-----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, RLBHV+Iy9PHNnDO627+cyg+5pFbZif06Q/+9VsTMExdO1kinAS/vY6KuH4I6/y+B 9Rv5DTGjprj0DMsbx6vDeQ== 0000935069-98-000209.txt : 19981113 0000935069-98-000209.hdr.sgml : 19981113 ACCESSION NUMBER: 0000935069-98-000209 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19980930 FILED AS OF DATE: 19981112 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL 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: 98743663 BUSINESS ADDRESS: STREET 1: C/O SEI INVESTMENTS CO STREET 2: ONE FREEDOM VALLEY RD CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 2: 530 E SWEDESFORD RD CITY: WAYNE STATE: PA ZIP: 19087-1693 FORMER COMPANY: FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST DATE OF NAME CHANGE: 19900129 N-30D 1 SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL ANNUAL REPORT AS OF SEPTEMBER 30, 1998 SEI INSTITUTIONAL INTERNATIONAL TRUST - -------------------------------------------------------------------------------- International Equity - -------------------------------------------------------------------------------- Emerging Markets Equity - -------------------------------------------------------------------------------- International Fixed Income - -------------------------------------------------------------------------------- Emerging Markets Debt - -------------------------------------------------------------------------------- (LOGO) [GRAPHIC OMITTED] TABLE OF CONTENTS - -------------------------------------------------------------------------------- MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE INTERNATIONAL EQUITY FUND...................................... 1 EMERGING MARKETS EQUITY FUND................................... 2 INTERNATIONAL FIXED INCOME FUND................................ 4 EMERGING MARKETS DEBT FUND..................................... 6 STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS.................... 8 STATEMENTS OF ASSETS AND LIABILITIES................................. 23 STATEMENTS OF OPERATIONS............................................. 24 STATEMENTS OF CHANGES IN NET ASSETS.................................. 25 FINANCIAL HIGHLIGHTS................................................. 27 NOTES TO FINANCIAL STATEMENTS........................................ 28 REPORT OF INDEPENDENT ACCOUNTANTS.................................... 34 NOTICE TO SHAREHOLDERS............................................... 35 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998* INTERNATIONAL EQUITY FUND OBJECTIVE. The International Equity Fund (the "Fund") seeks to provide long-term capital appreciation through investments in equity securities of non-U.S. issuers. The Fund also seeks to provide U.S. investors with a vehicle for international diversification, which can reduce variability of Fund returns to the extent that foreign markets have a relatively low correlation with the U.S. market. STRATEGY. The Fund 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 Fund does not hedge foreign currency exposure. ANALYSIS. For the seven-month period ending September 1998, the International Equity Fund returned -9.75% versus a return of -10.63% for its benchmark the MSCI EAFE Index. Continued weakness in Asia slowly eroded confidence in the emerging markets over the course of the last seven months. The credit crunch in Asia that began in mid 1997 has spilled over to infect Eastern Europe and Latin America. Although the International Equity Fund has little direct exposure to the weakening emerging markets, commitments to large European banks, which in turn had loan exposure to these economies, were the primary contributors to the negative returns for the index. Japan is still considered the key to Asia's turn-around, although weak leadership and an inability to address the banking problems in the country have led to a recession in the region. The slow growth expectations in Asia have had an adverse affect on all other regions that depended on Asia for their own growth. The global slowdown seriously affected the developed markets over the last several months. Over the course of the last seven months, the country returns within the MSCI EAFE benchmark have been mixed with the majority of the Asian markets falling the most. The dispersion between the best performing market (Belgium) and the worst performing market (Malaysia) was 78%, indicating the severe - -------------------------------------------------------------------------------- INTERNATIONAL EQUITY - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Class A -8.75% 3.49% 4.20% 3.70% - -------------------------------------------------------------------------------- Class D, Synthetic -8.88% 3.19% 3.91% 3.10%* - -------------------------------------------------------------------------------- Class D, Synthetic, w/load -13.45% 1.44% 2.85% 1.91%* - -------------------------------------------------------------------------------- *ACTUAL, NOT SYNTHETIC COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI INTERNATIONAL EQUITY FUND, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE MORGAN STANLEY MSCI EAFE INDEX SEI INTERNATIONAL EQUITY FUND, CLASS A SEI INTERNATIONAL EQUITY FUND, CLASS DMORGAN STANLEY MSCI EAFE INDEX [GRAPH OMITTED] [PLOT POINTS TO FOLLOW] SEI INTERNATIONAL MORGAN STANLEY SEI INTERNATIONAL EQUITY FUND, MSCI EQUITY FUND CLASS A EAFE INDEX CLASS D 12/31/89 10,000 9,500 10,000 9/30/90 8,350 7,933 6,927 9/30/91 9,416 8,945 8,443 9/31/92 9,232 8,771 7,842 9/30/93 11,137 10,580 9,908 9/30/94 11,841 11,228 10,883 9/30/95 12,343 11,662 11,514 9/30/96 13,558 12,764 12,507 9/30/97 14,990 14,063 14,032 9/30/98 13,678 12,814 12,861 1 FOR THE PERIOD ENDED SEPTEMBER 30, 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. * THE TRUST CHANGED ITS YEAR END FROM FEBRUARY 28TH TO SEPTEMBER 30TH, THEREFORE, THE FINANCIAL STATEMENTS PRESENTED ARE FOR A SEVEN MONTH PERIOD. 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 volatility in the markets over this time period. The dispersion was also significant among the major developed markets like the UK falling 7.7%, Japan off 24.1% and Germany up 5.9%, according to the MSCI country index returns. SEI Investments' risk controlled approach in the developed markets has added value since February, providing exposure to all markets in the index. Stock selection within markets was the primary reason for our outperformance. Despite the poor absolute returns in the finance sector over this period, stock selection within this group was stellar. Stock selection outside of the finance sector, specifically within energy and technology also helped the Fund outperform the benchmark over this time period. Structurally, we remain style neutral to the MSCI EAFE Index, and well diversified across all markets in the benchmark. Since February, we implemented two new managers to the strategy, whose investment processes provide both concentration and additional flexibility in the strategy's commitment to both countries and regions. Finally, we continue to concentrate the Fund into the most attractive names in order to increase the return potential of the Fund without significantly affecting total risk. EMERGING MARKETS EQUITY FUND OBJECTIVE. The Emerging Markets Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing primarily in a diversified Fund of equity securities of emerging market issuers. STRATEGY. The Fund 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 seven month period ended September 30, 1998, the Emerging Markets Equity Fund returned -41.52%, underperforming its benchmark, the IFC Investable Composite, which returned -35.91%. The Russian devaluation of the ruble on August 17th and the political turmoil that subsequently took place in Russia later that week sparked a new round of investor fears. The Russian ruble fell over 60% in the third quarter and the average daily trading volume in Russia dropped from a peak of $115 million in May of this year to less than $1 million traded daily by the end of August. The Eastern European markets as a whole lost 48% last quarter alone, Russia led the declines. However, Hungary, Poland and the Czech Republic all fell more than 20%. In August, the ruble devaluation sparked fears that China would be forced to devalue 2 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- EMERGING MARKETS EQUITY - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Year 3 Year Inception Return Return to Date - -------------------------------------------------------------------------------- Emerging Markets Equity, Class A -51.43% -16.73% -12.00% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING MARKETS EQUITY FUND, VERSUS THE IFC INVESTABLE COMPOSITE INDEX [GRAPHIC OMITTED] [PLOT POINTS TO FOLLOW] EMERGING MARKETS EQUITY FUND, CLASS A IFC INVESTIBLE COMPOSITE INDEX 1/31/95 10,000 10,000 9/30/95 10,651 10,669 9/30/96 11,464 11,592 9/30/97 12,662 12,207 9/30/98 6,150 6,496 1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995. and drag down the rest of the emerging Asian currencies. Asian governments reacted differently to the crisis: Hong Kong intervened in the futures market to boost the value of stocks and support the Hong Kong dollar; Malaysia imposed capital controls and fixed the foreign exchange rate. During September, the emerging markets in Asia were driven by renewed confidence in the local currencies and hopes for interest rate cuts in the developed markets. Latin America was not immune to the contagion that spread throughout the emerging markets. Investors sold off positions in Latin America as all markets fell between 20% and 40% in an indiscriminate manner. In September, debt ratings in Brazil and Venezuela were downgraded as their currencies lost value and central bank reserves eroded. The expectations of a financial aid package from the IFM/World Bank brought renewed hope to the region and helped to reduce the credit crunch and currency pressure. The relative performance of the Fund was driven mainly by discounting securities in Malaysia, poor stock selection within Latin America and emerging Europe, and costs involved with transitioning to new managers. During the last week of September the SEI Fair Value Pricing Committee recommended a discount to the Fund's Malaysian securities of 25% in response to the one-year capital controls placed on foreign investors. Since the IFC Investable index did not impose any discount to their Malaysian securities, the Fund lost 1.1% relative to the index due to the discount alone. Performance within Latin America and Europe also caused a large portion of the Fund's underperformance. Within Latin America, our small and mid capitalization exposure in Mexico and Chile caused the majority of the losses. Stock selection within Mexico has been disappointing on a year-to-date basis, and culminated with very poor results in August and September. The emerging Europe Fund underperformed due to an underweight to Portugal and poor stock selection within Russia, Greece and Portugal. The bulk of the underperformance in the emerging Europe mandate came in August, and was due to two main factors: an underweight to oil and energy securities in Russia which held up very well throughout the devaluation, and an overweight position to banks and financials in Southern Europe. The Fund has been slowly reducing its weight to the Russian market, being sensitive to 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 the dramatic decrease in daily trading volume. We currently have less than 0.3% allocated to Russia compared to the IFC Investable Composite weight of 0.7%. In September, the Fund made two changes: replacement of Montgomery Asset Management LLC with Morgan Stanley Asset Management Inc. (MSAM) in Latin America and the inclusion of Nicholas-Applegate Capital Management Inc. ("Nicholas-Applegate") as a global emerging markets manager. MSAM brings to the Fund years of experience in managing assets in Latin America. MSAM is one of the premier global emerging markets managers and we have identified their Latin America capabilities as the best in our coverage of the region. MSAM incorporates a disciplined investment approach focused on regional and domestically oriented shares in Latin America which they have identified with strong growth characteristics. Nicholas-Applegate provides the Fund with additional flexibility investing across regions. Nicholas-Applegate has a large team of investment professionals dedicated to the emerging markets, located in San Diego, London and Singapore. The firm incorporates a disciplined, bottom up approach to investing and utilizes their network of brokers around the world for ideas and information. Both managers have historically provided investors with a consistent, successful track record relative to the benchmark and are rated in the top of their peer groups. INTERNATIONAL FIXED INCOME FUND OBJECTIVES. The International Fixed Income Fund (the "Fund") seeks to provide capital appreciation and current income through investments in fixed income securities of non-U.S. issuers. The Fund 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 Funds. The Fund invests primarily in high-quality, foreign currency government obligations. Although there are no restrictions on the Fund's overall duration, under normal conditions it is expected to range between four and six years. STRATEGY. Fund 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 Fund 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 Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund 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 Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. 