N-CSRS 1 siitsarcombined03_04.txt SIIT SAR 03_04 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-5601 SEI INSTITUTIONAL INTERNATIONAL TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal Street Boston, MA 02110 (Address of principal executive offices)(Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: SEPTEMBER 30, 2004 DATE OF REPORTING PERIOD: MARCH 31, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO OMITTED] Logo of SEI Investments Omitted Semi-Annual Report as of March 31, 2004 (Unaudited) SEI Institutional International Trust International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS ------------------------------------------------------------ Schedules of Investments 1 ------------------------------------------------------------ Statements of Assets and Liabilities 20 ------------------------------------------------------------ Statements of Operations 21 ------------------------------------------------------------ Statements of Changes in Net Assets 22 ------------------------------------------------------------ Financial Highlights 24 ------------------------------------------------------------ Notes to Financial Statements 25 ------------------------------------------------------------ A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to the Trust's portfolio securities is available (i) without charge, upon request, by calling 1-800-342-5734; and (ii) on the U.S. Securities and Exchange Commission's website at http://www.sec.gov. SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.0% AUSTRALIA -- 3.6% Alumina 282,900 $ 1,158 AMP 524,584 2,255 Australia & New Zealand Banking Group 334,781 4,846 BHP Billiton 2,279,297 21,334 BlueScope Steel 225,000 1,082 Brambles Industries 113,500 486 Foster's Group (A) 404,525 1,356 Insurance Australia Group 42,600 154 J Sainsbury 310,000 1,486 Macquarie Bank 250,100 6,836 National Australia Bank (A) 694,999 16,449 Newcrest Mining 994,800 9,774 News (A)* 1,335,300 12,009 Promina Group 59,900 170 QBE Insurance Group (A) 976,093 8,331 Telstra 1,672,582 5,797 Wesfarmers 53,500 1,184 Westpac Banking 123,500 1,655 WMC Resources 272,800 1,066 Woolworths 149,500 1,352 ---------- 98,780 ---------- AUSTRIA -- 0.3% OMV* 18,100 3,425 Telekom Austria* 263,244 3,785 ---------- 7,210 ---------- BELGIUM -- 0.4% AGFA-Gevaert 104,000 2,547 Belgacom 16,500 521 Delhaize Group 53,300 2,470 Fortis (A)* 165,847 3,528 KBC Bancassurance Holding 55,700 3,258 ---------- 12,324 ---------- BRAZIL -- 0.3% Cia Vale do Rio Doce ADR* 150,860 7,357 ---------- CANADA -- 1.8% Abitibi-Consolidated (A) 254,200 1,805 Alcan 36,900 1,637 Bank of Nova Scotia (A) 106,800 5,753 Bombardier (A) 972,700 4,344 Great-West Lifeco (A) 28,700 1,108 Magna International, Class A 27,000 2,124 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Manulife Financial 32,100 $ 1,186 Petro-Canada 40,500 1,776 QLT* 226,500 5,785 Research In Motion* 106,300 9,919 Royal Bank of Canada (A) 101,090 4,811 Suncor Energy 70,100 1,918 TELUS 112,500 1,882 Thomson (A) 196,600 6,066 ---------- 50,114 ---------- CHINA -- 0.3% Huaneng Power International 3,979,500 7,866 ---------- CZECH REPUBLIC -- 0.3% Komercni Banka GDR (A)* 190,300 7,574 ---------- DENMARK -- 0.3% Danisco 84,209 4,052 Danske Bank (A) 110,300 2,494 Novo-Nordisk (A) 46,500 2,157 ---------- 8,703 ---------- FINLAND -- 1.2% Fortum (A)* 277,400 2,836 Kesko (A)* 174,100 3,060 Nokia (A)* 1,205,867 24,718 UPM-Kymmene* 68,600 1,256 ---------- 31,870 ---------- FRANCE -- 9.6% Accor 59,800 2,423 Air Liquide 25,487 4,338 Alcatel* 122,600 1,935 Aventis 386,710 29,726 AXA (A) 635,400 13,259 BNP Paribas (A) 366,416 22,393 Bouygues (A) 384,100 13,217 Carrefour 29,600 1,460 Christian Dior 101,100 6,684 Cie Generale D'Optique Essilor International 34,200 2,080 Credit Agricole 76,363 1,994 Dassault Systemes 195,000 8,100 France Telecom (A)* 805,750 20,616 Groupe Danone 123,068 20,175 L'Oreal 24,000 1,837 Lagardere S.C.A 143,500 8,170 Publicis Groupe 206,800 6,270 Renault 96,835 6,706 Sanofi-Synthelabo (A) 266,340 17,396 Schneider Electric 20,100 1,309 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 1 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Societe Assurances Generales de France 110,900 $ 6,882 Societe Generale 121,719 10,396 Total* 249,864 45,874 Vinci 74,700 7,169 Vivendi Universal (A)* 182,900 4,848 ---------- 265,257 ---------- GERMANY -- 5.9% Allianz* 35,900 3,909 AMB Generali Holding* 32,000 2,430 BASF* 187,800 9,538 Bayerische Hypo-und Vereinsbank* 56,300 1,103 Bayerische Motoren Werke* 45,000 1,830 Continental* 117,400 4,620 DaimlerChrysler (A)* 559,100 23,347 Deutsche Bank* 14,200 1,181 Deutsche Boerse* 33,360 1,893 Deutsche Telekom (A)* 366,648 6,587 E.ON* 92,707 6,107 Fraport* 83,600 2,309 Hannover Rueckversicherung* 49,300 1,649 HeidelbergCement* 42,300 1,910 Infineon Technologies* 725,486 10,609 MAN* 54,300 1,935 Merck KGaA* 47,200 2,201 Metro* 157,100 6,726 Muenchener Rueckversicherungs* 61,030 6,778 SAP* 97,900 15,478 SAP ADR* 4,900 193 Siemens* 561,772 41,470 ThyssenKrupp* 79,000 1,468 TUI* 86,500 1,972 Volkswagen (A)* 99,300 4,337 ---------- 161,580 ---------- HONG KONG -- 1.2% Cheung Kong Holdings 271,500 2,283 China Mobile 469,000 1,391 CNOOC* 22,242,500 9,492 Denway Motors 7,552,900 8,725 Hang Lung Properties (A) 1,652,000 2,343 Hang Seng Bank 97,600 1,246 Hutchison Whampoa 176,200 1,266 Johnson Electric Holdings 1,250,000 1,356 Li & Fung 1,400,000 2,138 Sun Hung Kai Properties 181,900 1,663 Swire Pacific 187,800 1,272 ---------- 33,175 ---------- IRELAND -- 0.8% Anglo Irish Bank 432,200 6,905 Bank of Ireland 170,900 2,134 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CRH 132,057 $ 2,686 Depfa Bank 11,900 1,872 Elan ADR (A)* 342,800 7,068 ---------- 20,665 ---------- ITALY -- 2.9% Assicurazioni Generali 33,000 842 Banca Popolare di Milano 854,000 4,964 Enel (A) 1,477,700 11,949 ENI-Ente Nazionale Idrocarburi 979,576 19,694 Sanpaolo IMI 920,500 10,486 Telecom Italia (A)* 2,439,710 7,646 Telecom Italia RNC (A)* 6,314,645 14,356 UniCredito Italiano* 2,049,617 9,773 ---------- 79,710 ---------- JAPAN -- 21.5% Advantest 25,700 2,107 Aeon 172,400 7,441 Asatsu-DK 71,900 2,246 Canon (A) 611,682 31,691 Central Japan Railway 266 2,368 CSK (A) 201,100 8,950 Dai Nippon Printing (A) 814,000 13,466 Daiichi Pharmaceutical (A) 103,700 2,013 Daito Trust Construction 20,400 796 Daiwa House Industry 195,000 2,489 Daiwa Securities Group 549,000 4,486 East Japan Railway (A) 276 1,451 Fanuc 30,500 1,914 Fuji Photo Film (A) 548,000 17,435 Fuji Television Network 990 2,788 Fuji Television Network* (Temporary Shares) 990 2,760 Furukawa Electric 166,000 646 Hirose Electric 54,700 6,083 Hitachi (A) 3,523,900 27,335 Honda Motor (A) 177,200 8,176 Hoya 34,200 3,337 Index (A) 1,840 10,152 Itochu (A) 765,000 3,441 Japan Airlines System (A)* 261,000 888 Japan Tobacco (A) 740 5,413 JFE Holdings 122,000 3,336 Kansai Electric Power 435,100 8,235 Kao (A) 309,000 7,069 KDDI 2,005 11,313 Keyence 5,800 1,414 Kirin Brewery 568,600 6,138 Komatsu 2,800,000 17,763 Konica Minolta Holdings (A) 486,000 6,951 Kyocera 133,400 11,207 Kyushu Electric Power 36,400 671 -------------------------------------------------------------------------------- 2 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lawson 111,500 $ 4,276 Matsushita Electric Industrial 1,185,000 18,316 Millea Holdings 1,661 25,865 Mitsubishi 352,000 4,162 Mitsubishi Estate (A) 866,900 11,758 Mitsubishi Heavy Industries (A) 445,000 1,446 Mitsubishi Motors (A)* 613,000 1,550 Mitsubishi Tokyo Financial Group 1,563 15,474 Mitsui Fudosan (A) 264,000 3,322 Mitsui OSK Lines (A) 2,229,000 11,484 Mitsui Sumitomo Insurance 921,000 9,809 Murata Manufacturing (A) 37,900 2,408 NEC (A) 1,024,000 8,425 Nidec (A) 19,200 1,997 Nikko Cordial 349,000 2,315 Nikon (A)* 168,000 2,237 Nintendo (A) 47,200 4,768 Nippon Meat Packers 226,000 2,657 Nippon Steel 558,000 1,303 Nippon Telegraph & Telephone 1,626 9,221 Nissan Motor (A) 2,234,300 25,020 Nissin Food Products 1,100 28 Nitto Denko 203,200 11,172 Nomura Holdings 175,000 3,188 OJI Paper (A) 76,000 528 Oriental Land 56,200 3,997 ORIX 41,600 4,602 Promise (A) 94,550 6,498 Ricoh 72,000 1,481 Rohm 89,700 11,614 Sammy (A) 65,000 2,505 Sankyo (A) 553,300 12,046 Sekisui House 516,000 5,818 Shimamura 17,300 1,380 Shin-Etsu Chemical 25,700 1,082 Shionogi (A) 273,000 4,823 SMC 23,900 2,851 Sompo Japan Insurance 147,000 1,577 Sony (A) 458,400 19,211 Sumitomo (A) 223,000 2,008 Sumitomo Chemical (A) 415,000 1,955 Sumitomo Forestry 204,000 2,353 Sumitomo Mitsui Financial Group (A)* 1,532 11,339 Suzuki Motor 250,000 3,891 Takeda Chemical Industries (A) 105,000 4,683 Tanabe Seiyaku 119,000 1,195 Tokyo Electric Power (A) 235,000 5,320 Tokyo Electron 95,600 6,386 Tokyo Gas (A) 1,921,000 7,275 Toray Industries 460,000 2,136 Toyota Motor (A) 267,200 9,965 UFJ Holdings (A)* 1,340 8,527 UNY 115,000 1,502 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Vodafone Holdings 1,449 $ 3,566 Yahoo Japan (A)* 124 1,514 Yahoo Japan (A) (D) 124 1,466 Yamanouchi Pharmaceutical 298,600 10,275 Yamato Transport 127,000 2,134 ---------- 593,673 ---------- LUXEMBOURG -- 0.3% Arcelor (A)* 456,000 8,271 SES GLOBAL FDR 126,000 1,131 ---------- 9,402 ---------- MEXICO -- 0.4% America Movil, Ser L ADR* 242,300 9,365 Telefonos de Mexico, Ser L ADR 61,300 2,140 ---------- 11,505 ---------- NETHERLANDS -- 6.9% ABN AMRO Holding (A)* 1,242,080 27,704 Aegon* 621,030 7,937 Akzo Nobel* 403,087 14,796 ASML Holding* 94,873 1,738 CSM 185,201 4,197 DSM (A)* 118,700 5,300 Heineken 152,225 6,098 Heineken Holding 89,250 3,197 ING Groep* 936,183 20,571 Koninklijke Philips Electronics* 53,600 1,550 Numico* 66,600 1,964 Reed Elsevier 32,800 433 Royal Dutch Petroleum* 931,946 44,265 Royal Dutch Petroleum (NY Shares)* 28,000 1,332 Royal KPN* 2,079,087 16,224 TPG* 488,400 10,275 Unilever* 306,634 21,159 VNU 101,303 2,901 ---------- 191,641 ---------- NEW ZEALAND -- 0.1% Telecom 1,011,207 3,911 ---------- NORWAY -- 1.7% DNB (A) 200,000 1,311 Norsk Hydro 324,700 20,430 Norske Skogindustrier* 34,600 670 Statoil* 1,192,700 14,549 Tandberg (A)* 748,400 7,167 Yara International ASA* 400,700 2,906 ---------- 47,033 ---------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 4 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PORTUGAL -- 0.7% Portugal Telecom SGPS* 1,646,000 $ 18,407 ---------- SINGAPORE -- 0.7% DBS Group Holdings 161,649 1,389 DBS Group Holdings ADR (1)* 151,000 1,297 Flextronics International* 152,000 2,618 Singapore Airlines 379,000 2,487 Singapore Press Holdings 99,000 1,116 Singapore Telecommunications (A) 7,202,000 10,011 United Overseas Bank 154,000 1,231 ---------- 20,149 ---------- SOUTH AFRICA -- 0.0% Sasol 24,700 384 ---------- SOUTH KOREA -- 1.1% POSCO 49,280 6,964 Samsung Electronics GDR (A)* 90,679 22,443 ---------- 29,407 ---------- SPAIN -- 3.9% ACS Actividades 147,000 7,190 