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 811-23015
SEI Catholic Values Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code: 610-676-1000
Date of fiscal year end: February 28, 2019
Date of reporting period: August 31, 2018
Item 1. | Reports to Stockholders. |
August | 31, 2018 |
SEMI-ANNUAL REPORT
SEI Catholic Values Trust
➤ Catholic Values Equity Fund
➤ Catholic Values Fixed Income Fund
1 | ||||
26 | ||||
27 | ||||
28 | ||||
29 | ||||
30 | ||||
43 | ||||
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements | 44 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are 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)
August 31, 2018
Catholic Values Equity Fund
Sector Weightings†:
† Percentages based on total investments.
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK — 71.1% | ||||||||||||
Consumer Discretionary — 13.2% | ||||||||||||
Advance Auto Parts Inc | 4,203 | $ | 689 | |||||||||
Amazon.com Inc * | 2,657 | 5,348 | ||||||||||
American Eagle Outfitters | 2,205 | 57 | ||||||||||
At Home Group Inc * | 2,206 | 76 | ||||||||||
Best Buy Co Inc | 1,325 | 105 | ||||||||||
Big Lots Inc | 16,206 | 698 | ||||||||||
BJ’s Restaurants | 834 | 63 | ||||||||||
Bloomin’ Brands Inc | 6,668 | 129 | ||||||||||
Booking Holdings Inc * | 668 | 1,304 | ||||||||||
Boot Barn Holdings Inc * | 2,744 | 82 | ||||||||||
Carnival Corp | 23,484 | 1,444 | ||||||||||
Carvana Co, Cl A * | 917 | 59 | ||||||||||
Cheesecake Factory Inc/The | 11,989 | 637 | ||||||||||
Chegg Inc * | 1,978 | 64 | ||||||||||
Cinemark Holdings Inc | 8,658 | 323 | ||||||||||
Comcast Corp, Cl A | 35,204 | 1,302 | ||||||||||
Cooper Tire & Rubber | 4,686 | 135 | ||||||||||
Deckers Outdoor * | 434 | 53 | ||||||||||
Delphi Automotive PLC * | 1,794 | 158 | ||||||||||
Dollar General Corp | 27,099 | 2,919 | ||||||||||
Domino’s Pizza Inc | 1,209 | 361 | ||||||||||
DR Horton Inc | 17,492 | 779 | ||||||||||
Fiesta Restaurant Group * | 1,743 | 50 | ||||||||||
Gap Inc/The | 2,620 | 80 | ||||||||||
General Motors Co | 40,263 | 1,451 | ||||||||||
Gentherm Inc * | 9,616 | 473 | ||||||||||
Goodyear Tire & Rubber Co/The | 22,138 | 502 | ||||||||||
Hasbro Inc | 931 | 92 | ||||||||||
Hilton Worldwide Holdings Inc | 3,041 | 236 | ||||||||||
Home Depot Inc/The | 6,750 | 1,355 | ||||||||||
John Wiley & Sons Inc, Cl A | 1,163 | 75 | ||||||||||
Kohl’s Corp | 1,544 | 122 | ||||||||||
Lowe’s Cos Inc | 23,085 | 2,510 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
Macy’s Inc | 1,472 | $ | 54 | |||||||||
Malibu Boats Inc, Cl A * | 1,146 | 55 | ||||||||||
Marriott International Inc/MD, Cl A | 679 | 86 | ||||||||||
McDonald’s Corp | 1,103 | 179 | ||||||||||
Mohawk Industries * | 1,007 | 193 | ||||||||||
Netflix Inc * | 3,822 | 1,405 | ||||||||||
NIKE Inc, Cl B | 10,543 | 867 | ||||||||||
Nordstrom Inc | 1,516 | 95 | ||||||||||
Norwegian Cruise Line Holdings Ltd * | 11,298 | 606 | ||||||||||
Omnicom Group Inc | 24,507 | 1,699 | ||||||||||
PVH Corp | 565 | 81 | ||||||||||
RH * | 357 | 57 | ||||||||||
Ross Stores Inc | 16,350 | 1,566 | ||||||||||
Royal Caribbean Cruises Ltd | 1,913 | 234 | ||||||||||
Skechers U.S.A. Inc, Cl A * | 13,452 | 397 | ||||||||||
Starbucks Corp | 8,801 | 470 | ||||||||||
Stitch Fix, Cl A * | 2,355 | 96 | ||||||||||
Tesla Inc * | 1,418 | 428 | ||||||||||
TJX Cos Inc/The | 3,493 | 384 | ||||||||||
Tupperware Brands Corp | 10,821 | 352 | ||||||||||
Turtle Beach Corp * | 2,129 | 49 | ||||||||||
Ulta Beauty Inc * | 2,814 | 732 | ||||||||||
Urban Outfitters * | 1,157 | 54 | ||||||||||
VF Corp | 1,652 | 152 | ||||||||||
Viacom, Cl B | 1,657 | 49 | ||||||||||
Walt Disney Co/The | 8,398 | 941 | ||||||||||
Wingstop Inc | 967 | 65 | ||||||||||
World Wrestling Entertainment, Cl A | 687 | 60 | ||||||||||
Wyndham Hotels & Resorts | 1,185 | 67 | ||||||||||
Wyndham Worldwide Corp | 1,185 | 52 | ||||||||||
Yum China Holdings Inc | 7,728 | 299 | ||||||||||
35,555 | ||||||||||||
Consumer Staples — 5.2% | ||||||||||||
Altria Group Inc | 30,496 | 1,785 | ||||||||||
Andersons | 3,336 | 136 | ||||||||||
Bunge | 3,241 | 211 | ||||||||||
Campbell Soup Co | 3,192 | 126 | ||||||||||
Clorox Co/The | 2,666 | 387 | ||||||||||
Coca-Cola | 18,615 | 830 | ||||||||||
Colgate-Palmolive Co | 7,862 | 522 | ||||||||||
Conagra Brands Inc | 27,827 | 1,023 | ||||||||||
Constellation Brands Inc, Cl A | 3,634 | 757 | ||||||||||
Costco Wholesale | 1,023 | 238 | ||||||||||
Energizer Holdings | 2,719 | 173 | ||||||||||
Freshpet * | 2,854 | 106 | ||||||||||
Hain Celestial Group Inc/The * | 11,707 | 334 | ||||||||||
Hershey Co/The | 1,957 | 197 | ||||||||||
JM Smucker Co/The | 20,958 | 2,167 | ||||||||||
Kellogg Co | 3,231 | 232 | ||||||||||
Keurig Dr Pepper | 2,773 | 63 | ||||||||||
Kimberly-Clark Corp | 3,984 | 460 | ||||||||||
McCormick & Co Inc/MD | 941 | 117 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Equity Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
Molson Coors Brewing Co, Cl B | 9,792 | $ | 654 | |||||||||
Mondelez International Inc, Cl A | 3,900 | 167 | ||||||||||
PepsiCo Inc | 8,186 | 917 | ||||||||||
Philip Morris International Inc | 26,693 | 2,079 | ||||||||||
Simply Good Foods * | 2,945 | 53 | ||||||||||
Sysco Corp | 2,856 | 214 | ||||||||||
Walgreens Boots Alliance | 2,006 | 138 | ||||||||||
14,086 | ||||||||||||
Energy — 5.7% | ||||||||||||
Anadarko Petroleum Corp | 9,143 | 589 | ||||||||||
Apergy Corp * | 1,881 | 85 | ||||||||||
Baker Hughes a GE | 1,514 | 50 | ||||||||||
Chevron Corp | 14,983 | 1,775 | ||||||||||
ConocoPhillips | 18,453 | 1,355 | ||||||||||
Core Laboratories NV | 11,533 | 1,321 | ||||||||||
Devon Energy Corp | 29,085 | 1,249 | ||||||||||
Equinor ASA ADR | 54,500 | 1,404 | ||||||||||
Exxon Mobil Corp | 7,972 | 639 | ||||||||||
Gulfport Energy Corp * | 42,162 | 496 | ||||||||||
Helmerich & Payne Inc | 11,750 | 770 | ||||||||||
Hess Corp | 1,534 | 103 | ||||||||||
HollyFrontier Corp | 763 | 57 | ||||||||||
Kinder Morgan Inc/DE | 37,852 | 670 | ||||||||||
Newfield Exploration Co * | 3,715 | 101 | ||||||||||
Noble Energy Inc | 2,467 | 73 | ||||||||||
Occidental Petroleum Corp | 26,416 | 2,110 | ||||||||||
Oceaneering International Inc * | 14,003 | 396 | ||||||||||
PBF Energy Inc, Cl A | 7,483 | 389 | ||||||||||
Pioneer Natural Resources | 1,714 | 299 | ||||||||||
Range Resources Corp | 8,276 | 136 | ||||||||||
Schlumberger Ltd | 18,544 | 1,171 | ||||||||||
Whiting Petroleum Corp * | 2,658 | 135 | ||||||||||
15,373 | ||||||||||||
Financials — 11.8% | ||||||||||||
Aflac Inc | 53,624 | 2,480 | ||||||||||
American Equity Investment Life Holding Co | 22,733 | 843 | ||||||||||
American Express Co | 1,031 | 109 | ||||||||||
American International Group Inc | 1,158 | 62 | ||||||||||
Annaly Capital Management | 4,860 | 52 | ||||||||||
Bancorp Inc/The * | 16,247 | 163 | ||||||||||
Bank of America Corp | 76,933 | 2,380 | ||||||||||
Bank of New York Mellon Corp/The | 6,349 | 331 | ||||||||||
BankUnited Inc | 11,232 | 436 | ||||||||||
Blackstone Group LP/The (A) | 34,356 | 1,268 | ||||||||||
Chubb | 394 | 53 | ||||||||||
Citigroup Inc | 44,877 | 3,197 | ||||||||||
CME Group, Cl A | 498 | 87 | ||||||||||
CNA Financial Corp | 6,005 | 270 | ||||||||||
CNO Financial Group Inc | 18,948 | 409 | ||||||||||
Cowen Inc, Cl A * | 15,408 | 234 | ||||||||||
Curo Group Holdings * | 4,363 | 135 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
E*TRADE Financial Corp * | 7,691 | $ | 453 | |||||||||
Everest Re Group Ltd | 3,800 | 847 | ||||||||||
First Commonwealth Financial | 17,417 | 292 | ||||||||||
First Republic Bank/CA | 1,934 | 196 | ||||||||||
FNB Corp/PA | 24,890 | 335 | ||||||||||
Goldman Sachs Group Inc/The | 2,228 | 530 | ||||||||||
Great Western Bancorp Inc | 14,257 | 621 | ||||||||||
Health Insurance Innovations, Cl A * | 903 | 48 | ||||||||||
Invesco Ltd | 14,194 | 342 | ||||||||||
JPMorgan Chase & Co | 21,897 | 2,509 | ||||||||||
KKR, Cl A | 76,506 | 1,995 | ||||||||||
Legg Mason Inc | 1,747 | 54 | ||||||||||
Marsh & McLennan Cos Inc | 24,009 | 2,032 | ||||||||||
MetLife Inc | 4,026 | 185 | ||||||||||
Moody’s Corp | 599 | 107 | ||||||||||
Morningstar Inc | 695 | 99 | ||||||||||
National General Holdings Corp | 22,522 | 615 | ||||||||||
Northern Trust Corp | 2,684 | 288 | ||||||||||
OneMain Holdings Inc, Cl A * | 13,328 | 489 | ||||||||||
PNC Financial Services Group Inc/The | 1,879 | 270 | ||||||||||
Prudential Financial Inc | 6,625 | 651 | ||||||||||
Regions Financial Corp | 12,350 | 240 | ||||||||||
S&P Global Inc | 6,379 | 1,321 | ||||||||||
Santander Consumer USA Holdings Inc | 35,904 | 775 | ||||||||||
SLM Corp * | 33,402 | 391 | ||||||||||
State Street Corp | 25,057 | 2,178 | ||||||||||
SVB Financial Group * | 512 | 165 | ||||||||||
Synchrony Financial | 9,784 | 310 | ||||||||||
T Rowe Price Group Inc | 1,349 | 156 | ||||||||||
Umpqua Holdings | 19,773 | 423 | ||||||||||
US Bancorp | 2,210 | 120 | ||||||||||
Voya Financial Inc | 1,088 | 54 | ||||||||||
Wells Fargo & Co | 5,553 | 325 | ||||||||||
31,925 | ||||||||||||
Health Care — 11.2% | ||||||||||||
Abbott Laboratories | 45,218 | 3,022 | ||||||||||
Aetna Inc | 3,016 | 604 | ||||||||||
Agios Pharmaceuticals Inc * | 1,120 | 90 | ||||||||||
Alexion Pharmaceuticals Inc * | 2,721 | 333 | ||||||||||
Align Technology Inc * | 268 | 104 | ||||||||||
Alkermes PLC * | 1,569 | 70 | ||||||||||
Alnylam Pharmaceuticals Inc * | 833 | 102 | ||||||||||
Amedisys * | 1,241 | 155 | ||||||||||
Anthem Inc | 1,653 | 438 | ||||||||||
Arbutus Biopharma * | 13,088 | 119 | ||||||||||
AtriCure * | 3,639 | 126 | ||||||||||
AxoGen Inc * | 2,482 | 109 | ||||||||||
Baxter International Inc | 9,151 | 681 | ||||||||||
BioMarin Pharmaceutical Inc * | 3,992 | 399 | ||||||||||
BioTelemetry Inc * | 1,226 | 76 | ||||||||||
Bluebird Bio * | 326 | 55 | ||||||||||
Boston Scientific Corp * | 37,733 | 1,342 |
2 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
Bruker Corp | 18,201 | $ | 648 | |||||||||
Cardinal Health Inc | 1,388 | 72 | ||||||||||
Centene * | 406 | 59 | ||||||||||
Cigna Corp | 2,805 | 528 | ||||||||||
CONMED Corp | 1,665 | 134 | ||||||||||
CVS Health Corp | 45,031 | 3,388 | ||||||||||
DaVita Inc * | 1,288 | 89 | ||||||||||
Deciphera Pharmaceuticals * | 3,398 | 126 | ||||||||||
DENTSPLY SIRONA Inc | 1,719 | 69 | ||||||||||
Edwards Lifesciences Corp * | 2,441 | 352 | ||||||||||
Ensign Group Inc/The | 3,429 | 134 | ||||||||||
Exact Sciences * | 856 | 64 | ||||||||||
Exelixis Inc * | 2,597 | 49 | ||||||||||
Express Scripts Holding Co * | 1,931 | 170 | ||||||||||
Genomic Health * | 4,295 | 263 | ||||||||||
Haemonetics Corp * | 1,547 | 173 | ||||||||||
HealthEquity Inc * | 1,620 | 153 | ||||||||||
Henry Schein Inc * | 2,467 | 192 | ||||||||||
Heron Therapeutics Inc * | 3,615 | 139 | ||||||||||
Hill-Rom Holdings Inc | 1,390 | 135 | ||||||||||
Horizon Pharma Plc * | 31,612 | 668 | ||||||||||
Humana Inc | 1,039 | 346 | ||||||||||
ICU Medical * | 171 | 52 | ||||||||||
IDEXX Laboratories Inc * | 489 | 124 | ||||||||||
Immunomedics * | 3,964 | 106 | ||||||||||
Incyte Corp * | 2,587 | 191 | ||||||||||
Inogen Inc * | 539 | 143 | ||||||||||
Inspire Medical Systems * | 1,883 | 104 | ||||||||||
Insulet * | 584 | 61 | ||||||||||
Integer Holdings * | 774 | 62 | ||||||||||
Intuitive Surgical * | 361 | 202 | ||||||||||
Ionis Pharmaceuticals Inc * | 1,893 | 86 | ||||||||||
IQVIA Holdings Inc * | 8,036 | 1,021 | ||||||||||
iRhythm Technologies Inc * | 1,620 | 151 | ||||||||||
Laboratory Corp of America Holdings * | 513 | 89 | ||||||||||
Lannett Co Inc * | 54,248 | 290 | ||||||||||
LHC Group * | 1,502 | 149 | ||||||||||
Loxo Oncology Inc * | 899 | 152 | ||||||||||
Madrigal Pharmaceuticals Inc * | 459 | 110 | ||||||||||
McKesson Corp | 998 | 128 | ||||||||||
Medpace Holdings * | 1,928 | 115 | ||||||||||
Mettler-Toledo International Inc * | 1,525 | 891 | ||||||||||
Mirati Therapeutics * | 1,760 | 100 | ||||||||||
Molina Healthcare Inc * | 616 | 85 | ||||||||||
Myriad Genetics * | 3,779 | 188 | ||||||||||
Natera * | 6,243 | 173 | ||||||||||
Nektar Therapeutics, Cl A * | 1,918 | 128 | ||||||||||
Neurocrine Biosciences Inc * | 1,611 | 198 | ||||||||||
Novocure Ltd * | 1,724 | 78 | ||||||||||
Penumbra Inc * | 579 | 80 | ||||||||||
Portola Pharmaceuticals Inc * | 7,757 | 232 | ||||||||||
PRA Health Sciences * | 5,320 | 562 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
Quality Systems * | 6,640 | $ | 152 | |||||||||
Quest Diagnostics Inc | 3,247 | 357 | ||||||||||
Reata Pharmaceuticals, Cl A * | 888 | 77 | ||||||||||
Regeneron Pharmaceuticals Inc * | 1,298 | 528 | ||||||||||
ResMed Inc | 3,431 | 382 | ||||||||||
Sage Therapeutics * | 342 | 56 | ||||||||||
Sarepta Therapeutics Inc * | 1,271 | 175 | ||||||||||
Seattle Genetics Inc * | 1,982 | 152 | ||||||||||
Sientra * | 5,764 | 145 | ||||||||||
STAAR Surgical Co * | 1,949 | 93 | ||||||||||
Stryker | 3,042 | 515 | ||||||||||
Tabula Rasa HealthCare Inc * | 1,163 | 102 | ||||||||||
Tactile Systems Technology Inc * | 1,759 | 119 | ||||||||||
Tandem Diabetes Care Inc * | 2,579 | 118 | ||||||||||
Teladoc Inc * | 1,118 | 87 | ||||||||||
Teleflex Inc | 473 | 117 | ||||||||||
TESARO Inc * | 567 | 18 | ||||||||||
United Therapeutics Corp * | 1,461 | 180 | ||||||||||
Varian Medical Systems Inc * | 2,718 | 304 | ||||||||||
Verastem * | 14,508 | 144 | ||||||||||
Vertex Pharmaceuticals Inc * | 6,475 | 1,194 | ||||||||||
ViewRay * | 4,243 | 43 | ||||||||||
Viking Therapeutics * | 10,628 | 139 | ||||||||||
Waters Corp * | 4,931 | 934 | ||||||||||
WellCare Health Plans Inc * | 480 | 145 | ||||||||||
West Pharmaceutical Services Inc | 999 | 117 | ||||||||||
Zimmer Biomet Holdings Inc | 4,403 | 544 | ||||||||||
Zoetis Inc, Cl A | 15,209 | 1,378 | ||||||||||
Zogenix Inc * | 2,841 | 137 | ||||||||||
30,279 | ||||||||||||
Industrials — 7.2% | ||||||||||||
3M Co | 8,524 | 1,798 | ||||||||||
ACCO Brands Corp | 15,434 | 191 | ||||||||||
Aegion Corp, Cl A * | 6,978 | 174 | ||||||||||
