-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JHD6+p4aVrDe/d6c+e6tDkbLILKQs3wh+kF+GZs4/oyDOeEAYOEc9R5/JG6d3pv0 yNQ4lCTViFPNslNZJYR77w== 0000935069-00-000276.txt : 20000524 0000935069-00-000276.hdr.sgml : 20000524 ACCESSION NUMBER: 0000935069-00-000276 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000331 FILED AS OF DATE: 20000523 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST CENTRAL INDEX KEY: 0000835597 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05601 FILM NUMBER: 642109 BUSINESS ADDRESS: STREET 1: C/O SEI INVESTMENTS CO STREET 2: ONE FREEDOM VALLEY RD CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 2: 530 E SWEDESFORD RD CITY: WAYNE STATE: PA ZIP: 19087-1693 FORMER COMPANY: FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST DATE OF NAME CHANGE: 19900129 N-30D 1 SEI INSTITUTIONAL INTERNATIONAL TRUST SEMI-ANNUAL SEMI-ANNUAL REPORT AS OF MARCH 31, 2000 (UNAUDITED) SEI INSTITUTIONAL INTERNATIONAL TRUST - -------------------------------------------------------------------------------- International Equity Fund - -------------------------------------------------------------------------------- Emerging Markets Equity Fund - -------------------------------------------------------------------------------- International Fixed Income Fund - -------------------------------------------------------------------------------- Emerging Markets Debt Fund - -------------------------------------------------------------------------------- [logo omitted] TABLE OF CONTENTS - -------------------------------------------------------------------------------- STATEMENTS OF NET ASSETS............................................. 1 STATEMENTS OF OPERATIONS............................................. 17 STATEMENTS OF CHANGES IN NET ASSETS.................................. 18 FINANCIAL HIGHLIGHTS................................................. 20 NOTES TO FINANCIAL STATEMENTS........................................ 21 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) INTERNATIONAL EQUITY FUND - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 95.8% ARGENTINA -- 0.0% Telecom Argentina ADR* 23,000 $ 799 ------- AUSTRALIA -- 1.7% APN News & Media Limited* 182,500 429 Australia & New Zealand Bank Group 350,000 2,212 Broken Hill Proprietary 726,984 7,883 Broken Hill Proprietary ADR 27,300 594 Coca-Cola Amatil Limited 267,052 665 Coles Myer 1,009,001 3,986 Commonwealth Bank of Australia 144,800 1,983 Erg Limited 104,800 723 F.H. Faulding & Company Limited 145,900 619 John Fairfax Holdings Limited 204,800 741 Lend Lease 203,146 2,629 Macquarie Bank Limited 30,300 486 National Australia Bank 87,730 1,129 News Corporation 603,690 8,445 Rio Tinto Limited 194,625 2,769 Solution 6 Holdings Limited* 62,340 403 Telstra Corporation 664,781 3,070 Westpac Banking Corporation 906,325 5,680 Woodside Petroleum 290,900 1,750 ------- 46,196 ------- BELGIUM -- 0.2% Fortis, Series B* 215,200 5,511 ------- BRAZIL -- 0.5% Embratel Participacoes ADR 442,087 11,328 Telecomunicacoes de Sao Paulo ADR 26,500 787 Unibanco GDR 48,000 1,524 ------- 13,639 ------- CANADA -- 1.9% Bank of Nova Scotia 327,400 6,564 BCE Incorporated 133,195 16,639 Bombardier Incorporated, Series B 37,400 941 Bombardier Incorporated* 170,000 4,269 Clarica Life Insurance Company 59,000 1,034 Manulife Financial Corporation 170,000 2,499 Noranda 95,217 979 Nortel Networks Corporation 88,700 11,148 Suncor Energy 44,500 1,930 Teleglobe 79,600 2,170 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Teleglobe ADR 1,200 $ 33 Thomson Corporation 195,900 6,159 ------- 54,365 ------- DENMARK -- 0.1% Den Danske Bank 21,190 2,218 ------- FINLAND -- 1.9% Nokia OYJ 198,600 41,937 UPM-Kymmene 367,100 10,348 ------- 52,285 ------- FRANCE -- 9.7% Accor* 51,750 2,027 Alcatel* 56,600 12,401 Aventis 226,892 12,401 AXA UAP* 101,331 14,339 Banque National de Paris* 154,677 12,193 Bouygues* 22,700 17,959 Bouygues Rights* 6,100 29 Canal Plus* 77,800 17,098 Castorama Dubois* 45,091 9,668 Christian Dior 8,000 1,848 Compagnie de Saint Gobain* 50,830 6,484 Equant 24,687 2,046 France Telecom* 28,362 4,878 Groupe Danone* 13,000 2,869 Lafarge* 129,930 11,062 Lagardere* 63,550 5,152 Louis Vuitton Moet Hennessy 1,600 668 Michelin, Series B* 93,850 3,008 Pechiney Ord, Series A* 140,600 6,885 Peugeot* 150,100 32,413 Sanofi-Synthelabo* 127,640 4,860 Schneider Electric* 36,516 2,327 Stmicroelectronics* 96,700 17,740 Suez Lyonnaise-Strip VVPR 2,200 -- Television Francaise* 11,200 8,240 Total Fina, Series B 184,292 27,558 Usinor Sacilor* 186,950 2,965 Vivendi* 280,292 32,272 ------- 271,390 ------- GERMANY -- 6.9% Aventis 359,678 19,418 Bayerische Motoren Werke* 522,537 16,451 DaimlerChrysler* 21,000 1,373 Depfa Deutsche Pfandbriefban* 50,750 4,849 Deutsche Bank* 584,117 38,762 Deutsche Telekom* 259,202 20,854 Epcos 28,200 3,718 Henkel KGAA* 22,800 1,312 Infineon Technology* 96,800 5,277 1 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONTINUED - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Infineon Technology ADR* 49,800 $ 2,860 MAN 279,250 10,193 Metro* 313,150 12,507 Siemens 288,339 41,464 Thyssen Krupp* 100,000 2,460 Veba* 21,000 1,072 Viag* 467,526 9,471 -------- 192,041 -------- HONG KONG -- 2.4% Automated Systems Holdings Limited 750,000 631 Cable & Wireless HKT Limited 2,931,000 7,679 Cathay Pacific Airways* 4,992,000 7,405 Cheung Kong Holdings 404,000 6,045 China Telecom (Hong Kong) 1,658,000 14,533 Citic Pacific Limited 957,000 5,801 CLP Holdings Limited 80,000 359 Hang Seng Bank 180,000 1,572 Henderson Land Development 112,000 528 HSBC Holdings* 65,600 767 Hutchison Whampoa 731,000 13,190 Johnson Electric Holdings 300,000 2,052 Legend Holdings Limited 1,184,000 1,848 Nanjing Panda Electronics, Series H* 240,000 114 Peregrine Investment Holdings (1)* 526,000 -- Sun Hung Kai Properties 195,000 1,690 Sunday Communications 500,000 156 Sunevision Holdings* 180,000 301 Swire Pacific, Series A* 426,000 2,199 Tan Chong International Limited* 1,241,000 191 TCL International 790,000 594 -------- 67,655 -------- IRELAND -- 0.1% CRH 141,000 2,526 -------- ITALY -- 3.7% Alleanza Assicurazioni* 232,600 2,280 Assicurazioni Generali* 128,500 3,558 Banca Nazionale Del Lavoro* 2,342,609 7,969 Banca Popolare di Milano* 136,600 945 Enel 1,682,200 7,522 ENI* 3,207,000 16,026 Fiat* 45,000 1,185 Gucci Group ADR* 83,924 7,464 Italcementi* 167,550 1,474 Mediaset* 767,714 15,229 Telecom Italia Mobile RNC* 862,400 4,120 Telecom Italia Mobile* 2,401,647 29,419 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Telecom Italia* 859,800 $ 5,849 -------- 103,040 -------- JAPAN -- 27.8% Acom 21,600 2,336 Advantest 55,000 11,664 Aiful Corporation 40,050 4,444 Ajinomoto 158,000 1,922 Asahi Breweries* 100,000 1,002 Autobacs Seven 53,400 1,647 Bank of Tokyo-Mitsubishi 436,000 6,225 Bellsystem 24 2,000 1,693 Bridgestone Corporation 125,000 2,755 Canon 103,000 4,461 Chudenko Corporation 123,000 1,999 Chugai Pharmaceutical 278,000 5,203 Chuo Mitsui Trust & Banking* 369,300 2,124 Dai Ichi Pharmaceutical 104,000 1,609 Dai Nippon Printing 123,000 1,994 Daito Trust Construction 148,000 2,531 Daiwa House Industry Limited 650,887 4,453 DDI Corporation 595 4,858 East Japan Railway 596 3,086 Fanuc Limited 29,400 3,079 Fast Retailing Limited 5,200 2,285 Fuji Bank 1,573,000 14,773 Fuji Heavy Industries 186,000 1,508 Fuji Photo Film 190,000 8,358 Fuji Soft ABC 32,000 2,180 Fuji Television Network* 19 329 Fujikura Limited 275,000 1,362 Fujitsu 648,000 19,866 Fujitsu Support and Service 6,600 1,112 Hirose Electric 36,600 5,161 Hitachi 473,000 5,612 Honda Motor 530,000 21,871 Hoya Corporation 30,000 2,832 Industrial Bank of Japan 295,000 2,693 Japan Energy 764,000 669 Jusco 189,000 2,825 Kaneka Corporation 160,000 1,996 Kao Corporation 158,000 4,828 Keyence Corporation 16,940 6,760 Kirin Brewery 170,000 2,078 Komatsu 294,000 1,396 Kyocera Corporation 13,000 2,171 Matsushita Communications 51,000 9,381 Matsushita Electric 700,000 20,915 Mitsubishi Electric 285,000 2,685 Mitsubishi Heavy Industries 1,839,000 5,781 Mitsubishi Motors 1,199,000 4,551 Mitsubishi Trust & Banking 185,000 1,714 Mitsui & Company 390,000 3,150 2 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Mitsui Chemicals 583,000 $ 4,284 Mitsui Mining & Smelting 315,000 1,919 Murata Manufacturing 140,000 33,995 NEC 743,000 21,910 Net One Systems 60 2,161 Nichicon Corporation 80,000 2,429 Nidec Corporation 23,600 2,136 Nikko Securities 822,000 12,432 Nikon 428,000 16,412 Nintendo 49,500 8,696 Nippon Paper Industries 340,000 2,439 Nippon Sheet Glass 160,000 1,619 Nippon Shinpan 702,000 1,756 Nippon Steel 1,176,000 2,804 Nippon Telegraph & Telephone 3,938 62,471 Nippon Yusen Kabushiki Kaishi 480,000 2,027 Nissan Motors 848,000 3,466 Nomura Securities 598,000 19,497 NTT Data 281 5,278 NTT Docomo* 1,468 60,149 Obayashi Corporation 146,000 533 Obic Limited 2,000 1,401 Orix 31,560 4,561 Rohm Limited 87,500 30,401 Ryohin Keikaku 15,000 2,715 Saizeriya Co Limited* 21,700 1,584 Sakura Bank 1,915,000 14,556 Sankyo 230,000 5,786 Secom 73,000 6,252 Sekisui Chemical 155,000 511 Sekisui House 616,000 5,641 Seven Eleven 19,000 2,182 Shimamura 25,600 2,790 Shin Etsu Chemical 53,000 3,214 Shionogi 223,000 3,954 Shiseido 152,000 2,064 Shohkoh Fund* 15,340 2,225 SMC Corporation 13,800 2,888 Softbank Corporation 21,100 18,790 Sony Corporation 277,400 39,146 Sumitomo Bank 442,000 6,582 Sumitomo Electric Industries 411,000 5,788 Sumitomo Forestry Limited 245,000 1,569 Suzuki Motor 222,000 3,381 Taisho Pharmaceutical 46,000 1,585 Taiyo Yuden 109,000 7,033 Takeda Chemical Industries 136,000 9,662 Takefuji Corporation 114,400 12,247 TDK Corporation 13,000 1,769 Teijin 364,000 1,541 THK Corporation 31,000 1,424 Tokai Bank 275,000 1,659 Tokio Marine & Fire Insurance 176,000 1,807 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Tokyo Electric Power 178,600 $ 3,911 Tokyo Electronics 188,000 28,360 Toppan Printing 551,000 6,167 Toray 468,000 1,804 Toshiba 625,000 6,363 Tostem Corporation 86,000 1,389 Toyo Seikan Kaisha 154,000 2,629 Toyota Motor 334,000 17,456 Yakult Honsha 107,000 950 Yamanouchi Pharmaceutical 46,000 2,516 Yamato Transportation 77,000 2,203 -------- 778,796 -------- MALAYSIA -- 0.0% Westmont Berhad Industries (1)* 218,000 -- -------- MEXICO -- 0.8% Cemex ADR 5,608 127 Telefonos de Mexico ADR 341,063 22,851 -------- 22,978 -------- NETHERLANDS -- 8.4% ABN AMRO Holding* 1,053,900 23,453 Aegon* 132,283 10,554 ASM Lithography Holding 72,900 8,129 Completel Europe* 435,300 8,656 DSM 101,400 3,659 Elsevier* 1,101,046 11,152 Fortis Amev* 441,143 11,275 Heineken Holding, Series A* 109,000 3,749 Heineken* 91,000 4,856 Ing Groep* 211,284 11,427 KLM 46,400 991 Konink Philips Electronics 215,665 36,186 KPN* 279,709 31,978 Kpnqwest* 140,151 7,446 Royal Dutch Petroleum* 326,072 19,008 United Pan-Europe Communications* 249,872 11,658 VNU 480,485 28,258 World Online International* 83,321 1,859 -------- 234,294 -------- NEW ZEALAND -- 0.3% Fisher & Paykel Industries 54,400 163 Fletcher Challenge Paper 139,700 95 Sky City Limited 29,800 93 Telecom of New Zealand 1,457,781 6,585 Warehouse Group Limited 89,800 183 -------- 7,119 -------- NORWAY -- 0.3% Norsk Hydro* 214,500 8,100 -------- 3 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONTINUED - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- PORTUGAL -- 0.