-----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, J+Zv1y+amkxX8PD8YwwjVjMCw9gjVGxcg2vHBlUBLEPNfoDFTGHqpSfyGvbHdmli Pu2aVk/mVBN5jd+6VxBklA== 0000935069-00-000641.txt : 20001205 0000935069-00-000641.hdr.sgml : 20001205 ACCESSION NUMBER: 0000935069-00-000641 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990930 FILED AS OF DATE: 20001204 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: 782741 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 0001.txt SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL ANNUAL REPORT AS OF SEPTEMBER 30, 2000 SEI INSTITUTIONAL INTERNATIONAL TRUST - -------------------------------------------------------------------------------- International Equity Fund - -------------------------------------------------------------------------------- Emerging Markets Equity Fund - -------------------------------------------------------------------------------- International Fixed Income Fund - -------------------------------------------------------------------------------- Emerging Markets Debt Fund - -------------------------------------------------------------------------------- SEI Investments Logo Omitted TABLE OF CONTENTS - ------------------------------------------------------------------------------- MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE INTERNATIONAL EQUITY FUND...................................... 1 EMERGING MARKETS EQUITY FUND................................... 3 INTERNATIONAL FIXED INCOME FUND .............................. 5 EMERGING MARKETS DEBT FUND..................................... 6 STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS.................... 10 STATEMENTS OF ASSETS AND LIABILITIES................................. 26 STATEMENTS OF OPERATIONS............................................. 27 STATEMENTS OF CHANGES IN NET ASSETS.................................. 28 FINANCIAL HIGHLIGHTS................................................. 30 NOTES TO FINANCIAL STATEMENTS........................................ 31 REPORT OF INDEPENDENT ACCOUNTANTS.................................... 38 NOTICE TO SHAREHOLDERS............................................... 39 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 INTERNATIONAL EQUITY FUND OBJECTIVE. The International Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of non-U.S. issuers. STRATEGY. The International Equity Fund invests primarily in common stocks and other equity securities of foreign companies. The Fund primarily invests in companies located in developed countries, but may also invest in companies located in emerging markets. The Fund uses a multi-manager approach, relying upon a number of Sub-Advisers with differing investment philosophies to manage a portion of the Fund's portfolio under the general supervision of SEIInvestments Management Corporation ("SIMC"). The Fund is diversified as to issuers, market capitalization, industry and country. ANALYSIS. One may describe the non-U.S. developed equity markets during the year ended September 30, 2000 as extraordinary. Extraordinary in terms of intra-period performance and volatility, as well as divergent returns between the relatively nascent industries and the older more mature industries. The non-U.S. developed equity markets registered strong returns during the first half of the period, benefiting from growing interest by investors for high technology and telecommunications stocks as these sectors were seen as the major growth areas in the longer-term. The large number of cross-border mergers, particularly in Europe, resumed during this earlier period as well. The later part was marked by a sell-off in high-technology, media and telecom (TMT) stocks as investors grew concerned about valuations and the rising interest rates environment. As summer came into full swing, the equity markets continued to trend down, with some of the decline coming from earnings shortfalls or downward guidance on future growth. Slight disappointments were met with significant market consequences. The non-U.S. developed equity markets finished the 12-month period ended September 30, 2000 in positive territory. Performance of the 17 equity markets included in the index was mixed, with 11 of them ahead and 6 - ------------------------------------------------------------------------------- INTERNATIONAL EQUITY - ------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - ------------------------------------------------------------------------------- One Annualized Annualized Annualized Annualized Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Institutional 4.15% 9.42% 9.74% 8.93% 6.52% - -------------------------------------------------------------------------------- Class D, Synthetic 4.04% 9.29% 9.50% 8.75% 8.01%* - -------------------------------------------------------------------------------- Class D, Synthetic, w/load -1.16% 7.43% 8.38% 8.20% 7.14%* - -------------------------------------------------------------------------------- *ACTUAL, NOT SYNTHETIC COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI INTERNATIONAL EQUITY FUND, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE MORGAN STANLEY MSCI EAFE INDEX [Line Graph Omitted] Plot Points are as follows: SEI SEI INTERNATIONAL INTERNATIONAL EQUITY FUND, EQUITY FUND, MORGAN STANLEY CLASS A CLASS D MSCI EAFE INDEX 9/30/90 100,000 95,000 100,000 9/30/91 112,760 107,120 121,890 9/31/92 110,560 105,030 113,210 9/30/93 133,370 126,700 143,040 9/30/94 141,800 134,470 157,120 9/30/95 147,810 139,960 166,230 9/30/96 162,370 152,860 180,560 9/30/97 179,520 168,420 202,570 9/30/98 163,810 153,460 185,680 9/30/99 225,830 211,300 243,140 9/30/00 235,200 219,840 250,870 1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS D SHARES WERE OFFERED BEGINNING ON MAY 1, 1994. THE PERFORMANCE SHOWN FOR THE CLASS D SHARES PRIOR TO SUCH DATE IS SYNTHETIC PERFORMANCE DERIVED FROM THE PERFORMANCE OF CLASS A SHARES ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.0% FOR THE CLASS D SHARES. CLASS A SHARES WERE OFFERED BEGINNING DECEMBER 30, 1989. 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 weaker. Of the 23 industry groupings, 12 posted gains including the TMT, pharmaceuticals and diversified financial sectors. In keeping with the market, the fund posted gains and outpaced it benchmark. The Fund's growth oriented managers outperformed over the period. The strong performance was generated by their thematic positioning in telecommunications and technology-oriented stocks, which benefited from strong sales growth and market penetration. Holdings such as Ericsson in Sweden, Philips Electronics in the Netherlands, Alcatel in France and Mannesmann Ag in Germany were plays on these themes and added significant value. Within Japan, the portfolio also benefited from the global telecommunications and technology theme, with such holdings as Murata Manufacturing, Tokyo Electronics and Nippon Telephone and Telegraph. Outside of Japan, the portfolio remained relatively country neutral to the benchmark in Hong Kong, Singapore and New Zealand. The focus in these markets were banking, electronics and telecommunications stocks, including Hutchison Whampoa, a diversified financial company in Hong Kong, and Singapore Telecom Communications. The value manager's exposure to deep value oriented stocks such as ENI in Italy, RWE in Germany and Honda Motor in Japan detracted from performance during the TMT-led market surge of the earlier months.However, the manager's deep value orientation has proven over time to add significant value, which was the case during the later part of the year. Shares such as Deutsche Bank, Royal Bank of Scotland, Furukawa Electric and Cathay Pacific Airways helped the fund's performance in the final months. The Fund managers currently believe that the economy in Europe appears healthy despite pockets of concern and the potential for somewhat slower growth. In Japan, they believe that the economy continues to show signs of improvement, but has yet to reach a self-sustaining recovery. Going forward, the fund is well positioned to capitalize on restructuring efforts in globally competitive sectors. The Fund's managers believe that it will be those companies with executable business models that will excel no matter which industry or country they reside in. Exposure to high quality telecom and technology shares is fueled by their continued view of the industries' long-term growth potential. Within the telecom sector, the managers favor the wireless companies over the incumbent carriers as they are comfortable with the long-term thesis of wireless as a business. The Fund is well positioned to take advantage of many of the trends that likely will drive returns in the future. However, it is doing so in a risk controlled manner. The Fund was structured with five specialist investment managers, each investing within a specific area of the market and with a unique investment process. The Fund's structure guarantees that it will remain well diversified, with no single region, country, industry or stock dominating. 2 - -------------------------------------------------------------------------------- EMERGING MARKETS EQUITY FUND OBJECTIVE. The Emerging Markets Equity Fund seeks to provide capital appreciation by investing primarily in a diversified portfolio of equity securities of emerging market issuers. STRATEGY. The Fund employs five specialist money managers focusing on regions across Latin America, Asia, emerging Europe, Middle East & Africa, and global emerging markets. The managers specializing in Latin America, Asia and emerging Europe, Middle East & Africa focus on both bottom up fundamental company analysis and top down country allocation. Each global emerging markets manager is focused on a specific style across all emerging market regions. Most recently the structure has been enhanced with the addition of a global emerging Value manager to complement the existing Growth and Core managers. ANALYSIS. For the year ended September 30, 2000, the Emerging Markets Equity Fund returned 0.71%, outperforming the IFCInvestable Composite Index by 0.3%. All regional and global emerging managers outperformed their respective benchmarks for the period. The Fund's outperformance relative to its benchmark was driven by a combination of positive stock selection and country allocation. During the first part of the year, performance in Emerging Markets benefited from improving macro fundamentals, corporate restructuring, global liquidity and a pick up in global economic growth. During 1999, countries like Korea, Taiwan, Brazil, Mexico, Russia, and Turkey strengthened their efforts to improve fiscal and monetary policies. These macroeconomic improvements along with ongoing corporate restructuring were the catalysts for domestic growth and acceleration of earnings. This benign environment for Emerging Markets was reinforced by an increase in liquidity and a pick up in global economic growth following a series of interest rate cuts in the U.S. The Fund benefited from those trends by being positioned in stocks like Embratel -- a long distance carrier in Brazil, Grupo Financiero Banamex Accive -- a leading bank in Mexico and Samsung Electronics -- a semiconductors and electronics manufacturer in Korea. Even though these stocks were brought into the Fund by different managers, the common denominator was the soundness of their balance sheets, strong fundamentals, and prospects for growth. - ------------------------------------------------------------------------------- EMERGING MARKETS EQUITY - ------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - ------------------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - ------------------------------------------------------------------------------- Emerging Markets Equity -- Class A 0.71% -10.16% -2.92% -1.26% - ------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI EMERGING MARKETS EQUITY FUND, VERSUS THE IFC INVESTABLE COMPOSITE INDEX [Line Graph Omitted] Plot Points are as follows: SEI MORGAN STANLEY IFC EMERGING MARKETS MSCI EMERGING INVESTIBLE EQUITY FUND, MARKETS COMPOSITE CLASS A FREE INDEX INDEX 1/31/95 100,000 100,000 100,000 9/30/95 106,510 107,550 106,690 9/30/96 114,640 113,160 115,920 9/30/97 126,620 120,600 122,070 9/30/98 61,500 62,950 64,960 9/30/99 91,160 98,530 101,710 9/30/00 91,810 98,930 101,020 1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995. 