AGCO Corp | 1,432 | 85 | ||||||||||
American Airlines Group Inc | 13,627 | 552 | ||||||||||
Apogee Enterprises Inc | 8,499 | 418 | ||||||||||
ASGN Inc * | 3,221 | 298 | ||||||||||
Atlas Air Worldwide Holdings Inc * | 9,475 | 577 | ||||||||||
Caterpillar Inc | 2,246 | 312 | ||||||||||
Clean Harbors Inc * | 3,483 | 239 | ||||||||||
CoStar Group Inc * | 1,375 | 608 | ||||||||||
CSX Corp | 1,508 | 112 | ||||||||||
Cummins Inc | 2,003 | 284 | ||||||||||
Deere & Co | 1,750 | 252 | ||||||||||
Delta Air Lines Inc | 16,527 | 966 | ||||||||||
Dover Corp | 1,366 | 117 | ||||||||||
Dun & Bradstreet Corp/The | 1,213 | 173 | ||||||||||
Eaton Corp PLC | 6,883 | 572 | ||||||||||
Equifax Inc | 3,663 | 491 | ||||||||||
FedEx Corp | 1,376 | 336 | ||||||||||
Flowserve Corp | 1,306 | 68 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Equity Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
ICF International | 689 | $ | 56 | |||||||||
Illinois Tool Works Inc | 13,107 | 1,820 | ||||||||||
Ingersoll-Rand PLC | 3,915 | 397 | ||||||||||
Insteel Industries Inc | 13,091 | 502 | ||||||||||
JetBlue Airways Corp * | 12,355 | 236 | ||||||||||
Johnson Controls International PLC | 8,766 | 331 | ||||||||||
LB Foster Co, Cl A * | 3,821 | 87 | ||||||||||
Lydall Inc * | 3,331 | 143 | ||||||||||
Macquarie Infrastructure Corp | 7,210 | 339 | ||||||||||
Magna International Inc | 16,386 | 887 | ||||||||||
ManpowerGroup Inc | 1,548 | 145 | ||||||||||
Nielsen Holdings PLC | 2,443 | 64 | ||||||||||
Oshkosh Corp | 1,303 | 92 | ||||||||||
Owens Corning | 2,456 | 139 | ||||||||||
Parker-Hannifin Corp | 356 | 62 | ||||||||||
PGT Innovations * | 2,376 | 58 | ||||||||||
Rockwell Automation Inc | 1,703 | 308 | ||||||||||
Rockwell Collins Inc | 3,244 | 441 | ||||||||||
Southwest Airlines Co | 1,122 | 69 | ||||||||||
Spirit AeroSystems Holdings Inc, Cl A | 2,040 | 174 | ||||||||||
Stanley Black & Decker Inc | 440 | 62 | ||||||||||
TransDigm Group Inc * | 1,029 | 360 | ||||||||||
Trinity Industries Inc | 4,975 | 178 | ||||||||||
United Continental Holdings Inc * | 9,389 | 821 | ||||||||||
United Parcel Service Inc, Cl B | 967 | 119 | ||||||||||
Univar Inc * | 4,706 | 131 | ||||||||||
Vicor Corp * | 1,291 | 81 | ||||||||||
Waste Management Inc | 1,893 | 172 | ||||||||||
WESCO International Inc * | 1,999 | 122 | ||||||||||
WW Grainger Inc | 5,684 | 2,013 | ||||||||||
Xylem Inc/NY | 7,036 | 534 | ||||||||||
19,566 | ||||||||||||
Information Technology — 13.5% | ||||||||||||
Accenture PLC, Cl A | 4,534 | 767 | ||||||||||
Activision Blizzard Inc | 6,461 | 466 | ||||||||||
Adobe Systems Inc * | 5,719 | 1,507 | ||||||||||
Alliance Data Systems Corp | 479 | 114 | ||||||||||
Alphabet Inc, Cl A * | 2,076 | 2,557 | ||||||||||
Alphabet Inc, Cl C * | 600 | 731 | ||||||||||
Alteryx, Cl A * | 1,311 | 76 | ||||||||||
Analog Devices Inc | 1,648 | 163 | ||||||||||
Apple Inc | 7,779 | 1,771 | ||||||||||
Applied Materials Inc | 2,930 | 126 | ||||||||||
Autodesk Inc * | 5,152 | 795 | ||||||||||
Automatic Data Processing Inc | 14,349 | 2,106 | ||||||||||
Broadcom Inc | 1,187 | 260 | ||||||||||
CA Inc | 3,448 | 151 | ||||||||||
Carbonite Inc * | 2,011 | 84 | ||||||||||
Cisco Systems Inc | 39,818 | 1,902 | ||||||||||
Cognizant Technology Solutions, Cl A | 621 | 49 | ||||||||||
Comtech Telecommunications Corp | 1,645 | 59 | ||||||||||
Dell Technologies Inc Class V, Cl V * | 1,724 | 166 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
DXC Technology Co | 691 | $ | 63 | |||||||||
eBay Inc * | 5,606 | 194 | ||||||||||
Electronic Arts Inc * | 4,766 | 540 | ||||||||||
Etsy Inc * | 1,701 | 83 | ||||||||||
Everbridge Inc * | 1,155 | 70 | ||||||||||
Facebook Inc, Cl A * | 9,407 | 1,653 | ||||||||||
Finisar Corp * | 14,386 | 293 | ||||||||||
First Data Corp, Cl A * | 33,438 | 860 | ||||||||||
Five9 Inc * | 1,640 | 79 | ||||||||||
Glu Mobile Inc * | 10,693 | 82 | ||||||||||
Hewlett Packard Enterprise Co | 9,157 | 151 | ||||||||||
HP Inc | 9,550 | 235 | ||||||||||
Integrated Device Technology Inc * | 15,157 | 644 | ||||||||||
Intel Corp | 10,226 | 495 | ||||||||||
Intuit Inc | 1,960 | 430 | ||||||||||
Keysight Technologies Inc * | 1,487 | 96 | ||||||||||
Lam Research Corp | 307 | 53 | ||||||||||
LivePerson * | 2,145 | 58 | ||||||||||
Mastercard Inc, Cl A | 6,632 | 1,430 | ||||||||||
Microchip Technology Inc | 17,520 | 1,507 | ||||||||||
Micron Technology Inc * | 24,229 | 1,272 | ||||||||||
Microsoft Corp | 40,048 | 4,499 | ||||||||||
MongoDB Inc, Cl A * | 1,172 | 84 | ||||||||||
NCR * | 6,852 | 195 | ||||||||||
NetApp Inc | 980 | 85 | ||||||||||
NVIDIA Corp | 3,244 | 911 | ||||||||||
Oracle Corp | 11,105 | 539 | ||||||||||
PayPal Holdings Inc * | 7,436 | 687 | ||||||||||
QUALCOMM Inc | 2,930 | 201 | ||||||||||
Rapid7 Inc * | 1,734 | 66 | ||||||||||
SailPoint Technologies Holding Inc * | 2,946 | 91 | ||||||||||
salesforce.com Inc * | 5,151 | 786 | ||||||||||
Super Micro Computer Inc * | 23,585 | 484 | ||||||||||
Symantec Corp | 5,916 | 119 | ||||||||||
Texas Instruments Inc | 3,151 | 354 | ||||||||||
Trade Desk, Cl A * | 647 | 92 | ||||||||||
Twilio Inc, Cl A * | 930 | 75 | ||||||||||
Twitter * | 1,144 | 40 | ||||||||||
USA Technologies Inc * | 4,384 | 71 | ||||||||||
Visa Inc, Cl A | 18,038 | 2,650 | ||||||||||
Workday Inc, Cl A * | 795 | 123 | ||||||||||
Yext * | 2,586 | 64 | ||||||||||
36,354 | ||||||||||||
Materials — 2.3% | ||||||||||||
Air Products & Chemicals Inc | 2,798 | 465 | ||||||||||
Alcoa Corp * | 1,923 | 86 | ||||||||||
Avery Dennison Corp | 2,207 | 232 | ||||||||||
Ball Corp | 8,749 | 366 | ||||||||||
Cabot Corp | 883 | 57 | ||||||||||
Commercial Metals Co | 13,088 | 283 | ||||||||||
Crown Holdings Inc * | 6,623 | 284 | ||||||||||
DowDuPont Inc | 17,471 | 1,225 |
4 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) | ||||||||||||
Eastman Chemical Co | 4,922 | $ | 478 | |||||||||
Ecolab Inc | 466 | 70 | ||||||||||
FMC Corp | 1,027 | 88 | ||||||||||
Freeport-McMoRan | 2,897 | 41 | ||||||||||
International Flavors & Fragrances Inc | 708 | 92 | ||||||||||
Newmont Mining Corp | 2,829 | 88 | ||||||||||
Owens-Illinois Inc * | 8,498 | 150 | ||||||||||
Praxair Inc | 3,645 | 577 | ||||||||||
Reliance Steel & Aluminum Co | 6,051 | 532 | ||||||||||
Sherwin-Williams Co/The | 865 | 394 | ||||||||||
Sonoco Products Co | 6,077 | 341 | ||||||||||
Vulcan Materials Co | 2,699 | 299 | ||||||||||
6,148 | ||||||||||||
Real Estate — 0.8% | ||||||||||||
American Campus Communities Inc | 2,372 | 99 | ||||||||||
AvalonBay Communities Inc | 909 | 167 | ||||||||||
Corporate Office Properties Trust | 6,430 | 198 | ||||||||||
Forest City Realty Trust Inc, Cl A * | 4,178 | 105 | ||||||||||
Host Hotels & Resorts Inc | 11,361 | 245 | ||||||||||
Prologis Inc | 8,375 | 563 | ||||||||||
SBA Communications Corp, Cl A * | 2,537 | 394 | ||||||||||
Welltower Inc | 775 | 52 | ||||||||||
Weyerhaeuser Co | 7,943 | 276 | ||||||||||
2,099 | ||||||||||||
Telecommunication Services — 0.8% | ||||||||||||
AT&T Inc | 48,128 | 1,537 | ||||||||||
Iridium Communications * | 3,058 | 62 | ||||||||||
Verizon Communications Inc | 11,360 | 618 | ||||||||||
2,217 | ||||||||||||
Utilities — 0.7% | ||||||||||||
American Water Works Co Inc | 950 | 83 | ||||||||||
CMS Energy Corp | 7,687 | 378 | ||||||||||
DTE Energy Co | 4,961 | 551 | ||||||||||
Duke Energy | 633 | 51 | ||||||||||
Eversource Energy | 2,451 | 153 | ||||||||||
Exelon Corp | 3,510 | 153 | ||||||||||
NextEra Energy | 300 | 51 | ||||||||||
PG&E Corp * | 1,952 | 90 | ||||||||||
Xcel Energy Inc | 6,735 | 324 | ||||||||||
1,834 | ||||||||||||
Total Common Stock | 195,436 | |||||||||||
FOREIGN COMMON STOCK — 22.8% | ||||||||||||
Argentina — 0.2% | ||||||||||||
MercadoLibre Inc * | 1,856 | 635 | ||||||||||
Australia — 0.4% | ||||||||||||
BHP Billiton Ltd ADR | 22,006 | 1,057 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
FOREIGN COMMON STOCK (continued) |
| |||||||||||
South32 ADR | 7,863 | $ | 98 | |||||||||
1,155 | ||||||||||||
Austria — 1.1% | ||||||||||||
Erste Group Bank AG * | 23,527 | 938 | ||||||||||
Schoeller-Bleckmann Oilfield Equipment AG | 8,357 | 906 | ||||||||||
voestalpine AG | 23,448 | 1,054 | ||||||||||
2,898 | ||||||||||||
Bermuda — 0.0% | ||||||||||||
XL Group | 894 | 51 | ||||||||||
Brazil — 0.5% | ||||||||||||
Banco Bradesco SA ADR * | 114,933 | 798 | ||||||||||
JBS SA | 246,700 | 561 | ||||||||||
1,359 | ||||||||||||
Canada — 1.8% | ||||||||||||
Canadian Natural Resources Ltd | 60,895 | 2,081 | ||||||||||
Magna International Inc | 17,257 | 935 | ||||||||||
Rogers Communications Inc, Cl B | 9,788 | 507 | ||||||||||
Tencent Holdings Ltd ADR | 30,700 | 1,324 | ||||||||||
4,847 | ||||||||||||
China — 0.6% | ||||||||||||
Anhui Conch Cement Co Ltd, Cl H | 176,500 | 1,075 | ||||||||||
BYD Co Ltd, Cl H | 77,000 | 458 | ||||||||||
1,533 | ||||||||||||
Colombia — 0.4% | ||||||||||||
Bancolombia SA ADR | 23,707 | 1,028 | ||||||||||
Czech Republic — 0.2% | ||||||||||||
Komercni banka as | 14,103 | 590 | ||||||||||
France — 1.5% | ||||||||||||
BNP Paribas SA ADR | 26,408 | 774 | ||||||||||
Capgemini | 6,036 | 778 | ||||||||||
Publicis Groupe SA | 14,716 | 947 | ||||||||||
Societe Generale SA | 19,099 | 783 | ||||||||||
Sodexo SA | 9,067 | 946 | ||||||||||
4,228 | ||||||||||||
Germany — 0.8% | ||||||||||||
BASF SE | 8,214 | 761 | ||||||||||
Continental AG | 5,448 | 1,002 | ||||||||||
Vonovia | 10,209 | 525 | ||||||||||
2,288 | ||||||||||||
Hong Kong — 0.3% | ||||||||||||
China Life Insurance Co Ltd, Cl H | 362,000 | 818 | ||||||||||
India — 1.0% | ||||||||||||
HDFC Bank Ltd ADR | 14,583 | 1,477 | ||||||||||
ICICI Bank Ltd ADR | 126,050 | 1,214 | ||||||||||
2,691 | ||||||||||||
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 5 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Equity Fund (Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||||||
FOREIGN COMMON STOCK (continued) |
| |||||||||||
Indonesia — 0.2% | ||||||||||||
Indofood Sukses Makmur Tbk PT | 990,200 | $ | 429 | |||||||||
Ireland — 2.1% | ||||||||||||
AerCap Holdings NV * | 20,708 | 1,180 | ||||||||||
ICON PLC * | 18,040 | 2,688 | ||||||||||
Jazz Pharmaceuticals PLC * | 4,948 | 846 | ||||||||||
Medtronic PLC | 11,890 | 1,146 | ||||||||||
5,860 | ||||||||||||
Israel — 0.3% | ||||||||||||
Check Point Software Technologies Ltd * | 7,506 | 872 | ||||||||||
Italy — 0.3% | ||||||||||||
Prysmian SpA | 37,027 | 957 | ||||||||||
Japan — 1.3% | ||||||||||||
Denso Corp | 29,900 | 1,444 | ||||||||||
Hitachi Ltd | 155,000 | 1,014 | ||||||||||
Toray Industries Inc | 146,500 | 1,102 | ||||||||||
3,560 | ||||||||||||
Mexico — 0.3% | ||||||||||||
Grupo Financiero Banorte SAB de CV, Cl O | 132,200 | 901 | ||||||||||
Netherlands — 2.5% | ||||||||||||
ASML Holding NV, Cl G | 3,665 | 751 | ||||||||||
Heineken NV | 11,378 | 1,127 | ||||||||||
QIAGEN NV * | 19,876 | 775 | ||||||||||
RELX NV | 56,789 | 1,261 | ||||||||||
Royal Dutch Shell PLC, Cl A | 26,915 | 876 | ||||||||||
Royal Dutch Shell PLC ADR, Cl A | 33,083 | 2,158 | ||||||||||
6,948 | ||||||||||||
Norway — 0.7% | ||||||||||||
DNB ASA | 93,009 | 1,900 | ||||||||||
Puerto Rico — 0.3% | ||||||||||||
OFG Bancorp | 50,666 | 821 | ||||||||||
Singapore — 0.5% | ||||||||||||
DBS Group Holdings Ltd | 67,900 | 1,237 | ||||||||||
South Korea — 0.7% | ||||||||||||
Hyundai Mobis Co Ltd | 3,461 | 696 | ||||||||||
Samsung Electronics Co Ltd | 25,729 | 1,120 | ||||||||||
1,816 | ||||||||||||
Spain — 0.7% | ||||||||||||
Amadeus IT Group SA, Cl A | 20,061 | 1,865 | ||||||||||
Switzerland — 0.5% | ||||||||||||
Credit Suisse Group AG ADR | 99,750 | 1,491 | ||||||||||
Taiwan — 1.2% | ||||||||||||
ASE Industrial Holding Co Ltd | 369,700 | 906 | ||||||||||
Hon Hai Precision Industry Co Ltd | 391,200 | 1,025 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
FOREIGN COMMON STOCK (continued) | ||||||||||||
Taiwan Semiconductor Manufacturing Co Ltd | 169,000 | $ | 1,409 | |||||||||
3,340 | ||||||||||||
United Kingdom — 2.4% | ||||||||||||
Barclays PLC | 395,354 | 903 | ||||||||||
BP PLC ADR | 41,746 | 1,790 | ||||||||||
Diageo PLC | 37,107 | 1,300 | ||||||||||
HSBC Holdings PLC | 109,220 | 950 | ||||||||||
ITV PLC | 225,675 | 471 | ||||||||||
Rio Tinto PLC ADR | 20,765 | 997 | ||||||||||
STERIS PLC | 1,076 | 123 | ||||||||||
6,534 | ||||||||||||
Total Foreign Common Stock (Cost $53,890) ($ Thousands) | 62,652 | |||||||||||
CASH EQUIVALENT — 4.3% | ||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||||||
1.750%**† | 11,931,205 | 11,931 | ||||||||||
Total Cash Equivalent | 11,931 | |||||||||||
Total Investments in Securities — 98.2% | $ | 270,019 | ||||||||||
6 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
A list of the open futures contracts held by the Fund at August 31, 2018, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Thousands) | |||||||||||||||
Russell 2000 Index E-MINI | 7 | Sep-2018 | $ | 591 | $ | 609 | $ | 18 | ||||||||||||
S&P 500 Index E-MINI | 22 | Sep-2018 | 3,059 | 3,192 | 133 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 3,650 | $ | 3,801 | $ | 151 | |||||||||||||||
|
|
|
|
|
|
Percentages are based on Net Assets of $275,035 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of August 31, 2018. |
† | Investment in Affiliated Security (see Note 2). |
(A) | Security is a Master Limited Partnership. At August 31, 2018, such securities amounted to $1,268 ($ Thousands), or 0.5% of the net assets of the Fund (See Note 2). |
ADR — American Depositary Receipt
Cl — Class
LP — Limited Partnership
Ltd — Limited Company
PLC — Public Limited Company
S&P— Standard & Poor’s
Ser — Series
As of August 31, 2018, all of the Fund’s investments were considered level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended August 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended August 31, 2018, there were no transfers between Level 2 and Level 3 assets and liabilities. For the period ended August 31, 2018, there were no Level 3 securities.
