-----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, ROtYTy83k0FMNOsYzN/Ukep/12XbiyEB0os0+dUIWMmluS3Xhu1QgQQzAk34ehh7 KVLpHvjn1pzyg7t8puXddA== 0000935069-99-000266.txt : 19991130 0000935069-99-000266.hdr.sgml : 19991130 ACCESSION NUMBER: 0000935069-99-000266 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990930 FILED AS OF DATE: 19991129 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: 99765698 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, 1999 SEI INSTITUTIONAL INTERNATIONAL TRUST - ------------------------------------------------------- International Equity Fund - ------------------------------------------------------- Emerging Markets Equity Fund - ------------------------------------------------------- International Fixed Income Fund - ------------------------------------------------------- Emerging Markets Debt Fund [LOGO OMITTED] The art of people. The science of results. 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 Statement of Net Assets/Schedules of Investments..................... 8 Statement of Assets and Liabilities.................................. 23 Statement of Operations.............................................. 24 Statement of Changes in Net Assets................................... 25 Financial Highlights................................................. 27 Notes to Financial Statements........................................ 28 Report of Independent Accountants.................................... 35 Notice to Shareholders............................................... 36 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 International Equity Fund OBJECTIVE. The International Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of non-U.S. issuers. STRATEGY. The International Equity Fund is diversified across a number of markets and includes commitments to large-cap and small-cap shares. Exposure is also maintained to the 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. The International Equity Fund was up more than 37% for the one year period ending September 1999. The Fund outperformed its benchmark, the MSCI EAFE Index, by more than 6.5%. The Fund's strong outperformance was broad based, with value being added through security selection, industry allocation and country allocation. The non-U.S. developed markets rallied over the past year as the economic outlook around the world improved. During the third and fourth quarters of 1998, there was widespread concern that many parts of the world were vulnerable to a severe economic downturn. However, as evidence mounted that the global economy was beginning to recover, financial markets rallied. The surge in equity prices was broad based with all but the Austrian market posting positive gains. The European equity markets rose more than 17%, while the Pacific Rim markets rose more than 70%. Some countries posted truly exceptional gains over the year. Japan was up almost 80%, Finland was up more than 90% and Singapore rose more than 120%. The Fund's specialist active managers were able to add significant value above the benchmark over the period. Several themes have been driving the Fund's stock selection and sector and country weightings. Corporate restructuring and industry consolidations, two trends prevalent in the United States during the 1980's and early 1990's, have taken hold globally. The Fund's positioning in stocks such as Broken Hill Proprietary in Australia, Sony Corporation in Japan, Carrefour in France, and Vodafone Airtouch in the UK were plays on this theme. - --------------------------------------------------------------------- INTERNATIONAL EQUITY - --------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN(1) - --------------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - --------------------------------------------------------------------- Institutional 37.86% 11.62% 9.75% 6.76% - --------------------------------------------------------------------- Class D, Synthetic 37.69%* 11.40%* 9.46% 8.76%* - --------------------------------------------------------------------- Class D, Synthetic, w/load 30.77%* 9.52%* 8.34% 7.73%* - --------------------------------------------------------------------- *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 [In the printed version, there appears a line graph with the following plot points depicted.] SEI International Equity Fund Morgan SEI International Class D Stanley Equity Fund, Synthetic, MSCI Class A w/Load EAFE Index ------- ------ ---------- $18,857 $17,644 $16,842 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 9/30/92 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 9/30/99 18,857 17,664 16,842 (1) For the period ended September 30, 1999. 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. 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 All have added significant value over the past year. The Fund has also been positioned for the acceleration in economic growth that occurred over the past year. Stocks such as LVMH in France, Cathay Pacific Airlines in Hong Kong, and Nippon Paper in Japan were plays on this theme. All contributed to the Fund's outperformance. Finally, the Fund has been positioned to take advantage of the increasing global demand for technology-related products and a consolidation in the telecommunications industry. Holdings such as France Telecom, Deutsche Telecom and Matsushita Electric were plays on this theme. Structurally, the Fund remains style neutral to the MSCI EAFE Index, and well diversified across all markets in the benchmark. Over the past year Oechsle International Advisors, LLC was added to the strategy. Oecshle will have a broad mandate to buy stocks across all the non-US developed markets. Oechsle employs an investment process designed to identify inefficiencies within and between international equity markets. Emerging Markets Equity Fund Objective. The Emerging Markets Equity Fund seeks to provide capital appreciation by investing primarily in a diversified portfolio of equity securities of emerging market issuers. Strategy. The Fund employs five money management specialists focusing on regions across Latin America, Asia, emerging Europe, South Africa, and global emerging 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 Global Emerging Markets manager is focused on bottom up fundamental analysis across all regions in emerging markets. Analysis. For the fiscal year ended September 30, 1999, the Emerging Markets Equity Fund returned 48.2%, underperforming its benchmark, which returned 56.6%. At the asset allocation level, the relative performance of the Fund was affected by the regional bets of the Global Emerging Markets manager. The Asian markets have led the recovery in emerging markets since the third quarter of 1998, however, the Fund was underweighted to Asia and overweighted to EMEA (Europe, Middle East and Africa) during the fourth quarter of 1998 and the first quarter of 1999. These regional and country bets have been driven by the manager's investment philosophy, which consists of bottom-up fundamental analysis. The strong performance of Asia has been dominated by stocks that benefited from increased liquidity and lower interest rates (real estate, banks, highly leveraged, or bankrupt companies). The manager's bottom-up fundamental analysis has identified companies with strong balance sheets, above average 2 - -------------------------------------------------------------------------------- - --------------------------------------------------------- EMERGING MARKETS EQUITY - --------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN(1) - --------------------------------------------------------- One Annualized Annualized Year 3 Year Inception Return Return to Date - --------------------------------------------------------- Emerging Markets Equity, Class A 48.23% -7.35% -1.68% - --------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI Emerging Markets Equity Fund, versus the IFC Investable Composite Index [In the printed version, there appears a line graph with the following plot points depicted.] Emerging Markets Morgan Stanley MSCI Equity Fund, Emerging Markets IFC Investible Class A Free Index Composite Index $9,116 $9,853 $10,171 ------ ------ ------- 1/31/95 10,000 10,000 10,000 9/30/95 10,651 10,755 10,669 9/30/96 11,464 11,316 11,592 9/30/97 12,662 12,060 12,207 9/30/98 6,150 6,295 6,496 9/30/99 9,116 9,853 10,171 (1) For the period ended September 30, 1999. Past performance is no indication of future performance. Class A Shares were offered beginning January 17, 1995. growth, and improving fundamentals that underperformed more speculative stocks during the liquidity driven recovery. Towards the end of the first quarter of 1999, the manager modified the asset allocation to an underweight to the EMEA region, and an overweight to Asia. At that point, the Global Emerging Market manager was able to identify positive fundamental change and more high quality growing companies in Asia. Within Asia, the country allocation has also been a detractor to performance. Based on the same fundamental reasons explained above, the Fund remained underweight to Korea and Indonesia during the fourth quarter of 1998 and first quarter of 1999. In Indonesia, concerns of social unrest and political uncertainty created a too risky environment to invest. During this first part of the Asian recovery, stock selection within Korea was particularly poor, as the Fund underweighted highly leverage firms in the Financial sector. Since then, the Fund has focused on high quality stocks of companies undergoing fundamental change and restructuring. These companies were expected to benefit from a long term recovery of these markets. Within Taiwan and Korea, the Fund has had an overweight to exporters, technology, and electronics. In India, the Fund has been overweighted to cyclicals and resources to take advantage of the domestic growth and the recovery of commodity prices. This strategy has represented a strong source of value added during the second and third quarter of 1999, as stock selection was positive in India, Korea, and Taiwan. Within Latin America, the Fund benefited from an overweight to the largest markets: Mexico and Brazil. Mexico has been one of the best performing markets, showing high growth potential and a sound macroeconomic environment. Brazil has been able to stabilize its currency and reduce interest rates after the devaluation of its currency in January of 1999. This area of emerging markets has been very strong for the Fund, as the specialist manager added value through both market allocation and stock selection. The long term strategy has been focused on identifying growing companies with healthy balance sheets operating within a sound macroeconomic environment. The recovery of the commodity prices also benefited the strategy, as the Fund remained overweighted to resources and oil throughout Latin America. Within Mexico, the Fund has had a bias towards retail and media, whereas in Brazil the focus has been on telecoms and utilities. 