4 - -------------------------------------------------------------------------------- ANALYSIS. For the seven-month period ended September 30, 1998, the SEI International Fixed Income Fund returned 11.33%, outperforming the Salomon Brothers Non-U.S. World Government Bond Index return of 9.6%. An overweight to the deutsche mark and subsequent underweight to the Japanese yen throughout most of the period generated the outperformance. A concentration in long dated German bonds and an emphasis to the British bond market also enhanced results. European bonds and currencies were major benefactors from the general flight to quality, as market participants believed that the continent had the best prospects for weathering the uncertainty. Moderate growth and tame inflation also attracted investors. The Fund's overweight to German and British bonds therefore enhanced results. - -------------------------------------------------------------------------------- INTERNATIONAL FIXED INCOME - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Class A 12.47% 5.61% 7.85% 8.20% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEIINTERNATIONAL FIXED INCOME FUND, VERSUS THE SALOMON WGBI, NON-U.S., UNHEDGED [GRAPH OMITTED] [PLOT POINTS TO FOLLOW] SEI INTERNATIONAL FIXED INCOME FUND SALOMON WGBI 9/30/93 10,000 10,087 9/30/94 10,333 10,557 9/30/95 12,385 12,434 9/30/96 12,822 12,936 9/30/97 12,971 12,826 9/30/98 14,589 14,154 1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993. In Japan, the economy contracted for the third straight fiscal quarter, and prospects for improvement seemed bleak. The general slowdown in the Asian region and the lack of a clear plan for cleaning up the insolvent loans on bank's balance sheets fueled the outflow of assets from the country, weakening the yen versus the deutsche mark. An underweight to the Japanese yen relative to the benchmark in favor of European currencies helped performance. Japanese government bond yields hit all-time lows as domestic investors switched their holdings out of the declining stock market and into bonds. However, the decline in yields roughly equaled other countries' declines, so an underweight to Japanese bonds did not impact relative returns. The Canadian and Australian dollars weakened significantly versus most other major currencies as investors shunned countries that rely heavily on commodity exports as a source of revenue. Commodities such as oil, timber, and metals slumped as the glut of supply combined with slackening demand lowered prices. The Fund's underweight to both these currencies served to boost returns. Also, an underweight to the Canadian bond market in favor of U.S. Treasuries served to enhanced returns as investors preferred ultra- safe U.S. Treasuries during the turbulent period versus Canadian bonds. 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 EMERGING MARKETS DEBT FUND OBJECTIVES. The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return from a Fund consisting of primarily high yield, below-investment grade fixed income securities from emerging markets of foreign countries. The Fund 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 Fund is anticipated to be invested primarily in U.S. dollar-denominated emerging debt. STRATEGY. Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 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. ANALYSIS. The Emerging Markets Debt Fund posted a return of -33.75% for seven-month period ending September 30, 1998 to trail the JP Morgan Emerging Markets Debt Index Plus return of -24.10%. An overweight to Russian dollar-denominated debt was the primary driver of underperformance. An underweight to Poland and a small exposure in Argentine peso-denominated debt also reduced relative returns. In Eastern Europe, Russian debt lost more than 83% of its value during the period as declining investor demand made it difficult for the country to roll over its short-term debt. The country's default on its ruble-denominated Treasury debt and depreciation of the ruble caused massive selling of the dollar-denominated Russian debt as well. The Fund's consistent overweight to the country throughout its - -------------------------------------------------------------------------------- EMERGING MARKETS DEBT - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN1 - -------------------------------------------------------------------------------- One Year Annualized Inception Return to Date - -------------------------------------------------------------------------------- Class A -34.01% -24.53% - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING MARKETS DEBT FUND, VERSUS THE J.P. MORGAN EMBI PLUS [GRAPH OMITTED] [PLOT POINTS TO FOLLOW] EMERGING MARKETS DEBT FUND J.P. MORGAN EMBI PLUS 6/30/97 10,000 10,000 9/30/97 10,620 10,691 9/30/98 7,008 7,986 1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997. 6 - -------------------------------------------------------------------------------- decline hurt performance. An underweight to Poland, an investment-grade rated credit, hurt performance, but a similar overweight to investment-grade Croatia enhanced returns as higher credit countries tended to outperform during the volatile period. In Latin America, the Fund's underweight to the larger and relatively more stable credits of Argentina and Mexico detracted from returns. Both countries have strong economies and less reliance on short-term capital inflows. A position in Argentine-peso denominated debt also reduced relative returns as assets with both credit and currency risk sold off sharply. Overweights to Panama, Colombia, and Costa Rica aided relative returns as these higher rated countries were more insulated from the global turmoil. Concentrations in both South Korea and the Philippines enhanced returns as both countries have stronger credit profiles than most of their emerging market peers. African country selection was mixed, as the benefit from overweights to the Ivory Coast and Morocco was mostly offset by an overweight to Algeria. Algerian bonds declined due to lower oil prices and speculation that the military pressured President Lianine Zeroual to cut his term short by two years. The Fund also took advantage of market inefficiencies to add value through intra-day trading in Russia, Panama and Venezuela. The Fund separately identified buyers and sellers of the same security and executed both sides of the trade for an immediate profit. 7 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 INTERNATIONAL EQUITY FUND - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 96.2% ARGENTINA -- 0.2% Telecom Argentina ADR* 50,000 $ 1,484 -------- AUSTRALIA -- 3.4% AMP Limited* 29,300 355 Australia & New Zealand Bank 226,050 1,207 Australian Gas Light 113,364 780 Brambles Industries 41,205 889 Broken Hill Proprietary 361,570 2,586 Coles Myer 808,300 3,445 Colonial 56,820 160 Commonwealth Bank of Australia 187,200 2,213 Fosters Brewing 446,000 972 Lend Lease 70,000 1,492 National Australia Bank 511,402 6,173 Newscorp 173,100 1,115 Qantas Airways 1,632,000 2,541 Rio Tinto Limited 30,825 373 Tabcorp Holdings Limited 65,500 380 Telstra Corporation Installment Receipts 419,281 1,173 Westpac Banking Corporation 669,227 3,679 WMC Limited 131,625 396 Woodside Petroleum 485,000 2,532 Woolworths 196,190 676 -------- 33,137 -------- BELGIUM -- 0.7% Delhaize Freres 13,500 1,021 Groupe Bruxelles Lambert* 2,203 367 Petrofina 9,900 3,636 Tractabel 10,300 1,675 -------- 6,699 -------- BRAZIL -- 0.1% Unibanco GDR 50,000 675 -------- CANADA -- 1.1% Air Canada* 209,300 769 Bank of Montreal 34,000 1,226 Bank of Nova Scotia* 223,700 3,667 Bombardier Inc., Series B 150,000 1,651 Royal Bank of Canada 39,000 1,583 Thomson Corporation 85,500 1,976 -------- 10,872 -------- DENMARK -- 1.3% Den Danske Bank 21,190 2,403 Tele Danmark-B 101,212 10,058 -------- 12,461 -------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FINLAND -- 0.9% Nokia Oyj, Series A 50,000 $ 3,974 Nokia, Series K 15,000 1,191 UPM-Kymmene 130,800 2,998 -------- 8,163 -------- FRANCE -- 11.7% Accor 6,000 1,259 AXA UAP 94,230 8,631 Banque National Paris 156,651 8,391 Canal Plus 13,700 3,329 Carrefour 16,222 10,285 Castorama Dubois 65,476 11,211 Elf Aquitaine 76,461 9,433 Eridania Beghin Say 4,250 794 Lafarge 87,568 7,755 Paribas 34,650 1,868 Pechiney Ord, Class A 52,500 1,817 Peugeot SA 99,700 17,017 Pinault-Printemps-Redoute 53,023 7,668 Renault 198,972 7,957 Saint Gobain Ord 12,750 1,691 Scor 10,150 603 SGS Thomson Micro 32,000 1,485 Synthelabo 12,500 2,305 Total Compaigne, Series B 17,200 2,168 Total Petroleum of North America ADR 5,000 314 Usinor Sacilor 120,000 1,335 Vallourec 5,900 225 Vivendi 28,000 5,579 -------- 113,120 -------- GERMANY -- 11.2% Agiv* 54,480 1,272 Bayer AG Bearer 36,900 1,394 Bayer Vereinsbank 140,577 10,352 Bayerische Motoren Werke 4,530 2,915 Commerzbank 196,239 5,310 Deutche Pfandrbrief & Hypotheken Bank 73,550 5,284 Deutsche Bank AG 25,600 1,323 Deutsche Telekom 145,000 4,505 Gehe AG 168,389 10,293 Hoechst 228,873 9,455 Industrie-Werke Karlsruhe Augsburg AG 86,500 1,580 Lufthansa 213,450 4,218 Mannesmann AG 213,198 19,529 Merck KGAA 99,350 4,015 Metro 34,650 2,413 Schwarz Pharma 5,700 319 Siemens AG 153,268 8,470 8 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Thyssen 75,800 $ 12,929 Varta 6,200 1,076 Viag 2,825 1,942 -------- 108,594 -------- HONG KONG -- 2.4% Bank of East Asia 976,000 1,379 Cheung Kong Holdings 796,000 3,688 Cheung Kong Infrastructure 350,000 759 China Telecom 860,000 1,354 Clp Holdings Limited 263,000 1,283 Hang Seng Bank 180,000 1,138 Henderson Land Development 247,000 845 Hong Kong & China Gas 1,173,000 1,438 Hong Kong Electric 472,000 1,623 Hong Kong Telecommunications 2,287,000 4,501 HSBC Holdings 94,800 1,737 Hutchison Whampoa 324,000 1,706 Kumagai Gumi 971,100 260 Kumagai Gumi Warrants* 194,220 3 Legend Holdings 1,800,000 534 Peregrine Investment Holdings*(3) 526,000 -- Swire Pacific, Series A 150,000 472 Zhejiang Expressway 1,420,000 247 -------- 22,967 -------- ITALY -- 4.2% Assicurazioni Generali 138,606 4,511 Banca Popolare di Milano 136,600 985 Benetton Group 347,000 524 ENI SPA Reg 