Altadis 96,800 2,932 Banco Bilbao Vizcaya Argentaria 1,249,500 16,538 Banco Santander Central Hispano 1,597,100 17,370 Inditex* 209,200 4,833 Repsol 680,400 14,097 Sogecable (A)* 169,700 7,114 Telefonica* 2,448,110 37,034 ---------- 107,108 ---------- SWEDEN -- 1.6% Assa Abloy (A)* 262,600 3,204 ForeningsSparbanken (A)* 325,565 6,044 Nordea (A) 981,158 6,700 Svenska Cellulosa, Class B (A) 94,000 3,758 Svenska Handelsbanken, Class A 29,600 559 Volvo, Class B 697,900 22,997 ---------- 43,262 ---------- SWITZERLAND -- 6.8% ABB (A)* 230,706 1,360 Ciba Specialty Chemicals* 41,447 2,828 Compagnie Financiere Richemont, Class A 285,097 7,663 Credit Suisse Group* 292,219 10,126 Givaudan (A)* 5,100 2,605 Holcim* 229,360 12,266 Nestle (A)* 154,144 39,301 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Novartis 779,787 $ 33,116 Roche Holding (A)* 197,863 19,328 Serono* 1,932 1,192 STMicroelectronics* 106,300 2,505 Swiss Reinsurance* 135,422 9,332 Swisscom* 21,649 7,109 Synthes-Stratec 1,690 1,733 UBS (A)* 480,282 35,675 Xstrata 190,000 2,532 ---------- 188,671 ---------- TAIWAN -- 0.9% AU Optronics ADR (A)* 378,500 7,911 Chunghwa Telecom ADR* 211,116 3,739 Taiwan Semiconductor Manufacturing 116,880 213 Taiwan Semiconductor Manufacturing ADR* 1,340,317 13,992 ---------- 25,855 ---------- UNITED KINGDOM -- 20.5% Abbey National 738,700 6,177 Allied Domecq 1,195,692 9,927 ARM Holdings 329,600 721 AstraZeneca (A)* 562,851 26,276 AstraZeneca ADR (A)* 192,500 8,996 Aviva 478,400 4,642 BAA 183,489 1,737 BAE Systems 525,049 1,940 Barclays 3,675,465 32,373 BG Group* 1,405,600 8,402 BHP Billiton 2,489,906 22,697 BOC Group 381,859 6,320 BP 3,501,715 29,347 Brambles Industries 169,900 671 British American Tobacco* 1,270,263 19,108 BT Group* 2,125,700 6,915 Bunzl 562,819 4,673 Cadbury Schweppes 3,426,890 27,019 Centrica 634,400 2,661 Compass Group 194,600 1,282 Diageo 268,300 3,496 GlaxoSmithKline 1,251,314 24,561 GUS 407,331 5,607 Hays 3,049,228 6,977 HBOS 328,400 4,454 HSBC Holdings 1,999,401 29,728 Imperial Tobacco Group 655,372 14,285 Intercontinental Hotels Group 254,100 2,321 -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ITV* 3,230,029 $ 7,910 Lloyds TSB Group 752,568 5,719 Morrison WM Supermarkets 465,016 2,139 National Grid Transco 2,191,999 17,323 Pearson 633,600 7,202 Persimmon 259,100 3,291 Prudential 546,006 4,491 Reckitt Benckiser* 634,558 15,686 Reed Elsevier 2,168,084 19,186 Rentokil Initial 2,406,103 8,059 Rexam 393,309 3,184 Rio Tinto 818,500 20,188 RMC Group 497,177 5,752 Rolls-Royce Group 1,180,153 4,880 Royal Bank of Scotland Group 926,035 28,218 Shell Transport & Trading* 484,600 3,166 Signet Group 5,031,800 10,173 Smith & Nephew 1,294,000 12,735 Smiths Group 385,840 4,545 Standard Chartered 275,900 4,619 Taylor Woodrow 190,000 1,035 Trinity Mirror 115,500 1,209 Unilever* 680,900 6,739 Vodafone Group 18,030,892 42,665 Whitbread 249,000 3,322 Wimpey George 404,100 3,249 Wolseley 456,747 7,089 ---------- 567,087 ---------- Total Common Stock (Cost $2,223,324) ($ Thousands) 2,649,680 ---------- PREFERRED STOCK -- 0.5% AUSTRALIA -- 0.0% News (A)* 151,800 1,204 ---------- BRAZIL -- 0.3% Petroleo Brasileiro ADR* 312,100 9,220 ---------- GERMANY -- 0.2% Porsche* 8,711 5,256 ---------- Total Preferred Stock (Cost $11,779) ($ Thousands) 15,680 ---------- CORPORATE OBLIGATIONS (B) -- 0.4% UNITED STATES -- 0.4% CIT Group 1.559%, 04/08/04 3,396 3,396 Countrywide Home Loan 1.199%, 01/18/05 2,692 2,692 -------------------------------------------------------------------------------- Face Amount(Thousands)/ Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Liberty Light US Capital 1.080%, 06/16/04 3,106 $ 3,106 Morgan Stanley Dean Witter 1.100%, 04/04/05 1,553 1,553 ---------- Total Corporate Obligations (Cost $10,747) ($ Thousands) 10,747 ---------- CONVERTIBLE BONDS -- 0.2% CAYMAN ISLANDS -- 0.2% SMFG Finance 2.250%, 07/11/05 JPY 216,000 5,073 ---------- SWITZERLAND -- 0.0% Credit Suisse Group 6.000%, 12/23/05 EUR $ 186 195 ---------- Total Convertible Bonds (Cost $2,608) ($ Thousands) 5,268 ---------- COMMERCIAL PAPER (B) -- 0.2% UNITED STATES -- 0.2% Beethoven Funding 1.065%, 04/15/04 2,588 2,587 Rhineland Funding Capital 1.101%, 04/29/04 3,308 3,305 ---------- Total Commercial Paper (Cost $5,892) ($ Thousands) 5,892 ---------- MASTER NOTE (B) -- 0.1% Bear Stearns 1.237%, 04/01/04 2,071 2,071 ---------- Total Master Note (Cost $2,071) ($ Thousands) 2,071 ---------- U.S. TREASURY OBLIGATION -- 0.1% UNITED STATES -- 0.1% U.S. Treasury Bill (2) 0.985%, 08/26/04 3,000 2,988 ---------- Total U.S. Treasury Obligation (Cost $2,988) ($ Thousands) 2,988 ---------- CASH EQUIVALENT -- 1.8% SEI Daily Income Trust, Prime Obligation Fund, Class A 49,086,184 49,086 ---------- Total Cash Equivalent (Cost $49,086) ($ Thousands) 49,086 ---------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 5 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Concluded) March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) -- 1.3% Barclays 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $11,389,173 (collateralized by FNMA Obligations, ranging in par value $45,470,000-$57,393,000, 1.050%(C)- 6.625%, 08/15/04-09/15/07; with total market value $11,616,640) $ 11,389 $ 11,389 Deutsche Bank 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $24,117,300 (collateralized by FNMA Obligations, ranging in par value $28,465,000-$151,000,000, 1.003%(C)- 2.510%(C), 04/02/04-01/12/07; with total market value $24,542,163) 24,116 24,116 ---------- Total Repurchase Agreements (Cost $35,505) ($ Thousands) 35,505 ---------- Total Investments -- 100.6% (Cost $2,344,000) ($ Thousands) $2,776,917 ========== Percentages are based on Net Assets of $2,761,500,063. * Non-Income Producing Security (1) Security 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 March 31, 2004 the total value of this security was $1,297,181, representing 0.05% of the Fund's net assets. (2) Securities pledged as collateral on open futures contracts. The rates shown are effective yields at the time of purchase. (A) This security or a partial position of this security was on loan at March 31, 2004 (see Note 10). The total value of securities on loan at March 31, 2004 was $52,261,273. (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of May 31, 2003 was $54,214,909. (C) The rate reported is the effective yield at time of purchase. (D) Security purchased on a when-issued basis. ADR -- American Depositary Receipt EUR -- Euro FDR -- Fiduciary Depositary Receipt FNMA -- Federal National Mortgage Association GDR -- Global Depositary Receipt JPY -- Japanese Yen Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- MARKET % OF VALUE SECTOR DIVERSIFICATION NET ASSETS ($ THOUSANDS) ---------------------- ---------- ------------- COMMON STOCK Financials 21.1% $ 582,544 Communication 13.7 378,240 Industrials 11.4 313,663 Consumer Staples 11.3 313,266 Consumer Discretionary 9.7 266,511 Energy 7.9 218,153 Health Care 7.4 202,998 Basic Materials 6.5 180,472 Information Technology 4.5 123,591 Utilities 2.5 70,242 ------- ---------- TOTAL COMMON STOCK 96.0 2,649,680 CASH EQUIVALENT 1.8 49,086 REPURCHASE AGREEMENTS 1.3 35,505 PREFERRED STOCK 0.5 15,680 CORPORATE OBLIGATIONS 0.4 10,747 COMMERCIAL PAPER 0.2 5,892 FOREIGN CONVERTIBLE BONDS 0.2 5,268 U.S. TREASURY OBLIGATION 0.1 2,988 MASTER NOTES 0.1 2,071 ------- ---------- TOTAL INVESTMENTS 100.6 2,776,917 TOTAL OTHER ASSETS AND LIABILITIES (0.6) (15,417) ------- ---------- TOTAL NET ASSETS 100.0% $2,761,500 ======= ========== -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 Emerging Markets Equity Fund March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 91.0% ARGENTINA -- 0.3% IRSA Inversiones y Representaciones GDR* 309,500 $ 3,070 ---------- AUSTRALIA -- 0.1% Autron 4,908,000 981 ---------- AUSTRIA -- 0.1% Bank Austria Creditanstalt 12,393 658 ---------- BRAZIL -- 4.2% Aracruz Celulose ADR* 25,943 992 Banco Bradesco ADR* 29,024 1,398 Banco do Brasil* 92,703 746 Banco Itau Holding Financeira ADR* 38,770 1,813 Brasil Telecom Participacoes ADR (C)* 100,160 3,420 Centrais Eletricas Brasileiras* 76,172,000 962 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR* 125,285 2,637 Cia de Saneamento Basico do Estado de Sao Paulo* 55,440,555 2,711 Cia de Saneamento Basico do Estado de Sao Paulo ADR* 76,190 945 Cia Energetica de Minas Gerais ADR* 26,700 466 Cia Siderurgica Nacional ADR* 10,800 737 Cia Vale do Rio Doce ADR* 25,800 1,417 Empresa Brasileira de Aeronautica ADR* 69,200 2,221 Gerdau ADR* 38,852 905 Petroleo Brasileiro ADR* 486,880 16,310 Tele Celular Sul Participacoes ADR* 124,578 1,867 Tele Nordeste Celular Participacoes ADR* 26,60 722 Tele Norte Leste Participacoes ADR* 250,700 3,254 Telesp Celular Participacoes ADR* 89,800 820 Ultrapar Participacoes ADR* 15,900 188 Uniao de Bancos Brasileiros ADR* 10,700 262 Votorantim Celulose e Papel ADR* 57,400 1,997 ---------- 46,790 ---------- CHILE -- 0.9% Banco Santander Chile ADR* 89,000 2,394 Cia Cervecerias Unidas ADR* 17,777 406 Comerical Siglo XXI* 93,837 99 CorpBanca* 274,542,900 1,380 CorpBanca ADR* 9,800 246 Distribucion y Servicio D&S ADR 47,686 835 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Empresa Nacional de Electricidad ADR* 77,200 $ 945 Enersis* 13,413,332 1,685 Enersis ADR* 154,922 996 Farmacias Ahumada 342,646 861 ---------- 9,847 ---------- CHINA -- 1.1% Aluminum Corp of China 1,598,000 1,303 Beijing Datang Power Gen. (C) 2,653,000 2,230 Byd (A) 466,000 1,609 China Petroleum & Chemical 6,945,500 2,674 China Southern Airlines* 2,708,000 1,173 Huadian Power International 5,700,100 1,902 PetroChina 2,000 1 Qingling Motors (C) 3,825,200 653 Semiconductor Manufacturing International* 791,000 239 Sinopec Yizheng Chemical Fibre 5,549,600 1,204 ---------- 12,988 ---------- COLOMBIA -- 0.1% BanColombia ADR* 126,000 953 ---------- CROATIA -- 0.2% Pliva D.D. GDR (A) (C)* 107,800 1,736 ---------- CZECH REPUBLIC -- 0.6% Cesky Telecom AS (C) 218,400 2,779 Cesky Telecom GDR (C)* 68,800 880 CEZ* 97,000 692 Komercni Banka (C)* 24,362 2,916 ---------- 7,267 ---------- EGYPT -- 0.8% Commercial International Bank GDR (A) 306,200 1,102 Mobinil-Eqyptian Mobile Services 31,616 442 Orascom Construction Industries 303,261 4,563 Orascom Telecom GDR* 290,000 2,186 Suez Cement GDR (A)* 124,348 933 ---------- 9,226 ---------- HONG KONG -- 3.0% ASM Pacific Technology 377,000 1,679 China Merchants Holdings International 1,055,000 1,483 China Mobile 2,997,200 8,887 China Mobile ADR 38,800 570 China Resources Enterprise 3,623,900 4,698 China Unicom 1,842,000 1,667 Citic Pacific 73,000 206 CNOOC* 2,995,000 1,278 Denway Motors 2,554,000 2,950 Fountain SET Holdings 1,316,000 971 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 7 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Giordano International 2,560,000 $ 1,602 Johnson Electric Holdings 888,500 964 