-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UZf1B60fGIlEqkn6uUR7CbaaqZGVQYoGbcrAzS8KtkbGFOeklSHIzIfZYvkeTfJa y/vXAHuhP08smyKvxPkw8Q== 0000935069-98-000065.txt : 19980430 0000935069-98-000065.hdr.sgml : 19980430 ACCESSION NUMBER: 0000935069-98-000065 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19980228 FILED AS OF DATE: 19980428 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INTERNATIONAL TRUST CENTRAL INDEX KEY: 0000835597 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05601 FILM NUMBER: 98603026 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 2: 530 E SWEDESFORD RD CITY: WAYNE STATE: PA ZIP: 19087-1693 FORMER COMPANY: FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST DATE OF NAME CHANGE: 19900129 N-30D 1 SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT AS OF FEBRUARY 28, 1998 SEI INSTITUTIONAL INTERNATIONAL TRUST ================================================================================ International Equity ================================================================================ Emerging Markets Equity ================================================================================ International Fixed Income ================================================================================ Emerging Markets Debt ================================================================================ [SEI LOGO OMITTED] SEI INVESTMENTS THE ART OF PEOPLE. THE SCIENCE OF RESULTS. TABLE OF CONTENTS ================================================================================ REVIEW OF NON-U.S. EQUITY MARKETS.................................... 1 REVIEW OF NON-U.S. BOND MARKETS ..................................... 2 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE INTERNATIONAL EQUITY PORTFOLIO................................. 4 EMERGING MARKETS EQUITY PORTFOLIO ............................. 5 INTERNATIONAL FIXED INCOME PORTFOLIO........................... 7 EMERGING MARKETS DEBT PORTFOLIO................................ 8 STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS..................... 10 STATEMENTS OF ASSETS AND LIABILITIES................................. 26 STATEMENTS OF OPERATIONS ............................................ 27 STATEMENTS OF CHANGES IN NET ASSETS ................................. 28 FINANCIAL HIGHLIGHTS ................................................ 29 NOTES TO FINANCIAL STATEMENTS........................................ 30 REPORT OF INDEPENDENT ACCOUNTANTS ................................... 36 NOTICE TO SHAREHOLDERS............................................... 37 REVIEW OF NON-U.S. EQUITY MARKETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY MARKET OVERVIEW Last year's equity markets returned to significant volatility as new highs in the U.S. and Europe offset a weaker Asia. Strong economic fundamentals like low inflation, low interest rates and strong corporate profits helped to spur the European markets higher. However, Japan's domestic sensitive shares suffered again as government reforms continue to disappoint investors. Finally, Thailand's currency was unpegged from the U.S. dollar in July and proceeded to drop in value. The currency devaluation that occurred in Thailand quickly spread throughout the Asian region, affecting all other markets. As 1997 came to a close, investors were fleeing from the region with shaken confidence. The first two months of 1998, however, saw a surprising rebound in both currencies relative to the dollar and the local markets. The International Monetary Fund ("IMF") stepped into many of these economies and established strict guidelines designed to stabilize the currencies and markets. Those countries who followed the guidelines were rewarded with renewed investor confidence in early 1998, while those who did not follow the IMF experienced further declines. Within Europe, the MSCI Europe Index gained approximately 34% for the year ended February 1998, with value stocks outperforming their growth counterparts by over 3%. The convergence within Europe to one currency drove much of the performance as interest rates fell in line with Germany's low rate. Inflation remains in check across Europe, with companies continuing to surprise on the upside in terms of earnings. Cost cutting, merger and acquisition activity and a focus on shareholder value by many leading European companies has driven the market to record highs as of February 28, 1998. Spain, Switzerland and Italy were among the strongest performers for the year, driven primarily from merger and acquisition activity within the financial services industry. As Europe moves to one market, banks will be able to compete regionally and are combining in anticipation. Within the U.K., a 21% position within the MSCI EAFE Index, strong earnings, low inflation and combinations among the largest firms in the market helped to drive the index up over 37% in U.S. dollar terms. In Asia, all market's were down after Thailand let the currency peg fall in July 1997. Malaysia, Singapore and Hong Kong were hardest hit within the developed markets, while Japan (25% of the MSCI EAFE Index) was off 8.1% in U.S. dollar terms. Significant capital flight from Asia exacerbated the problem as liquidity in the system dried up. With rising interest rates and mountains of bad debt on the corporate balance sheet, growth slowed significantly in the region. The IMF intervention in late December 1997 and early 1998 helped to quell investors' fears and brought back some confidence in the region. For the first two months of 1998, the markets in the Pacific Rim were among the strongest. Our International Equity Portfolio weathered the storm well last year, but underperformed relative to the MSCI EAFE Index. We were underweight to Japan and overweight to Europe. This positioning helped our returns for the year as Europe's strong return helped to offset weakness in Japan. However, stock selection within Japan was the primary reason for our shortfall. Our well diversified approach within each region exposed us to the domestically sensitive shares in Japan, whose returns fell short of the export oriented shares. In fact, Japan on the whole had a negative return, but there were a few, globally competitive companies whose share prices benefited from the technology industry's return. 1 REVIEW OF NON-U.S. BOND MARKETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL FIXED INCOME MARKET REVIEW Developed market international bonds, as measured by the Salomon Brothers Non-U.S. World Government Bond Index, gained only 2.9% for the twelve-month period ended February 28, 1998, considerably less than the double-digit gains of domestic bonds. Despite largely keeping pace with U.S. bond gains when measured in local currency terms, a U.S. dollar strengthening versus nearly every developed currency significantly reduced international bond returns during the fiscal year. Strong investor demand for U.S. assets lifted the greenback. Emerging markets debt modestly outperformed U.S. bonds for the twelve-month period, gaining 11.0% as measured by the JP Morgan Emerging Markets Bond Index Plus ("EMBI+"). After narrowing to an all-time low of 330 basis points, the yield premium for emerging markets debt widened to over 600 basis points during the Asian currency crisis in October, as panicky investors sold all types of emerging markets securities. By the end of the fiscal year, emerging debt securities yielded 495 basis points more than U.S. Treasuries, approximately 100 basis points wider than at the start of the fiscal year. For the eight-month period ended February 28, 1998, corresponding to the life of the SEI Emerging Markets Debt Portfolio, emerging markets gained 5.2% as measured by the EMBI+. Italian and Spanish bond markets outpaced their German counterparts as those governments reduced inflation and slashed their fiscal deficits in order to qualify for the European Monetary Union ("EMU"). The long-term yield differentials between these countries dramatically narrowed throughout the period. At the fiscal year-end, it appeared that EMU would commence as scheduled on January 1, 1999 with eleven member nations: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. In France and Germany, sluggish growth and mild inflation nudged long-term yields lower, but the continental European currencies declined relative to the U.S. dollar for the period. The United States' surging equity market, strong economic growth with little inflation, and attractive Treasury yield levels enticed investors and buoyed the dollar. The only modest supports for continental European currencies were the Bundesbank's 30 basis point hike in the overnight lending rates in early October and safe-haven inflows during the Asian crisis. The British economy, in contrast to continental Europe, registered strong growth. During the period, the Bank of England hiked short-term interest rates 1.25%, but long-term rates fell by nearly the same amount as the relatively high yield levels attracted investment. As a result, the yield curve ended the fiscal year inverted. The pound gained from the rate hikes, healthy economic growth, and strong investor demand for British bonds. Japanese yield levels continued to decline throughout the fiscal year as the economy grew an anemic 0.9% in 1997. Early in the period, bonds suffered and the yen rose amidst optimism amongst manufacturers and a ballooning current account surplus. However, the economy later slowed, and the regional crisis dimmed the exporting sector, the lone bright spot of the Japanese economy. Bankruptcies of regional banks and of the fourth largest securities firm also weakened the yen versus the dollar. 2 REVIEW OF NON-U.S. BOND MARKETS (Continued) ================================================================================ In Eastern Europe, Bulgaria was a top performer, advancing more than 40% for the fiscal year, as the country made significant progress on structural reforms and privatization programs. Russia gained on the anticipated rescheduling of its Soviet-era debt during the summer, but was hit particularly hard during the Asian crisis as many leveraged investors became forced sellers. Also, speculation of a possible Russian ruble devaluation and the health problems of President Boris Yeltsin further reduced returns. Russia recouped some of its losses after the Asian crisis subsided, Yeltsin's health improved, and the government made progress on the budget. In Latin America, Mexico made strong advances and fared better than most countries during the Asian crisis. The 1994 Mexican peso crisis wrung most of the leverage out of the Mexican banking system, resulting in fewer forced liquidations when the Asia crisis hit. Brazil lagged other nations as investors feared the country's currency would devalue. However, Brazil rebounded after quick and decisive fiscal austerity measures enacted late in 1997 restored investor confidence. Peru and Ecuador also performed well as positive economic developments led to favorable initial credit ratings. 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY PORTFOLIO OBJECTIVE. The International Equity Portfolio seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of non-U.S. issuers. The Portfolio also seeks to provide U.S. investors with a vehicle for international diversification, which can reduce variability of Portfolio returns to the extent that foreign markets have a relatively low correlation with the U.S. market. STRATEGY. The International Equity Portfolio is diversified across a number of markets and includes commitments to large-cap and small-cap shares. Exposure is also maintained to growth and value styles of active management. Emphasis is placed on active security selection as the principal source of value-added as opposed to active country allocation. The Portfolio does not hedge foreign currency exposure. ANALYSIS. For the fiscal year ended February 28, 1998, the International Equity Portfolio returned 10.2% versus a return of 15.5% for its benchmark the MSCI EAFE Index. Strong returns in Europe helped to offset the weakness that developed in Asia in late 1997. Stock selection across the Portfolio was negatively affected by Japan, but offset slightly within Europe and Asia Ex-Japan. The Portfolio's regional weights were roughly in line with the benchmark's weights, with a slight overweight to Europe and underweight in Asia. The regional weights remained consistent throughout the year. The Portfolio's underperformance was primarily due to stock selection within Japan. Despite an underweighted position in Japan relative to the benchmark, economically sensitive issues in our Portfolio underperformed their large cap, export oriented counterparts. Efforts by the government to revitalize the economy have been lackluster, and as a result have convinced investors that domestic demand will remain weak and net exporters will benefit. In addition, near the end of the calendar year 1997, weakness across the entire Asian region caused dramatic capital flight out of Singapore, Malaysia and Hong Kong and, at the same time, brought into question the turn-around potential for Japan. Currency ================================================================================ INTERNATIONAL EQUITY ================================================================================ AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Class A 10.21% 10.96% 9.44% 5.28% - -------------------------------------------------------------------------------- Class D, Synthetic 9.92% 10.59% 9.15% 6.43%* - -------------------------------------------------------------------------------- Class D, Synthetic, w/load 4.47% 8.73% 8.04% 5.01%* - -------------------------------------------------------------------------------- *ACTUAL, NOT SYNTHETIC COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI INTERNATIONAL EQUITY PORTFOLIO, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE MORGAN STANLEY MSCI EAFE INDEX [LINE GRAPH OMITTED] MORGAN STANLEY SEI INTERNATIONAL SEI INTERNATIONAL MSCI EAFE EQUITY PORTFOLIO, CLASS D EQUITY PORTFOLIO, INDEX SYNTHETIC, W/LOAD CLASS A 12/31/89 $10,000 $9,500 $10,000 2/28/90 8,957 9,094 9,573 2/28/91 8,751 9,127 9,607 2/29/92 8,101 8,978 9,451 2/28/93 7,766 9,173 9,656 2/28/94 10,809 11,414 12,016 2/28/95 10,329 10,507 11,094 2/29/96 12,069 12,269 13,013 2/28/97 12,461 12,930 13,755 2/28/98 14,389 14,213 15,160 1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS D SHARES WERE OFFERED BEGINNING ON MAY 1, 1994. THE PERFORMANCE SHOWN FOR THE CLASS D SHARES PRIOR TO SUCH DATE IS SYNTHETIC'S PERFORMANCE DERIVED FROM THE PERFORMANCE OF CLASS A SHARES ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.0% FOR THE CLASS D SHARES. CLASS A SHARES WERE OFFERED BEGINNING DECEMBER 30, 1989. 