N-CSRS 1 g51191_sit-ncsrs.txt G51191_SIT-NCSRS.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 ---------- FORM N-CSRS ---------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-5601 SEI INSTITUTIONAL INTERNATIONAL TRUST (Exact name of registrant as specified in charter) ---------- c/o CT Corporation 101 Federal Street Boston, MA 02110 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: SEPTEMBER 30, 2009 DATE OF REPORTING PERIOD: MARCH 31, 2009 ITEM 1. REPORTS TO STOCKHOLDERS. (SEI LOGO) New ways. New answers.(R) SEI Institutional International Trust Semi-Annual Report as of March 31, 2009 International Equity Fund Emerging Markets Equity Fund International Fixed Income Fund Emerging Markets Debt Fund TABLE OF CONTENTS Schedules of Investments 1 Statements of Assets and Liabilities 42 Statements of Operations 43 Statements of Changes in Net Assets 44 Financial Highlights 46 Notes to Financial Statements 47 Disclosure of Fund Expenses 58 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements 59
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund March 31, 2009 (PERFORMANCE GRAPH) SECTOR WEIGHTINGS+: Financials 18.2% Healthcare 10.5% Energy 9.4% Telecommunication Services 9.3% Consumer Staples 8.5% Industrials 8.4% Basic Materials 7.4% Consumer Discretionary 6.4% Affiliated Partnership 6.3% Utilities 5.3% Information Technology 5.3% Mortgage-Backed Securities 3.3% U.S. Treasury Obligations 0.7% Asset-Backed Securities 0.6% Short-Term Investments 0.3% Rights 0.1% U.S. Government Agency Obligations 0.0%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- COMMON STOCK -- 90.5% AUSTRALIA -- 4.8% AGL Energy 63,500 $ 660 Aristocrat Leisure 57,128 135 Australia & New Zealand Banking Group 506,906 5,547 AWB 135,037 115 Babcock & Brown (A) (B) 28,888 5 Beach Petroleum 25,000 15 Bendigo and Adelaide Bank 1,600 9 BHP Billiton 548,497 12,161 BlueScope Steel 144,001 257 Brambles (B) 90,457 302 Caltex Australia 87,871 544 CFS Retail Property Trust (B) (C) 96,900 110 Challenger Financial Services Group (B) 256,306 260 Coca-Cola Amatil 105,170 634 Cochlear 20,520 714 Commonwealth Bank of Australia 162,940 3,932 Computershare 150,018 915 Crown 111,569 492 CSL 333,928 7,538 Dexus Property Group (C) 191,700 100 Downer EDI 109,818 340 Energy Resources of Australia 17,146 253 Foster's Group 367,586 1,292 Goodman Fielder (B) 597,710 434 Goodman Group (C) 325,789 74 GPT Group (C) 198,683 60 Iluka Resources 76,600 215 Incitec Pivot 108,548 160 Insurance Australia Group 190,500 463 JB Hi-Fi 6,947 56 John Fairfax Holdings 60,771 43 Lion Nathan (B) 69,600 391 Macquarie Airports (B) 648,133 817 Macquarie Group 39,334 739
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Macquarie Infrastructure Group 2,080,365 $ 2,125 Macquarie Office Trust (C) 183,580 22 Metcash 69,300 196 Mirvac Group (C) 43,593 26 National Australia Bank 301,920 4,216 Newcrest Mining 97,354 2,214 Nufarm 159,117 1,249 OneSteel 30,227 47 Origin Energy 159,290 1,638 Pacific Brands (B) 434,679 74 Qantas Airways 47,368 57 QBE Insurance Group 56,117 751 Rio Tinto 74,627 2,933 Santos 48,700 570 SP AusNet, Cl Miscellaneous 46,456 29 Suncorp-Metway 100,605 419 TABCORP Holdings (B) 108,883 492 Tatts Group 125,013 241 Telstra 556,389 1,241 Wesfarmers 85,992 1,128 Westfield Group (C) 171,506 1,192 Westpac Banking 239,310 3,174 Woodside Petroleum 37,222 985 Woolworths 121,953 2,119 WorleyParsons 46,323 579 ------------- 67,499 ------------- AUSTRIA -- 0.2% Erste Group Bank (B) 27,901 473 OMV 46,380 1,552 Strabag 4,443 87 Telekom Austria 24,652 373 Voestalpine 46,580 609 ------------- 3,094 ------------- BELGIUM -- 1.2% Banque Nationale de Belgique 3 9 Colruyt 3,526 808 Delhaize Group 74,835 4,850 Dexia (B) 163,515 565 Euronav 11,032 162 Fortis 147,570 271 Groupe Bruxelles Lambert 33,124 2,250 InBev 116,446 3,207 KBC Groep 53,274 862 Solvay 24,450 1,712 Telenet Group Holding* 30,423 515 UCB 36,354 1,071 Umicore 39,079 722 ------------- 17,004 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 1 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- BERMUDA -- 0.2% Catlin Group 160,150 $ 719 Hiscox (GBP) 124,000 549 Seadrill (NOK) 80,259 777 ------------- 2,045 ------------- BRAZIL -- 0.2% Banco do Brasil 186,200 1,386 Redecard 44,000 537 Unibanco - Uniao de Bancos Brasileiros ADR 8,880 561 ------------- 2,484 ------------- CANADA -- 2.5% Agnico-Eagle Mines 15,615 899 Barrick Gold 40,057 1,299 BCE 84,500 1,687 Bombardier, Cl B 381,700 892 Canadian National Railway 97,060 3,487 Canadian Utilities 15,100 441 CGI Group, Cl A* 86,700 702 EnCana 148,320 6,035 Fairfax Financial Holdings 3,700 959 Goldcorp 186,580 6,217 IAMGOLD 80,076 692 Kinross Gold 169,100 3,022 Petro-Canada 155,310 4,181 Royal Bank of Canada 29,700 868 Sun Life Financial 39,460 716 Talisman Energy 65,000 690 TELUS, Cl A 45,245 1,187 Toronto-Dominion Bank 22,840 789 ------------- 34,763 ------------- CHINA -- 0.9% Bank of Communications 4,089,000 2,839 China Life Insurance 1,316,900 4,367 China Petroleum & Chemical 2,461,710 1,575 China Railway Group* 1,653,000 966 Huaneng Power International 1,097,000 728 Industrial & Commercial Bank of China 5,283,000 2,747 ------------- 13,222 ------------- DENMARK -- 0.6% A P Moller - Maersk, Cl A 590 2,556 Danisco 18,685 559 East Asiatic 7,758 219 Novo Nordisk, Cl B 40,284 1,928 Novozymes, Cl B 14,006 1,011
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Topdanmark* 2,086 $ 205 Vestas Wind Systems* 52,975 2,323 ------------- 8,801 ------------- FINLAND -- 0.9% Citycon 14,319 28 Elisa, Cl A 5,274 77 Kone, Cl B 13,327 276 Konecranes 21,693 363 Nokia 512,854 6,046 Orion, Cl B (B) 25,440 368 Pohjola Bank, Cl A 18,456 135 Sampo, Cl A 187,759 2,772 Stora Enso, Cl R 87,100 309 UPM-Kymmene (B) 178,189 1,029 Wartsila, Cl B 44,618 941 ------------- 12,344 ------------- FRANCE -- 8.8% Air France-KLM 50,729 451 Air Liquide 16,432 1,336 Alstom 34,858 1,804 Arkema 33,500 529 Atos Origin 600 15 AXA 133,046 1,599 BNP Paribas 220,706 9,119 Bouygues 61,198 2,187 Capital Gemini 30,371 977 Christian Dior 20,100 1,101 Cie de Saint-Gobain 48,167 1,351 CNP Assurances 10,716 676 Compagnie Generale de Geophysique* 13,322 155 Credit Agricole 367,392 4,054 Eramet 3,240 712 Eurazeo 1,891 51 Eutelsat Communications 43,357 921 France Telecom 766,598 17,456 GDF Suez 184,240 6,323 Gemalto* 55,569 1,586 Lafarge 26,415 1,189 Lagardere SCA 61,500 1,726 M6-Metropole Television 24,230 395 Natixis 48,043 82 Neopost 9,114 707 Nexans 7,593 288 Pernod-Ricard 65,221 3,635 PPR 17,211 1,103 Renault 178,872 3,677 Sanofi-Aventis 309,755 17,429 Schneider Electric 9,530 634 Societe Des Autoroutes Paris-Rhin-Rhone 1,579 101
2 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Societe Generale (B) 136,276 $ 5,338 Sodexho Alliance 53,625 2,444 Suez Environnement* 142,708 2,098 Teleperformance 23,891 657 Thales 33,351 1,264 Total 345,276 17,157 Unibail (C) 5,207 737 Vallourec 16,344 1,515 Vivendi 304,364 8,052 Wendel 21,949 580 Zodiac Aerospace 227 6 ------------- 123,217 ------------- GERMANY -- 7.7% Allianz 116,549 9,789 BASF 136,531 4,131 Bayer 278,841 13,328 Bilfinger Berger 10,067 381 Celesio 42,210 778 Commerzbank 129,481 691 DaimlerChrysler 27,859 706 Deutsche Bank 172,295 6,931 Deutsche Lufthansa 328,782 3,566 Deutsche Post 335,454 3,612 Deutsche Postbank 17,834 283 Deutsche Telekom 547,415 6,796 E.ON 410,887 11,407 Fresenius Medical Care 135,684 5,271 Hannover Rueckversicherung 42,631 1,358 HeidelbergCement (B) 12,073 395 Henkel KGaA 64,100 1,617 Hochtief 33,408 1,265 KSB 239 84 Lanxess 24,291 412 Linde 21,703 1,475 MAN 13,018 567 Merck KGaA 24,396 2,156 MTU Aero Engines Holding 35,932 842 Muenchener Rueckversicherungs 59,148 7,209 Rheinmetall 10,600 361 RWE 151,405 10,616 SAP 145,181 5,143 Siemens 58,876 3,362 Software 11,554 823 Suedzucker 78,161 1,506 ThyssenKrupp 45,410 794 United Internet 28,744 240 ------------- 107,895 ------------- GREECE -- 0.4% Hellenic Telecommunications Organization 16,000 239 Marfin Investment Group 98,813 357
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- OPAP 100,566 $ 2,646 Public Power 98,273 1,774 ------------- 5,016 ------------- HONG KONG -- 2.3% Allied Properties HK 244,000 19 BOC Hong Kong Holdings 1,159,900 1,187 Cathay Pacific Airways 54,000 54 Cheung Kong Infrastructure Holdings 30,000 120 Cheung Kong Holdings 243,000 2,093 China Mobile 699,400 6,091 China Overseas Land & Investment 2,370,000 3,719 CLP Holdings 160,500 1,103 Dairy Farm International Holdings 3,600 16 Esprit Holdings 191,300 975 First Pacific 462,000 159 Guoco Group 53,000 294 Hang Seng Bank 151,350 1,524 Henderson Land Development 29,250 111 Hengan International Group 149,000 599 Hong Kong & China Gas 77,000 121 Hong Kong Exchanges and Clearing 14,000 132 HongKong Electric Holdings 171,000 1,015 Hopewell Highway Infrastructure 218,710 123 Hutchison Telecommunications International 346,000 108 Hutchison Whampoa 601,300 2,948 Hysan Development 67,000 113 Jardine Matheson Holdings 25,200 459 Jardine Strategic Holdings 49,000 485 Kingboard Chemical Holdings 138,000 283 Kowloon Development 5,080 2 Li & Fung 150,000 352 Link REIT (C) 101,000 200 Miramar Hotel & Investment 6,000 4 MTR 442,500 1,064 Noble Group 1,045,000 818 NWS Holdings 29,040 39 Orient Overseas International 44,000 110 Pacific Century Premium Developments 540,000 97 Road King Infrastructure 26,000 11 SEA Holdings 38,000 11 Shui On Construction and Materials 8,000 8 Sun Hung Kai Properties 405,000 3,627 Swire Pacific, Cl A 28,500 190 Texwinca Holdings 16,000 8 Truly International Holdings 16,000 9 VTech Holdings 24,000 93 Wharf Holdings 309,000 767 Wheelock 196,850 331 Wing On International 22,000 18 Yue Yuen Industrial Holdings 281,690 642 ------------- 32,252 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 3 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- INDIA -- 0.1% HDFC Bank 56,280 $ 1,080 ------------- IRELAND -- 0.2% CRH 60,188 1,296 Experian 160,623 1,006 ------------- 2,302 ------------- ISRAEL -- 0.5% Check Point Software Technologies* 36,600 813 Teva Pharmaceutical Industries ADR 134,820 6,074 ------------- 6,887 ------------- ITALY -- 3.2% ACEA 60,990 729 Assicurazioni Generali 10,205 175 Banca Popolare di Milano Scarl 6,810 34 Banco Popolare Scarl 286,263 1,315 Buzzi Unicem 13,261 149 Enel 1,187,621 5,696 ENI 496,033 9,628 Exor 73,916 745 Fiat 178,507 1,249 Finmeccanica 199,547 2,482 Fondiaria-Sai 34,056 398 Intesa Sanpaolo 2,021,718 5,509 Italcementi 61,551 539 Piccolo Credito Valtellinese Scarl 870 7 Telecom Italia 10,244,096 12,644 Terna Rete Elettrica Nazionale 269,090 838 UniCredito Italiano 1,405,882 2,318 Unipol Gruppo Finanziario 581,239 515 ------------- 44,970 ------------- JAPAN -- 18.9% 77 Bank 69,000 340 ADEKA 3,700 23 Aderans 2,300 17 Aeon 106,900 697 Aichi Bank 1,200 82 Aida Engineering (B) 6,000 17 Airport Facilities 1,600 8 Aisan Industry 4,200 19 Aisin Seiki 9,700 152 Ajinomoto 90,000 633 Akita Bank 14,000 52 Alfresa Holdings 7,500 272 All Nippon Airways 165,000 645 Aloka 3,700 26 Alpen 2,600 43 Amada 23,000 121
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- AOC Holdings 10,600 $ 58 AOKI Holdings 3,800 34 Aoyama Trading 6,800 89 Aruze 900 4 Asahi Breweries 77,300 920 Asahi Glass 93,000 489 Asahi Kasei 196,000 704 ASKUL 2,200 33 Astellas Pharma (B) 163,500 4,999 Bank of Kyoto (B) 150,000 1,264 Bank of Nagoya 27,000 113 Bank of the Ryukyus* 1,200 10 Belluna (B) 5,200 13 Benesse 28,000 1,026 BML 2,800 52 Bridgestone 86,800 1,238 Canon 75,000 2,141 Canon Electronics 5,800 69 Canon Finetech 10,000 104 Capcom 33,000 583 Cawachi 13,900 212 Central Japan Railway 388 2,176 Century Tokyo Leasing 3,000 18 Chiba Bank 149,000 732 Chiba Kogyo Bank* 7,000 68 Chubu Electric Power 100,200 2,201 Chudenko (B) 8,000 111 Chugai Pharmaceutical 47,200 793 Chugoku Electric Power 10,200 221 Circle K Sunkus (B) 16,800 238 Citizen Holdings 11,500 47 Coca-Cola Central Japan 3,000 40 COMSYS Holdings 7,000 58 Corona 1,000 10 Cosmo Oil 109,000 329 CREATE SD HOLDINGS* 500 8 Credit Saison (B) 77,800 752 Dai Nippon Printing 43,000 391 Daihatsu Motor 95,000 740 Daiichi Sankyo 88,800 1,482 Daiichikosho 9,800 81 Daimei Telecom Engineering 5,000 46 Dainippon Ink and Chemicals 105,000 153 Dainippon Sumitomo Pharma 60,000 497 Daishi Bank 3,000 12 Daito Trust Construction 1,400 47 Daiwa House Industry 43,000 345 DCM Japan Holdings 21,800 111 Dena (B) 122 396 Descente 11,000 41 Dydo Drinco 100 3 Earth Chemical 600 16
4 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- East Japan Railway 34,200 $ 1,776 EDION 5,500 14 Ehime Bank 10,000 27 Eighteenth Bank 20,000 68 Eisai 30,500 889 Eizo Nanao 1,700 27 Electric Power Development 30,800 911 FamilyMart 97,500 2,961 Fancl* (D) 1,200 14 Fast Retailing 28,000 3,167 Fuji Heavy Industries 84,000 274 Fuji Machine Manufacturing 3,300 27 Fuji Media Holdings 86 96 FUJIFILM Holdings 103,300 2,222 Fujitec 3,000 10 Fujitsu 1,062,000 3,925 Fujitsu Business Systems 100 1 Fukuda Denshi 300 6 Fukuoka Financial Group 204,000 618 Furukawa Electric 308,000 867 Furuno Electric 4,400 22 Fuyo General Lease 4,100 51 Godo Steel 12,000 29 Gunma Bank 14,000 75 H2O Retailing (B) 29,000 166 Hachijuni Bank 40,000 231 Heiwado 8,200 102 Higashi-Nippon Bank 24,000 65 Higo Bank 23,000 132 HI-LEX CORP 4,600 27 Hisamitsu Pharmaceutical 35,200 1,083 Hitachi 1,394,000 3,754 Hitachi Information Systems 100 2 Hitachi Maxell 12,900 93 Hitachi Software Engineering 9,200 113 Hitachi Systems & Services 3,400 30 Hokkaido Electric Power 21,800 437 Hokuetsu Bank (B) 34,000 57 Honda Motor 190,200 4,458 Hosiden (B) 19,600 192 House Foods 2,600 36 Hyakugo Bank 35,000 179 Hyakujushi Bank 22,000 103 Idemitsu Kosan 100 7 Inpex Holdings 253 1,749 Isuzu Motors (B) 767,000 924 Itochu 389,000 1,883 Itochu Enex 13,100 69 Itoham Foods 1,000 3 J Front Retailing 104,000 358 Japan Airlines* 264,000 535 Japan Petroleum Exploration 2,300 92
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Japan Steel Works (B) 320,450 $ 3,001 Japan Tobacco 991 2,628 JFE Holdings 155,000 3,366 JFE Shoji Holdings 36,000 95 Juroku Bank 49,000 163 Kakaku.com 36 108 Kamigumi 32,000 212 Kaneka 65,000 319 Kansai Electric Power (B) 92,600 2,006 Kanto Auto Works 4,500 43 Kanto Natural Gas Development 8,000 43 Kao 240,000 4,663 Kasumi 9,000 34 Kawasaki Kisen Kaisha 258,000 797 KDDI 1,517 7,096 Keisei Electric Railway 12,000 60 Kikkoman 36,000 300 Kinden 42,000 340 Kirin Brewery 137,000 1,445 Kissei Pharmaceutical 4,000 78 Kobe Steel 4,000 5 Kohnan Shoji 4,500 38 Komatsu (B) 40,400 438 Konami 12,600 189 Konica Minolta Holdings 37,000 314 Kose 7,600 141 Kubota 153,000 829 Kuroda Electric 4,400 24 Kyoei Steel 5,700 111 Kyorin 32,000 396 Kyowa Hakko Kogyo 73,000 611 Kyushu Electric Power 79,100 1,770 Lawson 37,700 1,557 Leopalace21 61,500 362 Lion (B) 38,000 177 Maeda 20,000 69 Makino Milling Machine 16,000 43 Mandom 3,200 53 Marubeni 531,000 1,640 Marudai Food 19,000 45 Marui 52,300 277 Maruichi Steel Tube 4,700 100 Maruzen Showa Unyu 5,000 14 Matsushita Electric Industrial 85,000 920 Maxvalu Nishinihon 1,900 24 Mazda Motor 235,000 390 Meiji Dairies (B) 30,000 125 Meiji Seika Kaisha (B) 54,000 189 Mie Bank 18,000 56 Mikuni Coca-Cola Bottling 3,400 27 Millea Holdings 164,300 3,984 Minato Bank 31,000 46
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 5 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Ministop 4,000 $ 62 Miraca Holdings 800 16 Mitsubishi 430,500 5,601 Mitsubishi Chemical Holdings 809,500 2,754 Mitsubishi Estate 116,000 1,294 Mitsubishi Gas Chemical 193,000 821 Mitsubishi UFJ Financial Group (B) 2,199,800 10,601 Mitsui (B) 368,000 3,674 Mitsui Chemicals (B) 132,000 319 Mitsui Fudosan 169,000 1,826 Mitsui OSK Lines (B) 250,000 1,217 Mitsui Sumitomo Insurance Group Holdings 107,000 2,465 Mitsui Trust Holdings 403,000 1,224 Mitsumi Electric 36,100 515 Mizuho Financial Group (B) 127,700 243 Mochida Pharmaceutical 5,000 49 Morinaga Milk Industry 44,000 131 Murata Manufacturing 26,700 1,022 Musashi Seimitsu Industry 4,300 44 N E Chemcat 2,000 20 Nafco 3,700 34 Nagase 19,000 146 Namco Bandai Holdings 155,700 1,550 NEC 310,000 829 NEC Fielding 7,100 71 NEC Networks & System Integration 6,600 56 NET One Systems 451 593 NHK Spring 66,000 236 Nikon 66,000 739 Nintendo 35,175 10,132 Nippon Building Fund, Cl A (C) 102 874 Nippon Chemi-Con 17,000 35 Nippon Electric Glass 68,000 472 Nippon Konpo Unyu Soko 10,000 79 Nippon Meat Packers 38,000 394 Nippon Mining Holdings 344,000 1,358 Nippon Oil 339,000 1,671 Nippon Paper Group (B) 17,800 431 Nippon Seiki 9,000 55 Nippon Sheet Glass 122,000 299 Nippon Shinyaku 2,000 18 Nippon Steel 47,000 125 Nippon Steel Trading 7,000 9 Nippon Telegraph & Telephone 317,000 11,971 Nippon Yusen 392,000 1,496 Nipponkoa Insurance 49,000 281 Nishi-Nippon City Bank 149,000 320 Nissan Motor 1,005,900 3,564 Nissan Shatai 21,000 121 Nissin Healthcare Food Service 200 2 Nitori 34,811 1,945 Nitto Denko 13,600 276 Nomura Holdings 165,400 829
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Nomura Real Estate Holdings (B) 18,300 $ 275 Nomura Research Institute 30,500 472 Noritake (B) 1,000 3 NS Solutions 6,700 75 NTT Data 123 333 NTT DoCoMo (B) 3,135 4,244 OJI Paper 204,000 826 Okaya 2,000 18 Okinawa Cellular Telephone 22 38 Omron 39,900 467 Ono Pharmaceutical 16,000 698 Onward Holdings 46,000 299 Oracle Japan 1,800 68 Oriental Land (B) 1,400 89 ORIX 6,610 212 Osaka Gas 349,000 1,088 Osaka Steel 1,600 27 Point 4,560 206 Rakuten (B) 9,718 4,644 Resona Holdings 59,100 784 Resorttrust 5,900 54 Ricoh 124,000 1,460 Ricoh Leasing 500 8 Riso Kagaku 1,300 12 Roland 2,200 23 Royal Holdings 1,500 16 Sakai Chemical Industry 6,000 17 San-In Godo Bank 22,000 169 Sanken Electric 15,000 38 Sanki Engineering 11,000 60 Sankyo 32,700 1,414 Sankyu 44,000 116 Santen Pharmaceutical 19,700 546 Sanwa Shutter 32,000 89 Sanyo Chemical Industries 1,000 5 Sapporo Hokuyo Holdings 93,000 260 Sazaby League 1,700 19 Seikagaku 500 5 Seiko Epson (B) 24,400 329 Seino Transportation 28,000 135 Senshukai 6,400 45 Seven & I Holdings 303,600 6,639 Seven Bank 394 1,047 SFCG 3,160 -- Sharp (B) 270,000 2,121 Shimamura 2,000 106 Shin-Etsu Chemical 13,200 637 Shinko Securities 20,000 39 Shinsei Bank (B) 541,000 542 Shiseido 63,000 915 Showa 3,000 11 Showa Shell Sekiyu 96,900 879 Sinanen 5,000 22 Sintokogio 1,300 8
6 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- SKY Perfect JSAT Holdings 1,293 $ 496 Softbank 150,500 1,914 Sompo Japan Insurance (B) 114,000 583 Sony (B) 117,700 2,381 SRI Sports 15 12 St. Marc Holdings 400 10 Sumikin Bussan 22,000 46 Sumisho Computer Systems 200 2 Sumitomo 253,700 2,165 Sumitomo Chemical 226,000 762 Sumitomo Metal Industries 95,000 189 Sumitomo Mitsui Financial Group (B) 204,200 7,050 Sumitomo Trust & Banking 329,000 1,242 Suruga Bank 145,000 1,189 Suzuken 21,800 568 T&D Holdings 27,400 653 Taisho Pharmaceutical 34,000 629 Takasago Thermal Engineering 11,000 67 Takashimaya 64,000 366 Takata 1,700 14 Takeda Pharmaceutical (B) 124,200 4,275 Takefuji (B) 95,680 447 Takeuchi Manufacturing 1,400 9 Tanabe Seiyaku 101,000 993 TDK 22,500 831 Teijin 174,000 375 Temp Holdings 600 3 Toagosei 31,000 69 Tochigi Bank 16,000 78 Tohoku Electric Power 94,100 2,063 Tohokushinsha Film 5,200 37 Tokai Tokyo Securities 23,000 41 Tokuyama 18,000 114 Tokyo Dome 27,000 74 Tokyo Electric Power 183,200 4,563 Tokyo Gas 101,000 353 Tokyo Steel Manufacturing 51,295 510 Tokyo Style 5,000 34 Tokyo Tatemono 33,000 85 Toppan Printing 81,000 549 Topy Industries 18,000 26 Toshiba (B) 1,000,000 2,572 Toshiba TEC 42,000 107 Tosoh 45,000 85 Towa Pharmaceutical 1,100 46 Toyo Engineering 26,000 76 Toyo Kohan 5,000 15 Toyo Suisan Kaisha 55,000 1,128 Toyota Industries 37,000 785 Toyota Motor 218,900 6,915 TV Asahi 134 149 Unipres 3,500 24 UNY 45,000 350 Valor (B) 6,800 49
