-----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, TlFcGXuaQG30AiGXUGq4WAxoWsIEyH12mf8tavNaeBvsUTKpy4Um/Vink+iBUIf7 kDNn5WTmGES5b5sJij23gg== 0000935069-02-001304.txt : 20021205 0000935069-02-001304.hdr.sgml : 20021205 20021205102313 ACCESSION NUMBER: 0000935069-02-001304 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020930 FILED AS OF DATE: 20021205 EFFECTIVENESS DATE: 20021205 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST CENTRAL INDEX KEY: 0000835597 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: 02849320 BUSINESS ADDRESS: STREET 1: SEI INVESTMENTS STREET 2: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH STREET 2: 530 E SWEDESFORD RD CITY: WAYNE STATE: PA ZIP: 19087-1693 FORMER COMPANY: FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST DATE OF NAME CHANGE: 19900129 FORMER COMPANY: FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST DATE OF NAME CHANGE: 19920703 N-30D 1 seiinstitutional.txt SEI INSTITUTIONAL INTERNATIONAL TRUST AR 9_02 SEI INVESTMENTS [BACKGROUND GRAPHIC OMITTED] Annual Report as of September 30, 2002 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 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 - ------------------------------------------------------------ Trustees and Officers of the Trust 39 - ------------------------------------------------------------ Notice to Shareholders 42 - ------------------------------------------------------------ MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 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 continued to lose considerable ground during the year ended September 30, 2002. Overall, the non-U.S. developed equity markets (as measured by the MSCI EAFE index) collectively lost more than 15% in U.S. dollar terms during the period. In total, 17 of 21 equity markets included in the index, as well as 8 of the 10 sector groups, posted negative results. The Pacific Basin was a relatively strong performer losing only 7% in U.S. dollar terms versus a 19% loss for developed European countries. Traditional defensive sectors, such as consumer staples and materials, performed relatively better than the battered areas of technology and telecommunications where earnings shortfalls and downward guidance on future growth dominated. The International Equity Fund underperformed the MSCI EAFE index during this time period by 0.26% (-15.79% for the fund versus -15.53% for the index). Positive stock selection within both the information technology and consumer staples sectors helped contribute to the strong performance. In addition, an overweight to the consumer discretionary sector added value as did the persistent underweight to the financials sector. The only major detractor, on a sector level, from further outperformance was the relatively weak stock selection within the financials area. On a country by country basis, the strong stock selection was broad in nature and evident in several different areas. For instance, the U.K., France and the Netherlands all posted solid stock selection helping to add further value for the fund relative to the MSCI EAFE index. In addition, the market weight to Japan in the portfolio over the past year has helped add further relative performance because of the relative strength of the Japanese market in the past twelve months. The Fund's value-oriented manager outpaced the MSCI EAFE index over the period. Strong stock selection was mainly generated in the consumer staples sectors as holdings such as Imperial Tobacco and Unilever added significant value. In addition, the consistent overweight to the more defensive sectors such as consumer staples and materials over the past year added further relative value versus the benchmark. The growth managers' exposure to growth-oriented stocks such as Vodafone, NTT DoCoMo, Taiwan Semiconductor and United Microelectronics detracted from performance during the continued 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 even further. We remain confident in our managers' abilities as their growth orientation has proven over time to add significant value. The Fund is positioned to capitalize on restructuring efforts in globally competitive sectors. Our managers continue to believe that it will be 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. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 INTERNATIONAL EQUITY FUND (Concluded) 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 Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date - ---------------------------------------------------------------------------- Class A -15.79% -15.35% -5.27% 2.17% 1.10% - ---------------------------------------------------------------------------- Synthetic Class I -15.79% -15.35% -5.27% 2.17% 1.10% - ---------------------------------------------------------------------------- [GRAPHIC OMITTED] FUND CATEGORY EDGAR REPRESENTATION OF TEXT USED IN PYRAMID GRAPHIC AS FOLLOWS: Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A and Synthetic Class I, versus the Morgan Stanley MSCI EAFE Index International International Morgan Stanley Equity Fund Equity Fund MSCI EAFE Class A Class I Index 9/30/92 $100,000 $100,000 $100,000 9/93 120,630 120,630 126,350 9/94 128,254 128,254 138,783 9/95 133,692 133,692 146,832 9/96 146,860 146,860 159,489 9/97 162,369 162,369 178,931 9/98 148,162 148,162 164,008 9/99 204,256 204,256 214,769 9/00 212,732 212,732 221,598 9/01 147,104 147,104 158,376 9/02 123,877 123,877 133,780 1 For the period ended September 30, 2002. Past performance is no indication of future performance. Class I Shares were offered beginning on January 4, 2002. The Performance shown for the Class I Shares prior to such date is synthetic performance derived from the performance of Class A Shares. Class A Shares were offered beginning December 30, 1989. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 2 SEI Institutional International Trust / Annual Report / September 30, 2002 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 ended September 30, 2002, Emerging Market Equities returned 7.90% as measured by the MSCI Emerging Markets Free Index. The Emerging Markets Fund returned 7.78%, underperforming the benchmark by 12 basis points. The year ended September 2002 started with a sharp rally in the fourth quarter of 2001 that extended into the first quarter of 2002. In response to the aggressive monetary easing that followed the attacks of September 11th, more cyclical and higher beta companies led the market on expectations of a global cyclical recovery. As the first signs of economic recovery faded, corporate scandals, disappointing earnings, high profile bankruptcies, and geopolitical concerns in the Middle East and Iraq raised risk aversion globally. Despite stronger fundamentals, emerging markets could not shake off the concerns of global investors, and initiated a retreat that extended into the third quarter of 2002. Risk aversion hit Latin America the most, as investors focused on Brazil and the potential default of its foreign debt in face of a policy change after the presidential elections. Argentina was the worst performing market, as companies were unable to withstand the devaluation and deep recession. Mexico, often considered a safe heaven in emerging markets, was dragged down in line with its major trading partner: the U.S. The portfolio did well in Latin America. Despite an over-weight to Brazil, the under-weight to Argentina and Chile added to performance. Stock selection was strong in Brazil, thanks to the focus on high quality exporters. In Mexico, the focus on consumer and financial stocks, and the under-weight to telecom helped relative returns. Europe Middle East & Africa saw heterogeneous performance across markets. The European Union convergence story helped markets like Czech Republic, where interest rates continued to decline, the currency strengthened, and foreign direct investment remained strong. Russia extended its positive momentum, on the back of a continuation of corporate and policy reforms and the support of a strong oil price. Turkey continued to disappoint investors after the political crisis hit the coalition government over the summer. The South African market was supported by the strength in materials in general, and gold and platinum in particular. Despite being under-weight to the resource sector in South Africa, and slightly over-weight to Turkey, the EMEA region was a positive contributor to performance thanks to the underweight to Israel -- driven by the Middle East tensions and poor outlook for technology stocks -- and the focus on Russian oil companies. Asian markets, representing more than fifty percent of the emerging markets capitalization, out-performed the other emerging regions and major developed markets for the period ended September 30, 2002. Korea, one of the first markets to collapse after the technology bubble, led the region on the back of corporate reforms, improving return of equity, and a dynamic economy. As the global recovery failed to materialize, the Korean economy continued to gain strength thanks to the resurgence of consumer demand. A similar trend benefited South East Asia, Thailand and Indonesia in particular, where consumers are driving the domestic economy, insulating the markets from global jitters. Taiwan, heavy weighted in technology exports, failed to offer investors an attractive domestic sector and under-performed the rest of the region. Relative performance in Asia was strong, thanks to the underweight to Taiwan, and overweight to Korea, Thailand, and Indonesia. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 EMERGING MARKETS EQUITY FUND (Concluded) Within these markets, the focus on financials in Korea and Thailand, and retailers in Korea added to performance. As the global economic environment remained uncertain, our managers continued to maintain an exposure to domestic and globally oriented sectors and companies. While in the past few quarters these exposures were balanced, the tilt has recently shifted toward the domestic-oriented segment. Driven by bottom-up opportunities, managers continued to find attractive stocks across sectors and markets, maintaining a broad and diversified exposure to emerging markets. 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 7.78% -10.45% -12.36% -5.19% - ------------------------------------------------------------ [GRAPHIC OMITTED] FUND CATEGORY EDGAR REPRESENTATION OF TEXT USED IN PYRAMID GRAPHIC AS FOLLOWS: Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, versus the Morgan Stanley MSCI Emerging Markets Free Index, and the IFC Investable Composite Index SEI Emerging Markets Equity Fund, Class A Morgan Stanley MSCI Emerging Markets Free Index IFC Investible Composite Emerging Markets Morgan Stanley IFC Investable Equity MSCI Emerging Composite Fund Markets Free Index Index 1/31/95 $100,000 $100,000 $100,000 9/30/95 106,507 107,547 106,691 9/30/96 114,644 113,150 115,920 9/30/97 126,625 120,572 122,075 9/30/98 61,502 62,927 64,956 9/30/99 91,164 98,493 101,715 9/30/00 91,811 98,897 101,023 9/30/01 60,742 66,103 68,665 9/30/02 65,468 71,358 76,514 1 For the period ended September 30, 2002. Past performance is no indication of future performance. Class A Shares were offered beginning January 17, 1995. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Annual Report / September 30, 2002 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. dollar denominated issues. 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 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 The International Fixed Income Fund undertook a number of key changes over the past year. On July 24, 2002, Fischer Francis Trees and Watts (FFTW) was appointed as sub-advisor to the Fund, replacing Strategic Fixed Income. Additionally, on August 1, 2002, the benchmark for the Fund changed from the Salomon Brothers Non-U.S. World Government Bond Index to the Lehman Global Aggregate, Ex-U.S. Index. The new index encompasses non-sovereign debt and was viewed as a better representation of the opportunity set now available to investors outside the U.S. market. Under Strategic Fixed Income, Fund construction entailed a two-stage process that combined fundamental macroeconomic analysis with technical price analysis. First, a fundamental judgment was made about the direction of a market's interest rates and its currency. A technical price overlay was 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. Under FFTW, the Fund will be managed against a broad aggregate index inclusive of sovereign, mortgage and corporate securities. The portfolio will seek to add value through a number of diversified, balanced and uncorrelated positions, however the majority of the tracking error and expected value added will be derived from country and currency positions over the long-term. 