1,322,700 8,113 Istituto Bancario san Paolo di Torino 668,117 8,403 Telecom Italia 2,145,302 14,790 Telecom Italia* 350,000 1,675 Telecom Italia Di Risp 500,000 1,609 -------- 40,610 -------- JAPAN -- 19.1% Aiful Corporation 16,500 760 Aoyama Trading 5,500 117 Asahi Breweries 312,000 3,697 Asahi Glass 121,000 584 Bank of Tokyo-Mitsubishi 243,000 1,555 Bridgestone Corporation 128,000 2,575 Canon 379,000 7,679 Dai Ichi Pharmaceutical 130,000 1,736 Dai Nippon Printing 65,000 833 Denso 57,000 828 Dio Chemicals 400 1 East Japan Railway 265 1,318 Fuji Heavy Industries 502,000 2,614 Fuji Photo Film 242,000 8,319 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Fujisawa Pharm 91,000 $ 836 Fujitsu 188,000 1,623 Hitachi 322,000 1,413 Hitachi Medical 200 2 Honda Motor 345,000 10,472 Hoya Corporation 102,000 3,656 Ibiden 48,000 667 Industrial Bank of Japan 179,000 655 Ito Yokado 19,000 903 Kao Corporation 68,000 1,084 Keyence Corporation 15,000 1,434 King Jim 600 3 Marubeni 870,000 1,024 Marui 65,000 941 Matsushita Communications Ind. 93,000 3,333 Matsushita Electric 615,000 8,344 Meiji Milk Products 341,000 798 Meitec 40,300 870 Minebea 100,000 813 Mitsubishi Heavy Industries 681,000 2,326 Mitsubishi Trust & Banking 109,000 383 Mitsui 230,000 945 Mitsui Fudosan 132,000 675 Murata Manufacturing 81,000 2,731 NAC 22 -- NEC 190,000 1,230 Nichiei 32,200 2,169 Nidec Corporation 31,900 2,492 Nintendo 106,700 10,021 Nippon Express 246,000 1,062 Nippon Oil 117,000 308 Nippon Paper 170,000 523 Nippon Shoji Kaisha 600 2 Nippon Steel 655,000 939 Nippon Telegraph & Telephone 1,121 8,158 Nippon Yusen Kabushiki Kaishi 143,000 419 Nissan Motors 825,000 2,293 Nissho Iwai 517,000 333 Nomura Securities 112,000 803 NTT Data 190 692 Obayashi 223,000 791 Oie Sangyo 200 1 Ono Pharmaceutical 123,000 2,951 Orix Corporation 37,000 2,557 Osaka Gas 608,000 1,543 Rohm Co. LTD 42,000 3,994 Sankyo 134,000 2,960 Secom 24,000 1,492 Seijo 300 2 Sekisui House 1,048,000 8,501 Sekisui House Hokuriku 10,000 37 Seven-Eleven 12,000 731 Shaddy 600 4 9 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 INTERNATIONAL EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Shin - Etsu Chemical 55,000 $ 871 Shinden 17,200 78 SMC Corporation 14,000 946 Softbank Corporation 63,000 2,580 Sony Corporation 153,000 10,620 Sumitomo Bakelite 90,000 529 Sumitomo Bank 209,000 1,452 Sumitomo Chemical 298,000 887 Sumitomo Electric 98,000 948 Sumitomo Marine and Fire Insurance 162,000 776 Sumitomo Metal 355,000 332 Sumitomo Rubber 96,000 482 Suzuki Motor 235,000 2,362 Taisho Pharmaceutical 64,000 1,343 Takeda Chemical 62,000 1,655 Takefuji Corporation 21,000 1,057 Tokai Bank 133,000 472 Tokio Marine & Fire Insurance* 161,000 1,437 Tokyo Electric Power 416,800 7,957 Tokyo Electronics 126,000 3,069 Toray 276,000 1,120 Toyota Motor 226,000 5,042 Yaizu Suisankagaku 200 1 Yamanouchi Pharmaceutical 91,000 1,957 Yamato Transportation 89,000 963 -------- 184,491 -------- MALAYSIA (2) -- 0.1% Austral Enterprises 188,000 116 Berjaya Sports 72,000 43 Genting Berhad 89,000 124 IOI Properties 462,000 129 Kuala Lumpur Kepong Berhad, Series B 63,000 53 Petronas Gas 70,000 89 Rothmans of Pall Mall 41,000 132 Sime Darby 168,000 84 Telekom Malaysia 286,000 338 Tenaga Nasionale 254,000 183 Westmont Industries* 218,000 38 YTL* 96,000 56 -------- 1,385 -------- MEXICO -- 0.3% Cenentos de Mexico ADR 260,000 1,148 Telefonos de Mexico ADR 45,000 1,991 -------- 3,139 -------- NETHERLANDS -- 6.9% ABN-Amro Holding 68,844 1,174 Aegon 53,273 4,224 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Ahold PLC 80,000 $ 2,392 Akzo Nobel 31,847 1,133 De Boer Unigro 132,921 7,906 DSM 68,724 5,803 Fortis Amev 143,581 8,067 Heineken NV 61,000 2,948 Hoogovens 162,323 4,551 Ing Groep 92,195 4,157 Koninklijke Pakhoed Holdings 26,800 605 TNT Post Group NV 346,017 8,820 Van Ommeren 63,900 1,961 VNU 304,619 12,585 -------- 66,326 -------- NEW ZEALAND -- 0.1% Lion Nathan 95,800 230 Telecom of New Zealand 164,381 629 -------- 859 -------- NORWAY -- 0.1% Orkla AS -A 101,000 1,380 -------- SINGAPORE -- 1.1% City Developments 41,000 90 Computer System & Service 238,500 174 Creative Technology* 21,000 193 Development Bank of Singapore 355,000 1,431 Keppel 85,000 100 Natsteel Electronics 75,000 164 Singapore International Airlines 58,000 318 Singapore Press Holdings 52,643 437 Singapore Telecommunications 4,605,000 7,696 -------- 10,603 -------- SOUTH AFRICA -- 0.1% South African Brewery 80,000 1,197 -------- SPAIN -- 2.7% Autopistas Concesionaria Espanola 75,075 1,148 Banco Santander 484,280 7,489 Energia e Industrias Aragonesas 72,000 443 Repsol 73,900 3,124 Sevillana de Electricidad 62,800 734 Telefonica de Espana SA 360,526 13,157 -------- 26,095 -------- SWEDEN -- 3.0% Astra AB, Series A 282,000 4,819 Electrolux AB 477,801 6,276 Ericsson, Series B 365,000 6,889 Foreningssparbanken, Series A 126,300 2,899 Hennes & Mauritz, Series B 30,000 2,181 Investor, Series B 29,000 1,124 10 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Scania, Series A 81,400 $ 1,536 Skandinaviska Enskilda Bank 104,300 911 SKF, Series B 64,200 794 Trelleborg, Series B 48,800 411 Volvo, Series B 56,600 1,386 -------- 29,226 -------- SWITZERLAND -- 7.8% Adecco 20,436 7,600 Baer Holding 300 707 Cie Financiere Richemont 1,500 1,925 Credit Suisse Group 57,770 6,408 Fischer-Registered 850 236 Holderbank Fin Glarus 2,500 2,574 Nestle SA Reg 9,419 18,805 Novartis AG 8,408 13,526 Oz Holdings AG, Series B 1,580 1,312 Schweiz Ruckversicherung 850 1,691 UBS AG - Registered 44,448 8,700 Zurich Allied 24,031 11,968 -------- 75,452 -------- UNITED KINGDOM -- 17.7% 3I Group 200,000 1,715 Abbey National 546,500 9,410 Allied Zurich* 206,250 2,108 Argyll Group 300,000 1,405 ASDA Group 457,500 1,334 Barclays Bank 97,000 1,583 Barratt Developments 185,900 605 Bass 355,300 4,253 Berkeley Group 120,633 1,064 BG 176,470 1,226 Boc Group 170,000 2,107 British Airways 1,707,700 10,439 British American Tobacco 206,250 1,535 British Petroleum 225,200 3,442 British Telecommunications 693,073 9,333 Cadbury Schweppes 819,882 10,609 Coca-Cola Beverages* 133,500 304 Commercial Union 248,326 3,844 Diageo 796,061 7,570 EMI Group 178,200 1,098 General Electric 1,237,218 9,034 Glaxo Wellcome 310,300 9,153 Guardian Royal Exchange 410,000 1,779 Halifax* 139,800 1,804 Kingfisher 1,014,600 9,407 Lex Service 127,000 744 LucasVarity 535,000 1,644 National Westminster 588,269 7,892 Powergen 228,900 3,397 Railtrack Group 102,300 2,946 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Reckitt & Colman 110,000 $ 1,626 Reuters Group 235,000 1,971 RJB Mining 295,500 532 Sedgwick Group 353,200 1,188 Siebe PLC 372,000 1,200 Signet Group* 1,065,600 466 SmithKline Beecham 923,963 10,151 Standard Chartered 202,000 1,423 Tate & Lyle 230,000 1,273 Thames Water 212,575 4,231 TI Group 290,000 1,753 United Assurance Group 166,800 1,661 United Utilities 252,200 4,073 Vodafone Group 1,055,907 12,246 Wimpey(George) 346,800 568 Zeneca Group 122,500 4,327 -------- 171,473 -------- Total Foreign Common Stocks (Cost $1,027,294) 930,408 -------- FOREIGN PREFERRED STOCKS -- 0.3% GERMANY -- 0.2% SAP* 3,800 1,804 -------- ITALY -- 0.1% Fiat* 845,000 1,321 -------- Total Foreign Preferred Stocks (Cost $4,500) 3,125 -------- U.S. TREASURY OBLIGATIONS -- 0.2% U.S. Treasury Bill (1) 3.953%, 11/19/98 $ 2,350 2,337 -------- Total U.S. Treasury Obligations (Cost $2,334) 2,337 -------- REPURCHASE AGREEMENTS -- 4.1% J.P. Morgan (1) 5.35%, dated 09/30/98, matures 10/01/98, repurchase price $21,442,042 (collateralized by U.S. Treasury Note, 5.625% due 05/15/08, par value $19,785,000, market value $21,806,784) 21,378 21,378 11 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 INTERNATIONAL EQUITY FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE MARKET DESCRIPTION AMOUNT VALUE (000) - -------------------------------------------------------------------------------- State Street Bank 4.75%, dated 09/30/98, matured 10/01/98, repurchase price $17,946,368 (collateralized by U.S. Treasury Note, 6.625%, due 06/30/01, par value $17,120,000, market value $18,318,400) $17,944 $ 17,944 -------- Total Repurchase Agreements (Cost $39,322) 39,322 -------- Total Investments -- 100.8% (Cost $1,073,450) 975,192 -------- Other Assets and Liabilities, Net-- (0.8%) (8,154) -------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 105,562,667 outstanding shares of beneficial interest 1,022,502 Portfolio Shares of Class D (unlimited authorization -- no par value) based on 36,451 outstanding shares of beneficial interest 363 Undistributed net investment income 8,454 Accumulated net realized gain on investments 34,923 Net unrealized depreciation on investments (98,258) Net unrealized depreciation on forward foreign currency contracts, foreign futures, foreign currency and translation of other assets and liabilities in foreign currency (946) -------- Total Net Assets-- 100.0% $967,038 ======== NET ASSET VALUE, REDEMPTION PRICE PER SHARE -- CLASS A $9.16 ======== NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -- CLASS D $9.07 ======== MAXIMUM OFFERING PRICE PER SHARE -- CLASS D ($9.07 (DIVIDE) 95%) $9.55 ======== * NON-INCOME PRODUCING SECURITY ADR -- AMERICAN DEPOSITORY RECEIPT 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 $22,771,401. (2) AS OF SEPTEMBER 1, 1998, THE REPATRIATION OF PROCEEDS RECEIVED FROM THE SALE OF THESE SECURITIES HAS BEEN BLOCKED UNTIL AT LEAST SEPTEMBER 1, 1999. THESE SECURITIES ARE CONSIDERED ILLIQUID AND ARE BEING FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (3) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS EQUITY FUND - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- FOREIGN COMMON STOCKS -- 91.3% ARGENTINA -- 4.7% Banco Galicia y Bueno Aires SA ADR 175,000 $ 2,778 Quilmes Industrial 96,450 790 Quilmes Industrial ADR 331,900 2,717 Telecom Argentina Stet France ADR 32,600 968 Telefonica Argentina ADR 259,740 7,646 YPF ADR 320,490 8,333 -------- 23,232 -------- BRAZIL -- 5.8% Cemig SA 33,700 745 CIA Electric Est Rio Janeiro* 3,178,585,000 1,099 CIA Paranaense Energia ADR 183,600 1,170 Companhia Brasileira de Distribuicao Grupo de Acucar ADR 5,000 65 Companhia Riograndense Telecom 12,793,800 3,853 Petroleum Brasileiro ADR 108,700 1,114 Tele Celular Sul Participacoes 283,855,000 400 Tele Centro Sul Participacoes 179,960,000 1,898 Tele Sudeste Cellular Participacoes 178,895,000 558 Telebras ADR* 107,365 7,539 Telesp Celular* 20,985,000 523 Telesp Celular Participacoes 171,068,000 1,154 Telesp Participacoes 115,494,000 2,777 Telesp 20,875,000 2,025 Unibanco GDR 163,817 2,212 Vale Rio Doce ADR 107,595 1,587 -------- 28,719 -------- CHILE -- 3.2% Cervecerias Unidas ADR 81,555 1,499 Chilectra ADR 215,500 3,524 CIA Telecomunicacion Chile ADR 179,220 3,428 Distribucion y Sevicio ADR 145,045 1,450 Enersis ADR 214,860 4,378 Quimica y Minera Chile ADR 13,300 387 Quinenco ADR 213,060 1,478 -------- 16,144 -------- CHINA -- 0.2% Beijing Yanhua Petrochemical, Series H* 1,260,000 99 Bengang Steel Plates, Series B 454,000 63 China Eastern Airlines Corporation, Series H* 1,952,000 120 China Southern Glass, Series B* 371,934 48 12 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Chongqing Changan Automobile, Series B 375,200 $ 47 Eastern Communications, Series B 186,900 81 Guangdong Provincial Expressway Development, Series B 252,000 72 Shanghai Dajiang Group, Series B 372,480 33 Shanghai Dazhong Taxi* 252,600 117 Shanghai Lujiazui Finance and Trade, Series B* 453,040 189 Shanghai Yaohua Pilkington Glass, Series B 224,000 27 Shenzhen Fangda Ltd, Series B 124,000 94 Shenzhen Konka Electronics Group, Series B 192,400 127 Wuxi Little Swan, Series B 91,200 46 -------- 1,163 -------- COLOMBIA -- 0.9% Banco Ganadero ADR 159,394 1,435 Banco Gandero ADR 46,865 832 Banco Industrial Colombiano ADR 151,630 758 Carulla y Compania ADR 458,200 687 Cementos Diamante GDR 118,162 266 Cementos Paz del Rio