4 ================================================================================ devaluations in Thailand and Indonesia along with the trading interdependence of the Asian countries caused the region to come to a dramatic standstill by the end of 1997. Japan depends on the region for its own growth prospects and as this region slowed, it added to an already weak market. Our well diversified, risk controlled approach led to our exposure to both domestic oriented and export oriented companies within Japan. In particular, the construction and finance sectors that depend on a strong economy were the worst performing groups in the Portfolio. Our strategy also had some exposure to smaller cap issues whose returns lagged significantly behind the large cap benchmark. The return differential between large cap growth and small cap value was 45%, as measured by the NRI/Russell Indices. With this type of dispersion, any exposure to small cap stocks resulted in relative underperformance. The Portfolio's exposure to smaller cap stocks was reduced over the year in an effort to control uncompensated risk against the benchmark. In addition, we continue to concentrate the Portfolio into the most attractive names in order to increase the return potential of the Portfolio without significantly affecting total risk. EMERGING MARKETS EQUITY PORTFOLIO OBJECTIVE. The Emerging Markets Equity Portfolio seeks to provide capital appreciation by investing primarily in a diversified portfolio of equity securities of emerging market issuers. STRATEGY. The Portfolio employs money management specialists focusing on regions across Latin America, Asia, emerging Europe, South Africa and the smaller markets. The managers specializing in Latin America, Asia and emerging Europe focus on both bottom up fundamental company analysis and top down country allocation. The smaller markets mandate pursues a structured approach to capture the long term investment opportunity provided by these newly emerging markets. ANALYSIS. For the fiscal year ended February 28, 1998, the Emerging Markets Equity Portfolio returned -17.7%, outperforming its benchmark, the IFC Investable Composite, which returned -21.9%. The Portfolio's results were largely due to the Asian currency crisis which took place in the second half of 1997. The crisis was sparked by Thailand's devaluation of the baht, which subsequently led to all Southeast Asian markets devaluing their currencies, as well as several North Asian markets. The IFC Investable Asia index lost slightly more than 50% over the past twelve months. The Indonesian market lost 80% in U.S. dollar terms, mainly due to a lack of confidence in the local currency and uncertainty surrounding the political will to follow subscribed International Monetary Fund policies. Malaysia, Thailand, the Philippines and Korea all fell more than 50% over the past twelve months, again due to severe devalua- 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 ================================================================================ EMERGING MARKETS EQUITY ================================================================================ AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Year 3 Year Inception Return Return to Date - -------------------------------------------------------------------------------- Emerging Markets Equity, Class A -17.72% 1.23% 2.06% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING MARKETS EQUITY PORTFOLIO, VERSUS THE IFC INVESTABLE COMPOSITE INDEX [LINE GRAPH OMITTED] EMERGING MARKETS EQUITY IFC INVESTABLE PORTFOLIO, CLASS A COMPOSITE INDEX 1/31/95 $10,000 $10,000 2/28/95 10,138 9,871 2/29/96 10,830 11,203 2/28/97 12,782 12,985 2/28/98 10,517 10,136 1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995. tions and poor sentiment concerning the future outlook of the banking sector. The Latin American markets fared much better, ending the year up 3%. Mexico led the region higher, rising 17%, due to continued optimism on strong domestic growth and low interest rates. The Brazilian market was negatively impacted by the Asian currency crisis, however the market rebounded sharply to end the twelve months up 2%. The Portfolio's outperformance was mainly due to positive manager performance. Our best relative performing manager was Coronation Asset Management in South Africa, where our Portfolio outperformed by approximately 9.5% for the year. The performance was driven by positive stock selection within the banking and finance sector, and our underweight to gold and mining shares. We witnessed an extreme divergence in the market, where merger activity in the banking sector fueled a rally, and low inflation combined with central bank activity selling gold reserves pushed gold prices to very low levels. The Asia portfolio also provided investors with strong relative returns, outperforming by 8%. Within Asia, our overweight to defensive sectors, mainly tobacco and utilities, and an underweight to the banking and finance sector contributed significantly to performance. The Portfolio's exposure to smaller markets was also positive for the year. Parametric Portfolio Associates had the best absolute performance of all the regions for the past twelve months, rising 3%. The smaller markets, which are characteristically less liquid and maintain the lowest correlation to other emerging markets, finished the year unscathed by the Asian currency crisis. Latin America was the only disappointment, where our portfolio returned 2%, 1% under its benchmark. The portfolio's underweight to Mexico, the best performing market in the region accounted for most of the underperformance. We have been concerned about social stability within Mexico, and have maintained a small underweight to the market. Offsetting most of those losses, was our decision to overweight Brazil and the telecommunications sector within Brazil, which added significantly to relative performance. In December, 1997, SEI added Credit Suisse Asset Management as sub-advisor covering the emerging European markets. The mandate includes Greece, Portugal, Turkey, Russia, the Czech Republic, Hungary and Poland. The mandate will also cover newly emerged Central 6 ================================================================================ and Eastern European markets, as these markets mature and develop a stable investment environment. For the first two months of 1998, Credit Suisse has outperformed their stated benchmark, contributing positively to performance. INTERNATIONAL FIXED INCOME PORTFOLIO OBJECTIVES. The International Fixed Income Portfolio seeks to provide capital appreciation and current income through investments primarily in investment grade, non-U.S. dollar denominated government and corporate fixed income securities. The Portfolio also 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. The Portfolio invests primarily in high-quality, foreign currency government obligations. Although there are no restrictions on the Portfolio's overall duration, under normal conditions it is expected to range between four and six years. STRATEGY. Portfolio construction entails a two-stage process which combines fundamental macroeconomic analysis and technical price analysis. First, a fundamental judgment is made about the direction of a market's interest rates and its currency. A technical price overlay is then applied to the fundamental position to ensure that the Portfolio is not substantially overweighted in a declining market or underweighted in a rising one. Country and currency allocations are made separately. As a result, the Portfolio's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Portfolio will generally be diversified across 6 to 12 countries with continual exposure to 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 Portfolio'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 Portfolio advanced 3.2% for the year ended February 28, 1998, outperforming the Salomon Brothers Non-U.S. World Government Bond Index return of 2.9%. Well-timed currency movements between Japan and Europe, an overweight to British bonds, and an underweight to Japanese bonds generated the outperformance. ================================================================================ INTERNATIONAL FIXED INCOME ================================================================================ AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Year 3 Year Inception Return Return to Date - -------------------------------------------------------------------------------- International Fixed Income, Class A 3.23% 6.21% 6.74% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI INTERNATIONAL FIXED INCOME PORTFOLIO, VERSUS THE SALOMON WGBI, NON-U.S., UNHEDGED [LINE GRAPH OMITTED] SALOMON WGBI, NON-U.S., SEI INTERNATIONAL UNHEDGED FIXED PORTFOLIO, CLASS A 9/30/93 $10,000 $10,000 2/28/94 10,089 10,087 2/28/95 11,156 10,937 2/29/96 12,448 12,464 2/28/97 12,530 12,694 2/28/98 12,916 13,104 1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993. 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 Early in the period, Japanese bonds suffered and the yen rose following optimistic economic forecasts. However, economic activity slowed and the decline was exacerbated by the Southeast Asian crisis. Bankruptcies of regional banks and of the fourth largest securities firm also weakened the yen towards the end of 1997. The Portfolio emphasized the yen early in the period and later underweighted the currency towards the end of the fiscal year, thus adding to relative returns. Italian and Spanish bond markets outperformed as those governments made significant progress to meet the fiscal requirements for the European Monetary Union. Modest underweights to these bond and currency markets hurt relative performance. British bonds and the pound both were top performers for the fiscal year, driven by a strong British economy, attractive yield levels, and a vigilant central bank. In the spring of 1997, the newly-elected Labour government de-politicized the central bank and gave it full authority to set interest rate policy. By the end of the fiscal year, the Bank of England hiked short-term interest rates 1.25% to cool the hot economy, but long-term rates fell as relatively high yield levels attracted investors. The pound gained from the rate hikes and strong foreign demand for British bonds. The Portfolio's fairly consistent overweight to British bonds and tactical overweights to the pound contributed to performance. EMERGING MARKETS DEBT PORTFOLIO OBJECTIVES. The Emerging Markets Debt Portfolio seeks to maximize total return. The portfolio seeks to achieve the objective by investing in primarily high yield, below-investment grade fixed income securities from emerging markets of foreign countries. The Portfolio also 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. Under normal circumstances, the Portfolio is anticipated to be invested primarily in U.S. dollar-denominated emerging debt. STRATEGY. Structuring and managing the Portfolio entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/ political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Portfolio will be diversified across 10-15 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. 8 ================================================================================ ================================================================================ EMERGING MARKETS DEBT ================================================================================ AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- Cumulative Inception to Date - -------------------------------------------------------------------------------- Emerging Markets Debt, Class A 5.64% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING MARKETS DEBT PORTFOLIO, VERSUS THE J.P. MORGAN EMBI PLUS [LINE GRAPH OMITTED] EMERGING MARKETS DEBT PORTFOLIO, CLASS A J.P. MORGAN EMBI PLUS 6/29/97 $10,000 $10,000 2/28/98 10,563 10,522 1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. ANALYSIS. The Emerging Markets Debt Portfolio posted a since inception return of 5.6% for the period June 30, 1997 to February 28, 1998 to outperform the J.P. Morgan Emerging Markets Debt Index Plus return of 5.2% over the same eight-month period. A defensive posturing throughout the Asian crisis and propitious country weightings drove the outperformance. In Latin America, Brazil lagged other emerging debt countries for the eight-month period ended February 28, 1998, as investors fretted that the Asian currency crisis would spread and trigger a devaluation of Brazil's currency, the REAL. A consistent underweight to the country added to relative performance. Mexico weathered the Asian crisis better than most because the 1994 peso crisis eliminated much of the leverage in the Mexican banking system. Also, the nation is viewed as a "safe-haven" emerging debt country. The Portfolio's overweight to the country added to performance. Peru and Ecuador outperformed as both received favorable initial credit ratings. Moody's rated Ecuador's long term debt B1, while Standard & Poor's rated Peru BB. The Portfolio's concentrations in these countries added to returns. Russia underperformed over the entire eight-month period, but was up strongly before and after the Asian crisis occurred in the fall. The country initially rallied on the anticipation that over $35 billion in Soviet-era loans would be restructured into bonds. During the Asian crisis, the combination of forced leveraged sellers and fears of a ruble devaluation pummeled the country's debt. However, after the Asian crisis subsided, the completion of the loan restructuring and progress passing a fiscally conservative budget sparked a rally. The Portfolio's increased overweights during periods of sharp appreciation boosted performance. 