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- West Japan Railway 226 $ 714 Yahoo! Japan 1,064 279 Yamada Denki 11,100 434 Yamaguchi Financial Group 26,000 244 Yamaha 8,000 77 Yamaha Motor 74,000 656 Yamanashi Chuo Bank 23,000 120 Yamato Kogyo 24,000 510 Yaoko 900 26 Yokogawa Electric 16,200 65 Yonekyu 3,000 30 Yurtec 12,000 64 ------------- 265,131 ------------- LUXEMBOURG -- 0.4% ArcelorMittal (B) 205,495 4,168 Millicom International Cellular 6,599 247 Oriflame Cosmetics 1,846 57 SES 51,812 989 Tenaris 28,522 290 ------------- 5,751 ------------- MAURITIUS -- 0.0% Golden Agri-Resources (SGD) 3,423,680 619 ------------- MEXICO -- 0.2% Fomento Economico Mexicano ADR 107,095 2,700 ------------- NETHERLANDS -- 4.5% Aegon 214,015 831 Akzo Nobel 8,648 327 European Aeronautic Defence and Space 140,671 1,636 Fugro 20,700 658 Heineken Holding 8,097 197 Imtech 17,598 242 ING Groep 694,414 3,826 James Hardie Industries 53,300 156 Koninklijke Ahold 1,072,167 11,744 Koninklijke DSM 86,446 2,274 Koninklijke Philips Electronics 54,040 795 Koninklijke Vopak 23,524 941 Randstad Holding 35,487 602 Reed Elsevier 143,641 1,538 Royal Dutch Shell, Cl A 829,317 18,651 Royal Dutch Shell, Cl B 455,186 9,989 Royal KPN 137,098 1,831 TNT 114,084 1,951 Tognum 36,931 326 TomTom* 4,237 20 Unilever 224,485 4,426 Van Lanschot* 218 11 ------------- 62,972 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 7 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- NEW ZEALAND -- 0.0% Fisher & Paykel Healthcare 93,420 $ 168 Vector 156,430 204 ------------- 372 ------------- NORWAY -- 0.8% DnB 338,264 1,515 Petroleum Geo-Services* 40,550 169 Statoil 461,280 8,123 Telenor 123,600 705 Yara International 44,183 964 ------------- 11,476 ------------- PAPUA NEW GUINEA -- 0.2% Lihir Gold* 899,118 2,049 ------------- PORTUGAL -- 0.3% Banco BPI* 31,199 62 Banco Comercial Portugues 444,209 365 Banco Espirito Santo 50,178 195 Energias de Portugal 762,136 2,644 Portugal Telecom SGPS 162,872 1,261 REN - Redes Energeticas Nacionais 45,482 190 ------------- 4,717 ------------- RUSSIA -- 0.2% LUKOIL ADR 45,070 1,699 MMC Norilsk Nickel ADR (B) 156,778 941 ------------- 2,640 ------------- SINGAPORE -- 0.7% ComfortDelgro 528,000 472 DBS Group Holdings 102,000 567 Del Monte Pacific 23,000 6 Fraser and Neave 190,000 316 Haw Par 28,000 64 Hotel Plaza 3,000 2 Jardine Cycle & Carriage 33,000 257 K1 Ventures 329,000 26 NatSteel 36,000 27 Neptune Orient Lines 84,000 65 Oversea-Chinese Banking 495,000 1,576 SembCorp Industries 234,000 362 SembCorp Marine 35,000 42 SIA Engineering 131,000 161 Singapore Airlines 48,140 317 Singapore Petroleum 63,000 118 Singapore Technologies Engineering 284,000 460 Singapore Telecommunications 241,000 401 United Overseas Bank 275,000 1,758
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- UOB-Kay Hian Holdings 140,000 $ 101 Wilmar International (B) 1,461,000 3,047 ------------- 10,145 ------------- SOUTH AFRICA -- 0.1% Bidvest Group 78,578 727 Standard Bank Group 72,623 607 ------------- 1,334 ------------- SOUTH KOREA -- 0.1% KB Financial Group 18,900 450 Samsung Electronics 2,490 1,023 ------------- 1,473 ------------- SPAIN -- 3.1% Abengoa 1,892 25 ACS Actividades de Construccion y Servicios 28,020 1,162 Banco Bilbao Vizcaya Argentaria 467,907 3,796 Banco Santander 9,970 65 Banco Santander Central Hispano 1,134,606 7,818 Cementos Portland Valderrivas 389 9 Criteria Caixacorp 163,692 528 Financiera Alba 10,838 407 Gas Natural SGD 58,672 802 Grifols 49,676 716 Grupo Catalana Occidente 19,542 231 Iberdrola 466,881 3,273 Mapfre 2,672 6 Promotora de Informaciones* 20,632 54 Repsol 331,701 5,739 Sacyr Vallehermoso 43,078 332 Telefonica 957,228 19,089 ------------- 44,052 ------------- SWEDEN -- 1.8% Alfa Laval 24,873 187 Atlas Copco, Cl A 68,495 512 Eniro 39,766 30 Getinge, Cl B 5,337 51 Hennes & Mauritz, Cl B 18,891 706 Investor, Cl B 66,857 843 Meda, Cl A 89,942 531 Nordea Bank 423,184 2,099 Securitas, Cl B 125,529 911 Skandinaviska Enskilda Banken, Cl A 116,690 366 Svenska Cellulosa, Cl B (B) 314,587 2,378 Svenska Cellulosa, Cl A 8,393 63 Svenska Handelsbanken, Cl A 12,788 180 Swedbank 131,166 436
8 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Swedish Match 61,590 $ 886 Tele2, Cl B 78,000 656 Telefonaktiebolaget LM Ericsson, Cl B 1,182,971 9,659 TeliaSonera 550,130 2,635 Volvo, Cl B 357,500 1,890 ------------- 25,019 ------------- SWITZERLAND -- 7.8% ABB 232,578 3,250 ACE 23,024 930 Actelion* 32,143 1,469 Baloise Holding 32,429 2,078 Banque Cantonale Vaudoise 1,016 338 BKW FMB Energie 551 40 Clariant 67,437 262 Credit Suisse Group 231,219 7,048 Elektrizitaets-Gesellschaft Laufenburg 255 206 EMS-Chemie Holding* 208 15 Flughafen Zuerich 360 65 Galenica 360 104 Helvetia Holding 2,921 623 Holcim 9,317 332 Lindt & Spruengli 313 419 Nestle 517,886 17,526 Novartis 705,930 26,746 PSP Swiss Property 1,213 51 Roche Holding 97,324 13,370 Schweizerische National-Versicherungs-Gesellschaft 152 67 St. Galler Kantonalbank 22 7 STMicroelectronics 84,355 423 Sulzer 9,945 513 Swatch Group 26,973 661 Swiss Life Holding 1,913 132 Swiss Reinsurance 97,520 1,599 Swisscom 9,200 2,587 Syngenta 49,756 10,038 Synthes 9,189 1,025 Transocean* 10,745 632 UBS 583,144 5,488 Vontobel Holding 792 15 Xstrata 395,035 2,643 Zurich Financial Services (B) 54,891 8,694 ------------- 109,396 ------------- TAIWAN -- 0.5% AU Optronics 1,613,000 1,334 Chunghwa Telecom 2,138,300 3,903 Compal Electronics 1,297,236 930 Siliconware Precision Industries 346,054 364 United Microelectronics 1,700,409 557 ------------- 7,088 -------------
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- THAILAND -- 0.1% PTT 199,200 $ 857 ------------- UNITED KINGDOM -- 16.1% 3i Group 31,431 122 Aberdeen Asset Management 350,037 640 Aggreko 71,054 501 AMEC 407,965 3,120 Amlin 120,372 593 Anglo American 87,771 1,492 Arriva 7,551 40 Associated British Foods 251,900 2,313 AstraZeneca 464,406 16,315 Autonomy* 282,142 5,277 Aviva (B) 780,774 2,420 Babcock International Group 107,230 660 BAE Systems 2,410,049 11,555 Balfour Beatty 214,952 1,011 Barclays 2,418,834 5,131 BBA Aviation 27,788 33 Beazley Group 22,395 28 BG Group 581,013 8,786 BHP Billiton 517,663 10,276 BP (B) 2,935,036 19,836 British American Tobacco 415,797 9,613 BT Group, Cl A 3,576,721 4,009 Cable & Wireless 1,679,762 3,359 Centrica 2,512,078 8,200 Charter International 28,217 184 Cobham 252,830 623 Colt Telecom Group* 36,018 45 Compass Group 1,093,793 5,001 Diageo 187,816 2,117 Firstgroup 46,122 177 Friends Provident 102,615 102 GlaxoSmithKline (B) 884,641 13,789 Greene King 13,643 96 Group 4 Securicor 349,491 971 Hays 59,764 62 Home Retail Group 650,011 2,094 HSBC Holdings 1,768,952 10,015 Imperial Tobacco Group 175,133 3,934 Informa 4,669 18 Inmarsat 109,191 766 International Power 26,475 80 Intertek Group 55,296 702 Invensys 118,027 281 Investec 84,280 353 J Sainsbury 23,505 105 Jardine Lloyd Thompson Group 61,764 388 Kazakhmys 20,938 111 Kingfisher 860,290 1,846
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 9 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Shares/Face Amount ($ Market Value Description Thousands)(1) ($ Thousands) ----------- --------------- ------------- Legal & General Group 3,002,978 $ 1,851 Lloyds Banking Group 2,790,555 2,828 Logica 408,962 374 Man Group 34,908 109 Marston's 35,428 69 Meggitt 132,198 243 Micro Focus International 13,448 58 Mondi 112,255 238 National Express Group 19,676 43 National Grid 150,626 1,156 Old Mutual 2,793,800 2,078 Petrofac 82,678 634 Prudential 299,180 1,445 QinetiQ 55,007 104 Reckitt Benckiser Group 106,716 4,006 Reed Elsevier 112,125 805 Rexam 31,704 123 Rio Tinto 130,990 4,412 Royal & Sun Alliance Insurance Group 2,343,321 4,370 SABMiller 150,180 2,232 Sage Group 755,025 1,831 Serco Group 113,103 593 Shire 97,683 1,208 Smith & Nephew 20,149 125 Smiths Group 72,749 698 Southern Cross Healthcare 17,173 24 Spectris 21,039 121 St. James's Place 85,389 205 Standard Chartered 486,148 6,038 Standard Life 75,292 179 Tate & Lyle 236,695 884 Tesco 473,383 2,262 Thomas Cook Group (B) 160,669 553 Tullow Oil 85,550 985 Unilever 136,773 2,584 Vodafone Group (B) 10,376,638 18,257 WPP 515,969 2,905 Yell Group 55,656 10 ------------- 225,830 ------------- Total Common Stock (Cost $1,799,606) ($ Thousands) 1,268,496 ------------- MORTGAGE-BACKED SECURITIES -- 3.5% UNITED STATES -- 3.5% Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 5.202%, 09/25/35 (E) 1,193 626 American Home Mortgage Investment Trust, Ser 2004-3, Cl 3A 3.423%, 10/25/34 (E) 1,149 753
Face Amount ($ Market Value Description Thousands)(1) ($ Thousands) ----------- --------------- ------------- American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 3.756%, 06/25/45 (E) 269 $ 120 Banc of America Funding, Ser 2006-A, Cl 2A2 5.218%, 02/20/36 (A) (E) 378 323 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-7, Cl 1A1 5.442%, 10/25/34 (E) 521 318 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 5.220%, 01/25/35 (E) 1,182 627 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 4.972%, 12/25/34 (E) 628 387 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB1, Cl 1A1 5.454%, 03/25/37 (E) 1,819 787 Countrywide Home Loans, Ser 2004-22, Cl A1 5.077%, 11/25/34 (E) 1,458 888 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 5.302%, 04/20/36 (E) 4,011 1,519 Deutsche Alternative Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 06/30/36 (E) 2,020 1,734 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR4, Cl B1 1.156%, 01/19/45 (A) (E) 929 66 FHLMC CMO STRIPS, Ser 231, Cl IO, IO 5.500%, 08/01/35 1,929 202 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 2,654 300 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 5.352%, 05/25/35 (E) 795 395 First Horizon Mortgage Pass-Through Trust, Ser 2006-AR3, Cl 1A1 5.648%, 11/25/36 (E) 2,364 1,561 FNMA CMO STRIPS, Ser 369, Cl 1, IO 5.000%, 03/01/36 1,428 153 FNMA TBA 6.500%, 04/30/37 10,650 11,216 6.000%, 04/30/20 to 04/01/32 16,100 16,823 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 5.044%, 10/25/34 (E) 260 148 Master Adjustable Rate Mortgages, Ser 2005-2, Cl 3A1 4.804%, 03/25/35 (E) 1,527 709
10 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount ($ Thousands) Market Value Description (1) /Shares ($ Thousands) ----------- --------------- ------------- Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A 4.770%, 07/25/35 (E) 317 $ 154 MLCC Mortgage Investors, Ser 2006-1, Cl 1A1 5.023%, 02/25/36 (E) 3,353 1,945 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (D) 1,215 1,118 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 10/25/34 (D) (E) 1,271 1,128 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.212%, 03/25/35 (A) (E) 3,892 1,834 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 0.922%, 02/25/46 (A) (E) 488 52 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.207%, 12/25/34 (E) 3,355 2,219 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 4.893%, 07/25/34 (A) (E) 148 85 ------------- Total Mortgage-Backed Securities (Cost $63,545) ($ Thousands) 48,190 ------------- PREFERRED STOCK -- 0.7% BRAZIL -- 0.4% Banco Bradesco 269,200 2,703 Petroleo Brasileiro 207,900 2,585 Usinas Siderurgicas de Minas Gerais 73,800 943 ------------- 6,231 ------------- FRANCE --0.1% Bureau Veritas 17,224 652 ------------- GERMANY -- 0.1% Bayerische Motoren Werke 2,143 37 Porsche 28,325 1,330 RWE 1,865 116 Volkswagen 9,691 558 ------------- 2,041 ------------- ITALY -- 0.0% Exor* 38,245 256 ------------- SOUTH KOREA -- 0.1% Samsung Electronics 2,900 662 ------------- Total Preferred Stock (Cost $15,119) ($ Thousands) 9,842 -------------
Face Amount ($ Market Value Description Thousands)(1) ($ Thousands) ----------- --------------- ------------- ASSET-BACKED SECURITIES -- 0.6% UNITED STATES -- 0.6% ACE Securities, Ser 2003-NC1, Cl M 1.692%, 07/25/33 (E) 2,100 $ 1,146 ACE Securities, Ser 2003-OP1, Cl M1 1.222%, 12/25/33 (E) 800 400 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 1.572%, 01/25/34 (E) 105 37 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 1.872%, 03/25/33 (E) 1,193 509 Argent Securities, Ser 2003-W5, Cl M1 1.222%, 10/25/33 (E) 600 301 Argent Securities, Ser 2003-W9, Cl M1 1.212%, 03/25/34 (E) 1,201 536 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 1.681%, 09/15/33 (E) 1,594 944 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 2.122%, 01/25/34 (E) 835 374 Home Equity Asset Trust, Ser 2003-4, Cl M2 2.922%, 10/25/33 (E) 741 426 Master Asset-Backed Securities Trust, Ser 2003-WMC2, Cl M1 1.572%, 08/25/33 (E) 359 260 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 2.172%, 07/25/34 (E) 135 34 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 1.572%, 09/25/33 (E) 1,752 919 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 1.172%, 08/25/33 (E) 319 156 Residential Asset Mortgage Products, Ser 2003-RS11, Cl Mll1 1.617%, 12/25/33 (E) 188 70 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 0.672%, 02/25/36 (D) (E) 5,355 2,392 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 3.522%, 06/25/33 (E) 429 217 Terwin Mortgage Trust, Ser 2006-2, Cl 2A1 4.500%, 06/25/36 (A) 764 157 ------------- Total Asset-Backed Securities (Cost $18,540) ($ Thousands) 8,878 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 11 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) March 31, 2009
Face Amount ($ Thousands) Market Value Description (1) /Shares ($ Thousands) ----------- --------------- ------------- Number of Rights --------------- RIGHTS -- 0.1% AUSTRALIA -- 0.0% John Fairfax, Expires 04/08/09* 36 $ 7 ------------- BELGIUM -- 0.0% Fortis, Expires 07/01/14* 24 -- ------------- SPAIN -- 0.0% Mapfre, Expires 04/06/09* 3 -- ------------- SWEDEN -- 0.0% Nordea, Expires 04/05/09* 3,071 349 ------------- UNITED KINGDOM -- 0.1% HSBC, Expires 04/07/09* 401 810 ------------- Total Rights (Cost $913) ($ Thousands) 1,166 ------------- CORPORATE OBLIGATIONS -- 0.1% UNITED STATES -- 0.1% Discover Financial Services 6.450%, 06/12/17 (D) 335 242 Shinsei Finance Cayman 6.418%, 01/29/49 (A) (D) (E) 1,740 296 ------------- Total Corporate Obligations (Cost $2,074) ($ Thousands) 538 ------------- U.S. GOVERNMENT AGENCY OBLIGATION -- 0.0% FHLMC 2.225%, 05/04/09 (F) (G) 100 100 ------------- Total U.S. Government Agency Obligation (Cost $100) ($ Thousands) 100 ------------- U.S. TREASURY OBLIGATIONS -- 0.7% U.S. Treasury Bills 0.202%, 05/28/09 (G) (I) 800 800 0.193%, 06/11/09 (G) (I) 9,225 9,221 ------------- Total U.S. Treasury Obligations (Cost $10,021) ($ Thousands) 10,021 ------------- AFFILIATED PARTNERSHIP -- 6.4% UNITED STATES -- 6.4% SEI Liquidity Fund, L.P., 0.820%+** (H) 92,431,454 90,237 ------------- Total Affiliated Partnership (Cost $92,431) ($ Thousands) 90,237 -------------
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- CASH EQUIVALENT -- 0.3% UNITED STATES -- 0.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.250%+** 4,905,538 $ 4,906 ------------- Total Cash Equivalent (Cost $4,906) ($ Thousands) 4,906 ------------- Total Investments -- 102.9% (Cost $2,007,255) ($ Thousands) $ 1,442,374 =============
A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) --------------- ------------- ------------- -------------- 4/23/09 AUD 22,280 CHF 16,400 $(1,019) 4/23/09 AUD 422 USD 290 (2) 4/23/09 CAD 3,700 NZD 5,169 3 4/23/09 CAD 39,235 USD 30,958 (234) 4/23/09 GBP 14,563 USD 20,790 (82) 4/23/09 HKD 102,225 USD 13,189 (4) 4/23/09 MXP 34,996 USD 2,471 (1) 4/23/09 NOK 12,340 USD 1,832 5 4/23/09 NZD 5,444 CAD 3,700 (159) 4/23/09 SEK 7,177 USD 866 (2) 4/23/09 SGD 1,043 USD 685 -- 4/23/09 USD 21,905 AUD 33,215 1,131 4/23/09 USD 3,545 CHF 4,113 75 4/23/09 USD 11,125 EUR 8,415 46 4/23/09 USD 48,441 GBP 34,846 1,502 4/23/09 USD 57,470 JPY 5,663,468 (103) 4/23/09 USD 4,337 SEK 36,444 72 4/23/09 USD 5,534 SGD 8,480 42 4/23/09 ZAR 11,232 USD 1,129 (47) 4/23/09-6/19/09 NZD 11,237 USD 6,313 (69) 4/23/09-7/21/09 CHF 38,700 EUR 25,528 (205) 4/23/09-7/21/09 CHF 19,400 GBP 10,582 (1,922) 4/23/09-7/21/09 EUR 23,061 CHF 34,500 (221) 4/23/09-7/21/09 GBP 9,619 CHF 17,300 1,449 4/23/09-7/21/09 USD 8,918 NZD 15,486 (122) 4/23/09-7/22/09 JPY 612,000 NOK 42,083 23 4/23/09-7/22/09 NOK 34,257 JPY 434,000 (671) 4/23/09-8/21/09 CHF 19,400 AUD 24,944 210 4/23/09-8/21/09 EUR 16,624 JPY 2,071,000 (1,080) 4/23/09-8/21/09 JPY 2,783,000 EUR 21,814 748 4/23/09-9/22/09 GBP 3,983 SGD 8,900 141 4/23/09-9/22/09 SGD 8,900 GBP 3,736 (496) 4/23/09-9/24/09 GBP 10,873 JPY 1,592,000 556 4/23/09-9/24/09 JPY 1,948,000 GBP 13,192 (844) 5/22/09 AUD 7,896 SGD 7,700 (404) 5/22/09 SGD 9,000 AUD 9,017 326 5/26/09-6/19/09 CHF 3,200 NOK 18,420 (97) 6/19/09 AUD 4,816 JPY 295,000 (337) 6/19/09 JPY 384,000 AUD 6,202 392 6/19/09 NOK 7,300 CHF 1,200 (21) 7/21/09 EUR 872 SGD 1,700 (41) 7/21/09 SGD 3,000 EUR 1,509 31 8/21/09 NOK 7,608 SEK 9,600 40 8/21/09 NZD 253 JPY 12,000 (21) 8/21/09 SEK 9,600 NOK 7,457 (62) 8/21/09-9/24/09 JPY 190,000 NZD 3,670 142 ------- $(1,332) =======
A summary of the open futures contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------- ------------ ---------- -------------- DJ Euro Stoxx 50 Index 648 Jun-2009 $ 315 FTSE 100 Index 186 Jun-2009 132 FTSE Index 15 Apr-2009 (41) MSCI EAFE Index E-MINI (66) Jun-2009 (234) Nikkei 225 Index 57 Jun-2009 177 SPI 200 Index 50 Jun-2009 78 Topix Index 124 Jun-2009 716 ------ $1,143 ======
12 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 A summary of outstanding swap agreements held by the fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NOTIONAL NET UNREALIZED TERMINATION AMOUNT APPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) ------------ ----------------------------- --------------- --------------------- ----------- ----------- -------------- Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 03/31/09 20,500 $1,364 Return Spread Minus 25 Bps Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 03/31/09 10,000 665 Return Spread Minus 165 Bps Morgan Stanley MSCI Daily TR Net EAFE USD 3-Month LIBOR Price Return 01/13/10 59,822 2,751 Market Index ------ $4,780 ======
CREDIT DEFAULT SWAPS
NOTIONAL NET UNREALIZED BUY/SELL (PAYS)/ TERMINATION AMOUNT APPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE ($ THOUSANDS) ($ THOUSANDS) ------------ ------------------------------------ ---------- -------------- ----------- ------------- -------------- Bank of America MeadWestvaco Corp., 6.850%, 04/01/12 BUY (0.48)% 12/20/11 2,500 $ 55 Bank of America Radian Group Inc., 7.750%, 06/01/11 BUY (0.39) 12/20/13 2,500 1,157 Bank of America The Limited Inc., 6.125%, 12/01/12 BUY (0.48) 12/20/11 2,500 281 Bank of America TJX Cos. Inc., 7.450%, 12/15/09 BUY (0.19) 12/20/11 2,500 64 JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 BUY (0.39) 12/20/11 2,500 109 JPMorgan Chase Bank Jones Apparel Group 5.125%, 11/15/14 BUY (0.77) 12/20/11 2,500 351 JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 BUY (0.28) 12/20/13 2,500 241 JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 BUY (0.39) 12/20/13 2,500 1,032 Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 BUY (0.90) 12/20/11 2,500 15 Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 BUY (0.28) 12/20/13 2,500 242 ------ $3,547 ======
Percentages are based on a Net Assets of $1,401,890 ($ Thousands). * Non-income producing security ** Rate shown is the 7-day effective yield as of March 31, 2009. + Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) Securities considered illiquid. The total market value of such securities as of March 31, 2009 was $2,818 ($ Thousands) and represented 0.2% of Net Assets. (B) This security or a partial position of this security is on loan at March 31, 2009. The total market value of securities on loan at March 31, 2009 was $81,227 ($ Thousands) (see Note 7). (C) Real Estate Investments Trust (D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2009. (F) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (G) Security, or portion thereof, has been pledged as collateral on open futures contracts. (H) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2009 was $90,237 ($ Thousands). (I) The rate reported is the effective yield at purchase. ADR -- American Depositary Receipt AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling HKD -- Hong Kong Dollar IO -- Interest Only -- face amount represents notional amount JPY -- Japanese Yen L.P. -- Limited Partnership LIBOR -- London Interbank Offered Rate MXP -- Mexican Peso NOK -- Norwegian Krone NZD -- New Zealand Dollar REIT -- Real Estate Investment Trust SEK -- Swedish Krone Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to 0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 13 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund March 31, 2009 (PERFORMANCE GRAPH) SECTOR WEIGHTINGS+: Financials 15.8% Energy 14.4% Telecommunication Services 12.6% Affiliated Partnership 11.3% Information Technology 10.8% Basic Materials 9.2% Industrials 6.5% Consumer Staples 5.8% Consumer Discretionary 5.7% Utilities 4.9% Healthcare 2.5% Short-Term Investments 0.5% Equity-Linked Warrants 0.0% Rights 0.0% Debenture Bond 0.0%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- COMMON STOCK -- 89.1% ARGENTINA -- 0.1% MetroGas ADR* 4,100 $ 7 Petrobras Energia Participaciones ADR (A) 52,400 298 Telecom Argentina ADR* 41,700 323 ------------- 628 ------------- BERMUDA -- 0.4% Dufry South America (BRL) 43,500 281 Huabao International Holdings (HKD) 2,442,500 2,011 ------------- 2,292 ------------- BRAZIL -- 7.0% All America Latina Logistica 153,100 655 Amil Participacoes 18,800 52 Banco Bradesco ADR 133,300 1,320 Banco do Brasil 134,565 1,001 BR Malls Participacoes* 68,100 422 Brascan Residential Properties 41,100 36 Camargo Correa Desenvolvimento Imobiliario 32,000 28 Centrais Eletricas Brasileiras 63,580 713 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 20,400 552 Cia de Saneamento Basico do Estado de Sao Paulo 101,469 1,131 Cia de Saneamento Basico do Estado de Sao Paulo ADR 610 13 Cia de Saneamento de Minas Gerais-COPASA 106,100 910 Cia Energetica de Minas Gerais ADR 47,955 709 Cia Vale do Rio Doce 167,800 2,267 Cia Vale do Rio Doce ADR, Cl B 231,680 3,081
