-----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, U8C0xyvL+MPUKd2JZWkimeZhAOC+38WNp+Ivr9x86piV9pLhuhyqyOyYcmX+pU7+ bDuzf5g3Yv7CQzN0kVWRVQ== 0000935069-01-500682.txt : 20020412 0000935069-01-500682.hdr.sgml : 20020412 ACCESSION NUMBER: 0000935069-01-500682 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010930 FILED AS OF DATE: 20011203 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: 1940 Act SEC FILE NUMBER: 811-05601 FILM NUMBER: 1804874 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 1: SEI INTERNATIONAL TRUST 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 siit930.txt SEI INSTITUTIONAL INT'L TRUST ANNUAL 9/30/01 SEI INVESTMENTS Annual Report as of September 30, 2001 SEI Institutional International Trust International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS - -------------------------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 - -------------------------------------------------------------------------------- Report of Independent Public Accountants 9 - -------------------------------------------------------------------------------- Schedules of Investments 10 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities 26 - -------------------------------------------------------------------------------- Statements of Operations 27 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets 28 - -------------------------------------------------------------------------------- Financial Highlights 30 - -------------------------------------------------------------------------------- Notes to Financial Statements 31 - -------------------------------------------------------------------------------- Notice to Shareholders 37 - -------------------------------------------------------------------------------- MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 International Equity Fund Objective The International Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of foreign issuers. Strategy The International Equity Fund invests primarily in common stocks and other equity securities of foreign companies. The Fund primarily invests in companies located in developed countries, but may also invest in companies located in emerging markets. The Fund uses a multi-manager approach, relying upon a number of Sub-Advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). The Fund is diversified as to issuers, market capitalization, industry and country. Analysis Equities already lost considerable ground during the year ended September 30, 2001 when the terrorist attacks shocked the world, causing a further sell-off in global equity markets that was swift and severe. Overall, the non-U.S. developed equity markets collectively lost more than 28% in U.S. dollar terms during the period. All 21 equity markets included in the index, as well as 22 of the 23 industry groups, posted negative results. Only the food, beverage and tobacco industry squeezed out a single-digit positive return. Growth stocks fell further than value stocks by a large margin. In general, cash was king. Traditional defensive sectors, such as consumer staples and health care, performed relatively better than the battered areas of technology and telecommunications where earnings shortfalls and downward guidance on future growth dominated. Fund performance was weak, both in absolute terms and relative to the benchmark. Despite positive stock selection, the Fund's overweight position to the information technology and telecom services sectors detracted from performance. Country selection -- albeit a fallout from stock picking -- was a contributor, but not enough to overcome the negative forces. Driven by a quest for stable earners, the Fund's better performers included British American Tobacco, Unilever, pharmaceutical and healthcare-related companies Altana, Welfide, and Sanofi-Synthelabo, as well as UK insurer Royal & Sun Alliance, Japanese real estate developer Sumitomo Realty and Development and telecom operator Swisscom. The Fund's value-oriented managers outpaced the MSCI EAFE index over the period. Strong stock selection was mainly generated in the autos, banking, media and energy industries. Holdings such as French carmaker Peugeot, Eni in Italy, Royal Bank of Scotland, Honda Motor and Canon added significant value. The portfolio also benefited from stock selection in France, Canada, Germany, Italy and the United Kingdom. The focus in these markets were energy, industrials and utilities. The growth managers' exposure to growth-oriented stocks such as Vodafone, NTTDoCoMo, Ericsson, Fujitsu, Nortel Networks and Mediaset detracted from performance during the global sell-off. For example, share prices of semiconductor companies were battered by sluggish orders and stalled deliveries. During the period, many surmised that excess inventories were close to a bottom and that demand would soon return. By the end of the period, however, recovery expectations were pushed out further. Interestingly, after weakening through most of the period, telecom services' stocks rebounded following the terrorist attacks. Low valuations in light of currently low interest rates may have helped. We remain confident in our managers' abilities as their growth orientation has proven over time to add significant value. At a time when all three major economic regions were weak, the recent attacks raise new doubts about the near-term recoveries that were beginning to be expected in the United States and Europe. We had a major de-rating in stocks, and the equity markets must adjust to the prospect of a more pronounced downtown. Our managers continue to examine companies in light of further economic slowdown anticipated by the recent events. They believe that the short-term impact of the combination of more negative growth, more positive liquidity, a weaker U.S. dollar and equity weakness has already led to more attractive valuations -- which should present investment opportunity going forward. The Fund is positioned to capitalize on restructuring efforts in globally competitive sectors. Our managers continue to believe that it will be - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 International Equity Fund (Concluded) those companies with executable business models that will excel despite their industry or country of domicile. Exposure to high-quality telecom and technology shares is fueled by our managers' view of the industries' long-term growth potential. Within the telecom sector, several of our managers favor the wireless companies over the incumbent carriers given the long-term thesis of wireless as a business. Fund holdings are focused on well-capitalized companies with strong management teams and solid strategies. The Fund is positioned to take advantage of many of the trends that likely will drive returns in the future. However, it is doing so in a risk controlled manner. The Fund was structured with six specialist investment managers, each investing within a specific area of the market and with a unique investment process. The Fund's structure guarantees that it will remain well diversified, with no single region, country, industry or stock dominating. International Equity Fund AVERAGE ANNUAL TOTAL RETURN(1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Return Return Return Return - -------------------------------------------------------------------------------- Class A -30.85% -0.23% 0.04% 3.73% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI International Equity Fund versus the Morgan Stanley MSCI EAFE Index [LINE GRAPH OMITTED] SEI International Equity Fund Morgan Stanley MSCI EAFE Index 9/30/91 100,000 100,000 9/30/92 98,050 92,880 9/30/93 118,278 117,354 9/30/94 125,753 128,902 9/30/95 131,085 136,378 9/30/96 143,997 148,134 9/30/97 159,203 166,191 9/30/98 145,272 152,331 9/30/99 200,273 199,477 9/30/00 208,584 205,820 9/30/01 144,236 146,853 (1) For the period ended September 30, 2001. Past performance is no indication of future performance. Class D Shares were offered beginning on May 1, 1994. The Performance shown for the Class D Shares prior to such date is synthetic performance derived from the performance of Class A Shares adjusted to reflect the maximum sales charge of 5.0% for the Class D Shares. Class A Shares were offered beginning December 30, 1989. - -------------------------------------------------------------------------------- (2) SEI Institutional International Trust / Annual Report / September 30, 2001 Emerging Markets Equity Fund Objective The Emerging Markets Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of emerging market issuers. Strategy The Emerging Markets Equity Fund invests primarily in common stocks and other equity securities of foreign companies located in emerging market countries. The Fund uses a multi-manager approach, relying upon a number of Sub-Advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investment Management Corporation ("SIMC"). The Fund is diversified as to issuers, market capitalization, industry and country. Analysis For the year ending September 30, 2001, Emerging Equity Markets returned -33.2% as measured by the MSCI Emerging Markets Free Index. The Emerging Markets Equity Fund declined 33.8%. In a period of increasing risk aversion and downward earning revisions, the Global Emerging Growth manager was responsible for most of the negative performance. The GARP (growth at a reasonable price) manager also suffered in this volatile environment as some of its higher beta holdings in the technology and telecom sectors underperformed. On the positive side, some of the regional specialists and the Global Emerging Value manager provided most of the support, in part benefiting from their style, but also demonstrating superior stock selection across markets and industries. The year ending September 30, 2001 has been characterized by a market environment in which the global economy continued to decelerate, earning expectations continued to fall, and a series of liquidity driven mini rallies failed to materialize. Sentiment for the asset class worsened on the back of the unresolved financial crisis in Turkey and Argentina that commenced in January 2001. There was no place to hide in emerging markets, although some countries provided some partial shelter. Among the larger markets, Mexico and South Africa outperformed the index. On the other hand, Brazil and Taiwan suffered the most. Investors lost confidence in Brazil as the government was forced to increase interest rates in order to reduce the pressure on its currency due to spill over effects of the Argentine crisis. The Taiwanese equity market, heavily weighted in electronic exporters, suffered on declining demand from OECD countries. Israel and Turkey were the worst performing markets, driven by the sharp decline in technology stocks in the first case, and the financial crisis and devaluation in the case of Turkey. Some smaller markets in Asia provided support to the index. In the case of Malaysia, Thailand, and Indonesia, stock prices were driven by domestic investors, as most international investors avoided these countries due to a recent history of devaluation, social and political unrest, and capital controls and government intervention. The country allocation policy has been positive for the portfolio. The managers added value by overweighting some markets such as Mexico and Russia, and by underweighting Taiwan and Israel. Avoiding Argentina and reducing the allocation to Turkey after the devaluation proved to be beneficial for the portfolio. On an industry basis, the global sell off in technology, media, and telecom stocks that commenced in March 2000, extended into 2001 as earnings continued to be revised downward. Within those industries, software was the worst performing industry, followed by media, hardware, and telecom. This weakness broadened into other industries, leaving no segment of the market with positive returns for the period. Defensive segments of the market were able to provide some support. Pharmaceutical, food & beverage, retail, energy, and resource stocks were among the winners during this period. The effects of industry allocation were negative for the portfolio. On the negative side, the Fund remained overweight to telecom, media, and hardware stocks, and underweight to food & beverage, and resource stocks throughout the year. Balancing some of the negatives, the Fund was initially overweight to software stocks until the managers timely reduced those positions as visibility in earnings deteriorated towards the end of 2000. Finally, the overweight to energy and pharmaceutical stocks contributed positively to the portfolio. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 Emerging Markets Equity Fund (Concluded) Security selection was strong in many countries and across industries. Stocks that did well were leveraged to domestic growth and somewhat isolated from the uncertain global economic environment. Cash generating businesses with healthy balance sheets did particularly well as risk aversion and declining markets made raising capital difficult for emerging markets companies. Some examples of these themes could be found in countries like China, India, or South Africa, and in industries such as banks, material, pharmaceutical, and telecom. Stock selection was particularly weak within the technology sector in Korea and Taiwan. The managers in the Fund maintained their bets on blue chip companies such as Taiwan Semiconductor and Samsung Electronics, confident that those strong franchises would benefit in the long term from industry consolidation and pick up in global demand. Emerging Markets Equity Fund AVERAGE ANNUAL TOTAL RETURN(1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Class A -33.84% -0.41% -11.93% -6.99% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI Emerging Markets Equity Fund, versus the IFC Investable Composite Index [LINE GRAPH OMITTED] SEI Emerging Markets Morgan Stanley MSCI Emerging IFC Investible Equity Fund Markets Free Index Composite Index 1/31/95 10,000 10,000 10,000 9/30/95 10,651 10,755 10,669 9/30/96 11,464 11,316 11,592 9/30/97 12,662 12,060 12,207 9/30/98 6,150 6,295 6,496 9/30/99 9,116 9,853 10,171 9/30/00 9,181 9,893 10,102 9/30/01 6,075 6,613 6,866 1 For the period ended September 30, 2001. Past performance is no indication of future performance. Class A Shares were offered beginning January 17, 1995. - -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Annual Report / September 30, 2001 International Fixed Income Fund Objective The International Fixed Income Fund seeks to provide capital appreciation and current income through investments in fixed income securities of non-U.S. issuers. The Fund also seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their Funds. The Fund invests primarily in investment-grade, non-U.S. dollar denominated government obligations. Although there are no restrictions on the Fund's overall duration, under normal conditions it is expected to range between four and six years. Strategy Fund construction entails a two-stage process which combines fundamental macroeconomic analysis and technical price analysis. First, a fundamental judgment is made about the direction of a market's interest rates and its currency. A technical price overlay is then applied to the fundamental position to ensure that the Fund is not substantially overweighted in a declining market or underweighted in a rising one. Country and currency allocations are made separately. As a result, the Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund will generally be diversified across 6 to 12 countries with continual exposure to the three major trading blocs: North America, Europe, and the Pacific Basin. Depending upon the relative fundamental and technical views, each trading bloc is over or underweighted relative to the Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. Analysis For the fiscal year ended September 30, 2001, the International Fixed Income Fund returned 3.16% to underperform the Salomon Brothers Non-U.S. World Government Bond Index return of 4.56%. During the last quarter of 2000, the Fund's overweight to the euro, an overweight to Greek bonds, and an underweight to Japanese bonds all served to enhance relative returns. Positioning in the British pound throughout the period held back relative returns. The euro's prospects finally turned when a string of weaker economic reports in the U.S. brought into question the assumption that the U.S. would grow faster than Europe. In addition, the NASDAQ fell more than 32% during the last quarter of the calendar year, slowing demand for U.S. assets and the dollars needed to purchase them. The Japanese yen weakened considerably during the last two months of 2000 as disappointing economic and business survey reports were released towards the end of the year coupled with large announced bankruptcies sapped investor confidence in the country. The dive in the Japanese stock market also dissuaded foreign investment and demand for yen. The Fund's underweight to the yen paid off when the yen depreciated at the end of the year. Japanese bonds ended the year lower due to the hike in overnight interest rates and plans by the Japanese government to increase issuance of short-term debt while reducing its monthly purchases of yen-denominated government securities. An underweight to Japanese bonds enhanced relative returns. Over 2001 the euro fell over the first half of the year before benefited from U.S. dollar weakness from June onwards as the U.S. economy slowed considerably. A string of weak manufacturing and employment reports in the U.S. dampened investor confidence and demand for U.S. dollars. Euro-denominated bonds struggled early in the period despite a 25 basis-point cut in interest rates by the European Central Bank ("ECB") in May. Higher than expected inflation and money growth reports convinced investors that the ECB would refrain from further reductions. However, euro bond markets rallied through the summer as slumping equity markets attracted investors looking for safety. In addition, moderating European inflation and weakening manufacturing reports convinced the ECB to trim another 25 basis points from the overnight rate to 4.25% in August. The ECB eased another 50 basis points in September in response to the events of September 11. The Fund's euro positioning detracted from performance over the period. Over the period British bonds also benefited from safe-haven equity flows. In Eastern Europe, Hungarian bonds and its currency rallied as the country initiated pro-market reforms for its currency and bonds, including allowing foreigners to purchase Hungarian government bonds with less than one year to maturity and trade the currency in derivatives. Polish bonds rallied, but the currency fell relative to the euro as nervousness from Argentina's debt troubles spilled over into - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 International Fixed Income Fund (Concluded) Poland. In addition, Poland's deteriorating budget deficit caused concern. This detracted from performance over the last quarter. The Japanese yen also weakened over the first half of the year before benefiting from U.S. dollar weakness from June onwards. The Japanese economy continued to remain weak, which softened yen mid-period. However, new accounting rules that require Japanese firms to value their investments at the 30th September half fiscal year encouraged Japanese exporting firms to repatriate foreign assets and create yen demand towards the end of August. Japanese bonds registered small gains during the period, but underperformed most other developed bond markets. As the global slowdown progressed during the period, the government hinted that it would increase spending in order to stimulate the economy. Investors questioned whether there would be enough demand to soak up the new bond supply to pay for increased spending. International Fixed Income Fund AVERAGE ANNUAL TOTAL RETURN(1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Class A 3.16% -2.74% 0.92% 4.00% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI International Fixed Income Fund, versus the Salomon WGBI, Non-U.S. [LINE GRAPH OMITTED] SEI International Fixed Income Fund, Class A Salomon WGBI, Non-U.S. 9/30/93 10,000 10,000 9/30/94 10,333 10,557 9/30/95 12,385 12,434 9/30/96 12,822 12,936 9/30/97 12,971 12,826 9/30/98 14,589 14,154 9/30/99 14,390 14,368 9/30/00 13,012 13,238 9/30/01 13,423 13,828 1 For the period ended September 30, 2001. Past performance is no indication of future performance. Class A Shares were offered beginning September 1, 1993. - -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Annual Report / September 30, 2001 Emerging Markets Debt Fund Objective The Emerging Markets Debt Fund seeks to maximize total return from a portfolio consisting of primarily high yield, below-investment grade fixed income securities from emerging markets of foreign countries. The Fund also seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their portfolios. Under normal circumstances, the Fund is anticipated to be invested primarily in U.S. dollar-denominated emerging debt. Strategy Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 10-15 countries. The next step in the process determines relative value amongst sectors within a country, and security selection within the sectors. The final step incorporates a disciplined sell process through continual risk/ reward analysis across, and within, emerging debt countries. U.S. interest-rate risk relative to the benchmark is controlled through the maintenance of a tightly constrained U.S. Treasury duration. Excess return is captured through active management of the sovereign spread component relative to the benchmark. Analysis The Emerging Markets Debt Fund returned 4.69% on a net basis for the fiscal year ended September 30, 2001, outperforming the J.P. Morgan Emerging Markets Bond Index Plus return of 1.77%. The Fund's underweights to Argentina and Turkey along with overweights to Mexico and Russia enhanced performance during the fiscal year. The Fund's underweights to South Korea, Qatar and Poland detracted from returns. Emerging markets debt turned in a volatile year as a slowing U.S. economy, the U.S. Federal Reserve's cut of interest rates by 400bps, a drastic slide in the U.S. equity markets, high oil prices, along with fiscal/political problems in Argentina and Turkey kept investors attention. A steady climb in oil prices was viewed as favorable by investors as oil-exporting countries benefited, and were able to increase reserves. Russia, Venezuela, Algeria, Qatar and Mexico were among some of the emerging countries that reaped the benefit of escalating oil prices. Fiscal crises in Argentina and Turkey, with spillover into Brazil lead those countries to be the only negative performing countries in the marketplace. A rapidly declining U.S. equity market caused some investors to take less risky positions, either moving into higher quality EMD countries or moving money out of EMD completely, thus dropping prices. Emerging market spreads widened 377 basis points from the previous period, and ended the year at 1009 basis points over comparable U.S. Treasuries. In the wake of the market's spread widening, the Fund's overall longer spread duration detracted from return. By far, the events in Argentina consumed investor's attention during the year. The country experienced a 'roller coaster' of performance during the past year as political, fiscal and economic uncertainty led to increased volatility in the country's bond prices. Argentina is in the midst of a 4-year recession coinciding with an increasing load of debt and in the past year has attempted to come up with different measures to pull itself out of the recession and ease the debt burden on the slowing economy. The country was granted an IMF loan during the year and also completed several bond swaps to stretch out payments to give the country time to begin growing again. Bonds began a precipitous decline in June 2001 as investors speculated that the measures implemented by the country would not be enough to protect the country from a debt default or devaluation of the Peso. Argentina was able to attain further IMF financing to assist in getting through the immediate crisis, however investors were not completely confident that it was over. These concerns forced Argentine bonds down 21% during the fiscal year and the Fund's substantial