N-CSRS 1 siitsar3_06.txt SEI INSTITUTIONAL INTERNATIONAL TRUST SAR 3_06 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, 2006 DATE OF REPORTING PERIOD: MARCH 31, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO OMITTED] New ways. SEI New answers.(R) SEI Institutional International Trust Semi-Annual Report as of March 31, 2006 International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS ------------------------------------------------------------ Schedules of Investments 1 ------------------------------------------------------------ Statements of Assets and Liabilities 39 ------------------------------------------------------------ Statements of Operations 40 ------------------------------------------------------------ Statements of Changes in Net Assets 41 ------------------------------------------------------------ Financial Highlights 43 ------------------------------------------------------------ Notes to Financial Statements 44 ------------------------------------------------------------ Disclosure of Fund Expenses 53 ------------------------------------------------------------ Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 54 ------------------------------------------------------------ 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. SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund March 31, 2006 -------------------------------------------------------------------------------- [BAR CHART OMITTED] SECTOR WEIGHTINGS+: 26.4% Financials 11.4% Short-Term Investments 8.3% Consumer Discretionary 7.8% Industrials 6.8% Basic Materials 6.6% Asset-Backed Securities 6.0% Energy 5.4% Consumer Staples 4.9% Healthcare 4.3% Telecommunication Services 3.9% Information Technology 3.7% Utilities 3.2% U.S. Government Mortgage-Backed Securities 0.9% U.S. Treasury Obligations 0.4% U.S. Government Agency Obligations +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 -- 85.4% AUSTRALIA -- 2.1% Amcor 191,383 $ 1,010 Australia & New Zealand Banking Group 226,649 4,283 Australia Gas & Light 83,300 1,101 BHP Billiton 254,398 5,079 BlueScope Steel 91,863 470 Boral 341,200 2,170 Brambles Industries 55,521 426 Caltex Australia 208,259 2,851 Centro Properties Group 127,244 587 Cochlear 14,267 541 Coles Myer 36,961 282 Commonwealth Bank of Australia 193,422 6,248 Computershare 102,067 536 CSL 51,006 1,989 CSR 44,998 143 Downer EDI 24,671 156 GPT Group 341,221 1,005 Insurance Australia Group 361,473 1,410 Macquarie Airports 956,784 2,299 Macquarie Bank 14,179 654 Macquarie Goodman Group 59,152 210 Macquarie Infrastructure Group 175,734 477 Mirvac Group 222,293 674 National Australia Bank 128,817 3,463 Orica 90,776 1,501 Pacific Brands 50,080 85 PaperlinX 469,800 1,263 Promina Group 217,343 848 Qantas Airways 924,574 2,334 QBE Insurance Group 805,981 12,574 Rinker Group 199,559 2,825 Stockland 373,240 1,788 Suncorp-Metway 8,720 121 Telstra 163,542 436 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wesfarmers 31,454 $ 782 Westpac Banking 320,517 5,444 Woodside Petroleum 68,853 2,233 Woolworths 365,108 4,902 ----------- 75,200 ----------- AUSTRIA -- 0.6% Andritz 1,704 248 Boehler-Uddeholm 1,867 384 Erste Bank der Oesterreichischen Sparkassen 26,501 1,561 OMV 84,279 5,630 Raiffeisen International Bank Holding 7,018 598 Telekom Austria 354,978 8,355 Voestalpine 20,400 2,850 ----------- 19,626 ----------- BELGIUM -- 0.7% Belgacom 4,237 135 Delhaize Group* 62,043 4,445 Dexia 18,245 471 Fortis 299,338 10,671 Groupe Bruxelles Lambert 10,987 1,221 InBev 22,800 1,068 KBC Groep 45,300 4,857 Omega Pharma 27,600 1,688 UCB 29,750 1,462 ----------- 26,018 ----------- BRAZIL -- 0.1% Gerdau ADR 92,250 2,078 Uniao de Bancos Brasileiros GDR 13,800 1,020 ----------- 3,098 ----------- CANADA -- 1.6% Abitibi-Consolidated (A) 116,200 481 Alcan (A) 139,800 6,403 Cameco (A) 118,000 4,248 Canadian Natural Resources (A) 185,400 10,314 Inco*(1) 52,200 2,604 Methanex (A) 51,300 1,051 Potash Saskatchewan (A) 37,300 3,287 Rogers Communications, Cl B (A) 230,750 8,812 Suncor Energy (A) 24,800 1,905 Teck Cominco, Cl B 212,200 13,668 TELUS (A) 73,800 2,857 Toronto-Dominion Bank (A) 19,500 1,088 ----------- 56,718 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31,2006 1 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CHINA -- 0.0% China Petroleum & Chemical 2,176,000 $ 1,262 ----------- DENMARK -- 0.3% AP Moller - Maersk (A) 320 2,745 Carlsberg, Cl B (A) 24,150 1,574 D/S Torm (A) 4,050 189 Danisco 21,700 1,756 Danske Bank (A) 69,300 2,568 DSV (A) 1,450 193 Novo-Nordisk, Cl B (A) 27,400 1,702 TDC 700 44 William Demant Holding* 5,200 344 ----------- 11,115 ----------- FINLAND -- 1.1% Fortum (A) 583,708 14,707 Kesko, Cl B (A) 15,100 470 Metso (A) 32,376 1,248 Neste Oil (A) 17,350 596 Nokia (A) 407,339 8,419 Nokia ADR 69,800 1,446 Outokumpu (A)* 69,600 1,404 Rautaruukki (A) 98,299 3,626 Sampo, Cl A (A) 123,249 2,591 UPM-Kymmene 58,900 1,390 Wartsila, Cl B (A) 13,200 489 YIT (A)* 63,400 1,717 ----------- 38,103 ----------- FRANCE -- 8.9% Accor 49,417 2,845 Air France-KLM 204,676 4,813 Air Liquide 12,292 2,556 Assurances Generales de France 198,400 23,913 AXA 303,309 10,630 BNP Paribas 289,455 26,849 Bouygues 365,948 19,419 Business Objects* 10,639 388 Cap Gemini* 170,200 9,260 Carrefour 157,037 8,343 Casino Guichard Perrachon* 15,664 1,094 Cie de Saint-Gobain 55,030 3,839 Cie Generale d'Optique Essilor International 14,320 1,275 CNP Assurances 1,956 197 Compagnie Generale des Etablissements Michelin, Cl B 15,303 960 Credit Agricole 205,375 7,980 Dassault Systemes 16,662 951 France Telecom 659,944 14,823 Gecina+ 13,100 1,736 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Groupe Danone 114,457 $ 14,003 L'Oreal 20,525 1,806 Lafarge 32,258 3,650 LVMH Moet Hennessy Louis Vuitton 11,800 1,155 Neopost 1,077 117 PagesJaunes Groupe 7,438 209 Pernod-Ricard 6,476 1,239 Peugeot 36,257 2,282 Pinault-Printemps-Redoute 19,400 2,339 Publicis Groupe 10,717 418 Renault 162,813 17,289 Sanofi-Aventis 325,532 30,926 Schneider Electric 78,946 8,512 Societe Generale 154,273 23,169 Sodexho Alliance 23,700 1,124 Suez 29,241 1,151 Technip* 39,500 2,670 Thales* 24,100 1,070 Total 154,123 40,604 Veolia Environnement 33,600 1,863 Vinci 125,660 12,371 Vivendi Universal 85,343 2,927 Zodiac 4,731 307 ----------- 313,072 ----------- GERMANY -- 6.1% Allianz (A) 79,921 13,326 Altana 16,700 1,033 BASF (A) 62,161 4,867 Bayer 394,651 15,789 Bayerische Motoren Werke (A) 96,882 5,329 Celesio (A) 2,316 219 Commerzbank 366,550 14,585 Continental (A) 132,110 14,524 DaimlerChrysler (A) 129,723 7,441 Deutsche Bank 96,962 11,059 Deutsche Boerse (A) 36,675 5,281 Deutsche Post (A) 101,282 2,536 Deutsche Telekom (A) 198,390 3,342 E.ON 140,130 15,399 Fresenius Medical Care (A) 83,100 9,916 Hypo Real Estate Holding (A) 136,950 9,375 Infineon Technologies (A)* 98,328 1,013 Linde 15,154 1,314 MAN 160,013 11,090 Merck KGaA 84,300 8,001 Muenchener Rueckversicherungs (A) 97,952 13,869 Puma Rudolf Dassler Sport (A)* 3,300 1,248 RWE (A) 196,553 17,083 SAP (A) 25,615 5,549 SAP ADR 10,800 587 Siemens (A) 138,857 12,946 Suedzucker (A) 83,800 2,165 -------------------------------------------------------------------------------- 2 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ThyssenKrupp (A) 30,736 $ 886 Volkswagen (A) 62,261 4,695 Wincor Nixdorf (A) 2,574 324 ----------- 214,791 ----------- GREECE -- 0.1% Alpha Bank A.E.* 6,640 245 Coca Cola Hellenic Bottling 10,240 318 Intracom 41,470 298 National Bank of Greece 33,330 1,565 OPAP 38,320 1,462 Piraeus Bank 18,150 549 Titan Cement 5,640 269 ----------- 4,706 ----------- HONG KONG -- 0.9% ASM Pacific Technology 36,000 215 Cheung Kong Holdings 148,000 1,569 China Mobile Hong Kong 1,630,000 8,560 CLP Holdings 290,000 1,693 CNOOC 7,546,000 5,835 Hang Lung Group 248,000 566 Hang Lung Properties 561,000 1,066 Henderson Land Development 129,000 715 HongKong Electric Holdings 672,800 3,165 Hopewell Holdings 102,000 296 Kingboard Chemical Holdings 157,000 474 Li & Fung 1,108,000 2,499 MTR 513,300 1,157 PCCW 1,238,000 806 Sino Land 54,500 78 Sun Hung Kai Properties 162,000 1,645 Swire Pacific, Cl A 281,000 2,750 Wharf Holdings 96,000 352 ----------- 33,441 ----------- HUNGARY -- 0.0% Mol Magyar Olaj-es Gazipari 13,000 1,332 ----------- INDIA -- 0.0% Punjab National Bank 90,000 950 ----------- IRELAND -- 0.5% Anglo Irish Bank 490,350 8,070 Bank of Ireland 22,046 410 CRH 172,416 6,009 DCC 8,064 187 Depfa Bank 160,371 2,853 Fyffes 71,486 192 ----------- 17,721 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ISRAEL -- 0.1% Bank Hapoalim 445,000 $ 2,062 Teva Pharmaceutical Industries ADR 25,000 1,030 ----------- 3,092 ----------- ITALY -- 2.3% Banca Intesa 559,585 3,339 Banca Intesa RNC 39,817 225 Banca Monte dei Paschi di Siena 653,522 3,674 Banca Popolare di Milano 675,667 7,964 Banche Popolari Unite 63,574 1,539 Banco Popolare di Verona e Novara 23,410 619 Benetton Group 89,300 1,331 Buzzi Unicem 24,200 576 Capitalia 211,141 1,753 Enel 40,099 339 ENI - Ente Nazionale Idrocarburi 958,563 27,237 Fiat (A) 598,205 7,529 Fiat RNC* 217,890 2,403 Finmeccanica 49,400 1,120 Italcementi 81,181 1,942 Luxottica Group 9,730 268 Recordati 201,400 1,575 Telecom Italia RNC (A) 1,355,390 3,604 UniCredito Italiano 1,765,189 12,742 ----------- 79,779 ----------- JAPAN -- 22.4% Acom (A) 21,330 1,249 Advantest (A) 43,900 5,220 Aeon (A) 238,400 5,769 Aisin Seiki 69,900 2,713 Amada 190,000 2,068 Aoyama Trading 39,300 1,296 Asahi Kasei 249,000 1,771 Asatsu-DK (A) 52,000 1,811 Astellas Pharma 209,800 7,948 Bank of Fukuoka (A) 288,000 2,424 Bank of Kyoto (A) 94,000 1,131 Bank of Yokohama 138,000 1,127 Bridgestone 54,000 1,124 Canon 394,414 26,040 Canon Sales (A) 56,000 1,203 Central Glass (A) 38,000 220 Central Japan Railway 750 7,374 Chiba Bank 171,000 1,517 Chiyoda (A) 195,000 4,528 Chubu Electric Power (A) 58,800 1,470 Chugai Pharmaceutical 54,200 981 Citizen Watch (A) 12,100 114 COMSYS Holdings (A) 21,000 299 Credit Saison (A) 24,600 1,357 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 3 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Dai Nippon Printing (A) 440,000 $ 7,943 Daicel Chemical Industries (A) 183,000 1,537 Daido Steel (A) 385,000 3,899 Daiichi Sankyo 54,001 1,229 Daimaru (A) 289,000 4,247 Dainippon Screen Manufacturing (A) 63,000 666 Daito Trust Construction (A) 25,300 1,317 Daiwa House Industry 121,000 2,092 Daiwa Securities Group (A) 777,000 10,398 Denki Kagaku Kogyo (A) 282,000 1,257 Denso 57,500 2,266 Dowa Mining* 21,000 250 East Japan Railway (A) 265 1,958 Eisai (A) 20,000 870 Electric Power Development 25,080 793 Fanuc 58,700 5,637 Fuji Electric Holdings 418,000 2,274 Fuji Television Network 82 204 Fujikura 179,000 2,022 Fujitsu (A) 111,000 934 Gunma Bank 141,000 1,064 Gunze 479,000 3,227 Hankyu Department Stores (A) 346,000 3,193 Hankyu Holdings* 111,000 642 Hirose Electric (A) 22,600 3,170 Hitachi 481,000 3,396 Hitachi Chemical 12,100 347 Hitachi Construction Machinery 14,500 381 Hokkaido Electric Power (A) 49,581 1,061 Honda Motor (A) 129,910 8,026 Hoya 94,300 3,796 Ibiden (A) 23,400 1,180 Isetan (A) 65,000 1,413 Ishikawajima-Harima Heavy Industries (A)* 338,000 1,069 Itochu (A) 1,163,000 9,965 Japan Steel Works* 745,800 5,076 Japan Tobacco (A) 1,965 6,895 JFE Holdings (A) 224,600 9,042 Joyo Bank 166,000 1,168 JS Group (A) 15,300 328 JSR 12,600 374 Kamigumi (A) 29,000 231 Kaneka (A) 12,000 144 Kansai Electric Power (A) 466,844 10,347 Kao (A) 421,000 11,061 Kawasaki Heavy Industries (A)* 363,200 1,271 KDDI (A) 265 1,413 Kinden 112,000 1,013 Kirin Brewery (A) 86,000 1,168 Kobe Steel 2,541,000 9,626 Kokuyo (A) 73,700 1,109 Komatsu (A) 224,800 4,277 Komori 61,000 1,419 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Konica Minolta Holdings (A) 11,500 $ 146 Kubota (A) 241,000 2,594 Kyocera (A) 4,200 371 Kyushu Electric Power (A) 130,300 2,932 Lawson (A) 81,300 3,052 Leopalace21* 47,300 1,772 Makita (A) 88,000 2,707 Marubeni (A) 871,300 4,549 Marui (A) 475,800 9,376 Matsui Securities* 25,900 358 Matsushita Electric Industrial (A) 183,470 4,066 Matsushita Electric Works (A) 52,000 623 Millea Holdings (A) 280 5,529 Mitsubishi (A) 1,028,100 23,352 Mitsubishi Electric (A) 1,214,100 10,280 Mitsubishi Estate 335,900 7,943 Mitsubishi Gas Chemical 168,000 2,045 Mitsubishi Heavy Industries (A) 771,400 3,661 Mitsubishi Materials (A) 338,000 1,802 Mitsubishi Rayon (A) 308,000 2,516 Mitsubishi UFJ Financial Group 2,131 32,503 Mitsubishi UFJ Securities (A) 93,000 1,490 Mitsui (A) 410,000 5,914 Mitsui Chemicals (A) 368,000 2,701 Mitsui Engineering & Shipbuilding (A)* 314,000 1,017 Mitsui Mining & Smelting 34,000 237 Mitsui OSK Lines (A) 911,000 6,146 Mitsui Sumitomo Insurance 426,000 5,780 Mitsui Trust Holdings 841,100 12,268 Mizuho Financial Group (A) 1,631 13,312 Murata Manufacturing (A) 15,400 1,040 NEC (A) 1,020,000 7,149 NGK Spark Plug (A) 224,600 5,225 NHK Spring (A) 40,000 505 Nidec (A) 18,800 1,539 Nikon (A) 122,000 2,182 Nintendo (A) 26,100 3,893 Nippon Electric Glass 120,000 2,980 Nippon Express (A) 180,000 1,019 Nippon Kayaku 381,000 3,365 Nippon Mining Holdings 277,000 2,331 Nippon Oil (A) 441,500 3,454 Nippon Paper Group 57 246 Nippon Shokubai (A) 103,000 1,221 Nippon Steel 820,000 3,169 Nippon Telegraph & Telephone 1,943 8,316 Nippon Yusen Kabushiki Kaisha (A) 200,000 1,219 Nishi-Nippon City Bank (A)* 547,000 2,976 Nishimatsu Construction (A) 427,000 1,744 Nissan Motor (A) 798,500 9,461 Nisshin Seifun Group (A) 64,900 662 Nisshin Steel (A) 312,000 1,079 Nisshinbo Industries 151,000 1,688 Nissin Food Products (A) 42,900 1,323 -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nitori (A) 9,200 $ 478 Nitto Denko (A) 67,600 5,724 Nomura Holdings (A) 63,700 1,417 NSK 67,000 580 NTN (A) 61,000 482 NTT Data 363 1,741 NTT DoCoMo (A) 5,099 7,520 Obayashi (A) 235,000 1,908 Odakyu Electric Railway (A) 177,000 1,094 OJI Paper 44,000 270 Oki Electric Industry (A) 878,000 2,798 Onward Kashiyama 62,000 1,093 Oriental Land (A) 67,300 3,896 ORIX (A) 79,940 24,831 Osaka Gas (A) 1,692,000 6,138 Promise (A) 14,200 857 Rakuten (A) 132 120 Ricoh (A) 91,000 1,774 Rinnai (A) 43,200 1,292 Rohm 38,100 4,020 Santen Pharmaceutical (A) 17,200 413 Sanwa Shutter (A) 44,000 288 Sega Sammy Holdings 139,800 5,664 Seino Transportation (A) 110,000 1,145 Seven & I Holdings (A) 26,000 1,027 Shimachu (A) 46,700 1,464 Shimamura (A) 39,700 4,606 Shimizu (A) 140,000 1,017 Shin-Etsu Chemical 40,200 2,177 Shinko Securities* 207,000 1,146 Shinsei Bank 1,256,000 8,771 Shiseido 23,000 427 Showa Denko (A) 251,000 1,113 Showa Shell Sekiyu (A) 268,700 3,043 SMC (A) 29,200 4,539 Softbank (A) 338,100 9,886 Sompo Japan Insurance (A) 221,000 3,197 Sony (A) 34,200 1,580 Sumitomo (A) 531,000 7,543 Sumitomo Chemical 281,000 2,282 Sumitomo Electric Industries (A) 98,000 1,549 Sumitomo Forestry (A) 66,000 667 Sumitomo Heavy Industries (A) 449,000 4,304 Sumitomo Metal Industries (A) 1,183,000 5,063 Sumitomo Mitsui Financial Group (A) 2,706 29,814 Sumitomo Osaka Cement 352,000 1,280 Sumitomo Realty & Development (A) 66,000 1,824 Sumitomo Rubber Industries (A) 156,000 2,033 Sumitomo Trust & Banking 180,000 2,078 Suzuken (A) 53,000 1,658 Suzuki Motor (A) 211,500 4,849 T&D Holdings (A) 15,300 1,193 Taisei (A) 107,000 511 Taisho Pharmaceutical (A) 21,000 422 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Taiyo Nippon Sanso 23,000 $ 170 Takashimaya (A) 211,000 3,208 Takeda Pharmaceutical 238,600 13,569 Takefuji 13,900 873 Tanabe Seiyaku 23,000 254 TDK 10,900 819 Teijin 76,000 504 Tobu Railway (A) 214,000 1,123 