N-CSR 1 sitar9_08comb.txt SIT AR 9_08 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, 2008 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. (SEI LOGO) New ways. New answers.(R) SEI Institutional International Trust Annual Report as of September 30, 2008 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 9 Statements of Assets and Liabilities 59 Statements of Operations 60 Statements of Changes in Net Assets 61 Financial Highlights 63 Notes to Financial Statements 64 Report of Independent Registered Public Accounting Firm 73 Trustees and Officers of the Trust 74 Disclosure of Fund Expenses 77 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 78 Notice to Shareholders 81
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, 2008 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, which experienced a strong run over the last few years, retreated during the year ended September 30, 2008. The Morgan Stanley MSCI EAFE Index declined -30.51% for the year ended September 30, 2008. Looking back, the financial crisis that started in 2007 grew in magnitude and velocity as it transitioned from a region/sector issue to global issue. Financials returned (-37%) for the time period and investors spanning Europe, Asia and North America felt the impact. Unprecedented events took place as some major investment banks, commercial banks, mortgage lenders and insurance firms filed for bankruptcy or were bought out with government aid. By the end of the third quarter 2008, governments and central banks were intervening in an effort to increase liquidity and bring stability to the financial system. Commodities rallied in the second quarter of 2008 as soaring Energy, Material, and Industrial prices benefited companies and countries driven by those sectors such as Australia (-35%) and Norway (-41%). However, the tide turned by the end of the quarter as higher input costs for producers and rising food prices put inflation on center stage. In the third quarter, the negative momentum continued as the likelihood of a global economic slowdown increased. For the fiscal year ended September 30, 2008, Materials, Industrials, and Energy returned (-40%), (-35%), and (-25%), respectively. More defensive sectors such as Healthcare (-13.0%) and Utilities (-15%) fared better. At a country level, all major developed economies experienced double digit declines for the period. In Europe/UK, the widening credit crisis led the Bank of England and European Central Banks to intervene in order to stabilize the financial system. Japan (-27.0%) experienced a pullback due to the link between their economy and the U.S. and Europe. The Bank of Japan's survey on business sentiment for large manufacturers, the Tankan, turned negative for the first time in five years increasing concerns of global contagion. The International Equity Fund, Class A returned -36.96% for the year ended September 30, 2008 lagging behind the Morgan Stanley MSCI EAFE Index with a return of -30.51%. McKinley Capital Management, Inc. and AXA Rosenberg Investment Management LLC, which have exposure to momentum factors, underperformed due to shifting market leadership. Quantitative Management Associates LLC's quantitative value and momentum approach performed below the benchmark. AllianceBernstein L.P., which employs a fundamental bottom-up valuation process, was impacted by stock selection in Financials, Energy, and Materials. The continued illiquidity in the credit market detracted from Smith Breeden Associates, Inc.'s performance. At the Fund level, Capital Guardian Trust Company and Fuller & Thaler Asset Management, Inc. were removed, and Principal Global Investors, LLC ("Principal") was added. Principal was added to strengthen the growth component of the Fund and to better diversify the existing value exposures. SEI Institutional International Trust / Annual Report / September 30, 2008 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2008 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 -36.96% -2.64% 7.08% 3.42% 3.55% Class I -37.14% -2.89% 6.80% 3.18% 3.30%
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 (PERFORMANCE GRAPH)
Morgan International International Stanley Equity, Equity, MSCI EAFE Class A Class I Index ------------- ------------- --------- 9/98 $100,000 $100,000 $100,000 9/99 137,861 137,496 130,954 9/00 143,588 142,847 135,117 9/01 99,298 98,665 96,562 9/02 83,616 83,983 81,567 9/03 99,431 98,462 102,781 9/04 120,053 118,683 125,477 9/05 151,661 149,379 157,843 9/06 179,712 176,563 188,087 9/07 222,057 217,608 234,864 9/08 139,976 136,784 163,215
(1) For the period ended September 30, 2008. 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. 2 SEI Institutional International Trust / Annual Report / September 30, 2008 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 -33.00% for the year ended September 30, 2008 as measured by the Morgan Stanley MSCI Emerging Markets Index. In recent years, emerging markets have experienced tremendous growth and economic expansion. This growth has been led by countries such as Brazil, Russia, India and China (BRIC). BRIC countries have benefited from an abundance of natural resources, increasing domestic consumption, strong demand for exports, and better government fiscal responsibility. In general, these economies have become financially stronger with higher sovereign cash surpluses over the last few years. Until May 2008, the emerging markets remained relatively de-coupled from the mounting issues in the developed markets. Rallies in the commodities markets boosted emerging market performance, but that resilience gave way by the end of the second quarter in 2008. Record high oil and food prices created inflationary pressures, global economic contagion began, and political conflict between Russia and Georgia heightened concerns in the region. In the third quarter alone, the Morgan Stanley MSCI Emerging Markets Index declined (-27%) in U.S. dollar terms, making it one of the worst quarters since the index was created in 1987. For the year ended September 30, 2008 all of the sectors in the Fund's benchmark delivered negative returns. Healthcare (-4%) and Consumer Staples (-19%) faired the best as investors moved towards more defensive positioning in the volatile market environment. Industrials (-48%) and Materials (-44%) had the steepest declines over fear that a global economic slowdown would reduce demand for exports. The Information Technology sector (-36%) was also affected by the economic slowdown, resulting in a muted outlook for many Information Technology companies. On a country level, all emerging markets declined on an absolute basis in the past year with China (-50%), Pakistan (-46%) and South Korea (-42%) being the largest detractors. Russia declined (-37%) as billions of dollars were ejected out of the country by foreign investors because of the rising conflict with Georgia. Latin America suffered a steep decline with almost half of its index concentrated in the Materials and Energy sectors. China was impacted by fears of slowing exports and the financial crisis. The Fund performed in line with the benchmark, returning -33.33% compared to -33.00% of the Morgan Stanley MSCI Emerging Markets Index. The defensive positioning of value managers such as The Boston Company Asset Management LLC and PanAgora Asset Management, Inc., which avoided high valuations and earnings at cyclical peaks, led to relative out performance of these sub-advisors. However, growth managers, such as AllianceBernstein L.P., struggled as investors preferred valuations based on 'known' historical metrics rather than forward looking growth estimates. Two manager changes took place in the Fund over the last 12 months. Emerging Markets Management LLC was terminated in July 2008 and Artisan Partners was funded in August 2008. Artisan Partners Limited Partnership ("Artisan") uses a fundamental research process that focuses on identifying companies that are priced at a discount relative to their estimate of sustainable earnings. Artisan also provides an expanded opportunity set to the fund by providing access to smaller growth opportunities such as Initial Public Offering's and investments in frontier markets. SEI Institutional International Trust / Annual Report / September 30, 2008 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2008 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 -33.33% 4.80% 15.54% 11.69% 4.72%
Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, versus the Morgan Stanley MSCI EAFE Emerging Markets Index (PERFORMANCE GRAPH)
Morgan Stanley Emerging MSCI Emerging Markets Equity Markets Fund Index -------------- -------------- 9/98 $100,000 $100,000 9/99 148,228 156,522 9/00 149,280 157,171 9/01 98,762 105,059 9/02 106,446 113,624 9/03 146,710 165,859 9/04 181,346 209,865 9/05 262,375 308,869 9/06 305,555 373,189 9/07 453,042 592,006 9/08 302,038 396,643
(1) For the period ended September 30, 2008. 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. 4 SEI Institutional International Trust /Annual Report /September 30, 2008 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 2.77% over the year ended September 30, 2008. The performance of the international bond markets during that time was marked by extreme volatility. Government bonds rallied as a result of weak economic data and relief from inflationary pressures, while central banks globally cut interest rates in union as unprecedented market volatility and stress pervaded the financial sector. Carry related bond and currency strategies performed poorly during this time and bond yields tended to drift downward given the central bank rate cuts. Markets became increasingly jittery in the third quarter, as financial companies failed and governments stepped in on numerous occasions to keep others solvent. The sub-prime woes of the U.S. spread to the global economy, and concerned investors demanded a vastly higher premium for additional risk. As a result, volatility surged to levels not seen before, and equities sold off significantly as investors sought safer assets such as government bonds. Inter-bank lending seized up 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. 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. Central bank liquidity interventions are slowly helping markets to stabilize and they were given further impetus as the U.S. Federal Reserve (Fed) slashed interest rates aggressively. Other central banks, which were hawkish on interest rates before the credit crisis, changed their policy and have also cut rates aggressively. In the U.S. bond market, a flight to quality propped up prices and pushed yields lower for relatively risk-free government securities, led by U.S. Treasuries. While yields fell sharply at the short end of the maturity spectrum, yields at the long end of the curve fell to a lesser degree, causing the yield curve to steepen considerably over the period. United Kingdom and European government bond markets also saw a flight to quality which drove short term yields lower, and steepening yield curves while swap spread and corporate credit spreads widened notably. The Fund underperformed its index, returning -2.89%. The main detractors from performance included the currency positioning of Record Currency Management Limited, who was 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, this detracted from performance. Long duration positioning by BlackRock Financial Management, Inc. and Fidelity International Investment Advisors (UK) Limited benefited the fund at various points throughout the year when global bond yields were falling. Curve steepeners were also a positive contribution to performance. The largest detractor was the overweight to spread products, notably Investment Grade Corporates, Mortgage-Backed Securities and European Asset-Backed Securities. SEI Institutional International Trust / Annual Report / September 30, 2008 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2008 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 -2.89% -0.76% 1.58% 2.39% 4.31%
Comparison of Change in the Value of a $100,000 Investment in the Internationial Fixed Income Fund, versus the Lehman Global Aggregate ex-U.S. Index (PERFORMANCE GRAPH)
Lehman Global International Aggregate Index, Fixed Income Fund ex-U.S. Index ----------------- ---------------- 9/98 $100,000 $100,000 9/99 98,644 102,316 9/00 89,196 108,884 9/01 92,014 119,282 9/02 100,015 126,184 9/03 117,072 131,207 9/04 125,768 135,261 9/05 129,553 144,549 9/06 127,423 149,192 9/07 130,398 154,098 9/08 126,625 158,360
(1) For the period ended September 30, 2008. 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. 6 SEI Institutional International Trust /Annual Report /September 30, 2008 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 a loss of 2.66% during the year ended September 30, 2008 with the market incurring heightened levels of volatility as the global financial crisis crushed investor sentiment and greatly reduced liquidity. EMD proved resilient in early 2008 despite rising inflation and inflationary pressures. Central banks have been challenged and began using various measures of capital controls to help fight the problem. The main contributors to rising inflation have been greater domestic demand in emerging markets, especially China. However, the failure and/or seizing of Wall Street banks by the government late in the period led investors to reduce their holdings of riskier assets over concerns of a global recession. As a result, demand for emerging markets assets by developed nations began to slow significantly though demand from within the asset class remained stable. During the period, EMD spreads over U.S. Treasuries widened 224 basis point to end at 449 basis points with the market yield ending the period at 8.17%. Technicals were favorable for most of the period as EMD managed to avoid the early part of the crisis. Fundamentals remained positive as country debt profiles continued to improve and rating agencies took notice. For the year ended September 30, 2008, EMD saw 11 upgrades to only 4 downgrades, signaling a fundamentally improving asset class. Unfortunately, as market confidence dropped due to the financial crisis, technicals took over and EMD became correlated with global equities in a massive sell-off. Risk-averse investors withdrew billions of dollars from the asset class in just a couple weeks, prompting further devaluation of assets. Commodity prices, though still somewhat supportive, continued to fall late in the year and the purchasing power squeeze on consumption from higher inflation continued to weigh on the asset class. Slowing growth has become the primary focus of central banks and policy makers while inflation appears to be peaking in some regions, particularly Europe. The Emerging Markets Debt Fund, Class A posted a loss of 5.71% for the year ended September 30, 2008. The Fund's overweight to Argentina was the largest detractor as various events significantly impacted performance. The election of Cristina Kirchner appeared to be positive as the market expected her to settle disputes with international creditors, and her new cabinet was expected to undertake significant policy changes. Unfortunately, continued manipulation of inflation data, cabinet resignations, and most recently the government's clash with local farmers over export taxes proved damaging to the country's outlook. Also hurting fund performance was an underweight to Lebanon where bonds returned 10.3% over the year. Fund managers remain underweight because yields remain relatively unattractive and the downside risks to the credit are greater given the SEI Institutional International Trust / Annual Report / September 30, 2008 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2008 country's geographic location and political instability. The latter was proven wrong this year as tensions between the Pro-West and Pro-Syrian governments were kept in check and the country's bonds benefited. Also hurting fund performance was security selection to local currency bonds. As the market became more concerned over the financial crisis and potential risks of a global recession, investors sold holdings of emerging market assets, rallying the dollar and wiping out all the gains in emerging markets bonds and year-to-date foreign currency. The Fund's selection of an off-benchmark corporate bond in Singapore was the largest contributor to Fund relative performance, returning 37% over the one year period. An underweight to Indonesia also helped as inflation concerns kept investors out of the credit. The political landscape has improved though tensions had existed between party leaders for some time. An underweight to Pakistan added to positive attribution as the country lost more than 11% when President Musharraf issued a state of emergency during a power struggle, realizing that his days as President could be coming to an end. Postponed elections led to more violence, and the assassination of former Prime Minister Benazir Bhutto created more uncertainty in the region. Also adding to relative performance was an underweight to Ecuador where poor fiscal policies, falling oil prices, and concerns over the discontinuation of servicing debt resulted in a devaluation of the country's bonds. 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 -5.71% 4.08% 8.93% 15.18% 9.83%
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 (PERFORMANCE GRAPH)
J.P. Morgan Emerging EMBI Markets Global Debt Fund Index --------- ----------- 9/98 $100,000 $100,000 9/99 131,153 123,209 9/00 167,965 148,914 9/01 175,844 160,957 9/02 179,626 171,838 9/03 267,916 221,992 9/04 305,354 246,594 9/05 364,395 280,112 9/06 396,013 301,014 9/07 435,721 322,669 9/08 410,827 314,089
(1) For the period ended September 30, 2008. Past performance is no indication of future performance. Class A Shares were offered beginning June 26, 1997. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 8 SEI Institutional International Trust / Annual Report / September 30, 2008 SCHEDULE OF INVESTMENTS International Equity Fund September 30, 2008 SECTOR WEIGHTINGS (UNAUDITED)+: (PERFORMANCE GRAPH) Financials 18.1% Mortgage-Backed Securities 14.3% Basic Materials 9.6% Energy 9.6% Industrials 8.6% Healthcare 6.5% Affiliated Partnership 5.7% Consumer Discretionary 5.6% Telecommunication Services 5.2% Utilities 4.6% Consumer Staples 4.5% Information Technology 3.8% U.S. Treasury Obligations 1.1% U.S. Government Agency Obligations 1.0% Asset-Backed Securities 0.8% Commercial Paper 0.6% Short-Term Investments 0.4%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- COMMON STOCK -- 87.7% AUSTRALIA -- 4.0% AGL Energy (A) 25,671 $ 283 Aquila Resources* (A) 400 3 Aristocrat Leisure (A) 29,642 155 Ausenco (A) 4,786 43 Australia & New Zealand Banking Group (A) (B) 337,090 5,198 AWB (A) 123,770 276 Babcock & Brown (A) (B) 28,888 47 Beach Petroleum (A) 25,000 18 BHP Billiton (A) 801,016 20,685 Billabong International (A) 13,303 148 BlueScope Steel (A) (B) 161,540 950 Boart Longyear Group (A) (B) 62,988 57 Campbell Brothers (A) 2,054 52 Centennial Coal (A) 266,931 789 CFS Retail Property Trust (A) (C) 16,100 29 Challenger Financial Services Group (A) (B) 294,431 580 Coca-Cola Amatil (A) (B) 36,425 243 Commonwealth Bank of Australia (A) 74,690 2,628 Computershare (A) (B) 77,129 582 CSL (A) 239,525 7,243 Dexus Property Group* (A) (C) 58,800 69 Downer EDI (A) 153,565 781 Felix Resources (A) 28,317 386 Flight Centre (A) 4,700 72 Fortescue Metals Group* (A) (B) 221,270 840 Foster's Group (A) 403,266 1,798 Goodman Fielder (A) (B) 709,197 803 Goodman Group (A) (B) (C) 263,089 530 Incitec Pivot 996,784 3,986 ING Industrial Fund (A) (B) (C) 519,909 658 JB Hi-Fi (A) 13,673 135 Leighton Holdings (A) (B) 117,260 3,603 Lion Nathan (A) 59,400 444
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Macquarie Airports (A) (B) 648,133 $ 1,422 Macquarie Group (A) (B) 12,841 395 Macquarie Infrastructure Group (A) (B) 1,425,633 2,698 Macquarie Office Trust (A) (B) (C) 78,858 50 Mirvac Group (A) (B) (C) 43,593 89 Mount Gibson Iron* (A) 165,600 220 National Australia Bank (A) (B) 247,432 4,985 Nufarm (A) (B) 47,301 578 OneSteel (A) (B) 279,818 1,033 Orica (A) 43,600 735 Origin Energy (A) 64,700 835 Pacific Brands (A) (B) 434,679 678 Paladin Energy* (A) 39,375 122 Portman* (A) 29,380 495 Rio Tinto (A) (B) 72,748 4,893 Santos (A) (B) 48,700 744 Seven Network (A) (B) 4,658 24 St. George Bank (A) 22,396 528 Suncorp-Metway (A) 6,808 52 TABCORP Holdings (A) (B) 108,883 714 Telstra (A) 1,310,029 4,387 Wesfarmers (A) (B) 47,640 1,103 Westfield Group (A) (B) (C) 134,190 1,835 Westpac Banking (A) (B) 182,983 3,237 Woodside Petroleum (A) (B) 66,873 2,693 Woolworths (A) 148,499 3,265 WorleyParsons (A) (B) 21,467 530 --------------- 92,454 --------------- AUSTRIA -- 0.4% Erste Group Bank (A) 7,005 348 Immoeast* (A) 172,627 435 IMMOFINANZ (A) (B) 40,164 142 OMV (A) 87,310 3,672 Verbund - Oesterreichische Elektrizitaetswirtschafts, Cl A (A) 12,290 754 Voestalpine (A) 120,426 3,755 --------------- 9,106 --------------- BELGIUM -- 0.9% Banque Nationale de Belgique (A) 3 11 Bekaert (A) 6,291 838 Colruyt (A) 4,190 1,049 Delhaize Group (A) 25,156 1,458 Dexia (A) (B) 110,759 1,207 Elia System Operator (A) 506 19 Euronav (A) 23,040 636 Fortis (A) (B) 423,389 2,610 Groupe Bruxelles Lambert (A) 16,354 1,408 KBC Groep (A) 12,934 1,123 Solvay (A) 68,200 8,353 Tessenderlo Chemie (A) 1,777 89
SEI Institutional International Trust / Annual Report / September 30, 2008 9 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- UCB (A) 21,307 $ 755 Umicore (A) 27,670 853 --------------- 20,409 --------------- BERMUDA -- 0.0% Seadrill (A) 32,350 666 --------------- BRAZIL -- 0.3% Banco do Brasil 312,000 3,620 Gerdau ADR 38,750 430 Unibanco - Uniao de Bancos Brasileiros GDR 18,180 1,835 --------------- 5,885 --------------- CANADA -- 2.6% Agrium 19,260 1,078 Bank of Nova Scotia 20,110 908 Brookfield Asset Management, Cl A 71,260 1,923 Canadian Imperial Bank of Commerce 61,390 3,527 Eastern Platinum 737,850 680 EnCana (B) 185,920 12,125 Fairfax Financial Holdings 3,800 1,219 Goldcorp 220,480 6,974 Imperial Oil 32,600 1,397 Inmet Mining 13,400 625 Methanex (B) 45,800 898 National Bank of Canada 52,580 2,406 Nexen 107,071 2,487 Nova Chemicals 49,900 1,098 Petro-Canada 154,710 5,151 Potash Corp of Saskatchewan 38,710 5,110 Potash Saskatchewan 5,720 742 Royal Bank of Canada 74,400 3,534 Sun Life Financial 93,460 3,270 Teck Cominco, Cl B 50,800 1,444 TELUS, Cl A 645 23 Toronto-Dominion Bank 84,970 5,121 --------------- 61,740 --------------- CHINA -- 0.6% Bank of Communications (A) (B) 4,540,000 4,135 China COSCO Holdings (A) 1,761,000 1,605 China Life Insurance, Cl H (A) 1,462,900 5,450 China Petroleum & Chemical (A) 3,519,710 2,778 Foxconn International Holdings* (A) 459,390 206 --------------- 14,174 --------------- CZECH REPUBLIC -- 0.2% CEZ (A) 82,350 5,109 ---------------
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- DENMARK -- 0.8% A P Moller - Maersk, Cl A (A) 590 $ 5,078 Carlsberg, Cl B (A) 1,146 87 D/S Norden (A) 8,323 400 Danske Bank (A) 104,732 2,516 East Asiatic (A) 8,638 362 FLSmidth (A) 5,200 264 Novo Nordisk, Cl B (A) 38,110 1,971 Sydbank (A) 21,108 632 Vestas Wind Systems* (A) 95,602 8,326 --------------- 19,636 --------------- FINLAND -- 1.0% Fortum (A) 53,438 1,789 Kone, Cl B (A) 4,124 112 Konecranes (A) 48,944 1,168 Metso (A) 55,031 1,347 Nokia (A) 420,389 7,823 Nokian Renkaat (A) 35,254 846 Outokumpu (A) 203,510 3,235 Rautaruukki (A) 19,601 391 Sampo, Cl A (A) 94,203 2,139 Stora Enso, Cl R (A) 165,200 1,611 UPM-Kymmene (A) 70,163 1,092 Wartsila, Cl B (A) 34,847 1,465 YIT (A) 3,383 35 --------------- 23,053 --------------- FRANCE -- 8.6% Air France-KLM (A) 21,900 500 Alstom (A) 35,893 2,719 Arkema (A) 33,500 1,234 Atos Origin (A) 600 26 AXA (A) 113,648 3,712 BNP Paribas (A) 202,027 19,242 Bouygues (A) 2,615 118 Bureau Veritas (A) 17,224 879 Capital Gemini (A) 41,884 1,974 Carrefour (A) 4,649 219 Casino Guichard Perrachon (A) 34,365 3,059 Christian Dior (A) 8,233 623 Cie de Saint-Gobain (A) (B) 23,096 1,192 CNP Assurances (A) 21,715 2,447 Compagnie Generale des Etablissements Michelin, Cl B (A) 55,000 3,555 Credit Agricole (A) 281,988 5,419 Eramet (A) 3,530 1,349 Eutelsat Communications (A) 27,677 735 France Telecom (A) 784,065 21,944 GDF Suez (A) 198,885 10,324 Gemalto* (A) 58,038 2,089 Lafarge (A) 11,190 1,176 Lagardere SCA (A) 64,905 2,919
10 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Nexans (A) 1,772 $ 157 Peugeot (A) 101,364 3,806 PPR (A) 5,375 480 Rallye (A) 5,480 160 Renault (A) 119,079 7,572 Sanofi-Aventis (A) 373,046 24,471 Schneider Electric (A) 32,054 2,746 SCOR (A) 40,119 778 Sequana Capital (A) (B) 1,459 21 Societe Generale (A) 108,213 9,699 Sodexho Alliance (A) 3,900 230 Suez (A) 20 1 Suez Environnement 158,409 3,892 Technip (A) 69,200 3,880 Total (A) 671,283 40,689 UBISOFT Entertainment* (A) 13,240 919 Unibail (A) (B) (C) 13,315 2,688 Valeo (A) 7,779 235 Vallourec (A) 16,344 3,519 Vilmorin & Cie (A) 853 112 Vivendi (A) 153,090 4,789 Wendel (A) 21,949 1,747 --------------- 200,045 --------------- GERMANY -- 8.8% Allianz (A) 101,616 13,900 BASF (A) 521,434 24,805 Bayer (A) (B) 255,114 18,642 Bilfinger Berger (A) 10,067 523 Celesio (A) 42,210 1,838 Commerzbank (A) 82,433 1,219 DaimlerChrysler (A) 50,916 2,522 Deutsche Bank (A) 187,637 13,393 Deutsche Boerse (A) 1,222 112 Deutsche Lufthansa (A) 311,926 6,084 Deutsche Post (A) (B) 313,450 6,525 Deutsche Telekom (A) 509,345 7,718 E.ON (A) 593,476 29,807 Fresenius Medical Care (A) (B) 158,250 8,174 GEA Group (A) 45,380 876 Hannover Rueckversicherung (A) 22,758 831 Henkel KGaA (A) 61,842 1,892 Hypo Real Estate Holding (A) 22,033 130 Infineon Technologies* (A) 435,000 2,410 K+S (A) 96,053 6,645 KSB (A) 239 129 Linde (A) 14,581 1,554 MAN (A) 44,021 2,957 Muenchener Rueckversicherungs (A) 62,057 9,340 MVV Energie (A) 1,364 64 Norddeutsche Affinerie (A) 3,251 137 Q-Cells* (A) 32,260 2,736 Rheinmetall (A) 1,003 55
