-----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, AmKTN29e49QhpEzkGgmKQK9caIskw6XhN0hDZwbPRQZkeuyuwHHWtfxYT+LMGsrm Px1a+y/r46PmJqNv/Ku09w== 0000935069-01-500175.txt : 20010531 0000935069-01-500175.hdr.sgml : 20010531 ACCESSION NUMBER: 0000935069-01-500175 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010331 FILED AS OF DATE: 20010530 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: 1650677 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 siit.txt SEI INSTITUTIONAL INTERNATIONAL TRUST SEI INVESTMENTS Semi-Annual Report as of March 31, 2001 (Unaudited) SEI Institutional International Trust International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS - -------------------------------------------------------------- Statements of Net Assets/Schedules of Investments 1 - -------------------------------------------------------------- Statements of Assets and Liabilities 18 - -------------------------------------------------------------- Statements of Operations 19 - -------------------------------------------------------------- Statements of Changes in Net Assets 20 - -------------------------------------------------------------- Financial Highlights 22 - -------------------------------------------------------------- Notes to Financial Statements 23 - -------------------------------------------------------------- STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) INTERNATIONAL EQUITY FUND - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 98.8% AUSTRALIA -- 1.9% AMP 64,552 $ 633 Aristocrat Leisure 183,682 610 Australia and New Zealand Banking Group 450,000 3,028 BHP 852,554 8,160 Brambles Industries 28,873 618 Broken Hill Proprietary ADR 27,300 527 Cable & Wireless Optus* 820,000 1,457 Commonwealth Bank of Australia 334,220 4,667 Computershare 181,389 617 CSL 55,495 970 Foster's Brewing Group 961,657 2,418 Lend Lease Corporation 52,863 324 Macquarie Bank 94,122 1,270 National Australia Bank 276,869 3,867 News Corporation 604,197 4,582 QBE Insurance Group 557,951 2,967 Rio Tinto 149,804 2,374 Telstra Corporation 1,503,407 4,713 Westpac Banking 458,571 2,833 WMC 945,966 3,709 Woolworths 355,078 1,439 ---------- 51,783 ---------- BELGIUM -- 1.0% Fortis (B) 1,040,927 27,375 ---------- BRAZIL -- 0.2% Embratel Participacoes ADR 618,914 5,756 ---------- CANADA -- 1.5% Abitibi-Consolidated 185,600 1,451 Alcan Aluminum 46,700 1,677 ATI Technologies* 156,600 676 Bank of Nova Scotia 10,000 257 Bombardier 297,300 4,112 Bombardier, Series B 74,800 1,036 CAE 81,000 1,222 Canada Pacific 172,700 6,290 Canadian Imperial Bank of Commerce 25,900 819 Canadian National Railway 34,000 1,283 Celestica* 27,900 764 Magna International, Series A 63,900 2,945 Mitel* 72,000 572 Nortel Networks 381,223 5,384 Nortel Networks (NY Shares) 58,000 815 Pancanadian Petroleum 206,200 5,696 Thomson 125,900 4,202 Toronto-Dominion Bank 61,000 1,530 ---------- 40,731 ---------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- DENMARK -- 0.2% Danske Bank 242,230 $ 3,842 H. Lundbeck 46,280 1,084 ---------- 4,926 ---------- FINLAND -- 1.0% Nokia 848,800 20,417 Nokia ADR 14,200 341 UPM-Kymmene 198,800 5,624 ---------- 26,382 ---------- FRANCE -- 11.0% Accor 20,000 752 Aventis 297,806 23,141 Aventis (DE) 292,568 22,501 Axa 202,706 22,560 BNP Paribas 15,800 1,331 Bouygues 155,560 5,226 Carrefour Supermarche 293,000 16,007 Castorama Dubois Investissements 101,596 22,201 Christian Dior 19,000 675 Cie de Saint-Gobain 56,680 8,192 France Telecom 26,400 1,548 Groupe Danone 16,500 2,097 L'OREAL 30,800 2,094 LVMH Moet Hennessy Louis Vuitton 155,700 7,845 Michelin (C.G.D.E.), Class B 52,900 1,725 Pechiney 84,500 3,656 PSA Peugeot Citroen 87,997 22,326 Sagem 2,000 156 Sanofi-Synthelabo 225,526 12,600 Schneider Electric 356,941 20,825 Societe BIC 70,000 2,714 Societe Eurafrance 27,482 1,635 Societe Television Francaise 1 112,000 3,846 Suez Lyonnaise des Eaux 22,700 3,351 Suez Lyonnaise des Eaux STRIP VVPR* 2,200 TotalFinaElf 305,918 41,511 Usinor 770,475 9,467 Valeo 314,725 14,273 Vivendi Universal 237,251 14,440 ---------- 288,695 ---------- GERMANY -- 8.1% Aixtron 22,700 1,445 Allianz 39,412 11,515 Bayerische Motoren Werke 75,100 2,324 DaimlerChrysler 198,871 8,808 Depfa Deutsche Pfandbriefbank 16,220 1,226 1 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Deutsche Bank 646,457 $ 49,432 Deutsche Lufthansa 243,565 4,586 Deutsche Telekom 802,253 18,935 Dresdner Bank 152,550 6,905 E.ON 156,807 7,485 Epcos 31,800 1,824 Infineon Technologies 102,700 3,886 Infineon Technologies ADR 37,500 1,419 Intershop Communications* 32,000 113 MAN 258,550 6,262 Metro 130,400 5,556 Muenchener Rueckversicherungs 137,697 41,264 RWE 284,900 10,250 Siemens 219,945 22,748 Volkswagen 162,700 7,479 ---------- 213,462 ---------- GREECE -- 0.0% Coca Cola Hellenic Bottling 78,859 1,079 ---------- HONG KONG -- 3.2% Amoy Properties 929,500 1,037 Bank of East Asia 451,600 1,016 Cathay Pacific Airways 5,176,000 7,532 Cheung Kong 559,000 5,859 China Mobile* 2,692,000 11,839 China Unicom* 5,798,000 6,245 CLP Holdings 283,500 1,501 DAO Heng Bank Group 211,000 974 Esprit Holdings 784,000 875 Giordano International 1,512,000 742 Hang Seng Bank 276,800 3,212 Henderson Investment 1,303,000 936 Hong Kong & China Gas 1,064,000 1,446 Hong Kong Land Holdings 1,000,000 2,150 Hutchison Whampoa 864,400 9,033 Johnson ElectricHoldings 2,421,500 3,850 Legend Holdings 1,454,000 988 Li & Fung 1,744,000 2,717 MTR* 595,000 965 New World Development 443,000 568 Peregrine Investments* (1) 526,000 -- Shangri-La Asia 2,000,000 2,039 South China Morning Post 916,000 658 Sun Hung Kai Properties 1,259,000 12,026 Swire Pacific 1,051,500 6,512 Television Broadcasts 64,000 350 Wharf Holdings 240,000 629 ---------- 85,699 ---------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- IRELAND -- 0.3% Allied Irish Banks 227,520 $ 2,309 CRH 266,857 4,105 CRH Rights, expiration 04/25/01* 67 336 Irish Life & Permanent 7,900 87 ---------- 6,837 ---------- ITALY -- 3.9% Assicurazioni Generali 744,732 23,569 Banca Nazionale Del Lavoro 2,387,020 7,491 Banca Popolare di Milano 136,600 645 ENI-Ente Nazionale Idrocarburi 7,544,011 49,350 Ifil - Finanziaria di Partecipazioni 128,175 812 Italcementi 174,252 1,428 Montedison 655,500 1,525 Olivetti 1,565,200 3,002 Riunione Adriatica di Sicurta 183,100 2,250 Telecom Italia 279,400 1,512 TIM 1,562,618 10,433 ---------- 102,017 ---------- JAPAN -- 22.5% Aderans 24,000 728 Advantest 50,300 5,001 Aiful 91,050 7,985 Aisin Seiki 9,000 133 Amano 204,000 1,530 Aruze 72,700 2,146 Asahi Kasei 503,000 2,183 Autobacs Seven 45,400 1,018 Avex 52,800 3,476 Benesse 12,000 436 Bridgestone 107,000 1,086 Canon 256,000 9,295 Chudenko 123,000 1,472 Chugai Pharmaceutical 577,000 8,757 Chuo Mitsui Trust & Banking 369,000 724 Circle K Japan 65,000 1,867 Credit Saison 114,000 2,411 Daiichi Pharmaceutical 243,000 5,604 Daito Trust Construction 190,000 2,911 Daiwa House Industry 761,887 4,930 Daiwa Securities Group 192,000 1,819 Don Quijote 32,700 2,184 Eisai 59,000 1,469 FamilyMart 66,400 1,027 Fuji Heavy Industries 262,000 1,744 Fuji Machine Manufacturing 14,100 358 Fuji Photo Film 185,000 6,850 Fuji Soft ABC 32,600 1,719 Fuji Television Network 250 1,750 2 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Fujikura 667,000 $ 4,364 Fujitsu 672,000 8,955 Funai Electric 39,400 3,053 Furukawa Electric 881,000 9,139 Futaba 27,000 765 Hirose Electric 76,100 6,983 Hitachi 694,000 5,942 Hitachi Metals 320,000 1,379 Honda Motor 507,000 20,714 Hosiden 175,000 4,399 Hoya 16,800 1,094 Ito-Yokado 39,000 1,892 Itochu 1,659,000 5,891 Jafco 16,900 1,740 Japan Air Lines Company 1,516,000 5,734 Japan Airport Terminal 326,000 3,145 Japan Energy 4,042,000 7,289 JSAT 397 2,851 JSR 292,000 1,636 Jusco 209,000 4,303 Kamigumi 460,000 1,744 KDDI 244 792 Keyence 8,900 1,648 Kokusai Securities 143,000 1,078 Konami 65,000 3,065 Kyocera 56,000 5,090 Mabuchi Motor 55,400 5,371 Marui 92,000 1,270 Matsushita Communication 119,000 7,692 Matsushita Electric Industrial 697,000 12,597 Meitec 33,000 1,172 Mitsubishi Electric 858,000 4,861 Mitsubishi Heavy Industries 1,647,000 6,059 Mitsubishi Motors* 1,199,000 3,320 Mitsui & Co. 300,000 1,599 Mitsui Chemicals 1,037,000 4,361 Mitsui Fudosan 259,000 2,495 Mitsui Marine & Fire Insurance 180,000 978 Mitsui Mining & Smelting 405,000 2,353 Mitsumi Electric 46,000 780 Mizuho Holding 2,330 13,108 Mori Seiki 140,000 1,408 Murata Manufacturing Company 133,700 11,106 Namco 289,200 4,800 NEC 754,000 12,021 Nichicon 290,700 4,106 Nichiei* 265,200 2,137 Nikko Securities 175,000 1,229 Nikon 320,000 3,628 Nintendo 38,400 6,285 Nippon Broadcasting Systems 42,000 1,431 Nippon Foundry* 346 2,512 Nippon Meat Packers 99,000 1,091 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Nippon Sheet Glass 632,000 $ 6,137 Nippon System Development 