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- EDP - Energias do Brasil 116,717 $ 1,233 Empresa Brasileira de Aeronautica 127,700 429 Empresa Brasileira de Aeronautica ADR (A) 17,740 235 Eternit 26,655 68 Even Construtora e Incorporadora 1,000 1 Ez Tec Empreendimentos e Participacoes 40,100 43 Fertilizantes Heringer* 900 1 Gerdau 95,900 417 Gerdau ADR 73,987 405 Globex Utilidades 9,300 26 Grendene 152,107 793 GVT Holding* (B) 53,500 607 Hypermarcas* 151,150 1,113 Itau Unibanco Banco Multiplo ADR (A) 362,352 3,942 Klabin Segall 16,500 10 Light 41,852 407 Localiza Rent A Car 194,300 701 Lojas Renner 110,349 688 Marfrig Frigorificos e Comercio de Alimentos* 116,700 379 Medial Saude 124,300 288 Minerva 21,200 16 Natura Cosmeticos 81,000 800 OGX Petroleo e Gas Participacoes* 4,784 1,498 Perdigao 7,000 88 Petroleo Brasileiro 235,700 3,638 Petroleo Brasileiro ADR (A) 57,564 1,754 Redecard 64,700 790 Rodobens Negocios Imobiliarios 80,750 351 Rossi Residencial* 58,100 94 Santos Brasil Participacoes 75,581 213 SEB - Sistema Educacional Brasileiro 82,000 303 Souza Cruz 15,600 301 Telegraph Norte Leste Participacoes ADR 205,070 2,838 Usinas Siderurgicas de Minas Gerais 143,800 1,661 Votorantim Celulose e Papel ADR* (A) 66,900 293 Wilson Sons, Cl BDR, BDR 68,805 342 ------------ 39,656 ------------ CHILE -- 1.1% Banco Santander Chile ADR (A) 34,492 1,185 Centros Comerciales Sudamericanos 109,425 182 Cia Cervecerias Unidas 91,980 517 Cia Cervecerias Unidas ADR 5,420 152 Embotelladora Andina ADR, Cl B 32,078 456 Empresa Nacional de Telecomunicaciones 46,457 538 Enersis ADR 196,068 2,961 Multiexport Foods 160,156 10 Sociedad Quimica y Minera de Chile ADR 3,300 88 ------------ 6,089 ------------
14 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- CHINA -- 10.4% AAC Acoustic Technologies Holdings* (A) (HKD) 670,000 $ 316 AirMedia Group ADR* 96,262 403 Ajisen China Holdings (A) 709,000 353 Aluminum Corp of China 4,922 3 Anhui Conch Cement (A) 252,882 1,395 Anhui Expressway 854,000 382 Bank of China 14,130,000 4,686 Bank of Communications (A) 1,557,000 1,081 Beauty China Holdings (B) 70,000 6 Bosideng International Holdings 6,970,000 495 China BlueChemical 1,610,000 881 China Construction Bank (A) 7,664,000 4,351 China Dongxiang Group (A) 2,084,500 766 China Life Insurance 761,000 2,524 China Medical Technologies ADR (A) 49,600 683 China Milk Products Group 107,000 22 China Molybdenum 459,000 205 China Petroleum & Chemical 3,032,000 1,940 China Railway Construction* (A) 2,194,500 2,866 China Shenhua Energy 333,800 752 China Shineway Pharmaceutical Group (HKD) 49,000 28 China Shipping Development 1,594,000 1,510 China Telecom 4,648,000 1,919 China Yurun Food Group (A) 1,918,000 2,445 CSG Holding 813,300 657 Ctrip.com International ADR 2,183 60 Dongfang Electric 281,000 628 Dongfeng Motor Group 2,692,000 1,393 Great Wall Motor 524,000 213 Hainan Meilan International Airport 27,000 13 Huaneng Power International (A) 550,800 365 Industrial & Commercial Bank of China (A) 11,489,000 5,974 Mindray Medical International ADR (A) 35,983 666 New Oriental Education & Technology Group ADR* (A) 19,160 963 People's Food Holdings 112,058 36 PetroChina (A) 6,701,932 5,344 PetroChina ADR (A) 11,290 900 Ping An Insurance Group of China 318,500 1,901 Qingling Motors 46,000 6 Shanda Interactive Entertainment ADR* (A) 26,400 1,044 Shandong Chenming Paper Holdings, Cl B 883,300 484 Sihuan Pharmaceutical Holdings Group 1,000 -- Simcere Pharmaceutical Group ADR* 47,600 267 Sinopec Shanghai Petrochemical 1,886,000 465 Sinotrans 3,361,000 520 Tencent Holdings (A) 253,000 1,874 Tingyi Cayman Islands Holding (A) 600,000 694 Want Want China Holdings 1,131,000 525
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Weichai Power 270,000 $ 589 Weiqiao Textile 1,721,400 511 Yangzijiang Shipbuilding Holdings (A) 1,232,102 324 Yanzhou Coal Mining 1,366,000 983 Yanzhou Coal Mining ADR 38,620 277 Zhejiang Expressway 910,000 663 ZTE (A) 185,000 753 ------------- 59,104 ------------- COLOMBIA -- 0.1% Almacenes Exito 92,598 395 ------------- CYPRUS -- 0.0% Globaltrans Investment GDR* 76,830 112 ------------- CZECH REPUBLIC -- 0.8% CEZ 100,677 3,579 Komercni Banka 5,776 574 Philip Morris CR 560 155 Telefonica O2 Czech Republic 7,200 142 ------------- 4,450 ------------- EGYPT -- 0.5% Commercial International Bank 95,691 546 Egyptian Financial Group-Hermes Holding 167,456 454 National Societe Generale Bank 27,000 86 Orascom Construction Industries GDR 7,489 352 Orascom Telecom Holding SAE 130,000 599 Telecom Egypt 205,500 541 ------------- 2,578 ------------- HONG KONG -- 7.8% Beijing Enterprises Holdings 150,500 627 Chaoda Modern Agriculture (A) 3,125,400 1,867 China Mobile 1,699,917 14,806 China Mobile ADR 32,410 1,410 China Overseas Land & Investment (A) 1,108,800 1,740 China Pharmaceutical Group 1,424,000 570 China Power International Development 5,729,200 1,138 China Resources Power Holdings 988,000 2,070 China State Construction International Holdings 983,000 170 China Unicom (A) 1,141,682 1,220 CNOOC 5,620,448 5,570 CNOOC ADR 8,360 841 Cnpc Hong Kong 1,860,000 787 COSCO Pacific 2,162,000 2,134 Denway Motors 2,460,646 953 Digital China Holdings 377,000 158 Global Bio-Chemical Technology Group 2,809,500 363 GOME Electrical Appliances Holdings (A) (B) 4,816,000 696 Guangdong Investment 1,116,000 449
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 15 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- GZI Real Estate Investment Trust (C) 928,000 $ 242 Industrial and Commercial Bank of China Asia 468,000 498 Nine Dragons Paper Holdings 1,236,000 469 NWS Holdings 187,797 253 Samson Holding 5,241,000 446 Shanghai Industrial Holdings 323,970 897 Shenzhen International Holdings 9,738,747 446 Shenzhou International Group Holdings 457,000 117 Shui On Land 1,707,000 601 Sino Biopharmaceutical 344,000 53 Sinofert Holdings 286,000 126 Sinolink Worldwide Holdings 1,652,000 111 Skyworth Digital Holdings 1,802,000 165 SRE Group 1,512,000 117 Texwinca Holdings 678,600 349 TPV Technology 1,924,000 588 Zhuzhou CSR Times Electric, Cl H 673,000 684 ------------- 43,731 ------------- HUNGARY -- 0.5% Egis Gyogyszergyar Nyrt 2,000 98 Magyar Telekom 502,519 1,157 MOL Hungarian Oil and Gas Nyrt 21,504 958 Richter Gedeon Nyrt 4,700 511 ------------- 2,724 ------------- INDIA -- 5.8% Allahabad Bank 111,286 85 Andhra Bank 365,655 326 Bajaj Holdings and Investment 2,566 15 Bank 10,693 38 Bank of Baroda 67,700 313 Bank of India 268,339 1,160 Bharat Electronics 20,344 355 Bharat Heavy Electricals 28,180 839 Bharat Petroleum 12,413 92 Bharti Airtel* 198,210 2,445 Birla 51,907 182 Cairn India* 222,977 809 Canara Bank 56,934 186 CESC 49,124 204 Container of India 1,300 18 Dena Bank 13,584 9 Dr Reddys Laboratories 102,214 988 Dr Reddys Laboratories ADR 6,000 57 Federal Bank 120,536 328 Grasim Industries 18,599 580 Great Eastern Shipping 7,915 30 GTL 11,498 54 Gujarat Alkalies & Chemicals 26,910 31 Gujarat Narmada Valley Fertilizers 157,458 187 Gujarat State Fertilisers 88,198 153
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- HCL Technologies 2,387 $ 5 Hero Honda Motors 44,333 936 Hindalco Industries 212,520 218 Hindustan Petroleum 74,960 398 Hindustan Unilever 210,409 985 Hindustan Zinc 78,522 698 Housing Development Finance 74,063 2,061 ICICI Bank 52,528 345 ICICI Bank ADR 13,020 173 India Cements 293,990 614 Indian Bank 176,623 286 Indian Overseas Bank 43,842 39 Infosys Technologies 31,863 831 Infrastructure Development Finance* 1,030,887 1,099 ITC 325,939 1,187 Jet Airways India 40,750 136 Larsen & Toubro 90,483 1,197 Mahanagar Telephone Nigam 515,050 700 Mahindra & Mahindra 65,245 493 National Aluminium 29,505 125 NTPC 222,105 787 Oil & Natural Gas 175,967 2,706 Oriental Bank of Commerce 1,205 3 Piramal Healthcare 112,608 435 Reliance Industries 30,500 917 Satyam Computer Services 11,832 9 Shipping of India 180,622 274 State Bank of India 1,740 37 State Bank of India GDR 25,310 1,038 Steel Authority of India 220,261 419 Sterlite Industries India 23,370 165 Sterlite Industries India ADR 55,180 390 Syndicate Bank 103,002 98 Tata Chemicals 14,440 40 Tata Consultancy Services 166,678 1,769 Tata Power 9,356 142 Tata Steel 113,590 461 Union Bank of India 14,036 41 Zee Entertainment Enterprises 353,549 741 ------------- 32,482 ------------- INDONESIA -- 1.3% Aneka Tambang 50,000 5 Astra International 434,579 536 Bank Central Asia 150,000 40 Bank Mandiri 3,217,592 606 Bank Rakyat Indonesia 3,650,500 1,327 Gudang Garam 1,055,100 539 HM Sampoerna (B) 986,500 922 International Nickel Indonesia 80,989 15 Kalbe Farma 7,591,500 407 Semen Gresik Persero 458,000 148
16 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Telekomunikasi Indonesia 3,647,600 $ 2,383 Unilever Indonesia 852,000 586 ------------- 7,514 ------------- ISRAEL -- 3.0% Bank Hapoalim* 407,044 743 Bank Leumi Le-Israel 484,349 957 Bezeq Israeli Telecommunication 1,525,316 2,386 Check Point Software Technologies* (A) 14,200 316 Delek Automotive Systems 20,422 128 Discount Investment 18,000 188 First International Bank of Israel* 51,020 364 Israel Chemicals 61,896 502 Israel Discount Bank, Cl A 644,724 478 Migdal Insurance & Financial Holding 214,322 172 Mizrahi Tefahot Bank 92,000 441 Partner Communications 38,041 567 Teva Pharmaceutical Industries 119,462 5,336 Teva Pharmaceutical Industries ADR (A) 91,016 4,100 Union Bank of Israel* 21,090 36 ------------- 16,714 ------------- JERSEY -- 0.0% Randgold Resources 2,975 157 ------------- KAZAKHSTAN -- 0.2% KazMunaiGas Exploration Production GDR 65,004 969 ------------- LUXEMBOURG -- 0.4% Tenaris ADR (A) 99,238 2,002 Ternium ADR (A) 47,038 322 ------------- 2,324 ------------- MALAYSIA -- 2.5% Berjaya Sports Toto 298,300 375 BIMB Holdings 36,000 8 British American Tobacco Malaysia 121,600 1,518 Bumiputra-Commerce Holdings 241,900 454 Digi.Com 58,200 338 Gamuda 1,132,300 615 Genting 868,300 876 HAP Seng Consolidated 229,000 119 Hong Leong Bank 390,811 574 Hong Leong Financial Group 10,000 13 JT International 20,000 25 KLCC Property Holdings 216,200 178 Lion Industries 355,000 59 Malayan Banking 1,119,150 1,185 Malaysian Bulk Carriers 432,391 368 Petronas Dagangan 700 1 Petronas Gas 209,000 556
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- PPB Group 254,000 $ 683 Public Bank 243,253 504 Resorts World 2,730,400 1,603 Sime Darby 688,300 1,076 Tanjong 100,000 379 Tenaga Nasional 1,198,975 2,006 Titan Chemicals 388,000 52 UMW Holdings 414,651 597 ------------- 14,162 ------------- MEXICO -- 3.7% America Movil ADR, Ser L (A) 181,586 4,917 America Movil, Ser L 3,060,245 4,166 Banco Compartamos 295,991 559 Carso Global Telecom* (A) 189,154 624 Cemex 340,532 214 Coca-Cola Femsa 98,600 336 Consorcio ARA 1,360,300 358 Embotelladoras Arca 331,009 579 Fomento Economico Mexicano 343,301 875 Fomento Economico Mexicano ADR (A) 30,246 763 Gruma, Cl B* (A) 427,216 161 Grupo Carso, Ser A1 (A) 188,671 460 Grupo Casa Saba ADR 4,500 59 Grupo Continental (B) 527,800 857 Grupo Famsa, Cl A* (A) 94,417 53 Grupo Financiero Banorte, Cl O 620,302 824 Grupo Mexico, Ser B 794,194 581 Grupo Modelo 190,900 581 Grupo Televisa 305,896 835 Grupo Televisa ADR (A) 106,600 1,454 Megacable Holdings* 73,000 74 Promotora Ambiental* 11,200 6 Urbi Desarrollos Urbanos* 1,223,982 1,082 Wal-Mart de Mexico, Ser V 180,438 423 ------------- 20,841 ------------- NETHERLANDS -- 0.1% Plaza Centers (A) 400,364 333 X5 Retail Group GDR* 46,136 461 ------------- 794 ------------- PANAMA -- 0.2% Copa Holdings, Cl A 33,100 949 ------------- PERU -- 0.4% Cia de Minas Buenaventura ADR (A) 17,229 413 Credicorp (A) 38,284 1,793 ------------- 2,206 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 17 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- PHILIPPINES -- 0.7% ABS-CBN Broadcasting PDR (B) 464,900 $ 163 Bank of the Philippine Islands 437,171 308 Globe Telecom 20,376 352 Manila Electric 200,000 360 Metropolitan Bank & Trust 161,800 87 Philippine Long Distance Telephone 30,560 1,388 Philippine Long Distance Telephone ADR 17,652 779 Pilipino Telephone 609,000 107 SM Investments 106,794 440 Union Bank of Philippines (B) 446,600 215 ------------- 4,199 ------------- POLAND -- 0.8% Bank BPH 13,667 114 Bank Pekao 11,560 274 Cyfrowy Polsat 157,056 605 KGHM Polska Miedz 22,820 296 Polish Oil & Gas 228,000 218 Polski Koncern Naftowy Orlen 153,728 1,039 Powszechna Kasa Oszczednosci Bank Polski 46,379 282 Telekomunikacja Polska 277,190 1,480 ------------- 4,308 ------------- RUSSIA -- 5.5% Comstar United Telesystems GDR 256,723 860 LUKOIL ADR (A) 199,243 7,511 Mechel ADR (A) 27,112 113 MMC Norilsk Nickel ADR 275,973 1,656 Mobile Telesystems ADR (A) 96,574 2,890 Novolipetsk Steel GDR 10,237 122 OAO Gazprom ADR 787,348 11,692 Pharmstandard GDR* 33,038 317 Rosneft Oil GDR 410,085 1,759 Rostelecom ADR 1,300 67 Sberbank GDR 9,311 973 Severstal GDR 25,750 88 Surgutneftegaz ADR (A) 152,598 946 Tatneft GDR 23,689 1,091 TMK OAO GDR 64,770 311 Uralkali GDR (B) 42,508 497 Uralsvyazinform ADR (B) 59,300 98 VTB Bank GDR (A) 65,410 106 ------------- 31,097 ------------- SINGAPORE -- 0.1% Epure International 2,427,500 471 ------------- SOUTH AFRICA -- 7.1% ABSA Group 140,610 1,422 African Bank Investments 291,457 772 AngloGold Ashanti 44,396 1,611
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- AngloGold Ashanti ADR (A) 40,979 $ 1,506 ArcelorMittal South Africa 12,286 94 Assore (B) 5,908 273 Aveng 172,658 473 Bidvest Group 82,837 766 FirstRand 814,110 1,032 Foschini 56,000 259 Gold Fields 220,143 2,419 Gold Fields ADR 30,030 341 Grindrod 423,782 539 Harmony Gold Mining* 68,000 718 Hosken Consolidated Investments 12,635 53 Impala Platinum Holdings 90,739 1,510 Investec 85,136 348 JD Group 133,860 465 Lewis Group 20,565 92 Liberty Holdings 20,110 133 Medi-Clinic 94,478 214 Metropolitan Holdings 630,918 697 Mondi (A) 127,582 372 Mr Price Group (A) 185,945 474 MTN Group 285,085 3,148 Murray & Roberts Holdings 49,188 209 Nampak 630,432 835 Naspers, Cl N 44,029 741 Nedbank Group 273,929 2,448 Remgro 65,302 464 Reunert 113,269 436 Sanlam 917,445 1,625 Sappi (A) 677,641 1,300 Sasol ADR 7,960 230 Sasol 209,631 6,062 Shoprite Holdings 198,869 1,058 Standard Bank Group 257,174 2,150 Steinhoff International Holdings 300,000 318 Telkom 152,970 1,697 Tiger Brands 38,661 550 Wilson Bayly Holmes-Ovcon 6,000 54 ------------- 39,908 ------------- SOUTH KOREA -- 12.5% Daewoo Shipbuilding & Marine Engineering 71,220 1,104 Daishin Securities* 610 7 Dongbu Insurance* 39,060 579 Dongwon Industries 1,360 84 Handsome 8 -- Hanwha Chemical 50,151 339 Hyundai Department Store 6,800 351 Hyundai Development 47,570 1,157 Hyundai Heavy Industries 14,734 2,082 Hyundai Marine & Fire Insurance* 26,580 240 Hyundai Mipo Dockyard 5,584 523 Hyundai Motor 18,284 734
18 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Kangwon Land 148,110 $ 1,472 KB Financial Group 65,850 1,569 KB Financial Group ADR (A) 2,650 64 KISCO 3,776 133 Korea Development Financing* 2,020 41 Korea Electric Power 101,840 1,874 Korea Gas 10,670 312 Korea Zinc 258 21 KT 53,940 1,501 KT ADR (A) 80,800 1,114 KT Freetel 37,340 748 KT&G 78,263 4,306 LG 49,704 1,768 LG Chem 31,321 2,038 LG Dacom 19,840 250 LG Electronics 40,775 2,694 LG Household & Health Care 4,310 469 LG Philips LCD 72,912 1,479 LG Telecom 62,520 381 Lotte Confectionery 210 156 Lotte Shopping 12,044 1,659 LS Cable 7,810 439 MegaStudy 5,110 733 Namyang Dairy Products 290 94 Nong Shim Holdings 1,710 68 Ottogi 710 65 Pacific 3,507 223 POSCO 12,944 3,411 POSCO ADR (A) 4,040 270 Samsung C&T 25,505 733 Samsung Electronics 43,997 18,066 Samsung Fire & Marine Insurance* 19,345 2,238 Samsung Heavy Industries 33,380 618 SeAH Holdings 67 3 Shinhan Financial Group 109,621 1,950 Shinsegae 11,104 3,456 SK Energy 21,633 1,384 SK Gas 3,709 154 SK Holdings 17,341 1,348 SK Telecom 14,442 2,005 SK Telecom ADR (A) 92,420 1,428 S-Oil 13,437 547 Youngone 17,540 110 Yuhan 1,325 177 ------------- 70,769 ------------- SWEDEN -- 0.1% West Siberian Resources GDR* (A) 1,549,733 514 ------------- TAIWAN -- 11.3% Ability Enterprise 323,376 254 Acer 649,786 977
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- Advanced Semiconductor Engineering 2,994,404 $ 1,453 Asia Optical 101,000 120 Asustek Computer 470,453 495 AU Optronics 1,368,247 1,132 Cathay Financial Holding 748,200 643 Chang Hwa Commercial Bank 1,244,000 418 Chi Mei Optoelectronics 1,848,400 739 China Airlines 1,859,000 463 China Development Financial Holding 3,872,450 770 China Manmade Fibers 537,000 78 China Motor 672,985 217 China Steel 1,246,990 816 Chinatrust Financial Holding 7,156,301 2,617 Chunghwa Telecom 3,018,573 5,510 Compal Electronics 5,082,755 3,642 CTCI 229,396 159 Delta Electronics* 355,000 653 Far Eastern Textile 1,898,979 1,478 Far EasTone Telecommunications 1,145,000 1,178 First Financial Holding 563,554 260 Formosa Chemicals & Fibre 657,000 775 Formosa Plastics 506,000 762 Fubon Financial Holding 1,461,000 881 Gigabyte Technology 268,000 148 HannStar Display 969,145 173 High Tech Computer 205,800 2,531 HON HAI Precision Industry 1,962,639 4,439 Hua Nan Financial Holdings 384,000 202 Lite-On Technology 1,423,844 961 MediaTek 337,065 3,171 Mega Financial Holding 4,656,000 1,668 Nan Ya Plastics 796,000 911 Nan Ya Printed Circuit Board 281,203 721 Nien Hsing Textile 674,000 176 President Chain Store 206,000 472 Quanta Computer 2,438,145 3,081 Shih Wei Navigation 127,000 154 Siliconware Precision Industries 18,002 19 SinoPac Financial Holdings 5,128,230 1,021 Synnex Technology International 195,000 246 Taiwan Cement 62,000 51 Taiwan Cooperative Bank 1,376,850 639 Taiwan Fertilizer 756,000 1,549 Taiwan Mobile 92,000 133 Taiwan Semiconductor Manufacturing 6,767,436 10,257 Taiwan Semiconductor Manufacturing ADR 199,541 1,786 United Microelectronics 5,476,312 1,793 Yageo 2,647,440 471 Yuanta Financial Holding 866,000 396 ------------- 63,659 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 19 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Equity Fund (Continued) March 31, 2009
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- THAILAND -- 2.7% Advanced Info Service 150,100 $ 350 Bangkok Bank 461,594 973 Bangkok Bank NVDR 644,200 1,353 BEC World 56,871 30 Bumrungrad Hospital 789,950 399 Charoen Pokphand Foods 8,116,000 742 Electricity Generating 174,434 326 Kasikornbank 1,049,700 1,339 Krung Thai Bank 6,485,900 830 PTT 678,237 2,917 PTT Exploration & Production 220,019 603 PTT NVDR 14,900 64 Ratchaburi Electricity Generating Holding 202,600 220 Siam Cement 208,800 577 Siam Commercial Bank 1,966,700 3,022 Thai Airways International 944,080 254 Thai Oil 116,400 84 Thai Union Frozen Products 758,400 436 Total Access Communication 502,600 412 Total Access Communication NVDR (A) 404,500 302 ------------- 15,233 ------------- TURKEY -- 1.7% Bossa Ticaret Sanayi Isletme 80,000 110 Cimsa Cimento Sanayi VE Tica 190,602 380 Eczacibasi Ilac Sanayi 175,000 106 Haci Omer Sabanci Holding 475,959 814 KOC Holding* 285,000 399 Tekfen Holding 211,333 364 Trakya Cam Sanayi* 144,000 78 Tupras Turkiye Petrol Rafine 227,172 2,268 Turk Hava Yollari* 211,843 829 Turk Sise ve Cam Fabrikalari 935,085 559 Turkcell Iletisim Hizmet 204,761 997 Turkcell Iletisim Hizmet ADR 30,870 379 Turkiye Garanti Bankasi 737,283 1,040 Turkiye Is Bankasi, Cl C 459,587 1,027 Turkiye Sinai Kalkinma Bankasi* 961,376 414 ------------- 9,764 ------------- UNITED KINGDOM -- 0.3% Anglo American 63,677 1,083 BHP Billiton 32,401 639 JKX Oil & Gas 86,140 272 ------------- 1,994 ------------- UNITED STATES -- 0.1% Lenovo Group 1,934,000 444 ------------- Total Common Stock (Cost $699,509) ($ Thousands) 503,231 -------------