Toda (A) 172,000 770 Tohoku Electric Power (A) 58,100 1,253 Tokuyama (A) 92,000 1,556 Tokyo Broadcasting System 124,500 3,334 Tokyo Electric Power 317,200 7,890 Tokyo Electron (A) 103,100 7,095 Tokyo Gas (A) 1,126,000 4,915 Tokyo Steel Manufacturing 133,900 2,712 Tokyu (A) 328,000 2,204 Toray Industries (A) 128,000 1,046 Toshiba (A) 429,000 2,487 Toyo Suisan Kaisha 229,000 3,488 Toyoda Gosei (A) 55,800 1,220 Toyota Industries 95,600 3,897 Toyota Motor (A) 515,800 28,109 Trend Micro (A) 62,500 2,188 Ube Industries 390,000 1,147 Uni-Charm (A) 12,700 622 UNY (A) 70,000 1,117 Ushio (A) 48,600 1,155 Wacoal Holdings (A) 79,500 1,078 Yahoo! Japan 4,786 2,912 Yamada Denki (A) 125,650 14,451 Yamaha (A) 87,500 1,543 Yamaha Motor (A) 88,700 2,188 Yamato Transport (A) 187,800 3,836 ----------- 790,606 ----------- LUXEMBOURG -- 0.5% Arcelor 348,329 13,712 SES Global FDR 240,090 3,795 ----------- 17,507 ----------- MEXICO -- 0.6% America Movil ADR, Ser L 382,750 13,113 Fomento Economico Mexicano ADR* 94,900 8,699 ----------- 21,812 ----------- NETHERLANDS -- 4.6% ABN AMRO Holding 438,301 13,122 Aegon 541,714 10,010 Akzo Nobel 85,611 4,537 Buhrmann 101,882 1,800 Corio+* 4,181 269 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 5 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CSM 92,016 $ 2,869 DSM 104,151 4,749 Euronext 51,400 4,233 European Aeronautic Defense and Space* 154,195 6,488 Heineken 54,876 2,080 Heineken Holding 65,662 2,260 ING Groep 908,529 35,842 James Hardie Industries 78,211 529 Koninklijke Ahold* 49,406 388 Koninklijke Philips Electronics 31,823 1,074 Randstad Holdings* 16,171 957 Reed Elsevier 57,850 828 Royal Dutch Shell, Cl A (GBP) 91,651 2,858 Royal Dutch Shell, Cl A 831,156 25,971 Royal Dutch Shell, Cl B 306,735 9,960 Royal KPN 857,512 9,651 Royal Numico 29,814 1,317 Unilever 263,592 18,278 VNU 32,200 1,046 Wereldhave+ 2,148 241 Wolters Kluwer* 14,975 373 ----------- 161,730 ----------- NEW ZEALAND -- 0.1% Fletcher Building 47,657 259 Telecom of New Zealand 1,339,027 4,534 ----------- 4,793 ----------- NORWAY -- 0.8% DNB (A) 249,500 3,355 Norsk Hydro (A) 78,520 10,864 Norske Skogindustrier (A) 77,142 1,305 Orkla 14,800 733 ProSafe (A) 6,300 329 Statoil (A) 318,150 9,162 Yara International (A) 45,300 719 ----------- 26,467 ----------- PHILIPPINES -- 0.0% Philippine Long Distance Telephone 21,400 805 ----------- PORTUGAL -- 0.5% Banco BPI 678,300 4,827 Banco Comercial Portugues 538,167 1,713 Banco Espirito Santo 91,600 1,668 Cimpor Cimentos de Portugal* 58,760 392 Energias de Portugal* 1,371,811 5,379 Sonae 1,403,686 2,293 ----------- 16,272 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SINGAPORE -- 0.6% DBS Group Holdings 103,000 $ 1,037 Flextronics International* 257,000 2,660 Jardine Cycle & Carriage 17,000 117 Keppel 31,000 264 Keppel Land 50,000 153 SembCorp Industries 1,405,000 3,039 Singapore Airlines 31,000 268 Singapore Petroleum* 74,000 238 Singapore Telecommunications 4,963,714 8,129 United Overseas Bank 593,900 5,726 United Overseas Land 634,000 1,132 ----------- 22,763 ----------- SOUTH AFRICA -- 0.5% Harmony Gold Mining* 84,500 1,371 Sanlam 745,380 1,995 Sasol 335,617 12,685 Telkom 45,860 1,195 ----------- 17,246 ----------- SOUTH KOREA -- 1.4% Honam Petrochemical 23,600 1,433 Hyundai Motor 85,060 7,152 Industrial Bank of Korea 49,730 921 INI Steel 59,040 1,759 Kookmin Bank 18,900 1,632 POSCO 8,800 2,269 Samsung Electronics 17,485 11,337 Samsung Electronics GDR (2) 41,084 13,424 Shinhan Financial Group 212,400 9,509 ----------- 49,436 ----------- SPAIN -- 3.0% Acciona 5,027 782 ACS Actividades Cons y Serv 309,900 12,023 Altadis 91,928 4,116 Antena 3 de Television 14,683 378 Banco Bilbao Vizcaya Argentaria 583,047 12,150 Banco Santander Central Hispano 932,183 13,594 Ebro Puleva 5,884 107 Endesa 592,452 19,100 Fomento de Construcciones y Contratas 8,427 623 Iberdrola 268,828 8,667 Inditex 47,251 1,821 Repsol 726,714 20,614 Telefonica (A) 688,237 10,786 Union Fenosa* 30,187 1,146 ----------- 105,907 ----------- -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SWEDEN -- 1.6% Alfa Laval 49,700 $ 1,336 Atlas Copco, Cl A (A) 503,000 14,134 Axfood (A) 5,250 130 Eniro 25,400 293 Getinge 10,600 172 Nordea Bank (A) 294,204 3,633 Sandvik 46,900 2,771 SAS* 78,200 1,094 Scania, Cl B 10,700 464 Skandinaviska Enskilda Banken (A) 93,000 2,303 SKF, Cl B (A) 270,742 4,412 Ssab Svenskt Stal, Cl A 83,058 3,975 Svenska Cellulosa, Cl B 37,600 1,650 Svenska Handelsbanken, Cl A 88,500 2,459 Swedish Match 85,500 1,168 Telefonaktiebolaget LM Ericsson, Cl B (A) 2,450,253 9,306 TeliaSonera (A) 264,500 1,585 Trelleborg, Cl B (A) 84,000 1,956 Volvo, Cl A (A) 3,000 137 Volvo, Cl B (A) 86,500 4,046 ----------- 57,024 ----------- SWITZERLAND -- 5.6% ABB 324,777 4,088 Adecco 22,300 1,243 Ciba Specialty Chemicals 2,166 129 Clariant 30,972 479 Compagnie Financiere Richemont 142,287 6,805 Credit Suisse Group 412,560 23,093 Geberit 1,198 1,141 Holcim 217,137 17,247 Nestle 101,740 30,128 Novartis 730,194 40,509 Phonak Holding 3,131 178 Rieter Holding 935 372 Roche Holding 153,798 22,843 STMicroelectronics 13,864 256 Swatch Group 10,435 362 Swatch Group, Cl B 2,862 479 Swiss Reinsurance 95,761 6,675 Swisscom 9,063 2,930 UBS 172,195 18,869 Xstrata 342,351 11,063 Zurich Financial Services 30,855 7,231 ----------- 196,120 ----------- TAIWAN -- 0.3% Chunghwa Telecom ADR 186,039 3,645 Compal Electronics 1,247,700 1,274 HON HAI Precision Industry GDR 115,369 1,429 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Taiwan Semiconductor Manufacturing 993,297 $ 1,965 Taiwan Semiconductor Manufacturing ADR 196,876 1,981 ----------- 10,294 ----------- THAILAND -- 0.0% PTT 199,200 1,198 ----------- UNITED KINGDOM -- 17.5% 3i Group 28,651 467 Aggreko 646,000 3,544 Alliance Unichem 37,671 585 Amec 159,700 1,116 Anglo American 197,919 7,614 ARM Holdings 191,111 442 AstraZeneca 457,606 23,018 AstraZeneca (SEK) (A) 103,236 5,192 Aviva 746,566 10,353 BAA 190,350 2,737 BAE Systems 1,254,100 9,153 Balfour Beatty 42,796 276 Barclays 1,323,845 15,465 Barratt Developments 244,670 4,494 Bellway 139,342 2,985 Berkeley Group Holdings 68,084 1,399 BG Group 376,400 4,698 BHP Billiton 1,554,375 28,350 BOC Group 381,716 10,243 Bovis Homes Group 17,845 278 BP 3,967,653 45,491 Brambles Industries 147,043 1,099 British Airways* 338,693 2,075 British American Tobacco 893,353 21,601 British Land 85,519 1,841 British Sky Broadcasting 211,231 1,979 BT Group 181,628 699 Bunzl 290,000 3,436 Burberry Group 161,047 1,295 Cadbury Schweppes 1,492,918 14,812 Capita Group 33,765 269 Carnival 39,260 1,927 Cobham 327,600 1,068 Cookson Group 22,331 200 Daily Mail & General Trust 14,809 178 Diageo 193,954 3,050 Electrocomponents 201,400 978 Emap 36,681 561 Enterprise Inns 66,814 1,103 First Choice Holidays 37,678 141 Firstgroup 26,719 197 Friends Provident 1,327,770 4,802 Gallaher Group 12,122 177 GKN 66,847 386 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 7 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GlaxoSmithKline 1,320,463 $ 34,471 Great Portland Estates 144,300 1,226 GUS 200,623 3,671 Hammerson 13,785 297 Hanson 380,909 4,982 Hays 3,105,958 8,741 HBOS 1,015,803 16,932 Hilton Group 810,008 5,465 HSBC Holdings 1,396,956 23,383 IMI 115,400 1,133 Imperial Chemical Industries 222,880 1,338 Imperial Tobacco Group 594,839 17,612 Inchcape 16,603 751 Intercontinental Hotels Group 677,958 11,072 International Power 662,200 3,251 J Sainsbury 941,813 5,432 Johnston Press 23,739 200 Kelda Group 21,283 291 Kingfisher 256,900 1,067 Land Securities Group 9,355 313 Legal & General Group 268,218 661 Liberty International 15,003 306 Lloyds TSB Group 547,370 5,227 Man Group 38,181 1,632 Mitchells & Butlers 348,936 2,896 National Grid 774,613 7,692 Next 9,793 280 Northern Rock 72,134 1,481 Pearson 95,469 1,321 Persimmon 367,193 8,458 Prudential 13,744 159 Punch Taverns 286,994 4,194 Reckitt Benckiser 319,567 11,230 Reed Elsevier 1,484,623 14,215 Resolution 93,400 1,086 Rio Tinto 223,064 11,306 Rolls-Royce Group 543,221 4,315 Royal & Sun Alliance Insurance Group 2,481,546 5,929 Royal Bank of Scotland Group 1,164,895 37,845 SABMiller 178,817 3,523 Schroders 54,600 1,126 Scottish & Newcastle 133,203 1,201 Scottish & Southern Energy 95,683 1,879 Scottish Power 1,806,584 18,238 Severn Trent 27,619 535 Smiths Group 24,779 423 Sportingbet 882,500 5,740 Stagecoach Group 134,593 268 Standard Chartered 160,422 3,985 Tate & Lyle 363,353 3,599 Taylor Woodrow 621,975 4,359 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- Tesco 83,232 $ 476 Tomkins 242,159 1,412 Trinity Mirror 71,820 710 Unilever 434,008 4,434 United Business Media 48,473 610 United Utilities 158,774 1,899 Vodafone Group 20,873,993 43,629 Whitbread 290,180 5,970 Wimpey George 448,714 4,355 Wolseley 131,275 3,220 WPP Group 46,074 552 Yell Group 125,100 1,182 ----------- 616,960 ----------- Total Common Stock (Cost $2,330,495) ($ Thousands) 3,016,964 ----------- ASSET-BACKED SECURITIES -- 8.8% ABS Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (C) 5.499%, 09/15/33 1,800 1,815 ACE Securities, Ser 2003-NC1, Cl M (C) 5.598%, 07/25/33 2,100 2,110 ACE Securities, Ser 2003-OP1, Cl M1 (C) 5.518%, 12/25/33 800 805 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 (C) 5.518%, 01/25/34 700 701 Aegis Asset Backed Securities Trust, Ser 2004-5, Cl 1A1 (C) 5.008%, 10/25/13 1,277 1,277 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (C) 5.294%, 06/25/45 14,139 14,009 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (C) 5.718%, 03/25/33 1,424 1,432 Argent Securities, Ser 2003-W9, Cl M1 (C) 5.508%, 03/25/34 1,400 1,410 Asset Backed Funding Certificates, Ser 2005-AQ1, Cl A1B (G) 4.250%, 06/25/35 8,190 8,147 Banc of America Funding, Ser 2006-A, Cl 2A2 (C) 5.485%, 02/20/36 884 879 Bear Stearns NIM Trust, Ser 2005-AQ2N, Cl A1 (2) 5.500%, 09/25/35 315 313 Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A1 (C) 4.968%, 09/25/35 2,763 2,763 -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- Centex Home Equity, Ser 2004-B, Cl AF3 (G) 2.946%, 05/25/28 1,000 $ 986 Centex Home Equity, Ser 2004-D, Cl AV4 (C) 5.118%, 11/25/31 10,350 10,361 Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 3,748 3,723 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (C) 6.818%, 01/25/36 1,221 1,163 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (C) 5.198%, 03/25/33 3,859 3,866 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (C) 4.721%, 04/25/36 4,575 4,575 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (C) 4.908%, 04/25/36 9,736 9,736 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (C) 4.976%, 03/15/36 11,800 11,800 Countrywide Home Loans, Ser 2004-22, Cl A1 (C) 5.116%, 11/25/34 2,573 2,537 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (C) 5.168%, 04/20/36 8,912 8,837 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (C) 5.383%, 03/30/36 760 760 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (C) 5.483%, 03/30/36 490 490 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (C) 6.383%, 03/30/36 490 488 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (C) 5.218%, 12/25/32 2,438 2,444 First Franklin Mortgage Loan Asset, Ser 2004-FF2, Cl A3 (C) 5.018%, 03/25/34 4,259 4,258 First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (C) 5.038%, 05/25/35 6,000 6,002 First Franklin Mortgage Loan Asset, Ser 2005-FFA, Cl A2A (C) 4.928%, 03/25/25 1,366 1,367 First Franklin Mortgage Loan Asset, Ser 2005-FFH3, Cl 2A1 (C) 4.948%, 09/25/35 14,913 14,915 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- First Horizon Alternative Mortgage, Ser 2005-AA3, Cl 3A1 (C) 5.386%, 05/25/35 1,450 $ 1,437 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (C) 4.918%, 12/25/35 16,876 16,876 GSAA Home Equity NIM Trust, Ser 2006-3N, Cl 3 (2) 5.750%, 03/25/36 560 560 Home Equity Asset NIM Trust, Ser 2006-1, Cl 43 0.000%, 05/27/36 700 699 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (C) 5.461%, 10/25/34 1,340 1,352 Lehman XS Trust, Ser 2005-5N, Cl M4 (C) 6.568%, 11/25/35 1,850 1,752 Lehman XS Trust, Ser 2005-7N, Cl M71 (C) 6.568%, 12/25/35 1,075 991 Master Asset Backed Securities Trust, Ser 2002-OPT1, Cl M1 (C) 5.968%, 11/25/32 1,300 1,308 Master Asset Backed Securities Trust, Ser 2003-WMC2, Cl M1 (C) 5.518%, 08/25/33 952 954 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (C) 4.968%, 02/25/36 18,500 18,506 Merrill Lynch Mortgage Investors, Ser 2005-HE2, Cl A2A (C) 4.928%, 09/25/36 2,499 2,499 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A1 (C) 5.357%, 02/25/36 8,120 8,104 Morgan Stanley Capital I, Cl 2003-NC8, Cl M1 (C) 5.518%, 09/25/33 2,000 2,009 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (C) 4.450%, 08/25/34 5,200 5,161 New Century Home Equity Loan Trust, Ser 2005-A, Cl A1F (G) 4.359%, 08/25/35 4,011 3,990 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (C) 4.938%, 10/25/35 11,160 11,162 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (2) 6.500%, 03/25/34 2,184 2,198 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (2) (C) 6.500%, 10/25/34 2,432 2,433 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 9 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (2) (C) 7.318%, 01/25/36 230 $ 195 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (2) (C) 7.318%, 01/25/36 500 401 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM3 (B) (C) (E) 4.680%, 05/25/06 12,035 12,035 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (C) 5.280%, 03/25/35 7,647 7,574 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (C) 5.218%, 03/25/36 1,000 1,000 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 (C) 4.898%, 03/25/36 18,579 18,581 Residential Asset Securities, Ser 2006- EMX2, Cl A1 (C) 4.650%, 02/25/36 8,400 8,400 Residential Asset Securities, Ser 2006-KS2, Cl A1 (C) 4.888%, 03/25/36 16,000 15,995 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) 0.000%, 05/25/36 8,000 8,000 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (C) 0.000%, 05/25/36 4,800 4,800 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (2) 5.000%, 05/25/35 1,776 1,771 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (2) (C) 5.048%, 02/25/35 4,968 4,972 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (C) 4.948%, 10/25/35 3,409 3,409 Structured Asset Securities, Ser 2005-NC1, Cl A2 (G) 3.920%, 02/25/35 1,567 1,552 Structured Asset Securities, Ser 2005-S1, Cl B3 (2) (C) 7.318%, 03/25/35 850 852 Wachovia Asset Securization, Ser 2004-HM1A, Cl A (B) (C) (E) 4.860%, 05/26/06 12,030 12,031 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (C) 3.450%, 06/25/19 4,600 4,539 ----------- Total Asset-Backed Securities (Cost $312,326) ($ Thousands) 312,067 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (D) -- 7.1% UNITED STATES -- 7.1% AIG Funding 4.630%, 04/10/06 10,000 $ 9,987 Bavaria TRR (B) 4.820%, 04/25/06 15,000 14,952 4.810%, 04/13/06 10,000 9,984 BellSouth 4.750%, 04/05/06 8,000 7,995 Brahms Funding (B) 4.780%, 04/06/06 20,000 19,987 Clipper Receivables (B) 4.800%, 04/26/06 25,000 24,917 Harwood Street Funding II (B) 4.810%, 04/21/06 16,000 15,957 Jupiter Securitization (B) 4.790%, 05/02/06 10,000 9,959 Klio III Funding (B) 4.800%, 04/18/06 20,000 19,955 Merrill Lynch 4.680%, 04/06/06 15,000 14,988 Mica Funding LLC (B) 4.730%, 04/05/06 20,000 19,990 Prudential 4.680%, 04/06/06 15,000 14,988 Sheffield Receivables (B) 4.780%, 04/07/06 14,000 13,989 Stratford Receivables (B) 4.800%, 04/04/06 11,000 10,995 Thames Asset Global Securities (B) 4.780%, 04/03/06 25,529 25,522 Toyota Motor Credit 4.579%, 