16,100 859 Nippon Telegraph & Telephone 4,362 27,846 Nippon Television Network 3,840 1,195 Nippon Unipac Holding* 739 3,792 Nissan Motor* 2,462,000 15,520 Nitto Denko 92,000 2,349 Nomura Securities 504,000 9,049 NTT Docomo 1,409 24,510 Obic 6,000 1,108 Osaka Gas 560,000 1,457 Rohm Company 98,200 16,455 Ryohin Keikaku 200,400 4,829 Sanken Electric 229,000 1,078 Sankyo 215,000 4,212 Santen Pharmaceutical 141,000 2,498 Sanwa Bank 593,000 3,237 Secom 53,000 3,003 Sekisui House 219,000 1,763 Sharp 640,000 8,151 Shimachu 57,000 805 Shimamura 400 25 Shin-Etsu Chemical 228,000 7,823 Shindengen Electric 329,000 1,838 Shionogi 289,000 4,451 Shiseido 138,000 1,367 SKY Perfect Communications* 1,925 2,304 Sony 158,400 11,249 Sony Warrants, expiration 12/10/01* 1,100 7 Sumitomo Electric Industries 795,000 9,167 Sumitomo Marine & Fire 635,000 3,836 Sumitomo Mitsui Banking 150,600 1,346 Sumitomo Realty & Developmnt 302,000 1,456 Sumitomo Special Metals 312,000 2,515 Suzuki Motor 92,000 1,014 Taisho Pharmaceutical 73,000 1,558 Taiyo Yuden 86,000 2,162 Takeda Chemical Industries 103,000 4,972 Takefuji 255,500 19,409 TDK 18,100 1,192 Teijin 407,000 1,773 Terumo 91,800 1,465 THK 111,000 2,524 Tokai Rubber Industries 160,000 1,596 Tokio Marine & Fire Insurance 81,000 810 Tokyo Electron 143,200 9,461 Tokyo Seimitsu 86,200 5,228 Tokyo Style 102,000 964 TonenGeneral Sekiyu 681,000 4,374 Toppan Forms 80,200 1,200 Toppan Printing 712,000 5,352 Toray Industries 950,000 3,828 Toshiba 275,000 1,606 3 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Toyo Seikan Kaisha 85,000 $ 1,295 Toyo Trust & Banking 370,000 960 Toyota Motor 23,700 823 Trend Micro* 22,000 936 Ube Industries 1,432,000 2,765 Uni-Charm 22,000 948 Union Tool 21,500 1,115 Ushio 315,000 4,565 Yamanouchi Pharmaceutical 107,000 3,688 Yamatake 171,000 1,405 ---------- 593,293 ---------- MALAYSIA -- 0.0% Westmont Industries* (1) 218,000 -- ---------- MEXICO -- 0.3% America Movil SA de CV 155,100 2,272 Telefonos de Mexico ADR L 155,100 4,892 ---------- 7,164 ---------- NETHERLANDS -- 8.9% ABN Amro Holding 139,080 2,549 Aegon 276,640 8,158 Ahold 444,261 13,816 ASM Lithography Holding* 543,794 12,114 DSM 258,700 9,056 Elsevier 176,600 2,289 European Aeronautic Defense and Space 397,467 7,382 Gucci Group 70,028 5,858 Hagemeyer 110,000 2,331 Heineken 76,500 4,010 Heineken Holding, Class A 89,000 3,517 ING Groep 582,846 38,127 KPNQwest* 139,117 1,441 Philips Electronics 149,993 4,124 Philips Electronics ADR 16,100 430 Royal Dutch Petroleum 139,036 7,742 Royal KPN 2,573,778 25,164 TNT Post Group 1,120,377 23,473 Unilever 265,990 14,132 Vendex KBB 220,100 3,405 VNU 907,888 33,588 Wolters Kluwer 424,911 10,701 ---------- 233,407 ---------- NEW ZEALAND -- 0.4% Baycorp Holdings 83,713 396 Telecom Corporation of New Zealand 3,854,100 8,995 Warehouse Group 134,751 316 ---------- 9,707 ---------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- NORWAY -- 0.4% Norsk Hydro 275,500 $ 11,311 ---------- PORTUGAL -- 0.1% Portugal Telecom ADR 170,000 1,462 ---------- SINGAPORE -- 0.7% Datacraft Asia 228,291 1,109 DBS Group Holdings 250,649 2,263 Fraser & Neave 398,000 1,510 Overseas-Chinese Banking 349,150 2,263 Singapore Airlines 223,000 1,680 Singapore Press Holdings 145,000 1,590 Singapore Technologies Engineering 1,550,000 2,266 Singapore Telecommunications 912,000 960 United Overseas Bank 426,032 2,997 Venture Manufacturing (Singapore) 70,000 492 ---------- 17,130 ---------- SOUTH KOREA -- 1.1% Korea Telecom ADR 287,616 6,678 Pohang Iron & Steel ADR 114,327 2,052 Samsung Electronics GDR 182,520 15,628 SK Telecom ADR 256,087 3,887 ---------- 28,245 ---------- SPAIN -- 2.8% Acerinox 135,000 4,165 Aguas de Barcelona* 84,080 1,171 Aguas de Barcelona (New)* 840 11 Banco Bilbao Vizcaya Argentaria 265,600 3,628 Endesa 120,316 1,991 Grupo Dragados 102,400 1,275 Repsol 1,558,841 27,657 Telefonica 1,991,302 32,038 Telefonica ADR 17,956 860 Uralita 192,184 1,138 ---------- 73,934 ---------- SWEDEN -- 3.3% Assa Abloy, Class B 28,300 384 Atlas Copco 1,064,758 18,005 Electrolux 1,355,706 17,998 Foreningssparbanken 155,300 1,753 Nordea 203,200 1,241 Nordea ADR 2,779,044 16,877 Securitas 1,123,077 18,828 Tele2* 7,160 222 Telefonaktiebolaget LM Ericsson 1,816,038 9,943 Telefonaktiebolaget LM Ericsson ADR 34,000 190 Telia 449,700 2,506 ---------- 87,947 ---------- 4 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- SWITZERLAND -- 6.2% Adecco 29,124 $ 15,321 Baloise Holdings 9,770 9,906 Compagnie Financiere Richemont 2,585 5,839 Credit Suisse Group 45,229 8,005 Holderbank Financiere Glarus, Class B 4,420 4,481 Nestle 4,328 9,070 Novartis 31,072 48,768 Phonak Holding 180 539 Roche Holding 2,361 17,099 Schweizerische Lebensversicherungs und Rentenansta 16,795 11,677 Societe Generale Surveillance Holdings, Class B 269 328 STMicroelectronics 142,450 4,974 Swiss Re 1,977 3,998 Swisscom 6,424 1,452 Syngenta* 384,922 19,848 Syngenta ADR* 1,901 20 UBS 10,350 1,496 ---------- 162,821 ---------- TAIWAN -- 0.4% Taiwan Semiconductor Manufacturing ADR* 414,664 8,086 Taiwan Semiconductor Manufacturing Warrants, expiration 01/28/02* 497,667 1,341 ---------- 9,427 ---------- UNITED KINGDOM -- 19.4% ARM Holdings* 180,000 842 AstraZeneca 629,822 30,086 AstraZeneca (SEK) 201,786 9,601 AstraZeneca ADR 15,300 738 BAE Systems 8,406,430 37,527 Barclays 190,200 5,935 Berkeley Group 50,333 560 BP Amoco 384,200 3,179 British Airways 3,382,795 15,149 British American Tobacco 675,000 4,981 British Telecommunications 2,364,746 17,146 Cable & Wireless 1,774,839 11,986 Centrica 9,294,705 31,318 Colt Telecom Group* 526,179 5,498 Compass Group* 2,870,095 20,484 Diageo 953,546 9,584 Dimension Data Holdings* 405,000 1,635 Dixons Group 19,800 78 Enterprise Oil 433,350 3,487 GKN 204,800 2,104 GlaxoSmithKline* 1,395,582 36,527 Granada 593,830 1,463 - -------------------------------------------------------------------------------- SHARES/FACE MARKET DESCRIPTION AMOUNT (000) VALUE (000) - -------------------------------------------------------------------------------- Halifax Group 430,500 $ 4,394 HSBC Holdings 1,315,241 15,782 Iceland Group 542,800 1,188 Imperial Tobacco Group 116,200 1,120 Kelda Group 239,700 1,189 Lattice Group 594,900 1,157 Lloyds TSB Group 944,742 9,288 National Grid Group 160,500 1,241 Northern Rock 336,220 2,423 Pearson 60,000 1,049 Powergen 250,000 2,541 Prudential 246,000 2,632 Rank Group 452,800 1,180 Reed International 4,837,734 44,912 Rentokil Initial 2,807,762 7,505 Reuters Group 262,400 3,190 Royal Bank of Scotland Group 1,016,689 23,112 Safeway 748,700 3,494 Severn Trent Water 158,510 1,565 Shell Transport & Trading 4,861,998 37,603 Smiths Group 245,640 2,696 Unilever 504,500 3,640 United Utilities 1,630,500 14,187 Vodafone Group 23,376,674 64,143 Wimpey (George) 847,700 2,266 WPP Group 789,700 8,387 ---------- 511,792 ---------- Total Foreign Common Stocks (Cost $2,883,306) 2,602,382 ---------- FOREIGN CONVERTIBLE BONDS -- 0.3% Capcom 1.000%, 09/30/05 JPY 173,000 1,670 Fuji Bank 0.250%, 02/01/02 JPY 222,000 1,412 MBL International Finance 3.000%, 11/30/02 $ 855 866 Sanwa* 1.250%, 08/01/05 JPY 489,000 3,361 TB Finance 0.000%, 10/01/04 JPY 274,000 1,659 ---------- Foreign Convertible Bonds (Cost $11,966) 8,968 ---------- U.S. TREASURY OBLIGATION -- 0.0% U.S. Treasury Bill (2) 4.280%, 08/30/01 $ 300 295 ---------- Total U.S. Treasury Obligation (Cost $293) 295 ---------- 5 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) INTERNATIONAL EQUITY FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) VALUE (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% J.P. Morgan 5.31%, dated 03/30/01, matures 04/02/01, repurchase price $912,137 (collateralized by U.S. Government Agency Instruments: total market value $931,686) $ 911 $ 911 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $494,463 (collateralized by U.S. Government Agency Instruments: total market value $504,877) 494 494 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $3,386,172 (collateralized by U.S. Government Agency Instruments: total market value $3,451,350) 3,383 3,383 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $2,606,441 (collateralized by U.S. Government Agency Instruments: total market value $2,658,338) 2,604 2,604 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $128,040 (collateralized by U.S. Government Agency Instruments: total market value 134,800) 128 128 ---------- Total Repurchase Agreements (Cost $7,520) 7,520 ---------- Total Investments -- 99.4% (Cost $2,903,085) 2,619,165 ---------- Other Assets and Liabilities, Net -- 0.6% 14,836 ---------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION VALUE (000) - -------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 267,991,683 outstanding shares of beneficial interest $3,067,087 Accumulated net investment loss (11,860) Accumulated net realized loss on investments (136,948) Net unrealized depreciation on investments (283,920) Net unrealized appreciation on futures contracts 27 Net unrealized depreciation on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency (385) ---------- Total Net Assets -- 100.0% $2,634,001 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $9.83 ========== * NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT DE -- FRANKFURT EXCHANGE JPY -- JAPANESE YEN SEK -- SWEDISH KRONA (1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (2) SECURITIES 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. 