The following is a summary of the Fund’s transactions with affiliates for the period ended August 31, 2018 ($ Thousands):
Security Description | Value 2/28/18 | Purchases at Cost | Proceeds from Sales | Value 8/31/2018 | Dividend Income | |||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | 5,748 | $ | 17,707 | $ | (11,524 | ) | $ | 11,931 | $ | 65 | |||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 7 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund
Sector Weightings†
† Percentages based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS — 30.9% |
| |||||||||||
Consumer Discretionary — 2.9% |
| |||||||||||
1011778 BC ULC / New Red Finance | ||||||||||||
5.000%, 10/15/2025 (A) | $ | 20 | $ | 19 | ||||||||
Amazon.com | ||||||||||||
4.950%, 12/05/2044 | 30 | 34 | ||||||||||
4.050%, 08/22/2047 | 30 | 30 | ||||||||||
3.875%, 08/22/2037 | 68 | 67 | ||||||||||
3.150%, 08/22/2027 | 50 | 48 | ||||||||||
American Axle & Manufacturing | ||||||||||||
6.625%, 10/15/2022 | 8 | 8 | ||||||||||
BMW US Capital | ||||||||||||
1.850%, 09/15/2021 (A) | 10 | 10 | ||||||||||
CCO Holdings | ||||||||||||
5.125%, 05/01/2027 (A) | 80 | 76 | ||||||||||
5.000%, 02/01/2028 (A) | 30 | 28 | ||||||||||
Charter Communications Operating | ||||||||||||
6.484%, 10/23/2045 | 102 | 109 | ||||||||||
6.384%, 10/23/2035 | 390 | 418 | ||||||||||
5.375%, 04/01/2038 | 20 | 19 | ||||||||||
4.200%, 03/15/2028 | 110 | 105 | ||||||||||
3.579%, 07/23/2020 | 50 | 50 | ||||||||||
Comcast | ||||||||||||
6.400%, 05/15/2038 | 170 | 206 | ||||||||||
4.049%, 11/01/2052 | 210 | 187 | ||||||||||
3.900%, 03/01/2038 | 40 | 37 | ||||||||||
3.375%, 08/15/2025 | 140 | 136 | ||||||||||
Comcast Cable Communications Holdings | ||||||||||||
9.455%, 11/15/2022 | 270 | 332 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Cox Communications | ||||||||||||
3.350%, 09/15/2026 (A) | $ | 231 | $ | 217 | ||||||||
3.250%, 12/15/2022 (A) | 385 | 375 | ||||||||||
Daimler Finance North America | ||||||||||||
2.700%, 08/03/2020 (A) | 180 | 178 | ||||||||||
2.200%, 10/30/2021 (A) | 251 | 241 | ||||||||||
Ford Motor | ||||||||||||
4.750%, 01/15/2043 | 40 | 33 | ||||||||||
General Motors | ||||||||||||
6.250%, 10/02/2043 | 50 | 52 | ||||||||||
5.150%, 04/01/2038 | 20 | 19 | ||||||||||
General Motors Financial | ||||||||||||
4.150%, 06/19/2023 | 545 | 544 | ||||||||||
3.450%, 04/10/2022 | 10 | 10 | ||||||||||
2.450%, 11/06/2020 | 20 | 19 | ||||||||||
Hanesbrands | ||||||||||||
4.875%, 05/15/2026 (A) | 20 | 19 | ||||||||||
Hilton Domestic Operating | ||||||||||||
5.125%, 05/01/2026 (A) | 10 | 10 | ||||||||||
Hilton Worldwide Finance | ||||||||||||
4.875%, 04/01/2027 | 50 | 49 | ||||||||||
Lennar | ||||||||||||
5.000%, 06/15/2027 | 10 | 10 | ||||||||||
4.750%, 11/29/2027 | 20 | 19 | ||||||||||
4.500%, 04/30/2024 | 20 | 19 | ||||||||||
McDonald’s MTN | ||||||||||||
3.500%, 03/01/2027 | 100 | 98 | ||||||||||
Myriad International Holdings BV | ||||||||||||
4.850%, 07/06/2027 (A) | 200 | 197 | ||||||||||
Sands China | ||||||||||||
5.125%, 08/08/2025 (A) | 200 | 202 | ||||||||||
Time Warner | ||||||||||||
4.750%, 03/29/2021 | 80 | 82 | ||||||||||
3.600%, 07/15/2025 | 135 | 130 | ||||||||||
Time Warner Cable | ||||||||||||
7.300%, 07/01/2038 | 90 | 105 | ||||||||||
5.875%, 11/15/2040 | 30 | 30 | ||||||||||
Toll Brothers Finance | ||||||||||||
4.375%, 04/15/2023 | 20 | 20 | ||||||||||
VOC Escrow | ||||||||||||
5.000%, 02/15/2028 (A) | 30 | 29 | ||||||||||
4,626 | ||||||||||||
Consumer Staples — 2.3% |
| |||||||||||
Altria Group | ||||||||||||
4.750%, 05/05/2021 | 50 | 52 | ||||||||||
2.850%, 08/09/2022 | 20 | 20 | ||||||||||
Anheuser-Busch InBev Finance | ||||||||||||
4.900%, 02/01/2046 | 399 | 409 | ||||||||||
3.650%, 02/01/2026 | 60 | 59 | ||||||||||
3.300%, 02/01/2023 | 130 | 129 | ||||||||||
2.650%, 02/01/2021 | 30 | 30 |
8 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Anheuser-Busch InBev Worldwide | ||||||||||||
4.000%, 04/13/2028 | $ | 60 | $ | 60 | ||||||||
3.500%, 01/12/2024 | 100 | 100 | ||||||||||
2.500%, 07/15/2022 | 60 | 58 | ||||||||||
BAT Capital | ||||||||||||
4.540%, 08/15/2047 (A) | 110 | 102 | ||||||||||
3.557%, 08/15/2027 (A) | 250 | 234 | ||||||||||
Constellation Brands | ||||||||||||
4.750%, 11/15/2024 | 80 | 83 | ||||||||||
Cott Holdings | ||||||||||||
5.500%, 04/01/2025 (A) | 20 | 20 | ||||||||||
CVS Health | ||||||||||||
5.125%, 07/20/2045 | 60 | 61 | ||||||||||
3.875%, 07/20/2025 | 18 | 18 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507%, 01/10/2032 (A) | 431 | 504 | ||||||||||
6.036%, 12/10/2028 | 241 | 258 | ||||||||||
Danone | ||||||||||||
2.077%, 11/02/2021 (A) | 200 | 192 | ||||||||||
Diageo Capital | ||||||||||||
4.828%, 07/15/2020 | 110 | 113 | ||||||||||
Kraft Heinz Foods | ||||||||||||
5.375%, 02/10/2020 | 30 | 31 | ||||||||||
4.375%, 06/01/2046 | 20 | 18 | ||||||||||
3.950%, 07/15/2025 | 320 | 315 | ||||||||||
3.000%, 06/01/2026 | 20 | 18 | ||||||||||
Kroger | ||||||||||||
4.000%, 02/01/2024 | 407 | 411 | ||||||||||
Lamb Weston Holdings | ||||||||||||
4.875%, 11/01/2026 (A) | 20 | 20 | ||||||||||
PepsiCo | ||||||||||||
4.600%, 07/17/2045 | 40 | 43 | ||||||||||
Philip Morris International | ||||||||||||
2.900%, 11/15/2021 | 10 | 10 | ||||||||||
2.500%, 08/22/2022 | 50 | 49 | ||||||||||
2.500%, 11/02/2022 | 50 | 48 | ||||||||||
1.875%, 11/01/2019 | 70 | 69 | ||||||||||
Reynolds American | ||||||||||||
5.850%, 08/15/2045 | 20 | 22 | ||||||||||
3.250%, 06/12/2020 | 11 | 11 | ||||||||||
Spectrum Brands | ||||||||||||
6.625%, 11/15/2022 | 20 | 20 | ||||||||||
Walgreens Boots Alliance | ||||||||||||
3.450%, 06/01/2026 | 40 | 38 | ||||||||||
Wm Wrigley Jr | ||||||||||||
3.375%, 10/21/2020 (A) | 30 | 30 | ||||||||||
3,655 | ||||||||||||
Energy — 3.8% |
| |||||||||||
Anadarko Finance | ||||||||||||
7.500%, 05/01/2031 | 60 | 75 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Anadarko Petroleum | ||||||||||||
6.200%, 03/15/2040 | $ | 75 | $ | 85 | ||||||||
4.850%, 03/15/2021 | 20 | 20 | ||||||||||
4.814%, 10/10/2036 (B) | 1,000 | 431 | ||||||||||
Apache | ||||||||||||
4.250%, 01/15/2044 | 150 | 134 | ||||||||||
BP Capital Markets | ||||||||||||
3.588%, 04/14/2027 | 10 | 10 | ||||||||||
3.535%, 11/04/2024 | 10 | 10 | ||||||||||
3.506%, 03/17/2025 | 100 | 100 | ||||||||||
3.216%, 11/28/2023 | 200 | 198 | ||||||||||
Cheniere Corpus Christi Holdings | ||||||||||||
5.125%, 06/30/2027 | 20 | 20 | ||||||||||
Chesapeake Energy | ||||||||||||
8.000%, 12/15/2022 (A) | 8 | 8 | ||||||||||
5.750%, 03/15/2023 | 10 | 10 | ||||||||||
Chevron | ||||||||||||
2.954%, 05/16/2026 | 30 | 29 | ||||||||||
Cimarex Energy | ||||||||||||
3.900%, 05/15/2027 | 50 | 48 | ||||||||||
Concho Resources | ||||||||||||
4.300%, 08/15/2028 | 255 | 255 | ||||||||||
3.750%, 10/01/2027 | 10 | 9 | ||||||||||
Continental Resources | ||||||||||||
4.375%, 01/15/2028 | 10 | 10 | ||||||||||
Devon Energy | ||||||||||||
5.850%, 12/15/2025 | 30 | 33 | ||||||||||
5.600%, 07/15/2041 | 50 | 54 | ||||||||||
5.000%, 06/15/2045 | 50 | 50 | ||||||||||
3.250%, 05/15/2022 | 20 | 20 | ||||||||||
Diamondback Energy | ||||||||||||
5.375%, 05/31/2025 | 10 | 10 | ||||||||||
Ecopetrol | ||||||||||||
5.875%, 05/28/2045 | 100 | 99 | ||||||||||
Energy Transfer Partners | ||||||||||||
4.950%, 06/15/2028 | 10 | 10 | ||||||||||
Enterprise Products Operating | ||||||||||||
4.050%, 02/15/2022 | 123 | 126 | ||||||||||
EOG Resources | ||||||||||||
4.150%, 01/15/2026 | 20 | 21 | ||||||||||
ExxonMobil | ||||||||||||
4.114%, 03/01/2046 | 70 | 72 | ||||||||||
3.043%, 03/01/2026 | 40 | 39 | ||||||||||
Halliburton | ||||||||||||
5.000%, 11/15/2045 | 40 | 43 | ||||||||||
3.800%, 11/15/2025 | 50 | 50 | ||||||||||
Kerr-McGee | ||||||||||||
7.875%, 09/15/2031 | 10 | 13 | ||||||||||
6.950%, 07/01/2024 | 10 | 11 | ||||||||||
Kinder Morgan | ||||||||||||
5.300%, 12/01/2034 | 20 | 20 | ||||||||||
4.300%, 03/01/2028 | 20 | 20 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Kinder Morgan Energy Partners | ||||||||||||
4.250%, 09/01/2024 | $ | 40 | $ | 40 | ||||||||
4.150%, 02/01/2024 | 400 | 405 | ||||||||||
3.500%, 03/01/2021 | 20 | 20 | ||||||||||
3.500%, 09/01/2023 | 30 | 30 | ||||||||||
MPLX | ||||||||||||
4.875%, 06/01/2025 | 110 | 114 | ||||||||||
4.700%, 04/15/2048 | 60 | 56 | ||||||||||
Noble Energy | ||||||||||||
5.250%, 11/15/2043 | 10 | 10 | ||||||||||
4.950%, 08/15/2047 | 10 | 10 | ||||||||||
4.150%, 12/15/2021 | 50 | 51 | ||||||||||
3.850%, 01/15/2028 | 30 | 28 | ||||||||||
Oasis Petroleum | ||||||||||||
6.875%, 03/15/2022 | 19 | 19 | ||||||||||
Occidental Petroleum | ||||||||||||
4.625%, 06/15/2045 | 20 | 21 | ||||||||||
4.400%, 04/15/2046 | 10 | 10 | ||||||||||
4.100%, 02/15/2047 | 60 | 59 | ||||||||||
3.400%, 04/15/2026 | 20 | 20 | ||||||||||
3.125%, 02/15/2022 | 19 | 19 | ||||||||||
3.000%, 02/15/2027 | 20 | 19 | ||||||||||
Petrobras Global Finance BV | ||||||||||||
7.375%, 01/17/2027 | 210 | 208 | ||||||||||
6.850%, 06/05/2115 | 50 | 41 | ||||||||||
5.750%, 02/01/2029 | 50 | 44 | ||||||||||
5.299%, 01/27/2025 (A) | 305 | 280 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.625%, 06/15/2035 | 100 | 97 | ||||||||||
Petroleos Mexicanos MTN | ||||||||||||
6.875%, 08/04/2026 | 20 | 21 | ||||||||||
Phillips 66 Partners | ||||||||||||
3.605%, 02/15/2025 | 300 | 290 | ||||||||||
3.550%, 10/01/2026 | 232 | 221 | ||||||||||
Range Resources | ||||||||||||
5.875%, 07/01/2022 | 10 | 10 | ||||||||||
4.875%, 05/15/2025 | 30 | 29 | ||||||||||
Schlumberger Holdings | ||||||||||||
4.000%, 12/21/2025 (A) | 30 | 30 | ||||||||||
3.000%, 12/21/2020 (A) | 468 | 467 | ||||||||||
Shell International Finance BV | ||||||||||||
4.375%, 05/11/2045 | 50 | 52 | ||||||||||
4.000%, 05/10/2046 | 50 | 49 | ||||||||||
2.875%, 05/10/2026 | 80 | 77 | ||||||||||
Sinopec Group Overseas Development | ||||||||||||
4.375%, 04/10/2024 (A) | 200 | 205 | ||||||||||
Sunoco Logistics Partners Operations | ||||||||||||
3.450%, 01/15/2023 | 381 | 373 | ||||||||||
Targa Resources Partners | ||||||||||||
5.875%, 04/15/2026 (A) | 10 | 10 | ||||||||||
5.375%, 02/01/2027 | 10 | 10 | ||||||||||
4.250%, 11/15/2023 | 10 | 10 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Transocean Pontus | ||||||||||||
6.125%, 08/01/2025 (A) | $ | 14 | $ | 14 | ||||||||
Valero Energy | ||||||||||||
6.125%, 02/01/2020 | 74 | 77 | ||||||||||
Whiting Petroleum | ||||||||||||
6.625%, 01/15/2026 | 10 | 10 | ||||||||||
Williams | ||||||||||||
7.875%, 09/01/2021 | 30 | 33 | ||||||||||
7.750%, 06/15/2031 | 140 | 172 | ||||||||||
7.500%, 01/15/2031 | 10 | 12 | ||||||||||
3.700%, 01/15/2023 | 20 | 20 | ||||||||||
Williams Partners | ||||||||||||
5.250%, 03/15/2020 | 20 | 21 | ||||||||||
WPX Energy | ||||||||||||
8.250%, 08/01/2023 | 30 | 34 | ||||||||||
5,991 | ||||||||||||
Financials — 10.9% |
| |||||||||||
AIA Group MTN | ||||||||||||
3.200%, 03/11/2025 (A) | 200 | 192 | ||||||||||
Ally Financial | ||||||||||||
8.000%, 11/01/2031 | 50 | 61 | ||||||||||
Ambac Assurance | ||||||||||||
5.100%, 06/07/2020 (A) | – | 1 | ||||||||||
Ambac LSNI | ||||||||||||
7.337%, VAR ICE LIBOR USD 3 Month+5.000%, 02/12/2023 (A) | 2 | 2 | ||||||||||
American Express | ||||||||||||
3.400%, 02/27/2023 | 412 | 409 | ||||||||||
2.650%, 12/02/2022 | 140 | 135 | ||||||||||
American Express Credit MTN | ||||||||||||
2.375%, 05/26/2020 | 40 | 40 | ||||||||||
1.875%, 05/03/2019 | 209 | 208 | ||||||||||
American International Group | ||||||||||||
4.800%, 07/10/2045 | 183 | 182 | ||||||||||
3.750%, 07/10/2025 | 40 | 39 | ||||||||||
Banco Santander | ||||||||||||
4.379%, 04/12/2028 | 200 | 193 | ||||||||||
Bank of America | ||||||||||||
3.946%, VAR ICE LIBOR USD 3 Month+1.190%, 01/23/2049 | 10 | 9 | ||||||||||
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028 | 42 | 40 | ||||||||||
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023 | 419 | 408 | ||||||||||
Bank of America MTN | ||||||||||||
5.000%, 01/21/2044 | 70 | 76 | ||||||||||
4.450%, 03/03/2026 | 10 | 10 | ||||||||||
4.000%, 01/22/2025 | 300 | 297 | ||||||||||
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 | 160 | 153 |
10 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
3.550%, VAR ICE LIBOR USD 3 Month+0.780%, 03/05/2024 | $ | 70 | $ | 69 | ||||||||
3.500%, 04/19/2026 | 661 | 644 | ||||||||||
2.600%, 01/15/2019 | 44 | 44 | ||||||||||
Barclays MTN | ||||||||||||
4.972%, VAR ICE LIBOR USD 3 Month+1.902%, 05/16/2029 | 200 | 199 | ||||||||||
BNP Paribas | ||||||||||||
4.400%, 08/14/2028 (A) | 200 | 198 | ||||||||||
Brighthouse Financial | ||||||||||||
4.700%, 06/22/2047 | 50 | 42 | ||||||||||
Capital One Financial | ||||||||||||
3.200%, 01/30/2023 | 203 | 198 | ||||||||||
Chubb INA Holdings | ||||||||||||
2.300%, 11/03/2020 | 10 | 10 | ||||||||||
CIT Group | ||||||||||||
5.250%, 03/07/2025 | 20 | 20 | ||||||||||
4.750%, 02/16/2024 | 30 | 30 | ||||||||||
Citigroup | ||||||||||||
4.650%, 07/23/2048 | 231 | 236 | ||||||||||
4.450%, 09/29/2027 | 270 | 268 | ||||||||||
4.125%, 07/25/2028 | 90 | 87 | ||||||||||
3.700%, 01/12/2026 | 170 | 166 | ||||||||||
3.400%, 05/01/2026 | 442 | 423 | ||||||||||
3.200%, 10/21/2026 | 159 | 150 | ||||||||||
Commonwealth Bank of Australia MTN | ||||||||||||
3.900%, 07/12/2047 (A) | 50 | 48 | ||||||||||
Cooperatieve Rabobank UA | ||||||||||||
4.375%, 08/04/2025 | 250 | 250 | ||||||||||
3.125%, 04/26/2021 | 250 | 249 | ||||||||||
Credit Agricole | ||||||||||||
8.125%, VAR USD Swap Semi 30/360 5 Year Curr+6.185%, 12/31/2049 (A) | 260 | 286 | ||||||||||
Credit Agricole MTN | ||||||||||||
4.000%, VAR USD Swap Semi 30/360 5 Year Curr+1.644%, 01/10/2033 (A) | 250 | 232 | ||||||||||
Credit Suisse Group Funding Guernsey | ||||||||||||
4.875%, 05/15/2045 | 250 | 258 | ||||||||||
4.550%, 04/17/2026 | 250 | 254 | ||||||||||
Five Corners Funding Trust | ||||||||||||
4.419%, 11/15/2023 (A) | 200 | 206 | ||||||||||
Goldman Sachs Group | ||||||||||||
6.750%, 10/01/2037 | 100 | 121 | ||||||||||
5.750%, 01/24/2022 | 445 | 476 | ||||||||||
5.150%, 05/22/2045 | 160 | 165 | ||||||||||
4.750%, 10/21/2045 | 30 | 30 | ||||||||||
4.250%, 10/21/2025 | 40 | 40 | ||||||||||
3.814%, VAR ICE LIBOR USD 3 Month+1.158%, 04/23/2029 | 60 | 57 | ||||||||||
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028 | 100 | 96 | ||||||||||
3.500%, 11/16/2026 | 175 | 167 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
2.875%, 02/25/2021 | $ | 131 | $ | 130 | ||||||||
Goldman Sachs Group MTN | ||||||||||||
5.375%, 03/15/2020 | 100 | 103 | ||||||||||
3.850%, 07/08/2024 | 190 | 190 | ||||||||||
HSBC Holdings | ||||||||||||
4.583%, VAR ICE LIBOR USD 3 | 400 | 406 | ||||||||||
4.250%, 03/14/2024 | 200 | 201 | ||||||||||
4.041%, VAR ICE LIBOR USD 3 | 200 | 196 | ||||||||||
Intesa Sanpaolo | ||||||||||||
3.125%, 07/14/2022 (A) | 200 | 186 | ||||||||||
Intesa Sanpaolo MTN | ||||||||||||
5.017%, 06/26/2024 (A) | 200 | 181 | ||||||||||
JPMorgan Chase | ||||||||||||
4.250%, 10/01/2027 | 10 | 10 | ||||||||||
4.203%, VAR ICE LIBOR USD 3 | 50 | 50 | ||||||||||
4.125%, 12/15/2026 | 150 | 150 | ||||||||||
3.509%, VAR ICE LIBOR USD 3 | 160 | 153 | ||||||||||
3.200%, 01/25/2023 | 607 | 601 | ||||||||||
3.125%, 01/23/2025 | 150 | 144 | ||||||||||
KKR Group Finance II | ||||||||||||
5.500%, 02/01/2043 (A) | 208 | 220 | ||||||||||
KKR Group Finance III | ||||||||||||
5.125%, 06/01/2044 (A) | 215 | 217 | ||||||||||
Liberty Mutual Group | ||||||||||||
4.250%, 06/15/2023 (A) | 64 | 65 | ||||||||||
Lloyds Banking Group | ||||||||||||
4.375%, 03/22/2028 | 200 | 197 | ||||||||||
Macquarie Group MTN | ||||||||||||
4.150%, VAR ICE LIBOR USD 3 | 374 | 374 | ||||||||||
MGM Growth Properties Operating Partnership | ||||||||||||
5.625%, 05/01/2024 | 10 | 10 | ||||||||||