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- RWE (A) 106,341 $ 10,116 Salzgitter (A) 28,536 2,879 SAP (A) 199,756 10,615 SGL Carbon* (A) 127,200 4,933 Siemens (A) 30,649 2,852 Suedzucker (A) (B) 77,688 1,128 ThyssenKrupp (A) (B) 173,306 5,192 TUI (A) (B) 143,748 2,369 --------------- 205,102 --------------- GREECE -- 0.3% Alpha Bank AE (A) 71,700 1,557 National Bank of Greece (A) 51,608 2,087 OPAP (A) 81,952 2,510 Public Power (A) 44,730 689 --------------- 6,843 --------------- HONG KONG -- 2.2% Allied Properties HK (A) 308,000 40 BOC Hong Kong Holdings (A) 1,950,390 3,487 Cheung Kong Holdings (A) 108,000 1,224 China Mobile (A) 851,400 8,530 China Netcom Group (A) 290,500 643 Chinese Estates Holdings (A) 54,000 67 CITIC International Financial Holdings (A) 78,000 52 Citic Pacific (A) 283,820 830 CLP Holdings (A) 207,000 1,670 Dairy Farm International Holdings (A) 1,800 9 Emperor International Holdings (A) 175,680 36 Esprit Holdings (A) 382,400 2,370 First Pacific (A) 98,000 52 Great Eagle Holdings (A) 105,460 235 Guoco Group (A) 55,000 462 Hang Seng Bank (A) 209,450 3,960 Henderson Land Development (A) 257,250 1,147 Hongkong & Shanghai Hotels (A) 100,500 98 HongKong Electric Holdings (A) 551,700 3,465 Hongkong Land Holdings (A) 871,000 2,609 Hopewell Highway Infrastructure (A) 325,210 226 Hopewell Holdings (A) 162,000 588 Hutchison Telecommunications International* (A) 543,090 606 Hutchison Whampoa (A) 429,300 3,297 Hysan Development (A) 73,000 190 Jardine Matheson Holdings (A) 48,000 1,254 Jardine Strategic Holdings (A) 49,000 697 Johnson Electric Holdings (A) 633,580 238 Kowloon Development (A) 210,080 188 Miramar Hotel & Investment (A) 6,000 7 MTR (A) 320,000 945 New World Development (A) 140,000 156 Noble Group (A) 1,105,000 1,057 NWS Holdings (A) 154,040 276
SEI Institutional International Trust / Annual Report / September 30, 2008 11 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Orient Overseas International (A) 72,500 $ 186 Pacific Andes Holdings (A) 6,000 1 Pacific Basin Shipping (A) 470,000 391 Pacific Century Premium Developments (A) 540,000 168 Road King Infrastructure (A) 8,000 5 SEA Holdings (E) 38,000 21 Sinolink Worldwide Holdings (A) 1,140,000 110 SRE Group (A) 567,167 44 Sun Hung Kai (A) 92,000 42 Sun Hung Kai Properties (A) 424,500 4,375 Texwinca Holdings (A) 16,000 13 Transport International Holdings (A) 8,800 25 Truly International Holdings (A) 16,000 13 VTech Holdings (A) 6,000 35 Wharf Holdings (A) 1,249,280 3,569 Wheelock (A) 369,850 671 Wing Hang Bank (A) 11,000 84 Wing On International (A) 22,000 31 Yue Yuen Industrial Holdings (A) 208,190 569 --------------- 51,064 --------------- INDIA -- 0.2% Reliance Industries GDR (A) (D) 55,770 4,620 --------------- INDONESIA -- 0.1% Bumi Resources (A) 7,467,500 2,483 --------------- IRELAND -- 0.0% DCC (A) 30,870 593 Irish Life & Permanent (A) 60,483 423 --------------- 1,016 --------------- ISRAEL -- 0.3% Teva Pharmaceutical Industries ADR 174,490 7,990 --------------- ITALY -- 3.1% ACEA (A) 58,990 843 Banco Popolare Scarl (A) (B) 246,930 3,827 Enel (A) 1,224,726 10,201 ENI (A) (B) 768,771 20,331 Fiat (A) 143,720 1,927 Finmeccanica (A) 47,525 1,028 Fondiaria-Sai (A) 23,579 555 IFIL - Investments (A) (B) 278,932 1,262 Intesa Sanpaolo (A) 972,772 5,228 Iride (A) 32,921 72 Italcementi (A) (B) 33,446 370 Mediobanca (A) 77,150 1,045 Prysmian (A) 30,728 603 Telecom Italia (A) 9,136,382 12,717 Terna Rete Elettrica Nazionale (A) 269,090 987
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- UniCredito Italiano (A) 1,125,368 $ 4,199 Unione di Banche Italiane SCPA (A) 221,610 4,844 Unipol Gruppo Finanziario (A) 618,546 1,324 --------------- 71,363 --------------- JAPAN -- 17.5% 77 Bank (A) 99,000 500 Acom (A) (B) 16,620 569 ADEKA (A) 3,700 23 Aeon (A) 94,800 970 Aichi Bank (A) 1,200 83 Aida Engineering (A) (B) 6,000 25 Aiful (A) 10,750 83 Aisan Industry (A) 7,500 45 Aisin Seiki (A) 28,100 689 Akita Bank (A) 20,000 77 Aloka (A) 3,700 37 Amada (A) 97,000 534 Amano (A) (B) 3,000 24 AOKI Holdings (A) 3,800 39 Aoyama Trading (A) 6,800 91 Aozora Bank (A) 38,000 60 Asahi Breweries (A) 182,400 3,203 Asahi Glass (A) 202,000 1,779 Asahi Kasei (A) 196,000 826 Astellas Pharma (A) 80,200 3,376 Bank of Kyoto (A) 168,000 1,718 Bank of Nagoya (A) 27,000 149 Belluna (A) (B) 5,200 24 Benesse (A) 27,200 1,113 BML (A) 100 2 Bridgestone (A) 86,800 1,646 Calsonic Kansei (A) 38,000 109 Canon Electronics (A) (B) 6,000 97 Canon Finetech (A) 10,000 105 Cawachi (A) 11,300 215 Central Japan Railway (A) 305 2,881 Century Leasing System (A) 100 1 Chiba Bank (A) 108,000 567 Chiba Kogyo Bank* (A) 6,200 71 Chubu Electric Power (A) 57,000 1,346 Chudenko (A) (B) 8,000 120 Circle K Sunkus (A) 30,500 507 CKD (A) 5,800 25 Coca-Cola Central Japan (A) 6 36 Coca-Cola West Holdings (A) 26,300 595 Corona (A) 2,000 21 Cosmo Oil (A) 71,000 169 Credit Saison (A) 56,400 929 CyberAgent (A) 630 597 Daihatsu Motor (A) 95,000 1,041 Daiichikosho (A) 3,000 31 Dainippon Ink and Chemicals (A) 210,000 398
12 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Dainippon Sumitomo Pharma (A) 60,000 $ 492 Daishi Bank (A) 34,000 135 daVinci Holdings* (A) 707 165 DCM Japan Holdings (A) (B) 20,400 144 Dena (A) (B) 60 242 Denki Kagaku Kogyo (A) 57,000 150 Denso (A) 77,800 1,912 Dentsu (A) (B) 123 248 East Japan Railway (A) 421 3,145 Ehime Bank (A) 24,000 67 Eighteenth Bank (A) 20,000 53 Electric Power Development (A) 46,600 1,508 FamilyMart (A) 102,900 4,362 Fast Retailing (A) (B) 41,000 4,188 Fuji Electric Holdings (A) 132,000 319 Fuji Fire & Marine Insurance (A) 6,000 14 Fuji Heavy Industries (A) 76,000 386 Fuji Machine Manufacturing (A) 3,300 40 Fuji Media Holdings (A) 357 461 Fuji Oil (A) 5,600 64 Fujikura (A) 14,000 55 Fujitsu (A) 1,287,000 7,248 Fujitsu Business Systems (A) 100 1 Fukuda Denshi (A) 300 6 Fukuoka Financial Group (A) 143,000 527 Furukawa Electric (A) 354,000 1,566 Furuno Electric (A) 4,400 38 Futaba (A) 3,800 67 Gunma Bank (A) 5,000 29 H2O Retailing (A) 3,000 18 Hachijuni Bank (A) 35,000 186 Hankyu Hanshin Holdings (A) 11,000 51 Heiwado (A) 12,200 175 Higashi-Nippon Bank (A) 25,000 68 Higo Bank (A) 22,000 127 HI-LEX CORP (A) 4,600 49 Hino Motors (A) 85,000 344 Hisamitsu Pharmaceutical (A) 27,500 1,206 Hitachi 1,115,000 7,541 Hitachi Capital (A) 14,700 179 Hitachi Chemical (A) 30,100 405 Hitachi Construction Machinery (A) (B) 44,200 1,094 Hitachi Koki (A) 28,100 287 Hitachi Maxell (A) 12,900 139 Hitachi Metals (A) 116,000 1,389 Hitachi Software Engineering (A) 8,200 145 Hitachi Systems & Services (A) 3,300 44 Hokkaido Electric Power (A) 35,500 743 Hokuetsu Bank (A) 35,000 73 Honda Motor (A) 327,500 9,952 Hosiden (A) (B) 8,000 115 Hyakugo Bank (A) 35,000 199 Hyakujushi Bank (A) 25,000 140 Inpex Holdings (A) 446 3,797
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Isetan Mitsukoshi Holdings (A) 60,600 $ 712 Isuzu Motors (A) 1,079,000 3,004 IT Holdings* (A) 17,300 255 Itochu (A) 640,000 3,862 Itochu Enex (A) 10,400 67 IWATANI CORP (A) (B) 33,000 78 Izumiya (A) 20,000 109 Japan Aviation Electronics Industry (A) 16,000 76 Japan Petroleum Exploration (A) 8,500 437 Japan Steel Works (A) 477,450 5,947 Japan Tobacco (A) 973 3,674 JFE Holdings (A) 256,000 7,954 JGC (A) 34,000 546 JS Group (A) 38,200 482 JTEKT (A) 49,200 562 Juroku Bank (A) 49,000 188 Kagawa Bank (A) 8,000 38 Kajima (A) 233,000 705 Kamigumi (A) 81,000 610 Kaneka (A) 58,000 321 Kanematsu* (A) 7,000 7 Kansai Electric Power (A) 104,800 2,336 Kansai Paint (A) 34,000 211 Kanto Natural Gas Development (A) 8,000 44 Kao (A) 80,000 2,149 Kasumi (A) 9,000 49 Kawasaki Heavy Industries (A) 57,000 122 Kawasaki Kisen Kaisha (A) 198,000 1,227 KDDI (A) 581 3,297 Keisei Electric Railway (A) 60,000 331 Keiyo Bank (A) 36,000 173 Kinden (A) 40,000 382 Kirin Brewery (A) 286,000 3,765 Kissei Pharmaceutical (A) (B) 9,000 196 Kobe Steel (A) 419,000 845 Koito Manufacturing (A) 65,000 609 Komatsu (A) (B) 22,800 374 Komeri (A) 3,500 99 Komori (A) 18,500 249 Konami (A) 27,900 703 Konica Minolta Holdings (A) 11,500 132 Kose (A) 7,600 212 Kuraray (A) 64,500 642 Kurita Water Industries (A) 41,000 962 Kuroda Electric (A) 4,000 38 Kyorin (A) 9,000 106 Kyowa Hakko Kogyo (A) 29,000 306 Kyudenko (A) 1,000 6 Lawson (A) 59,400 2,744 Leopalace21 (A) 57,500 445 Lintec (A) 9,800 161 Lion (A) 26,000 139 Mabuchi Motor (A) 3,300 150 Maeda (A) 20,000 62
SEI Institutional International Trust / Annual Report / September 30, 2008 13 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Makino Milling Machine (A) 5,000 $ 20 Makita (A) 44,700 917 Mandom (A) 3,200 85 Marubeni (A) 585,000 2,657 Marui (A) 13,000 97 Maruichi Steel Tube (A) 4,700 129 Matsushita Electric Industrial (A) 512,000 8,842 Mazda Motor (A) 558,000 2,277 Meiji Seika Kaisha (A) (B) 48,000 220 Michinoku Bank (A) 2,000 4 Micronics Japan (A) 2,500 36 Mie Bank (A) 18,000 73 Mikuni Coca-Cola Bottling (A) 2,900 25 Millea Holdings (A) 96,400 3,546 Minato Bank (A) (B) 37,000 52 Minebea (A) 69,000 259 Ministop (A) 200 4 Mitsubishi (A) 785,800 16,421 Mitsubishi Chemical Holdings (A) 1,117,500 5,917 Mitsubishi Electric (A) (B) 291,000 1,967 Mitsubishi Gas Chemical (A) 220,000 1,066 Mitsubishi Heavy Industries (A) (B) 315,000 1,371 Mitsubishi Materials (A) 163,000 513 Mitsubishi Rayon (A) 93,000 231 Mitsubishi UFJ Financial Group (A) 1,635,400 14,287 Mitsui (A) 607,000 7,549 Mitsui Chemicals (A) 702,000 3,100 Mitsui Fudosan (A) 73,000 1,413 Mitsui Home (A) 9,000 43 Mitsui OSK Lines (A) 917,000 7,982 Mitsui Sumitomo Insurance Group Holdings (A) 50,100 1,709 Mitsui Trust Holdings (A) 545,000 2,948 Mitsumi Electric (A) 23,500 598 Mizuho Financial Group (A) 150 657 Morinaga Milk Industry (A) 44,000 126 Murata Manufacturing (A) 26,700 1,080 N E Chemcat (A) 2,000 32 Nachi-Fujikoshi (A) 16,000 43 Nafco (A) 3,700 50 Nagase (A) 17,000 159 Namco Bandai Holdings (A) 155,700 1,715 NEC (A) 247,000 1,058 NEC Fielding (A) 7,400 71 NGK Spark Plug (A) 13,000 127 NHK Spring (A) 14,000 78 Nichicon (A) 5,800 40 Nichi-iko Pharmaceutical (A) 2,000 49 Nichirei (A) 42,000 224 Nikon (A) (B) 94,000 2,259 Nintendo (A) 45,275 19,239 Nippo (A) 14,000 79 Nippon Beet Sugar Manufacturing (A) 20,000 41 Nippon Chemi-Con (A) 17,000 55
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Nippon Electric Glass (A) 231,000 $ 2,096 Nippon Konpo Unyu Soko (A) 4,000 37 Nippon Meat Packers (A) 24,000 365 Nippon Metal Industry (A) (B) 15,000 28 Nippon Mining Holdings (A) 631,000 2,546 Nippon Oil (A) 313,000 1,579 Nippon Sheet Glass (A) 206,000 1,069 Nippon Shinyaku (A) 10,000 95 Nippon Shokubai (A) 23,000 148 Nippon Steel (A) 745,000 2,818 Nippon Steel Trading (A) 12,000 26 Nippon Telegraph & Telephone (A) 4,581 20,484 Nippon Thompson (A) 9,000 38 Nippon Yusen (A) 604,000 3,944 Nipro (A) 1,000 17 Nishimatsu Construction (A) 29,000 67 Nishi-Nippon City Bank (A) 149,000 373 Nissan Chemical Industries (A) 1,000 9 Nissan Motor (A) (B) 1,477,600 10,009 Nissan Shatai (A) 21,000 141 Nisshin Oillio Group (A) 22,000 119 Nisshin Seifun Group (A) 21,500 290 Nisshin Steel (A) 161,000 312 Nitto Denko (A) 27,000 688 Nitto Kogyo (A) 4,100 30 Nomura Real Estate Holdings (A) (B) 38,700 923 Noritake (A) (B) 13,000 43 NSK (A) 45,000 260 NTT DoCoMo (A) (B) 1,838 2,947 Oita Bank (A) 18,000 95 Oki Electric Industry (A) (B) 878,000 927 Okinawa Cellular Telephone (A) 6 9 Omron (A) 39,900 620 Onward Holdings (A) 53,000 555 ORIX (A) 39,100 4,904 Pacific Metals (A) (B) 7,000 51 PanaHome (A) 1,000 6 Promise (A) 6,950 135 QP (A) 24,900 232 Rakuten (A) 11,478 6,488 Resona Holdings (A) (B) 1,217 1,645 Ricoh (A) 63,000 887 Risa Partners (A) (B) 27 22 Riso Kagaku (A) 1,400 16 Rohm (A) 12,200 672 Roland (A) 2,200 28 Roland DG (A) 900 17 Ryobi (A) 20,000 54 Sakai Chemical Industry (A) 6,000 16 San-In Godo Bank (A) 20,000 155 Sanki Engineering (A) (B) 15,000 104 Sankyo (A) 31,100 1,581 Sankyu (A) 7,000 25 Sanwa Shutter (A) 76,000 288
14 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Sanyo Chemical Industries (A) 1,000 $ 5 Sapporo Hokuyo Holdings (A) 120 602 Sazaby League (A) 1,700 22 Seiko Epson (A) (B) 36,200 843 Seino Transportation (A) 26,000 123 Senshukai (A) 6,400 42 Seven & I Holdings (A) 15,500 446 Seven Bank (A) 240 641 SFCG (A) (B) 4,350 198 Sharp (A) 437,000 4,784 Shimadzu (A) 64,000 520 Shimamura (A) 3,900 262 Shimano (A) 24,800 855 Shin-Etsu Chemical (A) 10,400 495 Shin-Etsu Polymer (A) (B) 10,700 53 Shionogi (A) 51,000 1,035 Shiseido (A) 63,000 1,413 Showa (A) 10,300 63 Showa Shell Sekiyu (A) 48,100 469 Sintokogio (A) 7,100 45 Sojitz (A) 222,800 517 Sompo Japan Insurance (A) 114,000 969 Sony (A) 39,500 1,220 Sony Financial Holdings (A) 80 316 SRI Sports (A) 15 14 Stanley Electric (A) 7,300 107 Sumisho Computer Systems (A) 3,400 52 Sumitomo (A) 81,800 764 Sumitomo Chemical (A) 198,000 876 Sumitomo Electric Industries (A) (B) 90,580 988 Sumitomo Metal Mining (A) 297,000 2,982 Sumitomo Mitsui Financial Group (A) 1,734 10,891 Sumitomo Rubber Industries (A) 28,000 250 Sumitomo Trust & Banking (A) (B) 220,000 1,468 Suruga Bank (A) 120,000 1,399 Suzuken (A) 21,900 667 Suzuki Motor (A) (B) 61,400 1,140 T&D Holdings (A) 57,000 3,016 Taisho Pharmaceutical (A) 25,000 497 Takashimaya (A) 45,000 393 Takata (A) 1,800 25 Takeda Pharmaceutical (A) (B) 87,700 4,424 Takefuji (A) (B) 66,040 861 Takeuchi Manufacturing (A) 1,400 19 Tanabe Seiyaku (A) 159,000 2,214 Teijin (A) 174,000 524 Terumo (A) 6,800 355 Toagosei (A) 17,000 43 Tobu Railway (A) 102,000 496 Tochigi Bank (A) 32,000 171 Toenec (A) (B) 4,000 20 Toho Bank (A) 24,000 94 Tohoku Electric Power (A) 62,000 1,335 Tokai Rika (A) 14,800 188
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Tokuyama (A) 45,000 $ 262 Tokyo Electric Power (A) 264,100 6,510 Tokyo Style (A) 4,000 34 Toppan Printing (A) 224,000 1,750 Topre (A) 4,600 32 Topy Industries (A) 29,000 80 Toray Industries (A) 13,000 61 Toshiba (A) 1,380,000 6,029 Toshiba TEC (A) 38,000 150 Tosoh (A) 131,000 387 Toyo Seikan Kaisha (A) 34,500 531 Toyo Suisan Kaisha (A) 6,000 152 Toyoda Gosei (A) 11,000 187 Toyota Industries (A) 46,400 1,173 Toyota Motor (A) 333,400 14,279 TS Tech (A) 3,800 37 TV Asahi (A) 122 171 Ube Industries (A) 72,000 195 Unicharm (A) 800 62 Unipres (A) 3,600 36 UNY (A) 49,000 500 Valor (A) (B) 6,800 53 West Japan Railway (A) 226 970 Yachiyo Bank (A) 23 51 Yamaguchi Financial Group (A) 1,000 12 Yamaha Motor (A) 45,000 616 Yamanashi Chuo Bank (A) 25,000 124 Yamatake (A) 1,400 23 Yamato Kogyo (A) 16,200 567 Yamazaki Baking (A) 54,000 656 Yaskawa Electric (A) 16,000 91 Yodogawa Steel Works (A) 14,000 63 Yokogawa Electric (A) 43,400 276 Yurtec (A) 12,000 50 Yusen Air & Sea Service (A) 2,700 35 Zeon (A) 32,000 112 --------------- 409,645 --------------- JERSEY -- 0.0% Atrium European Real Estate* (A) 13,083 98 --------------- LUXEMBOURG -- 0.8% ArcelorMittal 117,684 5,944 ArcelorMittal (A) 219,993 11,119 Millicom International Cellular (A) 5,250 360 Oriflame Cosmetics (A) 3,652 168 --------------- 17,591 --------------- MAURITIUS -- 0.0% Golden Agri-Resources (SGD) (A) 1,089,000 244 --------------- MEXICO -- 0.2% Fomento Economico Mexicano ADR 96,795 3,692 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 15 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- NETHERLANDS -- 3.5% Aegon (A) (B) 119,811 $ 1,058 Akzo Nobel (A) 102,737 4,921 Boskalis Westminster (A) 29,319 1,387 European Aeronautic Defence and Space (A) (B) 148,428 2,527 Fugro (A) 20,700 1,220 Heineken Holding (A) 16,114 631 ING Groep (A) 563,339 12,050 Koninklijke Ahold (A) 367,411 4,235 Koninklijke DSM (A) (B) 148,495 7,008 Koninklijke Philips Electronics (A) 3,079 83 Koninklijke Vopak (A) 17,090 802 Nutreco Holding (A) 5,963 280 Reed Elsevier (A) 92,529 1,370 Royal Dutch Shell, Cl A (A) (B) (GBP) 178,464 5,167 Royal Dutch Shell, Cl A (A) (B) 753,749 22,157 Royal Dutch Shell, Cl B (A) 497,154 14,002 Royal KPN (A) 156,134 2,250 SNS Reaal (A) 2,476 28 TNT (A) 4,324 120 Tognum (A) 46,191 924 --------------- 82,220 --------------- NEW ZEALAND -- 0.0% Fisher & Paykel Healthcare (A) 32,672 65 Fletcher Building (A) 43,200 195 New Zealand Oil & Gas (A) 28,200 24 Vector (A) 169,030 238 Warehouse Group (A) 2,700 6 --------------- 528 --------------- NORWAY -- 0.9% DnB (A) 290,474 2,239 Norsk Hydro (A) 467,160 3,141 Petroleum Geo-Services* (A) 35,666 468 Statoil (A) 517,377 12,217 Yara International (A) 74,543 2,636 --------------- 20,701 --------------- PAPUA NEW GUINEA -- 0.0% Oil Search (A) (B) 17,800 80 --------------- PORTUGAL -- 0.3% Banco Espirito Santo (A) 19,616 243 Energias de Portugal (A) 720,610 3,017 Jeronimo Martins SGPS (A) 141,101 1,201 Portugal Telecom SGPS (A) 128,570 1,290 --------------- 5,751 ---------------
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- RUSSIA -- 0.5% LUKOIL ADR 63,270 $ 3,713 MMC Norilsk Nickel ADR (A) 159,000 2,221 OAO Gazprom ADR (A) 211,080 6,745 --------------- 12,679 --------------- SINGAPORE -- 0.6% ComfortDelgro (A) 442,000 468 CWT (A) 9,000 3 DBS Group Holdings (A) 94,000 1,126 Fraser and Neave (A) 13,000 33 Haw Par (A) 28,000 92 Hong Leong Asia (A) 75,000 49 Hotel Plaza (A) 3,000 3 Jardine Cycle & Carriage (A) 35,000 387 K1 Ventures (A) 329,000 52 Keppel (A) 146,000 811 Metro Holdings (A) 104,000 37 NatSteel (A) (E) 36,000 31 Neptune Orient Lines (A) 204,000 262 OM Holdings (A) 2,800 4 Oversea-Chinese Banking (A) 411,000 2,086 SembCorp Industries (A) 234,000 539 Singapore Airlines (A) 40,140 405 Singapore Petroleum (A) 159,000 519 Singapore Technologies Engineering (A) 284,000 542 Singapore Telecommunications (A) 15,000 34 SP Chemicals (A) 202,500 100 United Overseas Bank (A) 506,000 6,079 UOB-Kay Hian Holdings (A) 140,000 124 Wilmar International (A) (B) 719,000 1,281 Yanlord Land Group (A) (B) 133,000 88 --------------- 15,155 --------------- SOUTH AFRICA -- 0.3% Sanlam (A) 745,380 1,605 Sasol (A) 121,150 5,173 Standard Bank Group (A) 72,623 835 --------------- 7,613 --------------- SOUTH KOREA -- 0.2% Honam Petrochemical (A) 23,600 1,360 Hynix Semiconductor* (A) 32,400 537 Hyundai Mobis (A) 16,270 1,260 Industrial Bank of Korea (A) 49,730 602 Kookmin Bank (A) 18,900 828 Samsung Electronics (A) 2,490 1,141 --------------- 5,728 ---------------
16 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- SPAIN -- 3.5% ACS Actividades de Construccion y Servicios (A) 40,117 $ 1,620 Banco Bilbao Vizcaya Argentaria (A) 302,141 4,875 Banco Espanol de Credito (A) (B) 1,927 26 Banco Santander Central Hispano (A) 1,503,836 22,499 Cementos Portland Valderrivas (A) (B) 2,746 113 Financiera Alba (A) 4,460 184 Gas Natural SDG (A) 232,451 8,609 Grifols (A) 55,743 1,421 Grupo Catalana Occidente (A) 1,202 25 Iberdrola (A) 747,105 7,573 Iberdrola Renovables* (A) 66,198 279 Mapfre (A) 638,518 2,785 Promotora de Informaciones (A) 11,723 79 Repsol (A) 422,355 12,489 Sacyr Vallehermoso (A) (B) 9,374 155 Telefonica (A) 750,823 17,813 Union Fenosa (A) 11,554 282 --------------- 80,827 --------------- SWEDEN -- 1.7% Alfa Laval (A) 128,100 1,316 Atlas Copco, Cl A (A) 114,000 1,286 Atlas Copco, Cl B (A) 15,000 150 Elekta, Cl B (A) (B) 17,172 291 Eniro (A) 29,070 102 Getinge, Cl B (A) 391 8 Hennes & Mauritz, Cl B (A) 30,345 1,234 Investor, Cl B (A) 223,070 4,148 NCC, Cl B (A) 7,187 71 Nordea Bank (A) 768,655 9,113 Ratos, Cl B (A) 6,300 143 Saab, Cl B (A) 37,294 570 Scania, Cl B (A) 41,200 504 Securitas, Cl B (A) 112,465 1,258 Skandinaviska Enskilda Banken, Cl A (A) 96,046 1,488 Skanska, Cl B (A) 131,006 1,481 SKF, Cl B (A) 121,291 1,539 Svenska Cellulosa, Cl A (A) (B) 8,821 91 Svenska Cellulosa, Cl B (A) 235,840 2,481 Svenska Handelsbanken, Cl A (A) 12,788 284 Swedbank (A) 110,470 1,434 Swedish Match (A) 4,802 83 Tele2, Cl B (A) 100,800 1,142 Telefonaktiebolaget LM Ericsson, Cl B (A) 628,000 5,922 Trelleborg, Cl B (A) 25,426 352 Volvo, Cl B (A) 357,500 3,207 --------------- 39,698 --------------- SWITZERLAND -- 7.9% ABB (A) 571,821 11,110 Actelion* (A) 16,640 860
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Adecco (A) 50,190 $ 2,186 Baloise Holding (A) 27,029 1,850 Bobst Group (A) 1,843 95 Bucher Industries (A) 2,362 318 Clariant (A) 54,000 527 Compagnie Financiere Richemont, Cl A (A) 100,680 4,460 Credit Suisse Group (A) 286,864 13,432 Elektrizitaets-Gesellschaft Laufenburg (A) 591 661 Galenica (A) 410 147 Geberit (A) 2,652 326 Helvetia Holding (A) 2,921 734 Inficon Holding (A) 1,148 128 Kuoni Reisen Holding (A) 253 98 Lindt & Spruengli (A) 320 782 Logitech International* (A) 14,374 329 Lonza Group (A) 1,442 181 Nestle (A) 613,613 26,589 Novartis (A) 603,654 31,866 Pargesa Holding (A) 1,597 138 Petroplus Holdings (A) 4,361 167 Roche Holding (A) 89,542 14,054 Romande Energie Holding (A) 12 27 Schindler Holding (A) 22,634 1,389 Schmolz + Bickenbach (A) 9,718 379 Schweizerische National-Versicherungs- Gesellschaft (A) 101 62 Sonova Holding (A) 18,646 1,219 STMicroelectronics (A) (B) 103,691 1,049 Straumann Holding (A) 951 264 Sulzer (A) 11,262 1,201 Swatch Group (A) 26,973 906 Swiss Life Holding (A) 16,026 2,333 Swiss Reinsurance (A) 161,503 8,988 Swisscom (A) 7,942 2,373 Syngenta (A) 65,808 13,914 Synthes (A) 16,154 2,241 Temenos Group* (A) 34,200 654 UBS* (A) 112,671 1,931 Xstrata (A) 386,787 12,085 Zurich Financial Services (A) 84,791 23,542 --------------- 185,595 --------------- TAIWAN -- 0.2% Asustek Computer (A) 578,828 1,147 Compal Electronics (A) 1,297,237 951 First Financial Holding (A) 26,412 17 Siliconware Precision Industries (A) 346,054 394 Taiwan Semiconductor Manufacturing (A) 1,033,383 1,735 United Microelectronics (A) 1,700,409 548 --------------- 4,792 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 17 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- THAILAND -- 0.1% PTT (A) 199,200 $ 1,358 Total Access Communication (E) 2,000 2 --------------- 1,360 --------------- UNITED KINGDOM -- 15.0% 3i Group (A) 57,351 728 Aggreko (A) 71,054 701 Alliance & Leicester (A) 29,910 146 AMEC (A) 542,930 6,244 Anglo American (A) 212,301 7,190 Antofagasta (A) 37,000 269 Arriva (A) 7,551 94 Associated British Foods (A) 251,900 3,205 AstraZeneca (A) 399,752 17,538 Autonomy* (A) 331,920 6,179 Aviva (A) 637,978 5,564 Babcock International Group (A) 107,230 966 BAE Systems (A) 2,410,704 17,817 Balfour Beatty (A) 36,636 200 Barclays (A) 2,153,562 12,828 Barratt Developments (A) (B) 102,097 195 BG Group (A) 1,102,099 20,039 BHP Billiton (A) 570,565 12,959 BP (A) 3,532,948 29,499 Brit Insurance Holdings (A) 81,930 269 British American Tobacco (A) 429,714 14,065 British Energy Group (A) 270,400 3,684 British Land (A) (C) 45,318 613 BT Group, Cl A (A) 459,196 1,335 Cable & Wireless (A) 397,644 1,184 Centrica (A) 646,449 3,647 Charter (A) 60,980 681 Close Brothers Group (A) 9,248 94 Cobham (A) 252,830 862 Colt Telecom Group* (A) 45,052 82 Compass Group (A) 311,393 1,936 Cookson Group (A) 122,008 1,030 Diageo (A) 95,641 1,636 Drax Group (A) 7,362 99 Eurasian Natural Resources (A) 152,540 1,393 Firstgroup (A) 45,888 439 Friends Provident (A) 89,802 153 Game Group (A) 236,000 871 GlaxoSmithKline (A) 809,913 17,590 Group 4 Securicor (A) 349,491 1,267 Hays (A) 59,764 87 HBOS (A) 2,525,236 5,744 Home Retail Group (A) 650,011 2,746 HSBC Holdings (A) 1,285,235 20,847 IG Group Holdings (A) 186,297 1,062 Imperial Tobacco Group (A) 153,912 4,953
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- International Power (A) 27,189 $ 176 Invensys 168,107 615 Investec (A) 43,903 241 ITV (A) 444,900 335 Jardine Lloyd Thompson Group (A) 2,975 24 John Wood Group (A) 115,288 703 Kazakhmys (A) 41,400 436 Land Securities Group (A) (C) 75,570 1,711 Legal & General Group (A) 2,796,581 5,060 Liberty International (A) (C) 94,200 1,633 Lloyds TSB Group (A) 378,501 1,525 Logica (A) 421,583 827 Man Group (A) 34,908 214 Mondi (A) 159,744 747 National Grid (A) 150,626 1,917 Next (A) 13,782 255 Old Mutual (A) 2,793,800 3,921 Petrofac (A) 84,960 890 Premier Farnell (A) 35,904 106 Prudential (A) 279,548 2,555 QinetiQ (A) 55,007 205 Reckitt Benckiser Group (A) 94,748 4,606 Rio Tinto (A) 189,027 11,894 Rolls-Royce Group (A) 34,633 210 Royal & Sun Alliance Insurance Group (A) 1,883,091 5,048 Royal Bank of Scotland Group (A) 4,614,612 14,925 Scottish & Southern Energy (A) 87,546 2,233 Segro (A) (C) 26,000 197 Shire (A) 101,631 1,611 Southern Cross Healthcare (A) 17,173 32 Spectris (A) 28,366 340 Standard Chartered (A) 147,678 3,643 Standard Life (A) 237,341 1,037 Tate & Lyle (A) 80,856 557 Taylor Woodrow (A) 1,011,049 657 Tesco (A) 67,883 473 Unilever (A) 247,545 6,748 United Utilities Group (A) 238,747 2,970 Vedanta Resources (A) 98,600 2,072 Vodafone Group (A) 13,491,415 29,872 William Hill (A) 17,506 74 WM Morrison Supermarkets (A) 252,087 1,175 WPP Group (A) 541,239 4,389 Yell Group (A) 55,656 77 --------------- 349,666 --------------- UNITED STATES -- 0.1% Lenovo Group (A) (B) 6,068,000 2,678 --------------- Total Common Stock (Cost $2,439,499) ($ Thousands) 2,049,099 ---------------
18 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- MORTGAGE-BACKED SECURITIES -- 16.6% UNITED STATES -- 16.6% Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 5.272%, 11/25/08 (E) (F) 1,274 $ 1,140 American Home Mortgage Investment Trust, Ser 2004-3, Cl 3A 4.851%, 11/25/08 (F) 1,259 916 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 5.465%, 11/25/08 (E) (F) 294 207 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 11/25/08 (E) (F) 11,634 6,459 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 11/25/08 (E) (F) 8,268 5,504 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 5.100%, 11/25/08 (F) 4,182 3,133 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 1,911 1,881 Banc of America Funding, Ser 2006-A, Cl 2A2 5.476%, 11/20/08 (F) 433 377 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-7, Cl 1A1 5.950%, 11/25/08 (F) 589 518 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 6.504%, 11/25/08 (E) (F) 1,402 1,227 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.721%, 11/25/08 (E) (F) 822 622 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 4.357%, 10/27/08 (E) (F) 800 56 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 5.207%, 10/27/08 (E) (F) 1,221 40 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 3.637%, 10/27/08 (E) (F) 1,700 206 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB1, Cl 1A1 5.491%, 11/25/08 (E) (F) 1,878 1,400 Countrywide Home Loans, Ser 2004-22, Cl A1 5.088%, 11/25/08 (E) (F) 1,563 1,259
