N-CSR 1 sitar9_07combined.txt 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, 2007 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2007 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Institutional International Trust -------------------------------------------------------------------------------- Annual Report as of September 30, 2007 -------------------------------------------------------------------------------- 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 56 -------------------------------------------------------------------------------- Statements of Operations 57 -------------------------------------------------------------------------------- Statements of Changes in Net Assets 58 -------------------------------------------------------------------------------- Financial Highlights 60 -------------------------------------------------------------------------------- Notes to Financial Statements 61 -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 70 -------------------------------------------------------------------------------- Trustees and Officers of the Trust 71 -------------------------------------------------------------------------------- Disclosure of Fund Expenses 75 -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 76 -------------------------------------------------------------------------------- Notice to Shareholders 79 -------------------------------------------------------------------------------- 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, 2007 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 posted strong returns during the year ended September 30, 2007. Overall, the non-U.S. developed equity markets, as measured by the Morgan Stanley MSCI EAFE Index, gained 24.87% in U.S. dollar terms during the period. Basic Materials (55.8%) and Telecommunication Services (41.0%) led all sectors during the period. On the negative side, Financials (-13.0%) and Healthcare (-5.3%) were laggards for the year. The resiliency of global growth, particularly in emerging markets, such as China and India, has led to the continued demand for raw materials. Consolidation of the telecommunication sector in Europe has led to strong performance. On the other had subprime turmoil in the U.S. and the subsequent credit squeeze put pressure on the financial sector. Drug related issues continue to plague the health care sector as new drug pipelines are scarce. The International Equity Fund, Class A trailed the Morgan Stanley MSCI EAFE Index during the period, advancing 23.56%. The Fund benefited from an overweight to Basic Materials, and stock selection in Industrials and Consumer Discretionary. However, somewhat offsetting the positive contributors were stock selection in Basic Materials and an underweight to Utilities. Four of the seven sub-advisors outperformed for the year ended September 30, 2007. McKinley Capital Management, Inc. was the best performing sub-advisor with a strategic exposure to price and earnings momentum being rewarded in the market place. In addition, a tactical exposure to emerging markets added value as well. Somewhat offsetting the positive contribution was the Fund's exposure to Smith Breeden Associates, Inc. who underperformed for the one year period due to their exposure to asset-backed securities, which sold off as a result of the mortgage market selloff. 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 23.56% 22.75% 21.57% 7.32% 6.48% -------------------------------------------------------------------------------- Class I 23.25% 22.39% 21.27% 7.09% 6.23% -------------------------------------------------------------------------------- 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 BY A LINE GRAPH IN THE PRINTED MATERIAL.] International equity International Equity Morgan Stanley Fund, Class A Fund, Class I MSCI EAFE Index 9/97 $100,000 $100,000 $100,000 9/98 $ 91,250 $ 91,170 $ 91,660 9/99 $125,797 $125,539 $120,029 9/00 $131,018 $130,235 $123,846 9/01 $ 90,599 $ 89,953 $ 88,513 9/02 $ 76,293 $ 75,660 $ 74,767 9/03 $ 90,720 $ 89,770 $ 94,213 9/04 $109,536 $108,209 $115,016 9/05 $138,376 $136,192 $144,678 9/06 $163,976 $160,979 $172,398 9/07 $202,609 $198,407 $215,274 1 For the period ended September 30, 2007. 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, 2007 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007 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 The asset class returned 58.63% for the year ended September 30, 2007 as measured by the Morgan Stanley MSCI Emerging Markets Index. On an absolute basis, the asset class has been the best performer over the past one-year period. Historically emerging markets has waxed and waned with their developed counterparts, but a sea change in drivers of growth has shifted significantly from developed countries to emerging markets. This has been apparent in the absolute performance of the asset class and strong economic demand in the face of an uncertain global developed economic environment. Over the year ended September 30, 2007, all sectors posted double digit performance. Basic Materials (104.6%) and Industrials (101.4%) were the strongest performers while Healthcare (25.3%) and Information Technology (16.8%) lagged behind the MSCI Emerging Markets Index. On a country basis, the BRIC nations (Brazil, Russia, India, and China) which constitutes over 40% of the Index, returned 80.2% over the period. The market was led by China (134.4%), Brazil (67.3%) and India (63.2%). The laggards for the period included Russia (24.3%) and Taiwan (32.5%). Emerging markets currencies as a whole appreciated significantly versus the U.S. dollar as well. The Fund lagged the broader market during the period, returning 48.27% versus 58.63% in U.S. dollar terms. Underperformance was the result of an underweight to China as well as the decisions to underweight materials in favor of overweighting the Consumer Discretionary and Information Technology sectors. Somewhat offsetting the negative contributors were the positive decision to underweight Energy as well as good stock selection in the sector. The Fund also benefited from good stock selection in Telecommunication Services and Consumer Staples. The defensive positioning of the managers as a result of high valuations and earnings at cyclical peaks has led five of six sub-advisors to lag the market for the year. One new manager, AXA Rosenberg Investment Management LLC (AXA) was funded during the first quarter of the year ended September 30, 2007. Since funding AXA has been a positive contributor to performance. 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 48.27% 35.69% 33.60% 8.21% 8.51% -------------------------------------------------------------------------------- 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 BY A LINE GRAPH IN THE PRINTED MATERIAL.] Emerging Markets Morgan Stanley MSCI Equity Fund Emerging Markets Index 9/97 $100,000 $100,000 9/98 $ 48,570 $ 52,190 9/99 $ 71,995 $ 81,688 9/00 $ 72,506 $ 82,023 9/01 $ 47,970 $ 54,824 9/02 $ 51,702 $ 59,292 9/03 $ 71,261 $ 86,549 9/04 $ 88,086 $109,510 9/05 $127,443 $161,177 9/06 $148,420 $194,734 9/07 $220,063 $308,907 1 For the period ended September 30, 2007. 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, 2007 International Fixed Income Fund Objective The International Fixed Income Fund (the "Fund") seeks to provide capital appreciation and current income through investments in investment grade fixed income securities of foreign government and corporate issuers. Strategy The Fund seeks to provide U.S.-based investors with a vehicle to diversity and enhance the returns of the domestic fixed income portion of their Funds. Although there are no restrictions 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 3.29% over the year ended September 30, 2007. The performance of the international bond markets over the year ended September 30, 2007 was marked with extreme volatility. At the start of this period, bonds came under pressure as a result of generally sound economic data and higher inflationary pressures which saw central banks in the United Kingdom and Europe hike rates on a number of occasions in order to stem these risks. Carry related bond and currency strategies performed well in this time and bond yields tended to drift upwards given the central bank rate increases as well as the sound economic data releases. Markets however became increasingly jittery in the third quarter of the year ended September 30, 2007, amid isolated mishaps relating to sub-prime shocks, most notably the collapse of two Bear Stearns hedge funds. By July 2007, however, there was overwhelming evidence that the sub-prime woes of the U.S. had proliferated to funds and institutions around the world, most notably in Europe and as far a field as Australia. Investors became increasingly concerned that a major bank might fail and began to demand a higher premium for additional risk. As a result, investors rapidly sold out of equities and purchased safer assets such as government bonds and yields increases seen earlier in the year were reduced. Volatility surged to levels not seen since early 2003 when the Iraq war began. Inter-bank lending seized up in August as a result of the sub-prime crisis and major central banks around the globe provided emergency funding in an effort to restore order to the financial markets. The Bank of England (BoE) was the only exception, saying it would not come to the rescue of institutions that had mis-priced risk. However, when faced with requests for emergency funding from mortgage lender Northern Rock and scenes of depositors making a run on the bank, the BoE did a U-turn and provided much-needed relief. Inter bank rates spiked as a result of the higher risk aversion in the market and a general unwillingness by banks to lend money to each other as freely thereby reducing the extent of liquidity in the market. Central bank liquidity interventions helped markets to bounce back in August and they were given further impetus from a decision by the U.S. Federal Reserve (Fed) to slash interest rates by half a percentage point in September. Other central banks, which before the credit crisis were hawkish on base interest rates, remained on hold. Economic data moderated toward the end of September 2007 as investors became more concerned about the probability of a U.S. recession given the events of the credit crisis, weaker housing markets and weaker investor confidence. In the U.S. bond market, the shedding of risk propped up prices and pushed yields lower for relatively risk-free government securities, led by gains in U.S. Treasuries. Yields fell sharply at the short end of the maturity spectrum in the aftermath of the sub-prime debacle. With yields at the long end of the curve little changed, the U.S. yield curve -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007 reverted to a 'normal' shape, with 10-year yields above two-year yields, having been inverted at the start of the review period. United Kingdom and European government bond markets saw increases in yields despite central bank pauses, underpinned by concerns over inflationary pressures. Yields rose across the curve in Europe and the United Kingdom and marginally in Japan. European and United Kingdom bond markets in general were little changed over the review period, as falling prices offset the return from yields, although government bonds posted strong gains in July and August amid a flight to safety. The United Kingdom and European yield curves steepened while swap spread and corporate credit spreads widened notably in Europe thanks to the sub-prime crisis. In the currency markets, the dollar fell notably against the Euro and British Pound Sterling, amid forecasts of slower economic growth and lower interest rates in the U.S. The dollar also weakened against the Japanese Yen, although at a more modest pace as investors unwound carry trades globally. The Fund underperformed its index with a return of 2.34%. The main detractors from performance included the currency positioning by Record Currency Management Limited who were long the British Pound Sterling and Australian Dollar against the Japanese Yen. The Japanese Yen rallied notably against these two currency pairs and as a result detracted from the Fund particularly in the third quarter of 2007. Short duration positioning by BlackRock Financial Management, Inc. and Fidelity International Investment Advisors (UK) Limited detracted at various points throughout the year when global bond yields were falling. Curve steepeners offset these out-right duration positions to some extent. The Fund's position in bank loans detracted toward the end of the third quarter of 2007 amid the sub-prime and credit crisis. 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 2.34% 1.21% 5.45% 3.90% 4.84% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the International Fixed Income Fund, versus the Lehman Global Aggregate ex-U.S. Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] International Fixed Lehman Global Aggregate Income Fund ex-U.S.Index 9/97 $100,000 $100,000 9/98 $112,470 $113,490 9/99 $110,940 $116,123 9/00 $100,312 $123,578 9/01 $103,482 $135,380 9/02 $112,485 $143,218 9/03 $131,664 $148,918 9/04 $141,446 $153,520 9/05 $145,704 $164,067 9/06 $143,314 $169,333 9/07 $146,668 $174,904 1 For the period ended September 30, 2007. 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, 2007 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 multistep 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 7.19% during the year ended September 30, 2007 as the market incurred heightened levels of volatility due to the global credit crunch which caused all risk assets to decline in value. 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 Mexico, Brazil, Peru, Poland and Belize all saw their ratings upgraded. 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. Politics remain at the forefront, especially early in the period, with investor attention focused on the presidential elections in Ecuador and Brazil. After many months of divergent polling results, Rafael Correa, the ex-finance minister who advocated defaulting on debt and cutting ties with the World Bank and IMF, was declared the winner of the presidential election. Correa received 58% of votes tallied, compared with 42% for Alvaro Noboa, Ecuador's largest banana exporter. On the news of the victory by Correa, Ecuadorian bonds initially fell dramatically, although they rebounded after Correa made all interest payments during the year. In Brazil, incumbent President Lula failed to win in the first round, wining 48.6% of the vote, to Geraldo Alckmin's 41.6%. However, in the second round, held on October 29, Lula received 61% to Alckmin's 39% and will serve a second term. During the period, EMD spreads over U.S. Treasuries widened 7 basis point to end at 225 basis points with the market yield ending the period at 6.85%. The Emerging Markets Debt Fund, Class A posted strong results during the year, returning 10.03%. The Fund's overweight to Brazil was the largest contributor to Fund performance. Brazil bonds gained 12.1% benefiting from the aforementioned credit ratings upgrades while shaking off political volatility. An underweight to Russia also added to performance as Russian bonds underperformed the market by 2% during the period. Mexican bonds benefited from their credit rating upgrades to generate a return of 7.54% during the 12 month period. Finally, the Fund's overweight to Uruguay added to returns as it bonds gained 12.5% on the heels of continued strong economic growth. The largest detractor from performance was the Fund's overweight to Argentina as its bonds only returned -0.25%. Argentine bonds struggled due to growing concern that the government has been tampering with inflation data. President Kirchner replaced the official in charge with calculating consumer prices and installed a political appointee, prompting concern that the government would tamper with the data. The Fund's underweight to the Philippines detracted from performance as the country was one of the top per- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007 forming country in the index, returning 11.1%. The Fund has been underweight 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 45.8% 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 Annualized One Year 3 Year 5 Year 10 Year Inception to Return Return Return Return Date --------------------------------------------------------------------------- Class A 10.03% 12.58% 19.39% 11.12% 11.48% --------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Global Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Emerging Markets J.P. Morgan EMBI Debt Fund Global Index 9/97 $ 100,000 $ 100,000 9/98 $ 65,900 $ 77,530 9/99 $ 86,428 $ 95,525 9/00 $ 110,688 $ 115,451 9/01 $ 115,879 $ 124,791 9/02 $ 118,371 $ 133,227 9/03 $ 176,550 $ 172,116 9/04 $ 201,214 $ 191,186 9/05 $ 240,129 $ 217,169 9/06 $ 260,972 $ 235,085 9/07 $ 287,148 $ 251,988 1 For the period ended September 30, 2007. 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, 2007 SCHEDULE OF INVESTMENTS International Equity Fund September 30, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 18.6% Short-Term Investments 13.8% Industrials 9.4% Basic Materials 9.4% Consumer Discretionary 8.7% Energy 5.6% Telecommunication Services 5.4% U.S. Government Agency Mortgage-Backed Securities 5.2% Information Technology 5.0% Asset-Backed Securities 3.8% Consumer Staples 3.7% Healthcare 3.6% Utilities 3.2% Time Deposits 2.8% Commercial Paper 1.0% U.S. Treasury Obligations 0.5% Equity-Linked Warrants 0.2% Rights 0.1% Purchased Option 0.0% Exchange Traded Fund 0.0% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 85.3% AUSTRALIA -- 4.8% Adelaide Brighton 24,500 $ 86 AGL Energy 31,390 441 Amcor (B) 191,383 1,250 AMP 920,250 8,583 Asciano Group* 77,442 615 Australia & New Zealand Banking Group 257,473 6,767 Australian Infrastructure Fund (B) 613,900 1,717 Australian Stock Exchange 3,700 176 Babcock & Brown 17,401 423 BHP Billiton 447,092 17,626 BHP Billiton ADR 6,100 479 BlueScope Steel 469,900 4,470 Boral (B) 27,700 176 Brambles 271,599 3,548 Caltex Australia 4,800 100 Centro Properties Group (B) 47,339 309 Challenger Financial Services Group (B) 899,600 4,936 Commonwealth Bank of Australia 67,687 3,378 CSL (B) 51,929 4,931 CSR 479,000 1,318 Downer EDI (B) 251,017 1,391 Felix Resources 14,500 74 Flight Centre 95,400 1,832 Fortescue Metals Group 200 8 Foster's Group 250,000 1,445 Goodman Fielder (B) 997,297 2,277 Independence Group 12,800 74 ING Industrial Fund (B) 377,625 946 Insurance Australia Group 50,600 235 Jabiru Metals 2,200 3 John Fairfax Holdings (B) 542,200 2,265 Jubilee Mines 28,500 438 Leighton Holdings (B) 109,300 4,981 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lend Lease (B) 22,000 $ 368 Macquarie Airports (B) 1,908,319 7,346 Macquarie Bank (B) 49,210 3,675 Macquarie Infrastructure Group (B) 2,105,350 5,813 MFS 408,400 1,695 Minara Resources (B) 79,600 459 Mincor Resources 18,300 69 Mirvac Group 227,227 1,096 National Australia Bank 236,000 8,293 Newcrest Mining 132,600 3,286 OneSteel 38,200 233 Origin Energy 108,365 988 Pacific Brands 2,016,464 5,532 PaperlinX 353,300 950 Perilya 30,387 107 Portman (B)* 3,500 36 Qantas Airways (B) 950,807 4,695 QBE Insurance Group (B) 831,592 24,874 Rio Tinto 24,500 2,346 Sally Malay Mining 33,500 144 Santos 75,500 1,006 Seven Network (B) 223,100 2,586 Sims Group 19,100 546 Specialty Fashion Group 623,920 889 TABCORP Holdings 68,700 921 Tattersall's (B) 562,000 1,974 Telstra 2,022,000 5,118 Telstra 683,786 2,638 Toll Holdings 77,442 898 West Australian Newspapers Holdings (B) 290,500 3,990 Westfield Group 144,250 2,770 Westpac Banking 185,481 4,678 Woolworths 386,684 10,167 WorleyParsons 114,956 4,314 Zinifex 189,000 2,964 -------------- 194,762 -------------- AUSTRIA -- 0.4% Erste Bank der Oesterreichischen Sparkassen 18,200 1,383 IMMOFINANZ 95,900 1,193 Mayr Melnhof Karton (B) 3,364 371 OMV 400 27 Raiffeisen International Bank Holding (B) 11,818 1,723 Telekom Austria (B) 117,600 3,069 Voestalpine (B) 60,279 5,195 Wienerberger (B) 19,888 1,240 -------------- 14,201 -------------- BELGIUM -- 1.0% AGFA-Gevaert 12,901 248 Belgacom 75,392 3,489 Compagnie Maritime Belge 58,700 4,341 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 7 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- D'ieteren 4,217 $ 1,877 Delhaize Group 19,749 1,887 Dexia (B) 113,998 3,443 Fortis (B) 358,443 10,526 Fortis (Netherlands Line) 173,786 5,104 Gimv 24,500 1,673 InBev 39,859 3,603 KBC Groep 3,847 528 Solvay (B) 21,934 3,174 UCB 23,630 1,391 -------------- 41,284 -------------- BERMUDA -- 0.1% Frontline 62,600 3,059 -------------- BRAZIL -- 0.3% Cia Vale do Rio Doce ADR 143,600 4,872 Gerdau ADR 138,375 3,628 Uniao de Bancos Brasileiros GDR 13,800 1,816 -------------- 10,316 -------------- CANADA -- 2.4% Alcan 22,500 2,247 Barrick Gold 301,700 12,153 Cameco (B) 175,400 8,098 Canadian National Railway 27,600 1,577 Canadian Natural Resources (B) 34,100 2,593 Eastern Platinum* 1,232,550 2,803 EnCana (B) 106,300 6,579 Fairfax Financial Holdings 5,100 1,245 Manulife Financial 31,700 1,308 Methanex (B) 79,100 1,992 Nexen 1 -- Potash Saskatchewan (B) 121,300 12,823 Research In Motion 146,790 14,466 Rogers Communications, Cl B (B) 246,180 11,218 Shoppers Drug Mart (B) 24,500 1,341 Suncor Energy (B) 36,000 3,422 Teck Cominco, Cl B (B) 148,000 7,033 TELUS (B) 75,083 4,231 -------------- 95,129 -------------- CHINA -- 0.1% China Petroleum & Chemical, Cl H 2,176,000 2,720 China Shenhua Energy 240,000 1,443 Industrial & Commercial Bank of China, Cl H 1,994,000 1,399 People's Food Holdings 12,000 11 -------------- 5,573 -------------- CYPRUS -- 0.1% Marfin Popular Bank* 389,400 5,316 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- DENMARK -- 1.0% A P Moller - Maersk, Cl A 273 $ 3,698 A P Moller - Maersk, Cl B (B) 1,044 14,302 Carlsberg, Cl B (B) 25,146 3,425 Danske Bank 96,249 3,898 East Asiatic 14,788 1,102 H Lundbeck (B) 22,400 607 Jyske Bank 7,832 607 Novo-Nordisk, Cl B* 55,440 6,674 Schouw 8,000 762 Sydbank 17,678 767 Vestas Wind Systems* 48,500 3,822 -------------- 39,664 -------------- FINLAND -- 1.6% Elisa, Cl A 26,300 815 Kemira 32,000 746 Kone, Cl B 2,411 175 Konecranes 21,196 850 Metso 52,900 3,634 Neste Oil 21,823 797 Nokia 936,511 35,507 Nokia ADR 7,500 285 Nokian Renkaat 41,000 1,601 OKO Bank, Cl A 83,986 1,732 Outokumpu 94,188 3,374 Rautaruukki 24,500 1,481 Sampo, Cl A 133,800 4,074 Stora Enso, Cl R 222,600 4,324 UPM-Kymmene 131,362 3,169 Wartsila, Cl B 19,600 1,339 -------------- 63,903 -------------- FRANCE -- 8.3% Accor (B) 36,117 3,198 Air France-KLM 153,343 5,620 Air Liquide 35,696 4,765 Alcatel 141,400 1,448 Alstom 7,300 1,480 Atos Origin* 600 35 AXA (B) 200,790 8,961 BNP Paribas 279,845 30,541 Bouygues 123,197 10,598 Business Objects (B)* 10,836 482 Capgemini (B) 26,400 1,623 Carrefour 16,900 1,181 Casino Guichard Perrachon 13,699 1,433 Christian Dior 18,400 2,348 Cie de Saint-Gobain 97,111 10,108 Ciments Francais 7,040 1,234 Club Mediterranee* 1,170 76 CNP Assurances (B) 15,094 1,926 -------------------------------------------------------------------------------- 8 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Compagnie Generale de Geophysique* 14,100 $ 4,595 Compagnie Generale des Etablissements Michelin, Cl B 81,800 10,968 Credit Agricole 247,083 9,505 Dassault Systemes 28,862 1,889 Financiere de L'Odet 1,280 557 France Telecom (B) 511,856 17,099 Groupe Danone (B) 54,014 4,240 Havas 14,356 85 L'Oreal (B) 52,725 6,898 Lafarge 50,271 7,768 Lagardere S.C.A. (B) 63,782 5,414 Natixis 1,869 41 PagesJaunes Groupe 29,500 605 Pernod-Ricard 3,200 696 Peugeot 149,007 12,265 Publicis Groupe 20,900 857 Renault 99,279 14,348 Rhodia* 213,091 7,734 Safran 36,407 877 Sanofi-Aventis 314,449 26,554 Sanofi-Aventis (Germany Line) 2,125 178 Schneider Electric (B) 58,413 7,360 SCOR 30,863 825 Sequana Capital 334 11 Societe Generale 116,205 19,448 Sodexho Alliance 1,500 103 Suez* 17,972 1,056 Technip 15,900 1,418 Thales 30,202 1,766 Thomson 60,000 911 Total 470,476 38,151 Unibail + 7,900 2,028 Vallourec 29,325 8,424 Veolia Environnement 54,056 4,643 Vinci 183,835 14,324 Vivendi (B) 381,858 16,075 -------------- 336,773 -------------- GERMANY -- 8.6% Allianz 181,896 42,385 Altana 12,688 305 BASF 144,186 19,890 Bayer 334,942 26,589 Bayerische Motoren Werke 192,211 12,364 Commerzbank 185,770 7,501 Continental 36,927 5,093 DaimlerChrysler 275,183 27,645 Deutsche Bank 176,565 22,695 Deutsche Beteiligungs 51,000 1,784 Deutsche Boerse 33,300 4,523 Deutsche Lufthansa (B) 287,271 8,240 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Deutsche Telekom 285,700 $ 5,599 E.ON 180,119 33,213 Fresenius Medical Care 188,250 9,978 Henkel 2,717 128 Hochtief 20,800 2,516 Hypo Real Estate Holding (B) 50,305 2,853 Infineon Technologies* 646,650 11,118 Lanxess 19,800 937 MAN 11,188 1,624 MTU Aero Engines Holding 1,041 63 Muenchener Rueckversicherungs 79,741 