Table of Contents
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 811-05601
SEI Institutional International 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)
c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: September 30, 2012
Date of reporting period: March 31, 2012
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
SEI Institutional International Trust
Semi-Annual Report as of March 31, 2012
International Equity Fund
Emerging Markets Equity Fund
International Fixed Income Fund
Emerging Markets Debt Fund
Table of Contents
1 | ||||
23 | ||||
24 | ||||
25 | ||||
27 | ||||
28 | ||||
38 | ||||
Board of Trustees Considerations in Approving | 39 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.0% |
| |||||||||||
Australia — 3.4% |
| |||||||||||
Australia & New Zealand Banking Group | 0.5 | % | 398,147 | $ | 9,594 | |||||||
Newcrest Mining | 0.5 | 294,124 | 9,043 | |||||||||
Rio Tinto | 0.2 | 40,885 | 2,770 | |||||||||
Other Securities | 2.2 | 40,756 | ||||||||||
|
| |||||||||||
62,163 | ||||||||||||
|
| |||||||||||
Austria — 0.0% |
| |||||||||||
Other Securities | 0.0 | 323 | ||||||||||
|
| |||||||||||
Belgium — 1.6% |
| |||||||||||
Anheuser-Busch InBev | 0.8 | 193,299 | 14,101 | |||||||||
Other Securities | 0.8 | 14,709 | ||||||||||
|
| |||||||||||
28,810 | ||||||||||||
|
| |||||||||||
Bosnia and Herzegovina — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,173 | ||||||||||
|
| |||||||||||
Brazil — 0.8% |
| |||||||||||
Other Securities | 0.8 | 13,632 | ||||||||||
|
| |||||||||||
Canada — 4.3% | ||||||||||||
Barrick Gold | 0.5 | 223,927 | 9,736 | |||||||||
Other Securities | 3.8 | 68,685 | ||||||||||
|
| |||||||||||
78,421 | ||||||||||||
|
| |||||||||||
Chile — 0.2% | ||||||||||||
Other Securities | 0.2 | 4,195 | ||||||||||
|
| |||||||||||
China — 1.0% | ||||||||||||
Other Securities | 1.0 | 18,376 | ||||||||||
|
| |||||||||||
Denmark — 1.2% | ||||||||||||
Novo Nordisk, Cl B | 0.6 | 73,558 | 10,171 | |||||||||
Other Securities | 0.6 | 11,973 | ||||||||||
|
| |||||||||||
22,144 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Finland — 0.7% | ||||||||||||
Other Securities | 0.7 | % | $ | 12,433 | ||||||||
|
| |||||||||||
France — 8.8% | ||||||||||||
BNP Paribas | 0.5 | 199,022 | 9,429 | |||||||||
Cie Generale d’Optique Essilor International | 0.5 | 101,563 | 9,039 | |||||||||
LVMH Moet Hennessy Louis Vuitton | 0.6 | 61,927 | 10,626 | |||||||||
Sanofi | 1.1 | 262,773 | 20,377 | |||||||||
Schneider Electric | 0.8 | 213,067 | 13,900 | |||||||||
Sodexo | 0.5 | 101,640 | 8,332 | |||||||||
Other Securities | 4.8 | 87,647 | ||||||||||
|
| |||||||||||
159,350 | ||||||||||||
|
| |||||||||||
Germany — 7.5% |
| |||||||||||
Linde | 0.9 | 92,326 | 16,543 | |||||||||
SAP | 0.6 | 153,213 | 10,683 | |||||||||
Siemens | 0.9 | 166,946 | 16,805 | |||||||||
Other Securities | 5.1 | 92,842 | ||||||||||
|
| |||||||||||
136,873 | ||||||||||||
|
| |||||||||||
Greece — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,119 | ||||||||||
|
| |||||||||||
Guernsey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 924 | ||||||||||
|
| |||||||||||
Hong Kong — 2.8% |
| |||||||||||
China Mobile | 0.6 | 934,500 | 10,285 | |||||||||
Other Securities | 2.2 | 39,798 | ||||||||||
|
| |||||||||||
50,083 | ||||||||||||
|
| |||||||||||
India — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,799 | ||||||||||
|
| |||||||||||
Indonesia — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,159 | ||||||||||
|
| |||||||||||
Ireland — 0.9% |
| |||||||||||
