tower

               

3.650%, 03/15/2027

    416       389  

2.700%, 04/15/2031

    224       182  

1.875%, 10/15/2030

    1,430       1,103  

AvalonBay Communities MTN

               

2.450%, 01/15/2031

    1,155       955  

Boston Properties

               

3.400%, 06/21/2029

    720       620  

Brandywine Operating Partnership

               

3.950%, 11/15/2027

    17       14  

Brixmor Operating Partnership

               

2.500%, 08/16/2031

    328       251  

Camden Property Trust

               

2.800%, 05/15/2030 (E)

     265       228  

Crown Castle

               

4.000%, 03/01/2027

    142       135  

3.300%, 07/01/2030

    486       425  

2.900%, 03/15/2027

    922       839  

2.900%, 04/01/2041

    517       354  

2.100%, 04/01/2031

    123       97  

1.050%, 07/15/2026

    844       729  

CubeSmart

               

2.250%, 12/15/2028

    844       696  

Equinix

               

3.900%, 04/15/2032

    1,715       1,524  

 

 

 

124

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Essential Properties

               

2.950%, 07/15/2031

  $ 1,290     $ 938  

Essex Portfolio

               

2.550%, 06/15/2031

    279       220  

1.700%, 03/01/2028 (E)

     709       590  

Extra Space Storage

               

3.900%, 04/01/2029

    226       202  

2.550%, 06/01/2031

    735       575  

2.350%, 03/15/2032

    292       221  

GLP Capital

               

5.375%, 04/15/2026 (E)

     2,710       2,659  

5.300%, 01/15/2029

    1,468       1,389  

5.250%, 06/01/2025

    775       762  

4.000%, 01/15/2030

    241       211  

3.350%, 09/01/2024

    5       5  

Healthcare Realty Holdings

               

3.100%, 02/15/2030

    1,645       1,373  

2.050%, 03/15/2031

    98       72  

Hudson Pacific Properties

               

4.650%, 04/01/2029 (E)

     580       495  

3.950%, 11/01/2027

    1,246       1,060  

Invitation Homes Operating Partnership

               

4.150%, 04/15/2032

    1,575       1,378  

Mid-America Apartments

               

4.300%, 10/15/2023

    278       276  

4.000%, 11/15/2025

    332       323  

3.950%, 03/15/2029

    272       255  

MPT Operating Partnership

               

5.000%, 10/15/2027 (E)

     90       76  

4.625%, 08/01/2029 (E)

     60       46  

3.500%, 03/15/2031 (E)

     400       274  

Realty Income

               

5.625%, 10/13/2032

    860       873  

3.650%, 01/15/2028

    304       284  

2.850%, 12/15/2032

    392       318  

2.200%, 06/15/2028

    290       248  

Regency Centers

               

2.950%, 09/15/2029

    742       623  

Rexford Industrial Realty

               

2.150%, 09/01/2031

    147       113  

Sabra Health Care

               

3.900%, 10/15/2029 (E)

     715       598  

Simon Property Group

               

2.450%, 09/13/2029

    1,020       852  

STORE Capital

               

4.625%, 03/15/2029

    345       309  

4.500%, 03/15/2028

    724       653  

2.750%, 11/18/2030

    479       368  

2.700%, 12/01/2031

    188       138  

Sun Communities Operating

               

4.200%, 04/15/2032 (E)

     542       477  

2.300%, 11/01/2028

    271       226  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

VICI Properties

               

5.750%, 02/01/2027 (D)

   $ 445     $ 434  

5.625%, 05/15/2052

    627       555  

5.125%, 05/15/2032

    1,285       1,190  

4.625%, 06/15/2025 (D)

     100       96  

4.500%, 09/01/2026 (D)

     375       353  

4.500%, 01/15/2028 (D)

     200       183  

3.875%, 02/15/2029 (D)

     705       618  

3.750%, 02/15/2027 (D)

     75       68  

Welltower

               

4.500%, 01/15/2024 (E)

     102       101  
                 
              36,089  
                 

Utilities — 1.8%

        

AEP Texas

               

6.650%, 02/15/2033

    500       518  

AES

               

1.375%, 01/15/2026 (E)

     318       282  

Alabama Power

               

3.700%, 12/01/2047

    965       735  

American Transmission Systems

               

2.650%, 01/15/2032 (D)

     1,415       1,161  

Baltimore Gas and Electric

               

2.250%, 06/15/2031

    420       340  

Berkshire Hathaway Energy

               

2.850%, 05/15/2051

    1,060       694  

Boston Gas

               

4.487%, 02/15/2042 (D)

     35       29  

CenterPoint Energy Houston Electric

               

3.600%, 03/01/2052

    310       238  

Cleco Power

               

6.000%, 12/01/2040

    700       660  

Comision Federal de Electricidad

               

3.875%, 07/26/2033 (D)(E)

     270       204  

Consolidated Edison of New York

               

4.650%, 12/01/2048

    1,500       1,306  

4.450%, 03/15/2044

    1,120       961  

3.950%, 04/01/2050

    130       102  

3.350%, 04/01/2030 (E)

     180       162  

Consumers Energy

               

2.650%, 08/15/2052

    188       118  

2.500%, 05/01/2060

    240       134  

Dominion Energy

               

5.375%, 11/15/2032

    925       917  

3.071%, 08/15/2024 (C)

     980       944  

DTE Electric

               

3.650%, 03/01/2052 (E)

     224       173  

2.950%, 03/01/2050

    490       332  

DTE Energy

               

2.529%, 10/01/2024 (C)

     830       793  

1.050%, 06/01/2025

    1,746       1,581  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

125

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Duke Energy

               

4.300%, 03/15/2028

  $ 738     $ 710  

3.750%, 09/01/2046 (E)

     87       65  

3.500%, 06/15/2051 (E)

     87       60  

3.150%, 08/15/2027

    280       258  

2.550%, 06/15/2031 (E)

     307       250  

0.900%, 09/15/2025

    705       630  

Duke Energy Carolinas

               

4.250%, 12/15/2041

    628       542  

4.000%, 09/30/2042

    1,000       827  

3.550%, 03/15/2052

    379       283  

2.850%, 03/15/2032

    521       441  

2.550%, 04/15/2031

    285       238  

Duke Energy Florida

               

3.200%, 01/15/2027 (E)

     1,080       1,020  

2.400%, 12/15/2031

    418       341  

Duke Energy Indiana

               

4.200%, 03/15/2042

    30       24  

2.750%, 04/01/2050

    280       176  

Duke Energy Progress

               

4.100%, 05/15/2042 (E)

     425       357  

2.500%, 08/15/2050

    423       254  

EDP Finance BV

               

6.300%, 10/11/2027 (D)(E)

     346       355  

Enel Finance International

               

6.800%, 10/14/2025 (D)(E)

     480       493  

Entergy Arkansas

               

2.650%, 06/15/2051

    378       228  

Essential Utilities

               

4.276%, 05/01/2049

    1,450       1,168  

Evergy Metro

               

5.300%, 10/01/2041

    100       95  

Eversource Energy

               

3.375%, 03/01/2032 (E)

     105       91  

2.900%, 10/01/2024

    1,610       1,552  

1.650%, 08/15/2030

    477       371  

1.400%, 08/15/2026

    238       209  

Exelon

               

5.625%, 06/15/2035 (E)

     760       770  

FirstEnergy

               

4.400%, 07/15/2027

    940       874  

1.600%, 01/15/2026

    180       159  

FirstEnergy Transmission

               

5.450%, 07/15/2044 (D)

     35       33  

Florida Power & Light

               

3.950%, 03/01/2048

    370       305  

Indiana Michigan Power

               

4.550%, 03/15/2046

    325       272  

ITC Holdings

               

4.050%, 07/01/2023

    1,152       1,142  

Jersey Central Power & Light

               

4.700%, 04/01/2024 (D)(E)

     700       690  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.750%, 03/01/2032 (D)

   $ 1,536     $ 1,240  

KeySpan Gas East

               

3.586%, 01/18/2052 (D)

     2,295       1,520  

2.742%, 08/15/2026 (D)

     1,025       916  

Metropolitan Edison

               

4.300%, 01/15/2029 (D)

     493       463  

3.500%, 03/15/2023 (D)

     2,775       2,766  

MidAmerican Energy

               

4.800%, 09/15/2043

    830       773  

2.700%, 08/01/2052

    364       233  

Mid-Atlantic Interstate Transmission

               

4.100%, 05/15/2028 (D)

     162       152  

Mississippi Power

               

4.250%, 03/15/2042

    193       157  

3.950%, 03/30/2028

    503       472  

3.100%, 07/30/2051

    503       320  

National Rural Utilities Cooperative Finance MTN

               

1.875%, 02/07/2025

    275       258  

NextEra Energy Capital Holdings

               

4.625%, 07/15/2027

    550       541  

0.650%, 03/01/2023 (E)

     2,435       2,418  

NiSource

               

5.800%, 02/01/2042

    149       139  

Northern States Power

               

3.200%, 04/01/2052

    284       202  

NSTAR Electric

               

4.950%, 09/15/2052

    148       143  

4.550%, 06/01/2052

    341       307  

3.100%, 06/01/2051

    259       178  

Oncor Electric Delivery

               

2.750%, 05/15/2030

    1,065       927  

Pacific Gas and Electric

               

5.250%, 03/01/2052

    125       102  

4.950%, 07/01/2050

    877       680  

4.750%, 02/15/2044

    141       108  

4.500%, 07/01/2040

    144       113  

4.200%, 06/01/2041

    244       181  

3.950%, 12/01/2047 (E)

     633       429  

3.500%, 08/01/2050

    130       81  

3.300%, 08/01/2040 (E)

     60       41  

2.500%, 02/01/2031

    1,595       1,238  

2.100%, 08/01/2027 (E)

     1,519       1,297  

1.700%, 11/15/2023 (E)

     1,560       1,510  

PacifiCorp

               

5.350%, 12/01/2053

    462       457  

2.900%, 06/15/2052 (E)

     1,330       868  

PECO Energy

               

4.600%, 05/15/2052

    1,000       899  

4.150%, 10/01/2044

    900       765  

2.850%, 09/15/2051

    506       333  

 

 

 

126

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Pennsylvania Electric

               

3.250%, 03/15/2028 (D)

   $ 409     $ 367  

Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN

               

6.150%, 05/21/2048 (D)

     500       475  

Piedmont Natural Gas

               

5.050%, 05/15/2052

    1,100       993  

Public Service Electric and Gas MTN

               

3.700%, 05/01/2028

    1,300       1,232  

2.700%, 05/01/2050

    229       148  

2.050%, 08/01/2050

    116       65  

1.900%, 08/15/2031 (E)

     563       448  

Public Service Enterprise Group

               

2.450%, 11/15/2031

    363       290  

1.600%, 08/15/2030

    323       250  

Public Service of Oklahoma

               

3.150%, 08/15/2051

    284       188  

Southern California Edison

               

4.125%, 03/01/2048

    742       592  

4.050%, 03/15/2042

    5       4  

3.700%, 08/01/2025

    99       96  

Southern California Gas

               

2.550%, 02/01/2030

    900       766  

Southern Gas Capital

               

5.875%, 03/15/2041 (E)

     700       695  

4.400%, 05/30/2047

    500       396  

Southwestern Electric Power

               

1.650%, 03/15/2026

    1,575       1,408  

Southwestern Public Service

               

3.750%, 06/15/2049

    845       647  

Texas Electric Market Stabilization Funding N

               

4.265%, 08/01/2034 (D)(E)

     2,750       2,610  

Trans-Allegheny Interstate Line

               

3.850%, 06/01/2025 (D)(E)

     198       191  

Virginia Electric & Power

               

4.650%, 08/15/2043

    585       514  

Virginia Electric and Power

               

4.625%, 05/15/2052 (E)

     315       275  

2.950%, 11/15/2051

    420       276  

Vistra Operations

               

4.300%, 07/15/2029 (D)(E)

     1,590       1,432  

WEC Energy Group

               

0.800%, 03/15/2024

    595       564  

Wisconsin Electric Power

               

4.750%, 09/30/2032

    421       413  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.700%, 06/15/2028 (E)

   $ 255     $ 217  
                 
              66,446  
                 

Total Corporate Obligations

                

(Cost $1,262,186) ($ Thousands)

             1,121,091  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 24.2%

U.S. Treasury Bills

               

4.657%, 06/01/2023 (H)

     2,660       2,610  

4.558%, 05/11/2023 (H)

     7,040       6,926  

4.545%, 05/25/2023 (H)

     12,555       12,332  

4.541%, 05/18/2023 (H)

     12,160       11,954  

4.465%, 03/28/2023 (H)

     8,490       8,407  

4.332%, 03/02/2023 (H)

     2,620       2,602  

4.265%, 02/23/2023 (H)

     8,660       8,608  

4.164%, 02/09/2023 (H)

     18,385       18,312  

4.106%, 01/31/2023 (H)

     3,630       3,619  

3.962%, 01/03/2023 (H)

     3,550       3,550  

3.721%, 03/16/2023 (H)

     10,470       10,383  

U.S. Treasury Bonds

               

5.250%, 11/15/2028

    1,932       2,047  

5.250%, 02/15/2029

    1,506       1,599  

4.000%, 11/15/2042

    5,990       5,865  

4.000%, 11/15/2052

    26,124       26,161  

3.625%, 08/15/2043

    240       221  

3.375%, 08/15/2042

    30       27  

3.375%, 11/15/2048

    1,080       952  

3.250%, 05/15/2042

    4,020       3,524  

3.000%, 08/15/2052

    22,874       18,846  

2.875%, 05/15/2052

    10,041       8,045  

2.375%, 02/15/2042

    39,155       29,895  

2.375%, 05/15/2051

    9,300       6,672  

2.250%, 05/15/2041

    500       376  

2.250%, 02/15/2052

    30,779       21,403  

2.000%, 11/15/2041

    97,372       69,526  

2.000%, 02/15/2050

    4,840       3,197  

2.000%, 08/15/2051

    13,091       8,572  

1.875%, 02/15/2041

    1,382       977  

1.875%, 02/15/2051

    11,440       7,271  

1.875%, 11/15/2051

    9,297       5,888  

1.750%, 08/15/2041

    58,729       40,190  

1.625%, 11/15/2050

    10,924       6,500  

1.375%, 11/15/2040

    26,096       16,965  

1.375%, 08/15/2050

    37,580       20,882  

1.250%, 05/15/2050

    19,660       10,580  

1.125%, 05/15/2040

    13,102       8,200  

1.125%, 08/15/2040

    18,046       11,207  

0.000%, 05/15/2049 (B)

     5,380       1,893  

U.S. Treasury Inflation Protected Securities

               

0.625%, 07/15/2032

    1,487       1,362  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

127

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

U.S. Treasury Notes

               

4.500%, 11/30/2024

  $ 66,126     $ 66,129  

4.500%, 11/15/2025

    1,035       1,041  

4.375%, 10/31/2024

    265       264  

4.250%, 09/30/2024

    887       882  

4.250%, 12/31/2024

    4,930       4,913  

4.250%, 10/15/2025

    7,770       7,764  

4.125%, 09/30/2027

    7,902       7,932  

4.125%, 10/31/2027

    25,549       25,643  

4.125%, 11/15/2032

    22,258       22,713  

4.000%, 12/15/2025

    23,236       23,087  

4.000%, 10/31/2029

    8,131       8,134  

3.875%, 11/30/2027 (E)

     52,235       51,949  

3.875%, 12/31/2027

    77,070       76,624  

3.875%, 09/30/2029

    104       103  

3.875%, 11/30/2029

    5,116       5,082  

3.250%, 06/30/2027

    7,385       7,141  

3.250%, 06/30/2029

    2,594       2,482  

3.125%, 08/31/2029

    1,316       1,249  

3.000%, 06/30/2024

    737       719  

3.000%, 07/15/2025

    8,670       8,398  

2.875%, 04/30/2025

    3,009       2,912  

2.875%, 05/15/2032

    860       793  

2.750%, 04/30/2027

    9,430       8,936  

2.750%, 07/31/2027

    1,965       1,859  

2.750%, 02/15/2028

    7,237       6,805  

2.750%, 05/31/2029

    3,582       3,328  

2.750%, 08/15/2032

    310       282  

2.625%, 07/31/2029

    18,215       16,773  

2.500%, 05/15/2024

    3,086       2,995  

2.375%, 08/15/2024

    1,533       1,479  

2.250%, 11/15/2027

    3,517       3,241  

2.000%, 11/15/2026

    5,213       4,820  

1.625%, 05/15/2026

    6,580       6,056  

1.500%, 08/15/2026

    16,140       14,711  

1.500%, 01/31/2027

    3,140       2,835  

1.500%, 11/30/2028

    2,552       2,216  

1.375%, 10/31/2028

    11,356       9,802  

0.750%, 05/31/2026

    6,938       6,188  

0.375%, 11/30/2025

    3,245       2,903  

0.375%, 01/31/2026

    7,673       6,827  

0.250%, 08/31/2025

    425       382  
         

Total U.S. Treasury Obligations

        

(Cost $967,787) ($ Thousands)

     856,538  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES — 9.4%

Automotive — 2.1%

        
         

Ally Auto Receivables Trust, Ser 2022-1, Cl A3

                

3.310%, 11/15/2026

  $ 828     $ 806  

Ally Auto Receivables Trust, Ser 2022-2, Cl A4

                

4.870%, 04/17/2028

    680       681  

Ally Auto Receivables Trust, Ser 2022-3, Cl A4

                

5.070%, 06/15/2031

    336       338  

Americredit Automobile Receivables Trust, Ser 2022-1, Cl A2

                

2.050%, 01/20/2026

    907       896  

Americredit Automobile Receivables Trust, Ser 2022-1, Cl A3

                

2.450%, 11/18/2026

    274       265  

AmeriCredit Automobile Receivables Trust, Ser 2022-2, Cl A3

                

4.380%, 04/18/2028

    1,140       1,119  

ARI Fleet Lease Trust, Ser 2022-A, Cl A2

                

3.120%, 01/15/2031 (D)

     840       825  

Avis Budget Rental Car Funding AESOP, Ser 2019-3A, Cl A

                

2.360%, 03/20/2026 (D)

     665       619  

Avis Budget Rental Car Funding AESOP, Ser 2020-1A, Cl A

                

2.330%, 08/20/2026 (D)

     1,550       1,434  

Avis Budget Rental Car Funding AESOP, Ser 2020-2A, Cl A

                

2.020%, 02/20/2027 (D)

     2,800       2,537  

Avis Budget Rental Car Funding AESOP, Ser 2021-2A, Cl A

                

1.660%, 02/20/2028 (D)

     1,460       1,263  

Avis Budget Rental Car Funding AESOP, Ser 2022-3A, Cl A

                

4.620%, 02/20/2027 (D)

     1,232       1,203  

Avis Budget Rental Car Funding AESOP, Ser 2022-4A, Cl A

                

4.770%, 02/20/2029 (D)

     611       590  

Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A3

                

3.660%, 05/17/2027

    1,095       1,070  

Chase Auto Owner Trust, Ser 2022-AA, Cl A4

                

3.990%, 03/27/2028 (D)

     439       428  

Chesapeake Funding II, Ser 2020-1A, Cl B

                

1.240%, 08/15/2032 (D)

     1,455       1,416  

Chesapeake Funding II, Ser 2020-1A, Cl D

                

2.830%, 08/15/2032 (D)

     205       198  

Donlen Fleet Lease Funding 2, Ser 2021-2, Cl A2

                

0.560%, 12/11/2034 (D)

     777       750  

 

 

 

128

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Donlen Fleet Lease Funding 2, Ser 2021-2, Cl B

                

0.980%, 12/11/2034 (D)

   $ 575     $ 539  

Donlen Fleet Lease Funding 2, Ser 2021-2, Cl C

                

1.200%, 12/11/2034 (D)

     1,010       943  

Enterprise Fleet Funding, Ser 2021-1, Cl A3

                

0.700%, 12/21/2026 (D)

     425       394  

Ford Credit Auto Lease Trust, Ser 2022-A, Cl A3

                

3.230%, 05/15/2025

    1,264       1,239  

Ford Credit Auto Lease Trust, Ser 2022-A, Cl A4

                

3.370%, 07/15/2025

    635       617  

Ford Credit Auto Owner Trust, Ser 2020-2, Cl A

                

1.060%, 04/15/2033 (D)

     478       428  

Ford Credit Auto Owner Trust, Ser 2022-1, Cl A

                

3.880%, 11/15/2034 (D)

     2,218       2,126  

Ford Credit Auto Owner Trust, Ser 2022-A, Cl A3

                

1.290%, 06/15/2026

    436       415  

Ford Credit Auto Owner Trust, Ser 2022-C, Cl A4

                

4.590%, 12/15/2027

    1,097       1,085  

Ford Credit Auto Owner Trust, Ser 2022-D, Cl A3

                

5.270%, 05/17/2027

    1,570       1,586  

Ford Credit Auto Owner Trust, Ser 2022-D, Cl A4

                

5.300%, 03/15/2028

    307       310  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2

                

1.150%, 09/15/2025 (D)

     497       488  

GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A

                

0.420%, 01/15/2025 (D)

     137       137  

GM Financial Automobile Leasing Trust, Ser 2022-2, Cl A4

                

3.540%, 05/20/2026

    729       711  

GM Financial Automobile Leasing Trust, Ser 2022-3, Cl A3

                

4.010%, 09/22/2025

    840       825  

GM Financial Automobile Leasing Trust, Ser 2022-3, Cl A4

                

4.110%, 08/20/2026

    921       902  

GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A3

                

3.100%, 02/16/2027

    1,894       1,834  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

GM Financial Consumer Automobile Receivables Trust, Ser 2022-2, Cl A4

                

3.250%, 04/17/2028

  $ 1,010     $ 965  

GM Financial Consumer Automobile Receivables Trust, Ser 2022-3, Cl A4

                

3.710%, 12/16/2027

    563       546  

GM Financial Consumer Automobile Receivables Trust, Ser 2022-4, Cl A3

                

4.820%, 08/16/2027

    891       891  

GM Financial Consumer Automobile Receivables Trust, Ser 2022-4, Cl A4

                

4.880%, 08/16/2028

    972       975  

GM Financial Revolving Receivables Trust, Ser 2022-1, Cl A

                

5.910%, 10/11/2035 (D)

     807       822  

Hertz Vehicle Financing III, Ser 2021-2A, Cl A

                

1.680%, 12/27/2027 (D)

     780       679  

Hertz Vehicle Financing III, Ser 2022-1A, Cl A

                

1.990%, 06/25/2026 (D)

     2,664       2,445  

Hertz Vehicle Financing III, Ser 2022-3A, Cl A

                

3.370%, 03/25/2025 (D)

     460       448  

Hertz Vehicle Financing, Ser 2022-2A, Cl A

                

2.330%, 06/26/2028 (D)

     1,297       1,137  

Hertz Vehicle Financing, Ser 2022-4A, Cl A

                

3.730%, 09/25/2026 (D)

     363       347  

Hertz Vehicle Financing, Ser 2022-5A, Cl A

                

3.890%, 09/25/2028 (D)

     1,565       1,445  

Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A3

                

3.730%, 07/20/2026

    575       563  

Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A4

                

3.760%, 12/18/2028

    419       409  

Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A3

                

4.380%, 10/15/2025 (D)

     725       717  

Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A4

                

4.480%, 08/17/2026 (D)

     900       888  

Hyundai Auto Receivables Trust, Ser 2021-C, Cl A4

                

1.030%, 12/15/2027

    566       512  

Hyundai Auto Receivables Trust, Ser 2022-A, Cl A3

                

2.220%, 10/15/2026

    1,061       1,014  

Hyundai Auto Receivables Trust, Ser 2022-A, Cl A4

                

2.350%, 04/17/2028

    361       338  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

129

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Hyundai Auto Receivables Trust, Ser 2022-C, Cl A3

                

5.390%, 06/15/2027

  $ 786     $ 794  

Hyundai Auto Receivables Trust, Ser 2022-C, Cl A4

                

5.520%, 10/16/2028

    713       725  

JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B

                

0.991%, 01/25/2028 (D)

     111       109  

JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B

                

0.840%, 02/25/2028 (D)

     277       271  

JPMorgan Chase Bank - CACLN, Ser 2021-2, Cl B

                

0.889%, 12/26/2028 (D)

     396       379  

JPMorgan Chase Bank - CACLN, Ser 2021-3, Cl B

                

0.760%, 02/26/2029 (D)

     1,050       990  

Mercedes-Benz Auto Receivables Trust, Ser 2022-1, Cl A4

                

5.250%, 02/15/2029

    711       715  

Nissan Auto Lease Trust, Ser 2022-A, Cl A3

                

3.810%, 05/15/2025

    1,228       1,209  

Nissan Auto Receivables Owner Trust, Ser 2022-B, Cl A4

                

4.450%, 11/15/2029

    760       749  

PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A3

                

3.960%, 04/15/2026 (D)

     648       638  

PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A4

                

4.180%, 12/15/2028 (D)

     318       313  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B

                

0.590%, 09/15/2025

    668       666  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl C

                

0.900%, 06/15/2026

    850       827  

Santander Drive Auto Receivables Trust, Ser 2022-2, Cl A2

                

2.120%, 10/15/2026

    433       432  

Santander Drive Auto Receivables Trust, Ser 2022-2, Cl A3

                

2.980%, 10/15/2026

    1,980       1,948  

Santander Drive Auto Receivables Trust, Ser 2022-3, Cl A3

                

3.400%, 12/15/2026

    1,453       1,426  

Santander Drive Auto Receivables Trust, Ser 2022-4, Cl A3

                

4.140%, 02/16/2027

    935       916  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A3

                

4.110%, 08/17/2026

  $ 773     $ 759  

Santander Drive Auto Receivables Trust, Ser 2022-6, Cl A3

                

4.490%, 11/16/2026

    2,530       2,499  

Santander Drive Auto Receivables Trust, Ser 2022-7, Cl A3

                

5.750%, 04/15/2027

    513       516  

Santander Retail Auto Lease Trust, Ser 2022-B, Cl A3

                

3.280%, 11/20/2025 (D)

     1,115       1,084  

Toyota Auto Loan Extended Note Trust, Ser 2019-1A, Cl A

                

2.560%, 11/25/2031 (D)

     440       424  

Toyota Auto Loan Extended Note Trust, Ser 2020-1A, Cl A

                

1.350%, 05/25/2033 (D)

     1,360       1,244  

Toyota Auto Loan Extended Note Trust, Ser 2022-1A, Cl A

                

3.820%, 04/25/2035 (D)

     1,546       1,465  

Toyota Auto Receivables Owner Trust, Ser 2022-B, Cl A4

                

3.110%, 08/16/2027

    753       714  

Toyota Auto Receivables Owner Trust, Ser 2022-C, Cl A4

                

3.770%, 02/15/2028

    702       679  

Toyota Auto Receivables Owner Trust, Ser 2022-D, Cl A4

                

5.430%, 04/17/2028

    389       396  

Volkswagen Auto Lease Trust, Ser 2022-A, Cl A3

                

3.440%, 07/21/2025

    430       421  

Westlake Automobile Receivables Trust, Ser 2021-1A, Cl A2A

                

0.390%, 10/15/2024 (D)

     72       72  

Wheels SPV 2, Ser 2020-1A, Cl A2

                

0.510%, 08/20/2029 (D)

     401       396  

World Omni Auto Receivables Trust, Ser 2022-C, Cl A3

                

3.660%, 10/15/2027

    645       627  

World Omni Auto Receivables Trust, Ser 2022-D, Cl A3

                

5.610%, 02/15/2028

    1,435       1,455  

World Omni Automobile Lease Securitization Trust, Ser 2022-A, Cl A3

                

3.210%, 02/18/2025

    710       695  

World Omni Automobile Lease Securitization Trust, Ser 2022-A, Cl A4

                

3.340%, 06/15/2027

    418       407  
              73,118  
                 

 

 

 

130

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Credit Cards — 0.8%

        
         

American Express Credit Account Master Trust, Ser 2022-2, Cl A

                

3.390%, 05/15/2027

  $ 785     $ 762  

American Express Credit Account Master Trust, Ser 2022-3, Cl A

                

3.750%, 08/15/2027

    3,497       3,419  

American Express Credit Account Master Trust, Ser 2022-4, Cl A

                

4.950%, 10/15/2027

    1,101       1,109  

BA Credit Card Trust, Ser 2022-A1, Cl A1

                

3.530%, 11/15/2027

    1,315       1,279  

BA Credit Card Trust, Ser 2022-A2, Cl A2

                

5.000%, 04/17/2028

    930       939  

Capital One Multi-Asset Execution Trust, Ser 2021-A2, Cl A2

                

1.390%, 07/15/2030

    1,036       864  

Capital One Multi-Asset Execution Trust, Ser 2022-A2, Cl A

                

3.490%, 05/15/2027

    931       905  

Capital One Multi-Asset Execution Trust, Ser 2022-A3, Cl A

                

4.950%, 10/15/2027

    3,291       3,316  

Chase Issuance Trust, Ser 2022-A1, Cl A

                

3.970%, 09/15/2027

    284       278  

Citibank Credit Card Issuance Trust, Ser 2017-A6, Cl A6

                

5.062%, ICE LIBOR USD 1 Month + 0.770%, 05/14/2029 (A)

     2,340       2,296  

Discover Card Execution Note Trust, Ser 2022-A3, Cl A3

                

3.560%, 07/15/2027

    3,577       3,472  

Discover Card Execution Note Trust, Ser 2022-A4, Cl A

                

5.030%, 10/15/2027

    3,160       3,191  

Golden Credit Card Trust, Ser 2022-4A, Cl A

                

4.310%, 09/15/2027 (D)

     1,940       1,909  

Master Credit Card Trust, Ser 2022-4A, Cl B

                

6.240%, 04/21/2029 (D)

     700       705  

Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl B

                

3.200%, 09/21/2026 (D)

     580       531  

Synchrony Card Funding, Ser 2022-A1, Cl A

                

3.370%, 04/15/2028

    1,137       1,097  

Synchrony Card Funding, Ser 2022-A2, Cl A

                

3.860%, 07/15/2028

    935       912  
              26,984  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Mortgage Related Securities — 0.2%

        
         

Aegis Asset-Backed Securities Mortgage Pass Through Certificates, Ser 2003-3, Cl M1

                

5.439%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2034 (A)

   $ 505     $ 485  

Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3

                

5.364%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (A)

     152       151  

Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE10, Cl M1

                

4.991%, ICE LIBOR USD 1 Month + 0.975%, 12/25/2034 (A)

     225       220  

Bear Stearns Asset-Backed Securities I Trust, Ser 2004-HE6, Cl M1

                

4.871%, ICE LIBOR USD 1 Month + 0.855%, 08/25/2034 (A)

     2,599       2,475  

Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl M1

                

4.824%, ICE LIBOR USD 1 Month + 0.435%, 08/25/2036 (A)

     1,328       1,320  

Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4

                

4.669%, ICE LIBOR USD 1 Month + 0.280%, 05/25/2037 (A)

     5,500       4,187  

Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1

                

5.064%, ICE LIBOR USD 1 Month + 0.675%, 12/25/2034 (A)

     221       213  
              9,051  
                 

Non-Agency Mortgage-Backed Obligations — 0.1%

        
         

BANK 2022, Ser BNK44, Cl A5

                

5.746%, 11/15/2055 (A)

     703       732  

BBCMS Mortgage Trust, Ser C18, Cl A5

                

5.710%, 12/15/2055 (A)

     973       1,018  

GS Mortgage Securities Trust, Ser GC32, Cl A3

                

3.498%, 07/10/2048

    346       330  
              2,080  
                 

Other Asset-Backed Securities — 6.2%

        
         

Academic Loan Funding Trust, Ser 2012-1A, Cl A2

                

5.489%, ICE LIBOR USD 1 Month + 1.100%, 12/27/2044 (A)(D)

     1,002       984  

ACRES Commercial Realty, Ser 2021-FL1, Cl A

                

5.526%, ICE LIBOR USD 1 Month + 1.200%, 06/15/2036 (A)(D)

     1,760       1,708  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

131

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

AIG CLO, Ser 2021-1A, Cl A1R

                

5.363%, ICE LIBOR USD 3 Month + 1.120%, 04/20/2032 (A)(D)

   $ 3,400     $ 3,345  

Aligned Data Centers Issuer, Ser 2022-1A, Cl A2

                

6.350%, 10/15/2047 (D)

     70       68  

American Homes 4 Rent Trust, Ser 2015-SFR1, Cl A

                

3.467%, 04/17/2052 (D)

     1,882       1,792  

AMMC CLO XIII, Ser 2021-13A, Cl A1R2

                

5.375%, ICE LIBOR USD 3 Month + 1.050%, 07/24/2029 (A)(D)

     2,808       2,778  

Antares CLO, Ser 2021-1A, Cl A1R

                

5.785%, ICE LIBOR USD 3 Month + 1.460%, 10/23/2033 (A)(D)

     1,400       1,336  

Applebee's Funding, Ser 2019-1A, Cl A2I

                

4.194%, 06/05/2049 (D)

     1,851       1,819  

Aqua Finance Trust, Ser 2021-A, Cl A

                

1.540%, 07/17/2046 (D)

     955       873  

Arbor Realty Commercial Real Estate Notes, Ser 2021-FL3, Cl A

                

5.388%, ICE LIBOR USD 1 Month + 1.070%, 08/15/2034 (A)(D)

     3,213       3,056  

Barings CLO, Ser 2017-IA, Cl AR

                

5.043%, ICE LIBOR USD 3 Month + 0.800%, 01/20/2028 (A)(D)

     774       768  

Brazos Higher Education Authority, Ser 2010-1, Cl A2

                

5.899%, ICE LIBOR USD 3 Month + 1.200%, 02/25/2035 (A)

     3,015       2,995  

Brazos Higher Education Authority, Ser 2011-2, Cl A3

                

5.358%, ICE LIBOR USD 3 Month + 1.000%, 10/27/2036 (A)

     1,967       1,948  

CARLYLE US CLO, Ser 2021-1A, Cl A2R

                

5.893%, ICE LIBOR USD 3 Month + 1.650%, 07/20/2034 (A)(D)

     1,560       1,502  

Cedar Funding XII CLO, Ser 2021-12A, Cl BR

                

5.958%, ICE LIBOR USD 3 Month + 1.600%, 10/25/2034 (A)(D)

     3,000       2,874  

Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5

                

4.853%, 11/25/2034 (C)

     24       23  

CIFC Funding, Ser 2021-7A, Cl A1

                

5.455%, ICE LIBOR USD 3 Month + 1.130%, 01/23/2035 (A)(D)

     3,500       3,372  

CIT Education Loan Trust, Ser 2007-1, Cl A

                

4.814%, ICE LIBOR USD 3 Month + 0.090%, 03/25/2042 (A)(D)

     827       789  

Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5

                

4.961%, 03/25/2037 (C)

     673       654  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Citigroup Mortgage LoanTrust, Ser 2021-INV2, Cl A3A

                

2.500%, 05/25/2051 (A)(D)

   $ 2     $ 1  

CNH Equipment Trust, Ser 2022-B, Cl A3

                

3.890%, 08/16/2027

    1,360       1,314  

CNH Equipment Trust, Ser 2022-C, Cl A3

                

5.150%, 04/17/2028

    1,255       1,258  

College Ave Student Loans, Ser 2021-C, Cl A2

                

2.320%, 07/26/2055 (D)

     769       656  

College Avenue Student Loans, Ser 2017-A, Cl A1

                

6.039%, ICE LIBOR USD 1 Month + 1.650%, 11/26/2046 (A)(D)

     346       339  

College Avenue Student Loans, Ser 2018-A, Cl A2

                

4.130%, 12/26/2047 (D)

     221       206  

College Avenue Student Loans, Ser 2019-A, Cl A2

                

3.280%, 12/28/2048 (D)

     434       389  

College Avenue Student Loans, Ser 2021-A, Cl A2

                

1.600%, 07/25/2051 (D)

     550       472  

College Avenue Student Loans, Ser 2021-B, Cl A2

                

1.760%, 06/25/2052 (D)

     363       302  

Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A

                

4.889%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2034 (A)

     302       283  

Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1

                

4.929%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2034 (A)

     213       200  

Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2

                

5.189%, ICE LIBOR USD 1 Month + 0.800%, 10/25/2047 (A)

     1,155       1,074  

Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A

                

4.458%, ICE LIBOR USD 1 Month + 0.140%, 07/15/2036 (A)

     194       177  

CSEMC, Ser 2020-1, Cl A

                

7.252%, 08/09/2024

    1,256       1,228  

Dividend Solar Loans, Ser 2019-1, Cl A

                

3.670%, 08/22/2039 (D)

     1,124       1,018  

DLLST, Ser 2022-1A, Cl A3

                

3.400%, 01/21/2025 (D)

     2,440       2,373  

Dryden 77 CLO, Ser 2021-77A, Cl BR

                

6.325%, ICE LIBOR USD 3 Month + 1.650%, 05/20/2034 (A)(D)

     1,475       1,411  

 

 

 

132

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Dryden XXVI Senior Loan Fund, Ser 2018-26A, Cl AR

                

4.979%, ICE LIBOR USD 3 Month + 0.900%, 04/15/2029 (A)(D)

   $ 1,036     $ 1,024  

Educational Funding of the South, Ser 2011-1, Cl A2

                

5.008%, ICE LIBOR USD 3 Month + 0.650%, 04/25/2035 (A)

     485       483  

Educational Funding, Ser 2006-1A, Cl A3

                

4.708%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033 (A)(D)

     1,600       1,172  

EDvestinU Private Education Loan Issue No. 4, Ser 2022-A, Cl A

                

5.250%, 11/25/2040 (D)

     678       658  

First Franklin Mortgage Loan Trust, Ser 2004-FF5, Cl A3C

                

5.389%, ICE LIBOR USD 1 Month + 1.000%, 08/25/2034 (A)

     283       264  

FirstKey Homes Trust, Ser 2020-SFR2, Cl A

                

1.266%, 10/19/2037 (D)

     3,388       3,002  

FNMA Grantor Trust, Ser 2017-T1, Cl A

                

2.898%, 06/25/2027

    199       185  

Ford Credit Floorplan Master Owner Trust A, Ser 2018-4, Cl A

                

4.060%, 11/15/2030

    1,860       1,746  

Fremont Home Loan Trust, Ser 2005-E, Cl 2A4

                

5.049%, ICE LIBOR USD 1 Month + 0.660%, 01/25/2036 (A)

     4,564       4,206  

Global SC Finance II SRL, Ser 2014-1A, Cl A2

                

3.090%, 07/17/2029 (D)

     266       258  

GoldenTree Loan Opportunities IX, Ser 2018-9A, Cl AR2

                

5.525%, ICE LIBOR USD 3 Month + 1.110%, 10/29/2029 (A)(D)

     2,828       2,803  

GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A

                

1.930%, 07/20/2048 (D)

     893       681  

GreatAmerica Leasing Receivables Funding Series, Ser 2022-1, Cl A3

                

5.080%, 09/15/2026 (D)

     750       747  

GSAMP Trust, Ser 2003-SEA, Cl A1

                

5.189%, ICE LIBOR USD 1 Month + 0.800%, 02/25/2033 (A)

     350       337  

GSAMP Trust, Ser 2006-HE3, Cl A2D

                

4.889%, ICE LIBOR USD 1 Month + 0.500%, 05/25/2046 (A)

     4,600       4,294  

Higher Education Funding, Ser 2014-1, Cl A

                

5.807%, ICE LIBOR USD 3 Month + 1.050%, 05/25/2034 (A)(D)

     275       275  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Hildene Community Funding CDO, Ser 2021-1A, Cl ARR

                

2.600%, 11/01/2035 (D)

   $ 1,240     $ 1,081  

Hilton Grand Vacations Trust, Ser 2020-AA, Cl A

                

2.740%, 02/25/2039 (D)

     556       522  

Home Partners of America Trust, Ser 2019-2, Cl A

                

2.703%, 10/19/2039 (D)

     1,475       1,285  

Home Partners of America Trust, Ser 2022-1, Cl A

                

3.930%, 04/17/2039 (D)

     2,073       1,944  

Hotwire Funding, Ser 2021-1, Cl A2

                

2.311%, 11/20/2051 (D)

     820       711  

JGWPT XXX, Ser 2013-3A, Cl A

                

4.080%, 01/17/2073 (D)

     718       642  

JGWPT XXXII, Ser 2014-2A, Cl A

                

3.610%, 01/17/2073 (D)

     983       849  

LCM XXI, Ser 2018-21A, Cl AR

                

5.123%, ICE LIBOR USD 3 Month + 0.880%, 04/20/2028 (A)(D)

     304       302  

LMREC, Ser 2019-CRE3, Cl A

                

5.786%, ICE LIBOR USD 1 Month + 1.400%, 12/22/2035 (A)(D)

     2,899       2,853  

Lunar Structured Aircraft Portfolio Notes, Ser 2021-1, Cl A

                

2.636%, 10/15/2046 (D)

     1,005       806  

Magnetite VII, Ser 2018-7A, Cl A1R2

                

4.879%, ICE LIBOR USD 3 Month + 0.800%, 01/15/2028 (A)(D)

     912       899  

MF1, Ser 2020-FL4, Cl A

                

6.150%, TSFR1M + 1.814%, 11/15/2035 (A)(D)

     710       698  

MF1, Ser 2021-FL7, Cl A

                

5.419%, ICE LIBOR USD 1 Month + 1.080%, 10/16/2036 (A)(D)

     4,115       3,934  

MF1, Ser 2022-FL10, Cl A

                

6.956%, TSFR1M + 2.635%, 09/17/2037 (A)(D)

     675       671  

MF1, Ser 2022-FL8, Cl A

                

5.176%, SOFR30A + 1.350%, 02/19/2037 (A)(D)

     2,380       2,282  

MFA Trust, Ser 2021-NQM2, Cl A1

                

1.029%, 11/25/2064 (A)(D)

     298       242  

Mid-State Trust XI, Ser 2003-11, Cl A1

                

4.864%, 07/15/2038

    1,052       1,012  

Morgan Stanley Resecuritization Trust, Ser 2015-R7, Cl 1BXA

                

7.060%, 02/26/2029 (A)(D)

     812       755  

MVW, Ser 2021-1WA, Cl A

                

1.140%, 01/22/2041 (D)

     537       490  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

133

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

MVW, Ser 2021-1WA, Cl B

                

1.440%, 01/22/2041 (D)

   $ 267     $ 242  

Navient Private Education Loan Trust, Ser 2014-AA, Cl A3

                

5.918%, ICE LIBOR USD 1 Month + 1.600%, 10/15/2031 (A)(D)

     457       452  

Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B

                

6.468%, ICE LIBOR USD 1 Month + 2.150%, 12/15/2045 (A)(D)

     243       245  

Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A

                

3.610%, 12/15/2059 (D)

     261       253  

Navient Private Education Refi Loan Trust, Ser 2018-A, Cl A2

                

3.190%, 02/18/2042 (D)

     25       25  

Navient Private Education Refi Loan Trust, Ser 2018-CA, Cl A2

                

3.520%, 06/16/2042 (D)

     36       35  

Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A

                

4.000%, 12/15/2059 (D)

     1,472       1,408  

Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A

                

3.420%, 01/15/2043 (D)

     581       555  

Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2

                

3.130%, 02/15/2068 (D)

     883       834  

Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A

                

3.010%, 12/15/2059 (D)

     1,162       1,058  

Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2

                

2.600%, 08/15/2068 (D)

     1,756       1,625  

Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A2

                

2.120%, 01/15/2069 (D)

     403       366  

Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A

                

1.690%, 05/15/2069 (D)

     155       139  

Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A

                

1.170%, 09/16/2069 (D)

     692       614  

Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A

                

1.310%, 01/15/2069 (D)

     747       670  

Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A

                

0.840%, 05/15/2069 (D)

     99       86  

Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A

                

0.940%, 07/15/2069 (D)

     803       678  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Navient Private Education Refi Loan Trust, Ser 2021-CA, Cl A

                

1.060%, 10/15/2069 (D)

   $ 1,344     $ 1,142  

Navient Private Education Refi Loan Trust, Ser 2021-EA, Cl A

                

0.970%, 12/16/2069 (D)

     2,319       1,943  

Navient Private Education Refi Loan Trust, Ser 2021-FA, Cl A

                

1.110%, 02/18/2070 (D)

     958       807  

Navient Private Education Refi Loan Trust, Ser 2021-GA, Cl A

                

1.580%, 04/15/2070 (D)

     365       309  

Navient Private Education Refi Loan Trust, Ser 2022-A, Cl A

                

2.230%, 07/15/2070 (D)

     1,255       1,089  

Navient Student Loan Trust, Ser 2014-1, Cl A3

                

4.899%, ICE LIBOR USD 1 Month + 0.510%, 06/25/2031 (A)

     2,050       1,976  

Navient Student Loan Trust, Ser 2014-3, Cl A

                

5.009%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (A)

     1,866       1,805  

Navient Student Loan Trust, Ser 2014-4, Cl A

                

5.009%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (A)

     1,247       1,214  

Navient Student Loan Trust, Ser 2016-2A, Cl A3

                

5.889%, ICE LIBOR USD 1 Month + 1.500%, 06/25/2065 (A)(D)

     1,130       1,120  

Navient Student Loan Trust, Ser 2017-1A, Cl A3

                

5.539%, ICE LIBOR USD 1 Month + 1.150%, 07/26/2066 (A)(D)

     838       823  

Navient Student Loan Trust, Ser 2017-3A, Cl A3

                

5.439%, ICE LIBOR USD 1 Month + 1.050%, 07/26/2066 (A)(D)

     2,881       2,790  

Navient Student Loan Trust, Ser 2019-BA, Cl A2A

                

3.390%, 12/15/2059 (D)

     1,202       1,136  

Navient Student Loan Trust, Ser 2021-1A, Cl A1A

                

1.310%, 12/26/2069 (D)

     431       359  

Navient Student Loan Trust, Ser 2021-3A, Cl A1A

                

1.770%, 08/25/2070 (D)

     1,046       903  

Nelnet Student Loan Trust, Ser 2004-3, Cl A5

                

4.538%, ICE LIBOR USD 3 Month + 0.180%, 10/27/2036 (A)

     395       384  

 

 

 

134

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust, Ser 2004-4, Cl A5

                

4.518%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2037 (A)

   $ 628     $ 614  

Nelnet Student Loan Trust, Ser 2005-1, Cl A5

                

4.468%, ICE LIBOR USD 3 Month + 0.110%, 10/25/2033 (A)

     2,242       2,163  

Nelnet Student Loan Trust, Ser 2005-2, Cl A5

                

4.853%, ICE LIBOR USD 3 Month + 0.100%, 03/23/2037 (A)

     1,795       1,741  

Nelnet Student Loan Trust, Ser 2005-3, Cl A5

                

4.873%, ICE LIBOR USD 3 Month + 0.120%, 12/24/2035 (A)

     1,791       1,735  

Nelnet Student Loan Trust, Ser 2005-4, Cl A4

                

4.933%, ICE LIBOR USD 3 Month + 0.180%, 03/22/2032 (A)

     294       285  

Nelnet Student Loan Trust, Ser 2014-2A, Cl A3

                

5.239%, ICE LIBOR USD 1 Month + 0.850%, 07/27/2037 (A)(D)

     950       909  

Nelnet Student Loan Trust, Ser 2014-4A, Cl A2

                

5.339%, ICE LIBOR USD 1 Month + 0.950%, 11/25/2048 (A)(D)

     2,155       2,097  

Nelnet Student Loan Trust, Ser 2019-5, Cl A

                

2.530%, 10/25/2067 (D)

     700       610  

Nelnet Student Loan Trust, Ser 2021-A, Cl APT1

                

1.360%, 04/20/2062 (D)

     482       426  

Nelnet Student Loan Trust, Ser 2021-CA, Cl AFX

                

1.320%, 04/20/2062 (D)

     944       838  

Neuberger Berman CLO XVII, Ser 2020-17A, Cl AR2

                

5.355%, ICE LIBOR USD 3 Month + 1.030%, 04/22/2029 (A)(D)

     347       342  

New Economy Assets Phase 1 Sponsor, Ser 2021-1, Cl B1

                

2.410%, 10/20/2061 (D)

     3,245       2,666  

Oak Street Investment Grade Net Lease Fund, Ser 2020-1A, Cl A1

                

1.850%, 11/20/2050 (D)

     1,079       958  

Octagon Investment Partners XIV, Ser 2021-1A, Cl AARR

                

5.029%, ICE LIBOR USD 3 Month + 0.950%, 07/15/2029 (A)(D)

     3,183       3,148  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Orange Lake Timeshare Trust, Ser 2019-A, Cl A

                

3.060%, 04/09/2038 (D)

   $ 404     $ 382  

Origen Manufactured Housing Contract Trust, Ser 2006-A, Cl A2

                

5.400%, 10/15/2037 (A)

     559       507  

Pawneee Equipment Receivables, Ser 2021-1, Cl A2

                

1.100%, 07/15/2027 (D)

     790       757  

PFCA Home Equity Investment Trust, Ser 2004-GP2, Cl A

                

3.410%, 08/25/2035 (A)(D)

     12       10  

Progress Residential Trust, Ser 2019-SFR3, Cl A

                

2.271%, 09/17/2036 (D)

     1,059       1,002  

Progress Residential Trust, Ser 2019-SFR4, Cl A

                

2.687%, 10/17/2036 (D)

     880       833  

Progress Residential Trust, Ser 2021-SFR11, Cl A

                

2.283%, 01/17/2039 (D)

     698       576  

Progress Residential Trust, Ser 2021-SFR3, Cl A

                

1.637%, 05/17/2026 (D)

     2,382       2,084  

RAMP Trust, Ser 2006-RZ3, Cl M1

                

4.739%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2036 (A)

     3,270       3,143  

Rockford Tower CLO, Ser 2021-2A, Cl AR

                

5.775%, ICE LIBOR USD 3 Month + 1.100%, 08/20/2032 (A)(D)

     3,150       3,065  

SBA Small Business Investment, Ser 2018-10B, Cl 1

                

3.548%, 09/10/2028

    656       620  

SBA Small Business Investment, Ser 2022-10A, Cl 1

                

2.938%, 03/10/2032

    863       784  

SBA Small Business Investment, Ser 2022-10B, Cl 1

                

4.262%, 09/10/2032

    455       443  

Sequoia Infrastructure Funding I Ltd., Ser 2021-1A, Cl A

                

5.479%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A)(D)

     554       550  

Sierra Timeshare Receivables Funding, Ser 2018-3A, Cl B

                

3.870%, 09/20/2035 (D)

     489       479  

Sierra Timeshare Receivables Funding, Ser 2021-2A, Cl A

                

1.350%, 09/20/2038 (D)

     392       359  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

135

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SLM Private Credit Student Loan Trust, Ser 2004-B, Cl A3

                

5.099%, ICE LIBOR USD 3 Month + 0.330%, 03/15/2024 (A)

   $ 89     $ 89  

SLM Private Credit Student Loan Trust, Ser 2005-A, Cl A4

                

5.079%, ICE LIBOR USD 3 Month + 0.310%, 12/15/2038 (A)

     972       926  

SLM Student Loan Trust, Ser 2003-7A, Cl A5A

                

5.969%, ICE LIBOR USD 3 Month + 1.200%, 12/15/2033 (A)(D)

     1,583       1,552  

SLM Student Loan Trust, Ser 2005-4, Cl A4

                

4.528%, ICE LIBOR USD 3 Month + 0.170%, 07/25/2040 (A)

     3,000       2,812  

SLM Student Loan Trust, Ser 2006-8, Cl A6

                

4.518%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2041 (A)

     2,016       1,889  

SLM Student Loan Trust, Ser 2007-7, Cl B

                

5.108%, ICE LIBOR USD 3 Month + 0.750%, 10/27/2070 (A)

     1,050       910  

SLM Student Loan Trust, Ser 2008-2, Cl B

                

5.558%, ICE LIBOR USD 3 Month + 1.200%, 01/25/2083 (A)

     685       526  

SLM Student Loan Trust, Ser 2008-3, Cl B

                

5.558%, ICE LIBOR USD 3 Month + 1.200%, 04/26/2083 (A)

     685       620  

SLM Student Loan Trust, Ser 2008-4, Cl A4

                

6.008%, ICE LIBOR USD 3 Month + 1.650%, 07/25/2022 (A)

     489       488  

SLM Student Loan Trust, Ser 2008-4, Cl B

                

6.208%, ICE LIBOR USD 3 Month + 1.850%, 04/25/2073 (A)

     685       657  

SLM Student Loan Trust, Ser 2008-5, Cl A4

                

6.058%, ICE LIBOR USD 3 Month + 1.700%, 07/25/2023 (A)

     82       81  

SLM Student Loan Trust, Ser 2008-5, Cl B

                

6.208%, ICE LIBOR USD 3 Month + 1.850%, 07/25/2073 (A)

     685       647  

SLM Student Loan Trust, Ser 2008-6, Cl A4

                

5.458%, ICE LIBOR USD 3 Month + 1.100%, 07/25/2023 (A)

     2,540       2,458  

SLM Student Loan Trust, Ser 2008-6, Cl B

                

6.208%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (A)

     685       621  

SLM Student Loan Trust, Ser 2008-7, Cl B

                

6.208%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (A)

     685       676  

SLM Student Loan Trust, Ser 2008-8, Cl B

                

6.608%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2075 (A)

     685       658  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Ser 2008-9, Cl A

                

5.858%, ICE LIBOR USD 3 Month + 1.500%, 04/25/2023 (A)

   $ 1,028     $ 1,018  

SLM Student Loan Trust, Ser 2008-9, Cl B

                

6.608%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2083 (A)

     685       637  

SLM Student Loan Trust, Ser 2009-3, Cl A

                

5.139%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2045 (A)(D)

     408       393  

SLM Student Loan Trust, Ser 2021-10A, Cl A4

                

5.439%, ICE LIBOR USD 3 Month + 0.670%, 12/17/2068 (A)(D)

     841       814  

SMB Private Education Loan Trust, Ser 2016-B, Cl A2A

                

2.430%, 02/17/2032 (D)

     221       211  

SMB Private Education Loan Trust, Ser 2016-B, Cl A2B

                

5.768%, ICE LIBOR USD 1 Month + 1.450%, 02/17/2032 (A)(D)

     191       190  

SMB Private Education Loan Trust, Ser 2016-C, Cl A2B

                

5.418%, ICE LIBOR USD 1 Month + 1.100%, 09/15/2034 (A)(D)

     203       203  

SMB Private Education Loan Trust, Ser 2018-C, Cl A2A

                

3.630%, 11/15/2035 (D)

     341       320  

SMB Private Education Loan Trust, Ser 2019-A, Cl A2A

                

3.440%, 07/15/2036 (D)

     1,336       1,271  

SMB Private Education Loan Trust, Ser 2020-B, Cl A1A

                

1.290%, 07/15/2053 (D)

     526       464  

SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2A

                

1.600%, 09/15/2054 (D)

     831       738  

SMB Private Education Loan Trust, Ser 2020-PTB, Cl A2A

                

1.600%, 09/15/2054 (D)

     2,293       2,026  

SMB Private Education Loan Trust, Ser 2021-A, Cl A2B

                

1.590%, 01/15/2053 (D)

     489       427  

SMB Private Education Loan Trust, Ser 2021-A, Cl APT1

                

1.070%, 01/15/2053 (D)

     1,860       1,596  

SMB Private Education Loan Trust, Ser 2021-B, Cl A

                

1.310%, 07/17/2051 (D)

     1,434       1,280  

SMB Private Education Loan Trust, Ser 2021-C, Cl A2

                

5.118%, ICE LIBOR USD 1 Month + 0.800%, 01/15/2053 (A)(D)

     1,255       1,196  

 

 

 

136

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SMB Private Education Loan Trust, Ser 2021-D, Cl A1A

                

1.340%, 03/17/2053 (D)

   $ 2,167     $ 1,898  

SMB Private Education Loan Trust, Ser 2021-E, Cl A1A

                

1.680%, 02/15/2051 (D)

     1,014       915  

SMB Private Education Loan Trust, Ser 2022-C, Cl A1A

                

4.480%, 05/16/2050 (D)

     571       546  

SMB Private Education Loan Trust, Ser 2022-D, Cl A1B

                

5.607%, SOFR30A + 1.800%, 10/15/2058 (A)(D)

     793       786  

SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX

                

1.950%, 02/15/2046 (D)

     99       89  

SoFi Professional Loan Program Trust, Ser 2021-A, Cl AFX

                

1.030%, 08/17/2043 (D)

     740       587  

SoFi Professional Loan Program Trust, Ser 2021-B, Cl AFX

                

1.140%, 02/15/2047 (D)

     756       622  

South Carolina Student Loan, Ser 2015-A, Cl A

                

5.889%, ICE LIBOR USD 1 Month + 1.500%, 01/25/2036 (A)

     896       893  

Southwick Park CLO, Ser 2021-4A, Cl A1R

                

5.303%, ICE LIBOR USD 3 Month + 1.060%, 07/20/2032 (A)(D)

     2,610       2,563  

Stack Infrastructure Issuer, Ser 2020-1A, Cl A2

                

1.893%, 08/25/2045 (D)

     1,355       1,206  

Store Master Funding I-VII XIV XIX XX, Ser 2021-1A, Cl A1

                

2.120%, 06/20/2051 (D)

     1,489       1,235  

Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2

                

4.939%, ICE LIBOR USD 1 Month + 0.550%, 09/25/2034 (A)

     348       328  

Structured Asset Securities Mortgage Loan Trust, Ser 2007-WF1, Cl A1

                

4.809%, ICE LIBOR USD 1 Month + 0.420%, 02/25/2037 (A)

     2,391       2,297  

Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2

                

3.450%, 02/25/2032

    4       3  

STWD, Ser 2019-FL1, Cl A

                

5.520%, TSFR1M + 1.194%, 07/15/2038 (A)(D)

     293       290  

Sunrun Vulcan Issuer, Ser 2021-1A, Cl A

                

2.460%, 01/30/2052 (D)

     683       554  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

T-Mobile US Trust, Ser 2022-1A, Cl A

                

4.910%, 05/22/2028 (D)

   $ 1,186     $ 1,184  

Towd Point Mortgage Trust, Ser 2017-4, Cl A1

                

2.750%, 06/25/2057 (A)(D)

     606       575  

Trestles CLO IV, Ser 2021-4A, Cl B1

                

5.978%, ICE LIBOR USD 3 Month + 1.700%, 07/21/2034 (A)(D)

     3,445       3,318  

Triton Container Finance VIII, Ser 2020-1A, Cl A

                

2.110%, 09/20/2045 (D)

     419       358  

TRTX Issuer, Ser 2019-FL3, Cl A

                

5.590%, TSFR1M + 1.264%, 10/15/2034 (A)(D)

     491       490  

United States Small Business Administration, Ser 2019-20D, Cl 1

                

2.980%, 04/01/2039

    163       150  

United States Small Business Administration, Ser 2019-25G, Cl 1

                

2.690%, 07/01/2044

    301       263  

United States Small Business Administration, Ser 2022-25E, Cl 1

                

3.940%, 05/01/2047

    500       474  

United States Small Business Administration, Ser 2022-25F, Cl 1

                

4.010%, 06/01/2047

    721       689  

United States Small Business Administration, Ser 2022-25G, Cl 1

                

3.930%, 07/01/2047

    4,873       4,646  

United States Small Business Administration, Ser 2022-25H, Cl 1

                

3.800%, 08/01/2047

    2,785       2,625  

Vantage Data Centers Issuer, Ser 2018-2A, Cl A2

                

4.196%, 11/15/2043 (D)

     3,345       3,263  

Verizon Master Trust, Ser 2022-2, Cl A

                

1.530%, 07/20/2028

    610       570  

Verizon Master Trust, Ser 2022-4, Cl A

                

3.400%, 11/20/2028 (C)

     1,298       1,257  

Verizon Master Trust, Ser 2022-6, Cl A

                

3.670%, 01/22/2029 (C)

     1,144       1,108  

Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2

                

4.679%, ICE LIBOR USD 1 Month + 0.290%, 07/25/2036 (A)

     5,188       5,062  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

137

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Z Capital Credit Partners CLO, Ser 2021-1A, Cl A1R

                

5.589%, ICE LIBOR USD 3 Month + 1.510%, 07/16/2031 (A)(D)

   $ 1,000     $ 990  
              220,937  
                 

Total Asset-Backed Securities

                

(Cost $347,308) ($ Thousands)

             332,170  
                 
                 

SOVEREIGN DEBT — 1.4%
                 

Argentine Republic Government International Bond

                

3.500%, 07/09/2041(C)

     1,460       412  

1.500%, 07/09/2035(C)

     335       85  

1.000%, 07/09/2029

     203       54  

0.500%, 07/09/2030(C)

     1,216       328  

Bermuda Government International Bond

                

5.000%, 07/15/2032(D)

     339       337  

Brazilian Government International Bond

                

5.000%, 01/27/2045

     3,400       2,518  

4.750%, 01/14/2050

     1,300       910  

4.625%, 01/13/2028(E)

     2,890       2,767  

2.625%, 01/05/2023

     200       200  

Buenos Aires Government International Bond MTN

                

5.250%, 09/01/2037(C)(D)

     2,439       841  

Chile Government International Bond

                

4.340%, 03/07/2042(E)

     254       215  

China Government Bond

                

3.390%, 05/21/2025

   CNY 2,000       292  

3.310%, 11/30/2025

     11,500       1,680  

Colombia Government International Bond

                

5.625%, 02/26/2044

   $ 660       484  

5.000%, 06/15/2045

     830       565  

4.125%, 02/22/2042

     680       425  

3.250%, 04/22/2032(E)

     670       487  

Export Finance & Insurance

                

4.625%, 10/26/2027(D)

     1,079       1,090  

Export-Import Bank of India

                

3.375%, 08/05/2026(D)(E)

     350       327  

Export-Import Bank of Korea

                

4.500%, 09/15/2032

     407       397  

Indonesia Government International Bond

                

3.700%, 10/30/2049(E)

     460       353  

Indonesia Treasury Bond

                

6.500%, 02/15/2031

   IDR 100,717,000       6,279  

6.375%, 04/15/2032

     58,803,000       3,633  

Israel Government International Bond

                

3.375%, 01/15/2050

   $ 280       215  

2.750%, 07/03/2030

     470       426  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Kenya Government International Bond

                

7.250%, 02/28/2028(D)

   $ 200     $ 175  

6.875%, 06/24/2024

     200       183  

6.300%, 01/23/2034(D)(E)

     960       737  

Mexico Government International Bond

                

6.050%, 01/11/2040

     1,210       1,174  

4.875%, 05/19/2033(E)

     235       216  

4.750%, 03/08/2044

     10,080       8,130  

4.600%, 02/10/2048(E)

     200       154  

4.500%, 04/22/2029(E)

     764       728  

4.400%, 02/12/2052

     1,020       750  

3.771%, 05/24/2061(E)

     466       294  

3.750%, 01/11/2028

     390       368  

3.500%, 02/12/2034

     760       608  

2.659%, 05/24/2031(E)

     3,760       3,033  

Nigeria Government International Bond

                

7.143%, 02/23/2030(D)

     240       184  

6.500%, 11/28/2027(D)(E)

     220       177  

Panama Government International Bond

                

4.500%, 04/01/2056

     540       393  

2.252%, 09/29/2032

     620       459  

Paraguay Government International Bond

                

5.400%, 03/30/2050(D)

     591       509  

3.849%, 06/28/2033(D)

     350       307  

Peruvian Government International Bond

                

5.625%, 11/18/2050(E)

     600       592  

3.600%, 01/15/2072(E)

     166       108  

3.000%, 01/15/2034(E)

     214       169  

2.783%, 01/23/2031

     300       248  

Province of Quebec Canada

                

2.625%, 02/13/2023(E)

     620       619  

Province of Saskatchewan Canada

                

3.250%, 06/08/2027

     427       407  

Republic of Italy Government International Bond

                

3.875%, 05/06/2051

     237       159  

Republic of Poland Government International Bond

                

5.750%, 11/16/2032

     615       654  

Russian Federal Bond - OFZ

                

8.150%, 02/03/2027

   RUB 315,940       1,169  

7.650%, 04/10/2030

     63,630       235  

7.250%, 05/10/2034

     24,200       90  

6.900%, 05/23/2029

     331,700       1,227  

2.270%, 03/16/2039

     162,070       599  

Russian Foreign Bond - Eurobond

                

7.500%, 03/31/2030

   $ 206       133  
                 

Total Sovereign Debt

        

(Cost $69,347) ($ Thousands)

     50,308  
                 
                 

 

 

 

138

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS — 1.2%

Air Canada, Term Loan, 1st Lien

                

8.130%, 08/11/2028 (A)

   $ 419     $ 413  

Ali Group

                

6.438%, 07/30/2029 (A)

     841       833  

Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien

                

8.173%, LIBOR + 3.750%, 05/12/2028 (A)

     999       947  

Alterra Moutain Company, Series B-2 Term Loan, 1st Lien

                

7.884%, 08/17/2028 (A)

     560       552  

AMWINS Group Inc.

                

6.634%, 02/19/2028 (A)

     272       267  

APi Group DE, Inc., Initial Term Loan, 1st Lien

                

6.884%, LIBOR + 2.500%, 10/01/2026 (A)

     849       842  

Asurion, LLC, New B-7 Term Loan, 1st Lien

                

7.384%, LIBOR + 3.000%, 11/03/2024 (A)

     559       542  

Asurion, LLC, New B-8 Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 12/23/2026 (A)

     327       291  

Asurion, LLC, New B-9 Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 07/31/2027 (A)

     374       327  

Athena Health, Term Loan, 1st Lien

                

7.821%, 02/15/2029 (A)

     223       201  

Athena Helath Group, Initial Term Loan

                

7.821%, 02/15/2029 (A)

     1,314       1,183  

Avolon TLB Borrower 1 LLC

                

6.603%, 12/01/2027

    275       274  

B.C. ULC

                

6.134%, LIBOR + 1.750%, 11/19/2026 (A)

     91       89  

Brown Group Holdings, LLC, Initial Term Loan, 1st Lien

                

6.884%, LIBOR + 2.750%, 06/07/2028 (A)

     574       562  

Caesars Resort Collection, LLC, Term B Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 12/23/2024 (A)

     155       155  

Caesars Resort Collection, LLC, Term B-1 Loan, 1st Lien

                

7.884%, 07/21/2025 (A)

     48       47  

Castlelake Avia

                

7.519%, 10/22/2026 (A)

     949       939  

Charter Communications Operating LLC, Lien1

                

6.140%, 04/30/2025

    621       617  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Charter Communications Operating LLC, Term B-2 Loan, 1st Lien

                

6.140%, LIBOR + 1.750%, 02/01/2027 (A)

   $ 157     $ 153  

Citadel Securities LP, 2021 Term Loan, 1st Lien

                

6.823%, LIBOR + 2.500%, 02/02/2028 (A)

     681       667  

Clarios Global, Term Loan 1st Lien

                

7.634%, LIBOR + 3.250%, 04/30/2026 (A)

     923       903  

DCert Buyer, Inc., Initial Term Loan, 1st Lien

                

5.696%, LIBOR + 4.000%, 10/16/2026 (A)

     1,327       1,280  

Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien

                

8.073%, LIBOR + 3.750%, 04/09/2027 (A)

     1,083       1,010  

Energizer Holdings

                

6.625%, 12/22/2027

    202       198  

Entain PLC

                

7.230%, 03/29/2027

    157       156  

EyeCare Partners, LLC, Term Loan, 1st Lien

                

8.480%, LIBOR + 3.750%, 02/18/2027 (A)

     303       241  

First Eagle Holdings, Term Loan

                

7.230%, 02/01/2027

    253       246  

Focus Financial, Term Loan, 1st Lien

                

7.572%, 06/30/2028

    970       957  

Gainwell Acquisition Corp., Term B Loan, 1st Lien

                

8.730%, LIBOR + 4.000%, 10/01/2027 (A)

     1,340       1,254  

Garda World Security Corp

                

8.930%, LIBOR + 4.250%, 10/30/2026 (A)

     268       260  

Genesee & Wyoming Inc., Initial Term Loan, 1st Lien

                

6.730%, LIBOR + 2.000%, 12/30/2026 (A)

     303       301  

GFL Environmental, 2020 Refinancing Term Loan, 1st Lien

                

7.415%, 05/30/2025 (A)

     56       56  

Global Medical Response, Inc., 2020 Refinancing Term Loan, 1st Lien

                

8.422%, LIBOR + 4.750%, 10/02/2025 (A)

     711       496  

Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien

                

8.134%, 03/06/2028 (A)

     305       292  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

139

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien

                

6.384%, LIBOR + 2.000%, 11/15/2027 (A)

   $ 1,129     $ 1,090  

Harbor Freight Tools USA, Inc

                

7.134%, 10/19/2027

    784       745  

Horizon Therapeudics

                

6.188%, 03/15/2028

    1,024       1,023  

Hudson River Trading LLC, Term Loan, 1st Lien

                

7.438%, CME Term SOFR + 3.000%, 03/20/2028 (A)

     23       22  

Hunter Douglas, Term Loan

                

7.859%, 02/26/2029

    370       324  

Hunter Douglas, Term Loan, 1st Lien

                

7.859%, 02/26/2029 (A)

     1,007       882  

Icon Public Limited Company, Lux Term Loan, 1st Lien

                

7.000%, 07/03/2028 (A)

     690       687  

Icon Public Limited Company, U.S. Term Loan, 1st Lien

                

7.000%, 07/03/2028 (A)

     172       171  

iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien

                

7.384%, LIBOR + 3.000%, 05/01/2026 (A)

     802       733  

Jane Street Group, LLC, Dollar Term Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 01/26/2028 (A)

     251       243  

Jazz Pharmaceuticals Public Limited Company, Initial Dollar Term Loan, 1st Lien

                

7.884%, LIBOR + 3.500%, 05/05/2028 (A)

     1,033       1,023  

Magenta Buyer LLC, Initial Term Loan, 1st Lien

                

9.170%, LIBOR + 5.000%, 07/27/2028 (A)

     1,505       1,281  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 10/23/2028 (A)

     855       812  

Nexstar Broadcasting, Inc., Term B-4 Loan, 1st Lien

                

6.884%, 09/18/2026 (A)(I)

     464       459  

PCI Gaming Authority, Term B Facility Loan

                

6.884%, 05/29/2026 (A)

     429       426  

Peraton Corp., Term B Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 02/01/2028 (A)

     1,132       1,103  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 03/05/2026 (A)

   $ 925     $ 865  

Phoenix Newco, Inc., Initial Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 11/15/2028 (A)

     98       94  

Pilot Travel Centers, LLC, Initial Tranche B Term Loan

                

6.423%, 08/04/2028 (A)(I)

     822       811  

Prime Security Services Borrower, LLC, 2021 Refinancing Term B-1 Loan, 1st Lien

                

6.504%, LIBOR + 2.750%, 09/23/2026 (A)

     667       660  

Project Sky, Term Loan, 1st Lien

                

8.134%, 10/08/2028 (A)

     337       316  

Quikrete Holding, Term Loan B1, 1st Lien

                

7.384%, 06/11/2028 (A)

     458       454  

Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien

                

7.380%, LIBOR + 2.750%, 02/15/2028 (A)

     374       233  

Regionalcare Hospital Partners Holdings, Inc., Term B Loan, 1st Lien

                

8.165%, LIBOR + 3.750%, 11/16/2025 (A)

     308       290  

Scientific Games/Lights & Wonder

                

7.417%, 04/14/2029 (A)

     898       883  

Seattle SpinCo, Inc., Initial Term Loan, 1st Lien

                

7.134%, LIBOR + 2.500%, 06/21/2024 (A)

     44       44  

Setanta Aircraft

                

6.730%, 11/05/2028

    1,060       1,053  

Sotera Health Holdings, LLC, Refinancing Loan, 1st Lien

                

7.165%, 12/11/2026 (A)

     1,370       1,260  

Station Casinos LLC

                

6.640%, 02/08/2027 (A)

     669       652  

Terrier Media Buyer, Inc., 2021 Term B Loan, 1st Lien

                

8.230%, LIBOR + 3.500%, 12/17/2026 (A)

     412       385  

Transdigm Inc.

                

6.980%, 12/09/2025 (A)

     49       48  

Triton Water Holdings, Inc., Initial Term Loan, 1st Lien

                

8.230%, LIBOR + 3.500%, 03/31/2028 (A)

     810       750  

UFC Holdings, Term Loan, 1st Lien

                

7.110%, 04/29/2026

    831       819  

 

 

 

140

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

United AirLines, Inc., Class B Term Loan, 1st Lien

                

8.108%, LIBOR + 3.750%, 04/21/2028 (A)

   $ 818     $ 806  

Verscend Holding Corp., Term B-1 Loan, 1st Lien

                

8.384%, LIBOR + 4.000%, 08/27/2025 (A)

     382       379  

VFH Parent, Initial Term Loan

                

7.421%, 01/13/2029 (A)

     410       398  

Virgin Media Bristol LLC, N Facility, 1st Lien

                

6.818%, LIBOR + 2.500%, 01/31/2028 (A)

     1,327       1,303  

XPO Logistics, Inc., Term Loan B, 1st Lien

                

5.935%, 02/24/2025 (A)

     550       547  

Zebra Buyer LLC

                

7.750%, 11/01/2028 (A)

     449       442  
                 
                 

Total Loan Participations

                

(Cost $44,089) ($ Thousands)

             42,067  
                 
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.7%

FHLB

                

1.040%, 06/14/2024

     13,660       12,931  

FHLMC MTN

                

0.000%, 12/14/2029(B)

     1,213       911  

FNMA

                

1.900%, 01/25/2036

     1,343       959  

0.500%, 06/17/2025

     4,215       3,835  

0.000%, 11/15/2030(B)

     3,564       2,560  

Resolution Funding Interest

                

0.000%, 01/15/2030(B)

     905       661  

Resolution Funding Principal

                

0.000%, 04/15/2030(B)

     1,165       845  

Tennessee Valley Authority

                

0.750%, 05/15/2025

     1,055       964  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $26,109) ($ Thousands)

     23,666  
                 
                 
                 

MUNICIPAL BONDS — 0.3%

California — 0.0%

        

California State University, Ser B, RB

               

2.374%, 11/01/2035

    685       507  

California State, Health Facilities Financing Authority, RB

               

3.000%, 08/15/2051

    785       588  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Regents of the University of California Medical Center Pooled Revenue, Ser N, RB

               

3.256%, 05/15/2060

  $ 790     $ 512  
                 
              1,607  
                 

Georgia — 0.1%

        

Georgia State, Municipal Electric Authority, RB

               

7.055%, 04/01/2057

    1,052       1,066  
                 
                 

Nevada — 0.0%

        

Clark County, Department of Aviation, Ser C, RB

               

6.820%, 07/01/2045

    728       856  
                 
                 

New York — 0.2%

        

Metropolitan New York, Transportation Authority, Ser C2, RB

               

5.175%, 11/15/2049

    260       224  

New York and New Jersey, Port Authority, RB

               

4.458%, 10/01/2062

    505       438  

New York City, Ser D, GO

               

2.223%, 08/01/2035

    1,350       973  

1.823%, 08/01/2030

    610       482  

New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser B-3, RB

               

2.000%, 08/01/2035

    1,000       692  

New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser D-3, RB

               

2.400%, 11/01/2032

    610       475  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB

               

5.508%, 08/01/2037

    275       282  

New York State, Dormitory Authority, RB

               

5.628%, 03/15/2039

    400       410  

5.289%, 03/15/2033

    850       858  
                 
              4,834  
                 

Ohio — 0.0%

        

Ohio State University, Ser A, RB

               

4.800%, 06/01/2111

    433       357  
                 
                 

Texas — 0.0%

        

Board of Regents of the University of Texas System, Ser B, RB

               

2.439%, 08/15/2049

    295       185  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

141

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

North Texas, Tollway Authority, Ser B, RB

               

6.718%, 01/01/2049

  $ 632     $ 749  
                 
              934  
                 

Virginia — 0.0%

        

University of Virginia, RB

               

2.256%, 09/01/2050

    480       293  
                 
                 
                 

Total Municipal Bonds

                

(Cost $12,105) ($ Thousands)

             9,947  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 7.0%

SEI Liquidity Fund, LP

                

4.240% **†(J)

     246,658,094       246,703  
                 
                 

Total Affiliated Partnership

                

(Cost $246,667) ($ Thousands)

     246,703  
                 
                 
                 

CASH EQUIVALENT — 4.8%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     169,099,323       169,099  
                 

Total Cash Equivalent

                

(Cost $169,099) ($ Thousands)

             169,099  
                 
                 

PURCHASED OPTIONS — 0.0%

Total Purchased Options

               

(Cost $268) ($ Thousands)

             167  
                 
                 

Total Investments in Securities — 119.5%

                

(Cost $4,608,127) ($ Thousands)

  $ 4,221,422  
                 
                 

WRITTEN OPTIONS — (0.0)%

Total Written Options

               

(Premiums Received $548) ($ Thousands)

           $ (787 )
                 
                 

 

 

142

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

 

A list of the exchange traded option contracts held by the Fund at December 31, 2022, is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTIONS — 0.0%

                                

Put Options

                                        

February 2023, U.S. 10 Year Future Option

     336     $ 36,624     $ 109.00       1/21/2023     $ 37  
                                         
                                       
                                       

Call Options

                                        

June 2023, 3 Month SOFR OPT Jun23C 95.5

     79       18,861       95.50       6/17/2023       17  

February 2023, U.S. 10 Year Future Option

     361       41,154       114.00       1/21/2023       113  
                                         
              60,015                       130  
                                       
                                       

Total Purchased Options

           $ 96,639                     $ 167  

WRITTEN OPTIONS — (0.0)%

                                

Put Options

                                        

June 2023, IMM Eurodollar Future Option

     (95 )   $ (23,331 )     97.00       06/17/2023     $ (515 )
                                       
                                         
                                         

Call Options

                                        

December 2023, 3 Month SOFR OPT Dec23C 96.5

     (276 )     (66,585 )     96.50       12/16/2023     $ (134 )

December 2023, 3 Month SOFR OPT Dec23C 96.63

     (78 )     (18,842 )     96.63       12/16/2023       (34 )

June 2023, 3 Month SOFR OPT Jun23C 96

     (79 )     (18,960 )     96.00       06/17/2023       (8 )

September 2023, 3 Month SOFR OPT Sep23C 98.75

     (164 )     (40,487 )     98.75       09/16/2023       (5 )

March 2023, U.S. 10 Year Future Option

     (290 )     (33,495 )     115.50       02/18/2023       (91 )
                                       
            $ (178,369 )                     (272 )
                                         
                                         

Total Written Options

           $ (201,700 )                   $ (787 )
                                         
                                         

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

90-Day Euro$

     103       Mar-2023     $ 24,480     $ 24,443     $ (37 )

90-Day Euro$

     86       Dec-2023       20,953       20,470       (483 )

Euro-Bobl

     38       Mar-2023       4,776       4,694       (172 )

Euro-Bund

     36       Mar-2023       5,223       5,107       (161 )

Euro-OAT

     72       Mar-2023       10,341       9,782       (752 )

Three-Month SOFR

     91       Mar-2026       21,928       22,027       99  

Three-Month SOFR

     38       Mar-2024       9,097       9,070       (27 )

Three-Month SOFR

     5       Mar-2023       1,206       1,188       (18 )

U.S. 2-Year Treasury Note

     1,031       Mar-2023       211,241       211,435       194  

U.S. 5-Year Treasury Note

     4,013       Mar-2023       434,102       433,122       (980 )

U.S. Long Treasury Bond

     318       Mar-2023       40,050       39,859       (191 )

U.S. Ultra Long Treasury Bond

     282       Mar-2023       38,212       37,876       (336 )
                      821,609       819,073       (2,864 )

Short Contracts

                                        

90-Day Euro$

     (323 )     Mar-2025     $ (79,034 )   $ (77,912 )   $ 1,122  

Euro-Buxl

     (4 )     Mar-2023       (672 )     (577 )     107  

U.S. 2-Year Treasury Note

     (251 )     Mar-2023       (51,429 )     (51,475 )     (46 )

U.S. 10-Year Treasury Note

     (887 )     Mar-2023       (100,145 )     (99,607 )     538  

U.S. Long Treasury Bond

     (114 )     Mar-2023       (14,329 )     (14,289 )     40  

Ultra 10-Year U.S. Treasury Note

     (490 )     Mar-2023       (58,205 )     (57,958 )     247  
                      (303,814 )     (301,818 )     2,008  
                    $ 517,795     $ 517,255     $ (856 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

143

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Continued)

 

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Citigroup

     01/18/23       EUR       4,474       NOK       46,790     $ (26 )

Citigroup

     01/18/23       USD       8,754       JPY       1,253,021       767  

Goldman Sachs

     01/18/23       USD       1,221       GBP       1,061       56  

Goldman Sachs

     01/18/23       JPY       156,380       USD       1,098       (90 )

Goldman Sachs

     01/18/23       IDR       759,546       USD       49       —  

Morgan Stanley

     01/18/23       GBP       1,523       USD       1,834       1  

Morgan Stanley

     01/18/23       CAD       5,988       USD       4,359       (61 )

Morgan Stanley

     01/18/23       USD       8,897       AUD       13,772       449  

Morgan Stanley

     01/18/23       EUR       14,282       USD       14,390       (870 )

Morgan Stanley

     01/18/23       USD       26,741       CAD       36,516       214  

Morgan Stanley

     01/18/23       CNH       52,111       USD       7,319       (225 )

Morgan Stanley

     01/18/23       JPY       506,048       USD       3,818       (27 )

Morgan Stanley

     01/18/23       COP       5,189,635       USD       1,138       70  
                                            $ 258  

 

A list of open centrally cleared swap agreements held by the Fund at December 31, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

VE - FIXED 1.95%

     SECURED ON FINANCING RATE(SOFRRAT)       Annual       06/10/2024       USD       66,350     $ (2,572 )   $ –     $ (2,572 )

3 MONTH USD - LIBOR

     1.785%       Semi-Annual       07/24/2053       USD       1,920       569       –       569  

1.8075

     3 MONTH USD - LIBOR       Semi-Annual       07/24/2053       USD       1,300       380       –       380  

.5

     SD-SOFR-OIS-COMPOUND       Annual       04/21/2052       USD       5,290       679       9       670  

  2.62% FIXED

     USD-SOFR-OIS COMPOUND       Monthly       02/15/2048       USD       5,315       601       6       595  

0.026% FIXED

     USD-SOFR-OIS-COMPOUND       Annual       02/15/2048       USD       4,412       514       300       214  

2.51% FIXED

     USD-SOFR-OIS COMPOUND       Monthly       02/15/2048       USD       4,321       569       28       541  

.65

     SD-SOFR-OIS-COMPOUND       Annual       08/15/2047       USD       560       154       55       99  

.63

     USD-SOFR-OIS-COMPOUND       Annual       05/15/2047       USD       7,680       2,126       333       1,793  

1.52% FIXED

     USD-SOFR-COMPOUND 2/15/47       Annual       02/15/2047       USD       5,559       1,634       (63 )     1,697  

1.72875% FIXED

     CMENA IR 2/15/47       Annual       02/15/2047       USD       5,240       1,362       62       1,300  

0.56%

     USD-SOFRRATE       Annual       07/20/2045       USD       8,660       3,784       100       3,684  
      SD-SOFR-OIS COMPOUND       Annual       03/18/2032       USD       5,870       699       35       664  

3.85% FIXED

     USD-SOFR-OIS COMPOUND       Annual       06/30/2029       USD       18,587       (257 )     16       (273 )

0.0327% FIXED

     USD-SOFR-OIS COMPOUND       Annual       04/30/2029       USD       26,663       523       (260 )     783  

LE - 2.85% FIXED

     USD-SOFR-OIS COMPOUND       Annual       02/15/2029       USD       10,144       432       (19 )     451  

.22% FIXED

     SD-SOFR-OIS-COMPOUND       Annual       08/15/2028       USD       9,318       1,146       –       1,146  

1.113%

     SOFR- COMPOUNDING       Annual       08/15/2028       USD       21,686       2,764       129       2,635  

M LIBOR

     .39 FIXED       Semi-Annual       09/28/2025       USD       35,750       (1,780 )     –       (1,780 )

3 MONTH USD - LIBOR

     .0725       Semi-Annual       07/24/2025       USD       15,555       (918 )     –       (918 )

3 MONTH USD - LIBOR

     .0355%       Semi-Annual       07/24/2025       USD       23,015       (1,375 )     –       (1,375 )

3 MONTH USD - LIBOR

     .0255       Semi-Annual       07/24/2025       USD       31,110       (1,863 )     –       (1,863 )

3M USD LIBOR

     1.7725%       Semi-Annual       07/24/2053       USD       2,600       777       –       777  

3MLIBOR

     .87% FIXED       Semi-Annual       09/28/2053       USD       3,050       840       –       840  
                                            $ 10,788     $ 731     $ 10,057  

 

 

 

 

144

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Core Fixed Income Fund (Concluded)

 

 

Credit Default Swap - Buy Protection

      

Reference Entity/ Obligation

  

Pay Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDS-MARKITCDX100.0BP5.2YR

     5.00%       Quarterly       12/20/2027     $ 2,709     $ (16 )   $ 59     $ (75 )
                                                         

 

Credit Default Swap - Sell Protection

      

Reference Entity/ Obligation

  

Receive Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDS-CDX.NA.HY.39

     1.00%       Quarterly       12/20/2027     $ 159,489     $ 1,275     $ (151 )   $ 1,426  
                                                         

 

 

 

 

Percentages are based on Net Assets of $3,533,773 ($ Thousands).

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

Zero coupon security.

(C)

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(D)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $567,357 ($ Thousands), representing 16.1% of the Net Assets of the Fund.

 

(E)

Certain securities or partial positions of certain securities are on loan at December 31, 2022. The total market value of securities on loan at December 31, 2022 was $231,687 ($ Thousands).

(F)

Perpetual security with no stated maturity date.

(G)

Security is in default on interest payment.

(H)

Interest rate represents the security's effective yield at the time of purchase.

(I)

Unsettled bank loan. Interest rate may not be available.

(J)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $246,703 ($ Thousands).