6 EMERGING MARKETS EQUITY FUND - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 86.9% ARGENTINA -- 0.8% Acindar Industria Argentina de Aceros* 113,691 $ 114 Banco Frances ADR 12,170 318 Banco Hipotecario* 311,924 2,340 Grupo Financiero Galacia ADR* 17,111 258 Irsa Inversiones y Representaciones 13,606 200 Quilmes Industrial ADR 234,340 2,186 Siderar S.A., Class A 56,035 146 Telecom Argentina ADR 11,050 172 Telecom Argentina ADR 283,570 4,424 --------- 10,158 --------- BRAZIL -- 5.8% Aracruz Celulose ADR 214,446 2,831 Banco Bradesco ADR 2,040 11 Brasil Telecom Participacoes ADR 56,940 2,229 Cemig ADR* 44,260 556 Centrais Eletricas Brasileiras 106,276,300 2,035 Centrais Eletricas Brasileiras ADR 36,240 346 Cia de Bebidas das Americas ADR* 258,281 6,031 CIA Paranaense DE Energia ADR 218,764 1,816 CIA Saneamento Basico 29,070,000 2,535 CIA Siderurgica Nacional 48,127,306 1,041 CIA Siderurgica Nacional ADR 12,100 263 CIA Vale do Rio Doce ADR 178,055 4,380 Companhia Brasileira de Distribuicao Grupo Pao de Asucar 35,600 1,107 Embratel Participacoes ADR 276,731 2,573 Empresa Bras de Aeronautica ADR 46,900 1,777 Petroleo Brasileiro 92,966 2,209 Petroleo Brasileiro ADR* 534,900 12,731 Petroleo Brasileiro ADR* 215,095 4,678 Tele Celular Sul Participacoes ADR 82,400 1,467 Tele Centro Oeste Celular Participacoes ADR 10,700 87 Tele Leste Celular Participacoes ADR 2,200 80 Tele Nordeste Celular Participacoes ADR 2,100 56 Tele Norte Celular Participacoes ADR 2,050 57 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Tele Norte Leste Participacoes ADR 516,332 $ 8,406 Telemig Celular Participacoes ADR 5,000 200 Telesp Celular Participacoes ADR 178,310 2,641 Ultrapar Participacoes S.A. ADR 225,100 1,981 Uniao de Bancos Brasileiros GDR 78,531 1,602 Vale do Rio Doce, ADR 103,900 2,556 Votorantim Celulose Papel ADR 119,090 1,459 --------- 69,741 --------- CHILE -- 1.8% Banco de A. Edwards ADR* 85,319 1,322 Banco Santander ADR 20,055 323 Banco Santiago ADR* 46,745 949 Cervecerias Unidas ADR 93,803 2,448 CIA Telecomunicacion Chile ADR* 92,300 1,218 Compania Telecomunicaciones de Chile ADR* 399,820 5,278 Cristalerias DE Chile ADR 82,100 1,437 Distribucion Y Servicio D&S ADR 124,723 1,634 Endesa (Chile) ADR* 135,611 1,560 Enersis ADR* 106,148 1,778 Quinenco ADR 526,900 3,504 --------- 21,451 --------- CHINA -- 3.9% Asiainfo Holding 67,200 815 Beijing Datang Power 7,596,000 2,435 China Petroleum & Chemical 6,226,000 982 China Southern Airlines* 9,442,000 2,573 Guangdong Kelon Electric 8,168,000 1,801 Guangshen Railway 31,133,000 4,830 Huaneng Power International 8,255,000 4,445 Jiangxi Copper 8,100,000 893 PetroChina 45,946,600 8,248 PetroChina ADR* 204,500 3,681 Qingling Motors 18,155,000 3,142 Shandong International Power Development 15,036,000 3,007 Shenzhen Expressway 9,624,000 1,604 Travelsky Technology 2,092,000 1,368 Yizheng Chemical Fibre 13,860,400 2,808 Zhejiang Expressway 21,679,000 4,281 --------- 46,913 --------- 7 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- COLOMBIA -- 0.0% Bavaria 23,660 $ 68 --------- CROATIA -- 0.6% Pliva 614,700 6,669 --------- CZECH REPUBLIC -- 0.5% Cesky Telecom* 81,400 760 Cesky Telecom GDR* 54,920 519 Ceske Energeticke Zavo* 436,785 1,133 Komercni Banka* 76,955 1,964 Philip Morris CR 10,000 1,424 --------- 5,800 --------- EGYPT -- 0.9% Commercial International Bank GDR* 377,000 3,214 Misr International Bank 398,100 1,762 Mobinil-Eqyptian Mobile Netork* 25,500 364 Orascom Construction Industries 166,813 1,276 Orascom Telecom GDR* 33,490 106 Paints & Chemical Industry 660,900 843 Suez Cement 371,100 3,145 --------- 10,710 --------- GREECE -- 1.9% Alpha Bank S.A. 212,696 5,520 Coca Cola Hellenic Bottling 52,530 719 Cosmote Mobile Communications 132,900 1,048 Hellenic Telecommunications Organization 372,958 5,005 Hellenic Telecommunications Organization ADR 946,050 6,244 National Bank Of Greece 143,628 4,896 --------- 23,432 --------- HONG KONG -- 4.5% Beijing Enterprises 1,190,000 1,068 Brilliance China Automotive 5,464,000 1,594 China EverbrightLtd. 2,409,000 2,085 China Mobile* 4,836,000 21,268 China Pharmaceutical ENT 18,704,000 2,038 China Resources Beijing Land 9,732,000 2,059 China Unicom* 4,661,000 5,020 China Unicom ADR* 167,000 1,804 Citic Pacific 443,000 1,281 CNOOC 1,814,000 1,605 CNOOC ADR 89,750 1,580 Cosco Pacific 960,000 572 Denway Motors 3,626,000 907 Greencool Tech* 6,900,000 1,734 Hengan International Group Co 8,209,000 1,642 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Legend Holdings 2,976,000 $ 2,022 Mandarin Oriental 2,511,000 1,494 New World China Land 1,074,000 365 New World Infrastructure 1,240,000 819 Shanghai Industrial Holdings 1,795,000 2,923 Yanzhou Coal Mining 1,388,000 529 --------- 54,409 --------- HUNGARY -- 1.3% Egis 30,451 978 Gedeon Richter 38,500 2,009 Matav 450,000 1,288 Matav ADR 258,900 3,777 Mol Magyar Olaj ES Gazipari GDR 131,890 1,860 OTP Bank 18,050 839 OTP Bank GDR 95,220 4,454 Pick Szeged 23,100 357 Pick Szeged GDR 144a (A) 148,000 466 --------- 16,028 --------- INDIA -- 4.4% Bajaj Auto GDR 440,800 2,612 Bses GDR 140,600 1,793 Gas Authority of India GDR 613,000 4,000 Grasim Industries GDR 136,500 904 ICICI Banking ADR* 107,000 770 ICICI Limited ADR 160,300 1,883 Indian Hotels GDR* 144a (A) 406,300 2,666 Infosys Technologies ADR 28,600 1,873 ITC GDR 126,000 2,369 Mahanagar Telephone Nigam GDR 1,281,900 7,595 Mahindra & Mahindra GDR* 775,400 2,016 Ranbaxy Laboratories GDR 91,000 1,338 Reliance Industries GDR 424,400 7,485 SSI GDR* 169,150 262 SSI GDR* 144a (A) 15,200 23 State Bank Of India GDR 674,400 6,204 Tata Engineering & Locomotive GDR 144a (A) 1,365,800 2,219 Videsh Sanchar Nigam ADR 575,536 6,820 --------- 52,832 --------- INDONESIA -- 0.8% Astra International 3,303,000 444 Gudang Garam 1,117,000 1,389 Hanjaya Mandala Sampoerna 1,083,500 1,232 Indah Kiat Pulp & Paper* 27,586,500 768 Indofood Sukses Makmur* 3,950,000 322 8 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Indosat (Persero) ADR 256,900 $ 1,958 Telekomunikasi 10,532,500 2,452 Telekomunikasi ADR 303,800 1,413 --------- 9,978 --------- ISRAEL -- 3.7% AudioCodes 144,900 1,286 Bank Hapoalim 3,678,200 8,911 Bank Leumi Le-Israel* 1,006,900 1,994 Bezeq 2,088,600 2,759 Blue Square-Israel ADR 201,900 2,574 Check Point Software Technologies 307,587 14,610 ECI Telecom 318,630 2,430 Floware Wireless Systems 90,500 447 Nice Systems ADR* 9,760 98 Orbotech* 24,390 758 Partner Communications ADR 99,450 429 RADWARE 57,000 645 Taro Pharmaceuticals Industries 12,000 526 Teva Pharmaceutical Industries 68,680 3,752 Teva Pharmaceutical Industries ADR 75,360 4,117 --------- 45,336 --------- MALAYSIA -- 4.6% Berjaya Sports Toto Berhad 2,593,000 2,388 British American Tobacco Berhad 331,000 3,070 Commerce Asset Holdings 780,000 1,314 Courts Mammoth Berhad 2,090,000 1,567 Digi.Com Berhad 255,000 326 Gamuda Berhad 1,310,000 1,303 Genting Berhad 1,721,000 4,167 IOI Corporation Berhad 4,876,000 3,131 Malayan Banking Berhad 2,731,000 9,055 Malaysian Pacific Industries 315,000 1,020 New Straits Times Press BHD 618,000 491 OYL Industries Berhad 541,000 1,780 Perusahaan Otomobil Nasional 144,000 212 Petronas Dagangan Berhad 343,000 263 Petronas Gas Berhad 1,195,000 2,044 Resorts World Berhad 259,000 399 Sime Darby Berhad 4,212,000 5,010 Telekom Malaysia Berhad 1,692,000 5,210 Tenaga Nasional Berhad 4,174,000 12,961 --------- 55,711 --------- MEXICO -- 12.4% Alfa, Class A 3,440,649 5,149 America Movil 928,600 675 America Movil, Seies L ADR 841,924 12,334 Apasco 496,700 2,720 Carso Global Telecom 595,468 1,066 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Cemex 1,855,243 $ 7,972 Cemex ADR 41,152 885 Coca-Cola Femsa ADR 157,895 3,024 Consorcio ARA* 1,460,300 1,815 Controladora Comercial Mexicana 1,724,200 1,402 Controladora Comercial Mexicana GDR 96,300 1,507 Corporacion Interamericana de Entretenimiento, Class B* 1,750,934 6,616 Desc, Series B 8,452,500 3,917 Empresas ICA Sociedad Controladora* 487,532 225 Empresas ICA Sociedad Controladora ADR* 74,834 207 Fomento Economico Mexicano 1,279,789 4,536 Fomento Economico Mexicano ADR 100,201 3,558 Grupo Aeroportuario de Sureste ADR* 42,900 831 Grupo Aeroportuario de Sureste, Cl