N-CSR 1 siitarcomb9_05.txt SIIT COMB AR 9_05 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, 2005 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. SEI INVESTMENTS [BACKGROUND GRAPHIC OMITTED] Annual Report as of September 30, 2005 SEI Institutional International Trust International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS ------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 ------------------------------------------------------------- Schedules of Investments 7 ------------------------------------------------------------- Statements of Assets and Liabilities 41 ------------------------------------------------------------- Statements of Operations 42 ------------------------------------------------------------- Statements of Changes in Net Assets 43 ------------------------------------------------------------- Financial Highlights 45 ------------------------------------------------------------- Notes to Financial Statements 46 ------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 55 ------------------------------------------------------------- Trustees and Officers of the Trust 56 ------------------------------------------------------------- Disclosure of Fund Expenses 59 ------------------------------------------------------------- Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 60 ------------------------------------------------------------- Notice to Shareholders 63 ------------------------------------------------------------- Shareholder Voting Results 64 ------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 International Equity Fund Objective The International Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of foreign issuers. Strategy The Fund invests primarily in common stocks and other equity securities of issuers of all capitalization ranges that are located in at least 3 countries other than the U.S. The Fund invests primarily in companies located in developed countries, but may also invest in companies located in emerging markets. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Analysis International equities realized very strong gains during the year ended September 30, 2005. Overall, the non-U.S. developed equity markets, as measured by the Morgan Stanley MSCI EAFE Index, gained 25.79% in U.S. dollar terms during the period. Every international equity market, as well as sector, posted positive returns. The Energy sector was the strongest performer as the rising price of oil and other key commodities boosted equity prices within the sector. The more speculative Information Technology sector was the poorest performer during the course of the year as investors remained cautious about the prospects of a continued global economic recovery accompanied by an increase in tech spending. The International Equity Fund, Class A led the Morgan Stanley MSCI EAFE Index during the period, advancing 26.33%. Strong stock selection within both the Financials and Telecommunication sectors led to the positive relative performance while positioning to those respective sectors only modestly detracted from performance. On a country basis, strong stock selection was seen within all the major developed equity markets including France, Japan and the UK over the past year. Non-benchmark names, many found via opportunistic investing in large emerging market securities, were positive contributors during this time as well. Two new managers, Fuller & Thaler Asset Management, Inc. and Quantitative Management Associates LLC, were added in the summer of 2005, as new enhancements to the product. International Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 --------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date --------------------------------------------------------------------- Class A 26.33% 21.95% 1.10% 5.33% 4.77% --------------------------------------------------------------------- Class I 25.86% 21.65% n/a n/a 9.22% --------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A, versus the Morgan Stanley MSCI EAFE Index [LINE GRAPH OMITTED] International Equity Morgan Stanley MSCI Fund, Class A EAFE Index 9/95 $100,000 $100,000 9/96 109,850 108,620 9/97 121,450 121,861 9/98 110,823 111,698 9/99 152,781 146,268 9/00 159,121 150,919 9/01 110,032 107,862 9/02 92,658 91,111 9/03 110,180 114,809 9/04 133,031 140,159 9/05 168,058 176,306 1 For the period ended September 30, 2005. Past performance is no indication of future performance. Class I Shares were offered beginning on January 4, 2002. Class A Shares were offered beginning December 20, 1989. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 Emerging Markets Equity Fund Objective The Emerging Markets Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing primarily in common stocks and other equity securities of foreign companies located in emerging market countries. Strategy The Fund normally maintains investments in at least 6 emerging market countries and does not invest more than 35% of its total assets in any one emerging market country. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Analysis Strong returns within emerging markets continued, as the asset class returned 47.18% for the year ended September 30, 2005 as measured by the MSCI Emerging Markets Index. A number of factors converged to contribute to the stellar returns of the asset class during the period. Energy prices were clearly an important factor, as the strength in oil prices benefited a number of countries that are heavy oil exporters. Energy stocks were far and away the best performers. More importantly for the asset class as a whole, energy prices did not seem to translate into higher inflation, which was a positive for the global economy. Investors also seem to be recognizing the improvement in the risk of the asset class, as countries continue to aggressively pay down their debt and companies work to improve their governance. Investment into the asset class reached record levels, with fund flows topping $8 billion for the year through September 2005. On a country basis, Egypt was the strongest performing market, benefiting from a reform minded administration as well as the strong inflows from the Gulf region. The Fund underperformed the broader market during the period, returning 44.68% versus 47.18% for the Morgan Stanley MSCI Emerging Markets Index. Positioning within technology names was the biggest contributor to relative performance during the period. Although the Technology sector lagged the broader market, the Fund benefited from concentrating on LCD and PDA manufacturers at the expense of DRAM and semiconductor companies. An overweight to Russia added to relative performance, as the market rebounded from the Yukos affair on the back of strong oil prices. Despite this positioning, the Fund was slightly underweight in the energy sector, which detracted from relative performance. Positioning within the Telecommunications sector also detracted from performance. The Fund was underweight to some of the larger names in the sector, namely Mexican telecom America Movil, which were popular choices among investors looking to get quick exposure to the asset class. An overweight to Egypt contributed positively to relative returns. Emerging Markets Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 --------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date --------------------------------------------------------------------- Class A 44.68% 35.08% 11.94% 4.24% 4.70% --------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, versus the Morgan Stanley MSCI Emerging Markets Index [LINE GRAPH OMITTED] Emerging Markets Morgan Stanley MSCI Equity Fund Emerging Markets Index 9/95 $100,000 $100,000 9/96 107,610 105,210 9/97 118,888 112,112 9/98 57,744 58,511 9/99 85,594 91,582 9/00 86,202 91,957 9/01 57,031 61,464 9/02 61,468 66,473 9/03 84,722 97,031 9/04 104,724 122,774 9/05 151,515 180,698 1 For the period ended September 30, 2005. Past performance is no indication of future performance. Class A Shares were offered beginning January 17, 1995. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 2 SEI Institutional International Trust / Annual Report / September 30, 2005 International Fixed Income Fund Objective The International Fixed Income Fund (the "Fund") seeks to provide capital appreciation and current income through investments in investment grade fixed income securities of foreign government and corporate issuers. Strategy The Fund seeks to provide U.S.-based investors with a vehicle to diversity and enhance the returns of the domestic fixed income portion of their Funds. Although there are no restrictions on the Fund's overall duration, under normal conditions it is expected to range between four and six years. The Fund is managed against a broad aggregate index inclusive of sovereign, mortgage and corporate securities. The Fund is diversified through its issuers, market capitalization, and industry and country positioning. Country and currency allocations are made separately. As a result, the Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund intends to be diversified across six to twelve countries, across the three major trading blocs: North America, Europe and the Pacific Basin. Depending upon the relative fundamental and technical views, each trading bloc is over or underweighted relative to the Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. Analysis The International fixed income market, as measured by the Lehman Global Aggregate ex-U.S. Index, returned 3.55% over the year ended September 30, 2005. The U.S. Dollar staged a recovery on the back of the increases in the Federal Reserve Bank's Funding Rate. Despite concerns regarding a slowdown in the U.S. economy, the Federal Reserve maintained a tightening bias over the year in response to the increasing inflation risk. U.S. policy set the tone for the rest of the world; short rates in the UK and Japan drifted higher. The European Central Bank stood pat on rates despite the increasing inflation risk posed by the rises in commodity prices. The Japanese economy began to show signs of a sustainable domestic recovery with the Japanese central bank signaling the likely end to their zero interest rates policy and Prime-minister Koizumi winning a snap election. We were pleased to introduce Bridgewater Associates, Inc. ("Bridgewater") into the Fund in 2005. The Fund is now equally weighted 50/50 between Bridgewater and Fischer Francis Trees and Watts, Inc. The currency and bond market moves created some interesting opportunities for the managers. Both managers positioned their managers to exploit the running yields in the Mexican market which proved successful. Inflation linked bonds also played an important role in the strategy during the year. Issuer specific opportunities were perceived to be less attractive this year as the levels of spread in the corporate bond market remained tight and the volatility (excluding the auto sector) remained at the low end of historic levels. The Fund underperformed its index with a return of 3.01%. Currency management was an active component of both managers' strategies over the year, however value added from currency positioning was not consistently positive for the year, leading to a slight overall negative contribution during the second half of the performance period from foreign exchange rates. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 International Fixed Income Fund AVERAGE ANNUAL TOTAL RETURN 1 --------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date --------------------------------------------------------------------- Class A 3.01% 9.01% 7.75% 4.32% 5.61% --------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI International Fixed Income Fund, versus the Lehman Global Aggregate ex-U.S. Index [LINE GRAPH OMITTED] International Fixed Lehman Global Aggregate Income Fund ex-U.S. Index 9/95 $100,000 $100,000 9/96 103,530 106,910 9/97 104,731 106,547 9/98 117,791 120,760 9/99 116,189 117,608 9/00 105,058 106,212 9/01 108,378 110,492 9/02 117,807 121,851 9/03 137,893 144,637 9/04 148,138 157,090 9/05 152,597 162,667 1 For the period ended September 30, 2005. Past performance is no indication of future performance. Class A Shares were offered beginning September 1, 1993. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Annual Report / September 30, 2005 Emerging Markets Debt Fund Objective The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return from a portfolio consisting of primarily U.S, dollar-denominated debt securities of government, government-related and corporate issuers in emerging market countries. Strategy The Fund seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their portfolios. Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 25-30 countries. The next step in the process determines relative value amongst sectors within a country, and security selection within the sectors. The final step incorporates a disciplined sell process through continual risk/reward analysis across, and within emerging debt countries. U.S. interest-rate risk relative to the benchmark is controlled through the maintenance of a tightly constrained U.S. Treasury duration. Excess return is captured through active management of the sovereign spread component relative to the benchmark. Analysis Emerging Markets Debt (EMD) as measured by the J.P. Morgan EMBI Global Index posted relatively strong performance during the twelve month period, returning 14.00%. The market has been able to benefit from strong internal factors - improving economies and the passage of critical reforms - as well as strong external factors -- increasing global risk appetite and high oil prices. Continued improvements in fundamentals have been recognized by the rating agencies by way of further ratings upgrades during the period. Upgraded countries included Mexico (twice - Baa1 & BBB), South Africa (Baa1), Slovak Republic (A2), Ecuador (B), Russia (BBB-) and India (BB+). High oil prices continued to benefit a number of oil exporting emerging markets countries as oil climbed over $60/barrel. EMD's largest oil exporters -- Russia, Venezuela, Nigeria, Qatar and Ecuador -- all assume very conservative oil prices in their respective budgets with many of these countries earmarking excess oil proceeds for early debt repayment or the establishment of oil stabilization funds (rainy day funds). For example, Russia assumes a $28/barrel oil price in 2005 and Venezuela has budgeted around a $23/barrel. All told, 46% of the Fund's benchmark is associated with net oil exporters. During the period, the Funds' spreads over U.S. Treasuries tightened 174 basis point to end at 235 basis points, with the market yield ending the period at 6.74%. Russian bonds benefited from their new status of being fully investment grade, returning 22.8%. Russian fundamentals continue to improve, primarily driven by high oil prices, which allowed Russia to repay $3.3 billion to the International Monetary Fund and $15 billion to the Paris Club. The repayments settle debts that had been due between 2005 and 2009. In Latin American, Argentina bonds gained 17%, as the country completed the restructuring of $100 billion in debt that the country defaulted on in 2001. Brazil continues to benefit from an improving economy, lower-interest rates, and the passage of key reforms, which propelled Brazilian bonds to a 16% return. The Fund's return of 19.34% solidly outpaced the benchmark during the period driven by overweight positions to Russia, Brazil and Uruguay, as the economy continues to surprise to the upside. Additionally, boosting the bonds was the International Monetary Fund's approval of their first review under the $1.1 billion stand-by agreement, which allowed for $44 million to be released, as well as the postponement of the comprehensive tax reform agenda from October until December. The largest detractor to Fund performance was its underweight to the Dominican Republic, which returned in excess of 43% as the country completed its long awaited debt restructuring during the period. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 Emerging Markets Debt Fund AVERAGE ANNUAL TOTAL RETURN 1 ------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date ------------------------------------------------------------- Class A 19.34% 26.59% 16.75% 12.00% ------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Global Index [LINE GRAPH OMITTED] Emerging Markets Debt Fund J.P. Morgan EMBI Global Index 6/97 $100,000 $100,000 9/97 106,198 106,500 9/98 69,984 80,674 9/99 91,785 100,407 9/00 117,549 125,408 9/01 123,062 129,572 9/02 125,707 130,194 9/03 187,493 175,801 9/04 213,685 196,106 9/05 255,012 223,560 1 For the period ended September 30, 2005. Past performance is no indication of future performance. Class A Shares were offered beginning June 26, 1997. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Annual Report / September 30, 2005 SCHEDULE OF INVESTMENTS International Equity Fund September 30, 2005 ------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [BAR GRAPH OMITTED] 29.1% Financials 9.7% Cash Equivalents 9.4% Industrials 9.3% Consumer Discretionary 9.2% Telecommunication Services 8.4% Energy 6.5% Consumer Staples 5.9% Healthcare 5.9% Basic Materials 3.4% Utilities 2.8% Information Technology 0.4% Diversified +Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 8). Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- COMMON STOCK -- 97.7% AUSTRALIA -- 3.1% Alinta 131,495 $ 1,190 Amcor 142,883 732 Aristocrat Leisure 151,908 1,375 Australia & New Zealand Banking Group 229,144 4,200 Australian Stock Exchange 48,488 1,004 AXA Asia Pacific Holdings 279,085 1,036 BHP Billiton 669,092 11,369 BlueScope Steel 570,713 4,166 Boral 78,594 484 Brambles Industries 1,291,221 8,736 Caltex Australia 70,759 1,109 Centro Properties Group 106,574 488 Cochlear 38,631 1,157 Coles Myer 109,953 861 Commonwealth Bank of Australia 73,384 2,152 Computershare 452,964 2,283 CSL 30,532 895 CSR 60,474 143 DCA Group 115,810 347 Downer EDI 32,437 150 GPT Group 331,385 987 Iluka Resources 388,310 2,601 Insurance Australia Group 185,802 775 John Fairfax Holdings 282,831 983 Lend Lease 95,356 1,019 Macquarie Airports 883,814 2,214 Macquarie Bank 77,020 4,432 Macquarie Goodman Group 56,584 183 Macquarie Infrastructure Group 779,656 2,388 Mayne Group 279,214 1,147 Mirvac Group 44,559 137 National Australia Bank 394,828 9,965 OneSteel 456,943 1,329 Orica 73,326 1,176 PaperlinX 39,100 94 Promina Group 217,343 830 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Qantas Airways 313,825 $ 808 QBE Insurance Group 793,617 11,321 Rinker Group 199,559 2,527 Rio Tinto 19,691 889 Santos 316,438 3,023 Stockland 211,321 994 Suncorp-Metway 86,159 1,297 Wesfarmers 37,247 1,142 Westpac Banking 140,449 2,263 Woolworths 162,126 2,059 ----------- 100,460 ----------- AUSTRIA -- 0.7% Andritz 1,657 166 Boehler-Uddeholm 11,341 1,914 Erste Bank der Oesterreichischen Sparkassen 26,501 1,422 OMV 158,231 9,426 Raiffeisen International Bank Holding* 7,018 470 Telekom Austria 480,273 9,583 Wienerberger 4,615 182 ----------- 23,163 ----------- BELGIUM -- 1.1% AGFA-Gevaert 61,850 1,495 Belgacom 4,237 144 Colruyt 3,466 452 Delhaize Group (A) 87,300 5,181 Dexia 132,372 2,989 Electrabel 3,948 1,985 Fortis (A) 316,184 9,184 Groupe Bruxelles Lambert 23,687 2,321 KBC Groep 67,566 5,491 Solvay 8,807 1,027 UCB 29,750 1,575 Umicore 36,789 4,025 ----------- 35,869 ----------- BRAZIL -- 0.1% Cia de Saneamento Basico do Estado de Sao Paulo 12,120,000 851 Gerdau ADR 92,250 1,377 Uniao de Bancos Brasileiros GDR 20,300 1,068 ----------- 3,296 ----------- CANADA -- 1.4% Abitibi-Consolidated (A) 116,200 468 Alcan (A) 108,600 3,448 Bank of Nova Scotia (A) 54,900 2,053 Cameco (A) 43,900 2,346 Canadian Natural Resources (A) 60,500 2,737 Falconbridge (A) 65,071 1,742 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 7 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Great-West Lifeco (A) 2,000 $ 50 Inco 58,000 2,746 Manulife Financial 38,000 2,030 Methanex (A) 51,300 761 Potash Saskatchewan (A) 37,300 3,482 Research In Motion* 40,500 2,770 Rogers Communications, Cl B (A) 223,850 8,826 Teck Cominco, Cl B (A) 187,800 8,439 TELUS (A) 80,400 3,280 Toronto-Dominion Bank (A) 19,500 963 ----------- 46,141 ----------- CHINA -- 0.0% China Petroleum & Chemical 2,176,000 996 ----------- DENMARK -- 0.4% AP Moller - Maersk 224 2,294 Carlsberg 5,700 334 D/S Torm 950 55 Danisco 2,600 176 Danske Bank 27,600 847 DSV 2,200 235 H Lundbeck 12,900 329 Kobenhavns Lufthavne 330 83 Novo-Nordisk, Cl B (A) 98,600 4,890 TDC 70,555 3,807 William Demant Holding* 5,000 235 ----------- 13,285 ----------- FINLAND -- 1.4% Amer Sports 48,488 928 Elisa, Cl A 57,599 999 Fortum (A) 466,908 9,401 Kesko, Cl B 104,190 2,899 Metso 39,276 1,000 Neste Oil* 9,000 335 Nokia (A) 861,089 14,472 Nokian Renkaat 11,000 261 Pohjola Group, Cl D 98,089 1,579 Rautaruukki (A) 210,099 4,734 Sampo, Cl A 280,049 4,457 Stora Enso, Cl R 51,200 706 UPM-Kymmene 64,091 1,287 Wartsila, Cl B 59,948 1,915 YIT-Yhtyma 10,950 466 ----------- 45,439 ----------- FRANCE -- 10.0% Accor 31,617 1,602 Air France-KLM 21,247 356 Air Liquide 8,117 1,497 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Alcatel* 25,135 $ 336 Assurances Generales de France (A) 198,400 19,040 Atos Origin* 1,899 135 AXA 653,387 17,992 BNP Paribas 276,410 21,078 Bouygues (A) 409,254 19,080 Business Objects* 54,062 1,861 Carrefour 135,556 6,256 Casino Guichard Perrachon 10,132 721 Cie de Saint-Gobain 29,251 1,688 Cie Generale d'Optique Essilor International 14,320 1,190 CNP Assurances 6,724 452 Compagnie Generale des Etablissements Michelin, Cl B 29,695 1,750 Credit Agricole 131,945 3,882 Dassault Systemes 140,062 7,261 France Telecom 936,833 26,972 Groupe Danone 85,357 9,226 L'Oreal 20,525 