underweight to the country greatly enhanced relative performance. Mexico was one of the top performing countries in Latin America during the period returning in excess of 10%. Concern regarding the situation in Argentina, coupled with a greatly enhanced fiscal situation allowed investors to move assets out of riskier countries and into the higher credit quality Mexican bonds. Speculation that S&P would further raise Mexico's debt rating to investment grade fueled investor's - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 Emerging Markets Debt Fund (Concluded) confidence in the country's bonds. Mexico has shown excellent ability in spurring economic growth coupled with strong desire to cut costs, which are key points looked at by rating agencies. A slow down in the U.S. economy did adversely affect the growth in the Mexican economy somewhat, however the country's ability to cut costs and implement tax reforms is allowing the country to buy back bonds, thus lessening debt servicing costs. The Fund is overweight in Mexico, which benefited returns. In Europe, Turkey experienced a turbulent year as it too has encountered political, fiscal and economic uncertainty, and bonds declined 2.4% during the fiscal year. Concerns in Turkey arose over the country's banking system and overall liquidity. As a result of these concerns, investors withdrew significant and excessive funds from the country. In early December, the IMF came to the country's aid with a loan package totaling $7.5bn. Turkey will use those funds to implement an economic reform program targeted at restoring the country's banking system and reducing inflation. The IMF package stabilized Turkey's bond prices, however the similarity of Turkey's situation to Argentina added volatility as Argentina had its problems during the year. The strongest performing country in Emerging Markets Debt Fund during the fiscal year was Russia, which returned over 29%. Improving fundamentals and successful reforms enacted by President Putin continued to support bond prices and narrow spreads. The country was also able to reach a settlement with the Paris Club creditors, which increased the amount of debt owed in 2001 by $4 billion. This settlement was taken well by investors, as the country had no problem meeting that amount of increased debt payment. High oil prices and Russia's ability to increase reserves and collect revenues aided the country's returns. The Fund's overweight to Russia was a large positive contributor to performance for the fiscal year. Amid the volatile market environment, higher quality countries performed very strongly as investors moved assets in a `flight to quality'. Poland, Qatar and South Korea all performed strongly during the year due to their higher quality stature. The Fund is underweight in all three countries which detracted from performance. Given the outlook that fundamentals will continue to improve for most emerging market debt countries, and that increased demand for emerging market debt will be sustained, the Fund will continue to maintain a slightly longer spread duration and invest in those countries that exhibit the ability to service their debt. Emerging Markets Debt Fund AVERAGE ANNUAL TOTAL RETURN(1) - -------------------------------------------------------------------------------- Annualized Annualized One Year 3 Year Inception Return Return to Date - -------------------------------------------------------------------------------- Class A 4.69% 20.70% 4.99% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Plus Index [LINE GRAPH OMITTED] SEI Emerging Markets Debt Fund J.P. Morgan EMBI + Index 6/30/97 10,000 10,000 9/30/97 10,620 10,691 9/30/98 6,998 7,986 9/30/99 9,178 9,823 9/30/00 11,755 12,576 9/30/01 12,202 12,799 1 For the period ended September 30, 2001. Past performance is no indication of future performance. Class A Shares were offered beginning June 29, 1997. - -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Annual Report / September 30, 2001 SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2001 Report of Independent Public Accountants To the Board of Trustees and Shareholders of SEI Institutional International Trust In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the International Equity, Emerging Markets Equity, International Fixed Income and Emerging Markets Debt Funds (constituting the SEI Institutional International Trust, hereafter referred to as the "Trust") at September 30, 2001, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2001 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November XX, 2001 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 9 SCHEDULE OF INVESTMENTS International Equity Fund - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCK -- 97.4% AUSTRALIA -- 2.6% AMP 120,780 $ 1,081 Aristocrat Leisure 214,672 670 Australia and New Zealand Banking Group 485,648 3,830 BHP Billiton ADR 3,054,144 12,932 Brambles Industries 282,304 1,429 Broken Hill Proprietary ADR 56,377 485 Cochlear 12,497 287 Commonwealth Bank of Australia 106,886 1,377 Computershare 201,205 441 CSL 55,495 1,231 Foster's Brewing Group 1,244,809 3,065 Lang 83,259 439 Lion Nathan 166,683 410 Macquarie Bank 86,172 1,531 Macquarie Infrastructure Group 324,866 545 Mayne Nickless 75,888 265 National Australia Bank 342,481 4,337 News Corporation 570,043 3,488 Qantas Airways 227,802 348 QBE Insurance Group 561,161 1,592 Rio Tinto 93,804 1,447 Southcorp 154,346 575 Telstra Corporation 2,632,689 6,808 Wesfarmers 38,118 558 Westfield Holdings 32,052 260 Westpac Banking 817,046 5,359 WMC 934,933 3,645 Woodside Petroleum 90,200 615 Woolworths 499,078 2,919 --------- 61,969 --------- BELGIUM -- 0.8% Fortis (B) 736,417 18,000 --------- CANADA -- 0.8% Abitibi-Consolidated 185,600 1,174 Alcan Aluminum 4,600 138 ATI Technologies* 171,899 1,351 Bank of Nova Scotia 32,258 947 Bombardier 222,600 1,636 Bombardier, Series B 40,800 300 CAE 24,366 150 Magna International, Series A 63,900 3,365 Nortel Networks 261,010 1,462 Nortel Networks (NY Shares) 473,900 2,659 Pancanadian Petroleum* 44,828 1,070 Telus 161,395 1,834 Thomson 113,900 3,263 Toronto-Dominion Bank 2,500 61 --------- 19,410 --------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- DENMARK -- 0.0% Danisco A/S 34,585 $ 1,220 --------- FINLAND -- 1.4% Nokia 1,493,726 24,418 Nokia ADR 14,200 222 Stora Enso Oyj 696,992 7,776 UPM-Kymmene 46,200 1,317 --------- 33,733 --------- FRANCE -- 9.0% Accor 176,141 5,005 Air Liquide 14,000 1,963 Alstom 332,468 5,081 Aventis 327,589 24,851 Aventis (Frankfurt Shares) 303,094 22,910 Bouygues 185,360 4,784 Carrefour Supermarche 440,694 21,231 Castorama Dubois Investissements 372,874 17,318 Cie de Saint-Gobain 52,502 7,220 Compagnie Generale D'Industrielle Et De Participation 11,057 288 European Aeronautic Defense and Space 502,922 5,427 Groupe Danone 82,688 10,768 LVMH Moet Hennessy Louis Vuitton 52,000 1,653 Michelin (C.G.D.E.), Class B 52,900 1,395 Pechiney 59,600 2,253 Peugeot 28,200 1,050 Sanofi-Synthelabo 272,332 17,733 Schneider Electric 29,500 1,075 Societe BIC 40,800 1,256 Societe Television Francaise 1 130,000 2,486 Suez Lyonnaise des Eaux STRIP VVPR* 11,000 -- TotalFinaElf 256,446 34,448 Usinor 122,354 981 Valeo 398,299 12,569 Vivendi Universal 160,474 7,431 --------- 211,176 --------- GERMANY -- 5.9% Aixtron 45,400 752 Allianz 35,275 7,999 Bayer 170,948 4,842 Bayerische Motoren Werke 75,100 1,912 DaimlerChrysler 237,395 7,048 Deutsche Bank 33,300 1,815 Deutsche Telekom 1,478,921 23,018 E.ON 518,090 26,611 Epcos 31,800 1,043 Infineon Technologies 100,786 1,235 Infineon Technologies ADR 24,800 307 - -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Metro 117,200 $ 3,842 Muenchener Rueckversicherungs 155,767 40,429 Sap 148,610 15,740 Siemens 81,085 3,057 --------- 139,650 --------- GREECE -- 0.1% Coca Cola Hellenic Bottling* 78,859 985 Hellenic Telecommunications Organization* 31,400 509 --------- 1,494 --------- HONG KONG -- 2.6% Amoy Properties 1,100,000 1,065 Cathay Pacific Airways 261,000 224 Cheung Kong 798,000 6,216 China Mobile* 2,756,500 8,765 China Unicom* 3,736,000 4,024 CLP Holdings 1,098,700 4,226 CNOOC 479,500 480 Dah Sing Financial 140,800 626 Denway Motors* 2,528,000 673 Esprit Holdings 528,329 501 Giordano International 1,120,000 506 Hang Seng Bank 246,400 2,551 Henderson Investment 1,476,000 1,107 Hong Kong & China Gas 1,254,700 1,568 Hong Kong Electric Holdings 381,500 1,467 Hong Kong Land Holdings 927,531 1,484 Huaneng Power International 1,262,000 716 Hutchison Whampoa 1,103,400 8,205 Johnson ElectricHoldings 1,983,000 1,805 Legend Holdings 1,510,000 586 Li & Fung 2,310,000 2,192 Peregrine Investments* (1) 526,000 -- PetroChina 1,476,000 282 Shangri-La Asia 2,000,000 1,077 South China Morning Post 518,000 249 Sun Hung Kai Properties 1,166,800 7,435 Swire Pacific 545,000 2,051 Television Broadcasts 56,000 152 Wheelock & Co. 855,000 586 Wing Hang Bank 135,000 422 --------- 61,241 --------- IRELAND -- 0.3% Allied Irish Banks 277,520 2,495 CRH 283,771 4,212 Irish Life & Permanent 117,700 1,158 --------- 7,865 --------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ITALY -- 2.6% Assicurazioni Generali* 149,500 $ 4,017 Banca Nazionale Del Lavoro* 2,136,445 4,533 Eni-Ente Nazionale Idrocarburi* 1,862,131 23,114 Fiat 375,748 6,570 Ifil - Finanziaria di Partecipazioni 121,059 611 IntesaBci* 2,769,353 6,847 Italcementi 94,401 647 Olivetti 143,100 141 Telecom Italia* 1,548,687 6,572 TIM 1,497,190 7,347 --------- 60,399 --------- JAPAN -- 21.0% Acom 21,600 1,906 Aderans 29,000 1,095 Advantest 47,100 1,997 Aiful 67,100 5,633 Aisin Seiki 85,000 1,102 Amano 212,000 1,175 Aruze 32,500 878 Asahi Glass 444,000 2,374 Asahi Kasei 585,000 1,964 Asatsu-DK 76,000 1,786 Autobacs Seven 34,912 908 Avex 21,000 776 Avex (When Issued Shares)* 9,500 335 Benesse 12,000 368 Bridgestone 120,000 837 Canon 749,683 20,578 Chudenko 123,000 1,905 Chugai Pharmaceutical 246,000 3,826 Circle K Japan 88,800 2,549 Credit Saison 144,000 3,107 Daiichi Pharmaceutical 73,428 1,541 Daiwa House Industry 236,000 1,724 Daiwa Securities Group 1,053,000 7,301 Denso 117,000 1,670 Don Quijote 57,000 2,866 FamilyMart 94,000 1,823 Fuji Heavy Industries 381,000 1,753 Fuji Photo Film 399,000 13,732 Fujikura 198,000 932 Fujisawa Pharmaceutical 76,000 1,732 Fujitsu 653,000 5,476 Funai Electric 3,200 180 Goodwill Group 129 341 Heiwa Real Estate 110,500 259 Hirose Electric 80,100 5,043 Hitachi 920,000 6,124 Hitachi Metals 448,000 1,241 Honda Motor 141,900 4,610 Hosiden 148,000 2,165 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 11 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hoya 29,800 $ 1,551 Ito-Yokado 23,000 1,021 Itochu 1,940,000 4,869 Jafco 27,200 1,496 Japan Air Lines 482,000 1,133 Japan Airport Terminal 225,000 1,700 Japan Energy 1,086,000 1,595 Japan Tobacco 824 5,990 JSR 245,000 1,522 Jusco 182,000 3,651 Kamigumi 506,000 2,175 Kao 61,000 1,503 KDDI 137 375 Keyence 20,700 2,780 Kirin Brewery 230,000 1,757 Kokusai Securities 200,000 1,125 Konami 76,000 1,847 Kyocera 68,700 4,487 Lawson 85,000 3,353 Mabuchi Motor 29,000 2,373 Marui 104,000 1,425 Matsushita Communication 57,000 1,569 Matsushita Electric Industrial 415,000 5,086 Matsushita Electric Works 32,000 258 Meitec 44,000 1,145 Mitsibushi Pharma 104,000 1,240 Mitsubishi Electric 870,000 3,067 Mitsubishi Estate 489,000 4,852 Mitsubishi Heavy Industries 994,000 3,446 Mitsubishi Motors* 1,052,000 1,766 Mitsui Chemicals 377,000 1,104 Mitsui Fudosan 537,000 6,130 Mitsui Marine & Fire Insurance 1,024,190 5,752 Mitsui Mining & Smelting 225,000 586 Mizuho Holding 2,085 8,051 Mori Seiki 159,000 1,108 Murata Manufacturing* 139,000 7,969 Namco 127,000 1,919 NEC 495,000 4,043 NGK Spark Plug 202,000 1,446 Nichicon 166,300 1,904 Nikko Securities 175,000 930 Nikon 221,000 1,549 Nintendo 71,100 10,212 Nippon Broadcasting Systems 48,000 1,503 Nippon Sheet Glass 934,000 3,512 Nippon System Development 34,600 1,557 Nippon Telegraph & Telephone 3,605 16,825 Nippon Television Network 3,360 771 Nissan Motor 3,032,000 12,649 Nitto Denko 117,000 1,748 Nomura Securities 748,000 9,776 NTT Docomo 1,645 22,232 Obic 6,400 1,187 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Osaka Gas 670,000 $ 2,160 Pioneer 191,300 3,846 Promise 45,800 3,076 Ricoh 74,000 