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Europe, Middle East, and Africa represented a difficult area for the Fund during 1998 and 1999. The asset allocation decision within that region has been affected by the high volatility of the Russian market, the relative valuation of Greece, and the unfortunate earthquake in Turkey. The Russian economy has benefited from the recovery of oil prices and the restructuring of the domestic debt. However, the fundamentals of the economy and the stock market remained weak throughout the last year. In addition, the political uncertainty surrounding the succession of Yeltsin added volatility to the market. These factors combined have made this market very difficult to analyze based on fundamental macroeconomic and company analysis. The other negative effect on the Fund has been the underweight to Greece since the beginning of 1999. The Fund has remained underweight to Greece based on the high valuation of this market compared to historical values, other emerging markets, and even other developed European markets. The rally of the Greek market has been driven by an increase in domestic liquidity and aggressive buying from domestic retail investors into the stock market. By contrast, stock selection in Greece has been a strong source of value added as the Fund exploited opportunities in the mid cap sector of the market where valuations were more attractive. The South African Market has been driven by the recovery of commodity prices and global growth. The specialist manager for South Africa participated in the rally of commodities with an overweight to diamonds and platinum, expecting higher demand from Japan and other Asian countries. Within the domestic environment, the manager focused on media and financials as interest rates decreased and the economic growth resumed. International Fixed Income Fund OBJECTIVE. The International Fixed Income Fund seeks to provide capital appreciation and current income through investments primarily in investment grade, non-U.S. dollar denominated government, corporate, mortgage-backed and asset-backed fixed income securities. 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. - --------------------------------------------------------------- INTERNATIONAL FIXED INCOME - --------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN(1) - --------------------------------------------------------------- One Annualized Annualized Annualized Year 3 Year 5 Year Inception Return Return Return to Date - --------------------------------------------------------------- Class A -1.36% 3.92% 6.85% 6.57% - --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI International Fixed Income Fund, versus the Salomon WGBI, Non-U.S., Unhedged [In the printed version, there appears a line graph with the following plot points depicted.] SEI International Fixed Fund, Salomon WGBI, Class A Non-U.S. $14,390 $14,368 ------- ------- 9/30/93 10,000 10,000 9/30/93 10,000 10,000 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 9/30/99 14,390 14,368 (1) For the period ended September 30, 1999. Past performance is no indication of future performance. Class A Shares were offered beginning September 1, 1993. 4 - -------------------------------------------------------------------------------- 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. ANALYSIS: For the fiscal year ended September 30, 1999, the International Fixed Income Fund returned -1.36% to underperform the Salomon Brothers Non-U.S. World Government Bond Index return of 1.53%. The Fund's underweight to Japanese bonds towards the latter half of the period as well as inopportune yen positions throughout the fiscal year drove underperformance. Yield curve positioning in the U.K. also hampered performance, but a defensive European bond position towards the end of the period improved results. The Japanese yen appreciated over 19% versus the U.S. dollar in a 48-hour period in October when hedge funds were forced to unwind their short yen positions during the liquidity squeeze surrounding the failure of Long Term Capital. The Fund's modest underweight to the yen during that period detracted from returns. During the yen's further appreciation in the spring, both the Bank of Japan and European Central bank intervened in the currency markets to weaken the yen. The Fund's overweight to the yen just prior to two major interventions hurt returns. Towards the end of the fiscal year, the Fund's modest overweight to the yen benefited returns as the yen continued to strengthen. After rallying briefly following its debut, the euro depreciated versus both the dollar and yen before recovering modestly towards the end of the fiscal year. Weaker economic numbers released earlier in the year, the conflict in Yugoslavia, and a lack of verbal support for the currency from European central bankers all contributed to the euro's weakness. The Fund's modest underweight to the euro early in the calendar year detracted from returns. European bond yields edged higher towards the end of the fiscal period as economic performance improved, which increased speculation for a possible central bank hike. A shorter overall duration in Europe improved returns. An overweight to the intermediate area of the British yield curve detracted from results as investors feared that more rate hikes were in the cards. The long end of the yield curve only experienced a modest increase in rates as legislation forced many U.K. pension plans and insurance companies into long-dated government bonds to match their long-dated liabilities. 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Markets Debt Fund OBJECTIVE. The Emerging Markets Debt Fund seeks to maximize total return. 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 - --------------------------------------------------------------- EMERGING MARKETS DEBT - --------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN(1) - --------------------------------------------------------------- One Year Annualized Inception Return to Date - --------------------------------------------------------------- Class A 31.15% -3.72% - --------------------------------------------------------------- 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 [In the printed version, there appears a line graph with the following plot points depicted.] Emerging Markets Debt Fund, J.P. Morgan Class A EMBI Plus $9,178 $9,823 ------ ------ 6/30/97 10,000 10,000 9/30/97 10,620 10,691 9/30/98 6,998 7,986 9/30/99 9,178 9,823 (1) For the period ended September 30, 1999. Past performance is no indication of future performance. Class A Shares were offered beginning June 29, 1997. 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 returned 31.15% for the fiscal year ended September 30, 1999 to strongly outperform the J.P. Morgan Emerging Markets Bond Index Plus return of 23.00%. Overweights to Russia, Algeria, and Venezuela drove outperformance. Issue selection within Ecuador also contributed positively to relative returns, while a modest underweight to Brazil hurt returns. Russia was the top performing emerging debt country in the fiscal period, gaining 83%. The Fund's modest overweight to Russia drove performance as the country received an economic boost from the devalued ruble, negotiated IMF financial assistance, and continued to meet interest payments on its Eurobond debt. An underweight to Poland also benefited returns as the country fell less during the height of the August crisis, and therefore rallied less during the recovery. In Latin America, Brazil was a strong performer as it successfully floated its currency in January prior to spending much of its foreign exchange reserves. The appointment of former Soros partner Arminio Fraga as head of the Central Bank also boosted investor confidence. A modest underweight to Brazil detracted from returns. Neighboring Argentina underperformed as Brazil's devaluation exacerbated Argentina's economic recession, as Argentina maintained its one-to-one peg with the U.S. dollar. Looming presidential elections in October also caused Argentine debt to rally less than the 6 - -------------------------------------------------------------------------------- market, so the Fund's underweight to the country enhanced returns. Venezuela rallied despite the presidential election of a former military paratrooper in December as oil prices skyrocketed during the latter half of the fiscal period. The recovery of the global economy and OPEC's successful limitation of oil production boosted prices from their winter lows. Ecuador became the first country to miss a Brady bond payment as the economy failed to recover from the effects of El Nino last year. The Fund's exposure to Ecuador consisted entirely of Brady Par and Discount bonds. These particular bonds guarantee payment of collateral and two interest payments. These bonds fell less than the Past Due Interest ("PDI") Brady bond, which does not have any cash flow collateralized. The avoidance of the PDI enhanced relative returns. The Fund's concentration in the Mexico's Brady Par bond mitigated outperformance as the country's Brady bonds underperformed its Eurobonds. In Africa, Algeria benefited tremendously from the surge in oil and gas prices as the country derives more than half of its budget revenues and 95% of export earnings from the hydrocarbon sector. In Asia, the Fund's underweight to South Korea detracted from results as both Moody's and Standard & Poor's upgraded the country's foreign currency debt to investment grade status. An overweight to the Philippines also modestly detracted from results as the relatively high quality emerging country lagged in the rally. 7 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 International Equity Fund - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Foreign Common Stocks -- 96.9% Argentina -- 0.1% Telecom Argentina ADR* 43,000 $ 1,148 ------- Australia -- 2.4% AMP Limited 76,400 711 Australia & New Zealand Bank Group 582,625 3,896 Boral Limited 573,700 878 Broken Hill Proprietary 740,820 8,530 Broken Hill Proprietary ADR 2,300 53 Coca-Cola Amatil Limited 674,627 2,367 Coles Myer 977,400 5,106 Leighton Holdings 212,700 817 Lend Lease 200,000 2,440 Macquarie Bank Limited 51,400 663 National Australia Bank 147,230 2,155 News Corporation 591,100 4,146 Oil Search Limited 230,200 297 Pioneer International 392,700 970 Qantas Airways 673,900 2,110 Rio Tinto Limited 82,725 1,402 Tabcorp Holdings Limited 49,400 335 Telstra Corporation 435,681 2,257 Westpac Banking Corporation 418,308 2,580 WMC Limited 103,600 527 Woodside Petroleum 299,200 2,076 ------- 44,316 ------- Belgium -- 0.2% Cobepa 10,200 627 Fortis, Series B 36,900 1,207 Tractebel 2,200 391 UCB 37,500 1,522 ------- 3,747 ------- Brazil -- 0.1% Unibanco GDR 50,000 884 ------- Canada -- 1.9% Air Canada 147,900 1,008 Bank of Nova Scotia 227,400 4,883 BCE Incorporated 74,180 3,692 Bombardier Inc, Series B 37,400 621 Bombardier Incorporated 170,000 2,817 Canadian Tire Corp, Series A 64,800 1,564 Clarica Life Insurance Company* 80,700 1,215 Manulife Financial Corporation* 52,960 630 Newbridge Networks 61,600 1,594 Nortel Networks Corporation 82,000 4,193 Royal Bank of Canada 41,800 1,736 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Seagram 49,270 $ 2,244 Suncor Energy 51,600 1,970 Teleglobe 97,000 1,501 Thomson Corporation 171,900 4,828 ------- 34,496 ------- Denmark -- 0.1% Den Danske Bank 21,190 2,414 ------- Finland -- 1.2% Nokia OYJ 166,900 15,009 UPM-Kymmene 181,300 6,204 ------- 21,213 ------- France -- 12.8% Accor 4,000 936 AXA UAP 103,670 13,169 Banque National de Paris 233,501 18,714 Banque National de Paris CVG 9,750 81 Canal Plus 54,800 3,287 Carrefour 139,340 22,394 Castorama Dubois 57,300 16,188 Christian Dior 1,300 213 Compagnie de Saint Gobain 84,550 15,822 Elf Aquitaine 92,261 16,179 Equant 146,379 11,958 France Telecom 39,200 3,454 Groupe Danone 10,000 2,443 Lafarge 132,649 14,723 Louis Vuitton Moet Hennessy 43,416 13,069 Pechiney Ord, Series A 86,500 4,810 Peugeot 127,900 25,739 Pinault-Printemps-Redoute 56,162 10,690 Sanofi-Synthelabo 127,640 5,459 Stmicroelectronics 89,000 6,966 Suez Lyonnaise des Eaux 81,754 13,288 Television Francaise 10,000 2,809 Total Fina, Series B 25,700 3,243 Total Petroleum of North America ADR* 5,000 317 Valeo 54,138 3,934 Vivendi 74,630 5,263 ------- 235,148 ------- Germany -- 9.0% Allianz 7,100 2,054 Bayerische Motoren Werke 175,608 4,976 Commerzbank 47,350 1,823 DaimlerChrysler 36,450 2,522 Depfa Deutsche Pfandbriefban 50,750 