% Portugal Telecom ADR* 170,000 $ 2,114 -------- SINGAPORE -- 1.0% Advanced Systems Automation* 342,000 354 City Developments* 111,000 503 Creative Technology 15,850 503 Creative Technology ADR 18,000 572 CSE Systems & Engineering* 213,000 184 Datacraft Asia 56,000 524 DBS Group Holdings Limited* 1,209,191 15,967 GES International 176,000 309 Keppel Land International* 175,000 195 Natsteel Electronics* 33,000 216 Overseas Chinese Banking 257,150 1,593 Overseas Union Bank* 116,594 525 Parkway Holdings* 76,000 215 Singapore Airlines Limited 73,500 687 Singapore Press Holdings 203,178 3,241 Singapore Tech Engineering* 2,233,000 2,675 Singapore Telecommunications 237,000 338 Sunright 130,000 63 United Overseas Bank* 104,032 638 -------- 29,302 -------- SOUTH AFRICA -- 0.1% Sasol 148,500 929 South Africa Brewery 165,089 1,266 -------- 2,195 -------- SOUTH KOREA -- 0.6% Housing & Commercial Bank 270 5 Korea Telecom ADR 180,733 7,907 Kumho Electric 23 -- Samsung Electronics GDR* 1,930 344 SK Telecom ADR 218,082 8,505 Trigem Computer Rights* 208 2 -------- 16,763 -------- SPAIN -- 1.7% Banco Bilbao Vizcaya Argentina 210,600 3,091 Endesa 120,316 2,756 Grupo Dragados 102,400 881 Repsol 241,400 5,284 Telefonica de Espana* 1,458,945 36,802 -------- 48,814 -------- SWEDEN -- 4.0% Astrazeneca 234,786 9,470 Atlas Copco, Series A* 552,233 13,403 Electrolux AB* 614,265 11,607 Ericsson ADR* 8,500 797 Ericsson, Series B* 803,360 70,470 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Foreningssparbaken, Series A* 156,700 $ 2,128 Hennes & Mauritz, Series B* 120,000 3,329 SKF, Series B* 64,200 1,425 -------- 112,629 -------- SWITZERLAND -- 3.3% ABB Limited 152,654 17,523 Adecco* 23,116 15,977 Baloise Holding* 3,760 3,241 Compagnie Financiere Richemont 3,285 8,341 Credit Suisse Group* 84,350 16,780 Holderbank Financiere Glarus* 3,880 4,617 Nestle, Registered* 4,608 8,253 Novartis* 5,346 7,306 Schweizerische Rueckversicherungs* 1,430 2,476 SGS Societe Generale Surveillance Holdings* 1,750 3,434 Swisscom* 15,684 6,014 -------- 93,962 -------- TAIWAN -- 0.7% Asustek Computer GDR* 165,000 3,011 Taiwan Semiconductor ADR 297,550 16,960 -------- 19,971 -------- THAILAND -- 0.1% Thai Farmers Bank 'F'* 3,263,200 3,604 -------- UNITED KINGDOM -- 17.5% Astrazeneca 546,409 22,095 Astrazeneca ADR 15,300 620 Barclays Bank 620,737 16,430 Berkeley Group 120,633 1,004 Billiton 317,395 1,487 Boc Group 201,900 3,945 BP Amoco 384,200 3,509 BPB 162,400 810 British Aerospace 1,915,866 10,801 British Airways 370,000 1,942 British American Tobacco 646,300 3,554 British Sky Broadcasting 535,407 14,155 British Telecommunications 952,962 17,833 Cable & Wireless 738,712 13,859 Cadbury Schweppes 816,800 5,480 CGU 209,200 2,915 CMG 68,900 5,899 Coca-Cola Beverages 899,000 1,682 Colt Telecom Group 43,900 2,087 Corus Group 1,000,000 1,624 Energis 52,659 2,451 Enterprise Oil 266,400 1,906 George Wimpey 762,500 1,220 GKN* 194,800 2,425 4 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Glaxo Wellcome 1,027,739 $ 29,380 Granada Group 1,232,608 13,202 Hanson* 141,400 1,008 Invensys 2,254,700 10,001 Kelda Group 239,700 1,015 Kingfisher* 67,200 551 Lloyds TSB Group 802,300 8,459 Logica* 103,700 3,470 Lonmin* 180,000 1,892 New Dixons Group 623,594 2,883 Next 185,100 1,377 Railtrack Group 293,300 3,426 Rank Group* 650,000 1,553 Reed International* 1,006,269 7,336 Reuters Group 861,449 17,451 Rio Tinto* 226,250 3,792 Rolls-Royce 275,279 891 Royal & Sun Alliance 447,317 2,807 Royal Bank of Scotland Group 618,770 9,096 Scottish & Newcastle 741,900 5,172 Scottish Power 1,562,801 12,638 Severn Trent 181,600 1,634 Shell Transportation & Trading* 408,000 3,379 Signet Group 1,065,600 908 SmithKline Beecham 964,218 12,715 Standard Chartered Bank 1,029,484 14,010 Tate & Lyle 420,000 1,463 TeleWest Communications 1,585,980 12,162 Thames Water 398,775 4,506 TI Group 534,000 2,628 Unilever 239,500 1,532 United Utilities 1,161,000 12,111 Vodafone Airtouch 25,990,374 144,253 WPP Group 87,900 1,543 --------- 489,975 --------- Total Foreign Common Stocks (Cost $2,112,575) 2,682,281 --------- FOREIGN PREFERRED STOCKS -- 1.1% GERMANY -- 1.0% SAP* 38,637 27,781 -------- ITALY -- 0.1% Fiat* 174,500 2,559 --------- Total Foreign Preferred Stocks (Cost $30,118) 30,340 --------- - ------------------------------------------------------------------------------- FACE MARKET DESCRIPTION AMOUNT (000) VALUE (000) - ------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bill (2) 6.090%, 11/09/00 $ 4,500 $ 4,336 --------- Total U.S. Treasury Obligation (Cost $4,339) 4,336 --------- REPURCHASE AGREEMENTS -- 1.8% J.P. Morgan (2) 6.07%, dated 03/31/00, matures 04/03/00, repurchase price $15,096,645 (collateralized by Freddie Mac Discount Notes, due 06/08/00, par value $15,484,000, market value $15,308,009) 15,007 15,007 Morgan Stanley (2) 6.07%,dated 03/31/00, matures 04/03/00, repurchase price $15,129,071 (collateralized by U.S. Treasury Note, due 06/30/01, 5.75%, par value $250,000, market value $251,459, and Sallie Mae Global Funding Note, due 06/15/00, par value $15,140,000, market value $15,140,802) 15,040 15,040 State Street Bank 4.75%, dated 03/31/00, matures 04/03/00, repurchase price collateralized by various U.S. Treasury Notes, due 05/15/03-05/15/21, 8.125%-10.75%, ranging in par value $1,489,000-10,857,000, total market value $20,446,628) 20,030 20,030 ---------- Total Repurchase Agreements (Cost $50,077) 50,077 ---------- Total Investments -- 98.9% (Cost $2,197,109) $2,767,034 ---------- Other Assets and Liabilities, Net-- 1.1% 32,010 ---------- 5 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONCLUDED - ------------------------------------------------------------------------------- MARKET DESCRIPTION VALUE (000) - ------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 194,564,989 outstanding shares of beneficial interest $2,124,500 Portfolio Shares of Class D (unlimited authorization -- no par value) based on 40,392 outstanding shares of beneficial interest 420 Distributions in excess of net investment income (36,324) Accumulated net realized gain on investments 140,527 Net unrealized appreciation on investments 569,925 Net unrealized appreciation on futures contracts 80 Net unrealized depreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency (84) ---------- Total Net Assets-- 100.0% $2,799,044 ========== NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -- CLASS A $14.38 ========== NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -- CLASS D $14.25 ========== MAXIMUM OFFERING PIECE PER SHARE -- CLASS D ($14.25/95%) $15.00 ========== * NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT 'F' -- FOREIGN GDR -- GLOBAL DEPOSITORY RECEIPT RNC -- RISPARMIO NON-CONVETIBLE AMOUNTS DESIGNATED AS "-" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (2) SECURITIES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGATE MARKET VALUE OF $36,427,866. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS EQUITY FUND - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 88.5% ARGENTINA -- 1.4% Banco Rio de la Plata ADR* 83,435 $ 1,194 Quilmes Industrial ADR* 298,140 3,130 Telecom Argentina Stet France ADR* 171,174 5,948 Telefonica Argentina ADR 193,376 7,590 -------- 17,862 -------- BRAZIL -- 6.1% Aracruz Celulose ADR* 99,946 2,111 Banco Bradesco Sponsored ADR 1,700 14 Centrais Eletricas Brasileiras 69,536,000 1,242 Centrais Eletricas Brasileiras ADR 22,740 202 CIA Cervejaria Brahma ADR 85,420 1,379 CIA Electric Est Rio Janeiro* 6,687,282,000 2,043 CIA Paranaense Energia ADR 186,964 1,589 CIA Siderurgica Nacional ADR 11,100 390 CIA Vale Rio Doce ADR* 43,705 1,197 Companhia Riograndense Telecom* 6,971,641 3,174 Eletropaulo Eletrecidade Metropolitana 63,513,462 4,781 Embratel Participacoes 208,681 5,347 Globo Cabo ADR 140,700 2,638 Petrobras ADR* 146,295 3,982 Sider Nacional, Series A 87,268,000 3,098 Tele Centro Sul Participacoes ADR 48,580 3,935 Tele Norte Celular Participacoes ADR 3,050 189 Tele Norte Leste Participacoes ADR* 336,600 8,962 Telebras ADR 33,870 5,070 Telecomunicacoes de Sao Paulo Participacoes ADR 274,145 8,139 Telecomunicacoes do Parana* 4,866,000 2,103 Teleleste Celular Participacoes ADR 2,600 156 Telesp Celular Participacoes 159,590 9,047 Telesp Celular Participacoes ADR 128,040,709 3,778 Telesudeste Celular ADR 60 3 Unibanco GDR* 148,731 4,722 -------- 79,291 -------- CHILE -- 1.5% Banco De A. Edwards ADR* 96,069 1,769 Banco Santander ADR* 25,455 347 Banco Santiago ADR 52,550 1,038 Cervecerias Unidas ADR 92,981 2,313 6 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Chilectra ADR 148,933 $ 2,611 CIA Telecomunicacion Chile ADR 220,090 5,007 Distribucion y Servicio ADR 109,576 1,966 Empresa Nacional de Electricidad ADR* 100,527 1,093 Enersis ADR* 92,090 1,871 Quinenco ADR* 104,242 1,173 -------- 19,188 -------- COLOMBIA -- 0.0% Bavaria 26,260 115 -------- CZECH REPUBLIC -- 1.0% Ceska Sporitelna* 97,500 552 Ceske Radiokomunikace GDR 144a (A)* 43,600 2,256 Ceske Radiokomunikace GDR* 16,200 838 Cesky Telecom GDR* 132,300 2,894 CEZ* 448,810 1,430 Galena* 8,000 150 Komercni Banka* 44,740 1,196 