1,114 Rohm 179,720 17,500 Sanken Electric 198,000 927 Sankyo 471,100 8,324 Santen Pharmaceutical 148,000 2,559 Secom 67,000 3,453 Sekisui House 710,000 5,632 Sharp 697,000 6,260 Shimachu 62,000 952 Shimamura 2,500 151 Shin-Etsu Chemical 149,500 4,204 Shionogi 261,000 4,908 Shiseido 200,000 1,723 SMC 19,200 1,513 Sony 303,100 11,169 Sony ADR 4,200 139 Sony Warrants, expiration 12/10/01* 1,100 -- Sumitomo 358,000 1,923 Sumitomo Electric Industries 503,000 4,505 Sumitomo Mitsui Banking 150,000 1,075 Sumitomo Realty & Developmnt 307,000 2,144 Sumitomo Special Metals 62,000 354 Suzuki Motor 201,000 1,949 Taisho Pharmaceutical 90,000 1,519 Taiyo Yuden 65,000 805 Takeda Chemical Industries 63,000 2,909 Takefuji 162,930 12,856 TDK 60,200 2,527 Teijin 764,000 3,296 Terumo 130,800 2,119 THK 111,000 1,118 Tokai Rubber Industries 269,000 1,998 Tokio Marine & Fire Insurance 171,000 1,578 Tokyo Electric Power 12,000 299 Tokyo Electron 129,800 4,554 Tokyo Gas 1,384,000 4,554 Tokyo Style 109,000 1,042 TonenGeneral Sekiyu 193,000 1,497 Toppan Forms 95,200 1,962 Toppan Printing 451,398 4,263 Toray Industries 689,000 1,862 Toyo Engineering* 1,557,000 2,209 Toyo Seikan Kaisha 208,000 2,820 Toyota Motor 278,800 7,161 Trend Micro* 30,000 515 UFJ Holdings* 407 2,023 Ushio 406,000 5,211 Yamanouchi Pharmaceutical 705,000 18,937 Yamatake 231,000 1,629 Yokogawa Electric 104,000 753 --------- 493,808 --------- - -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MALAYSIA -- 0.0% Westmont Industries* (1) 218,000 $ -- --------- MEXICO -- 0.4% America Movil SA de CV 155,100 2,300 America Movil, Series L ADR* 51,000 756 Telefonos de Mexico ADR* 15,000 484 Telefonos de Mexico ADR L 174,900 5,648 --------- 9,188 --------- NETHERLANDS -- 8.5% ABN Amro Holding 236,912 3,907 Aegon 361,141 9,446 Ahold 491,541 13,653 Akzo Nobel 588,532 24,006 ASM Lithography Holding* 188,100 2,093 CSM 124,524 2,523 Fortis 146,860 3,587 Hagemeyer 110,000 1,466 Heineken 136,625 5,179 Heineken Holding, Cl A 111,250 3,121 ING Groep 1,189,024 31,868 Philips Electronics 615,842 11,946 Philips Electronics ADR 16,100 311 Royal Dutch Petroleum 356,203 17,913 Royal KPN* 818,121 2,235 TNT Post Group 1,159,976 22,174 Unilever 203,194 10,992 VNU 912,016 25,706 Wolters Kluwer 406,070 9,001 --------- 201,127 --------- NEW ZEALAND -- 0.3% Baycorp Holdings 99,513 445 Fisher & Paykel Industries 57,100 289 Fletcher Building 288,688 306 Telecom Corporation of New Zealand 3,747,703 6,723 Warehouse Group 218,451 533 --------- 8,296 --------- NORWAY -- 0.8% Norsk Hydro 26,300 965 Statoil ASA* 2,643,404 17,584 --------- 18,549 --------- PORTUGAL -- 0.3% Electricidade De Portugal 1,990,473 5,148 Portugal Telecom ADR 173,400 1,245 --------- 6,393 --------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SINGAPORE -- 1.1% City Developments 215,000 $ 509 Datacraft Asia* 158,051 518 DBS Group Holdings 192,649 1,053 Fraser & Neave 289,000 1,178 Overseas-Chinese Banking 189,150 1,012 Parkway Holdings Ltd. 1,189,000 653 Singapore Airlines 240,000 1,087 Singapore Press Holdings 145,000 1,297 Singapore Technologies Engineering 2,133,000 2,632 Singapore Telecommunications 5,488,000 5,624 Singapore Telecommunications CDR* 656,000 664 Singapore Telecommunications (When Issued Shares)* (1) 92,000 94 United Overseas Bank 1,468,380 7,980 Venture Manufacturing (Singapore) 126,000 624 --------- 24,925 --------- SOUTH KOREA -- 0.8% Korea Telecom ADR 255,902 4,680 Pohang Iron & Steel ADR 102,326 1,607 Samsung Electronics GDR 212,030 12,488 --------- 18,775 --------- SPAIN -- 1.3% Banco Bilbao Vizcaya Argentaria 265,600 2,733 Iberdrola 323,979 4,411 Inditex* 140,200 2,362 Telefonica* 1,773,266 19,605 Telefonica ADR* 17,956 610 Uralita* 96,510 458 --------- 30,179 --------- SWEDEN -- 2.7% Assa Abloy, Class B 161,400 1,815 Atlas Copco 896,517 15,631 Foreningssparbanken 728,296 7,646 Nordea 611,566 2,981 Nordea ADR 2,882,661 14,176 Securitas 1,172,079 18,898 Telefonaktiebolaget LM Ericsson 504,900 1,827 Telefonaktiebolaget LM Ericsson ADR 34,000 119 --------- 63,093 --------- SWITZERLAND -- 7.3% Adecco 399,081 13,603 Baloise Holdings 60,669 4,354 Compagnie Financiere Richemont 5,272 9,950 Credit Suisse Group* 96,896 3,387 Holcim Ltd, Cl B 42,280 7,951 Nestle 76,413 16,308 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 13 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Novartis 884,061 $ 34,619 Roche Holding 400,328 28,728 SGS Societe Generale Surveillance Holdings 409 48 STMicroelectronics 60,800 1,306 STMicroelectronics (NY Shares) 48,000 1,031 Swiss Reinsurance 52,258 5,140 Swisscom 10,240 2,889 Syngenta* 378,174 19,113 UBS 495,844 23,189 --------- 171,616 --------- TAIWAN -- 0.2% Taiwan Semiconductor Manufacturing ADR* 387,509 3,677 --------- UNITED KINGDOM -- 26.6% Allied Domecq 2,252,776 12,548 ARM Holdings* 251,800 867 Associated British Foods 511,012 3,413 AstraZeneca 246,786 11,312 AstraZeneca 408,988 19,024 AstraZeneca ADR 15,300 715 BAA 365,593 2,901 BAE Systems 8,595,254 41,813 Barclays 459,202 12,627 Boc Group 355,785 4,902 BP Amoco 958,288 7,915 Brambles Industries* 993,441 4,694 British American Tobacco 1,009,157 8,914 British Telecommunications 4,393,151 21,952 Bunzl 685,783 4,586 Cadbury Schweppes 3,307,839 21,464 Centrica 6,730,211 21,069 Colt Telecom Group* 470,944 505 Compass Group 3,286,366 22,918 Diageo 1,879,020 19,732 Friends Provident* 3,283,861 9,315 GKN 1,099,104 4,434 GlaxoSmithKline 2,157,444 60,879 Granada 593,830 812 GUS 598,584 4,751 Hays 1,846,235 4,152 HBOS 369,700 3,988 HSBC Holdings 1,181,222 12,447 Imperial Tobacco Group 666,787 8,237 Innogy Holdings 1,134,666 3,519 Lattice Group 2,394,337 5,490 Lloyds TSB Group 1,737,917 16,602 Marks & Spencer 2,603,457 9,757 National Grid Group 160,500 1,014 Pearson 206,700 2,215 Prudential 630,632 6,488 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Reckitt Benckiser 198,500 $ 2,853 Reed International 5,006,220 41,313 Rentokil Initial 2,552,998 9,230 Reuters Group 294,400 2,592 RMC Group 221,885 1,898 Royal Bank of Scotland Group 511,859 11,269 Sainsbury (J) 1,373,138 7,200 Scottish & Southern Energy 750,033 7,143 Shell Transport & Trading 4,035,311 30,247 Shire Pharmaceuticals* 75,000 1,014 Smith & Nephew 121,002 614 Smiths Group 318,040 3,076 Somerfield* 330,475 423 Standard Chartered 1,389,899 13,778 Tate & Lyle 442,890 1,660 Unilever 3,670,137 27,860 Vodafone Group 25,790,939 56,857 Wimpey (George) 427,093 1,114 Wolseley 194,740 1,228 WPP Group 946,363 6,885 --------- 626,225 --------- Total Foreign Common Stock (Cost $2,689,686) 2,292,008 --------- FOREIGN CONVERTIBLE BONDS -- 0.4% JAPAN -- 0.4% Capcom 1.000%, 09/30/05 JPY 173,000 1,539 Fuji Bank 0.250%, 02/01/02 JPY 249,000 1,347 Hellenic Finance 2.000%, 08/02/05 EUR 190 185 Sanwa International Finance 1.250%, 08/01/05 JPY 258,000 1,884 TB Finance 0.000%, 10/01/04 JPY 274,000 1,708 UFJ Holdings 0.000%, 07/31/14 JPY 266,000 2,144 --------- 8,807 --------- UNITED STATES -- 0.0% MBL International Finance 3.000%, 11/30/02 $ 935 939 --------- Total Foreign Convertible Bonds (Cost $12,001) 9,746 --------- - -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 0.1% U.S. Treasury Bills (2) 2.330%, 02/28/02 $ 2,500 $ 2,476 ---------- Total U.S. Treasury Obligations (Cost $2,472) 2,476 ---------- REPURCHASE AGREEMENTS -- 2.1% J.P. Morgan Chase 3.250%, dated 09/28/01, matures 10/01/01, repurchase price $20,368,638 (collateralized by U.S. Government Agency Instruments: total market value $20,770,928) $20,363 20,363 State Street Bank 2.000%, dated 09/28/01, matures 10/01/01, repurchase price $28,048,674 (collateralized by U.S. Government Agency Instruments: total market value $28,623,155) $28,044 28,044 ---------- Total Repurchase Agreements (Cost $48,407) 48,407 ---------- Total Investments -- 100.0% (Cost $2,752,566) $2,352,637 ========== * Non-Income Producing Security (1) Securities 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. ADR -- American Depository Receipt EUR -- Euro JPY -- Japanese Yen STRIP -- Separately Traded Registered Interest and Principal Security Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 15 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCK -- 87.4% ARGENTINA -- 0.5% Banco Hipotecario 311,924 $ 1,248 Quilmes Industrial ADR 117,170 1,347 Telecom Argentina ADR 273,260 2,375 ---------- 4,970 ---------- BRAZIL -- 4.8% Aracruz Celulose ADR 173,646 2,579 Banco Bradesco ADR 127,540 504 Brasil Telecom Participacoes ADR 31,300 851 Cemig ADR* 44,260 423 Centrais Eletricas Brasileiras 121,605,300 1,458 Centrais Eletricas Brasileiras ADR 36,240 218 Cia de Bebidas das Americas ADR 307,481 4,923 Cia Energetica de Minas Gerais ADR 11,200 107 Cia Paranaense dE Energia ADR 103,464 605 Cia Saneamento Basico 46,900,000 1,914 Cia Siderurgica Nacional 83,505,300 845 Cia Siderurgica Nacional ADR 31,000 310 Cia Vale do Rio Doce ADR 159,848 3,181 Companhia Brasileira de Distribuicao Grupo Pao de Asucar 44,300 554 Eletropaulo Metropolitana De Sao Paulo 65,500,000 1,435 Embratel Participacoes ADR* 190,731 532 Empresa Bras de Aeronautica ADR 64,000 816 Lumenis* 35,995 723 Petroleo Brasileiro 102,810 2,037 Petroleo Brasileiro ADR 406,050 8,019 Tele Celular Sul Participacoes ADR 94,500 983 Tele Norte Celular Participacoes ADR 2,050 42 Tele Norte Leste Participacoes ADR 486,809 4,405 Telemig Celular Participacoes ADR 3,450 78 Telesp Celular Participacoes ADR 86,240 455 Ultrapar Participacoes S.A. ADR 285,000 1,510 Uniao de Bancos Brasileiros GDR 68,531 994 Unibanco - Uniao De Bancos Brasileiros 120,050 1,741 Vale do Rio Doce, ADR 107,850 2,146 Votorantim Celulose Papel ADR 180,840 2,360 ---------- 46,748 ---------- CHILE -- 1.8% Banco de A. Edwards ADR 98,784 1,531 Banco Santander ADR 44,255 787 Banco Santiago ADR 35,445 704 Cervecerias Unidas ADR 103,303 1,766 Cia Telecomunicacion Chile ADR* 481,320 4,741 Distribucion Y Servicio D&S ADR 99,888 1,119 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Endesa ADR 249,461 $ 2,160 Enersis ADR 114,747 1,404 Quinenco ADR* 506,000 3,036 ---------- 17,248 ---------- CHINA -- 2.8% Beijing Datang Power 4,804,000 1,709 China Petroleum & Chemical 5,014,000 701 China Southern Airlines* 6,314,000 1,295 Digital China Holdings* 2,879,600 849 Guangshen Railway 14,463,000 2,040 Huaneng Power International 3,927,000 2,228 PetroChina 22,904,600 4,376 PetroChina ADR 109,350 2,097 Qingling Motors 23,460,000 3,519 Shandong International Power Development 8,976,000 1,703 Travelsky Technology* 2,183,000 1,469 Yizheng Chemical Fibre 14,405,400 1,478 Zhejiang Expressway 16,947,000 3,716 ---------- 27,180 ---------- CROATIA -- 0.4% Pliva 498,100 4,333 ---------- CZECH REPUBLIC -- 0.4% Ceske Energeticke Zavo 802,385 1,283 Cesky Telecom 184,600 1,127 Cesky Telecom GDR* 88,420 548 Komercini Banka* 44,355 1,096 Komercini Banka GDR* 36,200 263 ---------- 4,317 ---------- EGYPT -- 1.0% Commercial International Bank GDR 348,600 2,580 Misr International Bank* 398,100 1,403 Mobinil-Eqyptian Mobile Netork* 100,520 987 Orascom Construction Industries* 166,813 1,172 Paints & Chemical Industry 660,900 677 Suez Cement* 339,400 2,715 ---------- 9,534 ---------- HONG KONG -- 5.1% Brilliance China Automotive 10,460,000 1,515 China Mobile* 6,760,500 21,496 China Overseas Land & Invest 5,506,000 522 China Pharmaceutical ENT* 13,681,000 1,035 China Resources Beijing Land 6,276,000 1,489 China Resources Enterprises 698,000 609 - -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- China Unicom* 2,889,000 $ 3,111 China Unicom ADR* 207,900 2,245 Citic Pacific 909,000 1,713 CNOOC 1,080,500 1,081 CNOOC ADR 89,700 1,794 Denway Motors 2,860,000 761 Global Bio-Chem Technology Group 9,750,000 2,338 Greencool Tech 5,282,000 1,761 Hengan International Group 7,912,600 1,694 Legend Holdings 4,501,000 1,746 Mandarin Oriental 2,511,000 967 New World China Land* 2,320,800 692 Shanghai Industrial Holdings 1,377,000 1,880 Yanzhou Coal Mining 3,232,000 974 ---------- 49,423 ---------- HUNGARY -- 2.1% Egis 34,081 1,415 Gedeon Richter 36,800 2,049 Gedeon Richter GDR 21,460 1,191 Matav 1,128,200 2,910 Matav ADR 244,400 3,302 Mol Magyar Olaj ES Gazipari GDR 172,920 2,559 Mol Magyar Olaj Es Gazipari Rt. 161,104 2,392 OTP Bank 27,150 1,309 OTP Bank GDR 67,970 3,235 Pick Szeged Rt.