Other Securities | 0.9 | 16,906 | ||||||||||
|
| |||||||||||
Israel — 0.4% |
| |||||||||||
Other Securities | 0.4 | 6,695 | ||||||||||
|
| |||||||||||
Italy — 1.1% |
| |||||||||||
Telecom Italia | 0.5 | 8,967,271 | 8,801 | |||||||||
Other Securities | 0.6 | 10,657 | ||||||||||
|
| |||||||||||
19,458 | ||||||||||||
|
| |||||||||||
Japan — 17.1% |
| |||||||||||
Dai Nippon Printing | 0.5 | 885,100 | 9,099 | |||||||||
Fanuc | 0.5 | 46,600 | 8,313 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Honda Motor | 0.8 | % | 391,100 | $ | 14,946 | |||||||
JGC | 0.6 | 325,200 | 10,136 | |||||||||
Jupiter Telecommunications | 0.5 | 7,900 | 7,958 | |||||||||
KDDI | 0.5 | 1,475 | 9,607 | |||||||||
Nippon Telegraph & Telephone | 0.5 | 188,100 | 8,583 | |||||||||
Seven & I Holdings | 0.9 | 510,500 | 15,248 | |||||||||
SMC | 0.5 | 52,000 | 8,315 | |||||||||
Sony Financial Holdings | 0.5 | 496,000 | 8,860 | |||||||||
Toyota Motor | 0.9 | 355,300 | 15,413 | |||||||||
Other Securities | 10.4 | 194,606 | ||||||||||
|
| |||||||||||
311,084 | ||||||||||||
|
| |||||||||||
Jersey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 230 | ||||||||||
|
| |||||||||||
Malaysia — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,290 | ||||||||||
|
| |||||||||||
Malta — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Mexico — 0.0% |
| |||||||||||
Other Securities | 0.0 | 80 | ||||||||||
|
| |||||||||||
Netherlands — 5.1% |
| |||||||||||
Akzo Nobel | 0.8 | 257,089 | 15,157 | |||||||||
Reed Elsevier | 0.6 | 875,286 | 11,162 | |||||||||
Other Securities | 3.7 | 66,446 | ||||||||||
|
| |||||||||||
92,765 | ||||||||||||
|
| |||||||||||
New Zealand — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,140 | ||||||||||
|
| |||||||||||
Norway — 0.8% |
| |||||||||||
DNB | 0.6 | 890,637 | 11,430 | |||||||||
Other Securities | 0.2 | 3,634 | ||||||||||
|
| |||||||||||
15,064 | ||||||||||||
|
| |||||||||||
Poland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,732 | ||||||||||
|
| |||||||||||
Portugal — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,343 | ||||||||||
|
| |||||||||||
Puerto Rico — 0.0% |
| |||||||||||
Other Securities | 0.0 | 111 | ||||||||||
|
| |||||||||||
Russia — 0.5% |
| |||||||||||
Other Securities | 0.5 | 8,297 | ||||||||||
|
| |||||||||||
Singapore — 1.4% |
| |||||||||||
Other Securities | 1.4 | 25,156 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
South Africa — 0.8% |
| |||||||||||
Other Securities | 0.8 | % | $ | 13,713 | ||||||||
|
| |||||||||||
South Korea — 3.0% |
| |||||||||||
Hyundai Mobis | 0.5 | 38,881 | 9,831 | |||||||||
KT&G | 0.6 | 142,388 | 10,104 | |||||||||
Samsung Electronics | 0.7 | 11,199 | 12,602 | |||||||||
Other Securities | 1.2 | 22,813 | ||||||||||
|
| |||||||||||
55,350 | ||||||||||||
|
| |||||||||||
Spain — 1.6% |
| |||||||||||
Other Securities | 1.6 | 28,954 | ||||||||||
|
| |||||||||||
Sweden — 1.6% |
| |||||||||||
Other Securities | 1.6 | 29,601 | ||||||||||
|
| |||||||||||
Switzerland — 8.8% |
| |||||||||||
Givaudan | 0.8 | 14,068 | 13,541 | |||||||||
Nestle | 1.4 | 402,739 | 25,309 | |||||||||
Novartis | 1.2 | 375,011 | 20,729 | |||||||||
Roche Holding | 1.6 | 168,356 | 29,262 | |||||||||
SGS | 0.5 | 4,874 | 9,469 | |||||||||
Sulzer | 0.5 | 57,129 | 8,109 | |||||||||
Zurich Financial Services | 0.6 | 43,152 | 11,582 | |||||||||
Other Securities | 2.2 | 41,467 | ||||||||||
|
| |||||||||||
159,468 | ||||||||||||
|
| |||||||||||
Taiwan — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,694 | ||||||||||
|