SPT Telecom* 168,080 3,651 Tabak* 2,200 396 -------- 13,363 -------- EGYPT -- 0.3% Al Ahram Beverage GDR 144a (A)* 59,700 1,084 Alexandria National Iron & Steel* 2,650 93 Mobinil Egyptian Mobile Network* 44,700 2,166 -------- 3,343 -------- GREECE -- 4.0% Alpha Credit Bank* 99,024 6,675 Attica Enterprises* 79,020 1,007 Commercial Bank of Greece* 53,825 3,190 Delta Informatics 73,200 1,598 Folli-Follie Abee* 90,250 1,842 Hellenic Telecommunications Organization* 530,188 15,095 Intracom* 99,000 4,292 Maillis* 65,580 1,623 National Bank of Greece* 127,792 8,965 Panafon Hellenic Telecom* 435,100 6,412 STET Hellas Telecomm ADR* 55,800 1,604 -------- 52,303 -------- HONG KONG -- 1.4% China Telecom* 1,014,000 8,888 China Travel International 3,000,000 651 Citic Pacific Limited 300,000 1,819 Legend Holdings Limited* 1,464,000 2,284 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Nanjing Panda Electronics, Series H* 1,600,000 $ 760 Pacific Century CyberWorks Limited* 300,000 701 Shanghai Industrial Holdings* 360,000 728 Shanghai Petrochemical Limited* 4,150,000 442 TCL International* 550,000 413 Yizheng Chemical Fibre* 10,324,000 1,976 -------- 18,662 -------- HUNGARY -- 1.8% Borsodchem GDR* 23,700 909 Egis* 30,400 1,507 Gedeon Richter GDR 144a (A)* 2,500 164 Gedeon Richter GDR* 29,695 1,952 Magyar Tavkozlesi ADR* 308,510 13,767 MOL Magyar Olaj ES Gazipari GDR 144a (A)* 84,790 1,643 OTP Bank GDR* 42,220 2,285 Tiszai Vegyi Kombinat* 97,293 1,781 -------- 24,008 -------- INDIA -- 6.9% Arisaig India Fund* 149,953 3,713 Ashok Leyland Limited GDR* 35,000 173 BSES GDR* 249,950 4,568 Gujarat Ambuja Cement GDR* 568,200 2,699 Hindalco Industries GDR* 317,700 5,703 ICICI Limited ADR* 301,180 6,802 Infosys Technologies 144,122 27,816 ITC GDR* 80,770 1,551 Larsen & Toubro GDR* 363,600 5,249 Mahindra & Mahindra Sponsored GDR* 348,000 2,915 Ranbaxy Laboratories GDR 383,900 8,196 Satyam Infoway ADR* 37,300 2,000 SSI GDR 144a (A)* 96,900 1,395 State Bank of India ADR* 323,300 3,176 Videsh Sanchar GDR 514,950 13,788 -------- 89,744 -------- INDONESIA -- 1.2% Astra International* 2,234,000 1,072 Gudang Garam* 438,000 838 Hanjaya Mandala Sampoerna* 441,500 736 Indah Kiat Pulp & Paper* 4,461,000 1,476 Indofood Sukses Makmur* 851,000 648 Indosat* 588,500 1,005 PT Matahari Putra Prima* 2,600,000 353 PT Tempo Scan Pacific* 1,095,000 540 Ramayana Lestari* 849,000 497 7 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONTINUED - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Reliance Industries GDR* 229,800 $ 5,153 Telekomunikasi Indonesia* 5,659,460 2,753 -------- 15,071 -------- IRELAND -- 0.2% Antofagasta Holdings 330,600 2,074 -------- ISRAEL -- 1.6% Bank Hapoalim 873,200 2,783 Bank Leumi Le Israel* 1,118,498 2,592 Bezeq Israeli Telecommunication* 2,800 15 Check Point Software Technologies Limited* 20,300 3,473 Ectel Limited* 27,900 555 Gilat Satellite Networks* 19,500 2,286 M-Systems Flash Disk Pioneer* 18,500 981 Orckit Communications Limited* 48,400 3,243 Radware Limited* 36,400 1,411 Teva Pharmaceuticals ADR 106,400 3,970 -------- 21,309 -------- MALAYSIA -- 3.9% AMMB Holdings Berhad* 625,000 2,336 British American Tobacco 230,400 1,758 Commerce Asset Holdings* 1,377,000 3,950 Genting Berhad* 574,000 2,387 IOI Corporation Berhad 2,527,000 1,835 MAA Holdings Berhad* 604,400 1,988 Malayan Banking Berhad 1,624,600 7,140 Malayan Cement Berhad* 1,416,000 522 Malaysian Pacific Industries 500,000 6,711 Mesiniaga Berhad* 380,000 1,590 New Straits Times Press 127,000 565 O.Y.L. Industries 4,000 13 Resorts World Berhad* 253,000 839 Telekom Malaysia* 1,145,000 4,701 Tenaga Nasional 3,222,000 10,853 UMW Holdings Berhad* 304,000 660 United Engineers Warrants* 40,000 69 United Engineers* 555,000 1,563 YTL Corporation Berhad 582,000 1,103 -------- 50,583 -------- MEXICO -- 13.3% ALFA, Series A 1,088,599 4,177 Carso Telecom* 5,144,968 16,737 Cemex ADR* 169,280 3,830 Cemex* 1,636,191 7,444 Coca Cola Femsa ADR* 153,520 2,850 Controladora Commercial Mexicana* 1,456,000 1,973 Corporacion Interamericana de Enterenemienta, Series B* 1,777,800 9,126 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Empresas ICA Sociedad Controladora ADR* 116,734 $ 285 Empresas ICA Sociedad Controladora* 650,031 263 Fomento Economico Mexica Units* 1,867,989 8,651 Fomento Economico Mexicano ADR* 62,911 2,831 Grupo Carso, Series A1* 735,870 2,783 Grupo Financiero Banamex, Series O* 1,894,485 8,804 Grupo Financiero Bancomer, Series O* 5,706,010 3,231 Grupo Financiero Banorte* 1,092,327 1,674 Grupo Industria Bimbo, Series A* 304,633 513 Grupo Mexico, Series B* 767,070 3,598 Grupo Modelo, Series C* 664,000 1,442 Grupo Radio Centro ADR 47,875 648 Grupo Sanbornis, Series B* 468,875 1,059 Grupo Televisa GDR* 223,814 15,219 Kimberly Clark de Mexico, Series A 2,154,304 7,427 Organizacion Soriana, Series B* 537,783 2,499 Panamerican Beverages 65,000 1,146 Pepsi-Gemex ADR* 46,500 253 Telefonos de Mexico ADR 747,836 50,105 Tubos de Acero de Mexico ADR* 73,651 1,206 TV Avteca ADR 208,800 3,080 Vitro ADR* 178,480 848 Walmart de Mexico, Series C* 613,505 1,465 Walmart de Mexico ADR, Class V 180,072 4,502 Walmart de Mexico, Series V * 1,179,244 2,957 -------- 172,626 -------- PERU -- 0.5% Buenaventura ADR 87,229 1,527 Credicorp ADR* 109,400 1,183 Telefoncia del Peru ADR 204,448 3,476 -------- 6,186 -------- PHILIPPINES -- 0.2% ABS-CBN Broadcasting* 1,122,500 1,586 SM Prime Holdings* 8,720,900 1,190 -------- 2,776 -------- POLAND -- 1.8% Bank Polska Kasa Opieki* 58,800 791 Bank Rozwoju Eksportu* 29,258 1,056 Elektrim* 120,690 1,755 Kghm Polska Meidz GDR* 105,900 1,702 Netia Holdings* 40,500 1,418 Optimus* 47,965 2,929 8 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Orbis* 69,604 $ 654 Polski Koncern Naftowy GDR* 126,100 1,406 Prokom GDR* 53,500 1,525 Prokom Software* 25,500 1,403 Softbank GDR* 48,500 3,087 Telekom Polska GDR* 558,690 5,266 -------- 22,992 -------- RUSSIA -- 3.1% AO Tatneft ADR* 182,609 2,397 Golden Telecom ADR* 29,300 1,333 Lukoil Holding ADR* 237,700 14,024 Rostlecom ADR* 107,800 2,560 Surgutneftegaz ADR* 581,100 7,772 Unified Energy Systems GDR 471,600 9,149 Vimpel Communication ADR* 59,800 2,530 -------- 39,765 -------- SINGAPORE -- 0.6% Datacraft Asia 580,000 5,423 Natsteel Electronics* 396,000 2,591 -------- 8,014 -------- SOUTH AFRICA -- 8.0% African Bank Limited* 909,484 1,932 African Oxygen 810,531 1,641 Amalgamated Banks of South Africa 160,600 589 AMB Holdings Limited* 75,192 110 Anglo American Platinum Corporation 184,200 4,915 Anglogold Limited 28,300 1,369 Barlow Rand 181,800 1,207 Bidvest Group 201,035 1,542 BOE Corporation Limited 1,557,634 1,128 Comparex Holdings Limited 275,400 492 Datatec Limited* 175,100 3,115 De Beers Centenary* 284,600 6,678 Dimension Data Holdings* 1,302,789 12,028 Fedsure Holdings Limited* 84,700 488 Firstrand 5,656,200 6,853 Foschini 786,241 1,640 Gencor Limited* 765,700 2,989 Gold Fields Limited 463,940 1,622 Impala Platinum Holdings Limited 63,800 2,221 Imperial Holdings 365,170 3,136 Investec Group 105,800 4,222 Iscor Limited* 264,500 710 Ixchange Technology Holdings* 325,200 1,284 JD Group Limited 90,900 624 Liberty Life 203,900 1,954 M-Cell Limited 434,900 2,401 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Metro Cash & Carry Limited 1,003,600 $ 870 Metropolitan Life 268,900 342 MIH Holdings Limited* 221,500 2,242 MIH Limited* 31,200 1,903 Nampak* 384,400 896 Nasionale Pers Beperk* 128,500 1,575 Nedcor 235,529 4,811 New Africa Investments, Series N* 3,188,400 763 Old Mutual* 697,200 1,652 Omni Media 105,900 2,923 Pick N Pay Holdings 2,049,224 1,210 Pick N Pay Stores 77,312 113 Rembrandt Group 176,420 1,569 Sanlam 2,663,700 3,395 Sappi Limited 191,100 1,483 Sasol 779,700 4,879 South African Breweries 549,975 4,217 Tegniese Beleggings Korporasie 246,100 1,208 Tiger Brands 137,600 1,436 Woolworths Holdings 609,526 346 -------- 104,723 -------- SOUTH KOREA -- 11.2% Cybertek Holdings 17,920 728 Dacom Corporation 11,130 3,032 Daou Technology 110,500 2,280 Daum Communications* 20,000 1,855 Dongwon Securities* 103,215 1,555 Dongwon Securities Rights* 39,320 37 Hanwha Chemical 597,987 4,573 Hite Brewery Limited 127,866 2,858 Housing & Commercial Bank 148,467 2,889 Hyundai Electronics Industries 233,915 5,208 Jang Media Interactive 10,900 741 Kookmin Bank 228,717 2,318 Korea Electric Power 296,370 8,449 Korea Line Company 278 2 Korea Mobile Telecom ADR 348,497 13,591 Korea Next Eduaction Service* 5,170 744 Korea Telecom 21,740 1,928 Korea Telecom ADR 51,749 2,264 Kumho Electric 882 17 Lg Chemical 93,000 2,660 Lg Home Shopping 6,990 746 Locus* 19,340 2,503 Mirae 728,250 4,086 Pohang Iron & Steel 53,585 5,216 Pohang Iron & Steel ADR 98,300 2,703 Samsung 197,500 2,654 Samsung Electronic 183,866 55,742 Samsung Electronics GDR 144A (A)* 70 13 9 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONTINUED - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Samsung Electronics GDR, Class A* 874 $ 83 Samsung Securities* 109,252 2,620 Serome Technology 13,880 708 Shinhan Bank GDR* 55,345 1,176 SK Telecom 2,130 6,939 Trigem Computer 18,900 1,462 Trigem Computer Rights* 3,554 37 Turbo Tek Company 34,000 717 -------- 145,134 -------- TAIWAN -- 12.2% Accton Technology GDR* 560,106 4,369 Acer GDR* 982,210 13,702 Acer Peripherals* 748,000 3,767 Advanced Semiconductor Engineering* 598,444 2,265 Advanced Semiconductor Engineering GDR* 75,397 1,608 Ase Test* 114,900 3,332 Asia Cement GDR* 238,968 2,151 Asustek Computer* 195,330 2,450 Asustek Computer GDR 438,036 7,994 Bank Sinopac* 6,149,546 3,886 Cathay Life Insurance* 1,018,000 2,815 China Development* 1,071,000 1,851 China Steel GDS* 124,370 1,772 China Steel* 1,050,000 757 Chung Housing Bills Finance* 981,342 383 Compal Electronics GDR 19,900 417 Compal Electronics* 145,651 606 CTCI* 600,000 529 D Link GDR* 299,600 6,498 Dbtel* 487,000 1,892 Delta Electronics* 546,000 3,001 Evergreen Marine GDR* 101,520 1,003 Far Eastern Textile GDR* 62,290 1,627 Far Eastern Textile Limited 660,000 1,369 Formosa Chemicals & Fibre* 600,000 936 Fubon Insurance GDR* 175,740 1,867 Gigamedia Limited* 43,600 2,365 Hon Hai Precision Industry GDR (A)* 424,460 14,708 Hon Hai Precision Industry* 420,000 4,880 Hua Nan Bank* 1,130,000 1,350 Macronix