* 23,100 224 Pick Szeged GDR 144a (A)* 148,000 270 ---------- 20,856 ---------- INDIA -- 4.2% Bajaj Auto GDR 144a (A) 488,000 2,782 Bses GDR 133,600 1,703 Dr. Reddy's Laboratories ADR* 53,000 1,179 Gas Authority of India GDR* 410,000 2,716 Grasim Industries GDR 132,000 779 HDFC Bank ADR* 41,500 573 ICICI Banking ADR 76,000 217 ICICI Limited ADR 160,300 793 Indian Hotels GDR 144a (A)* 406,300 1,473 Infosys Technologies ADR 5,300 179 ITC GDR 66,500 871 Mahanagar Telephone Nigam GDR 1,178,900 6,484 Mahindra & Mahindra GDR* 1,101,100 1,266 Ranbaxy Laboratories GDR 75,300 1,081 Reliance Industries GDR 473,300 5,301 State Bank of India GDR 678,960 5,106 Tata Engineering & Locomotive GDR 144a (A)* 1,640,800 2,871 Videsh Sanchar Nigam ADR 529,361 5,018 ---------- 40,392 ---------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INDONESIA -- 1.4% Astra International* 1,960,500 $ 389 Bank Central Asia* 5,925,000 839 Gudang Garam 1,382,000 1,424 HM Sampoerna 5,957,500 1,948 Indah Kiat Pulp & Paper* 34,586,500 712 Indofood Sukses Makmur 28,287,500 2,113 Indosat (Persero) ADR 183,600 1,520 Telekomunikasi 9,481,200 2,588 Telekomunikasi ADR 295,300 1,651 ---------- 13,184 ---------- ISRAEL -- 3.0% AudioCodes* 262,900 552 Bank Hapoalim 4,009,656 7,844 Bank Leumi Le-Israel 892,000 1,641 Bezeq* 1,719,300 1,879 Check Point Software Technologies* 260,387 5,734 ECI Telecom 441,900 1,104 Elbit Systems 31,700 521 IDB Development 11,420 243 Nice Systems ADR* 9,760 126 Orbotech* 36,240 683 RADWARE* 54,600 477 Taro Pharmaceuticals Industries* 25,200 886 Teva Pharmaceutical Industries 70,380 4,255 Teva Pharmaceutical Industries ADR 54,210 3,277 ---------- 29,222 ---------- MALAYSIA -- 5.7% AMMB Holdings Berhad 841,600 653 Berjaya Sports Toto Berhad 1,463,000 1,702 British American Tobacco Berhad 341,800 3,126 Courts Mammoth Berhad 2,251,000 1,896 Gamuda Berhad 1,420,000 1,570 Genting Berhad 1,640,800 3,994 IOI Corporation Berhad 4,500,000 4,050 Malayan Banking Berhad 3,103,400 8,412 OYL Industries Berhad 553,400 2,184 Perusahaan Otomobil Nasional 299,000 480 Petronas Gas Berhad 1,074,000 1,639 Public Bank Berhad 471,000 322 Resorts World Berhad 1,488,000 2,291 Sime Darby Berhad 3,935,000 4,763 Telekom Malaysia Berhad 3,444,000 8,338 Tenaga Nasional Berhad 3,752,800 9,728 ---------- 55,148 ---------- - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 17 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MEXICO -- 12.0% Alfa, Class A 4,119,149 $ 2,962 America Movil, Series L 600 -- America Movil, Series L ADR 910,424 13,501 Apasco 645,800 2,783 Carso Global Telecom* 784,568 1,525 Cemex 1,258,880 5,134 Cemex ADR 14,164 291 Coca-Cola Femsa ADR 93,495 1,846 Consorcio ARA* 1,510,800 1,890 Controladora Comercial Mexicana 1,223,800 727 Controladora Comercial Mexicana GDR 86,000 1,037 Corporacion Interamericana de Entretenimiento, Class B* 1,690,300 3,376 Desc, Series B 7,354,400 2,397 Fomento Economico Mexicano 1,269,589 3,603 Fomento Economico Mexicano ADR 111,951 3,187 Grupo Aeroportuario de Sureste ADR* 44,600 419 Grupo Aeroportuario de Sureste, Cl B* 850,300 787 Grupo Carso* 291,770 657 Grupo Continental S.A. 1,022,200 1,236 Grupo Financiero Banorte* 994,327 1,453 Grupo Financiero BBVA Bancomer* 8,351,410 5,759 Grupo Financiero Inbursa* 351,681 983 Grupo Iusacell ADR* 26,000 58 Grupo Mexico 196,170 278 Grupo Modelo 1,162,600 2,530 Grupo Televisa* 48,700 1,398 Grupo Televisa GDR* 136,299 3,912 Kimberly-Clark de Mexico, Cl A 3,142,604 8,738 Organizacion Soriana* 380,300 660 Panamerican Beverages, Cl A 41,932 707 Pepsi-Gemex S.A.* 567,200 2,978 Telefonos de Mexico ADR L 838,099 27,062 Tubos de Acero de Mexico ADR 236,207 2,126 Walmart de Mexico ADR* 118,772 2,486 Walmart De Mexico Series C 2,058,305 3,895 Walmart De Mexico Series V 2,074,645 4,338 ---------- 116,719 ---------- PANAMA -- 0.3% Banco Latinoamericano de Exportaciones 95,900 2,786 ---------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PERU -- 0.2% Buenaventura ADR 52,818 $ 1,144 Credicorp 67,369 559 ---------- 1,703 ---------- PHILIPPINES -- 1.3% ABS-CBN Broadcasting 740,200 328 Ayala Land 4,025,000 337 Bank of Philippine Islands 539,718 526 First Philippine Holdings* 656,600 297 La Tondena Distillers 1,955,600 952 Manila Electric, Cl B* 5,407,400 3,580 Metropolitan Bank & Trust* 115,700 435 Philippine Long Distance Telephone 56,500 528 Philippine Long Distance Telephone ADR 247,250 2,337 San Miguel 251,200 250 SM Prime Holdings 23,322,900 2,725 Universal Robina 5,393,740 441 ---------- 12,736 ---------- POLAND -- 1.6% Bank Polska Kasa Opieki Grupa Pekao* 85,733 1,331 Bank Polska Kasa Opieki Grupa Pekao 144a (A)* 31,130 486 Bank Rozwoju Eksportu 39,005 875 Elektrim* 526,250 2,353 KGHM Polska Miedz 901,075 2,260 KGHM Polska Miedz GDR 93,900 455 Polski Koncern Naftowy Orlen 251,200 915 Polski Koncern Naftowy GDR 169,400 1,194 Powszechny Bank Kredytowy 71,963 1,515 Powszechny Bank Kredytowy GDR 99,470 2,099 Telekomunikacja Polska* 837,040 2,361 ---------- 15,844 ---------- RUSSIA -- 3.2% Gazprom ADR 342,470 3,021 Lukoil Holdings ADR 183,380 6,880 Mobile Telesystems ADR* 112,492 2,761 Mosenergo ADR 391,200 1,236 Norilsk Nickel ADR* 206,480 2,268 Sibneft ADR* 73,800 373 Surgutneftegaz ADR* 636,570 7,123 Unified Energy Systems 564,050 4,981 Unified Energy Systems ADR 79,700 704 Vimpel Communications ADR* 115,650 1,899 ---------- 31,246 ---------- - -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SOUTH AFRICA -- 10.5% ABSA Group 1,901,650 $ 7,864 Aeci 82,200 144 African Bank Investments 5,319,520 4,600 Anglo American 465,023 5,544 Anglo American Platinum 339,340 11,302 Aveng 558,600 491 Barloworld 563,100 3,069 Billiton 199,100 798 BOE 2,440,400 1,035 Edgars Consolidated Stores 299,200 933 FirstRand 9,345,300 7,729 Foschini 1,852,417 1,481 Gold Fields 252,800 1,142 Harmony Gold Mining ADR 214,200 1,137 Harmony Gold Mining Warrants, Expiration 06/29/03* 71,400 136 Impala Platinum Holdings 53,300 1,882 Ixchange Technology Holdings* 4,969,130 276 Liberty Group 150,100 870 Metro Cash & Carry* 24,824,568 4,217 Murray & Roberts Holdings* 613,200 483 Nampak 2,810,700 3,354 Naspers 448,100 731 Nedcor 192,700 2,824 Profurn* 8,811,860 470 Remgro 480,108 3,171 Sage Group 917,116 876 Sanlam 7,352,940 7,665 Sappi 464,650 4,003 Sasol 1,662,960 13,588 South African Breweries 86,600 533 Standard Bank Investment 255,039 875 Steinhoff International Holdings 2,333,300 1,839 Super Group 2,111,400 2,086 Tiger Brands 371,500 2,400 Venfin* 390,208 749 Woolworths Holdings 2,991,700 1,235 ---------- 101,532 ---------- SOUTH KOREA -- 12.8% Cheil Communications 43,320 3,047 Cheil Jedang 51,040 1,477 Daishin Securities 120,000 493 Good Morning Securities* 271,290 639 H&CB 215,790 4,614 H&CB ADR 248,121 2,556 Hyundai Motor 380,630 4,883 Hyundai Securities* 75,800 388 Kookmin Bank 639,200 7,859 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Korea Electric Power 819,270 $ 13,138 Korea Electric Power ADR 498,600 4,413 Korea Fine Chemical 74,680 918 Korea Telecom 35,800 1,214 Korea Telecom ADR 340,000 6,219 LG Electronics 97,050 860 LG Home Shopping 30,232 990 LG Household & Health Care* 54,170 1,158 Pohang Iron & Steel 186,180 11,474 Pohang Iron & Steel ADR 142,390 2,236 Samsung 419,540 1,858 Samsung Electronics 205,250 21,944 Samsung Electronics GDR 17,900 1,054 Samsung Fire & Marine 40,480 1,110 Samsung Securities* 140,000 3,042 Shinhan Financial Group* 333,240 2,514 Shinsegae Department Store 59,071 4,150 SK Corporation 565,970 4,754 SK Telecom 47,850 7,600 SK Telecom ADR 400,340 7,382 ---------- 123,984 ---------- TAIWAN -- 8.8% Accton Technology GDR* 535,466 1,232 Acer Communications & Multimedia 1,333,000 1,105 Acer 900,958 268 Acer GDR 173,670 243 Advanced Semiconductor Engineering ADR* 3,978 9 Advanced Semiconductor Engineering** 5,571,340 2,454 Ambit Microsystems 697,500 2,254 Arima Computer 117,300 39 Ase Test* 57,300 441 Asustek Computer 995,750 2,986 Asustek Computer GDR* 800,090 2,488 Bank Sinopac* 7,116,889 2,681 Cathay Life Insurance 1,333,180 1,375 Chang WA Commercial Bank 1,849,160 659 China Development Industrial Bank* 1,137,895 560 China Steel 4,106,970 1,446 China Steel ADR 144a (A) 200,236 1,311 China Steel GDR 121,334 795 Chinatrust Commercial Bank 2,896,280 1,477 Compal Electronics 1,359,000 1,016 Compal Electronics GDR 386,771 1,412 Compeq Manufacturing* 808,000 791 D-Link 1,344,695 1,103 D-Link GDR* 204,610 824 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 19 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Concluded) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Delta Electronic Industrial 1,237,293 $ 1,352 Elan Microelectronics* 1,748,100 1,363 Far Eastern Textile* 9,459 28 Fubon Insurance 895,000 690 Fubon Insurance GDR* 664,230 5,480 HON HAI Precision Industry 628,200 1,984 HON HAI Precision Industry GDR* 219,840 1,418 Macronix International* 1,355,400 711 Macronix International ADR* 93,862 476 NAN YA Plastic 6,618,486 3,721 Nien Hsing Textile* 1,621,200 850 President Chain Store 952,650 1,808 Quanta Computer 1,156,250 2,161 Realtek Semiconductor 271,500 739 Ritek 731,074 1,060 Siliconware Precision* 1,677,725 831 Siliconware Precision ADR* 304,273 733 Standard Foods Taiwan* 810,064 851 Sunplus Technology 521,100 989 Sunplus Technology GDR* 308,789 1,081 Taiwan Semiconductor Manufacturing* 10,416,400 14,096 Taiwan Semiconductor Manufacturing ADR* 381,240 3,618 United Microelectronics* 9,012,609 7,025 United Microelectronics ADR* 348,062 1,852 United World Chinese Commercial Bank 2,143,000 1,298 Yageo* 728,000 390 ---------- 85,574 ---------- THAILAND -- 1.4% Advanced Info Service 394,100 4,218 Bangkok Bank* 648,300 590 Bec World 127,000 640 Hana Microelectronics 606,000 456 Land & House* 425,000 334 National Finance* 2,085,200 375 PTT Exploration & Production Public 360,000 890 Saha Union 2,543,300 758 Siam Cement* 76,500 819 Siam Makro 889,900 795 Thai Farmers Bank* 10,133,000 3,759 ---------- 13,634 ---------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- TURKEY -- 1.0% Akcimento Ticaret 236,214,100 $ 803 Anadolu Efes Biracilik Ve Malt Sanayii 62,877,062 996 Enka Holding Yatirim 2,400,000 122 Eregli Demir Ve Celik Fabrik* 35,961,000 311 Hurriyet Gazeteci* 622,592,272 803 Migros Turk TAS 17,277,000 926 Sabanci Holding* 152,500,000 399 Tupras Turkiye Petrol Rafine 112,057,500 630 Turk Ekonomi Bankasi GDR* 468,000 386 Turkcell Iletisim Hizmet* 125,052,594 323 Turkcell Iletisim Hizmet ADR* 418,063 322 Turkiye IS Bankasi 427,766,654 1,454 Uzel Makina Sanayii ADR* 282,200 120 Vestel Elektronik Sanayi* 253,304,000 277 Yapi VE Kredi Bankasi* 1,036,225,402 1,523 ---------- 9,395 ---------- UNITED KINGDOM -- 0.8% Billiton 173,200 712 Dimension Data Holdings* 1,807,976 1,867 Old Mutual 1,883,800 3,246 South African Breweries 372,000 2,323 ---------- 8,148 ---------- VENEZUELA -- 0.3% Compania Anonima Nacional Telefonos de Venezuela 108,270 2,496 ---------- Total Foreign Common Stock (Cost $1,023,351) 848,352 ---------- FOREIGN PREFERRED STOCK -- 5.0% BRAZIL -- 4.7% Banco Bradesco 1,269,558,859 5,044 Banco Itau S.A. 93,688,020 5,964 Brasil Telecom 527,260,991 1,935 Brasil Telecom Participacoes 89,220,297 491 Celular CRT Participacoes 4,059,123 526 Cemig 547,460,175 5,269 Centrais Eletricas Brasileiras 296,378,600 3,263 Centrais Eletricas Brasileiras ADR 58,600 327 Cia de Bebidas das Americas 4,234,500 679 Cia Paranaense de Energia 104,176,969 605 Cia Vale do Rio Doce 157,713 3,118 Cia Vale do Rio Doce Unconverted Participants* 8,352 -- - -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Duratex 6,000,000 $ 82 Embratel Participacoes 147,450,200 414 Gerdau S.A. 254,168,000 1,294 Itausa - Investimentos 1,559,748 1,045 Petrol Brasileiro 57,788 1,110 Petroleo Brasileiro ADR 506,345 9,722 Tele Norte Celular Participacoes 679,425,906 277 Tele Norte Leste Participacoes 12,646,000 115 Telecomunicacoes Brasileiras 135,220 3,422 Telemig Celular Participacoes 160,200,000 183 Telesp Celular Participacoes 66,768,692 143 Votorantim Celulose E Papel 8,285,000 216 ---------- 45,244 ---------- RUSSIA -- 0.1% Surgutneftegaz 76,900 1,038 ---------- SOUTH KOREA -- 0.1% Samsung Electronics 33,620 1,512 ---------- THAILAND -- 0.1% Siam Commercial Bank* 4,210,600 1,396 ---------- Total Foreign Preferred Stock (Cost $63,191) 49,190 ---------- EQUITY LINKED WARRANTS (B) -- 5.8% INDIA -- 4.6% Bharat Petroleum* 315,120 1,057 Cipla* 54,510 1,281 Dr. Reddy's Laboratories* 137,350 5,130 Hero Honda Motors* 583,352 2,273 Hindustan Lever* 2,427,193 10,561 Infosys Technologies* 99,635 4,957 ITC* 438,280 5,294 Larsen & Toubro* 445,680 1,469 Mahanagar Telephone Nigam* 469,020 1,261 Nestle India* 109,698 1,227 Ranbaxy Laboratories* 198,000 2,694 Reliance Industries* 552,750 3,074 Satyam Computer Services* 918,500 2,461 State Bank of India* 247,700 854 Wipro* 49,230 1,087 ---------- 44,680 ---------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SOUTH KOREA -- 0.2% Korea Telecom 45,200 $ 1,545 ---------- TAIWAN -- 1.0% China Development* 1,509,080 744 Compeq Manufacturing* 67,083 66 Formosa Plastic* 27,369 23 Formusa Chemical & Fiber* 75,280 46 Mediatek* 134,400 983 Taiwan Semiconductor* 2,923,822 3,962 United Microeletronic* 4,459,193 3,482 ---------- 9,306 ---------- Total Equity Linked Warrants (Cost $68,052) 55,531 ---------- REPURCHASE AGREEMENTS -- 1.8% J.P. Morgan 3.250%, dated 09/28/01, matures 10/01/01, repurchase price $2,631,134 (collateralized by U.S. Government Agency Instruments:total market value $2,684,889) $2,630 2,630 State Street Bank 2.000%, dated 09/28/01, matures 10/01/01, repurchase price $15,250,541 (collateralized by U.S. Government Agency Instruments:total market value $15,579,502) $15,248 15,248 ---------- Total Repurchase Agreements (Cost $17,878) 17,878 ---------- Total Investments -- 100.0% (Cost $1,172,472) $970,951 ========== * Non-Income Producing Security (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 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. ADR -- American Depository Receipt GDR -- Global Depository Receipt Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 21 SCHEDULE OF INVESTMENTS International Fixed Income Fund - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 89.8% BELGIUM -- 4.0% Government of Belgium 7.000%, 05/15/06 46,600 $ 47,298 ---------- CANADA -- 3.2% Government of Canada 9.000%, 06/01/25 10,360 9,162 6.000%, 09/01/05 16,280 10,883 5.500%, 06/01/09 27,255 17,601 ---------- 37,646 ---------- CAYMAN ISLANDS -- 1.7% MBNA Europe 144a (A) 4.486%, 05/19/04 EUR 21,860 19,904 ---------- DENMARK -- 2.3% Kingdom of Denmark 8.000%, 05/15/03 94,650 12,307 7.000%, 11/15/07 110,500 15,184 ---------- 27,491 ---------- FINLAND -- 4.7% Government of Finland 7.250%, 04/18/06 55,240 56,351 ---------- FRANCE -- 4.9% Government of France OAT STRIP 0.000%, 10/25/16 44,943 18,059 Government of France Treasury Note 5.000%, 07/12/05 42,584 40,164 ---------- 58,223 ---------- GERMANY -- 22.3% Bundesrepublic Deutscheland 6.000%, 01/04/07 27,445 27,194 5.625%, 01/04/28 5,650 5,167 5.250%, 07/04/10 217,158 205,479 Bundesschatzanweisungen 4.000%, 12/14/01 30,000 27,340 ---------- 265,180 ---------- GREECE -- 1.9% Hellenic Republic 8.700%, 04/08/05 21,224 22,201 ---------- - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- HUNGARY -- 2.7% Government of Hungary 9.250%, 05/12/05 8,780,650 $ 31,558 ---------- ITALY -- 4.1% Republic of Italy (Buoni Poliennali del Tesoro) 4.750%, 03/15/06 EU 52,440 48,727 ---------- JAPAN -- 7.4% European Investment Bank 3.000%, 09/20/06 2,881,000 27,182 International Bank for Reconstruction & Development 4.750%, 12/20/04 3,885,000 37,339 Japan Bank for International Cooperation 2.875%, 07/28/05 1,600,000 14,721 2.875%, 07/28/05 1,000,000 9,200 ---------- 88,442 ---------- NETHERLANDS -- 4.7% Kingdom of Netherlands 5.500%, 01/15/28 62,112 55,972 ---------- NEW ZEALAND -- 1.1% Government of New Zealand 8.000%, 04/15/04 29,745 12,820 ---------- NORWAY -- 1.0% Kingdom of Norway 5.750%, 11/30/04 105,000 11,702 ---------- POLAND -- 1.4% Government of Poland Zero Coupon 0.000%, 04/21/03 88,249 17,215 ---------- SPAIN -- 4.8% Government of Spain 3.250%, 01/31/05 63,835 56,854 ---------- SWEDEN -- 2.0% Kingdom of Sweden 10.250%, 05/05/03 198,500 20,347 8.000%, 08/15/07 36,900 4,008 ---------- 24,355 ---------- - -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- UNITED KINGDOM -- 9.6% European Investment Bank 6.000%, 12/07/28 3,630 $ 5,788 United Kingdom Treasury 8.000%, 12/07/15 9,225 17,857 7.500%, 12/07/06 50,048 82,309 6.250%, 11/25/10 5,100 8,211 ---------- 114,165 ---------- UNITED STATES -- 6.0% Federal Home Loan Bank 5.250%, 01/15/06 EUR 21,000 19,851 Ford Motor Credit 6.125%, 09/19/05 EUR 12,260 11,396 KFW International Finance 1.750%, 03/23/10 JPY 4,507,000 39,995 ---------- 71,242 ---------- Total Foreign Bonds (Cost $1,062,614) 1,067,346 ---------- U.S. TREASURY OBLIGATIONS -- 2.7% U.S. Treasury Bills (2) 2.300%, 11/29/01 25,619 25,521 U.S. Treasury Notes 4.625%, 05/15/06 6,742 6,980 ---------- Total U.S. Treasury Obligations (Cost $32,231) 32,501 ---------- TIME DEPOSIT -- 7.5% Banca Commerciale Italian 0.010%, 12/20/01 JPY 10,608,536 89,050 ---------- Total Time Deposit (Cost $90,343) 89,050 ---------- Total Investments -- 100.0% (Cost $1,185,188) $1,188,897 ========== * Non-Income Producing Security (1) In local currency unless otherwise indicated. (2) Securities pledged as collateral on open futures contracts. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. EUR -- Euro JPY -- Japanese Yen OAT -- Obligations Assimilables de Tresor STRIP -- Separately Traded Registered Interest and Principal Security The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 23 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 99.3% ALGERIA -- 2.1% Republic of Algeria FRN Tranche 1 Restructured 5.813%, 09/04/06 7,244 $ 5,795 Republic of Algeria FRN Tranche 3 Restructured 5.813%, 03/04/10 3,847 2,962 -------- 8,757 -------- ARGENTINA -- 14.1% Republic of Argentina 14.250%, 11/30/02 1,800 1,476 12.250%, 06/19/18 1,800 958 12.000%, 02/01/20 300 159 7.000%, 12/19/08 40,609 24,365 Republic of Argentina (B) 0.000%, 10/15/01 1,958 1,943 0.000%, 10/15/02 10,775 10,141 0.000%, 10/15/03 5,600 4,088 0.000%, 10/15/04 13 7 Republic of Argentina FRB 144a (A) 5.563%, 03/31/05 3,072 2,158 Republic of Argentina FRN 144a (A) 13.969%, 04/10/05 13,390 9,407 Republic of Argentina Registered 11.750%, 02/12/07 ARS 800 383 8.750%, 07/10/02 4,140 3,246 -------- 58,331 -------- BRAZIL -- 17.9% Federal Republic of Brazil 12.250%, 03/06/30 39,230 28,540 11.000%, 08/17/40 67,189 43,753 Federal Republic of Brazil DCB FRB 5.500%, 04/15/12 2,500 1,475 Federal Republic of Brazil Registered FRB 5.438%, 04/15/06 112 94 -------- 73,862 -------- COLOMBIA -- 2.5% Republic of Colombia 11.750%, 02/25/20 7,200 6,880 9.750%, 04/23/09 375 367 8.700%, 02/15/16 2,420 1,837 8.375%, 02/15/27 2,000 1,360 -------- 10,444 -------- - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- COSTA RICA -- 1.2% Government of Costa Rica (A) 9.995%, 08/01/20 2,200 $ 2,343 Government of Costa Rica, Series B 6.250%, 05/21/15 2,600 2,548 -------- 4,891 -------- ECUADOR -- 4.0% Republic of Ecuador 144a (A) 12.000%, 11/15/12 6,010 3,922 4.000%, 08/15/30 7,495 3,017 Republic of Ecuador Registered 5.000%, 08/15/30 23,400 9,418 -------- 16,357 -------- IVORY COAST -- 0.4% Ivory Coast FLIRB 144a (A) (B) (C) 2.000%, 03/29/18 2,500 375 Ivory Coast FLIRB Registered (B) (C) 2.000%, 03/29/18 4,000 600 Ivory Coast PDI (B) (C) 2.000%, 03/29/18 4,988 698 -------- 1,673 -------- JAMAICA -- 1.2% Government of Jamaica 144a (A) 12.750%, 09/01/07 2,375 2,577 Government of Jamaica Registered 10.875%, 06/10/05 2,500 2,575 -------- 5,152 -------- MEXICO -- 8.0% Petroleos Mexicanos 9.500%, 09/15/27 11,750 11,471 United Mexican States 11.375%, 09/15/16 6,265 7,245 9.875%, 02/01/10 1,000 1,073 9.750%, 04/06/05 175 192 United Mexican States Global Bond 8.125%, 12/31/19 14,490 13,077 -------- 33,058 -------- MOROCCO -- 4.4% Morocco R&C Loan FRN, Tranche A 5.094%, 01/01/09 21,070 18,120 -------- PANAMA -- 2.4% Government of Panama IRB 5.000%, 07/17/14 11,796 9,938 -------- - -------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- PERU -- 2.9% Republic of Peru FLIRB 4.000%, 03/07/17 12,605 $ 8,083 Republic of Peru PDI 4.500%, 03/07/17 5,290 3,710 -------- 11,793 -------- PHILIPPINES -- 2.5% Government of Philippines 9.875%, 01/15/19 13,100 10,283 -------- POLAND -- 2.0% Poland PDI Non-US Global Bearer 144a (A) 6.000%, 10/27/14 4,750 4,693 Republic of Poland RSTA 4.250%, 10/27/24 925 703 Telekomunikacja Polska 144a (A) 7.750%, 12/10/08 2,750 2,838 -------- 8,234 -------- RUSSIA -- 24.0% Republic of Bulgaria FLIRB Non-U.S. Global Bearer, Series A 4.602%, 07/28/12 21,200 16,642 Russian Federation 10.000%, 06/26/07 13,040 11,548 8.250%, 03/31/10 21,385 16,180 Russian Federation (A) 8.250%, 03/31/10 6,906 5,225 5.000%, 03/31/30 49,036 22,297 Russian Federation Registered 5.000%, 03/31/30 60,050 27,305 -------- 99,197 -------- TURKEY -- 2.2% Republic of Turkey Global Bond 11.875%, 01/15/30 11,450 9,274 -------- UNITED STATES -- 2.1% Pemex Project Funding Master Trust 8.500%, 02/15/08 8,750 8,750 -------- URUGUAY -- 0.5% Republic of Uruguay 8.750%, 06/22/10 1,975 2,094 -------- - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) - -------------------------------------------------------------------------------- VENEZUELA -- 4.9% Government of Venezuela 13.625%, 08/15/18 105 $ 97 Government of Venezuela Discount FRB, Series W-B 4.875%, 03/31/20 4,850 3,589 Government of Venezuela Discount, Series A 144a (A) 5.125%, 03/31/20 22,600 16,724 Government of Venezuela Par Rights* expiration 04/15/20 239 -- -------- 20,410 -------- Total Foreign Bonds (Cost $433,496) 410,618 -------- REPURCHASE AGREEMENT -- 0.7% State Street Bank 3.150%, dated 09/28/01, matures 10/01/01, repurchase price $2,842,746 (collateralized by U.S. Government Agency Instruments:total market value $2,898,978) 2,842 2,842 -------- Total Repurchase Agreement (Cost $2,842) 2,842 -------- Total Investments -- 100.0% (Cost $436,338) $413,460 ======== * Non-Income Producing Security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 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. (C) Security in default on interest payments. ARS -- Argentina Peso FLIRB -- Front Loaded Interest Reduction Bond FRB -- Floating Rate Bond FRN -- Floating Rate Note IRB -- Interest Revenue Bond PDI -- Past Due Interest RSTA -- Revolving Short Term Agreement Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 25 Statement of Assets and Liabilities ($ Thousands) September 30, 2001
- ---------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND - ---------------------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at market value (Cost $2,752,566, $1,172,472, $1,185,188, and $436,338, respectively) $2,352,637 $ 970,951 $1,188,897 $413,460 Cash 3,227 -- 1,487 -- Foreign currency, at market value (Cost $12,220, $11,261, $0, and $0, respectively) 12,207 11,274 -- -- Dividends and interest receivable 4,884 4,901 23,199 12,541 Foreign tax reclaim receivable 3,024 -- 691 -- Receivable for investment securities sold 435,741 30,181 288,727 35,443 Receivable for shares of beneficial interest sold 10,130 4,528 599 197 Variation margin receivable 614 -- -- -- Unrealized gain on forward foreign currency contracts 233 -- -- -- Prepaid expenses 10 4 4 5 - ---------------------------------------------------------------------------------------------------------------------------- Total Assets 2,822,707 1,021,839 1,503,604 461,646 - ---------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for investment securities purchased 450,536 6,136 270,313 -- Payable for shares of beneficial interest redeemed 3,880 1,798 25,781 2,080 Unrealized loss on forward foreign currency contracts -- 839 7,411 -- Variation margin payable -- -- 114 -- Management fees payable 904 586 608 260 Investment advisory fees payable 1,009 869 152 208 Shareholder servicing fees payable 502 225 254 100 Accrued expenses 631 469 137 48 Payable to custodian bank -- 211 190 -- Foreign capital gains tax payable -- 278 -- -- - ---------------------------------------------------------------------------------------------------------------------------- Total Liabilities 457,462 11,411 304,960 2,696 - ---------------------------------------------------------------------------------------------------------------------------- Net Assets $2,365,245 $1,010,428 $1,198,644 $458,950 - ---------------------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in-capital-- Class A $3,252,804 $1,624,040 $1,260,075 $443,676 Undistributed net investment income (accumulated net investment loss) 3,192 (610) (48,036) 37,163 Accumulated net realized gain (loss) on investments (491,017) (410,344) (10,170) 990 Net unrealized appreciation (depreciation) on investments (399,929) (201,799)* 3,709 (22,878) Net unrealized appreciation on futures contracts 513 -- 71 -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (318) (859) (7,005) (1) - ---------------------------------------------------------------------------------------------------------------------------- Net Assets $2,365,245 $1,010,428 $1,198,644 $458,950 - ---------------------------------------------------------------------------------------------------------------------------- Outstanding shares of beneficial interest (thousands) (unlimited authorization - no par value) 286,545 166,132 118,400 50,851 Net Asset Value, Offering and Redemption Price Per Share-- Class A $8.25 $6.08 $10.12 $9.03 - ---------------------------------------------------------------------------------------------------------------------------- *Net of $277,740 accrued foreign capital gains taxes on appreciated securities. Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Annual Report / September 30, 2001 Statements of Operations ($ Thousands) For the year ended September 30, 2001