1,595 Lafarge 26,248 2,317 Neopost 12,466 1,212 PagesJaunes Group 7,224 198 Pernod-Ricard 806 143 Peugeot 12,698 865 Pinault-Printemps-Redoute 9,415 991 Publicis Groupe 139,309 4,448 Renault 150,594 14,307 Safran 12,616 273 Sanofi-Aventis 541,984 44,917 Schneider Electric 82,126 6,505 SCOR 1,478,734 3,031 Societe Generale 165,076 18,897 Suez 39,405 1,143 Thomson 65,393 1,364 Total 196,025 53,672 Veolia Environnement 24,600 1,041 Vinci (A) 128,395 11,091 Vivendi Universal 416,273 13,631 Zodiac 4,595 272 ----------- 324,288 ----------- GERMANY -- 6.1% Adidas-Salomon 2,240 390 Allianz 74,220 10,053 Altana 16,300 915 BASF 125,726 9,474 Bayer 363,908 13,377 Bayerische Hypo-und Vereinsbank 283,201 8,003 Bayerische Motoren Werke (A) 116,856 5,503 Celesio (A) 2,638 232 Commerzbank 222,750 6,096 -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Continental (A) 123,171 $ 10,143 DaimlerChrysler 161,556 8,598 Deutsche Bank 71,027 6,664 Deutsche Boerse 12,673 1,215 Deutsche Post (A) 114,251 2,681 Deutsche Telekom 591,497 10,797 E.ON 169,629 15,631 Fresenius Medical Care (A) 2,496 228 Hochtief 24,902 1,115 Hypo Real Estate Holding 136,950 6,945 Infineon Technologies (A)* 510,328 5,033 Linde 48,218 3,564 MAN 103,839 5,343 Merck KGaA 102,023 8,614 Muenchener Rueckversicherungs 76,252 8,734 RWE 23,030 1,528 SAP 73,803 12,795 SAP ADR 10,800 468 Siemens 297,327 22,978 Suedzucker 9,804 223 ThyssenKrupp 50,411 1,056 TUI (A) 171,096 3,655 Volkswagen (A) 76,532 4,724 Wincor Nixdorf 2,500 241 ----------- 197,016 ----------- GREECE -- 0.1% Coca Cola Hellenic Bottling 4,470 130 Folli - Follie 3,890 117 Intracom 40,290 280 National Bank of Greece 32,420 1,301 OPAP 22,150 690 Piraeus Bank 17,625 370 Titan Cement 5,480 184 ----------- 3,072 ----------- HONG KONG -- 1.8% ASM Pacific Technology 28,000 136 Cathay Pacific Airways 509,000 905 Cheung Kong Holdings 297,000 3,354 China Mobile Hong Kong 1,942,500 9,515 CLP Holdings 97,000 578 CNOOC 12,595,000 9,173 Hang Lung Group 248,000 478 Hang Lung Properties 561,000 893 Henderson Land Development 125,000 624 Hopewell Holdings 86,000 227 Hutchison Whampoa 1,037,000 10,727 Hysan Development 402,000 1,005 Kingboard Chemical Holdings 58,000 145 Li & Fung 1,624,000 3,758 New World Development 2,466,000 3,242 PCCW 1,238,000 806 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Shangri-La Asia 534,000 $ 864 Sino Land 2,796,000 3,406 Sun Hung Kai Properties 491,000 5,086 Swire Pacific, Cl A 166,800 1,536 Television Broadcasts 157,000 960 Wharf Holdings 71,000 277 ----------- 57,695 ----------- HUNGARY -- 0.1% Mol Magyar Olaj-es Gazipari 13,000 1,442 ----------- INDIA -- 0.1% Infosys Technologies ADR 14,400 1,070 Punjab National Bank 90,000 922 ----------- 1,992 ----------- IRELAND -- 0.6% Allied Irish Banks 97,280 2,076 Anglo Irish Bank 440,450 6,016 Bank of Ireland 20,545 326 CRH 97,498 2,651 DCC 7,832 157 Depfa Bank 291,375 4,690 Fyffes 85,332 261 Greencore Group 165,365 720 Independent News & Media 307,125 900 Irish Life & Permanent 52,335 956 ----------- 18,753 ----------- ISRAEL -- 0.1% Bank Hapoalim 445,000 1,731 ----------- ITALY -- 3.3% Autostrade 34,471 889 Banca Intesa 665,805 3,113 Banca Intesa RNC 38,669 169 Banca Monte dei Paschi di Siena 249,222 1,109 Banca Popolare di Milano 937,811 9,639 Banche Popolari Unite 70,267 1,431 Banco Popolare di Verona e Novara 7,164 136 Benetton Group 109,597 1,179 Capitalia 1,094,185 6,002 Enel 110,439 955 ENI - Ente Nazionale Idrocarburi 1,292,058 38,492 Fiat* 28,116 252 Fiat RNC* 497,090 4,195 Finmeccanica 178,484 3,553 Italcementi (A) 83,291 1,308 Luxottica Group 50,547 1,260 Mediobanca (A) 127,648 2,519 Pirelli & C (A) 1,157,439 1,232 Recordati 201,400 1,539 Riunione Adriatica di Sicurta 49,369 1,127 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 9 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Sanpaolo IMI 601,092 $ 9,363 Snam Rete Gas 417,862 2,443 Telecom Italia 1,137,010 3,708 Telecom Italia RNC 3,691,764 10,304 UniCredito Italiano 312,562 1,767 ----------- 107,684 ----------- JAPAN -- 24.8% Acom (A) 25,930 1,885 Aderans 3,500 96 Advantest (A) 21,400 1,662 Aeon 225,500 4,536 Aiful 12,750 1,070 Alps Electric (A) 63,100 1,026 Amada 186,000 1,485 Amano 76,000 1,180 Aoyama Trading 57,600 1,626 Asahi Kasei (A) 232,000 1,269 Asatsu-DK 40,800 1,274 Astellas Pharma (A) 171,500 6,461 Bank of Fukuoka (A) 36,000 260 Bank of Kyoto (A) 169,000 1,694 Bank of Yokohama* 239,000 1,824 Bridgestone 145,000 3,109 Canon (A) 641,214 34,680 Canon Sales 8,000 164 Central Glass 51,000 293 Central Japan Railway (A) 679 5,296 Chiba Bank 135,000 1,099 Chiyoda 34,000 627 Chubu Electric Power (A) 130,100 3,180 Citizen Watch (A) 12,100 99 COMSYS Holdings (A) 13,000 151 Dai Nippon Printing (A) 654,391 10,566 Daicel Chemical Industries (A) 40,000 259 Daido Steel 47,000 303 Daiichi Sankyo (A) 228,775 4,693 Dainippon Screen Manufacturing 343,000 2,243 Daito Trust Construction (A) 24,000 1,052 Daiwa House Industry 136,000 1,782 Daiwa Securities Group 67,000 524 Denki Kagaku Kogyo (A) 47,000 170 East Japan Railway (A) 1,005 5,746 Eisai (A) 19,400 830 Electric Power Development 11,300 378 Fanuc 180,400 14,612 Fast Retailing (A) 75,000 5,697 Fuji Photo Film 188,000 6,204 Fuji Television Network 810 1,815 Fujikura 62,000 381 Gunma Bank 238,000 1,529 Hino Motors (A) 43,000 292 Hirose Electric 22,500 2,626 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Hitachi (A) 2,529,285 $ 16,045 Hitachi Chemical 11,700 245 Hitachi Software Engineering 56,900 914 Hokkaido Electric Power 77,800 1,658 Hokuhoku Financial Group 545,000 2,058 Honda Motor (A) 205,400 11,635 House Foods 64,200 979 Hoya 17,100 569 Hoya - When Issued* 51,000 1,737 Ibiden (A) 159,200 6,644 Isetan 329,400 5,255 Itochu 1,075,000 7,408 Japan Tobacco (A) 689 10,882 JFE Holdings (A) 304,600 9,917 JGC 75,000 1,373 JS Group (A) 14,900 254 JSR 12,300 256 Kamigumi 259,000 2,068 Kaneka (A) 26,000 340 Kansai Electric Power 494,644 10,932 Kao (A) 359,000 8,853 KDDI (A) 63 356 Keio 180,000 994 Keisei Electric Railway (A) 196,000 1,077 Keyence (A) 2,800 705 Kirin Brewery 118,000 1,301 Kobe Steel 2,010,000 6,118 Kokuyo 70,600 977 Komatsu (A) 1,878,115 25,618 Komori 71,000 1,265 Kubota (A) 155,000 1,075 Kuraray (A) 105,000 932 Kurita Water Industries (A) 10,800 196 Kyocera (A) 192,200 13,397 Kyushu Electric Power (A) 157,300 3,504 Lawson 74,600 2,817 Makita 78,000 1,583 Marubeni 877,000 4,086 Marui 64,400 1,089 Matsushita Electric Industrial (A) 866,470 14,701 Matsushita Electric Works (A) 121,000 1,204 Mediceo Paltac Holdings (A) 6,300 101 Millea Holdings 788 12,654 Mitsubishi (A) 1,123,850 22,211 Mitsubishi Chemical (A) 587,000 1,947 Mitsubishi Electric (A) 982,000 6,299 Mitsubishi Estate (A) 646,900 8,892 Mitsubishi Gas Chemical 75,000 502 Mitsubishi Heavy Industries (A) 389,000 1,380 Mitsubishi Rayon 143,000 641 Mitsubishi UFJ Financial Group (A) 731 9,610 Mitsui (A) 713,000 8,939 Mitsui Chemicals (A) 686,000 4,055 Mitsui OSK Lines (A) 1,484,000 11,876 -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Mitsui Sumitomo Insurance (A) 491,000 $ 5,692 Mitsui Trust Holdings 840,100 11,652 Mizuho Financial Group (A) 1,352 8,613 Murata Manufacturing (A) 15,400 860 Namco Bandai Holdings 8,550 143 NEC (A) 1,973,000 10,706 NGK Spark Plug 47,000 682 NHK Spring 47,000 345 Nichii Gakkan 3,100 76 Nichirei 43,000 177 Nidec (A) 9,400 560 Nidec - When Issued* 9,400 553 Nikko Cordial (A) 83,000 962 Nikon (A) 135,000 1,706 Nintendo (A) 15,900 1,857 Nippon Electric Glass 170,000 3,067 Nippon Light Metal* 840,000 2,312 Nippon Mining Holdings* 14,500 115 Nippon Oil (A) 375,000 3,325 Nippon Sheet Glass 21,000 95 Nippon Shokubai 15,000 159 Nippon Steel* 912,000 3,428 Nippon Telegraph & Telephone 1,946 9,581 Nippon Yusen Kabushiki Kaisha (A) 405,000 2,719 Nissan Motor (A) 1,793,903 20,513 Nisshin Seifun Group 20,900 203 Nisshin Steel (A) 727,000 2,514 Nissin Food Products (A) 37,900 988 Nitori 6,300 529 Nitto Denko (A) 57,900 3,264 NOK 7,800 233 Nomura Holdings 499,000 7,753 NSK (A) 66,000 365 NTN 56,000 336 NTT Data (A) 379 1,465 NTT DoCoMo (A) 3,245 5,783 Obayashi (A) 116,000 802 Obic 550 94 OJI Paper (A) 76,000 416 Omron (A) 11,200 273 Oriental Land 134,400 7,696 ORIX (A) 134,400 24,309 Osaka Gas (A) 1,709,000 5,986 Promise (A) 24,250 1,799 Q.P. 114,800 1,100 Ricoh (A) 83,000 1,298 Rohm 75,426 6,555 Santen Pharmaceutical 10,000 259 Sanwa Shutter 206,000 1,240 Sega Sammy Holdings 48,100 1,901 Sega Sammy Holdings-- When Issued* 48,100 1,867 Seiko Epson 3,700 95 Seino Transportation 170,000 1,555 Sekisui Chemical (A) 56,000 400 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Sekisui House 243,000 $ 2,982 Seven & I Holdings (A) 155,400 5,155 Sharp (A) 36,000 522 Shimamura 16,300 1,809 Shin-Etsu Chemical (A) 64,200 2,804 Shinsei Bank (A) 1,040,000 6,561 Shiseido (A) 17,000 245 Showa Denko 120,000 384 Showa Shell Sekiyu 108,200 1,484 SMC (A) 25,200 3,360 Softbank (A) 99,200 5,514 Sompo Japan Insurance 244,000 3,236 Sony (A) 365,600 12,032 Sumitomo 566,000 5,983 Sumitomo Bakelite (A) 153,000 1,050 Sumitomo Chemical (A) 323,000 2,001 Sumitomo Electric Industries (A) 95,000 1,282 Sumitomo Forestry (A) 84,000 853 Sumitomo Heavy Industries 411,000 2,919 Sumitomo Metal Industries (A) 1,426,000 5,007 Sumitomo Metal Mining 228,000 2,116 Sumitomo Mitsui Financial Group (A) 3,567 33,675 Sumitomo Rubber Industries 34,000 405 Sumitomo Trust & Banking (A) 353,000 2,909 Suzuken 39,700 1,149 Suzuki Motor (A) 191,200 3,543 T&D Holdings 15,300 913 Taiheiyo Cement 325,000 1,216 Taisho Pharmaceutical 39,000 704 Takeda Pharmaceutical (A) 129,000 7,694 Tanabe Seiyaku (A) 369,000 3,734 TDK (A) 20,200 1,442 Teijin 23,000 134 Teikoku Oil 286,000 3,091 THK (A) 10,000 250 Tohoku Electric Power 179,900 4,008 Tokuyama 36,000 353 Tokyo Broadcasting System 90,300 2,099 Tokyo Electric Power 262,000 6,634 Tokyo Electron (A) 88,312 4,698 Tokyo Gas (A) 2,136,206 8,689 Tokyo Tatemono 143,000 1,166 TonenGeneral Sekiyu 129,000 1,502 Toyo Seikan Kaisha (A) 214,200 3,186 Toyo Suisan Kaisha 19,000 325 Toyobo 36,000 89 Toyota Industries (A) 96,200 3,200 Toyota Motor 243,100 11,153 Trend Micro (A) 50,000 1,584 Ube Industries 431,000 1,164 UFJ Holdings 3,080 20,680 Uni-Charm 18,400 795 UNY 88,000 1,163 Ushio 4,600 94 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 11 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Wacoal Holdings 80,000 $ 1,059 Yahoo! Japan 998 1,171 Yahoo! Japan-- When Issued* 830 989 Yakult Honsha (A) 52,100 1,322 Yamada Denki (A) 140,150 10,671 Yamaha 100,200 1,737 Yamaha Motor 44,900 929 Yamato Transport (A) 187,800 3,092 ----------- 802,558 ----------- LUXEMBOURG -- 0.5% Arcelor 575,008 13,491 SES Global FDR 240,090 3,766 ----------- 17,257 ----------- MEXICO -- 0.5% America Movil ADR, Ser L 415,950 10,948 Fomento Economico Mexicano ADR 94,900 6,635 ----------- 17,583 ----------- NETHERLANDS -- 5.7% ABN AMRO Holding (A) 991,752 23,830 Aegon 635,098 9,457 Akzo Nobel 94,462 4,131 Buhrmann 32,443 393 CSM 92,020 2,618 DSM 56,309 2,219 Euronext 25,597 1,130 European Aeronautic Defense and Space 65,440 2,328 Heineken 108,876 3,506 Heineken Holding 65,662 1,942 ING Groep (A) 1,069,641 31,957 James Hardie Industries 254,523 1,740 Koninklijke Ahold* 90,285 685 Koninklijke Philips Electronics 34,823 928 Randstad Holdings 3,309 127 Reed Elsevier 109,620 1,517 Royal Dutch Shell ADR, Cl A 22,400 1,470 Royal Dutch Shell, Cl A 1,341,406 44,426 Royal Dutch Shell, Cl A (GBP) 54,489 1,808 Royal Dutch Shell, Cl B (GBP) 399,984 13,855 Royal KPN 777,531 6,993 Royal Numico* 29,814 1,309 TNT 182,348 4,544 Unilever 261,769 18,668 VNU (A) 24,461 771 Wereldhave 888 94 Wolters Kluwer 8,795 164 ----------- 182,610 ----------- ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- NEW ZEALAND -- 0.2% Fletcher Building 231,902 $ 1,273 Telecom 942,641 3,935 ----------- 5,208 ----------- NORWAY -- 1.2% DNB 230,200 2,381 Norsk Hydro (A) 152,860 17,174 Norske Skogindustrier (A) 54,000 801 Orkla 18,900 720 ProSafe 5,300 199 Statoil 353,750 8,811 Storebrand 21,600 212 Tandberg (A) 457,950 6,142 Yara International 30,900 560 ----------- 37,000 ----------- PHILIPPINES -- 0.0% Philippine Long Distance Telephone 33,800 1,016 ----------- PORTUGAL -- 0.4% Banco BPI 66,474 297 Banco Comercial Portugues 1,521,512 4,237 Cimpor Cimentos de Portugal 60,701 336 Energias de Portugal 33,394 93 Portugal Telecom 524,559 4,807 Sonae 823,286 1,409 ----------- 11,179 ----------- SINGAPORE -- 0.9% Allgreen Properties Ltd 1,206,000 957 CapitaLand 1,185,000 2,202 City Developments 39,000 215 DBS Group Holdings 103,000 963 Flextronics International* 257,000 3,302 Jardine Cycle & Carriage 134,000 880 Keppel 79,000 594 Keppel Land 488,000 1,069 Neptune Orient Lines 1,386,000 2,527 Oversea-Chinese Banking 22,000 81 Parkway Holdings 749,000 958 SembCorp Marine 924,000 1,635 Singapore Airlines 162,000 1,112 Singapore Press Holdings 191,000 522 Singapore Telecommunications 5,272,714 7,646 United Overseas Bank 392,000 3,272 United Overseas Land 21,400 30 ----------- 27,965 ----------- -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- SOUTH AFRICA -- 0.5% ABSA Group 100,308 $ 1,480 Sanlam 828,200 1,668 Sasol 306,817 11,886 Telkom 51,670 1,025 ----------- 16,059 ----------- SOUTH KOREA -- 1.0% Honam Petrochemical 23,600 1,178 Hyundai Motor 18,600 1,456 Industrial Bank of Korea 88,000 1,115 INI Steel 59,040 1,531 Kookmin Bank 18,900 1,116 POSCO 8,800 1,977 Samsung Electronics (2) 5,720 3,229 Samsung Electronics GDR 44,302 12,604 Shinhan Financial Group 242,300 8,445 ----------- 32,651 ----------- SPAIN -- 4.2% Acciona 30,392 3,490 ACS Actividades Construcciones y Servicios (A) 319,626 9,345 Altadis 79,128 3,556 Antena 3 de Television (A) 14,259 259 Banco Bilbao Vizcaya Argentaria 809,528 14,240 Banco Santander Central Hispano 1,530,985 20,175 Corp Mapfre 13,468 232 Ebro Puleva (A) 14,052 252 Endesa (A) 468,888 12,590 Fomento de Construcciones y Contratas 50,904 3,043 Gas Natural SDG 31,785 927 Grupo Ferrovial 20,504 1,712 Iberdrola 190,657 5,344 Iberia Lineas Aereas de Espana 307,125 785 Inditex (A) 36,730 1,081 Metrovacesa 8,382 619 Repsol 976,210 31,731 Sacyr Vallehermoso 164,855 4,641 Telefonica (A) 1,363,781 22,395 ----------- 136,417 ----------- SWEDEN -- 2.2% Atlas Copco, Cl A 274,675 5,330 Axfood 5,100 127 Electrolux, Ser B 45,654 1,072 Eniro 22,200 260 Fabege 155,287 2,772 Getinge 10,600 147 Hennes & Mauritz, Cl B 48,750 1,744 Nordea Bank (A) 542,546 5,440 Sandvik 46,200 2,304 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Scania, Cl B 6,400 $ 232 Securitas, Cl B 9,800 152 Skandinaviska Enskilda Banken 163,889 3,011 Skanska, Cl B 101,953 1,510 SKF, Cl B 451,158 5,895 Ssab Svenskt Stal, Cl A 136,458 4,140 Svenska Cellulosa, Cl B 66,000 2,318 Svenska Handelsbanken, Cl A 44,100 1,024 Swedish Match 8,500 102 Telefonaktiebolaget LM Ericsson ADR 253,550 9,341 Telefonaktiebolaget LM Ericsson, Cl B 1,721,000 6,301 Telelogic* 440,340 1,014 TeliaSonera 397,023 1,890 Trelleborg, Cl B 20,400 342 Volvo, Cl A 3,000 127 Volvo, Cl B (A) 327,800 14,313 ----------- 70,908 ----------- SWITZERLAND -- 6.5% Adecco 22,300 1,022 Ciba Specialty Chemicals 2,166 128 Clariant 22,015 318 Compagnie Financiere Richemont, Cl A (A) 169,113 6,723 Credit Suisse Group 470,685 20,919 Geberit 1,198 875 Holcim 206,176 13,745 Logitech International* 5,009 203 Micronas Semiconductor Holdings (A)* 21,900 939 Nestle 140,921 41,427 Novartis 944,274 48,083 Phonak Holding 3,446 148 PSP Swiss Property 3,888 196 Rieter Holding 445 131 Roche Holding 124,998 17,432 STMicroelectronics 54,866 947 Straumann Holding 2,707 728 Sulzer 577 294 Swatch Group 10,134 288 Swatch Group, Cl B 2,779 384 Swiss Reinsurance* 100,485 6,625 Swisscom 9,013 2,957 Syngenta 10,367 1,090 Synthes 6,970 819 UBS 370,250 31,590 Xstrata 362,251 9,414 Zurich Financial Services 24,941 4,266 ----------- 211,691 ----------- TAIWAN -- 0.3% Chunghwa Telecom ADR 168,266 3,115 Compal Electronics 1,247,700 1,231 Far EasTone Telecommunications GDR (2) 33,600 571 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 13 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- HON HAI Precision Industry GDR 115,369 $ 1,057 Taiwan Semiconductor Manufacturing 993,297 1,595 Taiwan Semiconductor Manufacturing ADR 196,876 1,618 ----------- 9,187 ----------- THAILAND -- 0.0% PTT 199,200 1,184 ----------- TURKEY -- 0.0% Ford Otomotiv Sanayi 150,793 1,048 ----------- UNITED KINGDOM -- 18.4% 3i Group 16,349 227 Alliance Unichem 36,585 561 Anglo American 171,937 5,141 ARM Holdings 191,111 397 Associated British Ports Holdings 153,968 1,431 AstraZeneca 318,454 14,845 AstraZeneca (SEK) (A) 120,836 5,643 Aviva 656,735 7,232 BAA 261,028 2,882 BAE Systems 569,500 3,461 Balfour Beatty 41,563 241 Barclays 2,300,209 23,317 Barratt Developments 178,756 2,389 Bellway 77,595 1,202 Berkeley Group Holdings 13,095 201 BHP Billiton 1,532,331 24,831 BOC Group 355,432 7,250 Bovis Homes Group 17,330 188 BP 5,131,143 61,137 BPB 40,876 532 Bradford & Bingley 140,234 847 Brambles Industries 147,043 906 British Airways* 298,481 1,546 British American Tobacco 523,122 11,022 British Land 81,336 1,353 British Sky Broadcasting 316,288 3,136 BT Group 1,300,992 5,115 Bunzl 184,901 1,858 Cadbury Schweppes 2,451,427 24,807 Capita Group 32,792 219 Carnival 32,137 1,666 Close Brothers Group 9,375 138 Cookson Group* 21,687 127 Daily Mail & General Trust 14,383 168 Diageo 186,949 2,695 Emap 35,624 519 Enterprise Inns 130,686 1,948 First Choice Holidays 378,613 1,418 Firstgroup 43,740 255 Friends Provident 1,623,152 5,370 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Gallaher Group 14,780 $ 230 GKN 64,920 338 GlaxoSmithKline 1,747,226 44,572 GUS 208,744 3,156 Hammerson 13,388 221 Hanson 167,540 1,744 Hays 2,032,083 4,413 HBOS 920,553 13,900 HSBC Holdings 1,878,327 30,471 ICAP 212,781 1,378 Imperial Chemical Industries 216,785 1,148 Imperial Tobacco Group 517,693 14,873 Inchcape 18,886 731 Intercontinental Hotels Group 624,149 7,917 International Power 254,284 1,118 J Sainsbury 937,786 4,637 Kelda Group 22,892 284 Kingfisher 58,705 224 Land Securities Group 5,031 132 Legal & General Group 741,153 1,488 Liberty International 14,571 256 Lloyds TSB Group 790,025 6,527 Man Group 36,417 1,067 Mitchells & Butlers 347,456 2,245 National Grid 1,099,835 10,341 Next* 43,978 1,083 O2 3,728,700 10,406 Pearson 275,669 3,214 Persimmon 359,087 5,451 Pilkington 80,068 197 Prudential 13,744 125 Punch Taverns 286,412 4,054 Reckitt Benckiser 208,580 6,373 Reed Elsevier 1,181,962 10,967 Rexam 15,121 138 Rio Tinto 158,948 6,518 Rolls-Royce Group 545,172 3,602 Royal & Sun Alliance Insurance Group 1,000,000 1,716 Royal Bank of Scotland Group 980,486 27,909 SABMiller 131,245 2,552 Scottish & Newcastle 98,244 806 Scottish & Southern Energy 133,842 2,436 Scottish Power 1,370,869 13,860 Severn Trent 26,823 470 Smith & Nephew 598,400 5,039 Smiths Group 33,639 571 Sportingbet 882,500 4,871 Stagecoach Group 63,489 125 Standard Chartered 160,422 3,471 Tate & Lyle 449,715 3,614 Taylor Woodrow 780,342 4,476 Tesco 196,860 1,078 -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (3) ($ Thousands) ------------------------------------------------------------- Tomkins 53,181 $ 272 Travis Perkins 7,528 189 Trinity Mirror 154,367 1,640 Unilever 476,607 4,992 United Business Media 47,076 461 United Utilities 172,806 2,002 Vodafone Group 26,450,623 69,021 Whitbread 233,096 3,915 Wimpey George 447,428 3,388 Wolseley 117,467 2,492 WPP Group 44,746 457 Yell Group 55,800 472 ----------- 596,055 ----------- Total Common Stock (Cost $2,593,325) ($ Thousands) 3,159,898 ----------- COMMERCIAL PAPER (D) -- 8.1% UNITED STATES -- 8.1% ASAP Funding (B) 3.780%, 10/05/05 5,000 4,998 3.700%, 10/03/05 15,000 14,997 Ajax Bambino Funding (B) 3.680%, 10/04/05 15,000 14,995 Barton Capital (B) 3.770%, 10/05/05 30,000 29,987 Bavaria TRR (B) 3.800%, 10/11/05 5,000 4,995 3.770%, 10/07/05 5,000 4,997 3.700%, 10/06/05 15,000 14,992 Broadhollow Funding (B) 3.830%, 10/27/05 15,000 14,958 Clipper Receivables (B) 3.750%, 10/03/05 15,000 14,997 Export Development 4.827%, 10/05/05 2,600 2,598 Freedom Park Capital (B) 3.810%, 10/17/05 9,000 8,985 3.690%, 10/06/05 16,000 15,992 General Electric Capital 7.304%, 10/03/05 4,000 3,999 5.433%, 10/04/05 2,000 1,999 Harwood Street Funding (B) 3.820%, 10/13/05 15,000 14,981 Harwood Street Funding II (B) 3.810%, 10/13/05 17,610 17,588 Mitten RFC (B) 3.800%, 10/04/05 21,000 20,993 Park Granada (B) 3.830%, 10/03/05 10,000 9,998 Ranger Funding (B) 3.750%, 10/26/05 15,000 14,961 ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (3) ($ Thousands) ------------------------------------------------------------- Sheffield Receivables (B) 3.480%, 10/06/05 14,000 $ 13,993 USAA Capital 3.740%, 10/06/05 1,600 1,599 Yorktown Capital (B) 3.750%, 10/17/05 15,000 14,975 ----------- Total Commercial Paper (Cost $262,577) ($ Thousands) 262,577 ----------- CORPORATE OBLIGATIONS (B)(C)(E) -- 1.6% UNITED STATES -- 1.6% Harrier Finance Funding LLC MTN 3.890%, 04/27/06 10,000 10,000 K2 LLC MTN 3.890%, 05/10/06 10,000 10,000 Links Finance LLC MTN 3.890%, 04/28/06 10,000 10,000 Theta Funding MTN 3.900%, 05/05/06 10,000 10,000 Whistlejacket Funding LLC MTN 3.900%, 05/15/06 10,000 10,000 ----------- Total Corporate Obligations (Cost $50,000) ($ Thousands) 50,000 ----------- ASSET-BACKED SECURITIES (B)(C)(E) -- 0.9% Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM2 3.880%, 11/25/05 13,315 13,315 Wachovia Asset Securization, Ser 2004-HM1A, Cl A 3.820%, 11/25/34 14,839 14,839 ----------- Total Asset-Backed Securities (Cost $28,154) ($ Thousands) 28,154 ----------- TIME DEPOSITS -- 0.6% Brown Brothers Harriman 5.750%, 10/03/05 NZD -- -- 5.450%, 10/03/05 ZAR 2,511 395 4.450%, 10/03/05 AUD 257 196 3.310%, 10/03/05 13,944 13,944 1.900%, 10/03/05 CAD 123 107 1.590%, 10/03/05 SGD 312 185 1.330%, 10/03/05 EUR 4,894 5,900 1.260%, 10/03/05 DKK 80 13 