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 intends to be diversified across 6 to 12 countries and across 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 year ended September 30, 2002, the International Fixed Income Fund returned 8.70% under-performing the benchmark index, Lehman Global Aggregate, Ex-U.S. Index, return of 10.28%. The last 12 months was a period of two halves for international bond investors. During the first half of the fiscal year a resurgence of economic growth, especially in the U.S., led to expectations of interest rate hikes across the globe. In addition, it was a period of U.S. dollar strength as U.S. economic fundamentals looked more favorable than Europe and Japan, and Japan had its foreign currency credit rating downgraded 1 notch by both S&P and Fitch to AA. The second half of the fiscal year was a period of strong returns for international bond investors as both bonds rallied and the U.S. dollar weakened. Bonds were supported by equity market weakness and concerns over the global growth outlook. In Europe, reduced inflationary pressures, falling consumer confidence and comments from the European Central Bank all pushed yields lower. In the UK, bonds rallied due to concerns over the solvency ratios of the insurance sector, resulting in a flight to quality out of equities into bonds. Additionally, a report by the Bank of England reducing both growth and inflation forecasts boosted bonds. All markets were assisted by a strong rally in U.S. bonds over the period. The U.S. dollar also declined as the ability to finance the massive U.S. current account deficit through portfolio inflows into the U.S. was increasingly being questioned. In addition, weaker economic data and poor equity market performance also contributed to the dollars decline. The net result for the 12 months to September 30, 2002 was that the benchmark for the Fund returned 10.28% over the period. The SEI International Fixed Income Fund under-performed its benchmark for the year due to its currency positioning. In the fourth quarter of 2001 the Fund added value from being underweight the yen - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 INTERNATIONAL FIXED INCOME FUND (Concluded) through a period of yen weakness. However over the next two quarters technical currency trading detracted from performance. In July and August, the Fund was positioned long the euro versus sterling and yen. While the euro rallied strongly to break through parity against the U.S. dollar at the start of the quarter, liquidation of long euro positions due to profit taking at the end of July and throughout August, as well as concerns over Europe's economic outlook relative to other economies, saw the euro fall and this detracted from returns. In September, FFTW initiated a long U.S. dollar position against the euro and yen and this added to performance. An over-weight to Eastern Europe throughout the period was a positive contributor to performance. Poland continued its strong rally in bonds as its annual inflation rate fell to a record low of 1.20% in August 2002. Poland's central bank cut its benchmark interest rate 7.00% over the year. The benchmark rate has now fallen from 19.00% in January 2001 to the current level of 7.50%. 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 8.70% 0.46% 2.38% 4.51% - ------------------------------------------------------------ [GRAPHIC OMITTED] FUND CATEGORY EDGAR REPRESENTATION OF TEXT USED IN PYRAMID GRAPHIC AS FOLLOWS: Comparison of Change in the Value of a $100,000 Investment in the SEI International Fixed Income Fund, versus the Lehman Global Aggregate Index, Ex-U.S. and the Salomon WGBI, Non-U.S. Lehman Global International Aggregate Index, Salomon WGBI, Fixed Income Fund Ex-U.S. Non-US 9/30/93 $100,000 $100,000 $100,000 9/94 103,330 104,840 105,570 9/95 123,851 124,110 124,340 9/96 128,223 132,686 129,364 9/97 129,711 132,234 128,264 9/98 145,886 149,875 141,539 9/99 143,902 145,963 143,677 9/00 130,116 131,819 132,484 9/01 134,227 137,131 138,288 9/02 145,905 151,228 152,753 1 For the period ended September 30, 2002. Past performance is no indication of future performance. Class A Shares were offered beginning September 1, 1993. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Annual Report / September 30, 2002 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 15-20 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 2.15% for the fiscal year ended September 30, 2002, outperforming the J.P. Morgan Emerging Markets Bond Plus Index return of -1.14%. The Fund's underweights to Argentina along with overweights to Mexico and Russia enhanced performance during the fiscal year. The Fund's overweight to Brazil along with 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 an additional 75 basis points, a drastic slide in the U.S. equity markets, high oil prices, along with fiscal/political problems in Argentina and Brazil 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. A fiscal crisis in Argentina with spillover into Brazil led those countries to be two of 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 35 basis points from the previous period, and ended the year at 1,042 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 beginning of the fiscal year. The country experienced a `roller coaster' of performance at the end of 2001 as political, fiscal and economic uncertainty led to increased volatility in the country's bond prices and eventual default. Argentina is in the midst of a 5-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. All of these issues led Argentina to default on its debt in late 2001, and bond prices fell 62% during the past 12 months. Also, holding the market's attention was Argentina's neighbor Brazil, which also experienced volatility during the fiscal year. Concern regarding a presidential election escalated when the opposition candidate took a large lead heading into the October 2002 elections. This fear stemmed from previous statement by the opposition candidate regarding possible defaulting on the country's debt. During the summer months, Brazil bonds fell as polls showed the opposition candidate widening his lead. For the period, Brazil bonds fell 20% and the Fund is overweight, which detracted from performance. Mexico was one of the top performing countries in Latin America during the period returning in excess of 14%. Concern regarding the situations in Argentina and Brazil, coupled with an enhanced fiscal - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 EMERGING MARKETS DEBT FUND (Concluded) situation allowed investors to move assets out of riskier countries and into the higher credit quality Mexican bonds. Mexico has shown excellent ability in spurring economic growth coupled with strong desire to cut costs, which are key points reviewed 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 rating agencies viewed Mexico's reforms positively as both now have the country rated as an investment grade. S&P raised Mexico to investment grade status during the fiscal year, shifting its rating to BBB-. Additionally, Moody's upgraded Mexico's rating further to Baa2 from Baa3 during the year. The Fund is overweight Mexico, which benefited returns. The strongest performing country in Emerging Markets Debt during the fiscal year was Russia, which returned over 45%. Improving fundamentals and successful reforms enacted by President Putin continued to support bond prices and narrow spreads. High oil prices and Russia's ability to increase reserves and collect revenues aided the country's returns. Russia has been diligently taking the extra revenues and pre-paying outstanding debt. 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 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 neutral spread duration and invest in those countries that exhibit the ability to service their debt and are enacting positive reforms. EMERGING MARKETS DEBT FUND AVERAGE ANNUAL TOTAL RETURN(1) - ------------------------------------------------------------ Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - ------------------------------------------------------------ Class A 2.15% 11.05% 3.43% 4.44% - ------------------------------------------------------------ [GRAPHIC OMITTED] FUND CATEGORY EDGAR REPRESENTATION OF TEXT USED IN PYRAMID GRAPHIC AS FOLLOWS: Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Plus Index SEI Emerging J.P. Morgan Markets Debt Emerging Markets Fund Bond Plus Index 6/30/97 $100,000 $100,000 9/30/97 106,198 106,908 9/30/98 69,984 79,860 9/30/99 91,785 98,220 9/30/00 117,549 125,761 9/30/01 123,062 127,987 9/30/02 125,707 126,528 1 For the period ended September 30, 2002. Past performance is no indication of future performance. Class A Shares were offered beginning June 29, 1997. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Annual Report / September 30, 2002 SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2002 REPORT OF INDEPENDENT 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, 2002, 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 five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 22, 2002 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 9 SCHEDULE OF INVESTMENTS INTERNATIONAL EQUITY FUND September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCK-- 97.3% AUSTRALIA--2.9% Australia and New Zealand Banking Group 386,200 $ 3,704 Baycorp Advantage 190,593 326 BHP Billiton 2,198,665 10,813 BHP Steel (A)* 22,769 33 Billabong International 210,729 836 Brambles Industries 82,500 289 Commonwealth Bank of Australia 139,000 2,277 Computershare 226,464 271 Corporate Express Australia 695,000 1,983 CSL 56,000 671 Foodland Associated 190,000 1,962 Foster's Group 797,325 1,997 Macquarie Bank 28,350 341 Macquarie Infrastructure Group 1,057,000 1,717 National Australia Bank 234,871 4,273 Newcrest Mining 220,000 807 News (A) 280,183 1,338 Patrick 105,000 789 Qantas Airways 727,024 1,414 QBE Insurance Group 975,757 3,796 Resmed* 195,500 552 Rio Tinto 48,500 799 Santos 292,002 966 Suncorp-Metway 308,000 1,942 Telstra 2,474,573 6,374 Westpac Banking 117,500 884 WMC 272,800 1,051 Woolworths 505,543 3,379 --------- 55,584 --------- BRAZIL--0.1% Cia Vale do Rio Doce ADR (A)* 43,000 978 CANADA--0.6% Abitibi-Consolidated 185,600 1,248 Alcan Aluminum 30,600 757 BCE* 182,600 3,235 Bombardier, Series B USD 22,600 62 Bombardier, Series B 20,000 55 Suncor Energy 71,500 1,231 Telus 111,200 757 Thomson 170,800 4,235 ------- 11,580 ------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- DENMARK--0.2% Danisco A/S 109,385 $ 3,813 Novo-Nordisk A/S, Class B 12,900 352 --------- 4,165 --------- FINLAND--0.8% Nokia Oyj (A) 1,013,300 13,469 UPM-Kymmene Oyj 75,800 2,083 --------- 15,552 --------- FRANCE--11.1% Accor 233,139 6,809 Air Liquide 21,487 2,654 Alcatel (A) 660,862 1,535 Aventis 698,490 36,587 BNP Paribas 132,370 4,315 Bouygues (A) 185,360 4,763 Carrefour 604,368 24,250 Cie de Saint-Gobain 527,191 11,640 Cie Generale D'Optique Essilor International 30,100 1,221 Groupe Danone 107,448 12,955 L'Oreal 70,869 5,113 LVMH Moet Hennessy Louis Vuitton (A) 340,514 12,418 Michelin (C.G.D.E.), Class B 21,900 615 Pechiney 27,100 721 Pernod-Ricard (A) 43,981 3,955 Renault 67,900 2,925 Sanofi-Synthelabo 305,700 17,236 Schneider Electric 160,475 7,118 Societe Generale, Class A 88,100 3,714 Societe Television Francaise 1 44,400 943 TotalFinaElf 319,749 42,092 Valeo 366,944 10,528 Vivendi Universal (A) 195,800 2,196 --------- 216,303 --------- GERMANY--4.2% Aixtron 45,400 213 Allianz 12,000 1,033 Bayer 437,913 7,548 Bayerische Motoren Werke (A) 40,000 1,283 DaimlerChrysler 73,700 2,469 Deutsche Bank 264,199 12,089 Deutsche Telekom (A) 459,160 3,880 E.ON 357,606 16,858 Epcos (A)* 29,100 206 Infineon Technologies (A)* 601,220 3,244 Metro 68,500 1,192 Muenchener Rueckversicherungs (A) 147,717 15,066 RWE 83,405 2,473 - -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SAP 7,700 $ 342 Siemens 70,100 2,352 ThyssenKrupp 186,900 1,986 TUI 34,000 523 Volkswagen 228,712 8,318 --------- 81,075 --------- GREECE--0.1% Hellenic Telecommunications Organization 146,100 1,649 HONG KONG--2.0% Cathay Pacific Airways 163,000 220 Cheung Kong Holdings 566,000 3,570 China Insurance International Holdings 1,600,000 631 China Mobile* 3,055,500 7,052 CNOOC 425,000 591 Cosco Pacific 1,050,000 734 Esprit Holdings 420,000 646 Fountain SET Holdings 2,000,000 801 Hang Lung Properties (A) 1,100,000 980 Hang Seng Bank 326,700 3,424 Hengan International Group 1,950,000 538 Hong Kong & China Gas 827,570 1,109 Hong Kong Electric Holdings 430,000 1,819 Hong Kong Land Holdings* 2,000,215 2,600 Hutchison Whampoa 540,400 3,132 Johnson Electric Holdings 1,250,000 1,250 Li & Fung 1,060,000 1,006 Shangri-La Asia 1,899,000 1,096 Sun Hung Kai Properties 735,800 4,321 Swire Pacific 380,000 1,501 TCL International Holdings 2,050,000 585 Techtronic Industries 1,810,000 1,392 --------- 38,998 --------- IRELAND--0.2% Allied Irish Banks 135,720 1,623 CRH 158,571 1,779 Irish Life & Permanent 90,000 1,023 --------- 4,425 --------- ITALY--2.1% Assicurazioni Generali 43,500 638 ENI-Ente Nazionale Idrocarburi 1,423,652 19,529 IntesaBci 2,016,345 3,388 Mediaset (A) 925,279 5,752 Telecom Italia (A) 1,489,687 7,405 TIM (A) 1,162,068 4,525 --------- 41,237 --------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- JAPAN--21.1% Acom (A) 48,200 $ 2,035 Aderans 23,000 444 Advantest (A) 87,500 3,400 Aeon 213,000 5,459 Aiful (A) 31,755 1,834 Aisin Seiki (A) 89,000 1,138 Amano (B) 133,000 829 Asahi Kasei (A) 921,000 2,497 Asatsu-DK 78,400 1,472 Avex 21,900 295 Banyu Pharmaceutical 108,700 1,147 Bellsystem 24 11,730 2,029 Bridgestone 237,000 2,819 C&S 63,000 1,356 Canon (A) 605,683 19,801 Capcom 49,200 1,123 Central Japan Railway 170 1,079 Chubu Electric Power 46,400 781 Chugai Pharmaceutical (A) 105,000 888 Credit Saison (A) 122,000 2,681 Dai Nippon Printing (A) 593,000 6,425 Daikin Industries 47,000 884 Daiwa House Industry 