9 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY PORTFOLIO - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 88.5% AUSTRALIA -- 3.8% Amalgamated Holdings 36,000 $ 150 Australia & New Zealand Bank 226,050 1,549 Australian Gas Light 113,364 900 Australian Resources* 292,600 36 Brambles Industries 41,205 861 Broken Hill Proprietary 122,670 1,207 Capral Aluminum 204,600 430 Coles Myer 89,000 460 Commonwealth Bank of Australia 187,200 2,318 Consolidated Rutile* 412,200 162 Foodland 100,100 750 Futuris 64,890 77 General Property Trust 192,000 375 Goodman Fielder 437,850 755 Great Central Mine 129,000 171 Hardie (James) Industries 125,000 387 Lend Lease 70,000 1,755 MacMahon Holdings 145,500 59 National Australia Bank 511,402 7,044 Newscorp 173,100 1,098 Pacific Magazines & Print 100,300 209 Qantas Airways 1,632,000 2,779 QBE Insurance 125,000 516 Rio Tinto Limited* 90,525 1,184 Rothmans Holdings 18,000 108 Stockland Trust Group 49,500 126 Telstra* 226,281 600 WMC Limited 131,625 445 Wesfarmers 48,000 462 Westpac Banking 621,127 4,290 Westpac Property Trust 155,500 201 Woodside Petroleum 75,000 460 Woolworths 110,790 454 --------- 32,378 --------- AUSTRIA -- 0.1% Brauerei Schwechat 3,700 141 Strabag Oesterreich 1,200 61 Voest-Alpine Stahl 7,700 305 --------- 507 --------- BELGIUM -- 0.7% CMB 8,770 690 CNP 1,700 117 Petrofina 7,000 2,390 Solvay 27,100 1,702 Tractabel 10,300 1,059 --------- 5,958 --------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- DENMARK -- 0.3% Danske Traelast 2,080 $ 194 Den Danske Bank 13,550 1,745 FIH, Series B 10,320 246 Monberg & Thorsen Holding 2,400 104 --------- 2,289 --------- FINLAND -- 0.6% Finnair, Series 1 10,000 91 Finnlines 8,700 427 Merita Bank, Class A 677,400 3,965 Outokumpu Oyj 7,000 92 Rauma Oyj 22,700 373 UPM-Kymmene 10,100 262 --------- 5,210 --------- FRANCE -- 6.6% Alcatel Alsthom 23,200 3,022 AXA UAP 39,700 3,846 Banque National Paris 56,300 3,407 Bazar de L'hotel de Ville 850 90 Bongrain 825 373 Chargeurs International 2,650 157 CIC Union Europe 2,550 203 De Dietrich et Compagnie 1,981 98 Elf Aquitaine 33,200 3,784 Eridania Beghin Say 4,250 759 Fimalac 1,200 123 Galeries Lafayette 700 454 Gaumont 4,300 308 Generale des Eaux 20,815 3,279 Generale des Eaux Warrants* 19,815 20 Havas 39,900 3,116 L'Air Liquide 19,850 3,212 Lafarge 28,915 2,137 Marine Wendel 5,350 761 Paribas 81,800 7,789 Parisienne de Rees* 4,200 327 Peugeot 52,850 7,536 Rhone Poulenc 73,200 3,378 Saint Gobain 7,950 1,115 Scor 10,150 525 Societe Generale 18,250 2,755 Union Assurances Federal 2,400 330 Valeo 35,400 3,033 Vallourec 7,850 542 --------- 56,479 --------- GERMANY -- 7.9% Agiv* 54,480 1,171 Allianz 11,800 3,718 10 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- BASF 98,400 $ 3,583 Bayer 49,990 2,109 Bayer Vereinsbank 5,050 315 Bayerische Motoren Werke 8,278 8,352 BHF Bank 4,400 126 Binding Brauerei 300 69 Commerzbank 311,839 11,296 Continental 26,000 625 DBV Holding 560 249 DLW* 1,450 168 Dresdner Bank 77,400 3,512 Dywidag 410 44 Heidelberger Zement 15,500 1,149 Henkel Kgaa 56,200 3,641 Hoechst 77,000 2,985 Holsten Brau 500 102 IWKA 1,200 266 Lufthansa 64,500 1,243 Mannesmann 6,800 4,087 Metro 60,700 2,761 PWA 4,769 844 Rheinische Hypothekenbank* 150 78 Ruetgers 750 118 SGL Carbon 2,000 237 Thyssen 21,700 4,780 Viag 12,175 6,592 Volkswagen 4,400 2,898 --------- 67,118 --------- HONG KONG -- 3.0% Cheung Kong Holdings 183,000 1,282 Cheung Kong Infrastructure 160,000 493 China Resources Development 250,000 546 China Telecom* 300,000 544 Citic Pacific 135,000 523 Clp Holdings Limited 76,000 395 Guoco Group 119,000 303 Hang Seng Bank 106,000 1,003 Harbour Centre Development 43,000 36 Henderson Land Development 247,000 1,289 Hon Kwok Land Investment 587,400 108 Hong Kong Aircraft Engineering 77,200 165 Hong Kong Electric 472,000 1,677 Hong Kong Telecommunications 551,000 1,160 HSBC Holdings 276,290 7,994 Hutchison Whampoa 189,000 1,337 Jardine International Motor 262,000 146 Kumagai Gumi 971,100 652 Lai Sun Garment 290,000 157 Liu Chong Hing 205,000 176 New World Development 149,000 549 Oriental Overseas International 264,000 116 Peregrine Investment Holdings+ 526,000 -- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- QPL International Holdings 108,000 $ 56 Semi-Tech (Global) 264,000 31 Shanghai Industrial Holdings 100,000 434 Sun Hung Kai Properties 293,200 2,197 Swire Pacific, Series A 145,800 878 Tai Cheung Holdings 285,000 97 Tysan Holdings 362,000 48 Wharf Holdings 554,000 1,156 --------- 25,548 --------- IRELAND -- 0.3% Anglo Irish Bank 45,900 113 Greencore Group 515,000 2,577 Hibernian Group 22,500 206 --------- 2,896 --------- ITALY -- 2.8% Assicurazioni Generali 98,370 2,813 Assicurazioni Generali Rights* 98,370 203 Banca Nazionale Lavoro Di Risp 91,000 2,128 Banca Popolare di Milano 136,600 1,173 Banca Popular di Brescia 29,500 368 Benetton* 34,700 650 ENI SPA 870,443 5,090 Ericsson 6,400 342 Istituto Bancario san Paolo di Torino 283,400 3,330 Montedison 3,460,100 3,576 Montefibre 95,000 78 Telecom Italia 494,155 3,365 Telecom Italia Mobile SPA 63,000 289 Toro Assicurazioni 9,030 163 --------- 23,568 --------- JAPAN -- 19.0% Ajis 16,000 76 Apollo Electronics 24,000 219 Asahi Bank 172,000 909 Asatsu 27,200 567 Bank of Tokyo-Mitsubishi 101,000 1,434 Belc 9,000 60 Benesse 3,200 84 Bridgestone 42,000 970 Canon 295,000 6,764 Charle 8,000 81 Chichibu Onoda Cement 400,000 869 Chuba Electric Power 48,100 771 Chubu Steel Plate 41,000 88 Chubu Suisan 23,000 67 Chugai Pharmaceutical 70,000 446 Chuo Warehouse 14,000 80 Comany 11,000 85 Computer Engineering & Consult 20,000 219 Dai Ichi Pharmaceutical 229,000 3,143 11 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY PORTFOLIO--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Dai Nippon Printing 82,000 $ 1,399 Dai-Ichi Kangyo Bank 157,000 1,333 Daikin Industries 166,000 836 Daitec Limited 1,000 19 Daiwa House Industries 151,000 1,184 Danto 34,000 244 Denyo 13,000 75 Dio Chemicals 16,400 65 East Japan Railway 396 1,876 Fuji Electric 330,000 1,113 Fuji Photo Film 177,000 6,951 Fujitsu 106,000 1,194 Fujitsu Business Systems 32,000 475 Genki Sushi 6,000 69 Glory 44,000 820 Hitachi 426,000 3,204 Hitachi Information Systems 50,000 520 Hitachi Medical 85,200 879 Honda Motor 287,000 9,950 Horiba 19,000 237 Horipro 10,000 63 House of Rose 11,000 59 Ichiken 39,000 72 Iino Kaiun* 116,000 265 Izumi Industries 11,000 27 Japan Knowledge 13,000 73 Japan Living Service 29,000 80 Japan Process Development 13,000 65 Japan Tobacco 234 1,725 Jastec 8,000 74 Kamigumi 193,000 883 Kandenko 72,000 503 Kaneka 142,000 811 Kansai Electric Power 60,200 1,036 KDD 15,900 669 Keihanshin Real Estate 86,000 403 Kentucky Fried Chicken Japan 24,000 206 Keyence 2,560 376 King Jim 49,800 415 Kubota 382,000 1,103 KVK 9,000 20 Kyocera 26,800 1,446 Marubeni 789,000 2,185 Marukyo 19,000 132 Matsudo Kousan 13,000 69 Matsushita Electric 573,000 8,364 Matsushita Electric Works 120,000 1,199 Minebea 12,000 133 Mitsubishi Heavy Industries 997,000 4,350 Mitsubishi Materials 772,000 1,764 Mitsubishi Motor 217,000 795 Mitsubishi Rayon 328,000 999 Mitsubishi Trust & Banking 103,000 1,218 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Miura 43,000 $ 457 Morita 100,000 230 NAC 20 -- Nakayamafuku 29,920 93 Namura Shipbuilding 62,000 239 NBC Industries 8,000 84 NIC 23,000 164 Nihon Decoluxe 13,000 59 Nintendo 87,100 8,016 Nippon Computer Systems 10,000 67 Nippon Express 246,000 1,540 Nippon Kanzai 9,600 152 Nippon Meat Packers 68,000 896 Nippon Oil 466,000 1,686 Nippon Paper 258,000 1,316 Nippon Shoji Kaisha 26,600 81 Nippon Steel 729,000 1,371 Nippon Telegraph & Telephone 282 2,595 Nishimatsuya Chain 12,000 80 Nishio Rent All 24,000 234 Nissan Motors 1,886,000 8,214 Nittetsu Mining 53,000 254 NKK 626,000 740 Nomura Securities 86,000 1,187 Nova 23,000 73 NTN 126,000 401 Ogura Clutch 9,000 49 Ohishi Sangyo 14,000 62 Ohmoriya 17,000 108 Oie Sangyo 16,200 77 Oji Paper 327,000 1,764 Ono Pharmaceutical 61,000 1,408 Paltac 30,000 179 Rengo 67,000 175 Ricoh Elemex 9,000 62 Roland 11,000 185 Ryoyo Electro 20,000 219 Sagami Chain 28,200 224 Sakura Bank 301,000 1,261 Sanko 6,000 42 Sankyo 39,000 1,049 Sanwa Bank 124,000 1,239 Sanyo Electric 546,000 1,473 Sanyo Special Steel 177,000 305 Sato Foods Industries 2,000 27 Seijo 20,000 143 Seino Transportation 85,000 508 Sekisui House 801,000 6,323 Sekisui House Hokuriku 37,000 185 Shaddy 22,600 135 Sharp 505,000 3,958 Shidax 3,000 61 Shimojima 19,800 132 12 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Shinden 20,200 $ 144 Shizuoka Bank 58,000 649 SK Kaken 6,000 71 Sony 11,600 1,049 Sotoh 31,000 223 Spancrete 25,000 77 Sumitomo Bank 72,000 857 Sumitomo Marine and Fire Insurance 162,000 1,022 Sumitomo Metal 821,000 1,459 Sun-Life 6,000 58 Tohoku Electric Power 142,000 2,073 Toin 18,000 62 Tokai Rika 74,000 244 Tokyo Electric Power 303,500 5,730 Toppan Printing 141,000 1,667 Toray 300,000 1,618 Toshiba 248,000 1,114 Toyo Ink 112,000 288 Toyoda Automatic Loom Works 78,000 1,454 Toyota Motor 82,000 2,270 Tsuba Nakashima 99,500 537 Tsudakoma 170,000 494 Tsutsumi Jewelry 31,800 441 Xebio 48,800 612 Yaizu Suisankagaku 8,700 69 Yamanouchi Pharmaceutical 123,000 2,996 Yamazaki Baking 52,000 586 Yodogawa Steel Works 90,000 464 Yokohoma Rubber 152,000 467 Yonex 15,000 61 Yonkyu 15,000 158 --------- 161,553 --------- MALAYSIA -- 0.5% Austral Enterprises 300,000 359 Edaran Otomobil 218,000 473 Genting Berhad 28,000 93 IJM 320,000 166 IOI Properties 275,000 233 Kuala Lumpur Kepong Berhad, Series B 86,000 209 Malayan Banking 88,500 343 Malaysia International Shipping 318,000 586 Malaysian Pacific Industries 51,000 152 New Straits Times Press 72,000 111 RHB Capital* 170,000 160 RHB Sakura Merchant Bankers* 400 -- Rothmans of Pall Mall 16,000 142 Sime Darby 160,000 208 Telekom Malaysia 100,000 339 Tenaga Nasionale 136,000 357 United Engineers 147,000 178 Westmont Industries* 218,000 53 --------- 4,162 --------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- NETHERLANDS -- 5.0% ABN-Amro Holding 76,508 $ 1,699 ACF Holdings 11,400 236 Aegon 35,913 4,093 Ahold 25,000 766 Akzo Nobel 30,500 6,196 Dordtsche Petrol 61,000 3,199 DSM 13,806 1,385 EVC 6,300 116 Fortis Amev 39,600 2,166 Gamma Holding 8,000 432 Heineken 15,200 2,824 Hoogovens 20,913 1,020 Ing Groep 248,290 13,154 KLM 11,764 426 KPN 11,200 564 NKF Holdings 5,416 136 Phillips Electronics 13,700 1,066 Royal Dutch Petroleum 18,700 1,024 Schuttersveld 2,900 69 Unilever 34,600 2,229 --------- 42,800 --------- NEW ZEALAND -- 0.4% Brierley Investment 272,000 184 Fletcher Challenge Building 40,222 96 Fletcher Challenge Energy 122,900 449 Fletcher Challenge Paper 216,751 291 Lion Nathan 531,148 1,310 Natural Gas Holdings 75,800 102 Telecom of New Zealand 120,681 578 --------- 3,010 --------- NORWAY -- 0.3% Den Norske Bank 298,409 1,642 Det Sondenfjeld Norske* 14,000 248 Saga Petroleum, Series A 22,500 383 --------- 2,273 --------- SINGAPORE -- 0.4% Acma 186,000 145 City Developments 173,000 785 Electronic Resources 90,000 104 Hai Sun Hup 70,000 29 Haw Par Brothers 118,000 136 Keppel 39,000 112 Natsteel 60,000 83 Natsteel Electronics* 66,000 119 Overseas Chinese Banking 34,800 207 Overseas Union Bank 52,000 196 Pacific Carriers 235,000 90 Parkway Holdings 56,000 120 Singapore International Airlines 32,000 237 13 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY PORTFOLIO--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Singapore Press 20,880 $ 299 Singapore Telecommunications 427,000 876 Ssangyong Cement 52,000 45 --------- 3,583 --------- SPAIN -- 2.2% Argentaria 47,800 3,564 Autopistas Concesionaria Espanola 71,500 1,075 Azucarera Espana 2,400 136 Banco de Santander 37,480 1,736 Banco de Valencia 13,800 417 Banco Pastor 2,300 299 Banco Zaragozano 10,600 423 CIA Espanola de Petroleos 3,225 98 Energia e Industrias Aragonesas 72,000 586 Repsol 142,700 6,369 Sevillana de Electricidad 62,800 605 Telefonica de Espana 103,000 3,545 Uniland 3,700 241 --------- 19,094 --------- SWEDEN -- 2.4% ASG, Series B 10,400 265 Astra, Series B 145,000 2,839 Bergman & Beving, Series B 10,000 194 Bylock & Nordsjofr, Series B 26,400 106 Catena, Series A 25,900 364 Electrolux, Series B 38,900 2,969 Ericsson 51,000 2,322 Foreningsparbanken, Series A 216,900 6,675 Rottneros 113,800 85 Skandinaviska Enskilda Bank 104,300 1,494 SKF, Series B 64,200 1,329 Trelleborg, Series B 48,800 690 Volvo, Series B 56,600 1,533 --------- 20,865 --------- SWITZERLAND -- 7.3% Aare-Tessin 410 266 Adecco 8,100 2,622 Baer Holding 300 693 Baloise Holding 100 218 Banca del Gottardo, Series B 290 169 Banque Cantonale Vaudoise 1,120 462 Bucher Holding 280 264 Ciba Specialty Chemicals* 2,500 304 Cie Financiere Richemont 240 264 Clariant 3,590 3,600 CS Holding 82,770 14,962 Daetwyler Holding 160 299 Fischer (Georg) 170 286 Keramik Holding 210 96 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Kw Laufenburg 1,310 $ 236 Motor-Columbus 260 525 Nestle SA 6,970 12,219 Novartis 3,056 5,580 Roche Holding 450 5,274 Swiss Bank* 9,270 3,105 Union Bank of Switzerland 4,420 6,892 Zurich Versicherung 7,190 3,924 --------- 62,260 --------- UNITED KINGDOM -- 24.9% Abbey National 640,000 13,144 Albert Fisher Group 392,200 182 Alvis 75,000 163 Amec 152,200 350 ASDA Group 2,544,100 8,432 Astec 73,500 153 Barclays Bank 200,288 5,951 Barratt Developments 185,900 860 BAT Industries 919,800 9,180 Berkeley Group 120,633 1,406 BG 176,471 886 Blue Circle Industries 307,000 1,796 British Aerospace 106,238 3,338 British Airport Authority 185,000 1,731 British Airways 1,526,200 14,327 British Petroleum 310,200 4,281 British Steel 2,623,100 6,296 British Telecommunications 335,000 3,385 British Vita 696,000 2,986 BTP 41,600 242 BTR 2,794,700 7,422 Carlton Communications 275,000 1,934 Charter 18,600 189 Cowie Group 35,566 252 Crest Nicholson 86,000 162 Davis Service Group 32,000 178 Diageo 362,708 3,712 Dixons Group 271,500 2,435 Ed and F Man 163,100 662 Energy