04/04/06 15,000 14,992 ----------- Total Commercial Paper (Cost $249,157) ($ Thousands) 249,157 ----------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS (C) -- 4.0% UNITED STATES -- 4.0% FHLMC 5.861%, 02/01/36 1,681 1,691 5.589%, 10/01/35 2,892 2,900 FHLMC 30 Year TBA 5.500%, 04/15/35 7,000 6,834 FNMA 5.547%, 01/01/36 2,925 2,930 5.516%, 01/01/36 28 28 FNMA 15 Year TBA 5.000%, 04/30/20 65,000 63,355 FNMA 30 Year TBA 5.500%, 04/30/35 52,000 50,749 -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- GNMA 4.500%, 08/20/34 to 03/20/36 2,682 $ 2,677 4.375%, 06/20/33 522 524 4.000%, 02/20/35 402 402 3.750%, 02/20/34 9,442 9,266 ----------- Total U.S. Government Mortgage-Backed Obligations (Cost $141,843) ($ Thousands) 141,356 ----------- CORPORATE OBLIGATIONS (C) -- 2.1% UNITED STATES -- 2.1% Harrier Finance Funding LLC MTN (B) (E) 4.830%, 04/27/06 10,000 10,000 K2 LLC MTN (B) (E) 4.830%, 05/10/06 10,000 10,000 Liberty Lighthouse US Capital MTN (B) (E) 4.770%, 03/01/07 20,000 19,996 Links Finance LLC MTN (B) (E) 4.830%, 04/28/06 10,000 10,000 Residential Capital 6.875%, 06/30/15 (2) 265 276 6.000%, 02/22/11 700 695 Shinsei Finance Cayman (2) 6.418%, 01/29/49 1,740 1,713 Theta Funding MTN (B) (E) 4.840%, 05/05/06 10,000 10,000 Washington Mutual Preferred Funding (2) 6.534%, 03/15/49 1,900 1,841 Whistlejacket Funding LLC MTN (B) (E) 4.840%, 05/15/06 10,000 10,000 ----------- Total Corporate Obligations (Cost $74,611) ($ Thousands) 74,521 ----------- U.S. TREASURY OBLIGATIONS -- 1.2% UNITED STATES -- 1.2% U.S. Treasury Bills (D) 4.556%, 04/27/06 1,150 1,147 4.554%, 05/04/06 1,500 1,494 4.406%, 04/13/06 1,750 1,748 4.404%, 04/20/06 1,950 1,946 4.360%, 04/06/06 850 850 4.207%, 05/25/06 (1) 15,610 15,509 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. Treasury Inflationary Index Notes 3.875%, 04/15/29 8,201 $ 10,525 3.500%, 01/15/11 7,062 7,465 ----------- Total U.S. Treasury Obligations (Cost $40,914) ($ Thousands) 40,684 ----------- CASH EQUIVALENTS** -- 1.1% Barclays Global Investors Funds, Prime Money Market Fund, 4.69% (B) 100,010 100 SEI Daily Income Trust, Prime Obligations Fund, Cl A, 4.39%++ 33,528,750 33,529 The Reserve Funds, Primary Fund, Cl 8, 4.62% (B) 4,070,625 4,071 ----------- Total Cash Equivalents (Cost $37,700) ($ Thousands) 37,700 ----------- PREFERRED STOCK -- 0.6% AUSTRALIA -- 0.0% News 44,855 742 ----------- BRAZIL -- 0.3% Braskem, Cl A 116,000 861 Petroleo Brasileiro 236,000 4,675 Suzano Bahia Sul Papel e Celulose 126,000 860 Usinas Siderurgicas de Minas Gerais, Cl A 54,200 2,004 ----------- 8,400 ----------- GERMANY -- 0.3% Fresenius Medical Care (A) 12,150 1,378 Porsche (A) 9,867 9,433 Volkswagen 7,943 435 ----------- 11,246 ----------- Total Preferred Stock (Cost $13,155) ($ Thousands) 20,388 ----------- Number of Warrants ----------- EQUITY LINKED WARRANTS (I) -- 0.5% TAIWAN -- 0.2% Hon Hai Precision Industry* 1,355 8,388 THAILAND -- 0.3% High Tech Computer* 399 10,913 ----------- Total Equity Linked Warrants (Cost $13,193) ($ Thousands) 19,301 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 11 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Face Amount ($ Thousands)(3) Market Value Description Shares/Contracts ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.5% UNITED STATES -- 0.5% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 5,966 $ 1,531 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 5,310 1,273 FHLMC DN 4.740%, 06/12/06 (H) 23 23 4.590%, 08/04/06 (1) 2,755 2,712 FNMA CMO STRIPS, Ser 2006-10, Cl FD 5.168%, 03/25/36 8,291 8,328 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 2,173 553 FNMA DN 4.650%, 06/12/06 (1) 877 869 4.634%, 07/19/06 (H) 1,135 1,119 ----------- Total U.S. Government Agency Obligations (Cost $16,100) ($ Thousands) 16,408 ----------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 19,000 1,233 ----------- Total Exchange Traded Fund (Cost $1,120) ($ Thousands) 1,233 ----------- Number of Rights --------- RIGHTS -- 0.0% FRANCE -- 0.0% Vinci, Expires 04/12/06* 126 269 ----------- Total Rights (Cost $0) ($ Thousands) 269 ----------- PURCHASED OPTIONS -- 0.0% UNITED STATES -- 0.0% 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95 320 174 U.S. 10 Year Treasury Note Futures Put, Expires 05/26/06, Strike Price $106 117 66 ----------- Total Purchased Options (Cost $320) ($ Thousands) 240 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(3) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) (F) -- 13.0% Bank of America 4.800%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $115,046,000 (collateralized by various U.S. Government Obligations, ranging in par value $74,363,721- $87,221,200, 4.500%-5.500%, 09/01/18-02/01/35; with total market value $117,300,000) 115,000 $ 115,000 Barclays Capital 4.780%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $98,039,037 (collateralized by a U.S. Government Obligation, par value $101,751,000, 0.000%, 08/07/06; with total market value $99,960,182) 98,000 98,000 Deutsche Bank 4.800%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $12,004,800 (collateralized by various U.S. Government Obligation ranging in par value $90,000- $7,910,000, 0.000%-11.750%, 05/22/06-12/11/25; with total market value $12,240,189) 12,000 12,000 Goldman Sachs 4.850%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $140,056,583 (collateralized by various U.S. Government Obligations, ranging in par value $2,376,975- $222,675,976, 6.000%, 12/01/34- 02/01/36; with total market value $142,800,000) 140,000 140,000 Merrill Lynch. 4.820%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $94,037,757 (collateralized by various U.S. Government Obligations, ranging in par value $1,050,000- $5,000,000, 0.000%, 09/01/15- 03/01/36; with total market value $95,882,673) 94,000 94,000 ----------- Total Repurchase Agreements (Cost $459,000) ($ Thousands) 459,000 ----------- Total Investments -- 124.3% (Cost $3,689,934) ($ Thousands) 4,389,288 ----------- -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) -------------------------------------------------------------------------------- WRITTEN OPTIONS -- 0.0% UNITED STATES -- 0.0% 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95 (320) $ (148) U.S. Treasury Note Futures Put, Expires 05/26/06, Strike Price $109 (68) (77) ----------- Total Written Options (Premiums received $301) ($ Thousands) $ (225) Percentages are based on Net Assets of $3,531,387 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of March 31, 2006. + Real Estate Investment Trust. ++ See Note 3 in Notes to Financial Statements. (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 March 31, 2006, the total value of these securities was $16,457, representing 0.47% of the Fund's net assets. (3) In U.S. dollars unless otherwise indicated. (A) This security or a partial position of this security is on loan at March 31, 2006. The total value of securities on loan at March 31, 2006 was $694,749 ($ Thousands) (See Note 8). (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of March 31, 2006 was $743,439 ($ Thousands) (See Note 8). (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2006. (D) The rate reported is the effective yield at time of purchase. -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- (E) This security, which was purchased with cash collateral, 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. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the rate in effect or effective yield on March 31, 2006. The coupon on a step bond changes on a specified date. (H) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (I) Security considered illiquid. The total value of the security as of March 31, 2006 was $19,301 ($ Thousands) and represented 0.5% of Net Assets. See Note 2 discussing Equity-Linked Warrants. ADR -- American Depositary Receipt Cl -- Class CMO -- Collateralized Mortgage Obligation DN -- Discount Note FDR -- Fiduciary Depositary Receipt FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt GNMA -- Government National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin SEK -- Swedish Krona Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.
Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at March 31, 2006 (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------------------------------------------------- Unrealized Currency to Currency to Appreciation/ Settlement Deliver Receive (Depreciation) Date (Thousands) (Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------------- 4/21/06 USD 19,312 AUD 26,564 $ (381) 4/21/06 USD 26,511 CHF 34,146 (332) 4/21/06 USD 2,543 DKK 15,560 (17) 4/3/06-4/21/06 USD 121,812 EUR 99,912 (788) 4/21/06 USD 91,045 GBP 51,894 (1,025) 4/21/06 USD 6,232 HKD 48,322 (3) 4/3/06-4/21/06 USD 93,392 JPY 10,805,491 (1,569) 4/21/06 USD 2,832 NOK 18,521 (6) 4/21/06 USD 630 NZD 996 (23) 4/21/06 USD 8,474 SEK 64,870 (139) 4/21/06 USD 3,148 SGD 5,086 (2) 4/4/06 EUR 252 USD 305 1 4/3/06 JPY 2,083 EUR 15 -- 4/3/06-4/4/06 JPY 23,786 USD 202 1 ------- $(4,283) ======= CURRENCY LEGEND AUD -- Australian Dollar GBP -- British Pound Sterling NZD -- New Zealand Dollar CHF -- Swiss Franc HKD -- Hong Kong Dollar SEK -- Swedish Krona DKK -- Danish Krone JPY -- Japanese Yen SGD -- Singapore Dollar EUR -- Euro NOK -- Norwegian Krone USD -- U.S. Dollar
-------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 13 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Concluded) March 31, 2006
Futures -- A summary of the open futures contracts held by the Fund at March 31, 2006, is as follows (See Note 2 in Notes to Financial Statements): ---------------------------------------------------------------------------------------------------------------------------- Unrealized Number of Contract Appreciation/ Contracts Value Expiration (Depreciation) Type of Contract Long (Short) ($ Thousands) Date ($ Thousands) ---------------------------------------------------------------------------------------------------------------------------- 90-Day Eurodollar (85) $(20,144) June 2006 $ 16 90-Day Eurodollar (85) (20,131) September 2006 17 90-Day Eurodollar (85) (20,133) December 2006 22 90-Day Eurodollar (85) (20,144) March 2007 25 90-Day Eurodollar (85) (20,152) June 2007 25 90-Day Eurodollar (85) (20,158) September 2007 23 90-Day Eurodollar (85) (20,158) December 2007 23 90-Day Eurodollar (85) (20,157) March 2008 22 90-Day Eurodollar (85) (20,154) June 2008 22 90-Day Eurodollar (85) (20,149) September 2008 21 90-Day Eurodollar (85) (20,142) December 2008 21 90-Day Eurodollar (85) (20,139) March 2009 22 90-Day Eurodollar (85) (20,133) June 2009 22 90-Day Eurodollar (85) (20,127) September 2009 23 90-Day Eurodollar (85) (20,118) December 2009 24 90-Day Eurodollar (83) (19,642) March 2010 24 90-Day Eurodollar (86) (20,347) June 2010 26 90-Day Eurodollar (86) (20,340) September 2010 28 90-Day Eurodollar (86) (20,333) December 2010 29 90-Day Eurodollar (54) (12,766) March 2011 10 Amsterdam Index 129 14,631 April 2006 224 CAC40 10 Euro 617 38,961 April 2006 524 DAX Index 212 38,493 June 2006 462 DJ Euro Stoxx 50 Index 267 12,265 June 2006 245 FTSE 100 Index 1,111 115,047 June 2006 78 Hang Seng Index 75 7,641 April 2006 2 IBEX 35 Plus Index 99 14,229 April 2006 70 MSCI Sing Index 81 2,996 April 2006 33 OMX Index 1,442 19,249 April 2006 336 S&P/MIB Index 62 14,002 June 2006 (46) SPI 200 Index 249 22,811 June 2006 747 Topix Index 822 120,350 June 2006 8,034 U.S. 5 Year Treasury Note (246) (25,692) June 2006 71 U.S. 10 Year Treasury Note (32) (3,405) June 2006 36 U.S. Long Treasury Bond (79) (8,623) June 2006 85 ------- $11,346 ======= Swaps -- At March 31, 2006, the following Total Return Swap agreements were outstanding (See Note 2 to Notes to Financial Statements): ------------------------------------------------------------------------------------------------------------------------------------ Notional Unrealized Expiration Amount Appreciation Description Date ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 15 basis point times the notional amount. The return on the spread is (the period starting spread minus the period ending spread) times duration times the notional amount divided 10000. (Counterparty: Bank of America) 07/31/06 $55,000 $ 4 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 15 basis point times the notional amount. The return on the spread is (the period starting spread minus the period ending spread) times duration times the notional amount divided 10000. (Counterparty: Bank of America) 07/31/06 85,000 74 Receive payment on the monthly reset spread from Lehman Brothers - CMBS Aaa Index times the notional amount. The return on the spread is (the period starting spread minus the period ending spread) times duration times the notional amount divided 10000. (Counterparty: Goldman Sachs) 09/01/06 50,000 62 Receive payment on the monthly reset spread from Swiss Market Index - CHF 3M RTI Libor plus 32bps. The return on the spread is (current Index Value / Base Index Value multiply by 100 plus (Current Date - Reset Date) / 365 x Dividend Yield. (Counterparty: JPMorgan Chase) 01/12/07 33,348 926 ------ $1,066 ======
-------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 Emerging Markets Equity Fund March 31, 2006 -------------------------------------------------------------------------------- [BAR CHART OMITTED] SECTOR WEIGHTINGS+: 19.0% Financials 16.3% Information Technology 14.8% Energy 12.3% Telecommunication Services 9.5% Consumer Discretionary 9.1% Basic Materials 8.6% Industrials 5.0% Consumer Staples 3.1% Utilities 1.5% Healthcare 0.8% Short-Term Investments +Percentages based on total investments. Includes investments held as collateral for securities on loan (See Note 8). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 94.0% ARGENTINA -- 0.1% IRSA Inversiones y Representaciones GDR* 101,000 $ 1,197 ----------- BERMUDA -- 0.1% Credicorp 37,600 996 ----------- BRAZIL -- 9.9% All America Latina Logistica 19,000 1,182 Aracruz Celulose ADR 21,343 1,130 Arcelor Brasil 143,167 2,220 Banco Bradesco ADR 158,800 5,703 Banco Itau Holding Financeira ADR 186,010 5,538 Brasil Telecom Participacoes 8,100 294 Brasil Telecom Participacoes ADR 145,410 5,277 Braskem ADR 56,300 839 Centrais Eletricas Brasileiras 34,932,900 781 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 141,950 5,983 Cia de Bebidas das Americas ADR 2,000 86 Cia de Saneamento Basico do Estado de Sao Paulo 29,507,100 2,596 Cia de Saneamento Basico do Estado de Sao Paulo ADR 19,000 418 Cia Siderurgica Nacional ADR 123,500 3,880 Cia Vale do Rio Doce* 37,000 1,793 Cia Vale do Rio Doce ADR 478,469 21,566 CPFL Energia ADR 28,800 1,210 Empresa Brasileira de Aeronautica ADR 34,910 1,286 Grendene 156,200 1,267 Localiza Rent A CAR 27,900 467 Lojas Renner 32,800 1,783 Natura Cosmeticos 33,500 398 Petroleo Brasileiro ADR 550,957 45,010 Rossi Residencial* 57,000 680 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tele Norte Leste Participacoes 143,968 $ 3,135 Tele Norte Leste Participacoes ADR 416,900 6,954 Telesp Celular Participacoes ADR* 86,200 369 Tim Participacoes ADR 176,300 6,528 Tractebel Energia 47,200 398 Uniao de Bancos Brasileiros GDR 159,200 11,766 Vivo Participacoes ADR* 109,600 469 Votorantim Celulose e Papel ADR 107,600 1,741 ----------- 142,747 ----------- CHILE -- 1.1% Banco Santander Chile ADR 44,600 1,945 Centros Comerciales Sudamericanos 2,177,459 5,556 Cervecerias Unidas ADR 9,100 227 Cia Cervecerias Unidas ADR 9,477 236 CorpBanca 365,700,900 2,027 Empresa Nacional de Electricidad ADR 124,900 3,769 Empresas CMPC 22,400 648 Enersis ADR 100,222 1,189 Masisa ADR* 41,400 395 United Breweries 42,600 213 ----------- 16,205 ----------- CHINA -- 3.4% Baidu.com ADR* 1,000 56 Byd 371,500 768 China Construction Bank 7,778,000 3,634 China Petroleum & Chemical 15,232,300 8,833 China Shenhua Energy 1,082,000 1,903 China Shipping Development 5,516,000 4,336 China Telecom 21,370,000 7,573 Huadian Power International 6,453,400 1,726 Huaneng Power International 1,846,800 1,261 Hunan Non-Ferrous Metal* 124,000 46 PetroChina 9,793,000 10,222 Sinotrans 2,934,000 1,182 Weiqiao Textile 1,050,400 1,591 Yanzhou Coal Mining 6,812,700 5,926 ----------- 49,057 ----------- COLOMBIA -- 0.3% BanColombia ADR 121,000 4,223 ----------- CROATIA -- 0.1% Pliva D.D. GDR (A) 92,200 1,775 ----------- CZECH REPUBLIC -- 0.3% Cesky Telecom GDR* 213,123 4,527 CEZ 13,602 472 ----------- 4,999 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 15 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- EGYPT -- 0.9% Commercial International Bank GDR* 250,000 $ 3,047 Mobinil-Egyptian Mobile Services 41,616 1,193 Orascom Construction Industries 121,101 4,973 Orascom Construction Industries GDR 8,854 725 Orascom Telecom Holding* 35,917 1,975 Orascom Telecom Holding GDR 13,283 727 ----------- 12,640 ----------- HONG KONG -- 2.7% ASM Pacific Technology 404,500 2,413 Brilliance China Automotive Holdings 2,649,000 393 China Mengniu Dairy 4,094,000 4,564 China Mobile Hong Kong 1,958,500 10,285 China Overseas Land & Investment 4,980,000 3,401 CNOOC 1,761,000 1,362 Cosco Pacific 2,158,000 4,311 Denway Motors 8,298,800 3,235 Giordano International 1,928,000 1,068 Global Bio-Chem Technology Group 1,369,300 719 Johnson Electric Holdings 2,489,500 2,326 Panva Gas Holdings* 527,000 250 Parkson Retail Group 26,500 80 Samson Holding* 1,316,000 801 Shanghai Industrial Holdings 1,063,000 2,233 Texwinca Holdings 487,600 374 Yue Yuen Industrial Holdings 596,500 1,756 ----------- 39,571 ----------- HUNGARY -- 1.1% Gedeon Richter 28,989 5,837 Magyar Telekom 585,009 2,616 Mol Magyar Olaj-es Gazipari 10,447 1,070 OTP Bank 88,162 3,055 OTP Bank GDR 50,527 3,512 ----------- 16,090 ----------- INDIA -- 7.9% Andhra Bank 141,522 257 Bank of Baroda 18,374 95 Bharat Heavy Electricals 88,006 4,437 Bharat Petroleum 277,943 2,657 Bharti Televentures* 987,654 9,150 GAIL India 216,932 1,549 GAIL India GDR (A) 28,500 1,222 Hindalco Industries 525,000 2,149 Hindalco Industries GDR (A) (B) 1,171,700 4,640 Hindustan Petroleum 672,759 4,875 ICICI Bank 156,508 2,817 ICICI Bank ADR 88,000 2,436 Indian Overseas Bank 1,451,707 3,158 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Industrial Development Bank of India 82,144 $ 144 Infosys Technologies 43,862 2,934 Infosys Technologies ADR* 53,900 4,197 ITC 1,288,237 5,635 Jet Airways India 7,900 176 Larsen & Toubro 44,679 2,439 Mahanagar Telephone Nigam 846,230 3,490 Mahanagar Telephone Nigam ADR 33,250 276 Mahindra & Mahindra 279,394 3,931 Maruti Udyog 238,830 4,686 Oil & Natural Gas 219,457 6,458 Ranbaxy Laboratories 209,251 2,027 Reliance Communication Ventures* 253,148 1,755 Reliance Energy Ventures* 247,500 241 Reliance Industries 247,500 4,422 Satyam Computer Services 616,758 11,752 State Bank of India GDR (A) 71,200 3,791 Steel Authority of India 492,964 921 Tata Consultancy Services 79,367 3,409 Tata Iron & Steel 147,523 1,776 Tata Motors 453,412 9,488 Union Bank Of India 57,057 156 ----------- 113,546 ----------- INDONESIA -- 2.7% Astra International 7,930,000 9,810 Bank Central Asia 5,145,500 2,365 Bank Mandiri Persero 4,663,900 867 Bank Rakyat Indonesia 5,555,500 2,371 Bumi Resources 45,933,500 4,589 Gudang Garam 1,267,500 1,464 Indofood Sukses Makmur 12,050,000 1,175 Indosat 4,276,000 2,416 Medco Energi Internasional 7,555,200 3,450 Telekomunikasi Indonesia 13,463,100 10,220 ----------- 38,727 ----------- ISRAEL -- 1.8% Bank Hapoalim 1,474,181 6,833 Bank Leumi Le-Israel 417,700 1,520 Bezeq Israeli Telecommunication 1,618,094 2,115 Check Point Software Technologies* 98,700 1,976 Lipman Electronic Engineering* 34,600 941 Makhteshim-Agan Industries 482,779 2,512 Super-Sol 309,250 851 Taro Pharmaceuticals Industries 53,700 749 Teva Pharmaceutical Industries ADR 196,316 8,084 ----------- 25,581 ----------- -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- LUXEMBOURG -- 0.3% Tenaris ADR 26,000 $ 4,698 Ternium ADR* 10,800 306 ----------- 5,004 ----------- MALAYSIA -- 3.2% AMMB Holdings Berhad 1,521,300 1,169 Berjaya Sports Toto 576,300 732 Commerce Asset Holdings 1,880,700 3,217 Gamuda 1,774,400 1,811 Genting 396,700 2,564 IOI 1,197,200 4,323 Kuala Lumpur Kepong 429,400 1,096 Malakoff 2,300,800 5,716 Malayan Banking 888,500 2,654 Malaysia International Shipping (Foreign Market) 1,134,700 2,896 Maxis Communications 360,200 851 MK Land Holdings 533,800 107 Proton Holdings 245,000 379 Resorts World 1,792,800 6,425 Sime Darby 3,970,600 6,576 Telekom Malaysia 1,105,400 2,806 Tenaga Nasional 1,100,000 2,509 Titan Chemicals 1,794,500 663 ----------- 46,494 ----------- MEXICO -- 5.2% Alfa 624,300 3,561 America Movil ADR, Ser L 345,886 11,850 Cemex 215,432 1,404 Cemex ADR 85,939 5,610 Coca-Cola Femsa ADR 124,350 4,128 Consorcio ARA 872,800 3,886 Controladora Comercial Mexicana 1,901,600 3,252 Desc, Ser B* 486,413 562 Embotelladoras Arca 358,900 827 Empresas ICA Sociedad Controladora ADR* 30,433 1,114 Fomento Economico Mexicano ADR* 36,482 3,344 Grupo Aeroportuario del Pacifico ADR* 10,400 332 Grupo Aeroportuario del Sureste ADR 56,170 1,875 Grupo Continental 997,200 1,675 Grupo Financiero Banorte 1,633,364 3,884 Grupo Mexico, Ser B 194,900 551 Grupo Televisa ADR 387,120 7,704 Industrias, Ser B* 75,000 193 Kimberly-Clark de Mexico, Ser A 810,231 2,768 Organizacion Soriana, Ser B* 37,900 161 Telefonos de Mexico ADR, Ser L 288,500 6,485 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TV Azteca 3,671,900 $ 2,316 Urbi Desarrollos Urbanos* 669,400 5,065 Wal-Mart de Mexico, Ser V 843,218 2,226 ----------- 74,773 ----------- MOROCCO -- 0.1% Maroc Telecom 135,000 1,960 ----------- PAKISTAN -- 0.0% Pakistan Telecommunication 507,500 554 ----------- PANAMA -- 0.1% Copa Holdings, Cl A* 37,600 859 ----------- PERU -- 0.0% Cia de Minas Buenaventura ADR 19,000 469 ----------- PHILIPPINES -- 0.5% ABS-CBN Broadcasting PDR 1,275,900 293 Banco de Oro Universal Bank* 77,100 1,056 Bank of the Philippine Islands 1,428,989 1,746 Manila Electric* 1,230,700 493 Philippine Long Distance Telephone ADR 39,300 1,476 SM Investments 246,490 1,103 SM Prime Holdings 4,582,000 708 ----------- 6,875 ----------- POLAND -- 0.3% Opoczno* 994 11 Powszechna Kasa Oszczednosci Bank Polski 236,700 2,527 Telekomunikacja Polska 243,456 1,655 ----------- 4,193 ----------- RUSSIA -- 7.1% Comstar United Telesystems GDR* 123,133 862 Evraz Group GDR 63,700 1,624 LUKOIL ADR 632,220 52,601 Mechel Steel Group OAO ADR 37,700 969 MMC Norilsk Nickel ADR* 66,279 6,409 Mobile Telesystems ADR 242,844 8,038 Novolipetsk Steel GDR* 223,508 4,582 OAO Gazprom ADR (B) 114,370 10,465 Polyus Gold ADR* 60,579 2,363 Sberbank GDR* 38,771 5,945 Surgutneftegaz ADR 54,700 4,116 Unified Energy System GDR 20,000 1,366 Vimpel-Communications ADR* 69,100 2,972 ----------- 102,312 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 17 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SINGAPORE -- 0.1% Goodpack 765,000 $ 884 ----------- SOUTH AFRICA -- 9.0% ABSA Group 187,387 3,526 Alexander Forbes 533,061 1,293 AngloGold Ashanti 55,188 2,936 Aspen Pharmacare Holdings 213,295 1,495 Aveng 370,502 1,412 Barloworld 478,963 10,318 Bidvest Group 158,981 2,940 FirstRand 3,596,898 11,670 Foschini 135,747 1,283 Gold Fields 177,576 3,871 Gold Fields ADR 179,300 3,941 Impala Platinum Holdings 17,890 3,381 Imperial Holdings 358,607 9,948 JD Group 324,105 4,911 Kumba Resources 110,293 1,995 Mittal Steel South Africa 137,286 1,410 MTN Group 377,441 3,765 Murray & Roberts Holdings 218,685 983 Nampak 1,127,722 3,064 Naspers 173,472 3,532 Nedbank Group 249,075 5,190 Network Healthcare Holdings 698,650 1,026 Sanlam 3,472,705 9,295 Sappi 586,808 8,759 Sasol 491,296 18,569 Shoprite Holdings 41,360 151 Standard Bank Group 275,371 3,788 Steinhoff International Holdings 309,549 1,115 Telkom 98,566 2,569 Tiger Brands 87,091 2,457 ----------- 130,593 ----------- SOUTH KOREA -- 16.6% Daegu Bank 122,710 2,292 Daelim Industrial 61,120 4,844 Daewoo Shipbuilding & Marine Engineering 377,610 10,007 Hankook Tire 367,380 5,558 Hynix Semiconductor* 47,490 1,412 Hyundai Development 58,600 2,681 Hyundai Mobis 36,320 3,215 Hyundai Motor 145,990 12,275 Industrial Bank of Korea 62,520 1,158 Kangwon Land 44,904 887 Kookmin Bank 326,870 28,225 Kookmin Bank ADR 79,974 6,839 Korea Electric Power 152,990 6,424 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Korea Telecom Freetel* 9,110 $ 242 Korean Air Lines 20,970 669 Korean Reinsurance 128,846 1,399 KT 8,250 332 KT ADR 210,400 4,481 KT&G 38,590 2,176 Kumho Tire 150,400 2,546 Kumho Tire GDR* 45,100 382 LG Chem 66,130 3,005 LG Electronics 97,310 7,892 LG Philips LCD* 143,440 6,466 LG Philips LCD ADR* 40,200 913 Lotte Shopping* 1,320 541 Lotte Shopping GDR* 218,589 4,477 POSCO 21,569 5,561 POSCO ADR 86,160 5,497 Pusan Bank 182,960 2,674 S-Oil 44,320 3,403 Samsung Electronics 90,346 58,579 Samsung Fire & Marine Insurance 57,690 7,629 Samsung SDI 16,538 1,345 Shinhan Financial Group 157,170 7,036 Shinsegae 26,565 12,112 SK 44,620 2,994 SK Telecom 8,653 1,714 SK Telecom ADR (B) 204,920 4,834 Ssangyong Motor* 533,910 3,456 STX Pan Ocean 3,470,000 1,898 ----------- 240,070 ----------- TAIWAN -- 12.7% Accton Technology* 1,043,649 561 Acer 1,571,000 2,890 Advanced Semiconductor Engineering 10,041,910 9,499 Asustek Computer 952,000 2,581 Benq 2,054,300 1,706 Catcher Technology 502,354 4,520 Cathay Financial Holding 3,312,180 5,919 China Motor 1,687,130 1,716 China Steel 724,000 678 Chinatrust Financial Holding 11,963,382 8,497 Chunghwa Telecom 4,768,000 8,991 Chunghwa Telecom ADR 108,200 2,120 Compal Electronics 8,587,754 8,772 Delta Electronics 933,000 2,171 Elan Microelectronics 742,704 381 Eva Airways 6,755,786 2,560 Far Eastern Textile 603,720 423 First Financial Holding 5,067,350 3,622 Formosa Chemicals & Fibre 1,241,000 2,000 Foxconn Technology 566,200 3,603 -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Fubon Financial Holding 1,204,000 $ 1,020 High Tech Computer 361,832 9,900 HON HAI Precision Industry 3,170,997 19,639 Largan Precision 39,000 633 Lite-On Technology 1,753,000 2,431 Makalot Industrial 144,895 201 MediaTek 288,473 3,338 Merry Electronics 41,000 131 Nien Hsing Textile 1,327,000 822 Nien Made Enterprises 1,225,726 1,532 Novatek Microelectronics 161,637 1,148 Optimax Technology 1,084,533 1,206 Powerchip Semiconductor 2,418,000 1,416 Quanta Computer 3,594,578 5,903 Shin Kong Financial Holding 1,222,000 1,005 Siliconware Precision Industries 1,291,000 1,681 SinoPac Financial Holdings 6,981,230 3,539 Sunplus Technology 1,231,568 1,696 Taiwan Cement 296,000 228 Taiwan Mobile 2,132,632 2,031 Taiwan Semiconductor Manufacturing 12,351,230 24,433 Taiwan Semiconductor Manufacturing ADR 889,039 8,944 Uni-President Enterprises 211,000 129 United Microelectronics 21,043,529 13,292 Wan Hai Lines 626,000 388 Wistron* 586,000 702 Yageo* 6,713,440 2,575 ----------- 183,173 ----------- THAILAND -- 3.1% Advanced Info Service 3,221,900 7,580 Bangkok Bank 1,478,300 4,409 Bangkok Land NVDR* 269,284,200 5,469 Charoen Pokphand Foods 7,446,100 1,043 CP Seven Eleven 2,914,500 502 Delta Electronics Thai 1,229,400 623 Kasikornbank NVDR 1,225,800 2,159 Krung Thai Bank 7,169,100 2,009 Land and Houses NVDR 12,423,400 2,603 PTT 1,093,000 6,576 Siam Cement 449,200 2,957 Siam Commercial Bank 3,226,700 5,226 Siam Makro 187,700 393 Thai Oil 1,924,100 3,265 ----------- 44,814 ----------- TURKEY -- 3.1% Akbank 728,243 6,116 Arcelik 160,280 1,322 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GSD Holding 2,250,000 $ 2,659 Haci Omer Sabanci Holding 719,826 5,082 Hurriyet Gazetecilik 322,525 1,235 KOC Holding* 675,000 3,587 Tupras Turkiye Petrol Rafine 86,385 1,522 Turk Hava Yollari* 515,000 2,832 Turkcell Iletisim Hizmet 525,868 3,486 Turkcell Iletisim Hizmet ADR 40,600 677 Turkiye Garanti Bankasi 795,181 2,955 Turkiye Is Bankasi 1,518,824 12,643 ----------- 44,116 ----------- UNITED KINGDOM -- 0.2% Anglo American 95,020 3,656 ----------- UNITED STATES -- 0.0% Caspian Services* 79,500 375 ----------- Total Common Stock (Cost $967,074) ($ Thousands) 1,358,528 ----------- PREFERRED STOCK -- 3.7% BRAZIL -- 3.2% Braskem, Cl A 430,200 3,191 Caemi Mineracao e Metalurgica 592,700 1,046 Centrais Eletricas Brasileiras, Cl B 65,206,300 1,436 Cia de Bebidas das Americas ADR 33,200 1,426 Cia de Tecidos do Norte de Minas - Coteminas 19,117,100 1,911 Cia Energetica de Minas Gerais 158,425,093 7,200 Cia Paranaense de Energia 173,960,100 1,738 Duratex 28,055 538 Investimentos Itau 1,671,777 7,240 Klabin 493,100 1,084 Petroleo Brasileiro 21,400 1,709 Tam 278,100 5,252 Telecomunicacoes de Sao Paulo 70,076 1,730 Telemar Norte Leste 341,234 8,859 Telemig Celular Participacoes 710,518,710 1,696 ----------- 46,056 ----------- SOUTH KOREA -- 0.5% Hyundai Motor 73,890 3,954 Hyundai Motor (Second Preferred) 55,460 3,065 ----------- 7,019 ----------- Total Preferred Stock (Cost $32,875) ($ Thousands) 53,075 ----------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 19 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENTS** -- 0.1% UNITED STATES -- 0.1% Barclays Global Investors Funds, Prime Money Market Fund, 4.69% (C) 100,000 $ 100 SEI Daily Income Trust, Prime Obligations Fund, Cl A, 4.39%+ -- -- The Reserve Funds, Primary Fund, Cl 8, 4.62% (C) 675,718 676 ----------- Total Cash Equivalents (Cost $776) ($ Thousands) 776 ----------- Number of Rights --------- RIGHTS -- 0.0% TURKEY -- 0.0% GSD Holdings, Expires 04/04/06 2,250 585 ----------- Total Rights (Cost $567) ($ Thousands) 585 ----------- DEBENTURE BOND -- 0.0% BRAZIL -- 0.0% Companhia Vale do Rio Doce* 0.000%, 09/30/49 8 -- ----------- Total Debenture Bond (Cost $0) ($ Thousands) -- ----------- REPURCHASE AGREEMENT (C) (D) -- 0.7% Goldman Sachs 4.850%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $10,004,042 (collateralized by a U.S. Government Obligation, par value $10,947,126, 5.500%, 04/01/32; with total market value $10,200,001) $10,000 10,000 ----------- Total Repurchase Agreement (Cost $10,000) ($ Thousands) 10,000 ----------- Total Investments -- 98.5% (Cost $1,011,292) ($ Thousands) $1,422,964 =========== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,444,148 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of March 31, 2006. + See Note 3 in Notes to Financial Statements. (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 March 31, 2006, the total value of these securities was $11,428 ($ Thousands), representing 0.79% of the Fund's net assets. (B) This security or a partial position of this security is on loan at March 31, 2006. The total value of securities on loan at March 31, 2006 was $10,177 ($ Thousands) (See Note 8). (C) This security was purchased with cash collateral held from securities lending. The total value of such securities as of March 31, 2006 was $10,776 ($ Thousands) (See Note 8). (D) Tri-Party Repurchase Agreement. ADR -- American Depositary Receipt Cl -- Class GDR -- Global Depositary Receipt NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 International Fixed Income Fund March 31, 2006 -------------------------------------------------------------------------------- [BAR CHART OMITTED] SECTOR WEIGHTINGS+: 56.0% Government 21.9% Financials 8.5% Asset-Backed Securities 5.6% U.S. Treasury Obligations 1.8% Utilities 1.5% Telecommunication Services 1.0% U.S. Government Agency Obligations 1.0% Short-Term Investments 0.7% Consumer Discretionary 0.4% Consumer Staples 0.4% Information Technology 0.3% Basic Materials 0.3% Healthcare 0.3% Energy 0.2% Industrials 0.1% Time Deposit 0.0% Certificates of Deposit +Percentages based on total investments. Includes investments held as collateral for securities on loan (See Note 8). Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 76.2% AUSTRALIA -- 0.5% Government of Australia 6.000%, 02/15/17 5,242 $ 3,911 AUSTRIA -- 2.1% Republic of Austria (H) 3.800%, 10/20/13 13,103 15,929 Telekom Finanzmanagement 5.000%, 07/22/13 1,100 1,362 --------- 17,291 --------- BELGIUM -- 2.2% Kingdom of Belgium, Ser 31 5.500%, 03/28/28 12,160 17,854 --------- CANADA -- 0.6% Bell Canada MTN 5.000%, 02/15/17 774 650 Canada Treasury Bill (C) 3.518%, 05/04/06 2,000 1,708 Government of Canada 4.500%, 06/01/15 190 166 Province of Ontario 1.875%, 01/25/10 JPY 170,000 1,478 YPG Holdings MTN 5.250%, 02/15/16 1,500 1,264 --------- 5,266 --------- CAYMAN ISLANDS -- 0.7% BES Finance 6.250%, 05/17/11 EUR 1,000 1,329 MUFG Capital Fin 1 (D) 6.346%, 07/29/49 280 283 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Mizuho Financial Group 8.375%, 12/29/49 80 $ 85 4.750%, 04/15/14 (D) EUR 1,380 1,710 Resona Preferred Global Securites (D) (H) 7.191%, 07/30/49 818 853 Yorkshire Power Finance 7.250%, 08/04/28 GBP 750 1,616 --------- 5,876 --------- DENMARK -- 2.7% Danske Bank MTN, Ser E (D) 5.875%, 03/26/15 1,000 1,326 Kingdom of Denmark 5.000%, 11/15/13 118,000 20,674 --------- 22,000 --------- FINLAND -- 0.7% Government of Finland 4.250%, 07/04/15 4,680 5,885 --------- FRANCE -- 4.4% Caisse Nationale des Autoroutes 4.500%, 03/28/18 1,500 1,895 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 600 742 Government of France 5.750%, 10/25/32 11,540 17,846 4.000%, 04/25/55 3,880 4,715 3.500%, 04/25/15 7,341 8,688 Veolia Environnement 5.875%, 06/27/08 1,740 2,208 --------- 36,094 --------- GERMANY -- 8.5% Aries Vermogensverwalting Registered 9.600%, 10/25/14 1,000 1,248 Bayer (D) 5.000%, 07/29/05 400 441 Bundesobligation 2.500%, 10/08/10 5,510 6,378 Bundesschatzanweisungen (A) 2.500%, 09/22/06 15,000 18,120 Deutsche Bundesrepublik 5.250%, 01/04/08 4,995 6,242 5.000%, 07/04/12 4,050 5,258 4.750%, 07/04/34 6,887 9,380 3.750%, 01/04/15 6,321 7,643 Deutsche Pfandbriefbank 4.500%, 01/15/18 2,400 3,021 Henkel Kgaa (D) 5.375%, 11/25/04 400 459 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 21 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- KFW 2.050%, 02/16/26 JPY 1,332,000 $ 11,194 Landwirtschaftliche Rentenbank 1.375%, 04/25/13 JPY 70,000 581 --------- 69,965 --------- GUERNSEY -- 0.3% Credit Suisse Group Finance 6.375%, 06/07/13 1,500 2,073 --------- IRELAND -- 0.0% BOI Capital Funding No. 2 (D) (H) 5.750%, 12/31/49 300 287 --------- ITALY -- 2.5% Buoni Poliennali Del Tesoro 5.750%, 02/01/33 10,170 15,139 Sanpaolo IMI MTN, Ser E 6.375%, 04/06/10 4,300 5,691 --------- 20,830 --------- JAPAN -- 11.2% Abbott Japan 1.050%, 11/06/08 120,000 1,016 Development Bank of Japan 1.600%, 06/20/14 840,000 7,050 Government of Japan 10 Year Bond, Ser 242 1.200%, 09/20/12 567,300 4,719 Government of Japan 20 Year Bond, Ser 48 2.500%, 12/21/20 674,400 6,155 Government of Japan 20 Year Bond, Ser 82 2.100%, 09/20/25 1,278,000 10,941 Government of Japan 30 Year Bond, Ser 21 2.300%, 12/20/35 987,000 8,470 Government of Japan 5 Year Bond, Ser 39 0.800%, 09/20/09 604,400 5,080 Government of Japan 5 Year Bond, Ser 52 0.800%, 12/20/10 1,015,250 8,430 Government of Japan CPI Linked Bond, Ser 4 0.500%, 06/10/15 1,410 11 Government of Japan CPI Linked Bond, Ser 5 0.800%, 09/10/15 2,693,504 22,703 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Japan Finance for Municipal Enterprises 1.550%, 02/21/12 1,613,000 $ 13,767 1.350%, 11/26/13 323,000 2,683 Sumitomo Mitsui Banking 5.625%, 10/15/15 (D) (H) 415 403 4.375%, 10/27/14 (D) EUR 830 1,018 --------- 92,446 --------- LUXEMBOURG -- 0.6% Glencore Finance Europe 5.375%, 09/30/11 530 658 Telecom Italia Capital 5.250%, 11/15/13 211 200 Telecom Italia Finance MTN, Ser E 6.375%, 04/20/06 2,040 2,472 Tyco International Group 6.500%, 11/21/31 GBP 316 598 6.000%, 11/15/13 600 602 --------- 4,530 --------- MEXICO -- 3.2% Mexican Bonos, Ser M 9.000%, 12/22/11 26,000 2,452 Mexican Bonos, Ser M20 10.000%, 12/05/24 111,800 11,478 Mexican Bonos, Ser MI10 9.500%, 12/18/14 52,800 5,152 8.000%, 12/19/13 84,847 7,534 --------- 26,616 --------- NETHERLANDS -- 4.9% Arena, Ser 2003-1, Cl A2 (D) 4.300%, 05/19/55 9,000 11,075 BMW Finance MTN 5.000%, 08/06/18 700 893 E.ON International Finance MTN, Ser E 5.750%, 05/29/09 3,515 4,510 EADS Finance MTN, Ser E 4.625%, 03/03/10 2,130 2,649 Government of Netherlands 7.500%, 01/15/23 796 1,378 3.750%, 07/15/09 7,610 9,299 ING Bank MTN, Ser E 5.500%, 01/04/12 1,000 1,303 ING Groep MTN, Ser E (D) 4.176%, 06/29/49 700 819 Koninklijke Philips Electronic 5.750%, 05/16/08 950 1,197 Saecure, Ser A2 (D) 5.710%, 11/25/07 6,000 7,508 --------- 40,631 --------- -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- NEW ZEALAND -- 2.9% Government of New Zealand, Ser 709 7.000%, 07/15/09 37,650 $ 23,781 --------- PANAMA -- 0.1% Republic of Panama 6.700%, 01/26/36 1,020 1,018 --------- PERU -- 0.2% Republic of Peru 7.350%, 07/21/25 1,819 1,787 --------- POLAND -- 2.7% Republic of Poland 6.250%, 10/24/15 29,238 9,835 6.000%, 11/24/10 37,870 12,201 --------- 22,036 --------- RUSSIA -- 0.3% Russia Federation Registered (G) 5.000%, 03/31/30 2,130 2,337 --------- SPAIN -- 2.2% Government of Spain 6.150%, 01/31/13 10,505 14,558 5.150%, 07/30/09 2,800 3,565 --------- 18,123 --------- SUPRA-NATIONAL -- 0.3% European Investment Bank 5.375%, 10/15/12 EUR 1,000 1,323 3.125%, 10/15/15 EUR 1,000 1,142 --------- 2,465 --------- SWEDEN -- 1.5% Kingdom of Sweden, Ser 1043 5.000%, 01/28/09 65,815 8,858 Svenska Handelsbanken MTN, Ser E (D) 4.194%, 12/29/49 840 982 Swedbank MTN, Ser E (D) 5.750%, 03/17/16 750 1,335 Vattenfall Treasury (D) 5.250%, 06/29/49 1,100 1,310 --------- 12,485 --------- UNITED KINGDOM -- 14.3% AIB UK 1 (D) 4.781%, 12/17/49 EUR 350 407 Abbey National Treasury Services 5.375%, 12/30/09 700 1,236 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Aviva (D) 5.700%, 09/29/49 EUR 1,000 $ 1,289 BSKYB Finance UK (H) 5.625%, 10/15/15 USD 919 883 Bank of Scotland MTN, Ser E 6.125%, 02/05/13 EUR 1,630 2,226 5.500%, 10/29/12 EUR 2,390 3,142 Barclays Bank MTN, Ser E 5.750%, 09/14/26 500 951 British Telecommunications 5.750%, 12/07/28 200 340 Chester Asset Receivables 6.125%, 10/15/10 EUR 4,260 5,638 Friends Provident (D) 6.875%, 11/21/19 750 1,441 HBOS MTN, Ser E (D) 5.125%, 10/29/49 EUR 700 886 Halifax MTN, Ser E 6.375%, 04/03/08 500 892 Holmes Financing No. 4, Ser 2A (D) 5.050%, 07/15/06 EUR 4,000 4,864 Imperial Tobacco Finance MTN, Ser E 6.250%, 06/06/07 EUR 1,510 1,884 Lloyds TSB Bank (D) 6.350%, 10/29/49 EUR 700 943 Lloyds TSB Bank MTN, Ser E 6.625%, 03/30/15 400 774 MBNA Europe Funding MTN, Ser E 4.500%, 01/23/09 EUR 1,000 1,236 Marks & Spencer MTN, Ser E 5.625%, 03/24/14 500 870 Mmo2 6.375%, 01/25/07 EUR 1,100 1,364 National Westminster Bank 6.500%, 09/07/21 400 804 Permanent Financing (D) 5.100%, 06/11/07 EUR 9,200 11,352 United Kingdom Treasury 8.000%, 12/07/15 9,400 20,924 5.000%, 03/07/12 3,961 7,071 5.000%, 09/07/14 4,990 9,005 4.750%, 06/07/10 5,890 10,332 4.250%, 06/07/32 5,090 8,990 4.000%, 03/07/09 7,199 12,324 United Utilities Water MTN, Ser E 6.625%, 11/08/07 EUR 2,180 2,768 Vodafone Group MTN, Ser E 5.900%, 11/26/32 500 915 4.250%, 05/27/09 EUR 1,500 1,835 --------- 117,586 --------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 23 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED STATES -- 6.6% AK Steel 7.875%, 02/15/09 420 $ 422 ASIF III Jersey 0.950%, 07/15/09 JPY 100,000 837 AT&T 9.750%, 11/15/31 640 764 9.050%, 11/15/11 375 405 Albritton Communications 7.750%, 12/15/12 410 412 Altria Group 7.750%, 01/15/27 350 400 American Express Credit MTN, Ser E 5.625%, 08/18/09 GBP 800 1,415 Bank of Tokyo - Mitsubishi UFJ (New York) 7.400%, 06/15/11 489 527 Barrick Gold Finance 4.875%, 11/15/14 642 605 CIT Group MTN, Ser E 5.500%, 12/15/08 GBP 750 1,314 Cablevision Systems, Ser B 8.000%, 04/15/12 430 419 Chase Credit Card Master Trust, Ser 1998-4 5.000%, 08/15/08 EUR 5,200 6,484 Cisco Systems 5.250%, 02/22/11 389 386 Citibank Credit Card Issuance Trust 5.375%, 04/10/13 EUR 6,800 8,787 Comcast 4.950%, 06/15/16 838 764 Conagra Foods 6.750%, 09/15/11 391 406 Core Invest Grade Trust 4.727%, 11/30/07 882 871 Directv Holdings 6.375%, 06/15/15 420 415 Duke Capital 8.000%, 10/01/19 585 683 Duke Energy Field Services 7.875%, 08/16/10 639 693 ERP Operating 5.250%, 09/15/14 415 402 Eastman Chemical 6.300%, 11/15/18 403 394 Ford Motor Credit 6.625%, 06/16/08 660 625 6.500%, 01/25/07 410 408 4.950%, 01/15/08 214 199 General Electric Capital MTN, Ser E 0.750%, 02/05/09 JPY 70,000 588 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- General Motors Acceptance 6.875%, 09/15/11 820 $ 764 Genworth Financial 1.600%, 06/20/11 JPY 160,000 1,335 HSBC Finance 6.125%, 01/22/10 GBP 600 1,077 Hertz (H) 8.875%, 01/01/14 400 415 ILFC E-Capital Trust I (D) (H) 5.900%, 12/21/65 270 262 Lamar Media 6.625%, 08/15/15 410 408 MBNA Credit Card Master Trust, Ser 2002-A2, Cl A 5.600%, 07/17/14 EUR 6,650 8,715 MGM Mirage 8.375%, 02/01/11 380 401 Midamerican Energy Holdings (H) 6.125%, 04/01/36 397 389 NRG Energy 7.375%, 02/01/16 400 409 Nevada Power (H) 6.650%, 04/01/36 200 199 Oracle/Ozark Holdings (H) 5.250%, 01/15/16 1,845 1,770 Pfizer 1.800%, 02/22/16 JPY 190,000 1,588 0.800%, 03/18/08 JPY 23,000 195 Progress Energy 7.100%, 03/01/11 963 1,021 Qwest Communications International 7.500%, 02/15/14 600 618 Toyota Motor Credit 0.750%, 06/09/08 JPY 180,000 1,524 Union Carbide 7.750%, 10/01/96 910 938 Valero Energy 6.875%, 04/15/12 759 804 Verizon New York, Ser B 7.375%, 04/01/32 1,000 1,014 Wachovia Capital Trust III (D) 5.800%, 03/15/11 687 675 Williams 7.875%, 09/01/21 370 398 --------- 54,544 --------- Total Global Bonds (Cost $635,008) ($ Thousands) 627,717 --------- COMMERCIAL PAPER (C) -- 6.5% UNITED STATES -- 6.5% ABN-Amro Finance 4.559%, 04/03/06 5,000 4,998 -------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- ANZ (Delaware) 4.612%, 04/17/06 5,000 $ 4,990 4.518%, 04/13/06 10,000 9,985 CBA Finance 4.734%, 05/22/06 5,000 4,967 4.656%, 04/28/06 2,200 2,192 CPI Funding (B) 4.901%, 04/03/06 107 107 Elysian Funding LLC (B) 4.867%, 04/27/06 79 79 4.767%, 04/28/06 527 523 4.706%, 04/10/06 263 261 HBOS Treasury Services 4.757%, 05/30/06 10,000 9,923 Harbour Funding (B) 4.763%, 04/06/06 391 391 Harwood Funding (B) 4.881%, 04/03/06 126 126 Svenska Handelsbanken 4.750%, 05/30/06 5,000 4,961 Thornburg Mortgage Capital Resource (B) 4.781%, 05/19/06 263 262 Transamerica Securities (B) 4.841%, 04/03/06 62 62 West Pac Backing 4.740%, 05/24/06 5,000 4,965 4.572%, 04/26/06 5,000 4,984 --------- Total Commercial Paper (Cost $53,776) ($ Thousands) 53,776 --------- U.S. TREASURY OBLIGATIONS -- 5.5% UNITED STATES -- 5.5% U.S. Treasury Bills (C) 4.544%, 05/04/06 10,000 9,961 4.519%, 06/08/06 10,000 9,918 4.510%, 05/18/06 10,000 9,944 U.S. Treasury Bond 5.375%, 02/15/31 1,000 1,053 U.S. Treasury Inflationary Index Notes 3.375%, 04/15/32 8 9 2.375%, 01/15/25 (A) 7,201 7,237 2.000%, 01/15/26 (A) 6,573 6,229 U.S. Treasury Notes 4.125%, 08/15/08 139 137 4.125%, 08/15/10 495 481 --------- Total U.S. Treasury Obligations (Cost $45,643) ($ Thousands) 44,969 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (D) -- 3.4% ITALY -- 0.4% Campidoglio Finance, Ser 1, Cl A 2.697%, 07/26/09 2,500 $ 3,027 --------- NETHERLANDS -- 0.7% Delphinus, Ser 1, Cl A2 4.122%, 04/25/93 4,000 4,897 Saecure, Ser 5, Cl A 2.728%, 05/25/42 953 1,153 --------- 6,050 --------- UNITED KINGDOM -- 1.5% RMAC, Ser NSP4, Cl A2 4.774%, 12/12/36 2,500 4,340 Sherwood Castle Funding, Ser 1, Cl A 2.874%, 08/15/10 3,500 4,252 The Mall Funding, Ser 1, Cl A 4.769%, 04/22/14 2,000 3,467 --------- 12,059 --------- UNITED STATES -- 0.8% Cheyne High Grade, Ser 2004-1A, Cl AM1 (B) (E) 4.740%, 11/10/06 263 263 Commodore, Ser 2003-2A, Cl A1MM (B) (E) 4.970%, 12/12/38 242 242 Duke Funding, Ser 2004-6B, Cl A1S1 (B) (E) 4.620%, 04/08/39 395 395 Harwood Street Funding II, Ser 2005-A1, Cl NOTE (B) (E) 4.868%, 05/25/06 526 526 MBNA Credit Card Master Trust, Ser A11, Cl A11 (D) 2.758%, 03/19/12 1,500 1,825 Orchard Structured Finance CDO, Ser 2003-1A, Cl A1MM (B) (E) 4.920%, 11/18/38 404 404 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM4 (B) (E) 4.858%, 05/25/35 376 376 RMAC, Ser 2004-NS3A, Cl A1 (B) (E) 4.720%, 05/12/25 94 94 SLM Student Loan Trust, Ser 2, Cl A5 (D) 2.704%, 01/25/24 1,000 1,217 Saturn Ventures II (B) (E) 4.730%, 08/07/06 491 491 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 25 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- TIAA Real Estate, Ser 2003-1A, Cl A1 (B) (E) 4.851%, 12/18/28 340 $ 340 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD (B) (E) 4.930%, 09/15/06 132 132 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME (B) (E) 4.930%, 09/15/06 79 79 Witherspoon CDO (B) (E) 4.786%, 09/15/06 369 369 --------- 6,753 --------- Total Asset-Backed Securities (Cost $27,803) ($ Thousands) 27,889 --------- CORPORATE OBLIGATIONS (B) -- 2.2% UNITED STATES -- 2.2% Allstate Life Global Funding II MTN (D) (E) 4.769%, 05/13/07 242 242 American General Finance (D) (E) 4.779%, 05/13/07 764 764 American General Finance MTN, Ser F 3.945%, 07/14/06 53 54 Bear Stearns EXL (D) 4.759%, 04/15/06 937 937 CIT Group MTN (D) 4.750%, 05/12/06 1,316 1,316 4.617%, 04/19/06 132 132 Caterpillar Financial Services MTN, Ser F (D) 4.680%, 07/10/06 263 263 Countrywide Financial Services MTN, Ser A (D) 4.960%, 09/13/06 974 974 4.770%, 11/03/06 553 553 Dekabank (D) (E) 4.614%, 02/16/07 974 974 Irish Life & Permanent MTN, Ser X (D) (E) 4.808%, 04/21/07 700 700 Islandsbanki (D) (E) 4.844%, 03/22/07 448 448 4.720%, 03/07/07 790 790 Jackson National Life Funding (D) (E) 4.630%, 02/01/07 1,159 1,159 Kaupthing Bank MTN (D) (E) 4.836%, 03/20/07 1,316 1,316 Landsbanki Islands (D) (E) 4.829%, 03/16/07 1,001 1,001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Liberty Lighthouse US Capital MTN (D) (E) 4.725%, 03/10/06 527 $ 526 Morgan Stanley EXL (D) 4.721%, 05/04/07 184 184 Morgan Stanley EXL, Ser S (D) 4.634%, 05/03/07 263 263 Natexis Banques (D) (E) 4.743%, 04/13/07 513 513 Nationwide Building Society (D) (E) 4.991%, 04/28/07 290 290 4.700%, 04/05/07 527 527 Nordbank (D) (E) 4.811%, 04/23/07 895 895 Northern Rock (D) (E) 4.650%, 05/03/07 542 542 Pacific Life Global Funding (D) (E) 4.740%, 04/13/07 395 395 Premium Asset Trust, Ser 2004-06 (D) (E) 4.857%, 06/30/06 500 501 Premium Asset Trust, Ser 2004-10 (D) (E) 4.759%, 05/15/07 737 737 SLM EXL, Ser S (D) (E) 4.570%, 03/15/07 579 579 Sigma Finance MTN (E) 4.680%, 11/09/06 284 284 Skandinav Enskilda Bank (D) (E) 4.772%, 03/19/07 579 579 --------- Total Corporate Obligations (Cost $18,438) ($ Thousands) 18,438 --------- STRUCTURED NOTE -- 1.0% SOUTH KOREA -- 1.0% Korea Structured Note (H) 5.250%, 12/10/10 8,200 8,178 --------- Total Structured Note (Cost $8,331) ($ Thousands) 8,178 --------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 1.0% UNITED STATES -- 