GDR 28,853 194 Gran Cadena Almacenes GDR 95,784 287 -------- 4,459 -------- CROATIA -- 0.5% Pliva GDR, Series S 183,980 2,470 -------- CZECH REPUBLIC -- 0.9% Ceske Radiokomunikace* 4,711 203 Ceske Radiokomunikace GDR 144A* (A) 46,600 1,203 CKD Praha Holding* 7,700 51 Galena* 8,000 170 SPT Telecom* 52,980 686 SPT Telecom GDR 117,700 1,501 Tabak 3,200 720 -------- 4,534 -------- EGYPT -- 1.6% Al-Ahram Beverages GDR 24,400 772 Alexandria National Iron & Steel 14,733 649 Commercial International Bank 91,725 865 Eastern Tobacco 12,348 204 EFG Hermes GDR 23,500 276 Egypt Gas 3,200 295 Egyptian American Bank 16,934 306 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Egyptian International Phamaceutical Industries 5,311 $ 284 El Ameriya Cement 13,475 230 Helwan for Cement 18,386 278 Madinet Nasr for Housing & Construction 8,450 370 MISR Elgedida for Housing 6,640 536 MISR International Bank* 33,939 717 National Societe General Bank 20,149 373 OPTD/Egypt Common 300 252 Oriental Weavers 13,000 281 Paints & Chemical Industries 8,744 244 Suez Cement 65,843 1,044 -------- 7,976 -------- GREECE -- 5.7% Alpha Credit Bank 53,022 3,947 Alpha Finance 25,500 841 Athens Medical Care 44,600 745 Attica Enterprises 106,600 766 Chipita International 13,900 367 Delta Informatics 42,400 786 Ergo Bank 26,389 2,130 Hellenic Bottling 119,431 2,952 Hellenic Petroleum SA* 127,000 1,082 Hellenic Technodomiki 31,500 218 Hellenic Technodomiki Rights* 31,500 65 Intracom 81,786 3,019 Intrasoft 29,100 530 Maillis 100,540 1,826 National Bank of Greece 32,230 4,350 OTE 80,382 1,929 Sarantis 86,249 909 Titan Cement Company 35,570 2,129 -------- 28,591 -------- HONG KONG -- 1.8% Cheung Kong Infrastructure 281,000 609 China International Marine 327,350 169 China Telecom* 1,136,000 1,789 China Vanke, Series B 138,591 50 Guangdong Electric Power Development, Series B 415,192 141 Guangshen Railway, Series H 1,782,000 232 Formosa Fund 290 2,617 Jilin Chemical Industrial, Series H 1,202,000 63 Legend Holdings Limited 1,400,000 416 Li & Fung 396,000 639 Maanshan Iron & Steel, Series H* 2,158,000 82 Qingling Motors, Series H 2,602,000 504 Shangdong Chenming Paper 215,200 77 13 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Shanghai Hai Xing Shipping, Series H* 1,346,000 $ 109 Shanghai Industrial Holdings 207,000 414 Shanghai Petrochemical, Series H 2,092,000 213 Shenzen China Bicycle, Series B* 316,714 29 Shenzen Seg Group, Series B* 290,003 79 Tsingtao Brewery, Series H* 376,000 43 Vtech Holdings 140,000 558 Yizheng Chemical Fibre, Series H* 1,744,000 133 -------- 8,966 -------- HUNGARY -- 2.2% Borsodchem 11,100 228 Borsodchem GDR 23,500 464 Cofinec GDR 23,450 119 Gedeon Richter 144A GDR (A) 9,050 279 Gedeon Richter GDR 16,245 485 Magyar Tavkozlesi ADR 210,800 4,572 MOL 37,087 720 MOL GDR 120,970 2,326 OTP Bank GDR 37,270 1,045 Pannoplast 22,043 505 Zalakeramia GDR 71,000 147 -------- 10,890 -------- INDIA -- 3.9% Bajaj Auto GDR 121,880 2,139 BSES GDR 77,050 1,015 Complete Business Solutions* 53,100 1,527 India Fund* 499,730 3,061 Industrial Credit and Investment of India 207,520 1,728 ITC GDR 203,270 4,076 Mahanagar Telephone Nigam Ltd GDR 182,675 2,073 Ranbaxy Laboratories GDR 80,200 1,444 Syntel Inc.* 66,100 1,471 Videsh Sanchar GDR 80,800 889 -------- 19,423 -------- ISRAEL -- 4.2% Agis Industries* 33,068 191 Bank Hapoalim* 1,306,461 3,194 Bank Leumi Le-Israel 835,476 1,235 Bezeq Israeli Telecommunication 341,007 1,010 Blue Square Chain Investments & Properties* 39,728 547 Cial Electronics Industries 2,045 274 Clal Israel Limited 9,660 217 Comverse Technology* 12,700 519 Discount Investment 15,350 403 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Elbit Systems Limited 46,400 $ 586 Elco Holdings 38,714 205 Elron Electronic Industries Limited 14,705 216 Fibi Holdings 34,319 265 First International Bank of Israel 67,508 360 Formula Systems* 11,155 237 Gilat Satellite Networks Limited* 30,900 1,390 IDB Development 15,957 363 IDB Holding 41,442 926 Industrial Buildings 346,204 478 Israel* 6,040 506 Israel Chemicals* 378,476 355 Jerusalem Economic Corp Limited 53,359 229 Koor Industries ADR 60,200 986 Koor Industries Limited 8,258 690 Leumi Insurance Holdings* 939,039 489 Makhteshim-Agan Industries* 193,192 420 Nice Systems* 12,761 243 Osem Investment Limited 96,614 456 Property & Building Corporation Ltd 2,923 253 Super Sol Limited 156,883 445 Tadarin Limited 8,967 248 Teva Pharmaceuticals ADR 75,215 2,849 -------- 20,785 -------- MALAYSIA (1) -- 2.6% Berjaya Sports Toto 1,016,000 601 Genting Berhad 774,000 1,076 IOI Properties 4,870,000 1,364 Kian Joo Can Factory 295,000 233 Kuala Lumpur Kepong Berhad 748,000 628 Malayan Cement Berhad 956,000 192 Malaysia International Shipping Corp. 1,354,000 1,020 Malaysian Assurance Alliance 954,400 491 Malaysian Pacific Industries 657,000 490 O.Y.L. Industries 546,200 824 Petronas Gas 736,000 936 Rothmans of Pall Mall 594,000 1,922 Sime Darby 1,376,000 689 Technology Resources Industries 890,000 213 Telekom Malaysia 905,000 1,071 Tenaga Nasionale 691,000 499 YTL 1,185,000 696 -------- 12,945 -------- MEXICO -- 11.0% Cemex ADR 144A (A) 51,005 249 Cemex SA ADR 831,760 1,832 Cifra, Series C* 755,000 926 14 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Cifra ADR, Class V* 193,100 $ 2,350 Cifra, Series V* 85,000 108 Coca Cola Femsa ADR 68,700 837 Compania Cervecerias Unidas ADR 76,380 1,403 Corporacion Geo SA, Series B* 680,000 1,334 Corporacion Interamericana de Enterenemienta, Series B* 1,000,000 1,569 Corporacion Interamericana de Enterenemienta, Series L* 258,262 355 Fomento Economico Mex SA 4,099,718 8,163 Gruma ADR* 2,600 22 Grupo Carso SA, Series A1 1,012,000 2,839 Grupo Financiero Banamex, Series B* 682,000 602 Grupo Financiero Bancomer, Series B 3,625,000 640 Grupo Industria Bimbo, Series A 793,000 1,540 Grupo Modelo, Series C 165,000 1,456 Grupo Televisa GDR* 185,640 3,585 Kimberly-Clark de Mexico, Series A 1,630,070 4,037 Organizacion Soriana SA, Series B 989,855 2,379 San Luis 63,048 105 Telefonos de Mexico ADR 413,240 18,286 -------- 54,617 -------- MOROCCO -- 2.0% BCM 15,306 1,742 BMCE 22,668 1,754 ONA 19,372 2,645 SAMIR 28,131 1,183 SNI 13,262 1,509 Wafabank 8,210 1,129 -------- 9,962 -------- PAKISTAN -- 0.0% Adamjee Insurance 28,390 23 Engro Chemicals 14,512 17 Hub Power 135,500 38 ICI Pakistan* 157,500 38 Lever Brother Pakistan 500 7 Muslim Commercial Bank 500 Pakistan State Oil 25,255 44 Sui Northern Gas Pipelines* 9,750 2 Sui Southern Gas* 1,293 -------- 169 -------- PERU -- 2.1% Banco Wiese ADR 78,997 217 Buenaventura ADR 183,689 2,135 Cementos Lima 38,175 557 Cementos Lima ADR 43,300 638 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Cementos Norte Pacasmayo 185,500 $ 242 Cerveceria Backus & Johnston 481,222 183 Compania de Minas Buenaventura, Series B 63,319 419 Credicorp 114,128 835 Edegel SA, Series B 699,372 179 Ferreyros SA 677,400 690 Luz del Sur, Series B 252,795 178 Southern Copper 16,778 200 Telefoncia del Peru ADR 324,290 3,973 -------- 10,446 -------- PHILIPPINES -- 1.4% Ayala Land 3,526,000 519 Bank of Philippine Islands 412,334 460 International Container Terminal Services* 3,049,375 105 Manila Electric, Series B 567,710 1,090 Philippine Long Distance 139,650 2,954 Queenbee Res Jollibee, Series F* 2,437,800 521 San Miguel, Series B 17 SM Prime Holdings 8,802,900 1,093 -------- 6,742 -------- POLAND -- 1.8% Amica Wronki* 44,080 257 Bank Polska Kasa Opieki SA* 62,000 816 Bank Przemyslowo-Handlowy 19,300 1,325 Elektrim 157,290 1,595 Exbud GDR* 144,405 1,148 Kredyt Bank PBI GDR* 23,500 350 Kredyt Bank PBI SA* 117,500 378 Mostosal-Warszawa GDR * 144,600 698 National Investment Fund* 18,330 362 Orbis* 119,004 800 Wielkopolski Bank Kredytowy 142,000 875 Zaklady Lentex SA 75,000 260 -------- 8,864 -------- PORTUGAL -- 3.9% Banco Comercial Portugues 113,779 3,076 Banco Pinto & Sotto Mayor 82,270 1,338 BPI-SGPS 78,300 2,162 Brisa Auto-Estradas 29,500 1,346 Cimentos de Portugal 29,408 821 Electricidade de Portugal 168,300 3,877 Ibersol SGPS SA 12,200 1,076 Jeronimo Martins & Filho 63,300 2,147 Mundial Confianca 32,300 665 Portugal Telecom 35,898 1,308 Semapa 38,400 796 Sonae Investimentos 26,485 774 -------- 19,386 -------- 15 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 EMERGING MARKETS EQUITY FUND--CONTINUED - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- RUSSIA -- 0.2% Chelyabinskvyazinform (2) 12,000 $ 42 Gorkovsky Auto Plant* (2) 12,264 80 Lukoil Holding ADR 36,500 443 Mosenergo ADR 200,000 200 Rostelecom ADR* 480,000 149 Rostovenergo (2) 2,500,000 5 Surgutneftegaz ADR 30,778 46 Vimpel Communications ADR* 22,900 120 -------- 1,085 -------- SINGAPORE -- 0.7% Datacraft Asia 465,000 1,255 Natsteel Electronics 579,000 1,270 Venture Manufacturing 374,000 1,153 -------- 3,678 -------- SOUTH AFRICA -- 12.6% Amalgamated Banks of South Africa 603,300 2,181 Anglo American 91,700 2,599 Anglo American Industrial Corporation 14,300 156 Anglo American Platinum Corporation 173,300 2,518 B.O.E, Series N 1,277,308 809 Bidvest Group 179,555 1,077 Billiton* 929,700 2,042 Boe Limited 529,075 383 Brait SA 240,000 795 C.G. Smith 704,650 1,375 C.G. Smith Foods 130,100 923 Computer Configurations Holdings* 234,675 700 DB Persetel Q Data Holdings 1,100,000 420 Delta Electrical Industries 623,654 1,902 Dimension Data Holdings 565,600 2,287 Firstrand 2,108,700 1,877 Foschini 794,400 963 Gold Fields of South Africa 133,300 1,700 Hudaco Industries 556,450 442 Imperial Holdings Limited 267,437 1,897 Iscor 2,799,500 624 Ixchange Technology Holdings* 601,328 1,315 Johnnies Industrial 279,510 1,204 Liberty Holdings 41,657 1,572 Liberty Life Association of Africa 61,169 921 Liblife Strategic Investments 1,358,800 2,181 Lonrho 256,500 1,365 Nedcor 162,492 2,608 New Africa Investments, Series N* 2,659,381 1,235 Omni Media 41,000 339 Perkor Beleggings 730,500 222 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Plessey 1,165,301 $ 1,653 Polifin 711,600 601 Protea Furnishers 875,500 377 Real Africa Hldgs. Ltd* 317,500 1,126 Real Africa Investments* 701,198 2,120 Rembrandt Group 328,520 1,967 RMB Holdings 1,801,400 2,556 Sappi* 201,400 640 South African Breweries 73,248 1,096 Standard Bank 602,500 1,231 Suncrush 480,950 853 Technology & Industry Investments 45,000 135 Tegniese Beleg Korp 590,000 1,694 Theta Group* 938,600 2,743 Tiger Oats 201,200 1,546 Unitrans Limited 316,800 706 Wooltru, N Shares 1,131,300 1,051 -------- 62,727 -------- SOUTH KOREA -- 3.9% Dae Duck Electronics 29,410 1,716 Kookmin Bank 14,000 34 Korea Asia Fund 2,594 1,492 Korea Electric Power 107,300 1,491 Korea Electric Power ADR 68,350 615 Korea Fund* 508,373 3,114 Mirae 419,513 574 Nong Shim 38,580 1,528 Pohang Iron & Steel 42,310 1,674 Pohang Iron & Steel ADR 18,500 256 Samchully 50,780 841 Samsung Display Devices 28,803 674 Samsung Display Rights* 3,888 Samsung Electronic 57,933 1,585 Samsung Electronics GDR 1995 144A (A) 16,208 227 Samsung Electronics GDR, Class A 874 5 Samsung Fire & Marine Insurance 7,153 1,391 SK Telecom 1,118 524 SK Telecom ADR 226,415 1,599 Ssangyong Oil Refining 18,850 159 -------- 19,499 -------- TAIWAN -- 8.2% Accton Technology GDR 402,400 1,348 Acer GDR 126,562 598 Advanced Semiconductor Engineering GDR 81,789 746 Advanced Semiconductor Engineering 924,600 1,460 Asia Cement GDR 138,912 1,160 Asustek Computer 120,000 842 16 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- Asustek Computer GDR 220,000 $ 1,529 Asustek Computer Rights 240 Cathay Construction 1,365,000 722 Cathay Life Insurance 1,080,000 3,047 China Development* 1,485,000 2,649 China Steel 780,000 468 China Steel GDR 42,869 532 China Trust Commercial Bank* 211,200 133 Compal Electronics* 593,000 1,769 D-Link* 350,000 757 Delta Electronics 580,000 1,535 Formosa Chemical & Fiber* 400,000 256 Formosa Plastic 399,000 514 Goldsun Development & Construction 1,956,000 806 Hon Hai Precision Industries* 400,000 1,789 Hua Nan Bank 