Shanghai Industrial Holdings (C) 1,867,600 4,159 Texwinca Holdings 1,418,000 1,092 Yue Yuen Industrial Holdings 697,500 1,911 ---------- 34,117 ---------- HUNGARY -- 2.1% Gedeon Richter* 24,526 2,762 Matav 1,397,567 6,434 Mol Magyar Olaj - es Gazipari 144,548 5,090 OTP Bank* 299,432 5,678 OTP Bank GDR* 110,244 4,162 ---------- 24,126 ---------- INDIA -- 7.4% Bharat Petroleum 131,200 1,447 Bharti Televentures* 701,507 2,499 Biocon* 10,150 74 Cadila Healthcare 66,500 696 Canara Bank 703,800 2,344 GAIL India 104,731 514 GAIL India GDR (A) 63,400 1,867 Grasim Industries* 92,838 2,287 Hindalco Industries* 130,800 3,667 Hindalco Industries GDR (A)* 84,300 2,484 Hindustan Lever 376,930 1,339 Hindustan Petroleum 409,081 4,782 Housing Development Finance* 138,157 2,049 ICICI Bank* 52,100 355 ICICI Bank ADR* 133,225 2,125 Indian Hotels GDR (A)* 9,900 96 Indian Petrochemicals 9,393 39 Infosys Technologies* 56,917 6,473 ITC* 91,171 2,187 ITC GDR (A)* 99,500 2,386 Mahanagar Telephone Nigam* 1,863,778 5,503 Mahanagar Telephone Nigam ADR* 229,150 1,764 Mahindra & Mahindra* 41,700 446 Mahindra & Mahindra GDR (A)* 48,700 521 Maruti Udyog* 246,472 2,821 NIIT 102,992 427 Oil & Natural Gas 339,124 6,566 Patni Computer Systems* 60,000 297 Punjab National Bank 395,262 3,044 Ranbaxy Laboratories 133,969 2,906 Reliance Industries 335,245 4,154 Reliance Industries GDR (A) (C) 158,638 4,548 Satyam Computer Services* 491,491 3,322 State Bank of India GDR (A)* 35,700 1,392 Tata Motors 400,490 4,480 Welspun-Gujarat Stahl* 1,502,590 1,036 ---------- 82,937 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INDONESIA -- 2.1% Astra Agro Lestari 3,048,000 $ 694 Astra International 1,516,500 947 Bank Mandiri Persero 3,856,500 631 Bank Rakyat Indonesia* 17,482,300 3,113 Gudang Garam* 864,000 1,302 HM Sampoerna 7,382,500 3,858 Indofood Sukses Makmur 16,976,200 1,586 Indonesian Satellite 6,020,900 2,707 Ramayana Lestari Sentosa 4,141,500 1,935 Telekomunikasi Indonesia* 8,501,600 6,949 Telekomunikasi Indonesia ADR* 3,400 57 ---------- 23,779 ---------- ISRAEL -- 2.4% Bank Hapoalim* 2,645,302 6,927 Check Point Software Technologies* 187,072 4,260 Koor Industries* 1 -- Lipman Electronic Engineering* 13,700 642 Makhteshim-Agan Industries* 470,156 1,765 Super-Sol* 407,800 942 Teva Pharmaceutical Industries ADR 188,683 11,964 ---------- 26,500 ---------- LUXEMBOURG -- 0.0% Tenaris ADR* 5,700 187 ---------- MALAYSIA -- 3.7% British American Tobacco Malaysia* 65,200 832 CIMB 572,000 1,001 Gamuda* 2,012,900 3,337 Genting 632,700 2,814 Hong Leong Bank 388,500 593 Malakoff 2,384,500 3,577 Malayan Banking 328,200 1,002 Malaysia International Shipping 3,236,200 11,497 Maxis Communications 829,700 2,009 Perusahaan Otomobil Nasional 237,000 614 Public Bank* 6,044,750 4,931 Public Bank-- Foreign 5,119,437 4,742 Resorts World 677,300 1,871 Sime Darby* 1,902,300 3,004 ---------- 41,824 ---------- MEXICO -- 7.0% Alfa* 262,600 999 America Movil, Ser L ADR* 265,462 10,260 Cemex* 345,124 2,055 Cemex ADR* 371,800 11,087 Coca-Cola Femsa ADR* 199,424 4,804 Consorcio ARA* 170,600 535 Controladora Comercial Mexicana* 1,564,800 2,010 -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Corporacion GEO, Ser B* 215,400 $ 1,427 Desc, Ser B* 2,138,800 735 Embotelladoras Arca 473,100 1,072 Fomento Economico Mexicano ADR* 55,452 2,732 Grupo Continental* 688,300 1,325 Grupo Financiero Banorte 1,462,349 5,759 Grupo Financiero Inbursa* 467,400 621 Grupo Mexico, Ser B* 19,100 69 Grupo Televisa ADR* 63,745 3,018 Hylsamex* 89,260 92 Kimberly-Clark de Mexico, Ser A* 1,650,631 4,470 Organizacion Soriana, Ser B* 509,226 1,568 Telefonos de Mexico, Ser L ADR 603,927 21,083 TV Azteca ADR 172,300 1,623 Wal-Mart de Mexico, Ser D 658,809 2,006 ---------- 79,350 ---------- MOROCCO -- 0.1% Ona 13,304 1,390 ---------- PERU -- 0.2% Cia de Minas Buenaventura ADR* 61,200 1,769 ---------- PHILIPPINES -- 0.5% ABS-CBN Broadcasting PDR* 1,040,900 366 Bank of the Philippine Islands 1,439,541 1,128 Manila Electric (C)* 1,342,700 580 Philippine Long Distance Telephone* 45,300 766 Philippine Long Distance Telephone ADR* 53,300 911 SM Prime Holdings* 9,193,000 965 Universal Robina 3,457,040 400 ---------- 5,116 ---------- POLAND -- 1.3% Bank Pekao* 8,318 280 Bank Przemyslowo-Handlowy* 11,371 1,271 KGHM Polska Miedz* 202,625 1,684 Polski Koncern Naftowy Orlen* 415,008 3,062 Polski Koncern Naftowy Orlen GDR* 149,877 2,188 Telekomunikacja Polska* 944,546 3,826 Telekomunikacja Polska GDR* 592,881 2,389 ---------- 14,700 ---------- RUSSIA -- 5.4% LUKOIL ADR* 180,604 22,431 MMC Norilsk Nickel ADR 17,000 1,306 Mobile Telesystems ADR (C)* 48,336 6,356 OAO Gazprom ADR (C)* 210,238 7,947 Sibneft ADR* 42,400 1,603 Uralsvyazinform ADR* 37,500 307 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Vimpel-Communications ADR* 78,600 $ 8,174 VolgaTelecom ADR* 122,300 773 YUKOS ADR 190,666 11,573 ---------- 60,470 ---------- SOUTH AFRICA -- 7.6% ABSA Group (C) 1,353,433 10,016 Anglogold 36,444 1,559 Aveng 857,980 1,021 Barloworld 197,884 2,091 BidBee* 71,508 437 Bidvest Group 404,681 3,339 Edgars Consolidated Stores 8,589 194 Gold Fields 154,329 2,063 Illovo Sugar 575,840 731 Impala Platinum Holdings 112,033 9,166 Imperial Holdings 133,057 1,414 Iscor 223,463 1,284 Liberty Group 127,786 1,046 Massmart Holdings 466,858 2,296 Metro Cash & Carry* 3,852,869 1,394 MTN Group* 417,940 2,186 Nampak 1,467,825 3,086 Nedcor 574,497 5,825 Remgro 55,749 637 Sanlam 4,887,838 7,135 Sappi 245,465 3,397 Sasol 710,382 11,046 Shoprite Holdings 733,780 1,164 Standard Bank Group 993,316 6,619 Steinhoff International Holdings 2,533,701 3,216 Tiger Brands 167,795 2,290 Tongaat-Hulett Group 183,300 1,349 ---------- 86,001 ---------- SOUTH KOREA -- 18.5% CJ 36,630 2,134 Hankook Tire 332,130 3,013 Hite Brewery 19,410 1,407 Hyundai Department Store 3,980 121 Hyundai Development 23,130 268 Hyundai Motor 199,530 9,120 Industrial Bank Of Korea 163,000 1,130 INI Steel 91,900 962 Kangwon Land 295,214 3,875 Kia Motors 301,180 3,100 Kookmin Bank* 487,880 19,788 Kookmin Bank ADR* 40,144 1,624 KorAm Bank 159,840 2,126 Korea Electric Power 607,760 10,682 Korea Exchange Bank* 64,814 379 Korea Fine Chemical 10,960 116 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 9 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Korean Reinsurance 59,709 $ 2,370 KT ADR* 473,285 9,011 KT&G GDR (A)* 58,400 663 LG Chem 62,600 2,932 LG Electronics 20,090 1,204 LG Household & Health Care 13,840 388 POSCO 114,590 16,192 POSCO ADR 138,350 4,896 Samsung 221,960 2,652 Samsung Electro-Mechanics 52,330 2,123 Samsung Electronics (C) 141,940 70,818 Samsung Fire & Marine Insurance 109,430 7,588 Shinhan Financial Group 469,600 8,643 Shinsegae 48,927 12,078 SK Telecom (C) 10,700 2,002 SK Telecom ADR (C)* 237,253 5,054 ---------- 208,459 ---------- TAIWAN -- 13.2% Accton Technology 1,143,649 916 Advanced Semiconductor Engineering* 2,186,000 2,329 Ambit Microsystems 833,800 2,505 Asustek Computer 1,895,750 4,545 Benq 155,000 206 Catcher Technology 559,000 2,188 Cathay Financial Holding (C)* 1,753,000 3,166 Cathay Financial Holding GDR (C)* 52,586 950 China Motors 1,193,000 2,408 Chinatrust Financial Holding* 8,218,927 9,853 Chunghwa Telecom ADR* 147,300 2,609 Compal Electronics 5,295,000 6,669 Delta Electronics 1,511,000 1,908 Elan Microelectronics (C) 1,062,496 977 Far Eastern Textile 1,552,000 956 First Financial Holding* 1,823,000 1,433 Formosa Plastics 583,000 929 High Tech Computer 287,800 1,166 HON HAI Precision Industry 2,770,500 11,982 Kindom Construction* 198,000 78 Largan Precision 185,900 2,212 Makalot Industrial 878,000 1,732 MediaTek 520,290 5,353 Nan Ya Plastic 9,246,723 13,049 Nien Hsing Textile 1,054,000 1,059 Nien Made Enterprises 1,019,000 1,732 Optimax Technology 794,340 2,881 President Chain Store 1,024,840 1,913 Quanta Computer 2,188,000 5,113 Siliconware Precision Industries* 1,122,000 1,131 Sinopac Holdings* 10,025,211 5,385 Standard Foods GDR (A) 172,564 250 Sunplus Technology 317,000 750 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Taiwan Cellular 3,747,632 $ 3,651 Taiwan Semiconductor Manufacturing 11,712,822 21,328 Unimicron Technology 3,539,000 2,427 United Microelectronics* 13,420,405 12,056 United Microelectronics ADR* 236,624 1,230 Yageo* 6,824,440 3,707 Yang Ming Marine Transport 1,300,000 1,539 Yuanta Core Pacific Securities 3,542,000 2,741 ---------- 149,012 ---------- THAILAND -- 2.9% Advanced Info Service* 869,500 1,848 Asian Property Development* 4,539,800 538 Bangkok Bank* 1,819,400 4,376 Charoen Pokphand Foods (C)* 6,403,100 603 CP Seven Eleven* 93,000 156 Delta Electronics* 855,000 571 Italian Thai Development* 891,800 2,213 Kasikornbank* 3,460,934 4,360 Krung Thai Bank* 6,147,000 1,408 Land and Houses 2,358,000 696 PTT Exploration & Production* 276,400 1,829 Sansiri 2,061,300 425 Siam Cement (C) 908,950 5,784 Siam Commercial Bank* 3,340,500 3,784 Siam Makro* 479,000 533 Sino Thai Engineering & Construction* 1,712,400 715 Thai Airways International 969,000 1,443 Thai Olefins* 960,700 1,357 ---------- 32,639 ---------- TURKEY -- 1.8% Akbank 1,497,984,683 7,980 Anadolu Efes Biracilik Ve Malt Sanayii* 113,411,105 1,554 Arcelik* 259,749,595 1,641 Dogan Yayin Holding* 117,373,982 464 Enka Insaat ve Sanayi* 41,202,394 1,019 Haci Omer Sabanci Holding* 257,442,191 1,225 Hurriyet Gazeteci* 377,489,691 1,343 Tupras Turkiye Petrol Rafine* 50,349,000 425 Turkiye Garanti Bankasi* 374,053,825 1,345 Turkiye IS Bankasi* 697,382,179 3,131 ---------- 20,127 ---------- UNITED KINGDOM -- 3.4% Anglo American (C) 180,763 4,309 Anglo American (ZAR) (C) 1,191,346 28,543 BHP Billiton 110,703 1,018 Old Mutual 2,209,198 4,101 ---------- 37,971 ---------- -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- VENEZUELA -- 0.0% Cia Anonima Nacional Telefonos de Venezuela ADR 14,699 $ 288 ---------- Total Common Stock (Cost $792,646) ($ Thousands) 1,024,278 ---------- PREFERRED STOCK -- 5.5% BRAZIL -- 5.2% Banco Bradesco* 93,159 4,442 Brasil Telecom* 248,062,095 1,055 Cia de Bebidas das Americas ADR* 408,850 8,177 Cia Energetica de Minas Gerais* 354,457,993 6,159 Cia Paranaense de Energia* 130,500,000 490 Cia Paranaense de Energia ADR* 60,266 232 Cia Tecidos Norte De Mina* 20,000,000 1,551 Cia Vale do Rio Doce ADR* 58,423 2,737 Cia Vale do Rio Doce Unconverted Participants* 8,352 -- Duratex* 32,500,000 858 Gerdau* 149,088 3,437 Investimentos Itau* 5,387,952 6,192 Marcopolo* 415,700 813 Petroleo Brasileiro ADR* 312,070 9,218 Tele Norte Leste Participacoes* 182,366,900 2,337 Telecomunicacoes Brasileiras ADR* 58,360 1,859 Telecomunicacoes de Sao Paulo* 81,590,000 1,377 Telemar Norte Leste* 436,012,600 7,778 Telemig Celular Participacoes* 259,750,000 508 Usinas Sider de Minas Gerais* 12,400 168 ---------- 59,388 ---------- RUSSIA -- 0.0% Uralsvyazinform ADR* 32,500 172 ---------- SOUTH KOREA -- 0.3% Hyundai Motor* 145,980 3,215 ---------- Total Preferred