1.070%, 10/03/05 NOK 2 -- 0.650%, 10/03/05 SEK 556 72 ----------- Total Time Deposits (Cost $20,812) ($ Thousands) 20,812 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 15 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) September 30, 2005 ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (3) ($ Thousands) ------------------------------------------------------------- PREFERRED STOCK -- 0.6% AUSTRALIA -- 0.0% News 44,855 $ 699 ----------- BRAZIL -- 0.2% Braskem, Cl A 116,000 1,190 Petroleo Brasileiro 236,000 3,778 Suzano Bahia Sul Papel e Celulose 126,000 712 Usinas Siderurgicas de Minas Gerais, Cl A 54,200 1,263 ----------- 6,943 ----------- GERMANY -- 0.3% Fresenius Medical Care 1,848 146 Porsche 9,439 7,281 Volkswagen 7,714 353 ----------- 7,780 ----------- ITALY -- 0.1% Fiat* 272,840 2,161 ----------- Total Preferred Stock (Cost $13,229) ($ Thousands) 17,583 ----------- CASH EQUIVALENTS (B) -- 0.2% Barclays Global Investors Funds, Prime Money Market Fund 7,994,094 7,994 The Reserve Funds, Primary Fund, Cl 8 372,098 372 ----------- Total Cash Equivalents (Cost $8,366) ($ Thousands) 8,366 ----------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund 19,000 1,104 ----------- Total Exchange Traded Fund (Cost $1,081) ($ Thousands) 1,104 ----------- U.S. TREASURY OBLIGATION -- 0.0% UNITED STATES -- 0.0% U. S. Treasury Bills (1) 3.455%, 11/25/05 850 846 ----------- Total U.S. Treasury Obligation (Cost $845) ($ Thousands) 846 ----------- ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (3) ($ Thousands) ------------------------------------------------------------- CONVERTIBLE BOND -- 0.0% SWITZERLAND -- 0.0% Credit Suisse Group, CV to 32.3311 Shares (CHF) 6.000%, 12/23/05 149 $ 181 ----------- Total Convertible Bond (Cost $108) ($ Thousands) 181 ----------- Number of Rights ---------- RIGHTS -- 0.0% NORWAY -- 0.0% Norske Skogindustrier, Expires 10/17/05* 54 95 ----------- Total Rights (Cost $0) ($ Thousands) 95 ----------- REPURCHASE AGREEMENTS (B) (F) -- 10.8% Bank of America 3.850%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $88,528,394 (collateralized by various FNMA obligations, ranging in par value $13,286,397-$40,412,066, 4.500%-5.500%, 09/01/20-10/01/35; with a total market value of $90,270,001) 88,500 88,500 Barclays Capital 3.810%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $91,028,893 (collateralized by a FNMA obligation, par value $93,935,000, 4.110%, 02/16/10; with a total market value of $92,820,305) 91,000 91,000 Deutsche Bank 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $74,023,125 (collateralized by various FNMA obligations, ranging in par value $1,148,968-$30,821,451, 4.500- 7.500%, 04/01/09-09/01/35; with a total market value of $75,480,001) 74,000 74,000 Goldman Sachs 3.900%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $97,031,525 (collateralized by various FNMA obligations, ranging in par value $9,334,765-$42,304,305, 5.000%- 5.500%, 02/01/33-10/01/35; with a total market value of $98,940,000) 97,000 97,000 ----------- Total Repurchase Agreements (Cost $350,500) ($ Thousands) 350,500 ----------- -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Value ($ Thousands) ------------------------------------------------------------- Total Investments -- 120.5% (Cost $3,328,997) ($ Thousands) $3,900,116 =========== Percentages are based on Net Assets of $3,235,210 ($ Thousands). * Non-Income Producing Security (1) Securities pledged as collateral on open futures contracts. The rates shown are effective yields at the time of purchase. (2) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." As of September 30, 2005, the total value of these securities was $3,800 ($ Thousands), representing 0.12% of the Fund's net assets (See Note 2). (3) In U.S. Dollars, unless otherwise noted. (A) This security or a partial position of this security is on loan at September 30, 2005. The total value of securities on loan at September 30, 2005 was $656,418 ($ Thousands) (See Note 8). (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2005 was $689,402 ($ Thousands) (See Note 8). (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2005. (D) The rate reported is the effective yield at time of purchase. (E) This security, which was purchased with cash collateral held from securities lending, was sold within the terms of private placement memorandum, exempt from registration under Section 3A-4, 4(2), or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors". (F) Tri-Party Repurchase Agreements. ------------------------------------------------------------- ------------------------------------------------------------- ADR -- American Depositary Receipt AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CV -- Convertible Bond DKK -- Danish Krone EUR -- Euro FDR -- Fiduciary Depositary Receipt FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt LLC -- Limited Liability Company Ltd. -- Limited MTN -- Medium Term Note NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. Futures -- A summary of the open futures contracts held by the Fund at September 30, 2005, is as follows (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- Unrealized Contract Appreciation/ Number of Value Expiration (Depreciation) Type of Contract Contracts ($ Thousands) Date ($ Thousands) -------------------------------------------------------------------------------- DJ Euro Stoxx 184 $7,622 December 2005 $ 63 FTSE 100 Index 59 5,725 December 2005 5 Hang Seng Index 4 398 October 2005 2 SPI 200 Index 18 1,594 December 2005 (3) Topix Index 39 4,846 December 2005 43 ------ $ 110 ====== -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 17 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund September 30, 2005 ------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [BAR GRAPH OMITTED] 19.3% Financials 14.6% Telecommunication Services 12.1% Energy 11.7% Information Technology 9.4% Basic Materials 9.1% Consumer Discretionary 8.2% Industrials 4.5% Cash Equivalents 3.3% Utilities 3.3% Consumer Staples 2.9% Diversified 1.6% Healthcare +Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 8). ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- COMMON STOCK -- 92.8% ARGENTINA -- 0.2% IRSA Inversiones y Representaciones GDR* 200,600 $ 2,417 ----------- BERMUDA -- 0.0% Credicorp 9,000 257 ----------- BRAZIL -- 8.7% All America Latina Logistica 22,700 904 All America Latina Logistica GDR (A) 3,100 124 Aracruz Celulose ADR 28,543 1,158 Banco do Brasil 35,000 685 Banco Itau Holding Financeira ADR 9,690 1,150 Brasil Telecom Participacoes ADR (C) 64,110 2,727 Centrais Eletricas Brasileiras 21,049,200 422 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (C) 224,715 6,488 Cia de Saneamento Basico do Estado de Sao Paulo 26,264,600 1,843 Cia de Saneamento Basico do Estado de Sao Paulo ADR 18,900 329 Cia Energetica de Minas Gerais ADR 36,300 1,382 Cia Vale do Rio Doce ADR 782,669 31,235 Contax Participacoes* 75,068 66 Contax Participacoes ADR 174,427 108 CPFL Energia ADR 33,400 1,064 Cyrela Brazil Realty GDR (A) 2,700 222 Cyrela Brazil Realty 41,000 338 EDP - Energias do Brasil 12,100 142 Empresa Brasileira de Aeronautica ADR (C) 74,420 2,873 Gol Linhas Aereas Inteligentes ADR 15,200 493 Grendene 252,700 1,843 Localiza Rent A CAR 64,900 538 Lojas Renner 92,600 2,292 Natura Cosmeticos 18,700 749 Petroleo Brasileiro ADR (C) 622,929 41,058 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Tele Centro Oeste Celular Participacoes ADR 53,900 $ 488 Tele Norte Leste Participacoes 75,068 1,689 Tele Norte Leste Participacoes ADR (C) 174,427 2,883 Telecomunicacoes Brasileiras ADR (C) 51,360 1,665 Telesp Celular Participacoes ADR 218,600 855 Tim Participacoes ADR 192,341 3,574 Ultrapar Participacoes ADR 6,800 116 Uniao de Bancos Brasileiros GDR 112,380 5,911 Votorantim Celulose e Papel ADR 10,900 146 ----------- 117,560 ----------- CHILE -- 1.0% Banco Santander Chile ADR 67,600 2,966 Cia Cervecerias Unidas ADR 8,877 230 CorpBanca 321,234,586 1,932 Empresa Nacional de Electricidad ADR 124,900 3,723 Empresas CMPC 15,200 434 Enersis 12,281,127 2,793 Enersis ADR 115,122 1,317 ----------- 13,395 ----------- CHINA -- 3.2% Baidu.com ADR* 1,000 64 Beijing Capital International Airport (C) 885,000 388 Byd (C) 797,000 1,274 China Petroleum & Chemical 20,975,900 9,599 China Petroleum & Chemical ADR 7,800 353 China Shenhua Energy* 4,883,300 5,728 China Shipping Development 4,302,000 3,604 China Telecom 25,646,800 9,670 Huadian Power International (C) 10,357,200 4,546 Netease.com ADR* 9,500 855 PetroChina 3,564,000 2,986 Sinopec Shanghai Petrochemical 950,000 334 Sinopec Yizheng Chemical Fibre (C) 5,061,600 796 Sinotrans 3,775,000 1,326 Weiqiao Textile 888,400 1,168 Yanzhou Coal Mining 877,200 695 ----------- 43,386 ----------- COLOMBIA -- 0.3% BanColombia ADR 162,900 3,576 ----------- CROATIA -- 0.1% Pliva D.D. GDR (A) 109,900 1,484 ----------- CZECH REPUBLIC -- 0.6% Cesky Telecom GDR* 268,123 5,349 Komercni Banka 12,601 1,840 Zentiva 14,802 678 ----------- 7,867 ----------- -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- EGYPT -- 0.7% Commercial International Bank GDR (A) 81,600 $ 824 Mobinil-Egyptian Mobile Services 42,916 1,500 Orascom Construction Industries 116,690 4,254 Orascom Construction Industries GDR (A) 20,900 1,510 Orascom Telecom Holding 16,300 1,596 ----------- 9,684 ----------- HONG KONG -- 2.7% ASM Pacific Technology (C) 408,000 1,985 Beijing Enterprises Holdings 170,000 306 Brilliance China Automotive Holdings (C) 2,649,000 382 China Mengniu Dairy 4,861,000 4,010 China Merchants Holdings International 367,000 823 China Mobile Hong Kong 2,314,300 11,336 China Netcom Group 394,500 679 China Overseas Land & Investment 1,788,000 536 China Resources Enterprise 1,732,300 2,836 CNOOC 4,433,000 3,228 Denway Motors 6,148,500 2,239 Giordano International 1,928,000 1,330 Global Bio-Chem Technology Group 1,079,000 494 Johnson Electric Holdings 2,489,500 2,391 Panva Gas Holdings* 715,000 327 Shanghai Industrial Holdings 1,038,600 2,102 Yue Yuen Industrial Holdings 596,500 1,638 ----------- 36,642 ----------- HUNGARY -- 1.3% Gedeon Richter 33,102 5,980 Magyar Telekom 567,509 2,933 Mol Magyar Olaj-es Gazipari 22,765 2,526 OTP Bank 164,044 6,469 ----------- 17,908 ----------- INDIA -- 7.7% Bharat Heavy Electricals 50,277 1,400 Bharat Petroleum 277,943 2,555 Bharti Televentures* 987,654 7,829 Dr. Reddy's Laboratories 30,607 593 Dr. Reddy's Laboratories ADR 142,700 2,777 GAIL India 181,232 1,087 GAIL India GDR (A) 39,800 1,432 Grasim Industries 84,874 2,550 HDFC Bank 98,920 1,547 Hindalco Industries 1,104,470 3,694 Hindalco Industries GDR (A) 1,041,000 3,435 Hindustan Petroleum 605,681 4,356 ICICI Bank 57,358 783 ICICI Bank ADR 107,000 3,023 Indian Overseas Bank 1,739,149 3,708 Industrial Development Bank of India 647,424 1,815 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Infosys Technologies 200,040 $ 11,452 Jet Airways India 63,901 1,623 Larsen & Toubro 58,397 2,009 Mahanagar Telephone Nigam 1,014,150 2,941 Mahanagar Telephone Nigam ADR 76,050 501 Mahindra & Mahindra 319,266 2,747 Maruti Udyog 238,830 3,033 Oil & Natural Gas 496,609 11,985 Reliance Industries 477,639 8,621 Reliance Industries GDR (A) 83,838 3,020 Satyam Computer Services 321,179 4,091 State Bank of India GDR (A) 72,500 3,589 Steel Authority of India 552,303 818 Tata Consultancy Services 23,050 777 Tata Iron & Steel 115,782 1,115 Tata Motors 250,551 3,046 ----------- 103,952 ----------- INDONESIA -- 1.5% Astra International 2,100,000 1,990 Bank Central Asia 3,457,500 1,159 Bank Mandiri Persero 5,673,900 800 Bumi Resources 17,818,500 1,558 Gudang Garam 1,633,500 1,730 Indofood Sukses Makmur 13,743,000 975 Indosat 4,890,500 2,519 Telekomunikasi Indonesia 18,772,300 9,760 Telekomunikasi Indonesia ADR 3,400 71 ----------- 20,562 ----------- ISRAEL -- 2.2% Bank Hapoalim 2,003,844 7,794 Bank Leumi Le-Israel 1,014,080 3,384 Bezeq Israeli Telecommunication* 1,618,094 2,170 Check Point Software Technologies* 19,113 465 Lipman Electronic Engineering* 34,900 733 Makhteshim-Agan Industries 894,025 5,026 Super-Sol 338,050 849 Teva Pharmaceutical Industries ADR (C) 286,373 9,571 ----------- 29,992 ----------- MALAYSIA -- 4.3% AMMB Holdings Berhad 604,400 414 Astro All Asia Networks 426,300 645 Berjaya Sports Toto (F) 576,300 612 British American Tobacco Malaysia 27,400 276 Commerce Asset Holdings 1,837,800 2,731 Gamuda 2,160,700 2,568 Genting 684,000 3,884 IJM 221,135 285 IOI 1,197,200 3,780 Kuala Lumpur Kepong 511,200 1,051 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 19 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Magnum 845,700 $ 464 Malakoff 1,943,900 3,997 Malaysia International Shipping 734,800 3,607 Malaysia International Shipping (Foreign Market) 798,900 3,942 MK Land Holdings 533,800 127 PLUS Expressways 519,800 441 Proton Holdings 153,800 337 Public Bank 1,045,175 1,872 Public Bank (Foreign Market) 1,218,300 2,246 Resorts World 1,876,600 5,477 Sime Darby 3,658,600 6,018 Telekom Malaysia 3,147,200 8,684 Tenaga Nasional 1,240,600 3,555 Titan Chemicals 1,964,900 803 ----------- 57,816 ----------- MEXICO -- 5.9% Alfa 624,300 3,833 America Movil ADR, Ser L 437,686 11,520 Cemex 305,732 1,591 Cemex ADR 61,839 3,234 Coca-Cola Femsa ADR (C) 197,751 5,282 Consorcio ARA 989,800 3,754 Controladora Comercial Mexicana 2,128,500 3,352 Desc, Ser B* 2,947,466 774 Embotelladoras Arca 191,800 412 Empresas ICA Sociedad Controladora ADR (C)* 365,200 825 Fomento Economico Mexicano ADR 71,082 4,970 Grupo Bimbo, Ser A 284,200 923 Grupo Continental 997,200 1,740 Grupo Financiero Banorte 927,166 8,264 Grupo Mexico, Ser B 233,100 458 Grupo Modelo, Ser C 266,800 861 Grupo Televisa ADR 131,130 9,403 Kimberly-Clark de Mexico, Ser A 1,032,931 3,889 Telefonos de Mexico ADR, Ser L 483,451 10,283 Urbi Desarrollos Urbanos* 207,100 1,536 Wal-Mart de Mexico, Ser V 537,709 2,735 ----------- 79,639 ----------- MOROCCO -- 0.2% Maroc Telecom 190,000 2,039 ----------- PAKISTAN -- 0.0% Pakistan Telecommunication 507,500 523 ----------- PERU -- 0.1% Cia de Minas Buenaventura ADR 35,100 1,090 ----------- ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- PHILIPPINES -- 0.4% ABS-CBN Broadcasting PDR* 1,275,900 $ 319 Bank of the Philippine Islands 1,436,689 1,333 Manila Electric* 1,230,700 461 Philippine Long Distance Telephone ADR (C) 47,700 1,452 SM Investments 246,490 959 SM Prime Holdings 3,605,000 463 ----------- 4,987 ----------- POLAND -- 0.2% KGHM Polska Miedz 36,696 531 Opoczno* 30,578 399 Polish Oil & Gas* 131,131 162 Powszechna Kasa Oszczednosci Bank Polski 79,500 771 Telekomunikacja Polska 194,056 1,518 ----------- 3,381 ----------- RUSSIA -- 6.7% AFK Sistema GDR 81,491 1,996 Evraz Group* 117,400 2,113 LUKOIL ADR 625,786 36,139 Mechel Steel Group OAO ADR 39,800 1,452 MMC Norilsk Nickel ADR (C) 60,479 5,020 Mobile Telesystems ADR 323,644 13,166 NovaTek OAO GDR (A)* 26,000 611 OAO Gazprom ADR (C) 148,074 9,921 Sberbank* 39,600 3,782 Sberbank GDR* 31,171 2,913 Surgutneftegaz ADR (C) 66,175 3,573 Uralsvyazinform ADR 69,000 542 Vimpel-Communications ADR* 215,815 9,591 ----------- 90,819 ----------- SINGAPORE -- 0.1% Goodpack 765,000 752 ----------- SOUTH AFRICA -- 8.7% ABSA Group (C) 340,301 5,021 Alexander Forbes 551,161 1,244 Anglo Platinum (C) 46,209 2,725 AngloGold Ashanti (C) 55,188 2,395 Aveng 785,192 2,069 Barloworld 458,055 8,378 Bidvest Group 189,881 2,755 Edgars Consolidated Stores 208,973 1,044 FirstRand (C) 1,431,825 3,817 Gold Fields ADR 238,200 3,461 Illovo Sugar 851,840 1,320 Impala Platinum Holdings (C) 36,508 4,152 -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Imperial Holdings 123,010 $ 2,573 JD Group 257,664 3,143 Kumba Resources 85,107 1,318 Liberty Group (C) 83,490 844 Massmart Holdings 1,006,469 8,549 Mittal Steel South Africa 217,939 1,942 MTN Group (C) 709,409 5,879 Nampak (C)* 1,253,025 3,132 Naspers 174,767 2,859 Nedbank Group (C) 435,395 6,314 Network Healthcare Holdings 830,950 856 Sanlam 4,456,488 8,972 Sappi (C) 633,135 7,444 Sasol 455,331 17,640 Shoprite Holdings 282,960 768 Standard Bank Group (C) 299,482 3,297 Steinhoff International Holdings 528,179 1,637 Telkom (C) 98,930 1,963 ----------- 117,511 ----------- SOUTH KOREA -- 17.4% Cheil Communications 2,560 492 CJ 22,930 1,623 Daegu Bank 273,940 3,340 Daelim Industrial 68,490 4,840 Daewoo Shipbuilding & Marine Engineering 270,350 6,100 GS Holdings 38,540 984 Hankook Tire 549,710 7,284 Hynix Semiconductor* 112,000 2,473 Hyundai Department Store 12,750 858 Hyundai Development 28,450 901 Hyundai Mobis 26,590 2,188 Hyundai Motor 138,850 10,865 Industrial Bank of Korea 113,810 1,442 INI Steel 19,290 500 Kangwon Land 163,404 2,793 Kia Motors 67,800 1,269 Kookmin Bank 434,840 25,677 Kookmin Bank ADR (C) 115,244 6,828 Korea Electric Power 243,920 8,338 Korea Telecom Freetel* 22,200 557 Korean Air Lines 120,760 2,203 Korean Reinsurance 240,680 2,219 KT ADR (C) 257,477 5,794 KT&G 107,480 4,665 Kumho Tire 97,950 1,707 Kumho Tire GDR (A)* 66,600 580 LG Chem 73,420 3,165 LG Electronics 62,620 4,203 LG Philips LCD* 80,990 3,352 LG Philips LCD ADR* 30,000 617 POSCO 18,850 4,235 POSCO ADR 75,650 4,279 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Pusan Bank 182,960 $ 1,994 S-Oil 22,970 1,886 Samsung Electro-Mechanics 100,840 2,861 Samsung Electronics 104,005 58,718 Samsung Fire & Marine Insurance 108,146 11,214 Samsung SDI 19,538 2,035 Shinhan Financial Group 209,720 7,310 Shinsegae 30,683 11,401 SK 35,820 2,081 SK Telecom 8,653 1,682 SK Telecom ADR 341,102 7,450 STX Pan Ocean* 2,265,000 1,327 ----------- 236,330 ----------- TAIWAN -- 13.2% Accton Technology* 1,143,649 441 Advanced Semiconductor Engineering 10,395,285 7,017 Asustek Computer 781,017 2,095 Benq 1,980,300 1,719 Catcher Technology 603,355 4,373 Cathay Financial Holding 5,290,180 9,868 Chi Mei Optoelectronics 407,285 450 China Motor 1,764,130 1,499 China Steel 3,349,384 2,987 Chinatrust Financial Holding 10,693,628 9,216 Chunghwa Telecom 4,592,000 8,026 Chunghwa Telecom ADR 112,400 2,080 Compal Electronics 8,324,754 8,215 Delta Electronics 671,852 1,148 Elan Microelectronics 776,704 312 Eva Airways 7,544,291 2,989 Far Eastern Textile 1,830,720 1,106 Far EasTone Telecommunications 1,501,000 1,701 First Financial Holding 3,304,350 2,425 Formosa Chemicals & Fibre 1,100,000 1,661 Formosa Plastics 779,650 1,142 Foxconn Technology 365,200 1,530 Fubon Financial Holding 2,837,000 2,599 High Tech Computer 446,832 5,446 HON HAI Precision Industry 4,828,746 22,481 Kindom Construction* 295 -- Makalot Industrial 144,895 177 MediaTek 90,474 853 Merry Electronics 159,000 388 Nan Ya Plastic 448,115 539 Nien Hsing Textile 1,327,000 910 Nien Made Enterprises 1,177,726 1,308 Novatek Microelectronics 1,123,637 4,910 Optimax Technology 1,402,953 2,283 President Chain Store 218,168 408 Quanta Computer 4,197,738 6,881 Siliconware Precision Industries 440,843 445 SinoPac Financial Holdings 7,011,230 3,264 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 21 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2005 ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- Sunplus Technology 801,568 $ 734 Taishin Financial Holdings 705,886 414 Taiwan Green Point Enterprise 279,296 795 Taiwan Mobile 2,525,632 2,405 Taiwan Semiconductor Manufacturing 15,596,501 25,050 Taiwan Semiconductor Manufacturing ADR 460,839 3,788 Uni-President Enterprises 695,000 280 Unimicron Technology 925,197 684 United Microelectronics 26,539,632 17,034 United Microelectronics ADR 22,383 80 Yageo* 9,058,440 3,071 Yuanta Core Pacific Securities 79,932 51 ----------- 179,278 ----------- THAILAND -- 2.9% Advanced Info Service 1,677,300 4,411 Asian Property Development 1,802,100 159 Asian Property Development NVDR 3,762,300 332 Bangkok Bank (C) 1,478,300 4,104 Bangkok Bank NVDR 521,600 1,334 Charoen Pokphand Foods 8,803,100 1,340 CP Seven Eleven 2,521,000 381 Delta Electronics Thai 855,000 319 Italian-Thai Development 2,587,500 617 Italian-Thai Development NVDR 185,400 44 Kasikornbank 937,900 1,427 Kasikornbank NVDR (C) 3,004,534 4,902 Krung Thai Bank (C) 13,274,500 3,426 Land and Houses NVDR (C) 15,840,900 3,279 PTT 937,400 5,570 Siam Cement (C) 449,200 2,778 Siam Commercial Bank 1,943,800 2,414 Siam Makro 478,400 734 Sino Thai Engineering & Construction 762,667 234 Thai Airways International 917,900 833 Thai Oil 418,500 764 ----------- 39,402 ----------- TURKEY -- 1.9% Akbank 882,147 5,867 Arcelik 253,913 1,462 Haci Omer Sabanci Holding 719,826 3,717 Tupras Turkiye Petrol Rafine 107,185 1,888 Turk Sise ve Cam Fabrikalari 184,320 586 Turkcell Iletisim Hizmet 513,668 2,825 Turkiye Garanti Bankasi* 817,128 2,441 Turkiye Is Bankasi 1,072,014 7,448 ----------- 26,234 ----------- ------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------- UNITED KINGDOM -- 0.6% Anglo American 95,020 $ 2,841 BHP Billiton (C) 109,073 1,781 Dimension Data Holdings (C)* 751,066 502 Old Mutual 1,075,163 2,639 ----------- 7,763 ----------- UNITED STATES -- 0.0% Caspian Services* 79,500 358 ----------- Total Common Stock (Cost $928,546) ($ Thousands) 1,256,604 ----------- PREFERRED STOCK -- 4.0% BRAZIL -- 3.3% Bradespar 21,700 608 Brasil Telecom 160,758,500 767 Braskem, Cl A 347,400 3,565 Caemi Mineracao e Metalurgica 737,900 1,169 Centrais Eletricas Brasileiras, Cl B 52,676,200 1,024 Cia de Tecidos do Norte de Minas - Coteminas 18,242,000 1,730 Cia Energetica de Minas Gerais 173,587,593 6,602 Cia Paranaense de Energia 294,938,600 2,277 Cia Siderurgica Belgo Mineira 2,105,400 1,388 Cia Siderurgica de Tubarao 9,500,700 684 Cia Vale do Rio Doce, Cl A 44,100 1,720 Contax Participacoes 11,147 7 Duratex 111,255 1,302 Investimentos Itau 1,918,577 5,492 Klabin 217,600 451 Petroleo Brasileiro 152,800 2,447 Tam* 376,600 4,272 Tele Norte Leste Participacoes 11,147 184 Telecomunicacoes de Sao Paulo 87,976 1,752 Telemar Norte Leste 231,790 6,010 Telemig