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 5.013%, 11/20/08 (E) (F) 4,437 $ 3,449 Deutsche Alternative Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 11/25/08 (E) (F) 2,269 2,098 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR4, Cl B1 3.630%, 10/20/08 (E) (F) 935 248 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2006-AR1, Cl M4 3.770%, 10/20/08 (E) (F) 760 38 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2006-AR1, Cl M5 3.840%, 10/20/08 (E) (F) 490 15 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2006-AR1, Cl M7 4.780%, 10/20/08 (E) (F) 490 24 FHLMC 15 Year TBA 6.000%, 10/01/19 to 09/01/22 27,904 28,337 FHLMC 30 Year TBA 5.500%, 11/01/37 5,000 4,964 FHLMC ARM 4.901%, 12/15/08 (F) 3,670 3,680 FHLMC CMO STRIPS, Ser 231, Cl IO, IO 5.500%, 08/01/35 (E) (L) 2,014 439 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 (E) (L) 21,073 4,625 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 (E) (L) 4,274 829 FHLMC CMO STRIPS, Ser 233, Cl 4, IO 4.500%, 09/15/35 (E) (L) 1,453 360 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 (E) (L) 2,760 618 First Horizon Alternative Mortgage Securities, Ser 2006-AA6, Cl 2A1 5.628%, 11/25/08 (F) 9,877 6,798 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 5.352%, 11/25/08 (F) 853 662 First Horizon Mortgage Pass-Through Trust, Ser 2006-AR3, Cl 1A1 5.656%, 11/25/08 (F) 2,464 2,100 FNMA 15 Year TBA 6.000%, 10/20/21 204,000 208,087 5.000%, 10/01/22 2,000 1,986
SEI Institutional International Trust / Annual Report / September 30, 2008 19 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- FNMA 30 Year TBA 6.500%, 10/01/37 17,000 $ 17,833 6.000%, 11/01/21 5,000 5,083 FNMA ARM 5.766%, 11/25/08 (F) (L) 20,107 20,409 FNMA CMO STRIPS, Ser 10, Cl FD 3.557%, 10/25/08 (F) 3,493 3,402 FNMA CMO STRIPS, Ser 22, Cl KA 5.500%, 06/25/21 720 725 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 (E) (L) 1,868 384 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 (E) (L) 20,593 4,517 FNMA CMO STRIPS, Ser 369, Cl 1, IO 5.000%, 03/01/36 (E) 1,509 325 GNMA ARM 6.000%, 11/20/08 (F) 520 533 5.625%, 11/20/08 (F) (L) 651 657 5.500%, 11/20/08 to 11/20/08 (F) (L) 2,117 2,150 5.375%, 11/20/08 to 11/20/08 (F) 1,947 1,970 5.250%, 11/20/08 (F) 286 289 5.000%, 11/20/08 to 11/20/08 (F) 651 658 4.500%, 11/20/08 (F) (L) 612 615 4.000%, 11/20/08 (F) 646 643 GS Mortgage Securities II, Ser 2007-GG10, Cl A4 5.993%, 11/10/08 (F) 500 427 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 5.879%, 11/25/08 (E) (F) 266 259 Indymac Mortgage Loan Trust, Ser 2006-AR11, Cl 4A1 5.722%, 11/25/08 (E) (F) 4,676 3,161 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 700 608 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 (E) 8,131 6,654 Master Adjustable Rate Mortgages, Ser 2005-2, Cl 3A1 5.694%, 11/25/08 (F) 1,609 1,404 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A 5.114%, 11/25/08 (F) 336 249 MLCC Mortgage Investors, Ser 2006-1, Cl 1A1 5.248%, 11/25/08 (F) 4,113 3,803 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (D) (E) 1,273 1,115
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 11/25/08 (D) (E) (F) 1,346 $ 1,255 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.219%, 11/25/08 (F) 4,425 3,528 Residential Accredit Loans, Ser 2005-QO5, Cl M3 4.007%, 10/27/08 (E) (F) 1,292 103 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 3.607%, 10/27/08 (E) (F) 508 197 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.249%, 11/25/08 (F) 3,663 3,558 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 4.107%, 10/27/08 (E) (F) 775 39 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 5.542%, 11/25/08 (F) 6,421 4,767 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.664%, 11/25/08 (F) 2,465 1,660 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 5.813%, 11/25/08 (F) 169 145 --------------- Total Mortgage-Backed Securities (Cost $420,396) ($ Thousands) 387,427 --------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1% FHLMC 2.080%, 11/03/08 (I) (J) 16,275 16,246 2.716%, 02/09/09 (I) (J) 1,000 989 FNMA 2.153%, 10/15/08 (I) 7,000 6,999 2.532%, 12/10/08 (I) (J) 175 174 2.570%, 02/02/09 (I) (J) 1,925 1,905 --------------- Total U.S. Government Agency Obligations (Cost $26,310) ($ Thousands) 26,313 --------------- ASSET-BACKED SECURITIES -- 0.9% UNITED STATES -- 0.9% ACE Securities, Ser 2003-NC1, Cl M 3.987%, 10/27/08 (F) 2,100 1,353 ACE Securities, Ser 2003-OP1, Cl M1 3.907%, 10/27/08 (F) 800 592
20 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 4.257%, 10/27/08 (E) (F) 105 $ 80 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 4.557%, 10/27/08 (F) 1,281 886 Argent Securities, Ser 2003-W5, Cl M1 3.907%, 10/27/08 (F) 600 470 Argent Securities, Ser 2003-W9, Cl M1 3.897%, 10/27/08 (F) 1,201 874 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 3.612%, 10/15/08 (F) 1,642 1,295 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 4.807%, 10/27/08 (F) 860 616 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 3.347%, 10/27/08 (F) 91 91 Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B 3.427%, 10/27/08 (F) 120 120 GSAA Trust, Ser 2006-2, Cl 2A1 3.307%, 10/27/08 (F) 1,136 1,126 Home Equity Asset Trust, Ser 2003-4, Cl M2 5.607%, 10/27/08 (F) 863 579 Lehman XS Trust, Ser 2005-5N, Cl M4 4.957%, 10/27/08 (E) (F) 1,850 33 Lehman XS Trust, Ser 2005-7N, Cl M71 4.957%, 10/27/08 (E) (F) 1,075 19 Master Asset Backed Securities Trust, Ser 2003-WMC2, Cl M1 4.257%, 10/27/08 (F) 422 346 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 3.347%, 10/27/08 (F) 1,687 1,666 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 4.857%, 10/27/08 (F) 140 84 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 4.257%, 10/27/08 (F) 1,876 1,277 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 3.857%, 10/27/08 (F) 398 276 Residential Asset Mortgage Products, Ser 2003-RS11, Cl Mll1 4.302%, 10/27/08 (F) 188 138 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A 3.307%, 10/27/08 (D) (F) 1,121 1,095
Face Amount ($ Thousands) Market Value Description (1)/ Shares ($ Thousands) -------------------------------------------- --------------- --------------- Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 3.357%, 10/27/08 (D) (F) 5,355 $ 4,547 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 6.207%, 10/27/08 (F) 512 371 Terwin Mortgage Trust, Ser 2006-2, Cl 2A1 4.500%, 06/25/36 (E) 833 28 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A 3.301%, 10/27/08 (D) (F) 2,834 2,458 --------------- Total Asset-Backed Securities (Cost $28,991) ($ Thousands) 20,420 --------------- PREFERRED STOCK -- 0.4% BRAZIL -- 0.3% Banco Bradesco 302,300 4,756 Usinas Siderurgicas de Minas Gerais 73,800 1,543 --------------- 6,299 --------------- GERMANY -- 0.1% Bayerische Motoren Werke (A) 2,143 65 RWE (A) 1,865 134 Volkswagen (A) 6,608 821 --------------- 1,020 --------------- ITALY -- 0.0% Istituto Finanziario Industriale* (A) 40,562 447 --------------- SOUTH KOREA -- 0.0% Samsung Electronics (A) 2,900 915 --------------- Total Preferred Stock (Cost $10,293) ($ Thousands) 8,681 --------------- CORPORATE OBLIGATIONS -- 0.1% UNITED STATES -- 0.1% Autozone 6.500%, 01/15/14 1,130 1,118 Discover Financial Services 6.450%, 06/12/17 (D) 335 242 Shinsei Finance Cayman 6.418%, 07/20/09 (D) (F) 1,740 730 Washington Mutual Preferred Funding 6.534%, 03/29/49 (D) (G) 1,900 2 --------------- Total Corporate Obligations (Cost $5,104) ($ Thousands) 2,092 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 21 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) September 30, 2008
Shares/Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- AFFILIATED PARTNERSHIP -- 6.6% UNITED STATES -- 6.6% SEI Liquidity Fund, L.P., 2.590%**+ (H) 155,045,537 $ 153,052 --------------- Total Affiliated Partnership (Cost $155,046) ($ Thousands) 153,052 --------------- U.S. TREASURY OBLIGATIONS -- 1.3% U.S. Treasury Bills 1.657%, 11/20/08 (I) (J) 8,609 8,607 0.130%, 12/18/08 (I) (J) 650 650 U.S. Treasury Inflationary Index Notes 2.375%, 04/15/11 (K) 3,535 3,575 3.000%, 07/15/12 (K) 11,521 11,992 2.375%, 01/15/25 (K) 5,423 5,254 --------------- Total U.S. Treasury Obligations (Cost $30,746) ($ Thousands) 30,078 --------------- COMMERCIAL PAPER (K)-- 0.6% FPL Group Capital 2.384%, 10/10/08 5,000 4,997 Toyota Financial Services de Puerto Rico 2.401%, 10/01/08 10,000 9,999 --------------- Total Commercial Paper (Cost $14,996) ($ Thousands) 14,996 --------------- CASH EQUIVALENT -- 0.5% UNITED STATES -- 0.5% SEI Daily Income Prime Obligation Fund, Cl A, 2.350%**+ 11,820,869 11,821 --------------- Total Cash Equivalent (Cost $11,821) ($ Thousands) 11,821 --------------- Total Investments -- 115.8% (Cost $3,143,202) ($ Thousands) $ 2,703,979 ===============
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ----------------- ---------------- ---------------- -------------- 10/21/08-11/21/08 AUD 13,484 USD 12,400 $ 1,786 10/21/08 AUD 25,914 EUR 14,754 344 10/21/08 AUD 12,542 GBP 5,735 355 10/21/08 CAD 104,197 USD 98,034 (108) 10/21/08 CHF 10,893 USD 9,812 75 10/21/08 EUR 13,197 AUD 23,531 (31) 10/21/08 EUR 9,305 SEK 88,640 (372) 10/21/08 GBP 9,474 AUD 20,939 (412) 10/21/08 HKD 285,547 USD 36,727 (65) 10/21/08 JPY 1,291,038 USD 12,314 110 10/21/08 MXP 39,785 USD 3,599 (13) 10/21/08 NOK 34,497 USD 5,930 101 10/21/08 SEK 88,640 EUR 9,315 387 10/21/08 SEK 69,420 USD 10,171 207 10/21/08 SGD 6,127 USD 4,292 3 10/21/08 USD 20,770 CAD 21,938 (107) 10/21/08 USD 775 ZAR 6,459 2 10/21/08 ZAR 68,653 USD 8,371 113 10/21/08-10/27/08 USD 18,195 HKD 141,247 5 10/21/08-10/27/08 USD 80,331 JPY 8,455,697 (391) 10/21/08-10/27/08 USD 4,975 NOK 28,352 (185) 10/21/08-10/27/08 USD 19,568 SEK 131,385 (708) 10/21/08-10/28/08 USD 16,265 SGD 23,257 17 10/21/08-11/21/08 CHF 15,700 NZD 20,223 (584) 10/21/08-11/21/08 EUR 33,881 USD 52,105 4,402 10/21/08-11/21/08 GBP 38,855 USD 74,396 5,013 10/21/08-11/21/08 NZD 20,554 CHF 15,700 364 10/21/08-11/21/08 USD 66,896 AUD 81,105 (2,998) 10/21/08-11/21/08 USD 134,994 EUR 89,913 (8,380) 10/21/08-11/21/08 USD 185,903 GBP 99,975 (7,389) 10/21/08-1/22/09 EUR 65,789 JPY 10,634,000 8,458 10/21/08-1/22/09 GBP 9,895 SGD 25,700 356 10/21/08-1/22/09 NOK 148,725 JPY 2,968,000 3,111 10/21/08-2/20/09 GBP 26,872 JPY 5,418,000 3,685 10/21/08-2/20/09 NZD 13,789 USD 9,414 328 10/21/08-3/20/09 SGD 34,700 GBP 13,234 (753) 10/21/08-3/20/09 USD 17,440 NZD 25,635 (550) 10/21/08-3/23/09 JPY 11,301,000 EUR 69,642 (9,443) 10/21/08-3/23/09 JPY 6,085,000 GBP 30,021 (4,493) 10/21/08-3/23/09 JPY 3,301,000 NOK 164,189 (3,731) 10/27/08 USD 17,577 CHF 18,966 (611) 10/27/08 USD 2,372 DKK 12,013 (103) 12/19/08-2/20/09 AUD 13,931 CHF 13,200 959 12/19/08-2/20/09 EUR 32,873 CHF 52,700 1,074 12/19/08-3/20/09 CHF 16,700 AUD 17,693 (1,181) 12/19/08-3/20/09 CHF 59,800 EUR 37,227 (1,341) 12/19/08-3/20/09 CHF 46,900 GBP 23,330 (555) 12/19/08-3/20/09 GBP 23,522 CHF 46,900 211 --------- $(13,038) =========
22 SEI Institutional International Trust / Annual Report / September 30, 2008 A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------ ------------ ---------- -------------- 10-YR Swap (554) Dec-2008 $ 1,072 90-Day Euro$ 275 Mar-2009 (202) 90-Day Euro$ 526 Jun-2009 670 90-Day Euro$ 394 Sep-2009 1,044 90-Day Euro$ 196 Dec-2009 (157) 90-Day Euro$ 1 Mar-2010 (1) 90-Day Euro$ (361) Jun-2010 (1,080) 90-Day Euro$ (54) Sep-2010 (133) 90-Day Euro$ (37) Dec-2010 (69) 90-Day Euro$ 10 Mar-2011 (13) 90-Day Euro$ 134 Jun-2011 58 90-Day Euro$ 141 Sep-2011 64 90-Day Euro$ 86 Dec-2011 10 90-Day Euro$ 86 Mar-2012 23 90-Day Euro$ 16 Mar-2012 (1) 90-Day Euro$ 73 Jun-2012 1 90-Day Euro$ 68 Sep-2012 47 90-Day Euro$ 16 Jun-2013 -- 90-Day Euro$ 16 Sep-2013 --
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------ ------------ ---------- -------------- Amsterdam Index 66 Oct-2008 $ (817) CAC40 10 Euro 360 Oct-2008 (194) Dax Index 101 Dec-2008 (767) DJ Euro Stoxx 50 Index 479 Dec-2008 (642) FTSE Index 599 Dec-2008 (2,288) Hang Seng Index 62 Oct-2008 (371) IBEX Index 64 Oct-2008 202 MSCI Sing Index 129 Oct-2008 (123) Nikkei 225 Index 50 Dec-2008 (139) OMX Index 550 Oct-2008 (338) S&P/MIB Index 39 Dec-2008 (375) SPI 200 Index 181 Dec-2008 (293) Topix Index 225 Dec-2008 (1,425) U.S. 10-Year Note (256) Dec-2008 96 U.S. 2-Year Note (27) Dec-2008 (35) U.S. 5-Year Note 85 Dec-2008 (60) U.S. Long Treasury Bond (51) Dec-2008 35 ------- $(6,201) =======
A summary of outstanding swap agreements held by the fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES ------------------- ----------------------------- -------------------------- ---------------------------------- Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 25 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 29 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 10 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 115 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 50 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 95 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 25 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 165 bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 175 bps Barclays Bank PLC BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 50 bps Goldman Sachs BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 150 bps JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 50 bps JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bps JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 70 bps JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 130 bps JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 150 bps JPMorgan Chase Bank MSCI Daily TR Net EAFE USD 3-Month LIBOR Minus 42 bps Price Return Market Index Goldman Sachs MSCI Daily TR Net Japan USD 3-Month LIBOR Plus 10 bps Price Return Market Index JPMorgan Chase Bank Swiss Market Index 3-Month LIBOR Plus 47 bps Price Return NET UNREALIZED TERMINATION NOTIONAL AMOUNT DEPRECIATION COUNTERPARTY DATE (THOUSANDS) ($ THOUSANDS) ------------------- ----------- --------------- -------------- Bank of America 10/01/08 10,000 $ (765) Bank of America 10/01/08 21,000 (1,607) Bank of America 10/01/08 45,000 (3,440) Bank of America 10/31/08 13,000 (994) Bank of America 12/31/08 50,000 (3,825) Bank of America 12/31/08 44,000 -- Bank of America 01/30/09 24,000 (1,836) Bank of America 03/31/09 27,000 -- Bank of America 03/31/09 16,000 -- Bank of America 03/31/09 11,000 -- Barclays Bank PLC 10/01/08 25,000 (1,911) Goldman Sachs 03/31/09 33,000 -- JPMorgan Chase Bank 10/01/08 25,000 (1,914) JPMorgan Chase Bank 10/01/08 20,000 (1,531) JPMorgan Chase Bank 10/31/08 15,000 (1,147) JPMorgan Chase Bank 03/31/09 24,000 -- JPMorgan Chase Bank 03/31/09 11,000 -- JPMorgan Chase Bank 03/24/09 46,281 (4,045) Goldman Sachs 03/31/09 43,131 (7,617) JPMorgan Chase Bank 01/26/09 CHF 28,235 (887) -------- $(31,519) ========
SEI Institutional International Trust / Annual Report / September 30, 2008 23 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) September 30, 2008 CREDIT DEFAULT SWAPS
(PAYS)/ BUY/SELL RECEIVES COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE ------------------- ----------------------------------------- ---------- -------- Bank of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35)% Bank of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) Barclays Bank PLC Anheuser-Busch Cos.Inc., 5.625% 10/01/10 Buy (1.08) Goldman Sachs Anheuser-Busch Cos.Inc., 5.625% 10/01/10 Buy (1.08) Bank of America Autozone Inc., 5.875%, 10/15/12 Buy (0.44) JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/12 Buy (0.46) Bank of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) Goldman Sachs Borgwarner Inc., 6.500%, 02/15/09 Buy (0.66) Goldman Sachs Borgwarner Inc., 6.500%, 02/15/09 Buy (0.80) Bank of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) JPMorgan Chase Bank Carnival Corp., 6.650%, 01/15/28 Buy (0.22) Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) Goldman Sachs CDX.NA.IG.10 Index Buy (1.55) Goldman Sachs Centurytel Inc., 6.000% 04/01/17 Buy (1.10) JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) Merrill Lynch CMBX.NA.A 2 Index Buy (0.25) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) JPMorgan Chase Bank CMBX.NA.A 3 Index Buy (0.62) Bank of America CMBX.NA.AAA 4 Index Buy (0.35) Goldman Sachs CMBX.NA.AAA 4 Index Buy (0.35) Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) Bank of America Computer Science Corp., 5.000%, 02/15/13 Buy (0.65) Bank of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) JPMorgan Chase Bank Dow Chemical Inc., 6.000%, 10/01/12 Buy (0.26) Merrill Lynch Dow Chemical Inc., 6.000%, 10/01/12 Buy (0.25) Bank of America Gap Inc., 8.800%, 12/15/08 Buy (1.18) JPMorgan Chase Bank Gap Inc., 8.800%, 12/15/08 Buy (1.18) JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) Bank of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) Bank of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) Merrill Lynch Kroger Co., 5.500%, 02/01/13 Buy (0.64) Bank of America Lowes Cos. Inc., 8.250%, 06/01/10 Buy (0.95) Bank of America Lowes Cos. Inc., 8.250%, 06/01/10 Buy (0.60) Merrill Lynch Lowes Cos. Inc., 8.250%, 06/01/10 Buy (0.13) Merrill Lynch Lubrizol Corp., 7.250%, 06/15/25 Buy (0.45) JPMorgan Chase Bank Lubrizol Corp., 7.250%, 06/15/35 Buy (0.45) Bank of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) Bank of America MeadWestvaco Corp., 6.850%, 04/01/12 Buy (0.48) Bank of America MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) JPMorgan Chase Bank MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) Bank of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) JPMorgan Chase Bank Nucor Corp., 4.875%, 10/01/12 Buy (0.22) Bank of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) Bank of America PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) JPMorgan Chase Bank PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) JPMorgan Chase Bank PPG Industries Inc., 7.050%, 08/15/09 Buy (0.20) JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) Merrill Lynch RR Donnelley & Sons, 4.950%, 04/01/14 Buy (0.69) Bank of America Safeway Inc., 5.800%, 08/15/12 Buy (0.59) Merrill Lynch Southwest Airlines Co., 6.500%, 03/01/12 Buy (0.27) JPMorgan Chase Bank Southwest Airlines Co., 6.500%, 03/01/12 Buy (0.27) Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) JPMorgan Chase Bank Washington Mutual Co., 5.250%, 09/15/17 Buy (0.32) Merrill Lynch Weyerhaeuser Company, 6.750%, 03/15/12 Buy (0.45) Goldman Sachs Whirlpool Corp., 7.750%, 07/15/16 Buy (1.02) JPMorgan Chase Bank Whirlpool Corp., 7.750%, 07/15/16 Buy (0.34) NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY DATE ($ THOUSANDS) ($ THOUSANDS) ------------------- ----------- ------------- -------------- Bank of America 12/20/13 2,500 $ (5) Bank of America 03/20/14 2,150 9 Barclays Bank PLC 09/20/13 1,500 (4) Goldman Sachs 09/20/13 1,750 (3) Bank of America 12/20/11 2,500 21 JPMorgan Chase Bank 12/20/11 2,500 19 Bank of America 12/20/11 2,500 58 JPMorgan Chase Bank 12/20/11 2,500 24 Goldman Sachs 03/20/13 3,000 20 Goldman Sachs 03/20/13 1,750 2 Bank of America 06/20/14 3,500 16 JPMorgan Chase Bank 06/20/12 2,000 58 Goldman Sachs 12/20/12 1,200 34 Goldman Sachs 06/20/13 9,500 108 Goldman Sachs 03/20/13 3,250 46 JPMorgan Chase Bank 03/15/49 2,000 26 Merrill Lynch 03/15/49 1,000 14 Goldman Sachs 12/13/49 2,000 205 Goldman Sachs 12/13/49 1,000 233 Goldman Sachs 12/13/49 1,000 235 Goldman Sachs 12/13/49 1,000 238 JPMorgan Chase Bank 02/13/49 3,000 498 Bank of America 02/17/51 18,000 (29) Goldman Sachs 02/17/51 5,000 (138) Goldman Sachs 03/15/49 8,000 1,099 Bank of America 06/20/13 3,250 (6) Bank of America 12/20/11 2,500 89 JPMorgan Chase Bank 12/20/13 2,500 30 Merrill Lynch 12/20/13 2,500 70 Bank of America 12/20/11 2,500 45 JPMorgan Chase Bank 12/20/11 2,500 40 JPMorgan Chase Bank 12/20/11 2,500 51 Bank of America 12/20/13 2,500 128 Bank of America 12/20/13 2,500 58 JPMorgan Chase Bank 12/20/11 2,500 121 Merrill Lynch 03/20/13 3,500 (6) Bank of America 03/20/13 1,250 (15) Bank of America 09/20/13 2,750 (39) Merrill Lynch 12/20/11 2,500 27 Merrill Lynch 12/20/11 2,500 13 JPMorgan Chase Bank 12/20/11 2,500 12 Bank of America 12/20/13 2,500 131 Merrill Lynch 12/20/11 2,500 32 Bank of America 12/20/11 2,500 64 Bank of America 12/20/13 2,500 839 JPMorgan Chase Bank 12/20/13 2,500 836 JPMorgan Chase Bank 12/20/13 2,500 62 Merrill Lynch 12/20/13 2,500 62 Bank of America 12/20/11 2,500 75 JPMorgan Chase Bank 12/20/11 2,500 33 Bank of America 12/20/11 5,200 61 Bank of America 12/20/13 2,500 942 JPMorgan Chase Bank 12/20/13 2,500 942 JPMorgan Chase Bank 12/20/11 2,500 42 JPMorgan Chase Bank 12/20/13 2,500 1,209 Bank of America 12/20/13 2,500 1,317 Merrill Lynch 12/20/11 2,500 56 Bank of America 03/20/13 2,750 3 Merrill Lynch 12/20/11 2,500 145 JPMorgan Chase Bank 12/20/11 2,500 145 Bank of America 12/20/11 2,500 154 Bank of America 12/20/11 2,500 14 JPMorgan Chase Bank 03/20/12 2,300 802 Merrill Lynch 03/20/12 2,500 90 Goldman Sachs 09/20/13 500 2 JPMorgan Chase Bank 12/20/11 2,500 92 ------- $11,552 =======
24 SEI Institutional International Trust / Annual Report / September 30, 2008 Description Percentages are based on Net Assets of $2,336,042 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Affiliated security. (1) In U.S. dollars unless otherwise indicated. (A) 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, 2008 was $1,956,296 ($ Thousands) and represented 83.7% of Net Assets. (B) This security or a partial position of this security is on loan at September 30, 2008. The total market value of securities on loan at September 30, 2008 was $147,062 ($ Thousands) (see Note 7). (C) Real Estate Investments Trust. (D) 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, unless otherwise noted, under guidelines established by the board of Trustees. (E) Securities considered illiquid. The total market value of such securities as of September 30, 2008 was $49,086 ($ Thousands) and represented 2.1% of Net Assets. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (G) Security in default on interest payments. (H) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2008 was $153,052 ($ Thousands). (I) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (J) Security, or portion thereof, has been pledged as collateral on open futures contracts. (K) The rate reported is the effective yield at time of purchase. (L) Security, or portion thereof, has been pledged as collateral on open swaps contracts. AUD -- Australian Dollar ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone EUR -- Euro 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 L.P. -- Limited Partnership MXP -- Mexican Peso NGN -- Nigerian Naira NOK -- Norwegian Krone NZD -- New Zealand Dollar 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 $0 The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Annual Report / September 30, 2008 25 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund September 30, 2008 SECTOR WEIGHTINGS (UNAUDITED)+: (PERFORMANCE GRAPH) Energy 17.6% Financials 17.2% Basic Materials 12.6% Telecommunication Services 10.9% Information Technology 9.9% Industrials 9.7% Consumer Discretionary 5.6% Consumer Staples 5.3% Affiliated Partnership 4.3% Utilities 3.6% Healthcare 1.8% Exchange Traded Fund 0.9% Short-Term Investments 0.4% Equity-Linked Warrants 0.2%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- COMMON STOCK -- 86.8% ARGENTINA -- 0.1% Petrobras Energia Participaciones ADR 83,400 $ 821 Telecom Argentina ADR* 38,900 476 --------------- 1,297 --------------- BAHRAIN -- 0.1% Investcorp Bank GDR (A) 32,811 664 --------------- BERMUDA -- 0.2% Dufry South America 43,200 359 Huabao International Holdings (HKD) 2,035,000 1,564 --------------- 1,923 --------------- BRAZIL -- 6.0% Banco do Brasil 176,965 2,053 Banco Itau Holding Financeira ADR 51,647 904 BR Malls Participacoes* 81,000 495 Brascan Residential Properties 93,303 213 Centrais Eletricas Brasileiras 63,080 903 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (B) 27,000 944 Cia de Bebidas das Americas ADR (B) 14,080 769 Cia de Concessoes Rodoviarias 24,653 316 Cia de Saneamento Basico do Estado de Sao Paulo ADR 1,160 33 Cia de Saneamento Basico do Estado de Sao Paulo 85,969 1,175 Cia de Saneamento de Minas Gerais-COPASA 56,500 592 Cia Energetica de Minas Gerais ADR (B) 40,315 796 Cia Vale do Rio Doce ADR, Cl B 293,420 5,619 Cia Vale do Rio Doce 181,600 3,380 CPFL Energia 25,043 465 EDP - Energias do Brasil 73,317 889