203,000 1,241 Daiwa Securities Group (A) 1,312,000 7,242 Denso 258,500 4,206 East Japan Railway 1,092 5,095 FamilyMart 55,000 1,299 Fuji Heavy Industries (A) 350,000 1,228 Fuji Photo Film 265,000 7,902 Fuji Soft ABC 77,200 1,398 Fuji Television Network 798 3,507 Fujikura 477,000 1,117 Fujisawa Pharmaceutical 44,000 904 Fujitsu (A) 1,772,000 7,656 Funai Electric 13,800 1,290 Goodwill Group 453 1,395 Hirose Electric 63,900 4,588 Hitachi (A) 525,000 2,631 Hitachi Capital 45,900 576 Hitachi Metals 345,000 972 Honda Motor (A) 223,900 9,067 Hosiden 129,700 1,466 Hoya 29,800 1,848 Ito-Yokado 147,000 5,772 Japan Airlines System (1) (A)* 261,000 632 Japan Airport Terminal 33,000 238 Japan Telecom Holdings 310 772 Japan Tobacco (A) 766 4,832 JSR 148,000 1,143 Kamigumi 304,000 1,388 Kaneka 205,000 1,155 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 11 SCHEDULE OF INVESTMENTS INTERNATIONAL EQUITY FUND (Continued) September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Kanematsu* 951,000 $ 1,226 Kansai Electric Power (A) 60,500 850 Kao (A) 65,000 1,434 Keihin 148,700 1,611 Keyence 5,900 991 Konami (A) 57,000 1,465 Kyocera 43,200 2,892 Lawson 114,500 3,471 Mabuchi Motor 20,800 1,837 Mandom (A) 15,000 293 Marui 103,000 1,116 Matsushita Electric Industrial (A) 945,000 9,804 Matsushita Electric Works 96,000 584 Millea Holdings (A)* 1,008 8,081 Mitsubishi Estate (A) 452,000 3,613 Mitsubishi Heavy Industries (A) 1,121,000 3,057 Mitsubishi Motors (A)* 613,000 1,239 Mitsubishi Pharma 153,000 1,175 Mitsubishi Securities (A) 328,000 1,986 Mitsui (A) 312,000 1,638 Mitsui Fudosan 460,000 3,741 Mitsui Mining & Smelting 910,000 1,981 Mitsui Sumitomo Insurance 1,510,000 7,082 Mizuho Holdings (A) 1,692 3,961 Mori Seiki 99,300 595 Murata Manufacturing 18,400 937 Namco (A) 68,000 1,218 NEC (A) 604,000 2,912 Nichiei Kyoto 80,700 355 Nikko Cordial 500,000 2,378 Nikon (A) 177,000 1,351 Nintendo 73,700 8,584 Nippon Broadcasting Systems 35,000 1,035 Nippon Comsys 156,000 824 Nippon Meat Packers 107,000 857 Nippon System Development 83,800 1,449 Nippon Telegraph & Telephone 2,228 7,412 Nippon Television Network 2,520 429 Nissan Motor (A) 2,320,400 17,230 Nissin Healthcare Food Service 17,000 366 Nitto Denko 101,600 2,579 Nomura Holdings 642,000 8,438 NTT DoCoMo 4,479 7,653 Obic 4,300 749 Olympus Optical (A) 45,000 659 ORIX (A) 118,600 6,985 Osaka Gas (A) 455,000 1,110 Pioneer 97,000 1,605 Promise (A) 57,300 2,207 Rohm 101,420 11,905 Sankyo (A) 529,100 6,850 Santen Pharmaceutical (A) 113,000 966 Sanyo Electric 451,000 1,526 Secom 53,000 2,120 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sega* 85,100 $ 1,590 Sekisui House (A) 799,000 5,966 Shimachu 57,000 923 Shimamura 3,700 231 Shin-Etsu Chemical 200,500 6,637 Shionogi (A) 380,000 4,101 Shiseido (A) 113,000 1,349 Sony (A) 151,500 6,359 Sumitomo 883,000 4,533 Sumitomo Electric Industries (A) 634,000 3,635 Sumitomo Mitsui Banking 223,000 1,253 Sumitomo Realty & Development (A) 122,000 701 Suzuki Motor (A) 201,000 2,267 Taisho Pharmaceutical 50,000 785 Taiyo Yuden (A) 51,000 779 Takeda Chemical Industries (A) 123,000 4,961 Tanabe Seiyaku 105,000 835 TDK (A) 68,300 2,654 TIS 23,000 326 Tokai Rubber Industries 10,000 90 Tokyo Electric Power (A) 126,900 2,293 Tokyo Electron (A) 90,500 3,464 Tokyo Gas (A) 974,000 2,848 Tokyu (A) 487,000 1,796 TonenGeneral Sekiyu 130,000 831 Toppan Forms (A) 80,200 928 Toppan Printing (A) 595,398 5,258 Toray Industries (A) 689,000 1,675 Toyo Seikan Kaisha 300,000 3,364 Toyota Motor 440,600 11,328 Trend Micro* 19,000 499 UFJ Holdings (A) 454 1,205 Ushio 160,000 1,695 Watami Food Service 170,300 1,238 Yamanouchi Pharmaceutical (A) 474,700 10,411 Yamatake 139,000 770 Yamato Transport (A) 114,000 1,714 -------- 412,680 -------- LUXEMBOURG--0.0% SES GLOBAL 92,000 455 -------- MEXICO--0.3% America Movil, Series L ADR 132,600 1,602 Telefonos de Mexico, Series L ADR 161,300 4,540 -------- 6,142 -------- NETHERLANDS--8.8% ABN Amro Holding 438,942 4,807 Aegon 651,945 6,121 Akzo Nobel 524,535 16,900 ASML Holding (A)* 136,600 840 CSM 203,845 4,394 - -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fortis 216,960 $ 3,023 Hagemeyer 110,000 833 Heineken 261,114 10,247 Heineken Holding 111,250 3,193 ING Groep (A) 926,684 12,831 Koninklijke Philips Electronics 1,149,383 16,698 Koninklijke Philips Electronics (NY Shares) 16,100 234 Numico 38,600 411 Royal Dutch Petroleum (A) 547,523 22,105 Royal Dutch Petroleum (NY Shares) 21,200 852 Royal KPN* 4,902,846 25,439 TPG 671,569 11,256 Unilever (A) 270,283 16,000 VNU 404,244 9,393 Wolters Kluwer (A) 316,721 5,728 --------- 171,305 --------- NEW ZEALAND--0.3% Fisher & Paykel Appliances Holdings 48,573 231 Fletcher Building 430,653 604 Telecom 1,530,139 3,531 Warehouse Group 218,451 732 --------- 5,098 --------- NORWAY--0.1% Statoil ASA 367,100 2,799 PORTUGAL--0.1% Electricidade de Portugal 1,394,673 2,081 SINGAPORE--1.3% City Developments 196,000 518 DBS Group Holdings 192,649 1,214 DBS Group Holdings ADR* 381,000 2,399 Great Eastern Holdings 109,000 521 Keppel 210,000 513 Oversea-Chinese Banking 401,000 2,166 Singapore Airlines 240,000 1,296 Singapore Press Holdings 214,000 2,288 Singapore Technologies Engineering 1,675,000 1,574 Singapore Telecommunications (A) 6,236,000 4,842 United Overseas Bank 1,256,720 8,415 --------- 25,746 --------- SOUTH KOREA--1.1% Kookmin Bank ADR* 38,139 1,351 KT ADR 86,758 1,924 Samsung Electronics 7,170 1,751 Samsung Electronics GDR (A) 144,625 17,138 --------- 22,164 --------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SPAIN--2.4% Altadis 56,500 $ 1,254 Banco Bilbao Vizcaya Argentaria 1,742,861 13,022 Iberdrola 932,491 12,073 Inditex (A) 167,400 3,391 Telefonica* 2,349,862 17,511 --------- 47,251 --------- SWEDEN--2.3% Assa Abloy 1,251,782 12,150 Atlas Copco 616,591 10,274 ForeningsSparbanken 411,677 4,107 Nordea 1,156,166 4,588 Securitas 1,039,495 12,892 Svenska Handelsbanken 72,000 897 Telefonaktiebolaget LM Ericsson* 890,060 323 --------- 45,231 --------- SWITZERLAND--8.3% Adecco (A) 321,560 10,881 Compagnie Financiere Richemont (A) 218,837 3,246 Credit Suisse Group (A)* 371,174 7,281 Holcim 36,105 5,716 Nestle 87,944 19,222 Novartis 936,654 37,035 Roche Holding 387,917 26,239 Schindler Holding 10,440 1,843 STMicroelectronics (A) 110,600 1,488 STMicroelectronics (NY Shares) (A) 31,800 430 Swiss Reinsurance 105,737 5,946 Swisscom 16,793 4,668 Syngenta 281,255 15,350 UBS* 485,682 20,209 Zurich Financial Services 20,760 1,938 --------- 161,492 --------- TAIWAN--0.3% Taiwan Semiconductor Manufacturing ADR* 622,785 3,955 United Microelectronics ADR (A)* 568,966 2,008 --------- 5,963 --------- UNITED KINGDOM--26.6% Allied Domecq 1,220,133 7,694 ARM Holdings* 329,600 643 AstraZeneca SEK 271,886 8,093 AstraZeneca 357,977 10,854 AstraZeneca ADR 1,300 40 Aviva 429,400 2,414 BAA 957,174 7,963 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 13 SCHEDULE OF INVESTMENTS INTERNATIONAL EQUITY FUND (Concluded) September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- BAE Systems 7,222,370 $ 21,807 Barclays 1,342,808 7,845 BG Group 564,000 2,211 BHP Billiton 1,186,422 5,504 BOC Group 512,679 6,990 BP 4,733,351 31,636 Brambles Industries 301,800 982 British American Tobacco 726,959 7,419 British Sky Broadcasting* 2,410,008 19,424 BT Group 5,101,971 13,198 Bunzl 479,865 3,328 Cadbury Schweppes 2,535,134 16,944 Centrica 453,000 1,181 Compass Group 286,100 1,192 GlaxoSmithKline 2,571,145 49,734 GUS 701,681 5,981 Hays 3,614,584 6,508 HBOS 149,600 1,382 HSBC Holdings 1,204,792 12,202 Imperial Tobacco Group 761,874 12,041 J Sainsbury 1,175,638 5,177 Kingfisher 1,678,465 5,437 Lattice Group 1,769,737 4,766 Legal & General Group 5,157,611 7,016 Lloyds TSB Group 2,490,867 18,391 Marks & Spencer Group 1,357,770 6,854 National Grid Group 566,200 4,020 Next 116,410 1,701 Pearson 316,100 2,533 Prudential 766,332 4,091 Reckitt Benckiser 125,100 2,361 Reed Elsevier 5,311,999 45,653 Rentokil Initial 1,990,545 6,519 Reuters Group 495,200 1,760 Rolls-Royce 1,018,210 1,601 Royal Bank of Scotland Group 616,769 11,639 Scottish & Newcastle 1,198,201 10,552 Shell Transport & Trading 4,344,589 25,894 Shire Pharmaceuticals* 75,000 607 Smiths Group 385,840 3,889 Standard Chartered 438,586 4,518 Unilever 2,662,314 24,157 Vodafone Group 35,399,303 45,370 Wolseley 301,360 2,396 WPP Group 1,034,363 6,938 Xstrata* 76,000 765 ---------- 519,815 ---------- Total Foreign Common Stock (Cost $2,408,404) 1,899,768 ---------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN PREFERRED STOCK--0.1% AUSTRALIA--0.1% News 440,000 $ 1,800 ----------- BRAZIL--0.0% Cia Vale do Rio Doce ADR 17,000 368 ----------- Total Foreign Preferred Stock (Cost $3,069) 2,168 ----------- COMMON STOCK--0.0% UNITED STATES--0.0% Gen-Probe (A)* 12,040 205 ----------- Total Common Stock (Cost $515) 205 ----------- RIGHTS--0.0% UNITED KINGDOM--0.0% Legal & General Group, Expires 10/22/02 1,340,978 580 ----------- Total Rights (Cost $0) 580 ----------- FOREIGN CONVERTIBLE BONDS--0.1% JAPAN--0.1% Capcom 1.000%, 09/30/05 JPY 120,000 1,064 Sanwa International Finance 1.250%, 08/01/05 JPY 84,000 287 ----------- 1,351 ----------- LUXEMBOURG--0.0% Hellenic Finance 2.000%, 08/02/05 EUR 181 184 ----------- Total Foreign Convertible Bonds (Cost $2,585) 1,535 ----------- U.S. TREASURY OBLIGATIONS--0.1% UNITED STATES--0.1% U.S. Treasury Bills (2) 1.582%, 02/27/03 $2,700 2,683 ----------- Total Treasury Obligations (Cost $2,682) 2,683 ----------- - -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) ($ Thousands) - -------------------------------------------------------------------------------- TIME DEPOSIT--0.0% UNITED STATES--0.0% State Street Bank 1.688%, 10/02/02 $ 290 $ 290 ----------- Total Time Deposit (Cost $290) 290 ----------- REPURCHASE AGREEMENTS--0.6% Morgan Stanley 1.850%, dated 09/30/02, matures 10/01/02, repurchase price $3,148,777 (collateralized by U.S. Government Obligations: total market value $3,229,800) 3,149 3,149 State Street Bank 0.850%, dated 09/30/02, matures 10/01/02, repurchase price $7,373,174 (collateralized by U.S. Treasury Obligations: total market value $7,529,063) 7,373 7,373 ----------- Total Repurchase Agreements (Cost $10,522) 10,522 ----------- Total Investments--98.2% (Cost $2,428,067) $ 1,917,751 =========== Percentages are based on Net Assets of $1,953,402,179. * 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. Zero coupon security, the rate shown is the effective yield at time of purchase. (A) This security or a partial postion of this security is on loan at September 30, 2002 (see note 10). The total value of securities on loan at September 30, 2002 was $269,568,868. ADR -- American Depository Receipt EUR -- Euro GDR -- Global Depository Receipt JPY -- Japanese Yen SEK -- Swedish Krona USD -- U.S. Dollar The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 15 SCHEDULE OF INVESTMENTS EMERGING MARKETS EQUITY FUND - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCK-- 88.4% ARGENTINA--0.2% Perez Companc ADR* 73,966 $ 372 Quilmes Industrial ADR 63,020 466 Siderca SAIC ADR 18,380 286 ---------- 1,124 ---------- BRAZIL--3.2% Aracruz Celulose ADR 20,943 307 Banco Bradesco ADR 23,708 251 Banco Itau ADR 71,170 1,115 Brasil Telecom 1,319,771 3 Brasil Telecom Participacoes ADR 74,106 1,646 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 83,561 989 Cia de Bebidas das Americas ADR 383,212 4,108 Cia de Saneamento Basico do Estado de Sao Paulo 48,470,000 968 Cia Energetica de Minas Gerais ADR 33,987 182 Cia Paranaense de Energia ADR 32,265 62 Cia Siderurgica Nacional 62,401,300 489 Cia Siderurgica Nacional ADR 17,200 140 Cia Vale do Rio Doce ADR* 48,290 1,099 Eletropaulo Metropolitana de Sao Paulo 1,857,862 11 Empresa Brasileira de Aeronautica ADR 159,509 2,121 Gerdau ADR 55,925 386 Petroleo Brasileiro SA--Petrobras 195,588 1,943 Petroleo Brasileiro SA--Petrobras ADR 345,512 3,707 Tele Celular Sul Participacoes ADR 77,000 508 Tele Centro Oeste Celular Participacoes ADR 185,900 431 Tele Norte Leste Participacoes ADR 151,700 804 Telesp Celular Participacoes ADR* 3,000 5 Ultrapar Participacoes ADR (B) 93,900 530 Uniao de Bancos Brasileiros GDR 175,000 1,243 Votorantim Celulose e Papel SA-- VCP ADR 32,241 450 ---------- 23,498 ---------- CHILE--1.0% Banco de Chile ADR 50,220 728 Banco Santander Chile ADR 68,766 1,217 Cia Cervecerias Unidas ADR 108,470 1,374 Cia de Telecomunicaciones de Chile ADR 200,150 1,749 Distribucion y Servicio D&S ADR 119,374 1,039 Enersis SA/Chile ADR* 102,069 457 Quinenco ADR (B) 204,600 827 ---------- 7,391 ---------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CHINA--3.2% Aluminum Corp of China 8,002,000 $ 790 Beijing Datang Power Gen 12,576,000 4,716 China Southern Airlines 10,090,000 2,510 Huaneng Power International 5,247,000 4,104 PetroChina 28,684,000 5,811 Qingling Motors 6,804,200 654 Shandong International Power Development 4,724,100 1,072 Sinopec Shanghai Petrochemical* 3,930,000 433 Sinopec Yizheng Chemical Fibre 7,082,600 853 Zhejiang Expressway 8,186,000 2,729 ---------- 23,672 ---------- CROATIA--0.2% Pliva D.D. (A) 93,200 1,146 ---------- CZECH REPUBLIC--1.0% CEZ 360,400 1,102 Komercni Banka AS 104,754 5,932 ---------- 7,034 ---------- EGYPT--0.9% Commercial International Bank GDR 196,200 1,103 Misr International Bank SAE GDR (A)(B) 428,325 685 Mobinil-Eqyptian Mobile 444,283 2,726 Orascom Construction Industries (B) 158,494 966 Suez Cement GDR (A) 