15,283 MVV Energie 1,364 56 Norddeutsche Affinerie (B) 107,600 4,713 Rheinmetall* 4,131 328 RWE 93,728 11,757 Salzgitter (B) 51,268 10,043 SAP 63,524 3,709 Siemens 201,026 27,566 Software 21,800 2,041 Suedzucker (B) 111,612 2,237 ThyssenKrupp 161,155 10,236 Volkswagen 38,487 8,675 Vossloh (B) 35,000 3,768 Wincor Nixdorf 10,633 877 -------------- 348,332 -------------- GREECE -- 0.1% Coca Cola Hellenic Bottling 20,305 1,170 Cosmote Mobile Communications 3,741 128 Hellenic Telecommunications Organization 66,000 2,440 OPAP 9,836 381 -------------- 4,119 -------------- HONG KONG -- 2.2% Allied Properties HK 160,000 53 Asia Financial Holdings 10,000 6 Bank of East Asia 441,200 2,476 BOC Hong Kong Holdings 460,500 1,168 Cheung Kong Holdings 482,500 7,962 China Mobile 1,241,000 20,335 China Mobile ADR* 2,800 230 China Netcom Group 575,000 1,540 China Oriental Group 594,000 340 Chinese Estates Holdings 595,900 957 Chow Sang Sang Holdings 66,000 92 CLP Holdings 511,400 3,542 Esprit Holdings 112,000 1,780 Great Eagle Holdings 515,900 1,959 Guoco Group 33,000 450 Hang Lung Group 52,000 296 Hang Lung Properties 365,000 1,635 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 9 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hang Seng Bank 29,200 $ 519 Henderson Land Development 51,000 405 Hong Kong & China Gas 387,200 902 Hong Kong Exchanges and Clearing 52,000 1,590 Hongkong & Shanghai Hotels 819,000 1,453 HongKong Electric Holdings (B) 786,400 4,090 Hopewell Holdings 586,100 2,799 Hopson Development Holdings 42,000 140 Hutchison Whampoa 155,800 1,668 Jardine Matheson Holdings 800 23 Jardine Strategic Holdings 49,000 774 Kerry Properties 210,000 1,614 Li & Fung (B) 507,200 2,155 Miramar Hotel & Investment 6,000 10 MTR (B) 1,277,100 3,806 New World China Land 5,600 5 New World Development 1,193,600 3,303 Orient Overseas International 15,500 148 Pacific Century Premium Developments 540,000 169 Sino Land 163,659 407 Sinolink Worldwide Holdings (B) 1,040,000 333 Sun Hung Kai 11,000 16 Sun Hung Kai Properties 353,200 5,956 Swire Pacific, Cl A 342,000 4,149 Transport International Holdings 10,400 59 Truly International Holdings 22,000 59 Vtech Holdings 138,200 1,023 Wharf Holdings 861,800 4,238 Wheelock 589,600 1,624 Wing On International 19,000 36 -------------- 88,294 -------------- INDIA -- 0.1% Reliance Industries GDR (F)* 52,140 5,970 -------------- IRELAND -- 0.4% Allied Irish Banks 118,742 2,871 CRH 165,293 6,547 DCC 72,512 2,135 Depfa Bank 88,100 1,819 Irish Life & Permanent 53,500 1,183 Total Produce 67,294 64 -------------- 14,619 -------------- ISRAEL -- 0.3% Teva Pharmaceutical Industries ADR 278,470 12,384 -------------- ITALY -- 3.1% ACEA 51,000 1,002 Aedes 139,100 935 AEM (B) 814,000 3,039 Autostrade 315,300 10,623 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Banca Intesa 707,296 $ 5,447 Banco Popolare 39,905 891 Beni Stabili 2,834,700 3,544 Buzzi Unicem 79,408 2,060 Cementir (B) 93,600 944 Danieli 44,500 1,512 Ducati Motor Holding (B) 1,659,100 4,061 Edison 2,424 8 Enel 497,374 5,616 ENI 645,553 23,861 Fiat (B) 582,915 17,583 Fiat RNC 173,540 4,403 Fondiaria-Sai 16,704 782 IFIL - Investments 1,184,350 12,733 Immobiliare Grande Distribuzione (B) 253,900 993 Immobiliare Lombarda 486,766 119 IMMSI 641,600 1,642 Indesit 95,700 1,645 Iride 32,921 121 Italcementi 137,534 3,039 Italmobiliare (B) 15,635 1,945 KME Group 248,566 655 MARR 110,200 1,198 Pirelli & C 780,000 937 Telecom Italia (B) 1,737,568 5,270 Telecom Italia RNC 1,263,689 3,039 UniCredito Italiano 786,448 6,711 -------------- 126,358 -------------- JAPAN -- 16.5% Advantest (B) 24,700 769 Aeon 433,500 6,117 Aida Engineering 6,000 39 Aioi Insurance 150,000 871 Aisan Industry (B) 9,800 119 Aisin Seiki (B) 168,200 6,712 Alpen 7,700 103 Amada 173,800 1,940 AOC Holdings 99,200 1,618 Aoyama Trading 61,400 1,559 Asahi Breweries 83,100 1,264 Asahi Glass 87,000 1,169 Asahi Kasei 118,000 952 Astellas Pharma (B) 28,000 1,341 Atsugi 1,771,600 2,310 Autobacs Seven (B) 66,200 1,718 Bank of Kyoto (B) 195,500 2,368 Bank of the Ryukyus (B) 102,100 1,332 BML 3,900 56 Bosch (B) 54,000 262 Bridgestone (B) 154,200 3,405 Canon 123,248 6,719 -------------------------------------------------------------------------------- 10 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Casio Computer (B) 30,200 $ 432 Cawachi (B) 4,400 118 Central Glass 17,000 86 Central Japan Railway 8 85 Chiba Bank 142,000 1,096 Circle K Sunkus 16,700 259 Citizen Watch (B) 139,000 1,397 CMK 264,700 2,831 Coca-Cola West Holdings (B) 58,600 1,376 COMSYS Holdings 79,000 865 Cosmo Oil (B) 762,800 3,634 Cosmos Initia 7,000 29 Dai Nippon Printing (B) 42,000 600 Daicel Chemical Industries 23,000 182 Dainippon Ink and Chemicals (B) 146,000 646 Dainippon Screen Manufacturing 58,000 349 Dainippon Sumitomo Pharma 22,000 204 Daito Trust Construction (B) 28,100 1,354 Daiwa House Industry 101,000 1,316 Daiwa Securities Group 44,000 419 Denki Kagaku Kogyo 10,000 56 Denso 20,900 787 EDION 49,400 549 Eighteenth Bank 35,000 140 Fanuc (B) 66,200 6,740 Fields (B) 65 88 Fuji Electric Holdings (B) 127,000 565 Fuji Fire & Marine Insurance 93,000 317 Fuji Heavy Industries 138,000 606 Fuji Machine Manufacturing (B) 2,200 43 FUJIFILM Holdings (B) 168,300 7,770 Fujikura 79,000 499 Fujitsu (B) 600,000 4,236 Fukuda Denshi 100 3 Fukuyama Transporting (B) 340,500 1,569 Gunma Bank (B) 453,400 3,020 Gunze 341,200 1,679 Hakuhodo DY Holdings (B) 2,830 198 Hankyu Holdings (B) 313,000 1,597 Heiwa 11,100 130 Hirose Electric (B) 10,100 1,227 Hitachi (B) 759,000 5,048 Hitachi Cable 155,000 960 Hitachi Construction Machinery 10,300 411 Hitachi Koki 6,200 107 Hitachi Maxwell 14,200 153 Hitachi Transport System 500 6 Hokkaido Electric Power 50,000 1,080 Honda Motor 266,200 8,934 Hoya 120,900 4,121 Hyakugo Bank 31,000 179 Idemitsu Kosan 23,300 2,619 Ines 158,000 918 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Inpex Holdings 520 $ 5,335 Isuzu Motors 546,000 3,124 Itochu 783,000 9,497 Japan Steel Works 877,450 14,549 Japan Tobacco (B) 2,003 10,989 JFE Holdings (B) 247,600 17,523 JGC 136,000 2,619 Joshin Denki (B) 138,300 968 Joyo Bank 69,000 385 Kagoshima Bank 1,000 7 Kamigumi 81,000 680 Kaneka 11,000 92 Kansai Electric Power 102,000 2,328 Kanto Tsukuba Bank (B) 230,700 1,534 Kato Sangyo 400 5 Kawasaki Kisen Kaisha (B) 126,000 1,848 KDDI (B) 118 874 Keyence 8,800 1,951 Kinden 8,000 73 Kirin Brewery 95,000 1,255 Kobe Steel 408,000 1,522 Komatsu 143,800 4,826 Komori 52,000 1,273 Kumagai Gumi (B) 570,600 878 Kuraray 37,500 474 Kyocera 11,300 1,058 Kyowa Hakko Kogyo 70,000 720 Kyushu Electric Power (B) 157,500 4,163 Macnica (B) 3,100 69 Maeda (B) 2,000 8 Makita (B) 22,900 1,003 Marubeni 193,000 1,769 Maruichi Steel Tube (B) 5,800 145 Matsushita Electric Industrial 257,100 4,817 Mazda Motor 118,000 596 Millea Holdings 103,100 4,141 Mitsubishi 487,300 15,422 Mitsubishi Chemical Holdings 571,000 4,965 Mitsubishi Estate 525,300 15,026 Mitsubishi Gas Chemical 74,000 685 Mitsubishi Heavy Industries 475,000 3,102 Mitsubishi Materials (B) 437,700 2,717 Mitsubishi Paper Mills (B) 836,400 1,600 Mitsubishi UFJ Financial Group (I) 1,798 17,109 Mitsui 520,600 12,629 Mitsui Chemicals 716,000 7,103 Mitsui Mining & Smelting 121,000 521 Mitsui OSK Lines 723,000 11,699 Mitsui Sumitomo Insurance (B) 273,000 3,202 Miyazaki Bank 27,000 104 Mizuho Financial Group (B) 1,046 5,957 Mochida Pharmaceutical 1,000 9 Murata Manufacturing 20,900 1,505 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 11 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nagase 24,000 $ 284 Namco Bandai Holdings 31,200 453 NEC 284,000 1,378 NGK Spark Plug 38,000 590 Nichicon (B) 162,700 2,062 Nikon (B) 95,000 3,263 Nintendo (B) 52,975 27,543 Nippo 194,200 1,552 Nippon Beet Sugar Manufacturing (B) 385,800 906 Nippon Electric Glass 112,500 1,810 Nippon Konpo Unyu Soko 157,300 2,139 Nippon Mining Holdings 396,000 3,973 Nippon Oil 425,000 3,943 Nippon Sharyo (B) 534,700 1,199 Nippon Sheet Glass 114,000 696 Nippon Shokubai 62,000 603 Nippon Steel (B) 734,800 5,283 Nippon Telegraph & Telephone 2,553 11,920 Nippon Yusen 328,000 3,200 Nissan Motor (B) 1,200,400 12,013 Nissan Shatai (B) 28,000 172 Nissay Dowa General Insurance 40,000 244 Nisshin Oillio Group 10,000 42 Nisshin Steel 85,000 383 Nisshinbo Industries (B) 270,000 3,749 Nitto Kogyo (B) 3,200 49 Nomura Holdings (B) 92,600 1,551 Noritake (B) 24,000 114 NSK (B) 153,000 1,341 NTT Data (B) 659 2,934 NTT DoCoMo (B) 2,715 3,871 Obayashi (B) 185,000 856 Odakyu Electric Railway (B) 177,000 1,140 Ohara 300 6 Oiles 900 19 Okaya 500 6 Oki Electric Industry (B) 878,000 1,511 OKUMA (B) 19,000 277 Okumura (B) 401,900 2,044 Olympus 14,000 575 Omron 71,800 1,898 Onward Kashiyama 64,000 647 Oriental Land (B) 6,700 388 ORIX (B) 64,700 14,738 Plenus 400 7 Ricoh 162,000 3,423 Riso Kagaku 1,400 28 Rohm 14,700 1,297 Sanki Engineering (B) 203,400 1,227 Sankyo (B) 26,000 1,051 Sanwa Shutter 84,000 470 Sapporo Hokuyo Holdings 34 337 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sega Sammy Holdings (B) 55,400 $ 737 Seikagaku 1,800 21 Seiko Epson (B) 40,400 999 Seino Transportation 37,000 341 Sekisui Chemical (B) 201,000 1,473 Sekisui House 199,000 2,502 SFCG (B) 9,600 1,343 Sharp 303,000 5,493 Shin-Etsu Chemical 37,600 2,596 Shinsei Bank 241,000 759 Shiseido (B) 27,000 599 Showa Shell Sekiyu (B) 129,400 1,662 SMC 28,200 3,857 Softbank (B) 643,300 11,858 Sojitz 239,500 1,041 Sony (B) 290,700 14,078 SSP 3,000 14 Stanley Electric 36,800 886 Sumco 8,300 338 Sumitomo (B) 537,600 10,377 Sumitomo Chemical 653,200 5,594 Sumitomo Electric Industries 5,680 90 Sumitomo Forestry 36,000 297 Sumitomo Heavy Industries 67,000 862 Sumitomo Metal Industries (B) 958,000 5,581 Sumitomo Metal Mining 200,000 4,852 Sumitomo Mitsui Financial Group (B) 2,856 22,224 Suzuken 6,600 222 Suzuki Motor (B) 198,500 5,868 T&D Holdings 22,000 1,352 Taisho Pharmaceutical (B) 19,000 373 Takeda Pharmaceutical (B) 76,700 5,388 Takefuji (B) 63,100 1,251 Teijin (B) 186,000 907 Toagosei 849,000 3,159 Toda (B) 764,600 4,029 Tokai Rika (B) 27,500 765 Tokyo Electric Power (B) 282,100 7,113 Tokyo Electron 75,800 4,798 Tokyo Gas 406,000 1,889 Tokyo Steel Manufacturing 20,900 324 Tokyu (B) 241,000 1,572 Tokyu Land 130,400 1,307 Toppan Printing (B) 108,000 1,111 Topre 7,600 68 Topy Industries (B) 39,000 104 Toshiba (B) 1,754,000 16,363 Toshiba TEC 32,000 198 Tosoh 169,000 1,095 Toyo Seikan Kaisha (B) 100,800 1,897 Toyota Auto Body (B) 20,100 333 Toyota Industries 34,500 1,485 -------------------------------------------------------------------------------- 12 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Toyota Motor 473,300 $ 27,900 Trend Micro (B) 82,500 3,565 TV Asahi 189 304 Unicharm 24,300 1,490 UNY 142,000 1,236 USS (B) 5,500 361 Wacoal Holdings 5,000 61 Yahoo! Japan (B) 11,963 4,525 Yamada Denki 33,710 3,332 Yamaha (B) 31,500 705 Yamaha Motor 50,500 1,286 Yamatane (B) 627,700 742 Yamato Kogyo 5,400 259 Yamato Transport (B) 165,800 2,484 Yokogawa Bridge 134,400 836 Yokohama Rubber 403,700 3,019 Zephyr 5 7 -------------- 669,591 -------------- LUXEMBOURG -- 0.5% ArcelorMittal (B) 198,196 15,601 ArcelorMittal 9,600 756 Oriflame Cosmetics SDR (B) 22,781 1,377 SES Global FDR (Paris Exchange) 74,390 1,735 -------------- 19,469 -------------- MEXICO -- 0.5% America Movil ADR, Ser L 298,400 19,098 -------------- NETHERLANDS -- 4.5% ABN AMRO Holding 19,000 999 Aegon 222,956 4,258 Akzo Nobel 238,173 19,578 ASML Holding 49,727 1,644 Buhrmann 187,500 2,037 European Aeronautic Defense and Space 47,100 1,444 Fugro 25,374 2,054 Heineken 11,492 752 Heineken Holding 22,062 1,261 Hunter Douglas 7,817 700 ING Groep 932,888 41,300 Koninklijke Ahold 349,200 5,264 Koninklijke DSM 98,252 5,289 Reed Elsevier (B) 94,150 1,784 Royal Dutch Shell, Cl A 791,129 32,583 Royal Dutch Shell, Cl A (GBP) 340,604 13,997 Royal Dutch Shell, Cl B 456,939 18,731 Royal KPN 173,132 2,997 TNT 94,724 3,961 Unilever (B) 668,980 20,598 Vedior 10,500 230 -------------- 181,461 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NEW ZEALAND -- 0.2% Air New Zealand 943,900 $ 1,762 Fletcher Building 260,552 2,498 Infratil (B) 367,500 825 Kiwi Income Property Trust 725,600 795 Telecom of New Zealand 590,363 1,994 -------------- 7,874 -------------- NORWAY -- 0.7% Aker, A Shares 15,200 1,068 DnB 240,664 3,671 Ementor* 383,100 3,448 Norske Skogindustrier 77,142 821 Orkla 65,100 1,156 Schibsted 102,900 5,389 Storebrand 156,000 2,411 Tandberg 144,900 3,467 Telenor 217,300 4,328 Yara International 138,400 4,352 -------------- 30,111 -------------- POLAND -- 0.0% Polski Koncern Naftowy Orlen 59,300 1,242 -------------- PORTUGAL -- 0.3% Banco BPI (B) 128,526 1,078 Banco Comercial Portugues (B) 522,606 2,163 Banco Espirito Santo (B) 142,381 3,220 Cimpor Cimentos de Portugal (B) 151,219 1,249 Energias de Portugal (B) 370,704 2,161 Semapa-Sociedade de Investimento e Gestao* 68,200 1,109 Sonae Industria (B) 14,703 165 Teixeira Duarte - Engenharia Construcoes* 4,399 13 -------------- 11,158 -------------- SINGAPORE -- 1.3% Allgreen Properties 1,498,200 1,938 CapitaCommercial Trust + 1,071,600 2,050 CapitaLand 931,000 5,111 Chuan Hup Holdings* 877,600 213 City Developments 145,000 1,582 DBS Group Holdings 119,000 1,732 Fraser and Neave (B) 68,000 261 Guocoland 2,000 7 Ho Bee Investment 115,000 169 Hong Leong Finance (B) 447,000 1,168 Hotel Plaza 83,000 121 Jardine Cycle & Carriage 139,000 1,732 K1 Ventures* 296,000 64 Keppel 288,000 2,794 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 13 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Keppel Land (B) 602,200 $ 3,367 Kim Eng Holdings 838,000 1,123 Mapletree Logistics Trust + 3,013,600 2,538 MCL Land 6,000 11 Metro Holdings 97,000 68 NatSteel 36,000 41 Neptune Orient Lines 245,000 875 Olam International 1,210,400 2,560 Oversea-Chinese Banking (B) 663,200 3,976 SembCorp Industries 200,000 869 SembCorp Marine 530,000 1,642 Singapore Airlines 40,140 503 Singapore Exchange 382,500 3,324 Singapore Petroleum 281,000 1,287 Singapore Press Holdings 208,000 605 Singapore Technologies Engineering (B) 284,000 746 Singapore Telecommunications 559,150 1,514 SP Chemicals 123,000 98 United Overseas Bank 232,200 3,457 UOB-Kay Hian Holdings 59,000 86 UOL Group 156,000 547 Venture 37,000 411 Wheelock Properties S (B) 629,900 1,159 Wing Tai Holdings* 1,609,200 4,184 -------------- 53,933 -------------- SOUTH AFRICA -- 0.2% Harmony Gold Mining 146,200 1,729 Harmony Gold Mining ADR* 21,400 255 Sanlam 745,380 2,407 Sasol 39,467 1,694 Standard Bank Group 81,700 1,178 -------------- 7,263 -------------- SOUTH KOREA -- 0.8% Honam Petrochemical 23,600 3,894 Hynix Semiconductor 32,400 1,108 Hyundai Mobis 16,270 1,726 Industrial Bank of Korea 49,730 1,073 Kookmin Bank 18,900 1,574 POSCO 2,700 1,986 Samsung Electronics 3,519 2,211 Samsung Electronics GDR 9,218 2,892 Shinhan Financial Group 187,250 12,236 SK Telecom 410 94 SK Telecom ADR 81,100 2,409 -------------- 31,203 -------------- SPAIN -- 2.9% Acerinox (B) 34,358 1,031 ACS Actividades Construcciones y Servicios (B) 260,708 14,349 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria (B) 441,635 $ 10,326 Banco Popular Espanol (B) 104,334 1,788 Banco Santander Central Hispano (B) 1,310,854 25,409 Cementos Portland Valderrivas 3,599 391 Ebro Puleva 60,900 1,245 Endesa (B) 10,913 622 Fomento de Construcciones y Contratas 9,400 759 Gas Natural SDG (B) 235,374 13,256 Gestevision Telecinco 49,019 1,283 Iberdrola 37,990 2,226 Iberdrola (GBP) 110,374 6,377 Inditex (B) 28,630 1,924 Repsol 517,271 18,428 Sol Melia (B) 44,100 828 Telefonica (B) 607,698 16,965 Union Fenosa 25,935 1,530 -------------- 118,737 -------------- SWEDEN -- 2.0% Assa Abloy, Cl B (B) 110,200 2,278 Atlas Copco, Cl A (B) 732,375 12,623 Boliden 128,355 2,723 Electrolux, Ser B 23,600 498 Hennes & Mauritz, Cl B 8,000 505 Husqvarna, Cl B 9,092 117 Industrivarden, Cl A (B) 68,600 1,519 Industrivarden, Cl C 51,100 1,064 Investor, Cl B 457,750 11,711 Saab, Cl B* 4,000 94 Sandvik 176,241 3,767 SAS* 107,879 1,926 Skandinaviska Enskilda Banken, Cl A 112,846 3,655 SKF 90,100 1,891 Ssab Svenskt Stal, Ser A 53,400 1,969 Svenska Cellulosa, Cl B 383,259 7,124 Svenska Handelsbanken, Cl A 101,988 3,153 Swedish Match 37,202 771 Tele2, Cl B (B) 78,000 1,679 Telefonaktiebolaget LM Ericsson, Cl B (B) 2,372,671 9,463 TeliaSonera 834,400 7,513 Trelleborg, Cl B (B) 35,326 830 Volvo, Cl B 226,654 3,933 Wihlborgs Fastigheter 8,028 148 -------------- 80,954 -------------- SWITZERLAND -- 4.6% ABB 211,157 5,542 Adecco 45,654 2,691 AFG Arbonia-Forster Holdings 2,200 815 Bobst Group 642 47 Bucher Industries 3,696 684 -------------------------------------------------------------------------------- 14 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ciba Specialty Chemicals 12,600 $ 640 Clariant 64,000 784 Compagnie Financiere Richemont, Cl A 145,667 9,620 Credit Suisse Group (B) 338,165 22,376 Elektrizitaets-Gesellschaft Laufenburg 39 46 Energiedienst Holding 124 66 Forbo Holding (B) 1,240 732 Geberit 886 115 Helvetia Holding 1,171 401 Holcim 77,749 8,559 Inficon Holding 12,500 2,141 Kudelski 35,900 1,012 Nestle 44,648 19,989 Nobel Biocare Holding 6,863 1,852 Novartis (B) 340,422 18,723 Rieter Holding 899 485 Roche Holding 123,485 22,314 Schweizerische National-Versicherungs- Gesellschaft 170 131 Straumann Holding 3,200 896 Swatch Group 17,497 1,117 Swiss Life Holding 9,800 2,533 Swiss Reinsurance 185,480 16,465 Swisscom 11,178 4,236 UBS 197,373 10,577 Xstrata 300,518 19,862 Zurich Financial Services 38,760 11,588 -------------- 187,039 -------------- TAIWAN -- 0.3% AU Optronics 958,714 1,654 Compal Electronics 1,290,784 1,459 High Tech Computer GDR 24,050 1,410 Siliconware Precision Industries 342,628 772 Taiwan Semiconductor Manufacturing 1,028,200 2,004 Taiwan Semiconductor Manufacturing ADR 328,313 3,322 United Microelectronics (I) 1,627,186 1,180 -------------- 11,801 -------------- THAILAND -- 0.0% PTT 199,200 1,953 Total Access Communication* 20,000 27 -------------- 1,980 -------------- UNITED KINGDOM -- 15.1% 3i Group 210,894 4,284 Acergy 352,550 10,419 Amec 654,350 9,879 Anglo American 303,031 20,306 Antofagasta 37,000 575 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ARM Holdings 163,611 $ 513 AstraZeneca 341,188 17,024 AstraZeneca (SEK) 34,236 1,709 Autonomy* 311,380 5,462 Aviva 904,497 13,563 BAE Systems 2,881,150 28,968 Balfour Beatty 34,352 332 Barclays 1,546,187 18,759 Barratt Developments 165,154 2,517 Bellway 41,245 866 Berkeley Group Holdings 57,500 1,680 BHP Billiton 506,863 18,072 Bovis Homes Group 23,065 307 BP 2,582,747 29,862 Brit Insurance Holdings 88,000 612 British Airways 265,115 2,070 British American Tobacco 206,276 7,363 British Energy Group 494,824 5,388 British Land + 122,718 2,930 BT Group 356,941 2,233 Burberry Group 679,070 9,090 Capital & Regional 6,836 102 Carphone Warehouse Group 90,423 642 Cattles 34,306 244 Centrica 1,221,756 9,471 Charter 28,650 691 Compass Group 398,000 2,449 Cookson Group 47,143 733 Daily Mail & General Trust 147,444 1,892 Diageo 556,900 12,186 Drax Group 29,534 367 DS Smith 209,100 796 Emap 13,661 245 Enterprise Inns 104,931 1,266 Firstgroup 23,778 334 FKI 413,800 767 Friends Provident 825,441 2,893 GKN 186,000 1,341 GlaxoSmithKline 875,616 23,138 Greene King 230,300 4,138 Group 4 Securicor 29,333 121 Hays 187,816 509 HBOS 1,185,620 22,090 Home Retail Group 219,372 1,666 HSBC Holdings 1,409,537 25,975 Hunting 137,700 1,898 Imperial Chemical Industries 160 2 Imperial Tobacco Group 99,141 4,526 International Power 87,693 806 Investec 43,903 458 Kazakhmys 90,899 2,602 Kcom Group 752,400 1,012 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 15 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kelda Group 86,807 $ 1,524 Kingfisher 319,500 1,164 Laird Group 93,800 1,032 Land Securities Group + 620 21 Legal & General Group 515,760 1,404 Lloyds TSB Group 274,738 3,037 LogicaCMG 280,132 863 London Stock Exchange Group 153,600 5,142 Lonmin 18,300 1,360 Luminar 95,200 1,167 Marks & Spencer Group 117,715 1,476 Marston's 166,400 1,148 Michael Page International 95,122 799 Millennium & Copthorne Hotels 178,800 1,749 Minerva 417,400 1,924 Mitchells & Butlers 246,790 3,072 Mondi* 77,827 737 National Grid 546,351 8,727 Next 46,310 1,853 Northern Foods 1,162,300 2,315 Old Mutual 1,289,311 4,211 Pearson 56,469 871 Premier Foods 247,100 1,123 Prudential 268,000 4,103 Punch Taverns 266,800 5,360 Reckitt Benckiser 82,293 4,815 Reed Elsevier 173,614 2,186 Reuters Group 193,800 2,539 Rio Tinto 172,259 14,838 Rolls-Royce Group 203,000 2,161 Royal & Sun Alliance Insurance Group 1,436,988 4,523 Royal Bank of Scotland Group 3,391,867 36,280 SABMiller 334,690 9,492 Scottish & Newcastle 71,919 896 Scottish & Southern Energy 160,583 4,943 Segro+ 100,423 1,022 Severn Trent 44,900 1,290 Shire 304,100 7,441 Smith & Nephew 877,050 10,677 Smiths Group 69,469 1,513 St Ives Group 203,100 848 Stagecoach Group 284,550 1,317 Standard Chartered 143,822 4,688 Standard Life 221,926 1,304 Stolt-Nielsen 83,600 2,467 Tate & Lyle 10,881 89 Taylor Woodrow 973,105 5,467 TDG 398,700 1,887 Tesco 831,900 7,445 Trinity Mirror 309,856 2,601 Unilever 69,278 2,181 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- United Utilities 272,035 $ 3,880 Vodafone Group 19,486,505 70,072 Wolseley 92,645 1,560 WPP Group 196,000 2,643 Yell Group 366,107 3,200 -------------- 612,590 -------------- Total Common Stock (Cost $2,723,649) ($ Thousands) 3,455,560 -------------- U.S. GOVERNMENT AGENCY MORTGAGE- BACKED OBLIGATIONS -- 6.1% FHLMC (G) 5.900%, 03/31/08 200 195 5.249%, 11/09/07 18,300 18,197 5.034%, 03/03/08 225 221 FHLMC 15 Year TBA 6.000%, 07/01/21 to 05/01/22 29,928 30,307 FHLMC CMO STRIPS, Ser 232, Cl IO, IO (E) 5.000%, 08/01/35 26,583 7,000 FHLMC CMO STRIPS, Ser 233, Cl 12, IO (E) 5.000%, 09/15/35 4,727 1,079 FHLMC CMO STRIPS, Ser 233, Cl 4, IO (E) 4.500%, 09/15/35 1,623 445 FNMA (G) 5.349%, 11/02/07 400 398 4.995%, 02/29/08 100 98 4.716%, 03/12/08 1,925 1,887 4.505%, 03/28/08 125 122 4.117%, 01/02/08 6,359 6,292 FNMA 15 Year TBA 5.500%, 12/01/20 to 10/15/22 29,948 29,881 5.000%, 10/01/22 to 10/01/37 92,000 89,398 FNMA 30 Year TBA 6.000%, 10/01/37 to 11/01/37 1,000 990 5.500%, 10/01/37 6,000 5,876 5.000%, 09/01/35 to 10/01/37 17,890 17,119 FNMA CMO STRIPS, Ser 10, Cl FD (E) 5.855%, 10/25/07 5,069 5,061 FNMA CMO STRIPS, Ser 359, Cl 6, IO (E) 5.000%, 11/01/35 1,899 488 FNMA CMO STRIPS, Ser 360, Cl 2, IO (E) 5.000%, 08/01/35 29,060 7,652 FNMA CMO STRIPS, Ser 365, Cl 2, IO (E) 5.000%, 03/01/36 1,656 433 -------------------------------------------------------------------------------- 16 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- GNMA ARM 6.500%, 10/30/07 to 02/20/34 2,892 $ 2,916 6.375%, 10/01/07 1,296 1,308 6.000%, 02/20/35 (H) 196 197 5.500%, 06/20/34 to 06/20/36 3,731 3,748 5.500%, 08/20/34 to 03/20/36 (H) 1,830 1,839 5.375%, 06/20/33 (H) 215 216 5.250%, 01/20/30 424 428 5.000%, 02/20/33 822 828 5.000%, 04/20/35 to 02/20/36 (H) 4,949 4,938 4.500%, 07/20/34 1,028 1,030 4.375%, 06/20/33 (H) 1,421 1,429 4.000%, 07/20/35 1,023 1,028 3.750%, 02/20/34 6,684 6,672 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $247,373) ($ Thousands) 249,716 -------------- ASSET-BACKED SECURITIES -- 4.6% ACE Securities, Ser 2003-NC1, Cl M (D) 5.911%, 10/25/07 2,100 2,013 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 10/26/07 800 782 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) (J) 7.881%, 10/12/07 360 229 Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 (D) 4.952%, 10/01/07 1,591 1,598 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 (D) 6.020%, 10/25/07 151 136 American Home Mortgage Investment Trust, Ser 2004-3, Cl 3A (D) 3.710%, 10/01/07 1,769 1,749 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 (D) 4.992%, 10/01/07 513 515 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) 5.294%, 10/25/07 13,889 13,754 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 10/25/07 9,149 9,046 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 10/25/07 4,560 4,501 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.670%, 10/25/07 1,424 1,315 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- Argent Securities, Ser 2003-W5, Cl M1 (D) 6.020%, 10/25/07 600 $ 581 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 10/26/07 1,201 1,168 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.361%, 10/15/07 1,642 1,582 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 (D) 5.611%, 05/10/45 2,395 2,418 Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.568%, 10/01/07 485 483 Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) 5.585%, 10/25/07 3,511 3,504 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-7, Cl 1A1 (D) 5.054%, 10/01/07 1,224 1,239 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 (D) 5.011%, 10/01/07 2,923 2,897 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.989%, 10/01/07 1,825 1,819 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.655%, 10/27/07 800 629 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) (J) 7.505%, 10/27/07 1,221 642 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.935%, 