Mitsubishi UFJ Financial Group | ||||||||||||
2.998%, 02/22/2022 | 20 | 20 | ||||||||||
Morgan Stanley | ||||||||||||
3.737%, VAR ICE LIBOR USD 3 | 120 | 120 | ||||||||||
Morgan Stanley MTN | ||||||||||||
4.300%, 01/27/2045 | 237 | 229 | ||||||||||
3.875%, 04/29/2024 | 346 | 348 | ||||||||||
Navient MTN | ||||||||||||
8.000%, 03/25/2020 | 40 | 42 | ||||||||||
Nuveen Finance | ||||||||||||
2.950%, 11/01/2019 (A) | 20 | 20 | ||||||||||
Peachtree Corners Funding Trust | ||||||||||||
3.976%, 02/15/2025 (A) | 225 | 223 | ||||||||||
Prudential Financial MTN | ||||||||||||
7.375%, 06/15/2019 | 385 | 399 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Quicken Loans | ||||||||||||
5.750%, 05/01/2025 (A) | $ | 10 | $ | 10 | ||||||||
Reliance Standard Life Global Funding II MTN | ||||||||||||
2.500%, 01/15/2020 (A) | 10 | 10 | ||||||||||
Royal Bank of Canada MTN | ||||||||||||
3.200%, 04/30/2021 | 40 | 40 | ||||||||||
2.150%, 10/26/2020 | 30 | 29 | ||||||||||
Royal Bank of Scotland Group | ||||||||||||
5.125%, 05/28/2024 | 200 | 201 | ||||||||||
4.519%, VAR ICE LIBOR USD 3 Month+1.550%, 06/25/2024 | 200 | 200 | ||||||||||
Santander Holdings USA | ||||||||||||
4.500%, 07/17/2025 | 10 | 10 | ||||||||||
Santander UK | ||||||||||||
2.375%, 03/16/2020 | 20 | 20 | ||||||||||
Sumitomo Mitsui Financial Group | ||||||||||||
2.058%, 07/14/2021 | 30 | 29 | ||||||||||
Teachers Insurance & Annuity Association of America | ||||||||||||
4.900%, 09/15/2044 (A) | 150 | 162 | ||||||||||
Toronto-Dominion Bank MTN | ||||||||||||
3.250%, 06/11/2021 | 50 | 50 | ||||||||||
UBS Group Funding Jersey | ||||||||||||
4.125%, 04/15/2026 (A) | 449 | 449 | ||||||||||
UBS Group Funding Switzerland | ||||||||||||
4.253%, 03/23/2028 (A) | 200 | 200 | ||||||||||
US Bank | ||||||||||||
3.150%, 04/26/2021 | 250 | 250 | ||||||||||
Voya Financial | ||||||||||||
3.125%, 07/15/2024 | 258 | 246 | ||||||||||
WEA Finance | ||||||||||||
3.750%, 09/17/2024 (A) | 200 | 198 | ||||||||||
2.700%, 09/17/2019 (A) | 430 | 429 | ||||||||||
Wells Fargo | ||||||||||||
4.480%, 01/16/2024 | 200 | 206 | ||||||||||
3.069%, 01/24/2023 | 337 | 330 | ||||||||||
3.000%, 10/23/2026 | 50 | 46 | ||||||||||
Wells Fargo MTN | ||||||||||||
4.900%, 11/17/2045 | 50 | 51 | ||||||||||
4.750%, 12/07/2046 | 30 | 30 | ||||||||||
4.650%, 11/04/2044 | 100 | 98 | ||||||||||
4.400%, 06/14/2046 | 10 | 9 | ||||||||||
4.300%, 07/22/2027 | 300 | 300 | ||||||||||
3.450%, 02/13/2023 | 160 | 158 | ||||||||||
Westpac Banking | ||||||||||||
2.600%, 11/23/2020 | 40 | 39 | ||||||||||
2.300%, 05/26/2020 | 10 | 10 | ||||||||||
17,169 | ||||||||||||
Health Care — 1.0% |
| |||||||||||
Abbott Laboratories | ||||||||||||
4.900%, 11/30/2046 | 40 | 43 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
4.750%, 11/30/2036 | $ | 10 | $ | 11 | ||||||||
3.750%, 11/30/2026 | 40 | 40 | ||||||||||
Aetna | ||||||||||||
2.800%, 06/15/2023 | 10 | 10 | ||||||||||
Anthem | ||||||||||||
3.650%, 12/01/2027 | 70 | 67 | ||||||||||
3.350%, 12/01/2024 | 20 | 19 | ||||||||||
2.950%, 12/01/2022 | 50 | 49 | ||||||||||
Cardinal Health | ||||||||||||
3.079%, 06/15/2024 | 20 | 19 | ||||||||||
2.616%, 06/15/2022 | 20 | 19 | ||||||||||
Centene | ||||||||||||
6.125%, 02/15/2024 | 20 | 21 | ||||||||||
5.625%, 02/15/2021 | 10 | 10 | ||||||||||
5.375%, 06/01/2026 (A) | 30 | 31 | ||||||||||
4.750%, 05/15/2022 | 20 | 20 | ||||||||||
CVS Health | ||||||||||||
4.300%, 03/25/2028 | 290 | 288 | ||||||||||
4.100%, 03/25/2025 | 40 | 40 | ||||||||||
3.700%, 03/09/2023 | 180 | 180 | ||||||||||
3.350%, 03/09/2021 | 30 | 30 | ||||||||||
Express Scripts Holding | ||||||||||||
3.400%, 03/01/2027 | 441 | 408 | ||||||||||
Fresenius Medical Care US Finance II | ||||||||||||
4.750%, 10/15/2024 (A) | 50 | 52 | ||||||||||
Humana | ||||||||||||
4.950%, 10/01/2044 | 10 | 11 | ||||||||||
3.950%, 03/15/2027 | 150 | 148 | ||||||||||
Medtronic | ||||||||||||
3.500%, 03/15/2025 | 70 | 70 | ||||||||||
Medtronic Global Holdings SCA | ||||||||||||
3.350%, 04/01/2027 | 50 | 49 | ||||||||||
1,635 | ||||||||||||
Industrials — 2.9% |
| |||||||||||
AerCap Ireland Capital DAC | ||||||||||||
4.625%, 10/30/2020 | 278 | 284 | ||||||||||
Air Canada Pass-Through Trust, Ser 2015-1, Cl A | ||||||||||||
3.600%, 03/15/2027 (A) | 273 | 267 | ||||||||||
Air Lease | ||||||||||||
3.250%, 03/01/2025 | 418 | 395 | ||||||||||
Allison Transmission | ||||||||||||
5.000%, 10/01/2024 (A) | 10 | 10 | ||||||||||
4.750%, 10/01/2027 (A) | 20 | 19 | ||||||||||
American Airlines Pass-Through Trust, | ||||||||||||
5.625%, 01/15/2021 (A) | 146 | 149 | ||||||||||
American Airlines Pass-Through Trust, | ||||||||||||
4.950%, 01/15/2023 | 746 | 767 |
12 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Beacon Escrow | ||||||||||||
4.875%, 11/01/2025 (A) | $ | 10 | $ | 9 | ||||||||
Canadian Pacific Railway | ||||||||||||
6.125%, 09/15/2115 | 127 | 152 | ||||||||||
Cintas No. 2 | ||||||||||||
3.700%, 04/01/2027 | 30 | 30 | ||||||||||
2.900%, 04/01/2022 | 20 | 19 | ||||||||||
Continental Airlines Pass-Through Trust, | ||||||||||||
4.000%, 10/29/2024 | 184 | 185 | ||||||||||
DAE Funding | ||||||||||||
5.000%, 08/01/2024 (A) | 10 | 10 | ||||||||||
4.500%, 08/01/2022 (A) | 10 | 10 | ||||||||||
Delta Air Lines Pass-Through Trust, Ser 2012-2, Cl A | ||||||||||||
4.950%, 05/23/2019 | 251 | 253 | ||||||||||
Eaton | ||||||||||||
4.150%, 11/02/2042 | 70 | 67 | ||||||||||
International Lease Finance | ||||||||||||
8.625%, 01/15/2022 | 20 | 23 | ||||||||||
6.250%, 05/15/2019 | 10 | 10 | ||||||||||
5.875%, 08/15/2022 | 50 | 53 | ||||||||||
Norfolk Southern | ||||||||||||
4.837%, 10/01/2041 | 200 | 212 | ||||||||||
Park Aerospace Holdings | ||||||||||||
5.250%, 08/15/2022 (A) | 30 | 31 | ||||||||||
Penske Truck Leasing LP | ||||||||||||
3.900%, 02/01/2024 (A) | 457 | 454 | ||||||||||
Spirit Airlines Pass-Through Trust, | ||||||||||||
3.375%, 02/15/2030 | 202 | 196 | ||||||||||
Union Pacific | ||||||||||||
4.500%, 09/10/2048 | 70 | 71 | ||||||||||
3.950%, 09/10/2028 | 90 | 91 | ||||||||||
3.750%, 07/15/2025 | 20 | 20 | ||||||||||
United Airlines Pass-Through Trust, Ser 2014-1, Cl A | ||||||||||||
4.000%, 04/11/2026 | 697 | 704 | ||||||||||
United Parcel Service | ||||||||||||
3.050%, 11/15/2027 | 10 | 9 | ||||||||||
2.500%, 04/01/2023 | 10 | 10 | ||||||||||
United Rentals North America | ||||||||||||
5.875%, 09/15/2026 | 30 | 31 | ||||||||||
4.875%, 01/15/2028 | 20 | 19 | ||||||||||
Waste Management | ||||||||||||
3.500%, 05/15/2024 | 60 | 60 | ||||||||||
4,620 | ||||||||||||
Information Technology — 1.7% |
| |||||||||||
Apple | ||||||||||||
3.200%, 05/13/2025 | 80 | 79 | ||||||||||
2.000%, 11/13/2020 | 30 | 30 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
1.550%, 08/04/2021 | $ | 150 | $ | 144 | ||||||||
Broadcom | ||||||||||||
3.125%, 01/15/2025 | 30 | 28 | ||||||||||
2.650%, 01/15/2023 | 315 | 298 | ||||||||||
Diamond 1 Finance | ||||||||||||
4.420%, 06/15/2021 (A) | 140 | 143 | ||||||||||
3.480%, 06/01/2019 (A) | 100 | 100 | ||||||||||
First Data | ||||||||||||
5.000%, 01/15/2024 (A) | 10 | 10 | ||||||||||
Hewlett Packard Enterprise | ||||||||||||
4.400%, 10/15/2022 | 69 | 71 | ||||||||||
Intel | ||||||||||||
3.700%, 07/29/2025 | 60 | 61 | ||||||||||
Juniper Networks | ||||||||||||
4.500%, 03/15/2024 | 253 | 258 | ||||||||||
3.300%, 06/15/2020 | 101 | 101 | ||||||||||
3.125%, 02/26/2019 | 159 | 159 | ||||||||||
Microsoft | ||||||||||||
4.450%, 11/03/2045 | 40 | 44 | ||||||||||
4.250%, 02/06/2047 | 278 | 294 | ||||||||||
4.100%, 02/06/2037 | 10 | 10 | ||||||||||
3.300%, 02/06/2027 | 130 | 129 | ||||||||||
2.875%, 02/06/2024 | 60 | 59 | ||||||||||
2.700%, 02/12/2025 | 20 | 19 | ||||||||||
2.400%, 02/06/2022 | 70 | 69 | ||||||||||
2.400%, 08/08/2026 | 160 | 149 | ||||||||||
1.550%, 08/08/2021 | 50 | 48 | ||||||||||
salesforce.com | ||||||||||||
3.700%, 04/11/2028 | 10 | 10 | ||||||||||
3.250%, 04/11/2023 | 40 | 40 | ||||||||||
Telefonaktiebolaget LM Ericsson | ||||||||||||
4.125%, 05/15/2022 | 211 | 209 | ||||||||||
Visa | ||||||||||||
4.300%, 12/14/2045 | 50 | 53 | ||||||||||
3.150%, 12/14/2025 | 70 | 68 | ||||||||||
2,683 | ||||||||||||
Materials — 1.0% | ||||||||||||
Anglo American Capital | ||||||||||||
3.625%, 09/11/2024 (A) | 200 | 190 | ||||||||||
Barrick North America Finance | ||||||||||||
5.700%, 05/30/2041 | 60 | 66 | ||||||||||
Berry Global | ||||||||||||
4.500%, 02/15/2026 (A) | 10 | 9 | ||||||||||
BHP Billiton Finance USA | ||||||||||||
6.750%, VAR USD Swap Semi 30/360 5 | 200 | 219 | ||||||||||
5.000%, 09/30/2043 | 100 | 112 | ||||||||||
2.875%, 02/24/2022 | 205 | 203 | ||||||||||
Freeport-McMoRan | ||||||||||||
5.450%, 03/15/2043 | 20 | 18 | ||||||||||
4.000%, 11/14/2021 | 40 | 40 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Glencore Funding | ||||||||||||
4.125%, 05/30/2023 (A) | $ | 70 | $ | 69 | ||||||||
4.000%, 03/27/2027 (A) | 150 | 141 | ||||||||||
2.875%, 04/16/2020 (A) | 10 | 10 | ||||||||||
Reynolds Group Issuer | ||||||||||||
5.125%, 07/15/2023 (A) | 20 | 20 | ||||||||||
Southern Copper | ||||||||||||
5.250%, 11/08/2042 | 380 | 382 | ||||||||||
Vale Overseas | ||||||||||||
6.875%, 11/21/2036 | 20 | 23 | ||||||||||
4.375%, 01/11/2022 | 7 | 7 | ||||||||||
WestRock RKT | ||||||||||||
4.000%, 03/01/2023 | 10 | 10 | ||||||||||
3.500%, 03/01/2020 | 20 | 20 | ||||||||||
1,539 | ||||||||||||
Real Estate — 1.4% | ||||||||||||
Boston Properties | ||||||||||||
3.850%, 02/01/2023 | 200 | 202 | ||||||||||
2.750%, 10/01/2026 | 270 | 247 | ||||||||||
Digital Realty Trust | ||||||||||||
3.700%, 08/15/2027 | 317 | 305 | ||||||||||
HCP | ||||||||||||
4.000%, 06/01/2025 | 150 | 149 | ||||||||||
Realty Income | ||||||||||||
4.125%, 10/15/2026 | 207 | 209 | ||||||||||
Simon Property Group | ||||||||||||
2.625%, 06/15/2022 | 160 | 156 | ||||||||||
2.350%, 01/30/2022 | 299 | 290 | ||||||||||
Ventas Realty | ||||||||||||
4.125%, 01/15/2026 | 136 | 135 | ||||||||||
2.700%, 04/01/2020 | 215 | 214 | ||||||||||
Welltower | ||||||||||||
4.500%, 01/15/2024 | 144 | 148 | ||||||||||
4.000%, 06/01/2025 | 231 | 229 | ||||||||||
2,284 | ||||||||||||
Telecommunication Services — 1.3% |
| |||||||||||
AT&T | ||||||||||||
5.350%, 09/01/2040 | 1 | 1 | ||||||||||
3.400%, 05/15/2025 | 438 | 416 | ||||||||||
Rogers Communications | ||||||||||||
5.000%, 03/15/2044 | 217 | 226 | ||||||||||
Sprint Spectrum | ||||||||||||
4.738%, 03/20/2025 (A) | 230 | 230 | ||||||||||
Telefonica Emisiones SAU | ||||||||||||
5.213%, 03/08/2047 | 150 | 149 | ||||||||||
Verizon Communications | ||||||||||||
5.500%, 03/16/2047 | 6 | 6 | ||||||||||
5.250%, 03/16/2037 | 20 | 21 | ||||||||||
4.862%, 08/21/2046 | 20 | 20 | ||||||||||
4.522%, 09/15/2048 | 447 | 421 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
4.500%, 08/10/2033 | $ | 160 | $ | 158 | ||||||||
4.329%, 09/21/2028 (A) | 50 | 50 | ||||||||||
3.500%, 11/01/2024 | 20 | 20 | ||||||||||
3.376%, 02/15/2025 | 19 | 19 | ||||||||||
2.625%, 08/15/2026 | 10 | 9 | ||||||||||
Vodafone Group | ||||||||||||
5.250%, 05/30/2048 | 70 | 71 | ||||||||||
4.375%, 05/30/2028 | 160 | 159 | ||||||||||
1,976 | ||||||||||||
Utilities — 1.7% | ||||||||||||
AES | ||||||||||||
5.500%, 04/15/2025 | 19 | 20 | ||||||||||
Duke Energy | ||||||||||||
3.950%, 08/15/2047 | 10 | 9 | ||||||||||
3.750%, 04/15/2024 | 331 | 333 | ||||||||||
Eversource Energy | ||||||||||||
3.150%, 01/15/2025 | 111 | 108 | ||||||||||
2.500%, 03/15/2021 | 305 | 299 | ||||||||||
Exelon | ||||||||||||
5.625%, 06/15/2035 | 60 | �� | 68 | |||||||||
5.100%, 06/15/2045 | 240 | 256 | ||||||||||
FirstEnergy | ||||||||||||
7.375%, 11/15/2031 | 220 | 285 | ||||||||||
4.850%, 07/15/2047 | 100 | 103 | ||||||||||
3.900%, 07/15/2027 | 50 | 49 | ||||||||||
NextEra Energy Capital Holdings | ||||||||||||
3.550%, 05/01/2027 | 292 | 284 | ||||||||||
Pacific Gas & Electric | ||||||||||||
6.050%, 03/01/2034 | 100 | 112 | ||||||||||
Sempra Energy | ||||||||||||
9.800%, 02/15/2019 | 74 | 77 | ||||||||||
1.625%, 10/07/2019 | 239 | 235 | ||||||||||
Southern | ||||||||||||
3.250%, 07/01/2026 | 415 | 391 | ||||||||||
Virginia Electric & Power | ||||||||||||
3.150%, 01/15/2026 | 124 | 120 | ||||||||||
2,749 | ||||||||||||
Total Corporate Obligations (Cost $49,696) ($ Thousands) | 48,927 | |||||||||||
MORTGAGE-BACKED SECURITIES — 27.9% |
| |||||||||||
Mortgage-Backed Securities — 27.9% |
| |||||||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2014-FL1, Cl E | ||||||||||||
4.057%, VAR LIBOR USD 1 Month+5.500%, 12/15/2031 (A) | 260 | 252 | ||||||||||
BANK, Ser 2017-BNK8, Cl XA, IO | ||||||||||||
0.751%, 11/15/2050 (C) | 1,655 | 91 |
14 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
BBCCRE Trust, Ser 2015-GTP, Cl D | ||||||||||||
4.715%, | $ | 140 | $ | 134 | ||||||||
Chevy Chase Funding Mortgage-Backed | ||||||||||||
2.334%, VAR ICE LIBOR USD 1 | 172 | 169 | ||||||||||
Chevy Chase Funding Mortgage-Backed | ||||||||||||
2.454%, | 297 | 225 | ||||||||||
COMM Mortgage Trust, Ser 2013-CR6, Cl B | ||||||||||||
3.397%, 02/10/2023 (A) | 100 | 98 | ||||||||||
COMM Mortgage Trust, Ser 2013-CR8, Cl A4 | ||||||||||||
3.334%, 06/10/2046 | 605 | 607 | ||||||||||
COMM Mortgage Trust, Ser 2014-CR18, Cl D | ||||||||||||
4.732%, | 240 | 215 | ||||||||||
CSAIL Commercial Mortgage Trust, Ser 2015- | ||||||||||||
3.849%, 06/15/2057 (C) | 210 | 210 | ||||||||||
CSMC Trust, Ser 2017-HL1, Cl A3 | ||||||||||||
3.500%, | 270 | 268 | ||||||||||
FHLMC | ||||||||||||
5.500%, 04/01/2030 | 283 | 303 | ||||||||||
5.000%, 06/01/2041 to 12/01/2044 | 838 | 897 | ||||||||||
4.500%, 06/01/2038 to 07/01/2047 | 1,151 | 1,200 | ||||||||||
4.000%, 07/01/2037 to 07/01/2048 | 2,397 | 2,451 | ||||||||||
3.500%, 03/01/2043 to 03/01/2045 | 525 | 525 | ||||||||||
3.000%, 09/01/2036 to 01/01/2047 | 3,130 | 3,041 | ||||||||||
FHLMC CMO, Ser 2012-4057, Cl CS, IO | ||||||||||||
3.987%, VAR LIBOR USD 1 | 30 | 3 | ||||||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||||||
1.508%, 02/15/2038 (C) | 73 | 5 | ||||||||||
FHLMC CMO, Ser 2014-4415, Cl IO, IO | ||||||||||||
1.415%, 04/15/2041 (C) | 407 | 19 | ||||||||||
FHLMC CMO, Ser 2015-4494, Cl AI, IO | ||||||||||||
1.558%, 11/15/2038 (C) | 502 | 23 | ||||||||||
FHLMC CMO, Ser 2018-4813, Cl CJ | ||||||||||||
3.000%, 08/15/2048 | 198 | 191 | ||||||||||
FHLMC Structured Agency Credit Risk Debt | ||||||||||||
6.714%, VAR ICE LIBOR USD 1 | 340 | 393 | ||||||||||
FHLMC Structured Agency Credit Risk Debt | ||||||||||||
3.364%, VAR ICE LIBOR USD 1 Month+1.300%, 03/25/2029 | 250 | 253 | ||||||||||
FHLMC TBA | ||||||||||||
5.000%, 09/15/2033 | 100 | 106 | ||||||||||
3.000%, 09/15/2043 | 200 | 193 | ||||||||||
FNMA | ||||||||||||
5.000%, 10/01/2033 to 12/01/2047 | 2,384 | 2,550 | ||||||||||
4.500%, 07/01/2033 to 11/01/2047 | 3,564 | 3,708 | ||||||||||
4.000%, 04/01/2036 to 08/01/2056 | 2,394 | 2,459 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
3.500%, 10/01/2037 to 03/01/2057 | $ | 3,738 | $ | 3,743 | ||||||||
3.000%, 04/01/2043 to 02/01/2047 | 1,294 | 1,260 | ||||||||||
2.810%, 04/01/2025 | 40 | 39 | ||||||||||
FNMA CMO, Ser 2015-55, Cl IO, IO | ||||||||||||
1.269%, 08/25/2055 (C) | 325 | 15 | ||||||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||||||
4.086%, VAR LIBOR USD 1 | 288 | 55 | ||||||||||
FNMA Connecticut Avenue Securities, | ||||||||||||
6.314%, VAR ICE LIBOR USD 1 | 50 | 57 | ||||||||||
FNMA TBA | ||||||||||||
5.000%, 09/01/2037 to 10/01/2038 | 300 | 317 | ||||||||||
4.500%, 10/15/2042 | 300 | 311 | ||||||||||
4.000%, 09/14/2039 | 450 | 458 | ||||||||||
3.500%, 09/01/2040 | 2,400 | 2,426 | ||||||||||
3.000%, 09/13/2042 | 850 | 823 | ||||||||||
GNMA | ||||||||||||
5.000%, 12/20/2047 to 07/20/2048 | 896 | 943 | ||||||||||