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Empresa Brasileira de Aeronautica ADR (B) 14,060 $ 380 Empresa Brasileira de Aeronautica 115,000 769 Eternit 48,551 148 Fertilizantes Heringer 900 5 Gafisa ADR (B) 24,200 622 Gerdau ADR (B) 194,242 2,156 Grendene 159,907 1,152 GVT Holding* 70,900 1,038 Hypermarcas* 142,200 956 Light 26,219 321 Localiza Rent A Car 185,900 970 Lojas Renner 152,749 1,757 Marfrig Frigorificos e Comercio de Alimentos 82,100 736 Medial Saude 49,500 282 OGX Petroleo e Gas Participacoes* 5,800 1,164 Perdigao 17,100 320 Petroleo Brasileiro 254,300 5,484 Petroleo Brasileiro ADR 100,504 4,417 Rodobens Negocios Imobiliarios 87,100 592 Santos Brasil Participacoes 75,581 677 SEB - Sistema Educacional Brasileiro* 85,800 623 Souza Cruz 57,483 1,341 Telegraph Norte Leste Participacoes ADR (B) 167,590 2,926 Unibanco - Uniao de Bancos Brasileiros 107,400 1,058 Unibanco - Uniao de Bancos Brasileiros GDR 56,372 5,689 Usinas Siderurgicas de Minas Gerais 80,000 1,590 Votorantim Celulose e Papel ADR (B) 81,150 1,251 Wilson Sons BDR 84,500 631 --------------- 58,601 --------------- CHILE -- 1.0% Administradora de Fondos de Pensiones Provida ADR 7,200 177 Banco de Chile ADR 30,500 1,220 Banco Santander Chile ADR 46,938 2,008 Centros Comerciales Sudamericanos 197,650 465 Cia Cervecerias Unidas ADR (B) 28,593 922 Cia Cervecerias Unidas 32,700 211 Embotelladora Andina ADR, Cl B 32,078 465 Empresa Nacional de Telecomunicaciones 50,109 624 Enersis ADR (B) 217,537 3,550 Multiexport Foods 297,510 59 --------------- 9,701 --------------- CHINA -- 7.3% AirMedia Group ADR* (B) 87,750 654 Aluminum Corp of China 572,622 349 Anhui Conch Cement (B) 602,882 2,303
26 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Anhui Expressway 704,000 $ 368 Bank of China (C) 12,707,000 4,925 Bank of Communications (B) 979,000 892 Baoye Group 49,000 15 Bengang Steel Plates, Cl B 732,907 297 Bosideng International Holdings (B) 4,690,000 587 Byd 15,000 25 China BlueChemical 79,000 44 China Coal Energy 265,000 280 China Construction Bank (C) 6,716,000 4,482 China COSCO Holdings (C) 1,277,500 1,165 China Dongxiang Group 2,379,000 685 China International Marine Containers, Cl B 566,280 384 China Medical Technologies ADR (B) 68,000 2,215 China Molybdenum 314,000 141 China Oilfield Services 444,000 411 China Petroleum & Chemical 193,130 152 China Railway Construction* 3,157,500 4,169 China Shenhua Energy 333,800 819 China Shipping Container Lines 2,056,000 354 China Shipping Development 2,192,000 2,878 China Telecom 1,222,000 502 China Yurun Food Group 3,157,000 4,117 Dongfang Electric 303,000 807 Dongfeng Motor Group (C) 1,782,000 656 First Tractor 10,000 2 Great Wall Motor 1,618,500 683 Great Wall Technology 1,284,000 143 Greentown China Holdings 135,500 68 Guangdong Electric Power Development, Cl B 378,100 147 Harbin Power Equipment 968,000 693 Huaneng Power International ADR 3,877 103 Huaneng Power International (B) 1,654,800 1,100 Industrial & Commercial Bank of China 22,549,000 13,629 Jingwei Textile Machinery 62,000 7 Mindray Medical International ADR 17,900 604 New Oriental Education & Technology Group ADR* 10,595 681 Parkson Retail Group 82,500 91 PetroChina 8,579,107 8,906 PetroChina ADR 6,900 709 Qingling Motors 354,000 45 Shanghai Electric Group 1,862,000 568 Simcere Pharmaceutical Group ADR* 96,600 838 Sinopec Shanghai Petrochemical 1,944,000 432 Sinotrans 2,740,000 535 Tencent Holdings 162,600 1,189 Tingyi Cayman Islands Holding (B) 1,068,000 1,248 Weichai Power 160,000 612 Weiqiao Textile (C) 1,808,900 887 Yanzhou Coal Mining 1,132,000 1,167
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Yanzhou Coal Mining ADR 14,400 $ 151 Zhejiang Expressway 1,002,000 595 Zhejiang Glass* 4,000 1 ZTE 245,000 928 --------------- 71,438 --------------- COLOMBIA -- 0.2% Almacenes Exito GDR 132,115 656 BanColombia ADR (B) 30,000 854 --------------- 1,510 --------------- CYPRUS -- 0.1% Globaltrans Investment GDR* 79,191 706 --------------- CZECH REPUBLIC -- 1.2% CEZ (C) 154,029 9,555 Komercni Banka 6,340 1,430 Unipetrol 63,000 684 --------------- 11,669 --------------- EGYPT -- 0.3% Egyptian Financial Group-Hermes Holding 165,323 1,014 Egyptian International Pharmaceutical Industrial 42,300 192 National Societe Generale Bank 42,500 194 Orascom Construction Industries GDR 8,367 860 Telecom Egypt 301,425 811 --------------- 3,071 --------------- HONG KONG -- 5.5% AAC Acoustic Technologies Holdings* 1,448,000 1,111 Brilliance China Automotive Holdings* (B) 4,583,000 336 Chaoda Modern Agriculture (C) 2,346,000 1,981 China Mobile ADR 22,250 1,114 China Mobile 1,792,917 17,962 China Netcom Group 931,000 2,062 China Power International Development 5,052,200 1,043 China Resources Enterprise 510,000 1,245 China Resources Logic 12,600 3 China Resources Power Holdings 68,000 148 China State Construction International Holdings 2,084,000 321 China Unicom 711,085 1,070 CNOOC 9,692,448 10,889 CNOOC ADR (B) 960 110 Cnpc Hong Kong 2,850,000 1,213 COSCO Pacific 2,390,000 2,743 Denway Motors 4,432,646 1,404 Digital China Holdings 728,000 242 Global Bio-Chemical Technology Group 2,283,500 739
SEI Institutional International Trust / Annual Report / September 30, 2008 27 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- GOME Electrical Appliances Holdings 4,036,000 $ 1,192 GZI Real Estate Investment Trust (D) 1,032,000 331 Hopson Development Holdings (C) 480,000 244 Industrial and Commercial Bank of China Asia 513,000 934 Nine Dragons Paper Holdings 1,047,000 392 NWS Holdings 180,375 324 Samson Holding 5,775,000 815 Shanghai Industrial Holdings 352,000 805 Shenzhou International Group Holdings 575,000 122 Shougang Concord International Enterprises 18,000 3 Sinolink Worldwide Holdings 988,000 95 Skyworth Digital Holdings 228,000 18 Texwinca Holdings 662,600 549 Tianjin Development Holdings 8,000 3 TPV Technology 2,890,000 885 Zhuzhou CSR Times Electric, Cl H 1,240,000 883 --------------- 53,331 --------------- HUNGARY -- 0.9% Magyar Telekom 464,479 2,177 MOL Hungarian Oil and Gas 13,278 1,213 OTP Bank 74,684 2,701 Richter Gedeon 9,870 1,805 Tisza Chemical Group 12,600 311 --------------- 8,207 --------------- INDIA -- 6.4% Allahabad Bank 123,700 169 Andhra Bank 375,268 448 Bajaj Holdings and Investment 7,316 72 Bank 10,795 64 Bank of India (C) 320,401 1,976 Bharat Electronics 20,344 394 Bharat Petroleum 162,253 1,264 Bharti Airtel* 249,608 4,234 Birla 73,137 199 Cairn India* 629,918 2,884 CESC 56,900 340 Container of India 1,300 23 Dena Bank 13,584 12 Dr Reddys Laboratories 171,215 1,877 Federal Bank 120,536 538 Grasim Industries 18,599 679 Great Eastern Shipping 6,300 41 GTL 27,845 99 Gujarat Alkalies & Chemicals 32,310 78 Gujarat Narmada Valley Fertilizers 162,389 318 Gujarat State Fertilisers 96,419 245 HCL Technologies 14,490 61 Hero Honda Motors 51,015 958 Hindalco Industries 497,741 1,055
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Hindustan Petroleum 259,590 $ 1,363 Hindustan Unilever 55,282 300 Hindustan Zinc 86,080 802 Housing Development Finance 118,960 5,532 ICICI Bank ADR 24,090 567 ICICI Bank 65,206 751 India Cements 272,970 733 Indian Bank 176,623 498 Indian Overseas Bank 46,334 93 Infosys Technologies 66,798 2,032 ITC 317,420 1,287 Jet Airways India 40,750 353 Jindal Stainless 2,930 7 Jindal Steel & Power 2,970 82 JSW Steel 41,770 435 Larsen & Toubro 60,241 3,187 Mahanagar Telephone Nigam 384,010 701 Mahindra & Mahindra 88,355 974 National Aluminium 124,129 999 NTPC 52,362 195 Oil & Natural Gas (C) 197,887 4,413 Phoenix Mills 74,470 238 Ranbaxy Laboratories 118,999 634 Reliance Industries (C) 19,866 835 Satyam Computer Services 268,152 1,728 Sesa GOA* (C) 266,600 691 Shipping of India 8,548 27 Siemens India 157,159 1,360 State Bank of India GDR 25,310 1,529 Steel Authority of India 1,737,159 4,809 Sterlite Industries India 99,790 925 Sterlite Industries India ADR 39,600 357 Syndicate Bank 112,247 160 Tata Chemicals 14,440 71 Tata Consultancy Services 36,140 519 Tata Motors 113,908 843 Tata Power 9,356 184 Tata Steel 161,114 1,491 Union Bank of India 14,834 46 Zee Entertainment Enterprises 522,889 2,223 --------------- 62,002 --------------- INDONESIA -- 1.6% Aneka Tambang 2,571,500 391 Astra International 665,125 1,186 Bank Mandiri Persero (C) 2,693,092 746 Bank Negara Indonesia Persero 926,500 94 Bank Rakyat Indonesia 4,548,000 2,570 Bumi Resources 9,725,500 3,234 Gudang Garam 1,088,100 674 HM Sampoerna 1,008,500 1,093 International Nickel Indonesia 2,673,530 857 Kalbe Farma 8,225,000 560 Tambang Batubara Bukit Asam 477,000 468
28 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Telekomunikasi Indonesia 5,130,100 $ 3,832 Unilever Indonesia 136,000 108 --------------- 15,813 --------------- ISRAEL -- 2.4% Bank Hapoalim (C) 1,043,499 3,148 Bank Leumi Le-Israel (C) 432,468 1,508 Bezeq Israeli Telecommunication 1,944,718 3,452 Delek Automotive Systems 22,700 228 First International Bank of Israel* 51,020 423 Israel Chemicals (C) 326,071 4,693 Israel Discount Bank, Cl A* 557,074 820 Migdal Insurance & Financial Holding 17,855 18 Mizrahi Tefahot Bank 54,000 332 Partner Communications 43,351 820 Strauss Group 67,629 668 Teva Pharmaceutical Industries 18,000 828 Teva Pharmaceutical Industries ADR 136,016 6,228 Union Bank of Israel* 21,090 83 --------------- 23,249 --------------- KAZAKHSTAN -- 0.1% KazMunaiGas Exploration Production GDR 81,500 1,289 --------------- LUXEMBOURG -- 0.7% Evraz Group GDR (C) 45,995 1,886 Tenaris ADR 118,200 4,408 Ternium ADR 34,900 615 --------------- 6,909 --------------- MALAYSIA -- 2.1% AMMB Holdings 935,287 811 ANN JOO Resources 49,000 36 Berjaya Sports Toto 331,600 434 British American Tobacco Malaysia 73,000 882 Digi.Com 64,700 422 Gamuda 1,349,700 843 Genting 256,800 396 HAP Seng Consolidated 78,000 56 Hong Leong Bank 532,009 874 Hong Leong Financial Group 4,000 5 Hong Leong Industries 14,000 16 IOI Properties 164,368 211 KLCC Property Holdings 456,000 360 Kulim Malaysia 65,000 105 Lion Industries 355,000 131 Malayan Banking 1,153,850 2,295 Malaysia Airports Holdings 39,000 30 Malaysian Bulk Carriers 716,714 641 MISC 138,000 328 Oriental Holdings 10,000 16 Padiberas Nasional 174,000 66
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Petronas Dagangan 26,200 $ 50 Petronas Gas 55,000 159 PPB Group 46,000 115 Public Bank 262,796 768 Ranhill 502,500 106 Resorts World 4,941,900 3,681 Sime Darby 1,186,700 2,294 Southern Steel 56,800 32 Tanjong 12,000 46 Tenaga Nasional 1,054,575 2,104 Titan Chemicals 108,000 32 UMW Holdings 767,551 1,300 YTL 212,040 388 --------------- 20,033 --------------- MEXICO -- 4.9% Alfa, Cl A 203,400 911 America Movil ADR, Ser L 180,686 8,377 America Movil, Ser L 2,545,689 5,818 Banco Compartamos 241,400 667 Carso Global Telecom* 210,354 1,072 Cemex ADR* 160,900 2,771 Cemex (B) 2,905,057 4,997 Coca-Cola Femsa 5,600 28 Consorcio ARA 1,217,600 676 Controladora Comercial Mexicana 681,200 1,565 Cydsa 57,700 48 Embotelladoras Arca 257,850 763 Empresas ICA* (B) 150,400 432 Empresas ICA Sociedaad Controladora ADR* (B) 14,800 170 Fomento Economico Mexicano ADR 39,946 1,524 Fomento Economico Mexicano 254,271 962 Gruma, Cl B* 497,416 1,000 Grupo Aeroportuario del Pacifico, Cl B 153,800 389 Grupo Aeroportuario del Sureste, Cl B 57,000 279 Grupo Carso, Ser A1 223,703 836 Grupo Casa Saba ADR 4,500 128 Grupo Continental 833,400 1,776 Grupo Elektra 6,491 224 Grupo Financiero Banorte, Cl O 1,207,064 3,834 Grupo Mexico, Ser B 2,119,878 2,219 Grupo Modelo 130,200 551 Grupo Simec, Cl B* 20,100 59 Grupo Televisa 240,700 1,035 Industrias, Cl B* 27,600 99 Industrias Bachoco* 163,800 339 Megacable Holdings* 98,300 139 Mexichem 347,100 629 Urbi Desarrollos Urbanos* (B) 973,293 2,340 Vitro 115,700 128 Wal-Mart de Mexico, Ser V 81,938 280 --------------- 47,065 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 29 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- NETHERLANDS -- 0.3% Kardan 85,732 $ 640 Plaza Centers 424,680 560 Vimetco GDR* 101,013 362 X 5 Retail Group GDR* 39,331 848 --------------- 2,410 --------------- PAKISTAN -- 0.1% Fauji Fertilizer 198,828 254 National Bank of Pakistan 546,042 649 Oil & Gas Development 100 -- --------------- 903 --------------- PANAMA -- 0.1% Copa Holdings, Cl A 41,100 1,336 --------------- PERU -- 0.1% Cia de Minas Buenaventura ADR (B) 31,100 730 --------------- PHILIPPINES -- 0.6% ABS-CBN Broadcasting PDR 479,300 162 Bank of the Philippine Islands 653,671 645 Globe Telecom 11,372 251 JG Summit Holdings 3,229,000 479 Manila Electric 194,460 252 Metropolitan Bank & Trust 166,800 121 Petron 1,062,000 135 Philex Mining 1,778,200 278 Philippine Long Distance Telephone 32,930 1,896 Philippine Long Distance Telephone ADR (B) 10,300 580 SM Investments 140,324 786 Union Bank of Philippines 460,500 260 --------------- 5,845 --------------- POLAND -- 1.5% Bank BPH 22,575 656 Bank Handlowy w Warszawie 23,911 634 Bank Pekao 9,440 681 Ciech 9,100 196 Cyfrowy Polsat 218,722 1,297 KGHM Polska Miedz (C) 65,016 1,377 Kredyt Bank 36,000 208 Polish Oil & Gas 882,000 1,217 Polski Koncern Naftowy Orlen (C) 276,374 3,990 Powszechna Kasa Oszczednosci Bank Polski 102,263 1,874 Telekomunikacja Polska (C) 252,114 2,405 --------------- 14,535 ---------------
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- RUSSIA -- 8.1% Gazprom OAO ADR (C) 947,279 $ 30,272 LUKOIL ADR 282,049 16,500 Mechel ADR (B) 87,456 1,571 MMC Norilsk Nickel ADR 355,125 4,961 Mobile Telesystems ADR 91,881 5,146 NovaTek OAO GDR 17,655 806 Novolipetsk Steel GDR 25,000 464 Novorossiysk Commercial Sea Port GDR 120,842 775 Pharmstandard GDR* 35,007 607 PIK Group GDR 58,850 306 Polyus Gold ADR (B) 4,173 52 Rosneft Oil GDR (C) 360,295 2,424 Sberbank GDR 15,329 4,134 Severstal GDR 6,150 63 Surgutneftegaz ADR 235,586 1,249 Tatneft GDR 26,316 1,863 TMK OAO GDR 35,250 892 Uralkali GDR 104,392 3,171 Vimpel-Communications ADR 117,100 2,377 VTB Bank GDR 230,900 950 --------------- 78,583 --------------- SINGAPORE -- 0.1% Epure International 2,580,000 635 --------------- SOUTH AFRICA -- 7.2% African Bank Investments 355,967 1,100 African Rainbow Minerals (C) 31,500 605 AngloGold Ashanti 19,996 465 AngloGold Ashanti ADR (B) 78,049 1,803 ArcelorMittal South Africa 68,385 1,381 Assore 4,061 299 Aveng 180,204 1,377 Bidvest Group 19,674 252 DataTec 86,758 269 Exxaro Resources 67,000 703 FirstRand (B) 1,467,872 3,024 Gold Fields (B) 147,277 1,422 Gold Fields ADR (B) 74,580 715 Grindrod 391,605 855 Harmony Gold Mining* (B) 214,208 2,098 Harmony Gold Mining ADR* (B) 155,000 1,500 Impala Platinum Holdings 183,398 3,745 JD Group 144,750 530 Liberty Group (B) 103,074 846 Medi-Clinic 140,000 308 Metropolitan Holdings (C) 665,967 899 Mondi (B) 147,602 807 Mr Price Group (B) 257,125 701 MTN Group (B) (C) 349,019 4,927 Murray & Roberts Holdings 265,361 3,118
30 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- Mvelaphanda Resources* 10,950 $ 55 Nampak 652,232 1,114 Nedbank Group (B) 315,942 4,002 Omnia Holdings 17,350 148 Palabora Mining 4,000 41 Remgro (C) 74,899 1,734 Reunert 114,385 806 RMB Holdings (B) 177,727 570 Sanlam (B) (C) 1,907,494 4,108 Sappi (B) 331,909 3,258 Sasol 310,565 13,261 Shoprite Holdings (C) 181,085 1,030 Standard Bank Group 278,781 3,206 Steinhoff International Holdings (B) 352,979 678 Telkom 77,910 997 Tiger Brands 59,816 1,002 --------------- 69,759 --------------- SOUTH KOREA -- 11.8% Daelim Industrial 4,689 291 Daewoo Shipbuilding & Marine Engineering 104,341 2,634 Daishin Securities 640 10 Daou Technology 20,210 84 Dongwon Industries 360 29 Doosan* 3,810 383 Hana Financial Group (C) 23,453 551 Handsome 13,738 119 Hanwha Chemical 75,931 704 Hyundai Department Store 8,620 670 Hyundai Development 85,920 3,209 Hyundai Heavy Industries (C) 27,459 6,357 Hyundai Mipo Dockyard (C) 5,230 766 Hyundai Mobis 8,298 643 Hyundai Motor 16,614 1,040 Kangwon Land 86,980 1,062 KISCO* 3,776 152 KISCO Holdings 1,144 45 Kookmin Bank 58,650 2,569 Korea Development Financing 1,890 61 Korea Electric Power 62,500 1,573 Korea Exchange Bank 81,140 754 Korea Fine Chemical 1,620 79 Korean Petrochemical Industries 2,980 73 KT ADR 60,270 1,012 KT 54,250 1,873 KT Freetel 28,240 700 KT&G 121,016 9,032 Kumho Tire 102,730 658 Kyeryong Construction Industrial 4,010 62 LG 53,674 2,795 LG Chem (C) 35,790 2,808 LG Dacom 12,370 220
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- LG Electronics 41,202 $ 3,812 LG Household & Health Care 4,855 812 LG Philips LCD 97,252 2,477 LG Telecom (C) 77,460 646 Lotte Shopping 9,080 2,066 LS Cable 10,460 709 MegaStudy 5,054 770 Nong Shim 1,125 207 Nong Shim Holdings 2,662 150 Ottogi 710 93 Pacific 3,686 379 POSCO ADR (B) 4,040 377 POSCO 16,613 6,232 Pusan Bank (C) 89,525 809 S1 17,358 884 Samho International 6,730 43 Samsung C&T 27,785 1,231 Samsung Electronics (C) 60,460 27,706 Samsung Fire & Marine Insurance 18,465 3,232 Samsung Heavy Industries 43,999 1,172 Samwhan 6,310 74 Samyang Genex 260 13 SeAH Holdings 60 5 Shinhan Financial Group 133,393 4,772 Shinsegae 9,275 4,378 SK Energy 21,633 1,639 SK Gas 3,709 200 SK Holdings 17,472 1,627 SK Telecom ADR 125,430 2,361 SK Telecom 1,558 267 S-Oil 14,936 860 STX Pan Ocean 331,200 507 Young Poong 30 11 Youngone 21,580 164 --------------- 113,703 --------------- SWEDEN -- 0.1% West Siberian Resources GDR* 1,574,047 1,281 --------------- TAIWAN -- 10.1% Ability Enterprise 622,376 490 Acer 2,134,999 3,639 Advanced Semiconductor Engineering 4,014,404 2,048 Asustek Computer 1,259,453 2,495 AU Optronics 3,487,993 3,949 Cathay Financial Holding 2,746,373 3,796 Chang Hwa Commercial Bank 68,000 35 Chi Mei Optoelectronics 1,848,400 1,218 China Airlines 2,633,000 572 China Bills Finance* 800,000 115 China Development Financial Holding (C) 3,872,450 1,175 China Manmade Fibers* 610,000 92
SEI Institutional International Trust / Annual Report / September 30, 2008 31 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- China Motor 825,985 $ 279 China Petrochemical Development* 792,000 191 China Steel 2,255,700 2,257 Chinatrust Financial Holding 8,320,216 4,571 Chunghwa Picture Tubes 4,200,000 669 Chunghwa Telecom 4,530,363 10,669 Compal Electronics (C) 5,336,755 3,913 CTCI 286,396 195 Far Eastern Textile 1,598,719 1,133 Far EasTone Telecommunications 806,000 1,034 Farglory Land Development 22,000 22 Feng Hsin Iron & Steel 206,000 270 First Financial Holding 563,554 353 Formosa Chemicals & Fibre 723,000 1,256 Formosa Plastics 556,000 904 Fubon Financial Holding 2,736,000 1,982 Gigabyte Technology 328,000 171 Global Brands Manufacture 120,102 53 Grand Pacific Petrochemical* 322,000 55 HannStar Display 3,782,909 841 High Tech Computer 140,800 2,188 HON HAI Precision Industry 1,349,640 4,839 Inventec 959,700 472 Lite-On Technology (C) 1,470,845 1,286 MediaTek 329,065 3,416 Mega Financial Holding 1,643,000 754 Nan Ya Plastics 876,000 1,299 Nan Ya Printed Circuit Board 211,203 660 Nien Hsing Textile 674,000 221 POU Chen 711,000 440 Powerchip Semiconductor* 2,288,626 353 President Chain Store 243,000 717 Quanta Computer (C) 3,411,145 4,277 Siliconware Precision Industries 18,002 21 SinoPac Financial Holdings 5,287,230 1,479 Taishin Financial Holdings 2,843,000 563 Taiwan Cooperative Bank 1,593,850 888 Taiwan Fertilizer 1,025,000 1,917 Taiwan Semiconductor Manufacturing 6,831,436 11,468 Taiwan Semiconductor Manufacturing ADR (B) 436,991 4,095 Teco Electric and Machinery 885,000 311 U-Ming Marine Transport 245,000 354 United Microelectronics 5,040,312 1,625 Universal Scientific Industrial (C) 517,992 170 UPC Technology 400,399 145 Walsin Lihwa 1,630,000 444 Wistron 610,482 759 Yageo 2,729,440 553 Yuanta Financial Holding 1,773,000 982 --------------- 97,138 ---------------
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- THAILAND -- 2.4% Advanced Info Service 166,800 $ 401 Bangkok Bank 391,394 1,198 Bangkok Bank NVDR (B) 464,000 1,418 BEC World 158,871 101 Bumrungrad Hospital 950,800 904 Charoen Pokphand Foods 8,367,600 1,011 Electricity Generating 166,834 313 Kasikornbank 625,300 1,185 Kiatnakin Bank 24,700 12 Krung Thai Bank 10,598,500 1,921 PTT 549,756 3,748 PTT Chemical 110,300 191 PTT Exploration & Production (C) 270,819 1,026 PTT NVDR 150,900 1,029 Ratchaburi Electricity Generating Holding 43,600 45 Siam Cement 215,200 859 Siam Commercial Bank 2,634,416 5,177 Siam Commercial Bank NVDR 471,400 969 Thai Airways International 944,080 336 Thai Rayon 37,000 49 Thai Union Frozen Products (B) 957,900 558 Thoresen Thai Agencies (B) (C) 89,340 69 Total Access Communication 503,200 554 --------------- 23,074 --------------- TURKEY -- 2.0% Akbank 153,739 786 Anadolu Efes Biracilik Ve Malt Sanayii 74,000 759 Bossa Ticaret Sanayi Isletme 80,000 86 Cimsa Cimento Sanayi VE Tica 214,852 826 Eregli Demir ve Celik Fabrikalari 72,000 362 Haci Omer Sabanci Holding 994,382 3,735 KOC Holding* 281,567 851 Tekfen Holding 118,068 664 Trakya Cam Sanayi* 144,000 142 Turk Hava Yollari* 246,347 1,254 Turk Sise ve Cam Fabrikalari 1,671,982 2,042 Turkcell Iletisim Hizmet ADR 11,480 172 Turkcell Iletisim Hizmet 202,371 1,234 Turkiye Garanti Bankasi 932,832 2,205 Turkiye Is Bankasi, Cl C 475,367 1,969 Turkiye Sinai Kalkinma Bankasi* 916,846 733 Turkiye Vakiflar Bankasi Tao, Cl D 628,957 1,028 --------------- 18,848 --------------- UNITED ARAB EMIRATES -- 0.1% Depa GDR* (A) 126,800 539 --------------- UNITED KINGDOM -- 0.8% Anglo American (C) 99,714 3,389 Antofagasta 93,864 683
32 SEI Institutional International Trust / Annual Report / September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- BHP Billiton (B) 50,877 $ 1,171 Eurasian Natural Resources 47,945 438 JKX Oil & Gas 68,600 343 Vedanta Resources 71,412 1,501 --------------- 7,525 --------------- UNITED STATES -- 0.3% Central European Distribution* 26,200 1,190 Lenovo Group (C) (HKD) 4,298,000 1,897 --------------- 3,087 --------------- Total Common Stock (Cost $1,016,786) ($ Thousands) 838,409 --------------- PREFERRED STOCK -- 8.9% BRAZIL -- 8.9% Banco Bradesco 176,600 2,779 Banco Itau Holding Financeira 150,500 2,458 Bombril* 18,000 74 Bradespar 55,511 745 Brasil Telecom 3,261 26 Brasil Telecom Participacoes 99,418 943 Braskem 163,300 872 Centrais Eletricas Brasileiras 27,244 339 Centrais Eletricas de Santa Catarina 13,400 310 Cia de Gas de Sao Paulo 26,000 553 Cia de Tecidos do Norte de Minas - Coteminas Eletrica Paulista* 180,932 492 Cia de Transmissao de Energia Eletrica Paulista* 46,000 1,124 Cia Energetica de Minas Gerais 106,566 2,061 Cia Energetica do Ceara 27,000 259 Cia Paranaense de Energia 101,035 1,375 Cia Vale do Rio Doce, Cl A 469,939 7,869 Cia Vale do Rio Doce Sponsored ADR, Cl B 385,676 6,826 Eletropaulo Metropolitana Eletricidade de Sao Paulo 159,940 2,167 Gerdau 57,100 623 Investimentos Itau 863,517 4,177 Mangels Industrial 5,600 31 Marcopolo 309,175 785 Metalurgica Gerdau, Cl A 60,006 913 NET Servicos de Comunicacao* 394,400 3,380 Petroleo Brasileiro 757,532 13,572 Petroleo Brasileiro Sponsored ADR, Cl A 476,630 17,836 Randon Participacoes 115,000 620 Sadia 151,110 452 Tam 141,285 2,600 Telecomunicacoes de Sao Paulo 46,357 1,057 Telegraph Norte Leste Participacoes 134,288 2,283
Shares/Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Telemar Norte Leste 61,562 $ 1,851 Telemig Celular Participacoes 33,404 619 Tim Participacoes 324,200 667 Uniao de Industrias Petroquimicas 332,800 178 Universo Online 20,000 77 Usinas Siderurgicas de Minas Gerais 96,778 2,023 Votorantim Celulose e Papel 26,600 403 --------------- Total Preferred Stock (Cost $76,524) ($ Thousands) 85,419 --------------- EXCHANGE TRADED FUND -- 0.9% UNITED STATES -- 0.9% iShares MSCI Emerging Markets Index Fund (B) 247,905 8,560 --------------- Total Exchange Traded Fund (Cost $8,927) ($ Thousands) 8,560 --------------- Number of Warrants --------------- EQUITY LINKED WARRANTS -- 0.3% RUSSIA -- 0.2% Sberbank, Expires 02/23/10* 1,313,000 2,258 --------------- UNITED ARAB EMIRATES -- 0.1% Citigroup Global Markets Holdings, Expires 03/24/09 (E)* 270,632 571 --------------- Total Equity Linked Warrants (Cost $3,765) ($ Thousands) 2,829 --------------- DEBENTURE BOND -- 0.0% BRAZIL -- 0.0% Cia Vale do Rio Doce, Ser 1997 0.000%, 09/30/49* 8 -- --------------- Total Debenture Bond (Cost $0) ($ Thousands) -- --------------- Number of Rights --------------- RIGHTS -- 0.0% HONG KONG -- 0.0% China Resources Logic, Expires 10/22/2008* 50 -- --------------- INDIA -- 0.0% Tata Motors, Expires 10/20/08* 19 2 --------------- Total Rights (Cost $0) ($ Thousands) 2 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 33 SCHEDULE OF INVESTMENTS Emerging Markets Equity Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) -------------------------------------------- --------------- --------------- AFFILIATED PARTNERSHIP -- 4.4% UNITED STATES -- 4.4% SEI Liquidity Fund, L.P., 2.590%**+ (F) 43,654,599 $ 42,710 --------------- Total Affiliated Partnership (Cost $43,655) ($ Thousands) 42,710 --------------- CASH EQUIVALENT -- 0.4% UNITED STATES -- 0.4% SEI Daily Income Prime Obligation Fund, Cl A, 2.350%**+ 3,711,896 3,712 --------------- Total Cash Equivalent (Cost $3,712) ($ Thousands) 3,712 --------------- Total Investments -- 101.7% (Cost $1,153,369) ($ Thousands) $ 981,641 ===============
Percentages are based on a Net Assets of $965,730 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + 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, 2008. The total market value of securities on loan at September 30, 2008 was $48,511 ($ Thousands) (See Note 7). (C) 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, 2008 was $638,675 and represented 66.1% of Net Assets. (D) Real Estate Investments Trust (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2008 was $42,710 ($ Thousands). ADR -- American Depositary Receipt BDR -- Brazilian Depositary Receipt Cl -- Class GBP -- British Pound Sterling GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series SGD -- Singapore Dollar Amounts designated as "--" are $O or have been rounded to $O. The accompanying notes are an integral part of the financial statements. 34 SEI Institutional International Trust / Annual Report / September 30, 2008 International Fixed Income Fund September 30, 2008 SECTOR WEIGHTINGS (UNAUDITED)+: (PERFORMANCE GRAPH) Government 41.3% Financials 25.4% Mortgage-Backed Securities 15.3% Asset-Backed Securities 5.0% U.S. Government Agency Obligations 2.5% Consumer Discretionary 1.8% Telecommunication Services 1.7% Loan Participations 1.1% U.S. Treasury Obligations 1.1% Industrials 1.1% Energy 1.0% Utilities 0.8% Basic Materials 0.6% Consumer Staples 0.6% Information Technology 0.4% Healthcare 0.3%
+ Percentages based on total investments.