4,206 Deutsche Bank 123,050 8,270 8 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Deutsche Telekom 325,650 $ 13,406 Gehe 208,031 7,786 Henkel KGAA 24,800 1,565 Hoechst 400,336 17,508 Industrie Werke Karlsruhe Augsburg 77,500 1,388 MAN 178,150 5,391 Mannesmann 270,194 43,338 Metallgesellschaft 100,176 2,035 Preussag 32,400 1,639 RWE 490,650 20,435 Siemens 269,508 22,349 Thyssen Krupp 121,000 2,439 VEBA 21,000 1,155 Viag 84,460 1,608 --------- 165,893 --------- Greece -- 0.1% Hellenic Telecommunications Organization 91,770 2,149 --------- Hong Kong -- 2.2% Asia Satellite Telecommunications Holdings 35,000 89 Cable & Wireless HKT Limited 1,955,000 4,291 Cathay Pacific Airways 3,278,000 5,908 Cheung Kong Holdings 430,000 3,584 Citic Pacific Limited 857,000 2,372 CLP Holdings Limited 110,000 517 Goldlion Holdings Limited 2,821,000 378 Hang Seng Bank 124,000 1,313 Hong Kong Construction 971,000 416 Hong Kong Electric Holdings 317,000 984 HSBC Holdings 69,600 797 Hutchison Whampoa 677,000 6,297 Hysan Development 330,000 412 Legend Holdings 464,000 442 Ocean-Land Group Limited 2,800,000 483 Pacific Century Cyberworks Limited 500,000 422 Peregrine Investment Holdings*(1) 526,000 -- Smartone Telecommunications 120,000 369 Sun Hung Kai Properties 1,025,000 7,819 Swire Pacific, Series A 669,000 3,170 Tan Chong International Limited 819,000 157 Wharf Holdings 300,000 867 --------- 41,087 --------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Ireland -- 0.1% CRH 106,000 $ 2,038 Eircom 51,900 228 --------- 2,266 --------- Italy -- 2.7% Assicurazioni Generali 128,500 4,287 Banca Nazionale DEL Lavoro 1,099,067 3,949 Banca Popolare di Bergamo 81,543 1,814 Banca Popolare di Milano 136,600 1,003 ENI SPA 1,743,400 10,980 Fiat SPA 83,000 2,778 Gucci Group ADR 43,455 3,628 Istituto Nazionale delle Assicurazioni 2,235,400 7,314 Mediaset SPA 393,697 4,037 Montedison 167,648 330 Telecom Italia 240,375 2,097 Telecom Italia Mobile 862,400 3,191 Telecom Italia SPA 987,800 4,986 --------- 50,394 --------- Japan -- 25.6% Acom 20,200 2,655 Advantest 80,800 11,707 Aiful Corporation 12,650 2,160 Aiwa 35,000 1,031 Ajinomoto 127,000 1,488 Aoyama Trading 500 17 Asahi Breweries 189,000 2,897 Autobacs Seven 22,400 1,334 Bank of Tokyo-Mitsubishi 388,000 5,968 Bridgestone Corporation 100,000 2,804 Canon 380,000 11,083 Chudenko Corporation 2,000 36 Chugai Pharmaceutical 97,000 1,173 Dai Nippon Printing 87,000 1,620 Daiwa House Industry Limited 525,887 5,210 DDI Corporation 800 6,021 East Japan Railway 374 2,386 Fuji Bank 1,031,000 12,552 Fuji Photo Film 174,000 5,975 Fuji Soft ABC 17,600 1,502 Fujikura Limited 160,000 1,039 Fujitsu 287,000 8,965 Fujitsu Support and Service 4,000 1,140 Hirose Electric 43,000 6,776 Hitachi 1,143,000 12,689 Honda Motor 504,000 21,148 Hoya Corporation 64,000 3,878 Industrial Bank of Japan 264,000 3,251 ItoYokado 70,000 5,795 9 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 International Equity Fund--Continued - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Japan Energy 764,000 $ 963 Jusco 114,000 2,150 Kao Corporation 222,000 6,287 Kawasaki Heavy Industries 442,000 840 Keyence Corporation 21,000 5,631 Kirin Brewery 108,000 1,296 Matsushita Electric 673,000 14,341 Meiji Milk Products 411,000 1,539 Mitsubishi Heavy Industries 671,000 2,588 Mitsubishi Trust & Banking 164,000 2,006 Mitsui 296,000 2,245 Mitsui Chemicals 105,000 941 Mitsui Mining & Smelting 227,000 1,217 Mitsukoshi 163,000 980 Murata Manufacturing 125,000 12,583 NEC 582,000 11,745 Nichiei 48,700 3,734 Nidec Corporation 46,500 8,815 Nikko Securities 221,000 1,871 Nikon 281,000 5,420 Nintendo 127,500 20,368 Nippon Express 531,000 3,567 Nippon Paper Industries 301,000 2,130 Nippon Shinpan 702,000 2,345 Nippon Steel 1,091,000 2,966 Nippon Telegraph & Telephone 1,220 15,036 Nippon Yusen Kabushiki Kaishi 320,000 1,177 Nissan Motors 530,000 3,216 Nomura Securities 342,000 5,309 NTT Data 104 1,174 NTT Mobile Communications* 1,204 23,788 Obayashi Corporation 146,000 883 Ono Pharmaceutical 67,000 2,490 Orix Corporation 12,000 1,478 Osaka Gas 411,000 1,373 Rohm Limited 73,600 15,407 Sakura Bank 1,101,000 8,287 Sankyo 187,000 5,630 Sanwa Bank 131,000 1,756 Secom 19,000 1,698 Secom Co Limited- New* 19,000 1,734 Sekisui Chemical 256,000 1,448 Sekisui House 537,000 6,073 Seven Eleven 16,000 1,407 Shin Etsu Chemical 60,000 2,506 Shinden 16,000 98 Shohkoh Fund 4,400 3,291 Skylark 53,000 1,446 SMC Corporation 13,000 1,835 Softbank Corporation 7,300 2,782 Sony Corporation 116,900 17,498 Sony Corporation ADR 4,400 660 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Sony Music Entertainment 38,500 $ 4,799 Sumitomo Bank 437,000 6,578 Sumitomo Chemical 358,000 1,826 Sumitomo Pipe & Tube 137,000 715 Suzuki Motor 210,000 3,416 Taiheiyo Cement Corporation 381,000 989 Takeda Chemical Industries 237,000 12,821 Takefuji Corporation 11,600 1,935 TDK Corporation 29,000 3,364 Terumo 46,000 1,424 THK Corporation 31,000 916 Tokai Bank 247,000 1,787 Tokio Marine & Fire Insurance 105,000 1,245 Tokyo Electric Power 151,500 3,506 Tokyo Electronics 173,000 15,056 Toray 308,000 1,594 Toshiba 146,000 1,089 Toyo Seikan Kaisha 75,000 1,623 Toyota Motor 278,000 8,866 Yamanouchi Pharmaceutical 79,000 3,709 Yamato Transportation 86,000 2,189 -------- 471,795 -------- Malaysia -- 0.0% Austral Enterprises 188,000 183 Westmont Berhad Industries* (1) 218,000 -- -------- 183 -------- Mexico -- 0.3% Telefonos de Mexico ADR 84,500 6,021 Cementos de Mexico ADR 5,608 135 -------- 6,156 -------- Netherlands -- 7.8% ABN AMRO Holding 103,000 2,324 Aegon 91,283 7,887 ASM Lithography Holding 66,800 4,543 Dordtsche Petrol 85,082 4,176 DSM 466,716 18,665 Elsevier 919,200 9,485 Fortis Amev 353,438 11,470 Heineken 65,000 3,246 Hoogovens 41,566 2,369 Ing Groep 185,284 10,104 Konink Philips Electronics 163,597 16,531 KPN 137,768 6,062 Laurus 507,881 11,730 Royal Dutch Petroleum 309,882 18,059 Vendex KBB 66,912 1,932 VNU 435,505 15,181 -------- 143,764 -------- 10 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- New Zealand -- 0.2% Auckland International Airport Limited 42,900 $ 62 Fletcher Challenge Building 67,900 84 Fletcher Challenge Energy 30,400 76 Fletcher Challenge Paper 155,000 107 Independent Newspapers Limited 32,000 114 Telecom of New Zealand 696,781 2,755 Warehouse Group Limited 18,900 71 --------- 3,269 --------- Norway -- 0.3% Kvaerner 21,400 432 Norsk Hydro 110,400 4,721 Orkla, Series A 15,000 230 --------- 5,383 --------- Philippines -- 0.0% Metro Bank & Trust 105,350 775 --------- Singapore -- 0.8% City Developments 80,000 407 Datacraft Asia 40,000 176 DBS Group Holdings Limited 435,191 4,868 Fraser & Neave 50,000 163 Ges International 200,000 161 Jit Holdings Limited 132,000 244 Keppel Land International 120,000 149 Neptune Orient Lines 78,000 94 OCBC 'F' 63,000 490 Overseas Union Bank 46,593 207 Parkway Holdings 50,000 91 Singapore Airlines Limited 32,000 313 Singapore Press Holdings 184,078 2,904 Singapore Tech Engineering 2,152,000 2,749 Singapore Telecommunications 342,000 624 Sunright 130,000 87 United Overseas Bank 72,000 547 --------- 14,274 --------- South Africa -- 0.2% Sasol 290,400 2,235 South Africa Brewery 165,089 1,403 --------- 3,638 --------- South Korea -- 0.1% Korea Telecom ADR 45,913 1,699 --------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Spain -- 2.0% Argentaria 120,419 $ 2,660 Banco Popular Espanol 24,383 1,691 Endesa 305,516 5,828 Repsol 241,400 4,747 Telefonica de Espana 1,413,385 22,715 --------- 37,641 --------- Sweden -- 2.8% Astrazeneca 155,386 6,534 Electrolux AB 525,004 9,891 Ericsson, Series B 827,586 25,884 Foreningssparbaken, Series A 153,100 2,507 Hennes & Mauritz, Series B 225,493 5,734 SKF, Series B 64,200 1,455 Trelleborg, Series B 48,800 468 --------- 52,473 --------- Switzerland -- 5.7% ABB Limited 131,788 13,667 Adecco 21,786 12,230 Baloise Holding 7,170 5,939 Clariant, Registered 32,384 14,734 Compagnie Financiere Richemont 2,465 5,010 Credit Suisse Group 8,500 1,564 Holderbank Financiere Glarus 3,380 4,408 Nestle, Registered 4,570 8,623 Novartis 5,681 8,461 Sairgroup, Registered 19,230 4,175 Schweizerische Rueckversicherungs 1,430 2,866 SGS Societe Generale Surveillance Holdings 2,200 2,479 Sulzer 2,110 1,338 Swisscom 15,684 4,911 UBS, Registered 47,960 13,574 Zurich Allied 1,430 801 --------- 104,780 --------- Taiwan -- 0.5% Asustek Computer GDR 165,000 2,195 Taiwan Semiconductor ADR 227,550 6,713 --------- 8,908 --------- United Kingdom -- 17.7% 3I Group 379,200 4,758 Abbey National 661,955 11,750 Astrazeneca 12,700 537 Barclays Bank 642,500 18,863 Berkeley Group 120,633 1,164 11 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 International Equity Fund--Concluded - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Boc Group 209,900 $ 4,376 British Aerospace 693,630 4,571 British American Tobacco 190,785 1,637 British Sky Broadcasting 1,765,397 17,078 British Steel 1,000,000 2,540 British Telecommunications 916,507 13,877 Cadbury Schweppes 656,800 4,561 CGU 679,200 10,485 Coca-Cola Beverages 303,000 604 Diageo 295,493 3,019 Dixons Group 130,000 2,316 EMI Group 191,600 1,401 Enterprise Oil 187,900 1,281 George Wimpey 762,500 1,595 GKN 194,800 3,110 Glaxo Wellcome 634,882 16,559 Great Universal Stores 1,117,000 8,424 Hanson 141,400 1,090 Imperial Chemical Industries 180,611 2,003 Invensys 1,190,700 5,804 Kingfisher 392,000 4,202 National Westminster Bank 690,000 16,088 Next 339,500 3,421 Orange 224,300 4,410 Railtrack Group 466,630 9,820 Reckitt & Colman 1,672 21 Reed International 384,919 2,317 Reuters Group 445,000 5,023 RJB Mining 295,500 236 Royal & Sun Alliance 1,739,510 13,720 Shell Transportation & Trading 408,000 3,050 Signet Group 1,065,600 873 SmithKline Beecham 976,763 11,234 Somerfield 604,051 1,278 Standard Chartered Bank 974,695 14,092 Tate & Lyle 320,000 1,971 Thames Water 398,775 6,241 TI Group 450,000 3,242 Unilever 239,500 2,254 United Utilities 892,800 9,769 Vodafone Airtouch 1,922,658 45,526 Whitbread, Series A 876,147 11,008 Yorkshire Water 239,700 1,545 Zeneca Group 296,665 12,442 --------- 327,186 --------- Total Foreign Common Stocks (Cost $1,512,270) 1,787,079 --------- Foreign Preferred Stock -- 0.1% Italy -- 0.2% Fiat Spa* 174,500 2,883 --------- Total Foreign Preferred Stock (Cost $3,685) 2,883 --------- - -------------------------------------------------------------------------------- Face Market Description Amount (000) Value (000) - -------------------------------------------------------------------------------- U.S. Treasury Obligation -- 0.2% U.S. Treasury Bill (2) 4.72%, 02/03/00 $ 4,000 $ 3,935 ---------- Total U.S. Treasury Obligation (Cost $3,937) 3,935 ---------- Repurchase Agreements -- 2.4% J.P. Morgan 5.35%, dated 09/01/99, matures 10/01/99, repurchase price $19,109,387 (collateralized by U.S. Treasury Note, due 08/31/01, 5.50%, par value $19,381,000, market value $19,399,198) 19,018 19,018 State Street Bank 4.25%, dated 09/30/99, matures 10/01/99, repurchase price $24,691,914 (collateralized by various U.S. Treasury Notes, due 09/30/01-08/15/19, 5.625%-8.125%, ranging in par value $10,840,000-$12,110,000, total market value $25,190,350) 24,689 24,689 ---------- Total Repurchase Agreements (Cost $43,707) 43,707 ---------- Total Investments -- 99.6% (Cost $1,563,599) 1,837,604 ---------- Other Assets and Liabilities, Net -- 0.4% 7,281 ---------- Net Assets: Fund Shares of Class A (unlimited authorization -- no par value) based on 152,608,039 outstanding shares of beneficial interest 1,547,861 Fund Shares of Class D (unlimited authorization -- no par value) based on 35,572 outstanding shares of beneficial interest 354 Undistributed net investment income 2,313 Accumulated net realized gain on investments 20,054 Net unrealized appreciation on investments 274,005 Net unrealized depreciation