N-CSR 1 sitarcomb9_06.txt SEI INSTITUTIONAL INTERNATIONAL TRUST AR 9_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: SEPTEMBER 30, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Institutional International Trust -------------------------------------------------------------------------------- Annual Report as of September 30, 2006 -------------------------------------------------------------------------------- International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 -------------------------------------------------------------------------------- Schedules of Investments 7 -------------------------------------------------------------------------------- Statements of Assets and Liabilities 47 -------------------------------------------------------------------------------- Statements of Operations 48 -------------------------------------------------------------------------------- Statements of Changes in Net Assets 49 -------------------------------------------------------------------------------- Financial Highlights 51 -------------------------------------------------------------------------------- Notes to Financial Statements 52 -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 61 -------------------------------------------------------------------------------- Trustees and Officers of the Trust 62 -------------------------------------------------------------------------------- Disclosure of Fund Expenses 66 -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 67 -------------------------------------------------------------------------------- Notice to Shareholders 70 -------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2006 International Equity Fund Objective The International Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of foreign issuers. Strategy The Fund invests primarily in common stocks and other equity securities of issuers of all capitalization ranges that are located in at least 3 countries other than the U.S. The Fund invests primarily in companies located in developed countries, but may also invest in companies located in emerging markets. The Fund uses a multi- manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Analysis International equities realized very strong gains during the year ended September 30, 2006. Overall, the non-U.S. developed equity markets, as measured by the Morgan Stanley MSCI EAFE Index, gained 19.16% in U.S. dollar terms during the period. Utilities (32.1%) and Financials (26.7%) led the sectors largely due to Mergers & Acquisition activity in Europe. On the negative side, Telecommunications (-2.4%) and Energy (-0.5%) did not perform well. While Energy was the strongest performer last year, rising global inventories, concerns over slowing economic growth and a milder than anticipated hurricane season have caused oil prices to fall, hurting the sector. Japan, after a strong performance toward the end of last year, has struggled from January 2006 to September 2006. The International Equity Fund, Class A trailed the Morgan Stanley MSCI EAFE index during the period, advancing 18.50%. The Fund benefited from strong stock selection in Materials, Telecommunications and Financials; however, an overweight to Telecommunications and an underweight to Financials eroded some of the gains. On a country basis, an underweight to UK and an overweight to Netherlands helped performance. Poor stock selection in Japan and Switzerland were detractors to performance. The Fund's small exposure to emerging markets was net positive for the period. Two new managers were added to the Fund and one manager was removed. Record Currency Management Limited was added in September 2006, and Smith Breeden Associates, Inc. was added in January 2006. Fisher Investments was terminated in December 2005. International Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date -------------------------------------------------------------------------------- Class A 18.50% 21.81% 12.60% 6.13% 5.54% -------------------------------------------------------------------------------- Class I 18.20% 21.49% 12.37% 6.02% 5.48% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A and Class I, versus the Morgan Stanley MSCI EAFE Index [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] SEI SEI International International Morgan Stanley Equity, Class A Equity, Class I MSCI EAFE Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 110,560 110,560 112,190 9/30/98 100,886 100,886 102,833 9/30/99 139,081 139,081 134,660 9/30/00 144,853 144,853 138,942 9/30/01 100,166 100,166 99,302 9/30/02 84,350 84,350 83,881 9/30/03 100,300 100,081 105,698 9/30/04 121,103 120,638 129,036 9/30/05 152,989 151,835 162,314 9/30/06 181,292 179,469 193,414 1 For the period ended September 30, 2006. Past performance is no indication of future performance. Class I Shares were offered beginning on January 4, 2002. Class A Shares were offered beginning December 20, 1989. Class I Shares performance for the period prior to January 4, 2002 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2006 Emerging Markets Equity Fund Objective The Emerging Markets Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing primarily in common stocks and other equity securities of foreign companies located in emerging market countries. Strategy The Fund normally maintains investments in at least 6 emerging market countries and does not invest more than 35% of its total assets in any one emerging market country. The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Analysis For the period, emerging markets posted good returns in spite of a global sell-off in May and early June of 2006. The asset class returned 20.82% for the year ended September 30, 2006 as measured by the Morgan Stanley MSCI Emerging Markets Index. From September 30, 2005 to the beginning of May 2006, the markets returned 28.6%. In the month of May alone, the markets were down -10.5%. Since earnings of emerging markets corporations are highly sensitive to global economic activity and commodity prices, fears of rising global interest rates and reduction of global liquidity coupled with fears of rising commodity prices triggered a panic selling which lasted for 5 weeks. Over the year ended September 30, 2006, all sectors posted positive numbers with no particular sector being the driving force. Industrials (26.4%) and Financials (24.3%) were the strongest performers while Consumer Discretionary (12.1%) and Health Care (6.7%) lagged behind, although the Health Care sector is quite small within the MSCI Emerging Markets Index. On a country basis, the BRIC nations (Brazil, Russia, India, and China) which constitutes about a third of the Index, returned 29.8% over the period. Morocco (67.3%) and Indonesia (63.4%) posted the largest returns while Hong Kong (-1.7%), Turkey (-4.0%) and Hungary (-13.3%) were the only countries in the Index to post negative returns during the time period. South Africa was up 25.1% for the quarter in local currency but was only up 2.4% in U.S. dollar terms for the period. Most of the gains were lost to the falling South African Rand. The Fund underperformed the broader market during the period, returning 16.46% versus 20.82% in U.S. dollar terms. Underperformance was driven due to poor stock selection in Telecommunication Services, Materials, Industrials and Financials. Good stock selection in Energy and an overweight position to the sector helped the Fund slightly. The Fund also benefited from good stock selection in Information Technology, driven mostly by Emerging Markets Management. Although the Fund's country allocation was a positive contributor, poor stock selection in India, Indonesia, Korea and Mexico were the main contributors to underperformance for the period. An overweight and good stock picking in Taiwan (mostly in the Information Technology sector) was the biggest positive contributor in the Fund, but it was not enough to end the year positive. One new manager, Ashmore Investment Management Limited was brought into the Fund while Citigroup Asset Management was removed from the manager line up at the start of the period. Emerging Markets Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date -------------------------------------------------------------------------------- Class A 16.46% 27.71% 25.34% 5.07% 5.66% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, versus the Morgan Stanley MSCI Emerging Markets Index [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] Morgan Stanley SEI Emerging Markets MSCI Emerging Markets Equity Fund Free Index (Gross) 9/30/96 $100,000 $100,000 9/30/97 110,450 106,560 9/30/98 53,646 55,614 9/30/99 79,519 87,047 9/30/00 80,083 87,403 9/30/01 52,983 58,420 9/30/02 57,105 63,182 9/30/03 78,708 92,226 9/30/04 97,291 116,694 9/30/05 140,761 171,750 9/30/06 163,930 207,509 1 For the period ended September 30, 2006. Past performance is no indication of future performance. Class A Shares were offered beginning January 17, 1995. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 2 SEI Institutional International Trust / Annual Report / September 30, 2006 International Fixed Income Fund Objective The International Fixed Income Fund (the "Fund") seeks to provide capital appreciation and current income through investments in investment grade fixed income securities of foreign government and corporate issuers. Strategy The Fund seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their Funds. Although there are no restrictions of the Fund's overall duration, under normal conditions it is expected to range between four and six years. The Fund is managed against a broad aggregate index inclusive of sovereign, mortgage and corporate securities. The Fund is diversified through its issuers, market capitalization, and industry and country positioning. Country and currency allocations are made separately. As a result, the Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund intends to be diversified across six to twelve countries, across the three major trading blocs: North America, Europe and the Pacific Basin. Depending upon the relative fundamental and technical views, each trading bloc is over or underweighted relative to the Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. Analysis The International fixed income market, as measured by the Lehman Global Aggregate ex-U.S. Index, returned 2.92% over the year ended September 30, 2006. International bond markets had a difficult year through 2006 as the central banks worldwide maintained their tightening bias. In continental Europe, the European Central Bank continued to view the increases in money supply negatively and consequently they have continued to increase short rates despite some signs that the European economy may slow down. Global yield curves flattened significantly over the year with the Euro curve, Sterling and U.S. curves ending the month of October with less than .15% separating 2-year yields and 10-year yields. In Japan, the Zero Interest Rate Policy came to an end and the Bank of Japan modestly increased short term interest rates by .25%. In terms of sectors, the inflation linked market performed quite well as investors began to factor in price inflation in response to the hikes in energy prices. Credit markets had a mixed year. The expectation of increased mergers and acquisition activity led to some increased volatility in the corporate bond markets; however, spreads continue to languish at extremely tight levels. Foreign exchange value added continued to be a source of negative alpha in the fund as the manager responsible for this component held true to their process and continued to look for medium term (3-6 weeks) themes. The stability in credit spreads helped the fund as we maintained tactical exposures to high yielding bank loans. The Fund underperformed its index with a return of (1.64)%. Fischer Francis Tree and Watts, Inc. made a negative contribution to the Fund over the year in part due to an overweight position in Mexico and some sector calls made in the second quarter. Alliance Capital Management LLC made a positive contribution to the funds alpha in part because of the value they created from the security selection calls and a tactical overweight in Japan. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2006 International Fixed Income Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date -------------------------------------------------------------------------------- Class A (1.64)% 2.86% 6.73% 3.78% 5.04% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI International Fixed Income Fund, versus the Lehman Global Aggregate ex-U.S. Index [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] SEI International Lehman Global Fixed Income Fund Aggregate Index, Ex-U.S. 9/30/96 $100,000 $100,000 9/30/97 101,160 99,660 9/30/98 113,775 112,955 9/30/99 112,227 110,007 9/30/00 101,476 99,347 9/30/01 104,683 103,351 9/30/02 113,790 113,975 9/30/03 133,191 135,277 9/30/04 143,087 146,924 9/30/05 147,394 152,140 9/30/06 144,977 156,583 1 For the period ended September 30, 2006. Past performance is no indication of future performance. Class A Shares were offered beginning September 1, 1993. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 4 SEI Institutional International Trust / Annual Report / September 30, 2006 Emerging Markets Debt Fund Objective The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return from a portfolio consisting of primarily U.S., dollar-denominated debt securities of government, government-related and corporate issuers in emerging market countries. Strategy The Fund seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their portfolios. Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 25-30 countries. The next step in the process determines relative value amongst sectors within a country, and security selection within the sectors. The final step incorporates a disciplined sell process through continual risk/reward analysis across, and within, emerging debt countries. U.S. interest-rate risk relative to the benchmark is controlled through the maintenance of a tightly constrained U.S. Treasury duration. Excess return is captured through active management of the sovereign spread component relative to the benchmark. Analysis Emerging Markets Debt ("EMD") as measured by the J.P. Morgan EMBI Global Index posted performance of 7.81% during the year ended September 30, 2006 as the market incurred an increased level of volatility, driven by concerns surrounding global interest rates. Broadly, the market continues to benefit from strong internal factors - improving economies and the passage of critical reforms - as well as strong external factors - high commodity prices. The continued improvement in EMD credit fundamentals was again rewarded by the rating agencies throughout the period as Uruguay, Venezuela, Brazil, Russia and Argentina all saw their ratings upgraded. Uruguay's credit rating was raised by the S&P 500 Index (S&P) to B from B- after the country posted a third year of growth and its currency appreciated, which makes it easier for the country to pay off its debt. Ecuador saw its credit rating outlook raised as the country continues to benefit from high oil prices. S&P raised Venezuela's credit rating to BB- from B+. S&P cited the sharp increase in international reserves and a drop in external debt, reflecting the country's large current account surplus, buoyant economic growth and the potential buyback of external debt. Additionally, S&P revised its rating outlook on Colombian government debt to positive from stable, citing the country's improving external debt profile and credit position. This view applied to both long-term foreign and local currency sovereign credit ratings. Moody's upgraded Russia's credit rating from Baa3 to Baa2. The agency cited continued growth in international reserves and positive effects of recent debt buybacks as justification for the upgrade. Finally, Brazil had its credit rating raised one level by S&P to BB. The increase is the second since September 2004. With the large number of credit rating improvements for EMD countries over the past year, the J.P. Morgan EMBI Global Index average credit rating is now BB+, its highest average rating on record. Further, there is now a strong probability that the Index will hold an average credit rating of BBB-, or investment grade, over the next year. During the period, EMD spreads over U.S. Treasuries tightened .17% to end at 2.18% with the market yield ending the period at 6.86%. The biggest news during the period was the magnitude of debt buybacks announced. Venezuela, Brazil, Colombia, Mexico and Russia all announced plans to buyback upwards of $30 billion in external debt, paying for the repurchases with reserves or debt issued in their respective local markets. This round of debt buybacks, mainly in Brady bonds, should lower the amount of Brady debt in the market to less than $10 billion, from a peak of over $100 billion a decade ago. In addition to the buyback news, investors continue to focus on the 2006 presidential election cycle, which led to a spike in volatility late in the period. Presidential elections in Peru, Colombia and Mexico all resulted in the market friendly candidate winning. Investors are looking forward to the second round of the Brazilian and first round of the Ecuadorian presidential elections, which will both be finalized in the 4th Quarter of 2006. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2006 The Fund's overweight to Brazil was the largest contributor to Fund performance, a return of 8.68%. Brazil bonds gained 14.6% benefiting from the aforementioned credit ratings upgrades while shaking off political volatility. An underweight to Russia also added to performance. Despite the ratings upgrades, Russia bonds underperformed the market by 5% during the period. Finally, the Fund's overweight to Argentina added to performance as its bonds returned 22.5%. Argentina announced that it has paid back its entire $9.5 billion debt to the International Monetary Fund, effectively cutting free from the Washington-based lender after years of bitter clashes. Argentina called it the start of a new phase and says it now has more freedom to carry out economic policies that have not always met with the International Monetary Fund's approval. The Fund's underweight to the Philippines detracted from performance as the country was one of the top performing countries in the Index, returning 16.9%. The Fund has been underweighting Philippines bonds all year due to the country's high debt/gross domestic product ratio. Finally, the Fund's lack of exposure to Cote d'Ivoire (Ivory Coast) detracted as bonds gained 33.3% during the period. Cote d'Ivoire bonds rallied sharply on increased expectations for the government and rebels will begin to hold open talks which could simmer tensions between the two that have divided the country for three years. Emerging Markets Debt Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date -------------------------------------------------------------------------------- Class A 8.68% 13.91% 17.63% 11.64% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the SEI Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Global Index [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] SEI Emerging J.P. Morgan Markets Debt Fund Global Index 6/26/97 $100,000 $100,000 9/30/97 106,198 106,607 9/30/98 69,984 80,755 9/30/99 91,785 100,507 9/30/00 117,549 125,534 9/30/01 123,062 129,701 9/30/02 125,707 130,324 9/30/03 187,493 175,976 9/30/04 213,685 196,302 9/30/05 255,012 223,784 9/30/06 277,147 241,261 1 For the period ended September 30, 2006. Past performance is no indication of future performance. Class A Shares were offered beginning June 26, 1997. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 6 SEI Institutional International Trust / Annual Report / September 30, 2006 SCHEDULE OF INVESTMENTS International Equity Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 25.2% Asset-Backed Securities 7.4% Industrials 7.3% Consumer Discretionary 7.1% Short-Term Investments 7.0% Basic Materials 7.0% U.S. Government Agency Mortgage-Backed Securities 6.2% Consumer Staples 5.3% Energy 4.8% Healthcare 4.4% Commercial Paper 3.9% Telecommunication Services 3.7% Information Technology 3.3% Utilities 3.1% Time Deposits 2.3% U.S. Government Agency Obligations 0.9% U.S. Treasury Obligations 0.8% Equity-Linked Warrants 0.3% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 8). Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 84.1% AUSTRALIA -- 2.1% Amcor 191,383 $ 1,061 APN News & Media 137,460 521 Australia & New Zealand Banking Group 73,567 1,475 Babcock & Brown 141,139 2,121 BHP Billiton 115,919 2,217 BlueScope Steel 528,210 2,554 Brambles Industries (B) 55,521 528 Caltex Australia 20,289 362 Cochlear 32,694 1,293 Computershare 199,700 1,149 CSL 4,260 172 CSR 212,163 472 Foster's Group 1,631,201 7,839 Futuris 784,900 1,189 GPT Group 47,776 168 Insurance Australia Group 361,473 1,424 Lend Lease 15,895 190 Macquarie Airports 2,634,750 6,036 Macquarie Bank 32,369 1,670 Macquarie Infrastructure Group 165,623 396 Mayne Pharma 588,712 1,885 Mirvac Group 245,452 868 Newcrest Mining 72,800 1,222 OneSteel 252,934 793 Orica 162,157 2,719 Pacific Brands 50,080 95 PaperlinX 456,400 1,311 Promina Group 217,343 962 Qantas Airways 1,080,278 3,152 QBE Insurance Group 691,945 12,651 Rinker Group 236,769 2,456 Rio Tinto 64,538 3,376 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Santos 144,008 $ 1,203 Telstra 334,286 926 Toll Holdings 136,616 1,569 Woolworths 332,858 5,032 WorleyParsons 32,007 401 -------------- 73,458 -------------- AUSTRIA -- 0.5% Boehler-Uddeholm 30,014 1,687 Erste Bank der Oesterreichischen Sparkassen 17,501 1,088 OMV 61,200 3,168 Raiffeisen International Bank Holding 7,018 747 Telekom Austria 204,974 5,167 Voestalpine 132,900 5,483 -------------- 17,340 -------------- BELGIUM -- 1.3% Bekaert 13,000 1,279 Belgacom 7,375 287 Compagnie Maritime Belge 4,612 157 D'ieteren (B) 336 112 Delhaize Group 34,210 2,871 Dexia 211,473 5,473 Fortis 315,986 12,813 Fortis (Netherlands Line) 213,204 8,642 KBC Groep 96,209 10,122 Mobistar 6,989 578 Solvay 2,301 297 UCB 29,750 1,890 Umicore 9,900 1,464 -------------- 45,985 -------------- BRAZIL -- 0.1% Gerdau ADR 138,375 1,875 Uniao de Bancos Brasileiros ADR 13,800 1,021 -------------- 2,896 -------------- CANADA -- 1.9% Abitibi-Consolidated (B) 116,200 289 ACE Aviation Holdings, Cl A* 32,000 991 Alcan (B) 126,700 5,059 Cameco (B) 118,000 4,308 Canadian Natural Resources (B) 146,200 6,675 EnCana 20,500 956 Kinross Gold* 520,850 6,531 Manulife Financial (B) 32,700 1,055 Methanex (B) 51,300 1,246 Nexen (B) 63,000 3,374 Potash Saskatchewan (B) 37,300 3,879 Rogers Communications, Cl B (B) 219,800 12,057 Suncor Energy (B) 24,800 1,783 Teck Cominco, Cl B (B) 203,600 12,775 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 7 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TELUS (B) 73,800 $ 4,141 Toronto-Dominion Bank (B) 19,500 1,161 -------------- 66,280 -------------- CHINA -- 0.1% China Petroleum & Chemical, Cl H (B) 2,176,000 1,352 Foxconn International Holdings (B)* 756,000 2,328 -------------- 3,680 -------------- DENMARK -- 0.3% Carlsberg, Cl B 5,900 495 Danske Bank 82,500 3,241 East Asiatic 2,375 111 Novo-Nordisk, Cl B 35,600 2,643 TDC 700 26 Topdanmark* 24,750 3,414 Vestas Wind Systems* 44,400 1,184 William Demant Holding* 6,700 514 -------------- 11,628 -------------- FINLAND -- 1.0% Fortum 342,650 9,120 Kesko, Cl B 6,400 269 Metso 11,000 404 Neste Oil 30,700 891 Nokia 247,839 4,917 Nokia ADR 21,500 423 OKO Bank, Cl A 22,400 357 Outokumpu 219,300 5,592 Rautaruukki 126,300 3,624 Sampo, Cl A 135,700 2,826 UPM-Kymmene 161,900 3,843 YIT 30,800 713 -------------- 32,979 -------------- FRANCE -- 8.8% Accor (B) 18,817 1,281 Air France-KLM (B) 212,447 6,400 Air Liquide (B) 7,691 1,568 Alcatel (B) 85,500 1,043 Alstom (B)* 41,400 3,742 Assurances Generales de France (B) 103,470 13,015 AXA (B) 207,056 7,627 BNP Paribas (B) 361,917 38,900 Bouygues (B) 151,646 8,103 Capgemini (B) 226,670 12,011 Carrefour (B) 19,200 1,212 Casino Guichard Perrachon (B) 35,545 2,861 Cie de Saint-Gobain (B) 66,680 4,832 Cie Generale d'Optique Essilor International (B) 14,320 1,465 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CNP Assurances (B) 37,700 $ 3,653 Compagnie Generale des Etablissements Michelin, Cl B (B) 30,802 2,255 Credit Agricole (B) 325,982 14,304 Dassault Systemes (B) 16,662 937 France Telecom (B) 186,028 4,265 Groupe Danone (B) 113,510 15,917 Imerys (B) 16,500 1,380 L'Oreal (B) 31,625 3,209 Lafarge (B) 65,971 8,507 PagesJaunes Groupe (B) 29,500 837 Publicis Groupe (B) 29,800 1,173 Renault (B) 214,686 24,598 Sanofi-Aventis (B)* 325,354 28,932 Sanofi-Aventis (Germany Line) 2,125 189 Schneider Electric (B) 61,048 6,801 SCOR (B) 112,917 275 Societe Generale (B) 143,747 22,853 Suez (B)* 72,444 3,183 Thales (B) 44,900 1,990 Total (B) 524,029 34,352 Vallourec (B) 14,947 3,482 Veolia Environnement (B) 40,250 2,427 Vinci (B) 112,250 12,485 Vivendi (B) 201,135 7,244 -------------- 309,308 -------------- GERMANY -- 5.8% Allianz (B) 99,919 17,275 Altana 4,774 263 BASF (B) 69,389 5,551 Bayer (B) 393,769 20,052 Bayerische Motoren Werke (B) 121,026 6,476 Commerzbank (B) 446,147 15,005 Continental (B) 150,451 17,427 DaimlerChrysler (B) 101,973 5,091 Deutsche Bank (B) 99,842 12,035 Deutsche Boerse (B) 6,575 988 Deutsche Lufthansa (B) 465,600 9,856 Deutsche Post (B) 57,787 1,515 Deutsche Telekom 77,400 1,230 E.ON (B) 84,916 10,055 Fresenius Medical Care (B) 66,900 8,681 Hypo Real Estate Holding (B) 129,400 8,065 MAN (B) 27,074 2,289 Muenchener Rueckversicherungs (B) 88,107 13,919 RWE (B) 185,579 17,102 Salzgitter 45,500 4,272 SAP (B) 13,206 2,616 SAP ADR 15,900 787 Siemens (B) 133,392 11,625 Suedzucker (B) 37,113 916 -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ThyssenKrupp (B) 145,886 $ 4,910 Volkswagen (B) 71,061 6,047 Wincor Nixdorf (B) 2,424 352 -------------- 204,400 -------------- GREECE -- 0.2% Alpha Bank 12,556 335 Coca Cola Hellenic Bottling 14,650 504 Hellenic Telecommunications Organization 8,130 199 National Bank of Greece 32,585 1,401 OPAP 143,820 4,828 Titan Cement 9,690 459 -------------- 7,726 -------------- HONG KONG -- 1.6% ASM Pacific Technology (B) 65,500 344 Bank of East Asia (B) 1,314,000 5,995 BOC Hong Kong Holdings 1,109,100 2,491 Cheung Kong Holdings 256,400 2,752 China Mobile Hong Kong (B) 1,346,100 9,510 China Netcom Group (B) 575,000 1,032 CLP Holdings 141,000 854 Hang Lung Group 234,000 602 Hang Lung Properties (B) 1,159,100 2,475 Henderson Land Development (B) 657,700 3,697 Hong Kong & China Gas 352,000 825 Hong Kong Exchanges and Clearing 594,800 4,339 Hopewell Holdings 133,000 379 Hutchison Whampoa 131,700 1,163 Hysan Development 440,000 1,128 Kingboard Chemical Holdings 148,500 534 Li & Fung (B) 1,241,200 3,084 New World Development (B) 2,001,800 3,447 Orient Overseas International (B) 296,000 1,204 Sino Land (B) 2,232,459 3,954 Sun Hung Kai Properties 230,300 2,514 Swire Pacific, Cl A 308,500 3,223 Wharf Holdings 90,000 308 -------------- 55,854 -------------- HUNGARY -- 0.0% Mol Magyar Olaj-es Gazipari 13,000 1,183 -------------- INDIA -- 0.0% Punjab National Bank 90,000 1,031 -------------- IRELAND -- 0.3% Bank of Ireland 20,765 406 CRH 187,027 6,309 Depfa Bank 88,100 1,625 Fyffes 67,341 130 Irish Life & Permanent 51,900 1,299 -------------- 9,769 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ISRAEL -- 0.1% Bank Hapoalim 445,000 $ 2,103 Teva Pharmaceutical Industries ADR 25,000 852 -------------- 2,955 -------------- ITALY -- 2.7% Arnoldo Mondadori Editore 30,449 282 Banca Intesa 551,958 3,629 Banca Intesa RNC (B) 37,503 229 Banca Popolare di Milano 179,066 2,366 Banche Popolari Unite 130,613 3,511 Banco Popolare di Verona e Novara 167,389 4,620 Buzzi Unicem (B) 49,800 1,176 Capitalia 145,000 1,199 Enel 37,770 344 ENI 841,888 24,923 Fiat (B) 683,710 10,887 Fiat RNC (B) 185,190 2,717 Finmeccanica 55,500 1,238 Fondiaria-Sai 1,000 44 IFIL - Investments 867,900 5,860 Italcementi (B) 214,882 5,436 Lottomatica 32,200 1,212 Sanpaolo IMI 100,700 2,124 Telecom Italia 446,100 1,266 Telecom Italia RNC 1,023,126 2,462 UniCredito Italiano 2,052,355 17,016 -------------- 92,541 -------------- JAPAN -- 19.6% 77 Bank 165,300 1,147 Advantest 46,200 2,293 Aeon 382,650 9,383 Aisin Seiki 41,300 1,207 Amada 107,000 1,075 Aoyama Trading 38,600 1,233 Asahi Kasei 192,700 1,234 Asatsu-DK 92,400 2,810 Astellas Pharma 141,200 5,681 Bank of Kyoto (B) 94,000 951 Bank of Yokohama* 286,700 2,258 Canon 368,070 19,204 Canon Sales (B) 6,000 144 Central Glass (B) 26,000 144 Central Japan Railway 910 9,712 Chiba Bank 232,600 2,074 Chubu Electric Power 49,500 1,287 COMSYS Holdings (B) 45,000 494 Dai Nippon Printing 421,000 6,500 Daiichi Sankyo 97,700 2,772 Daimaru (B) 75,000 927 Dainippon Screen Manufacturing (B) 75,000 682 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 9 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Daito Trust Construction (B) 35,800 $ 1,944 Daiwa House Industry 113,000 1,957 Daiwa Securities Group 631,900 7,375 Denki Kagaku Kogyo 41,000 159 Denso 65,000 2,285 EDION 49,400 847 Elpida Memory* 45,700 2,075 Fanuc 41,500 3,241 Fuji Television Network 500 1,131 Fujikura 91,000 997 Fujitsu 52,000 429 Furukawa Electric 185,600 1,226 Gunze 334,800 1,894 Hankyu Holdings (B) 165,000 1,036 Hirose Electric (B) 10,100 1,339 Hitachi 418,000 2,439 Hitachi High-Technologies 28,500 806 Hokkaido Electric Power 93,400 2,266 Honda Motor 263,000 8,843 Hoya 52,100 1,964 Ibiden 20,100 1,062 Itochu 688,000 5,332 Japan Steel Works 1,073,200 7,345 Japan Tobacco 2,311 8,984 JFE Holdings (B) 257,000 10,078 Joyo Bank 195,900 1,163 JS Group 58,400 1,222 Kajima 732,900 3,352 Kamigumi 218,200 1,702 Kansai Electric Power 224,144 5,173 Kao 445,000 11,873 Katokichi 18,100 148 Keio 192,000 1,281 Kirin Brewery 80,724 1,078 Kobe Steel 1,705,000 5,358 Komatsu 246,700 4,263 Komori 16,000 326 Kubota (B) 161,000 1,323 Kyocera (B) 7,500 642 Kyowa Hakko Kogyo 29,000 204 Kyushu Electric Power (B) 127,900 3,022 Leopalace21 148,600 5,425 Makita (B) 84,500 2,483 Marubeni (B) 259,000 1,290 Matsushita Electric Industrial (B) 190,770 4,039 Matsushita Electric Works 107,400 1,135 Millea Holdings (B) (L) 197 3,437 Mitsubishi 1,101,300 20,708 Mitsubishi Chemical Holdings 462,500 2,899 Mitsubishi Electric 1,253,000 10,560 Mitsubishi Estate 495,600 10,830 Mitsubishi Gas Chemical 84,000 913 Mitsubishi Heavy Industries (B) 1,112,500 4,608 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mitsubishi UFJ Financial Group 1,840 $ 23,685 Mitsubishi UFJ Securities (B) 106,900 1,340 Mitsui 416,670 5,301 Mitsui Chemicals 854,000 6,148 Mitsui Mining & Smelting 32,000 165 Mitsui OSK Lines 696,000 5,146 Mitsui Sumitomo Insurance 610,900 7,642 Mitsui Trust Holdings 30,000 341 Mitsumi Electric 114,500 1,581 Mizuho Financial Group (B) 2,022 15,688 Murata Manufacturing (B) 15,400 1,070 NEC 262,000 1,440 Net One Systems 800 1,111 NGK Spark Plug (B) 87,000 1,728 Nichirei 22,000 116 Nikko Cordial 302,000 3,504 Nikon (B) 266,500 5,508 Nintendo 16,600 3,422 Nippon Electric Glass 150,000 3,310 Nippon Express 321,989 1,726 Nippon Light Metal 1,481,800 3,728 Nippon Mining Holdings 141,900 1,004 Nippon Oil 279,600 2,060 Nippon Paper Group 300 1,088 Nippon Sheet Glass 105,000 494 Nippon Shokubai (B) 93,000 1,126 Nippon Telegraph & Telephone 2,401 11,795 Nippon Yusen Kabushiki Kaisha 19,000 116 Nishimatsu Construction 380,200 1,420 Nissan Motor 712,800 7,987 Nisshin Seifun Group (B) 195,500 2,040 Nissin Food Products 14,000 446 Nitto Denko (B) 85,400 5,063 Nomura Holdings (B) 247,900 4,367 NSK 135,000 1,140 NTN (B) 26,000 206 NTT Data (B) 579 2,673 NTT DoCoMo 4,786 7,378 Obayashi (B) 973,200 6,858 Odakyu Electric Railway (B) 177,000 1,126 Oki Electric Industry (B) 878,000 1,978 Okumura 230,400 1,266 Omron 118,200 2,903 Onward Kashiyama 16,000 230 Oriental Land 69,500 3,903 ORIX (B) 74,820 20,691 Osaka Gas 1,480,600 5,167 Pioneer 73,400 1,293 Q.P. 133,100 1,258 Ricoh (B) 132,600 2,639 Rohm 11,500 1,068 Sankyo 22,500 1,202 Santen Pharmaceutical 6,600 168 -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sanwa Shutter (B) 41,000 $ 233 Sega Sammy Holdings 117,410 3,779 Seiko Epson 76,400 2,084 Seino Transportation 115,800 1,362 Sekisui House 84,578 1,280 SFCG 6,900 1,310 Sharp 226,000 3,876 Shimamura (B) 10,300 1,007 Shimizu 492,800 2,817 Shin-Etsu Chemical 66,900 4,272 Shinsei Bank 1,321,000 8,056 Shizuoka Bank 155,800 1,694 SMC (B) 29,200 3,866 Softbank (B) 452,500 9,371 Sompo Japan Insurance (B) 203,000 2,660 Sony (B) 45,500 1,842 Stanley Electric 39,000 806 Sumco 29,600 2,194 Sumitomo 604,700 7,544 Sumitomo Bakelite 35,000 264 Sumitomo Chemical 658,593 4,920 Sumitomo Heavy Industries (B) 529,000 4,431 Sumitomo Metal Industries 1,327,000 5,092 Sumitomo Metal Mining 253,300 3,321 Sumitomo Mitsui Financial Group (B) 3,034 31,865 Sumitomo Realty & Development (B) 100,000 2,939 Sumitomo Trust & Banking 147,677 1,546 Suzuken 26,000 976 Suzuki Motor 211,500 5,374 T&D Holdings (B) 86,850 6,289 Taisei 1,075,300 3,862 Taiyo Nippon Sanso 156,000 1,325 Takeda Pharmaceutical 151,400 9,451 Takefuji 22,730 1,043 Tanabe Seiyaku 61,000 765 TDK 10,900 873 Toda 256,000 1,199 Tokyo Broadcasting System 57,000 1,330 Tokyo Electric Power 348,700 10,042 Tokyo Electron 97,800 7,232 Tokyo Gas (B) 516,400 2,589 Tokyo Tatemono 193,800 2,180 Tokyu (B) 434,300 2,987 Toray Industries 215,000 1,619 Toshiba (B) 893,600 5,798 Toyo Seikan Kaisha 97,500 1,866 Toyo Suisan Kaisha 31,000 447 Toyota Industries 27,200 1,154 Toyota Motor 434,100 23,605 Trend Micro (B) 62,500 1,832 UNY 33,000 438 Ushio (B) 48,600 1,048 USS 8,580 552 West Japan Railway 400 1,711 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Yahoo! Japan 4,456 $ 1,678 Yamada Denki 122,400 12,275 Yamaha (B) 61,800 1,301 Yamaha Motor (B) 43,400 1,151 Yamato Transport (B) 181,800 2,632 Yamazaki Baking 24,000 233 Yaskawa Electric 11,000 108 -------------- 687,972 -------------- LUXEMBOURG -- 0.0% Oriflame Cosmetics SDR 3,550 118 SES Global FDR (Paris Exchange) 74,390 1,107 -------------- 1,225 -------------- MEXICO -- 0.7% America Movil ADR, Ser L 331,650 13,057 Fomento Economico Mexicano ADR 96,460 9,351 -------------- 22,408 -------------- NETHERLANDS -- 5.0% ABN AMRO Holding (B) 470,301 13,702 Aegon 430,275 8,061 Akzo Nobel 293,076 18,036 CSM 84,420 2,684 European Aeronautic Defense and Space (B) 136,290 3,916 Fugro 9,132 384 Heineken 34,776 1,589 Heineken Holding 65,662 2,578 ING Groep 943,422 41,457 Koninklijke Philips Electronics (B) 69,000 2,419 Mittal Steel (B) 310,508 10,833 OCE 42,829 687 Randstad Holdings 28,745 1,635 Reed Elsevier 94,150 1,568 Royal Dutch Shell, Cl A (B) 650,485 21,399 Royal Dutch Shell, Cl A (GBP) 147,909 4,868 Royal Dutch Shell, Cl B 327,339 11,086 Royal KPN 577,194 7,355 SBM Offshore 43,400 1,178 Unilever 743,150 18,263 Vedior 63,600 1,190 Wolters Kluwer 51,300 1,337 -------------- 176,225 -------------- NEW ZEALAND -- 0.1% Fisher & Paykel Appliances Holdings 80,303 189 Telecom of New Zealand 975,604 2,771 -------------- 2,960 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 11 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NORWAY -- 0.8% DNB 401,300 $ 4,919 Norsk Hydro (B) 353,138 7,896 Norske Skogindustrier 154,942 2,332 Orkla 51,450 2,451 Statoil 300,250 7,105 Storebrand 23,200 245 TGS Nopec Geophysical Co ASA* 10,648 168 Yara International 58,000 881 -------------- 25,997 -------------- PHILIPPINES -- 0.0% Philippine Long Distance Telephone (L) 21,400 968 -------------- PORTUGAL -- 0.6% Banco Comercial Portugues (B) 1,999,542 6,206 Banco Espirito Santo (B) 81,500 1,244 Brisa-Auto Estradas de Portugal (B) 130,700 1,447 Cimpor Cimentos de Portugal 29,870 214 Energias de Portugal 1,538,240 6,664 Sonae 2,284,800 3,965 -------------- 19,740 -------------- SINGAPORE -- 0.8% CapitaLand (B) 1,387,624 4,417 DBS Group Holdings (B) 207,800 2,515 Flextronics International* 257,000 3,249 Fraser and Neave 469,127 1,224 Oversea-Chinese Banking (B) 333,100 1,375 SembCorp Marine 259,000 545 Singapore Airlines (B) 197,045 1,814 Singapore Exchange (B) 431,500 1,208 Singapore Petroleum 133,000 394 Singapore Telecommunications (B) 3,627,000 5,579 United Overseas Bank (B) 445,000 4,572 UOL Group 9,000 20 Venture 18,000 143 -------------- 27,055 -------------- SOUTH AFRICA -- 0.3% ABSA Group 75,200 963 Harmony Gold Mining* 173,400 2,245 Sanlam 745,380 1,641 Sasol 141,367 4,659 Standard Bank Group 81,700 818 Tiger Brands 43,500 793 -------------- 11,119 -------------- SOUTH KOREA -- 1.1% Honam Petrochemical 23,600 1,471 Industrial Bank of Korea 49,730 851 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INI Steel 59,040 $ 2,056 Kookmin Bank 31,520 2,484 POSCO 8,800 2,278 Samsung Electronics 16,585 11,635 Samsung Electronics GDR 26,208 9,199 Shinhan Financial Group 200,200 9,021 -------------- 38,995 -------------- SPAIN -- 2.9% Acciona 747 113 Acerinox (B) 41,738 804 ACS Actividades Construcciones y Servicios (B) 264,258 12,520 Altadis 36,328 1,723 Banco Bilbao Vizcaya Argentaria (B) 774,079 17,895 Banco Popular Espanol 83,100 1,361 Banco Santander Central Hispano 1,201,502 18,979 Ebro Puleva (B) 17,570 359 Endesa 431,839 18,353 Fomento de Construcciones y Contratas 7,939 634 Iberdrola 93,517 4,182 Inditex 23,730 1,105 Repsol 558,813 16,614 Sociedad General de Aguas de Barcelona 5,087 165 Telefonica 384,024 6,650 Union Fenosa 1 -- -------------- 101,457 -------------- SWEDEN -- 1.9% Assa Abloy, Cl B 61,500 1,143 Atlas Copco, Cl A 423,150 11,115 Boliden 15,769 299 D Carnegie 64,100 1,351 Electrolux, Ser B 82,500 1,340 Holmen, Cl B 79,800 3,332 Nobia 4,095 137 Nordea Bank 286,700 3,756 Scania, Cl B 48,700 2,904 Skandinaviska Enskilda Banken, Cl A 233,200 6,269 SKF, Cl B 201,269 2,945 Ssab Svenskt Stal, Cl A 7,846 146 Ssab Svenskt Stal, Cl B 91,000 1,614 Svenska Cellulosa, Cl B 65,100 2,985 Svenska Handelsbanken, Cl A 150,600 4,069 Swedish Match 107,300 1,746 Telefonaktiebolaget LM Ericsson, Cl B 3,273,163 11,344 TeliaSonera 889,400 5,704 Trelleborg, Cl B 13,200 249 Volvo, Cl B 47,200 2,811 -------------- 65,259 -------------- -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SWITZERLAND -- 5.1% ABB 134,316 $ 1,762 Adecco 22,300 1,342 Compagnie Financiere Richemont, Cl A 130,487 6,264 Credit Suisse Group 360,165 20,781 Geberit 1,414 1,719 Givaudan 1,400 1,118 Holcim 218,397 17,800 Nestle 80,264 27,908 Novartis 662,224 38,552 Phonak Holding 24,369 1,537 Rieter Holding 2,558 1,099 Roche Holding 121,181 20,893 Serono, Cl B 660 568 Sulzer 1,600 1,271 Swatch Group 9,828 380 Swiss Reinsurance (B) 98,738 7,536 Swisscom 5,956 1,977 UBS 223,601 13,338 Xstrata 210,501 8,678 Zurich Financial Services 14,981 3,671 -------------- 178,194 -------------- TAIWAN -- 0.2% Compal Electronics 1,284,362 1,137 HON HAI Precision Industry GDR 137,952 1,697 Taiwan Semiconductor Manufacturing 1,023,086 1,845 Taiwan Semiconductor Manufacturing ADR 314,380 3,018 -------------- 7,697 -------------- THAILAND -- 0.0% PTT 199,200 1,145 -------------- TURKEY -- 0.0% Ford Otomotiv Sanayi -- -- -------------- UNITED KINGDOM -- 18.2% 3i Group 206,976 3,617 Acergy* 275,100 4,706 Aegis Group 765,600 1,913 Alliance Boots 141,111 2,043 Anglo American 162,132 6,763 ARM Holdings 191,111 419 AstraZeneca 447,479 27,901 AstraZeneca (SEK) 77,836 4,848 Aviva 674,787 9,869 BAE Systems 1,194,900 8,822 Balfour Beatty 40,309 310 Barclays 1,963,668 24,722 Barratt Developments 69,444 1,383 Bellway 14,584 351 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Berkeley Group Holdings 7,156 $ 180 BG Group 87,600 1,062 BHP Billiton 1,149,780 19,802 Bovis Homes Group 21,965 380 BP 3,459,662 37,611 Brambles Industries 147,043 1,316 British Airways* 483,908 3,860 British American Tobacco 684,581 18,465 British Land 224,523 5,721 Brixton 127,800 1,263 BT Group 171,076 856 Burberry Group 165,740 1,597 Cadbury Schweppes 1,602,700 17,019 Carnival 5,991 286 Cattles 192,300 1,364 Centrica 220,500 1,340 Charter* 246,000 3,920 Close Brothers Group 74,100 1,413 Cookson Group 258,633 2,742 Corus Group 448,720 3,252 Diageo 626,519 11,042 Drax Group* 149,768 2,332 Emap 28,792 404 Enterprise Inns 62,932 1,240 First Choice Holidays 65,274 243 Firstgroup 167,745 1,538 FKI 653,400 1,102 Friends Provident 1,327,770 4,799 Gallaher Group 11,419 186 GKN 62,962 338 GlaxoSmithKline 1,172,889 31,154 GUS 217,707 3,928 Hammerson 67,793 1,661 Hanson 239,193 3,456 Hays 3,317,757 8,955 HBOS 937,245 18,505 HSBC Holdings 1,764,875 32,126 ICAP 154,000 1,484 Imperial Chemical Industries 238,793 1,772 Imperial Tobacco Group 531,114 17,659 Inchcape 93,750 917 Intercontinental Hotels Group 611,548 10,687 International Power 80,371 470 Investec 114,500 1,122 J Sainsbury 1,115,596 7,825 Johnston Press 266,887 2,030 Kingfisher 519,300 2,379 Ladbrokes 548,557 3,986 Land Securities Group 32,500 1,195 Legal & General Group 769,036 2,047 Liberty International 6,751 154 Lloyds TSB Group 389,086 3,921 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 13 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- LogicaCMG 671,500 $ 1,944 London Stock Exchange Group 142,356 3,287 Man Group 469,800 3,931 Marks & Spencer Group 884,000 10,609 Michael Page International 37,448 269 Mitchells & Butlers 418,400 4,607 National Grid 743,136 9,266 Northern Rock 78,294 1,708 Pearson 56,469 802 Persimmon 101,518 2,537 Prudential 13,331 165 Punch Taverns 285,822 5,176 Reckitt Benckiser 249,715 10,327 Reed Elsevier 928,446 10,276 Rio Tinto 357,826 16,890 Rolls-Royce Group 318,300 2,693 Royal & Sun Alliance Insurance Group 1,833,087 5,102 Royal Bank of Scotland Group 1,202,823 41,319 SABMiller 223,506 4,167 Schroders 54,600 949 Scottish & Newcastle 125,544 1,337 Scottish & Southern Energy 233,422 5,747 Scottish Power 1,651,575 20,099 Smith & Nephew 128,500 1,179 Smiths Group 240,274 4,024 Stagecoach Group 126,855 301 Standard Chartered 160,422 4,099 Tate & Lyle 10,362 139 Taylor Woodrow 327,503 2,170 Tesco 222,200 1,494 Tomkins 58,519 259 Trinity Mirror 34,141 304 Unilever 67,657 1,664 United Business Media 146,957 1,819 United Utilities 64,315 848 Vodafone Group 18,806,557 42,946 Whitbread 181,413 4,388 Wimpey George 471,026 4,558 WPP Group 144,597 1,788 Yell Group 125,100 1,392 -------------- 638,352 -------------- Total Common Stock (Cost $2,352,495) ($ Thousands) 2,945,781 -------------- ASSET-BACKED SECURITIES -- 9.5% ACE Securities, Ser 2003-NC1, Cl M (D) 6.110%, 07/25/33 $ 2,100 2,113 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.030%, 12/25/33 800 804 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 (D) 6.030%, 01/25/34 361 361 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) (K) 5.294%, 06/25/45 $ 18,798 $ 18,587 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) (K) 5.350%, 11/25/45 7,205 7,122 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 12/25/35 5,260 5,215 American Home Mortgage Investment Trust, Ser 2004-3, Cl 3A 3.710%, 10/25/34 3,307 3,267 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.230%, 03/25/33 1,424 1,427 Argent Securities, Ser 2003-W5, Cl M1 (D) 6.030%, 10/25/33 600 607 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.020%, 03/25/34 1,400 1,409 Asset Backed Funding Certificates, Ser 2005-AQ1, Cl A1B (D) 4.250%, 06/25/35 580 578 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.080%, 09/15/33 1,642 1,651 Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M2 (D) 7.080%, 12/15/33 750 762 Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.485%, 02/20/36 661 659 Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) (K) 5.410%, 04/25/35 11,372 11,374 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-7, Cl 1A1 (D) 4.912%, 10/25/34 1,634 1,639 Bear Stearns Asset Backed Securities Trust, Ser 2004-HE11, Cl 1A2 (D) 5.630%, 04/25/33 1,284 1,285 Bear Stearns NIM Trust, Ser 2005-AQ2N, Cl A1 (F) 5.500%, 09/25/35 85 84 Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A1 (D) 5.480%, 09/25/35 1,351 1,351 Centex Home Equity, Ser 2004-B, Cl AF3 (G) 2.946%, 05/25/28 254 252 Centex Home Equity, Ser 2004-D, Cl AV4 (D) 5.630%, 11/25/31 2,309 2,309 -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 $ 2,141 $ 2,128 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.480%, 12/25/35 800 812 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) 7.330%, 01/25/36 1,221 1,221 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.760%, 06/30/36 1,700 1,701 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 6.930%, 01/25/34 775 782 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (D) 5.710%, 03/25/33 1,940 1,942 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.470%, 04/25/36 3,370 3,371 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) (K) 5.420%, 04/25/36 5,939 5,940 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) (K) 5.530%, 05/15/36 9,830 9,830 Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.092%, 11/25/34 2,281 2,265 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.152%, 04/20/36 7,260 7,225 Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.550%, 06/25/36 3,795 3,796 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.070%, 03/30/36 760 763 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 5.930%, 01/19/45 1,224 1,238 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.140%, 03/30/36 490 493 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.080%, 03/30/36 490 493 Deustche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 6,489 6,493 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.730%, 12/25/32 1,653 1,657 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (D) 5.550%, 05/25/35 $ 6,000 $ 6,005 First Franklin Mortgage Loan Asset, Ser 2005-FFA, Cl A2A (D) 5.440%, 03/25/25 30 30 First Franklin Mortgage Loan Asset, Ser 2005-FFH3, Cl 2A1 (D) (K) 5.460%, 09/25/35 3,776 3,777 First Horizon Alternative Mortgage, Ser 2005-AA3, Cl 3A1 (D) 5.372%, 05/25/35 1,247 1,245 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) (K) 5.540%, 11/25/36 17,300 17,308 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) (K) 5.430%, 12/25/35 11,784 