Group 52,930 678 English China Clay 22,200 89 Gallaher Group 22,300 130 General Accident 201,400 4,521 Glaxo Wellcome 132,938 3,722 Granada Group 191,500 2,993 Halifax* 139,800 2,178 Heywood Williams 125,000 455 Hillsdown Holdings 159,700 418 HSBC Holdings 92,288 2,836 Iceland Frozen Foods 523,488 1,319 IMI 84,600 587 Imperial Chemical 135,000 2,465 14 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Inchcape Finance 304,000 $ 944 Johnson Matthey 69,000 601 Kingfisher 699,550 12,068 Kwik Save Group 83,200 474 Laporte 30,500 333 Lex Service 127,000 1,000 Lloyds TSB Group 440,000 6,623 LucasVarity 474,013 1,827 Marston Thompson 60,000 256 National Grid Group 238,000 1,340 National Power 394,300 4,088 Persimmon 44,200 178 Prudential 234,638 3,507 Railtrack Group 420,800 6,410 Rank Group 494,100 2,710 Reckitt & Colman 161,000 2,841 Renold 77,800 309 Reuters Holdings 209,214 2,119 Rexam 343,363 1,569 RJB Mining 295,500 504 Safeway* 189,600 1,118 Sedgwick Group 353,200 868 Severn Trent 113,715 1,747 Shell Transportation & Trading 673,625 4,820 Signet Group* 1,065,600 680 Smithkline Beecham 289,100 3,618 Standard Chartered 270,050 3,900 Storehouse 41,700 179 Sun Alliance Group 287,400 3,661 Taylor Woodrow 98,200 330 Tesco 223,800 1,904 Thames Water 468,200 6,816 TI Group 134,000 1,159 TLG 117,000 197 Tomkins 547,175 3,163 Triplex Lloyd 41,000 187 United Assurance Group 159,796 1,608 United Utilities 149,500 2,009 Vaux Group 82,400 332 Weir Group 478,000 2,125 Wessex Water 126,670 1,007 Willis Corroon Group 615,200 1,423 Wilson Bowden 16,400 167 Wimpey (George) 346,800 708 --------- 211,853 --------- Total Foreign Common Stocks (Cost $681,780) 753,404 --------- - -------------------------------------------------------------------------------- SHARES/FACE MARKET DESCRIPTION AMOUNT (000) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN PREFERRED STOCKS -- 0.3% AUSTRIA -- 0.3% Bank Austria* 34,664 $ 2,286 --------- GERMANY -- 0.0% Draegerwerk 3,200 66 Rhoen Klinikum 3,750 378 --------- 444 --------- ITALY -- 0.0% Unipol 65,480 164 --------- Total Foreign Preferred Stocks (Cost $1,567) 2,894 --------- U.S. TREASURY OBLIGATION -- 0.6% U.S. Treasury Bill (1) 5.14%, 06/25/98 $ 5,300 5,213 --------- Total U.S. Treasury Obligation (Cost $5,214) 5,213 --------- REPURCHASE AGREEMENTS -- 9.0% J.P. Morgan (1) 5.64%, dated 02/27/98, matured 03/02/98, repurchase price $74,943,903 (collateralized by Federal Home Loan Bank Bond, 0.000%, due 05/27/98, par value $77,250,000, market value $76,193,375) 74,699 74,699 State Street Bank 5.00%, dated 02/27/98, matured 03/02/98, repurchase price $2,079,866 (collateralized by U.S. Treasury Bonds, 5.875%, due 10/31/98, par value $2,085,000, market value $2,128,852) 2,079 2,079 --------- Total Repurchase Agreements (Cost $76,778) 76,778 --------- Total Investments -- 98.4% (Cost $765,339) 838,289 --------- Other Assets and Liabilities, Net -- 1.6% 13,555 --------- 15 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL EQUITY PORTFOLIO--CONCLUDED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 83,907,859 outstanding shares of beneficial interest $788,775 Portfolio Shares of Class D (unlimited authorization -- no par value) based on 29,237 outstanding shares of beneficial interest 285 Accumulated net investment income 2,242 Accumulated net realized loss on investments (17,710) Net unrealized appreciation on investments 72,950 Net unrealized appreciation on forward foreign currency contracts, futures contracts, foreign currency and translation of other assets and liabilities in foreign currency 5,302 -------- Total Net Assets -- 100.0% $851,844 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $10.15 ======== NET ASSET VALUE AND REDEMPTION PRICE PER SHARE -- CLASS D $10.06 ======== MAXIMUM OFFERING PRICE PER SHARE -- CLASS D ($10.06 / 95%) $10.59 ======== * NON-INCOME PRODUCING SECURITY + Fair Valued Security AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (1) SECURITIES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGATE MARKET VALUE OF $80,150,720. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS EQUITY PORTFOLIO FOREIGN COMMON STOCKS -- 88.5% ARGENTINA -- 5.1% Cresud* 784,035 $ 1,553 Irsa 1,182,879 4,142 Irsa GDR 4,627 161 Sidera 833,249 3,877 Telefonica Argentina ADR 226,300 8,150 YPF ADR 249,500 7,890 -------- 25,773 -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- BRAZIL -- 6.8% Banco Bradesco 56,308,779 $ 478 Centrais Eletricas Brasileiras 40,370,000 1,786 Companhia Brasileira de Distribuicao Grupo de Acucar ADR 49,000 1,127 Companhia Energetica de Sao Paulo ADR* 76,100 1,056 Companhia Riograndense Telecom* 2,005,300 2,032 Sabesp 10,585,000 2,197 Souza Cruz 267,900 2,335 Telebras 146,835,000 14,489 Telebras ADR 62,785 7,687 Telesp 6,185,000 1,283 TV Filme* 81,000 405 -------- 34,875 -------- CHILE -- 3.5% Chilectra ADR 212,800 5,357 Empresa Nacional de Electricidad ADR 90,700 1,672 Linea Aerea Nacional Chile ADR* 270,300 3,379 Quimica y Minera Chile ADR 102,200 4,395 Supermercados Unimarc ADR 298,900 2,765 -------- 17,568 -------- CHINA -- 0.3% Beijing Yanhua Petrochemical, Series H 874,000 166 Bengang Steel Plates, Series B* 332,000 72 China Eastern Airlines Corporation, Series H* 1,352,000 203 China Southern Glass, Series B 231,934 54 Chongqing Changan Automobile, Series B 180,000 64 Eastern Communications, Series B 128,500 134 Guangdong Provincial Expressway Development, Series B 168,000 67 Shanghai Dajiang Group, Series B 310,400 52 Shanghai Dazhong Taxi 220,000 179 Shanghai Lujiazui Finance and Trade, Series B 314,040 222 Shanghai Yaohua Pilkington Glass, Series B 224,000 43 Shenzhen Fangda Ltd, Series B 72,000 83 Shenzhen Konka Electronics Group, Series B 86,000 87 Wuxi Little Swan, Series B 76,000 92 -------- 1,518 -------- 16 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- COLOMBIA -- 1.5% Banco Ganadero ADR 68,500 $ 1,301 Banco Gandero ADR 96,530 3,379 Banco Industrial Colombiano ADR 68,740 808 Carulla y Compania ADR 317,800 914 Cementos Diamante GDR 48,690 456 Cementos Paz del Rio GDR* 20,153 252 Gran Cadena Almacenes GDR 49,784 280 -------- 7,390 -------- CZECH REPUBLIC -- 0.4% Ceske Radiokomunikace* 1,200 144 CKD Praha Holding* 9,000 318 Galena* 4,000 235 SPT Telecom* 5,298 629 Tabak 3,000 740 -------- 2,066 -------- EGYPT -- 0.9% Alexandria National Iron & Steel* 3,651 165 Commercial International Bank 25,280 425 Eastern Tobacco 8,285 184 Egyptian American Bank* 11,264 288 Egyptian International Phamaceutical Industries Company 3,775 263 El Ameriya Cement 10,225 216 Helwan For Cement* 7,870 153 Madinet Nasr For Housing & Construction 5,680 334 Misr Elgedida For Housing 4,635 593 Misr International Bank 21,305 551 National Societe General Bank 11,363 264 Paints & Chemical Industries 6,164 204 Suez Cement 48,473 994 -------- 4,634 -------- FRANCE -- 0.1% Cofinec GDR* 23,450 336 -------- GREECE -- 1.4% Alpha Credit Bank 19,000 1,018 Athens Medical Care 35,000 535 Attica Enterprises 60,000 862 Ergo Bank 14,889 743 Hellenic Bottling 35,811 891 Intracom 16,470 822 Maillis* 30,500 596 Sarantis 40,000 555 Titan Cement Company 25,870 1,224 -------- 7,246 -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- HONG KONG -- 1.1% Cheung Kong Infrastructure 169,000 $ 521 China International Marine 135,500 131 China Merchants Holdings International 494,000 514 China Resources Enterprise, Series B 275,000 600 China Telecom* 250,000 454 Guangdong Electric Power Development, Series B 219,840 133 Guangdong Kelon Elec Holding, Series H 330,000 369 Guangdong Warrants* 28,000 2 Guangshen Railway, Series H 1,234,000 331 Jilin Chemical Industrial, Series H 1,048,000 134 Maanshan Iron & Steel, Series H 1,494,000 160 Qingling Motors, Series H 1,416,000 567 Shanghai Hai Xing Shipping, Series H 992,000 245 Shanghai Industrial Holdings 117,000 508 Shanghai Petrochemical, Series H 1,824,000 302 Shenzen China Bicycle, Series B* 316,714 56 Tsingtao Brewery, Series H* 376,000 94 Yizheng Chemical Fibre, Series H 1,286,000 239 -------- 5,360 -------- HUNGARY -- 2.3% Borsodchem 11,100 372 Borsodchem GDR 14,000 466 Gedeon Richter 8,760 959 Gedeon Richter GDR* 4,500 492 Graboplast 8,500 403 Graboplast GDR* 39,800 318 Magyar Tavkozlesi ADR* 152,000 3,933 MOL 37,087 974 MOL Magyar Olaj-es Gazipari GDR 31,000 825 North American Business Industries* 18,800 399 OTP Bank 7,934 361 OTP Bank GDR 9,270 423 Pannoplast 13,100 528 Primagaz 16,300 438 Zalakeramia 1,148 59 Zalakeramia GDR* 71,000 721 -------- 11,671 -------- 17 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 EMERGING MARKETS EQUITY PORTFOLIO--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- INDIA -- 2.6% Bajaj Auto GDR 34,100 $ 656 BSES GDR 77,050 1,564 EIH GDR 51,802 640 India Fund* 208,030 1,521 Indian Hotels GDR 41,702 795 Industrial Credit and Investment of India GDR 208,170 3,253 ITC GDR 101,970 2,842 Larsen & Toubro GDR 83,590 1,078 Mahanagar Telephone Nigam Ltd GDR 58,585 996 -------- 13,345 -------- INDONESIA -- 0.6% Daya Guna Samudera `F` 1,139,000 791 Gudang Garam `F` 477,000 596 Gulf Indonesia Resources* 27,500 516 Indosat 162,000 234 Telekomunikasi Indonesia ADR 42,300 360 Telekomunikasi Indonesia `F` 785,000 310 Tjiwi Kimia 130,000 25 Tjiwi Kimia Warrants 98,055 7 Tjiwi Kimia `F` 290,992 55 -------- 2,894 -------- ISRAEL -- 2.6% Agis Industries 25,918 167 Bank Hapoalim 967,977 2,269 Bank Leumi Le-Israel 611,296 1,038 Bezeq Israeli Telecommunication 237,169 567 Blue Square Chain Investments & Properties* 27,482 262 Cial Electronics Industries 1,422 226 Clal Israel 707,716 210 Discount Investment 11,231 276 Elco Holdings 39,780 231 Fibi Holdings 1,186 217 First International Bank of Israel 494 334 Formula Systems* 6,328 193 IDB Development 11,675 247 IDB Holding 30,322 635 Industrial Buildings 253,308 424 Israel Chemicals 276,921 356 Koor Industries ADR 30,000 637 Koor Industries Limited 3,943 411 Leumi Insurance Holdings* 687,070 369 Nice Systems* 9,189 426 Osem Investment Limited 70,690 299 Super Sol Limited 114,787 371 Tadarin Limited 6,090 241 Teva Pharmaceuticals ADR 56,750 2,383 The Israel Corp. 4,419 315 -------- 13,104 -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- MALAYSIA -- 6.3% AMMB Holdings Warrants* 100 $ -- Berjaya Sports Toto 691,000 1,929 Genting Berhad 543,000 1,795 IOI Properties 4,030,000 3,407 Kuala Lumpur Kepong Berhad 1,125,000 2,729 Malayan Banking 660,000 2,558 Malaysian Assurance Alliance 800,400 1,605 Malaysian Pacific Industries 963,000 2,871 New Straits Times Press 820,000 1,267 O.Y.L. Industries 516,200 1,847 Perusahaan Otomobil 204,000 384 Petronas Gas 200,000 553 RHB Sakura Merchant Bankers 900 1 Rothmans of Pall Mall 461,000 4,092 Sime Darby 1,500,000 1,951 Telekom Malaysia 735,000 2,490 Tenaga Nasionale 520,000 1,367 United Engineers 998,000 1,206 -------- 32,052 -------- MEXICO -- 10.3% Accel, Series B* 2,405,000 409 Acer Computec Latino* 434,000 621 ALFA, Series A 813,799 4,626 Cifra SA ADR, Class V 65,870 1,275 Corporacion Geo SA, Series B* 950,000 5,417 Corporacion Interamericana de Enterenemienta 800,400 6,104 Empresas ICA Sociedad Controladora ADR 174,000 2,077 Gruma ADR 156,000 1,889 Grupo Fernandez Edit, Series B 4,532,000 665 Grupo Financiero Banorte, Series B 2,983,000 4,326 Grupo Gigante, Series B* 3,126,000 1,284 Grupo Herdez, Series B 5,802,000 4,207 Grupo Industrial Maseca, Series B 281,000 227 Grupo Radio Centro ADR 433,900 6,753 Hylsamex, Series B 159,300 770 Panamerican Beverage, Series A 169,000 6,158 Pepsi-Gemex ADR 198,100 2,526 San Luis 576,400 3,239 -------- 52,573 -------- MOROCCO -- 1.0% BCM 10,326 981 BMCE 13,263 860 ONA 14,999 1,349 SAMIR 18,977 675 18 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- SNI 9,423 $ 800 Wafabank 5,529 534 -------- 5,199 -------- PAKISTAN -- 1.0% Adamjee Insurance 3,562 7 Engro Chemicals 96,750 236 Fauji Fertilizer 212,800 401 FFC Jordan Fertilizer* 530,700 227 Hub Power* 966,600 1,208 Hub Power GDR* 25,850 801 ICI Pakistan* 659,000 268 Lever Brother Pakistan* 10,300 310 Muslim Commercial Bank 64,300 42 Pakistan State Oil 61,834 410 Pakistan Telecom GDR 7,170 545 Pakistan Telecom, Series A* 819,900 614 Sui Northern Gas Pipelines 74,750 39 Sui Southern Gas* 70,293 31 -------- 5,139 -------- PERU -- 1.2% Banco Wiese ADR 54,570 266 Buenaventura ADR 36,370 491 Cementos Lima 26,035 472 Cerveceria Backus & Johnston 560,217 395 Compania de Minas Buenaventura, Series B 45,627 276 Credicorp 63,480 1,024 Edegel SA, Series B 553,828 217 Ferreyros ADS 144A (A) 30,366 597 Telefoncia del Peru ADR 131,408 2,489 -------- 6,227 -------- PHILIPPINES -- 1.5% Ayala Corporation 1,384,050 654 International Container Terminal Services 870,750 130 Ionics Circuit 2,100,000 1,165 Manila Electric, Series B 336,320 1,009 Metropolitan Bank & Trust 102 1 Music Corporation 1,450,000 567 Philippine Long Distance 109,740 2,975 Philippine Long Distance ADR 25,360 669 San Miguel, Series B 17 -- SM Prime Holdings 3,340,000 623 -------- 7,793 -------- POLAND -- 2.1% Amica Wronki* 60,000 1,078 Bank Przemyslowo-Handlowy 15,000 1,208 Bank Rozwoju Eksportu 10,696 308 Debica 23,024 622 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Elektrim 182,290 $ 2,385 Exbud GDR* 88,005 1,082 National Investment Fund* 20,000 748 Orbis* 147,004 1,099 Polifarb Cieszyn-Wroclaw 197,627 1,006 Zaklady Celulozy 158,392 1,052 -------- 10,588 -------- PORTUGAL -- 2.3% Banco Comercial Portugues 49,158 1,631 Banco Totta & Acores 42,500 1,180 BPI-SGPS 33,000 1,185 Brisa Auto-Estradas* 22,000 1,001 Cimentos de Portugal 28,908 837 Electricidade de Portugal 60,000 1,273 Engil SGPS 64,400 755 Jeronimo Martins & Filho 25,200 871 Mundial Confianca* 33,800 937 Portugal Telecom 23,298 1,223 Sonae Investimentos 18,685 842 -------- 11,735 -------- RUSSIA -- 4.0% AO Tatneft ADR 31,600 3,697 AO Tatneft ADR 144A (A) 8,400 953 Chelyabinskvyazinform ADR* 9,000 430 Gorkovsky Auto Plant ADR* 14,180 1,744 Lukoil Holding ADR 42,500 2,954 Moscow City Telephone ADR* 650 520 Mosenergo ADR 64,000 2,464 Rostovenergo ADR* 2,500,000 455 Surgutneftegaz ADR 279,083 1,954 Unified Energy System GDR 98,700 2,653 Unified Energy System ADR* 3,300,000 907 Vimpel Communication ADR* 45,000 1,789 -------- 20,520 -------- SOUTH AFRICA -- 13.1% Amalgamated