Market Value Description Shares ($ Thousands) ----------- --------------- ------------- PREFERRED STOCK -- 8.6% BRAZIL -- 8.6% Aracruz Celulose, Cl B 86,679 $ 58 Banco Bradesco 77,400 777 Banco Daycoval 22,700 47 Bradespar 39,721 391 Brasil Telecom 90,261 502 Brasil Telecom Participacoes 89,418 664 Braskem* 224,600 473 Centrais Eletricas Brasileiras 120,376 1,304 Centrais Eletricas de Santa Catarina 13,400 184 Cia de Bebidas das Americas 15,801 760 Cia de Bebidas das Americas ADR (A) 10,580 505 Cia de Gas de Sao Paulo 26,000 341 Cia de Tecidos do Norte de Minas - Coteminas* 175,532 241 Cia Energetica de Minas Gerais 85,821 1,280 Cia Energetica do Ceara 20,000 198 Cia Paranaense de Energia 181,066 1,894 Cia Vale do Rio Doce, Cl A 308,131 3,588 Cia Vale do Rio Doce Sponsored ADR, Cl B (A) 251,576 2,838 Confab Industrial 105,200 184 Construtora Sultepa 600 1 Eletropaulo Metropolitana Eletricidade de Sao Paulo 167,340 2,379 Ferbasa-Ferro Ligas DA Bahia 25,200 64 Fertilizantes Fosfatados 115,965 674 Gerdau 27,100 151 Inepar Industria e Construcoes* 1,800 12 Investimentos Itau 690,817 2,395 Itau Unibanco Banco Multiplo 180,191 2,004 Mangels Industrial 3,700 9 Marcopolo 244,182 355 Metalurgica Gerdau, Cl A 61,599 450 NET Servicos de Comunicacao* 299,500 2,192 Parana Banco 16,600 33 Petroleo Brasileiro 563,821 7,009 Petroleo Brasileiro Sponsored ADR, Cl A (A) 388,410 9,516 Randon Participacoes 112,900 275 Sadia 136,010 187 Telecomunicacoes de Sao Paulo 61,266 1,280 Telegraph Norte Leste Participacoes 27,600 385 Telemar Norte Leste 58,962 1,341 Tim Participacoes 336,700 420 Ultrapar Participacoes 17,000 409 Universo Online 20,000 57 Usinas Siderurgicas de Minas Gerais 48,475 620 ------------- 48,447 -------------
20 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Shares/Face Amount ($ Market Value Description Thousands)(1) ($ Thousands) ----------- --------------- ------------- SOUTH KOREA -- 0.0% Samsung Fire & Marine Insurance* 168 $ 8 ------------- Total Preferred Stock (Cost $53,453) ($ Thousands) 48,455 ------------- Number of Warrants --------------- EQUITY-LINKED WARRANTS -- 0.0% RUSSIA -- 0.0% Sberbank, Expires 02/23/10* 270,000 167 ------------- Total Equity-Linked Warrants (Cost $0) ($ Thousands) 167 ------------- Number of Rights --------------- RIGHTS -- 0.0% BRAZIL -- 0.0% Votorantim Celulose, Expires 04/03/09* 14 -- ------------- MALAYSIA -- 0.0% Malayan Banking, Expires 04/23/09* 504 155 ------------- Total Rights (Cost $0) ($ Thousands) 155 ------------- DEBENTURE BOND -- 0.0% BRAZIL -- 0.0% Cia Vale do Rio Doce, Ser 1997 0.000%, 09/30/49 (D)* 8 -- ------------- Total Debenture Bond (Cost $0) ($ Thousands) -- ------------- AFFILIATED PARTNERSHIP -- 12.5% UNITED STATES -- 12.5% SEI Liquidity Fund, L.P., 0.820%+**(E) 71,725,931 70,373 ------------- Total Affiliated Partnership (Cost $71,726) ($ Thousands) 70,373 ------------- CASH EQUIVALENT -- 0.6% UNITED STATES -- 0.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.250%+** 3,413,493 3,413 ------------- Total Cash Equivalent (Cost $3,413) ($ Thousands) 3,413 ------------- Total Investments -- 110.8% (Cost $828,101) ($ Thousands) $ 625,794 =============
Description Percentages are based on a Net Assets of $564,553 ($ Thousands). * Non-income producing security ** Rate shown is the 7-day effective yield as of March 31, 2009. + Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) This security or a partial position of this security is on loan at March 31, 2009. The total market value of securities on loan at March 31, 2009 was $68,212 ($ Thousands) (see Note 7). (B) Securities considered illiquid. The total market value of such securities as of March 31, 2009 was $4,334 ($ Thousands) and represented 0.8% of Net Assets. (C) Real Estate Investments Trust (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2009. (E) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2009 was $70,373 ($ Thousands). ADR -- American Depositary Receipt BDR -- Brazilian Depositary Receipt BRL -- Brazilian Real Cl -- Class GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar L.P. -- Limited Partnership NVDR -- Non-Voting Depositary Receipt PDR -- Philippine Depositary Receipt Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 21 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund March 31, 2009 (PERFORMANCE GRAPH) SECTOR WEIGHTINGS+: Government 41.2% Financials 26.9% Mortgage-Backed Securities 12.0% Asset-Backed Securities 4.2% U.S. Treasury Obligations 2.7% Consumer Discretionary 1.9% Telecommunication Services 1.9% Utilities 1.7% Consumer Staples 1.4% Industrials 1.4% Basic Materials 1.2% Energy 1.0% Affiliated Partnership 0.7% Healthcare 0.7% Loan Participations 0.6% Information Technology 0.5%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- GLOBAL BONDS -- 69.5% AUSTRALIA -- 0.6% Australia Government Bond 6.250%, 04/15/15 300 $ 232 BHP Billiton Finance MTN 4.750%, 04/04/12 119 160 Macquarie Bank, Ser E MTN 5.500%, 09/19/16 (A) GBP 336 379 Queensland Treasury 6.000%, 09/14/17 1,630 1,188 Rio Tinto Finance USA 5.875%, 07/15/13 795 713 ------------- 2,672 ------------- AUSTRIA -- 0.1% Telekom Finanzmanagement MTN 5.000%, 07/22/13 401 534 ------------- BELGIUM -- 1.6% Inbev 8.625%, 01/30/17 200 280 Kingdom of Belgium, Ser 31 5.500%, 03/28/28 2,872 4,317 Kingdom of Belgium, Ser 48 4.000%, 03/28/22 2,100 2,737 ------------- 7,334 ------------- BRAZIL -- 0.3% Federal Republic of Brazil 8.250%, 01/20/34 920 1,021 Vale Overseas 6.875%, 11/21/36 301 260 ------------- 1,281 -------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- CANADA -- 3.1% Bell Canada MTN 5.000%, 02/15/17 270 $ 197 Canadian Natural Resources 5.150%, 02/01/13 175 166 Canadian Pacific Railway 6.500%, 05/15/18 130 117 Export Development Canada 2.375%, 03/19/12 800 807 Government of Canada 5.000%, 06/01/37 4,000 3,989 4.000%, 06/01/16 2,885 2,564 Province of Ontario Canada 4.750%, 06/02/13 2,980 2,568 4.200%, 03/08/18 1,950 1,564 Province of Quebec Canada 5.250%, 10/01/13 2,774 2,441 YPG Holdings MTN 5.250%, 02/15/16 665 429 ------------- 14,842 ------------- CAYMAN ISLANDS -- 1.0% Dar Al-Arkan International 3.333%, 07/16/12 (A) 825 565 Mizuho Capital Investment 5.020%, 06/30/11 (A) EUR 1,850 1,105 MUFG Capital Finance 2 4.850%, 07/25/16 (A) EUR 1,481 986 Pacific Life Funding, Ser E MTN 5.500%, 05/14/09 EUR 691 920 Resona Preferred Global Securities 7.191%, 07/30/49 (A) (B) 443 204 Thames Water Utilities Cayman Finance MTN 6.125%, 02/04/13 200 273 Yorkshire Power Finance 7.250%, 08/04/28 GBP 408 605 ------------- 4,658 ------------- CHILE -- 0.1% Nacional del Cobre de Chile - CODELCO 6.150%, 10/24/36 (B) 640 591 ------------- DENMARK -- 1.2% Danica Pension 4.350%, 10/29/49 EUR 1,980 1,904 Kingdom of Denmark 4.000%, 11/15/17 4,450 829 Nykredit 5.000%, 10/01/38 (A) 19,044 3,150 ------------- 5,883 -------------
22 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- FINLAND -- 0.3% Finland Government Bond 3.125%, 09/15/14 1,200 $ 1,601 ------------- FRANCE -- 5.4% AXA, Ser E MTN 5.777%, 07/29/49 (A) 1,100 499 BNP Paribas, Ser E MTN 8.667%, 09/29/49 (A) 100 82 4.750%, 04/04/11 400 545 Caisse Nationale des Caisses d'Epargne et de Prevoyance, Ser E 6.117%, 10/29/49 (A) 100 31 4.750%, 02/28/49 (A) 200 61 Caisse Refinancement de l'Habitat 4.250%, 10/25/14 332 444 CIE Financement Foncier 4.625%, 09/23/17 (C) 1,400 1,853 Compagnie De St Gobain, Ser E MTN 2.979%, 04/11/12 (A) 350 387 Credit Logement 4.604%, 03/29/49 (A) (C) 350 144 2.250%, 12/15/49 (A) (C) 150 82 EDF MTN 6.875%, 12/12/22 300 496 6.250%, 01/25/21 300 419 France Government Bond OAT 4.250%, 04/25/19 5,200 7,257 GDF Suez MTN 6.375%, 01/18/21 350 497 Government of France 4.750%, 04/25/35 2,465 3,559 3.750%, 04/25/21 2,300 3,027 3.500%, 04/25/15 2,200 3,016 Groupe Danone MTN 5.250%, 05/06/11 400 549 Lafarge 6.150%, 07/15/11 800 704 Natixis 6.307%, 10/29/49 (A) 150 50 Natixis, Ser E 2.504%, 01/26/17 (A) 300 206 Societe Financement de l'Economie Francaise 2.375%, 03/26/12 (B) 915 918 Societe Generale, Ser E MTN 1.932%, 06/07/17 (A) 200 189 Suez Environnement MTN 6.250%, 04/08/19 50 66 4.875%, 04/08/14 50 66 Veolia Environnement, Ser E 6.125%, 10/29/37 GBP 200 256 5.250%, 06/03/13 585 584 ------------- 25,987 -------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- GERMANY -- 6.7% Bayer MTN 5.000%, 07/29/05 (A) 718 $ 668 Bayer, Ser E MTN 5.625%, 05/23/18 GBP 150 217 2.829%, 04/10/10 (A) 250 330 Bayerische Landesbank, Ser E MTN 4.500%, 02/07/19 (A) 1,000 834 Bundesobligation, Ser 149 3.500%, 10/14/11 100 140 Bundesrepublik Deutschland 4.250%, 07/04/14 200 291 4.250%, 01/04/14 4,710 6,828 3.750%, 07/04/13 1,600 2,264 Bundesrepublik Deutschland, Ser 03 4.750%, 07/04/34 2,460 3,618 Bundesrepublik Deutschland, Ser 07 4.250%, 07/04/39 4,550 6,451 Bundesschatzanweisungen 1.250%, 03/11/11 2,750 3,639 Commerzbank 5.000%, 02/06/14 250 339 Commerzbank, Ser E MTN 4.125%, 09/12/16 (A) 400 303 Deutsche Boerse 7.500%, 06/13/38 (A) 250 239 KFW 4.700%, 06/02/37 CAD 2,080 1,577 1.350%, 01/20/14 JPY 250,000 2,511 Kreditanstalt fuer Wiederaufbau 3.875%, 01/21/19 325 426 3.500%, 03/10/14 (I) 1,675 1,683 ------------- 32,358 ------------- HUNGARY -- 0.2% Hungary Government Bond 6.750%, 02/24/17 175,000 547 6.750%, 11/24/17 175,000 526 ------------- 1,073 ------------- INDONESIA -- 0.1% Republic of Indonesia MTN 11.625%, 03/04/19 (B) 672 731 ------------- IRELAND -- 1.2% Anglo Irish Bank, Ser E MTN 2.010%, 06/25/14 (A) 350 204 1.864%, 06/19/17 (A) 200 58 Ardagh Glass Group PIK 10.750%, 03/01/15 308 127
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 23 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Depfa ACS Bank MTN 4.250%, 12/15/09 (C) 210 $ 276 GE Capital European Funding, Ser E MTN 4.375%, 03/30/11 400 517 GE Capital UK Funding, Ser E MTN 5.125%, 03/03/15 GBP 1,875 2,212 Hypo Real Estate International Trust I 5.864%, 06/29/49 (C) 150 2 Irish Nationwide Building Society, Ser E MTN 2.052%, 05/18/09 (A) 300 396 TransCapit (Transneft) Registered 7.700%, 08/07/13 1,124 983 5.381%, 06/27/12 600 674 UT2 Funding 0.000%, 06/30/16 (A) (C) 390 114 ------------- 5,563 ------------- ITALY -- 4.9% Banca Italease, Ser E MTN 2.301%, 02/02/10 (A) 150 180 Banca Popolare di Milano 9.000%, 06/29/49 (A) 200 127 Banco Popolare Scarl, Ser E MTN 2.389%, 02/08/17 (A) 1,350 1,166 Buoni Poliennali Del Tesoro 5.750%, 02/01/33 4,170 5,801 Exor 5.375%, 06/12/17 200 159 Intesa Sanpaolo, Ser E MTN 6.375%, 11/12/17 (A) GBP 300 381 Italy Buoni Poliennali Del Tesoro 5.000%, 08/01/39 1,300 1,647 4.500%, 03/01/19 790 1,059 3.750%, 08/01/16 6,100 8,190 SanPaolo IMI, Ser E MTN 6.375%, 04/06/10 2,150 2,892 Telecom Italia MTN 8.250%, 03/21/16 250 332 6.750%, 03/21/13 150 199 Unicredito Italiano, Ser E MTN 4.500%, 09/22/19 1,300 1,337 ------------- 23,470 ------------- JAPAN -- 12.5% Aiful 6.000%, 12/12/11 (B) 534 134 East Japan Railway, Ser E MTN 4.750%, 12/08/31 GBP 1,000 1,302
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Fukoku Mutual Life Insurance 4.500%, 09/28/25 (A) EUR 500 $ 524 Government of Japan 10 Year Bond, Ser 296 1.500%, 09/20/18 362,000 3,738 Government of Japan 15 Year Bond, Ser 35 0.330%, 07/20/20 (A) 240,500 2,252 Government of Japan 15 Year Bond, Ser 39 1.220%, 03/20/21 149,000 1,494 Government of Japan 20 Year Bond, Ser 48 2.500%, 12/21/20 869,000 9,525 Government of Japan 20 Year Bond, Ser 76 1.900%, 03/20/25 126,000 1,289 Government of Japan 20 Year Bond, Ser 99 2.100%, 12/20/27 1,075,900 11,191 Government of Japan CPI Linked Bond, Ser 10 1.100%, 12/10/16 1,115,000 9,767 Government of Japan CPI Linked Bond, Ser 13 1.300%, 09/10/17 111,600 979 Government of Japan CPI Linked Bond, Ser 14 1.200%, 12/10/17 100,600 870 Government of Japan CPI Linked Bond, Ser 15 1.400%, 03/10/18 93,300 820 Government of Japan CPI Linked Bond, Ser 5 0.800%, 09/10/15 503,461 4,430 Japan Finance for Municipal Enterprises 2.000%, 05/09/16 540,000 5,636 Japan Government Ten Year Bond 1.700%, 09/20/17 409,950 4,339 Resona Bank MTN 4.125%, 09/27/12 (A) EUR 1,000 491 Sumitomo Mitsui Banking MTN 4.375%, 10/15/15 (A) EUR 460 307 4.375%, 10/27/14 (A) EUR 830 986 ------------- 60,074 ------------- JERSEY -- 0.0% HBOS Capital Funding 4.939%, 05/29/49 (A) 250 47 -------------
24 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- LUXEMBOURG -- 0.4% ArcelorMittal 5.375%, 06/01/13 (B) 800 $ 613 Dexia Funding 4.892%, 11/30/49 (A) 811 145 Gaz Capital 6.212%, 11/22/16 (B) 230 168 Gaz Capital (Gazprom), Ser E MTN 6.580%, 10/31/13 GBP 150 163 Glencore Finance Europe, Ser E MTN 7.125%, 04/23/15 300 222 6.500%, 02/27/19 GBP 400 327 Tyco International Group 6.000%, 11/15/13 331 312 ------------- 1,950 ------------- MEXICO -- 0.2% Mexican Bonos, Ser MI10 9.000%, 12/20/12 10,000 758 ------------- NETHERLANDS -- 4.1% Adecco International Financial Services 4.500%, 04/25/13 1,200 1,449 Aegon 4.750%, 06/01/13 250 220 Allianz Finance II 6.125%, 05/31/22 (A) 1,000 983 ASML Holding 5.750%, 06/13/17 200 162 Bayer Capital BV MTN 4.625%, 09/26/14 364 487 BMW Finance, Ser E MTN 5.000%, 08/06/18 133 151 Boats Investments, Ser E MTN 11.000%, 03/31/17 294 96 E.ON International Finance BV MTN 6.750%, 01/27/39 200 299 Eureko 5.125%, 06/24/15 (A) 350 121 Generali Finance 5.479%, 02/28/49 (A) 450 305 Government of Netherlands 7.500%, 01/15/23 2,228 4,037 4.500%, 07/15/17 2,170 3,088 Iberdrola International, Ser E MTN 4.875%, 02/18/13 800 1,083 ING Bank, Ser E MTN 5.500%, 01/04/12 236 286 4.176%, 06/29/49 (A) 382 147 ING Verzekeringen 6.250%, 06/21/21 (A) 1,000 647 Linde Finance 8.125%, 07/14/66 (A) GBP 125 141 7.375%, 07/14/66 (A) 300 265 6.750%, 12/08/15 200 282
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Netherlands Government Bond 4.000%, 01/15/37 1,750 $ 2,295 Rabobank Nederland MTN 4.750%, 01/15/18 450 598 Rabobank Nederland, Ser E MTN 4.125%, 04/04/12 1,250 1,687 RWE Finance BV MTN 6.625%, 01/31/19 150 216 Siemens Financieringsmat 6.125%, 09/14/66 (A) GBP 275 282 5.000%, 02/10/15 150 205 Volkswagen 5.625%, 02/09/12 250 338 ------------- 19,870 ------------- NORWAY -- 0.7% DDI Holding 10.000%, 03/15/12 (C) 2,000 104 Eksportfinans MTN 4.375%, 09/20/10 EUR 1,815 2,482 MPU Offshore Lift 0.000%, 12/22/11 (C) (D) 1,500 4 Petrojack 9.460%, 05/30/12 (A) (C) 1,100 41 Petrolia Drilling 12.000%, 06/20/12 (C) 1,000 37 Sevan Drilling 9.400%, 12/07/12 (A) 2,000 113 Stat Hydro 6.875%, 03/11/31 250 372 ------------- 3,153 ------------- PERU -- 0.2% Republic of Peru 9.875%, 02/06/15 625 738 8.375%, 05/03/16 255 283 ------------- 1,021 ------------- POLAND -- 0.1% Republic of Poland 5.500%, 10/25/19 2,535 674 5.250%, 04/25/13 242 67 ------------- 741 ------------- RUSSIA -- 0.5% Gazprom OAO 9.625%, 03/01/13 470 448 RS Finance (RSB) 6.825%, 09/16/09 EUR 300 365 RSHB Capital 7.750%, 05/29/18 (B) 1,712 1,221 Steel Capital (Severstal) 9.750%, 07/29/13 (B) 540 351 ------------- 2,385 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 25 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- SOUTH AFRICA -- 0.6% Foodcorp Registered 8.875%, 06/15/12 EUR 330 $ 254 Republic of South Africa 13.000%, 08/31/10 25,000 2,840 ------------- 3,094 ------------- SPAIN -- 0.7% Mapfre 5.921%, 07/24/37 (A) 500 303 Santander Issuances, Ser E MTN 2.629%, 07/25/17 (A) 250 247 Spain Government Bond 4.600%, 07/30/19 935 1,287 3.800%, 01/31/17 955 1,275 Telefonica Emisiones SAU MTN 5.496%, 04/01/16 100 133 5.431%, 02/03/14 200 273 ------------- 3,518 ------------- SUPRA-NATIONAL -- 4.2% European Investment Bank 6.000%, 08/14/13 AUD 700 509 1.400%, 06/20/17 JPY 1,933,000 19,105 WT Finance 3.625%, 06/27/12 EUR 450 461 ------------- 20,075 ------------- SWEDEN -- 0.4% Kingdom of Sweden, Ser 1046 5.500%, 10/08/12 9,550 1,300 Svenska Handelsbanken, Ser E MTN 4.194%, 12/29/49 (A) EUR 188 112 2.710%, 10/19/17 (A) EUR 500 504 ------------- 1,916 ------------- SWITZERLAND -- 0.5% ELM 6.500%, 04/02/13 300 398 UBS 6.625%, 04/11/18 GBP 150 207 6.250%, 09/03/13 EUR 200 264 5.875%, 12/20/17 (I) 800 688 5.375%, 04/11/11 EUR 400 525 2.093%, 11/17/15 (A) EUR 500 399 ------------- 2,481 -------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- UNITED ARAB EMIRATES -- 1.1% Emirate of Abu Dhabi 5.500%, 08/02/12 (B) 3,000 $ 3,090 Nakheel Development 3.173%, 12/14/09 868 782 National Bank of Abu Dhabi, Ser E MTN 5.875%, 02/27/12 GBP 950 1,336 ------------- 5,208 ------------- UNITED KINGDOM -- 9.2% Abbey National Treasury Services 5.375%, 12/30/09 389 561 Abbey National Treasury Services, Ser E MTN 4.250%, 04/12/21 1,350 1,622 AIB UK 1 4.781%, 12/17/49 (A) 194 28 Anglian Water Services Financing, Ser A5 MTN 6.293%, 07/30/30 500 690 Anglian Water Services Financing, Ser E MTN 5.250%, 10/30/15 280 408 4.625%, 10/07/13 1,450 1,888 Bank of Ireland Holdings, Ser 1 MTN 7.400%, 12/29/49 (A) 395 73 Bank of Scotland, Ser E MTN 4.750%, 06/08/22 1,275 1,504 Barclays Bank, Ser E MTN 6.750%, 01/16/23 (A) 350 388 6.000%, 01/23/18 471 459 BAT International Finance MTN 5.875%, 03/12/15 200 262 British Telecommunications 5.750%, 12/07/28 111 113 Brixton 5.250%, 10/21/15 (E) 280 150 Centrica MTN 7.125%, 12/09/13 400 576 Centrica, Ser E MTN 7.000%, 09/19/33 200 298 Chester Asset Receivables, Ser A 6.125%, 10/15/10 EUR 2,160 2,853 Hammerson 5.250%, 12/15/16 (E) 280 287 HBOS, Ser E MTN 5.125%, 10/29/49 (A) EUR 1,136 648 4.875%, 03/29/49 (A) (C) EUR 1,000 571 Imperial Tobacco Finance MTN 8.375%, 02/17/16 700 926 7.250%, 09/15/14 150 197
26 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Ineo's Group Holdings 7.875%, 02/15/16 EUR 111 $ 13 Lloyds TSB Bank, Ser E MTN 6.625%, 03/30/15 214 255 6.350%, 10/29/49 (A) 391 135 4.385%, 05/29/49 (A) (C) 200 85 Marks & Spencer, Ser E MTN 5.625%, 03/24/14 268 361 National Westminster Bank 6.500%, 09/07/21 220 230 Nationwide Building Society, Ser E MTN 3.375%, 08/17/15 (A) 580 637 3.125%, 01/26/10 352 458 Northern Rock 6.024%, 01/13/15 (A) (C) (F) 50 29 5.625%, 06/22/17 (B) (C) 2,550 2,353 Northumbrian Water Finance 6.000%, 10/11/17 500 750 Old Mutual, Ser E MTN 4.500%, 01/18/17 (A) (C) 150 62 Pearson Funding One 6.000%, 12/15/15 250 354 RBS Capital Trust A 6.467%, 06/30/12 (A) 400 207 Reed Elsevier Investments 7.000%, 12/11/17 350 497 Rexam, Ser E MTN 4.375%, 03/15/13 600 669 Royal Bank of Scotland MTN 6.934%, 04/09/18 300 275 2.098%, 07/29/49 (A) (C) 150 88 Scottish & Southern Energy MTN 6.250%, 08/27/38 150 204 Southern Gas Networks, Ser A1 MTN 2.650%, 10/21/10 (A) (C) 300 383 Standard Chartered Bank, Ser E MTN 5.875%, 09/26/17 500 502 3.625%, 02/03/17 (A) 400 389 Tesco MTN 5.125%, 02/24/15 200 267 Tesco, Ser E MTN 5.875%, 09/12/16 300 408 United Kingdom Gilt 4.250%, 12/07/49 85 119 4.000%, 09/07/16 1,215 1,888 United Kingdom Treasury 8.750%, 08/25/17 1,605 3,301 4.500%, 03/07/19 5,210 8,309 United Kingdom Treasury, Ser 2004- 4.750%, 12/07/38 1,160 1,824
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Vodafone Group MTN 6.250%, 01/15/16 300 $ 416 4.625%, 09/08/14 100 144 Vodafone Group, Ser E MTN 5.900%, 11/26/32 276 361 4.250%, 05/27/09 EUR 400 531 W&DB Issuer, Ser B1 5.641%, 07/15/35 (A) (C) 60 37 Westpac New Zealand 7.750%, 03/08/10 NZD 5,000 2,947 Zurich Finance, Ser E MTN 6.700%, 10/30/49 (A) (F) 260 205 ------------- 44,195 ------------- UNITED STATES -- 7.3% American International Group, Ser A3 4.875%, 03/15/67 (A) EUR 800 64 AT&T 5.600%, 05/15/18 415 404 BA Covered Bond Issuer, Ser E MTN 4.125%, 04/05/12 EUR 3,100 4,037 Banca Popolare Lodi Trust 6.742%, 06/29/49 (A) EUR 955 330 Bank of America 5.750%, 12/01/17 395 332 5.650%, 05/01/18 350 292 Bank of America, Ser E MTN 5.125%, 09/26/14 250 280 Bear Stearns 7.625%, 12/07/09 243 247 BNP Paribas Capital Trust III 6.625%, 12/29/49 (A) 1,000 611 Cablevision Systems, Ser B 8.000%, 04/15/12 235 229 CBS 7.700%, 07/30/10 440 441 Chesapeake Energy 6.250%, 01/15/17 EUR 400 393 CIT Group MTN 5.125%, 09/30/14 GBP 75 45 Citigroup 5.500%, 04/11/13 995 874 4.750%, 02/10/19 (A) EUR 1,000 644 4.625%, 08/03/10 400 375 Comcast 6.950%, 08/15/37 (I) 1,060 987 Commerzbank Capital Funding Trust I 5.012%, 03/29/49 (A) EUR 350 81 ConocoPhillips 5.750%, 02/01/19 400 403