11,788 GSAA Home Equity NIM Trust, Ser 2006-3N, Cl N1 (F) 5.750%, 03/25/36 251 250 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) 5.500%, 05/25/36 355 354 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 5.900%, 02/25/36 1,246 1,253 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.230%, 10/25/33 1,265 1,273 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) 6.500%, 05/27/36 446 446 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 5.469%, 10/25/34 1,058 1,079 Interstar Millennium Trust, Ser 2006-2GA, Cl A1 (C) (D) (F) 5.306%, 05/25/11 25,000 25,000 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 11,527 11,670 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) 7.080%, 11/25/35 1,850 1,803 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) 7.080%, 12/25/35 1,075 1,035 Lothian Mortgages Master Issue Trust, Ser 2006-1A, Cl A1 (C) (D) (F) 5.300%, 01/24/28 5,440 5,440 Master Asset Backed Securities Trust, Ser 2002-OPT1, Cl M1 (D) 6.480%, 11/25/32 524 525 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 15 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Master Asset Backed Securities Trust, Ser 2003-WMC2, Cl M1 (D) 6.030%, 08/25/33 $ 952 $ 952 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) (K) 5.470%, 02/25/36 13,200 13,201 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 6.980%, 07/25/34 520 521 Merrill Lynch Mortgage Investors, Ser 2005-HE2, Cl A2A (D) 5.440%, 09/25/36 1,615 1,615 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A1 (D) 5.350%, 02/25/36 7,417 7,354 Morgan Stanley Capital I, Cl 2003-NC8, Cl M1 (D) 6.030%, 09/25/33 2,000 2,006 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 08/25/34 4,183 4,152 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (D) (K) 5.450%, 10/25/35 6,474 6,475 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 1,863 1,902 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 2,137 2,177 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.980%, 08/25/33 1,250 1,256 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) 7.830%, 01/25/36 230 199 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) 7.830%, 01/25/36 500 475 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.130%, 01/25/46 1,298 1,323 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.267%, 03/25/35 6,322 6,311 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.730%, 02/25/46 980 982 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.060%, 12/25/33 700 705 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.404%, 02/25/36 6,725 6,726 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) (K) 5.400%, 03/25/36 $ 11,673 $ 11,673 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.276%, 12/25/34 6,520 6,519 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.430%, 02/25/36 6,172 6,171 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.480%, 02/25/36 4,800 4,800 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) 7.500%, 06/25/36 428 428 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) 5.000%, 05/25/35 908 907 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.230%, 08/25/35 775 780 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.560%, 02/25/35 3,491 3,494 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (D) 5.460%, 10/25/35 1,995 1,995 Structured Asset Securities, Ser 2005-NC1, Cl A2 (G) 3.920%, 02/25/35 884 878 Structured Asset Securities, Ser 2005-S1, Cl B3 (D) (F) 7.830%, 03/25/35 850 828 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) (K) 5.414%, 06/25/36 16,487 16,487 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) 4.500%, 06/25/36 2,679 2,657 Wachovia Asset Securization, Ser 2004-HM1A, Cl A (C) (D) (F) 5.320%, 11/25/34 8,548 8,548 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (D) 3.450%, 06/25/19 3,761 3,735 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 3.365%, 07/25/34 742 745 -------------- Total Asset-Backed Securities (Cost $333,860) ($ Thousands) 334,264 -------------- -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 8.4% Aetna 5.750%, 06/15/11 $ 1,520 $ 1,545 Banco Santander (C) (D) (F) 5.330%, 08/22/11 23,000 23,000 Beta Finance MTN (C) (D) (F) 5.420%, 05/10/07 33,000 32,997 Cheyne Finance LLC MTN (C) (D) (F) 5.424%, 04/16/07 20,000 19,998 Cit Group 5.000%, 02/13/14 2,030 1,962 Comcast 5.300%, 01/15/14 1,035 1,008 Cox Communications 4.625%, 06/01/13 1,520 1,413 Credit Suisse First Boston USA 6.500%, 01/15/12 1,015 1,069 Dominion Resources 4.750%, 12/15/10 1,015 990 Embarq 6.738%, 06/01/13 1,520 1,564 Exelon Generation 6.950%, 06/15/11 1,520 1,611 Genworth Financial 5.750%, 06/15/14 1,520 1,550 Goldman Sachs 5.500%, 11/15/14 3,045 3,032 HSBC Finance 6.375%, 10/15/11 1,520 1,589 Harrahs Operating 5.500%, 07/01/10 1,520 1,497 Istar Financial 5.875%, 03/15/16 1,015 1,010 JPMorgan Chase 5.125%, 09/15/14 1,520 1,491 K2 LLC MTN (C) (D) (F) 5.420%, 05/21/07 10,000 9,999 5.345%, 04/18/07 9,500 9,500 Kinder Morgan Energy Partners 5.000%, 12/15/13 1,520 1,444 Lehman Brothers Holdings 5.500%, 04/04/16 1,520 1,514 Liberty Lighthouse US Capital MTN (C) (D) (F) 5.310%, 03/01/07 20,000 19,998 Links Finance LLC MTN (C) (D) (F) 5.420%, 05/21/07 30,000 29,999 Merrill Lynch 6.050%, 05/16/16 1,520 1,572 Morgan Stanley 4.750%, 04/01/14 1,520 1,446 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Natexis Banques (C) (D) 5.350%, 02/01/07 $ 38,000 $ 38,000 Omnicon Group 5.900%, 04/15/16 845 857 Premier Asset Collateralization LLC MTN (C) (D) (F) 5.310%, 04/25/07 25,000 25,000 Residential Capital 6.875%, 06/30/15 265 275 6.500%, 04/17/13 3,990 4,052 6.000%, 02/22/11 700 699 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 1,740 1,728 Sigma Finance MTN (C) (D) (F) 5.340%, 04/18/07 20,000 20,000 Simon Property Group 5.750%, 12/01/15 1,015 1,023 5.600%, 09/01/11 795 801 Teva Pharmaceutical 5.550%, 02/01/16 1,520 1,492 Time Warner 6.875%, 05/01/12 1,520 1,607 Wachovia 4.875%, 02/15/14 1,015 982 Wachovia Bank (C) (D) 5.425%, 05/22/07 20,000 20,000 Washington Mutual Preferred Funding (D) (F) 6.534%, 03/15/49 1,900 1,867 Wellpoint 6.800%, 08/01/12 1,015 1,083 Western Union (F) 5.930%, 10/01/16 915 923 -------------- Total Corporate Obligations (Cost $292,118) ($ Thousands) 293,187 -------------- U.S. GOVERNMENT AGENCY MORTGAGE- BACKED OBLIGATIONS (D) -- 8.1% FHLMC 5.815%, 02/01/36 1,488 1,494 5.572%, 10/01/35 2,534 2,540 FNMA 5.524%, 01/01/36 2,579 2,582 5.500%, 12/01/20 to 03/01/21 28,606 28,603 FNMA 15 Year TBA 6.000%, 10/20/19 31,000 31,465 5.500%, 12/01/20 to 10/15/21 37,952 37,930 FNMA 30 Year TBA 6.500%, 10/01/32 15,000 15,272 5.500%, 10/01/34 136,000 133,960 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 17 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1)/Shares ($ Thousands) -------------------------------------------------------------------------------- GNMA 5.625%, 02/20/34 $ 2,416 $ 2,423 5.500%, 06/20/34 5,600 5,621 5.250%, 01/20/30 692 695 5.000%, 02/20/33 1,052 1,053 5.000%, 02/20/35 (I) 326 326 4.500%, 08/20/34 to 03/20/36 2,804 2,769 4.500%, 06/20/36 3,057 3,067 4.375%, 06/20/33 (I) 2,417 2,431 4.000%, 07/20/35 1,441 1,433 4.000%, 02/20/36 (I) 1,337 1,366 3.750%, 02/20/34 8,517 8,381 3.000%, 04/20/35 (I) 808 794 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $282,011) ($ Thousands) 284,205 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (D) -- 1.1% FHLMC CMO STRIPS, Ser 232, Cl IO, IO (E) 9.953%, 08/01/35 4,641 1,131 FHLMC CMO STRIPS, Ser 233, Cl 12, IO (E) 11.564%, 09/15/35 5,268 1,216 FHLMC DN (A) (H) 5.081%, 10/23/06 1,975 1,969 5.050%, 11/14/06 1,200 1,193 FNMA CMO STRIPS, Ser 2006-10, Cl FD 5.680%, 03/25/36 7,102 7,073 FNMA CMO STRIPS, Ser 359, Cl 6, IO (E) 11.852%, 11/01/35 2,173 516 FNMA CMO STRIPS, Ser 360, Cl 2, IO (E) 9.966%, 08/01/35 29,645 7,226 FNMA CMO STRIPS, Ser 365, Cl 2, IO (E) 11.790%, 03/01/36 1,824 437 FNMA DN (A) (H) 5.394%, 12/06/06 2,000 1,981 5.329%, 11/29/06 335 332 5.205%, 03/30/07 900 877 5.160%, 02/07/07 125 123 5.150%, 11/08/06 15,300 15,221 4.680%, 06/01/99 200 193 -------------- Total U.S. Government Agency Obligations (Cost $39,509) ($ Thousands) 39,488 -------------- PREFERRED STOCK -- 0.6% AUSTRALIA -- 0.0% News 44,855 870 -------------- BRAZIL -- 0.2% Petroleo Brasileiro 236,000 4,407 Suzano Bahia Sul Papel e Celulose 126,000 879 Usinas Siderurgicas de Minas Gerais, Cl A 54,200 1,614 -------------- 6,900 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1)/Contracts ($ Thousands) -------------------------------------------------------------------------------- GERMANY -- 0.4% Porsche 9,543 $ 9,874 ProSiebenSat.1 Media (B) 43,500 1,204 Volkswagen 6,348 375 -------------- 11,453 -------------- Total Preferred Stock (Cost $11,724) ($ Thousands) 19,223 -------------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 20,000 1,355 -------------- Total Exchange Traded Fund (Cost $1,332) ($ Thousands) 1,355 -------------- EQUITY LINKED WARRANTS -- 0.4% TAIWAN -- 0.2% HON HAI Precision Industry* 1,545,240 9,407 -------------- THAILAND -- 0.2% High Tech Computer* 233,760 6,187 -------------- Total Equity Linked Warrants (Cost $9,788) ($ Thousands) 15,594 -------------- PURCHASED OPTIONS -- 0.0% 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95* 320 228 90 Day Euro Futures Put, Expires 10/13/06, Strike Price $94.38* 122 1 -------------- Total Purchased Options (Cost $258) ($ Thousands) 229 -------------- COMMERCIAL PAPER (C) (E) -- 5.1% Atlas Capital Funding 5.299%, 02/12/07 30,000 30,000 Bavaria TRR 5.306%, 10/05/06 23,000 22,987 Brahms Funding 5.324%, 10/12/06 24,000 23,961 5.301%, 10/10/06 5,000 4,993 Citius I Funding 5.298%, 10/25/06 8,000 7,972 Harwood Street Funding I 5.312%, 10/04/06 10,000 9,996 Mica Funding LLC 5.297%, 10/04/06 25,000 24,989 Mint II LLC 5.308%, 10/05/06 25,000 24,985 -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Von Karman Funding 5.361%, 10/13/06 $ 28,000 $ 27,950 -------------- Total Commercial Paper (Cost $177,833) ($ Thousands) 177,833 -------------- TIME DEPOSITS -- 3.0% Brown Brothers Harriman 7.050%, 10/02/06 ZAR 136 18 6.350%, 10/02/06 NZD 1 1 5.060%, 10/02/06 AUD 135 101 4.630%, 10/02/06 89,969 89,969 3.920%, 10/02/06 GBP 1,315 2,456 3.250%, 10/02/06 CAD 65 58 3.050%, 10/02/06 HKD 3,325 427 2.350%, 10/02/06 SGD 4,600 2,900 2.190%, 10/02/06 EUR 5,753 7,287 2.100%, 10/02/06 DKK 82 14 1.900%, 10/02/06 NOK 3 -- 1.583%, 10/02/06 SEK 3,047 416 0.829%, 10/02/06 CHF 260 207 0.000%, 10/02/06 JPY 11,030 93 -------------- Total Time Deposits (Cost $103,947) ($ Thousands) 103,947 -------------- CASH EQUIVALENTS** -- 1.6% Barclays Global Investors Funds, Prime Money Market Fund, 5.230% (C) 563,843 564 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%++ 39,946,154 39,946 The Reserve Funds, Primary Fund, Cl 8, 5.200% (C) 16,837,054 16,837 -------------- Total Cash Equivalents (Cost $57,347) ($ Thousands) 57,347 -------------- U.S. TREASURY OBLIGATIONS (E) -- 1.0% U.S. Treasury Bills 5.054%, 10/19/06 1,300 1,297 5.043%, 10/12/06 1,900 1,898 5.039%, 10/05/06 1,100 1,100 4.983%, 11/24/06 (A) 7,374 7,323 4.969%, 11/16/06 1,000 994 4.952%, 10/26/06 200 199 4.939%, 11/09/06 1,550 1,543 U.S. Treasury Inflationary Index Notes 2.375%, 04/15/11 19,898 19,919 -------------- Total U.S. Treasury Obligations (Cost $34,256) ($ Thousands) 34,273 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS(C) (J) -- 7.4% Banc of America 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $65,028,979 (collateralized by various U.S. Government Obligations, ranging in par value $4,335,300- $33,375,676, 5.500%-7.000%, 09/01/34-08/01/36; with total market value $66,300,000) $ 65,000 $ 65,000 Deutsche Bank 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $75,033,438 (collateralized by various U.S. Government Obligations, ranging in par value $2,002,841- $22,728,112, 5.000%-7.000%, 09/01/35-09/01/36; with total market value $76,500,001) 75,000 75,000 Goldman Sachs 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $40,017,933 (collateralized by a U.S. Government Obligation, par value $47,499,001, 5.000%, 10/01/20; with total market value $40,800,000) 40,000 40,000 Lehman Brothers 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $18,008,070 (collateralized by various U.S. Government Obligations, ranging in par value $4,954,015-$8,868,425, 4.500%-6.500%, 05/01/17-05/01/36; with total market value $18,360,512) 18,000 18,000 Merrill Lynch 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $63,028,088 (collateralized by various U.S. Government Obligations, ranging in par value $5,000-$9,000,000, 0.000%, 06/01/14-10/01/43; with total market value $64,262,264) 63,000 63,000 -------------- Total Repurchase Agreements (Cost $261,000) ($ Thousands) 261,000 -------------- Total Investments -- 130.3% (Cost $3,957,478) ($ Thousands) $ 4,567,726 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 19 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) September 30, 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) $ (188) 90 Day Euro Futures Put, Expires 10/13/06, Strike Price $94.50 (122) -- -------------- Total Written Options (Premiums Received $(232)) ($ Thousands) $ (188) ============== Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
-------------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------------- 10/20/06 EUR 27,347 USD 34,708 $ 35 10/20/06-10/20/06 USD 4,376 CAD 4,910 28 10/20/06-10/25/06 USD 116,801 GBP 61,541 (1,823) 10/25/06-9/26/09 USD 107,770 JPY 12,447,481 (1,667) 10/20/06 CAD 7,200 USD 6,449 (8) 10/20/06 EUR 3,170 SEK 29,320 (13) 10/20/06 HKD 89,702 USD 11,535 17 10/20/06 MXP 241,106 USD 22,061 154 10/20/06 SEK 24,500 EUR 2,658 23 10/20/06 ZAR 111,883 USD 15,142 755 10/20/06-10/25/06 USD 99,247 AUD 131,632 (1,077) 10/20/06-10/25/06 USD 12,349 DKK 72,468 (25) 10/20/06-12/21/06 USD 70,974 CHF 88,316 (348) 10/25/06 USD 116,140 EUR 90,681 (1,134) 10/25/06 USD 2,632 NOK 17,132 -- 10/25/06 USD 657 NZD 996 (8) 10/25/06 USD 8,754 SEK 63,125 (124) 10/25/06 USD 3,002 SGD 4,734 (14) 12/21/06-2/21/07 CHF 37,500 USD 30,525 308 12/21/06-2/21/07 JPY 2,667,000 GBP 12,302 29 12/21/06-2/21/07 JPY 5,356,000 USD 46,457 358 12/21/06-3/22/07 JPY 3,568,000 NZD 48,229 488 1/22/07-2/21/07 CHF 28,300 GBP 12,199 (55) 1/22/07-2/21/07 GBP 8,196 CHF 18,900 (62) 1/23/07-2/21/07 NZD 23,824 JPY 1,783,000 (61) 2/21/07 GBP 4,123 JPY 888,000 (40) --------- $ (4,264) =========
Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): ------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) ------------------------------------------------------------------------------- 90-Day Euro$ (144) Mar-2007 $ (10) 90-Day Euro$ (144) Mar-2008 (136) 90-Day Euro$ (144) Mar-2009 (135) 90-Day Euro$ (142) Mar-2010 (122) 90-Day Euro$ (130) Mar-2011 (130) 90-Day Euro$ (218) Jun-2007 (127) 90-Day Euro$ (126) Jun-2008 (115) 90-Day Euro$ (144) Jun-2009 (132) 90-Day Euro$ (165) Jun-2010 (141) 90-Day Euro$ (6) Jun-2011 (5) 90-Day Euro$ (144) Sep-2007 (94) 90-Day Euro$ (144) Sep-2008 (141) 90-Day Euro$ (144) Sep-2009 (129) 90-Day Euro$ (162) Sep-2010 (138) 90-Day Euro$ (70) Dec-2006 36 90-Day Euro$ (144) Dec-2007 (125) 90-Day Euro$ (144) Dec-2008 (140) 90-Day Euro$ (144) Dec-2009 (127) 90-Day Euro$ (162) Dec-2010 (136) Amsterdam Exchange Index 116 Oct-2006 484 CAC40 10 Euro 571 Oct-2006 748 DAX Index 219 Dec-2006 824 DJ Euro Stoxx 50 Index 620 Dec-2006 622 Euro-Bund (82) Dec-2006 (82) FTSE 100 Index 1,120 Dec-2006 1,475 Hang Seng Index 77 Oct-2006 12 Ibex 35 Index 93 Oct-2006 962 MSCI Singapore Index 93 Oct-2006 24 OMX Index 1,586 Oct-2006 214 S&P/MIB Index 70 Dec-2006 309 SPI 200 Index 295 Dec-2006 870 Topix Index 845 Dec-2006 (2,215) U.S. 10-Year Note (166) Dec-2006 (169) U.S. 2-Year Note (72) Dec-2006 (23) U.S. 5-Year Note (613) Dec-2006 (412) U.S. Long Treasury Bond (29) Dec-2006 (54) -------- $ 1,542 ======== -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Annual Report / September 30, 2006 Swaps -- A summary of outstanding swap agreements held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ----------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 15 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 02/28/07 55,000 $ 40 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 15 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/07 85,000 69 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 15 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 03/31/07 28,000 19 Receive payment on the monthly reset spread from Banc of America -- CMBS BBB Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/06 10,000 21 Receive payment on the monthly reset spread from Banc of America -- CMBS BBB Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/06 10,000 21 Receive payment on the monthly reset spread from Lehman Brothers -- CMBS AAA Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 03/01/07 50,000 36 Receive payment on the monthly reset spread from Swiss Market Index -- CHF 3M RTI LIBOR plus 32bps. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JPMorgan Chase) 01/12/07 33,348 2,882 ----------------------------------------------------------------------------------------------------- $3,088 ----------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ----------------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.54% per annum times the notional amount of the ABX.HE.A Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 (21,500) $ (6) Fund receives monthly payment of 0.54% per annum times the notional amount of the ABX.HE.A Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 (23,500) (39) ----------------------------------------------------------------------------------------------------- $ (45) -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $3,504,408 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust ++ See Note 3 in the Notes to Financial Statements. (1) In U.S. dollars unless otherwise indicated. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts and written options. (B) This security or a partial position of this security is on loan at September 30, 2006. The total value of securities on loan at September 30, 2006 was $704,393 ($ Thousands) (See Note 8). (C) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2006 was $743,713 ($ Thousands) (See Note 8). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. (E) The rate reported is the effective yield at time of purchase. (F) This security was sold within the terms of a 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." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 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, or portion of this security, has been pledged as collateral on open swap contracts. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (J) Tri-Party Repurchase Agreement. (K) Security, or a poriton of this security, has been pledged as collateral on reverse repurchase agreements. (L) Securities are fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. As of September 30, 2006, the total value of these securities was $4,405 ($ Thousands), representing 0.13% of net assets. ADR -- American Depositary Receipt AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone DN -- Discount Note EUR -- Euro 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 HKD -- Hong Kong Dollar IO -- Interest Only Security -- face amount represents notional amount. JPY -- Japanese Yen LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SDR -- Swedish Depository Receipt SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 21 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 17.7% Energy 13.9% Information Technology 13.7% Telecommunication Services 10.9% Consumer Discretionary 8.0% Industrials 7.2% Basic Materials 6.9% Short-Term Investments 5.9% Commercial Paper 5.6% Consumer Staples 4.8% Utilities 3.4% Healthcare 1.6% Exchange Traded Fund 0.3% Asset-Backed Securities 0.1% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 8). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 92.7% ARGENTINA -- 0.1% IRSA Inversiones y Representaciones GDR* 101,000 $ 1,279 Petrobas Energia Participaciones ADR* 55,800 562 -------------- 1,841 -------------- BERMUDA -- 0.1% Credicorp 25,700 1,079 -------------- BRAZIL -- 8.1% All America Latina Logistica 181,900 1,424 Aracruz Celulose ADR 21,443 1,067 Arcelor Brasil 133,067 2,343 Banco Bradesco ADR 127,800 4,262 Banco Itau Holding Financeira ADR (B) 53,380 1,601 Brasil Telecom Participacoes ADR (B) 112,120 3,370 Braskem ADR 43,400 546 Centrais Eletricas Brasileiras 34,932,900 775 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 212,250 5,521 Cia de Bebidas das Americas ADR 2,000 91 Cia de Saneamento Basico do Estado de Sao Paulo 10,089,700 1,224 Cia Energetica de Minas Gerais ADR* 140,000 5,531 Cia Paranaense de Energia 23,000 259 Cia Vale do Rio Doce ADR (B) 277,300 5,979 CPFL Energia ADR 32,200 1,237 Cyrela Brazil Realty 135,000 2,300 Eletropaulo Metropolitana de Sao Paulo* 16,738,000 671 Empresa Brasileira de Aeronautica ADR (B) 55,230 2,169 Grendene 164,000 1,292 Localiza Rent A CAR 30,000 623 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lojas Renner 30,600 $ 1,776 Petroleo Brasileiro ADR 435,077 34,074 Rossi Residencial 100,000 1,082 Submarino 76,000 1,481 Tele Norte Leste Participacoes 32,592 1,018 Tele Norte Leste Participacoes ADR 185,300 2,541 Tim Participacoes ADR 210,300 5,857 Uniao de Bancos Brasileiros ADR 181,900 13,460 Vivo Participacoes ADR 1,021,700 3,188 Votorantim Celulose e Papel ADR 96,900 1,642 -------------- 108,404 -------------- CHILE -- 1.6% Banco Santander Chile ADR 41,600 1,882 Centros Comerciales Sudamericanos 2,052,505 5,308 Cervecerias Unidas ADR 9,100 240 Cia Cervecerias Unidas ADR 11,677 307 CorpBanca 365,700,900 1,783 Empresa Nacional de Electricidad ADR (B) 148,700 4,506 Empresas CMPC 32,600 939 Enersis ADR 113,622 1,500 Lan Airlines ADR (B) 51,700 1,970 Masisa 1,251,060 213 Masisa ADR 41,400 349 United Breweries 361,660 1,898 -------------- 20,895 -------------- CHINA -- 4.7% Aluminum Corp of China 1,826,000 1,160 Baidu.com ADR* 1,000 87 Byd 81,200 234 China Construction Bank (A) (B) 17,068,000 7,382 China Petroleum & Chemical, Cl H (B) 9,954,300 6,183 China Shenhua Energy (B) 1,546,000 2,488 China Shipping Development (B) 5,516,000 5,267 China Telecom (B) 23,438,000 8,482 China Yurun Food Group (B) 2,826,000 2,350 Ctrip.com International ADR 6,000 270 Huadian Power International (B) 6,453,400 1,830 Huaneng Power International (B) 2,854,800 2,059 Mindray Medical International ADR* 57,000 951 PetroChina (B) 13,854,000 14,899 Sinotrans (B) 5,381,000 1,844 Weiqiao Textile (B) 2,038,400 2,700 Yanzhou Coal Mining (B) 7,472,900 5,121 -------------- 63,307 -------------- COLOMBIA -- 0.3% BanColombia ADR 153,601 4,393 -------------- -------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CZECH REPUBLIC -- 0.8% CEZ 88,802 $ 3,143 Komercni Banka 19,150 2,836 Telefonica 02 GDR 213,123 4,576 -------------- 10,555 -------------- EGYPT -- 0.8% Commercial International Bank GDR 379,650 3,047 Mobinil-Egyptian Mobile Services 39,037 1,090 Orascom Construction Industries 85,865 3,742 Orascom Construction Industries GDR (A) 8,354 728 Orascom Telecom Holding 34,217 1,950 Orascom Telecom Holding GDR 10,132 560 -------------- 11,117 -------------- HONG KONG -- 5.3% ASM Pacific Technology (B) 404,500 2,123 Brilliance China Automotive Holdings (B) 4,645,000 721 China Mengniu Dairy 4,692,000 7,864 China Merchants Bank 1,254,895 1,768 China Mobile Hong Kong (B) 3,152,500 22,271 China Overseas Land & Investment (B) 7,518,000 5,798 Citic Pacific 658,000 2,027 CNOOC (B) 5,664,500 4,711 Cosco Pacific (B) 2,158,000 4,315 Denway Motors (B) 7,958,000 2,880 Giordano International (B) 1,928,000 940 Global Bio-Chem Technology Group (B) 4,189,500 1,172 GOME Electrical Appliances Holdings 3,287,000 2,666 Johnson Electric Holdings (B) 2,489,500 2,176 Li & Fung (B) 1,232,000 3,061 Panva Gas Holdings* 987,000 337 Parkson Retail Group 26,500 98 Samson Holding 1,316,000 633 Shanghai Industrial Holdings (B) 1,063,000 2,008 Shui On Land* 528,500 363 Texwinca Holdings 1,222,600 799 Yue Yuen Industrial Holdings (B) 596,500 1,853 -------------- 70,584 -------------- HUNGARY -- 0.8% Gedeon Richter 26,902 5,545 Magyar Telekom* 585,009 2,350 Mol Magyar Olaj-es Gazipari 12,716 1,157 OTP Bank 18,188 573 OTP Bank GDR 20,527 1,291 -------------- 10,916 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INDIA -- 8.1% Andhra Bank 248,433 $ 515 Bharat Heavy Electricals 121,493 6,330 Bharat Petroleum 326,643 2,609 Bharti Televentures* 1,418,637 14,483 GAIL India 216,932 1,243 GAIL India GDR (A) 20,100 691 Hindalco Industries 1,013,426 3,781 Hindalco Industries GDR (A) (B) 705,900 2,591 Hindalco Industries GDR (A) 169,600 334 Hindustan Petroleum 372,970 2,271 Housing Development Finance 16,489 551 ICICI Bank ADR 10,500 323 Infosys Technologies 268,080 10,787 Infosys Technologies ADR (B) 13,800 659 ITC 952,512 3,892 Jet Airways India 42,360 597 Larsen & Toubro 89,358 2,477 Mahanagar Telephone Nigam 538,470 1,836 Mahanagar Telephone Nigam ADR 83,750 556 Mahindra & Mahindra 279,394 4,140 Maruti Udyog 190,091 4,061 Oil & Natural Gas 220,754 5,623 Punjab National Bank 74,097 849 Ranbaxy Laboratories 578,772 5,543 Reliance Energy 18,180 191 Reliance Industries 105,350 2,686 Satyam Computer Services 376,758 6,715 Siemens India 201,443 4,705 State Bank of India GDR (A) 85,341 4,737 Tata Motors 673,020 12,633 Tata Motors ADR 7,600 141 Union Bank of India 66,947 199 -------------- 108,749 -------------- INDONESIA -- 2.5% Astra International 2,233,000 3,014 Bank Central Asia 7,110,000 3,719 Bank Mandiri Persero 21,201,500 5,343 Bank Rakyat Indonesia 2,586,000 1,373 Gudang Garam 1,535,600 1,723 Indofood Sukses Makmur 7,415,600 1,005 Indosat 2,176,000 1,215 Medco Energi Internasional 7,555,200 2,846 Telekomunikasi Indonesia 14,180,500 12,989 -------------- 33,227 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 23 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ISRAEL -- 2.3% Bank Hapoalim 1,474,181 $ 6,965 Bank Leumi Le-Israel 460,800 1,807 Bezeq Israeli Telecommunication 4,059,841 5,078 Check Point Software Technologies* 108,800 2,073 Makhteshim-Agan Industries 371,083 1,833 Super-Sol 223,250 707 Taro Pharmaceuticals Industries (B)* 78,100 1,039 Teva Pharmaceutical Industries ADR 338,416 11,536 -------------- 31,038 -------------- LUXEMBOURG -- 0.5% Tenaris ADR 182,100 6,443 -------------- MALAYSIA -- 2.6% AMMB Holdings Berhad 1,928,300 1,297 Berjaya Sports Toto 576,300 731 Commerce Asset Holdings 1,610,200 2,903 Gamuda 1,774,400 1,934 Genting 329,300 2,152 IOI 1,197,200 5,259 Kuala Lumpur Kepong 8,400 25 Malayan Banking 1,146,900 3,483 Malaysia International Shipping (Foreign Market) 1,018,400 2,375 MK Land Holdings 533,800 67 Proton Holdings 354,300 467 Resorts World 1,889,000 5,685 Sime Darby 2,449,200 3,985 Tenaga Nasional 1,705,400 4,485 Titan Chemicals 482,600 156 -------------- 35,004 -------------- MEXICO -- 5.5% America Movil ADR, Ser L 338,086 13,310 Cemex 536,472 1,618 Cemex ADR 175,378 5,275 Coca-Cola Femsa ADR 124,780 3,902 Consorcio ARA 951,700 4,672 Controladora Comercial Mexicana 1,609,000 3,233 Desc, Ser B 486,413 414 Embotelladoras Arca 358,900 1,026 Empresas ICA Sociedad Controladora ADR 22,533 969 Fomento Economico Mexicano ADR 38,582 3,740 Grupo Aeroportuario del Pacifico ADR 3,900 133 Grupo Aeroportuario del Sureste ADR 60,570 2,260 Grupo Continental 1,030,000 1,915 Grupo Famsa* 297,194 767 Grupo Financiero Banorte 2,198,464 6,878 Grupo Mexico, Ser B 228,500 715 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Grupo Televisa ADR 224,120 $ 4,765 Kimberly-Clark de Mexico, Ser A 316,500 1,281 Organizacion Soriana, Ser B 122,300 612 Telefonos de Mexico ADR, Ser L 190,400 4,871 TV Azteca 5,739,200 3,726 Urbi Desarrollos Urbanos* 1,719,700 4,839 Wal-Mart de Mexico, Ser V 654,418 2,225 -------------- 73,146 -------------- PANAMA -- 0.0% Copa Holdings, Cl A 9,400 323 -------------- PERU -- 0.1% Cia de Minas Buenaventura ADR 25,500 688 -------------- PHILIPPINES -- 0.6% ABS-CBN Broadcasting PDR (G)* 1,275,900 420 Banco de Oro Universal Bank (A) (G)* 77,100 1,157 Bank of the Philippine Islands (G) 1,686,226 1,965 Manila Electric (G)* 1,230,700 723 Philippine Long Distance Telephone ADR (G) 29,300 1,276 SM Investments (G) 246,490 1,228 SM Prime Holdings (G) 5,556,400 930 -------------- 7,699 -------------- POLAND -- 0.4% KGHM Polska Miedz 35,000 1,124 Opoczno 994 13 Telekomunikacja Polska 555,256 3,524 -------------- 4,661 -------------- RUSSIA -- 9.6% Cherkizovo Group GDR* 88,206 1,154 Comstar United Telesystems* 63,600 429 Comstar United Telesystems GDR (A) 105,433 612 CTC Media* 40,200 897 LUKOIL ADR 549,941 41,906 Mechel Steel Group OAO ADR (B) 35,600 723 MMC Norilsk Nickel ADR 78,687 9,946 Mobile Telesystems ADR 143,800 5,431 Novolipetsk Steel GDR 223,508 4,347 OAO Gazprom ADR 973,074 42,572 Polyus Gold ADR* 64,779 2,844 Rosneft Oil GDR* 104,245 826 Sberbank -- -- Sberbank GDR 25,771 6,496 Surgutneftegaz ADR (B) 54,700 3,528 Unified Energy System GDR 32,000 2,336 Vimpel-Communications ADR* 64,100 3,883 Wimm-Bill-Dann Foods OJSC ADR 500 22 -------------- 127,952 -------------- -------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SINGAPORE -- 0.1% Goodpack 528,000 $ 572 -------------- SOUTH AFRICA -- 6.2% ABSA Group (B) 149,376 1,913 Alexander Forbes 662,141 1,364 AngloGold Ashanti 26,475 992 Aveng (B) 263,262 932 Barloworld (B) 406,177 6,771 Bidvest Group 157,681 2,294 Edgars Consolidated Stores (B) 415,980 1,606 FirstRand (B) 2,586,214 5,893 Gold Fields (B) 254,195 4,499 Gold Fields ADR 152,801 2,726 Impala Platinum Holdings (B) 25,178 4,165 Imperial Holdings 199,782 3,324 JD Group (B) 72,975 611 Kumba Resources (B) 94,062 1,598 MTN Group (B) 361,959 2,935 Nampak (B) 1,185,412 2,777 Naspers (B) 153,345 2,361 Nedbank Group (B) 355,070 5,220 Sanlam (B) 3,748,564 8,252 Sappi (B) 587,108 7,580 Sasol (B) 332,750 10,966 Standard Bank Group 163,484 1,638 Steinhoff International Holdings (B) 309,549 1,001 Tiger Brands 77,765 1,416 -------------- 82,834 -------------- SOUTH KOREA -- 15.0% Amorepacific* 463 215 Daegu Bank 93,610 1,568 Daelim Industrial 58,600 3,993 Daewoo Shipbuilding & Marine Engineering 276,930 8,953 Hankook Tire 85,690 1,127 Hanwha Chemical 208,540 2,225 Hynix Semiconductor* 168,170 6,627 Hynix Semiconductor GDS (A)* 26,550 1,046 Hyundai Department Store 20,831 1,497 Hyundai Development 83,520 3,724 Hyundai Mobis 18,271 1,878 Hyundai Motor 149,900 12,828 Industrial Bank of Korea 48,850 836 Kookmin Bank 281,410 22,180 Kookmin Bank ADR 79,974 6,240 Korea Electric Power 16,900 330 Korea Electric Power ADR 162,230 6,316 Korea Exchange Bank* 29,710 380 Korean Reinsurance 128,846 1,593 KT 8,250 356 KT ADR 165,400 3,551 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kumho Tire 189,370 $ 2,341 Kumho Tire GDR (A) 45,100 279 LG Chem 80,730 3,207 LG Electronics 60,190 3,879 LG Philips LCD* 116,940 3,880 LG Philips LCD ADR* 10,400 173 Lotte Shopping 20,970 7,422 POSCO 14,140 3,660 POSCO ADR 65,860 4,276 S-Oil 64,500 4,314 Samsung Electronics 67,944 47,665 Samsung Fire & Marine Insurance 48,220 7,413 Samsung SDI 16,532 1,362 Shinhan Financial Group 113,710 5,124 Shinsegae 18,896 9,783 SK 14,632 972 SK Telecom 6,012 1,280 SK Telecom ADR (B) 197,180 4,659 STX Pan Ocean 3,470,000 1,848 -------------- 201,000 -------------- TAIWAN -- 12.4% Accton Technology* 531,649 272 Acer 1,602,420 2,716 Advanced Semiconductor Engineering* 11,053,910 10,270 Asustek Computer 237,000 556 AU Optronics 2,378,830 3,367 Benq 3,122,300 1,835 Catcher Technology 501,954 4,307 Cathay Financial Holding 1,890,213 3,786 Chang Hwa Commercial Bank* 334,000 201 China Motor 2,087,836 1,817 Chinatrust Financial Holding 16,962,587 12,659 Chunghwa Telecom 2,218,500 3,680 Chunghwa Telecom ADR 236,132 4,087 Compal Electronics 8,779,867 7,772 Delta Electronics 808,550 2,321 Elan Microelectronics 173,609 69 Eva Airways 13,948 5 Far Eastern Textile 1,206,463 895 First Financial Holding 5,179,208 3,521 Foxconn Technology 269,430 2,426 Fubon Financial Holding 2,144,000 1,778 High Tech Computer 407,798 10,793 HON HAI Precision Industry 2,642,402 16,087 Largan Precision 88,350 1,810 Lite-On Technology 1,630,979 2,013 Makalot Industrial 110,000 164 MediaTek 374,000 3,548 Merry Electronics 44,382 158 Nan Ya Printed Circuit Board 12,000 83 Nien Hsing Textile 1,327,000 678 Nien Made Enterprises 1,521,810 1,246 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 25 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Novatek Microelectronics 179,398 $ 848 Optimax Technology 1,377,533 922 Quanta Computer 3,516,956 5,037 Radiant Opto-Electronics 558,150 793 Siliconware Precision Industries 1,232,098 1,469 SinoPac Financial Holdings 8,308,230 3,966 Sunplus Technology 1,380,064 1,318 Taiwan Cement 1,810,854 1,357 Taiwan Mobile 498,632 478 Taiwan Semiconductor Manufacturing 10,419,214 18,794 Taiwan Semiconductor Manufacturing ADR (B) 965,758 9,271 United Microelectronics 23,822,709 13,352 Yageo* 6,754,440 2,367 Yuanta Core Pacific Securities 1,496,000 997 -------------- 165,889 -------------- THAILAND -- 2.0% Advanced Info Service (B) 1,170,300 2,802 Bangkok Bank (B) 514,600 1,506 Bangkok Land NVDR* 217,660,200 4,112 Charoen Pokphand Foods (B) 8,699,000 1,106 CP Seven Eleven 3,951,200 631 Delta Electronics Thai 1,229,400 585 Kasikornbank NVDR (B) 2,133,000 3,916 Krung Thai Bank (B) 7,169,100 2,174 PTT 601,700 3,458 PTT (Foreign) 280,200 1,610 Siam Commercial Bank (B) 1,383,700 2,283 Siam Makro 188,500 344 Thai Oil (B) 1,599,300 2,553 -------------- 27,080 -------------- TURKEY -- 1.9% Akbank -- -- Arcelik 160,426 1,002 Ford Otomotiv Sanayi 61,569 403 GSD Holding* 3,318,000 2,567 Haci Omer Sabanci Holding 1,079,739 3,819 KOC Holding* 305,271 981 Turkcell Iletisim Hizmet 609,239 3,101 Turkiye Garanti Bankasi 1,563,767 4,632 Turkiye Is Bankasi 1,672,696 8,903 -------------- 25,408 -------------- UNITED KINGDOM -- 0.3% Anglo American 95,020 3,963 BHP Billiton (B) 29,588 509 -------------- 4,472 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- UNITED STATES -- 0.0% Caspian Services* 79,500 $ 357 -------------- Total Common Stock (Cost $959,330) ($ Thousands) 1,239,633 -------------- CORPORATE OBLIGATIONS (A) (C) (D) -- 0.9% UNITED STATES -- 0.9% Beta Finance MTN 5.420%, 05/10/07 $ 3,000 2,999 Cheyne Finance LLC MTN 5.424%, 04/16/07 1,000 1,000 K2 LLC MTN 5.420%, 05/21/07 2,000 2,000 5.345%, 04/18/07 1,500 1,500 Links Finance LLC MTN 5.420%, 05/21/07 2,000 2,000 Premier Asset Collateralization LLC MTN 5.310%, 04/25/07 1,500 1,500 Sigma Finance MTN 5.340%, 04/18/07 1,500 1,500 -------------- Total Corporate Obligations (Cost $12,499) ($ Thousands) 12,499 -------------- ASSET-BACKED SECURITIES (A) (C) (D) -- 0.2% UNITED STATES -- 0.2% Lothian Mortgages Master Issue Trust, Ser 2006-1A, Cl A1 5.300%, 01/24/28 1,813 1,813 -------------- Total Asset-Backed Securities (Cost $1,813) ($ Thousands) 1,813 -------------- DEBENTURE BOND -- 0.0% BRAZIL -- 0.0% Companhia Vale do Rio Doce* 0.000%, 09/30/49 8 -- -------------- Total Debenture Bond (Cost $0) ($ Thousands) -- -------------- PREFERRED STOCK -- 4.5% BRAZIL -- 4.0% Braskem, Cl A 371,800 2,338 Centrais Eletricas Brasileiras, Cl B 66,060,000 1,366 Cia de Bebidas das Americas ADR (B) 67,500 3,063 Cia de Tecidos do Norte de Minas - Coteminas 19,117,100 1,620 Cia Energetica de Minas Gerais 138,089,393 5,435 -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Cia Paranaense de Energia 173,960,100 $ 1,957 Cia Paranaense de Energia ADR 524,200 5,908 Cia Vale do Rio Doce ADR 328,638 6,083 Cia Vale do Rio Doce, Cl A 46,478 861 Duratex 108,000 1,211 Investimentos Itau 1,644,933 6,766 Klabin 277,800 589 Petroleo Brasileiro 21,400 1,602 Tam 161,885 5,123 Telecomunicacoes de Sao Paulo 46,776 1,034 Telemar Norte Leste 341,234 7,265 Telemig Celular Participacoes 788,963,610 1,457 -------------- 53,678 -------------- SOUTH KOREA -- 0.5% Hyundai Motor 73,890 3,747 Hyundai Motor (Second Preferred) 46,810 2,443 -------------- 6,190 -------------- Total Preferred Stock (Cost $40,356) ($ Thousands) 59,868 -------------- EXCHANGE TRADED FUND -- 0.3% UNITED STATES -- 0.3% iShares FTSE/Xinhua China 25 Index Fund 50,000 4,068 -------------- Total Exchange Traded Fund (Cost $3,876) ($ Thousands) 4,068 -------------- COMMERCIAL PAPER (C) (E) -- 6.3% Amsterdam Funding 5.273%, 10/25/06 7,500 7,474 Asap Funding 5.312%, 10/19/06 7,000 6,982 Atlas Capital Funding 5.299%, 02/12/07 5,000 5,000 Bavaria TRR 5.324%, 10/25/06 3,000 2,989 Bavaria Universal Funding 5.318%, 10/05/06 5,000 4,997 Brahms Funding 5.320%, 10/23/06 8,000 7,974 Citius I Funding 5.298%, 10/25/06 6,000 5,979 Giro Balanced Funding 5.310%, 10/16/06 2,000 1,996 5.293%, 10/06/06 8,000 7,994 Harwood Street Funding I 5.312%, 10/04/06 8,000 7,997 Mica Funding LLC 5.297%, 10/04/06 6,000 5,997 Ocala 5.313%, 10/13/06 6,000 5,989 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Ticonderoga Funding LLC 5.303%, 10/25/06 6,000 $ 5,979 Von Karman Funding 5.361%, 10/13/06 7,000 6,988 -------------- Total Commercial Paper (Cost $84,335) ($ Thousands) 84,335 -------------- TIME DEPOSITS -- 1.2% UNITED STATES -- 1.2% Brown Brothers Harriman 7.050%, 10/02/06 ZAR 1,289 166 4.630%, 10/02/06 16,030 16,030 3.920%, 10/02/06 GBP 51 95 3.050%, 10/02/06 HKD 1,500 193 2.350%, 10/02/06 SGD -- -- 2.190%, 10/02/06 EUR 21 26 -------------- Total Time Deposits (Cost $16,510) ($ Thousands) 16,510 -------------- CASH EQUIVALENTS** -- 0.6% UNITED STATES -- 0.6% Barclays Global Investors Funds, Prime Money Market Fund, 5.230% (C) 557,486 557 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%+ 5,228,758 5,229 The Reserve Funds, Primary Fund, Cl 8, 5.200% (C) 1,714,568 1,715 -------------- Total Cash Equivalents (Cost $7,501) ($ Thousands) 7,501 -------------- REPURCHASE AGREEMENTS (C) (F) -- 6.1% Banc of America 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $7,003,121 (collateralized by a U.S. Government Obligation, par value $6,976,189, 6.500%, 08/01/36; with total market value $7,140,001) $ 7,000 7,000 Deutsche Bank 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $28,012,483 (collateralized by various U.S. Government Obligations, ranging in par value $3,585,093- $13,842,570, 5.000%-5.500%, 09/01/19-09/01/35; with total market value $28,560,000) 28,000 28,000 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 27 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Goldman Sachs 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $10,004,483 (collateralized by a U.S. Government Obligation, par value $12,145,996, 7.000%, 12/20/32; with total market value $10,200,001) $ 10,000 $ 10,000 Lehman Brothers 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $21,009,415 (collateralized by various U.S. Government Obligations, ranging in par value $3,895,000- $8,723,886, 4.500%-9.000%, 01/25/17-05/01/36; with total market value $21,420,776) 21,000 21,000 Merrill Lynch 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $16,007,133 (collateralized by various U.S. Government Obligations, ranging in par value $575,000- $9,080,465, 0.000%, 05/01/16- 08/01/36; with total market value $16,321,370) 16,000 16,000 -------------- Total Repurchase Agreements (Cost $82,000) ($ Thousands) 82,000 -------------- Total Investments -- 112.8% (Cost $1,208,220) ($ Thousands) $ 1,508,227 ============== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,336,574 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of September 30, 2006. + Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (1) In U.S. dollars unless otherwise indicated. (A) This security was sold within the terms of a 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." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at September 30, 2006. The total value of securities on loan at September 30, 2006 was $166,213 ($ Thousands) (See Note 8). (C) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2006 was $182,919 ($ Thousands) (See Note 8). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. (E) The rate reported is the effective yield at time of purchase. (F) Tri-Party Repurchase Agreement. (G) Securities are fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. As of September 30, 2006 the total value of these securities was $7,699 ($ Thousands) and represents 0.58% of net assets. ADR -- American Depositary Receipt Cl -- Class EUR -- Euro GBP -- British Pound Sterling GDR -- Global Depositary Receipt GDS -- Global Depositary Share HKD -- Hong Kong Dollar LLC -- Limited Liability Company MTN -- Medium Term Note NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series SGD -- Singapore Dollar ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Annual Report / September 30, 2006 International Fixed Income Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Government 54.6% Financials 13.1% Asset-Backed Securities 10.8% Commercial Paper 9.9% Loan Participations 2.3% Time Deposits 2.0% Utilities 1.4% Telecommunication Services 0.9% U.S. Treasury Obligations 0.8% Consumer Staples 0.7% U.S. Government Agency Obligations 0.7% Consumer Discretionary 0.5% Short-Term Investments 0.5% Energy 0.4% Healthcare 0.3% Industrials 0.3% Basic Materials 0.3% Master Note 0.2% Certificate of Deposit 0.2% Information Technology 0.1% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 8). -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 69.8% AUSTRALIA -- 0.7% Government of Australia 8.750%, 08/15/08 6,563 $ 5,143 Macquarie Bank MTN, Ser E 5.500%, 09/19/16 GBP 600 1,120 -------------- 6,263 -------------- AUSTRIA -- 0.2% Telekom Finanzmanagement 5.000%, 07/22/13 1,100 1,423 -------------- BELGIUM -- 0.5% Kingdom of Belgium, Ser 31 5.500%, 03/28/28 2,410 3,743 -------------- BRAZIL -- 0.5% Federal Republic of Brazil 8.250%, 01/20/34 3,323 3,822 -------------- CANADA -- 2.1% Bell Canada MTN 5.000%, 02/15/17 774 697 Government of Canada 4.500%, 06/01/15 190 177 4.250%, 09/01/08 229 207 4.000%, 09/01/10 13,683 12,313 Kinder Morgan Finance 5.350%, 01/05/11 1,313 1,277 Province of Ontario 1.875%, 01/25/10 JPY 170,000 1,486 YPG Holdings MTN 5.250%, 02/15/16 1,500 1,337 -------------- 17,494 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- CAYMAN ISLANDS -- 0.7% BES Finance 6.250%, 05/17/11 EUR 1,000 $ 1,379 Mizuho Financial Group (D) 4.750%, 04/15/14 EUR 1,380 1,773 Resona Preferred Global Securities (D) (E) 7.191%, 07/30/49 818 847 Yorkshire Power Finance 7.250%, 08/04/28 GBP 750 1,717 -------------- 5,716 -------------- DENMARK -- 0.2% Danske Bank MTN, Ser E (D) 5.875%, 03/26/15 1,000 1,377 -------------- FINLAND -- 0.0% Government of Finland 4.250%, 07/04/15 150 198 -------------- FRANCE -- 7.7% Caisse Nationale des Autoroutes 4.500%, 03/28/18 1,500 1,987 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 600 777 Government of France 5.750%, 10/25/32 14,080 23,039 4.000%, 04/25/09 (A) 24,510 31,349 4.000%, 04/25/55 370 479 3.500%, 04/25/15 3,794 4,739 Veolia Environnement 5.875%, 06/27/08 1,740 2,278 -------------- 64,648 -------------- GERMANY -- 8.3% Bayer (D) 5.000%, 07/29/05 400 454 Deutsche Bundesrepublik 4.750%, 07/04/34 (A) 22,784 32,876 3.750%, 01/04/15 20,755 26,426 Deutsche Pfandbriefbank 4.500%, 01/15/18 2,400 3,176 Henkel Kgaa (D) 5.375%, 11/25/04 400 476 KFW 2.050%, 02/16/26 JPY 782,000 6,473 -------------- 69,881 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 29 International Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- ITALY -- 2.6% Buoni Poliennali Del Tesoro 5.750%, 02/01/33 10,170 $ 15,969 Sanpaolo IMI MTN, Ser E 6.375%, 04/06/10 4,300 5,855 -------------- 21,824 -------------- JAPAN -- 18.7% Abbott Japan 1.050%, 11/06/08 120,000 1,018 Development Bank of Japan 2.300%, 03/19/26 830,000 7,081 1.600%, 06/20/14 840,000 7,195 Government of Japan 10 Year Bond, Ser 252 1.000%, 06/20/13 1,657,700 13,744 Government of Japan 10 Year Bond, Ser 256 1.400%, 12/20/13 6,024,000 51,026 Government of Japan 10 Year Bond, Ser 268 1.500%, 03/20/15 222,600 1,878 Government of Japan 10 Year Bond, Ser 279 2.000%, 03/20/16 764,000 6,672 Government of Japan 20 Year Bond, Ser 48 2.500%, 12/21/20 674,400 6,106 Government of Japan 20 Year Bond, Ser 82 2.100%, 09/20/25 894,000 7,521 Government of Japan 30 Year Bond, Ser 22 2.500%, 03/20/36 287,000 2,469 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 3,115,904 25,893 Japan Finance for Municipal Enterprises 1.350%, 11/26/13 3,034,000 25,524 Sumitomo Mitsui Banking 5.625%, 10/15/15 (D) (E) 415 404 4.375%, 10/27/14 (D) EUR 830 1,059 -------------- 157,601 -------------- LUXEMBOURG -- 0.4% Basell AF SCA Registered 8.375%, 08/15/15 310 403 Gazprom OAO 9.625%, 03/01/13 850 1,004 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Glencore Finance Europe 5.375%, 09/30/11 530 $ 684 Rhodia 10.250%, 06/01/10 270 302 Tyco International Group 6.500%, 11/21/31 GBP 316 667 6.000%, 11/15/13 600 621 -------------- 3,681 -------------- MEXICO -- 2.2% Mexican Bonos, Ser M7 8.000%, 12/24/08 190,861 17,481 Mexican Bonos, Ser MI10 9.250%, 12/18/14 11,240 1,097 -------------- 18,578 -------------- NETHERLANDS -- 2.5% BMW Finance MTN 5.000%, 08/06/18 700 940 E.ON International Finance MTN, Ser E 5.750%, 05/29/09 3,515 4,657 EADS Finance MTN, Ser E 4.625%, 03/03/10 2,130 2,740 Government of Netherlands 7.500%, 01/15/23 796 1,447 ING Bank MTN, Ser E 5.500%, 01/04/12 1,000 1,355 ING Groep MTN, Ser E (D) 4.176%, 06/29/49 700 855 Koninklijke Philips Electronic 5.750%, 05/16/08 950 1,236 Saecure, Ser A2 (D) 5.710%, 11/25/07 6,000 7,755 -------------- 20,985 -------------- NORWAY -- 0.4% Government of Norway 6.750%, 01/15/07 20,435 3,162 -------------- POLAND -- 2.1% Republic of Poland 6.250%, 10/24/15 43,475 14,589 5.750%, 09/23/22 10,000 3,173 -------------- 17,762 -------------- RUSSIA -- 0.5% Ministry Finance of Russia, Ser V 3.000%, 05/14/08 2,116 2,030 Russia Federation Registered (G) 5.000%, 03/31/30 2,130 2,377 -------------- 4,407 -------------- -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- SOUTH AFRICA -- 0.1% Foodcorp Registered 8.875%, 06/15/12 435 $ 568 -------------- SPAIN -- 2.4% Government of Spain 6.150%, 01/31/13 14,030 20,218 -------------- SUPRA-NATIONAL -- 0.4% European Investment Bank 5.375%, 10/15/12 EUR 1,000 1,379 3.125%, 10/15/15 EUR 