Celular Participacoes 805,165,310 1,381 Ultrapar Participacoes 36,300 620 ----------- 45,452 ----------- SOUTH KOREA -- 0.7% Hyundai Motor 73,890 3,760 Hyundai Motor (Second Preferred) 103,470 5,483 ----------- 9,243 ----------- Total Preferred Stock (Cost $33,335) ($ Thousands) 54,695 ----------- -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) ------------------------------------------------------------- COMMERCIAL PAPER (D) (E) -- 2.2% UNITED STATES -- 2.2% ASAP Funding 3.780%, 10/13/05 2,500 $ 2,497 Ajax Bambino Funding 3.680%, 10/04/05 4,500 4,499 Barton Capital 3.860%, 10/03/05 3,000 2,999 Bavaria TRR 3.700%, 10/06/05 4,000 3,998 Broadhollow Funding 3.770%, 10/05/05 1,000 999 Freedom Park Capital 3.690%, 10/13/05 4,000 3,998 Harwood Street Funding 3.820%, 10/03/05 2,500 2,497 Harwood Street Funding II 3.890%, 10/03/05 500 500 Kitty Hawk Funding 3.790%, 10/03/05 1,077 1,077 3.780%, 10/11/05 274 274 Mitten RFC 3.820%, 10/05/05 500 500 3.800%, 10/04/05 2,500 2,499 Park Granada 3.830%, 10/03/05 3,000 2,999 Sheffield Receivables 3.790%, 10/06/05 800 800 ----------- Total Commercial Paper (Cost $30,136) ($ Thousands) 30,136 ----------- CASH EQUIVALENTS -- 1.0% UNITED STATES -- 1.0% Barclays Global Investors Funds, Prime Money Market Fund (D) 2,574,572 2,575 SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 10,631,726 10,632 The Reserve Funds, Primary Fund, Cl 8 (D) 241,838 242 ----------- Total Cash Equivalents (Cost $13,449) ($ Thousands) 13,449 ----------- ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) ------------------------------------------------------------- TIME DEPOSITS -- 0.6% Brown Brothers Harriman 5.450%, 10/03/05 ZAR 4,008 $ 630 3.639%, 10/03/05 GBP 116 206 3.310%, 10/03/05 6,501 6,501 2.400%, 10/03/05 HKD 4,429 571 1.590%, 10/03/05 SGD 6 4 1.330%, 10/03/05 EUR -- -- ----------- Total Time Deposits (Cost $7,912) ($ Thousands) 7,912 ----------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI Emerging Markets Index Fund 1,387 118 ----------- Total Exchange Traded Fund (Cost $112) ($ Thousands) 118 ----------- Number of Warrants --------- EQUITY LINKED WARRANTS (B) -- 0.0% MALAYSIA -- 0.0% IJM* 39 6 ----------- Total Equity Linked Warrants (Cost $1) ($ Thousands) 6 ----------- DEBENTURE BOND -- 0.0% BRAZIL -- 0.0% Companhia Vale do Rio Doce* 0.000%, 09/30/49 8 -- ----------- Total Debenture Bond (Cost $0) ($ Thousands) -- ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 23 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Concluded) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- REPURCHASE AGREEMENTS (D) (G) -- 3.1% Bank of America 3.850%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $17,005,454 (collateralized by a FNMA obligation, par value $18,596,478, 5.000%, 03/01/35; with a total market value of $17,340,000) 17,000 $ 17,000 Barclays Capital 3.810%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $17,005,398 (collateralized by a FNMA obligation, par value $17,664,000, 0.000%, 03/13/06; with a total market value of $17,340,789) 17,000 17,000 Goldman Sachs 3.900%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $8,002,600 (collateralized by a FNMA obligation, par value $8,723,671, 5.500%, 02/01/25; with a total market value of $8,160,000) 8,000 8,000 ----------- Total Repurchase Agreements (Cost $42,000) ($ Thousands) 42,000 ----------- Total Investments -- 103.7% (Cost $1,055,491) ($ Thousands) $1,404,920 =========== ------------------------------------------------------------- ------------------------------------------------------------- Percentages are based on Net Assets of $1,354,502 ($Thousands). * Non-Income Producing Security + See Note 3 in Notes to Financial Statements. (1) In U.S. Dollars, unless otherwise noted. (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." As of September 30, 2005, the total value of these securities was $17,169 (Thousands), representing 1.27% of the Fund's net assets. (B) Security considered illiquid. The total value of the security as of September 30, 2005 was $6 ($ Thousands) and represented 0.0% of Net Assets. See Note 2 discussing Equity-Linked Warrants. (C) This security or a partial position of this security is on loan at September 30, 2005. The total value of securities on loan at September 30, 2005 was $72,658 ($ Thousands) (See Note 8). (D) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2005 was $74,953 ($ Thousands) (See Note 8). (E) The rate reported is the effective yield at time of purchase. (F) Security is fair valued at $612 ($ Thousands) and represents 0.05% of net assets. (G) Tri-Party Repurchase Agreements. ADR -- American Depositary Receipt Cl -- Class EUR -- Euro FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series SGD -- Singapore Dollar ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Annual Report / September 30, 2005 International Fixed Income Fund September 30, 2005 ------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [BAR GRAPH OMITTED] 59.1% Government 29.5% Financials 4.4% Cash Equivalents 2.6% U.S. Treasury Obligations 2.5% Industrials 1.1% Utilities 0.8% Telecommunication Services +Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 8). Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- GLOBAL BONDS -- 82.1% AUSTRIA -- 0.6% Republic of Austria 3.800%, 10/20/13 4,220 $ 5,366 -------- BELGIUM -- 0.6% Kingdom of Belgium, Ser 31 5.500%, 03/28/28 3,300 5,147 -------- CANADA -- 1.4% Ford Credit Canada 7.250%, 12/07/07 GBP 300 531 Government of Canada 6.000%, 06/01/11 3,700 3,560 4.875%, 07/07/08 EUR 1,000 1,281 Government of Canada, Ser WL43 5.750%, 06/01/29 4,800 5,056 Province of Ontario 1.875%, 01/25/10 JPY 170,000 1,579 -------- 12,007 -------- CAYMAN ISLANDS -- 0.4% BES Finance 6.250%, 05/17/11 EUR 1,000 1,389 Mizuho Financial Group 4.750%, 04/15/14 EUR 1,380 1,754 -------- 3,143 -------- DENMARK -- 3.4% Kingdom of Denmark 6.000%, 11/15/11 40,000 7,629 5.000%, 11/15/13 (A) 118,000 21,891 -------- 29,520 -------- FINLAND -- 3.0% Government of Finland 4.250%, 07/04/15 19,680 25,996 -------- ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- FRANCE -- 8.2% Caisse Nationale des Autoroutes 4.500%, 03/28/18 1,500 $ 2,012 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 600 780 Carrefour 4.375%, 06/15/11 1,000 1,286 Casino Guichard Perrachon 6.000%, 03/06/08 1,000 1,282 France Telecom MTN, Ser E 8.125%, 01/28/33 300 558 Government of France 5.750%, 10/25/32 (A) 16,720 27,615 5.500%, 04/25/07 5,000 6,317 4.000%, 04/25/09 3,000 3,792 4.000%, 04/25/13 10,400 13,406 4.000%, 10/25/13 9,000 11,604 Veolia Environnement 5.875%, 06/27/08 2,740 3,574 -------- 72,226 -------- GERMANY -- 7.8% Allgemeine Hypothekenbank Rheinboden 5.750%, 09/15/08 6,100 8,000 Commerzbank 5.500%, 10/25/11 1,000 1,368 Deutsche Bank 4.250%, 07/28/09 1,000 1,277 Deutsche Bundesrepublik 5.500%, 01/04/31 4,100 6,503 5.250%, 01/04/08 5,000 6,394 5.000%, 01/04/12 4,000 5,349 4.750%, 07/04/34 4,000 5,825 3.250%, 07/04/15 (A) 10,300 12,518 Deutsche Pfandbriefbank 4.500%, 01/15/18 2,400 3,201 Eurohypo 4.500%, 01/21/13 3,700 4,884 Hypothekenbank in Essen 2.750%, 07/25/07 6,100 7,400 Kreditanstalt fuer Wiederaufbau 5.500%, 01/22/18 500 733 Landwirtschaftliche Rentenbank 1.375%, 04/25/13 JPY 70,000 625 Rheinische Hypothekenbank 5.750%, 07/05/10 3,700 5,043 -------- 69,120 -------- GUERNSEY -- 0.2% Credit Suisse Group Finance 6.375%, 06/07/13 EUR 1,500 2,182 -------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 25 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- ICELAND -- 1.5% Housing Finance Fund 3.750%, 06/15/44 790,453 $ 13,039 -------- ITALY -- 6.9% Buoni Poliennali Del Tesoro 7.750%, 11/01/06 6,200 7,910 5.750%, 02/01/33 10,170 16,227 5.250%, 11/01/29 6,000 8,862 5.000%, 05/01/08 7,200 9,217 4.250%, 08/01/13 9,200 11,941 Republic of Italy 3.800%, 03/27/08 JPY 34,000 326 Sanpaolo IMI MTN, Ser E 6.375%, 04/06/10 4,300 5,927 -------- 60,410 -------- JAPAN -- 14.6% Abbott Japan 1.050%, 11/06/08 120,000 1,072 Government of Japan 10 Year Bond, Ser 242 1.200%, 09/20/12 3,667,000 32,560 Government of Japan 20 Year Bond, Ser 65 1.900%, 12/20/23 1,300,000 11,410 Government of Japan 20 Year Bond, Ser 72 2.100%, 09/20/24 1,318,000 11,801 Government of Japan 20 Year Bond, Ser 73 2.000%, 12/20/24 170,000 1,497 Government of Japan 5 Year Bond, Ser 20 0.500%, 06/20/07 1,500,000 13,306 Government of Japan 5 Year Bond, Ser 25 0.300%, 03/20/08 3,000,000 26,456 Government of Japan 5 Year Bond, Ser 31 0.600%, 09/20/08 500,000 4,434 Government of Japan 5 Year Bond, Ser 39 0.800%, 09/20/09 1,000,000 8,886 Government of Japan CPI Linked Bond 0.800%, 09/10/15 1,297,000 11,407 Japan Finance for Municipal Enterprises 1.350%, 11/26/13 500,000 4,442 Sumitomo Mitsui Banking 4.375%, 10/27/14 EUR 830 1,049 -------- 128,320 -------- ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- LUXEMBOURG -- 0.3% Telecom Italia Finance MTN, Ser E 6.375%, 04/20/06 2,040 $ 2,510 -------- MALAYSIA -- 0.8% Government of Malaysia 7.500%, 07/15/11 USD 6,000 6,810 -------- MEXICO -- 3.6% Mexican Bonos, Ser M 9.000%, 12/22/11 15,000 1,425 Mexican Bonos, Ser M10 9.500%, 12/18/14 52,800 5,184 Mexican Bonos, Ser M20 10.000%, 12/05/24 43,170 4,442 United Mexican States 6.625%, 03/03/15 USD 12,100 13,147 United Mexican States MTN 5.875%, 01/15/14 USD 7,600 7,858 -------- 32,056 -------- NETHERLANDS -- 6.4% ABN Amro Bank MTN, Ser E 5.375%, 09/08/09 1,000 1,324 Allianz Finance II 5.625%, 11/29/12 1,000 1,395 Arena, Ser 2003-1, Cl A2 4.300%, 05/19/55 9,000 11,542 BMW Finance MTN 5.000%, 08/06/18 700 948 Bank Nederlandse Gemeenten MTN, Ser E 5.625%, 10/25/10 1,000 1,371 Deutsche Telekom International Finance 8.125%, 05/29/12 2,000 3,090 Dresdner Finance 4.000%, 01/19/07 1,000 1,230 E.ON International Finance MTN, Ser E 5.750%, 05/29/09 6,515 8,643 EADS Finance MTN, Ser E 4.625%, 03/03/10 2,130 2,742 Generali Finance 4.750%, 05/12/14 500 673 Government of Netherlands 7.500%, 01/15/23 1,670 3,062 3.750%, 07/15/09 6,000 7,541 ING Bank MTN, Ser E 5.500%, 01/04/12 1,000 1,366 RWE Finance MTN, Ser E 6.250%, 06/03/30 GBP 200 407 Rabobank Nederland MTN, Ser E 4.250%, 04/25/13 1,000 1,298 -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- Saecure, Ser 5, Cl A 2.238%, 05/25/42 953 $ 1,148 Saecure, Ser A2 5.710%, 11/25/07 6,000 7,687 Saint-Gobain Nederland 5.000%, 04/16/10 1,000 1,299 -------- 56,766 -------- NEW ZEALAND -- 3.1% Government of New Zealand, Ser 709 7.000%, 07/15/09 37,650 27,035 -------- POLAND -- 0.1% Republic of Poland 4.200%, 04/15/20 EUR 1,000 1,280 -------- SPAIN -- 1.3% Government of Spain 6.150%, 01/31/13 2,800 4,076 6.000%, 01/31/08 4,300 5,598 6.000%, 01/31/29 1,000 1,668 5.150%, 07/30/09 300 395 -------- 11,737 -------- SWEDEN -- 2.2% Kingdom of Sweden 3.500%, 12/01/28 10,260 2,037 Kingdom of Sweden, Ser 1043 5.000%, 01/28/09 95,060 13,265 Nordea Bank 6.000%, 12/13/10 EUR 3,700 4,491 -------- 19,793 -------- UNITED KINGDOM -- 9.9% Abbey National Treasury Services 5.375%, 12/30/09 700 1,276 Aviva 5.700%, 09/29/49 EUR 1,900 2,616 Bank of Scotland MTN, Ser E 6.125%, 02/05/13 EUR 2,630 3,771 5.500%, 10/29/12 2,390 3,299 Barclays Bank MTN, Ser E 5.750%, 09/14/26 500 977 British Telecommunications 5.750%, 12/07/28 200 358 Chester Asset Receivables 6.125%, 10/15/10 EUR 8,770 12,119 Compass Group MTN, Ser E 6.000%, 05/29/09 EUR 1,410 1,861 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- GUS 6.375%, 07/16/09 700 $ 1,298 Halifax MTN, Ser E 6.375%, 04/03/08 500 922 Hilton Group Finance MTN, Ser E 6.500%, 07/17/09 EUR 1,150 1,550 Imperial Tobacco Finance MTN, Ser E 6.250%, 06/06/07 EUR 1,510 1,929 Lloyds TSB Bank MTN, Ser E 6.625%, 03/30/15 400 801 MBNA Europe Funding MTN, Ser E 4.500%, 01/23/09 EUR 1,000 1,269 NGG Finance 6.125%, 08/23/11 EUR 1,000 1,395 National Grid 6.500%, 07/27/28 500 1,048 National Westminster Bank 6.500%, 09/07/21 400 829 Permanent Financing 5.100%, 06/11/07 EUR 9,200 11,548 Telereal Securitisation 5.389%, 12/10/31 979 1,832 United Kingdom Treasury 5.750%, 12/07/09 1,500 2,808 5.000%, 09/07/14 2,000 3,723 4.750%, 06/07/10 5,890 10,657 4.750%, 12/07/38 3,280 6,338 4.250%, 06/07/32 5,090 9,009 United Utilities Water MTN, Ser E 6.625%, 11/08/07 EUR 2,180 2,840 Vodafone Group MTN, Ser E 5.900%, 11/26/32 500 972 -------- 87,045 -------- UNITED STATES -- 4.9% American Express Credit MTN, Ser E 5.625%, 08/18/09 GBP 800 1,460 Chase Credit Card Master Trust, Ser 1998-4 5.000%, 08/15/08 EUR 7,200 9,219 Citibank Credit Card Issurance Trust 5.375%, 04/10/13 EUR 6,800 9,170 Citigroup 0.800%, 10/30/08 JPY 200,000 1,777 DaimlerChrysler MTN, Ser E 4.125%, 01/23/09 EUR 1,000 1,245 Dow Chemical MTN, Ser E 5.625%, 10/17/07 EUR 1,000 1,275 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 27 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- General Electric Capital MTN, Ser E 1.400%, 11/02/06 JPY 100,000 $ 894 0.750%, 02/05/09 JPY 70,000 620 Genworth Financial 1.600%, 06/20/11 JPY 160,000 1,423 Goldman Sachs Group 5.125%, 04/24/13 EUR 1,000 1,343 HSBC Finance 6.125%, 01/22/10 GBP 600 1,114 KFW International Finance 1.750%, 03/23/10 JPY 250,000 2,311 MBNA Credit Card Master Trust, Ser 2002-A2, Cl A 5.600%, 07/17/14 EUR 6,650 9,174 Pfizer 0.800%, 03/18/08 JPY 23,000 204 Toyota Motor Credit 0.750%, 06/09/08 JPY 180,000 1,599 United Parcel Service MTN, Ser E 5.500%, 02/12/31 GBP 400 780 -------- 43,608 -------- SUPRA-NATIONAL -- 0.9% European Investment Bank 6.000%, 12/07/28 GBP 300 643 5.375%, 10/15/12 EUR 1,000 1,388 4.500%, 12/07/07 GBP 200 354 3.250%, 10/15/08 EUR 1,000 1,233 2.750%, 12/15/06 EUR 1,000 1,212 Inter-American Development Bank 5.750%, 12/07/09 GBP 300 557 International Bank for Reconstruction & Development 5.750%, 06/07/32 GBP 400 848 2.000%, 02/18/08 JPY 115,000 1,052 International Finance 5.375%, 12/07/28 GBP 300 595 -------- 7,882 -------- Total Global Bonds (Cost $717,592) ($ Thousands) 722,998 -------- COMMERCIAL PAPER (C) -- 5.6% UNITED STATES -- 5.6% ANZ 4.016%, 11/15/05 10,500 10,451 Abn-Amro Finance 3.762%, 10/28/05 10,000 9,971 Altius I Funding (B) 3.864%, 10/27/05 1,521 1,515 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- Arlington Funding (B) 3.857%, 10/14/05 1,110 $ 1,108 Brahms Funding (B) 3.861%, 10/26/05 406 404 Buckingham (B) 3.940%, 11/14/05 185 184 Cre-8 Funding (B) 3.908%, 11/01/05 507 505 3.902%, 10/28/05 1,014 1,011 3.862%, 10/19/05 507 505 3.762%, 10/07/05 304 303 Davis Square V Funding (B) 3.934%, 11/02/05 2,028 2,020 3.932%, 10/28/05 101 101 HBOS Treasury Services 3.896%, 12/01/05 3,400 3,378 Main Street Warehouse Funding (B) 3.881%, 10/24/05 1,014 1,011 Natexis USA (C) 3.475%, 10/11/05 1,000 999 3.704%, 12/06/05 3,000 2,980 3.938%, 12/28/05 1,000 991 Rams Funding (B) 3.879%, 10/18/05 1,098 1,096 3.863%, 10/27/05 1,077 1,074 3.861%, 10/20/05 347 346 3.861%, 10/19/05 494 493 Rhineland Funding (B) 4.027%, 11/28/05 229 228 3.871%, 10/24/05 386 385 Societe Generale 3.764%, 11/01/05 5,000 4,985 Societe Generale (North America) 3.745%, 10/05/05 3,500 3,498 -------- Total Commercial Paper (Cost $49,542) ($ Thousands) 49,542 -------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.2% FHLMC 5.125%, 01/15/12 EUR 3,000 4,062 4.750%, 01/15/13 EUR 1,000 1,338 FNMA 3.460%, 10/12/05 (C) 20,000 19,982 3.407%, 10/19/05 (A) (C) 5,000 4,994 1.750%, 03/26/08 JPY 240,000 2,193 SLMA 3.800%, 06/17/10 EUR 3,500 4,387 -------- Total U.S. Government Agency Obligations (Cost $36,926) ($ Thousands) 36,956 -------- -------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- CORPORATE OBLIGATIONS (D) -- 4.0% UNITED KINGDOM -- 0.2% Granite Master Issuer, Ser 2005-1, Cl A5 2.234%, 12/20/54 1,500 $ 1,808 -------- UNITED STATES -- 3.8% Allstate Life Global Funding II, MTN (B) (E) 3.788%, 10/16/06 466 466 American General Finance (B) (E) 3.768%, 10/16/06 3,275 3,275 American General Finance MTN, Ser F (B) (E) 5.875%, 07/14/06 101 103 CCN Bluegrass (B) 3.859%, 08/18/06 659 659 CIT Group MTN (B) 3.790%, 05/12/06 2,535 2,535 3.714%, 04/19/06 253 254 Caterpillar Financial Services MTN, Ser F (B) 3.670%, 07/10/06 507 507 Countrywide Financial Services MTN, Ser A (B) 3.920%, 09/13/06 1,876 1,876 Countrywide Home Loans MTN, Ser A (B) 3.760%, 07/31/06 507 507 Countrywide Home Loans MTN, Ser M (B) 3.851%, 11/30/05 649 649 3.760%, 01/31/06 223 223 Dekabank (B) (E) 3.614%, 08/19/06 1,876 1,875 Irish Life & Permanent MTN, Ser X (B) (E) 3.812%, 09/21/06 1,348 1,348 Islandsbanki (B) (E) 3.869%, 09/22/06 862 862 Jackson National Life Funding (B) (E) 3.693%, 10/02/06 2,231 2,231 K2 LLC MTN (B) (E) 3.809%, 12/12/05 61 61 Liberty Lighthouse US Capital MTN (B) (E) 3.688%, 05/10/06 1,014 1,013 Morgan Stanley EXL (B) 3.670%, 10/03/06 507 507 Morgan Stanley EXL, Ser S (B) 3.710%, 10/04/06 355 355 Natexis Banques (B) (E) 3.810%, 10/16/06 989 988 Nationwide Building Society (B) (E) 4.030%, 07/28/06 507 507 3.689%, 01/06/06 1,014 1,014 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- Nordbank (B) (E) 3.830%, 09/25/06 1,724 $ 1,723 Northern Rock (B) (E) 3.690%, 10/03/06 1,044 1,044 Pacific Life Global Funding (B) (E) 3.760%, 10/13/06 760 760 Premium Asset Trust, Ser 2004-01 (B) (E) 3.800%, 02/06/06 1,054 1,055 Premium Asset Trust, Ser 2004-06 (B) (E) 3.941%, 06/30/06 963 964 Premium Asset Trust, Ser 2004-10 (B) (E) 3.778%, 10/16/06 1,419 1,419 SLM EXL, Ser S (B) (E) 3.768%, 10/16/06 1,115 1,115 SLM MTN, Ser X (B) (E) 3.796%, 10/20/06 2,028 2,028 Skandinav Enskilda Bank (B) 3.779%, 10/17/06 1,115 1,115 White Pine Finance LLC MTN, Ser 1 (B) (E) 3.663%, 11/01/05 446 447 -------- 33,485 -------- Total Corporate Obligations (Cost $35,362) ($ Thousands) 35,293 -------- U.S. TREASURY OBLIGATIONS -- 2.8% UNITED STATES -- 2.8% U.S. Treasury Bills 3.475%, 11/17/05 (A) (C) 10,000 9,955 3.358%, 10/27/05 (2) 4,550 4,541 U.S. Treasury Bonds (A) 7.625%, 02/15/25 3,450 4,762 U.S. Treasury Inflationary Index Notes 3.375%, 04/15/32 592 782 2.375%, 01/15/25 (A) 4,187 4,480 -------- Total U.S. Treasury Obligations (Cost $24,582) ($ Thousands) 24,520 -------- TIME DEPOSITS -- 2.7% Brown Brothers Harriman 5.750%, 10/03/05 NZD 1 1 3.310%, 10/03/05 23,642 23,642 1.330%, 10/03/05 EUR 246 296 0.650%, 10/03/05 SEK 1,258 163 -------- Total Time Deposits (Cost $24,102) ($ Thousands) 24,102 -------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 29 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 2.0% UNITED STATES -- 2.0% BNP Paribas 3.630%, 11/01/05 1,000 $ 1,000 Dresdner Bank 3.595%, 10/25/05 13,000 13,000 3.480%, 10/07/05 4,000 4,000 -------- Total Certificates of Deposit (Cost $18,000) ($ Thousands) 18,000 -------- ASSET-BACKED SECURITIES (B)(D) (E) -- 1.2% UNITED STATES -- 1.2% Blue Heron Funding, Ser 9A, Cl A1 3.860%, 02/22/06 1,014 1,014 CCN Independence 3.838%, 07/17/06 355 355 CCN Independence IV 3.842%, 10/17/05 558 558 Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 1,029 1,029 Cheyne High Grade, Ser 2004-1A, Cl A1 3.780%, 11/10/05 583 583 Commodore, Ser 2003-2A, Cl A1MM 3.914%, 12/12/38 466 466 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 3.788%, 01/15/06 134 134 Duke Funding, Ser 2004-6B, Cl A1S1 3.630%, 10/10/06 760 760 Harwood Street Funding II, Ser 2005-A1, Cl NOTE 3.880%, 06/25/06 1,014 1,014 Orchard Structured Finance CDO, Ser 2003-1A, Cl A1MM 3.902%, 11/18/05 892 892 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 3.880%, 11/25/05 1,200 1,200 RMAC, Ser 2004-NS3A, Cl A1 3.728%, 09/12/06 332 332 Saturn Ventures II 3.749%, 02/07/06 1,014 1,014 TIAA Real Estate, Ser 2003-1A, Cl A1 3.868%, 09/28/06 655 655 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD 3.890%, 06/15/06 253 253 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME 3.890%, 09/15/06 152 152 -------- Total Asset-Backed Securities (Cost $10,411) ($ Thousands) 10,411 -------- ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- MASTER NOTES (B)(D) -- 0.4% UNITED STATES -- 0.4% Bank of America 4.018%, 10/03/05 2,535 $ 2,535 Bear Stearns 4.113%, 10/03/05 1,216 1,216 -------- Total Master Notes (Cost $3,751) ($ Thousands) 3,751 -------- REPURCHASE AGREEMENTS (B) (F) -- 1.5% Barclays Capital 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $6,355,686 (collateralized by various U.S. Government Obligations, ranging in par value $1,055,246-$4,222,647, 1.875%-7.250%, 06/15/06-01/15/10; with a total market value of $6,486,434) 6,355 6,355 Deutsche Bank 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $4,969,018 (collateralized by various U.S. Government Obligations, ranging in par value $419,560-$1,041,680, 0.000%-5.875%, 10/07/07-09/29/25; with a total market value of $5,067,877) 4,968 4,968 Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $1,368,870 (collateralized by various U.S. Government Obligations, ranging in par value $54,749-$765,411, 0.000%-3.500%, 08/15/06-04/15/30, with a total market value of $1,396,147) 1,369 1,369 -------- Total Repurchase Agreements (Cost $12,692) ($ Thousands) 12,692 -------- Total Investments -- 106.5% (Cost $932,960) ($ Thousands) $938,265 ======== -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Annual Report / September 30, 2005 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Percentages are based on Net Assets of $880,923 ($ Thousands). (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. (A) This security or a partial position of this security is on loan at September 30, 2005. The total value of securities on loan at September 30, 2005 was $69,548 ($ Thousands) (See Note 8). (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2005 was $72,628 ($ Thousands) (See Note 8). (C) The rate reported is the effective yield at time of purchase. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2005. (E) This security, which was purchased with cash collateral held from securities lending, was sold within the terms of private placement memorandum, exempt from registration under Section 3A-4, 4(2), or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." (F) Tri-Party Repurchase Agreements. CDO -- Collateralized Debt Obligation Cl -- Class EUR -- Euro EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium term note NZD -- New Zealand Dollar SEK -- Swedish Krona Ser -- Series SLMA -- Student Loan Marketing Association USD -- U.S. Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 31 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Concluded) September 30, 2005 Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at September 30, 2005 (See Note 2 in Notes to Financial Statements):