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- GLOBAL BONDS -- 64.7% AUSTRALIA -- 0.7% Australia Government Bond 6.250%, 04/15/15 300 $ 249 6.000%, 02/15/17 3,280 2,700 FMG Finance 9.750%, 09/01/13 EUR 350 477 Macquarie Bank, Ser E MTN 5.500%, 03/19/09 (A) GBP 336 494 Queensland Treasury 6.000%, 08/14/13 460 366 Rio Tinto Finance USA, Ser E 5.875%, 07/15/13 795 779 --------------- 5,065 --------------- AUSTRIA -- 0.1% Telekom Finanzmanagement, Ser MTN 5.000%, 07/22/13 601 800 --------------- BELGIUM -- 1.4% Kingdom of Belgium, Ser 31 5.500%, 03/28/28 3,872 5,844 Kingdom of Belgium, Ser 40 5.500%, 09/28/17 1,000 1,503 Kingdom of Belgium, Ser 48 4.000%, 03/28/22 2,100 2,747 --------------- 10,094 --------------- BERMUDA -- 0.0% SeaDrill 7.720%, 10/23/08 (A) NOK 2,000 337 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- BRAZIL -- 0.0% Vale Overseas 6.875%, 11/21/36 301 $ 268 --------------- CANADA -- 2.5% Bell Canada MTN 5.000%, 02/15/17 270 200 Canada Treasury Bill 2.379%, 10/30/08 (B) 4,300 4,038 Canadian Natural Resources 5.150%, 02/01/13 175 163 Canadian Pacific Railway 6.500%, 05/15/18 130 123 Government of Canada 5.000%, 06/01/37 4,000 4,259 4.250%, 06/01/18 525 515 3.750%, 06/01/12 6,050 5,823 Province of Ontario Canada 4.200%, 03/08/18 1,950 1,774 YPG Holdings MTN 5.250%, 02/15/16 665 569 --------------- 17,464 --------------- CAYMAN ISLANDS -- 1.0% BES Finance MTN 5.580%, 07/02/09 (A) EUR 869 893 Dar Al-Arkan International 5.041%, 10/16/08 (A) 825 758 Mizuho Capital Investment 5.020%, 06/30/09 (A) EUR 1,850 2,130 MUFG Capital Finance 2 4.850%, 01/25/09 (A) EUR 1,481 1,348 Pacific Life Funding, Ser E MTN 5.500%, 05/14/09 EUR 691 959 Resona Preferred Global Securities 7.191%, 07/30/09 (A) (C) 443 329 Yorkshire Power Finance 7.250%, 08/04/28 GBP 408 746 --------------- 7,163 --------------- CHILE -- 0.1% Nacional del Cobre de Chile - CODELCO 6.150%, 10/24/36 (C) 640 569 --------------- DENMARK -- 1.2% Danica Pension 4.350%, 10/29/49 EUR 1,980 2,544 Danske Bank, Ser E MT 5.875%, 03/26/09 (A) EUR 540 740 Kingdom of Denmark 4.000%, 11/15/17 10,025 1,837
SEI Institutional International Trust / Annual Report / September 30, 2008 35 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Nykredit 5.000%, 01/01/09 (A) 19,051 $ 3,210 --------------- 8,331 --------------- FRANCE -- 5.8% AXA, Ser E MTN 5.777%, 07/06/09 (A) 1,100 1,064 BNP Paribas, Ser E MTN 8.667%, 09/11/09 (A) 100 136 4.750%, 04/04/11 400 556 Caisse Nationale des Autoroutes 4.500%, 03/28/18 813 1,127 Caisse Nationale des Caisses d'Epargne et de Prevoyance, Ser E MTN 6.117%, 10/30/08 (A) 250 228 4.750%, 02/01/09 (A) 200 174 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 332 449 CIE Financement Foncier 4.625%, 09/23/17 1,400 1,905 CMA CGM Registered 5.500%, 05/16/12 170 150 Compagnie De St Gobain, Ser E MTN 5.212%, 10/13/08 (A) 350 457 Credit Agricole MTN 5.971%, 02/01/18 250 336 Credit Logement MTN 5.558%, 12/15/08 (A) 150 192 4.604%, 03/16/09 (A) 350 422 Government of France 5.750%, 10/25/32 6,310 10,066 4.750%, 04/25/35 6,640 9,304 4.000%, 10/25/38 475 589 4.000%, 04/25/18 3,600 4,918 3.750%, 04/25/21 1,700 2,219 3.500%, 04/25/15 2,500 3,383 Groupe Danone MTN 5.250%, 05/06/11 400 564 Lafarge 6.150%, 07/15/11 800 785 Natixis, Ser E MTN 5.212%, 10/27/08 (A) 300 382 Societe Generale, Ser E MTN 6.999%, 12/19/08 (A) 300 315 5.136%, 12/08/08 (A) 200 260 Veolia Environnement, Ser E MTN 6.125%, 10/29/37 GBP 200 333 5.250%, 06/03/13 585 575 --------------- 40,889 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- GERMANY -- 7.2% Bayer MTN 5.000%, 07/29/09 (A) 718 $ 791 Bayer, Ser E MTN 5.625%, 05/23/18 GBP 150 249 5.062%, 10/10/08 (A) 250 348 Bayerische Landesbank, Ser E MTN 4.500%, 02/07/09 (A) 1,000 1,183 Bundesobligation Inflation Linked 2.250%, 04/15/13 300 429 Bundesobligation, Ser 146 3.250%, 04/09/10 1,250 1,749 Bundesobligation, Ser 149 3.500%, 10/14/11 1,200 1,679 Bundesobligation, Ser 150 4.000%, 04/13/12 1,250 1,771 Bundesobligation, Ser 152 3.500%, 04/12/13 100 139 Bundesrepublik Deutschland, Ser 00 5.500%, 01/04/31 1,250 1,949 5.250%, 01/04/11 195 285 Bundesrepublik Deutschland, Ser 03 4.750%, 07/04/34 5,100 7,262 Bundesrepublik Deutschland, Ser 04 3.750%, 01/04/15 330 460 Bundesrepublik Deutschland, Ser 06 4.000%, 07/04/16 120 169 Bundesrepublik Deutschland, Ser 07 4.250%, 07/04/39 6,500 8,608 4.250%, 07/04/17 50 72 Bundesrepublik Deutschland, Ser 08 4.250%, 07/04/18 525 751 4.250%, 07/04/18 10,600 15,159 Commerzbank, Ser E MTN 4.125%, 09/13/09 (A) 400 501 Deutsche Boerse 7.500%, 06/13/09 (A) 250 313 Henkel KGaA 5.375%, 11/25/08 (A) 221 242 KFW 4.700%, 06/02/37 CAD 2,080 1,831 1.350%, 01/20/14 JPY 500,000 4,724 --------------- 50,664 --------------- GREECE -- 1.7% Hellenic Republic 15 Year Bond 4.600%, 07/20/18 6,275 8,577 Hellenic Republic 30 Year Bond 4.500%, 09/20/37 2,700 3,300 --------------- 11,877 ---------------
36 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- HONG KONG -- 0.3% Government of Hong Kong 1.770%, 05/17/10 14,700 $ 1,914 --------------- IRELAND -- 1.0% Anglo Irish Bank, Ser E MTN 5.505%, 12/29/08 (A) 450 500 5.223%, 12/19/08 (A) 200 197 Ardagh Glass Group PIK 10.750%, 03/01/15 293 312 GE Capital European Funding, Ser E MTN 4.375%, 03/30/11 400 510 GE Capital UK Funding, Ser E MTN 5.125%, 03/03/15 GBP 1,875 2,655 Hypo Real Estate International Trust I 5.864%, 06/14/09 (A) 1,000 350 Irish Nationwide Building Society, Ser E MTN 5.875%, 12/15/08 GBP 100 175 5.089%, 11/18/08 (A) 300 412 TransCapit (Transneft) Registered 7.700%, 08/07/13 1,124 996 5.381%, 06/27/12 600 699 UT2 Funding 5.321%, 06/30/16 390 382 --------------- 7,188 --------------- ITALY -- 2.4% Banca Italease, Ser E MTN 5.168%, 11/03/08 (A) 150 194 Banca Popolare di Milano 9.000%, 06/25/09 (A) 200 221 Banco Popolare Scarl, Ser E MTN 5.317%, 11/10/08 (A) 1,350 1,745 Buoni Poliennali Del Tesoro 5.750%, 02/01/33 4,170 6,284 4.500%, 08/01/18 1,300 1,780 2.350%, 09/15/19 850 1,136 IFIL - Investments 5.375%, 06/12/17 200 232 Intesa Sanpaolo, Ser E MTN 6.375%, 11/12/08 (A) GBP 300 517 SanPaolo IMI, Ser E MTN 6.375%, 04/06/10 2,150 3,065 Unicredito Italiano, Ser E MTN 4.500%, 09/22/19 1,300 1,652 --------------- 16,826 --------------- JAPAN -- 12.4% Aiful 6.000%, 12/12/11 (C) 534 416
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Development Bank of Japan 2.300%, 03/19/26 110,000 $ 1,050 East Japan Railway, Ser E MTN 4.750%, 12/08/31 GBP 1,000 1,493 Fukoku Mutual Life Insurance 4.500%, 09/28/09 (A) EUR 500 577 Government of Japan 10 Year Bond, Ser 296 1.500%, 09/20/18 334,000 3,158 Government of Japan 15 Year Bond, Ser 35 0.750%, 01/20/09 (A) 240,500 2,034 Government of Japan 15 Year Bond, Ser 37 0.920%, 11/20/08 (A) 100,000 864 Government of Japan 15 Year Bond, Ser 39 1.220%, 03/20/21 149,000 1,355 Government of Japan 15 Year Bond, Ser 40 1.270%, 11/20/08 (A) 206,600 1,961 Government of Japan 20 Year Bond, Ser 48 2.500%, 12/21/20 1,203,000 12,261 Government of Japan 20 Year Bond, Ser 76 1.900%, 03/20/25 595,000 5,530 Government of Japan 20 Year Bond, Ser 82 2.100%, 09/20/25 719,000 6,832 Government of Japan 20 Year Bond, Ser 99 2.100%, 12/20/27 211,000 1,987 2.100%, 12/20/27 243,300 2,291 Government of Japan 30 Year Bond, Ser 20 2.500%, 09/20/35 64,000 627 Government of Japan 30 Year Bond, Ser 22 2.500%, 03/20/36 287,000 2,808 Government of Japan 5 Year Bond, Ser 75 1.100%, 09/20/13 400,100 3,779 Government of Japan CPI Linked Bond, Ser 10 1.100%, 12/10/16 2,230,000 19,986 Government of Japan CPI Linked Bond, Ser 13 1.300%, 09/10/17 111,600 1,009 Government of Japan CPI Linked Bond, Ser 14 1.200%, 12/10/17 441,694 3,950
SEI Institutional International Trust / Annual Report / September 30, 2008 37 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Government of Japan CPI Linked Bond, Ser 15 1.400%, 03/10/18 92,927 $ 846 Government of Japan CPI Linked Bond, Ser 5 0.800%, 09/10/15 498,988 4,424 Japan Finance for Municipal Enterprises 2.000%, 05/09/16 540,000 5,327 Resona Bank 4.125%, 09/27/09 (A) EUR 1,000 1,115 Sumitomo Mitsui Banking 5.625%, 10/15/08 (A) (C) 228 182 4.375%, 10/15/08 (A) EUR 460 434 4.375%, 10/27/08 (A) EUR 830 1,139 --------------- 87,435 --------------- JERSEY -- 0.1% EFG Hellas Funding, Ser B 4.565%, 11/02/08 (A) 250 219 HBOS Capital Funding 4.939%, 05/23/09 (A) 1,000 797 --------------- 1,016 --------------- LUXEMBOURG -- 0.9% ArcelorMittal 5.375%, 06/01/13 (C) 800 754 Basell AF SCA Registered 8.375%, 08/15/15 173 109 Dexia Funding 4.892%, 11/02/08 (A) 811 513 Gaz Capital 6.212%, 11/22/16 (C) 230 182 Gaz Capital (Gazprom), Ser E MTN 6.580%, 10/31/13 GBP 150 225 Glencore Finance Europe, Ser E MTN 7.125%, 04/23/15 300 391 6.500%, 02/27/19 GBP 400 569 Sogerim, Ser E MTN 7.500%, 04/20/11 2,050 2,953 Tyco International Group 6.000%, 11/15/13 331 324 --------------- 6,020 --------------- MEXICO -- 0.9% Mexican Bonos, Ser M10 7.750%, 12/14/17 25,415 2,214 7.250%, 12/15/16 16,265 1,379 Mexican Bonos, Ser M20 10.000%, 12/05/24 1,675 173 8.000%, 12/07/23 15,540 1,357
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Mexican Bonos, Ser MI10 9.000%, 12/20/12 10,000 $ 932 --------------- 6,055 --------------- NETHERLANDS -- 3.1% Adecco International Financial Services 4.500%, 04/25/13 1,200 1,556 Allianz Finance II 6.125%, 05/31/09 (A) 1,000 1,346 ASML Holding 5.750%, 06/13/17 400 449 Asset Repackaging Trust, Ser E PIK MTN 12.457%, 10/20/08 (A) 301 423 Bank Nederlandse Gemeenten, Ser E MTN 4.000%, 03/02/09 3,000 4,193 BMW Finance, Ser E MTN 5.000%, 08/06/18 383 507 Boats Investments, Ser E MTN 11.000%, 03/31/17 278 286 Eureko 5.125%, 06/24/09 (A) 450 433 Generali Finance 5.479%, 02/08/09 (A) 450 448 Government of Netherlands 7.500%, 01/15/23 2,143 3,917 4.500%, 07/15/17 1,500 2,138 Iberdrola International, Ser E MTN 4.875%, 02/18/13 800 1,095 ING Bank, Ser E MTN 5.500%, 01/04/12 236 331 4.176%, 06/08/09 (A) 382 345 ING Verzekeringen 6.250%, 06/21/09 (A) 1,000 1,348 Linde Finance 8.125%, 01/14/09 (A) GBP 125 222 7.375%, 07/14/09 (A) 300 364 Rabobank Nederland, Ser E MTN 4.125%, 04/04/12 (G) 1,250 1,708 Siemens Financieringsmat 6.125%, 09/14/09 (A) GBP 275 399 --------------- 21,508 --------------- NORWAY -- 1.5% DDI Holding 10.000%, 03/15/12 2,000 315 Eksportfinans MTN 4.375%, 09/20/10 EUR 1,815 2,533 Government of Norway 6.000%, 05/16/11 24,525 4,309 5.500%, 05/15/09 14,500 2,444
38 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- MPU Offshore Lift 0.031%, 12/22/11 (D) 1,500 $ 5 Petrojack 12.790%, 11/28/08 (A) 2,000 321 11.000%, 04/19/10 1,500 241 Petrolia Drilling 12.000%, 06/20/12 1,000 154 Sevan Drilling 11.650%, 12/08/08 (A) 2,000 315 --------------- 10,637 --------------- POLAND -- 0.3% Republic of Poland 5.625%, 06/20/18 EUR 1,275 1,845 5.250%, 04/25/13 242 97 --------------- 1,942 --------------- RUSSIA -- 0.4% Gazprom OAO 9.625%, 03/01/13 470 458 7.288%, 08/16/37 500 355 RS Finance (RSB) 6.825%, 09/16/09 EUR 300 313 RSHB Capital 7.750%, 05/29/18 (C) 1,712 1,300 Steel Capital (Severstal) 9.750%, 07/29/13 (C) 540 443 --------------- 2,869 --------------- SOUTH AFRICA -- 0.5% Foodcorp Registered 8.875%, 06/15/12 EUR 330 292 Republic of South Africa 13.000%, 08/31/10 25,000 3,202 --------------- 3,494 --------------- SPAIN -- 0.1% Mapfre 5.921%, 07/24/09 (A) 350 341 Santander Issuances, Ser E MTN 5.338%, 10/27/08 (A) 250 326 --------------- 667 --------------- SUPRA-NATIONAL -- 2.6% European Investment Bank 6.000%, 08/14/13 AUD 700 546 1.400%, 06/20/17 JPY 1,871,600 17,506 WT Finance 3.625%, 06/27/12 EUR 150 180 --------------- 18,232 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- SWEDEN -- 1.4% Kingdom of Sweden, Ser 1043 5.000%, 01/28/09 44,890 $ 6,449 Kingdom of Sweden, Ser 1046 5.500%, 10/08/12 9,550 1,457 Svenska Handelsbanken, Ser E MTN 5.158%, 10/20/08 (A) EUR 500 670 4.194%, 12/16/08 (A) EUR 467 469 Swedbank, Ser E MTN 5.750%, 03/17/09 (A) GBP 420 554 --------------- 9,599 --------------- SWITZERLAND -- 0.3% UBS 6.625%, 04/11/18 GBP 150 246 6.250%, 09/03/13 EUR 200 267 5.875%, 12/20/17 800 710 5.375%, 04/11/11 EUR 400 541 5.114%, 11/17/08 (A) EUR 500 647 --------------- 2,411 --------------- UNITED ARAB EMIRATES -- 0.8% Emirate of Abu Dhabi 5.500%, 08/02/12 (C) 3,000 3,135 Nakheel Development 3.173%, 12/14/09 1,285 1,189 National Bank of Abu Dhabi, Ser E MTN 5.875%, 02/27/12 GBP 950 1,600 --------------- 5,924 --------------- UNITED KINGDOM -- 8.2% Abbey National Treasury Services 5.375%, 12/30/09 389 682 Abbey National Treasury Services, Ser E MTN 4.250%, 04/12/21 1,850 2,295 AIB UK 1 4.781%, 12/17/08 (A) 194 152 Alliance & Leicester, Ser E MTN 4.750%, 03/01/11 322 550 4.250%, 12/30/08 540 956 Anglian Water Services Financing, Ser A5 6.293%, 07/30/30 500 841 Anglian Water Services Financing, Ser E MTN 5.250%, 10/30/15 280 473 4.625%, 10/07/13 1,450 1,945 Bank of Ireland Holdings, Ser 1 MTN 7.400%, 03/07/09 (A) 550 594 Bank of Scotland, Ser E MTN 4.750%, 06/08/22 1,775 2,145
SEI Institutional International Trust / Annual Report / September 30, 2008 39 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Barclays Bank, Ser E MTN 6.750%, 01/16/09 (A) 350 $ 551 6.000%, 01/23/18 671 847 5.750%, 09/14/26 274 381 4.875%, 12/15/08 (A) 280 248 British Telecommunications 5.750%, 12/07/28 111 155 Brixton 5.250%, 10/21/15 (E) 280 423 Cattles 7.125%, 07/05/17 100 103 Centrica, Ser E MTN 7.000%, 09/19/33 200 338 Chester Asset Receivables, Ser A 6.125%, 10/15/10 EUR 2,160 2,988 Friends Provident 7.747%, 11/21/08 (A) (F) 413 427 Getin Finance, Ser E MTN 6.967%, 11/10/08 (A) 200 272 Hammerson 5.250%, 12/15/16 (E) 280 393 HBOS, Ser E MTN 6.050%, 11/23/08 (A) EUR 405 405 5.125%, 10/14/08 (A) EUR 386 357 4.875%, 03/12/09 (A) EUR 1,000 948 Imperial Tobacco Finance MTN 7.250%, 09/15/14 150 206 Ineo's Group Holdings 7.875%, 02/15/16 EUR 111 83 Lloyds TSB Bank, Ser E MTN 6.625%, 03/30/15 214 356 6.350%, 02/25/09 (A) 391 465 4.385%, 05/12/09 (A) 200 179 Marks & Spencer, Ser E MTN 5.625%, 03/24/14 268 405 MBNA Europe Funding, Ser E MTN 4.500%, 01/23/09 EUR 558 776 National Westminster Bank 6.500%, 09/07/21 220 346 Nationwide Building Society, Ser E MTN 3.375%, 08/17/09 (A) 280 345 3.125%, 01/26/10 352 460 Northern Rock 6.024%, 01/13/09 (A) (F) 50 72 5.625%, 06/22/17 (C) 2,550 2,348 Northumbrian Water Finance 6.000%, 10/11/17 500 877 Novae Group 8.375%, 04/27/09 (A) 100 125 Old Mutual, Ser E MTN 4.500%, 01/18/09 (A) 250 287
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- RBS Capital Trust A 6.467%, 06/30/09 (A) 400 $ 455 Rexam, Ser E MTN 4.375%, 03/15/13 400 494 Royal Bank of Scotland MTN 5.891%, 01/05/09 (A) 150 127 Scottish & Southern Energy MTN 6.250%, 08/27/38 150 266 Southern Gas Networks, Ser A1 MTN 5.198%, 10/21/08 (A) 300 411 Standard Chartered Bank, Ser E MTN 5.875%, 09/26/17 500 618 3.625%, 02/03/09 (A) 400 495 Tesco, Ser E MTN 5.875%, 09/12/16 300 407 United Kingdom Treasury 5.250%, 06/07/12 813 1,502 5.000%, 03/07/12 7,553 13,837 4.500%, 03/07/19 1,180 2,101 4.500%, 12/07/42 1,310 2,321 4.250%, 12/07/46 1,100 1,858 Vodafone Group, Ser E MTN 5.900%, 11/26/32 276 419 4.250%, 05/27/09 EUR 1,218 1,697 W&DB Issuer, Ser B1 5.641%, 10/15/08 (A) 60 74 Westpac New Zealand 7.750%, 03/08/10 NZD 5,000 3,371 Zurich Finance, Ser E MTN 6.700%, 10/02/09 (A) (F) 260 368 --------------- 57,620 --------------- UNITED STATES -- 5.8% American International Group, Ser A3 4.875%, 03/15/09 (A) EUR 800 169 AT&T 5.600%, 05/15/18 915 819 BA Covered Bond Issuer, Ser E MTN 4.125%, 04/05/12 EUR 3,100 4,166 Banca Popolare di Bergamo Capital Trust 8.364%, 02/15/09 (A) EUR 475 638 Banca Popolare Lodi Trust 6.742%, 06/30/09 (A) EUR 955 1,018 Bank of America 5.750%, 12/01/17 735 623 5.650%, 05/01/18 350 295 Bank of America, Ser E MTN 5.125%, 09/26/14 250 321 Bear Stearns 7.625%, 12/07/09 493 498 3.250%, 03/25/09 721 711
40 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- BNP Paribas Capital Trust III 6.625%, 10/23/08 (A) 1,000 $ 1,289 Cablevision Systems, Ser B 8.000%, 04/15/12 235 221 CBS 7.700%, 07/30/10 440 452 Chesapeake Energy 6.250%, 01/15/17 EUR 400 478 CIT Group MTN 5.125%, 09/30/14 75 37 CIT Group, Ser E MTN 5.500%, 12/15/08 GBP 416 712 Citigroup 5.500%, 04/11/13 875 764 5.000%, 09/15/14 5 4 4.750%, 02/10/09 (A) EUR 1,000 1,060 4.625%, 08/03/10 400 365 Comcast 6.950%, 08/15/37 1,060 904 Commerzbank Capital Funding Trust I 5.012%, 04/12/09 (A) EUR 350 299 Countrywide Financial MTN 5.800%, 06/07/12 507 428 Countrywide Home Loan, Ser L MTN 4.000%, 03/22/11 9 8 Countrywide Home Loans, Ser E MTN 5.414%, 11/24/08 (A) 150 209 Deutsche Bank Capital Trust IV MTN 5.330%, 09/19/09 (A) 400 454 DIRECTV Holdings 6.375%, 06/15/15 232 204 Dubai Islamic Bank 3.534%, 03/22/12 1,050 913 Dynegy Holdings 8.375%, 05/01/16 230 200 Electronic Data Systems, Ser B 6.000%, 08/01/13 474 483 Fisher Scientific International 6.125%, 07/01/15 71 69 General Electric Capital 5.625%, 05/01/18 1,170 991 Genworth Financial 1.600%, 06/20/11 JPY 89,000 778 Goldman Sachs Group 7.350%, 10/01/09 283 274 7.125%, 08/07/25 200 291 6.500%, 10/06/10 250 325 5.268%, 11/04/08 (A) EUR 450 487 4.750%, 01/28/14 571 632 3.875%, 01/15/09 328 322
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Hertz 8.875%, 01/01/14 221 $ 191 HSBC Finance, Ser E MTN 6.125%, 01/22/10 GBP 334 588 HVB Funding Trust VIII 7.055%, 03/28/09 (A) 1,600 1,934 JPMorgan Chase Capital XXV 6.800%, 10/01/37 340 261 JPMorgan Chase Bank 4.625%, 05/29/09 (A) EUR 650 785 JPMorgan Chase, Ser E MTN 4.625%, 01/31/11 200 270 4.375%, 11/12/08 (A) 1,000 1,099 L-3 Communications, Ser B 6.375%, 10/15/15 100 92 Merrill Lynch, Ser E MTN 4.625%, 10/02/13 250 271 MGM Mirage 6.750%, 09/01/12 595 466 Morgan Stanley MTN 6.000%, 04/28/15 930 633 Morgan Stanley, Ser E MTN 5.450%, 01/09/17 580 360 3.750%, 03/01/13 EUR 1,000 877 Oracle 5.750%, 04/15/18 1,002 930 Owens Corning 6.500%, 12/01/16 1,330 1,177 Pfizer 1.800%, 02/22/16 JPY 110,000 1,024 Qwest 7.625%, 06/15/15 560 487 Qwest Communications International 7.500%, 02/15/14 335 290 Reynolds American 7.625%, 06/01/16 377 374 7.300%, 07/15/15 195 195 7.250%, 06/01/12 572 587 Schering-Plough 5.375%, 10/01/14 EUR 350 459 SLM, Ser E MTN 5.288%, 12/15/08 (A) EUR 170 143 5.158%, 12/15/08 (A) EUR 300 295 Sprint Capital 8.750%, 03/15/32 203 158 Verizon Communications 5.250%, 04/15/13 315 304 Wal-Mart Stores 4.875%, 01/19/39 GBP 238 347 3.375%, 10/01/08 615 615 Western Union 5.930%, 10/01/16 1,538 1,383 Windstream 8.625%, 08/01/16 220 204
SEI Institutional International Trust / Annual Report / September 30, 2008 41 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- WM Covered Bond Program, Ser E MTN 4.375%, 05/19/14 100 $ 117 3.875%, 09/27/11 250 306 Wyndham Worldwide 6.000%, 12/01/16 372 317 --------------- 40,450 --------------- Total Global Bonds (Cost $482,834) ($ Thousands) 455,328 --------------- MORTGAGE-BACKED SECURITIES -- 14.4% BELGIUM -- 0.4% B-Arena, Ser 2006-1, Cl A 5.057%, 10/22/08 (A) 2,000 2,711 --------------- IRELAND -- 0.2% Immeo Residential Finance, Ser 2, Cl A 5.118%, 12/15/08 (A) 482 603 Talisman Finance, Ser 7, Cl H 7.207%, 10/21/08 (A) 488 460 --------------- 1,063 --------------- JAPAN -- 0.0% JLOC, Ser 37X, Cl B1 1.302%, 10/14/08 (A) 16,820 155 --------------- NETHERLANDS -- 0.9% Beluga Master Issuer, Ser 2006-1, Cl A2 5.092%, 10/28/08 (A) 2,200 2,940 Skyline, Ser 2007-1, Cl D 5.767%, 10/22/08 (A) 200 257 Storm, Ser 2006-1, Cl A2 5.067%, 10/22/08 (A) 2,500 3,360 --------------- 6,557 --------------- UNITED KINGDOM -- 1.7% Arkle Master Issuer, Ser 2006-1X, Cl 2C 5.314%, 11/17/08 (A) 175 241 Arkle Master Issuer, Ser 2006-1X, Cl 5M1 5.234%, 02/17/52 150 176 Arran Residential Mortgages Funding, Ser 2006-1X, Cl BC 5.103%, 10/14/08 (A) 500 665 Canary Wharf Finance, Ser II, Cl C2 6.347%, 10/21/08 (A) 200 250 Eddystone Finance, Ser 2006-1, Cl C 6.379%, 10/20/08 (A) 100 133 Eddystone Finance, Ser 2006-1, Cl B 6.179%, 10/20/08 (A) 100 141
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Gracechurch Mortgage Financing, Ser 2006-1, Cl C3 5.233%, 11/20/08 (A) 250 $ 300 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 2D2 5.363%, 11/20/08 (A) 400 498 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 3A2 5.063%, 11/19/08 (A) 2,000 2,574 Granite Master Issuer, Ser 2006-2, Cl A5 5.058%, 10/20/08 (A) 1,000 1,290 Holmes Master Issuer, Ser 2007-1, Cl 3C2 5.383%, 10/15/08 (A) 150 160 Leek Finance, Ser 15X, Cl BA 6.350%, 12/21/08 (A) 100 114 London and Regional Debt Securitisation, Ser 1, Cl A 6.029%, 10/15/08 (A) 150 236 Permanent Financing, Ser 5, Cl 3A 2.977%, 12/10/08 (A) 1,920 1,885 Permanent Financing, Ser 7, Cl 3B 5.079%, 12/10/08 (A) 2,500 3,266 --------------- 11,929 --------------- UNITED STATES -- 11.2% American Home Mortgage Assets, Ser 2006-6, Cl A1A 3.397%, 10/27/08 (A) 375 227 Banc of America Commercial Mortgage, Ser 2006-6, Cl A2 5.309%, 10/10/45 505 482 Banc of America Commercial Mortgage, Ser 2007-5, Cl A4 5.492%, 10/10/17 1,200 999 BCAP Trust, Ser 2007-AA1, Cl 1A1 3.307%, 10/27/08 (A) 1,835 1,391 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-6, Cl 3A 5.402%, 11/25/08 (A) 503 436 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-2, Cl 2A1 5.650%, 11/25/08 (A) 834 593 Bear Stearns Commercial Mortgage Securities, Ser 2006-PW14, Cl A4 5.201%, 12/11/38 2,775 2,402 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 5.889%, 11/10/08 (A) 1,140 974 Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 6.299%, 11/10/08 (A) 405 356
42 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount (Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 1A4 5.118%, 11/25/08 (A) 2,436 $ 2,098 Citigroup, Ser CD4, Cl A2B 5.205%, 12/11/49 1,250 1,162 Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A3 6.640%, 09/17/10 802 802 Countrywide Alternative Loan Trust, Ser 2006-43CB, Cl 1A7 6.000%, 01/31/37 3,255 2,470 Countrywide Alternative Loan Trust, Ser 2006-OC8, Cl 2A1A 3.297%, 10/27/08 (A) 1,205 1,144 Countrywide Home Loans, Ser 2003-56, Cl 5A1 4.774%, 11/25/08 (A) 553 507 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 1,930 1,843 Credit Suisse First Boston Mortgage Securities, Ser 2003-CKS4, Cl A1 4.485%, 11/15/36 1,511 1,463 Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 6.021%, 11/15/08 (A) 1,250 1,136 Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 5.311%, 12/15/39 1,215 1,053 Deutsche ALT-A Securities, Ser 2006-0A1, Cl A1 3.407%, 10/27/08 (A) 507 302 Deutsche ALT-A Securities, Ser 2007-BAR1, Cl A1 3.287%, 10/27/08 (A) 1,155 1,116 FNMA 5.500%, 10/01/36 9,900 9,882 FNMA 15 Year TBA 5.500%, 10/15/22 2,300 2,318 FNMA 30 Year TBA 5.500%, 10/01/38 11,900 11,866 GNMA TBA 6.000%, 10/01/36 2,700 2,740 5.500%, 10/21/34 1,100 1,101 GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 4A1 5.138%, 11/25/08 (A) 622 524 GSR Mortgage Loan Trust, Ser 2006-0A1, Cl 2A1 3.397%, 10/27/08 (A) 488 297 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 2A1 5.511%, 11/25/08 (A) 2,811 2,276
Face Amount ($ Thousands) Market Value Description (1) ($ Thousands) -------------------------------------------- --------------- --------------- JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CDP5, Cl A4 5.345%, 11/15/08 (A) 1,220 $ 1,105 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 840 730 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 5.440%, 06/12/47 1,380 1,151 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 3A1 5.305%, 11/25/08 (A) 639 565 Keybank, Ser 2000-C1, Cl A2 7.727%, 11/15/08 (A) 2,417 2,451 LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A4 6.136%, 10/15/08 (A) 185 161 LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 5.858%, 10/15/08 (A) 675 578 LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A1A 4.475%, 10/15/29 2,803 2,632 LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 6.317%, 10/15/08 (A) 930 815 LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A4 5.156%, 02/15/31 1,530 1,341 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-3, Cl A4 5.414%, 11/12/08 (A) 1,165 1,022 MLCC Mortgage Investors, Ser 2006-3, Cl 2A1 6.073%, 11/25/08 (A) 1,552 1,415 Morgan Stanley Capital I, Ser 2006-IQ12, Cl A4 5.332%, 12/15/43 2,560 2,220 Morgan Stanley Capital I, Ser 2006-IQ16 Cl A4 5.809%, 12/12/49 1,300 1,107 Morgan Stanley Capital I, Ser 2007-HQ13, Cl A3 5.569%, 12/15/44 1,925 1,606 Salomon Brothers Mortgage Securities Ser 2000-C1, Cl A2 7.520%, 11/18/08 (A) 2,285 2,306 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl A4 5.927%, 11/15/08 (A) 395 355 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C27, Cl A3 5.765%, 11/15/08 (A) 1,150 1,020
SEI Institutional International Trust / Annual Report / September 30, 2008 43 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4 5.308%, 11/15/48 305 $ 261 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR10, Cl 3A2 6.085%, 11/25/08 (A) 445 365 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR18, Cl 3A2 5.543%, 11/25/08 (A) 1,120 885 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-0A3, Cl 4A1 3.625%, 11/25/08 (A) 510 294 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 3A2 5.882%, 11/25/08 (A) 423 345 --------------- 78,690 --------------- Total Mortgage-Backed Securities (Cost $109,197) ($ Thousands) 101,105 --------------- ASSET-BACKED SECURITIES -- 4.2% FRANCE -- 0.4% Auto Compartiment, Ser 2006-1, Cl B 5.213%, 10/27/08 (A) 500 605 Auto Compartiment, Ser 2007-1, Cl A 5.073%, 11/25/08 (A) 1,000 1,349 FCC Sparc, Ser 2005-1, Cl B 5.330%, 07/15/11 400 549 --------------- 2,503 --------------- GERMANY -- 0.1% COMIT, Ser 1, Cl C 5.419%, 12/29/08 (A) 79 103 Prime Bricks, Ser 2007-1, Cl C 5.462%, 10/30/08 (A) 100 130 Prime Bricks, Ser 2007-1, Cl B 5.262%, 10/30/08 (A) 350 462 --------------- 695 --------------- IRELAND -- 0.0% Mermaid Secured Finance, Ser 2007-1, Cl C 5.462%, 10/30/08 (A) 100 130 Mermaid Secured Finance, Ser 2007-1, Cl D 5.262%, 10/30/08 (A) 100 132 --------------- 262 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- JERSEY -- 0.0% Whinstone Capital Management, Ser 1X, Cl B1 6.696%, 10/27/08 (A) 140 $ 150 --------------- NETHERLANDS -- 0.5% Amstel Corporate Loan Offering, Ser 2007-1, Cl A2 5.235%, 12/29/08 (A) 1,000 1,330 Lambda Finance, Ser 2005-1X, Cl A2 5.205%, 11/17/08 (A) 1,500 2,022 --------------- 3,352 --------------- SPAIN -- 0.3% FTA Santander Auto, Ser 1, Cl A 5.022%, 11/25/08 (A) 1,083 1,502 Santander Consumer Finance, Ser 2007-1, Cl A 5.141%, 09/20/22 463 606 --------------- 2,108 --------------- UNITED KINGDOM -- 0.5% Metrix Funding, Ser 1X, Cl A2 5.178%, 11/10/08 (A) 2,500 3,332 --------------- UNITED STATES -- 2.4% Chase Manhattan Auto Owner Trust, Ser 2005-B, Cl A4 4.880%, 06/15/12 2,620 2,624 Citibank Credit Card Issuance Trust, Ser A4, Cl A4 5.375%, 04/11/11 EUR 1,900 2,570 Countrywide Asset-Backed Certificates, Ser 2007-2, Cl 2A1 3.257%, 10/27/08 (A) 1,952 1,849 Ford Credit Auto Owner Trust, Ser 2006-C, Cl A3 5.160%, 11/15/10 2,215 2,201 Home Equity Asset Trust, Ser 2007-2, Cl 2A1 3.317%, 10/27/08 (A) 671 621 MBNA Credit Card Master Note Trust, Ser 2006, Cl A1 4.900%, 07/15/11 1,030 1,032 SLM Student Loan Trust, Ser 2004-2, Cl A5 5.143%, 10/27/08 (A) 1,000 1,249 SLM Student Loan Trust, Ser 2008-5, Cl A4 4.500%, 07/25/23 900 892 3.900%, 10/25/16 800 790