 

 

See “Glossary for abbreviations”.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 
 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Liquidity Fund, LP

   $ 254,770     $ 406,162     $ (414,251 )   $ 2     $ 20     $ 246,703     $ 13     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     113,748       671,702       (616,351 )     —       —       169,099       927       —  

Totals

   $ 368,518     $ 1,077,864     $ (1,030,602 )   $ 2     $ 20     $ 415,802     $ 940     $ —  

 

Amounts designated as “-” are $0 or have been rounded to $0.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

145

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 78.4%

Communication Services — 10.4%

        

Altice France

               

8.125%, 02/01/2027 (A)

   $ 600     $ 547  

5.500%, 10/15/2029 (A)

     1,802       1,374  

5.125%, 07/15/2029 (A)

     396       297  

Altice France Holding

               

10.500%, 05/15/2027 (A)

     4,976       3,794  

6.000%, 02/15/2028 (A)

     1,756       1,037  

AMC Entertainment Holdings

               

10.000%, 06/15/2026 (A)

     938       380  

6.125%, 05/15/2027

    420       109  

5.750%, 06/15/2025

    85       35  

ANGI Group

               

3.875%, 08/15/2028 (A)

     1,712       1,270  

Audacy Capital

               

6.750%, 03/31/2029 (A)

     3,564       617  

6.500%, 05/01/2027 (A)

     1,052       198  

Beasley Mezzanine Holdings

               

8.625%, 02/01/2026 (A)

     3,025       1,815  

Belo

               

7.250%, 09/15/2027

    250       237  

British Telecommunications

               

4.500%, 12/04/2023

    865       858  

CCO Holdings

               

5.375%, 06/01/2029 (A)

     1,008       911  

5.125%, 05/01/2027 (A)

     3,376       3,147  

5.000%, 02/01/2028 (A)

     3,339       3,032  

4.750%, 03/01/2030 (A)

     1,370       1,182  

4.750%, 02/01/2032 (A)

     110       89  

4.500%, 08/15/2030 (A)

     3,877       3,203  

4.500%, 05/01/2032

    2,270       1,807  

4.250%, 02/01/2031 (A)

     5,401       4,332  

4.250%, 01/15/2034 (A)

     880       649  

Charter Communications Operating

               

4.500%, 02/01/2024

    1,286       1,271  

4.400%, 12/01/2061

    235       150  

3.950%, 06/30/2062

    950       560  

3.900%, 06/01/2052

    655       411  

3.700%, 04/01/2051

    720       438  

Cinemark USA

               

8.750%, 05/01/2025 (A)

     160       162  

5.250%, 07/15/2028 (A)

     135       100  

Clear Channel International

               

6.625%, 08/01/2025 (A)

     564       538  

Clear Channel Outdoor Holdings Inc

               

7.750%, 04/15/2028 (A)

     285       208  

7.500%, 06/01/2029 (A)

     524       385  

5.125%, 08/15/2027 (A)

     1,870       1,620  

Comcast

               

2.987%, 11/01/2063

    2,485       1,503  

2.937%, 11/01/2056

    1,785       1,104  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Connect Finco S.a.r.l

               

6.750%, 10/01/2026 (A)

   $ 575     $ 533  

Consolidated Communications

               

6.500%, 10/01/2028 (A)

     3,199       2,486  

DISH DBS

               

7.750%, 07/01/2026

    3,135       2,528  

7.375%, 07/01/2028

    6,019       4,258  

5.875%, 11/15/2024

    2,802       2,604  

5.750%, 12/01/2028 (A)

     1,035       826  

5.250%, 12/01/2026 (A)

     2,180       1,836  

5.125%, 06/01/2029

    2,658       1,715  

5.000%, 03/15/2023

    1,807       1,799  

DISH Network

               

11.750%, 11/15/2027 (A)

     2,726       2,808  

DKT Finance ApS

               

9.375%, 06/17/2023 (A)

     1,205       1,190  

Embarq

               

7.995%, 06/01/2036

    725       337  

Frontier Communications Holdings

               

8.750%, 05/15/2030 (A)

     2,192       2,229  

6.750%, 05/01/2029 (A)

     269       223  

6.000%, 01/15/2030 (A)

     968       760  

5.875%, 10/15/2027 (A)

     206       191  

5.875%, 11/01/2029

    1,877       1,452  

5.000%, 05/01/2028 (A)

     662       577  

Gannett Holdings

               

6.000%, 11/01/2026 (A)

     158       129  

Gray Escrow II

               

5.375%, 11/15/2031 (A)

     1,634       1,178  

Gray Television

               

7.000%, 05/15/2027 (A)

     125       111  

4.750%, 10/15/2030 (A)

     717       519  

iHeartCommunications

               

8.375%, 05/01/2027

    575       489  

6.375%, 05/01/2026

    399       367  

5.250%, 08/15/2027 (A)

     1,138       964  

Iliad Holding SASU

               

7.000%, 10/15/2028 (A)

     180       162  

6.500%, 10/15/2026 (A)

     900       835  

Intelsat Jackson Holdings

               

6.500%, 03/15/2030 (A)

     1,432       1,280  

Intelsat Jackson Holdings (Escrow Security)

               

0.000%, 12/31/2049 (B)(C)

     4,165       –  

Level 3 Financing

               

4.625%, 09/15/2027 (A)

     2,601       2,165  

4.250%, 07/01/2028 (A)

     838       660  

3.750%, 07/15/2029 (A)

     320       230  

3.625%, 01/15/2029 (A)

     3,080       2,255  

Live Nation Entertainment

               

6.500%, 05/15/2027 (A)

     421       412  

5.625%, 03/15/2026 (A)

     309       292  

4.875%, 11/01/2024 (A)

     582       564  

 

 

 

146

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.750%, 10/15/2027 (A)

   $ 2,930     $ 2,609  

Lumen Technologies

               

5.625%, 04/01/2025

    274       263  

5.375%, 06/15/2029 (A)

     263       189  

5.125%, 12/15/2026 (A)

     2,015       1,752  

4.500%, 01/15/2029 (A)

     2,900       2,002  

4.000%, 02/15/2027 (A)

     2,257       1,913  

Netflix

               

4.875%, 06/15/2030 (A)

     1,478       1,378  

News

               

5.125%, 02/15/2032 (A)

     140       127  

3.875%, 05/15/2029 (A)

     174       151  

Nexstar Media

               

5.625%, 07/15/2027 (A)

     1,130       1,037  

4.750%, 11/01/2028 (A)

     1,542       1,334  

ROBLOX

               

3.875%, 05/01/2030 (A)

     857       675  

Sable International Finance

               

5.750%, 09/07/2027 (A)

     854       788  

Salem Media Group

               

6.750%, 06/01/2024 (A)

     746       724  

Scripps Escrow

               

5.875%, 07/15/2027 (A)

     115       103  

Scripps Escrow II

               

5.375%, 01/15/2031 (A)

     81       65  

3.875%, 01/15/2029 (A)

     2,547       2,044  

Sinclair Television Group

               

5.125%, 02/15/2027 (A)

     215       175  

4.125%, 12/01/2030 (A)

     4,305       3,227  

Sirius XM Radio

               

5.500%, 07/01/2029 (A)

     994       907  

5.000%, 08/01/2027 (A)

     1,222       1,130  

4.125%, 07/01/2030 (A)

     1,467       1,211  

4.000%, 07/15/2028 (A)

     1,952       1,699  

3.875%, 09/01/2031 (A)

     1,670       1,303  

SoftBank Group

               

5.125%, 09/19/2027

    527       454  

Spanish Broadcasting System

               

9.750%, 03/01/2026 (A)

     2,235       1,285  

Stagwell Global

               

5.625%, 08/15/2029 (A)

     328       270  

TEGNA

               

4.625%, 03/15/2028

    1,415       1,344  

Telecom Italia Capital

               

6.000%, 09/30/2034

    285       215  

Telesat Canada

               

6.500%, 10/15/2027 (A)

     3,254       941  

5.625%, 12/06/2026 (A)

     1,163       535  

T-Mobile USA

               

3.500%, 04/15/2031

    2,135       1,844  

3.375%, 04/15/2029

    805       709  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

TripAdvisor

               

7.000%, 07/15/2025 (A)

   $ 396     $ 391  

United States Cellular

               

6.700%, 12/15/2033

    1,214       1,071  

Urban One

               

7.375%, 02/01/2028 (A)

     5,530       4,675  

Verizon Communications

               

3.000%, 11/20/2060

    830       494  

2.987%, 10/30/2056

    1,440       879  

Vmed O2 UK Financing I

               

4.250%, 01/31/2031 (A)

     1,520       1,231  

Windstream Escrow

               

7.750%, 08/15/2028 (A)

     2,630       2,143  

WMG Acquisition

               

3.750%, 12/01/2029 (A)

     334       287  

3.000%, 02/15/2031 (A)

     793       634  

Zayo Group Holdings Inc

               

6.125%, 03/01/2028 (A)

     1,120       635  

ZipRecruiter

               

5.000%, 01/15/2030 (A)

     1,616       1,332  
                 
              128,509  
                 

Consumer Discretionary — 15.6%

        

1011778 BC ULC

               

4.375%, 01/15/2028 (A)

     1,090       976  

4.000%, 10/15/2030 (A)

     185       150  

3.875%, 01/15/2028 (A)

     453       405  

Abercrombie & Fitch Management

               

8.750%, 07/15/2025 (A)

     803       787  

Academy

               

6.000%, 11/15/2027 (A)

     480       460  

Adient Global Holdings Ltd

               

4.875%, 08/15/2026 (A)

     2,595       2,416  

Adtalem Global Education

               

5.500%, 03/01/2028 (A)

     888       806  

Altice Financing

               

5.750%, 08/15/2029 (A)

     2,744       2,158  

5.000%, 01/15/2028 (A)

     4,178       3,363  

Amazon.com

               

2.700%, 06/03/2060

    1,880       1,132  

American Axle & Manufacturing

               

6.875%, 07/01/2028

    223       199  

6.500%, 04/01/2027

    570       514  

6.250%, 03/15/2026

    268       250  

5.000%, 10/01/2029

    177       143  

American Greetings

               

8.750%, 04/15/2025 (A)

     2,095       2,011  

Aramark Services

               

5.000%, 02/01/2028 (A)

     277       258  

Asbury Automotive Group

               

4.625%, 11/15/2029 (A)

     976       822  

4.500%, 03/01/2028

    2,076       1,828  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

147

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Ashton Woods USA

               

6.625%, 01/15/2028 (A)

   $ 3,907     $ 3,437  

Aston Martin Capital Holdings

               

10.500%, 11/30/2025 (A)

     777       722  

Aventine (Escrow Security)

               

0.000%, 10/15/2049 (B)(C)(D)(E)

     2,750       –  

Bath & Body Works

               

9.375%, 07/01/2025 (A)

     19       20  

7.600%, 07/15/2037

    370       313  

7.500%, 06/15/2029

    271       268  

6.875%, 11/01/2035

    539       479  

6.750%, 07/01/2036

    2,225       1,956  

6.694%, 01/15/2027

    81       80  

6.625%, 10/01/2030 (A)

     1,585       1,487  

5.250%, 02/01/2028

    1,994       1,852  

BCPE Ulysses Intermediate

               

7.750% PIK, 04/01/2027 (A)

     1,365       843  

Bloomin' Brands

               

5.125%, 04/15/2029 (A)

     1,370       1,152  

Boyne USA

               

4.750%, 05/15/2029 (A)

     168       149  

Brookfield Residential Properties

               

4.875%, 02/15/2030 (A)

     712       555  

Caesars Entertainment

               

8.125%, 07/01/2027 (A)

     816       802  

6.250%, 07/01/2025 (A)

     175       170  

4.625%, 10/15/2029 (A)

     161       131  

Carnival

               

10.500%, 02/01/2026 (A)

     206       207  

9.875%, 08/01/2027 (A)

     1,805       1,706  

6.000%, 05/01/2029 (A)

     74       49  

5.750%, 03/01/2027 (A)

     4,443       3,172  

4.000%, 08/01/2028 (A)

     488       398  

Carnival Holdings Bermuda

               

10.375%, 05/01/2028 (A)

     234       240  

Carvana

               

10.250%, 05/01/2030 (A)

     54       25  

5.875%, 10/01/2028 (A)

     228       89  

5.625%, 10/01/2025 (A)

     486       218  

4.875%, 09/01/2029 (A)

     757       292  

CD&R Smokey Buyer

               

6.750%, 07/15/2025 (A)

     434       372  

Cedar Fair

               

5.250%, 07/15/2029

    295       265  

Cengage Learning

               

9.500%, 06/15/2024 (A)

     765       730  

Century Communities

               

6.750%, 06/01/2027

    444       424  

Clarios Global

               

8.500%, 05/15/2027 (A)

     2,175       2,124  

6.750%, 05/15/2025 (A)

     576       577  

6.250%, 05/15/2026 (A)

     908       888  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

CMG Media

               

8.875%, 12/15/2027 (A)

   $ 5,114     $ 3,849  

Cooper-Standard Automotive

               

13.000%, 06/01/2024 (A)

     440       458  

5.625%, 11/15/2026 (A)

     885       381  

Crocs

               

4.125%, 08/15/2031 (A)

     497       405  

CSC Holdings

               

7.500%, 04/01/2028 (A)

     3,891       2,646  

6.500%, 02/01/2029 (A)

     1,925       1,574  

5.750%, 01/15/2030 (A)

     2,510       1,416  

5.250%, 06/01/2024

    355       330  

4.625%, 12/01/2030 (A)

     1,868       1,032  

4.500%, 11/15/2031 (A)

     299       207  

3.375%, 02/15/2031 (A)

     463       302  

Cumulus Media New Holdings

               

6.750%, 07/01/2026 (A)

     916       769  

Dana

               

5.625%, 06/15/2028

    634       577  

5.375%, 11/15/2027

    539       500  

Dealer Tire

               

8.000%, 02/01/2028 (A)

     570       502  

Diamond Sports Group

               

6.625%, 08/15/2027 (A)

     3,243       24  

5.375%, 08/15/2026 (A)

     6,139       721  

DirecTV Financing

               

5.875%, 08/15/2027 (A)

     3,991       3,571  

Dornoch Debt Merger Sub

               

6.625%, 10/15/2029 (A)

     2,850       1,999  

eG Global Finance

               

8.500%, 10/30/2025 (A)

     520       485  

6.750%, 02/07/2025 (A)

     4,132       3,607  

Empire Resorts

               

7.750%, 11/01/2026 (A)

     3,175       2,547  

Fontainebleau Las Vegas Holdings

               

11.000%, 06/15/2015 (A)(B)(D)

     3,108       –  

Ford Motor

               

4.750%, 01/15/2043

    2,200       1,579  

Ford Motor Credit

               

5.584%, 03/18/2024

    1,100       1,086  

5.125%, 06/16/2025

    4,851       4,663  

5.113%, 05/03/2029

    3,955       3,581  

4.687%, 06/09/2025

    655       623  

4.542%, 08/01/2026

    730       673  

4.271%, 01/09/2027

    735       665  

4.134%, 08/04/2025

    250       234  

4.125%, 08/17/2027

    1,219       1,091  

4.063%, 11/01/2024

    1,194       1,146  

4.000%, 11/13/2030

    1,962       1,610  

3.815%, 11/02/2027

    685       602  

3.810%, 01/09/2024

    43       42  

3.625%, 06/17/2031

    1,866       1,466  

 

 

 

148

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.375%, 11/13/2025

  $ 1,200     $ 1,085  

2.900%, 02/16/2028

    2,320       1,916  

2.900%, 02/10/2029

    315       252  

2.700%, 08/10/2026

    200       174  

Ford Motor Credit MTN

               

4.389%, 01/08/2026

    415       387  

Gap

               

3.875%, 10/01/2031 (A)

     33       23  

3.625%, 10/01/2029 (A)

     158       111  

GCI

               

4.750%, 10/15/2028 (A)

     599       503  

Goodyear Tire & Rubber

               

5.250%, 04/30/2031

    345       286  

5.250%, 07/15/2031

    81       66  

5.000%, 07/15/2029

    317       264  

Hanesbrands

               

4.625%, 05/15/2024 (A)

     2,393       2,318  

Hertz (Escrow Security)

               

7.125%, 08/01/2026

    465       40  

6.000%, 01/15/2028

    450       38  

5.500%, 10/15/2024

    559       17  

Hilton Domestic Operating

               

5.750%, 05/01/2028 (A)

     246       239  

4.875%, 01/15/2030

    50       45  

4.000%, 05/01/2031 (A)

     1,465       1,226  

3.750%, 05/01/2029 (A)

     1,659       1,435  

3.625%, 02/15/2032 (A)

     1,396       1,118  

Hilton Worldwide Finance

               

4.875%, 04/01/2027

    175       167  

International Game Technology

               

6.250%, 01/15/2027 (A)

     1,575       1,563  

Jacobs Entertainment

               

6.750%, 02/15/2029 (A)

     1,225       1,106  

Jaguar Land Rover Automotive

               

5.500%, 07/15/2029 (A)

     2,350       1,664  

Ken Garff Automotive

               

4.875%, 09/15/2028 (A)

     278       233  

LBM Acquisition

               

6.250%, 01/15/2029 (A)

     1,858       1,182  

LCM Investments Holdings II

               

4.875%, 05/01/2029 (A)

     2,174       1,741  

LCPR Senior Secured Financing DAC

               

6.750%, 10/15/2027 (A)

     1,997       1,867  

Liberty Interactive

               

8.250%, 02/01/2030

    4,717       2,146  

Life Time

               

5.750%, 01/15/2026 (A)

     2,200       2,047  

Lions Gate Capital Holdings

               

5.500%, 04/15/2029 (A)

     1,431       830  

Lithia Motors

               

4.375%, 01/15/2031 (A)

     1,082       880  

3.875%, 06/01/2029 (A)

     838       689  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MajorDrive Holdings IV

               

6.375%, 06/01/2029 (A)

   $ 3,078     $ 2,297  

Marriott Ownership Resorts

               

6.125%, 09/15/2025 (A)

     114       117  

4.500%, 06/15/2029 (A)

     261       217  

Mattamy Group

               

4.625%, 03/01/2030 (A)

     713       578  

Mattel

               

3.375%, 04/01/2026 (A)

     1,570       1,443  

McGraw-Hill Education

               

5.750%, 08/01/2028 (A)

     2,680       2,252  

Meritage Homes

               

3.875%, 04/15/2029 (A)

     806       684  

MGM Resorts International

               

6.750%, 05/01/2025

    315       317  

6.000%, 03/15/2023

    708       705  

5.750%, 06/15/2025

    674       655  

Michaels

               

7.875%, 05/01/2029 (A)

     2,240       1,497  

5.250%, 05/01/2028 (A)

     1,065       857  

Midcontinent Communications

               

5.375%, 08/15/2027 (A)

     552       500  

Midwest Gaming Borrower

               

4.875%, 05/01/2029 (A)

     1,227       1,044  

Millennium Escrow

               

6.625%, 08/01/2026 (A)

     1,420       909  

National CineMedia

               

5.875%, 04/15/2028 (A)

     150       34  

NCL

               

5.875%, 02/15/2027 (A)

     1,235       1,070  

Neiman Marcus Group (Escrow Security)

               

0.000%, 10/15/2022 (B)(C)(D)

     1,582       447  

NESCO Holdings II

               

5.500%, 04/15/2029 (A)

     271       237  

Newell Brands

               

6.625%, 09/15/2029

    50       49  

6.375%, 09/15/2027

    50       50  

Nissan Motor

               

4.345%, 09/17/2027 (A)

     1,935       1,755  

Nordstrom

               

4.375%, 04/01/2030

    949       713  

Paramount Global

               

7.875%, 07/30/2030

    2,253       2,404  

PECF USS Intermediate Holding III

               

8.000%, 11/15/2029 (A)

     2,340       1,520  

PetSmart

               

7.750%, 02/15/2029 (A)

     250       235  

4.750%, 02/15/2028 (A)

     500       453  

Photo Holdings Merger Sub

               

8.500%, 10/01/2026 (A)

     575       332  

PM General Purchaser

               

9.500%, 10/01/2028 (A)

     383       292  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

149

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Radiate Holdco

               

6.500%, 09/15/2028 (A)

   $ 3,175     $ 1,330  

4.500%, 09/15/2026 (A)

     550       404  

Royal Caribbean Cruises

               

11.625%, 08/15/2027 (A)

     2,439       2,449  

11.500%, 06/01/2025 (A)

     272       292  

9.250%, 01/15/2029 (A)

     225       231  

8.250%, 01/15/2029 (A)

     225       226  

5.500%, 08/31/2026 (A)

     1,370       1,152  

5.500%, 04/01/2028 (A)

     500       399  

Service International

               

7.500%, 04/01/2027

    640       652  

4.000%, 05/15/2031

    51       43  

3.375%, 08/15/2030

    24       19  

Shea Homes

               

4.750%, 02/15/2028

    711       621  

4.750%, 04/01/2029

    825       693  

Six Flags Entertainment

               

5.500%, 04/15/2027 (A)

     320       288  

4.875%, 07/31/2024 (A)

     3,495       3,365  

Six Flags Theme Parks

               

7.000%, 07/01/2025 (A)

     336       338  

Sonic Automotive

               

4.625%, 11/15/2029 (A)

     189       151  

Sotheby's

               

5.875%, 06/01/2029 (A)

     460       386  

Specialty Building Products Holdings

               

6.375%, 09/30/2026 (A)

     2,784       2,242  

SRS Distribution

               

6.125%, 07/01/2029 (A)

     1,045       845  

6.000%, 12/01/2029 (A)

     962       766  

4.625%, 07/01/2028 (A)

     327       290  

Staples

               

10.750%, 04/15/2027 (A)

     1,223       881  

7.500%, 04/15/2026 (A)

     2,438       2,098  

Starbucks

               

3.550%, 08/15/2029

    542       499  

Station Casinos

               

4.500%, 02/15/2028 (A)

     2,001       1,740  

StoneMor

               

8.500%, 05/15/2029 (A)

     1,410       1,128  

Studio City

               

7.000%, 02/15/2027 (A)

     475       444  

Studio City Finance

               

5.000%, 01/15/2029 (A)

     2,405       1,775  

Sugarhouse HSP Gaming Prop Mezz

               

5.875%, 05/15/2025 (A)

     1,445       1,349  

Superior Plus

               

4.500%, 03/15/2029 (A)

     202       173  

Telenet Finance Luxembourg Notes Sarl

               

5.500%, 03/01/2028 (A)

     2,600       2,340  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Tempur Sealy International

               

4.000%, 04/15/2029 (A)

   $ 525     $ 441  

3.875%, 10/15/2031 (A)

     1,351       1,061  

Time Warner Entertainment

               

8.375%, 07/15/2033

    1,028       1,142  

Univision Communications

               

7.375%, 06/30/2030 (A)

     211       202  

6.625%, 06/01/2027 (A)

     40       39  

4.500%, 05/01/2029 (A)

     1,668       1,395  

Vail Resorts

               

6.250%, 05/15/2025 (A)

     437       437  

Victoria's Secret

               

4.625%, 07/15/2029 (A)

     1,891       1,485  

Viking Cruises

               

5.875%, 09/15/2027 (A)

     515       420  

Virgin Media Finance

               

5.000%, 07/15/2030 (A)

     493       395  

Virgin Media Secured Finance

               

4.500%, 08/15/2030 (A)

     480       401  

Virgin Media Vendor Financing Notes IV DAC

               

5.000%, 07/15/2028 (A)

     1,934       1,690  

Vista Outdoor

               

4.500%, 03/15/2029 (A)

     408       300  

VOC Escrow

               

5.000%, 02/15/2028 (A)

     1,440       1,239  

Volkswagen Group of America Finance

               

1.250%, 11/24/2025 (A)

     595       530  

VZ Secured Financing BV

               

5.000%, 01/15/2032 (A)

     1,065       865  

Wheel Pros

               

6.500%, 05/15/2029 (A)

     2,450       857  

White Capital Buyer

               

6.875%, 10/15/2028 (A)

     105       91  

White Capital Parent

               

8.250% PIK, 03/15/2026 (A)

     2,850       2,464  

Wolverine World Wide

               

4.000%, 08/15/2029 (A)

     1,631       1,236  

WW International

               

4.500%, 04/15/2029 (A)

     1,840       919  

Wynn Las Vegas

               

5.500%, 03/01/2025 (A)

     720       684  

Wynn Macau

               

5.500%, 01/15/2026 (A)

     545       500  

5.500%, 10/01/2027 (A)

     515       450  

Wynn Resorts Finance

               

7.750%, 04/15/2025 (A)

     160       159  

5.125%, 10/01/2029 (A)

     379       325  

Yum! Brands

               

6.875%, 11/15/2037

    1,065       1,080  

5.375%, 04/01/2032

    325       301  

4.625%, 01/31/2032

    217       192  

 

 

 

150

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.625%, 03/15/2031

  $ 2,464     $ 2,066  
                 
              196,129  
                 

Consumer Staples — 3.1%

        

Albertsons

               

5.875%, 02/15/2028 (A)

     125       119  

4.875%, 02/15/2030 (A)

     60       54  

4.625%, 01/15/2027 (A)

     835       776  

3.500%, 03/15/2029 (A)

     448       376  

3.250%, 03/15/2026 (A)

     221       202  

Altria Group

               

4.800%, 02/14/2029

    418       401  

BellRing Brands

               

7.000%, 03/15/2030 (A)

     1,405       1,352  

Central Garden & Pet

               

5.125%, 02/01/2028

    350       326  

4.125%, 10/15/2030

    242       199  

4.125%, 04/30/2031 (A)

     168       139  

Chobani

               

7.500%, 04/15/2025 (A)

     2,848       2,773  

4.625%, 11/15/2028 (A)

     1,118       973  

Coca-Cola

               

2.750%, 06/01/2060

    417       278  

2.500%, 06/01/2040

    880       641  

Coty

               

5.000%, 04/15/2026 (A)

     1,138       1,079  

4.750%, 01/15/2029 (A)

     2,085       1,887  

Edgewell Personal Care

               

5.500%, 06/01/2028 (A)

     305       285  

4.125%, 04/01/2029 (A)

     117       100  

Energizer Holdings

               

6.500%, 12/31/2027 (A)

     133       127  

4.750%, 06/15/2028 (A)

     469       406  

4.375%, 03/31/2029 (A)

     622       527  

High Ridge Brands Co. (Escrow Security)

               

9.772%, 03/15/2025

    445       –  

HLF Financing S.A.R.L.

               

4.875%, 06/01/2029 (A)

     2,345       1,615  

JBS USA LUX

               

5.500%, 01/15/2030 (A)

     3,109       2,958  

Lamb Weston Holdings

               

4.375%, 01/31/2032 (A)

     63       55  

4.125%, 01/31/2030 (A)

     1,193       1,054  

LSF9 Atlantis Holdings

               

7.750%, 02/15/2026 (A)

     3,783       3,348  

New Albertsons

               

8.700%, 05/01/2030

    955       1,025  

8.000%, 05/01/2031

    1,830       1,878  

Performance Food Group

               

6.875%, 05/01/2025 (A)

     50       50  

5.500%, 10/15/2027 (A)

     355       335  

4.250%, 08/01/2029 (A)

     460       399  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Pilgrim's Pride

               

3.500%, 03/01/2032 (A)

   $ 835     $ 653  

Post Holdings

               

5.750%, 03/01/2027 (A)

     15       14  

5.625%, 01/15/2028 (A)

     565       532  

5.500%, 12/15/2029 (A)

     206       186  

4.625%, 04/15/2030 (A)

     83       72  

Rite Aid

               

8.000%, 11/15/2026 (A)

     3,127       1,672  

7.500%, 07/01/2025 (A)

     236       155  

Sigma Holdco BV

               

7.875%, 05/15/2026 (A)

     3,482       2,491  

Simmons Foods

               

4.625%, 03/01/2029 (A)

     1,758       1,431  

Spectrum Brands

               

5.500%, 07/15/2030 (A)

     617       545  

5.000%, 10/01/2029 (A)

     100       87  

3.875%, 03/15/2031 (A)

     93       72  

Triton Water Holdings

               

6.250%, 04/01/2029 (A)

     2,904       2,329  

US Foods

               

4.625%, 06/01/2030 (A)

     230       203  

Vector Group

               

10.500%, 11/01/2026 (A)

     1,420       1,410  

5.750%, 02/01/2029 (A)

     970       841  
                 
              38,430  
                 

Energy — 11.2%

        

Aethon United BR

               

8.250%, 02/15/2026 (A)

     1,216       1,206  

Antero Midstream Partners

               

7.875%, 05/15/2026 (A)

     318       322  

5.750%, 03/01/2027 (A)

     50       47  

5.750%, 01/15/2028 (A)

     290       269  

5.375%, 06/15/2029 (A)

     707       646  

Antero Resources

               

8.375%, 07/15/2026 (A)

     260       271  

7.625%, 02/01/2029 (A)

     742       746  

5.375%, 03/01/2030 (A)

     1,081       1,002  

Apache

               

5.100%, 09/01/2040

    2,729       2,262  

Archrock Partners

               

6.250%, 04/01/2028 (A)

     2,656       2,430  

Ascent Resources Utica Holdings

               

8.250%, 12/31/2028 (A)

     1,578       1,547  

7.000%, 11/01/2026 (A)

     911       884  

5.875%, 06/30/2029 (A)

     1,551       1,383  

Baytex Energy

               

8.750%, 04/01/2027 (A)

     325       331  

Blue Racer Midstream

               

7.625%, 12/15/2025 (A)

     2,721       2,701  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

151

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Buckeye Partners

               

4.500%, 03/01/2028 (A)

   $ 400     $ 352  

4.125%, 03/01/2025 (A)

     230       219  

4.125%, 12/01/2027

    135       118  

California Resources

               

7.125%, 02/01/2026 (A)

     374       359  

Cheniere Energy

               

4.625%, 10/15/2028

    550       497  

Cheniere Energy Partners

               

4.500%, 10/01/2029

    3,457       3,109  

4.000%, 03/01/2031

    389       331  

3.250%, 01/31/2032

    393       312  

Chesapeake Energy (Escrow Security)

               

0.000%, 12/31/2049 (B)(C)

     3,650       73  

Chesapeake Energy Corp

               

6.750%, 04/15/2029 (A)

     1,149       1,119  

Chord Energy Corp

               

6.375%, 06/01/2026 (A)

     264       257  

Citgo Holding

               

9.250%, 08/01/2024 (A)

     4,921       4,910  

CITGO Petroleum

               

6.375%, 06/15/2026 (A)

     525       506  

CNX Midstream Partners

               

4.750%, 04/15/2030 (A)

     54       44  

CNX Resources

               

7.375%, 01/15/2031 (A)

     147       141  

Comstock Resources

               

6.750%, 03/01/2029 (A)

     1,669       1,506  

5.875%, 01/15/2030 (A)

     157       135  

CQP Holdco

               

5.500%, 06/15/2031 (A)

     906       791  

Crestwood Midstream Partners

               

8.000%, 04/01/2029 (A)

     613       610  

CrownRock

               

5.625%, 10/15/2025 (A)

     1,112       1,073  

DCP Midstream Operating

               

8.125%, 08/16/2030

    985       1,090  

3.250%, 02/15/2032

    670       554  

Delek Logistics Partners

               

6.750%, 05/15/2025

    811       779  

DT Midstream

               

4.375%, 06/15/2031 (A)

     103       86  

4.125%, 06/15/2029 (A)

     1,629       1,399  

Earthstone Energy Holdings

               

8.000%, 04/15/2027 (A)

     1,120       1,071  

Encino Acquisition Partners Holdings

               

8.500%, 05/01/2028 (A)

     2,269       2,074  

Enerflex

               

9.000%, 10/15/2027 (A)

     625       623  

Energy Transfer

               

5.500%, 06/01/2027

    1,564       1,522  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

EnLink Midstream

               

6.500%, 09/01/2030 (A)

   $ 93     $ 92  

5.375%, 06/01/2029

    4,956       4,586  

EnLink Midstream Partners

               

4.850%, 07/15/2026

    190       179  

Enviva Partners

               

6.500%, 01/15/2026 (A)

     3,647       3,435  

EQM Midstream Partners

               

7.500%, 06/01/2027 (A)

     170       166  

7.500%, 06/01/2030 (A)

     134       129  

6.500%, 07/01/2027 (A)

     712       680  

6.500%, 07/15/2048

    2,980       2,234  

6.000%, 07/01/2025 (A)

     276       266  

4.750%, 01/15/2031 (A)

     934       764  

4.500%, 01/15/2029 (A)

     1,624       1,364  

Genesis Energy

               

8.000%, 01/15/2027

    1,377       1,301  

7.750%, 02/01/2028

    1,953       1,798  

6.500%, 10/01/2025

    20       19  

Gulfport Energy

               

8.000%, 05/17/2026 (A)

     2,335       2,277  

Gulfport Energy Operating (Escrow Security)

               

6.375%, 05/15/2025 (B)

     183       –  

6.375%, 01/15/2026

    585       –  

6.000%, 10/15/2024

    215       –  

Harvest Midstream I

               

7.500%, 09/01/2028 (A)

     1,895       1,809  

Hess Midstream Operations

               

5.625%, 02/15/2026 (A)

     325       317  

5.500%, 10/15/2030 (A)

     415       380  

4.250%, 02/15/2030 (A)

     1,777       1,519  

Hilcorp Energy I

               

6.250%, 11/01/2028 (A)

     10       9  

6.250%, 04/15/2032 (A)

     85       73  

6.000%, 04/15/2030 (A)

     101       90  

Holly Energy Partners

               

6.375%, 04/15/2027 (A)

     160       157  

Howard Midstream Energy Partners

               

6.750%, 01/15/2027 (A)

     3,300       3,163  

ITT Holdings

               

6.500%, 08/01/2029 (A)

     2,575       2,169  

Kinetik Holdings

               

5.875%, 06/15/2030 (A)

     129       121  

Moss Creek Resources Holdings

               

10.500%, 05/15/2027 (A)

     36       34  

7.500%, 01/15/2026 (A)

     1,789       1,613  

Motiva Enterprises

               

6.850%, 01/15/2040 (A)

     967       971  

Nabors Industries

               

7.250%, 01/15/2026 (A)

     93       88  

5.750%, 02/01/2025

    325       310  

 

 

 

152

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

New Fortress Energy

               

6.750%, 09/15/2025 (A)

   $ 1,403     $ 1,327  

6.500%, 09/30/2026 (A)

     2,411       2,239  

NGL Energy Operating

               

7.500%, 02/01/2026 (A)

     4,588       4,085  

NGL Energy Partners

               

7.500%, 11/01/2023

    744       725  

7.500%, 04/15/2026

    775       593  

6.125%, 03/01/2025

    3,916       3,192  

Northern Oil and Gas

               

8.125%, 03/01/2028 (A)

     2,039       1,958  

NuStar Logistics

               

6.375%, 10/01/2030

    685       633  

6.000%, 06/01/2026

    255       246  

5.750%, 10/01/2025

    114       110  

5.625%, 04/28/2027

    115       108  

Occidental Petroleum

               

8.875%, 07/15/2030

    338       382  

8.500%, 07/15/2027

    293       316  

6.625%, 09/01/2030

    150       155  

6.600%, 03/15/2046

    1,400       1,441  

6.375%, 09/01/2028

    150       151  

6.125%, 01/01/2031

    4,402       4,442  

4.625%, 06/15/2045

    1,525       1,225  

Patterson-UTI Energy

               

5.150%, 11/15/2029

    625       560  

Permian Resources Operating

               

5.875%, 07/01/2029 (A)

     1,645       1,413  

Precision Drilling

               

7.125%, 01/15/2026 (A)

     240       232  

6.875%, 01/15/2029 (A)

     31       29  

Range Resources

               

8.250%, 01/15/2029

    402       414  

4.875%, 05/15/2025

    280       266  

4.750%, 02/15/2030 (A)

     83       73  

Rockcliff Energy II

               

5.500%, 10/15/2029 (A)

     2,041       1,867  

Seventy Seven Operating (Escrow Security)

               

6.625%, 01/15/2020 (B)(D)

     1,869       –  

Shelf Drilling Holdings

               

8.250%, 02/15/2025 (A)

     1,800       1,557  

SM Energy

               

6.625%, 01/15/2027

    73       70  

6.500%, 07/15/2028

    113       108  

5.625%, 06/01/2025

    295       283  

Southwestern Energy

               

7.750%, 10/01/2027

    186       190  

5.375%, 03/15/2030

    993       906  

4.750%, 02/01/2032

    772       660  

Strathcona Resources

               

6.875%, 08/01/2026 (A)

     2,225       1,624  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Summit Midstream Holdings

               

8.500%, 10/15/2026 (A)

   $ 176     $ 168  

5.750%, 04/15/2025

    2,048       1,734  

Sunoco

               

5.875%, 03/15/2028

    1,585       1,501  

4.500%, 05/15/2029

    1,243       1,087  

4.500%, 04/30/2030

    1,342       1,165  

Tallgrass Energy Partners

               

7.500%, 10/01/2025 (A)

     381       384  

6.000%, 03/01/2027 (A)

     270       252  

6.000%, 12/31/2030 (A)

     4,550       3,935  

6.000%, 09/01/2031 (A)

     722       621  

5.500%, 01/15/2028 (A)

     70       62  

Targa Resources Partners

               

6.875%, 01/15/2029

    192       194  

6.500%, 07/15/2027

    523       526  

5.000%, 01/15/2028

    310       296  

4.875%, 02/01/2031

    250       226  

4.000%, 01/15/2032

    167       141  

TerraForm Power Operating

               

5.000%, 01/31/2028 (A)

     2,957       2,661  

4.750%, 01/15/2030 (A)

     375       326  

Transocean

               

11.500%, 01/30/2027 (A)

     2,236       2,242  

8.000%, 02/01/2027 (A)

     1,425       1,164  

7.500%, 04/15/2031

    790       529  

7.250%, 11/01/2025 (A)

     868       767  

6.800%, 03/15/2038

    121       76  

Transocean Guardian

               

5.875%, 01/15/2024 (A)

     394       384  

Transocean Pontus

               

6.125%, 08/01/2025 (A)

     106       104  

USA Compression Partners

               

6.875%, 09/01/2027

    1,170       1,094  

Venture Global Calcasieu Pass

               

4.125%, 08/15/2031 (A)

     540       460  

3.875%, 08/15/2029 (A)

     255       223  

3.875%, 11/01/2033 (A)

     3,079       2,515  

Weatherford International

               

8.625%, 04/30/2030 (A)

     2,027       1,947  

Western Midstream Operating

               

5.500%, 02/01/2050

    2,924       2,409  

4.300%, 02/01/2030

    4,526       3,951  
                 
              140,544  
                 

Financials — 7.3%

        

Acrisure

               

10.125%, 08/01/2026 (A)

     1,211       1,178  

4.250%, 02/15/2029 (A)

     1,702       1,405  

AG Issuer

               

6.250%, 03/01/2028 (A)

     1,208       1,110  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

153

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Alliant Holdings Intermediate

               

6.750%, 10/15/2027 (A)

   $ 1,637     $ 1,471  

5.875%, 11/01/2029 (A)

     1,445       1,188  

Apollo Commercial Real Estate Finance

               

4.625%, 06/15/2029 (A)

     798       639  

Armor Holdco

               

8.500%, 11/15/2029 (A)

     2,320       1,736  

Blackstone Private Credit Fund

               

4.700%, 03/24/2025

    985       944  

2.625%, 12/15/2026

    2,805       2,322  

Block

               

3.500%, 06/01/2031

    204       163  

BroadStreet Partners

               

5.875%, 04/15/2029 (A)

     2,805       2,387  

Brookfield Property REIT

               

4.500%, 04/01/2027 (A)

     5,121       4,280  

Coinbase Global

               

3.625%, 10/01/2031 (A)

     80       39  

3.375%, 10/01/2028 (A)

     80       42  

CPI CG

               

8.625%, 03/15/2026 (A)

     1,148       1,128  

Finance of America Funding

               

7.875%, 11/15/2025 (A)

     4,989       2,569  

FirstCash

               

5.625%, 01/01/2030 (A)

     2,135       1,900  

Freedom Mortgage

               

8.250%, 04/15/2025 (A)

     2,617       2,354  

7.625%, 05/01/2026 (A)

     1,235       1,030  

6.625%, 01/15/2027 (A)

     1,195       930  

HAT Holdings I

               

6.000%, 04/15/2025 (A)

     957       927  

3.750%, 09/15/2030 (A)

     1,667       1,225  

3.375%, 06/15/2026 (A)

     577       501  

Home Point Capital

               

5.000%, 02/01/2026 (A)

     2,405       1,663  

HSBC Holdings

               

4.600%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.649%(F)(G)

     783       609  

HUB International

               

5.625%, 12/01/2029 (A)

     2,530       2,210  

Hunt

               

5.250%, 04/15/2029 (A)

     953       801  

Jane Street Group

               

4.500%, 11/15/2029 (A)

     2,099       1,805  

JPMorgan Chase

               

5.000%, U.S. SOFR + 3.380%(F)(G)

     856       783  

Ladder Capital Finance Holdings LLLP

               

5.250%, 10/01/2025 (A)

     210       197  

4.750%, 06/15/2029 (A)

     1,750       1,413  

4.250%, 02/01/2027 (A)

     2,118       1,779  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

LD Holdings Group

               

6.500%, 11/01/2025 (A)

   $ 855     $ 576  

6.125%, 04/01/2028 (A)

     2,265       1,371  

LPL Holdings

               

4.625%, 11/15/2027 (A)

     1,792       1,674  

4.375%, 05/15/2031 (A)

     325       276  

Merger Sub II

               

10.750%, 08/01/2027 (A)

     1,515       1,533  

Midcap Financial Issuer Trust

               

6.500%, 05/01/2028 (A)

     2,550       2,193  

5.625%, 01/15/2030 (A)

     1,666       1,349  

MSCI

               

4.000%, 11/15/2029 (A)

     3,202       2,789  

Nationstar Mortgage Holdings

               

6.000%, 01/15/2027 (A)

     903       808  

5.750%, 11/15/2031 (A)

     270       210  

5.500%, 08/15/2028 (A)

     1,487       1,213  

5.125%, 12/15/2030 (A)

     138       107  

Navient

               

5.500%, 03/15/2029

    1,075       877  

5.000%, 03/15/2027

    1,582       1,385  

4.875%, 03/15/2028

    307       252  

NFP

               

4.875%, 08/15/2028 (A)

     1,034       880  

OneMain Finance

               

7.125%, 03/15/2026

    1,565       1,488  

6.625%, 01/15/2028

    342       315  

5.375%, 11/15/2029

    2,492       2,038  

4.000%, 09/15/2030

    2,317       1,729  

3.875%, 09/15/2028

    253       201  

3.500%, 01/15/2027

    355       294  

Owl Rock Capital

               

3.400%, 07/15/2026

    987       862  

PennyMac Financial Services

               

5.750%, 09/15/2031 (A)

     680       539  

5.375%, 10/15/2025 (A)

     561       506  

4.250%, 02/15/2029 (A)

     4,373       3,411  

Rithm Capital

               

6.250%, 10/15/2025 (A)

     2,932       2,631  

Rocket Mortgage

               

4.000%, 10/15/2033 (A)

     1,902       1,421  

3.625%, 03/01/2029 (A)

     3,120       2,472  

2.875%, 10/15/2026 (A)

     180       154  

Ryan Specialty Group

               

4.375%, 02/01/2030 (A)

     1,695       1,468  

Sabre GLBL

               

9.250%, 04/15/2025 (A)

     98       98  

TTMT Escrow Issuer

               

8.625%, 09/30/2027 (A)

     419       421  

United Wholesale Mortgage

               

5.750%, 06/15/2027 (A)

     1,230       1,059  

 

 

 

154

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Verscend Escrow

               

9.750%, 08/15/2026 (A)

   $ 782     $ 766  

VistaJet Malta Finance

               

6.375%, 02/01/2030 (A)

     8,927       7,158  

WeWork

               

7.875%, 05/01/2025 (A)

     3,135       1,191  
                 
              90,443  
                 

Health Care — 6.6%

        

1375209 BC Ltd

               

9.000%, 01/30/2028 (A)

     1,408       1,371  

180 Medical Inc

               

3.875%, 10/15/2029 (A)

     200       172  

Acadia Healthcare

               

5.500%, 07/01/2028 (A)

     441       418  

5.000%, 04/15/2029 (A)

     1,213       1,116  

AHP Health Partners

               

5.750%, 07/15/2029 (A)

     251       196  

Air Methods

               

8.000%, 05/15/2025 (A)

     2,241       112  

Akumin

               

7.000%, 11/01/2025 (A)

     3,280       2,349  

Akumin Escrow

               

7.500%, 08/01/2028 (A)

     1,075       655  

AthenaHealth Group

               

6.500%, 02/15/2030 (A)

     2,651       1,954  

Avantor Funding

               

4.625%, 07/15/2028 (A)

     574       522  

3.875%, 11/01/2029 (A)

     2,166       1,819  

Bausch Health

               

14.000%, 10/15/2030 (A)

     281       167  

9.000%, 12/15/2025 (A)

     1,765       1,393  

5.750%, 08/15/2027 (A)

     220       150  

5.500%, 11/01/2025 (A)

     980       832  

5.250%, 01/30/2030 (A)

     4,395       2,108  

5.250%, 02/15/2031 (A)

     848       411  

5.000%, 01/30/2028 (A)

     215       103  

5.000%, 02/15/2029 (A)

     445       213  

4.875%, 06/01/2028 (A)

     1,430       910  

Bausch Health Americas

               

9.250%, 04/01/2026 (A)

     385       269  

8.500%, 01/31/2027 (A)

     444       232  

Bristol-Myers Squibb

               

2.550%, 11/13/2050

    1,755       1,099  

Centene

               

4.625%, 12/15/2029

    1,107       1,012  

4.250%, 12/15/2027

    2,656       2,491  

3.375%, 02/15/2030

    1,440       1,217  

2.625%, 08/01/2031

    2,490       1,957  

2.500%, 03/01/2031

    3,124       2,444  

Charles River Laboratories International

               

4.000%, 03/15/2031 (A)

     750       649  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.750%, 03/15/2029 (A)

   $ 250     $ 221  

CHS

               

8.000%, 03/15/2026 (A)

     470       428  

6.875%, 04/01/2028 (A)

     2,055       986  

6.125%, 04/01/2030 (A)

     319       158  

6.000%, 01/15/2029 (A)

     250       209  

5.625%, 03/15/2027 (A)

     165       141  

5.250%, 05/15/2030 (A)

     1,077       812  

4.750%, 02/15/2031 (A)

     240       174  

DaVita

               

4.625%, 06/01/2030 (A)

     520       418  

3.750%, 02/15/2031 (A)

     583       435  

Elanco Animal Health

               

6.400%, 08/28/2028

    25       24  

Embecta

               

6.750%, 02/15/2030 (A)

     335       302  

5.000%, 02/15/2030 (A)

     940       795  

Emergent BioSolutions

               

3.875%, 08/15/2028 (A)

     307       153  

Encompass Health

               

4.750%, 02/01/2030

    1,521       1,336  

4.500%, 02/01/2028

    425       386  

Endo DAC

               

9.500%, 07/31/2027 (A)(D)

     1,406       197  

6.000%, 06/30/2028 (A)(D)

     1,302       68  

Endo Luxembourg Finance I S.a.r.l.

               

6.125%, 04/01/2029 (A)(D)

     1,035       785  

Envision Healthcare

               

8.750%, 10/15/2026 (A)

     1,895       521  

Global Medical Response

               

6.500%, 10/01/2025 (A)

     4,110       2,942  

Grifols Escrow Issuer

               

4.750%, 10/15/2028 (A)

     200       173  

HCA

               

5.875%, 02/15/2026

    1,049       1,056  

5.875%, 02/01/2029

    780       778  

3.500%, 09/01/2030

    1,676       1,445  

Hologic

               

3.250%, 02/15/2029 (A)

     258       222  

IQVIA

               

5.000%, 10/15/2026 (A)

     605       578  

Lannett

               

7.750%, 04/15/2026 (A)

     2,965       771  

Legacy LifePoint Health

               

4.375%, 02/15/2027 (A)

     2,916       2,466  

LifePoint Health

               

5.375%, 01/15/2029 (A)

     1,406       794  

Mallinckrodt International Finance

               

11.500%, 12/15/2028 (A)

     575       491  

10.000%, 06/15/2029 (A)

     235       126  

Medline Borrower

               

5.250%, 10/01/2029 (A)

     892       708  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

155

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.875%, 04/01/2029 (A)

   $ 4,456     $ 3,591  

ModivCare Escrow Issuer

               

5.000%, 10/01/2029 (A)

     720       607  

Molina Healthcare

               

4.375%, 06/15/2028 (A)

     1,966       1,794  

Organon

               

5.125%, 04/30/2031 (A)

     2,821       2,443  

4.125%, 04/30/2028 (A)

     1,206       1,068  

Owens & Minor

               

6.625%, 04/01/2030 (A)

     750       645  

4.500%, 03/31/2029 (A)

     467       372  

Par Pharmaceutical

               

7.500%, 04/01/2027 (A)(D)

     1,353       1,028  

Pediatrix Medical Group

               

5.375%, 02/15/2030 (A)

     2,299       1,998  

PRA Health Sciences

               

2.875%, 07/15/2026 (A)

     1,331       1,205  

Prime Security Services Borrower

               

3.375%, 08/31/2027 (A)

     679       586  

Radiology Partners

               

9.250%, 02/01/2028 (A)

     974       547  

Royalty Pharma

               

2.200%, 09/02/2030

    691       540  

RP Escrow Issuer

               

5.250%, 12/15/2025 (A)

     3,211       2,452  

Syneos Health

               

3.625%, 01/15/2029 (A)

     1,212       965  

Tenet Healthcare

               

6.250%, 02/01/2027 (A)

     733       704  

6.125%, 10/01/2028 (A)

     470       421  

6.125%, 06/15/2030 (A)

     1,191       1,135  

5.125%, 11/01/2027 (A)

     663       617  

4.875%, 01/01/2026 (A)

     3,511       3,320  

4.625%, 07/15/2024

    1,436       1,400  

4.625%, 06/15/2028 (A)

     2,434       2,178  

4.375%, 01/15/2030 (A)

     710       615  

4.250%, 06/01/2029 (A)

     205       178  

Universal Health Services

               

1.650%, 09/01/2026 (A)

     352       302  

US Acute Care Solutions

               

6.375%, 03/01/2026 (A)

     1,928       1,711  

US Renal Care

               

10.625%, 07/15/2027 (A)

     2,010       437  

Varex Imaging

               

7.875%, 10/15/2027 (A)

     946       940  
                 
              83,239  
                 

Industrials — 7.0%

        

ACCO Brands

               

4.250%, 03/15/2029 (A)

     545       450  

ADT Security

               

4.875%, 07/15/2032 (A)

     1,563       1,328  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.125%, 08/01/2029 (A)

   $ 271     $ 231  

Air Canada

               

3.875%, 08/15/2026 (A)

     1,084       960  

Allegiant Travel

               

7.250%, 08/15/2027 (A)

     858       816  

Allied Universal Holdco

               

6.625%, 07/15/2026 (A)

     185       169  

4.625%, 06/01/2028 (A)

     400       327  

Allison Transmission

               

5.875%, 06/01/2029 (A)

     210       197  

4.750%, 10/01/2027 (A)

     545       505  

3.750%, 01/30/2031 (A)

     1,485       1,221  

American Airlines

               

5.750%, 04/20/2029 (A)

     5,056       4,621  

5.500%, 04/20/2026 (A)

     2,287       2,199  

American Airlines Group

               

3.750%, 03/01/2025 (A)

     1,988       1,684  

American Builders & Contractors Supply

               

4.000%, 01/15/2028 (A)

     1,692       1,510  

APi Group DE

               

4.750%, 10/15/2029 (A)

     623       540  

4.125%, 07/15/2029 (A)

     214       177  

Artera Services

               

9.033%, 12/04/2025 (A)

     1,443       1,202  

ATS Corp

               

4.125%, 12/15/2028 (A)

     270       233  

Avianca Midco 2

               

9.000%, 12/01/2028 (A)

     1,763       1,305  

Avis Budget Car Rental

               

5.750%, 07/15/2027 (A)

     315       285  

5.375%, 03/01/2029 (A)

     598       512  

Boeing

               

3.625%, 02/01/2031

    824       722  

Bombardier

               

7.875%, 04/15/2027 (A)

     2,881       2,795  

7.500%, 03/15/2025 (A)

     407       403  

7.125%, 06/15/2026 (A)

     425       412  

Builders FirstSource

               

6.375%, 06/15/2032 (A)

     236       222  

4.250%, 02/01/2032 (A)

     1,363       1,105  

BWX Technologies

               

4.125%, 06/30/2028 (A)

     762       685  

4.125%, 04/15/2029 (A)

     969       848  

CDW

               

4.250%, 04/01/2028

    370       341  

3.250%, 02/15/2029

    171       146  

Chart Industries

               

9.500%, 01/01/2031 (A)

     812       833  

7.500%, 01/01/2030 (A)

     119       120  

CoreCivic

               

8.250%, 04/15/2026

    267       274  

 

 

 

156

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

CoreLogic

               

4.500%, 05/01/2028 (A)

   $ 2,471     $ 1,896  

CP Atlas Buyer

               

7.000%, 12/01/2028 (A)

     2,385       1,771  

Delta Air Lines

               

4.750%, 10/20/2028 (A)

     399       375  

Deluxe

               

8.000%, 06/01/2029 (A)

     2,480       2,040  

Dycom Industries

               

4.500%, 04/15/2029 (A)

     333       290  

EnerSys

               

4.375%, 12/15/2027 (A)

     559       503  

EnPro Industries

               

5.750%, 10/15/2026

    232       225  

First Student Bidco

               

4.000%, 07/31/2029 (A)

     15       12  

Fortress Transportation and Infrastructure Investors

               

5.500%, 05/01/2028 (A)

     980       836  

Garda World Security

               

9.500%, 11/01/2027 (A)

     310       299  

6.000%, 06/01/2029 (A)

     242       197  

GFL Environmental

               

5.125%, 12/15/2026 (A)

     335       320  

4.375%, 08/15/2029 (A)

     1,264       1,071  

4.000%, 08/01/2028 (A)

     269       230  

3.500%, 09/01/2028 (A)

     3,013       2,649  

Global Infrastructure Solutions

               

7.500%, 04/15/2032 (A)

     175       139  

5.625%, 06/01/2029 (A)

     332       259  

GrafTech Finance

               

4.625%, 12/15/2028 (A)

     2,410       1,979  

Granite US Holdings

               

11.000%, 10/01/2027 (A)

     1,215       1,280  

Griffon

               

5.750%, 03/01/2028

    500       458  

H&E Equipment Services

               

3.875%, 12/15/2028 (A)

     2,460       2,095  

Harsco

               

5.750%, 07/31/2027 (A)

     465       367  

Hawaiian Brand Intellectual Property

               

5.750%, 01/20/2026 (A)

     2,146       1,942  

Hertz

               

5.000%, 12/01/2029 (A)

     479       363  

4.625%, 12/01/2026 (A)

     465       389  

Icahn Enterprises

               

4.375%, 02/01/2029

    523       442  

IEA Energy Services

               

6.625%, 08/15/2029 (A)

     1,225       1,152  

JELD-WEN

               

6.250%, 05/15/2025 (A)

     235       220  

4.875%, 12/15/2027 (A)

     225       169  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.625%, 12/15/2025 (A)

   $ 355     $ 297  

Korn Ferry

               

4.625%, 12/15/2027 (A)

     2,522       2,323  

Madison IAQ

               

5.875%, 06/30/2029 (A)

     493       338  

4.125%, 06/30/2028 (A)

     170       142  

Masonite International

               

5.375%, 02/01/2028 (A)

     298       276  

MasTec

               

4.500%, 08/15/2028 (A)

     433       388  

Mileage Plus Holdings

               

6.500%, 06/20/2027 (A)

     500       497  

MIWD Holdco II

               

5.500%, 02/01/2030 (A)

     221       176  

Monitronics International (Escrow Security)

               

9.125%, 04/01/2020 (B)(D)

     5,936       –  

PGT Innovations

               

4.375%, 10/01/2029 (A)

     133       111  

Prime Security Services Borrower

               

5.750%, 04/15/2026 (A)

     1,189       1,144  

Raytheon Technologies

               

3.030%, 03/15/2052

    780       529  

2.820%, 09/01/2051

    1,115       722  

Sensata Technologies

               

4.375%, 02/15/2030 (A)

     788       686  

4.000%, 04/15/2029 (A)

     816       704  

3.750%, 02/15/2031 (A)

     109       90  

Signature Aviation US Holdings

               

4.000%, 03/01/2028 (A)

     1,133       1,073  

Spirit AeroSystems

               

9.375%, 11/30/2029 (A)

     170       179  

7.500%, 04/15/2025 (A)

     268       265  

4.600%, 06/15/2028

    2,460       1,986  

Standard Industries

               

5.000%, 02/15/2027 (A)

     30       28  

4.750%, 01/15/2028 (A)

     768       691  

3.375%, 01/15/2031 (A)

     88       66  

Stericycle

               

3.875%, 01/15/2029 (A)

     284       248  

Team Health Holdings

               

6.375%, 02/01/2025 (A)

     3,363       1,938  

Terex

               

5.000%, 05/15/2029 (A)

     335       301  

TK Elevator US Newco

               

5.250%, 07/15/2027 (A)

     1,548       1,374  

TransDigm

               

6.250%, 03/15/2026 (A)

     2,275       2,244  

5.500%, 11/15/2027

    1,982       1,861  

4.625%, 01/15/2029

    988       869  

Triumph Group

               

7.750%, 08/15/2025

    730       621  

6.250%, 09/15/2024 (A)

     70       66  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

157

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Tutor Perini

               

6.875%, 05/01/2025 (A)

   $ 5,216     $ 4,564  

Uber Technologies

               

7.500%, 09/15/2027 (A)

     135       135  

4.500%, 08/15/2029 (A)

     244       213  

United Airlines

               

4.625%, 04/15/2029 (A)

     1,274       1,109  

4.375%, 04/15/2026 (A)

     2,232       2,069  

United Rentals North America

               

6.000%, 12/15/2029 (A)

     2,358       2,343  

4.875%, 01/15/2028

    875       829  

Vertiv Group

               

4.125%, 11/15/2028 (A)

     820       697  

Wabash National

               

4.500%, 10/15/2028 (A)

     240       204  

WESCO Distribution

               

7.250%, 06/15/2028 (A)

     468       474  

7.125%, 06/15/2025 (A)

     356       361  

Western Global Airlines

               

10.375%, 08/15/2025 (A)

     1,135       852  

Wolverine Escrow

               

13.125%, 11/15/2027 (A)

     100       25  

9.000%, 11/15/2026 (A)

     608       407  
                 
              89,861  
                 

Information Technology — 5.4%

        

ACI Worldwide

               

5.750%, 08/15/2026 (A)

     394       382  

Ahead DB Holdings

               

6.625%, 05/01/2028 (A)

     2,330       1,873  

ams-OSRAM

               

7.000%, 07/31/2025 (A)

     1,617       1,521  

Apple

               

2.700%, 08/05/2051

    245       161  

2.650%, 05/11/2050

    2,560       1,694  

2.650%, 02/08/2051

    460       303  

2.375%, 02/08/2041

    435       307  

Arches Buyer

               

6.125%, 12/01/2028 (A)

     1,686       1,353  

4.250%, 06/01/2028 (A)

     213       167  

Avaya

               

6.125%, 09/15/2028 (A)

     4,019       1,226  

Black Knight InfoServ

               

3.625%, 09/01/2028 (A)

     196       170  

Bread Financial Holdings

               

4.750%, 12/15/2024 (A)

     840       745  

Castle US Holding

               

9.500%, 02/15/2028 (A)

     1,205       473  

Ciena

               

4.000%, 01/31/2030 (A)

     995       876  

Clarivate Science Holdings

               

4.875%, 07/01/2029 (A)

     184       156  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.875%, 07/01/2028 (A)

   $ 164     $ 142  

Coherent

               

5.000%, 12/15/2029 (A)

     1,972       1,701  

CommScope

               

8.250%, 03/01/2027 (A)

     5,776       4,476  

7.125%, 07/01/2028 (A)

     1,635       1,169  

6.000%, 03/01/2026 (A)

     845       780  

4.750%, 09/01/2029 (A)

     359       289  

CommScope Technologies

               

6.000%, 06/15/2025 (A)

     3,267       2,973  

5.000%, 03/15/2027 (A)

     195       132  

Conduent Business Services

               

6.000%, 11/01/2029 (A)

     310       253  

Crowdstrike Holdings

               

3.000%, 02/15/2029

    926       781  

Elastic

               

4.125%, 07/15/2029 (A)

     1,278       1,032  

Entegris

               

4.375%, 04/15/2028 (A)

     182       161  

3.625%, 05/01/2029 (A)

     2,714       2,210  

Entegris Escrow

               

5.950%, 06/15/2030 (A)

     50       46  

4.750%, 04/15/2029 (A)

     2,327       2,122  

Gartner

               

4.500%, 07/01/2028 (A)

     70       65  

3.750%, 10/01/2030 (A)

     47       40  

3.625%, 06/15/2029 (A)

     184       162  

Go Daddy Operating

               

5.250%, 12/01/2027 (A)

     1,191       1,127  

Imola Merger

               

4.750%, 05/15/2029 (A)

     921       799  

Intel

               

3.200%, 08/12/2061

    1,205       755  

3.100%, 02/15/2060

    360       222  

3.050%, 08/12/2051

    2,229       1,443  

ION Trading Technologies S.A.R.L.

               

5.750%, 05/15/2028 (A)

     2,145       1,789  

Microsoft

               

2.525%, 06/01/2050

    2,229       1,467  

NCR

               

6.125%, 09/01/2029 (A)

     450       421  

5.750%, 09/01/2027 (A)

     455       435  

5.125%, 04/15/2029 (A)

     203       170  

5.000%, 10/01/2028 (A)

     147       125  

Northwest Fiber

               

4.750%, 04/30/2027 (A)

     2,100       1,848  

NVIDIA

               

2.850%, 04/01/2030

    1,254       1,094  

ON Semiconductor

               

3.875%, 09/01/2028 (A)

     471       411  

Open Text Holdings

               

4.125%, 02/15/2030 (A)

     1,792       1,437  

 

 

 

158

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Oracle

               

2.500%, 04/01/2025

  $ 1,381     $ 1,302  

Paysafe Finance

               

4.000%, 06/15/2029 (A)

     3,328       2,571  

Presidio Holdings

               

4.875%, 02/01/2027 (A)

     260       237  

PTC

               

4.000%, 02/15/2028 (A)

     502       452  

Science Applications International

               

4.875%, 04/01/2028 (A)

     1,572       1,454  

Seagate HDD Cayman

               

5.750%, 12/01/2034

    1,648       1,397  

3.375%, 07/15/2031

    829       627  

Sensata Technologies

               

5.875%, 09/01/2030 (A)

     200       190  

Sprint

               

7.625%, 02/15/2025

    1,898       1,959  

7.125%, 06/15/2024

    1,307       1,333  

Sprint Capital

               

8.750%, 03/15/2032

    1,898       2,259  

SS&C Technologies

               

5.500%, 09/30/2027 (A)

     602       564  

Synaptics

               

4.000%, 06/15/2029 (A)

     1,610       1,356  

VeriSign

               

4.750%, 07/15/2027

    2,253       2,175  

Veritas US

               

7.500%, 09/01/2025 (A)

     3,850       2,652  

ViaSat

               

6.500%, 07/15/2028 (A)

     2,175       1,632  

Virtusa

               

7.125%, 12/15/2028 (A)

     1,327       1,008  

Western Digital

               

4.750%, 02/15/2026

    1,375       1,295  

Xerox Holdings

               

5.500%, 08/15/2028 (A)

     278       222  

5.000%, 08/15/2025 (A)

     278       256  
                 
              68,425  
                 

Materials — 8.1%

        

Alcoa Nederland Holding BV

               

5.500%, 12/15/2027 (A)

     600       578  

Arconic

               

6.125%, 02/15/2028 (A)

     729       684  

6.000%, 05/15/2025 (A)

     228       224  

ARD Finance

               

6.500% PIK, 06/30/2027 (A)

     3,114       2,166  

Ardagh Metal Packaging Finance USA

               

3.250%, 09/01/2028 (A)

     840       714  

Ardagh Packaging Finance

               

5.250%, 04/30/2025 (A)

     1,781       1,695  

5.250%, 08/15/2027 (A)

     1,100       823  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.125%, 08/15/2026 (A)

   $ 845     $ 732  

Ashland

               

6.875%, 05/15/2043

    851       834  

ASP Unifrax Holdings

               

5.250%, 09/30/2028 (A)

     2,203       1,773  

ATI

               

5.875%, 12/01/2027

    174       166  

5.125%, 10/01/2031

    80       70  

4.875%, 10/01/2029

    160       141  

Avient

               

7.125%, 08/01/2030 (A)

     69       67  

Axalta Coating Systems

               

4.750%, 06/15/2027 (A)

     394       364  

3.375%, 02/15/2029 (A)

     1,865       1,539  

Baffinland Iron Mines

               

8.750%, 07/15/2026 (A)

     2,595       2,459  

Ball

               

6.875%, 03/15/2028

    2,113       2,170  

3.125%, 09/15/2031

    1,308       1,050  

2.875%, 08/15/2030

    1,629       1,300  

Big River Steel

               

6.625%, 01/31/2029 (A)

     213       203  

Carpenter Technology

               

7.625%, 03/15/2030

    60       60  

6.375%, 07/15/2028

    184       175  

Celanese US Holdings

               

6.050%, 03/15/2025

    2,253       2,244  

CEMEX Materials

               

7.700%, 07/21/2025 (A)

     2,320       2,315  

CF Industries

               

5.150%, 03/15/2034

    2,394       2,266  

Chemours

               

5.750%, 11/15/2028 (A)

     1,554       1,396  

4.625%, 11/15/2029 (A)

     1,316       1,076  

Cleveland-Cliffs Inc

               

4.875%, 03/01/2031 (A)

     119       105  

4.625%, 03/01/2029 (A)

     213       189  

Cornerstone Chemical

               

6.750%, 08/15/2024 (A)

     7,235       5,788  

Crown Americas

               

4.750%, 02/01/2026

    835       811  

CVR Partners

               

6.125%, 06/15/2028 (A)

     1,301       1,167  

Domtar

               

6.750%, 10/01/2028 (A)

     2,455       2,150  

Eldorado

               

6.250%, 09/01/2029 (A)

     793       694  

Element Solutions

               

3.875%, 09/01/2028 (A)

     2,462       2,093  

ERO Copper

               

6.500%, 02/15/2030 (A)

     2,690       2,169  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

159

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

First Quantum Minerals

               

7.500%, 04/01/2025 (A)

   $ 258     $ 251  

6.500%, 03/01/2024 (A)

     1,811       1,772  

Freeport-McMoRan

               

5.450%, 03/15/2043

    1,705       1,538  

5.400%, 11/14/2034

    2,035       1,922  

4.625%, 08/01/2030

    611       569  

Glatfelter

               

4.750%, 11/15/2029 (A)

     154       93  

Graham Packaging

               

7.125%, 08/15/2028 (A)

     185       154  

INEOS Quattro Finance II

               

3.375%, 01/15/2026 (A)

     390       358  

Infrabuild Australia Pty

               

12.000%, 10/01/2024 (A)

     785       762  

Innophos Holdings

               

9.375%, 02/15/2028 (A)

     2,550       2,493  

LABL

               

10.500%, 07/15/2027 (A)

     290       270  

6.750%, 07/15/2026 (A)

     390       368  

LSB Industries

               

6.250%, 10/15/2028 (A)

     1,840       1,684  

Martin Marietta Materials

               

2.400%, 07/15/2031

    1,251       999  

Mauser Packaging Solutions Holding

               

7.250%, 04/15/2025 (A)

     3,853       3,563  

5.500%, 04/15/2024 (A)

     865       841  

Methanex

               

5.125%, 10/15/2027

    786       729  

Mineral Resources

               

8.125%, 05/01/2027 (A)

     2,420       2,437  

Mineral Resources MTN

               

8.500%, 05/01/2030 (A)

     235       238  

8.000%, 11/01/2027 (A)

     105       107  

Mountain Province Diamonds

               

9.000%, 12/15/2025

    2,191       2,125  

NMG Holding

               

7.125%, 04/01/2026 (A)

     1,685       1,579  

Northwest Acquisitions ULC

               

7.125%, 11/01/2022 (A)(B)(D)(E)

     2,115       –  

NOVA Chemicals

               

5.250%, 06/01/2027 (A)

     590       530  

5.000%, 05/01/2025 (A)

     889       837  

4.875%, 06/01/2024 (A)

     300       290  

4.250%, 05/15/2029 (A)

     213       174  

Novelis

               

4.750%, 01/30/2030 (A)

     270       239  

3.875%, 08/15/2031 (A)

     2,104       1,718  

3.250%, 11/15/2026 (A)

     166       149  

OI European Group BV

               

4.750%, 02/15/2030 (A)

     2,010       1,760  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Owens-Brockway Glass Container

               

6.625%, 05/13/2027 (A)

   $ 347     $ 337  

5.875%, 08/15/2023 (A)

     204       203  

Pactiv Evergreen Group Issuer

               

4.000%, 10/15/2027 (A)

     1,093       970  

Polar US Borrower

               

6.750%, 05/15/2026 (A)

     3,481       1,288  

Rain CII Carbon

               

7.250%, 04/01/2025 (A)

     3,675       3,387  

SCIH Salt Holdings

               

6.625%, 05/01/2029 (A)

     4,570       3,681  

4.875%, 05/01/2028 (A)

     336       288  

Scotts Miracle-Gro

               

4.500%, 10/15/2029

    84       68  

4.375%, 02/01/2032

    212       160  

4.000%, 04/01/2031

    470       359  

Smyrna Ready Mix Concrete

               

6.000%, 11/01/2028 (A)

     790       707  

Summit Materials

               

5.250%, 01/15/2029 (A)

     1,704       1,586  

Tacora Resources

               

8.250%, 05/15/2026 (A)

     1,685       1,213  

Taseko Mines

               

7.000%, 02/15/2026 (A)

     1,659       1,459  

Trident TPI Holdings

               

9.250%, 08/01/2024 (A)

     2,168       2,060  

TriMas

               

4.125%, 04/15/2029 (A)

     294       257  

Trinseo Materials Operating

               

5.375%, 09/01/2025 (A)

     460       378  

5.125%, 04/01/2029 (A)

     156       101  

Trivium Packaging Finance BV

               

8.500%, 08/15/2027 (A)

     200       184  

5.500%, 08/15/2026 (A)

     599       549  

Tronox

               

4.625%, 03/15/2029 (A)

     4,329       3,598  

United States Steel

               

6.875%, 03/01/2029

    293       284  

Valvoline

               

3.625%, 06/15/2031 (A)

     1,409       1,156  

Venator Finance Sarl

               

9.500%, 07/01/2025 (A)

     250       180  

5.750%, 07/15/2025 (A)

     280       96  

WR Grace Holdings

               

5.625%, 08/15/2029 (A)

     103       83  

4.875%, 06/15/2027 (A)

     300       266  
                 
              99,897  
                 

Real Estate — 2.3%

        

American Tower

               

3.700%, 10/15/2049

    150       106  

3.100%, 06/15/2050

    565       356  

 

 

 

160

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.950%, 01/15/2051

  $ 1,230     $ 761  

2.100%, 06/15/2030

    1,378       1,091  

Brookfield Property REIT

               

5.750%, 05/15/2026 (A)

     153       140  

Crown Castle

               

3.250%, 01/15/2051

    225       146  

2.900%, 04/01/2041

    1,310       897  

Cushman & Wakefield US Borrower

               

6.750%, 05/15/2028 (A)

     405       386  

Diversified Healthcare Trust

               

9.750%, 06/15/2025

    406       389  

4.750%, 05/01/2024

    450       380  

4.375%, 03/01/2031

    1,725       1,094  

Howard Hughes

               

5.375%, 08/01/2028 (A)

     1,071       965  

Iron Mountain

               

5.250%, 03/15/2028 (A)

     756       695  

5.250%, 07/15/2030 (A)

     865       752  

5.000%, 07/15/2028 (A)

     255       229  

4.875%, 09/15/2029 (A)

     2,554       2,228  

4.500%, 02/15/2031 (A)

     268       220  

Outfront Media Capital

               

4.250%, 01/15/2029 (A)

     2,335       1,937  

Prologis

               

3.000%, 04/15/2050

    475       318  

2.125%, 10/15/2050

    920       510  

Realogy Group

               

5.250%, 04/15/2030 (A)

     367       268  

RHP Hotel Properties

               

4.750%, 10/15/2027

    798       722  

4.500%, 02/15/2029 (A)

     269       232  

SBA Communications

               

3.125%, 02/01/2029

    1,320       1,098  

Service Properties Trust

               

5.500%, 12/15/2027

    460       396  

4.950%, 02/15/2027

    2,340       1,843  

4.500%, 06/15/2023

    547       538  

4.375%, 02/15/2030

    3,820       2,524  

3.950%, 01/15/2028

    215       153  

Uniti Group

               

6.000%, 01/15/2030 (A)

     1,383       875  

VICI Properties

               

5.750%, 02/01/2027 (A)

     204       199  

5.625%, 05/01/2024 (A)

     185       183  

4.625%, 06/15/2025 (A)

     261       250  

4.625%, 12/01/2029 (A)

     598       544  

4.500%, 09/01/2026 (A)

     125       118  

4.500%, 01/15/2028 (A)

     95       87  

4.250%, 12/01/2026 (A)

     429       400  

4.125%, 08/15/2030 (A)

     2,956       2,587  

3.875%, 02/15/2029 (A)

     227       199  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.750%, 02/15/2027 (A)

   $ 2,040     $ 1,852  
                 
              28,668  
                 

Utilities — 1.4%

        

Calpine

               

5.000%, 02/01/2031 (A)

     175       147  

4.625%, 02/01/2029 (A)

     225       193  

Clearway Energy Operating LLC

               

3.750%, 02/15/2031 (A)

     2,394       1,988  

Duke Energy Carolinas

               

6.050%, 04/15/2038

    418       440  

Florida Power & Light

               

2.450%, 02/03/2032

    845       704  

NRG Energy

               

6.625%, 01/15/2027

    54       54  

5.750%, 01/15/2028

    155       145  

5.250%, 06/15/2029 (A)

     335       296  

3.875%, 02/15/2032 (A)

     1,011       759  

3.625%, 02/15/2031 (A)

     3,164       2,405  

3.375%, 02/15/2029 (A)

     145       117  

PacifiCorp

               

5.750%, 04/01/2037

    418       425  

Pattern Energy Operations

               

4.500%, 08/15/2028 (A)

     1,659       1,487  

PG&E

               

5.250%, 07/01/2030

    63       57  

5.000%, 07/01/2028

    284       259  

Pike

               

5.500%, 09/01/2028 (A)

     2,292       2,004  

Solaris Midstream Holdings

               

7.625%, 04/01/2026 (A)

     980       975  

Vistra

               

7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(A)(F)(G)

     1,050       955  

Vistra Operations

               

5.625%, 02/15/2027 (A)

     1,660       1,575  

5.000%, 07/31/2027 (A)

     1,826       1,695  

4.375%, 05/01/2029 (A)

     1,401       1,207  

4.300%, 07/15/2029 (A)

     375       338  
                 
              18,225  
                 

Total Corporate Obligations

                

(Cost $1,168,488) ($ Thousands)

             982,370  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

161

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES — 9.0%

Other Asset-Backed Securities — 9.0%

        
         

Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9

                

4.423%, ICE LIBOR USD 1 Month + 0.550%, 03/15/2019 (A)(B)(D)(F)(H)

   $ 587     $ 18  

Ares XXXIV CLO, Ser 2020-2A, Cl FR

                

12.679%, ICE LIBOR USD 3 Month + 8.600%, 04/17/2033 (A)(B)(F)

     1,446       1,173  

B&M CLO, Ser 2014-1A, Cl E

                

9.829%, ICE LIBOR USD 3 Month + 5.750%, 04/16/2026 (A)(B)(F)

     450       184  

Battalion CLO VII, Ser 2014-7A, Cl SUB

                

0.000%, 07/17/2028 (A)(B)(C)(F)

     4,490       123  

Battalion CLO VIII, Ser 2015-8A, Cl SUB

                

0.000%, 07/18/2030 (A)(B)(C)(F)

     3,390       1,356  

Battalion CLO X, Ser 2016-10A, Cl SUB

                

0.000%, 01/25/2035 (A)(B)(C)(F)

     4,450       3,560  

Battalion CLO XI, Ser 2017-11A, Cl SUB

                

0.000%, 04/24/2034 (A)(B)(C)(F)

     5,857       3,485  

Battalion CLO XII, Ser 2018-12A, Cl SUB

                

0.000%, 05/17/2031 (A)(B)(C)(F)

     4,663       2,331  

Battalion CLO XIV, Ser 2019-14A

                

0.000%, 04/20/2032 (B)(C)

     3,427       2,570  

Battalion CLO XVI, Ser 2019-16A, Cl SUB

                

0.000%, 12/19/2032 (A)(B)(C)(F)

     2,128       1,383  

Battalion CLO XX, Ser 2021-20A

                

0.000%, 07/15/2034 (B)(C)

     4,839       3,291  

Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB

                

0.000%, 07/20/2029 (A)(B)(C)(F)

     2,531       278  

Benefit Street Partners CLO IV

                

0.000%, 07/20/2026 (A)(B)(I)

     7       2,596  

Benefit Street Partners CLO IX

                

0.000%, 07/20/2025 (A)(B)(I)

     2,293       940  

Benefit Street Partners CLO V

                

0.000%, 10/20/2026 (A)(B)(I)

     6,387       –  

Benefit Street Partners CLO V-B

                

0.000%, 04/20/2031 (B)(C)

     10,259       3,601  

Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB

                

0.000%, 10/18/2029 (A)(B)(C)(F)

     7,502       2,785  

Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB

                

0.000%, 07/18/2027 (B)(C)(F)

     6,715       25  

Benefit Street Partners CLO VIII

                

0.000%, 01/20/2028 (A)(B)(C)

     6,720       2,419  

Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB

                

0.000%, 04/20/2034 (A)(B)(C)(F)

     7,631       3,510  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB

                

0.000%, 04/20/2031 (A)(B)(C)(F)

   $ 3,809     $ 1,794  

Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB

                

0.000%, 10/15/2034 (A)(B)(C)(F)

     3,486       2,426  

Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB

                

0.000%, 07/15/2034 (A)(B)(C)(F)

     2,261       1,772  

Benefit Street Partners CLO XXIII, Ser 2021-23A

                

0.000%, 04/25/2034 (B)(C)

     5,130       3,654  

Blue Ridge CLO II, Ser 2014-2A, Cl E

                

6.844%, ICE LIBOR USD 3 Month + 5.800%, 07/18/2026 (A)(B)(D)(F)

     2,571       –  

Cathedral Lake CLO III, Ser 2015-3A, Cl SUB

                

0.000%, 01/15/2026 (A)(B)(C)(F)

     2,725       845  

Cathedral Lake V, Ser 2018-5A, Cl SUB

                

0.000%, 10/21/2030 (A)(B)(C)(F)

     3,139       942  

First Eagle Clarendon Fund CLO, Ser 2015-1A, Cl E

                

10.408%, ICE LIBOR USD 3 Month + 6.050%, 01/25/2027 (A)(B)(F)

     1,345       1,320  

Great Lakes CLO, Ser 2015-1A, Cl ER

                

11.439%, ICE LIBOR USD 3 Month + 7.360%, 01/16/2030 (A)(B)(F)

     3,253       2,858  

Great Lakes CLO, Ser 2015-1A, Cl FR

                

14.079%, ICE LIBOR USD 3 Month + 10.000%, 01/16/2030 (A)(B)(F)

     1,198       962  

Great Lakes CLO, Ser 2015-1A, Cl SUB

                

0.000%, 01/16/2030 (A)(B)(C)(F)

     4,519       1,853  

Great Lakes CLO, Ser 2017-1A, Cl ER

                

11.579%, ICE LIBOR USD 3 Month + 7.500%, 10/15/2029 (A)(B)(F)

     3,321       2,968  

Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A, Cl SUB

                

0.000%, 10/20/2033 (A)(B)(C)(F)

     2,484       1,304  

Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB

                

0.000%, 07/20/2033 (A)(B)(C)(F)

     651       446  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D

                

11.264%, ICE LIBOR USD 3 Month + 7.070%, 04/18/2030 (A)(B)(F)

     1,559       1,318  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB

                

0.000%, 04/18/2030 (A)(B)(C)(F)

     1,169       748  

LCM CLO, Ser 31A

                

0.000%, 01/20/2032 (B)(C)

     1,115       754  

Lockwood Grove CLO, Ser 2014-1A, Cl SUB

                

0.000%, 01/25/2030 (A)(B)(C)(F)

     3,797       1,595  

 

 

 

162

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Lockwood Grove CLO, Ser 2018-1A, Cl ERR

                

10.208%, ICE LIBOR USD 3 Month + 5.850%, 01/25/2030 (A)(B)(F)

   $ 2,499     $ 2,068  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB

                

0.000%, 10/17/2027 (A)(B)(C)(F)

     3,640       1,383  

Neuberger Berman Loan Advisers CLO XLI, Ser 2021-41

                

0.000%, 04/15/2034 (B)(C)

     1,924       1,370  

Neuberger Berman Loan Advisers CLO XXXIX, Ser 2020-39

                

0.000%, 01/20/2032 (B)(C)

     3,294       1,960  

Neuberger Berman Loan Advisers CLO XXXVIII

                

0.000%, 10/20/2032 (B)(C)

     3,438       2,227  

Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl INC

                

0.000%, 04/20/2033 (A)(B)(C)(F)

     1,095       658  

Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl SPIN

                

0.114%, 04/20/2033 (A)(B)(F)

     14       9  

NewStar Exeter Fund CLO, Ser 2015-1A, Cl E

                

11.443%, ICE LIBOR USD 3 Month + 7.200%, 01/20/2027 (A)(B)(F)

     2,058       2,027  

NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB

                

0.000%, 04/20/2030 (A)(B)(C)(F)

     7,983       2,829  

OCP CLO, Ser 2017-14A, Cl SUB

                

0.000%, 11/20/2030 (A)(B)(C)(F)

     1,655       662  

OCP CLO, Ser 2020-19A, Cl SUB

                

0.000%, 10/20/2034 (A)(B)(C)(F)

     1,224       1,046  

OCP CLO, Ser 2021-21A

                

0.000%, 07/20/2034 (B)(C)

     4,413       3,349  

Shackleton CLO, Ser 2014-6RA

                

0.000%, 07/17/2028 (B)(C)

     6,388       192  

Shackleton CLO, Ser 2019-14A, Cl SUB

                

0.000%, 07/20/2034 (A)(B)(C)(F)

     1,999       1,179  

TCP Whitney CLO, Ser 2017-1I, Cl SUB

                

0.000%, 08/20/2029 (B)(C)(F)

     9,085       5,858  

TCW CLO, Ser 2017-1A, Cl SUB

                

0.000%, 10/29/2034 (A)(B)(C)(F)

     4,194       2,391  

TCW CLO, Ser 2018-1A, Cl SUB

                

0.000%, 04/25/2031 (A)(B)(C)(F)

     2,978       1,707  

TCW CLO, Ser 2019-2A, Cl SUB

                

0.000%, 10/20/2032 (A)(B)(C)(F)

     3,528       2,046  

TCW CLO, Ser 2020-1

                

0.000%, 04/20/2028 (B)(C)

     5,352       2,944  

Venture CLO, Ser 2018-35A, Cl SUB

                

0.000%, 10/22/2031 (A)(B)(C)(F)

     11,892       3,805  

Venture XXV CLO, Ser 2016-25A, Cl SUB

                

0.000%, 04/20/2029 (A)(B)(C)(F)

     2,030       508  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Venture XXVI CLO, Ser 2017-26A, Cl SUB

                

0.000%, 01/20/2029 (A)(B)(C)(F)

   $ 1,609     $ 354  

Venture XXVIII CLO, Ser 2017-28A, Cl SUB

                

0.000%, 07/20/2030 (A)(B)(C)(F)

     3,228       1,081  

Voya CLO, Ser 2020-2

                

0.000%, 07/19/2034 (B)(C)

     4,915       4,131  

Wind River CLO, Ser 2021-3

                

0.000%, 07/20/2033 (B)(C)

     6,577       4,538  
                 
                 

Total Asset-Backed Securities

                

(Cost $68,369) ($ Thousands)

             113,509  
                 
                 

LOAN PARTICIPATIONS — 8.2%

1236904 B.C. Ltd., Initial Term Loan, 1st Lien

                

9.884%, LIBOR + 5.500%, 03/04/2027 (F)

     174       166  

AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Initial Term Loan, 1st Lien

                

8.993%, LIBOR + 4.750%, 04/20/2028 (F)(J)

     100       99  

ACProducts Holdings, Inc., Initial Term Loan, 1st Lien

                

8.980%, LIBOR + 4.250%, 05/17/2028 (F)

     331       246  

Adient U.S. LLC, Term B-1 Loan, 1st Lien

                

7.634%, LIBOR + 3.500%, 04/10/2028 (F)

     279       276  

Alchemy US Holdco 1, LLC, Initial Term Loan, 1st Lien

                

9.884%, LIBOR + 5.500%, 10/10/2025 (F)

     984       915  

Alvogen Pharma U.S. Inc., June 2002 Loan

                

12.230%, CME Term SOFR + 7.500%, 06/30/2025 (F)

     1,801       1,567  

AP Core Holdings II, LLC, Term B-1 Loan, 1st Lien

                

9.884%, LIBOR + 5.500%, 09/01/2027 (F)

     307       277  

AP Core Holdings II, LLC, Term B-2 Loan, 1st Lien

                

9.884%, LIBOR + 5.500%, 09/01/2027 (F)

     1,000       897  

Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien

                

17.500%, 12/31/2027 (B)

     1,199       1,193  

Avaya Inc., Tranche B-1 Term Loan, 1st Lien

                

8.568%, LIBOR + 4.250%, 12/15/2027 (F)(J)

     311       104  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

163

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Avaya Inc., Tranche B-2 Term Loan, 1st Lien

                

8.318%, LIBOR + 4.000%, 12/15/2027 (F)(J)

   $ 586     $ 197  

Bausch Health Companies Inc., Second Amendment Term Loan, 1st Lien

                

9.667%, CME Term SOFR + 5.250%, 02/01/2027 (F)(J)

     2,234       1,690  

Blackhawk Network Cov-Lite, Term Loan, 2nd Lien

                

10.938%, 06/15/2026

    1,412       1,201  

Boardriders Inc., Closing Date Tranche A Loan, 1st Lien

                

10.867%, LIBOR + 6.500%, 10/23/2023 (B)(E)(F)

     382       374  

Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien

                

10.867%, LIBOR + 6.500%, 04/23/2024 (E)(F)

     1,635       1,349  

BWay Holding Co., Initial Term Loan, 1st Lien

                

7.370%, LIBOR + 3.250%, 04/03/2024 (F)(J)

     1,085       1,058  

BYJU's Alpha Inc., Initial Term Loan

                

10.699%, LIBOR + 6.000%, 11/24/2026 (F)(J)

     2,781       2,199  

Caesars Resort Collection, LLC, Term B Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 12/23/2024 (F)

     1,736       1,730  

Carestream Take Back, 1st Lien

                

12.180%, CME Term SOFR + 7.500%, 09/30/2027 (B)(F)

     1,312       991  

Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 01/29/2027 (F)(J)

     659       401  

Cenveo, 1st Lien

                

11.781%, 12/31/2024 (B)

     466       466  

Cision, Incremental Term Loan B, 1st Lien

                

8.384%, LIBOR + 4.000%, 01/29/2027 (F)(J)

     850       516  

Claire's Stores, Inc., Initial Term Loan, 1st Lien

                

10.884%, LIBOR + 6.500%, 12/18/2026 (F)

     1,110       997  

ClubCorp Holdings, Inc., Term B Loan, 1st Lien

                

7.480%, LIBOR + 2.750%, 09/18/2024 (F)

     2,490       2,235  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

ConvergeOne Holdings, Corp., Initial Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 01/04/2026 (F)(J)

   $ 2,377     $ 1,365  

Delivery Hero, 1st Lien

                

10.008%, CME Term SOFR + 5.750%, 08/12/2027 (F)(J)

     1,082       1,038  

Delta Topco, Inc., Initial Term Loan, 2nd Lien

                

11.654%, CME Term SOFR + 7.250%, 12/01/2028 (F)

     877       683  

DexKo Global Inc., Closing Date Dollar Term Loan, 1st Lien

                

8.480%, LIBOR + 3.750%, 10/04/2028 (F)

     121       108  

DexKo Global Inc., Term B Loan, 1st Lien

                

8.480%, LIBOR + 3.750%, 10/04/2028 (F)

     222       198  

DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 08/02/2027 (F)

     1,205       1,171  

DMT Solutions Global, Initial Term Loan

                

12.238%, LIBOR + 7.500%, 07/02/2024 (B)(F)

     542       510  

11.237%, LIBOR + 7.500%, 07/02/2024 (B)(F)

     585       550  

East Valley Tourist Development Authority , Term Loan, 1st Lien

                

11.481%, CME Term SOFR + 7.500%, 11/23/2026 (B)(F)

     2,770       2,687  

Envision Healthcare Corp., 1st Lien

                

12.605%, CME Term SOFR + 7.875%, 03/31/2027 (F)

     584       517  

Envision Healthcare Corp., Second Out Term Loan, 1st Lien

                

8.830%, CME Term SOFR + 4.250%, 03/31/2027 (F)(J)

     4,873       1,657  

Envision Healthcare Corp., Third Out Term Loan, 1st Lien

                

8.330%, CME Term SOFR + 3.750%, 03/31/2027 (F)

     814       203  

Epic Crude Services, LP, Term Loan, 1st Lien

                

9.740%, LIBOR + 5.000%, 03/02/2026 (F)

     913       810  

Epic Y-Grade Services, LP, Term Loan, 1st Lien

                

10.700%, LIBOR + 6.000%, 06/30/2027 (F)(J)

     6,697       5,961  

 

 

 

164

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

First Student Bidco Inc, Initial Term B Loan, 1st Lien

                

7.726%, LIBOR + 3.000%, 07/21/2028 (F)

   $ 243     $ 219  

First Student Bidco Inc, Initial Term C Loan, 1st Lien

                

7.726%, LIBOR + 3.000%, 07/21/2028 (F)

     90       82  

First Student Bidco Inc., 2022 Incremental Term B Loan, 1st Lien

                

8.680%, CME Term SOFR + 4.000%, 07/21/2028 (F)

     254       240  

First Student Bidco Inc., 2022 Incremental Term C Loan, 1st Lien

                

8.680%, CME Term SOFR + 4.000%, 07/21/2028 (F)

     18       17  

Foresight Energy Operating LLC, Tranche A Term Loan, 1st Lien

                

12.730%, LIBOR + 8.000%, 06/30/2027 (F)

     223       218  

Freeport LNG Investments, LLLP, 1st Lien

                

%, 11/16/2026 (J)

     679       640  

Freeport LNG Investments, LLLP, Initial Term B Loan, 1st Lien

                

7.743%, LIBOR + 3.500%, 12/21/2028 (F)(J)

     316       300  

GatesAir, Term Loan

                

13.703%, 08/01/2027 (B)(E)

     1,144       1,144  

Genesys Cloud Services Holdings I, LLC, Initial Dollar Term Loan (2020), 1st Lien

                

8.384%, LIBOR + 4.000%, 12/01/2027 (F)

     280       269  

Geon Performance Solutions, LLC, Initial Term Loan, 1st Lien

                

9.230%, LIBOR + 4.500%, 08/18/2028 (F)(J)

     1,283       1,245  

Global Medical Response, Inc., 2018 New Term Loan, 1st Lien

                

8.634%, LIBOR + 4.250%, 03/14/2025 (F)

     441       311  

Grab Holdings, Inc., Initial Term Loan, 1st Lien

                

8.890%, LIBOR + 4.500%, 01/29/2026 (F)

     2,696       2,655  

Graham Packaging Co. Inc., Initial Term Loan (2021), 1st Lien

                

7.384%, LIBOR + 3.000%, 08/04/2027 (F)

     344       337  

Gulf Finance, LLC, Term Loan, 1st Lien

                

10.970%, LIBOR + 6.750%, 08/25/2026 (F)

     2,730       2,559  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Hercules Achievement, Inc. (Varsity Brands Holding Co., Inc.), Initial Term Loan, 1st Lien

                

7.884%, LIBOR + 3.500%, 12/16/2024 (F)