Beverage 52,180 445 Anglo American 59,800 2,506 Anglo American Gold Investment Company 6,300 260 Anglo American Investment Trust 26,466 525 B.O.E, Series N 975,000 1,628 Bidvest Group 163,954 1,649 C.G. Smith 1,058,200 5,045 City Lodge Hotels Limited 1,600 3 Concor 196,300 1,073 Cons African Mines 325,000 89 CTP Holdings 69,600 916 De Beers Centenary 55,400 1,099 Delta Electrical Industries 276,206 1,191 Delta Electrical Rights 2,048 2 19 STATEMENT OF NET ASSETS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 EMERGING MARKETS EQUITY PORTFOLIO--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- First National Bank 342,400 $ 3,875 Gold Fields of South Africa 33,300 435 Group Five Holdings 191,700 126 Group Five Limited 297,500 214 Group Five Limited, Series N 43,400 30 Hudaco Industries 310,950 1,039 ICS Holdings 74,600 415 Imperial Holdings Limited 39,500 477 Investec Bank 29,800 1,476 JCI 51,365 278 Johnnies Industrial 223,410 2,623 Liberty Holdings 11,500 966 Liberty Life Association of Africa 84,945 2,579 Liblife Strategic Investments 980,200 4,167 Murray & Roberts 314,100 486 Nampak 637,300 2,451 Nasionale Pers Beperk 115,100 769 Nedcor 87,363 2,547 New Africa Investments, Series N 2,066,881 2,657 Orion Selections 631,000 1,967 OTK Holdings 1,716,725 1,741 Plessey 960,301 1,322 Power Technologies 285,800 463 Randgold & Exploration* 187,700 228 Real Africa Investments 600,000 2,028 Rembrandt Group 307,300 2,110 Reunert 643,216 1,029 Safmarime & Rennies Holdings 399,450 813 Sasol 229,521 1,961 SM Goldstein 1,200 1 South African Breweries 78,287 2,196 Standard Bank 39,100 2,169 Suncrush 64,200 152 Technology & Industry Investments 45,000 164 Tegniese Beleg Korp 590,000 2,016 Tiger Oats 149,200 2,280 -------- 66,681 -------- SOUTH KOREA -- 2.1% Daewoo Heavy Industries 75,900 396 Dong-A Pharmaceuticals 9,860 79 Housing & Commercial Bank GDR* 8,784 66 Housing & Commercial Bank 22,636 154 Kookmin Bank 47,269 301 Kookmin Bank GDR 144A* (A) 15,420 101 Korea Asia Fund* 836 658 Korea Electric Power 11,000 147 Korea Electric Power ADR 68,350 730 Korea Fund 177,473 1,564 LG Chemical* 24,400 211 LG Information & Communication* 4,715 154 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Mirae 1,700 $ 230 Nong Shim 5,700 204 Pohang Iron & Steel 7,460 480 Pohang Iron & Steel ADR* 36,200 837 Samchully 11,590 254 Samsung Display Devices* 12,240 713 Samsung Electronic 9,965 577 Samsung Electronics GDR, Class A 874 12 Samsung Electronics GDR 1995 144A (A) 13,512 439 Samsung Eletro-Mechanics 31,750 650 Samsung Fire & Marine Insurance 1,630 440 Seoul City Gas* 6,200 160 Sindo Ricoh 6,170 252 SK Telecom 309 145 SK Telecom ADR 72,203 623 Yukong 13,770 122 -------- 10,699 -------- TAIWAN -- 7.0% Accton Technology GDR* 193,908 1,159 Acer GDR 101,250 1,207 Advanced Semiconductor Engineering GDR 30,110 997 Advanced Semiconductor Engineering 305,000 1,740 Asia Cement GDR 99,545 1,135 Asustek Computer 43,000 1,011 Asustek Computer GDR 112,000 2,719 Cathay Construction 661,000 748 Cathay Life Insurance 300,000 1,326 China Development 580,000 1,955 China Steel ADR 39,969 545 China Steel GDR 42,900 585 Compal Electronics* 242,000 1,032 Delta Electronics 240,000 1,271 Evergreen Marine GDR 18,000 187 Formosa Chemical & Fiber 400,000 469 Formosa Plastic 270,000 559 Goldsun Development & Construction* 910,000 656 Hon Hai Precision Industries* 100,000 699 Hua Nan Bank 400,000 1,172 Hualon-Teijran* 660,000 374 Lite-On Technology GDR 16,860 416 Orient Semiconductor Electronics* 430,000 1,159 Pacific Electric Wire & Cable* 750,000 860 President Enterprises GDS* 25,900 311 ROC Taiwan Fund 110,300 1,082 Siliconware Precision GDR* 30,200 544 Siliconware Precision Industries* 250,000 760 Synnex Tech International GDR* 15,000 407 20 ================================================================================ - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Taiwan American Fund* 50,000 $ 824 Taiwan Semiconductor* 380,000 1,989 Taiwan Semiconductor ADR* 37,500 1,076 Teco Electric & Machinery GDR 27,869 375 Tung Ho Steel GDR* 82,575 578 Union Petrochemical 710,000 530 Yageo 320,000 938 Yageo 144A* (A) 99,938 1,397 Yageo GDR 27,994 394 Yang Ming Marine Transport GDR* 86,250 640 -------- 35,826 -------- THAILAND -- 1.2% Advanced Info Service 41,200 315 Bangkok Bank `F' 115,300 395 Bangkok Expressway Public* 1,103,900 1,036 Bec World Public, `F' 42,000 247 Electric Generating `F' 385,810 1,016 Industrial Finance `F' 223,500 151 Lanna Lignite `F' 107,300 565 Phatra Thanakit `F' 261,000 335 PTT Exploration `F' 46,000 600 Shinawatra Computer Public 8,700 56 Telecomasia* 584,800 341 Thai Airways `F' 24,300 34 Thai Airways International `F' 340,400 421 Thai Danu Bank 347,000 275 Thai Farmers Bank Warrants* 26,138 5 Tipco Asphalt `F' 199,200 358 -------- 6,150 -------- TURKEY -- 4.0% Akbank 12,500,000 988 Aksigorta 20,302,000 1,187 Alcatel Teletas 8,140,000 987 Ardem 11,858,000 912 Bati Cimento 10,100,000 908 Cukurova Elektrik 470,107 1,283 Dogan Sirketler Holdings* 32,279,000 1,063 Efes Investment ADR* 76,000 1,225 Ege Biracilik Ve Malt Sanayii 13,100,000 1,348 Haci Omer Sabanci Holdings* 30,682,000 1,661 Koc Holdings 7,126,630 1,158 Migros 1,539,806 1,151 Netas* 1,970,000 751 Trakya Cam 28,890,000 1,721 Turkiye Is Bankasi 16,504,000 2,645 Yapi Ve Kredi Bankas 48,776,217 1,606 -------- 20,594 -------- UNITED STATES -- 0.6% Formosa Fund 250 2,855 -------- - -------------------------------------------------------------------------------- SHARES/FACE MARKET DESCRIPTION AMOUNT (000) (1) VALUE (000) - -------------------------------------------------------------------------------- VENEZUELA -- 1.6% Banco Provincial 606,762 $ 1,051 Compania Anonima Nacional Telecom ADR 111,000 3,934 Electricdid de Caracas 2,420,140 2,155 Mavesa ADR 50,225 261 Mercantil Servicios, Class B* 82,900 249 Sivensa ADR 135,985 367 Venezolana de Cementos 302,636 415 -------- 8,432 -------- Total Foreign Common Stocks (Cost $464,487) 450,843 -------- FOREIGN PREFERRED STOCKS -- 7.4% BRAZIL -- 7.1% Banco Bradesco 567,602,352 4,822 Banco Credito Nacional 323,500,000 2,319 Banco Credito Nacional Rights* 35,277,835 25 CELESC GDS Registered* 20,300 1,850 Cemig 177,500,000 7,618 Itausa Investimentos 4,371,000 3,017 Lojas Renner 7,700,000 269 Petrol Brasileiros 31,301,000 7,091 Telebras 9,009,000 1,101 Teleceara, Series C* 2,718,260 960 Telemig, Series B 27,822,645 3,681 Telerj 21,322,471 2,944 Telesp 2,273,152 630 -------- 36,327 -------- PERU -- 0.1% Cerveceria Backus & Johnston, Series A 43,987 376 -------- RUSSIA -- 0.2% Chelyabinksvyazinform ADR* 21,000 420 Rostovenergo ADR* 1,000,000 125 Unified Energy Systems ADR* 3,500,000 602 -------- 1,147 -------- Total Foreign Preferred Stocks (Cost $34,244) 37,850 -------- FOREIGN CONVERTIBLE BONDS -- 1.9% MALAYSIA -- 0.0% AMMB 5.000%, 05/13/02 $ 121 20 -------- MEXICO -- 0.3% Alfa, CL A 8.000%, 09/15/00 1,120 1,305 -------- 21 STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 EMERGING MARKETS EQUITY PORTFOLIO--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- TAIWAN -- 1.6% Delta Electronics 0.500%, 03/06/04 $ 1,028 $ 1,463 GVC 0.000%, 05/21/02 750 823 Lite-On Technologies 0.750%, 05/01/04 880 955 Nanya Plastics 1.750%, 07/19/01 720 880 Nanya Plastics 144A (A) 1.750%, 07/19/01 390 474 Siliconware Precision 0.500%, 07/21/04 1,180 1,227 Taiwan Seminconductor 0.000%, 07/03/02 1,000 1,185 Walsin Lihwa 3.250%, 06/16/04 1,000 780 Winbond Electron 1.000%, 11/04/02 550 593 -------- 8,380 -------- Total Foreign Convertible Bonds (Cost $9,365) 9,705 -------- REPURCHASE AGREEMENTS -- 5.1% Morgan Stanley 5.65%, dated 02/27/98, matured 03/02/98, repurchase price $19,435,887 (collateralized by various U.S. Treasury Notes and Agency instruments, ranging in par value $4,000,000-$6,792,000, 0.00%-6.50%, 05/28/98-05/31/02; total market value $19,829,960) 19,388 19,388 State Street Bank 5.00%, dated 02/27/98, matured 03/02/98, repurchase price $6,574,009 (collateralized by U.S. Treasury Bonds, 5.875%, due 10/31/98, par value $6,575,000, market value $6,713,285) 6,572 6,572 -------- Total Repurchase Agreements (Cost $25,960) 25,960 -------- Total Investments -- 102.9% (Cost $534,056) 524,358 -------- Other Assets and Liabilities, Net -- (2.9%) (14,610) -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION VALUE (000) - -------------------------------------------------------------------------------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 48,319,175 outstanding shares of beneficial interest $550,229 Accumulated net investment loss (2,587) Accumulated net realized loss on investments (28,069) Net unrealized depreciation on investments (2) (9,845) Net unrealized appreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency 20 -------- Total Net Assets -- 100.0% $509,748 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $10.55 ======== * NON-INCOME PRODUCING SECURITY AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (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. ADR -- AMERICAN DEPOSITORY RECEIPT ADS -- AMERICAN DEPOSITORY SHARE "F" -- FOREIGN SHARES GDR -- GLOBAL DEPOSITORY RECEIPT GDS -- GLOBAL DEPOSITORY SHARE (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. (2) NET OF $147,000 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 ================================================================================ INTERNATIONAL FIXED INCOME PORTFOLIO - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 92.2% AUSTRALIA -- 2.7% Newsouth Wales Treasury 8.000%, 03/01/08 1,700 $ 1,291 Queensland Treasury 6.500%, 06/14/05 13,455 9,338 -------- 10,629 -------- CANADA -- 0.7% Government of Canada 7.250%, 06/01/07 2,300 1,818 9.000%, 06/01/25 1,005 1,012 -------- 2,830 -------- DENMARK -- 3.4% Kingdom of Denmark 8.000%, 03/15/06 74,225 12,717 7.000%, 11/10/24 3,200 540 -------- 13,257 -------- FRANCE -- 2.1% Government of France OAT 8.500%, 10/25/19 36,800 8,414 -------- GERMANY -- 22.4% Bundesschatzanweisungen 7.500%, 11/11/04 3,800 2,422 Deutschland Republic 6.000%, 01/05/06 59,360 35,093 6.250%, 01/04/24 38,970 23,707 KFW International Finance 6.625%, 04/15/03 1,140 691 Treuhandanstalt 6.375%, 07/01/99 34,760 19,784 6.500%, 04/23/03 11,560 6,945 -------- 88,642 -------- ITALY -- 9.3% Republic of Italy 8.500%, 08/01/99 17,420,000 10,202 8.500%, 08/01/04 40,060,000 26,444 -------- 36,646 -------- JAPAN -- 20.7% Asian Development Bank 3.125%, 06/29/05 1,223,000 10,566 European Investment Bank 3.000%, 09/20/06 1,944,000 16,779 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- Export-Import Bank 4.375%, 10/01/03 851,000 $ 7,798 2.875%, 07/28/05 1,320,000 11,297 International Bank Recon & Development 4.750%, 12/20/04 1,852,000 17,723 Japanese Development Bank 2.875%, 12/20/06 2,040,000 17,499 -------- 81,662 -------- NETHERLANDS -- 3.4% Kingdom of Netherlands 5.750%, 01/15/04 26,220 13,553 -------- SPAIN -- 4.8% Kingdom of Spain 7.900%, 02/28/02 2,595,800 18,910 -------- SWEDEN -- 3.0% Kingdom of Sweden 10.250%, 05/05/03 76,300 11,698 -------- UNITED KINGDOM -- 19.7% European Investment Bank 7.000%, 03/30/98 200 329 United Kingdom Treasury 7.000%, 06/07/02 32,205 54,265 8.000%, 12/07/15 11,677 23,230 -------- 77,824 -------- Total Foreign Bonds (Cost $362,759) 364,064 -------- U.S. TREASURY OBLIGATIONS -- 7.7% U.S. Treasury Bill 5.080%, 04/23/98 5,080 5,041 U.S. Treasury Bond 6.625%, 02/15/27 1,490 1,621 U.S. Treasury Notes 6.000%, 06/30/99 8,675 8,722 5.750%, 11/30/02 11,260 11,307 6.625%, 05/15/07 3,440 3,661 -------- Total U.S. Treasury Obligations (Cost $30,431) 30,352 -------- 23 SCHEDULE OF INVESTMENTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 INTERNATIONAL FIXED INCOME PORTFOLIO--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.1% State Street Bank 5.00%, dated 02/27/98, matured 03/02/98, repurchase price $492,205 (collateralized by U.S. Treasury Bond, par value $495,000, 10/31/98, 5.875%, market value $505,411) $ 492 $ 492 -------- Total Repurchase Agreement (Cost $492) 492 -------- Total Investments -- 100.0% (Cost $393,682) $394,908 ======== (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. OAT -- OBLIGATIONS ASSIMILABLES DE TRESOR THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS DEBT PORTFOLIO FOREIGN BONDS -- 97.3% ALGERIA -- 3.5% Republic of Algeria FRN 7.250%, 09/04/06 5,500 $ 4,524 -------- ARGENTINA -- 25.5% Argentina Bonos del Tesoro 8.750%, 05/09/02 4,500 4,394 Government of Argentina 8.750%, 07/10/02 750 687 11.000%, 10/09/06 12,000 13,338 11.750%, 02/12/07 ARS 2,000 2,116 Government of Argentina 144A (A) 8.750%, 07/10/02 ARS 2,750 2,527 11.750%, 02/12/07 ARS 2,750 2,910 Government of Argentina Bocon Previsional 1 2.976%, 04/01/01 ARS 822 721 Government of Argentina Bocon Previsional 2 5.615%, 04/01/01 ARS 5,522 5,141 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- Government of Argentina Bocon Proveedores 1 2.976%, 04/01/07 ARS 1,585 $ 1,166 -------- 33,000 -------- BRAZIL -- 5.4% Government of Brazil 8.000%, 04/15/14 8,636 6,995 -------- BULGARIA -- 5.2% Republic of Bulgaria FLIRB 2.281%, 07/28/12 3,950 2,538 Republic of Bulgaria FRN 6.563%, 07/28/24 5,250 4,213 -------- 6,751 -------- CROATIA -- 2.8% Government of Croatia FRN 6.500%, 07/31/10 4,000 3,540 -------- ECUADOR -- 5.1% Government of Ecuador FRN 6.625%, 02/28/25 3,750 2,775 Government of Ecuador PDI 6.625%, 02/27/15 5,953 3,810 -------- 6,585 -------- IVORY COAST -- 0.7% Ivory Coast When Issued FLIRB 2.000%, 03/29/18 2,500 856 -------- MEXICO -- 12.6% Government of Mexico 9.875%, 01/15/07 15,000 16,350 -------- PANAMA -- 4.7% Government of Panama IRB 3.750%, 07/17/14 2,750 2,145 8.875%, 09/30/27 4,000 3,940 -------- 6,085 -------- PERU -- 5.8% Republic of Peru FRB 3.250%, 03/07/17 8,250 4,971 Republic of Peru PDI 4.000%, 03/07/17 3,750 2,499 -------- 7,470 -------- 24 ================================================================================ - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- PHILIPPINES -- 1.0% Government of Philippines 8.750%, 10/07/16 500 $ 472 Government of Philippines Treasury Bill* 0.000%, 08/14/98 800 808 -------- 1,280 -------- POLAND -- 0.5% Republic of Poland RSTA 3.750%, 10/27/24 1,000 691 -------- RUSSIA -- 19.0% Russian Government 10.000%, 06/26/07 16,025 14,903 6.719%, 12/15/20 12,150 7,220 Russian IAN FRN 6.719%, 12/02/15 3,500 2,415 Russian IAN FRN PIK* 0.000%, 12/02/15 103 71 -------- 24,609 -------- VENEZUELA -- 5.5% Government of Venezuela 9.250%, 09/15/27 8,000 7,150 -------- Total Foreign Bonds (Cost $123,809) 125,886 -------- LOAN PARTICIPATION -- 2.4% MOROCCO -- 2.4% Morocco R&C Loan FRN 6.656%, 01/01/09 3,500 3,058 -------- Total Loan Participation (Cost $3,023) 3,058 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- DEBT OPTION -- 0.3% Government of Brazil 8.00%, 04/15/14 Call, strike 80.6875* 13,000,000 $ 381 -------- Total Debt Option (Cost $420) 381 -------- Total Investments -- 100.0% (Cost $127,252) $129,325 ======== * NON-INCOME PRODUCING SECURITY (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. FLIRB -- FRONT LOADED INTEREST REDUCTION BOND FRB -- FLOATING RATE BOND FRN -- FLOATING RATE NOTE IAN -- INTEREST ARREARS NOTE IRB -- INTEREST REVENUE BOND PDI -- PAST DUE INTEREST (Security representing interest due from prior defaulted loan) PIK -- PAID IN-KIND RSTA -- REVOLVING SHORT TERM AGREEMENT (1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED. ARS -- Argentina Peso THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 25 STATEMENT OF ASSETS AND LIABILITIES (000) ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST-- FEBRUARY 28, 1998