4.000%, 08/15/2045 to 08/20/2047 | 809 | 832 | ||||||||||
3.500%, 01/20/2047 to 10/20/2047 | 381 | 384 | ||||||||||
3.000%, 09/20/2047 to 11/20/2047 | 669 | 655 | ||||||||||
GNMA CMO, Ser 2007-51, Cl SG, IO | ||||||||||||
4.503%, VAR LIBOR USD 1 | 16 | 2 | ||||||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||||||
3.964%, VAR LIBOR USD 1 | 170 | 23 | ||||||||||
GNMA CMO, Ser 2012-43, Cl SN, IO | ||||||||||||
4.528%, VAR LIBOR USD 1 | 150 | 29 | ||||||||||
GNMA CMO, Ser 2012-H27, Cl AI, IO | ||||||||||||
1.743%, VAR ICE LIBOR USD 1 | 117 | 6 | ||||||||||
GNMA CMO, Ser 2014-118, Cl HS, IO | ||||||||||||
4.114%, VAR LIBOR USD 1 | 312 | 55 | ||||||||||
GNMA CMO, Ser 2015-30, Cl IO, IO | ||||||||||||
1.025%, 07/16/2056 (C) | 1,222 | 79 | ||||||||||
GNMA TBA | ||||||||||||
5.000%, 09/01/2033 to 10/01/2033 | 200 | 210 | ||||||||||
4.500%, 09/15/2039 to 10/15/2039 | 1,980 | 2,057 | ||||||||||
4.000%, 09/01/2039 | 1,500 | 1,536 | ||||||||||
3.000%, 09/01/2042 | 800 | 783 | ||||||||||
GNMA, Ser 108, Cl A | ||||||||||||
3.250%, 05/16/2059 (C) | 50 | 49 | ||||||||||
GS Mortgage Securities II, Ser GS8, Cl A4 | ||||||||||||
3.469%, 11/10/2050 | 60 | 59 | ||||||||||
GS Mortgage Securities Trust, Ser 2006-GG8, | ||||||||||||
5.622%, 11/10/2039 | 134 | 114 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
GS Mortgage Securities Trust, Ser 2010-C1, | ||||||||||||
4.592%, 08/10/2043 (A) | $ | 474 | $ | 485 | ||||||||
GS Mortgage Securities Trust, Ser 2012-GC6, | ||||||||||||
4.948%, 01/10/2045 (A) | 200 | 208 | ||||||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, | ||||||||||||
3.377%, 05/10/2045 | 437 | 439 | ||||||||||
GS Mortgage Securities Trust, Ser 2017-485L, | ||||||||||||
3.721%, 02/10/2027 (A) | 100 | 99 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
2.822%, VAR LIBOR USD 1 | 250 | 250 | ||||||||||
Impac CMB Trust, Ser 2005-4, Cl 1M1 | ||||||||||||
2.709%, VAR ICE LIBOR USD 1 | 73 | 69 | ||||||||||
Impac Secured Assets Trust, Ser 2006-2, | ||||||||||||
3.164%, VAR ICE LIBOR USD 1 Month+1.100%, 08/25/2036 | 190 | 184 | ||||||||||
JPMDB Commercial Mortgage Securities | ||||||||||||
4.512%, 02/15/2027 (C) | 110 | 111 | ||||||||||
JPMDB Commercial Mortgage Securities | ||||||||||||
0.914%, 10/15/2050 (C) | 1,475 | 91 | ||||||||||
JPMorgan Chase Commercial Mortgage | ||||||||||||
3.507%, 05/15/2045 | 195 | 197 | ||||||||||
JPMorgan Chase Commercial Mortgage | ||||||||||||
3.483%, 06/15/2045 | 450 | 453 | ||||||||||
JPMorgan Mortgage Trust, Ser 2016-1, Cl A5 | ||||||||||||
3.500%, | 252 | 250 | ||||||||||
JPMorgan Mortgage Trust, Ser 2016-4, Cl A5 | ||||||||||||
3.500%, | 96 | 95 | ||||||||||
Morgan Stanley Bank of America Merrill | ||||||||||||
4.137%, 06/15/2025 (C) | 100 | 101 | ||||||||||
Morgan Stanley Bank of America Merrill | ||||||||||||
3.514%, 01/15/2026 | 283 | 283 | ||||||||||
Morgan Stanley Capital I Trust, Ser 2007- | ||||||||||||
6.167%, 12/12/2049 (C) | 202 | 153 | ||||||||||
MSCG Trust, Ser 2015-ALDR, Cl A2 | ||||||||||||
3.577%, | 110 | 107 | ||||||||||
Reperforming Loan REMIC Trust, Ser 2005- | ||||||||||||
8.000%, 06/25/2035 (A) | 96 | 101 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
Rosslyn Portfolio Trust, Ser 2017-R17, Cl A | ||||||||||||
3.022%, VAR LIBOR USD 1 | ||||||||||||
Month+0.950%, 06/15/2033 (A) | $ | 100 | $ | 100 | ||||||||
Sequoia Mortgage Trust, Ser 2017-1, Cl A4 | ||||||||||||
3.500%, | 321 | 320 | ||||||||||
Sequoia Mortgage Trust, Ser 2017-4, Cl A4 | ||||||||||||
3.500%, | 181 | 180 | ||||||||||
Sequoia Mortgage Trust, Ser 2017-6, Cl A4 | ||||||||||||
3.500%, | 188 | 187 | ||||||||||
UBS Commercial Mortgage Trust, Ser 2012- | ||||||||||||
3.400%, 05/10/2045 | 630 | 632 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
3.540%, 05/15/2048 | 180 | 180 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
3.872%, 05/15/2048 (C) | 270 | 271 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
4.902%, | 359 | 374 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
2.921%, 02/15/2046 | 113 | 113 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
2.927%, 03/15/2046 | 199 | 199 | ||||||||||
Total Mortgage-Backed Securities |
| 44,141 | ||||||||||
U.S. TREASURY OBLIGATIONS — 25.9% |
| |||||||||||
U.S Treasury Bills (B) | ||||||||||||
2.107%, 01/17/2019 | 1,440 | 1,428 | ||||||||||
2.091%, 11/29/2018 | 730 | 726 | ||||||||||
2.056%, 11/15/2018 | 1,010 | 1,006 | ||||||||||
U.S. Treasury Bonds | ||||||||||||
4.500%, 02/15/2036 | 1,000 | 1,219 | ||||||||||
4.500%, 05/15/2038 | 2,093 | 2,583 | ||||||||||
3.750%, 11/15/2043 | 2,570 | 2,907 | ||||||||||
3.125%, 05/15/2048 | 210 | 215 | ||||||||||
3.000%, 05/15/2047 | 1,350 | 1,348 | ||||||||||
3.000%, 02/15/2048 | 441 | 440 | ||||||||||
2.875%, 08/15/2045 | 550 | 536 | ||||||||||
2.750%, 08/15/2047 | 880 | 836 | ||||||||||
2.750%, 11/15/2047 | 1,997 | 1,896 | ||||||||||
2.500%, 02/15/2045 | 300 | 272 | ||||||||||
2.500%, 05/15/2046 | 2,123 | 1,919 | ||||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||||
1.375%, 02/15/2044 | 216 | 240 | ||||||||||
0.750%, 02/15/2042 | 45 | 43 |
16 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||
0.375%, 07/15/2023 | $ | 303 | $ | 299 | ||||||||
U.S. Treasury Notes | ||||||||||||
3.625%, 02/15/2020 | 2,060 | 2,090 | ||||||||||
2.875%, 05/15/2028 | 1 | 1 | ||||||||||
2.750%, 05/31/2023 | 1,913 | 1,914 | ||||||||||
2.750%, 02/15/2028 | 956 | 947 | ||||||||||
2.625%, 07/31/2020 | 30 | 30 | ||||||||||
2.625%, 05/15/2021 | 582 | 581 | ||||||||||
2.375%, 01/31/2023 | 2,339 | 2,304 | ||||||||||
2.250%, 11/15/2024 | 430 | 417 | ||||||||||
2.250%, 11/15/2027 | 1,160 | 1,104 | ||||||||||
2.000%, 05/31/2024 | 70 | 67 | ||||||||||
2.000%, 06/30/2024 | 4,860 | 4,658 | ||||||||||
2.000%, 02/15/2025 | 2,040 | 1,944 | ||||||||||
1.500%, 02/28/2019 | 4,300 | 4,284 | ||||||||||
1.375%, 05/31/2020 | 2,199 | 2,153 | ||||||||||
0.750%, 08/15/2019 | 642 | 632 | ||||||||||
Total U.S. Treasury Obligations (Cost $41,203) ($ Thousands) | 41,039 | |||||||||||
ASSET-BACKED SECURITIES — 10.8% |
| |||||||||||
Asset-Backed Securities — 10.8% |
| |||||||||||
AccessLex Institute, Ser 2007-1, Cl A4 | ||||||||||||
2.420%, VAR ICE LIBOR USD 3 | 83 | 81 | ||||||||||
Airspeed, Ser 2007-1A, Cl G1 | ||||||||||||
2.333%, VAR LIBOR USD 1 Month+0.270%, 04/15/2024 (A) | 220 | 205 | ||||||||||
Ameriquest Mortgage Securities Asset- Backed Pass-Through Certificates, Ser 2005-R7, Cl M2 | ||||||||||||
2.564%, VAR ICE LIBOR USD 1 Month+0.500%, 09/25/2035 | 250 | 251 | ||||||||||
Applebee’s Funding, Ser 2014-1, Cl A2 | ||||||||||||
4.277%, 09/05/2044 (A) | 99 | 99 | ||||||||||
BankAmerica Manufactured Housing Contract Trust, Ser 1996-1, Cl B1 | ||||||||||||
7.875%, 10/10/2026 | 510 | 162 | ||||||||||
BX Commercial Mortgage Trust, Ser 2018-BIOA, Cl A | ||||||||||||
2.743%, VAR LIBOR USD 1 Month+0.671%, 03/15/2037 (A) | 190 | 190 | ||||||||||
CCG Receivable Trust, Ser 2017-1, Cl A2 | ||||||||||||
1.840%, 11/14/2023 (A) | 227 | 226 | ||||||||||
CCG Receivables Trust, Ser 2018-1, Cl A2 | ||||||||||||
2.500%, 06/16/2025 (A) | 719 | 715 | ||||||||||
CIT Mortgage Loan Trust, Ser 2007-1, Cl 1M1 | ||||||||||||
3.564%, VAR ICE LIBOR USD 1 Month+1.500%, 02/25/2023 (A) | 120 | 123 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Ser 2017-A2, Cl A2 | $ | 312 | $ | 311 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Ser 2018-B2, Cl A4 | 180 | 185 | ||||||||||
Cold Storage Trust, Ser 2017-ICE3, Cl A | ||||||||||||
3.072%, VAR LIBOR USD 1 Month+1.000%, 04/15/2024 (A) | 130 | 130 | ||||||||||
COMM Mortgage Trust, Ser 2015-CR24, Cl AM | ||||||||||||
4.028%, 08/10/2048 (C) | 90 | 92 | ||||||||||
COMM Mortgage Trust, Ser 2018-COR3, Cl A3 | ||||||||||||
4.228%, 05/10/2051 | 382 | 397 | ||||||||||
Conseco Finance, Ser 1997-7, Cl M1 | ||||||||||||
7.030%, 07/15/2028 (C) | 202 | 201 | ||||||||||
Countrywide Asset-Backed Certificates, Ser 2007-10, Cl 1A1 | ||||||||||||
2.244%, VAR ICE LIBOR USD 1 Month+0.180%, 06/25/2047 | 324 | 308 | ||||||||||
CSMC Trust, Ser 2018-J1, Cl A2 | ||||||||||||
3.500%, | 689 | 673 | ||||||||||
CSMC, Ser 2017-TIME, Cl A | ||||||||||||
3.646%, 11/13/2039 (A) | 100 | 98 | ||||||||||
DB Master Finance, Ser 2017-1A, Cl A2I | ||||||||||||
3.629%, 11/20/2047 (A) | 251 | 247 | ||||||||||
Domino’s Pizza Master Issuer, Ser 2017-1A, Cl A2I | ||||||||||||
3.610%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (A) | 224 | 225 | ||||||||||
Domino’s Pizza Master Issuer, Ser 2018-1A,Cl A2I | ||||||||||||
4.116%, 07/25/2048 (A) | 150 | 150 | ||||||||||
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2 | ||||||||||||
3.170%, 07/25/2031 (A) | 77 | 77 | ||||||||||
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22 | ||||||||||||
3.500%, | 241 | 237 | ||||||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF15, Cl A5 | ||||||||||||
2.224%, VAR ICE LIBOR USD 1 Month+0.160%, 11/25/2036 | 261 | 254 | ||||||||||
FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1M2 | ||||||||||||
4.432%, VAR ICE LIBOR USD 1 Month+2.350%, 01/25/2031 | 250 | 254 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A1 | ||||||||||||
1.980%, 01/15/2022 | 825 | 815 | ||||||||||
GS Mortgage Securities Trust, Ser 2018-SRP5, Cl A | ||||||||||||
3.281%, 06/09/2021 | 190 | 190 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
GS Mortgage Securities Trust, Ser 2018-SRP5, Cl B | ||||||||||||
4.481%, 06/09/2021 | $ | 190 | $ | 190 | ||||||||
JPMorgan Mortgage Trust, Ser 2005-S2, Cl 2A15 | ||||||||||||
6.000%, 09/25/2035 | 183 | 180 | ||||||||||
JPMorgan Mortgage Trust, Ser 2018-3, Cl A1 | ||||||||||||
3.500%, | 290 | 285 | ||||||||||
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1 | ||||||||||||
3.500%, | 146 | 144 | ||||||||||
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1 | ||||||||||||
3.500%, | 491 | 481 | ||||||||||
JPMorgan Mortgage Trust, Ser 2018-6, Cl 1A4 | ||||||||||||
3.500%, | 476 | 473 | ||||||||||
Lone Star Portfolio Trust, Ser 2015-LSP, Cl E | ||||||||||||
7.672%, VAR LIBOR USD 1 | ||||||||||||
Month+5.600%, 09/15/2028 (A) | 137 | 137 | ||||||||||
Morgan Stanley ABS Capital I Trust, Ser 2004-NC1, Cl M1 | ||||||||||||
3.114%, VAR ICE LIBOR USD 1 | ||||||||||||
Month+1.050%, 12/27/2033 | 143 | 143 | ||||||||||
Morgan Stanley ABS Capital I Trust, Ser 2007-HE7, Cl M1 | ||||||||||||
4.064%, VAR ICE LIBOR USD 1 | ||||||||||||
Month+2.000%, 07/25/2037 | 190 | 160 | ||||||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||||||
3.980%, VAR ICE LIBOR USD 3 Month+1.650%, 11/25/2024 | 85 | 87 | ||||||||||
NextGear Floorplan Master Owner Trust, Ser 2015-2A, Cl A | ||||||||||||
2.380%, 10/15/2018 (A) | 293 | 293 | ||||||||||
NextGear Floorplan Master Owner Trust, Ser 2016-1A, Cl A2 | ||||||||||||
2.740%, 04/15/2021 (A) | 159 | 159 | ||||||||||
NextGear Floorplan Master Owner Trust, Ser 2018-1A, Cl A2 | ||||||||||||
3.220%, 02/15/2023 (A) | 354 | 352 | ||||||||||
Option One Mortgage Loan Trust, Ser 2005-2, Cl M1 | ||||||||||||
2.724%, VAR ICE LIBOR USD 1 | ||||||||||||
Month+0.660%, 05/25/2035 | 187 | 187 | ||||||||||
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A4 | ||||||||||||
5.860%, 01/25/2037 | 150 | 149 | ||||||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||||||
2.414%, VAR ICE LIBOR USD 1 | ||||||||||||
Month+0.350%, 08/25/2036 | 470 | 464 | ||||||||||
SBA Small Business Investment, Ser 2018-10A, Cl 1 | ||||||||||||
3.187%, 03/10/2028 | 190 | 189 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Private Credit Student Loan Trust, Ser 2005-A, Cl A4 | ||||||||||||
2.435%, VAR ICE LIBOR USD 3 | ||||||||||||
Month+0.310%, 12/15/2038 | $ | 160 | $ | 156 | ||||||||
SLM Student Loan Trust, Ser 2006-10, Cl A6 | ||||||||||||
2.485%, VAR ICE LIBOR USD 3 | ||||||||||||
Month+0.150%, 03/25/2044 | 570 | 556 | ||||||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||||||
4.060%, VAR ICE LIBOR USD 3 | ||||||||||||
Month+1.700%, 07/25/2023 | 72 | 73 | ||||||||||
SLM Student Loan Trust, Ser 2008-6, Cl A4 | ||||||||||||
3.435%, VAR ICE LIBOR USD 3 | ||||||||||||
Month+1.100%, 07/25/2023 | 90 | 90 | ||||||||||
Small Business Administration, Ser 2010-20B, Cl 1 | ||||||||||||
4.140%, 02/01/2030 | 119 | 123 | ||||||||||
Small Business Administration, | ||||||||||||
3.290%, 08/01/2031 | 205 | 207 | ||||||||||
Small Business Administration, Ser 2013-20G, Cl 1 | ||||||||||||
3.150%, 07/01/2033 | 848 | 854 | ||||||||||
Small Business Administration, Ser 2014-20C, Cl 1 | ||||||||||||
3.210%, 03/01/2034 | 764 | 767 | ||||||||||
Small Business Administration, Ser 2015-20F, Cl 1 | ||||||||||||
2.980%, 06/01/2035 | 206 | 203 | ||||||||||
Store Master Funding I, Ser 2015-1A, Cl A1 | ||||||||||||
3.750%, 04/20/2045 (A) | 330 | 325 | ||||||||||
United States Small Business Administration, Ser 2017-20I, Cl 1 | ||||||||||||
2.590%, 09/01/2037 | 594 | 565 | ||||||||||
United States Small Business Administration, Ser 2018-20A, Cl 1 | ||||||||||||
2.920%, 01/01/2038 | 296 | 288 | ||||||||||
United States Small Business Administration, Ser 2018-20B, Cl 1 | ||||||||||||
3.220%, 02/01/2038 | 466 | 461 | ||||||||||
United States Small Business Administration, Ser 2018-20E, Cl 1 | ||||||||||||
3.500%, 05/01/2038 | 299 | 302 | ||||||||||
Verizon Owner Trust, Ser 2016-1A, Cl A | ||||||||||||
1.420%, 01/20/2021 (A) | 251 | 250 | ||||||||||
Verizon Owner Trust, Ser 2017-2A, Cl A | ||||||||||||
1.920%, 12/20/2021 (A) | 305 | 301 | ||||||||||
Verizon Owner Trust, Ser 2017-3A, Cl A1A | ||||||||||||
2.060%, 04/20/2022 (A) | 325 | 320 |
18 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Volvo Financial Equipment LLC, Ser 2017-1A, Cl A3 | ||||||||||||
1.920%, 03/15/2021 (A) | $ | 251 | $ | 249 | ||||||||
Total Asset-Backed Securities |
| 17,059 | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.4%(B) |
| |||||||||||
FHLB | ||||||||||||
2.125%, 02/11/2020 | 30 | 30 | ||||||||||
FHLB DN | ||||||||||||
2.112%, 12/05/2018 (B) | 320 | 318 | ||||||||||
2.009%, 11/01/2018 (B) | 130 | 130 | ||||||||||
1.970%, 10/15/2018 (B) | 320 | 319 | ||||||||||
1.922%, 09/10/2018 (B) | 400 | 400 | ||||||||||
FHLMC | ||||||||||||
6.000%, 03/01/2035 | 416 | 461 | ||||||||||
3.000%, 02/01/2038 | 97 | 95 | ||||||||||
3.000%, 04/01/2038 | 97 | 95 | ||||||||||
3.000%, 11/01/2043 | 289 | 281 | ||||||||||
3.000%, 07/01/2045 | 444 | 432 | ||||||||||
3.000%, 10/01/2046 | 350 | 340 | ||||||||||
FNMA | ||||||||||||
4.500%, 10/15/2033 | 1,400 | 1,454 | ||||||||||
4.500%, 05/01/2047 | 82 | 85 | ||||||||||
4.500%, 09/01/2057 | 97 | 101 | ||||||||||
4.000%, 02/01/2047 | 533 | 544 | ||||||||||
4.000%, 02/01/2056 | 84 | 86 | ||||||||||
4.000%, 06/01/2057 | 94 | 96 | ||||||||||
3.000%, 12/01/2037 | 95 | 93 | ||||||||||
Total U.S. Government Agency Obligations (Cost $5,358) ($ Thousands) |
| 5,360 | ||||||||||
LOAN PARTICIPATIONS — 1.8% |
| |||||||||||
1011778 B.C. Unlimited Liability Company (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan | ||||||||||||
4.326%, VAR LIBOR+0.023%, 02/16/2024 | 35 | 35 | ||||||||||
1011778 B.C. Unlimited Liability Company (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 1st Lien | ||||||||||||
4.326%, VAR LIBOR+0.023%, 02/16/2024 | 8 | 8 | ||||||||||
ABC Supply, Term Loan B-3 | ||||||||||||
4.076%, 10/31/2023 | 74 | 74 | ||||||||||
Air Medical Group Holdings, 2018 Term Loan | ||||||||||||
5.321%, 04/28/2022 | 70 | 68 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||||||
American Axle & Manufacturing, Inc., Tranche B Term Loan, 1st Lien | ||||||||||||
4.450%, VAR LIBOR+0.045%, 04/06/2024 | $ | 25 | $ | 25 | ||||||||
4.320%, VAR LIBOR+0.045%, 04/06/2024 | 24 | 24 | ||||||||||
Aramark, Term Loan B-3 | ||||||||||||