1.0% FNMA 30 Year TBA 5.500%, 04/30/35 8,000 7,807 --------- Total U.S. Government Mortgage-Backed Obligations (Cost $7,831) ($ Thousands) 7,807 --------- -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7% UNITED STATES -- 0.7% FHLMC 4.750%, 01/15/13 EUR 1,000 $ 1,275 SLMA 3.800%, 06/17/10 EUR 3,500 4,238 --------- Total U.S. Government Agency Obligations (Cost $5,168) ($ Thousands) 5,513 --------- MASTER NOTES (B) (D) -- 0.2% UNITED STATES -- 0.2% Bank of America 4.945%, 04/03/06 1,316 1,316 Bear Stearns 4.995%, 04/03/06 632 632 --------- Total Master Notes (Cost $1,948) ($ Thousands) 1,948 --------- LOAN PARTICIPATIONS -- 0.2% Advantage Sales & Marketing Term Loan 0.000%, 03/29/13 500 500 Cablevision, Ser B Term Loan 0.000%, 03/14/13 500 503 John Maneely Term Loan 0.000%, 03/24/13 175 178 --------- Total Loan Participations (Cost $1,177) ($ Thousands) 1,181 --------- CERTIFICATES OF DEPOSIT -- 0.0% UNITED STATES -- 0.0% US Trust Company New York (B) (C) 4.760%, 03/13/07 211 211 --------- Total Certificates of Deposit (Cost $211) ($ Thousands) 211 --------- TIME DEPOSITS -- 0.1% UNITED STATES -- 0.1% Societe Generale (B) 4.900%, 04/03/06 527 527 --------- Total Time Deposits (Cost $527) ($ Thousands) 527 --------- PREFERRED STOCK -- 0.0% CAYMAN ISLANDS -- 0.0% XL Capital 9,000 200 --------- Total Preferred Stock (Cost $205) ($ Thousands) 200 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) (F) -- 0.7% Barclays Capital 4.790%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $3,044,462 (collateralized by various U.S. Government Obligations, ranging in par value $243,904- $625,872, 0.000%-5.900%, 05/18/06-08/04/25; with total market value $3,104,117) $3,043 $ 3,043 Lehman Brothers 4.800%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $3,065,820 (collateralized by various U.S. Government Obligations, ranging in par value $182,270- $331,445, 0.000%-10.700%, 10/17/08-11/23/35; with total market value $3,125,895) 3,065 3,065 --------- Total Repurchase Agreements (Cost $6,108) ($ Thousands) 6,108 --------- Total Investments -- 97.7% (Cost $812,174) ($ Thousands) $804,462 ========= Percentages are based on Net Assets of $823,624 ($ Thousands). (1) In local currency unless otherwise indicated. (A) This security or a partial position of this security is on loan at March 31, 2006. The total value of securities on loan at March 31, 2006 was $31,091 ($ Thousands) (See Note 8). (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of March 31, 2006 was $32,754 ($ 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 March 31, 2006. (E) This security, which was purchased with cash collateral, 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. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2006. The coupon on a step bond changes on a specified date. (H) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On March 31, 2006, the value of these securities amounted to $29,568 ($ Thousands), representing 3.59% of the net assets of the Fund. CDO -- Collateralized Debt Obligation Cl -- Class CPI -- Consumer Price Index EUR -- Euro EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling JPY -- Japanese Yen MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series SLMA -- Student Loan Marketing Association TBA -- To Be Announced USD -- U.S. Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 27 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2006
Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at March 31, 2006 (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------------------------------------------------- Unrealized Currency to Currency to Appreciation/ Settlement Deliver Receive (Depreciation) Date (Thousands) (Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------------- 5/23/06 CAD 6,137 AUD 7,280 $ (85) 5/23/06 NZD 12,367 AUD 10,840 191 5/12/06-5/23/06 USD 23,983 AUD 33,327 (247) 5/23/06 AUD 3,700 CAD 3,131 53 5/23/06 NZD 4,840 CAD 3,412 (17) 4/10/06-5/23/06 USD 38,083 CAD 43,622 (636) 5/23/06 EUR 8,880 CHF 13,744 (202) 5/23/06 GBP 2,990 CHF 6,779 28 5/23/06 USD 4,500 CHF 5,875 21 5/23/06 CHF 6,880 EUR 4,440 95 5/23/06 DKK 26,938 EUR 3,610 (1) 5/23/06 GBP 12,963 EUR 18,770 285 5/23/06 ISK 508,741 EUR 6,320 596 5/23/06 NOK 42,105 EUR 5,240 (79) 5/23/06 SEK 35,488 EUR 3,810 51 5/23/06 USD 113,489 EUR 94,132 718 5/23/06 CHF 13,859 GBP 6,130 (26) 5/23/06 EUR 5,190 GBP 3,580 (87) 4/27/06-5/23/06 USD 9,703 GBP 5,519 (127) 5/23/06 EUR 2,100 ISK 161,872 (298) 5/23/06 USD 12,851 ISK 825,732 (1,369) 5/23/06 EUR 5,340 JPY 739,035 (173) 5/23/06 USD 66,339 JPY 7,699,531 (618) 5/23/06-6/21/06 USD 10,360 KRW 10,021,722 (23) 4/21/06-5/23/06 USD 8,216 MXP 88,632 (99) 5/23/06 EUR 2,260 NOK 18,019 12 5/23/06 SEK 63,069 NOK 53,810 102 5/23/06 USD 935 NOK 6,200 14 5/23/06 AUD 8,280 NZD 9,490 (119) 5/23/06 USD 2,202 NZD 3,440 (107) 5/23/06 EUR 1,920 PLZ 7,541 (6) 4/6/06 USD 3,012 PLZ 9,808 6 5/23/06 EUR 9,240 SEK 86,237 (103) 4/24/06-5/23/06 USD 8,884 SEK 69,944 110 5/23/06 USD 5,714 SGD 9,244 11 5/12/06-5/23/06 AUD 26,671 USD 19,659 663 4/10/06-5/23/06 CAD 45,516 USD 39,545 475 5/23/06 CHF 15,213 USD 11,843 137 5/23/06 DKK 104,951 USD 17,132 60 5/23/06 EUR 349,553 USD 419,913 (4,112) 4/27/06-5/23/06 GBP 61,113 USD 107,424 1,391 5/23/06 ISK 476,203 USD 7,455 833 4/5/06-5/23/06 JPY 20,568,278 USD 176,343 698 5/23/06-9/18/06 KRW 9,584,377 USD 9,870 (41) 4/21/06-5/23/06 MXP 366,204 USD 34,474 938 5/23/06 NZD 61,431 USD 40,538 3,138 4/6/06-5/23/06 PLZ 83,052 USD 26,271 698 4/24/06-5/23/06 SEK 136,900 USD 17,463 (135) 5/23/06 SGD 1,931 USD 1,190 (6) 5/23/06 ZAR 15,914 USD 2,592 16 5/23/06 USD 2,438 ZAR 14,968 (15) ------ $2,609 ====== CURRENCY LEGEND AUD -- Australian Dollar GBP -- British Pound Sterling NOK -- Norwegian Krone USD -- U.S. Dollar CAD -- Canadian Dollar ISK -- Iceland Koruna NZD -- New Zealand Dollar ZAR -- South African Rand CHF -- Swiss Franc JPY -- Japanese Yen PLZ -- Polish Zloty DKK -- Danish Krone KRW -- South Korean Won SEK -- Swedish Krona EUR -- Euro MXP -- Mexican Peso SGD -- Singapore Dollar
-------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006
Futures -- A summary of the open futures contracts held by the Fund at March 31, 2006, is as follows (See Note 2 in Notes to Financial Statements): ---------------------------------------------------------------------------------------------------------------------------- Unrealized Number of Contract Appreciation/ Contracts Value Expiration (Depreciation) Type of Contract Long (Short) ($ Thousands) Date ($ Thousands) ---------------------------------------------------------------------------------------------------------------------------- Japan 10 Year Bond 1 $1,131 June 2006 $(12) U.S. 5 Year Treasury Note (9) (940) June 2006 6 U.S. 10 Year Treasury Note (397) (42,237) June 2006 489 U.S. Long Treasury Bond (77) (8,405) June 2006 246 ---- $729 ====
-------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 29 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund March 31, 2006 -------------------------------------------------------------------------------- [BAR CHART OMITTED] SECTOR WEIGHTINGS+: 69.8% Government 21.6% Financials 0.8% Short-Term Investments 16.3% Asset-Backed Securities 14.8% Energy 9.1% Basic Materials 9.1% Time Deposit 12.3% Telecommunication Services 12.3% Structured Note 16.3% Warrants 9.5% Consumer Discretionary 8.6% Certificates of Deposit +Percentages based on total investments. Includes investments held as collateral for securities on loan (See Note 8). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 79.7% ARGENTINA -- 6.6% Republic of Argentina 12.000%, 09/19/16 (B) EUR 1,000 $ 181 11.750%, 05/20/11 (B) EUR 10,000 1,887 10.500%, 11/14/49 (B) EUR 1,000 177 9.000%, 05/29/09 (B) EUR 3,125 1,078 9.000%, 06/20/49 EUR 2,650 944 8.500%, 07/01/04 (B) EUR 775 266 8.280%, 12/31/33 753 740 8.125%, 04/21/08 (B) EUR 4,200 1,452 8.000%, 02/25/02 (B) EUR 5,000 1,830 8.000%, 02/26/08 (B) EUR 1,000 364 7.820%, 12/31/33 659 769 7.625%, 03/31/05 (B) 1,120 291 7.625%, 08/11/07 2,325,000 424 7.000%, 03/18/49 1,475,000 273 4.889%, 08/03/12 (B) (F) 19,394 15,854 3.970%, 12/31/33 8,260 8,116 1.330%, 12/31/38 (M) 22,810 8,634 0.000%, 08/15/06 (B) EUR 12,000 254 0.000%, 09/27/06 (B) EUR 12,000 254 0.000%, 07/06/10 (B) EUR 1,000 341 0.000%, 12/15/35 (F) 16,626 1,538 0.000%, 12/15/35 (F) ARS 47,835 1,413 0.000%, 12/15/35 (F) EUR 3,700 403 Republic of Argentina MTN, Ser E (B) 10.000%, 01/03/07 EUR 3,000,000 584 9.250%, 07/20/04 EUR 7,475 2,669 9.000%, 05/24/49 EUR 1,400 478 8.750%, 02/04/49 EUR 1,375 510 8.500%, 07/30/10 EUR 2,000 683 7.625%, 08/11/07 ITL 2,255,000 405 --------- 52,812 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- BRAZIL -- 13.7% Federal Republic of Brazil 12.500%, 01/05/16 1,750 $ 814 11.000%, 08/17/40 28,802 36,953 10.125%, 05/15/27 4,605 5,970 10.500%, 07/14/14 (C) 1,850 2,303 8.875%, 10/14/19 5,175 5,977 8.875%, 04/15/24 3,700 4,277 8.750%, 02/04/25 8,845 10,128 8.000%, 01/15/18 (C) 11,556 12,521 7.125%, 01/20/37 4,380 4,293 7.875%, 03/07/15 (C) 12,815 13,834 5.188%, 04/15/09 (F) 4,146 4,144 Federal Republic of Brazil, Ser 15YR (C) (F) 5.250%, 04/15/09 669 668 Federal Republic of Brazil, Ser 18YR (C) (F) 5.250%, 04/15/12 7,697 7,692 --------- 109,574 --------- BULGARIA -- 0.5% Republic of Bulgaria Registered 8.250%, 01/15/15 3,240 3,787 --------- CAYMAN ISLANDS -- 0.9% Vale Overseas 6.250%, 01/11/16 7,425 7,304 --------- CHILE -- 0.9% Codelco 5.500%, 10/15/13 1,875 1,861 Republic of Chile 7.125%, 01/11/12 (C) 3,575 3,861 5.500%, 01/15/13 1,525 1,525 --------- 7,247 --------- CHINA -- 0.3% People's Republic of China (C) 4.750%, 10/29/13 2,175 2,085 --------- COLOMBIA -- 4.2% Republic of Colombia 11.750%, 02/25/20 (C) 13,495 19,230 10.750%, 01/15/13 3,650 4,535 10.375%, 01/28/33 (C) 4,480 6,239 8.125%, 05/21/24 3,500 3,920 --------- 33,924 --------- -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- ECUADOR -- 1.3% Republic of Ecuador Registered (M) 9.000%, 08/15/30 10,365 10,365 --------- EL SALVADOR -- 0.8% Republic of El Salvador 8.250%, 04/10/32 1,170 1,325 7.750%, 01/24/23 4,810 5,339 --------- 6,664 --------- INDONESIA -- 1.1% Garuda Indonesia (F) (L) 5.460%, 12/31/07 1,200 900 Republic of Indonesia 8.500%, 10/12/35 3,150 3,577 8.500%, 10/12/35 1,800 2,004 7.500%, 01/15/16 (A) 1,370 1,415 7.250%, 04/20/15 (A) 1,030 1,051 --------- 8,947 --------- KAZAKHSTAN -- 0.1% Kazkommerts International (A) 7.875%, 04/07/14 735 756 --------- LUXEMBOURG -- 0.3% Gaz Capital for Gazprom Registered 8.625%, 04/28/34 1,890 2,330 --------- MALAYSIA -- 1.2% Government of Malaysia 7.500%, 07/15/11 5,975 6,498 Petronas Capital 7.875%, 05/22/22 2,825 3,355 --------- 9,853 --------- MEXICO -- 11.1% 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 9.000%, 12/27/07 MXP 40,000 3,757 9.000%, 12/24/09 MXP 125,406 11,890 Pemex Project Funding Master Trust 9.500%, 09/15/27 (A) (C) 5,550 7,104 8.000%, 11/15/11 500 543 Telefonos de Mexico 8.750%, 01/31/16 MXP 29,000 2,662 United Mexican States (C) 11.375%, 09/15/16 5,775 8,140 8.125%, 12/30/19 10,575 12,426 6.625%, 03/03/15 8,313 8,674 5.625%, 01/15/17 18,800 18,208 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- United Mexican States MTN 8.300%, 08/15/31 7,545 9,118 8.000%, 09/24/22 3,875 4,530 6.375%, 01/16/13 1,001 1,026 --------- 88,663 --------- NIGERIA -- 0.8% Central Bank of Nigeria 8.000%, 01/05/10 2,531 766 6.250%, 11/15/20 (M) 3,500 3,495 Nigerian Treasury Bond 16.750%, 12/16/08 151,433 1,296 TuranAlem Finance (A) 7.875%, 06/02/10 1,070 1,099 --------- 6,656 --------- PANAMA -- 1.8% Republic of Panama 9.625%, 02/08/11 765 882 9.375%, 04/01/29 1,215 1,540 7.250%, 03/15/15 (C) 5,275 5,591 6.700%, 01/26/36 (C) 3,049 3,042 Republic of Panama, Ser 20YR (F) 5.563%, 07/17/16 3,642 3,588 --------- 14,643 --------- PERU -- 2.5% Republic of Peru 9.875%, 02/06/15 710 838 8.750%, 11/21/33 1,815 2,024 8.375%, 05/03/16 (C) 2,795 3,026 7.350%, 07/21/25 9,030 8,872 Republic of Peru FLIRB, Ser 20YR (F) 5.000%, 03/07/17 3,133 2,953 Republic of Peru, Ser 20YR (F) 5.000%, 03/07/17 2,626 2,494 --------- 20,207 --------- PHILIPPINES -- 5.9% Republic of Philippines 10.625%, 03/16/25 (C) 16,720 21,673 9.500%, 02/02/30 8,590 10,201 9.375%, 01/18/17 7,800 9,068 9.000%, 02/15/13 (C) 600 676 8.875%, 03/17/15 175 197 8.250%, 01/15/14 600 651 8.000%, 01/15/16 2,650 2,849 7.750%, 01/14/31 1,860 1,874 --------- 47,189 --------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 31 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- POLAND -- 0.5% Government of Poland 5.250%, 01/15/14 4,025 $ 3,965 --------- RUSSIA -- 4.5% Russian Federation Registered 12.750%, 06/24/28 5,985 10,676 11.000%, 07/24/18 9,585 13,707 8.250%, 03/31/10 2,489 2,632 5.000%, 03/31/30 (M) 8,170 8,964 --------- 35,979 --------- SOUTH AFRICA -- 0.6% Republic of South Africa 9.125%, 05/19/09 825 906 6.500%, 06/02/14 3,790 3,984 --------- 4,890 --------- THAILAND -- 0.8% Bangkok Land 4.500%, 10/13/03 11,643 6,287 --------- TURKEY -- 7.9% Republic of Turkey 11.875%, 01/15/30 (C) 22,410 34,595 11.500%, 01/23/12 (C) 5,500 6,875 11.000%, 01/14/13 3,095 3,887 7.375%, 02/05/25 6,005 6,244 7.000%, 06/05/20 (C) 10,465 10,570 6.875%, 03/17/36 1,350 1,303 --------- 63,474 --------- UKRAINE -- 0.4% Government of Ukraine Registered (C) 7.650%, 06/11/13 2,715 2,849 --------- URUGUAY -- 2.5% Republic of Uruguay 10.500%, 10/20/06 13,200 664 9.250%, 05/17/17 2,125 2,465 8.000%, 11/18/22 450 470 7.500%, 03/15/15 12,766 13,277 7.250%, 02/15/11 425 442 Republic of Uruguay PIK 7.875%, 01/15/33 UYU 2,989 3,109 --------- 20,427 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- VENEZUELA -- 8.5% Government of Venezuela 10.750%, 09/19/13 11,040 $ 13,767 9.375%, 01/13/34 1,800 2,300 9.250%, 09/15/27 29,235 37,143 8.500%, 10/08/14 (C) 5,733 6,421 Government of Venezuela Registered 5.375%, 08/07/10 (C) 3,725 3,608 5.614%, 04/20/11 (F) 3,770 3,778 Government of Venezuela, Ser A 6.750%, 03/31/20 725 725 --------- 67,742 --------- Total Global Bonds (Cost $585,197) ($ Thousands) 638,619 --------- CORPORATE OBLIGATIONS (D) -- 9.1% UNITED STATES -- 9.1% Allstate Life Global Funding II MTN (F) (H) 4.769%, 05/13/07 955 955 American General Finance (F) (H) 4.779%, 05/13/07 3,009 3,008 American General Finance MTN, Ser F 3.945%, 07/14/06 207 212 Bear Stearns EXL (F) 4.759%, 04/15/06 3,693 3,693 CIT Group MTN (F) 4.750%, 05/12/06 5,187 5,187 4.617%, 04/19/06 519 519 Caterpillar Financial Services MTN, Ser F (F) 4.680%, 07/10/06 1,038 1,038 Countrywide Financial Services MTN, Ser A (F) 4.960%, 09/13/06 3,839 3,839 4.770%, 11/03/06 2,179 2,179 Dekabank (F) (H) 4.614%, 02/16/07 3,839 3,838 Irish Life & Permanent MTN, Ser X (F) (H) 4.808%, 04/21/07 2,760 2,759 Islandsbanki (F) (H) 4.844%, 03/22/07 1,764 1,764 4.720%, 03/07/07 3,112 3,112 Jackson National Life Funding (F) (H) 4.630%, 02/01/07 4,565 4,565 Kaupthing Bank MTN (F) (H) 4.836%, 03/20/07 5,187 5,187 Landsbanki Islands (F) (H) 4.829%, 03/16/07 3,942 3,942 -------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Liberty Lighthouse US Capital MTN (F) (H) 4.725%, 03/10/06 2,075 $ 2,074 Morgan Stanley EXL (F) 4.721%, 05/04/07 726 726 Morgan Stanley EXL, Ser S (F) 4.634%, 05/03/07 1,037 1,037 Natexis Banques (F) (H) 4.743%, 04/13/07 2,023 2,023 Nationwide Building Society (F) (H) 4.991%, 04/28/07 1,141 1,141 4.700%, 04/05/07 2,075 2,075 Nordbank (F) (H) 4.811%, 04/23/07 3,527 3,527 Northern Rock (F) (H) 4.650%, 05/03/07 2,137 2,137 Pacific Life Global Funding (F) (H) 4.740%, 04/13/07 1,556 1,556 Premium Asset Trust, Ser 