International ADR 16,300 473 Macronix International* 464,000 1,329 Pacific Electric Wire & Cable* 962,000 1,235 Powerchip Semiconductor ADR* 70,430 1,541 Ritek Corporation GDR* 211,480 3,817 Siliconware Precision Industries GDR* 89,650 1,221 Siliconware Precision Industries* 600,000 1,343 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Synnex Technology International GDR* 99,030 $ 3,132 Synnex Technology International* 390,176 3,095 Taiwan American Fund* 80,000 1,805 Taiwan Pulp & Paper* 700,000 328 Taiwan Semiconductor ADR* 243,206 13,863 Taiwan Semiconductor* 2,250,000 15,183 Tatung* 1,000,000 1,136 Union Petrochemical* 1,050,000 753 United Microelectronics* 689,050 2,676 Walsin Lihwa GDR* 3,790 37 Winbond Electronics 144a (A)* 163,700 4,882 Yageo GDR 678,860 4,582 Yang Ming Marine Transport GDR* 103,425 768 -------- 159,349 -------- THAILAND -- 1.0% Advanced Info Service 'F'* 82,000 1,237 Bangkok Bank 'F'* 784,700 1,349 Bec World Public 'F'* 150,300 1,097 Grammy Entertainment 'F'* 38,300 157 Hana Microelectronics Public Company 'F'* 217,800 1,948 Jasmine International Public Company* 110,500 71 Kce Electronics 'F' 321,360 1,080 National Petrochemical 'F' 1,143,800 1,210 PTT Exploration 'F'* 148,100 764 Quality House Limited 'F'* 900 -- Siam Cement 'F'* 62,700 1,526 Siam Panich Leasing Warrants* 225,000 -- Telecomasia 'F'* 1,281,500 2,119 Thai Farmers Bank 'F'* 886,100 980 -------- 13,538 -------- TURKEY -- 4.0% Akcansa Cimento* 37,600,000 766 Alarko Holdings* 20,387,500 1,177 Arcelik* 52,480,290 2,941 Aygaz* 10,584,500 1,061 Dogan Sirketler Grubu Holdings* 106,254,167 3,880 Dogan Yayin Holding* 264,192,000 6,394 Eregli Demir Ve Celik Fabrikalari* 42,054,200 1,928 Finansbank* 78,500,000 567 Haci Omer Sabanci Holdings* 53,379,844 975 Haci Omer Sabanci Holdings Rights* 31,649,996 524 Hurriyet Gazetesi* 145,329,300 3,270 Koc Holdings* 7,740,000 1,709 Migros Turk* 3,071,418 1,695 10 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Netas Northern Electric Telecom* 12,700,000 $ 1,596 Trakya Cam Sanayii* 71,489,200 1,129 Turkiye Garanti Bankasi 413,684,700 5,269 Turkiye Is Bankasi* 133,640,000 5,788 Vestel Elektronik Sanayi ve Ticaret* 7,134,000 2,393 Yapi Ve Kredi Bankasi* 356,503,303 9,536 ---------- 52,598 ---------- UNITED STATES -- 0.9% Amdocs Limited* 19,900 1,466 Comverse Technology* 21,400 4,045 Impsat Fiber Networks* 104,400 2,923 Seminis* 115,625 744 StarMedia Network* 51,400 1,545 Tricom ADR* 32,200 754 ---------- 11,477 ---------- VENEZUELA -- 0.4% Compania Anonima Nacional Telecom ADR 159,792 4,634 ---------- Total Foreign Common Stocks (Cost $786,511) 1,150,728 ---------- FOREIGN PREFERRED STOCKS -- 5.3% BRAZIL -- 5.3% Banco Bradesco 714,057,380 5,947 Banco Itau 37,162,320 3,320 Brahma* 1,399,000 1,112 Celular CRT Participacoes* 15,686,441 7,233 Cemig ADR* 44,260 770 Cemig CIA Energy* 117,407,175 2,063 Centrais Eletricas Brasileiras, Series B* 72,847,300 1,407 CIA Vale do Rio Doce Unconverted Participants* 8,352 -- CIA Vale do Rio, Series A 300,088 8,216 Companhia Paranese de Energia, Series B* 171,731,969 1,460 Eletrobras ADR* 137,000 1,307 Embratel Participacoes 149,500,200 3,826 Gerdau 96,002,000 2,518 Itausa Investimentos* 2,129,362 2,086 Petrol Brasileiros 59,125,286 16,085 Tele Centro Sul Participacoes 117,718,297 1,926 Tele Leste Celular Participacoes* 870,935,729 1,064 Tele Nordeste Celular Participacoes 86,744,800 320 Tele Norte Celular Particacoes 768,650,400 953 Tele Norte Leste Participacoes* 68,042,200 1,831 - ------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - ------------------------------------------------------------------------------- Tele Sudeste Celular Participacoes 98,723,000 $ 1,000 Telecom Brasileiros* 2,940,053 441 Telesp Celular Participacoes 132,320,690 3,012 Usiminas Gerais* 156,931 787 ---------- 68,684 ---------- RUSSIA -- 0.1% Lukoil Holding ADR* 52,800 851 Surgutneftegaz ADR* 58,000 580 ---------- 1,431 ---------- THAILAND -- 0.0% Siam Commercial Bank Warrants* 165,000 40 ---------- Total Foreign Preferred Stocks (Cost $39,592) 70,155 ---------- FOREIGN CONVERTIBLE BONDS -- 0.0% TAIWAN -- 0.0% Walsin Lihwa 3.250%, 06/16/04 500 579 ---------- Total Foreign Convertible Bonds (Cost $495) 579 ---------- REPURCHASE AGREEMENTS -- 6.1% J.P. Morgan 6.10%, dated 03/31/00, matures 04/03/00, repurchase price $45,951,949 (collateralized by Fannie Mae Discount Note, due 05/22/00, par value $9,116,000, market value $8,999,352 and Freddie Mac Fixed Rate Note, due 03/15/2009, 5.75% par value $41,634,000, market value $37,732,686) $45,815 45,815 State Street Bank 4.75%, dated 03/31/00, matures 04/03/00, repurchase price $32,923,027 (collateralized by various U.S. Treasury Notes, due 05/15/02-05/15/21, 7.50%-8.125%, ranging in par value $7,401,000-$17,723,000, total market value $33,576,708) 32,910 32,910 ---------- Total Repurchase Agreements (Cost $78,725) 78,725 ---------- Total Investments -- 99.9% (Cost $905,323) $1,300,187 ---------- Other Assets and Liabilities, Net-- 0.1% 894 ---------- 11 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONCLUDED - ------------------------------------------------------------------------------- MARKET DESCRIPTION VALUE (000) - ------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 105,511,918 outstanding shares of beneficial interest $1,039,342 Distributions in excess of net investment income (9,637) Accumulated net realized loss on investments (122,411) Net unrealized appreciation on investments (1) 394,864 Net unrealized depreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency (1,077) ---------- Total Net Assets -- 100.0% $1,301,081 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $12.33 ========== * NON-INCOME PRODUCING SECURITY AMOUNTS DESIGNATED AS "-" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (1) NET OF $1,085,644 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. (A) SECURITES SOLD WITHIN TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER "ACCREDITED INVESTORS". THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF TRUSTEES. ADR -- AMERICAN DEPOSITORY RECEIPT 'F' -- FOREIGN SHARES GDR -- GLOBAL DEPOSITORY RECEIPT GDS -- GLOBAL DEPOSITORY SHARE THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. INTERNATIONAL FIXED INCOME FUND - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 83.5% CANADA -- 11.5% Canadian Treasury Bill 5.590%, 08/17/00 135,770 $ 91,791 Government of Canada 5.500%, 06/01/09 21,000 14,059 9.000%, 06/01/25 6,010 5,848 -------- 111,698 -------- CAYMAN ISLANDS -- 2.1% MBNA Europe (A) 3.629%, 04/10/05 21,860 20,839 -------- DENMARK -- 0.5% Kingdom of Denmark 7.000%, 11/15/07 35,700 5,007 -------- FRANCE -- 4.9% French Treasury Bill 3.670%, 04/20/00 25,600 24,412 Government of France BTAN 4.000%, 07/12/00 11,610 11,094 Government of France OAT 4.000%, 10/25/09 13,660 11,747 -------- 47,253 -------- GERMANY -- 19.3% Bundesschatzanweisungen 3.250%, 09/15/00 27,570 26,271 3.000%, 12/15/00 30,770 29,202 Duetschland Republic 5.375%, 01/04/10 61,685 59,588 6.250%, 01/04/24 31,433 32,332 KFW International Finance 6.625%, 04/15/03 583 583 Republic of Germany 6.000%, 01/04/07 40,270 40,295 -------- 188,271 -------- GREECE -- 3.7% Government of Greece 8.700%, 04/08/05 5,359,500 17,031 8.600%, 03/26/08 5,948,500 19,514 -------- 36,545 -------- HUNGARY -- 2.5% Government of Hungary 10.500%, 05/12/04 6,177,670 24,298 -------- 12 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- ITALY -- 10.3% Italian Treasury Bill 2.340%, 04/28/00 52,720 $ 50,283 Republic of Italy 6.000%, 05/15/00 7,400 7,088 4.500%, 07/15/03 24,109 22,928 1.800%, 02/23/10 2,080,000 20,213 -------- 100,512 -------- JAPAN -- 11.4% Asian Development Bank 3.125%, 06/29/05 3,413,000 36,340 European Investment Bank 3.000%, 09/20/06 3,450,000 36,850 Export-Import Bank 2.875%, 07/28/05 3,560,000 37,575 -------- 110,765 -------- NETHERLANDS -- 4.8% Kingdom of Netherlands 5.500%, 01/15/28 50,082 46,753 -------- POLAND -- 1.8% Government of Poland 8.500%, 02/12/05 84,549 17,404 -------- SPAIN -- 3.2% Government of Spain 4.250%, 07/30/02 32,990 31,254 -------- SWEDEN -- 2.2% Kingdom of Sweden 10.250%, 05/05/03 164,400 21,691 -------- UNITED KINGDOM -- 5.3% European Investment Bank 6.000%, 12/07/28 3,630 6,161 United Kingdom Treasury 8.500%, 07/16/07 15,177 28,087 8.000%, 12/07/15 8,410 17,807 -------- 52,055 -------- Total Foreign Bonds (Cost $816,013) 814,345 -------- U.S. TREASURY OBLIGATIONS -- 2.6% U.S. Treasury Bill 5.030%, 04/20/00 (2) 2,000 1,994 5.780%, 06/22/00 23,490 23,192 -------- Total U.S. Treasury Obligations (Cost $25,185) 25,186 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- TIME DEPOSIT -- 8.8% State Street (2) 0.030%, 04/28/00 JPY 8,825,000 $ 85,888 -------- Total Time Deposit (Cost $82,693) 85,888 -------- U.S. GOVERNMENT MORTGAGE- BACKED OBLIGATIONS -- 0.8% FNMA 6.875%, 06/07/02 GBP 5,150 8,205 -------- Total U.S. Government Mortgage- Backed Obligations (Cost $8,822) 8,205 -------- REPURCHASE AGREEMENT -- 1.4% State Street Bank 4.75%, matures 04/03/00, repurchase price $13,284,256 (collateralized by U.S. Treasury Note, due 10/31/01, 6.25%, par value $13,265,000, market value $13,549,017) 13,279 13,279 -------- Total Repurchase Agreement (Cost $13,279) 13,279 -------- Total Investments -- 97.1% (Cost $952,239) 946,903 -------- Other Assets and Liabilities, Net -- 2.9% 28,010 -------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 93,140,197 outstanding shares of beneficial interest 1,008,915 Distributions in excess of net investment income (17,706) Accumulated net realized loss on investments (15,008) Net unrealized depreciation on investments (5,336) Net unrealized appreciation on future contracts 335 Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 3,713 -------- Total Net Assets -- 100.0% $974,913 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $10.47 ======== 13 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) INTERNATIONAL FIXED INCOME FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- (A) SECURITIES SOLD WITHIN TERMS OF PRIVATE PLACEMENT MEMORANDUM, EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER "ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF TRUSTEES. BTAN -- BONS DU TRESOR A TAUX FIXE ET A INTERET ANNEL FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION GBP -- GREAT BRITIAN POUND JPY -- JAPANESE YEN OAT -- OBLIGATIONS ASSIMILABLES DE TRESOR (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. (2) SECURITES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGRATE MARKET VALUE OF $85,922,567. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS DEBT FUND FOREIGN BONDS -- 88.9% ALGERIA -- 3.0% Republic of Algeria FRN Tranche 1 Restructured 7.188%, 09/04/06 3,000 $ 2,415 Republic of Algeria FRN Tranche 3 Restructured 7.188%, 03/04/10 13,300 9,908 -------- 12,323 -------- ARGENTINA -- 13.7% Government of Argentina 11.750%, 02/12/07 ARS 12,500 11,818 11.750%, 04/07/09 9,650 9,505 11.375%, 03/15/10 13,825 13,376 11.375%, 01/30/17 1,325 1,287 12.000%, 02/01/20 2,650 2,671 6.000%, 03/31/23 1,100 771 Government of Argentina 144a (A) 6.875%, 03/31/23 8,475 7,183 Government of Argentina Bocon Proveedores 1 3.013%, 04/01/07 225 167 Government of Argentina FRB (A) 7.375%, 03/31/05 3,828 3,581 Government of Argentina FRN (A) 11.447%, 04/10/05 6,250 5,813 -------- 56,172 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- BRAZIL -- 13.2% Government of Brazil 14.500%, 10/15/09 15,177 $ 16,543 12.750%, 01/15/20 8,830 8,777 12.250%, 03/06/30 3,450 3,329 Government of Brazil C Bond Bearer 5.000%, 04/15/14 2,198 1,635 Government of Brazil C Bond Registered 5.000%, 04/15/14 2,757 2,051 Government of Brazil DCB L Bearer (A) 7.000%, 04/15/12 7,495 5,677 Government of Brazil DCB L Registered (A) 7.000%, 04/15/12 7,800 5,909 Government of Brazil FLIRB L Registered (A) 5.000%, 04/15/09 3,000 2,325 Government of Brazil NMB L Bearer (A) 7.000%, 04/15/09 7,450 6,305 Government of Brazil NMB L Registered (A) 7.000%, 04/15/09 1,750 1,481 -------- 54,032 -------- BULGARIA -- 4.0% Bulgaria IAB Registered (A) 7.063%, 07/28/11 2,400 1,902 Republic of Bulgaria Discount Notes, Series A 7.063%, 07/28/24 5,605 4,505 Republic of Bulgaria FLIRB Non-U.S. Global Bearer, Series A 2.750%, 07/28/12 13,200 9,471 Republic of Bulgaria IAB PDI 7.063%, 07/28/11 500 396 -------- 16,274 -------- COLOMBIA -- 5.0% Republic of Colombia 7.250%, 02/15/03 800 740 7.270%, 06/15/03 6,000 5,460 9.750%, 04/23/09 7,125 6,270 8.700%, 02/15/16 2,000 1,490 11.750%, 02/25/20 5,500 5,321 8.375%, 02/15/27 1,500 1,106 -------- 20,387 -------- 14 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- COSTA RICA -- 0.6% Government of Costa Rica, Series B 6.250%, 05/21/15 2,600 $ 2,288 -------- CROATIA -- 2.4% Government of Croatia FRN, Series A 7.033%, 07/31/10 8,114 7,525 Government of Croatia FRN, Series B (A) 7.033%, 07/31/06 2,326 2,215 -------- 9,740 -------- ECUADOR -- 1.6% Government of Ecuador Discount Notes FRN* 6.750%, 02/28/25 1,750 726 Government of Ecuador Registered PAR* 4.000%, 02/28/25 16,200 5,832 -------- 6,558 -------- IVORY COAST -- 0.5% Ivory Coast FLIRB 144a (A) 2.000%, 03/29/18 2,500 438 Ivory Coast FLIRB Registered (A) 2.000%, 03/29/18 4,000 700 Ivory Coast PDI 2.000%, 03/29/18 5,053 1,036 -------- 2,174 -------- JAMAICA -- 0.7% Government of Jamaica Registered 10.875%, 06/10/05 3,000 2,858 -------- MEXICO -- 8.9% Government of Mexico Discount, Series C 6.836%, 12/31/19 500 493 Government of Mexico Par Bonds with Recovery Rights, Series B 6.250%, 12/31/19 2,897 2,448 Mexican Par Rights* 2,004,000 -- Petroleos Mexicanos 9.250%, 03/30/18 3,750 3,713 9.500%, 09/15/27 11,500 11,773 United Mexico States 9.750%, 04/06/05 175 183 11.375%, 09/15/16 14,759 17,489 11.500%, 05/15/26 210 261 -------- 36,360 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- MOROCCO -- 2.2% Morocco R&C Loan FRN, Tranche A 6.844%, 01/01/09 9,850 $ 8,828 -------- PANAMA -- 4.0% Government of Panama 9.375%, 04/01/29 2,000 1,910 Government of Panama IRB 4.250%, 07/17/14 8,800 7,040 8.875%, 09/30/27 6,680 5,845 Government of Panama PDI 4.000%, 07/17/16 1,955 1,655 -------- 16,450 -------- PERU -- 1.7% Republic of Peru FLIRB 3.750%, 03/07/17 6,880 4,214 Republic of Peru PDI 4.500%, 03/07/17 4,290 2,858 -------- 7,072 -------- PHILIPPINES -- 2.4% Government of Philippines 9.875%, 01/15/19 6,500 5,915 10.625%, 03/16/25 4,100 3,910 -------- 9,825 -------- POLAND -- 1.5% Poland PDI Non-US Global Bearer (A) 6.000%, 10/27/14 65 59 Republic of Poland RSTA 4.000%, 10/27/24 5,000 3,338 Telekomunikacja Polska 144a (A) 7.750%, 12/10/08 2,750 2,665 -------- 6,062 -------- RUSSIA -- 12.2% Russian Government 9.250%, 11/27/01 145 134 11.750%, 06/10/03 6,145 5,515 10.000%, 06/26/07 690 511 12.750%, 06/24/28 21,245 18,005 Russian Government Principal Loans* 6.063%, 12/15/20 29,475 8,548 Russian IAN FRN PIK* 6.906%, 12/15/15 59,410 17,303 -------- 50,016 -------- 15 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) EMERGING MARKETS DEBT FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1)/SHARES VALUE (000) - -------------------------------------------------------------------------------- VENEZUELA -- 11.3% Government of Venezuela 13.625%, 08/15/18 20,050 $ 18,847 9.250%, 09/15/27 19,025 12,499 Government of Venezuela DCB 7.000%, 12/18/07 3,048 2,453 Government of Venezuela Discount, Series A (A) 7.000%, 03/31/20 6,600 5,016 Government of Venezuela FLIRB, Series A 7.440%, 03/31/07 4,167 3,387 Government of Venezuela FRB, Series B 144a (A) 7.438%, 03/31/07 4,833 3,841 Government of Venezuela NMB, Series A 144a (A) 7.125%, 12/18/05 529 429 -------- 46,472 -------- Total Foreign Bonds (Cost $323,716) 363,891 -------- U.S. TREASURY OBLIGATION -- 7.6% U.S. Treasury Bond 6.500%, 02/15/10 30,000 31,078 -------- Total U.S. Treasury Obligation (Cost $31,078) 31,078 -------- REPURCHASE AGREEMENT -- 1.7% State Street Bank 4.75%, dated 03/31/00, matures 04/03/00, repurchase price $6,771,679 (collateralized by U.S. Treasury Note, due 11/15/26, 6.50%, par value $6,450,000, market value $6,908,124) 6,769 6,769 -------- Total Repurchase Agreement (Cost $6,769) 6,769 -------- Total Investments -- 98.2% (Cost $361,563) 401,738 -------- Other Assets and Liabilities, Net -- 1.9% 7,713 -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION VALUE (000) - -------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 44,880,572 outstanding shares of beneficial interest $392,291 Undistributed net investment income 9,925 Accumulated net realized loss on investments (32,940) Net unrealized appreciation on investments 40,175 -------- Total Net Assets -- 100.0% $409,451 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $9.12 ======== * NON-INCOME PRODUCING SECURITY AMOUNTS DESIGNATED AS "-" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (A) SECURITIES SOLD WITHIN TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER "ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF TRUSTEES. ARS -- AREGENTINA PESO DCB -- DISCOUNT BOND FLIRB -- FRONT LOADED INTEREST REDUCTION BOND FRB -- FLOATING RATE BOND FRN -- FLOATING RATE NOTE IAB -- INTEREST ARREARS BOND IAN -- INTEREST ARREARS NOTE IRB -- INTEREST REVENUE BOND NMB -- NEW MONEY BOND PDI -- PAST DUE INTEREST PIK -- PAID IN-KIND RSTA -- REVOLVING SHORT TERM AGREEMENT (1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 16
STATEMENT OF OPERATIONS (000) - --------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000 (UNAUDITED) ---------------- ------------ ------------- ----------- EMERGING INTERNATIONAL EMERGING INTERNATIONAL MARKETS FIXED MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND --------------- ------------ ------------- ----------- INVESTMENT INCOME: Dividends $ 13,389 $ 6,349 $ -- $ -- Interest 2,294 1,196 18,372 20,259 Less: Foreign Taxes Withheld (1,889) (237) -- -- -------- -------- -------- --------- Total Investment Income 13,794 7,308 18,372 20,259 -------- -------- -------- --------- EXPENSES: Management fees 5,147 3,680 2,646 1,120 Investment advisory fees 5,776 5,945 980 1,465 Less: Investment advisory fees waived (113) (794) (106) (533) Shareholder servicing fees 2,858 1,415 1,102 431 Less: Shareholder servicing fees waived -- -- (475) (235) Custodian/wire agent fees 779 727 176 42 Professional fees 30 13 13 2 Registration & filing fees 105 31 60 16 Printing fees 32 15 15 5 Trustee fees 12 6 5 2 Pricing fees 8 7 6 7 Distribution fees 1 -- -- -- Amortization of deferred organization costs -- 1 -- 2 Miscellaneous expenses 27 11 12 4 -------- -------- -------- --------- Total Expenses 14,662 11,057 4,434 2,328 -------- -------- -------- --------- NET INVESTMENT INCOME (LOSS) (868) (3,749) 13,938 17,931 -------- -------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Security transactions 120,482 87,137 (7,641) (197) Futures contracts 8,130 -- (1,186) -- Net realized loss on forward foreign currency contracts and foreign currency transactions (1,959) (931) (18,491) -- Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, futures contracts, foreign currencies, and translation of other assets and liabilities in foreign currency (302) (678) 6,662 -- Net change in unrealized appreciation (depreciation) on investments 295,920 230,934* (23,194) 51,402 -------- -------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $421,403 $312,713 $(29,912) $ 69,136 ======== ======== ======== ========= *NET OF $1,085,644 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAX ON APPRECIATED SECURITIES. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