on futures contracts (64) Net unrealized appreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency 362 ---------- Total Net Assets -- 100.0% $1,844,885 ========== 12 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Net Asset Value, Offering Price and Redemption Price Per Share -- Class A $12.09 ========== Net Asset Value, Offering Price and Redemption Price Per Share -- Class D $11.97 ========== Maximum Offering Piece Per Share -- Class D ($11.97 / 95%) $12.60 ========== * Non-income producing security Amounts designated as "--" are either $0 or have been rounded to $0. ADR -- American Depository Receipt 'F' -- Foreign GDR -- Global Depository Receipt (1) Security fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. (2) Securities segregated to collateralize futures contracts with an aggregate market value of $23,590,023. The accompanying notes are an integral part of the financial statements. EMERGING MARKETS EQUITY FUND Foreign Common Stocks -- 90.1% Argentina -- 1.6% Banco Rio de la Plata 90,180 $ 969 Quilmes Industrial ADR 348,060 3,328 Telecom Argentina Stet France ADR* 245,195 6,544 Telefonica Argentina ADR 119,456 3,151 ----------- 13,992 ----------- Brazil -- 5.1% Aracruz Celulose ADR 144,350 3,013 Centrais Eletricas Brasileiras 71,845,000 1,189 Centrais Eletricas Brasileiras ADR 22,740 190 CIA Electric Est Rio Janeiro* 6,542,302,000 1,252 CIA Paranaense Energia ADR 255,315 1,676 CIA Siderurgica Nacional 14,000 361 CIA Vale Rio Doce ADR* 99,905 2,107 Companhia Riograndense Telecom* 16,216,341 3,606 Eletropaulo Eletrecidade Metropolitana* 59,613,462 2,805 Embratel Participacoes 224,722 2,570 Petrobras ADR* 185,610 2,862 Sider Nacional CIA 115,965,000 2,908 Tele Centro Sul Participacoes ADR 44,030 2,444 - ------------------------------------------------------------------------------- Market Description Shares Value (000) - ------------------------------------------------------------------------------- Tele Norte Leste Participacoes ADR 208,960 $ 3,239 Telebras ADR 81,749 6,126 Telecomunicacoes de Sao Paulo Participacoes ADR 146,410 2,306 Teleleste Celular Participacoes ADR 3,200 101 Telenordeste Cel Participacoes ADR 7,130 162 Telesp Celular Participacoes 87,290 2,280 Telesudeste Celular ADR 21,995 473 Unibanco GDR* 126,726 2,241 ------- 43,911 ------- Chile -- 2.1% Banco De A. Edwards ADR 93,860 1,502 Banco Santander ADR 25,455 438 Banco Santiago ADR 52,550 1,051 Cervecerias Unidas ADR 105,791 2,433 Chilectra ADR 173,328 3,286 CIA Telecomunicacion Chile ADR 251,980 4,551 Distribucion y Sevicio ADR 124,376 2,091 Empresa Nacional de Electricidad ADR 57,227 744 Enersis ADR 56,490 1,179 Quinenco ADR 104,242 1,055 ------- 18,330 ------- Czech Republic -- 0.9% Ceska Sporitelna 84,600 444 Ceske Radiokomunikace GDR 144a (A)* 41,600 1,503 Ceske Radiokomunikace GDR* 7,800 282 CEZ 291,710 806 Galena* 8,000 131 Komercni Banka 22,370 586 Komercni Banka GDR 204,300 1,752 SPT Telecom* 84,380 1,285 Tabak 2,200 506 Unipetrol 235,000 407 ------- 7,702 ------- Egypt -- 0.3% Al Ahram Beverage GDR 144a (A)* 42,000 1,247 Alexandria National Iron & Steel* 2,947 128 Mobinil Egyptian Mobile Network 52,300 1,226 ------- 2,601 ------- Greece -- 7.2% Alpha Credit Bank 125,024 10,065 Alpha Finance 18,800 1,492 13 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Markets Equity Fund--Continued - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Athens Medical Care 32,720 $ 1,879 Attica Enterprises 77,600 1,908 Commercial Bank of Greece 56,650 5,252 Commercial Bank of Greece Rights 18,255 1,312 Delta Informatics 21,900 2,015 Ethniki General Insurance Company 10,600 657 Hellenic Bottling 62,000 1,492 Hellenic Technodomiki 32,900 1,589 Hellenic Telecommunications Organization 370,388 8,674 Hellenic Telecommunications Organization ADR 92,700 1,037 Intracom 74,462 6,346 Maillis 57,980 1,659 National Bank of Greece 114,232 9,178 Sarantis 45,999 1,988 Titan Cement 51,370 6,014 --------- 62,557 --------- Hong Kong -- 1.4% Beijing Enterprises 228,000 382 Cathay Pacific Airways 672,000 1,211 Chengdu Telecom Cable Company 3,250,000 301 China Telecom* 1,026,000 3,164 Goldlion Holdings Limited 4,000,000 536 Guangdong Kelon Electrical Holding, Series H 400,000 402 HSBC Holdings 185,600 2,127 Legend Holdings Limited 600,000 572 Ocean Land Group Limited 4,000,000 690 Pacific Century CyberWorks Limited 1,654,000 1,395 Shanghai Industrial Holdings 200,000 412 Shanghai Petrochemical Limited 1,800,000 399 Yizheng Chemical Fibre 1,284,000 380 --------- 11,971 --------- Hungary -- 1.6% Borsodchem GDR 23,700 683 Cofinec GDR* 23,450 249 Gedeon Richter GDR 16,595 673 Gedeon Richter GDR 144a (A) 2,500 100 Magyar Tavkozlesi ADR 258,060 7,032 MOL Magyar Olaj ES Gazipari GDR 96,790 2,171 MOL Magyar Olaj ES Gazipari GDR 144a (A) 7,000 14 OTP Bank GDR 28,670 1,272 Tiszai Vegyi Kombinat 124,700 1,919 --------- 14,113 --------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- India -- 8.9% Arisaig India Fund 149,953 $ 2,036 BSES GDR 214,950 2,660 Gujarat Ambuja Cement GDR* 60,000 744 Hindalco Industries GDR 475,300 12,988 ICICI Limited ADR 270,300 3,244 India Fund* 612,010 7,880 Industrial Credit and Investment Corporation of India 98,580 1,176 Infosys Technologies 84,786 12,124 ITC GDR 383,670 9,736 Larsen & Toubro GDR 331,500 7,293 Mahanagar Telephone Nigam GDR 169,899 1,720 Mahindra & Mahindra Sponsored GDR 348,000 3,158 Ranbaxy Laboratories GDR 159,800 3,855 State Bank of India* 323,300 4,122 Videsh Sanchar GDR 312,600 4,400 --------- 77,136 --------- Indonesia -- 2.0% Astra International 1,148,500 343 Bank PAN Indonesia 3,490,800 452 Bank PAN Indonesia Warrants 189,300 6 Citra Marga Nusaphala Persada (1) 4,600,000 198 Daya Guna Samudera 8,500 3 Freeport McMoran Copper & Gold 102,000 1,587 Gudang Garam 290,000 589 Gulf Indonesia Resources* 105,600 1,063 Hanjaya Mandela Sampoerna 425,000 757 Indah Kiat Pulp & Paper 2,380,000 854 Indofood Sukses Makmur 481,000 460 Indosat 297,500 402 PT Tempo Scan Pacific 175,000 79 Ramayana Lestari 692,500 376 Reliance Industries GDR 670,400 9,184 Tambang Timah 413,000 281 Telekomunikasi Indonesia 2,538,280 903 --------- 17,537 --------- Ireland -- 0.3% Antofagasta Holdings 379,700 2,482 --------- Israel -- 0.5% Bank Hapoalim 786,400 1,938 Bank Leumi Le Israel 844,600 1,473 Matav Cable Systems Media 52,300 1,103 --------- 4,514 --------- Malaysia -- 3.5% Berjaya Sports 997,000 2,112 Commerce Asset Holdings 1,377,000 2,446 14 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Genting Berhad 574,000 $ 1,918 IOI Corporated Berhad 3,377,000 1,626 Kian Joo Can Factory 295,000 439 MAA Holdings 854,400 1,551 Malayan Banking Berhad 890,600 2,766 Malayan Cement Berhad 4,416,000 1,476 Malaysia International Shipping 950,000 1,300 Malaysian Pacific Industries 657,000 2,282 O.Y.L. Industries 446,200 1,004 Petronas Gas 336,000 707 Rothmans of Pall Mall 330,400 2,017 Sime Darby Malaysia 1,325,000 1,534 Telekom Malaysia 1,145,000 2,968 Tenaga Nasional 1,091,000 2,239 UMW Holdings Berhad 28,000 45 United Engineers* 200,000 297 YTL Corporation Berhad 985,000 1,581 --------- 30,308 --------- Mexico -- 13.5% ALFA, Series A 1,892,649 7,882 Carso Telecom Common* 1,023,732 5,684 Cemex 1,962,921 9,432 Cemex ADR 288,184 6,952 Cifra ADR, Series V 180,072 2,832 Cifra SA de CV, Series C* 83,785 128 Cifra, Series V * 63,094 99 Coca Cola Femsa ADR* 71,520 988 Corporacion Interamericana de Enterenemienta, Series B* 1,014,000 2,480 Corporacion Interamericana de Enterenemienta, Series L* 342,000 767 Empresas ICA Sociedad Controladora 646,181 304 Empresas ICA Sociedad Controladora ADR 116,734 343 Fomento Economico Mexica Units 2,460,679 7,725 Fomento Economico Mexicano, ADR 34,921 1,093 Grupo Carso, Series A1* 1,547,010 6,409 Grupo Financiero Banamex, Series O* 996,860 1,790 Grupo Financiero Bancomer, Series O 6,867,960 1,540 Grupo Financiero Banorte 1,177,727 1,235 Grupo Industria Bimbo, Series A 304,633 638 Grupo Modelo, Series C 717,000 1,807 Grupo Televisa GDR* 302,455 12,080 Kimberly Clark de Mexico, Series A 2,336,865 8,185 Nuevo Grupo Iusacell* 172,840 1,963 Organizacion Soriana, Series B 979,813 3,923 Telefonos de Mexico ADR 413,708 29,477 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Tubos de Acero de Mexico ADR* 73,651 $ 902 Vitro ADR* 178,480 736 ---------- 117,394 ---------- Peru -- 0.6% Buenaventura ADR 93,129 1,612 Credicorp ADR* 107,800 1,125 Telefoncia del Peru ADR 199,148 2,676 ---------- 5,413 ---------- Philippines -- 0.9% Ayala Land 3,037,000 744 Bank of Philippine Islands 196,434 534 Benpres Holdings 1,420,000 247 C & P Homes 18,889,000 324 International Container Terminal Services* 2,640,200 252 Manila Electric Company, Series B 191,640 554 Metro Bank & Trust Company 199,850 1,469 Philippine Long Distance 50,990 1,106 Philippine Long Distance ADR 31,600 687 Queenbee Jollibee, Series F 1,426,500 603 San Miguel, Series B 222,988 339 SM Prime Holdings 7,979,100 1,349 ---------- 8,208 ---------- Poland -- 1.2% Bank Handlowy GDR 58,500 676 Bank Polska Kasa Opieki SA* 35,500 338 Bank Rozwoju Eksportu 35,258 916 Bank Slaski SA 14,000 700 Elektrim* 73,890 685 Kghm Polska Meidz GDR 109,400 1,316 Kghm Polska Miedz 12,250 69 Netia Holdings* 25,500 456 Orbis* 66,304 485 Pliva GDR* 131,180 1,338 Prokom GDR 24,000 230 Softbank SA GDR 25,600 646 Telekom Polska GDR 471,545 2,322 ---------- 10,177 ---------- Russia -- 1.1% Gazprom ADR 85,000 589 Lukoil Holding ADR 123,000 3,321 Mosenergo ADR 180,000 467 Rostlecom ADR 105,000 486 Surgutneftegaz ADR 469,500 3,169 Unified Energy Systems GDR 257,000 1,344 ---------- 9,376 ---------- 15 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Markets Equity Fund--Continued - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Singapore -- 1.0% Datacraft Asia 1,080,000 $ 4,752 Del Monte Pacific Limited 872,800 406 Natsteel Electronics 343,000 1,282 Venture Manufacturing 262,000 2,283 --------- 8,723 --------- South Africa -- 8.9% African Oxygen 781,708 1,283 Anglo American 36,700 2,056 Anglo American Platinum 174,000 4,615 Anglogold Limited 25,200 1,587 Barlow 98,800 484 Bidvest Group 194,835 1,298 Billiton (GBP) 964,600 4,042 BOE Corporation Limited 1,754,934 994 Bransby Investment 197,000 33 Comparex Holdings Limited 120,200 806 De Beers Centenary 310,900 8,546 Dimension Data Holdings* 740,503 2,942 Fedsure Holdings Limited 143,400 956 Foschini 754,022 1,671 Gold Fields Limited 332,040 1,535 Impala Platinum Holdings Limited 50,000 1,724 Imperial Holdings* 159,265 1,406 Investec Group 114,510 3,720 Iscor 1,144,800 442 Liberty Life 159,800 1,251 M-Cell Limited 117,500 194 Metropolitan Life 477,600 549 MIH Holdings Limited 76,400 243 MIH Limited 42,700 1,233 Nampak* 536,100 1,250 Nasionale Pers Beperk 22,100 105 Nedcor 277,602 5,439 Omni Media 57,300 597 Pick N Pay Holdings 1,998,424 982 Pick N Pay Stores 75,312 93 Primedia Limited 104,100 121 Profurn Limited 900,620 675 Rembrandt Group 400,320 3,051 RMB Holdings 2,116,100 3,226 Sanlam* 2,465,600 2,690 Sappi Limited 55,300 539 Sasol 500,500 3,852 South African Breweries 461,275 3,919 Standard Bank Investment 687,410 2,199 Tegniese Beleg 248,800 1,061 Theta Group* 619,400 996 Tiger Oats 118,100 986 Truworths International Limited 249,600 239 Unitrans Limited 278,400 649 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Woolworths Holdings 965,872 $ 668 --------- 76,947 --------- South Korea -- 13.0% Hansol Paper 154,500 1,677 Hanwha Chemical* 609,877 5,517 Hite Brewery Limited 143,936 4,770 Housing & Commercial Bank* 171,370 3,312 Hyundai Industrial Development & Construction 204,214 2,242 Hyundai Motor 126,080 2,608 Hyundai Motor GDR 43,900 434 Kookmin Bank 151,500 1,900 Korea Electric Power 312,950 10,294 Korea Line Company 127,040 1,306 Korea Telecom 25,810 1,594 Korea Telecom ADR 140,849 5,211 Korean Air 59,750 860 Kumho Electric Inc.