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 27 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Countrywide Financial MTN 5.800%, 06/07/12 507 $ 440 Countrywide Home Loan, Ser L MTN 4.000%, 03/22/11 9 8 Dubai Islamic Bank 1.855%, 03/22/12 1,050 861 Duke Energy 6.300%, 02/01/14 375 384 Dynegy Holdings 8.375%, 05/01/16 230 156 Electronic Data Systems, Ser B 6.000%, 08/01/13 474 502 Fisher Scientific International 6.125%, 07/01/15 71 70 General Electric Capital 5.625%, 05/01/18 745 649 1.800%, 03/11/11 675 677 Genworth Financial 1.600%, 06/20/11 JPY 89,000 375 Goldman Sachs Group MTN 7.350%, 10/01/09 283 287 6.500%, 10/06/10 250 330 5.375%, 02/15/13 200 244 4.750%, 01/28/14 396 452 4.250%, 08/04/10 200 259 2.377%, 02/04/13 (A) EUR 450 481 Hertz 8.875%, 01/01/14 221 134 HSBC Finance, Ser E MTN 6.125%, 01/22/10 GBP 334 465 HVB Funding Trust VIII 7.055%, 03/29/49 (A) 1,600 531 International Paper 7.950%, 06/15/18 260 198 JPMorgan Chase Capital XXV 6.800%, 10/01/37 340 226 JPMorgan Chase Bank 4.625%, 05/29/17 (A) EUR 500 522 4.375%, 11/30/21 (A) 1,400 1,174 Kraft Foods 6.125%, 08/23/18 735 737 Merrill Lynch MTN 6.750%, 05/21/13 150 178 Merrill Lynch, Ser E MTN 4.625%, 10/02/13 EUR 261 273 Morgan Stanley 6.000%, 04/28/15 630 595 2.250%, 03/13/12 800 806 Morgan Stanley, Ser E MTN 5.450%, 01/09/17 (I) 580 507 3.750%, 03/01/13 1,000 1,089
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Oracle 5.750%, 04/15/18 752 $ 785 Owens Corning 6.500%, 12/01/16 1,330 976 Pfizer 1.800%, 02/22/16 JPY 110,000 1,098 Philip Morris International 5.750%, 03/24/16 150 200 4.875%, 05/16/13 345 349 4.250%, 03/23/12 200 267 Qwest 7.625%, 06/15/15 560 504 Qwest Communications International 7.500%, 02/15/14 335 290 Reynolds American 7.625%, 06/01/16 377 334 7.300%, 07/15/15 195 179 7.250%, 06/01/12 572 563 Roche Holdings 6.500%, 03/04/21 350 492 Schering-Plough 5.375%, 10/01/14 EUR 350 464 SLM, Ser E MTN 1.980%, 06/17/13 (A) EUR 170 97 1.850%, 12/15/10 (A) EUR 300 239 Sprint Capital 8.750%, 03/15/32 203 136 Toyota Motor Credit Corp 5.250%, 02/03/12 250 340 Verizon Communications 5.250%, 04/15/13 315 322 Verizon Wireless Capital 8.750%, 12/18/15 400 598 Wal-Mart Stores 5.625%, 03/27/34 200 279 4.875%, 01/19/39 GBP 238 293 Western Union 5.930%, 10/01/16 888 823 Windstream 8.625%, 08/01/16 220 216 WM Covered Bond Program, Ser E MTN 4.375%, 05/19/14 100 114 3.875%, 09/27/11 250 308 Wyndham Worldwide 6.000%, 12/01/16 242 123 ------------- 35,068 ------------- Total Global Bonds (Cost $374,768) ($ Thousands) 334,132 -------------
28 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- MORTGAGE-BACKED SECURITIES -- 11.0% BELGIUM -- 0.3% B-Arena, Ser 2006-1, Cl A 2.470%, 04/22/44 (A) 1,250 $ 1,532 ------------- IRELAND -- 0.1% Immeo Residential Finance, Ser 2, Cl A 3.489%, 12/15/16 (A) 475 427 Talisman Finance, Ser 7, Cl H 4.862%, 04/22/17 (A) (C) 488 97 ------------- 524 ------------- JAPAN -- 0.0% JLOC, Ser 37X, Cl B1 1.140%, 01/15/15 (A) (C) 13,470 126 ------------- NETHERLANDS -- 1.2% Beluga Master Issuer, Ser 2006-1, Cl A2 2.279%, 04/28/99 (A) 2,200 2,731 Skyline, Ser 2007-1, Cl D 3.180%, 07/22/43 (A) (C) 200 108 Storm, Ser 2006-1, Cl A2 2.480%, 04/22/48 (A) 2,493 2,958 ------------- 5,797 ------------- UNITED KINGDOM -- 1.9% Arkle Master Issuer, Ser 2006-1X, Cl 5M1 2.213%, 02/17/52 (C) 150 135 Arran Residential Mortgages Funding, Ser 2006-1X, Cl BC 2.869%, 04/12/56 (A) (C) 455 528 Canary Wharf Finance, Ser II, Cl C2 2.751%, 10/22/37 (A) (C) 200 86 Eddystone Finance, Ser 2006-1, Cl C 2.820%, 04/19/21 (A) (C) 100 87 Eddystone Finance, Ser 2006-1, Cl B 2.620%, 04/19/21 (A) (C) 100 94 Gracechurch Mortgage Financing, Ser 2006-1, Cl C3 2.170%, 11/20/56 (A) (C) 250 232 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 2D2 2.300%, 11/20/56 (A) (C) 400 424 Gracechurch Mortgage Financing, Ser 2007-1X, Cl 3A2 2.000%, 11/20/56 (A) 2,000 2,655 Granite Master Issuer, Ser 2006-2, Cl A5 1.690%, 12/20/54 (A) (C) 809 731
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Holmes Master Issuer, Ser 2007-1, Cl 3C2 3.032%, 07/15/40 (A) (C) 150 $ 137 Leek Finance, Ser 15X, Cl BA 3.275%, 03/21/37 (A) (C) 100 48 London and Regional Debt Securitisation, Ser 1, Cl A 2.476%, 10/15/14 (A) (C) 150 166 Permanent Financing, Ser 5, Cl 3A 2.349%, 06/10/34 (A) 960 939 Permanent Financing, Ser 7, Cl 3B 1.846%, 06/10/42 (A) (C) 2,500 2,871 ------------- 9,133 ------------- UNITED STATES -- 7.5% Banc of America Commercial Mortgage, Ser 2006-6, Cl A2 5.309%, 10/10/45 505 437 Banc of America Commercial Mortgage, Ser 2007-5, Cl A4 5.492%, 10/10/17 1,200 775 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-6, Cl 3A 5.431%, 09/25/34 (A) 469 336 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-2, Cl 2A1 5.650%, 07/25/36 (A) 789 402 Bear Stearns Commercial Mortgage Securities, Ser 2006-PW14, Cl A4 5.201%, 12/11/38 2,775 2,274 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 5.700%, 04/01/09 (A) 1,140 783 Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 6.096%, 04/01/09 (A) 405 300 Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 1A4 5.110%, 05/25/35 (A) 2,223 1,350 Citigroup, Ser CD4, Cl A2B 5.205%, 12/11/49 1,250 1,002 Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A3 6.640%, 09/17/10 368 368 Countrywide Alternative Loan Trust, Ser 2006-43CB, Cl 1A7 6.000%, 01/31/37 2,820 1,659 Countrywide Home Loans, Ser 2003-56, Cl 5A1 4.781%, 12/25/33 (A) 517 432 Credit Suisse First Boston Mortgage Securities, Ser 2003-CKS4, Cl A1 4.485%, 11/15/36 1,393 1,376
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 29 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 5.827%, 04/01/09 (A) 1,250 $ 842 Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 5.311%, 12/15/39 1,215 775 Deutsche ALT-A Securities, Ser 2006-0A1, Cl A1 0.674%, 02/25/47 (A) 398 144 FNMA 5.000%, 07/01/35 46 68 FNMA TBA 5.500%, 04/30/22 2,300 2,398 4.500%, 04/14/33 2,200 2,248 GNMA TBA 4.500%, 05/15/39 3,800 3,874 GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 4A1 5.134%, 01/25/35 (A) 604 400 GSR Mortgage Loan Trust, Ser 2006-0A1, Cl 2A1 0.712%, 04/25/09 (A) 440 228 JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CDP5, Cl A4 5.179%, 12/15/44 (A) 1,220 940 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 840 577 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 5.440%, 06/12/47 1,380 891 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 3A1 5.309%, 12/25/34 (A) 582 471 Keybank, Ser 2000-C1, Cl A2 7.727%, 05/17/32 (A) 2,222 2,235 LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A4 6.134%, 06/15/17 (A) 185 133 LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A4 5.156%, 02/15/31 1,530 1,167 LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 6.149%, 04/15/41 (A) 930 689 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-3, Cl A4 5.414%, 07/12/46 (A) 1,165 767 Morgan Stanley Capital I, Ser 2006-IQ16, Cl A4 5.809%, 12/12/49 1,300 905 Morgan Stanley Capital I, Ser 2007-HQ13, Cl A3 5.569%, 12/15/44 1,925 1,324
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Salomon Brothers Mortgage Securities, Ser 2000-C1, Cl A2 7.520%, 12/18/09 (A) 1,932 $ 1,945 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl A4 5.740%, 05/15/43 (A) 395 314 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C27, Cl A3 5.765%, 07/15/45 (A) 1,150 795 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4 5.308%, 11/15/48 305 203 Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2007-0A3, Cl 4A1 2.593%, 04/25/47 (A) 496 196 ------------- 36,023 ------------- Total Mortgage-Backed Securities (Cost $66,277) ($ Thousands) 53,135 ------------- ASSET-BACKED SECURITIES -- 4.1% FRANCE -- 0.5% Auto Compartiment, Ser 2006-1, Cl B 2.504%, 07/25/17 (A) 500 474 Auto Compartiment, Ser 2007-1, Cl A 1.977%, 02/25/19 (A) 1,000 1,204 FCC Sparc, Ser 2005-1, Cl B 2.982%, 07/15/11 (C) 400 515 ------------- 2,193 ------------- GERMANY -- 0.1% COMIT, Ser 1, Cl C 3.319%, 06/29/13 (A) (C) 79 58 Prime Bricks, Ser 2007-1, Cl C 2.615%, 01/30/40 (A) (C) 100 116 Prime Bricks, Ser 2007-1, Cl B 2.415%, 01/30/40 (A) (C) 350 414 ------------- 588 ------------- IRELAND -- 0.1% Mermaid Secured Finance, Ser 2007-1, Cl C 2.615%, 01/30/40 (A) (C) 100 114 Mermaid Secured Finance, Ser 2007-1, Cl D 2.415%, 01/30/40 (A) (C) 100 118 ------------- 232 -------------
30 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- JERSEY -- 0.0% Whinstone Capital Management, Ser 1X, Cl B1 6.596%, 10/25/45 (A) (C) 140 $ 25 ------------- NETHERLANDS -- 0.5% Amstel Corporate Loan Offering, Ser 2007-1, Cl A2 3.199%, 03/25/17 (A) (C) 1,000 1,181 Lambda Finance, Ser 2005-1X, Cl A2 2.199%, 11/15/29 (A) (C) 1,255 1,382 ------------- 2,563 ------------- SPAIN -- 0.3% FTA Santander Auto, Ser 1, Cl A 1.926%, 11/25/21 (A) 672 868 Santander Consumer Finance, Ser 2007-1, Cl A 3.275%, 09/20/22 (C) 393 476 ------------- 1,344 ------------- UNITED KINGDOM -- 0.6% Metrix Funding, Ser 1X, Cl A2 2.232%, 02/10/19 (A) (C) 2,500 2,987 ------------- UNITED STATES -- 2.0% Citibank Credit Card Issuance Trust, Ser A4, Cl A4 5.375%, 04/10/13 EUR 1,900 2,433 Countrywide Asset-Backed Certificates, Ser 2007-2, Cl 2A1 0.521%, 04/27/09 (A) 1,550 1,350 Ford Credit Auto Owner Trust, Ser 2006-C, Cl A3 5.160%, 11/15/10 1,594 1,602 SLM Student Loan Trust, Ser 2004-2, Cl A5 2.434%, 01/25/24 (A) 1,000 1,009 SLM Student Loan Trust, Ser 2008-5, Cl A3 2.459%, 01/25/18 900 868 SLM Student Loan Trust, Ser 2008-5, Cl A4 2.859%, 07/25/23 900 851 2.259%, 10/25/16 800 782 Soundview Home Equity Loan Trust, Ser 2007-NS1, Cl A1 0.594%, 01/25/37 (A) 1,068 856 ------------- 9,751 ------------- Total Asset-Backed Securities (Cost $21,798) ($ Thousands) 19,683 -------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- CORPORATE OBLIGATIONS -- 3.7% UNITED STATES -- 3.7% AT&T 6.500%, 09/01/37 (I) 650 $ 587 AutoNation 3.161%, 04/15/13 (A) (B) 44 37 Baxter International 5.375%, 06/01/18 245 252 Bear Stearns MTN 6.950%, 08/10/12 363 370 Caterpillar Financial Services MTN 6.200%, 09/30/13 810 811 Centex 7.500%, 01/15/12 366 328 Computer Sciences 5.500%, 03/15/13 (B) 605 587 Countrywide Financial 6.250%, 05/15/16 132 110 Dominion Resources 6.400%, 06/15/18 400 401 Embarq 7.082%, 06/01/16 1,283 1,155 Federated Retail Holding 5.350%, 03/15/12 505 396 Fisher Scientific International 6.750%, 08/15/14 107 108 Historic TW 9.125%, 01/15/13 720 756 ILFC E-Capital Trust I 5.900%, 12/21/65 (A) (B) 150 23 John Deere Capital MTN 5.250%, 10/01/12 395 399 JPMorgan Chase 6.000%, 01/15/18 (G) 905 914 Liberty Mutual Group 7.800%, 03/15/37 (B) 315 120 Limited Brands 5.250%, 11/01/14 935 656 Masco 6.125%, 10/03/16 500 321 McKesson 5.250%, 03/01/13 615 609 Merrill Lynch 6.050%, 05/16/16 200 123 Mirant Americas Generation 8.500%, 10/01/21 399 295 Mohawk Industries 6.625%, 01/15/16 500 368 Motorola 7.500%, 05/15/25 85 55 6.500%, 09/01/25 531 337 NB Capital Trust IV 8.250%, 04/15/27 614 266
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 31 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Nextel Communications 6.875%, 10/31/13 512 $ 292 Nisource Finance 6.800%, 01/15/19 710 571 NRG Energy 7.375%, 02/01/16 225 209 PPG Industries 6.650%, 03/15/18 562 550 Progress Energy 6.050%, 03/15/14 160 161 Prudential Financial MTN 5.150%, 01/15/13 355 264 Reliant Energy 7.875%, 06/15/17 225 178 7.625%, 06/15/14 175 142 Sara Lee 6.250%, 09/15/11 448 467 SLM MTN 5.050%, 11/14/14 1,000 529 Starwood Hotels & Resorts Worldwide 7.375%, 11/15/15 1,194 842 Time Warner Cable 7.500%, 04/01/14 385 392 Union Bank MTN 5.950%, 05/11/16 392 281 Union Carbide 7.750%, 10/01/96 910 409 United States Steel 6.050%, 06/01/17 615 380 Wachovia MTN 5.500%, 05/01/13 415 383 5.350%, 03/15/11 150 146 Wachovia Capital Trust III 5.800%, 03/15/11 (A) 385 139 Western Financial Bank 9.625%, 05/15/12 432 431 Williams 7.875%, 09/01/21 110 102 Xerox 7.625%, 06/15/13 210 187 ------------- Total Corporate Obligations (Cost $21,735) ($ Thousands) 17,439 -------------
Face Amount (Thousands) (1) Market Value Description /Shares ($ Thousands) ----------- --------------- ------------- U.S. TREASURY OBLIGATIONS -- 2.5% U.S Treasury Inflationary Index Note 2.000%, 04/15/12 3,400 $ 3,640 U.S. Treasury Bonds 6.250%, 08/15/23 (G) 1,630 2,144 4.500%, 05/15/38 25 29 U.S. Treasury Notes 2.000%, 11/30/13 4,300 4,390 1.875%, 02/28/14 1,645 1,663 ------------- Total U.S. Treasury Obligations (Cost $11,511) ($ Thousands) 11,866 ------------- LOAN PARTICIPATIONS -- 0.5% UNITED STATES -- 0.5% Aramark Term Loan 3.806%, 01/26/14 GBP 295 354 Beverly Enterprises Term Loan 3.265%, 07/24/11 284 245 Cablevision Ser B Term Loan, Ser B 2.306%, 03/14/13 488 443 Education Management Term Loan 3.000%, 05/26/13 719 613 Peach Holding Term Loan 5.470%, 11/21/13 563 158 TP Generation Holdings Term Loan 4.768%, 12/15/14 500 452 TXU Term Loan 4.033%, 10/31/14 396 260 ------------- Total Loan Participations (Cost $3,531) ($ Thousands) 2,525 ------------- AFFILIATED PARTNERSHIP -- 0.7% UNITED STATES -- 0.7% SEI Liquidity Fund, L.P., 0.820%+** (H) 3,204,211 3,179 ------------- Total Affiliated Partnership (Cost $3,204) ($ Thousands) 3,179 ------------- Total Investments -- 92.0% (Cost $502,824) ($ Thousands) $ 441,959 =============
32 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- -------------- ------------- -------------- 4/1/09-6/10/09 USD 26,081 EUR 19,825 $ 238 4/3/09-5/11/09 MXP 19,808 USD 1,350 (50) 4/3/09-5/27/09 EUR 252,621 USD 327,016 (8,348) 4/3/09-5/27/09 NOK 9,908 USD 1,444 (22) 4/3/09-5/27/09 USD 10,305 JPY 1,004,738 (128) 4/3/09-5/28/09 SEK 106,176 USD 12,222 (627) 4/3/09-6/10/09 AUD 37,298 USD 25,283 (526) 4/3/09-6/10/09 CAD 50,791 USD 40,340 (49) 4/3/09-6/10/09 GBP 50,619 USD 71,589 (962) 4/3/09-6/10/09 JPY 10,608,880 USD 108,226 727 4/3/09-7/10/09 USD 21,099 GBP 14,846 179 4/3/09-7/10/09 USD 31,110 NOK 209,451 (132) 4/8/09-5/27/09 USD 14,571 AUD 22,133 753 4/14/09 AUD 3,335 JPY 197,000 (320) 4/14/09 GBP 2,506 JPY 408,000 540 4/14/09 JPY 408,000 GBP 2,397 (696) 4/14/09-5/27/09 JPY 957,777 AUD 14,890 604 4/14/09-6/10/09 CHF 9,200 EUR 5,976 (164) 4/14/09-6/10/09 EUR 6,073 CHF 9,200 34 4/14/09-6/10/09 EUR 8,938 JPY 1,146,704 (245) 4/14/09-6/10/09 JPY 710,472 EUR 5,433 13 4/14/09-6/10/09 NZD 8,466 USD 4,436 (386) 4/14/09-6/10/09 USD 1,918 NZD 3,452 47 4/15/09 CHF 1,100 NOK 6,029 (75) 4/15/09 ZAR 29,328 USD 2,839 (236) 4/15/09-4/21/09 PLN 2,764 USD 770 (15) 4/15/09-5/27/09 NOK 166,099 CHF 28,535 568 4/17/09 EUR 1,305 NOK 12,310 91 4/17/09 NOK 12,310 EUR 1,365 (10) 5/6/09-5/27/09 EUR 6,119 SEK 70,123 363 5/6/09-5/27/09 SEK 115,943 EUR 10,575 7 5/13/09 HUF 277,461 USD 1,100 (83) 5/13/09 USD 52 HUF 11,813 (1) 5/22/09 USD 128 CHF 144 (2) 5/22/09-5/27/09 CHF 34,942 USD 30,402 (378) 5/27/09 AUD 3,370 CAD 2,874 (46) 5/27/09 CHF 4,182 AUD 5,465 97 5/27/09 USD 14,171 CAD 18,190 296 5/27/09 USD 385 DKK 2,120 (8) 5/27/09-5/28/09 USD 16,336 SEK 146,233 1,361 5/27/09-6/10/09 DKK 24,604 USD 4,260 (121) 6/10/09 EUR 309 SGD 600 (16) 6/10/09 SGD 600 EUR 301 5 6/10/09-7/10/09 JPY 60,000 NOK 4,493 56 6/10/09-7/10/09 NOK 4,612 JPY 60,000 (73) 7/10/09 CHF 400 GBP 233 (18) 7/10/09 GBP 238 CHF 400 12 ------- $(7,746) =======
A summary of the open futures contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------- ------------ ---------- -------------- 30-Day FED Fund (6) May-2013 $ -- Australian 10-Year Bond 5 Jun-2013 (4) Australian 3-Year Bond 41 Jun-2013 436 Canadian 10-Year Bond 48 Jun-2013 74 Euro-Bobl 121 Jun-2013 (32) Euro-Bund 61 Jun-2013 22 Euro-Schatz 192 Jun-2013 (15) Japanese 10-Year Bond 2 Jun-2013 (9) Long Gilt 10-Year Bond 71 Jul-2013 209 U.S. 10-Year Treasury Note (169) Jun-2013 (525) U.S. 2-Year Treasury Note (169) Jul-2013 (177) U.S. 5-Year Treasury Note (107) Jul-2013 (159) U.S. 5-Year Treasury Note 33 Jul-2013 50 U.S. Long Treasury Bond (79) Jun-2013 (349) ----- $(477) =====
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 33 SCHEDULE OF INVESTMENTS (Unaudited) International Fixed Income Fund (Concluded) March 31, 2009 A summary of outstanding swap agreements held by the fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NOTIONAL NET UNREALIZED TERMINATION AMOUNT DEPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($THOUSANDS) ------------ --------------------------- -------------------- --------------------- ----------- ----------- -------------- Lehman Brothers Lehman Brothers Global 3-Month USD LIBOR Aggregate EX USD RBI Ser 1 Plus 11 Basis Points Positive Price Return 02/01/09 85,639 $84 (J) ===
CREDIT DEFAULT SWAPS
NET UNREALIZED NOTIONAL APPRECIATION BUY/SELL (PAYS)/ TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) ------------ --------------------------------------- ---------- ------------- ----------- ----------- -------------- Deutsche Bank Union Fenosa BUY (1.65)% 03/20/14 1,350 $ 129 Deutsche Bank Veolia Environment 06/14 SELL 1.90 06/20/14 (550) (2) Deutsche Bank Wolters Kluwer, 5.125% 01/27/14 BUY (0.90) 03/20/14 1,400 1 JPMorgan Chase Bank Enel Spa 4.250% 6/12/13 SELL 4.00 03/20/14 (650) 23 Merrill Lynch Itraxx Europe Crossover Series 9 5-Year SELL 6.50 06/20/13 (5,000) (1,320) Merrill Lynch Itraxx Europe Series 9 5-Year SELL 1.65 06/20/13 (5,000) (234) ------- $(1,403) =======
INTEREST RATE SWAPS
NET UNREALIZED APPRECIATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS)(1) ($ THOUSANDS) ------------ ----------------- --------------- ---------------- ----------------- -------------- Deutsche Bank 6-Month EURIBOR 4.17% 03/28/13 EUR 7,000,000 $ 608 Deutsche Bank 4.31% 6-Month EURIBOR 04/07/10 EUR 6,500,000 (198) JPMorgan Chase Bank 6-Month JPY LIBOR 2.22% 03/26/27 JPY 750,000,000 612 JPMorgan Chase Bank 3-Month LIBOR 2.29% 12/19/18 6,500,000 (277) JPMorgan Chase Bank 6-Month EURIBOR 4.38% 01/07/13 EUR 5,400,000 523 JPMorgan Chase Bank 4.20% 6-Month EURIBOR 03/30/12 EUR 3,000,000 (235) JPMorgan Chase Bank 6-Month JPY LIBOR 1.29% 03/26/12 JPY 2,600,000,000 359 JPMorgan Chase Bank 3.91% 6-Month EURIBOR 03/13/10 EUR 6,500,000 (197) ------ $1,195 ======
Percentages are based on a Net Assets of $480,303 ($ Thousands). ** Rate shown is the 7-day effective yield as of March 31, 2009. + Affiliated security (1) In local currency unless otherwise indicated. (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2009. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Securities considered illiquid. The total market value of such securities as of March 31, 2009 was $19,521 ($ Thousands) and represented 4.1% of Net Assets. (D) Security in default on interest payments. (E) Real Estate Investments Trust (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2009. The coupon on a step bond changes on a specified date. (G) Security, or portion thereof, has been pledged as collateral on open futures contracts. (H) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2009 was $3,179 ($ Thousands). (I) This security or a partial position of this security is on loan at March 31, 2009. The total market value of securities on loan at March 31, 2009 was $3,097 ($ Thousands) (see Note 7). (J) The Swap value has been reduced by $888 ($ Thousands) to reflect the collectibility of the value. AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CPI -- Consumer Price Index DKK -- Danish Krone EURIBOR -- Euro London Interbank Offered Rate EUR -- Euro FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association HUF -- Hungarian Forint JPY -- Japanese Yen L.P. -- Limited Partnership LIBOR -- London Interbank Offered Rate MTN -- Medium Term Note MXP -- Mexican Peso NOK -- Norwegian Krone NZD -- New Zealand Dollar PIK -- Payment-in-Kind PLN -- Polish Zloty SEK -- Swedish Krone Ser -- Series SGD -- Singapore Dollar TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 34 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund March 31, 2009 (PERFORMANCE GRAPH) SECTOR WEIGHTINGS+: Government 77.7% Financials 6.3% Energy 5.0% Loan Participations 3.9% Deposits to Counterparty as Collateral for Swap Contracts 2.2% Affiliated Partnership 1.9% Industrials 1.4% Telecommunication Services 0.9% Utilities 0.5% Basic Materials 0.1% Consumer Discretionary 0.1% Warrants 0.0% Purchased Options 0.0%
+ Percentages based on total investments. Includes Investments held as collateral for securities on loan (see Note 7).