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 Later during the fiscal year, performance in the emerging markets suffered significantly as a series of internal and external factors affected the asset class. First, the sell off in global Technology and Telecom sectors that started in March 2000 and continued into the second and third quarter of 2000 had a profound effect on emerging markets. As some emerging markets evolved, countries like India, Korea, and Taiwan have become more integrated into global industry groups. For example, India has become a leading provider of software solutions, while Korea and Taiwan are global players in semiconductors and electronic components. In the case of the Telecom industry, fixed line and cellular providers represent a significant portion of the equity market in countries like Brazil, Mexico, China and Korea. These stocks sold off as investors speculated that some of the industry trends (e.g. cost of licenses, new technologies) that are affecting the competitive environment in the developed world would also affect profitability of telecom stocks in emerging markets. On a more macro level, fears of higher interest rates, concerns over a hard landing of the U.S. economy, and the strength in oil prices put additional pressure on the asset class. The negative effect was magnified since the emerging markets as a whole are dependent on foreign capital and their growth is highly leveraged to global economic growth. Latin America outperformed the other regions thanks to improvements in macro fundamentals in Brazil and the upgrade of Mexico's credit standing. Russia stood out in terms of performance as the country's political and economic environment continued to improve, and the equity market benefited from the strength in oil prices. The Fund benefited during this period thanks to an overweight position to Brazil and Mexico, and its focus on energy stocks in Russia. The Fund also took advantage of an overweight position to the energy sector in Brazil and China through its holdings in Petrobras and PetroChina respectively. Stock selection in Asia accounted for most of the poor performance during recent months. In particular, stocks in India, Korea, and Taiwan accounted for most of the losses. In the case of India, the high correlation with NASDAQ and the large component of technology companies in that market drove the sell off. Stocks like Infosys Technologies, a low cost provider of software development that was among the best performing stocks in 1999, led the decline in the recent period. In Taiwan and Korea, Taiwan Semiconductors and Samsung Electronics sold off as investors became more concerned about the semiconductor cycle and slowing PC sales in the U.S. and Europe. Our managers maintained their overweight position in these blue chip Asian companies based on their fundamental assessment, growth prospects, and attractive valuations. The Fund is well positioned to take advantage of many of the trends that will be driving returns in the emerging markets going forward. But it is doing so in a risk controlled fashion. The Fund has been structured with six specialist investment managers, each investing within a specific area of the market and with a unique investment process. The Fund's structure guarantees that it will remain well diversified, with no single region, country, stock or style dominating. 4 - -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND OBJECTIVE. The International Fixed Income Fund seeks to provide capital appreciation and current income through investments primarily in investment-grade, non-U.S. dollar denominated government, corporate, mortgage-backed and asset-backed fixed income securities. STRATEGY. Fund construction entails a two-stage process which combines fundamental macroeconomic analysis and technical price analysis. First, a fundamental judgment is made about the direction of a market's interest rates and its currency. A technical price overlay is then applied to the fundamental position to ensure that the Fund is not substantially overweighted in a declining market or underweighted in a rising one. Country and currency allocations are made separately. As a result, the Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund will generally be diversified across 6 to 12 countries with continual exposure to the three major trading blocs: North America, Europe, and the Pacific Basin. Depending upon the relative fundamental and technical views, each trading bloc is over or underweighted relative to the Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. ANALYSIS: For the fiscal year ended September 30, 2000, the SEI International Fixed Income Fund returned -9.58% to underperform the Salomon Brothers Non-U.S. World Government Bond Index return of -7.59%. The Fund's positioning in the yen, underweight to long maturing U.K. government bonds, and modest positions in the investment-grade debt of Poland drove underperformance. The Fund's underweight to the euro and underweight to Japanese bonds served to mitigate underperformance for the fiscal year-end. The euro fell more than 17% versus the U.S. dollar during the fiscal year due to significant growth differentials between the U.S. and Europe, the lack of a clear policy on the euro from the European Central Bank ("ECB"), and strong fund flows out of Europe and into the U.S. Although the Euro-zone economy expanded at a respectable 3% annualized clip - ------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME - ------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - ------------------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - ------------------------------------------------------------------------------- Class A -9.58% 0.10% 0.99% 4.12% - ------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI INTERNATIONAL FIXED INCOME FUND, VERSUS THE SALOMON WGBI, NON-U.S. [Line Graph Omitted] Plot Points are as follows: SEI INTERNATIONAL SALOMON FIXED INCOME WGBI, FUND, CLASS A NON-US 9/30/93 100,000 100,000 9/30/94 103,330 105,570 9/30/95 123,850 124,340 9/30/96 128,220 129,360 9/30/97 129,710 128,260 9/30/98 145,890 141,540 9/30/99 143,900 143,680 9/30/00 130,120 132,380 1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993. 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 during the period, it still paled in comparison to the U.S. expansion of 5%. The politicians and ECB gave the market mixed signals on its currency policy, which weakened investors' confidence in the currency. At times ECB members claimed the euro was undervalued, while different members and politicians claimed that a weak euro benefited exporters and was actually desirable. Towards the end of the period, the ECB convinced the other major central banks to intervene in the currency markets to support the euro. While it did provide a short-term boost, it did not have a lasting impact. The Fund's underweight to the euro through most of the period enhanced relative performance, although the Fund gave back some of its relative gains during the intervention. The ECB hiked overnight interest rates a total of 200 basis points for the period in an effort to curb inflation, which ended the period above the self-imposed ceiling of 2%. Higher oil prices and a weak euro boosted the inflation rate. At the same time, the difference between long and short-term rates within the Euro-zone narrowed due primarily to technical factors. Investors concluded that the German government would use the windfall from the auction of third-generation mobile phone licenses to pay down long-term debt, firming prices in the long maturity bond sector. The Fund's yield curve positioning in the Euro-zone which emphasized long-dated bonds enhanced performance. Polish bonds underperformed relative to German bonds as consumer prices and the country's current account deficit both rose faster than expected due largely to higher oil prices. A modest tactical exposure to the country detracted from results. The U.K. also experienced a yield curve flattening as it also raised a large amount of cash from auctioning mobile phone licenses. In addition, strong demand for long-dated assets to match pension liabilities caused an inversion in the yield curve where long-term rates ended the period more than 1% lower than short-term rates. The Fund's underweight to the long-end of the British yield curve detracted from relative performance. The Japanese yen ended the period down only 1% versus the U.S. dollar despite the Bank of Japan's repeated interventions in the currency markets in an effort to weaken the currency. The yen was underpinned by signs of economic growth following years of stagnation, a rise in the Japanese equity markets, and indications that the government would continue to spend money to further the recovery. The Fund's positioning in the yen detracted from performance overall, particularly during times of central bank intervention to weaken the yen when the Fund was overweight the currency. The economic recovery led the Bank of Japan to raise interest rates for the first time in ten years, which dampened the performance of Japanese bonds. An underweight to Japanese bonds enhanced relative performance. EMERGING MARKETS DEBT FUND OBJECTIVE. The Emerging Markets Debt Fund seeks to maximize total return from a portfolio consisting of primarily high yield, below-investment grade fixed income securities from emerging market countries. 6 - ------------------------------------------------------------------------------- STRATEGY. Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/ political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 10-15 countries. The next step in the process determines relative value amongst sectors within a country, and security selection within the sectors. The final step incorporates a disciplined sell process through continual risk/reward analysis across, and within, emerging debt countries. U.S. interest-rate risk relative to the benchmark is controlled through the maintenance of a tightly constrained U.S. Treasury duration. Excess return is captured through active management of the sovereign spread component relative to the benchmark. ANALYSIS: The Emerging Markets Debt Fund returned 28.07% on a net basis for the fiscal year ended September 30, 2000, essentially matching the JP Morgan Emerging Markets Bond Index Plus return of 28.04%. The overall longer spread duration of the Fund, complimented by the Fund's overweight to, and issue selection in, Russia, were the largest positive contributors to return. In addition, an underweight to, and issue selection in, Argentina also added to return. However, an underweight to Ecuador, and an overweight to both Peru and Colombia dampened performance. Issue selection in Ecuador also did not benefit overall Fund results. Emerging market debt turned in a stellar year as most emerging countries continued to strengthen their fiscal and economic postures. The ongoing effort by many emerging countries to reduce their debt servicing profiles through Brady bond buyback plans, such as in Brazil and Venezuela, was a key variable that added to the strength of the market. The climb in oil prices was viewed as favorable by investors as oil-exporting countries benefited, and were able to increase reserves. Russia, Venezuela, Algeria, and Mexico were among some of the emerging countries that reaped the benefit of escalating oil prices. Russia and Ecuador's successful debt restructurings and debt exchanges made these two countries the best performing countries for the year returning approximately 146% and 94%, respectively. The ability for these two countries to restructure and swap existing debt bolstered investor confidence, and thus the countries' bonds rallied. Strong investor demand also helped returns. However, not all emerging countries benefited from strong momentum in the market. Political turbulence in countries such as Peru, the Ivory Coast, and Argentina, in addition to fiscal year-end concern over the impact of higher oil prices on global inflation, and profit taking by investors all contributed to some market volatility. Emerging market spreads narrowed 345 basis points from the comparable 1999 period, and ended the year at 632 basis points. In the wake of the market's spread narrowing, the Fund's overall longer spread duration greatly enhanced return. By far, Russia was the best performing country for the period. Improving fundamentals and successful reforms enacted by new President Putin continued to support bond prices and narrower spreads. The surprise 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 resignation of President Boris Yeltsin at the end of 1999, and succession and election of Vladimir Putin removed the uncertainty surrounding the change in political control originally slated to occur in July 2000. The other key event in Russia was the restructuring agreement with the London Club of bank creditors and the country on its defaulted Soviet-era debt. During the year, Russia successfully exchanged its defaulted debt for new global bonds. As a result of the debt restructuring, S&P raised its rating on Russia. High oil prices and Russia's ability to increase reserves and collect revenues also aided the country's returns. The Fund's overweight to Russia was the largest positive contributor to performance for the fiscal year. Returns in Argentina continued to lag the overall market as the country did not show promising signs of economic improvement during the year. Political uncertainty and the country's large looming financing needs for the year 2000 also negatively impacted returns. Investors were very quick to shun any positive news from the country. The outlook that deterioration would continue remained present throughout the period, and therefore, the