44 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- SLM Student Loan Trust, Ser 2008-5, Cl A3 4.100%, 01/25/18 900 $ 898 Soundview Home Equity Loan Trust, Ser 2007-NS1, Cl A1 3.327%, 10/27/08 (A) 1,392 1,325 Structured Asset Investment Loan Trust, Ser 2006-BNC3, Cl A2 3.247%, 10/27/08 (A) 816 800 Wells Fargo Home Equity Trust, Ser 2006-2, Cl A1 3.277%, 10/27/08 (A) 56 56 --------------- 16,907 --------------- Total Asset-Backed Securities (Cost $29,368) ($ Thousands) 29,309 --------------- CORPORATE OBLIGATIONS -- 3.8% UNITED STATES -- 3.8% AT&T 6.500%, 09/01/37 650 553 AutoNation 6.334%, 04/15/13 (A) (C) 44 37 Baxter International 5.375%, 06/01/18 745 712 Bear Stearns MTN 6.950%, 08/10/12 363 367 Capital One Bank 4.250%, 12/01/08 521 517 Caterpillar Financial Services MTN 6.200%, 09/30/13 810 810 Centex 7.500%, 01/15/12 366 337 CIT Group MTN 7.625%, 11/30/12 290 184 Citicorp MTN 6.375%, 11/15/08 111 111 Comcast Cable Communications 6.200%, 11/15/08 251 251 Computer Sciences 5.500%, 03/15/13 (C) 605 587 Countrywide Financial 6.250%, 05/15/16 132 94 CSC Holdings 8.125%, 07/15/09 65 64 Embarq 7.082%, 06/01/16 1,283 1,040 Fisher Scientific International 6.750%, 08/15/14 107 105 Freeport-McMoRan Copper & Gold 8.250%, 04/01/15 225 221
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Historic TW 9.125%, 01/15/13 720 $ 756 ILFC E-Capital Trust I 5.900%, 12/21/08 (A) (C) 150 45 International Paper 7.950%, 06/15/18 260 255 JPMorgan Chase MTN 6.000%, 01/15/18 1,370 1,249 3.254%, 12/22/08 (A) 4,000 3,980 Kraft Foods 6.125%, 08/23/18 735 686 Liberty Mutual Group 7.800%, 03/15/37 (C) 315 190 Limited Brands 5.250%, 11/01/14 935 783 Masco 6.125%, 10/03/16 500 434 McKesson 5.250%, 03/01/13 615 611 Merrill Lynch 6.050%, 05/16/16 375 306 4.125%, 01/15/09 645 634 MGM Mirage 8.375%, 02/01/11 211 172 Mirant Americas Generation 8.500%, 10/01/21 399 309 Mohawk Industries 6.125%, 01/15/16 850 766 Motorola 7.500%, 05/15/25 85 72 6.500%, 09/01/25 531 407 NB Capital Trust IV 8.250%, 04/15/27 614 591 Nextel Communications 6.875%, 10/31/13 1,012 688 Nisource Finance 6.800%, 01/15/19 710 645 NRG Energy 7.375%, 02/01/16 225 203 PPG Industries 6.650%, 03/15/18 562 555 Prudential Financial MTN 5.150%, 01/15/13 355 336 Reliant Energy 7.875%, 06/15/17 225 166 7.625%, 06/15/14 175 131 Sara Lee 6.250%, 09/15/11 448 452 SLM MTN 5.050%, 11/14/14 1,392 849 Starwood Hotels & Resorts Worldwide 7.375%, 11/15/15 1,194 1,128
SEI Institutional International Trust / Annual Report / September 30, 2008 45 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Union Bank of California MTN 5.950%, 05/11/16 392 $ 355 Union Carbide 7.750%, 10/01/96 910 800 United States Steel 6.050%, 06/01/17 615 534 Wachovia MTN 5.500%, 05/01/13 815 675 Wachovia Capital Trust III 5.800%, 03/15/09 (A) 385 162 Western Financial Bank 9.625%, 05/15/12 432 403 Williams 7.875%, 09/01/21 207 207 Xerox 7.625%, 06/15/13 210 213 --------------- Total Corporate Obligations (Cost $29,973) ($ Thousands) 26,738 --------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.3% FNMA 2.076%, 11/04/08 (B) 11,200 11,179 2.359%, 12/01/08 (B) 4,700 4,682 --------------- Total U.S. Government Agency Obligations (Cost $15,860) ($ Thousands) 15,861 --------------- LOAN PARTICIPATIONS -- 1.0% UNITED STATES -- 1.0% Aramark Term Loan 8.071%, 01/26/14 GBP 295 446 Beverly Enterprises Term Loan 5.219%, 07/24/11 284 256 Boston Generating Term Loan 6.012%, 12/22/13 740 466 Cablevision Ser B Term Loan, Ser B 4.569%, 03/14/13 488 439 Education Management Term Loan 5.563%, 05/26/13 719 625 First Data Term Loan 5.551%, 09/24/14 1 1 Firstlight Power Resources Term Loan, 2nd Lien 7.711%, 05/01/14 400 379
Face Amount (Thousands) (1) Market Value Description /Contracts ($ Thousands) -------------------------------------------- --------------- --------------- Ford Motor Company Term Loan 5.490%, 11/29/13 737 $ 486 Lear Term Loan 5.301%, 04/25/12 815 632 London Arena & Waterfront Term Loan 5.314%, 01/31/12 952 866 Momentive Performance Term Loan 4.750%, 12/04/13 977 849 Peach Holding Term Loan 7.060%, 11/21/13 568 468 Targus Group Term Loan 6.450%, 11/22/12 451 297 TP Generation Holdings Term Loan 6.600%, 12/15/14 500 461 TXU Term Loan 6.302%, 10/31/14 396 333 United Subcontractors Term Loan 8.140%, 12/27/12 684 378 --------------- Total Loan Participations (Cost $9,275) ($ Thousands) 7,382 --------------- U.S. TREASURY OBLIGATIONS -- 1.0% U.S. Treasury Bond 8.875%, 02/15/19 2,000 2,799 U.S. Treasury Inflationary Index Notes 3.000%, 07/15/12 2,569 2,674 1.750%, 01/15/28 1,737 1,516 --------------- Total U.S. Treasury Obligations (Cost $7,249) ($ Thousands) 6,989 --------------- PURCHASED OPTION -- 0.0% SOUTH KOREA -- 0.0% November 2008 EUR Call, Expires 11/18/08 Strike Price: $3.50* 4,200,000 44 --------------- Total Purchased Option (Cost $21) ($ Thousands) 44 --------------- Total Investments -- 91.4% (Cost $683,777) ($ Thousands) $ 642,756 ===============
46 SEI Institutional International Trust / Annual Report / September 30, 2008 A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ----------------- -------------- ------------- -------------- 10/6/08 SGD 3,682 USD 2,697 $ 122 10/6/08 USD 2,605 SGD 3,682 (29) 10/8/08 USD 901 MXP 9,904 (1) 10/8/08-10/10/08 USD 13,231 CAD 14,024 (34) 10/8/08-10/20/08 USD 2,698 NOK 15,672 (48) 10/8/08-10/23/08 USD 29,444 JPY 3,129,095 67 10/8/08-10/23/08 USD 4,589 SEK 30,598 (198) 10/8/08-11/10/08 CAD 36,777 USD 34,915 276 10/8/08-11/10/08 JPY 14,919,895 USD 140,637 (521) 10/8/08-11/10/08 MXP 77,024 USD 7,440 449 10/8/08-11/10/08 NOK 26,980 USD 4,788 230 10/8/08-11/10/08 SEK 39,642 USD 5,980 291 10/8/08-12/10/08 AUD 22,082 USD 19,991 2,598 10/8/08-12/10/08 EUR 282,311 USD 414,107 16,730 10/8/08-12/10/08 GBP 56,244 USD 106,517 6,107 10/8/08-12/10/08 USD 15,686 AUD 18,026 (1,489) 10/8/08-12/10/08 USD 149,232 EUR 104,630 (2,138) 10/8/08-12/10/08 USD 55,751 GBP 29,876 (2,424) 10/10/08 AUD 7,993 EUR 4,560 108 10/10/08 AUD 4,894 GBP 2,246 147 10/10/08 EUR 4,076 AUD 7,245 (17) 10/10/08 EUR 3,395 SEK 32,350 (132) 10/10/08 GBP 3,429 AUD 7,575 (143) 10/10/08 SEK 32,350 EUR 3,399 137 10/10/08-12/10/08 CHF 8,000 NZD 10,330 (300) 10/10/08-12/10/08 NZD 10,448 CHF 8,000 222 10/10/08-1/14/09 NOK 36,436 JPY 725,000 740 10/10/08-2/11/09 GBP 3,077 SGD 8,000 124 10/10/08-2/12/09 JPY 834,000 NOK 41,961 (859) 10/10/08-3/11/09 EUR 21,684 JPY 3,472,091 2,407 10/10/08-3/11/09 GBP 7,536 JPY 1,475,000 619 10/10/08-3/11/09 JPY 3,443,000 EUR 21,637 (2,200) 10/10/08-3/11/09 JPY 1,475,000 GBP 7,395 (871) 10/10/08-3/11/09 SGD 9,400 GBP 3,593 (193) 10/23/08 DKK 26,641 USD 5,647 618 10/23/08 PLN 11,483 USD 5,095 332 10/23/08 USD 4,316 PLN 9,917 (203)
UNREALIZED CURRENCY CURRENCY APPRECIATION SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ----------------- ----------- ----------- -------------- 10/23/08 USD 951 ZAR 7,213 $ (84) 10/23/08 ZAR 35,449 USD 4,527 265 10/23/08-2/11/09 NZD 11,402 USD 8,145 587 11/10/08-3/11/09 USD 4,967 NZD 7,209 (214) 11/13/08 CHF 7,850 USD 6,960 (74) 11/13/08 USD 245 CHF 267 (6) 1/13/09 CHF 4,000 EUR 2,499 (77) 1/13/09 EUR 2,518 CHF 4,000 50 1/13/09-2/11/09 AUD 2,132 CHF 2,000 132 1/13/09-2/11/09 CHF 2,000 AUD 2,107 (151) 1/13/09-2/11/09 GBP 5,064 CHF 10,100 51 1/13/09-3/11/09 CHF 12,300 GBP 6,140 (118) ------- $20,885 =======
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- -------------- 30-Day FED Fund (8) Oct-2008 $ 2 Australian 10-Year Bond 58 Dec-2008 87 Canadian 10-Year Bond 48 Dec-2008 (82) Euro-Bobl 145 Dec-2008 219 Euro-Bund 136 Dec-2008 204 Euro-Schatz 390 Dec-2008 255 Long Gilt 10-Year Bond 40 Dec-2008 26 U.S. 10-Year Note (332) Dec-2008 280 U.S. 2-Year Note (231) Dec-2008 (264) U.S. 5-Year Note (38) Dec-2008 (18) U.S. 5-Year Note 3 Dec-2008 1 U.S. Long Treasury Bond (137) Dec-2008 147 ----- $ 857 =====
A summary of outstanding swap agreements held by the fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET REFERENCE NOTIONAL UNREALIZED ENTITY/ TERMINATION AMOUNT APPRECIATION COUNTERPARTY OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) --------------- ---------------- -------------------- --------------------- ----------- ----------- ------------- Lehman Brothers Lehman Brothers Global Aggregate 3-Month USD LIBOR EX USD RBI Ser 1 Plus 11 Basis Points Positive Price Return 02/01/09 85,639 $112(H) ====
CREDIT DEFAULT SWAPS
NET REFERENCE NOTIONAL UNREALIZED ENTITY/ BUY/SELL (PAYS)/ TERMINATION AMOUNT DEPRECIATION COUNTERPARTY OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) --------------- ---------------- -------------------- --------------------- ----------- ----------- ------------- Merrill Lynch iTraxx Europe Crossover Series 9 5-Year Sell 6.50% 06/20/13 5,000 $(66) Merrill Lynch iTraxx Europe Series 9 5-Year Sell 1.65 06/20/13 5,000 (10) Citigroup Kaupthing Bank HF, Floating Rate, 12/01/09 Sell 4.00 12/20/08 400 (17) ---- $(93) ====
SEI Institutional International Trust / Annual Report / September 30, 2008 47 SCHEDULE OF INVESTMENTS International Fixed Income Fund (Concluded) September 30, 2008 INTEREST RATE SWAPS
NET UNREALIZED APPRECIATION TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES DATE (THOUSANDS)(1) ($ THOUSANDS) ------------------- ----------------- ----------------- ----------- --------------- -------------- Deutsche Bank 6-Month GBP LIBOR 5.12% 04/03/10 GBP 4,900 $ (40) Deutsche Bank 4.31% 6-Month EURIBOR 04/07/10 EUR 6,500 61 Deutsche Bank 6-Month GBP LIBOR 5.50% 03/22/12 GBP 6,000 72 Deutsche Bank 3-Month NZD LIBOR 7.66% 03/26/12 NZD 3,000 59 Deutsche Bank 6-Month EURIBOR 4.17% 03/28/13 EUR 7,000 7 JPMorgan Chase Bank 4.27% 3-Month CAD LIBOR 03/22/12 CAD 15,000 (397) JPMorgan Chase Bank 6-Month GBP LIBOR 4.90% 03/11/10 GBP 4,900 (36) JPMorgan Chase Bank 3.91% 6-Month EURIBOR 03/13/10 EUR 6,500 (91) JPMorgan Chase Bank 6-Month JPY LIBOR 1.29% 03/26/12 JPY 2,600,000 103 JPMorgan Chase Bank 4.20% 6-Month EURIBOR 03/30/12 EUR 3,000 (32) JPMorgan Chase Bank 6-Month EURIBOR 4.38% 01/07/13 EUR 5,400 72 JPMorgan Chase Bank 6-Month JPY LIBOR 2.22% 03/26/27 JPY 750,000 128 ----- $ (94) =====
Percentages are based on a Net Assets of $703,324 ($ Thousands). * Non-income producing security. (1) In local currency unless otherwise indicated. (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (B) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (C) 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. (D) Security in default on interest payments. (E) Real Estate Investments Trust. (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2008. The coupon on a step bond changes on a specified date. (G) Security purchased on a when-issued basis. (H) The swap value has been reduced by $772 (Thousands) to reflect the collectibility of the value. AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CPI -- Consumer Price Index DKK -- Danish Kroner EURIBOR -- Euro London Interbank Offered Rate EUR -- Euro FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association JPY -- Japanese Yen LIBOR -- London Interbank Offered Rate MTN -- Medium Term Note MXP -- Mexican Peso NOK -- Norwegian Krone NZD -- New Zealand Dollar PIK -- Payment-in-Kind PLN -- Polish Zloty SEK -- Swedish Krone 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 $O. The accompanying notes are an integral part of the financial statements. 48 SEI Institutional International Trust / Annual Report / September 30, 2008 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund September 30, 2008 SECTOR WEIGHTINGS (UNAUDITED)+: (PERFORMANCE GRAPH) Government 75.0% Financials 6.2% Energy 4.9% Loan Participations 4.8% Deposits to Counterparty as Collateral for Swap Contracts 3.9% Affiliated Partnership 1.4% Industrials 1.2% Telecommunication Services 0.8% Basic Materials 0.8% Utilities 0.7% Purchased Options 0.2% Warrants 0.1%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- -------------- GLOBAL BONDS -- 85.1% ANGOLA -- 0.2% Republic of Angola 7.132%, 04/30/16 EUR 1,300 $ 1,774 -------------- ARGENTINA -- 5.1% Alto Parana 6.375%, 06/09/17 (A) 440 416 Cia Transporte Energia 8.875%, 12/15/16 (A) 470 277 Earls Eight MTN 9.000%, 10/03/09 (A) (B) 420 246 Province of Buenos Aires 9.625%, 04/18/28 (A) 1,605 907 Province of Buenos Aires Registered 9.625%, 04/18/28 695 341 9.375%, 09/14/18 470 249 3.000%, 11/15/09 (B) 1,200 336 Province of Medoza Registered 5.500%, 09/04/18 401 235 Provincia Del Neuquen 8.656%, 10/18/14 (A) 232 225 Republic of Argentina 12.000%, 09/19/16 (C) 1,000 194 11.750%, 05/20/11 (C) 2,500 503 9.750%, 09/19/27 (C) 2,150 634 9.335%, 12/15/08 (D) 3,655 306 9.250%, 07/20/04 (C) 1,375 548 9.000%, 06/20/49 (C) 1,125 457 9.000%, 05/26/49 (C) 2,650 975 9.000%, 05/24/49 (C) 1,400 575 8.500%, 07/01/49 (C) 775 315 8.280%, 12/31/33 (E) 20,190 11,534 8.125%, 04/21/49 (C) 4,200 1,581 8.000%, 02/26/08 (C) 1,000 392 8.000%, 02/25/35 (C) 864 350
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- -------------- 7.625%, 03/31/05 (C) 1,120 $ 314 7.000%, 09/12/13 1,265 863 7.000%, 10/03/15 2,000 1,150 7.000%, 03/18/49 (C) ITL 1,475,000 305 3.127%, 02/03/09 (D) 9,805 3,545 2.500%, 03/31/09 (B) 44,020 10,851 1.318%, 12/15/08 (D) 32,825 2,642 0.000%, 07/13/49 (C) ITL 3,245,000 644 Republic of Argentina, Ser E MTN 10.000%, 01/03/07 (C) ITL 3,000,000 626 8.750%, 02/04/49 (C) 1,375 483 8.500%, 07/30/10 (C) 2,000 674 7.625%, 08/11/07 (C) ITL 2,325,000 453 Transportadora Gas Norte 9.000%, 12/31/09 (A) (B) 260 152 9.000%, 12/31/09 (B) 130 79 7.500%, 12/31/10 (B) 114 70 7.500%, 12/31/10 (B) 78 47 7.500%, 12/31/10 (A) (B) 30 18 -------------- 44,512 -------------- BELIZE -- 0.0% Government of Belize Registered 4.250%, 02/20/29 400 264 -------------- BOSNIA AND HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina 10.039%, 12/11/17 (F) DEM 2,300 1,098 -------------- BRAZIL -- 12.6% Banco Safra MTN 10.875%, 04/03/17 (A) BRL 2,800 1,180 Banco Votorantim Nassau MTN 10.625%, 04/10/14 (A) BRL 2,750 1,120 Braskem Finance 7.250%, 06/05/18 (A) BRL 410 373 Cesp-Comp Ener Sao Paulo MTN 9.750%, 01/15/15 (A) BRL 1,375 780 Federal Republic of Brazil 12.500%, 01/05/22 1,400 744 12.500%, 01/05/16 3,500 1,883 12.250%, 03/06/30 175 275 11.000%, 08/17/40 26,162 32,833 10.250%, 01/10/28 1,400 642 10.125%, 05/15/27 4,735 6,227 8.875%, 04/15/24 1,800 2,151 8.750%, 02/04/25 4,560 5,358 8.500%, 09/24/12 2,615 3,783 8.250%, 01/20/34 3,490 3,952 8.000%, 01/15/18 7,645 8,199 7.875%, 03/07/15 810 866 7.125%, 01/20/37 9,885 10,157 6.000%, 01/17/17 1,450 1,399
SEI Institutional International Trust / Annual Report / September 30, 2008 49 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- GTL Trade Finance 7.250%, 10/20/17 (A) 3,530 $ 3,385 National Development 6.369%, 06/16/18 (A) 3,790 3,335 Nota Do Tesouro Nacional 10.000%, 01/01/17 24,921 10,320 10.000%, 01/01/14 14,450 6,293 Petrobras International Finance 5.875%, 03/01/18 4,890 4,445 Usiminas Commercial 7.250%, 01/18/18 530 501 7.250%, 01/18/18 (A) 100 94 Vale Overseas 6.875%, 11/21/36 220 196 6.250%, 01/23/17 85 79 --------------- 110,570 --------------- BULGARIA -- 0.3% Republic of Bulgaria Registered 8.250%, 01/15/15 2,300 2,519 --------------- CHILE -- 0.1% Nacional del Cobre de Chile - CODELCO 6.375%, 11/30/12 1,245 1,293 --------------- CHINA -- 0.0% Citic Resources Finance 6.750%, 05/15/14 (A) 300 228 --------------- COLOMBIA -- 5.3% BanColombia 6.875%, 05/25/17 425 408 Bogota Distrio Capital 9.750%, 07/26/28 (A) COP 2,881,000 1,097 EEB International 8.750%, 10/31/14 (A) 340 338 Republic of Colombia 11.750%, 02/25/20 5,830 8,060 10.750%, 01/15/13 620 726 10.375%, 01/28/33 450 612 9.850%, 06/28/27 COP 16,809,700 7,089 8.250%, 12/22/14 4,560 4,948 8.125%, 05/21/24 5,900 6,461 7.375%, 09/18/37 7,305 7,312 7.375%, 01/27/17 7,310 7,657 6.364%, 12/17/08 (D) 1,125 1,153 TGI International 9.500%, 10/03/17 (A) 660 657 --------------- 46,518 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- DOMINICAN REPUBLIC -- 0.3% Republic of Dominican Republic 9.040%, 01/23/18 618 $ 536 8.625%, 04/20/27 1,125 979 Standard Bank 15.000%, 03/12/12 (A) 481 356 Standard Bank, Ser E MTN 15.000%, 07/20/09 (D) 658 627 --------------- 2,498 --------------- ECUADOR -- 1.0% Republic of Ecuador Registered 10.000%, 08/15/30 (B) 9,995 7,496 9.375%, 12/15/15 1,935 1,626 --------------- 9,122 --------------- EL SALVADOR -- 1.5% Republic of El Salvador 8.250%, 04/10/32 3,555 3,591 7.750%, 01/24/23 995 1,005 7.650%, 06/15/35 8,691 8,517 --------------- 13,113 --------------- GABON -- 0.4% Republic of Gabon 8.200%, 12/12/17 (A) 3,730 3,581 --------------- GEORGIA -- 0.2% Republic of Georgia 7.500%, 04/15/13 2,050 1,696 --------------- GHANA -- 0.4% Republic of Ghana 8.500%, 10/04/17 (A) 2,935 2,774 8.500%, 10/04/17 1,090 974 --------------- 3,748 --------------- INDIA -- 0.4% Vedanta Resources 9.500%, 07/18/18 (A) 3,885 3,298 --------------- INDONESIA -- 4.9% JPMorgan Chase Bank MTN 5.579%, 02/23/10 (A) (F) IDR 34,152,000 3,062 Majapahit Holding 7.875%, 06/29/37 (A) 555 411 7.750%, 10/17/16 280 248 7.750%, 10/17/16 (A) 260 221 7.250%, 06/28/17 (A) 770 678
50 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Republic of Indonesia 12.800%, 06/15/21 IDR 9,410,000 $ 967 12.500%, 03/15/13 IDR 8,300,000 867 8.500%, 10/12/35 5,790 5,749 7.750%, 01/17/38 300 271 7.750%, 01/17/38 16,740 15,124 7.500%, 01/15/16 (A) 1,760 1,725 7.500%, 01/15/16 1,040 1,024 7.250%, 04/20/15 1,095 1,069 7.250%, 04/20/15 (A) 285 278 6.875%, 03/09/17 670 625 6.875%, 01/17/18 (A) 5,905 5,374 6.750%, 03/10/14 1,050 1,018 6.750%, 03/10/14 (A) 700 678 6.750%, 03/10/14 (A) 1,200 1,152 6.625%, 02/17/37 (A) 800 637 6.625%, 02/17/37 1,800 1,438 --------------- 42,616 --------------- IRAQ -- 1.5% Republic of Iraq 5.800%, 01/15/28 20,675 13,232 --------------- ISRAEL -- 0.1% Israel Electric MTN 7.250%, 01/15/19 750 751 --------------- JAMAICA -- 0.0% Digicel Group 8.875%, 01/15/15 (A) 550 462 --------------- KAZAKHSTAN -- 1.7% HSBK Europe 9.250%, 10/16/13 (A) 1,135 863 7.250%, 05/03/17 (A) 500 300 Kazkommerts International MTN 7.500%, 11/29/16 (A) 450 256 Kazkommerts International Registered MTN 7.500%, 11/29/16 900 513 KazMunaiGaz Finance Sub MTN 9.125%, 07/02/18 (A) 10,675 9,074 8.375%, 07/02/13 (A) 5,000 4,300 --------------- 15,306 --------------- LEBANON -- 0.7% Lebanese Republic Registered MTN 8.250%, 04/12/21 950 893 4.000%, 12/31/17 6,441 5,024 --------------- 5,917 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- MALAYSIA -- 1.0% Petroliam Nasional 7.750%, 08/15/15 1,335 $ 1,533 7.625%, 10/15/26 395 463 Petronas Capital Registered 7.875%, 05/22/22 5,775 6,794 --------------- 8,790 --------------- MEXICO -- 5.1% Grupo Televisa 6.000%, 05/15/18 (A) 600 566 Mexican Bonos, Ser M10 7.750%, 12/14/17 MXP 25,000 2,178 7.250%, 12/15/16 MXP 78,920 6,690 Mexican Bonos, Ser M20 10.000%, 12/05/24 MXP 24,378 2,518 Pemex Project Funding Master Trust 6.625%, 06/15/35 450 412 5.750%, 03/01/18 (A) 500 473 5.750%, 03/01/18 1,305 1,235 United Mexican States 8.375%, 01/14/11 810 871 8.300%, 08/15/31 5,850 6,918 7.500%, 01/14/12 910 974 7.500%, 04/08/33 4,330 4,730 6.625%, 03/03/15 1,350 1,404 6.375%, 01/16/13 400 411 6.050%, 01/11/40 1,340 1,201 5.625%, 01/15/17 4,750 4,638 United Mexican States, Ser A MTN 6.750%, 09/27/34 7,948 7,988 5.875%, 01/15/14 1,510 1,519 --------------- 44,726 --------------- NIGERIA -- 0.5% Citigroup Funding 10.000%, 01/03/17 (D) 1,500 1,347 6.000%, 05/18/15 (A) 800 783 UBS MTN 6.296%, 11/03/08 (A) (D) 1,320 1,464 0.000%, 09/04/17 (A) (D) 750 753 --------------- 4,347 --------------- OMAN -- 0.1% Blue City Investments 13.750%, 11/07/13 (G) 750 654 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 51 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- PAKISTAN -- 0.2% Republic of Pakistan 7.125%, 03/31/16 900 $ 439 6.875%, 06/01/17 3,290 1,555 --------------- 1,994 --------------- PANAMA -- 2.6% Republic of Panama 9.375%, 04/01/29 6,727 8,342 9.375%, 01/16/23 560 683 8.875%, 09/30/27 4,700 5,687 8.125%, 04/28/34 720 794 7.250%, 03/15/15 4,985 5,172 6.700%, 01/26/36 1,960 1,852 --------------- 22,530 --------------- PERU -- 2.0% Banco de Credito del Peru 7.170%, 10/15/08 (A) (D) PEI 1,950 554 Interoceanica IV Finance 3.915%, 11/30/25 (A) (F) 984 425 3.791%, 11/30/18 (A) (F) 450 278 Peru Enhanced Pass-Through Finance 6.272%, 05/31/25 (A) (F) 320 104 4.117%, 05/31/18 (F) 250 165 4.040%, 05/31/18 (A) (F) 1,472 920 Republic of Peru 9.875%, 02/06/15 5 6 8.750%, 11/21/33 360 428 8.375%, 05/03/16 3,380 3,600 7.350%, 07/21/25 9,600 9,552 6.900%, 08/12/37 (A) PEI 2,800 767 6.550%, 03/14/37 485 449 --------------- 17,248 --------------- PHILIPPINES -- 5.6% National Power 9.625%, 05/15/28 1,400 1,568 6.875%, 11/02/16 (A) 965 888 Republic of Philippines 10.625%, 03/16/25 3,395 4,519 9.500%, 02/02/30 3,680 4,563 9.375%, 01/18/17 4,625 5,423 8.875%, 03/17/15 1,150 1,282 8.250%, 01/15/14 450 484 8.000%, 01/15/16 7,970 8,388 7.750%, 01/14/31 (E) 6,533 6,860 7.500%, 09/25/24 14,436 15,158 --------------- 49,133 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- RUSSIA -- 11.8% Alfa Diversified Payment Rights Finance MTN 4.719%, 12/15/08 (A) (D) 392 $ 333 Alfa Invest MTN 9.250%, 06/24/13 (A) 1,200 1,185 Gaz Capital MTN 6.510%, 03/07/22 215 158 6.212%, 11/22/16 2,000 1,489 Gaz Capital for Gazprom Registered 9.625%, 03/01/13 1,500 1,462 8.625%, 04/28/34 2,820 2,566 GPB Eurobond Finance for Gazprombank 6.500%, 09/23/15 750 522 Kazan Orgsintez 9.250%, 10/30/11 505 458 Kuznetski Capital for Bank of Moscow 8.961%, 11/25/10 (B) 1,200 772 Lukoil International Finance 6.656%, 06/07/22 (A) 245 164 RSHB Capital 7.750%, 05/29/18 (A) 1,200 911 7.175%, 05/16/13 400 326 7.125%, 01/14/14 (A) 1,630 1,349 6.299%, 05/15/17 (A) 2,375 1,696 Russian Federation Registered 12.750%, 06/24/28 6,805 10,990 7.500%, 03/31/30 60,332 61,764 Steel Capital (Severstal) 9.750%, 07/29/13 (A) 355 291 Teorema Holding 11.000%, 10/27/09 (G) 3,400 3,230 TransCapital (Transneft) 6.103%, 06/27/12 (A) 700 637 TransCapitalInvest for AK Transneft 8.700%, 08/07/18 (A) 2,930 2,623 7.700%, 08/07/13 (A) 150 137 UBS (Vimpelcom) 8.250%, 05/23/16 570 405 Vimpel Communications 8.375%, 04/30/13 (A) 1,350 1,073 VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 (A) 1,950 1,514 VTB Capital 7.815%, 02/04/09 (B) (D) 1,735 1,561 6.875%, 05/29/18 (A) 4,035 3,102 6.609%, 10/31/12 (A) 3,500 2,800 --------------- 103,518 ---------------
52 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- SINGAPORE -- 0.1% DBS Bank MTN 5.000%, 11/15/08 (A) (D) 195 $ 170 United Overseas Bank 5.375%, 03/03/09 (A) (D) 1,000 901 --------------- 1,071 --------------- SOUTH AFRICA -- 0.9% Republic of South Africa 8.500%, 06/23/17 860 985 6.500%, 06/02/14 3,895 3,817 5.875%, 05/30/22 3,640 3,146 --------------- 7,948 --------------- SOUTH KOREA -- 0.1% Shinhan Bank 6.819%, 03/20/09 (D) 630 538 Woori Bank 6.208%, 05/02/37 610 400 --------------- 938 --------------- SUPRA-NATIONAL -- 0.3% European Investment Bank MTN 10.000%, 01/28/11 TRY 3,770 2,593 --------------- THAILAND -- 0.1% Bangkok Bank 9.025%, 03/15/29 390 378 True Move 10.750%, 12/16/13 (A) 1,250 856 --------------- 1,234 --------------- TRINIDAD & TOBAGO -- 0.3% Petroleum of Trinidad & Tobago 6.000%, 05/08/22 1,755 1,663 6.000%, 05/08/22 (A) 800 750 --------------- 2,413 --------------- TUNISIA -- 0.0% Banque Centrale de Tunisie 7.375%, 04/25/12 465 484 ---------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- TURKEY -- 5.3% Republic of Turkey 14.000%, 01/19/11 600 $ 427 11.875%, 01/15/30 380 546 10.000%, 02/15/12 360 263 9.500%, 01/15/14 500 551 8.000%, 02/14/34 4,300 4,289 7.375%, 02/05/25 6,500 6,279 7.250%, 03/05/38 5,530 5,000 7.250%, 03/15/15 8,575 8,511 7.000%, 09/26/16 1,390 1,386 7.000%, 03/11/19 (E) 5,505 5,217 6.875%, 03/17/36 5,735 5,047 6.750%, 04/03/18 9,450 8,836 --------------- 46,352 --------------- UKRAINE -- 1.8% Credit Suisse First Boston International (Export/Import - Ukraine) 8.000%, 11/06/15 750 553 6.800%, 10/04/12 600 442 Government of Ukraine Registered 7.650%, 06/11/13 2,595 2,154 6.875%, 03/04/11 (A) 4,475 3,759 6.580%, 11/21/16 (A) 6,565 5,081 6.580%, 11/21/16 850 612 6.385%, 06/26/12 1,100 927 Naftogaz Ukrainy 8.125%, 09/30/09 700 576 Springvale Holdings 9.181%, 09/07/09 (D) (G) 1,000 960 UK Private Bank 8.000%, 02/06/12 (A) 1,000 710 --------------- 15,774 --------------- UNITED ARAB EMIRATES -- 1.1% HSBC Bank Middle East MTN 2.679%, 10/30/08 (D) AED 16,000 4,258 Jafz Sukuk 3.291%, 11/27/08 (D) AED 22,000 5,154 --------------- 9,412 --------------- UNITED KINGDOM -- 0.1% Barclays Bank MTN 12.500%, 03/17/13 (A) (D) 200 211 0.000%, 12/17/12 (A) (D) 200 206 --------------- 417 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 53 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2008
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- URUGUAY -- 3.4% Republic of Uruguay 9.250%, 05/17/17 3,825 $ 4,308 8.000%, 11/18/22 21,035 21,035 7.875%, 01/15/33 3,050 3,027 7.625%, 03/21/36 1,190 1,130 --------------- 29,500 --------------- VENEZUELA -- 5.4% Government of Venezuela 13.625%, 08/15/18 1,200 1,260 10.750%, 09/19/13 6,565 6,040 9.375%, 01/13/34 6,400 4,448 9.250%, 09/15/27 4,265 3,182 9.250%, 05/07/28 5,525 3,844 9.000%, 05/07/23 6,075 4,252 8.500%, 10/08/14 1,721 1,355 7.650%, 04/21/25 12,480 7,582 6.000%, 12/09/20 4,020 2,291 5.750%, 02/26/16 5,700 3,705 Government of Venezuela Registered 7.000%, 12/01/18 1,850 1,251 5.375%, 08/07/10 4,635 4,137 Petroleos De Venezuela 5.375%, 04/12/27 5,355 2,383 5.250%, 04/12/17 900 486 Venezuela Government International Bond 6.000%, 12/09/20 1,300 741 --------------- 46,957 --------------- VIETNAM -- 0.4% Republic of Vietnam 6.875%, 01/15/16 3,565 3,400 --------------- YEMEN -- 0.1% Pemberley SPV Finance 2008 Yemen MTN 11.500%, 02/19/14 (A) (G) 1,250 1,269 0.000%, 02/25/20 (A) (D) (G) 1,250 -- --------------- 1,269 --------------- Total Global Bonds (Cost $816,266) ($ Thousands) 746,818 --------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (H) -- 3.7% UNITED STATES -- 3.7% Deposit with Deutsche Bank as Collateral for Swap Contracts Outstanding 877 877 Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding BRL 7,070 3,665