Stock (Cost $52,097) ($ Thousands) 62,775 ---------- CORPORATE OBLIGATIONS (D) -- 0.4% UNITED STATES -- 0.4% CIT Group 1.559%, 04/08/04 1,260 1,260 Countrywide Home Loan 1.199%, 01/18/05 998 998 Liberty Light US Capital 1.080%, 06/16/04 1,152 1,152 Morgan Stanley Dean Witter 1.100%, 04/04/05 576 576 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- Total Corporate Obligations (Cost $3,986) ($ Thousands) $ 3,986 ---------- EQUITY LINKED WARRANT (B) -- 0.2% INDIA -- 0.2% Bharti Televentures* 470 1,695 ---------- Total Equity Linked Warrant (Cost $373) ($ Thousands) 1,695 ---------- COMMERCIAL PAPER (D) -- 0.2% UNITED STATES -- 0.2% Beethoven Funding 1.065%, 04/15/04 $ 960 960 Rhineland Funding Capital 1.101%, 04/29/04 1,227 1,226 ---------- Total Commercial Paper (Cost $2,186) ($ Thousands) 2,186 ---------- MASTER NOTE (D) -- 0.1% UNITED STATES -- 0.1% Bear Stearns 1.237%, 04/01/04 768 768 ---------- Total Master Note (Cost $768) ($ Thousands) 768 ---------- RIGHTS -- 0.0% BRAZIL -- 0.0% Brasil Telecom, Expire 04/22/04* 2,084 -- Tele Norte Leste, Expire 04/12/04* 2,043 -- ---------- -- ---------- MEXICO -- 0.0% Desc, Expire 04/07/04* 2,139 107 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 11 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Concluded) March 31, 2004 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- THAILAND -- 0.0% Sansiri Public Company, Expire 03/05/04* 2,061 $ 112 ---------- Total Rights (Cost $167) ($ Thousands) 219 ---------- CASH EQUIVALENT -- 0.3% UNITED STATES -- 0.3% SEI Daily Income Trust, Prime Obligation Fund, Class A 3,733,012 3,733 ---------- Total Cash Equivalent (Cost $3,733) ($ Thousands) 3,733 ---------- REPURCHASE AGREEMENTS (D) -- 1.2% Barclays 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $4,224,508 (collateralized by FNMA Obligations, ranging in par value $45,470,000-$57,393,000, 1.050%(E) 6.625%, 08/15/04-09/15/07; with total market value $4,308,880) $4,224 4,224 Deutsche Bank 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $8,945,664 (collateralized by FNMA Obligations, ranging in par value $28,465,000-$151,000,000, 1.003%(E) 2.510%(E), 04/02/04-01/12/07; with total market value $9,103,255) 8,945 8,946 ---------- Total Repurchase Agreements (Cost $13,170) ($ Thousands) 13,170 ---------- Total Investments -- 98.9% (Cost $869,126) ($ Thousands) $1,112,810 ========== -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,125,737,701 * 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 March 31, 2004, the total value of these securites was $19,587,240, representing 1.74% of the Fund's net assets. (B) Securities are not readily marketable. See Note 2 in Notes to Financial Statements. (C) This security or a partial position of this security was on loan at March 31, 2004 (see Note 10). The total value of securities on loan at March 31, 2004 was $19,742,512 (D) This security was purchased with cash collateral held from securities lending. The total value of such securities as of March 31, 2004 was $20,109,563. (E) The rate reported is the effective yield at time of purchase. ADR -- American Depository Receipt FNMA -- Federal National Mortgage Association GDR -- Global Depositary Receipt PDR --Philippine Depositary Receipt Ser -- Series ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. MARKET % OF VALUE SECTOR DIVERSIFICATION NET ASSETS ($ THOUSANDS) ---------------------- ---------- ------------- COMMON STOCK Financials 17.8% $200,830 Industrials 13.7 154,640 Communication 13.4 151,405 Basic Materials 11.2 125,733 Energy 9.0 100,441 Consumer Discretionary 8.2 91,837 Information Technology 7.4 83,369 Consumer Staples 3.5 39,365 Utilities 2.6 29,792 Diversified 2.4 26,729 Health Care 1.8 20,137 ------- ---------- TOTAL COMMON STOCK 91.0 1,024,278 PREFERRED STOCK 5.5 62,775 REPURCHASE AGREEMENTS 1.2 13,170 CORPORATE OBLIGATIONS 0.4 3,986 CASH EQUIVALENT 0.3 3,733 COMMERCIAL PAPER 0.2 2,186 EQUITY LINKED WARRANTS 0.2 1,695 MASTER NOTES 0.1 768 RIGHTS -- 219 ------- ---------- TOTAL INVESTMENTS 98.9 1,112,810 TOTAL OTHER ASSETS AND LIABILITIES 1.1 12,928 ------- ---------- TOTAL NET ASSETS 100.0% $1,125,738 ======= ========== -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 International Fixed Income Fund March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 71.3% AUSTRIA -- 3.8% Republic of Austria 4.000%, 07/15/09 27,960 $ 35,698 -------- BELGIUM -- 2.1% Kingdom of Belgium, Series 23 8.000%, 03/28/15 7,800 12,940 Kingdom of Belgium, Series 31 5.500%, 03/28/28 4,980 6,759 -------- 19,699 -------- DENMARK -- 1.4% Kingdom of Denmark 6.000%, 11/15/11 65,000 12,257 Nordea Kredit Realkredit 5.000%, 10/01/35 377 62 Nykredit 5.000%, 10/01/35 686 112 Totalkredit, Series C 5.000%, 10/01/35 639 104 -------- 12,535 -------- FRANCE -- 8.3% France Telecom 8.500%, 03/01/31 $ 2,560 3,441 French Treasury Note 4.500%, 07/12/06 14,500 18,703 Government of France 5.750%, 10/25/32 10,990 15,526 4.000%, 04/25/09 330 423 4.000%, 04/25/13 31,840 39,455 -------- 77,548 -------- IRELAND -- 0.3% Allied Irish Banks 7.500%, 02/28/11 1,910 2,795 -------- ITALY -- 3.1% Buoni Poliennali Del Tesoro 5.750%, 02/01/33 8,910 12,352 Sanpaolo IMI, Series E, MTN 6.375%, 04/06/10 4,300 6,014 UniCredito Italiano, Series 1, MTN 6.000%, 03/16/11 7,700 10,657 -------- 29,023 -------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- JAPAN -- 11.6% Government of Japan 10 Year Bond, Series 242 1.200%, 09/20/12 5,749,000 $ 54,976 Government of Japan 5 Year Bond, Series 31 0.600%, 09/20/08 5,500,000 53,009 -------- 107,985 -------- LUXEMBOURG -- 0.4% Sogerim, Series E, MTN 6.125%, 04/20/06 2,840 3,725 -------- NETHERLANDS -- 5.5% Arena, Series 2003-1, Class A2 4.300%, 05/19/55 10,500 13,134 Deutsche Telekom International Finance 8.125%, 05/29/12 4,950 7,588 E.ON International Finance, Series E, MTN 5.750%, 05/29/09 6,515 8,856 EADS Finance, Series E, MTN 4.625%, 03/03/10 2,130 2,722 Government of Netherlands 7.500%, 01/15/23 4,670 7,849 Munich Re Finance 6.750%, 06/21/23 2,280 3,154 Saecure, Series A2 5.710%, 11/25/07 6,000 8,020 -------- 51,323 -------- NEW ZEALAND -- 7.7% Government of New Zealand, Series 1106 8.000%, 11/15/06 63,000 44,578 Government of New Zealand, Series 709 7.000%, 07/15/09 38,350 27,116 -------- 71,694 -------- POLAND -- 1.0% Government of Poland, Series 0804 0.000%, 08/21/04 37,000 9,384 -------- PORTUGAL -- 4.5% Portugal Obrigacoes do Tesouro OT 3.950%, 07/15/09 8,030 10,225 3.000%, 07/17/06 25,550 31,841 -------- 42,066 -------- SWEDEN -- 2.5% Kingdom of Sweden, Series 1043 5.000%, 01/28/09 95,060 13,471 Nordea Bank 6.000%, 12/13/10 EUR 7,700 9,999 -------- 23,470 -------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 13 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Concluded) March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED KINGDOM -- 14.9% Aviva 5.700%, 09/29/49 EUR 1,900 $ 2,458 BAT International Finance, Series E, MTN 4.875%, 02/25/09 EUR 2,050 2,620 Bank of Scotland, Series E, MTN 6.125%, 02/05/13 EUR 2,630 3,681 5.500%, 07/27/09 EUR 4,950 6,640 5.500%, 10/29/12 EUR 5,000 6,688 Chester Asset Receivables 6.125%, 10/15/10 EUR 15,770 22,045 Compass Group, Series E, MTN 6.000%, 05/29/09 EUR 2,410 3,277 HSBC Capital Funding 8.030%, 06/30/12 EUR 3,060 4,651 Hilton Group Finance, Series E, MTN 6.500%, 07/17/09 EUR 1,150 1,578 Imperial Tobacco Finance, Series E, MTN 6.250%, 06/06/07 EUR 1,510 2,015 MBNA Europe Funding, Series E, MTN 4.500%, 01/23/09 EUR 3,700 4,695 NGG Finance 6.125%, 08/23/11 EUR 3,820 5,217 Permanent Financing 5.100%, 06/11/07 EUR 10,200 13,353 Royal Bank of Scotland Group 6.770%, 03/31/05 EUR 7,410 9,497 United Kingdom Treasury 5.750%, 12/07/09 9,200 17,837 4.250%, 06/07/32 12,330 21,299 United Utilities Water, Series E, MTN 6.625%, 11/08/07 EUR 7,800 10,681 -------- 138,232 -------- UNITED STATES -- 4.2% Chase Credit Card Master Trust, Series 1998-4 5.000%, 08/15/08 EUR 7,200 9,458 Citibank Credit Card Issurance Trust 5.375%, 04/10/13 EUR 6,800 9,188 Ford Motor Credit, Series E, MTN 6.750%, 01/14/08 EUR 2,650 3,488 General Motors 8.375%, 07/05/33 EUR 1,500 2,110 Goldman Sachs Group 5.125%, 04/24/13 EUR 810 1,045 MBNA Credit Card Master Trust, Series 2002-A2, Class A 5.600%, 07/17/14 EUR 6,650 8,865 MBNA Credit Card Master Trust, Series 2003-C4 6.100%, 05/17/13 GBP 1,100 2,058 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Zurich Finance USA, Series E, MTN 5.750%, 10/02/23 EUR 2,450 $ 3,151 -------- 39,363 -------- Total Global Bonds (Cost $613,952) ($ Thousands) 664,540 -------- U.S.GOVERNMENT AGENCY OBLIGATIONS -- 4.8% UNITED STATES -- 4.8% FNMA 1.000%, 04/14/04 40,000 39,986 SLMA 3.800%, 06/17/10 EUR 3,500 4,352 -------- Total U.S.Government Agency Obligations (Cost $43,693) ($ Thousands) 44,338 -------- COMMERCIAL PAPER -- 2.1% UNITED STATES -- 2.1% Societe Generale 0.000%, 05/05/04 20,000 19,981 -------- Total Commercial Paper (Cost $19,981) ($ Thousands) 19,981 -------- U.S. TREASURY OBLIGATIONS (2) -- 11.4% U.S. Treasury Bills 1.010%, 05/13/04 50,000 49,946 0.940%, 07/08/04 5,000 4,988 0.922%, 06/17/04 51,500 51,397 -------- Total U.S. Treasury Obligations (Cost $106,332) ($ Thousands) 106,331 -------- Total Investments -- 89.6% (Cost $783,958) ($ Thousands) 835,190 -------- OPTION -- 0.0% Euro-Bond May 114 Put (2) (329) -------- Total Option (Premium $436) ($ Thousands) (329) -------- Percentages are based on Net Assets of $931,933,739. (1) In local currency unless otherwise indicated. (2) Securities pledged as collateral on open futures contracts. The rates shown are effective yields at the time of purchase. EUR -- Euro FNMA -- Federal National Mortgage Association GBP -- Great British Pound MTN -- Medium Term Note SLMA -- Student Loan Marketing Association The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 Emerging Markets Debt Fund March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 84.5% ARGENTINA -- 0.9% Banco De Galicia (B) 0.000%, 08/13/02 $ 1,760 $ 1,144 Empressa Distribuidora de Electricidad de Mendoza, Series E, MTN (B) 0.000%, 01/10/03 5,000 1,750 Republic of Argentina, Series L-GL (B) 6.762%, 03/31/23 4,275 2,188 Republic of Argentina, Series L-GP (B) 6.000%, 03/31/23 1,055 543 -------- 5,625 -------- BRAZIL -- 19.5% Federal Republic of Brazil 12.250%, 03/06/30 33,316 39,646 11.000%, 01/11/12 3,250 3,619 11.000%, 08/17/40 16,933 18,084 10.125%, 05/15/27 12,425 12,574 9.250%, 10/22/10 2,270 2,355 8.875%, 04/15/24 3,700 3,386 8.250%, 01/20/34 710 604 2.000%, 04/15/09 (C) 6,515 5,945 Federal Republic of Brazil, Series 15YR (C) 2.188%, 04/15/09 1,051 986 Federal Republic of Brazil, Series 18YR (C) 2.063%, 04/15/12 9,450 8,263 Federal Republic of Brazil, Series 20YR 8.000%, 04/15/14 7,672 7,489 8.000%, 04/15/14 (E) 25,096 24,500 -------- 127,451 -------- BULGARIA -- 0.9% Republic of Bulgaria Registered 8.250%, 01/15/15 2,925 3,579 Republic of Bulgaria, Series