Fund's underweight benefited overall return. In addition, an overweight to less liquid Argentinean bonds and peso-denominated debt, coupled by a bulleted yield curve positioning, enhanced performance. Ecuador was one of the top performing countries for the period returning in excess of 90%. The country completed a debt swap and replaced $6.5 billion in defaulted debt for new government bonds. After the debt exchange, S&P upgraded Ecuador and the new bonds received in the exchange rallied significantly. In addition, Ecuador reached an agreement with Paris Club creditors that will allow Ecuador to delay some US$880 million in debt arrears until April 2001. Ecuador owes the Paris Club US$1.3 billion in capital and overdue interest, after defaulting on repayment in 1996. This rescheduling is expected to allow Ecuador to satisfy its financing requirements for the year 2000. As a result of these favorable events, Ecuador's bonds rallied significantly and sustained momentum. The Fund participated in the debt swap, but an underweight took away from return. The Fund will continue to maintain its underweight on the outlook that Ecuador still has many long-term reforms to make. Political turmoil and a missed scheduled September 2000 interest payment drove down Peru's returns, and Peru was one of the worst performing countries for the fiscal year. On the political front, news that President Fujimori's intelligence advisor, Montesinos, was caught on video making a bribe payment to a Congressman to switch to President Fujimori's party rattled investors. After this incident was revealed, Fujimori announced that new elections would be held and that he would not run. Then an unexpected trip by Fujimori to meet with the president of the Organization of American States (OAS) and the U.S. Secretary of State, Madeline Albright, to secure international support during the transition period further served to concern investors. In addition to the political unrest, Peru opted not to make a scheduled interest payment on its Brady bond debt because of its involvement in a legal dispute with Elliot Associates, a U.S. investment firm. Elliot Associates sued Peru in 1994 for 8 - ------------------------------------------------------------------------------- full payment on it's pre-Brady debt and had recently been awarded a damage payment, and thus indicated that it would seize the September interest payment before it got to bondholders. Moody's downgraded the country's Brady bonds from Ba3 to B1 as a result of the missed interest payment. (Peru settled its litigation with Elliot Associates and made its Brady bond interest payment in October 2000, within the 30-day grace period, and was consequently upgraded by Moody's.) Throughout this dispute, there was no concern over Peru's ability or willingness to make its coupon payment. The Fund maintained an overweight to Peru based on the outlook that the country offered relative value. However, this overweight did little for return during the period. Colombia's return trailed the market as deteriorating fundamentals and continued uncertainty over the political regime negatively impacted the country's return. During the year, launches by left-winged guerrilla groups against the government, and government restructurings were viewed as unfavorable by investors. In addition, delayed passage of privatizations and pending reforms also weighed down Columbia's return. For the period, the Fund maintained an overweight to Columbia and this dampened return. However, amid continued political uncertainty, and the outlook that political volatility would not ease in the very near-term, the Fund strategically reduced its overweight. Given the outlook that fundamentals will continue to improve for most emerging market debt countries, and that increased demand for emerging market debt will be sustained, the Fund will continue to maintain a slightly longer spread duration and invest in those countries that exhibit the ability to service their debt. - -------------------------------------------------------------------------------- EMERGING MARKETS DEBT - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Year Annualized Annualized Inception Return 3 Year Return to Date - -------------------------------------------------------------------------------- Class A 28.07% 3.44% 5.07% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI EMERGING MARKETS DEBT FUND, VERSUS THE J.P. MORGAN EMBI PLUS INDEX. [Line Graph Omitted] Plot Points are as follows: SEI EMERGING J.P. MORGAN MARKETS DEBT FUND EMBI PLUS 6/30/97 100,000 100,000 9/30/97 106,200 106,910 9/30/98 69,980 79,860 9/30/99 91,780 98,230 9/30/00 117,550 125,760 1 For the period ended September 30, 2000. Past performance is no indication of future performance. Class A Shares were offered beginning June 29, 1997. 9 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 INTERNATIONAL EQUITY FUND - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 92.8% AUSTRALIA -- 1.5% AMP 91,200 $ 810 Aristocrat Leisure 206,027 736 Australia & New Zealand Bank Group 350,000 2,517 Australia Gas & Light Company 101,600 563 Broken Hill Proprietary 812,990 8,432 Broken Hill Proprietary ADR 27,300 560 Cable & Wireless Optus* 820,000 1,779 Commonwealth Bank of Australia 176,617 2,640 Erg 89,800 430 F.H. Faulding & Company 145,900 756 Lang 134,600 655 Lend Lease 258,046 2,907 Macquarie Corporate Telecom 446,261 447 Macquarie Bank 49,116 747 National Australia Bank 112,472 1,554 News Corporation 629,026 8,858 Primary Health Care 189,316 549 Rio Tinto 117,195 1,571 Solution 6 Holdings* 78,257 92 Telstra 964,281 3,154 Westpac Banking 822,027 5,676 WMC 76,900 317 ---------- 45,750 ---------- BELGIUM -- 1.2% Fortis, Series B 1,110,584 34,156 ---------- BRAZIL -- 0.4% Embratel Participacoes ADR 645,169 11,936 ---------- CANADA -- 1.8% Bank of Nova Scotia 146,800 4,269 Bombardier 340,000 5,885 Bombardier, Series B 74,800 1,293 Clarica Life Insurance 59,000 1,412 Mitel* 72,000 1,436 Nortel Networks 481,394 28,907 Suncor Energy 89,000 1,964 Thomson 155,900 6,165 Toronto-Dominion Bank 81,000 2,380 ---------- 53,711 ---------- DENMARK -- 0.1% Den Danske Bank 21,190 2,692 ---------- FINLAND -- 1.9% Nokia OYJ 830,400 33,651 Nordic Baltic Holdings 2,480,890 17,559 UPM-Kymmene 231,200 5,911 ---------- 57,121 ---------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- FRANCE -- 9.8% Accor 20,000 $ 742 Alcatel 472,974 30,261 Aventis 416,419 31,237 Aventis 187,083 13,901 AXA UAP 146,705 19,161 Bouygues 138,060 6,957 Canal Plus 77,800 11,651 Castorama Dubois 63,621 14,036 Christian Dior 32,000 1,724 Compagnie de Saint Gobain 83,430 10,492 Groupe Danone 26,000 3,570 Louis Vuitton Moet Hennessy 126,700 9,566 Michelin, Series B 80,200 2,229 Pechiney, Series A 98,500 3,938 Peugeot 150,147 26,673 Sanofi-Synthelabo 127,640 6,860 Schneider Electric 34,921 2,200 Societe BIC 50,000 1,870 Societe Television Francaise 1 112,000 6,425 STMicroelectronics 219,000 10,736 Suez Lyonnaise-Strip VVPR 2,200 -- Total Fina, Series B 367,943 53,837 Usinor Sacilor 513,525 4,663 Vivendi 224,314 16,668 ---------- 289,397 ---------- GERMANY -- 6.0% Aixtron 22,700 2,845 Allianz 41,084 13,469 Bayerische Motoren Werke 140,260 4,790 Commerzbank 353,250 10,475 DaimlerChrysler 21,000 936 Depfa Deutsche Pfandbriefban 26,900 2,185 Deutsche Bank 590,237 48,963 Deutsche Telekom 183,882 6,313 Dresdner Bank 40,000 1,742 Epcos 28,200 2,290 Infineon Technology* 135,000 6,487 Infineon Technology ADR* 90,100 4,280 Intershop Communications* 28,000 1,824 Lufthansa 57,915 1,183 Mannesmann 142,100 3,724 Metro 40,500 1,658 Muenchener Rueckversicherungs Registered 77,412 23,023 Siemens 196,264 25,244 Thyssen Krupp 21,900 294 Veba 297,500 15,333 ---------- 177,058 ---------- GREECE -- 0.0% Hellenic Bottling 78,860 1,024 ---------- 10 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- HONG KONG -- 2.9% Automated Systems Holdings 880,000 $ 372 Cathay Pacific Airways 6,965,000 12,774 Cheung Kong Holdings 455,000 5,500 China Telecom (Hong Kong)* 2,175,500 14,439 China Unicom* 6,044,000 13,527 Citic Pacific 186,000 802 CLP Holdings 117,000 525 Hang Seng Bank 212,600 2,290 HSBC Holdings 172,200 2,407 Hutchison Whampoa 950,400 12,616 Johnson Electric Holdings 1,600,000 3,437 Legend Holdings 1,132,000 1,074 Li & Fung 600,000 1,266 Pacific Century Cyberworks* 1,670,475 1,885 Peregrine Investment Holdings* (1) 526,000 -- Sun Hung Kai Properties 822,000 7,749 Swire Pacific, Series A 587,000 3,659 Tan Chong International 1,427,000 201 Wharf Holdings 406,000 831 ---------- 85,354 ---------- IRELAND -- 0.2% Allied Irish Banks 225,000 2,426 CRH 216,857 3,452 ---------- 5,878 ---------- ITALY -- 4.4% Assicurazioni Generali 73,500 2,364 Banca Nazionale Del Lavoro 3,463,001 11,674 Banca Popolare di Milano 136,600 847 ENI 7,597,554 40,229 Fiat 45,000 1,049 Gucci Group ADR 155,073 15,643 Ifil* 128,175 1,007 Italcementi* 174,252 1,442 Mediaset 1,106,199 16,479 Olivetti 277,400 764 Riunione Adriatica di Sicurta 183,100 2,408 Telecom Italia 859,800 4,689 Telecom Italia Mobile 3,411,567 27,578 Telecom Italia Mobile RNC 862,400 4,103 ---------- 130,276 ---------- JAPAN -- 24.1% Advantest 45,000 7,071 Aiful 54,050 5,202 Ajinomoto 204,000 2,284 Alps Electric 72,000 1,572 Asahi Glass 143,000 1,462 Autobacs Seven 53,400 1,547 Bank of Tokyo-Mitsubishi 502,000 5,932 - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Canon 125,000 $ 5,541 Chudenko 123,000 1,429 Chugai Pharmaceutical 246,000 4,469 Chuo Mitsui Trust & Banking 369,000 1,298 Dai Ichi Pharmaceutical 237,000 6,020 Dai Nippon Printing 192,000 2,852 Daito Trust Construction 213,000 3,448 Daiwa House Industry 650,887 4,548 Daiwa Securities Group 85,000 997 DDI 839 5,513 Denso 128,000 2,979 East Japan Railway 728 4,049 Ebara 98,000 1,496 Fanuc 34,000 3,760 Fast Retailing 4,500 916 Fast Retailing (New)* 4,500 908 Fuji Photo Film 227,000 7,604 Fuji Soft ABC 29,800 2,043 Fujitsu 853,000 19,813 Fujitsu Support and Service 9,900 1,181 Furukawa Electric 853,000 23,563 Hirose Electric 36,600 4,776 Hitachi 835,000 9,690 Honda Motor 523,000 19,263 Isetan 125,000 1,072 Itochu* 903,000 4,187 ItoYokado 35,000 1,824 Japan Airlines 1,291,000 4,886 Japan Energy* 764,000 884 Jusco 189,000 3,481 Kao 72,000 1,966 Keyence 13,500 4,672 Kirin Brewery 136,000 1,397 Kokusai Securities 63,000 697 Kuraray 109,000 1,055 Kyocera 13,000 1,985 Matsushita Communications 80,500 10,884 Matsushita Electric 683,000 17,887 Minebea 189,000 2,213 Mitsubishi 540,000 4,348 Mitsubishi Electric 725,000 6,005 Mitsubishi Estate 219,000 2,282 Mitsubishi Heavy Industries 1,848,000 7,319 Mitsubishi Motors* 1,199,000 3,684 Mitsui & Company 300,000 1,874 Mitsui Chemicals 207,000 921 Mitsui Fudosan Real Estate 140,000 1,754 Mitsui Mining & Smelting 215,000 1,870 Mizuho Holdings* 2,587 21,307 Murata Manufacturing 157,300 21,690 NEC 765,000 17,380 Net One Systems 91 2,585 NGK Insulators 130,000 1,865 Nichicon 84,000 2,033 11 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 INTERNATIONAL EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Nidec 23,600 $ 1,867 Nikko Securities 90,000 800 Nikon 434,000 8,756 Nintendo 41,100 7,504 Nippon Meat Packers 177,000 2,427 Nippon Paper Industries 491,000 3,003 Nippon Sheet Glass 160,000 2,569 Nippon Shinpan 702,000 1,423 Nippon Steel 655,000 1,164 Nippon Telegraph & Telephone 4,937 48,429 Nippon Television Network 2,910 1,672 Nippon Yusen Kabushiki Kaishi 502,000 2,546 Nissan Motors* 848,000 4,865 Nomura Securities 627,000 13,635 NSK 253,000 1,800 NTT Docomo 1,567 44,954 Obic 2,300 819 Ono Pharmaceutical 53,000 2,178 Orix 33,200 3,970 Pioneer 64,000 2,606 Rohm 98,600 27,018 Ryohin Keikaku 39,000 3,068 Sakura Bank 3,853,000 28,739 Sankyo 300,000 6,677 Sanwa Bank 368,000 3,276 Secom 41,000 3,297 Sekisui House 415,000 4,013 Sharp 162,000 2,507 Shimamura 25,600 1,973 Shin Etsu Chemical 60,000 2,526 Shionogi 223,000 4,158 Shiseido 152,000 1,888 Skylark 33,000 1,188 SMC 13,400 2,251 Softbank 32,400 3,028 Sony 265,200 26,898 Sumitomo Bank 118,000 1,496 Sumitomo Chemical 430,000 2,141 Sumitomo Electric Industries 264,000 4,556 Sumitomo Forestry 245,000 1,759 Sumitomo Marine & Fire 400,000 2,373 Sumitomo Realty & Development 39,000 204 Suzuki Motor 56,000 582 Taisho Pharmaceutical 91,000 2,813 Taiyo Yuden 79,000 4,050 Takeda Chemical Industries 120,000 7,929 Takefuji 211,000 23,236 Teijin 385,000 1,603 THK 31,000 1,205 Tokai Bank 309,000 1,570 Tokio Marine & Fire Insurance 238,000 2,379 Tokyo Electronics 172,000 15,599 Tokyo Gas 1,106,000 2,937 Tokyo Seimitsu 27,900 2,918 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Toppan Printing 551,000 $ 5,328 Toray 600,000 2,343 Tostem 86,000 1,202 Toyo Seikan Kaisha 154,000 2,706 Toyoda Automatic Loom Works 72,000 1,449 Toyota Motor 370,000 14,621 Ushio 100,000 2,156 Yamada Denki 19,000 1,927 Yamato Transportation 94,000 2,079 ---------- 711,886 ---------- MALAYSIA -- 0.0% Westmont Berhad Industries* (1) 218,000 -- ---------- MEXICO -- 0.7% Telefonos de Mexico ADR 401,277 21,343 ---------- NETHERLANDS -- 7.8% ABN AMRO Holding 295,640 6,888 Aegon 268,640 10,135 ASM Lithography* 519,133 17,226 DSM 50,068 