2004-06 (F) (H) 4.857%, 06/30/06 1,971 1,973 Premium Asset Trust, Ser 2004-10 (F) (H) 4.759%, 05/15/07 2,905 2,905 SLM EXL, Ser S (F) (H) 4.570%, 03/15/07 2,283 2,283 Sigma Finance MTN (H) 4.680%, 11/09/06 1,121 1,121 Skandinav Enskilda Bank (F) (H) 4.772%, 03/19/07 2,282 2,282 --------- Total Corporate Obligations (Cost $72,657) ($ Thousands) 72,657 --------- LOAN TO COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (K) -- 8.2% UNITED STATES -- 8.2% Loan to Central Bank of Nigeria as Collateral for Swap Contracts Outstanding 423,000 423 Loan to Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 2,000,000 2,000 Loan to Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 4,350,000 4,350 Loan to Federal Republic of Brazil as Collateral for Swap Contracts Outstanding 249,000 249 Loan to Gaz Capital for Gazprom Registered as Collateral for Swap Contracts Outstanding 8,550,000 8,550 Loan to JPMorgan Chase as Collateral for Swap Contracts Outstanding 438,000 438 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Loan to JPMorgan Chase as Collateral for Swap Contracts Outstanding 5,031,000 $ 5,031 Loan to JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,798,000 2,798 Loan to Russian Federation Registered as Collateral for Swap Contracts Outstanding 31,100,000 31,100 Loan to Russian Federation Registered as Collateral for Swap Contracts Outstanding 11,270,000 11,270 --------- Total Loan to Counterparty as Collateral for Swap Contracts (Cost $66,209) ($ Thousands) 66,209 --------- LOAN PARTICIPATIONS -- 4.8% ALGERIA -- 0.3% Republic of Algeria (Counterparty: Credit Suisse First Boston) (F) 4.813%, 03/04/10 2,379 2,331 --------- BRAZIL -- 1.3% Global Village Telecom Loan (Counterparty: Deutsche Bank) (B) (L) 0.000%, 12/31/49 11,640 10,243 --------- INDONESIA -- 1.0% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) (F) (L) 4.000%, 12/31/49 6,097 5,366 PKN Tranche Loan A (Counterparty: Citigroup Global Markets) (B) (L) 0.000%, 06/30/11 1,533 1,456 PKN Tranche Loan B (Counterparty: Citigroup Global Markets) (B) (L) 0.000%, 05/01/11 4,200 345 PKN Tranche Loan C Equity (B) (L) 0.000%, 12/31/49 25 -- PKN Tranche Loan D Secured Short Term, Ser 1 (Counterparty: Citibank) (B) (L) 4.000%, 11/05/06 438 435 PKN Tranche Loan D Secured Short Term, Ser 2 (Counterparty: Citibank) (B) (L) 4.000%, 11/05/06 529 526 --------- 8,128 --------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 33 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund March 31, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- MEXICO -- 1.3% Altos Hornos, Promissory Note # 5 (I) (L) 0.000%, 04/29/99 2,500 $ 1,425 Altos Hornos, Promissory Note # 6 (I) (L) 0.000%, 04/29/99 2,500 1,425 Altos Hornos, Promissory Note (Counterparty: Deutche Bank) (B) (L) 0.000%, 12/31/49 4,500 2,565 Altos Hornos, Tranche A (Counterparty: Banc of America) (I) (L) 0.000%, 04/11/04 6,540 3,989 Grupo Accerco Del Norte (Counterparty: Deutsche Bank) (B) (L) 0.000%, 12/31/49 7,750 775 --------- 10,179 --------- MOROCCO -- 0.2% Kingdom of Morocco, Ser A (Counterparties: Credit Suisse First Boston, J.P. Morgan, Merrill Lynch) (F) 5.683%, 01/02/09 1,091 1,091 --------- NIGERIA -- 0.0% PPMC GTEE Note 4.500%, 09/01/06 476 476 --------- SINGAPORE -- 0.7% C2C Loan (Counterparty: Deutsche Bank) (B) (E) (L) 0.000%, 12/31/10 10,800 5,832 --------- Total Loan Participations (Cost $27,019) ($ Thousands) 38,280 --------- ASSET-BACKED SECURITIES (D) (F) (H) -- 1.8% UNITED STATES -- 1.8% Cheyne High Grade, Ser 2004-1A, Cl AM1 4.740%, 11/10/06 1,038 1,038 Commodore, Ser 2003-2A, Cl A1MM 4.970%, 12/12/38 955 955 Duke Funding, Ser 2004-6B, Cl A1S1 4.620%, 04/08/39 1,556 1,556 Harwood Street Funding II, Ser 2005-A1, Cl NOTE 4.868%, 05/25/06 2,075 2,075 Orchard Structured Finance CDO, Ser 2003-1A, Cl A1MM 4.920%, 11/18/38 1,592 1,592 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM4 4.858%, 05/25/35 1,482 $ 1,482 RMAC, Ser 2004-NS3A, Cl A1 4.720%, 05/12/25 371 371 Saturn Ventures II 4.730%, 08/07/06 1,936 1,936 TIAA Real Estate, Ser 2003-1A, Cl A1 4.851%, 12/18/28 1,340 1,340 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD 4.930%, 09/15/06 519 519 Whitehawk CDO Funding, Ser 2004-1A, Cl AMME 4.930%, 09/15/06 311 311 Witherspoon CDO Funding 4.786%, 09/15/06 1,453 1,453 --------- Total Asset-Backed Securities (Cost $14,628) ($ Thousands) 14,628 --------- MASTER NOTES (D) (F) -- 1.0% Bank of America 4.945%, 04/03/06 5,187 5,187 Bear Stearns 4.995%, 04/03/06 2,490 2,490 --------- Total Master Notes (Cost $7,677) ($ Thousands) 7,677 --------- COMMERCIAL PAPER (D) (E) -- 0.9% UNITED STATES -- 0.9% CPI Funding 4.901%, 04/03/06 423 423 Elysian Funding LLC 4.867%, 04/27/06 311 310 4.767%, 04/28/06 2,075 2,059 4.706%, 04/10/06 1,037 1,030 Harbour Funding 4.763%, 04/06/06 1,543 1,539 Harwood Funding 4.881%, 04/03/06 498 498 Thornburg Mortgage Capital Resource 4.781%, 05/19/06 1,037 1,033 Transamerica Securities 4.841%, 04/03/06 244 244 --------- Total Commercial Paper (Cost $7,136) ($ Thousands) 7,136 --------- -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 -------------------------------------------------------------------------------- Face Amount/Contracts Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- STRUCTURED NOTE -- 0.3% BRAZIL -- 0.3% BRL Structured Note (Counterparty: JP Morgan Chase NA) 0.000%, 07/10/10 BRL 7,800 $ 2,105 --------- Total Structured Note (Cost $1,895) ($ Thousands) 2,105 --------- TIME DEPOSITS -- 0.3% UNITED STATES -- 0.3% Societe Generale (D) 4.900%, 04/03/06 2,075 2,075 --------- Total Time Deposits (Cost $2,075) ($ Thousands) 2,075 --------- Number of Warrants --------- WARRANTS -- 0.2% MEXICO -- 0.2% United Mexican States, Expires 09/01/06* 9,000 688 United Mexican States, Expires 10/10/06* 9,000 428 United Mexican States, Expires 11/09/06* 12,000 336 --------- 1,452 --------- NIGERIA -- 0.0% Central Bank of Nigeria, Expires 11/15/20 (G)* 2,000 -- --------- Total Warrants (Cost $867) ($ Thousands) 1,452 --------- OIL-LINKED PAYMENT OBLIGATION -- 0.1% VENEZUELA -- 0.1% Government of Venezuela Par, Expires 04/15/20 34 1,144 --------- Total Oil-Linked Payment Obligation (Cost $0) ($ Thousands) 1,144 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 0.1% UNITED STATES -- 0.1% US Trust Company New York (D) (E) 4.760%, 03/13/07 830 $ 830 --------- Total Certificates of Deposit (Cost $830) ($ Thousands) 830 --------- COMMON STOCK -- 0.0% THAILAND -- 0.0% TPI Polene Public* 298,000 152 --------- Total Common Stock (Cost $109) ($ Thousands) 152 --------- REPURCHASE AGREEMENTS (D) (J) -- 3.0% Barclays Capital 4.790%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $11,997,154 (collateralized by various U.S. Government Obligations, ranging in par value $961,139- $2,466,342, 0.000%-5.900%, 05/18/06-08/04/25; with total market value $12,232,232) 11,992 11,992 Lehman Brothers 4.800%, dated 03/31/06, to be repurchased on 04/03/06, repurchase price $12,081,318 (collateralized by various U.S. Government Obligations, ranging in par value $718,260- $1,306,107, 0.000%-10.700%, 10/17/08-11/23/35; with total market value $12,318,052) 12,077 12,077 --------- Total Repurchase Agreements (Cost $24,069) ($ Thousands) 24,069 --------- Total Investments -- 109.5% (Cost $810,368) ($ Thousands) $877,033 ========= -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 35 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund March 31, 2006 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $800,953 ($ 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 March 31, 2006, the total value of these securities was $11,425 ($ Thousands), representing 1.43% 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 March 31, 2006. The total value of securities on loan at March 31, 2006 was $124,919 ($ Thousands) (See Note 8). (D) This security was purchased with cash collateral held from securities lending. The total value of such securities as of March 31, 2006 was $129,072 ($ 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 March 31, 2006. (G) Security is fair valued at $0 and represents 0.00% of net assets. (H) This security, which was purchased with cash collateral, 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. (L) Securities considered illiquid. The total value of such securities as of March 31, 2006 was $34,967 ($ Thousands) and represented 4.37% of the Fund's net assets. (M) Step Bonds -- The rate reflected on the Schedule of Investments is the rate or effective yield on March 31, 2006. The coupon on a step bond changes on a specified date. -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- ARS -- Argentina Peso BRL -- Brazilian Real CDO -- Collateralized Debt Obligation Cl -- Class EUR -- Euro FLIRB -- Front Loaded Interest Reduction Bond ITL -- Italian Lira LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NA -- National Association NIM -- Net Interest Margin NTN -- Nigerian Treasury Note PIK -- Payment-in-Kind Ser -- Series UYU -- Uruguay Peso Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.
Forward Foreign Currency Contracts -- The following forward foreign currency contracts were outstanding at March 31, 2006 (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------------------------------------------------- Unrealized Currency to Currency to Appreciation/ Settlement Deliver Receive (Depreciation) Date (Thousands) (Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------------- 4/4/06-5/3/06 USD 45,258 BRL 99,021 $ 258 8/8/06 USD 900 NGN 118,503 25 6/16/06 USD 15,596 PLZ 5,800 (143) 9/5/06 USD 7,636,200 ROL 260 (3) 8/16/06-1/29/07 USD 154,721 RUB 280,582 455 4/18/06-5/8/06 USD 5,797 TRY 644 41 6/8/06 USD 6,894 UAH 2,046 (8) 4/4/06 BRL 54,615 USD 24,832 (330) 6/13/06 EUR 3,105 USD 3,725 (48) 6/13/06 JPY 315,880 USD 2,725 22 4/18/06 TRY 6,986 USD 5,230 50 6/8/06 UAH 11,140 USD 2,171 (21) ----- $ 298 ===== CURRENCY LEGEND BRL -- Brazilian Real PLZ -- Polish Zloty UAH -- Ukraine Hrynai EUR -- Euro ROL -- Romanian Leu USD -- U.S. Dollar JPY -- Japanese Yen RUB -- Russian Ruble NGN -- Nigerian Naira TRY -- New Turkish Lira
-------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006
Swaps -- At March 31, 2006, the following swap agreements were outstanding (See Note 2 in Notes to Financial Statements): ------------------------------------------------------------------------------------------------------------------------------------ Credit Default Swaps ------------------------------------------------------------------------------------------------------------------------------------ Notional Unrealized Expiration Amount Appreciation Description Date ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ Fund receives payment on termination date. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: JPMorgan Chase) 10/20/15 4,500 $ 545 Fund receives semi-annual payment of 0.800% (1.600% per annum) times notional amount of JSC Gazprom, 8.625%, 04/28/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 01/20/16 8,550 63 Fund receives semi-annual payment of 0.318% (0.635% per annum) times notional amount of Russian Federation Registered, 5.000%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 03/20/16 11,270 (170) 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. (Counterparty: Credit Suisse First Boston) 04/15/10 2,000 47 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. (Counterparty: Credit Suisse First Boston) 09/20/15 4,350 21 Fund receives semi-annual payment of 0.355% (0.710% per annum) times notional amount of Russian Federation Registered, 5.000%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Deutsche Bank) 01/20/16 31,100 (3) ----- $ 503 ===== ------------------------------------------------------------------------------------------------------------------------------------ Interest Rate Swaps ------------------------------------------------------------------------------------------------------------------------------------ Fund receives fixed rate of 14.55% and pays floating rate based on Brazilian CDI. Payment is received or delivered on the termination date. (Counterparty: JPMorgan Chase) 01/02/10 8,800 $ (17) Fund receives fixed rate of 15.22% and pays floating rate based on Brazilian CDI. Payment is received or delivered on the termination date. (Counterparty: JPMorgan Chase) 01/02/08 21,000 44 Fund receives fixed rate of 15.11% and pays floating rate based on Brazilian CDI. Payment is received or delivered on the termination date. (Counterparty: Deutsche Bank) 01/02/08 12,600 11 Fund receives fixed rate of 16.70% and pays floating rate based on Brazilian CDI. Payment is received or delivered on the termination date. (Counterparty: Goldman Sachs) 01/02/08 11,700 114 ----- $ 152 =====
-------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 37 SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund March 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ Total Return Swaps ------------------------------------------------------------------------------------------------------------------------------------ Notional Unrealized Expiration Amount Appreciation Description Date ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ Fund incurs market exposure equivalent to that of the underlying Nigerian Treasury Bond, 15.000%, 01/27/09 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Citigroup) 01/30/09 127,354 $ 43 Fund incurs market exposure equivalent to that of the underlying Nigerian Treasury Bill, 0.000%, 03/02/07 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Citigroup) 03/02/07 54,204 (38) Fund incurs market exposure equivalent to that of the underlying Nigerian Treasury Bill, 0.000%, 02/27/07 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Citigroup) 02/27/07 143,103 19 Fund incurs market exposure equivalent to that of the underlying Nigerian Treasury Bill, 0.000%, 02/07/07 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Standard Bank) 02/07/07 60,130 11 Fund incurs market exposure equivalent to that of the underlying Brazilian NTN, 6.000%, 08/15/10 debt obligation. Payment is received or delivered on the termination date. (Counterparty: JPMorgan Chase) 08/15/10 12,000 (193) Fund incurs market exposure equivalent to that of the underlying Brazilian NTN, 6.000%, 08/15/10 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Merrill Lynch) 08/15/10 1,400 (10) Fund incurs market exposure equivalent to that of the underlying Brazilian NTN, 6.000%, 05/15/11 debt obligation. Payment is received or delivered on the termination date. (Counterparty: JPMorgan Chase) 05/15/11 4,214 (56) Fund incurs market exposure equivalent to that of the underlying Brazilian NTN, 6.000%, 08/15/10 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Deutsche Bank) 08/15/10 1,400 28 Fund incurs market exposure equivalent to that of the underlying Nigerian Treasury Bond, 12.500%, 02/24/09 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Standard Bank) 02/24/09 55,618 -- Fund incurs market exposure equivalent to that of the underlying Turkey Treasury Bond, 0.000%, 05/09/07 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Deutsche Bank) 05/09/07 9,100 338 Fund incurs market exposure equivalent to that of the underlying Turkey Treasury Bond, 0.000%, 05/09/07 debt obligation. Payment is received or delivered on the termination date. (Counterparty: Lehman Brothers) 05/09/07 3,000 160 ----- $ 302 ===== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL $ 957 ===== Amounts designated as "--" are $0 or have been rounded to $0.