1,000 1,202 Ras Laffan III (E) 5.838%, 09/30/27 955 921 -------------- 3,502 -------------- SWEDEN -- 2.6% Kingdom of Sweden, Ser 1045 5.250%, 03/15/11 135,605 19,767 Svenska Handelsbanken MTN, Ser E (D) 4.194%, 12/29/49 840 1,028 Swedbank MTN, Ser E (D) 5.750%, 03/17/16 GBP 750 1,404 -------------- 22,199 -------------- UNITED KINGDOM -- 10.4% AIB UK 1 (D) 4.781%, 12/17/49 EUR 350 423 Abbey National Treasury Services 5.375%, 12/30/09 700 1,315 Aviva (D) 5.700%, 09/29/49 EUR 1,000 1,339 Bank of Scotland MTN, Ser E 6.125%, 02/05/13 EUR 1,630 2,300 5.500%, 10/29/12 EUR 2,390 3,259 Barclays Bank MTN, Ser E 5.750%, 09/14/26 500 1,004 British Telecommunications 5.750%, 12/07/28 200 359 Chester Asset Receivables (D) 6.125%, 10/15/10 EUR 4,260 5,830 Friends Provident (D) 6.875%, 11/21/19 750 1,496 HBOS MTN, Ser E (D) 5.125%, 10/29/49 EUR 700 917 Halifax MTN, Ser E 6.375%, 04/03/08 500 948 Imperial Tobacco Finance MTN, Ser E 6.250%, 06/06/07 EUR 1,510 1,943 Ineo's Group Holdings 7.875%, 02/15/16 EUR 200 238 Lloyds TSB Bank (D) 6.350%, 10/29/49 EUR 700 982 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Lloyds TSB Bank MTN, Ser E 6.625%, 03/30/15 400 $ 818 MBNA Europe Funding MTN, Ser E 4.500%, 01/23/09 EUR 1,000 1,286 Marks & Spencer MTN, Ser E 5.625%, 03/24/14 500 930 Mmo2 6.375%, 01/25/07 EUR 1,100 1,404 National Westminster Bank 6.500%, 09/07/21 400 847 United Kingdom Treasury 4.750%, 09/07/15 8,780 16,636 4.250%, 06/07/32 6,930 13,134 4.000%, 03/07/09 13,488 24,720 United Utilities Water MTN, Ser E 6.625%, 11/08/07 EUR 2,180 2,844 Vodafone Group MTN, Ser E 5.900%, 11/26/32 500 956 Vodafone Group MTN, Ser E 4.250%, 05/27/09 EUR 1,500 1,912 -------------- 87,840 -------------- UNITED STATES -- 3.6% AK Steel 7.875%, 02/15/09 420 418 ASIF III Jersey 0.950%, 07/15/09 JPY 100,000 846 Altria Group 7.750%, 01/15/27 705 854 American Express Credit MTN, Ser E 5.625%, 08/18/09 GBP 800 1,507 Autonation (D) (E) 7.676%, 04/15/13 80 81 CIT Group MTN (D) 5.630%, 05/18/07 765 766 CIT Group MTN, Ser E 5.500%, 12/15/08 GBP 750 1,403 Cablevision Systems, Ser B 8.000%, 04/15/12 430 435 Chase Credit Card Master Trust, Ser 1998-4 5.000%, 08/15/08 EUR 5,200 6,719 Directv Holdings 6.375%, 06/15/15 420 395 Donnelley (R.R.) & Sons 4.950%, 04/01/14 260 234 Electronic Data Systems, Ser B 6.500%, 08/01/13 790 801 Embarq 7.082%, 06/01/16 675 689 Ford Motor Credit 6.625%, 06/16/08 660 650 6.500%, 01/25/07 410 410 4.950%, 01/15/08 214 208 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 31 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- General Electric Capital MTN, Ser E 0.750%, 02/05/09 JPY 70,000 $ 592 Genworth Financial 1.600%, 06/20/11 JPY 160,000 1,352 Goldman Sachs Group 5.125%, 01/15/15 $ 560 543 HSBC Finance 6.125%, 01/22/10 GBP 600 1,146 Hertz (E) 8.875%, 01/01/14 400 419 ILFC E-Capital Trust I (D) (E) 5.900%, 12/21/65 270 272 MGM Mirage 8.375%, 02/01/11 380 396 NRG Energy 7.375%, 02/01/16 400 398 Pfizer 1.800%, 02/22/16 JPY 190,000 1,590 0.800%, 03/18/08 JPY 23,000 195 Qwest Communications International 7.500%, 02/15/14 600 602 Time Warner Entertainment 8.375%, 03/15/23 755 872 Toyota Motor Credit 0.750%, 06/09/08 JPY 180,000 1,527 Tyson Foods 8.250%, 10/01/11 1,818 1,954 Union Carbide 7.750%, 10/01/96 910 957 Wachovia Capital Trust III (D) 5.800%, 03/15/11 687 689 Williams 7.875%, 09/01/21 370 387 -------------- 30,307 -------------- Total Global Bonds (Cost $574,520) ($ Thousands) 587,199 -------------- ASSET-BACKED SECURITIES -- 10.2% ITALY -- 0.4% Campidoglio Finance, Ser 1, Cl A (D) 3.296%, 07/26/09 2,500 3,167 -------------- NETHERLANDS -- 2.4% Arena, Ser 2003-1, Cl A2 (D) 4.300%, 05/19/55 9,000 11,551 Delphinus, Ser 1, Cl A2 (D) 4.122%, 04/25/93 4,000 5,098 Saecure, Ser 5, Cl A (D) 3.353%, 05/25/42 3,174 4,020 -------------- 20,669 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- SOUTH KOREA -- 0.5% Credipia, Ser 2006-1A, Cl A (D) (E) 5.506%, 09/27/11 4,000 $ 4,000 -------------- UNITED KINGDOM -- 3.7% Chester Asset Receivables, Ser C1, Cl C (D) 3.940%, 09/15/13 1,350 1,731 Granite Master Issuer, Ser 2, Cl C2 (D) 3.784%, 12/20/54 2,000 2,540 Karta, Ser 1, Cl A (D) 3.240%, 07/15/12 2,000 2,535 Permanent Financing, Ser 1, Cl 4A1 (D) 5.100%, 06/11/07 EUR 9,200 11,759 Sherwood Castle Funding, Ser 1, Cl A (D) 3.497%, 08/15/10 3,500 4,446 Sherwood Castle Funding, Ser 2, Cl A (D) 5.215%, 06/15/16 2,300 4,301 The Mall Funding, Ser 1, Cl A (D) 4.920%, 04/22/14 2,000 3,734 -------------- 31,046 -------------- UNITED STATES -- 3.2% Cheyne High Grade, Ser 2004-1A, Cl AM1 (B) (D) (E) 5.466%, 11/10/06 361 361 Citibank Credit Card Issurance Trust, Ser A4, Cl A4 5.375%, 04/10/13 EUR 6,800 9,118 Commodore, Ser 2003-2A, Cl A1MM (B) (D) (E) 5.470%, 12/12/06 332 332 Duke Funding, Ser 2004-6B, Cl A1S1 (B) (D) (E) 5.577%, 10/10/06 541 541 MBNA Credit Card Master Trust, Ser 2002-A2, Cl A 5.600%, 07/17/14 EUR 6,650 9,035 MBNA Credit Card Master Trust, Ser A11, Cl A11 (D) 3.350%, 03/19/12 EUR 1,500 1,909 MBNA Credit Card Master Trust, Ser A9, Cl A9 (D) 3.215%, 02/20/14 EUR 1,600 2,028 Newcastle CDO Limited, Ser 2005-6A, Cl IM1 (B) (D) (E) 5.350%, 10/24/06 144 144 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 (B) (D) (E) 5.360%, 10/25/06 321 321 SLM Student Loan Trust, Ser 2, Cl A5 (D) 3.304%, 01/25/24 EUR 1,000 1,272 -------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Saturn Ventures II (B) 5.390%, 10/10/06 581 $ 581 TIAA Real Estate, Ser 2003-1A, Cl A1 (B) (D) (E) 5.354%, 10/30/06 537 537 Witherspoon CDO Funding (B) 5.340%, 10/16/06 623 623 -------------- 26,802 -------------- Total Asset-Backed Securities (Cost $79,545) ($ Thousands) 85,684 -------------- CORPORATE OBLIGATIONS (B) -- 2.5% UNITED STATES -- 2.5% Allstate Life Global Funding II MTN (D) (E) 5.370%, 10/16/06 332 332 American General Finance (D) (E) 5.360%, 10/16/06 1,047 1,046 Bear Stearns EXL (D) 5.370%, 10/16/06 1,285 1,285 Countrywide Financial Services MTN, (D) 5.448%, 12/27/06 433 433 Countrywide Financial Services MTN, Ser A (D) 5.548%, 11/03/06 758 758 Dekabank (D) (E) 5.490%, 10/19/06 1,335 1,335 Glitnir Bank (D) (E) 5.380%, 10/10/06 1,083 1,083 Irish Life & Permanent MTN, Ser X (D) (E) 5.370%, 10/23/06 960 960 Islandsbanki (D) (E) 5.380%, 10/23/06 613 613 Jackson National Life Funding (D) (E) 5.330%, 10/02/06 1,588 1,588 Kaupthing Bank MTN (D) (E) 5.390%, 10/20/06 1,804 1,804 Landsbanki Islands (D) (E) 5.410%, 10/16/06 1,371 1,371 Morgan Stanley EXL (D) 5.390%, 10/04/06 253 253 Morgan Stanley EXL, Ser S (D) 5.350%, 10/03/06 361 361 Natexis Banques (D) (E) 5.310%, 10/16/06 704 704 Nationwide Building Society (D) (E) 5.424%, 12/28/06 397 397 5.360%, 10/10/06 722 722 Nordbank (D) (E) 5.360%, 10/23/06 1,227 1,227 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Northern Rock (D) (E) 5.370%, 10/03/06 743 $ 743 Pacific Life Global Funding (D) (E) 5.380%, 10/13/06 541 541 Premium Asset Trust, Ser 2004-10 (D) (E) 5.370%, 10/16/06 1,010 1,010 SLM EXL, Ser S (D) (E) 5.330%, 10/16/06 794 794 Sigma Finance MTN (E) 4.745%, 11/09/06 390 390 Skandinav Enskilda Bank (D) (E) 5.320%, 10/18/06 794 794 Stanfield Victoria MTN (E) 5.445%, 06/11/07 722 722 -------------- Total Corporate Obligations (Cost $21,266) ($ Thousands) 21,266 -------------- LOAN PARTICIPATIONS -- 2.2% UNITED STATES -- 2.2% Amsted Industries Term Loan 7.480%, 03/28/13 248 247 Beverly Enterprises Term Loan 7.739%, 07/24/11 373 374 C/R Gas Holdings I Term Loan 9.000%, 04/20/13 82 82 7.140%, 04/20/13 431 431 7.140%, 04/20/13 79 79 Cablevision, Ser B Term Loan 7.110%, 03/14/13 499 497 Cebridge Connections (Cequel) Term Loan 7.739%, 10/01/13 1,500 1,486 Cedar Fair Term Loan 7.867%, 06/30/12 998 1,003 Chapter Communications Term Loan 8.125%, 04/28/13 962 965 Eastman Kodak Term Loan 7.649%, 10/18/12 497 497 Education Management Term Loan 8.063%, 05/26/13 748 752 Ferro Term Loan 8.580%, 06/06/12 556 554 Georgia Pacific Term Loan 8.390%, 02/14/14 1,250 1,261 Hexion Specialty Term Loan 7.563%, 05/04/13 822 813 7.500%, 05/04/13 178 176 Jean Coutu Group Term Loan 8.000%, 07/30/11 652 652 John Maneely Term Loan 8.511%, 03/24/13 -- -- Lear Term Loan 7.999%, 04/25/12 825 805 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 33 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- London Arena & Waterfront Term Loan 8.890%, 01/31/12 1,194 $ 1,202 Mediacom Broadband Term Loan 7.380%, 01/31/15 750 742 N.E.W. Holding Term Loan 8.210%, 08/08/13 998 1,001 National Rental Term Loan 7.563%, 03/31/13 -- -- North Las Vegas Term Loans 12.367%, 03/31/13 100 99 8.117%, 03/31/13 199 195 Ntelos Ist Lien B-1 Term Loan 7.580%, 08/24/11 995 995 Protection Onealarm Term Loan 7.900%, 03/31/12 597 598 Quizno's Term Loan 7.750%, 05/05/13 -- -- Sensata Technologies Term Loan 7.240%, 04/27/13 499 495 Solo Cup Term Loan 9.660%, 03/31/12 750 752 Spectrum Brand Term Loan 8.110%, 02/07/12 500 501 Sports Authority Term Loan 7.749%, 05/03/13 500 496 Targus Group Term Loan 0.040%, 11/22/12 499 489 UPC Holdings Term Loan 7.640%, 04/20/13 500 499 7.640%, 04/20/13 500 499 -------------- Total Loan Participations (Cost $19,337) ($ Thousands) 19,237 -------------- STRUCTURED NOTES (E) -- 1.4% SOUTH KOREA -- 1.4% Korea Structured Note 5.250%, 12/10/10 8,200 8,487 5.000%, 12/10/10 3,353 3,287 -------------- Total Structured Notes (Cost $11,688) ($ Thousands) 11,774 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7% UNITED STATES -- 0.7% FHLMC 4.750%, 01/15/13 EUR 1,000 1,331 SLMA 3.800%, 06/17/10 EUR 3,500 4,415 -------------- Total U.S. Government Agency Obligations (Cost $5,170) ($ Thousands) 5,746 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (C) -- 10.0% UNITED STATES -- 10.0% ABN-Amro Finance 5.301%, 12/08/06 10,000 $ 9,901 ANZ (Delaware) 5.313%, 12/12/06 7,000 6,926 Abbey National Treasury Service 5.253%, 10/19/06 5,000 4,987 Barclays US Funding LLC 5.296%, 11/15/06 6,400 6,359 Broadhollow Funding (B) 5.502%, 10/02/06 1,443 1,443 CBA Finance 5.261%, 10/05/06 10,000 9,993 Citius I Funding (B) 5.313%, 10/17/06 361 360 Danske Bank 5.275%, 10/16/06 12,000 11,973 Elysian Funding LLC (B) 5.427%, 11/27/06 648 642 5.401%, 11/20/06 579 575 5.390%, 11/06/06 722 718 Georgetown Funding (B) 5.349%, 10/24/06 186 185 HBOS Treasury Services 5.433%, 11/06/06 10,000 9,945 5.345%, 11/29/06 4,000 3,965 Lakeside Funding (B) 5.330%, 10/10/06 432 432 Lloyds Bank 5.274%, 10/16/06 3,000 2,993 Mica Funding (B) 5.299%, 10/12/06 722 721 Ocala Funding (B) 5.321%, 10/20/06 361 360 5.318%, 10/10/06 823 822 Rhineland Funding (B) 5.470%, 10/12/06 361 360 5.378%, 12/12/06 238 235 UBS Finance (Delaware) 5.314%, 10/24/06 10,000 9,966 -------------- Total Commercial Paper (Cost $83,860) ($ Thousands) 83,861 -------------- -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1)/Shares ($ Thousands) -------------------------------------------------------------------------------- TIME DEPOSITS (C) -- 2.0% UNITED STATES -- 2.0% Brown Brothers Harriman 6.350%, 10/02/06 NZD -- $ -- 4.630%, 10/02/06 11 11 3.920%, 10/02/06 GBP 29 53 2.190%, 10/02/06 EUR 57 72 2.100%, 10/02/06 DKK -- -- 1.583%, 10/02/06 SEK -- -- 0.000%, 10/02/06 BRL 5 3 Dresdner Bank 5.320%, 10/02/06 10,000 10,000 Societe Generale 5.350%, 10/02/06 7,000 7,000 -------------- Total Time Deposits (Cost $17,139) ($ Thousands) 17,139 -------------- U.S. TREASURY OBLIGATIONS -- 0.8% UNITED STATES -- 0.8% U.S. Treasury Bills (C) 4.984%, 10/05/06 300 300 U.S. Treasury Inflationary Index Notes 3.375%, 04/15/32 68 86 2.375%, 01/15/25 11 11 2.000%, 01/15/26 6,654 6,381 U.S. Treasury Notes 4.250%, 11/15/14 90 88 -------------- Total U.S. Treasury Obligations (Cost $6,501) ($ Thousands) 6,866 -------------- MASTER NOTES (B) (D) -- 0.2% UNITED STATES -- 0.2% Bank of America 5.445%, 10/02/06 1,804 1,804 -------------- Total Master Notes (Cost $1,804) ($ Thousands) 1,804 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (B) -- 0.2% UNITED STATES -- 0.2% Barclays Bank 5.440%, 06/11/07 361 $ 361 CC USA (E) 5.520%, 06/18/07 722 722 US Trust Company New York (D) 5.370%, 10/13/06 288 288 -------------- Total Certificates of Deposit (Cost $1,371) ($ Thousands) 1,371 -------------- REPURCHASE AGREEMENTS (B) (F) -- 0.5% Barclays Capital 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $1,003,069 (collateralized by a U.S. Government Obligation, par value $957,600, 6.000%, 05/15/11; with total market value $1,022,681) 1,003 1,003 Deutsche Bank 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $1,444,135 (collateralized by various U.S. Government Obligations, ranging in par value $12,486- $429,678, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $1,472,368) 1,443 1,443 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $1,805,169 (collateralized by various U.S. Government Obligations, ranging in par value $124,574- $222,009, 2.500%-7.625%, 01/30/07-05/18/16; with total market value $1,840,475) 1,804 1,804 -------------- Total Repurchase Agreements (Cost $4,250) ($ Thousands) 4,250 -------------- Total Investments -- 100.5% (Cost $826,451) ($ Thousands) $ 846,197 ============== -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 35 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Concluded) September 30, 2006 Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
-------------------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------------------- 10/3/06-11/29/06 ZAR 16,944 USD 2,355 $ 183 10/10/06-11/29/06 MXP 232,959 USD 21,116 (51) 10/10/06-11/29/06 PLZ 58,749 USD 19,518 770 10/11/06-11/29/06 CAD 41,316 USD 36,851 (221) 10/11/06-11/29/06 USD 8,786 CAD 9,835 38 10/16/06-11/29/06 GBP 47,973 USD 89,605 (36) 10/16/06-11/29/06 USD 7,760 GBP 4,113 (72) 10/17/06-11/29/06 AUD 7,537 USD 5,659 37 10/27/06-11/29/06 EUR 338,443 USD 430,581 651 10/31/06-11/29/06 JPY 30,262,445 USD 262,120 4,059 11/10/06-11/29/06 NOK 37,739 USD 5,869 62 11/14/06-11/29/06 KRW 15,834,208 USD 16,586 (180) 11/21/06-11/29/06 SEK 181,293 USD 25,073 234 11/29/06 AUD 15,770 CAD 13,227 129 11/29/06 AUD 17,840 NZD 20,818 248 11/29/06 CAD 2,608 AUD 3,040 (77) 11/29/06 CHF 10,724 EUR 6,750 (27) 11/29/06 CHF 24,092 GBP 10,450 200 11/29/06 CHF 21,389 USD 17,367 205 11/29/06 DKK 7,221 USD 1,226 (5) 11/29/06 EUR 11,420 CHF 18,019 (54) 11/29/06 EUR 21,080 GBP 14,324 (16) 11/29/06 EUR 5,130 JPY 757,230 (52) 11/29/06 EUR 1,910 NOK 15,787 4 11/29/06 EUR 14,320 SEK 132,232 (70) 11/29/06 GBP 9,850 CHF 22,754 (152) 11/29/06 GBP 18,348 EUR 26,940 (59) 11/29/06 JPY 1,258,446 EUR 8,480 29 11/29/06 NOK 12,267 EUR 1,510 30 11/29/06 NOK 33,810 SEK 38,821 115 11/29/06 NZD 20,351 AUD 16,830 (697) 11/29/06 NZD 12,639 USD 7,978 (242) 11/29/06 SEK 119,556 EUR 12,910 16 11/29/06 SEK 77,237 NOK 67,400 (209) 11/29/06 SGD 1,931 USD 1,223 2 11/29/06 USD 4,579 AUD 6,005 (105) 11/29/06 USD 9,948 CHF 12,263 (109) 11/29/06 USD 769 DKK 4,529 3 11/29/06 USD 107,067 EUR 83,465 (1,007) 11/29/06 USD 70,163 JPY 8,020,909 (1,665) 11/29/06 USD 4,664 KRW 4,435,705 34 11/29/06 USD 2,611 MXP 28,706 (8) 11/29/06 USD 2,057 NOK 12,935 (65) 11/29/06 USD 8,065 NZD 12,828 278 11/29/06 USD 126 PLZ 398 1 11/29/06 USD 6,755 SEK 49,174 (14) 11/29/06 USD 1,216 SGD 1,920 (2) 11/29/06 USD 2,085 ZAR 14,968 (166) ------- $ 1,967 =======
Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): ------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) ------------------------------------------------------------------------------- Euro-Bund 20 Dec-2006 $ 21 Euro Buxl 30-Year Bond 90 Dec-2006 189 Japan 10-Year Bond 2 Dec-2006 11 U.S. 5-Year Note (7) Dec-2006 (5) U.S. 10-Year Note (183) Dec-2006 (177) U.S. Long Treasury Bond (45) Dec-2006 (98) ----- $ (59) ===== -------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $841,903 ($ Thousands). (1) In local currency unless otherwise indicated. (A) This security or a partial position of this security is on loan at September 30, 2006. The total value of securities on loan at September 30, 2006 was $36,722 ($ Thousands) (See Note 8). (B) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2006 was $38,984 ($ Thousands) (See Note 8). (C) The rate reported is the effective yield at time of purchase. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. (E) This security was sold within the terms of a 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." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Tri-Party Repurchase Agreement. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2006. The coupon on a step bond changes on a specified date. AUD -- Australian Dollar BRL -- Brazilian Real CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class CPI -- Consumer Price Index DKK -- Danish Krone EUR -- Euro EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation GBP -- British Pound Sterling JPY -- Japanese Yen KRW -- South Korean Won LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar PLZ -- Polish Zloty SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar SLMA -- Student Loan Marketing Association USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 37 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Government 71.6% Deposits to Counterparty as Collateral for Swap Contracts 9.1% Financials 6.5% Loan Participations 4.8% Energy 1.5% Time Deposits 1.5% Commercial Paper 1.3% Basic Materials 1.0% Short-Term Investments 0.9% Asset-Backed Securities 0.7% Telecommunication Services 0.4% Certificates of Deposit 0.3% Utilities 0.2% Industrials 0.1% Warrants 0.1% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 8). -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 81.2% ARGENTINA -- 7.0% Province of Buenos Aires (H) 2.000%, 05/15/35 1,200 $ 527 Republic of Argentina 12.000%, 09/19/16 (I) EUR 1,000 194 11.750%, 05/20/11 (I) EUR 10,000 2,018 10.500%, 11/14/49 (I) EUR 1,000 190 9.000%, 05/29/09 (I) EUR 3,125 1,240 9.000%, 06/20/49 EUR 2,650 1,029 9.000%, 07/06/10 (I) EUR 1,000 381 8.500%, 07/01/04 (I) EUR 775 293 8.280%, 12/31/33 (C) 17,750 17,084 8.125%, 04/21/08 (I) EUR 4,200 1,651 8.000%, 02/25/02 (I) EUR 5,000 1,966 8.000%, 02/26/08 (I) EUR 1,000 399 7.820%, 12/31/33 EUR 935 1,125 7.625%, 03/31/05 (I) 1,120 291 7.625%, 08/11/07 (I) EUR 2,325,000 454 7.000%, 03/18/04 (I) EUR 1,475,000 295 5.830%, 12/31/33 (B) 3,800 1,543 5.589%, 08/03/12 (I) 14,685 10,272 1.330%, 12/31/38 (H) 25,280 10,997 0.000%, 12/15/35 (B) 2,590 257 0.000%, 12/15/35 (B) 2,400 206 Republic of Argentina MTN, Ser E 10.000%, 01/03/07 (I) EUR 3,000,000 627 9.250%, 07/20/04 (I) EUR 7,475 2,807 9.000%, 05/24/49 (I) EUR 1,400 525 8.750%, 02/04/49 (I) EUR 1,375 536 8.500%, 07/30/10 (I) EUR 2,000 761 7.625%, 08/11/07 (I) ITL 2,255,000 434 -------------- 58,102 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- BOSNIA-HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina, Ser B (L) 9.223%, 12/11/17 EUR 1,500 $ 658 -------------- BRAZIL -- 10.5% Federal Republic of Brazil 12.500%, 01/05/16 BRL 1,750 812 12.500%, 01/05/22 BRL 21,392 9,878 11.000%, 08/17/40 27,737 36,127 10.500%, 07/14/14 3,400 4,272 10.125%, 05/15/27 4,405 5,912 8.875%, 04/15/24 3,700 4,449 8.750%, 02/04/25 (C) 15,590 18,568 8.250%, 01/20/34 2,250 2,588 7.125%, 01/20/37 4,380 4,472 -------------- 87,078 -------------- CAYMAN ISLANDS -- 0.9% Vale Overseas 6.250%, 01/11/16 7,425 7,369 -------------- CHILE -- 0.4% Codelco 5.500%, 10/15/13 1,875 1,866 Republic of Chile 5.500%, 01/15/13 1,525 1,534 -------------- 3,400 -------------- CHINA -- 0.6% People's Republic of China 4.750%, 10/29/13 4,750 4,643 -------------- COLOMBIA -- 5.0% Republic of Colombia 12.000%, 10/22/15 COP 14,094,000 6,711 11.750%, 02/25/20 12,011 16,815 11.750%, 03/01/10 COP 7,627,000 3,386 10.750%, 01/15/13 (C) 2,250 2,747 10.375%, 01/28/33 1,700 2,312 8.125%, 05/21/24 (C) 6,425 7,068 7.375%, 01/27/17 1,185 1,235 7.375%, 09/18/37 935 947 -------------- 41,221 -------------- DOMINICAN REPUBLIC -- 0.1% Republic of Dominican Republic 8.625%, 04/20/27 1,025 1,100 -------------- -------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- ECUADOR -- 2.3% Republic of Ecuador Registered 10.000%, 08/15/30 (H) 500 $ 460 10.000%, 08/15/30 (C) (H) 20,120 18,495 9.375%, 12/15/15 550 532 -------------- 19,487 -------------- EL SALVADOR -- 2.6% Republic of El Salvador 8.250%, 04/10/32 5,890 6,750 7.750%, 01/24/23 4,565 5,090 7.650%, 06/15/35 9,201 9,873 -------------- 21,713 -------------- INDONESIA -- 3.0% Garuda Indonesia (B) (J) (K) 5.867%, 12/31/07 1,183 911 Indonesia Treasury Bond 12.000%, 09/15/11 IDR 40,540,000 4,615 Indosat Finance 7.125%, 06/22/12 1,050 1,043 Republic of Indonesia 8.500%, 10/12/35 3,600 4,232 8.500%, 10/12/35 (A) (C) 2,500 2,931 7.500%, 01/15/16 240 255 7.500%, 01/15/16 (A) 1,760 1,879 7.250%, 04/20/15 2,655 2,781 7.250%, 04/20/15 (A) 1,030 1,078 6.875%, 03/09/17 850 870 6.750%, 03/10/14 4,595 4,683 -------------- 25,278 -------------- IRAQ -- 0.8% Republic of Iraq 5.800%, 01/15/28 2,650 1,749 5.800%, 01/15/28 7,950 5,227 -------------- 6,976 -------------- IRELAND -- 0.1% Dal Capital (Vneshtorgbk) 7.000%, 04/13/09 RUB 19,000 720 -------------- LUXEMBOURG -- 0.8% Gaz Capital for Gazprom Registered 9.625%, 03/01/13 1,500 1,772 8.625%, 04/28/34 2,790 3,488 Kuznetski (Bank of Moscow) (H) 7.500%, 11/25/15 800 809 RSHB Captl 7.175%, 05/16/13 400 416 -------------- 6,485 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- MALAYSIA -- 0.8% Government of Malaysia 7.500%, 07/15/11 3,910 $ 4,258 Petronas Capital 7.875%, 05/22/22 1,775 2,154 -------------- 6,412 -------------- MEXICO -- 4.7% Cornhill, Ser 39 (I) (J) (K) 0.000%, 01/30/00 1,650 561 Cornhill, Ser 46 (I) (J) (K) 8.626%, 03/02/00 150 51 Mexican Bonos 8.000%, 12/17/15 MXP 45,000 4,012 Mexican Bonos, Ser M20 10.000%, 12/05/24 MXP 85,209 8,818 Pemex Project Funding Master Trust 9.500%, 09/15/27 (A) 5,550 7,270 7.375%, 12/15/14 500 540 Telefonos de Mexico 8.750%, 01/31/16 MXP 29,000 2,586 United Mexican States 11.375%, 09/15/16 1,050 1,507 8.125%, 12/30/19 1,048 1,258 7.500%, 04/08/33 2,100 2,422 United Mexican States MTN 8.300%, 08/15/31 4,405 5,493 8.000%, 09/24/22 1,500 1,796 United Mexican States MTN, Ser A 5.875%, 01/15/14 2,700 2,761 -------------- 39,075 -------------- NETHERLANDS -- 0.1% Kazkommerts International (A) 7.875%, 04/07/14 735 746 -------------- NIGERIA -- 0.2% TuranAlem Finance 8.500%, 02/10/15 440 449 7.875%, 06/02/10 (A) 1,510 1,535 -------------- 1,984 -------------- PAKISTAN -- 0.1% Republic of Pakistan 7.125%, 03/31/16 850 834 -------------- PANAMA -- 1.6% Republic of Panama 9.375%, 04/01/29 1,865 2,406 8.875%, 09/30/27 3,125 3,867 7.250%, 03/15/15 (C) 6,490 6,928 6.700%, 01/26/36 300 301 -------------- 13,502 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 39 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- PERU -- 2.8% Republic of Peru (C) 9.875%, 02/06/15 710 $ 879 8.750%, 11/21/33 3,215 3,938 8.375%, 05/03/16 3,545 4,085 7.350%, 07/21/25 9,405 10,026 Republic of Peru FLIRB, Ser 20YR (B) 5.000%, 03/07/17 1,157 1,137 Republic of Peru, Ser 20YR (B) 5.000%, 03/07/17 2,899 2,856 -------------- 22,921 -------------- PHILIPPINES -- 7.2% National Power 9.625%, 05/15/28 1,200 1,384 Republic of Philippines 10.625%, 03/16/25 13,020 17,349 9.875%, 01/15/19 300 370 9.500%, 02/02/30 7,590 9,355 9.375%, 01/18/17 700 826 9.000%, 02/15/13 600 