1,448 Hagemeyer 70,000 1,859 Heineken 51,000 2,835 Heineken Holding, Series A 109,000 3,862 Ing Groep 479,375 31,932 KLM* 46,400 868 Koninklijke Ahold 946,159 26,828 Koninklijke KPN 580,512 12,644 KPNqwest* 262,485 7,470 Philips Electronics 454,737 19,572 TNT Post Group 675,963 15,719 Unilever 228,884 11,109 United Pan-Europe Communications* 485,297 9,499 VNU 715,835 36,008 Wolters Kluwer 653,976 13,274 ---------- 229,176 ---------- NEW ZEALAND -- 0.1% Telecom of New Zealand 1,468,581 3,654 Waste Management NZ 218,150 374 ---------- 4,028 ---------- NORWAY -- 0.4% Norsk Hydro 260,500 10,904 ---------- PORTUGAL -- 0.1% Portugal Telecom ADR 170,000 1,721 ---------- RUSSIA -- 0.0% Lukoil Holding ADR 24,900 1,394 ---------- 12 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- SINGAPORE -- 0.8% Advanced Systems Automation 430,000 $ 222 Chartered Semiconductor Manufacturing* 191,000 1,218 City Developments 80,000 391 Creative Technology 18,400 389 Creative Technology ADR* 18,000 374 Datacraft Asia* 157,240 1,305 DBS Group Holdings 501,191 5,529 Keppel Land International 246,000 353 Overseas Chinese Banking 80,150 507 Overseas Union Bank 348,594 1,623 Singapore Airlines 96,500 915 Singapore Press Holdings 212,178 3,182 Singapore Tech Engineering 2,695,000 3,995 Singapore Telecommunications 1,479,000 2,312 United Overseas Bank 114,032 819 Venture Manufacturing 40,000 386 ---------- 23,520 ---------- SOUTH KOREA -- 1.1% Korea Telecom ADR 327,363 11,008 Samsung Electronics GDR 114,160 10,600 SK Telecom ADR 407,859 10,451 ---------- 32,059 ---------- SPAIN -- 2.9% Acerinox SA 135,000 3,574 Aguas de Barcelona 84,080 1,041 Banco Bilbao Vizcaya Argentina 210,600 3,182 Banco Santander Central Hispano 1,826,298 20,050 Endesa 120,316 2,262 Grupo Dragados 102,400 814 Repsol 1,019,727 18,763 Telefonica ADR* 17,259 1,026 Telefonica de Espana* 1,670,117 33,089 Uralita 208,934 1,267 ---------- 85,068 ---------- SWEDEN -- 3.1% AstraZeneca 274,786 14,405 Atlas Copco, Series A 835,301 14,351 Electrolux AB 978,140 12,286 Ericsson ADR 34,000 504 Foreningssparbaken, Series A 206,700 2,940 Hennes & Mauritz, Series B 120,000 2,404 NetCom AB, Series B* 18,060 926 Telefonaktiebolaget LM Ericsson AB, Series B 2,662,944 40,498 Telia AB* 449,700 2,964 ---------- 91,278 ---------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- SWITZERLAND -- 5.3% ABB Limited 24,160 $ 2,348 Adecco 23,754 15,393 Ascom Holding 560 1,878 Baloise Holding 8,510 8,272 Compagnie Financiere Richemont 3,285 9,874 Credit Suisse Group 44,705 8,354 Holderbank Financiere Glarus 3,880 4,043 Nestle, Registered 4,633 9,650 Novartis 22,936 35,166 Roche Holding 1,526 13,420 SGS Societe Generale Surveillance Holdings 550 764 Swiss Life 4,695 3,721 Swiss Re 1,430 2,730 Swisscom 10,116 2,479 UBS 108,669 14,461 Zurich Allied 51,971 24,025 ---------- 156,578 ---------- TAIWAN -- 0.3% Asustek Computer GDR 213,860 1,182 Taiwan Semiconductor ADR* 421,864 8,595 ---------- 9,777 ---------- TURKEY -- 0.2% Turkcell Iletism ADR* 430,249 4,733 ---------- UNITED KINGDOM -- 15.7% Amvescap 184,508 3,994 AstraZeneca 656,065 34,377 AstraZeneca ADR 15,300 804 Barclays Bank 190,200 5,264 Berkeley Group 120,633 1,024 BG Group 594,900 3,780 Billiton 317,395 1,134 Boc Group 5,900 78 BP Amoco 384,200 3,420 BPB 170,500 605 British Aerospace 3,100,740 16,733 British Airways 370,000 1,563 British American Tobacco 851,200 5,500 British Telecommunications 1,179,787 12,402 Cable & Wireless 933,879 13,324 Cadbury Schweppes 367,500 2,173 Centrica 7,296,138 23,436 CMG 275,600 5,334 Enterprise Oil 402,450 3,293 George Wimpey 762,500 1,494 GKN 194,800 1,943 Glaxo Wellcome 1,295,636 39,231 Granada Compass* 1,558,990 14,590 Halifax Group 350,500 2,990 HSBC Holdings 1,029,016 14,636 13 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 INTERNATIONAL EQUITY FUND--CONCLUDED - ------------------------------------------------------------------------------- Face Market Description Amount (000) Value (000) - ------------------------------------------------------------------------------- Iceland Group 542,800 $ 2,584 Imperial Tobacco Group 116,200 1,112 Invensys 1,304,700 2,850 Kelda Group 239,700 1,329 Lloyds TSB Group 1,173,656 10,949 Lonmin 180,000 2,275 New Dixons Group 623,594 1,945 Northern Rock 336,220 1,964 Rank Group 1,465,100 3,563 Reed International 4,569,081 36,276 Reuters Group 318,400 6,035 Rolls-Royce 1,005,179 2,534 Royal & Sun Alliance 232,917 1,557 Royal Bank of Scotland Group 1,171,840 24,741 Severn Trent 158,510 1,723 Shell Transportation & Trading 3,572,908 29,107 Signet Group 1,065,600 855 Tate & Lyle 420,000 1,447 Thames Water 398,775 7,164 TI Group 534,000 2,740 Unilever 339,500 2,199 United Utilities 1,161,000 11,793 Vodafone Airtouch 22,906,767 85,516 WPP Group 689,800 8,261 ---------- 463,641 ---------- Total Foreign Common Stocks (Cost $2,589,010) 2,741,459 ---------- FOREIGN PREFERRED STOCKS -- 0.6% GERMANY -- 0.5% SAP* 66,190 16,239 ---------- ITALY -- 0.1% Fiat* 99,500 1,493 ---------- Total Foreign Preferred Stocks (Cost $13,962) 17,732 ---------- FOREIGN CONVERTIBLE BOND -- 0.0% SANWA 1.250%, 08/01/05 JPY 111,000 1,176 ---------- Total Foreign Convertible Bond (Cost $1,234) 1,176 ---------- U.S. TREASURY OBLIGATIONS -- 0.3% U.S. TREASURY BILL (2) 5.715%, 11/09/00 $ 8,500 8,446 ---------- Total U.S. Treasury Obligations (Cost $8,446) 8,446 ---------- - ------------------------------------------------------------------------------- Face Market Description Amount (000) Value (000) - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 5.7% JP Morgan 6.59%, dated 09/29/00, matures 10/02/00, repurchase price $63,494,651 (collateralized by FNMA, due 12/28/00, par value $65,780,000, market value $64,729,165) $63,460 $ 63,460 JP Morgan 6.59%, dated 09/29/00, matures 10/02/00, repurchase price $72,529,401 (collateralized by FNMA, due 12/21/00, par value $75,420,000, market value $74,308,913) 72,489 72,489 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $15,378,725 (collateralized by U.S. Treasury Note, due 02/28/01, 5.000%, par value $15,700,000, market value $15,680,375) 15,372 15,372 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $2,366,035 (collateralized by U.S. Treasury Note, due 02/28/01, 5.000%, par value $2,420,000, market value $2,416,975) 2,365 2,365 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $3,691,614 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $3,520,000, market value $3,765,883) 3,690 3,690 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $9,707,245 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $9,255,000, market value $9,901,490) 9,703 9,703 ---------- Total Repurchase Agreements (Cost $167,079) 167,079 ---------- Total Investments -- 99.4% (Cost $2,779,731) 2,935,892 ---------- Other Assets and Liabilities, Net -- 0.6% 18,452 ---------- 14 - ------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 239,644,354 outstanding shares of beneficial interest $2,743,955 Portfolio Shares of Class D (unlimited authorization -- no par value) based on 38,677 outstanding shares of beneficial interest 402 Undistributed net investment income 11,701 Accumulated net realized gain on investments 45,730 Net unrealized appreciation on investments 156,161 Net unrealized depreciation on futures contracts (3,530) Net unrealized depreciation on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency (75) ---------- Total Net Assets -- 100.0% $2,954,344 ========== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE -- CLASS A $12.33 ========== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE -- CLASS D $12.21 ========== MAXIMUM OFFERING PRICE PER SHARE -- CLASS D ($12.21 / 95%) $12.85 ========== * NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT GDR -- GLOBAL DEPOSITORY RECEIPT JPY -- JAPANESE YEN RNC -- RISPARMIO NON-CONVERTIBLE (1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (2) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO "0". THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS EQUITY FUND FOREIGN COMMON STOCKS -- 89.2% ARGENTINA -- 0.8% Acindar Industria Argentina de Aceros* 126,791 $ 115 Banco Frances ADR 13,570 282 Banco Hipotecario* 47,000 364 Grupo Financiero Galacia ADR* 38,167 572 Irsa Inversiones y Representaciones GDR 13,720 316 - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Perez Companc ADR 34,400 $ 563 Quilmes Industrial ADR 324,440 3,407 Siderar, Series A* 62,535 184 Telecom Argentina ADR 225,570 4,878 ---------- 10,681 ---------- BRAZIL -- 8.1% Aracruz Celulose ADR 288,046 4,771 Banco Bradesco ADR 1,700 14 Brasil Telecom Participacoes ADR 52,100 3,035 Cemig ADR 44,260 734 Centrais Eletricas Brasileiras 102,160,300 1,988 Centrais Eletricas Brasileiras ADR 36,240 354 Cia de Bebidas sas Americas ADR* 274,281 6,068 Cia Paranaense Energia ADR 401,564 3,564 Cia Saneamento Basico 10,968,000 1,058 Cia Siderurgica Nacional 51,701,300 1,633 Cia Siderurgica Nacional ADR 11,100 350 Cia Vale do Rio Doce ADR 113,505 2,831 Companhia Brasileira de Distribuicao Grupo de Acucar ADR 135,400 5,035 Embratel Participacoes ADR 440,831 8,155 Empresa Bras de Aeronautica ADR* 114,600 3,553 Globo Cabo ADR 106,400 1,423 Petroleo Brasileiro 87,566 2,620 Petroleo Brasileiro ADR 215,095 6,156 Petroleo Brasileiro ADR* 750,000 22,547 Tele Celular Sul Participacoes ADR 42,100 1,263 Tele Leste Celular Participacoes ADR 4,300 173 Tele Nordeste Celular Participacoes ADR 2,100 99 Tele Norte Celular Participacoes ADR 2,050 82 Tele Norte Leste Participacoes ADR 435,228 9,956 Telecomunicacoes Brasileiras ADR 36,900 2,920 Telesp Celular Participacoes ADR 165,590 5,454 Telesp Celular Participacoes ADR Rights* 24,375 -- Telesp Celular Participacoes Rights* 10,398,868 -- Ultrapar Participacoes ADR 57,100 657 Uniao de Bancos Brasileiros GDR 209,631 6,918 15 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Votorantim Celulose e Papel ADR 59,540 $ 1,172 ---------- 104,583 ---------- CROATIA -- 0.0% Pliva d.d. GDR 144a 50,000 540 ---------- CHILE -- 1.5% A.F.P. Provida ADR 12,000 251 Banco De A. Edwards ADR* 99,969 1,300 Banco Santander ADR 25,455 372 Banco Santiago ADR 41,645 812 Cervecerias Unidas ADR 85,903 1,933 Chilectra ADR 138,405 1,828 Compania Cervecerias Unidas ADR 30,500 686 Compania Telecomunicaciones de Chile ADR* 285,420 4,959 Cristalerias de Chile ADR 2,500 38 Distribucion y Servicio ADR 133,223 2,173 Endesa ADR 63,311 696 Enersis ADR* 125,447 2,235 Enersis ADR Rights* 47,592 6 Gener ADR 24,400 319 Quinenco ADR 131,600 1,135 ---------- 18,743 ---------- CHINA -- 2.0% Beijing Datang Power 753,000 158 China Eastern Airlines* 5,726,000 918 China Southern Airlines* 2,804,000 872 Guangdong Kelon Electric 563,000 148 Guangshen Railway 12,621,000 1,667 Huaneng Power International 10,384,000 4,362 Huaneng Power International ADR 19,000 304 Jingwei Textile Machinery* 4,060,000 583 PetroChina 51,193,600 10,440 PetroChina ADR* 19,300 381 Qingling Motors 1,754,000 236 Shandong International Power Development 1,494,000 240 Shanghai Petrochemical 6,766,000 902 Shenzhen Expressway 1,469,000 185 Yizheng Chemical Fibre 8,600,000 1,886 Zhejiang Expressway 11,570,000 1,959 ---------- 25,241 ---------- COLOMBIA -- 0.0% Bavaria 26,260 83 ---------- CZECH REPUBLIC -- 0.6% Ceska Sporitelna* 127,000 656 Ceske Radiokomunikace GDR* 12,700 478 Ceske Radiokomunikace GDR* 144a (A) 53,100 1,997 Cesky Telecom* 150,800 1,987 Cesky Telecom GDR* 44,050 583 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- CEZ* 636,385 $ 1,687 Komercni Banka* 29,900 606 ---------- 7,994 ---------- EGYPT -- 0.2% Commercial International Bank GDR* 45,400 360 Misr International Bank 35,200 182 Mobinil Egyptian Mobile Network* 9,000 200 Orascom Telecom GDR* 82,400 534 Paints & Chemical Industry GDR* 135,000 321 Suez Cement ADR* 144a (A) 37,800 322 ---------- 1,919 ---------- GREECE -- 3.3% Alpha Bank 198,136 7,828 Commercial Bank of Greece 46,025 2,351 Delta Informatics 59,500 515 Folli - Follie 100,150 2,063 Hellenic Telecommunications Organization 501,798 9,652 Hellenic Telecommunications Organization ADR 80,000 740 Intracom 152,850 5,202 Lambrakis Press 20,300 484 MJ Maillis 88,070 1,135 National Bank of Greece 220,728 9,085 Panafon 139,000 1,330 Piraeus Bank 36,500 620 Stet Hellas Telecommunication ADR* 79,700 1,186 ---------- 42,191 ---------- HONG KONG -- 5.9% Brilliance China Automotive* 8,920,000 2,717 China Merchants Holdings International 866,000 661 China Mobile* 5,621,500 37,311 China Pharmaceutical 1,606,000 179 China Resources Beijing Land 6,408,000 1,323 China Resources Enterprises 964,000 1,150 China Travel International 8,756,000 1,157 China Unicom* 4,814,000 10,774 China Unicom ADR* 81,000 1,767 Citic Ka Wah Bank 2,079,000 693 Citic Pacific 1,030,000 4,439 Cosco Pacific 4,886,000 3,697 Greencool Technology* 858,000 195 Hengan International Group 180,000 45 Legend Holdings 7,025,000 6,667 Mandarin Oriental 337,000 219 Shanghai Industrial Holdings 1,701,000 3,294 ---------- 76,288 ---------- HUNGARY -- 0.9% BorsodChem GDR 12,600 315 Egis 37,100 1,659 16 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Gedeon Richter ADR 2,500 $ 132 Gedeon Richter GDR 11,795 619 Matav ADR 