Unrealized Currency to Currency to Appreciation/ Settlement Deliver Receive Contract Value (Depreciation) Date (Thousands) (Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------- 12/21/05 USD 40,863 AUD 54,231 $ 41,270 $ 407 11/16/05 - 12/21/05 USD 36,735 CAD 43,911 37,899 1,164 12/21/05 EUR 16,507 CHF 25,430 19,873 (107) 11/16/05 USD 14,170 CHF 17,530 13,655 (515) 12/21/05 USD 65 CLP 35,000 66 1 12/21/05 USD 652 CZK 15,200 622 (30) 12/21/05 CHF 1,300 EUR 843 1,021 5 11/16/05 GBP 3,838 EUR 5,600 6,765 (19) 11/16/05 JPY 3,353,223 EUR 24,830 29,998 264 12/21/05 SEK 400 EUR 43 52 -- 11/16/05 - 12/21/05 USD 129,728 EUR 105,161 127,066 (2,662) 11/16/05 EUR 2,650 GBP 1,841 3,255 53 11/16/05 - 12/21/05 USD 84,585 GBP 47,480 83,910 (675) 11/16/05 - 12/21/05 USD 1,813 HUF 366 1,761 (52) 11/16/05 EUR 1,720 ISK 138,777 2,262 184 11/16/05 USD 181 ISK 11,813 192 11 11/16/05 EUR 21,950 JPY 2,957,084 26,221 (298) 11/16/05 - 12/21/05 USD 252,487 JPY 27,789,547 246,747 (5,740) 11/16/05 - 12/21/05 USD 18,004 KRW 18,453,344 17,741 (263) 11/16/05 - 12/21/05 USD 11,299 MXP 123,032 11,327 28 11/16/05 - 12/21/05 USD 1,905 NOK 12,160 1,870 (35) 11/16/05 USD 6,683 NZD 9,765 6,743 60 11/16/05 - 12/21/05 USD 4,211 PLZ 13,863 4,269 58 12/21/05 EUR 6,384 SEK 59,400 7,728 1 11/16/05 USD 2,671 SEK 20,615 2,675 4 11/16/05 - 12/21/05 USD 2,344 SGD 3,907 2,319 (25) 12/21/05 USD 53 SIT 10,320 52 (1) 12/21/05 USD 214 SKK 6,550 204 (10) 12/21/05 USD 801 THB 33,000 801 -- 11/16/05 - 12/21/05 USD 4,716 ZAR 30,868 4,834 118 12/21/05 AUD 2,420 USD 1,833 1,841 (8) 11/16/05 - 12/21/05 CAD 20,034 USD 16,735 17,295 (560) 11/16/05 CHF 23,444 USD 18,481 18,261 220 11/16/05 - 12/21/05 DKK 135,321 USD 22,238 21,922 316 11/16/05 - 12/21/05 EUR 165,100 USD 202,850 199,571 3,279 11/16/05 - 12/21/05 GBP 9,880 USD 17,494 17,463 31 11/16/05 ISK 678,914 USD 10,416 11,065 (649) 11/16/05 - 12/21/05 JPY 8,445,243 USD 76,278 74,917 1,361 11/16/05 - 12/21/05 KRW 2,081,560 USD 2,021 2,001 20 11/16/05 MXP 167,392 USD 15,411 15,419 (8) 11/16/05 - 12/21/05 NZD 45,345 USD 30,633 31,305 (672) 12/21/05 PLZ 220 USD 67 67 -- 11/16/05 - 12/21/05 SEK 83,611 USD 11,151 10,876 275 12/21/05 SGD 120 USD 71 71 -- 12/21/05 ZAR 400 USD 63 63 -- ---------- ------- $1,125,335 $(4,469) ========== ======= AUD -- Australian Dollar GBP -- British Pound Sterling NZD -- New Zealand Dollar USD -- U.S. Dollar CAD-- Canadian Dollar HUF-- Hungarian Forint PLZ-- Polish Zloty ZAR-- South African Rand CHF -- Swiss Franc ISK -- Iceland Koruna SEK -- Swedish Krona CLP -- Chilean Peso JPY -- Japanese Yen SGD -- Singapore Dollar CZK-- Czech Koruna KRW-- South Korean Won SIT-- Slovenia Tolar DKK -- Danish Krone MXP -- Mexican Peso SKK -- Slovokia Koruna EUR -- Euro NOK -- Norwegian Krone THB -- Thai Baht
-------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Annual Report / September 30, 2005 Futures -- A summary of the open futures contracts held by the Fund at September 30, 2005, is as follows (See Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------------------------------------- Unrealized Number of Contract Appreciation/ Contracts Value Expiration (Depreciation) Type of Contract (Long/(Short)) ($ Thousands) Date ($ Thousands) ------------------------------------------------------------------------------------------------------------------------- Australian 10 Year Bond (253) $(146,446) December 2005 $ 289 Australian 3 Year Bond 29 5,851 December 2005 (10) Australian 90-Day Bank Bill (65) (11,217) December 2005 - Australian 90-Day Bank Bill (135) (23,295) March 2006 33 Australian 90-Day Bank Bill 37 6,393 June 2006 (16) Australian 90-Day Bank Bill 14 2,417 September 2006 (8) 90 Day LIBOR 124 26,187 December 2005 (22) 90 Day LIBOR 302 63,845 March 2006 (50) 90 Day LIBOR 24 5,075 June 2006 - 90 Day LIBOR (20) (4,229) September 2006 1 Canadian 10 Year Bond 99 9,817 December 2005 (83) Canadian 3-Month Bankers Acceptance 56 11,665 December 2005 (26) Canadian 3-Month Bankers Acceptance 160 33,266 March 2006 (81) Canadian 3-Month Bankers Acceptance 58 12,045 June 2006 (39) Canadian 3-Month Bankers Acceptance (2) (415) September 2006 1 3 Month Euro Euribor (69) (20,337) December 2005 7 3 Month Euro Euribor (177) (52,117) March 2006 47 3 Month Euro Euribor (63) (18,528) June 2006 31 3 Month Euro Euribor (43) (12,635) September 2006 22 Euro-Bobl 125 17,180 December 2005 (132) Euro Bund (134) (19,795) December 2005 7 Japan 10 Year Bond 72 87,443 December 2005 (1,284) 3-Month EuroYen (223) (49,134) December 2005 (3) 3-Month EuroYen (659) (145,090) March 2006 35 3-Month EuroYen (293) (64,457) June 2006 18 3-Month EuroYen 7 1,538 September 2006 (1) 10 Year U.K. Gilt (118) (23,533) December 2005 143 U.S. 10 Year Treasury Note (1,073) (117,946) December 2005 1,170 U.S. Long Treasury Bond (139) (15,902) December 2005 252 U.S. 2 Year Treasury Note 28 5,765 December 2005 (14) U.S. 5 Year Treasury Note (257) (27,463) December 2005 190 90-Day Eurodolllar (73) (17,450) December 2005 32 90-Day Eurodolllar (106) (25,294) March 2006 36 90-Day Eurodolllar 144 34,342 June 2006 (66) 90-Day Eurodolllar 31 7,392 September 2006 (21) ------ $ 458 ======
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 33 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund September 30, 2005 ------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [BAR GRAPH OMITTED] 71.5% Government 18.0% Financials 8.1% Cash Equivalents 1.1% Energy 0.8% Basic Materials 0.3% Industrials 0.1% Utilities 0.1% Consumer Discretionary +Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 8). ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- GLOBAL BONDS -- 85.6% ARGENTINA -- 3.4% Empressa Distribuidora de Electricidad de Mendoza MTN, Ser E (I) (L) 0.000%, 01/10/03 5,000 $ 1,750 Republic of Argentina 8.280%, 12/31/33 1,951 2,012 7.820%, 12/31/33 EUR 659 821 5.830%, 12/31/33 21,863 9,709 4.005%, 08/03/12 (F) 21,641 17,345 1.330%, 12/31/38 ARA 15,935 6,294 Republic of Argentina MTN, Ser E 8.750%, 02/04/49 EUR 1,375 539 7.625%, 08/11/07 (B) ITL 2,255,000 425 ----------- 38,895 ----------- BRAZIL -- 16.2% Federal Republic of Brazil 11.000%, 08/17/40 (C) 52,057 63,822 10.500%, 07/14/14 1,850 2,239 10.125%, 05/15/27 6,605 7,913 8.875%, 04/15/24 3,700 3,948 8.000%, 01/15/18 (C) 70,611 74,777 4.250%, 04/15/09 (F) 4,739 4,703 Federal Republic of Brazil, Ser 15YR (C) (F) 4.313%, 04/15/09 764 759 Federal Republic of Brazil, Ser 18YR (C) (F) 4.313%, 04/15/12 27,313 26,886 ----------- 185,047 ----------- BULGARIA -- 0.8% Republic of Bulgaria Registered 8.250%, 01/15/15 7,100 8,715 ----------- ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- CHILE -- 1.0% Codelco 5.500%, 10/15/13 2,450 $ 2,524 Republic of Chile 7.125%, 01/11/12 5,375 6,051 5.500%, 01/15/13 2,400 2,501 ----------- 11,076 ----------- COLOMBIA -- 4.7% Republic of Colombia 11.750%, 02/25/20 13,245 18,424 10.750%, 01/15/13 (C) 5,550 6,974 10.375%, 01/28/33 (C) 9,100 11,875 10.000%, 01/23/12 (C) 2,050 2,470 8.250%, 12/22/14 5,800 6,499 8.125%, 05/21/24 7,015 7,524 ----------- 53,766 ----------- ECUADOR -- 0.6% Republic of Ecuador Registered 12.000%, 11/15/12 615 624 9.000%, 08/15/30 6,620 6,226 ----------- 6,850 ----------- EL SALVADOR -- 0.4% Republic of El Salvador 7.750%, 01/24/23 4,000 4,480 ----------- INDONESIA -- 0.7% Garuda Indonesia (F) (L) 3.990%, 12/31/07 1,200 1,032 Indah Kiat Finance (A) (F) (L) 4.688%, 04/28/15 1,397 1,215 4.688%, 04/28/18 3,668 2,751 2.000%, 04/28/24 2,414 628 Republic of Indonesia (A) 7.250%, 04/20/15 2,380 2,375 ----------- 8,001 ----------- KAZAKHSTAN -- 0.1% Kazkommerts International (A) 7.875%, 04/07/14 1,000 1,054 ----------- LUXEMBOURG -- 0.3% Gaz Capital for Gazprom Registered 8.625%, 04/28/34 2,890 3,808 ----------- MACEDONIA -- 0.0% Government of Macedonia (F) 3.653%, 07/13/12 486 467 ----------- -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- MALAYSIA -- 1.1% Government of Malaysia 8.750%, 06/01/09 800 $ 907 7.500%, 07/15/11 6,225 7,065 Petronas Capital 7.875%, 05/22/22 3,700 4,593 ----------- 12,565 ----------- MEXICO -- 14.4% Cornhill, Ser 39 (I) (L) 0.000%, 01/30/00 1,650 536 Cornhill, Ser 46 (I) (L) 8.626%, 03/02/00 150 49 Mexican Bonos 9.500%, 12/18/14 MXP 44,825 4,401 9.000%, 12/24/09 MXP 188,106 17,904 Pemex Project Funding Master Trust 9.500%, 09/15/27 (C) 7,350 9,654 8.000%, 11/15/11 500 569 United Mexican States 11.375%, 09/15/16 (C) 8,865 13,089 10.375%, 02/17/09 4,325 5,055 8.125%, 12/30/19 (C) 13,350 16,187 6.625%, 03/03/15 (C) 29,615 32,177 5.500%, 02/17/20 EUR 2,260 2,985 United Mexican States MTN 8.300%, 08/15/31 12,985 16,231 8.000%, 09/24/22 1,025 1,246 6.375%, 01/16/13 21,510 22,887 5.875%, 01/15/14 (C) 20,714 21,418 ----------- 164,388 ----------- NIGERIA -- 0.5% Central Bank of Nigeria 6.250%, 11/15/20 3,500 3,509 5.092%, 01/05/10 2,531 802 Turanalem Finance 8.000%, 03/24/14 450 464 7.875%, 06/02/10 (A) 1,070 1,126 ----------- 5,901 ----------- PANAMA -- 1.9% Republic of Panama 9.625%, 02/08/11 3,665 4,380 9.375%, 01/16/23 (C) 1,070 1,351 9.375%, 04/01/29 4,100 5,217 8.875%, 09/30/27 (C) 2,250 2,739 7.250%, 03/15/15 (C) 3,725 4,060 Republic of Panama, Ser 20YR (F) 3.750%, 07/17/16 3,900 3,798 ----------- 21,545 ----------- ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- PERU -- 2.6% Republic of Peru 9.875%, 02/06/15 (C) 3,750 $ 4,791 8.750%, 11/21/33 2,000 2,415 8.375%, 05/03/16 (C) 1,875 2,194 7.350%, 07/21/25 7,485 7,934 Republic of Peru FLIRB, Ser 20YR (F) 5.000%, 03/07/17 8,629 8,370 Republic of Peru, Ser 20YR (F) 5.000%, 03/07/17 3,948 3,869 ----------- 29,573 ----------- PHILIPPINES -- 5.1% Republic of Philippines 10.625%, 03/16/25 (C) 21,245 24,804 9.500%, 02/02/30 (C) 18,790 20,058 9.375%, 01/18/17 (C) 7,800 8,551 9.000%, 02/15/13 (C) 600 643 8.875%, 03/17/15 175 186 8.250%, 01/15/14 (C) 1,950 2,019 8.000%, 01/15/16 2,650 2,660 ----------- 58,921 ----------- POLAND -- 0.7% Government of Poland 6.000%, 05/24/09 PLZ 7,900 2,542 5.750%, 03/24/10 PLZ 7,800 2,504 5.250%, 01/15/14 2,975 3,059 ----------- 8,105 ----------- RUSSIA -- 13.2% Russian Federation Registered 12.750%, 06/24/28 11,280 21,260 11.000%, 07/24/18 9,585 14,617 5.000%, 03/31/30 99,870 114,751 ----------- 150,628 ----------- SOUTH AFRICA -- 0.8% Republic of South Africa 9.125%, 05/19/09 2,325 2,645 6.500%, 06/02/14 6,325 6,910 ----------- 9,555 ----------- SOUTH KOREA -- 0.1% Hynix Semiconductor (L) 6.500%, 12/31/05 KRW 1,035,000 944 ----------- TURKEY -- 8.1% Republic of Turkey 16.570%, 01/24/07 (E) TRL 7,900 4,859 15.570%, 05/09/07 (E) TRL 12,900 7,613 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 35 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- 11.875%, 01/15/30 (C) 22,870 $ 33,590 11.750%, 06/15/10 1,150 1,432 11.500%, 01/23/12 (C) 9,325 11,936 11.000%, 01/14/13 3,095 3,958 9.500%, 01/15/14 (C) 5,825 7,034 7.375%, 02/05/25 3,505 3,522 7.250%, 03/15/15 5,025 5,289 7.000%, 06/05/20 13,515 13,346 ----------- 92,579 ----------- UKRAINE -- 1.7% Government of Ukraine (A) 6.875%, 03/04/11 3,880 4,077 Government of Ukraine Registered 7.650%, 06/11/13 (C) 9,560 10,522 6.875%, 03/04/11 1,150 1,209 6.365%, 08/05/09 3,500 3,810 ----------- 19,618 ----------- URUGUAY -- 2.3% Republic of Uruguay 10.500%, 10/20/06 UYU 13,200 670 9.250%, 05/17/17 3,175 3,560 7.875%, 01/15/33 4,801 4,713 7.500%, 03/15/15 (C) 17,566 18,005 ----------- 26,948 ----------- VENEZUELA -- 4.9% Government of Venezuela 10.750%, 09/19/13 19,090 23,815 9.375%, 01/13/34 1,400 1,658 9.250%, 09/15/27 8,385 9,919 8.500%, 10/08/14 7,693 8,539 7.650%, 04/21/25 3,150 3,177 Government of Venezuela Registered 5.375%, 08/07/10 3,750 3,653 4.640%, 04/20/11 (C) (F) 4,870 4,821 Government of Venezuela, Ser A 6.750%, 03/31/20 725 730 ----------- 56,312 ----------- Total Global Bonds (Cost $889,184) ($ Thousands) 979,741 ----------- CORPORATE OBLIGATIONS (D) (F) -- 10.3% UNITED STATES -- 10.3% Allstate Life Global Funding II, MTN (H) 3.788%, 10/16/06 1,637 1,637 American General Finance (H) 3.768%, 10/16/06 11,497 11,496 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- American General Finance MTN, Ser F 5.875%, 07/14/06 356 $ 363 CCN Bluegrass 3.859%, 08/18/06 2,314 2,314 CIT Group MTN 3.790%, 05/12/06 8,898 8,898 3.714%, 04/19/06 890 891 Caterpillar Financial Services MTN, Ser F 3.670%, 07/10/06 1,780 1,780 Countrywide Financial Services MTN, Ser A 3.920%, 09/13/06 6,585 6,585 Countrywide Home Loans MTN, Ser A 3.760%, 07/31/06 1,780 1,780 Countrywide Home Loans MTN, Ser M 3.851%, 11/30/05 2,278 2,278 3.760%, 01/31/06 783 783 Dekabank (H) 3.614%, 08/19/06 6,585 6,583 Irish Life & Permanent MTN, Ser X (H) 3.812%, 09/21/06 4,734 4,733 Islandsbanki (H) 3.869%, 09/22/06 3,025 3,025 Jackson National Life Funding (H) 3.693%, 10/02/06 7,831 7,831 K2 LLC MTN (H) 3.809%, 12/12/05 214 213 Liberty Lighthouse US Capital MTN (H) 3.688%, 05/10/06 3,559 3,557 Morgan Stanley EXL (H) 3.670%, 10/03/06 1,780 1,779 Morgan Stanley EXL, Ser S (H) 3.710%, 10/04/06 1,246 1,246 Natexis Banques (H) 3.810%, 10/16/06 3,470 3,470 Nationwide Building Society (H) 4.030%, 07/28/06 1,780 1,780 3.689%, 01/06/06 3,559 3,559 Nordbank (H) 3.830%, 09/25/06 6,051 6,050 Northern Rock (H) 3.690%, 10/03/06 3,666 3,666 Pacific Life Global Funding (H) 3.760%, 10/13/06 2,669 2,669 Premium Asset Trust, Ser 2004-01 (H) 3.800%, 02/06/06 3,702 3,705 Premium Asset Trust, Ser 2004-06 (H) 3.941%, 06/30/06 3,381 3,384 Premium Asset Trust, Ser 2004-10 (H) 3.778%, 10/16/06 4,983 4,983 SLM EXL, Ser S (H) 3.768%, 10/16/06 3,915 3,915 SLM MTN, Ser X 3.796%, 10/20/06 7,119 7,119 -------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- Skandinav Enskilda Bank 3.779%, 10/17/06 3,915 $ 3,915 White Pine Finance LLC MTN, Ser 1 (H) 3.663%, 11/01/05 1,566 1,565 ----------- Total Corporate Obligations (Cost $117,552) ($ Thousands) 117,552 ----------- LOAN PARTICIPATIONS -- 3.7% ALGERIA -- 0.2% Republic of Algeria (Counterparty: Credit Suisse First Boston) (F) 2.813%, 03/04/10 2,643 2,630 ----------- ARGENTINA -- 0.4% Edesa USD Promissory Notes (Counterparty: Bank of America) (B) (L) 0.000%, 12/31/49 3,300 2,673 Edesa USD Promissory Notes (Counterparty: Citigroup Global Markets) (B) (L) 0.000%, 12/31/49 2,000 1,620 ----------- 4,293 ----------- BRAZIL -- 0.6% Global Village Telecom Loan (Counterparty: Deutsche Bank) (B) (L) 0.000%, 12/31/49 11,640 6,751 ----------- INDONESIA -- 0.7% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) (F) (L) 4.000%, 12/31/49 6,097 5,579 PKN Tranche Loan C Equity (B) (L) 24,929 -- PKN Tranche Loan A (Counterparty: Citigroup Global Markets) (B) (L) 0.000%, 06/30/11 1,533 1,457 PKN Tranche Loan B (Counterparty: Citigroup Global Markets) (B (L) 0.000%, 05/01/11 4,200 345 PKN Tranche Loan D Secured Short Term, Ser 1 (Counterparty: Citibank) (B) (L) 0.000%, 11/10/05 429 427 PKN Tranche Loan D Secured Short Term, Ser 2 (Counterparty: Citibank) (B) (L) 0.000%, 11/10/05 461 459 ----------- 8,267 ----------- ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) ------------------------------------------------------------- MEXICO -- 0.9% Altos Hornos, Promissory Note # 5 (I) (L) 0.000%, 04/29/99 2,500 $ 1,375 Altos Hornos, Promissory Note # 6 (I) (L) 0.000%, 04/29/99 2,500 1,375 Altos Hornos, Promissory Note (Counterparty: Deutche Bank) (B) (L) 0.000%, 12/31/49 4,500 2,610 Altos Hornos, Tranche A (Counterparty: Banc of America) (I) (L) 0.000%, 04/11/04 6,540 3,924 Grupo Accerco Del Norte (Counterparty: Deutsche Bank) (B) (L) 0.000%, 12/31/49 7,750 833 ----------- 10,117 ----------- MOROCCO -- 0.1% Kingdom of Morocco, Ser A (Counterparties: Credit Suisse First Boston, J.P. Morgan, Merrill Lynch) (F) 3.803%, 01/02/09 1,273 1,271 ----------- SINGAPORE -- 0.5% C2C Loan (Counterparty: Deutsche Bank) (B) (E) (L) 12.140%, 12/31/10 10,800 5,832 ----------- THAILAND -- 0.3% TPI Equity (Counterparty: Banc of America) (L) THB 7,611,579 -- TPI Equity (Counterparty: Deutsche Bank) (L) THB 1,812,834 -- TPI JPY Loan (Counterparty: Deutsche Bank) (B) (E) (L) 2.059%, 12/31/49 JPY 354,231 2,907 ----------- 2,907 ----------- Total Loan Participations (Cost $31,843) ($ Thousands) 42,068 ----------- LOAN TO COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS -- 0.5% UNITED STATES -- 0.5% Loan to Credit Suisse First Boston as Collateral for Swap Contracts Outstanding (K) 4.107%, 09/20/15 4,350 4,350 4.107%, 04/10/10 2,000 2,000 ----------- Total Loan to Counterparty as Collateral for Swap Contracts (Cost $6,350) ($ Thousands) 6,350 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 37 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2005 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- COMMERCIAL PAPER (D) (E) -- 3.8% UNITED STATES -- 3.8% Altius I Funding 3.864%, 10/27/05 5,339 $ 5,320 Arlington Funding 3.857%, 10/14/05 3,898 3,891 Brahms Funding 3.861%, 10/26/05 1,424 1,420 Buckingham 3.940%, 11/14/05 649 645 Cre-8 Funding 3.908%, 11/01/05 1,780 1,772 3.902%, 10/28/05 3,559 3,549 3.862%, 10/19/05 1,780 1,774 3.762%, 10/07/05 1,068 1,064 Davis Square V Funding 3.934%, 11/02/05 7,119 7,093 3.932%, 10/28/05 356 355 Main Street Warehouse Funding 3.881%, 10/24/05 3,559 3,549 Rams Funding 3.879%, 10/18/05 3,856 3,848 3.863%, 10/27/05 3,782 3,769 3.861%, 10/20/05 1,217 1,214 3.861%, 10/19/05 1,736 1,731 Rhineland Funding 4.027%, 11/28/05 804 799 3.871%, 10/24/05 1,356 1,352 ----------- Total Commercial Paper (Cost $43,145) ($ Thousands) 43,145 ----------- TIME DEPOSITS -- 4.4% ROMANIA -- 0.0% Abn Amro Bucharest 6.600%, 02/28/06 ROL 7,116,200 239 ----------- UNITED STATES -- 4.4% Brown Brothers Harriman 3.310%, 10/03/05 50,319 50,319 ----------- Total Time Deposits (Cost $50,578) ($ Thousands) 50,558 ----------- ASSET-BACKED SECURITIES (D) (F) (H) -- 3.2% UNITED STATES -- 3.2% Blue Heron Funding, Ser 9A, Cl A1 3.860%, 02/22/06 3,559 3,559 CCN Independence 3.838%, 07/17/06 1,246 1,246 CCN Independence IV 3.842%, 10/17/05 1,958 1,958 ------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) ------------------------------------------------------------- Capital Auto Receivables Asset Trust, Ser 2005-SN1A, Cl A1 3.327%, 05/15/06 3,612 $ 3,612 Cheyne High Grade, Ser 2004-1A, Cl A1 3.780%, 11/10/05 2,047 2,047 Commodore, Ser 2003-2A, Cl A1MM 3.914%, 12/12/38 1,637 1,637 Drivetime Auto Owner Trust, Ser 2005-B, Cl A1 3.788%, 01/15/06 470 470 Duke Funding, Ser 2004-6B, Cl A1S1 3.630%, 10/10/06 2,670 2,670 Harwood Street Funding II, Ser 2005-A1, Cl NOTE 3.880%, 06/25/06 3,559 3,559 Orchard Structured Finance CDO, Ser 2003-1A, Cl A1MM 3.902%, 11/18/05 3,132 3,132 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AMM2 3.880%, 11/25/05 4,213 4,213 RMAC, Ser 2004-NS3A, Cl A1 3.728%, 09/12/06 1,165 1,165 Saturn Ventures II 3.749%, 02/07/06 3,559 3,559 TIAA Real Estate, Ser 2003-1A, Cl A1 3.868%, 09/28/06 2,298 2,298 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD 3.890%, 06/15/06 890 890 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME 3.890%, 09/15/06 534 534 ----------- Total Asset-Backed Securities (Cost $36,549) ($ Thousands) 36,549 ----------- MASTER NOTES (D) (F) -- 1.2% Bank of America 4.018%, 10/03/05 8,899 8,899 Bear Stearns 4.113%, 10/03/05 4,271 4,271 ----------- Total Master Notes (Cost $13,170) ($ Thousands) 13,170 ----------- STRUCTURED NOTE -- 0.2% BRAZIL -- 0.2% BRL Structured Note (Counterparty: JP Morgan Chase Bank NA) (L) 0.000%, 07/10/10 BRL 7,800 1,848 -------- Total Structured Note (Cost $1,714) ($ Thousands) 1,848 -------- -------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Annual Report / September 30, 2005 ------------------------------------------------------------- Face Amount/Contracts Market Value Description ($ Thousands) (1) ($ Thousands) ------------------------------------------------------------- PURCHASED OPTIONS -- 0.1% Republic of Argentina, Call, Expires 08/15/06, Strike Price 30% of Par Claim EUR 12,000,000 $ 550 Expires 09/22/06, Strike Price 30% of Par Claim EUR 12,000,000 550 ----------- Total Purchased Options (Cost $1,028) 1,100 ----------- OIL-LINKED PAYMENT OBLIGATION -- 0.1% VENEZUELA -- 0.1% Government of Venezuela Par, Expires 04/15/20* 34 956 ----------- Total Oil-Linked Payment Obligation (Cost $0) ($ Thousands) 956 ----------- Number of Warrants --------- WARRANTS -- 0.0% NIGERIA -- 0.0% Central Bank of Nigeria, Expires 11/15/20 (G)* 2,000 -- ----------- Total Warrants (Cost $0) ($ Thousands) -- ----------- REPURCHASE AGREEMENTS (D) (J) -- 3.8% Barclays Capital 3.840%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $22,312,661 (collateralized by various U.S. Government Obligations, ranging in par value $3,704,611- $14,824,283, 1.875%-7.250%, 06/15/06-01/15/10; with a total market value of $22,771,672) 22,310 22,310 Deutsche Bank 3.750%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $17,444,539 (collateralized by various U.S. Government Obligations, ranging in par value $1,472,932- $3,656,987, 0.000%-5.875%, 10/07/07-09/29/25; with a total market value of $17,791,602) 17,443 17,443 ------------------------------------------------------------- Face Amount Market Value ($ Thousands) (1) ($ Thousands) ------------------------------------------------------------- Lehman Brothers 3.820%, dated 09/30/05, to be repurchased on 10/03/05, repurchase price $4,805,638 (collateralized by various U.S. Government Obligations, ranging in par value $192,205- $2,687,099, 0.000%-3.500%, 08/15/06-04/15/30; with a total market value of $4,901,400) 4,805 $ 4,805 ----------- Total Repurchase Agreements (Cost $44,558) ($ Thousands) 44,558 ----------- Total Investments -- 116.9% (Cost $1,235,671) ($ Thousands) $1,337,595 ----------- Percentages are based on Net Assets of $1,143,845 ($ Thousands). * Non-Income Producing Security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold with terms of a private placement memorandum, exempt from registration under Section 144a of the Securities Act 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." As of September 30, 2005, the total value of these securities was $13,226, representing 1.16% of the Fund's net assets. (B) Security in default on interest payments. (C) This security or a partial position of this security is on loan at September 30, 2005. The total value of securities on loan at September 30, 2005 was $251,144 ($ Thousands) (See Note 8). (D) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2005 was $254,974 ($ Thousands) (See Note 8). (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2005. (G) Security is fair valued at $0 and represents 0.00% of net assets. (H) This security, which was purchased with cash collateral held from securities lending, was sold within the terms of private placement memorandum, exempt from registration under Section 3A-4, 4(2), or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." (I) Security in default on interest and principal payments. (J) Tri-Party Repurchase Agreements. (K) Cash on loan to swap counterparty as collateral for outstanding swap contracts (See Note 2). (L) Securities considered illiquid. The total value of such securities as of September 30, 2005 was $48,920 ($ Thousands) and represented 4.28% of Net Assets. BRL -- Brazilian Real CDO -- Collateralized Debt Obligation Cl -- Class EUR -- Euro EXL -- Extendable Maturity FLIRB -- Front Loaded Interest Reduction Bond ITL -- Italian Lira JPY -- Japanese Yen KRW -- South Korean Won LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NA -- National Association PZL -- Polish Zloty ROL -- Romanian Leu Ser -- Series THB -- Thailand Baht TRL -- New Turkish Lira UYU -- Uruguay Peso Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 39 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Concluded) September 30, 2005 Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at September 30, 2005 (See Note 2 in Notes to Financial Statements):