B* 850,300 1,585 Grupo Carso* 262,770 622 Grupo Continental S.A. 1,407,400 1,924 Grupo Financiero Banamex Accival 8,782,555 15,262 Grupo Financiero Banorte* 447,027 683 Grupo Financiero BBVA Bancomer* 11,245,210 7,556 Grupo Industrial Bimbo 217,133 312 Grupo Mexico 196,170 593 Grupo Modelo 1,424,400 3,357 Grupo Televisa* 12,200 408 Grupo Televisa GDR* 156,299 5,222 Kimberly-Clark de Mexico, Cl A 2,954,404 8,354 Panamerican Beverages, Cl A 40,932 718 Pepsi-Gemex S.A. 824,700 4,041 Telefonos de Mexico ADR 802,224 25,302 Tubos de Acero de Mexico ADR 89,657 981 TV Azteca ADR 610,600 4,518 Vitro ADR* 101,280 294 Walmart De Mexico Series C* 1,976,305 4,194 Walmart De Mexico Series V* 1,412,344 3,272 Walmart de Mexico ADR* 118,772 2,766 --------- 150,403 --------- PANAMA -- 0.3% Banco Latinoamericano de Exportaciones 116,400 3,584 --------- 9 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- PERU -- 0.1% Buenaventura ADR 52,818 $ 782 Credicorp Ltd. 67,369 546 --------- 1,328 --------- PHILIPPINES -- 1.4% ABS-CBN Broadcasting 740,200 650 Ayala Land 4,025,000 447 Bank of Philippine Islands 1,276,318 1,791 First Philippine Holdings 704,600 295 La Tondena Distillers 1,955,600 1,185 Manila Electric, Cl B 4,155,700 4,321 Metropolitan Bank & Trust 85,800 378 Philippine Long Distance Telephone 69,500 1,003 Philippine Long Distance Telephone ADR 232,350 3,334 SM Prime Holdings 23,835,600 2,984 Universal Robina 4,903,400 446 --------- 16,834 --------- POLAND -- 1.6% Bank Polska Kasa Opieki Grupa Pekao* 126,695 2,014 Elektrim* 434,450 2,901 Kghm Polska Meidz GDR 42,500 427 KGHM Polska Miedz* 482,250 2,442 Polski Koncern Naftowy GDR 313,300 2,765 Polski Koncern Naftowy Orlen 134,000 600 Powszechny Bank Kredytowy GDR* 91,070 2,391 Telekomunikacja Polska 326,200 1,747 Telekomunikacja Polska GDR 852,840 4,605 --------- 19,892 --------- RUSSIA -- 2.9% Gazprom ADR 344,220 2,194 Lukoil-Holdings ADR 271,640 10,105 Mobile Telesystems ADR* 170,507 4,433 Mosenergo ADR 289,400 967 Norilsk Nickel 257,100 3,227 Rostlecom ADR 22,770 105 Surgutneftegaz ADR 608,490 6,496 Surgutneftegaz ADR 26,500 283 Unified Energy Systems ADR 143,500 1,435 Unified Energy Systems GDR 531,210 5,312 Vimpel Communications ADR 23,400 321 --------- 34,878 --------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- SINGAPORE -- 0.3% Datacraft Asia* 747,760 $ 3,634 Golden Agri-Resources* 9,941,000 496 --------- 4,130 --------- SOUTH AFRICA -- 7.8% ABSA Group 2,678,650 10,735 African Bank Investments* 4,321,120 4,105 Anglo American Platinum 299,970 10,036 Barloworld 404,200 2,685 BOE 2,315,500 1,217 Comparex Holdings* 1,096,800 1,369 De Beers Consolidated Mines 170,690 6,499 Edgars Consolidated Stores 448,600 1,179 FirstRand 3,884,000 3,588 Foschini 2,126,617 1,314 Gold Fields 79,400 309 Illovo Sugar 2,587,100 1,486 Impala Platinum Holdings 112,300 3,996 Imperial Holdings* 4 -- Ixchange Technology Holdings* 1,408,030 290 Metro Cash & Carry 29,434,476 4,373 MGX Holdings 204,698 194 Murray & Roberts Holdings* 2,783,800 1,720 Nampak 2,552,200 3,441 Naspers 448,100 1,502 Pretoria Portland Cement 194,300 1,613 Profurn 13,835,660 2,625 Remgro* 390,208 2,290 Sage Group 808,200 1,004 Sanlam 4,213,840 4,787 Sappi 707,650 5,566 Sasol 1,175,460 9,671 Standard Bank Investment 167 1 Steinhoff International Holdings 1,306,300 995 Super Group 1,792,900 1,679 Tiger Brands 394,600 2,586 Venfin 390,208 831 Woolworths Holdings 2,705,600 1,064 --------- 94,750 --------- SOUTH KOREA -- 10.9% Cheil Communications 11,260 696 Cheil Jedang 72,200 1,871 H&CB 293,608 4,677 H&CB ADR 328,396 2,545 Hana Bank 65,400 297 Hite Brewery Co Ltd 31,680 1,047 Hyundai Electronics* 257,200 610 Hyundai Motor 392,000 5,066 Kookmin Bank 791,250 8,085 Kookmin Bank GDR 81,400 844 Kookmin Credit Card Company Ltd 27,890 624 10 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Korea Electric Power 469,190 $ 7,121 Korea Electric Power ADR 804,650 6,542 Korea Fine Chemical 98,810 1,537 Korea Telecom 116,170 4,896 Korea Telecom ADR 29,800 692 LG Electronics 86,700 804 LG Home Shopping 60,232 1,661 Pohang Iron & Steel 120,440 8,144 Pohang Iron & Steel ADR 143,800 2,581 Samsung 637,000 2,738 Samsung Electronics 230,450 36,013 Samsung Fire & Marine 185,290 4,274 Samsung Heavy Industries 630,590 2,828 Samsung SDI 9,550 387 Samsung Securities 74,290 1,674 Shinhan Bank 265,530 2,125 Shinsegae Department Store 48,391 2,483 SK Corporation 529,080 4,889 SK Telecom 50,550 6,950 SK Telecom ADR 465,090 7,060 --------- 131,761 --------- TAIWAN -- 10.1% Accton Technology GDR* 664,000 2,407 Acer 5,774,000 4,272 Acer GDR 180,550 668 Ambit Microsystems 211,000 1,189 Asustek Computer 582,000 3,013 Asustek Computer GDR 868,050 4,492 Bank Sinopac* 5,923,900 2,976 Cathay Life Insurance 608,000 1,027 Chang WA Commercial Bank 1,284,000 751 China Development Industrial Bank 2,178,000 2,235 China Steel 2,693,000 1,599 China Steel GDR* 289,200 3,413 Chinatrust Commercial Bank* 4,505,280 3,580 Compal Electronics* 395,500 3,757 Compal Electronics 1,975,000 3,428 D-Link 859,300 1,531 D-Link GDR 295,400 2,659 Delta Electronic Industrial 1,418,750 4,968 Eva Airways 5,606,000 2,176 Evergreen Marine 1,666,000 999 Far Eastern Textile 153,251 1,096 Fubon Insurance 1,231,000 1,128 Fubon Insurance GDR 535,300 5,005 HON HAI Precision Industry 891,000 5,453 HON HAI Precision Industry GDR* 173,800 2,485 Macronix International* 1,337,000 2,117 Macronix International ADR* 64,500 1,032 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- NAN YA Plastic 1,522,600 $ 1,808 Powerchip Semiconductor GDR* 1 -- President Chain Store 731,000 2,070 Quanta Computer 747,000 2,684 Realtek Semiconductor 181,000 1,003 Ritek 460,900 2,316 Silicon Integrated Systems 556,000 1,067 Siliconware Preccision ADR* 723,100 2,892 Standard Foods Taiwan 911,757 1,710 Sunplus Technology 301,000 1,595 Sunplus Technology GDR 229,860 2,494 Synnex Technology International 128,000 275 Synnex Technology International GDR* 48,580 418 Systex 280,550 1,743 Taiwan Semiconductor Manufacturing* 2,897,000 7,806 Taiwan Semiconductor Manufacturing ADR* 355,500 6,932 United Microelectronics* 5,980,660 9,651 United Microelectronics ADR* 195,150 1,827 Via Technologies 107,000 1,150 Winbond Electronics* 1,411,000 1,766 Yageo* 787,000 1,210 --------- 121,873 --------- THAILAND -- 1.3% Advanced Info Service 372,100 3,523 Bangkok Bank 648,300 666 Hana Microelectronics 545,100 787 National Finance 2,085,200 334 National Petrochemical 509,500 294 PTT Exploration & Production Public 524,100 1,165 Saha Union 4,552,900 1,062 Shin Corporations* 91,200 332 Siam Cement* 47,500 388 Siam Makro 889,900 1,236 Telecomasia Corporation* 936,000 395 Thai Farmers Bank* 9,778,700 5,053 --------- 15,235 --------- TURKEY -- 1.3% Akcimento Ticaret 244,261,000 1,126 Aksigorta 42,000,000 387 Anadolu Efes Biracilik Ve Malt Sanayii AS* 26,502,481 793 Dogan Yayin Holding* 159,876,446 391 Hurriyet Gazeteci* 487,359,910 1,146 Migros Turk TAS 17,277,000 1,198 Tupras Turkiye Petrol Rafine 71,190,300 1,776 Turk Ekonomi Bankasi GDR* 425,000 1,040 Turkcell Iletisim Hizmet AS ADR* 285,401 893 11 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) EMERGING MARKETS EQUITY FUND--CONCLUDED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Turkiye Garanti Bankasi* 261,261,700 $ 757 Turkiye IS Bankasi 259,909,900 2,321 Uzel Makina Sanayii ADR 357,200 330 Vestel Elektronik Sanayi* 490,270,500 1,199 Yapi VE Kredi Bankasi 954,636,535 2,676 --------- 16,033 --------- UNITED KINGDOM -- 0.8% Dimension Data Holdings* 1,682,589 6,827 South African Breweries 530,900 3,449 --------- 10,276 --------- UNITED STATES -- 0.0% StarMedia Network* 30,600 92 --------- VENEZUELA -- 0.2% Compania Anonima Nacional Telefonos de Venezuela 100,970 1,964 --------- Total Foreign Common Stocks (Cost $1,106,109) 1,052,269 --------- FOREIGN PREFERRED STOCKS -- 4.0% BRAZIL -- 3.7% Banco Bradesco 479,018,908 2,582 Banco Itau S.A. 68,704,020 5,327 Brasil Telecom Participacoes 89,220,297 698 Brasil Telecom 379,883,566 2,174 Celular CRT Participacoes* 7,788,123 3,270 Cemig 347,580,175 4,395 Centrais Eletricas Brasileiras 245,834,076 4,537 Centrais Eletricas Brasileiras ADR* 57,200 521 Cia de Bebidas das Americas* 4,518,500 1,053 Cia Paranaense DE Energia 96,841,969 787 Cia Vale do Rio Doce 237,529 5,809 Cia Vale do Rio Doce Unconverted Participants 8,352 -- Duratex 6,000,000 152 Embratel Participacoes 133,383,200 1,249 Gerdau S.A. 177,791,000 1,559 Itausa - Investimentos 1,326,252 1,065 Itausa - Investimentos Rights, expiration 04/10/01* 40,185 4 Tele Leste Celular Participacoes* 804,564,653 579 Tele Nordeste Celular Participacoes 73,505,800 99 Tele Norte Celular Participacoes 678,550,400 376 Tele Norte Leste Participacoes* 58,665,077 948 Telecomunicacoes Brasileiras 136,570 6,603 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Telesp