10/30/07 1,700 1,659 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 7.105%, 10/25/07 959 890 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.460%, 10/25/07 962 961 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) 5.410%, 10/27/07 204 204 Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.087%, 10/01/07 1,836 1,830 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.030%, 10/20/07 5,225 5,244 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (D) 5.569%, 10/01/07 2,229 2,238 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 17 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.725%, 10/26/07 1,272 $ 1,271 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.278%, 10/19/07 760 624 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 6.138%, 10/19/07 1,127 1,107 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.348%, 10/19/07 490 390 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.288%, 10/19/07 490 368 Deutsche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 3,209 3,183 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.905%, 10/26/07 143 142 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (D) 5.351%, 10/01/07 987 993 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.655%, 10/01/07 11,756 11,839 First Horizon Mortgage Pass-Through Trust, Ser 2006-AR3, Cl 1A1 (D) 5.684%, 10/01/07 2,939 2,951 GS Mortgage Securities, Ser 2007-GG10, Cl A4 (D) 5.993%, 08/10/45 500 509 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) 5.605%, 10/27/07 5,877 5,863 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) (J) 5.500%, 05/25/36 220 26 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 6.075%, 10/27/07 1,246 1,006 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.720%, 10/25/07 1,265 1,230 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) (J) 6.500%, 05/27/36 216 54 Indymac Mortgage Loan Trust, Ser 2004-AR11, Cl 4A1 (D) 5.785%, 10/01/07 5,229 5,260 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 6.966%, 10/01/07 435 $ 438 JPMorgan Chase Commercial Mortgage, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 700 693 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 9,493 9,562 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) (J) 7.070%, 10/31/07 1,850 1,300 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) (J) 7.255%, 10/27/07 1,075 782 MLCC Mortgage Investors, Ser 2006-1, Cl 1A1 (D) 5.303%, 10/01/07 5,745 5,750 Master Adjustable Rate Mortgages, Ser 2005-2, Cl 3A1 (D) 4.771%, 10/01/07 2,839 2,828 Master Asset Backed Securities Trust, Ser 2003-WMC2, Cl M1 (D) 6.555%, 10/27/07 567 561 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.645%, 10/27/07 5,604 5,576 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 (D) 7.155%, 10/25/07 325 297 Merrill Lynch Mortgage Investors Trust, Ser 2005-A4, Cl 1A (D) 5.136%, 10/01/07 532 539 Morgan Stanley Capital I, Cl 2003-NC8, Cl M1 (D) 6.205%, 10/27/07 2,000 1,927 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 10/01/07 630 627 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 1,468 1,512 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 1,593 1,637 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 10/23/07 894 855 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) (J) 7.820%, 10/27/07 230 133 -------------------------------------------------------------------------------- 18 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) (J) 7.820%, 10/27/07 500 $ 214 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.305%, 10/25/07 1,293 1,109 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.240%, 10/25/07 4,904 4,938 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.720%, 10/27/07 573 562 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.050%, 10/25/07 188 178 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.585%, 10/27/07 1,991 1,985 Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) 5.575%, 10/27/07 1,914 1,912 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.250%, 10/25/07 4,846 4,837 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.420%, 10/25/07 3,401 3,379 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.655%, 10/25/07 5,355 5,265 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) (J) 7.500%, 06/25/36 226 159 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) (J) 5.000%, 05/25/35 334 17 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.405%, 10/25/07 775 743 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 (D) 8.320%, 10/25/07 802 747 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.735%, 10/25/07 358 358 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) 5.595%, 10/26/07 8,703 8,654 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) (J) 4.500%, 06/25/36 1,321 1,212 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 (D) 5.776%, 04/25/37 939 952 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 (D) 5.560%, 10/01/07 7,337 $ 7,311 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl HY6 (D) 5.707%, 06/25/37 2,825 2,814 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 5.839%, 10/01/07 409 410 -------------- Total Asset-Backed Securities (Cost $189,424) ($ Thousands) 185,215 -------------- CORPORATE OBLIGATIONS -- 0.7% Capmark Financial Group (F) 6.300%, 05/10/17 167 145 5.875%, 05/10/12 335 305 Cit Group 5.000%, 02/13/14 2,030 1,833 Discover Financial Services (F) 6.450%, 06/12/17 335 325 Dominion Resources 4.750%, 12/15/10 1,015 1,001 Exelon Generation 6.950%, 06/15/11 1,520 1,592 Genworth Financial 5.750%, 06/15/14 1,110 1,112 5.650%, 06/15/12 1,690 1,705 Goldman Sachs 5.500%, 11/15/14 145 143 HSBC Finance 6.375%, 10/15/11 1,520 1,570 Istar Financial + 5.875%, 03/15/16 1,015 908 Lehman Brothers Holdings MTN 5.750%, 05/17/13 510 506 5.500%, 04/04/16 1,010 953 Merrill Lynch 6.050%, 05/16/16 820 819 Morgan Stanley 4.750%, 04/01/14 1,520 1,428 Morgan Stanley MTN, Ser G (D) 5.660%, 10/04/07 1,380 1,338 Prudential Financial MTN 5.800%, 06/15/12 460 470 Residential Capital 6.875%, 06/30/15 265 214 6.500%, 04/17/13 3,505 2,830 6.000%, 02/22/11 700 571 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 1,740 1,613 Simon Property Group + 5.750%, 12/01/15 1,015 992 5.600%, 09/01/11 795 796 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 19 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) -------------------------------------------------------------------------------- Time Warner 6.875%, 05/01/12 1,520 $ 1,595 US Steel 5.650%, 06/01/13 355 348 Vodafone Group 5.350%, 02/27/12 255 254 Washington Mutual Preferred Funding (D) (F) 6.534%, 03/29/49 1,900 1,739 Weatherford International (F) 5.950%, 06/15/12 570 581 -------------- Total Corporate Obligations (Cost $28,929) ($ Thousands) 27,686 -------------- PREFERRED STOCK -- 0.4% AUSTRALIA -- 0.0% News 44,855 1,001 -------------- BRAZIL -- 0.2% Petroleo Brasileiro 65,000 2,096 Usinas Siderurgicas de Minas Gerais, Cl A 54,200 3,771 -------------- 5,867 -------------- GERMANY -- 0.1% Porsche 1,414 3,012 Volkswagen 2,444 336 -------------- 3,348 -------------- ITALY -- 0.1% Istituto Finanziario Industriale 107,200 4,118 -------------- SOUTH KOREA -- 0.0% Samsung Electronics 2,900 1,350 -------------- Total Preferred Stock (Cost $9,184) ($ Thousands) 15,684 -------------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 200 17 -------------- Total Exchange Traded Fund (Cost $15) ($ Thousands) 17 -------------- EQUITY LINKED WARRANT -- 0.3% TAIWAN -- 0.3% HON HAI Precision Industry* 1,554 11,704 -------------- Total Equity Linked Warrant (Cost $7,242) ($ Thousands) 11,704 -------------- -------------------------------------------------------------------------------- Contracts/Shares/ Market Value Description Face Amount ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Number of Rights --------- RIGHTS -- 0.1% AUSTRALIA -- 0.0% Newcrest Mining, Expires 10/17/07* 131 $ 431 -------------- BELGIUM -- 0.1% Fortis, Expires 10/09/07* 532 2,818 -------------- Total Rights (Cost $2,881) ($ Thousands) 3,249 -------------- PURCHASED OPTION -- 0.0% UNITED STATES -- 0.0% July 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price $95* 93 164 -------------- Total Purchased Option (Cost $39) ($ Thousands) 164 -------------- CASH EQUIVALENTS**++ -- 16.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 22,716,873 22,717 SEI Liquidity Fund, LP, 5.367% (C) 641,046,389 641,046 -------------- Total Cash Equivalents (Cost $663,763) ($ Thousands) 663,763 -------------- TIME DEPOSITS -- 3.3% UNITED STATES -- 3.3% Brown Brothers Harriman 8.350%, 10/01/07 ZAR 157 23 6.450%, 10/01/07 NZD 62 47 5.650%, 10/01/07 AUD 787 696 4.950%, 10/01/07 GBP 390 794 4.550%, 10/01/07 HKD 4,173 537 4.520%, 10/01/07 123,213 123,213 4.100%, 10/01/07 NOK 20 3 3.250%, 10/01/07 EUR 661 940 3.150%, 10/01/07 DKK 7,280 1,389 2.850%, 10/01/07 SEK 135 21 1.460%, 10/01/07 CHF 5,342 4,573 1.250%, 10/01/07 SGD 383 258 1.000%, 10/01/07 JPY 25,666 223 -------------- Total Time Deposits (Cost $132,717) ($ Thousands) 132,717 -------------- -------------------------------------------------------------------------------- 20 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares/Contracts ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (E) -- 1.2% General Electric Capital 9.496%, 10/11/07 15,000 $ 14,978 Prudential Funding 4.684%, 10/02/07 20,000 19,995 Toyota Motor Credit 5.168%, 10/11/07 13,000 12,980 -------------- Total Commercial Paper (Cost $47,953) ($ Thousands) 47,953 -------------- U.S. TREASURY OBLIGATIONS (E) -- 0.5% U.S. Treasury Bills (A) 4.380%, 11/23/07 4,839 4,813 3.756%, 12/20/07 675 670 U.S. Treasury Inflationary Index Notes 2.375%, 04/15/11 16,142 16,246 -------------- Total U.S. Treasury Obligations (Cost $21,592) ($ Thousands) 21,729 -------------- Total Investments -- 118.9% (Cost $4,074,761) ($ Thousands) $ 4,815,157 ============== WRITTEN OPTION -- 0.0% UNITED STATES -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price: $95.50 (93) (92) -------------- Total Written Option (Premium Received $(15)) ($ Thousands) $ (92) -------------- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, 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) -------------------------------------------------------------------------------- 10/19/07 AUD 13,952 GBP 5,825 $ (472) 10/19/07 AUD 14,984 USD 12,684 (564) 10/19/07 CAD 82,787 USD 81,333 (2,009) 10/19/07 CHF 8,367 EUR 5,105 90 10/19/07 EUR 11,765 CHF 19,376 (127) 10/19/07 EUR 35,584 USD 49,707 (918) 10/19/07 GBP 1,178 AUD 2,875 144 10/19/07 GBP 11,464 USD 23,180 (166) 10/19/07 MXP 285,400 USD 25,901 (171) 10/19/07 NZD 5,376 USD 3,927 (128) 10/19/07 SGD 28,226 USD 18,767 (274) 10/19/07 USD 2,459 CAD 2,600 158 10/19/07 ZAR 53,822 USD 7,556 (233) 10/19/07-10/29/07 USD 50,685 AUD 59,160 1,605 10/19/07-10/29/07 USD 264,457 GBP 131,833 3,992 10/19/07-10/29/07 USD 6,842 NOK 38,623 282 10/19/07-10/29/07 USD 23,544 SEK 154,533 367 10/19/07-1/22/08 AUD 19,201 JPY 1,852,000 (706) 10/19/07-1/22/08 GBP 43,995 JPY 10,187,000 (76) 10/19/07-1/23/08 USD 154,747 JPY 18,013,387 2,517 10/19/07-2/21/08 GBP 50,329 CHF 120,100 917 10/19/07-2/21/08 JPY 10,103,000 USD 85,382 (3,016) 10/19/07-3/25/08 CHF 129,100 GBP 53,824 (1,628) 10/19/07-3/25/08 CHF 49,900 NZD 57,628 70 10/19/07-3/25/08 CHF 102,000 USD 84,787 (3,031) 10/19/07-3/25/08 NZD 42,379 CHF 36,300 (476) 10/19/07-3/25/08 USD 160,550 CHF 190,298 2,992 10/19/07-3/26/08 JPY 4,582,000 AUD 47,375 1,509 10/19/07-3/26/08 JPY 13,773,000 GBP 59,313 (397) 10/22/07 HKD 133,764 USD 17,187 (30) 10/29/07 USD 2,979 DKK 15,707 20 10/29/07 USD 141,298 EUR 100,066 1,096 10/29/07 USD 6,541 HKD 50,817 (1) 10/29/07 USD 582 NZD 791 14 10/29/07 USD 4,407 SGD 6,604 52 ------- $ 1,402 ======= -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 21 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2007 A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------------------------------------------------------------------------- 90-Day Euro$ (178) Mar-2008 $ (179) 90-Day Euro$ (91) Mar-2009 (120) 90-Day Euro$ (134) Mar-2010 (126) 90-Day Euro$ (90) Mar-2011 (65) 90-Day Euro$ 7 Mar-2012 1 90-Day Euro$ 50 Jun-2008 75 90-Day Euro$ 171 Jun-2009 128 90-Day Euro$ (461) Jun-2010 (234) 90-Day Euro$ 34 Jun-2011 (4) 90-Day Euro$ (6) Jun-2012 1 90-Day Euro$ (115) Sep-2008 (160) 90-Day Euro$ 169 Sep-2009 282 90-Day Euro$ (154) Sep-2010 (127) 90-Day Euro$ 41 Sep-2011 (14) 90-Day Euro$ 15 Sep-2012 1 90-Day Euro$ (106) Dec-2007 35 90-Day Euro$ (632) Dec-2008 (911) 90-Day Euro$ (135) Dec-2009 (144) 90-Day Euro$ (137) Dec-2010 (113) 90-Day Euro$ 7 Dec-2011 1 Amsterdam Index 109 Oct-2007 319 CAC40 10 Euro 535 Oct-2007 232 DAX Index 170 Dec-2007 1,722 DJ Euro Stoxx 50 Index 472 Dec-2007 200 FTSE 100 Index 859 Dec-2007 3,746 Hang Seng Index 67 Oct-2007 288 IBEX 35 Plus Index 87 Oct-2007 1,119 MSCI Singapore Index 80 Oct-2007 116 Nikkei 225 Index 38 Dec-2007 97 OMX Index 798 Oct-2007 409 S&P/MIB Index 56 Dec-2007 453 SPI 200 Index 234 Dec-2007 1,405 Topix Index 358 Dec-2007 3,206 U.S. 10-Year Treasury Note (43) Dec-2007 10 U.S. 2-Year Treasury Note 46 Dec-2007 60 U.S. 5-Year Treasury Note (43) Dec-2007 (24) U.S. Long Treasury Bond (29) Dec-2007 23 --------- $ 11,708 =========
A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Deliver payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 35 basis points times the notional amount. Fund delivers payment if the return on the spread appreciates over the payment period and receives if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/07 36,000 $ (125) Deliver payment on the quarterly reset spread from MSCI EAFE Index minus 20 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: Bear Stearns) 03/23/08 56,563 1,585 Deliver payment on the quarterly reset spread from MSCI Japan Net Index plus 20 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: Goldman Sachs International) 04/07/08 49,035 (1,141) Deliver payment on the quarterly reset spread from Swiss Market Index plus 23 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: JPMorgan Chase) 01/24/08 CHF 35,728 (1,221) Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 10 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) 03/31/08 73,000 252 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 75 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: Wachovia) 01/31/08 12,000 41 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 95 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) 01/31/08 4,000 14 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 72.5 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) 02/29/08 30,000 -- Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 50 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: Goldman Sachs International) 03/31/08 22,000 -- Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 80 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: JPMorgan Chase) 03/31/08 66,000 --
-------------------------------------------------------------------------------- 22 SEI Institutional International Trust / Annual Report / September 30, 2007
------------------------------------------------------------------------------------------- NET 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 5 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) 01/31/08 40,000 $ 138 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 8 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) 10/02/07 60,000 207 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 10 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: Wachovia) 12/31/07 5,000 17 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 20 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) 10/02/07 28,000 96 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index minus 50 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) 03/02/08 16,000 55 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 30 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: Merrill Lynch) 01/31/08 45,000 156 Receive payment on the monthly reset spread from Banc of America - CMBS IG 10Yr Index plus 20 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) 10/31/07 15,000 46 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 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: JPMorgan Chase) 01/01/08 8,000 49 Deliver payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Index plus 35 basis points times the notional amount. Fund delivers payment if the return on the spread appreciates over the payment period and receives if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 11/01/07 36,000 (221) -------- $ (52) ======== ------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.0367% (0.440% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 11,150 $ (3,234) Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 500 (8) Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 3,500 249 Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 08/25/37 2,000 (803) Fund receives monthly payment of 0.0125% (0.150% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 08/25/37 4,800 79 Fund pays quarterly payment of 0.0800% (0.320% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 2,150 (5) Fund pays quarterly payment of 0.0875% (0.350% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 (20) Fund pays quarterly payment of 0.1100% (0.440% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (18) Fund pays quarterly payment of 0.1375% (0.550% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (35) Fund pays quarterly payment of 0.0500% (0.200% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 3,500 6 Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (10) Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 45,900 (179) Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 3,025 (28)
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 23 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) September 30, 2007
------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,000 $ (17) Fund pays quarterly payment of 0.1113% (0.445% per annum) times the notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (10) Fund pays quarterly payment of 0.1063% (0.425% per annum) times the notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (19) Fund pays quarterly payment of 0.2950% (1.180% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 59 Fund pays quarterly payment of 0.0925% (0.370% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 (14) Fund pays quarterly payment of 0.0975% (0.390% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 (26) Fund pays quarterly payment of 0.1188% (0.475% per annum) times the notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 13 Fund pays quarterly payment of 0.1825% (0.730% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 (26) Fund pays quarterly payment of 0.1188% (0.475% per annum) times the notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (3) Fund pays quarterly payment of 0.0875% (0.350% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 143 Fund pays quarterly payment of 0.0550% (0.220% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (2) Fund pays quarterly payment of 0.0350% (0.140% per annum) times the notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 5,200 (3) ------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.0875% (0.350% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 $ 111 Fund pays quarterly payment of 0.0975% (0.390% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,500 356 Fund pays quarterly payment of 0.0475% (0.190% per annum) times the notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 (3) Fund pays quarterly payment of 0.1125% (0.450% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,500 7 Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 05/25/46 3,750 (62) Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 07/25/45 8,350 (2,599) Fund receives monthly payment of 0.0450% (0.540% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 2,500 (300) Fund receives monthly payment of 0.0450% (0.540% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 350 (13) Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 3,000 (1,295) Fund receives monthly payment of 0.0125% (0.150% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 18,200 (254) Fund receives monthly payment of 0.0125% (0.150% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defineddeliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 35,600 (942) Fund pays quarterly payment of 0.0850% (0.340% per annum) times the notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 (10)
-------------------------------------------------------------------------------- 24 SEI Institutional International Trust / Annual Report / September 30, 2007
-------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.1150% (0.460% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 $ (21) Fund pays quarterly payment of 0.1375% (0.550% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 (35) Fund pays quarterly payment of 0.0538% (0.215% per annum) times the notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 2,000 12 Fund pays quarterly payment of 0.0650% (0.260% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,500 (6) Fund pays quarterly payment of 0.2950% (1.180% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 54 Fund pays quarterly payment of 0.0975% (0.390% per annum) times the notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 18 Fund pays quarterly payment of 0.1925% (0.770% per annum) times the notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 12 Fund pays quarterly payment of 0.1125% (0.450% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 (17) Fund pays quarterly payment of 0.0875% (0.350% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,500 138 Fund pays quarterly payment of 0.0700% (0.280% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,500 (16) Fund pays quarterly payment of 0.0550% (0.220% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 (11) Fund pays quarterly payment of 0.0875% (0.350% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,500 111 -------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.0500% (0.200% per annum) times the notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 $ (3) Fund pays quarterly payment of 0.0975% (0.390% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,500 307 Fund pays quarterly payment of 0.0675% (0.270% per annum) times the notional amount of Southwest Airlines Co., 6.500%,03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 26 Fund pays quarterly payment of 0.0800% (0.320% per annum) times the notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 2,300 58 Fund pays quarterly payment of 0.0845% (0.338% per annum) times the notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,500 13 Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon adefined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 2,750 250 Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 2,750 244 Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 1,500 (660) Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defineddeliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 8,250 (2,563) Fund receives monthly payment of 0.0533% (0.640% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 7,250 (2,939) Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,150 42 Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 12,700 (47)
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 25 SCHEDULE OF INVESTMENTS
------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.1000% (0.400% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 45,900 $ (215) Fund receives quarterly payment of 0.1100% (0.440% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will deliver the notional amount and take receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 5,000 44 Fund pays quarterly payment of 0.0625% (0.250% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 2,500 10 Fund pays quarterly payment of 0.0325% (0.130% per annum) times the notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,500 1 Fund pays quarterly payment of 0.1125% (0.450% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receivethe notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,500 (16) Fund pays quarterly payment of 0.2250% (0.900% per annum) times the notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,500 (1) Fund pays quarterly payment of 0.0700% (0.280% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receivethe notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 2,500 (15) Fund pays quarterly payment of 0.1725% (0.690% per annum) times the notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,500 (42) Fund pays quarterly payment of 0.0675% (0.270% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,500 26 Fund pays quarterly payment of 0.1125% (0.450% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 2,500 11 Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Wachovia) 05/25/46 1,800 189 Fund receives monthly payment of 0.0142% (0.170% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Wachovia) 05/25/46 2,460 307 ---------- $ (13,649) ==========