-------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006
Statements of Assets and Liabilities ($ Thousands) March 31, 2006 (Unaudited) ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments, at Market Value (Cost $3,197,405, $1,001,292, $806,066 and $786,299, respectively) $3,896,759 $1,412,964 $798,354 $852,964 Investments in Affiliated Investment Companies, at Market Value (Cost $33,529) 33,529 -- -- -- Repurchase Agreements, at Market Value (Cost $459,000, $10,000, $6,108 and $24,069, respectively) 459,000 10,000 6,108 24,069 Cash and Cash Collateral Received from Securities Loaned 34,132 20,566 46,535 6,830 Foreign Currency, at Value (Cost $23,163, $15,449, $104 and $10,629, respectively) 23,152 15,530 142 10,658 Cash and Foreign Currency Pledged as Collateral for Futures Contracts -- -- 311 -- Receivable for Investment Securities Sold 17,630 8,408 2,997 21,264 Dividends and Interest Receivable 11,003 3,397 11,480 9,731 Receivable for Fund Shares Sold 2,475 2,146 603 442 Unrealized Gain on Swap Contracts 1,066 -- -- 957 Unrealized Gain on Spot Contracts 685 -- 597 -- Foreign Tax Reclaim Receivable 557 79 24 -- Variation Margin Receivable 75 -- 248 -- Unrealized Gain on Forward Foreign Currency Contracts 2 -- 11,340 851 Deposits with Brokers for Forward Foreign Currency Contracts -- -- -- 6,459 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 4,480,065 1,473,090 878,739 934,225 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable Upon Return of Securities Loaned 743,439 10,776 32,754 129,072 Payable for Investment Securities Purchased 190,273 9,008 10,730 1,139 Payable for Fund Shares Redeemed 3,824 3,588 1,486 1,346 Unrealized Loss on Forward Foreign Currency Contracts 4,285 -- 8,731 553 Variation Margin Payable 2,166 -- 45 -- Unrealized Loss on Spot Contracts 684 -- 597 -- Written Options, at value (Premium received $301) 225 -- -- -- Investment Advisory Fees Payable 1,480 1,271 106 332 Administration Fees Payable 1,319 787 422 503 Shareholder Servicing Fees Payable 734 303 162 194 Trustees' Fees Payable 1 -- -- -- Accrued Expenses 182 103 82 133 Accrued Foreign Capital Gains Tax Payable 66 3,106 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 948,678 28,942 55,115 133,272 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $3,531,387 $1,444,148 $823,624 $800,953 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: Paid-in-Capital $2,965,639 $ 926,400 $856,634 $687,512 Undistributed Net Investment Income (Loss) (20,057) (2,080) 14,488 (3,156) Accumulated Net Realized Gain (Loss) on Investments (116,905) 111,313 (43,130) 48,663 Net Unrealized Appreciation on Investments and Options 699,430 411,672 (7,712) 66,665 Accumulated Foreign Capital Gains Tax on Appreciated Securities (66) (3,106) -- -- Net Unrealized Appreciation on Futures Contracts 11,346 -- 729 -- Net Unrealized Appreciation on Swap Contracts 1,066 -- -- 957 Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (9,066) (51) 2,615 312 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $3,531,387 $1,444,148 $823,624 $800,953 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,520,113,808 / 260,468,212 shares, $1,444,147,601 / 85,262,147 shares, $823,623,840 / 77,688,616 shares, $800,952,727 / 72,868,224 shares) $13.51 $16.94 $10.60 $10.99 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($11,273,462 / 834,611 shares) $13.51 N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.
-------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 39
Statements of Operations ($ Thousands) For the six month period ended March 31, 2006 (Unaudited) ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 31,443 $ 11,306 $ -- $ 103 Dividends from Affiliated Investment Companies 317 176 -- -- Interest 3,517 359 14,725 32,678 Income from Security Lending 1,652 430 36 335 Less: Foreign Taxes Withheld (2,766) (1,235) (12) (44) ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 34,163 11,036 14,749 33,072 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 8,242 7,022 632 4,270 Administration Fees 7,345 4,347 2,529 3,265 Shareholder Servicing Fees -- Class A 4,069 1,672 1,054 1,256 Shareholder Servicing Fees -- Class I 11 -- -- -- Adminstrative Servicing Fees -- Class I 11 -- -- -- Trustees' Fees 24 10 6 8 Custodian Fees 346 482 50 89 Professional Fees 96 40 25 33 Printing Fees 90 39 23 32 Pricing Fees 22 15 9 6 Wire Agent Fees 21 10 5 7 Registration & Filing Fees 14 5 3 5 Other Expenses 29 12 7 10 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 20,320 13,654 4,343 8,981 ------------------------------------------------------------------------------------------------------------------------------------ Less, Waiver of: Investment Advisory Fees -- (515) -- (2,150) Shareholder Servicing Fees -- Class A -- -- (87) -- Fees Paid Indirectly(1) (122) (31) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 20,198 13,108 4,256 6,831 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) 13,965 (2,072) 10,493 26,241 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS Net Realized Gain (Loss) from: Investments and Options 280,199 170,780 627 47,766 Futures Contracts 12,482 -- 282 -- Swap Contracts 130 -- -- (12) Foreign Currency Transactions (4,522) (700) (41,061) 6,804 Net Change in Unrealized Appreciation (Depreciation) on: Investments and Options 128,311 62,243 (13,017) 35,259) Futures Contracts 11,236 -- 271 -- Swap Contracts 1,066 -- -- 891 Foreign Capital Gains Tax on Appreciated Securities -- (1,991) -- -- Foreign Currency Transactions (9,047) (48) 7,461 (2,894) ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS 419,855 230,284 (45,437) 17,296 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $433,820 $228,212 $(34,944) $ 43,537 ------------------------------------------------------------------------------------------------------------------------------------ (1) See Note 3 in Notes to Financial Statements. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.
-------------------------------------------------------------------------------- 40 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006
Statements of Changes in Net Assets ($ Thousands) For the six month period ended March 31, 2006 (Unaudited) and the year ended September 30, 2005 ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income (Loss) $ 13,965 $ 44,643 $ (2,072) $ 12,201 Net Realized Gain from Investment Transactions, Options, Futures Contracts and Swap Contracts 292,811 383,922 170,780 219,276 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (4,522) (3,333) (700) (55) Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Futures Contracts and Swap Contracts 140,613 268,208 62,243 199,314 Net Change in Accrued Foreign Capital Tax Gains on Appreciated Securities -- (66) (1,991) 1,722 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (9,047) (77) (48) 16 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 433,820 693,297 228,212 432,474 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (71,852) (62,768) (8,389) (8,705) Class I (182) (121) -- -- Net Realized Gains: Class A -- -- (127,622) -- Class I -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (72,034) (62,889) (136,011) (8,705) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 349,930 586,756 162,123 267,067 Reinvestment of Dividends & Distributions 68,950 60,095 130,923 8,400 Cost of Shares Redeemed (486,739) (754,102) (295,601) (384,469) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets from Class A Transactions (67,859) (107,251) (2,555) (109,002) ------------------------------------------------------------------------------------------------------------------------------------ CLASS I: Proceeds from Shares Issued 2,926 2,709 -- -- Reinvestment of Dividends & Distributions 178 114 -- -- Cost of Shares Redeemed (854) (2,071) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets from Class I Transactions 2,250 752 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets from Capital Share Transactions (65,609) (106,499) (2,555) (109,002) ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets 296,177 523,909 89,646 314,767 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 3,235,210 2,711,301 1,354,502 1,039,735 ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $3,531,387 $3,235,210 $1,444,148 $1,354,502 ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD $ (20,057) $ 38,012 $ (2,080) $ 8,381 ------------------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 27,889 53,684 10,131 19,952 Reinvestment of Distributions 5,583 5,443 8,739 652 Shares Redeemed (38,919) (68,895) (18,608) (29,296) ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions (5,447) (9,768) 262 (8,692) ------------------------------------------------------------------------------------------------------------------------------------ CLASS I: Shares Issued 231 248 -- -- Reinvestment of Distributions 15 10 -- -- Shares Redeemed (67) (189) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions 179 69 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions (5,268) (9,699) 262 (8,692)
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 41
Statements of Changes in Net Assets ($ Thousands) For the six month period ended March 31, 2006 (Unaudited) and the year ended September 30, 2005 ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 10,493 $ 21,517 $ 26,241 $ 53,822 Net Realized Gain from Investment Transactions, Futures Contracts and Swap Contracts 909 24,236 47,754 67,119 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (41,061) 31,359 6,804 3,243 Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Contracts (12,746) (45,497) (34,368) 32,356 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 7,461 (3,239) (2,894) 2,993 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations (34,944) 28,376 43,537 159,533 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (26,270) (68,523) (64,647) (45,621) Net Realized Gains: Class A (22,930) (3,062) (60,041) (18,883) ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (49,200) (71,585) (124,688) (64,504) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 133,938 295,426 257,048 515,445 Reinvestment of Dividends & Distributions 46,432 67,732 118,879 62,023 Cost of Shares Redeemed (153,525) (346,659) (637,668) (294,135) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 26,845 16,499 (261,741) 283,333 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (57,299) (26,710) (342,892) 378,362 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 880,923 907,633 1,143,845 765,483 ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 823,624 $ 880,923 $ 800,953 $1,143,845 ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD $ 14,488 $ 30,265 $ (3,156) $ 35,250 ------------------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 12,206 23,879 23,007 46,704 Reinvestment of Dividends & Distributions 4,294 5,365 10,920 5,804 Shares Redeemed (13,994) (28,329) (57,927) (26,907) ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 2,506 915 (24,000) 25,601 ------------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 42 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 Financial Highlights
For the six month period ended March 31, 2006 (Unaudited) and the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout Each Period ----------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset 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 2006* $12.14 $ 0.05(1) $ 1.60(1) $ 1.65 $(0.28) $ -- $(0.28) $13.51 13.78% $3,520,114 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 2006* $12.12 $ 0.04(1) $ 1.60(1) $ 1.64 $(0.25) $ -- $(0.25) $13.51 13.74% $ 11,273 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 2006* $15.94 $(0.02)(1) $ 2.72(1) $ 2.70 $(0.10) $(1.60) $(1.70) $16.94 18.34% $1,444,148 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 2006* $11.72 $ 0.14(1) $(0.61)(1) $(0.47) $(0.34) $(0.31) $(0.65) $10.60 (4.00)% $ 823,624 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 2006* $11.81 $ 0.29(1) $ 0.20(1) $ 0.49 $(0.68) $(0.63) $(1.31) $10.99 4.70% $ 800,953 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 * For the six month period ended March 31, 2006 (Unaudited). ** 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.
--------------------------------------------------------------------------- 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 2006* 1.24%(3) 1.24%(3) 1.24%(3) 0.85%(3) 41% 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 2006* 1.49%(3) 1.49%(3) 1.49%(3) 0.65%(3) 41% 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 2006* 1.96%(3) 1.96%(3) 2.04%(3) (0.31)%(3) 35% 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 2006* 1.01%(3) 1.01%(3) 1.03%(3) 2.49%(3) 97% 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 2006* 1.36%(3) 1.36%(3) 1.79%(3) 5.22%(3) 53% 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 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 43 NOTES TO FINANCIAL STATEMENTS (Unaudited) Notes to Financial Statements March 31, 2006~ 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 I shares. As of March 31, 2006, 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. -------------------------------------------------------------------------------- 44 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 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. Tri-party repurchase agreements purchased as collateral for securities on loan are maintained by the applicable securities lending agent (see Note 8). 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 six month period ended March 31, 2006. 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 / Semi-Annual Report / March 31, 2006 45 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. Total return swaps allow an investor to benefit from the cash flow without actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying assets versus the accrued income payment based on LIBOR or some other form of indices on the notional amount.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 March 31, 2006, the Emerging Markets Debt Fund has issued a loan in the amount of $66,209,044 to the counterparty as collateral. STRUCTURED NOTE -- The Emerging Markets 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 to add return or to hedge 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 -------------------------------------------------------------------------------- 46 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. 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 typically has 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 daily net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The International Equity, Emerging Markets Equity and International Fixed Income Funds will distribute substantially all of their net investment income and all net realized capital gains, if any, at least annually. The Emerging Markets Debt Fund will distribute substantially all of its net investment income, if any, at least quarterly and all net realized 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 -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 47 NOTES TO FINANCIAL STATEMENTS (Continued) securities held by the Funds are accreted and amortized to maturity using the scientific-interest method, which approximates the effective interest method. Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES The Trust and SEI Investments Global Funds Services (formerly 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 and transfer agency 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 March 31, 2006, the Administrator is not currently waiving its fee for the International Equity Fund. -------------------------------------------------------------------------------- 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 -- -- -- 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 April 1, 2006, 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 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 Smith Breeden Associates, Inc. 12/08/05 EMERGING MARKETS EQUITY FUND Alliance Capital Management L.P. 06/26/02 Ashmore Investment Management Limited 10/07/05 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 Alliance Capital Management LLC 01/11/06 Fischer Francis Trees and Watts, Inc. 12/17/02 EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited 03/17/03 Stone Harbor Investment Partners LP 04/01/06 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") and a registered broker-dealer, acts as the Distributor of the shares of the Trust under an amended and restated Distribution Agreement dated September 16, 2002. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Specific classes of certain funds -------------------------------------------------------------------------------- 48 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 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 six month period ended March 31, 2006, 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 six month period ended March 31, 2006, 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 six month period ended March 31, 2006, 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 six month period ended March 31, 2006, were as follows: -------------------------------------------------------------------------------- Purchases Sales ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund US Gov't $ 253,169 $ 89,835 Other 1,020,346 1,518,795 Emerging Markets Equity Fund US Gov't -- -- Other 463,677 596,009 International Fixed Income Fund US Gov't 96,805 88,655 Other 579,736 632,612 Emerging Markets Debt Fund US Gov't -- -- Other 436,114 709,373 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 book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 49 NOTES TO FINANCIAL STATEMENTS (Continued) 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 $348,248 Emerging Markets Equity Fund -- -- -- -- 128,103
For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on investment securities at March 31, 2006 for each Fund is as follows: -------------------------------------------------------------------------------- Aggregate Aggregate Gross Gross Net Federal Unrealized Unrealized Unrealized Tax Cost Appreciation Depreciation Appreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund $3,689,934 $729,478 $(30,124) $699,354 Emerging Markets Equity Fund 1,011,292 428,249 (16,577) 411,672 International Fixed Income Fund 812,174 13,363 (21,075) (7,712) Emerging Markets Debt Fund 810,368 71,378 (4,713) 66,665 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. 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 March 31, 2006, the total value of these securities represented approximately 6% 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. -------------------------------------------------------------------------------- 50 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 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, corporate obligations, asset-backed securities, repurchase agreements or master notes. 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 March 31, 2006, 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 80.07% International Equity Fund, Class I 2 24.49 Emerging Markets Equity Fund, Class A 1 82.82 International Fixed Income Fund, Class A 1 88.70 Emerging Markets Debt Fund, Class A 1 70.92 These shareholders are comprised of omnibus accounts, which are held on behalf of several individual shareholders. -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 51 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 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 securities, 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. -------------------------------------------------------------------------------- 52 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2006 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 10/01/05 3/31/06 RATIOS PERIOD* -------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,137.40 1.24% $ 6.61 Class I $1,000.00 $1,137.80 1.49% $ 7.94 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.75 1.24% $ 6.24 Class I $1,000.00 $1,017.50 1.49% $ 7.49 -------------------------------------------------------------- EMERGING MARKETS EQUITY FUND -------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,183.40 1.96% $10.67 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.16 1.96% $ 9.85 -------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND -------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $ 960.00 1.01% $4.94 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,019.90 1.01% $5.09 -------------------------------------------------------------- EMERGING MARKETS DEBT FUND -------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,047.00 1.36% $6.94 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.15 1.36% $6.84 * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 182/365 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). -------------------------------------------------------------------------------- SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 53 SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2006~ 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 separate sub-advisory agreements (the "Sub-Advisory Agreements" 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-Adviser's investment management and other services; (b) SIMC's and the Sub-Adviser's investment management personnel; (c) SIMC's and the Sub-Adviser's operations and financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared with the fees each charge to comparable mutual funds; (f) a Fund's overall fees -------------------------------------------------------------------------------- 54 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 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-Adviser's compliance systems; (i) SIMC's and the Sub-Adviser's policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Adviser's reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. At the June 23, 2005, September 21, 2005, December 8, 2005, March 8, 2006 and March 9, 2006 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 / Semi-Annual Report / March 31, 2006 55 SEI INSTITUTIONAL INTERNATIONAL TRUST -- MARCH 31, 2006 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. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. 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. -------------------------------------------------------------------------------- 56 SEI Institutional International Trust / Semi-Annual Report / March 31, 2006 Notes Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST SEMI-ANNUAL REPORT MARCH 31, 2006 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 Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE 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 Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services 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) [LOGO OMITTED] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-031 (3/06) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end management investment 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 management investment 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 18, 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, 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. (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) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional International Trust By (Signature and Title)* /s/ Robert A. Nesher -------------------------------- Robert A Nesher, President & CEO Date: June 5, 2006 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/ Robert A. Nesher -------------------------------- Robert A Nesher, President & CEO Date: June 5, 2006 By (Signature and Title)* /s/ Stephen F. Panner ----------------------------- Stephen F. Panner, Controller & CFO Date: June 5, 2006 * Print the name and title of each signing officer under his or her signature.