* 71,670 1,786 Lg Chemical 174,430 5,064 Lg Electronics 177,580 5,958 Mirae 497,000 2,657 Pohang Iron & Steel 49,275 5,559 Pohang Iron & Steel ADR 147,600 4,622 Samsung 352,780 5,164 Samsung Electronic 119,196 19,311 Samsung Electronics GDR 144A (A) 66,386 5,291 Samsung Electronics GDR, Series A 874 54 Samsung Fire & Marine Insurance 36,180 1,595 Samsung Securities 77,746 2,525 Shinhan Bank 179,780 1,671 Shinhan Bank ADR 174,915 3,214 SK Telecom 348,497 3,594 Ssangyong Oil Refining 140,230 2,802 --------- 112,592 --------- Taiwan -- 9.8% Accton Technology GDR* 345,432 1,373 Acer 690,000 1,254 Acer GDR 587,500 5,229 Advanced Semiconductor Engineering GDR* 30,687 593 Advanced Semiconductor Engineering 598,444 1,711 Ase Test* 166,200 4,030 Asia Cement GDR 194,994 2,047 Asustek Computer 330 3 Asustek Computer GDR 464,766 6,181 Bank Sinopac 5,449,546 2,910 Cathay Life Insurance 1,018,000 2,637 China Development 2,471,000 3,763 16 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- China Steel 1,050,000 $ 856 China Steel GDS 216,000 4,304 Chung Housing Bills Finance* 981,342 398 Compal Electronics 145,651 463 CTCI 600,000 531 D-Link 20,000 36 Delta Electronics 546,000 2,053 Formosa Chemical & Fibre 1,040,000 999 Fubon Insurance 66,000 536 Goldsun Development & Construction* 503,800 163 Hon Hai Precision Industry 420,000 2,760 Hon Hai Precision Industry GDR (A) 81,600 1,133 Hua Nan Bank 2,130,000 2,860 Pacific Electric Wire & Cable 962,000 471 Siliconware Precision Industries 600,000 1,005 Siliconware Precision Industries GDR* 40,100 418 Synnex Technology International 390,176 1,899 Synnex Technology International GDR 52,000 965 Taiwan American Fund* 80,000 1,137 Taiwan Semiconductor 2,460,000 10,376 Taiwan Semiconductor ADR 333,243 9,831 Tatung 500,000 529 Union Petrochemical 1,050,000 995 United Microelectronics 1,289,050 3,014 Winbond Electronics 144a (A) 175,400 3,219 Yageo GDR 222,000 1,288 Yang Ming Marine Transport GDR 103,425 628 --------- 84,598 --------- Thailand -- 1.3% Advanced Info Service* 113,900 1,303 Bangkok Bank 'F'* 576,300 1,134 Bangkok Expressway 'F'* 729,500 325 Bec World Public 'F' 187,300 1,016 Industrial Finance 'F'* 350,000 109 Italian Thai Development 'F'* 219,700 274 Kce Electronics* 245,100 494 Kiatnakin Finance Public 475,000 482 National Petrochemical 'F'* 1,046,400 818 PTT Exploration 'F'* 178,300 1,246 Quality House Limited 1,200,000 243 Quality House Public Rights* 1,200,000 60 Siam Cement* 66,800 1,391 Siam Panich Leasing 675,000 474 Telecomasia* 808,800 553 Thai Airways International 'F'* 620,900 835 Thai Farmers Bank 'F'* 237,100 280 Thai Farmers Bank Rights 237,100 164 - -------------------------------------------------------------------------------- Market Description Shares Value (000) - -------------------------------------------------------------------------------- Tipco Asphalt 'F'* 199,200 $ 169 ----------- 11,370 ----------- Turkey -- 2.6% Adana Cimento 25,203,000 503 Akbank 58,550,000 877 Akcansa Cimento 34,100,000 466 Aksigorta 22,015,360 621 Alarko Holdings 24,700,000 617 Arcelik 29,294,289 938 Dogan Sirketler Grubu Holdings 41,776,500 598 Dogan Yayin Holding 149,375,000 600 Ege Biracilik ve Malt Sanayi 14,150,000 461 Eregli Demir Ve Celik Fabrikalari* 156,765,000 3,573 Haci Omer Sabanci Holdings 58,713,400 1,529 Koc Holdings 7,600,000 734 Migros Turk 6,871,918 2,983 Tansas* 6,279,000 600 Turk Sise VE CAM Fabrikalari 101,186,000 1,076 Turkiye Garanti Bankasi* 223,580,000 1,626 Turkiye Is Bankasi 116,440,000 2,148 Yapi Ve Kredi Bankasi 214,493,603 2,933 ----------- 22,883 ----------- United States -- 0.2% Seminis 115,625 997 StarMedia Network* 9,700 356 ----------- 1,353 ----------- Venezuela -- 0.6% Compania Anonima Nacional Telecom ADR 203,492 5,456 ----------- Total Foreign Common Stocks (Cost $619,544) 781,644 ----------- Foreign Preferred Stocks -- 5.6% Brazil -- 5.5% Banco Bradesco 49,400,000 232 Banco Itau 40,261,320 2,082 Celular CRT Participacoes* 24,249,941 2,633 Cemig ADR* 43,560 669 Cemig CIA Energy* 331,583,175 4,972 Centrais Eletricas Brasileiras SA, Series B* 5,930,900 100 CIA Vale do Rio, Series A 435,713 9,214 CIA Vale do Rio Doce Unconverted Participants 8,352 -- 17 STATEMENT OF NET ASSETS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Markets Equity Fund--Concluded - -------------------------------------------------------------------------------- Shares/Face Market Description Amount (000) Value (000) - -------------------------------------------------------------------------------- Companhia Paranese de Energia, Series B* 428,283,169 $ 2,801 Eletrobras ADR* 135,300 1,145 Embratel Participacoes 213,405,000 2,449 Gerdau 107,002,000 1,660 Petrol Brasileiros 77,835,286 11,551 Tele Centro Oeste Celular Participacoes 233,185 -- Tele Centro Sul Participacoes 138,518,297 1,504 Tele Leste Celular Participacoes 1,219,220,000 757 Tele Nordeste Celular Participacoes 171,731,800 205 Tele Norte Celular Particacoes 1,087,991,000 619 Tele Norte Leste Participacoes 73,261,000 1,148 Tele Sudeste Celular Participacoes 133,565,000 583 Telebras* 2,291,000 1 Telecom Brasileiros 2,291,000 172 Telemig Celular, Series C* 98,801 1 Telesp Celular Participacoes 132,313,000 1,299 Telesp* 12,951,000 1,139 Usiminas Gerais* 156,931 495 --------- 47,431 --------- Thailand -- 0.1% Siam Commercial Bank 'F' 525,800 421 Siam Commercial Bank 'F' Warrants 165,000 41 --------- 462 --------- Total Foreign Preferred Stocks (Cost $45,947) 47,893 --------- Foreign Convertible Bonds -- 0.0% Taiwan -- 0.0% Walsin Lihwa 3.250%, 06/16/04 500 377 --------- Total Foreign Convertible Bonds (Cost $494) 377 --------- Repurchase Agreements -- 5.0% J.P. Morgan 5.35%, dated 09/01/99, matures 10/01/99, repurchase price $20,968,496 (collateralized by U.S. Treasury Bond, due 05/15/01, 5.625%, par value $20,909,000, market value $21,325,209) $ 20,906 20,907 - -------------------------------------------------------------------------------- Face Amount Market Description (000) Value (000) - -------------------------------------------------------------------------------- State Street Bank 4.25%, dated 09/30/99, matures 10/01/99, repurchase price $22,380,641 (collateralized by various U.S. Treasury Notes, due 08/15/19-08/15/25, 6.875%-8.125%, ranging in par value $10,065,000-$10,260,000, total market value $22,839,832) $ 22,378 $ 22,378 --------- Total Repurchase Agreements (Cost $43,285) 43,285 --------- Total Investments -- 100.7% (Cost $709,270) 873,199 --------- Other Assets and Liabilities, Net -- (0.7%) (6,288) --------- Net Assets: Fund Shares of Class A (unlimited authorization -- no par value) based on 94,995,229 outstanding shares of beneficial interest 917,298 Distributions in excess of net investment income (4,370) Accumulated net realized loss on investments (209,548) Net unrealized appreciation on investments (2) 163,929 Net unrealized depreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency (398) --------- Total Net Assets-- 100.0% $ 866,911 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A $9.13 ========= * Non-income producing security Amounts designated as "--" are either $0 or have been rounded to $0. (1) Security fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. (2) Net of $365,920 accrued foreign withholding taxes on appreciated securities. (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. ADR -- American Depository Receipt 'F' -- Foreign Shares GBP -- Great Britain Pound GDR -- Global Depository Receipt GDS -- Global Depository Share The accompanying notes are an integral part of the financial statements. 18 - -------------------------------------------------------------------------------- International Fixed Income Fund - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Foreign Bonds -- 85.7% Australia -- 0.5% Commonwealth of Australia 8.750%, 08/15/08 5,700 $ 4,330 --------- Canada -- 2.8% Government of Canada 5.500%, 09/01/02 6,968 4,737 7.250%, 06/01/07 22,225 16,542 9.000%, 06/01/25 1,005 958 --------- 22,237 --------- Denmark -- 0.6% Kingdom of Denmark 7.000%, 11/15/07 33,300 5,245 --------- France -- 4.2% Government of France BTAN 4.750%, 03/12/02 30,936 33,696 --------- Germany -- 18.5% Bundesschatzanweisungen 4.000%, 03/17/00 85,755 92,108 3.000%, 12/15/00 23,980 25,567 Deutschland Republic 4.500%, 07/04/09 5,957 6,065 6.250%, 01/04/24 22,571 25,511 KFW International Finance 6.625%, 04/15/03 582 667 --------- 149,918 --------- Greece -- 2.2% Government of Greece 8.700%, 04/08/05 2,492,500 8,766 8.600%, 03/26/08 2,492,500 9,016 --------- 17,782 --------- Hungary -- 2.0% Government of Hungary 12.500%, 04/12/02 3,929,320 15,938 --------- Italy -- 3.2% Republic of Italy 4.500%, 07/15/03 24,109 25,793 --------- Japan -- 19.9% Asian Development Bank 3.125%, 06/29/05 3,413,000 35,662 European Investment Bank 3.000%, 09/20/06 3,658,000 38,115 Export-Import Bank 2.875%, 07/28/05 2,470,000 25,561 - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Inter-American Development Bank 1.900%, 07/08/09 2,563,000 $ 24,603 Japanese Development Bank 2.875%, 12/20/06 3,550,000 36,782 --------- 160,723 --------- Netherlands -- 18.6% Kingdom of Netherlands 5.750%, 01/15/04 119,407 133,913 5.500%, 01/15/28 16,515 16,671 --------- 150,584 --------- Spain -- 4.4% Government of Spain 4.250%, 07/30/02 32,990 35,438 --------- Sweden -- 2.6% Kingdom of Sweden 10.250%, 05/05/03 148,900 21,295 --------- United Kingdom -- 6.2% United Kingdom Treasury 7.500%, 12/07/06 4,151 7,375 8.500%, 07/16/07 9,677 18,293 8.000%, 12/07/15 11,560 24,555 --------- 50,223 --------- Total Foreign Bonds (Cost $677,720) 693,202 --------- U.S. Treasury Obligations -- 4.6% U.S. Treasury Bond 6.125%, 11/15/27 680 $ 661 U.S. Treasury Notes 6.750%, 04/30/00 36,229 36,535 5.625%, 05/15/08 260 252 --------- Total U.S. Treasury Obligations (Cost $37,432) 37,448 --------- U.S. Government Mortgage- Backed Obligations -- 4.1% FNMA 6.875%, 06/07/02 GBP 5,150 $ 8,512 FNMA 2.125%, 10/09/07 JPY 1,100 10,835 1.750%, 03/26/08 JPY 1,440 13,843 --------- Total U.S. Government Mortgage- Backed Obligations (Cost $30,830) 33,190 --------- 19 STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 International Fixed Income Fund--Concluded - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Repurchase Agreements -- 3.5% Morgan Stanley 5.18%, dated 09/24/99, matures 10/01/99, repurchase price $18,944,062 (collateralized by U.S. Treasury Note, due 08/15/15, 10.625%, par value $13,520,000, market value $19,082,533) $18,925 $ 18,925 State Street Bank 4.25%, dated 09/30/99, matures 10/01/99, repurchase price $9,583,131 (collateralized by U.S. Treasury Note, due 08/15/25, 6.875%, par value $9,210,000, market value $9,774,342) 9,582 9,582 --------- Total Repurchase Agreements (Cost $28,507) 28,507 --------- Total Investments-- 97.9% (Cost $774,489) 792,347 --------- Other Assets and Liabilities, Net -- 2.1% 17,093 --------- Net Assets: Fund Shares of Class A (unlimited authorization -- no par value) based on 73,416,238 outstanding shares of beneficial interest 798,651 Undistributed net investment income 1,726 Accumulated net realized loss on investments (6,181) Net unrealized appreciation on investments 17,858 Net unrealized depreciation on forward foreign currency contracts, foreign currency and translation of other assets and liabilities in foreign currency (2,614) --------- Total Net Assets-- 100.0% $ 809,440 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.03 ========= BTAN -- Bons du tresor a Taux Fixe et a Interet Annel FNMA -- Federal National Mortgage Association GBP -- Great Britain Pound JPY -- Japanese Yen (1) In local currency unless otherwise indicated. The accompanying notes are an integral part of the financial statements. Emerging Markets Debt Fund - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Foreign Bonds -- 89.1% Algeria -- 3.0% Republic of Algeria FRN Tranche 1 Restructured 6.813%, 09/04/06 3,000 $ 2,235 Republic of Algeria FRN Tranche 3 Restructured 6.813%, 03/04/10 6,600 4,653 Republic of Algeria FRN Tranche A Restructured 7.500%, 03/04/00 1,766 1,722 ------- 8,610 ------- Argentina -- 16.9% Government of Argentina 11.000%, 12/04/05 10,875 10,342 11.375%, 01/30/17 8,250 7,776 11.750%, 02/12/07 ARS 12,500 10,502 11.750%, 04/07/09 7,950 7,672 Government of Argentina (A) 6.000%, 03/31/23 7,850 5,613 Government of Argentina FRB (A) 6.813%, 03/31/05 924 809 Government of Argentina FRN (A) 11.786%, 04/10/05 6,250 5,406 Government of Argentina Global Warrant* 10,875 27 ------- 48,147 ------- Brazil -- 16.9% Government of Brazil, Series EI-L (A) 5.875%, 04/15/06 4,750 3,705 Government of Brazil FLIRB L Registered (A) 5.000%, 04/15/09 3,000 1,785 Government of Brazil DCB L Registered (A) 5.938%, 04/15/12 7,500 4,444 Government of Brazil C Bond Bearer 5.000%, 04/15/14 39,026 24,245 Government of Brazil C Bond Registered 5.000%, 04/15/14 2,424 1,506 Government of Brazil DCB L Bearer (A) 5.938%, 04/15/12 300 178 20 - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Government of Brazil Discount Notes, Series ZL 5.875%, 04/15/24 4,100 $ 2,547 Government of Brazil NMB L Bearer (A) 5.938%, 04/15/09 5,200 3,666 Government of Brazil NMB L Registered (A) 5.938%, 04/15/09 8,250 5,817 ------- 47,893 ------- Bulgaria -- 4.5% Bulgaria IAB Registered (A) 6.500%, 07/28/11 4,400 3,113 Republic of Bulgaria Discount Notes, Series A 6.500%, 07/28/24 5,100 3,353 Republic of Bulgaria FLIRB Non-U.S. Global Bearer, Series A 2.750%, 07/28/12 9,950 6,244 ------- 12,710 ------- Colombia -- 4.9% Republic of Colombia 7.250%, 02/15/03 800 706 8.375%, 02/15/27 1,500 1,050 9.750%, 04/23/09 5,200 4,459 Republic of Columbia 7.270%, 06/15/03 6,000 5,145 Republic of Columbia FRN (A) 12.471%, 08/13/05 2,900 2,683 ------- 14,043 ------- Costa Rica -- 0.8% Government of Costa Rica, Series B 6.250%, 05/21/15 2,600 2,139 ------- Croatia -- 2.4% Government of Croatia FRN, Series A 6.456%, 07/31/10 6,250 4,891 Government of Croatia FRN, Series B (A) 6.456%, 07/31/06 2,379 1,963 ------- 6,854 ------- Ecuador -- 1.6% Government of Ecuador Discount Notes FRN 6.750%, 02/28/25 1,750 543 - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Government of Ecuador Registered PAR 4.000%, 02/28/25 13,700 $ 3,973 ------- 4,516 ------- Ivory Coast -- 0.9% Ivory Coast FLIRB 144a (A) 2.000%, 03/29/18 2,500 450 Ivory Coast FLIRB Registered (A) 2.000%, 03/29/18 4,000 720 Ivory Coast PDI 2.000%, 03/29/18 5,053 1,364 ------- 2,534 ------- Mexico -- 6.2% Government of Mexico Discount, Series B 5.875%, 12/31/19 1,925 1,643 Government of Mexico Discount, Series C 5.874%, 12/31/19 2,500 2,134 Government of Mexico Par Bonds with Recovery Rights, Series A 6.250%, 12/31/19 6,300 4,631 Government of Mexico Par Bonds with Recovery Rights, Series B 6.250%, 12/31/19 2,950 2,168 Petroleos Mexicanos 9.250%, 03/30/18 3,750 3,150 United Mexico States 11.500%, 05/15/26 1,600 1,760 United Mexico States Warrant* 28,176 2,127 ------- 17,613 ------- Morocco -- 3.1% Morocco R&C Loan FRN, Tranche A 5.906%, 01/01/09 10,397 8,811 ------ Panama -- 1.7% Government of Panama 8.250%, 04/22/08 2,000 1,740 Government of Panama IRB 4.250%, 07/17/14 4,050 2,876 Government of Panama PDI 4.000%, 07/17/16 298 213 ------- 4,829 ------- 21 SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Emerging Markets Debt Fund--Concluded - -------------------------------------------------------------------------------- Face Amount Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Peru -- 3.2% Republic of Peru FLIRB 3.750%, 03/07/17 12,625 $ 6,770 Republic of Peru PDI 4.500%, 03/07/17 4,000 2,455 -------- 9,225 -------- Philippines -- 3.4% Government of Philippines 9.875%, 01/15/19 10,200 9,677 -------- Poland -- 2.8% Republic of Poland RSTA 4.000%, 10/27/24 8,000 5,160 Telekomunikacja Polska SA 144a (A) 7.750%, 12/10/08 2,750 2,671 -------- 7,831 -------- Russia -- 6.6% Russian Government 11.750%, 06/10/03 2,800 1,456 12.750%, 06/24/28 16,460 7,757 Russian Government Principal Loans* 6.063%, 12/15/20 104,650 9,549 -------- 18,762 -------- South Korea -- 0.6% Korea Development Bank 7.625%, 10/01/02 1,750 1,748 -------- Venezuela -- 9.6% Government of Venezuela 13.625%, 08/15/18 18,800 17,202 9.250%, 09/15/27 1,250 823 Government of Venezuela PAR, Series B 6.750%, 03/31/20 3,000 1,958 Government of Venezuela Discount, Series A (A) 5.875%, 03/31/20 1,500 983 Government of Venezuela FLIRB, Series A 6.875%, 03/31/07 4,464 3,362 Government of Venezuela DCB 6.313%, 12/18/07 4,047 3,096 Venezuela Par Rights* 15 -- -------- 27,424 -------- Total Foreign Bonds (Cost $263,918) 253,366 -------- - -------------------------------------------------------------------------------- Face Amount/Shares Market Description (000)(1) Value (000) - -------------------------------------------------------------------------------- Options -- 0.1% January 2000, Hong Kong Dollar Option Put, Strike Price $7.8025* 84,250,000 $ 143 January 2000, Hong Kong Dollar Option Put, Strike Price $7.8165* 42,000,000 42 -------- Total Options (Cost $1,025) 185 -------- Treasury Note -- 7.1% US T-Note 6.125%, 08/15/29 $20,000 20,181 -------- Total Treasury Note (Cost $20,016) 20,181 -------- Repurchase Agreement -- 3.7% State Street Bank 5.25%, dated 09/30/99, matures 10/01/99, repurchase price $10,430,520 (collateralized by U.S. Treasury Note, due 11/15/21, 8.00%, par value $8,845,000, market value $10,641,640) 10,429 10,429 -------- Total Repurchase Agreement (Cost $10,429) 10,429 -------- Total Investments -- 100.0% (Cost $295,388) $284,161 ======== * 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. ARS -- Argentina Peso DCB -- Discount Bond FLIRB -- Front Loaded Interest Reduction Bond FRB -- Floating Rate Bond FRN -- Floating Rate Note IAB -- Interest Arrears Bond IRB -- Interest Revenue Bond NMB -- New Money Bond PDI -- Past Due Interest RSTA -- Revolving Short Term Agreement (1) In U.S. dollars unless otherwise indicated. The accompanying notes are an integral part of the financial statements. 22 STATEMENT OF ASSETS AND LIABILITIES (000) - ------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 -------- Emerging Markets Debt Fund -------- Assets: Investment securities (Cost $295,388) $284,161 Interest receivable 7,085 Receivable for investment securities sold 22,476 Receivable for shares of beneficial interest sold 2,205 Other assets 65 -------- Total Assets 315,992 -------- Liabilities: Payable for investment securities purchased 25,658 Payable for shares of beneficial interest redeemed 5,174 Payable to affiliates 394 Other liabilities 773 -------- Total Liabilities 31,999 -------- Net Assets $283,993 ======== Net Assets: Fund shares of Class A (unlimited authorization -- no par value) based on 35,031,158 outstanding shares of beneficial interest 307,050 Undistributed net investment income 20,913 Accumulated net realized loss on investments (32,743) Net unrealized depreciation on investments (11,227) -------- Net Assets $283,993 ======== Net asset value, offering and redemption price per share -- Class A $ 8.11 ======== The accompanying notes are an integral part of the financial statements. 23 STATEMENT OF OPERATIONS (000) - ------------------------------------------------------------------------------- SEI Institutional International Trust-- For the year ended September 30, 1999
------------ ----------- ------------- --------- Emerging International Emerging International Markets Fixed Markets Equity Fund Equity Fund Income Fund Debt Fund ------------ ----------- ------------- --------- Investment Income: Dividends $ 23,817 $ 10,791 $ -- $ -- Interest 1,572 1,115 25,920 30,562 Less: Foreign Taxes Withheld (2,293) (559) -- -- -------- -------- -------- ------- Total Investment Income 23,096 11,347 25,920 30,562 -------- -------- -------- ------- Expenses: Management fees 6,241 4,600 3,908 1,458 Investment advisory fees 7,004 7,431 1,954 1,907 Less: Investment advisory fees waived (380) (1,377) (326) (641) Shareholder servicing fees 3,466 1,769 1,628 561 Less: Shareholder servicing fees waived -- -- (1,115) (415) Custodian/wire agent fees 948 1,183 241 65 Professional fees 102 53 46 18 Registration & filing fees 183 44 106 30 Printing fees 82 37 42 11 Trustee fees 31 14 14 5 Pricing fees 21 19 19 17 Distribution fees 1 -- -- -- Amortization of deferred organization costs -- 2 1 4 Other expenses 53 25 21 8 -------- -------- -------- ------- Total Expenses 17,752 13,800 6,539 3,028 -------- -------- -------- ------- Net Investment Income (Loss) 5,344 (2,453) 19,381 27,534 -------- -------- -------- ------- Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions: Net realized gain (loss) from: Security transactions 30,559 (34,375) (3,927) (776) Futures contracts 2,274 -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (641) (2,152) (6,019) 12 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 1,244 (117) (4,342) -- Net change in unrealized appreciation (depreciation) on investments 372,263 301,729* (11,734) 29,103 -------- -------- -------- ------- Net Increase (Decrease) in Net Assets from Operations $411,043 $262,632 $ (6,641) $55,873 ======== ======== ======== =======
* Net of $365,920 charge in accrued foreign withholding taxes on appreciated securities. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 24 STATEMENT OF CHANGES IN NET ASSETS (000) - ------------------------------------------------------------------------------- SEI Institutional International Trust--For the year ended September 30, 1999, the seven month period ended September 30, 1998 and for the year ended February 28, 1998
------------------------------------- ------------------------------------- International Emerging Markets Equity Fund Equity Fund ------------------------------------- ------------------------------------- 10/1/98- 3/1/98- 3/1/97- 10/1/98- 3/1/98- 3/1/97- 9/30/99 9/30/98 2/28/98 9/30/99 9/30/98 2/28/98 ------------------------------------- ------------------------------------- Operations: Net investment income (loss) $ 5,344 $ 9,403 $ 8,682 $ (2,453) $ 4,679 $ (241) Net realized gain (loss) from investment transactions 32,833 56,947 (9,726) (34,375) (146,444) (26,146) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (641) (2,404) 4,310 (2,152) (1,510) (2,534) 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 1,244 (6,248) 5,259 (117) (302) 9 Net change in unrealized appreciation (depreciation) on investments 372,263 (171,208) 60,622 301,729* (127,954) (38,411) ----------- --------- --------- --------- --------- --------- Net increase (decrease) in net assets from operations 411,043 (113,510) 69,147 262,632 (271,531) (67,323) ----------- --------- --------- --------- --------- --------- Distributions From: Net investment income: Class A (11,193) -- (13,649) (1,049) -- (1,039) Class D (3) -- (4) -- -- -- Net realized gains: Class A (37,113) -- (19,564) -- -- (284) Class D (12) -- (6) -- -- -- ----------- --------- --------- --------- --------- --------- Total distributions (48,321) -- (33,223) (1,049) -- (1,323) ----------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Class A: Proceeds from shares issued 1,066,515 445,665 485,986 450,898 361,528 421,404 Reinvestment of cash distributions 43,631 -- 25,961 1,011 -- 1,122 Cost of shares redeemed (595,013) (217,039) (220,367) (345,051) (101,275) (65,606) ----------- --------- --------- --------- --------- --------- Increase in net assets from Class A transactions 515,133 228,626 291,580 106,858 260,253 356,920 ----------- --------- --------- --------- --------- --------- Class D: Proceeds from shares issued 44 128 150 -- -- -- Reinvestment of cash distributions 15 -- 10 -- -- -- Cost of shares redeemed (67) (50) (59) -- -- -- ----------- --------- --------- --------- --------- --------- Increase in net assets from Class D transactions (8) 78 101 -- -- -- ----------- --------- --------- --------- --------- --------- Increase in Net Assets Derived from Capital Share Transactions 515,125 228,704 291,681 106,858 260,253 356,920 ----------- --------- --------- --------- --------- --------- Net increase (decrease) in net assets 877,847 115,194 327,605 368,441 (11,278) 288,274 Net Assets: Beginning of period 967,038 851,844 524,239 498,470 509,748 221,474 ----------- --------- --------- --------- --------- --------- End of period $ 1,844,885 $ 967,038 $ 851,844 $ 866,911 $ 498,470 $ 509,748 =========== ========= ========= ========= ========= ========= (1) Capital Share Transactions: Class A: Shares issued 97,155 42,475 49,078 56,297 44,898 36,760 Shares issued in lieu of cash distributions 4,292 -- 2,802 141 -- 112 Shares redeemed (54,402) (20,820) (22,162) (42,292) (12,415) (5,763) ----------- --------- --------- --------- --------- --------- Total Class A transactions 47,045 21,655 29,718 14,146 32,483 31,109 ----------- --------- --------- --------- --------- --------- Class D: Shares issued 4 12 16 -- -- -- Shares issued in lieu of cash distributions 2 -- 1 -- -- -- Shares redeemed (7) (5) (6) -- -- -- ----------- --------- --------- --------- --------- --------- Total Class D transactions (1) 7 11 -- -- -- ----------- --------- --------- --------- --------- --------- Net increase in capital shares 47,044 21,662 29,729 14,146 32,483 31,109 =========== ========= ========= ========= ========= =========