   $ 302     $ 291  

Hudson River Trading LLC, Term Loan, 1st Lien

                

7.438%, CME Term SOFR + 3.000%, 03/20/2028 (F)

     1,908       1,801  

Hyland Software Inc., Term Loan 3, 1st Lien

                

7.884%, LIBOR + 3.500%, 07/01/2024 (F)

     1,987       1,958  

iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien

                

7.384%, LIBOR + 3.000%, 05/01/2026 (F)

     426       390  

Intelsat Jackson Holdings S.A., Term B Loan, 1st Lien

                

7.445%, CME Term SOFR + 4.250%, 02/01/2029 (F)

     853       822  

IRB Holding Corp., 2020 Replacement Term B Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 02/05/2025 (F)(J)

     1,460       1,445  

J.C. Penney Corporation Inc., Term Loan, 1st Lien

                

5.250%, LIBOR + 4.250%, 06/23/2023 (B)(D)(F)

     2,253       —  

Journey Personal Care Corp., Initial Term Loan, 1st Lien

                

8.980%, LIBOR + 4.250%, 03/01/2028 (F)

     2,005       1,454  

Jump Financial LLC, Term Loan, 1st Lien

                

9.342%, CME Term SOFR + 4.500%, 08/07/2028 (F)

     2,223       2,107  

KNS Acquisition Corp., Initial Term Loan, 1st Lien

                

10.420%, LIBOR + 6.250%, 04/21/2027 (F)

     1,884       1,698  

LABL, Inc., Initial Dollar Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 10/29/2028 (F)

     285       270  

LifeScan Global Corp., Initial Term Loan, 1st Lien

                

9.743%, LIBOR + 6.000%, 10/01/2024 (F)(J)

     5,688       4,078  

Lightstone Holdco LLC, Extended Term B Loan, 1st Lien

                

10.073%, CME Term SOFR + 5.750%, 02/01/2027 (F)

     1,149       1,049  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

165

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Lightstone Holdco LLC, Extended Term C Loan, 1st Lien

                

10.073%, CME Term SOFR + 5.750%, 02/01/2027 (F)

   $ 65     $ 60  

Lumileds, 1st Lien

                

13.676%, CME Term SOFR + 9.000%, 10/31/2027 (F)

     152       131  

Madison IAQ, LLC, Initial Term Loan, 1st Lien

                

7.988%, LIBOR + 3.250%, 06/21/2028 (F)

     248       230  

Magnite, Inc., Initial Term Loan, 1st Lien

                

8.570%, LIBOR + 5.000%, 04/28/2028 (F)

     630       587  

Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien

                

11.509%, LIBOR + 8.125%, 02/16/2025 (F)

     3,526       3,288  

Mavenir Systems, Inc., Initial Term Loan, 1st Lien

                

10.019%, CME Term SOFR + 5.750%, 08/18/2028 (B)(F)

     531       434  

9.424%, LIBOR + 4.750%, 08/18/2028 (B)(F)

     1,087       877  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 10/23/2028 (F)

     166       158  

Misys Limited, Dollar Term Loan, 1st Lien

                

6.871%, LIBOR + 3.500%, 06/13/2024 (F)

     830       732  

Mitnick Corporate Purchaser, Inc., Initial Term Loan, 1st Lien

                

8.944%, CME Term SOFR + 4.750%, 05/02/2029 (F)(J)

     820       766  

MLN US HoldCo, LLC, Term B Loan, 1st Lien

                

8.252%, LIBOR + 4.500%, 11/30/2025 (F)

     647       202  

Monitronics International Inc, Term Loan, 1st Lien

                

11.915%, LIBOR + 6.500%, 03/29/2024 (F)

     215       141  

Mountaineer Merger Corp., Initial Term Loan, 1st Lien

                

11.440%, LIBOR + 7.000%, 10/26/2028 (F)(J)

     1,563       1,003  

Naked Juice LLC, Initial Loan, 2nd Lien

                

10.680%, CME Term SOFR + 6.000%, 01/24/2030 (F)

     1,145       901  

Nexus Buyer LLC, Initial Term Loan, 2nd Lien

                

10.634%, LIBOR + 6.250%, 11/05/2029 (F)

     667       616  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien

                

7.165%, LIBOR + 2.750%, 10/01/2025 (F)

   $ 418     $ 412  

OLA Netherlands B.V., Initial Term Loan

                

10.675%, LIBOR + 6.250%, 12/15/2026 (F)

     2,243       2,109  

Olympus Water US Holding Corp., Initial Dollar Term Loan, 1st Lien

                

8.500%, LIBOR + 3.750%, 11/09/2028 (F)

     86       82  

Open Text Holdings Inc., 1st Lien

                

%, 11/16/2029 (F)(J)

     1,095       1,069  

Park River Holdings Inc., Initial Term Loan, 1st Lien

                

6.993%, LIBOR + 3.250%, 12/28/2027 (F)

     126       110  

Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien

                

7.835%, CME Term SOFR + 3.250%, 03/03/2028 (F)

     345       334  

Phoenix Newco, Inc., Initial Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 11/15/2028 (F)

     255       245  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

                

12.389%, LIBOR + 8.000%, 03/20/2024 (E)(F)

     574       466  

12.384%, LIBOR + 8.000%, 03/20/2024 (E)(F)

     535       434  

Quest Software US Holdings Inc., Initial Loan, 2nd Lien

                

11.594%, CME Term SOFR + 7.500%, 02/01/2030 (F)

     808       486  

Revlon Consumer Products Corp., 2016 Term Loan, 1st Lien

                

5.576%, LIBOR + 3.500%, 09/07/2023 (D)(F)

     4,875       902  

Serta Simmons Bedding, LLC, Initial Exchange Term Loan, 1st Lien

                

12.269%, LIBOR + 7.500%, 08/10/2023 (F)

     378       172  

Shutterfly, LLC, 2021 Refinancing Term B Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 09/25/2026 (F)(J)

     188       106  

Smyrna Ready Mix Concrete, LLC, Initial Term Loan, 1st Lien

                

8.673%, CME Term SOFR + 4.250%, 04/02/2029 (F)(J)

     610       597  

 

 

 

166

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

SP PF Buyer LLC, Closing Date Term Loan, 1st Lien

                

8.884%, LIBOR + 4.500%, 12/22/2025 (F)

   $ 1,486     $ 971  

SPX Flow, Inc., Term Loan, 1st Lien

                

8.923%, CME Term SOFR + 4.500%, 04/05/2029 (F)(J)

     203       189  

Staples, Inc., 2019 Refinancing New Term B-1 Loan, 1st Lien

                

7.782%, LIBOR + 5.000%, 04/16/2026 (F)

     3,010       2,778  

Summer (BC) Bidco B LLC, Additional Facility B2 (USD), 1st Lien

                

9.230%, LIBOR + 4.500%, 12/04/2026 (F)(J)

     89       82  

Sunshine Luxembourg VII S.a r.l., Facility B3, 1st Lien

                

8.480%, LIBOR + 3.750%, 10/01/2026 (F)

     776       742  

SWF Holdings I Corp., Initial Term Loan, 1st Lien

                

8.753%, LIBOR + 4.000%, 10/06/2028 (F)(J)

     1,282       1,044  

Syniverse Holdings, Initial Term Loan, 1st Lien

                

10.553%, CME Term SOFR + 7.000%, 05/13/2027 (F)

     1,661       1,443  

Team Health Holdings, Inc., Extended Term Loan, 1st Lien

                

9.573%, CME Term SOFR + 5.250%, 03/02/2027 (F)(J)

     1,878       1,404  

Team Health Holdings, Inc., Non-Extended Term Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 02/06/2024 (F)

     254       217  

Tibco Software, 2nd Lien

                

9.000%, 09/20/2029 (B)(F)

     422       354  

TK Elevator Midco GmbH, Facility B1 (USD), 1st Lien

                

6.871%, LIBOR + 3.500%, 07/30/2027 (F)(J)

     272       261  

Tortoise Borrower, LLC, Initial Term Loan, 1st Lien

                

7.915%, 01/31/2025

    1,010       598  

Travelport Finance (Luxembourg) S.a r.l., 2021 Consented Term Loan, 1st Lien

                

9.730%, LIBOR + 5.000%, 05/29/2026 (F)(J)

     951       642  

Travelport Finance (Luxembourg) S.a r.l., Initial Term Loan (Priority), 1st Lien

                

6.230%, LIBOR + 1.500%, 02/28/2025 (F)(J)

     771       771  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Traverse Midstream Partners LLC, Advance, 1st Lien

                

8.950%, CME Term SOFR + 4.250%, 09/27/2024 (F)

   $ 2,357     $ 2,349  

Triton Water Holdings, Inc., Initial Term Loan, 1st Lien

                

8.230%, LIBOR + 3.500%, 03/31/2028 (F)

     204       189  

Tutor Perini Corporation, Term Loan, 1st Lien

                

9.134%, LIBOR + 4.750%, 08/18/2027 (B)(F)

     2,031       1,904  

U.S. Renal Care, Inc., Initial Term Loan, 1st Lien

                

9.438%, LIBOR + 5.000%, 06/26/2026 (F)

     476       263  

Venator Finance S.A.R.L. (Venator Materials LLC), Initial Term Loan, 1st Lien

                

7.730%, LIBOR + 3.000%, 08/08/2024 (F)

     458       329  

VeriFone Systems, Inc., Initial Term Loan, 1st Lien

                

8.359%, LIBOR + 4.000%, 08/20/2025 (F)

     1,504       1,376  

White Cap Supply Holdings, LLC, Initial Closing Date Term Loan, 1st Lien

                

8.073%, CME Term SOFR + 3.750%, 10/19/2027 (F)

     435       420  

Wilsonart LLC, Tranche E Term Loan, 1st Lien

                

7.980%, LIBOR + 3.250%, 12/31/2026 (F)(J)

     1,019       968  
                 
                 

Total Loan Participations

                

(Cost $118,871) ($ Thousands)

             103,145  
                 
                 
   


Shares

          

COMMON STOCK — 1.2%

21st Century Oncology Private Company *(B)

     15,311       213  

Aquity Holdings *(B)

     85,745       965  

Arctic Canadian Diamond Company Ltd *(B)

     1,054       —  

Carestream Health Holdings Inc *(B)

     69,956       1,500  

CHC Group LLC *

     399       —  

Chesapeake Energy Corp

    3,418       323  

Chord Energy Corp

    2,778       380  

Clear Channel Outdoor Holdings Inc, Cl A *

     202,317       212  

Copper Property Pass-Through Certificates *(B)

     118,100       1,476  

EP Energy Corp *

     15,235       99  

Frontier Communications Parent Inc *

     14,785       377  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

167

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Guitar Center *(B)(E)

     13,905     $ 2,662  

Gulfport Energy Corp *

     7,278       536  

Gymboree Holding *(B)(E)

     10,471       —  

Gymboree Holding Corp *(B)(E)

     29,841       —  

iHeartMedia Inc *

     37,193       228  

Intelsat Jackson Holdings *(B)

     39,805       1,015  

Lumileds Common Bright Bidco *

     5,198       87  

Mallinckrodt PLC *

     8,281       64  

Medical Card Systems *(B)

     284,758       126  

Monitronics International Inc *(B)

     211,006       1,078  

MYT Holding LLC, Ser B *(B)

     274,755       79  

Neiman Marcus Group *(B)

     6,554       1,147  

Nine West FKA Premier Brands *(B)(E)

     92,548       39  

Parker Drilling Co *(B)(E)

     79,089       561  

Penney Borrower LLC *(B)

     19,723       98  

Quad/Graphics Inc *

     54       —  

Rue 21 *

     1,835       —  

SandRidge Energy Inc *

     20       —  

VICI Properties Inc ‡

     39,310       1,274  

Windstream Services *(B)

     10,897       55  
                 

Total Common Stock

               

(Cost $17,344) ($ Thousands)

             14,594  
                 
                 
                 

PREFERRED STOCK — 0.7%

Boardriders Inc., Ser A, 0.000% *(B)(E)(G)

     215,931       250  

Bowlero, 0.000% *(B)(G)

     1,110       1,132  

Claire's Stores, 0.000% *(B)(E)(G)

     823       943  

Crestwood Equity Partners, 9.250% (G)

     113,214       981  

FHLMC, 0.000% *(C)(F)(G)

     16,903       43  

FNMA, 0.000% *(C) (F)(G)

     24,650       63  

Foresight, 0.000% *(B)(G)

     32,601       342  

Guitar Center, 0.000% *(B)(E)(G)

     365       33  

Gulfport Energy, 10.000% *(B)(G)

     28       147  

Ladenburg Thalmann Financial Services, 6.500% *

     65,290       1,143  

MPLX, 8.462% *(B)(G)

     23,039       829  

MYT Holding LLC, 10.000%

     325,766       331  

Syniverse, 0.000% *(B)(G)

     2,682,813       2,575  
                 

Total Preferred Stock

               

(Cost $8,773) ($ Thousands)

             8,812  
                 
                 
   

Face Amount
(Thousands)

          

CONVERTIBLE BONDS — 0.5%

Avaya

                

8.000% , 12/15/2027

   $ 1,995       658  

Chesapeake Energy Corp (Escrow Security)

                

5.500% , 12/31/2049

     100       2  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CONVERTIBLE BONDS (continued)

DISH Network

                

3.375% , 08/15/2026

   $ 465     $ 292  

DraftKings Holdings

                

0.000%, 03/15/2028(I)

     851       526  

Liberty Interactive

                

4.000% , 11/15/2029

     123       41  

3.750% , 02/15/2030

     2,634       896  

Liberty Latin America

                

2.000% , 07/15/2024

     1,145       1,016  

North Sea Natural Resources

                

0.000%, (B)(C)(G)

     570       570  

Silver Airways LLC

                

13.000% , 12/31/2027(B)

     1,932       1,932  

Spotify USA

                

0.000%, 03/15/2026(I)

     851       685  
                 

Total Convertible Bonds

                

(Cost $9,068) ($ Thousands)

             6,618  
                 
                 
      Number of
Warrants		          

WARRANTS — 0.1%

Guitar Center, Expires 12/22/2070

                

Strike Price $100.00 *(B)(E)

     3,680       342  

Guitar Center, Expires 12/22/2070

                

Strike Price $160.00 *(B)(E)

     3,681       206  

Intelsat Jackson Holdings

                

Strike Price *‡‡(B)

     4       –  

Neiman Marcus Group

                

Strike Price *‡‡(B)

     3,938       174  

Silver Airways

                

Strike Price $– *‡‡

     –       –  

Windstream

                

Strike Price $– *‡‡(B)

     104       1  

Windstream Services

                

Strike Price $– *‡‡(B)

     12,184       61  
                 
                 

Total Warrants

                

(Cost $435) ($ Thousands)

             784  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Intelsat Jackson Holdings *‡‡(B)

     8,336       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 

 

 

 

168

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.0%

SEI Liquidity Fund, LP

                

4.240% **†(K)

     1,145     $ 1  
                 
                 

Total Affiliated Partnership

                

(Cost $1) ($ Thousands)

     1  
                 
                 
                 

CASH EQUIVALENT — 1.0%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     12,013,604       12,014  
                 

Total Cash Equivalent

                

(Cost $12,014) ($ Thousands)

             12,014  
                 
                 

Total Investments in Securities — 99.1%

                

(Cost $1,403,363) ($ Thousands)

  $ 1,241,847  
                 
                 

 

 

Percentages are based on Net Assets of $1,253,448 ($ Thousands).

 

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $819,044 ($ Thousands), representing 65.3% of the Net Assets of the Fund.

(B)

Level 3 security in accordance with fair value hierarchy.

(C)

No interest rate available.

(D)

Security is in default on interest payment.

(E)

Security considered restricted, excluding 144A. The total market value of such securities as of December 31, 2022 was $8,803 ($ Thousands) and represented 0.7% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost.

(F)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(G)

Perpetual security with no stated maturity date.

(H)

Security, or a portion thereof, is owned through a holding entity, 717 AEP Leasing, LLC.

(I)

Zero coupon security.

(J)

Unsettled bank loan. Interest rate may not be available.

(K)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of December 31, 2022 was $1 ($ Thousands).

 

 
 

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value

12/31/2022

    

Income

    

Capital Gains

  

SEI Liquidity Fund, LP

   $ 1     $ —     $ —     $ —     $ —     $ 1     $ —     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     15,930       116,232       (120,148 )     —       —       12,014       194       —  

Totals

   $ 15,931     $ 116,232     $ (120,148 )   $ —     $ —     $ 12,015     $ 194     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

169

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

High Yield Bond Fund (Concluded)

 

 

A list of the restricted securities, excluding 144a, held by the Fund at December 31, 2022, is as follow:

 

Description

  

Number of Shares/Face Amount ($ Thousands)/Number of Warrants

    

Acquisition Date

    

Cost ($ Thousands)

    

Market Value
($ Thousands)

  

Common Stock

                                

Guitar Center

     13,905    

1/8/2021

     $ 1,762     $ 2,662  

Gymboree Holding

     10,471       10/2/2017       131       –  

Gymboree Holding Corp

     29,841       10/2/2017       541       –  

Nine West FKA Premier Brands

     92,548       5/20/2019       1,967       39  

Parker Drilling Co

     76,272       3/26/2019       962       541  

Parker Drilling Co

     2,817       3/26/2019       38       20  

Corporate Obligation

                                

Aventine (Escrow Security)

   $ 2,750       4/21/2010       –       –  

Northwest Acquisitions ULC

     2,115       10/1/2019       1,493       –  

Loan Participation

                                

Boardriders Inc., Closing Date Tranche A Loan, 1st Lien

     382       9/4/2020       382       374  

Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien

     1,635       9/4/2020       1,346       1,349  

GatesAir, Term Loan

     1,144       8/9/2022       1,112       1,144  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

     574       3/21/2019       522       466  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

     535       3/21/2019       522       434  

Preferred Stock

                                

Boardriders Inc.

     215,931       9/4/2020       –       250  

Claire's Stores

     351       10/22/2018       105       790  

Claire's Stores

     472       12/10/2018       871       153  

Guitar Center

     365       1/8/2021       34       33  

Warrant

                                

Guitar Center

     3,382       1/8/2021       186       326  

Guitar Center

     3,681       1/8/2021       132       206  

Guitar Center

     298       1/8/2021       11       16  
                    $ 12,117     $ 8,803  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

170

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Conservative Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

COMMERCIAL PAPER — 37.0%

Communications — 0.9%

        

Telstra

                

4.573%, 01/04/2023 (A)

   $ 3,115     $ 3,113  
                 
                 
                 

Consumer Discretionary — 1.8%

        

AutoZone

                

4.478%, 01/06/2023 (A)

     3,200       3,197  

Hyundai Capital America

                

4.524%, 01/17/2023 (A)

     3,200       3,193  
                 
              6,390  
                 

Consumer Staples — 2.0%

        

Cargill

                

4.277%, 01/03/2023 (A)

     5,000       4,997  

Mondelez International

                

4.606%, 01/03/2023 (A)

     2,325       2,324  
                 
              7,321  
                 

Financials — 27.0%

        

Alinghi Funding

                

3.064%, 05/17/2023 (A)(B)

     1,000       981  

Antalis

                

4.424%, 03/16/2023 (A)(B)

     1,500       1,485  

3.550%, 01/06/2023 (A)

     2,000       1,998  

Aquitaine Funding

                

4.428%, 01/20/2023 (A)

     5,000       4,987  

Australia & New Zealand Banking Group

                

0.000%, 04/26/2023 (B)(E)

     2,500       2,501  

Autobahn Funding

                

4.215%, 01/04/2023 (A)

     5,000       4,997  

Barton Capital

                

4.123%, 01/05/2023 (A)

     3,000       2,998  

Bayerische Landesbank

                

4.334%, 01/03/2023 (A)

     10,000       9,995  

Bedford Row Funding

                

4.334%, 01/04/2023 (A)

     10,000       9,994  

Bennington Stark Capital

                

4.354%, 01/04/2023 (A)

     3,000       2,998  

BPCE

                

4.250%, 09/01/2023 (A)(B)

     1,500       1,447  

1.420%, 02/22/2023 (A)(B)

     2,000       1,987  

Citigroup Global Markets

                

3.356%, 01/09/2023 (A)(B)

     2,000       1,998  

Columbia Funding

                

4.239%, 01/06/2023 (A)

     3,000       2,998  

3.859%, 01/04/2023 (A)

     3,000       2,998  

Dexia Credit Local

                

4.233%, 01/17/2023 (A)

     2,000       1,996  

Lime Funding

                

4.502%, 02/02/2023 (A)

     2,000       1,992  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

COMMERCIAL PAPER (continued)

LMA-Americas

                

5.340%, 04/28/2023 (A)

   $ 4,000     $ 3,935  

Mackinac Funding

                

4.427%, 01/19/2023 (A)

     7,000       6,983  

Macquarie Bank

                

4.150%, 01/04/2023 (B)(E)

     1,500       1,500  

National Bank of Canada

                

0.000%, 01/04/2023 (A)

     3,000       3,000  

National Securities Clearing

                

4.317%, 01/10/2023 (A)

     8,000       7,990  

Omers Finance Trust

                

4.215%, 01/05/2023 (A)

     6,000       5,999  

PSP Capital

                

4.027%, 08/17/2023 (A)(B)

     1,500       1,453  

Starbird Funding

                

3.766%, 02/23/2023 (A)(B)

     1,500       1,490  

Toronto-Dominion Bank

                

1.348%, 02/17/2023 (A)(B)

     2,000       1,988  

VW Credit

                

4.518%, 01/03/2023 (A)

     3,200       3,198  
                 
              95,886  
                 

Industrials — 1.1%

        

Caterpillar Financial Services

                

4.321%, 01/25/2023 (A)

     4,000       3,988  
                 
                 
                 

Information Technology — 2.7%

        

Amphenol

                

4.566%, 01/04/2023 (A)

     3,200       3,198  

Fidelity National Information Services

                

4.621%, 01/10/2023 (A)

     3,200       3,195  

Fiserv

                

4.500%, 01/05/2023 (A)

     3,200       3,198  
                 
              9,591  
                 

Materials — 0.8%

        

Amcor Finance USA

                

4.656%, 01/09/2023 (A)

     2,750       2,746  
                 
                 
                 

Utilities — 0.7%

        

PPL Capital Funding

                

4.719%, 01/13/2023 (A)

     2,500       2,495  
                 
                 
                 

Total Commercial Paper

        

(Cost $131,602) ($ Thousands)

     131,530  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

171

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Conservative Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 4.6%

Consumer Discretionary — 1.1%

        

Jets Stadium Development

               

4.650%, 04/01/2047 (B)(C)

   $ 3,900     $ 3,900  
                 
                 
                 

Financials — 3.5%

        

Bank of Nova Scotia

               

4.800%, U.S. SOFR + 0.500%, 05/05/2023 (C)

     4,000       4,002  

Credit Suisse NY

               

4.493%, SOFRINDX + 0.280%, 02/10/2023 (C)

     2,000       1,999  

Lloyds Bank Corporate Markets NY

               

4.570%, U.S. SOFR + 0.270%, 01/24/2023 (C)

     700       700  

MUFG Bank NY

               

4.610%, U.S. SOFR + 0.300%, 03/10/2023 (C)

     1,500       1,500  

Natixis NY

               

4.580%, U.S. SOFR + 0.280%, 02/07/2023 (C)

     2,000       2,000  

Protective Life Global Funding

               

4.873%, U.S. SOFR + 0.550%, 03/31/2023 (B)(C)

     1,035       1,035  

Standard Chartered Bank NY

               

4.600%, U.S. SOFR + 0.300%, 03/13/2023 (C)

     1,000       1,000  
                 
              12,236  
                 

Total Corporate Obligations

                

(Cost $16,135) ($ Thousands)

             16,136  
                 
                 
                 

MUNICIPAL BOND — 0.2%

California — 0.2%

        

Tender Option Bond Trust Receipts, Ser 2021-XMT0950, RB

               

4.170%, 11/01/2035 (B)(C)

     750       750  
                 
                 

Total Municipal Bond

                
                 

(Cost $750) ($ Thousands)

             750  
                 
                 
                 

CERTIFICATES OF DEPOSIT — 41.8%

Bank of Montreal IL

               

4.850%, 06/06/2023

    1,000       1,001  

4.600%, 01/09/2023

    5,000       5,000  

4.300%, 05/05/2023

    1,000       1,000  

2.800%, 05/12/2023

    1,000       1,000  

0.360%, 01/06/2023

    2,000       2,000  

Bank of Nova Scotia

               

4.810%, 03/16/2023

    2,000       2,001  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CERTIFICATES OF DEPOSIT (continued)

4.460%, 08/18/2023 (B)

   $ 1,500     $ 1,502  

Barclays Bank

               

4.920%, 04/05/2023

    1,500       1,501  

BPCE

               

4.800%, 02/01/2023

    1,500       1,501  

Canadian Imperial Bank of Commerce NY

               

4.600%, 01/06/2023

    1,000       1,000  

4.550%, 07/21/2023

    1,000       1,002  

4.450%, 07/03/2023

    2,000       2,004  

4.310%, 03/15/2023

    2,000       2,001  

Chariot Funding

               

4.400%, 05/31/2023

    3,000       3,000  

4.330%, 01/20/2023

    3,000       3,001  

Citibank

               

4.420%, 09/21/2023

    1,000       1,000  

4.160%, 09/01/2023

    1,250       1,250  

Commonwealth Bank of Australia

               

4.400%, 07/13/2023

    2,000       2,002  

4.250%, 02/21/2023 (B)

     2,000       2,001  

DNB Bank

               

4.290%, 05/26/2023 (B)

     3,000       3,003  

HSBC Bank

               

4.400%, 06/06/2023 (B)

     2,000       2,001  

ING US Funding

               

4.400%, 05/22/2023

    4,000       4,004  

4.320%, 02/27/2023

    2,500       2,501  

Landesbank Baden-Wuerttemberg NY

               

4.300%, 01/04/2023

    6,000       6,000  

Macquarie Bank

               

4.400%, 03/03/2023 (B)

     2,000       2,001  

4.400%, 06/22/2023 (B)

     3,000       3,003  

4.300%, 01/18/2023 (B)

     4,000       4,001  

Mizuho Bank

               

4.300%, 03/17/2023

    2,000       2,001  

MUFG Bank NY

               

4.270%, 02/24/2023

    2,000       2,000  

2.840%, 06/20/2023

    1,000       1,001  

National Australia Bank

               

4.880%, 06/25/2023

    2,000       2,002  

4.300%, 03/14/2023 (B)

     2,000       2,001  

4.200%, 05/12/2023 (B)

     1,500       1,500  

4.170%, 04/13/2023 (B)

     2,000       2,001  

National Bank of Canada

               

4.700%, 01/13/2023 (B)

     2,000       2,000  

Natixis

               

4.470%, 05/04/2023

    3,500       3,505  

Nordea Bank Abp NY

               

2.760%, 05/24/2023

    1,500       1,500  

Old Line Funding

               

4.360%, 03/01/2023

    4,000       4,001  

4.310%, 05/04/2023

    4,000       4,001  

3.580%, 02/16/2023

    6,000       6,002  

 

 

 

172

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Conservative Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CERTIFICATES OF DEPOSIT (continued)

Ridgefield Funding

               

4.850%, 02/02/2023

  $ 2,000     $ 2,000  

Royal Bank of Canada

               

4.080%, 07/14/2023

    1,200       1,192  

3.840%, 10/19/2023

    1,000       1,002  

3.550%, 01/04/2023 (B)

     1,000       1,000  

Royal Bank of Nova Scotia

               

4.950%, 06/14/2023

    2,000       2,003  

Standard Chartered Bank NY

               

4.910%, 01/31/2023

    1,000       1,000  

4.850%, 02/09/2023

    3,000       3,001  

4.850%, 05/04/2023

    1,500       1,501  

Sumitomo Mitsui Banking

               

4.900%, 05/03/2023

    2,000       2,002  

4.850%, 01/06/2023

    2,500       2,500  

4.710%, 03/14/2023

    3,000       3,000  

4.570%, 01/19/2023

    1,500       1,500  

Sumitomo Mitsui Trust Bank

               

4.760%, 02/22/2023

    2,000       2,001  

Svenska Handelsbanken NY

               

4.960%, 07/03/2023

    2,000       2,003  

Swedbank NY

               

4.910%, 04/19/2023

    3,000       3,002  

Toronto-Dominion Bank

               

5.260%, 05/01/2023

    2,000       2,003  

4.120%, 08/28/2023

    1,000       992  

2.800%, 05/08/2023

    1,500       1,489  

1.970%, 03/09/2023

    2,000       2,001  

0.800%, 03/31/2023 (B)

     1,500       1,501  

0.550%, 06/02/2023

    2,000       2,002  

UBS

               

3.596%, 02/21/2023

    3,000       3,001  

Wells Fargo Bank

               

4.150%, 03/23/2023

    4,000       4,001  

Westpac Banking

               

4.330%, 07/07/2023

    2,000       2,002  

4.280%, 03/24/2023 (B)

     2,000       2,001  

4.210%, 03/27/2023

    4,000       4,001  

Total Certificates of Deposit

        

(Cost $148,443) ($ Thousands)

     148,497  
                 
                 
   


Shares

          

CASH EQUIVALENT — 0.0%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     2,099       2  
                 

Total Cash Equivalent

                

(Cost $2) ($ Thousands)

             2  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

REPURCHASE AGREEMENTS — 16.4%

Bank of America Securities

                

4.300%, dated 12/30/2022, to be repurchased on 1/3/2023, repurchase price $48,310,072 (collateralized by GNMA obligations, ranging in par value $2,357,830 - $10,270,185, 3.000% - 4.500%, 7/20/2048 - 6/20/2051; with total market value $49,252,740) (D)

   $ 48,287     $ 48,287  

Goldman Sachs & Co

                

4.300%, dated 12/30/2022, to be repurchased on 1/3/2023, repurchase price $2,000,956 (collateralized by GNMA obligation, par value $2,332,407, 2.950%, 8/15/2057; with total market value $2,040,001) (D)

     2,000       2,000  

TD Securities

                

4.300%, dated 12/30/2022, to be repurchased on 1/3/2023, repurchase price $8,003,824 (collateralized by FNMA obligation, par value $11,687,942, 2.000%, 4/1/2051; with total market value $8,240,000) (D)

     8,000       8,000  
                 

Total Repurchase Agreements

                

(Cost $58,287) ($ Thousands)

             58,287  
                 
                 

Total Investments in Securities — 100.0%

                

(Cost $355,219) ($ Thousands)

  $ 355,202  
                 
                 

 

 

Percentages are based on Net Assets of $355,326 ($ Thousands).

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $52,031 ($ Thousands), representing 14.6% of the Net Assets of the Fund.

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(D)

Tri-Party Repurchase Agreement.

(E)

No Interest Rate Available.

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

173

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Conservative Income Fund (Concluded)

 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/22

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 12/31/22

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ —     $ 1,866     $ (1,864 )   $ —     $ —     $ 2     $ —     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

See “Glossary” for abbreviations.

 

 

174

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Free Conservative Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS — 87.6%

Arizona — 0.9%

        

Yavapai County, Industrial Development Authority, Drake Cement Project, Ser A, RB

               

3.150%, 09/01/2035 (A)(B)

   $ 1,500     $ 1,500  
                 
                 

Colorado — 2.4%

        

Colorado Springs, Utilities System Revenue, Ser C-REMK, RB

               

3.000%, 11/01/2040 (A)

     4,150       4,150  
                 
                 

Connecticut — 1.6%

        

Connecticut State, Ser C, GO

               

3.160%, 05/15/2034 (A)

     2,870       2,870  
                 
                 

District of Columbia — 1.0%

        

RBC Municipal Products Trust, Ser 2018-G63, GO

               

3.160%, 12/01/2023 (A)(B)(C)

     1,100       1,100  

Tender Option Bond Trust Receipts, Ser 2019-XG0267, RB

               

3.710%, 10/01/2053 (A)(B)(C)

     670       670  
                 
              1,770  
                 

Florida — 7.2%

        

Escambia County, Solid Waste Disposal, Florida Power & Light, RB

               

2.900%, 04/01/2039 (A)

     3,300       3,300  

Hillsborough County, Industrial Development Authority, Baycare Health System, RB

               

2.900%, 11/15/2042 (A)(B)

     1,150       1,150  

Lucie County, Florida Power & Light Project, RB

               

2.750%, 09/01/2028 (A)

     5,100       5,100  

Miami-Dade County, Industrial Development Authority, Dave and Mary Alper Jewish Community Center Project, RB

               

3.200%, 04/01/2032 (A)(B)

     2,895       2,895  
                 
              12,445  
                 

Georgia — 1.1%

        

Georgia State, Municipal Electric Authority, Project One, Sub-Ser B, RB

               

3.350%, 01/01/2048 (A)(B)

     2,000       2,000  
                 
                 

Illinois — 8.3%

        

Aurora, Fox Valley Counseling Center, RB

               

3.120%, 05/01/2028 (A)(B)

     1,710       1,710  

Illinois State, Development Finance Authority, Glenwood School For Boys, RB

               

3.210%, 02/01/2033 (A)(B)

     2,000       2,000  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Illinois State, Development Finance Authority, YMCA Metropolitan Chicago Project, RB

               

3.200%, 06/01/2029 (A)(B)

   $ 3,800     $ 3,800  

Illinois State, Finance Authority, Advocate Health Care Network, Sub-Ser C3A, RB

               

3.150%, 11/01/2038 (A)

     2,400       2,400  

Illinois State, Finance Authority, The Care Foundation, RB

               

3.000%, 08/15/2052 (A)(B)

     4,500       4,500  
                 
              14,410  
                 

Indiana — 1.0%

        

Tender Option Bond Trust Receipts, Ser 2016-XL0019, RB

               

3.280%, 04/01/2030 (A)(C)

     1,770       1,770  
                 
                 

Iowa — 3.9%

        

Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project, RB

               

3.200%, 12/01/2041 (A)(B)(C)

     2,000       2,000  

Iowa State, Finance Authority, Mortgage-Backed Securities Program, RB

               

3.080%, 01/01/2047 (A)

     400       400  

Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, RB

               

3.220%, 09/01/2036 (A)

     1,500       1,500  

Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, Ser B, RB

               

3.220%, 05/01/2023 (A)

     3,000       3,000  
                 
              6,900  
                 

Louisiana — 0.9%

        

Saint James Parish, Nucor Steel Louisiana LLC Project, Ser 2010A-1, RB

               

3.600%, 11/01/2040 (A)

     1,500       1,500  
                 
                 

Maryland — 0.6%

        

Maryland State, Community Development Administration, Department of Housing and Community Development, Crusader Arms Apartments Project, Ser D, RB

               

3.130%, 02/01/2041 (A)

     1,070       1,070  
                 
                 

Michigan — 0.8%

        

Central Michigan University, Ser A, RB

               

3.130%, 10/01/2032 (A)(B)

     1,400       1,400  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

175

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Free Conservative Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Mississippi — 3.2%

        

Jackson County, Port Facility, Chevron USA Project, RB

               

2.750%, 06/01/2023 (A)

   $ 500     $ 500  

Mississippi State, Business Finance, Chevron USA Project, Ser C, RB

               

2.750%, 11/01/2035 (A)

     3,100       3,100  

Mississippi State, Business Finance, Chevron USA Project, Ser F, RB

               

2.750%, 12/01/2030 (A)

     2,000       2,000  
                 
              5,600  
                 

Missouri — 3.2%

        

Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB

               

3.160%, 04/15/2034 (A)(B)

     2,100       2,100  

RBC Municipal Products Trust, Ser C-16, RB

               

3.180%, 09/01/2039 (A)(B)(C)

     3,500       3,500  
                 
              5,600  
                 

Nevada — 0.4%

        

Tender Option Bond Trust Receipts, Ser 2020-XF2858, RB

               

2.960%, 07/01/2050 (A)(C)

     700       700  
                 
                 

New Jersey — 12.8%

        

Berlin, GO

               

4.500%, 09/26/2023

    4,600       4,627  

Deptford, Ser A, GO

               

4.000%, 07/11/2023

    3,000       3,007  

Park Ridge, GO

               

4.500%, 04/28/2023

    3,650       3,658  

Plainsboro, GO

               

4.500%, 07/26/2023

    1,500       1,507  

4.000%, 07/26/2023

    3,000       3,007  

River Vale, GO

               

4.000%, 07/14/2023

    1,900       1,904  

Voorhees, Ser A, GO

               

4.000%, 09/27/2023

    4,572       4,587  
                 
              22,297  
                 

New York — 5.9%

        

New York City, Water & Sewer System, Municipal Water Finance Authority, RB

               

2.690%, 06/15/2043 (A)

     3,000       3,000  

New York State, Housing Finance Agency, Ser A, RB

               

3.420%, 11/01/2050 (A)(B)

     2,500       2,500  

Oneida County, Industrial Development Agency, Mohawk Valley Community College Dormitory Project, Ser A, RB

               

3.200%, 08/01/2036 (A)(B)

     1,100       1,100  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

RBC Municipal Products Trust, Ser 2018-G5, GO

               

3.160%, 10/01/2025 (A)(B)(C)

   $ 1,900     $ 1,900  

Tender Option Bond Trust Receipts, Ser 2017-XF0550, RB

               

3.160%, 02/15/2042 (A)(C)

     2,000       2,000  
                 
              10,500  
                 

North Carolina — 3.1%

        

Charlotte, Governmental Facilities Project, RB

               

3.130%, 06/01/2033 (A)

     1,965       1,965  

North Carolina State, Medical Care Commission, Moses Cone Health System, Ser A, RB

               

3.080%, 10/01/2035 (A)

     3,475       3,475  
                 
              5,440  
                 

Ohio — 1.1%

        

Miami County, GO

               

3.250%, 07/27/2023

    1,950       1,942  
                 
                 

Pennsylvania — 2.6%

        

Butler County, Industrial Development Authority, Concordia Lutheran Ministries, Ser A-R, RB

               

3.200%, 05/01/2034 (A)(B)

     1,340       1,340  

Montgomery County, Industrial Development Authority, Acts Retirement Life Communities, RB, AGC

               

3.050%, 11/15/2029 (A)

     175       175  

Pennsylvania State, Economic Development Financing Authority, PPL Energy Supply Project, RB

               

4.300%, 12/01/2037 (A)(B)

     3,000       3,000  
                 
              4,515  
                 

South Carolina — 3.2%

        

South Carolina State, Public Service Authority, Ser A, RB

               

3.170%, 01/01/2036 (A)(B)

     5,000       5,000  

Tender Option Bond Trust Receipts, Ser 2022-XG0398, RB, BAM

               

3.250%, 12/01/2055 (A)(C)

     500       500  
                 
              5,500  
                 

South Dakota — 1.7%

        

South Dakota State, Housing Development Authority, Ser A, RB

               

3.150%, 11/01/2062 (A)

     2,915       2,915  
                 
                 

 

 

 

176

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Free Conservative Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Tennessee — 0.9%

        

Clarksville, Public Building Authority, Pooled Financing, RB

               

3.160%, 06/01/2029 (A)(B)

   $ 600     $ 600  

Johnson City, Health & Educational Facilities Board, Ser 2022B, RB

               

3.160%, 07/01/2045 (A)(B)

     1,020       1,020  
                 
              1,620  
                 

Texas — 11.1%

        

Harris County, Health Facilities Development Authority, Methodist Hospital System Project, RB

               

2.800%, 12/01/2041 (A)

     600       600  

Houston, Combined Utility System Revenue, RB

               

3.150%, 05/15/2034 (A)(B)

     1,100       1,100  

North Fort Bend, Water Authority, Ser 2019-XF0816, RB

               

3.230%, 06/15/2027 (A)(C)

     1,150       1,150  

Pasadena, Independent School District, Ser B, GO, AGM

               

3.000%, 02/01/2035 (A)

     1,150       1,150  

Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, RB

               

3.200%, 03/01/2039 (A)

     5,300       5,300  

Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, Ser A, RB

               

3.150%, 12/01/2040 (A)

     2,200       2,200  

Tarrant County, Cultural Education Facilities Finance, Christus Health, RB

               

3.200%, 07/01/2047 (A)(B)

     1,525       1,525  

Texas State, Veterans Bonds, GO

               

3.130%, 12/01/2047 (A)

     1,920       1,920  

Texas State, Veterans Bonds, Ser B, GO

               

3.250%, 12/01/2042 (A)

     2,500       2,500  

Texas State, Veterans Bonds, Ser B-REMK, GO

               

3.250%, 12/01/2043 (A)

     2,000       2,000  
                 
              19,445  
                 

Utah — 1.0%

        

Utah State, Water Finance Agency, Ser B-2-REMK, RB

               

3.200%, 10/01/2035 (A)

     1,705       1,705  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Virginia — 1.1%

        

Fairfax County, Industrial Development Authority, Inova Health System Project, RB

               

3.140%, 05/15/2042 (A)

   $ 1,835     $ 1,835  
                 
                 

Washington — 0.6%

        

Washington State Housing Finance Commission, Ser VR, RB

               

3.100%, 12/01/2046 (A)

     1,000       1,000  
                 
                 

West Virginia — 0.7%

        

West Virginia State, Hospital Finance Authority, West Virginia University, RB

               

3.130%, 06/01/2034 (A)(B)

     1,165       1,165  
                 
                 

Wisconsin — 5.3%

        

Eau Claire Area, School District, RB

               

4.000%, 06/21/2023

    1,400       1,400  

Jefferson, School District, RB

               

4.000%, 06/28/2023

    1,900       1,902  

Wisconsin State, Housing & Economic Development Authority, Ser B, RB

               

3.100%, 03/01/2041 (A)

     1,845       1,845  

Wisconsin State, Housing & Economic Development Authority, Ser C, RB

               

3.100%, 05/01/2046 (A)

     2,000       2,000  

Wisconsin State, Ser A, GO

               

3.300%, 05/01/2023 (A)

     2,000       1,997  
                 
              9,144  
                 
                 

Total Municipal Bonds

                

(Cost $152,788) ($ Thousands)

             152,708  
                 
                 
                 

TAX-EXEMPT COMMERCIAL PAPER — 12.2%

District of Columbia

                

2.550%, 01/18/2023

    2,000       1,999  

King County

                

2.900%, 01/17/2023

    3,000       2,998  

Michigan State University

                

2.930%, 01/06/2023

    5,500       5,499  

New York & New Jersey, Port Authority

                

3.700%, 01/24/2023

    2,700       2,699  

University of Minnesota

                

2.400%, 01/10/2023

    5,000       4,998  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

177

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Tax-Free Conservative Income Fund (Concluded)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

TAX-EXEMPT COMMERCIAL PAPER (continued)

University of Texas

                

2.100%, 01/05/2023

  $ 3,000     $ 2,997  
                 
                 
                 

Total Tax-Exempt Commercial Paper

        

(Cost $21,200) ($ Thousands)

     21,190  
                 
                 

Total Investments in Securities — 99.8%

                

(Cost $173,988) ($ Thousands)

  $ 173,898  
                 
                 

 

 

Percentages are based on Net Assets of $174,247 ($ Thousands).

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

Securities are held in connection with a letter of credit issued by a major bank.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $15,290 ($ Thousands), representing 8.8% of the Net Assets of the Fund.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

See “Glossary” for abbreviations.

 

 

178

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Real Return Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 99.5%

U.S. Treasury Inflation Protected Securities

               

2.375%, 01/15/2025

  $ 9,181     $ 9,188  

2.375%, 01/15/2027

    5,796       5,912  

2.000%, 01/15/2026

    5,886       5,879  

1.625%, 10/15/2027

    14,627       14,609  

0.625%, 01/15/2024

    16,304       15,957  

0.625%, 01/15/2026

    12,469       11,969  

0.500%, 04/15/2024

    9,104       8,853  

0.375%, 07/15/2025

    14,832       14,245  

0.375%, 01/15/2027

    11,798       11,125  

0.375%, 07/15/2027

    12,994       12,246  

0.250%, 01/15/2025

    13,516       12,965  

0.125%, 07/15/2024

    14,791       14,314  

0.125%, 10/15/2024

    13,181       12,694  

0.125%, 04/15/2025

    10,776       10,269  

0.125%, 10/15/2025

    13,135       12,482  

0.125%, 04/15/2026

    10,122       9,515  

0.125%, 07/15/2026

    12,426       11,709  

0.125%, 10/15/2026

    14,047       13,166  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

0.125%, 04/15/2027

  $ 14,588     $ 13,594  
         

Total U.S. Treasury Obligations

        

(Cost $236,715) ($ Thousands)

     220,691  
                 
                 
   


Shares

          

CASH EQUIVALENT — 1.3%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     2,884,812       2,885  
                 

Total Cash Equivalent

                

(Cost $2,885) ($ Thousands)

             2,885  
                 
                 

Total Investments in Securities — 100.8%

                

(Cost $239,600) ($ Thousands)

  $ 223,576  
                 
                 

 

 

Percentages are based on Net Assets of $221,867 ($ Thousands).

**

The rate reported is the 7-day effective yield as of December 31, 2022.

†

Investment in Affiliated Security.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 1,251     $ 41,729     $ (40,095 )   $ —     $ —     $ 2,885     $ 6     $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

179

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 89.1%
                 

Communication Services — 6.5%

        

Activision Blizzard Inc

    12,966     $ 992  

Alphabet Inc, Cl A *

     109,062       9,622  

Alphabet Inc, Cl C *

     96,700       8,580  

AT&T Inc

    129,849       2,391  

Charter Communications Inc, Cl A *

     1,918       650  

Comcast Corp, Cl A

    78,628       2,750  

DISH Network Corp, Cl A *

     5,102       72  

Electronic Arts Inc

    4,735       579  

Fox Corp, Cl A

    5,671       172  

Fox Corp, Cl B

    2,766       79  

Interpublic Group of Cos Inc/The

    7,327       244  

Live Nation Entertainment Inc *

     2,607       182  

Lumen Technologies Inc

    16,783       88  

Match Group Inc *

     5,306       220  

Meta Platforms Inc, Cl A *

     41,002       4,934  

Netflix Inc *

     8,129       2,397  

News Corp, Cl A

    7,362       134  

News Corp, Cl B

    2,517       46  

Omnicom Group Inc

    3,726       304  

Paramount Global, Cl B

    9,371       158  

Take-Two Interactive Software Inc, Cl A *

     2,921       304  

T-Mobile US Inc *

     10,898       1,526  

Verizon Communications Inc

    76,610       3,018  

Walt Disney Co/The *

     33,283       2,892  

Warner Bros Discovery Inc *

     41,113       390  
                 
              42,724  

Consumer Discretionary — 8.8%

        

Advance Auto Parts Inc

    1,151       169  

Amazon.com Inc, Cl A *

     162,120       13,618  

Aptiv PLC *

     5,056       471  

AutoZone Inc *

     365       900  

Bath & Body Works Inc

    4,129       174  

Best Buy Co Inc

    3,630       291  

Booking Holdings Inc *

     744       1,499  

BorgWarner Inc

    4,537       183  

Caesars Entertainment Inc *

     4,054       169  

CarMax Inc *

     2,945       179  

Carnival Corp *

     18,526       149  

Chipotle Mexican Grill Inc, Cl A *

     541       751  

Darden Restaurants Inc

    2,247       311  

Dollar General Corp

    4,114       1,013  

Dollar Tree Inc *

     3,858       546  

Domino's Pizza Inc

    670       232  

DR Horton Inc

    5,765       514  

eBay Inc

    9,818       407  

Etsy Inc *

     2,313       277  

Expedia Group Inc *

     2,812       246  

Ford Motor Co

    72,582       844  

Garmin Ltd

    2,900       268  

General Motors Co

    25,782       867  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Genuine Parts Co

    2,606     $ 452  

Hasbro Inc

    2,409       147  

Hilton Worldwide Holdings Inc

    4,909       620  

Home Depot Inc/The

    18,729       5,916  

Las Vegas Sands Corp *

     6,165       296  

Lennar Corp, Cl A

    4,595       416  

LKQ Corp

    4,716       252  

Lowe's Cos Inc

    11,319       2,255  

Marriott International Inc/MD, Cl A

    4,864       724  

McDonald's Corp

    13,395       3,530  

MGM Resorts International

    6,042       203  

Mohawk Industries Inc *

     1,020       104  

Newell Brands Inc, Cl B

    7,154       94  

NIKE Inc, Cl B

    22,959       2,686  

Norwegian Cruise Line Holdings Ltd *

     7,614       93  

NVR Inc *

     49       226  

O'Reilly Automotive Inc *

     1,104       932  

Pool Corp

    716       216  

PulteGroup Inc

    4,273       195  

Ralph Lauren Corp, Cl A

    828       88  

Ross Stores Inc

    6,307       732  

Royal Caribbean Cruises Ltd *

     4,056       201  

Starbucks Corp

    20,905       2,074  

Tapestry Inc

    4,253       162  

Target Corp, Cl A

    8,347       1,244  

Tesla Inc *

     49,041       6,041  

TJX Cos Inc/The

    21,159       1,684  

Tractor Supply Co

    2,000       450  

Ulta Beauty Inc *

     914       429  

VF Corp

    6,219       172  

Whirlpool Corp

    969       137  

Wynn Resorts Ltd *

     1,945       160  

Yum! Brands Inc

    5,099       653  
                 
              57,662  

Consumer Staples — 6.5%

        

Altria Group Inc

    32,620       1,491  

Archer-Daniels-Midland Co

    9,958       925  

Brown-Forman Corp, Cl B

    3,360       221  

Campbell Soup Co

    3,734       212  

Church & Dwight Co Inc

    4,434       357  

Clorox Co/The

    2,238       314  

Coca-Cola Co/The

    71,060       4,520  

Colgate-Palmolive Co

    15,171       1,195  

Conagra Brands Inc

    8,563       331  

Constellation Brands Inc, Cl A

    2,957       685  

Costco Wholesale Corp

    8,086       3,691  

Estee Lauder Cos Inc/The, Cl A

    4,185       1,038  

General Mills Inc

    10,728       899  

Hershey Co/The

    2,686       622  

Hormel Foods Corp

    5,223       238  

J M Smucker Co/The

    1,930       306  

 

 

 

180

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kellogg Co

    4,819     $ 343  

Keurig Dr Pepper Inc

    15,600       556  

Kimberly-Clark Corp

    6,146       834  

Kraft Heinz Co/The

    14,614       595  

Kroger Co/The

    11,990       535  

Lamb Weston Holdings Inc

    2,701       241  

McCormick & Co Inc/MD

    4,593       381  

Molson Coors Beverage Co, Cl B

    3,595       185  

Mondelez International Inc, Cl A

    24,902       1,660  

Monster Beverage Corp *

     7,008       712  

PepsiCo Inc

    25,092       4,533  

Philip Morris International Inc

    28,275       2,862  

Procter & Gamble Co/The

    43,277       6,559  

Sysco Corp, Cl A

    9,195       703  

Tyson Foods Inc, Cl A

    5,375       335  

Walgreens Boots Alliance Inc

    13,316       498  

Walmart Inc

    25,719       3,647  
                 
              42,224  

Energy — 4.7%

        

APA Corp

    6,052       283  

Baker Hughes Co, Cl A

    18,095       534  

Chevron Corp

    32,472       5,828  

ConocoPhillips

    22,664       2,674  

Coterra Energy Inc

    14,141       348  

Devon Energy Corp

    12,075       743  

Diamondback Energy Inc, Cl A

    3,183       435  

EOG Resources Inc

    10,726       1,389  

EQT Corp

    6,500       220  

Exxon Mobil Corp

    75,181       8,292  

Halliburton Co

    16,826       662  

Hess Corp

    4,985       707  

Kinder Morgan Inc

    36,378       658  

Marathon Oil Corp

    11,359       308  

Marathon Petroleum Corp

    8,653       1,007  

Occidental Petroleum Corp

    13,220       833  

ONEOK Inc

    8,049       529  

Phillips 66

    8,579       893  

Pioneer Natural Resources Co

    4,367       997  

Schlumberger Ltd, Cl A

    25,976       1,389  

Targa Resources Corp

    4,100       301  

Valero Energy Corp

    7,017       890  

Williams Cos Inc/The

    22,114       728  
                 
              30,648  

Financials — 10.5%

        

Aflac Inc

    10,207       734  

Allstate Corp/The

    4,820       654  

American Express Co

    10,897       1,610  

American International Group Inc

    13,436       850  

Ameriprise Financial Inc

    1,890       589  

Aon PLC, Cl A

    3,762       1,129  

Arch Capital Group Ltd *

     6,900       433  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Arthur J Gallagher & Co

    3,894     $ 734  

Assurant Inc

    1,043       130  

Bank of America Corp

    127,299       4,216  

Bank of New York Mellon Corp/The

    13,536       616  

Berkshire Hathaway Inc, Cl B *

     32,870       10,154  

BlackRock Inc

    2,717       1,925  

Brown & Brown Inc

    4,339       247  

Capital One Financial Corp

    6,931       644  

Cboe Global Markets Inc

    1,927       242  

Charles Schwab Corp/The

    27,805       2,315  

Chubb Ltd

    7,603       1,677  

Cincinnati Financial Corp

    2,890       296  

Citigroup Inc

    35,275       1,596  

Citizens Financial Group Inc

    8,808       347  

CME Group Inc, Cl A

    6,602       1,110  

Comerica Inc

    2,483       166  

Discover Financial Services

    5,049       494  

Everest Re Group Ltd

    673       223  

Eversource Energy

    6,408       537  

FactSet Research Systems Inc

    674       270  

Fifth Third Bancorp

    12,683       416  

First Republic Bank/CA

    3,377       412  

Franklin Resources Inc

    5,343       141  

Globe Life Inc

    1,700       205  

Goldman Sachs Group Inc/The

    6,168       2,118  

Hartford Financial Services Group Inc/The

    5,732       435  

Huntington Bancshares Inc/OH

    26,662       376  

Intercontinental Exchange Inc

    10,295       1,056  

Invesco Ltd

    8,378       151  

JPMorgan Chase & Co

    53,502       7,175  

KeyCorp

    17,116       298  

Lincoln National Corp

    2,895       89  

Loews Corp

    3,555       207  

M&T Bank Corp

    3,087       448  

MarketAxess Holdings Inc

    653       182  

Marsh & McLennan Cos Inc

    9,071       1,501  

MetLife Inc

    11,931       863  

Moody's Corp

    2,893       806  

Morgan Stanley

    24,004       2,041  

MSCI Inc, Cl A

    1,477       687  

Nasdaq Inc, Cl A

    6,321       388  

Northern Trust Corp

    3,829       339  

PNC Financial Services Group Inc/The

    7,309       1,154  

Principal Financial Group Inc, Cl A

    4,267       358  

Progressive Corp/The

    10,721       1,391  

Prudential Financial Inc

    6,618       658  

Raymond James Financial Inc

    3,572       382  

Regions Financial Corp

    17,315       373  

S&P Global Inc

    6,106       2,045  

Signature Bank/New York NY, Cl B

    1,157       133  

SVB Financial Group, Cl B *

     1,093       252  

Synchrony Financial

    8,044       264  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

181

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

T Rowe Price Group Inc

    4,001     $ 436  

Travelers Cos Inc/The

    4,287       804  

Truist Financial Corp

    24,068       1,036  

US Bancorp

    24,577       1,072  

W R Berkley Corp

    3,857       280  

Wells Fargo & Co

    69,515       2,870  

Willis Towers Watson PLC

    1,963       480  

Zions Bancorp NA

    2,733       134  
                 
              68,394  

Health Care — 14.2%

        

Abbott Laboratories

    31,813       3,493  

AbbVie Inc

    32,282       5,217  

Agilent Technologies Inc

    5,479       820  

Align Technology Inc *

     1,295       273  

AmerisourceBergen Corp, Cl A

    2,951       489  

Amgen Inc, Cl A

    9,677       2,542  

Baxter International Inc

    9,349       477  

Becton Dickinson and Co

    5,219       1,327  

Biogen Inc *

     2,649       734  

Bio-Rad Laboratories Inc, Cl A *

     333       140  

Bio-Techne Corp

    2,692       223  

Boston Scientific Corp *

     26,316       1,218  

Bristol-Myers Squibb Co

    38,739       2,787  

Cardinal Health Inc

    4,713       362  

Catalent Inc *

     3,277       147  

Centene Corp *

     10,232       839  

Charles River Laboratories International Inc *

     965       210  

Cigna Corp

    5,599       1,855  

Cooper Cos Inc/The, Cl A

    866       286  

CVS Health Corp

    23,961       2,233  

Danaher Corp, Cl A

    11,955       3,173  

DaVita Inc *

     1,115       83  

DENTSPLY SIRONA Inc

    4,221       134  

Dexcom Inc *

     6,972       789  

Edwards Lifesciences Corp, Cl A *

     11,188       835  

Elevance Health Inc

    4,372       2,243  

Eli Lilly & Co

    14,369       5,257  

Gilead Sciences Inc

    22,854       1,962  

HCA Healthcare Inc

    3,879       931  

Henry Schein Inc *

     2,549       204  

Hologic Inc *

     4,629       346  

Humana Inc

    2,257       1,156  

IDEXX Laboratories Inc *

     1,536       627  

Illumina Inc *

     2,877       582  

Incyte Corp *

     3,471       279  

Intuitive Surgical Inc *

     6,465       1,715  

IQVIA Holdings Inc *

     3,369       690  

Johnson & Johnson

    47,747       8,434  

Laboratory Corp of America Holdings

    1,653       389  

McKesson Corp

    2,572       965  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Medtronic PLC

    24,420     $ 1,898  

Merck & Co Inc

    46,260       5,132  

Mettler-Toledo International Inc *

     444       642  

Moderna Inc *

     6,000       1,078  

Molina Healthcare Inc *

     1,060       350  

Organon & Co

    4,792       134  

PerkinElmer Inc

    2,283       320  

Pfizer Inc

    102,424       5,248  

Quest Diagnostics Inc

    1,996       312  

Regeneron Pharmaceuticals Inc *

     1,937       1,398  

ResMed Inc

    2,700       562  

STERIS PLC

    1,874       346  

Stryker Corp

    6,146       1,503  

Teleflex Inc

    800       200  

Thermo Fisher Scientific Inc

    7,140       3,932  

UnitedHealth Group Inc

    17,037       9,033  

Universal Health Services Inc, Cl B

    1,192       168  

Vertex Pharmaceuticals Inc *

     4,684       1,353  

Viatris Inc, Cl W *

     22,983       256  

Waters Corp *

     1,078       369  

West Pharmaceutical Services Inc

    1,349       317  

Zimmer Biomet Holdings Inc

    3,910       499  

Zoetis Inc, Cl A

    8,449       1,238  
                 
              92,754  

Industrials — 7.8%

        

3M Co

    10,161       1,219  

A O Smith Corp

    2,310       132  

Alaska Air Group Inc *

     2,514       108  

Allegion PLC

    1,633       172  

American Airlines Group Inc *

     12,281       156  

AMETEK Inc

    4,206       588  

Boeing Co/The *

     10,234       1,950  

Carrier Global Corp

    15,421       636  

Caterpillar Inc, Cl A

    9,474       2,270  

CH Robinson Worldwide Inc

    2,098       192  

Cintas Corp

    1,525       689  

Copart Inc *

     7,808       475  

CoStar Group Inc *

     7,300       564  

CSX Corp

    38,245       1,185  

Cummins Inc

    2,565       621  

Deere & Co

    4,976       2,134  

Delta Air Lines Inc, Cl A *

     11,884       391  

Dover Corp

    2,547       345  

Eaton Corp PLC

    7,266       1,140  

Emerson Electric Co

    10,719       1,030  

Equifax Inc

    2,292       445  

Expeditors International of Washington Inc

    2,992       311  

Fastenal Co, Cl A

    10,650       504  

FedEx Corp

    4,402       762  

Fortive Corp

    6,340       407  

Generac Holdings Inc *

     1,183       119  

 

 

 

182

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

General Dynamics Corp

    4,107     $ 1,019  

General Electric Co

    19,871       1,665  

Honeywell International Inc

    12,282       2,632  

Howmet Aerospace Inc

    6,932       273  

Huntington Ingalls Industries Inc, Cl A

    773       178  

IDEX Corp

    1,348       308  

Illinois Tool Works Inc

    5,135       1,131  

Ingersoll Rand Inc

    7,435       389  

Jacobs Solutions Inc

    2,332       280  

JB Hunt Transport Services Inc

    1,487       259  

Johnson Controls International plc

    12,657       810  

L3Harris Technologies Inc

    3,437       716  

Leidos Holdings Inc

    2,504       263  

Lockheed Martin Corp

    4,227       2,056  

Masco Corp

    4,259       199  

Nordson Corp

    963       229  

Norfolk Southern Corp

    4,238       1,044  

Northrop Grumman Corp

    2,663       1,453  

Old Dominion Freight Line Inc, Cl A

    1,686       478  

Otis Worldwide Corp

    7,662       600  

PACCAR Inc

    6,281       622  

Parker-Hannifin Corp, Cl A

    2,364       688  

Pentair PLC

    3,064       138  

Quanta Services Inc

    2,684       382  

Raytheon Technologies Corp

    26,826       2,707  

Republic Services Inc

    3,819       493  

Robert Half International Inc

    2,084       154  

Rockwell Automation Inc

    2,055       529  

Rollins Inc

    4,220       154  

Snap-on Inc

    1,018       233  

Southwest Airlines Co, Cl A

    10,927       368  

Stanley Black & Decker Inc

    2,799       210  

Textron Inc

    3,686       261  

Trane Technologies PLC

    4,243       713  

TransDigm Group Inc

    973       613  

Union Pacific Corp

    11,206       2,320  

United Airlines Holdings Inc *

     6,078       229  

United Parcel Service Inc, Cl B

    13,312       2,314  

United Rentals Inc

    1,249       444  

Verisk Analytics Inc, Cl A

    2,890       510  

Waste Management Inc

    6,818       1,070  

Westinghouse Air Brake Technologies Corp

    3,362       336  

WW Grainger Inc

    817       454  

Xylem Inc/NY

    3,324       368  
                 
              50,837  

Information Technology — 22.9%

        

Accenture PLC, Cl A

    11,495       3,067  

Adobe Inc *

     8,433       2,838  

Advanced Micro Devices Inc *

     29,415       1,905  

Akamai Technologies Inc *

     2,963       250  

Amphenol Corp, Cl A

    10,930       832  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Analog Devices Inc

    9,332     $ 1,531  

ANSYS Inc *

     1,540       372  

Apple Inc

    273,189       35,495  

Applied Materials Inc

    15,663       1,525  

Arista Networks Inc *

     4,546       552  

Autodesk Inc, Cl A *

     3,954       739  

Automatic Data Processing Inc

    7,554       1,804  

Broadcom Inc

    7,408       4,142  

Broadridge Financial Solutions Inc

    2,134       286  

Cadence Design Systems Inc *

     5,010       805  

CDW Corp/DE

    2,507       448  

Ceridian HCM Holding Inc *

     2,606       167  

Cisco Systems Inc

    74,908       3,569  

Cognizant Technology Solutions Corp, Cl A

    9,517       544  

Corning Inc, Cl B

    14,059       449  

DXC Technology Co *

     4,309       114  

Enphase Energy Inc *

     2,508       665  

EPAM Systems Inc *

     1,061       348  

F5 Inc, Cl A *

     1,149       165  

Fidelity National Information Services Inc, Cl B

    10,736       729  

First Solar Inc *

     1,800       270  

Fiserv Inc, Cl A *

     11,557       1,168  

FleetCor Technologies Inc *

     1,344       247  

Fortinet Inc *

     11,735       574  

Gartner Inc *

     1,413       475  

Gen Digital Inc

    10,909       234  

Global Payments Inc

    4,894       486  

Hewlett Packard Enterprise Co

    23,724       379  

HP Inc

    15,968       429  

Intel Corp

    75,637       1,999  

International Business Machines Corp

    16,454       2,318  

Intuit Inc

    5,151       2,005  

Jack Henry & Associates Inc

    1,350       237  

Juniper Networks Inc

    5,854       187  

Keysight Technologies Inc *

     3,275       560  

KLA Corp

    2,546       960  

Lam Research Corp

    2,500       1,051  

Mastercard Inc, Cl A

    15,536       5,402  

Microchip Technology Inc

    10,193       716  

Micron Technology Inc

    19,704       985  

Microsoft Corp

    136,202       32,664  

Monolithic Power Systems Inc

    770       272  

Motorola Solutions Inc

    3,086       795  

NetApp Inc

    4,076       245  

NVIDIA Corp

    45,429       6,639  

ON Semiconductor Corp *

     7,800       487  

Oracle Corp, Cl B

    27,978       2,287  

Paychex Inc

    5,880       680  

Paycom Software Inc *

     887       275  

PayPal Holdings Inc *

     20,781       1,480  

PTC Inc *

     1,928       231  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

183

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Qorvo Inc *

     1,931     $ 175  

QUALCOMM Inc

    20,396       2,242  

Roper Technologies Inc

    1,945       840  

Salesforce Inc *

     18,203       2,413  

Seagate Technology Holdings PLC

    3,605       190  

ServiceNow Inc *

     3,663       1,422  

Skyworks Solutions Inc

    2,995       273  

SolarEdge Technologies Inc *

     964       273  

Synopsys Inc *

     2,795       892  

Teledyne Technologies Inc *

     890       356  

Teradyne Inc

    2,888       252  

Texas Instruments Inc

    16,554       2,735  

Trimble Inc *

     4,628       234  

Tyler Technologies Inc *

     709       229  

VeriSign Inc *

     1,712       352  

Visa Inc, Cl A

    29,863       6,204  

Western Digital Corp *

     5,724       180  

Zebra Technologies Corp, Cl A *

     977       251  
                 
              149,591  

Materials — 2.0%

        

Air Products and Chemicals Inc

    4,057       1,251  

Albemarle Corp

    2,140       464  

Amcor PLC

    27,772       331  

Avery Dennison Corp

    1,519       275  

Ball Corp

    5,890       301  

Celanese Corp, Cl A

    1,826       187  

CF Industries Holdings Inc

    3,690       314  

Corteva Inc

    13,193       775  

Dow Inc

    12,721       641  

DuPont de Nemours Inc

    9,156       628  

Eastman Chemical Co

    2,310       188  

Ecolab Inc

    4,512       657  

FMC Corp

    2,362       295  

Freeport-McMoRan Inc, Cl B

    25,956       986  

International Flavors & Fragrances Inc

    4,688       491  

International Paper Co

    6,708       232  

LyondellBasell Industries NV, Cl A

    4,733       393  

Martin Marietta Materials Inc, Cl A

    1,122       379  

Mosaic Co/The

    6,056       266  

Newmont Corp

    14,358       678  

Nucor Corp

    4,662       615  

Packaging Corp of America

    1,735       222  

PPG Industries Inc

    4,307       542  

Sealed Air Corp

    2,657       133  

Sherwin-Williams Co/The, Cl A

    4,349       1,032  

Steel Dynamics Inc

    3,000       293  

Vulcan Materials Co

    2,439       427  

Westrock Co

    4,612       162  
                 
              13,158  

Real Estate — 2.4%

        

Alexandria Real Estate Equities Inc ‡

     2,712       395  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

American Tower Corp, Cl A ‡

     8,480     $ 1,797  

AvalonBay Communities Inc ‡

     2,526       408  

Boston Properties Inc ‡

     2,611       176  

Camden Property Trust ‡

     2,000       224  

CBRE Group Inc, Cl A *

     5,896       454  

Crown Castle Inc ‡

     7,832       1,062  

Digital Realty Trust Inc, Cl A ‡

     5,306       532  

Equinix Inc ‡

     1,718       1,125  

Equity Residential ‡

     6,299       372  

Essex Property Trust Inc ‡

     1,215       257  

Extra Space Storage Inc ‡

     2,508       369  

Federal Realty Investment Trust ‡

     1,352       137  

Healthpeak Properties Inc ‡

     9,561       240  

Host Hotels & Resorts Inc ‡

     13,523       217  

Invitation Homes Inc ‡

     10,900       323  

Iron Mountain Inc ‡

     5,478       273  

Kimco Realty Corp ‡

     11,574       245  

Mid-America Apartment Communities Inc ‡

     2,121       333  

Prologis Inc ‡

     16,800       1,894  

Public Storage ‡

     2,895       811  

Realty Income Corp ‡

     11,330       719  

Regency Centers Corp ‡

     2,794       175  

SBA Communications Corp, Cl A ‡

     1,988       557  

Simon Property Group Inc ‡

     6,033       709  

UDR Inc ‡

     5,695       220  

Ventas Inc ‡

     7,437       335  

VICI Properties Inc ‡

     17,400       564  

Vornado Realty Trust ‡

     3,022       63  

Welltower Inc ‡

     8,409       551  

Weyerhaeuser Co ‡

     13,248       411  
                 
              15,948  

Utilities — 2.8%

        

AES Corp/The

    12,555       361  

Alliant Energy Corp

    4,729       261  

Ameren Corp

    4,768       424  

American Electric Power Co Inc

    9,484       900  

American Water Works Co Inc

    3,376       515  

Atmos Energy Corp

    2,607       292  

CenterPoint Energy Inc

    11,486       344  

CMS Energy Corp

    5,315       337  

Consolidated Edison Inc

    6,536       623  

Constellation Energy Corp

    6,072       523  

Dominion Energy Inc

    15,113       927  

DTE Energy Co

    3,608       424  

Duke Energy Corp

    13,971       1,439  

Edison International

    7,104       452  

Entergy Corp

    3,739       421  

Evergy Inc

    4,343       273  

Exelon Corp

    18,219       788  

FirstEnergy Corp

    10,149       426  

NextEra Energy Inc

    36,248       3,030  

 

 

 

184

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

NiSource Inc

    7,444     $ 204  

NRG Energy Inc

    4,296       137  

PG&E Corp *

     29,500       480  

Pinnacle West Capital Corp

    2,117       161  

PPL Corp

    13,625       398  

Public Service Enterprise Group Inc

    9,011       552  

Sempra Energy

    5,728       885  

Southern Co/The

    19,756       1,411  

WEC Energy Group Inc

    5,821       546  

Xcel Energy Inc

    9,877       692  
                 
              18,226  

Total Common Stock

               

(Cost $301,028) ($ Thousands)

             582,166  
                 
                 
                 

FOREIGN COMMON STOCK — 0.7%
                 

China — 0.1%

        

NXP Semiconductors NV

    4,718       746  
                 
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Switzerland — 0.1%

        

TE Connectivity Ltd

    5,880     $ 675  
                 
                 
                 

United Kingdom — 0.5%

        

Linde PLC

    9,031       2,946  
                 
                 
                 

Total Foreign Common Stock

               

(Cost $2,801) ($ Thousands)

             4,367  
                 
                 
                 

CASH EQUIVALENT — 1.1%

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     7,338,323       7,338  
                 

Total Cash Equivalent

                

(Cost $7,338) ($ Thousands)

             7,338  
                 
                 

Total Investments in Securities — 90.9%

                

(Cost $311,167) ($ Thousands)

  $ 593,871  
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI^

     298       Mar-2023     $ 59,317     $ 57,529     $ (1,788 )

S&P 500 Index E-MINI

     42       Mar-2023       8,074       8,108       34  
                    $ 67,391     $ 65,637     $ (1,754 )

 

A list of open OTC swap agreements held by the Fund at December 31, 2022 is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

BNP Paribas^

     BCOMTR/0.10 %     0.10 %     INDEX RETURN       Quarterly       03/10/2023       USD       46,868     $ 569     $ –     $ 569  

Goldman Sachs

     GSINFCI1H23       NEGATIVE INDEX RETURN       POSITIVE INDEX RETURN       Quarterly       02/27/2023       USD       46,952       718       –       718  
                                                            $ 1,287     $ –     $ 1,287  

 

 

Percentages are based on Net Assets of $653,216 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

^

Security is held by the Dynamic Commodity Strategy Subsidiary Ltd. as of December 31, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

185

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Dynamic Asset Allocation Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 6,875     $ 25,558     $ (25,095 )   $ —     $ —     $ 7,338     $ 54       $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

186

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 20.3%
                 

Communication Services — 2.0%

        

Activision Blizzard Inc

    2,487     $ 190  

Clear Channel Outdoor Holdings Inc, Cl A *

     18,171       19  

Cogent Communications Holdings Inc

    10,485       598  

DISH Network Corp, Cl A *

     51,891       729  

Fox Corp, Cl A

    1,714       52  

Netflix Inc *

     9,535       2,812  

Take-Two Interactive Software Inc, Cl A *

     30,437       3,169  

TEGNA Inc

    5,403       115  

United States Cellular Corp *

     1,570       33  

Urban One

    5,234       20  

Urban One, Cl A

    6,818       31  

WideOpenWest Inc *

     3,977       36  

Windstream Services *(A)

     5,206       26  
                 
              7,830  

Consumer Discretionary — 2.1%

        

American Eagle Outfitters Inc

    106,150       1,482  

Everi Holdings Inc *

     4,206       60  

Full House Resorts *

     43,178       325  

G-III Apparel Group Ltd *

     44,728       613  

Guitar Center *(A)(B)

     2,167       415  

iRobot *

     11,361       547  

Monitronics International Inc *(A)

     18,437       94  

PlayAGS Inc *

     16,034       82  

Rent-A-Center Inc/TX

    29,341       661  

Vail Resorts Inc

    13,006       3,100  

Wynn Resorts Ltd *

     12,223       1,008  
                 
              8,387  

Consumer Staples — 0.4%

        

Albertsons Cos Inc, Cl A

    38,417       797  

Conagra Brands Inc

    17,858       691  
                 
              1,488  

Energy — 2.2%

        

Devon Energy Corp

    10,118       622  

Euronav

    1,243       —  

Halliburton Co

    62,185       2,447  

Hess Corp

    1,127       160  

Kinetik Holdings, Cl A

    7,600       252  

Matador Resources Co

    9,332       534  

Noble Corp PLC *

     1,278       48  

Parker Drilling Co *(A)(B)

     4,414       31  

RPC Inc

    194,722       1,731  

Transocean Ltd *

     153,913       702  

Valero Energy Corp

    17,984       2,282  
                 
              8,809  

Financials — 2.5%

        

Bread Financial Holdings

    48,429       1,824  

Capital One Financial Corp

    10,008       930  

Evercore Inc, Cl A

    25,986       2,835  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

First Horizon Corp

    53,862     $ 1,320  

Morgan Stanley

    15,268       1,298  

Penney Borrower LLC *(A)

     3,070       15  

Robinhood Markets Inc, Cl A *

     228,645       1,861  
                 
              10,083  

Health Care — 1.1%

        

1Life Healthcare *

     13,305       222  

2seventy bio Inc *

     2,200       21  

Adaptimmune Therapeutics ADR *

     25,396       37  

Cano Health *

     6,833       9  

Carestream Health Holdings Inc *(A)

     5,876       126  

Charles River Laboratories International Inc *

     11,389       2,482  

Gilead Sciences Inc

    10,909       936  

Iovance Biotherapeutics Inc *

     9,569       61  

LHC Group Inc *

     2,244       363  

Opiant Pharmaceuticals *

     9,347       190  
                 
              4,447  

Industrials — 1.5%

        

Atlas Air Worldwide Holdings Inc *

     3,784       381  

Dycom Industries Inc *

     8,709       815  

Enovix Corp *

     81,831       1,018  

JetBlue Airways Corp *

     19,390       126  

Leonardo DRS *

     186,232       2,380  

Maxar Technologies Inc

    1,191       62  

Spirit Airlines Inc

    62,852       1,224  
                 
              6,006  

Information Technology — 5.0%

        

Akamai Technologies Inc *

     19,759       1,666  

Aquity Holdings Inc *(A)

     3,945       44  

Black Knight Inc *

     8,215       507  

Cirrus Logic Inc *

     36,909       2,749  

Coupa Software Inc *

     16,325       1,292  

Crowdstrike Holdings Inc, Cl A *

     6,000       632  

Everbridge Inc *

     101,759       3,010  

Flex *

     41,387       888  

ForgeRock Inc, Cl A *

     1,142       26  

Momentive Global Inc *

     2,517       18  

New Relic Inc *

     28,798       1,626  

Qorvo Inc *

     3,201       290  

Smartsheet Inc, Cl A *

     63,937       2,517  

Vishay Intertechnology Inc

    107,740       2,324  

VMware Inc, Cl A *

     13,925       1,709  

Vontier Corp

    38,638       747  
                 
              20,045  

Materials — 1.6%

        

Arctic Canadian Diamond Company Ltd *(A)

     228       —  

ATI Inc *

     51,443       1,536  

Century Aluminum Co *

     255,611       2,091  

Freeport-McMoRan Inc, Cl B

    56,305       2,140  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

187

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Libbey Glass Inc. *(A)

     1,227     $ 11  

Lynas Rare Earths *

     147,344       784  
                 
              6,562  

Real Estate — 1.5%

        

Copper Property Pass-Through Certificates *(A)

     18,673       233  

iStar Inc ‡

     81,986       626  

Kimco Realty Corp ‡

     73,139       1,549  

Park Hotels & Resorts Inc ‡

     182,815       2,155  

STORE Capital Corp ‡

     46,441       1,489  
                 
              6,052  

Utilities — 0.4%

        

Consolidated Edison Inc

    6,479       618  

FirstEnergy Corp

    15,046       631  

Lumileds Common Bright Bidco *

     964       16  

NRG Energy Inc

    11,644       370  
                 
              1,635  

Total Common Stock

               

(Cost $78,202) ($ Thousands)

             81,344  
                 
                 
   

Face Amount
(Thousands)

          

CORPORATE OBLIGATIONS — 13.8%

Communication Services — 1.5%

        

Altice France

               

5.500%, 10/15/2029 (C)

   $ 180       137  

Altice France Holding

               

10.500%, 05/15/2027 (C)

     95       72  

AMC Entertainment Holdings

               

6.125%, 05/15/2027

    55       14  

5.750%, 06/15/2025

    5       2  

AMC Networks

               

4.250%, 02/15/2029

    264       165  

Audacy Capital

               

6.750%, 03/31/2029 (C)

     245       42  

6.500%, 05/01/2027 (C)

     130       25  

Beasley Mezzanine Holdings

               

8.625%, 02/01/2026 (C)

     590       354  

CCO Holdings

               

6.375%, 09/01/2029 (C)

     441       414  

4.750%, 03/01/2030 (C)

     180       155  

4.500%, 08/15/2030 (C)

     150       124  

4.250%, 02/01/2031 (C)

     125       100  

4.250%, 01/15/2034 (C)

     65       48  

Charter Communications Operating

               

4.400%, 12/01/2061

    40       26  

3.950%, 06/30/2062

    155       91  

3.900%, 06/01/2052

    100       63  

3.700%, 04/01/2051

    120       73  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Clear Channel International

               

6.625%, 08/01/2025 (C)

   $ 403     $ 385  

Comcast

               

2.987%, 11/01/2063

    405       245  

2.937%, 11/01/2056

    295       182  

DISH DBS

               

7.750%, 07/01/2026

    275       222  

7.375%, 07/01/2028

    185       131  

5.750%, 12/01/2028 (C)

     135       108  

5.250%, 12/01/2026 (C)

     25       21  

5.125%, 06/01/2029

    145       94  

Lumen Technologies

               

4.500%, 01/15/2029 (C)

     275       190  

4.000%, 02/15/2027 (C)

     260       220  

Salem Media Group

               

6.750%, 06/01/2024 (C)

     161       156  

Sinclair Television Group

               

4.125%, 12/01/2030 (C)

     195       146  

Spanish Broadcasting System

               

9.750%, 03/01/2026 (C)

     200       115  

Stagwell Global

               

5.625%, 08/15/2029 (C)

     399       329  

TEGNA

               

4.625%, 03/15/2028

    438       416  

T-Mobile USA

               

3.500%, 04/15/2031

    210       181  

3.375%, 04/15/2029

    65       57  

Urban One

               

7.375%, 02/01/2028 (C)

     810       685  

Verizon Communications

               

3.000%, 11/20/2060

    20       12  

2.987%, 10/30/2056

    240       146  

Windstream Escrow

               

7.750%, 08/15/2028 (C)

     250       204  
                 
              6,150  
                 

Consumer Discretionary — 2.6%

        

1011778 BC ULC

               

4.000%, 10/15/2030 (C)

     240       194  

3.500%, 02/15/2029 (C)

     177       152  

Abercrombie & Fitch Management

               

8.750%, 07/15/2025 (C)

     276       271  

Academy

               

6.000%, 11/15/2027 (C)

     230       220  

Adient Global Holdings Ltd

               

4.875%, 08/15/2026 (C)

     48       45  

Altice Financing

               

5.750%, 08/15/2029 (C)

     225       177  

American Greetings

               

8.750%, 04/15/2025 (C)

     225       216  

Aramark Services

               

6.375%, 05/01/2025 (C)

     280       277  

 

 

 

188

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Bath & Body Works

               

7.600%, 07/15/2037

  $ 5     $ 4  

6.750%, 07/01/2036

    175       154  

6.625%, 10/01/2030 (C)

     60       56  

Bloomin' Brands

               

5.125%, 04/15/2029 (C)

     374       315  

Caesars Entertainment

               

8.125%, 07/01/2027 (C)

     359       353  

Caesars Resort Collection

               

5.750%, 07/01/2025 (C)

     429       420  

Carnival

               

10.500%, 02/01/2026 (C)

     95       95  

9.875%, 08/01/2027 (C)

     270       255  

5.750%, 03/01/2027 (C)

     15       11  

4.000%, 08/01/2028 (C)

     45       37  

Cengage Learning

               

9.500%, 06/15/2024 (C)

     185       176  

Clarios Global

               

6.750%, 05/15/2025 (C)

     93       93  

4.375%, 05/15/2026

  EUR 224       221  

CMG Media

               

8.875%, 12/15/2027 (C)

   $ 430       324  

CSC Holdings

               

7.500%, 04/01/2028 (C)

     100       68  

5.750%, 01/15/2030 (C)

     130       73  

Dave & Buster's

               

7.625%, 11/01/2025 (C)

     241       242  

Diamond Sports Group

               

6.625%, 08/15/2027 (C)

     312       2  

5.375%, 08/15/2026 (C)

     480       56  

DirecTV Financing

               

5.875%, 08/15/2027 (C)

     80       72  

Empire Resorts

               

7.750%, 11/01/2026 (C)

     510       409  

Ferrellgas

               

5.875%, 04/01/2029 (C)

     361       297  

Ford Motor Credit

               

5.113%, 05/03/2029

    55       50  

4.271%, 01/09/2027

    30       27  

3.815%, 11/02/2027

    315       277  

2.900%, 02/10/2029

    10       8  

General Motors

               

4.875%, 10/02/2023

    648       646  

Golden Entertainment

               

7.625%, 04/15/2026 (C)

     437       431  

Jacobs Entertainment

               

6.750%, 02/15/2029 (C)

     170       153  

Las Vegas Sands

               

3.200%, 08/08/2024

    631       596  

Liberty Interactive

               

8.250%, 02/01/2030

    485       221  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MGM Resorts International

               

5.750%, 06/15/2025

  $ 393     $ 382  

Midwest Gaming Borrower

               

4.875%, 05/01/2029 (C)

     314       267  

NCL

               

7.750%, 02/15/2029 (C)

     159       120  

5.875%, 03/15/2026 (C)

     100       79  

5.875%, 02/15/2027 (C)

     428       371  

3.625%, 12/15/2024 (C)

     515       440  

PetSmart

               

4.750%, 02/15/2028 (C)

     124       112  

Royal Caribbean Cruises

               

11.625%, 08/15/2027 (C)

     105       105  

5.500%, 08/31/2026 (C)

     160       135  

StoneMor

               

8.500%, 05/15/2029 (C)

     300       240  

Sugarhouse HSP Gaming Prop Mezz

               

5.875%, 05/15/2025 (C)

     155       145  

VOC Escrow

               

5.000%, 02/15/2028 (C)

     165       142  

VZ Secured Financing BV

               

5.000%, 01/15/2032 (C)

     145       118  

WW International

               

4.500%, 04/15/2029 (C)

     265       132  

Wynn Las Vegas

               

5.500%, 03/01/2025 (C)

     50       48  

5.250%, 05/15/2027 (C)

     60       54  

4.250%, 05/30/2023 (C)

     37       36  

Wynn Macau

               

5.500%, 01/15/2026 (C)

     95       87  

5.500%, 10/01/2027 (C)

     70       61  

Wynn Resorts Finance

               

7.750%, 04/15/2025 (C)

     120       119  

Yum! Brands

               

5.375%, 04/01/2032

    160       148  
                 
              11,035  
                 

Consumer Staples — 1.1%

        

Albertsons

               

7.500%, 03/15/2026 (C)

     1,452       1,483  

3.500%, 02/15/2023 (C)

     400       397  

BellRing Brands

               

7.000%, 03/15/2030 (C)

     218       210  

Coca-Cola

               

2.750%, 06/01/2060

    72       48  

2.500%, 06/01/2040

    145       106  

Dufry One BV

               

2.000%, 02/15/2027

  EUR 384       334  

New Albertsons

               

8.700%, 05/01/2030

  $ 235       252  

8.000%, 05/01/2031

    60       62  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

189

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Rite Aid

               

8.000%, 11/15/2026 (C)

   $ 272     $ 145  

US Foods

               

6.250%, 04/15/2025 (C)

     898       889  

Vector Group

               

10.500%, 11/01/2026 (C)

     90       89  

5.750%, 02/01/2029 (C)

     305       264  
                 
              4,279  
                 

Energy — 2.3%

        

Aethon United BR

               

8.250%, 02/15/2026 (C)

     160       159  

Ascent Resources Utica Holdings

               

8.250%, 12/31/2028 (C)

     330       323  

7.000%, 11/01/2026 (C)

     41       40  

Athabasca Oil

               

9.750%, 11/01/2026 (C)

     22       23  

Blue Racer Midstream

               

6.625%, 07/15/2026 (C)

     155       150  

Carrizo Oil & Gas

               

8.250%, 07/15/2025

    200       199  

Chesapeake Energy

               

5.500%, 02/01/2026 (C)

     148       143  

Chesapeake Energy (Escrow Security)

               

0.000%, 12/31/2049 (A)(D)

     225       4  

CITGO Petroleum

               

7.000%, 06/15/2025 (C)

     206       201  

Comstock Resources

               

5.875%, 01/15/2030 (C)

     160       138  

CrownRock

               

5.625%, 10/15/2025 (C)

     263       254  

DCP Midstream Operating

               

3.250%, 02/15/2032

    125       103  

Earthstone Energy Holdings

               

8.000%, 04/15/2027 (C)

     185       177  

Encino Acquisition Partners Holdings

               

8.500%, 05/01/2028 (C)

     276       252  

Enerflex

               

9.000%, 10/15/2027 (C)

     132       132  

EnLink Midstream

               

6.500%, 09/01/2030 (C)

     25       25  

5.625%, 01/15/2028 (C)

     80       76  

5.375%, 06/01/2029

    230       213  

EnLink Midstream Partners

               

8.879%, ICE LIBOR USD 3 Month + 4.110%(E)(F)

     295       243  

EQT

               

7.000%, 02/01/2030

    115       119  

Genesis Energy

               

8.000%, 01/15/2027

    245       231  

7.750%, 02/01/2028

    160       147  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Greenfire Resources

               

12.000%, 08/15/2025 (C)

   $ 189     $ 201  

Harvest Midstream I

               

7.500%, 09/01/2028 (C)

     467       446  

ITT Holdings

               

6.500%, 08/01/2029 (C)

     160       135  

NGL Energy Operating

               

7.500%, 02/01/2026 (C)

     360       321  

NGL Energy Partners

               

7.500%, 11/01/2023

    110       107  

7.500%, 04/15/2026

    165       126  

6.125%, 03/01/2025

    145       118  

Northern Oil and Gas

               

8.125%, 03/01/2028 (C)

     175       168  

Occidental Petroleum

               

6.125%, 01/01/2031

    125       126  

4.625%, 06/15/2045

    120       96  

4.500%, 07/15/2044

    10       8  

4.400%, 04/15/2046

    10       8  

PBF Holding

               

6.000%, 02/15/2028

    384       343  

Petroleos Mexicanos

               

6.500%, 03/13/2027

    1,006       918  

Petroleos Mexicanos MTN

               

6.750%, 09/21/2047

    1,463       933  

Range Resources

               

8.250%, 01/15/2029

    161       166  

Rockcliff Energy II

               

5.500%, 10/15/2029 (C)

     196       179  

Shelf Drilling Holdings

               

8.250%, 02/15/2025 (C)

     280       242  

SM Energy

               

5.625%, 06/01/2025

    585       562  

Strathcona Resources

               

6.875%, 08/01/2026 (C)

     497       363  

Summit Midstream Holdings

               

8.500%, 10/15/2026 (C)

     93       89  

Transocean

               

11.500%, 01/30/2027 (C)

     185       185  

6.800%, 03/15/2038

    175       111  
                 
              9,303  
                 

Financials — 0.8%

        

AG Issuer

               

6.250%, 03/01/2028 (C)

     180       165  

Armor Holdco

               

8.500%, 11/15/2029 (C)

     315       236  

Finance of America Funding

               

7.875%, 11/15/2025 (C)

     475       245  

Freedom Mortgage

               

8.250%, 04/15/2025 (C)

     398       358  

6.625%, 01/15/2027 (C)

     360       280  

 

 

 

190

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Home Point Capital

               

5.000%, 02/01/2026 (C)

   $ 380     $ 263  

LD Holdings Group

               

6.500%, 11/01/2025 (C)

     290       196  

6.125%, 04/01/2028 (C)

     200       121  

Novo Banco MTN

               

3.500%, 01/02/2043

  EUR 20       17  

3.500%, 01/23/2043

    280       234  

PennyMac Financial Services

               

5.750%, 09/15/2031 (C)

   $ 40       32  

4.250%, 02/15/2029 (C)

     180       140  

Rithm Capital

               

6.250%, 10/15/2025 (C)

     280       251  

United Wholesale Mortgage

               

5.750%, 06/15/2027 (C)

     220       189  

VistaJet Malta Finance

               

6.375%, 02/01/2030 (C)

     265       213  

WeWork

               

7.875%, 05/01/2025 (C)

     485       184  
                 
              3,124  
                 

Health Care — 0.7%

        

Akumin

               

7.000%, 11/01/2025 (C)

     470       337  

Akumin Escrow

               

7.500%, 08/01/2028 (C)

     230       140  

Bausch Health

               

6.250%, 02/15/2029 (C)

     315       152  

5.250%, 01/30/2030 (C)

     155       74  

5.000%, 02/15/2029 (C)

     55       26  

4.875%, 06/01/2028 (C)

     35       22  

Bristol-Myers Squibb

               

2.550%, 11/13/2050

    250       157  

Centene

               

4.625%, 12/15/2029

    360       329  

3.375%, 02/15/2030

    163       138  

2.625%, 08/01/2031

    360       283  

2.500%, 03/01/2031

    215       168  

Embecta

               

6.750%, 02/15/2030 (C)

     165       149  

Endo

               

5.875%, 10/15/2024 (C)(G)

     85       67  

Endo DAC

               

9.500%, 07/31/2027 (C)(G)

     194       27  

6.000%, 06/30/2028 (C)(G)

     193       10  

Endo Luxembourg Finance I S.a.r.l.