- ---------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND - ---------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 49,558 $ 32,167 $ -- $ -- Interest 1,341 2,435 48,360 56,894 Less: Foreign Taxes Withheld (4,927) (3,132) (2) -- - ---------------------------------------------------------------------------------------------------------------------------- Total Investment Income 45,972 31,470 48,358 56,894 - ---------------------------------------------------------------------------------------------------------------------------- EXPENSES: Management fees 12,594 8,219 7,026 3,240 Investment advisory fees 14,133 13,277 1,756 4,237 Shareholder servicing fees 6,996 3,161 2,927 1,246 Custodian/wire agent fees 1,989 2,076 518 75 Professional fees 88 34 40 17 Registration & filing fees 165 72 34 15 Printing fees 190 82 84 35 Trustee fees 15 7 7 3 Pricing fees 29 12 13 5 Miscellaneous expenses 18 6 8 8 - ---------------------------------------------------------------------------------------------------------------------------- Total Expenses 36,217 26,946 12,413 8,881 - ---------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees (369) (2,270) -- (1,310) Shareholder Servicing Fees -- -- (711) (845) - ---------------------------------------------------------------------------------------------------------------------------- Net Expenses 35,848 24,676 11,702 6,726 - ---------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 10,124 6,794 36,656 50,168 - ---------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net Realized Gain (Loss) from Security Transactions (439,745) (241,081) 6,930 5,859 Net Realized Gain (Loss) from Futures Contracts (17,554) -- 5,878 -- Net Realized Loss on Forward Foreign Currency Contracts and Foreign Currency Transactions (3,020) (4,715) (66,848) (3) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities in Foreign Currency (243) (882) 553 (4) Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts 4,043 -- (257) -- Net Change in Unrealized Appreciation (Depreciation) on Investments (556,090) (253,718)* 55,585 (31,413) - ---------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCEY TRANSACTIONS (1,012,609) (500,396) 1,841 (25,561) - ---------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,002,485) $(493,602) $38,497 $24,607 - ---------------------------------------------------------------------------------------------------------------------------- *Net of $251,991 increase in accrued foreign capital gains taxes on appreciated securities. Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 27 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
- ---------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND - ---------------------------------------------------------------------------------------------------------------------------- 2001 2000 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) $ 10,124 $ 20,526 $ 6,794 $ (5,610) Net realized gain (loss) from investment transactions (457,299) 81,283 (241,081) 49,993 Net realized loss on forward foreign currency contracts and foreign currency transactions (3,020) (2,669) (4,715) (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 3,800 (3,903) (882) 421 Net change in unrealized depreciation on investments (556,090) (117,844) (253,718)* (112,010)** - ---------------------------------------------------------------------------------------------------------------------------- Net decrease in net assets from operations (1,002,485) (22,607) (493,602) (69,677) - ---------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS FROM: Net investment income: Class A (17,570) (7,033) -- (587) Class D (2) (1) -- -- Net realized gains: Class A (77,378) (36,907) -- -- Class D (9) (8) -- -- - ---------------------------------------------------------------------------------------------------------------------------- Total distributions (94,959) (43,949) -- (587) - ---------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from shares issued 2,536,234 2,554,782 841,095 1,069,751 Reinvestment of cash distributions 88,552 40,706 -- 552 Cost of shares redeemed (2,115,981) (1,419,516) (622,098) (581,917) - ---------------------------------------------------------------------------------------------------------------------------- Increase in net assets from Class A transactions 508,805 1,175,972 218,997 488,386 - ---------------------------------------------------------------------------------------------------------------------------- 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 508,345 1,176,015 218,997 488,386 - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets (589,099) 1,109,459 (274,605) 418,122 - ---------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 2,954,344 1,844,885 1,285,033 866,911 - ---------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 2,365,245 $2,954,344 $1,010,428 $1,285,033 - ---------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares issued 237,478 189,656 106,222 96,424 Shares issued in lieu of cash distributions 7,734 3,108 -- 48 Shares redeemed (198,311) (105,728) (79,871) (51,686) - ---------------------------------------------------------------------------------------------------------------------------- Total Class A transactions 46,901 87,036 26,351 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 46,862 87,039 26,351 44,786 - ---------------------------------------------------------------------------------------------------------------------------- * Net of $251,991 increase in accrued foreign capital gains taxes on appreciated securities. ** Net of $340,171 decrease in accrued foreign capital gains 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 $0.
The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Annual Report / September 30, 2001 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
- -------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND - -------------------------------------------------------------------------------------------------------------------------- 2001 2000 2001 2000 - -------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income $ 36,656 $ 30,510 $ 50,168 $ 42,113 Net realized gain (loss) from investment transactions 12,808 (9,838) 5,859 27,874 Net realized loss on forward foreign currency contracts and foreign currency transactions (66,848) (42,161) (3) -- 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 296 (4,616) (4) 3 Net change in unrealized appreciation (depreciation) on investments 55,585 (69,734) (31,413) 19,762 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations 38,497 (95,839) 24,607 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 391,178 613,573 137,899 216,289 Reinvestment of cash distributions -- 14,289 46,340 28,405 Cost of shares redeemed (336,615) (221,001) (193,342) (98,965) - -------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 54,563 406,861 (9,103) 145,729 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets 93,060 296,144 (31,604) 206,561 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 1,105,584 809,440 490,554 283,993 - -------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $1,198,644 $1,105,584 $458,950 $490,554 - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares issued 39,647 59,171 14,966 24,257 Shares issued in lieu of cash distributions -- 1,332 5,340 3,386 Shares redeemed (33,935) (21,231) (21,014) (11,114) - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in capital shares 5,712 39,272 (708) 16,529 - -------------------------------------------------------------------------------------------------------------------------- Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 29 Financial Highlights For a Share Outstanding Throughout Each Period For the years ended September 30, (unless otherwise indicated)
- ------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Distributions from Ratio of Value, Investment Gains from Net Realized Net Asset Net Assets Expenses Beginning Income (Losses) Investment Capital Value, End Total End of Period to Average of Period (Loss) on Securities Income Gains of Period Return+ ($Thousands) Net Assets - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2001 $12.33 $0.03 $(3.73) $(0.07) $(0.31) $ 8.25 (30.85)% $2,365,245 1.28% 2000 12.09 0.08 0.43 (0.04) (0.23) 12.33 4.15 2,953,872 1.29++ 1999(1) 9.16 0.04 3.34 (0.10) (0.35) 12.09 37.86 1,844,459 1.28 1998(1)(2) 10.15 0.07 (1.06) -- -- 9.16 (9.75) 966,707 1.24 1998(1) 9.67 0.17 0.77 (0.18) (0.28) 10.15 10.21 851,542 1.21 1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 524,062 1.28 EMERGING MARKETS EQUITY FUND CLASS A 2001 $ 9.19 $ 0.04 $(3.15) $ -- $ -- $ 6.08 (33.84)% $1,010,428 1.95% 2000(1) 9.13 (0.05) 0.12 (0.01) -- 9.19 0.71 1,285,033 1.96 1999 6.17 (0.03) 3.00 (0.01) -- 9.13 48.23 866,911 1.95 1998(2) 10.55 0.07 (4.45) -- -- 6.17 (41.52) 498,470 1.95 1998 12.87 (0.03) (2.25) (0.03) (0.01) 10.55 (17.72) 509,748 1.95 1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 221,474 1.95 INTERNATIONAL FIXED INCOME FUND CLASS A 2001 $ 9.81 $ 0.33 $(0.02) $ -- $ -- $10.12 3.16% $1,198,644 1.00% 2000 11.03 0.31 (1.35) (0.18) -- 9.81 (9.58) 1,105,584 1.00 1999 11.89 0.30 (0.42) (0.53) (0.21) 11.03 (1.36) 809,440 1.00 1998(2) 10.68 0.40 0.81 -- -- 11.89 11.33 533,800 1.00 1998 10.53 0.23 0.11 (0.10) (0.09) 10.68 3.23 408,974 1.00 1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 204,219 1.00 EMERGING MARKETS DEBT FUND CLASS A 2001 $ 9.51 $ 0.94 $(0.53) $(0.89) $ -- $ 9.03 4.69% $ 458,950 1.35% 2000 8.11 0.84 1.33 (0.77) -- 9.51 28.07 490,554 1.35 1999 6.83 0.84 1.19 (0.75) -- 8.11 31.15 283,993 1.35 1998(2) 10.31 (0.11) (3.37) -- -- 6.83 (33.75) 162,938 1.35 1998(3) 10.00 0.56 -- (0.25) -- 10.31 5.64 154,284 1.35