Celular Participacoes 66,768,692 $ 391 Usinas Sider de Minas Gerais 130,656 518 --------- 44,696 --------- RUSSIA -- 0.1% Lukoil-Holding ADR 10,300 205 Surgutneftegaz 76,900 807 --------- 1,012 --------- THAILAND -- 0.2% Siam Commercial Bank* 3,995,100 2,109 --------- Total Foreign Preferred Stocks (Cost $46,418) 47,817 --------- EQUITY LINKED WARRANTS (B) -- 5.5% INDIA -- 4.0% Dr. Reddy's Laboratories* 120,550 3,229 HDFC Bank* 176,217 870 Hero Honda Motors* 955,960 2,881 Hindustan Lever* 2,509,660 11,788 Infosys Technologies* 39,485 3,462 ICICI* 79,950 284 ITC* 160,980 2,815 Larsen & Toubro* 601,560 2,859 Nestle India* 313,830 3,411 Ranbaxy Laboratories* 219,600 2,721 Reliance Industries* 661,697 5,554 Satyam Computer Services* 918,500 4,614 State Bank of India* 114,200 491 Sun Pharmaceutical Industries* 269,200 3,128 --------- 48,107 --------- TAIWAN -- 1.5% Ambit Microsystems* 74,000 418 Asustek Computer* 324,000 1,682 China Development* 1,177,000 1,211 Compeq Manufacturing* 259,000 981 Delta Electronics* 120,000 421 Formosa Plastic* 545,000 746 Formusa Chemical & Fiber* 893,000 763 Taiwan Semiconductor* 3,229,700 8,727 United Microeletronic* 2,097,300 3,393 --------- 18,342 --------- Total Equity Linked Warrants (Cost $78,144) 66,449 --------- 12 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) VALUE (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.3% J.P. Morgan 5.28%, dated 03/30/01, matures 04/02/01, repurchase price $11,723,029 (collateralized by U.S. Government Agency Instruments: total market value $11,986,690) $11,718 $ 11,718 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $6,027,883 (collateralized by U.S. Government Agency Instruments: total market value $6,147,861) 6,026 6,026 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $4,961,550 (collateralized by U.S. Government Agency Instruments: total market value $5,062,313) 4,960 4,960 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $7,944,482 (collateralized by U.S. Government Agency Instruments: total market value $8,102,467) 7,942 7,942 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $998,312 (collateralized by U.S. Government Agency Instruments: total market value $1,019,706) 998 998 State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $4,330,353 (collateralized by U.S. Government Agency Instruments: total market value $4,418,925) 4,329 4,329 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) VALUE (000) - -------------------------------------------------------------------------------- State Street Bank 3.75%, dated 03/30/01, matures 04/02/01, repurchase price $3,359,049 (collateralized by U.S. Government Agency Instruments: total market value $3,428,956) $3,358 $ 3,358 ---------- Total Repurchase Agreements (Cost $39,331) 39,331 ---------- Total Investments -- 99.7% (Cost $1,270,002) 1,205,866 ---------- Other Assets and Liabilities, Net -- 0.3% 4,196 ---------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 164,749,045 outstanding shares of beneficial interest 1,613,302 Accumulated net investment loss (6,389) Accumulated net realized loss on investments (332,433) Net unrealized depreciation on investments (1) (64,236) Net unrealized depreciation on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency (182) ---------- Total Net Assets -- 100.0% $1,210,062 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $7.35 ========== *NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT GDR -- GLOBAL DEPOSITORY RECEIPT (1) NET OF $99,905 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. (A) SECURITES SOLD WITHIN TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER "ACCREDITED INVESTORS". THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF TRUSTEES. (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. 13 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) INTERNATIONAL FIXED INCOME FUND - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 86.3% BELGIUM -- 3.9% Government of Belgium 7.000%, 05/15/06 46,600 $ 45,582 --------- CANADA -- 3.1% Government of Canada 9.000%, 06/01/25 10,360 9,207 6.000%, 09/01/05 16,220 10,669 5.500%, 06/01/09 25,375 16,234 --------- 36,110 --------- CAYMAN ISLANDS -- 1.7% MBNA Europe (A) 4.887%, 05/19/04 21,860 19,311 --------- DENMARK -- 1.3% Kingdom of Denmark 7.000%, 11/15/07 110,500 14,689 --------- FRANCE -- 4.8% Government of France 5.500%, 10/25/10 59,850 55,436 --------- GERMANY -- 24.9% Bundesobligation 5.000%, 05/20/05 118,618 107,637 Bundesrepublic Deutscheland 6.250%, 01/04/24 30,788 30,347 6.000%, 01/04/07 75,445 72,069 5.250%, 07/04/10 73,380 67,566 Deutsche Ausgleichbk 1.850%, 09/20/10 JPY 1,195,000 10,174 --------- 287,793 --------- GREECE -- 1.9% Hellenic Republic 8.700%, 04/08/05 21,224 21,517 --------- HUNGARY -- 1.5% Government of Hungary 9.250%, 05/12/05 5,443,710 17,659 --------- ITALY -- 3.4% Republic of Italy 4.500%, 07/15/03 28,484 25,363 1.800%, 02/23/10 JPY 1,593,000 13,550 --------- 38,913 --------- JAPAN -- 13.8% Asian Development Bank 3.125%, 06/29/05 675,000 5,988 3.125%, 06/29/05 5,226,000 46,363 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- European Investment Bank 3.000%, 09/20/06 5,686,000 $ 51,361 Japan Bank for International Cooperation 2.875%, 07/28/05 1,600,000 14,102 2.875%, 07/28/05 4,660,000 41,073 --------- 158,887 --------- NETHERLANDS -- 2.8% Kingdom of Netherlands 5.500%, 01/15/28 35,447 31,809 --------- NEW ZEALAND -- 1.1% Government of New Zealand 8.000%, 04/15/04 29,745 12,778 --------- NORWAY -- 1.0% Kingdom of Norway 5.750%, 11/30/04 105,000 11,258 --------- POLAND -- 3.2% Government of Poland 8.500%, 02/12/05 176,497 36,780 --------- SPAIN -- 4.9% Government of Spain 3.250%, 01/31/05 66,625 56,360 --------- SWEDEN -- 1.7% Kingdom of Sweden 10.250%, 05/05/03 60,700 6,612 10.250%, 05/05/03 120,300 13,103 --------- 19,715 --------- UNITED KINGDOM -- 8.0% European Investment Bank 6.000%, 12/07/28 3,630 5,767 United Kingdom Treasury 8.500%, 07/16/07 23,125 39,058 8.000%, 12/07/15 9,225 17,513 7.500%, 12/07/06 18,908 30,242 --------- 92,580 --------- UNITED STATES -- 3.3% Ford Motor Credit 6.125%, 09/19/05 EU 12,260 11,131 KFW International Finance 1.750%, 03/23/10 JPY 3,204,000 27,152 --------- 38,283 --------- Total Foreign Bonds (Cost $1,033,794) 995,460 --------- 14 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 0.2% U.S. Treasury Bill (2) 4.240%, 06/21/01 650 $ 644 U.S. Treasury Inflationary Protection Security 3.375%, 07/15/07 2,005 2,026 U.S. Treasury Note 6.125%, 08/15/29 10 11 ---------- Total U.S. Treasury Obligations (Cost $2,671) 2,681 ---------- TIME DEPOSIT -- 7.3% Banco Commerciale Italiana 0.150%, 06/15/01 JPY 10,604,188 84,617 ---------- Total Time Deposit (Cost $88,298) 84,617 ---------- Total Investments -- 93.8% (Cost $1,124,763) 1,082,758 ---------- Other Assets and Liabilities, Net -- 6.2% 71,167 ---------- Total Net Assets -- 100.0% $1,153,925 ========== (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. EU -- EURO 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 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 86.4% ALGERIA -- 3.9% Morocco R&C Loan FRN, Tranche A 7.563%, 01/01/09 9,700 $ 8,560 Republic of Algeria FRN Tranche 1 Restructured 7.688%, 09/04/06 7,968 6,813 Republic of Algeria FRN Tranche 3 Restructured 7.688%, 03/04/10 4,073 3,259 ---------- 18,632 ---------- ARGENTINA -- 14.6% Government of Argentina 12.125%, 02/25/19 7,500 6,600 12.000%, 02/01/20 4,300 3,612 11.750%, 04/07/09 525 449 11.750%, 06/15/15 16,777 14,051 11.375%, 03/15/10 13,025 10,876 Government of Argentina (B) 0.000%, 04/15/01 420 417 0.000%, 10/15/01 1,958 1,865 0.000%, 10/15/02 2,500 2,113 0.000%, 10/15/03 3,750 2,756 0.000%, 10/15/04 13 8 Government of Argentina Bocon Proveedores 1 FRN 2.670%, 04/01/07 ARS 3,305 2,220 Government of Argentina FRN (A) 11.725%, 04/10/05 17,950 17,165 Government of Argentina Par 6.000%, 03/31/23 2,485 1,621 Government of Argentina Registered 8.750%, 07/10/02 ARS 5,250 4,620 11.750%, 02/12/07 3,500 2,591 ---------- 70,964 ---------- BRAZIL -- 15.7% Government of Brazil 12.250%, 03/06/30 39,230 34,577 11.000%, 08/17/40 53,239 41,393 ---------- 75,970 ---------- 15 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) EMERGING MARKETS DEBT FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- BULGARIA -- 17.2% Republic of Bulgaria Discount, Series A 6.313%, 07/28/24 10,505 $ 7,839 Republic of Bulgaria FLIRB Non-U.S. Global Bearer, Series A 3.042%, 07/28/12 22,200 16,733 Russian Federation 12.750%, 06/24/28 8,800 7,726 10.000%, 06/26/07 15,140 11,891 8.250%, 03/31/10 13,885 9,346 Russian Federation (A) 8.250%, 03/31/10 14,406 9,697 2.500%, 03/31/30 49,036 19,972 ---------- 83,204 ---------- COLOMBIA -- 2.5% Republic of Colombia 11.750%, 02/25/20 8,200 7,544 9.750%, 04/23/09 875 794 8.700%, 