1,320,000 2,104 Hualon-Teijran 44,400 15 Lite-On Technology GDR 100,569 820 Orient Semiconductor Electronics 325,000 284 Pacific Electric Wire & Cable* 976,000 662 President Enterprises GDS 31,080 218 ROC Taiwan Fund 200,000 1,175 Shinkong Synthetic Fibers 2,726,443 993 Siliconware Precision GDR* 70,000 577 Siliconware Precision Industries 1,000,000 1,456 Synnex Technology International* 314,136 1,033 Taiwan American Fund 110,000 1,620 Taiwan Semiconductor 1,300,000 2,509 Taiwan Semiconductor ADR 156,875 1,922 Teco Electric & Machinery GDR 34,128 293 Tung Ho Steel GDR 2,000 11 Union Petrochemical* 954,000 527 Yageo 560,000 704 Yageo GDR 151,111 1,001 Yang Ming Marine Transport GDR 86,250 622 -------- 41,206 -------- THAILAND -- 1.1% Advance Agro Public 'F' 281,500 214 Advanced Info Service 134,200 769 Bangkok Bank 'F' 199,300 189 Bangkok Expressway Public 830,300 631 Bec World Public 'F' 87,300 429 Eastern Water Resources 313,000 349 Electric Generating 'F' 295,810 709 GSS Array Tech 'F' 92,300 175 Lanna Lignite 'F' 217,300 174 National Petrochemical 609,400 228 PTT Exploration & Production 'F'* 6,000 53 - -------------------------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) - -------------------------------------------------------------------------------- PTT Exploration `F'* 100,000 $ 882 Siam Cement* 35,100 338 Thai Airways International `F' 362,600 299 Thai Farmers Bank Warrants* 26,138 1 Tipco Asphalt `F'* 199,200 138 -------- 5,578 -------- TURKEY -- 2.9% Akbank 34,250,000 482 Aksigorta 19,202,000 499 Alcatel Teletas 7,590,000 369 Ardem 14,516,000 233 Dogan Sirketler Holdings 30,679,000 1,106 Efes Investment ADS 427,000 362 Efes Investment GDR 105,000 90 Ege Biracilik Ve Malt Sanayii 12,450,000 943 EGS Properties, Series B* 24,517,240 252 Gima Gida Ve Ihtiyac Maddele* 25,750,000 436 Haci Omer Sabanci Holdings 63,719,400 976 Hurriyet Gazetecilik 25,800,000 372 Koc Holdings 8,400,000 878 Migros 1,659,806 1,197 Milliyet Gazetecilik* 43,000,000 442 Petrol Ofisi 4,000,000 700 Tansas 4,937,250 463 Turk Otomobil Fabrika* 15,600,000 273 Tupras* 11,550,000 1,145 Turkiye Is Bankasi 80,950,000 2,131 Yapi Ve Kredi Bankas 81,643,427 927 -------- 14,276 -------- VENEZUELA -- 1.3% Banco Provincial 916,062 879 Compania Anonima Nacional Telecom ADR 225,627 3,836 Electricdid de Caracas 3,815,737 1,059 Mavesa ADR 65,005 248 Mercantil Servicios, Cl B 147,200 184 Sivensa ADR 31,712 194 Venezolana de Cementos 757,170 225 -------- 6,625 -------- Total Foreign Common Stocks ($585,997) 455,157 -------- FOREIGN PREFERRED STOCKS -- 3.2% BRAZIL -- 3.1% Cemig ADR 73,400 1,696 Cemig 191,439,175 4,167 CIA Vale Rio Doce, Cl A 176,869 2,686 Copel, Cl B 211,665,869 1,366 Gerdau 17,397,000 151 17 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 EMERGING MARKETS EQUITY FUND--CONCLUDED - -------------------------------------------------------------------------------- SHARES/FACE MARKET DESCRIPTION AMOUNT (000)(3) VALUE (000) - -------------------------------------------------------------------------------- Petrol Brasileiros 27,343,286 $ 2,814 Teleceara Celular, Cl D* 2,718,260 138 Teleceara, Cl C 2,552,912 129 Telesp Celular, Cl B* 15,673,152 648 Telesp* 2,670,666 388 Usiminas Gerais 428,700 1,266 -------- 15,449 -------- RUSSIA -- 0.0% Chelyabinksvyazinform*(2) 16,000 26 Kubanelektrosvyas (2) 70,000 63 Rostovenergo*(2) 4,900,000 5 -------- 94 -------- PERU -- 0.1% Cerveceria Backus & Johnston, Series A* 71,048 498 -------- Total Foreign Preferred Stocks (Cost $21,698) 16,041 -------- FOREIGN CONVERTIBLE BONDS -- 1.4% TAIWAN -- 1.4% ADI 7.000%, 03/09/01 1,150 832 China Petrochemical 3.180%, 05/08/09 740 540 Far East Department Stores 8.230%, 07/06/01 650 569 Lite-On Technologies 3.120%, 05/01/04 880 775 Nanya Plastics 144A (A) 1.750%, 07/19/01 1,110 1,213 Pacific Construction 5.230%, 10/20/04 1,300 1,011 Siliconware Precision 3.280%, 07/21/04 1,180 1,009 Walsin Lihwa 10.110%, 06/16/04 750 534 Winbond Electron 8.900%, 11/04/02 550 406 -------- 6,889 -------- Total Foreign Convertible Bonds (Cost $8,191) 6,889 -------- REPURCHASE AGREEMENTS -- 4.4% J.P. Morgan 5.41%, dated 09/30/98, matures 10/01/98, repurchase price $6,510,165 (collateralized by U.S. Treasury Bond, 10.625%, due 08/15/15, par value $4,024,000, market value $6,554,095) 6,426 6,426 - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) VALUE (000) - -------------------------------------------------------------------------------- State Street Bank 4.75%, dated 09/30/98, matured 10/01/98, repurchase price $15,702,071, (collateralized by various U.S. Treasury Notes, ranging in par value $340,000- $9,605,000, 6.125%-8.00%, due 07/31/00-11/15/21, total market value $16,024) $15,700 $ 15,700 -------- Total Repurchase Agreements (Cost $22,126) 22,126 -------- Total Investments -- 100.3% (Cost $638,012) 500,213 -------- Other Assets and Liabilities, Net-- (0.3%) (1,743) -------- Portfolio Shares of Class A (unlimited authorization -- no par value) based on 80,848,598 outstanding shares of beneficial interest 810,440 Undistributed net investment income 1,026 Accumulated net realized loss on investments (174,915) Net unrealized depreciation on investments (137,799) Net unrealized depreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency (282) -------- Total Net Assets -- 100.0% $498,470 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $6.17 ======== * 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) AS OF SEPTEMBER 1, 1998, THE REPATRIATION OF PROCEEDS RECEIVED FROM THE SALE OF THESE SECURITIES HAS BEEN BLOCKED UNTIL AT LEAST SEPTEMBER 1, 1999. THESE SECURITIES ARE CONSIDERED ILLIQUID AND ARE BEING FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (2) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF TRUSTEES. (3) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 18 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 INTERNATIONAL FIXED INCOME FUND - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- FOREIGN BONDS -- 86.5% AUSTRALIA -- 2.4% Commonwealth of Australia 8.750%, 08/15/08 6,400 $ 4,853 Queensland Treasury 6.500%, 06/14/05 12,915 8,263 -------- 13,116 -------- CANADA -- 0.2% Government of Canada 9.000%, 06/01/25 1,005 999 -------- DENMARK -- 1.9% Kingdom of Denmark 8.000%, 03/15/06 39,515 7,532 7.000%, 11/15/07 12,300 2,276 7.000%, 11/10/24 3,200 612 Unikredit Realkredit 6.000%, 10/01/29 1,900 289 -------- 10,709 -------- FRANCE -- 4.9% Government of France 5.250%, 04/25/08 57,370 11,152 Government of France BTAN 4.750%, 03/12/02 30,660 5,672 Government of France OAT 8.500%, 10/25/19 36,800 9,941 -------- 26,765 -------- GERMANY -- 22.1% Depfa Bank 4.750%, 03/20/03 12,940 8,023 Deutschland Republic 6.000%, 01/05/06 21,809 14,731 6.000%, 02/16/06 32,570 22,039 6.250%, 01/04/24 104,452 75,178 KFW International Finance 6.625%, 04/15/03 1,140 762 -------- 120,733 -------- ITALY -- 10.1% Republic of Italy 5.000%, 01/15/01 50,000,000 31,081 9.500%, 02/01/01 35,130,000 23,929 -------- 55,010 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- JAPAN -- 15.1% Asian Development Bank 3.125%, 06/29/05 2,573,000 $ 21,707 European Investment Bank 3.000%, 09/20/06 2,125,000 18,291 Export-Import Bank 2.875%, 07/28/05 3,260,000 26,934 Japanese Development Bank 2.875%, 12/20/06 1,840,000 15,410 -------- 82,342 -------- NETHERLANDS -- 2.8% Kingdom of Netherlands 5.750%, 01/15/04 26,220 15,201 -------- NEW ZEALAND -- 3.3% Government of New Zealand 10.000%, 03/15/02 24,460 13,864 7.000%, 07/15/09 7,815 4,318 -------- 18,182 -------- SPAIN -- 3.9% Kingdom of Spain 7.900%, 02/28/02 2,680,800 21,375 -------- SWEDEN -- 2.5% Kingdom of Sweden 10.250%, 05/05/03 85,600 13,475 -------- UNITED KINGDOM -- 17.3% United Kingdom Treasury 7.000%, 06/07/02 17,439 31,302 8.500%, 07/16/07 29,894 63,247 -------- 94,549 -------- Total Foreign Bonds (Cost $444,186) 472,456 -------- U.S. TREASURY OBLIGATIONS -- 9.1% U.S. Treasury Bonds 6.625%, 02/15/27 $ 7,430 9,012 U.S. Treasury Notes 5.750%, 11/30/02 1,000 1,051 6.625%, 05/15/07 22,840 26,279 U.S. Treasury Bills 3.945%, 11/12/98 13,400 13,337 -------- Total U.S. Treasury Obligations (Cost $48,357) 49,679 -------- 19 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 INTERNATIONAL FIXED INCOME FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT--4.4% State Street Bank 4.75%, dated 09/30/98, matured 10/01/98, repurchase price $23,925,156 (collateralized by U.S. Treasury Note, par value $22,805,000, 06/30/01, 6.625%, market value $24,401,350) $23,922 $ 23,922 -------- Total Repurchase Agreement (Cost $23,922) 23,922 -------- Total Investments -- 100.0% (Cost $516,465) $546,057 ======== (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. BTAN -- BONS DU TRESOR A TAUX FIXE ET A INTERET ANNUEL OAT -- OBLIGATIONS ASSIMILABLES DE TRESOR THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS DEBT FUND FOREIGN BONDS -- 95.3% ALGERIA -- 2.4% Republic of Algeria FRN Tranche 1 Restructured 7.250%, 09/04/06 3,000 1,260 Republic of Algeria FRN Tranche A Restructured 7.250%, 09/04/06 3,650 2,591 -------- 3,851 -------- ARGENTINA -- 10.8% Government of Argentina 11.750%, 02/12/07 ARS 6,250 4,376 11.375%, 01/30/17 10,250 9,392 Government of Argentina 144a (A) 11.750%, 02/12/07 ARS 2,750 1,925 Government of Argentina Bocon Previsional 1 14.800%, 04/01/01 ARS 671 506 Government of Argentina Bocon Proveedores 1 10.840%, 04/01/07 ARS 2,077 1,173 -------- 17,372 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- BRAZIL -- 12.1% Government of Brazil 9.375%, 04/07/08 2,500 $ 1,610 Government of Brazil FRN, Series EI 6.625%, 04/15/06 12,852 7,454 Government of Brazil FRN 6.688%, 04/15/12 1,875 935 Government of Brazil FRN, Series ZL 6.625%, 04/15/24 13,750 8,112 Government of Brazil PAR, Series ZL 5.500%, 04/15/24 2,350 1,363 -------- 19,474 -------- BULGARIA -- 4.3% Government of Bulgaria IAB, Series PDI 6.688%, 07/28/11 6,150 3,629 Republic of Bulgaria FLIRB, Series A 2.535%, 07/28/12 3,950 1,807 Republic of Bulgaria Discount Notes, Series A 6.688%, 07/28/24 2,250 1,406 -------- 6,842 -------- COLOMBIA -- 3.1% Republic of Colombia 7.250%, 02/15/03 1,300 1,034 Republic of Columbia 7.270%, 06/15/03 1,250 919 7.625%, 02/15/07 1,250 881 Republic of Columbia FRN 8.820%, 08/13/05 2,650 2,226 -------- 5,060 -------- CROATIA -- 2.8% Government of Croatia FRN, Series B 6.563%, 07/31/06 2,488 1,742 Government of Croatia FRN, Series A 6.563%, 07/31/10 4,000 2,720 -------- 4,462 -------- COSTA RICA -- 0.6% Government of Costa Rica, Series B 6.250%, 05/21/15 1,200 924 -------- 20 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- ECUADOR -- 4.5% Government of Ecuador Discount 6.625%, 02/28/25 1,750 $ 801 Government of Ecuador PAR 3.500%, 02/28/25 13,700 5,549 Government of Ecuador PDI 6.625%, 02/27/15 2,648 874 -------- 7,224 -------- IVORY COAST -- 1.2% Ivory Coast FLIRB 13.960%, 03/29/18 2,500 513 Ivory Coast PDI 11.410%, 03/29/18 5,184 1,400 -------- 1,913 -------- MEXICO -- 13.2% Government of Mexico Par Bonds, Series B 6.250%, 12/31/19 14,250 10,367 United Mexican States 11.500%, 05/15/26 1,675 1,591 Petroleos Mexicanos 9.250%, 03/30/18 3,750 2,850 United Mexican States 11.375%, 09/15/16 6,775 6,504 -------- 21,312 -------- PANAMA -- 4.3% Government of Panama 8.250%, 04/22/08 2,000 1,690 8.875%, 09/30/27 1,650 1,382 Government of Panama IRB 4.000%, 07/17/14 4,050 2,835 Government of Panama PDI 6.6875%, 07/17/16 1,352 940 -------- 6,847 -------- PERU -- 5.1% Republic of Peru FLIRB 3.250%, 03/07/17 14,125 6,250 Republic of Peru PDI 4.000%, 03/07/17 4,000 2,010 -------- 8,260 -------- - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- PHILIPPINES -- 5.5% Government of Philippines 8.750%, 10/07/16 500 $ 375 Government of Philippines, Series B 6.500%, 12/01/17 6,000 4,320 Government of Philippines Treasury Bond 8.875%, 04/15/08 5,000 4,239 -------- 8,934 -------- POLAND -- 2.6% Republic of Poland RSTA 3.750%, 10/27/24 6,000 4,155 -------- RUSSIA -- 6.7% Russian Government 11.750%, 06/10/03 11,150 2,513 8.750%, 07/24/05 5,850 1,032 Russian Government Principal Loans 6.625%, 12/15/20 44,900 2,654 Russian Government 12.750%, 06/24/28 21,950 4,522 Russian IAN FRN 6.625%, 12/15/15 805 62 Russian IAN FRN PIK* 0.000%, 12/15/15 487 38 -------- 10,821 -------- SOUTH KOREA -- 2.8% Korea Development Bank 7.900%, 02/01/02 1,625 1,324 6.625%, 11/21/03 1,750 1,379 Korea Export-Import Bank 7.250%, 06/25/01 1,750 1,531 6.500%, 02/10/02 385 325 -------- 4,559 -------- VENEZUELA -- 13.3% Government of Venezuela Par, Series B 6.750%, 03/31/20 2,000 1,310 Government of Venezuela 9.250%, 09/15/27 11,125 6,230 Government of Venezuela FLIRB, Series A 6.125%, 03/31/07 1,214 656 21 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 EMERGING MARKETS DEBT FUND--CONCLUDED - -------------------------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000) (1) VALUE (000) - -------------------------------------------------------------------------------- Government of Venezuela FRN 6.625%, 12/18/07 13,571 $ 7,668 Government of Venezuela 13.625%, 08/15/18 8,650 5,579 Government of Venezuela Par Rights* 0.000%, 04/15/20 10 -- -------- 21,443 -------- Total Foreign Bonds (Cost $192,850) 153,453 -------- LOAN PARTICIPATION -- 4.7% Morocco R&C Loan FRN, Tranche A 6.656%, 01/01/09 10,400 7,644 -------- Total Loan Participation (Cost $8,577) 7,644 -------- Total Investments -- 100.0% (Cost $201,427) $161,097 ======== * 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. ARS -- ARGENTINA PESO FLIRB -- FRONT LOADED INTEREST REDUCTION BOND FRN -- FLOATING RATE NOTE IAB -- INTEREST ACCRUAL BOND 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 NOTED. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 STATEMENT OF ASSETS AND LIABILITIES (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
------------- -------- INTERNATIONAL EMERGING FIXED MARKETS INCOME DEBT ------------- -------- ASSETS: Investment securities (Cost $516,465 and $201,427, respectively) $546,057 $161,097 Foreign currency (Cost $784 and $62, respectively) 774 62 Interest receivable 12,308 6,201 Unrealized gain on forward foreign currency contracts 1,248 -- Receivable for investment securities sold 18,749 33,259 Receivable for shares of beneficial interest sold 1,958 1,089 Other assets 90 45 -------- -------- Total Assets 581,184 201,753 -------- -------- LIABILITIES: Payable for foreign currency purchased 16,793 -- Payable for investment securities purchased 20,307 25,594 Payable for shares of beneficial interest redeemed 8,829 10,491 Payable to affiliates 535 218 Other liabilities 920 2,512 -------- -------- Total Liabilities 47,384 38,815 -------- -------- Net Assets $533,800 $162,938 ======== ======== NET ASSETS: Portfolio shares of Class A (unlimited authorization -- no par value) based on 44,897,560 and 23,851,661 outstanding shares of beneficial interest, respectively 480,860 223,239 Undistributed net investment income 16,224 11,996 Accumulated net realized gain (loss) on investments 5,396 (31,967) Net unrealized appreciation (depreciation) on investments 29,592 (40,330) Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 1,728 -- -------- -------- Net Assets $533,800 $162,938 ======== ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $11.89 $6.83 ======== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 23 STATEMENT OF OPERATIONS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST-- FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND THE YEAR ENDED FEBRUARY 28, 1998
------------------- ---------------------- ------------------- EMERGING INTERNATIONAL INTERNATIONAL MARKETS FIXED EQUITY EQUITY INCOME ------------------- ---------------------- ------------------- 3/1/98- 2/28/97- 3/1/98- 2/28/97- 3/1/98- 2/28/97- 9/30/98 2/28/98 9/30/98 2/28/98 9/30/98 2/28/98 ------------------- ---------------------- ------------------- INVESTMENT INCOME: Dividends $ 15,411 $16,018 $ 9,991 $ 5,657 $ -- $ -- Interest 2,841 2,138 1,098 1,253 12,595 14,809 Less: Foreign Taxes Withheld (1,585) (1,474) (362) (610) (16) (84) ---------- ------- ---------- --------- ------- ------- Total Investment Income 16,667 16,682 10,727 6,300 12,579 14,725 ---------- ------- ---------- --------- ------- ------- EXPENSES: Management fees 2,644 2,975 2,016 2,180 1,637 1,795 Less: Management fees waived -- -- -- -- -- (11) Investment advisory fees 2,968 3,338 3,256 3,522 819 898 Less: Investment advisory fees waived (411) (619) (896) (1,180) (136) (150) Shareholder servicing fees 1,469 1,652 775 839 682 748 Less: Shareholder servicing fees waived -- -- -- (192) (462) (540) Custodian/wire agent fees 391 466 743 1,167 109 144 Professional fees 48 13 24 18 24 11 Registration & filing fees 89 113 81 140 36 62 Printing fees 32 7 24 10 8 9 Trustee fees 14 28 9 15 8 12 Pricing fees 6 14 6 13 6 13 Distribution fees 1 1 -- -- -- -- Amortization of deferred organization costs -- -- 1 2 3 6 Miscellaneous expenses 13 12 9 7 5 6 ---------- ------- ---------- --------- -------- ------- Total Expenses 7,264 8,000 6,048 6,541 2,739 3,003 ---------- ------- ---------- -------- ------- ------- NET INVESTMENT INCOME 9,403 8,682 4,679 (241) 9,840 11,722 ---------- ------- ---------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Security transactions 44,323 (4,291) (146,444) (26,146) 5,777 2,697 Futures contracts 12,624 (5,435) -- -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (2,404) 4,310 (1,510) (2,534) 7,250 (8,722) 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 (6,248) 5,259 (302) 9 3,174 (2,725) Net change in unrealized appreciation (depreciation) on investments (171,208) 60,622 (127,954) (38,411) 28,366 8,742 ---------- ------- ---------- --------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(113,510) $69,147 $(271,531) $(67,323) $54,407 $11,714 ========== ======= ========== ========= ======= =======
-------------------- EMERGING MARKETS DEBT -------------------- 3/1/98- 2/28/97- 9/30/98 2/28/98 -------------------- INVESTMENT INCOME: Dividends $ -- $ -- Interest 11,387 5,433 Less: Foreign Taxes Withheld -- -- --------- ------ Total Investment Income 11,387 5,433 --------- ------ EXPENSES: Management fees 637 374 Less: Management fees waived (33) (64) Investment advisory fees 833 489 Less: Investment advisory fees waived (275) (149) Shareholder servicing fees 245 144 Less: Shareholder servicing fees waived (171) (127) Custodian/wire agent fees 31 28 Professional fees 6 6 Registration & filing fees 27 48 Printing fees 7 6 Trustee fees 5 2 Pricing fees 6 9 Distribution fees -- -- Amortization of deferred organization costs 2 14 Miscellaneous expenses 2 1 --------- ------ Total Expenses 1,322 781 --------- ------ NET INVESTMENT INCOME 10,065 4,652 ---------- ------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Security transactions (29,101) (2,866) Futures contracts -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (1) (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 -- -- Net change in unrealized appreciation (depreciation) on investments (42,403) 2,073 -------- ------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(61,440) $3,883 ======== ====== AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 24 STATEMENT OF CHANGES IN NET ASSETS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY 28
-------------------------------- ------------------------------- INTERNATIONAL EMERGING MARKETS EQUITY EQUITY --------------------------------- ------------------------------- 3/1/98- 2/28/97- 2/28/96- 3/1/98- 2/28/97- 2/28/96- 9/30/98 2/28/98 2/28/97 9/30/98 2/28/98 2/28/97 --------------------------------- ------------------------------- OPERATIONS: Net investment income $ 9,403 $ 8,682 $ 5,137 $ 4,679 $ (241) $ (55) Net realized gain (loss) from investment transactions 56,947 (9,726) 47,383 (146,444) (26,146) 331 Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (2,404) 4,310 (531) (1,510) (2,534) (457) 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 (6,248) 5,259 81 (302) 9 14 Net change in unrealized appreciation (depreciation) on investments (171,208) 60,622 (26,307) (127,954) (38,411) 27,462 -------- -------- -------- -------- -------- -------- Net increase (decrease) in net assets from operations (113,510) 69,147 25,763 (271,531) (67,323) 27,295 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS FROM: Net investment income: Class A -- (13,649) (3,619) -- (1,039) (297) Class D -- (4) (1) -- -- -- Net realized gains: Class A -- (19,564) (37,589) -- (284) (121) Class D -- (6) (14) -- -- -- -------- -------- -------- -------- -------- -------- Total distributions -- (33,223) (41,223) -- (1,323) (418) -------- -------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS (1): Class A: Shares issued in merger -- -- 150,364 -- -- -- Proceeds from shares issued 445,665 485,986 333,733 361,528 421,404 163,899 Reinvestment of cash distributions -- 25,961 31,663 -- 1,122 383 Cost of shares redeemed (217,039) (220,367) (277,258) (101,275) (65,606) (36,866) Cost of shares redeemed in-kind -- -- (46,630) -- -- -- -------- -------- -------- -------- -------- -------- Increase in net assets from Class A transactions 228,626 291,580 191,872 260,253 356,920 127,416 -------- -------- -------- -------- -------- -------- Class D: Proceeds from shares issued 128 150 183 -- -- -- Reinvestment of cash distributions -- 10 15 -- -- -- Cost of shares redeemed (50) (59) (216) -- -- -- -------- -------- -------- -------- -------- -------- Increase in net assets from Class D transactions 78 101 (18) -- -- -- -------- -------- -------- -------- -------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 228,704 291,681 191,854 260,253 356,920 127,416 -------- -------- -------- -------- -------- -------- Net increase (decrease) in net assets 115,194 327,605 176,394 (11,278) 288,274 154,293 NET ASSETS: Beginning of period 851,844 524,239 347,845 509,748 221,474 67,181 -------- -------- -------- -------- -------- -------- End of period $967,038 $851,844 $524,239 $498,470 $509,748 $221,474 ======== ======== ======== ======== ======== ======== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued in merger -- -- 14,954 -- -- -- Shares issued 42,475 49,078 32,925 44,898 36,760 14,081 Shares issued in lieu of cash distributions -- 2,802 3,215 -- 112 34 Shares redeemed (20,820) (22,162) (27,199) (12,415) (5,763) (3,052) Shares redeemed in-kind -- -- (4,462) -- -- -- -------- -------- -------- -------- -------- -------- Total Class A transactions 21,655 29,718 19,433 32,483 31,109 11,063 -------- -------- -------- -------- -------- -------- Class D: Shares issued 12 16 18 -- -- -- Shares issued in lieu of cash distributions -- 1 1 -- -- -- Shares redeemed (5) (6) (21) -- -- -- -------- -------- -------- -------- -------- -------- Total Class D transactions 7 11 (2) -- -- -- -------- -------- -------- -------- -------- -------- Net increase in capital shares 21,662 29,729 19,431 32,483 31,109 11,063 ======== ======== ======== ======== ======== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 25 STATEMENT OF CHANGES IN NET ASSETS (000) - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY 28