               

6.125%, 04/01/2029 (C)(G)

     25       19  

Envision Healthcare

               

8.750%, 10/15/2026 (C)

     155       43  

Jazz Securities DAC

               

4.375%, 01/15/2029 (C)

     94       84  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Lannett

               

7.750%, 04/15/2026 (C)

   $ 540     $ 140  

Medline Borrower

               

3.875%, 04/01/2029 (C)

     195       157  

Organon

               

4.125%, 04/30/2028 (C)

     79       70  

Par Pharmaceutical

               

7.500%, 04/01/2027 (C)(G)

     80       61  

Prime Security Services Borrower

               

6.250%, 01/15/2028 (C)

     70       64  

Tenet Healthcare

               

6.125%, 06/15/2030 (C)

     150       143  
                 
              2,860  
                 

Industrials — 1.3%

        

ADT

               

4.125%, 06/15/2023

    57       56  

American Airlines

               

11.750%, 07/15/2025 (C)

     276       296  

Avianca Midco 2

               

9.000%, 12/01/2028 (C)

     368       272  

Bombardier

               

7.875%, 04/15/2027 (C)

     115       111  

Builders FirstSource

               

4.250%, 02/01/2032 (C)

     240       195  

Camelot Return Merger Sub

               

8.750%, 08/01/2028 (C)

     148       136  

Chart Industries

               

9.500%, 01/01/2031 (C)

     47       48  

7.500%, 01/01/2030 (C)

     94       94  

Cornerstone Building Brands

               

6.125%, 01/15/2029 (C)

     150       106  

Delta Air Lines

               

7.000%, 05/01/2025 (C)

     787       804  

4.750%, 10/20/2028 (C)

     197       185  

2.900%, 10/28/2024

    122       116  

Fortress Transportation and Infrastructure Investors

               

9.750%, 08/01/2027 (C)

     135       135  

GFL Environmental

               

3.750%, 08/01/2025 (C)

     293       277  

Monitronics International (Escrow Security)

               

9.125%, 04/01/2020 (A)(G)

     495       –  

Neptune Bidco US

               

9.290%, 04/15/2029 (C)

     404       381  

Raytheon Technologies

               

3.030%, 03/15/2052

    130       88  

2.820%, 09/01/2051

    185       120  

Spirit Loyalty Cayman

               

8.000%, 09/20/2025 (C)

     352       353  

Team Health Holdings

               

6.375%, 02/01/2025 (C)

     120       69  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

191

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

TransDigm

               

8.000%, 12/15/2025 (C)

   $ 370     $ 375  

6.250%, 03/15/2026 (C)

     311       307  

Triumph Group

               

7.750%, 08/15/2025

    70       60  

Tutor Perini

               

6.875%, 05/01/2025 (C)

     285       249  

Western Global Airlines

               

10.375%, 08/15/2025 (C)

     90       68  
                 
              4,901  
                 

Information Technology — 0.5%

        

Apple

               

2.700%, 08/05/2051

    40       26  

2.650%, 05/11/2050

    455       301  

2.650%, 02/08/2051

    75       49  

2.375%, 02/08/2041

    45       32  

Avaya

               

6.125%, 09/15/2028 (C)

     195       60  

Boxer Parent

               

9.125%, 03/01/2026 (C)

     209       197  

Castle US Holding

               

9.500%, 02/15/2028 (C)

     170       67  

CommScope

               

8.250%, 03/01/2027 (C)

     185       143  

7.125%, 07/01/2028 (C)

     265       189  

6.000%, 03/01/2026 (C)

     150       138  

CommScope Technologies

               

6.000%, 06/15/2025 (C)

     36       33  

5.000%, 03/15/2027 (C)

     35       24  

Endurance International Group Holdings

               

6.000%, 02/15/2029 (C)

     187       129  

Intel

               

3.200%, 08/12/2061

    205       128  

3.100%, 02/15/2060

    60       37  

Presidio Holdings

               

8.250%, 02/01/2028 (C)

     331       307  

Veritas US

               

7.500%, 09/01/2025 (C)

     175       121  

Virtusa

               

7.125%, 12/15/2028 (C)

     200       152  
                 
              2,133  
                 

Materials — 1.5%

        

Axalta Coating Systems

               

3.375%, 02/15/2029 (C)

     280       231  

Baffinland Iron Mines

               

8.750%, 07/15/2026 (C)

     465       440  

CEMEX Materials

               

7.700%, 07/21/2025 (C)

     265       264  

Cornerstone Chemical

               

6.750%, 08/15/2024 (C)

     1,195       956  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Domtar

               

6.750%, 10/01/2028 (C)

   $ 345     $ 302  

Innophos Holdings

               

9.375%, 02/15/2028 (C)

     160       156  

LSB Industries

               

6.250%, 10/15/2028 (C)

     224       205  

Mauser Packaging Solutions Holding

               

8.500%, 04/15/2024 (C)

     592       580  

Mineral Resources

               

8.125%, 05/01/2027 (C)

     105       106  

Mineral Resources MTN

               

8.500%, 05/01/2030 (C)

     165       167  

8.000%, 11/01/2027 (C)

     35       36  

Mountain Province Diamonds

               

8.000%, 12/15/2022 (B)(C)

     –       –  

9.000%, 12/15/2025

    245       238  

Northwest Acquisitions ULC

               

7.125%, 11/01/2022 (A)(B)(C)(G)

     460       –  

Rain CII Carbon

               

7.250%, 04/01/2025 (C)

     530       488  

Rayonier AM Products

               

7.625%, 01/15/2026 (C)

     82       79  

Tacora Resources

               

8.250%, 05/15/2026 (C)

     305       220  

Trinseo Materials Operating

               

5.125%, 04/01/2029 (C)

     60       39  

Trivium Packaging Finance BV

               

5.500%, 08/15/2026 (C)

     394       361  

3.750%, 08/15/2026

  EUR 100       97  

Tronox

               

4.625%, 03/15/2029 (C)

   $ 738       614  
                 
              5,579  
                 

Real Estate — 0.5%

        

American Tower

               

3.700%, 10/15/2049

    25       18  

3.100%, 06/15/2050

    95       60  

2.950%, 01/15/2051

    200       124  

Crown Castle

               

3.250%, 01/15/2051

    35       23  

2.900%, 04/01/2041

    215       147  

Diversified Healthcare Trust

               

9.750%, 06/15/2025

    104       100  

4.750%, 05/01/2024

    85       72  

4.375%, 03/01/2031

    155       98  

Park Intermediate Holdings

               

7.500%, 06/01/2025 (C)

     169       169  

5.875%, 10/01/2028 (C)

     42       38  

Prologis

               

3.000%, 04/15/2050

    80       54  

2.125%, 10/15/2050

    150       83  

 

 

 

192

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Service Properties Trust

               

5.500%, 12/15/2027

  $ 5     $ 4  

4.950%, 02/15/2027

    150       118  

4.950%, 10/01/2029

    174       120  

4.750%, 10/01/2026

    120       94  

4.375%, 02/15/2030

    490       324  

4.350%, 10/01/2024

    156       142  

3.950%, 01/15/2028

    328       233  
                 
              2,021  
                 

Utilities — 1.0%

        

Alexander Funding Trust

               

1.841%, 11/15/2023 (C)

     120       115  

Calpine

               

5.250%, 06/01/2026 (C)

     134       127  

Eskom Holdings SOC

               

7.125%, 02/11/2025

    1,591       1,444  

Eskom Holdings SOC MTN

               

6.750%, 08/06/2023

    1,038       997  

Vistra Operations

               

5.625%, 02/15/2027 (C)

     140       133  

5.500%, 09/01/2026 (C)

     55       53  

3.550%, 07/15/2024 (C)

     1,297       1,244  
                 
              4,113  
                 

Total Corporate Obligations

                

(Cost $64,023) ($ Thousands)

             55,498  
                 
                 
   


Shares

          

REGISTERED INVESTMENT COMPANIES — 11.3%

Merger Fund , Cl I

    2,703,983       45,157  

Sprott Physical Uranium Trust

    19,864       232  
                 

Total Registered Investment Companies

               

(Cost $43,719) ($ Thousands)

             45,389  
                 
                 
   

Face Amount
(Thousands)

          

LOAN PARTICIPATIONS — 3.7%

1236904 B.C. Ltd., Initial Term Loan, 1st Lien

                

9.884%, LIBOR + 5.500%, 03/04/2027 (E)

   $ 258       245  

888 Holdings, Term Loan B, 1st Lien

                

9.930%, 07/08/2028

    215       190  

ACProducts Holdings, Inc., Initial Term Loan, 1st Lien

                

8.980%, LIBOR + 4.250%, 05/17/2028 (E)

     355       265  

Aegion, 1st Lien

                

9.134%, 05/17/2028 (E)

     139       129  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Agrofresh Inc., Initial Term Loan, 1st Lien

                

10.634%, 12/31/2024 (E)

   $ 198     $ 194  

AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien

                

7.274%, LIBOR + 3.000%, 04/22/2026 (E)(H)

     61       33  

American Tire, 1st Lien

                

10.608%, 10/20/2028 (E)

     217       197  

Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien

                

7.889%, LIBOR + 3.500%, 03/11/2028 (A)(E)

     197       182  

Aquity Solutions, 1st Lien

                

10.134%, 09/13/2026 (A)

     436       436  

Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien

                

17.500%, 12/31/2027 (A)

     259       258  

Avaya Inc., Tranche B-1 Term Loan, 1st Lien

                

8.568%, LIBOR + 4.250%, 12/15/2027 (E)(H)

     14       5  

Avaya Inc., Tranche B-2 Term Loan, 1st Lien

                

8.318%, LIBOR + 4.000%, 12/15/2027 (E)(H)

     91       31  

Aveanna Healthcare LLC, 2021 Extended Term Loan, 1st Lien

                

7.766%, 07/17/2028 (H)

     46       36  

Aveanna Healthcare LLC, Extended Term Loan, 1st Lien

                

8.139%, 07/17/2028 (E)(H)

     265       203  

Boardriders Inc., Closing Date Tranche A Loan, 1st Lien

                

10.867%, LIBOR + 6.500%, 10/23/2023 (A)(B)(E)

     47       46  

Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien

                

10.867%, LIBOR + 6.500%, 04/23/2024 (B)(E)

     274       226  

Carestream Take Back, 1st Lien

                

12.180%, CME Term SOFR + 7.500%, 09/30/2027 (A)(E)

     467       352  

Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 01/29/2027 (E)(H)

     147       89  

CBAC Borrower, LLC, Term Loan B, 1st Lien

                

8.384%, 07/08/2024

    159       155  

Cenveo, 1st Lien

                

11.781%, 12/31/2024 (A)

     95       95  

Cision, Incremental Term Loan B, 1st Lien

                

8.384%, LIBOR + 4.000%, 01/29/2027 (E)(H)

     158       96  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

193

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

ConvergeOne Holdings, Corp., Initial Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 01/04/2026 (E)

   $ 312     $ 180  

Cooper’s Hawk Intermediate Holding, LLC, Initial Term Loan, 1st Lien

                

10.884%, 10/31/2026 (A)(E)

     235       231  

Cooper's Hawk Intermediate Holding, Incremental Term Loan, 1st Lien

                

10.884%, 10/31/2026 (A)

     45       44  

Corelogic, Cov-Lite, 1st Lien

                

7.938%, 04/14/2028 (E)

     386       321  

Diamond Sports Group LLC, Term Loan, 1st Lien

                

12.317%, 05/25/2026 (E)(H)

     –       —  

DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 08/02/2027 (E)

     241       234  

DMT Solutions Global Corporation, Term B-2 Loan, 1st Lien

                

11.724%, 07/02/2024 (A)(E)

     103       97  

DMT Solutions Global Corporation, Term Loan

                

10.377%, 07/02/2024 (A)(E)

     89       84  

DMT Solutions Global, Initial Term Loan

                

12.238%, LIBOR + 7.500%, 07/02/2024 (A)(E)

     39       37  

11.237%, LIBOR + 7.500%, 07/02/2024 (A)(E)

     42       40  

Domtar Corporation, Cov-Lite, 1st Lien

                

9.792%, 11/30/2028

    13       12  

Domtar Corporation, Inital Term Loan, 1st Lien

                

9.792%, 11/30/2028 (E)

     95       91  

East Valley Tourist Development Authority , Term Loan, 1st Lien

                

11.481%, CME Term SOFR + 7.500%, 11/23/2026 (A)(E)

     172       167  

Eastman Tire, Term Loan B, 1st Lien

                

9.688%, 11/01/2028 (E)

     131       106  

ELO Touch Solutions, Term Loan B, 1st Lien

                

4.384%, 12/14/2025 (E)

     153       150  

Envision Healthcare Corp., 1st Lien

                

12.605%, CME Term SOFR + 7.875%, 03/31/2027 (E)

     96       85  

Envision Healthcare Corp., Second Out Term Loan, 1st Lien

                

8.830%, CME Term SOFR + 4.250%, 03/31/2027 (E)(H)

     725       247  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Epic Y-Grade Services, LP, Term Loan, 1st Lien

                

10.700%, LIBOR + 6.000%, 06/30/2027 (E)

   $ 1,158     $ 1,031  

Fertitta Enterntainment, LLC, Initial Term Loan B, 1st Lien

                

8.323%, 01/27/2029 (E)

     189       180  

Glass Mountain Holdings Pipeline, 1st Lien

                

8.890%, 10/28/2027 (B)

     16       13  

Global Medical Response, Inc., 2018 New Term Loan, 1st Lien

                

8.634%, LIBOR + 4.250%, 03/14/2025 (E)

     282       198  

Grab Holdings, Inc., Initial Term Loan, 1st Lien

                

8.890%, LIBOR + 4.500%, 01/29/2026 (E)

     218       215  

Hexion, 1st Lien

                

8.935%, 03/15/2029 (E)

     269       231  

J.C. Penney Corporation Inc., Term Loan, 1st Lien

                

5.250%, LIBOR + 4.250%, 06/23/2023 (A)(E)(G)

     378       —  

Jadex Inc., Refinancing Term Loan, 1st Lien

                

9.134%, 02/18/2028 (A)(E)

     153       137  

KNS Acquisition Corp., Initial Term Loan, 1st Lien

                

10.420%, LIBOR + 6.250%, 04/21/2027 (E)

     321       289  

Libbey Glass LLC, Incremental Term Loan, 1st Lien

                

12.951%, 11/22/2027

    250       231  

Libbey, 1st Lien

                

11.941%, 11/13/2025

    118       120  

LifeScan Global Corp., Initial Term Loan, 1st Lien

                

9.743%, LIBOR + 6.000%, 10/01/2024 (E)(H)

     1,083       777  

LifeScan, 2nd Lien

                

13.243%, 10/01/2025 (E)

     85       56  

Liftoff Mobile, 1st Lien

                

8.134%, 09/23/2028 (E)

     333       203  

Lumileds, 1st Lien

                

13.676%, CME Term SOFR + 9.000%, 10/31/2027 (E)

     28       24  

Mashantucket (Western) Pequot Tribe, Term Loan B, 1st Lien

                

11.509%, LIBOR + 8.125%, 02/16/2025 (E)

     494       461  

 

 

 

194

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Mavenir Systems, Inc., Initial Term Loan, 1st Lien

                

10.019%, CME Term SOFR + 5.750%, 08/18/2028 (A)(E)

   $ 79     $ 64  

9.424%, LIBOR + 4.750%, 08/18/2028 (A)(E)

     410       331  

Mcgraw-Hill Education Inc., Initial Term Loan, 1st Lien

                

8.316%, 07/28/2028 (E)

     282       265  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 10/23/2028 (E)

     197       187  

Newport Parent, Inc., Initial Term Loan, 1st Lien

                

11.230%, 12/10/2027 (E)

     226       223  

Onex TSG Intermediate Corp., Initial Term Loan, 1st Lien

                

9.165%, 02/28/2028 (E)

     204       181  

Peraton Corp., Term B Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 02/01/2028 (E)

     198       193  

PLNTF Holdings Inc., 1st Lien

                

12.753%, 03/22/2026 (A)

     202       191  

Pluto Acquistion I, Inc., 1st Lien

                

8.735%, 06/22/2026 (A)

     180       121  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

                

12.389%, LIBOR + 8.000%, 03/20/2024 (B)(E)

     112       90  

12.384%, LIBOR + 8.000%, 03/20/2024 (B)(E)

     82       67  

Prince International/Chromaflo/Ferro2, Term Loan B, 1st Lien

                

8.494%, 04/23/2029 (E)(H)

     334       281  

Quantum Health, Inc., Amendment No. 1 Refinancing Term Loan, 1st Lien

                

8.884%, 12/22/2027 (A)(E)

     147       123  

Quest Software, Initial Term Loan, 1st Lien

                

8.494%, 02/01/2029 (E)

     325       249  

Revlon Consumer Products Corp., 2016 Term Loan, 1st Lien

                

5.576%, LIBOR + 3.500%, 09/07/2023 (E)(G)

     886       164  

RXB Holdings Inc., Initial Term Loan, 1st Lien

                

8.717%, 12/20/2027 (A)(E)

     210       196  

S&S Holdings, LLC, Cov-Lite, 1st Lien

                

9.292%, 03/11/2028 (E)

     7       7  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

S&S Holdings, LLC, Initial Term Loan, 1st Lien

                

9.292%, LIBOR + 5.000%, 03/11/2028 (E)

   $ 279     $ 252  

Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien

                

10.172%, 06/19/2026

    208       204  

SWF Holdings I Corp., Initial Term Loan, 1st Lien

                

8.753%, LIBOR + 4.000%, 10/06/2028 (E)

     318       259  

Syniverse Holdings, Initial Term Loan, 1st Lien

                

10.553%, CME Term SOFR + 7.000%, 05/13/2027 (E)

     545       473  

Team Health Holdings, Inc., Extended Term Loan, 1st Lien

                

9.573%, CME Term SOFR + 5.250%, 03/02/2027 (E)(H)

     500       374  

Travelport Finance (Luxembourg) S.a r.l., 2021 Consented Term Loan, 1st Lien

                

9.730%, LIBOR + 5.000%, 05/29/2026 (E)(H)

     211       143  

Travelport Finance (Luxembourg) S.a r.l., Initial Term Loan (Priority), 1st Lien

                

6.230%, LIBOR + 1.500%, 02/28/2025 (E)(H)

     130       130  

VC GB Holdings Corp, Initial Term Loan, 1st Lien

                

7.884%, 07/21/2028 (E)

     283       254  

Vida Capital, Term Loan

                

10.384%, 10/01/2026

    171       131  

WW International, Inc., Intial Term Loan, 1st Lien

                

7.890%, 04/13/2028

    35       19  
                 
                 

Total Loan Participations

                

(Cost $17,175) ($ Thousands)

             14,927  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 3.5%

U.S. Treasury Bills

               

4.255%, 03/16/2023 (I)

     1,000       992  

4.254%, 03/23/2023 (I)

     1,000       990  

4.224%, 02/28/2023 (I)

     6,000       5,960  

4.147%, 02/21/2023 (I)

     6,000       5,966  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

195

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

U.S. Treasury Notes

               

4.125%, 11/15/2032

  $ 177     $ 181  
         

Total U.S. Treasury Obligations

        

(Cost $14,088) ($ Thousands)

     14,089  
                 
                 
                 

SOVEREIGN DEBT — 2.4%
                 

Angolan Government International Bond

                

9.375%, 05/08/2048

     611       483  

8.750%, 04/14/2032(C)

     313       270  

8.000%, 11/26/2029

     887       777  

Argentine Republic Government International Bond

                

1.500%, 07/09/2035(J)

     6,167       1,564  

Dominican Republic International Bond

                

5.875%, 01/30/2060

     1,377       1,008  

Iraq Government International Bond

                

5.800%, 01/15/2028

     768       707  

Nigeria Government International Bond MTN

                

8.375%, 03/24/2029

     1,097       908  

Republic of South Africa Government Bond

                

10.500%, 12/21/2026

   ZAR 35,088       2,170  

8.750%, 02/28/2048

     33,460       1,531  

Ukraine Government International Bond

                

0.026%, 08/01/2041(E)

   $ 758       211  
                 

Total Sovereign Debt

        

(Cost $11,032) ($ Thousands)

     9,629  
                 
                 
   


Shares

          

FOREIGN COMMON STOCK — 2.3%
                 

Australia — 0.3%

        

South32 Ltd

    430,262       1,167  
                 
                 
                 

Belgium — 0.1%

        

X-Fab Silicon Foundries *

     45,423       321  
                 
                 
                 

Canada — 0.1%

        

NexGen Energy *

     131,430       582  

Yamana Gold

    5,100       28  
                 
              610  
                 

Israel — 0.9%

        

Tower Semiconductor Ltd *

     82,872       3,580  
                 
                 
                 

Taiwan — 0.9%

        

Silicon Motion Technology Corp ADR

    56,344       3,662  
                 
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Total Foreign Common Stock

               

(Cost $9,729) ($ Thousands)

           $ 9,340  
                 
                 
   

Face Amount
(Thousands)

          

CONVERTIBLE BONDS — 0.8%

Avaya

                

8.000% , 12/15/2027

   $ 330       109  

Coupa Software

                

0.125% , 06/15/2025

     510       493  

0.375% , 06/15/2026

     1,934       1,859  

Liberty Interactive

                

4.000% , 11/15/2029

     55       18  

3.750% , 02/15/2030

     229       78  

Liberty Latin America

                

2.000% , 07/15/2024

     265       235  

North Sea Natural Resources

                

0.000%, (A)(F)(K)

     94       94  

Silver Airways LLC

                

13.000% , 12/31/2027(A)

     303       304  
                 

Total Convertible Bonds

                

(Cost $3,519) ($ Thousands)

             3,190  
                 
                 
                 

ASSET-BACKED SECURITIES — 0.3%

Other Asset-Backed Securities — 0.3%

        
         

CFIP CLO, Ser 2021-1A, Cl D

                

7.783%, ICE LIBOR USD 3 Month + 3.540%, 01/20/2035(C)(E)

     250       223  

Marathon CLO, Ser 2021-17A, Cl C

                

8.353%, ICE LIBOR USD 3 Month + 4.110%, 01/20/2035(C)(E)

     250       219  

Octagon Investment Partners 43, Ser 2019-1A, Cl D

                

8.258%, ICE LIBOR USD 3 Month + 3.900%, 10/25/2032(C)(E)

     250       236  

STWD, Ser 2021-FL2, Cl D

                

7.126%, ICE LIBOR USD 1 Month + 2.800%, 04/18/2038(C)(E)

     100       93  

STWD, Ser 2021-FL2, Cl E

                

7.876%, ICE LIBOR USD 1 Month + 3.550%, 04/18/2038(C)(E)

     100       89  

TRTX, Ser 2021-FL4, Cl D

                

7.926%, ICE LIBOR USD 1 Month + 3.600%, 03/15/2038(C)(E)

     100       91  

TRTX, Ser 2021-FL4, Cl E

                

8.676%, ICE LIBOR USD 1 Month + 4.350%, 03/15/2038(C)(E)

     100       91  

 

 

 

196

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Venture XVII CLO, Ser 2018-17A, Cl DRR

                

6.899%, ICE LIBOR USD 3 Month + 2.820%, 04/15/2027(C)(E)

   $ 200     $ 188  
                 
                 

Total Asset-Backed Securities

                

(Cost $1,345) ($ Thousands)

             1,230  
                 
   


Shares

          

PREFERRED STOCK — 0.2%
                 

Consumer Discretionary — 0.1%

        

Boardriders Inc., Ser A *(A)(B)(F)

     25,646       30  

Bowlero *(A)(F)

     290       296  

Guitar Center *(A)(B)(F)

     39       3  
                 
              329  

Information Technology — 0.1%

        

Syniverse *(A)(F)

     437,282       420  
                 
                 

Total Preferred Stock

               

(Cost $722) ($ Thousands)

             749  
                 
                 
      Number of
Warrants		          

WARRANTS — 0.1%

Accretion Acquisition, Expires 02/22/2023

                

Strike Price $11.50 *

     46,548       1  

Achari Ventures Holdings I, Expires 08/08/2026

                

Strike Price $11.50 *

     48,686       3  

Aequi Acquisition, Expires 12/03/2027

                

Strike Price $11.50 *

     16,618       1  

Aetherium Acquisition, Expires 01/24/2028

                

Strike Price $11.50 *

     15,770       –  

AF Acquisition, Expires 04/03/2028

                

Strike Price $11.50 *

     13,087       –  

Agile Growth, Expires 01/03/2028

                

Strike Price $11.50 *

     3,539       –  

Alpha Partners Technology Merger, Expires 04/03/2028

                

Strike Price $11.50 *

     7,178       –  

ALSP Orchid Acquisition I, Expires 12/03/2028

                

Strike Price $11.50 *

     18,864       1  

Altimar Acquisition III, Expires 01/03/2029

                

Strike Price $11.50 *

     2,861       –  

Andretti Acquisition, Expires 03/26/2028

                

Strike Price $11.50 *

     4,420       –  

Anzu Special Acquisition I, Expires 01/03/2028

                

Strike Price $11.50 *

     23,125       1  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

APx Acquisition I, Expires 08/22/2028

                

Strike Price $11.50 *

     21,464     $ –  

Armada Acquisition I, Expires 12/20/2026

                

Strike Price $11.50 *

     6,659       –  

Arrowroot Acquisition, Expires 03/05/2026

                

Strike Price $11.50 *

     20,183       –  

Astrea Acquisition, Expires 01/16/2026

                

Strike Price $11.50 *

     26,958       –  

Atlantic Coastal Acquisition II, Expires 06/05/2028

                

Strike Price $11.50 *

     28,860       2  

Ault Disruptive Technologies, Expires 06/23/2028

                

Strike Price $11.50 *

     9,462       –  

Authentic Equity Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     46,561       1  

Avalon Acquisition, Expires 03/01/2023

                

Strike Price $11.50 *

     46,575       3  

Bannix Acquisition, Expires 02/22/2023

                

Strike Price $11.50 *

     53,650       1  

Battery Future Acquisition, Expires 05/29/2028

                

Strike Price $11.50 *

     1,717       –  

Belong Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     2,180       –  

Biotech Acquisition, Expires 12/03/2027

                

Strike Price $11.50 *

     74,558       5  

Bite Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     30,877       2  

Blockchain Moon Acquisition, Expires 10/17/2026

                

Strike Price $11.50 *

     4,486       –  

Blue Ocean Acquisition, Expires 10/24/2028

                

Strike Price $11.50 *

     31,134       2  

BlueRiver Acquisition, Expires 01/07/2026

                

Strike Price $11.50 *

     5,848       –  

Build Acquisition, Expires 05/02/2023

                

Strike Price $11.50 *

     16,806       –  

Bullpen Parlay Acquisition, Expires 12/06/2026

                

Strike Price $11.50 *

     10,366       –  

BurTech Acquisition, Expires 12/21/2026

                

Strike Price $11.50 *

     53,396       –  

BYTE Acquisition, Expires 01/03/2029

                

Strike Price $11.50 *

     18,478       2  

Capitalworks Emerging Markets Acquisition, Expires 04/30/2028

                

Strike Price $11.50 *

     21,895       1  

Carney Technology Acquisition II, Expires 12/03/2027

                

Strike Price $11.50 *

     6,459       –  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

197

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Catcha Investment, Expires 01/03/2028

                

Strike Price $11.50 *

     11,652     $ –  

CENAQ Energy, Expires 01/03/2028

                

Strike Price $11.50 *

     14,908       2  

CF Acquisition VIII, Expires 01/03/2028

                

Strike Price $11.50 *

     2,768       –  

Churchill Capital V, Expires 11/01/2027

                

Strike Price $11.50 *

     15,090       1  

Churchill Capital VI, Expires 01/03/2028

                

Strike Price $11.50 *

     14,796       1  

Churchill Capital VII, Expires 03/03/2028

                

Strike Price $11.50 *

     56,400       3  

CIIG Capital Partners II, Expires 03/02/2028

                

Strike Price $11.50 *

     73,690       5  

Class Acceleration, Expires 04/03/2028

                

Strike Price $11.50 *

     19,629       –  

Consilium Acquisition I, Expires 06/04/2027

                

Strike Price $11.50 *

     39,874       1  

Constellation Acquisition I, Expires 01/03/2028

                

Strike Price $11.50 *

     24,013       1  

Crown PropTech Acquisitions, Expires 01/03/2028

                

Strike Price $11.50 *

     2,915       –  

Crystal Peak Acquisition, Expires 06/25/2026

                

Strike Price $11.50 *

     6,877       3  

D & Z Media Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     11,193       1  

Data Knights Acquisition, Expires 01/03/2029

                

Strike Price $11.50 *

     23,366       1  

Deep Lake Capital Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     8,691       –  

DHC Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     15,760       –  

Digital Transformation Opportunities, Expires 04/03/2028

                

Strike Price $11.50 *

     24,294       2  

ECARX Holdings, Expires 12/24/2027

                

Strike Price $11.50 *

     16,779       2  

Edify Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     22,125       1  

Energem, Expires 03/13/2023

                

Strike Price $11.50 *

     17,299       2  

EQ Health Acquisition, Expires 02/05/2028

                

Strike Price $11.50 *

     11,911       –  

Financial Strategies Acquisition, Expires 04/03/2028

                

Strike Price $11.50 *

     137,665       1  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Finnovate Acquisition, Expires 04/18/2023

                

Strike Price $11.50 *

     32,229     $ 1  

Fintech Ecosystem Development, Expires 01/03/2029

                

Strike Price $11.50 *

     3,756       –  

Fintech Evolution Acquisition Group, Expires 04/03/2028

                

Strike Price $11.50 *

     5,940       –  

Fortress Capital Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     798       –  

FOXO Technologies, Expires 08/04/2027

                

Strike Price $11.50 *

     24,076       1  

FTAC Athena Acquisition, Expires 03/04/2026

                

Strike Price $11.50 *

     5,706       –  

FTAC Hera Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     5,925       –  

Fusion Acquisition II, Expires 01/03/2028

                

Strike Price $11.50 *

     50,684       –  

G Squared Ascend II, Expires 01/03/2027

                

Strike Price $11.50 *

     3,633       –  

GigCapital5, Expires 01/03/2029

                

Strike Price $11.50 *

     86,668       3  

Globalink Investment, Expires 12/06/2026

                

Strike Price $11.50 *

     121,483       1  

Goal Acquisitions, Expires 02/14/2026

                

Strike Price $11.50 *

     89,244       4  

Golden Arrow Merger, Expires 08/03/2026

                

Strike Price $11.50 *

     7,511       –  

Greenfire Resources, Expires 08/15/2026

                

Strike Price $– *(A)

     272       95  

Growth For Good Acquisition, Expires 11/15/2026

                

Strike Price $11.50 *

     4,200       –  

GSR II Meteora Acquisition, Expires 07/25/2023

                

Strike Price $11.50 *

     4,835       –  

Guitar Center, Expires 12/22/2070

                

Strike Price $100.00 *(A)(B)

     574       54  

Guitar Center, Expires 12/22/2070

                

Strike Price $160.00 *(A)(B)

     574       32  

HCM ACQUISITION CORP, Expires 01/03/2028

                

Strike Price $11.50 *

     11,149       –  

Healthwell Acquisition I, Expires 08/08/2028

                

Strike Price $11.50 *

     6,557       –  

HH&L Acquisition, Expires 02/07/2026

                

Strike Price $11.50 *

     27,521       2  

 

 

 

198

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Inception Growth Acquisition, Expires 10/18/2026

                

Strike Price $11.50 *

     21,147     $ 1  

Innovative International Acquisition, Expires 04/06/2023

                

Strike Price $11.50 *

     13,586       –  

International Media Acquisition, Expires 01/03/2029

                

Strike Price $11.50 *

     48,378       1  

Investcorp Europe Acquisition I, Expires 11/26/2028

                

Strike Price $11.50 *

     7,230       –  

Itiquira Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     2,437       –  

Jaws Mustang Acquisition, Expires 02/02/2026

                

Strike Price $11.50 *

     21,953       1  

Kadem Sustainable Impact, Expires 03/19/2026

                

Strike Price $11.50 *

     11,709       –  

Kairos Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     51,794       –  

Kalera, Expires 07/01/2027

                

Strike Price $11.50 *

     36,300       1  

Kernel Group Holdings, Expires 02/03/2027

                

Strike Price $11.50 *

     35,870       –  

KINS Technology Group, Expires 01/03/2026

                

Strike Price $11.50 *

     3,480       –  

L Catterton Asia Acquisition, Expires 03/18/2026

                

Strike Price $11.50 *

     17,352       1  

LAMF Global Ventures I, Expires 04/07/2023

                

Strike Price $11.50 *

     72       –  

LDH Growth I, Expires 01/03/2029

                

Strike Price $11.50 *

     4,517       –  

Leo Holdings II, Expires 01/10/2028

                

Strike Price $11.50 *

     35,811       1  

Levere Holdings, Expires 01/03/2029

                

Strike Price $11.50 *

     4,074       –  

Liberty Resources Acquisition, Expires 11/03/2028

                

Strike Price $11.50 *

     35,149       3  

M3-Brigade Acquisition II, Expires 01/03/2028

                

Strike Price $11.50 *

     14,151       1  

Macondray Capital Acquisition I, Expires 05/20/2026

                

Strike Price $11.50 *

     7,733       –  

Magnum Opus Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     4,145       –  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Marblegate Acquisition, Expires 09/03/2028

                

Strike Price $11.50 *

     2,152     $ –  

Marlin Technology, Expires 03/08/2026

                

Strike Price $11.50 *

     3,727       –  

Mason Industrial Technology, Expires 01/03/2028

                

Strike Price $11.50 *

     12,791       –  

Maxpro Capital Acquisition, Expires 01/25/2023

                

Strike Price $11.50 *

     39,199       2  

MDH Acquisition, Expires 02/05/2028

                

Strike Price $11.50 *

     5,513       –  

Minority Equality Opportunities Acquisition, Expires 05/02/2023

                

Strike Price $11.50 *

     87,572       4  

Monterey Bio Acquisition, Expires 06/10/2023

                

Strike Price $11.50 *

     30,129       1  

Monument Circle Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     59,096       –  

MSD Acquisition, Expires 05/16/2023

                

Strike Price $11.50 *

     4,246       –  

Noble, Expires 02/07/2028

                

Strike Price $19.27 *

     1,235       28  

Noble, Expires 02/07/2028

                

Strike Price $23.13 *

     1,235       25  

Noble Rock Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     12,133       1  

Nogin, Expires 08/29/2027

                

Strike Price $11.50 *

     14,619       –  

Northern Star Investment II, Expires 02/03/2028

                

Strike Price $11.50 *

     4,726       –  

Northern Star Investment III, Expires 02/28/2028

                

Strike Price $11.50 *

     5,816       –  

Northern Star Investment IV, Expires 01/03/2028

                

Strike Price $11.50 *

     2,543       –  

Nova Vision Acquisition, Expires 01/03/2029

                

Strike Price $11.50 *

     18,235       –  

OCA Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     21,124       –  

OceanTech Acquisitions I, Expires 05/13/2026

                

Strike Price $11.50 *

     8,737       –  

OmniLit Acquisition, Expires 11/11/2026

                

Strike Price $11.50 *

     5,046       –  

Osiris Acquisition, Expires 05/04/2028

                

Strike Price $11.50 *

     9,529       1  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

199

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Oxbridge Acquisition, Expires 01/22/2023

                

Strike Price $11.50 *

     46,667     $ 2  

Oxus Acquisition, Expires 01/30/2023

                

Strike Price $11.50 *

     1,312       –  

Parabellum Acquisition, Expires 10/03/2026

                

Strike Price $11.50 *

     51,450       2  

Pearl Holdings Acquisition, Expires 12/18/2026

                

Strike Price $11.50 *

     3,375       –  

PepperLime Health Acquisition, Expires 03/31/2023

                

Strike Price $11.50 *

     3,250       –  

Perception Capital II, Expires 01/03/2029

                

Strike Price $11.50 *

     4,804       –  

Pine Technology Acquisition, Expires 04/03/2028

                

Strike Price $11.50 *

     9,599       –  

Pioneer Merger, Expires 01/03/2028

                

Strike Price $11.50 *

     14,036       –  

PMV Consumer Acquisition, Expires 09/03/2027

                

Strike Price $11.50 *

     3,027       –  

Pono Capital, Expires 06/19/2026

                

Strike Price $11.50 *

     43,850       2  

Powered Brands, Expires 01/03/2028

                

Strike Price $11.50 *

     4,783       –  

Prime Impact Acquisition I, Expires 10/04/2030

                

Strike Price $11.50 *

     54,583       1  

Priveterra Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     11,630       1  

Progress Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     33,151       2  

PROOF Acquisition I, Expires 12/06/2028

                

Strike Price $11.50 *

     2,625       –  

Property Solutions Acquisition II, Expires 03/04/2026

                

Strike Price $11.50 *

     11,917       –  

Prospector Capital, Expires 01/04/2025

                

Strike Price $11.50 *

     8,397       –  

RMG Acquisition III, Expires 01/03/2028

                

Strike Price $11.50 *

     6,388       –  

Rosecliff Acquisition I, Expires 01/03/2028

                

Strike Price $11.50 *

     3,862       –  

ScION Tech Growth II, Expires 01/31/2026

                

Strike Price $11.50 *

     9,805       –  

Seaport Global Acquisition II, Expires 11/20/2026

                

Strike Price $11.50 *

     29,322       –  

Semper Paratus Acquisition, Expires 11/07/2026

                

Strike Price $11.50 *

     925       –  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Senior Connect Acquisition I, Expires 01/03/2028

                

Strike Price $11.50 *

     13,932     $ 1  

SEP Acquisition, Expires 03/28/2023

                

Strike Price $11.50 *

     21,457       1  

Shelter Acquisition I, Expires 01/03/2028

                

Strike Price $11.50 *

     6,990       –  

Silver Spike Acquisition II, Expires 03/01/2026

                

Strike Price $11.50 *

     3,661       –  

Spree Acquisition 1, Expires 12/25/2028

                

Strike Price $11.50 *

     11,933       –  

SpringBig Holdings, Expires 06/17/2027

                

Strike Price $11.50 *

     2,210       –  

Springwater Special Situations, Expires 04/15/2026

                

Strike Price $11.50 *

     3,030       –  

StoneBridge Acquisition, Expires 03/01/2023

                

Strike Price $11.50 *

     25,770       1  

Stratim Cloud Acquisition, Expires 03/08/2026

                

Strike Price $11.50 *

     10,006       –  

Swiftmerge Acquisition, Expires 06/20/2028

                

Strike Price $11.50 *

     3,398       –  

Tailwind Acquisition, Expires 09/10/2027

                

Strike Price $11.50 *

     26,389       2  

Tailwind International Acquisition, Expires 03/04/2028

                

Strike Price $11.50 *

     108,719       1  

Talon 1 Acquisition, Expires 04/21/2023

                

Strike Price $11.50 *

     12,503       –  

TB Acquisition, Expires 03/28/2028

                

Strike Price $11.50 *

     9,183       –  

Tech and Energy Transition, Expires 01/03/2028

                

Strike Price $11.50 *

     30,080       1  

Technology & Telecommunication Acquisition, Expires 02/18/2027

                

Strike Price $11.50 *

     3,937       –  

TG Venture Acquisition, Expires 08/16/2023

                

Strike Price $11.50 *

     14,135       1  

Thrive Acquisition, Expires 03/12/2023

                

Strike Price $11.50 *

     3,143       –  

TLG Acquisition One, Expires 01/28/2028

                

Strike Price $11.50 *

     36,511       2  

TLGY Acquisition, Expires 01/17/2028

                

Strike Price $11.50 *

     7,284       –  

Trine II Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     4,586       –  

 

 

 

200

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

Twelve Seas Investment II, Expires 03/05/2028

                

Strike Price $11.50 *

     24,081     $ –  

TZP Strategies Acquisition, Expires 01/03/2028

                

Strike Price $11.50 *

     43,570       –  

VPC Impact Acquisition Holdings II, Expires 01/03/2028

                

Strike Price $11.50 *

     3,842       –  

Warburg Pincus Capital I-A, Expires 01/03/2028

                

Strike Price $11.50 *

     263       –  

Warburg Pincus Capital I-B, Expires 03/12/2026

                

Strike Price $11.50 *

     1,386       –  

Williams Rowland Acquisition, Expires 12/14/2026

                

Strike Price $11.50 *

     68,930       3  

Windstream Services

                

Strike Price $– *‡‡(A)

     5,809       29  

WinVest Acquisition, Expires 02/22/2023

                

Strike Price $11.50 *

     46,640       1  

World Quantum Growth Acquisition, Expires 01/03/2029

                

Strike Price $11.50 *

     2,724       –  

Worldwide Webb Acquisition, Expires 03/30/2023

                

Strike Price $11.50 *

     80       –  

XPAC Acquisition, Expires 05/16/2027

                

Strike Price $11.50 *

     9,469       2  
                 
                 

Total Warrants

                

(Cost $1,589) ($ Thousands)

             373  
                 
                 
   

Face Amount
(Thousands)

          

MORTGAGE-BACKED SECURITY — 0.1%

Non-Agency Mortgage-Backed Obligations — 0.1%

        

BX Commercial Mortgage Trust, Ser 2022-CSMO, Cl D

                

8.673%, TSFR1M + 4.337%, 06/15/2027(C)(E)

   $ 245       241  
                 

Total Mortgage-Backed Security

                
                 

(Cost $244) ($ Thousands)

             241  
                 
                 
   


Shares

          

CASH EQUIVALENTS — 35.0%

Morgan Stanley Institutional Liquidity Fund Treasury Securities Portfolio, Institutional Share Class

                

3.962%**

     7,708,415       7,709  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENTS (continued)

SEI Daily Income Trust, Government Fund, Cl F

                

3.810%**†

     132,845,411     $ 132,845  
                 
                 

Total Cash Equivalents

                

(Cost $140,554) ($ Thousands)

             140,554  
                 
                 

PURCHASED OPTIONS — 0.0%

Total Purchased Options

               

(Cost $179) ($ Thousands)

             117  
                 
                 

Total Investments in Securities — 93.8%

                

(Cost $386,120) ($ Thousands)

  $ 376,670  
                 
                 
                 
                 

COMMON STOCK SOLD SHORT— (7.2)%

Communication Services — (0.7)%

        

Meta Platforms Inc, Cl A *

     (7,257 )     (873 )

Trade Desk Inc/The, Cl A *

     (20,104 )     (901 )

World Wrestling Entertainment Inc, Cl A

    (3,901 )     (267 )

Yelp Inc, Cl A *

     (35,531 )     (972 )
                 
                 
              (3,013 )
                 

Consumer Discretionary — (1.9)%

        

Brunswick Corp/DE

    (5,813 )     (419 )

Carnival Corp *

     (32,392 )     (261 )

Cheesecake Factory Inc/The

    (8,906 )     (282 )

DR Horton Inc

    (6,878 )     (613 )

Floor & Decor Holdings Inc, Cl A *

     (8,801 )     (613 )

Home Depot Inc/The

    (5,577 )     (1,762 )

Lennar Corp, Cl A

    (6,598 )     (597 )

Lowe's Cos Inc

    (6,106 )     (1,217 )

Polaris Inc

    (5,414 )     (547 )

RH *

     (1,740 )     (465 )

Royal Caribbean Cruises Ltd *

     (5,181 )     (256 )

Stitch Fix Inc, Cl A *

     (98,457 )     (306 )

Williams-Sonoma Inc

    (3,997 )     (459 )
                 
                 
              (7,797 )
                 

Financials — (0.3)%

        

Axos Financial Inc *

     (7,068 )     (270 )

BlackRock Inc

    (448 )     (317 )

Coinbase Global Inc, Cl A *

     (2,701 )     (96 )

Invesco Ltd

    (16,297 )     (293 )

TriplePoint Venture Growth BDC

    (12,317 )     (129 )
                 
                 
              (1,105 )
                 

Health Care — (0.1)%

        

Demant A/S *

     (17,294 )     (478 )
                 
                 
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

201

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Industrials — (1.7)%

        

A O Smith Corp

    (15,009 )   $ (859 )

Acuity Brands Inc

    (3,527 )     (584 )

Apogee Enterprises Inc

    (13,487 )     (600 )

ArcBest Corp

    (14,933 )     (1,046 )

Avis Budget Group Inc *

     (1,134 )     (186 )

Carrier Global Corp

    (29,510 )     (1,217 )

Clean Harbors Inc *

     (308 )     (35 )

Eaton Corp PLC

    (527 )     (83 )

Expeditors International of Washington Inc

    (10,476 )     (1,089 )

PACCAR Inc

    (2,262 )     (224 )

Tetra Tech Inc

    (674 )     (98 )

Toro Co/The

    (1,859 )     (210 )

TPI Composites Inc *

     (46,276 )     (469 )
                 
                 
              (6,700 )
                 

Information Technology — (2.0)%

        

Affirm Holdings Inc, Cl A *

     (35,692 )     (345 )

Apple Inc

    (6,724 )     (874 )

Arista Networks Inc *

     (1,968 )     (239 )

Cisco Systems Inc

    (18,328 )     (873 )

Corsair Gaming *

     (77,306 )     (1,049 )

Nutanix Inc, Cl A *

     (2,643 )     (69 )

Plexus Corp *

     (2,948 )     (303 )

SAP SE ADR

    (9,549 )     (985 )

Skyworks Solutions Inc

    (9,475 )     (864 )

Xerox Holdings Corp

    (80,895 )     (1,181 )

Zscaler Inc *

     (11,039 )     (1,235 )
                 
                 
              (8,017 )
                 

Materials — (0.2)%

        

Commercial Metals Co, Cl A

    (6,534 )     (315 )

Summit Materials Inc, Cl A *

     (10,485 )     (298 )
                 
                 
              (613 )
                 

Real Estate — (0.3)%

        

Lamar Advertising Co, Cl A

    (12,838 )     (1,212 )
                 
                 
                 
                 

Total Common Stock Sold Short

                

(Proceeds $30,890) ($ Thousands)

             (28,935 )
                 
                 
   

Face Amount
(Thousands)

          

CORPORATE OBLIGATIONS SOLD SHORT — (2.6)%

Communication Services — (0.1)%

        

Clear Channel Outdoor Holdings Inc

                

5.125%, 08/15/2027 (C)

   $ (245 )     (212 )

Gannett Holdings

                

6.000%, 11/01/2026 (C)

     (170 )     (139 )

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS SOLD SHORT (continued)

Zayo Group Holdings Inc

                

6.125%, 03/01/2028 (C)

   $ (394 )   $ (223 )
              (574 )

Consumer Discretionary — (0.5)%

        

B&M European Value Retail

                

4.000%, 11/15/2028

  GBP (109 )     (108 )

Clarios Global

                

8.500%, 05/15/2027 (C)

   $ (170 )     (166 )

Fertitta Entertainment

                

4.625%, 01/15/2029 (C)

     (639 )     (541 )

Mohegan Tribal Gaming Authority

                

8.000%, 02/01/2026 (C)

     (148 )     (139 )

Newell Brands

                

6.625%, 09/15/2029

    (580 )     (573 )

6.375%, 09/15/2027

    (95 )     (94 )

Scientific Games Holdings

                

6.625%, 03/01/2030 (C)

     (296 )     (250 )

Univision Communications

                

7.375%, 06/30/2030 (C)

     (269 )     (257 )
              (2,128 )

Consumer Staples — (0.1)%

        

Natura & Luxembourg Holdings SARL

                

6.000%, 04/19/2029

    (107 )     (94 )

United Natural Foods

                

6.750%, 10/15/2028 (C)

     (338 )     (325 )
              (419 )

Energy — (0.3)%

        

Callon Petroleum

                

8.000%, 08/01/2028 (C)

     (130 )     (124 )

EQM Midstream Partners

                

5.500%, 07/15/2028

    (79 )     (71 )

Genesis Energy

                

8.000%, 01/15/2027

    (156 )     (147 )

NGL Energy Partners

                

7.500%, 11/01/2023

    (115 )     (112 )

6.125%, 03/01/2025

    (240 )     (195 )

Range Resources

                

4.750%, 02/15/2030 (C)

     (195 )     (172 )

Summit Midstream Holdings

                

5.750%, 04/15/2025

    (99 )     (84 )

Transocean

                

8.000%, 02/01/2027 (C)

     (70 )     (57 )

7.250%, 11/01/2025 (C)

     (115 )     (102 )
              (1,064 )

Financials — (0.1)%

        

MPH Acquisition Holdings

                

5.500%, 09/01/2028 (C)

     (390 )     (304 )
                 

Health Care — (0.3)%

        

AthenaHealth Group

                

6.500%, 02/15/2030 (C)

     (182 )     (134 )

 

 

 

202

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS SOLD SHORT (continued)

Catalent Pharma Solutions

                

5.000%, 07/15/2027 (C)

   $ (160 )   $ (149 )

3.500%, 04/01/2030 (C)

     (175 )     (138 )

Charles River Laboratories International

                

3.750%, 03/15/2029 (C)

     (195 )     (173 )

Embecta

                

5.000%, 02/15/2030 (C)

     (255 )     (216 )

Select Medical

                

6.250%, 08/15/2026 (C)

     (296 )     (281 )
              (1,091 )

Industrials — (0.1)%

        

3M MTN

                

3.375%, 03/01/2029

    (290 )     (267 )

Artera Services

                

9.033%, 12/04/2025 (C)

     (178 )     (148 )

Oscar AcquisitionCo

                

9.500%, 04/15/2030 (C)

     (258 )     (232 )
              (647 )

Information Technology — (0.2)%

        

Central Parent

                

7.250%, 06/15/2029 (C)

     (421 )     (412 )

Gen Digital

                

7.125%, 09/30/2030 (C)

     (350 )     (344 )
              (756 )

Materials — (0.9)%

        

Arconic

                

6.125%, 02/15/2028 (C)

     (116 )     (109 )

Baffinland Iron Mines

                

8.750%, 07/15/2026 (C)

     (128 )     (121 )

Chemours

                

5.750%, 11/15/2028 (C)

     (195 )     (175 )

5.375%, 05/15/2027

    (75 )     (69 )

Cleveland-Cliffs Inc

                

4.625%, 03/01/2029 (C)

     (388 )     (344 )

Clydesdale Acquisition Holdings

                

8.750%, 04/15/2030 (C)

     (204 )     (175 )

Constellium

                

5.625%, 06/15/2028 (C)

     (220 )     (203 )

FMG Resources August 2006 Pty

                

5.875%, 04/15/2030 (C)

     (270 )     (251 )

Iris Holding

                

10.000%, 12/15/2028 (C)

     (95 )     (78 )

Mauser Packaging Solutions Holding

                

7.250%, 04/15/2025 (C)

     (145 )     (134 )

New Gold

                

7.500%, 07/15/2027 (C)

     (220 )     (193 )

Olin

                

5.625%, 08/01/2029

    (290 )     (276 )

SCIH Salt Holdings

                

4.875%, 05/01/2028 (C)

     (429 )     (368 )

Scotts Miracle-Gro

                

4.500%, 10/15/2029

    (185 )     (150 )

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS SOLD SHORT (continued)

4.375%, 02/01/2032

  $ (95 )   $ (72 )

Summit Materials

                

5.250%, 01/15/2029 (C)

     (230 )     (214 )

Trivium Packaging Finance BV

                

8.500%, 08/15/2027 (C)

     (240 )     (220 )

United States Steel

                

6.875%, 03/01/2029

    (192 )     (186 )
              (3,338 )

Total Corporate Obligations Sold Short

                

(Proceeds $10,585) ($ Thousands)

             (10,321 )
                 
                 
   


Shares

          

FOREIGN COMMON STOCK SOLD SHORT— (0.6)%

Bermuda — (0.3)%

        

Triton International Ltd

    (16,646 )     (1,145 )
                 
                 
                 
                 

Switzerland — (0.3)%

        

Logitech International

    (19,963 )     (1,243 )
                 
                 
                 
                 

Total Foreign Common Stock Sold Short

                

(Proceeds $2,693) ($ Thousands)

             (2,388 )
                 
                 
                 

REGISTERED INVESTMENT COMPANIES — (0.6)%

Direxion Daily 20 Year Plus Treasury Bull 3x Shares

    (130,525 )     (995 )

iShares Russell 2000 ETF

    (3,564 )     (621 )

SPDR S&P 500 ETF Trust

    (1,630 )     (623 )
                 

Total Registered Investment Companies

               

(Proceeds $2,449) ($ Thousands)

             (2,239 )
                 
                 
   

Face Amount
(Thousands)

          

U.S. TREASURY OBLIGATION SOLD SHORT — (0.1)%

U.S. Treasury Notes

                

4.125%, 11/15/2032

  $ (378 )     (386 )
                 

Total U.S. Treasury Obligation Sold Short

                

(Proceeds $388) ($ Thousands)

     (386 )
                 
                 

Total Investments Sold Short — (11.1)%

                

(Proceeds $47,005) ($ Thousands)

  $ (44,269 )
                 
                 

WRITTEN OPTIONS — (0.0)%

Total Written Options

               

(Premiums Received $47) ($ Thousands)

           $ (30 )
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

203

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

 

A list of the open exchange traded option contracts held by the Fund at December 31, 2022 is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTIONS — 0.0%

                                

Put Options

                                        

Abiomed Inc.

     42     $ 1,428     $ 340.00       6/17/2023     $ –  

Abiomed Inc.

     1       30       300.00       1/21/2023       –  

Activision Blizzard, Inc.

     1       8       65.00       1/21/2023       –  

Activision Blizzard, Inc.

     139       1,064       72.50       1/21/2023       11  

Activision Blizzard, Inc.

     17       130       75.00       1/21/2023       2  

Apollo Endosurgery Inc.

     25       25       10.00       4/22/2023       1  

Apollo Endosurgery Inc.

     1       1       10.00       7/22/2023       –  

Coupa Software Inc

     8       63       70.00       1/20/2024       –  

Coupa Software Inc

     1       8       65.00       1/20/2024       –  

IAA Inc.

     4       16       40.00       1/21/2023       –  

iRobot Corporation

     85       409       40.00       1/20/2024       34  

iShares US Home Construction ETF

     40       243       50.00       1/21/2023       –  

Manchester United PLC

     20       47       20.00       6/17/2023       3  

Manchester United PLC

     34       79       22.00       2/18/2023       3  

Manchester United PLC

     34       79       18.00       3/18/2023       2  

Manchester United PLC

     13       30       19.00       3/18/2023       1  

Manchester United PLC

     61       142       19.00       6/17/2023       7  

Manchester United PLC

     8       19       19.00       1/21/2023       –  

S&P 500 Index

     3       1,152       3,450.00       1/21/2023       –  

S&P 500 Index

     1       384       3,235.00       1/21/2023       –  

S&P 500 Index

     1       384       3,740.00       1/21/2023       –  

S&P 500 Index

     2       768       3,700.00       1/21/2023       –  

S&P 500 Index

     1       384       3,615.00       2/18/2023       2  

S&P 500 Index

     1       384       3,635.00       2/18/2023       3  

S&P 500 Index

     1       384       3,715.00       2/18/2023       5  

Signify Health Inc

     57       164       25.00       10/21/2023       3  

Tower Semiconductor Ltd.

     2       9       45.00       1/21/2023       1  

Tower Semiconductor Ltd.

     4       17       47.00       7/22/2023       2  

Tower Semiconductor Ltd.

     7       30       47.00       1/21/2023       3  

Tower Semiconductor Ltd.

     4       17       50.00       1/21/2023       3  

Tower Semiconductor Ltd.

     1       4       47.00       1/20/2024       –  

Tower Semiconductor Ltd.

     3       13       45.00       1/20/2024       1  
                                         
              7,915                       87  
                                       
                                       

Call Options

                                        

istar Inc

     25       19       10.00       1/21/2023       1  

JetBlue Airways Corporation

     81       53       6.00       1/21/2023       5  

Momentive Inc.

     42       29       9.00       1/21/2023       –  

Momentive Inc.

     69       48       10.00       1/21/2023       –  

Momentive Inc.

     17       12       8.00       1/21/2023       –  

World Fuel Services Corp

     153       404       25.50       1/21/2023       24  
                                         
              565                       30  
                                       
                                       

Total Purchased Options

           $ 8,480                     $ 117  

WRITTEN OPTIONS — 0.0%

                                

Put Options

                                        

Activision Blizzard, Inc.

     (96 )   $ (735 )     65.00       01/21/23     $ (1 )

iRobot Corporation

     (1 )     (5 )     46.00       01/21/23       –  

iRobot Corporation

     (15 )     (72 )     45.00       01/21/23       (1 )

iRobot Corporation

     (72 )     (346 )     50.00       01/21/23       (22 )

 

 

 

204

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

WRITTEN OPTIONS (continued)

                                

S&P 500 Index

     (1 )   $ (384 )   $ 2,800.00       01/21/23     $ –  

S&P 500 Index

     (1 )     (384 )     3,535.00       01/21/23       –  

S&P 500 Index

     (2 )     (768 )     3,550.00       01/21/23       –  

S&P 500 Index

     (3 )     (1,152 )     3,260.00       01/21/23       –  

S&P 500 Index

     (1 )     (384 )     3,425.00       02/18/23       (1 )

S&P 500 Index

     (1 )     (384 )     3,440.00       02/18/23       (1 )

S&P 500 Index

     (1 )     (384 )     3,515.00       02/18/23       (1 )

Spirit Airlines Inc.

     (68 )     (132 )     18.50       01/21/23       (3 )
                                       
                                         
                                         

Total Written Options

           $ (5,130 )                   $ (30 )
                                         
                                         

 

A list of the open future contracts held by the Fund at December 31, 2022 is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Euro-Bund

     2       Mar-2023     $ 292     $ 284     $ (10 )
                                         
                                         

Short Contracts

                                        

S&P 500 Index E-MINI

     (3 )     Mar-2023     $ (604 )   $ (579 )   $ 25  
                    $ (312 )   $ (295 )   $ 15  

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Bloomberg Tradebook

     01/18/23       USD       –       CAD       –     $ —  

Barclays PLC

     02/03/23       USD       256       EUR       255       16  

Barclays PLC

     02/03/23       EUR       488       USD       487       (35 )

Barclays PLC

     03/15/23       ZAR       25,547       USD       1,465       (28 )

BNYMellon

     03/15/23       USD       58       HKD       451       —  

BNYMellon

     03/15/23       HKD       451       USD       58       —  

BNYMellon

     03/15/23       EUR       628       USD       663       (11 )

Citi

     02/15/23       CNH       –       USD       –       —  

Citigroup

     03/15/23       USD       126       CZK       2,878       —  

Citigroup

     03/15/23       EUR       490       PLN       2,329       3  

Citigroup

     03/15/23       USD       1,229       CZK       28,120       10  

Citigroup

     03/15/23       CZK       8,421       USD       368       (3 )

Deutsche Bank

     03/15/23       USD       533       ZAR       9,294       10  

Deutsche Bank

     03/15/23       USD       455       CZK       10,506       7  

Deutsche Bank

     03/15/23       CZK       8,414       USD       367       (3 )

Deutsche Bank

     03/15/23       ZAR       20,855       USD       1,195       (23 )

Deutsche Bank

     03/16/23       HUF       50,937       EUR       122       (2 )

Goldman Sachs

     01/18/23       USD       –       ILS       –       —  

Goldman Sachs

     01/18/23       ILS       –       USD       –       —  

Goldman Sachs

     02/15/23       CNH       –       USD       –       —  

Goldman Sachs

     02/15/23       TWD       –       USD       –       —  

Goldman Sachs

     02/15/23       USD       –       KRW       –       —  

Goldman Sachs

     02/15/23       USD       –       CNH       –       —  

Goldman Sachs

     02/15/23       KRW       –       USD       –       —  

Goldman Sachs

     02/15/23       USD       –       TWD       –       —  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

205

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

HSBC

     01/18/23       USD       –       ILS       –     $ —  

HSBC

     02/15/23       USD       –       JPY       –       —  

HSBC

     03/15/23       CHF       –       USD       –       —  

JPMorgan Chase Bank

     01/04/23 - 02/02/23       USD       1,172       BRL       6,234       5  

JPMorgan Chase Bank

     01/04/23       BRL       3,117       USD       586       (4 )

JPMorgan Chase Bank

     03/15/23       USD       –       CHF       –       —  

JPMorgan Chase Bank

     03/15/23       USD       533       MXN       10,683       8  

JPMorgan Chase Bank

     03/15/23       IDR       22,602,704       USD       1,446       (17 )

Midland Walwyn Capital Inc.

     03/15/23       USD       533       KRW       692,161       19  

Midland Walwyn Capital Inc.

     03/15/23       CZK       15,478       USD       674       (7 )

Midland Walwyn Capital Inc.

     03/15/23       ZAR       26,674       USD       1,536       (23 )

Midland Walwyn Capital Inc.

     03/16/23       HUF       201,612       EUR       485       (6 )

Montgomery/Bank of America

     02/15/23       CNH       –       USD       –       —  

Montgomery/Bank of America

     02/15/23       USD       –       CNH       –       —  

Montgomery/Bank of America

     03/15/23       USD       –       CHF       –       —  

Montgomery/Bank of America

     03/15/23       CHF       –       USD       –       —  

Morgan Stanley

     01/18/23       ILS       –       USD       –       —  

Morgan Stanley

     01/18/23       USD       –       CAD       –       —  

Morgan Stanley

     02/15/23       USD       –       JPY       –       —  

Morgan Stanley

     02/15/23       JPY       –       USD       –       —  

Morgan Stanley

     03/15/23       USD       –       EUR       –       —  

State Street

     02/15/23       USD       –       CNH       –       —  

UBS

     03/15/23       EUR       245       PLN       1,152       (2 )

UBS

     03/15/23       USD       574       CZK       13,208       8  

Westpac Banking

     02/15/23       JPY       –       USD       –       —  

Westpac Banking

     03/15/23       USD       –       EUR       –       —  
                                            $ (78 )

 

A list of open OTC swap agreements held by the Fund at December 31, 2022, is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Barclays

     AAREAL BANK AG       EURIB-1M    

ASSET RETURN

       Annually       11/03/2023       EUR       568     $ (4 )   $ –     $ (4 )

JPMorgan Chase

     INDOGB 7 %   USD SOFR + 0.55 %     INDOGB 7 %     Semi-Annually       02/15/2033       USD       1,448       (7 )     –       (7 )

Morgan Stanley

     Broadcom Inc.    

ASSET RETURN

       Broadcom Inc.       Monthly       09/11/2023       USD       981       —       –       –  

Morgan Stanley

     Intercontinental    

ASSET RETURN

       Intercontinental       Monthly       09/11/2023       USD       123       2       –       2  

Morgan Stanley

     Maxlinear Inc.    

ASSET RETURN

       Maxlinear Inc.       Monthly       09/11/2023       USD       758       53       –       53  

Morgan Stanley

     AGNICO EAGLE MINE    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       156       —       –       –  

Morgan Stanley

     ALTRA INDUSTRIAL    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       852       (1 )     –       (1 )

Morgan Stanley

     FRONTLINE 2012 LT       FEDEF-1-DAY    

ASSET RETURN

       Annually       09/11/2023       USD       22       1       –       1  

Morgan Stanley

     HOME CAPITAL GROUP       DISC-1-DAY    

ASSET RETURN

       Annually       02/27/2023       CAD       927       1       –       1  

Morgan Stanley

     PAN AMERICAN SILV    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       190       (18 )     –       (18 )

Morgan Stanley

     PNM RESOURCES INC    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       1,335       (7 )     –       (7 )

Morgan Stanley

     SAFEHOLD INC.    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       690       15       –       15  

Morgan Stanley

     SEASPAN CORPORATION    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       104       (1 )     –       (1 )

Morgan Stanley

     SIGNIFY HEALTH    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       604       (1 )     –       (1 )

Morgan Stanley

     SOUTH JERSEY INDU    

ASSET RETURN

       FEDEF-1-DAY       Annually       09/11/2023       USD       98       (1 )     –       (1 )

Morgan Stanley

     YAMANA GOLD INC.       FEDEF-1-DAY    

ASSET RETURN

       Monthly       06/09/2023       USD       377       37       –       37  
                                                            $ 69     $ –     $ 69  

 

 

 

206

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Continued)

 

 

A list of open centrally cleared swap agreements held by the Fund at December 31, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

1.0 X BZDIOVRA + 0.0 BPS

     12.865%       Annually       01/02/2025       BRL       14,663     $ 12     $ (1 )   $ 13  

5.9%

     1.0 X 6-MONTH WIBOR + 0.0 BPS       Annually       03/15/2028       PLN       5,195       9       –       9  
                                            $ 21     $ (1 )   $ 22  

 

Credit Default Swaps - Buy Protection

      

Reference Entity/ Obligation

  

Pay Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDS.HY.38

     5.00%       Quarterly       06/20/2027     $ 1,287     $ (27 )   $ (23 )   $ (4 )

CDS.HY.38

     5.00%       Quarterly       06/20/2027       1,604       (33 )     (78 )     45  

CDX.HY.38

     5.00%       Quarterly       12/20/2027       995       (14 )     41       (55 )

CDX.HY.39

    5.00%       Quarterly       12/20/2027       194       (2 )     5       (7 )

CDX.HY.39

    5.00%       Quarterly       12/20/2027       202       (1 )     (1 )     –  

CDX.HY.39

    5.00%       Quarterly       12/20/2027       202       (1 )     (1 )     –  

CDX.IG.39

     1.00%       Quarterly       12/20/2027       609       (5 )     –       (5 )

CDX.IG.39

    1.00%       Quarterly       12/20/2027       592       (11 )     (1 )     (10 )

ITRX.XOVER.38

    5.00%       Quarterly       12/20/2027       156       (2 )     (1 )     (1 )

ITRX.XOVER.38

     5.00%       Quarterly       12/20/2027       93       (1 )     (1 )     –  

SOAF

     1.00%       Quarterly       12/20/2027       1,152       73       111       (38 )
                                    $ (24 )   $ 51     $ (75 )

 

 

 

Percentages are based on Net Assets of $401,354 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of December 31, 2022.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

†

Investment in Affiliated Security.

(A)

Level 3 security in accordance with fair value hierarchy.

(B)

Security considered restricted, excluding 144A. The total market value of such securities as of December 31, 2022 was $1,007 ($ Thousands) and represented 0.3% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $32,568 ($ Thousands), representing 8.1% of the Net Assets of the Fund.

(D)

No interest rate available.

(E)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(F)

Perpetual security with no stated maturity date.

(G)

Security is in default on interest payment.

(H)

Unsettled bank loan. Interest rate may not be available.

(I)

Interest rate represents the security's effective yield at the time of purchase.

(J)

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(K)

Zero coupon security.

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

207

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Strategy Alternative Fund (Concluded)

 

 

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

 

Security Description

 

Value 9/30/2022

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

   

Value 12/31/2022

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 117,844     $ 215,713     $ (200,712 )   $ —     $ —     $ 132,845     $ 1,110       $ —  

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

A list of the restricted securities, excluding 144a, held by the Fund at December 31, 2022, is as follows:

 

Description

  

Number of Shares/Face Amount ($ Thousands)/Number of Warrants

    

Acquisition Date/Right to Acquire Date

    

Cost ($ Thousands)

    

Market Value
($ Thousands)

  

Common Stock

                                

Guitar Center

     2,167    

1/8/2021

     $ 275     $ 415  

Parker Drilling Co

     4,256       3/26/2019       53       30  

Parker Drilling Co

     158       3/26/2019       2       1  

Corporate Obligation

                                

Mountain Province Diamonds

   $ –       10/17/2022       –       –  

Northwest Acquisitions ULC

     460       10/1/2019       419       –  

Loan Participation

                                

Boardriders Inc., Closing Date Tranche A Loan, 1st Lien

     47       9/4/2020       47       46  

Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien

     274       9/4/2020       234       226  

Glass Mountain Holdings Pipeline, 1st Lien

     16       11/18/2021       15       13  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

     112       3/21/2019       99       90  

Premier Brands Group Holdings, LLC, Term Loan, 1st Lien

     82       3/21/2019       74       67  

Preferred Stock

                                

Boardriders Inc.

     25,646       9/4/2020       –       30  

Guitar Center

     39       1/8/2021       4       3  

Warrant

                                

Guitar Center

     527       1/8/2021       29       51  

Guitar Center

     574       1/8/2021       21       32  

Guitar Center

     47       1/8/2021       2       3  
                    $ 1,274     $ 1,007  

 

See “Glossary” for abbreviations.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

208

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 57.4%

U.S. Treasury Bills

               

4.741%, 06/15/2023 ^(A)

   $ 13,199     $ 12,933  

4.678%, 06/08/2023 ^(A)

     28,805       28,242  

4.657%, 06/01/2023 ^(A)

     130,000       127,577  

4.625%, 05/25/2023 (A)

     120,000       117,865  

4.542%, 05/04/2023 ^(A)

     118,000       116,219  

4.444%, 04/27/2023 (A)

     200,000       197,182  

3.927%, 03/30/2023 ^(A)

     80,000       79,180  

3.854%, 03/23/2023 ^(A)

     100,000       99,069  

3.527%, 03/16/2023 ^(A)

     124,632       123,598  

2.966%, 01/19/2023 ^(A)

     84,000       83,865  

U.S. Treasury Inflation Protected Securities

               

3.875%, 04/15/2029

    1,813       2,037  

3.625%, 04/15/2028

    1,843       2,008  

3.375%, 04/15/2032

    1,679       1,922  

2.500%, 01/15/2029

    1,388       1,447  

2.375%, 01/15/2025

    1,265       1,266  

2.375%, 01/15/2027

    1,478       1,507  

2.125%, 02/15/2040

    1,379       1,459  

2.125%, 02/15/2041

    1,361       1,441  

2.000%, 01/15/2026

    1,501       1,500  

1.750%, 01/15/2028

    674       674  

1.375%, 02/15/2044

    1,279       1,187  

1.000%, 02/15/2046

    1,635       1,387  

1.000%, 02/15/2049

    2,369       1,978  

0.875%, 01/15/2029

    1,298       1,237  

0.750%, 07/15/2028

    6,648       6,333  

0.750%, 02/15/2042

    1,319       1,103  

0.750%, 02/15/2045

    949       767  

0.625%, 01/15/2024

    1,277       1,250  

0.625%, 01/15/2026

    1,254       1,204  

0.625%, 07/15/2032

    12,103       11,085  

0.625%, 02/15/2043

    1,296       1,045  

0.500%, 01/15/2028

    11,961       11,247  

0.375%, 07/15/2023

    1,281       1,265  

0.375%, 07/15/2025

    2,513       2,414  

0.375%, 01/15/2027

    2,467       2,327  

0.375%, 07/15/2027

    2,680       2,526  

0.250%, 01/15/2025

    629       603  

0.250%, 07/15/2029

    11,534       10,559  

0.250%, 02/15/2050

    348       234  

0.125%, 01/15/2023

    6,455       6,447  

0.125%, 07/15/2024

    2,510       2,429  

0.125%, 10/15/2024

    2,904       2,796  

0.125%, 10/15/2025

    2,871       2,729  

0.125%, 04/15/2026

    3,125       2,938  

0.125%, 07/15/2026

    1,243       1,171  

0.125%, 04/15/2027

    4,222       3,934  

0.125%, 01/15/2030

    12,278       11,028  

0.125%, 07/15/2030

    13,134       11,760  

0.125%, 01/15/2031

    14,367       12,759  

0.125%, 07/15/2031

    14,566       12,870  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

0.125%, 01/15/2032

  $ 14,621     $ 12,806  
         

Total U.S. Treasury Obligations

        

(Cost $1,160,643) ($ Thousands)

     1,144,409  
                 
                 
                 

SOVEREIGN DEBT — 10.0%
                 

Council of Europe Development Bank

                

2.625%, 02/13/2023^

     500       499  

Deutsche Bundesrepublik Inflation Linked Bond

                

0.500%, 04/15/2030

   EUR 21,677       23,499  

0.100%, 04/15/2023

     8,773       9,269  

0.100%, 04/15/2026

     2,947       3,118  

0.100%, 04/15/2033

     7,978       8,389  

0.100%, 04/15/2046

     5,858       6,265  

European Bank for Reconstruction & Development MTN

                

2.750%, 03/07/2023^

   $ 750       748  

European Investment Bank

                

2.500%, 03/15/2023^

     375       373  

Export Development Canada

                

2.750%, 03/15/2023^

     750       747  

2.500%, 01/24/2023^

     750       749  

French Republic Government Bond OAT

                

3.400%, 07/25/2029

   EUR 1,427       1,871  

3.150%, 07/25/2032

     1,492       1,960  

2.100%, 07/25/2023(B)

     2,379       2,599  

1.850%, 07/25/2027

     8,708       9,908  

1.800%, 07/25/2040(B)

     1,382       1,727  

0.700%, 07/25/2030(B)

     10,636       11,478  

0.250%, 07/25/2024

     2,084       2,242  

0.100%, 03/01/2025

     1,141       1,229  

0.100%, 03/01/2026(B)

     1,084       1,146  

0.100%, 03/01/2028

     1,481       1,587  

0.100%, 03/01/2029

     4,607       4,784  

0.100%, 07/25/2031(B)

     8,183       8,390  

0.100%, 03/01/2032

     1,087       1,149  

0.100%, 03/01/2036(B)

     1,084       1,105  

0.100%, 07/25/2036(B)

     2,460       2,375  

0.100%, 07/25/2047(B)

     1,352       1,248  

Inter-American Development Bank

                

2.625%, 01/16/2024^

   $ 375       366  

2.500%, 01/18/2023^

     750       750  

International Bank for Reconstruction & Development

                

7.625%, 01/19/2023^

     750       751  

1.750%, 04/19/2023^

     1,000       991  

International Finance MTN

                

2.875%, 07/31/2023^

     375       371  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

209

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Italy Buoni Poliennali Del Tesoro

                

3.100%, 09/15/2026(B)

   EUR 1,280     $ 1,451  

2.600%, 09/15/2023(B)

     1,378       1,496  

2.550%, 09/15/2041(B)

     2,072       2,263  

2.350%, 09/15/2024(B)

     1,213       1,333  

2.350%, 09/15/2035(B)

     2,164       2,293  

1.300%, 05/15/2028(B)

     1,189       1,228  

1.250%, 09/15/2032(B)

     1,206       1,168  

0.650%, 05/15/2026

     1,135       1,172  

0.400%, 05/15/2030(B)

     1,153       1,076  

0.150%, 05/15/2051(B)

     1,156       721  

0.100%, 05/15/2023

     1,055       1,120  

Korea International Bond

                

2.750%, 01/19/2027^

   $ 1,000       931  

Province of Quebec Canada

                

2.625%, 02/13/2023^

     500       499  

United Kingdom Gilt Inflation Linked

                

4.125%, 07/22/2030

   GBP 500       2,020  

2.500%, 07/17/2024

     340       1,534  

2.000%, 01/26/2035

     932       2,688  

1.250%, 11/22/2027

     1,835       2,329  

1.250%, 11/22/2032

     8,366       11,132  

1.250%, 11/22/2055

     1,483       2,193  

1.125%, 11/22/2037

     1,761       2,332  

0.750%, 03/22/2034

     7,056       8,918  

0.750%, 11/22/2047

     1,543       1,920  

0.625%, 03/22/2040

     2,468       3,052  

0.625%, 11/22/2042

     1,677       2,066  

0.500%, 03/22/2050

     835       992  

0.375%, 03/22/2062

     1,661       1,990  

0.250%, 03/22/2052

     1,766       1,955  

0.125%, 03/22/2024

     2,057       2,512  

0.125%, 03/22/2026

     1,379       1,672  

0.125%, 08/10/2028

     4,439       5,317  

0.125%, 03/22/2029

     2,550       3,058  

0.125%, 08/10/2031

     3,640       4,403  

0.125%, 03/22/2044

     1,469       1,617  

0.125%, 08/10/2048

     1,296       1,393  

0.125%, 03/22/2058

     1,392       1,491  

0.125%, 11/22/2065

     1,504       1,664  

0.125%, 03/22/2068

     2,140       2,372  
                 

Total Sovereign Debt

        

(Cost $246,740) ($ Thousands)

     199,054  
                 
                 
   


Shares

          

FOREIGN COMMON STOCK — 3.3%
                 

Australia — 0.2%

        

Ampol Ltd

    9,426       181  

APA Group

    9,304       68  

Aristocrat Leisure Ltd

    3,212       67  

ASX Ltd

    1,383       64  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Aurizon Holdings Ltd

    21,309     $ 54  

BHP Group Ltd

    3,324       103  

BlueScope Steel Ltd

    3,194       36  

Brambles Ltd

    4,589       37  

Cochlear Ltd

    834       115  

Coles Group Ltd

    12,289       139  

Commonwealth Bank of Australia

    792       55  

Computershare Ltd

    8,847       157  

CSL Ltd

    892       174  

Dexus *‡

     7,723       41  

Endeavour Group Ltd/Australia

    22,375       97  

Fortescue Metals Group Ltd

    3,424       48  

Glencore PLC

    20,900       139  

Goodman Group ‡

     3,333       39  

IDP Education Ltd

    3,370       62  

Insurance Australia Group Ltd

    20,132       65  

Lendlease Corp Ltd ‡

     5,588       30  

Lottery Corp Ltd/The *

     30,312       92  

Medibank Pvt Ltd

    28,257       57  

Newcrest Mining Ltd

    5,302       74  

Orica Ltd

    6,944       71  

Origin Energy Ltd

    9,571       50  

Qantas Airways Ltd *

     8,953       37  

Ramsay Health Care Ltd

    2,924       128  

Rio Tinto Ltd

    1,118       88  

Rio Tinto PLC

    1,750       122  

Santos Ltd

    43,557       211  

Sonic Healthcare Ltd

    4,379       89  

South32 Ltd

    23,300       63  

Suncorp Group Ltd

    7,008       57  

Vicinity Centres ‡

     121,603       165  

Washington H Soul Pattinson & Co Ltd

    10,657       200  

Wesfarmers Ltd

    2,749       86  

Westpac Banking Corp

    1,983       31  

Woolworths Group Ltd

    6,248       142  

Xero Ltd *

     2,369       113  
                 
              3,647  
                 

Austria — 0.0%

        

Erste Group Bank AG

    1,198       38  

OMV AG

    4,482       230  

Verbund AG

    1,703       143  
                 
              411  
                 

Belgium — 0.1%

        

Ageas SA/NV

    1,537       68  

Anheuser-Busch InBev SA/NV

    2,899       174  

Argenx SE *

     357       133  

D'ieteren SA/NV

    263       50  

Elia Group SA/NV

    1,691       240  

KBC Group NV

    780       50  

Solvay SA

    1,000       101  

 

 

 

210

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

UCB SA, Cl A

    2,355     $ 185  

Umicore SA

    2,797       102  
                 
              1,103  
                 

Canada — 0.3%

        

Agnico Eagle Mines Ltd

    1,381       72  

Algonquin Power & Utilities Corp

    32,126       209  

Alimentation Couche-Tard

    1,594       70  

AltaGas Ltd

    8,963       155  

ARC Resources

    11,120       150  

Bank of Nova Scotia/The, Cl C

    1,239       61  

Barrick Gold Corp

    5,823       100  

Brookfield, Cl A

    1,346       42  

Brookfield Asset Management, Cl A *

     336       10  

CAE Inc *

     3,606       70  

Cameco Corp

    7,757       176  

Canadian Natural Resources Ltd

    2,511       139  

Canadian Pacific Railway Ltd

    1,666       124  

Canadian Tire Corp Ltd, Cl A

    894       93  

Canadian Utilities Ltd, Cl A

    2,438       66  

CCL Industries Inc, Cl B

    2,082       89  

CGI Inc, Cl A *

     1,997       172  

Constellation Software Inc/Canada

    100       156  

Dollarama Inc

    3,557       208  

Empire Co Ltd, Cl A

    4,984       131  

Enbridge Inc

    4,262       166  

Fairfax Financial Holdings Ltd

    161       95  

First Quantum Minerals Ltd (Canada)

    2,143       45  

FirstService Corp ‡

     514       63  

Franco-Nevada Corp

    892       121  

George Weston Ltd

    1,417       176  

Hydro One Ltd

    7,241       194  

iA Financial Corp Inc

    1,313       77  

IGM Financial Inc

    1,781       50  

Imperial Oil Ltd

    2,811       137  

Kinross Gold Corp

    13,832       56  

Loblaw Cos Ltd

    2,051       181  

Magna International Inc, Cl A

    1,520       85  

Manulife Financial

    3,345       60  

Metro Inc/CN, Cl A

    4,352       241  

Northland Power Inc

    3,218       88  

Nutrien Ltd

    1,332       97  

Nuvei Corp *

     1,571       40  

Onex Corp

    1,334       64  

Open Text Corp

    2,952       87  

Parkland Corp

    5,597       123  

Pembina Pipeline

    3,884       132  

Quebecor Inc, Cl B

    3,150       70  

Ritchie Bros Auctioneers Inc, Cl B

    2,228       129  

Royal Bank of Canada

    1,147       108  

Saputo Inc

    4,704       116  

Shaw Communications Inc, Cl B

    6,318       182  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Shopify Inc, Cl A *

     1,129     $ 39  

Suncor Energy Inc

    4,734       150  

TC Energy Corp

    4,327       172  

Teck Resources Ltd, Cl B

    2,369       90  

TMX Group Ltd

    1,370       137  

Toronto-Dominion Bank/The

    1,857       120  

Tourmaline Oil Corp

    3,283       165  

Wheaton Precious Metals Corp

    2,919       114  

WSP Global Inc

    1,000       116  
                 
              6,379  
                 

China — 0.0%

        

Sands China Ltd *

     36,800       122  
                 
                 
                 

Denmark — 0.1%

        

Carlsberg AS, Cl B

    1,231       163  

Chr Hansen Holding A/S

    3,738       268  

Coloplast A/S, Cl B

    1,741       203  

Danske Bank A/S

    4,024       79  

Demant A/S *

     2,583       71  

Genmab A/S *

     210       89  

Novo Nordisk A/S, Cl B

    2,301       310  

Novozymes A/S, Cl B

    2,193       111  

Orsted AS

    1,899       172  

Pandora A/S

    852       60  

Tryg A/S

    2,801       66  

Vestas Wind Systems A/S

    1,472       43  
                 
              1,635  
                 

Finland — 0.0%

        

Elisa Oyj

    1,161       61  

Fortum Oyj

    9,851       163  

Kesko Oyj, Cl B

    3,963       87  

Kone Oyj, Cl B

    1,311       67  

Neste Oyj

    4,083       188  

Nokia Oyj

    10,220       47  

Orion Oyj, Cl B

    1,076       59  

Stora Enso Oyj, Cl R

    7,398       104  

UPM-Kymmene Oyj, Cl V

    1,682       63  

Wartsila OYJ Abp

    4,133       35  
                 
              874  
                 

France — 0.2%

        

Accor SA

    1,293       32  

Aeroports de Paris, Cl A

    373       50  

Air Liquide SA

    872       123  

Arkema SA

    736       66  

BioMerieux

    1,345       141  

Bollore SE

    19,190       107  

Bouygues SA

    892       27  

Capgemini SE

    366       61  

Carrefour SA

    6,251       104  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

211

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Cie Generale des Etablissements Michelin SCA

    1,899     $ 53  

Danone SA

    1,033       54  

Dassault Systemes SE

    2,191       78  

Edenred

    1,730       94  

Eiffage SA

    687       67  

Electricite de France SA

    10,273       132  

Engie SA

    11,598       166  

Eurazeo SE

    468       29  

Euronext NV

    536       40  

Gecina SA ‡

     323       33  

Getlink SE

    4,624       74  

Hermes International

    44       68  

Ipsen SA

    736       79  

Kering SA

    119       60  

La Francaise des Jeux SAEM

    1,007       40  

Legrand SA

    1,748       140  

L'Oreal SA

    545       194  

LVMH Moet Hennessy Louis Vuitton SE

    84       61  

Orange SA

    26,305       261  

Pernod Ricard SA

    584       114  

Publicis Groupe SA

    2,309       146  

Remy Cointreau SA

    674       113  

Renault SA

    1,557       52  

Sanofi

    904       87  

Sartorius Stedim Biotech

    137       44  

Sodexo SA

    477       45  

Teleperformance

    98       23  

Thales SA, Cl A

    220       28  

TotalEnergies SE

    3,922       245  

Ubisoft Entertainment SA *

     5,671       160  

Veolia Environnement SA

    6,279       161  

Vinci SA

    720       72  

Vivendi SE

    5,328       51  

Wendel SE

    480       45  

Worldline SA/France *

     1,571       61  
                 
              3,881  
                 

Germany — 0.2%

        

adidas AG

    399       54  

Allianz SE

    347       74  

BASF SE

    930       46  

Bayerische Motoren Werke AG

    600       53  

Bechtle

    3,183       112  

Beiersdorf AG

    1,765       202  

Brenntag SE

    810       52  

Carl Zeiss Meditec AG

    837       105  

Commerzbank AG

    4,489       42  

Continental AG

    779       47  

Covestro AG

    2,090       82  

Deutsche Boerse AG

    198       34  

Deutsche Lufthansa AG *

     6,970       58  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Deutsche Telekom AG

    6,455     $ 128  

E.ON SE

    19,443       194  

Fresenius Medical Care AG & Co KGaA

    5,480       179  

GEA Group AG

    1,568       64  

Hannover Rueck SE

    313       62  

HeidelbergCement AG

    1,561       89  

HelloFresh SE *

     4,883       107  

Henkel AG & Co KGaA

    2,041       131  

Infineon Technologies AG

    2,515       76  

Knorr-Bremse AG

    603       33  

Mercedes-Benz Group AG

    2,395       157  

Merck KGaA

    510       99  

MTU Aero Engines AG

    221       48  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

    274       89  

Puma SE

    744       45  

QIAGEN NV *

     3,375       169  

Rational AG

    61       36  

Rheinmetall

    281       56  

RWE AG

    3,800       169  

Scout24 SE

    3,632       182  

Siemens Healthineers AG

    2,595       129  

Symrise AG, Cl A

    1,058       115  

Telefonica Deutschland Holding AG

    49,295       121  

United Internet AG

    3,471       70  

Vonovia SE ‡

     1,664       39  

Zalando SE *

     1,399       49  
                 
              3,597  
                 

Hong Kong — 0.2%

        

AIA Group Ltd

    6,600       73  

Budweiser Brewing Co APAC Ltd

    60,300       190  

CK Asset Holdings Ltd ‡

     5,931       36  

CK Hutchison Holdings Ltd

    18,208       109  

CK Infrastructure Holdings Ltd

    61,500       322  

CLP Holdings Ltd, Cl B

    60,338       440  

Galaxy Entertainment Group Ltd

    23,000       152  

Hang Lung Properties ‡

     77,000       150  

HK Electric Investments & HK Electric Investments Ltd

    617,000       409  

HKT Trust & HKT Ltd

    368,000       451  

Hong Kong & China Gas Co Ltd

    595,999       567  

Power Assets Holdings Ltd

    68,474       375  

Sino Land Co Ltd ‡

     28,000       35  

SITC International Holdings

    32,000       71  

Swire Properties Ltd ‡

     18,400       47  

Techtronic Industries Co Ltd

    4,001       45  

WH Group Ltd

    477,329       278  

Xinyi Glass Holdings Ltd

    30,000       56  
                 
              3,806  
                 

 

 

 

212

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Ireland — 0.0%

        

CRH PLC

    3,263     $ 129  

Flutter Entertainment PLC *

     818       112  

James Hardie Industries PLC

    2,747       49  

Kerry Group PLC, Cl A

    2,791       251  
                 
              541  
                 

Israel — 0.1%

        

Azrieli Group Ltd ‡

     746       50  

Bank Leumi Le-Israel BM

    7,501       62  

Bezeq The Israeli Telecommunication Corp Ltd

    133,087       227  

Elbit Systems Ltd

    167       27  

ICL Group Ltd

    15,926       115  

Nice Ltd *

     443       85  

Teva Pharmaceutical Industries Ltd ADR *

     19,121       175  

Tower Semiconductor *

     4,148       180  

Wix.com Ltd *

     1,638       126  
                 
              1,047  
                 

Italy — 0.1%

        