STATEMENT OF CHANGES IN NET ASSETS (000) - --------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000 (UNAUDITED) AND FOR THE YEAR ENDED SEPTEMBER 30, 1999 --------------------- -------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND --------------------- --------------------- 10/1/99- 10/1/98- 10/1/99- 10/1/98- 3/31/00 9/30/99 3/31/00 9/30/99 --------------------- --------------------- OPERATIONS: Net investment income (loss) $ (868) $ 5,344 $ (3,749) $ (2,453) Net realized gain (loss) from investment transactions 120,482 32,833 87,137 (34,375) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 6,171 (641) (931) (2,152) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, futures contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies (302) 1,244 (678) (117) Net change in unrealized appreciation on investments 295,920 372,263 230,934* 301,729** ---------- ---------- ---------- ---------- Net increase in net assets from operations 421,403 411,043 312,713 262,632 ---------- ---------- ---------- ---------- DISTRIBUTIONS FROM: Net investment income: Class A (7,033) (11,193) (587) (1,049) Class D (1) (3) -- -- Net realized gains: Class A (36,907) (37,113) -- -- Class D (8) (12) -- -- ---------- ---------- ---------- ---------- Total distributions (43,949) (48,321) (587) (1,049) ---------- ---------- ---------- ---------- CAPITAL SHARE TRANSACTIONS (1): Class A: Proceeds from shares issued 1,217,263 1,066,515 507,378 450,898 Reinvestment of cash distributions 40,706 43,631 552 1,011 Cost of shares redeemed (681,330) (595,013) (385,886) (345,051) ---------- ---------- ---------- ---------- Increase in net assets from Class A transactions 576,639 515,133 122,044 106,858 ---------- ---------- ---------- ---------- Class D: Proceeds from shares issued 71 44 -- -- Reinvestment of cash distributions 9 15 -- -- Cost of shares redeemed (14) (67) -- -- ---------- ---------- ---------- ---------- Increase (decrease) in net assets from Class D transactions 66 (8) -- -- ---------- ---------- ---------- ---------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 576,705 515,125 122,044 106,858 ---------- ---------- ---------- ---------- Net increase in net assets 954,159 877,847 434,170 368,441 NET ASSETS: Beginning of period 1,844,885 967,038 866,911 498,470 ---------- ---------- ---------- ---------- End of period $2,799,044 $1,844,885 $1,301,081 $ 866,911 ========== ========== ========== ========== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 88,973 97,155 43,643 56,297 Shares issued in lieu of cash distributions 3,108 4,292 48 141 Shares redeemed (50,124) (54,402) (33,174) (42,292) ---------- ---------- ---------- ---------- Total Class A transactions 41,957 47,045 10,517 14,146 ---------- ---------- ---------- ---------- Class D: Shares issued 5 4 -- -- Shares issued in lieu of cash distributions 1 2 -- -- Shares redeemed (1) (7) -- -- ---------- ---------- ---------- ---------- Total Class D transactions 5 (1) -- -- ---------- ---------- ---------- ---------- Net increase in capital shares 41,962 47,044 10,517 14,146 ========== ========== ========== ========== *NET OF $1,085,644 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAX ON APPRECIATED SECURITIES. **NET OF $365,920 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 18
STATEMENT OF CHANGES IN NET ASSETS (000) - --------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000 (UNAUDITED) AND FOR THE YEAR ENDED SEPTEMBER 30, 1999 -------------------- ---------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND -------------------- ---------------------- 10/1/99- 10/1/98- 10/1/99- 10/1/98- 3/31/00 9/30/99 3/31/00 9/30/99 -------------------- ----------------------- OPERATIONS: Net investment income $ 13,938 $ 19,381 $ 17,931 $ 27,534 Net realized loss from investment transactions (8,827) (3,927) (197) (776) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (18,491) (6,019) -- 12 Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, futures contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies 6,662 (4,342) -- -- Net change in unrealized appreciation (depreciation) on investments (23,194) (11,734) 51,402 29,103 -------- -------- -------- -------- Net increase (decrease) in net assets from operations (29,912) (6,641) 69,136 55,873 -------- -------- -------- -------- DISTRIBUTIONS FROM: Net investment income: Class A (14,879) (25,854) (28,919) (18,629) Net realized gains: Class A -- (9,656) -- -- -------- -------- -------- -------- Total distributions (14,879) (35,510) (28,919) (18,629) -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS (1): Class A: Proceeds from shares issued 337,180 473,365 116,940 145,289 Reinvestment of cash distributions 14,289 33,746 28,405 18,391 Cost of shares redeemed (141,205) (189,320) (60,104) (79,869) -------- -------- -------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 210,264 317,791 85,241 83,811 -------- -------- -------- -------- Net increase in net assets 165,473 275,640 125,458 121,055 NET ASSETS: Beginning of period 809,440 533,800 283,993 162,938 -------- -------- -------- -------- End of period $974,913 $809,440 $409,451 $283,993 ======== ======== ======== ======== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 31,715 42,467 13,352 19,085 Shares issued in lieu of cash distributions 1,332 2,846 3,385 2,533 Shares redeemed (13,323) (16,794) (6,888) (10,439) -------- -------- -------- -------- Net increase in capital shares 19,724 28,519 9,849 11,179 ======== ======== ======== ======== AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
19
FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000 (UNAUDITED), THE YEAR ENDED SEPTEMBER 30, 1999 FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY 28 OR 29. FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD NET ASSET DISTRIBUTIONS DISTRIBUTIONS VALUE NET NET REALIZED AND FROM NET FROM NET ASSETS BEGINNING INVESTMENT UNREALIZED INVESTMENT REALIZED CAPITAL END OF TOTAL OF PERIOD INCOME/(LOSS) GAINS/(LOSSES) INCOME (5) GAINS PERIOD (000) RETURN* - -------------------------------------------------------------------------------------------------------------------------- - -------------------------- INTERNATIONAL EQUITY FUND - -------------------------- CLASS A For the six month period ended March 31: 2000 $12.09 $(0.02) $ 2.58 $(0.04) $(0.23) $14.38 21.47% For the year ended September 30: 1999(5) $ 9.16 $ 0.04 $ 3.34 $(0.10) $(0.35) $12.09 37.86% For the seven month period ended September 30: 1998(5) $10.15 $ 0.07 $(1.06) $ -- $ -- $ 9.16 (9.75)% For the years ended February 28 or 29: 1998(5) $ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $10.15 10.21% 1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 1996 9.59 0.14 1.45 (0.19) (0.99) 10.00 17.30 1995 11.00 0.15 (0.97) -- (0.59) 9.59 (7.67) CLASS D For the six month period ended March 31: 2000 $11.97 $ (0.03) $ 2.56 $(0.02) $(0.23) $14.25 21.43% For the year ended September 30: 1999 $ 9.07 $ (0.01) $ 3.35 $(0.09) $(0.35) $11.97 37.69% For the seven month period ended September 30: 1998(5) $10.06 $ 0.06 $(1.05) $ -- $ -- $ 9.07 (9.84)% For the years ended February 28 or 29: 1998(5) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $10.06 9.92% 1997 9.93 0.05 0.47 (0.05) (0.82) 9.58 5.39 1996 9.56 0.04 1.50 (0.18) (0.99) 9.93 16.77 1995(1) 10.81 0.01 (0.67) -- (0.59) 9.56 (6.33) - ----------------------------- EMERGING MARKETS EQUITY FUND - ----------------------------- CLASS A For the six month period ended March 31: 2000 $ 9.13 $(0.03) $ 3.24 $(0.01) $ -- $12.33 35.12% For the year ended September 30: 1999 $ 6.17 $(0.03) $ 3.00 $(0.01) $ -- $ 9.13 48.23% For the seven month period ended September 30: 1998 $10.55 $ 0.07 $(4.45) $ -- $ -- $ 6.17 (41.52)% For the years ended February 28 or 29: 1998 $12.87 $(0.03) $(2.25) $(0.03) $(0.01) $10.55 (17.72)% 1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 1996 10.27 (0.02) 0.72 -- (0.04) 10.93 6.83 1995(2) 10.00 0.01 0.26 -- -- 10.27 2.70 - ------------------------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- CLASS A For the six month period ended March 31: 2000 $11.03 $(0.06) $(0.32) $(0.18) $ -- $10.47 (3.50)% For the year ended September 30: 1999 $11.89 $ 0.30 $(0.42) $(0.53) $(0.21) $11.03 (1.36)%$ For the seven month period ended September 30: 1998 $10.68 $ 0.40 $ 0.81 $ -- $ -- $11.89 11.33% For the years ended February 28 or 29: 1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $10.68 3.23% 1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 1996 10.42 0.58 0.89 (1.02) (0.10) 10.77 13.96 1995 10.23 0.43 0.40 (0.62) (0.02) 10.42 8.43 - -------------------------- EMERGING MARKETS DEBT FUND - -------------------------- CLASS A For the six month period ended March 31: 2000 $ 8.11 $ 0.85 $ 0.93 $(0.77) $ -- $ 9.12 22.82% For the year ended September 30: 1999 $ 6.83 $ 0.84 $ 1.19 $(0.75) $ -- $ 8.11 31.15% For the seven month period ended September 30: 1998 $10.31 $(0.11) $(3.37) $ -- $ -- $ 6.83 (33.75)% For the year ended February 28: 1998(3) $10.00 $ 0.56 $ -- $(0.25) $ -- $10.31 5.64%
RATIO OF RATIO OF NET INVESTMENT RATIO OF EXPENSES INCOME/(LOSS) RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE NET ASSETS EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE - --------------------------------------------------------------------------------------------------- - -------------------------- INTERNATIONAL EQUITY FUND - -------------------------- CLASS A For the six month period ended March 31: 2000 $2,798,465 1.28%[DAGGER] (0.07)%[DAGGER] 1.29%[DAGGER] (0.08)%[DAGGER] 41% For the year ended September 30: 1999(5) $1,844,459 1.28% 0.39% 1.31% 0.36% 61% For the seven month period ended September 30: 1998(5) $ 966,707 1.24%[DAGGER] 1.60%[DAGGER] 1.31%[DAGGER] 1.53%[DAGGER] 66% For the years ended February 28 or 29: 1998(5) $ 851,542 1.21% 1.31% 1.30% 1.22% 75% 1997 524,062 1.28 1.11 1.42 0.97 117 1996 347,646 1.25 1.29 1.29 1.25 102 1995 328,503 1.19 1.30 1.21 1.28 64 CLASS D For the six month period ended March 31: 2000 $ 579 1.43%[DAGGER] (0.22)%[DAGGER] 1.44%[DAGGER] (0.23)%[DAGGER] 41% For the year ended September 30: 1999 $ 426 1.43% 0.20% 1.46% 0.17% 61% For the seven month period ended September 30: 1998(5) $ 331 1.39%[DAGGER] 1.36%[DAGGER] 1.46%[DAGGER] 1.29%[DAGGER] 66% For the years ended February 28 or 29: 1998(5) $ 302 1.36% 1.16% 1.45% 1.07% 75% 1997 177 1.55 0.71 1.65 0.61 117 1996 199 1.65 0.58 1.90 0.33 102 1995(1) 51 1.47 0.42 1.48 0.41 64 - ----------------------------- EMERGING MARKETS EQUITY FUND - ----------------------------- CLASS A For the six month period ended March 31: 2000 $1,301,081 1.95%[DAGGER] (0.66)%[DAGGER] 2.09%[DAGGER] (0.80)%[DAGGER] 52% For the year ended September 30: 1999 $ 866,911 1.95% (0.35)% 2.14% (0.54)% 129% For the seven month period ended September 30: 1998 $ 498,470 1.95%[DAGGER] 1.51%[DAGGER] 2.24%[DAGGER] 1.22%[DAGGER] 46% For the years ended February 28 or 29: 1998 $ 509,748 1.95% (0.12%) 2.36% (0.53)% 76% 1997 221,474 1.95 (0.04) 2.55 (0.64) 100 1996 67,181 1.95 (0.23) 2.72 (1.00) 104 1995(2) 5,300 1.95 1.79 4.98 (1.24) -- - ------------------------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- CLASS