164,448 1,113 ---------- 6,593 ---------- HONG KONG--4.4% Brilliance China Automotive Holdings 3,905,500 496 Chaoda Modern Agriculture 1,546,000 392 China Merchants Holdings International 5,475,000 3,861 China Mobile* 6,611,500 15,258 China Mobile ADR* 113,900 1,287 Citic Pacific 233,000 497 CNOOC 7,077,000 9,845 Mandarin Oriental International* 247,000 114 Shanghai Industrial Holdings 410,000 623 Texwinca Holdings 652,000 439 ---------- 32,812 ---------- HUNGARY--1.4% Egis 8,673 366 Gedeon Richter 26,825 1,275 Matav 709,485 2,164 Mol Magyar Olaj-es Gazipari 43,135 924 OTP Bank 687,150 5,637 ---------- 10,366 ---------- - -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INDIA--2.9% Bajaj Auto GDR (A) 101,800 $ 844 Bses GDR* 78,900 1,188 Dr. Reddy's Laboratories ADR 57,618 970 Gas Authority of India GDR (A)* 176,600 1,373 Grasim Industries GDR (A) 119,000 785 HDFC Bank ADR* 62,500 887 Hindalco Industries GDR (A) 97,300 1,046 ICICI Bank ADR 484,475 2,902 Indian Hotels GDR (A) 121,800 381 ITC GDR (A) 95,500 1,267 Mahanagar Telephone Nigam ADR* 597,250 2,777 Mahindra & Mahindra GDR (A)* 398,400 667 Reliance Industries GDR (A)* 249,300 2,643 Satyam Computer Services ADR* 40,500 360 State Bank of India GDR (A) 112,300 1,190 Tata Engineering & Locomotive GDR* 391,600 1,081 Tata Engineering & Locomotive GDR (A)* 422,800 1,167 ---------- 21,528 ---------- INDONESIA--1.1% Gudang Garam 800,000 796 HM Sampoerna 2,383,000 894 Indofood Sukses Makmur 11,683,700 974 Indonesian Satellite 759,000 751 Ramayana Lestari Sentosa 1,950,000 694 Telekomunikasi Indonesia 8,943,000 3,704 ---------- 7,813 ---------- ISRAEL--2.1% AudioCodes* 122,900 221 Bank Hapoalim* 2,511,973 3,715 Check Point Software Technologies* 132,815 1,825 ECI Telecom* 217,350 369 Teva Pharmaceutical Industries ADR 140,840 9,436 ---------- 15,566 ---------- MALAYSIA--5.1% AMMB Holdings Berhad 398,000 425 British American Tobacco Malaysia Berhad 120,000 1,113 Gamuda Berhad 2,642,000 3,928 Genting Berhad 1,274,400 4,360 IOI Berhad 2,757,000 4,172 Malayan Banking Berhad 1,236,000 2,602 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Malaysia International Shipping Berhad 786,300 $ 1,417 Maxis Communications Berhad* 3,712,000 5,324 OYL Industries Berhad (B) 310,800 1,579 Public Bank Berhad 5,524,750 3,722 Resorts World Berhad 1,643,000 3,891 Road Builder (M) Holdings Berhad 394,000 555 Sime Darby Berhad 1,457,500 1,864 Tanjong 1,165,000 2,821 ---------- 37,773 ---------- MAURITIUS--0.1% State Bank of Mauritius 1,278,000 477 ---------- MEXICO--9.3% Alfa, Class A* 313,600 472 America Movil, Series L ADR 544,786 6,581 America Telecom* 265,868 144 Apasco 214,200 1,214 Carso Global Telecom, Series A1* 269,468 267 Cemex 945,874 3,944 Cemex ADR 146 3 Coca-Cola Femsa ADR 88,935 1,691 Consorcio ARA* 663,700 942 Controladora Comercial Mexicana 2,524,100 1,406 Desc, Series B (B) 2,725,800 1,226 Fomento Economico Mexicano 879,389 2,974 Fomento Economico Mexicano ADR 27,590 933 Grupo Aeroportuario del Sureste* 730,200 714 Grupo Aeroportuario del Sureste ADR* 62,500 687 Grupo Carso, Series A1* 48,670 124 Grupo Continental 565,100 938 Grupo Financiero Banorte* 300,578 676 Grupo Financiero BBVA Bancomer, Series B* 9,820,183 6,960 Grupo Mexico, Series B 178,070 178 Grupo Modelo, Series C 335,000 838 Grupo Televisa* 270,400 341 Grupo Televisa ADR* 100,129 2,552 Kimberly-Clark de Mexico, Series A 2,148,735 4,800 Panamerican Beverages, Series A 61,683 585 Telefonos de Mexico, Series L ADR 665,945 18,746 Tubos de Acero de Mexico ADR 177,046 1,523 Wal-Mart de Mexico, Series C 815,379 1,706 Wal-Mart de Mexico, Series V 1,222,199 2,957 Wal-Mart de Mexico, Series V ADR 118,772 2,874 ---------- 68,996 ---------- - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 17 SCHEDULE OF INVESTMENTS EMERGING MARKETS EQUITY FUND (Continued) September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PANAMA--0.0% Banco Latinoamericano de Exportaciones 52,800 $ 109 --------- PERU--0.1% Cia de Minas Buenaventura ADR 32,118 687 Credicorp 51,169 362 --------- 1,049 --------- PHILIPPINES--0.7% ABS-CBN Broadcasting* 1,097,900 461 Bank of the Philippine Islands 594,741 516 Manila Electric* 3,186,900 2,067 Philippine Long Distance Telephone* 32,940 176 Philippine Long Distance Telephone ADR* 142,850 737 SM Prime Holdings 5,127,000 567 Universal Robina (B) 5,393,740 381 --------- 4,905 --------- POLAND--1.2% Bank Pekao* 133,323 2,716 Bank Przemyslowo-Handlowy 19,171 982 KGHM Polska Miedz* 648,076 1,762 Polski Koncern Naftowy Orlen 303,300 1,187 Polski Koncern Naftowy Orlen GDR 194,470 1,524 Telekomunikacja Polska* 287,786 810 --------- 8,981 --------- RUSSIA--4.7% Lukoil ADR 257,940 15,691 Mobile Telesystems ADR* 147,361 4,450 Surgutneftegaz ADR 145,772 2,405 Yukos ADR 89,131 11,996 --------- 34,542 --------- SINGAPORE--0.0% Want Want Holdings 580,959 349 --------- SOUTH AFRICA--9.0% ABSA Group 3,234,608 9,115 Aveng 764,980 628 Bidvest Group 216,900 879 Dimension Data Holdings* 1,261,000 317 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FirstRand 4,218,100 $ 2,617 Gold Fields 543,177 7,008 Iscor 3,642,150 6,980 Johnnic Holdings* 212,364 616 M-Cell* 3,975,064 3,130 Metro Cash & Carry* 2,550,209 602 Nampak 1,279,912 1,627 Nedcor 209,273 1,974 Pick'n Pay Stores 3,043,808 3,798 Remgro 905,486 5,672 Sage Group (B) 857,116 264 Sasol 770,544 8,685 Shoprite Holdings 354,317 222 Standard Bank Group 2,721,641 7,411 Steinhoff International Holdings 2,911,940 1,881 Tiger Brands 185,395 1,275 Venfin* 1,208,126 1,862 Woolworths Holdings 910,692 402 --------- 66,965 --------- SOUTH KOREA--20.7% Cheil Communications 4,100 345 Cheil Industries 329,350 3,570 Cheil Jedang 29,240 1,196 Hite Brewery 39,000 1,882 Hyundai Development* 144,430 810 Hyundai Mobis 501,170 9,839 Hyundai Motor 92,033 2,100 Hyundai Securities 588,680 2,923 Kookmin Bank 374,090 13,694 Kookmin Bank ADR* 34,844 1,235 Kookmin Credit Card 25,698 590 Korea Electric Power 502,640 8,470 Korea Exchange Bank Credit Service 111,130 1,118 Korea Fine Chemical 44,920 468 Korea Gas 114,150 1,924 Korea Tobacco & Ginseng GDR (A) 24,000 167 KT ADR 357,092 7,920 LG Chem 111,610 2,967 LG Engineering & Construction 80,180 840 LG Household & Health Care 20,110 658 Lotte Chilsung Beverage 4,680 2,756 POSCO 28,980 2,525 POSCO ADR 31,050 670 Samsung 276,560 1,443 - -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Samsung Electronics 191,920 $ 46,861 Samsung Fire & Marine INS 133,400 7,791 Samsung SDI 57,920 3,895 Samsung Securities* 39,160 955 Shinhan Financial Group 52,831 599 Shinsegae 52,647 7,967 SK 203,150 2,027 SK Telecom 27,513 5,334 SK Telecom ADR 358,051 7,601 --------- 153,140 --------- TAIWAN--9.2% Advanced Semiconductor Engineering* 1,551,340 759 Asustek Computer 1,217,000 2,855 Benq 1,811,120 2,280 Chang Hwa Commercial Bank 101,900 34 China Steel 10,007,203 4,295 Chinatrust Financial Holding* 9,203,133 6,451 Compal Electronics 1,237,800 1,066 Compal Electronics GDR 184,965 786 Delta Electronics 2,105,300 2,668 Elan Microelectronics 1,056,496 768 Formosa Plastics 3,832,000 3,651 Fubon Financial Holding 324,000 269 Fubon Financial Holding GDR* 289,900 2,464 HON HAI Precision Industry 1,291,750 4,306 HON HAI Precision Industry GDR 9,681 65 MediaTek 236,200 2,041 Nan Ya Plastic 914,041 706 Nien Hsing Textile 481,200 427 Powerchip Semiconductor GDR (A) 87,300 306 President Chain Store 2,546,126 4,007 Quanta Storage* 84,000 596 Realtek Semiconductor 1,149,100 3,074 Realtek Semiconductor GDR* 99,622 1,041 Siliconware Precision Industries* 227,140 568 Sinopac Holdings* 13,573,315 5,554 Standard Foods Taiwan (A) 287,564 316 Taipei Bank* 935,000 851 Taishin Financial Holdings* 2,276,000 912 Taiwan Cellular* 955,570 880 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Taiwan Semiconductor Manufacturing* 8,790,280 $ 10,337 United Microelectronics* 3,387,335 2,297 United Microelectronics ADR* 130,550 461 Yageo* 4,478,440 1,166 --------- 68,257 --------- THAILAND--1.7% Advanced Info Service 1,225,600 963 BEC World 120,200 556 Hana Microelectronics 474,800 713 PTT 3,145,900 2,981 PTT Exploration & Production 506,100 1,416 Siam Cement 114,300 2,241 Siam Commercial Bank* 4,650,700 2,494 Siam Makro 250,000 272 Thai Farmers Bank* 2,227,000 1,313 --------- 12,949 --------- TURKEY--1.2% Akbank* 1,342,782,436 3,839 Akcansa Cimento 106,295,300 557 Dogan Yayin Holding* 636,326,191 862 Hurriyet Gazeteci* 900,990,894 1,898 Tupras Turkiye Petrol Rafine 189,195,000 763 Turk Ekonomi Bankasi GDR* 153,000 195 Turkiye Garanti Bankasi* 834,630,556 728 --------- 8,842 --------- UNITED KINGDOM--3.6% Anglo American 1,661,989 21,050 Anglo American Platinum 52,259 1,755 Old Mutual 3,412,900 3,742 --------- 26,547 --------- VENEZUELA--0.2% Cia Anonima Nacional Telefonos de Venezuela ADR 133,356 1,407 --------- Total Foreign Common Stock (Cost $715,174) 653,831 --------- - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 19 SCHEDULE OF INVESTMENTS EMERGING MARKETS EQUITY FUND (Concluded) September 30, 2002 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN PREFERRED STOCKS-- 2.2% BRAZIL--1.9% Banco Bradesco 168,476,953 $ 345 Banco Itau 31,211,320 946 Brasil Telecom 39,611,880 110 Brasil Telecom Participacoes 41,806,297 180 Celular CRT Participacoes 2,821,123 233 Cia de Bebidas das Americas 1,519,500 163 Cia Energetica de Minas Gerais 252,977,286 1,345 Cia Paranaense de Energia 30,838,969 57 Cia Vale do Rio Doce 150,691 3,202 Cia Vale do Rio Doce ADR 14,792 320 Cia Vale do Rio Doce Unconverted Participants* 8,352 -- Gerdau 141,141,848 925 Investimentos Itau 2,363,566 866 Petroleo Brasileiro SA-Petrobras ADR 376,865 3,599 Telecomunicacoes Brasileiras ADR 84,560 1,209 Votorantim Celulose e Papel 8,285,000 227 -------- 13,727 -------- SOUTH KOREA--0.3% Hyundai Motor 218,430 2,430 -------- Total Foreign Preferred Stock (Cost $25,331) 16,157 -------- EQUITY LINKED WARRANTS (C)--5.1% INDIA--5.1% Bajaj Auto* 89,986 733 Bharti Televentures* 1,080,268 706 Digital Globalsoft* 483,165 5,655 Dr. Reddy's Laboratories* 246,951 4,307 Hero Honda Motors* 1,064,814 5,731 Hinduja TMT* 112,806 681 Hindustan Petroleum* 314,201 1,105 ICICI Bank* 340,796 999 Infosys Technologies* 77,075 5,426 ITC* 307,270 4,134 Ranbaxy Laboratories* 224,098 4,251 Reliance Industries* 781,915 4,181 -------- Total Equity Linked Warrants (Cost $40,453) 37,909 -------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--2.8% Morgan Stanley 1.850%, dated 09/30/02, matures 10/01/02, repurchase price $13,773,128 (collateralized by U.S. Government Obligations: total market value $14,120,107) $13,772 $ 13,772 State Street Bank 0.850%, dated 09/30/02, matures 10/01/02, repurchase price $6,865,162 (collateralized by U.S. Treasury Obligations: total market value $7,011,763) 6,865 6,865 -------- Total Repurchase Agreements (Cost $20,637) 20,637 -------- Total Investments -- 98.5% (Cost $801,595) $728,534 ======== Percentages are based on Net Assets of $739,880,013. * Non-Income Producing Security (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." As of September 30, 2002, the total value of these securities was $15,097,143, 2.04% of the Fund's net assets. (B) Securities considered illiquid. As of September 30, 2002, the total value of these securities was $6,457,016, 0.87% of the Fund's net assets. (C) 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 $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Annual Report / September 30, 2002 INTERNATIONAL FIXED INCOME FUND - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN BONDS--76.9% AUSTRIA--3.6% Republic of Austria, Series E, MTN 5.500%, 10/20/07 30,000 $ 31,983 --------- CANADA--3.2% Government of Canada 6.000%, 09/01/05 13,840 9,302 5.500%, 06/01/09 16,035 10,668 Government of Canada, Series A76 9.000%, 06/01/25 8,800 8,103 --------- 28,073 --------- CAYMAN ISLANDS--2.5% MBNA America Europe, Series 99CA 3.402%, 05/19/04 EUR 21,860 21,563 --------- DENMARK--3.7% Kingdom of Denmark 8.000%, 03/15/06 215,233 32,424 --------- FINLAND--0.7% UPM-Kymmene Oyj, Series E, MTN 6.125%, 01/23/12 5,950 6,170 --------- HUNGARY--2.7% Government of Hungary 9.250%, 05/12/05 5,796,830 23,714 --------- ITALY--6.0% Buoni Poliennali Del Tesoro 5.000%, 10/15/07 30,000 31,295 Sanpaolo IMI, Series E, MTN 6.375%, 04/06/10 9,900 10,668 UniCredito Italiano 6.000%, 03/16/11 9,900 10,470 --------- 52,433 --------- JAPAN--7.9% Development Bank of Japan 1.750%, 06/21/10 6,400,000 56,263 Japan Finance for Municipal Enterprises 1.550%, 02/21/12 1,535,000 13,131 --------- 69,394 --------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LUXEMBOURG--1.1% Sogerim, Series E, MTN 6.125%, 04/20/06 5,950 $ 6,088 Syngenta Luxembourg Finance 5.500%, 07/10/06 3,680 3,781 --------- 9,869 --------- NETHERLANDS--5.2% Akzo Nobel 5.625%, 05/07/09 9,900 10,246 E.ON International Finance, Series E, MTN 5.750%, 05/29/09 18,400 19,147 Suedzucker International Finance 5.750%, 02/27/12 9,900 10,327 Vodafone Finance 4.750%, 05/27/09 5,950 5,645 --------- 45,365 --------- NEW ZEALAND--2.0% Fonterra Cooperative Group, Series E, MTN 5.250%, 05/21/07 9,900 10,199 Government of New Zealand, Series 1106 8.000%, 11/15/06 14,320 7,227 --------- 17,426 --------- POLAND--2.9% Government of Poland, Series 0205 8.500%, 02/12/05 102,150 25,535 --------- SPAIN--8.6% Caja de Ahorros y Monte de Piedad de Madrid (A) 5.251%, 07/31/11 5,900 6,061 Kingdom of Spain 6.000%, 01/31/29 34,285 38,843 5.000%, 07/30/12 30,000 