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- GLOBAL BONDS -- 89.8% ANGOLA -- 0.2% Republic of Angola 7.132%, 04/30/16 EUR 1,300 $ 1,092 ------------- ARGENTINA -- 3.9% Alto Parana 6.375%, 06/09/17 (A) (B) 440 391 Earls Eight MTN 9.000%, 12/31/12 (A) (B) (C) 420 126 Province of Buenos Aires 9.625%, 04/18/28 (A) (B) 1,605 369 Province of Buenos Aires Registered 9.625%, 04/18/28 (A) 695 160 9.375%, 09/14/18 (A) 470 105 3.000%, 05/15/35 (A) (C) 1,200 216 Province of Medoza Registered 5.500%, 09/04/18 (A) 386 143 Provincia Del Neuquen 8.656%, 10/18/14 (A) (B) 213 160 Republic of Argentina 12.000%, 09/19/16 1,000 70 11.750%, 05/20/11 (D) 2,554 178 9.250%, 07/20/04 (D) 1,375 187 9.000%, 05/24/49 (D) 1,400 165 9.000%, 05/29/49 (D) 2,650 123 9.000%, 06/20/49 1,125 153 8.500%, 07/01/49 (D) 775 105 8.280%, 12/31/33 (E) 15,173 4,097 8.125%, 04/21/49 (D) 4,200 167 8.000%, 02/25/35 (D) 864 118 8.000%, 02/26/08 (D) 1,000 136 7.820%, 12/31/33 2,251 631 7.625%, 03/31/05 (D) 1,120 123 7.000%, 10/03/15 16,625 4,181 7.000%, 09/12/13 1,735 577
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- 7.000%, 03/18/04 (D) ITL 1,475,000 $ 104 3.750%, 12/31/38 (C) 20,390 3,568 2.280%, 12/15/35 (F) 56,130 1,532 1.985%, 12/15/35 (F) 16,940 477 1.683%, 08/03/12 (F) 18,005 4,303 0.000%, 07/13/05 (D) 3,245,000 228 9.750%, 09/19/27 (D) 2,150 258 0.000%, 12/15/35 (F) 3,655 91 Republic of Argentina, Ser E MTN 10.000%, 01/03/07 (D) ITL 3,000,000 211 8.750%, 02/04/49 (D) 1,375 55 8.500%, 07/30/10 (D) 2,000 93 7.625%, 08/11/07 (D) ITL 2,325,000 163 Transportadora Gas Norte 7.500%, 12/31/12 (A) (B) (C) 260 78 7.500%, 12/31/12 (A) (C) 130 23 6.500%, 12/31/12 (A) (C) 114 20 6.500%, 12/31/12 (A) (B) (C) 30 5 6.500%, 12/31/12 (A) (C) 78 14 ------------- 23,904 ------------- BELIZE -- 0.0% Government of Belize Registered 4.250%, 02/20/29 (A) 400 156 ------------- BOSNIA AND HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina 10.039%, 12/11/17 (A) (G) DEM 2,300 695 ------------- BRAZIL -- 13.0% Banco Safra MTN 10.875%, 04/03/17 (A) (B) BRL 1,600 549 Banco Votorantim Nassau MTN 10.625%, 04/10/14 (A) (B) BRL 2,750 1,073 Cesp-Comp Ener Sao Paulo MTN 9.750%, 01/15/15 (B) BRL 1,375 567 Federal Republic of Brazil 12.250%, 03/06/30 175 265 11.000%, 08/17/40 (E) 23,782 30,203 10.125%, 05/15/27 3,985 5,101 8.875%, 04/15/24 1,550 1,786 8.750%, 02/04/25 2,985 3,403 8.500%, 09/24/12 2,615 3,802 8.250%, 01/20/34 3,490 3,874 8.000%, 01/15/18 4,560 4,975 7.125%, 01/20/37 6,085 6,100 6.000%, 01/17/17 1,850 1,845 5.875%, 01/15/19 550 535 National Development 6.369%, 06/16/18 (B) 2,270 2,159 Nota Do Tesouro Nacional 10.000%, 01/01/17 15,051 5,838 10.000%, 01/01/14 11,535 4,676
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 35 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Petrobras 7.875%, 03/15/19 875 $ 907 Petrobras International Finance 5.875%, 03/01/18 1,480 1,377 ------------- 79,035 ------------- COLOMBIA -- 4.5% Bogota Distrio Capital 9.750%, 07/26/28 (B) COP 2,212,000 733 Republic of Colombia 11.750%, 02/25/20 4,530 5,649 10.375%, 01/28/33 450 531 9.850%, 06/28/27 COP 1,573,000 624 8.125%, 05/21/24 3,300 3,316 7.375%, 01/27/17 5,110 5,171 7.375%, 09/18/37 11,330 10,112 7.375%, 03/18/19 985 983 4.866%, 03/17/13 (F) 75 71 ------------- 27,190 ------------- DOMINICAN REPUBLIC -- 0.3% Republic of Dominican Republic 9.040%, 01/23/18 71 55 8.625%, 04/20/27 1,125 698 Standard Bank 15.000%, 03/12/12 (A) (B) 481 329 Standard Bank, Ser E MTN 15.000%, 07/20/09 (A) (F) 658 607 ------------- 1,689 ------------- ECUADOR -- 0.1% Republic of Ecuador Registered 9.375%, 12/15/15 1,400 616 ------------- EL SALVADOR -- 1.2% Republic of El Salvador 8.250%, 04/10/32 665 519 7.750%, 01/24/23 595 562 7.650%, 06/15/35 8,696 6,348 ------------- 7,429 ------------- GABON -- 0.2% Republic of Gabon 8.200%, 12/12/17 (B) 1,947 1,431 ------------- GEORGIA -- 0.2% Republic of Georgia 7.500%, 04/15/13 2,050 1,405 -------------
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- GHANA -- 0.4% Republic of Ghana 8.500%, 10/04/17 (B) 2,835 $ 1,729 8.500%, 10/04/17 1,555 933 ------------- 2,662 ------------- INDIA -- 0.4% Vedanta Resources 9.500%, 07/18/18 (B) 3,885 2,448 ------------- INDONESIA -- 7.1% Indonesia Government International Bond 10.375%, 05/04/14 (B) 200 208 Majapahit Holding 7.875%, 06/29/37 (A) (B) 355 206 7.750%, 10/17/16 (A) 280 203 7.250%, 06/28/17 (A) (B) 770 539 Republic of Indonesia 11.625%, 03/04/19 (B) 9,670 10,516 8.500%, 10/12/35 2,920 2,453 7.750%, 01/17/38 21,521 16,606 7.500%, 01/15/16 740 673 7.500%, 01/15/16 (B) 2,160 1,966 7.250%, 04/20/15 (B) 285 260 7.250%, 04/20/15 1,845 1,682 6.875%, 01/17/18 3,930 3,144 6.875%, 03/09/17 670 563 6.750%, 03/10/14 (B) 1,900 1,738 6.750%, 03/10/14 1,050 965 6.625%, 02/17/37 1,650 1,115 6.625%, 02/17/37 (B) 800 540 ------------- 43,377 ------------- IRAQ -- 1.9% Republic of Iraq 5.800%, 01/15/28 22,645 11,322 ------------- ISRAEL -- 0.3% Government of Israel 5.125%, 03/26/19 1,950 1,964 ------------- IVORY COAST -- 0.0% Republic of Ivory Coast 4.000%, 03/30/18 (D) 4,300 113 ------------- JAMAICA -- 0.1% Digicel Group 8.875%, 01/15/15 (B) 550 355 -------------
36 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- KAZAKHSTAN -- 1.9% Citigroup Global Markets for JSC Kazkommertsbank 9.792%, 04/07/14 (F) 1,300 $ 323 HSBK Europe 9.250%, 10/16/13 (B) 835 451 7.250%, 05/03/17 (B) 500 238 Kazkommerts International MTN 8.000%, 11/03/15 1,550 666 7.500%, 11/29/16 (A) (B) 450 194 Kazkommerts International BV MTN 8.500%, 04/16/13 550 265 7.500%, 11/29/16 (A) 3,050 1,327 6.875%, 02/13/17 450 223 KazMunaiGaz Finance Sub MTN 9.125%, 07/02/18 (B) 5,005 3,679 8.375%, 07/02/13 (B) 2,740 2,274 KazMunaiGaz Finance Sub BV MTN 9.125%, 07/02/18 2,150 1,565 Tengizchevroil Finance SARL 6.124%, 11/15/14 257 198 ------------- 11,403 ------------- LEBANON -- 0.1% Lebanese Republic Registered MTN 8.250%, 04/12/21 250 235 ------------- MALAYSIA -- 1.6% Petroliam Nasional 7.750%, 08/15/15 1,335 1,498 7.625%, 10/15/26 395 398 Petronas 7.875%, 05/22/22 400 437 Petronas Capital Registered 7.875%, 05/22/22 1,000 1,091 7.875%, 05/22/22 5,775 6,302 ------------- 9,726 ------------- MEXICO -- 5.9% Grupo Televisa 6.000%, 05/15/18 (B) 600 544 Pemex Project Funding Master Trust MTN 6.625%, 06/15/35 450 322 5.750%, 03/01/18 (B) 200 167 5.750%, 03/01/18 1,305 1,090 United Mexican States MTN 8.375%, 01/14/11 810 888 8.300%, 08/15/31 7,135 7,909 7.500%, 01/14/12 1,560 1,708 7.500%, 04/08/33 1,005 1,045
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- 6.625%, 03/03/15 1,350 $ 1,421 6.375%, 01/16/13 1,150 1,213 6.050%, 01/11/40 1,540 1,317 5.950%, 03/19/19 (E) 6,120 5,967 5.875%, 02/17/14 1,050 1,084 5.625%, 01/15/17 (E) 4,234 4,141 United Mexican States, Ser A MTN 6.750%, 09/27/34 5,633 5,305 5.875%, 01/15/14 1,760 1,820 ------------- 35,941 ------------- NIGERIA -- 0.1% UBS 0.000%, 09/04/17 (A) (B) (F) 750 644 ------------- OMAN -- 0.1% Blue City Investments 13.750%, 11/07/13 750 450 ------------- PAKISTAN -- 0.6% Republic of Pakistan 7.125%, 03/31/16 3,650 1,789 6.875%, 06/01/17 4,140 2,029 ------------- 3,818 ------------- PANAMA -- 2.5% Republic of Panama 9.375%, 04/01/29 6,077 6,670 9.375%, 01/16/23 560 582 8.875%, 09/30/27 600 642 8.125%, 04/28/34 720 698 7.250%, 03/15/15 5,235 5,340 6.700%, 01/26/36 1,560 1,369 ------------- 15,301 ------------- PERU -- 3.1% Interoceanica IV Finance 3.915%, 11/30/25 (A) (B) (G) 968 316 3.791%, 11/30/18 (B) (G) 450 226 Peru Enhanced Pass-Through Finance 6.272%, 05/31/25 (B) (G) 320 85 4.117%, 05/31/18 (G) 233 134 4.040%, 05/31/18 (A) (B) (G) 1,461 840 Republic of Peru 8.750%, 11/21/33 2,125 2,380 8.375%, 05/03/16 800 888 7.350%, 07/21/25 7,900 7,940 7.125%, 03/30/19 1,225 1,240 6.550%, 03/14/37 5,555 4,972 ------------- 19,021 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 37 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- PHILIPPINES -- 6.4% National Power 9.625%, 05/15/28 (A) 1,400 $ 1,260 Republic of Philippines 10.625%, 03/16/25 2,905 3,697 9.500%, 02/02/30 3,470 4,103 8.875%, 03/17/15 450 517 8.375%, 06/17/19 2,575 2,807 8.250%, 01/15/14 600 677 8.000%, 01/15/16 5,750 6,332 7.750%, 01/14/31 (E) 4,663 4,762 7.500%, 09/25/24 14,206 14,526 ------------- 38,681 ------------- RUSSIA -- 10.2% Alfa Diversified Payment Rights Finance MTN 3.220%, 12/15/11 (B) (F) 308 200 Alfa Invest MTN 9.250%, 06/24/13 (A) (B) 1,200 936 Gaz Capital MTN 6.510%, 03/07/22 215 143 6.212%, 11/22/16 2,000 1,480 Gaz Capital for Gazprom Registered MTN 9.625%, 03/01/13 800 763 8.625%, 04/28/34 2,070 1,842 GPB Eurobond Finance for Gazprombank 6.500%, 09/23/15 750 510 Kazan Orgsintez 9.250%, 10/30/11 505 212 Kuznetski Capital for Bank of Moscow 8.961%, 11/25/15 (A) (C) (F) 1,200 684 Lukoil International Finance 6.656%, 06/07/22 (B) 245 179 RSHB Capital 7.750%, 05/29/18 (B) 630 449 7.175%, 05/16/13 100 82 7.125%, 01/14/14 (B) 580 450 Russian Federation Registered 12.750%, 06/24/28 5,660 7,502 7.500%, 03/31/30 35,352 33,335 Teorema Holding 11.000%, 10/27/09 (A) 3,400 2,210 TransCapital (Transneft) 6.103%, 06/27/12 (B) 700 616 TransCapitalInvest for AK Transneft 8.700%, 08/07/18 (B) 2,700 2,349 7.700%, 08/07/13 (B) 150 133 UBS (Vimpelcom) 8.250%, 05/23/16 570 348 Vimpel Communications 8.375%, 04/30/13 (B) 900 653
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 (B) 1,155 $ 710 9.125%, 04/30/18 350 212 VTB Capital 6.875%, 05/29/18 4,335 3,284 6.609%, 10/31/12 (B) 3,500 2,800 ------------- 62,082 ------------- SINGAPORE -- 0.2% Sea Product 5.484%, 02/14/12 (A) 2,200 1,100 ------------- SOUTH AFRICA -- 0.9% Republic of South Africa 8.500%, 06/23/17 860 925 6.500%, 06/02/14 2,945 2,945 5.875%, 05/30/22 1,750 1,577 ------------- 5,447 ------------- SOUTH KOREA -- 1.1% Export-Import Bank of Korea 8.125%, 01/21/14 3,820 3,948 Korea Development Bank 8.000%, 01/23/14 2,265 2,330 POSCO 8.750%, 03/26/14 (B) 240 249 Shinhan Bank 6.819%, 09/20/36 (A) (F) 630 309 ------------- 6,836 ------------- SUPRA-NATIONAL -- 0.2% European Investment Bank MTN 10.000%, 01/28/11 TRY 2,270 1,313 ------------- THAILAND -- 0.1% True Move 10.750%, 12/16/13 (A) (B) 1,250 588 ------------- TRINIDAD & TOBAGO -- 0.4% Petroleum of Trinidad & Tobago 6.000%, 05/08/22 (B) 800 570 6.000%, 05/08/22 (A) 2,205 1,570 ------------- 2,140 ------------- TUNISIA -- 0.2% Banque Centrale de Tunisie 8.250%, 09/19/27 800 740 7.375%, 04/25/12 465 470 ------------- 1,210 -------------
38 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- TURKEY -- 5.0% Republic of Turkey 11.875%, 01/15/30 250 $ 330 9.500%, 01/15/14 750 821 8.000%, 02/14/34 1,500 1,350 7.500%, 07/14/17 400 394 7.375%, 02/05/25 4,450 3,978 7.250%, 03/05/38 5,530 4,479 7.250%, 03/15/15 9,375 9,281 7.000%, 03/11/19 1,800 1,670 7.000%, 09/26/16 100 96 6.875%, 03/17/36 4,880 3,880 6.750%, 04/03/18 4,550 4,186 ------------- 30,465 ------------- UKRAINE -- 3.3% Credit Suisse First Boston International (Export/Import - Ukraine) 8.000%, 11/06/15 (A) 750 150 6.800%, 10/04/12 (A) 600 212 Government of Ukraine Registered 7.650%, 06/11/13 3,295 1,483 6.875%, 03/04/11 1,140 598 6.875%, 03/04/11 (B) 4,675 2,454 6.750%, 11/14/17 1,210 520 6.580%, 11/21/16 (B) 3,890 1,673 6.580%, 11/21/16 1,100 476 6.385%, 06/26/12 2,300 1,089 5.151%, 08/05/09 (F) 3,300 2,772 Naftogaz Ukrainy 8.125%, 09/30/09 (A) 700 418 Springvale Holdings 9.181%, 09/07/09 (A) (F) 1,000 150 UK Private Bank 8.000%, 02/06/12 (A) (B) 1,000 260 Ukraine Government International Bond 3.500%, 09/15/18 11,010 7,988 ------------- 20,243 ------------- UNITED ARAB EMIRATES -- 1.4% HSBC Bank Middle East MTN 5.331%, 04/30/13 (A) (F) AED 5,500 1,288 Jafz Sukuk 3.291%, 11/27/12 (F) AED 31,500 4,824 Nakheel Development 3.173%, 12/14/09 2,650 2,387 ------------- 8,499 ------------- URUGUAY -- 3.3% Republic of Uruguay PIK 7.875%, 01/15/33 3,550 2,911
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- Republic of Uruguay 9.250%, 05/17/17 4,025 $ 4,266 8.000%, 11/18/22 12,970 11,697 7.625%, 03/21/36 1,785 1,428 ------------- 20,302 ------------- VENEZUELA -- 6.9% Government of Venezuela 13.625%, 08/15/18 1,200 852 10.750%, 09/19/13 6,800 4,913 9.375%, 01/13/34 3,655 1,873 9.250%, 09/15/27 1,670 969 9.250%, 05/07/28 9,425 4,760 9.000%, 05/07/23 5,870 2,964 8.500%, 10/08/14 916 563 7.650%, 04/21/25 13,395 6,028 7.000%, 03/31/38 100 43 6.000%, 12/09/20 755 326 6.000%, 12/09/20 4,020 1,737 5.750%, 02/26/16 5,190 2,520 Government of Venezuela Registered 7.000%, 12/01/18 660 318 2.123%, 04/20/11 (F) 17,041 12,355 Petroleos De Venezuela 5.375%, 04/12/27 3,555 1,244 5.250%, 04/12/17 900 376 ------------- 41,841 ------------- VIETNAM -- 0.2% Republic of Vietnam 6.875%, 01/15/16 1,265 1,169 ------------- YEMEN -- 0.2% Pemberley SPV Finance 2008 Yemen MTN 11.500%, 02/19/14 (A) (B) 1,250 875 0.000%, 02/25/20 (A) (B) (F) 1,250 -- ------------- 875 ------------- Total Global Bonds (Cost $648,647) ($ Thousands) 546,213 ------------- LOAN PARTICIPATIONS -- 3.8% GERMANY -- 0.1% Rike 10.000%, 08/17/11 (A) 1,379 690 ------------- INDONESIA -- 0.4% Indonesia Standby Loan 94 (Counterparty: Deutsche Bank) 3.563%, 12/31/49 3,448 2,586 -------------
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 39 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) March 31, 2009
Face Amount Market Value Description (Thousands) (1) ($ Thousands) ----------- --------------- ------------- MEXICO -- 0.1% Altos Hornos Promissory Note # 5 0.000%, 04/29/99 (A) (D) 2,500 $ 125 Altos Hornos Promissory Note # 6 0.000%, 04/29/99 (A) (D) 2,500 125 Altos Hornos Promissory Note (Counterparty: Deustche Bank) 0.000%, 12/31/49 (A) (D) 4,500 225 Altos Hornos Tranche A (Counterparty: Bank of America) 0.000%, 04/11/04 (A) (D) 6,540 327 ------------- 802 ------------- NIGERIA -- 0.4% Oando 13.900%, 02/23/10 229,710 1,138 13.900%, 03/02/10 229,710 1,137 ------------- 2,275 ------------- RUSSIA -- 0.3% Snegri 10.500%, 04/21/10 (A) 2,550 2,014 ------------- SINGAPORE -- 2.0% Connect International PIK 0.000%, 01/01/09 (A) (D) 8,356 9,030 Neptune 10.680%, 04/30/09 (A) 2,862 2,862 ------------- 11,892 ------------- TURKEY -- 0.5% Cukurova, Ser B 10.973%, 05/01/12 (A) 4,109 2,979 ------------- Total Loan Participations (Cost $29,823) ($ Thousands) 23,238 ------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (H) -- 2.2% UNITED STATES -- 2.2% Deposits with Citibank as Collateral for Swap Contracts Outstanding 648 648 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 3,600 3,600 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 1,000 1,000 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 750 750
Face Amount (Thousands) (1) /Shares Market Value Description /Contracts ($ Thousands) ----------- --------------- ------------- Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding BRL 7,070 $ 3,071 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 249 249 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 1,818 1,818 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding IDR 288,900 1,950 ------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $14,742) ($ Thousands) 13,086 ------------- COMMON STOCK -- 0.4% BRAZIL -- 0.4% GVT Holding* (A) 199,627 2,265 ------------- Total Common Stock (Cost $981) ($ Thousands) 2,265 ------------- PURCHASED OPTION -- 0.0% UNITED STATES -- 0.0% June 2009 CMS Spread Cap, Expires 06/20/09 Strike Price 102.75 Bps* 25,000,000 212 ------------- Total Purchased Option (Cost $101) ($ Thousands) 212 ------------- Number Of Warrants --------------- WARRANTS -- 0.0% RUSSIA -- 0.0% Teorema Holding A, Expires 10/27/11* (A) 226 71 Teorema Holding B, Expires 10/27/11* (A) 452 147 ------------- Total Warrants (Cost $78) ($ Thousands) 218 ------------- AFFILIATED PARTNERSHIP -- 1.9% UNITED STATES -- 1.9% SEI Liquidity Fund, L.P., 0.820% (I)+** 11,804,118 11,470 ------------- Total Affiliated Partnership (Cost $11,804) ($ Thousands) 11,470 ------------- Total Investments -- 98.1% (Cost $706,176) ($ Thousands) $ 596,702 =============
40 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 A summary of outstanding swap agreements held by the fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) (1) ($ THOUSANDS) ------------ ----------------------------- --------------- ------------- ----------- --------------- -------------- Citigroup Federal Government of Nigeria Cash Deposit Of 12.500% 03/31/09 Notional Amount Price Return 04/04/13 NGN 82,011 $ (62) Merrill Lynch Solar Gardens Ltd. Term Loan Cash Deposit Of Credit Facility Notional Amount Price Return 12/31/13 NGN 288,900 (456) Deutsche Bank Federative Republic of Brazil Cash Deposit Of 6.000%, 05/15/17 Notional Amount Price Return 08/16/14 BRL 4,383 273 Merrill Lynch Zaporozh Term Loan 9.784% Cash Deposit Of 12/31/10 Notional Amount Price Return 01/01/15 1,818 (726) ----- $(971) =====
CREDIT DEFAULT SWAPS
NET UNREALIZED NOTIONAL APPRECIATION BUY/SELL (PAYS)/ TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) ------------ -------------------------------------- ---------- ------------- ----------- ------------- -------------- Credit Suisse JSC Gazprom 8.625% 04/28/34 SELL 1.37% 08/20/16 (1,000) $ (242) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 SELL 5.20 12/20/11 (750) (374) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 SELL 5.75 12/20/09 (3,600) (855) Credit Suisse Republic of Kazakhstan SELL 14.25 02/20/10 (550) 31 Credit Suisse Republic of Turkey BUY (3.90) 04/20/14 650 (4) HSBC Ukraine SELL 5.00 06/20/09 (1,300) (123) HSBC Ukraine SELL 5.00 06/20/09 (650) (62) JPMorgan Chase Bank Federative Republic of Brazil 12.250%, 06/06/30 SELL 3.69 10/20/15 (4,500) 165 ------- $(1,464) =======
A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- ------------- ----------- -------------- 4/2/09-4/9/09 USD 2,711 BRL 6,500 $ 108 4/2/09-5/5/09 BRL 18,021 USD 7,621 (177) 4/13/09 MXP 45,641 USD 3,222 (7) 4/13/09 USD 3,171 MXP 45,641 58 4/14/09 COP 1,600,000 USD 632 6 4/17/09-4/24/09 CHF 8,826 USD 7,595 (172) 4/17/09-4/24/09 EUR 8,621 USD 11,408 (37) 4/20/09 CZK 56,008 USD 2,805 96 4/20/09 KRW 695,800 USD 511 6 4/20/09 TRY 2,300 USD 1,344 (24) 4/20/09 USD 2,740 CZK 56,008 (31) 4/20/09 USD 490 KRW 695,800 15 5/18/09 SGD 1,128 USD 742 -- 5/18/09 USD 740 SGD 1,128 2 ----- $(157) =====
A summary of the open futures contracts held by the Fund at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------- ------------ ---------- ------------- U.S. 5-Year Treasury Note 223 Jun-2009 $39 U.S. Long Treasury Bond 19 Jun-2009 57 --- $96 ===
Percentages are based on a Net Assets of $608,471 ($ Thousands). * Non-income producing security ** The rate shown is the 7-day effective yield as of March 31, 2009. + Affiliated security (1) In U.S. dollars unless otherwise indicated. (A) Securities considered illiquid. The total market value of such securities as of March 31, 2009 was $42,358 ($ Thousands) and represented 7.0% of Net Assets. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2009. The coupon on a step bond changes on a specified date. (D) Security in default on interest payments. (E) This security or a partial position of this security is on loan at March 31, 2009. The total market value of securities on loan at March 31, 2009 was $10,855 ( $ Thousands) (see Note 7). (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2009. (G) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (H) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (I) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2009 was $11,470 ($ Thousands). AED -- United Arab Emirates Dirham BRL -- Brazilian Real CHF -- Swiss Franc COP -- Colombian Peso CZK -- Czech Koruna DEM -- German Mark EUR -- Euro IDR -- Indonesian Rupiah ITL -- Italian Lira KRW -- Korean Won L.P. -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso NGN -- Nigerian Naira PIK -- Payment-in-Kind Ser -- Series SGD -- Singapore Dollar TRY -- New Turkish Lira USD -- U.S. Dollar Amounts designated as "--" are $O or have been rounded to $O. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 41 Statements of Assets and Liabilities ($ Thousands) March 31, 2009 (Unaudited)
INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------- ---------------- ------------------- ---------------- ASSETS: Investments, at value (Cost $1,909,918, $752,962 $499,620 and $694,372, respectively)(1) $ 1,347,231 $ 552,008 $438,780 $ 585,232 Affiliated investments, at value (Cost $97,337, $75,139, $3,204 and $11,804, respectively) 95,143 73,786 3,179 11,470 Cash 68,998 7,879 25,568 12,841 Foreign currency, at value (Cost $9,256, $3,281, $1,948 and $5,060, respectively) 9,213 3,338 1,963 5,038 Cash pledged as collateral for forward foreign currency contracts, futures contracts or swap contracts -- -- 153 2,926 Swap contracts, at value (cost $0, $0, $0 and $0, respectively) 8,327 -- -- -- Unrealized gain on forward foreign currency contracts 6,934 -- 5,991 291 Dividends and interest receivable 5,872 1,373 6,539 11,985 Receivable for fund shares sold 5,540 1,062 189 566 Receivable for investment securities sold 4,433 1,745 92,729 1,404 Foreign tax reclaim receivable 1,133 142 -- -- Variation margin receivable 980 -- 135 21 Unrealized gain on foreign spot currency contracts 18 -- 53 -- ----------- ---------- -------- --------- Total Assets 1,553,823 641,333 575,279 631,774 ----------- ---------- -------- --------- LIABILITIES: Payable upon return of securities loaned 92,431 71,726 3,204 11,804 Payable for investment securities purchased 30,683 1,884 75,139 5,015 Margin call 13,375 -- -- -- Unrealized loss on forward foreign currency contracts 8,266 -- 13,737 448 Payable for fund shares redeemed 4,970 1,756 1,479 2,798 Variation margin payable 352 -- 187 -- Unrealized loss on foreign spot currency contracts 6 3 11 26 Swap contracts, at value (cost $0, $0, $346 and $0, respectively) -- -- 750 2,435 Investment advisory fees payable 586 396 62 202 Administration fees payable 522 296 248 328 Shareholder servicing fees payable 290 114 79 126 Trustees' fees 15 6 4 6 Chief Compliance Officer fees payable 10 4 3 4 Administration servicing fees payable 1 -- -- -- Accrued expenses 426 517 73 111 Accrued foreign capital gains tax on appreciated securities -- 78 -- -- ----------- ---------- -------- --------- Total Liabilities 151,933 76,780 94,976 23,303 ----------- ---------- -------- --------- Net Assets $ 1,401,890 $ 564,553 $480,303 $ 608,471 ----------- ---------- -------- --------- NET ASSETS: Paid-in Capital (unlimited authorization -- no par value) $ 3,113,239 $1,044,729 $577,957 $ 807,335 Distributions in excess of net investment income (14,028) (2,125) (49,167) (8,778) Accumulated net realized gain (loss) on investments, futures contracts, option contracts, foreign currency contracts and swap contracts (1,142,495) (275,735) 21,384 (78,060) Net unrealized depreciation on investments and option contracts (564,881) (202,307) (60,865) (109,474) Net unrealized appreciation (depreciation) on futures contracts 1,143 -- (477) 96 Net unrealized appreciation (depreciation) on swap contracts 8,327 -- (1,096) (2,435) Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 585 69 (7,433) (213) Accumulated foreign capital gains tax on appreciated securities -- (78) -- -- ----------- ---------- -------- --------- Net Assets $ 1,401,890 $ 564,553 $480,303 $ 608,471 ----------- ---------- -------- --------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,395,825,902 / 256,688,912 shares, $564,552,782 / 95,247,063 shares, $480,302,546 / 52,367,256 shares, $608,470,715 / 76,609,008 shares) $ 5.44 $ 5.93 $ 9.17 $ 7.94 Net Asset Value, Offering and Redemption Price Per Share -- Class I ($6,064,193 / 1,113,478 shares) $ 5.45 N/A N/A N/A ----------- ---------- -------- ---------