Amounts designated as "--" are either $0 or have been rounded to $0 * Net of $365,920 charge in accrued foreign withholding taxes on appreciated securities. 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 year ended September 30, 1999, the seven month period ended September 30, 1998 and for the year ended February 28, 1998 26
----------------------------------- ----------------------------------- International Emerging Markets Fixed Income Fund Debt Fund (1) ----------------------------------- ----------------------------------- 10/1/98- 3/1/98- 3/1/97- 10/1/98- 3/1/98- 6/29/97- 9/30/99 9/30/98 2/28/98 9/30/99 9/30/98 2/28/98 ----------------------------------- ----------------------------------- Operations: Net investment income $ 19,381 $ 9,840 $ 11,722 $ 27,534 $ 10,065 $ 4,652 Net realized gain (loss) from investment transactions (3,927) 5,777 2,697 (776) (29,101) (2,866) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (6,019) 7,250 (8,722) 12 (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 (4,342) 3,174 (2,725) -- -- -- Net change in unrealized appreciation (depreciation) on investments (11,734) 28,366 8,742 29,103 (42,403) 2,073 --------- --------- --------- --------- --------- --------- Net increase (decrease) in net assets from operations (6,641) 54,407 11,714 55,873 (61,440) 3,833 --------- --------- --------- --------- --------- --------- Distributions From: Net investment income: Class A (25,854) -- (2,928) (18,629) -- (2,694) Net realized gains: Class A (9,656) -- (3,022) -- -- -- --------- --------- --------- --------- --------- --------- Total distributions (35,510) -- (5,950) (18,629) -- (2,694) --------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Class A: Proceeds from shares issued 473,365 169,657 271,882 145,289 108,932 160,754 Reinvestment of cash distributions 33,746 -- 5,305 18,391 -- 2,651 Cost of shares redeemed (189,320) (99,238) (78,196) (79,869) (38,838) (10,260) --------- --------- --------- --------- --------- --------- Increase in Net Assets Derived from Capital Share Transactions 317,791 70,419 198,991 83,811 70,094 153,145 --------- --------- --------- --------- --------- --------- Net increase in net assets 275,640 124,826 204,755 121,055 8,654 154,284 Net Assets: Beginning of period 533,800 408,974 204,219 162,938 154,284 -- --------- --------- --------- --------- --------- --------- End of period $ 809,440 $ 533,800 $ 408,974 $ 283,993 $ 162,938 $ 154,284 ========= ========= ========= ========= ========= ========= (1) Capital Share Transactions: Class A: Shares issued 42,467 15,600 25,735 19,085 13,614 15,725 Shares issued in lieu of cash distributions 2,846 -- 504 2,533 -- 263 Shares redeemed (16,794) (8,988) (7,344) (10,439) (4,725) (1,025) --------- --------- --------- --------- --------- --------- Net increase in capital shares 28,519 6,612 18,895 11,179 8,889 14,963 ========= ========= ========= ========= ========= =========
Amounts designated as "--" are either $0 or have been rounded to $0. (1) 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 year ended September 30, 1999, the seven month period ended September 30, 1998 and for the years ended February 28, or 29. For a Share Outstanding Throughout each Period
Ratio of Net Invest- ment Ratio Income/ of Net (Loss) Invest- Ratio of to Net Distri- Distri- Ratio ment Expenses Average Net Net Realized butions butions Net of Income/ to Net Asset Invest- and Un- from from Asset Expenses (Loss) Average Assets Port- Value ment realized Net In- Realized Value Net Assets to Aver- to Aver- Net Assets Exclu- folio Beginning Income/ Gains/ vestment Capital End of Total End of age Net age Net (Excluding ding Turnover of Period (Loss) (Losses) Income(4) Gains Period Return Period (000) Assets Assets Waivers) Waivers) Rate - ----------------------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------- International Equity Fund - ------------------------------------------------------- Class A For the year ended September 30: 1999(5) $ 9.16 $ 0.04 $ 3.34 $(0.10) $(0.35) $12.09 37.86% $1,844,459 1.28% 0.39% 1.31% 0.36% 61% For the seven month period ended September 30: 1998(5) $10.15 $ 0.07 $(1.06) $-- $ -- $ 9.16 (9.75)%* $ 966,707 1.24% 1.60%+ 1.31%+ 1.53%+ 66% For the years ended February 28 or 29: 1998(5) $ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $10.15 10.21% $ 851,542 1.21% 1.31% 1.30% 1.22% 75% 1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 524,062 1.28 1.11 1.42 0.97 117 1996 9.59 0.14 1.45 (0.19) (0.99) 10.00 17.30 347,646 1.25 1.29 1.29 1.25 102 1995 11.00 0.15 (0.97) -- (0.59) 9.59 (7.67) 328,503 1.19 1.30 1.21 1.28 64 Class D For the year ended September 30: 1999 $ 9.07 $(0.01) $ 3.35 $(0.09) $(0.35) $11.97 37.69% $ 426 1.43% 0.20% 1.46% 0.17% 61% For the seven month period ended September 30: 1998(5) $10.06 $ 0.06 $(1.05) $-- $ -- $ 9.07 (9.84)%* $ 331 1.39%+ 1.36%+ 1.46%+ 1.29%+ 66% For the years ended February 28 or 29: 1998(5) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $10.06 9.92% $ 302 1.36% 1.16% 1.45% 1.07% 75% 1997 9.93 0.05 0.47 (0.05) (0.82) 9.58 5.39 177 1.55 0.71 1.65 0.61 117 1996 9.56 0.04 1.50 (0.18) (0.99) 9.93 16.77 199 1.65 0.58 1.90 0.33 102 1995(1) 10.81 0.01 (0.67) -- (0.59) 9.56 (6.33)* 51 1.47 0.42 1.48 0.41 64 - ------------------------------------------------------- Emerging Markets Equity Fund - ------------------------------------------------------- Class A For the year ended September 30: 1999 $ 6.17 $(0.03) $ 3.00 $(0.01) $ -- $ 9.13 48.23% $ 866,911 1.95% (0.35)% 2.14% (0.54)% 129% For the seven month period ended September 30: 1998 $10.55 $ 0.07 $(4.45) $-- $ -- $ 6.17 (41.52)%* $ 498,470 1.95%+ 1.51%+ 2.24%+ 1.22%+ 46% For the years ended February 28 or 29: 1998 $12.87 $(0.03) $(2.25) $(0.03) $(0.01) $10.55 (17.72)% $ 509,748 1.95% (0.12%) 2.36% (0.53)% 76% 1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 221,474 1.95 (0.04) 2.55 (0.64) 100 1996 10.27 (0.02) 0.72 -- (0.04) 10.93 6.83 67,181 1.95 (0.23) 2.72 (1.00) 104 1995(2) 10.00 0.01 0.26 -- -- 10.27 2.70* 5,300 1.95 1.79 4.98 (1.24) -- - ------------------------------------------------------- International Fixed Income Fund - ------------------------------------------------------- Class A For the year ended September 30: 1999 $11.89 $ 0.30 $(0.42) $(0.53) $(0.21) $11.03 (1.36)% $ 809,440 1.00% 2.97% 1.22% 2.75% 278% For the seven month period ended September 30: 1998 $10.68 $ 0.40 $ 0.81 $-- $ -- $11.89 11.33%* $ 533,800 1.00%+ 3.61%+ 1.21%+ 3.40%+ 112% For the years ended February 28 or 29: 1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $10.68 3.23% $ 408,974 1.00% 3.92% 1.24% 3.68% 280% 1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 204,219 1.00 3.99 1.39 3.60 352 1996 10.42 0.58 0.89 (1.02) (0.10) 10.77 13.96 84,318 1.00 4.70 1.27 4.43 269 1995 10.23 0.43 0.40 (0.62) (0.02) 10.42 8.43 42,580 1.00 4.68 1.30 4.38 303 - ------------------------------------------------------- Emerging Markets Debt Fund - ------------------------------------------------------- Class A For the year ended September 30: 1999 $ 6.83 $ 0.84 $ 1.19 $(0.75) $ -- $ 8.11 31.15% $ 283,993 1.35% 12.27% 1.82% 11.80% 184% For the seven month period ended September 30: 1998 $10.31 $(0.11) $(3.37) $-- $ -- $ 6.83 (33.75)%* $ 162,938 1.35%+ 10.28%+ 1.84%+ 9.79%+ 186% For the year ended February 28: 1998(3) $10.00 $ 0.56 $-- $(0.25) $ -- $10.31 5.64%* $ 154,284 1.35% 8.05% 1.94% 7.46% 269%
+ 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) Emerging Markets Debt Class A shares were offered beginning June 29, 1997. All ratios for that period have been annualized. (4) Distributions from net investment income include distributions of certain foreign currency gains and losses. (5) 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, 1999 1. Organization SEI Institutional International Trust, (the "Trust"), was organized as a Massachusetts business trust under a Declaration of Trust dated June 30, 1988. The operations of the Trust commenced on December 20, 1989. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with four funds: 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 recently quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recently 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, fund positions or anticipated fund 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 year ended September 30, 1999. 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. Option Selling/Purchasing -- The Funds may invest in financial options contracts solely for the purpose of hedging its existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. When the Fund sells or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. 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. 29 NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 Accordingly, $3,200,000 and $258,000 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 International Fixed Income Fund reclassed $2,006,000 from accumulated net investment income to accumulated net realized loss on investments. 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 $2,848,000 and $7,378,000 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: (000) ------ International Equity Fund $(641) Emerging Markets Equity Fund (2,152) International Fixed Income Fund (6,019) Emerging Markets Debt Fund 12 These reclassifications have no effect on net assets or net 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 Trust 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 Invest-ment 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, 1999, pursuant to Sub-Advisory Agreements with SIMC, Acadian Asset Manage-ment, Inc., Capital Guardian Trust Company, Scottish Widows Investment Management Ltd., SG Pacific Asset Management Inc. (formally Yamaichi Capital Management, Inc.) and Oechsle International Advisors serve as Sub-Advisers to the International Equity Fund, and 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. 