674 8.750%, 10/07/16 -- -- 8.250%, 01/15/14 700 762 8.000%, 01/15/16 3,710 4,072 7.750%, 01/14/31 (C) 11,138 11,625 7.500%, 09/25/24 12,509 12,916 -------------- 59,333 -------------- POLAND -- 0.1% Government of Poland 5.250%, 01/15/14 1,090 1,087 -------------- RUSSIA -- 5.9% Russian Federation Registered 12.750%, 06/24/28 6,670 11,969 11.000%, 07/24/18 9,585 13,778 8.625%, 05/05/11 1,580 1,572 5.000%, 03/31/30 (H) 19,000 21,206 -------------- 48,525 -------------- SOUTH AFRICA -- 1.4% Republic of South Africa 7.375%, 04/25/12 1,655 1,790 6.500%, 06/02/14 9,480 9,954 -------------- 11,744 -------------- SUPRA-NATIONAL -- 0.2% European Investment Bank 10.000%, 01/28/11 TRY 3,170 1,631 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- THAILAND -- 0.8% Bangkok Land (J) (K) 4.500%, 10/13/03 11,643 $ 6,287 -------------- TUNISIA -- 0.5% Banque Centrale de Tunisie 8.250%, 09/19/27 1,095 1,339 7.375%, 04/25/12 2,640 2,862 -------------- 4,201 -------------- TURKEY -- 6.1% Republic of Turkey 19.859%, 07/16/08 TRY 8,900 4,167 11.875%, 01/15/30 9,870 14,546 11.500%, 01/23/12 900 1,083 11.000%, 01/14/13 445 536 9.500%, 01/15/14 11,535 13,121 8.000%, 02/14/34 1,500 1,549 7.375%, 02/05/25 1,300 1,287 7.250%, 03/15/15 6,500 6,533 7.000%, 06/05/20 (C) 6,340 6,134 6.875%, 03/17/36 (C) 1,350 1,225 -------------- 50,181 -------------- UKRAINE -- 1.5% Government of Ukraine Registered 8.903%, 08/05/09 (B) 900 953 7.650%, 06/11/13 600 634 7.650%, 06/11/13 (C) 4,265 4,504 6.875%, 03/04/11 (A) 4,475 4,531 6.625%, 03/04/11 1,500 1,523 -------------- 12,145 -------------- UNITED KINGDOM -- 0.2% Credit Suisse First Boston International (Export/Import - Ukraine) 6.800%, 10/04/12 600 571 Credit Suisse First Boston for the City of Kiev 8.000%, 11/06/15 750 754 -------------- 1,325 -------------- URUGUAY -- 4.0% Republic of Uruguay 10.500%, 10/20/06 UYU 13,200 672 9.250%, 05/17/17 3,625 4,214 8.000%, 11/18/22 3,700 3,904 7.625%, 03/21/36 (C) 4,400 4,389 7.500%, 03/15/15 (C) 11,591 12,043 7.250%, 02/15/11 425 436 5.000%, 09/14/18 UYU 110,500 4,797 -------------------------------------------------------------------------------- 40 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Republic of Uruguay PIK 7.875%, 01/15/33 3,019 $ 3,125 -------------- 33,580 -------------- VENEZUELA -- 8.8% Government of Venezuela 13.625%, 08/15/18 1,200 1,782 10.750%, 09/19/13 11,440 13,985 9.375%, 01/13/34 3,100 3,832 9.250%, 09/15/27 28,870 35,351 8.500%, 10/08/14 (C) 5,733 6,349 5.750%, 02/26/16 5,375 4,918 5.750%, 02/26/16 5,500 5,067 Government of Venezuela Registered (C) 5.375%, 08/07/10 1,850 1,795 -------------- 73,079 -------------- Total Global Bonds (Cost $623,843) ($ Thousands) 672,822 -------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (G) -- 9.7% UNITED STATES -- 9.7% Deposits with Citibank as Collateral for Swap Contracts Outstanding 422,941 423 Deposits with Citibank as Collateral for Swap Contracts Outstanding 1,000,000 1,000 Deposits with Citibank as Collateral for Swap Contracts Outstanding 618,801 619 Deposits with Citibank as Collateral for Swap Contracts Outstanding 647,785 648 Deposits with Citigroup as Collateral for Swap Contracts Outstanding 1,000,000 1,000 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 2,000,000 2,000 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 4,350,000 4,350 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 11,270,000 11,270 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 8,550,000 8,550 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 1,000,000 1,000 Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding 31,100,000 31,100 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding 877,046 $ 877 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 248,559 249 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 7,812,521 7,812 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,797,988 2,798 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 862,849 863 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 419,715 420 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 438,247 438 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 1,270,000 1,270 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 572,849 573 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 1,135,955 1,136 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 201,373 201 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 1,810,000 1,810 -------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $80,407) ($ Thousands) 80,407 -------------- LOAN PARTICIPATIONS -- 5.1% ALGERIA -- 0.0% Republic of Algeria (Counterparty: Credit Suisse First Boston) (B) 4.813%, 03/04/10 -- -- -------------- BRAZIL -- 1.5% Global Village Telecom Loan PIK, Ser A (Counterparty: Deutsche Bank) (I) (J) (K) 8.000%, 12/31/11 4,656 4,656 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 41 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Global Village Telecom Loan, Senior Secured Note (Counterparty: Deutsche Bank) (J) (K) 12.000%, 06/30/11 7,508 $ 7,771 -------------- 12,427 -------------- INDONESIA -- 1.0% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) (B) (J) (K) 4.000%, 12/31/49 5,594 5,454 PKN Tranche Loan A (Counterparty: Citigroup Global Markets) (I) (J) (K) 0.000%, 06/30/11 1,533 1,457 PKN Tranche Loan B (Counterparty: Citigroup Global Markets) (I) (J) (K) 0.000%, 05/01/11 4,200 345 PKN Tranche Loan C Equity (I) (J) (K) 0.000%, 12/31/49 25 -- PKN Tranche Loan D Secured Short Term, Ser 1 (Counterparty: Citibank) (I) (J) (K) 4.000%, 08/11/06 447 444 PKN Tranche Loan D Secured Short Term, Ser 2 (Counterparty: Citibank) (I) (J) (K) 4.000%, 08/11/06 811 806 -------------- 8,506 -------------- MEXICO -- 1.3% Altos Hornos, Promissory Note # 5 (I) (J) (K) 0.000%, 04/29/99 2,500 1,500 Altos Hornos, Promissory Note # 6 (I) (J) (K) 0.000%, 04/29/99 2,500 1,500 Altos Hornos, Promissory Note (Counterparty: Deutche Bank) (I) (J) (K) 0.000%, 12/31/49 4,500 2,700 Altos Hornos, Tranche A (Counterparty: Banc of America) (I) (J) (K) 0.000%, 04/11/04 6,540 4,055 Grupo Accerco Del Norte (Counterparty: Deutsche Bank) (I) (J) (K) 0.000%, 12/31/49 7,750 1,008 -------------- 10,763 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- MOROCCO -- 0.1% Kingdom of Morocco, Ser A (Counterparties: Credit Suisse First Boston, J.P. Morgan, Merrill Lynch) (B) (K) 6.344%, 01/02/09 909 $ 907 -------------- NIGERIA -- 0.1% PPMC GTEE Note (J) (K) 0.000%, 12/17/06 490 490 0.000%, 01/12/07 540 540 -------------- 1,030 -------------- SINGAPORE -- 1.1% C2C Loan (Counterparty: Deutsche Bank) (B) (E) (J) (K) 0.000%, 12/31/10 10,800 6,048 C2C Loan, (Counterparty: Direct Bank) (J) (K) 0.000%, 12/31/49 2,494 2,494 -------------- 8,542 -------------- Total Loan Participations (Cost $27,554) ($ Thousands) 42,175 -------------- CORPORATE OBLIGATIONS (D) -- 4.8% UNITED STATES -- 4.8% Allstate Life Global Funding II MTN (A) (B) 5.370%, 10/16/06 617 617 American General Finance (A) (B) 5.360%, 10/16/06 1,945 1,944 Bear Stearns EXL (B) 5.370%, 10/16/06 2,387 2,387 Countrywide Financial Services MTN, (B) 5.448%, 12/27/06 805 805 Countrywide Financial Services MTN, Ser A (B) 5.548%, 11/03/06 1,408 1,408 Dekabank (A) (B) 5.490%, 10/19/06 2,481 2,481 Glitnir Bank (A) (B) 5.380%, 10/10/06 2,012 2,012 Irish Life & Permanent MTN, Ser X (A) (B) 5.370%, 10/23/06 1,784 1,783 Islandsbanki (A) (B) 5.380%, 10/23/06 1,140 1,140 -------------------------------------------------------------------------------- 42 SEI Institutional International Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Jackson National Life Funding (A) (B) 5.330%, 10/02/06 2,950 $ 2,950 Kaupthing Bank MTN (A) (B) 5.390%, 10/20/06 3,353 3,353 Landsbanki Islands (A) (B) 5.410%, 10/16/06 2,548 2,548 Morgan Stanley EXL (B) 5.390%, 10/04/06 469 469 Morgan Stanley EXL, Ser S (B) 5.350%, 10/03/06 671 671 Natexis Banques (A) (B) 5.310%, 10/16/06 1,308 1,307 Nationwide Building Society (A) (B) 5.424%, 12/28/06 738 738 5.360%, 10/10/06 1,341 1,341 Nordbank (A) (B) 5.360%, 10/23/06 2,280 2,280 Northern Rock (A) (B) 5.370%, 10/03/06 1,381 1,381 Pacific Life Global Funding (A) (B) 5.380%, 10/13/06 1,006 1,006 Premium Asset Trust, Ser 2004-10 (A) (B) 5.370%, 10/16/06 1,877 1,877 SLM EXL, Ser S (A) (B) 5.330%, 10/16/06 1,475 1,475 Sigma Finance MTN (A) 4.745%, 11/09/06 724 724 Skandinav Enskilda Bank (A) (B) 5.320%, 10/18/06 1,475 1,475 Stanfield Victoria MTN (A) (B) 5.445%, 06/11/07 1,341 1,341 -------------- Total Corporate Obligations (Cost $39,513) ($ Thousands) 39,513 -------------- ASSET-BACKED SECURITIES (A) (B) (D) -- 0.8% UNITED STATES -- 0.8% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 671 671 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 617 617 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 1,006 1,006 Newcastle CDO Limited, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 268 268 -------------------------------------------------------------------------------- Face Amount Market Value ($ Thousands) (1) /Shares ($ Thousands) -------------------------------------------------------------------------------- Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 596 $ 596 Saturn Ventures II 5.390%, 10/10/06 1,080 1,080 TIAA Real Estate, Ser 2003-1A, Cl A1 5.354%, 10/30/06 997 997 Witherspoon CDO Funding 5.340%, 10/16/06 1,157 1,157 -------------- Total Asset-Backed Securities (Cost $6,392) ($ Thousands) 6,392 -------------- COMMON STOCK -- 0.0% THAILAND -- 0.0% TPI Polene Public* 594,488 154 -------------- Total Common Stock (Cost $194) ($ Thousands) 154 -------------- Number of Warrants ----------- WARRANTS -- 0.1% MEXICO -- 0.1% United Mexican States, Expires 10/10/06* 2,800 42 United Mexican States, Expires 11/09/06* 9,400 94 United Mexican States, Expires 11/22/06* 1,650,000 924 -------------- 1,060 -------------- NIGERIA -- 0.0% Central Bank of Nigeria, Expires 11/15/20 (K)* 2,250 -- -------------- Total Warrants (Cost $276) ($ Thousands) 1,060 -------------- TIME DEPOSITS -- 1.6% UNITED STATES -- 1.6% Brown Brothers Harriman 4.630%, 10/02/06 12,828 12,828 2.190%, 10/02/06 EUR 15 19 -------------- Total Time Deposits (Cost $12,847) ($ Thousands) 12,847 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 43 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (D) (E) -- 1.5% UNITED STATES -- 1.5% Broadhollow Funding 5.502%, 10/02/06 2,682 $ 2,681 Citius I Funding 5.313%, 10/17/06 671 669 Elysian Funding LLC 5.427%, 11/27/06 1,204 1,193 5.401%, 11/20/06 1,076 1,068 5.390%, 11/06/06 1,341 1,334 Georgetown Funding 5.349%, 10/24/06 345 344 Lakeside Funding 5.330%, 10/10/06 802 802 Mica Funding 5.299%, 10/12/06 1,341 1,339 Ocala Funding 5.321%, 10/20/06 671 668 5.318%, 10/10/06 1,529 1,527 Rhineland Funding 5.470%, 10/12/06 671 669 5.378%, 12/12/06 441 437 -------------- Total Commercial Paper (Cost $12,731) ($ Thousands) 12,731 -------------- MASTER NOTES (B) (D) -- 0.4% Bank of America 5.445%, 10/02/06 3,353 3,353 -------------- Total Master Notes (Cost $3,353) ($ Thousands) 3,353 -------------- CERTIFICATES OF DEPOSIT (D) -- 0.3% UNITED STATES -- 0.3% Barclays Bank 5.440%, 06/11/07 671 671 CC USA (A) 5.520%, 06/18/07 1,341 1,341 US Trust Company New York (B) 5.370%, 10/13/06 536 536 -------------- Total Certificates of Deposit (Cost $2,548) ($ Thousands) 2,548 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- 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 $--) ($ Thousands) 1,144 -------------- REPURCHASE AGREEMENTS (D) (F) -- 1.0% Barclays Capital 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $1,863,777 (collateralized by a U.S. Government Obligation, par value $1,779,291, 6.000%, 05/15/11; with total market value $1,900,218) 1,863 1,863 Deutsche Bank 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $2,683,310 (collateralized by various U.S. Government Obligations, ranging in par value $23,200- $798,373, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $2,735,770) 2,682 2,682 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $3,354,138 (collateralized by various U.S. Government Obligations, ranging in par value $231,467- $412,510, 2.500%-7.625%, 01/30/07-05/18/16; with total market value $3,419,740) 3,353 3,353 -------------- Total Repurchase Agreements (Cost $7,898) ($ Thousands) 7,898 -------------- Total Investments -- 106.6% (Cost $817,556) ($ Thousands) $ 883,044 ============== -------------------------------------------------------------------------------- 44 SEI Institutional International Trust / Annual Report / September 30, 2006 Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 10/3/06 BRL 4,757 USD 2,200 $ 9 10/3/06-11/3/06 USD 21,523 BRL 46,733 (52) 10/5/06 USD 277 RON 764 (4) 10/6/06-11/10/06 USD 12,192 TRY 18,221 (230) 10/16/06-3/22/07 USD 11,104 RUB 314,344 678 10/18/06-11/13/06 USD 16,558 MXP 181,337 (94) 11/22/06 EUR 6,605 USD 8,400 10 11/22/06-12/18/06 USD 19,231 PLZ 60,287 56 12/7/06-12/22/06 USD 2,000 PHP 100,330 (6) 12/18/06 PLZ 21,362 USD 6,724 (113) 1/10/07-3/12/07 USD 900 NGN 115,632 1 ------ $ 255 ====== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond (63) Dec-2006 $ (62) ====== Swaps -- A summary of outstanding swap agreements held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------- TOTAL RETURN SWAPS ----------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------- Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Deutsche Bank) 08/15/10 1,400 $ 37 Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Merrill Lynch) 08/15/10 1,400 13 Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JPMorgan Chase) 08/15/10 12,000 12 Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the return on the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JPMorgan Chase) 05/15/11 4,214 (3) Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 02/07/07 143,103 82 ----------------------------------------------------------------------------------- TOTAL RETURN SWAPS (CONTINUED) ----------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------- Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 03/05/07 59,341 $ 22 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 05/08/07 251,470 45 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 12/20/08 78,113 74 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 01/30/09 127,354 72 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Bank) 02/06/07 60,130 38 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Bank) 05/08/07 176,342 52 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 05/04/07 158,728 58 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 05/15/07 28,424 13 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Bank) 02/26/09 55,618 7 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 04/03/09 82,011 35 Fund receives payment at maturity on 16.75% of the Nigerian Treasury Bond NGN times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Bank) 12/16/08 73,320 57 ----------------------------------------------------------------------------------- $614 -----------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 45 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2006
----------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ----------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------- Fund receives semi-annual payment of 1.845% (3.690% per annum) on a termination date. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 10/20/15 4,500 $ 575 Fund receives semi-annual payment of 0.800% (1.600% per annum) times the notional amount of JSC Gazprom, 8.625%, 04/28/34. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 01/20/16 8,550 174 Fund receives semi-annual payment of 0.685% (1.370% per annum) times the notional amount of JSC Gazprom, 8.625%, 04/28/34. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 08/20/16 1,000 1 Fund receives semi-annual payment of 0.318% (0.635% per annum) times the notional amount of Russian Federation Registered, 5.000%, 03/31/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 03/20/16 11,270 (34) Fund receives semi-annual payment of 0.590% (1.180% per annum) times the notional amount of Russian Federation Registered, 4.107%, 04/15/10. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 04/15/10 2,000 92 Fund receives semi-annual payment of 0.445% (0.890% per annum) times the notional amount of Russian Federation Registered, 4.107%, 09/10/15. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 09/20/15 4,350 45 Fund receives semi-annual payment of 0.355% (0.710% per annum) times the notional amount of Russian Federation Registered, 5.000%, 03/31/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Deutsche Bank) 01/20/16 31,100 171 ----------------------------------------------------------------------------------- $1,024 -----------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $828,343 ($ Thousands). * Non-Income Producing Security (1) In U.S. dollars unless otherwise indicated. (A) This security was sold within the terms of a 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." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. (C) This security or a partial position of this security is on loan at September 30, 2006. The total value of securities on loan at September 30, 2006 was $69,135 ($ Thousands) (See Note 8). (D) This security was purchased with cash collateral held from securities lending. The total value of such securities as of September 30, 2006 was $72,435 ($ Thousands) (See Note 8). (E) The rate reported is the effective yield at time of purchase. (F) Tri-Party Repurchase Agreement. (G) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2006. The coupon on a step bond changes on a specified date. (I) Security in default on interest payments. (J) Securities considered illiquid. The total value of such securities as of September 30, 2006 was $49,078 ($ Thousands) and represents 5.92% of net assets. (K) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of September 30, 2006 was $49,985 ($ Thousands) and represented 6.03% of net assets. (L) Zero coupon security. The rate shown is the effective yield at time of purchase. BRL -- Brazilian Real CDI -- Chess Depository Interest CDO -- Collateralized Debt Obligation COP -- Chilean Peso Cl -- Class EUR -- Euro EXL -- Extendable Maturity FLIRB -- Front Loaded Interest Reduction Bond IDR -- Indonesian Rupiah ITL -- Italian Lira LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NGN -- Nigerian Naira NIM -- Net Interest Margin NTN -- Nigerian Treasury Note PHP -- Philippines Peso PIK -- Payment-in-Kind PLZ -- Polish Zloty RON -- New Romanian Leu RUB -- Russian Ruble Ser -- Series TRY -- New Turkish Lira USD -- U.S. Dollar UYU -- Uruguay Peso ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 46 SEI Institutional International Trust / Annual Report / September 30, 2006 Statements of Assets and Liabilities ($ Thousands) September 30, 2006
------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at value (Cost $3,656,532, $1,120,991, $822,201 and $809,658, respectively)(1) $4,266,780 $1,420,998 Repurchase agreements (Cost $261,000, $82,000, $4,250 and $7,898, respectively) 261,000 82,000 Affiliated investments, at value (Cost $39,946 and $5,229, respectively) 39,946 5,229 Cash 88,529 20,238 Foreign currency, at value (Cost $15,050, $16,059, $13,414 and $192, respectively) 15,071 16,063 Cash and foreign currency pledged as collateral for futures contracts -- -- Receivable for investment securities sold 19,298 5,532 Dividends and interest receivable 9,759 2,107 Receivable for capital shares sold 5,642 3,629 Swap Contracts, at value (Premiums given $130 and $0, respectively) 3,173 -- Unrealized gain on forward foreign currency contracts 2,195 -- Variation margin receivable 1,544 -- Foreign tax reclaim receivable 799 143 Unrealized gain on foreign spot currency contracts 13 -- Deposits with brokers for forward foreign currency contracts -- -- ------------------------------------------------------------------------------------------------------------- Total Assets 4,713,749 1,555,939 ------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return of securities on loan 743,713 182,919 Payable for investment securities purchased 327,772 28,629 Reverse repurchase agreements 120,671 -- Unrealized loss on forward foreign currency contracts 6,459 -- Payable for capital shares redeemed 6,201 4,662 Written options, at fair value (premiums received $(232)) 188 -- Variation margin payable 153 -- Unrealized loss on foreign spot currency contracts 43 -- Investment advisory fees payable 1,439 1,105 Administration fees payable 1,282 713 Shareholder servicing fees payable 709 274 Administration servicing fees payable 6 -- Accrued expenses 639 363 Accrued foreign capital gains tax on appreciated securities 66 700 ------------------------------------------------------------------------------------------------------------- Total Liabilities 1,209,341 219,365 ------------------------------------------------------------------------------------------------------------- Net Assets $3,504,408 $1,336,574 ------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in Capital (unlimited authorization -- no par value) $2,819,611 $ 866,234 Undistributed (distributions in excess of) net investment income 53,534 5,832 Accumulated net realized gain (loss) on investments, futures contracts, options, foreign currency contracts and swap contracts 20,992 165,710 Net unrealized appreciation on investments and written options 610,292 300,007 Net unrealized appreciation (depreciation) on futures contracts 1,542 -- Net unrealized appreciation on swap contracts 3,043 -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (4,540) (509) Accumulated foreign capital gains tax on appreciated securities (66) (700) ------------------------------------------------------------------------------------------------------------- Net Assets $3,504,408 $1,336,574 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,491,007,138 / 248,192,207 shares, $1,336,574,169 / 80,201,496 shares, $841,902,787 / 77,516,781 shares, $828,342,723 / 73,419,923 shares) $ 14.07 $ 16.67 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($13,400,401 / 954,383 shares) $ 14.04 -- ------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------- INTERNATIONAL FIXED EMERGING MARKETS INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at value (Cost $3,656,532, $1,120,991, $822,201 and $809,658, respectively)(1) $ 841,947 $ 875,146 Repurchase agreements (Cost $261,000, $82,000, $4,250 and $7,898, respectively) 4,250 7,898 Affiliated investments, at value (Cost $39,946 and $5,229, respectively) -- -- Cash 5,950 277 Foreign currency, at value (Cost $15,050, $16,059, $13,414 and $192, respectively) 13,459 199 Cash and foreign currency pledged as collateral for futures contracts 12,254 6,034 Receivable for investment securities sold 34,030 24,578 Dividends and interest receivable 10,930 8,932 Receivable for capital shares sold 579 3,014 Swap Contracts, at value (Premiums given $130 and $0, respectively) -- 1,638 Unrealized gain on forward foreign currency contracts 7,328 754 Variation margin receivable 390 -- Foreign tax reclaim receivable 72 -- Unrealized gain on foreign spot currency contracts 66 56 Deposits with brokers for forward foreign currency contracts -- 6,037 ------------------------------------------------------------------------------------------------------------- Total Assets 931,255 934,563 ------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return of securities on loan 38,984 72,435 Payable for investment securities purchased 42,712 30,934 Reverse repurchase agreements -- -- Unrealized loss on forward foreign currency contracts 5,361 499 Payable for capital shares redeemed 1,470 1,276 Written options, at fair value (premiums received $(232)) -- -- Variation margin payable -- -- Unrealized loss on foreign spot currency contracts 67 72 Investment advisory fees payable 104 313 Administration fees payable 414 438 Shareholder servicing fees payable 153 169 Administration servicing fees payable -- -- Accrued expenses 87 84 Accrued foreign capital gains tax on appreciated securities -- -- ------------------------------------------------------------------------------------------------------------- Total Liabilities 89,352 106,220 ------------------------------------------------------------------------------------------------------------- Net Assets $ 841,903 $ 828,343 ------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in Capital (unlimited authorization -- no par value) $ 854,626 $ 710,231 Undistributed (distributions in excess of) net investment income (29,365) 8,013 Accumulated net realized gain (loss) on investments, futures contracts, options, foreign currency contracts and swap contracts (5,112) 42,757 Net unrealized appreciation on investments and written options 19,746 65,488 Net unrealized appreciation (depreciation) on futures contracts (59) (62) Net unrealized appreciation on swap contracts -- 1,638 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 2,067 278 Accumulated foreign capital gains tax on appreciated securities -- -- ------------------------------------------------------------------------------------------------------------- Net Assets $ 841,903 $ 828,343 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,491,007,138 / 248,192,207 shares, $1,336,574,169 / 80,201,496 shares, $841,902,787 / 77,516,781 shares, $828,342,723 / 73,419,923 shares) $ 10.86 $ 11.28 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($13,400,401 / 954,383 shares) -- -- -------------------------------------------------------------------------------------------------------------