4.084%, 03/11/2025 | 83 | 83 | ||||||||||
Avalon, 1st Lien | ||||||||||||
4.077%, 01/15/2025 | 69 | 69 | ||||||||||
Beacon Roofing Supply, Inc., Initial Term Loan, 1st Lien | ||||||||||||
4.321%, VAR LIBOR+0.075%, 01/02/2025 | 83 | 82 | ||||||||||
Berry Global, Inc. (fka Berry Plastics Corporation), Term Q Loan, 1st Lien | ||||||||||||
4.186%, VAR LIBOR+0.050%, 10/01/2022 | 63 | 63 | ||||||||||
Brickman Group/Brightview Landscapes, 1st Lien | ||||||||||||
4.625%, 08/08/2025 | 20 | 20 | ||||||||||
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC), Term B Loan, 1st Lien | ||||||||||||
4.826%, VAR LIBOR+0.043%, 12/23/2024 | 58 | 58 | ||||||||||
CBS Radio Inc. Term Loan B (2017) | ||||||||||||
4.816%, VAR LIBOR+0.038%, 11/18/2024 | 89 | 88 | ||||||||||
CenturyLink, Inc., Initial Term B Loan, 1st Lien | ||||||||||||
4.826%, 01/31/2025 | 15 | 15 | ||||||||||
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 1st Lien | ||||||||||||
4.826%, VAR LIBOR+0.053%, 03/01/2024 | 57 | 57 | ||||||||||
Charter Communications Operating, LLC (aka CCO Safari LLC), Term B Loan, 1st Lien | ||||||||||||
4.080%, VAR LIBOR+0.090%, 04/30/2025 | 38 | 38 | ||||||||||
CityCenter Holdings, LLC , Term B Loan, 1st Lien | ||||||||||||
4.326%, VAR LIBOR+0.030%, 04/18/2024 | 8 | 8 | ||||||||||
Dell International L.L.C. (EMC Corporation), Refinancing Term B Loan | ||||||||||||
4.080%, 09/07/2023 | 59 | 59 | ||||||||||
First Data Corporation, 2024A New Dollar Term Loan | ||||||||||||
4.066%, VAR LIBOR+0.060%, 04/26/2024 | 59 | 59 |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||||||
Four Seasons, 1st Lien | ||||||||||||
4.076%, 11/30/2023 | $ | 60 | $ | 60 | ||||||||
Golden Nugget, Inc., Initial B Term Loan, 1st Lien | ||||||||||||
4.826%, VAR LIBOR+0.070%, 10/04/2023 | 22 | 22 | ||||||||||
4.817%, VAR LIBOR+0.070%, 10/04/2023 | 40 | 40 | ||||||||||
Hilton Worldwide Finance LLC, Series B-2 Term Loan, 1st Lien | ||||||||||||
3.815%, VAR LIBOR+0.025%, 10/25/2023 | 78 | 78 | ||||||||||
Jaguar Holding, Inital Term Loan | ||||||||||||
4.576%, 08/18/2022 | 62 | 62 | ||||||||||
Level 3 Financing, Inc., Tranche B 2024 Term Loan | ||||||||||||
4.317%, VAR LIBOR+0.030%, 02/22/2024 | 76 | 76 | ||||||||||
MA Financeco., LLC, Tranche B-3 Term Loan | ||||||||||||
4.576%, 06/21/2024 | 1 | 1 | ||||||||||
MGM Growth Properties Operating Partnership LP, Term B Loan, 1st Lien | ||||||||||||
4.076%, VAR US LIBOR+0.038%, 03/21/2025 | 83 | 83 | ||||||||||
Michaels Stores, Inc., 2018 New Replacement Term B Loan | ||||||||||||
4.575%, 01/30/2023 | 43 | 42 | ||||||||||
4.566%, 01/30/2023 | 4 | 4 | ||||||||||
4.564%, 01/30/2023 | 24 | 24 | ||||||||||
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien | ||||||||||||
5.084%, VAR LIBOR+0.088%, 06/07/2023 | 61 | 60 | ||||||||||
Numericable U.S. LLC, USD TLB-[12] Term Loan | ||||||||||||
5.751%, VAR LIBOR+0.038%, 01/31/2026 | 60 | 58 | ||||||||||
ON Semiconductor, 2018 New Replacement Term B-3 Loan | ||||||||||||
3.826%, 03/31/2023 | 26 | 26 | ||||||||||
Parexel International Corporation, Initial Term Loan, 1st Lien | ||||||||||||
4.826%, VAR LIBOR+0.023%, 09/27/2024 | 17 | 18 | ||||||||||
Party City Holdings Inc., 2018 Replacement Term Loan | ||||||||||||
5.280%, 08/19/2022 | 2 | 2 | ||||||||||
4.830%, 08/19/2022 | 11 | 11 | ||||||||||
Party City Holdings, Inc., 2018 Replacement Term Loan | ||||||||||||
4.830%, 08/19/2022 | 1 | 1 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||||||
Post Holdings, Inc., Series A Incremental Term Loan | ||||||||||||
4.070%, VAR LIBOR+0.058%, 05/24/2024 | $ | 93 | $ | 93 | ||||||||
Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) , 2016-2 Refinancing Term B-1 Loan | ||||||||||||
4.826%, VAR LIBOR+0.053%, 05/02/2022 | 69 | 70 | ||||||||||
Quikrete Holdings, Inc., Initial Loan | ||||||||||||
4.826%, VAR Euribor+0.063%, 11/15/2023 | 71 | 71 | ||||||||||
Realogy Group, 1st Lien | ||||||||||||
4.317%, 02/08/2025 | 70 | 70 | ||||||||||
Reynolds Group Holdings Inc., Incremental U.S. Term Loan | ||||||||||||
4.826%, VAR LIBOR+0.040%, 02/05/2023 | 82 | 82 | ||||||||||
RPI Finance Trust, Initial Term Loan B-6 | ||||||||||||
4.334%, VAR Prime Rate by | ||||||||||||
Country+0.025%, 03/27/2023 | 48 | 48 | ||||||||||
Scientific Games International, Inc., Initial Term B-5 Loan | ||||||||||||
4.826%, VAR LIBOR+0.055%, 08/14/2024 | 84 | 84 | ||||||||||
Seattle SpinCo, Inc., Initial Term Loan, 1st Lien | ||||||||||||
4.576%, VAR LIBOR+0.080%, 06/21/2024 | 10 | 10 | ||||||||||
Sinclair Television, 1st Lien | ||||||||||||
0.000%, 12/12/2024 (D) | 30 | 30 | ||||||||||
Sprint Communications, Inc., Initial Term Loan, 1st Lien | ||||||||||||
4.625%, VAR LIBOR+0.065%, 02/02/2024 | 19 | 19 | ||||||||||
Station Casinos LLC, Term B Facility Loan, 1st Lien | ||||||||||||
4.580%, VAR LIBOR+0.075%, 06/08/2023 | 13 | 13 | ||||||||||
The Servicemaster Company, 1st Lien | ||||||||||||
4.576%, 11/08/2023 | 17 | 17 | ||||||||||
Trans Union LLC, 2017 Replacement Term B-3 Loan | ||||||||||||
4.076%, 04/10/2023 | 92 | 92 | ||||||||||
Unitymedia Finance LLC, Facility D Loan, 1st Lien | ||||||||||||
4.313%, VAR LIBOR+0.085%, 01/15/2026 | 70 | 70 | ||||||||||
Unitymedia, Term Loan B (2017) | ||||||||||||
4.313%, VAR LIBOR+0.085%, 09/30/2025 | 13 | 13 |
20 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
LOAN PARTICIPATIONS (continued) |
| |||||||||||
Univision Communications Inc., 2017 Replacement Repriced First-Lien Term Loan | ||||||||||||
4.826%, 03/15/2024 | $ | 104 | $ | 100 | ||||||||
UPC Financing Partnership, Facility AR, 1st Lien | ||||||||||||
4.563%, 01/15/2026 | 67 | 67 | ||||||||||
VICI Properties 1 LLC, Term B Loan, 1st Lien | ||||||||||||
4.067%, 12/20/2024 | 78 | 78 | ||||||||||
Virgin Media Bristol LLC, K Facility, 1st Lien | ||||||||||||
4.563%, VAR LIBOR+0.085%, 01/15/2026 | 35 | 35 | ||||||||||
Western Digital | ||||||||||||
3.816%, 04/29/2023 | 43 | 43 | ||||||||||
Wyndham Hotels & Resorts, 1st Lien | ||||||||||||
3.826%, 05/30/2025 | 10 | 10 | ||||||||||
XPO Logistics, Inc., Refinancing Term Loan (2018) | ||||||||||||
4.065%, VAR LIBOR+0.053%, 02/24/2025 | 62 | 62 | ||||||||||
Ziggo Secured Finance Partnership, Term Loan E Facility, 1st Lien | ||||||||||||
4.563%, VAR LIBOR+0.038%, 04/15/2025 | 100 | 99 | ||||||||||
Total Loan Participations |
| 2,877 | ||||||||||
SOVEREIGN DEBT — 1.5% |
| |||||||||||
Abu Dhabi Government International Bond | ||||||||||||
2.500%, 10/11/2022 (A) | 200 | 193 | ||||||||||
Argentine Republic Government International Bond | ||||||||||||
6.875%, 01/11/2048 | 160 | 112 | ||||||||||
5.625%, 01/26/2022 | 210 | 177 | ||||||||||
Brazilian Government International Bond | ||||||||||||
5.625%, 01/07/2041 | 120 | 104 | ||||||||||
4.625%, 01/13/2028 | 290 | 257 | ||||||||||
Colombia Government International Bond | ||||||||||||
5.625%, 02/26/2044 | 200 | 217 | ||||||||||
Egypt Government International Bond | ||||||||||||
5.577%, 02/21/2023 (A) | 200 | 193 | ||||||||||
Indonesia Government International Bond | ||||||||||||
4.350%, 01/11/2048 | 400 | 373 | ||||||||||
3.750%, 04/25/2022 | 200 | 199 | ||||||||||
Mexico Government International Bond | ||||||||||||
4.600%, 02/10/2048 | 230 | 215 | ||||||||||
Nigeria Government International Bond MTN | ||||||||||||
6.500%, 11/28/2027 (A) | 200 | 186 | ||||||||||
Peruvian Government International Bond | ||||||||||||
6.550%, 03/14/2037 | 10 | 12 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
SOVEREIGN DEBT (continued) |
| |||||||||||
5.625%, 11/18/2050 | $ | 40 | $ | 48 | ||||||||
Poland Government International Bond | ||||||||||||
4.000%, 01/22/2024 | 110 | 112 | ||||||||||
Russian Foreign Bond-Eurobond | ||||||||||||
7.500%, 03/31/2030 | 71 | 78 | ||||||||||
Total Sovereign Debt |
| 2,476 | ||||||||||
MUNICIPAL BONDS — 1.0% | ||||||||||||
California — 0.3% | ||||||||||||
State of California, GO | ||||||||||||
7.500%, 04/01/2034 | 280 | 393 | ||||||||||
Florida — 0.1% | ||||||||||||
Florida State, Board of Administration Finance, Ser A, RB | ||||||||||||
2.638%, 07/01/2021 | 100 | 99 | ||||||||||
Illinois — 0.2% | ||||||||||||
Metropolitan Water Reclamation District of Greater Chicago, GO | ||||||||||||
5.720%, 12/01/2038 | 310 | 380 | ||||||||||
New Jersey — 0.2% | ||||||||||||
New Jersey State, Economic Development Authority, Ser YY, RB | ||||||||||||
4.197%, 06/15/2019 | 350 | 353 | ||||||||||
New York — 0.2% | ||||||||||||
New York State, Urban Development, RB | ||||||||||||
5.770%, 03/15/2039 | 275 | 320 | ||||||||||
Total Municipal Bonds |
| 1,545 | ||||||||||
COMMERCIAL PAPER — 0.4% | ||||||||||||
JPMorgan 2.313%, | 640 | 639 | ||||||||||
Total Commercial Paper |
| 639 | ||||||||||
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Continued)
Description | Shares | Market Value ($ Thousands) | ||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, Government Fund, Cl F | ||||||||||||
1.750%**† | 5,202,661 | $ | 5,203 | |||||||||
(Cost $5,203) ($ Thousands) | 5,203 | |||||||||||
Total Investments in Securities — 106.9% |
| $ | 169,266 | |||||||||
Description | Contracts | Market Value ($Thousands) | ||||||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||||||
Total Purchased Options (E) | 1,710,038 | $ | 22 | |||||||||
WRITTEN OPTIONS* — 0.0% | ||||||||||||
Total Written Options (E) | (1,145,253 | ) | $ | (11 | ) | |||||||
A list of the exchange traded options held by the Fund at August 31, 2018, is as follows:
Description | Number of Contracts | Notional Amount (Thousands)^ | Exercise Price | Expiration Date | Value (Thousands) | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Call Options | ||||||||||||||||||||
October 2018, U.S. Bond Future Option* | 19 | $ | 18 | $ | 145.00 | 09/22/18 | $ | 10 | ||||||||||||
October 2018, U.S. Bond Future Option* | 19 | 7 | 147.00 | 09/22/18 | 3 | |||||||||||||||
|
|
|
| |||||||||||||||||
Total Purchased Options | $ | 25 | $ | 13 | ||||||||||||||||
|
|
|
| |||||||||||||||||
WRITTEN OPTION — 0.0% | ||||||||||||||||||||
Call Options | ||||||||||||||||||||
November 2018, U.S. Bond Future Option* | (19 | ) | (10 | ) | 148.00 | 10/20/18 | (6 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Total Written Option | $ | (10 | ) | $ | (6 | ) | ||||||||||||||
|
|
|
|
^ | Represents cost. |
A list of the over-the-counter options held by the Fund at August 31, 2018, is as follows:
Description | Counterparty | Number of Contracts | Notional Amount (Thousands)^ | Exercise Price | Expiration Date | Value (Thousands) | ||||||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||||||
Put Options | ||||||||||||||||||||||||
OTC USD PUT/CAD CAL 1.291* | Citigroup | 780,000 | $ | 5 | $ | 1.29 | 10/20/18 | $ | 4 | |||||||||||||||
OTC USD PUT/CAD CALL 1.28* | Citigroup | 930,000 | 7 | 1.28 | 10/20/18 | 5 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Purchased Option | 12 | $ | 9 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||||||
Put Options | ||||||||||||||||||||||||
OTC USD PUT/BRL CALL 3.75* | Citigroup | (400,000 | ) | (5 | ) | 3.75 | 11/17/18 | (4 | ) | |||||||||||||||
OTC USD PUT/KRW CALL 1,084* | Citigroup | (745,234 | ) | (6 | ) | 1,084.00 | 09/22/18 | (1 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Written Option | (11 | ) | $ | (5 | ) | |||||||||||||||||||
|
|
|
|
^ | Represents cost. |
22 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
A list of the open futures contracts held by the Fund at August 31, 2018, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
90-Day Euro$ | (4 | ) | Sep-2018 | $ | (984 | ) | $ | (976 | ) | $ | 8 | |||||||||
90-Day Euro$ | (15 | ) | Dec-2018 | (3,684 | ) | (3,652 | ) | 32 | ||||||||||||
90-Day Euro$ | 47 | Dec-2019 | 11,431 | 11,403 | (28 | ) | ||||||||||||||
90-Day Euro$ | (16 | ) | Mar-2019 | (3,910 | ) | (3,890 | ) | 20 | ||||||||||||
90-Day Euro$ | 5 | Mar-2021 | 1,218 | 1,214 | (4 | ) | ||||||||||||||
U.S. 2-Year Treasury Note | 44 | Dec-2018 | 9,307 | 9,300 | (7 | ) | ||||||||||||||
U.S. 5-Year Treasury Note | (6 | ) | Dec-2018 | (680 | ) | (680 | ) | — | ||||||||||||
U.S. 10-Year Treasury Note | 9 | Dec-2018 | 1,084 | 1,082 | (2 | ) | ||||||||||||||
U.S. Long Treasury Bond | (13 | ) | Dec-2018 | (1,877 | ) | (1,875 | ) | 2 | ||||||||||||
U.S. Ultra Long Treasury Bond | 12 | Dec-2018 | 1,920 | 1,912 | (8 | ) | ||||||||||||||
Ultra 10-Year U.S. Treasury Note | (16 | ) | Dec-2018 | (2,053 | ) | (2,049 | ) | 4 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 11,772 | $ | 11,789 | $ | 17 | |||||||||||||||
|
|
|
|
|
|
A list of the open forward foreign currency contracts held by the Fund at August 31, 2018, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||
Citigroup | 09/28/18 | USD | 174 | TWD | 5,330 | $ | — | |||||||||||||||||
Citigroup | 10/17/18 | USD | 525 | INR | 36,380 | (14 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 1 | CNH | 7 | — | ||||||||||||||||||
Citigroup | 10/18/18 | USD | 176 | ZAR | 2,370 | (15 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 196 | GBP | 148 | (4 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 273 | EUR | 232 | (2 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 415 | IDR | 6,068,320 | (14 | ) | |||||||||||||||||
Citigroup | 10/18/18 | AUD | 500 | USD | 373 | 11 | ||||||||||||||||||
Citigroup | 10/18/18 - 11/23/18 | USD | 601 | BRL | 2,378 | (27 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 934 | RUB | 58,693 | (67 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 987 | JPY | 109,766 | 6 | ||||||||||||||||||
Citigroup | 10/18/18 | EUR | 692 | USD | 814 | 6 | ||||||||||||||||||
Citigroup | 10/18/18 | EUR | 596 | USD | 678 | (18 | ) | |||||||||||||||||
Citigroup | 10/18/18 | USD | 1,089 | CAD | 1,427 | 7 | ||||||||||||||||||
Citigroup | 10/18/18 | USD | 1,394 | CAD | 1,811 | (4 | ) | |||||||||||||||||
Citigroup | 10/18/18 | CNY | 2,862 | USD | 425 | 6 | ||||||||||||||||||
Citigroup | 10/18/18 | TWD | 5,330 | USD | 175 | 1 | ||||||||||||||||||
Citigroup | 10/18/18 | PHP | 32,016 | USD | 592 | (3 | ) | |||||||||||||||||
Citigroup | 10/18/18 | KRW | 660,871 | USD | 592 | (1 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (132 | ) | ||||||||||||||||||||||
|
|
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2018
Catholic Values Fixed Income Fund (Concluded)
A list of open centrally cleared swap agreements held by the Fund at August 31, 2018, is as follows:
Credit Default Swap | ||||||||||||||||||||||||||||||||
Reference Entity/ Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Payment Frequency | Termination Date | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||||||||||
CDX.NA.IG.30 | Sell | 1.00% | Quarterly | 06/20/2023 | (4,240 | ) | $ | 74 | $ | 73 | $ | 1 | ||||||||||||||||||||
|
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|
|
|
| |||||||||||||||||||||||||||
$ | 74 | $ | 73 | $ | 1 | |||||||||||||||||||||||||||
|
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|
|
|
|
Interest Rate Swaps | ||||||||||||||||||||||||
Fund Pays | Fund Receives | Payment Frequency | Termination Date | Currency | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) (Thousands) | ||||||||||||||||
3M USD LIBOR | 2.85% | Semi-Annual | 08/31/2022 | USD | 4,634 | $ | (4 | ) | $ | (18 | ) | $ | 14 | |||||||||||
3M USD LIBOR | 3M USD FEDL01 | Quarterly | 09/19/2023 | USD | 9,223 | 20 | — | 20 | ||||||||||||||||
2.95% | 3-MONTH USD - LIBOR | Quarterly | 11/15/2043 | USD | 379 | 4 | (2 | ) | 6 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 20 | $ | (20 | ) | $ | 40 | ||||||||||||||||||
|
|
|
|
|
|
For the period ended August 31, 2018, the total amount of all swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the period.