246,710 5,813 Mol Magyar Olaj ES Gazipari GDR 67,490 1,110 OTP Bank GDR 35,520 1,825 ---------- 11,473 ---------- INDIA -- 3.7% Aptech GDR* 410,963 1,983 Bajaj Auto GDR 73,000 511 Bses GDR 259,850 4,060 Gas Authority of India GDR 91,000 507 Grasim Industries GDR 29,000 159 Gujarat Ambuja Cement GDR 660,500 2,138 ICICI Banking ADR* 184,775 1,363 ICICI Limited ADR 284,580 3,130 Indian Hotels GDR* 144a (A) 64,000 296 Infosys Technologies ADR 38,400 5,069 ITC GDR 272,100 4,592 Mahanagar Telephone Nigam GDR 620,400 3,071 Mahindra & Mahindra GDR* 678,000 2,661 Ranbaxy Laboratories GDR 140,000 2,292 Reliance Industries GDR 383,100 5,986 SSI GDR* 406,800 2,359 SSI GDR* 144a (A) 96,900 567 State Bank of India GDR 432,400 3,221 Tata Engineering & Locomotive GDR* 144a (A) 158,000 312 UTI India IT Fund* 33,000 971 Videsh Sanchar Nigam ADR 40,000 320 Videsh Sanchar Nigam GDR 212,500 1,742 ---------- 47,310 ---------- INDONESIA -- 0.6% Astra International* 1,333,000 352 Gudang Garam 1,326,000 1,584 Hanjaya Mandala Sampoerna 981,500 1,259 Indah Kiat Pulp & Paper* 1,919,000 256 Indofood Sukses Makmur* 7,682,500 744 Indosat ADR 40,000 320 Telekomunikasi 8,264,460 2,618 Telekomunikasi ADR 40,000 250 ---------- 7,383 ---------- ISRAEL -- 3.3% AudioCodes* 18,600 1,583 Bank Hapoalim 2,055,100 6,302 Bank Leumi Le Israel* 583,300 1,310 Blue Square-Israel ADR 85,100 957 Check Point Software Technologies* 101,250 15,947 ECI Telecom 42,700 1,308 Gilat Satellite Networks* 6,200 477 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- M-Systems Flash Disk Pioneer 62,000 $ 2,368 Nice Systems ADR* 11,160 804 Orbotech* 22,500 1,230 Tecnomatix Technologies* 15,000 188 Teva Pharmaceutical ADR 137,800 10,085 ---------- 42,559 ---------- MALAYSIA -- 5.1% AMMB Holdings Berhad 3,312,600 3,278 British American Tobacco 472,000 4,441 Genting Berhad 1,716,800 4,382 IOI Corporation Berhad 7,850,000 5,991 JT International Berhad 131,000 124 Malayan Banking Berhad 3,181,000 12,222 Malaysian Pacific Industries 738,000 4,904 Mesiniaga Berhad 626,000 1,087 New Straits Times Press 1,077,000 1,616 OYL Industries Berhad 718,000 2,513 Sime Darby Berhad 685,000 772 Telekom Malaysia 2,853,000 7,508 Tenaga Nasional 4,716,000 14,024 United Engineers 1,773,000 2,776 ---------- 65,638 ---------- MEXICO -- 11.8% Alfa, Series A 1,693,449 3,554 Apasco 47,400 251 Carso Global Telecom* 1,231,268 2,986 Cemex ADR 151,262 3,035 Cemex CPO 2,036,043 8,192 Coca-Cola Femsa ADR 204,245 4,085 Consorcio ARA* 68,000 110 Controladora Comerical Mexicana GDR 15,500 354 Corporacion Interamericana de Entretenimiento Rights* 2,048,800 -- Corporacion Interamericana de Entretenimiento* 2,048,800 9,925 Desc, Series B 826,500 464 Empresas ICA Sociedad Controladora* 487,532 130 Empresas ICA Sociedad Controladora ADR* 116,734 204 Fomento Economico Mexica Units 1,751,989 6,808 Fomento Economico Mexicano ADR 16,911 660 Grupo Aeroportuario ADR* 40,300 612 Grupo Aeroportuario, Series B* 1,193,300 1,797 Grupo Carso, Series A1* 611,470 1,816 Grupo Continental 190,000 231 Grupo Financiero Banamex Accival* 2,321,285 10,643 Grupo Financiero Banorte* 716,327 934 17 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 EMERGING MARKETS EQUITY FUND--CONTINUED - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Grupo Financiero BBVA Bancomer* 7,028,810 $ 4,049 Grupo Industria Bimbo, Series A 275,633 458 Grupo Iusacell ADR* 74,100 880 Grupo Mexico, Series B 248,070 946 Grupo Modelo, Series C 1,310,000 3,066 Grupo Sanbornis, Series B* 276,775 422 Grupo Televisa GDR 194,949 11,246 Kimberly-Clark de Mexico 1,424,604 3,741 Organizacion Soriana 409,383 1,496 Panamerican Beverages 126,732 2,154 Pepsi-Gemex GDR* 128,500 691 Telefonos de Mexico ADR 866,024 46,061 Tubos de Acero de Mexico ADR 110,757 1,855 TV Azteca ADR 518,300 6,673 TV Azteca CPO 600,000 478 Vitro ADR 155,980 409 Walmart de Mexico ADR, Class V* 143,672 2,999 Walmart de Mexico, Series C* 1,896,805 3,752 Walmart de Mexico, Series V* 1,311,344 2,722 ---------- 150,889 ---------- PANAMA -- 0.0% Banco Latinoamericano de Exportaciones 16,000 444 ---------- PERU -- 0.2% Buenaventura ADR 68,018 961 Credicorp 169,769 1,231 ---------- 2,192 ---------- PHILIPPINES -- 0.4% ABS-CBN Broadcasting ADR 536,900 500 Bank of Philippine Islands 144,500 170 La Tondena Distillers 1,025,900 688 Manila Electric 856,100 982 Philippine Long Distance 34,500 605 Philippine Long Distance ADR 22,800 390 SM Prime Holdings 11,643,900 1,185 Universal Robina 300,000 30 ---------- 4,550 ---------- POLAND -- 1.0% Bank Polska Kasa Opieki* 58,800 716 Bank Rozwoju Eksportu 18,558 561 Elektrim* 223,400 2,016 Kghm Polska Meidz GDR 125,320 1,588 Netia Holdings ADR* 26,400 393 Optimus* 14,265 456 Polski Koncern Naftowy GDR 144a (A) 25,000 199 Polski Koncern Naftowy GDR 105,000 811 - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Powszechny Bank Kredytowy GDR* 25,800 $ 517 Prokom Software 28,400 1,266 Prokom Software GDR 46,900 1,049 Softbank GDR 21,100 320 Telekomunikacja Polska 579,020 2,967 ---------- 12,859 ---------- RUSSIA -- 3.3% AO Tatneft ADR 116,309 1,156 Golden Telecom* 5,000 87 Lukoil Holdings ADR 321,360 17,996 Lukoil Holdings ADR 52,800 1,175 Lukoil Holdings ADR 5,800 325 Mobile Telesystems ADR* 30,387 771 Norilsk Nickel* 109,100 842 Rostlecom ADR 125,770 1,108 Surgutneftegaz ADR 690,700 10,101 Surgutneftegaz ADR 141,400 2,068 Surgutneftegaz ADR 76,900 1,000 Unified Energy Systems GDR 471,460 6,318 ---------- 42,947 ---------- SINGAPORE -- 0.8% Datacraft Asia* 1,110,760 9,219 Del Monte Pacific 803,000 196 Elec & Eltek International 125,000 348 Golden Agri-Resources* 1,050,000 172 NatSteel Electronics 281,000 727 ---------- 10,662 ---------- SOUTH AFRICA -- 8.7% ABSA Group 632,500 2,391 African Bank Investments* 1,408,800 1,268 African Oxygen 725,731 1,236 Anglo American 124,700 6,580 Anglo American Platinum 198,900 7,663 Barloworld 297,900 1,836 Bidvest Group 335,278 2,298 Billiton 550,900 1,953 BOE Corporation 2,837,134 4 BOE Limited 1,857,050 1,052 Comparex Holdings* 570,400 825 Computer Configurations Holdings* 111,500 80 De Beers Consolidated Mines Units 12,600 350 Del Monte Royal Foods 32,900 22 Dimension Data Holdings (GBP)* 95,300 883 Dimension Data Holdings* 1,873,189 17,328 Fedsure Holdings 98,700 383 FirstRand 5,652,600 5,480 18 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Foschini 771,441 $ 1,175 Gencor 1,314,400 4,587 Gold Fields 602,757 1,912 Illovo Sugar 250,400 180 Impala Platinum Holdings 95,700 4,138 Imperial Holdings* 422,908 3,297 Investec Group 110,100 3,522 Iscor* 79,200 165 Ixchange Technology Holdings* 93,200 110 JD Group 81,900 544 Johnnic Communications 106,581 2,199 Johnnis Holdings 96,200 1,248 Liberty Group 170,500 1,495 Metro Cash & Carry 1,309,914 753 MIH Holdings* 169,100 864 Murray & Roberts Holdings* 281,600 142 Nampak 852,897 1,571 Naspers 88,600 724 Nedcor 178,029 3,826 New Africa Investments, Series N* 2,015,700 449 Old Mutual 614,900 1,473 Pick'n Pay Holdings 1,012,724 673 Pretoria Portland Cement 23,700 167 Profurn 1,736,500 1,034 Remgro* 388,068 2,292 Reunert 69,700 109 Sage Group 52,000 103 Sanlam 3,183,500 3,659 Sappi 338,600 2,509 Sasol 1,090,700 8,610 South African Breweries 538,074 3,644 South African Breweries (GBP) 50,000 340 Standard Bank Investment 15,340 59 Tiger Brands 80,700 631 Venfin 388,068 1,357 Wooltru 23,820 28 Wooltru, Series N 148,260 174 Woolworths Holdings 370,600 172 ---------- 111,567 ---------- SOUTH KOREA -- 12.2% Hite Brewery 118,645 4,782 Housing & Commercial Bank 313,747 7,428 Housing & Commercial Bank GDR 144a (A) 25,000 595 Hyundai Electronics* 639,780 9,151 Hyundai Motor 187,870 2,443 Hyundai Motor GDR 144a* (A) 50,000 353 Kookmin Bank 656,377 7,828 Kookmin Bank GDR 50,000 621 Korea Electric Power 744,560 19,429 Korea Electric Power ADR 77,000 1,006 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Korea Telecom 233,807 $ 14,006 Korea Telecom ADR 31,600 1,063 Korea Telecom Freetel* 30,910 1,353 Locus* 7,387 188 Pohang Iron & Steel 51,730 3,850 Pohang Iron & Steel ADR 52,000 969 Samsung Electronics 256,896 46,535 Samsung Electronics GDR 6,000 561 Samsung Eletro-Mechanics* 145,980 4,935 Samsung SDI GDR* 35,000 346 Samsung Securities 94,500 1,911 Shinhan Bank 135,880 1,523 SK Telecom 64,460 15,723 SK Telecom ADR 413,300 10,591 ---------- 157,190 ---------- TAIWAN -- 10.3% Accton Technology GDR* 783,294 2,996 Acer Communications & Multimedia 979,200 1,938 Acer GDR 638,887 3,466 Advanced Semiconductor Engineering GDR* 420,992 2,873 Advanced Semiconductor Engineering* 967,303 1,331 Ase Test 217,800 4,574 Asia Cement GDR 24,128 115 Asustek Computer 268,448 1,422 Asustek Computer GDR 903,191 4,990 Bank Sinopac* 7,774,900 4,169 Cathay Life Insurance 1,317,360 2,943 China Development Industrial Bank* 413,200 390 China Steel 1,071,000 691 China Steel GDR 186,370 2,376 Chinatrust Commercial Bank* 3,510,280 2,633 Compal Electronics GDR* 59,000 462 Delta Electronic Industrial 1,409,750 5,017 D-Link 1,024,300 1,667 D-Link GDR 35,000 283 Evergreen Marine GDR* 218,721 1,427 Far Eastern Textile 1,279,040 1,368 Far Eastern Textile GDR 424,854 4,535 Fubon Insurance GDR 249,254 1,427 HON HAI Precision Industry 350,000 2,301 HON HAI Precision Industry GDR 548,058 7,070 HUA NAN Commercial Bank 119,000 86 Macronix International* 706,000 1,124 Macronix International ADR 99,434 1,529 NAN YA Plastic 1,138,600 1,599 Powerchip Semiconductor GDR* 169,688 1,841 President Chain Store 839,000 2,651 19 STATEMENT OF NET ASSETS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Ritek GDR* 314,398 $ 2,091 Siliconware Precision Industries ADR* 258,210 1,275 Standard Foods Taiwan GDR* 120,000 237 Synnex Technology International 357,928 1,131 Synnex Technology International GDR* 250,289 3,141 Taiwan Semiconductor Manufacturing* 2,538,000 8,425 Taiwan Semiconductor Manufacturing ADR* 811,443 16,533 Taiwan Semiconductor Manufacturing Warrants* 1,351,400 5,742 Tatung 80,000 43 United Microelectronics* 2,396,660 5,125 United Microelectronics* 927,400 11,013 Winbond Electronics* 88,000 133 Winbond Electronics GDR* 207,773 3,070 Yageo* 1,437,750 1,143 Yageo GDR* 311,489 1,238 ---------- 131,634 ---------- THAILAND -- 1.0% Advanced Info Service `F'* 329,500 2,780 Hana Microelectronics `F' 438,400 1,205 National Petrochemical `F' 1,559,000 1,062 PTT Exploration `F' 835,000 2,117 Saha Union `F' 142,000 35 Shin Corporations `F'* 107,500 369 Siam Cement `F'* 83,100 658 Siam Makro `F' 804,100 953 Telecomasia `F'* 3,393,000 2,272 Thai Farmers Bank `F'* 3,090,500 1,575 ---------- 13,026 ---------- TURKEY -- 2.7% Akbank 35,000,000 179 Akcimento Ticaret 64,600,000 718 Aksigorta 42,000,000 678 Alarko Holdings 18,387,500 629 Anadolu Efes Biracilik Ve Malt Sanayii* 29,054,281 1,724 Arcelik 61,458,585 1,431 Aygaz 18,769,000 642 Dogan Sirketler Grubu Holdings* 34,000,000 639 Dogan Yayin Holding* 193,228,446 2,207 Eregli Demir Ve Celik Fabrik* 48,017,200 1,371 Finansbank* 149,150,000 314 Hurriyet Gazeteci* 196,577,910 1,861 KOC Holding 26,541,700 1,157 Migros Turk 11,623,754 1,380 Netas Telekomunik 8,200,000 789 Sabanci Holding 40,029,840 325 Trakya CAM Sanayii 57,189,200 516 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Turk Ekonomi Bankasi* 184,500,000 $ 679 Turk Ekonomi Bankasi GDR* 105,000 381 Turkcell Iletisim Hizmet* 9,018,900 407 Turkcell Iletisim Hizmet ADR* 136,841 1,505 Turkiye Garanti Bankasi* 332,529,300 2,848 Turkiye IS Bankasi 321,386,800 5,433 Uzel Makina Sanayii ADR* 45,000 134 Vestel Elektronik Sanayi* 11,444,800 2,107 Yapi VE Kredi Bankasi* 678,313,935 4,892 ---------- 34,946 ---------- UNITED STATES -- 0.6% Compaq Manufacturing Warrants* 779,000 4,261 StarMedia Network* 39,200 294 Tricom ADR* 189,600 2,891 ---------- 7,446 ---------- VENEZUELA -- 0.2% Compania Anonima Nacional Telefonos ADR 127,270 3,110 ---------- Total Foreign Common Stocks (Cost $1,102,837) 1,146,088 ---------- FOREIGN PREFERRED STOCKS -- 3.6% BRAZIL -- 3.5% Banco Bradesco 567,014,381 4,690 Banco Itau 57,542,320 5,115 Brasil Telecom 165,219,600 1,433 Brasil Telecom Participacoes 104,318,297 1,216 Celular CRT Participacoes* 9,987,484 3,464 Cemig CIA Energy 93,807,175 1,553 Centrais Eletricas Brasileiras ADR 57,200 581 Centrais Eletricas Brasileiras, Series B 96,484,600 1,960 Cia de Bebidas das Americas 903,700 994 CIA Riograndense Telecomunicaoes* 6,940,641 2,690 CIA Vale do Rio Doce Unconverted Participants* 8,352 -- CIA Vale do Rio, Series A 318,088 7,982 Companhia Paranese de Energia, Series B 108,731,969 972 Embratel Participacoes 149,117,200 2,748 Gerdau 156,704,000 2,009 Itausa Investimentos 1,663,362 1,686 Petrol Brasileiro 43,300 1,237 Tele Leste Celular Participacoes* 921,758,653 754 Tele Nordeste Celular Participacoes 86,744,800 207 Tele Norte Celular Particacoes 768,650,400 621 20 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Shares/Face Market Description Amount (000) Value (000) - ------------------------------------------------------------------------------- Tele Norte Leste Participacoes* 58,665,078 $ 1,335 Telesp Celular Participacoes 103,988,692 1,370 Usinas Sider de Minas Gerais 125,331 713 ---------- 45,330 ---------- THAILAND -- 0.1% Siam