A For the six month period ended March 31: 2000 $ 974,913 1.00%[DAGGER] 3.16%[DAGGER] 1.14%[DAGGER] 3.02%[DAGGER] 122% For the year ended September 30: 1999 $ 809,440 1.00% 2.97% 1.22% 2.75% 278% For the seven month period ended September 30: 1998 $ 533,800 1.00%[DAGGER] 3.61%[DAGGER] 1.21%[DAGGER] 3.40%[DAGGER] 112% For the years ended February 28 or 29: 1998 $ 408,974 1.00% 3.92% 1.24% 3.68% 280% 1997 204,219 1.00 3.99 1.39 3.60 352 1996 84,318 1.00 4.70 1.27 4.43 269 1995 42,580 1.00 4.68 1.30 4.38 303 - -------------------------- EMERGING MARKETS DEBT FUND - -------------------------- CLASS A For the six month period ended March 31: 2000 $ 409,451 1.35%[DAGGER] 10.38%[DAGGER] 1.79%[DAGGER] 9.94%[DAGGER] 119% For the year ended September 30: 1999 $ 283,993 1.35% 12.27% 1.82% 11.80% 184% For the seven month period ended September 30: 1998 $ 162,938 1.35%[DAGGER] 10.28%[DAGGER] 1.84%[DAGGER] 9.79%[DAGGER] 186% For the year ended February 28: 1998(3) $ 154,284 1.35% 8.05% 1.94% 7.46% 269% + ANNUALIZED. * RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. (1) INTERNATIONAL EQUITY CLASS D SHARES WERE OFFERED BEGINNING MAY 1, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (2) EMERGING MARKETS EQUITY CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (3) EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (4) DISTRIBUTIONS FROM NET INVESTMENT INCOME INCLUDE DISTRIBUTIONS OF CERTAIN FOREIGN CURRENCY GAINS AND LOSSES. (5) PER SHARE NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAINS/(LOSSES) CALCULATED USING AVERAGE SHARES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 20 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) 1. ORGANIZATION SEI Institutional International Trust, (the "Trust"), was organized as a Massachusetts business trust under a Declaration of Trust dated June 30, 1988. The operations of the Trust commenced on December 20, 1989. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with four funds: the International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund (together the "Funds"). The Trust's prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The Trust is registered to offer Class A shares of each of the Funds and Class D shares of the International Equity Fund. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The policies are in conformity with generally accepted accounting principles. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities that are listed on a securities exchange for which market quotations are readily available are valued by an independent pricing service at the last quoted sales price for such securities, or if there is no such reported sale on the valuation date, at the most recently quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recently quoted bid price. Debt obligations with sixty days or less remaining until maturity may be valued at amortized cost, which approximates market value. Other securities for which market quotations are not readily available or securities whose market quotations do not reflect market value are valued at fair value using good faith pricing procedures approved by the Board of Trustees. FEDERAL INCOME TAXES -- It is the intention of each Fund to continue to qualify as a regulated investment company and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements. The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a daily basis by dividing the assets of each Fund less its liabilities by the number of outstanding shares of the Fund. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by the custodian bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and procedures adopted by the Trust require that the market value of the collateral to cover principal and interest, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained in a segregated account by the broker's custodian bank until maturity of the repurchase agreement. Provisions of the agreements require that the market value of the collateral, including accrued interest thereon, is sufficient to cover principal and interest in the event of default by the counterparty of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following bases: (I) market value of investment securities, other assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. 21 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) For foreign equity securities, the Funds do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations for Federal income tax purposes. The Funds report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The aggregate principal amounts of the contracts are not recorded as the Funds do not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Fund and the International Fixed Income Fund utilized futures contracts during the period ended March 31, 2000. The Funds investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of its benchmark index. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked to market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. OPTION SELLING/PURCHASING -- The Funds may invest in financial options contracts solely for the purpose of hedging its existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. When the Fund sells or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. CLASSES -- Class-specific expenses, such as Shareholder Servicing for Class A and 12b-1 and Transfer Agent for Class D, are borne by that class. Income, expenses, and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. DISTRIBUTIONS -- Distributions from net investment income and net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under generally accepted accounting principles. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital in the period that the difference arises. 22 - -------------------------------------------------------------------------------- OTHER -- Security transactions are reported for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of investment securities are those of the specific securities sold. Purchase discounts and premiums on securities held by the Funds are accreted and amortized to maturity using the scientific interest method, which approximates the effective interest method. Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS SEI Investments Fund Management (the "Manager") and the Trust are parties to a management agreement dated September 30, 1988, under which the Manager provides management, administrative and shareholder services to the Trust for an annual fee equal to .45% of the average daily net assets of the International Equity Fund, .60% of the average daily net assets of the International Fixed Income Fund, and .65% of the average daily net assets of the Emerging Markets Equity and Emerging Markets Debt Funds. The Manager has voluntarily agreed to waive all or a portion of its fees and, if necessary, reimburse other operating expenses in order to limit the operating expenses of each Fund. SEI Investments Management Corporation ("SIMC") acts as the investment adviser for the International Equity, Emerging Markets Equity and Emerging Markets Debt Funds. Under the Invest-ment Advisory Agreement, SIMC receives an annual fee of .505% of the average daily net assets of the International Equity Fund, 1.05% of the average daily net assets of the Emerging Markets Equity Fund, and .85% of the average daily net assets of the Emerging Markets Debt Fund. As of March 31, 2000, pursuant to Sub-Advisory Agreements with SIMC, Acadian Asset Management, Inc., Capital Guardian Trust Company, BlackRock International, Ltd., SG Pacific Asset Management Inc. (formally Yamaichi Capital Management, Inc.) and Oechsle International Advisors serve as Sub-Advisers to the International Equity Fund, and SG Pacific Asset Management Inc. (formally Yamaichi Capital Management. Inc.), Morgan Stanley Asset Management Inc., Nicholas-Applegate Capital Management Inc., Coronation Asset Management (Proprietary) Limited, and Credit Suisse Asset Management Limited serve as Sub-Advisers to the Emerging Markets Equity Fund. Salomon Brothers Asset Management, Inc. serves as the Sub-Adviser to the Emerging Markets Debt Fund. Strategic Fixed Income, LLC, the Adviser for the International Fixed Income Fund, is a party to an investment advisory agreement with the Trust dated June 15, 1993. Under the investment advisory agreement, Strategic Fixed Income, LLC, receives an annual fee of up to .30% of the average daily net assets of the Fund. Strategic Fixed Income, LLC, has voluntarily agreed to waive all or a portion of its fee, in conjunction with the Manager, in order to limit the total operating expenses of the Fund. Effective January 1, 2000, Strategic Fixed Income, LLC, receives an annual fee of up to .15% of the average net assets of the Fund. SEI Investments Distribution Co. (the "Distributor"), a wholly-owned subsidiary of SEI Investments and a registered broker-dealer, serves as each Fund's distributor pursuant to a distribution agreement with the Trust. Effective April 15, 1996, the Trust adopted a shareholder servicing plan (the "Class A Plan") pursuant to which a shareholder servicing fee of up to .25% of the average daily net assets attributable to the Class A shares are paid to the Distributor. Under the Class A Plan, the Distributor may perform, or may compensate other service providers for performing certain shareholder and administrative services. The International Equity Fund has adopted a distribution plan for its Class D shares (the "Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily net assets attributable to the Class D shares is paid to the Distributor. As of March 31, 2000, the Distributor was taking a fee under the Class D Plan of .25% of the average daily net assets attributable to Class D shares. This payment may be used to compensate financial institutions that provide distribution-related services to their customers. Under both the Class A Plan and the Class D Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. In addition, Class D shares incur transfer agency fees of up to .15% of the average daily net assets. Class D is also subject to a 5% sales load on purchases of shares. 