-------------------------------------------------------------------------------------------------------------------------- Unrealized Currency to Currency to Appreciation/ Settlement Deliver Receive Contract Value (Depreciation) Date (Thousands) (Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------------- 10/04/05-12/23/05 USD 43,903 BRL 107,404 $47,973 $4,070 10/17/05 USD 4,802 EUR 3,980 4,801 (1) 10/17/05 USD 7,129 KRW 7,213,100 6,928 (201) 11/07/05 USD 5,900 MXP 64,064 5,909 9 11/09/05-01/26/06 USD 13,920 RUB 396,282 13,969 49 10/03/05-11/07/05 USD 5,419 TRL 7,386 5,467 48 06/08/06 USD 2,200 UAH 11,140 2,146 (54) 10/04/05-12/23/05 BRL 39,955 USD 16,741 17,842 (1,101) 10/17/2005-12/15/05 EUR 10,679 USD 13,090 12,893 197 10/17/05 JPY 315,880 USD 2,868 2,792 76 10/17/05 KRW 7,213,100 USD 7,008 6,929 79 11/09/05-01/25/06 RUB 110,000 USD 3,984 3,877 107 -------- ------ $131,526 $3,278 ======== ====== BRL -- Brazilian Real RUB -- Russian Ruble EUR -- Euro TRL -- New Turkish Lira JPY -- Japanese Yen UAH -- Ukraine Hrynai KRW -- South Korean Won USD -- U.S. Dollar MXP -- Mexican Peso
Credit Default Swap Agreements -- The following credit default swap agreements were outstanding at September 30, 2005 See Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------------------------------------------------------- Notional Net Unrealized Expiration Amount Appreciation Description Date ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 0.445% (0.890% per annum) times notional amount of Russian Federation Registered, 4.107%, 09/10/15. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. 09/20/15 $4,350 $13 Fund receives semi-annual payment of 0.590% (1.180% per annum) times notional amount of Russian Federation Registered, 4.107% 04/15/10. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. 04/15/10 $2,000 53 ----------------------------------------------------------------------------------------------------------------------------------- Total $66 ===================================================================================================================================
-------------------------------------------------------------------------------- 40 SEI Institutional International Trust / Annual Report / September 30, 2005 Statements of Assets and Liabilities ($ Thousands) September 30, 2005
---------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ---------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at Market Value (Cost $2,978,497, $1,002,859, $920,268 and $1,191,113, respectively) $3,549,616 $1,352,288 $925,573 $1,293,037 Investments in Affiliated Investment Companies, at Market Value (Cost $10,632) -- 10,632 -- -- Repurchase Agreements, at Market Value (Cost $350,500, $42,000, $12,692 and $44,558, respectively) 350,500 42,000 12,692 44,558 Cash and Cash Collateral Received from Securities Loaned 15,769 14,872 15,042 50,309 Foreign Currency, at Value (Cost $8,607, $12,260, $8,887 and $109, respectively) 8,652 12,155 8,934 109 Cash and Foreign Currency Pledged as Collateral for Futures Contracts -- -- 11,020 -- Receivable for Investment Securities Sold 37,834 12,112 12,075 92,343 Dividends and Interest Receivable 8,111 3,878 13,164 12,744 Receivable for Fund Shares Sold 2,062 1,934 315 15,147 Foreign Tax Reclaim Receivable 509 86 7 -- Foreign Currency Receivable -- 2,724 -- -- Unrealized Gain on Forward Foreign Currency Contracts -- -- 9,901 4,706 Unrealized Gain on Spot Contracts 35 123 8,592 7,434 Deposits with Brokers for Forward Foreign Currency Contracts -- -- -- 5,142 Unrealized Gain on Swap Contracts -- -- -- 66 Variation Margin Receivable -- -- 835 -- ---------------------------------------------------------------------------------------------------------------------------------- Total Assets 3,973,088 1,452,804 1,018,150 1,525,595 ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable Upon Return of Securities Loaned 690,208 74,953 72,628 254,974 Payable for Investment Securities Purchased 40,607 16,531 39,482 112,624 Payable for Fund Shares Redeemed 3,255 3,009 1,212 3,930 Unrealized Loss on Forward Foreign Currency Contracts -- -- 14,370 1,428 Foreign Currency Payable -- 79 -- -- Variation Margin Payable 134 -- 115 -- Unrealized Loss on Spot Contracts 49 123 8,581 7,487 Investment Advisory Fees Payable 1,328 1,101 111 360 Administration Fees Payable 1,183 698 445 584 Shareholder Servicing Fees Payable 657 268 166 225 Trustees' Fees Payable 1 -- -- -- Accrued Expenses 390 425 117 138 Accrued Foreign Capital Gains Tax Payable 66 1,115 -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 737,878 98,302 137,227 381,750 ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $3,235,210 $1,354,502 $880,923 $1,143,845 ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital $3,031,248 $ 928,955 $829,789 $ 949,253 Undistributed Net Investment Income 38,012 8,381 30,265 35,250 Accumulated Net Realized Gain (Loss) on Investments (405,194) 68,855 19,952 54,146 Net Unrealized Appreciation on Investments 571,119 349,429 5,305 101,924 Accumulated Foreign Capital Gains Tax on Appreciated Securities (66) (1,115) -- -- Net Unrealized Appreciation on Futures Contracts 110 -- 458 -- Net Unrealized Appreciation on Swap Contracts -- -- -- 66 Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (19) (3) (4,846) 3,206 ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $3,235,210 $1,354,502 $880,923 $1,143,845 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,227,258,426 / 265,915,418 shares, $1,354,502,354 / 84,999,640 shares, $880,922,704 / 75,182,986 shares, and $1,143,845,394 / 96,868,368 shares, respectively) $12.14 $15.94 $11.72 $11.81 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($7,951,420 / 656,018 shares) $12.12 n/a n/a n/a ---------------------------------------------------------------------------------------------------------------------------------- Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 41 Statements of Operations ($ Thousands) For the year ended September 30, 2005
----------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 87,521 $ 38,734 $ -- $ 226 Dividends from Affiliated Investment Companies 319 142 -- -- Interest 971 342 31,195 65,376 Income from Security Lending 2,730 413 13 507 Less: Foreign Taxes Withheld (9,784) (4,755) (67) (192) ----------------------------------------------------------------------------------------------------------------------------- Total Investment Income 81,757 34,876 31,141 65,917 ----------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 15,072 12,174 1,438 7,589 Administration Fees 13,431 7,536 5,750 5,803 Shareholder Servicing Fees -- Class A 7,444 2,899 2,396 2,232 Shareholder Servicing Fees -- Class I 17 -- -- -- Administrative Servicing Fees -- Class I 17 -- -- -- Trustee Fees 46 18 15 14 Custodian Fees 485 897 129 165 Printing Fees 186 73 59 58 Professional Fees 162 65 51 51 Proxy Costs 70 26 23 20 Pricing Fees 60 37 16 12 Wire Agent Fees 52 18 18 16 Registration & Filing Fees 20 7 10 15 Other Expenses 71 27 22 22 ----------------------------------------------------------------------------------------------------------------------------- Total Expenses 37,133 23,777 9,927 15,997 ----------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- (1,073) -- (3,902) Shareholder Servicing Fees - Class A -- -- (303) -- Fees Paid Indirectly (1) (19) (29) -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Expenses 37,114 22,675 9,624 12,095 ----------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 44,643 12,201 21,517 53,822 ----------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS Net Realized Gain (Loss) from: Investments 381,250 219,276 19,364 67,107 Futures Contracts 2,672 -- 4,872 -- Swaps Contracts -- -- -- 12 Foreign Currency Transactions (3,333) (55) 31,359 3,243 Net Change in Unrealized Appreciation (Depreciation) on: Investments 267,990 199,314 (45,068) 32,290 Futures Contracts 218 -- (429) -- Swap Contracts -- -- -- 66 Foreign Capital Gains Tax on Appreciated Securities (66) 1,722 -- -- Foreign Currency Transactions (77) 16 (3,239) 2,993 ----------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS 648,654 420,273 6,859 105,711 ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $693,297 $432,474 $28,376 $159,533 ----------------------------------------------------------------------------------------------------------------------------- (1) See Note 3 in Notes to Financial Statements. Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 42 SEI Institutional International Trust / Annual Report / September 30, 2005 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
----------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ----------------------------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 44,643 $ 28,071 $ 12,201 $ 8,721 Net Realized Gain from Investment Transactions and Futures Contracts 383,922 164,799 219,276 230,393 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (3,333) 522 (55) (2,237) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 268,208 276,933 199,314 (19,150) Net Change in Accrued Foreign Capital Tax Gains on Appreciated Securities (66) -- 1,722 (295) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (77) (177) 16 (85) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 693,297 470,148 432,474 217,347 ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS: Net Investment Income: Class A (62,768) (23,802) (8,705) (2,380) Class I (121) (19) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends (62,889) (23,821) (8,705) (2,380) ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 586,756 698,545 267,067 308,082 Reinvestment of Dividends & Distributions 60,095 22,759 8,400 2,304 Cost of Shares Redeemed (754,102) (719,697) (384,469) (422,178) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (107,251) 1,607 (109,002) (111,792) ----------------------------------------------------------------------------------------------------------------------------------- CLASS I: Proceeds from Shares Issued 2,709 4,430 -- -- Reinvestment of Dividends & Distributions 114 19 -- -- Cost of Shares Redeemed (2,071) (1,177) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets from Class I Transactions 752 3,272 -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions (106,499) 4,879 (109,002) (111,792) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 523,909 451,206 314,767 103,175 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 2,711,301 2,260,095 1,039,735 936,560 ----------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $3,235,210 $2,711,301 $1,354,502 $1,039,735 ----------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 38,012 $ 40,534 $ 8,381 $ 6,058 ----------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 53,684 73,559 19,952 29,491 Reinvestment of Distributions 5,443 2,458 652 227 Shares Redeemed (68,895) (75,619) (29,296) (40,128) ----------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (9,768) 398 (8,692) (10,410) ----------------------------------------------------------------------------------------------------------------------------------- CLASS I: Shares Issued 248 459 -- -- Reinvestment of Distributions 10 2 -- -- Shares Redeemed (189) (125) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 69 336 -- -- ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (9,699) 734 (8,692) (10,410) ----------------------------------------------------------------------------------------------------------------------------------- Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 43 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
--------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND --------------------------------------------------------------------------------------------------------------------------------- 2005 2004 2005 2004 --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 21,517 $ 20,576 $ 53,822 $ 37,616 Net Realized Gain from Investment Transactions, Futures Contracts and Swap Contracts 24,236 10,050 67,119 25,198 Net Realized Gain on Forward Foreign Currency Contracts and Foreign Currency Transactions 31,359 56,708 3,243 740 Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Contracts (45,497) (3,424) 32,356 21,428 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (3,239) (19,555) 2,993 257 --------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 28,376 64,355 159,533 85,239 --------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (68,523) (65,737) (45,621) (39,072) Net Realized Gains: Class A (3,062) (15,161) (18,883) (57,231) --------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (71,585) (80,898) (64,504) (96,303) --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 295,426 301,318 515,445 338,053 Reinvestment of Dividends & Distributions 67,732 77,590 62,023 93,513 Cost of Shares Redeemed (346,659) (320,430) (294,135) (220,256) --------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets from Capital Share Transactions 16,499 58,478 283,333 211,310 --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (26,710) 41,935 378,362 200,246 --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 907,633 865,698 765,483 565,237 --------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 880,923 $ 907,633 $1,143,845 $ 765,483 --------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 30,265 $ 50,460 $ 35,250 $ 30,335 --------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 23,879 24,773 46,704 32,923 Reinvestment of Dividends & Distributions 5,365 6,398 5,804 9,165 Shares Redeemed (28,329) (26,436) (26,907) (21,527) --------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 915 4,735 25,601 20,561 ---------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 44 SEI Institutional International Trust / Annual Report / September 30, 2005 Financial Highlights For 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 Net Assets Beginning Income (Losses) from Investment Capital and Value, End Total End of Period of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+ ($ Thousands) ----------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2005 $ 9.81 $0.16(1) $2.40(1) $ 2.56 $(0.23) $ -- $(0.23) $12.14 26.33% $3,227,258 2004 8.20 0.10(1) 1.60(1) 1.70 (0.09) -- (0.09) 9.81 20.74 2,705,544 2003 6.93 0.08(1) 1.23(1) 1.31 (0.04) -- (0.04) 8.20 18.91 2,258,034 2002 8.25 0.04 (1.34) (1.30) (0.02) -- (0.02) 6.93 (15.79) 1,952,763 2001 12.33 0.03 (3.73) (3.70) (0.07) (0.31) (0.38) 8.25 (30.85) 2,365,245 CLASS I 2005 $ 9.81 $0.14(1) $2.38(1) $ 2.52 $(0.21) $ -- $(0.21) $12.12 25.86% $ 7,952 2004 8.20 0.10(1) 1.58(1) 1.68 (0.07) -- (0.07) 9.81 20.54 5,757 2003 6.93 0.09(1) 1.20(1) 1.29 (0.02) -- (0.02) 8.20 18.65 2,061 2002(2) 8.97 0.03 (2.07) (2.04) -- -- -- 6.93 (22.74) 639 EMERGING MARKETS EQUITY FUND CLASS A 2005 $11.10 $0.14(1) $4.80(1) $ 4.94 $(0.10) $ -- $(0.10) $15.94 44.68% $1,354,502 2004 9.00 0.09(1) 2.03(1) 2.12 (0.02) -- (0.02) 11.10 23.61 1,039,735 2003 6.53 0.05(1) 2.42(1) 2.47 -- -- -- 9.00 37.83 936,560 2002 6.08 0.01 0.47 0.48 (0.03) -- (0.03) 6.53 7.78 739,880 2001 9.19 0.04 (3.15) (3.11) -- -- -- 6.08 (33.84) 1,010,428 INTERNATIONAL FIXED INCOME FUND CLASS A 2005 $12.22 $0.28(1) $0.15(1) $ 0.43 $(0.89) $(0.04) $(0.93) $11.72 3.01% $ 880,923 2004 12.45 0.28(1) 0.63(1) 0.91 (0.92) (0.22) (1.14) 12.22 7.43 907,633 2003 11.00 0.30(1) 1.53(1) 1.83 (0.33) (0.05) (0.38) 12.45 17.05 865,698 2002 10.12 0.55 0.33 0.88 -- -- -- 11.00 8.70 878,082 2001 9.81 0.33 (0.02) 0.31 -- -- -- 10.12 3.16 1,198,644 EMERGING MARKETS DEBT FUND CLASS A 2005 $10.74 $0.66(1) $1.31(1) $ 1.97 $(0.63) $(0.27) $(0.90) $11.81 19.34% $1,143,845 2004 11.15 0.61(1) 0.77(1) 1.38 (0.66) (1.13) (1.79) 10.74 13.97 765,483 2003 8.12 0.78(1) 3.01(1) 3.79 (0.76) -- (0.76) 11.15 49.15 565,237 2002 9.03 0.82 (0.56) 0.26 (0.99) (0.18) (1.17) 8.12 2.15 422,130 2001 9.51 0.94 (0.53) 0.41 (0.89) -- (0.89) 9.03 4.69 458,950 --------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Expenses (Excluding Waivers and (Loss) Portfolio to Average Fees Paid Fees Paid to Average Turnover Net Assets* Indirectly)** Indirectly)** Net Assets Rate -------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2005 1.24% 1.24% 1.24% 1.50% 80% 2004 1.26 1.26 1.26 1.06 44 2003 1.28 1.28 1.32 1.12 87 2002 1.28 1.28 1.29 0.51 70 2001 1.28 1.28 1.29 0.36 91 CLASS I 2005 1.49% 1.49% 1.49% 1.28% 80% 2004 1.51 1.51 1.51 1.06 44 2003 1.53 1.53 1.57 1.15 87 2002(2) 1.53(3) 1.53(3) 1.54(3) 0.61(3) 70 EMERGING MARKETS EQUITY FUND CLASS A 2005 1.95% 1.96% 2.05% 1.05% 69% 2004 1.95 1.95 2.12 0.84 88 2003 1.95 1.95 2.14 0.71 69 2002 1.95 1.95 2.14 0.08 109 2001 1.95 1.95 2.13 0.54 126 INTERNATIONAL FIXED INCOME FUND CLASS A 2005 1.00% 1.00% 1.04% 2.24% 145% 2004 1.00 1.00 1.04 2.27 224 2003 1.00 1.00 1.06 2.60 216 2002 1.00 1.00 1.07 2.72 339 2001 1.00 1.00 1.06 3.13 235 EMERGING MARKETS DEBT FUND CLASS A 2005 1.35% 1.35% 1.79% 6.03% 85% 2004 1.35 1.35 1.79 5.91 77 2003 1.35 1.35 1.80 7.98 127 2002 1.35 1.35 1.79 8.80 140 2001 1.35 1.35 1.78 10.06 196 * Includes Fees Paid Indirectly. ** See Note 3 in Notes to Financial Statements. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. (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. (3) Annualized. Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 45 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements September 30, 2005 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 five funds: the International Equity Fund, the Tax-Managed 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. As of September 30, 2005, the Tax-Managed International Equity Fund had not yet commenced operations. 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 generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Trust's Board of Trustees (the "Board"). The Trust's Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Board. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event') has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee Meeting should be called based on the information provided. -------------------------------------------------------------------------------- 46 SEI Institutional International Trust / Annual Report / September 30, 2005 The International Equity Fund and Emerging Markets Equity Fund also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a "confidence interval" which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the International Equity Fund and Emerging Markets Equity Fund will value the non-U.S. securities in their portfolios that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by the custodian bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and 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 to 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 Funds 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 basis: (I) market value of investment securities, other assets and liabilities are translated at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses are translated 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. The Funds do isolate the effect of fluctuations in foreign-currency rates when determining the gain or loss upon sale or maturity of foreign currency-denominated debt obligations for Federal income tax purposes. The Funds report gains and losses on foreign-currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Fund and the International Fixed Income Fund utilized futures contracts during the year ended September 30, 2005. 