A (C) 2.000%, 07/28/12 1,680 1,665 Republic of Bulgaria, Series IAB (C) 2.000%, 07/28/11 705 692 -------- 5,936 -------- CAYMAN ISLANDS -- 0.0% Cornhill, Series 39 (B) 0.000%, 01/30/00 1,650 165 Cornhill, Series 46 (B) 8.626%, 03/02/00 150 15 -------- 180 -------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- CHILE -- 0.6% Republic of Chile 7.125%, 01/11/12 $ 3,450 $ 4,020 -------- COLOMBIA -- 4.6% Republic of Colombia 11.750%, 02/25/20 5,015 6,419 10.750%, 01/15/13 (E) 6,850 8,230 10.375%, 01/28/33 5,050 5,775 10.000%, 01/23/12 2,050 2,378 8.700%, 02/15/16 2,420 2,347 8.375%, 02/15/27 1,750 1,682 7.625%, 02/15/07 2,950 3,239 -------- 30,070 -------- COSTA RICA -- 0.6% Government of Costa Rica (A) 9.995%, 08/01/20 2,200 2,640 8.050%, 01/31/13 1,475 1,656 -------- 4,296 -------- DOMINICAN REPUBLIC -- 0.3% Dominican Republic Registered 9.500%, 09/27/06 2,900 2,204 -------- ECUADOR -- 3.4% Republic of Ecuador Registered 12.000%, 11/15/12 17,120 17,522 7.000%, 08/15/30 5,306 4,696 -------- 22,218 -------- EL SALVADOR -- 0.8% Republic of El Salvador 7.750%, 01/24/23 5,000 5,600 -------- HUNGARY -- 0.6% Government of Hungary 7.000%, 06/24/09 HUF 808,000 3,717 -------- INDONESIA -- 0.8% Garuda Indonesia (C) 1.663%, 12/31/07 1,650 1,460 Indah Kiat Finance Mauritius (B) 10.000%, 07/01/07 7,250 3,616 -------- 5,076 -------- KAZAKHSTAN -- 0.7% Kazkommerts International (A) 8.500%, 04/16/13 450 477 Kazkommerts International Registered 8.500%, 04/16/13 3,800 4,009 -------- 4,486 -------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 15 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Concluded) March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- MACEDONIA -- 0.1% Government of Macedonia (C) 1.931%, 07/13/12 $ 520 $ 445 -------- MALAYSIA -- 1.7% Amsteel, Series A1 (D) (B) 0.000%, 12/31/06 2,523 1,918 Government of Malaysia 8.750%, 06/01/09 150 187 7.500%, 07/15/11 3,725 4,479 Petronas Capital 7.875%, 05/22/22 3,700 4,417 -------- 11,001 -------- MEXICO -- 12.8% Pemex Project Funding Master Trust 8.000%, 11/15/11 500 582 8.500%, 02/15/08 (E) 3,750 4,369 Petroleos Mexicanos (E) 9.500%, 09/15/27 7,350 9,151 United Mexican States 11.375%, 09/15/16 7,310 11,067 8.125%, 12/30/19 8,700 10,331 8.000%, 09/24/22 9,220 10,649 7.500%, 04/08/33 (E) 5,050 5,504 6.625%, 03/03/15 (E) 19,750 21,508 United Mexican States, MTN 8.300%, 08/15/31 8,850 10,399 -------- 83,560 -------- NIGERIA -- 0.6% Central Bank of Nigeria 6.250%, 11/15/20 3,500 3,255 5.092%, 01/05/10 (B) 2,531 949 -------- 4,204 -------- PANAMA -- 2.9% Republic of Panama 9.625%, 02/08/11 3,700 4,403 9.375%, 04/01/29 900 1,026 9.375%, 01/16/23 (E) 9,000 10,148 8.875%, 09/30/27 (E) 2,500 2,713 Republic of Panama, Series 18YR (C) 2.000%, 07/17/14 719 683 -------- 18,973 -------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- PERU -- 1.9% Republic of Peru 9.875%, 02/06/15 $ 2,575 $ 3,024 8.750%, 11/21/33 2,000 2,012 Republic of Peru FLIRB, Series 20YR (C) 4.500%, 03/07/17 4,955 4,360 Republic of Peru, Series 20YR (C) 5.000%, 03/07/17 3,585 3,299 -------- 12,695 -------- PHILIPPINES -- 3.6% Philippine Airlines (B) 0.000%, 06/07/11 3,774 1,321 Republic of Philippines 10.625%, 03/16/25 (E) 9,205 10,022 9.375%, 01/18/17 6,300 6,662 9.000%, 02/15/13 (E) 3,975 4,084 8.875%, 04/15/08 1,500 1,631 -------- 23,720 -------- POLAND -- 0.5% Government of Poland 5.750%, 06/24/08 PLZ 12,316 3,091 -------- ROMANIA -- 0.4% SNP Petrom 11.625%, 10/02/06 EUR 1,906 2,723 -------- RUSSIA -- 11.1% Russian Federation 11.000%, 07/24/18 5,785 8,099 8.250%, 03/31/10 12,175 13,804 5.000%, 03/31/30 (C) 50,530 50,593 -------- 72,496 -------- SOUTH KOREA -- 1.8% Hynix Semiconductor (B) 6.500%, 12/31/04 KRW 6,900,000 2,709 Korea Development Bank 5.750%, 09/10/13 2,425 2,614 Republic of Korea 8.875%, 04/15/08 3,600 4,356 4.250%, 06/01/13 (E) 2,425 2,398 -------- 12,077 -------- -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- TURKEY -- 5.5% Republic of Turkey Global Bond 12.375%, 06/15/09 $ 6,000 $ 7,718 11.875%, 01/15/30 3,955 5,675 11.750%, 06/15/10 3,175 4,056 11.500%, 01/23/12 5,905 7,597 11.000%, 01/14/13 715 906 9.500%, 01/15/14 4,175 4,927 8.000%, 02/14/34 755 794 0.000%, 04/27/05 (D) TRL 3,500,000,000 2,132 0.000%, 08/24/05 (D) TRL 4,300,000,000 2,482 -------- 36,287 -------- UKRAINE -- 1.2% Government of Ukraine 7.650%, 06/11/13 4,750 4,964 6.875%, 03/04/11 (A) 2,080 2,132 Government of Ukraine Registered 7.650%, 06/11/13 535 559 -------- 7,655 -------- URUGUAY -- 2.3% Republic of Uruguay 10.500%, 10/20/06 UYU 22,400 775 7.875%, 01/15/33 2,169 1,627 7.500%, 03/15/15 13,016 11,226 7.250%, 02/15/11 1,500 1,365 -------- 14,993 -------- VENEZUELA -- 4.4% Government of Venezuela 10.750%, 09/19/13 990 1,032 9.375%, 01/13/34 4,200 3,707 9.250%, 09/15/27 5,940 5,284 5.375%, 08/07/10 6,035 5,012 2.125%, 12/18/07 12,952 12,191 2.063%, 03/31/07 (C) 1,167 1,103 Government of Venezuela, Series A (C) 6.750%, 03/31/20 725 674 -------- 29,003 -------- Total Global Bonds (Cost $494,171) ($ Thousands) 553,802 -------- LOAN PARTICIPATIONS -- 7.3% ALGERIA -- 0.5% Republic of Algeria (Counterparty: Credit Suisse First Boston) (C) 2.063%, 03/04/10 3,171 3,108 -------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- ARGENTINA-- 1.8% Aes Chivor (Counterparty: Citigroup Global Markets) (B) 0.000%, 12/31/07 $ 2,025 $ 1,498 Banco De Galicia (Counterparty Deutsche Bank) (B) (D) 0.000%, 03/31/10 1,765 1,094 Banco De Galicia (Counterparty: Deutsche Bank) 0.000%, 12/31/10 1,800 1,116 Banco De Galicia (Counterparty: Deutsche Bank) (B) 0.000%, 03/31/10 590 366 Ciesa (Counterparty: Bank of America) (B) 0.000%, 04/22/02 16,000 5,920 Edesa USD Promissory Notes (Counterparty: Citigroup Global Markets) (B) (D) 0.000%, 12/31/49 2,000 900 Telecom Personal Promissory Notes (Counterparty: Bank of America) (B) 0.000%, 12/31/49 ARS 2,847 768 -------- 11,662 -------- INDIA -- 0.6% Kaltim Prima Coal (Counterparty: Credit Suisse First Boston) 0.000%, 12/31/49 3,760 3,647 -------- INDONESIA -- 1.2% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) (C) 2.125%, 12/31/49 6,674 5,940 PKN Tranche D Secured Short Term (Counterparty: Citigroup Global Markets) (B) 0.000%, 12/01/03 444 444 PKN Tranche Loan A (Counterparty: Citigroup Global Markets) (B) 0.000%, 06/30/11 1,533 1,456 PKN Tranche Loan B (Counterparty: Citigroup Global Markets) (B) 0.000%, 05/01/11 4,200 345 -------- 8,185 -------- JAPAN -- 0.3% TPI JPY Loan (Counterparty: Deutsche Bank) 0.000%, 12/31/49 JPY 354,231 1,805 -------- MOROCCO -- 2.9% Kingdom of Morocco, Series A (Counterparties: Credit Suisse First Boston, J.P. Morgan, Merrill Lynch) (C) 2.031%, 01/02/09 19,605 19,213 -------- Total Loan Participations (Cost $40,707) ($ Thousands) 47,620 -------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 17 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Concluded) March 31, 2004 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (F) -- 4.9% UNITED STATES -- 4.9% CIT Group 1.559%, 04/08/04 $ 10,124 $ 10,125 Countrywide Home Loan 1.199%, 01/18/05 8,025 8,024 Liberty Light US Capital 1.080%, 06/16/04 9,260 9,259 Morgan Stanley Dean Witter 1.100%, 04/04/05 4,630 4,630 -------- Total Corporate Obligations (Cost $32,038) ($ Thousands) 32,038 -------- COMMERCIAL PAPER (F) -- 2.7% UNITED STATES -- 2.7% Beethoven Funding 1.065%, 04/15/04 7,716 7,713 Rhineland Funding Capital 1.101%, 04/29/04 9,860 9,852 -------- Total Commercial Paper (Cost $17,565) ($ Thousands) 17,565 -------- MASTER NOTE (F) -- 0.9% Bear Stearns 1.237%, 04/01/04 6,173 6,173 -------- Total Master Note (Cost $6,173) ($ Thousands) 6,173 -------- COMMON STOCK -- 0.0% ARGENTINA -- 0.0% First Trust of New York National Association Argentine Branch* $ 59 85 INDONESIA -- 0.0% PKN Tranche C Equity (B) 24,929 -- -------- Total Common Stock (Cost $65) ($ Thousands) 85 -------- WARRANT -- 0.0% Central Bank of Nigeria* 2,000 -- -------- Total Warrant (Cost $0) ($ Thousands) -- -------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- RIGHTS -- 0.0% Government of Venezuela Par*, Expire 04/15/20 215 $ -- -------- Total Rights (Cost $30) ($ Thousands) -- -------- SWAPTIONS -- 0.0% U.S. Swaption, Bear Stearns 0.000%, 04/27/04 27,950 -- 0.000%, 05/13/04 7,400 1 0.000%, 06/03/04 25,300 12 U.S. Swaption, Goldman Sachs 0.000%, 05/13/04 15,610 1 -------- Total Swaptions (Cost $685) ($ Thousands) 14 -------- REPURCHASE AGREEMENTS (F) -- 16.2% Barclays 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $33,951,742 (collateralized by FNMA Obligations, ranging in par value $45,470,000-$57,393,000, 1.050%(G) 6.625%, 08/15/04-09/15/07; with total market value $34,633,852) 33,952 33,952 Deutsche Bank 1.060%, dated 03/31/04, to be repurchased on 04/01/04, repurchase price $71,897,091 (collateralized by FNMA Obligations, ranging in par value $28,465,000-$151,000,000, 1.003%(G) 2.510%(G), 04/02/04-01/12/07; with total market value $73,163,667) 71,895 71,895 -------- Total Repurchase Agreements (Cost $105,847) ($ Thousands) 105,847 -------- Total Investments -- 116.5% (Cost $697,281) ($ Thousands) 763,144 -------- -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 -------------------------------------------------------------------------------- Notional Net Unrealized Amount Appreciation Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- SWAP CONTRACTS -- 0.0% Receive HUF at fixed rate of 9.500% and pay at floating rate 6 month BUBOR 9.500%, 12/11/08 500,000 $ -- -------- Total Swap Contracts (Cost $0) ($ Thousands) -- -------- Percentages are based on Net Assets of $654,870,933. * Non-Income Producing Security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." As of March 31, 2004, the total value of these securities was $6,904,688, representing 1.05% of the Fund's net assets. (B) Security in default on principal and/or interest payments. (C) Floating Rate Security -- the rate reflected on the Statement of Net Assets is the rate in effect on March 31, 2004. (D) Zero coupon security. (E) This security or a partial position of this security was on loan at March 31, 2004 (see Note 10). The total value of securities on loan at March 31, 2004 was $148,038,075. (F) This security was purchased on cash collateral held from securities lending. The total value of such securities was $161,622,332. (G) The rate reported is the effective yield at time of purchase. ARS -- Argentine Peso BUBOR -- Budapest Interbank Offering Rate EUR -- Euro FLIRB -- Front Loaded Interest Reduction Bond FNMA -- Federal National Mortgage Association HUF -- Hungarian Forint JPY -- Japanese Yen KRW -- South Korean Won MTN -- Medium Term Note PLZ -- Polish Zloty TRL -- Turkish Lira UYU -- Uruguay Peso Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 19 Statements of Assets and Liabilities ($ Thousands)