(1) Included in "Investments, at value" is the market value of securities on loan in the amounts of $704,393, $166,213, $36,722 and $69,135 ($ Thousands), respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 47 Statements of Operations ($ Thousands) For the year ended September 30, 2006
------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FUND FUND ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 91,562 $36,502 Dividends from Affiliated Investment Company(1) 924 361 Interest 17,354 955 Security Lending Income -- Net 3,436 837 Less: Foreign Taxes Withheld (6,947) (3,621) ------------------------------------------------------------------------------------------------------------- Total Investment Income 106,329 35,034 ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 16,947 14,092 Administration Fees 15,102 8,724 Shareholder Servicing Fees -- Class A 8,362 3,355 Shareholder Servicing Fees -- Class I 27 -- Administrative Servicing Fees -- Class I 27 -- Trustee Fees 48 19 Interest Expense on Reverse Repurchase Agreements 2,454 -- Custodian/Wire Agent Fees 1,006 1,196 Printing Fees 208 82 Professional Fees 199 78 Registration Fees 44 17 Other Expenses 143 58 ------------------------------------------------------------------------------------------------------------- Total Expenses 44,567 27,621 ------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees -- (1,218) Waiver of Shareholder Servicing Fees -- Class A -- -- Fees Paid Indirectly(1) (175) (96) ------------------------------------------------------------------------------------------------------------- Net Expenses 44,392 26,307 ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 61,937 8,727 ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS Net Realized Gain (Loss) from: Investments 445,894 247,672 Futures Contracts 16,703 -- Written Options 301 -- Swap Contracts 281 -- Foreign Currency Transactions 8,160 (1,381) Net Change in Unrealized Appreciation (Depreciation) on: Investments 39,129 (49,422) Futures Contracts 1,432 -- Written Options 44 -- Swap Contracts 3,043 -- Foreign Capital Gains Tax on Appreciated Securities -- 415 Foreign Currency Transactions (4,521) (506) ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS 510,466 196,778 ------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $572,403 $205,505 ============================================================================================================= ------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING FIXED INCOME MARKETS DEBT FUND FUND ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 4 $ 205 Dividends from Affiliated Investment Company(1) -- -- Interest 30,565 56,727 Security Lending Income -- Net 36 458 Less: Foreign Taxes Withheld (163) (437) ------------------------------------------------------------------------------------------------------------- Total Investment Income 30,442 56,953 ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 1,263 7,580 Administration Fees 5,051 5,797 Shareholder Servicing Fees -- Class A 2,105 2,229 Shareholder Servicing Fees -- Class I -- -- Administrative Servicing Fees -- Class I -- -- Trustee Fees 13 14 Interest Expense on Reverse Repurchase Agreements -- -- Custodian/Wire Agent Fees 111 109 Printing Fees 49 50 Professional Fees 49 52 Registration Fees 10 4 Other Expenses 35 34 ------------------------------------------------------------------------------------------------------------- Total Expenses 8,686 15,869 ------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees -- (3,741) Waiver of Shareholder Servicing Fees -- Class A (183) -- Fees Paid Indirectly(1) -- -- ------------------------------------------------------------------------------------------------------------- Net Expenses 8,503 12,128 ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 21,939 44,825 ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS Net Realized Gain (Loss) from: Investments (3,072) 57,042 Futures Contracts 935 (51) Written Options -- -- Swap Contracts -- 2,036 Foreign Currency Transactions (55,296) 6,595 Net Change in Unrealized Appreciation (Depreciation) on: Investments 14,441 (36,436) Futures Contracts (517) (62) Written Options -- -- Swap Contracts -- 1,572 Foreign Capital Gains Tax on Appreciated Securities -- -- Foreign Currency Transactions 6,913 (2,928) ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (36,596) 27,768 ------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(14,657) $ 72,593 =============================================================================================================
(1) See Note 3 in Notes to Financial Statements. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 48 SEI Institutional International Trust / Annual Report / September 30, 2006 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 61,937 $ 44,643 $ 8,727 $ 12,201 Net Realized Gain from Investments, Written Options, Futures Contracts and Swap Contracts 463,179 383,922 247,672 219,276 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions 8,160 (3,333) (1,381) (55) Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 43,648 268,208 (49,422) 199,314 Net Change in Accrued Foreign Capital Tax Gains on Appreciated Securities -- (66) 415 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 (4,521) (77) (506) 16 ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 572,403 693,297 205,505 432,474 ------------------------------------------------------------------------------------------------------------------------------- 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 701,740 586,756 314,335 267,067 Reinvestment of Dividends & Distributions 68,952 60,095 130,923 8,400 Cost of Shares Redeemed (1,005,774) (754,102) (532,680) (384,469) ------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class A Transactions (235,082) (107,251) (87,422) (109,002) ------------------------------------------------------------------------------------------------------------------------------- CLASS I: Proceeds from Shares Issued 6,914 2,709 -- -- Reinvestment of Dividends & Distributions 178 114 -- -- Cost of Shares Redeemed (3,181) (2,071) -- -- ------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions 3,911 752 -- -- ------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Capital Share Transactions (231,171) (106,499) (87,422) (109,002) ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 269,198 523,909 (17,928) 314,767 ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 3,235,210 2,711,301 1,354,502 1,039,735 ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 3,504,408 $3,235,210 $ 1,336,574 $ 1,354,502 =============================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 53,534 $ 38,012 $ 5,832 $ 8,381 =============================================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 53,743 53,684 19,358 19,952 Reinvestment of Distributions 5,583 5,443 8,739 652 Shares Redeemed (77,049) (68,895) (32,895) (29,296) ------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (17,723) (9,768) (4,798) (8,692) ------------------------------------------------------------------------------------------------------------------------------- CLASS I: Shares Issued 523 248 -- -- Reinvestment of Distributions 14 10 -- -- Shares Redeemed (239) (189) -- -- ------------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 298 69 -- -- ------------------------------------------------------------------------------------------------------------------------------- Net Decrease in Shares Outstanding from Share Transactions (17,425) (9,699) (4,798) (8,692) ===============================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 49 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 21,939 $ 21,517 $ 44,825 $ 53,822 Net Realized Gain (Loss) from Investments, Futures Contracts and Swap Contracts (2,137) 24,236 59,027 67,119 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (55,296) 31,359 6,595 3,243 Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Contracts 13,924 (45,497) (34,926) 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 6,913 (3,239) (2,928) 2,993 ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (14,657) 28,376 72,593 159,533 ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (26,270) (68,523) (72,844) (45,621) Net Realized Gains: Class A (22,930) (3,062) (60,041) (18,883) ------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (49,200) (71,585) (132,885) (64,504) ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 260,279 295,426 415,908 515,445 Reinvestment of Dividends & Distributions 46,434 67,732 126,564 62,023 Cost of Shares Redeemed (281,876) (346,659) (797,682) (294,135) ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 24,837 16,499 (255,210) 283,333 ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (39,020) (26,710) (315,502) 378,362 ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 880,923 907,633 1,143,845 765,483 ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 841,903 $ 880,923 $ 828,343 $1,143,845 =============================================================================================================================== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ (29,365) $ 30,265 $ 8,013 $ 35,250 =============================================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 24,116 23,879 37,501 46,704 Reinvestment of Dividends & Distributions 4,294 5,365 11,643 5,804 Shares Redeemed (26,076) (28,329) (72,592) (26,907) ------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 2,334 915 (23,448) 25,601 ===============================================================================================================================
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 50 SEI Institutional International Trust / Annual Report / September 30, 2006 Financial Highlights For the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout Each Period
------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Beginning Income (Losses) from Investment Capital and of Period (Loss) on Securities Operations Income Gains Distributions ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2006 $12.14 $0.24(1) $ 1.97(1) $ 2.21 $(0.28) $ -- $(0.28) 2005 9.81 0.16(1) 2.40(1) 2.56 (0.23) -- (0.23) 2004 8.20 0.10(1) 1.60(1) 1.70 (0.09) -- (0.09) 2003 6.93 0.08(1) 1.23(1) 1.31 (0.04) -- (0.04) 2002 8.25 0.04 (1.34) (1.30) (0.02) -- (0.02) CLASS I 2006 $12.12 $0.23(1) $ 1.94(1) $ 2.17 $(0.25) $ -- $(0.25) 2005 9.81 0.14(1) 2.38(1) 2.52 (0.21) -- (0.21) 2004 8.20 0.10(1) 1.58(1) 1.68 (0.07) -- (0.07) 2003 6.93 0.09(1) 1.20(1) 1.29 (0.02) -- (0.02) 2002(2) 8.97 0.03 (2.07) (2.04) -- -- -- EMERGING MARKETS EQUITY FUND CLASS A 2006 $15.94 $0.11(1) $ 2.32(1) $ 2.43 $(0.10) $(1.60) $(1.70) 2005 11.10 0.14(1) 4.80(1) 4.94 (0.10) -- (0.10) 2004 9.00 0.09(1) 2.03(1) 2.12 (0.02) -- (0.02) 2003 6.53 0.05(1) 2.42(1) 2.47 -- -- -- 2002 6.08 0.01 0.47 0.48 (0.03) -- (0.03) INTERNATIONAL FIXED INCOME FUND CLASS A 2006 $11.72 $0.28(1) $(0.49)(1) $(0.21) $(0.34) $(0.31) $(0.65) 2005 12.22 0.28(1) 0.15(1) 0.43 (0.89) (0.04) (0.93) 2004 12.45 0.28(1) 0.63(1) 0.91 (0.92) (0.22) (1.14) 2003 11.00 0.30(1) 1.53(1) 1.83 (0.33) (0.05) (0.38) 2002 10.12 0.55 0.33 0.88 -- -- -- EMERGING MARKETS DEBT FUND CLASS A 2006 $11.81 $ 0.56(1) $ 0.34(1) $ 0.90 $ (0.80) $ (0.63) $ (1.43) 2005 10.74 0.66(1) 1.31(1) 1.97 (0.63) (0.27) (0.90) 2004 11.15 0.61(1) 0.77(1) 1.38 (0.66) (1.13) (1.79) 2003 8.12 0.78(1) 3.01(1) 3.79 (0.76) -- (0.76) 2002 9.03 0.82 (0.56) 0.26 (0.99) (0.18) (1.17) ------------------------------------------------------------------------------------------------------------------------------------ Ratio of Ratio of Expenses Ratio of Expenses to to Average Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Waivers and (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Fees Paid to Average Turnover of Period Return+ ($ Thousands) Net Assets* Indirectly)** Indirectly)** Net Assets Rate+ ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EQUITY FUND CLASS A 2006 $14.07 18.50% $3,491,007 1.32%(4) 1.33%(4) 1.33%(4) 1.85% 118% 2005 12.14 26.33 3,227,258 1.24 1.24 1.24 1.50 80 2004 9.81 20.74 2,705,544 1.26 1.26 1.26 1.06 44 2003 8.20 18.91 2,258,034 1.28 1.28 1.32 1.12 87 2002 6.93 (15.79) 1,952,763 1.28 1.28 1.29 0.51 70 CLASS I 2006 $14.04 18.20% $ 13,401 1.59%(4) 1.59%(4) 1.59%(4) 1.77% 118% 2005 12.12 25.86 7,952 1.49 1.49 1.49 1.28 80 2004 9.81 20.54 5,757 1.51 1.51 1.51 1.06 44 2003 8.20 18.65 2,061 1.53 1.53 1.57 1.15 87 2002(2) 6.93 (22.74) 639 1.53(3) 1.53(3) 1.54(3) 0.61(3) 70 EMERGING MARKETS EQUITY FUND CLASS A 2006 $16.67 16.46% $1,336,574 1.96% 1.97% 2.06% 0.65% 65% 2005 15.94 44.68 1,354,502 1.95 1.96 2.05 1.05 69 2004 11.10 23.61 1,039,735 1.95 1.95 2.12 0.84 88 2003 9.00 37.83 936,560 1.95 1.95 2.14 0.71 69 2002 6.53 7.78 739,880 1.95 1.95 2.14 0.08 109 INTERNATIONAL FIXED INCOME FUND CLASS A 2006 $10.86 (1.64)% $ 841,903 1.01% 1.01% 1.03% 2.61% 194% 2005 11.72 3.01 880,923 1.00 1.00 1.04 2.24 145 2004 12.22 7.43 907,633 1.00 1.00 1.04 2.27 224 2003 12.45 17.05 865,698 1.00 1.00 1.06 2.60 216 2002 11.00 8.70 878,082 1.00 1.00 1.07 2.72 339 EMERGING MARKETS DEBT FUND CLASS A 2006 $11.28 8.68% $ 828,343 1.36% 1.36% 1.78% 5.03% 108% 2005 11.81 19.34 1,143,845 1.35 1.35 1.79 6.03 85 2004 10.74 13.97 765,483 1.35 1.35 1.79 5.91 77 2003 11.15 49.15 565,237 1.35 1.35 1.80 7.98 127 2002 8.12 2.15 422,130 1.35 1.35 1.79 8.80 140
* Includes Fees Paid Indirectly. ** See Note 3 in Notes to Financial Statements. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns 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 (loss) 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. (4) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios for Class A and I shares would have been 1.25% and 1.50%, respectively. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 51 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements September 30, 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 September 30, 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. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. 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. -------------------------------------------------------------------------------- 52 SEI Institutional International Trust / Annual Report / September 30, 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. REVERSE REPURCHASE AGREEMENTS -- The International Equity and Emerging Markets Equity Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. During the year ended September 30, 2006, the average borrowings outstanding for reverse repurchase agreements was $45,914,013 with a weighted average interest rate of 5.28%. Reverse repurchase agreements outstanding as of September 30, 2006 were as follows: Principal Counterparty, Amount Rate and Value Fund ($ Thousands) Maturity Date ($ Thousands) ----------------------------------------------------------------------------- International Bear Stearns Equity Fund $120,671 5.39%, Due 10/23/06 $120,671 FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income 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. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 53 NOTES TO FINANCIAL STATEMENTS (Continued) FUTURES CONTRACTS -- The International Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund utilized futures contracts during the year ended September 30, 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. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. 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 September 30, 2006, the Emerging Markets Debt Fund has deposits in the amount of $80,406,623 with the counterparty as collateral. -------------------------------------------------------------------------------- 54 SEI Institutional International Trust / Annual Report / September 30, 2006 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. OPTIONS WRITTEN/PURCHASED -- 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 writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Written options transactions entered into during the year ended September 30, 2006, are summarized as follows: -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at the beginning of year -- $ -- Written 8,610 533 Expired (8,168) (301) -------------------------------------------------------------------------------- Balance at the end of year 442 $ 232 -------------------------------------------------------------------------------- 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, -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 55 NOTES TO FINANCIAL STATEMENTS (Continued) 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. 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. 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. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- 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 -------------------------------------------------------------------------------- 56 SEI Institutional International Trust / Annual Report / September 30, 2006 on the sale of investment securities are those of the specific securities sold. Purchase discounts and premiums on securities held by the Funds are accreted and amortized to maturity using the scientific-interest method, which approximates the effective interest method. Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. 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 September 30, 2006, there were no such waivers in each 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%* -- -- -- * Effective June 23, 2006 the expense cap excludes interest expense on reverse repurchase agreements. SEI Investments Management Corporation ("SIMC") acts as the Investment Adviser for the Funds under an amended and restated Investment Advisory Agreement dated December 17, 2002 under which SIMC receives annual fees, based on the average daily net assets of the respective funds, as presented below: International Equity Fund 0.505% Emerging Markets Equity Fund 1.050% International Fixed Income Fund 0.150% Emerging Markets Debt Fund 0.850% However, SIMC has also voluntarily agreed to waive its fee so that the total annual expenses of each Fund will not exceed certain expense limitations adopted by the Adviser as presented above. As of September 30, 2006, SIMC has entered into Investment Sub-Advisory Agreements with the following parties: -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND AllianceBernstein L.P. AXA Rosenberg Investment Management LLC Capital Guardian Trust Company Fuller & Thaler Asset Management, Inc. McKinley Capital Management, Inc. Quantitative Management Associates LLC Record Currency Management Limited Smith Breeden Associates, Inc. EMERGING MARKETS EQUITY FUND AllianceBernstein L.P. Ashmore Investment Management Limited AXA Rosenberg Investment Management LLC Emerging Markets Management, LLC Rexiter Capital Management Limited The Boston Company Asset Management LLC INTERNATIONAL FIXED INCOME FUND AllianceBernstein L.P. BlackRock Financial Management, Inc. Record Currency Management Limited EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management Company Stone Harbor Investment Partners LP 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 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 57 NOTES TO FINANCIAL STATEMENTS (Continued) the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor equal to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. -------------------------------------------------------------------------------- Shareholder Administrative Servicing Fees Servicing Fees -------------------------------------------------------------------------------- International Equity Fund Class A 0.25% -- Class I 0.25% 0.25% Emerging Markets Equity Fund Class A 0.25% -- International Fixed Income Fund Class A 0.25% -- Emerging Markets Debt Fund Class A 0.25% -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. For the year ended September 30, 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 year ended September 30, 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 year ended September 30, 2006, can be found on the Statement of Operations and Financial Highlights, respectively. 4. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale and maturity of securities, other than short-term investments, during the fiscal year ended September 30, 2006, were as follows: -------------------------------------------------------------------------------- Purchases Sales ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund US Government $1,513,728 $1,204,220 Other 2,271,067 2,855,528 Emerging Markets Equity Fund US Government -- -- Other 852,612 1,057,951 International Fixed Income Fund US Government 153,351 161,424 Other 1,210,065 1,246,572 Emerging Markets Debt Fund US Government -- -- Other 809,714 1,018,897 5. FEDERAL TAX INFORMATION: It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These differences, which may result in distribution reclassifications, are primarily due to foreign currency gains and losses, passive foreign investment companies gains and losses, equalization, and prior year adjustments. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid- -------------------------------------------------------------------------------- 58 SEI Institutional International Trust / Annual Report / September 30, 2006 in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences have been reclassified to/from the following accounts as of September 30, 2006: -------------------------------------------------------------------------------- Undistributed Accumulated Net Investment Realized Paid-in- Income/(Loss) Gain/(Loss) Capital ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund $ 25,619 $(45,153) $19,534 Emerging Markets Equity Fund (2,887) (21,814) 24,701 International Fixed Income Fund (55,299) 55,299 -- Emerging Markets Debt Fund 782 (16,970) 16,188 These reclassifications had no impact on the net assets or net asset value of the Funds. The International Equity, Emerging Markets Equity and Emerging Markets Debt Funds utilized earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. The tax character of dividends and distributions declared during the last two fiscal years was as follows: -------------------------------------------------------------------------------- Long-Term Ordinary Income Capital Gain Totals ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund 2006 $ 72,034 $ -- $ 72,034 2005 62,889 -- 62,889 Emerging Markets Equity Fund 2006 17,376 118,635 136,011 2005 8,705 -- 8,705 International Fixed Income Fund 2006 36,979 12,221 49,200 2005 70,687 898 71,585 Emerging Markets Debt Fund 2006 89,598 43,287 132,885 2005 51,738 12,766 64,504 As of September 30, 2006, the components of Distributable Earnings/(Accumulated Losses) were as follows:
----------------------------------------------------------------------------------------------------------------------------------- Total Post- Distributable Undistributed Undistributed Post- October Unrealized Other Earnings/ Ordinary Long-Term October Currency Appreciation/ Temporary (Accumulated Income Capital Gain Losses Losses (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------------------------------------------------------------- International Equity Fund $ 94,736 $ 41,011 $ -- $ -- $ 545,148 $ 3,902 $ 684,797 Emerging Markets Equity Fund 42,544 140,221 -- (808) 288,384 (1) 470,340 International Fixed Income Fund 15,309 -- (5, 203) (42,556) 21,563 (1,836) (12,723) Emerging Markets Debt Fund 22,930 33,412 -- -- 62,504 (734) 118,112
Post-October losses represent losses realized on investment or foreign currency transactions from November 1, 2005 through September 30, 2006 that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. During the year ended September 30, 2006, the International Equity Fund utilized $380,448 ($ Thousands) of capital loss carryforwards to offset realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on total investments at September 30, 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 $ 4,022,601 $ 644,384 $ (99,259) $ 545,125 Emerging Markets Equity Fund 1,218,634 329,144 (39,551) 289,593 International Fixed Income Fund 826,642 25,832 (6,277) 19,555 Emerging Markets Debt Fund 820,756 68,539 (6,251) 62,288 6. CONCENTRATION/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 September 30, 2006, the total value of these securities represented approximately 6% of the net assets of the Emerging Markets Debt Fund. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 59 NOTES TO FINANCIAL STATEMENTS (Continued) Forward foreign currency contracts, futures contracts, and swap agreement contracts involve risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities to the extent of the contract amounts. In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. 7. 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 33(1)1/4(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. 8. NEW ACCOUNTING PRONOUNCEMENTS In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. As of September 30, 2006, the Funds have not evaluated the impact that will result if any, from adopting FIN 48. In September 2006, the Financial Accounting Standards Board (FASB) issued STATEMENT ON FINANCIAL ACCOUNTING STANDARDS (SFAS) No. 157, "FAIR VALUE MEASUREMENTS." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. -------------------------------------------------------------------------------- 60 SEI Institutional International Trust / Annual Report / September 30, 2006 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional International Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments of SEI Institutional International Trust, comprising the International Equity, Emerging Markets Equity, International Fixed Income and Emerging Markets Debt Funds (collectively, the "Funds"), as of September 30, 2006, and the related statements of operations, changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and the financial highlights for the years ended September 30, 2005 and prior, were audited by other auditors. Those auditors expressed an unqualified opinion on those statements of changes in net assets and financial highlights in their report dated November 29, 2005. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2006, by correspondence with the custodian and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios comprising SEI Institutional International Trust as of September 30, 2006, the results of their operations, the changes in their net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania November 27, 2006 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 61 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following information is current as of November 24, 2006. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI for Circle Fund, The Advisors' Inner Valley Drive, Board of which Mr. Nesher is compensated. Circle Fund II, Bishop Street Oaks, PA 19456 Trustees* Funds, Director of SEI Global 60 yrs. old Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI MultiStrategy Funds plc. ----------------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since 1982 Self-employed consultant since 72 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Inner Philadelphia, PA Bockius LLP (law firm) from 1976 Circle Fund II, Director of SEI 19103 to 2003, counsel to the Trust, since 1974. Director of the 66 yrs. old SEI, SIMC, the Administrator and Distributor since 2003. Director the Distributor. Secretary of SEI of SEI Investments -- Global since 1978. Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. ----------------------------------------------------------------------------------------------------------------------------------- TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds and One Freedom STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 73 yrs. old ----------------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since 1995 Attorney, sole practitioner since 72 Trustee of The Advisors' Inner One Freedom 1994. Partner, Dechert Price & Circle Fund, The Advisors' Inner Valley Drive, Rhoads, September 1987- December Circle Fund II, Massachusetts Oaks, PA 19456 1993. Health and Education Tax-Exempt 75 yrs. old Trust, and U.S. Charitable Gift Trust. -----------------------------------------------------------------------------------------------------------------------------------
* Messrs. Nesher and Doran are Trustees who may be deemed as "interested" persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust's Distributor. 1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. 2 The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Index Funds, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust and SEI Tax Exempt Trust. -------------------------------------------------------------------------------- 62 SEI Institutional International Trust / Annual Report / September 30, 2006
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- TRUSTEES (CONTINUED) -------------------- George J. Trustee since 1996 Self-Employed Consultant, 72 Trustee of The Advisors' Inner Sullivan, Jr. Newfound Consultants Inc. Circle Fund, The Advisors' Inner One Freedom since April 1997. Circle Fund II, State Street Valley Drive Navigator Securities Lending Oaks, PA 19456 Trust, SEI Opportunity Master 63 yrs. old Fund, L.P., and SEI Opportunity Fund, L.P. ----------------------------------------------------------------------------------------------------------------------------------- Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 72 Director, Sonoco, Inc.; One Freedom` Health Care Reform, Commonwealth Director, Exelon Corporation; Valley Drive of Pennsylvania since 2003. Trustee, Pennsylvania Real Oaks, PA 19456 Founder and Principal, Estate Investment Trust. 60 yrs. old Grecoventures Ltd. from 1999 to 2002. ----------------------------------------------------------------------------------------------------------------------------------- Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 72 Director of SEI Opportunity One Freedom since March 2002, Managing Master Fund, L.P., and SEI Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P. Oaks, PA 19456 Investorforce, March 49 yrs. old 2000-December 2001; Global Partner working for the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. ----------------------------------------------------------------------------------------------------------------------------------- James M. Williams Trustee since 2004 Vice President and Chief 72 Trustee/Director of Ariel Mutual One Freedom Investment Officer, J. Paul Getty Funds, SEI Opportunity Master Valley Drive, Trust, Non-Profit Foundation for Fund, L.P., and SEI Opportunity Oaks, PA 19456 Visual Arts, since December 2002. Fund, L.P. 59 yrs. old President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS -------- Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI for Valley Drive, which Mr. Nesher Oaks, PA 19456 is compensated. 60 yrs. old ----------------------------------------------------------------------------------------------------------------------------------- Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A One Freedom and Chief Administrator since 2005. Fund Valley Drive, Financial Administration Manager, Old Oaks, PA 19456 Officer Mutual Fund Services, 2000-2005. 36 yrs. old Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005. -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 63
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) -------------------- Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A One Freedom` Compliance Opportunity Master Fund, L.P., Valley Drive Officer SEI Opportunity Fund, L.P., Oaks, PA 19456 Bishop Street Funds, SEI 43 yrs. old Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Index Funds, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors' Inner Circle Fund and the Advisors' Inner Circle Fund II, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003- March 2006. Senior Investment Analyst--Equity Team of SEI, March 2000-February 2003. ----------------------------------------------------------------------------------------------------------------------------------- Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A One Freedom President and Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant Secretary 38 yrs. old of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. ----------------------------------------------------------------------------------------------------------------------------------- Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2005. Oaks, PA 19456 Assistant Compliance Officer of SEI, 32 yrs. old Secretary September 2001-2004. Account and Product Consultant, SEI Private Trust Company, 1998-2001. ----------------------------------------------------------------------------------------------------------------------------------- James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Vice President, Deutsche Asset Oaks, PA 19456 Assistant Management (2003-2004). 38 yrs. old Secretary Associate, Morgan, Lewis & Bockius LLP (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 64 SEI Institutional International Trust / Annual Report / September 30, 2006
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) -------------------- Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Oaks, PA 19456 Assistant Trust's Mutual Funds Group 34 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). ----------------------------------------------------------------------------------------------------------------------------------- John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since Valley Drive 1995. Managing Director of Money Oaks, PA 19456 Market Investments for SIMC since 43 yrs. old 2003. ----------------------------------------------------------------------------------------------------------------------------------- Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A One Freedom Laundering Anti-Money Laundering Compliance Valley Drive Compliance Coordinator of SEI since 2005. Oaks, PA 19456 Officer Compliance Analyst, TD Waterhouse 29 yrs. old (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). -----------------------------------------------------------------------------------------------------------------------------------
1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. 2 The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Index Funds, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust and SEI Tax Exempt Trust. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 65 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on this page illustrates your fund's costs in two ways: ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown may not apply to your specific investment. BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/06 9/30/06 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,041.50 1.40% $ 7.16 Class I $1,000.00 $1,039.20 1.65% $ 8.43 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.05 1.40% $ 7.08 Class I $1,000.00 $1,016.80 1.65% $ 8.34 -------------------------------------------------------------------------------- EMERGING MARKETS EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $ 984.10 1.95% $ 9.70 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.29 1.95% $ 9.85 -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/06 9/30/06 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,024.50 1.00% $ 5.08 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,020.05 1.00% $ 5.06 -------------------------------------------------------------------------------- EMERGING MARKETS DEBT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,038.00 1.35% $ 6.90 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.30 1.35% $ 6.83 -------------------------------------------------------------------------------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/365 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). -------------------------------------------------------------------------------- 66 SEI Institutional International Trust / Annual Report / September 30, 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 charges a Fund compared with the fees each charges to comparable mutual funds; (f) a Fund's overall -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 67 fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and each Sub-Adviser's profitability from its Fund-related operations; (h) SIMC's and the Sub-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 December 8, 2005, March 8, 2006, March 9, 2006, June 22, 2006 and September 20, 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. -------------------------------------------------------------------------------- 68 SEI Institutional International Trust / Annual Report / September 30, 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. 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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2006 69 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2006 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2006 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2006 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year:
(E) QUALIFYING (A) (B) DIVIDEND (H) LONG-TERM ORDINARY (D) INCOME (F) (G) QUALIFIED CAPITAL GAINS INCOME DIVIDENDS (15% TAX U.S. QUALIFIED SHORT-TERM DISTRIBUTIONS DISTRIBUTIONS (C) RECEIVED RATE FOR GOVERNMENT INTEREST CAPITAL FUND (TAX BASIS) (TAX BASIS) TOTAL DEDUCTION (1) QDI) (2) INTEREST (3) INCOME (4) GAIN (5) ------------------------------------------------------------------------------------------------------------------------------------ International Equity 6.23% 93.77% 100.00% 0.00% 46.01% 1.64% 1.35% 0.00% Emerging Markets Equity 84.01% 15.99% 100.00% 0.17% 47.67% 0.00% 0.18% 34.32% International Fixed Income 24.84% 75.16% 100.00% 0.00% 0.00% 3.89% 0.00% 0.87% Emerging Markets Debt 33.20% 66.80% 100.00% 0.00% 0.00% 0.00% 0.00% 1.60%
The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2006, the amount of foreign source income and foreign tax credit are as follows: ---------------------------------------------------------------------- Foreign Tax Foreign Source Credit Pass Fund Income Through ---------------------------------------------------------------------- International Equity $90,204,357 $1,889,547 Emerging Markets Equity 35,830,653 3,078,194 (1) "Dividends Received Deduction" represent dividends which qualify for the corporate dividends received deduction. (2) "Qualifying Dividend Income" represent qualifying dividends as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003. It is the intention of the Fund to designate the max amount permitted by law. (3) "U.S. Government Interest" represent the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut or New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (4) "Qualified Interest Income" represent qualifying interest that is exempt from U.S. withholding tax when paid to foreign investors as created by the American Jobs Creation Act of 2004. (5) "Qualified Short-Term Capital Gain" represent qualifying short-term capital gain that is exempt from U.S. withholding tax when paid to foreign investors as created by the American Jobs Creation Act of 2004. Items (A), (B) and (C) are based on the percentage of each fund's total distribution. Items (D) and (E) are based on the percentage of "Ordinary Income Distributions." Item (F) is based on the percentage of gross income of each Fund. Item (G) is based on the percentage of net investment income distributions. Item (H) is based on the percentage of ordinary income distributions. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. -------------------------------------------------------------------------------- 70 SEI Institutional International Trust / Annual Report / September 30, 2006 Notes Notes Notes Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 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 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 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KMPG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-018(9/06) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a)(2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3(a)(2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP (KPMG) and PricewaterhouseCoopers, LLP (PwC) Related to the Trust KPMG and PwC billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- 2006 + 2005 ++ ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were pre- did not require were pre- did not require approved pre-approval approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $118,700 N/A N/A $115,710 N/A $0 Fees (1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- Related $ 0 $ 0 N/A $0 $34,645(2) $0 Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax N/A N/A N/A $0 $0 $0 Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $ 0 $216,500 $60,630 $0 $0 $0 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: + KPMG ++ PwC (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by KPMG and PwC in connection with statutory and regulatory filings. (2) Includes fees for 404 Readiness Assistance for SEI. (e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer ("CFO") of the Funds and must include a detailed description of the services proposed to be rendered. The Fund's CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the Audit Committee or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Funds, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Funds, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Funds, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------------- ----------------- ---------------- 2006 + 2005 ++ ---------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ---------------------------- ----------------- ---------------- Tax Fees 0% 0% ---------------------------- ----------------- ---------------- All Other Fees 0% 0% ---------------------------- ----------------- ---------------- + KPMG ++ PwC (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2006 were $277,130. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (g)(2) The aggregate non-audit fees and services billed by PwC for the 2005 fiscal year was $0. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management companies. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end investment management companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. 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. In their opinion, based on their evaluation, except as noted below, 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. The registrant's fund accountant identified a weakness in its internal controls relating to the application of fair value pricing for certain international equity securities held by international equity funds that used an automated fair valuation process. This weakness has since been corrected. (b) Except for the corrections noted above, there were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional International Trust By (Signature and Title)* /s/ Robert A. Nesher --------------------- Robert A. Nesher President & CEO Date: December 7, 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: December 7, 2006 By (Signature and Title)* /s/ Stephen F. Panner --------------------- Stephen F. Panner, Controller & CFO Date: December 7, 2006 * Print the name and title of each signing officer under his or her signature.