---------------- ------------ INTERNATIONAL EMERGING FIXED MARKETS INCOME DEBT ---------------- ------------ ASSETS: Investment securities (Cost $393,682 and $127,252, respectively) $394,908 $129,325 Foreign currency (Cost $33) 33 -- Interest receivable 8,004 2,641 Receivable for investment securities sold 14,016 24,507 Receivable for shares of beneficial interest sold 5,132 1,013 Other assets 67 91 -------- -------- Total Assets 422,160 157,577 -------- -------- LIABILITIES: Payable for investment securities purchased 11,180 2,840 Payable for shares of beneficial interest redeemed 190 237 Payable to affiliates 199 123 Unrealized loss on forward foreign currency contracts 1,395 -- Other liabilities 222 93 -------- -------- Total Liabilities 13,186 3,293 -------- -------- Net Assets $408,974 $154,284 ======== ======== NET ASSETS: Portfolio shares of Class A (unlimited authorization -- no par value) based on 38,285,278 and 14,962,964 outstanding shares of beneficial interest, respectively 410,441 153,145 Accumulated net investment income (loss) (866) 1,932 Accumulated net realized loss on investments (381) (2,866) Net unrealized appreciation on investments 1,226 2,073 Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (1,446) -- -------- -------- Net Assets $408,974 $154,284 ======== ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $ 10.68 $ 10.31 ======== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 26 STATEMENT OF OPERATIONS (000) ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEAR ENDED FEBRUARY 28, 1998
------------- ----------- ------------- ----------- EMERGING INTERNATIONAL EMERGING INTERNATIONAL MARKETS FIXED MARKETS EQUITY EQUITY INCOME DEBT (1) ------------- ----------- ------------- ----------- INVESTMENT INCOME: Dividends $16,018 $ 5,657 $ -- $ -- Interest 2,138 1,253 14,809 5,433 Less: Foreign Taxes Withheld (1,474) (610) (84) -- ------- -------- ------- ------ Total Investment Income 16,682 6,300 14,725 5,433 ------- -------- ------- ------ EXPENSES: Management fees 2,975 2,180 1,795 374 Less: management fees waived -- -- (11) (64) Investment advisory fees 3,338 3,522 898 489 Less: investment advisory fees waived (619) (1,180) (150) (149) Shareholder servicing fees 1,652 839 748 144 Less: shareholder servicing fees waived -- (192) (540) (127) Custodian/wire agent fees 466 1,167 144 28 Professional fees 13 18 11 6 Registration & filing fees 113 140 62 48 Printing fees 7 10 9 6 Trustee fees 28 15 12 2 Pricing fees 14 13 13 9 Distribution fees 1 -- -- -- Amortization of deferred organization costs -- 2 6 14 Miscellaneous expenses 12 7 6 1 ------- -------- ------- ------ Total Expenses 8,000 6,541 3,003 781 ------- -------- ------- ------ NET INVESTMENT INCOME (LOSS) 8,682 (241) 11,722 4,652 ------- -------- ------- ------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Security transactions (4,291) (26,146) 2,697 (2,866) Futures contracts (5,435) -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 4,310 (2,534) (8,722) (26) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, futures contracts, foreign currencies, and translation of other assets and liabilities in foreign currency 5,259 9 (2,725) -- Net change in unrealized appreciation (depreciation) on investments 60,622 (38,411)* 8,742 2,073 ------- -------- ------- ------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $69,147 ($67,323) $11,714 $3,833 ======= ======== ======= ====== (1) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997. * NET OF $147,000 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 27 STATEMENT OF CHANGES IN NET ASSETS (000) ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED FEBRUARY 28,
----------------- ------------------ ----------------- --------- EMERGING INTERNATIONAL EMERGING INTERNATIONAL MARKETS FIXED MARKETS EQUITY EQUITY INCOME DEBT (2) ----------------- ------------------ ----------------- --------- 1998 1997 1998 1997 1998 1997 1998 ----------------- ------------------ ----------------- --------- OPERATIONS: Net investment income (loss) $ 8,682 $ 5,137 $ (241) $ (55) $ 11,722 $ 5,803 $ 4,652 Net realized gain (loss) from investment transactions (9,726) 47,383 (26,146) 331 2,697 2,409 (2,866) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 4,310 (531) (2,534) (457) (8,722) (1,329) (26) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, futures contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies 5,259 81 9 14 (2,725) 710 -- Net change in unrealized appreciation (depreciation) on investments 60,622 (26,307) (38,411)* 27,462 8,742 (6,069) 2,073 -------- -------- -------- -------- -------- -------- -------- Net increase (decrease) in net assets from operations 69,147 25,763 (67,323) 27,295 11,714 1,524 3,833 -------- -------- -------- -------- -------- -------- -------- DISTRIBUTIONS FROM: Net investment income: Class A (13,649) (3,619) (1,039) (297) (2,928) (6,286) (2,694) Class D (4) (1) -- -- -- -- -- Net realized gains: Class A (19,564) (37,589) (284) (121) (3,022) (1,238) -- Class D (6) (14) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total distributions (33,223) (41,223) (1,323) (418) (5,950) (7,524) (2,694) -------- -------- -------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from shares issued in merger -- 150,364 -- -- -- -- -- Proceeds from shares issued 485,986 333,733 421,404 163,899 271,882 146,550 160,754 Reinvestment of cash distributions 25,961 31,663 1,122 383 5,305 6,287 2,651 Cost of shares redeemed (220,367)(277,258) (65,606) (36,866) (78,196) (26,936) (10,260) Cost of shares redeemed in-kind -- (46,630) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Increase in net assets from Class A transactions 291,580 191,872 356,920 127,416 198,991 125,901 153,145 -------- -------- -------- -------- -------- -------- -------- Class D: Proceeds from shares issued 150 183 -- -- -- -- -- Reinvestment of cash distributions 10 15 -- -- -- -- -- Cost of shares redeemed (59) (216) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Increase (decrease) in net assets from Class D transactions 101 (18) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 291,681 191,854 356,920 127,416 198,991 125,901 153,145 -------- -------- -------- -------- -------- -------- -------- Net increase in net assets 327,605 176,394 288,274 154,293 204,755 119,901 154,284 NET ASSETS: Beginning of period 524,239 347,845 221,474 67,181 204,219 84,318 -- -------- -------- -------- -------- -------- -------- -------- End of period $851,844 $524,239 $509,748 $221,474 $408,974 $204,219 $154,284 ======== ======== ======== ======== ======== ======== ======== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued in merger -- 14,954 -- -- -- -- -- Shares issued 49,078 32,925 36,760 14,081 25,735 13,451 15,725 Shares issued in lieu of cash distributions 2,802 3,215 112 34 504 570 263 Shares redeemed (22,162) (27,199) (5,763) (3,052) (7,344) (2,464) (1,025) Shares redeemed in-kind -- (4,462) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total Class A transactions 29,718 19,433 31,109 11,063 18,895 11,557 14,963 -------- -------- -------- -------- -------- -------- -------- Class D: Shares issued 16 18 -- -- -- -- -- Shares issued in lieu of cash distributions 1 1 -- -- -- -- -- Shares redeemed (6) (21) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total Class D transactions 11 (2) -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Net increase in capital shares 29,729 19,431 31,109 11,063 18,895 11,557 14,963 ======== ======== ======== ======== ======== ======== ======== (2) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997. * NET OF $147,000 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 28
FINANCIAL HIGHLIGHTS =================================================================================================================== SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE PERIODS ENDED FEBRUARY 28 OR 29, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD NET ASSET DISTRIBUTIONS DISTRIBUTIONS VALUE NET NET REALIZED AND FROM NET FROM NET ASSET NET ASSETS BEGINNING INVESTMENT UNREALIZED INVESTMENT REALIZED CAPITAL RETURN VALUE END TOTAL END OF OF PERIOD INCOME/(LOSS) GAINS/(LOSSES) INCOME (5) GAINS OF CAPITAL OF PERIOD RETURN PERIOD (000) - ---------------------------------------------------------------------------------------------------------------------------- - -------------------- INTERNATIONAL EQUITY - -------------------- CLASS A 1998(6) $ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $ -- $10.15 10.21% $851,542 1997 10.00 0.09 0.47 (0.07) (0.82) -- 9.67 5.70 524,062 1996 9.59 0.14 1.45 (0.19) (0.99) -- 10.00 17.30 347,646 1995 11.00 0.15 (0.97) -- (0.59) -- 9.59 (7.67) 328,503 1994 8.93 0.13 2.05 (0.11) -- -- 11.00 24.44 503,498 1993 9.09 0.16 0.04 (0.36) -- -- 8.93 2.17 178,287 1992 9.56 0.19 (0.36) (0.30) -- -- 9.09 (1.63) 92,456 1991 9.62 0.18 (0.14) -- (0.01) (0.09) 9.56 0.36 35,829 CLASS D 1998(6) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $ -- $10.06 9.92% $ 302 1997 9.93 0.05 0.47 (0.05) (0.82) -- 9.58 5.39 177 1996 9.56 0.04 1.50 (0.18) (0.99) -- 9.93 16.77 199 1995(1) 10.81 0.01 (0.67) -- (0.59) -- 9.56 (6.33)* 51 - ----------------------- EMERGING MARKETS EQUITY - ----------------------- CLASS A 1998 $12.87 $(0.03) $ (2.25) $(0.03) $(0.01) $ -- $10.55 (17.72)% $509,748 1997 10.93 0.01 1.96 (0.02) (0.01) -- 12.87 18.02 221,474 1996 10.27 (0.02) 0.72 -- (0.04) -- 10.93 6.83 67,181 1995(2) 10.00 0.01 0.26 -- -- -- 10.27 2.70* 5,300 - -------------------------- INTERNATIONAL FIXED INCOME - -------------------------- CLASS A 1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $ -- $10.68 3.23% $408,974 1997 10.77 0.71 (0.49) (0.38) (0.08) -- 10.53 1.85 204,219 1996 10.42 0.58 0.89 (1.02) (0.10) -- 10.77 13.96 84,318 1995 10.23 0.43 0.40 (0.62) (0.02) -- 10.42 8.43 42,580 1994(3) 10.00 0.14 0.18 (0.09) -- -- 10.23 6.41* 23,678 - --------------------- EMERGING MARKETS DEBT - --------------------- CLASS A 1998(4) $10.00 $ 0.56 $ -- $(0.25) $ -- $ -- $10.31 5.64%* $154,284
RATIO OF RATIO OF NET INVESTMENT RATIO OF EXPENSES INCOME/(LOSS) RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+ - ------------------------------------------------------------------------------------ - -------------------- INTERNATIONAL EQUITY - -------------------- CLASS A 1998(6) 1.21% 1.31% 1.30% 1.22% 75% $0.0122 1997 1.28 1.11 1.42 0.97 117 0.0172 1996 1.25 1.29 1.29 1.25 102 n/a 1995 1.19 1.30 1.21 1.28 64 n/a 1994 1.10 1.46 1.24 1.32 19 n/a 1993 1.10 1.80 1.53 1.37 23 n/a 1992 1.10 2.07 1.52 1.65 79 n/a 1991 1.10 3.52 1.64 2.98 14 n/a CLASS D 1998(6) 1.36% 1.16% 1.45% 1.07% 75% $0.0122 1997 1.55 0.71 1.65 0.61 117 0.0172 1996 1.65 0.58 1.90 0.33 102 n/a 1995(1) 1.47 0.42 1.48 0.41 64 n/a - ----------------------- EMERGING MARKETS EQUITY - ----------------------- CLASS A 1998 1.95% (0.12)% 2.36% (0.53)% 76% $0.0019 1997 1.95 (0.04) 2.55 (0.64) 100 0.0004 1996 1.95 (0.23) 2.72 (1.00) 104 n/a 1995(2) 1.95 1.79 4.98 (1.24) -- n/a - -------------------------- INTERNATIONAL FIXED INCOME - -------------------------- CLASS A 1998 1.00% 3.92% 1.24% 3.68% 280% n/a 1997 1.00 3.99 1.39 3.60 352 n/a 1996 1.00 4.70 1.27 4.43 269 n/a 1995 1.00 4.68 1.30 4.38 303 n/a 1994(3) 1.00 3.81 1.61 3.20 126 n/a - --------------------- EMERGING MARKETS DEBT - --------------------- CLASS A 1998(4) 1.35% 8.05% 1.94% 7.46% 269% n/a * RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. (1) INTERNATIONAL EQUITY CLASS D SHARES WERE OFFERED BEGINNING MAY 1, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (2) EMERGING MARKETS EQUITY CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (3) INTERNATIONAL FIXED INCOME CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (4) EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED. (5) DISTRIBUTIONS FROM NET INVESTMENT INCOME INCLUDE DISTRIBUTIONS OF CERTAIN FOREIGN CURRENCY GAINS AND LOSSES. (6) PER SHARE NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAINS/ (LOSSES) CALCULATED USING AVERAGE SHARES. + AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES DURING THE PERIOD. PRESENTATION OF THE RATE IS ONLY REQUIRED FOR EQUITY FUNDS FOR FISCAL YEARS BEGINNING AFTER SEPTEMBER 1, 1995. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 29 NOTES TO FINANCIAL STATEMENTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 1. ORGANIZATION SEI Institutional International Trust, (the "Trust") formerly, SEI International 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 four portfolios: the International Equity Portfolio, the Emerging Markets Equity Portfolio, the International Fixed Income Portfolio and the Emerging Markets Debt Portfolio (together the "Portfolios"). 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 Portfolios and Class D shares of the International Equity Portfolio. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Portfolios in the preparation of the financial statements. The policies are in conformity with generally accepted accounting principles. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities that are listed on a securities exchange for which market quotations are readily available are valued by an independent pricing service at the last quoted sales price for such securities, or if there is no such reported sale on the valuation date, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Debt obligations with sixty days or less remaining until maturity may be valued at amortized cost, which approximates market value. Other securities for which market quotations are not readily available or securities whose market quotations do not reflect market value are valued at fair value using good faith pricing procedures approved by the Board of Trustees. FEDERAL INCOME TAXES -- It is the intention of each Portfolio to continue to qualify as a regulated investment company and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements. The Portfolios 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 Portfolios accrue such taxes when the related income is earned. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by the custodian bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and procedures adopted by the Trust require that the market value of the collateral to cover principal and interest, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Portfolios may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained in a segregated account by the broker's custodian bank until maturity of the repurchase agreement. Provisions of the agreements require that the market value of the collateral, including accrued interest thereon, is sufficient to cover principal and interest in the event of default by the counterparty of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Portfolio may be delayed or limited. FOREIGN CURRENCY TRANSLATION -- The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following bases: (I) market value of investment securities, other 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. For foreign equity securities, the Portfolios do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The Portfolios do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency 30 ================================================================================ denominated debt obligations for Federal income tax purposes. The Portfolios report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Portfolios may enter into forward foreign currency contracts as hedges against either specific transactions, portfolio positions or anticipated portfolio positions. The aggregate principal amounts of the contracts are not recorded as the Portfolios do not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Portfolios realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Portfolio utilized futures contracts during the period ended February 28, 1998. The Portfolio's investment in these futures contracts is designed to enable the Portfolio to more closely approximate the performance of its benchmark index. 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 Portfolio records 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. CLASSES -- Class-specific expenses, such as Shareholder Servicing for Class A and 12b-1 and Transfer Agent for Class D, are borne by that class. Income, 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 Portfolios are charged directly to that Portfolio. Other operating expenses of the Portfolios are prorated to the Portfolios on the basis of relative net assets. DISTRIBUTIONS -- Distributions from net investment income and net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under generally accepted accounting principles. 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 in the period that the difference arises. Accordingly, $1,556,000, $1,263,000 and $372,000 was reclassified from accumulated net realized gain on investments to undistributed net investment income in the International Equity, Emerging Markets Equity and International Fixed Income Portfolios, respectively. The Emerging Markets Equity Portfolio also reclassed and $(349,000) from undistributed net investment income to paid in capital relating to current year net operating loss. The International Equity Portfolio reclassed $(37,000) from undistributed net investment income to paid in capital. In addition, the following permanent differences primarily attributable to realized foreign exchange gains and losses, have been reclassified from accumulated net realized gain (loss) on foreign currency transactions to undistributed net investment income: (000) ---------- International Equity Portfolio $4,310 Emerging Markets Equity Portfolio (2,534) International Fixed Income Portfolio (8,722) Emerging Markets Debt Portfolio (26) These reclassifications have no effect on net assets or net asset value per share. OTHER -- Security transactions are accounted for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of investment securities are those of the specific securities sold. Purchase discounts and premiums on securities held by the Portfolios are accreted and amortized to maturity using the scientific interest method, which approximates the effective interest method. Dividend income 31 NOTES TO FINANCIAL STATEMENTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS SEI Fund Management (the "Manager") and the Trust are parties to a management agreement dated August 30, 1988, under which the Manager provides management, administrative and shareholder services to the Portfolio for an annual fee equal to .45% of the average daily net assets of the International Equity Portfolio, .60% of the average daily net assets of the International Fixed Income Portfolio, and .65% of the average daily net assets of the Emerging Markets Equity and Emerging Markets Debt Portfolios. The Manager has voluntarily agreed to waive all or a portion of its fees and, if necessary, reimburse other operating expenses in order to limit the operating expenses of each Portfolio. SEI Investments Management Corporation ("SIMC") acts as the investment adviser for the International Equity, Emerging Markets Equity and Emerging Markets Debt Portfolios. Under the Investment Advisory Agreement, SIMC receives an annual fee of .505% of the average daily net assets of the International Equity Portfolio, 1.05% of the average daily net assets of the Emerging Markets Equity Portfolio, and .85% of the average daily net assets of the Emerging Markets Debt Portfolio. As of February 28, 1998, pursuant to Sub-Advisory Agreements with SIMC, Acadian Asset Management, Inc., Farrell Wako Global Investment Management, Inc., Lazard London International Investment Management Limited, Seligman Henderson Co., Yamaichi Capital Management, Inc. and Yamaichi Capital Management (Singapore) Limited serve as Sub-Advisers to the International Equity Portfolio, and Parametric Portfolio Associates, Yamaichi Capital Management, Inc., Yamaichi Capital Management (Singapore) Limited, Montgomery Asset Management, LLC, Coronation Asset Management (Proprietary) Limited, and Credit Suisse Asset Management Limited serve as Sub-Advisers to the Emerging Markets Equity Portfolio. Salomon Brothers Asset Management, Inc. serves as the Sub-Adviser to the Emerging Markets Debt Portfolio. Strategic Fixed Income, L.P., the Adviser for the International Fixed Income Portfolio, is a party to an investment advisory agreement with the Trust dated June 15, 1993. Under the investment advisory agreement, Strategic Fixed Income, L.P., receives an annual fee of up to .30% of the average daily net assets of the Portfolio. Strategic Fixed Income, L.P., has voluntarily agreed to waive all or a portion of its fee, in conjunction with the Manager, in order to limit the total operating expenses of the Portfolio. SEI Investments Distribution Co. (the "Distributor"), a wholly-owned subsidiary of SEI Investments and a registered broker-dealer, serves as each Portfolio's distributor pursuant to a distribution agreement with the Trust. Effective April 15, 1996, the Trust adopted a shareholder servicing plan (the "Class A Plan") pursuant to which a shareholder servicing fee of up to .25% of the average daily net assets attributable to the Class A shares are paid to the Distributor. Under the Class A Plan, the Distributor may perform, or may compensate other service providers for performing certain shareholder and administrative services. The International Equity Portfolio has adopted a distribution plan for its Class D shares (the "Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily net assets attributable to the Class D shares is paid to the Distributor. As of February 28, 1998, the Distributor was taking a fee under the Class D Plan of only .25% of the average daily net assets attributable to Class D shares. This payment may be used to compensate financial institutions that provide distribution-related services to their customers. Under both the Class A Plan and the Class D Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. In addition, Class D shares incur transfer agency fees of up to .15% of the average daily net assets. Class D is also subject to a 5% sales load on purchases of shares. Certain Officers and/or Trustees of the Trust are also Officers and/or Directors of the Manager. Compensation of Officers and affiliated Trustees is paid by the Manager. For the year ended February 28, 1998, the Portfolios paid commissions of $533,447 to affiliated broker-dealers. 4. ORGANIZATIONAL COSTS Organizational costs have been capitalized by the Portfolios and are being amortized using the straight line method over sixty months beginning with the commencement of operations. In the event any of the initial shares of a Portfolio acquired by the Manager are redeemed during the period that the Portfolio is amortizing its organizational costs, the redemption proceeds payable to the Manager by the Portfolio will be reduced by an amount equal to a pro-rata portion of the unamortized organizational costs. 32 ================================================================================ 5. FORWARD FOREIGN CURRENCY CONTRACTS The Portfolios enter into forward foreign currency exchange contracts as hedges against portfolio positions and anticipated portfolio positions. Such contracts, which are designed to protect the value of the Portfolio's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities; they simply establish an exchange rate at a future date. Also, although such contracts tend to minimize risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase. The following forward foreign currency contracts were outstanding at February 28, 1998: IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - ------------------- --------------- -------- -------------- INTERNATIONAL FIXED INCOME PORTFOLIO: - ------------------------------------- FOREIGN CURRENCY SALES: 3/23/98 AD 63,826,410 $ 40,991,927 $(2,331,129) 3/23/98 CD 57,212,615 39,632,587 (584,356) 3/23/98 CH 85,316,053 58,044,162 (313,104) 3/23/98 DK 37,838,598 5,463,258 (16,417) 3/23/98 DM 260,784,958 143,831,525 (131,857) 3/23/98 FF 140,357,732 23,128,079 16,425 3/23/98 IP 7,745,356 10,593,323 39,626 3/23/98 IT 60,421,047,928 33,761,522 (37,287) 3/23/98 JY 13,338,291,680 104,949,698 (1,178,060) 3/23/98 NG 8,561,441 4,176,313 (17,186) 3/23/98 SK 56,029,586 6,960,373 (53,643) 3/3/98-3/23/98 SP 4,263,462,565 27,518,073 (237,697) 3/23/98 UK 52,098,773 84,938,667 (619,114) ------------ ----------- $583,989,507 $(5,463,799) ------------ ----------- FOREIGN CURRENCY PURCHASES: 3/02/98-3/23/98 AD 59,075,574 $ 38,782,634 $ 1,312,676 3/23/98 CD 74,647,080 52,164,991 307,305 3/23/98 CH 71,810,560 49,176,304 (56,967) 3/23/98 DM 414,721,296 229,133,836 (189,702) 3/23/98 FF 122,274,672 20,077,943 56,108 3/23/98 IT 26,775,509,961 15,088,304 (110,405) 3/23/98 JY 18,583,047,249 145,425,036 2,433,265 3/23/98 NG 6,182,544 3,020,000 8,286 3/3/98-3/23/98 SK 39,364,745 4,899,098 28,148 3/23/98 SP 2,139,487,860 13,939,106 (10,509) 3/23/98 UK 28,184,260 45,994,029 290,798 ------------ ----------- $617,701,281 $ 4,069,003 ============ ----------- $(1,394,796) =========== CURRENCY LEGEND AD Australian Dollar IT Italian Lira CD Canadian Dollar J(Y) Japanese Yen CH Swiss Franc NG Netherlands Guilder DK Danish Kroner SK Swedish Krona DM German Mark SP Spanish Peseta FF French Franc UK British Pounds Sterling IP Irish Punts 6. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments and U.S. government securities, during the period ended February 28, 1998, were as follows: PURCHASES SALES (000) (000) ---------- ---------- International Equity Portfolio $670,294 $464,038 Emerging Markets Equity Portfolio 591,158 241,869 International Fixed Income Portfolio 986,704 757,015 Emerging Markets Debt Portfolio 365,879 234,673 The International Fixed Income and Emerging Markets Debt Portfolios purchased $174,695,237 and $21,570,335, and sold $149,955,717 and $21,559,719, respectively in U.S. government securities, during the period ended February 28, 1998. For Federal income tax purposes, the cost of securities owned at February 28, 1998 and the net realized gains or losses on securities sold for the period then ended was different from the amounts reported for financial reporting purposes as shown below. The aggregate gross unrealized appreciation and depreciation at February 28, 1998 for the Portfolios is as follows:
BOOK LESS: TAX NET UNREALIZED TAX NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION/ BASIS APPRECIATION/ SECURITIES SECURITIES (DEPRECIATION) ADJUSTMENTS (DEPRECIATION) (000) (000) (000) (000) (000) -------- ------------ ------------ ------------ --------------- International Equity Portfolio $119,680 $(46,730) $72,950 $ 5,977 $ 66,973 Emerging Markets Equity Portfolio 45,066 (54,910) (9,844)* 10,807 (20,651) International Fixed Income Portfolio 4,429 (3,203) 1,226 1,379 (153) Emerging Markets Debt Portfolio 3,640 (1,567) 2,073 -- 2,073 *NET OF $147,000 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES.