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. The notional amount presented in the Schedule of Investments in the International Equity Fund and the International Fixed Income Fund represents the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 47 NOTES TO FINANCIAL STATEMENTS (Continued) 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 stocks, 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. 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. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument, and also take possession of the instrument. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. In connection with outstanding credit-default swaps as of September 30, 2005, the Fund has issued a loan in the amount of $6,350,000 to the counterparty as collateral. STRUCTURED NOTE -- The Emerging Market Debt Fund (the "Fund") has entered into an agreement with JP Morgan Chase (the "Counterparty") which increases the Fund's exposure to the Brazilian debt and currency markets. The Fund paid to the Counterparty an amount equal to the U.S. Dollar equivalent of the market value of certain Brazilian Government Securities of a par amount disclosed on the Schedule of Investments under the heading "Structured Note" on the effective date of the agreement. In return, the Fund is entitled to receive from the Counterparty an amount in U.S. Dollars determined by the exchange rate between the U.S. Dollar and Brazilian Real on the termination date of the agreement, or, alternatively, under accelerated or early termination provisions (available to the Fund at any time prior to the termination date), either, at the option of the fund: a) specified Brazilian Government Securities of an equal aggregate par amount; or b) an amount of Brazilian Reals determined by the exchange rate and current market value of the reference Brazilian Government Securities (or under limited conditions, an equivalent amount in U.S. Dollars as determined by the exchange rate on the optional termination date). The risks involved with this type of transaction include the risk that the Counterparty will not perform under the terms of the agreement, the risk that a liquid market will not exist for this type of instrument, in which case the value that the Fund would receive in the event of the sale of this instrument could significantly differ from that disclosed on the Schedule of Investments, and risks normally associated with investments made in foreign securities markets as disclosed further in Note 6. 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, -------------------------------------------------------------------------------- 48 SEI Institutional International Trust / Annual Report / September 30, 2005 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. DELAYED DELIVERY TRANSACTIONS -- Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typicallyhas a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities, however an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. CLASSES -- Class-specific expenses are borne by that class. Income, non-class specific 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 Trust are prorated to the Funds on the basis of relative net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Funds will distribute substantially all of their net investment income and all net realized capital gains, if any, at least annually. All dividends and distributions are recorded on ex-dividend date. 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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 49 NOTES TO FINANCIAL STATEMENTS (Continued) 3. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES 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 administrative 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% Emerging Markets Equity Fund 0.65 International Fixed Income Fund 0.60 Emerging Markets Debt Fund 0.65 However, the Administrator has 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. At September 30, 2005, the Administrator is currently not waiving its fee. ------------------------------------------------------------------- International Emerging International Emerging Equity Markets Equity Fixed Income Markets Debt Fund Fund Fund Fund ------------------------------------------------------------------- Class A 1.28% 1.96% 1.01% 1.36% Class I 1.53 -- -- -- Prior to July 1, 2005, the expense limitations adopted by the Administrator were as follows: ------------------------------------------------------------------- International Emerging International Emerging Equity Markets Equity Fixed Income Markets Debt Fund Fund Fund Fund ------------------------------------------------------------------- Class A 1.28% 1.95% 1.00% 1.35% Class I 1.53 -- -- -- During the period expenses related to a proxy conducted by the Trust were charged to the Funds above the cap. SEI Investments Management Corporation ("SIMC") acts as the Investment Adviser for the Funds under an amended and restated Investment Advisory Agreement dated December 17, 2002 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% Emerging Markets Equity Fund 1.050 International Fixed Income Fund 0.150 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. As of September 30, 2005, 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 06/29/98 Fisher Investments, Inc. 07/01/03 Fuller & Thaler Asset Management, Inc. 07/15/05 McKinley Capital Management, Inc. 07/01/03 Morgan Stanley Investment Management Limited 12/10/03 Quantitative Management Associates LLC 06/30/05 EMERGING MARKETS EQUITY FUND Alliance Capital Management L.P. 06/26/02 Citigroup Asset Management Ltd. 09/30/03 Emerging Markets Management, LLC 03/11/03 Rexiter Capital Management Limited 07/15/04 The Boston Company Asset Management, LLC 09/18/00 INTERNATIONAL FIXED INCOME FUND Bridgewater Associates, Inc. 01/05/05 Fischer Francis Trees and Watts, Inc. 12/17/02 EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited 03/17/03 Salomon Brothers Asset Management, Inc. 06/30/97 Under the investment sub-advisory agreements, each party receives an annual fee, paid by SIMC. SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments 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 -------------------------------------------------------------------------------- 50 SEI Institutional International Trust / Annual Report / September 30, 2005 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 0.25% -- Class I 0.25% 0.25% Emerging Markets Equity Fund Class A 0.25% -- International Fixed Income Fund Class A 0.25% -- Emerging Markets Debt Fund Class A 0.25% -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. For the year ended September 30, 2005, the Distributor received no brokerage commissions. 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. However, the Distributor 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 Distributor as presented above. For the year ended September 30, 2005, 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 SIMC or the Administrator. Compensation of affiliated Officers and Trustees is paid by SIMC or the Administrator. INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Funds may invest in the SEI money market funds, provided that investments in the SEI money market funds do not exceed 25% of the investing Fund's total assets. FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended September 30, 2005, can be found on the Statement of Operations. 4. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale and maturity of securities, other than short-term investments, during the fiscal year ended September 30, 2005, were as follows: ------------------------------------------------------------- Purchases Sales ($ Thousands) ($ Thousands) ------------------------------------------------------------- International Equity Fund US Gov't $ -- $ -- Other 2,342,390 2,486,152 Emerging Markets Equity Fund US Gov't -- -- Other 778,157 899,345 International Fixed Income Fund US Gov't 120,915 104,684 Other 990,026 999,030 Emerging Markets Debt Fund US Gov't -- -- Other 854,841 634,759 5. 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 for 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 differences, which may result in distribution reclassifications, are primarily due to foreign currency gains and losses, passive foreign investment companies gains and losses, equalization, and prior year adjustments. These book/tax differences are either temporary or permanent in nature. To the -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 51 NOTES TO FINANCIAL STATEMENTS (Continued) 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. Accordingly, the following permanent differences have been reclassified to/from the following accounts as of September 30, 2005: -------------------------------------------------------------------------------- Undistributed Accumulated Net Investment Realized Paid-in- Income/(Loss) Gain/(Loss) Capital ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund $ 15,724 $(15,724) $ -- Emerging Markets Equity Fund (1,173) (12,088) 13,261 International Fixed Income Fund 26,811 (32,769) 5,958 Emerging Markets Debt Fund (3,286) (10,899) 14,185 The Emerging Markets Equity, International Fixed Income and Emerging Markets Debt Funds utilized earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. The tax character of dividends and distributions declared during the last two fiscal years was as follows: -------------------------------------------------------------------- Long-Term Ordinary Income Capital Gain Totals ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------- International Equity Fund 2005 $62,889 $ -- $62,889 2004 23,821 -- 23,821 Emerging Markets Equity Fund 2005 8,705 -- 8,705 2004 2,380 -- 2,380 International Fixed Income Fund 2005 70,687 898 71,585 2004 76,253 4,645 80,898 Emerging Markets Debt Fund 2005 51,738 12,766 64,504 2004 68,148 28,155 96,303 As of September 30, 2005, the components of Distributable Earnings/(Accumulated Losses) were as follows:
------------------------------------------------------------------------------------------------------------------------ Post Total Distributable Undistributed Undistributed Capital October Unrealized Other Earnings/ Ordinary Long-Term Loss Currency Appreciation/ Temporary (Accumulated Income Capital Gain Carryforwards Losses (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------ International Equity Fund $72,017 $ -- $(380,448) $(3,766) $516,130 $ 29 $203,962 Emerging Markets Equity Fund 8,381 78,220 -- -- 338,946 -- 425,547 International Fixed Income Fund 36,650 10,945 -- -- 3,539 -- 51,134 Emerging Markets Debt Fund 55,177 41,052 -- -- 98,363 -- 194,592
Post-October losses represent losses realized on investment or foreign currency transactions from November 1, 2004 through September 30, 2005 that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
-------------------------------------------------------------------------------------------------------- Total Capital Total Capital Loss Loss Expires Expires Expires Carryforward Utilized 2012 2011 2010 9/30/05 9/30/05 ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------- International Equity Fund $22,929 $226,615 $130,904 $380,448 $348,248 Emerging Markets Equity Fund -- -- -- -- 128,103
For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on investment securities at September 30, 2005 for each Fund is as follows:
----------------------------------------------------------------------------------- Aggregate Aggregate Gross Gross Net Federal Unrealized Unrealized Unrealized Tax Cost Appreciation Depreciation Appreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------------- International Equity Fund $3,384,011 $620,771 $(104,666) $516,105 Emerging Markets Equity Fund 1,064,856 368,469 (28,405) 340,064 International Fixed Income Fund 932,987 29,512 (24,234) 5,278 Emerging Markets Debt Fund 1,239,149 104,124 (5,678) 98,446
6. INVESTMENT RISKS Each Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The International Fixed Income Fund and Emerging Markets Debt Fund invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the International Fixed Income Fund and Emerging Markets Debt Fund to meet their obligations may be affected by economic and political developments in a specific country, industry or region. -------------------------------------------------------------------------------- 52 SEI Institutional International Trust / Annual Report / September 30, 2005 Certain securities held by the Funds are valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. At September 30, 2005, the total value of these securities represented approximately 9% of the net assets of the Emerging Markets Debt Fund. Forward foreign currency contracts, futures contracts, and swap agreement contracts involve risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities to the extent of the contract amounts. In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. 7. 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. 8. 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 Board. 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 rate notes, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity date not to exceed 397 days. 9. OTHER On September 30, 2005, the number of shareholders below held the following percentage of the outstanding shares of the Funds. --------------------------------------------------------------------------- Number of % of Outstanding Shareholders Shares --------------------------------------------------------------------------- International Equity Fund, Class A 1 81.46% International Equity Fund, Class I 3 37.95 Emerging Markets Equity Fund, Class A 1 83.24 International Fixed Income Fund, Class A 1 88.40 Emerging Markets Debt Fund, Class A 1 64.48 These shareholders are comprised of omnibus accounts, which are held on behalf of several individual shareholders. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 53 NOTES TO FINANCIAL STATEMENTS (Continued) 10. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Unaudited) The Board has selected KPMG LLP (KPMG) to serve as the Trust's independent registered public accounting firm for the Trust's fiscal year ended September 30, 2006. The decision to select KPMG was recommended by the Audit Committee and was approved by the Board on September 21, 2005. During the Trust's fiscal years ended September 30, 2005 and September 30, 2004, neither the Trust, its portfolios nor anyone on their behalf consulted with KPMG LLP on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Trust's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of KPMG does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Trust's prior auditor. The decision to replace PricewaterhouseCoopers LLP, the Trust's previous independent registered public accounting firm, effective upon its completion of its audits for the fiscal year ended September 30, 2005 and to select KPMG was recommended by the Trust's Audit Committee and approved by the Funds' Board of Trustees. PricewaterhouseCoopers LLP's report on the Trust's financial statements for the fiscal years ended September 30, 2005 and September 30, 2004 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Trust's fiscal years ended September 30, 2005 and September 30, 2004, (i) there were no disagreements with PricewaterhouseCoopers LLP on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PricewaterhouseCoopers LLP, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Trust's financial statements for such years, and (ii) during the fiscal years ended September 30, 2005 and September 30, 2004 none of the events enumerated in paragraphs (1) (v) (B) through (D) of Item 304 (a) of Regulation S-K occurred. As part of its report dated November 29, 2005 which is filed as an exhibit to the Trust's most recent Form N-SAR filed with the SEC, PricewaterhouseCoopers LLP advised management that management did not maintain effective internal controls over the valuation and reporting of illiquid securities in the Emerging Markets Debt Fund (the "Fund"). Illiquid securites, which comprise approximately 4.3% of net assets of the Fund, were not valued using readily available, current market quotations or by employing a reasonable process for fair valuation at September 30, 2005. This finding did not affect PricewaterhouseCoopers LLP's opinion on these financial statements. The Board's decision to change the Trust's auditors preceded the identification by PricewaterhouseCoopers LLP of the foregoing internal control issue. -------------------------------------------------------------------------------- 54 SEI Institutional International Trust / Annual Report / September 30, 2005 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional International Trust In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Emerging Markets Debt Fund (constituting SEI Institutional International Trust, hereafter referred to as the "Trust") at September 30, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2005, by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 29, 2005 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 55 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of November 28, 2005. Set forth below are the names, ages, position with the Trust, length of term of office, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
-------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE -------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 69 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, Director of 59 yrs. old SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI Multi-Strategy Funds plc. -------------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since 1982 Self-employed consultant since 69 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director 19103 to 2003, counsel to the Trust, of SEI Investments since 1974. 65 yrs. old SEI Investments, SIMC, the Director of the Distributor Administrator and the Distributor. since 2003. Director of SEI Secretary of SEI Investments Investments -- Global Fund since 1978. Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. -------------------------------------------------------------------------------------------------------------------------------- TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 69 Trustee of STI Classic Funds One Freedom and STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 72 yrs. old -------------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since 1995 Attorney, sole practitioner 69 Trustee of The Advisors' Inner One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II, Oaks, PA 19456 December 1993. Massachusetts Health and 74 yrs. old Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. -------------------------------------------------------------------------------------------------------------------------------- *MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
-------------------------------------------------------------------------------- 56 SEI Institutional International Trust / Annual Report / September 30, 2005