Amplifon SpA

    2,640       78  

CNH Industrial NV

    1,935       31  

Davide Campari-Milano NV

    7,301       74  

DiaSorin SpA

    523       73  

Eni SpA

    12,878       183  

Ferrari NV

    832       178  

FinecoBank Banca Fineco

    4,628       77  

Infrastrutture Wireless Italiane SpA

    16,055       161  

Intesa Sanpaolo SpA

    23,072       51  

Nexi SpA *

     15,465       121  

Poste Italiane SpA

    8,102       79  

Prysmian SpA

    1,571       58  

Recordati Industria Chimica e Farmaceutica SpA

    2,099       87  

Stellantis NV

    7,212       102  

Terna - Rete Elettrica Nazionale

    16,689       123  

UniCredit SpA

    3,777       53  
                 
              1,529  
                 

Japan — 0.9%

        

Advantest Corp

    600       39  

Aeon Co Ltd, Cl H

    5,400       114  

Aisin Corp

    1,500       40  

Ajinomoto Co Inc

    8,000       244  

ANA Holdings Inc

    3,500       74  

Asahi Group Holdings Ltd

    2,400       75  

Asahi Intecc Co Ltd

    2,900       48  

Astellas Pharma Inc

    6,600       100  

Bandai Namco Holdings Inc

    1,500       95  

Brother Industries Ltd

    9,300       141  

Canon Inc

    5,200       113  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Capcom Co Ltd

    4,100     $ 131  

Central Japan Railway Co

    600       74  

Chiba Bank Ltd/The, Cl B

    7,300       53  

Chubu Electric Power Co Inc

    24,700       255  

Chugai Pharmaceutical Co Ltd

    2,500       64  

Concordia Financial Group Ltd

    15,100       63  

CyberAgent Inc

    13,100       116  

Dai Nippon Printing Co Ltd

    3,300       66  

Daifuku Co Ltd

    700       33  

Dai-ichi Life Holdings Inc

    2,300       52  

Daiichi Sankyo Co Ltd

    3,800       122  

Daito Trust Construction Co Ltd

    900       92  

Daiwa House Industry Co Ltd ‡

     1,300       30  

Daiwa House Investment Corp ‡

     42       93  

Dentsu Group Inc

    4,300       135  

Disco Corp

    200       57  

East Japan Railway Co

    1,200       68  

Eisai Co Ltd

    1,400       92  

ENEOS Holdings Inc

    70,100       238  

Fast Retailing Co Ltd

    234       143  

FUJIFILM Holdings Corp

    1,700       85  

Fujitsu Ltd

    400       53  

GLP J-Reit ‡

     44       50  

Hakuhodo DY Holdings Inc

    5,800       58  

Hankyu Hanshin Holdings Inc

    3,600       107  

Hikari Tsushin

    1,400       198  

Hirose Electric Co Ltd

    682       86  

Hitachi Construction Machinery Co Ltd

    3,100       70  

Hoya Corp

    500       48  

Ibiden Co Ltd

    1,500       54  

Idemitsu Kosan Co Ltd

    8,998       209  

Iida Group Holdings Co Ltd

    3,400       52  

Inpex Corp

    12,100       128  

Ito En Ltd

    2,000       73  

ITOCHU Corp

    3,700       116  

Itochu Techno-Solutions Corp

    2,800       65  

Japan Airlines Co Ltd

    5,500       112  

Japan Exchange Group Inc

    12,200       175  

Japan Metropolitan Fund Invest, Cl A ‡

     64       51  

Japan Post Bank Co Ltd

    14,500       124  

Japan Post Holdings Co Ltd

    13,200       111  

Japan Real Estate Investment Corp ‡

     12       52  

Japan Tobacco Inc

    6,700       135  

JFE Holdings Inc

    5,400       63  

JSR Corp

    1,900       37  

Kakaku.com Inc

    7,400       119  

Kansai Electric Power Co Inc/The

    26,300       255  

Kao Corp

    1,800       72  

KDDI Corp

    12,600       380  

Keio Corp

    2,500       92  

Kikkoman Corp

    900       47  

Kintetsu Group Holdings Co Ltd

    4,000       132  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

213

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Kirin Holdings Co Ltd

    4,100     $ 63  

Kobayashi Pharmaceutical Co Ltd

    1,100       75  

Kobe Bussan Co Ltd

    2,600       75  

Koei Tecmo Holdings Co Ltd

    4,360       79  

Koito Manufacturing

    9,900       149  

Komatsu Ltd

    4,100       89  

Konami Group Corp

    1,600       72  

Kose Corp

    1,000       109  

Kubota Corp

    3,100       43  

Kyocera Corp

    1,500       74  

Kyowa Kirin Co Ltd

    4,100       94  

Lasertec Corp

    200       33  

Lixil Corp

    2,000       30  

M3 Inc

    1,900       52  

Marubeni Corp

    7,100       82  

McDonald's Holdings Co Japan Ltd

    5,223       198  

MEIJI Holdings Co Ltd

    2,400       123  

Mitsubishi Chemical Group Corp, Cl B

    8,100       42  

Mitsui Fudosan Co Ltd ‡

     2,500       46  

MonotaRO Co Ltd

    2,000       28  

NEC Corp

    4,600       162  

Nexon Co Ltd

    3,800       85  

Nintendo Co Ltd

    2,040       86  

Nippon Building Fund Inc ‡

     13       58  

Nippon Paint Holdings Co Ltd

    5,400       43  

Nippon Prologis Inc ‡

     40       94  

Nippon Sanso Holdings Corp

    2,600       38  

Nippon Shinyaku Co Ltd

    2,600       147  

Nippon Steel Corp

    4,300       75  

Nippon Telegraph & Telephone Corp

    7,400       211  

Nippon Yusen KK

    900       21  

Nissan Chemical Corp

    1,800       79  

Nisshin Seifun Group Inc

    4,815       60  

Nissin Foods Holdings Co Ltd

    2,000       158  

Nitori Holdings

    600       78  

Nomura Holdings Inc

    12,000       44  

Nomura Real Estate Holdings ‡

     8,400       180  

Nomura Real Estate Master Fund Inc ‡

     44       54  

NTT Data Corp

    3,400       50  

Obic Co Ltd

    400       59  

Odakyu Electric Railway Co Ltd

    3,500       45  

Oji Holdings Corp

    14,000       56  

Olympus Corp

    3,600       64  

Ono Pharmaceutical Co Ltd

    3,700       86  

Oracle Corp Japan

    1,200       77  

Oriental Land Co Ltd/Japan

    600       87  

ORIX Corp

    3,400       55  

Osaka Gas Co Ltd

    40,900       660  

Otsuka Corp

    2,000       63  

Otsuka Holdings Co Ltd

    2,600       85  

Pan Pacific International Holdings Corp

    19,300       359  

Panasonic Holdings Corp

    10,200       86  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Rakuten Group Inc

    7,600     $ 34  

Renesas Electronics Corp *

     4,800       43  

Rohm Co Ltd

    700       51  

SBI Holdings Inc/Japan

    2,400       46  

SCSK Corp

    3,600       55  

Secom Co Ltd

    1,100       63  

Seiko Epson Corp

    9,600       140  

Seven & i Holdings Co Ltd

    3,600       154  

SG Holdings Co Ltd

    8,000       111  

Sharp Corp/Japan

    4,700       34  

Shimadzu Corp

    2,300       65  

Shimano Inc

    400       63  

Shionogi & Co Ltd

    1,600       80  

Shiseido Co Ltd

    1,900       93  

Shizuoka Financial Group

    12,000       96  

SoftBank Corp

    14,200       160  

SoftBank Group Corp

    900       39  

Sompo Holdings Inc

    2,100       93  

Sony Group Corp

    800       61  

Square Enix Holdings Co Ltd

    3,200       149  

Subaru Corp

    3,700       57  

SUMCO Corp

    3,000       40  

Sumitomo Chemical Co Ltd

    39,700       143  

Sumitomo Corp

    6,500       108  

Sumitomo Metal Mining Co Ltd

    1,000       35  

Suntory Beverage & Food Ltd

    3,500       119  

Sysmex Corp

    1,000       61  

T&D Holdings Inc

    4,600       66  

Taisei Corp

    1,900       61  

Takeda Pharmaceutical Co Ltd

    4,318       135  

TDK Corp

    1,500       49  

Terumo Corp

    2,800       80  

TIS Inc

    3,300       87  

Tobu Railway Co Ltd

    5,000       117  

Toho Co Ltd/Tokyo

    3,600       139  

Tokio Marine Holdings Inc

    6,900       148  

Tokyo Electric Power Co Holdings Inc *

     43,300       156  

Tokyo Gas Co Ltd

    50,200       984  

Tokyu Corp

    7,000       88  

Toray Industries Inc

    10,000       56  

Toshiba

    2,700       94  

Tosoh Corp

    12,700       151  

Toyota Industries Corp

    700       38  

Toyota Motor Corp

    8,800       121  

Trend Micro Inc/Japan

    3,300       154  

Unicharm Corp

    5,000       192  

Welcia Holdings Co Ltd

    5,700       133  

West Japan Railway Co

    3,400       148  

Yakult Honsha Co Ltd

    2,100       136  

Yamaha Corp

    1,100       41  

Yamato Holdings Co Ltd

    2,500       40  

Yaskawa Electric Corp

    1,400       45  

 

 

 

214

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Yokogawa Electric Corp

    3,700     $ 59  

ZOZO Inc

    1,800       44  
                 
              17,285  
                 

Jordan — 0.0%

        

Hikma Pharmaceuticals PLC

    6,315       118  
                 
                 
                 

Luxembourg — 0.0%

        

Eurofins Scientific SE

    880       63  
                 
                 
                 

Netherlands — 0.1%

        

ABN AMRO Bank NV

    5,808       80  

Adyen NV *

     65       89  

Aegon NV

    14,434       73  

Akzo Nobel NV

    725       48  

ArcelorMittal SA

    2,187       57  

ASM International NV

    322       81  

ASML Holding NV

    209       112  

Heineken Holding NV

    1,929       148  

Heineken NV

    1,761       165  

ING Groep NV

    6,781       82  

JDE Peet's NV

    6,548       189  

Just Eat Takeaway.com NV *

     2,362       50  

Koninklijke Ahold Delhaize NV

    6,728       193  

Koninklijke DSM NV

    490       60  

Koninklijke KPN NV

    43,321       134  

Koninklijke Philips NV

    3,809       57  

OCI NV

    1,649       59  

Prosus NV

    898       62  

Unibail-Rodamco-Westfield *‡

     1,316       68  

Universal Music Group NV

    5,777       139  

Wolters Kluwer NV

    1,366       143  
                 
              2,089  
                 

New Zealand — 0.0%

        

Auckland International Airport Ltd *

     12,197       60  

Fisher & Paykel Healthcare Corp Ltd

    11,240       161  

Meridian Energy Ltd

    35,246       117  

Spark New Zealand Ltd

    94,888       324  
                 
              662  
                 

Norway — 0.0%

        

Aker BP ASA

    6,322       195  

Equinor ASA

    4,617       165  

Gjensidige Forsikring ASA

    3,339       65  

Kongsberg Gruppen ASA

    3,110       131  

Norsk Hydro ASA

    18,290       136  

Telenor ASA

    20,281       189  
                 
              881  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Portugal — 0.0%

        

EDP - Energias de Portugal SA

    41,479     $ 206  

Galp Energia SGPS SA

    22,268       300  
                 
              506  
                 

Singapore — 0.1%

        

Ascendas Real Estate Investment Trust ‡

     17,600       36  

Capitaland Investment Ltd/Singapore ‡

     15,100       42  

City Developments Ltd ‡

     7,600       47  

Jardine Cycle & Carriage Ltd

    9,100       194  

Jardine Matheson Holdings Ltd

    3,164       161  

Oversea-Chinese Banking Corp Ltd

    4,100       37  

Sea Ltd ADR *

     5,508       286  

Singapore Exchange Ltd

    7,100       48  

Singapore Technologies Engineering Ltd

    8,700       22  

Singapore Telecommunications Ltd

    216,300       414  

Venture Corp Ltd

    25,300       322  
                 
              1,609  
                 

South Korea — 0.0%

        

Delivery Hero SE *

     1,113       53  
                 
                 
                 

Spain — 0.1%

        

ACCIONA Energias Renovables

    3,758       145  

Acciona SA

    722       132  

ACS Actividades de Construccion y Servicios SA

    1,954       56  

Aena SME SA *

     513       64  

Amadeus IT Group SA, Cl A *

     1,707       88  

Banco Santander SA

    14,314       43  

CaixaBank SA

    13,416       53  

Cellnex Telecom SA

    4,726       156  

EDP Renovaveis

    7,361       162  

Enagas SA

    3,003       50  

Endesa SA

    8,563       161  

Ferrovial SA

    2,453       64  

Grifols SA *

     12,839       147  

Iberdrola SA

    4,859       57  

Industria de Diseno Textil SA

    6,407       170  

Repsol SA, Cl A

    13,993       222  

Telefonica SA *

     41,335       149  
                 
              1,919  
                 

Sweden — 0.1%

        

Atlas Copco AB, Cl A

    1,380       16  

Boliden AB

    2,335       88  

Embracer Group AB, Cl B *

     38,931       177  

Epiroc AB, Cl A

    6,391       116  

EQT AB

    2,299       49  

Evolution Gaming Group

    948       92  

Getinge AB, Cl B

    3,429       71  

Hexagon AB, Cl B

    6,475       68  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

215

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Holmen, Cl B

    3,015     $ 120  

Indutrade

    8,779       178  

L E Lundbergforetagen AB, Cl B

    4,595       196  

Nibe Industrier, Cl B

    13,845       129  

Nordea Bank Abp, Cl A

    6,982       75  

Skandinaviska Enskilda Banken AB, Cl A

    5,484       63  

SKF AB, Cl B

    7,979       122  

Svenska Cellulosa AB SCA, Cl B

    8,996       114  

Svenska Handelsbanken AB, Cl A

    7,194       72  

Swedbank AB, Cl A

    3,925       67  

Tele2 AB, Cl B

    24,535       200  

Telefonaktiebolaget LM Ericsson, Cl B

    24,467       143  

Telia Co AB

    107,041       274  
                 
              2,430  
                 

Switzerland — 0.2%

        

Adecco Group AG

    1,187       39  

Alcon Inc

    2,354       161  

Bachem Holding, Cl B

    1,569       135  

Baloise Holding AG

    496       77  

Barry Callebaut AG

    104       206  

BKW AG

    2,159       295  

Chocoladefabriken Lindt & Spruengli AG

    1       103  

Cie Financiere Richemont SA, Cl A

    745       96  

Geberit AG

    215       101  

Givaudan SA

    26       80  

Holcim AG

    1,540       80  

Logitech International SA

    1,488       92  

Lonza Group AG

    296       145  

Nestle SA

    1,850       214  

Novartis AG

    1,266       114  

Partners Group Holding AG

    76       67  

Roche Holding AG

    484       187  

Schindler Holding AG

    179       32  

SGS SA, Cl B

    41       95  

SIG Group

    4,394       96  

Sika AG

    195       47  

Sonova Holding AG

    526       125  

Straumann Holding AG

    960       110  

Swatch Group AG/The, Cl B

    251       71  

Swiss Life Holding AG

    180       93  

Swiss Prime Site AG ‡

     588       51  

Swisscom AG

    729       399  

Temenos AG

    2,087       114  

UBS Group AG

    4,371       81  

VAT Group

    332       91  

Zurich Insurance Group AG

    87       42  
                 
              3,639  
                 

United Kingdom — 0.3%

        

Admiral Group PLC

    2,390       61  

Antofagasta PLC

    6,096       113  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Associated British Foods PLC

    7,753     $ 147  

AstraZeneca PLC

    1,035       140  

Auto Trader Group PLC

    23,673       147  

AVEVA Group PLC

    2,005       77  

Barratt Developments PLC

    6,905       33  

Berkeley Group Holdings PLC

    1,223       55  

BP PLC

    46,411       265  

British American Tobacco PLC

    4,565       180  

BT Group PLC, Cl A

    104,801       141  

Bunzl PLC

    3,000       100  

Burberry Group PLC

    2,683       66  

Coca-Cola Europacific Partners PLC

    3,518       195  

Coca-Cola HBC AG

    4,673       111  

Compass Group PLC

    3,169       73  

DCC PLC

    732       36  

Diageo PLC

    2,888       127  

Experian PLC

    1,157       39  

Haleon *

     18,957       75  

Halma PLC

    5,482       130  

Hargreaves Lansdown PLC

    4,638       48  

HSBC Holdings PLC

    17,725       110  

Imperial Brands PLC

    5,956       148  

InterContinental Hotels Group PLC

    861       49  

J Sainsbury PLC

    54,025       142  

Johnson Matthey PLC

    2,742       70  

Kingfisher PLC

    15,739       45  

Kingspan Group PLC

    608       33  

Land Securities Group PLC ‡

     4,420       33  

Linde PLC

    660       215  

London Stock Exchange Group PLC

    585       50  

Mondi PLC

    5,822       99  

National Grid PLC

    16,672       200  

NMC Health PLC *

     12,179       —  

Ocado Group PLC *

     7,660       57  

Pearson PLC

    15,564       176  

Persimmon PLC

    2,512       37  

Phoenix Group Holdings PLC

    7,887       58  

Prudential PLC

    1,980       27  

Reckitt Benckiser Group PLC

    1,269       88  

RELX PLC

    3,034       83  

Rentokil Initial PLC

    12,011       73  

Rolls-Royce Holdings PLC *

     19,553       22  

Sage Group PLC/The

    12,410       111  

Segro PLC ‡

     3,917       36  

Severn Trent PLC

    3,984       127  

Smith & Nephew PLC

    7,784       104  

Smiths Group PLC

    3,056       59  

Smurfit Kappa Group PLC

    3,889       143  

SSE PLC

    6,499       134  

Taylor Wimpey

    153,902       188  

Tesco PLC

    17,126       46  

United Utilities Group PLC, Cl B

    16,150       193  

 

 

 

216

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

FOREIGN COMMON STOCK (continued)

Vodafone Group PLC

    157,079     $ 159  

Whitbread PLC

    1,289       40  

WPP PLC

    14,932       147  
                 
              5,661  
                 

United States — 0.0%

        

Accenture PLC, Cl A

    286       76  

Allegion PLC

    654       69  

Amcor PLC

    16,032       191  

Aon PLC, Cl A

    234       70  

Aptiv PLC *

     853       80  

Eaton Corp PLC

    402       63  

Johnson Controls International plc

    3,007       192  

Medtronic PLC

    1,787       139  

Trane Technologies PLC

    641       108  
                 
              988  
                 

Total Foreign Common Stock

               

(Cost $65,275) ($ Thousands)

             66,475  
                 
                 
                 

COMMON STOCK — 3.1%
                 

Communication Services — 0.3%

        

Activision Blizzard Inc

    3,438       263  

Alphabet Inc, Cl A *

     3,248       287  

AT&T Inc

    12,434       229  

Charter Communications Inc, Cl A *

     539       183  

Comcast Corp, Cl A

    7,386       258  

DISH Network Corp, Cl A *

     11,912       167  

Electronic Arts Inc

    2,309       282  

Fox Corp, Cl B

    9,772       278  

Interpublic Group of Cos Inc/The

    7,556       252  

Live Nation Entertainment Inc *

     3,530       246  

Lumen Technologies Inc

    45,280       236  

Match Group Inc *

     5,102       212  

Meta Platforms Inc, Cl A *

     1,938       233  

Netflix Inc *

     572       169  

News Corp, Cl B

    14,611       269  

Omnicom Group Inc

    3,054       249  

Paramount Global, Cl B

    15,861       268  

Take-Two Interactive Software Inc, Cl A *

     2,390       249  

T-Mobile US Inc *

     2,213       310  

Verizon Communications Inc

    10,486       413  

Walt Disney Co/The *

     2,239       195  

Warner Bros Discovery Inc *

     22,942       217  
                 
              5,465  

Consumer Discretionary — 0.3%

        

Advance Auto Parts Inc

    673       99  

Amazon.com Inc, Cl A *

     1,643       138  

AutoZone Inc *

     63       155  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Bath & Body Works Inc

    2,395     $ 101  

Best Buy Co Inc

    1,132       91  

Booking Holdings Inc *

     58       117  

BorgWarner Inc

    2,489       100  

CarMax Inc *

     2,245       137  

Chipotle Mexican Grill Inc, Cl A *

     60       83  

Darden Restaurants Inc

    800       111  

Dollar General Corp

    528       130  

Dollar Tree Inc *

     910       129  

Domino's Pizza Inc

    229       79  

DR Horton Inc

    1,517       135  

eBay Inc

    2,983       124  

Etsy Inc *

     731       88  

Expedia Group Inc *

     1,112       97  

Ford Motor Co

    8,570       100  

Garmin Ltd

    1,316       121  

General Motors Co

    2,191       74  

Hasbro Inc

    1,467       89  

Hilton Worldwide Holdings Inc

    943       119  

Home Depot Inc/The

    344       109  

Las Vegas Sands Corp *

     2,848       137  

Lennar Corp, Cl A

    1,120       101  

LKQ Corp

    2,394       128  

Lowe's Cos Inc

    598       119  

Marriott International Inc/MD, Cl A

    453       67  

McDonald's Corp

    446       118  

MGM Resorts International

    2,528       85  

Mohawk Industries Inc *

     957       98  

Newell Brands Inc, Cl B

    6,662       87  

NIKE Inc, Cl B

    913       107  

O'Reilly Automotive Inc *

     186       157  

Pool Corp

    476       144  

Ralph Lauren Corp, Cl A

    835       88  

Ross Stores Inc

    1,391       161  

Royal Caribbean Cruises Ltd *

     1,861       92  

Starbucks Corp

    1,082       107  

Tapestry Inc

    2,483       95  

Target Corp, Cl A

    683       102  

TJX Cos Inc/The

    1,988       158  

Tractor Supply Co

    712       160  

Ulta Beauty Inc *

     252       118  

VF Corp

    3,175       88  

Whirlpool Corp

    760       107  

Yum! Brands Inc

    926       119  
                 
              5,269  

Consumer Staples — 0.4%

        

Altria Group Inc

    5,478       250  

Archer-Daniels-Midland Co

    2,125       197  

Brown-Forman Corp, Cl B

    2,289       150  

Campbell Soup Co

    7,410       421  

Church & Dwight Co Inc

    2,519       203  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

217

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Clorox Co/The

    1,236     $ 173  

Coca-Cola Co/The

    3,032       193  

Colgate-Palmolive Co

    3,689       291  

Conagra Brands Inc

    7,947       308  

Constellation Brands Inc, Cl A

    1,139       264  

Costco Wholesale Corp

    479       219  

Estee Lauder Cos Inc/The, Cl A

    852       211  

General Mills Inc

    2,300       193  

Hershey Co/The

    912       211  

Hormel Foods Corp

    6,752       308  

J M Smucker Co/The

    2,772       439  

Kellogg Co

    4,858       346  

Keurig Dr Pepper Inc

    2,089       74  

Kimberly-Clark Corp

    2,081       283  

Kraft Heinz Co/The

    8,225       335  

Kroger Co/The

    4,435       198  

Lamb Weston Holdings Inc

    2,378       212  

McCormick & Co Inc/MD

    3,295       273  

Molson Coors Beverage Co, Cl B

    3,119       161  

Mondelez International Inc, Cl A

    3,684       246  

Monster Beverage Corp *

     3,145       319  

PepsiCo Inc

    1,095       198  

Philip Morris International Inc

    2,561       259  

Procter & Gamble Co/The

    2,075       314  

Sysco Corp, Cl A

    2,494       191  

Tyson Foods Inc, Cl A

    2,695       168  

Walgreens Boots Alliance Inc

    4,466       167  

Walmart Inc

    1,137       161  
                 
              7,936  

Energy — 0.3%

        

APA Corp

    2,838       132  

Baker Hughes Co, Cl A

    6,163       182  

Chevron Corp

    913       164  

ConocoPhillips

    1,559       184  

Coterra Energy Inc

    6,421       158  

Devon Energy Corp

    2,196       135  

Diamondback Energy Inc, Cl A

    1,269       174  

EOG Resources Inc

    1,401       181  

EQT Corp

    4,226       143  

Exxon Mobil Corp

    1,529       169  

Halliburton Co

    4,352       171  

Hess Corp

    1,393       198  

Kinder Morgan Inc

    11,252       203  

Marathon Oil Corp

    5,317       144  

Marathon Petroleum Corp

    1,459       170  

Occidental Petroleum Corp

    2,472       156  

ONEOK Inc

    3,125       205  

Phillips 66

    1,687       176  

Pioneer Natural Resources Co

    950       217  

Schlumberger Ltd, Cl A

    3,108       166  

Shell PLC

    9,599       268  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Targa Resources Corp

    2,608     $ 192  

Valero Energy Corp

    1,368       173  

Williams Cos Inc/The

    6,562       216  
                 
              4,277  

Financials — 0.2%

        

Allstate Corp/The

    963       131  

Ameriprise Financial Inc

    353       110  

Arthur J Gallagher & Co

    347       65  

Assurant Inc

    976       122  

Bank of New York Mellon Corp/The

    1,593       73  

BlackRock Inc

    75       53  

Capital One Financial Corp

    1,461       136  

Cboe Global Markets Inc

    436       55  

Charles Schwab Corp/The

    1,056       88  

Chubb Ltd

    281       62  

Cincinnati Financial Corp

    682       70  

CME Group Inc, Cl A

    1,048       176  

Comerica Inc

    2,445       163  

Discover Financial Services

    794       78  

Everest Re Group Ltd

    429       142  

Eversource Energy

    2,884       242  

Fifth Third Bancorp

    2,376       78  

First Republic Bank/CA

    1,661       202  

Franklin Resources Inc

    2,773       73  

Globe Life Inc

    870       105  

Goldman Sachs Group Inc/The

    156       54  

Hartford Financial Services Group Inc/The

    934       71  

Huntington Bancshares Inc/OH

    4,218       59  

Intercontinental Exchange Inc

    482       49  

Invesco Ltd

    3,850       69  

KeyCorp

    2,956       52  

Lincoln National Corp

    4,384       135  

Loews Corp

    1,583       92  

MarketAxess Holdings Inc

    257       72  

Marsh & McLennan Cos Inc

    634       105  

Morgan Stanley

    1,357       115  

MSCI Inc, Cl A

    231       107  

Nasdaq Inc, Cl A

    1,104       68  

Northern Trust Corp

    777       69  

PNC Financial Services Group Inc/The

    607       96  

Principal Financial Group Inc, Cl A

    1,498       126  

Progressive Corp/The

    529       69  

Prudential Financial Inc

    736       73  

Raymond James Financial Inc

    1,314       140  

Regions Financial Corp

    3,285       71  

S&P Global Inc

    277       93  

State Street Corp

    770       60  

SVB Financial Group, Cl B *

     320       74  

Synchrony Financial

    2,695       88  

T Rowe Price Group Inc

    673       73  

Travelers Cos Inc/The

    399       75  

 

 

 

218

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Truist Financial Corp

    2,753     $ 118  

US Bancorp

    2,336       102  

Wells Fargo & Co

    1,682       69  

Willis Towers Watson PLC

    490       120  

Zions Bancorp NA

    3,769       185  
                 
              4,973  

Health Care — 0.3%

        

Abbott Laboratories

    1,268       139  

AbbVie Inc

    811       131  

Agilent Technologies Inc

    1,033       155  

Align Technology Inc *

     714       151  

AmerisourceBergen Corp, Cl A

    593       98  

Amgen Inc, Cl A

    498       131  

Baxter International Inc

    1,597       81  

Becton Dickinson and Co

    396       101  

Biogen Inc *

     442       122  

Bio-Techne Corp

    1,916       159  

Boston Scientific Corp *

     2,255       104  

Bristol-Myers Squibb Co

    1,520       109  

Catalent Inc *

     2,770       125  

Centene Corp *

     1,160       95  

Charles River Laboratories International Inc *

     619       135  

Cigna Corp

    327       108  

Cooper Cos Inc/The, Cl A

    391       129  

CVS Health Corp

    1,342       125  

Danaher Corp, Cl A

    606       161  

DENTSPLY SIRONA Inc

    2,914       93  

Dexcom Inc *

     860       97  

Edwards Lifesciences Corp, Cl A *

     1,150       86  

Elevance Health Inc

    269       138  

Eli Lilly & Co

    431       158  

Gilead Sciences Inc

    1,887       162  

GSK PLC

    4,891       85  

HCA Healthcare Inc

    406       97  

Henry Schein Inc *

     1,495       119  

Hologic Inc *

     1,195       89  

Humana Inc

    212       109  

IDEXX Laboratories Inc *

     289       118  

Illumina Inc *

     728       147  

Incyte Corp *

     1,380       111  

Intuitive Surgical Inc *

     390       103  

Johnson & Johnson

    1,165       206  

Laboratory Corp of America Holdings

    622       146  

McKesson Corp

    492       185  

Merck & Co Inc

    1,107       123  

Mettler-Toledo International Inc *

     80       116  

Moderna Inc *

     521       94  

Molina Healthcare Inc *

     403       133  

Organon & Co

    3,618       101  

PerkinElmer Inc

    728       102  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Pfizer Inc

    2,320     $ 119  

Quest Diagnostics Inc

    658       103  

Regeneron Pharmaceuticals Inc *

     177       128  

ResMed Inc

    487       101  

Stryker Corp

    526       129  

Swedish Orphan Biovitrum AB *

     5,208       108  

Teleflex Inc

    647       162  

UnitedHealth Group Inc

    200       106  

Universal Health Services Inc, Cl B

    874       123  

Vertex Pharmaceuticals Inc *

     393       113  

Viatris Inc, Cl W *

     11,060       123  

Waters Corp *

     259       89  

Zimmer Biomet Holdings Inc

    1,053       134  

Zoetis Inc, Cl A

    653       96  
                 
              6,911  

Industrials — 0.3%

        

3M Co

    563       68  

AMETEK Inc

    926       129  

Boeing Co/The *

     613       117  

Carrier Global Corp

    1,544       64  

Caterpillar Inc, Cl A

    524       126  

CH Robinson Worldwide Inc

    978       90  

Copart Inc *

     1,452       88  

CSX Corp

    2,961       92  

Cummins Inc

    289       70  

Deere & Co

    277       119  

Dover Corp

    565       77  

Emerson Electric Co

    986       95  

Equifax Inc

    349       68  

Expeditors International of Washington Inc

    870       90  

FedEx Corp

    571       99  

Fortive Corp

    1,754       113  

Fortune Brands Innovations Inc

    2,723       156  

General Dynamics Corp

    798       198  

General Electric Co

    1,465       123  

Honeywell International Inc

    494       106  

Howmet Aerospace Inc

    2,040       80  

Huntington Ingalls Industries Inc, Cl A

    418       96  

IDEX Corp

    1,042       238  

Illinois Tool Works Inc

    606       133  

Ingersoll Rand Inc

    1,458       76  

Jacobs Solutions Inc

    942       113  

JB Hunt Transport Services Inc

    390       68  

L3Harris Technologies Inc

    320       67  

Leidos Holdings Inc

    1,361       143  

Lockheed Martin Corp

    186       90  

Masterbrand Inc *

     2,723       21  

Norfolk Southern Corp

    347       86  

Northrop Grumman Corp

    358       195  

Old Dominion Freight Line Inc, Cl A

    585       166  

Otis Worldwide Corp

    879       69  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

219

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

PACCAR Inc

    956     $ 95  

Parker-Hannifin Corp, Cl A

    382       111  

Quanta Services Inc

    797       114  

Raytheon Technologies Corp

    905       91  

Rockwell Automation Inc

    289       74  

Rollins Inc

    4,270       156  

Snap-on Inc

    745       170  

Southwest Airlines Co, Cl A

    1,959       66  

Stanley Black & Decker Inc

    2,123       159  

Textron Inc

    1,543       109  

TransDigm Group Inc

    128       81  

Union Pacific Corp

    311       64  

United Rentals Inc

    308       109  

Verisk Analytics Inc, Cl A

    884       156  

Waste Management Inc

    830       130  

Xylem Inc/NY

    691       76  
                 
              5,490  

Information Technology — 0.3%

        

Adobe Inc *

     292       98  

Akamai Technologies Inc *

     1,193       101  

Analog Devices Inc

    540       89  

ANSYS Inc *

     394       95  

Applied Materials Inc

    1,164       113  

Autodesk Inc, Cl A *

     366       68  

Automatic Data Processing Inc

    354       85  

Broadcom Inc

    192       107  

Cadence Design Systems Inc *

     1,150       185  

Ceridian HCM Holding Inc *

     1,787       115  

Check Point Software Technologies Ltd *

     1,215       154  

Cisco Systems Inc

    2,109       100  

Cognizant Technology Solutions Corp, Cl A

    1,546       88  

Corning Inc, Cl B

    2,864       91  

CyberArk Software Ltd *

     1,176       152  

F5 Inc, Cl A *

     580       83  

Fidelity National Information Services Inc, Cl B

    1,656       112  

Fiserv Inc, Cl A *

     1,100       111  

FleetCor Technologies Inc *

     390       72  

Gartner Inc *

     458       154  

Gen Digital Inc

    4,139       89  

Global Payments Inc

    1,039       103  

Hewlett Packard Enterprise Co

    8,058       129  

HP Inc

    2,363       64  

Intel Corp

    2,300       61  

International Business Machines Corp

    639       90  

Intuit Inc

    357       139  

Jack Henry & Associates Inc

    575       101  

Juniper Networks Inc

    2,925       93  

Keysight Technologies Inc *

     736       126  

KLA Corp

    432       163  

Mastercard Inc, Cl A

    332       115  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Microchip Technology Inc

    1,142     $ 80  

Microsoft Corp

    768       184  

Monolithic Power Systems Inc

    286       101  

Motorola Solutions Inc

    317       82  

NVIDIA Corp

    836       122  

NXP Semiconductors NV

    862       136  

Oracle Corp, Cl B

    2,567       210  

Paychex Inc

    874       101  

Paycom Software Inc *

     321       100  

PayPal Holdings Inc *

     1,101       78  

QUALCOMM Inc

    867       95  

Salesforce Inc *

     646       86  

Seagate Technology Holdings PLC

    2,721       143  

ServiceNow Inc *

     223       87  

STMicroelectronics NV

    1,562       55  

Synopsys Inc *

     273       87  

TE Connectivity Ltd

    1,770       203  

Teledyne Technologies Inc *

     225       90  

Teradyne Inc

    1,987       174  

Texas Instruments Inc

    780       129  

Trimble Inc *

     2,318       117  

Tyler Technologies Inc *

     352       114  

VeriSign Inc *

     681       140  

Western Digital Corp *

     2,421       76  

Zebra Technologies Corp, Cl A *

     349       90  
                 
              6,326  

Materials — 0.2%

        

Air Products and Chemicals Inc

    651       201  

Albemarle Corp

    815       177  

Avery Dennison Corp

    1,153       209  

Ball Corp

    3,002       154  

Celanese Corp, Cl A

    1,608       164  

CF Industries Holdings Inc

    1,650       141  

Corteva Inc

    3,430       202  

Dow Inc

    2,709       136  

DuPont de Nemours Inc

    2,736       188  

Eastman Chemical Co

    1,987       162  

Ecolab Inc

    1,343       195  

FMC Corp

    1,834       229  

Freeport-McMoRan Inc, Cl B

    4,088       155  

International Flavors & Fragrances Inc

    1,993       209  

International Paper Co

    6,235       216  

LyondellBasell Industries NV, Cl A

    1,595       132  

Martin Marietta Materials Inc, Cl A

    696       235  

Mosaic Co/The

    3,394       149  

Newmont Corp

    5,303       250  

Nucor Corp

    845       111  

Packaging Corp of America

    1,528       195  

PPG Industries Inc

    1,382       174  

Sealed Air Corp

    3,350       167  

Sherwin-Williams Co/The, Cl A

    828       197  

 

 

 

220

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Vulcan Materials Co

    1,039     $ 182  

Westrock Co

    5,436       191  
                 
              4,721  

Real Estate — 0.1%

        

Alexandria Real Estate Equities Inc ‡

     628       91  

American Tower Corp, Cl A ‡

     353       75  

Boston Properties Inc ‡

     795       54  

Crown Castle Inc ‡

     668       91  

Digital Realty Trust Inc, Cl A ‡

     700       70  

Equinix Inc ‡

     87       57  

Equity Residential ‡

     1,670       98  

Essex Property Trust Inc ‡

     342       72  

Extra Space Storage Inc ‡

     738       109  

Federal Realty Investment Trust ‡

     1,231       124  

Healthpeak Properties Inc ‡

     2,938       74  

Iron Mountain Inc ‡

     1,556       78  

Kimco Realty Corp ‡

     5,667       120  

Mid-America Apartment Communities Inc ‡

     907       142  

Prologis Inc ‡

     1,557       175  

Public Storage ‡

     325       91  

Realty Income Corp ‡

     2,310       146  

Regency Centers Corp ‡

     827       52  

UDR Inc ‡

     2,549       99  

Ventas Inc ‡

     856       39  

Vornado Realty Trust ‡

     3,364       70  

Welltower Inc ‡

     1,059       69  

Weyerhaeuser Co ‡

     1,985       62  
                 
              2,058  

Utilities — 0.4%

        

AES Corp/The

    8,640       249  

Alliant Energy Corp

    6,201       342  

Ameren Corp

    4,410       392  

American Electric Power Co Inc

    1,962       186  

American Water Works Co Inc

    1,287       196  

Atmos Energy Corp

    1,688       189  

CenterPoint Energy Inc

    10,623       319  

CMS Energy Corp

    5,009       317  

Consolidated Edison Inc

    2,132       203  

Constellation Energy Corp

    2,678       231  

Dominion Energy Inc

    3,964       243  

DTE Energy Co

    2,191       258  

Duke Energy Corp

    3,471       358  

Edison International

    5,332       339  

Entergy Corp

    2,469       278  

Evergy Inc

    5,347       337  

Exelon Corp

    5,763       249  

FirstEnergy Corp

    5,862       246  

NextEra Energy Inc

    3,279       274  

NiSource Inc

    10,261       281  

NRG Energy Inc

    6,485       206  

PG&E Corp *

     14,299       233  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Pinnacle West Capital Corp

    4,005     $ 305  

PPL Corp

    9,644       282  

Public Service Enterprise Group Inc

    5,156       316  

Sempra Energy

    1,435       222  

Southern Co/The

    3,395       242  

WEC Energy Group Inc

    2,319       217  

Xcel Energy Inc

    2,944       206  
                 
              7,716  

Total Common Stock

               

(Cost $42,819) ($ Thousands)

             61,142  
                 
                 
                 

EXCHANGE TRADED FUND — 0.7%
                 

iShares iBoxx $ Investment Grade Corporate Bond ETF

    130,327       13,740  
                 
                 
                 

Total Exchange Traded Fund

               

(Cost $14,921) ($ Thousands)

             13,740  
                 
                 
   

Face Amount
(Thousands)

          

CORPORATE OBLIGATIONS — 0.4%

Consumer Discretionary — 0.0%

        

Toyota Motor

               

3.419%, 07/20/2023 ^

   $ 500       496  

Toyota Motor Credit MTN

               

2.625%, 01/10/2023 ^

     375       375  
                 
              871  
                 

Energy — 0.1%

        

CNOOC Petroleum North America ULC

               

5.875%, 03/10/2035 ^

     100       98  

Equinor ASA

               

2.450%, 01/17/2023 ^

     1,250       1,249  
                 
              1,347  
                 

Financials — 0.2%

        

Berkshire Hathaway

               

2.750%, 03/15/2023 ^

     1,000       996  

FMS Wertmanagement

               

2.750%, 03/06/2023 ^

     375       374  

Kreditanstalt fuer Wiederaufbau

               

2.125%, 01/17/2023 ^

     1,250       1,249  

Landwirtschaftliche Rentenbank

               

2.000%, 01/13/2025 ^

     250       237  

National Australia Bank Ltd

               

3.000%, 01/20/2023 ^

     200       200  

Oesterreichische Kontrollbank MTN

               

2.875%, 03/13/2023 ^

     500       499  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

221

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Svensk Exportkredit MTN

               

2.875%, 03/14/2023 ^

   $ 1,000     $ 997  

Toronto-Dominion Bank MTN

               

3.500%, 07/19/2023 ^

     250       248  
                 
              4,800  
                 

Information Technology — 0.1%

        

Apple

               

2.850%, 02/23/2023 ^

     1,000       997  

2.400%, 05/03/2023 ^

     250       248  
                 
              1,245  
                 

Total Corporate Obligations

                

(Cost $8,319) ($ Thousands)

             8,263  
                 
                 
   


Shares

          

PREFERRED STOCK — 0.0%
                 

Consumer Discretionary — 0.0%

        

Porsche Automobil Holding SE

    2,071       113  
                 
                 

Health Care — 0.0%

        

Sartorius AG

    230       91  
                 
                 

Total Preferred Stock

               

(Cost $214) ($ Thousands)

             204  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Abiomed Inc *‡‡

     422       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 

Total Investments in Securities — 74.9%

                

(Cost $1,538,931) ($ Thousands)

  $ 1,493,287  
                 
                 

 

 

222

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Amsterdam Index

     93       Jan-2023     $ 14,588     $ 13,690     $ (942 )

Australian 10-Year Bond

     1,297       Mar-2023       107,301       101,749       (5,220 )

Australian 3-Year Bond

     141       Mar-2023       10,382       10,212       (118 )

Bloomberg Commodity Index^

     2,504       Mar-2023       28,255       28,248       (8 )

Brent Crude^

     222       Feb-2023       17,805       19,014       1,209  

CAC40 10 Euro Index

     97       Jan-2023       6,900       6,698       (220 )

Canadian 10-Year Bond

     849       Mar-2023       79,211       76,789       (1,498 )

Coffee C^

     64       Mar-2023       4,184       4,015       (169 )

Copper^

     86       Mar-2023       7,897       8,193       296  

Corn^

     170       Mar-2023       5,976       5,767       (209 )

Corn^

     364       Mar-2023       12,191       12,349       157  

Cotton No. 2^

     88       Mar-2023       3,734       3,668       (66 )

Cotton No. 2^

     32       Mar-2023       1,326       1,334       8  

DAX Index

     34       Mar-2023       12,867       12,689       (362 )

Euro STOXX 50

     401       Mar-2023       16,775       16,198       (628 )

Euro-Bobl

     1,005       Mar-2023       125,705       124,152       (3,674 )

Euro-BTP

     377       Mar-2023       46,143       43,824       (3,129 )

Euro-Bund

     1,039       Mar-2023       153,542       147,402       (8,532 )

Euro-Buxl

     130       Mar-2023       21,727       18,763       (3,339 )

Euro-OAT

     165       Mar-2023       23,433       22,417       (1,367 )

Euro-Schatz

     407       Mar-2023       45,629       45,791       (394 )

Feeder Cattle^

     8       Jan-2023       723       735       12  

Feeder Cattle^

     66       Mar-2023       6,077       6,145       68  

FTSE 100 Index

     241       Mar-2023       22,156       21,644       (36 )

FTSE 100 Index

     82       Mar-2023       7,548       7,364       –  

FTSE MIB Index

     179       Mar-2023       23,246       22,646       (744 )

FTSE Taiwan Index

     28       Jan-2023       1,396       1,391       (5 )

FTSE/JSE Top 40 Index

     70       Mar-2023       2,831       2,786       (82 )

Gasoline^

     70       Jan-2023       6,555       7,286       731  

Gasoline^

     45       Feb-2023       4,259       4,684       425  

Gold^

     283       Feb-2023       50,343       51,681       1,338  

Gold^

     25       Apr-2023       4,603       4,605       2  

Hang Seng China Enterprises Index

     150       Jan-2023       6,483       6,496       17  

Hang Seng Index

     3       Jan-2023       384       383       –  

Hang Seng Index

     170       Jan-2023       21,550       21,688       166  

IBEX

     128       Jan-2023       11,353       11,194       (195 )

Japanese 10-Year Bond

     104       Mar-2023       112,887       114,653       (2,206 )

Japanese 10-Year Government Bond E-MINI

     2,110       Mar-2023       228,391       232,629       (3,988 )

KC HRW Wheat^

     22       Mar-2023       1,042       977       (65 )

Lean Hogs^

     132       Feb-2023       4,681       4,631       (51 )

Live Cattle^

     266       Mar-2023       16,513       16,801       287  

Live Cattle^

     3       Apr-2023       195       194       –  

LME Copper^

     33       Mar-2023       6,712       6,910       198  

LME Lead^

     50       Mar-2023       2,704       2,887       183  

LME Nickel^

     46       Mar-2023       7,733       8,292       560  

LME Primary Aluminum^

     243       Mar-2023       14,897       14,410       (487 )

LME Zinc^

     206       Mar-2023       15,616       15,329       (287 )

Long Gilt 10-Year Bond

     759       Mar-2023       94,816       91,209       (4,331 )

Low Sulphur Gasoil^

     60       Feb-2023       5,510       5,436       (74 )

Low Sulphur Gasoil^

     38       Mar-2023       3,385       3,353       (31 )

Low Sulphur Gasoil^

     39       Feb-2023       3,473       3,533       60  

MSCI Emerging Markets

     675       Mar-2023       33,244       32,380       (864 )

Natural Gas^

     27       Jan-2023       1,532       1,208       (323 )

Natural Gas^

     215       Feb-2023       12,067       8,824       (3,243 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

223

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

NY Harbor ULSD^

     2       Feb-2023     $ 275     $ 267     $ (8 )

NY Harbor ULSD^

     29       Feb-2023       3,797       3,872       75  

NY Harbor ULSD^

     38       Jan-2023       5,076       5,259       183  

NYMEX Cocoa^

     430       Mar-2023       10,335       11,180       845  

OMX Stockholm 30

     542       Jan-2023       11,237       10,622       (388 )

Russell 2000 Index E-MINI

     926       Mar-2023       83,940       81,993       (1,948 )

S&P - Goldman Sachs Commodity Index^

     73       Jan-2023       10,489       11,134       646  

S&P 500 Index E-MINI

     693       Mar-2023       138,321       133,784       (4,538 )

S&P Mid Cap 400 Index E-MINI

     48       Mar-2023       12,033       11,724       (309 )

S&P TSX 60 Index

     177       Mar-2023       31,280       30,565       (976 )

SGX Nifty 50

     96       Jan-2023       3,478       3,499       20  

Silver^

     144       Mar-2023       15,565       17,309       1,743  

Soybean^

     256       Mar-2023       18,810       19,507       697  

Soybean Meal^

     291       Mar-2023       12,236       13,706       1,470  

Soybean Oil^

     244       Mar-2023       9,802       9,380       (422 )

SPI 200 Index

     303       Mar-2023       36,401       35,918       (576 )

Sugar No. 11^

     666       Mar-2023       13,768       14,948       1,180  

TOPIX Index

     528       Mar-2023       75,118       75,692       (2,043 )

U.S. 2-Year Treasury Note

     850       Mar-2023       174,414       174,316       (98 )

U.S. 2-Year Treasury Note

     306       Mar-2023       62,712       62,754       42  

U.S. 5-Year Treasury Note

     1,608       Mar-2023       175,234       173,551       (1,684 )

U.S. 10-Year Treasury Note

     1,612       Mar-2023       182,148       181,023       (1,125 )

U.S. Long Treasury Bond

     743       Mar-2023       93,730       93,130       (599 )

U.S. Ultra Long Treasury Bond

     191       Mar-2023       26,783       25,654       (1,130 )

Wheat^

     150       Mar-2023       6,896       5,940       (956 )

Wheat^

     5       May-2023       200       200       –  

WTI Crude Oil^

     91       Feb-2023       7,133       7,321       188  

WTI Crude Oil^

     87       Jan-2023       6,656       6,983       326  
                      2,708,343       2,678,577       (50,555 )

Short Contracts

                                        

Amsterdam Index

     (46 )     Jan-2023     $ (7,095 )   $ (6,771 )   $ 341  

Brent Crude^

     (29 )     Jan-2023       (2,397 )     (2,491 )     (94 )

Canadian 10-Year Bond

     (539 )     Mar-2023       (50,496 )     (48,750 )     1,442  

Coffee C^

     (4 )     Mar-2023       (245 )     (251 )     (6 )

DAX Index

     (39 )     Mar-2023       (14,952 )     (14,555 )     452  

Feeder Cattle^

     (1 )     Mar-2023       (92 )     (93 )     (1 )

FTSE KLCI

     (6 )     Jan-2023       (100 )     (102 )     (1 )

KOSPI 200 Index

     (2 )     Mar-2023       (116 )     (116 )     4  

MSCI Singapore Index

     (192 )     Jan-2023       (4,140 )     (4,159 )     1  

NY Harbor ULSD^

     (3 )     Jan-2023       (410 )     (415 )     (5 )

OMX Stockholm 30

     (67 )     Jan-2023       (1,395 )     (1,313 )     54  

Platinum^

     (1 )     Dec-2023       (17 )     (17 )     –  

Platinum^

     (6 )     Oct-2023       (95 )     (100 )     (1 )

SET 50

     (67 )     Mar-2023       (389 )     (390 )     (1 )

Wheat^

     (17 )     Mar-2023       (690 )     (673 )     17  
                      (82,629 )     (80,196 )     2,202  
                    $ 2,625,714     $ 2,598,381     $ (48,353 )

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

BNYMellon

     01/30/23       CHF       3,370       USD       3,636     $ (21 )

BNYMellon

     01/30/23       GBP       4,925       USD       5,927       (2 )

BNYMellon

     01/30/23       AUD       4,939       USD       3,330       (22 )

BNYMellon

     01/30/23       CAD       8,699       USD       6,442       20  

 

 

 

224

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

BNYMellon

     01/30/23       EUR       16,029       USD       17,068     $ (73 )

BNYMellon

     01/30/23       JPY       2,284,464       USD       17,203       (186 )

Brown Brothers Harriman

     01/30/23       GBP       56,200       USD       68,331       681  

Citigroup

     03/15/23       USD       41       ILS       141       (2 )

Citigroup

     03/15/23       USD       268       PHP       15,000       1  

Citigroup

     03/15/23       USD       476       IDR       7,500,000       9  

Citigroup

     03/15/23       SGD       523       USD       383       (8 )

Citigroup

     03/15/23       USD       649       SGD       891       16  

Citigroup

     03/15/23       USD       271       COP       1,351,488       5  

Citigroup

     03/15/23       USD       633       COP       3,098,512       (2 )

Citigroup

     03/15/23       PLN       1,101       USD       247       (3 )

Citigroup

     03/15/23       USD       1,683       GBP       1,375       (27 )

Citigroup

     03/15/23       USD       1,741       CZK       40,885       59  

Citigroup

     03/15/23       BRL       721       USD       138       3  

Citigroup

     03/15/23       BRL       2,199       USD       409       (2 )

Citigroup

     03/15/23       USD       3,928       CLP       3,573,017       225  

Citigroup

     03/15/23       CNH       4,657       USD       670       (8 )

Citigroup

     03/15/23       ILS       5,440       USD       1,591       43  

Citigroup

     03/15/23       USD       7,915       EUR       7,443       68  

Citigroup

     03/15/23       USD       7,871       PLN       35,758       239  

Citigroup

     03/15/23       USD       120       PLN       529       —  

Citigroup

     03/15/23       USD       180       INR       15,000       —  

Citigroup

     03/15/23       USD       8,200       INR       675,125       (85 )

Citigroup

     03/15/23       USD       6,638       ZAR       116,429       166  

Citigroup

     03/15/23       USD       2,812       ZAR       48,105       (1 )

Citigroup

     03/15/23       USD       5,325       BRL       29,095       110  

Citigroup

     03/15/23       USD       5,786       BRL       30,801       (32 )

Citigroup

     03/15/23       USD       14,376       KRW       18,928,881       715  

Citigroup

     03/15/23       ZAR       2,500       USD       146       —  

Citigroup

     03/15/23       ZAR       12,500       USD       722       (8 )

Citigroup

     03/15/23       GBP       11,686       USD       14,169       88  

Citigroup

     03/15/23       GBP       3,795       USD       4,528       (45 )

Citigroup

     03/15/23       USD       16,163       CNH       112,983       264  

Citigroup

     03/15/23       USD       9,533       MXN       188,352       5  

Citigroup

     03/15/23       USD       9,441       MXN       185,352       (54 )

Citigroup

     03/15/23       TWD       21,500       USD       713       6  

Citigroup

     03/15/23       TWD       20,000       USD       654       (3 )

Citigroup

     03/15/23       CZK       58,272       USD       2,490       (76 )

Citigroup

     03/15/23       PHP       10,938       USD       197       1  

Citigroup

     03/15/23       PHP       53,750       USD       945       (20 )

Citigroup

     03/15/23       EUR       72,624       USD       76,286       (1,603 )

Citigroup

     03/15/23       MXN       21,500       USD       1,097       8  

Citigroup

     03/15/23       MXN       57,000       USD       2,852       (35 )

Citigroup

     03/15/23       INR       190,000       USD       2,298       13  

Citigroup

     03/15/23       INR       15,000       USD       180       —  

Citigroup

     03/15/23       CLP       400,000       USD       446       (19 )

Citigroup

     03/15/23       KRW       2,837,500       USD       2,163       (100 )

Citigroup

     03/16/23       USD       3,589       HUF       1,431,622       151  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

225

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Citigroup

     03/16/23       HUF       475,000       USD       1,168     $ (73 )

JPMorgan Chase Bank

     03/15/23       USD       41       ILS       141       (1 )

JPMorgan Chase Bank

     03/15/23       USD       268       PHP       15,000       1  

JPMorgan Chase Bank

     03/15/23       USD       476       IDR       7,500,000       9  

JPMorgan Chase Bank

     03/15/23       SGD       523       USD       383       (7 )

JPMorgan Chase Bank

     03/15/23       USD       649       SGD       891       16  

JPMorgan Chase Bank

     03/15/23       USD       271       COP       1,351,488       4  

JPMorgan Chase Bank

     03/15/23       USD       633       COP       3,098,512       (1 )

JPMorgan Chase Bank

     03/15/23       PLN       1,101       USD       247       (2 )

JPMorgan Chase Bank

     03/15/23       USD       1,741       CZK       40,885       60  

JPMorgan Chase Bank

     03/15/23       BRL       721       USD       138       3  

JPMorgan Chase Bank

     03/15/23       BRL       2,199       USD       409       (2 )

JPMorgan Chase Bank

     03/15/23       USD       3,440       EUR       3,252       47  

JPMorgan Chase Bank

     03/15/23       USD       3,927       CLP       3,573,017       226  

JPMorgan Chase Bank

     03/15/23       CNH       4,657       USD       670       (7 )

JPMorgan Chase Bank

     03/15/23       ILS       5,440       USD       1,591       42  

JPMorgan Chase Bank

     03/15/23       USD       7,871       PLN       35,758       239  

JPMorgan Chase Bank

     03/15/23       USD       120       PLN       529       —  

JPMorgan Chase Bank

     03/15/23       USD       180       INR       15,000       —  

JPMorgan Chase Bank

     03/15/23       USD       8,200       INR       675,125       (85 )

JPMorgan Chase Bank

     03/15/23       USD       6,638       ZAR       116,429       166  

JPMorgan Chase Bank

     03/15/23       USD       2,812       ZAR       48,105       (1 )

JPMorgan Chase Bank

     03/15/23       USD       5,325       BRL       29,095       110  

JPMorgan Chase Bank

     03/15/23       USD       5,786       BRL       30,801       (32 )

JPMorgan Chase Bank

     03/15/23       USD       14,376       KRW       18,928,881       715  

JPMorgan Chase Bank

     03/15/23       ZAR       2,500       USD       146       —  

JPMorgan Chase Bank

     03/15/23       ZAR       12,500       USD       722       (8 )

JPMorgan Chase Bank

     03/15/23       GBP       11,386       USD       13,806       87  

JPMorgan Chase Bank

     03/15/23       GBP       3,795       USD       4,528       (45 )

JPMorgan Chase Bank

     03/15/23       USD       16,163       CNH       112,983       265  

JPMorgan Chase Bank

     03/15/23       USD       9,533       MXN       188,352       5  

JPMorgan Chase Bank

     03/15/23       USD       9,441       MXN       185,352       (54 )

JPMorgan Chase Bank

     03/15/23       TWD       21,500       USD       713       7  

JPMorgan Chase Bank

     03/15/23       TWD       20,000       USD       654       (2 )

JPMorgan Chase Bank

     03/15/23       CZK       58,272       USD       2,490       (75 )

JPMorgan Chase Bank

     03/15/23       EUR       59,941       USD       62,873       (1,414 )

JPMorgan Chase Bank

     03/15/23       PHP       10,938       USD       197       1  

JPMorgan Chase Bank

     03/15/23       PHP       53,750       USD       945       (20 )

JPMorgan Chase Bank

     03/15/23       MXN       21,500       USD       1,097       9  

JPMorgan Chase Bank

     03/15/23       MXN       57,000       USD       2,852       (34 )

JPMorgan Chase Bank

     03/15/23       INR       190,000       USD       2,298       14  

JPMorgan Chase Bank

     03/15/23       INR       15,000       USD       180       —  

JPMorgan Chase Bank

     03/15/23       CLP       400,000       USD       446       (18 )

JPMorgan Chase Bank

     03/15/23       KRW       2,837,500       USD       2,163       (99 )

JPMorgan Chase Bank

     03/16/23       USD       3,589       HUF       1,431,622       151  

JPMorgan Chase Bank

     03/16/23       HUF       475,000       USD       1,168       (72 )

State Street

     01/30/23       HKD       30,337       USD       3,890       —  

 

 

 

226

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Accumulation Fund (Concluded)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

State Street

     01/30/23       EUR       96,500       USD       102,730     $ (465 )
                                            $ 119  

 

A list of open OTC swap agreements held by the Fund at December 31, 2022, is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount ($ Thousands)

    

Value
($ Thousands)

    

Upfront Payments
($ Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
($ Thousands)

  

Morgan Stanley

     SGX Nifty 50       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       01/25/2023       USD     $ 2,598     $ 2,625     $ –     $ 27  

Morgan Stanley

     Hang Seng China Enterprises Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       01/30/2023       HKX       13,293       13,339       –       45  

JPMorgan Chase

     Hang Seng China Enterprises Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       01/30/2023       HKX       10,307       10,394       –       86  

JPMorgan Chase

     Taiwan Index (TAIEX )     NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       01/30/2023       TWD       6,731       6,622       –       (108 )

Bank of America

     Bovespa Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       02/15/2023       BRL       4,590       4,735       –       145  

JPMorgan Chase

     KOSPI Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/09/2023       KRW       2,823       2,779       –       (44 )

Citibank

     MSCI South Africa Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/15/2023       ZAR       8,400       (12 )     –       (12 )

Citibank

     MSCI Australia Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/15/2023       AUD       1,862       (14 )     –       (14 )

Citibank

     MSCI Sweden Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Annually       03/15/2023       SEK       3,194       10       –       10  

Citibank

     MSCI Mexico Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/15/2023       MXN       2,809       8       –       8  

Merrill Lynch

     Tel Aviv Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/15/2023       ILS       4,632       (43 )     –       (43 )

Citibank

     MSCI Netherlands Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/15/2023       EUR       472       32       –       32  

Citibank

     MSCI Italy Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Annually       03/15/2023       EUR       1,577       (36 )     –       (36 )

Citibank

     MSCI France Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Annually       03/15/2023       EUR       1,917       (66 )     –       (66 )

Citibank

     MSCI Singapore Index       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Annually       03/15/2023       SGD       970       2       –       2  

JPMorgan Chase

     FTSE JSE       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/16/2023       ZAR       38       37       –       (1 )

Bank of America

     WIG 20       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/17/2023       PLN       (106 )     (108 )     –       (2 )

Bank of America

     Swiss Market       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/17/2023       CHF       1,169       1,152       –       (17 )

JPMorgan Chase

     Canadian 10-Year Bond       NEGATIVE PRICE RETURN       POSITIVE PRICE RETURN       Monthly       03/22/2023       CAX       (94 )     (90 )     –       4  
                                                            $ 41,366     $ –       16  

 

 

 

Percentages are based on Net Assets of $1,993,926 ($ Thousands).

*

Non-income producing security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $45,565 ($ Thousands), representing 2.3% of the Net Assets of the Fund.

^

Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of December 31, 2022.

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

227

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 50.1%

Communication Services — 4.2%

        

Altice France

               

5.500%, 10/15/2029 (A)

   $ 1,666     $ 1,270  

Altice France Holding

               

10.500%, 05/15/2027 (A)

     2,090       1,593  

AMC Entertainment Holdings

               

7.500%, 02/15/2029 (A)

     200       107  

AT&T

               

4.350%, 03/01/2029

    700       666  

3.500%, 06/01/2041

    350       261  

2.750%, 06/01/2031

    375       311  

2.550%, 12/01/2033

    1,428       1,097  

2.300%, 06/01/2027

    1,009       897  

1.650%, 02/01/2028

    875       739  

Bharti Airtel

               

3.250%, 06/03/2031 (A)

     1,360       1,150  

CCO Holdings

               

4.750%, 02/01/2032 (A)

     1,625       1,317  

4.500%, 05/01/2032

    790       629  

Charter Communications Operating

               

5.125%, 07/01/2049

    200       151  

4.908%, 07/23/2025

    3,200       3,136  

3.750%, 02/15/2028

    650       586  

Clear Channel Outdoor Holdings Inc

               

7.500%, 06/01/2029 (A)

     160       118  

Digicel Group Holdings

               

8.000% PIK, 04/01/2025 (A)

     94       25  

DISH DBS

               

5.875%, 11/15/2024

    890       827  

5.750%, 12/01/2028 (A)

     480       383  

5.250%, 12/01/2026 (A)

     580       489  

5.125%, 06/01/2029

    1,635       1,055  

Frontier Communications Holdings

               

5.000%, 05/01/2028 (A)

     395       344  

Gannett Holdings

               

6.000%, 11/01/2026 (A)

     250       204  

iHeartCommunications

               

8.375%, 05/01/2027

    830       706  

Intelsat Jackson Holdings (Escrow Security)

               

0.000%, 12/31/2049 (B)(H)

     2,397       –  

Mauritius Investments

               

6.500%, 10/13/2026

    2,470       2,464  

Meta Platforms

               

3.850%, 08/15/2032 (A)

     875       770  

3.500%, 08/15/2027 (A)

     950       885  

Millicom International Cellular

               

6.250%, 03/25/2029 (A)

     477       456  

4.500%, 04/27/2031 (A)

     219       184  

Scripps Escrow

               

5.875%, 07/15/2027 (A)

     450       402  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Scripps Escrow II

               

5.375%, 01/15/2031 (A)

   $ 580     $ 465  

Sinclair Television Group

               

5.125%, 02/15/2027 (A)

     495       404  

Telecom Argentina

               

8.500%, 08/06/2025 (A)

     28       27  

T-Mobile USA

               

4.500%, 04/15/2050

    1,516       1,246  

Townsquare Media

               

6.875%, 02/01/2026 (A)

     902       801  

Turk Telekomunikasyon

               

6.875%, 02/28/2025 (A)

     530       499  

Urban One

               

7.375%, 02/01/2028 (A)

     1,120       947  

Verizon Communications

               

2.100%, 03/22/2028

    515       447  

Vmed O2 UK Financing I

               

4.750%, 07/15/2031 (A)

     490       398  

VTR Comunicaciones

               

5.125%, 01/15/2028 (A)

     676       420  

Ziff Davis

               

4.625%, 10/15/2030 (A)

     670       567  

ZipRecruiter

               

5.000%, 01/15/2030 (A)

     200       165  
                 
              29,608  
                 

Consumer Discretionary — 7.3%

        

Abercrombie & Fitch Management

               

8.750%, 07/15/2025 (A)

     660       647  

Allen Media

               

10.500%, 02/15/2028 (A)

     1,060       403  

Altice Financing

               

5.000%, 01/15/2028 (A)

     735       592  

APX Group

               

5.750%, 07/15/2029 (A)

     1,216       1,007  

Asbury Automotive Group

               

5.000%, 02/15/2032 (A)

     280       230  

4.625%, 11/15/2029 (A)

     505       426  

Banijay Entertainment SASU

               

5.375%, 03/01/2025 (A)

     650       614  

Bath & Body Works

               

6.625%, 10/01/2030 (A)

     220       206  

5.250%, 02/01/2028

    710       659  

Bed Bath & Beyond

               

5.165%, 08/01/2044

    610       61  

BorgWarner

               

5.000%, 10/01/2025 (A)

     560       549  

Boyne USA

               

4.750%, 05/15/2029 (A)

     1,140       1,009  

CalAtlantic Group

               

5.250%, 06/01/2026

    330       321  

 

 

 

228

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Carnival

               

10.500%, 06/01/2030 (A)

   $ 380     $ 309  

7.875%, 06/01/2027

    1,440       1,390  

Carriage Services

               

4.250%, 05/15/2029 (A)

     440       349  

Carrols Restaurant Group

               

5.875%, 07/01/2029 (A)

     131       92  

CD&R Smokey Buyer

               

6.750%, 07/15/2025 (A)

     441       378  

Clarios Global

               

8.500%, 05/15/2027 (A)

     640       625  

CMG Media

               

8.875%, 12/15/2027 (A)

     850       640  

CSC Holdings

               

6.500%, 02/01/2029 (A)

     770       629  

5.750%, 01/15/2030 (A)

     873       492  

5.000%, 11/15/2031 (A)

     709       396  

4.500%, 11/15/2031 (A)

     460       319  

Dealer Tire

               

8.000%, 02/01/2028 (A)

     1,734       1,526  

Diamond Sports Group

               

6.625%, 08/15/2027 (A)

     500       4  

5.375%, 08/15/2026 (A)

     330       39  

DirecTV Financing

               

5.875%, 08/15/2027 (A)

     3,140       2,809  

eG Global Finance

               

6.750%, 02/07/2025 (A)

     488       426  

Expedia Group

               

4.625%, 08/01/2027

    647       621  

Fertitta Entertainment

               

4.625%, 01/15/2029 (A)

     280       237  

Foot Locker

               

4.000%, 10/01/2029 (A)

     170       132  

Ford Motor

               

6.100%, 08/19/2032

    590       545  

3.250%, 02/12/2032

    1,221       916  

Ford Motor Credit

               

7.350%, 11/04/2027

    400       410  

4.950%, 05/28/2027

    1,449       1,352  

4.000%, 11/13/2030

    360       295  

3.625%, 06/17/2031

    900       707  

2.900%, 02/16/2028

    290       240  

Foundation Building Materials

               

6.000%, 03/01/2029 (A)

     1,240       928  

Full House Resorts

               

8.250%, 02/15/2028 (A)

     280       248  

General Motors

               

5.950%, 04/01/2049

    36       31  

4.000%, 04/01/2025

    250       244  

General Motors Financial

               

5.650%, 01/17/2029

    175       172  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Getty Images

               

9.750%, 03/01/2027 (A)

   $ 720     $ 711  

GrubHub Holdings

               

5.500%, 07/01/2027 (A)

     300       217  

Hilton Grand Vacations Borrower Escrow

               

5.000%, 06/01/2029 (A)

     1,010       869  

KB Home

               

7.250%, 07/15/2030

    545       530  

Las Vegas Sands

               

3.200%, 08/08/2024

    440       416  

LCM Investments Holdings II

               

4.875%, 05/01/2029 (A)

     1,205       965  

Liberty Interactive

               

8.500%, 07/15/2029

    330       162  

Marriott Ownership Resorts

               

4.500%, 06/15/2029 (A)

     280       232  

Match Group Holdings II

               

3.625%, 10/01/2031 (A)

     385       295  

McClatchy

               

11.000%, 07/15/2027 (A)

     440       492  

Mclaren Finance

               

7.500%, 08/01/2026 (A)

     740       544  

MDC Holdings

               

6.000%, 01/15/2043

    180       146  

Melco Resorts Finance

               

5.375%, 12/04/2029 (A)

     920       735  

4.875%, 06/06/2025 (A)

     200       184  

MercadoLibre

               

3.125%, 01/14/2031

    640       495  

Metis Merger Sub

               

6.500%, 05/15/2029 (A)

     287       241  

Michaels

               

7.875%, 05/01/2029 (A)

     530       354  

5.250%, 05/01/2028 (A)

     290       233  

Mohegan Tribal Gaming Authority

               

13.250%, 12/15/2027 (A)

     960       1,001  

NCL

               

5.875%, 03/15/2026 (A)

     360       283  

5.875%, 02/15/2027 (A)

     640       554  

3.625%, 12/15/2024 (A)

     804       687  

NESCO Holdings II

               

5.500%, 04/15/2029 (A)

     284       248  

Newell Brands

               

5.750%, 04/01/2046

    536       427  

Penn National Gaming

               

4.125%, 07/01/2029 (A)

     1,219       963  

Penske Automotive Group

               

3.750%, 06/15/2029

    848       688  

PM General Purchaser

               

9.500%, 10/01/2028 (A)

     930       709  

Rent-A-Center

               

6.375%, 02/15/2029 (A)

     920       744  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

229

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Royal Caribbean Cruises

               

11.625%, 08/15/2027 (A)

   $ 350     $ 351  

11.500%, 06/01/2025 (A)

     220       236  

Sally Holdings

               

5.625%, 12/01/2025

    880       848  

Sands China

               

5.900%, 08/08/2028

    240       225  

5.625%, 08/08/2025

    200       191  

3.750%, 08/08/2031

    200       157  

3.350%, 03/08/2029

    200       163  

2.800%, 03/08/2027

    230       197  

Scientific Games International

               

8.625%, 07/01/2025 (A)

     320       326  

SeaWorld Parks & Entertainment

               

5.250%, 08/15/2029 (A)

     1,765       1,537  

Specialty Building Products Holdings

               

6.375%, 09/30/2026 (A)

     1,592       1,282  

SRS Distribution

               

6.125%, 07/01/2029 (A)

     1,031       834  

StoneMor

               

8.500%, 05/15/2029 (A)

     960       768  

TKC Holdings

               

6.875%, 05/15/2028 (A)

     200       156  

TUI Cruises GmbH

               

6.500%, 05/15/2026 (A)

   EUR 375       332  

Viking Ocean Cruises Ship VII

               

5.625%, 02/15/2029 (A)

   $ 230       185  

VOC Escrow

               

5.000%, 02/15/2028 (A)

     610       525  

VZ Secured Financing BV

               

5.000%, 01/15/2032 (A)

     685       557  

Wendy's International

               

7.000%, 12/15/2025

    570       585  

Wheel Bidco

               

6.750%, 07/15/2026 (A)

   GBP 610       587  

Wynn Macau

               

5.625%, 08/26/2028 (A)

   $ 390       333  

5.500%, 01/15/2026 (A)

     600       551  

5.125%, 12/15/2029 (A)

     470       380  

4.875%, 10/01/2024 (A)

     220       208  

Wynn Resorts Finance

               

7.750%, 04/15/2025 (A)

     600       597  

Yum! Brands

               

4.750%, 01/15/2030 (A)

     454       417  

ZF North America Capital

               

4.750%, 04/29/2025 (A)

     600       567  
                 
              51,445  
                 

Consumer Staples — 1.2%

        

Altria Group

               

2.350%, 05/06/2025

    425       400  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Anheuser-Busch InBev Worldwide

               

4.750%, 01/23/2029

  $ 1,506     $ 1,487  

Bellis Acquisition

               

3.250%, 02/16/2026 (A)

   GBP 200       195  

Constellation Brands

               

3.150%, 08/01/2029

  $ 600       526  

Darling Ingredients

               

6.000%, 06/15/2030 (A)

     810       792  

Energizer Holdings

               

6.500%, 12/31/2027 (A)

     325       309  

FAGE International

               

5.625%, 08/15/2026 (A)

     660       612  

H-Food Holdings

               

8.500%, 06/01/2026 (A)

     1,090       632  

Kraft Heinz Foods

               

4.375%, 06/01/2046

    1,671       1,358  

Lindley

               

4.625%, 04/12/2023

    48       47  

Performance Food Group

               

5.500%, 10/15/2027 (A)

     450       424  

Post Holdings

               

4.625%, 04/15/2030 (A)

     429       370  

Prosperous Ray

               

4.625%, 11/12/2023

    300       299  

United Rentals North America

               

4.000%, 07/15/2030

    290       248  

US Foods

               

4.750%, 02/15/2029 (A)

     1,171       1,040  

4.625%, 06/01/2030 (A)

     580       511  
                 
              9,250  
                 

Energy — 6.7%

        

Berry Petroleum

               

7.000%, 02/15/2026 (A)

     1,200       1,102  

Blue Racer Midstream

               

7.625%, 12/15/2025 (A)

     570       566  

Cheniere Corpus Christi Holdings

               

5.125%, 06/30/2027

    850       840  

Cheniere Energy Partners

               

3.250%, 01/31/2032

    300       238  

Chord Energy Corp

               

6.375%, 06/01/2026 (A)

     820       799  

Civitas Resources

               

5.000%, 10/15/2026 (A)

     475       434  

CNX Midstream Partners

               

4.750%, 04/15/2030 (A)

     430       353  

Continental Resources

               

5.750%, 01/15/2031 (A)

     400       372  

CQP Holdco

               

5.500%, 06/15/2031 (A)

     1,605       1,402  

DCP Midstream Operating

               

6.750%, 09/15/2037 (A)

     302       304  

 

 

 

230

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Devon Energy

               

5.850%, 12/15/2025

  $ 1,021     $ 1,039  

Ecopetrol

               

6.875%, 04/29/2030

    1,010       916  

Energy Transfer

               

7.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.306%(C)(D)

     220       184  

6.250%, ICE LIBOR USD 3 Month + 4.028%(C)(D)

     230       196  

Energy Transfer Operating

               

4.200%, 09/15/2023

    1,393       1,384  

EQM Midstream Partners

               

7.500%, 06/01/2030 (A)

     330       318  

EQT

               

7.000%, 02/01/2030

    360       373  

Global Partners

               

6.875%, 01/15/2029

    545       499  

GNL Quintero

               

4.634%, 07/31/2029

    329       318  

Greenko Investment

               

4.875%, 08/16/2023 (A)

     410       400  

Hess Midstream Operations

               

5.500%, 10/15/2030 (A)

     325       297  

Hilcorp Energy I

               

6.250%, 04/15/2032 (A)

     420       362  

Howard Midstream Energy Partners

               

6.750%, 01/15/2027 (A)

     1,000       959  

KazMunayGas National JSC

               

4.750%, 04/19/2027 (A)

     400       368  

KazTransGas JSC

               

4.375%, 09/26/2027 (A)

     300       271  

Kinetik Holdings

               

5.875%, 06/15/2030 (A)

     775       727  

Marathon Petroleum

               

3.800%, 04/01/2028

    325       301  

3.625%, 09/15/2024

    350       341  

MEG Energy

               

7.125%, 02/01/2027 (A)

     1,190       1,214  

5.875%, 02/01/2029 (A)

     110       104  

MPLX

               

4.800%, 02/15/2029

    250       239  

4.000%, 03/15/2028

    950       884  

Nabors Industries

               

9.000%, 02/01/2025 (A)

     1,597       1,617  

7.375%, 05/15/2027 (A)

     1,390       1,347  

Neptune Energy Bondco

               

6.625%, 05/15/2025 (A)

     800       777  

NGL Energy Partners

               

7.500%, 11/01/2023

    1,150       1,120  

Noble Holdings International

               

11.000%, 02/15/2028

    248       273  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Northern Oil and Gas

               

8.125%, 03/01/2028 (A)

   $ 600     $ 576  

NuStar Logistics

               

6.375%, 10/01/2030

    670       620  

Occidental Petroleum

               

7.200%, 03/15/2029

    180       186  

6.625%, 09/01/2030

    700       723  

6.450%, 09/15/2036

    730       745  

ONEOK

               

6.350%, 01/15/2031

    325       330  

Permian Resources Operating

               

5.875%, 07/01/2029 (A)

     1,050       902  

Petrobras Global Finance BV

               

5.299%, 01/27/2025

    400       398  

Petroleos de Venezuela

               

6.000%, 10/28/2022 (E)

     8,860       284  

6.000%, 05/16/2024 (E)

     3,790       180  

6.000%, 11/15/2026 (E)

     1,110       50  

5.500%, 04/12/2037 (E)

     130       6  

5.375%, 04/12/2027 (E)

     2,570       116  

Petroleos Mexicanos

               

7.690%, 01/23/2050

    406       281  

6.950%, 01/28/2060

    207       131  

6.500%, 03/13/2027

    430       392  

6.490%, 01/23/2027

    160       146  

5.350%, 02/12/2028

    180       151  

4.500%, 01/23/2026

    40       36  

Petroleos Mexicanos MTN

               

6.750%, 09/21/2047

    16       10  

Phillips 66

               

3.900%, 03/15/2028

    525       495  

Plains All American Pipeline

               

8.716%, ICE LIBOR USD 3 Month + 4.110%(C)(D)

     490       421  

3.600%, 11/01/2024

    175       169  

Range Resources

               

8.250%, 01/15/2029

    700       721  

4.750%, 02/15/2030 (A)

     655       577  

ROCC Holdings

               

9.250%, 08/15/2026 (A)

     570       568  

Rockies Express Pipeline

               

7.500%, 07/15/2038 (A)

     310       287  

Sabine Pass Liquefaction

               

5.625%, 03/01/2025

    800       801  

Southwestern Energy

               

8.375%, 09/15/2028

    510       526  

7.750%, 10/01/2027

    1,400       1,427  

4.750%, 02/01/2032

    1,020       872  

Summit Midstream Holdings

               

8.500%, 10/15/2026 (A)

     1,454       1,385  

5.750%, 04/15/2025

    925       783  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

231

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Tallgrass Energy Partners

               

6.000%, 12/31/2030 (A)

   $ 230     $ 199  

TechnipFMC

               

6.500%, 02/01/2026 (A)

     1,050       1,019  

Total Capital International

               

2.829%, 01/10/2030

    1,350       1,192  

Transocean

               

11.500%, 01/30/2027 (A)

     2,088       2,093  

Transocean Poseidon

               

6.875%, 02/01/2027 (A)

     411       400  

Transportadora de Gas del Sur

               

6.750%, 05/02/2025 (A)

     850       788  

USA Compression Partners

               

6.875%, 04/01/2026

    1,175       1,127  

Venture Global Calcasieu Pass

               

4.125%, 08/15/2031 (A)

     390       332  

3.875%, 11/01/2033 (A)

     430       351  

Viper Energy Partners

               

5.375%, 11/01/2027 (A)

     670       636  

Western Midstream Operating

               

5.450%, 04/01/2044

    1,100       914  

5.300%, 03/01/2048

    530       436  

YPF

               

8.500%, 07/28/2025 (A)

     700       587  

6.950%, 07/21/2027 (A)

     380       269  
                 
              48,876  
                 

Financials — 11.6%

        

ABN AMRO Bank

               

4.375%(C)(D)

   EUR 400       393  

Accelerate360 Holdings

               

8.000%, 03/01/2028 (A)

   $ 1,154       1,229  

Acrisure

               

6.000%, 08/01/2029 (A)

     915       748  

4.250%, 02/15/2029 (A)

     975       805  

AFC Gamma

               

5.750%, 05/01/2027 (A)

     300       233  

AG Issuer

               

6.250%, 03/01/2028 (A)

     1,116       1,026  

AIA Group

               

3.900%, 04/06/2028 (A)

     475       446  

AIA Group MTN

               

3.200%, 03/11/2025 (A)

     425       408  

Alliant Holdings Intermediate

               

6.750%, 10/15/2027 (A)

     760       683  

Ally Financial

               

4.700%, H15T7Y + 3.481%(C)(D)

     1,325       830  

American International Group

               

3.900%, 04/01/2026

    163       158  

3.400%, 06/30/2030

    225       198  

Apollo Commercial Real Estate Finance

               

4.625%, 06/15/2029 (A)

     440       352  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Aviation Capital Group

               

5.500%, 12/15/2024 (A)

   $ 390     $ 383  

1.950%, 01/30/2026 (A)

     350       305  

Avolon Holdings Funding

               

5.125%, 10/01/2023 (A)

     140       138  

4.250%, 04/15/2026 (A)

     430       390  

2.875%, 02/15/2025 (A)

     1,250       1,155  

B3 - Brasil Bolsa Balcao

               

4.125%, 09/20/2031 (A)

     500       421  

Banco Bilbao Vizcaya Argentaria

               

5.875%, EUR Swap Annual 5 Yr + 5.660%(C)(D)

   EUR 800       819  

Banco de Bogota

               

6.250%, 05/12/2026 (A)

   $ 980       961  

Banco do Brasil

               

9.000%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 6.362%(C)(D)

     200       200  

6.250%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.398%(C)(D)

     1,920       1,724  

Banco Mercantil del Norte

               

7.500%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 5.470%(A)(C)(D)

     970       888  

6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.967%(A)(C)(D)

     420       410  

5.875%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.643%(A)(C)(D)

     1,340       1,194  

Banco Santander

               

4.250%, 04/11/2027

    400       380  

3.306%, 06/27/2029

    400       348  

2.749%, 12/03/2030

    200       153  

2.746%, 05/28/2025

    600       562  

Bank of America

               

6.250%, ICE LIBOR USD 3 Month + 3.705%(C)(D)

     150       144  

5.015%, U.S. SOFR + 2.160%, 07/22/2033 (C)

     565       536  

3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (C)

     2,115       1,915  

Bank of America MTN

               

4.200%, 08/26/2024

    225       221  

3.824%, ICE LIBOR USD 3 Month + 1.575%, 01/20/2028 (C)

     1,525       1,423  

Bank of New York Mellon MTN

               

4.596%, U.S. SOFR + 1.755%, 07/26/2030 (C)

     75       72  

Banque Ouest Africaine de Developpement

               

2.750%, 01/22/2033 (A)

   EUR 1,870       1,498  

 

 

 

232

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Barclays

               

8.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.672%(C)(D)

   $ 970     $ 942  

7.125%, UK Govt Bonds 5 Year Note Generic Bid Yield + 6.579%(C)(D)

   GBP 700       795  

2.852%, U.S. SOFR + 2.714%, 05/07/2026 (C)

   $ 725       674  

BBVA Bancomer

               

5.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.650%, 01/18/2033 (A)(C)

     410       368  

BNP Paribas

               

7.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.899%(A)(C)(D)

     270       267  

3.375%, 01/09/2025 (A)

     1,000       962  

1.323%, U.S. SOFR + 1.004%, 01/13/2027 (A)(C)

     675       590  

BPCE

               

4.625%, 09/12/2028 (A)

     500       463  

2.277%, U.S. SOFR + 1.312%, 01/20/2032 (A)(C)

     375       280  

BroadStreet Partners

               

5.875%, 04/15/2029 (A)

     1,195       1,017  

Burford Capital Global Finance

               

6.875%, 04/15/2030 (A)

     380       338  

Citigroup

               

6.300%, ICE LIBOR USD 3 Month + 3.423%(C)(D)

     1,250       1,179  

5.900%, ICE LIBOR USD 3 Month + 4.230%(C)(D)

     675       668  

4.910%, U.S. SOFR + 2.086%, 05/24/2033 (C)

     575       538  

4.125%, 07/25/2028

    1,450       1,350  

3.400%, 05/01/2026

    1,675       1,588  

Coinbase Global

               

3.625%, 10/01/2031 (A)

     400       193  

Cooperatieve Rabobank UA

               

4.625%, EUR Swap Annual 5 Yr + 4.098%(C)(D)

   EUR 1,400       1,381  

Credit Agricole

               

8.125%, USD Swap Semi 30/360 5 Yr Curr + 6.185%(A)(C)(D)

   $ 710       719  

Credit Suisse Group

               

9.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 6.383%(A)(C)(D)

     1,020       888  

9.016%, U.S. SOFR + 5.020%, 11/15/2033 (A)(C)

     250       256  

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(A)(C)(D)

     410       328  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

7.250%, USD ICE Swap 11:00 NY 5 Yr + 4.332%(A)(C)(D)

   $ 200     $ 144  

6.537%, U.S. SOFR + 3.920%, 08/12/2033 (A)(C)

     540       474  

4.550%, 04/17/2026

    802       707  

3.869%, ICE LIBOR USD 3 Month + 1.410%, 01/12/2029 (A)(C)

     600       481  

Credit Suisse NY

               

1.000%, 05/05/2023

    250       244  

Deutsche Bank

               

6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.524%(C)(D)

     400       339  

DP World MTN

               

5.625%, 09/25/2048

    200       187  

First Horizon National

               

4.000%, 05/26/2025

    625       607  

FirstCash

               

5.625%, 01/01/2030 (A)

     340       303  

Freedom Mortgage

               

7.625%, 05/01/2026 (A)

     1,450       1,209  

6.625%, 01/15/2027 (A)

     1,015       790  

Global Aircraft Leasing

               

6.500% PIK, 09/15/2024 (A)

     3,189       2,711  

Highlands Holdings Bond Issuer

               

7.625%, 10/15/2025 (A)

     930       865  

HSBC Holdings

               

4.950%, 03/31/2030

    226       215  

3.803%, ICE LIBOR USD 3 Month + 1.211%, 03/11/2025 (C)

     700       680  

1.645%, U.S. SOFR + 1.538%, 04/18/2026 (C)

     1,000       903  

Intercontinental Exchange

               

2.100%, 06/15/2030

    800       652  

Intesa Sanpaolo MTN

               

5.710%, 01/15/2026 (A)

     1,080       1,038  

Itau Unibanco Holding

               

4.625%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.222%(A)(C)(D)

     1,120       892  

Jane Street Group

               

4.500%, 11/15/2029 (A)

     160       138  

JPMorgan Chase

               

4.912%, U.S. SOFR + 2.080%, 07/25/2033 (C)

     570       543  

4.125%, 12/15/2026

    3,400       3,285  

2.956%, U.S. SOFR + 2.515%, 05/13/2031 (C)

     250       206  

Ladder Capital Finance Holdings LLLP

               

4.750%, 06/15/2029 (A)

     270       218  

4.250%, 02/01/2027 (A)

     240       202  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

233

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

LD Holdings Group

               

6.500%, 11/01/2025 (A)

   $ 600     $ 404  

Lloyds Banking Group

               

4.947%(C)(D)

   EUR 290       296  

Midcap Financial Issuer Trust

               

6.500%, 05/01/2028 (A)

   $ 1,532       1,318  

5.625%, 01/15/2030 (A)

     305       247  

Morgan Stanley

               

3.625%, 01/20/2027

    750       707  

Morgan Stanley MTN

               

4.889%, U.S. SOFR + 2.076%, 07/20/2033 (C)

     565       531  

3.950%, 04/23/2027

    1,100       1,039  

1.794%, U.S. SOFR + 1.034%, 02/13/2032 (C)

     625       470  

National Bank of Uzbekistan

               

4.850%, 10/21/2025

    200       179  

Nationstar Mortgage Holdings

               

5.500%, 08/15/2028 (A)

     615       501  

Nationwide Building Society

               

3.960%, ICE LIBOR USD 3 Month + 1.855%, 07/18/2030 (A)(C)

     450       390  

NatWest Group

               

4.500%, UK Govt Bonds 5 Year Note Generic Bid Yield + 3.992%(C)(D)

   GBP 1,160       1,067  

3.754%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.100%, 11/01/2029 (C)

   $ 225       209  

Navient

               

5.500%, 03/15/2029

    1,519       1,239  

5.000%, 03/15/2027

    1,100       963  

Navient MTN

               

5.625%, 08/01/2033

    180       128  

NFP

               

6.875%, 08/15/2028 (A)

     893       736  

NMI Holdings

               

7.375%, 06/01/2025 (A)

     410       414  

Oxford Finance

               

6.375%, 02/01/2027 (A)

     465       432  

Park Aerospace Holdings

               

4.500%, 03/15/2023 (A)

     170       170  

PNC Financial Services Group

               

6.200%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.238%(C)(D)

     1,350       1,319  

Raymond James Financial

               

4.650%, 04/01/2030

    400       385  

Sabre GLBL

               

11.250%, 12/15/2027 (A)

     390       402  

Saga

               

5.500%, 07/15/2026

  GBP 610       544  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

StoneX Group

               

8.625%, 06/15/2025 (A)

   $ 650     $ 656  

TTMT Escrow Issuer

               

8.625%, 09/30/2027 (A)

     130       131  

Turkiye Vakiflar Bankasi TAO

               

6.500%, 01/08/2026 (A)

     680       641  

UBS Group

               

7.000%, USD Swap Semi 30/360 5 Yr Curr + 4.344%(A)(C)(D)

     810       797  

2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(C)

     340       263  

UniCredit MTN

               

7.296%, USD ICE Swap 11:00 NY 5 Yr + 4.914%, 04/02/2034 (A)(C)

     260       238  

5.459%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.750%, 06/30/2035 (A)(C)

     440       357  

United Wholesale Mortgage

               

5.500%, 04/15/2029 (A)

     641       510  

VistaJet Malta Finance

               

7.875%, 05/01/2027 (A)

     370       334  

6.375%, 02/01/2030 (A)

     1,340       1,074  

Wells Fargo

               

5.875%, ICE LIBOR USD 3 Month + 3.990%(C)(D)

     525       507  

Wells Fargo MTN

               

4.897%, U.S. SOFR + 2.100%, 07/25/2033 (C)

     1,235       1,173  

4.100%, 06/03/2026

    1,575       1,525  

Yapi ve Kredi Bankasi MTN

               

13.875%, USD Swap Semi 30/360 5 Yr Curr + 11.245%(C)(D)

     480       502  

8.250%, 10/15/2024 (A)

     500       508  
                 
              80,872  
                 

Health Care — 3.4%

        

AbbVie

               

3.200%, 11/21/2029

    1,375       1,239  

AdaptHealth

               

6.125%, 08/01/2028 (A)

     670       614  

5.125%, 03/01/2030 (A)

     370       315  

4.625%, 08/01/2029 (A)

     605       507  

Akumin

               

7.000%, 11/01/2025 (A)

     140       100  

Akumin Escrow

               

7.500%, 08/01/2028 (A)

     490       298  

AthenaHealth Group

               

6.500%, 02/15/2030 (A)

     2,400       1,769  

Bausch Health

               

14.000%, 10/15/2030 (A)

     18       11  

7.000%, 01/15/2028 (A)

     130       63  

 

 

 

234

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

6.125%, 02/01/2027 (A)

   $ 1,040     $ 717  

5.500%, 11/01/2025 (A)

     310       263  

5.000%, 01/30/2028 (A)

     60       29  

5.000%, 02/15/2029 (A)

     390       187  

Bayer US Finance II

               

4.375%, 12/15/2028 (A)

     300       282  

4.250%, 12/15/2025 (A)

     500       485  

Becton Dickinson

               

3.700%, 06/06/2027

    690       652  

2.823%, 05/20/2030

    625       536  

CAB SELAS

               

3.375%, 02/01/2028 (A)

   EUR 475       406  

Centene

               

4.250%, 12/15/2027

  $ 20       19  

Chrome Holdco SASU

               

5.000%, 05/31/2029 (A)

   EUR 375       310  

CHS

               

6.125%, 04/01/2030 (A)

   $ 1,270       629  

Cidron Aida Finco S.A.R.L.