30,831 --------- 75,735 --------- - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 21 SCHEDULE OF INVESTMENTS INTERNATIONAL FIXED INCOME FUND (Concluded) September 30, 2002 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SWEDEN--4.6% Assa Abloy, Series E, MTN 5.125%, 12/04/06 9,900 $ 10,087 Kingdom of Sweden, Series 1035 6.000%, 02/09/05 56,820 6,356 Kingdom of Sweden, Series 1040 6.500%, 05/05/08 29,790 3,504 Nordea Bank 6.000%, 12/13/10 9,900 10,376 Svenska Handelsbanken, Series E, MTN 5.500%, 03/07/11 9,900 10,227 -------- 40,550 -------- UNITED KINGDOM--17.8% Bank Of Scotland, Series E, MTN 6.125%, 02/05/13 8,910 9,514 5.500%, 07/27/09 4,950 5,145 British Telecommunications 6.875%, 02/15/11 5,950 6,308 Coca-Cola HBC Finance, Series E, MTN 5.250%, 06/27/06 9,900 10,129 Compass Group, Series E, MTN 6.000%, 05/29/09 5,950 6,245 European Investment Bank 5.375%, 10/15/12 28,200 29,761 Hilton Group Finance, Series E, MTN 6.500%, 07/17/09 5,950 6,204 Imperial Tobacco Finance, Series E, MTN 6.250%, 06/06/07 5,950 6,130 NGG Finance 6.125%, 08/23/11 5,950 6,089 United Kingdom Treasury 8.000%, 12/07/15 7,845 16,721 7.500%, 12/07/06 11,738 20,837 6.250%, 11/25/10 6,740 11,975 4.250%, 06/07/32 8,300 12,925 United Utilities Water, Series E, MTN 6.625%, 11/08/07 7,800 8,434 -------- 156,417 -------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- UNITED STATES--4.4% Federal Home Loan Bank 5.250%, 01/15/06 EUR 4,560 $ 4,731 4.750%, 01/15/13 EUR 21,900 21,644 Ford Motor Credit 4.875%, 08/20/04 EUR 5,950 5,824 Reed Elsevier Capital 5.750%, 07/31/08 EUR 5,950 6,116 38,315 -------- Total Foreign Bonds (Cost $649,860) 674,966 -------- U.S. TREASURY OBLIGATIONS--13.1% U.S. Treasury Bills (2) 1.626%, 11/07/02 35,000 34,944 1.607%, 10/24/02 50,000 49,950 1.595%, 10/17/02 30,000 29,979 -------- Total U.S. Treasury Obligations (Cost $114,869) 114,873 -------- MORTGAGE RELATED--2.7% UNITED KINGDOM--2.7% Chester Asset Receivables 6.125%, 10/15/10 15,770 17,042 Permanent Financing 5.100%, 06/11/07 6,800 6,855 -------- Total Mortgage Related (Cost $23,560) 23,897 -------- - -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 8.9% State Street Bank 0.850%, dated 09/30/02, matures 10/01/02, repurchase price $78,587,856 (collateralized by U.S. Treasury Obligations: total market value $80,159,263) $78,586 $ 78,586 -------- Total Repurchase Agreement (Cost $78,586) 78,586 -------- Total Investments -- 101.6% (Cost $866,875) $892,322 ======== Percentages are based on Net Assets of $878,081,713. (1) In local currency unless otherwise indicated. (2) Securities pledged as collateral on open futures contracts. Zero coupon security, the rate shown is the effective yield at time of purchase. (A) Discount Notes -- Yield shown is effective yield at time of purchase. EUR -- Euro MTN -- Medium Term Note The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 23 SCHEDULE OF INVESTMENTS EMERGING MARKETS DEBT FUND September 30, 2002 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FOREIGN BONDS--88.5% ARGENTINA--3.0% Republic of Argentina (B) (C) 13.969%, 04/10/05 $ 15,885 $ 3,971 Republic of Argentina, Series E (D) 0.000%, 10/15/03 5,494 3,297 Republic of Argentina, Series F (D) 0.000%, 10/15/04 2,579 1,212 Republic of Argentina, Series L-GP (B) 6.000%, 03/31/23 8,980 4,041 Republic of Argentina, Series SPAN (B) (C) 14.250%, 11/30/02 1,800 378 -------- 12,899 -------- BRAZIL--17.1% Federal Republic of Brazil 12.250%, 03/06/30 34,301 16,036 12.000%, 04/15/10 15,125 7,562 11.500%, 03/12/08 45,500 23,205 11.250%, 07/26/07 6,575 3,419 10.125%, 05/15/27 18,650 7,693 9.375%, 04/07/08 9,150 4,483 Federal Republic of Brazil, Series 18YR (C) 3.125%, 04/15/12 1,675 660 Federal Republic of Brazil, Series 20YR 8.000%, 04/15/14 1,182 578 Government of Brazil 14.500%, 10/15/09 13,590 7,576 12.750%, 01/15/20 2,250 1,024 -------- 72,236 -------- BULGARIA--4.2% Republic of Bulgaria FLIRB Non-U.S Global Bearer, Series A 2.813%, 07/28/12 1,476 1,332 Republic of Bulgaria Registered 8.250%, 01/15/15 9,600 9,821 Republic of Bulgaria, Series A (C) 2.688%, 07/28/24 7,450 6,723 -------- 17,876 -------- COLOMBIA-- 2.8% Republic of Colombia 10.000%, 01/23/12 3,000 2,415 8.700%, 02/15/16 2,420 1,670 8.375%, 02/15/27 2,000 1,220 7.625%, 02/15/07 7,950 6,360 -------- 11,665 -------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- COSTA RICA--0.6% Government of Costa Rica (A) 9.995%, 08/01/20 $ 2,200 $ 2,470 -------- ECUADOR--4.2% Republic of Ecuador (A) 12.000%, 11/15/12 110 59 6.000%, 08/15/30 7,495 2,698 Republic of Ecuador Registered 5.000%, 08/15/30 42,025 15,129 -------- 17,886 -------- MEXICO--24.9% Pemex Project Funding Master Trust 8.500%, 02/15/08 7,250 7,540 Pemex Project Funding Master Trust Registered MTN 8.000%, 11/15/11 500 505 Petroleos Mexicanos 9.500%, 09/15/27 11,750 12,102 United Mexican States 11.500%, 05/15/26 2,385 3,005 11.375%, 09/15/16 3,200 3,952 9.875%, 02/01/10 39,000 44,265 8.375%, 01/14/11 1,400 1,473 7.500%, 01/14/12 13,900 14,074 United Mexican States Global Bond 8.125%, 12/30/19 7,275 7,093 United Mexican States, MTN 8.300%, 08/15/31 11,150 10,816 United Mexican States, Series E, MTN 9.750%, 04/06/05 175 196 -------- 105,021 -------- MOROCCO--3.9% Kingdom of Morocco, Series A (C) 2.563%, 01/05/09 18,684 16,442 -------- PANAMA--2.0% Republic of Panama 9.625%, 02/08/11 2,150 2,129 9.375%, 07/23/12 875 853 Republic of Panama, Series 18YR (C) 5.000%, 07/17/14 6,533 5,292 -------- 8,274 -------- PERU--1.8% Republic of Peru FLIRB, Series 20YR 4.000%, 03/07/17 10,455 6,260 Republic of Peru PDI 4.500%, 03/07/17 1,754 1,188 -------- 7,448 -------- - -------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Annual Report / September 30, 2002 - -------------------------------------------------------------------------------- Face Amount (Thousands) Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- PHILIPPINES--2.9% Government of Philippines 10.625%, 03/16/25 $ 5,000 $ 5,200 9.875%, 01/15/19 7,320 7,247 --------- 12,447 --------- POLAND--2.7% Poland PDI Non-US Global Bearer (A) 6.000%, 10/27/14 8,698 8,732 Telekomunikacja Polska (A) 7.750%, 12/10/08 2,750 2,536 --------- 11,268 --------- RUSSIA--11.5% Russian Federation 12.750%, 06/24/28 10,350 12,582 5.000%, 03/31/30 40,636 28,648 Russian Federation Registered 11.000%, 07/24/18 3,200 3,472 5.000%, 03/31/30 5,475 3,860 --------- 48,562 --------- TURKEY--4.6% Republic of Turkey Global Bond 12.375%, 06/15/09 7,475 6,952 11.875%, 01/15/30 8,825 7,391 11.500%, 01/23/12 6,000 5,280 --------- 19,623 --------- URUGUAY--2.3% Republic of Uruguay 8.750%, 06/22/10 4,975 2,214 7.875%, 03/25/09 4,775 2,017 7.625%, 01/20/12 4,175 1,754 Republica Orient Uruguay 7.875%, 07/15/27 9,025 3,249 7.250%, 05/04/09 1,000 430 --------- 9,664 --------- Total Foreign Bonds (Cost $423,404) 373,781 --------- RIGHTS--0.0% VENEZUELA--0.0% Government of Venezuela Par* 214,914 -- --------- Total Rights (Cost $0) -- --------- - -------------------------------------------------------------------------------- Contracts/Face Amount Market Value Description (Thousands) ($ Thousands) - -------------------------------------------------------------------------------- OPTIONS--0.1% RUSSIA--0.1% Russia 3/31/30 Call, Expires 10/28/02, Strike Price 70.625* 9,500,000 $ 85 Russia 3/31/30 Call, Expires 10/28/02, Strike Price 71.250* 31,600,000 174 --------- Total Options (Cost $439) 259 --------- REPURCHASE AGREEMENTS -- 3.5% Greenwich Capital Markets 1.800%, dated 09/30/02, matures 10/01/02, repurchase price $7,000,350 (collateralized by U.S. Treasury Obligations: total market value $7,142,871) $ 7,000 7,000 State Street Bank 1.800%, dated 09/30/02, matures 10/01/02, repurchase price $7,739,387 (collateralized by U.S. Treasury Obligations: total market value $7,897,331) 7,739 7,739 --------- Total Repurchase Agreements (Cost $14,739) 14,739 --------- Total Investments -- 92.1% (Cost $438,582) $ 388,779 ========= Percentages are based on Net Assets of $422,130,169. * Non-Income Producing Security (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Security in default on interest payments. (C) Floating Rate Security -- the rate reflected on the Schedule of Investments is the rate in effect on September 30, 2002. (D) Zero Coupon security. FLIRB -- Front Loaded Interest Reduction Bond MTN -- Medium Term Note PDI -- Past Due Interest Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 25 STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands) September 30, 2002
- ---------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND - ---------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at market value (Cost $2,428,067, $801,595, $866,875, and $438,582, respectively) $1,917,751 $728,534 $892,322 $388,779 Cash 4,466 2,897 194 989 Foreign currency, at value (Cost $8,459, $4,817, $0 and $0, respectively) 8,031 8,503 -- -- Dividends and interest receivable 4,330 1,811 16,119 10,211 Foreign tax reclaim receivable 1,916 -- 529 -- Receivable for investment securities sold 47,998 7,764 15,402 30,605 Receivable for shares of beneficial interest sold 8,624 5,593 1,925 446 Receivable for forward foreign currency contracts 16 1 10,515 -- Collateral received on securities lent 289,940 -- -- -- Margin deposit -- -- 662 -- Variation margin receivable -- -- 315 -- - ---------------------------------------------------------------------------------------------------------------------------- Total Assets 2,283,072 755,103 937,983 431,030 - ---------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for investment securities purchased 13,638 8,476 34,423 537 Payable for shares of beneficial interest redeemed 23,546 5,289 5,802 7,877 Foreign currency overdraft (cost $55) -- -- 55 -- Payable for forward foreign currency contracts 276 3 18,814 -- Payable upon return on securities lent 289,940 -- -- -- Variation margin payable 88 -- 7 -- Management fees payable 779 425 436 237 Investment advisory fees payable 784 575 109 134 Shareholder servicing fees payable 433 164 172 91 Accrued expenses 186 213 83 24 Accrued foreign capital gains tax payable -- 78 -- -- - ---------------------------------------------------------------------------------------------------------------------------- Total Liabilities 329,670 15,223 59,901 8,900 - ---------------------------------------------------------------------------------------------------------------------------- Net Assets $1,953,402 $739,880 $878,082 $422,130 ============================================================================================================================ NET ASSETS: Paid-in-Capital -- Class A $3,200,862 $1,211,761 $853,406 $450,779 Paid-in-Capital -- Class I 811 -- -- -- Undistributed net investment income/distributions in excess of net investment income 10,436 (4,756) 8,162 28,418 Accumulated net realized loss on investments (748,539) (393,637) (619) (7,263) Net unrealized appreciation (depreciation) on investments (510,316) (73,139)* 25,447 (49,803) Net unrealized appreciation (depreciation) on futures contracts (162) -- 39 -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 310 (349) (8,353) (1) - ---------------------------------------------------------------------------------------------------------------------------- Net Assets $1,953,402 $739,880 $878,082 $422,130 ============================================================================================================================ Outstanding shares of beneficial interest (thousands)-- Class A (unlimitied authorization -- no par value) 281,786 113,268 79,792 52,018 Outstanding shares of beneficial interest (thousands)-- Class I (unlimitied authorization -- no par value) 92 -- -- -- Net Asset Value, Offering and Redemption Price Per Share -- Class A $6.93 $6.53 $11.00 $8.12 Net Asset Value, Offering and Redemption Price Per Share -- Class I $6.93 $-- $-- $-- ============================================================================================================================
* Includes $78 accrued foreign capital gains taxes on appreciated securities. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Annual Report / September 30, 2002 STATEMENTS OF OPERATIONS ($ Thousands) For the year ended September 30, 2002