March 31, 2004 (Unaudited) ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at Market Value (Cost $2,308,495, $855,956, $783,958 and $591,434, respectively) $2,741,412 $1,099,640 $835,190 $657,297 Repurchase Agreements (Cost $35,505, $13,170, and $105,847, respectively) 35,505 13,170 -- 105,847 Cash 14,791 2,292 95,242 7,753 Foreign Currency, at Value (Cost $10,633, $11,648 and $8,381, respectively) 10,720 11,674 8,497 -- Dividends and Interest Receivable 10,128 5,111 13,810 9,482 Receivable for Investment Securities Sold 18,333 24,428 14,065 27,079 Receivable for Shares of Beneficial Interest Sold 4,664 4,866 2,150 9,337 Foreign Tax Reclaim Receivable 530 6 24 -- Unrealized Gain on Forward Foreign Currency Contracts 85 -- 23,965 255 Variation Margin Receivable 19 -- -- 1,518 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 2,836,187 1,161,187 992,943 818,568 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable Upon Return of Securities Loaned 54,215 20,110 -- 161,622 Payable for Investment Securities Purchased 13,989 9,389 24,958 -- Covered Put Options Written, at value (Premium $436) -- -- 329 -- Payable for Share of Beneficial Interest Redeemed 3,055 2,168 1,318 616 Foreign Currency Overdraft (Cost $591) -- -- -- 604 Unrealized Loss on Forward Foreign Currency Contracts 104 9 33,528 96 Variation Margin Payable 92 -- -- -- Investment Advisory Fees Payable 1,169 801 116 223 Administration Fees Payable 1,039 615 465 354 Shareholder Servicing Fees Payable 577 237 161 136 Accrued Expenses 447 48 134 46 Accrued Foreign Capital Gains Tax Payable -- 2,072 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 74,687 35,449 61,009 163,697 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $2,761,500 $1,125,738 $931,934 $654,871 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: Paid-in-Capital -- Class A 3,158,461 1,081,039 819,969 562,274 Paid-in-Capital -- Class I 4,054 -- -- -- Undistributed Net Investment Income (Loss) 2,649 (476) 59,262 9,351 Accumulated Net Realized Gain/Loss on Investments, Options, Futures Contracts, and Foward Foreign Currency Contracts (837,190) (196,509) 10,828 17,238 Net Unrealized Appreciation on Investments and Options 432,917 243,684 51,339 65,863 Accumulated Foreign Capital Gains Tax on Appreciated Securities -- (2,072) -- -- Net Unrealized Appreciation (Depreciation) on Futures Contracts 341 -- (167) -- Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 268 72 (9,297) 145 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $2,761,500 $1,125,738 $931,934 $654,871 ------------------------------------------------------------------------------------------------------------------------------------ Outstanding Shares of Beneficial Interest (Thousands) -- Class A (Unlimited Authorization -- No Par Value) 278,450 99,074 76,075 63,223 Outstanding Shares of Beneficial Interest (Thousands) -- Class I (Unlimited Authorization -- No Par Value) 469 -- -- -- Net Asset Value, Offering and Redemption Price Per Share -- Class A $9.90 $11.36 $12.25 $10.36 Net Asset Value, Offering and Redemption Price Per Share -- Class I $9.91 $-- $-- $-- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 Statements of Operations ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited) ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INTEREST INCOME: Dividends $ 21,252 $ 12,349 $ -- $ -- Dividends from Affiliated Investment Companies 137 63 -- -- Interest 8 80 15,318 20,791 Income from Security Lending 489 141 -- 49 Less: Foreign Taxes Withheld (2,105) (1,117) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 19,781 11,516 15,318 20,840 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 6,545 5,624 683 2,586 Administration fees 5,833 3,482 2,733 1,977 Shareholder Servicing Fees-- Class A 3,236 1,339 1,139 761 Shareholder Servicing Fees-- Class I 4 -- -- -- Administrative Servicing Fees-- Class I 4 -- -- -- Trustee Fees 20 8 7 5 Custodian Fees 850 908 129 77 Printing Fees 93 38 33 22 Professional Fees 44 18 15 10 Registration & Filing Fees 32 13 11 7 Wire Agent Fees 14 6 5 3 Pricing Fees 13 10 4 4 Miscellaneous Expenses 19 8 7 4 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 16,707 11,454 4,766 5,456 ------------------------------------------------------------------------------------------------------------------------------------ Less, Waiver of: Investment Advisory Fees (110) (1,008) -- (905) Shareholder Servicing Fees-- Class A -- -- (211) (444) ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 16,597 10,446 4,555 4,107 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 3,184 1,070 10,763 16,733 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, SWAPS, FUTURES AND FOREIGN CURRENCYTRANSACTIONS: Net Realized Gain (Loss) on: Investments and Options 82,992 172,081 11,498 21,649 Futures Contracts 1,691 -- 519 -- Foreign Currency Transactions 509 (1,039) 75,323 653 Net Change in Unrealized Appreciation (Depreciation) on: Investments and Options 406,045 74,419 (2,935) 17,794 Futures Contracts 1,125 -- (577) -- Swap Contracts -- -- -- (137) Foreign Capital Gains Tax on Appreciated Securities -- 470 -- -- Foreign Currency Transactions 33 6 (27,245) 189 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, OPTIONS, FUTURES, SWAPS, AND FOREIGN CURRENCY TRANSACTIONS 492,395 245,937 56,583 40,148 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $495,579 $247,007 $ 67,346 $56,881 ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 21 Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited) and the year ended September 30, 2003 ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 2004 2003 2004 2003 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 3,184 $ 23,578 $ 1,070 $ 5,698 Net Realized Gain (Loss) from Investment Transactions, Options, Futures, and Swaps 84,683 (173,273) 172,081 27,003 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions 509 (889) (1,039) (195) Net Change in Unrealized Appreciation on Investments, Options, Futures, and Swaps 407,170 536,566 74,419 242,326 Net Change in Accrued Foreign Capital Tax Gains on Appreciated Securities -- -- 470 (2,464) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 33 (75) 6 415 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 495,579 385,907 247,007 272,783 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS FROM: Net investment income: Class A (23,802) (10,407) (2,380) -- Class I (19) (2) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (23,821) (10,409) (2,380) -- ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 381,537 3,133,558 193,307 1,785,869 Reinvestment of Dividends & Distributions 22,759 9,777 2,304 -- Cost of Shares Redeemed (376,762) (3,213,270) (251,060) (1,861,972) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 27,534 (69,935) (55,449) (76,103) ------------------------------------------------------------------------------------------------------------------------------------ CLASS I:(1) Proceeds from Shares Issued 2,700 1,364 -- -- Reinvestment of Dividends & Distributions 19 2 -- -- Cost of Shares Redeemed (606) (236) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class I Transactions 2,113 1,130 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 29,647 (68,805) (55,449) (76,103) ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets 501,405 306,693 189,178 196,680 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 2,260,095 1,953,402 936,560 739,880 ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR $2,761,500 $ 2,260,095 $1,125,738 $ 936,560 ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME/(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) $ 2,649 $ 22,777 $ (476) $ 1,873 ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares Issued 40,856 441,104 18,642 253,167 Reinvestment of Distributions 2,458 1,345 227 -- Shares Redeemed (40,149) (448,950) (23,897) (262,333) ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 3,165 (6,501) (5,028) (9,166) ------------------------------------------------------------------------------------------------------------------------------------ CLASS I:(1) Shares Issued 282 192 -- -- Reinvestment of Distributions 2 -- -- -- Shares Redeemed (66) (33) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions 218 159 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions 3,383 (6,342) (5,028) (9,166) ------------------------------------------------------------------------------------------------------------------------------------
(1) Class I shares were offered beginning January 4, 2002. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2004 (Unaudited) and the year ended September 30, 2003 ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ 2004 2003 2004 2003 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 10,763 $ 21,479 $ 16,733 $ 41,065 Net Realized Gain from Investment Transactions, Options, Futures and Swaps 12,017 19,323 21,649 60,611 Net Realized Gain on Forward Foreign Currency Contracts and Foreign Currency Transactions 75,323 32,852 653 1,076 Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Futures, and Swaps (3,512) 29,198 17,657 98,009 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currency (27,245) 26,301 189 (43) ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 67,346 129,153 56,881 200,718 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net investment income: Class A (65,737) (23,580) (39,072) (40,050) Net Realized Gains: Class A (15,161) (3,699) (57,231) -- ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (80,898) (27,279) (96,303) (40,050) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 175,058 374,056 150,140 330,214 Reinvestment of Dividends & Distributions 77,590 26,081 93,513 38,521 Cost of Shares Redeemed (172,860) (514,395) (114,597) (386,296) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 79,788 (114,258) 129,056 (17,561) ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 66,236 (12,384) 89,634 143,107 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 865,698 878,082 565,237 422,130 ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 931,934 $ 865,698 $ 654,871 $ 565,237 ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME $ 59,262 $ 38,913 $ 9,351 $ 31,037 ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (THOUSANDS): CLASS A: Shares Issued 14,143 32,255 14,249 33,911 Reinvestment of Distributions 6,398 2,358 9,164 4,403 Shares Redeemed (13,999) (44,872) (10,896) (39,626) ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 6,542 (10,259) 12,517 (1,312) ------------------------------------------------------------------------------------------------------------------------------------
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 / Semi-Annual Report / March 31, 2004 23 Financial Highlights