               

6.250%, 04/01/2028 (A)

   GBP 440       429  

CVS Health

               

3.750%, 04/01/2030

  $ 590       535  

DaVita

               

3.750%, 02/15/2031 (A)

     1,760       1,314  

DH Europe Finance II S.A.R.L.

               

2.600%, 11/15/2029

    175       153  

HealthEquity

               

4.500%, 10/01/2029 (A)

     376       329  

Laboratoire Eimer Selas

               

5.000%, 02/01/2029 (A)

   EUR 225       183  

LifePoint Health

               

6.750%, 04/15/2025 (A)

   $ 490       461  

5.375%, 01/15/2029 (A)

     1,185       670  

Medline Borrower

               

5.250%, 10/01/2029 (A)

     810       643  

3.875%, 04/01/2029 (A)

     1,980       1,596  

Option Care Health

               

4.375%, 10/31/2029 (A)

     740       647  

Prime Security Services Borrower

               

6.250%, 01/15/2028 (A)

     330       300  

Radiology Partners

               

9.250%, 02/01/2028 (A)

     545       306  

Stryker

               

1.950%, 06/15/2030

    825       672  

Tenet Healthcare

               

6.250%, 02/01/2027 (A)

     200       192  

6.125%, 06/15/2030 (A)

     446       425  

Teva Pharmaceutical Finance LLC

               

6.150%, 02/01/2036

    930       818  

UnitedHealth Group

               

5.350%, 02/15/2033

    1,525       1,573  

5.300%, 02/15/2030

    1,800       1,855  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

US Renal Care

               

10.625%, 07/15/2027 (A)

   $ 430     $ 93  

Verisure Holding

               

3.250%, 02/15/2027 (A)

   EUR 475       438  

Verisure Midholding

               

5.250%, 02/15/2029 (A)

     500       424  

Zoetis

               

2.000%, 05/15/2030

  $ 1,100       893  
                 
              24,380  
                 

Industrials — 8.3%

        

Advanced Drainage Systems

               

6.375%, 06/15/2030 (A)

     390       379  

AerCap Ireland Capital DAC

               

6.500%, 07/15/2025

    285       289  

4.875%, 01/16/2024

    400       396  

3.300%, 01/30/2032

    260       203  

Aeropuerto Internacional de Tocumen

               

5.125%, 08/11/2061 (A)

     520       425  

4.000%, 08/11/2041 (A)

     640       527  

Aeropuertos Dominicanos Siglo XXI

               

6.750%, 03/30/2029 (A)

     350       339  

Air Canada

               

3.875%, 08/15/2026 (A)

     400       354  

Air Lease

               

3.250%, 03/01/2025

    850       807  

Air Lease MTN

               

3.750%, 06/01/2026

    600       562  

Allegiant Travel

               

7.250%, 08/15/2027 (A)

     295       281  

Allied Universal Holdco

               

9.750%, 07/15/2027

    649       565  

6.625%, 07/15/2026 (A)

     590       540  

6.000%, 06/01/2029 (A)

     680       494  

Allison Transmission

               

4.750%, 10/01/2027 (A)

     210       195  

American Airlines

               

11.750%, 07/15/2025 (A)

     430       461  

5.750%, 04/20/2029 (A)

     1,071       979  

5.500%, 04/20/2026 (A)

     812       781  

American Airlines Pass-Through Trust

               

4.950%, 02/15/2025

    299       281  

American Builders & Contractors Supply

               

3.875%, 11/15/2029 (A)

     1,115       911  

American News

               

8.500% PIK, 09/01/2026 (A)

     927       1,034  

APi Group DE

               

4.750%, 10/15/2029 (A)

     143       124  

4.125%, 07/15/2029 (A)

     1,778       1,474  

Arcosa

               

4.375%, 04/15/2029 (A)

     500       434  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

235

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

BCPE Empire Holdings

               

7.625%, 05/01/2027 (A)

   $ 990     $ 888  

Boeing

               

5.930%, 05/01/2060

    410       373  

5.805%, 05/01/2050

    350       324  

5.150%, 05/01/2030

    150       146  

3.450%, 11/01/2028

    375       335  

3.250%, 03/01/2028

    425       380  

Builders FirstSource

               

4.250%, 02/01/2032 (A)

     310       251  

Cargo Aircraft Management

               

4.750%, 02/01/2028 (A)

     320       290  

Carriage Purchaser

               

7.875%, 10/15/2029 (A)

     240       170  

Carrier Global

               

2.493%, 02/15/2027

    1,100       992  

2.242%, 02/15/2025

    1,000       942  

Cellnex Finance MTN

               

1.250%, 01/15/2029

  EUR 400       341  

Chart Industries

               

7.500%, 01/01/2030 (A)

   $ 300       302  

CoreCivic

               

8.250%, 04/15/2026

    1,060       1,087  

Cornerstone Building Brands

               

6.125%, 01/15/2029 (A)

     567       399  

CoStar Group

               

2.800%, 07/15/2030 (A)

     625       510  

CP Atlas Buyer

               

7.000%, 12/01/2028 (A)

     955       709  

DP World MTN

               

6.850%, 07/02/2037 (A)

     100       106  

5.625%, 09/25/2048 (A)

     450       421  

GEO Group

               

10.500%, 06/30/2028

    742       749  

GFL Environmental

               

5.125%, 12/15/2026 (A)

     330       316  

4.750%, 06/15/2029 (A)

     210       184  

4.000%, 08/01/2028 (A)

     1,188       1,016  

Global Infrastructure Solutions

               

7.500%, 04/15/2032 (A)

     455       360  

5.625%, 06/01/2029 (A)

     1,271       993  

GYP Holdings III

               

4.625%, 05/01/2029 (A)

     470       384  

H&E Equipment Services

               

3.875%, 12/15/2028 (A)

     240       204  

Hawaiian Brand Intellectual Property

               

5.750%, 01/20/2026 (A)

     1,330       1,204  

Hillenbrand

               

3.750%, 03/01/2031

    589       483  

Husky III Holding

               

13.000% PIK, 02/15/2025 (A)

     600       531  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

IHS Holding

               

6.250%, 11/29/2028 (A)

   $ 350     $ 282  

5.625%, 11/29/2026 (A)

     440       363  

Johnson Controls International

               

4.900%, 12/01/2032

    150       147  

KOC Holding

               

6.500%, 03/11/2025

    2,170       2,142  

5.250%, 03/15/2023

    1,330       1,326  

Legends Hospitality Holding

               

5.000%, 02/01/2026 (A)

     510       454  

Madison IAQ

               

5.875%, 06/30/2029 (A)

     189       130  

4.125%, 06/30/2028 (A)

     179       150  

Mexico City Airport Trust

               

5.500%, 10/31/2046

    400       308  

5.500%, 07/31/2047

    892       687  

4.250%, 10/31/2026 (A)

     210       200  

3.875%, 04/30/2028 (A)

     1,190       1,088  

MHP Lux

               

6.950%, 04/03/2026

    1,870       892  

MV24 Capital BV

               

6.748%, 06/01/2034

    2,304       2,105  

Northrop Grumman

               

3.250%, 01/15/2028

    1,950       1,798  

Otis Worldwide

               

2.565%, 02/15/2030

    1,425       1,197  

Park-Ohio Industries

               

6.625%, 04/15/2027

    880       598  

Spirit AeroSystems

               

9.375%, 11/30/2029 (A)

     340       358  

4.600%, 06/15/2028

    2,135       1,724  

Spirit Loyalty Cayman

               

8.000%, 09/20/2025 (A)

     633       635  

Standard Industries

               

4.375%, 07/15/2030 (A)

     645       526  

Stanley Black & Decker

               

4.250%, 11/15/2028

    650       624  

Swire Pacific Financing MTN

               

4.500%, 10/09/2023

    200       199  

Titan Acquisition

               

7.750%, 04/15/2026 (A)

     1,465       1,319  

Titan International

               

7.000%, 04/30/2028

    630       595  

TK Elevator Holdco GmbH

               

7.625%, 07/15/2028 (A)

     1,546       1,262  

TransDigm

               

8.000%, 12/15/2025 (A)

     310       315  

7.500%, 03/15/2027

    260       257  

6.250%, 03/15/2026 (A)

     470       463  

5.500%, 11/15/2027

    960       901  

4.875%, 05/01/2029

    359       313  

4.625%, 01/15/2029

    135       119  

 

 

 

236

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Triumph Group

               

8.875%, 06/01/2024 (A)

   $ 98     $ 100  

7.750%, 08/15/2025

    1,821       1,549  

6.250%, 09/15/2024 (A)

     160       152  

Tutor Perini

               

6.875%, 05/01/2025 (A)

     490       429  

United Airlines

               

4.625%, 04/15/2029 (A)

     330       287  

United Airlines Pass-Through Trust, Ser 2020-1, Cl B

               

4.875%, 01/15/2026

    61       58  

United Rentals North America

               

5.250%, 01/15/2030

    530       498  

3.875%, 02/15/2031

    410       344  

Vertiv Group

               

4.125%, 11/15/2028 (A)

     790       671  

XPO CNW

               

6.700%, 05/01/2034

    1,130       1,000  

XPO Escrow Sub

               

7.500%, 11/15/2027 (A)

     660       668  
                 
              57,458  
                 

Information Technology — 3.0%

        

Arches Buyer

               

6.125%, 12/01/2028 (A)

     364       292  

Broadcom

               

3.500%, 02/15/2041 (A)

     525       373  

3.469%, 04/15/2034 (A)

     175       140  

3.419%, 04/15/2033 (A)

     1,150       922  

3.187%, 11/15/2036 (A)

     53       38  

Castle US Holding

               

9.500%, 02/15/2028 (A)

     1,334       524  

Central Parent

               

7.250%, 06/15/2029 (A)

     880       861  

Clarivate Science Holdings

               

4.875%, 07/01/2029 (A)

     936       796  

Coherent

               

5.000%, 12/15/2029 (A)

     420       362  

CommScope

               

7.125%, 07/01/2028 (A)

     60       43  

6.000%, 03/01/2026 (A)

     210       194  

4.750%, 09/01/2029 (A)

     460       371  

Crowdstrike Holdings

               

3.000%, 02/15/2029

    310       262  

Dell International

               

6.020%, 06/15/2026

    1,525       1,556  

5.450%, 06/15/2023

    141       141  

5.300%, 10/01/2029

    75       73  

Elastic

               

4.125%, 07/15/2029 (A)

     695       561  

Endurance International Group Holdings

               

6.000%, 02/15/2029 (A)

     1,260       866  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Gen Digital

               

7.125%, 09/30/2030 (A)

   $ 660     $ 648  

Global Payments

               

2.650%, 02/15/2025

    400       376  

Hewlett Packard Enterprise

               

4.900%, 10/15/2025

    1,865       1,847  

Imola Merger

               

4.750%, 05/15/2029 (A)

     1,054       914  

ION Trading Technologies S.A.R.L.

               

5.750%, 05/15/2028 (A)

     687       573  

Lam Research

               

1.900%, 06/15/2030

    300       244  

MEGlobal Canada ULC MTN

               

5.875%, 05/18/2030 (A)

     460       462  

NCR

               

5.125%, 04/15/2029 (A)

     530       443  

NXP BV

               

3.400%, 05/01/2030

    225       195  

Open Text Holdings

               

4.125%, 02/15/2030 (A)

     3       2  

Oracle

               

6.250%, 11/09/2032

    2,175       2,276  

2.950%, 04/01/2030

    98       84  

2.875%, 03/25/2031

    550       456  

Paysafe Finance

               

4.000%, 06/15/2029 (A)

     400       309  

Presidio Holdings

               

8.250%, 02/01/2028 (A)

     110       102  

Prosus

               

3.680%, 01/21/2030 (A)

     250       208  

Prosus MTN

               

4.027%, 08/03/2050 (A)

     560       349  

3.061%, 07/13/2031 (A)

     540       416  

SPCM

               

3.375%, 03/15/2030 (A)

     310       250  

Sprint Capital

               

8.750%, 03/15/2032

    510       607  

TeamSystem

               

3.500%, 02/15/2028 (A)

   EUR 550       489  

United Group BV

               

4.625%, 08/15/2028 (A)

     450       352  

Vericast

               

12.500%, 12/15/2027 (A)

   $ 180       205  

11.000%, 09/15/2026 (A)

     240       256  

Virtusa

               

7.125%, 12/15/2028 (A)

     275       209  
                 
              20,647  
                 

Materials — 2.4%

        

Anglo American Capital

               

5.625%, 04/01/2030 (A)

     500       497  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

237

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

AngloGold Ashanti Holdings

               

3.750%, 10/01/2030

  $ 930     $ 807  

Ardagh Metal Packaging Finance USA

               

6.000%, 06/15/2027 (A)

     210       206  

4.000%, 09/01/2029 (A)

     360       285  

3.000%, 09/01/2029

  EUR 350       273  

ASP Unifrax Holdings

               

5.250%, 09/30/2028 (A)

   $ 275       221  

Avient

               

7.125%, 08/01/2030 (A)

     500       489  

Axalta Coating Systems

               

3.375%, 02/15/2029 (A)

     1,405       1,159  

Berry Global

               

1.570%, 01/15/2026

    325       290  

Braskem Netherlands Finance BV

               

4.500%, 01/10/2028 (A)

     470       421  

Chemours

               

4.625%, 11/15/2029 (A)

     1,645       1,345  

Cleveland-Cliffs Inc

               

4.875%, 03/01/2031 (A)

     715       631  

First Quantum Minerals

               

6.875%, 10/15/2027 (A)

     1,000       938  

Freeport-McMoRan

               

5.450%, 03/15/2043

    150       135  

Huntsman International

               

4.500%, 05/01/2029

    375       337  

INEOS Quattro Finance II

               

3.375%, 01/15/2026 (A)

     205       188  

Ingevity

               

3.875%, 11/01/2028 (A)

     735       632  

LABL

               

6.750%, 07/15/2026 (A)

     950       895  

Metinvest BV

               

7.750%, 04/23/2023 (A)

     375       300  

Newcrest Finance Pty

               

3.250%, 05/13/2030 (A)

     150       125  

OCP

               

3.750%, 06/23/2031 (A)

     200       167  

Owens-Brockway Glass Container

               

6.625%, 05/13/2027 (A)

     200       194  

Pactiv

               

8.375%, 04/15/2027

    450       437  

7.950%, 12/15/2025

    320       309  

Rayonier AM Products

               

7.625%, 01/15/2026 (A)

     125       121  

Samarco Mineracao

               

5.750%, 10/24/2023 (E)

     200       92  

4.125%, 11/01/2022 (E)

     200       85  

Sasol Financing USA

               

5.500%, 03/18/2031

    440       358  

4.375%, 09/18/2026

    1,360       1,202  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Sealed Air

               

6.875%, 07/15/2033 (A)

   $ 411     $ 407  

Smyrna Ready Mix Concrete

               

6.000%, 11/01/2028 (A)

     710       635  

Suzano Austria GmbH

               

3.125%, 01/15/2032

    590       460  

Syngenta Finance MTN

               

1.250%, 09/10/2027

  EUR 200       180  

Teck Resources

               

3.900%, 07/15/2030

  $ 250       223  

Vale Overseas

               

6.250%, 08/10/2026

    380       393  

WR Grace Holdings

               

5.625%, 08/15/2029 (A)

     670       541  
                 
              15,978  
                 

Real Estate — 0.8%

        

Agree

               

2.900%, 10/01/2030

    175       142  

Alexandria Real Estate Equities

               

3.375%, 08/15/2031

    375       327  

Diversified Healthcare Trust

               

9.750%, 06/15/2025

    234       224  

Essex Portfolio

               

3.000%, 01/15/2030

    400       338  

Five Point Operating

               

7.875%, 11/15/2025 (A)

     520       437  

IIP Operating Partnership

               

5.500%, 05/25/2026

    410       363  

MPT Operating Partnership

               

3.692%, 06/05/2028

  GBP 544       478  

Prologis

               

1.750%, 07/01/2030

  $ 300       236  

Realty Income

               

4.875%, 06/01/2026

    1,000       995  

2.850%, 12/15/2032

    375       304  

Service Properties Trust

               

7.500%, 09/15/2025

    480       458  

5.500%, 12/15/2027

    160       138  

4.350%, 10/01/2024

    90       82  

Spirit Realty

               

3.200%, 01/15/2027

    600       532  

WP Carey

               

4.250%, 10/01/2026

    700       674  
                 
              5,728  
                 

Utilities — 1.2%

        

Alliant Energy Finance

               

4.250%, 06/15/2028 (A)

     125       116  

American Electric Power

               

2.300%, 03/01/2030

    300       246  

 

 

 

238

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Berkshire Hathaway Energy

               

4.250%, 10/15/2050

  $ 175     $ 145  

Calpine

               

3.750%, 03/01/2031 (A)

     1,875       1,510  

Eskom Holdings SOC MTN

               

6.750%, 08/06/2023

    230       221  

6.350%, 08/10/2028

    500       461  

InterGen

               

7.000%, 06/30/2023 (A)

     470       456  

NiSource

               

3.600%, 05/01/2030

    50       45  

Pike

               

5.500%, 09/01/2028 (A)

     983       859  

Sempra Energy

               

3.400%, 02/01/2028

    1,075       998  

Southern California Edison

               

4.200%, 03/01/2029

    450       428  

Sunnova Energy

               

5.875%, 09/01/2026 (A)

     560       500  

TransAlta

               

7.750%, 11/15/2029

    270       276  

6.500%, 03/15/2040

    980       897  

Vistra Operations

               

3.550%, 07/15/2024 (A)

     1,200       1,151  
                 
              8,309  
                 

Total Corporate Obligations

                

(Cost $411,077) ($ Thousands)

             352,551  
                 
                 
                 

LOAN PARTICIPATIONS — 12.6%

19th Holdings Golf LLC, Initial Term Loan, 1st Lien

                

7.281%, CME Term SOFR + 3.000%, 02/07/2029 (B)(C)

     918       840  

ABG, Term Loan, 1st Lien

                

7.923%, 12/21/2028 (C)

     337       325  

Acrisure, LLC, 1st Lien

                

9.916%, 02/15/2027

    590       584  

Acrisure, LLC, 2020 Term Loan, 1st Lien

                

7.884%, LIBOR + 3.500%, 02/15/2027 (C)

     361       338  

ADS Tactical Inc, Term Loan, 1st Lien

                

10.139%, 03/19/2026 (C)

     1,010       901  

Adtalem Global, Term Loan, 1st Lien

                

8.389%, 08/12/2028

    301       298  

Air Canada, Term Loan, 1st Lien

                

8.130%, 08/11/2028 (C)

     599       590  

Allen Media LLC, Initial Term Loan, 1st Lien

                

10.230%, 02/10/2027

    966       788  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien

                

8.173%, LIBOR + 3.750%, 05/12/2028 (C)

   $ 672     $ 637  

Alterra Moutain Company, Series B-2 Term Loan, 1st Lien

                

7.884%, 08/17/2028 (C)

     528       521  

Amentum Goverment Services Holdings LLC, Term Loan, 1st Lien

                

8.764%, 02/15/2029

    453       440  

7.558%, 02/15/2029 (C)

     512       498  

6.845%, 02/15/2029

    2       2  

0.000%, 01/29/2027 (H)

     134       131  

Amentum Goverment Services Holdings LLC, Term Loan, 2nd Lien

                

13.901%, 01/31/2028 (F)

     440       402  

Amentum Government Services Holdings LLC, Initial Term Loan, 1st Lien

                

8.170%, LIBOR + 3.500%, 01/29/2027 (C)

     268       262  

Amentum Government Services Holdings LLC, Tranche 1 Term Loan, 1st Lien

                

8.170%, LIBOR + 3.500%, 01/29/2027 (C)

     135       132  

Apex Tool Group, Term Loan, 1st Lien

                

9.667%, 02/08/2029 (C)

     898       766  

Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien

                

7.889%, LIBOR + 3.500%, 03/11/2028 (B)(C)

     1,064       984  

Apollo Commercial Real Estate Finance, Inc., Term Loan, 1st Lien

                

7.134%, 05/15/2026 (C)

     20       19  

AppLovin Corporation, Amendment No. 6 New Term Loan, 1st Lien

                

9.500%, 10/25/2028 (C)

     368       348  

Arcis Golf LLC, Initial Term Loan, 1st Lien

                

8.634%, 11/24/2028

    697       677  

Arctic Canadian Diamond Company Ltd., Term Loan, 2nd Lien

                

17.500%, 12/31/2027 (B)

     861       857  

Asurion, LLC, New B-4 Term Loan, 2nd Lien

                

9.634%, 01/20/2029 (C)

     950       734  

Asurion, LLC, New B-9 Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 07/31/2027 (C)

     502       438  

Athena Health, Term Loan, 1st Lien

                

7.821%, 02/15/2029 (C)(F)

     3       3  

Athena Helath Group, Initial Term Loan

                

7.821%, 02/15/2029 (C)

     77       69  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

239

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Atlantic Aviation, Term Loan, 2nd Lien

                

10.134%, 09/21/2029 (C)

   $ 125     $ 120  

Autokiniton, Term Loan B, 1st Lien

                

8.792%, 04/06/2028 (C)

     217       210  

Brown Group Holdings, LLC, Initial Term Loan, 1st Lien

                

6.884%, LIBOR + 2.750%, 06/07/2028 (C)

     984       965  

Caesars Resort Collection, LLC, Term B Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 12/23/2024 (C)

     543       541  

Caesars Resort Collection, LLC, Term B-1 Loan, 1st Lien

                

7.884%, 07/21/2025 (C)

     173       172  

Cardinal Parent, Inc., Initial Term Loan, 1st Lien

                

9.230%, LIBOR + 4.500%, 11/12/2027 (C)

     615       542  

Carnival Corporation, 2021 Incremental Term B Advance, 1st Lien

                

7.634%, 10/18/2028

    485       453  

Chariot Buyer LLC, Initial Term Loan, 1st Lien

                

7.634%, 11/03/2028

    571       537  

Citadel Securities LP, 2021 Term Loan, 1st Lien

                

6.823%, LIBOR + 2.500%, 02/02/2028 (C)

     635       622  

City Brewing Company, LLC, Closing Date Term Loan, 1st Lien

                

7.792%, LIBOR + 3.500%, 04/05/2028 (C)

     376       161  

Clark Equipment Company, Term Loan B, 1st Lien

                

7.180%, 04/20/2029 (C)

     100       98  

ClubCorp Holdings, Inc., Term B Loan, 1st Lien

                

7.480%, LIBOR + 2.750%, 09/18/2024 (C)

     705       633  

CNT Holdings I Corp, Initial Term Loan, 1st Lien

                

7.239%, LIBOR + 3.750%, 11/08/2027 (C)

     219       211  

CPP, Term Loan, 2nd Lien

                

12.170%, 04/30/2026

    370       307  

CTC Holdings/Chicago Trading Company, Term Loan, 1st Lien

                

8.357%, 02/20/2029 (C)

     487       465  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

DCert Buyer, Inc., First Amendment Refinancing Loan, 2nd Lien

                

11.696%, LIBOR + 7.000%, 02/19/2029 (C)

   $ 2,190     $ 1,991  

DCert Buyer, Inc., Initial Term Loan, 1st Lien

                

5.696%, LIBOR + 4.000%, 10/16/2026 (C)

     874       843  

Deerfield Dakota Holding, Llc 4/7/2028 2021 Replacement Term Loan, 2nd Lien

                

11.134%, 04/07/2028 (C)

     300       284  

Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien

                

8.073%, LIBOR + 3.750%, 04/09/2027 (C)

     244       228  

Del Monte Food, Term Loan, 1st Lien

                

8.671%, 05/16/2029

    650       630  

Diamond Sports Group LLC, Term Loan, 1st Lien

                

12.317%, 05/25/2026 (C)(F)

     99       93  

DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 08/02/2027 (C)

     865       840  

Empire Today, Term Loan, 1st Lien

                

9.292%, 04/03/2028 (C)

     482       358  

Energize Holdco LLC, Initial Term Loan, 1st Lien

                

8.134%, 12/08/2028 (C)

     796       759  

Energize Holdco LLC, Initial Term Loan, 2nd Lien

                

11.134%, 12/07/2029

    425       389  

Engineered Machinery Holdings, Inc., Incremental Amendment No. 4 Term Loan, 1st Lien

                

5.952%, Euribor + 3.750%, 05/21/2028 (C)

     322       324  

Engineered Machinery Holdings, Inc., Incremental Amendment No. 5 Term Loan, 1st Lien

                

8.480%, 05/19/2028

    718       694  

Equinox Holdings Inc., Incremental Term B-2 Loan, 1st Lien

                

13.730%, 03/08/2024 (C)

     244       194  

EyeCare Partners, LLC, Term Loan, 1st Lien

                

8.480%, LIBOR + 3.750%, 02/18/2027 (C)

     752       599  

EyeCare Partners, Term Loan, 1st Lien

                

8.480%, 11/15/2028

    458       384  

EyeCare Partners, Term Loan, 2nd Lien

                

11.480%, 11/15/2029

    430       350  

Fanatics Commercial, Term Loan, 1st Lien

                

7.634%, 11/24/2028 (F)

     715       700  

 

 

 

240

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

First Brand Group, Term Loan, 2nd Lien

                

11.871%, 03/30/2028

  $ 1,410     $ 1,264  

First Brands Group, LLC, 2021 Term Loan, 1st Lien

                

8.369%, LIBOR + 5.000%, 03/30/2027 (C)

     878       829  

First Brands Group, LLC, Term Loan, 1st Lien

                

0.000%, 03/30/2027 (H)

     115       108  

Focus Financial, Term Loan, 1st Lien

                

7.572%, 06/30/2028

    570       563  

6.823%, 06/30/2028

    534       522  

Froneri International Limited, Facility B1, 1st Lien

                

3.006%, Euribor + 2.375%, 01/29/2027 (C)

     330       327  

Gainwell Acquisition Corp., Term B Loan, 1st Lien

                

8.730%, LIBOR + 4.000%, 10/01/2027 (C)

     1,965       1,840  

Garda Security, Term Loan, 1st Lien

                

8.535%, 02/01/2029

    569       546  

Garda World Security Corp

                

8.930%, LIBOR + 4.250%, 10/30/2026 (C)

     679       659  

Getty Images, Inc., Initial Dollar Term Loan, 1st Lien

                

8.938%, LIBOR + 4.500%, 02/19/2026 (C)

     381       381  

Global Medical Response, Inc., 2020 Refinancing Term Loan, 1st Lien

                

8.422%, LIBOR + 4.750%, 10/02/2025 (C)

     1,171       816  

Global Tel*Link Corporation, Term Loan, 1st Lien

                

8.477%, LIBOR + 0.040%, 11/29/2025 (C)

     570       490  

Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien

                

8.134%, 03/06/2028 (C)

     795       762  

Greystone Select, Term Loan, 1st Lien

                

9.227%, 06/16/2028 (C)

     285       272  

Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien

                

6.384%, LIBOR + 2.000%, 11/15/2027 (C)

     318       307  

Grinding Media, Inc., Term Loan B, 1st Lien

                

8.765%, 10/12/2028 (C)

     941       870  

Hayward Industries, 1st Lien

                

7.673%, 05/30/2028

    270       260  

Hexion, 1st Lien

                

8.935%, 03/15/2029 (C)(F)

     708       606  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Hornblower, Term Loan, 1st Lien

                

8.920%, 04/27/2025 (F)

   $ 655     $ 451  

Hudson River Trading LLC, Term Loan, 1st Lien

                

7.438%, CME Term SOFR + 3.000%, 03/20/2028 (C)

     1,025       968  

Hunter Douglas, Term Loan

                

7.859%, 02/26/2029

    236       207  

Hunter Douglas, Term Loan, 1st Lien

                

7.859%, 02/26/2029 (C)

     642       562  

Icebox Holdco III, Inc., Initial Term Loan, 1st Lien

                

8.230%, 12/22/2028 (F)

     772       710  

Icebox Holdco III, Inc., Initial Term Loan, 2nd Lien

                

11.480%, 12/21/2029 (F)

     225       198  

Intelsat Jackson Holdings S.A., Term B Loan, 1st Lien

                

7.445%, CME Term SOFR + 4.250%, 02/01/2029 (C)

     1,058       1,019  

Jane Street Group, LLC, Dollar Term Loan, 1st Lien

                

7.134%, LIBOR + 2.750%, 01/26/2028 (C)

     1,029       997  

Jazz Pharmaceuticals Public Limited Company, Initial Dollar Term Loan, 1st Lien

                

7.884%, LIBOR + 3.500%, 05/05/2028 (C)

     713       706  

Jump Financial LLC, Term Loan, 1st Lien

                

9.342%, CME Term SOFR + 4.500%, 08/07/2028 (C)

     1,892       1,792  

Knight Health Holdings, Term Loan, 1st Lien

                

9.634%, 12/23/2028 (F)

     645       376  

LABL, Inc., Initial Dollar Term Loan, 1st Lien

                

9.384%, LIBOR + 5.000%, 10/29/2028 (C)

     645       611  

Lakeshore Learning Materials, Term Loan, 1st Lien

                

8.230%, 09/29/2028 (C)

     1,340       1,306  

LaserShip, Inc., Initial Term Loan, 1st Lien

                

9.230%, LIBOR + 4.500%, 05/07/2028 (C)

     965       687  

Lids Holdings, Term Loan

                

10.149%, 12/14/2026 (B)

     763       706  

Lids Holdings, Term Loan, 1st Lien

                

0.000%, 12/14/2026 (H)

     216       200  

Loyalty Ventures Inc., Term B Loan, 1st Lien

                

8.884%, 11/03/2027

    897       356  

LRS Holdings, LLC, Intial Term Loan, 1st Lien

                

8.634%, 08/31/2028

    665       640  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

241

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

LS Group Opco Acquisition LLC (LS Group PropCo Acquisition LLC), Initial Term Loan, 1st Lien

                

6.580%, LIBOR + 3.250%, 11/02/2027 (C)

   $ 354     $ 348  

Madison IAQ, LLC, Initial Term Loan, 1st Lien

                

7.988%, LIBOR + 3.250%, 06/21/2028 (C)

     277       257  

Magenta Buyer LLC, Initial Term Loan, 1st Lien

                

9.170%, LIBOR + 5.000%, 07/27/2028 (C)

     802       683  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 10/23/2028 (C)

     945       897  

Mercury Borrower, Inc., Initial Term Loan, 1st Lien

                

8.250%, 08/02/2028 (C)

     736       702  

Mileage Plus Holdings, LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan, 1st Lien

                

9.996%, LIBOR + 5.250%, 06/21/2027 (C)

     666       684  

Mister Car Wash Holdings, Inc., Initial Term Loan, 1st Lien

                

7.423%, LIBOR + 3.000%, 05/14/2026 (C)

     266       262  

Naked Juice/Tropicana, Term Loan, 1st Lien

                

7.930%, 01/24/2029 (C)(F)

     45       40  

New Era Cap, Term Loan, 1st Lien

                

9.941%, 07/13/2027 (F)

     683       635  

Newport Parent, Inc., Initial Term Loan, 1st Lien

                

11.230%, 12/10/2027 (C)

     884       874  

One Call Corporation, Term B Loan, 1st Lien

                

9.875%, LIBOR + 5.500%, 04/22/2027 (C)

     958       782  

Pacific Bells, LLC, Initial Term Loan, 1st Lien

                

9.342%, 11/10/2028

    258       242  

Packers Holdings, LLC, Initial Term Loan, 1st Lien

                

7.542%, LIBOR + 3.250%, 03/09/2028 (C)

     1,010       879  

Particle Investment S.A.R.L. (WebPros), Term Loan, 1st Lien

                

9.980%, 02/18/2027 (B)(C)(F)

     367       355  

PDS HoldCo Inc., Delayed Draw Term Loan, 1st Lien

                

9.235%, 08/18/2028

    476       434  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

PECF USS Intermediate Holding III Corporation, Initial Term Loan, 1st Lien

                

8.634%, 12/15/2028 (F)

   $ 566     $ 470  

Peraton Corp., Term B Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 02/01/2028 (C)

     1,128       1,100  

Peraton Corp., Term B-1 Loan, 2nd Lien

                

12.089%, LIBOR + 7.750%, 02/01/2029 (C)

     582       553  

Phoenix Guarantor Inc., Tranche B-1 Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 03/05/2026 (C)

     42       39  

Phoenix Newco, Inc., Initial Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 11/15/2028 (C)

     1,045       1,005  

Pilot Travel Centers, LLC, Initial Tranche B Term Loan

                

6.423%, 08/04/2028 (C)

     333       329  

Planview Parent, Inc., Closing Date Term Loan, 1st Lien

                

8.730%, LIBOR + 4.000%, 12/17/2027 (C)

     410       380  

Polyconcept, Term Loan, 1st Lien

                

10.080%, 05/18/2029

    670       625  

Precision Medicine Group, LLC, Amendment No. 1 Refinancing Term Loan, 1st Lien

                

7.730%, LIBOR + 3.000%, 11/18/2027 (C)

     748       694  

Project Sky, Term Loan, 1st Lien

                

10.384%, 10/08/2029 (C)(F)

     390       324  

8.134%, 10/08/2028 (C)

     764       717  

Quikrete Holding, Term Loan B1, 1st Lien

                

7.384%, 06/11/2028 (C)

     667       661  

Rackspace Technology Global, Inc., 2021 Term B Loan, 1st Lien

                

7.380%, LIBOR + 2.750%, 02/15/2028 (C)(F)

     946       588  

Radiology Partners, Inc., Term B Loan, 1st Lien

                

8.639%, 07/09/2025

    550       459  

RC Buyer, Inc., Initial Term Loan, 2nd Lien

                

11.230%, 07/30/2029

    300       269  

Redstone HoldCo 2 LP, Initial Loan, 2nd Lien

                

12.108%, LIBOR + 7.750%, 04/27/2029 (C)

     820       404  

Redstone Holdco, Term Loan, 1st Lien

                

9.108%, LIBOR + 4.750%, 04/27/2028 (C)

     832       572  

 

 

 

242

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Resolute Investment Managers, Inc., Tranche C Term Loan, 1st Lien

                

8.980%, 04/30/2024

  $ 302     $ 242  

Rough Country LLC, Term Loan, 1st Lien

                

8.230%, 07/28/2028 (C)

     691       644  

Royal Caribbean Cruises, Term Loan, 1st Lien

                

12.670%, 07/27/2029

    900       705  

Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), Initial Term Loan, 1st Lien

                

7.634%, LIBOR + 3.250%, 12/31/2025 (C)

     844       820  

Sigma Holdco

                

5.899%, 07/02/2025

    250       226  

SkyMiles IP Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 1st Lien

                

7.993%, LIBOR + 3.750%, 10/20/2027 (C)

     480       489  

Southwestern Energy, Term Loan, 1st Lien

                

7.041%, 06/22/2027

    640       632  

Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term Loan, 1st Lien

                

10.172%, 06/19/2026 (F)

     590       578  

SPX Flow, Inc., Term Loan, 1st Lien

                

8.923%, CME Term SOFR + 4.500%, 04/05/2029 (C)(F)

     880       820  

Surf Holdings S.a r.l., Dollar Tranche Term Loan, 1st Lien

                

8.235%, LIBOR + 3.500%, 03/05/2027 (C)

     459       445  

Terrier Media Buyer, Inc., 2021 Term B Loan, 1st Lien

                

8.230%, LIBOR + 3.500%, 12/17/2026 (C)

     605       565  

Thermostat Buyer, Term Loan

                

9.235%, 08/31/2028

    5       5  

Thermostat Purchaser III, Inc., Initial Term Loan, 1st Lien

                

9.235%, 08/31/2028

    261       245  

Trident TPI Holdings, Inc., Tranche B-3 Initial Term Loan, 1st Lien

                

8.730%, 09/15/2028

    672       644  

Trident TPI Holdings, Inc.,Term Loan

                

8.730%, 09/15/2028

    36       34  

Trident TPI Holdings, Inc.,Term Loan, 1st Lien

                

8.730%, 09/15/2028 (F)

     60       58  

Triton Water Holdings, Inc., Initial Term Loan, 1st Lien

                

8.230%, LIBOR + 3.500%, 03/31/2028 (C)

     780       723  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

TruGreen Limited Partnership, Initial Term Loan, 2nd Lien

                

12.915%, LIBOR + 8.500%, 11/02/2028 (C)

   $ 200     $ 146  

Tutor Perini Corporation, Term Loan, 1st Lien

                

9.134%, LIBOR + 4.750%, 08/18/2027 (B)(C)

     730       684  

U.S. Renal Care, Inc., Initial Term Loan, 1st Lien

                

9.438%, LIBOR + 5.000%, 06/26/2026 (C)

     1,095       607  

UFC Holdings, Term Loan, 1st Lien

                

7.110%, 04/29/2026

    340       335  

Ultimus Group Midco LLC, The, Initial Term Loan, 1st Lien

                

8.134%, LIBOR + 3.750%, 05/04/2026 (C)

     243       233  

United AirLines, Inc., Class B Term Loan, 1st Lien

                

8.108%, LIBOR + 3.750%, 04/21/2028 (C)

     729       718  

UST Holdings, Term Loan, 1st Lien

                

8.137%, 11/20/2028

    485       472  

Vaco Holdings, Term Loan, 1st Lien

                

9.730%, 01/21/2029

    422       405  

Verscend Holding Corp., Term B-1 Loan, 1st Lien

                

8.384%, LIBOR + 4.000%, 08/27/2025 (C)

     1,055       1,046  

Vertex Aerospace Services Corp., Initial Term Loan, 1st Lien

                

7.884%, LIBOR + 4.000%, 12/06/2028 (C)

     1,104       1,083  

VFH Parent, Initial Term Loan

                

7.421%, 01/13/2029 (C)

     290       282  

Virgin Media Bristol LLC, N Facility, 1st Lien

                

6.818%, LIBOR + 2.500%, 01/31/2028 (C)

     935       918  

Virgin Media Bristol LLC, N Facility, Term Loan, 1st Lien

                

7.568%, LIBOR + 3.250%, 01/31/2029 (C)

     590       583  

Virgin Pulse, Inc., Initial Term Loan, 1st Lien

                

8.384%, 04/06/2028 (C)

     970       818  

Virgin Pulse, Inc., Initial Term Loan, 2nd Lien

                

11.634%, 04/06/2029

    320       247  

Virtusa, Term Loan

                

8.134%, 02/11/2028

    920       885  

VT Topco, Inc., Delayed Term Loan, 1st Lien

                

8.134%, 08/01/2025

    12       12  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

243

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

VT Topco, Inc., Term Loan, 1st Lien

                

8.134%, 08/01/2025

  $ 375     $ 363  

VT Topco, Inc., Term Loan, 2nd Lien

                

11.134%, 07/31/2026

    320       307  

WP CPP Holdings, LLC, Initial Term Loan, 1st Lien

                

6.280%, LIBOR + 3.750%, 04/30/2025 (C)

     1       1  

WP CPP Holdings, Term B Loan

                

8.170%, LIBOR + 3.750%, 04/30/2025 (C)

     505       437  

Wwex Uni TopCo Holdings LLC, Initial Term Loan, 1st Lien

                

8.730%, 07/26/2028 (C)

     774       706  
                 
                 

Total Loan Participations

                

(Cost $97,330) ($ Thousands)

             88,621  
                 
                 
                 

SOVEREIGN DEBT — 9.5%
                 

Abu Dhabi Government International Bond MTN

                

3.875%, 04/16/2050(A)

     1,630       1,379  

Angolan Government International Bond

                

9.375%, 05/08/2048

     200       158  

9.125%, 11/26/2049(A)

     1,170       911  

8.750%, 04/14/2032(A)

     210       181  

8.000%, 11/26/2029(A)

     420       368  

Argentine Republic Government International Bond

                

3.500%, 07/09/2029(G)

     1,310       370  

1.500%, 07/09/2023(G)

     1,536       390  

1.000%, 07/09/2029

     262       69  

0.500%, 07/09/2023(G)

     3,760       1,014  

0.500%, 07/09/2029

   EUR 6       1  

0.125%, 07/09/2030

     165       42  

Azerbaijan Government International Bond

                

3.500%, 09/01/2032

   $ 1,360       1,132  

Bahrain Government International Bond MTN

                

5.625%, 05/18/2034(A)

     940       811  

Benin Government International Bond

                

4.875%, 01/19/2032(A)

   EUR 1,480       1,223  

Brazil Government International Bond

                

5.333%, 02/15/2028

   $ 120       116  

Buenos Aires Government International Bond MTN

                

5.250%, 09/01/2023(A)(G)

     7,212       2,488  

Bundesrepublik Deutschland Bundesanleihe

                

0.000%, 08/15/2026 (H)

   EUR 360       352  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

CBB International Sukuk Programme SPC

                

6.250%, 11/14/2024(A)

   $ 300     $ 303  

Ciudad Autonoma De Buenos Aires

                

7.500%, 06/01/2027

     480       443  

Colombia Government International Bond

                

4.125%, 05/15/2051

     630       377  

3.125%, 04/15/2031

     730       542  

3.000%, 01/30/2030

     730       558  

Cordoba Government International Bond

                

6.990%, 06/01/2027(A)(G)

     526       347  

Country Garden Holdings

                

8.000%, 01/27/2024

     200       154  

Dominican Republic International Bond

                

7.450%, 04/30/2044

     600       558  

6.850%, 01/27/2045

     660       572  

6.500%, 02/15/2048(A)

     1,270       1,045  

6.400%, 06/05/2049(A)

     660       533  

6.000%, 02/22/2033(A)

     440       397  

5.500%, 02/22/2029(A)

     240       221  

4.500%, 01/30/2030

     550       468  

Ecuador Government International Bond

                

5.500%, 07/31/2023(A)(G)

     352       226  

1.500%, 07/31/2023(A)(G)

     1,128       460  

0.000%, 07/31/2030(A)(H)

     329       129  

Egypt Government International Bond

                

8.875%, 05/29/2050(A)

     710       479  

8.700%, 03/01/2049(A)

     520       346  

8.500%, 01/31/2047

     450       299  

7.903%, 02/21/2048(A)

     360       227  

7.625%, 05/29/2032(A)

     480       354  

6.375%, 04/11/2031(A)

   EUR 330       244  

5.625%, 04/16/2030

     1,560       1,150  

4.750%, 04/16/2026(A)

     100       89  

Gabon Government International Bond

                

7.000%, 11/24/2031(A)

   $ 1,120       916  

Guatemala Government Bond

                

6.125%, 06/01/2050(A)

     530       498  

4.900%, 06/01/2030(A)

     280       264  

4.875%, 02/13/2028

     790       760  

4.500%, 05/03/2026(A)

     770       739  

4.375%, 06/05/2027(A)

     790       747  

Hazine Mustesarligi Varlik Kiralama

                

5.004%, 04/06/2023(A)

     860       858  

Indonesia Government International Bond

                

7.000%, 05/15/2027

   IDR 86,448,000       5,686  

3.850%, 10/15/2030

   $ 200       187  

3.500%, 01/11/2028

     880       835  

2.850%, 02/14/2030

     900       799  

1.100%, 03/12/2033

   EUR 400       310  

0.900%, 02/14/2027

     180       168  

Iraq Government International Bond

                

5.800%, 01/15/2028

   $ 193       177  

 

 

 

244

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Ivory Coast Government International Bond

                

6.625%, 03/22/2048

   EUR 420     $ 315  

6.125%, 06/15/2033

   $ 650       577  

5.250%, 03/22/2030

   EUR 390       350  

4.875%, 01/30/2032(A)

     1,660       1,394  

Jamaica Government International Bond

                

7.875%, 07/28/2045

   $ 740       832  

Jordan Government International Bond

                

7.750%, 01/15/2028(A)

     500       505  

Kazakhstan Government International Bond MTN

                

5.125%, 07/21/2025

     220       228  

Kenya Government International Bond

                

8.250%, 02/28/2048(A)

     260       201  

8.000%, 05/22/2032(A)

     910       775  

7.000%, 05/22/2027(A)

     250       223  

Lebanon Government International Bond

                

8.250%, 05/17/2034(E)

     30       2  

8.200%, 05/17/2033(E)

     40       2  

7.150%, 11/20/2031(E)

     40       2  

7.050%, 11/02/2035(E)

     100       6  

7.000%, 03/20/2028(E)

     40       2  

6.850%, 03/23/2027(E)

     100       6  

6.850%, 05/25/2029(E)

     721       41  

6.750%, 11/29/2027(E)

     410       24  

6.650%, 04/22/2024(E)

     170       10  

6.650%, 11/03/2028(E)

     80       5  

6.650%, 02/26/2030(E)

     832       47  

6.600%, 11/27/2026(E)

     30       2  

6.200%, 02/26/2025(E)

     860       49  

Mexico Government International Bond

                

3.771%, 05/24/2061

     520       329  

2.659%, 05/24/2031

     1,120       903  

Mongolia Government International Bond

                

5.625%, 05/01/2023

     200       192  

Morocco Government International Bond

                

3.000%, 12/15/2032(A)

     730       580  

1.500%, 11/27/2031(A)

   EUR 290       228  

Mozambique International Bond

                

5.000%, 09/15/2023(G)

   $ 220       167  

Nigeria Government International Bond

                

8.747%, 01/21/2031

     1,720       1,404  

7.696%, 02/23/2038(A)

     690       467  

Oman Government International Bond

                

6.750%, 01/17/2048

     200       187  

6.250%, 01/25/2031(A)

     1,600       1,609  

Pakistan Government International Bond

                

6.875%, 12/05/2027

     200       77  

6.000%, 04/08/2026(A)

     540       213  

Pakistan Water & Power Development Authority

                

7.500%, 06/04/2031

     420       120  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Panama Government International Bond

                

4.500%, 04/01/2056

   $ 300     $ 219  

Papua New Guinea Government International Bond

                

8.375%, 10/04/2028(A)

     290       252  

Paraguay Government International Bond

                

6.100%, 08/11/2044

     500       480  

5.600%, 03/13/2048

     760       663  

5.400%, 03/30/2050(A)

     320       276  

Perusahaan Penerbit SBSN Indonesia III

                

4.550%, 03/29/2026(A)

     530       529  

4.450%, 02/20/2029(A)

     330       325  

Peruvian Government International Bond

                

2.783%, 01/23/2031

     380       314  

Qatar Government International Bond

                

5.103%, 04/23/2048(A)

     820       824  

4.817%, 03/14/2049(A)

     930       904  

4.625%, 06/02/2046

     280       264  

4.400%, 04/16/2050(A)

     450       412  

3.750%, 04/16/2030(A)

     200       193  

Romanian Government International Bond

                

5.125%, 06/15/2048(A)

     200       159  

3.375%, 01/28/2050

   EUR 230       141  

2.875%, 05/26/2028

     650       600  

2.875%, 03/11/2029

     1,490       1,309  

2.124%, 07/16/2031(A)

     250       183  

2.000%, 12/08/2026(A)

     590       564  

2.000%, 01/28/2032(A)

     110       78  

2.000%, 04/14/2033(A)

     900       614  

Saudi Government International Bond MTN

                

4.500%, 04/22/2060(A)

   $ 1,070       949  

3.750%, 01/21/2055(A)

     220       173  

3.250%, 10/22/2030(A)

     430       392  

Senegal Government International Bond

                

5.375%, 06/08/2037(A)

   EUR 930       664  

4.750%, 03/13/2028(A)

     740       680  

Serbia Government International Bond

                

1.500%, 06/26/2029(A)

     500       381  

South Africa Government International Bond

                

5.650%, 09/27/2047

   $ 950       696  

4.850%, 09/27/2027

     890       843  

4.300%, 10/12/2028

     200       178  

Sri Lanka Government International Bond

                

7.550%, 03/28/2030(A)

     910       281  

6.850%, 03/14/2024(A)

     200       62  

6.850%, 11/03/2025

     570       179  

6.825%, 07/18/2026(A)

     250       78  

6.750%, 04/18/2028(A)

     360       112  

Turkey Government International Bond

                

7.625%, 04/26/2029

     560       527  

6.875%, 03/17/2036

     60       50  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

245

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

6.500%, 09/20/2033

   $ 900     $ 747  

6.000%, 01/14/2041

     1,980       1,428  

5.200%, 02/16/2026

   EUR 260       272  

4.250%, 04/14/2026

   $ 530       471  

Ukraine Government International Bond

                

9.750%, 11/01/2030(A)

     640       128  

8.994%, 02/01/2026

     280       59  

7.750%, 09/01/2025

     910       200  

7.750%, 09/01/2026

     230       47  

7.750%, 09/01/2029

     250       52  

7.375%, 09/25/2034(A)

     200       36  

7.253%, 03/15/2035(A)

     420       76  

Uzbekistan Government International Bond MTN

                

4.750%, 02/20/2024(A)

     340       334  

3.700%, 11/25/2030(A)

     660       551  

Virgin Money UK

                

9.250%, UK Govt Bonds 5 Year Note Generic Bid Yield + 8.307%, 06/08/2171(C)(D)

   GBP 300       359  

Zambia Government International Bond

                

5.375%, 09/20/2022

   $ 760       314  
                 

Total Sovereign Debt

        

(Cost $88,544) ($ Thousands)

     67,166  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 7.4%

Agency Mortgage-Backed Obligations — 1.1%

        

FHLMC REMIC CMO, Ser 2020-5012, Cl DI, IO

                

4.000%, 09/25/2050

     593       109  

FHLMC REMIC CMO, Ser 2020-5020, Cl IH, IO

                

3.000%, 08/25/2050

     507       78  

FHLMC STACR REMIC Trust, Ser 2017-HRP1, Cl B1

                

8.989%, ICE LIBOR USD 1 Month + 4.600%, 12/25/2042(C)

     330       336  

FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl B1

                

6.689%, ICE LIBOR USD 1 Month + 2.300%, 01/25/2050(A)(C)

     660       622  

FHLMC STACR REMIC Trust, Ser 2020-DNA3, Cl B1

                

9.489%, ICE LIBOR USD 1 Month + 5.100%, 06/25/2050(A)(C)

     1,307       1,362  

FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl B1

                

8.728%, SOFR30A + 4.800%, 10/25/2050(A)(C)

     210       215  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl B1

                

6.928%, SOFR30A + 3.000%, 12/25/2050(A)(C)

   $ 630     $ 591  

FHLMC STACR REMIC Trust, Ser 2021-DNA1, Cl M2

                

5.728%, SOFR30A + 1.800%, 01/25/2051(A)(C)

     159       155  

FHLMC STACR REMIC Trust, Ser 2021-DNA3, Cl B1

                

7.428%, SOFR30A + 3.500%, 10/25/2033(A)(C)

     390       361  

FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl B1

                

6.978%, SOFR30A + 3.050%, 01/25/2034(A)(C)

     250       228  

FHLMC STACR REMIC Trust, Ser 2021-DNA7, Cl B1

                

7.578%, SOFR30A + 3.650%, 11/25/2041(A)(C)

     540       502  

FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A

                

6.128%, SOFR30A + 2.200%, 05/25/2042(A)(C)

     679       677  

FNMA

                

2.790%, 01/01/2035(C)

     345       294  

2.680%, 01/01/2035

     100       82  

FNMA REMIC CMO, Ser 2015-30, Cl SJ, IO

                

1.211%, 05/25/2045(C)

     1,425       104  

FNMA REMIC CMO, Ser 2017-104, Cl SB, IO

                

1.761%, 01/25/2048(C)

     983       102  

FNMA REMIC CMO, Ser 2020-60, Cl NI, IO

                

4.000%, 09/25/2050

     550       101  

FNMA REMIC CMO, Ser 2020-62, Cl GI, IO

                

4.000%, 06/25/2048

     1,056       186  

GNMA REMIC CMO, Ser 2010-9, Cl XD, IO

                

2.274%, 01/16/2040(C)

     1,073       123  

GNMA REMIC CMO, Ser 2013-124, Cl CS, IO

                

1.697%, 08/20/2043(C)

     113       11  

GNMA REMIC CMO, Ser 2015-111, Cl IM, IO

                

4.000%, 08/20/2045

     1,310       196  

GNMA REMIC CMO, Ser 2015-168, Cl IP, IO

                

4.000%, 11/20/2045

     438       44  

GNMA REMIC CMO, Ser 2016-109, Cl IH, IO

                

4.000%, 10/20/2045

     754       105  

GNMA REMIC CMO, Ser 2016-27, Cl IA, IO

                

4.000%, 06/20/2045

     299       37  

GNMA REMIC CMO, Ser 2017-112, Cl SJ, IO

                

1.307%, 07/20/2047(C)

     726       51  

GNMA REMIC CMO, Ser 2018-122, Cl HS, IO

                

1.847%, 09/20/2048(C)

     317       37  

 

 

 

246

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA REMIC CMO, Ser 2018-122, Cl SE, IO

                

1.847%, 09/20/2048(C)

   $ 436     $ 40  

GNMA REMIC CMO, Ser 2018-124, Cl SN, IO

                

1.847%, 09/20/2048(C)

     1,448       124  

GNMA REMIC CMO, Ser 2018-137, Cl SN, IO

                

1.797%, 10/20/2048(C)

     426       34  

GNMA REMIC CMO, Ser 2018-139, Cl SQ, IO

                

1.797%, 10/20/2048(C)

     264       21  

GNMA REMIC CMO, Ser 2018-67, Cl PS, IO

                

1.847%, 05/20/2048(C)

     1,353       122  

GNMA REMIC CMO, Ser 2018-7, Cl DS, IO

                

1.347%, 01/20/2048(C)

     896       81  

GNMA REMIC CMO, Ser 2019-1, Cl SN, IO

                

1.697%, 01/20/2049(C)

     230       19  

GNMA REMIC CMO, Ser 2019-110, Cl SE, IO

                

1.747%, 09/20/2049(C)

     837       66  

GNMA REMIC CMO, Ser 2019-110, Cl SD, IO

                

1.747%, 09/20/2049(C)

     636       49  

GNMA REMIC CMO, Ser 2019-151, Cl NI, IO

                

3.500%, 10/20/2049

     2,064       298  

GNMA REMIC CMO, Ser 2019-6, Cl SA, IO

                

1.697%, 01/20/2049(C)

     178       16  

GNMA REMIC CMO, Ser 2019-78, Cl SE, IO

                

1.747%, 06/20/2049(C)

     146       12  

GNMA REMIC CMO, Ser 2020-78, Cl DI, IO

                

4.000%, 06/20/2050

     769       137  
                 
                 
              7,728  

Non-Agency Mortgage-Backed Obligations — 6.3%

        

ACE Securities Home Equity Loan Trust, Ser 2004-HE3, Cl M1

                

5.319%, ICE LIBOR USD 1 Month + 0.930%, 11/25/2034(C)

     353       345  

Alternative Loan Trust, Ser 2005-81, Cl A1

                

4.949%, ICE LIBOR USD 1 Month + 0.560%, 02/25/2037(C)

     467       377  

Barclays Commercial Mortgage Trust, Ser 2019-C5, Cl A4

                

3.063%, 11/15/2052

     870       765  

Benchmark Mortgage Trust, Ser 2019-B11, Cl XA, IO

                

1.003%, 05/15/2052(C)

     10,470       461  

BIG Commercial Mortgage Trust, Ser BIG, Cl F

                

9.771%, TSFR1M + 5.436%, 02/15/2039(A)(C)

     480       446  

BRAVO Residential Funding Trust, Ser 2022-R1, Cl A

                

3.125%, 01/29/2070(A)(G)

     659       583  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E

                

6.468%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(A)(C)

   $ 1,970     $ 1,842  

BX Commercial Mortgage Trust, Ser LP2, Cl G

                

8.441%, TSFR1M + 4.106%, 02/15/2039(A)(C)

     687       630  

BX Commercial Mortgage Trust, Ser XL2, Cl J

                

8.208%, ICE LIBOR USD 1 Month + 3.890%, 10/15/2038(A)(C)

     463       420  

BX Trust, Ser 2018-GWMZ, Cl MC

                

9.806%, ICE LIBOR USD 1 Month + 5.488%, 05/15/2037(A)(C)

     1,100       1,052  

BX Trust, Ser SDMF, Cl F

                

6.255%, ICE LIBOR USD 1 Month + 1.937%, 09/15/2034(A)(C)

     310       286  

Capmark Military Housing Trust, Ser 2007-AET2, Cl A

                

6.063%, 10/10/2052(A)

     920       833  

CFK Trust, Ser 2020-MF2, Cl E

                

3.458%, 03/15/2039(A)(C)

     500       403  

Citigroup Mortgage Loan Trust, Ser 2022-A, Cl A1

                

6.170%, 09/25/2062(A)(G)

     594       581  

Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1B1

                

8.739%, ICE LIBOR USD 1 Month + 4.350%, 04/25/2031(A)(C)

     460       467  

Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1B1

                

8.489%, ICE LIBOR USD 1 Month + 4.100%, 07/25/2039(A)(C)

     542       549  

Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1B1

                

7.028%, SOFR30A + 3.100%, 10/25/2041(A)(C)

     670       630  

Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1B1

                

6.678%, SOFR30A + 2.750%, 12/25/2041(A)(C)

     680       627  

Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2B1

                

8.428%, SOFR30A + 4.500%, 04/25/2042(A)(C)

     433       419  

Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2M2

                

6.928%, SOFR30A + 3.000%, 04/25/2042(A)(C)

     386       374  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

247

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Connecticut Avenue Securities, Ser 2018-C01, Cl 1B1

                

7.939%, ICE LIBOR USD 1 Month + 3.550%, 07/25/2030(C)

   $ 570     $ 580  

Credit Suisse European Mortgage Capital, Ser 2019-1OTF, Cl A

                

7.315%, ICE LIBOR USD 3 Month + 2.900%, 08/09/2024(A)(C)

     940       920  

CSMC Trust, Ser 2014-USA, Cl E

                

4.373%, 09/15/2037(A)

     320       177  

CSMC Trust, Ser 2017-RPL1, Cl M2

                

2.950%, 07/25/2057(A)(C)

     1,190       891  

CSMC Trust, Ser 2019-UVIL, Cl A

                

3.160%, 12/15/2041(A)

     950       773  

First Franklin Mortgage Loan Trust, Ser 2006-FF15, Cl A5

                

4.549%, ICE LIBOR USD 1 Month + 0.160%, 11/25/2036(C)

     491       479  

GS Mortgage Securities II, Ser 2018-SRP5, Cl C

                

8.568%, ICE LIBOR USD 1 Month + 4.250%, 09/15/2031(A)(C)

     1,793       731  

GS Mortgage Securities Trust, Ser 2020-DUNE, Cl F

                

7.568%, ICE LIBOR USD 1 Month + 3.250%, 12/15/2036(A)(C)

     595       554  

GS Mortgage Securities Trust, Ser 2020-DUNE, Cl A

                

5.418%, ICE LIBOR USD 1 Month + 1.100%, 12/15/2036(A)(C)

     1,830       1,783  

GS Mortgage Securities Trust, Ser LUAU, Cl G

                

8.768%, ICE LIBOR USD 1 Month + 4.450%, 11/15/2032(A)(C)

     500       463  

HarborView Mortgage Loan Trust, Ser 2006-10, Cl 2A1B

                

4.579%, ICE LIBOR USD 1 Month + 0.240%, 11/19/2036(C)

     1,598       1,399  

Impac CMB Trust, Ser 2005-4, Cl 1M1

                

5.034%, ICE LIBOR USD 1 Month + 0.430%, 05/25/2035(C)

     652       597  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Cl FFL

                

7.322%, ICE LIBOR USD 1 Month + 3.150%, 07/05/2033(A)(C)

     1,790       1,573  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-BKWD, Cl E

                

7.168%, ICE LIBOR USD 1 Month + 2.850%, 09/15/2029(A)(C)

     1,730       1,476  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Chase Commercial Mortgage Securities Trust, Ser HTL5, Cl F

                

8.583%, ICE LIBOR USD 1 Month + 4.265%, 11/15/2038(A)(C)

   $ 710     $ 643  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser NLP, Cl D

                

6.502%, TSFR1M + 2.166%, 04/15/2037(A)(C)

     299       270  

Legacy Mortgage Asset Trust, Ser 2021-GS1, Cl A2

                

3.844%, 10/25/2066(A)(G)

     660       551  

Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B

                

3.474%, 06/26/2036(A)(G)

     211       184  

Mortgage Repurchase Agreement Financing Trust II Series, Ser 2022-S1, Cl A1

                

5.805%, SOFR30A + 2.000%, 03/30/2025(A)(C)

     420       414  

Multifamily Connecticut Avenue Securities Trust, Ser 2019-01, Cl M10

                

7.639%, ICE LIBOR USD 1 Month + 3.250%, 10/25/2049(A)(C)

     500       469  

Multifamily Connecticut Avenue Securities Trust, Ser 2020-01, Cl M10

                

8.139%, ICE LIBOR USD 1 Month + 3.750%, 03/25/2050(A)(C)

     480       443  

New Residential Mortgage Loan Trust, Ser 2018-4A, Cl B1

                

5.439%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2048(A)(C)

     262       238  

NewRez Warehouse Securitization Trust, Ser 2021-1, Cl F

                

9.639%, ICE LIBOR USD 1 Month + 5.250%, 05/25/2055(A)(C)

     540       514  

Nomura Asset Acceptance Alternative Loan Trust, Ser 2003-A1, Cl M

                

6.661%, 05/25/2033(C)

     620       355  

Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1

                

2.218%, ICE LIBOR USD 1 Month + 0.430%, 03/26/2036(A)(C)

     271       243  

PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A

                

8.087%, ICE LIBOR USD 1 Month + 3.700%, 11/27/2031(A)(C)

     –       –  

Radnor, Ser 2020-1, Cl M1C

                

6.139%, ICE LIBOR USD 1 Month + 1.750%, 01/25/2030(A)(C)

     1,830       1,789  

RALI Series Trust, Ser 2006-QO2, Cl A2

                

4.929%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2046(C)

     1,286       280  

 

 

 

248

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

RALI Series Trust, Ser 2007-QO2, Cl A1

                

4.539%, ICE LIBOR USD 1 Month + 0.150%, 02/25/2047(C)

   $ 801     $ 290  

Seasoned Credit Risk Transfer Trust, Ser 2018-1, Cl M

                

4.750%, 05/25/2057(C)

     1,639       1,477  

Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl M

                

4.750%, 08/25/2057(A)(C)

     1,125       990  

Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl M

                

4.500%, 02/25/2059(A)(C)

     1,720       1,474  

Seasoned Credit Risk Transfer Trust, Ser 2020-1, Cl M

                

4.250%, 08/25/2059(A)(C)

     2,230       1,868  

Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl M

                

4.250%, 11/25/2059(A)(C)

     830       706  

Seasoned Credit Risk Transfer Trust, Ser 2020-3, Cl M

                

4.250%, 05/25/2060(A)(C)

     640       559  

Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl M

                

4.500%, 11/25/2061(A)(C)

     320       249  

Shops at Crystals Trust, Ser 2106-CSTL, Cl D

                

3.731%, 07/05/2036(A)(C)

     885       697  

SMR Mortgage Trust, Ser IND, Cl F

                

10.336%, TSFR1M + 6.000%, 02/15/2039(A)(C)

     820       756  

Soho Trust, Ser SOHO, Cl D

                

2.697%, 08/10/2038(A)(C)

     440       281  

Taubman Centers Commercial Mortgage Trust, Ser DPM, Cl A

                

6.522%, TSFR1M + 2.186%, 05/15/2037(A)(C)

     650       631  

Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl F

                

8.471%, ICE LIBOR USD 1 Month + 4.252%, 11/11/2034(A)(C)

     583       548  

Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Cl E

                

7.698%, ICE LIBOR USD 1 Month + 3.480%, 11/11/2034(A)(C)

     1,742       1,628  

Towd Point Mortgage Trust, Ser 2019-4, Cl B1B

                

3.500%, 10/25/2059(A)(C)

     640       434  

WaMu Mortgage Pass-Through Certificates Trust, Ser 2006-AR16, Cl 2A2

                

3.406%, 12/25/2036(C)

     524       448  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1

                

2.755%, 04/25/2036(C)

   $ 379     $ 350  
                 
                 
              44,265  

Total Mortgage-Backed Securities

                

(Cost $57,900) ($ Thousands)

             51,993  
                 
                 
   


Shares

          

COMMON STOCK — 6.9%
                 

Communication Services — 0.6%

        

Activision Blizzard Inc

    1,028       79  

Alphabet Inc, Cl A *

     8,697       767  

Alphabet Inc, Cl C *

     7,745       687  

AT&T Inc

    10,588       195  

Charter Communications Inc, Cl A *

     163       55  

Comcast Corp, Cl A

    6,392       224  

DISH Network Corp, Cl A *

     377       5  

Electronic Arts Inc

    381       47  

Fox Corp, Cl A

    527       16  

Fox Corp, Cl B

    207       6  

Intelsat Jackson Holdings *(B)

     22,512       574  

Interpublic Group of Cos Inc/The

    661       22  

Live Nation Entertainment Inc *

     224       16  

Lumen Technologies Inc

    1,286       7  

Match Group Inc *

     431       18  

Meta Platforms Inc, Cl A *

     3,260       392  

Netflix Inc *

     661       195  

News Corp, Cl A

    509       9  

News Corp, Cl B

    145       3  

Omnicom Group Inc

    298       24  

Paramount Global, Cl B

    880       15  

Take-Two Interactive Software Inc, Cl A *

     215       22  

T-Mobile US Inc *

     869       122  

Verizon Communications Inc

    6,223       245  

Walt Disney Co/The *

     2,699       234  

Warner Bros Discovery Inc *

     3,084       29  
                 
              4,008  

Consumer Discretionary — 0.6%

        

Advance Auto Parts Inc

    103       15  

Amazon.com Inc, Cl A *

     12,940       1,087  

Aptiv PLC *

     413       38  

AutoZone Inc *

     28       69  

Bath & Body Works Inc

    303       13  

Best Buy Co Inc

    311       25  

Booking Holdings Inc *

     58       117  

BorgWarner Inc

    394       16  

Caesars Entertainment Inc *

     366       15  

CarMax Inc *

     215       13  

Carnival Corp *

     1,370       11  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

249

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Chipotle Mexican Grill Inc, Cl A *

     39     $ 54  

Darden Restaurants Inc

    188       26  

Dollar General Corp

    323       80  

Dollar Tree Inc *

     305       43  

Domino's Pizza Inc

    48       17  

DR Horton Inc

    487       43  

eBay Inc

    775       32  

Etsy Inc *

     168       20  

Expedia Group Inc *

     221       19  

Ford Motor Co

    5,582       65  

Garmin Ltd

    255       23  

General Motors Co

    2,056       69  

Genuine Parts Co

    211       37  

Hasbro Inc

    183       11  

Hilton Worldwide Holdings Inc

    396       50  

Home Depot Inc/The

    1,494       472  

Las Vegas Sands Corp *

     474       23  

Lennar Corp, Cl A

    353       32  

LKQ Corp

    346       18  

Lowe's Cos Inc

    918       183  

Marriott International Inc/MD, Cl A

    386       57  

McDonald's Corp

    1,063       280  

MGM Resorts International

    463       16  

Mohawk Industries Inc *

     83       9  

Newell Brands Inc, Cl B

    593       8  

NIKE Inc, Cl B

    1,810       212  

Norwegian Cruise Line Holdings Ltd *

     566       7  

NVR Inc *

     5       23  

O'Reilly Automotive Inc *

     92       78  

Pool Corp

    67       20  

PulteGroup Inc

    258       12  

Ralph Lauren Corp, Cl A

    70       7  

Ross Stores Inc

    479       56  

Royal Caribbean Cruises Ltd *

     377       19  

Starbucks Corp

    1,706       169  

Tapestry Inc

    257       10  

Target Corp, Cl A

    693       103  

Tesla Inc *

     3,922       483  

TJX Cos Inc/The

    1,656       132  

Tractor Supply Co

    153       34  

Ulta Beauty Inc *

     71       33  

VF Corp

    542       15  

Whirlpool Corp

    98       14  

Wynn Resorts Ltd *

     136       11  

Yum! Brands Inc

    411       53  
                 
              4,597  

Consumer Staples — 0.5%

        

Altria Group Inc

    2,684       123  

Archer-Daniels-Midland Co

    791       74  

Brown-Forman Corp, Cl B

    260       17  

Campbell Soup Co

    233       13  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Church & Dwight Co Inc

    331     $ 27  

Clorox Co/The

    166       23  

Coca-Cola Co/The

    5,639       359  

Colgate-Palmolive Co

    1,186       93  

Conagra Brands Inc

    645       25  

Constellation Brands Inc, Cl A

    228       53  

Costco Wholesale Corp

    640       292  

Estee Lauder Cos Inc/The, Cl A

    328       81  

General Mills Inc

    846       71  

Hershey Co/The

    221       51  

Hormel Foods Corp

    408       19  

J M Smucker Co/The

    154       24  

Kellogg Co

    343       24  

Keurig Dr Pepper Inc

    1,226       44  

Kimberly-Clark Corp

    473       64  

Kraft Heinz Co/The

    1,214       49  

Kroger Co/The

    911       41  

Lamb Weston Holdings Inc

    229       20  

McCormick & Co Inc/MD

    342       28  

Molson Coors Beverage Co, Cl B

    262       14  

Mondelez International Inc, Cl A

    1,967       131  

Monster Beverage Corp *

     572       58  

PepsiCo Inc

    1,997       361  

Philip Morris International Inc

    2,299       233  

Procter & Gamble Co/The

    3,444       522  

Sysco Corp, Cl A

    715       55  

Tyson Foods Inc, Cl A

    402       25  

Walgreens Boots Alliance Inc

    1,095       41  

Walmart Inc

    2,079       295  
                 
              3,350  

Energy — 0.5%

        

APA Corp

    471       22  

Baker Hughes Co, Cl A

    1,383       41  

Chevron Corp

    2,582       463  

ConocoPhillips

    1,842       217  

Coterra Energy Inc

    1,105       27  

Devon Energy Corp

    945       58  

Diamondback Energy Inc, Cl A

    256       35  

EOG Resources Inc

    875       113  

EQT Corp

    534       18  

Exxon Mobil Corp

    6,020       664  

Halliburton Co

    1,373       54  

Hess Corp

    422       60  

Kinder Morgan Inc

    3,003       54  

Marathon Oil Corp

    978       27  

Marathon Petroleum Corp

    657       77  

Noble Corp PLC *

     7,982       301  

Occidental Petroleum Corp

    1,076       68  

ONEOK Inc

    680       45  

Phillips 66

    724       75  

Pioneer Natural Resources Co

    344       79  

 

 

 

250

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Schlumberger Ltd, Cl A

    2,117     $ 113  

Summit Midstream Partners LP *

     28,458       475  

Targa Resources Corp

    327       24  

Valero Energy Corp

    573       73  

Williams Cos Inc/The

    1,868       61  
                 
              3,244  

Financials — 0.8%

        

Aflac Inc

    826       59  

Allstate Corp/The

    382       52  

American Express Co

    868       128  

American International Group Inc

    1,109       70  

Ameriprise Financial Inc

    156       49  

Aon PLC, Cl A

    300       90  

Arch Capital Group Ltd *

     543       34  

Arthur J Gallagher & Co

    319       60  

Aspect *(B)

     57       —  

Assurant Inc

    88       11  

Bank of America Corp

    10,104       335  

Bank of New York Mellon Corp/The

    1,136       52  

Berkshire Hathaway Inc, Cl B *

     2,637       815  

BlackRock Inc

    218       155  

Brown & Brown Inc

    387       22  

Capital One Financial Corp

    551       51  

Cboe Global Markets Inc

    152       19  

Charles Schwab Corp/The

    2,204       184  

Chubb Ltd

    601       133  

Cincinnati Financial Corp

    249       26  

Citigroup Inc

    2,885       131  

Citizens Financial Group Inc

    664       26  

CME Group Inc, Cl A

    538       91  

Comerica Inc

    213       14  

Discover Financial Services

    394       39  

Everest Re Group Ltd

    64       21  

FactSet Research Systems Inc

    51       20  

Fifth Third Bancorp

    1,042       34  

First Republic Bank/CA

    273       33  

Franklin Resources Inc

    359       10  

Globe Life Inc

    148       18  

Goldman Sachs Group Inc/The

    486       167  

Hartford Financial Services Group Inc/The

    504       38  

Huntington Bancshares Inc/OH

    1,954       28  

Intercontinental Exchange Inc

    838       86  

Invesco Ltd

    769       14  

JPMorgan Chase & Co

    4,264       572  

KeyCorp

    1,346       23  

Lincoln National Corp

    274       8  

Loews Corp

    335       20  

M&T Bank Corp

    249       36  

MarketAxess Holdings Inc

    43       12  

Marsh & McLennan Cos Inc

    744       123  

MetLife Inc

    970       70  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Moody's Corp

    226     $ 63  

Morgan Stanley

    1,933       164  

MSCI Inc, Cl A

    114       53  

Nasdaq Inc, Cl A

    471       29  

Northern Trust Corp

    284       25  

PNC Financial Services Group Inc/The

    586       93  

Principal Financial Group Inc, Cl A

    315       26  

Progressive Corp/The

    873       113  

Prudential Financial Inc

    523       52  

Raymond James Financial Inc

    264       28  

Regions Financial Corp

    1,271       27  

S&P Global Inc

    495       166  

Signature Bank/New York NY, Cl B

    105       12  

State Street Corp

    559       43  

SVB Financial Group, Cl B *

     90       21  

Synchrony Financial

    676       22  

T Rowe Price Group Inc

    351       38  

Travelers Cos Inc/The

    335       63  

Truist Financial Corp

    1,885       81  

US Bancorp

    2,025       88  

W R Berkley Corp

    343       25  

Wells Fargo & Co

    5,618       232  

Willis Towers Watson PLC

    153       37  

Zions Bancorp NA

    250       12  
                 
              5,492  

Health Care — 1.0%

        

Abbott Laboratories

    2,519       277  

AbbVie Inc

    2,566       415  

Agilent Technologies Inc

    420       63  

Align Technology Inc *

     112       24  

AmerisourceBergen Corp, Cl A

    226       37  

Amgen Inc, Cl A

    768       202  

Baxter International Inc

    769       39  

Becton Dickinson and Co

    426       108  

Biogen Inc *

     199       55  

Bio-Rad Laboratories Inc, Cl A *

     35       15  

Bio-Techne Corp

    264       22  

Boston Scientific Corp *

     2,144       99  

Bristol-Myers Squibb Co

    3,064       220  

Cardinal Health Inc

    366       28  

Catalent Inc *

     291       13  

Centene Corp *

     825       68  

Charles River Laboratories International Inc *

     86       19  

Cigna Corp

    451       149  

Cooper Cos Inc/The, Cl A

    71       23  

CVS Health Corp

    1,949       182  

Danaher Corp, Cl A

    970       257  

DaVita Inc *

     98       7  

DENTSPLY SIRONA Inc

    307       10  

Dexcom Inc *

     537       61  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

251

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Edwards Lifesciences Corp, Cl A *

     879     $ 66  

Elevance Health Inc

    343       176  

Eli Lilly & Co

    1,144       419  

Gilead Sciences Inc

    1,867       160  

HCA Healthcare Inc

    320       77  

Henry Schein Inc *

     227       18  

Hologic Inc *

     370       28  

Humana Inc

    189       97  

IDEXX Laboratories Inc *

     117       48  

Illumina Inc *

     242       49  

Incyte Corp *

     274       22  

Intuitive Surgical Inc *

     510       135  

IQVIA Holdings Inc *

     266       55  

Johnson & Johnson

    3,805       672  

Laboratory Corp of America Holdings

    141       33  

McKesson Corp

    204       77  

Medtronic PLC

    1,974       153  

Merck & Co Inc

    3,678       408  

Mettler-Toledo International Inc *

     30       43  

Moderna Inc *

     490       88  

Molina Healthcare Inc *

     84       28  

Organon & Co

    346       10  

PerkinElmer Inc

    171       24  

Pfizer Inc

    8,145       417  

Quest Diagnostics Inc

    175       27  

Regeneron Pharmaceuticals Inc *

     160       115  

ResMed Inc

    224       47  

STERIS PLC

    136       25  

Stryker Corp

    503       123  

Teleflex Inc

    77       19  

Thermo Fisher Scientific Inc

    567       312  

UnitedHealth Group Inc

    1,367       725  

Universal Health Services Inc, Cl B

    117       16  

Vertex Pharmaceuticals Inc *

     383       111  

Viatris Inc, Cl W *

     2,064       23  

Waters Corp *

     82       28  

West Pharmaceutical Services Inc

    113       27  

Zimmer Biomet Holdings Inc

    316       40  

Zoetis Inc, Cl A

    699       102  
                 
              7,436  

Industrials — 0.6%

        

3M Co

    828       99  

A O Smith Corp

    208       12  

Alaska Air Group Inc *

     188       8  

Allegion PLC

    146       15  

American Airlines Group Inc *

     1,042       13  

AMETEK Inc

    352       49  

Boeing Co/The *

     833       159  

Carrier Global Corp

    1,182       49  

Caterpillar Inc, Cl A

    766       184  

CH Robinson Worldwide Inc

    169       16  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cintas Corp

    121     $ 55  

Copart Inc *

     646       39  

CoStar Group Inc *

     571       44  

CSX Corp

    3,080       95  

Cummins Inc

    217       53  

Deere & Co

    396       170  

Delta Air Lines Inc, Cl A *

     875       29  

Dover Corp

    196       27  

Eaton Corp PLC

    597       94  

Emerson Electric Co

    837       80  

Equifax Inc

    185       36  

Expeditors International of Washington Inc

    226       24  

Fastenal Co, Cl A

    798       38  

FedEx Corp

    336       58  

Fortive Corp

    537       35  

Generac Holdings Inc *

     86       9  

General Dynamics Corp

    325       81  

General Electric Co

    1,636       137  

Honeywell International Inc

    968       207  

Howmet Aerospace Inc

    448       18  

Huntington Ingalls Industries Inc, Cl A

    70       16  

IDEX Corp

    102       23  

Illinois Tool Works Inc

    400       88  

Ingersoll Rand Inc

    553       29  

Jacobs Solutions Inc

    191       23  

JB Hunt Transport Services Inc

    139       24  

Johnson Controls International plc

    972       62  

L3Harris Technologies Inc

    271       56  

Leidos Holdings Inc

    216       23  

Lockheed Martin Corp

    336       163  

Masco Corp

    326       15  

Nordson Corp

    71       17  

Norfolk Southern Corp

    337       83  

Northrop Grumman Corp

    217       118  

Old Dominion Freight Line Inc, Cl A

    142       40  

Otis Worldwide Corp

    649       51  

PACCAR Inc

    529       52  

Parker-Hannifin Corp, Cl A

    197       57  

Pentair PLC

    269       12  

Quanta Services Inc

    195       28  

Raytheon Technologies Corp

    2,116       214  

Republic Services Inc

    316       41  

Robert Half International Inc

    184       14  

Rockwell Automation Inc

    177       46  

Rollins Inc

    285       10  

Snap-on Inc

    75       17  

Southwest Airlines Co, Cl A

    813       27  

Stanley Black & Decker Inc

    245       18  

Textron Inc

    286       20  

Trane Technologies PLC

    334       56  

TransDigm Group Inc

    72       45  

Union Pacific Corp

    905       187  

 

 

 

252

 

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SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

United Airlines Holdings Inc *

     552     $ 21  

United Parcel Service Inc, Cl B

    1,086       189  

United Rentals Inc

    98       35  

Verisk Analytics Inc, Cl A

    246       43  

Waste Management Inc

    540       85  

Westinghouse Air Brake Technologies Corp

    246       25  

WW Grainger Inc

    65       36  

Xylem Inc/NY

    243       27  
                 
              4,069  

Information Technology — 1.7%

        

Accenture PLC, Cl A

    909       243  

Adobe Inc *

     673       227  

Advanced Micro Devices Inc *

     2,402       156  

Akamai Technologies Inc *

     241       20  

Amphenol Corp, Cl A

    839       64  

Analog Devices Inc

    744       122  

ANSYS Inc *

     120       29  

Apple Inc

    21,842       2,838  

Applied Materials Inc

    1,257       122  

Arista Networks Inc *

     342       42  

Autodesk Inc, Cl A *

     306       57  

Automatic Data Processing Inc

    618       148  

Broadcom Inc

    598       334  

Broadridge Financial Solutions Inc

    173       23  

Cadence Design Systems Inc *

     388       62  

CDW Corp/DE

    204       36  

Ceridian HCM Holding Inc *

     251       16  

Cisco Systems Inc

    6,042       288  

Cognizant Technology Solutions Corp, Cl A

    727       42  

Corning Inc, Cl B

    1,133       36  

DXC Technology Co *

     313       8  

Enphase Energy Inc *

     189       50  

EPAM Systems Inc *

     78       26  

F5 Inc, Cl A *

     87       13  

Fidelity National Information Services Inc, Cl B

    864       59  

First Solar Inc *

     147       22  

Fiserv Inc, Cl A *

     923       93  

FleetCor Technologies Inc *

     104       19  

Fortinet Inc *

     934       46  

Gartner Inc *

     124       42  

Gen Digital Inc

    981       21  

Global Payments Inc

    393       39  

Hewlett Packard Enterprise Co

    1,939       31  

HP Inc

    1,313       35  

Intel Corp

    6,101       161  

International Business Machines Corp

    1,342       189  

Intuit Inc

    419       163  

Jack Henry & Associates Inc

    123       22  

Juniper Networks Inc

    521       17  

Keysight Technologies Inc *

     278       48  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

KLA Corp

    211     $ 79  

Lam Research Corp

    197       83  

Mastercard Inc, Cl A

    1,238       431  

Microchip Technology Inc

    779       55  

Micron Technology Inc

    1,582       79  

Microsoft Corp

    10,887       2,611  

Monolithic Power Systems Inc

    63       22  

Motorola Solutions Inc

    234       60  

NetApp Inc

    318       19  

NVIDIA Corp

    3,621       529  

NXP Semiconductors NV

    369       58  

ON Semiconductor Corp *

     602       38  

Oracle Corp, Cl B

    2,272       186  

Paychex Inc

    450       52  

Paycom Software Inc *

     65       20  

PayPal Holdings Inc *

     1,620       115  

PTC Inc *

     170       20  

Qlik *(B)

     3,600       —  

Qlik, Cl A *(B)

     56       57  

Qlik, Cl B *(B)

     13,812       —  

Qorvo Inc *

     111       10  

QUALCOMM Inc

    1,667       183  

Roper Technologies Inc

    149       64  

Salesforce Inc *

     1,475       196  

Seagate Technology Holdings PLC

    265       14  

ServiceNow Inc *

     302       117  

Skyworks Solutions Inc

    237       22  

SolarEdge Technologies Inc *

     86       24  

Synopsys Inc *

     216       69  

TE Connectivity Ltd

    452       52  

Teledyne Technologies Inc *

     68       27  

Teradyne Inc

    234       20  

Texas Instruments Inc

    1,313       217  

Trimble Inc *

     337       17  

Tyler Technologies Inc *

     69       22  

VeriSign Inc *

     140       29  

Visa Inc, Cl A

    2,375       493  

Western Digital Corp *

     524       16  

Zebra Technologies Corp, Cl A *

     77       20  
                 
              12,135  

Materials — 0.2%

        

Air Products and Chemicals Inc

    333       103  

Albemarle Corp

    177       38  

Amcor PLC

    2,230       27  

Arctic Canadian Diamond Company Ltd *(B)

     824       —  

Avery Dennison Corp

    109       20  

Ball Corp

    492       25  

Celanese Corp, Cl A

    144       15  

CF Industries Holdings Inc

    284       24  

Corteva Inc

    1,013       60  

Dow Inc

    1,017       51  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

253

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

DuPont de Nemours Inc

    678     $ 47  

Eastman Chemical Co

    133       11  

Ecolab Inc

    348       51  

FMC Corp

    209       26  

Freeport-McMoRan Inc, Cl B

    2,031       77  

International Flavors & Fragrances Inc

    389       41  

International Paper Co

    497       17  

Linde PLC

    716       234  

LyondellBasell Industries NV, Cl A

    354       29  

Martin Marietta Materials Inc, Cl A

    85       29  

Mosaic Co/The

    491       21  

Newmont Corp

    1,107       52  

Nucor Corp

    371       49  

Packaging Corp of America

    138       18  

PPG Industries Inc

    362       45  

Sealed Air Corp

    231       11  

Sherwin-Williams Co/The, Cl A

    338       80  

Steel Dynamics Inc

    244       24  

Vulcan Materials Co

    182       32  

Westrock Co

    376       13  
                 
              1,270  

Real Estate — 0.2%

        

Alexandria Real Estate Equities Inc ‡

     214       31  

American Tower Corp, Cl A ‡

     693       147  

AvalonBay Communities Inc ‡

     214       35  

Boston Properties Inc ‡

     203       14  

Camden Property Trust ‡

     162       18  

CBRE Group Inc, Cl A *

     464       36  

Crown Castle Inc ‡

     649       88  

Digital Realty Trust Inc, Cl A ‡

     436       44  

Equinix Inc ‡

     137       90  

Equity Residential ‡

     521       31  

Essex Property Trust Inc ‡

     95       20  

Extra Space Storage Inc ‡

     203       30  

Federal Realty Investment Trust ‡

     92       9  

Healthpeak Properties Inc ‡

     771       19  

Host Hotels & Resorts Inc ‡

     1,182       19  

Invitation Homes Inc ‡

     837       25  

Iron Mountain Inc ‡

     445       22  

Kimco Realty Corp ‡

     900       19  

Mid-America Apartment Communities Inc ‡

     157       25  

Prologis Inc ‡

     1,373       155  

Public Storage ‡

     228       64  

Realty Income Corp ‡

     935       59  

Regency Centers Corp ‡

     251       16  

SBA Communications Corp, Cl A ‡

     151       42  

Simon Property Group Inc ‡

     507       60  

UDR Inc ‡

     495       19  

Ventas Inc ‡

     545       24  

VICI Properties Inc ‡

     1,340       43  

Vornado Realty Trust ‡

     297       6  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Welltower Inc ‡

     670     $ 44  

Weyerhaeuser Co ‡

     1,135       35  
                 
              1,289  

Utilities — 0.2%

        

AES Corp/The

    1,094       31  

Alliant Energy Corp

    413       23  

Ameren Corp

    355       32  

American Electric Power Co Inc

    723       69  

American Water Works Co Inc

    276       42  

Atmos Energy Corp

    222       25  

CenterPoint Energy Inc

    856       26  

CMS Energy Corp

    431       27  

Consolidated Edison Inc

    540       52  

Constellation Energy Corp

    447       39  

Dominion Energy Inc

    1,202       74  

DTE Energy Co

    267       31  

Duke Energy Corp

    1,150       118  

Edison International

    526       33  

Entergy Corp

    279       31  

Evergy Inc

    379       24  

Eversource Energy

    523       44  

Exelon Corp

    1,500       65  

FirstEnergy Corp

    782       33  

NextEra Energy Inc

    2,913       244  

NiSource Inc

    636       17  

NRG Energy Inc

    400       13  

PG&E Corp *

     2,322       38  

Pinnacle West Capital Corp

    199       15  

PPL Corp

    1,005       29  

Public Service Enterprise Group Inc

    773       47  

Sempra Energy

    443       68  

Southern Co/The

    1,588       113  

WEC Energy Group Inc

    480       45  

Xcel Energy Inc

    827       58  
                 
              1,506  

Total Common Stock

               

(Cost $23,806) ($ Thousands)

             48,396  
                 
                 
   

Face Amount
(Thousands)

          

ASSET-BACKED SECURITIES — 4.6%

Other Asset-Backed Securities — 4.6%

        
         

Aimco CLO 12, Ser 2022-12A, Cl DR

                

6.764%, TSFR3M + 2.900%, 01/17/2032(A)(C)