Commercial Bank `F'* 4,250,300 1,637 ---------- Total Foreign Preferred Stocks (Cost $34,488) 46,967 ---------- EQUITY LINKED WARRANTS (B) -- 2.4% INDIA -- 2.4% Dr. Reddy's Laboratories* 54,550 1,493 Gujarat Ambuja Cement* 224,000 757 Hero Honda Motors* 87,500 1,579 Hindustan Lever* 833,750 3,790 ICICI Bank* 522,397 1,724 Infosys Technologies* 25,250 4,040 ITC* 29,000 453 Larsen & Toubro* 336,075 1,213 Mahanagar Telephone Nigam* 270,000 645 Mahindra & Mahindra* 330,000 1,327 Nestle India* 134,000 1,435 Ranbaxy Laboratories* 216,500 3,005 Satyam Computer Services* 370,000 3,928 SSI* 7,200 375 State Bank of India* 184,200 710 Sun Pharmaceutical Industries* 211,291 2,001 Videsh Sanchar Nigam* 135,820 2,163 ---------- 30,638 ---------- Total Equity Linked Warrants (Cost $34,423) 30,638 ---------- REPURCHASE AGREEMENTS -- 4.0% J.P. Morgan 6.60%, dated 09/29/00, matures 10/02/00, repurchase price $19,293,724 (collateralized by FHLB, due 10/25/00, par value $19,765,000, market value $19,669,693) $19,283 19,283 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $7,012,066 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $6,685,000, market value $7,151,967) 7,009 7,009 - ------------------------------------------------------------------------------- Face Market Description Amount (000) Value (000) - ------------------------------------------------------------------------------- State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $5,414,368 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $5,160,000, market value $5,520,441) $ 5,412 $ 5,412 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $13,362,844 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $12,735,000, market value $13,624,578) 13,357 13,357 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $2,327,018 (collateralized by U.S. Treasury Note, due 05/15/06, 6.875%, par value $2,220,000, market value $2,375,074) 2,326 2,326 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $2,265,991 collateralized by U.S. Treasury Note, due 05/31/01, 5.250%, par value $2,290,000, market value $2,312,900) 2,265 2,265 State Street Bank 5.25%, dated 09/29/00, matures 10/02/00, repurchase price $1,605,702 (collateralized by U.S. Treasury Note, due 02/28/01, 5.000%, par value $1,640,000, market value $1,637,950) 1,605 1,605 ---------- Total Repurchase Agreements (Cost $51,257) 51,257 ---------- Total Investments -- 99.2% (Cost $1,223,005) 1,274,950 Other Assets and Liabilities, Net -- 0.8% 10,083 ---------- 21 STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 EMERGING MARKETS EQUITY FUND--CONCLUDED - ------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - ------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 139,780,944 outstanding shares of beneficial interest $1,405,043 Accumulated net investment loss (3,768) Accumulated net realized loss on investments (168,184) Net unrealized appreciation on investments (1) 51,919 Net unrealized appreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency 23 ---------- Total Net Assets -- 100.0% $1,285,033 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $9.19 ========== *NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT `F' -- FOREIGN SHARES GBP -- GREAT BRITAIN POUND STERLING GDR -- GLOBAL DEPOSITORY RECEIPT (1) NET OF $25,749 ACCRUED FOREIGN CAPITAL GAIN 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. (B) SECURITIES ARE NOT READILY MARKETABLE. SEE NOTE 2 IN NOTES TO FINANCIAL STATEMENTS. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. INTERNATIONAL FIXED INCOME FUND FOREIGN BONDS -- 79.2% AUSTRALIA -- 0.5% Government of Australia 8.750%, 08/15/08 8,320 $ 5,203 -------- BELGIUM -- 5.5% Belgium Treasury Bill 4.330%, 12/07/00 65,000 56,913 -------- CANADA -- 5.1% Government of Canada 9.000%, 06/01/25 6,460 6,024 5.500%, 06/01/09 34,055 22,257 Government of Canada Treasury Bill 5.600%, 11/23/00 36,970 24,369 -------- 52,650 -------- - ------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - ------------------------------------------------------------------------------- CAYMAN ISLANDS -- 1.9% MBNA Europe (A) 4.981%, 05/19/04 EC 21,860 $ 19,282 -------- DENMARK -- 1.3% Kingdom of Denmark 7.000%, 11/15/07 103,920 13,229 -------- FRANCE -- 3.8% Government of France Treasury Bill 4.500%, 11/16/00 44,300 38,860 -------- GERMANY -- 26.3% Bundesobligation 5.000%, 05/20/05 83,800 73,621 Bundesschatzanweisungen 3.000%, 12/15/00 29,670 26,083 Deutsche Ausgleichbk 1.850%, 09/20/10 JPY 1,195,000 10,981 Deutschland Republic 6.250%, 01/04/24 41,988 39,834 5.375%, 01/04/10 57,942 51,722 KFW International Finance 6.625%, 04/15/03 583 528 Deutschland Republic 6.000%, 01/04/07 75,445 69,230 -------- 271,999 -------- GREECE -- 3.6% Government of Greece 8.700%, 04/08/05 6,375,500 18,425 8.600%, 03/26/08 6,055,500 18,154 -------- 36,579 -------- HUNGARY -- 2.2% Government of Hungary 10.500%, 05/12/04 6,618,970 22,625 -------- ITALY -- 5.2% Republic of Italy 4.500%, 07/15/03 28,484 24,837 1.800%, 02/23/10 JPY 3,173,000 29,275 -------- 54,112 -------- JAPAN -- 6.0% Asian Development Bank 3.125%, 06/29/05 3,488,000 35,033 European Investment Bank 3.000%, 09/20/06 341,000 3,437 Export-Import Bank 2.875%, 07/28/05 2,390,000 23,812 -------- 62,282 -------- NETHERLANDS -- 3.9% Kingdom of Netherlands 5.500%, 01/15/28 46,312 40,074 -------- 22 - -------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND--CONCLUDED - ------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - ------------------------------------------------------------- POLAND -- 1.9% Government of Poland 8.500%, 02/12/05 115,369 $ 20,041 ---------- SPAIN -- 2.8% Government of Spain 4.250%, 07/30/02 32,990 28,648 ---------- SWEDEN -- 2.0% Kingdom of Sweden 10.250%, 05/05/03 181,000 21,180 ---------- UNITED KINGDOM -- 7.2% European Investment Bank 6.000%, 12/07/28 3,630 5,589 United Kingdom Treasury 8.500%, 07/16/07 6,135 10,549 8.000%, 12/07/15 9,225 17,837 6.750%, 11/26/04 26,320 40,479 ---------- 74,454 ---------- Total Foreign Bonds (Cost $867,561) 818,131 ---------- DOMESTIC BONDS -- 4.0% UNITED STATES -- 4.0% KFW International Finance 1.750%, 03/23/10 JPY 4,521,000 41,386 ---------- Total Domestic Bonds (Cost $42,193) 41,386 ---------- U.S. TREASURY OBLIGATIONS -- 6.6% U.S. Treasury Bill (2) 6.090%, 12/21/00 68,040 67,128 U.S. Treasury Note 6.000%, 08/15/09 1,000 1,004 ---------- Total U.S. Treasury Obligations (Cost $68,121) 68,132 ---------- TIME DEPOSIT -- 9.5% State Street Bank 0.310%, 10/31/00 JPY 10,584,063 97,946 ---------- Total Time Deposit (Cost $98,521) 97,946 ---------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 0.7% FNMA 6.875%, 06/07/02 GBP 5,150 7,687 ---------- Total U.S. Government Mortgage- Backed Obligations (Cost $8,762) 7,687 ---------- Total Investments -- 100.0% (Cost $1,085,158) $1,033,282 ========== - ------------------------------------------------------------- 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. EC -- EURO FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION GBP -- GREAT BRITIAN POUND JPY -- JAPANESE YEN (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. (2) SECURITIES PLEDGED AS COLLATERAL FOR OPEN FUTURES CONTRACTS. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS DEBT FUND FOREIGN BONDS -- 99.4% ALGERIA -- 3.5% Republic of Algeria FRN Tranche 1 Restructured 7.688%, 09/04/06 3,692 $ 3,175 Republic of Algeria FRN Tranche 3 Restructured 7.688%, 03/04/10 15,105 12,235 ----------- 15,410 ----------- ARGENTINA -- 15.2% Government of Agrentina 12.125%, 02/25/19 7,500 7,012 12.000%, 02/01/20 4,300 3,956 11.750%, 06/15/15 20,277 18,584 11.375%, 03/15/10 13,025 11,853 10.250%, 07/21/30 2,000 1,630 Government of Argentina Bocon Proveedores 1 2.696%, 04/01/07 AR 209 151 Government of Argentina FRB (A) 7.625%, 03/31/05 1,080 989 Government of Argentina FRN (A) 11.344%, 04/10/05 17,950 16,693 Government of Argentina Par 6.000%, 03/31/23 900 611 Government of Argentina Registered 11.750%, 02/12/07 4,500 3,962 8.750%, 07/10/02 AR 2,500 2,330 ----------- 67,771 ----------- 23 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 EMERGING MARKETS DEBT FUND--CONTINUED - -------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - -------------------------------------------------------------------------------- BRAZIL -- 19.7% Government of Brazil 14.500%, 10/15/09 12,677 $ 14,021 12.750%, 01/15/20 14,739 14,113 12.250%, 03/06/30 25,730 23,363 11.000%, 08/17/40 28,834 22,966 10.125%, 05/15/27 4,000 3,110 Government of Brazil C Bond Bearer 8.000%, 04/15/14 2,001 1,521 Government of Brazil Par Z-L 6.000%, 04/15/24 12,900 8,658 ----------- 87,752 ----------- BULGARIA -- 5.1% Republic of Bulgaria Discount, Series A 7.750%, 07/28/24 8,755 6,698 Republic of Bulgaria FLIRB Non-U.S. Global Bearer, Series A 3.050%, 07/28/12 22,200 16,095 ----------- 22,793 ----------- COLOMBIA -- 3.6% Republic of Colombia 11.750%, 02/25/20 6,500 5,502 9.750%, 04/23/09 7,125 5,736 8.700%, 02/15/16 2,000 1,360 8.375%, 02/15/27 1,500 953 Republic of Columbia FRN (A) 12.832%, 08/13/05 2,500 2,444 ----------- 15,995 ----------- COSTA RICA -- 1.0% Government of Costa Rica 144a (A) 9.995%, 08/01/20 2,200 2,193 Government of Costa Rica, Series B 6.250%, 05/21/15 2,600 2,327 ----------- 4,520 ----------- CROATIA -- 1.5% Government of Croatia FRN, Series A 7.750%, 07/31/10 5,000 4,550 Government of Croatia FRN, Series B (A) 7.750%, 07/31/06 2,164 2,028 ----------- 6,578 ----------- ECUADOR -- 0.9% Republic of Ecuador 144a (A) 4.000%, 08/15/30 7,495 2,970 - -------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - -------------------------------------------------------------------------------- Republic of Ecuador Registered 4.000%, 08/15/30 2,400 $ 951 ----------- 3,921 ----------- IVORY COAST -- 0.5% Ivory Coast FLIRB 144a (A) 2.000%, 03/29/18 2,500 425 Ivory Coast FLIRB Registered 2.000%, 03/29/18 4,000 680 Ivory Coast PDI 2.000%, 03/29/18 4,988 898 ----------- 2,003 ----------- JAMAICA -- 1.7% Government of Jamaica 144a (A) 12.750%, 09/01/07 2,375 2,339 Government of Jamaica Registered 10.875%, 06/10/05 5,500 5,239 ----------- 7,578 ----------- MEXICO -- 9.0% Government of Mexico Discount, Series C 7.800%, 12/31/19 500 516 Government of Mexico Par Bonds with Recovery Rights, Series B 6.250%, 12/31/19 1,665 1,484 Government of Mexico Par Recovery Rights* 2,004 -- Petroleos Mexicanos 9.500%, 09/15/27 13,750 13,475 9.250%, 03/30/18 3,750 3,694 United Mexican States 11.500%, 05/15/26 210 255 11.375%, 09/15/16 13,709 15,944 10.375%, 02/17/09 4,250 4,624 9.750%, 04/06/05 175 185 ----------- 40,177 ----------- MOROCCO -- 2.0% Morocco R&C Loan FRN, Tranche A 7.750%, 01/01/09 10,003 9,002 ----------- PANAMA -- 4.5% Government of Panama 9.375%, 04/01/29 2,000 1,920 Government of Panama IRB 8.875%, 09/30/27 4,880 4,075 4.750%, 07/17/14 11,500 9,171 Government of Panama PDI 0.000%, 07/17/16 5,902 4,692 ----------- 19,858 ----------- 24 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - -------------------------------------------------------------------------------- PERU -- 3.8% Republic of Peru FLIRB 3.750%, 03/07/17 24,455 $ 13,725 Republic of Peru PDI 4.500%, 03/07/17 5,290 3,306 ----------- 17,031 ----------- PHILIPPINES -- 4.3% Government of Philippines 10.625%, 03/16/25 4,100 3,475 9.875%, 01/15/19 19,000 15,580 ----------- 19,055 ----------- POLAND -- 1.4% Poland PDI Non-US Global Bearer (A) 6.000%, 10/27/14 65 60 Republic of Poland RSTA 4.000%, 10/27/24 5,000 3,400 Telekomunikacja Polska 144a (A) 7.750%, 12/10/08 2,750 2,648 ----------- 6,108 ----------- RUSSIA -- 16.3% Russian Federation 12.750%, 06/24/28 17,995 15,656 10.000%, 06/26/07 5,190 3,983 Russian Federation 144a (A) 8.250%, 03/31/10 14,406 9,508 2.250%, 03/31/30 109,923 42,320 Russian Federation Registered 2.250%, 03/31/30 2,500 963 ----------- 72,430 ----------- URUGUAY -- 0.4% Republic of Uruguay 8.750%, 06/22/10 1,975 1,768 ----------- VENEZUELA -- 5.0% Government of Venezuela 13.625%, 08/15/18 14,050 13,312 Government of Venezuela Discount FRB, Series W-B 7.875%, 03/31/20 4,850 3,880 Government of Venezuela Discount, Series A (A) 7.375%, 03/31/20 5,600 4,480 Government of Venezuela NMB, Series A 144a (A) 8.133%, 12/18/05 485 413 Government of Venezuela Par Rights* 0.000%, 04/15/20 47 -- ----------- 22,085 ----------- Total Foreign Bonds (Cost $433,192) 441,835 ----------- - -------------------------------------------------------------------------------- Face Amount Market Description (000) (1) Value (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.5% State Street Bank 6.43%, dated 09/29/00, matures 10/02/00, repurchase price $2,382,276 (collateralized by U.S. Treasury Note, due 07/15/06, 7.000%, par value $2,280,000, market value $2,430,890) 2,381 $ 2,381 ----------- Total Repurchase Agreement (Cost $2,381) 2,381 ----------- OPTION -- 0.1% Venezuela 27 @ 68, Expiration 10/30/00* 39,450,000 326 ----------- Total Option (Cost $434) 326 ----------- Total Investments -- 100% (Cost $436,007) $ 444,542 =========== * NON-INCOME PRODUCING SECURITY AR -- AREGENTINA PESO DCB -- DISCOUNT BOND FLIRB -- FRONT LOADED INTEREST REDUCTION BOND FRB -- FLOATING RATE BOND FRN -- FLOATING RATE NOTE IRB -- INTEREST REVENUE BOND NMB -- NEW MONEY BOND PDI -- PAST DUE INTEREST RSTA -- REVOLVING SHORT TERM AGREEMENT (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. (1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO "0". THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 25