Percentages are based on Net Assets of $4,049,391 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investments Trust ++ Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) Security, or portion thereof, has been pledged as collateral on open future contracts and written options. (B) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $614,002 ($ Thousands) (See Note 7). (C) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $641,046 ($ Thousands) (See Note 7). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (E) The rate reported is the effective yield at time of purchase. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (G) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (H) 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. (I) Securities are fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. As of September 30, 2007, the total market value of these securities was $18,289 ($ Thousands), representing 0.45% of net assets. (J) Securities considered illiquid. The total market value of such securities as of September 30, 2007 was $4,768 ($ Thousands) and represents 0.12% of net assets. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone 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 - face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SDR -- Swedish Depositary 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 $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 26 SEI Institutional International Trust / Annual Report / September 30, 2007 Emerging Markets Equity Fund September 30, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 18.7% Basic Materials 13.2% Telecommunication Services 11.5% Energy 11.5% Information Technology 11.2% Industrials 8.0% Short-Term Investments 7.9% Consumer Discretionary 6.6% Consumer Staples 4.5% Utilities 3.9% Healthcare 1.3% Exchange Traded Fund 0.8% Time Deposits 0.8% Equity-Linked Warrants 0.1% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 91.1% ARGENTINA -- 0.2% IRSA Inversiones y Representaciones GDR (B)* 51,500 $ 817 Mercadolibre* 3,300 121 MetroGas ADR* 10,600 48 Petrobas Energia Participaciones ADR (B) 181,090 1,820 Telecom Argentina ADR* 38,900 955 -------------- 3,761 -------------- BAHRAIN -- 0.1% Investcorp Bank GDR (A)* 41,294 1,125 -------------- BERMUDA -- 0.1% Credicorp 18,100 1,225 -------------- BRAZIL -- 8.1% All America Latina Logistica 52,144 733 Aracruz Celulose ADR (B) 16,300 1,200 Banco Bradesco ADR 225,448 6,621 Banco do Brasil 122,100 2,047 Banco Itau Holding Financeira ADR (B) 23,380 1,183 Banco Nossa Caixa 120,900 2,113 Banestes-Banco do Estado do Espirito Santo 359,100 322 BR Malls Participacoes* 44,600 533 Brasil Ecodiesel Industria e Comercio de Biocombus* 104,600 676 Brasil Telecom Participacoes ADR 55,000 4,104 Centrais Eletricas Brasileiras 89,180 1,296 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (B) 175,500 5,321 Cia de Concessoes Rodoviarias 31,100 620 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cia de Saneamento Basico do Estado de Sao Paulo 99,669 $ 2,477 Cia Energetica de Minas Gerais ADR 27,200 580 Cia Vale do Rio Doce ADR 260,600 8,842 Cia Vale do Rio Doce Sponsored ADR 775,276 22,057 CPFL Energia 51,100 990 CPFL Energia ADR (B) 5,900 344 Empresa Brasileira de Aeronautica ADR (B) 31,650 1,390 Gafisa ADR (B)* 42,300 1,427 Gerdau ADR 141,300 3,705 Gol Linhas Aereas Inteligentes ADR (B) 21,500 516 Grendene 166,200 2,010 JHSF Participacoes* 9,800 52 Localiza Rent A Car 214,500 2,174 Lojas Renner 203,100 4,042 Marfrig Frigorificos e Comercio de Alimentos* 91,500 954 Natura Cosmeticos 267,600 3,192 NET Servicos de Comunicacao 5,000 83 Petroleo Brasileiro ADR 143,214 10,813 Petroleo Brasileiro Sponsored ADR 151,940 9,831 Positivo Informatica 12,100 258 Redecard* 92,000 1,700 Santos-Brasil 115,281 1,579 Tam 64,961 1,780 Tele Norte Leste Participacoes ADR 183,810 4,128 Tim Participacoes ADR 194,200 7,877 Uniao de Bancos Brasileiros 16,600 218 Uniao de Bancos Brasileiros GDR 148,020 19,472 Usinas Siderurgicas de Minas Gerais 21,400 1,663 Votorantim Celulose e Papel ADR 79,170 2,266 -------------- 143,189 -------------- CANADA -- 0.0% SXR Uranium One* 35,000 463 -------------- CHILE -- 1.0% Administradora de Fondos de Pensiones Provida ADR 11,600 426 Banco Santander Chile ADR 35,874 1,814 Centros Comerciales Sudamericanos 234,383 924 Cia Cervecerias Unidas 182,970 1,356 Cia Cervecerias Unidas ADR 36,696 1,413 CorpBanca 267,929,030 1,976 Embotelladora Andina ADR 32,078 598 Empresa Nacional de Electricidad ADR 78,700 3,380 Empresas CMPC 12,200 436 Enersis ADR 142,322 2,525 La Polar 164,575 1,035 Lan Airlines ADR 110,950 1,781 Multiexport Foods* 340,536 216 -------------- 17,880 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 27 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CHINA -- 7.8% Anhui Conch Cement 402,000 $ 3,483 Anhui Expressway 274,000 250 Bank of China 5,174,000 2,771 Bengang Steel Plates, Cl B 732,907 866 China Communications Construction 1,594,000 3,792 China Construction Bank 11,789,000 10,759 China COSCO Holdings 144,000 450 China International Marine Containers 566,280 1,217 China Life Insurance 2,598,000 14,932 China Medical Technologies ADR 29,800 1,275 China Petroleum & Chemical, Cl H (B) 5,458,000 6,822 China Shenhua Energy 622,000 3,739 China Shipping Container Lines 2,307,950 1,791 China Shipping Development 2,870,000 9,310 China Telecom 3,606,000 2,720 China Yurun Food Group 4,125,000 5,947 Ctrip.com International ADR 6,000 311 DaChan Food Asia 48,000 18 Dongfeng Motor Group* 1,223,000 1,075 Focus Media Holding ADR (B)* 35,600 2,066 Great Wall Motor 2,253,500 3,336 Great Wall Technology 1,320,000 603 Guangdong Electric Power Development 700,000 742 Harbin Power Equipment 674,000 1,690 Huadian Power International 1,634,000 1,048 Huaneng Power International 1,244,800 1,721 Industrial & Commercial Bank of China, Cl H 11,302,820 7,929 Jiangxi Copper 199,000 644 Lenovo Group 2,148,000 1,648 Mindray Medical International ADR 35,500 1,525 Perfect World ADR* 11,000 300 PetroChina, Cl H 13,142,000 24,935 PICC Property & Casualty (B) 241,000 469 Semiconductor Manufacturing International (B) 696,000 82 Shanghai Electric Group 1,068,000 833 Simcere Pharmaceutical Group ADR* 122,200 1,947 Sino-Ocean Land Holdings* 1,620,000 2,294 Sinotrans (B) 1,911,000 1,171 Weiqiao Textile 1,798,400 3,380 WuXi PharmaTech Cayman ADR* 1,786 50 Yanzhou Coal Mining 3,428,000 7,060 Zhejiang Expressway 904,000 1,285 -------------- 138,286 -------------- COLOMBIA -- 0.2% BanColombia ADR (B) 109,560 3,796 -------------- CYPRUS -- 0.1% AFI Development GDR* 97,400 984 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CZECH REPUBLIC -- 0.9% CEZ 201,965 $ 12,393 Komercni Banka 8,260 1,921 Telefonica O2 Czech Republic 13,000 367 Unipetrol* 82,000 1,297 -------------- 15,978 -------------- EGYPT -- 0.5% Commercial International Bank GDR 176,250 2,379 Egyptian International Pharmaceutical Industrial (D) 42,300 216 El Ezz Steel (D) 101,274 965 Orascom Construction Industries (D) 21,344 1,802 Orascom Construction Industries GDR (A) 13,711 2,323 Orascom Construction Industries GDR 600 102 Telecom Egypt (D) 300,000 911 -------------- 8,698 -------------- HONG KONG -- 5.6% AAC Acoustic Technology Holdings 2,870,000 3,543 ASM Pacific Technology 179,000 1,584 Belle International Holdings 61,000 80 Brilliance China Automotive Holdings (B) 3,473,000 957 Chaoda Modern Agriculture 434,000 353 China Everbright 296,000 1,055 China Mengniu Dairy 939,000 4,091 China Merchants Bank 527,395 2,318 China Mobile 2,601,500 42,629 China Netcom Group 816,500 2,186 China Power International Development (B) 4,432,200 2,322 China Resources Logic 126,000 16 China Resources Power Holdings 322,000 1,001 China Unicom 64,000 133 CITIC International Financial Holdings 1,348,000 1,079 CNOOC 6,504,500 10,935 Cosco Pacific 2,082,000 6,593 Denway Motors 5,078,000 2,948 Digital China Holdings 1,337,000 776 Global Bio-Chem Technology Group (B) 4,269,500 1,649 Guangzhou Investment 1,546,000 484 Hopson Development Holdings 408,000 1,360 Industrial and Commercial Bank of China Asia 526,000 1,469 Johnson Electric Holdings 268,000 140 NWS Holdings 125,000 294 Samson Holding 2,020,000 575 Shanghai Industrial Holdings 179,000 894 Shenzhen Investment 1,286,000 1,149 Shenzhou International Group Holdings 175,000 83 -------------------------------------------------------------------------------- 28 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Texwinca Holdings (B) 1,946,600 $ 1,616 TPV Technology 4,110,000 2,963 United Laboratories 954,000 709 Yue Yuen Industrial Holdings (B) 590,500 1,767 -------------- 99,751 -------------- HUNGARY -- 0.6% Danubius Hotel and Spa* 4,715 259 Magyar Telekom 563,279 3,125 OTP Bank 133,833 7,238 Raba Automotive Holding* 10,000 152 Tiszai Vegyi Kombinat* 12,600 563 -------------- 11,337 -------------- INDIA -- 7.2% Andhra Bank 266,993 703 Bank of India 189,610 1,318 Bharat Electronics 21,240 982 Bharat Heavy Electricals 74,374 3,802 Bharat Petroleum 346,653 3,109 Bharti Televentures 745,963 17,595 Birla 73,137 618 CESC 75,930 933 Federal Bank 60,268 563 GAIL India 134,999 1,284 Grasim Industries 18,599 1,639 Gujarat Narmada Valley Fertilizers 144,589 575 Gujarat State Fertilisers 99,273 601 Hero Honda Motors 70,981 1,330 Hindalco Industries 648,021 2,800 Hindalco Industries GDR (A) 374,190 1,579 Hindustan Petroleum 412,300 2,761 Hindustan Zinc 105,859 2,159 Housing Development Finance 54,812 3,477 ICICI Bank 117,543 3,134 India Cements 194,020 1,421 Infosys Technologies 142,156 6,752 ITC 398,150 1,897 Jet Airways India 38,980 888 JSW Steel 69,171 1,481 Larsen & Toubro 45,833 3,230 Mahanagar Telephone Nigam 381,880 1,540 Mahindra & Mahindra 11,290 213 National Aluminium 87,460 662 Nicholas Piramal India 352,000 2,485 Oil & Natural Gas 226,910 5,456 Phoenix Mills 36,519 1,820 Ranbaxy Laboratories 220,316 2,401 Reliance Industries 40,874 2,357 Satyam Computer Services 156,390 1,751 Siemens India 193,444 6,559 State Bank of India GDR (A) 38,640 4,343 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Steel Authority of India 2,065,622 $ 10,738 Sterlite Industries India 204,764 3,847 Sterlite Industries India ADS* 39,466 730 Tata Motors 80,548 1,570 Tata Steel 470,463 10,040 UCO Bank 936,610 1,128 Zee Entertainment Enterprises 500,424 4,293 -------------- 128,564 -------------- INDONESIA -- 2.0% Bank Central Asia 8,394,000 5,645 Bank Mandiri Persero 6,143,000 2,368 Bank Rakyat Indonesia 3,749,000 2,706 Global Mediacom 2,866,000 354 Gudang Garam 1,546,600 1,590 HM Sampoerna 1,008,500 1,527 Indosat 905,900 763 International Nickel Indonesia 186,000 1,291 Telekomunikasi Indonesia 14,614,500 17,579 Telekomunikasi Indonesia ADR 15,500 757 -------------- 34,580 -------------- ISRAEL -- 2.0% Bank Hapoalim 1,587,827 8,102 Bank Leumi Le-Israel 1,016,370 4,447 Bezeq Israeli Telecommunication 3,295,490 5,635 Check Point Software Technologies 6,690 168 Clal Industries and Investments 34,720 199 Delek Group 5,300 1,262 First International Bank of Israel* 51,020 659 Israel Discount Bank* 855,954 1,939 Makhteshim-Agan Industries* 244,375 2,164 Teva Pharmaceutical Industries 35,400 1,570 Teva Pharmaceutical Industries ADR 219,546 9,763 Union Bank of Israel* 21,090 102 -------------- 36,010 -------------- JERSEY -- 0.1% Kazakhgold GDR* 67,936 1,427 -------------- LUXEMBOURG -- 0.1% Tenaris ADR 45,500 2,394 -------------- MALAYSIA -- 2.9% AMMB Holdings 1,247,100 1,588 Boustead Holdings 520,000 751 Commerce Asset Holdings 1,173,200 3,684 Gamuda 1,007,900 2,603 Genting 780,000 1,843 Hong Leong Bank 439,700 761 Hong Leong Financial Group 272,700 464 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 29 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hong Leong Industries 14,000 $ 16 IOI 4,482,100 7,958 KNM Group 183,600 249 Malayan Banking 1,648,200 5,321 Malaysia International Shipping (Foreign Market) 228,800 658 MMC 1,094,100 2,713 Oriental Holdings 10,000 20 Padiberas Nasional 77,000 46 Proton Holdings 164,400 256 Public Bank (Foreign Market) 460,100 1,418 Resorts World 7,037,200 8,096 Sime Darby 985,700 3,008 Sunway City 379,800 555 Telekom Malaysia (D) 513,300 1,461 Tenaga Nasional 2,935,700 8,142 -------------- 51,611 -------------- MEXICO -- 5.1% Alfa 241,500 1,632 America Movil ADR, Ser L 337,286 21,586 America Movil, Ser L 2,008,800 6,430 Axtel* 224,800 1,722 Cemex* 1,703,527 5,088 Cemex ADR* 129,210 3,866 Coca-Cola Femsa ADR 49,280 2,115 Consorcio 3,975,100 5,326 Controladora Comercial Mexicana 1,149,100 3,049 Cydsa* 74,700 49 Desarrolladora Homex* 22,100 1,226 Embotelladoras Arca 178,450 662 Empresas ICA* 132,000 796 Empresas ICA Sociedad Controladora ADR* 14,100 338 Fomento Economico Mexicano ADR 86,246 3,226 Gruma 437,100 1,419 Grupo Aeroportuario del Centro Norte ADR 30,218 870 Grupo Bimbo, Ser A 213,000 1,188 Grupo Carso, Ser A1 410,100 1,564 Grupo Casa Saba ADR 4,500 171 Grupo Continental 1,340,800 2,820 Grupo Financiero Banorte 1,181,564 4,679 Grupo Mexico, Ser B 467,500 3,356 Grupo Televisa 22,300 107 Grupo Televisa ADR 278,320 6,727 Industrias Penoles 7,500 126 Industrias, Ser B* 182,500 707 Kimberly-Clark de Mexico, Ser A 221,000 1,006 Organizacion Soriana 409,600 1,259 Telefonos de Mexico 2,047,100 3,357 Telefonos de Mexico ADR, Ser L 70,220 2,308 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Urbi Desarrollos Urbanos* 345,800 $ 1,243 Wal-Mart de Mexico, Ser V 358,018 1,313 -------------- 91,331 -------------- NETHERLANDS -- 0.1% Vimetco GDR* 127,239 1,209 -------------- PANAMA -- 0.0% Copa Holdings, Cl A 4,100 164 -------------- PERU -- 0.1% Cia de Minas Buenaventura ADR (B) 28,800 1,376 -------------- PHILIPPINES -- 0.7% ABS-CBN Broadcasting PDR 620,900 441 Alliance Global Group 3,716,000 429 Ayala Land 12,363,840 4,460 Bank of the Philippine Islands 1,295,426 1,912 First Philippine Holdings 1,183,600 2,036 JG Summit Holdings 3,229,000 771 Manila Electric 233,860 431 Philippine National Bank* 367,800 396 SM Investments 232,824 1,925 Union Bank of Philippines 335,300 409 -------------- 13,210 -------------- POLAND -- 0.9% Bank Handlowy w Warszawie 49,245 2,107 Echo Investment* 21,600 725 Grupa Lotos 40,303 683 KGHM Polska Miedz 44,457 2,072 Multimedia Polska* 16,105 71 Orbis 25,981 725 Polish Oil & Gas 560,778 1,064 Polski Koncern Naftowy Orlen 176,810 3,703 Telekomunikacja Polska 533,626 4,218 -------------- 15,368 -------------- RUSSIA -- 9.1% Chelyabinsk Zink Plant GDR (A) 62,400 855 Cherkizovo Group GDR 79,406 1,052 CTC Media 3,001 66 Evraz Group GDR 18,733 1,186 Golden Telecom 29,060 2,339 Integra Group Holdings* 49,603 771 LUKOIL ADR 283,930 23,651 Magnitogorsk Iron & Steel Works GDR 141,025 2,137 Mechel ADR 6,000 306 MMC Norilsk Nickel ADR 73,813 20,096 Mobile Telesystems ADR 179,400 12,434 -------------------------------------------------------------------------------- 30 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Novolipetsk Steel GDR 163,069 $ 5,536 OAO Gazprom ADR* 835,139 36,830 Open Investments GDR* 99,000 3,663 Polyus Gold ADR 50,974 2,217 Rosneft Oil GDR (A) 429,237 3,649 Rostelecom ADR (B) 21,784 1,369 Sberbank GDR 12,642 5,876 Sberbank GDR (EUR) 16,711 7,676 Severstal GDR 44,348 940 Severstal Sponsored GDR (A) 55,640 1,171 Sistema-Hals GDR (A)* 7,700 75 Surgutneftegaz ADR (B) 88,150 6,016 Tatneft GDR 5,732 636 Unified Energy System GDR 58,673 7,146 Vimpel-Communications ADR 188,200 5,089 VTB Bank GDR (A)* 728,944 6,524 Wimm-Bill-Dann Foods OJSC ADR 12,760 1,395 -------------- 160,701 -------------- SINGAPORE -- 0.0% Goodpack* 528,000 743 -------------- SOUTH AFRICA -- 5.8% ABSA Group (B) 96,278 1,745 Aeci 15,000 180 African Rainbow Minerals 55,298 1,054 Anglo Platinum 16,400 2,479 AngloGold Ashanti (B) 62,812 2,971 Aspen Pharmacare Holdings (B) 325,620 1,582 Assore 8,062 444 Barloworld (B) 47,575 894 Bidvest Group (B) 114,949 2,258 DataTec 86,758 447 Ellerine Holdings (B) 157,120 1,684 FirstRand (B) 1,087,289 3,484 Foschini 141,000 1,063 Gold Fields ADR 134,901 2,440 Harmony Gold Mining (B) 117,139 1,386 Impala Platinum Holdings (B) 133,237 4,637 Imperial Holdings 58,337 1,091 JD Group (B) 165,333 1,395 Johnnic Holdings 24,500 55 Kumba Iron Ore (B) 79,016 2,589 Liberty Group (B) 50,000 634 Liberty Holdings 12,600 405 Merafe Resources 5,425,405 1,337 Metropolitan Holdings 351,000 774 Mittal Steel South Africa (B) 92,991 1,848 Mondi* 12,317 121 MTN Group (B) 302,945 4,590 Murray & Roberts Holdings (B) 204,442 2,664 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mvelaphanda Resources* 22,000 $ 172 Nampak (B)* 857,412 2,685 Naspers (B)* 196,844 5,452 Nedbank Group (B) 259,810 4,709 Sanlam (B) 2,408,597 7,778 Sappi (B)* 507,397 7,688 Sasol (B) 363,854 15,616 Standard Bank Group (B) 551,168 7,949 Steinhoff International Holdings (B)* 628,689 1,778 Telkom (B) 125,000 3,145 -------------- 103,223 -------------- SOUTH KOREA -- 14.0% Amorepacific 641 478 Daegu Bank 72,490 1,343 Daelim Industrial 12,624 2,338 Daewoo Shipbuilding & Marine Engineering 213,429 13,503 Dongbu Insurance 23,960 1,005 Doosan 7,700 1,599 Eugene 4,290 52 Hana Financial Group 46,876 2,210 Handsome 17,390 266 Hanil Cement Manufacturing 5,122 582 Hanjin Heavy Industries & Construction* 9,780 871 Hankook Tire 48,650 997 Hanwha Chemical 26,210 692 Hynix Semiconductor 16,290 557 Hyundai Department Store 3,125 376 Hyundai Development 84,198 7,866 Hyundai Heavy Industries 15,583 7,203 Hyundai Mipo Dockyard 5,300 1,824 Hyundai Mobis 55,320 5,870 Hyundai Motor 86,632 6,996 KCC Engineering & Construction 3,100 243 KISWIRE 9,300 609 Kookmin Bank 181,282 15,094 Kookmin Bank ADR (B) 68,744 5,636 Korea Development Financing 3,040 176 Korea Electric Power 163,920 7,684 Korea Exchange Bank 58,770 954 Korea Iron & Steel 4,920 508 Korea Kumho Petrochemical 13,680 1,054 Korean Reinsurance 90,156 1,276 KT 25,760 1,293 KT ADR (B) 123,000 3,081 KT&G 74,920 5,853 Kumho Tire 161,490 2,841 Kyeryong Construction Industrial 8,130 493 LG 8,014 552 LG Chem 8,050 844 LG Electronics 35,921 3,356 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 31 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- LG Engineering & Construction 11,980 $ 2,081 LG Philips LCD* 189,540 9,072 Lotte Shopping 19,549 8,331 LS Cable 13,109 1,633 Nong Shim 6,065 1,494 Nong Shim Holdings 4,632 450 Pacific 4,100 853 POSCO 23,949 17,612 POSCO ADR 8,890 1,589 S-Oil 12,904 1,148 Samho International* 19,520 576 Samsung Card 600 37 Samsung Electronics 74,729 46,953 Samsung Fire & Marine Insurance 38,235 8,231 Samsung Heavy Industries 43,990 2,339 Samsung SDI 11,580 777 Samwhan 10,460 362 Samyang Genex 3,374 382 SFA Engineering 9,910 589 Shinhan Financial Group 145,403 9,501 Shinsegae 13,589 9,459 Shinyoung Securities 6,283 462 SK Energy* 33,423 5,844 SK Gas 5,271 500 SK Holdings 8,836 1,883 SK Telecom 11,061 2,538 SK Telecom ADR (B) 90,830 2,698 Woori Investment & Securities 132,750 3,757 -------------- 249,326 -------------- TAIWAN -- 11.3% Acer 990,640 1,745 Advanced Semiconductor Engineering 6,845,925 7,510 Asustek Computer 1,145,272 3,485 AU Optronics 3,146,079 5,427 AU Optronics ADR (B)* 36,330 615 Capital Securities 978,250 594 Catcher Technology 785,940 5,720 Cathay Financial Holding 4,378,213 10,357 Chi Mei Optoelectronics 481,000 559 China Development Financial Holding 4,332,270 1,746 China Motor 1,838,985 1,685 China Steel 222,000 324 Chinatrust Financial Holding 12,782,947 9,381 Chunghwa Picture Tubes 54,000 15 Chunghwa Telecom 4,156,350 7,769 Chunghwa Telecom ADR (B) 247,931 4,582 Compal Electronics 6,278,130 7,099 CTCI 561,550 435 Delta Electronics 2,447,077 9,485 Delta Networks 812,000 345 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Eastern Media International 1,270,000 $ 356 Eva Airways 13,948 5 Far Eastern Textile 162,372 218 Far EasTone Telecommunications 945,000 1,196 First Financial Holding 4,470,872 3,199 Formosa Chemicals & Fibre 358,000 916 Formosa Taffeta 783,000 890 Fubon Financial Holding 846,000 722 Grand Pacific Petrochemical 1,114,000 469 High Tech Computer 226,997 3,328 HON HAI Precision Industry 2,777,281 20,935 InnoLux Display 285,295 1,224 Inventec 1,632,650 1,021 KYE Systems 1 -- Largan Precision 146,000 1,588 Lite-On Technology 989,527 1,546 MediaTek 460,550 8,298 Mega Financial Holding 1,928,000 1,217 Mitac International 838,557 1,169 Nan Ya Plastic 1,700,000 4,428 Nan Ya Printed Circuit Board 159,000 960 Nien Hsing Textile 1,056,000 744 Nien Made Enterprises 22,817 28 Pixart Imaging 188,100 1,539 Powerchip Semiconductor 6,281,143 3,118 President Securities 967,725 655 ProMOS Technologies 3,280,000 1,005 Quanta Computer 3,897,115 6,126 Radiant Opto-Electronics 895,714 1,493 Richtek Technology 97,500 1,159 Shih Wei Navigation 156,229 378 Siliconware Precision Industries 3,076,621 6,929 Silitech Technology 289,876 1,448 Sincere Navigation 347,000 775 SinoPac Financial Holdings 7,011,230 3,266 Sunplus Technology 157,455 299 Taiwan Cement 1,236,592 2,023 Taiwan Cooperative Bank 1,848,640 1,345 Taiwan Fertilizer 1,355,000 3,272 Taiwan Semiconductor Manufacturing 5,063,027 9,867 Taiwan Semiconductor Manufacturing ADR (B) 633,180 6,408 Tatung 4,521,000 2,355 Teco Electric and Machinery 605,000 357 Tripod Technology 336,300 1,371 Tung Ho Steel Enterprise 604,000 1,009 United Microelectronics (D) 9,804,266 7,108 Walsin Lihwa 2,001,000 993 Wistron 581,885 1,052 Yageo 3,846,440 1,603 Yang Ming Marine Transport 106,847 86 -------------- 200,374 -------------- -------------------------------------------------------------------------------- 32 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- THAILAND -- 1.6% Bangkok Bank 562,200 $ 1,886 Bangkok Bank NVDR (B) 237,700 804 CH. Karnchang 1,171,400 311 Charoen Pokphand Foods 11,301,000 1,731 Delta Electronics Thai 564,600 346 Italian-Thai Development 3,014,800 669 Kasikornbank NVDR (Foreign) 2,448,800 5,894 Krung Thai Bank 4,905,500 1,574 Krung Thai Bank NVDR 1,910,000 613 Land and Houses (B) 4,409,400 1,119 PTT 755,600 7,407 PTT NVDR* 2,000 20 Siam Commercial Bank 1,693,100 3,977 Thai Airways International 1,001,800 1,228 Thai Airways International NVDR 368,800 452 Thai Union Frozen Products 944,800 667 -------------- 28,698 -------------- TURKEY -- 2.2% Akcansa Cimento 8,000 61 Aygaz* 14,000 59 Bossa Ticaret Sanayi Isletme* 80,000 108 Cimsa Cimento Sanayi VE Tica* 69,000 592 Eczacibasi Ilac Sanayi 135,206 580 Eregli Demir ve Celik Fabrikalari 60,000 560 Haci Omer Sabanci Holding 1,082,452 6,926 Kardemir Karabuk Demir Celik Sanayi ve Ticaret* 575,572 656 KOC Holding 594,000 3,114 Petkim Petrokimya Holding* 15,000 123 Petrol Ofisi 239,021 1,184 Sinpas Gayrimenkul Yatirim Ortakligi* 72,058 458 Tupras Turkiye Petrol Rafine 42,000 1,110 Turk Hava Yollari 52,000 403 Turk Sise ve Cam Fabrikalari 326,300 1,616 Turkcell Iletisim Hizmet 857,413 7,220 Turkiye Garanti Bankasi 751,962 5,742 Turkiye Is Bankasi 1,166,451 7,030 Vestel Elektronik Sanayi 322,261 889 Yazicilar Holding 71,885 525 -------------- 38,956 -------------- UNITED KINGDOM -- 0.6% Anglo American 112,089 7,511 BHP Billiton (B) 76,565 2,704 JKX Oil & Gas 22,550 161 Mondi* 30,793 292 -------------- 10,668 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED STATES -- 0.1% Caspian Services 71,100 $ 206 Central European Distribution 26,100 1,250 -------------- 1,456 -------------- Total Common Stock (Cost $1,104,073) ($ Thousands) 1,617,862 -------------- 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 -- 5.3% BRAZIL -- 5.1% Aracruz Celulose ADR, Cl B* 201,600 1,474 Banco Bradesco 69,300 2,022 Banco Itau Holding Financeira 32,700 1,646 Brasil Telecom 35,861 337 Braskem, Cl A 298,400 2,786 Centrais Eletricas Brasileiras, Cl B 280,704 3,937 Centrais Eletricas de Santa Catarina 20,500 441 Cia de Bebidas das Americas 5,330 388 Cia de Bebidas das Americas ADR 25,244 1,846 Cia de Tecidos do Norte de Minas - Coteminas 283,432 1,924 Cia Energetica de Minas Gerais 386,912 8,180 Cia Paranaense de Energia 110,792 1,763 Cia Vale do Rio Doce, Cl A 554,200 15,768 Eletropaulo Metropolitana de Sao Paulo 6,627,700 439 Gerdau 9,300 243 Inepar Industria e Construcoes* 2,100 37 Investimentos Itau 1,141,642 7,849 Mangels Industrial 2,800 45 NET Servicos de Comunicacao* 435,200 7,155 Paranapanema* 29,300 546 Petroleo Brasileiro 440,100 14,196 Sadia 74,300 414 Tam 246,185 6,690 Tele Norte Leste Participacoes 36,300 819 Telemar Norte Leste 61,600 2,209 Telemig Celular Participacoes 41,654 1,215 Usinas Siderurgicas de Minas Gerais, Cl A 50,300 3,499 Votorantim Celulose e Papel 57,000 1,630 -------------- 89,498 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 33 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Concluded) September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SOUTH KOREA -- 0.2% Hyundai Motor 67,540 $ 2,805 Hyundai Motor (Second Preferred) 29,560 1,185 -------------- 3,990 -------------- Total Preferred Stock (Cost $55,812) ($ Thousands) 93,488 -------------- EXCHANGE TRADED FUND -- 0.9% UNITED STATES -- 0.9% iShares MSCI Emerging Markets Index Fund* 104,000 15,543 -------------- Total Exchange Traded Fund (Cost $13,900) ($ Thousands) 15,543 -------------- EQUITY LINKED WARRANTS -- 0.1% HONG KONG -- 0.0% China Overseas Land, Expires 08/27/08* 238 160 -------------- RUSSIA -- 0.1% Sberbank, Expires 02/23/10* 409 1,705 -------------- SINGAPORE -- 0.0% Goodpack Limited, Expires 07/16/09* 66 32 -------------- Total Equity Linked Warrants (Cost $0) ($ Thousands) 1,897 -------------- CASH EQUIVALENTS**+ -- 8.4% UNITED STATES -- 8.