------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 69 Trustee of The Advisors' Inner One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors' Valley Drive Inner Circle Fund II, State Oaks, PA 19456 Street Navigator Securities 63 yrs. old Lending Trust, SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., and SEI Opportunity Fund, L.P. ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 69 Director, Sonoco, Inc.; Director, One Freedom` Health Care Reform, Commonwealth of ExelonCorporation; Trustee, Valley Drive Pennsylvania since 2003. Founder Pennsylvania Real Estate Oaks, PA 19456 and Principal, Grecoventures Ltd. Investment Trust. 59 yrs. old from 1999 to 2002. ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 69 SEI Absolute Return Master One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Return Valley Drive, Head of Sales, Investorforce, March Fund, L.P., SEI Opportunity Oaks, PA 19456 2000-December 2001; Global Partner Master Fund, L.P., and SEI 48 yrs. old working for the CEO, Invesco Capital, Opportunity Fund, L.P. January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. ------------------------------------------------------------------------------------------------------------------------------------ James M. Williams Trustee since 2004 Vice President and Chief Investment 69 SEI Absolute Return Master One Freedom Officer, J. Paul Getty Trust, Non- Fund, L.P., SEI Absolute Return Valley Drive, Profit Foundation for Visual Arts, Fund, L.P., SEI Opportunity Oaks, PA 19456 since December 2002. President, Master Fund, L.P., and SEI 58 yrs. old Harbor Capital Advisors and Harbor Opportunity Fund, L.P. Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS -------- Edward D. Loughlin President since 1982 Executive Vice President and N/A N/A One Freedom & CEO President - Asset Management Valley Drive, Division of SEI Investments since Oaks, PA 19456 1993. Director and President of 54 yrs. old SIMC since 2004. Chief Executive Officer of the Administrator and Director of the Distributor since 2003. Executive Vice President of SIMC, 1999-2004. ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A One Freedom and Chief Administrator, 2005-Present. Fund Valley Drive, Financial Administration Manager, Old Mutual Oaks, PA 19456 Officer Fund Services, 2000-2005. Chief 35 yrs. old Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Fund Advisors Fund, 2004-2005. ------------------------------------------------------------------------------------------------------------------------------------ Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A One Freedom President and Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant Secretary 37 yrs. old of SEI Investments since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 57 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) -------------------- Sofia A. Rosala Vice since 2004 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC and the Administrator since 2005. Valley Drive and Compliance Officer of SEI Investments Oaks, PA 19456 Assistant September 2001-2004. Account and 31 yrs. old Secretary Product Consultant, SEI Private Trust Company, 1998-2001. ------------------------------------------------------------------------------------------------------------------------------------ Philip T. Masterson Vice since 2004 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. General Counsel, Valley Drive and Citco Mutual Fund Services, 2003-2004. Oaks, PA 19456 Assistant Vice President and Associate Counsel, 41 yrs. old Secretary OppenheimerFunds, 2001-2003. Vice President and Assistant Counsel, Oppenheimer Funds, 1997-2001. ------------------------------------------------------------------------------------------------------------------------------------ James Ndiaye Vice since 2005 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. Vice President, Valley Drive and Deutsche Asset Management (2003-2004). Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP 36 yrs. old Secretary (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Pang Vice since 2005 Vice President and Assistant Secretary of N/A N/A One Freedom President SIMC since 2005. Counsel, Caledonian Valley Drive and Bank & Trust's Mutual Funds Group (2004). Oaks, PA 19456 Assistant Counsel, Permal Asset Management 33 yrs. old Secretary (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). ------------------------------------------------------------------------------------------------------------------------------------ John J. McCue Vice since 2004 Director of Portfolio Implementations for N/A N/A One Freedom President SIMC since 1995. Managing Director Valley Drive of Money Market Investments for Oaks, PA 19456 SIMC since 2003. 42 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ Thomas D. Jones, III Chief since 2004 Chief Compliance Officer and Assistant N/A N/A One Freedom Compliance Secretary of SIMC since March Valley Drive Officer 2004. First Vice President, Merrill Oaks, PA 19456 Lynch Investment Managers 40 yrs. old (Americas) from 2003-2004. Director, Merrill Lynch Investment Managers (Americas), 2001-2002. Vice President, Merrill Lynch Investment Managers (Americas), 1998-2000. ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President and Anti-Money N/A N/A One Freedom Laundering Laundering Compliance Coordinator of Valley Drive Compliance SEI Investments since 2005. Compliance Oaks, PA 19456 Officer Analyst, TD Waterhouse (2004). Senior 27 yrs. old Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). ------------------------------------------------------------------------------------------------------------------------------------ 1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
-------------------------------------------------------------------------------- 58 SEI Institutional International Trust / Annual Report / September 30, 2005 SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on this page illustrates your fund's costs in two ways: ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in the fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown may not apply to your specific investment. BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/05 9/30/05 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,103.60 1.24% $ 6.54 Class I $1,000.00 $1,101.85 1.49% $ 7.85 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.85 1.24% $ 6.28 Class I $1,000.00 $1,017.60 1.49% $ 7.54 -------------------------------------------------------------------------------- EMERGING MARKETS EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,218.70 1.95% $10.85 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.29 1.95% $ 9.85 -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/05 9/30/05 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $ 958.30 1.00% $4.91 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,020.05 1.00% $5.06 -------------------------------------------------------------------------------- EMERGING MARKETS DEBT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,123.70 1.35% $7.19 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.30 1.35% $6.83 -------------------------------------------------------------------------------- *EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/365 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 59 SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) The SEI Institutional International Trust ("the Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to each series of the Trust (each, a "Fund" and, collectively, the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to a separate sub-advisory agreement (the "Sub-Advisory Agreement" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively each Sub-Adviser's skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, each Fund's Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Fund's Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and each of the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and each Sub-Adviser charges a Fund compared with the fees each charges to comparable mutual funds; (f) a Fund's overall -------------------------------------------------------------------------------- 60 SEI Institutional International Trust / Annual Report / September 30, 2005 fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and each Sub-Adviser's profitability from its Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. At the December 9, 2004, March 9, 2005, June 23, 2005, and September 21, 2005 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o each Fund's investment performance and how it compared to that of other comparable mutual funds; o each Fund's expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to each Fund, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered each Fund's performance relative to its peer group and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of the peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for a given Fund. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and each Fund's net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in each Fund's respective peer group. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 61 SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2005 PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to a Fund's shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. -------------------------------------------------------------------------------- 62 SEI Institutional International Trust / Annual Report / September 30, 2005 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2005 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2005 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2005 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year: -------------------------------------------------------------------------------- Qualifying Long Term Ordinary Dividend Capital Gains Income Income (15% Distributions Distributions Tax Rate Fund (Tax Basis) (Tax Basis) Total for QDI) (1) -------------------------------------------------------------------------------- International Equity 0% 100% 100% 47.89% Emerging Markets Equity 44.31% 55.69% 100% 89.76% International Fixed Income 2.51% 97.49% 100% 0% Emerging Markets Debt 23.12% 76.88% 100% 0% The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2005, the amount of foreign source income and foreign tax credit are as follows: -------------------------------------------------------------------------------- Foreign Tax Foreign Source Credit Pass Fund Income Through -------------------------------------------------------------------------------- International Equity $53,453,864 $ 454,940 Emerging Markets Equity 14,086,789 3,897,541 (1) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions." It is the intention of each of the aforementioned Funds to designate the maximum amount permitted by law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2005. Complete information will be computed and reported in conjunction with your 2005 Form 1099-DIV. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 63 Shareholder Voting Results (Unaudited) At a special meeting held on October 27, 2004, the shareholders of the SEI Institutional International Trust voted on the proposals listed below. The results of the voting were as follows: PROPOSAL 1: To elect Trustees of the Trust
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- Rosemarie B. Greco Affirmative 259,381,368.116 50.349% 98.949% Withhold 2,754,416.559 0.535% 1.051% TOTAL 262,135,784.675 50.884% 100.000% Nina Lesavoy Affirmative 259,482,370.901 50.369% 98.988% Withhold 2,653,413.774 0.515% 1.012% TOTAL 262,135,784.675 50.884% 100.000% James M. Williams Affirmative 259,565,852.619 50.385% 99.020% Withhold 2,569,932.056 0.499% 0.980% TOTAL 262,135,784.675 50.884% 100.000% PROPOSAL 2: To approve eliminating or reclassifying certain fundamental policies and restrictions for all Funds. INTERNATIONAL EQUITY FUND 4(a) Fundamental Policies Regarding Diversification Affirmative 135,608,978.341 48.717% 96.007% Against 992,254.964 0.356% 0.702% Abstain 1,864,068.783 0.670% 1.320% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% 4(b) Fundamental Policy Regarding Concentration Affirmative 135,418,258.371 48.648% 95.872% Against 1,140,413.673 0.410% 0.807% Abstain 1,906,630.044 0.685% 1.350% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% 4(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 135,088,443.906 48.530% 95.638% Against 1,405,826.145 0.505% 0.995% Abstain 1,971,032.037 0.708% 1.396% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000%
-------------------------------------------------------------------------------- 64 SEI Institutional International Trust / Annual Report / September 30, 2005
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- 4(d) Fundamental Policy Regarding Lending Affirmative 135,043,211.952 48.513% 95.606% Against 1,456,619.885 0.524% 1.031% Abstain 1,965,470.251 0.706% 1.392% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% 4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 135,365,447.108 48.629% 95.834% Against 1,216,022.717 0.437% 0.861% Abstain 1,883,832.263 0.677% 1.334% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% 4(i) Fundamental Policy Regarding Underwriting and Securities Affirmative 135,142,395.084 48.549% 95.676% Against 1,378,639.556 0.495% 0.976% Abstain 1,944,267.448 0.699% 1.377% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% 4(n) Fundamental Policy Regarding Investment in Oil and Gas Affirmative 135,298,730.160 48.605% 95.787% Against 1,211,545.116 0.435% 0.858% Abstain 1,955,026.812 0.703% 1.384% Broker Non-votes 2,784,326.000 1.000% 1.971% TOTAL 141,249,628.088 50.743% 100.000% EMERGING MARKETS EQUITY FUND 4(a) Fundamental Policies Regarding Diversification Affirmative 47,280,221.514 50.516% 89.897% Against 448,202.001 0.479% 0.853% Abstain 3,964,181.757 4.236% 7.537% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% 4(b) Fundamental Policy Regarding Concentration Affirmative 47,197,191.186 50.427% 89.740% Against 535,726.935 0.573% 1.018% Abstain 3,959,687.151 4.231% 7.529% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000%
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 65 Shareholder Voting Results (Unaudited) (Continued)
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- 4(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 47,087,945.170 50.311% 89.532% Against 639,784.700 0.683% 1.216% Abstain 3,964,875.402 4.237% 7.539% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% 4(d) Fundamental Policy Regarding Lending Affirmative 47,062,000.670 50.283% 89.483% Against 647,170.226 0.691% 1.230% Abstain 3,983,434.376 4.257% 7.575% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% 4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 47,130,506.197 50.356% 89.613% Against 601,092.424 0.642% 1.143% Abstain 3,961,006.651 4.233% 7.531% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% 4(i) Fundamental Policy Regarding Underwriting and Securities Affirmative 47,136,962.328 50.363% 89.625% Against 581,126.437 0.621% 1.105% Abstain 3,974,516.507 4.247% 7.557% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% 4(n) Fundamental Policy Regarding Investment in Oil and Gas Affirmative 47,106,647.592 50.331% 89.567% Against 606,080.213 0.647% 1.153% Abstain 3,979,877.467 4.253% 7.567% Broker Non-votes 900,897.000 0.963% 1.713% TOTAL 52,593,502.272 56.193% 100.000% INTERNATIONAL FIXED INCOME FUND 4(b) Fundamental Policies Regarding Concentration Affirmative 35,157,389.491 46.430% 88.671% Against 3,233,603.385 4.270% 8.156% Abstain 435,339.000 0.575% 1.098% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000%
-------------------------------------------------------------------------------- 66 SEI Institutional International Trust / Annual Report / September 30, 2005
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- 4(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 35,044,103.491 46.280% 88.386% Against 3,312,443.385 4.375% 8.354% Abstain 469,785.000 0.620% 1.185% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(d) Fundamental Policy Regarding Lending Affirmative 35,024,397.491 46.254% 88.336% Against 3,336,604.385 4.407% 8.415% Abstain 465,330.000 0.614% 1.174% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets Affirmative 35,119,826.491 46.380% 88.577% Against 3,251,421.385 4.294% 8.200% Abstain 455,084.000 0.601% 1.148% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(f) Fundamental Policy Regarding Control of an Issuer Affirmative 35,166,546.491 46.442% 88.694% Against 3,209,616.385 4.239% 8.095% Abstain 450,169.000 0.594% 1.135% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 35,191,028.491 46.474% 88.756% Against 3,192,632.385 4.216% 8.052% Abstain 442,671.000 0.585% 1.117% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(h) Fundamental Policy Regarding Short Sales Affirmative 35,094,866.491 46.347% 88.514% Against 3,264,870.385 4.312% 8.234% Abstain 466,595.000 0.616% 1.177% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000%
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 67 Shareholder Voting Results (Unaudited) (Continued)
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- 4(i) Fundamental Policy Regarding Underwriting and Securities Affirmative 35,166,566.491 46.442% 88.694% Against 3,254,937.385 4.298% 8.210% Abstain 404,828.000 0.535% 1.020% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(j) Fundamental Policy Regarding Investments in Securities of Other Investment Companies Affirmative 35,176,464.491 46.455% 88.719% Against 3,233,984.385 4.271% 8.157% Abstain 415,883.000 0.549% 1.048% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees Affirmative 34,537,476.491 45.611% 87.108% Against 3,863,987.385 5.103% 9.745% Abstain 424,868.000 0.561% 1.072% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers" Affirmative 35,125,753.491 46.388% 88.591% Against 3,285,313.385 4.339% 8.286% Abstain 415,265.000 0.548% 1.047% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(n) Fundamental Policy Regarding Investment in Oil and Gas Affirmative 35,250,487.491 46.553% 88.906% Against 3,162,257.385 4.176% 7.976% Abstain 413,587.000 0.546% 1.043% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000% 4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities Affirmative 35,090,779.491 46.342% 88.503% Against 3,269,511.385 4.318% 8.246% Abstain 466,041.000 0.615% 1.176% Broker Non-votes 822,803.000 1.087% 2.075% TOTAL 39,649,134.876 52.362% 100.000%
-------------------------------------------------------------------------------- 68 SEI Institutional International Trust / Annual Report / September 30, 2005
% OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------------- ----------- ----------- EMERGING MARKETS DEBT FUND 4(b) Fundamental Policies Regarding Concentration Affirmative 37,834,067.936 56.060% 96.653% Against 637,471.604 0.944% 1.628% Abstain 270,771.826 0.402% 0.692% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000% 4(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 37,797,026.989 56.005% 96.558% Against 681,070.855 1.009% 1.740% Abstain 264,213.522 0.392% 0.675% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000% 4(d) Fundamental Policy Regarding Lending Affirmative 37,783,870.468 55.985% 96.524% Against 685,623.241 1.016% 1.752% Abstain 272,817.657 0.405% 0.696% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000% 4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 37,812,861.626 56.028% 96.598% Against 662,915.732 0.983% 1.694% Abstain 266,534.008 0.395% 0.680% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000% 4(i) Fundamental Policy Regarding Underwriting of Securities Affirmative 38,065,873.919 56.403% 97.245% Against 402,659.726 0.597% 1.028% Abstain 273,777.721 0.406% 0.700% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000% 4(n) Fundamental Policy Regarding Investment in Oil and Gas Affirmative 37,816,164.725 56.033% 96.607% Against 667,071.914 0.989% 1.704% Abstain 259,074.727 0.384% 0.662% Broker Non-votes 402,078.000 0.596% 1.027% TOTAL 39,144,389.366 58.001% 100.000%
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2005 69 Notes Notes Notes Notes Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 2005 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY Philip T. Masterson VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Thomas D. Jones, III CHIEF COMPLIANCE OFFICER Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) SEI INVESTMENTS [BACKGROUND GRAPHIC OMITTED] SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-018 (9/05) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a)(2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3(a)(2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. For each of the last two years, the aggregate fees for which PricewaterhouseCoopers LLP (PwC) billed the Trust for services rendered to the Trust were as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- 2005 2004 ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $115,710 N/A $0 $104,520 N/A $0 Fees(1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $0 $34,645(4) $0 $0 $268,657(3) $0 Related Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax Fees $0 $0 $0 $0 $0 $0 ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $0 $0 $0 $0 $0 $0 Other Fees(2) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided PwC in connection with statutory and regulatory filings. (2) Non-audit fees include amounts related to advisory services provided for an analysis of expense classifications for the registrant and advisory services provided for benchmarking and best practice study results for Mutual Fund operations. (3) Includes fees for: examination of the design of SEI's Anti Money Laundering Program framework; 404 Readiness Assistance for SEI; and procedures related to the requirement to perform an independent audit pursuant to Section 352 of the USA PATRIOT Act for the SEI Funds. (4) Includes fees for 404 Readiness Assistance for SEI. (e)(1) Not Applicable. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ------------------------- ----------------- ---------------- 2005 2004 ------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ------------------------- ----------------- ---------------- Tax Fees 0% 0% ------------------------- ----------------- ---------------- All Other Fees 0% 0% ------------------------- ----------------- ---------------- (f) Not Applicable (g) The aggregate non-audit fees and services billed by PricewaterhouseCoopers LLP for the last two fiscal years were $0 and $0 for 2005 and 2004, respectively. (h) Not Applicable ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management companies. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. Effective for closed-end management investment companies for fiscal years ending on or after December 31, 2005 ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. 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. Based on their evaluation, and except as discussed below, the certifying officers have concluded that 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. In connection with its audit of the Trust's financial statements for the period ended September 30, 2005, PricewaterhouseCoopers LLP has advised management that management did not maintain effective internal control over the valuation and reporting of illiquid securities in the SEI Institutional International Trust Emerging Markets Debt Fund. PricewaterhouseCoopers LLP's internal control report, which discussed this matter, is filed as an Exhibit to the Trust's most recent Form N-SAR. (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 have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (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 By (Signature and Title)* /s/ Edward D. Loughlin --------------------------------- Edward D. Loughlin, President & CEO Date: December 2, 2005 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. By (Signature and Title)* /s/ Edward D. Loughlin ---------------------------------- Edward D. Loughlin, President & CEO Date: December 2, 2005 By (Signature and Title)* /s/ Stephen F. Panner ---------------------------------- Stephen F. Panner, Controller & CFO Date: December 2, 2005 * Print the name and title of each signing officer under his or her signature.