02/15/16 4,000 2,900 8.375%, 02/15/27 1,500 1,058 ---------- 12,296 ---------- COSTA RICA -- 1.0% Government of Costa Rica (A) 9.995%, 08/01/20 2,200 2,327 Government of Costa Rica, Series B 6.250%, 05/21/15 2,600 2,366 ---------- 4,693 ---------- CROATIA -- 0.1% Government of Croatia FRN, Series A 6.250%, 07/31/10 432 416 ---------- ECUADOR -- 2.1% Republic of Ecuador (A) 12.000%, 11/15/12 5,000 3,388 4.000%, 08/15/30 7,495 3,077 Republic of Ecuador Registered 4.000%, 08/15/30 8,900 3,653 ---------- 10,118 ---------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- IVORY COAST -- 0.3% Ivory Coast FLIRB (A) (B) 0.000%, 03/29/18 2,500 $ 338 Ivory Coast FLIRB Registered (B) 0.000%, 03/29/18 4,000 560 Ivory Coast PDI (B) 0.000%, 03/29/18 4,988 723 ---------- 1,621 ---------- JAMAICA -- 1.0% Government of Jamaica (A) 12.750%, 09/01/07 2,375 2,500 Government of Jamaica Registered 10.875%, 06/10/05 2,500 2,525 ---------- 5,025 ---------- MEXICO -- 7.8% Government of Mexico Par Recovery Rights* 39,927 479 Petroleos Mexicanos 9.500%, 09/15/27 13,750 13,681 United Mexican States 11.375%, 09/15/16 7,465 8,659 9.875%, 02/01/10 1,000 1,071 9.750%, 04/06/05 175 187 8.125%, 12/31/19 15,125 13,611 ---------- 37,688 ---------- PANAMA -- 2.8% Government of Panama IRB 8.875%, 09/30/27 2,980 2,608 4.750%, 07/17/14 13,200 11,022 ---------- 13,630 ---------- PERU -- 3.9% Republic of Peru FLIRB 4.000%, 03/07/17 24,455 15,162 Republic of Peru PDI 4.500%, 03/07/17 5,290 3,597 ---------- 18,759 ---------- PHILIPPINES -- 2.3% Government of Philippines 9.875%, 01/15/19 13,100 11,004 ---------- 16 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- POLAND -- 0.7% Republic of Poland RSTA 4.250%, 10/27/24 925 $ 735 Telekomunikacja Polska (A) 7.750%, 12/10/08 2,750 2,665 ---------- 3,400 ---------- UNITED STATES -- 2.1% Pemex Project Funding Master Trust 8.500%, 02/15/08 10,250 10,148 ---------- URUGUAY -- 0.4% Republic of Uruguay 8.750%, 06/22/10 1,975 2,113 ---------- VENEZUELA -- 8.0% Government of Venezuela 13.625%, 08/15/18 6,950 6,672 9.250%, 09/15/27 3,362 2,325 6.750%, 03/31/20 13,650 10,459 Government of Venezuela Discount FRB, Series W-B 7.563%, 03/31/20 4,850 3,759 Government of Venezuela Discount, Series A (A) 7.563%, 03/31/20 19,600 15,190 Government of Venezuela NMB, Series A (A) 7.625%, 12/18/05 441 360 Government of Venezuela Par Rights* 232 -- ---------- 38,765 ---------- Total Foreign Bonds (Cost $412,806) 418,446 ---------- U.S. TREASURY OBLIGATION -- 15.3% U.S. Treasury Note 4.250%, 03/31/03 $74,100 74,204 ---------- U.S. Treasury Obligation (Cost $74,216) 74,204 ---------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 1.3% State Street Bank 5.22%, dated 03/30/01, matures 04/02/01, repurchase price $6,430,796 (collateralized by U.S. Government Agency Instruments: total market value $6,565,102) $6,428 $ 6,428 ---------- Total Repurchase Agreement (Cost $6,428) 6,428 ---------- Total Investments -- 103.0% (Cost $493,450) 499,078 ---------- Other Assets and Liabilities, Net -- (3.0%) (14,842) ---------- Total Net Assets -- 100.0% $484,236 ========== * NON-INCOME PRODUCING SECURITY (A) SECURITIES SOLD WITHIN TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER "ACCREDITED INVESTORS". THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF TRUSTEES. (B) ZERO COUPON SECURITY. THE RATE SHOWN IS THE EFFECTIVE YIELD AT TIME OF PURCHASE. ARS -- AREGENTINA PESO 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 (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. 17 STATEMENTS OF ASSETS AND LIABILITIES (000)
- -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2001 (UNAUDITED) --------------- -------------- INTERNATIONAL EMERGING FIXED INCOME MARKETS DEBT FUND FUND --------------- -------------- ASSETS: Investment securities (Cost $1,124,763 and $493,450, respectively) $1,082,758 $499,078 Cash 34,093 -- Foreign currency (Cost $646) 538 -- Interest receivable 24,315 12,198 Receivable for investment securities sold 83,249 85,884 Receivable for shares of beneficial interest sold 12,087 2,396 Unrealized gain on forward foreign currency contracts 6,272 -- Other assets 206 -- ---------- -------- Total Assets 1,243,518 599,556 ---------- -------- LIABILITIES: Payable for investment securities sold 63,866 88,572 Payable for shares of beneficial interest redeemed 16,366 26,128 Payable to affiliates 947 578 Unrealized loss on forward foreign currency contracts 8,200 -- Other liabilities 214 42 ---------- -------- Total Liabilities 89,593 115,320 ---------- -------- Net Assets $1,153,925 $484,236 ========== ======== NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 118,477,660, and 53,298,290 outstanding shares of beneficial interest, respectively $1,262,837 $466,426 Accumulated net investment loss/Undistributed net investment income (54,934) 12,857 Accumulated net realized loss on investments (9,721) (676) Net unrealized depreciation (appreciation) on investments (42,005) 5,628 Net unrealized appreciation on futures contracts 973 -- Net unrealized depreciation (appreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (3,225) 1 ---------- -------- Net Assets $1,153,925 $484,236 ========== ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $ 9.74 $ 9.08 ========== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 18
STATEMENTS OF OPERATIONS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2001 (UNAUDITED) ------------- ----------- ------------- --------- EMERGING INTERNATIONAL EMERGING INTERNATIONAL MARKETS FIXED MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------- ----------- ------------- --------- INVESTMENT INCOME: Dividends $ 15,585 $ 15,120 $ -- $ -- Interest 1,258 1,035 24,046 29,263 Less: Foreign Taxes Withheld (1,255) (1,561) (148) -- --------- --------- -------- ------- Total Investment Income 15,588 14,594 23,898 29,263 --------- --------- -------- ------- EXPENSES: Management fees 6,469 4,195 3,481 1,640 Investment advisory fees 7,260 6,777 867 2,145 Shareholder servicing fees 3,594 1,613 1,445 631 Custodian/wire agent fees 1,013 1,115 282 59 Professional fees 51 23 19 8 Registration & filing fees 175 70 59 19 Printing fees 78 35 30 13 Trustee fees 12 6 5 2 Pricing fees 13 6 5 2 Distribution fees -- -- -- -- Miscellaneous expenses 8 2 3 4 --------- --------- -------- ------- Total Expenses 18,673 13,842 6,196 4,523 --------- --------- -------- ------- Investment advisory fees waived (246) (1,240) -- (631) Shareholder servicing fees waived -- -- (414) (490) --------- --------- -------- ------- Net Expenses 18,427 12,602 5,782 3,402 --------- --------- -------- ------- NET INVESTMENT INCOME (LOSS) (2,839) 1,992 18,116 25,861 --------- --------- -------- ------- Net realized gain (loss) from: Security transactions (94,155) (164,249) 1,619 4,193 Futures contracts (11,095) -- 4,679 -- Net realized loss on forward foreign currency contracts and foreign currency transactions (3,151) (4,613) (48,247) (2) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities in foreign currency (310) (205) 4,333 (2) Net change in unrealized appreciation on futures contracts 3,557 -- 645 -- Net change in unrealized appreciation (depreciation) on investments (440,081) (116,155)* 9,871 (2,907) --------- --------- -------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (545,235) (285,222) (27,100) 1,282 --------- --------- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(548,074) $(283,230) $ (8,984) $27,143 ========= ========= ======== =======
*NET OF $74,157 INCREASE 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. 19 STATEMENTS OF CHANGES IN NET ASSETS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2001 (UNAUDITED) AND THE YEAR ENDED SEPTEMBER 30, 2000