For the six month period ended March 31, 2004 (Unaudited) and the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout Each Period ------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset Beginning Income (Losses) from Investment Capital and Value, End Total of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+ ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EQUITY FUND CLASS A 2004* $ 8.20 $ 0.01(1) $ 1.78(1) $ 1.79 $(0.09) $ -- $(0.09) $ 9.90 21.85% 2003 6.93 0.08(1) 1.23(1) 1.31 (0.04) -- (0.04) 8.20 18.91 2002 8.25 0.04 (1.34) (1.30) (0.02) -- (0.02) 6.93 (15.79) 2001 12.33 0.03 (3.73) (3.70) (0.07) (0.31) (0.38) 8.25 (30.85) 2000 12.09 0.08 0.43 0.51 (0.04) (0.23) (0.27) 12.33 4.15 1999 9.16 0.04(1) 3.34(1) 3.38 (0.10) (0.35) (0.45) 12.09 37.86 CLASS I 2004* $ 8.20 $ 0.01(1) $ 1.77(1) $ 1.78 $(0.07) $ -- $(0.07) $ 9.91 21.77% 2003 6.93 0.09(1) 1.20(1) 1.29 (0.02) -- (0.02) 8.20 18.65 2002(2) 8.97 0.03 (2.07) (2.04) -- -- -- 6.93 (22.74) EMERGING MARKETS EQUITY FUND CLASS A 2004* $ 9.00 $ 0.01(1) $ 2.37(1) $ 2.38 $(0.02) $ -- $(0.02) $11.36 26.50% 2003 6.53 0.05(1) 2.42(1) 2.47 -- -- -- 9.00 37.83 2002 6.08 0.01 0.47 0.48 (0.03) -- (0.03) 6.53 7.78 2001 9.19 0.04 (3.15) (3.11) -- -- -- 6.08 (33.84) 2000 9.13 (0.05)(1) 0.12(1) 0.07 (0.01) -- (0.01) 9.19 0.71 1999 6.17 (0.03) 3.00 2.97 (0.01) -- (0.01) 9.13 48.23 INTERNATIONAL FIXED INCOME FUND CLASS A 2004* $12.45 $ 0.15(1) $ 0.79(1) $ 0.94 $(0.92) $(0.22) $(1.14) $12.25 7.69% 2003 11.00 0.30(1) 1.53(1) 1.83 (0.33) (0.05) (0.38) 12.45 17.05 2002 10.12 0.55 0.33 0.88 -- -- -- 11.00 8.70 2001 9.81 0.33 (0.02) 0.31 -- -- -- 10.12 3.16 2000 11.03 0.31 (1.35) (1.04) (0.18) -- (0.18) 9.81 (9.58) 1999 11.89 0.30 (0.42) (0.12) (0.53) (0.21) (0.74) 11.03 (1.36) EMERGING MARKETS DEBT FUND CLASS A 2004* $11.15 $ 0.29(1) $ 0.71(1) $ 1.00 $(0.66) $(1.13) $(1.79) $10.36 9.94% 2003 8.12 0.78(1) 3.01(1) 3.79 (0.76) -- (0.76) 11.15 49.15 2002 9.03 0.82 (0.56) 0.26 (0.99) (0.18) (1.17) 8.12 2.15 2001 9.51 0.94 (0.53) 0.41 (0.89) -- (0.89) 9.03 4.69 2000 8.11 0.84 1.33 2.17 (0.77) -- (0.77) 9.51 28.07 1999 6.83 0.84 1.19 2.03 (0.75) -- (0.75) 8.11 31.15 * For the six month period ended March 31, 2004 (Unaudited). All ratios for the period have been annualized. + 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) The International Equity Fund Class I shares were offered beginning January 4, 2002. All ratios for the period have been annualized. Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
------------------------------------------------------------------------------------------------------------------------------------ Ratio of Net Ratio of Investment Expenses Ratio of Income to Average Net Assets Expenses (Loss) Net Assets Portfolio End of Period to Average to Average (Excluding Turnover ($Thousands) Net Assets Net Assets Waivers) Rate ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EQUITY FUND CLASS A 2004* $2,756,852 1.28% 0.25% 1.29% 21% 2003 2,258,034 1.28 1.12 1.32 87 2002 1,952,763 1.28 0.51 1.29 70 2001 2,365,245 1.28 0.36 1.29 91 2000 2,953,872 1.29++ 0.79 1.30 73 1999 1,844,459 1.28 0.39 1.31 61 CLASS I 2004* $ 4,648 1.53% 0.19% 1.54% 21% 2003 2,061 1.53 1.15 1.57 87 2002(2) 639 1.53 0.61 1.54 70 EMERGING MARKETS EQUITY FUND CLASS A 2004* $1,125,738 1.95% 0.20% 2.14% 51% 2003 936,560 1.95 0.71 2.14 69 2002 739,880 1.95 0.08 2.14 109 2001 1,010,428 1.95 0.54 2.13 126 2000 1,285,033 1.96 (0.46) 2.12 110 1999 866,911 1.95 (0.35) 2.14 129 INTERNATIONAL FIXED INCOME FUND CLASS A 2004* $ 931,934 1.00% 2.36% 1.05% 155% 2003 865,698 1.00 2.60 1.06 216 2002 878,082 1.00 2.72 1.07 339 2001 1,198,644 1.00 3.13 1.06 235 2000 1,105,584 1.00 3.17 1.11 190 1999 809,440 1.00 2.97 1.22 278 EMERGING MARKETS DEBT FUND CLASS A 2004* $ 654,871 1.35% 5.49% 1.79% 39% 2003 565,237 1.35 7.98 1.80 127 2002 422,130 1.35 8.80 1.79 140 2001 458,950 1.35 10.06 1.78 196 2000 490,554 1.35 10.67 1.80 227 1999 283,993 1.35 12.27 1.82 184
-------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 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. 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. USE OF ESTIMATES -- 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 no 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. The Funds employ a valuation policy that monitors for significant events in foreign markets using various benchmarks and techniques in order to determine when it is appropriate to apply fair valuation in accordance with the Fair Value Procedures. 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 the Trust's policies 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. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until maturity of the repurchase agreement. Provisions of the agreements require that the market value of the collateral, including accrued interest thereon, is sufficient to cover principal and interest in the event of default by the counterparty of the repurchase agreement. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following bases: (I) market value of investment securities, other assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. For foreign equity securities, the Funds do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. 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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 25 NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) 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 six month period ended March 31, 2004. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. 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 their 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. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. The gross returns to be exchanged or "swapped" between the parties are calculated based on a "notional amount" which, each business day, is valued to determine each party's obligation under the contract. Fluctuations in market values are reflected as unrealized gains or losses during the term of the contract. 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. 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 deter mined 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. -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 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. 3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS The Trust and SEI Investments Fund Management (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides management, administrative, and shareholder services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below: International Equity Fund 0.45% International Fixed Income Fund 0.60% Emerging Markets Equity Fund 0.65% Emerging Markets Debt Fund 0.65% However, the Administrator has also voluntarily agreed to waive its fee so that the total annual expenses of each Fund will not exceed certain expense limitations adopted by the Administrator as presented below. In the event that the total annual expenses of a Fund, after reflecting a waiver of all fees by the Administrator, exceed the specific limitation, the Administrator has agreed to bear such excess. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. -------------------------------------------------------------------------------- International International Emerging Emerging Equity Fixed Income Markets Equity Markets Debt Fund Fund Fund Fund -------------------------------------------------------------------------------- Class A 1.28% 1.00% 1.95% 1.35% Class I 1.53% -- -- -- SEI Investments Management Corporation ("SIMC") acts as the Investment Adviser for the Funds under an amended and restated Investment Advisory Agreement dated December 10, 2003 under which SIMC receives annual fees, based on the average daily net assets of the respective funds, as presented below: International Equity Fund 0.505% International Fixed Income Fund 0.150% Emerging Markets Equity Fund 1.050% Emerging Markets Debt Fund 0.850% However, SIMC has also voluntarily agreed to waive its fee so that the total annual expenses of each Fund will not exceed certain expense limitations adopted by the Adviser as presented above. SIMC has entered into Investment Sub-Advisory Agreements with the following parties: -------------------------------------------------------------------------------- Date of Investment Sub-Adviser Agreement -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND Alliance Capital Management L.P. 07/01/03 Capital Guardian Trust Company 06/10/98 Fisher Investments, Inc. 07/01/03 McKinley Capital Management, Inc. 07/01/03 Morgan Stanley Investment Management, Inc. and Morgan Stanley Investment Management Ltd. 10/01/01 EMERGING MARKETS EQUITY FUND Alliance Capital Management L.P. 06/26/02 Citigroup Asset Management Ltd. 09/30/03 Emerging Markets Management, LLC 09/30/03 The Boston Company Asset Management, LLC 09/18/00 INTERNATIONAL FIXED INCOME FUND Fischer Francis Trees and Watts 12/17/02 EMERGING MARKETS DEBT FUND Ashmore Investment Management 03/17/03 Salomon Brothers Asset Management, Inc. 06/30/97 SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investment Company ("SEI Investments") and a registered broker-dealer, acts as the Distributor of the shares of the Trust under an amended and restated Distribution Agreement dated September 16, 2002. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees payable to the Distributor equal to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. -------------------------------------------------------------------------------- Shareholder Administrative Servicing Fees Servicing Fees -------------------------------------------------------------------------------- International Equity Fund Class A .25% -- Class I .25% .25% International Fixed Income Fund Class A .25% -- Emerging Markets Equity Fund Class A .25% -- Emerging Markets Debt Fund Class A .25% -- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 27 NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) 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 six month period ended March 31, 2004, the Distributor received no brokerage commissions. For the six month period ended March 31, 2004, the Funds paid commissions to affiliated broker-dealers as follows: -------------------------------------------------------------------------------- Fund Amount -------------------------------------------------------------------------------- International Equity Fund $27,531 Emerging Markets Equity Fund 83,697 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 six month period ended March 31, 2004, 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. 4. FORWARD FOREIGN CURRENCY CONTRACTS The Funds enter into forward foreign currency exchange contracts as hedges against fund positions and anticipated fund positions. Such contracts, which are designed to protect the value of the Fund's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities; they simply establish an exchange rate at a future date. Also, although such contracts tend to minimize risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase.