------------------------------- -------------------- INTERNATIONAL EMERGING MARKETS FIXED INCOME DEBT (2) ------------------------------- -------------------- 3/1/98- 2/28/97- 2/28/96- 3/1/98- 6/29/97- 9/30/98 2/28/98 2/28/97 9/30/98 2/28/98 ------------------------------- -------------------- OPERATIONS: Net investment income $ 9,840 $ 11,722 $ 5,803 $ 10,065 $ 4,652 Net realized gain (loss) from investment transactions 5,777 2,697 2,409 (29,101) (2,866) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 7,250 (8,722) (1,329) (1) (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 3,174 (2,725) 710 -- -- Net change in unrealized appreciation (depreciation) on investments 28,366 8,742 (6,069) (42,403) 2,073 -------- -------- -------- -------- -------- Net increase (decrease) in net assets from operations 54,407 11,714 1,524 (61,440) 3,833 -------- -------- -------- -------- -------- DISTRIBUTIONS FROM: Net investment income: Class A -- (2,928) (6,286) -- (2,694) Class D -- -- -- -- -- Net realized gains: Class A -- (3,022) (1,238) -- -- Class D -- -- -- -- -- -------- -------- -------- -------- -------- Total distributions -- (5,950) (7,524) -- (2,694) -------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS (1): Class A: Shares issued in merger -- -- -- -- -- Proceeds from shares issued 169,657 271,882 146,550 108,932 160,754 Reinvestment of cash distributions -- 5,305 6,287 -- 2,651 Cost of shares redeemed (99,238) (78,196) (26,936) (38,838) (10,260) Cost of shares redeemed in-kind -- -- -- -- -- -------- -------- -------- -------- -------- Increase in net assets from Class A transactions 70,419 198,991 125,901 70,094 153,145 -------- -------- -------- -------- -------- Class D: Proceeds from shares issued -- -- -- -- -- Reinvestment of cash distributions -- -- -- -- -- Cost of shares redeemed -- -- -- -- -- -------- -------- -------- -------- -------- Increase in net assets from Class D transactions -- -- -- -- -- -------- -------- -------- -------- -------- INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 70,419 198,991 125,901 70,094 153,145 -------- -------- -------- -------- -------- Net increase (decrease) in net assets 124,826 204,755 119,901 8,654 154,284 NET ASSETS: Beginning of period 408,974 204,219 84,318 154,284 -- -------- -------- -------- -------- -------- End of period $533,800 $408,974 $204,219 $162,938 $154,284 ======== ======== ======== ======== ======== (1) CAPITAL SHARE TRANSACTIONS: Class A: Shares issued in merger -- -- -- -- -- Shares issued 15,600 25,735 13,451 13,614 15,725 Shares issued in lieu of cash distributions -- 504 570 -- 263 Shares redeemed (8,988) (7,344) (2,464) (4,725) (1,025) Shares redeemed in-kind -- -- -- -- -- -------- -------- -------- -------- -------- Total Class A transactions 6,612 18,895 11,557 8,889 14,963 -------- -------- -------- -------- -------- Class D: Shares issued -- -- -- -- -- Shares issued in lieu of cash distributions -- -- -- -- -- Shares redeemed -- -- -- -- -- -------- -------- -------- -------- -------- Total Class D transactions -- -- -- -- -- -------- -------- -------- -------- -------- Net increase in capital shares 6,612 18,895 11,557 8,889 14,963 ======== ======== ======== ======== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. (2) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 26 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND FOR THE YEARS 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 BEGINNING INVESTMENT UNREALIZED INVESTMENT REALIZED CAPITAL RETURN VALUE END TOTAL OF PERIOD INCOME/(LOSS) GAINS/(LOSSES) INCOME (5) GAINS OF CAPITAL OF PERIOD RETURN - -------------------------------------------------------------------------------------------------------------------------------- - -------------------- INTERNATIONAL EQUITY - -------------------- CLASS A For the seven month period ended September 30: 1998(6) $10.15 $ 0.07 $(1.06) $ -- $ -- $ -- $ 9.16 (9.75)%* For the years ended February 28: 1998(6) 9.67 0.17 0.77 (0.18) (0.28) -- 10.15 10.21 1997 10.00 0.09 0.47 (0.07) (0.82) -- 9.67 5.70 1996 9.59 0.14 1.45 (0.19) (0.99) -- 10.00 17.30 1995 11.00 0.15 (0.97) -- (0.59) -- 9.59 (7.67) 1994 8.93 0.13 2.05 (0.11) -- -- 11.00 24.44 CLASS D For the seven month period ended September 30: 1998(6) $10.06 $ 0.06 $(1.05) $ -- $ -- $ -- $ 9.07 (9.84)%* For the years ended February 28: 1998(6) 9.58 0.15 0.77 (0.16) (0.28) -- 10.06 9.92 1997 9.93 0.05 0.47 (0.05) (0.82) -- 9.58 5.39 1996 9.56 0.04 1.50 (0.18) (0.99) -- 9.93 16.77 1995(1) 10.81 0.01 (0.67) -- (0.59) -- 9.56 (6.33)* - ----------------------- EMERGING MARKETS EQUITY - ----------------------- CLASS A For the seven month period ended September 30: 1998 $10.55 $ 0.07 $(4.45) -- $ -- $ -- $ 6.17 (41.52)%* For the years ended February 28: 1998 12.87 (0.03) (2.25) (0.03) (0.01) -- 10.55 (17.72) 1997 10.93 0.01 1.96 (0.02) (0.01) -- 12.87 18.02 1996 10.27 (0.02) 0.72 -- (0.04) -- 10.93 6.83 1995(2) 10.00 0.01 0.26 -- -- -- 10.27 2.70* - -------------------------- INTERNATIONAL FIXED INCOME - -------------------------- CLASS A For the seven month period ended September 30: 1998 $10.68 $ 0.40 $ 0.81 $ -- $ -- $ -- $11.89 11.33%* For the years ended February 28: 1998 10.53 0.23 0.11 (0.10) (0.09) -- 10.68 3.23 1997 10.77 0.71 (0.49) (0.38) (0.08) -- 10.53 1.85 1996 10.42 0.58 0.89 (1.02) (0.10) -- 10.77 13.96 1995 10.23 0.43 0.40 (0.62) (0.02) -- 10.42 8.43 1994(3) 10.00 0.14 0.18 (0.09) -- -- 10.23 6.41* - --------------------- EMERGING MARKETS DEBT - --------------------- CLASS A For the seven month period ended September 30: 1998 $10.31 $(0.11) $(3.37) $ -- $ -- $ -- $ 6.83 (33.75)%* For the year ended February 28: 1998(4) 10.00 0.56 -- (0.25) -- -- 10.31 5.64*
RATIO OF RATIO OF NET INVESTMENT RATIO OF EXPENSES INCOME/(LOSS) RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE NET ASSETS EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE - --------------------------------------------------------------------------------------------------- - -------------------- INTERNATIONAL EQUITY - -------------------- CLASS A For the seven month period ended September 30: 1998(6) $966,707 1.24%(DAGGER) 1.60%(DAGGER) 1.31%(DAGGER) 1.53%(DAGGER) 66% For the years ended February 28: 1998(6) 851,542 1.21 1.31 1.30 1.22 75 1997 524,062 1.28 1.11 1.42 0.97 117 1996 347,646 1.25 1.29 1.29 1.25 102 1995 328,503 1.19 1.30 1.21 1.28 64 1994 503,498 1.10 1.46 1.24 1.32 19 CLASS D For the seven month period ended September 30: 1998(6) $331 1.39%(DAGGER) 1.36%(DAGGER) 1.46%(DAGGER) 1.29%(DAGGER) 66% For the years ended February 28: 1998(6) 302 1.36 1.16 1.45 1.07 75 1997 177 1.55 0.71 1.65 0.61 117 1996 199 1.65 0.58 1.90 0.33 102 1995(1) 51 1.47 0.42 1.48 0.41 64 - ----------------------- EMERGING MARKETS EQUITY - ----------------------- CLASS A For the seven month period ended September 30: 1998 $498,470 1.95%(DAGGER) 1.51%(DAGGER) 2.24%(DAGGER) 1.22%(DAGGER) 46% For the years ended February 28: 1998 509,748 1.95 (0.12) 2.36 (0.53) 76 1997 221,474 1.95 (0.04) 2.55 (0.64) 100 1996 67,181 1.95 (0.23) 2.72 (1.00) 104 1995(2) 5,300 1.95 1.79 4.98 (1.24) -- - -------------------------- INTERNATIONAL FIXED INCOME - -------------------------- CLASS A For the seven month period ended September 30: 1998 $533,800 1.00%(DAGGER) 3.61%(DAGGER) 1.21%(DAGGER) 3.40%(DAGGER) 112% For the years ended February 28: 1998 408,974 1.00 3.92 1.24 3.68 280 1997 204,219 1.00 3.99 1.39 3.60 352 1996 84,318 1.00 4.70 1.27 4.43 269 1995 42,580 1.00 4.68 1.30 4.38 303 1994(3) 23,678 1.00 3.81 1.61 3.20 126 - --------------------- EMERGING MARKETS DEBT - --------------------- CLASS A For the seven month period ended September 30: 1998 $162,938 1.35%(DAGGER) 10.28%(DAGGER) 1.84%(DAGGER) 9.79%(DAGGER) 186% For the year ended February 28: 1998(4) 154,284 1.35 8.05 1.94 7.46 269
(DAGGER) ANNUALIZED. *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. AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 27 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 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 Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund (together the "Funds"). The Trust's prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The Trust is registered to offer Class A_shares of each of the Funds and Class D shares of the International Equity Fund. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The policies are in conformity with 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 Fund 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 Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a daily basis by dividing the assets of each Fund less its liabilities by the number of outstanding shares of the Fund. 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 Funds 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 Fund may be delayed or limited. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following 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. 28 - -------------------------------------------------------------------------------- For foreign equity securities, the Funds do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations for Federal income tax purposes. The Funds report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, portfolio positions or anticipated portfolio positions. The aggregate principal amounts of the contracts are not recorded as the Funds 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 Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. FUTURES CONTRACTS -- The International Equity Fund utilized futures contracts during the period ended September 30, 1998. The Fund's investment in these futures contracts is designed to enable the Fund 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 Fund 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 Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds 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, $69,000 and $402,000 was reclassified from accumulated net realized gain on investments to undistributed net investment income in the International Equity and Emerging Markets Equity Funds, respectively. The Emerging Markets Equity Fund also reclassed $42,000 from undistributed net investment income to paid in capital relating to current year net operating loss. The International Equity Fund also utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. Accordingly, the International Equity Fund reclassed $856,000 and $4,245,000 from undistributed net investment income and accumulated net realized gains on investments respectively, 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: 29 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 (000) ---------- International Equity Fund $(2,404) Emerging Markets Equity Fund (1,510) International Fixed Income Fund 7,250 Emerging Markets Debt Fund (1) These reclassifications have no effect on net assets or net asset value per share. OTHER -- Security transactions are reported for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of investment securities are those of the specific securities sold. Purchase discounts and premiums on securities held by the Funds are accreted and amortized to maturity using the scientific interest method, which approximates the effective interest method._Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS SEI Investments Fund Management (the "Manager") and the Trust are parties to a management agreement dated September 30, 1988, under which the Manager provides management, administrative and shareholder services to the Fund for an annual fee equal to .45% of the average daily net assets of the_International Equity Fund, .60% of the average daily net assets of the International Fixed Income Fund, and .65% of the average daily net assets of the Emerging Markets Equity and Emerging Markets Debt Funds. 