--------------------- ------------------------ INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND --------------------- ------------------------ 2001 2000 2001 2000 ---------- ---------- ---------- ----------- OPERATIONS: Net investment income (loss) $ (2,839) $ 20,526 $ 1,992 $ (5,610) Net realized gain (loss) from investment transactions (105,250) 81,283 (164,249) 49,993 Net realized loss on forward foreign currency contracts and foreign currency transactions (3,151) (2,669) (4,613) (2,471) 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 3,247 (3,903) (205) 421 Net change in unrealized depreciation on investments (440,081) (117,844) (116,155)* (112,010)** ---------- ----------- ---------- ---------- Net decrease in net assets from operations (548,074) (22,607) (283,230) (69,677) ---------- ----------- ---------- ---------- DISTRIBUTIONS FROM: Net investment income: Class A (17,570) (7,033) -- (587) Class D (1) (1) -- -- Net realized gains: Class A (77,419) (36,907) -- -- Class D (9) (8) -- -- ---------- ----------- ---------- ---------- Total distributions (94,999) (43,949) -- (587) ---------- ----------- ---------- ---------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from shares issued 1,661,127 2,554,782 526,806 1,069,751 Reinvestment of cash distributions 88,552 40,706 -- 552 Cost of shares redeemed (1,426,489) (1,419,516) (318,547) (581,917) ---------- ----------- ---------- ---------- Increase in net assets from Class A transactions 323,190 1,175,972 208,259 488,386 ---------- ----------- ---------- ---------- Class D (1): Proceeds from shares issued -- 80 -- -- Reinvestment of cash distributions 10 9 -- -- Cost of shares redeemed (470) (46) -- -- ---------- ----------- ---------- ---------- Increase (decrease) in net assets from Class D transactions (460) 43 -- -- ---------- ----------- ---------- ---------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 322,730 1,176,015 208,259 488,386 ---------- ----------- ---------- ---------- Net increase (decrease) in net assets (320,343) 1,109,459 (74,971) 418,122 NET ASSETS: Beginning of period 2,954,344 1,844,885 1,285,033 866,911 ---------- ----------- ---------- ---------- End of period $2,634,001 $ 2,954,344 $1,210,062 $1,285,033 ========== =========== ========== ========== CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 147,539 189,656 63,916 96,424 Shares issued in lieu of cash distributions 7,734 3,108 -- 48 Shares redeemed (126,925) (105,728) (38,948) (51,686) ---------- ----------- ---------- ---------- Total Class A transactions 28,348 87,036 24,968 44,786 ---------- ----------- ---------- ---------- Class D (1): Shares issued -- 5 -- -- Shares issued in lieu of cash distributions 1 1 -- -- Shares redeemed (40) (3) -- -- ---------- ----------- ---------- ---------- Total Class D transactions (39) 3 -- -- ---------- ----------- ---------- ---------- Net increase in capital shares 28,309 87,039 24,968 44,786 ========== =========== ========== ========== * NET OF $74,157 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAX ON APPRECIATED SECURITIES. ** NET OF $340,171 DECREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. (1) CLASS D SHARES WERE FULLY LIQUIDATED ON JANUARY 31, 2001. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 20 STATEMENTS OF CHANGES IN NET ASSETS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2001 (UNAUDITED) AND THE YEAR ENDED SEPTEMBER 30, 2000
---------------------- ------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ---------------------- ------------------------- 2001 2000 2001 2000 ---------- ---------- ---------- ----------- OPERATIONS: Net investment income $ 18,116 $ 30,510 $ 25,861 $ 42,113 Net realized gain (loss) from investment transactions 6,298 (9,838) 4,193 27,874 Net realized loss on forward foreign currency contracts and foreign currency transactions (48,247) (42,161) (2) -- 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 4,978 (4,616) (2) 3 Net change in unrealized appreciation (depreciation) on investments 9,871 (69,734) (2,907) 19,762 ---------- ---------- -------- -------- Net increase (decrease) in net assets from operations (8,984) (95,839) 27,143 89,752 ---------- ---------- -------- -------- DISTRIBUTIONS FROM: Net investment income: Class A -- (14,878) (47,108) (28,920) Net realized gains: Class A -- -- -- -- ---------- ---------- -------- -------- Total distributions -- (14,878) (47,108) (28,920) ---------- ---------- -------- -------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from shares issued 214,210 613,573 78,454 216,289 Reinvestment of cash distributions -- 14,289 46,341 28,405 Cost of shares redeemed (156,885) (221,001) (111,148) (98,965) ---------- ---------- -------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 57,325 406,861 13,647 145,729 ---------- ---------- -------- -------- Net increase (decrease) in net assets 48,341 296,144 (6,318) 206,561 NET ASSETS: Beginning of period 1,105,584 809,440 490,554 283,993 ---------- ---------- -------- -------- End of period $1,153,925 $1,105,584 $484,236 $490,554 ========== ========== ======== ======== CAPITAL SHARE TRANSACTIONS: Class A: Shares issued 21,562 59,171 8,525 24,257 Shares issued in lieu of cash distributions -- 1,332 5,340 3,386 Shares redeemed (15,772) (21,231) (12,125) (11,114) ---------- ---------- -------- -------- Net increase in capital shares 5,790 39,272 1,740 16,529 ========== ========== ======== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 21 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET NET REALIZED DISTRIBUTIONS NET NET RATIO OF ASSET NET AND DISTRIBUTIONS FROM ASSET ASSETS RATIO NET INVESTMENT VALUE INVESTMENT UNREALIZED FROM NET REALIZED VALUE END OF EXPENSES INCOME/(LOSS) BEGINNING INCOME GAINS/ INVESTMENT CAPITAL END TOTAL OF PERIOD TO AVERAGE TO AVERAGE OF PERIOD (LOSS) (LOSSES) INCOME GAINS OF PERIOD RETURN+ (000) NET ASSETS NET ASSETS - ------------------------------------------------------------------------------------------------------------------------------- - ------------------------- INTERNATIONAL EQUITY FUND - ------------------------- CLASS A 2001* $12.33 $(0.01) $(2.11) $(0.07) $(0.31) $ 9.83 (17.60)% $2,634,001 1.28% (0.20)% 2000 12.09 0.08 0.43 (0.04) (0.23) 12.33 4.15 2,953,872 1.29++ 0.79 1999(1) 9.16 0.04 3.34 (0.10) (0.35) 12.09 37.86 1,844,459 1.28 0.39 1998(1)(2) 10.15 0.07 (1.06) -- -- 9.16 (9.75) 966,707 1.24 1.60 1998(1) 9.67 0.17 0.77 (0.18) (0.28) 10.15 10.21 851,542 1.21 1.31 1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 524,062 1.28 1.11 1996 9.59 0.14 1.45 (0.19) (0.99) 10.00 17.30 347,646 1.25 1.29 - ---------------------------- EMERGING MARKETS EQUITY FUND - ---------------------------- CLASS A 2001* $ 9.19 $ 0.03 $(1.87) $ -- $ -- $ 7.35 (20.02)% $1,210,062 1.95% 0.31% 2000(1) 9.13 (0.05) 0.12 (0.01) -- 9.19 0.71 1,285,033 1.96 (0.46) 1999 6.17 (0.03) 3.00 (0.01) -- 9.13 48.23 866,911 1.95 (0.35) 1998(2) 10.55 0.07 (4.45) -- -- 6.17 (41.52) 498,470 1.95 1.51 1998 12.87 (0.03) (2.25) (0.03) (0.01) 10.55 (17.72) 509,748 1.95 (0.12) 1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 221,474 1.95 (0.04) 1996 10.27 (0.02) 0.72 -- (0.04) 10.93 6.83 67,181 1.95 (0.23) - ------------------------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- CLASS A 2001* $ 9.81 $ 0.14 $(0.21) $ -- $ -- $ 9.74 (0.71)% $1,153,925 1.00% 3.13% 2000 11.03 0.31 (1.35) (0.18) -- 9.81 (9.58) 1,105,584 1.00 3.17 1999 11.89 0.30 (0.42) (0.53) (0.21) 11.03 (1.36) 809,440 1.00 2.97 1998(2) 10.68 0.40 0.81 -- -- 11.89 11.33 533,800 1.00 3.61 1998 10.53 0.23 0.11 (0.10) (0.09) 10.68 3.23 408,974 1.00 3.92 1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 204,219 1.00 3.99 1996 10.42 0.58 0.89 (1.02) (0.10) 10.77 13.96 84,318 1.00 4.70 - -------------------------- EMERGING MARKETS DEBT FUND - -------------------------- CLASS A 2001* $ 9.51 $ 0.47 $(0.01) $(0.89) $ -- $ 9.08 5.27% $ 484,236 1.35% 10.24% 2000 8.11 0.84 1.33 (0.77) -- 9.51 28.07 490,554 1.35 10.67 1999 6.83 0.84 1.19 (0.75) -- 8.11 31.15 283,993 1.35 12.27 1998(2) 10.31 (0.11) (3.37) -- -- 6.83 (33.75) 162,938 1.35 10.28 1998(3) 10.00 0.56 -- (0.25) -- 10.31 5.64 154,284 1.35 8.05
RATIO OF RATIO OF NET INVESTMENT EXPENSES INCOME/(LOSS) TO AVERAGE TO AVERAGE NET ASSETS NET ASSETS PORTFOLIO (EXCLUDING (EXCLUDING TURNOVER WAIVERS) WAIVERS) RATE - -------------------------------------------- - ------------------------- INTERNATIONAL EQUITY FUND - ------------------------- CLASS A 2001* 1.30% (0.22)% 42% 2000 1.30 0.78 73 1999(1) 1.31 0.36 61 1998(1)(2) 1.31 1.53 66 1998(1) 1.30 1.22 75 1997 1.42 0.97 117 1996 1.29 1.25 102 - ---------------------------- EMERGING MARKETS EQUITY FUND - ---------------------------- CLASS A 2001* 2.14% 0.12% 72% 2000(1) 2.12 (0.62) 110 1999 2.14 (0.54) 129 1998(2) 2.24 1.22 46 1998 2.36 (0.53) 76 1997 2.55 (0.64) 100 1996 2.72 (1.00) 104 - ------------------------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- CLASS A 2001* 1.07% 3.06% 75% 2000 1.11 3.06 190 1999 1.22 2.75 278 1998(2) 1.21 3.40 112 1998 1.24 3.68 280 1997 1.39 3.60 352 1996 1.27 4.43 269 - -------------------------- EMERGING MARKETS DEBT FUND - -------------------------- CLASS A 2001* 1.79% 9.80% 74% 2000 1.80 10.22 227 1999 1.82 11.80 184 1998(2) 1.84 9.79 186 1998(3) 1.94 7.46 269 * FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2001 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. + RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. ++ THE RATIO OF EXPENSES TO AVERAGE NET ASSETS, EXCLUDING INTEREST EXPENSE, IS 1.28% FOR THE YEAR ENDED SEPTEMBER 30, 2000. (1) PER SHARE NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAINS/(LOSSES) CALCULATED USING AVERAGE SHARES. (2) FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. PRIOR TO SEPTEMBER 30, 1998, THE FISCAL YEAR END OF THE TRUST WAS FEBRUARY 28 OR 29. (3) THE EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) 1. ORGANIZATION SEI Institutional International Trust, (the "Trust"), was organized as a Massachusetts business trust under a Declaration of Trust dated June 30, 1988. The operations of the Trust commenced on December 20, 1989. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with four funds: the International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund (together the "Funds"). The Trust's prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The Trust is registered to offer Class A shares of each of the Funds. Effective January 31, 2001 the Class D shares of the International Equity Fund were fully liquidated. 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 accounting principles generally accepted in the United States. The preparation of financial statements in conformity with accounting principles generally accepted in the United States 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. 23 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) For foreign equity securities, the Funds do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations for Federal income tax purposes. The Funds report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The aggregate principal amounts of the contracts are not recorded as the Funds do not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Fund and the International Fixed Income Fund utilized futures contracts during the period ended March 31, 2001. 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. 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. 24 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 accounting principles generally accepted in the United States. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital in the period that the difference arises. 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. ACCOUNTING STANDARDS ISSUED BUT NOT YET IMPLEMENTED -- In November 2000, a revised AICPA Audit and Accounting Guide, AUDITS Of INVESTMENT COMPANIES, was issued, and is effective for fiscal years beginning after December 15, 2000. The Trust expects that the impact of the implementation of the new audit guide will not be material to the financial statements. 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. SIMC has entered into investment sub-advisory agreements with the following parties: INVESTMENT DATE OF SUB-ADVISER AGREEMENT - -------------- ----------- INTERNATIONAL EQUITY FUND Acadian Asset Management, Inc. 03/25/96 BlackRock International, Ltd. 12/13/99 Capital Guardian Trust Company 06/29/98 Jardine Fleming International Management, Inc. 10/11/00 Martin Currie, Inc. 09/28/00 Oechsle International Advisors, LLC 06/22/99 EMERGING MARKETS EQUITY FUND Morgan Stanley Dean Witter Investment Management, Inc. 09/15/98 Nicholas-Applegate Capital Management, Inc. 09/10/98 Schroder Investment Management North America, Inc. 04/04/00 SG Pacific Asset Management, Inc. and SGY Asset Management (Singapore) Ltd. 03/23/98 The Boston Company Asset Management 09/18/00 EMERGING MARKETS DEBT FUND Salomon Brothers Asset Management, Inc. 06/30/97 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 25 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) 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. For the period ended January 31, 2001, the Distributor was taking a fee under the Class D Plan of .25% of the average daily net assets attributable to Class D shares. Effective January 31, 2001, the Class D shares were fully liquidated. 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 incurred transfer agency fees of up to .15% of the average daily net assets. Class D shares were 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 affiliated Officers and Trustees is paid by the manager. For the six month period ended March 31, 2001, the Funds paid commissions of $642,888 to affiliated broker-dealers. The International Equity and Emerging Markets 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 six month period ended March 31, 2001 were $11,105 and $6,135, 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 March 31, 2001: IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - ------------------- --------------- -------- ------------- INTERNATIONAL FIXED INCOME FUND - ------------------------------- FOREIGN CURRENCY PURCHASES: 05/23/01 CH 78,668,885 $ 46,175,227 $ (472,556) 05/23/01 EU 297,411,998 825,436,421 (3,466,547) 05/23/01 JY 17,984,999,220 147,665,771 (3,112,311) 05/23/01 UK 83,892,838 120,035,922 (882,930) -------------- ----------- $1,139,313,341 $(7,934,344) -------------- ----------- FOREIGN CURRENCY SALES: 05/23/01 CD 52,882,537 $ 33,797,526 $ 195,426 05/23/01 CH 73,533,629 43,065,366 346,021 05/23/01 DK 1,548,111 186,316 3,065 04/04/01 EU 3,876,844 3,401,930 (25,193) 05/23/01 EU 191,116,084 171,164,817 2,194,637 04/04/01 JY 1,746,778,986 13,889,782 (51,010) 05/23/01 JY 19,280,466,795 157,046,225 2,080,514 05/23/01 NZ 33,016,843 13,720,810 401,595 05/23/01 SK 358,854,049 35,103,125 261,286 04/04/01 UK 697,651 990,525 (1,303) 05/23/01 UK 94,084,389 134,230,228 602,175 -------------- ----------- $ 606,596,650 $ 6,007,213 -------------- ----------- $(1,927,131) =========== 26 CURRENCY LEGEND CD Canadian Dollar JY Japanese Yen CH Swiss Franc SK Swedish Krona DK Danish Kroner UK British Pound Sterling EU Euro Currency 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 six month period ended March 31, 2001, were as follows: PURCHASES SALES (000) (000) ---------- ---------- International Equity Fund $1,564,463 $1,165,850 Emerging Markets Equity Fund 1,083,915 867,967 International Fixed Income Fund 909,982 645,586 Emerging Markets Debt Fund 306,928 235,477 The International Fixed Income Fund purchased (in thousands) $26,316 and sold $27,525 in U.S. government securities, during the six month period ended March 31, 2001. For Federal income tax purposes, the cost of securities owned at March 31, 2001 and the net realized gains or losses on securities sold for the six month period then ended was not materially different from the amounts reported for financial reporting purposes as shown below. The aggregate gross unrealized appreciation and depreciation at March 31, 2001 for the Funds is as follows: NET APPRE- DEPRE- UNREALIZED CIATED CIATED APPRECIATION/ SECURITIES SECURITIES (DEPRECIATION) (000) (000) (000) ---------- ---------- -------------- International Equity Fund $138,683 $(422,603) $(283,920) Emerging Markets Equity Fund 99,446 (163,682) (64,236)* International Fixed Income Fund 8,772 (50,777) (42,005) Emerging Markets Debt Fund 15,420 (9,792) 5,628 *Net of $99,905 in accrued foreign capital gains tax on appreciated securities. 6. FUTURES CONTRACTS The following Funds had futures contracts open as of March 31, 2001: CONTRACT NUMBER OF MARKET SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS VALUE MONTH GAIN/(LOSS) - ------------ --------- ------ ---------- ---------- INTERNATIONAL EQUITY FUND - ------------------------- DJ Euro Stoxx 51 $ 1,863,773 June 2001 $ 3,742 FT-SE 100 Index 13 1,042,760 June 2001 7,661 SPI 200 Index 5 194,404 June 2001 (501) Topix 9 914,220 June 2001 15,661 -------- $ 26,563 ======== INTERNATIONAL FIXED INCOME FUND - ------------------------------- Japan 10 Year Bond 79 $87,629,987 June 2001 $972,841 ======== 7. INVESTMENT 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 27 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2001 (UNAUDITED) 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. 9. OTHER On March 31, 2001, one shareholder held approximately 89%, 86%, 88%, and 87% 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. 28 SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT March 31, 2001 Robert A. Nesher CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER James R. Foggo CONTROLLER AND CHIEF FINANCIAL OFFICER Lydia Gavalis VICE PRESIDENT, ASSISTANT SECRETARY Cynthia M. Parrish VICE PRESIDENT, ASSISTANT SECRETARY Todd Cipperman VICE PRESIDENT, ASSISTANT SECRETARY Robert S. Ludwig VICE PRESIDENT, ASSISTANT SECRETARY Timothy D. Barto VICE PRESIDENT, ASSISTANT SECRETARY Sherry K. Vetterlein VICE PRESIDENT, ASSISTANT SECRETARY William E. Zitelli VICE PRESIDENT, ASSISTANT SECRETARY Christine McCullough VICE PRESIDENT, ASSISTANT SECRETARY Richard W. Grant SECRETARY INVESTMENT ADVISORS SEI Investments Management Corporation Strategic Fixed Income LLC MANAGER AND SHAREHOLDER SERVICING AGENT SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP This semi-annual report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. SEI Investments Distribution Co., the Distributor of the SEI Funds, is not affiliated with any bank. FOR MORE INFORMATION CALL 1 800 DIAL SEI 1 800 342 5734 SEI INVESTMENTS SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI / 1 800 342 5734 SEI-F-031 (03/01) -----END PRIVACY-ENHANCED MESSAGE-----