- -------------------------------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Investment Expenses Income (Loss) Income to Average to Average (Loss) Net Assets Net Assets Portfolio to Average (Excluding (Excluding Turnover Net Assets Waivers) Waivers) Rate - -------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2001 0.36% 1.29% 0.35% 91% 2000 0.79 1.30 0.78 73 1999(1) 0.39 1.31 0.36 61 1998(1)(2) 1.60 1.31 1.53 66 1998(1) 1.31 1.30 1.22 75 1997 1.11 1.42 0.97 117 EMERGING MARKETS EQUITY FUND CLASS A 2001 0.54% 2.13% 0.36% 126% 2000(1) (0.46) 2.12 (0.62) 110 1999 (0.35) 2.14 (0.54) 129 1998(2) 1.51 2.24 1.22 46 1998 (0.12) 2.36 (0.53) 76 1997 (0.04) 2.55 (0.64) 100 INTERNATIONAL FIXED INCOME FUND CLASS A 2001 3.13% 1.06% 3.07% 235% 2000 3.17 1.11 3.06 190 1999 2.97 1.22 2.75 278 1998(2) 3.61 1.21 3.40 112 1998 3.92 1.24 3.68 280 1997 3.99 1.39 3.60 352 EMERGING MARKETS DEBT FUND CLASS A 2001 10.06% 1.78% 9.63% 196% 2000 10.67 1.80 10.22 227 1999 12.27 1.82 11.80 184 1998(2) 10.28 1.84 9.79 186 1998(3) 8.05 1.94 7.46 269 + 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. - -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Annual Report / September 30, 2001 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements 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 of America 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. 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. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 31 NOTES TO FINANCIAL STATEMENTS 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 September 30, 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. 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. - -------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Annual Report / September 30, 2001 Accordingly, the following permanent differences have been reclassified to/from the following accounts: - -------------------------------------------------------------------------------- Accumulated Undistributed Realized Net Investment Paid-in-Capital Gain/(Loss) Income (000) (000) (000) - -------------------------------------------------------------------------------- International Equity Fund $102 $ 959 $ (1,061) Emerging Markets Equity Fund -- 3,636 (3,636) International Fixed Income Fund -- 59,889 (59,889) Emerging Markets Debt Fund -- 3 (3) These reclassifications are primarily attributable to the reclassification of gains on the sale of passive foreign investment companies, the reclassification of realized foreign exchange gains and losses from accumulated net realized gain (loss) on foreign currency transactions to undistributed net investment income and the reclassification of net operating losses to paid in capital from accumulated net investment loss. These reclassifications have no effect on the net asset values per shares. OTHER -- Security transactions are accounted 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 Investment 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: - -------------------------------------------------------------------------------- Date of Investment Sub-Adviser Agreement - -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND 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 Morgan Stanley Investment Management, Inc. 10/01/01 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, - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 33 NOTES TO FINANCIAL STATEMENTS Strategic Fixed Income, LLC, receives an annual fee of .15% of the average daily 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 ser-vices. 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. This payment may be used to compensate financial institutions that provide distribution-related services to their customers. Effective January 31, 2001, the Class D shares were fully liquidated. 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 year ended September 30, 2001, the Funds paid commissions of $2,527,222 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 year ended September 30, 2001 were $16,817 and $8,545, respectively. 4. FORWARD FOREIGN CURRENCY CONTRACTS The Funds enter into forward foreign currency exchange contracts as hedges against fund positions and anticipated fund positions. Such contracts, which are designed to protect the value of the Fund's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities; they simply establish an exchange rate at a future date. Also, although such contracts tend to minimize risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase. The following forward foreign currency contracts were outstanding at September 30, 2001: - -------------------------------------------------------------------------------- In Unrealized Maturity Contracts to Exchange Appreciation/ Dates Deliver/Receive For (Depreciation) - -------------------------------------------------------------------------------- International Equity Fund FOREIGN CURRENCY PURCHASES: 10/02/01-10/04/01 AUD 18,087,180 $ 8,888,385 $ 36,784 10/02/01-10/03/01 CAD 2,846,295 1,802,867 (1,097) 10/01/01-10/03/01 CHF 42,468,066 26,291,877 (20,110) 10/03/01 DKK 6,245,620 763,495 1,405 10/01/01-10/03/01 EUR 142,615,549 130,836,008 (958,090) 10/01/01-10/03/01 GBP 121,529,554 179,349,809 (739,486) 10/03/01-10/04/01 HKD 43,180,866 5,536,169 246 10/01/01-10/03/01 JPY 8,416,934,976 70,879,001 (223,881) 10/01/01 NOK 389,383 43,879 22 10/01/01-10/03/01 SEK 96,388,102 9,029,876 5,407 10/01/01-10/02/01 SGD 5,896,480 3,734,720 (396,586) ------------ ----------- $437,156,086 $(2,295,386) ------------ ----------- FOREIGN CURRENCY SALES: 10/03/01-10/04/01 AUD 19,699,117 $ 9,689,646 $ (30,788) 10/01/01-10/03/01 CAD 32,627,681 20,682,191 27,972 10/01/01-10/03/01 CHF 45,784,563 28,258,070 (66,110) 10/03/01 DKK 21,990,832 2,688,267 (4,948) 10/01/01-10/03/01 EUR 204,901,982 188,141,774 1,539,402 10/01/01-10/03/01 GBP 48,491,569 71,529,376 262,512 10/03/01-10/04/01 HKD 55,294,485 7,089,284 (269) 10/01/01-10/03/01 JPY 9,339,131,184 78,764,627 368,789 10/01/01-10/02/01 NOK 58,677,027 6,661,464 45,943 10/01/01-10/03/01 NZD 5,706,447 2,303,995 (17,299) 10/03/01 SEK 18,198,561 1,711,952 6,062 10/01/01-10/02/01 SGD 6,596,480 4,131,771 397,350 ------------ ------------ $421,652,417 $ 2,528,616 ------------ ------------ $ 233,230 ============ - -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Annual Report / September 30, 2001 - -------------------------------------------------------------------------------- In Unrealized Maturity Contracts to Exchange Appreciation Dates Deliver/Receive For (Depreciation) - -------------------------------------------------------------------------------- Emerging Markets Equity Fund FOREIGN CURRENCY PURCHASES: 01/18/02 MXP 107,937,772 $ 11,400,000 $ (370,222) ------------ ----------- FOREIGN CURRENCY SALES: 01/18/02 MXP 153,380,298 $ 15,205,000 $ (468,388) ------------ ----------- $ (838,610) =========== International Fixed Income Fund FOREIGN CURRENCY PURCHASES: 11/29/01 AUD 43,893,495 $ 21,584,908 $ 6,040 11/29/01 CAD 14,744,384 9,382,910 (58,505) 11/29/01 CHF 120,544,401 76,150,435 (1,507,967) 11/29/01 EUR 515,244,038 475,449,968 (7,172,395) 11/29/01 GBP 189,104,735 276,125,293 871,524 10/01/01-11/29/01 JPY 33,159,007,911 286,621,842 (7,006,983) 11/29/01 NZD 1,189,800 489,008 (7,600) 11/29/01 PZL 89,170,471 21,070,527 26,920 11/29/01 SEK 31,236,192 2,954,336 (30,469) -------------- ----------- $1,169,829,227 $(14,879,435) -------------- ----------- FOREIGN CURRENCY SALES: 11/29/01 AUD 52,710,811 $ 25,831,170 $ (96,963) 11/29/01 CAD 133,971,928 85,254,844 530,478 11/29/01 CHF 109,052,400 68,049,450 522,959 11/29/01 DKK 103,842,330 12,895,664 204,342 10/03/01-11/29/01 EUR 429,941,699 395,871,941 5,100,829 11/29/01 GBP 193,536,426 282,775,100 (713,168) 11/29/01 HUF 9,421,557,581 32,908,474 (122,348) 11/29/01 JPY 17,235,922,449 146,713,408 1,352,102 11/29/01 NOK 106,073,862 12,280,621 399,099 11/29/01 NZD 33,016,843 13,568,272 209,259 11/29/01 PZL 159,373,211 37,554,548 (152,642) 11/29/01 SEK 298,160,183 28,144,250 234,938 -------------- ----------- $1,141,847,742 $ 7,468,885 -------------- ----------- $(7,410,550) =========== CURRENCY LEGEND AUD Australian Dollar HUF Hungarian Forint CAD Canadian Dollar JPY Japanese Yen CHF Swiss Franc MXP Mexican Peso DKK Danish Krone NOK Norwegian Krone EUR Euro PZL Polish Zloty GBP British Pounds Sterling SEK Swedish Krona HKD Hong Kong Dollar SGD Singapore Dollar 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments and U.S. government securities, during the year ended September 30, 2001, were as follows: - -------------------------------------------------------------------------- Purchases Sales ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------- International Equity Fund $3,013,069 $2,461,192 Emerging Markets Equity Fund 1,656,436 1,439,024 International Fixed Income Fund 2,047,815 1,771,492 Emerging Markets Debt Fund 609,475 606,650 The International Fixed Income Fund purchased ($ thousands) $76,466 and sold $71,049 in U.S. government securities, during the year ended September 30, 2001. For Federal income tax purposes, the cost of securities owned at September 30, 2001 and the net realized gains or losses on securities sold for the year then ended were different from the amounts reported for financial reporting purposes. The Federal tax cost, aggregate gross unrealized appreciation and depreciation at September 30, 2001 for the Funds is as follows: - -------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------- International Equity Fund $2,834,682 $69,842 $(551,887) $(482,045) Emerging Markets Equity Fund 1,268,844 52,297 (350,468) (298,171)* International Fixed Income Fund 1,191,979 14,584 (17,666) (3,082) Emerging Markets Debt Fund 443,735 8,590 (38,865) (30,275) *Net of $277,740 in accrued foreign capital gains taxes on appreciated securities. Subsequent to October 31, 2000, the following Funds had recognized net capital and net foreign currency losses that have been deferred to 2002 for tax purposes and can be used to offset future capital and foreign currency gains at September 30, 2002. The Funds also had capital loss carryforwards at September 30, 2001, that can be used to offset future capital gains. - -------------------------------------------------------------------------- Capital Loss Post 10/31/00 Post 10/31/00 Carryovers Capital Loss Currency Loss Expiring Deferral Deferral 2006-2009 ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------- International Equity Fund $414,621 $ 1,626 $ -- Emerging Markets Equity Fund 166,421 5,146 151,552 International Fixed Income Fund 3,378 55,402 -- Emerging Markets Debt Fund -- 2 -- - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 35 NOTES TO FINANCIAL STATEMENTS During the fiscal year ended September 30, 2001, the International Fixed Income Fund and Emerging Markets Debt Fund utilized capital loss carryforwards of ($ thousands) $3,690 and $3,813, respectively, to offset capital gains. 6. FUTURES CONTRACTS The following Funds had futures contracts open as of September 30, 2001: - -------------------------------------------------------------------------- Contract Number of Market Settlement Unrealized Description Contracts Value Month Gain/(Loss) - -------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND DJ Euro Stoxx 266 $8,042,574 December 2001 $358,420 FT-SE 100 Index 65 4,695,802 December 2001 106,660 Hang Seng Index 4 255,786 October 2001 16,463 SPI 200 Index 23 870,867 December 2001 20,209 Topix Index 51 4,345,253 December 2001 11,017 -------- $512,769 ======== INTERNATIONAL FIXED INCOME FUND Japan 10 Year Bond 124 $145,202,720 December 2001 $ 70,909 ======== 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 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 September 30, 2001, one shareholder held approximately 85%, 81%, 82%, and 84% 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. - -------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Annual Report / September 30, 2001 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2001 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2001 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2001 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year. - -------------------------------------------------------------------------- Long Term Ordinary Capital Gains Income Distributions Distributions Foreign Tax Portfolio (Tax Basis) (Tax Basis) Total Credit - -------------------------------------------------------------------------- International Equity 77% 23% 100% 22% Emerging Markets Equity 0% 0% 0% 0% International Fixed Income 0% 0% 0% 0% Emerging Markets Debt 0% 100% 100% 0% - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 37 Notes - -------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Annual Report / September 30, 2001 Notes - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2001 39 Notes - -------------------------------------------------------------------------------- 40 SEI Institutional International Trust / Annual Report / September 30, 2001 SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 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 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 ADVISER 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 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. 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-018 (9/01) -----END PRIVACY-ENHANCED MESSAGE-----