33 NOTES TO FINANCIAL STATEMENTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 Subsequent to October 31, 1997, the following Portfolios had recognized net capital and net foreign currency losses that have been deferred to 1998 for tax purposes and can be used to offset future capital and foreign currency gains at February 28, 1999. The Portfolios also had capital loss carry-forwards at February 28, 1998, that can be used to offset future capital gains. POST POST CAPITAL LOSS 10/31/97 10/31/97 CARRYOVERS LOSS DEFERRAL F/X LOSS DEFERRAL EXPIRING 2006 ------------- ----------------- ------------- International Equity 14,432,054 -- -- Emerging Markets Equity 9,578,857 970,319 9,258,937 International Fixed Income -- 5,140,052 -- Emerging Markets Debt -- -- 2,274,110 7. FUTURES CONTRACTS The International Equity Portfolio had futures contracts open as of February 28, 1998: CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - -------------- ----------- ------- ---------- ----------- IBEX 35 Index 9 8,151.50 March 1998 $ 46,486 IBEX 35 Index 36 8,155.50 March 1998 185,008 IBEX 35 Index 2 8,356.00 March 1998 7,675 IBEX 35 Index 1 8,570.00 March 1998 2,448 IBEX 35 Index 1 8,585.00 March 1998 2,350 IBEX 35 Index 20 8,715.00 March 1998 30,127 IBEX 35 Index 22 8,725.00 March 1998 31,711 IBEX 35 Index 4 8,884.00 March 1998 1,636 IBEX 35 Index 5 8,853.00 March 1998 3,052 CAC 40 Index 10 3,033.50 March 1998 130,844 CAC 40 Index 13 3,032.50 March 1998 170,525 CAC 40 Index 14 3,030.50 March 1998 184,561 CAC 40 Index 12 3,034.50 March 1998 156,619 CAC 40 Index 18 3,036.50 March 1998 233,746 CAC 40 Index 2 3,193.00 March 1998 15,691 CAC 40 Index 4 3,178.50 March 1998 33,288 CAC 40 Index 3 3,208.00 March 1998 22,044 CAC 40 Index 3 3,249.00 March 1998 18,005 CAC 40 Index 2 3,235.00 March 1998 12,923 CAC 40 Index 4 3,263.00 March 1998 22,167 CAC 40 Index 6 3,199.00 March 1998 45,862 CAC 40 Index 3 3,289.00 March 1998 14,063 CAC 40 Index 6 3,257.00 March 1998 34,433 CAC 40 Index 2 3,309.00 March 1998 8,062 CAC 40 Index 1 3,267.50 March 1998 5,394 CAC 40 Index 1 3,265.50 March 1998 5,460 CAC 40 Index 1 3,357.00 March 1998 2,454 CAC 40 Index 3 3,416.00 March 1998 1,549 DAX Index 14 4,287.00 March 1998 323,509 DAX Index 10 4,289.00 March 1998 229,976 DAX Index 1 4,565.00 March 1998 7,789 DAX Index 2 4,530.00 March 1998 19,436 DAX Index 1 4,535.00 March 1998 9,442 DAX Index 1 4,569.50 March 1998 7,541 DAX Index 2 4,533.00 March 1998 19,105 DAX Index 1 4,635.00 March 1998 3,932 DAX Index 1 4,601.00 March 1998 5,806 DAX Index 1 4,668.00 March 1998 2,114 DAX Index 2 4,740.00 March 1998 (3,707) CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - -------------- ----------- ------- ---------- ----------- FT-SE 100 Index 16 5,305.00 March 1998 $313,336 FT-SE 100 Index 15 5,303.00 March 1998 294,987 FT-SE 100 Index 9 5,307.00 March 1998 175,510 FT-SE 100 Index 10 5,316.00 March 1998 191,307 FT-SE 100 Index 9 5,319.00 March 1998 171,065 FT-SE 100 Index 5 5,321.00 March 1998 94,624 FT-SE 100 Index 10 5,315.00 March 1998 191,718 FT-SE 100 Index 3 5,618.00 March 1998 20,099 FT-SE 100 Index 5 5,593.00 March 1998 38,643 FT-SE 100 Index 3 5,644.00 March 1998 16,888 FT-SE 100 Index 1 5,605.00 March 1998 7,235 FT-SE 100 Index 1 5,604.00 March 1998 7,276 FT-SE 100 Index 1 5,638.00 March 1998 5,876 FT-SE 100 Index 4 5,610.00 March 1998 28,116 FT-SE 100 Index 4 5,563.00 March 1998 35,854 FT-SE 100 Index 1 5,565.00 March 1998 8,901 FT-SE 100 Index 1 5,565.00 March 1998 8,881 FT-SE 100 Index 1 5,700.00 March 1998 3,324 FT-SE 100 Index 2 5,721.00 March 1998 4,920 FT-SE 100 Index 5 5,728.00 March 1998 10,859 FT-SE 100 Index 3 5,770.00 March 1998 1,329 FT-SE 100 Index 2 5,600.00 March 1998 14,881 FT-SE 100 Index 2 5,755.00 March 1998 2,121 FT-SE 100 Index 4 5,795.00 March 1998 (2,345) Hang Seng Index 2 10,320.00 March 1998 15,822 Hang Seng Index 19 10,308.00 March 1998 151,779 Hang Seng Index 5 10,301.00 March 1998 40,168 Hang Seng Index 5 10,303.00 March 1998 40,103 Hang Seng Index 8 10,305.00 March 1998 64,062 Hang Seng Index 2 10,400.00 March 1998 14,789 Hang Seng Index 2 10,590.00 March 1998 12,335 Hang Seng Index 1 10,640.00 March 1998 5,844 Hang Seng Index 1 11,130.00 March 1998 2,680 Hang Seng Index 1 11,400.00 March 1998 936 Australia Ords Index2 2,638.00 March 1998 2,098 Australia Ords Index2 2,633.00 March 1998 2,269 Australia Ords Index1 2,637.00 March 1998 1,066 Australia Ords Index10 2,675.00 March 1998 4,190 Australia Ords Index1 2,637.00 March 1998 1,066 Australia Ords Index1 2,566.00 March 1998 2,276 Australia Ords Index3 2,616.00 March 1998 4,272 Australia Ords Index4 2,619.00 March 1998 5,491 Australia Ords Index1 2,572.00 March 1998 2,173 Australia Ords Index1 2,650.00 March 1998 845 Australia Ords Index5 2,672.00 March 1998 2,350 Australia Ords Index2 2,628.00 March 1998 2,439 Australia Ords Index4 2,647.00 March 1998 3,584 Australia Ords Index1 2,714.00 March 1998 (245) Australia Ords Index2 2,675.00 March 1998 838 Australia Ords Index2 2,662.00 March 1998 1,281 Australia Ords Index2 2,668.00 March 1998 1,076 Australia Ords Index1 2,694.00 March 1998 95 Australia Ords Index1 2,688.00 March 1998 198 Australia Ords Index3 2,690.00 March 1998 491 Australia Ords Index1 2,685.00 March 1998 249 Australia Ords Index1 2,679.00 March 1998 351 Australia Ords Index3 2,655.00 March 1998 2,279 Australia Ords Index1 2,667.00 March 1998 555 Australia Ords Index1 2,651.00 March 1998 828 Australia Ords Index16 2,667.00 March 1998 8,884 Australia Ords Index4 2,698.00 March 1998 109 Australia Ords Index3 2,716.00 March 1998 (838) 34 ================================================================================ CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - -------------- ----------- ------- ---------- ----------- Nikkei 225 Index 13 15,000.00 March 1998 $ 103,934 Nikkei 225 Index 28 15,250.00 March 1998 196,153 Nikkei 225 Index 57 14,810.00 March 1998 498,575 Nikkei 225 Index 4 14,800.00 March 1998 35,146 Nikkei 225 Index 3 14,600.00 March 1998 28,734 Nikkei 225 Index 2 14,820.00 March 1998 17,415 Nikkei 225 Index 12 14,950.00 March 1998 98,314 Nikkei 225 Index 19 15,080.00 March 1998 145,888 Nikkei 225 Index 12 16,790.00 March 1998 10,924 Nikkei 225 Index 9 16,770.00 March 1998 8,905 Nikkei 225 Index 3 16,500.00 March 1998 6,174 Nikkei 225 Index 1 16,950.00 March 1998 277 Nikkei 225 Index 1 17,150.00 March 1998 (514) Nikkei 225 Index 5 17,400.00 March 1998 (7,520) Nikkei 225 Index 5 17,095.00 March 1998 (1,484) Nikkei 225 Index 9 17,060.00 March 1998 (1,425) Nikkei 225 Index 4 17,300.00 March 1998 (4,433) Nikkei 225 Index 2 17,350.00 March 1998 (2,612) Nikkei 225 Index 8 17,280.00 March 1998 (8,232) Nikkei 225 Index 13 17,090.00 March 1998 (3,602) Nikkei 225 Index 9 16,760.00 March 1998 9,261 Nikkei 225 Index 9 16,625.00 March 1998 14,070 Nikkei 225 Index 13 16,535.00 March 1998 24,954 Nikkei 225 Index 2 16,570.00 March 1998 3,562 Nikkei 225 Index 6 16,575.00 March 1998 10,568 Nikkei 225 Index 8 16,380.00 March 1998 20,264 Nikkei 225 Index 9 16,700.00 March 1998 11,399 ---------- $5,312,014 ========== 8. CONCENTRATION OF RISKS Each Portfolio 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 Portfolio invests 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 Portfolio to meet its obligations may be affected by economic and political developments in a specific country, industry or region. 9. LOAN PARTICIPATIONS AND BRADY BONDS The Emerging Markets Debt Portfolio (the "Portfolio") 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 Portfolio 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 Portfolio having a contractual relationship only with the Lender, not with the sovereign borrower. The Portfolio 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 Portfolio 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 Portfolio will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Portfolio assumes the credit risk of both the borrower and the Lender that is selling the Participation. The Portfolio may have difficulty disposing of Participations and Assign-ments because the market for such instruments is not highly liquid. 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 are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. 10. SUBSEQUENT EVENTS Effective March 23, 1998, Scottish Widows Investment Management Limited replaced Lazard London International Investment Management Limited as sub-advisers for the International Equity Portfolio. Farrell Wako Global Investment Management, Inc., and Seligman Henderson Co. were terminated as sub-advisers for the International Equity Portfolio. 35 REPORT OF INDEPENDENT ACCOUNTANTS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 To the Shareholders and Trustees SEI Institutional International Trust In our opinion, the accompanying statements of net assets and statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of International Equity, Emerging Markets Equity, International Fixed Income, and Emerging Markets Debt Portfolios (constituting SEI Institutional International Trust, formerly SEIInternational Trust, hereafter referred to as the "Trust") at February 28, 1998, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1998 by correspondence with the custodian and brokers and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Philadelphia, PA April 24, 1998 36 NOTICE TO SHAREHOLDERS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 (UNAUDITED) For shareholders that do not have a February 28, 1998 taxable year end, this notice is for informational purposes only. For shareholders with a February 28, 1998 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended February 28, 1998 the Portfolios of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year as follows:
(A) (B) (C) LONG TERM MID TERM ORDINARY CAPITAL GAINS CAPITAL GAINS INCOME TOTAL DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS) - ---------- ------------- ------------- ------------- ------------- International Equity 12% 29% 59% 100% Emerging Markets Equity 0% 21% 79% 100% International Fixed Income 0% 0% 100% 100% Emerging Markets Debt 0% 0% 100% 100% (D) FOREIGN PORTFOLIO TAX CREDIT(1) - ---------- ------------- International Equity 9% Emerging Markets Equity 0% International Fixed Income 0% Emerging Markets Debt 0% (1) See attached notice which details the per share amount of foreign taxes paid by country and the per share amount of each dividend that represents income derived from sources within each country. * Items (A), (B) and (C) are based on the percentage of each fund's total distribution. ** Item (D) is based on the percentage of ordinary income of each fund.
37 NOTICE TO SHAREHOLDERS ================================================================================ SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 (UNAUDITED) FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL PURPOSES ONLY. The SEI Institutional International Trust -- International Equity Portfolio and Emerging Markets Equity Portfolio have made an election under Section 853 of the Internal Revenue Code (the "Code") to provide a foreign tax deduction or credit to their shareholders for the fiscal year ended February 28, 1998. The information provided below is pertinent to taxpayers who meet the following two criteria: 1) file a U.S. Federal Income Tax Return and 2) held shares of the Portfolio on the dividend record date of December 31, 1997 and satisfy the applicable requirements of the Code. The amount per share of income from and foreign taxes paid to each country is listed in the following schedules: INTERNATIONAL EQUITY PORTFOLIO CLASS A CLASS D GROSS FOREIGN GROSS FOREIGN COUNTRY DIVIDEND TAXES PAID DIVIDEND TAXES PAID - ---------- -------- ---------- -------- ---------- Australia $0.0118 $0.0003 $0.0015 $0.0003 Austria 0.0007 0.0001 0.0006 0.0001 Belgium 0.0016 0.0003 0.0016 0.0003 Canada 0.0018 0.0003 0.0018 0.0003 Denmark 0.0012 0.0002 0.0012 0.0002 Finland 0.0003 0.0001 0.0003 0.0001 France 0.0169 0.0022 0.0166 0.0022 Germany 0.0078 0.0010 0.0076 0.0010 Great Britain 0.0604 0.0098 0.0593 0.0098 Hong Kong 0.0107 0.0000 0.0105 0.0000 Ireland 0.0002 0.0000 0.0002 0.0000 Italy 0.0045 0.0006 0.0044 0.0006 Japan 0.0181 0.0031 0.0178 0.0031 Malaysia 0.0031 0.0008 0.0031 0.0008 Netherlands 0.0102 0.0017 0.0101 0.0017 Norway 0.0023 0.0004 0.0022 0.0004 New Zealand 0.0005 0.0004 0.0005 0.0004 Singapore 0.0024 0.0006 0.0024 0.0006 Spain 0.0052 0.0009 0.0051 0.0009 Sweden 0.0050 0.0009 0.0050 0.0009 Switzerland 0.0052 0.0009 0.0051 0.0009 United States 0.0001 0.0000 0.0001 0.0000 ------- ------- ------- ------- $0.1700 $0.0246 $0.1670 $0.0246 ======= ======= ======= ======= 38 NOTES NOTES =========================== SEI INSTITUTIONAL =========================== INTERNATIONAL TRUST =========================== ANNUAL REPORT =========================== FEBRUARY 28, 1998 Robert A. Nesher CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch Frank E. Morris James M. Storey George J. Sullivan, Jr. OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Mark E. Nagle CONTROLLER, CHIEF FINANCIAL OFFICER Todd Cipperman VICE PRESIDENT, ASSISTANT SECRETARY Sandra K. Orlow VICE PRESIDENT, ASSISTANT SECRETARY Kevin P. Robins VICE PRESIDENT, ASSISTANT SECRETARY Kathryn L. Stanton VICE PRESIDENT, ASSISTANT SECRETARY Richard W. Grant SECRETARY INVESTMENT ADVISORS INTERNATIONAL EQUITY PORTFOLIO SEI Investments Management Corporation EMERGING MARKETS EQUITY PORTFOLIO SEI Investments Management Corporation INTERNATIONAL FIXED INCOME PORTFOLIO Strategic Fixed Income L.P. EMERGING MARKETS DEBT PORTFOLIO SEI Investments Management Corporation MANAGER AND SHAREHOLDER SERVICING AGENT SEI Fund Management DISTRIBUTOR SEI Investments Distribution Co. INDEPENDENT ACCOUNTANTS Price Waterhouse LLP LEGAL COUNSEL Morgan, Lewis & Bockius LLP THIS ANNUAL 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. SEI INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY BANK. FOR MORE INFORMATION CALL 1[BULLET]800[BULLET]DIAL[BULLET]SEI/ 1[BULLET]800[BULLET]342[BULLET]5734 [SEI LOGO OMITTED] INVESTMENTS DISTRIBUTION CO. Oaks, PA 19456-1100 800-DIAL-SEI/800-342-5734 SEI-F-018-07 -----END PRIVACY-ENHANCED MESSAGE-----