Face Amount Market Value Description (Thousands) (1) ($ Thousands) -------------------------------------------- --------------- --------------- Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding BRL 2,305 $ 1,195 Deposits with Goldman Sachs as Collateral for Swap Contracts Outstanding BRL 4,564 2,365 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,798 2,798 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 7,812 7,812 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 250 250 Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding IDR 6,688,757 710 Deposits with Citibank as Collateral for Swap Contracts Outstanding 648 648 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding NGN 288,900 2,456 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 438 438 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 352 352 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 3,600 3,600 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 750 750 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 2,045 2,045 --------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $32,960) ($ Thousands) 32,361 --------------- LOAN PARTICIPATIONS -- 4.6% GERMANY -- 0.1% Rike 10.000%, 08/17/11 (G) 1,313 1,273 ---------------
54 SEI Institutional International Trust / Annual Report / September 30, 2008
Face Amount (Thousands) (1)/ Shares/ Market Value Description Contracts ($ Thousands) -------------------------------------------- --------------- --------------- INDONESIA -- 0.4% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) 3.563%, 12/31/49 (C)(G) 3,448 $ 3,311 --------------- MEXICO -- 0.9% Altos Hornos, Promissory Note # 5 0.000%, 04/29/99 (C)(G) 2,500 1,225 Altos Hornos, Promissory Note # 6 0.000%, 04/29/99 (C)(G) 2,500 1,225 Altos Hornos Promissory Note (Counterparty: Deutche Bank) 0.000%, 12/31/49 (C)(G) 4,500 2,205 Altos Hornos Tranche A (Counterparty: Banc of America) 0.000%, 04/11/04 (C)(G) 6,540 3,270 --------------- 7,925 --------------- NIGERIA -- 0.5% Oando 13.900%, 02/23/10 229,710 1,951 13.900%, 03/02/10 229,710 1,951 --------------- 3,902 --------------- RUSSIA -- 0.3% Snegri 10.500%, 04/21/10 2,550 2,550 --------------- SINGAPORE -- 1.8% Connect International PIK 0.000%, 01/01/09 (C)(G) 8,356 12,040 Neptune 0.000%, 12/05/08(G) 3,678 3,678 --------------- 15,718 --------------- TURKEY -- 0.6% Cukurova, Ser A 10.980%, 11/24/08 (G) 1,460 1,358 Cukurova, Ser B 10.973%, 05/01/12 (G) 4,600 4,186 --------------- 5,544 --------------- Total Loan Participations (Cost $32,524) ($ Thousands) 40,223 --------------- COMMON STOCK -- 0.3% BRAZIL -- 0.3% GVT Holding* 199,627 2,923 --------------- Total Common Stock (Cost $981) ($ Thousands) 2,923 ---------------
Market Value Description Contracts ($ Thousands) -------------------------------------------- --------------- --------------- PURCHASED OPTIONS -- 0.2% BRAZIL -- 0.0% December 2008 BRL Call, Expires 12/20/08 Strike Price: $1.71* 9,650,000 $ 17 December 2008 BRL Call, Expires 12/20/08 Strike Price: $1.71* 9,680,000 18 January 2009 BRL Call, Expires 01/17/09 Strike Price: $1.71* 7,843,000 17 November 2008 BRL Call, Expires 11/22/08 Strike Price: $1.67* 9,452,200 7 November 2008 BRL Call, Expires 11/22/08 Strike Price: $1.70* 6,800,000 9 --------------- 68 --------------- SOUTH KOREA -- 0.0% October 2008 USD Call, Expires 10/18/08 Strike Price: KRW 1150* 4,945,000,000 223 --------------- UNITED STATES -- 0.2% June 2009 CMS Spread Cap, Expires 06/02/09 Strike Price: 119.50 Bps* 25,000,000 97 June 2009 CMS Spread Cap, Expires 06/09/09 Strike Price: 102.75 Bps* 25,000,000 125 June 2009 CMS Spread Cap, Expires 06/08/09 Strike Price: 124.00 Bps* 25,000,000 97 June 2009 CMS Spread Cap, Expires 06/12/09 Strike Price: 122.00 Bps* 25,000,000 147 May 2009 CMS Spread Cap, Expires 05/28/09 Strike Price: 112.00 Bps* 25,000,000 104 May 2009 CMS Spread Cap, Expires 05/29/09 Strike Price: 104.00 Bps* 25,000,000 124 May 2009 CMS Spread Cap, Expires 05/29/09 Strike Price: 104.00 Bps* 25,000,000 113 May 2009 CMS Spread Cap, Expires 05/27/09 Strike Price: 122.00 Bps* 25,000,000 100 --------------- 907 --------------- Total Purchased Options (Cost $1,457) ($ Thousands) 1,198 ---------------
SEI Institutional International Trust / Annual Report / September 30, 2008 55 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) September 30, 2008
Shares/ Contracts Number of Market Value Description Warrants ($ Thousands) -------------------------------------------- --------------- --------------- WARRANTS -- 0.0% RUSSIA -- 0.0% Teorema Holding A, Expires 10/27/11* 226 $ 142 Teorema Holding B, Expires 10/27/11* 452 296 --------------- Total Warrants (Cost $77) ($ Thousands) 438 --------------- AFFILIATED PARTNERSHIP -- 1.3% UNITED STATES -- 1.3% SEI Liquidity Fund, L.P., 2.590%**+ (I) 11,867,256 11,585 --------------- Total Affiliated Partnership (Cost $11,867) ($ Thousands) 11,585 --------------- Total Investments -- 95.2% (Cost $896,132) ($ Thousands) $ 835,546 --------------- WRITTEN OPTIONS -- 0.0% BRAZIL -- 0.0% December 2008 BRL Call, Expires 12/20/08, Strike Price $1.61* (9,110,000) (3) December 2008 BRL Call, Expires 12/20/08, Strike Price $1.57* (8,886,200) (2) January 2009 BRL Call, Expires 12/20/08, Strike Price $1.61* (9,090,000) (3) January 2009 BRL Call, Expires 01/17/09, Strike Price $1.61* (7,383,000) (4) November 2008 BRL Call, Expires 11/22/08, Strike Price $1.55* (6,200,000) -- --------------- Total Written Options (Premiums Received $266)($ Thousands) (12) ---------------
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION TO DELIVER TO RECEIVE (DEPRECIATION) SETTLEMENT DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ----------------- ------------- ------------- -------------- 10/2/08-10/23/08 USD 16,419 PLN 35,469 $(1,709) 10/2/08-11/4/08 BRL 89,879 USD 50,756 4,298 10/2/08-11/4/08 USD 30,039 BRL 55,071 (1,510) 10/7/08 CZK 153,832 USD 9,309 489 10/7/08 USD 9,738 CZK 153,832 (917) 10/14/08-10/15/08 MXP 122,022 USD 11,219 131 10/14/08-11/21/08 USD 8,617 MXP 89,434 (505) 10/14/08-12/11/08 KRW 5,068,068 USD 4,600 360 10/20/08 TRY 3,700 USD 2,888 (8) 10/21/08-10/31/08 HUF 1,781,207 USD 10,485 155 10/21/08-10/31/08 USD 10,708 HUF 1,781,207 (379) 10/22/08-11/5/08 SGD 13,340 USD 9,380 38 10/22/08-11/28/08 USD 9,780 SGD 13,340 (436) 10/23/08 PLN 35,469 USD 15,250 539 11/18/08 RUB 77,749 USD 3,044 34 11/18/08 USD 3,193 RUB 77,749 (183) 12/11/08 USD 1,200 KRW 1,462,800 29 1/16/09 EUR 11,751 USD 18,515 1,952 1/16/09 USD 2,658 EUR 1,721 (232) ------- $ 2,146 =======
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED CONTRACTS EXPIRATION APPRECIATION TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- ------------- U.S. 5-Year Note 24 Dec-2008 $19 U.S. Long Treasury Bond 112 Dec-2008 2 --- $21 ===
56 SEI Institutional International Trust / Annual Report / September 30, 2008 A summary of outstanding swap agreements held by the fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) ------------------- ----------------------------------------------- ---------- -------- ----------- ----------- -------------- JPMorgan Chase Bank Federative Republic Of Brazil 12.250%, 06/06/30 Sell 3.69% 10/20/15 (4,500) $ 550 Credit Suisse JSC Gazprom 8.625% 04/28/34 Sell 1.37 08/20/16 (1,000) (178) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/08 (1,400) (9) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/09 (3,600) (273) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.20 12/20/11 (750) (112) HSBC Republic Of Turkey 11.875% 01/15/30 Sell 2.73 09/20/13 (2,900) -- HSBC Republic Of Turkey 11.875% 01/15/30 Sell 2.65 09/20/13 (300) (1) HSBC Republic Of Turkey 11.875% 01/15/30 Sell 2.60 09/20/13 (800) (5) ----- $ (28) =====
INTEREST RATE SWAPS
NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) ------------------- ----------------------------- ------------- ----------- --- ------- -------------- Deutsche Bank Brazil Interbank Deposit Rate 14.76% 01/02/12 BRL 4,882 $ 53 Deutsche Bank Brazil Interbank Deposit Rate 14.73 01/02/12 BRL 20,548 209 Deutsche Bank Brazil Interbank Deposit Rate 14.64 01/02/12 BRL 8,730 77 Deutsche Bank Brazil Interbank Deposit Rate 13.80 01/02/12 BRL 6,943 (27) Goldman Sachs Brazil Interbank Deposit Rate 15.20 01/02/12 BRL 9,162 156 Goldman Sachs Brazil Interbank Deposit Rate 15.13 01/02/12 BRL 12,863 203 HSBC Brazil Interbank Deposit Rate 15.16 01/02/12 BRL 15,124 252 HSBC Brazil Interbank Deposit Rate 14.61 01/02/12 BRL 3,211 26 Morgan Stanley Brazil Interbank Deposit Rate 14.17 01/02/12 BRL 1,767 (1) ---- $948 ====
TOTAL RETURN SWAPS
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES ------------------- ------------------------------------------------ ------------------------------- ------------- Standard Bank Federal Government of Nigeria, 12.500%, 02/24/09 Cash Deposit Of Notional Amount Price Return Citigroup Federal Government of Nigeria, 12.500%, 03/31/09 Cash Deposit Of Notional Amount Price Return Standard Bank Federal Government of Nigeria, 17.000%, 12/16/08 Cash Deposit Of Notional Amount Price Return Goldman Sachs Federative Republic of Brazil, 10.000%, 01/01/17 Cash Deposit Of Notional Amount Price Return JPMorgan Chase Bank Federative Republic of Brazil, 6.000%, 05/15/11 Cash Deposit Of Notional Amount Price Return Deutsche Bank Federative Republic of Brazil, 6.000%, 05/15/17 Cash Deposit Of Notional Amount Price Return Deutsche Bank Federative Republic of Brazil, 6.000%, 08/15/10 Cash Deposit Of Notional Amount Price Return Deutsche Bank Federative Republic of Brazil, 6.000%, 08/15/10 Cash Deposit Of Notional Amount Price Return JPMorgan Chase Bank Federative Republic of Brazil, 6.000%, 08/15/10 Cash Deposit Of Notional Amount Price Return Deutsche Bank Indonesia Government, 12.000%, 09/15/11 Cash Deposit Of Notional Amount Price Return Merrill Lynch Zaporozh Term Loan, 9.784%, 12/31/10 Cash Deposit Of Notional Amount Price Return Merrill Lynch Solar Gardens Ltd Term Loan Credit Facility Cash Deposit Of Notional Amount Price Return NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY DATE (THOUSANDS)(1) ($ THOUSANDS) ------------------- ----------- --- ---------- -------------- Standard Bank 02/25/09 NGN 55,618 $ 7 Citigroup 04/03/09 NGN 82,011 105 Standard Bank 12/16/08 NGN 45,003 29 Goldman Sachs 01/01/17 BRL 4,500 (345) JPMorgan Chase Bank 05/15/11 BRL 4,214 521 Deutsche Bank 08/15/10 BRL 4,383 (181) Deutsche Bank 08/15/10 BRL 1,400 197 Deutsche Bank 08/15/10 BRL 1,400 27 JPMorgan Chase Bank 08/15/10 BRL 12,000 1,564 Deutsche Bank 09/15/11 IDR 5,900,000 (82) Merrill Lynch 12/31/17 2,045 (25) Merrill Lynch 12/30/09 NGN 288,900 (6) ------ $1,811 ======
SEI Institutional International Trust / Annual Report / September 30, 2008 57 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Concluded) September 30, 2008 Description Percentages are based on a Net Assets of $877,354 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + 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) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2008. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (E) This security or a partial position of this security is on loan at September 30, 2008. The total market value of securities on loan at September 30, 2008 was $9,692 ($ Thousands) (See Note 7). (F) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (G) Securities considered illiquid. The total market value of such securities as of September 30, 2008 was $38,885 ($ Thousands) and represented 4.50% of Net Assets. (H) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (I) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2008 was $11,585 ($ Thousands). AED -- United Arab Emirates BRL -- Brazilian Real COP -- Colombian Peso CZK -- Czech Koruna DEM -- German Mark EUR -- Euro HUF -- Hungarian Forint IDR -- Indonesian Rupiah ITL -- Italian Lira KRW -- Korean Won L.P. -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso NGN -- Nigerian Naira PEI -- Prince Edward Island Dollar PIK -- Payment-in-Kind PLN -- Polish Zloty RUB -- Russian Ruble Ser -- Series SGD -- Singapore Dollar TRY -- New Turkish Lira USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 58 SEI Institutional International Trust / Annual Report / September 30, 2008 Statements of Assets and Liabilities ($ Thousands) September 30, 2008
INTERNATIONAL INTERNATIONAL EMERGING MARKETS FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------- ---------------- ------------- ---------------- ASSETS: Investments, at value (Cost $2,976,335, $1,106,002, $683,777 and $884,265, respectively)(1) $2,539,106 $ 935,219 $642,756 $823,961 Affiliated investments, at value (Cost $166,867, $47,367, $0 and $11,867, respectively) 164,873 46,422 -- 11,585 Cash 60,576 16,141 58,940 26,311 Foreign currency, at value (Cost $19,140, $7,712, $1,378 and $6,693, respectively) 18,868 7,651 1,347 6,207 Cash pledged as collateral for forward foreign currency contracts, futures contracts or swap contracts 1,170 -- 153 7,991 Receivable for investment securities sold 245,480 7,574 28,188 4,958 Unrealized gain on forward foreign currency contracts 31,466 -- 33,409 8,025 Receivable for fund shares sold 10,645 4,054 163 434 Dividends and interest receivable 8,003 2,118 10,261 14,464 Variation margin receivable 3,798 -- 1,435 -- Foreign tax reclaim receivable 1,513 150 -- -- Unrealized gain on foreign spot currency contracts 233 2 -- 232 Swap contracts, at value (Premiums paid $384 and and $0, respectively) -- -- 309 2,731 ---------- ---------- -------- -------- Total Assets 3,085,731 1,019,331 776,961 906,899 ---------- ---------- -------- -------- LIABILITIES: Payable for investment securities purchased 526,620 4,340 58,136 2,558 Payable upon return of securities loaned 155,046 43,655 -- 11,867 Unrealized loss on forward foreign currency contracts 44,504 -- 12,524 5,879 Swap contracts, at value (Premiums received $8,792) 11,175 -- -- -- Payable for fund shares redeemed 5,118 3,459 1,838 7,784 Variation margin payable 3,847 -- 390 328 Unrealized loss on foreign spot currency contracts 349 4 73 1 Written options, at value (Premiums received $266) -- -- -- 12 Investment advisory fees payable 1,071 898 89 292 Administration fees payable 954 556 357 506 Shareholder servicing fees payable 530 214 147 195 Trustees' fees 9 4 3 3 Chief compliance officer fees payable 4 2 1 1 Administration servicing fees payable 1 -- -- -- Other accrued expenses 461 447 79 119 Accrued foreign capital gains tax on appreciated securities -- 22 -- -- ---------- ---------- -------- -------- Total Liabilities 749,689 53,601 73,637 29,545 ---------- ---------- -------- -------- Net Assets $2,336,042 $ 965,730 $703,324 $877,354 ---------- ---------- -------- -------- NET ASSETS: Paid in Capital (unlimited authorization -- no par value) $3,088,647 $ 998,111 $728,028 $933,791 Undistributed net investment income 15,358 6,621 745 10,250 Accumulated net realized gain (loss) on investments, futures contracts, option contracts, foreign currency contracts and swap contracts (288,993) 132,839 (5,536) (10,804) Net unrealized depreciation on investments and option contracts (439,223) (171,728) (41,021) (60,332) Net unrealized appreciation (depreciation) on futures contracts (6,201) -- 857 21 Net unrealized appreciation (depreciation) on swap contracts (19,967) -- (75) 2,731 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (13,579) (91) 20,326 1,697 Accumulated foreign capital gains tax on appreciated securities -- (22) -- -- ---------- ---------- -------- -------- Net Assets $2,336,042 $ 965,730 $703,324 $877,354 ---------- ---------- -------- -------- Net Asset Value, Offering and Redemption Price Per Share -- Class ($2,329,504,330 /263,357,010 shares, $965,730,350 / 84,499,568 shares, $703,323,502 / 67,214,233 shares, $877,353,993 / 93,010,878 shares, respectively.) $ 8.85 $ 11.43 $ 10.46 $ 9.43 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($6,537,482 / 741,001 shares) $ 8.82 N/A N/A N/A ---------- ---------- -------- --------
(1) Included in "Investments, at value" is the market value of securities on loan in the amounts of $147,062, $48,511, $0 and $9,692, ($ Thousands), respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Annual Report / September 30, 2008 59 SCHEDULE OF INVESTMENTS Statements of Operations ($ Thousands) For the year ended September 30, 2008
INTERNATIONAL EMERGING INTERNATIONAL EMERGING EQUITY MARKETS EQUITY FIXED INCOME MARKETS DEBT FUND FUND FUND FUND ------------- -------------- ------------- ------------ INVESTMENT INCOME: Dividends $ 99,345 $ 42,566 $ 2 $ 20 Dividends from Affiliated Security 697 198 -- -- Interest 18,563 600 34,712 73,296 Security Lending Income -- Net(2) 5,260 1,119 1 311 Less: Foreign Taxes Withheld (8,700) (2,901) -- -- ----------- --------- -------- --------- Total Investment Income 115,165 41,582 34,715 73,627 ----------- --------- -------- --------- EXPENSES: Investment Advisory Fees 17,129 15,391 1,166 8,572 Administration Fees 15,263 9,528 4,666 6,555 Shareholder Servicing Fees - Class A 8,450 3,665 1,944 2,521 Shareholder Servicing Fees - Class I 30 -- -- -- Admin Servicing Fees - Class I 30 -- -- -- Trustees' Fees 68 29 16 21 Chief Compliance Officer Fees 7 3 2 3 Custodian/Wire Agent Fees 691 1,099 86 121 Printing Fees 256 112 64 86 Overdraft Fees 190 462 24 48 Professional Fees 184 82 41 61 Interest Expense on Reverse Repurchase Agreements 86 -- -- -- Registration Fees 43 18 9 11 Other Expenses 213 95 61 59 ----------- --------- -------- --------- Total Expenses 42,640 30,484 8,079 18,058 ----------- --------- -------- --------- Less: Waiver of Investment Advisory Fees -- (1,325) -- (4,297) Waiver of Shareholder Servicing Fees - Class A -- -- (166) -- Fees Paid Indirectly(1) (145) -- -- -- ----------- --------- -------- --------- Net Expenses 42,495 29,159 7,913 13,761 ----------- --------- -------- --------- NET INVESTMENT INCOME 72,670 12,423 26,802 59,866 ----------- --------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS: Net Realized Gain (Loss) from: Investments (31,050) 215,399 3,736 8,338 Futures Contracts (105,150) -- (6,957) 284 Written Options 15 -- -- -- Swap Contracts (122,513) -- 143 (3,221) Foreign Currency Transactions (5,623) (1,094) (17,617) 1,170 Net Change in Unrealized Appreciation (Depreciation) on: Investments (1,177,626) (725,788) (64,044) (123,615) Affiliated Investments (1,993) (945) -- (282) Futures Contracts (17,909) -- 1,350 22 Written Options 77 -- -- 254 Swap Contracts (6,266) -- (10) 327 Foreign Capital Gains Tax on Appreciated Securities 66 2,322 -- -- Foreign Currency Transactions (15,772) (470) 35,566 2,312 ----------- --------- -------- --------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (1,483,744) (510,576) (47,833) (114,411) ----------- --------- -------- --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,411,074) $(498,153) $(21,031) $ (54,545) ----------- --------- -------- ---------
(1) See Note 3 in Notes to Financial Statements. (2) Affiliated. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 60 SEI Institutional International Trust / Annual Report / September 30, 2008 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------- ------------------------- 2008 2007 2008 2007 ----------- ----------- ----------- ----------- OPERATIONS: Net Investment Income $ 72,670 $ 70,956 $ 12,423 $ 6,819 Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts (258,698) 564,633 215,399 348,199 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (5,623) 36,540 (1,094) 255 Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts (1,203,717) 123,449 (726,733) 254,998 Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Tax Gains on Appreciated Securities 66 -- 2,322 (1,644) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (15,772) 6,733 (470) 888 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,411,074) 802,311 (498,153) 609,515 ----------- ----------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (93,239) (118,781) (6,962) (6,714) Class I (335) (455) -- -- Net Realized Gains: Class A (423,708) (144,096) (337,463) (188,558) Class I (1,715) (580) -- -- ----------- ----------- ----------- ----------- Total Dividends and Distributions (518,997) (263,912) (344,425) (195,272) ----------- ----------- ----------- ----------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 769,174 775,114 345,735 358,848 Reinvestment of Dividends & Distributions 492,950 250,704 331,075 188,045 Cost of Shares Redeemed (1,041,575) (1,020,666) (645,731) (520,481) ----------- ----------- ----------- ----------- Increase in Net Assets Derived from Class A Transactions 220,549 5,152 31,079 26,412 ----------- ----------- ----------- ----------- CLASS I: Proceeds from Shares Issued 4,758 9,593 -- -- Reinvestment of Dividends & Distributions 2,016 1,027 -- -- Cost of Shares Redeemed (10,601) (9,188) -- -- ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Derived from Class I Transactions (3,827) 1,432 -- -- ----------- ----------- ----------- ----------- Increase in Net Assets Derived from Capital Share Transactions 216,722 6,584 31,079 26,412 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets (1,713,349) 544,983 (811,499) 440,655 ----------- ----------- ----------- ----------- NET ASSETS: BEGINNING OF YEAR 4,049,391 3,504,408 1,777,229 1,336,574 ----------- ----------- ----------- ----------- END OF YEAR $ 2,336,042 $ 4,049,391 $ 965,730 $ 1,777,229 ----------- ----------- ----------- ----------- UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 15,358 $ 63,726 $ 6,621 $ 5,014 ----------- ----------- ----------- ----------- SHARE TRANSACTIONS: CLASS A: Shares Issued 62,451 51,249 20,424 19,685 Reinvestment of Distributions 35,290 17,225 18,345 11,346 Shares Redeemed (83,663) (67,387) (36,985) (28,516) ----------- ----------- ----------- ----------- Total Class A Transactions 14,078 1,087 1,784 2,515 ----------- ----------- ----------- ----------- CLASS I: Shares Issued 357 636 -- -- Reinvestment of Distributions 145 71 -- -- Shares Redeemed (824) (598) -- -- ----------- ----------- ----------- ----------- Total Class I Transactions (322) 109 -- -- ----------- ----------- ----------- ----------- Net Increase in Shares Outstanding from Share Transactions 13,756 1,196 1,784 2,515 ----------- ----------- ----------- -----------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Annual Report / September 30, 2008 61 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND ------------------------- ------------------------- 2008 2007 2008 2007 ----------- ----------- ----------- ----------- OPERATIONS: Net Investment Income $ 26,802 $ 27,174 $ 59,866 $ 49,280 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (3,078) (63) 5,401 29,974 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions (17,617) 6,587 1,170 6,551 Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (62,704) 2,778 (123,294) (1,350) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 35,566 (17,307) 2,312 (893) ----------- ----------- ----------- ----------- Net Increase in Net Assets Resulting from Operations (21,031) 19,169 (54,545) 83,562 ----------- ----------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (10,040) (15,311) (70,236) (51,400) Net Realized Gains: Class A -- -- (28,377) (49,606) ----------- ----------- ----------- ----------- Total Dividends and Distributions (10,040) (15,311) (98,613) (101,006) ----------- ----------- ----------- ----------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 179,908 191,286 282,654 316,702 Reinvestment of Dividends & Distributions 9,540 14,446 93,090 95,631 Cost of Shares Redeemed (263,795) (242,751) (347,834) (220,630) ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (74,347) (37,019) 27,910 191,703 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets (105,418) (33,161) (125,248) 174,259 ----------- ----------- ----------- ----------- NET ASSETS: BEGINNING OF YEAR 808,742 841,903 1,002,602 828,343 ----------- ----------- ----------- ----------- END OF YEAR $ 703,324 $ 808,742 $ 877,354 $ 1,002,602 ----------- ----------- ----------- ----------- UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR $ 745 $ 2,460 $ 10,250 $ 17,018 ----------- ----------- ----------- ----------- SHARE TRANSACTIONS: CLASS A: Shares Issued 16,595 17,707 27,097 28,732 Reinvestment of Dividends & Distributions 882 1,344 8,865 8,726 Shares Redeemed (24,385) (22,446) (33,787) (20,042) ----------- ----------- ----------- ----------- Total Class A Transactions (6,908) (3,395) 2,175 17,416 ----------- ----------- ----------- -----------
The accompanying notes are an integral part of the financial statements. 62 SEI Institutional International Trust / Annual Report / September 30, 2008 Financial Highlights For the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout Each Year