The following forward foreign currency contracts were outstanding at March 31, 2004: ------------------------------------------------------------------------------------------------------------------------------------ Unrealized Maturity Currency to Currency to Appreciation/ Date Deliver Receive Contract Value (Depreciation) ----------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND: 05/27/04 CAD 44,011,122 AUD 42,193,156 $37,243,475 $(698,701) 05/27/04 USD 21,054,132 AUD 27,253,533 20,665,994 (388,138) 05/27/04 EUR 21,060,000 CAD 26,540,264 25,839,330 320,187 05/27/04 USD 69,210,000 CAD 91,674,540 69,650,395 440,395 05/24/04 USD 48,507,629 DKK 294,053,055 48,471,406 (36,223) 05/27/04 GBP 61,037,785 EUR 109,871,011 111,626,509 (2,659,742) 05/27/04 JPY 12,847,731,760 EUR 95,300,000 116,927,263 (6,811,426) 05/27/04 USD 413,087,462 EUR 330,440,892 405,430,736 (7,656,726) 05/27/04 EUR 82,560,000 GBP 103,140,338 101,296,064 1,618,954 05/27/04 USD 108,542,311 GBP 57,521,515 105,195,922 (3,346,389) 05/27/04 EUR 158,090,000 JPY 20,990,030,192 202,158,548 8,191,803 05/27/04 USD 237,835,764 JPY 25,089,236,138 241,638,698 3,802,934 04/28/04 USD 8,143,263 KRW 9,598,464,000 8,354,973 211,710 05/27/04 USD 26,324,529 SEK 201,793,506 26,725,531 401,002 05/27/04 AUD 67,113,886 USD 49,922,182 50,891,573 (969,391) 05/27/04 CAD 41,491,361 USD 31,030,000 31,523,361 (493,361) 05/27/04 DKK 294,053,055 USD 49,334,450 48,471,407 863,043 05/27/04 EUR 193,503,097 USD 240,850,894 237,416,448 3,434,446 05/27/04 GBP 38,208,956 USD 69,426,935 69,876,920 (449,985) 05/27/04 JPY 13,449,158,328 USD 123,143,036 129,531,131 (6,388,095) 05/27/04 NZD 108,893,527 USD 72,281,826 71,986,790 295,036 05/27/04 PLZ 36,001,509 USD 9,368,805 9,263,848 104,957 05/27/04 SEK 356,830,809 USD 47,911,544 47,258,671 652,873 -------------- ----------- $2,217,444,993 $(9,560,837) ============== ===========
-------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004
The following forward foreign currency contracts were outstanding at March 31, 2004 (Continued): ------------------------------------------------------------------------------------------------------------------------------------ Unrealized Maturity Currency to Currency to Appreciation/ Date Deliver Receive Contract Value (Depreciation) ------------------------------------------------------------------------------------------------------------------------------------ EMERGING MARKETS DEBT FUND: 04/12/04 USD 1,700,000 BRL 5,177,300 $ 1,776,089 $ 76,089 04/28/04 - 09/09/04 USD 4,265,053 IDR 30,390,200,000 4,318,853 53,800 08/20/04 USD 1,537,161 KRW 1,786,950,000 1,541,965 4,804 03/09/05 USD 4,300,000 RUB 124,270,000 4,357,446 57,446 04/14/04 USD 3,038,568 TRL 4,032,180,000,000 3,068,630 30,062 04/12/04 BRL 5,177,300 USD 1,744,732 1,776,089 (31,357) 06/04/04 EUR 2,329,097 USD 2,880,936 2,857,122 23,814 06/04/04 JPY 84,808,000 USD 775,494 816,991 (41,497) 04/05/04 HUF 97,506,180 USD 467,122 481,236 (14,114) ----------- -------- $20,994,421 $159,047 =========== ======== Currency Legend AUD Australian Dollar EUR Euro JPY Japanese Yen RUB Russian Ruble BRL Brazilian Real HUF Hungarian Forint KRW South Korean Won SEK Swedish Krona CAD Canadian Dollar GBP British Pound Sterling NZD New Zealand Dollar TRL Turkish Lira DKK Danish Krone IDR Indonesian Rupah PLZ Polish Zloty USD U.S. Dollar
5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments, during the six month period ended March 31, 2004, were as follows: -------------------------------------------------------------------------------- Purchases Sales ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund US Gov't $ -- $ -- Other 532,706 564,553 Emerging Markets Equity Fund US Gov't $ -- $ -- Other 523,804 608,187 International Fixed Income Fund US Gov't $ 9,162 $ 9,374 Other 1,090,539 1,143,517 Emerging Markets Debt Fund US Gov't $ -- $ -- Other 238,205 203,979 6. FEDERAL TAX INFORMATION: It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision of Federal income taxes is required. 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. Dividends from net investment income and distributions from 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 of America. 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, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 29 NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded) As of September 30, 2003, the tax character of dividends and distributions paid during the last two years were as follows: -------------------------------------------------------------------------------- Long-Term Ordinary Income Capital Gain Totals ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund 2003 $10,409 $ -- $10,409 2002 6,068 -- 6,068 Emerging Markets Equity Fund 2003 -- -- -- 2002 3,779 -- 3,779 International Fixed Income Fund 2003 22,279 -- 22,279 2002 -- -- -- Emerging Markets Debt Fund 2003 40,050 -- 40,050 2002 48,282 8,388 56,670 As of September 30, 2003, the components of Distributable Earnings/(Accumulated Losses) were as follows:
-------------------------------------------------------------------------------------------------------------------- Undistributed Undistributed Capital Post Unrealized Other Ordinary Long-Term Loss October Appreciation Temporary Income Capital Gain Carryforwards Losses (Depreciation) Differences ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------- International Equity Fund $23,806 $ -- $(705,766) $(168,923) $(21,887) $ -- Emerging Markets Equity Fund 2,374 -- (344,611) (1) 142,313 (2) International Fixed Income Fund 65,947 4,644 -- -- 54,926 -- Emerging Markets Debt Fund 70,752 16,671 -- -- 46,180 (1,873)
Post-October losses represent losses realized on investment transactions from November 1, 2002 through September 30, 2003, that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
------------------------------------------------------------------------------------------------------------------------------------ Total Capital Loss Expires Expires Expires Expires Expires Expires Carryforward 2011 2010 2009 2008 2007 2006 8/31/03 ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ International Equity Fund $226,615 $479,151 $ -- $-- $ -- $ -- $705,766 Emerging Markets Equity Fund 1,982 191,077 26,548 -- 28,692 96,312 344,611
For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation at March 31, 2004 for each Fund is as follows:
-------------------------------------------------------------------------------------------------- Aggregate Aggregate Net Gross Gross Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------- International Equity Fund $2,344,000 $493,819 $(60,902) $432,917 Emerging Markets Equity Fund 869,126 257,085 (13,401) 243,684 International Fixed Income Fund 783,958 52,296 (956) 51,340 Emerging Markets Debt Fund 697,281 67,740 (1,877) 65,863
7. FUTURES CONTRACTS The following Funds had futures contracts open as of March 31, 2004: -------------------------------------------------------------------------------- Contract Number of Market Settlement Unrealized Description Contracts Value Month Gain/(Loss) -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND: DJ Euro Stoxx Long 582 $19,654,237 June 2004 $ 54,095 FT-SE 100 Index Long 185 14,949,900 June 2004 (101,769) Hang Seng Index Long 14 1,131,612 April 2004 (5,953) SPI 200 Index Long 63 4,112,325 June 2004 (36,290) Topix Index Long 102 11,564,281 June 2004 431,007 --------- $ 341,090 ========= -------------------------------------------------------------------------------- Contract Number of Market Settlement Unrealized Description Contracts Value Month Gain/(Loss) -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND: Japan 10 Year Long Bond 21 $27,765,175 June 2004 $(246,679) Euro 2 Year Long Bond 409 53,604,425 June 2004 60,832 Euro 10 Year Long Bond 591 84,299,294 June 2004 (329,027) British 10 Year Long Bond 93 18,596,103 June 2004 152,736 U.S. 10 Year Short Note 434 50,086,313 June 2004 194,766 --------- $(167,372) ========= 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 inter- -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 est 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 their obligations may be affected by economic and political developments in a specific country, industry or region. 9. LOAN PARTICIPATIONS AND BRADY BONDS The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. 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 they 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 331/3% 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 may 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 not to exceed 60 days and a maturity date not to exceed 397 days. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2004 31 Notes Notes Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST SEMI-ANNUAL REPORT MARCH 31, 2004 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch Rosemarie B. Greco Nina Lesavoy James M. Storey George J. Sullivan, Jr. OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Peter (Pedro) A. Rodriguez CONTROLLER AND CHIEF FINANCIAL OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Lydia A. Gavalis VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Christine M. McCullough VICE PRESIDENT, ASSISTANT SECRETARY John C. Munch VICE PRESIDENT, ASSISTANT SECRETARY John J. Munera VICE PRESIDENT, ASSISTANT SECRETARY William E. Zitelli, Jr. VICE PRESIDENT, ASSISTANT SECRETARY INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP This semi-annual report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [Background Omitted] Background type omitted [LOGO OMITTED] Logo of SEI Investments Omitted SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-031 (03/04) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management companies. ITEM 6. (RESERVED) ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end investment management companies. ITEM 8. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 10. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 11. EXHIBITS. ITEMS 11. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional International Trust /s/ Edward D. Loughlin By (Signature and Title)* ---------------------- Edward D. Loughlin Chief Executive Officer Date: 05/28/04 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Edward D. Loughlin By (Signature and Title)* -------------------------- Edward D. Loughlin Chief Executive Officer Date: 05/28/04 /s/ Peter (Pedro) A. Rodriguez By (Signature and Title)* ------------------------------ Peter (Pedro) A. Rodriguez Chief Financial Officer Date: 05/28/04 * Print the name and title of each signing officer under his or her signature.