(1) Included in "Investments, at value" is the market value of securities on loan in the amounts of $81,227, $68,212, $3,097 and $10,855, ($ Thousands), respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the Financial statements. 42 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 Statements of Operations ($ Thousands) For the six months ended March 31, 2009 (Unaudited)
INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND ------------- ---------------- ------------------- ---------------- INVESTMENT INCOME: Dividends $ 20,318 $ 7,314 $ 4 $ -- Dividends from Affiliated Security 391 25 -- -- Interest 2,099 48 10,831 32,777 Security Lending Income -- Net (2) 1,258 578 -- 74 Less: Foreign Taxes Withheld (1,373) (609) -- -- --------- --------- -------- --------- Total Investment Income 22,693 7,356 10,835 32,851 --------- --------- -------- --------- EXPENSES: Investment Advisory Fees 4,226 3,165 421 2,751 Administration Fees 3,766 1,960 1,684 2,104 Shareholder Servicing Fees -- Class A 2,086 754 702 809 Shareholder Servicing Fees -- Class I 6 -- -- -- Administrative Servicing Fees -- Class I 6 -- -- -- Trustees' Fees 26 9 8 10 Chief Compliance Officer Fees 8 3 3 3 Custodian/Wire Agent Fees 321 428 42 55 Printing Fees 106 36 37 43 Professional Fees 89 77 29 34 Interest Expense on Reverse Repurchase Agreements 52 -- -- -- Overdraft Fees 43 25 27 47 Registration Fees 18 8 5 6 Other Expenses 90 40 35 28 --------- --------- -------- --------- Total Expenses 10,843 6,505 2,993 5,890 --------- --------- -------- --------- Less: Waiver of Investment Advisory Fees -- (572) -- (1,436) Waiver of Shareholder Servicing Fees -- Class A -- -- (131) -- Fees Paid Indirectly(1) (49) -- -- -- --------- --------- -------- --------- Net Expenses 10,794 5,933 2,862 4,454 --------- --------- -------- --------- NET INVESTMENT INCOME 11,899 1,423 7,973 28,397 --------- --------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS: Net Realized Gain (Loss) from: Investments (636,207) (253,136) (12,877) (66,650) Futures Contracts (83,124) -- 1,032 1,087 Written Options -- -- -- 266 Swap Contracts (106,963) -- (442) 1,736 Foreign Currency Transactions (27,208) (1,104) 39,207 (3,695) Net Change in Unrealized Appreciation (Depreciation) on: Investments (125,457) (30,171) (19,819) (48,837) Affiliated Investments (201) (408) (25) (51) Futures Contracts 7,344 -- (1,334) 75 Written Options -- -- -- (254) Swap Contracts 28,294 -- (1,021) (5,166) Foreign Capital Gains Tax on Appreciated Securities -- (56) -- -- Foreign Currency Transactions 14,164 160 (27,759) (1,910) --------- --------- -------- --------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (929,358) (284,715) (23,038) (123,399) --------- --------- -------- --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(917,459) $(283,292) $(15,065) $ (95,002) ========= ========= ======== =========
(1) See Note 3 in Notes to Financial Statements. (2) Affiliated. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 43 Statements of Changes in Net Assets ($ Thousands) For the six months ended March 31, 2009 (Unaudited) and the year ended September 30, 2008
INTERNATIONAL EMERGING MARKETS EQUITY FUND EQUITY FUND ------------------------ ---------------------- 2009 2008 2009 2008 ---------- ----------- --------- ---------- OPERATIONS: Net Investment Income $ 11,899 $ 72,670 $ 1,423 $ 12,423 Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts (826,294) (258,698) (253,136) 215,399 Net Realized Loss on Forward Foreign Currency Contracts and Foreign Currency Transactions (27,208) (5,623) (1,104) (1,094) Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts (90,020) (1,203,717) (30,579) (726,733) Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Tax Gains on Appreciated Securities -- 66 (56) 2,322 Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 14,164 (15,772) 160 (470) ---------- ----------- --------- ---------- Net Decrease in Net Assets Resulting from Operations (917,459) (1,411,074) (283,292) (498,153) ---------- ----------- --------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (41,196) (93,239) (10,169) (6,962) Class I (89) (335) -- -- Net Realized Gains: Class A -- (423,708) (154,334) (337,463) Class I -- (1,715) -- -- ---------- ----------- --------- ---------- Total Dividends and Distributions (41,285) (518,997) (164,503) (344,425) ---------- ----------- --------- ---------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 794,821 769,174 175,578 345,735 Reinvestment of Dividends & Distributions 39,508 492,950 157,509 331,075 Cost of Shares Redeemed (811,764) (1,041,575) (286,469) (645,731) ---------- ----------- --------- ---------- Increase in Net Assets Derived from Class A Transactions 22,565 220,549 46,618 31,079 ---------- ----------- --------- ---------- CLASS I: Proceeds from Shares Issued 3,262 4,758 -- -- Reinvestment of Dividends & Distributions 89 2,016 -- -- Cost of Shares Redeemed (1,324) (10,601) -- -- ---------- ----------- --------- ---------- Increase (Decrease) in Net Assets Derived from Class I Transactions 2,027 (3,827) -- -- ---------- ----------- --------- ---------- Increase in Net Assets Derived from Capital Share Transactions 24,592 216,722 46,618 31,079 ---------- ----------- --------- ---------- Net Decrease in Net Assets (934,152) (1,713,349) (401,177) (811,499) ---------- ----------- --------- ---------- NET ASSETS: BEGINNING OF PERIOD 2,336,042 4,049,391 965,730 1,777,229 ---------- ----------- --------- ---------- END OF PERIOD $1,401,890 $ 2,336,042 $ 564,553 $ 965,730 ========== =========== ========= ========== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD $ (13,939) $ 15,358 $ (2,125) $ 6,621 ========== =========== ========= ========== SHARE TRANSACTIONS: CLASS A: Shares Issued 119,923 62,451 26,844 20,424 Reinvestment of Distributions 6,291 35,290 28,647 18,345 Shares Redeemed (132,882) (83,663) (44,743) (36,985) ---------- ----------- --------- ---------- Total Class A Transactions (6,668) 14,078 10,748 1,784 ---------- ----------- --------- ---------- CLASS I: Shares Issued 577 357 -- -- Reinvestment of Distributions 14 145 -- -- Shares Redeemed (219) (824) -- -- ---------- ----------- --------- ---------- Total Class I Transactions 372 (322) -- -- ---------- ----------- --------- ---------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (6,296) 13,756 10,748 1,784 ========== =========== ========= ==========
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 44 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 Statements of Changes in Net Assets ($ Thousands) For the six months ended March 31, 2009 (Unaudited) and the year ended September 30, 2008
INTERNATIONAL EMERGING MARKETS FIXED INCOME FUND DEBT FUND --------------------- ---------------------- 2009 2008 2009 2008 --------- --------- --------- ---------- OPERATIONS: Net Investment Income $ 7,973 $ 26,802 $ 28,397 $ 59,866 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (12,287) (3,078) (63,561) 5,401 Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions 39,207 (17,617) (3,695) 1,170 Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (22,199) (62,704) (54,233) (123,294) Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (27,759) 35,566 (1,910) 2,312 --------- --------- --------- ---------- Net Decrease in Net Assets Resulting from Operations (15,065) (21,031) (95,002) (54,545) --------- --------- --------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (57,885) (10,040) (47,425) (70,236) Net Realized Gains: Class A -- -- -- (28,377) --------- --------- --------- ---------- Total Dividends and Distributions (57,885) (10,040) (47,425) (98,613) --------- --------- --------- ---------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 59,324 179,908 202,868 282,654 Reinvestment of Dividends & Distributions 55,164 9,540 43,698 93,090 Cost of Shares Redeemed (264,559) (263,795) (373,022) (347,834) --------- --------- --------- ---------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (150,071) (74,347) (126,456) 27,910 --------- --------- --------- ---------- Net Decrease in Net Assets (223,021) (105,418) (268,883) (125,248) --------- --------- --------- ---------- NET ASSETS: BEGINNING OF PERIOD 703,324 808,742 877,354 1,002,602 --------- --------- --------- ---------- END OF PERIOD $ 480,303 $ 703,324 $ 608,471 $ 877,354 ========= ========= ========= ========== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD $ (49,167) $ 745 $ (8,778) $ 10,250 ========= ========= ========= ========== SHARE TRANSACTIONS: CLASS A: Shares Issued 6,191 16,595 26,143 27,097 Reinvestment of Dividends & Distributions 6,009 882 5,322 8,865 Shares Redeemed (27,047) (24,385) (47,866) (33,787) --------- --------- --------- ---------- Total Class A Transactions (14,847) (6,908) (16,401) 2,175 ========= ========= ========= ==========
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 45 Financial Highlights For the six month period ended March 31, 2009 (Unaudited) and the years ended September 30, For a Share Outstanding Throughout Each Period
Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains Total from Net Realized Dividends Net Asset Beginning Income (Losses) on from Investment Capital and Value, End of Period (Loss)(1) Securities(1) Operations Income Gains Distributions of Period --------- ---------- ------------- ---------- ---------- ------------- ------------- ---------- INTERNATIONAL EQUITY FUND CLASS A 2009* $ 8.85 $0.04 $(3.29) $(3.25) $(0.16) $ -- $(0.16) $ 5.44 2008 16.18 0.27 (5.52) (5.25) (0.34) (1.74) (2.08) 8.85 2007 14.07 0.28 2.89 3.17 (0.47) (0.59) (1.06) 16.18 2006 12.14 0.24 1.97 2.21 (0.28) -- (0.28) 14.07 2005 9.81 0.16 2.40 2.56 (0.23) -- (0.23) 12.14 2004 8.20 0.10 1.60 1.70 (0.09) -- (0.09) 9.81 CLASS I 2009* $ 8.82 $0.04 $(3.29) $(3.25) $(0.12) $ -- $(0.12) $ 5.45 2008 16.13 0.22 (5.49) (5.27) (0.30) (1.74) (2.04) 8.82 2007 14.04 0.25 2.88 3.13 (0.45) (0.59) (1.04) 16.13 2006 12.12 0.23 1.94 2.17 (0.25) -- (0.25) 14.04 2005 9.81 0.14 2.38 2.52 (0.21) -- (0.21) 12.12 2004 8.20 0.10 1.58 1.68 (0.07) -- (0.07) 9.81 EMERGING MARKETS EQUITY FUND CLASS A 2009* $11.43 $0.02 $(3.47) $(3.45) $(0.10) $(1.95) $(2.05) $ 5.93 2008 21.49 0.14 (5.64) (5.50) (0.08) (4.48) (4.56) 11.43 2007 16.67 0.08 7.22 7.30 (0.08) (2.40) (2.48) 21.49 2006 15.94 0.11 2.32 2.43 (0.10) (1.60) (1.70) 16.67 2005 11.10 0.14 4.80 4.94 (0.10) -- (0.10) 15.94 2004 9.00 0.09 2.03 2.12 (0.02) -- (0.02) 11.10 INTERNATIONAL FIXED INCOME FUND CLASS A 2009* $10.46 $0.14 $(0.37) $(0.23) $(1.06) $ -- $(1.06) $ 9.17 2008 10.91 0.37 (0.68) (0.31) (0.14) -- (0.14) 10.46 2007 10.86 0.36 (0.11) 0.25 (0.20) -- (0.20) 10.91 2006 11.72 0.28 (0.49) (0.21) (0.34) (0.31) (0.65) 10.86 2005 12.22 0.28 0.15 0.43 (0.89) (0.04) (0.93) 11.72 2004 12.45 0.28 0.63 0.91 (0.92) (0.22) (1.14) 12.22 EMERGING MARKETS DEBT FUND CLASS A 2009* $ 9.43 $0.34 $(1.26) $(0.92) $(0.57) $ -- $(0.57) $ 7.94 2008 11.04 0.62 (1.18) (0.56) (0.74) (0.31) (1.05) 9.43 2007 11.28 0.60 0.47 1.07 (0.65) (0.66) (1.31) 11.04 2006 11.81 0.56 0.34 0.90 (0.80) (0.63) (1.43) 11.28 2005 10.74 0.66 1.31 1.97 (0.63) (0.27) (0.90) 11.81 2004 11.15 0.61 0.77 1.38 (0.66) (1.13) (1.79) 10.74 Ratio of Ratio of Expenses Expenses to to Average Ratio of Net Average Net Net Assets Investment Ratio of Assets (Excluding Income Net Assets Expenses (Excluding Waivers and (Loss) to Portfolio Total End of Period to Average Fees Paid Fees Paid Average Net Turnover Return+ ($ Thousands) Net Assets** Indirectly)*** Indirectly)*** Assets Rate+ ------- ------------- ------------ -------------- -------------- ------------ --------- INTERNATIONAL EQUITY FUND CLASS A 2009* (36.99)% $1,395,826 1.29%(2)(5) 1.30%(2)(5) 1.30%(2) 1.42% 65% 2008 (36.96) 2,329,504 1.25(2)(4) 1.26(2)(4) 1.26(2) 2.15 218 2007 23.56 4,032,236 1.32(2)(3) 1.33(2)(3) 1.33(2) 1.85 172 2006 18.50 3,491,007 1.32(2) 1.33(2) 1.33(2) 1.85 118 2005 26.33 3,227,258 1.24 1.24 1.24 1.50 80 2004 20.74 2,705,544 1.26 1.26 1.26 1.06 44 CLASS I 2009* (37.00)% $ 6,064 1.54%(2)(5) 1.55%(2)(5) 1.55%(2) 1.34% 65% 2008 (37.14) 6,538 1.50(2)(4) 1.51(2)(4) 1.51(2) 1.72 218 2007 23.25 17,155 1.57(2)(3) 1.58(2)(3) 1.58(2) 1.66 172 2006 18.20 13,401 1.59(2) 1.59(2) 1.59(2) 1.77 118 2005 25.86 7,952 1.49 1.49 1.49 1.28 80 2004 20.54 5,757 1.51 1.51 1.51 1.06 44 EMERGING MARKETS EQUITY FUND CLASS A 2009* (28.40)% $ 564,553 1.97%(5) 1.97%(5) 2.15% 0.47% 34% 2008 (33.33) 965,730 1.99(4) 1.99(4) 2.08 0.85 94 2007 48.27 1,777,229 1.97(3) 1.97(3) 2.05 0.44 79 2006 16.46 1,336,574 1.96 1.97 2.06 0.65 65 2005 44.68 1,354,502 1.95 1.96 2.05 1.05 69 2004 23.61 1,039,735 1.95 1.95 2.12 0.84 88 INTERNATIONAL FIXED INCOME FUND CLASS A 2009* (2.24)% $ 480,303 1.02%(5) 1.02%(5) 1.06% 2.84% 99% 2008 (2.89) 703,324 1.02(4) 1.02(4) 1.04 3.45 147 2007 2.34 808,742 1.02(3) 1.02(3) 1.04 3.29 215 2006 (1.64) 841,903 1.01 1.01 1.03 2.61 194 2005 3.01 880,923 1.00 1.00 1.04 2.24 145 2004 7.43 907,633 1.00 1.00 1.04 2.27 224 EMERGING MARKETS DEBT FUND CLASS A 2009* (9.77)% $ 608,471 1.37%(5) 1.37%(5) 1.82% 8.76% 31% 2008 (5.71) 877,354 1.37(4) 1.37(4) 1.79 5.94 83 2007 10.03 1,002,602 1.37(3) 1.37(3) 1.79 5.47 81 2006 8.68 828,343 1.36 1.36 1.78 5.03 108 2005 19.34 1,143,845 1.35 1.35 1.79 6.03 85 2004 13.97 765,483 1.35 1.35 1.79 5.91 77
* For the six months ended March 31, 2009. All ratios for the period have been annualized. ** Includes Fees Paid Indirectly. See Note 3 in Notes to Financial Statements. *** See Note 3 in Notes to Financial Statements. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. (1) Per share net investment income (loss) and net realized and unrealized gains/(losses) calculated using average shares. (2) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios for Class A and I shares would have been 1.28% and 1.53%, respectively, for the six month period March 31, 2009, 1.25% and 1.50%, respectively for 2008, and 1.24% and 1.49%, respectively, for 2007 and 2006. (3) The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.32%, 1.57%, 1.96%, 1.01%, and 1.36% for the International Equity Fund Class A, the International Equity Fund Class I, the Emerging Markets Equity Fund, the International Fixed Income Fund, and the Emerging Markets Debt Fund, respectively. (4) The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.25%, 1.50%, 1.96%, 1.02%, and 1.36% for the International Equity Fund Class A, the International Equity Fund Class I, the Emerging Markets Equity Fund, the International Fixed Income Fund, and the Emerging Markets Debt Fund, respectively. (5) The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.28%, 1.53%, 1.96%, 1.01%, and 1.36% for the International Equity Fund Class A, the International Equity Fund Class I, the Emerging Markets Equity Fund, the International Fixed Income Fund, and the Emerging Markets Debt Fund, respectively. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 46 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 NOTES TO FINANCIAL STATEMENTS (Unaudited) Notes to Financial Statements March 31, 2009 1. ORGANIZATION SEI Institutional International Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated June 30, 1988. The operations of the Trust commenced on December 20, 1989. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with five funds: the International Equity Fund, the Tax-Managed International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund (together the "Funds"). The Trust's prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The Trust is registered to offer Class A shares of each of the Funds and the International Equity Fund is registered to offer Class I shares. As of March 31, 2009, the Tax-Managed International Equity Fund had not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Trust's Board of Trustees (the "Board"). The Trust's Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Board. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee meeting should be called based on the information provided. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 47 NOTES TO FINANCIAL STATEMENTS (Continued) The International Equity Fund and Emerging Markets Equity Fund also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a "confidence interval" which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the International Equity Fund and Emerging Markets Equity Fund will value the non-U.S. securities in their portfolios that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), is effective for the Funds' financial statements issued after May 31, 2008. In accordance with FAS 157, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of the observable market data and minimize the use of unobservable inputs and to establish classification of the fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: Level 1 -- quoted prices in active markets for identical investments Level 2 -- other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The valuation techniques used by a Fund to measure fair value in accordance with FAS 157 during the six months ended March 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. The following is a summary of the inputs used as of March 31, 2009 in valuing the Fund's investments in accordance with FAS 157 carried at value ($ Thousands):
Investments in Securities* Level 1 Level 2 Level 3 Total -------------------------- ---------- -------- ------- ---------- International Equity Fund $1,331,434 $110,940 $ -- $1,442,374 Emerging Markets Equity Fund 553,061 70,695 2,038 625,794 International Fixed Income Fund -- 441,955 4 441,959 Emerging Markets Debt Fund 2,265 565,006 29,431 596,702
Other Financial Instruments** Level 1 Level 2 Level 3 Total ----------------------------- ---------- -------- ------- ---------- International Equity Fund $ (189) $ 8,327 $ -- $ 8,138 International Fixed Income Fund (8,223) (124) -- (8,347) Emerging Markets Debt Fund (61) (1,261) (1,174) (2,496)
* Includes collateral for securities on loan. ** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($Thousands):
Emerging International Emerging International Markets Fixed Markets Equity Equity Income Debt Investments in Securities Fund Fund Fund Fund ------------------------- ------------- -------- ------------- --------- Beginning balance as of October 1, 2008 $ 751 $ -- $ 1,420 $ 41,489 Accrued discounts/premiums 33 -- -- (71) Realized gain/(loss) (17,949) -- 1,279 (917) Change in unrealized appreciation/(depreciation) 3,137 -- (1,134) (14,850) Net purchase/sales 14,028 -- (1,561) 2,606 Net transfer in and/or out Level 3 -- 2,038 -- -- -------- ------ -------- -------- Ending balance as of March 31, 2009 $ -- $2,038 $ 4 $ 28,257 ======== ====== ======== ========
CREDIT DERIVATIVES -- On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1 and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification 48 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 of the Effective Date of FASB Statement No. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, Guarantor's Accounting and Disclosure Requirements for Guarantees, Including Indirect Guarantees of Indebtedness to Others, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a "basket" of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities. The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. If a credit event occurs, the seller typically must pay the contingent payment to the buyer, which is typically the par value (full notional value) of the reference obligation, though the actual payment may be mitigated by terms of the International Swaps and Derivative Agreement ("ISDA"), allowing for netting arrangements and collateral. After a credit event occurs, this amount may be reduced by anticipated recovery rates, segregated collateral and netting arrangements that may incorporate multiple transactions with a given counterparty. The contingent payment may be a cash settlement or a physical delivery of the reference obligation. If a Fund is a buyer and no credit event occurs, a Fund may lose its investment and recover nothing. However, if a credit event occurs, the buyer typically receives full notional value for a reference obligation that may have little or no value. If a fund is a Seller, the Buyer receives a fixed rate of income throughout the term of the contract, which typically is between one month and five years, provided that no credit event occurs. If a credit event occurs, the seller may pay the buyer the full notional value of the reference obligation. As of March 31, 2009, the International Fixed Income fund Fund is the buyer ("receiving protection") on a total notional amount of $2.8 million) and is the seller ("providing protection") on a total notional amount of $11.2 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amount does approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event were to occur. Those credit default swaps for which the Fund is providing protection at March 31, 2009 are summarized as follows:
CREDIT DEFAULT SINGLE NAME CDS SWAP INDEX WRITTEN CREDIT DERIVATIVE CONTRACTS ------------------------ ------------------ REFERENCE ASSET CORP US$ SOVEREIGN US$ ABS US$ CORP US$ TOTAL ----------------------------------- -------- ------------- ------- -------- -------- Fair value written credit derivatives 139 -- -- (1,347) (1,207) Maximum potential amount of future payments (3,143) -- -- (7,956) (11,099) Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)(2) -- -- -- -- -- Collateral held by the Fund can obtain upon occurrence of triggering event -- -- -- (1,008) (1,008)
(1) FSP 133-1 does not require the quantification where the Fund is receiving protection, but such disclosure may be beneficial in quantifying off balance sheet risks as required by SoP 94-6. (2) For purposes of quantifying this disclosure, potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. If Management is unable to reasonably estimate the amount of potential recoveries from recourse provisions (for instance, because collateral agreements cover multiple derivative arrangements and their potential performance risks, not specific to selling credit protection on certain credit derivatives), that fact should be disclosed. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 49 NOTES TO FINANCIAL STATEMENTS (Continued) MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
0-6 MONTHS 6-12 MONTHS 1-5 YEARS 5-10 YEARS > 10 YEARS TOTAL ---------- ----------- --------- ---------- ---------- ------ Current credit spread* on underlying (in basis points)(3) -- -- -- -- -- -- 0-100 -- -- (1,114) -- -- (1,114) 101-250 -- -- (5,052) (438) -- (5,490) 251-500 -- -- (517) -- -- (517) 501-1000-- -- -- (3,978) -- -- (3,978) > than 1,000 -- -- -- -- -- --
* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. (3) If Management uses credit ratings to evaluate the credit risk of an underlying asset, it may use such ratings in its disclosure by replacing credit spreads by credit ratings. The credit spread disclosed above for each reference obligation where the Partnership is the seller of protection is a representation of the current payment/performance risk of the swap. As of March 31, 2009, the Emerging Markets Debt Fund is the buyer ("receiving protection") on a total notional amount of $0.7 million) and is the seller ("providing protection") on a total notional amount of $12.4 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amount does approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event were to occur. Those credit default swaps for which the Fund is providing protection at balance sheet date are summarized as follows:
CREDIT DEFAULT SINGLE NAME CDS SWAP INDEX WRITTEN CREDIT DERIVATIVE CONTRACTS ----------------------- ----------------- REFERENCE ASSET CORP US$ SOVEREIGN US$ ABS US$ CORP US$ TOTAL ----------------------------------- -------- ------------- ------- -------- ---------- Fair value written credit derivatives -- (2,036,969) -- -- (2,036,969) Maximum potential amount of future payments -- 1,716,321 -- -- 1,716,321 Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)(2) -- -- -- -- -- Collateral held by the Fund can obtain upon occurrence of -- 5,350,000 -- -- 5,350,000 triggering event
(1) FSP 133-1 does not require the quantification where the Fund is receiving protection, but such disclosure may be beneficial in quantifying off balance sheet risks as required by SoP 94-6. (2) For purposes of quantifying this disclosure, potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. If Management is unable to reasonably estimate the amount of potential recoveries from recourse provisions (for instance, because collateral agreements cover multiple derivative arrangements and their potential performance risks, not specific to selling credit protection on certain credit derivatives), that fact should be disclosed. MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
0-6 MONTHS 6-12 MONTHS 1-5 YEARS 5-10 YEARS > 10 YEARS TOTAL ---------- ----------- --------- ---------- ---------- --------- Current credit spread* on underlying (in basis points)(3) -- -- -- -- -- -- 0-100 -- -- -- -- -- -- 101-250 6,888 7,002 55,599 34,707 -- 104,196 251-500 107,781 84,408 842,243 168,356 -- 1,202,788 501-1000-- 124,434 125,050 79,083 -- -- 328,567 > than 1,000 40,711 40,059 -- -- -- 80,770
* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. (3) If Management uses credit ratings to evaluate the credit risk of an underlying asset, it may use such ratings in its disclosure by replacing credit spreads by credit ratings. The credit spread disclosed above for each reference obligation where the Partnership is the seller of protection is a representation of the current payment/performance risk of the swap. REVERSE REPURCHASE AGREEMENTS -- The International Equity and Emerging Markets Equity Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the International Equity and Emerging Markets Equity Funds' use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. At March 31, 2009, there were no outstanding reverse repurchase agreements. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. 50 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- A Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. A Fund realized 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. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. FUTURES CONTRACTS -- The International Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund utilized futures contracts during the six months ended March 31, 2009. These Funds' investment in futures contracts is designed to enable these Funds to more closely approximate the performance of its benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, these Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Schedule of Investments in the International Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund represents each Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in each Fund's net assets. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. EQUITY-LINKED WARRANTS -- The International Equity and Emerging Markets Equity Funds each may invest in equity-linked warrants. These Funds purchase the equity-linked warrants from a broker, who in turn purchases shares in the local market and issues a call warrant hedged on the underlying holding. If these Funds exercise its call and close its position, the shares are sold and the warrant redeemed with the proceeds. Each warrant represents one share of the underlying stocks, therefore the price, performance and liquidity of the warrant are all directly linked to the underlying stock. The warrants can be redeemed for 100% of the value of the underlying stock, less transaction costs. In addition to the market risk of the underlying holding, these Funds bear additional counterparty risk to the issuing broker. There is currently no active trading market for equity-linked warrants. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without actually owning the underlying security. The investor must pay any decline in value to the counterparty at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying assets versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. In connection with swap agreements, SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 51 NOTES TO FINANCIAL STATEMENTS (Continued) securities may be set aside as collateral by a Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. In connection with outstanding credit-default swaps as of March 31, 2009, the Emerging Markets Debt Fund has deposits valued at $13,086,129 with the counterparty as collateral. OPTIONS WRITTEN/PURCHASED -- A Fund may invest in financial options contracts to add return or to hedge its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by a 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 a Fund has realized a gain or a loss. The risk in writing a call option is that a Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that a Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that a Fund pays a premium whether or not the option is exercised. A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Written options transactions entered into during the six months ended March 31, 2009 are summarized as follows: EMERGING MARKETS DEBT FUND
Number of Premium Received Contracts ($ Thousands) ----------- ---------------- Balance at the beginning of period 40,669,200 $ 266 Expired (40,669,200) (266) ----------- ----- Balance at the end of period -- $ -- ----------- -----
DELAYED DELIVERY TRANSACTIONS -- A Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed delivery basis, a Fund does not participate in future gains and losses with respect to the security. LOAN PARTICIPATIONS AND BRADY BONDS -- The Emerging Markets Debt ("EMD") 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 EMD 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 EMD Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The EMD 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 52 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 connection with purchasing Participations, the EMD Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the EMD Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the EMD Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Certain debt obligations, customarily referred to as "Brady Bonds," are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. CLASSES -- Class-specific expenses are borne by that class. Income, non-class specific expenses, and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust are prorated to the Funds on the basis of relative daily net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The International Equity, Emerging Markets Equity and International Fixed Income Funds will distribute substantially all of their net investment income and all net realized capital gains, if any, at least annually. The Emerging Markets Debt Fund will distribute substantially all of its net investment income, if any, at least quarterly and all net realized gains, if any, at least annually. All dividends and distributions are recorded on ex-dividend date. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of investment securities are those of the specific securities sold. Purchase discounts and premiums on securities held by a Fund are accreted and amortized to maturity using the scientific-interest method, which approximates the effective interest method. Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION & TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below: International Equity Fund 0.45% Emerging Markets Equity Fund 0.65% International Fixed Income Fund 0.60% Emerging Markets Debt Fund 0.65%
However, the Administrator has voluntarily agreed to waive its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees and expenses, will not exceed certain expense limitations adopted by the Administrator as presented below. In the event that the total annual expenses of a Fund, after reflecting a waiver of all fees by the Administrator, exceed the specific limitation, the Administrator has agreed to bear such excess. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. For the six months ended March 31, 2009, the Administrator did not waive any fees.
International Emerging International Emerging Equity Markets Equity Fixed Income Markets Debt Fund Fund Fund Fund ------------- -------------- ------------- ------------ Class A 1.25%*+ 1.96%+ 1.01%+ 1.36%+ Class I 1.50%*+ -- -- --
* The expense cap excludes interest expense on reverse repurchase agreements. + The expense cap excludes overdraft fees and acquired funds fees and expenses. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") acts as the Investment Adviser for the Funds under an amended and restated Investment Advisory Agreement dated December 17, 2002 under which SIMC receives annual fees, based on the average daily net assets of the respective funds, as presented below: International Equity Fund 0.505% Emerging Markets Equity Fund 1.050% International Fixed Income Fund 0.150% Emerging Markets Debt Fund 0.850%
SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 53 NOTES TO FINANCIAL STATEMENTS (Continued) However, SIMC has also voluntarily agreed to waive its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees and expenses, will not exceed certain expense limitations adopted by the Adviser as presented above. As of March 31, 2009, SIMC has entered into Investment Sub-Advisory Agreements with the following parties: Investment Sub-Adviser INTERNATIONAL EQUITY FUND AXA Rosenberg Investment Management LLC Declaration Management and Research LLC INTECH Investment Management, LLC* McKinley Capital Management, Inc. Principal Global Investors, LLC Quantitative Management Associates LLC Wellington Management Company, LLC* Record Currency Management Limited EMERGING MARKETS EQUITY FUND AllianceBernstein L.P. Artisan Partners Limited Partnership AXA Rosenberg Investment Management LLC PanAgora Asset Management, Inc. Rexiter Capital Management Limited The Boston Company Asset Management LLC INTERNATIONAL FIXED INCOME FUND AllianceBernstein L.P. BlackRock Financial Management, Inc. Fidelity International Investment Advisors (UK) Limited (delegates to Fidelity International Investment Advisors) UBS Global Asset Management (Americas) Inc. EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management Advisors, B.V. Stone Harbor Investment Partners LP * Not funded. Under the investment sub-advisory agreements, each party receives an annual fee, paid by SIMC. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI") and a registered broker-dealer, acts as the Distributor of the shares of the Trust under an amended and restated Distribution Agreement dated September 16, 2002. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor equal to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.
Shareholder Administrative Servicing Fees Servicing Fees -------------- -------------- International Equity Fund Class A 0.25% -- Class I 0.25% 0.25% Emerging Markets Equity Fund Class A 0.25% -- International Fixed Income Fund Class A 0.25% -- Emerging Markets Debt Fund Class A 0.25% --
OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. For the six months ended March 31, 2009, the Distributor received approximately $75,000 in brokerage commissions for the International Equity Fund. Under both the Shareholder Servicing Plans and Administrative Service Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. However, the Distributor has voluntarily agreed to waive its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees and expenses, will not exceed certain expense limitations as agreed upon by the Distributor as presented above. For the six months ended March 31, 2009, the Distributor retained 100% of both Shareholder Servicing fees, less waivers, and Administration Servicing fees. INVESTMENT IN AFFILIATED SECURITIES -- A Fund may invest cash collateral from the securities lending program in the SEI Liquidity Fund LP and may also invest excess cash in affiliated money market funds. PAYMENT TO AFFILIATES -- Certain Officers and Trustees of the Trust are also Officers and/or Trustees of the Administrator or SEI Investments Management Corporation ("SIMC") (the "Adviser"), a wholly owned subsidiary of SEI. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the Adviser pays compensation of Officers and affiliated Trustees. 54 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 A portion of the services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Adviser, sub-advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. FEES PAID INDIRECTLY -- A Fund may direct certain fund trades to the Distributor who pays a portion of a Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on a Fund's expense ratio, as a percentage of a Fund's average daily net assets for the six months ended March 31, 2009, can be found on the Statement of Operations and Financial Highlights, respectively. 4. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale and maturity of securities, other than short-term investments, during the six months ended March 31, 2009, were as follows:
Purchases Sales and Maturities ($ Thousands) ($ Thousands) ------------- -------------------- International Equity Fund US Government $401,206 $710,954 Other 683,039 778,890 Emerging Markets Equity Fund US Government -- -- Other 213,677 313,581 International Fixed Income Fund US Government 93,648 107,936 Other 353,873 449,537 Emerging Markets Debt Fund US Government -- -- Other 184,740 319,740
5. FEDERAL TAX INFORMATION: It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These differences, which may result in distribution reclassifications, are primarily due to foreign currency gains and losses, passive foreign investment companies gains and losses, equalization, disallowance of net operating loss and swap reclassifications, and prior year adjustments. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. The tax character of dividends declared during the last two fiscal years were as follows:
Ordinary Long-Term Income Capital Gain Totals ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- International Equity Fund 2008 $266,737 $252,260 $518,997 2007 136,952 126,960 263,912 Emerging Markets Equity Fund 2008 91,523 252,902 344,425 2007 45,745 149,527 195,272 International Fixed Income Fund 2008 10,040 -- 10,040 2007 15,311 -- 15,311 Emerging Markets Debt Fund 2008 81,803 16,810 98,613 2007 64,597 36,409 101,006
At September 30, 2008, the components of Accumulated Losses were as follows:
Undistributed Undistributed Capital Post- Ordinary Long-Term Loss October Income Capital Gain Carryforwards Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $41,261 $ -- $ -- $(240,445) Emerging Markets Equity Fund 10,161 154,332 -- (1,326) International Fixed Income Fund 23,611 -- (3,797) (1,632) Emerging Markets Debt Fund 27,307 -- -- (5,423)
Post- October Other Total Currency Unrealized Temporary Accumulated Losses Depreciation Differences Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $(28,003) $(531,991) $ 6,573 $(752,605) Emerging Markets Equity Fund -- (194,038) (1,510) (32,381) International Fixed Income Fund -- (19,954) (22,932) (24,704) Emerging Markets Debt Fund -- (61,242) (17,079) (56,437)
Post-October losses represent losses realized on investment transactions from November 1, 2007 through September 30, 2008, that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 55 NOTES TO FINANCIAL STATEMENTS Federal income tax purposes, capital losses may be carried forward and applied against future capital gains as follows:
Total Capital Loss Expires Carryforward 2015 09/30/08 ($ Thousands) ($ Thousands) ------------- ------------- International Fixed Income Fund $3,797 $3,797
For tax purposes, the losses in a Fund can be carried forward for a maximum of eight years to offset any net realized capital gains. The Federal tax cost, aggregate gross unrealized appreciation and depreciation on total investments, at March 31, 2009 for each Fund is as follows:
Aggregate Aggregate Gross Gross Net Federal Unrealized Unrealized Unrealized Tax Cost Appreciation Depreciation Depreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- International Equity Fund $2,007,255 $23,510 $(588,391) $(564,881) Emerging Markets Equity Fund 828,101 23,912 (226,219) (202,307) International Fixed Income Fund 502,824 8,683 (69,548) (60,865) Emerging Markets Debt Fund 706,176 16,463 (125,937) (109,474)
Management has analyzed the Funds' tax position taken on federal income tax returns for all open tax years and has concluded that as of March 31, 2009, no provision for income tax would be required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. 6. CONCENTRATION/RISKS Each Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The International Fixed Income Fund and Emerging Markets Debt Fund invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the International Fixed Income Fund and Emerging Markets Debt Fund to meet their obligations may be affected by economic and political developments in a specific country, industry or region. Certain securities held by the Funds are valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers are estimates that may differ from the value that would be realized if the securities were sold. At March 31, 2009, the total value of these securities represented approximately 3% of the net assets of the Emerging Markets Debt Fund. Forward foreign currency contracts, futures contracts, and swap agreement contracts involve risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities to the extent of the contract amounts. In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds~ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. 7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Board. These loans may not exceed 33 1/3% of the total asset value of a Fund (including the loan collateral). No Fund will lend portfolio securities to its investment adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash, corporate obligations, asset-backed securities, repurchase agreements or master notes. The value of the collateral is at least equal to the market value of the securities loaned. However, due to market fluctuations, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that a Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by United States Treasury and 56 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 Government Agency securities, high-quality, short-term instruments, such as floating rate notes, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity date not to exceed 397 days. There is no guarantee that these investments will not lose value. 8. RECENT ACCOUNTING PRONOUNCEMENTS In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No. 161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Funds' financial statements and related disclosures. In April 2009, the Financial Accounting Standards Board "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" (FAS 157-4"). FAS 157-4 provides additional guidance for determining fair value when the volume and level of activity for an asset or a liability have significantly decreased and identifying transactions that are not orderly. FAS 157-4 requires enhanced disclosures about the inputs and valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques and related inputs, if any, during the period. In addition, the three-level hierarchy disclosure and the level three roll-forward disclosure will be expanded for each major category of assets. Management of the Fund does not believe the adoption of this FSP will materially impact the financial statement amounts, but will require additional disclosures. FAS 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. 9. OTHER MATTERS Due to volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of March 31, 2009 and do not reflect any market events after March 31, 2009. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 57 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on this page illustrates your fund's costs in two ways: ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown may not apply to your specific investment.
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 10/1/08 3/31/09 RATIOS PERIOD* --------- --------- ---------- -------- INTERNATIONAL EQUITY FUND ACTUAL FUND RETURN Class A $1,000.00 $ 630.10 1.29% $5.24 Class I 1,000.00 630.00 1.54 6.26 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.50 1.29% $6.49 Class I 1,000.00 1,017.25 1.54 7.75 EMERGING MARKETS EQUITY FUND ACTUAL FUND RETURN Class A $1,000.00 $ 716.00 1.97% $8.43 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,015.11 1.97% $9.90
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 10/1/08 3/31/09 RATIOS PERIOD* --------- --------- ---------- -------- INTERNATIONAL FIXED INCOME FUND ACTUAL FUND RETURN Class A $1,000.00 $ 977.60 1.02% $5.03 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,019.85 1.02% $5.14 EMERGING MARKETS DEBT FUND ACTUAL FUND RETURN Class A $1,000.00 $ 902.30 1.37% $6.50 HYPOTHETICAL 5% RETURN Class A $1,000.00 $1,018.10 1.37% $6.89
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 182/365 (TO REFLECT THE ONE-HALF YEAR PERIOD SHOWN). 58 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) SEI Institutional International Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 59 Board of Trustees Considerations in Approving the Funds' Investment Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) At the December 2, 2008 and March 25, 2009 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: - the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; - the Funds' investment performance and how it compared to that of other comparable mutual funds; - the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; - the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and - the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. 60 SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. SEI Institutional International Trust / Semi-Annual Report / March 31, 2009 61 Notes Notes Notes SEI INSTITUTIONAL INTERNATIONAL TRUST SEMI-ANNUAL REPORT MARCH 31, 2009 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson Hubert L. Harris, Jr. OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY David F. McCann VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KMPG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) (SEI LOGO) New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-031 (3/09) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end management investment companies. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional International Trust By (Signature and Title)* /s/ Robert A. Nesher ------------------------------------- Robert A Nesher, President & CEO Date: June 8, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher ------------------------------------- Robert A Nesher, President & CEO Date: June 8, 2009 By (Signature and Title)* /s/ Stephen F. Panner ------------------------------------- Stephen F Panner, Controller & CFO Date: June 8, 2009 * Print the name and title of each signing officer under his or her signature.