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 16,098,567 16,099 SEI Liquidity Fund, LP, 5.367% (C) 134,056,425 134,056 -------------- Total Cash Equivalents (Cost $150,155) ($ Thousands) 150,155 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- TIME DEPOSITS -- 0.8% UNITED STATES -- 0.8% Brown Brothers Harriman 8.350%, 10/01/07 ZAR 3,021 $ 438 4.950%, 10/01/07 GBP 59 121 4.550%, 10/01/07 HKD 6,706 863 4.520%, 10/01/07 13,684 13,684 3.250%, 10/01/07 EUR -- -- 1.250%, 10/01/07 SGD -- -- -------------- Total Time Deposits (Cost $15,106) ($ Thousands) 15,106 -------------- Total Investments -- 106.6% (Cost $1,339,046) ($ Thousands) $ 1,894,051 ============== Percentages are based on Net Assets of $1,777,229 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of September 30, 2007. + Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $118,121 ($ Thousands) (See Note 7). (C) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $134,056 ($ Thousands) (See Note 7). (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2007 was $12,463 ($ Thousands) and represents 0.70% of net assets. ADR -- American Depositary Receipt ADS -- American Depositary Share Cl -- Class EUR -- Euro GBP -- British Pound Sterling GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar LP -- Limited Partnership NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series SGD -- Singapore Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 34 SEI Institutional International Trust / Annual Report / September 30, 2007 International Fixed Income Fund September 30, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIALS.] Government 39.2% Financials 18.8% Time Deposits 15.1% Asset-Backed Securities 13.9% U.S. Government Agency Mortgage-Backed Obligations 4.2% Consumer Discretionary 1.4% Telecommunication Services 1.3% U.S. Treasury Obligations 1.2% Loan Participations 1.1% Utilities 0.8% Industrials 0.7% Consumer Staples 0.5% Energy 0.5% Basic Materials 0.5% Healthcare 0.3% Master Notes 0.3% Information Technology 0.1% Short-Term Investment 0.1% + Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 62.5% AUSTRALIA -- 1.5% FMG Finance 9.750%, 09/01/13 350 $ 548 Government of Australia 8.750%, 08/15/08 1,900 1,715 7.500%, 09/15/09 5,600 5,051 Macquarie Bank MTN, Ser E (A) 5.500%, 03/19/08 GBP 336 649 New S Wales Treasury 7.000%, 12/01/10 4,950 4,414 -------------- 12,377 -------------- AUSTRIA -- 0.4% Kommunalkredit Austria 4.125%, 02/07/14 1,650 2,289 Telekom Finanzmanagement 5.000%, 07/22/13 601 846 Wienerberger (A) 6.500%, 02/09/17 300 392 -------------- 3,527 -------------- BELGIUM -- 1.3% Kingdom of Belgium, Ser 31 5.500%, 03/28/28 3,387 5,328 Kingdom of Belgium, Ser 41 4.250%, 09/28/13 2,940 4,170 Kingdom of Belgium, Ser 49 4.000%, 03/28/17 950 1,302 -------------- 10,800 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- BERMUDA -- 0.1% Seadrill (A) (B) 5.870%, 01/23/09 2,000 $ 368 5.370%, 01/23/08 500 92 -------------- 460 -------------- BRAZIL -- 0.3% Federal Republic of Brazil 8.250%, 01/20/34 1,847 2,326 -------------- CANADA -- 1.3% Bell Canada MTN 5.000%, 02/15/17 270 227 Canada Treasury Bill (D) 2.795%, 10/18/07 2,051 2,060 Government of Canada 5.000%, 06/01/37 2,000 2,194 4.000%, 06/01/16 2,150 2,111 Government of Canada Real Return 3.000%, 12/01/36 772 935 Province of Ontario 4.700%, 06/02/37 1,800 1,744 Province of Ontario MTN, Ser E 1.875%, 01/25/10 JPY 95,000 842 YPG Holdings MTN 5.250%, 02/15/16 665 598 -------------- 10,711 -------------- CAYMAN ISLANDS -- 0.6% Dar Al-Arkan International (A) 7.610%, 07/16/12 825 820 MUFG Capital Finance 2 (A) 4.850%, 07/25/16 1,000 1,251 Mizuho Capital Investments (A) 5.020%, 06/30/11 1,000 1,366 Resona Preferred Global Securities (A) (B) 7.191%, 07/30/49 443 444 Vale Overseas 6.875%, 11/21/36 301 310 Yorkshire Power Finance 7.250%, 08/04/28 GBP 408 940 -------------- 5,131 -------------- CZECH REPUBLIC -- 0.2% Czech Republic Bond 6.550%, 10/05/11 25,000 1,412 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 35 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- DENMARK -- 2.0% Danica Pension 4.350%, 10/29/49 1,980 $ 2,731 Danske Bank MTN, Ser E (A) 5.875%, 03/26/15 540 789 Kingdom of Denmark 4.000%, 11/15/17 DKK 10,025 1,845 Nykredit 4.858%, 10/01/38 (A) DKK 41,994 7,548 4.000%, 01/01/08 DKK 18,000 3,426 -------------- 16,339 -------------- FINLAND -- 1.0% Government of Finland 4.250%, 07/04/15 150 212 3.875%, 09/15/17 6,000 8,168 -------------- 8,380 -------------- FRANCE -- 4.2% AXA MTN, Ser E (A) 5.777%, 07/29/49 1,100 1,555 Caisse D'Amort Dette Sociale MTN, Ser E 4.125%, 04/25/17 3,100 4,274 Caisse Nationale des Autoroutes 4.500%, 03/28/18 813 1,139 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 332 462 Cma Cgm Registered 5.500%, 05/16/12 170 228 Compagnie De St Gobain MTN, Ser E (A) 4.196%, 10/11/07 350 496 Credit Agricole (London) MTN, Ser E (A) 4.018%, 01/19/10 1,400 1,981 France Telecom MTN, Ser E 4.375%, 02/21/12 150 208 Government of France 5.750%, 10/25/32 8,830 14,541 3.500%, 04/25/15 2,074 2,793 Imerys 5.000%, 04/18/17 200 269 Natixis MTN, Ser E (A) 4.485%, 01/26/17 300 423 PPR MTN, Ser E 4.000%, 01/29/13 1,000 1,322 Renault MTN, Ser E 4.625%, 05/28/10 1,000 1,411 Veolia Environnement MTN, Ser E 5.875%, 06/27/08 1,740 2,492 -------------- 33,594 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GERMANY -- 5.2% Bayer (A) 5.000%, 07/29/05 718 $ 928 Bayer MTN, Ser E 5.625%, 05/23/18 150 288 5.450%, 04/10/10 (A) 250 355 Bayerische Landesbank MTN, Ser E (A) 4.500%, 02/07/19 1,000 1,322 Bundesschatzanweisungen, Ser 1 3.750%, 03/13/09 2,125 3,007 Commerzbank MTN, Ser E (A) 4.125%, 09/12/16 1,350 1,825 Deutsche Bundesrepublik 4.750%, 07/04/34 7,122 10,346 4.250%, 07/04/14 695 988 4.250%, 07/04/17 1,835 2,593 4.000%, 01/04/37 1,590 2,051 3.750%, 01/04/15 6,765 9,316 Henkel Kgaa (A) 5.375%, 11/25/15 221 292 KFW 4.700%, 06/02/37 3,000 2,825 1.350%, 01/20/14 JPY 615,000 5,328 Munich Re (A) 5.767%, 06/29/49 350 488 -------------- 41,952 -------------- HUNGARY -- 0.7% Republic of Hungary 7.250%, 06/12/12 926,940 5,349 -------------- IRELAND -- 0.8% Ardagh Glass Group PIK 10.750%, 03/01/15 169 232 GE Capital Euro Funding MTN, Ser E 4.375%, 03/30/11 400 561 GE Capital UK Funding MTN, Ser E 5.125%, 03/03/15 1,875 3,598 Hypo Real International Trust I (A) 5.864%, 06/29/49 1,000 1,239 Saphir Finance MTN, Ser E (A) 6.851%, 07/04/49 150 156 Transcapit (Transneft) Registered 5.381%, 06/27/12 600 832 -------------- 6,618 -------------- ITALY -- 2.8% Banca Italease MTN, Ser E (A) 4.213%, 02/02/10 700 942 Banco Popolare Scarl MTN, Ser E (A) 4.659%, 02/08/17 1,350 1,852 -------------------------------------------------------------------------------- 36 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Buoni Poliennali Del Tesoro 5.750%, 02/01/33 4,170 $ 6,660 4.000%, 02/01/37 6,600 8,085 Ifil - Investments 5.375%, 06/12/17 200 269 Sanpaolo IMI MTN, Ser E 6.375%, 04/06/10 2,150 3,174 Unicredito Italiano MTN, Ser E (A) 4.500%, 09/22/19 1,300 1,744 -------------- 22,726 -------------- JAPAN -- 15.6% Abbott Japan 1.050%, 11/06/08 67,000 581 Development Bank of Japan 2.300%, 03/19/26 110,000 969 1.600%, 06/20/14 470,000 4,139 East Japan Railway MTN, Ser E 4.750%, 12/08/31 GBP 1,000 1,810 Fukoku Mutual Life Insurance (A) 4.500%, 09/28/25 EUR 500 658 Government of Japan 10 Year Bond, Ser 252 1.000%, 06/20/13 951,300 8,150 Government of Japan 10 Year Bond, Ser 256 1.400%, 12/20/13 2,283,000 19,948 Government of Japan 10 Year Bond, Ser 257 1.300%, 12/20/13 1,794,250 15,585 Government of Japan 10 Year Bond, Ser 263 1.600%, 09/20/14 520,000 4,585 Government of Japan 10 Year Bond, Ser 268 1.500%, 03/20/15 1,495,700 13,067 Government of Japan 15 Year Bond, Ser 35 (A) 0.780%, 07/20/20 375,000 3,072 Government of Japan 15 Year Bond, Ser 39 1.220%, 03/20/21 349,000 3,034 Government of Japan 15 Year Bond, Ser 40 (A) 1.350%, 05/20/21 406,600 3,560 Government of Japan 15 Year Bond, Ser 45 (A) 1.200%, 05/20/22 310,000 2,688 Government of Japan 20 Year Bond, Ser 48 2.500%, 12/21/20 268,000 2,497 Government of Japan 20 Year Bond, Ser 82 2.100%, 09/20/25 719,000 6,229 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Government of Japan 30 Year Bond, Ser 20 2.500%, 09/20/35 64,000 $ 568 Government of Japan 30 Year Bond, Ser 22 2.500%, 03/20/36 287,000 2,539 Government of Japan CPI Linked Bond, Ser 10 1.100%, 12/10/16 1,650,000 14,187 Government of Japan CPI Linked Bond, Ser 5 0.800%, 09/10/15 498,988 4,216 Japan Finance for Municipal Enterprises 1.350%, 11/26/13 1,334,000 11,586 Resona Bank (A) 4.125%, 09/27/12 EUR 1,000 1,303 Sumitomo Mitsui Banking 5.625%, 10/15/15 (A) (B) 228 212 4.375%, 10/27/14 (A) EUR 830 1,157 -------------- 126,340 -------------- LUXEMBOURG -- 0.8% Basell AF SCA Registered 8.375%, 08/15/15 173 229 Gaz Capital (B) 6.212%, 11/22/16 230 228 Gaz Capital (Gazprom) MTN, Ser E 6.580%, 10/31/13 150 297 Gazprom OAO 9.625%, 03/01/13 470 544 Glencore Finance 6.500%, 02/27/19 400 779 5.375%, 09/30/11 450 640 Telecom Italia MTN, Ser E 7.000%, 04/20/11 2,050 3,114 Tyco International Group 6.000%, 11/15/13 331 334 -------------- 6,165 -------------- MEXICO -- 1.0% Mexican Bonos, Ser M10 8.000%, 12/17/15 7,900 726 Mexican Bonos, Ser M20 10.000%, 12/05/24 1,400 153 8.000%, 12/07/23 5,150 473 Mexican Bonos, Ser M30 10.000%, 11/20/36 2,210 248 Mexican Bonos, Ser MI10 9.500%, 12/18/14 11,240 1,120 9.000%, 12/20/12 31,008 2,983 8.000%, 12/19/13 28,400 2,622 -------------- 8,325 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 37 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- NETHERLANDS -- 6.0% ASML Holding 5.750%, 06/13/17 400 $ 529 Adecco International Financial Services 4.500%, 04/25/13 1,200 1,652 Allianz Finance II (A) 6.125%, 05/31/22 1,000 1,474 Asset Repackaging Trust MTN, Ser E PIK 11.715%, 12/21/11 267 382 BMW Finance MTN 5.000%, 08/06/18 383 537 Bank Nederlandse Gemeenten MTN, Ser E 4.000%, 03/02/09 4,000 5,648 4.000%, 02/15/12 3,500 4,888 Boats Invest Netherlands PIK MTN, Ser E 11.000%, 03/31/17 250 353 Eureko (A) 5.125%, 06/24/15 450 606 Generali Finance (A) 5.479%, 02/28/49 450 620 Government of Netherlands 7.500%, 01/15/23 443 831 4.000%, 07/15/16 13,155 18,196 ING Bank MTN, Ser E 5.500%, 01/04/12 556 802 4.176%, 06/29/49 (A) 382 482 ING Verzekeringen (A) 6.250%, 06/21/21 1,000 1,477 Iberdrola International MTN, Ser E 4.875%, 02/18/13 800 1,119 Kazkommerts International (F) 8.000%, 11/03/15 600 549 Koninklijke Philips Electronic 5.750%, 05/16/08 513 733 Linde Finance (A) 8.125%, 07/14/66 590 1,256 Rabobank Nederland MTN, Ser E (E) 4.125%, 04/04/12 4,000 5,574 Repsol International Finance MTN, Ser E (A) 4.313%, 02/16/12 200 279 Siemens Financieringsmat (A) 6.125%, 09/14/66 275 530 -------------- 48,517 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- NEW ZEALAND -- 1.2% Government of New Zealand 6.000%, 07/15/08 7,886 $ 5,909 Westpac New Zealand 7.750%, 03/08/10 5,000 3,706 -------------- 9,615 -------------- NORWAY -- 1.8% DDI Holding 10.000%, 03/15/12 2,000 375 Eksportfinans MTN 4.375%, 09/20/10 2,275 3,230 Government of Norway 6.000%, 05/16/11 22,700 4,359 4.250%, 05/19/17 11,400 1,997 Norwegian Treasury Bill (D) 4.613%, 12/19/07 16,828 3,071 Petrojack (A) (B) 10.540%, 05/30/12 2,000 380 Petrolia Drilling (B) 10.750%, 02/14/11 2,000 384 Sevan Drilling (A) (B) 8.870%, 12/07/12 2,000 367 Sinvest (A) (B) 10.000%, 12/22/09 1,000 188 -------------- 14,351 -------------- PANAMA -- 0.1% Republic of Panama 9.375%, 04/01/29 879 1,178 -------------- PERU -- 0.2% Republic of Peru 7.350%, 07/21/25 1,094 1,250 -------------- PHILIPPINES -- 0.1% Republic of Philippines 8.875%, 03/17/15 158 181 8.250%, 01/15/14 524 585 -------------- 766 -------------- POLAND -- 0.5% Republic of Poland 5.000%, 10/24/13 3,185 1,162 4.750%, 04/25/12 8,000 2,916 -------------- 4,078 -------------- -------------------------------------------------------------------------------- 38 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- RUSSIA -- 0.3% Ministry Finance of Russia, Ser V 3.000%, 05/14/08 1,162 $ 1,142 RS Finance (RSB) 6.825%, 09/16/09 300 384 Russian Federation Registered (C) 7.500%, 03/31/08 1,174 1,324 -------------- 2,850 -------------- SINGAPORE -- 0.7% Government of Singapore 3.750%, 09/01/16 7,963 5,803 -------------- SOUTH AFRICA -- 0.8% Foodcorp Registered 8.875%, 06/15/12 330 476 Republic of South Africa 13.000%, 08/31/10 32,880 5,251 5.875%, 05/30/22 1,195 1,170 -------------- 6,897 -------------- SPAIN -- 0.2% BBVA International Preferred Uniperson (A) 3.798%, 09/29/49 1,000 1,218 S Finance Preferred Uniperson (A) 7.005%, 07/29/49 150 302 -------------- 1,520 -------------- SUPRA-NATIONAL -- 0.2% European Investment Bank 5.375%, 10/15/12 EUR 551 819 3.125%, 10/15/15 EUR 554 718 -------------- 1,537 -------------- SWEDEN -- 0.7% Kingdom of Sweden, Ser 1043 5.000%, 01/28/09 7,025 1,100 Kingdom of Sweden, Ser 1046 5.500%, 10/08/12 18,975 3,096 Svenska Handelsbanken MTN, Ser E (A) 4.194%, 12/29/49 467 585 Swedbank MTN, Ser E (A) 5.750%, 03/17/16 GBP 420 792 -------------- 5,573 -------------- SWITZERLAND -- 0.1% Bombardier 7.250%, 11/15/16 400 580 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED ARAB EMIRATES -- 0.8% Emirate of Abu Dhabi (B) 5.500%, 08/02/12 3,000 $ 3,052 Nakheel Development 3.173%, 12/14/09 1,285 1,310 National Bank of Abu Dhabi 5.875%, 02/27/12 950 1,904 -------------- 6,266 -------------- UNITED KINGDOM -- 5.1% AIB UK 1 (A) 4.781%, 12/17/49 EUR 194 239 Abbey National Treasury Services 5.375%, 12/30/09 389 781 Abbey National Treasury Services MTN, Ser E 4.250%, 04/12/21 1,850 2,438 Alliance & Leicester MTN, Ser E 4.250%, 12/30/08 250 495 Anglian Water Services Financial MTN, Ser E 5.250%, 10/30/15 280 540 4.625%, 10/07/13 1,450 2,040 Anglian Water Services Financial, Ser A5 6.293%, 07/30/30 500 1,046 Bank of Ireland Holdings MTN, Ser 1 (A) 7.400%, 12/29/49 350 543 Bank of Scotland MTN, Ser E 4.750%, 06/08/22 1,775 2,456 Barclays Bank MTN, Ser E 5.750%, 09/14/26 274 532 British Telecommunications 5.750%, 12/07/28 111 204 Brixton + 5.250%, 10/21/15 280 534 Chester Asset Receivables 6.125%, 10/15/10 EUR 2,160 3,177 FCE Bank MTN, Ser E (A) 4.722%, 09/30/09 500 668 FCE Bank MTN, Ser E 7.125%, 01/15/13 EUR 500 660 Friends Provident (A) 6.875%, 11/21/19 413 836 Getin Finance MTN, Ser E (A) 6.019%, 05/13/09 200 277 Green King Finance, Ser B1 5.702%, 12/15/34 70 137 HBOS MTN, Ser E (A) 5.125%, 10/29/49 EUR 386 512 4.875%, 03/29/49 EUR 1,000 1,336 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 39 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Halifax MTN, Ser E 6.375%, 04/03/08 267 $ 545 Hammerson + 5.250%, 12/15/16 280 523 Ineo's Group Holdings 7.875%, 02/15/16 EUR 111 146 Lloyds TSB Bank (A) 6.350%, 10/29/49 EUR 391 577 Lloyds TSB Bank MTN, Ser E 6.625%, 03/30/15 214 443 MBNA Europe Funding MTN, Ser E 4.500%, 01/23/09 EUR 558 792 Marks & Spencer MTN, Ser E 5.625%, 03/24/14 268 520 National Westminster Bank 6.500%, 09/07/21 220 458 Northern Rock (B) 5.625%, 06/22/17 2,550 2,541 Northumbrian Water Finance 6.000%, 10/11/17 500 1,009 Novae Group 8.375%, 04/27/17 100 202 Old Mutual MTN, Ser E (A) 4.500%, 01/18/17 450 621 Royal Bank of Scotland Group 6.666%, 12/31/49 CAD 200 201 Standard Chartered Bank MTN, Ser E (A) 3.625%, 02/03/17 400 528 United Kingdom Treasury 8.750%, 08/25/17 600 1,574 8.000%, 12/07/15 1,300 3,162 5.000%, 03/07/18 950 1,936 4.750%, 09/07/15 390 780 4.250%, 12/07/46 1,100 2,133 Vodafone Group MTN, Ser E 5.900%, 11/26/32 276 533 Vodafone Group MTN, Ser E 4.250%, 05/27/09 EUR 1,218 1,718 W&DB Issuer, Ser B1 (A) 5.641%, 07/15/35 60 117 Zurich Finance MTN, Ser E (A) 6.625%, 10/30/49 260 515 -------------- 41,025 -------------- UNITED STATES -- 3.9% ASIF III Jersey 0.950%, 07/15/09 JPY 56,000 485 BA Covered Bond Issuer MTN, Ser E 4.125%, 04/05/12 EUR 3,100 4,315 BNP Paribas Capital Trust III (A) 6.625%, 12/29/49 1,000 1,476 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Banca Poparle Bergamo Capital Trust (A) EUR 8.364%, 12/29/49 475 $ 734 Banca Popolare Lodi Trust (A) 6.742%, 06/29/49 EUR 955 1,367 Bear Stearns 7.625%, 12/07/09 493 514 CIT Group MTN, Ser E 5.500%, 12/15/08 GBP 416 822 Cablevision Systems, Ser B 8.000%, 04/15/12 235 228 Chesapeake Energy 6.250%, 01/15/17 EUR 400 553 Citigroup 5.000%, 09/15/14 5 5 4.750%, 02/10/19 (A) 1,000 1,365 Citigroup MTN, Ser E (A) 4.250%, 02/25/30 EUR 250 297 Countrywide Financial MTN 5.800%, 06/07/12 677 635 Countrywide Home Loan MTN, Ser L 4.000%, 03/22/11 9 8 DaimlerChrysler MTN, Ser E 4.375%, 03/16/10 EUR 400 564 Directv Holdings 6.375%, 06/15/15 232 220 Dubai Islamic Bank 0.000%, 03/22/12 1,050 1,045 Electronic Data Systems, Ser B 6.500%, 08/01/13 474 478 Fisher Scientific International 6.750%, 08/15/14 107 108 6.125%, 07/01/15 71 70 General Electric Capital MTN, Ser E 0.750%, 02/05/09 JPY 39,000 337 General Motors 8.375%, 07/05/33 EUR 200 247 Genworth Financial 1.600%, 06/20/11 JPY 89,000 779 Goldman Sachs Group 4.581%, 02/04/13 EUR 450 628 HSBC Finance MTN, Ser E 6.125%, 01/22/10 GBP 334 680 4.875%, 05/30/17 EUR 500 688 MGM Mirage 6.750%, 09/01/12 595 585 Morgan Stanley MTN, Ser E 5.450%, 01/09/17 800 771 3.750%, 03/01/13 1,000 1,319 Pfizer 1.800%, 02/22/16 JPY 110,000 950 0.800%, 03/18/08 JPY 13,000 113 -------------------------------------------------------------------------------- 40 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Qwest Communications International 7.500%, 02/15/14 335 $ 339 Reynolds American 7.625%, 06/01/16 377 401 7.300%, 07/15/15 195 207 7.250%, 06/01/12 572 607 SLM (A) 4.089%, 12/15/07 300 397 4.039%, 06/15/09 150 206 Schering-Plough 5.375%, 10/01/14 EUR 350 498 Toyota Motor Credit 0.750%, 06/09/08 JPY 101,000 876 Tyson Foods 8.250%, 10/01/11 991 1,073 Unicredito Ital Cap Trust 4.028%, 10/27/15 EUR 800 986 Wal-Mart Stores 4.875%, 01/19/39 GBP 238 422 Washington Mutual Bank 4.500%, 01/17/17 1,000 1,287 Western Union 5.930%, 10/01/16 1,538 1,517 -------------- 31,202 -------------- Total Global Bonds (Cost $485,271) ($ Thousands) 505,540 -------------- ASSET-BACKED SECURITIES -- 14.0% BELGIUM -- 0.4% B-Arena, Ser 2006-1, Cl A (A) 3.854%, 04/22/44 2,500 3,522 -------------- FRANCE -- 0.5% Auto Compartiment, Ser 2007-1, Cl A (A) 3.919%, 02/25/19 2,500 3,537 FCC Sparc, Ser 2005-1, Cl B (A) 0.527%, 07/15/11 400 553 FCC Sparc, Ser 2007-1, Cl D (A) 6.353%, 07/15/08 100 138 -------------- 4,228 -------------- GERMANY -- 0.1% Prime Bricks, Ser 2007-1, Cl B (A) 4.545%, 01/30/40 350 488 Prime Bricks, Ser 2007-1, Cl C (A) 4.745%, 01/30/40 100 139 -------------- 627 -------------- IRELAND -- 0.2% Immeo Residential Finance, Ser 2, Cl A (A) 4.305%, 12/15/16 500 704 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Mermaid Secured Finance, Ser 2007-1, Cl C (A) 4.545%, 01/30/40 100 $ 139 Mermaid Secured Finance, Ser 2007-1, Cl D (A) 4.745%, 01/30/40 100 139 Talisman Finance, Ser 7, Cl H (A) 6.452%, 04/22/17 500 652 -------------- 1,634 -------------- JAPAN -- 0.0% JLOC, Ser 37X, Cl B1 (A) 1.151%, 01/15/15 20,000 173 -------------- JERSEY -- 0.1% Whinstone Capital Management, Ser 1X, Cl B1 (A) 6.596%, 10/25/45 311 623 -------------- LUXEMBOURG -- 0.3% Geldilux, Ser 2005-TS, Cl 1A (A) 3.878%, 12/10/12 2,000 2,842 -------------- NETHERLANDS -- 2.0% Amstel Corporate Loan Offering, Ser 2007-1, Cl A2 (A) 4.085%, 03/25/17 1,000 1,406 Beluga Master Issuer, Ser 2006-1, Cl A2 (A) 3.899%, 04/28/99 2,500 3,525 Lambda Finance, Ser 2005-1X, Cl A2 (A) 4.054%, 11/15/29 1,500 2,117 Saecure, Ser 5, Cl A (A) 3.353%, 05/25/42 1,235 1,749 Shield, Ser 1, Cl A (A) 3.924%, 01/20/14 2,500 3,522 Skyline, Ser 2007-1, Cl D (A) 5.013%, 07/22/43 200 270 Storm, Ser 2006-1, Cl A2 (A) 3.864%, 04/22/48 2,500 3,512 -------------- 16,101 -------------- SPAIN -- 0.4% FTA Santander Auto, Ser 1, Cl A (A) 3.902%, 11/25/21 1,607 2,278 Santander Consumer Finance, Ser 2007-1, Cl A (A) 4.271%, 09/20/22 500 700 -------------- 2,978 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 41 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED KINGDOM -- 1.6% Arkle Master Issuer, Ser 2006-1X, Cl 2C (A) 4.416%, 02/17/52 150 $ 210 Canary Wharf Finance, Ser II, Cl C2 (A) 6.224%, 10/22/37 200 389 Gracechurch Mortgage Financing, Ser 2006-1, Cl C3 (A) 4.844%, 11/20/56 250 345 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 2D2 (A) 4.974%, 11/20/56 400 555 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 3A2 (A) 4.674%, 11/20/56 2,000 2,811 Granite Master Issuer, Ser 2006-2, Cl A5 (A) 3.854%, 12/20/54 1,000 1,407 Metrix Funding, Ser 1X, Cl A2 (A) 4.013%, 02/10/19 2,500 3,522 Permanent Financing, Ser 7, Cl 3B (A) 4.875%, 06/10/42 2,500 3,498 -------------- 12,737 -------------- UNITED STATES -- 8.4% BCAP Trust, Ser 2007-AA1, Cl 1A1 (A) 5.420%, 02/25/47 2,339 2,312 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-6, Cl 3A (A) 5.431%, 09/25/34 575 562 Bear Stearns Commercial Mortgage Securities, Ser 2006-PW14, Cl A4 5.201%, 12/11/38 2,775 2,705 Chase Manhattan Auto Owner Trust, Ser 2005-B, Cl A4 4.880%, 06/15/12 3,230 3,221 Citibank Credit Card Issuance Trust, Ser A4, Cl A4 5.375%, 04/10/13 EUR 1,900 2,753 Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 1A4 (A) 5.107%, 05/25/35 2,631 2,599 Countrywide Alternative Loan Trust, Ser 2006-43CB, Cl 1A7 6.000%, 01/31/37 4,103 4,137 Countrywide Alternative Loan Trust, Ser 2006-OC8, Cl 2A1A (A) 5.410%, 11/25/36 2,398 2,395 Countrywide Asset-Backed Certificates, Ser 2007-2, Cl 2A1 (A) 5.370%, 03/14/37 2,877 2,857 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2003-56, Cl 5A1 (A) 4.781%, 12/25/33 608 $ 597 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 2,810 2,803 Credit Suisse First Boston Mortgage Securities, Ser 2003-CKS4, Cl A1 4.485%, 11/15/36 1,755 1,733 Deutsche Alt-A Securities, Ser 2007-BAR1, Cl A1 (A) 5.400%, 03/25/37 2,100 2,097 Duke Funding, Ser 2004-6B, Cl A1S1 (A) (B) (G) 5.430%, 10/09/07 7 7 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A2B (A) 5.340%, 07/15/09 1,497 1,496 Ford Credit Auto Owner Trust, Ser 2006-C, Cl A3 5.160%, 11/15/10 2,215 2,217 GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 4A1 (A) 5.134%, 01/25/35 673 664 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 2A1 (A) 5.498%, 05/25/37 3,112 3,109 JP Morgan Mortgage Trust, Seri 2004-A5, Cl 3A1 (A) 5.310%, 12/25/34 702 685 Keybank, Ser 2000-CA, Cl A2 (A) 7.727%, 05/17/32 2,575 2,703 LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4 5.424%, 02/15/40 1,449 1,430 LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 (A) 5.858%, 07/15/17 1,310 1,332 LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A1A 4.475%, 10/15/29 2,926 2,842 Merrill Lynch/Countrywide Commercial Mortgage, Ser 2007-6, Cl A4 (A) 5.485%, 03/12/51 750 742 Morgan Stanley Capital I, Ser 2006-IQ12, Cl A4 5.319%, 12/15/43 2,560 2,518 Morgan Stanley Capital I, Ser 2007-T25, Cl A3 (A) 5.514%, 11/12/49 784 779 Peco Energy Transition Trust, Ser A, Cl A1 6.520%, 12/31/10 2,600 2,718 -------------------------------------------------------------------------------- 42 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- SLM Student Loan Trust, Ser 2, Cl A5 (A) 3.304%, 10/22/07 EUR 1,000 $ 1,414 Salomon Brothers Mortgage Securities, Ser 2000-C1, Cl A2 (A) 7.520%, 12/18/09 2,475 2,577 Soundview Home Loan Equity Trust, Ser 2007-NS1, Cl A1 (A) 5.625%, 10/25/07 2,116 2,101 Structured Asset Investment Loan Trust, Ser 2006-BNC3, Cl A2 (A) 5.360%, 09/25/36 1,677 1,664 USAA Auto Owner Trust, Ser 2006-4, Cl A3 5.010%, 06/15/11 3,105 3,103 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR10, Cl 3A2 (A) 6.098%, 08/25/46 445 441 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR1E, Cl 3A2 (A) 5.544%, 01/25/37 1,120 1,091 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 3A2 (A) 5.883%, 02/25/37 423 416 Wells Fargo Home Equity, Ser 2006-2, Cl A1 (A) 5.575%, 10/25/07 1,449 1,443 -------------- 68,263 -------------- Total Asset-Backed Securities (Cost $111,129) ($ Thousands) 113,728 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.3% FHLMC 4.750%, 01/15/13 EUR 557 802 FHLMC 30 Year TBA 5.500%, 10/11/07 to 06/01/37 13,974 13,693 FNMA 30 Year TBA 5.500%, 05/01/37 to 10/01/37 5,355 5,245 5.000%, 08/01/34 9,009 8,624 GNMA 30 Year TBA 5.500%, 11/01/34 6,400 6,310 -------------- Total U.S. Government Agency Mortgage- Backed Obligations (Cost $34,408) ($ Thousands) 34,674 -------------- CORPORATE OBLIGATIONS -- 2.3% UNITED STATES -- 2.3% AT&T 6.500%, 09/01/37 650 670 Altria Group 7.750%, 01/15/27 705 866 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Autonation (A) (B) 7.374%, 10/15/07 44 $ 42 Bear Stearns MTN 6.950%, 08/10/12 995 1,037 CSC Holdings, Ser B 8.125%, 07/15/09 65 66 Capital One Bank 4.250%, 