- ------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------ INTEREST INCOME: Dividends $ 47,075 $ 22,956 $ -- $ -- Interest 1,019 258 36,116 46,547 Income from security lending 927 -- -- -- Less: Foreign Taxes Withheld (4,688) (2,761) (330) -- ----------------------------------------------------------------------------------------------------------------------- Total Investment Income 44,333 20,453 35,786 46,547 - ------------------------------------------------------------------------------------------------------------------------ EXPENSES: Management fees 11,153 6,546 5,771 2,981 Investment advisory fees 12,517 10,575 1,443 3,898 Shareholder servicing fees -- Class A 6,195 2,518 2,404 1,147 Shareholder servicing fees -- Class I 1 -- -- -- Admin servicing fees -- Class I 1 -- -- -- Custodian fees 1,762 1,739 511 108 Printing fees 181 68 64 33 Professional fees 87 33 35 17 Wire agent fees 60 24 24 11 Registration & filing fees 2 2 18 11 Trustee fees 25 10 10 5 Pricing fees 27 16 8 4 Miscellaneous expenses 35 13 15 10 - ------------------------------------------------------------------------------------------------------------------------ Total Expenses 32,046 21,544 10,303 8,225 - ------------------------------------------------------------------------------------------------------------------------ Less, Waiver of: Investment Advisory Fees (329) (1,904) -- (1,479) Shareholder Servicing Fees --Class A -- -- (683) (554) - ------------------------------------------------------------------------------------------------------------------------ Net Expenses 31,717 19,640 9,620 6,192 - ------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 12,616 813 26,166 40,355 ======================================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS: Net Realized Gain (Loss) from: Investment Transactions (244,628) 17,324 14,346 (349) Futures Contracts (11,820) -- 3,157 -- Foreign Currency Transactions (378) (4,507) 7,165 (334) Net Change in Unrealized Appreciation (Depreciation) on: Investments (110,387) 128,660* 21,738 (26,925) Futures Contracts (675) -- (32) -- Foreign Currency Transactions 628 510 (1,348) -- - ------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS (367,260) 141,987 45,026 (27,608) ======================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(354,644) $ 142,800 $ 71,192 $ 12,747 ========================================================================================================================
* Net of $199 decrease in accrued foreign capital gains taxes on appreciated securities. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 27 STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands) For the years ended September 30,
- ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND - ------------------------------------------------------------------------------------------------------------------------- 2002 2001 2002 2001 - ------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income $ 12,616 $ 10,124 $ 813 $ 6,794 Net realized gain (loss) from investment transactions and futures (256,448) (457,299) 17,324 (241,081) Net realized loss on forward foreign currency contracts and foreign currency transactions (378) (3,020) (4,507) (4,715) Net change in unrealized appreciation (depreciation) on investments and futures (111,062) (552,048) 128,660* (253,718)** Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currency 628 (242) 510 (882) - ------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations (354,644) (1,002,485) 142,800 (493,602) - ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS FROM: Net investment income: Class A (6,068) (17,570) (3,779) -- Class I -- (2) -- -- Net realized gains: Class A -- (77,378) -- -- Class I -- (9) -- -- - ------------------------------------------------------------------------------------------------------------------------- Total distributions (6,068) (94,959) (3,779) -- - ------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from shares issued 2,075,815 2,536,234 744,061 841,095 Reinvestment of cash distributions 5,785 88,552 3,667 -- Cost of shares redeemed (2,133,542) (2,115,981) (1,157,297) (622,098) - ------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class A transactions (51,942) 508,805 (409,569) 218,997 - ------------------------------------------------------------------------------------------------------------------------- CLASS I (2002)/CLASS D (2001)(1): Proceeds from shares issued 1,070 -- -- -- Reinvestment of cash distributions -- 10 -- -- Cost of shares redeemed (259) (470) -- -- - ------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class I/Class D transactions 811 (460) -- -- - ------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in Net Assets Derived from Capital Share Transactions (51,131) 508,345 (409,569) 218,997 - ------------------------------------------------------------------------------------------------------------------------- Net decrease in net assets (411,843) (589,099) (270,548) (274,605) - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 2,365,245 2,954,344 1,010,428 1,285,033 - ------------------------------------------------------------------------------------------------------------------------- End of year $1,953,402 $ 2,365,245 $ 739,880 $1,010,428 ========================================================================================================================= CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares issued 250,089 237,478 99,110 106,222 Shares issued in lieu of cash distributions 677 7,734 494 -- Shares redeemed (255,525) (198,311) (152,468) (79,871) - ------------------------------------------------------------------------------------------------------------------------- Total Class A transactions (4,759) 46,901 (52,864) 26,351 - ------------------------------------------------------------------------------------------------------------------------- CLASS I (2002)/CLASS D (2001)(1): Shares issued 122 -- -- -- Shares issued in lieu of cash distributions -- 1 -- -- Shares redeemed (30) (40) -- -- - ------------------------------------------------------------------------------------------------------------------------- Total Class I/Class D transactions 92 (39) -- -- - ------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in capital shares (4,667) 46,862 (52,864) 26,351 =========================================================================================================================
* Net of $199 decrease in accrued foreign capital gains taxes on appreciated securities ** Net of $252 increase in accrued foreign capital gains taxes on appreciated securities. (1) Class I shares were offered beginning on January 4, 2002. Class D shares were fully liquidated on January 31, 2001. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Annual Report / September 30, 2002 STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands) For the years ended September 30,
- ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND - ------------------------------------------------------------------------------------------------------------------------- 2002 2001 2002 2001 - ------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income $ 26,166 $ 36,656 $ 40,355 $ 50,168 Net realized gain (loss) from investment transactions and futures 17,503 12,808 (349) 5,859 Net realized loss on forward foreign currency contracts and foreign currency transactions 7,165 (66,848) (334) (3) Net change in unrealized appreciation (depreciation) on investments and futures 21,706 55,329 (26,925) (31,413) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (1,348) 552 -- (4) - ------------------------------------------------------------------------------------------------------------------------- Net increase in net assets from operations 71,192 38,497 12,747 24,607 - ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS FROM: Net investment income: Class A -- -- (48,279) (47,108) Net realized gains: Class A -- -- (8,391) -- - ------------------------------------------------------------------------------------------------------------------------- Total distributions -- -- (56,670) (47,108) - ------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from shares issued 350,759 391,178 210,586 137,899 Reinvestment of cash distributions -- -- 55,366 46,340 Cost of shares redeemed (742,513) (336,615) (258,849) (193,342) - ------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (391,754) 54,563 7,103 (9,103) - ------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets (320,562) 93,060 (36,820) (31,604) - ------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 1,198,644 1,105,584 458,950 490,554 - ------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 878,082 $1,198,644 $ 422,130 $ 458,950 ========================================================================================================================= CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares issued 34,526 39,647 23,701 14,966 Shares issued in lieu of cash distributions -- -- 6,361 5,340 Shares redeemed (73,134) (33,935) (28,895) (21,014) - ------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in capital shares (38,608) 5,712 1,167 (708) =========================================================================================================================
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, 2002 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 Value, Investment Gains from Net Realized Net Asset Beginning Income (Losses) Investment Capital Value, End of Period (Loss) on Securities Income Gains of Period - ---------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2002 $ 8.25 $0.04 $(1.34) $(0.02) $ -- $ 6.93 2001 12.33 0.03 (3.73) (0.07) (0.31) 8.25 2000 12.09 0.08 0.43 (0.04) (0.23) 12.33 1999(1) 9.16 0.04 3.34 (0.10) (0.35) 12.09 1998(1)(2) 10.15 0.07 (1.06) -- -- 9.16 1998(1) 9.67 0.17 0.77 (0.18) (0.28) 10.15 CLASS I(3) 2002 $ 8.97 $ 0.03 $(2.07) $ -- $ -- $ 6.93 EMERGING MARKETS EQUITY FUND CLASS A 2002 $ 6.08 $ 0.01 $ 0.47 $(0.03) $ -- $ 6.53 2001 9.19 0.04 (3.15) -- -- 6.08 2000(1) 9.13 (0.05) 0.12 (0.01) -- 9.19 1999 6.17 (0.03) 3.00 (0.01) -- 9.13 1998(2) 10.55 0.07 (4.45) -- -- 6.17 1998 12.87 (0.03) (2.25) (0.03) (0.01) 10.55 INTERNATIONAL FIXED INCOME FUND CLASS A 2002 $10.12 $ 0.55 $ 0.33 $ -- $ -- $11.00 2001 9.81 0.33 (0.02) -- -- 10.12 2000 11.03 0.31 (1.35) (0.18) -- 9.81 1999 11.89 0.30 (0.42) (0.53) (0.21) 11.03 1998(2) 10.68 0.40 0.81 -- -- 11.89 1998 10.53 0.23 0.11 (0.10) (0.09) 10.68 EMERGING MARKETS DEBT FUND CLASS A 2002 $ 9.03 $ 0.82 $(0.56) $(0.99) $(0.18) $ 8.12 2001 9.51 0.94 (0.53) (0.89) -- 9.03 2000 8.11 0.84 1.33 (0.77) -- 9.51 1999 6.83 0.84 1.19 (0.75) -- 8.11 1998(2) 10.31 (0.11) (3.37) -- -- 6.83 1998(4) 10.00 0.56 -- (0.25) -- 10.31
- --------------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Investment Expenses Income (Loss) Ratio of Income to Average to Average Net Assets Expenses (Loss) Net Assets Net Assets Portfolio Total End of Period to Average to Average (Excluding (Excluding Turnover Return+ ($Thousands) Net Assets Net Assets Waivers) Waivers) Rate - --------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2002 (15.79)% $1,952,763 1.28% 0.51% 1.29% 0.50% 70% 2001 (30.85) 2,365,245 1.28 0.36 1.29 0.35 91 2000 4.15 2,953,872 1.29++ 0.79 1.30 0.78 73 1999(1) 37.86 1,844,459 1.28 0.39 1.31 0.36 61 1998(1)(2) (9.75) 966,707 1.24 1.60 1.31 1.53 66 1998(1) 10.21 851,542 1.21 1.31 1.30 1.22 75 CLASS I(3) 2002 (22.74)% $ 639 1.53% 0.61% 1.54% 0.60% 70% EMERGING MARKETS EQUITY FUND CLASS A 2002 7.78% $ 739,880 1.95% 0.08% 2.14% (0.11)% 109% 2001 (33.84) 1,010,428 1.95 0.54 2.13 0.36 126 2000(1) 0.71 1,285,033 1.96 (0.46) 2.12 (0.62) 110 1999 48.23 866,911 1.95 (0.35) 2.14 (0.54) 129 1998(2) (41.52) 498,470 1.95 1.51 2.24 1.22 46 1998 (17.72) 509,748 1.95 (0.12) 2.36 (0.53) 76 INTERNATIONAL FIXED INCOME FUND CLASS A 2002 8.70% $ 878,082 1.00% 2.72% 1.07% 2.65% 339% 2001 3.16 1,198,644 1.00 3.13 1.06 3.07 235 2000 (9.58) 1,105,584 1.00 3.17 1.11 3.06 190 1999 (1.36) 809,440 1.00 2.97 1.22 2.75 278 1998(2) 11.33 533,800 1.00 3.61 1.21 3.40 112 1998 3.23 408,974 1.00 3.92 1.24 3.68 280 EMERGING MARKETS DEBT FUND CLASS A 2002 2.15% $ 422,130 1.35% 8.80% 1.79% 8.36% 140% 2001 4.69 458,950 1.35 10.06 1.78 9.63 196 2000 28.07 490,554 1.35 10.67 1.80 10.22 227 1999 31.15 283,993 1.35 12.27 1.82 11.80 184 1998(2) (33.75) 162,938 1.35 10.28 1.84 9.79 186 1998(4) 5.64 154,284 1.35 8.05 1.94 7.46 269
+ Returns are for the period indicated and have not been annualized. Total returns do not reflect applicable sales load. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. ++ 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 International Equity Fund Class I shares were offered beginning January 4, 2002. All ratios for the period have been annualized. (4) 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, 2002 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 and the International Equity Fund is registered to offer Class Ishares. 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 of America. 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 -- Foreign securities are valued based upon quotations from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investment securities that are listed on a securities exchange for which market quotations are readily available are valued by an independent pricing service (the "Pricing Service") at the last quoted sales price for such securities, or if there is not such reported sale on the valuation date, at the most recently quoted bid price. The Pricing Service may also use a matrix system to determine valuations of debt obligations. The pricing service considers such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. The procedures of the Pricing Service and its valuations are reviewed by the Officers of the Trust under the general supervision of the Trustees. Unlisted securities for which market quotations are readily available are valued at the most recently quoted bid price. Debt obligations purchased with sixty days or less remaining until maturity are 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 fair valued using good faith pricing procedures approved by the Board of Trustees. NET ASSET VALUE PER SHARE -- The value of an individual share in a Fund is computed by adding the value of the proportionate interest of each class in a Fund's securities, cash and other assets, subtracting the actual and accrued liabilities of the class and dividing the result by the number of outstanding shares of the class. 