23 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) Certain Officers and/or Trustees of the Trust are also Officers and/or Directors of the Manager. Compensation of Officers and affiliated Trustees is paid by the manager. For the period ended March 31, 2000, the Funds paid commissions of $747,403 to affiliated broker-dealers. The Emerging Markets Equity and International Equity Funds also used the Distributor as an agent in placing repurchase agreements. For this service the Distributor retains a portion of the interest earned as a commission. Such commissions for the period ended March 31, 2000 were $6,215 and $13,204, respectively. 4. ORGANIZATIONAL COSTS Organizational costs have been capitalized by the Funds and are being amortized using the straight line method over sixty months beginning with the commencement of operations. In the event any of the initial shares of a Fund acquired by the Manager are redeemed during the period that the Fund is amortizing its organizational costs, the redemption proceeds payable to the Manager by the Fund will be reduced by an amount equal to a pro-rata portion of the unamortized organizational costs. 5. FORWARD FOREIGN CURRENCY CONTRACTS The Funds enter into forward foreign currency exchange contracts as hedges against fund positions and anticipated fund positions. Such contracts, which are designed to protect the value of the Fund's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities; they simply establish an exchange rate at a future date. Also, although such contracts tend to minimize risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase. The following forward foreign currency contracts were outstanding at March 31, 2000: IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - ----------------- ---------------- -------- -------------- EMERGING MARKETS EQUITY FUND - ---------------------------- FOREIGN CURRENCY SALES: 4/4/00 GD 674,000,000 $ 1,922,967 $ (3,159) ----------- -------- $ (3,159) ======== INTERNATIONAL EQUITY FUND - ------------------------- FOREIGN CURRENCY SALES: 4/28/00 EC 288,021 $ 276,846 $ 1,237 4/3/00-4/5/00 JY 27,756,935 264,736 (5,415) 4/5/00 UK 1,147,710 1,820,038 (7,845) ----------- -------- $ 2,361,619 $(12,023) ----------- -------- FOREIGN CURRENCY PURCHASES: 4/4/00 CD 404,161 $ 277,774 $ 1,169 4/4/00-4/28/00 EC 3,500,102 3,358,480 (13,210) 4/3/00 HD 1,547,048 198,683 -- 4/4/00 JY 280,953,560 2,669,392 64,949 4/4/00 SD 227,570 132,408 557 4/4/00 SK 5,216,783 605,828 (2,913) 4/4/00 TB 2,086,649 55,202 -- 4/6/00 UK 1,066,070 1,699,848 (1,960) ----------- -------- $ 7,297,768 $ 48,592 ----------- -------- $ 36,569 ======== 24 - -------------------------------------------------------------- IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - --------------- ---------------- -------- -------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- FOREIGN CURRENCY SALES: 5/17/00 AD 3,614,423 $ 2,180,907 $ (16,600) 5/17/00 CD 185,521,759 126,619,701 (1,562,895) 5/17/00 CH 71,240,176 43,048,071 51,762 5/17/00 DK 62,985,489 3,240,000 127,547 5/17/00 EC 383,206,544 384,430,076 4,564,343 5/17/00 GD 69,904,667 201,739 2,509 5/17/00 JY 20,838,434,031 198,102,799 (6,285,459) 5/17/00 SK 70,676,567 8,151,195 (39,462) 5/17/00 UK 63,124,082 99,337,140 (1,249,924) ------------ ----------- $865,311,628 $(4,408,179) ------------ ----------- FOREIGN CURRENCY PURCHASES: 5/17/00 AD 7,391,873 $ 4,539,349 $ (45,217) 5/17/00 CD 50,470,823 34,412,256 459,563 5/17/00 CH 101,381,239 61,382,596 (194,945) 5/17/00 DK 136,653,925 17,776,897 (176,040) 5/17/00 EC 251,575,771 244,676,114 (3,647,470) 5/17/00 JY 38,939,489,441 381,434,630 10,493,033 5/17/00 SK 22,114,576 2,548,731 14,111 5/17/00 UK 80,881,553 127,334,950 1,548,317 ------------ ----------- $874,105,524 $ 8,451,352 ------------ ----------- $ 4,043,173 =========== CURRENCY LEGEND AD Australian Dollar HD Hong Kong Dollar CD Canadian Dollar JY Japanese Yen CH Swiss Franc SD Singapore Dollar DK Danish Kroner SK Swedish Krona EC Euro Currency TB Thailand Baht GD Greek Drachma UK British Pound Sterling 6. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments and U.S. government securities, during the period ended March 31, 2000, were as follows: PURCHASES SALES (000) (000) ---------- ---------- International Equity Fund $1,400,351 $ 829,231 Emerging Markets Equity Fund 625,722 553,325 International Fixed Income Fund 697,582 705,355 Emerging Markets Debt Fund 300,593 237,867 The International Fixed Income Fund purchased $167,410,603 and sold $142,588,866 in U.S. government securities, during the period ended March 31, 2000. For Federal income tax purposes, the cost of securities owned at March 31, 2000 and the net realized gains or losses on securities sold for the period then ended was not materially different from the amounts reported for financial reporting purposes as shown below. The aggregate gross unrealized appreciation and depreciation at March 31, 2000 for the Funds is as follows: BOOK NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION/ SECURITIES SECURITIES (DEPRECIATION) (000) (000) (000) ---------- ----------- ------------- International Equity Fund $656,704 $(86,779) $569,925 Emerging Markets Equity Fund 429,093 (34,229) 394,864* International Fixed Income Fund 22,785 (28,121) (5,336) Emerging Markets Debt Fund 46,354 (6,179) 40,175 *Net of $1,085,644 charge in accrued foreign withholding tax on appreciated securities. 25 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2000 (UNAUDITED) 7. FUTURES CONTRACTS The following Funds had futures contracts open as of March 31, 2000: CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - ------------ ---------- ------- ---------- ------------ INTERNATIONAL EQUITY FUND Australia Ords Index 4 3,245 June 2000 $ (3,916) Australia Ords Index 14 3,254 June 2000 (15,628) Australia Ords Index 2 3,274 June 2000 (2,840) Australia Ords Index 3 3,210 June 2000 (1,337) CAC 40 Index 63 6,271 June 2000 (8,866) CAC 40 Index 9 6,333 June 2000 (6,763) CAC 40 Index 13 6,234 June 2000 2,176 Dax Index 13 7,835 June 2000 (70,782) Dax Index 4 7,900 June 2000 (28,082) Dax Index 5 7,887 June 2000 (33,471) Dax Index 2 7,853 June 2000 (11,767) Dax Index 1 7,960 June 2000 (8,481) Dax Index 5 7,675 June 2000 (8,388) FT-SE 100 Index 20 6,587 June 2000 3,984 FT-SE 100 Index 20 6,602 June 2000 (760) FT-SE 100 Index 19 6,600 June 2000 (269) FT-SE 100 Index 5 6,650 June 2000 (3,980) FT-SE 100 Index 10 6,702 June 2000 (16,190) FT-SE 100 Index 12 6,440 June 2000 30,605 Hang Seng Index 8 17,235 April 2000 11,312 Hang Seng Index 1 17,785 April 2000 (2,118) Hang Seng Index 2 17,400 April 2000 706 IBEX 35 Index 3 12,528 April 2000 (16,893) IBEX 35 Index 3 12,340 April 2000 (11,426) IBEX 35 Index 3 12,231 April 2000 (8,307) IBEX 35 Index 1 12,134 April 2000 (1,829) IBEX 35 Index 3 12,260 April 2000 (9,159) IBEX 35 Index 3 12,180 April 2000 (6,845) IBEX 35 Index 2 11,790 April 2000 2,888 MIB 30 Index 1 49,365 June 2000 (14,869) MIB 30 Index 2 48,145 June 2000 (17,913) MIB 30 Index 1 47,225 June 2000 (4,536) MIB 30 Index 1 47,350 June 2000 (5,145) MIB 30 Index 1 48,050 June 2000 (8,545) MIB 30 Index 2 47,735 June 2000 (14,089) MIB 30 Index 1 45,965 June 2000 1,414 NIKKEI 225 Index 24 19,700 June 2000 76,678 NIKKEI 225 Index 43 19,380 June 2000 203,406 NIKKEI 225 Index 1 19,355 June 2000 4,848 NIKKEI 225 Index 18 19,650 June 2000 62,361 NIKKEI 225 Index 6 19,700 June 2000 19,383 NIKKEI 225 Index 13 20,335 June 2000 3,486 -------- $ 80,053 ======== INTERNATIONAL FIXED INCOME FUND Japan 10 Year Bond 61 131 June 2000 $350,100 Japan 10 Year Bond 6 132 June 2000 (14,628) -------- $335,472 ======== 8. CONCENTRATION OF RISKS Each Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The International Fixed Income Fund and Emerging Markets Debt Fund invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the International Fixed Income Fund and Emerging Markets Debt Fund to meet its obligations may be affected by economic and political developments in a specific country, industry or region. 9. LOAN PARTICIPATIONS AND BRADY BONDS The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. The Fund may have difficulty disposing of Participations and Assignments because the market for such instruments is not highly liquid. 26 - -------------------------------------------------------------------------------- Certain debt obligations, customarily referred to as "Brady Bonds," are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. 10. LINE OF CREDIT Each Fund may borrow, an amount up to its prospectus defined limitations, from an $81 million committed line of credit available to the SEI Institutional International Funds. Borrowings from the line of credit will bear interest at the Federal Funds Rate plus 0.625%. As of March 31, 2000, no Fund had an outstanding borrowing. 27 NOTES ================================================================================ - -------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST - -------------------- SEMI-ANNUAL REPORT - -------------------- MARCH 31, 2000 Robert A. Nesher CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Mark E. Nagle CONTROLLER, CHIEF FINANCIAL OFFICER Todd Cipperman VICE PRESIDENT, ASSISTANT SECRETARY Kevin P. Robins VICE PRESIDENT, ASSISTANT SECRETARY Cynthia M. Parrish VICE PRESIDENT, ASSISTANT SECRETARY Lydia A. Gavalis VICE PRESIDENT, ASSISTANT SECRETARY Christine McCullough VICE PRESIDENT, ASSISTANT SECRETARY James R. Foggo VICE PRESIDENT, ASSISTANT SECRETARY Timothy D. Barto VICE PRESIDENT, ASSISTANT SECRETARY Richard W. Grant SECRETARY INVESTMENT ADVISORS INTERNATIONAL EQUITY FUND SEI Investments Management Corporation EMERGING MARKETS EQUITY FUND SEI Investments Management Corporation INTERNATIONAL FIXED INCOME FUND Strategic Fixed Income LLC EMERGING MARKETS DEBT FUND SEI Investments Management Corporation MANAGER AND SHAREHOLDER SERVICING AGENT SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP LEGAL COUNSEL Morgan, Lewis & Bockius LLP THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY ANY BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY BANK. FOR MORE INFORMATION CALL 1[BULLET]800[BULLET]DIAL[BULLET]SEI/ 1[BULLET]800[BULLET]342[BULLET]5734 [logo omitted] SEI-F-031-09 -----END PRIVACY-ENHANCED MESSAGE-----