12/01/08 521 515 Comcast Cable Communication 6.200%, 11/15/08 251 254 Countrywide Financial 6.250%, 05/15/16 288 261 Embarq 7.082%, 06/01/16 1,783 1,848 Ford Motor Credit 6.625%, 06/16/08 365 362 4.950%, 01/15/08 119 118 Freeport-McMorRan Copper & Gold 8.250%, 04/01/15 225 243 Hertz (B) 8.875%, 01/01/14 221 228 ILFC E-Capital Trust I (A) (B) 5.900%, 12/21/07 150 149 JPMorgan Chase MTN (A) 5.437%, 12/22/08 4,000 3,999 JPMorgan Chase MTN, Ser E (A) 4.375%, 11/12/19 1,000 1,321 Lehman Brothers Holdings 6.500%, 07/19/17 197 200 Liberty Mutual Group (B) 7.800%, 03/15/37 315 307 MGM Mirage 8.375%, 02/01/11 211 220 Mirant Americas 8.500%, 10/01/21 399 380 Motorola 7.500%, 05/15/25 85 88 6.500%, 09/01/25 531 514 NRG Energy 7.375%, 02/01/16 225 226 Reliant Energy 7.875%, 06/15/17 225 226 7.625%, 06/15/14 175 176 SLM EXL MTN (A) (G) 5.763%, 10/15/07 10 10 SLM MTN 5.050%, 11/14/14 1,392 1,181 Sara Lee 6.250%, 09/15/11 448 463 Starwood Hotels & Resorts 7.375%, 11/15/15 1,194 1,236 Union Carbide 7.750%, 10/01/96 910 960 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 43 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Wachovia Capital Trust III (A) 5.800%, 03/15/11 385 $ 382 Williams 7.875%, 09/01/21 207 225 Xerox 7.625%, 06/15/13 210 218 -------------- Total Corporate Obligations (Cost $18,855) ($ Thousands) 18,991 -------------- LOAN PARTICIPATIONS -- 1.2% UNITED STATES -- 1.2% Amsted Industries Term Loan 7.360%, 04/15/13 245 242 Aramark Term Loan 8.082%, 01/26/14 GBP 299 587 Beverly Enterprises Term Loan 8.070%, 03/04/11 342 339 Boston Generating Term Loan 7.610%, 12/20/13 747 687 Cablevision, Ser B Term Loan 7.122%, 03/29/13 494 486 Education Management Term Loan 7.875%, 06/01/13 743 716 Ford Motor Company Term Loan 8.360%, 12/16/13 744 721 Lear Term Loan 7.867%, 04/25/12 820 803 London Arena & Waterfront Term Loan 8.853%, 03/08/12 1,182 1,147 Momentive Performance Term Loan 7.625%, 12/04/13 995 972 Peach Holding Term Loan 9.110%, 11/21/13 590 572 TP Generation Holdings Term Loan 9.610%, 12/15/14 500 484 Targus Group Term Loan 8.870%, 11/22/12 495 449 United Subcontractors Term Loan 8.360%, 12/27/12 708 638 Wimar Opco Term Loan 7.610%, 01/03/12 488 471 -------------- Total Loan Participations (Cost $9,687) ($ Thousands) 9,314 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1)/Shares ($ Thousands) -------------------------------------------------------------------------------- TIME DEPOSITS -- 15.3% UNITED STATES -- 15.3% Brown Brothers Harriman 6.450%, 10/01/07 NZD 142 $ 107 5.650%, 10/01/07 AUD 82 73 4.950%, 10/01/07 GBP 12 24 4.520%, 10/01/07 58,087 58,087 4.100%, 10/01/07 NOK 770 142 3.700%, 10/01/07 CAD 1 1 3.250%, 10/01/07 EUR 1 1 3.150%, 10/01/07 DKK 514 98 2.850%, 10/01/07 SEK 5 1 1.000%, 10/01/07 JPY 16,527 144 Lloyds TSB (London) 5.190%, 10/10/07 16,691 16,691 Royal Bank of Canada 4.800%, 11/05/07 16,750 16,750 Royal Bank of Scotland (London) 5.640%, 10/31/07 14,686 14,686 UBS (London) 5.510%, 10/05/07 16,680 16,680 -------------- Total Time Deposits (Cost $123,485) ($ Thousands) 123,485 -------------- U.S. TREASURY OBLIGATIONS -- 1.2% U.S. Treasury Inflationary Index Notes 2.500%, 07/15/16 1,870 1,905 2.000%, 01/15/16 3,589 3,509 1.875%, 07/15/13 3,736 3,676 U.S. Treasury Notes 4.750%, 02/15/37 320 316 4.250%, 11/15/14 90 89 -------------- Total U.S. Treasury Obligations (Cost $9,465) ($ Thousands) 9,495 -------------- MASTER NOTES -- 0.2% UNITED STATES -- 0.2% Comcast 6.950%, 08/15/37 1,060 1,110 Kraft Foods 6.500%, 08/11/17 510 519 OAO Gazprom 7.288%, 08/16/37 500 532 -------------- Total Master Notes (Cost $2,065) ($ Thousands) 2,161 -------------- -------------------------------------------------------------------------------- 44 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENT -- 0.1% SEI Liquidity Fund, LP, 5.367%*++ (G) 571,070 $ 571 -------------- Total Cash Equivalent (Cost $571) ($ Thousands) 571 -------------- Total Investments -- 101.1% (Cost $794,936) ($ Thousands) $ 817,959 ============== A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, 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) ------------------------------------------------------------------------------- 10/4/07 USD 1,474 CZK 28,500 $ 1 10/4/07-10/17/07 USD 2,656 AUD 3,078 68 10/4/07-10/17/07 USD 29,456 GBP 14,606 295 10/4/07-10/17/07 USD 4,755 MXP 52,608 52 10/4/07-10/17/07 USD 8,855 PLN 23,640 67 10/4/07-10/30/07 USD 162,266 EUR 114,843 1,075 10/4/07-11/5/07 CZK 57,000 USD 2,880 (73) 10/4/07-11/5/07 MXP 144,697 USD 13,136 (88) 10/4/07-11/5/07 PLN 34,699 USD 12,546 (553) 10/4/07-11/13/07 NOK 64,398 USD 11,331 (547) 10/4/07-11/13/07 SEK 55,677 USD 8,349 (265) 10/4/07-11/13/07 USD 5,072 NOK 28,335 154 10/4/07-11/16/07 CAD 23,286 USD 22,435 (1,007) 10/4/07-11/16/07 USD 8,696 CAD 9,031 395 10/4/07-11/28/07 GBP 27,616 USD 55,915 (326) 10/4/07-11/29/07 AUD 15,032 USD 12,784 (508) 10/4/07-12/11/07 USD 4,256 SEK 27,853 53 10/4/07-12/13/07 EUR 314,850 USD 438,262 (9,724) 10/4/07-2/13/08 USD 58,689 JPY 6,792,016 575 10/4/07-3/12/08 JPY 22,437,992 USD 192,298 (3,685) 10/10/07-10/26/07 CHF 2,771 EUR 1,699 42 10/10/07-10/26/07 EUR 7,719 CHF 12,625 (158) 10/10/07-10/29/07 AUD 7,057 GBP 2,930 (273) 10/10/07-10/29/07 GBP 1,521 AUD 3,780 245 10/10/07-2/12/08 CHF 44,800 GBP 18,612 (661) 10/10/07-2/12/08 GBP 17,531 CHF 42,000 463 10/10/07-2/13/08 GBP 15,646 JPY 3,644,000 26 10/10/07-3/12/08 CHF 13,900 NZD 16,011 64 10/10/07-3/12/08 CHF 45,051 USD 37,681 (1,057) 10/10/07-3/12/08 JPY 1,533,000 AUD 15,613 345 10/10/07-3/12/08 JPY 4,752,000 GBP 20,354 (176) 10/10/07-3/12/08 USD 32,723 CHF 38,900 744 10/10/07-1/11/08 AUD 8,877 JPY 840,000 (488) 10/10/07-1/11/08 NZD 9,902 CHF 8,400 (220) 10/17/07 DKK 69,529 USD 12,910 (362) 10/17/07-10/22/07 USD 1,462 ZAR 10,072 (4) 10/17/07-10/22/07 ZAR 48,267 USD 6,775 (211) 10/17/07-11/19/07 NZD 10,479 USD 7,798 (93) 10/23/07 EUR 945 SEK 8,834 22 10/24/07 EUR 5,535 JPY 901,907 (11) 10/24/07 JPY 328,370 EUR 2,150 196 10/25/07 EUR 3,500 NOK 27,680 126 10/25/07 NOK 16,273 EUR 2,035 (106) 10/26/07 CAD 2,944 EUR 2,025 (83) 10/29/07 SGD 8,433 USD 5,561 (133) 11/19/07 USD 1,535 NZD 2,153 84 12/5/07 HUF 963,807 USD 5,400 (41) -------------- $ (15,761) ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Euro-Bobl 216 Dec-2007 $ (91) Euro-Bund 215 Dec-2007 (190) Euro-Schatz 22 Dec-2007 (4) Japan 10-Year Bond 1 Dec-2007 -- Long Gilt 10-Year Bond 74 Dec-2007 (29) U.S. 10-Year Treasury Note (335) Dec-2007 2 U.S. 2-Year Treasury Note (178) Dec-2007 (183) U.S. 5-Year Treasury Note (381) Dec-2007 (32) U.S. Long Treasury Bond (34) Dec-2007 34 -------------- $ (493) ============== A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------- TOTAL RETURN SWAP ------------------------------------------------------------------------------------------- Deliver payment on the monthly reset spread from Lehman Global Aggregate Ex USD RBI Basket Series 1 Index plus 11 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: Lehman Brothers) 02/01/08 85,521 $ (27) ====== ------------------------------------------------------------------------------------------- INTEREST RATE SWAPS ------------------------------------------------------------------------------------------- Pays a fixed rate of 4.269% and receives a floating rate based on the 3 Month Canadian LIBOR quarterly. (Counterparty: JPMorgan Chase) 03/22/12 CAD 15,000 $ 255 Pays a fixed rate of 4.196% and receives a floating rate based on the 6 Month Euribor semi-annually. (Counterparty: JPMorgan Chase) 03/30/12 EUR 3,000 50 Receives a fixed rate of 5.499% and pays a floating rate based on the 6 Month GBP LIBOR semi-annually. (Counterparty: Deutsche Bank) 03/22/12 GBP 6,000 (49) Receives a fixed rate of 1.285% and pays a floating rate based on the 6 Month Yen LIBOR semi-annually. (Counterparty: JPMorgan Chase) 03/26/12 JPY 2,600,000 (68) Receives a fixed rate of 2.218% and pays a floating rate based on the 6 Month Yen LIBOR semi-annually. (Counterparty: JPMorgan Chase) 03/26/27 JPY 1,000,000 (156) Receives a fixed rate of 7.661% and pays a floating rate based on the 3 Month New Zealand BKBM quarterly. (Counterparty: Deutsche Bank) 03/26/12 NZD 3,000 (70) ------ $ (38) ======
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 45 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Concluded) September 30, 2007 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $808,742 ($ Thousands). * Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investments Trust ++ Affiliated security (1) In local currency unless otherwise indicated. (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (D) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (E) Security purchased on a when-issued basis. (F) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $542 ($ Thousands) (See Note 7). (G) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $588 ($ Thousands) (See Note 7). AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CPI -- Consumer Price Index CZK -- Czech Koruna DKK -- Danish Krone EUR -- Euro EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association HUF -- Hungarian Forint JPY -- Japanese Yen LIBOR -- London Interbank Offering Rate LP -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso NOK -- Norwegian Krone NZD -- New Zealand Dollar PIK -- Payment-in-Kind PLN -- Polish Zloty SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 46 SEI Institutional International Trust / Annual Report / September 30, 2007 Emerging Markets Debt Fund September 30, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Government 68.3% Time Deposits 6.0% Short-Term Investment 4.8% Deposits to Counterparty as Collateral for Swap Contracts 4.3% Loan Participations 4.2% Financials 4.0% U.S. Treasury Obligations 3.3% Energy 2.2% Telecommunication Services 1.7% Utilities 0.8% Basic Materials 0.3% Asset-Backed Securities 0.1% Warrants 0.0% + Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 77.5% ARGENTINA -- 6.3% Alto Parana Sa Celara6 (A) 6.375%, 06/09/17 440 $ 444 Cia Transporte Energia Registered (A) 8.875%, 12/15/16 470 437 Province Del Neuquen (A) 8.656%, 10/18/14 250 253 Province of Buenos Aires (A) 9.620%, 04/18/28 1,605 1,384 Province of Buenos Aires Registered 9.625%, 04/18/28 695 596 9.375%, 09/14/18 470 408 2.000%, 05/15/35 (F) 1,200 477 Province of Mendoza Registered 5.500%, 09/04/18 386 297 Republic of Argentina 12.000%, 09/19/16 (G) EUR 1,000 229 11.750%, 05/20/11 (G) EUR 2,500 595 9.000%, 05/29/09 (G) EUR 2,650 1,206 9.000%, 06/20/49 EUR 1,125 526 8.857%, 12/15/35 (B) 2,400 287 8.500%, 07/01/04 (G) EUR 775 362 8.280%, 12/31/33 (C) 15,267 13,854 8.125%, 04/21/08 (G) EUR 4,200 1,940 8.000%, 02/25/02 to 02/26/08 (G) EUR 1,675 788 7.820%, 12/31/33 EUR 249 303 7.625%, 03/31/05 (G) 1,120 280 7.625%, 08/11/07 (G) ITL 2,325,000 536 7.535%, 12/15/35 (B) 12,560 1,633 7.000%, 03/18/04 (G) ITL 1,475,000 350 7.000%, 09/12/13 8,505 7,176 5.830%, 12/31/33 (B) 2,675 1,029 5.475%, 02/03/08 (B) 4,715 2,673 5.389%, 08/03/12 (B) (G) 8,145 4,618 1.330%, 12/31/38 (F) 38,225 15,577 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Republic of Argentina MTN, Ser E 10.000%, 01/03/07 (G) ITL 3,000,000 $ 742 9.250%, 07/20/04 (G) 1,375 641 9.000%, 05/24/49 (G) EUR 1,400 660 8.750%, 02/04/49 (G) EUR 1,375 626 8.500%, 07/30/10 (G) EUR 2,000 896 7.625%, 08/11/07 (G) ITL 2,255,000 511 Transportadora Gas Norte (A) (F) 7.500%, 12/31/12 260 231 6.500%, 12/31/12 37 33 Transportadora Gas Norte Registered (F) 7.500%, 12/31/12 130 116 6.500%, 12/31/12 216 193 -------------- 62,907 -------------- BAHAMAS -- 0.1% Banco Votorantim Nassau (A) 10.625%, 04/10/14 2,750 1,429 -------------- BELIZE -- 0.0% Government of Belize Registered (F) 4.250%, 02/20/29 400 304 -------------- BERMUDA -- 0.1% Citic Resources Finance (A) 6.750%, 05/15/14 300 291 Digicel Group (A) 8.875%, 01/15/15 550 517 -------------- 808 -------------- BOSNIA-HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina, Ser B (J) 10.028%, 12/11/17 EUR 2,300 1,238 -------------- BRAZIL -- 9.6% Cesp-Comp Ener Sao Paulo (A) 9.750%, 01/15/15 BRL 1,375 794 Federal Republic of Brazil 12.500%, 01/05/22 BRL 15,160 10,039 11.000%, 08/17/40 (C) 25,387 33,955 10.500%, 07/14/14 240 304 10.250%, 01/10/28 BRL 15,200 8,687 10.125%, 05/15/27 5,625 8,024 8.875%, 04/15/24 3,700 4,764 8.750%, 02/04/25 3,755 4,806 8.250%, 01/20/34 3,080 3,879 7.125%, 01/20/37 (C) 12,770 14,264 6.000%, 01/17/17 6,785 6,877 -------------- 96,393 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 47 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- CAYMAN ISLANDS -- 0.5% Banco Safra (A) 10.875%, 04/03/17 BRL 2,800 $ 1,461 Blue City Investments 13.750%, 11/07/13 750 752 Earls Eight (A) (F) 7.500%, 12/31/12 420 374 Interoceanica IV Finance (A) (J) 3.831%, 11/30/25 1,000 468 3.657%, 11/30/18 450 285 Peru Enhanced Pass-Thru (A) (J) 5.926%, 05/31/25 320 123 3.949%, 05/31/18 1,495 1,024 Vale Overseas 6.875%, 11/21/36 220 226 6.250%, 01/23/17 85 86 -------------- 4,799 -------------- CHILE -- 0.5% Codelco 5.500%, 10/15/13 1,875 1,884 Republic of Chile 5.500%, 01/15/13 3,215 3,269 -------------- 5,153 -------------- COLOMBIA -- 4.9% BanColombia 6.875%, 05/25/17 425 413 Bogota Distrio Capital (A) 9.750%, 07/26/28 COP 1,815,000 869 Republic of Colombia 11.750%, 02/25/20 13,356 19,567 10.375%, 01/28/33 4,080 5,987 9.850%, 06/28/27 (C) COP 27,526,000 13,864 8.125%, 05/21/24 775 903 7.375%, 01/27/17 685 745 7.375%, 09/18/37 6,185 6,804 -------------- 49,152 -------------- CYPRUS -- 0.5% ABH Financial (A) 8.200%, 06/25/12 900 827 Springvale Holdings (B) 11.389%, 09/07/08 1,000 1,000 Teorema Holding 11.000%, 10/27/09 3,400 3,400 -------------- 5,227 -------------- DOMINICAN REPUBLIC -- 0.2% Republic of Dominican Republic 9.040%, 01/23/18 618 682 8.625%, 04/20/27 1,325 1,491 8.625%, 04/20/27 100 112 -------------- 2,285 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- ECUADOR -- 1.1% Republic of Ecuador Registered 10.000%, 02/15/08 (F) 9,520 $ 8,782 9.375%, 12/15/15 2,785 2,716 -------------- 11,498 -------------- EGYPT -- 0.2% Arab Republic of Egypt (A) 8.750%, 07/18/12 8,450 1,550 -------------- EL SALVADOR -- 1.7% Republic of El Salvador 8.250%, 04/10/32 3,485 4,130 7.750%, 01/24/23 3,790 4,334 7.650%, 06/15/35 7,891 8,857 -------------- 17,321 -------------- GHANA -- 0.1% Republic of Ghana (A) 8.500%, 10/04/17 1,200 1,224 -------------- INDIA -- 0.0% ICICI Bank (A) 6.625%, 10/03/12 330 330 -------------- INDONESIA -- 2.2% BLT Finance 7.500%, 05/15/14 300 283 Excelcomindo Finance 7.125%, 01/18/13 290 291 Garuda Indonesia (B) (H) (I) 5.860%, 12/31/07 1,183 734 Indosat Finance 7.125%, 06/22/12 1,050 1,046 Republic of Indonesia 10.250%, 07/15/27 IDR 47,131,920 5,321 8.500%, 10/12/35 400 474 8.500%, 10/12/35 3,150 3,733 7.500%, 01/15/16 240 260 7.500%, 01/15/16 (A) 1,760 1,892 7.250%, 04/20/15 2,845 3,031 7.250%, 04/20/15 (A) 155 165 6.875%, 03/09/17 670 696 6.750%, 03/10/14 2,600 2,692 6.625%, 02/17/37 650 626 6.625%, 02/17/37 (A) 800 765 -------------- 22,009 -------------- IRAQ -- 0.7% Republic of Iraq 5.800%, 01/15/28 11,450 6,841 -------------- -------------------------------------------------------------------------------- 48 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- IRELAND -- 0.2% Dal Capital (Vneshtorgbk) 7.000%, 04/13/09 RUB 19,000 $ 762 Transcapit (Transneft) (A) 6.103%, 06/27/12 700 714 -------------- 1,476 -------------- JERSEY -- 0.3% Aldar Funding 5.767%, 11/10/11 1,000 1,285 UBS Jersey Branch MTN (A) (B) 0.787%, 11/01/13 1,320 1,522 -------------- 2,807 -------------- LEBANON -- 0.1% Lebanese Republic Registered 8.250%, 04/12/21 950 845 -------------- LUXEMBOURG -- 1.1% Alfa Dividend Payment Rights Finance (A) (B) 7.260%, 12/15/07 476 462 Gaz Capital for Gazprom Registered 9.625%, 03/01/13 1,500 1,737 8.625%, 04/28/34 3,340 4,310 Kuznetski (Bank of Moscow) (F) 7.500%, 11/25/15 1,200 1,192 RSHB Captl 7.175%, 05/16/13 400 409 6.299%, 05/15/17 (A) 2,545 2,396 UBS (Vimpelcom) 8.250%, 05/23/16 235 241 8.250%, 05/23/16 335 343 -------------- 11,090 -------------- MALAYSIA -- 2.4% Bank Megara Monetary Note (J) 3.192%, 11/01/07 MYR 12,250 3,584 Government of Malaysia 7.500%, 07/15/11 3,910 4,238 3.814%, 02/15/17 MYR 11,625 3,432 3.502%, 05/31/27 MYR 12,250 3,207 Petronas Capital Registered 7.875%, 05/22/12 550 659 7.875%, 05/22/22 7,010 8,455 -------------- 23,575 -------------- MEXICO -- 4.7% Cornhill, Ser 39 (G) (H) (I) 0.000%, 01/30/00 1,650 330 Cornhill, Ser 46 (G) (H) (I) 8.626%, 03/02/00 150 30 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Mexican Bonos, Ser M20 8.000%, 12/07/23 MXP 71,744 $ 6,589 Pemex Project Funding Master Trust 8.625%, 02/01/22 650 802 7.375%, 12/15/14 500 550 United Mexican States 8.125%, 12/30/19 5,825 7,069 7.500%, 04/08/33 7,590 9,009 5.625%, 01/15/17 1,420 1,416 United Mexican States MTN 8.300%, 08/15/31 6,225 7,977 United Mexican States MTN, Ser A 6.750%, 09/27/34 12,663 13,771 United Mexican States MTN, Ser E 11.000%, 05/08/17 EUR 5,000 5 -------------- 47,548 -------------- NETHERLANDS -- 0.7% HSBK Europe (A) 7.250%, 05/03/17 500 453 ING Bank MTN, Ser E 9.625%, 05/30/08 700 680 Kazkommerts International (A) 7.500%, 11/29/16 450 375 Kazkommerts International Registered 7.500%, 11/29/16 900 751 Lukoil International Finance (A) 6.656%, 06/07/22 245 232 Majapahit Holding (A) 7.875%, 06/29/37 555 542 7.750%, 10/17/16 280 285 7.750%, 10/17/16 260 263 7.250%, 06/28/17 770 755 TGI International (A) 9.500%, 10/03/17 660 660 White Nights Belagroprom Bank (B) 8.284%, 12/15/07 1,390 1,972 -------------- 6,968 -------------- NIGERIA -- 0.2% HSBC Bank MTN 10.500%, 07/28/08 NGN 255,000 2,030 -------------- PAKISTAN -- 0.1% Republic of Pakistan 7.875%, 03/31/36 330 290 6.875%, 06/01/17 500 432 -------------- 722 -------------- -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 49 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- PANAMA -- 1.9% Republic of Panama 9.375%, 01/16/23 560 $ 722 9.375%, 04/01/29 2,005 2,687 8.875%, 09/30/27 4,370 5,572 7.250%, 03/15/15 (C) 7,090 7,586 6.700%, 01/26/36 1,605 1,649 6.700%, 01/26/36 580 600 -------------- 18,816 -------------- PERU -- 2.5% Republic of Peru 8.750%, 11/21/33 760 998 8.375%, 05/03/16 3,305 3,875 7.350%, 07/21/25 6,850 7,826 6.900%, 08/12/37 (A) (C) 8,475 2,822 Republic of Peru FLIRB, Ser 20YR (B) 6.143%, 03/07/08 1,187 1,185 6.143%, 03/07/08 4,920 4,920 5.000%, 03/07/17 752 752 Republic of Peru, Ser 20YR (B) 5.000%, 03/07/08 2,663 2,661 -------------- 25,039 -------------- PHILIPPINES -- 6.9% DMCI Water (I) 0.000%, 12/31/09 1,989 1,989 National Power 9.625%, 05/15/28 1,400 1,680 6.875%, 11/02/16 (A) 965 955 Republic of Philippines 10.625%, 03/16/25 13,265 18,671 9.875%, 01/15/19 500 636 9.500%, 02/02/30 7,170 9,357 9.375%, 01/18/17 6,425 7,830 9.000%, 02/15/13 600 684 8.875%, 03/17/15 200 229 8.250%, 01/15/14 905 1,011 8.000%, 01/15/16 3,600 4,023 7.750%, 01/14/31 (C) 6,638 7,352 7.500%, 09/25/24 (C) 12,509 13,744 6.375%, 01/15/32 (C) 1,025 981 -------------- 69,142 -------------- POLAND -- 0.2% Republic of Poland 5.000%, 10/19/15 1,865 1,842 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- RUSSIA -- 8.8% Kazan Orgsintez 9.250%, 10/30/11 505 $ 502 Russian Federation Registered 12.750%, 06/24/28 5,700 10,160 11.000%, 07/24/18 9,585 13,568 7.500%, 03/31/08 to 03/31/30 (F) 53,742 60,615 5.000%, 03/31/30 (F) 3,000 3,384 -------------- 88,229 -------------- SOUTH AFRICA -- 0.6% Republic of South Africa 6.500%, 06/02/14 4,295 4,521 5.875%, 05/30/22 1,115 1,091 -------------- 5,612 -------------- SOUTH KOREA -- 0.1% Shinhan Bank (B) 6.819%, 09/20/36 630 618 Woori Bank 6.208%, 05/02/37 610 562 -------------- 1,180 -------------- SUPRA-NATIONAL -- 0.3% European Investment Bank 10.000%, 01/28/11 TRY 3,770 2,795 -------------- THAILAND -- 0.1% True Move (A) 10.750%, 12/16/13 1,250 1,305 -------------- TUNISIA -- 0.2% Banque Centrale de Tunisie 8.250%, 09/19/27 1,095 1,319 7.375%, 04/25/12 465 498 -------------- 1,817 -------------- TURKEY -- 4.6% Republic of Turkey 14.000%, 01/19/11 TRY 10,625 8,513 11.875%, 01/15/30 8,280 12,855 10.000%, 02/15/12 TRY 360 316 9.500%, 01/15/14 500 579 8.000%, 02/14/34 1,800 1,951 7.375%, 02/05/25 4,500 4,680 7.250%, 03/15/15 3,430 3,576 7.000%, 09/26/16 to 06/05/20 3,080 3,125 6.875%, 03/17/36 5,200 4,959 6.750%, 04/03/18 800 794 2.244%, 01/19/11 5,530 4,431 -------------- 45,779 -------------- -------------------------------------------------------------------------------- 50 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UKRAINE -- 2.1% Government of Ukraine Registered 8.693%, 02/07/08 (B) 900 $ 943 7.650%, 06/11/13 (C) 5,340 5,701 6.875%, 03/04/11 1,000 1,028 6.875%, 03/04/11 (A) 4,475 4,589 6.580%, 11/21/16 1,600 1,624 6.580%, 11/21/16 (A) 6,735 6,802 Naftogaz Ukrainy 8.125%, 09/30/09 700 670 -------------- 21,357 -------------- UNITED KINGDOM -- 0.4% Barclays Bank (A) (B) 0.000%, 07/17/22 770 898 Credit Suisse First Boston International (Export/Import - Ukraine) 6.800%, 10/04/12 600 581 Credit Suisse First Boston for the City of Kiev 8.000%, 11/06/15 750 756 Standard Bank (A) 15.000%, 03/12/12 481 470 Standard Bank MTN, Ser E (B) 15.000%, 07/20/09 658 678 UK Private Bank (A) 8.000%, 02/06/12 1,000 920 -------------- 4,303 -------------- UNITED STATES -- 0.4% Citigroup Funding (A) 10.000%, 01/03/17 (B) 1,500 1,597 6.000%, 05/18/15 800 844 DST 10.750%, 05/22/09 1,300 1,300 -------------- 3,741 -------------- URUGUAY -- 3.5% Republic of Uruguay 9.250%, 05/17/17 5,025 5,955 8.000%, 11/18/22 17,805 19,764 7.625%, 03/21/36 1,100 1,174 7.500%, 03/15/15 1,225 1,295 5.000%, 09/14/18 UYU 33,530 1,765 3.700%, 06/26/37 UYU 47,585 1,949 Republic of Uruguay PIK 7.875%, 01/15/33 3,050 3,370 -------------- 35,272 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- VENEZUELA -- 6.3% Government of Venezuela 13.625%, 08/15/18 1,200 $ 1,584 10.750%, 09/19/13 4,065 4,492 9.375%, 01/13/34 8,840 9,216 9.250%, 09/15/27 29,805 30,848 8.500%, 10/08/14 3,906 3,916 7.650%, 04/21/25 470 421 6.000%, 12/09/20 4,830 3,888 5.750%, 02/26/16 6,500 5,492 Government of Venezuela Registered 7.000%, 12/01/18 400 356 Petroleos De Venezuela 5.375%, 04/12/27 4,255 2,691 5.250%, 04/12/17 900 664 -------------- 63,568 -------------- Total Global Bonds (Cost $737,369) ($ Thousands) 777,326 -------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (E) -- 4.4% UNITED STATES -- 4.4% Deposits with Citibank as Collateral for Swap Contracts Outstanding 648 648 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding TRY 692 571 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 750 750 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 8,550 8,550 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 1,000 1,000 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 1,400 1,400 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 1,400 1,400 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 3,600 3,600 Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding 877 877 Deposits with Goldman Sachs as Collateral for Swap Contracts Outstanding BRL 4,564 2,480 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 51 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) September 30, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Deposits with HSBC as Collateral for Swap Contracts Outstanding TRY 5,284 $ 4,362 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 7,812 7,812 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 249 249 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,798 2,798 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 863 863 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 5,300 5,300 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 239 239 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 352 352 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 438 438 -------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $42,980) ($ Thousands) 43,689 -------------- LOAN PARTICIPATIONS -- 4.2% BRAZIL -- 0.3% Global Village Telecom Loan, Senior Secured Note (Counterparty: Deutsche Bank) (H)(I) 12.000%, 06/30/11 3,185 3,440 -------------- EGYPT -- 0.2% Egyptian Urea Petrochemical (G)(H)(I) 0.000%, 07/01/17 1,950 1,950 -------------- GERMANY -- 0.1% Rike (H)(I) 0.000%, 08/17/11 1,200 1,200 -------------- INDONESIA -- 0.7% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) (B)(H)(I) 4.000%, 12/29/07 5,298 5,192 -------------------------------------------------------------------------------- Face Amount Market Value (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- Star Energy Mezzanine Note 0.000%, 04/01/08 1,400 $ 1,400 -------------- 6,592 -------------- MEXICO -- 1.2% Altos Hornos, Promissory Note # 5 (G)(H)(I) 0.000%, 04/29/99 2,500 1,700 Altos Hornos, Promissory Note # 6 (G)(H)(I) 0.000%, 04/29/99 2,500 1,700 Altos Hornos, Promissory Note (Counterparty: Deutche Bank) (G)(H)(I) 0.000%, 12/31/49 4,500 3,060 Altos Hornos, Tranche A (Counterparty: Banc of America) (G)(H)(I) 0.000%, 04/11/04 6,540 4,578 Grupo Accerco Del Norte (Counterparty: Deutsche Bank) (G)(H)(I) 0.000%, 12/31/49 7,750 1,163 -------------- 12,201 -------------- SINGAPORE -- 0.9% C2C Loan (Counterparty: Deutsche