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 Fund. SEI Investments Management Corporation ("SIMC") acts as the investment adviser for the_International Equity, Emerging Markets Equity and Emerging Markets Debt Funds. Under the Investment Advisory Agreement, SIMC receives an annual fee of .505% of the average daily net assets of the_International Equity Fund, 1.05% of the average daily net assets of the Emerging Markets Equity Fund, and .85% of the average daily net assets of the Emerging Markets Debt Fund. As of September 30, 1998, pursuant to Sub-Advisory Agreements with SIMC, Acadian Asset Management, Inc., Capital Guardian Trust Company, Scottish Widows Investment Management Ltd., and SG Pacific Asset Management Inc. (formally Yamaichi Capital Management, Inc.) serve as Sub-Advisers to the International Equity Fund, and Parametric Fund Associates, SG Pacific Asset Management Inc. (formally Yamaichi Capital Management. Inc.), Morgan Stanley Asset Management Inc., Nicholas-Applegate Capital Management Inc., Coronation Asset Management (Proprietary) Limited, and Credit Suisse Asset Management Limited serve as Sub-Advisers to the Emerging Markets Equity Fund. Salomon Brothers Asset Management, Inc. serves as the Sub-Adviser to the Emerging Markets Debt Fund. Strategic Fixed Income, LLC, the Adviser for the International Fixed Income Fund, is a party to an investment advisory agreement with the Trust dated June 15, 1993. Under the investment advisory agreement, Strategic Fixed Income, LLC., receives an annual fee of up to .30% of the average daily net assets of the Fund. Strategic Fixed Income, LLC., 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 Fund. SEI Investments Distribution Co. (the "Distributor"), a wholly-owned subsidiary of SEI Investments and a registered broker-dealer, serves as each Fund'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 Fund 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 September 30, 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 30 - -------------------------------------------------------------------------------- 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 period ended September 30, 1998, the Funds paid commissions of $383,645 to affiliated broker-dealers. 4. ORGANIZATIONAL COSTS Organizational costs have been capitalized by the Funds 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 Fund acquired by the Manager are redeemed during the period that the Fund is amortizing its organizational costs, the redemption proceeds payable to the Manager by the Fund will be reduced by an amount equal to a pro-rata portion of the unamortized organizational costs. 5. FORWARD FOREIGN CURRENCY CONTRACTS The Funds 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 Fund'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 September 30, 1998: IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - --------------- ---------------- ------------ -------------- INTERNATIONAL EQUITY FUND - ------------------------- FOREIGN CURRENCY SALES: 10/2/98 NG 82,800 $ 43,868 $ (103) --------------- -------- FOREIGN CURRENCY PURCHASES: 10/7/98 HD 3,688,176 476,041 (43) 10/1/98-10/5/98 UK 1,992,810 $ 3,389,833 $ (6,443) --------------- -------- $ 3,865,874 $ (6,486) --------------- -------- $ (6,589) ========= INTERNATIONAL FIXED INCOME FUND - ------------------------------- FOREIGN CURRENCY SALES: 12/29/98 AD 31,459,787 $ 18,881,116 $ 238,720 12/8/98-12/29/98 CD 11,446,122 7,523,327 18,165 10/9/98-12/29/98 CH 77,766,482 56,645,654 (130,924) 12/29/98 DK 34,676,421 5,270,714 (200,894) 10/9/98-12/29/98 DM 227,138,345 135,153,278 (1,273,980) 12/29/98 FF 271,911,863 48,482,477 (283,378) 12/29/98 IT 67,932,703,958 40,921,266 (308,315) 10/9/98-12/29/98 JY 18,198,283,980 136,579,788 2,289,356 12/29/98 ND 36,010,555 18,583,223 571,642 12/29/98 NK 14,799,657 1,945,148 (44,170) 12/8/98-12/29/98 SK 152,709,256 19,342,827 (183,559) 2/29/98 SP 1,343,070,277 9,392,100 (98,826) 10/9/98-12/29/98 UK 99,864,828 167,272,285 1,749,449 ------------ ----------- $665,993,203 $ 2,343,286 ------------ ----------- IN UNREALIZED MATURITY CONTRACTS TO EXCHANGE APPRECIATION DATES DELIVER/RECEIVE FOR (DEPRECIATION) - --------------------- -------------- ------------ ------------ FOREIGN CURRENCY PURCHASES: 12/29/98 AD 9,307,907 $ 5,578,459 $ (62,793) 12/29/98 BF 516,425,547 15,049,338 (47,378) 10/9/98-12/29/98 CD 15,711,858 10,448,879 (146,282) 10/9/98/12/29/98 CH 91,766,939 66,917,311 (12,037) 12/29/98 DK 34,048,050 5,324,167 48,289 10/9/98-12/29/98 DM 390,748,443 232,464,774 2,433,929 12/29/98 FF 120,639,986 21,443,296 192,803 10/9/98-12/29/98 IT 86,775,281,046 52,063,314 558,646 10/9/98-12/29/98 JY 20,419,543,967 154,818,837 (3,851,866) 12/29/98 NG 14,129,980 7,475,587 66,733 12/29/98 NK 14,799,657 1,956,591 32,726 12/29/98 SK 24,288,235 3,074,071 31,789 12/29/98 SP 1,155,876,750 8,117,112 50,994 10/9/98-12/29/98 UK 71,432,786 119,946,097 (390,609) ------------ ----------- $704,677,833 $(1,095,056) ============ ----------- $ 1,248,230 =========== 31 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998 CURRENCY LEGEND AD Australian Dollar HD Hong Kong Dollar BF Belgian Franc JY Japanese Yen CD Canadian Dollar ND New Zealand Dollar CH Swiss Franc NG Netherlands Guilder DK Danish Kroner NK Norwegian Kroner DM German Mark SK Swedish Krona FF French Franc SP Spanish Peseta IT Italian Lira UK British Pounds Sterling 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 September 30, 1998, were as follows: PURCHASES SALES (000) (000) ---------- ---------- International Equity Fund $890,620 $590,171 Emerging Markets Equity Fund 487,834 231,193 International Fixed Income Fund 565,767 478,333 Emerging Markets Debt Fund 365,878 284,055 The International Fixed Income Fund purchased $258,009,305 and sold $176,779,982 in U.S. government securities, during the period ended September 30, 1998. For Federal income tax purposes, the cost of securities owned at September 30, 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 September 30, 1998 for the Funds 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 Fund $39,773 $(138,031) $(98,258) $-- $(98,258) Emerging Markets Equity Fund 15,673 (153,472) (137,999) -- (137,999) International Fixed Income Fund 31,335 (1,743) 29,592 -- 29,592 Emerging Markets Debt Fund 4,350 (44,710) (40,330) -- (40,330)
The Funds also had capital loss carry-forwards at September 30, 1998, that can be used to offset future capital gains. EXPIRATION (000) DATE --------- ------------------ Emerging Markets Equity $164,403 09/30/05-09/30/06 Emerging Markets Debt $25,723 09/30/05-09/30/06 7. FUTURES CONTRACTS The International Equity Fund had futures contracts open as of September 30, 1998:
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - ------------------ ------------ ------------- -------------- ------------- Australia Ords Index 2 2,514 December 1998 1,197 Australia Ords Index 1 2,512 December 1998 1,062 Australia Ords Index 2 2,555 December 1998 781 Australia Ords Index 2 2,554 December 1998 811 Australia Ords Index 1 2,637 December 1998 0 Australia Ords Index 2 2,619 December 1998 (235) Australia Ords Index 1 2,625 December 1998 (777) CAC 40 Index 19 3,609 December 1998 (58,328) CAC 40 Index 11 3,706 December 1998 (40,301) CAC 40 Index 19 3,735 December 1998 (80,313) CAC 40 Index 16 3,714 December 1998 (64,662) CAC 40 Index 2 3,529 December 1998 (4,644) CAC 40 Index 4 3,425 December 1998 (6,261) CAC 40 Index 7 3,550 December 1998 (19,168) CAC 40 Index 24 3,333 December 1998 (22,816) CAC 40 Index 5 3,316 December 1998 (3,395) CAC 40 Index 2 3,319 December 1998 (1,641) DAX Index 3 4,670 December 1998 (32,445) DAX Index 2 4,945 December 1998 (48,952) DAX Index 2 4,945 December 1998 (48,952) DAX Index 3 4,953 December 1998 (83,165) DAX Index 1 4,780 December 1998 (16,713) DAX Index 1 4,840 December 1998 (22,425) DAX Index 4 4,555 December 1998 (26,794) DAX Index 1 4,530 December 1998 (5,154) 32 CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS) - ------------------ ------------ ------------- -------------- ------------- FT-SE 100 Index 15 5,105 December 1998 21,914 FT-SE 100 Index 9 5,270 December 1998 (8,490) FT-SE 100 Index 14 5,274 December 1998 (14,145) FT-SE 100 Index 11 5,324 December 1998 (18,579) FT-SE 100 Index 3 5,180 December 1998 594 FT-SE 100 Index 3 5,080 December 1998 5,676 FT-SE 100 Index 5 5,365 December 1998 (16,759) FT-SE 100 Index 19 5,180 December 1998 (14,546) FT-SE 100 Index 3 5,135 December 1998 (615) FT-SE 100 Index 1 5,140 December 1998 75 Hang Seng Index 2 7,245 October 1998 6,209 Hang Seng Index 1 7,350 October 1998 2,401 Hang Seng Index 2 7,475 October 1998 3,211 Hang Seng Index 1 7,400 October 1998 2,090 Hang Seng Index 1 6,980 October 1998 4,804 Hang Seng Index 1 7,490 October 1998 1,513 Hang Seng Index 2 7,400 October 1998 4,183 IBEX 35 Index 7 7,800 October 1998 $(5,837) IBEX 35 Index 5 7,736 October 1998 (1,940) IBEX 35 Index 2 7,955 October 1998 (2,954) IBEX 35 Index 9 7,855 October 1998 (11,729) IBEX 35 Index 1 7,555 October 1998 961 IBEX 35 Index 1 8,202 October 1998 (3,978) IBEX 35 Index 9 7,585 October 1998 545 IBEX 35 Index 1 7,950 October 1998 (2,439) NIKKEI 225 Index 16 14,025 December 1998 (49,452) NIKKEI 225 Index 18 14,370 December 1998 (102,926) NIKKEI 225 Index 11 13,960 December 1998 (36,837) NIKKEI 225 Index 24 14,300 December 1998 (93,391) NIKKEI 225 Index 1 13,600 December 1998 (2,085) NIKKEI 225 Index 2 13,700 December 1998 (4,454) NIKKEI 225 Index 4 14,090 December 1998 (11,120) NIKKEI 225 Index 19 14,050 December 1998 (52,929) NIKKEI 225 Index 6 13,950 December 1998 (17,625) NIKKEI 225 Index 2 13,770 December 1998 (2,939) ----------- $(1,004,883) ===========
8. CONCENTRATION OF RISKS Each Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The International Fixed Income Fund 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 Fund 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 Fund (the "Fund") invests in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. The Fund may have difficulty disposing of Participations and Assignments 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. 33 REPORT OF INDEPENDENT ACCOUNTANTS - -------------------------------------------------------------------------------- To the Shareholders and Board of Trustees of SEI Institutional International Trust In our opinion, the accompanying statements of net assets of the International Equity Fund and Emerging Markets Equity Fund and the statements of assets and liabilities, including the schedules of investments, of the International Fixed Income Fund and Emerging Markets Debt Fund, 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 the International Equity, Emerging Markets Equity, International Fixed Income, and Emerging Markets Debt Funds (constituting SEI Institutional International Trust, hereafter referred to as the "Trust") at September 30, 1998 and the results of each of their operations, the changes in 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 September 30, 1998 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania October 30, 1998 34 NOTICE TO SHAREHOLDERS - -------------------------------------------------------------------------------- SEI INSTITUTIONAL INTERNATIONA TRUST--SEPTEMBER 30, 1998 For shareholders that do not have a September 30, 1998 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 1998 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 1998 the Portfolios of the SEI Institutional Trust are designating the following items with regard to distributions paid during the year.
LONG TERM ORDINARY CAPITAL GAINS INCOME (A) DISTRIBUTIONS DISTRIBUTIONS FOREIGN PORTFOLIO (TAX BASIS) (TAX BASIS) TOTAL TAX CREDIT - ---------- ------------- ------------- ----- ---------- International Equity 45% 55% 100% 30% Emerging Markets Equity 0% 0% 0% 0% International Fixed Income 0% 0% 0% 0% Emerging Markets Debt 0% 0% 0% 0%
*ITEMS (A) IS BASED ON A PERCENTAGE OF ORDINARY INCOME OF EACH FUND. 35 NOTES - -------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST - -------------------- ANNUAL REPORT - -------------------- SEPTEMBER 30, 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 Kathy Heilig VICE PRESIDENT, ASSISTANT SECRETARY Joseph M. O'Donnell VICE PRESIDENT, ASSISTANT SECRETARY Cynthia M. Parrish 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 LLC EMERGING MARKETS DEBT PORTFOLIO SEI Investments Management Corporation MANAGER AND SHAREHOLDER SERVICING AGENT SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers 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 (LOGO) [GRAPHICOMITTED] INVESTMENTS DISTRIBUTION CO. Oaks, PA19456-1100 800-DIAL-SEI/800-342-5734 SEI-F-018-08 -----END PRIVACY-ENHANCED MESSAGE-----