STATEMENTS OF ASSETS AND LIABILITIES (000) - ----------------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST-- SEPTEMBER 30, 2000 ----------------- ----------------- INTERNATIONAL EMERGING FIXED INCOME MARKETS DEBT FUND FUND ---------------- ----------------- ASSETS: Investments (Cost $1,085,158 and $436,007, respectively) $1,033,282 $444,542 Cash 59,849 2,216 Foreign currency (Cost $22 and $--, respectively) 22 -- Interest receivable 20,754 11,118 Receivable for investment securities sold 11,187 49,700 Receivable for shares of beneficial interest sold 1,487 3,540 Variation margin receivable 212 -- Unrealized gain on forward foreign currency contracts 9,032 -- ---------- -------- Total Assets 1,135,825 511,116 ---------- -------- LIABILITIES: Payable for investment securities purchased 13,013 19,803 Payable for shares of beneficial interest redeemed 507 221 Unrealized loss on forward foreign currency contracts 15,835 -- Payable to affiliates 546 488 Accrued expenses 340 50 ---------- -------- Total Liabilities 30,241 20,562 ---------- -------- Net Assets $1,105,584 $490,554 ========== ======== NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 112,687,594, and 51,559,084 outstanding shares of beneficial interest $1,205,512 $452,779 Undistributed net investment income/accumulated net investment loss (24,803) 34,106 Accumulated net realized loss on investments (16,019) (4,869) Net unrealized appreciation (depreciation) on investments (51,876) 8,535 Net unrealized appreciation on futures contracts 328 -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency and other assets and liabilities denominated in foreign currency (7,558) 3 ---------- -------- Net Assets $1,105,584 $490,554 ========== ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $ 9.81 $ 9.51 ========== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. The accompanying notes are an integral part of the financial statements. 26
STATEMENTS OF OPERATIONS (000) - ----------------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST-- FOR THE YEAR ENDED SEPTEMBER 30, 2000 ------------- ------------- --------------- ------------ EMERGING INTERNATIONAL EMERGING INTERNATIONAL MARKETS FIXED MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND -------------- ------------- -------------- ------------ INVESTMENT INCOME: Dividends $ 53,088 $ 16,569 $ -- $ -- Interest 5,109 3,150 40,165 47,448 Less: Foreign Taxes Withheld (4,254) (1,223) (3) -- --------- -------- ------- -------- Total Investment Income 53,943 18,496 40,162 47,448 --------- -------- ------- -------- EXPENSES: Management fees 11,669 7,996 5,786 2,568 Less: Management fees waived -- (59) (13) -- Investment advisory fees 13,095 12,917 1,765 3,359 Less: Investment advisory fees waived (274) (1,963) (106) (1,265) Shareholder servicing fees 6,481 3,075 2,411 988 Less: Shareholder servicing fees waived -- -- (903) (494) Custodian/wire agent fees 1,634 1,777 477 90 Professional fees 114 55 42 16 Registration & filing fees 343 140 112 29 Printing fees 151 74 57 23 Trustee fees 30 14 11 4 Pricing fees 18 14 12 12 Distribution fees 1 -- -- -- Interest Expense 154 64 -- -- Amortization of deferred organization costs -- -- -- 4 Miscellaneous expenses 1 2 1 1 --------- -------- ------- ------- Total Expenses 33,417 24,106 9,652 5,335 --------- -------- ------- ------- NET INVESTMENT INCOME (LOSS) 20,526 (5,610) 30,510 42,113 --------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Security transactions 76,539 49,993 (10,418) 27,874 Futures contracts 4,744 -- 580 -- Net realized loss on forward foreign currency contracts and foreign currency transactions (2,669) (2,471) (42,161) -- Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities in foreign currency (437) 421 (4,944) 3 Net change in unrealized appreciation (depreciation) on futures contracts (3,466) -- 328 -- Net change in unrealized appreciation (depreciation) on investments (117,844) (112,010)* (69,734) 19,762 ---------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (43,133) (64,067) (126,349) 47,639 --------- --------- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (22,607) $ (69,677) $(95,839) $89,752 ========= ========= ======== =======
*NET OF $340,171 DECREASE IN ACCRUED FOREIGN CAPITAL GAINS 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. 27
STATEMENTS OF CHANGES IN NET ASSETS (000) - ----------------------------------------------------------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, --------------------------- ---------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND --------------------------- ---------------------------- 2000 1999 2000 1999 --------------------------- ---------------------------- OPERATIONS: Net investment income (loss) $ 20,526 $ 5,344 $ (5,610) $ (2,453) Net realized gain (loss) from investment transactions 81,283 32,833 49,993 (34,375) Net realized loss on forward foreign currency contracts and foreign currency transactions (2,669) (641) (2,471) (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 currency (3,903) 1,244 421 (117) Net change in unrealized appreciation (depreciation) on investments (117,844) 372,263 (112,010)* 301,729** ----------- ---------- ---------- --------- Net increase (decrease) in net assets from operations (22,607) 411,043 (69,677) 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 2,554,782 1,066,515 1,069,751 450,898 Reinvestment of cash distributions 40,706 43,631 552 1,011 Cost of shares redeemed (1,419,516) (595,013) (581,917) (345,051) ----------- ---------- ---------- --------- Increase in net assets from Class A transactions 1,175,972 515,133 488,386 106,858 ----------- ---------- ---------- --------- Class D: Proceeds from shares issued 80 44 -- -- Reinvestment of cash distributions 9 15 -- -- Cost of shares redeemed (46) (67) -- -- ----------- ---------- ---------- --------- Increase (decrease) in net assets from Class D transactions 43 (8) -- -- ----------- ---------- ---------- --------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 1,176,015 515,125 488,386 106,858 ----------- ---------- ---------- --------- Net increase in net assets 1,109,459 877,847 418,122 368,441 NET ASSETS: Beginning of period 1,844,885 967,038 866,911 498,470 ----------- ---------- ---------- --------- End of period $2,954,344 $1,844,885 $1,285,033 $ 866,911 =========== ========== ========== ========= (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 189,656 97,155 96,424 56,297 Shares issued in lieu of cash distributions 3,108 4,292 48 141 Shares redeemed (105,728) (54,402) (51,686) (42,292) ----------- ---------- ---------- --------- Total Class A transactions 87,036 47,045 44,786 14,146 ----------- ---------- ---------- --------- Class D: Shares issued 5 4 -- -- Shares issued in lieu of cash distributions 1 2 -- -- Shares redeemed (3) (7) -- -- ----------- ---------- ---------- --------- Total Class D transactions 3 (1) -- -- ----------- ---------- ---------- --------- Net increase in capital shares 87,039 47,044 44,786 14,146 =========== ========== ========== ========= *NET OF $340,171 DECREASE IN ACCRUED FOREIGN CAPITAL GAINS TAXES ON APPRECIATED SECURITIES. **NET OF $365,920 INCREASE IN ACCRUED FOREIGN CAPITAL GAINS 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. 28 STATEMENTS OF CHANGES IN NET ASSETS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30,
----------------------------- ---------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ----------------------------- ---------------------------------- 2000 1999 2000 1999 ----------------------------- ----------------------------------- OPERATIONS: Net investment income $ 30,510 $ 19,381 $ 42,113 $ 27,534 Net realized gain (loss) from investment transactions (9,838) (3,927) 27,874 (776) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (42,161) (6,019) -- 12 Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, futures contracts and translation of other assets and liabilities denominated in foreign currencies (4,616) (4,342) 3 -- Net change in unrealized appreciation (depreciation) on investments (69,734) (11,734) 19,762 29,103 ---------- --------- ---------- -------- Net increase (decrease) in net assets from operations (95,839) (6,641) 89,752 55,873 ---------- --------- ---------- -------- DISTRIBUTIONS FROM: Net investment income: Class A (14,878) (25,854) (28,920) (18,629) Net realized gains: Class A -- (9,656) -- -- ---------- --------- ---------- -------- Total distributions (14,878) (35,510) (28,920) (18,629) ---------- --------- ---------- -------- CAPITAL SHARE TRANSACTIONS (1): Class A: Proceeds from shares issued 613,573 473,365 216,289 145,289 Reinvestment of cash distributions 14,289 33,746 28,405 18,391 Cost of shares redeemed (221,001) (189,320) (98,965) (79,869) ---------- --------- ---------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 406,861 317,791 145,729 83,811 ---------- --------- ---------- -------- Net increase in net assets 296,144 275,640 206,561 121,055 NET ASSETS: Beginning of period 809,440 533,800 283,993 162,938 ---------- --------- ---------- -------- End of period $1,105,584 $ 809,440 $ 490,554 $283,993 ========== ========= ========== ======== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 59,171 42,467 24,257 19,085 Shares issued in lieu of cash distributions 1,332 2,846 3,386 2,533 Shares redeemed (21,231) (16,794) (11,114) (10,439) ---------- --------- ---------- -------- Net increase in capital shares 39,272 28,519 16,529 11,179 ========== ========= ========== ======== AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
29
FINANCIAL HIGHLIGHTS - ------------------------------------------------------------------------------------------------------------------------------------ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD RATIO OF NET INVEST- MENT RATIO INCOME/ OF NET (LOSS) INVEST- RATIO OF TO NET DISTRI- DISTRI- RATIO MENT EXPENSES AVERAGE NET NET REALIZED BUTIONS BUTIONS NET OF INCOME/ TO NET ASSET INVEST- AND UN- FROM FROM ASSET EXPENSES (LOSS) AVERAGE ASSETS PORT- VALUE MENT REALIZED NET IN- REALIZED VALUE NET ASSETS TO AVER- TO AVER- NET ASSETS EXCLU- FOLIO BEGINNING INCOME/ GAINS/ VESTMENT CAPITAL END OF TOTAL END OF AGE NET AGE NET (EXCLUDING DING TURNOVER OF PERIOD (LOSS) (LOSSES) INCOME(4) GAINS PERIOD RETURN PERIOD (000) ASSETS ASSETS WAIVERS) WAIVERS) RATE - ----------------------------------------------------------------------------------------------------------------------------------- - -------------------------- INTERNATIONAL EQUITY FUND - -------------------------- CLASS A For the years ended September 30: 2000 $12.09 $0.08 $ 0.43 $(0.04) $(0.23) $12.33 4.15% $2,953,872 1.29++ 0.79% 1.30% 0.78% 73% 1999(2) 9.16 0.04 3.34 (0.10) (0.35) 12.09 37.86 1,844,459 1.28 0.39 1.31 0.36 61 For the seven month period ended September 30: 1998(2) $10.15 $ 0.07 $(1.06) $ -- $ -- $ 9.16 (9.75)% $ 966,707 1.24%+ 1.60%+ 1.31%+ 1.53%+ 66% For the years ended February 28 or 29: 1998(2)$ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $10.15 10.21% $ 851,542 1.21% 1.31% 1.30% 1.22% 75% 1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 524,062 1.28 1.11 1.42 0.97 117 1996 9.59 0.14 1.45 (0.19) (0.99) 10.00 17.30 347,646 1.25 1.29 1.29 1.25 102 CLASS D For the years ended September 30: 2000 $11.97 $0.06 $ 0.43 $(0.02) $(0.23) $12.21 4.04% $ 472 1.44%++ 0.62% 1.45% 0.61% 73% 1999 9.07 (0.01) 3.35 (0.09) (0.35) 11.97 37.69 426 1.43 0.20 1.46 0.17 61 For the seven month period ended September 30: 1998(2) $10.06 $ 0.06 $(1.05) $ -- $ -- $9.07 (9.84)% $ 331 1.39%+ 1.36%+ 1.46%+ 1.29%+ 66% For the years ended February 28 or 29: 1998(2) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $10.06 9.92% $ 302 1.36% 1.16% 1.45% 1.07% 75% 1997 9.93 0.05 0.47 (0.05) (0.82) 9.58 5.39 177 1.55 0.71 1.65 0.61 117 1996 9.56 0.04 1.50 (0.18) (0.99) 9.93 16.77 199 1.65 0.58 1.90 0.33 102 - ----------------------------- EMERGING MARKETS EQUITY FUND - ----------------------------- CLASS A For the years ended September 30: 2000(2) $ 9.13 $(0.05) $ 0.12 $(0.01) $ -- $ 9.19 0.71% $1,285,033 1.96% (0.46)% 2.12% (0.62)% 110% 1999 6.17 (0.03) 3.00 (0.01) -- 9.13 48.23 866,911 1.95 (0.35) 2.14 (0.54) 129 For the seven month period ended September 30: 1998 $10.55 $ 0.07 $(4.45) $ -- $ -- $ 6.17 (41.52)% $ 498,470 1.95%+ 1.51%+ 2.24%+ 1.22%+ 46% For the years ended February 28 or 29: 1998 $12.87 $(0.03) $(2.25) $(0.03) $(0.01) $10.55 (17.72)% $ 509,748 1.95% (0.12)% 2.36% (0.53)% 76% 1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 221,474 1.95 (0.04) 2.55 (0.64) 100 1996 10.27 (0.02) 0.72 -- (0.04) 10.93 6.83 67,181 1.95 (0.23) 2.72 (1.00) 104 - -------------------------------- INTERNATIONAL FIXED INCOME FUND - -------------------------------- CLASS A For the years ended September 30: 2000 $11.03 $0.31 $ (1.35) $(0.18) $ -- $ 9.81 (9.58)% $1,105,584 1.00% 3.17% 1.11% 3.06% 190% 1999 11.89 0.30 (0.42) (0.53) (0.21) 11.03 (1.36) 809,440 1.00 2.97 1.22 2.75 278 For the seven month period ended September 30: 1998 $10.68 $ 0.40 $ 0.81 $ -- $ -- $11.89 11.33% $ 533,800 1.00%+ 3.61%+ 1.21%+ 3.40%+ 112% For the years ended February 28 or 29: 1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $10.68 3.23% $ 408,974 1.00% 3.92% 1.24% 3.68% 280% 1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 204,219 1.00 3.99 1.39 3.60 352 1996 10.42 0.58 0.89 (1.02) (0.10) 10.77 13.96 84,318 1.00 4.70 1.27 4.43 269 - ---------------------------- EMERGING MARKETS DEBT FUND - ---------------------------- CLASS A For the years ended September 30: 2000 $ 8.11 $0.84 $ 1.33 $(0.77) $ -- $ 9.51 28.07% $ 490,554 1.35% 10.67% 1.80% 10.22% 227% 1999 6.83 0.84 1.19 (0.75) -- 8.11 31.15 283,993 1.35 12.27 1.82 11.80 184 For the seven month period ended September 30: 1998 $10.31 $(0.11) $(3.37) $ -- $ -- $ 6.83 (33.75)% $ 162,938 1.35%+ 10.28%+ 1.84%+ 9.79%+ 186% For the period ended February 28: 1998(1) $10.00 $ 0.56 $ -- $(0.25) $ -- $10.31 5.64% $ 154,284 1.35%+ 8.05%+ 1.94%+ 7.46%+ 269% * RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. + ANNUALIZED. ++ THE RATIO OF EXPENSES TO AVERAGE NET ASSETS, EXCLUDING INTEREST EXPENSE, IS 1.28% AND 1.43% FOR CLASS A SHARES AND CLASS D SHARES, RESPECTIVELY, FOR THE YEAR ENDED SEPTEMBER 30, 2000. (1) EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (2) 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. 