Bank) (B)(H)(I) 0.000%, 12/31/10 10,800 6,480 C2C Loan, (Counterparty: Direct Bank)(H)(I) 0.000%, 12/31/49 2,494 2,494 -------------- 8,974 -------------- TURKEY -- 0.8% Cukurova, Ser A 0.000%, 05/01/08 3,452 3,366 Cukurova, Ser B 0.000%, 05/01/12 4,600 4,485 -------------- 7,851 -------------- UNITED STATES -- 0.0% Baja Ferries 5.100%, 01/26/17 430 430 -------------- Total Loan Participations (Cost $31,013) ($ Thousands) 42,638 -------------- -------------------------------------------------------------------------------- 52 SEI Institutional International Trust / Annual Report / September 30, 2007 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 1.4% BRAZIL -- 1.4% GVT Holding* 632,252 $ 13,401 THAILAND -- 0.0% TPI Polene Public* 595,488 282 -------------- Total Common Stock (Cost $2,904) ($ Thousands) 13,683 -------------- CORPORATE OBLIGATION (B)(D) -- 0.1% UNITED STATES -- 0.1% SLM EXL MTN 5.763%, 10/15/07 844 844 -------------- Total Corporate Obligation (Cost $844) ($ Thousands) 844 -------------- ASSET-BACKED SECURITY (A)(B)(D) -- 0.1% UNITED STATES -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 576 576 -------------- Total Asset-Backed Security (Cost $576) ($ Thousands) 576 -------------- Number of Warrants --------- WARRANTS -- 0.0% CYPRUS -- 0.0% Teorema Holding, Expires 10/27/09* -- 461 -------------- MEXICO -- 0.0% United Mexican States, Expires 11/10/07 174,000 12 -------------- Total Warrants (Cost $241) ($ Thousands) 473 -------------- TIME DEPOSITS -- 6.1% UNITED STATES -- 6.1% Brown Brothers Harriman 4.520%, 10/01/07 61,150 61,150 3.250%, 10/01/07 EUR 73 104 -------------- Total Time Deposits (Cost $61,254) ($ Thousands) 61,254 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) (1) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENT**++ (D) -- 4.9% SEI Liquidity Fund, LP, 5.367% 48,874,633 $ 48,875 -------------- Total Cash Equivalent (Cost $48,875) ($ Thousands) 48,875 -------------- U.S. TREASURY OBLIGATION -- 3.4% U.S. Treasury Note 4.875%, 08/31/08 33,665 33,883 -------------- Total U.S. Treasury Obligation (Cost $33,874) ($ Thousands) 33,883 -------------- Total Investments -- 102.1% (Cost $959,930) ($ Thousands) $ 1,023,241 ============== A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, 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) -------------------------------------------------------------------------------- 10/2/07 USD 3,905 BRL 7,288 $ 56 10/2/07-11/5/07 BRL 14,577 USD 7,692 (219) 10/9/07-10/26/07 TRY 13,891 USD 10,588 (814) 10/16/07 USD 6,583 HUF 1,184,427 118 10/19/07 EUR 7,850 USD 10,711 (457) 10/25/07-1/14/08 USD 7,282 RUB 185,323 133 10/26/07 USD 5,017 TRY 6,532 338 12/26/07-4/1/08 USD 4,600 AED 16,811 (6) 1/10/08 USD 451 NGN 57,816 11 1/18/08-3/26/08 USD 8,036 PLN 21,562 107 ------ $ (733) ====== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond 15 Dec-2007 $ (1) ==== -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 53 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Concluded) September 30, 2007 A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ------------------------------------------------------------------------------------------- NET 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 thespread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Deutsche Bank) 08/15/10 BRL 1,400 $ 172 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: Goldman Sachs) 01/01/17 BRL 4,500 (178) 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 BRL 12,000 1,346 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 BRL 4,214 505 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 BRL 1,400 171 Fund receives payment at maturity on the Gazprom 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) 05/17/08 5,300 -- 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: Citibank) 04/03/09 NGN 82,011 91 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) 01/04/08 NGN 33,633 20 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) 12/16/08 NGN 45,003 37 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) 02/25/09 NGN 55,618 22 ------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund receives payment at maturity on the Turkish TRY 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: Credit Suisse First Boston) 03/07/12 TRY 700 $ 23 Fund receives payment at maturity on the Turkish TRY 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: HSBC Bank) 03/07/12 TRY 5,450 305 ------- $ 2,514 ======= ------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.9225% (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 $ 828 Fund receives quarterly payment of 0.4000% (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 8,550 215 Fund receives quarterly payment of 0.3425% (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 7 Fund receives semi-annual payment of 2.8750% (5.750% per annum) times the notional amount of Naftogaz Ukrainy, 8.125%,09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/07 1,400 17 Fund receives semi-annual payment of 2.8750% (5.750% per annum) times the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/08 1,400 (2) Fund receives semi-annual payment of 2.8750% (5.750% per annum) times the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/09 3,600 (50) Fund receives semi-annual payment of 2.8750% (5.750% per annum) times the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 02/20/11 750 (39) Fund receives semi-annual payment of 1.6150% (3.230% per annum) times the notional amount of Republic of Turkey, 11.875%, 01/15/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 03/20/12 3,870 25 Fund receives semi-annual payment of 1.6200% (3.240% per annum) times the notional amount of Republic of Turkey, 11.875%, 01/15/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 02/12/12 500 4
-------------------------------------------------------------------------------- 54 SEI Institutional International Trust / Annual Report / September 30, 2007
------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 1.9200% (3.840% per annum) times the notional amount of Republic of Turkey, 11.875%, 01/15/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 03/20/12 2,865 $ 49 Fund receives semi-annual payment of 1.500% (3.00% per annum) times the notional amount of Republic of Venezuela, 9.250%, 09/15/27. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 07/20/17 14,700 (1,020) Fund receives semi-annual payment of 0.5180% (1.035% per annum) times the notional amount of Russian Federation, 7.500%, 03/31/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 09/20/17 12,000 130 -------- $ 164 ======== ------------------------------------------------------------------------------------------- INTEREST RATE SWAPS ------------------------------------------------------------------------------------------- Pay fixed rate of 10.630% and receive floating rate, rate based on BRL CDI Index. (Counterparty: Deutsche Bank) 01/02/12 BRL 8,700 $ (94) Receive fixed rate of 10.650% and pay floating rate at maturity, rate based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 7,300 (74) Receive fixed rate of 10.880% and pay floating rate at maturity, rate based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 5,300 (41) Receive fixed rate of 11.093% and pay floating rate at maturity, rate based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 14,300 (65) -------- $ (274) ========
Percentages are based on Net Assets of $1,002,602 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of September 30, 2007. ++ Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (C) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $46,294 ($ Thousands) (See Note 7). (D) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $50,295 ($ Thousands) (See Note 7). (E) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (G) Security in default on interest payments. (H) Securities considered illiquid. The total market value of such securities as of September 30, 2007 was $34,051 ($ Thousands) and represented 3.40% of Net Assets. (I) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2007 was $36,040 and represented 3.59% of Net Assets. (J) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. AED -- United Arab Emirates Dirham -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- BRL -- Brazilian Real CDI -- Chess Depositary Interest Cl -- Class COP -- Colombian Peso EUR -- Euro EXL -- Extendable Maturity FLIRB -- Front Loaded Interest Reduction Bond HUF -- Hungarian Forint IDR -- Indonesian Rupiah ITL -- Italian Lira MTN -- Medium Term Note MXP -- Mexican Peso MYR -- Malaysian Ringgit NGN -- Nigerian Naira PIK -- Payment-in-Kind PLN -- Polish Zloty RUB -- Russian Ruble Ser -- Series TRY -- New Turkish Lira USD -- U.S. Dollar UYU -- Uruguay Peso Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 55 Statements of Assets and Liabilities ($ Thousands) September 30, 2007
------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments, at value (Cost $3,410,998, $1,188,891, $794,365 and $911,055, respectively) (1) $ 4,151,394 $ 1,743,896 $ 817,388 $ 974,366 Affiliated investments, at value (Cost $663,763, $150,155, $571 and $48,875, respectively) 663,763 150,155 571 48,875 Cash 122,360 18,349 60,423 60,778 Foreign currency, at value (Cost $14,077, $19,606, and $1,900, respectively) 14,790 19,952 2,067 -- Cash pledged as collateral for forward foreign currency contracts, futures contracts, and swap contracts -- -- -- 8,276 Receivable for TBA sale commitments 116,125 -- 5,939 -- Receivable for investment securities sold 35,068 11,517 10,445 3,717 Unrealized gain on forward foreign currency contracts 15,825 -- 5,092 763 Dividends and interest receivable 11,505 3,225 9,904 10,100 Receivable for capital shares sold 2,691 986 635 15,374 Foreign tax reclaim receivable 601 149 2 68 Variation margin receivable 513 -- 453 -- Unrealized gain on foreign spot currency contracts 83 -- 9 -- Swap contracts, at value (Premiums given $0) -- -- -- 2,404 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 5,134,718 1,948,229 912,928 1,124,721 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return of securities on loan 641,046 134,056 588 50,295 Payable for TBA purchase commitments 208,036 -- 15,110 -- Payable for investment securities purchased 181,469 29,984 65,552 65,270 Swap contracts, at value (Premiums received $(17,665) and $0, respectively) 31,366 -- 65 -- Unrealized loss on forward foreign currency contracts 14,423 -- 20,853 1,496 Payable for capital shares redeemed 3,692 1,940 1,279 704 Variation margin payable 862 -- -- -- Written options, at value (Premiums received $(15)) 92 -- -- -- Unrealized loss on foreign spot currency contracts 77 -- 10 -- Foreign currency overdraft, at value (Cost ($3,262)) -- -- -- 3,243 Investment advisory fees payable 1,607 1,185 100 340 Administration fees payable 1,432 883 399 511 Shareholder servicing fees payable 792 340 152 196 Administration servicing fees payable 6 -- -- -- Chief compliance officer fees payable 5 2 1 1 Trustees' fees 1 -- -- -- Accrued expenses 355 266 77 63 Accrued foreign capital gains tax on appreciated securities 66 2,344 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 1,085,327 171,000 104,186 122,119 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 4,049,391 $ 1,777,229 $ 808,742 $ 1,002,602 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: Paid in Capital (unlimited authorization -- no par value) $ 2,871,925 $ 939,549 $ 803,320 $ 905,881 Undistributed net investment income 63,726 5,014 2,460 17,018 Accumulated net realized gain on investments, futures contracts, options, foreign currency contracts and swap contracts 373,287 279,626 (4,263) 14,604 Net unrealized appreciation on investments and written options 740,319 555,005 23,023 63,311 Net unrealized appreciation (depreciation) on futures contracts 11,708 -- (493) (1) Net unrealized appreciation (depreciation) on swap contracts (13,701) -- (65) 2,404 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 2,193 379 (15,240) (615) Accumulated foreign capital gains tax on appreciated securities (66) (2,344) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 4,049,391 $ 1,777,229 $ 808,742 $ 1,002,602 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A ($4,032,235,643 / 249,278,729 shares, $1,777,229,379 / 82,715,797 shares, $808,742,355 / 74,122,114 shares, $1,002,601,953 / 90,836,461 shares) $ 16.18 $ 21.49 $ 10.91 $ 11.04 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($17,155,574 / 1,063,373 shares) $ 16.13 N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
(1) Included in "Investments, at value" is the market value of securities on loan in the amounts of $614,002, $118,121, $542 and $46,294, ($ Thousands), respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 56 SEI Institutional International Trust / Annual Report / September 30, 2007 Statements of Operations ($ Thousands) For the year ended September 30, 2007
------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 94,819 $ 38,431 $ -- $ -- Dividends from Affiliated Security 2,117 264 -- -- Interest 29,712 1,734 35,633 61,522 Security Lending Income -- Net 3,837 609 41 122 Less: Foreign Taxes Withheld (8,701) (4,012) (97) -- ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 121,784 37,026 35,577 61,644 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 19,359 16,096 1,238 7,665 Administration Fees 17,251 9,964 4,951 5,862 Shareholder Servicing Fees -- Class A 9,543 3,832 2,063 2,254 Shareholder Servicing Fees -- Class I 41 -- -- -- Admin Servicing Fees -- Class I 41 -- -- -- Trustees' Fees 53 21 11 12 Chief Compliance Officer Fees 5 2 1 1 Interest Expense on Reverse Repurchase Agreements 3,179 -- -- -- Custodian/Wire Agent Fees 757 1,079 114 85 Printing Fees 254 101 50 59 Overdraft Fees 144 161 68 100 Professional Fees 127 50 28 31 Registration Fees 39 15 10 10 Other Expenses 146 64 32 30 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 50,939 31,385 8,566 16,109 ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees -- (1,177) -- (3,745) Waiver of Shareholder Servicing Fees -- Class A -- -- (163) -- Fees Paid Indirectly (1) (111) (1) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 50,828 30,207 8,403 12,364 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 70,956 6,819 27,174 49,280 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS: Net Realized Gain (Loss) from: Investments 524,093 348,199 2,933 24,109 Futures Contracts 38,465 -- (1,997) 207 Written Options 232 -- -- -- Swap Contracts 1,843 -- (999) 5,658 Foreign Currency Transactions 36,540 255 6,587 6,551 Net Change in Unrealized Appreciation (Depreciation) on: Investments 130,148 254,998 3,277 (2,177) Futures Contracts 10,166 -- (434) 61 Written Options (121) -- -- -- Swap Contracts (16,744) -- (65) 766 Foreign Capital Gains Tax on Appreciated Securities -- (1,644) -- -- Foreign Currency Transactions 6,733 888 (17,307) (893) ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS 731,355 602,696 (8,005) 34,282 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 802,311 $ 609,515 $ 19,169 $ 83,562 ====================================================================================================================================
(1) See Note 3 in Notes to Financial Statements. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 57 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
----------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ----------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 70,956 $ 61,937 $ 6,819 $ 8,727 Net Realized Gain from Investments, Futures Contracts, Written Options and Swap Contracts 564,633 463,179 348,199 247,672 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions 36,540 8,160 255 (1,381) Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Written Options and Swap Contracts 123,449 43,648 254,998 (49,422) Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Tax Gains on Appreciated Securities -- -- (1,644) 415 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 6,733 (4,521) 888 (506) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 802,311 572,403 609,515 205,505 ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (118,781) (71,852) (6,714) (8,389) Class I (455) (182) -- -- Net Realized Gains: Class A (144,096) -- (188,558) (127,622) Class I (580) -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (263,912) (72,034) (195,272) (136,011) ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 775,114 701,740 358,848 314,335 Reinvestment of Dividends & Distributions 250,704 68,952 188,045 130,923 Cost of Shares Redeemed (1,020,666) (1,005,774) (520,481) (532,680) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 5,152 (235,082) 26,412 (87,422) ----------------------------------------------------------------------------------------------------------------------------------- CLASS I: Proceeds from Shares Issued 9,593 6,914 -- -- Reinvestment of Dividends & Distributions 1,027 178 -- -- Cost of Shares Redeemed (9,188) (3,181) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions 1,432 3,911 -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 6,584 (231,171) 26,412 (87,422) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 544,983 269,198 440,655 (17,928) ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 3,504,408 3,235,210 1,336,574 1,354,502 ----------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 4,049,391 $ 3,504,408 $ 1,777,229 $ 1,336,574 =================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 63,726 $ 53,534 $ 5,014 $ 5,832 =================================================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 51,249 53,743 19,685 19,358 Reinvestment of Distributions 17,225 5,583 11,346 8,739 Shares Redeemed (67,387) (77,049) (28,516) (32,895) ----------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 1,087 (17,723) 2,515 (4,798) ----------------------------------------------------------------------------------------------------------------------------------- CLASS I: Shares Issued 636 523 -- -- Reinvestment of Distributions 71 14 -- -- Shares Redeemed (598) (239) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 109 298 -- -- ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions 1,196 (17,425) 2,515 (4,798) ===================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 58 SEI Institutional International Trust / Annual Report / September 30, 2007 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
----------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ----------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 27,174 $ 21,939 $ 49,280 $ 44,825 Net Realized Gain (Loss) from Investments, Futures Contracts and Swap Contracts (63) (2,137) 29,974 59,027 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions 6,587 (55,296) 6,551 6,595 Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Contracts 2,778 13,924 (1,350) (34,926) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (17,307) 6,913 (893) (2,928) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 19,169 (14,657) 83,562 72,593 ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (15,311) (26,270) (51,400) (72,844) Net Realized Gains: Class A -- (22,930) (49,606) (60,041) ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (15,311) (49,200) (101,006) (132,885) ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 191,286 260,279 316,702 415,908 Reinvestment of Dividends & Distributions 14,446 46,434 95,631 126,564 Cost of Shares Redeemed (242,751) (281,876) (220,630) (797,682) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (37,019) 24,837 191,703 (255,210) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (33,161) (39,020) 174,259 (315,502) ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 841,903 880,923 828,343 1,143,845 ----------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 808,742 $ 841,903 $ 1,002,602 $ 828,343 =================================================================================================================================== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 2,460 $ (29,365) $ 17,018 $ 8,013 =================================================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 17,707 24,116 28,732 37,501 Reinvestment of Dividends & Distributions 1,344 4,294 8,726 11,643 Shares Redeemed (22,446) (26,076) (20,042) (72,592) ----------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (3,395) 2,334 17,416 (23,448) ===================================================================================================================================
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 59 Financial Highlights For the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout Each Year --------------------------------------------------------------------------------
Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset Beginning Income (Losses) from Investment Capital and Value, End Total of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+ ----------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2007 $ 14.07 $ 0.28(1) $ 2.89(1) $ 3.17 $ (0.47) $ (0.59) $ (1.06) $ 16.18 23.56% 2006 12.14 0.24(1) 1.97(1) 2.21 (0.28) -- (0.28) 14.07 18.50 2005 9.81 0.16(1) 2.40(1) 2.56 (0.23) -- (0.23) 12.14 26.33 2004 8.20 0.10(1) 1.60(1) 1.70 (0.09) -- (0.09) 9.81 20.74 2003 6.93 0.08(1) 1.23(1) 1.31 (0.04) -- (0.04) 8.20 18.91 CLASS I 2007 $ 14.04 $ 0.25(1) $ 2.88(1) $ 3.13 $ (0.45) $ (0.59) $ (1.04) $ 16.13 23.25% 2006 12.12 0.23(1) 1.94(1) 2.17 (0.25) -- (0.25) 14.04 18.20 2005 9.81 0.14(1) 2.38(1) 2.52 (0.21) -- (0.21) 12.12 25.86 2004 8.20 0.10(1) 1.58(1) 1.68 (0.07) -- (0.07) 9.81 20.54 2003 6.93 0.09(1) 1.20(1) 1.29 (0.02) -- (0.02) 8.20 18.65 EMERGING MARKETS EQUITY FUND CLASS A 2007 $ 16.67 $ 0.08(1) $ 7.22(1) $ 7.30 $ (0.08) $ (2.40) $ (2.48) $ 21.49 48.27% 2006 15.94 0.11(1) 2.32(1) 2.43 (0.10) (1.60) (1.70) 16.67 16.46 2005 11.10 0.14(1) 4.80(1) 4.94 (0.10) -- (0.10) 15.94 44.68 2004 9.00 0.09(1) 2.03(1) 2.12 (0.02) -- (0.02) 11.10 23.61 2003 6.53 0.05(1) 2.42(1) 2.47 -- -- -- 9.00 37.83 INTERNATIONAL FIXED INCOME FUND CLASS A 2007 $ 10.86 $ 0.36(1) $ (0.11)(1) $ 0.25 $ (0.20) $ -- $ (0.20) $ 10.91 2.34% 2006 11.72 0.28(1) (0.49)(1) (0.21) (0.34) (0.31) (0.65) 10.86 (1.64) 2005 12.22 0.28(1) 0.15(1) 0.43 (0.89) (0.04) (0.93) 11.72 3.01 2004 12.45 0.28(1) 0.63(1) 0.91 (0.92) (0.22) (1.14) 12.22 7.43 2003 11.00 0.30(1) 1.53(1) 1.83 (0.33) (0.05) (0.38) 12.45 17.05 EMERGING MARKETS DEBT FUND CLASS A 2007 $ 11.28 $ 0.60(1) $ 0.47(1) $ 1.07 $ (0.65) $ (0.66) $ (1.31) $ 11.04 10.03% 2006 11.81 0.56(1) 0.34(1) 0.90 (0.80) (0.63) (1.43) 11.28 8.68 2005 10.74 0.66(1) 1.31(1) 1.97 (0.63) (0.27) (0.90) 11.81 19.34 2004 11.15 0.61(1) 0.77(1) 1.38 (0.66) (1.13) (1.79) 10.74 13.97 2003 8.12 0.78(1) 3.01(1) 3.79 (0.76) -- (0.76) 11.15 49.15 Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Net Assets Expenses (Excluding Waivers and (Loss) Portfolio End of Period to Average Fees Paid Fees Paid to Average Turnover ($ Thousands) Net Assets* Indirectly)** Indirectly)** Net Assets Rate+ --------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND CLASS A 2007 $ 4,032,236 1.32%(2)(3) 1.33%(2)(3) 1.33%(2) 1.85% 172% 2006 3,491,007 1.32(2) 1.33(2) 1.33(2) 1.85 118 2005 3,227,258 1.24 1.24 1.24 1.50 80 2004 2,705,544 1.26 1.26 1.26 1.06 44 2003 2,258,034 1.28 1.28 1.32 1.12 87 CLASS I 2007 $ 17,155 1.57%(2)(3) 1.58%(2)(3) 1.58%(2) 1.66% 172% 2006 13,401 1.59(2) 1.59(2) 1.59(2) 1.77 118 2005 7,952 1.49 1.49 1.49 1.28 80 2004 5,757 1.51 1.51 1.51 1.06 44 2003 2,061 1.53 1.53 1.57 1.15 87 EMERGING MARKETS EQUITY FUND CLASS A 2007 $ 1,777,229 1.97%(3) 1.97%(3) 2.05% 0.44% 79% 2006 1,336,574 1.96 1.97 2.06 0.65 65 2005 1,354,502 1.95 1.96 2.05 1.05 69 2004 1,039,735 1.95 1.95 2.12 0.84 88 2003 936,560 1.95 1.95 2.14 0.71 69 INTERNATIONAL FIXED INCOME FUND CLASS A 2007 $ 808,742 1.02%(3) 1.02%(3) 1.04% 3.29% 215% 2006 841,903 1.01 1.01 1.03 2.61 194 2005 880,923 1.00 1.00 1.04 2.24 145 2004 907,633 1.00 1.00 1.04 2.27 224 2003 865,698 1.00 1.00 1.06 2.60 216 EMERGING MARKETS DEBT FUND CLASS A 2007 $ 1,002,602 1.37%(3) 1.37%(3) 1.79% 5.47% 81% 2006 828,343 1.36 1.36 1.78 5.03 108 2005 1,143,845 1.35 1.35 1.79 6.03 85 2004 765,483 1.35 1.35 1.79 5.91 77 2003 565,237 1.35 1.35 1.80 7.98 127