Net Realized Net Asset and Distributions Value, Net Unrealized Dividends from Total Beginning Investment Gains Total from Net Realized Dividends of Income (Losses) on from Investment Capital and Period (Loss)(1) Securities(1) Operations Income Gains Distributions --------- ---------- ------------- ---------- ---------- ------------- ------------- INTERNATIONAL EQUITY FUND CLASS A 2008 $16.18 $0.27 $(5.52) $(5.25) $(0.34) $(1.74) $(2.08) 2007 14.07 0.28 2.89 3.17 (0.47) (0.59) (1.06) 2006 12.14 0.24 1.97 2.21 (0.28) -- (0.28) 2005 9.81 0.16 2.40 2.56 (0.23) -- (0.23) 2004 8.20 0.10 1.60 1.70 (0.09) -- (0.09) CLASS I 2008 $16.13 $0.22 $(5.49) $(5.27) $(0.30) $(1.74) $(2.04) 2007 14.04 0.25 2.88 3.13 (0.45) (0.59) (1.04) 2006 12.12 0.23 1.94 2.17 (0.25) -- (0.25) 2005 9.81 0.14 2.38 2.52 (0.21) -- (0.21) 2004 8.20 0.10 1.58 1.68 (0.07) -- (0.07) EMERGING MARKETS EQUITY FUND CLASS A 2008 $21.49 $0.14 $(5.64) $(5.50) $(0.08) $(4.48) $(4.56) 2007 16.67 0.08 7.22 7.30 (0.08) (2.40) (2.48) 2006 15.94 0.11 2.32 2.43 (0.10) (1.60) (1.70) 2005 11.10 0.14 4.80 4.94 (0.10) -- (0.10) 2004 9.00 0.09 2.03 2.12 (0.02) -- (0.02) INTERNATIONAL FIXED INCOME FUND CLASS A 2008 $10.91 $0.37 $(0.68) $(0.31) $(0.14) $ -- $(0.14) 2007 10.86 0.36 (0.11) 0.25 (0.20) -- (0.20) 2006 11.72 0.28 (0.49) (0.21) (0.34) (0.31) (0.65) 2005 12.22 0.28 0.15 0.43 (0.89) (0.04) (0.93) 2004 12.45 0.28 0.63 0.91 (0.92) (0.22) (1.14) EMERGING MARKETS DEBT FUND CLASS A 2008 $11.04 $0.62 $(1.18) $(0.56) $(0.74) $(0.31) $(1.05) 2007 11.28 0.60 0.47 1.07 (0.65) (0.66) (1.31) 2006 11.81 0.56 0.34 0.90 (0.80) (0.63) (1.43) 2005 10.74 0.66 1.31 1.97 (0.63) (0.27) (0.90) 2004 11.15 0.61 0.77 1.38 (0.66) (1.13) (1.79) Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Waivers and (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Fees Paid to Average Turnover of Period Return+ ($ Thousands) Net Assets* Indirectly)** Indirectly)** Net Assets Rate+ ---------- ------- ------------- ----------- ------------- ------------- ------------ --------- INTERNATIONAL EQUITY FUND CLASS A 2008 $ 8.85 (36.96)% $2,329,504 1.25%(2)(4) 1.26%(2)(4) 1.26%(2) 2.15% 218% 2007 16.18 23.56 4,032,236 1.32(2)(3) 1.33(2)(3) 1.33(2) 1.85 172 2006 14.07 18.50 3,491,007 1.32(2) 1.33(2) 1.33(2) 1.85 118 2005 12.14 26.33 3,227,258 1.24 1.24 1.24 1.50 80 2004 9.81 20.74 2,705,544 1.26 1.26 1.26 1.06 44 CLASS I 2008 $ 8.82 (37.14)% $ 6,538 1.50%(2)(4) 1.51%(2)(4) 1.51%(2) 1.72% 218% 2007 16.13 23.25 17,155 1.57(2)(3) 1.58(2)(3) 1.58(2) 1.66 172 2006 14.04 18.20 13,401 1.59(2) 1.59(2) 1.59(2) 1.77 118 2005 12.12 25.86 7,952 1.49 1.49 1.49 1.28 80 2004 9.81 20.54 5,757 1.51 1.51 1.51 1.06 44 EMERGING MARKETS EQUITY FUND CLASS A 2008 $11.43 (33.33)% $ 965,730 1.99%(4) 1.99%(4) 2.08% 0.85% 94% 2007 21.49 48.27 1,777,229 1.97(3) 1.97(3) 2.05 0.44 79 2006 16.67 16.46 1,336,574 1.96 1.97 2.06 0.65 65 2005 15.94 44.68 1,354,502 1.95 1.96 2.05 1.05 69 2004 11.10 23.61 1,039,735 1.95 1.95 2.12 0.84 88 INTERNATIONAL FIXED INCOME FUND CLASS A 2008 $10.46 (2.89)% $ 703,324 1.02%(4) 1.02%(4) 1.04% 3.45% 147% 2007 10.91 2.34 808,742 1.02(3) 1.02(3) 1.04 3.29 215 2006 10.86 (1.64) 841,903 1.01 1.01 1.03 2.61 194 2005 11.72 3.01 880,923 1.00 1.00 1.04 2.24 145 2004 12.22 7.43 907,633 1.00 1.00 1.04 2.27 224 EMERGING MARKETS DEBT FUND CLASS A 2008 $ 9.43 (5.71)% $ 877,354 1.37%(4) 1.37%(4) 1.79% 5.94% 83% 2007 11.04 10.03 1,002,602 1.37(3) 1.37(3) 1.79 5.47 81 2006 11.28 8.68 828,343 1.36 1.36 1.78 5.03 108 2005 11.81 19.34 1,143,845 1.35 1.35 1.79 6.03 85 2004 10.74 13.97 765,483 1.35 1.35 1.79 5.91 77
* Includes Fees Paid Indirectly. See Note 3 in Notes to Financial Statements. ** 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 1.25% and 1.50%, respectively, for 2008 and 1.24% and 1.49%, respectively, for 2007 and 2006. (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. (4) The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.25%, 1.50%, 1.96%, 1.02%, 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. SEI Institutional International Trust / Annual Report / September 30, 2008 63 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements September 30, 2008 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, 2008, 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. 64 SEI Institutional International Trust / Annual Report / September 30, 2008 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. 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. At September 30, 2008, 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, 2008. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Schedule of Investments in the International Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund represents the Fund's total exposure in such contracts, whereas SEI Institutional International Trust / Annual Report / September 30, 2008 65 NOTES TO FINANCIAL STATEMENTS 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 recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. 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, 2008, the Emerging Markets Debt Fund has deposits in the amount of $32,361,167 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 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 66 SEI Institutional International Trust / Annual Report / September 30, 2008 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, 2008 are summarized as follows:
EMERGING MARKETS DEBT FUND ----------------------------- Number of Premium Received Contracts ($ Thousands) ---------- ---------------- Balance at the beginning of period -- $ -- Written 40,669,200 266 ---------- ---- Balance at the end of period 40,669,200 $266 ---------- ----
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. 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 SEI Institutional International Trust / Annual Report / September 30, 2008 67 NOTES TO FINANCIAL STATEMENTS 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, 2008, 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 1.25%*+ 1.96%+ 1.02%+ 1.36%+ Class I 1.50%*+ -- -- --
* 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, 2008, 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 McKinley Capital Management, Inc. Principal Global Investors, LLC Quantitative Management Associates LLC Record Currency Management Limited Smith Breeden Associates, Inc. EMERGING MARKETS EQUITY FUND AllianceBernstein L.P. Artisan Partners Limited Partnership AXA Rosenberg Investment Management LLC PanAgora Asset Management, Inc. Rexiter Capital Management Limited The Boston Company Asset Management LLC 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 UBS Global Asset Management (Americas) Inc. EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management Advisors, B.V. 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 68 SEI Institutional International Trust / Annual Report / September 30, 2008 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, 2008, 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 as agreed upon by the Distributor as presented above. For the year ended September 30, 2008, 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 Adviser, sub-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, 2008, can be found on the Statement of Operations and Financial Highlights, respectively. 4. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale and maturity of securities, other than short-term investments, during the year ended September 30, 2008, were as follows:
Purchases Sales and Maturities ($ Thousands) ($ Thousands) -------------- ---------------------- International Equity Fund US Government $4,270,715 $4,172,911 Other 3,107,634 3,414,431 Emerging Markets Equity Fund US Government -- -- Other 1,342,767 1,628,090 International Fixed Income Fund US Government 189,355 192,185 Other 646,152 686,634 Emerging Markets Debt Fund US Government -- -- Other 774,272 713,228
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. SEI Institutional International Trust / Annual Report / September 30, 2008 69 NOTES TO FINANCIAL STATEMENTS 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, 2008:
Undistributed Accumulated Net Investment Realized Paid-in- Income/(Loss) Gain/(Loss) Capital ($ Thousands) ($ Thousands) ($ Thousands) -------------- ------------- ------------- International Equity Fund $(27,464) $ 27,464 $ -- Emerging Markets Equity Fund (3,854) (23,629) 27,483 International Fixed Income Fund (18,477) 19,422 (945) Emerging Markets Debt Fund 3,602 (3,602) --
These reclassifications had no impact on the net assets or net asset value per share 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 declared during the last two years were as follows:
Ordinary Long-Term Income Capital Gain Totals ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- International Equity Fund 2008 $266,737 $252,260 $518,997 2007 136,952 126,960 263,912 Emerging Markets Equity Fund 2008 91,523 252,902 344,425 2007 45,745 149,527 195,272 International Fixed Income Fund 2008 10,040 -- 10,040 2007 15,311 -- 15,311 Emerging Markets Debt Fund 2008 81,803 16,810 98,613 2007 64,597 36,409 101,006
At September 30, 2008, the components of Accumulated Losses were as follows:
Undistributed Undistributed Capital Post- Ordinary Long-Term Loss October Income Capital Gain Carryforwards Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $41,261 $ -- $ -- $(240,445) Emerging Markets Equity Fund 10,161 154,332 -- (1,326) International Fixed Income Fund 23,611 -- (3,797) (1,632) Emerging Markets Debt Fund 27,307 -- -- (5,423)
Post- October Other Total Currency Unrealized Temporary Accumulated Losses Depreciation Differences Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $(28,003) $(531,991) $ 6,573 $(752,605) Emerging Markets Equity Fund -- (194,038) (1,510) (32,381) International Fixed Income Fund -- (19,954) (22,932) (24,704) Emerging Markets Debt Fund -- (61,242) (17,079) (56,437)
Post-October losses represent losses realized on investment transactions from November 1, 2007 through September 30, 2008, that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital losses may be carried forward and applied against future capital gains as follows:
Total Capital Loss Expires Carryforward 2015 09/30/08 ($ Thousands) ($ Thousands) ------------- ------------- International Fixed Income Fund $3,797 $3,797
During the year ended September 30, 2008, the International Fixed Income Fund utilized $426,188 of capital loss carryforwards to offset capital gains. For tax purposes, the losses in the Funds can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on total investments, excluding written options, at September 30, 2008 for each Fund is as follows:
Aggregate Aggregate Gross Gross Net Federal Unrealized Unrealized Unrealized Tax Cost Appreciation Depreciation Depreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $3,196,223 $81,495 $(573,739) $(492,244) Emerging Markets Equity Fund 1,175,566 59,594 (253,519) (193,925) International Fixed Income Fund 683,818 7,297 (48,359) (41,062) Emerging Markets Debt Fund 901,491 26,594 (92,539) (65,945)
70 SEI Institutional International Trust / Annual Report / September 30, 2008 Management has analyzed the Funds' tax position taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2008, no provision for income tax would be required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. 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, 2008, the total value of these securities represented approximately 3% 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 the SEI Liquidity Fund, L.P., repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, high-quality, short-term instruments, such as floating rate notes, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity date not to exceed 397 days. There is no guarantee that these investments will not lose value. 8. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the 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 SEI Institutional International Trust / Annual Report / September 30, 2008 71 NOTES TO FINANCIAL STATEMENTS fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current U.S. 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, 2008, 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 measurements reported in the financial statements for a fiscal period. In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No. 161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Funds' financial statements and related disclosures. On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1 and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO. 133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 are effective for reporting periods (annual or interim) ending after November 15, 2008. Management of the Fund is currently assessing the impact of adopting FSP No. FAS 133-1 and FIN 45-4. 9. OTHER MATTERS (Unaudited) Due to 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, 2008 and do not reflect any market events after September 30, 2008. 72 SEI Institutional International Trust / Annual Report / September 30, 2008 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 Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Emerging Markets Debt Fund (collectively, the "Funds"), as of September 30, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-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 each of the years in the two-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, 2008, by correspondence with custodians and brokers or 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, 2008, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. (KPMG LLP) Philadelphia, Pennsylvania November 26, 2008 SEI Institutional International Trust / Annual Report / September 30, 2008 73 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of November 21, 2008. 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 POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ---------------- ------------- ---------------------------------- INTERESTED TRUSTEES Robert A. Nesher Chairman since 1982 Currently 80 Trustee of The Advisors' Inner One Freedom of the performs various Circle Fund, The Advisors' Inner Valley Drive, Board of services on Circle Fund II, Bishop Street Oaks, PA 19456 Trustees* behalf of SEI Funds, Director of SEI Global 61 yrs. old Investments for Master Fund, plc, SEI Global which Mr. Nesher Assets Fund, plc, SEI Global is compensated. 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 Fund, L.P., SEI Structured Credit Fund, L.P., and SEI Multi-Strategy Funds plc. William M. Doran Trustee* since 1982 Self-employed 80 Trustee of The Advisors' Inner 1701 Market Street consultant since Circle Fund, The Advisors' Inner Philadelphia, PA 2003. Partner, Circle Fund II, Bishop Street 19103 Morgan, Lewis & Funds, Director of SEI since 1974. 68 yrs. old Bockius LLP (law Director of the Distributor since firm) from 1976 2003. Director of SEI Investments to 2003, counsel -- Global Fund Services, Limited, to the Trust, SEI Investments Global, Limited, SEI, SIMC, the SEI Investments (Europe), Limited, Administrator SEI Investments (Asia), Limited and the and SEI Asset Korea Co., Ltd. Distributor. Secretary of SEI since 1978. TRUSTEES James M. Storey Trustee since 1995 Attorney, sole 80 Trustee of The Advisors' Inner One Freedom practitioner Circle Fund, The Advisors' Inner Valley Drive, since 1994. Circle Fund II, Bishop Street Oaks, PA 19456 Partner, Dechert Funds, Massachusetts Health and 77 yrs. old Price & Rhoads, Education Tax-Exempt Trust, and September 1987- U.S. Charitable Gift Trust. December 1993.
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. (1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. 74 SEI Institutional International Trust / Annual Report / September 30, 2008
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ---------------- ------------- ---------------------------------- TRUSTEES (CONTINUED) George J. Sullivan, Jr. Trustee since 1996 Self-Employed 80 Trustee of The Advisors' Inner One Freedom Consultant, Circle Fund, The Advisors' Inner Valley Drive Newfound Circle Fund II, Bishop Street Oaks, PA 19456 Consultants Inc. Funds, State Street Navigator 65 yrs. old since April 1997. Securities Lending Trust, SEI Opportunity Fund, L.P.,and SEI Structured Credit Fund, L.P. Rosemarie B. Greco Trustee since 1999 Director, 80 Director, Sonoco, Inc.; Director, One Freedom` Governor's Exelon Corporation; Trustee, Valley Drive Office of Health Pennsylvania Real Estate Oaks, PA 19456 Care Reform, Investment Trust. 62 yrs. old Commonwealth of Pennsylvania since 2003. Founder and Principal, Grecoventures Ltd. from 1999 to 2002. Nina Lesavoy Trustee since 2003 Founder and 80 Director of SEI Opportunity Fund, One Freedom Managing L.P., and SEI Structured Credit Valley Drive, Director, Avec Fund, L.P. Oaks, PA 19456 Capital since 51 yrs. old 2008. Managing Director, Cue Capital from March 2002-March 2008. James M. Williams Trustee since 2004 Vice 80 Trustee/Director of Ariel Mutual One Freedom President and Funds, SEI Opportunity Fund, L.P., Valley Drive, Chief and SEI Structured Credit Fund, Oaks, PA 19456 Investment L.P. 60 yrs. old Officer, J. Paul Getty Trust, Non- Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000- 2002. Mitchell A. Johnson Trustee since 2007 Private Investor 80 Trustee of the Advisors' Inner One Freedom since 1994. Circle Fund, The Advisor's Inner Valley Drive, Circle Fund II, and Bishop Street Oaks, PA 19456 Funds. 66 yrs. old Hubert L. Harris, Jr. Trustee since 2008 Retired since 80 Director of Colonial BancGroup, One Freedom December 2005. Inc. and Chair of the Board of Valley Drive, Chief Executive Trustees, Georgia Tech Foundation, Oaks, PA 19456 Officer and Inc. (nonprofit corporation). 65 yrs. old Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003- December 2005. OFFICERS Robert A. Nesher President since 2005 Currently N/A N/A One Freedom & CEO performs various Valley Drive, services on Oaks, PA 19456 behalf of SEI 61 yrs. old for which Mr. Nesher is compensated. Stephen F. Panner Controller since 2005 Fund Accounting N/A N/A One Freedom and Chief Director of the Valley Drive, Financial Administrator Oaks, PA 19456 Officer since 2005. Fund 38 yrs. old Administration Manager, Old Mutual Fund Services, 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.
SEI Institutional International Trust / Annual Report / September 30, 2008 75 NOTES TO FINANCIAL STATEMENTS
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ---------------- ------------- ---------------------------------- OFFICERS(CONTINUED) Russell Emery Chief since 2006 Chief Compliance N/A N/A One Freedom Compliance Officer of SEI Valley Drive Officer Alpha Strateg Oaks, PA 19456 Portfolios, 45 yrs. old L.P., SEI Structured Credit Fund, L.P., since June 2007. SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, SEI Opportunity Fund, L.P., The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, and Bishop Street Funds, 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, N/A N/A One Freedom President Vice President Valley Drive and and Secretary of Oaks, PA 19456 Secretary SIMC and the 40 yrs. old Administrator since 2004. Vice President and 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. James Ndiaye Vice since 2005 Vice President N/A N/A One Freedom President and Assistant Valley Drive and Secretary of Oaks, PA 19456 Assistant SIMC since 2005. 39 yrs. old Secretary Vice President, Deutsche Asset Management (2003-2004). Associate, Morgan, Lewis & Bockius LLP (2000-2003). Michael T. Pang Vice since 2005 Vice President N/A N/A One Freedom President and Assistant Valley Drive and Secretary of Oaks, PA 19456 Assistant SIMC since 2005. 36 yrs. old Secretary Counsel, Caledonian Bank & Trust's Mutual Funds Group (2004). Counsel, Permal Asset Management (2001-2004). Aaron Buser Vice since 2008 Vice President N/A N/A One Freedom President and Assistant Valley Drive and Secretary of Oaks, PA 19456 Assistant SIMC since 2007. 37 yrs. old Secretary Associate at Stark & Stark (2004-2007). Associate at Flaster/ Greenberg, P.C. (2000-2004). John J. McCue Vice since 2004 Director of N/A N/A One Freedom President Portfolio Valley Drive Implementations Oaks, PA 19456 for SIMC since 45 yrs. old 1995. Managing Director of Money Market Investments for SIMC since 2003. Andrew S. Decker Anti-Money since 2008 Compliance N/A N/A One Freedom Laundering Officer and Valley Drive Compliance Product Manager, Oaks, PA 19456 Officer SEI 2005-2008. 44 yrs. old Vice President, Old Mutual Capital, 2000-2005.
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. 76 SEI Institutional International Trust / Annual Report / September 30, 2008 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 4/1/08 9/30/08 RATIOS PERIOD* --------- --------- ------------- --------- INTERNATIONAL EQUITY FUND ACTUAL FUND RETURN Class A $1,000.00 $ 730.80 1.25% $ 5.41 Class I $1,000.00 $ 728.90 1.50% $ 6.48 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.75 1.25% $ 6.31 Class I $1,000.00 $1,017.50 1.50% $ 7.57 --------- --------- ---- ------ EMERGING MARKETS EQUITY FUND ACTUAL FUND RETURN Class A $1,000.00 $ 729.90 2.00% $ 8.65 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.00 2.00% $10.08 --------- --------- ---- ------ BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/08 9/30/08 RATIOS PERIOD* --------- --------- ------------- --------- INTERNATIONAL FIXED INCOME FUND ACTUAL FUND RETURN Class A $1,000.00 $ 971.20 1.02% $5.03 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,019.90 1.02% $5.15 --------- --------- ---- ----- EMERGING MARKETS DEBT FUND ACTUAL FUND RETURN Class A $1,000.00 $ 932.90 1.37% $6.62 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.15 1.37% $6.91 --------- --------- ---- -----
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/366 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). SEI Institutional International Trust / Annual Report / September 30, 2008 77 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) 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 78 SEI Institutional International Trust / Annual Report / September 30, 2008 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued) SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and 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 June 25, 2008 and September 17-18, 2008 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: - 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; - the Funds' investment performance and how it compared to that of other comparable mutual funds; - the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; - 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 - 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 com position 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, 2008 79 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. 80 SEI Institutional International Trust / Annual Report / September 30, 2008 Notice to Shareholders (Unaudited) For shareholders that do not have a September 30, 2008 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2008 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 2008 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year:
(E) (A) QUALIFYING LONG-TERM (B) DIVIDEND CAPITAL GAIN ORDINARY (D) INCOME (F) (G) (H) DISTRIBUTIONS INCOME DIVIDENDS (15% TAX U.S. INTEREST SHORT-TERM (TAX DISTRIBUTIONS (C) RECEIVED RATE FOR GOVERNMENT RELATED CAPITAL GAIN FUND BASIS) (TAX BASIS) TOTAL DEDUCTION (1) QDI) (2) INTEREST (3) DIVIDENDS (4) DIVIDENDS (5) ----------------------- ------------- ------------- ------ ------------- ---------- ------------ ------------- ------------- International Equity 48.30% 51.70% 100.00% 0.00% 17.41% 0.86% 0.42% 100.00% Emerging Markets Equity 73.65% 26.35% 100.00% 0.00% 24.44% 0.00% 0.21% 100.00% International Fixed Income 0.00% 100.00% 100.00% 0.00% 0.00% 1.10% 4.78% 0.00% Emerging Markets Debt 17.05% 82.95% 100.00% 0.00% 0.00% 0.81% 4.00% 100.00%
The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2008, the amount of foreign source income and foreign tax credit are as follows:
Foreign Tax Foreign Source Credit Pass Fund Income Through ----------------------- -------------- ----------- International Equity $93,990,545 $3,314,084 Emerging Markets Equity 42,560,790 2,892,844
(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) "Interest Related Dividends" 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) "Short-Term Capital Gain Dividends" 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, 2008 81 Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 2008 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson Hubert L. Harris, Jr. 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 James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KMPG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) (SEI LOGO) New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-018 (9/08) 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 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 Registrant. KPMG billed the Registrant aggregate fees for the services redered to the Registrant for fiscal year 2008 and for fiscal year 2007 as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- FISCAL 2008 FISCAL 2007 ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $150,000 $0 $0 $136,500 N/A $0 Fees(1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $0 $0 N/A $0 $0 $0 Related Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax $26,800 $0 $0 N/A N/A N/A Fees(2) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $248,500 $0 $0 $5,440 $264,075 $0 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the Registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (2) Review of federal income tax returns of the Registrant. (e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer ("CFO") of the Registrant and must include a detailed description of the services proposed to be rendered. The Registrant `s CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the audit committee or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. Requests or applications to provide services that require specific pre-approval by the audit committee will be submitted to the audit committee by the CFO. The audit committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The audit committee has delegated specific pre-approval authority to either the audit committee chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the audit committee at its next regularly scheduled meeting. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the 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 2008 FISCAL 2007 -------------------------- ----------------- ---------------- 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 2008 and 2007 were $248,500 and $269,515, 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 Included in Item 1. 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 Registrant 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 Registrant's board of trustees (the "Board"). Pursuant to the Committee's charter, adopted on June 18, 2004 and as amended, 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 Registrant's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the Registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrants 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 09, 2008 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 09, 2008 By (Signature and Title)* /s/ Stephen F. Panner ------------------------- Stephen F. Panner, Controller & CFO Date: December 09, 2008 * Print the name and title of each signing officer under his or her signature.