30 NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 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. 31 NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 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 year ended September 30, 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. EQUITY-LINKED WARRANTS -- The International Equity and Emerging Markets Equity Funds each may invest in equity-linked warrants. The Fund purchases the equity-linked warrants from a broker, who in turn purchases shares in the local market and issues a call warrant hedged on the underlying holding. If the Fund exercises its call and closes its position, the shares are sold and the warrant redeemed with the proceeds. Each warrant represents one share of the underlying stock, therefore, the price, performance and liquidity of the warrant are all directly linked to the underlying stock. The warrants can be redeemed for 100% of the value of the underlying stock, less transaction costs. In addition to the market risk of the underlying holding, the Fund bears additional counterparty risk to the issuing broker. There is currently no active trading market for equity-linked warrants. 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 or writing 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. 32 - ------------------------------------------------------------------------------- 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. Accordingly, the following permanent differences have been reclassified to/from the following accounts: UNDISTRIBUTED ACCUMULATED NET PAID-IN- REALIZED INVESTMENT CAPITAL GAIN (LOSS) INCOME (LOSS) (000) (000) (000) - ------------------------------------------------------------------------------- International Equity Fund $20,125 $(15,693) $(4,432) Emerging Markets Equity Fund (642) (8,628) 9,270 These reclassifications are primarily attributable to the Fund's utilization of earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes, as well as the reclassification of realized foreign exchange gains and losses from accumulated net realized gain (loss) on foreign currency transactions to undistributed net investment income These reclassifications have no effect on the net asset values per share. 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. The Adviser 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. As of September 30, 2000, pursuant to Sub-Advisory Agreements with SIMC, Acadian Asset Management, Inc., Capital Guardian Trust Company, BlackRock International, Ltd., Oechsle International Advisors, Jardine Fleming International Management Inc. and Martin Currie Inc. 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., Schroder Investment Management North America, Inc. and The Boston Company Asset Management 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. 33 NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 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 their 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 Distributor has voluntarily agreed to waive all or a portion of its fees in order to limit the operating expenses of each fund. 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 September 30, 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. 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 year ended September 30, 2000, the Funds paid commissions of $621,637 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 year ended September 30, 2000 were $12,912 and $25,919, respectively. 4. 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 September 30, 2000: IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - ---------------------- --------------- --------- -------------- INTERNATIONAL EQUITY FUND - ------------------------- FOREIGN CURRENCY PURCHASES: 10/03/00-10/05/00 AD 501,658 $ 274,267 $ (2,572) 10/02/00-10/03/00 EC 3,980,159 3,510,812 1,689 10/03/00 HD 19,890,989 2,550,945 196 10/02/00-10/04/00 JY 289,558,690 2,685,704 (5,955) 10/02/00 SD 41,361 23,738 29 10/04/00 UK 3,762,615 5,497,180 65,871 ----------- ---------- $14,542,646 $ 59,258 ----------- ---------- FOREIGN CURRENCY SALES: 10/02/00-10/05/00 EC 5,268,634 $ 4,648,477 $ (1,216) 10/02/00-10/04/00 JY 327,018,240 3,040,344 14,063 10/02/00-10/04/00 SD 16,530,271 9,479,522 (19,487) 10/02/00 SK 18,666,111 1,929,812 (7,913) 10/04/00-10/06/00 UK 667,239 982,830 (3,695) ------------ ---------- $ 20,080,985 $ (18,248) ------------ ---------- $ 41,010 ========== 34 - ------------------------------------------------------------------------------- IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) ------------ ----------------- --------- --------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- FOREIGN CURRENCY PURCHASES: 11/22/00 AD 4,657,793 $ 2,518,329 $ 3,384 11/22/00 CD 14,529,577 9,681,867 (10,353) 11/22/00 CH 54,088,687 30,881,536 568,232 10/04/00-11/22/00DK 34,893,935 4,051,741 80,806 11/22/00 EC 461,540,347 398,560,238 9,633,733 11/22/00 JY 39,107,442,630 370,425,462 (5,107,550) 11/22/00 NK 62,120,982 6,600,000 238,405 11/22/00 UK 110,086,862 159,216,817 3,625,070 ------------- ------------ $ 981,935,990 $ 9,031,727 ------------- ------------ FOREIGN CURRENCY SALES: 11/22/00 CD 53,247,905 $ 35,796,862 $ 352,760 11/22/00 CH 39,510,065 22,849,749 (123,306) 11/22/00 DK 18,253,333 2,152,516 (9,766) 11/22/00 EC 458,441,647 392,271,292 (13,182,137) 11/22/00 JY 25,908,805,566 244,375,232 2,350,949 11/22/00 SK 48,561,991 4,960,367 (102,715) 11/22/00 UK 109,077,369 156,227,708 (5,120,923) ------------- ------------ $ 858,633,726 $(15,835,138) ------------- ------------ $ (6,803,411) ============ CURRENCY LEGEND AD Australian Dollar JY Japanese Yen CD Canadian Dollar NK Norwegian Kroner CH Swiss Franc SD Singapore Dollar DK Danish Kroner SK Swedish Krona EC Euro Currency UK British Pound Sterling HD Hong Kong Dollar 5. 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 year ended September 30, 2000, were as follows: PURCHASES SALES (000) (000) ---------- ---------- International Equity Fund $2,797,994 $1,271,641 Emerging Markets Equity Fund 1,728,434 1,271,641 International Fixed Income Fund 1,365,845 1,178,097 Emerging Markets Debt Fund 617,998 514,095 The International Fixed Income Fund purchased (in thousands) $5,060 and sold $5,669 in U.S. government securities, during the year ended September 30, 2000. For Federal income tax purposes, the cost of securities owned at September 30, 2000 and the net realized gains or losses on securities sold for the year 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 September 30, 2000 for the Funds is as follows:
BOOK NET LESS: TAX APPRE- DEPRE- UNREALIZED TAX NET CIATED CIATED APPRECIATION/ BASIS APPRECIATION/ SECURITIES SECURITIES (DEPRECIATION) ADJUSTMENTS (DEPRECIATION) (000) (000) (000) (000) (000) -------- -------- ------------ ----------- ------------- International Equity Fund $360,646 $(204,485) $156,161 $16,492 $139,669 Emerging Markets Equity Fund 168,366 (116,447) 51,919* 39,142 12,777 International Fixed Income Fund 8,473 (60,349) (51,876) 9,840 (61,716) Emerging Markets Debt Fund 22,077 (13,542) 8,535 1,056 7,479 *Net of $25,749 change in accrued foreign capital gains tax on appreciated securities. Subsequent to October 31, 1999, the following Funds had recognized net capital and net foreign currency losses that have been deferred to 2000 for tax purposes and can be used to offset future capital and foreign currency gains at September 30, 2001. The Funds also had capital loss carry-forwards at September 30, 2000, that can be used to offset future capital gains.
POST POST CAPITAL LOSS 10/31/99 10/31/99 CARRYOVERS CAPITAL CURRENCY EXPIRING LOSS DEFERRAL LOSS DEFERRAL 2006-2008 -------------- -------------- ------------- International Equity -- $ 2,476,375 -- Emerging Markets Equity -- 2,400,258 $129,042,484 International Fixed Income $2,488,472 31,915,697 3,689,834 Emerging Markets Debt -- -- 3,813,486 35 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 6. FUTURES CONTRACTS The following Funds had futures contracts open as of September 30, 2000: CONTRACT NUMBER OF MARKET SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS VALUE MONTH GAIN/(LOSS) ------------------ ------------ --------- ----------- ------------- INTERNATIONAL EQUITY FUND Australia Ords Index 120 5,391,086 December 2000 $ 100,189 DJ Euro Stoxx 1,212 53,126,536 December 2000 (2,491,493) FT-SE 100 Index 330 31,016,121 December 2000 (957,789) Hang Seng Index 27 2,718,388 October 2000 99,127 Topix 247 33,600,777 December 2000 (280,285) ------------ $ (3,530,251) ============ INTERNATIONAL FIXED INCOME Japan 10 Year Bond 79 96,816,306 December 2000 $ 328,302 ============ 7. 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. 8. 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. 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. 36 - -------------------------------------------------------------------------------- 9. 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 Trust. Borrowings from the line of credit will bear interest at the Federal Funds Rate plus 0.625%. As of September 30, 2000, there were no borrowings outstanding under the agreement. 10. OTHER On September 30, 2000, one shareholder held approximately 83%, 79%, 80%, and 85% of the outstanding shares of the International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund, respectively. This shareholder is comprised of omnibus accounts, which are held on behalf of several individual shareholders. REPORT OF INDEPENDENT ACCOUNTANTS - -------------------------------------------------------------------------------- To the Shareholders and Board of Trustees of SEI Institutional International Trust In our opinion, the accompanying statements of net assets of the International Equity and Emerging Markets Equity Funds and the statement of assets and liabilities, including the schedule of investments, of the International Fixed Income and Emerging Markets Debt Funds, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the International Equity, Emerging Markets Equity, International Fixed Income and Emerging Markets Debt Funds (constituting the SEI Institutional International Trust, hereafter referred to as the "Trust") at September 30, 2000, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 10, 2000 38 NOTICE TO SHAREHOLDERS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 (UNAUDITED) For shareholders that do not have a September 30, 2000 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2000 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2000 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year.
LONG TERM ORDINARY CAPITAL GAINS INCOME DISTRIBUTIONS DISTRIBUTIONS PORTFOLIO (TAX BASIS) (TAX BASIS) TOTAL - ---------- -------------- -------------- ---------- International Equity 68% 32% 100% Emerging Markets Equity 0% 100% 100% International Fixed Income 0% 100% 100% Emerging Markets Debt 0% 100% 100%
39 NOTES - -------------------------------------------------------------------------------- - ----------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST - ----------------------- ANNUAL REPORT - ----------------------- SEPTEMBER 30, 2000 Robert A. Nesher CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch Rosemarie B. Greco 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 John H. Grady ASSISTANT SECRETARY INVESTMENT ADVISERS 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 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] INVESTMENTS DISTRIBUTION CO. Oaks, PA19456-1100 800-DIAL-SEI/800-342-5734 SEI-F-018 (9/00) -----END PRIVACY-ENHANCED MESSAGE-----