* 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 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 1.24% and 1.49%, respectively. (3) The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.32%, 1.57%, 1.96%, 1.01%, and 1.36% for the International Equity Fund Class A, the International Equity Fund Class I, the Emerging Markets Equity Fund, the International Fixed Income Fund, and the Emerging Markets Debt Fund, respectively. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 60 SEI Institutional International Trust / Annual Report / September 30, 2007 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements September 30, 2007 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, 2007, 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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 61 NOTES TO FINANCIAL STATEMENTS 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 7). 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. For the year ended September 30, 2007, there were no outstanding reverse repurchase agreements. 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. 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, 2007. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their -------------------------------------------------------------------------------- 62 SEI Institutional International Trust / Annual Report / September 30, 2007 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, the International Fixed Income Fund and the Emerging Markets Debt 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 investor must pay any decline in value to the counterparty 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, 2007, the Emerging Markets Debt Fund has deposits in the amount of $43,689,118 with the counterparty as collateral. 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 -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 63 NOTES TO FINANCIAL STATEMENTS (Continued) 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, 2007, are summarized as follows: -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at the beginning of year 442 $ 232 Written 93 15 Expired (442) (232) -------------------------------------------------------------------------------- Balance at the end of year 93 $ 15 -------------------------------------------------------------------------------- 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. 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. -------------------------------------------------------------------------------- 64 SEI Institutional International Trust / Annual Report / September 30, 2007 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 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 ADMINISTRATION & TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (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, 2007, 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 1.29%*+ 1.96%+ 1.01%+ 1.36%+ Class I 1.54%*+ -- -- -- * Effective June 23, 2006 the expense cap excludes interest expense on reverse repurchase agreements. + The expense cap excludes overdraft fees. INVESTMENT ADVISORY AGREEMENT --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, 2007, 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. AXA Rosenberg Investment Management LLC Emerging Markets Management, LLC PanAgora Asset Management, Inc.* Rexiter Capital Management Limited The Boston Company Asset Management LLC * As of September 30, 2007, the sub-adviser was not yet funded. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 65 NOTES TO FINANCIAL STATEMENTS (Continued) -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND AllianceBernstein L.P. BlackRock Financial Management, Inc. Fidelity International Investment Advisors (UK) Limited delegates to Fidelity International Investment Advisors 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 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, 2007, 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, 2007, the Distributor retained 100% of both Shareholder Servicing fees, less the waiver, and Administration Servicing fees. INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest cash collateral from the securities lending program in the SEI Liquidity Fund LP. PAYMENT TO AFFILIATES -- Certain Officers and Trustees of the Trust are also Officers and/or Trustees of the Administrator or SEI Investments Management Corporation ("SIMC") (the "Adviser"), a wholly owned subsidiary of SEI. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the Adviser pays compensation of Officers and affiliated Trustees. A portion of the services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. 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, 2007, can be found on the Statement of Operations and Financial Highlights, respectively. -------------------------------------------------------------------------------- 66 SEI Institutional International Trust / Annual Report / September 30, 2007 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 year ended September 30, 2007, were as follows: -------------------------------------------------------------------------------- Purchases Sales and Maturities ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund US Government $ 2,985,233 $ 3,068,651 Other 3,475,488 3,701,726 Emerging Markets Equity Fund US Government -- -- Other 1,180,679 1,359,355 International Fixed Income Fund US Government 153,566 99,669 Other 1,228,374 1,340,938 Emerging Markets Debt Fund US Government 16,689 16,690 Other 684,526 632,835 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, disallowance of net operating loss and swap reclassifications, 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-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, 2007:
-------------------------------------------------------------------------------- Undistributed Accumulated Net Investment Realized Paid-in- Income/(Loss) Gain/(Loss) Capital ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund $ 58,472 $ (104,202) $ 45,730 Emerging Markets Equity Fund (923) (45,980) 46,903 International Fixed Income Fund 19,962 (5,675) (14,287) Emerging Markets Debt Fund 11,125 (15,072) 3,947
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 2007 $ 136,952 $ 126,960 $ 263,912 2006 72,034 -- 72,034 Emerging Markets Equity Fund 2007 45,745 149,527 195,272 2006 17,376 118,635 136,011 International Fixed Income Fund 2007 15,311 -- 15,311 2006 36,979 12,221 49,200 Emerging Markets Debt Fund 2007 64,597 36,409 101,006 2006 89,598 43,287 132,885 As of September 30, 2007, the components of Distributable Earnings/(Accumulated Losses) were as follows:
------------------------------------------------------------------------------------------------- Post- Undistributed Undistributed Capital October Ordinary Long-Term Loss Currency Income Capital Gain Carryforwards Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------- International Equity Fund $ 249,837 $ 225,673 $ -- $ -- Emerging Markets Equity Fund 73,361 222,929 -- -- International Fixed Income Fund -- -- (4,224) (4,917) Emerging Markets Debt Fund 38,621 7,559 -- -- ------------------------------------------------------------------------------------------------- Unrealized Other Total Appreciation Temporary Distributable (Depreciation) Differences Earnings/ ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------- International Equity Fund $ 701,167 $ 789 $ 1,177,466 Emerging Markets Equity Fund 541,390 -- 837,680 International Fixed Income Fund (1,416) 15,979 5,422 Emerging Markets Debt Fund 61,317 (10,776) 96,721
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 67 NOTES TO FINANCIAL STATEMENTS (Continued) Post-October losses represent losses realized on investment or foreign currency transactions from November 1, 2006 through September 30, 2007 that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital losses may be carried forward and applied against future capital gains as follows: -------------------------------------------------------------------------------- Total Capital Loss Expires Carryforward 2015 09/30/07 ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Fixed Income Fund $ 4,224 $ 4,224 For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on total investments at September 30, 2007 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 $ 4,114,047 $ 805,967 $ (104,857) $ 701,110 Emerging Markets Equity Fund 1,350,696 566,583 (23,228) 543,355 International Fixed Income Fund 803,577 25,972 (11,590) 14,382 Emerging Markets Debt Fund 963,712 77,732 (18,203) 59,529
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 are estimates that may differ from the value that would be realized if the securities were sold. At September 30, 2007, the total value of these securities represented approximately 6% of the net assets of the Emerging Markets Debt Fund. Forward foreign currency contracts, futures contracts, and swap agreement contracts involve risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities to the extent of the contract amounts. 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)/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, high-quality, short-term instruments, such as floating rate -------------------------------------------------------------------------------- 68 SEI Institutional International Trust / Annual Report / September 30, 2007 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 and the SEI Liquidity Fund, L.P. 8. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 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. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in fund asset calculations as late as the fund's last net asset value calculation in the first required financial statement reporting period. As a result of adoption, the Funds will incorporate FIN 48 in its semi-annual report of March 31, 2008. As of September 30, 2007, the Funds do not anticipate a material impact to the financial statements. However, management's conclusions regarding FIN 48 could change in the future to the extent there are changes in tax laws and/or additional guidance from the IRS regarding interpretations of the existing laws. 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, 2007, 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. 9. OTHER MATTERS Due to the volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of September 30, 2007 and do not reflect any market events after September 30, 2007. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 69 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, 2007, and the related statements of operations for the year then ended, and the changes in net assets and the financial highlights for each of the years in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years or periods in the three-year period ended September 30, 2005, were audited by other auditors, whose report dated November 29, 2005, expressed an unqualified opinion thereon. 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, 2007, by correspondence with custodians 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 funds comprising SEI Institutional International Trust as of September 30, 2007, and the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the years in the two-year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KMPG LLP Philadelphia, Pennsylvania November 27, 2007 -------------------------------------------------------------------------------- 70 SEI Institutional International Trust / Annual Report / September 30, 2007 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of November 15, 2007. 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 77 Trustee of The Advisors' One Freedom of the services on behalf of SEI for Inner Circle Fund, The Valley Drive, Board of which Mr. Nesher is Advisors' Inner Circle Fund Oaks, PA 19456 Trustees* compensated. II, Bishop Street Funds, 61 yrs. old Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., SEI Multi-Strategy Funds plc., SEI Structured Credit Fund, L.P. and SEI Alpha Strategy Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant since 77 Trustee of The Advisors' 1701 Market Street 2003. Partner, Morgan, Lewis & Inner Circle Fund, The Philadelphia, PA Bockius LLP (law firm) from Advisors' Inner Circle Fund 19103 1976 to 2003, counsel to the II, Bishop Street Funds, 67 yrs. old Trust, SEI, SIMC, the Director of SEI since 1974. Administrator and the Director of the Distributor Distributor. Secretary of SEI since 2003. Director of SEI since 1978. Investments -- Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited, SEI Asset Korea Co., Ltd. and SEI Alpha Strategy Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 77 Trustee of STI Classic Funds One Freedom and STI Classic Variable Valley Drive, Trust. Oaks, PA 19456 74 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Attorney, sole practitioner 77 Trustee of The Advisors' One Freedom since 1994. Partner, Dechert Inner Circle Fund, The Valley Drive, Price & Rhoads, September Advisors' Inner Circle Fund Oaks, PA 19456 1987-December 1993. II, Bishop Street Funds, 76 yrs. old Massachusetts Health and Education Tax- Exempt Trust, U.S. Charitable Gift Trust and SEI Alpha Strategy Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------
* 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: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 71 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) -------------------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 77 Trustee of The Advisors' One Freedom Newfound Consultants Inc. Inner Circle Fund, The Valley Drive since April 1997. Advisors' Inner Circle Fund Oaks, PA 19456 II, Bishop Street Funds, 65 yrs. old State Street Navigator Securities Lending Trust, SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., SEI Structured Credit Fund, L.P. and SEI Alpha Strategy Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 77 Director, Sonoco, Inc.; One Freedom` Health Care Reform, Director, Exelon Corporation; Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real Oaks, PA 19456 since 2003. Founder and Estate Investment Trust and 61 yrs. old Principal, Grecoventures Ltd. SEI Alpha Strategy from 1999 to 2002. Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 77 Director of SEI Opportunity One Freedom since March 2002, Managing Master Fund, L.P., SEI Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P., SEI Oaks, PA 19456 Investorforce, March Structured Credit Fund, L.P. 50 yrs. old 2000-December 2001; Global and SEI Alpha Strategy Partner working for the CEO, Portfolios, LP 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 77 Trustee/Director of Ariel One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., SEI Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P., SEI 60 yrs. old since December 2002. Structured Credit Fund, L.P. President, Harbor Capital and SEI Alpha Strategy Advisors and Harbor Mutual Portfolios, LP Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ------------------------------------------------------------------------------------------------------------------------------------ Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 77 Trustee of the Advisors' One Freedom Inner Circle Fund, The Valley Drive, Advisor's Inner Circle Fund Oaks, PA 19456 II, Bishop Street Funds and 65 yrs. old SEI Alpha Strategy Portfolios, LP ------------------------------------------------------------------------------------------------------------------------------------ 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 is Oaks, PA 19456 compensated. 61 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A One Freedom and the Administrator since 2005. Valley Drive, Chief Fund Administration Manager, Oaks, PA 19456 Financial Old Mutual Fund Services, 37 yrs. old Officer 2000-2005. 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. ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 72 SEI Institutional International Trust / Annual Report / September 30, 2007
------------------------------------------------------------------------------------------------------------------------------------ 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 N/A N/A One Freedom` Compliance SEI Opportunity Master Fund, Valley Drive Officer L.P., SEI Opportunity Fund, Oaks, PA 19456 L.P., Bishop Street Funds, SEI 44 yrs. old Structured Credit Fund, L.P., 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 N/A N/A One Freedom President President and Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Secretary since 2004. Vice President and 39 yrs. old Assistant Secretary 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, 33 yrs. old Secretary September 2001-2004. ------------------------------------------------------------------------------------------------------------------------------------ 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). 39 yrs. old Secretary Associate, Morgan, Lewis & Bockius LLP (2000-2003). ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 73 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) -------------------- 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 35 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). ------------------------------------------------------------------------------------------------------------------------------------ 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 Oaks, PA 19456 Money Market Investments for 44 yrs. old SIMC since 2003. ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A One Freedom Laundering Anti-Money Laundering Valley Drive Compliance Compliance Coordinator of SEI Oaks, PA 19456 Officer since 2005. Compliance 30 yrs. old Analyst, TD Waterhouse (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: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP. -------------------------------------------------------------------------------- 74 SEI Institutional International Trust / Annual Report / September 30, 2007 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 4/1/07 9/30/07 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,075.80 1.26% $ 6.56 Class I $1,000.00 $1,074.60 1.51% $ 7.85 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.75 1.26% $ 6.38 Class I $1,000.00 $1,017.50 1.51% $ 7.64 -------------------------------------------------------------------------------- EMERGING MARKETS EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,258.90 1.97% $11.16 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.19 1.97% $ 9.95 -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/07 9/30/07 RATIOS PERIOD* -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,010.20 1.02% $5.14 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,019.95 1.02% $5.16 -------------------------------------------------------------------------------- EMERGING MARKETS DEBT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A $1,000.00 $1,016.60 1.37% $6.93 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.20 1.37% $6.93 -------------------------------------------------------------------------------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/365 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 75 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 the series of the Trust (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 the Sub-Advisers' 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, the Funds' 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 Funds; 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 Funds' 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 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 the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and -------------------------------------------------------------------------------- 76 SEI Institutional International Trust / Annual Report / September 30, 2007 operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. At the December 8, 2006, March 14, 2007, June 28, 2007 and September 19, 2007 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 the Funds' investment performance and how it compared to that of other comparable mutual funds; o the Funds' 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 the Funds, 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. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. 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 the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. 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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 77 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) 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 the Funds' 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 the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. 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. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser 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. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are 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 the Funds' 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. -------------------------------------------------------------------------------- 78 SEI Institutional International Trust / Annual Report / September 30, 2007 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2007 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2007 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2007 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 LONG-TERM ORDINARY (D) INCOME (F) (G) (H) CAPITAL GAINS INCOME DIVIDENDS (15% TAX U.S. QUALIFIED QUALIFIED DISTRIBUTIONS DISTRIBUTIONS (C) RECEIVED RATE FOR GOVERNMENT INTEREST SHORT-TERM FUND (TAX BASIS) (TAX BASIS) TOTAL DEDUCTION (1) QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAIN (5) ----------------------------------------------------------------------------------------------------------------------------------- International Equity 48.12% 51.88% 100.00% 0.00% 31.63% 0.00% 7.74% 100.00% Emerging Markets Equity 74.95% 25.05% 100.00% 0.00% 28.34% 0.00% 0.00% 100.00% International Fixed Income 0.00% 100.00% 100.00% 0.00% 0.00% 3.93% 23.00% 0.00% Emerging Markets Debt 35.13% 64.87% 100.00% 0.00% 0.00% 0.00% 0.00% 100.00%
The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2007, the amount of foreign source income and foreign tax credit are as follows: -------------------------------------------------------- Foreign Tax Foreign Source Credit Pass Fund Income Through -------------------------------------------------------- International Equity $ 88,800,478 $ 3,017,343 Emerging Markets Equity 38,306,440 3,932,193 (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. -------------------------------------------------------------------------------- SEI Institutional International Trust / Annual Report / September 30, 2007 79 Notes Notes Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 2007 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 Mitchell A. Johnson 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) [LOGO] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-018 (9/07) 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) Related to the Trust KPMG billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
------------------------------------------------------------------------------------------------------------------------------ FISCAL 2007 FISCAL 2006 ------------------------------------------------------------------------------------------------------------------------------ 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 $136,500 N/A $0 $118,700 N/A $0 Fees(1) ------------------------------------------------------------------------------------------------------------------------------ (b) Audit- $0 $0 $0 $0 $0 $0 Related Fees ------------------------------------------------------------------------------------------------------------------------------ (c) Tax $0 $0 $0 N/A N/A N/A Fees ------------------------------------------------------------------------------------------------------------------------------ (d) All $5,440 $264,075 $0 $0 $216,500 $60,360 Other Fees ------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided KPMG in connection with statutory and regulatory filings. (e)(1) The trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The 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 pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. 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. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, 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 Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, 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: ------------------------------------------------------- FISCAL 2007 FISCAL 2006 ------------------------------------------------------- Audit-Related Fees 0% 0% ------------------------------------------------------- Tax Fees 0% 0% ------------------------------------------------------- All Other Fees 0% 0% ------------------------------------------------------- (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2007 and 2006 were $269,515 and $276,860, respectively. 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. (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. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. 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. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. 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 6, 2007 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 6, 2007 By (Signature and Title)* /s/ Stephen F. Panner ------------------------------ Stephen F. Panner, Controller & CFO Date: December 6, 2007 * Print the name and title of each signing officer under his or her signature.