   $ 360       332  

Apidos CLO XXII, Ser 2020-22A, Cl DR

                

10.993%, ICE LIBOR USD 3 Month + 6.750%, 04/20/2031(A)(C)

     1,380       1,213  

 

 

 

254

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Benefit Street Partners CLO IV, Ser 2021-IVA, Cl CRRR

                

7.843%, ICE LIBOR USD 3 Month + 3.600%, 01/20/2032(A)(C)

   $ 340     $ 314  

BlueMountain CLO XXIX, Ser 2021-29A, Cl ER

                

11.218%, ICE LIBOR USD 3 Month + 6.860%, 07/25/2034(A)(C)

     890       784  

Bristol Park CLO, Ser 2020-1A, Cl ER

                

11.079%, ICE LIBOR USD 3 Month + 7.000%, 04/15/2029(A)(C)

     500       432  

Canyon Capital CLO, Ser 2021-1A, Cl E

                

10.489%, ICE LIBOR USD 3 Month + 6.410%, 04/15/2034(A)(C)

     280       236  

Carlyle Global Market Strategies CLO, Ser 2018-2RA, Cl A1

                

5.656%, ICE LIBOR USD 3 Month + 1.050%, 05/15/2031(A)(C)

     1,045       1,027  

Carlyle US CLO, Ser 2021-2A, Cl DR

                

10.579%, ICE LIBOR USD 3 Month + 6.500%, 07/15/2032(A)(C)

     1,600       1,405  

Cathedral Lake VI, Ser 2021-6A, Cl E

                

11.568%, ICE LIBOR USD 3 Month + 7.210%, 04/25/2034(A)(C)

     300       258  

Cathedral Lake VII, Ser 2021-7RA, Cl D

                

8.359%, ICE LIBOR USD 3 Month + 4.280%, 01/15/2032(A)(C)

     700       652  

Catskill Park CLO, Ser 2017-1A, Cl D

                

10.243%, ICE LIBOR USD 3 Month + 6.000%, 04/20/2029(A)(C)

     900       764  

CIFC Funding, Ser 2017-3A, Cl C

                

7.893%, ICE LIBOR USD 3 Month + 3.650%, 07/20/2030(A)(C)

     690       649  

Copper River CLO, Ser 2006-1A

                

0.000%, 01/20/2021(A)(H)

     3,000       177  

Countrywide Asset-Backed Certificates, Ser 2006-12, Cl 1A

                

4.649%, ICE LIBOR USD 1 Month + 0.260%, 12/25/2036(C)

     1,034       943  

CQS US CLO, Ser 2021-1A, Cl D1

                

7.793%, ICE LIBOR USD 3 Month + 3.550%, 01/20/2035(A)(C)

     1,850       1,695  

Dryden LXXV CLO, Ser 2021-75A, Cl ER2

                

10.679%, ICE LIBOR USD 3 Month + 6.600%, 04/15/2034(A)(C)

     770       655  

Dryden XLIII Senior Loan Fund, Ser 2021-43A, Cl ER3

                

10.643%, ICE LIBOR USD 3 Month + 6.400%, 04/20/2034(A)(C)

     330       286  

Eaton Vance CLO, Ser 2021-2A, Cl ER

                

10.579%, ICE LIBOR USD 3 Month + 6.500%, 01/15/2035(A)(C)

     500       433  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Educational Funding, Ser 2006-1A, Cl A3

                

4.708%, ICE LIBOR USD 3 Month + 0.350%, 04/25/2033(A)(C)

   $ 653     $ 478  

Fortress Credit BSL XII, Ser 2021-4A, Cl E

                

11.209%, ICE LIBOR USD 3 Month + 7.130%, 10/15/2034(A)(C)

     250       218  

Golub Capital Partners CLO LIII, Ser 2021-53A, Cl E

                

10.943%, ICE LIBOR USD 3 Month + 6.700%, 07/20/2034(A)(C)

     410       359  

GoodLeap Sustainable Home Solutions Trust, Ser 2021-4GS, Cl A

                

1.930%, 07/20/2048(A)

     142       108  

GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B

                

2.940%, 01/20/2049(A)

     91       67  

Halsey Point CLO I, Ser 2019-1A, Cl F

                

12.443%, ICE LIBOR USD 3 Month + 8.200%, 01/20/2033(A)(C)

     290       238  

Hardee's Funding, Ser 2021-1A, Cl A2

                

2.865%, 06/20/2051(A)

     158       126  

HGI CRE CLO, Ser 2021-FL1, Cl C

                

6.026%, ICE LIBOR USD 1 Month + 1.700%, 06/16/2036(A)(C)

     330       309  

Jay Park CLO, Ser 2018-1A, Cl DR

                

9.443%, ICE LIBOR USD 3 Month + 5.200%, 10/20/2027(A)(C)

     590       535  

Marathon CLO II, Ser 2005-2A

                

0.000%, 12/20/2019(A)(B)(H)

     750       –  

Marathon CLO, Ser 2019-2A, Cl BA

                

7.543%, ICE LIBOR USD 3 Month + 3.300%, 01/20/2033(A)(C)

     330       307  

Neuberger Berman Loan Advisers CLO 33, Ser 2021-33A, Cl DR

                

6.979%, ICE LIBOR USD 3 Month + 2.900%, 10/16/2033(A)(C)

     500       462  

Neuberger Berman Loan Advisers CLO 44, Ser 2021-44A, Cl E

                

10.079%, ICE LIBOR USD 3 Month + 6.000%, 10/16/2034(A)(C)

     490       431  

Neuberger Berman Loan Advisers CLO 49, Ser 2022-49A, Cl D

                

7.460%, TSFR3M + 3.400%, 07/25/2034(A)(C)

     2,975       2,767  

Oaktree CLO, Ser 2019-1A, Cl D

                

8.125%, ICE LIBOR USD 3 Month + 3.800%, 04/22/2030(A)(C)

     250       214  

Ocean Trails CLO X, Ser 2021-10A, Cl ER

                

11.649%, ICE LIBOR USD 3 Month + 7.570%, 10/15/2034(A)(C)

     590       505  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

255

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

OCP CLO, Ser 2022-24A, Cl D

                

5.461%, TSFR3M + 3.800%, 07/20/2035(A)(C)

   $ 3,200     $ 3,007  

OZLM XI, Ser 2017-11A, Cl BR

                

6.715%, ICE LIBOR USD 3 Month + 2.300%, 10/30/2030(A)(C)

     600       578  

Palmer Square Loan Funding, Ser 2022-3A, Cl C

                

9.405%, TSFR3M + 5.400%, 04/15/2031(A)(C)

     670       639  

Parallel, Ser 2020-1A, Cl CR

                

6.243%, ICE LIBOR USD 3 Month + 2.000%, 07/20/2029(A)(C)

     750       714  

Peace Park CLO, Ser 2021-1A, Cl E

                

10.243%, ICE LIBOR USD 3 Month + 6.000%, 10/20/2034(A)(C)

     400       351  

RR, Ser 2021-18A, Cl D

                

10.329%, ICE LIBOR USD 3 Month + 6.250%, 10/15/2034(A)(C)

     750       670  

Sculptor CLO XXVI, Ser 2021-26A, Cl E

                

11.493%, ICE LIBOR USD 3 Month + 7.250%, 07/20/2034(A)(C)

     450       394  

SMB Private Education Loan Trust, Ser 2021-A, Cl D1

                

3.860%, 01/15/2053(A)

     690       620  

Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL4, Cl M1

                

4.959%, ICE LIBOR USD 1 Month + 0.570%, 10/25/2036(A)(C)

     1,066       1,037  

Sunnova Helios II, Ser 2019-AA, Cl C

                

5.320%, 06/20/2046(A)

     437       376  

Sunrun Atlas Issuer, Ser 2019-2, Cl A

                

3.610%, 02/01/2055(A)

     394       346  

Symphony CLO 37, Ser 2022-37A, Cl A1A

                

6.546%, TSFR3M + 2.300%, 10/20/2034(A)(C)

     660       663  

Symphony CLO XIX, Ser 2018-19A, Cl E

                

9.279%, ICE LIBOR USD 3 Month + 5.200%, 04/16/2031(A)(C)

     250       204  

TCI-Symphony CLO, Ser 2021-1A, Cl ER2

                

10.691%, ICE LIBOR USD 3 Month + 6.750%, 10/13/2032(A)(C)

     730       638  

Tikehau US CLO I, Ser 2021-1A, Cl E

                

11.104%, ICE LIBOR USD 3 Month + 6.910%, 01/18/2035(A)(C)

     1,200       1,021  

TSTAT, Ser 2022-2A, Cl C

                

9.313%, TSFR3M + 4.800%, 01/20/2031(A)(C)

     480       480  

Voya CLO, Ser 2018-3A, Cl A1A

                

5.229%, ICE LIBOR USD 3 Month + 1.150%, 10/15/2031(A)(C)

     250       247  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Voya CLO, Ser 2021-3A, Cl DR

                

11.193%, ICE LIBOR USD 3 Month + 6.950%, 04/20/2034(A)(C)

   $ 260     $ 232  

Whitehorse XII, Ser 2018-12A, Cl D

                

7.729%, ICE LIBOR USD 3 Month + 3.650%, 10/15/2031(A)(C)

     250       231  

Z Capital Credit Partners CLO, Ser 2021-1A, Cl D

                

8.279%, ICE LIBOR USD 3 Month + 4.200%, 07/15/2033(A)(C)

     450       410  
                 
                 

Total Asset-Backed Securities

                

(Cost $39,031) ($ Thousands)

             32,237  
                 
   


Shares

          

PREFERRED STOCK — 0.4%
                 

Energy — 0.4%

        

MPLX, 8.462% *(B)(D)

     70,655       2,544  
                 
                 

Financials — 0.0%

        

B Riley Financial, 5.500%

    15,750       321  
                 

Total Preferred Stock

               

(Cost $2,690) ($ Thousands)

             2,865  
                 
                 
   

Face Amount
(Thousands)

          

CONVERTIBLE BONDS — 0.4%

Alarm.com Holdings

                

0.000%, 01/15/2026(I)(H)

   $ 57       46  

Apollo Commercial Real Estate Finance

                

5.375% , 10/15/2023

     400       389  

Cinemark Holdings

                

4.500% , 08/15/2025

     775       740  

DISH Network

                

3.375% , 08/15/2026

     860       539  

DraftKings Holdings

                

0.000%, 03/15/2028(I)(H)

     840       520  

Gannett

                

6.000% , 12/01/2027

     240       179  

Liberty Latin America

                

2.000% , 07/15/2024

     140       124  

Liberty TripAdvisor Holdings

                

0.500% , 06/30/2051(A)

     70       50  

Spirit Airlines

                

1.000% , 05/15/2026

     40       32  
                 

Total Convertible Bonds

                

(Cost $3,081) ($ Thousands)

             2,619  
                 
                 

 

 

 

256

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BOND — 0.0%

Illinois — 0.0%

        

Illinois State, Build America Bonds, GO

               

7.350%, 07/01/2035

  $ 209     $ 220  
                 
                 

Total Municipal Bond

                
                 

(Cost $230) ($ Thousands)

             220  
                 
                 
      Number of
Warrants		          

WARRANTS — 0.0%

Noble, Expires 02/07/2028

                

Strike Price $19.27 *

     2,787       62  

Noble, Expires 02/07/2028

                

Strike Price $23.13 *

     2,787       56  
                 
                 

Total Warrants

                

(Cost $13) ($ Thousands)

             118  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Intelsat Jackson Holdings *‡‡(B)

     4,712     $ –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 

PURCHASED OPTIONS — 0.1%

Total Purchased Options

               

(Cost $550) ($ Thousands)

             591  
                 
                 

Total Investments in Securities — 92.0%

                

(Cost $724,252) ($ Thousands)

  $ 647,377  
                 
                 

WRITTEN OPTIONS — (0.1)%

Total Written Options

               

(Premiums Received $2,839) ($ Thousands)

           $ (906 )
                 
                 

 

 
 

 

A list of the open exchange traded options contracts held by the Fund at December 31, 2022 is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTIONS — 0.1%

                                

Put Options

                                        

USD Put

     4,100,000     $ 80,541     $ 19.64       3/18/2023     $ 67  

USD Put

     2,800,000       6,720       2.40       7/22/2023       15  

USD Put

     2,630,000       7,101       2.70       5/21/2033       13  
                                         
              94,362                       95  
                                       
                                       

Call Options

                                        

December 2023, IMM Eurodollar Future Option

     6     $ 1,485       99.00       12/16/2023     $ –  

USD Call

     2,820,000       7,896       2.80       8/19/2023       194  

USD Call

     2,820,000       8,347       2.96       9/16/2023       169  

USD Put

     2,600,000       7,800       3.00       5/20/2023       133  
                                         
              25,528                       496  
                                       
                                       

Total Purchased Options

           $ 119,890                     $ 591  

WRITTEN OPTIONS — (0.1)%

                                

Put Options

                                        

USD Put

     (2,630,000 )   $ (5,293 )     2.01       05/21/33     $ (3 )

USD Put

     (2,800,000 )     (4,900 )     1.75       07/22/23       (5 )

USD Put

     (2,630,000 )     (6,197 )     2.36       05/21/33       (6 )

USD Put

     (2,800,000 )     (5,810 )     2.08       07/22/23       (9 )

USD Put

     (1,700,000 )     (1,185 )     0.70       02/18/23       (11 )
                                       
            $ (23,385 )                     (34 )
                                         
                                         

Call Options

                                        

S&P 500 IndexS&P 500 E-mini Option

     (95 )   $ (38,142 )     4,015.00       01/21/23     $ (142 )

S&P 500 IndexS&P 500 E-mini Option

     (94 )     (37,271 )     3,965.00       01/21/23       (247 )

USD Call

     (2,820,000 )     (10,857 )     3.85       09/16/23       (65 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

257

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

WRITTEN OPTIONS (continued)

                                

USD Call

     (2,820,000 )     (10,321 )   $ 3.66       08/19/23       (78 )

USD Call

     (2,820,000 )     (9,602 )     3.41       09/16/23       (107 )

USD Call

     (2,820,000 )     (9,109 )     3.23       08/19/23       (127 )

USD Put

     (2,600,000 )     (10,117 )     3.89       05/20/23       (34 )

USD Put

     (2,600,000 )     (8,958 )     3.45       05/20/23       (72 )
                                       
            $ (134,377 )                     (872 )
                                         
                                         

Total Written Options

           $ (157,762 )                   $ (906 )
                                         
                                         

 

A list of the open futures contracts held by the Fund at December 31, 2022 is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

90-Day Euro$

     411       Dec-2023     $ 99,969     $ 97,828     $ (2,140 )

Australian 10-Year Bond

     24       Mar-2023       1,979       1,883       (107 )

Euro-Bobl

     5       Mar-2023       628       618       (23 )

Long Gilt 10-Year Bond

     26       Mar-2023       3,307       3,124       (174 )

S&P 500 Index E-MINI

     124       Mar-2023       24,743       23,938       (805 )

3 Month SOFR

     4       Sep-2023       965       950       (14 )

3 Month SOFR

     57       Mar-2025       13,769       13,774       5  

U.S. 2-Year Treasury Note

     130       Mar-2023       26,630       26,660       30  

U.S. 2-Year Treasury Note

     412       Mar-2023       84,509       84,492       (17 )

U.S. 5-Year Treasury Note

     134       Mar-2023       14,488       14,463       (25 )

U.S. 10-Year Treasury Note

     371       Mar-2023       41,797       41,662       (135 )

U.S. Long Treasury Bond

     122       Mar-2023       15,461       15,292       (169 )

U.S. Ultra Long Treasury Bond

     251       Mar-2023       34,002       33,713       (290 )

Ultra 10-Year U.S. Treasury Note

     84       Mar-2023       10,005       9,936       (69 )
                      372,252       368,333       (3,933 )

Short Contracts

                                        

U.S. 5-Year Treasury Note

     (183 )     Mar-2023     $ (19,799 )   $ (19,751 )   $ 47  
                    $ 352,453     $ 348,582     $ (3,886 )

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Citigroup

     02/23/23       GBP       1,309       USD       1,614     $ 37  

Credit Suisse First Boston

     03/06/23       USD       409       MXN       8,185       6  

Goldman Sachs

     01/18/23       USD       1,403       AUD       2,230       111  

Goldman Sachs

     01/18/23       GBP       9,879       USD       11,487       (401 )

Goldman Sachs

     01/18/23       MXN       28,990       USD       1,418       (65 )

Goldman Sachs

     01/18/23       JPY       196,550       USD       1,505       11  

Goldman Sachs

     01/18/23       JPY       160,640       USD       1,104       (116 )

JPMorgan Chase Bank

     01/06/23       EUR       17,122       USD       16,997       (1,284 )

JPMorgan Chase Bank

     01/18/23       USD       9       NZD       16       1  

JPMorgan Chase Bank

     01/18/23       USD       725       BRL       3,930       17  

JPMorgan Chase Bank

     01/18/23       BRL       937       USD       175       (1 )

JPMorgan Chase Bank

     01/18/23       CNY       2,870       USD       405       (10 )

JPMorgan Chase Bank

     01/18/23       NOK       3,340       USD       342       2  

JPMorgan Chase Bank

     01/18/23       USD       4,172       JPY       597,387       367  

JPMorgan Chase Bank

     01/18/23       CNH       9,180       USD       1,315       (14 )

JPMorgan Chase Bank

     01/18/23       MXN       22,487       USD       1,102       (47 )

 

 

 

258

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

JPMorgan Chase Bank

     01/18/23       JPY       26,780       USD       184     $ (20 )

JPMorgan Chase Bank

     01/18/23       IDR       93,637,960       USD       6,134       89  

JPMorgan Chase Bank

     02/21/23       USD       626       AUD       923       1  

JPMorgan Chase Bank

     02/21/23       AUD       1,360       USD       924       —  

Morgan Stanley

     01/18/23       AUD       19       USD       12       (1 )

Morgan Stanley

     01/18/23       USD       1,560       JPY       208,410       24  

Morgan Stanley

     01/18/23       CAD       1,861       USD       1,355       (19 )

Morgan Stanley

     01/18/23       USD       2,623       AUD       4,061       132  

Morgan Stanley

     01/18/23       USD       3,105       GBP       2,786       248  

Morgan Stanley

     01/18/23       EUR       3,621       USD       3,638       (231 )

Morgan Stanley

     01/18/23       USD       3,964       MXN       80,031       128  

Morgan Stanley

     01/18/23       USD       4,044       NOK       43,267       353  

Morgan Stanley

     01/18/23       USD       5,072       CAD       6,926       41  

Morgan Stanley

     03/08/23       MXN       32,335       USD       1,609       (30 )
                                            $ (671 )

 

A list of the open centrally cleared swap agreements held by the Fund at December 31, 2022 is as follows:

 

Credit Default Swaps - Buy Protection

      

Reference Entity/ Obligation

  

Pay Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDS-CDX.NA.IG.3912/27@500

     5.00%       Quarterly       12/20/2027     $ 3,753     $ (22 )   $ 146     $ (168 )

CDS-DAIGR@100BP5.1Y

     1.00%       Quarterly       12/20/2024       1,290       (13 )     (11 )     (2 )

CDS-DIS@100BP5.1Y

     1.00%       Quarterly       09/15/2024       940       (12 )     (12 )     –  

CDS-GM@500BP4.9Y

     5.00%       Quarterly       06/20/2026       1,450       (141 )     (196 )     55  
                                    $ (188 )   $ (73 )   $ (115 )

 

Credit Default Swaps - Sell Protection

      

Reference Entity/ Obligation

  

Receive Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDS-F@500BPS 4.9Y

     5.00%       Quarterly       06/20/2026     $ 1,450     $ 74     $ 146     $ (72 )

CDS-NFLX@500BP5.1Y

     5.00%       Quarterly       12/20/2027       940       147       144       3  

CDS-VW@100BP5.1Y

     1.00%       Quarterly       12/20/2024       1,290       2       6       (4 )

ICE CD BA 1.00 20JUN24 P

     1.00%       Quarterly       06/20/2024       525       –       4       (4 )

ICE CD CDXIG533 1.00 20DE

     1.00%       Quarterly       12/20/2024       2,375       17       24       (7 )

ICE CD CDXIG534 1.00 20JU

     1.00%       Quarterly       06/20/2025       26,200       168       195       (27 )

ICE CD CHILE 1.00 20DEC27

     1.00%       Quarterly       12/20/2027       210       –       (3 )     3  

ICE CD CXPHY530 5.00 20JU

     5.00%       Quarterly       06/20/2023       15,916       205       113       92  

ICE CD CXPHY534 5.00 20JU

     5.00%       Quarterly       06/25/2025       6,092       139       (117 )     256  

ICE CD GE 1.00 20JUN26 P

     1.00%       Quarterly       06/20/2026       1,175       7       13       (6 )

ICE CD PERU 1.00 20DEC27

     1.00%       Quarterly       12/20/2027       560       (5 )     (3 )     (2 )

ICE CD PERU 1.00 20JUN27

     1.00%       Quarterly       06/20/2027       420       (2 )     5       (7 )

ICE CD PHILIP 1.00 20DEC2

     1.00%       Quarterly       12/20/2027       390       –       (5 )     5  

ICE CD US91087BAC46 1.00

     1.00%       Quarterly       12/20/2027       1,160       (9 )     (30 )     21  
                                    $ 743     $ 492     $ 251  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

259

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Continued)

 

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

5.80%

     BZDIOVRA       Monthly       01/02/2023       BRL       11,150     $ –     $ (1 )   $ –  

BZDIOVRA

     10.565%       Monthly       01/02/2023       BRL       4,810       –       –       –  

BZDIOVRA

     12.40%       Monthly       01/02/2023       BRL       4,280       (1 )     –       (1 )

BZDIOVRA

     12.30%       Monthly       01/02/2024       BRL       1,690       (4 )     1       (4 )

11.814%

     BZDIOVRA       Monthly       01/02/2024       BRL       12,765       (33 )     5       (38 )

12.795%

     BZDIOVRA       Monthly       01/02/2024       BRL       7,200       8       –       8  

BZDIOVRA

     11.488%       Monthly       01/02/2025       BRL       4,360       (18 )     –       (17 )

13.3%

     BZDIOVRA       Monthly       01/02/2025       BRL       4,360       (9 )     –       (9 )

10.95%

     BZDIOVRA       Monthly       01/02/2025       BRL       4,140       26       (1 )     27  

11.23%

     BZDIOVRA       Monthly       01/04/2027       BRL       3,820       29       28       1  

3.00%

     SONIO       Monthly       01/02/2024       BRL       13,190       11       –       11  

9.25%

     MXIBTIIE       Monthly       03/12/2025       MXN       41,225       12       (4 )     16  

28-DAY MXN - TIIE

     7.2%       Monthly       07/17/2024       MXN       365,383       (847 )     –       (847 )

2.65%

     USD-SOFR-OIS       Annually       08/15/2047       USD       3,625       395       41       354  

2.51% FIXED

     USD-SOFR-OIS       Annually       02/15/2048       USD       1,290       170       23       147  

3.85% FIXED

     SD-SOFR-OIS       Annually       06/30/2029       USD       4,348       (60 )     5       (65 )

3.05%

     SD-SOFR-OIS       Annually       02/15/2048       USD       1,668       68       51       17  

CNRR007

     2.50%       Quarterly       03/15/2028       CNY       9,390       (17 )     (26 )     9  

3.00%

     EUR006M       Annually       03/15/2026       EUR       3,200       33       (27 )     60  

3.00%

     EUR006M       Annually       03/15/2028       EUR       1,270       17       (25 )     42  

3.00%

     EUR006M       Annually       03/15/2030       EUR       3,390       50       (99 )     149  

3.00%

     EUR006M       Annually       03/15/2033       EUR       2,610       51       (96 )     147  

2.75%

     EUR006M       Annually       03/15/2043       EUR       350       10       (21 )     31  

2.25%

     EUR006M       Annually       03/15/2053       EUR       270       16       (17 )     33  

3.00%

     SONIO       Annually       03/15/2033       GBP       460       31       10       21  

CNRR007

     2.50%       Quarterly       03/15/2025       KRW       703,200       (8 )     (6 )     (2 )

CNRR007

     2.50%       Quarterly       03/15/2028       KRW       2,383,810       80       91       (11 )

CNRR007

     2.50%       Quarterly       03/15/2033       KRW       619,830       (31 )     (34 )     3  

MXIBTIIE

     8.25%       Monthly       03/02/2033       MXN       13,535       (19 )     (2 )     (17 )

WIBR6M

     5.50%       Semi-Annually       03/15/2033       PLN       5,350       (53 )     (6 )     (47 )

3.75%

     SOFRRATE       Annually       03/15/2033       USD       2,570       (46 )     (103 )     56  

SOFRRATE

     3.35%       Annually       10/26/2027       USD       19,420       47       (68 )     115  

3.24%

     SOFRRATE       Annually       10/26/2035       USD       4,520       32       115       (83 )

8.25%

     JIBA3M       Quarterly       03/15/2025       ZAR       28,275       (12 )     (9 )     (3 )

JIBA3M

     9.50%       Quarterly       03/15/2033       ZAR       7,580       7       2       5  
                                            $ (65 )   $ (173 )   $ 108  

 

 

 

Percentages are based on Net Assets of $703,799 ($ Thousands).

*

Non-income producing security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $300,987 ($ Thousands), representing 42.8% of the Net Assets of the Fund.

(B)

Level 3 security in accordance with fair value hierarchy.

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(D)

Perpetual security with no stated maturity date.

(E)

Security is in default on interest payment.

(F)

Unsettled bank loan. Interest rate may not be available.

 

(G)

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(H)

Zero coupon security.

(I)

The rate shown on the Schedule of Investments is the security's effective yield at the time of purchase.

 

 

 

260

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Income Fund (Concluded)

 

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

261

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 57.8%

U.S. Treasury Bills

               

3.926%, 02/07/2023 ^(A)

   $ 7,000     $ 6,974  

3.911%, 01/24/2023 ^(A)

     12,000       11,973  

3.907%, 01/19/2023 ^(A)

     12,000       11,980  

3.862%, 02/02/2023 ^(A)

     8,000       7,975  

3.792%, 01/26/2023 ^(A)

     9,500       9,476  

3.713%, 01/10/2023 ^(A)

     2,500       2,498  

3.699%, 01/12/2023 ^(A)

     12,000       11,990  

3.298%, 08/10/2023 ^(A)

     400       389  

3.121%, 06/15/2023 ^(A)

     500       490  

U.S. Treasury Inflation Protected Securities

               

0.375%, 07/15/2027

    115,349       108,708  

0.125%, 07/15/2024

    185,929       179,930  

0.125%, 07/15/2026

    80,375       75,735  

U.S. Treasury Notes

               

4.600%, US Treasury 3 Month Bill Money Market Yield + 0.140%, 10/31/2024 ^(B)

     1,700       1,698  

4.497%, US Treasury 3 Month Bill Money Market Yield + 0.037%, 07/31/2024 ^(B)

     1,800       1,798  

4.495%, US Treasury 3 Month Bill Money Market Yield + 0.035%, 10/31/2023 ^(B)

     6,000       6,005  

4.494%, US Treasury 3 Month Bill Money Market Yield + 0.034%, 04/30/2023 ^(B)

     1,900       1,901  

4.489%, US Treasury 3 Month Bill Money Market Yield + 0.029%, 07/31/2023 ^(B)

     19,400       19,416  

4.445%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024 ^(B)

     10,600       10,600  

4.385%, US Treasury 3 Month Bill Money Market Yield + -0.075%, 04/30/2024 ^(B)

     5,000       4,990  

0.125%, 04/30/2023 ^

     400       395  
         

Total U.S. Treasury Obligations

        

(Cost $478,303) ($ Thousands)

     474,921  
                 
                 
   


Shares

          

COMMON STOCK — 32.0%
                 

Communication Services — 2.5%

        

Activision Blizzard Inc

    7,494       574  

Alphabet Inc, Cl A *

     33,778       2,980  

Alphabet Inc, Cl C *

     30,323       2,691  

AMC Entertainment Holdings Inc, Cl A

    4,023       16  

AT&T Inc

    139,184       2,562  

Cogent Communications Holdings Inc

    692       40  

Electronic Arts Inc

    2,575       315  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Frontier Communications Parent Inc *

     4,601     $ 117  

Iridium Communications Inc

    2,456       126  

Liberty Media Corp-Liberty Formula One, Cl C *

     3,034       181  

Live Nation Entertainment Inc *

     1,363       95  

Lumen Technologies Inc

    21,486       112  

Madison Square Garden Sports Corp

    400       73  

Match Group Inc *

     2,113       88  

Meta Platforms Inc, Cl A *

     12,689       1,527  

Netflix Inc *

     4,507       1,329  

Pinterest Inc, Cl A *

     4,092       99  

ROBLOX Corp, Cl A *

     4,174       119  

Roku Inc, Cl A *

     1,123       46  

Shenandoah Telecommunications Co

    3,574       57  

Spotify Technology SA *

     1,473       116  

Take-Two Interactive Software Inc, Cl A *

     1,745       182  

Telephone and Data Systems Inc

    4,900       51  

T-Mobile US Inc *

     11,487       1,608  

Verizon Communications Inc

    81,875       3,226  

Walt Disney Co/The *

     18,999       1,651  

Warner Bros Discovery Inc *

     22,900       217  

World Wrestling Entertainment Inc, Cl A

    700       48  

ZoomInfo Technologies Inc, Cl A *

     1,100       33  
                 
              20,279  

Consumer Staples — 8.1%

        

Albertsons Cos Inc, Cl A

    4,285       89  

Altria Group Inc

    48,862       2,233  

Archer-Daniels-Midland Co

    15,401       1,430  

B&G Foods Inc, Cl A

    3,300       37  

Beauty Health Co/The *

     2,868       26  

BellRing Brands Inc *

     4,762       122  

BJ's Wholesale Club Holdings Inc *

     3,776       250  

Boston Beer Co Inc/The, Cl A *

     243       80  

Brown-Forman Corp, Cl A

    1,099       72  

Brown-Forman Corp, Cl B

    5,275       346  

Bunge Ltd

    3,815       381  

Cal-Maine Foods Inc

    1,129       61  

Campbell Soup Co

    5,679       322  

Casey's General Stores Inc

    970       218  

Celsius Holdings Inc *

     1,363       142  

Central Garden & Pet Co, Cl A *

     2,184       78  

Chefs' Warehouse Inc/The *

     1,682       56  

Church & Dwight Co Inc

    6,899       556  

Clorox Co/The

    3,611       507  

Coca-Cola Co/The

    103,838       6,605  

Coca-Cola Consolidated Inc

    157       80  

Colgate-Palmolive Co

    21,989       1,733  

Conagra Brands Inc

    13,166       510  

Constellation Brands Inc, Cl A

    4,166       965  

Costco Wholesale Corp

    11,778       5,377  

Coty Inc, Cl A *

     10,194       87  

 

 

 

262

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Darling Ingredients Inc *

     4,551     $ 285  

Edgewell Personal Care Co

    1,789       69  

elf Beauty Inc *

     1,576       87  

Energizer Holdings Inc

    1,357       45  

Estee Lauder Cos Inc/The, Cl A

    5,655       1,403  

Flowers Foods Inc

    4,878       140  

Fresh Del Monte Produce Inc

    2,200       58  

Freshpet Inc *

     1,169       62  

General Mills Inc

    16,119       1,352  

Grocery Outlet Holding Corp *

     1,963       57  

Hain Celestial Group Inc/The *

     2,012       33  

Herbalife Nutrition Ltd *

     2,363       35  

Hershey Co/The

    4,053       939  

Hormel Foods Corp

    7,971       363  

Hostess Brands Inc, Cl A *

     3,673       82  

Ingles Markets Inc, Cl A

    600       58  

Ingredion Inc

    2,033       199  

Inter Parfums Inc

    400       39  

J & J Snack Foods Corp

    319       48  

J M Smucker Co/The

    2,613       414  

Kellogg Co

    7,206       513  

Keurig Dr Pepper Inc

    23,458       836  

Kimberly-Clark Corp

    9,271       1,259  

Kraft Heinz Co/The

    19,198       782  

Kroger Co/The

    17,182       766  

Lamb Weston Holdings Inc

    3,880       347  

Lancaster Colony Corp

    536       106  

McCormick & Co Inc/MD

    6,540       542  

Medifast Inc

    269       31  

MGP Ingredients Inc

    300       32  

Molson Coors Beverage Co, Cl B

    5,332       275  

Mondelez International Inc, Cl A

    36,444       2,429  

Monster Beverage Corp *

     9,758       991  

National Beverage Corp, Cl A *

     1,176       55  

Nu Skin Enterprises Inc, Cl A

    1,131       48  

Olaplex Holdings Inc *

     3,561       19  

PepsiCo Inc

    36,761       6,641  

Performance Food Group Co *

     4,283       250  

Philip Morris International Inc

    41,189       4,169  

Pilgrim's Pride Corp *

     1,264       30  

Post Holdings Inc *

     1,826       165  

PriceSmart Inc

    993       60  

Primo Water Corp

    4,080       63  

Procter & Gamble Co/The

    63,149       9,571  

Reynolds Consumer Products Inc

    2,000       60  

Seaboard Corp

    16       60  

Simply Good Foods Co/The *

     2,140       81  

SpartanNash Co

    1,682       51  

Spectrum Brands Holdings Inc

    733       45  

Sprouts Farmers Market Inc *

     2,950       95  

Sysco Corp, Cl A

    13,518       1,033  

TreeHouse Foods Inc *

     1,208       60  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Tyson Foods Inc, Cl A

    7,894     $ 491  

United Natural Foods Inc *

     1,559       60  

Universal Corp/VA

    1,100       58  

US Foods Holding Corp *

     5,478       186  

Utz Brands Inc

    4,070       65  

Vector Group Ltd

    2,346       28  

Walgreens Boots Alliance Inc

    20,682       773  

Walmart Inc

    38,913       5,517  

WD-40 Co

    287       46  

Weis Markets Inc

    585       48  
                 
              66,868  

Energy — 8.0%

        

Antero Midstream Corp

    15,199       164  

Antero Resources Corp *

     9,257       287  

APA Corp

    10,006       467  

Arch Resources Inc

    583       83  

Archrock Inc

    6,500       58  

Baker Hughes Co, Cl A

    31,331       925  

Berry Corp

    800       6  

Bristow Group Inc *

     1,582       43  

Cactus Inc, Cl A

    2,239       113  

California Resources Corp

    1,626       71  

Callon Petroleum *

     1,753       65  

ChampionX Corp

    6,926       201  

Cheniere Energy Inc

    8,024       1,203  

Chesapeake Energy Corp

    4,070       384  

Chevron Corp

    63,582       11,412  

Chord Energy Corp

    1,081       148  

Civitas Resources Inc

    2,541       147  

Clean Energy Fuels Corp *

     7,123       37  

CNX Resources Corp *

     7,364       124  

Comstock Resources Inc

    3,165       43  

ConocoPhillips

    42,272       4,988  

CONSOL Energy Inc

    1,068       69  

Coterra Energy Inc

    24,907       612  

CVR Energy Inc

    1,753       55  

Delek US Holdings Inc

    1,466       40  

Denbury *

     1,893       165  

Devon Energy Corp

    21,523       1,324  

DHT Holdings Inc

    6,850       61  

Diamond Offshore Drilling *

     4,500       47  

Diamondback Energy Inc, Cl A

    5,596       765  

Dril-Quip Inc *

     2,441       66  

DT Midstream Inc

    3,809       211  

Earthstone Energy Inc, Cl A *

     3,500       50  

Energy Fuels Inc/Canada *

     7,420       46  

Enviva Inc

    1,763       93  

EOG Resources Inc

    19,275       2,497  

EQT Corp

    12,497       423  

Equitrans Midstream Corp

    13,094       88  

Expro Group Holdings NV *

     3,200       58  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

263

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Exxon Mobil Corp

    135,520     $ 14,948  

Green Plains Inc *

     1,865       57  

Gulfport Energy Corp *

     687       51  

Halliburton Co

    28,984       1,141  

Helmerich & Payne Inc

    3,828       190  

Hess Corp

    9,277       1,316  

HF Sinclair Corp

    5,174       268  

International Seaways Inc

    1,835       68  

Kinder Morgan Inc

    66,455       1,202  

Laredo Petroleum *

     594       31  

Liberty Energy Inc, Cl A

    4,744       76  

Magnolia Oil & Gas Corp, Cl A

    5,438       128  

Marathon Oil Corp

    21,655       586  

Marathon Petroleum Corp

    16,178       1,883  

Matador Resources Co

    3,275       187  

Murphy Oil Corp

    4,677       201  

Nabors Industries Ltd *

     289       45  

New Fortress Energy Inc, Cl A

    1,656       70  

NexTier Oilfield Solutions Inc *

     4,550       42  

Noble Corp PLC *

     2,780       105  

Nordic American Tankers Ltd

    4,260       13  

Northern Oil and Gas Inc

    2,338       72  

NOV Inc

    12,976       271  

Occidental Petroleum Corp

    26,201       1,650  

Oceaneering International Inc, Cl A *

     3,800       66  

ONEOK Inc

    14,898       979  

Ovintiv Inc

    8,643       438  

Par Pacific Holdings Inc *

     1,229       29  

Patterson-UTI Energy Inc

    7,266       122  

PBF Energy Inc, Cl A

    3,208       131  

PDC Energy Inc, Cl A

    3,121       198  

Peabody Energy Corp *

     4,092       108  

Permian Resources Corp, Cl A

    4,600       43  

Phillips 66

    16,213       1,687  

Pioneer Natural Resources Co

    7,769       1,774  

Range Resources Corp

    8,386       210  

Ranger Oil Corp, Cl A

    300       12  

SandRidge Energy Inc *

     2,700       46  

Schlumberger Ltd, Cl A

    45,426       2,428  

Sitio Royalties Corp, Cl A

    1,860       54  

SM Energy Co

    3,486       121  

Southwestern Energy Co *

     33,103       194  

Talos Energy Inc *

     1,225       23  

Targa Resources Corp

    7,531       554  

Teekay Tankers Ltd, Cl A *

     300       9  

Tellurian *

     16,976       29  

Texas Pacific Land Corp

    188       441  

Tidewater Inc *

     2,554       94  

Uranium Energy *

     15,995       62  

US Silica Holdings Inc *

     4,317       54  

Valaris *

     2,039       138  

Valero Energy Corp

    12,855       1,631  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Weatherford International PLC *

     2,110     $ 107  

Williams Cos Inc/The

    40,544       1,334  

World Fuel Services Corp

    3,478       95  
                 
              65,451  

Health Care — 6.5%

        

1Life Healthcare *

     3,200       53  

Abbott Laboratories

    16,130       1,771  

AbbVie Inc

    17,086       2,761  

Acadia Healthcare Co Inc, Cl A *

     1,137       94  

ACADIA Pharmaceuticals Inc *

     3,165       50  

Agilent Technologies Inc

    2,761       413  

agilon health Inc *

     2,800       45  

Agios Pharmaceuticals Inc *

     880       25  

Align Technology Inc *

     722       152  

Alkermes PLC *

     2,551       67  

Alnylam Pharmaceuticals Inc *

     1,137       270  

Amedisys Inc *

     600       50  

AmerisourceBergen Corp, Cl A

    1,432       237  

Amgen Inc, Cl A

    5,090       1,337  

Amicus Therapeutics Inc *

     1,300       16  

AMN Healthcare Services Inc *

     585       60  

Apellis Pharmaceuticals Inc *

     1,177       61  

Arrowhead Pharmaceuticals Inc *

     916       37  

Arvinas Inc *

     1,000       34  

Avantor Inc *

     4,957       105  

Axonics Inc *

     1,000       63  

Azenta Inc *

     1,390       81  

Baxter International Inc

    4,829       246  

Becton Dickinson and Co

    2,610       664  

BioCryst Pharmaceuticals Inc *

     4,400       51  

Biogen Inc *

     1,279       354  

Biohaven Ltd *

     1       —  

BioMarin Pharmaceutical Inc *

     1,788       185  

Bio-Rad Laboratories Inc, Cl A *

     189       79  

Bio-Techne Corp

    1,280       106  

Blueprint Medicines Corp *

     540       24  

Boston Scientific Corp *

     13,180       610  

Bristol-Myers Squibb Co

    19,451       1,400  

Bruker Corp

    995       68  

Cardinal Health Inc

    3,111       239  

Catalent Inc *

     1,602       72  

Centene Corp *

     5,203       427  

Cerevel Therapeutics Holdings *

     2,300       73  

Charles River Laboratories International Inc *

     441       96  

Chemed Corp

    203       104  

Cigna Corp

    2,687       890  

CONMED Corp

    396       35  

Cooper Cos Inc/The, Cl A

    368       122  

Corcept Therapeutics Inc *

     2,600       53  

CorVel Corp *

     221       32  

 

 

 

264

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CVS Health Corp

    11,921     $ 1,111  

Cytokinetics Inc *

     1,177       54  

Danaher Corp, Cl A

    5,822       1,545  

DaVita Inc *

     651       49  

Denali Therapeutics Inc *

     1,187       33  

DENTSPLY SIRONA Inc

    1,672       53  

Dexcom Inc *

     3,490       395  

Doximity Inc, Cl A *

     1,668       56  

Edwards Lifesciences Corp, Cl A *

     6,938       518  

Elanco Animal Health Inc *

     3,925       48  

Elevance Health Inc

    2,198       1,128  

Eli Lilly & Co

    7,925       2,899  

Enanta Pharmaceuticals Inc *

     500       23  

Encompass Health Corp

    968       58  

Enovis Corp *

     787       42  

Ensign Group Inc/The

    379       36  

Envista Holdings Corp *

     1,668       56  

Exact Sciences Corp *

     1,792       89  

Exelixis Inc *

     2,279       37  

Fate Therapeutics Inc *

     2,900       29  

Gilead Sciences Inc

    11,275       968  

Glaukos Corp *

     1,000       44  

Globus Medical Inc, Cl A *

     790       59  

Guardant Health Inc *

     700       19  

Haemonetics Corp *

     621       49  

Halozyme Therapeutics Inc *

     1,355       77  

HCA Healthcare Inc

    1,989       477  

HealthEquity Inc *

     600       37  

Henry Schein Inc *

     1,074       86  

Hologic Inc *

     2,258       169  

Horizon Therapeutics Plc *

     1,862       212  

Humana Inc

    1,158       593  

ICU Medical Inc *

     144       23  

IDEXX Laboratories Inc *

     781       319  

Illumina Inc *

     1,469       297  

Inari Medical *

     594       38  

Incyte Corp *

     1,796       144  

Insmed Inc *

     1,300       26  

Inspire Medical Systems Inc *

     224       56  

Insulet Corp *

     691       203  

Integer Holdings Corp *

     500       34  

Integra LifeSciences Holdings Corp *

     620       35  

Intellia Therapeutics *

     1,289       45  

Intra-Cellular Therapies Inc, Cl A *

     1,177       62  

Intuitive Surgical Inc *

     3,412       905  

Ionis Pharmaceuticals Inc *

     1,149       43  

IQVIA Holdings Inc *

     1,731       355  

iRhythm Technologies Inc *

     400       37  

Jazz Pharmaceuticals PLC *

     515       82  

Johnson & Johnson

    24,279       4,289  

Karuna Therapeutics Inc *

     193       38  

Laboratory Corp of America Holdings

    1,005       237  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lantheus Holdings Inc *

     981     $ 50  

LHC Group Inc *

     390       63  

LivaNova PLC *

     557       31  

Maravai LifeSciences Holdings Inc, Cl A *

     1,978       28  

Masimo Corp *

     483       71  

McKesson Corp

    1,326       497  

Medpace Holdings Inc *

     297       63  

Medtronic PLC

    12,111       941  

Merck & Co Inc

    23,080       2,561  

Merit Medical Systems Inc *

     600       42  

Mettler-Toledo International Inc *

     201       291  

Mirati Therapeutics Inc *

     600       27  

Moderna Inc *

     3,048       548  

Molina Healthcare Inc *

     522       172  

Natera Inc *

     641       26  

National HealthCare Corp

    792       47  

Neurocrine Biosciences Inc *

     905       108  

Novocure Ltd *

     883       65  

Oak Street Health Inc *

     1,884       41  

Omnicell Inc *

     346       17  

Option Care Health Inc *

     2,257       68  

Organon & Co

    2,197       61  

Owens & Minor Inc *

     1,187       23  

Pacira BioSciences Inc *

     792       31  

Penumbra Inc *

     247       55  

PerkinElmer Inc

    1,013       142  

Perrigo Co PLC

    1,203       41  

Pfizer Inc

    51,346       2,631  

Premier Inc, Cl A

    2,582       90  

Progyny Inc *

     1,000       31  

PTC Therapeutics Inc *

     800       31  

QIAGEN NV *

     2,537       127  

Quest Diagnostics Inc

    904       142  

QuidelOrtho Corp *

     200       17  

R1 RCM *

     2,150       24  

Regeneron Pharmaceuticals Inc *

     950       685  

Relay Therapeutics Inc *

     2,900       43  

Repligen Corp *

     482       82  

ResMed Inc

    1,226       255  

Revance Therapeutics Inc *

     2,000       37  

REVOLUTION Medicines *

     1,275       30  

Royalty Pharma PLC, Cl A

    4,025       159  

Sage Therapeutics Inc *

     897       34  

Sarepta Therapeutics Inc *

     782       101  

Seagen Inc *

     1,226       158  

Shockwave Medical Inc *

     222       46  

STAAR Surgical Co *

     880       43  

STERIS PLC

    1,230       227  

Stryker Corp

    3,256       796  

Syneos Health Inc, Cl A *

     1,152       42  

Tandem Diabetes Care Inc *

     900       40  

Teladoc Health Inc *

     1,446       34  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

265

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Teleflex Inc

    480     $ 120  

Tenet Healthcare Corp *

     1,079       53  

Thermo Fisher Scientific Inc

    3,619       1,993  

Twist Bioscience Corp *

     1,190       28  

Ultragenyx Pharmaceutical Inc *

     1,500       70  

United Therapeutics Corp *

     449       125  

UnitedHealth Group Inc

    8,518       4,516  

Universal Health Services Inc, Cl B

    493       69  

Vaxcyte Inc *

     982       47  

Veeva Systems Inc, Cl A *

     1,240       200  

Vertex Pharmaceuticals Inc *

     2,380       687  

Viatris Inc, Cl W *

     10,061       112  

Waters Corp *

     646       221  

West Pharmaceutical Services Inc

    751       177  

Xencor Inc *

     1,592       41  

Zimmer Biomet Holdings Inc

    2,286       291  

Zoetis Inc, Cl A

    4,276       627  
                 
              53,421  

Information Technology — 2.1%

        

Accenture PLC, Cl A

    2,298       613  

Adobe Inc *

     1,837       618  

Akamai Technologies Inc *

     589       50  

ANSYS Inc *

     345       83  

AppLovin Corp, Cl A *

     1,500       16  

Aspen Technology Inc *

     199       41  

Atlassian Corp Ltd, Cl A *

     491       63  

Autodesk Inc, Cl A *

     944       176  

Automatic Data Processing Inc

    1,513       361  

Bill.com Holdings Inc *

     496       54  

Black Knight Inc *

     1,000       62  

Block Inc, Cl A *

     2,017       127  

Broadridge Financial Solutions Inc

    393       53  

Cadence Design Systems Inc *

     958       154  

Ceridian HCM Holding Inc *

     1,192       76  

Cloudflare Inc, Cl A *

     1,589       72  

Cognizant Technology Solutions Corp, Cl A

    2,497       143  

Crowdstrike Holdings Inc, Cl A *

     980       103  

Datadog Inc, Cl A *

     1,351       99  

DocuSign Inc, Cl A *

     500       28  

Dynatrace Inc *

     900       34  

Elastic NV *

     700       36  

EPAM Systems Inc *

     287       94  

Fair Isaac Corp *

     97       58  

Fidelity National Information Services Inc, Cl B

    2,163       147  

Fiserv Inc, Cl A *

     2,241       227  

Five9 Inc *

     500       34  

FleetCor Technologies Inc *

     397       73  

Fortinet Inc *

     2,199       108  

Gartner Inc *

     263       88  

Gen Digital Inc

    1,406       30  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Genpact Ltd

    1,200     $ 55  

Global Payments Inc

    840       83  

Globant SA *

     343       58  

GoDaddy Inc, Cl A *

     893       67  

Guidewire Software Inc, Cl Z *

     500       31  

HubSpot Inc *

     170       49  

International Business Machines Corp

    3,099       437  

Intuit Inc

    1,176       458  

Jack Henry & Associates Inc

    344       60  

Manhattan Associates Inc *

     311       38  

Mastercard Inc, Cl A

    3,140       1,092  

Microsoft Corp

    27,858       6,681  

MongoDB Inc, Cl A *

     338       67  

Oracle Corp, Cl B

    5,903       482  

Palantir Technologies Inc, Cl A *

     8,887       57  

Palo Alto Networks Inc *

     1,034       144  

Paychex Inc

    1,445       167  

Paycom Software Inc *

     98       30  

Paylocity Holding Corp *

     198       38  

PayPal Holdings Inc *

     4,683       334  

PTC Inc *

     585       70  

Qualys Inc *

     400       45  

Roper Technologies Inc

    446       193  

Salesforce Inc *

     3,787       502  

ServiceNow Inc *

     733       285  

Snowflake Inc, Cl A *

     1,280       184  

Splunk Inc *

     1,145       99  

Synopsys Inc *

     617       197  

Twilio Inc, Cl A *

     395       19  

Tyler Technologies Inc *

     110       35  

Unity Software Inc *

     1,700       49  

VeriSign Inc *

     236       49  

Visa Inc, Cl A

    5,967       1,240  

VMware Inc, Cl A *

     573       70  

WEX Inc *

     400       65  

Workday Inc, Cl A *

     732       123  

Zoom Video Communications Inc, Cl A *

     1,123       76  

Zscaler Inc *

     397       44  
                 
              17,694  

Real Estate — 3.2%

        

Acadia Realty Trust ‡

     4,316       62  

Agree Realty Corp ‡

     1,671       119  

Alexander & Baldwin Inc ‡

     3,575       67  

Alexandria Real Estate Equities Inc ‡

     3,334       486  

American Assets Trust Inc ‡

     2,300       61  

American Homes 4 Rent, Cl A ‡

     7,049       212  

American Tower Corp, Cl A ‡

     9,531       2,019  

Americold Realty Trust Inc ‡

     6,649       188  

Apartment Income Corp ‡

     3,950       136  

Apartment Investment and Management Co, Cl A ‡

     6,200       44  

 

 

 

266

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Apple Hospitality REIT Inc ‡

     6,538     $ 103  

AvalonBay Communities Inc ‡

     2,922       472  

Boston Properties Inc ‡

     3,149       213  

Brandywine Realty Trust ‡

     9,900       61  

Brixmor Property Group Inc ‡

     7,736       175  

Broadstone Net Lease Inc, Cl A ‡

     3,532       57  

Camden Property Trust ‡

     2,250       252  

CareTrust REIT Inc ‡

     2,572       48  

CBRE Group Inc, Cl A *

     6,907       532  

Centerspace ‡

     687       40  

Corporate Office Properties Trust ‡

     1,795       47  

Cousins Properties Inc ‡

     2,755       70  

Crown Castle Inc ‡

     8,855       1,201  

CubeSmart ‡

     4,740       191  

Cushman & Wakefield PLC *‡

     5,300       66  

DiamondRock Hospitality Co ‡

     6,476       53  

Digital Realty Trust Inc, Cl A ‡

     5,868       588  

DigitalBridge Group ‡

     2,445       27  

Douglas Emmett Inc ‡

     2,815       44  

Easterly Government Properties Inc, Cl A ‡

     4,084       58  

EastGroup Properties Inc ‡

     998       148  

Elme Communities ‡

     2,546       45  

Empire State Realty Trust Inc, Cl A ‡

     5,073       34  

EPR Properties, Cl A ‡

     1,033       39  

Equinix Inc ‡

     1,809       1,185  

Equity Commonwealth ‡

     2,158       54  

Equity LifeStyle Properties Inc ‡

     3,403       220  

Equity Residential ‡

     7,562       446  

Essential Properties Realty Trust Inc ‡

     3,042       71  

Essex Property Trust Inc ‡

     1,515       321  

Extra Space Storage Inc ‡

     2,648       390  

Federal Realty Investment Trust ‡

     1,881       190  

First Industrial Realty Trust Inc ‡

     3,074       148  

Four Corners Property Trust Inc ‡

     2,256       58  

Gaming and Leisure Properties Inc ‡

     5,296       276  

Getty Realty Corp ‡

     1,483       50  

Global Net Lease Inc ‡

     3,224       41  

Healthcare Realty Trust Inc, Cl A ‡

     7,058       136  

Healthpeak Properties Inc ‡

     12,611       316  

Highwoods Properties Inc ‡

     2,111       59  

Host Hotels & Resorts Inc ‡

     15,861       255  

Howard Hughes Corp/The *‡

     1,291       99  

Independence Realty Trust Inc ‡

     3,434       58  

Innovative Industrial Properties Inc, Cl A ‡

     500       51  

Invitation Homes Inc ‡

     13,021       386  

Iron Mountain Inc ‡

     5,685       283  

JBG SMITH Properties ‡

     2,077       39  

Jones Lang LaSalle Inc *‡

     1,201       191  

Kennedy-Wilson Holdings Inc ‡

     3,200       50  

Kilroy Realty Corp ‡

     3,271       126  

Kimco Realty Corp ‡

     13,509       286  

Kite Realty Group Trust ‡

     4,349       92  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lamar Advertising Co, Cl A ‡

     1,944     $ 184  

Life Storage Inc ‡

     1,812       178  

LTC Properties Inc ‡

     1,286       46  

LXP Industrial Trust, Cl B ‡

     5,876       59  

Macerich Co/The ‡

     4,152       47  

Medical Properties Trust Inc ‡

     10,454       116  

Mid-America Apartment Communities Inc ‡

     2,422       380  

National Health Investors Inc ‡

     923       48  

National Retail Properties Inc ‡

     4,411       202  

National Storage Affiliates Trust ‡

     1,893       68  

NETSTREIT Corp ‡

     4,169       76  

Office Properties Income Trust ‡

     2,246       30  

Omega Healthcare Investors Inc ‡

     5,463       153  

Outfront Media Inc ‡

     2,890       48  

Paramount Group Inc ‡

     4,700       28  

Park Hotels & Resorts Inc ‡

     4,665       55  

Pebblebrook Hotel Trust ‡

     2,945       39  

Phillips Edison & Co Inc ‡

     2,923       93  

Physicians Realty Trust ‡

     3,510       51  

Piedmont Office Realty Trust Inc, Cl A ‡

     6,400       59  

PotlatchDeltic Corp ‡

     1,151       51  

Prologis Inc ‡

     18,799       2,119  

Public Storage ‡

     3,353       939  

Rayonier Inc ‡

     2,931       97  

Realty Income Corp ‡

     12,866       816  

Regency Centers Corp ‡

     4,041       253  

Retail Opportunity Investments Corp ‡

     1,900       29  

Rexford Industrial Realty Inc ‡

     3,534       193  

RLJ Lodging Trust ‡

     4,512       48  

Ryman Hospitality Properties Inc ‡

     947       77  

Sabra Health Care Inc ‡

     3,527       44  

Saul Centers Inc ‡

     825       34  

SBA Communications Corp, Cl A ‡

     2,283       640  

Service Properties Trust ‡

     900       7  

Simon Property Group Inc ‡

     6,863       806  

SITE Centers Corp ‡

     3,165       43  

SL Green Realty Corp ‡

     941       32  

Spirit Realty Capital Inc ‡

     2,674       107  

St Joe Co/The ‡

     1,900       73  

STAG Industrial Inc ‡

     3,194       103  

STORE Capital Corp ‡

     4,828       155  

Sun Communities Inc ‡

     2,434       348  

Sunstone Hotel Investors Inc ‡

     6,937       67  

Tanger Factory Outlet Centers Inc ‡

     3,462       62  

Terreno Realty Corp ‡

     2,041       116  

UDR Inc ‡

     6,927       268  

Uniti Group Inc ‡

     4,711       26  

Urban Edge Properties ‡

     3,114       44  

Ventas Inc ‡

     8,769       395  

Veris Residential Inc *‡

     3,288       52  

VICI Properties Inc ‡

     20,054       650  

Vornado Realty Trust ‡

     2,999       62  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

267

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Welltower Inc ‡

     9,751     $ 639  

Weyerhaeuser Co ‡

     15,121       469  

WP Carey Inc ‡

     4,039       316  

Xenia Hotels & Resorts Inc ‡

     2,275       30  

Zillow Group Inc, Cl A *‡

     1,187       37  

Zillow Group Inc, Cl C *‡

     3,411       110  
                 
              26,152  

Utilities — 1.6%

        

AES Corp/The

    7,445       214  

ALLETE Inc

    981       63  

Alliant Energy Corp

    3,454       191  

Ameren Corp

    2,877       256  

American Electric Power Co Inc

    6,161       585  

American States Water Co

    594       55  

American Water Works Co Inc

    1,987       303  

Atmos Energy Corp

    1,532       172  

Avangrid Inc

    1,177       51  

Avista Corp

    1,187       53  

Black Hills Corp, Cl A

    981       69  

Brookfield Renewable Corp, Cl A

    1,374       38  

California Water Service Group, Cl A

    1,192       72  

CenterPoint Energy Inc

    8,421       252  

Clearway Energy Inc, Cl C

    1,305       42  

CMS Energy Corp

    3,315       210  

Consolidated Edison Inc

    4,097       390  

Constellation Energy Corp

    3,402       293  

Dominion Energy Inc

    9,311       571  

DTE Energy Co

    2,491       293  

Duke Energy Corp

    8,757       902  

Edison International

    4,822       307  

Entergy Corp

    2,532       285  

Essential Utilities Inc

    3,437       164  

Evergy Inc

    2,242       141  

Eversource Energy

    3,766       316  

Exelon Corp

    11,682       505  

FirstEnergy Corp

    5,755       241  

Hawaiian Electric Industries Inc

    1,887       79  

IDACORP Inc, Cl A

    489       53  

MGE Energy Inc

    800       56  

National Fuel Gas Co

    1,162       73  

New Jersey Resources Corp

    1,364       68  

NextEra Energy Inc

    22,702       1,898  

NiSource Inc

    3,937       108  

NorthWestern Corp

    1,000       59  

NRG Energy Inc

    3,220       102  

OGE Energy Corp

    1,683       66  

ONE Gas Inc

    489       37  

Ormat Technologies Inc

    772       67  

Otter Tail Corp

    800       47  

PG&E Corp *

     17,027       277  

Pinnacle West Capital Corp

    1,609       122  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

PNM Resources Inc

    752     $ 37  

Portland General Electric Co

    1,056       52  

PPL Corp

    9,072       265  

Public Service Enterprise Group Inc

    6,236       382  

Sempra Energy

    3,573       552  

SJW Group

    783       64  

South Jersey Industries Inc, Cl A

    2,241       80  

Southern Co/The

    12,101       864  

Southwest Gas Holdings Inc

    594       37  

Spire Inc

    792       54  

Sunnova Energy International Inc *

     2,083       37  

UGI Corp

    1,799       67  

Vistra Corp

    4,340       101  

WEC Energy Group Inc

    3,795       356  

Xcel Energy Inc

    6,434       451  
                 
              13,545  

Total Common Stock

               

(Cost $167,028) ($ Thousands)

             263,410  
                 
                 
   

Face Amount
(Thousands)

          

CORPORATE OBLIGATIONS — 9.4%

Communication Services — 0.5%

        

Altice France

               

3.375%, 01/15/2028

  EUR 117       94  

CCO Holdings

               

4.750%, 02/01/2032 (C)

   $ 535       434  

4.500%, 08/15/2030 (C)

     63       52  

4.500%, 06/01/2033 (C)

     219       168  

DISH DBS

               

5.250%, 12/01/2026 (C)

     1,007       848  

Lorca Telecom Bondco

               

4.000%, 09/18/2027

  EUR 237       226  

Netflix

               

5.875%, 11/15/2028

  $ 812       823  

T-Mobile USA

               

3.375%, 04/15/2029

    73       64  

2.875%, 02/15/2031

    374       309  

2.625%, 02/15/2029

    123       104  

2.550%, 02/15/2031

    883       722  

Weibo

               

3.375%, 07/08/2030

    1,395       1,084  
                 
              4,928  
                 

Consumer Discretionary — 1.1%

        

Advance Auto Parts

               

3.900%, 04/15/2030

    922       808  

Altice Financing

               

3.000%, 01/15/2028

  EUR 237       199  

 

 

 

268

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Amazon.com

               

4.550%, 12/01/2027

  $ 605     $ 603  

Booking Holdings

               

4.625%, 04/13/2030

    1,080       1,043  

Carnival

               

4.000%, 08/01/2028 (C)

     605       493  

Expedia Group

               

6.250%, 05/01/2025 (C)

     24       24  

4.625%, 08/01/2027

    251       241  

Ford Motor

               

6.100%, 08/19/2032

    435       402  

Ford Motor Credit

               

7.350%, 11/04/2027

    204       209  

Globo Comunicacao e Participacoes

               

4.875%, 01/22/2030 (C)

     413       346  

Harley-Davidson Financial Services

               

3.050%, 02/14/2027 (C)

     700       623  

Las Vegas Sands

               

3.900%, 08/08/2029

    722       608  

Marriott International

               

5.750%, 05/01/2025

    68       69  

MDC Holdings

               

6.000%, 01/15/2043

    389       316  

NH Hotel Group

               

4.000%, 07/02/2026

  EUR 237       231  

Nissan Motor

               

4.345%, 09/17/2027 (C)

   $ 1,086       985  

Ross Stores

               

4.700%, 04/15/2027

    842       828  

Royal Caribbean Cruises

               

8.250%, 01/15/2029 (C)

     231       232  

Summer BC Holdco B SARL

               

5.750%, 10/31/2026

  EUR 237       213  

Time Warner Cable

               

4.500%, 09/15/2042

  $ 330       242  

Wynn Macau

               

5.625%, 08/26/2028 (C)

     348       297  
                 
              9,012  
                 

Consumer Staples — 0.5%

        

Albertsons

               

3.500%, 03/15/2029 (C)

     408       342  

Altria Group

               

4.800%, 02/14/2029

    167       160  

3.400%, 05/06/2030

    745       637  

BAT Capital

               

4.906%, 04/02/2030

    467       428  

4.700%, 04/02/2027

    475       455  

2.259%, 03/25/2028

    1,337       1,110  

Cargill

               

5.125%, 10/11/2032 (C)

     239       239  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Natura & Luxembourg Holdings SARL

               

6.000%, 04/19/2029 (C)

   $ 392     $ 343  

Natura Cosmeticos

               

4.125%, 05/03/2028 (C)

     322       263  

Philip Morris International

               

5.625%, 11/17/2029

    110       112  

Virgolino de Oliveira Finance

               

10.500%, 01/28/2018 (C)(D)

     660       –  
                 
              4,089  
                 

Corporate Obligation — 0.4%

        

Barclays

               

7.385%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.300%, 11/02/2028 (B)

     383       399  

BNP Paribas

               

4.625%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.340%(B)(E)

     869       671  

Credit Suisse Group

               

6.373%, U.S. SOFR + 3.340%, 07/15/2026 (B)(C)

     344       323  

Deutsche Bank NY

               

6.119%, U.S. SOFR + 3.190%, 07/14/2026 (B)

     255       253  

HSBC Holdings

               

5.402%, U.S. SOFR + 2.870%, 08/11/2033 (B)

     219       203  

Lloyds Banking Group

               

7.953%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.750%, 11/15/2033 (B)

     604       639  

Mizuho Financial Group

               

5.414%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.050%, 09/13/2028 (B)

     430       430  
                 
              2,918  
                 

Energy — 0.8%

        

BP Capital Markets America

               

2.939%, 06/04/2051

    1,261       830  

Continental Resources

               

2.268%, 11/15/2026 (C)

     1,050       910  

Enbridge Energy Partners

               

7.375%, 10/15/2045

    536       599  

Eni

               

4.250%, 05/09/2029 (C)

     900       832  

Equities

               

5.700%, 04/01/2028

    131       130  

Marathon Petroleum

               

6.500%, 03/01/2041

    175       180  

5.125%, 12/15/2026

    227       226  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

269

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Oleoducto Central

               

4.000%, 07/14/2027 (C)

   $ 438     $ 386  

ONEOK

               

6.350%, 01/15/2031

    128       130  

6.100%, 11/15/2032

    88       88  

ONEOK Partners

               

6.125%, 02/01/2041

    63       59  

Tengizchevroil Finance International

               

3.250%, 08/15/2030 (C)

     262       185  

TransCanada PipeLines

               

6.200%, 10/15/2037

    362       369  

6.100%, 06/01/2040

    573       576  

Var Energi

               

8.000%, 11/15/2032 (C)

     403       416  

7.500%, 01/15/2028 (C)

     314       320  
                 
              6,236  
                 

Financials — 3.6%

        

ABN AMRO Bank

               

4.750%, 07/28/2025 (C)

     269       261  

AIB Group

               

7.583%, U.S. SOFR + 3.456%, 10/14/2026 (B)(C)

     817       832  

Aircastle

               

5.250%, 08/11/2025 (C)

     456       439  

4.250%, 06/15/2026

    62       58  

4.125%, 05/01/2024

    181       175  

2.850%, 01/26/2028 (C)

     904       739  

Alleghany

               

3.625%, 05/15/2030

    931       863  

Aviation Capital Group

               

5.500%, 12/15/2024 (C)

     455       447  

4.875%, 10/01/2025 (C)

     182       172  

4.375%, 01/30/2024 (C)

     161       157  

4.125%, 08/01/2025 (C)

     6       6  

3.500%, 11/01/2027 (C)

     165       144  

1.950%, 01/30/2026 (C)

     480       418  

1.950%, 09/20/2026 (C)

     153       130  

Banco de Credito del Peru S.A. MTN

               

3.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.000%, 07/01/2030 (B)(C)

     755       684  

Banco Santander

               

4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (B)

     400       371  

Bank of America

               

1.734%, U.S. SOFR + 0.960%, 07/22/2027 (B)

     1,198       1,050  

Bank of America MTN

               

4.376%, U.S. SOFR + 1.580%, 04/27/2028 (B)

     931       890  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Bank of Ireland Group

               

6.253%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.650%, 09/16/2026 (B)(C)

   $ 210     $ 208  

BNP Paribas

               

2.871%, U.S. SOFR + 1.387%, 04/19/2032 (B)(C)

     806       630  

Capital One Financial

               

4.927%, U.S. SOFR + 2.057%, 05/10/2028 (B)

     333       322  

2.636%, U.S. SOFR + 1.290%, 03/03/2026 (B)

     475       445  

CDBL Funding 1 MTN

               

3.500%, 10/24/2027

    620       572  

Charles Schwab

               

5.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.971%(B)(E)

     198       194  

4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.168%(B)(E)

     756       656  

Citigroup

               

5.950%, ICE LIBOR USD 3 Month + 4.068%(B)(E)

     199       197  

4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.597%(B)(E)

     359       313  

Credit Suisse Group

               

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.598%(B)(C)(E)

     200       174  

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(B)(E)

     440       352  

6.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.822%(B)(C)(E)

     365       261  

4.194%, U.S. SOFR + 3.730%, 04/01/2031 (B)(C)

     427       331  

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (B)(C)

     292       202  

Danske Bank

               

4.298%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 04/01/2028 (B)(C)

     245       225  

Deutsche Bank NY

               

3.961%, U.S. SOFR + 2.581%, 11/26/2025 (B)

     315       301  

2.129%, U.S. SOFR + 1.870%, 11/24/2026 (B)

     347       306  

Discover Bank

               

4.682%, USD Swap Semi 30/360 5 Yr Curr + 1.730%, 08/09/2028 (B)

     475       456  

 

 

 

270

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Discover Financial Services

               

6.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.783%(B)(E)

   $ 646     $ 627  

Federation des Caisses Desjardins du Quebec

               

4.550%, 08/23/2027 (C)

     435       418  

Fifth Third Bancorp

               

4.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.215%(B)(E)

     247       229  

Global Payments

               

5.300%, 08/15/2029

    287       277  

Goldman Sachs Group

               

4.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.949%(B)(E)

     328       273  

Guardian Life Insurance of America

               

4.850%, 01/24/2077 (C)

     145       118  

HSBC Holdings

               

7.336%, U.S. SOFR + 3.030%, 11/03/2026 (B)

     810       842  

ING Groep

               

1.726%, U.S. SOFR + 1.005%, 04/01/2027 (B)

     1,191       1,051  

Intesa Sanpaolo

               

7.000%, 11/21/2025 (C)

     214       218  

JPMorgan Chase

               

5.546%, U.S. SOFR + 1.070%, 12/15/2025 (B)

     605       605  

Morgan Stanley

               

6.296%, U.S. SOFR + 2.240%, 10/18/2028 (B)

     467       482  

4.210%, U.S. SOFR + 1.610%, 04/20/2028 (B)

     289       275  

0.406%, 10/29/2027 (B)

   EUR 480       442  

Nationwide Building Society MTN

               

2.972%, U.S. SOFR + 1.290%, 02/16/2028 (B)(C)

   $ 319       280  

NatWest Group

               

7.472%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.850%, 11/10/2026 (B)

     260       271  

OEC Finance

               

7.125% PIK, 12/26/2046 (C)

     279       6  

S&P Global

               

4.750%, 08/01/2028 (C)

     35       35  

4.250%, 05/01/2029 (C)

     166       158  

Santander Holdings USA

               

4.260%, SOFRINDX + 1.380%, 06/09/2025 (B)

     196       190  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.490%, U.S. SOFR + 1.249%, 01/06/2028 (B)

   $ 67     $ 58  

Santander UK Group Holdings

               

6.833%, U.S. SOFR + 2.749%, 11/21/2026 (B)

     603       611  

Societe Generale

               

2.797%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 01/19/2028 (B)(C)

     623       545  

Standard Chartered

               

7.776%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.100%, 11/16/2025 (B)(C)

     363       374  

7.750%, USD Swap Semi 30/360 5 Yr Curr + 5.723%(B)(C)(E)

     200       199  

6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.661%(B)(C)(E)

     552       531  

5.925%, ICE LIBOR USD 3 Month + 1.510%(B)(C)(E)

     400       307  

3.971%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.650%, 03/30/2026 (B)(C)

     239       228  

Svenska Handelsbanken

               

4.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.048%(B)(E)

     800       653  

Swiss Re Finance Luxembourg

               

5.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.582%, 04/02/2049 (B)

     600       552  

Synchrony Financial

               

4.875%, 06/13/2025

    118       115  

4.500%, 07/23/2025

    120       115  

3.950%, 12/01/2027

    118       105  

2.875%, 10/28/2031

    328       245  

Truist Financial

               

5.100%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.349%(B)(E)

     829       767  

UBS Group

               

4.488%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 05/12/2026 (B)(C)

     238       233  

UniCredit

               

3.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 06/03/2032 (B)(C)

     201       151  

2.569%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.300%, 09/22/2026 (B)(C)

     519       460  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

271

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.982%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.200%, 06/03/2027 (B)(C)

   $ 231     $ 197  

US Bancorp

               

5.300%, ICE LIBOR USD 3 Month + 2.914%(B)(E)

     474       413  

Voya Financial

               

5.650%, ICE LIBOR USD 3 Month + 3.580%, 05/15/2053 (B)

     258       251  

Wells Fargo

               

3.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.453%(B)(E)

     327       286  

2.188%, U.S. SOFR + 2.000%, 04/30/2026 (B)

     433       403  
                 
              28,577  
                 

Health Care — 0.2%

        

Amgen

               

3.000%, 02/22/2029

    249       220  

Cigna

               

4.375%, 10/15/2028

    382       368  

IQVIA

               

2.250%, 03/15/2029

  EUR 200       180  

Organon

               

2.875%, 04/30/2028

    200       187  

Takeda Pharmaceutical

               

4.400%, 11/26/2023

  $ 220       218  

Zoetis

               

5.400%, 11/14/2025

    347       354  
                 
              1,527  
                 

Industrials — 0.7%

        

AerCap Ireland Capital DAC

               

6.500%, 07/15/2025

    190       193  

4.450%, 04/03/2026

    173       165  

2.450%, 10/29/2026

    671       587  

Air Lease

               

3.625%, 04/01/2027

    40       37  

2.100%, 09/01/2028

    178       145  

Air Lease MTN

               

2.875%, 01/15/2026

    85       79  

Alfa

               

5.250%, 03/25/2024 (C)

     660       655  

APCOA Parking Holdings GmbH

               

4.625%, 01/15/2027

  EUR 237       217  

CNH Industrial Capital

               

3.950%, 05/23/2025

  $ 723       701  

Delta Air Lines

               

4.750%, 10/20/2028 (C)

     475       447  

4.500%, 10/20/2025 (C)

     409       399  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Embraer Netherlands Finance BV

               

6.950%, 01/17/2028 (C)

   $ 236     $ 236  

5.400%, 02/01/2027

    670       642  

ENA Master Trust

               

4.000%, 05/19/2048 (C)

     272       191  

Flowserve

               

2.800%, 01/15/2032

    246       184  

Honeywell International

               

4.125%, 11/02/2034

  EUR 810       853  

Lima Metro Line 2 Finance

               

5.875%, 07/05/2034

  $ 213       207  

4.350%, 04/05/2036 (C)

     208       185  

Odebrecht Holdco Finance

               

0.000%, 09/10/2058 (C)(F)

     294       –  

Parker-Hannifin

               

4.500%, 09/15/2029

    546       523  

TK Elevator Midco GmbH

               

4.375%, 07/15/2027

  EUR 125       118  

Westinghouse Air Brake Technologies

               

3.200%, 06/15/2025

  $ 141       133  
                 
              6,897  
                 

Information Technology — 0.9%

        

Broadcom

               

4.926%, 05/15/2037 (C)

     535       467  

4.150%, 11/15/2030

    191       171  

4.150%, 04/15/2032 (C)

     164       144  

4.000%, 04/15/2029 (C)

     47       43  

3.187%, 11/15/2036 (C)

     448       322  

3.137%, 11/15/2035 (C)

     154       113  

Entegris Escrow

               

4.750%, 04/15/2029 (C)

     699       638  

Global Payments

               

2.900%, 11/15/2031

    157       124  

HP

               

4.750%, 01/15/2028

    572       555  

Infor

               

1.750%, 07/15/2025 (C)

     340       307  

International Business Machines

               

4.900%, 07/27/2052

    434       395  

Kyndryl Holdings

               

2.050%, 10/15/2026

    631       515  

Micron Technology

               

6.750%, 11/01/2029

    563       572  

NXP BV

               

5.550%, 12/01/2028

    317       317  

Playtech

               

4.250%, 03/07/2026

  EUR 200       201  

Prosus

               

3.680%, 01/21/2030 (C)

   $ 569       473  

3.257%, 01/19/2027 (C)

     264       236  

 

 

 

272

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

SK Hynix

               

2.375%, 01/19/2031 (C)

   $ 290     $ 213  

Tencent Holdings MTN

               

3.240%, 06/03/2050 (C)

     439       277  

TSMC Arizona

               

3.875%, 04/22/2027

    406       390  

Western Digital

               

3.100%, 02/01/2032

    52       37  

2.850%, 02/01/2029

    144       111  

Workday

               

3.800%, 04/01/2032

    176       155  

3.700%, 04/01/2029

    68       62  
                 
              6,838  
                 

Materials — 0.1%

        

Anglo American Capital

               

3.875%, 03/16/2029 (C)

     235       211  

Celanese US Holdings

               

5.900%, 07/05/2024

    867       867  

Freeport Indonesia MTN

               

4.763%, 04/14/2027 (C)

     243       233  

INEOS Quattro Finance 2

               

2.500%, 01/15/2026 (C)

   EUR 333       301  

Nucor

               

4.300%, 05/23/2027

  $ 335       327  

Suzano Austria GmbH

               

3.750%, 01/15/2031

    173       145  

Volcan Cia Minera SAA

               

4.375%, 02/11/2026 (C)

     81       70  
                 
              2,154  
                 

Real Estate — 0.1%

        

American Tower

               

4.050%, 03/15/2032

    118       105  

3.650%, 03/15/2027

    235       219  

Host Hotels & Resorts

               

3.500%, 09/15/2030

    142       117  

Vornado Realty

               

2.150%, 06/01/2026

    403       341  
                 
              782  
                 

Utilities — 0.5%

        

AES Panama Generation Holdings SRL

               

4.375%, 05/31/2030 (C)

     304       264  

Chile Electricity PEC

               

3.079%, 01/25/2028 (C)

     523       373  

Comision Federal de Electricidad

               

4.688%, 05/15/2029 (C)

     268       237  

3.348%, 02/09/2031 (C)

     687       536  

Duke Energy Carolinas NC Storm Funding

               

2.617%, 07/01/2041

    403       294  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Enel Finance International

               

7.500%, 10/14/2032 (C)

   $ 400     $ 423  

Engie Energia Chile

               

3.400%, 01/28/2030

    390       319  

Public Service Enterprise Group

               

5.850%, 11/15/2027

    402       414  

Terraform Global Operating

               

6.125%, 03/01/2026 (C)

     74       69  

Vistra

               

7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(B)(C)(E)

     286       260  
                 
              3,189  
                 

Total Corporate Obligations

                

(Cost $87,369) ($ Thousands)

             77,147  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 5.2%

Agency Mortgage-Backed Obligations — 3.4%

        

FHLMC CMO, Ser 2017-4693, Cl SL, IO

                

1.832%, 06/15/2047(B)

     1,107       118  

FHLMC CMO, Ser 2020-4981, Cl HS, IO

                

1.711%, 06/25/2050(B)

     2,235       216  

FHLMC CMO, Ser 2020-5015, Cl BI, IO

                

4.000%, 09/25/2050

     1,558       291  

FHLMC Multifamily Structured Credit Risk, Ser MN1, Cl M1

                

5.928%, SOFR30A + 2.000%, 01/25/2051(B)(C)

     79       74  

FHLMC STACR Debt Notes, Ser 2021-DNA7, Cl M2

                

5.728%, SOFR30A + 1.800%, 11/25/2041(B)(C)

     1,042       979  

FHLMC STACR Debt Notes, Ser 2022-DNA5, Cl M1A

                

6.878%, SOFR30A + 2.950%, 06/25/2042(B)(C)

     809       819  

FHLMC STACR REMIC Trust, Ser 2020-DNA1, Cl M2

                

6.089%, ICE LIBOR USD 1 Month + 1.700%, 01/25/2050(B)(C)

     130       130  

FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl M2

                

6.728%, SOFR30A + 2.800%, 10/25/2050(B)(C)

     300       302  

FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2

                

5.578%, SOFR30A + 1.650%, 01/25/2034(B)(C)

     247       243  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

273

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2

                

5.428%, SOFR30A + 1.500%, 10/25/2041(B)(C)

   $ 1,079     $ 1,025  

FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M2

                

6.278%, SOFR30A + 2.350%, 12/25/2041(B)(C)

     668       590  

FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1A

                

4.928%, SOFR30A + 1.000%, 01/25/2042(B)(C)

     487       475  

FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B

                

5.778%, SOFR30A + 1.850%, 01/25/2042(B)(C)

     542       515  

FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A

                

6.128%, SOFR30A + 2.200%, 05/25/2042(B)(C)

     658       656  

FHLMC STACR REMIC Trust, Ser 2022-DNA6, Cl M1A

                

6.078%, SOFR30A + 2.150%, 09/25/2042(B)(C)

     446       446  

FHLMC STACR REMIC Trust, Ser 2022-DNA7, Cl M1A

                

6.428%, SOFR30A + 2.500%, 03/25/2052(B)(C)

     1,189       1,193  

FHLMC STACR Trust, Ser 2019-DNA3, Cl M2

                

6.439%, ICE LIBOR USD 1 Month + 2.050%, 07/25/2049(B)(C)

     33       32  

FHLMC STACR Trust, Ser 2019-DNA4, Cl M2

                

6.339%, ICE LIBOR USD 1 Month + 1.950%, 10/25/2049(B)(C)

     49       49  

FHLMC STACR Trust, Ser 2019-FTR2, Cl M2

                

6.539%, ICE LIBOR USD 1 Month + 2.150%, 11/25/2048(B)(C)

     363       348  

FHLMC STACR Trust, Ser 2019-HQA3, Cl M2

                

6.239%, ICE LIBOR USD 1 Month + 1.850%, 09/25/2049(B)(C)

     1       1  

FNMA

                

3.000%, 02/01/2052

     2,279       2,011  

FNMA CMO, Ser 2011-131, Cl ST, IO

                

2.151%, 12/25/2041(B)

     570       72  

FNMA CMO, Ser 2014-17, Cl SA, IO

                

1.661%, 04/25/2044(B)

     1,452       161  

FNMA CMO, Ser 2014-78, Cl SE, IO

                

1.711%, 12/25/2044(B)

     871       83  

FNMA CMO, Ser 2016-77, Cl DS, IO

                

1.611%, 10/25/2046(B)

     834       81  

FNMA CMO, Ser 2017-62, Cl AS, IO

                

1.761%, 08/25/2047(B)

     953       105  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA CMO, Ser 2017-81, Cl SA, IO

                

1.811%, 10/25/2047(B)

   $ 1,124     $ 131  

FNMA CMO, Ser 2017-97, Cl LS, IO

                

1.811%, 12/25/2047(B)

     1,334       147  

FNMA CMO, Ser 2020-89, Cl KI, IO

                

4.000%, 12/25/2050

     3,324       621  

FNMA Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1M2

                

6.789%, ICE LIBOR USD 1 Month + 2.400%, 04/25/2031(B)(C)

     36       36  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2

                

6.689%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(B)(C)

     13       13  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1M2

                

6.539%, ICE LIBOR USD 1 Month + 2.150%, 09/25/2031(B)(C)

     8       8  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R06, Cl 2M2

                

6.489%, ICE LIBOR USD 1 Month + 2.100%, 09/25/2039(B)(C)

     7       7  

FNMA Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2

                

6.489%, ICE LIBOR USD 1 Month + 2.100%, 10/25/2039(B)(C)

     61       61  

FNMA Connecticut Avenue Securities Trust, Ser 2020-R02, Cl 2M2

                

6.389%, ICE LIBOR USD 1 Month + 2.000%, 01/25/2040(B)(C)

     135       133  

FNMA Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2

                

5.578%, SOFR30A + 1.650%, 12/25/2041(B)(C)

     319       301  

FNMA Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1M2

                

5.828%, SOFR30A + 1.900%, 12/25/2041(B)(C)

     1,023       972  

FNMA Connecticut Avenue Securities Trust, Ser 2022-R03, Cl 1M2

                

7.428%, SOFR30A + 3.500%, 03/25/2042(B)(C)

     838       848  

FNMA Connecticut Avenue Securities Trust, Ser 2022-R04, Cl 1M2

                

7.028%, SOFR30A + 3.100%, 03/25/2042(B)(C)

     211       210  

FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2

                

8.389%, ICE LIBOR USD 1 Month + 4.000%, 05/25/2025(B)

     146       147  

 

 

 

274

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2

                

9.389%, ICE LIBOR USD 1 Month + 5.000%, 07/25/2025(B)

   $ 144     $ 146  

FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2

                

10.089%, ICE LIBOR USD 1 Month + 5.700%, 04/25/2028(B)

     101       106  

FNMA Connecticut Avenue Securities, Ser 2017-C04, Cl 2M2

                

7.239%, ICE LIBOR USD 1 Month + 2.850%, 11/25/2029(B)

     455       459  

FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M2

                

5.928%, SOFR30A + 2.000%, 11/25/2041(B)(C)

     469       436  

FNMA TBA

                

3.000%, 01/15/2043

     6,428       5,639  

2.500%, 01/15/2053

     7,470       6,323  

GNMA CMO, Ser 2017-122, Cl SA, IO

                

1.847%, 08/20/2047(B)

     679       76  

GNMA CMO, Ser 2017-134, Cl SE, IO

                

1.847%, 09/20/2047(B)

     560       52  
                 
                 
              27,887  

Non-Agency Mortgage-Backed Obligations — 1.8%

        

Alternative Loan Trust, Ser 2005-20CB, Cl 3A6

                

5.500%, 07/25/2035

     46       33  

Alternative Loan Trust, Ser 2006-24CB, Cl A16

                

5.750%, 08/25/2036

     243       137  

Alternative Loan Trust, Ser 2006-28CB, Cl A14

                

6.250%, 10/25/2036

     185       102  

Alternative Loan Trust, Ser 2006-J1, Cl 1A13

                

5.500%, 02/25/2036

     104       75  

AREIT Trust, Ser 2022-CRE6, Cl A

                

5.076%, SOFR30A + 1.250%, 01/16/2037(B)(C)

     1,341       1,289  

Ashford Hospitality Trust, Ser 2018-KEYS, Cl A

                

5.318%, ICE LIBOR USD 1 Month + 1.000%, 06/15/2035(B)(C)

     526       506  

BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D

                

3.534%, 03/10/2037(B)(C)

     365       227  

BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF

                

5.318%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2033(B)(C)

     1,610       1,516  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BBCMS Mortgage Trust, Ser 2020-BID, Cl A

                

6.458%, ICE LIBOR USD 1 Month + 2.140%, 10/15/2037(B)(C)

   $ 779     $ 752  

Bellemeade Re, Ser 2019-1A, Cl M1B

                

6.139%, ICE LIBOR USD 1 Month + 1.750%, 03/25/2029(B)(C)

     54       54  

Bellemeade Re, Ser 2019-3A, Cl M1B

                

5.989%, ICE LIBOR USD 1 Month + 1.600%, 07/25/2029(B)(C)

     79       79  

Bellemeade Re, Ser 2019-3A, Cl M1C

                

6.339%, ICE LIBOR USD 1 Month + 1.950%, 07/25/2029(B)(C)

     340       337  

Bellemeade Re, Ser 2021-1A, Cl M1C

                

6.878%, SOFR30A + 2.950%, 03/25/2031(B)(C)

     437       418  

Bellemeade Re, Ser 2021-2A, Cl M1B

                

5.428%, SOFR30A + 1.500%, 06/25/2031(B)(C)

     704       676  

Bellemeade Re, Ser 2022-2, Cl M1A

                

8.012%, SOFR30A + 4.000%, 09/27/2032(B)(C)

     978       961  

BFLD Trust, Ser 2021-FPM, Cl A

                

5.918%, ICE LIBOR USD 1 Month + 1.600%, 06/15/2038(B)(C)

     1,189       1,134  

BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E

                

6.468%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(B)(C)

     656       613  

BX Commercial Mortgage Trust, Ser 2019-IMC, Cl D

                

6.218%, ICE LIBOR USD 1 Month + 1.900%, 04/15/2034(B)(C)

     162       152  

Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17

                

6.000%, 07/25/2037

     88       42  

CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8

                

6.000%, 05/25/2036

     122       59  

CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19

                

6.250%, 09/25/2036

     59       25  

Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D

                

4.406%, 04/10/2046(B)(C)

     343       334  

CLNY Trust, Ser 2019-IKPR, Cl D

                

6.343%, ICE LIBOR USD 1 Month + 2.025%, 11/15/2038(B)(C)

     680       629  

COMM Mortgage Trust, Ser 2010-C1, Cl D

                

5.792%, 07/10/2046(B)(C)

     670       649  

Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1

                

1.873%, 04/12/2035(C)

     18       18  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

275

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2

                

4.769%, ICE LIBOR USD 1 Month + 0.380%, 12/25/2036(B)

   $ 339     $ 120  

GS Mortgage Securities Trust, Ser 2011-GC5, Cl D

                

5.154%, 08/10/2044(B)(C)

     13       5  

GS Mortgage Securities Trust, Ser 2014-GC18, Cl D

                

5.055%, 01/10/2047(B)(C)

     271       110  

GS Mortgage Securities Trust, Ser 2021-1, Cl A-1

                

2.638%, 08/17/2026

     26       24  

2.435%, 08/17/2026

     769       723  

1.433%, 08/17/2026

     298       276  

HomeBanc Mortgage Trust, Ser 2005-1, Cl A1

                

4.889%, ICE LIBOR USD 1 Month + 0.500%, 03/25/2035(B)

     60       50  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO

                

0.799%, 09/15/2047(B)

     15,877       149  

JPMorgan Chase Bank, Ser 2019-CL1, Cl M3

                

6.489%, ICE LIBOR USD 1 Month + 2.100%, 04/25/2047(B)(C)

     92       86  

LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ

                

5.452%, 09/15/2039(B)

     125       55  

LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2

                

2.579%, 03/10/2049(C)

     274       274  

Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A

                

5.818%, TSFR1M + 1.500%, 07/15/2036(B)(C)

     313       300  

PMT Credit Risk Transfer Trust, Ser 2019-2R, Cl A

                

7.137%, ICE LIBOR USD 1 Month + 2.750%, 05/27/2023(B)(C)

     292       280  

PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A

                

8.087%, ICE LIBOR USD 1 Month + 3.700%, 11/27/2031(B)(C)

     –       –  

PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A

                

6.737%, ICE LIBOR USD 1 Month + 2.350%, 02/27/2023(B)(C)

     116       110  

Radnor RE, Ser 2019-1, Cl M1B

                

6.339%, ICE LIBOR USD 1 Month + 1.950%, 02/25/2029(B)(C)

     423       419  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Radnor RE, Ser 2019-2, Cl M1B

                

6.139%, ICE LIBOR USD 1 Month + 1.750%, 06/25/2029(B)(C)