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. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 31 NOTES TO FINANCIAL STATEMENTS (Continued) 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. For foreign debt obligations, the Funds do isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations for Federal income tax purposes. The Funds report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Fund and the International Fixed Income Fund utilized futures contracts during the year ended September 30, 2002. 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 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. - -------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Annual Report / September 30, 2002 DISTRIBUTIONS -- Distributions from net investment income and net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital in the period that the difference arises. OTHER -- Security transactions are 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. IMPLEMENTATION OF NEW ACCOUNTING STANDARDS -- The Funds implemented the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies (the "Guide"), as required on October 1, 2001. Prior to October 1, 2001, the Emerging Markets Debt Fund recorded paydown gains and losses on asset-backed securities as realized gains and losses, not as adjustments to interest income. The implementation of the accounting changes had no impact on total net assets of the Fund or the Fund's net asset value, but resulted in a $482,603 increase in interest income and a corresponding $482,603 decrease in realized gains. The statement of changes in net assets and financial highlights for prior periods have not been restated to reflect this change. The effect of this change on the financial highlights for the Emerging Markets Debt Fund, as presented on page 30, for the year ended September 30, 2002 was: RATIO OF NET INVESTMENT NET INCOME TO AVERAGE INVESTMENT REALIZED NET ASSETS INCOME GAINS (LOSSES) BEFORE AFTER PER SHARE PER SHARE ADOPTION ADOPTION ---------- -------------- -------- -------- Class A Shares 0.01 (0.01) 8.69% 8.80% 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, International Fixed Income 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, 0.15% of the average daily net assets of the International Fixed Income 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 Lloyd George Investment Management (Bermuda) Ltd. 09/16/02 Alliance Capital Management, L.P. 06/26/02 The Boston Company Asset Management 09/18/00 INTERNATIONAL FIXED INCOME FUND Fischer Francis Trees and Watts 07/24/02 EMERGING MARKETS DEBT FUND Salomon Brothers Asset Management, Inc. 06/30/97 - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 33 NOTES TO FINANCIAL STATEMENTS (Continued) 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. The Trust adopted a shareholder servicing plan for Class I and Class A Shares (the "Shareholder Servicing Plans") pursuant to which a shareholder servicing fee of up to .25% of the average daily net assets attributable to the Class A and Class I shares are paid to the Distributor. Under the Shareholder Servicing Plans, the Distributor may perform, or may compensate other service providers for performing certain shareholder and administrative services. The Distributor has voluntarily agreed to waive all or a portion of its fees in order to limit the operating expenses of each fund. In addition to the Shareholder Servicing Plans, the Class I Shares have adopted an Administrative Service Plan that provides for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributable to the Class I Shares. The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. For the year ended September 30, 2002, the Distributor received the following commissions (000): - ------------------------------------------------------------ Fund Amount - ------------------------------------------------------------ International Equity Fund $1,888 Emerging Markets Equity Fund 336 For the year ended September 30, 2002, the Funds paid commissions to affiliated broker-dealers as follows: - ------------------------------------------------------------ Fund Amount - ------------------------------------------------------------ International Equity Fund $441,875 Emerging Markets Equity Fund 144,907 Under both the Shareholder Servicing Plans and Administrative Service Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2002, the Distributor retained 100% of both, Shareholder Servicing fees less the waiver, and Administration Servicing fees. 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. The International Equity and Emerging Markets Equity Funds use 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, 2002 were $21,674 and $5,967, 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. - -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Annual Report / September 30, 2002 The following forward foreign currency contracts were outstanding at September 30, 2002:
- -------------------------------------------------------------------------------------------------------------------------- Unrealized Expiration Currency to Currency to Contract Value Appreciation/ Date Deliver Receive (in $) (Depreciation) - -------------------------------------------------------------------------------------------------------------------------- International Equity Fund: 10/02/02 USD 20,651 CAD 32,700 $ 20,615 (36) 10/01/02 USD 54,219 DKK 407,458 54,215 (4) 10/02/02-10/03/02 USD 54,324 CHF 80,889 54,907 583 10/02/02 HKD 1,729,861 USD 221,783 221,777 (6) 10/01/02 DKK 1,934,210 USD 254,672 251,985 (2,687) 10/02/02 AUD 616,227 USD 335,659 336,460 801 10/01/02 SEK 4,611,737 USD 494,822 492,287 (2,535) 10/01/02-10/02/02 USD 603,791 EUR 616,368 609,158 5,367 10/03/02 USD 346,111 JPY 42,283,706 636,746 1,229 10/01/02-10/03/02 USD 848,558 NZD 1,805,090 846,520 (2,038) 10/02/02-10/03/02 USD 1,686,461 GBP 1,076,321 1,692,536 6,075 10/01/02 CHF 3,651,541 USD 2,435,010 2,391,374 (43,636) 10/01/02-10/02/02 EUR 7,469,885 USD 7,302,865 7,223,242 (79,623) 10/01/02-10/03/02 JPY 1,100,218,210 USD 9,015,981 8,994,498 (21,483) 10/01/02 GBP 7,397,750 USD 11,510,900 11,388,097 (122,803) -------------- ------------ $ 35,214,417 $ (260,796) ============== ============ Emerging Markets Equity Fund: 10/02/02 CSK 940,299 USD 30,322 $ 29,991 $ (331) 10/01/02 MXP 656,425 USD 64,026 63,882 (144) 10/02/02 USD 108,706 HUF 27,131,820 110,176 1,470 10/02/02 HUF 32,265,141 USD 129,273 127,525 (1,748) 10/02/02 USD 375,779 THB 16,233,669 375,258 (521) -------------- ------------ $ 706,832 $ (1,274) ============== ============ International Fixed Income Fund: 11/20/02 EUR 3,590,000 GBP 2,288,266 $ 3,539,691 $ 48,123 11/20/02 DKK 400,649,200 USD 5,320,000 5,323,111 3,111 11/20/02 NZD 13,981,431 USD 6,400,000 6,281,084 (118,916) 11/20/02 EUR 6,441,439 NOK 48,200,000 6,351,171 106,968 11/20/02 USD 4,475,378 AUD 8,250,000 8,237,524 (12,476) 11/20/02 GBP 8,277,193 USD 12,912,421 12,846,879 (65,542) 10/03/02-11/20/02 USD 26,890,377 GBP 17,324,855 17,636,337 311,482 11/20/02 EUR 20,400,000 JPY 2,340,667,350 20,114,121 (836,352) 11/20/02 HUF 5,920,000,000 USD 23,297,914 22,790,034 (507,880) 11/20/02 PZL 106,500,000 USD 25,384,340 25,228,389 (155,951) 11/20/02 JPY 3,115,800,000 EUR 27,000,000 25,661,772 959,858 11/20/02 CAD 111,907,274 USD 70,480,000 70,503,799 23,799 11/20/02 USD 62,080,667 CAD 97,825,788 97,335,696 (490,092) 11/20/02 JPY 24,814,522,281 USD 209,449,291 214,525,829 5,076,538 11/20/02 USD 29,267,988 DKK 224,380,104 224,904,571 524,467 11/20/02 USD 289,568,345 EUR 296,053,885 262,021,161 2,387,276 10/03/02-11/20/02 EUR 283,170,292 USD 276,534,303 278,330,086 (2,704,216) 11/20/02 USD 457,162,161 JPY 53,947,561,851 444,312,874 (12,849,287) -------------- ------------ $1,745,944,129 $ (8,299,090) ============== ============ Currency Legend AUD Australian Dollar EUR Euro MXP Mexican Peso THB Thai Baht CAD Canadian Dollar GBP British Pound Sterling NOK Norwegian Krone USD U.S. Dollar CHF Swiss Franc HKD Hong Kong Dollar NZD New Zealand Dollar CSK Czech Koruna HUF Hungarian Forint PLN Polish Zloty DKK Danish Krone JPY Japanese Yen SEK Swedish Krona
- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 35 NOTES TO FINANCIAL STATEMENTS (Continued) 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments during the year ended September 30, 2002, were as follows: - ------------------------------------------------------------ Purchases Sales ($ Thousands) ($ Thousands) - ------------------------------------------------------------ International Equity Fund US Gov't $ -- $ -- Other 1,650,403 1,691,857 Emerging Markets Equity Fund US Gov't $ -- $ -- Other 1,035,897 1,427,554 International Fixed Income Fund US Gov't $ 10,696 $ 17,914 Other 2,232,687 2,649,855 Emerging Markets Debt Fund US Gov't $ 41,961 $ 41,902 Other 409,366 341,028 For Federal income tax purposes, the cost of securities owned at September 30, 2002 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 due to wash sales and unrealized gains on passive foreign investment companies held by the Funds. The Federal tax cost, aggregate gross unrealized appreciation and depreciation at September 30, 2002 for each Fund is as follows (000): - ----------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------- International Equity Fund $2,498,963 $49,449 $(630,661) $(581,212) Emerging Markets Equity Fund 841,684 54,807 (167,957) (113,150)* International Fixed Income Fund 867,493 27,276 (2,447) 24,829 Emerging Markets Debt Fund 440,013 14,044 (65,278) (51,234) *Includes $78 accrued foreign capital gains taxes on appreciated securities. 6. FEDERAL TAX INFORMATION: Each Fund is classified as a separate taxable entity for Federal income tax purposes. Each Fund intends to continue to qualify as a separate "regulated investment company" under the Internal Revenue Code and make the requisite distributions to shareholders that will be sufficient to relieve it from Federal income tax and Federal excise tax. Therefore, no Federal tax provision is required. To the extent that distributions from net investment income and net realized capital gains exceed amounts reported in the financial statements, such amounts are reported separately. The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. The amounts of distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. The character of distributions made during the year from net investment income or net realized gains, and the timing of distributions where the fiscal year in which the amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Fund. To the extent these differences are permanent, adjustment are made to the appropriate equity accounts in the period that the differences arise. Accordingly, the following permanent differences have been reclassified to/from the following accounts: - ----------------------------------------------------------------- Undistributed Accumulated Net Investment Realized Paid-in Income/(Loss) Gain/(Loss) Capital ($ Thousands) ($ Thousands) ($ Thousands) International Equity Fund $ 696 $ (696) $ -- Emerging Markets Equity Fund (1,180) 3,890 (2,710) International Fixed Income Fund 30,032 (15,117) (14,915) Emerging Markets Debt Fund (821) 821 -- These reclassifications are primarily attributable to the reclassification of gains on the sale of passive foreign investment companies and the reclassification of realized foreign exchange gains and losses from accumulated net realized gain (loss) to undistributed net investment income, the reclassification of paydown gains (losses) from undistributed net investment income to net realized gain (loss) 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 share. - -------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Annual Report / September 30, 2002 The tax character of dividends and distributions declared during the years ended September 30, 2002 and September 30, 2001 were as follows ($ Thousands): - --------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Totals - --------------------------------------------------------------------------- International Equity Fund 2002 $ 6,068 $ -- $ 6,068 2001 17,572 77,387 94,959 Emerging Markets Equity Fund 2002 3,779 -- 3,779 2001 -- -- -- International Fixed Income Fund 2002 -- -- -- 2001 -- -- -- Emerging Markets Debt Fund 2002 48,282 8,388 56,670 2001 47,108 -- 47,108 As of September 30, 2002, the components of Distributable Earnings/ (Accumulated Losses) on a tax basis were as follows ($ Thousands): - ------------------------------------------------------------------------ Undistributed Capital Post Unrealized Ordinary Loss October Appreciation Income Carryforwards Losses^ (Depreciation) - ------------------------------------------------------------------------ International Equity Fund $10,404 $(479,151) $(198,719) $(580,805) Emerging Markets Equity Fund -- (342,629) (15,673) (113,577) International Fixed Income Fund -- -- -- 24,676 Emerging Markets Debt Fund 31,438* (3,312) (2,855) (51,234) ^ Includes Post October Currency Losses * Includes $2,676 of interest income from Argentina Government Bonds in default. The Funds had capital loss carryforwards at September 30, 2002 as follows ($ Thousands): - ----------------------------------------------------------------- Expires Expires Expires Expires 2010 2009 2007 2006 - ----------------------------------------------------------------- International Equity Fund $479,151 $ -- $ -- $ -- Emerging Markets Equity Fund 191,077 26,548 28,692 96,312 Emerging Markets Debt Fund 3,312 -- -- -- Amounts in tables above designated as "--" are either $0 or have been rounded to $0. For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. Post-October loss represents losses realized on investments and foreign currency transactions from November 1, 2001 through September 30, 2002 that, in accordance with Federal income tax regulations the Fund has elected to defer and treat as having arisen in the following fiscal year. 7. FUTURES CONTRACTS The following Funds had futures contracts open as of September 30, 2002: - ---------------------------------------------------------------- Contract Number of Market Settlement Unrealized Description Contracts Value Month Gain/(Loss) - ---------------------------------------------------------------- INTERNATIONAL EQUITY FUND DJ Euro Stoxx Long 54 $1,192,779 December 2002 (108,795) FT-SE 100 Index 12 699,367 December 2002 (47,070) Long SPI 200 Index Long 3 120,920 December 2002 (2,377) Topix Index Long 8 599,639 December 2002 (4,020) ---------- $(162,262) ========== - ---------------------------------------------------------------- Contract Number of Market Settlement Unrealized Description Contracts Value Month Gain/(Loss) - ---------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND Japan 10 Year Long Bond 49 $56,510,596 December 2002 $ (42,700) Euro 5 Year Long Bond 434 47,159,996 December 2002 87,998 Euro 10 Year Short Bond 14 1,560,031 December 2002 (6,233) --------- $ 39,065 ========= 8. 