24 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
Percentages are based on Net Assets of $158,315 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of August 31, 2018. |
† | Investment in Affiliated Security (see Note 2). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On August 31, 2018, the value of these securities amounted to $21,912 ($ Thousands), representing 13.84% of the Net Assets of the Fund. |
(B) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(C) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(D) | Unsettled bank loan. Interest rate not available. |
(E) | Refer to table below for details on Options Contracts. |
ABS — Asset-Backed Security
AUD — Australian Dollar
BRL — Brazilian Real
Cl — Class
CMO — Collateralized Mortgage Obligation
CNH — Chinese Yuan Offshore
CNY — Chinese Yuan Onshore
DN — Discount Note
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
IDR — Indonesian Rupiah
INR — Indian Rupee
JPY — Japanese Yen
KRW — Korean Won
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
RUB — Russian Ruble
Ser — Series
TBA — To Be Announced
TWD — Taiwan Dollar
ULC — Unlimited Liability Company
USD — United States Dollar
VAR — Variable Rate
ZAR — South African Rand
The following is a list of the inputs used as of August 31, 2018, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 48,927 | $ | — | $ | 48,927 | ||||||||
Mortgage-Backed Securities | — | 44,141 | — | 44,141 | ||||||||||||
U.S. Treasury Obligations | — | 41,039 | — | 41,039 | ||||||||||||
Asset-Backed Securities | — | 17,059 | — | 17,059 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 5,360 | — | 5,360 | ||||||||||||
Loan Participations | — | 2,877 | — | 2,877 | ||||||||||||
Sovereign Debt | — | 2,476 | — | 2,476 | ||||||||||||
Municipal Bonds | — | 1,545 | — | 1,545 | ||||||||||||
Commercial Paper | — | 639 | — | 639 | ||||||||||||
Cash Equivalent | 5,203 | — | — | 5,203 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,203 | $ | 164,063 | $ | — | $ | 169,266 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (11 | ) | $ | — | $ | — | $ | (11 | ) | ||||||
Purchased Options | 22 | — | — | 22 | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 66 | — | — | 66 | ||||||||||||
Unrealized Depreciation | (49 | ) | — | — | (49 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 37 | — | 37 | ||||||||||||
Unrealized Depreciation | — | (169 | ) | — | (169 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 1 | — | 1 | ||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 40 | — | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 28 | $ | (91 | ) | $ | — | $ | (63 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Amounts designated as “—” are $0.
For the period ended August 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended August 31, 2018, there were no transfers between Level 2 and Level 3 assets and liabilities. For the period ended August 31, 2018, there were no Level 3 securities.
The following is a summary of the Fund’s transactions with affiliates for the year ended August 31, 2018 ($ Thousands):
Security Description | Value 2/28/18 | Purchases at Cost | Proceeds from Sales | Value 8/31/2018 | Dividend Income | |||||||||||||||
SEI Daily Income Trust, Government Fund, Cl F | $ | 8,683 | $ | 39,475 | $ | (42,955 | ) | $ | 5,203 | $ | 43 | |||||||||
|
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|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 25 |
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) ($ THOUSANDS)
August 31, 2018
Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||
Assets: | ||||||||
Investments, at value† | $ | 258,088 | $ | 164,063 | ||||
Affiliated investments, at value†† | 11,931 | 5,203 | ||||||
Cash and cash equivalent | 4,387 | — | ||||||
Cash collateral on futures | 151 | 74 | ||||||
Cash collateral on swap contracts | — | 141 | ||||||
Foreign currency, at value††† | 110 | 1 | ||||||
Receivable for fund shares sold | 1 | 1 | ||||||
Receivable for investment securities sold | 163 | 1,853 | ||||||
Dividends and Interest receivable | 398 | 909 | ||||||
Unrealized appreciation on forward foreign currency contracts | — | 37 | ||||||
Options purchased, at value†††† | — | 22 | ||||||
Receivable for variation margin | 1 | 13 | ||||||
Prepaid expenses | 30 | 16 | ||||||
Total Assets | 275,260 | 172,333 | ||||||
Liabilities: | ||||||||
Payable for investment securities purchased | — | 13,687 | ||||||
Income distribution payable | — | 2 | ||||||
Options written, at value# | — | 11 | ||||||
Payable to custodian | — | 6 | ||||||
Payable for variation margin | — | 6 | ||||||
Investment advisory fees payable | 94 | 39 | ||||||
Administration fees payable | 62 | 21 | ||||||
Shareholder servicing fees payable, Class F | 18 | 10 | ||||||
Unrealized depreciation on foreign currency spot contracts | — | 17 | ||||||
Unrealized depreciation on forward foreign currency contracts | — | 169 | ||||||
Trustees fees payable | 2 | 1 | ||||||
Chief Compliance Officer fees payable | 1 | 1 | ||||||
Accrued expense payable | 48 | 48 | ||||||
Total Liabilities | 225 | 14,018 | ||||||
Net Assets | $ | 275,035 | $ | 158,315 | ||||
†Cost of investments | $ | 206,468 | $ | 166,082 | ||||
††Cost of affiliated investments | 11,931 | 5,203 | ||||||
†††Cost of foreign currency | 110 | — | ||||||
††††Cost of purchased options | — | 38 | ||||||
# Premiums received on written options | — | 21 | ||||||
Net Assets: | ||||||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 213,965 | $ | 161,722 | ||||
Undistributed (distributions in excess of) net investment income | 2,168 | (83 | ) | |||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts and foreign currency | 7,130 | (1,211 | ) | |||||
Net unrealized appreciation (depreciation) on investments and securities sold short | 51,620 | (2,019 | ) | |||||
Net unrealized (depreciation) on options | — | (6 | ) | |||||
Net unrealized appreciation on futures contracts | 151 | 17 | ||||||
Net unrealized appreciation on swap contracts | — | 41 | ||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 1 | (146 | ) | |||||
Net Assets | $ | 275,035 | $ | 158,315 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class F | $ | 13.13 | $ | 9.76 | ||||
($235,496,757 ÷ | ($121,559,529 ÷ | |||||||
17,940,246 shares | ) | 12,459,589 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $ | 13.11 | $ | 9.77 | ||||
($39,538,563 ÷ | ($36,755,477 ÷ | |||||||
3,015,246 shares | ) | 3,762,780 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
STATEMENTS OF OPERATIONS (UNAUDITED) ($ THOUSANDS)
For the six-month period ended August 31, 2018 (Unaudited)
Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||
Investment Income: | ||||||||
Dividends | $ | 3,006 | $ | — | ||||
Dividends from Affiliated Registered Investment Company(1) | 65 | 43 | ||||||
Interest Income | 32 | 2,465 | ||||||
Less: Foreign Taxes Withheld | (144 | ) | (2 | ) | ||||
Total Investment Income | 2,959 | 2,506 | ||||||
Expenses: | ||||||||
Investment Advisory Fees | 794 | 269 | ||||||
Administration Fees | 397 | 154 | ||||||
Shareholder Servicing Fees, Class F Shares | 286 | 148 | ||||||
Registration Fees | 38 | 22 | ||||||
Professional Fees | 30 | 17 | ||||||
Printing Fees | 16 | 9 | ||||||
Custodian/Wire Agent Fees | 10 | 22 | ||||||
Trustees’ Fees | 2 | 1 | ||||||
Chief Compliance Officer Fees | — | — | ||||||
Other Expenses | 24 | 53 | ||||||
Total Expenses | 1,597 | 695 | ||||||
Less: | ||||||||
Waiver of investment advisory fees | (255 | ) | (46 | ) | ||||
Waiver of shareholder servicing fees, Class F Shares | (172 | ) | (89 | ) | ||||
Waiver of administration fees | (45 | ) | (28 | ) | ||||
Net Expenses | 1,125 | 532 | ||||||
Net Investment Income | 1,834 | 1,974 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investments | 3,682 | (244 | ) | |||||
Futures Contracts | (10 | ) | 53 | |||||
Foreign Currency Transactions | (4 | ) | 8 | |||||
Purchased and Written Options | — | 11 | ||||||
Swap Contracts | — | 151 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | 6,796 | (202 | ) | |||||
Futures Contracts | 151 | (17 | ) | |||||
Purchased and Written Options | — | (42 | ) | |||||
Swap Contracts | — | (63 | ) | |||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | 1 | (114 | ) | |||||
Net Increase in Net Assets Resulting from Operations | $ | 12,450 | $ | 1,515 |
(1) | See Note 5 in the Notes to the Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 27 |
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS)
For the six-month period ended August 31, 2018 (Unaudited) and the year end February 28, 2018
Catholic Values Equity Fund | Catholic Values Fixed Income Fund | |||||||||||||||
8/31/2018 | 2/28/2018 | 8/31/2018 | 2/28/2018 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 1,834 | $ | 2,141 | $ | 1,974 | $ | 2,577 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options and Swap Contracts | 3,672 | 16,959 | (29 | ) | (30 | ) | ||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (4 | ) | 13 | 8 | (12 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold | ||||||||||||||||
Short, Futures Contracts, Options and Swap Contracts | 6,947 | 19,061 | (324 | ) | (1,826 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and | ||||||||||||||||
Translation of Other Assets and Liabilities Denominated in Foreign Currencies | 1 | (1 | ) | (114 | ) | (11 | ) | |||||||||
Net Increase in Net Assets Resulting from Operations | 12,450 | 38,173 | 1,515 | 698 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class F | — | (1,620 | ) | (1,593 | ) | (2,688 | ) | |||||||||
Class Y | — | (156 | ) | (485 | ) | (159 | ) | |||||||||
Total Dividends and Distributions | — | (1,776 | ) | (2,078 | ) | (2,847 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Class F: | ||||||||||||||||
Proceeds from Shares Issued | 6,107 | 26,795 | 6,715 | 22,755 | ||||||||||||
Reinvestment of Dividends & Distributions | — | 1,620 | 1,588 | 2,679 | ||||||||||||
Cost of Shares Redeemed | (6,529 | ) | (23,901 | ) | (2,429 | ) | (19,166 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Class F Transactions | (422 | ) | 4,514 | 5,874 | 6,268 | |||||||||||
Class Y: | ||||||||||||||||
Proceeds from Shares Issued | 7,800 | 22,399 | 7,060 | 34,495 | ||||||||||||
Reinvestment of Dividends & Distributions | — | 156 | 484 | 159 | ||||||||||||
Cost of Shares Redeemed | (4,480 | ) | (1,203 | ) | (5,854 | ) | (93 | ) | ||||||||
Net Increase in Net Assets from Class Y Transactions | 3,320 | 21,352 | 1,690 | 34,561 | ||||||||||||
Net Increase in Net Assets Derived from Capital Share Transactions | 2,898 | 25,866 | 7,564 | 40,829 | ||||||||||||
Net Increase in Net Assets | 15,348 | 62,263 | 7,001 | 38,680 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of Period | 259,687 | 197,424 | 151,314 | 112,635 | ||||||||||||
End of Period | $ | 275,035 | $ | 259,687 | $ | 158,315 | $ | 151,315 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income | $ | 2,168 | $ | 334 | $ | (83 | ) | $ | 21 | |||||||
Capital Share Transactions: | ||||||||||||||||
Class F: | ||||||||||||||||
Shares Issued | 480 | 2,363 | 689 | 2,275 | ||||||||||||
Shares Issued in Lieu of Dividends & Distributions | — | 131 | 163 | 268 | ||||||||||||
Shares Redeemed | (514 | ) | (2,040 | ) | (249 | ) | (1,910 | ) | ||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | (34 | ) | 454 | 603 | 633 | |||||||||||
Capital Share Transactions: | ||||||||||||||||
Class Y: | ||||||||||||||||
Shares Issued | 614 | 1,763 | 723 | 3,464 | ||||||||||||
Shares Issued in Lieu of Dividends & Distributions | — | 13 | 49 | 16 | ||||||||||||
Shares Redeemed | (361 | ) | (100 | ) | (598 | ) | (9 | ) | ||||||||
Net Increase in Shares Outstanding from Share Transactions | 253 | 1,676 | 174 | 3,471 |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
28 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
For the six-month period ended August 31, 2018 (Unaudited) and the year or period ended February 28,
For a share outstanding throughout the year or period
Net Asset Value, Beginning of Period | Net Investment | Net Realized Unrealized Gains (Losses) on | Total from | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net to Average Net Assets | Portfolio Turnover Rate† | |||||||||||||||||||||||||||||||||||||||||||
Catholic Values Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018@ | $12.53 | $0.09 | $0.51 | $0.60 | $— | $— | $— | $13.13 | 4.79% | $235,497 | 0.86% | 1.24% | 1.37% | 23% | ||||||||||||||||||||||||||||||||||||||||||
2018 | 10.61 | 0.11 | 1.90 | 2.01 | (0.09) | — | (0.09) | 12.53 | 18.93 | 225,146 | 0.86 | 1.24 | 0.94 | 56 | ||||||||||||||||||||||||||||||||||||||||||
2017 | 8.57 | 0.09 | 2.05 | 2.14 | (0.10) | — | (0.10) | 10.61 | 25.03 | 185,908 | 0.86 | 1.25 | 0.88 | 63 | ||||||||||||||||||||||||||||||||||||||||||
2016(2) | 10.00 | 0.08 | (1.44) | (1.36) | (0.07) | — | (0.07) | 8.57 | (13.66) | 142,564 | 0.86 | 1.32 | 0.96 | 84 | ||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018@ | $12.51 | $0.09 | $0.51 | $0.60 | $— | $— | $— | $13.11 | 4.80% | $39,538 | 0.76% | 0.99% | 1.47% | 23% | ||||||||||||||||||||||||||||||||||||||||||
2018 | 10.60 | 0.12 | 1.90 | 2.02 | (0.11) | — | (0.11) | 12.51 | 19.05 | 34,541 | 0.76 | 0.99 | 1.06 | 56 | ||||||||||||||||||||||||||||||||||||||||||
2017 | 8.56 | 0.10 | 2.06 | 2.16 | (0.12) | — | (0.12) | 10.60 | 25.28 | 11,516 | 0.76 | 1.00 | 0.98 | 63 | ||||||||||||||||||||||||||||||||||||||||||
2016(3) | 10.04 | 0.07 | (1.47) | (1.40) | (0.08) | — | (0.08) | 8.56 | (14.05) | 9,308 | 0.76 | 1.07 | 1.01 | 84 | ||||||||||||||||||||||||||||||||||||||||||
Catholic Values Fixed Income Fund |
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Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018@ | $9.79 | $0.12 | $(0.02) | $0.10 | $(0.13) | $— | $(0.13) | $9.76 | 1.05% | $121,560 | 0.71% | 0.96% | 2.55% | 81% | ||||||||||||||||||||||||||||||||||||||||||
2018 | 9.93 | 0.20 | (0.11) | 0.09 | (0.23) | — | (0.23) | 9.79 | 0.87 | 116,124 | 0.71 | 0.96 | 2.06 | 194 | ||||||||||||||||||||||||||||||||||||||||||
2017 | 9.89 | 0.19 | 0.11 | 0.30 | (0.23) | (0.03) | (0.26) | 9.93 | 3.11 | 111,465 | 0.71 | 1.04 | 1.87 | 124 | ||||||||||||||||||||||||||||||||||||||||||
2016(2) | 10.00 | 0.14 | (0.09) | 0.05 | (0.16) | — | (0.16) | 9.89 | 0.54 | 86,406 | 0.71 | 1.09 | 1.77 | 216 | ||||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018@ | $9.81 | $0.13 | $(0.03) | $0.10 | $(0.14) | $— | $(0.14) | $9.77 | 0.99% | $36,755 | 0.61% | 0.71% | 2.65% | 81% | ||||||||||||||||||||||||||||||||||||||||||
2018 | 9.94 | 0.23 | (0.12) | 0.11 | (0.24) | — | (0.24) | 9.81 | 1.07 | 35,191 | 0.61 | 0.74 | 2.35 | 194 | ||||||||||||||||||||||||||||||||||||||||||
2017 | 9.89 | 0.20 | 0.15 | 0.35 | (0.24) | (0.03) | (0.27) | 9.94 | 3.32 | 1,170 | 0.61 | 0.79 | 1.97 | 124 | ||||||||||||||||||||||||||||||||||||||||||
2016(3) | 9.95 | 0.14 | (0.04) | 0.10 | (0.16) | — | (0.16) | 9.89 | 1.00 | 1,185 | 0.61 | 0.84 | 1.97 | 216 |
@ | For the six-month period ended August 31, 2018. All ratios for the period have been annualized. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | Commenced operations on April 30, 2015. All ratios for the period have been annualized. |
(3) | Commenced operations on May 31, 2015. All ratios for the period have been annualized. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
August 31, 2018
1. ORGANIZATION
SEI Catholic Values Trust (the “Trust”) is organized as a Delaware statutory trust under a Declaration of Trust dated December 8, 2014.