   $ 68     $ 68  

Radnor RE, Ser 2020-1, Cl M1A

                

5.339%, ICE LIBOR USD 1 Month + 0.950%, 01/25/2030(B)(C)

     77       77  

Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C

                

4.386%, 11/15/2049(B)

     925       805  

Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2

                

9.889%, ICE LIBOR USD 1 Month + 5.500%, 11/25/2025(B)(C)

     36       27  

Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2

                

9.639%, ICE LIBOR USD 1 Month + 5.250%, 11/25/2025(B)(C)

     152       113  
                 
                 
              14,888  

Total Mortgage-Backed Securities

                

(Cost $45,503) ($ Thousands)

             42,775  
                 
                 
                 

ASSET-BACKED SECURITIES — 3.7%

Automotive — 1.3%

        
         

ACM Auto Trust, Ser 2022-1A, Cl A

                

3.230%, 04/20/2029(C)

     280       279  

Avis Budget Rental Car Funding AESOP, Ser 2018-1A, Cl A

                

3.700%, 09/20/2024(C)

     930       921  

Avis Budget Rental Car Funding AESOP, Ser 2018-2A, Cl A

                

4.000%, 03/20/2025(C)

     1,080       1,062  

Avis Budget Rental Car Funding AESOP, Ser 2022-2A, Cl D

                

4.560%, 03/20/2024(C)

     468       467  

Carvana Auto Receivables Trust, Ser 2021-N3, Cl C

                

1.020%, 06/12/2028

     287       278  

Carvana Auto Receivables Trust, Ser 2021-N4, Cl D

                

2.300%, 09/11/2028

     347       315  

Carvana Auto Receivables Trust, Ser 2021-P4, Cl D

                

2.610%, 09/11/2028

     441       348  

CPS Auto Receivables Trust, Ser 2022-A, Cl C

                

2.170%, 04/16/2029(C)

     611       570  

FHF Trust, Ser 2021-2A, Cl A

                

0.830%, 12/15/2026(C)

     201       191  

 

 

 

276

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Ford Credit Auto Owner Trust, Ser 2021-1, Cl D

                

2.310%, 10/17/2033(C)

   $ 605     $ 526  

Hertz Vehicle Financing III, Ser 2022-1A, Cl C

                

2.630%, 06/25/2026(C)

     620       550  

LAD Auto Receivables Trust, Ser 2021-1A, Cl A

                

1.300%, 08/17/2026(C)

     302       293  

LAD Auto Receivables Trust, Ser 2022-1A, Cl A

                

5.210%, 06/15/2027(C)

     701       690  

Prestige Auto Receivables Trust 2022-1, Ser 2022-1A, Cl A2

                

5.900%, 07/15/2025(C)

     556       556  

Research-Driven Pagaya Motor Asset Trust VII, Ser 2022-3A, Cl A

                

5.380%, 11/25/2030(C)

     850       828  

Santander Bank Auto Credit-Linked Notes Series 2022-C, Ser 2022-C, Cl B

                

6.451%, 12/15/2032(C)

     808       808  

Santander Bank Auto Credit-Linked Notes, Ser 2022-A, Cl B

                

5.281%, 05/15/2032(C)

     780       762  

Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B

                

5.721%, 08/16/2032(C)

     778       775  

United Auto Credit Securitization Trust, Ser 2022-2, Cl A

                

4.390%, 04/10/2025(C)

     594       591  
              10,810  
                 

Credit Cards — 0.2%

        
         

Brex Commercial Charge Card Master Trust, Ser 2021-1, Cl A

                

2.090%, 07/15/2024(C)

     437       432  

Brex Commercial Charge Card Master Trust, Ser 2022-1, Cl A

                

4.630%, 07/15/2025(C)

     1,010       978  

Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B

                

2.240%, 09/15/2026(C)

     175       170  
              1,580  
                 

Other Asset-Backed Securities — 2.2%

        
         

AB Issuer, Ser 2021-1, Cl A2

                

3.734%, 07/30/2051(C)

     834       665  

Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A

                

1.070%, 08/15/2025(C)

     134       131  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A

                

1.170%, 11/16/2026(C)

   $ 154     $ 147  

Affirm Asset Securitization Trust, Ser 2022-X1, Cl A

                

1.750%, 02/15/2027(C)

     374       363  

AGL CLO 12, Ser 2021-12A, Cl A1

                

5.403%, ICE LIBOR USD 3 Month + 1.160%, 07/20/2034(B)(C)

     970       945  

Amur Equipment Finance Receivables XI, Ser 2022-2A, Cl A2

                

5.300%, 06/21/2028(C)

     351       347  

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl B

                

2.080%, 02/15/2027(C)

     185       174  

Balboa Bay Loan Funding, Ser 2021-1A, Cl A

                

5.443%, ICE LIBOR USD 3 Month + 1.200%, 07/20/2034(B)(C)

     589       572  

Ballyrock CLO 15, Ser 2021-1A, Cl C

                

7.179%, ICE LIBOR USD 3 Month + 3.100%, 04/15/2034(B)(C)

     600       557  

Ballyrock CLO 16, Ser 2021-16A, Cl A1

                

5.373%, ICE LIBOR USD 3 Month + 1.130%, 07/20/2034(B)(C)

     1,222       1,189  

Cajun Global, Ser 2021-1, Cl A2

                

3.931%, 11/20/2051(C)

     182       154  

College Ave Student Loans, Ser 2021-C, Cl B

                

2.720%, 07/26/2055(C)

     232       189  

Conn's Receivables Funding, Ser 2021-A, Cl A

                

1.050%, 05/15/2026(C)

     1       1  

Diamond Issuer, Ser 2021-1A, Cl A

                

2.305%, 11/20/2051(C)

     839       696  

Domino's Pizza Master Issuer, Ser 2021-1A, Cl A2I

                

2.662%, 04/25/2051(C)

     457       380  

Dryden 78 CLO, Ser 2020-78A, Cl C

                

6.029%, ICE LIBOR USD 3 Month + 1.950%, 04/17/2033(B)(C)

     620       578  

Dryden 78 CLO, Ser 2020-78A, Cl D

                

7.079%, ICE LIBOR USD 3 Month + 3.000%, 04/17/2033(B)(C)

     320       294  

Elevation CLO, Ser 2020-11A, Cl C

                

6.279%, ICE LIBOR USD 3 Month + 2.200%, 04/15/2033(B)(C)

     550       513  

Elmwood CLO IX, Ser 2021-2A, Cl D

                

7.193%, ICE LIBOR USD 3 Month + 2.950%, 07/20/2034(B)(C)

     583       543  

Flatiron CLO 21, Ser 2021-1A, Cl D

                

7.127%, ICE LIBOR USD 3 Month + 2.900%, 07/19/2034(B)(C)

     620       576  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

277

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

GCI Funding I, Ser 2021-1, Cl A

                

2.380%, 06/18/2046(C)

   $ 280     $ 238  

Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR

                

5.313%, ICE LIBOR USD 3 Month + 1.070%, 04/20/2034(B)(C)

     651       633  

Hardee's Funding, Ser 2018-1A, Cl A23

                

5.710%, 06/20/2048(C)

     383       352  

Hardee's Funding, Ser 2020-1A, Cl A2

                

3.981%, 12/20/2050(C)

     267       228  

HFX, Ser 2017-1A

                

3.647%, 03/15/2035

     830       769  

Magnetite XXVI, Ser 2021-26A, Cl A1R

                

5.478%, ICE LIBOR USD 3 Month + 1.120%, 07/25/2034(B)(C)

     1,127       1,097  

MVW, Ser 2021-2A, Cl B

                

1.830%, 05/20/2039(C)

     358       321  

Neighborly Issuer, Ser 2021-1A, Cl A2

                

3.584%, 04/30/2051(C)

     324       259  

Nelnet Student Loan Trust, Ser 2021-DA, Cl AFX

                

1.630%, 04/20/2062(C)

     231       208  

Neuberger Berman Loan Advisers CLO 42, Ser 2021-42A, Cl A

                

5.179%, ICE LIBOR USD 3 Month + 1.100%, 07/16/2035(B)(C)

     1,141       1,103  

Neuberger Berman Loan Advisers CLO 43, Ser 2021-43A, Cl A

                

5.209%, ICE LIBOR USD 3 Month + 1.130%, 07/17/2035(B)(C)

     690       674  

NMEF Funding 2022-B, Ser 2022-B, Cl A2

                

6.070%, 06/15/2029(C)

     367       366  

OCP CLO, Ser 2021-18A, Cl AR

                

5.333%, ICE LIBOR USD 3 Month + 1.090%, 07/20/2032(B)(C)

     849       828  

Octane Receivables Trust, Ser 2021-2A, Cl B

                

2.020%, 09/20/2028(C)

     636       571  

Rad CLO 7, Ser 2020-7A, Cl C

                

6.079%, ICE LIBOR USD 3 Month + 2.000%, 04/17/2033(B)(C)

     280       263  

SMB Private Education Loan Trust, Ser 2021-E, Cl A1A

                

1.680%, 02/15/2051(C)

     511       461  

Upstart Securitization Trust, Ser 2021-3, Cl B

                

1.660%, 07/20/2031(C)

     530       493  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Voya CLO, Ser 2020-1A, Cl DR

                

6.929%, ICE LIBOR USD 3 Month + 2.850%, 04/15/2031(B)(C)

   $ 250     $ 227  
              18,105  
                 

Total Asset-Backed Securities

                

(Cost $32,465) ($ Thousands)

             30,495  
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.9%

FFCB

                

4.680%, U.S. SOFR + 0.380%, 05/08/2023(B)

     7,900       7,908  

4.435%, U.S. SOFR + 0.135%, 11/06/2023(B)

     2,000       2,000  

4.360%, U.S. SOFR + 0.060%, 01/13/2023(B)

     1,400       1,400  

4.340%, U.S. SOFR + 0.040%, 05/15/2024(B)

     300       300  

4.325%, U.S. SOFR + 0.025%, 09/27/2023(B)

     600       600  

0.300%, 09/01/2023

     300       291  

FHLB

                

4.360%, U.S. SOFR + 0.060%, 04/10/2023(B)

     1,300       1,300  

0.620%, 02/26/2026

     200       178  

FHLMC

                

4.200%, 08/28/2025

     700       692  

0.400%, 05/24/2024

     400       376  

0.375%, 05/05/2023

     1,000       986  

0.375%, 07/21/2025

     1,400       1,267  

FNMA

                

3.875%, 08/28/2024

     800       789  

0.625%, 04/22/2025

     1,300       1,194  

0.500%, 06/17/2025

     1,500       1,365  

0.375%, 06/14/2024

     700       656  

0.250%, 05/22/2023

     1,500       1,475  

0.250%, 07/10/2023

     1,100       1,074  

0.250%, 11/27/2023

     100       96  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $24,494) ($ Thousands)

     23,947  
                 
                 
                 

SOVEREIGN DEBT — 0.2%
                 

Colombia Government International Bond

                

3.125%, 04/15/2031

     225       167  

Dominican Republic International Bond

                

4.875%, 09/23/2032(C)

     923       766  

 

 

 

278

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Egypt Government International Bond MTN

                

5.875%, 02/16/2031(C)

   $ 436     $ 303  
                 

Total Sovereign Debt

        

(Cost $1,581) ($ Thousands)

     1,236  
                 
                 
                 

MUNICIPAL BONDS — 0.1%

New York — 0.1%

        

City of New York, Ser D, GO

               

1.923%, 08/01/2031

    535       414  

Port Authority of New York & New Jersey, Ser AAA, RB

               

1.086%, 07/01/2023

    515       506  
                 
              920  
                 

West Virginia — 0.0%

        

Tobacco Settlement Finance Authority, RB

               

3.000%, 06/01/2035

    217       195  
                 
                 
                 

Total Municipal Bonds

                

(Cost $1,269) ($ Thousands)

             1,115  
                 
                 
   


Shares

          

FOREIGN COMMON STOCK — 0.1%
                 

Cameroon — 0.0%

        

Golar LNG Ltd *

     3,346       76  
                 
                 
                 

Canada — 0.0%

        

AbCellera Biologics Inc *

     5,065       51  

Brookfield Infrastructure Corp, Cl A

    972       38  

SunOpta *

     6,200       52  
                 
              141  
                 

Ghana — 0.0%

        

Kosmos Energy Ltd *

     17,245       110  
                 
                 
                 

Monaco — 0.0%

        

Scorpio Tankers Inc

    1,352       73  
                 
                 
                 

Norway — 0.1%

        

FLEX LNG

    1,663       54  

Frontline Ltd

    5,758       70  

SFL Corp Ltd

    5,700       53  
                 
              177  
                 

Total Foreign Common Stock

               

(Cost $406) ($ Thousands)

             577  
                 
                 

 

             

Description

     Number of
Rights		    

Market Value
($ Thousands)

  

RIGHTS — 0.0%

Abiomed Inc *‡‡

     408     $ –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 

PURCHASED OPTION — 0.0%

Total Purchased Option

               

(Cost $701) ($ Thousands)

             143  
                 
                 

Total Investments in Securities — 111.4%

                

(Cost $839,119) ($ Thousands)

  $ 915,766  
                 
                 
                 
   


Shares

          

COMMON STOCK SOLD SHORT— (13.4)%

Communication Services — (0.6)%

        

Altice USA Inc, Cl A *

     (5,500 )     (25 )

Cable One Inc

    (92 )     (65 )

Charter Communications Inc, Cl A *

     (1,711 )     (580 )

Comcast Corp, Cl A

    (67,303 )     (2,354 )

DISH Network Corp, Cl A *

     (4,079 )     (57 )

Fox Corp, Cl A

    (5,198 )     (158 )

Fox Corp, Cl B

    (2,748 )     (78 )

Interpublic Group of Cos Inc/The

    (7,347 )     (245 )

John Wiley & Sons Inc, Cl A

    (1,579 )     (63 )

Liberty Broadband Corp, Cl A *

     (500 )     (38 )

Liberty Broadband Corp, Cl C *

     (1,724 )     (131 )

Liberty Media Corp-Liberty SiriusXM *

     (4,142 )     (163 )

New York Times Co/The, Cl A

    (2,441 )     (79 )

News Corp, Cl A

    (7,260 )     (132 )

News Corp, Cl B

    (3,400 )     (63 )

Nexstar Media Group Inc, Cl A

    (736 )     (129 )

Omnicom Group Inc

    (3,288 )     (268 )

Paramount Global, Cl B

    (8,151 )     (138 )

TEGNA Inc

    (2,534 )     (54 )

Trade Desk Inc/The, Cl A *

     (6,095 )     (273 )
                 
                 
              (5,093 )
                 

Consumer Discretionary — (9.0)%

        

Academy Sports & Outdoors Inc

    (1,287 )     (68 )

Acushnet Holdings Corp

    (1,954 )     (83 )

Adient PLC *

     (5,551 )     (193 )

ADT Inc

    (7,963 )     (72 )

Adtalem Global Education Inc *

     (1,400 )     (50 )

Advance Auto Parts Inc

    (810 )     (119 )

Airbnb Inc, Cl A *

     (8,368 )     (715 )

Amazon.com Inc, Cl A *

     (70,337 )     (5,908 )

American Axle & Manufacturing Holdings Inc *

     (5,039 )     (39 )

American Eagle Outfitters Inc

    (1,300 )     (18 )

Aptiv PLC *

     (15,138 )     (1,410 )

Aramark

    (6,196 )     (256 )

Asbury Automotive Group Inc *

     (222 )     (40 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

279

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

AutoNation Inc *

     (495 )   $ (53 )

AutoZone Inc *

     (222 )     (547 )

Bath & Body Works Inc

    (2,813 )     (119 )

Best Buy Co Inc

    (2,235 )     (179 )

Bloomin' Brands Inc

    (2,177 )     (44 )

Booking Holdings Inc *

     (894 )     (1,802 )

Boot Barn Holdings Inc *

     (594 )     (37 )

BorgWarner Inc

    (14,228 )     (573 )

Boyd Gaming Corp

    (1,640 )     (89 )

Bright Horizons Family Solutions Inc *

     (1,260 )     (80 )

Brinker International Inc *

     (400 )     (13 )

Brunswick Corp/DE

    (3,695 )     (266 )

Burlington Stores Inc *

     (644 )     (131 )

Caesars Entertainment Inc *

     (4,369 )     (182 )

Capri Holdings Ltd *

     (5,821 )     (334 )

CarMax Inc *

     (1,670 )     (102 )

Carnival Corp *

     (19,262 )     (155 )

Carter's Inc

    (1,709 )     (128 )

Cavco Industries Inc *

     (448 )     (101 )

Century Communities Inc

    (1,228 )     (61 )

Cheesecake Factory Inc/The

    (1,800 )     (57 )

Chegg Inc *

     (2,751 )     (70 )

Chipotle Mexican Grill Inc, Cl A *

     (621 )     (862 )

Choice Hotels International Inc

    (986 )     (111 )

Churchill Downs Inc

    (908 )     (192 )

Columbia Sportswear Co

    (1,896 )     (166 )

Coursera Inc *

     (200 )     (2 )

Cracker Barrel Old Country Store Inc

    (500 )     (47 )

Crocs Inc *

     (2,795 )     (303 )

Dana Inc

    (8,679 )     (131 )

Darden Restaurants Inc

    (2,745 )     (380 )

Dave & Buster's Entertainment Inc *

     (1,100 )     (39 )

Deckers Outdoor Corp *

     (1,166 )     (465 )

Dick's Sporting Goods Inc

    (594 )     (71 )

Dollar General Corp

    (2,520 )     (621 )

Dollar Tree Inc *

     (2,282 )     (323 )

Domino's Pizza Inc

    (797 )     (276 )

DoorDash Inc, Cl A *

     (2,028 )     (99 )

Dorman Products Inc *

     (1,803 )     (146 )

DR Horton Inc

    (14,234 )     (1,269 )

DraftKings Inc, Cl A *

     (5,477 )     (62 )

Duolingo Inc, Cl A *

     (693 )     (49 )

eBay Inc

    (6,246 )     (259 )

Ethan Allen Interiors Inc

    (2,300 )     (61 )

Etsy Inc *

     (1,163 )     (139 )

Everi Holdings Inc *

     (2,000 )     (29 )

Expedia Group Inc *

     (3,402 )     (298 )

Fisker *

     (5,542 )     (40 )

Five Below Inc *

     (787 )     (139 )

Floor & Decor Holdings Inc, Cl A *

     (1,171 )     (82 )

Foot Locker Inc, Cl A

    (1,300 )     (49 )

Ford Motor Co

    (225,772 )     (2,626 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Fox Factory Holding Corp *

     (2,710 )   $ (247 )

Frontdoor Inc *

     (1,463 )     (30 )

GameStop Corp, Cl A *

     (1,574 )     (29 )

Garmin Ltd

    (6,927 )     (639 )

General Motors Co

    (81,832 )     (2,753 )

Gentex Corp

    (13,857 )     (378 )

Gentherm Inc *

     (1,743 )     (114 )

Genuine Parts Co

    (1,789 )     (310 )

G-III Apparel Group Ltd *

     (2,800 )     (38 )

Goodyear Tire & Rubber Co/The *

     (17,022 )     (173 )

GoPro Inc, Cl A *

     (5,900 )     (29 )

Graham Holdings Co, Cl B

    (112 )     (68 )

Grand Canyon Education Inc *

     (549 )     (58 )

Green Brick Partners Inc *

     (200 )     (5 )

Group 1 Automotive Inc

    (297 )     (54 )

H&R Block Inc

    (3,135 )     (114 )

Hanesbrands Inc

    (13,929 )     (89 )

Harley-Davidson Inc, Cl A

    (7,475 )     (311 )

Hasbro Inc

    (6,144 )     (375 )

Helen of Troy Ltd *

     (1,242 )     (138 )

Hilton Grand Vacations Inc *

     (2,257 )     (87 )

Hilton Worldwide Holdings Inc

    (6,127 )     (774 )

Holley *

     (5,245 )     (11 )

Home Depot Inc/The

    (11,362 )     (3,589 )

Hyatt Hotels Corp, Cl A *

     (879 )     (79 )

Installed Building Products Inc

    (1,052 )     (90 )

International Game Technology PLC

    (1,900 )     (43 )

iRobot *

     (924 )     (44 )

Jack in the Box Inc

    (613 )     (42 )

KB Home

    (2,851 )     (91 )

Kohl's Corp

    (1,484 )     (37 )

Kontoor Brands Inc

    (2,329 )     (93 )

Las Vegas Sands Corp *

     (7,568 )     (364 )

Laureate Education Inc, Cl A

    (5,000 )     (48 )

La-Z-Boy Inc, Cl Z

    (1,758 )     (40 )

LCI Industries

    (1,570 )     (145 )

Lear Corp

    (3,578 )     (444 )

Leggett & Platt Inc

    (6,563 )     (212 )

Lennar Corp, Cl A

    (11,611 )     (1,051 )

Lennar Corp, Cl B

    (593 )     (44 )

Leslie's Inc *

     (3,500 )     (43 )

LGI Homes Inc *

     (754 )     (70 )

Light & Wonder Inc, Cl A *

     (2,005 )     (117 )

Lithia Motors Inc, Cl A

    (390 )     (80 )

LKQ Corp

    (3,013 )     (161 )

Lowe's Cos Inc

    (7,041 )     (1,403 )

Lucid Group Inc *

     (28,118 )     (192 )

Lululemon Athletica Inc *

     (4,917 )     (1,575 )

Luminar Technologies, Cl A *

     (14,252 )     (71 )

M/I Homes Inc *

     (1,893 )     (87 )

Macy's Inc

    (4,981 )     (103 )

Malibu Boats Inc, Cl A *

     (1,268 )     (68 )

 

 

 

280

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Marriott International Inc/MD, Cl A

    (6,326 )   $ (942 )

Marriott Vacations Worldwide Corp

    (1,044 )     (141 )

Mattel Inc *

     (17,637 )     (315 )

McDonald's Corp

    (17,085 )     (4,502 )

MDC Holdings Inc

    (2,346 )     (74 )

Meritage Homes Corp *

     (1,559 )     (144 )

MGM Resorts International

    (7,297 )     (245 )

Modine Manufacturing Co *

     (4,072 )     (81 )

Mohawk Industries Inc *

     (2,380 )     (243 )

Movado Group Inc

    (1,700 )     (55 )

Murphy USA Inc

    (293 )     (82 )

National Vision Holdings *

     (200 )     (8 )

Newell Brands Inc, Cl B

    (17,787 )     (233 )

NIKE Inc, Cl B

    (53,837 )     (6,299 )

Nordstrom Inc

    (3,100 )     (50 )

Norwegian Cruise Line Holdings Ltd *

     (7,954 )     (97 )

NVR Inc *

     (137 )     (632 )

Ollie's Bargain Outlet Holdings Inc *

     (1,000 )     (47 )

O'Reilly Automotive Inc *

     (706 )     (596 )

Oxford Industries Inc, Cl A

    (495 )     (46 )

Papa John's International Inc, Cl A

    (533 )     (44 )

Patrick Industries Inc

    (990 )     (60 )

Peloton Interactive Inc, Cl A *

     (10,825 )     (86 )

Penn Entertainment Inc *

     (3,236 )     (96 )

Planet Fitness Inc, Cl A *

     (1,652 )     (130 )

Polaris Inc

    (2,518 )     (254 )

Pool Corp

    (509 )     (154 )

PulteGroup Inc

    (10,454 )     (476 )

PVH Corp

    (2,984 )     (211 )

QuantumScape Corp, Cl A *

     (15,035 )     (85 )

Ralph Lauren Corp, Cl A

    (2,098 )     (222 )

Red Rock Resorts Inc, Cl A

    (1,188 )     (48 )

RH *

     (176 )     (47 )

Rivian Automotive Inc, Cl A *

     (26,786 )     (494 )

Ross Stores Inc

    (3,859 )     (448 )

Royal Caribbean Cruises Ltd *

     (4,586 )     (227 )

SeaWorld Entertainment Inc *

     (891 )     (48 )

Service Corp International/US

    (3,635 )     (251 )

Shake Shack Inc, Cl A *

     (1,100 )     (46 )

Signet Jewelers Ltd

    (593 )     (40 )

Six Flags Entertainment Corp *

     (700 )     (16 )

Skechers USA Inc, Cl A *

     (5,945 )     (249 )

Skyline Champion Corp *

     (1,890 )     (97 )

Solid Power *

     (9,900 )     (25 )

Sonos Inc *

     (5,146 )     (87 )

Standard Motor Products Inc

    (1,183 )     (41 )

Starbucks Corp

    (25,419 )     (2,522 )

Steven Madden Ltd

    (3,612 )     (115 )

Strategic Education Inc

    (900 )     (70 )

Stride Inc *

     (1,300 )     (41 )

Sturm Ruger & Co Inc

    (1,191 )     (60 )

Sweetgreen, Cl A *

     (2,800 )     (24 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Tapestry Inc

    (11,906 )   $ (453 )

Target Corp, Cl A

    (5,243 )     (781 )

Taylor Morrison Home Corp, Cl A *

     (5,214 )     (158 )

Tempur Sealy International Inc

    (7,555 )     (259 )

Tesla Inc *

     (35,118 )     (4,326 )

Texas Roadhouse Inc, Cl A

    (1,784 )     (162 )

Thor Industries Inc

    (3,077 )     (232 )

TJX Cos Inc/The

    (13,328 )     (1,061 )

Toll Brothers Inc

    (4,764 )     (238 )

TopBuild Corp *

     (1,561 )     (244 )

Topgolf Callaway Brands Corp *

     (5,578 )     (110 )

Tractor Supply Co

    (1,223 )     (275 )

Travel + Leisure Co

    (1,100 )     (40 )

Tri Pointe Homes Inc *

     (3,726 )     (69 )

Ulta Beauty Inc *

     (539 )     (253 )

Under Armour Inc, Cl A *

     (7,830 )     (80 )

Under Armour Inc, Cl C *

     (7,236 )     (65 )

Vail Resorts Inc

    (1,065 )     (254 )

VF Corp

    (16,764 )     (463 )

Victoria's Secret & Co *

     (588 )     (21 )

Vista Outdoor Inc *

     (2,300 )     (56 )

Visteon Corp *

     (1,593 )     (208 )

Vizio Holding, Cl A *

     (5,100 )     (38 )

Wayfair Inc, Cl A *

     (576 )     (19 )

Wendy's Co/The

    (3,834 )     (87 )

Whirlpool Corp

    (2,759 )     (390 )

Williams-Sonoma Inc

    (705 )     (81 )

Wingstop Inc, Cl A

    (585 )     (81 )

Winnebago Industries Inc

    (1,849 )     (97 )

Wolverine World Wide Inc

    (4,665 )     (51 )

Wyndham Hotels & Resorts Inc

    (2,342 )     (167 )

Wynn Resorts Ltd *

     (2,179 )     (180 )

XPEL Inc *

     (959 )     (58 )

YETI Holdings Inc *

     (3,973 )     (164 )

Yum! Brands Inc

    (6,487 )     (831 )
                 
                 
              (74,378 )
                 

Information Technology — (2.4)%

        

Advanced Micro Devices Inc *

     (9,283 )     (601 )

Amphenol Corp, Cl A

    (4,730 )     (360 )

Analog Devices Inc

    (3,150 )     (517 )

Apple Inc

    (45,212 )     (5,874 )

Applied Materials Inc

    (5,195 )     (506 )

Arista Networks Inc *

     (1,657 )     (201 )

Arrow Electronics Inc, Cl A *

     (592 )     (62 )

Avnet Inc

    (1,377 )     (57 )

Broadcom Inc

    (2,351 )     (1,315 )

CDW Corp/DE

    (1,162 )     (208 )

Ciena Corp *

     (1,089 )     (56 )

Cirrus Logic Inc *

     (193 )     (14 )

Cisco Systems Inc

    (24,906 )     (1,187 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

281

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Cognex Corp

    (1,057 )   $ (50 )

Corning Inc, Cl B

    (6,094 )     (195 )

Dell Technologies Inc, Cl C

    (1,400 )     (56 )

Enphase Energy Inc *

     (766 )     (203 )

Entegris Inc

    (1,186 )     (78 )

F5 Inc, Cl A *

     (400 )     (57 )

First Solar Inc *

     (594 )     (89 )

Hewlett Packard Enterprise Co

    (6,596 )     (105 )

HP Inc

    (5,896 )     (158 )

Intel Corp

    (25,291 )     (668 )

Jabil Inc

    (722 )     (49 )

Juniper Networks Inc

    (2,733 )     (87 )

Keysight Technologies Inc *

     (1,223 )     (209 )

KLA Corp

    (804 )     (303 )

Lam Research Corp

    (863 )     (363 )

Lattice Semiconductor Corp *

     (991 )     (64 )

Lumentum Holdings Inc *

     (495 )     (26 )

Marvell Technology Inc

    (4,178 )     (155 )

Microchip Technology Inc

    (3,011 )     (212 )

Micron Technology Inc

    (7,105 )     (355 )

MKS Instruments Inc

    (471 )     (40 )

Monolithic Power Systems Inc

    (224 )     (79 )

Motorola Solutions Inc

    (1,168 )     (301 )

National Instruments Corp

    (1,400 )     (52 )

NetApp Inc

    (1,826 )     (110 )

Novanta Inc *

     (400 )     (54 )

NVIDIA Corp

    (13,443 )     (1,965 )

ON Semiconductor Corp *

     (2,855 )     (178 )

Pure Storage Inc, Cl A *

     (1,188 )     (32 )

Qorvo Inc *

     (456 )     (41 )

QUALCOMM Inc

    (6,559 )     (721 )

Silicon Laboratories Inc *

     (100 )     (14 )

Skyworks Solutions Inc

    (1,181 )     (108 )

Synaptics Inc *

     (297 )     (28 )

Teledyne Technologies Inc *

     (344 )     (138 )

Teradyne Inc

    (807 )     (70 )

Texas Instruments Inc

    (5,840 )     (965 )

Trimble Inc *

     (1,893 )     (96 )

Universal Display Corp

    (495 )     (53 )

Western Digital Corp *

     (1,658 )     (52 )

Wolfspeed Inc *

     (593 )     (41 )

Zebra Technologies Corp, Cl A *

     (255 )     (65 )
                 
                 
              (19,643 )
                 

Materials — (1.4)%

        

Air Products and Chemicals Inc

    (2,504 )     (772 )

Albemarle Corp

    (1,356 )     (294 )

Alcoa Corp

    (1,741 )     (79 )

Alpha Metallurgical Resources Inc

    (400 )     (59 )

Amcor PLC

    (16,425 )     (196 )

AptarGroup Inc

    (879 )     (97 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Arconic *

     (1,781 )   $ (38 )

Ashland Inc

    (1,078 )     (116 )

ATI Inc *

     (2,386 )     (71 )

Avery Dennison Corp

    (1,151 )     (208 )

Avient Corp

    (1,287 )     (44 )

Axalta Coating Systems Ltd *

     (2,484 )     (63 )

Balchem Corp

    (100 )     (12 )

Ball Corp

    (4,007 )     (205 )

Berry Global Group Inc

    (2,054 )     (124 )

Cabot Corp

    (277 )     (19 )

Celanese Corp, Cl A

    (1,340 )     (137 )

CF Industries Holdings Inc

    (2,358 )     (201 )

Chemours Co/The

    (2,262 )     (69 )

Cleveland-Cliffs Inc *

     (7,543 )     (122 )

Commercial Metals Co, Cl A

    (1,317 )     (64 )

Constellium, Cl A *

     (2,968 )     (35 )

Corteva Inc

    (9,234 )     (543 )

Crown Holdings Inc

    (1,122 )     (92 )

Dow Inc

    (8,359 )     (421 )

DuPont de Nemours Inc

    (6,211 )     (426 )

Eagle Materials Inc

    (495 )     (66 )

Eastman Chemical Co

    (1,457 )     (119 )

Ecolab Inc

    (2,893 )     (421 )

Element Solutions Inc

    (4,101 )     (75 )

FMC Corp

    (1,386 )     (173 )

Freeport-McMoRan Inc, Cl B

    (15,674 )     (596 )

Graphic Packaging Holding Co

    (5,396 )     (120 )

HB Fuller Co

    (983 )     (70 )

Hecla Mining Co

    (592 )     (3 )

Huntsman Corp

    (2,272 )     (62 )

Ingevity Corp *

     (800 )     (56 )

International Flavors & Fragrances Inc

    (3,160 )     (331 )

International Paper Co

    (5,095 )     (177 )

Livent Corp *

     (2,078 )     (41 )

Louisiana-Pacific Corp

    (1,197 )     (71 )

LyondellBasell Industries NV, Cl A

    (3,266 )     (271 )

Martin Marietta Materials Inc, Cl A

    (829 )     (280 )

Minerals Technologies Inc

    (990 )     (60 )

Mosaic Co/The

    (3,766 )     (165 )

MP Materials Corp *

     (500 )     (12 )

Newmont Corp

    (9,043 )     (427 )

Nucor Corp

    (2,909 )     (384 )

Olin Corp

    (1,152 )     (61 )

Packaging Corp of America

    (1,176 )     (150 )

PPG Industries Inc

    (2,626 )     (330 )

Reliance Steel & Aluminum Co

    (702 )     (142 )

Royal Gold Inc, Cl A

    (790 )     (89 )

RPM International Inc

    (1,482 )     (144 )

Sealed Air Corp

    (1,614 )     (81 )

Sensient Technologies Corp

    (700 )     (51 )

Sherwin-Williams Co/The, Cl A

    (2,793 )     (663 )

Silgan Holdings Inc

    (2,185 )     (113 )

 

 

 

282

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Sonoco Products Co

    (1,187 )   $ (72 )

SSR Mining Inc

    (3,500 )     (55 )

Steel Dynamics Inc

    (2,096 )     (205 )

Stepan Co

    (500 )     (53 )

Summit Materials Inc, Cl A *

     (1,610 )     (46 )

Tronox Holdings

    (2,473 )     (34 )

United States Steel Corp

    (2,927 )     (73 )

Valvoline Inc

    (1,781 )     (58 )

Vulcan Materials Co

    (1,776 )     (311 )

Warrior Met Coal Inc

    (200 )     (7 )

Westlake Corp

    (594 )     (61 )

Westrock Co

    (3,792 )     (133 )
                 
                 
              (11,419 )
                 

Total Common Stock Sold Short

                

(Proceeds $129,305) ($ Thousands)

             (110,533 )
                 
                 
                 

FOREIGN COMMON STOCK SOLD SHORT— (0.3)%

Peru — (0.0)%

        

Southern Copper Corp

    (1,391 )     (84 )
                 
                 
                 
                 

United Kingdom — (0.3)%

        

Linde PLC

    (5,852 )     (1,909 )
                 
                 
                 
                 

Total Foreign Common Stock Sold Short

                

(Proceeds $1,664) ($ Thousands)

             (1,993 )
                 
                 

Total Investments Sold Short — (13.7)%

                

(Proceeds $130,969) ($ Thousands)

  $ (112,526 )
                 
                 

WRITTEN OPTIONS — (0.0)%

Total Written Options

               

(Premiums Received $693) ($ Thousands)

           $ (201 )
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

283

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

 

A list of the open exchange traded options contracts held by the Fund at December 31, 2022, is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTION — 0.0%

                                

Call Options

                                        

March 2023, Natural Gas Future^

     120     $ 7,200     $ 6.00       2/18/2023     $ 143  
                                         
                                       
                                       

Total Purchased Option

           $ 7,200                     $ 143  

WRITTEN OPTIONS — 0.0%

                                

Put Options

                                        

March 2023, Natural Gas Future^

     (8 )   $ (400 )     5.00       02/18/23     $ (91 )
                                       
                                         
                                         

Call Options

                                        

March 2023, Natural Gas Future^

     (120 )   $ (7,800 )     6.50       02/18/23     $ (105 )

March 2023, Natural Gas Future^

     (7 )     (490 )     7.00       02/18/23       (5 )
                                       
            $ (8,290 )                     (110 )
                                         
                                         

Total Written Options

           $ (8,690 )                   $ (201 )
                                         
                                         

 

A list of the open futures contracts held by the Fund at December 31, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Brent Crude^

     77       Jan-2023     $ 6,516     $ 6,615     $ 99  

Brent Crude^

     23       Jul-2023       1,883       1,911       28  

Brent Crude^

     11       May-2023       932       926       (6 )

Brent Crude^

     11       Mar-2023       1,000       938       (62 )

Coffee C^

     8       Jul-2023       487       500       13  

Coffee C^

     4       Sep-2023       246       249       3  

Coffee C^

     2       Mar-2023       124       125       1  

Coffee C^

     4       May-2023       259       250       (9 )

Copper^

     6       Sep-2023       577       572       (5 )

Copper^

     13       Jul-2023       1,208       1,240       32  

Copper^

     6       May-2023       563       572       9  

Copper^

     9       Mar-2023       841       857       16  

Copper^

     12       May-2023       1,156       1,144       (11 )

Corn^

     124       Mar-2023       4,179       4,207       28  

Corn^

     24       May-2023       808       814       5  

Corn^

     49       Jul-2023       1,639       1,646       7  

Corn^

     26       Sep-2023       791       815       24  

Cotton No. 2^

     3       May-2023       133       125       (8 )

Cotton No. 2^

     3       Dec-2023       117       121       4  

Cotton No. 2^

     7       Jul-2023       290       292       2  

Cotton No. 2^

     8       Mar-2023       322       333       11  

Gasoline^

     9       Feb-2023       842       937       95  

Gasoline^

     6       Jun-2023       650       647       (4 )

Gasoline^

     3       Aug-2023       285       312       28  

Gasoline^

     3       Apr-2023       317       330       13  

Gold^

     66       Feb-2023       11,627       12,053       426  

Gold^

     11       Apr-2023       1,989       2,026       37  

Gold^

     11       Jun-2023       1,901       2,043       143  

Gold^

     21       Aug-2023       3,822       3,935       112  

KC HRW Wheat^

     41       Mar-2023       1,766       1,820       55  

KC HRW Wheat^

     11       Jul-2023       516       482       (33 )

KC HRW Wheat^

     6       Sep-2023       253       263       10  

 

 

 

284

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

KC HRW Wheat^

     6       May-2023     $ 270     $ 265     $ (6 )

KC HRW Wheat^

     7       Mar-2023       323       311       (12 )

Lean Hogs^

     6       Aug-2023       253       261       8  

Lean Hogs^

     6       Apr-2023       227       229       2  

Lean Hogs^

     6       Jul-2023       255       263       8  

Lean Hogs^

     6       Jun-2023       233       262       29  

Lean Hogs^

     34       Feb-2023       1,228       1,193       (35 )

Live Cattle^

     17       Aug-2023       1,054       1,072       17  

Live Cattle^

     8       Jun-2023       490       505       15  

Live Cattle^

     8       Apr-2023       505       518       13  

Live Cattle^

     11       Feb-2023       684       695       10  

LME Lead^

     31       Mar-2023       1,699       1,790       91  

LME Nickel^

     3       May-2023       414       544       130  

LME Nickel^

     6       Jul-2023       912       1,094       181  

LME Nickel^

     3       Sep-2023       545       550       5  

LME Nickel^

     11       Mar-2023       1,752       1,983       231  

LME Primary Aluminum^

     7       Sep-2023       440       425       (14 )

LME Primary Aluminum^

     5       Mar-2023       298       297       (1 )

LME Primary Aluminum^

     7       May-2023       407       419       12  

LME Primary Aluminum^

     15       Jul-2023       887       905       18  

LME Zinc^

     71       Mar-2023       5,423       5,283       (139 )

LME Zinc^

     5       May-2023       388       370       (18 )

LME Zinc^

     5       Sep-2023       401       366       (36 )

LME Zinc^

     9       Jul-2023       635       662       27  

Low Sulphur Gasoil^

     70       Mar-2023       5,990       6,178       188  

Low Sulphur Gasoil^

     10       Jul-2023       873       812       (61 )

Low Sulphur Gasoil^

     5       Sep-2023       385       400       15  

Low Sulphur Gasoil^

     5       May-2023       448       416       (32 )

Natural Gas^

     57       Jun-2023       2,899       2,370       (529 )

Natural Gas^

     29       Aug-2023       1,478       1,192       (286 )

Natural Gas^

     225       Feb-2023       12,734       9,234       (3,500 )

Natural Gas^

     30       Apr-2023       1,473       1,179       (294 )

NY Harbor ULSD^

     3       Aug-2023       339       363       24  

NY Harbor ULSD^

     3       Apr-2023       372       376       3  

NY Harbor ULSD^

     35       Feb-2023       4,330       4,673       343  

NY Harbor ULSD^

     6       Jun-2023       750       734       (16 )

NYMEX Cocoa^

     75       Mar-2023       1,941       1,950       9  

Palladium^

     1       Mar-2023       200       180       (20 )

Platinum^

     7       Apr-2023       353       379       26  

Silver^

     5       Sep-2023       600       615       15  

Silver^

     11       Jul-2023       1,199       1,341       143  

Silver^

     64       Mar-2023       6,851       7,693       842  

Silver^

     6       May-2023       647       726       79  

Soybean^

     21       Jul-2023       1,513       1,610       97  

Soybean^

     11       May-2023       796       842       46  

Soybean^

     36       Mar-2023       2,619       2,743       125  

Soybean^

     12       Nov-2023       835       850       15  

Soybean Meal^

     12       Dec-2023       500       494       (6 )

Soybean Meal^

     164       Mar-2023       7,133       7,724       592  

Soybean Meal^

     11       May-2023       450       507       57  

Soybean Meal^

     23       Jul-2023       924       1,045       121  

Soybean Oil^

     180       Mar-2023       6,878       6,920       42  

Soybean Oil^

     12       Dec-2023       427       445       18  

Soybean Oil^

     24       Jul-2023       938       915       (23 )

Soybean Oil^

     12       May-2023       450       460       10  

Sugar No. 11^

     220       Apr-2023       4,746       4,613       (133 )

Sugar No. 11^

     19       Apr-2023       384       398       14  

Sugar No. 11^

     81       Feb-2023       1,756       1,818       62  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

285

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Sugar No. 11^

     41       Jun-2023     $ 806     $ 826     $ 19  

Sugar No. 11^

     21       Sep-2023       415       419       4  

U.S. 2-Year Treasury Note

     193       Mar-2023       39,540       39,580       40  

Wheat^

     20       Jul-2023       852       803       (49 )

Wheat^

     10       May-2023       422       399       (22 )

Wheat^

     8       Mar-2023       323       317       (7 )

Wheat^

     10       Sep-2023       385       405       19  

WTI Crude Oil^

     14       Aug-2023       1,031       1,104       73  

WTI Crude Oil^

     27       Jun-2023       2,177       2,155       (22 )

WTI Crude Oil^

     13       Apr-2023       1,040       1,046       6  

WTI Crude Oil^

     82       Feb-2023       6,365       6,597       232  
                      195,329       195,208       (122 )

Short Contracts

                                        

Coffee C^

     (2 )     Mar-2023     $ (120 )   $ (125 )   $ (5 )

Cotton No. 2^

     (9 )     Mar-2023       (374 )     (375 )     (1 )

Feeder Cattle^

     (29 )     Mar-2023       (2,688 )     (2,700 )     (12 )

Japanese 10-Year Bond

     (15 )     Mar-2023       (16,301 )     (16,536 )     324  

Lean Hogs^

     (10 )     Feb-2023       (361 )     (351 )     11  

LME Primary Aluminum^

     (22 )     Mar-2023       (1,303 )     (1,305 )     (1 )

MSCI EAFE Index

     (141 )     Mar-2023       (14,225 )     (13,743 )     482  

S&P 500 Index E-MINI

     (139 )     Mar-2023       (28,185 )     (26,834 )     1,351  

U.S. 5-Year Treasury Note

     (106 )     Mar-2023       (11,441 )     (11,441 )     1  

U.S. Ultra Long Treasury Bond

     (38 )     Mar-2023       (5,213 )     (5,104 )     109  

Ultra 10-Year U.S. Treasury Note

     (158 )     Mar-2023       (19,095 )     (18,688 )     406  

Wheat^

     (3 )     Mar-2023       (111 )     (119 )     (8 )
                      (99,417 )     (97,321 )     2,657  
                    $ 95,912     $ 97,887     $ 2,535  

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

UBS

     02/27/23       EUR       3,347       USD       3,533     $ (52 )
                                                 

 

A list of open OTC swap agreements held by the Fund at December 31, 2022, are as follows:

 

Credit Default Swaps - Sell Protection

Counterparty

  

Reference Entity/ Obligation

    

Receive Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Credit Suisse

     CMBX.BBB.6       3.00%       Monthly       05/11/2063     $ 66     $ (17 )   $ (8 )   $ (9 )

Credit Suisse

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       1       —       —       —  

Citibank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       11       (3 )     (1 )     (2 )

Citibank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       4       (1 )     —       (1 )

Citibank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       20       (5 )     (2 )     (3 )

Deutsche Bank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       17       (5 )     (2 )     (3 )

Citibank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       20       (5 )     (2 )     (3 )

Citibank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       17       (4 )     (2 )     (2 )

Deutsche Bank

     CMBX.BBB.6       3.00%       Monthly       05/11/2063       124       (30 )     (14 )     (16 )

Deutsche Bank

     CMBX.NA.BBB.6       3.00%       Monthly       12/31/2049       18       (7 )     (1 )     (6 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       12/31/2049       160       (41 )     (9 )     (32 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       12/31/2049       267       (68 )     (18 )     (50 )

Credit Suisse

     CMBX.NA.BBB.6       3.00%       Monthly       12/31/2049       141       (35 )     (9 )     (26 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       19       (5 )     (2 )     (3 )

CGG

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       15       (5 )     (2 )     (3 )

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       15       (5 )     (2 )     (3 )

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       2       (1 )     —       (1 )

 

 

 

286

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Continued)

 

 

Counterparty

  

Reference Entity/ Obligation

    

Receive Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063     $ 58     $ (14 )   $ (6 )   $ (8 )

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       2       (3 )     —       (3 )

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       10       (3 )     (1 )     (2 )

Citibank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       37       (9 )     (4 )     (5 )

JPMorgan Chase

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       312       (78 )     (36 )     (42 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       9       (3 )     (1 )     (2 )

JPMorgan Chase

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       31       (8 )     (3 )     (5 )

Deutsche Bank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       69       (17 )     (7 )     (10 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       134       (35 )     (13 )     (22 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       205       (51 )     (26 )     (25 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       121       (30 )     (10 )     (20 )

JPMorgan Chase

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       28       (7 )     (3 )     (4 )

JPMorgan Chase

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       125       (31 )     (11 )     (20 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       40       (10 )     (4 )     (6 )

Goldman Sachs

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       19       (5 )     (2 )     (3 )

Deutsche Bank

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       69       (18 )     (7 )     (11 )

JPMorgan Chase

     CMBX.NA.BBB.6       3.00%       Monthly       05/11/2063       109       (27 )     (13 )     (14 )
                                            $ (586 )   $ (221 )   $ (365 )

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

JPMorgan Chase

     IBOXHY-TRS-652981       IBOXX USD LIQUID HY Index       3-MONTH USD LIBOR       Annually       03/20/2023       USD       4,300     $ 45     $ –     $ 45  

Morgan Stanley

     IBOXHY-TRS-670730       IBOXX USD LIQUID HY Index       3-MONTH USD LIBOR       Annually       03/20/2023       USD       16,070       260       –       260  
                                                            $ 305     $ –     $ 305  

 

A list of open centrally cleared swap agreements held by the Fund at December 31, 2022, are as follows:

 

Credit Default Swaps - Buy Protection

      

Reference Entity/ Obligation

  

Pay Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDX.NA.HY.S38.V1 5-Year

     1.00%       Quarterly       06/20/2027     $ 79,410     $ (835 )   $ (959 )   $ 124  

CDX.NA.HY.S38.V1 5-Year

     5.00%       Quarterly       06/20/2027       4,366       (90 )     (178 )     88  

Malaysia-634853

     1.00%       Quarterly       06/20/2027       39,000       (426 )     (532 )     106  

Malaysia-658305

     1.00%       Quarterly       12/20/2027       39,000       (364 )     (234 )     (130 )
                                    $ (1,715 )   $ (1,903 )   $ 188  

 

Credit Default Swaps - Sell Protection

      

Reference Entity/ Obligation

  

Receive Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDX.NA.HY.S38.V1 5-Year

     1.00%       Quarterly       06/20/2027     $ 22,683     $ 238     $ 131     $ 107  

CDX.NA.HY.S38.V1 5-Year

     5.00%       Quarterly       06/20/2027       477       10       1       9  

CDX.NA.HY.S38.V1 5-Year

     1.00%       Quarterly       06/20/2027       41,293       434       276       158  

CDX.NA.HY.S38.V1 5-Year

     5.00%       Quarterly       06/20/2027       811       17       11       6  

CDX.NA.HY.S38.V1 5-Year

     5.00%       Quarterly       06/20/2027       716       15       4       11  

CDX-NA.HY.S38.V2 5-Year

     5.00%       Quarterly       06/20/2027       1,633       33       (20 )     53  

CDX-NA.HY.S38.V2 5-Year

     5.00%       Quarterly       06/20/2027       730       15       4       11  

CDX-NA.IG.S38.V1 5-Year

     1.00%       Quarterly       06/20/2027       15,434       162       168       (6 )

Malaysia-658304

     1.00%       Quarterly       06/20/2027       39,000       426       329       97  
                                    $ 1,350     $ 904     $ 446  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

287

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Inflation Managed Fund (Concluded)

 

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

USD @ 0%

     USD CPI       Annually       01/15/2027       USD       6,000     $ 677     $ –     $ 677  

3 MONTH USD - LIBOR

     2.31%       Semi-Annually       05/18/2025       USD       2,820       139       –       139  

1.99%

     3-MONTH USD - LIBOR       Semi-Annually       04/21/2025       USD       2,760       153       –       153  

2.49%

     3-MONTH USD - LIBOR       Semi-Annually       06/09/2025       USD       1,710       79       –       79  

2.293%

     3-MONTH USD - LIBOR       Semi-Annually       08/04/2025       USD       2,717       141       –       141  

2.631%

     3-MONTH USD - LIBOR       Semi-Annually       11/10/2035       USD       1,190       141       –       141  

1.60%

     3-MONTH USD - LIBOR       Semi-Annually       10/25/2026       USD       6,110       540       –       540  

1.66%

     3-MONTH USD - LIBOR       Semi-Annually       11/08/2026       USD       1,490       131       –       131  

1.67%

     3-MONTH USD - LIBOR       Semi-Annually       11/09/2026       USD       1,490       130       –       130  

2.44%

     3-MONTH USD - LIBOR       Semi-Annually       04/04/2027       USD       10,400       657       –       657  

2.3545%

     3-MONTH USD - LIBOR       Semi-Annually       07/12/2027       USD       1,075       74       –       74  

2.1495%

     3-MONTH USD - LIBOR       Semi-Annually       06/04/2029       USD       4,220       416       –       416  

1.593%

     3-MONTH USD - LIBOR       Semi-Annually       09/27/2029       USD       2,230       300       –       300  

0.5575%

     3-MONTH USD - LIBOR       Semi-Annually       06/05/2027       USD       15,800       2,219       –       2,219  

1.6165%

     3 MONTH USD- LIBOR       Semi-Annually       05/21/2031       USD       18,720       2,993       –       2,993  
                                            $ 8,790     $ –     $ 8,790  

 

 

A list of the reverse repurchase agreements outstanding as of December 31, 2022 was as follows:

 

 

Multi-Asset Inflation Managed Fund

  
 

Principal Amount ($ Thousands)

 

Counterparty

  

Rate

    

Value ($ Thousands)

  
  $ (116,400 )

Chase Securities

     3.87 %   $ (116,400 )
                    $ (116,400 )

 

 

Percentages are based on Net Assets of $822,383 ($ Thousands).

*

Non-income producing security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

^

Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of December 31, 2022.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $81,271 ($ Thousands), representing 9.9% of the Net Assets of the Fund.

(D)

Security is in default on interest payment.

(E)

Perpetual security with no stated maturity date.

(F)

Zero coupon security.

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary” for abbreviations.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

288

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

COMMERCIAL PAPER — 33.8%

Communication Services — 1.9%

        

AT&T Inc.

                

4.753%, 01/18/2023 (A)

     12,000     $ 11,971  
                 
                 
                 

Consumer Discretionary — 5.6%

        

American Honda Finance Corp

                

4.741%, 02/03/2023 (A)

     12,000       11,945  

Harley-Davidson Financial Services

                

5.135%, 01/18/2023 (A)

     12,000       11,970  

Parker-Hannifin Corp.

                

4.694%, 01/04/2023 (A)

     12,000       11,992  
                 
              35,907  
                 

Consumer Staples — 3.7%

        

Conagra Brands Inc.

                

5.022%, 01/13/2023 (A)

     11,750       11,728  

Walgreens Boots Alliance Inc.

                

4.919%, 01/17/2023 (A)

     11,750       11,722  
                 
              23,450  
                 

Energy — 1.6%

        

Centennial Energy Holdings

                

5.020%, 01/17/2023 (A)

     10,150       10,126  
                 
                 
                 

Financials — 10.3%

        

Aviation Capital Group LLC

                

5.124%, 01/03/2023 (A)

     12,000       11,994  

Barclays US

                

4.284%, 01/17/2023 (A)

     12,000       11,974  

General Motors Financial

                

4.748%, 01/09/2023 (A)

     12,000       11,984  

Intesa Funding LLC

                

4.292%, 01/03/2023 (A)

     10,300       10,294  

Southern California Edison

                

4.823%, 01/18/2023 (A)

     8,000       7,980  

VW Credit Inc.

                

4.891%, 02/22/2023 (A)

     11,750       11,665  
                 
              65,891  
                 

Health Care — 1.8%

        

Humana Inc.

                

4.827%, 01/23/2023 (A)

     11,750       11,713  
                 
                 
                 

Information Technology — 1.9%

        

Oracle Corp.

                

4.578%, 01/05/2023 (A)

     12,000       11,991  
                 
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

COMMERCIAL PAPER (continued)

Materials — 1.9%

        

Dow Chemicals Co.

                

4.549%, 01/19/2023 (A)

     12,000     $ 11,969  
                 
                 
                 

Utilities — 5.1%

        

Brookfield Infrastructure Holdings Canada

                

4.998%, 01/10/2023 (A)

     12,000       11,983  

Enel Finance America LLC

                

5.242%, 01/17/2023 (A)

     12,000       11,971  

WGL Holdings Inc.

                

157.185%, 01/05/2023 (A)

     9,050       9,044  
                 
              32,998  
                 

Total Commercial Paper

        

(Cost $216,063) ($ Thousands)

     216,016  
                 
                 
   


Shares

          

EXCHANGE TRADED FUNDS — 5.5%
                 

Invesco Nasdaq 100 ETF

    36       4  

Vanguard Mortgage-Backed Securities ETF

    75       3  

Energy Select Sector SPDR Fund

    6       1  

Financial Select Sector SPDR Fund

    10       —  

Industrial Select Sector SPDR Fund

    1       —  

Invesco QQQ Trust Series 1, Ser 1

    9       2  

iShares China Large-Cap ETF

    20       1  

iShares Core S&P 500 ETF

    42,145       16,193  

Lyxor FTSE MIB UCITS ETF

    2       —  

SPDR S&P Homebuilders ETF

    20       1  

Vanguard Health Care ETF

    3       1  

Vanguard Intermediate-Term Corporate Bond ETF

    24,335       1,886  

Vanguard Long-Term Corporate Bond ETF

    10,550       799  

Vanguard S&P 500 ETF

    45,998       16,161  

Vanguard Small-Capital ETF

    8       1  

WisdomTree Japan Hedged Equity Fund

    12       1  
                 
                 

Total Exchange Traded Funds

               

(Cost $25,022) ($ Thousands)

             35,054  
                 
                 
   

Face Amount
(Thousands)

          

SOVEREIGN DEBT — 4.8%
                 

Japan Treasury Discount Bill

                

-0.142%, 02/27/2023(B)(C)

   JPY 1,463,150       11,092  

Japanese Government CPI Linked Bond

                

0.100%, 03/10/2026

     1,401,545       11,021  

0.100%, 03/10/2027

     1,120,493       8,895  
                 

Total Sovereign Debt

        

(Cost $34,420) ($ Thousands)

     31,008  
                 
                 

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

289

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 4.6%

U.S. Treasury Inflation Protected Securities

               

3.875%, 04/15/2029

  $ 620     $ 697  

3.625%, 04/15/2028

    350       381  

3.375%, 04/15/2032

    97       112  

2.500%, 01/15/2029

    386       403  

2.375%, 01/15/2025

    691       691  

2.375%, 01/15/2027

    363       370  

2.125%, 02/15/2040

    198       209  

2.125%, 02/15/2041

    323       342  

2.000%, 01/15/2026

    184       184  

1.750%, 01/15/2028

    506       506  

1.625%, 10/15/2027

    309       309  

1.375%, 02/15/2044

    552       512  

1.000%, 02/15/2046

    300       254  

1.000%, 02/15/2048

    270       227  

1.000%, 02/15/2049

    261       218  

0.875%, 01/15/2029

    651       620  

0.875%, 02/15/2047

    368       301  

0.750%, 07/15/2028

    775       738  

0.750%, 02/15/2042

    383       321  

0.750%, 02/15/2045

    596       482  

0.625%, 01/15/2024

    1,043       1,021  

0.625%, 01/15/2026

    759       729  

0.625%, 07/15/2032

    1,105       1,012  

0.625%, 02/15/2043

    395       319  

0.500%, 04/15/2024

    643       625  

0.500%, 01/15/2028

    995       935  

0.375%, 07/15/2025

    1,022       981  

0.375%, 01/15/2027

    880       829  

0.375%, 07/15/2027

    869       819  

0.250%, 01/15/2025

    1,181       1,133  

0.250%, 07/15/2029

    858       786  

0.250%, 02/15/2050

    354       238  

0.125%, 07/15/2024

    608       588  

0.125%, 10/15/2024

    1,124       1,082  

0.125%, 04/15/2025

    1,065       1,015  

0.125%, 10/15/2025

    251       238  

0.125%, 10/15/2025

    659       626  

0.125%, 04/15/2026

    745       701  

0.125%, 07/15/2026

    713       672  

0.125%, 10/15/2026

    884       829  

0.125%, 04/15/2027

    871       811  

0.125%, 01/15/2030

    885       795  

0.125%, 07/15/2030

    1,011       905  

0.125%, 01/15/2031

    1,154       1,025  

0.125%, 07/15/2031

    1,095       968  

0.125%, 01/15/2032

    1,178       1,032  

0.125%, 02/15/2051

    388       250  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

0.125%, 02/15/2052

  $ 444     $ 287  
         

Total U.S. Treasury Obligations

        

(Cost $31,355) ($ Thousands)

     29,128  
                 
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATION — 2.0%

FHLB

                

1.375%, 02/17/2023

     12,910       12,863  
                 

Total U.S. Government Agency Obligation

                

(Cost $12,929) ($ Thousands)

     12,863  
                 
                 
   


Shares

          

COMMON STOCK — 0.8%
                 

Communication Services — 0.0%

        

Alphabet Inc, Cl A *

     389       34  

AMC Entertainment Holdings Inc, Cl A

    373       1  

AT&T Inc

    647       12  

IAC Inc *

     13       1  

New York Times Co/The, Cl A

    254       8  

Omnicom Group Inc

    366       30  

Playtika Holding Corp *

     142       1  

Sirius XM Holdings Inc

    7,534       44  

Take-Two Interactive Software Inc, Cl A *

     88       9  

Trade Desk Inc/The, Cl A *

     69       3  

Walt Disney Co/The *

     180       16  

World Wrestling Entertainment Inc, Cl A

    322       22  

ZoomInfo Technologies Inc, Cl A *

     753       23  
                 
              204  

Consumer Discretionary — 0.1%

        

Amazon.com Inc, Cl A *

     491       41  

Booking Holdings Inc *

     4       8  

BorgWarner Inc

    218       9  

Coupang, Cl A *

     357       5  

Ferrari

    38       8  

Garmin Ltd

    718       66  

Harley-Davidson Inc, Cl A

    50       2  

Leggett & Platt Inc

    698       23  

LKQ Corp

    266       14  

Mattel Inc *

     1,349       24  

McDonald's Corp

    116       31  

O'Reilly Automotive Inc *

     61       51  

Service Corp International/US

    329       23  

Starbucks Corp

    139       14  

Stellantis

    2,194       31  

Tempur Sealy International Inc

    262       9  

TJX Cos Inc/The

    646       51  

Topgolf Callaway Brands Corp *

     392       8  

Under Armour Inc, Cl C *

     2,445       22  

Wendy's Co/The

    977       22  

 

 

 

290

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Yum! Brands Inc

    147     $ 19  
                 
              481  

Consumer Staples — 0.1%

        

Church & Dwight Co Inc

    91       7  

Coca-Cola Co/The

    357       23  

Estee Lauder Cos Inc/The, Cl A

    133       33  

Hershey Co/The

    94       22  

Keurig Dr Pepper Inc

    1,233       44  

Lamb Weston Holdings Inc

    265       24  

McCormick & Co Inc/MD

    469       39  

Mondelez International Inc, Cl A

    687       46  

Olaplex Holdings Inc *

     1,121       6  

PepsiCo Inc

    185       33  

Philip Morris International Inc

    223       23  

Procter & Gamble Co/The

    405       61  

Sprouts Farmers Market Inc *

     669       22  

Sysco Corp, Cl A

    296       22  

Tyson Foods Inc, Cl A

    71       4  

US Foods Holding Corp *

     255       9  

Walgreens Boots Alliance Inc

    786       29  
                 
              447  

Energy — 0.0%

        

Antero Midstream Corp

    6,396       69  

Chevron Corp

    256       46  

Crescent Point Energy Corp

    1,291       9  

Enbridge

    512       20  

Magnolia Oil & Gas Corp, Cl A

    969       23  

New Fortress Energy Inc, Cl A

    175       7  

Pembina Pipeline

    382       13  
                 
              187  

Financials — 0.1%

        

American Express Co

    81       12  

American International Group Inc

    74       5  

Bank of Montreal

    260       23  

Bank of New York Mellon Corp/The

    525       24  

Bank OZK

    1,127       45  

Berkshire Hathaway Inc, Cl B *

     91       28  

Blue Owl Capital Inc, Cl A

    1,939       21  

Canadian Imperial Bank of Commerce

    418       17  

Carlyle Group Inc/The

    284       9  

Cincinnati Financial Corp

    383       39  

CME Group Inc, Cl A

    237       40  

Comerica Inc

    170       11  

Fifth Third Bancorp

    714       23  

Franklin Resources Inc

    825       22  

FS KKR Capital Corp

    1,298       23  

Hartford Financial Services Group Inc/The

    302       23  

Intercontinental Exchange Inc

    672       69  

Jefferies Financial Group Inc

    44       2  

JPMorgan Chase & Co

    369       49  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lazard Ltd, Cl A

    226     $ 8  

Lincoln National Corp

    280       9  

Manulife Financial

    2,577       46  

Marsh & McLennan Cos Inc

    268       44  

MetLife Inc

    972       70  

Nasdaq Inc, Cl A

    362       22  

Old Republic International Corp

    267       6  

Owl Rock Capital

    1,908       22  

PNC Financial Services Group Inc/The

    148       23  

Progressive Corp/The

    202       26  

Prudential Financial Inc

    235       23  

Royal Bank of Canada

    246       23  

S&P Global Inc

    78       26  

T Rowe Price Group Inc

    157       17  

Toronto-Dominion Bank

    244       16  

Truist Financial Corp

    1,110       48  

Zions Bancorp NA

    215       11  
                 
              925  

Health Care — 0.1%

        

Abbott Laboratories

    640       70  

Agilent Technologies Inc

    13       2  

Amgen Inc, Cl A

    87       23  

Avantor Inc *

     1,039       22  

Baxter International Inc

    430       22  

Beam Therapeutics *

     25       1  

Cardinal Health Inc

    286       22  

CVS Health Corp

    233       22  

Danaher Corp, Cl A

    120       32  

Elanco Animal Health Inc *

     1,801       22  

Exact Sciences Corp *

     28       1  

Gilead Sciences Inc

    354       31  

Humana Inc

    44       23  

Intellia Therapeutics *

     300       10  

Ionis Pharmaceuticals Inc *

     233       9  

Johnson & Johnson

    187       33  

Laboratory Corp of America Holdings

    99       23  

Lantheus Holdings Inc *

     371       19  

Medtronic PLC

    636       49  

Merck & Co Inc

    382       42  

Novocure Ltd *

     117       9  

Seagen Inc *

     198       25  

Stryker Corp

    49       12  

Thermo Fisher Scientific Inc

    13       7  

UnitedHealth Group Inc

    84       45  

Vertex Pharmaceuticals Inc *

     39       11  

Zoetis Inc, Cl A

    318       47  
                 
              634  

Industrials — 0.1%

        

3M Co

    185       22  

Aerojet Rocketdyne Holdings Inc *

     417       23  

Atlas

    2,274       35  

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

291

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CH Robinson Worldwide Inc

    398     $ 36  

ChargePoint Holdings Inc *

     241       2  

CSX Corp

    698       22  

Cummins Inc

    99       24  

Eaton Corp PLC

    155       25  

Emerson Electric Co

    256       25  

Equifax Inc

    46       9  

Fastenal Co, Cl A

    926       44  

GXO Logistics Inc *

     189       8  

Honeywell International Inc

    135       29  

Illinois Tool Works Inc

    51       11  

Ingersoll Rand Inc

    170       9  

JB Hunt Transport Services Inc

    28       5  

Johnson Controls International plc

    398       26  

Masco Corp

    364       17  

Norfolk Southern Corp

    38       9  

Rockwell Automation Inc

    36       9  

Ryder System Inc

    16       1  

United Parcel Service Inc, Cl B

    187       33  

Westinghouse Air Brake Technologies Corp

    202       20  
                 
              444  

Information Technology — 0.1%

        

Accenture PLC, Cl A

    77       21  

Analog Devices Inc

    72       12  

Apple Inc

    584       76  

Asana, Cl A *

     157       2  

Autodesk Inc, Cl A *

     51       10  

Automatic Data Processing Inc

    51       12  

Broadcom Inc

    33       19  

Ciena Corp *

     143       7  

Cirrus Logic Inc *

     110       8  

Cisco Systems Inc

    350       17  

Cognizant Technology Solutions Corp, Cl A

    802       46  

Dell Technologies Inc, Cl C

    209       8  

Dropbox Inc, Cl A *

     372       8  

Dynatrace Inc *

     224       9  

Fidelity National Information Services Inc, Cl B

    146       10  

Freshworks, Cl A *

     572       8  

Gitlab, Cl A

    61       3  

Hewlett Packard Enterprise Co

    496       8  

HubSpot Inc *

     15       4  

Intuit Inc

    13       5  

Keysight Technologies Inc *

     54       9  

Lattice Semiconductor Corp *

     245       16  

Logitech International

    84       5  

Marvell Technology Inc

    196       7  

Mastercard Inc, Cl A

    63       22  

Microsoft Corp

    963       231  

New Relic Inc *

     14       1  

Paychex Inc

    268       31  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Pure Storage Inc, Cl A *

     229     $ 6  

Salesforce Inc *

     105       14  

Samsara, Cl A *

     788       10  

Teradyne Inc

    289       25  

Texas Instruments Inc

    183       30  

Universal Display Corp

    75       8  
                 
              708  

Materials — 0.0%

        

Alamos Gold Inc, Cl A

    2,354       24  

Ball Corp

    164       8  

Berry Global Group Inc

    67       4  

Commercial Metals Co, Cl A

    176       9  

Crown Holdings Inc

    37       3  

DuPont de Nemours Inc

    306       21  

Ecolab Inc

    220       32  

Franco-Nevada

    159       22  

Linde PLC

    106       35  

Martin Marietta Materials Inc, Cl A

    90       30  

PPG Industries Inc

    74       9  

Sherwin-Williams Co/The, Cl A

    43       10  

Westrock Co

    220       8  
                 
              215  

Real Estate — 0.1%

        

American Tower Corp, Cl A ‡

     109       23  

CBRE Group Inc, Cl A *

     296       23  

Equinix Inc ‡

     16       11  

Host Hotels & Resorts Inc ‡

     392       6  

Invitation Homes Inc ‡

     1,464       43  

Kimco Realty Corp ‡

     2,011       43  

Realty Income Corp ‡

     352       22  

STAG Industrial Inc ‡

     1,366       44  

VICI Properties Inc ‡

     1,041       34  

Weyerhaeuser Co ‡

     1,831       57  
                 
              306  

Utilities — 0.1%

        

American Electric Power Co Inc

    356       34  

CenterPoint Energy Inc

    933       28  

Dominion Energy Inc

    572       35  

Duke Energy Corp

    37       4  

Edison International

    89       6  

Exelon Corp

    1,091       47  

PPL Corp

    156       4  

Public Service Enterprise Group Inc

    211       13  

Sempra Energy

    272       42  

Southern Co/The

    652       46  

Vistra Corp

    941       22  

Xcel Energy Inc

    314       22  
                 
              303  

 

 

 

292

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Total Common Stock

               

(Cost $4,864) ($ Thousands)

           $ 4,854  
                 
                 

Total Investments in Securities — 51.5%

                

(Cost $324,653) ($ Thousands)

  $ 328,923  
                 
                 

 

 
 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Amsterdam Index

     1       Jan-2023     $ 156     $ 147     $ (9 )

Australian 10-Year Bond

     19       Mar-2023       1,567       1,491       (69 )

Australian 3-Year Bond

     1       Mar-2023       75       72       (1 )

CAC40 10 Euro Index

     3       Jan-2023       215       207       (9 )

Canadian 10-Year Bond

     73       Mar-2023       6,824       6,603       (151 )

DAX Index

     3       Mar-2023       1,162       1,120       (46 )

Euro STOXX 50

     16       Mar-2023       666       646       (23 )

Euro-OAT

     14       Mar-2023       1,997       1,902       (131 )

FTSE 100 Index

     9       Mar-2023       837       808       (4 )

Hang Seng Index

     1       Feb-2023       127       128       1  

IBEX

     21       Jan-2023       1,854       1,837       (24 )

Long Gilt 10-Year Bond

     30       Apr-2023       3,743       3,605       (173 )

MSCI EAFE Index

     84       Mar-2023       8,340       8,188       (153 )

MSCI Emerging Markets

     160       Mar-2023       7,834       7,675       (159 )

NASDAQ 100 Index E-MINI

     3       Mar-2023       710       661       (49 )

Nikkei 225 Index

     2       Mar-2023       280       258       (22 )

Nikkei 225 Index

     19       Mar-2023       384       376       (22 )

OMX Stockholm 30

     81       Jan-2023       1,686       1,587       (69 )

Russell 2000 Index E-MINI

     1       Mar-2023       92       89       (3 )

S&P 500 Index E-MINI

     78       Mar-2023       15,550       15,058       (493 )

S&P Mid Cap 400 Index E-MINI

     7       Mar-2023       1,763       1,710       (54 )

S&P TSX 60 Index

     1       Mar-2023       179       173       (6 )

SPI 200 Index

     5       Mar-2023       614       593       (12 )

U.S. 2-Year Treasury Note

     6       Apr-2023       1,232       1,230       (1 )

U.S. 5-Year Treasury Note

     183       Apr-2023       19,804       19,751       (53 )

U.S. 10-Year Treasury Note

     128       Mar-2023       14,507       14,374       (133 )

U.S. Long Treasury Bond

     13       Mar-2023       1,648       1,629       (18 )

U.S. Ultra Long Treasury Bond

     10       Mar-2023       1,386       1,343       (43 )
                      95,232       93,261       (1,929 )

Short Contracts

                                        

Japanese 10-Year Bond

     (11 )     Mar-2023     $ (11,954 )   $ (12,127 )   $ 238  

MSCI Singapore Index

     (13 )     Feb-2023       (282 )     (282 )     3  

S&P 500 Index E-MINI

     (88 )     Mar-2023       (17,275 )     (16,988 )     287  

S&P TSX 60 Index

     (1 )     Mar-2023       (170 )     (173 )     (1 )

SPI 200 Index

     (3 )     Mar-2023       (360 )     (356 )     7  
                      (30,041 )     (29,926 )     534  
                    $ 65,191     $ 63,335     $ (1,395 )

 

A list of the open forward foreign currency contracts held by the Fund at December 31, 2022 is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

ANZ

     01/19/23       THB       110,232       USD       2,988     $ (202 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

293

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Bank of America

     01/04/23       BRL       4,129       USD       781     $ (1 )

Bank of America

     01/18/23       GBP       1,180       USD       1,427       7  

Bank of America

     01/19/23       AUD       1,290       USD       828       (47 )

Bank of America

     01/19/23       COP       895,066       USD       183       (1 )

Bank of America

     01/26/23       USD       809       PHP       46,157       22  

Bank of America

     01/26/23       PHP       46,160       USD       775       (56 )

Bank of America

     01/26/23       IDR       9,534,550       USD       607       (10 )

Bank of America

     01/30/23       USD       874       KRW       1,241,690       115  

Bank of America

     01/30/23       KRW       296,368       USD       206       (30 )

Bank of America

     02/02/23       USD       776       BRL       4,129       1  

Bank of America

     02/16/23       USD       830       CNH       5,786       10  

Bank of America

     03/16/23       USD       799       TWD       24,043       (9 )

Barclays PLC

     01/04/23       USD       775       BRL       4,129       7  

Barclays PLC

     01/26/23       PHP       50,112       USD       905       3  

Barclays PLC

     03/16/23       USD       1,105       MYR       4,855       13  

Barclays PLC

     03/16/23       INR       144,964       USD       1,740       (3 )

BNP Paribas

     01/19/23       USD       855       COP       4,168,257       2  

BNP Paribas

     01/19/23       COP       616,251       USD       126       (1 )

BNP Paribas

     01/26/23       USD       2,282       IDR       35,590,236       21  

BNP Paribas

     02/16/23       CNY       15,114       USD       2,150       (45 )

BNP Paribas

     03/16/23       USD       575       INR       47,657       (2 )

Brown Brothers Harriman

     01/18/23 - 03/01/23       CHF       672       USD       726       (3 )

Brown Brothers Harriman

     01/18/23       USD       683       GBP       575       8  

Brown Brothers Harriman

     01/18/23       GBP       339       USD       413       6  

Brown Brothers Harriman

     01/18/23       GBP       472       USD       566       (2 )

Brown Brothers Harriman

     01/18/23 - 01/30/23       EUR       1,048       USD       1,095       (26 )

Brown Brothers Harriman

     01/18/23 - 02/09/23       USD       1,123       JPY       150,589       23  

Brown Brothers Harriman

     01/19/23       USD       685       AUD       1,024       10  

Brown Brothers Harriman

     01/18/23       USD       502       AUD       738       (1 )

Brown Brothers Harriman

     01/18/23 - 02/03/23       SEK       1,417       USD       138       1  

Brown Brothers Harriman

     01/19/23       USD       286       MXN       5,583       (1 )

Brown Brothers Harriman

     01/19/23       AUD       526       USD       332       (25 )

Brown Brothers Harriman

     01/19/23       USD       550       CAD       748       2  

Brown Brothers Harriman

     01/19/23       USD       497       CAD       664       (6 )

Brown Brothers Harriman

     01/19/23       CAD       1,227       USD       909       2  

Brown Brothers Harriman

     01/19/23       CAD       1,148       USD       841       (6 )

Brown Brothers Harriman

     01/19/23       USD       5,670       THB       203,464       218  

Brown Brothers Harriman

     01/19/23       USD       324       THB       11,190       —  

Brown Brothers Harriman

     01/19/23       MXN       16,817       USD       848       (12 )

Brown Brothers Harriman

     01/19/23       THB       8,263       USD       240       1  

Brown Brothers Harriman

     01/19/23       THB       36,599       USD       1,045       (14 )

Brown Brothers Harriman

     01/30/23       USD       400       PLN       1,799       9  

Brown Brothers Harriman

     01/30/23       USD       500       CZK       11,685       15  

Brown Brothers Harriman

     01/30/23       USD       730       HUF       284,288       21  

Brown Brothers Harriman

     01/30/23       PLN       8,954       USD       1,980       (59 )

Brown Brothers Harriman

     01/30/23       HUF       235,727       USD       590       (33 )

Brown Brothers Harriman

     02/02/23       NZD       1,040       USD       643       (14 )

Brown Brothers Harriman

     02/03/23       USD       396       SEK       4,196       8  

Brown Brothers Harriman

     02/03/23       USD       1,210       NOK       11,921       2  

 

 

 

294

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Brown Brothers Harriman

     02/03/23       NOK       4,464       USD       451     $ (3 )

Brown Brothers Harriman

     02/09/23       JPY       39,699       USD       287       (15 )

Brown Brothers Harriman

     02/16/23       USD       159       CNH       1,104       1  

Brown Brothers Harriman

     02/16/23       USD       530       ZAR       9,186       8  

Brown Brothers Harriman

     02/16/23       USD       1,765       CNY       12,701       80  

Brown Brothers Harriman

     02/16/23       ZAR       4,601       USD       262       (7 )

Brown Brothers Harriman

     02/16/23       CNY       6,270       USD       883       (27 )

Brown Brothers Harriman

     02/27/23       USD       730       EUR       686       4  

Brown Brothers Harriman

     02/27/23       USD       465       EUR       434       —  

Citigroup

     01/19/23       USD       877       AUD       1,383       61  

Citigroup

     01/26/23       USD       775       PHP       46,233       58  

Citigroup

     02/09/23       JPY       10,305,106       USD       74,640       (3,901 )

Citigroup

     03/01/23       USD       1,405       CHF       1,310       21  

Deutsche Bank

     01/18/23       USD       1,602       JPY       209,257       (12 )

Deutsche Bank

     01/18/23       NZD       1,733       USD       1,097       1  

Deutsche Bank

     01/18/23       SEK       6,880       USD       660       (1 )

Deutsche Bank

     01/19/23       USD       572       CAD       773       (1 )

Deutsche Bank

     01/26/23       PHP       33,847       USD       591       (19 )

Deutsche Bank

     01/30/23       USD       1,312       PLN       5,974       48  

Deutsche Bank

     02/02/23       USD       676       NZD       1,040       (18 )

Deutsche Bank

     02/16/23       CNH       16,641       USD       2,325       (90 )

Goldman Sachs

     01/18/23       GBP       1,071       USD       1,302       13  

Goldman Sachs

     01/18/23       USD       1,079       NZD       1,729       14  

Goldman Sachs

     01/18/23       CHF       1,593       USD       1,726       —  

Goldman Sachs

     01/18/23       USD       1,737       AUD       2,600       27  

Goldman Sachs

     01/18/23       USD       2,317       CAD       3,146       5  

Goldman Sachs

     01/18/23       USD       2,515       GBP       2,082       (9 )

Goldman Sachs

     01/18/23       NOK       9,681       USD       979       (4 )

Goldman Sachs

     01/18/23       JPY       91,645       USD       685       (11 )

Goldman Sachs

     01/19/23       USD       220       CLP       189,518       3  

Goldman Sachs

     01/19/23       USD       488       PEN       1,873       2  

Goldman Sachs

     01/19/23       PEN       1,524       USD       397       (2 )

Goldman Sachs

     01/19/23       USD       2,036       MXN       39,767       (3 )

Goldman Sachs

     01/19/23       MXN       11,978       USD       612       (1 )

Goldman Sachs

     01/19/23       CLP       208,032       USD       236       (8 )

Goldman Sachs

     01/26/23       USD       889       IDR       13,925,947       12  

Goldman Sachs

     01/26/23       USD       1,797       PHP       104,431       84  

Goldman Sachs

     01/26/23       PHP       69,409       USD       1,180       (70 )

Goldman Sachs

     01/26/23       IDR       29,926,380       USD       1,909       (27 )

Goldman Sachs

     01/30/23       USD       547       CZK       12,898       22  

Goldman Sachs

     01/30/23       USD       646       KRW       912,771       81  

Goldman Sachs

     01/30/23       USD       1,709       HUF       680,404       90  

Goldman Sachs

     01/30/23       HUF       448,965       USD       1,110       (77 )

Goldman Sachs

     02/16/23       USD       936       CNH       6,594       21  

Goldman Sachs

     02/16/23       CNH       3,378       USD       464       (26 )

Goldman Sachs

     03/16/23       USD       752       MYR       3,318       12  

Goldman Sachs

     03/16/23       USD       1,418       INR       118,142       2  

Goldman Sachs

     03/16/23       MYR       3,333       USD       759       (9 )

 

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

295

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

HSBC

     01/19/23       USD       232       CLP       207,083     $ 11  

HSBC

     01/19/23       PEN       1,481       USD       385       (3 )

HSBC

     02/03/23       USD       1,430       NOK       14,216       16  

HSBC

     02/16/23       CNY       5,646       USD       812       (9 )

HSBC

     02/27/23       EUR       651       USD       687       (10 )

JPMorgan Chase Bank

     01/18/23       NZD       946       USD       598       —  

JPMorgan Chase Bank

     01/18/23       NOK       12,508       USD       1,267       (4 )

JPMorgan Chase Bank

     01/19/23       USD       575       MXN       11,432       9  

JPMorgan Chase Bank

     01/26/23       PHP       41,354       USD       741       (4 )

JPMorgan Chase Bank

     01/26/23       IDR       10,775,929       USD       692       (5 )

JPMorgan Chase Bank

     01/30/23       PLN       2,485       USD       560       (6 )

JPMorgan Chase Bank

     01/30/23       CZK       40,159       USD       1,709       (63 )

JPMorgan Chase Bank

     02/16/23       USD       731       CNH       5,211       25  

JPMorgan Chase Bank

     02/16/23       CNH       2,351       USD       338       (3 )

JPMorgan Chase Bank

     02/27/23       JPY       1,463,150       USD       10,478       (700 )

JPMorgan Chase Bank

     03/16/23       TWD       9,704       USD       319       1  

Merrill Lynch

     01/19/23       USD       69       PEN       266       1  

Merrill Lynch

     01/19/23       PEN       872       USD       227       (1 )

Merrill Lynch

     01/19/23       COP       861,751       USD       179       2  

Merrill Lynch

     01/26/23       USD       506       PHP       28,063       (1 )

Merrill Lynch

     01/26/23       PHP       7,750       USD       138       (1 )

Merrill Lynch

     01/26/23       IDR       8,866,871       USD       566       (8 )

Merrill Lynch

     01/30/23       USD       400       KRW       521,727       15  

Merrill Lynch

     01/30/23       PLN       2,568       USD       573       (11 )

Merrill Lynch

     01/30/23       KRW       1,430,083       USD       1,014       (125 )

Merrill Lynch

     02/16/23       CNH       4,699       USD       674       (8 )

Merrill Lynch

     03/16/23       USD       618       INR       51,390       —  

Merrill Lynch

     03/16/23       TWD       30,155       USD       1,002       11  

Merrill Lynch

     03/16/23       TWD       10,030       USD       329       (1 )

Morgan Stanley

     01/19/23       MXN       12,068       USD       617       —  

Morgan Stanley

     01/26/23       USD       766       IDR       11,766,445       (5 )

Morgan Stanley

     01/26/23       IDR       13,905,364       USD       892       (7 )

Morgan Stanley

     02/02/23       USD       775       NZD       1,257       20  

Morgan Stanley

     02/16/23       USD       1,174       CNY       8,395       45  

UBS

     01/19/23       CLP       776,217       USD       861       (49 )
                                            $ (4,621 )

 

A list of the open OTC swap agreements held by the Fund at December 31, 2022, is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Morgan Stanley

     Swiss Market Index Future       Index negative returns       Index positive returns       Annually       03/17/2023       CHF       110     $ (4 )   $ –     $ (4 )
                                                            $ (4 )   $ –     $ (4 )

 

 

 

 

 

296

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Multi-Asset Capital Stability Fund (Concluded)

 

 

 

 

A list of the open centrally cleared swap agreements held by the Fund at December 31, 2022, is as follows:

 

Credit Default Swaps

Reference Entity/ Obligation

  

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CDX.NA.HY.S38V1-5Y

     Sell       5.00%       Quarterly       6/20/2027       (931 )   $ 19     $ 18     $ 1

CDX.NA.HY.S39V1-5Y

     Sell       5.00%       Quarterly       12/20/2027       (2,810 )     17       23       (6 )
CDX.NA.IG.S38V1-5Y     Sell       1.00%       Quarterly       6/20/2027       (760 )     8       7   1

CDX.NA.IG.S39V1-5Y

     Sell       1.00%       Quarterly       12/20/2027       (2,290 )     18       19       (1 )

ITRAXX.XOVER.S36V1-5Y

     Sell       5.00%       Quarterly       06/20/2026       (260 )     8       29       (21 )

ITRAXX.XOVER.S38V1-5Y

     Sell       5.00%       Quarterly       12/20/2027       (430 )     2       6       (4 )
                                            $ 72     $ 102     $ (30 )

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

6-MONTH AUD - BBSW

     2.074%       Semi-Annually       11/22/2031       AUD       60     $ (7 )   $ –     $ (7 )

6-MONTH AUD - BBSW

     2.033%       Semi-Annually       01/05/2032       AUD       3,780       (470 )     –       (470 )

3-MONTH NZD - BKBM

     2.641%       Quarterly       01/06/2032       NZD       3,330       (331 )     –       (331 )

6-MONTH AUD - BBSW

     3.475%       Semi-Annually       08/02/2032       AUD       920       (49 )     –       (49 )

3-MONTH NZD - BKBM

     3.5505%       Quarterly       08/03/2032       NZD       2,050       (124 )     –       (124 )

AUD @ 3.745%

     AUD BBSW 6M       Semi-Annually       08/18/2032       AUD       1,000       (38 )     –       (38 )

4.66%

     6-MONTH AUD - BBSW       Semi-Annually       11/03/2032       AUD       –       6       –       6  

4.7725%

     3-MONTH NZD - BKBM       Quarterly       11/04/2032       NZD       340       2       –       2  

4.255%

     6-MONTH AUD - BBSW       Semi-Annually       11/21/2032       AUD       420       (3 )     –       (3 )

4.43%

     3-MONTH NZD - BKBM       Quarterly       11/22/2032       NZD       440       (3 )     –       (3 )
2.074%     6-MONTH AUD - BBSW       Semi-Annually       11/30/2032       AUD       600       (10 )     –       (10 )
4.385%     3-MONTH NZD - BKBM       Quarterly       12/01/2032       NZD       480       (10 )     –       (10 )

3.941%

     6-MONTH AUD - BBSW       Semi-Annually       12/05/2032       AUD       440       (11 )     –       (11 )

4.222%

     3-MONTH NZD - BKBM       Quarterly       12/06/2032       NZD       420       (6 )     –       (6 )
4.045%     6-MONTH AUD - BBSW       Semi-Annually       12/16/2032       AUD       380       (6 )     –       (6 )
2.641%     3-MONTH NZD - BKBM       Quarterly       12/19/2032       NZD       310       –       –       –  
                                            $ (1,060 )   $ –     $ (1,060 )

 

 

 

 

Percentages are based on Net Assets of $638,444 ($ Thousands).

*

Non-income producing security.

‡

Real Estate Investment Trust.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

(C)

Zero coupon security.

 

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

See “Glossary for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s more recent semi-annual and annual financial statements.

 

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022

 

297

 

 

 

 

 

Glossary: (abbreviations which may be used in the preceding Schedules of Investments)

December 31, 2022

 

 

Currency Abbreviations

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

CLP — Chilean Peso

CHF — Swiss Franc

CNH — Chinese Yuan Offshore

CNY — Chinese Yuan Onshore

COP — Colombian Peso

CZK — Czech Koruna

DKK — Danish Krone

EUR — Euro

HKD — Hong Kong Dollar

HUF — Hungarian Forint

IDR — Indonesian Rupiah

ILS — Israeli New Sheckels

JPY — Japanese Yen

KRW — Korean Won

MYR — Malaysian Ringgit

MXN — Mexican Peso

NOK — Norwegian Krone

NZD — New Zealand Dollar

PEN — Peruvian Nuevo Sol

PHP— Philippine Peso

PLN — Polish Zloty

RUB — Russian Ruble

SEK — Swedish Krona

SGD — Singapore Dollar

THB — Thai Baht

TWD — Taiwan Dollar

USD — U.S. Dollar

ZAR — South African Rand
 

 

Portfolio Abbreviations

ACES — Alternative Credit Enhancement Structure

ADR — American Depositary Receipt

AGC — Assured Guaranty Corporation

AGM— Assured Guaranty Municipal

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CMO — Collateralized Mortgage Obligation

CPI — Consumer Price Index

DAC — Designated Activity Company

ETF — Exchange-Traded Fund

EURIBOR — Euro London Interbank Offered Rate

FEDEF — U.S. Federal Funds Effective Rate

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

H15T7Y — Harmonized Index of Consumer Prices

IO — Interest Only — face amount represents notional amount

JSC — Joint-Stock Company

LIBOR— London Interbank Offered Rate

LLLP — Limited Liability Limited Partnership

LP — Limited Partnership

MTN — Medium Term Note

MXN TIIE — Mexican Interbank TIIE 28-Day

NIBOR — Norwegian Interbank Offered Rate

OIS — Overnight Index Swap

OTC — Over The Counter

PIK — Payment-in-Kind

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

SOFRINDX — Custom SOFR Index

SPDR — Standard & Poor's Depository Receipt

STACR — Structured Agency Credit Risk

TBA — To Be Announced

WIBOR— Warsaw Interbank Offered Rate
 

 

 

 

298

 

SEI Institutional Managed Trust / Quarterly Report / December 31, 2022