| |||||||||||
Thailand — 0.4% |
| |||||||||||
Other Securities | 0.4 | 6,657 | ||||||||||
|
| |||||||||||
United Kingdom — 18.2% |
| |||||||||||
AstraZeneca | 0.6 | 234,656 | 10,419 | |||||||||
BG Group | 0.7 | 544,934 | 12,607 | |||||||||
BP | 0.6 | 1,341,490 | 9,914 | |||||||||
British American Tobacco | 0.8 | 270,212 | 13,602 | |||||||||
GlaxoSmithKline | 0.6 | 467,707 | 10,436 | |||||||||
HSBC Holdings | 0.5 | 1,072,170 | 9,504 | |||||||||
Petrofac | 0.5 | 338,612 | 9,414 | |||||||||
Rio Tinto | 0.7 | 235,858 | 12,986 | |||||||||
Rio Tinto ADR(A) | 0.2 | 71,000 | 3,947 | |||||||||
Tesco | 0.9 | 3,148,362 | 16,600 | |||||||||
Vodafone Group | 1.2 | 7,891,581 | 21,712 | |||||||||
Other Securities | 10.9 | 198,389 | ||||||||||
|
| |||||||||||
329,530 | ||||||||||||
|
| |||||||||||
United States — 0.7% |
| |||||||||||
Other Securities | 0.7 | 12,327 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,741,622 | ||||||||||
|
|
2 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
PREFERRED STOCK — 0.2% |
| |||||||||||||||
Germany — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | % | $ | 4,189 | ||||||||||||
|
| |||||||||||||||
Total Preferred Stock |
| 4,189 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 0.3% |
| |||||||||||||||
Other Securities | 0.3 | 5,267 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations |
| 5,267 | ||||||||||||||
|
| |||||||||||||||
RIGHTS — 0.0% |
| |||||||||||||||
Australia — 0.0% |
| |||||||||||||||
Other Securities | 0.0 | 5 | ||||||||||||||
|
| |||||||||||||||
Total Rights |
| 5 | ||||||||||||||
|
| |||||||||||||||
AFFILIATED PARTNERSHIP — 2.1% |
| |||||||||||||||
United States — 2.1% |
| |||||||||||||||
SEI Liquidity Fund, L.P. | 2.1 | 40,189,727 | 38,488 | |||||||||||||
|
| |||||||||||||||
Total Affiliated Partnership |
| 38,488 | ||||||||||||||
|
| |||||||||||||||
CASH EQUIVALENT — 1.1% |
| |||||||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080%*† | 1.1 | 19,980,834 | 19,981 | |||||||||||||
|
| |||||||||||||||
Total Cash Equivalent |
| 19,981 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 2.1% |
| |||||||||||||||
United States — 2.1% |
| |||||||||||||||
Brown Brothers Harriman |
| |||||||||||||||
4.500%, 04/02/12 | ZAR | 802 | 104 | |||||||||||||
3.587%, 04/02/12 | AUD | 74 | 76 | |||||||||||||
1.650%, 04/02/12 | NZD | 1 | 1 | |||||||||||||
0.797%, 04/02/12 | SEK | 9 | 1 | |||||||||||||
0.550%, 04/02/12 | NOK | 714 | 125 | |||||||||||||
0.234%, 04/02/12 | CAD | 2 | 2 | |||||||||||||
0.056%, 04/02/12 | GBP | 687 | 1,098 | |||||||||||||
0.050%, 04/02/12 | EUR | 327 | 435 | |||||||||||||
0.030%, 04/02/12 | 34,675 | 34,675 | ||||||||||||||
0.020%, 04/02/12 | DKK | 38 | 7 | |||||||||||||
0.010%, 04/02/12 | JPY | 55,270 | 672 | |||||||||||||
0.010%, 04/02/12 | SGD | 6 | 4 |
Description | Face Amount ($ Thousands)(1) | Market Value ($ Thousands) | ||||||||||||
0.005%, 04/02/12 | CHF | 663 | $ | 734 | ||||||||||
0.005%, 04/02/12 | HKD | 2,578 | 332 | |||||||||||
|
| |||||||||||||
Total Time Deposits |
| 38,266 | ||||||||||||
|
| |||||||||||||
Total Investments — 101.8% |
| $ | 1,847,818 | |||||||||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 262 | Jun-2012 | $ | (223 | ) | |||||||
FTSE 100 Index | 81 | Jun-2012 | (192 | ) | ||||||||
Hang Seng Index | 9 | May-2012 | (27 | ) | ||||||||
SPI 200 Index | 23 | Jun-2012 | 25 | |||||||||
Topix Index | 57 | Jun-2012 | 182 | |||||||||
|
| |||||||||||
$ | (235 | ) | ||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,814,615 ($ Thousands).
* | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (See Note 4). |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $39,000 ($ Thousands) (See Note 8). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $38,488 ($ Thousands). |
†† | The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov. |
ADR — American Depository Receipt
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Danish Krone
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound Sterling
HKD — Hong Kong Dollar
JPY — Japanese Yen
L.P. — Limited Partnership
NOK — Norwegian krone
NZD — New Zealand Dollar
SEK — Swedish Krone
SGD — Singapore Dollar
SPI — Share Price Index
ZAR — South African Rand
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
March 31, 2012
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,741,268 | $ | — | $ | 354 | $ | 1,741,622 | ||||||||
Preferred Stock | 4,189 | — | — | 4,189 | ||||||||||||
U.S. Treasury Obligations | — | 5,267 | — | 5,267 | ||||||||||||
Rights | 5 | — | — | 5 | ||||||||||||
Affiliated Partnership | — | 38,488 | — | 38,488 | ||||||||||||
Cash Equivalent | 19,981 | — | — | 19,981 | ||||||||||||
Time Deposits | — | 38,266 | — | 38,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,765,443 | $ | 82,021 | $ | 354 | $ | 1,847,818 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (235 | ) | $ | — | $ | — | $ | (235 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (235 | ) | $ | — | $ | — | $ | (235 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Transfers into Level 3 | 354 | |||
Transfers out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 354 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | — | ||
|
|
For the six months ended March 31, 2012, these were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (See Note 2).
For the six months ended March 31, 2012, there were transfers from Level 2 into Level 3 common stock. The primary reason for changes in the classifications between Level 2 and Level 3 occurs when trading of such securities are halted on the primary exchange on which they are traded.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Equity Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 90.3% |
| |||||||||||
Argentina — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 2,709 | ||||||||
|
| |||||||||||
Brazil — 10.0% |
| |||||||||||
Banco Bradesco ADR | 0.6 | 326,318 | 5,711 | |||||||||
Banco Santander Brasil ADR | 0.4 | 377,204 | 3,459 | |||||||||
Cia Hering | 0.4 | 147,825 | 3,821 | |||||||||
Gerdau ADR | 0.7 | 672,261 | 6,474 | |||||||||
Petroleo Brasileiro | 0.1 | 75,522 | 1,001 | |||||||||
Petroleo Brasileiro ADR | 1.0 | 321,115 | 8,529 | |||||||||
Vale | 0.2 | 60,431 | 1,412 | |||||||||
Vale ADR, Cl B | 0.8 | 287,365 | 6,704 | |||||||||
Other Securities | 5.8 | 52,273 | ||||||||||
|
| |||||||||||
89,384 | ||||||||||||
|
| |||||||||||
Canada — 0.9% |
| |||||||||||
Pacific Rubiales Energy | 0.4 | 127,379 | 3,714 | |||||||||
Other Securities | 0.5 | 4,013 | ||||||||||
|
| |||||||||||
7,727 | ||||||||||||
|
| |||||||||||
Chile — 0.5% |
| |||||||||||
Other Securities | 0.5 | 4,001 | ||||||||||
|
| |||||||||||
China — 11.9% |
| |||||||||||
Agricultural Bank of China | 0.4 | 8,479,432 | 3,637 | |||||||||
China Coal Energy | 0.1 | 912,000 | 1,023 | |||||||||
China Construction Bank | 0.9 | 10,605,807 | 8,196 | |||||||||
China Life Insurance | 0.2 | 648,000 | 1,682 | |||||||||
China Petroleum & Chemical ADR (A) | 0.2 | 19,974 | 2,172 | |||||||||
China Railway Construction | 0.0 | 606,000 | 377 | |||||||||
China Railway Group | 0.1 | 1,655,000 | 531 | |||||||||