The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with two operational Funds: Catholic Values Equity Fund (“Equity Fund”) and Catholic Values Fixed Income Fund (“Fixed Income Fund”) (each a “Fund,” collectively, the “Funds”), both of which are diversified Funds. The Trust is registered to offer: Class F (Formerly Class A shares) and Class Y shares of the Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and strategies.
In addition to its objective and strategies, each of the Funds makes investment decisions consistent with Catholic values on a range of social and moral concerns that may include: protecting human life; promoting human dignity; reducing arms production; pursuing economic justice; protecting the environment, and encouraging corporate responsibility. Potential investments for the Funds are first selected for financial soundness and then evaluated according to the Funds’ social criteria. The Adviser has engaged an independent compliance support organization that has identified a list of issuers that do not align with Catholic values. The Funds will not invest in issuers identified through this process. The Adviser reserves the right to modify the criteria from time to time to maintain alignment with evolving Catholic social and moral positions.
2. SIGNIFICANT 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 accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amount 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 (other than securities traded on National Association of Securities Dealers Automated Quotations (“NASDAQ”) or as
otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. 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. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost
30 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
does not approximate fair value, then the amortized cost method may not be used.
Options and warrants are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (“Centrally Cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser (“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, monitors the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, notifies the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.
The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) 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. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.
The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
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 (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
August 31, 2018
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.
The Equity Fund and Fixed Income Fund, which may hold international securities, use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the 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, these Funds 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.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of 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 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 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts.
The valuation techniques used by the Funds to measure fair value during the period ended August 31, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the period ended August 31, 2018, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classifications reference the Schedules of Investments.
Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.
Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method, which approximates the
32 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
effective interest method over the holding period of the security, which is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.
Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:
(i) market value of investment securities, assets and liabilities at the current rate of exchange; and
(ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are market-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 gains or losses are incurred. When contracts are closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.
It is the Funds’ policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statement of Assets and Liabilities as the Funds do not have a master netting agreement with the counter party to the future contracts.
Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of August 31, 2018, if applicable.
Master Limited Partnerships — Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in the after-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole.
Inflation-Indexed Bonds — Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar
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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
August 31, 2018
guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Options Written/Purchased — To the extent consistent with its investment objective and strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the 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 the Fund pays a premium whether or not the option is exercised. The 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. In connection with option agreement securities may be set aside as collateral by a Fund’s custodian.
The cost of purchased options and the premiums received for written options that are presented in the Schedule of Investments are representative of the volume of activity during the period ended August 31, 2018.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open options contracts as of August 31, 2018, if applicable.
Securities Sold Short — To the extent consistent with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. A Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time
of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
Refer to each Fund’s Schedule of Investments for details regarding securities sold short as of August 31, 2018, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. 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. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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.
34 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
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 ever actually owning the underlying security. The receiver must pay any decline in value to the payer 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 asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.
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. Centrally Cleared swaps are valued at the settlement price established each day by the board on exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“Variation Margin”) on the Statements of Assets and Liabilities.
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.
It is the Funds’ policy to present the gross variation margin payable and the gross variation margin receivable of the swap contracts separately on the
Statement of Assets and Liabilities as the Funds do not have a master netting agreement with the counter party to the swap contracts. See Note 3 for further details. Refer to each Fund’s Schedule of Investments, for details regarding open swap agreements as of August 31, 2018, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “Equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market
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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
August 31, 2018
anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
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.
Restricted Securities — Throughout the period, the Funds may own private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by the Board of Trustees. At August 31, 2018, the Funds did not own any restricted securities.
Classes — Class-specific expenses are borne by that class of shares. Income, expenses, and realized and unrealized gains/losses and non- class-specific expenses are allocated to the respective class on the basis of relative daily net assets.
Expenses — Expenses that are directly related to one of the Funds are charged directly to that Fund. Other
operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash equivalents on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
Dividends and Distributions to Shareholders — The Equity Fund will distribute its net investment income annually. The Fixed Income Fund declares its net investment income daily and distributes monthly. The Funds make distributions of capital gains, if any, at least annually.
Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
A Fund may use credit default 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, credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying
36 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or
entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
As of August 31, 2018, the Fixed Income Fund is the seller (“Providing Protection”) on a total notional amount of $4.2 million. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts 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 (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CREDIT DEFAULT SWAPS | CREDIT DEFAULT SWAP INDEX | ||||||||||||||||||
REFERENCE ASSET | CORPORATE DEBT | SOVERIGN DEBT | �� | ASSET BACKED SECURITIES | CORPORATE DEBT | Total | ||||||||||||||
Fair value of written credit derivatives | $ | — | $ | — | $ | — | $ | 74,427 | $ | 74,427 | ||||||||||
Maximum potential amount of future payments | — | — | — | 4,240,000 | 4,240,000 | |||||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | 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. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | 4,240,000 | $ | — | $ | — | $ | 4,240,000 | ||||||||||||
> than 100 | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | — | $ | 4,240,000 | $ | — | $ | — | $ | 4,240,000 |
* | 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. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period with only one type of risk exposure, additional information can be found on the Schedule of Investments and the Statement of Operations.
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
August 31, 2018
The fair value of derivative instruments as of August 31, 2018 was as follows ($ Thousands):
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: |
| |||||||||||
Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 66 | * | Net Assets — Unrealized appreciation on futures contracts | $ | 49 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 40 | † | Net Assets — Unrealized appreciation on swap contracts | — | ||||||||
Exchange traded options purchased, at value | 13 | Exchange traded options written, at value | 7 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 37 | Unrealized loss on forward foreign currency contracts | 169 | ||||||||
Over-the-counter options purchased, at value | 9 | Over-the-counter options written, at value | 4 | |||||||||
Credit Contracts | Net Assets — Unrealized appreciation on swap contracts | 1 | Net Assets — Unrealized appreciation on swap contracts | — | † | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 166 | $ | 229 | ||||||||
|
|
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statements of Operations for the period ended August 31, 2018.
Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Equity Fund | ||||||||||||||||||||
Equity Contracts | $ | — | $ | (10 | ) | $ | — | $ | — | $ | (10 | ) | ||||||||
Foreign Exchange Contracts | — | — | (4 | ) | — | (4 | ) | |||||||||||||
Total | $ | — | $ | (10 | ) | $ | (4 | ) | $ | — | $ | (14 | ) | |||||||
Fixed Income Fund | ||||||||||||||||||||
Interest Rates | $ | 18 | $ | 53 | $ | — | $ | — | $ | 71 | ||||||||||
Foreign exchange contracts | (7 | ) | — | 8 | — | 1 | ||||||||||||||
Credit contracts | — | — | — | 151 | 151 | |||||||||||||||
Total | $ | 11 | $ | 53 | $ | 8 | $ | 151 | $ | 223 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Equity Fund | ||||||||||||||||||||
Equity Contracts | $ | — | $ | 151 | $ | 1 | $ | — | $ | 152 | ||||||||||
Total | $ | — | $ | 151 | $ | 1 | $ | — | $ | 152 | ||||||||||
Fixed Income Fund | ||||||||||||||||||||
Interest Rates | $ | (42 | ) | $ | (17 | ) | $ | — | $ | — | $ | (59 | ) | |||||||
Foreign exchange contracts | — | — | (114 | ) | — | (114 | ) | |||||||||||||
Credit contracts | — | — | — | (63 | ) | (63 | ) | |||||||||||||
Total | $ | (42 | ) | $ | (17 | ) | $ | (114 | ) | $ | (63 | ) | $ | (236 | ) |
5. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration, Distribution and Custodian Agreements — SIMC serves as each Fund’s investment adviser (the “Adviser”) and
“Manager of Managers” under an investment advisory agreement approved by the shareholders of each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments Global Funds Services (the “Administrator”) provides the Trust with administrative
38 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
and transfer agency services. For its services, the Administrator is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
The Fund has adopted a shareholder servicing plan (the “Shareholder Servicing Plan”) under which a shareholder servicing fee of up to 0.25% of the average daily net assets of Class F shares of the Funds will be paid to other service providers. Under the Shareholder Servicing Plan, other service providers may perform, or may compensate other service providers for performing, certain shareholder and administrative services.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level.
The waivers by the Funds’ Adviser, Administrator and/ or Distributor are limited to the Funds’ direct operating
expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntary and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each Fund:
Advisory Fee | Shareholder Servicing Fee | Voluntary Expense Limitation | ||||||||||
Equity Fund | ||||||||||||
Class F | 0.60 | % | 0.25 | % | 0.86 | % | ||||||
Class Y | 0.60 | % | 0.00 | % | 0.76 | % | ||||||
Fixed Income Fund | ||||||||||||
Class F | 0.35 | % | 0.25 | % | 0.71 | % | ||||||
Class Y | 0.35 | % | 0.00 | % | 0.61 | % |
The following is a summary of annual fees payable to the Administrator:
First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | ||||||||||||||||
Equity Fund | 0.300 | % | 0.260 | % | 0.210 | % | 0.1700 | % | 0.120 | % | ||||||||||
Fixed Income Fund | 0.200 | % | 0.1775 | % | 0.1550 | % | 0.1325 | % | 0.110 | % |
Investment Sub-Advisory Agreements — As of August 31, 2018, SIMC has entered into Investment Sub-Advisory Agreements with the following parties:
Investment Sub-Adviser |
Equity Fund
BlackRock Investment Management, LLC
Brandywine Global Investment Management, LLC
Coho Partners, Ltd.
EAM Investors, LLC
EARNEST Partners, LLC
Parametric Portfolio Associates LLC
Snow Capital Management, L.P.
Fixed Income Fund
Income Research & Management
Western Asset Management Company
Western Asset Management Company Limited
Under the investment sub-advisory agreements, each sub-adviser receives an annual fee, paid by SIMC.
The Administrator and Distributor have voluntarily agreed to waive a portion of their fee for each fund. The
following table lists the waivers for the period ended August 31, 2018 ($ Thousands):
Administration Fee Waiver | Shareholder Servicing Fee Waiver (Class F) | |||||||
Equity Fund | $ | 45 | $ | 172 | ||||
Fixed Income Fund | 28 | 89 |
U.S. Bank, N.A. serves as the custodian of the Fixed Income Fund. Brown Brothers Harriman & Co. serves as the custodian of the Equity Fund. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds.
Investment in Affiliated Securities — The Funds may invest in the SEI Daily Income Trust Government Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. Refer to the Fund’s Schedule of Investments
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 39 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
August 31, 2018
for details regarding transactions with affiliates for the year ended August 31, 2018, if applicable.
Payment to Affiliates — Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser and/or the Distributor pays compensation of Officers and affiliated Trustees.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the administrator, are paid for by the Trust as incurred.
6. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended August 31, 2018, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||||||
Equity Fund |
| |||||||||||||||
Purchases | $ | — | $ | 57,356 | $ | 57,356 | ||||||||||
Sales | — | 58,996 | 58,996 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||||||
Fixed Income Fund |
| |||||||||||||||
Purchases | 105,405 | 17,720 | 123,125 | |||||||||||||
Sales | 108,394 | 8,801 | 117,195 |
7. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
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 U.S. GAAP. 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 and distributions paid during the year ended February 28, 2018 and year ended February 28, 2017 was as follows:
Tax-Exempt Income ($ Thousands) | Ordinary Income ($ Thousands) | Long-term Capital Gain ($ Thousands) | Total ($ Thousands) | |||||||||||||
Equity Fund | ||||||||||||||||
2018 | $ | — | $ | 1,776 | $ | — | $ | 1,776 | ||||||||
2017 | — | 1,828 | — | 1,828 | ||||||||||||
Fixed Income Fund | ||||||||||||||||
2018 | — | 2,847 | — | $ | 2,847 | |||||||||||
2017 | — | 2,543 | — | 2,543 |
As of February 28, 2018, the components of distributable earnings (accumulated losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss | Post- October | Late Year Ordinary Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings/ (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Catholic Values Equity Fund | $ | 428 | $ | 4,678 | $ | — | $ | — | $ | — | $ | 43,543 | $ | (31 | ) | $ | 48,618 | |||||||||||||||
Catholic Values Fixed Income Fund | 275 | — | (837 | ) | — | — | (1,975 | ) | (305 | ) | (2,842 | ) |
Post October losses represent losses realized on investment transactions from November 1, 2017 through February 28, 2018 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. Deferred Late-Year Losses represent ordinary losses realized on investment transactions from January 1, 2018 through
February 28, 2018 and specified losses realized on investment transactions from November 1, 2017 through February 28, 2018, that, in accordance with Federal income tax regulations, the Fund defers and treats as having arisen in the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to
40 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:
Short-Term | Long-Term | |||||||||||
Loss | Gain (Loss) | Total* | ||||||||||
($ Thousands) | ($ Thousands) | ($ Thousands) | ||||||||||
Fixed Income Fund | $ | (7 | )) | (830 | ) | (837 | ) |
* | This table should be used in conjunction with the capital loss carryforwards table. |
During the fiscal year ended February 28, 2018, the following Funds utilized capital loss carryforward to offset capital gains:
Amount Utilized | ||||
($ Thousands) | ||||
Equity Fund | $ | 11,837 |
For Federal income tax purposes, the cost of securities owned at February 28, 2018, and net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales, QPTP basis, and PFIC MTM, which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at August 31, 2018, were as follows:
Federal Tax Cost ($ Thousands) | Aggregate Gross Unrealized Appreciation ($ Thousands) | Aggregate Gross Unrealized Depreciation ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||||
Equity Fund | $ | 218,399 | $ | 57,548 | $ | (5,928 | ) | $ | 51,620 | |||||||
Fixed Income Fund | 171,284 | 674 | (2,693 | ) | (2,019 | ) |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of August 31, 2018, 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.
8. CONCENTRATION/RISKS
In the normal course of business, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes the risk of loss from such claim is considered remote.
The market values of the Fixed Income Fund’s investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of
an issuer to make payments of interest and principal may also affect the value of these investments.
The following descriptions provide additional information about some of the risks of investing in the Funds:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Catholic Values Investing Risk — The Funds consider the United States Conference of Catholic Bishops’ Socially Responsible Investing Guidelines (“Guidelines”) in its investment process and may choose not to purchase, or may sell, otherwise profitable investments in companies which have been identified as being in conflict with the Guidelines. This means that the Funds may underperform other similar mutual funds that do not consider the Guidelines when making investment decisions.
Currency Risk — To the extent a Fund takes positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 41 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded)
August 31, 2018
imposition of currency controls or other political developments in the United States or abroad.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Fixed Income Market Risk — The prices of a Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations.
Please refer to each Fund’s current prospectus for additional disclosure regarding the risks associated with investing in the Funds. The foregoing is not intended to be a complete discussion of the risks associated with the investment strategies of the Funds.
9. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of August 31, 2018, SPTC held of record the following:
Equity Fund | ||||
Class F | 99.31 | % | ||
Class Y | 73.95 | % | ||
Fixed Income Fund | ||||
Class F | 99.80 | % | ||
Class Y | 67.50 | % |
SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (“SITA”), and operates in an omnibus fund account environment.
10. REGULATORY MATTERS
In August 2018, The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
11. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of August 31, 2018.
42 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
DISCLOSURE OF FUND EXPENSES (UNAUDITED)
August 31, 2018
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 (March 1, 2018 through August 31, 2018).
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 Account Value 3/1/18 | Ending Account Value 8/31/18 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Catholic Values Equity Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,047.90 | 0.86 | % | $ | 4.44 | ||||||||
Class Y | 1,000.00 | 1,048.00 | 0.76 | 3.92 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,020.87 | 0.86 | % | $ | 4.38 | ||||||||
Class Y | 1,000.00 | 1,021.37 | 0.76 | 3.87 |
Beginning Account Value 3/1/18 | Ending Account Value 8/31/18 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Catholic Values Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,010.50 | 0.71 | % | $ | 3.60 | ||||||||
Class Y | 1,000.00 | 1,021.63 | 0.61 | 3.09 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,009.90 | 0.71 | % | $ | 3.62 | ||||||||
Class Y | 1,000.00 | 1,022.13 | 0.61 | 3.11 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). |
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 43 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED)
SEI Catholic Values 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 is responsible for the investment advisory services provided to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the 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 be specifically approved: (i) by the vote of the Board 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(s). In connection with their consideration of such approval(s), 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 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 Board calls and holds meetings each year to consider whether to approve new and/or renew existing 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 and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided 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 counsel 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 sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At the March 27–28, 2018 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, certain Sub-Advisory Agreements were either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at a meeting of the Board held during the course of the Trust’s fiscal year on June 26–27, 2018. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described
44 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
Nature, Extent and Quality of Services. The Board 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 each Sub-Adviser’s personnel, experience, track record and compliance program. 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 were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.
Fees. 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 the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s voluntary waiver of management and other fees to prevent total Fund operating expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. 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. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board
SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 | 45 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED) (Concluded)
took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale 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. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, 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 its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
46 | SEI Catholic Values Trust / Semi-Annual Report / August 31, 2018 |
SEI CATHOLIC VALUES TRUST August 31, 2018
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Officers
Robert A. Nesher
President and Chief Executive Officer
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn R. Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget E. Sudall
Anti-Money Laundering Compliance Officer
Privacy 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
KPMG 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 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)
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456
SEI-F-199 (8/18)
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.
Item 6. |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the International Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt Fund are included as part of the report to shareholders filed under Item 1 of this form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustee (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the independent trustees. The Committee is responsible for evaluating and recommending nominees for election to 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 Registrant’s office.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Items 12. | Disclosure of Securities Lending Activities for closed-end Management Investment Companies. |
Not applicable.
Items 13. | 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 1940 Act, 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, 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.
SEI Catholic Values Trust | ||||||
By | /s/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO |
Date: November 9, 2018
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 | /s/ Robert A. Nesher | |||||
Robert A. Nesher, President & CEO |
Date: November 9, 2018
By | /s/ James J. Hoffmayer | |||||
James J. Hoffmayer, Controller & CFO |
Date: November 9, 2018