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. 9. LOAN PARTICIPATIONS AND BRADY BONDS The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 37 NOTES TO FINANCIAL STATEMENTS (Concluded) 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. Certain debt obligations, customarily referred to as "Brady Bonds," are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. 10. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its investment adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. The value of the collateral is at least equal to the market value of the securities loaned. However, due to market fluctuations, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments include repurchase agreements; which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rates, commercial paper, and private placements with an average weighted maturity date not to exceed 60 days and a maturity date not to exceed 397 days. At September 30, 2002, the International Equity Fund had a market value of securities on loan of $269,568,868. The value of collateral with respect to such loans was $289,940,224 and was invested in the Prime Obligation Money Market Fund yielding 1.74% and a repurchase agreement with UBS Warburg yielding 1.95%. 11. OTHER On September 30, 2002, one shareholder held approximately 91%, 85%, 92%, and 87% of the outstanding shares of the International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund, respectively. This shareholder is comprised of omnibus accounts, which are held on behalf of several individual shareholders. - -------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Annual Report / September 30, 2002 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) Set forth below are the names, dates of birth, position with the SEI Institutional International Trust (the "Trust"), length of term of office, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling [1-800-342-5734].
- ----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE TRUSTEE - ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1986 Currently performs various 66 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Arbor Fund, Valley Drive, Board of Investments Company for Bishop Street Funds, and The Oaks, PA 19456 Trustees* which Mr. Nesher is Expedition Funds. 55 yrs. old compensated. - ----------------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since 1986 Partner, Morgan, Lewis & 66 Trustee of The Advisors' Inner 1701 Market Street Bockius LLP(law firm), Circle Fund, The Arbor Fund, Philadelphia, PA counsel to the Trusts, SEI and The Expedition Funds; 19103 Investments Company, the Director of SEIInvestments 62 yrs. old Adviser, the Administrator since 1974. and theDistributor. - ----------------------------------------------------------------------------------------------------------------------------------- TRUSTEES - -------- F. Wendell Gooch Trustee since 1986 President, Orange County 66 Trustee of STIClassic Funds One Freedom Publishing Co., Inc.; Publisher, and STIClassic Variable Trust. Valley Drive, Paoli News and Paoli Republican; Oaks, PA 19456 and Editor, Paoli Republican, 69 yrs. old October 1981-January 1997. President, H&W Distribution, Inc., since July 1984. - ----------------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since 1995 Retired, Partner, Dechert Price 66 Trustee of The Advisors' Inner One Freedom & Rhoads, September 1987- Circle Fund, The Arbor Fund, Valley Drive, December 1993. and The Expedition Funds. Oaks, PA 19456 71 yrs. old - ----------------------------------------------------------------------------------------------------------------------------------- George J. Sullivan, Jr. Trustee since 1996 Chief Executive Officer, Newfound 66 Trustee of The Advisors' Inner One Freedom Consultants Inc. since April 1997. Circle Fund, The Arbor Fund, Valley Drive Treasurer and Clerk, Peak Asset and The Expedition Funds; Oaks, PA 19456 Management, Inc., since 1991. Trustee, Navigator Securities 59 yrs. old Lending Trust, since 1995. - ----------------------------------------------------------------------------------------------------------------------------------- Rosemarie B. Greco Trustee since 1999 Principal, Grecoventures (consulting 66 Director, Sonoco, Inc.; Director, One Freedom firm) since August 1997. President, ExelonEnergy; Director, Radian, Valley Drive Corestates Financial Corp., 1991-1997; Inc.; Trustee, Pennsylvania Oaks, PA 19456 Chief Executive Officer and President, Real Estate Investment Trust; 56 yrs. old Corestates Bank, N.A., 1991-1997. - -----------------------------------------------------------------------------------------------------------------------------------
*Messrs. Nesher and Doran are Trustees who may be deemed to be "interested" persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with the Trusts' Distributor. 1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. - -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2002 39
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) (CONCLUDED) - ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS - -------- Edward D. Loughlin President since 1988 Executive Vice President and N/A N/A One Freedom & CEO President - Asset Management Valley Drive, Division of SEI Investments since Oaks, PA 19456 1993. Executive Vice President of 51 yrs. old the Adviser and the Administrator since 1994. Senior Vice President of the Distributor, 1986-1991; Vice President of the Distributor, 1981-1986. - ------------------------------------------------------------------------------------------------------------------------------------ James R. Foggo CFO & Controller since 1998 Vice President and Assistant Secretary N/A N/A One Freedom of SEI Investments since January 1998. Valley Drive Vice President and Secretary of the Oaks, PA 19456 Adviser, Administrator and Distributor 38 yrs. old since May 1999. Associate, Paul, Weiss, Rifkind, Wharton & Garrison (law firm), 1998. Associate, Baker & McKenzie (law firm), 1995-1998. Associate, Battle Fowler L.L.P. (law firm), 1993-1995. - ------------------------------------------------------------------------------------------------------------------------------------ Timothy D. Barto Vice since 1999 Employed by SEI Investments since N/A N/A One Freedom President October 1999. Vice President and Valley Drive and Secretary of the Adviser, Administrator Oaks, PA 19456 Secretary and Distributor since December 1999. 34 yrs. old Associate, Dechert Price & Rhoads (law firm), 1997-1999.Associate, Richter, Miller & Finn (law firm), 1993-1997. - ------------------------------------------------------------------------------------------------------------------------------------ Todd B. Cipperman Vice since 1995 Senior Vice President and General N/A N/A One Freedom President Counsel of SEI Investments; Senior Valley Drive and Vice President, General Counsel and Oaks, PA 19456 Assistant Secretary of the Adviser, the 36 yrs. old Secretary Administrator and the Distributor since 2000. Vice President and Assistant Secretary of SEI Investments, the Adviser, the Administrator and the Distributor, 1995-2000. Associate, Dewey Ballantine (law firm), 1994-1995. - ------------------------------------------------------------------------------------------------------------------------------------ Lydia A. Gavalis Vice since 1998 Vice President and Assistant Secretary N/A N/A One Freedom President of SEI Investments, the Adviser, the Valley Drive and Administrator and the Distributor since Oaks, PA 19456 Assistant 1998. Assistant General Counsel and 37 yrs. old Secretary Director of Arbitration, Philadelphia Stock Exchange, 1989-1998. - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Annual Report / September 30, 2002
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (Continued) - -------------------- Christine M. Vice since 1999 Employed by SEI Investments since N/A N/A McCullough President November 1, 1999. Vice President One Freedom and and Assistant Secretary of the Adviser, Valley Drive Assistant the Administrator and the Distributor Oaks, PA 19456 Secretary since December 1999. Associate at 41 yrs. old White and Williams LLP, 1991-1999. Associate at Montgomery, McCracken, Walker & Rhoads, 1990-1991. - ------------------------------------------------------------------------------------------------------------------------------------ Sherry Kajdan Vice since 2001 Vice President and Assistant Secretary N/A N/A Vetterlein President of SEI Investments Mutual Funds One Freedom and Services since January 2001. Valley Drive Assistant Shareholder/Partner, Buchanan Oaks, PA 19456 Secretary Ingersoll Professional Corporation 39 yrs. old (1992-2000). - ------------------------------------------------------------------------------------------------------------------------------------ William E. Zitelli, Jr. Vice since 2001 Vice President and Assistant Secretary N/A N/A One Freedom President of the Administrator and Distributor Valley Drive and since August 2000. Vice President, Oaks, PA 19456 Assistant Merrill Lynch & Co. Asset Management 33 yrs. old Secretary Group (1998-2000). Associate at Pepper Hamilton LLP (1997-1998). Associate at Reboul, MacMurray, Hewitt, Maynard & Kristol (1994-1997). - ------------------------------------------------------------------------------------------------------------------------------------ Robert S. Ludwig Vice since 1985 Employed by SEI Investments since 1985. N/A N/A One Freedom President Senior Vice President and Chief Investment Valley Drive and Officer of SEIAsset Management Group Oaks, PA 19456 Assistant since 1995. Manager of Product 52 yrs. old Secretary Development for SEI's institutional mutual funds and repurchase trading desk from 1985-1995. Held various product management and development positions at Chase Econometrics and Interactive Data Corporation from 1974-1985. - ------------------------------------------------------------------------------------------------------------------------------------ John C. Munch Vice since 2002 Vice President and Assistant Secretary N/A N/A One Freedom President of the Administrator and Distributor Valley Drive and since November 2001. Associate, Oaks, PA 19456 Assistant Howard, Rice, Nemorvoski, Canady, 31 yrs. old Secretary Falk & Rabkin (law firm), 1998-2001. Associate, Seward & Kissel LLP (law firm), 1996-1998. - ------------------------------------------------------------------------------------------------------------------------------------
1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2002 41 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2002 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2002 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2002 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 0% 100% 100% 44% Emerging Markets Equity 0% 100% 100% 0% International Fixed Income 0% 0% 0% 0% Emerging Markets Debt 15% 85% 100% 0% - -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Annual Report / September 30, 2002 Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 2002 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 Timothy D. Barto VICE PRESIDENT, SECRETARY Lydia Gavalis VICE PRESIDENT, ASSISTANT SECRETARY Todd Cipperman VICE PRESIDENT, ASSISTANT SECRETARY Robert S. Ludwig VICE PRESIDENT, ASSISTANT SECRETARY Sherry K. Vetterlein VICE PRESIDENT, ASSISTANT SECRETARY William E. Zitelli VICE PRESIDENT, ASSISTANT SECRETARY Christine McCullough VICE PRESIDENT, ASSISTANT SECRETARY John C. Munch VICE PRESIDENT, ASSISTANT SECRETARY INVESTMENT ADVISER SEI Investments Management Corporation 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) [BACKGROUND GRAPHIC OMITTED] SEI INVESTMENTS SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-018 (09/02) -----END PRIVACY-ENHANCED MESSAGE-----