30 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, 1999, the Distributor was taking a fee under the Class D Plan of .25% of the average daily net assets attributable to Class D shares. This payment may be used to compensate financial institutions that provide distribution-related services to their customers. Under both the Class A Plan and the Class D Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. In addition, Class D shares incur transfer agency fees of up to .15% of the average daily net assets. Class D is also subject to a 5% sales load on purchases of shares. Certain Officers and/or Trustees of the Trust are also Officers and/or Directors of the Manager. Compensation of Officers and affiliated Trustees is paid by the manager. For the year ended September 30, 1999, the Funds paid commissions of $660,238 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. The Emerging Markets Equity and International Equity Funds also used the Distributor as an agent in placing repurchase agreements. For this service the Distributor retains a portion of the interest earned as a commission. Such commissions for the period ended September 30, 1999 were $4,152 and $9,959, respectively. 5. Forward Foreign Currency Contracts The Funds enter into forward foreign currency exchange contracts as hedges against fund positions and anticipated fund 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, 1999: In Unrealized Maturity Contracts to Exchange Appreciation Dates Deliver/Receive For (Depreciation) -------- --------------- -------- -------------- Emerging Markets Equity Fund - ----------------------------- Foreign Currency Sales: 10/1/99 GD 91,144,100 $ 292,832 $ 3,639 ----------- ------- $ 3,639 ======= International Equity Fund - ------------------------------------------------------- Foreign Currency Sales: 10/1/99-10/6/99 AD 503,576 $ 329,020 $ 481 10/4/99 CD 127,974 87,152 (89) 10/6/99-10/7/99 EC 429,601 457,154 (2,325) 10/1/99-10/5/99 JY 257,519,943 2,422,094 (878) 10/1/99-10/6/99 UK 555,714 915,494 438 ----------- -------- $ 4,210,914 $(2,375) ----------- -------- 31 NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 In Unrealized Maturity Contracts to Exchange Appreciation Dates Deliver/Receive For (Depreciation) -------- --------------- -------- -------------- Foreign Currency Purchases: 10/1/99 AD 312,204 $ 204,462 $ (780) 10/1/99 CD 748,945 510,529 34 10/1/99 CH 736,964 488,444 4,641 10/1/99-10/29/99 EC 3,319,308 3,525,824 25,356 10/1/99 GD 34,247,458 110,515 884 10/1/99-10/5/99 JY 434,449,339 4,079,895 7,660 10/1/99 ND 255,048 131,860 303 10/4/99 PP 1,558,758 38,205 -- 10/1/99-10/5/99 SK 2,162,702 264,544 1,760 10/5/99 UK 1,020,806 1,679,021 1,871 ----------- ---------- $11,033,298 $ 41,730 ----------- ---------- $ 39,355 ========== International Fixed Income Fund - -------------------------------- Foreign Currency Sales: 10/1/99-11/18/99 AD 18,441,418 $12,027,721 $ (11,115) 10/1/99-11/18/99 CD 104,101,574 70,857,732 (150,803) 10/1/99-11/18/99 CH 36,184,614 23,691,697 (571,468) 10/1/99-11/18/99 DK 270,832,473 38,225,800 (635,530) 10/1/99-11/18/99 EC 257,331,249 270,634,306 (5,471,582) 11/18/99 GD 2,898,828,938 9,262,618 (119,488) 1/11/00 HD 18,865,415 2,403,850 (21,869) 10/1/99-11/18/99 JY15,203,797,162 146,145,710 2,142,461 10/1/99-11/18/99 SK 114,425,790 13,954,494 (169,257) 10/1/99-11/18/99 UK 27,315,410 44,847,584 (134,192) ------------ ----------- $632,051,512 $(5,142,844) ============ =========== Foreign Currency Purchases: 10/1/99-11/18/99 AD 7,739,025 $ 5,044,981 $ 6,818 10/1/99-11/18/99 CD 71,034,947 48,335,432 109,263 10/1/99-11/18/99 CH 50,511,544 33,140,634 761,323 10/1/99-11/18/99 DK 398,695,398 56,351,794 893,082 10/1/99-11/18/99 EC 229,711,513 242,080,833 4,368,967 1/11/00 HD 18,865,415 2,395,000 30,719 10/1/99-11/18/99 JY23,153,255,452 223,645,485 (4,333,639) 10/1/99-11/18/99 SK 41,880,709 5,091,881 72,692 10/1/99-11/18/99 UK 47,968,879 78,681,707 311,546 ------------ ----------- $694,767,750 $ 2,220,770 ------------ ----------- $(2,922,074) =========== Currency Legend AD Australian Dollar HD Hong Kong Dollar CD Canadian Dollar JY Japanese Yen CH Swiss Franc ND New Zealand Dollar DK Danish Kroner PP Philippine Peso EC Euro Currency SK Swedish Krona GD Greek Drachma UK British Pound 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, 1999, were as follows: Purchases Sales (000) (000) ---------- ---------- International Equity Fund $1,273,741 $ 819,649 Emerging Markets Equity Fund 955,070 873,591 International Fixed Income Fund 1,720,523 1,563,738 Emerging Markets Debt Fund 326,378 258,486 The International Fixed Income Fund purchased $370,578,996 and sold $369,004,832 in U.S. government securities, during the period ended September 30, 1999. For Federal income tax purposes, the cost of securities owned at September 30, 1999 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, 1999 for the Funds is as follows:
Book Net Less: Tax Appre- Depre- Unrealized Tax Net ciated ciated Appreciation/ Basis Ad- Appreciation/ Securities Securities (Depreciation) justments (Depreciation) (000) (000) (000) (000) (000) ---------- ---------- -------------- --------- -------------- International Equity Fund $324,874 $(50,869) $274,005 $ 3,301 $270,704 Emerging Markets Equity Fund 201,958 (38,029) 163,929* 16,893 147,036 International Fixed Income Fund 25,725 (7,867) 17,858 6,180 11,678 Emerging Markets Debt Fund 14,944 (26,171) (11,227) 2,271 (13,498)
*Net of $365,920 charge in accrued foreign withholding tax on appreciated securities. 32 Subsequent to October 31, 1998, the following Funds had recognized net capital and net foreign currency losses that have been deferred to 1999 for tax purposes and can be used to offset future capital and foreign currency gains at September 30, 2000. The Funds also had capital loss carry-forwards at September 30, 1999, that can be used to offset future capital gains. Post Post Capital Loss 10/31/98 10/31/98 Carryovers Capital Currency Expiring Loss Deferral Loss Deferral 2005-2007 ------------- ------------- ------------ International Equity -- $ 763,608 -- Emerging Markets Equity -- $ 2,270,017 $192,655,877 International Fixed Income $3,078,291 $16,120,609 -- Emerging Markets Debt -- -- $ 30,471,978 7. Futures Contracts The International Equity Fund had futures contracts open as of September 30, 1999: Contract Number of Trade Settlement Unrealized Description Contracts Price Month Gain/(Loss) ----------- --------- ----- ---------- ---------- Australia Ords Index 2 2,924 December 99 $ (1,349) Australia Ords Index 4 2,927 December 99 (2,894) Australia Ords Index 1 2,919 December 99 (593) Australia Ords Index 2 2,896 December 99 (435) Australia Ords Index 1 2,940 December 99 (937) Australia Ords Index 1 2,943 December 99 (986) Australia Ords Index 1 2,898 December 99 (251) Australia Ords Index 1 2,899 December 99 (267) CAC 40 Index 8 4,704 December 99 (7,620) CAC 40 Index 20 4,700 December 99 (18,192) CAC 40 Index 10 4,629 December 99 (1,628) CAC 40 Index 7 4,575 December 99 2,816 CAC 40 Index 3 4,629 December 99 (484) CAC 40 Index 7 4,613 December 99 16 CAC 40 Index 7 4,554 December 99 4,397 DAX Index 2 5,364 December 99 (10,932) DAX Index 3 5,375 December 99 (17,256) DAX Index 7 5,410 December 99 (46,584) DAX Index 3 5,280 December 99 (9,779) DAX Index 3 5,209 December 99 (4,194) DAX Index 1 5,270 December 99 (2,991) DAX Index 3 5,189 December 99 (2,634) DAX Index 3 5,150 December 99 468 FT-SE 100 Index 7 6,045 December 99 4,466 FT-SE 100 Index 9 6,100 December 99 (2,364) FT-SE 100 Index 15 6,128 December 99 (10,791) FT-SE 100 Index 12 5,978 December 99 20,735 FT-SE 100 Index 8 5,970 December 99 14,885 FT-SE 100 Index 3 6,113 December 99 (1,470) FT-SE 100 Index 7 6,101 December 99 (2,020 FT-SE 100 Index 9 6,072 December 99 1,689 Hang Seng Index 6 13,042 October 99 (11,857) Hang Seng Index 1 12,950 October 99 (1,384) Hang Seng Index 1 12,920 October 99 (1,191) Hang Seng Index 1 12,890 October 99 (998) IBEX 35 Index 1 9,645 October 99 (1,587) IBEX 35 Index 2 9,730 October 99 (4,943) IBEX 35 Index 2 9,685 October 99 (4,002) IBEX 35 Index 1 9,686 October 99 (2,011) Contract Number of Trade Settlement Unrealized Description Contracts Price Month Gain/(Loss) ----------- --------- ----- ---------- ---------- IBEX 35 Index 1 9,687 October 99 $ (2,022) IBEX 35 Index 2 9,650 October 99 (3,267) IBEX 35 Index 1 9,600 October 99 (1,108) IBEX 35 Index 2 9,690 October 99 (4,110) IBEX 35 Index 1 9,537 October 99 (432) NIKKEI 225 Index 8 17,430 December 99 3,655 NIKKEI 225 Index 8 17,150 December 99 14,380 NIKKEI 225 Index 20 17,560 December 99 (2,437) NIKKEI 225 Index 19 17,020 December 99 47,195 NIKKEI 225 Index 5 17,030 December 99 12,349 NIKKEI 225 Index 10 17,270 December 99 13,392 NIKKEI 225 Index 7 17,350 December 99 6,742 MIB 30 Index 2 34,860 December 99 (9,492) MIB 30 Index 1 34,615 December 99 (3,468) MIB 30 Index 1 34,755 December 99 (4,196) MIB 30 Index 1 34,485 December 99 (2,779) MIB 30 Index 1 34,640 December 99 (3,590) -------- $(64,340) ======== 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 and Emerging Markets Debt Fund invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the International Fixed Income Fund and Emerging Markets Debt Fund to meet its obligations may be affected by economic and political developments in a specific country, industry or region. 33 NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 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 bor-rower, 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. 34 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, Emerging Markets Equity and International Fixed Income Funds and the statement of assets and liabilities, including the schedule of investments, of the 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 the SEI Institutional International Trust, hereafter referred to as the "Trust") at September 30, 1999 and the results of each of their operations for the year then ended, and the changes in each of their net assets and financial highlights for each of 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, 1999 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 12, 1999 35 NOTICE TO SHAREHOLDERS - ------------------------------------------------------------------------------- SEI Institutional International Trust -- September 30, 1999 (Unaudited) For shareholders that do not have a September 30, 1999 taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 1999 taxable year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended September 30, 1999 the Funds of the SEI Institutional International Trust are designating the following items with regard to distributions paid during the year.
LONG TERM ORDINARY CAPITAL GAINS INCOME DISTRIBUTIONS DISTRIBUTIONS PORTFOLIO (TAX BASIS) (TAX BASIS) TOTAL - --------- -------------- ------------- ----- International Equity 45% 55% 100% Emerging Markets Equity 0% 100% 100% International Fixed Income 1% 99% 100% Emerging Markets Debt 0% 100% 100%
36 - ---------------------- SEI INSTITUTIONAL INTERNATIONAL TRUST - ---------------------- ANNUAL REPORT - ---------------------- September 30, 1999 Robert A. Nesher Chairman Trustees William M. Doran F. Wendell Gooch 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 Kevin P. Robins Vice President, Assistant Secretary Cynthia M. Parrish Vice President, Assistant Secretary Lydia A. Gavalis Vice President, Assistant Secretary Lynda J. Striegel Vice President, Assistant Secretary James R. Foggo Vice President, Assistant Secretary Robert Ludwig Vice President, Assistant Secretary Richard W. Grant Secretary Investment Advisors International Equity Fund SEI Investments Management Corporation Emerging Markets Equity Fund SEI Investments Management Corporation International Fixed Income Fund Strategic Fixed Income LLC Emerging Markets Debt Fund 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 SEI Investments Distribution Co. Oaks, PA 19456-1100 800-DIAL-SEI/800-342-5734 SEI-F--18-09 -----END PRIVACY-ENHANCED MESSAGE-----