China Shenhua Energy | 0.1 | 269,003 | 1,135 | |||||||||
Daphne International Holdings | 0.5 | 3,472,800 | 4,759 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Dongfeng Motor Group | 0.1 | % | 720,120 | $ | 1,300 | |||||||
Foxconn International Holdings* | 0.5 | 5,600,000 | 3,989 | |||||||||
Industrial & Commercial Bank of China | 0.9 | 12,651,912 | 8,164 | |||||||||
PetroChina | 0.5 | 2,850,119 | 4,031 | |||||||||
PetroChina ADR | 0.4 | 26,292 | 3,695 | |||||||||
Zhejiang Expressway | 0.1 | 1,012,000 | 756 | |||||||||
Other Securities | 6.9 | 60,858 | ||||||||||
|
| |||||||||||
106,305 | ||||||||||||
|
| |||||||||||
Colombia — 0.7% |
| |||||||||||
Other Securities | 0.7 | 5,828 | ||||||||||
|
| |||||||||||
Cyprus — 0.4% |
| |||||||||||
Other Securities | 0.4 | 3,895 | ||||||||||
|
| |||||||||||
Czech Republic — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,722 | ||||||||||
|
| |||||||||||
Egypt — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,007 | ||||||||||
|
| |||||||||||
Guernsey — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,066 | ||||||||||
|
| |||||||||||
Hong Kong — 6.2% |
| |||||||||||
China Mobile | 1.1 | 894,934 | 9,850 | |||||||||
China Mobile ADR | 0.4 | 59,940 | 3,301 | |||||||||
China Resources Enterprise | 0.1 | 167,353 | 584 | |||||||||
China Resources Gas Group | 0.4 | 1,817,276 | 3,478 | |||||||||
China Resources Power Holdings | 0.1 | 631,339 | 1,169 | |||||||||
China State Construction International Holdings | 0.4 | 3,612,584 | 3,364 | |||||||||
China Unicom Hong Kong ADR | 0.3 | 157,890 | 2,653 | |||||||||
CNOOC | 0.3 | 1,218,948 | 2,506 | |||||||||
Cosco International Holdings | 0.0 | 208,805 | 90 | |||||||||
Dah Chong Hong Holdings | 0.1 | 1,033,200 | 1,097 | |||||||||
Vinda International Holdings | 0.5 | 3,083,276 | 4,765 | |||||||||
Other Securities | 2.5 | 22,029 | ||||||||||
|
| |||||||||||
54,886 | ||||||||||||
|
| |||||||||||
Hungary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 719 | ||||||||||
|
| |||||||||||
India — 5.8% |
| |||||||||||
Cairn India* | 0.5 | 627,671 | 4,114 | |||||||||
ICICI Bank ADR | 0.4 | 110,264 | 3,845 | |||||||||
Other Securities | 4.9 | 43,842 | ||||||||||
|
| |||||||||||
51,801 | ||||||||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Equity Fund (Continued)
March 31, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Indonesia — 2.5% |
| |||||||||||
Bank Rakyat Indonesia Persero | 0.6 | % | 6,521,515 | $ | 4,957 | |||||||
United Tractors | 0.4 | 1,028,071 | 3,710 | |||||||||
Vale Indonesia | 0.0 | 571,500 | 211 | |||||||||
Other Securities | 1.5 | 13,719 | ||||||||||
|
| |||||||||||
22,597 | ||||||||||||
|
| |||||||||||
Ireland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,159 | ||||||||||
|
| |||||||||||
Israel — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,758 | ||||||||||
|
| |||||||||||
Kazakhstan — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,547 | ||||||||||
|
| |||||||||||
Macau — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,713 | ||||||||||
|
| |||||||||||
Malaysia — 1.8% |
| |||||||||||
Other Securities | 1.8 | 16,007 | ||||||||||
|
| |||||||||||
Mexico — 4.0% |
| |||||||||||
Fomento Economico Mexicano ADR | 0.4 | 41,662 | 3,428 | |||||||||
Grupo Financiero Banorte, Cl O | 0.5 | 992,407 | 4,406 | |||||||||
Other Securities | 3.1 | 27,488 | ||||||||||
|
| |||||||||||
35,322 | ||||||||||||
|
| |||||||||||
Netherlands — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,387 | ||||||||||
|
| |||||||||||
Peru — 0.4% |
| |||||||||||
Other Securities | 0.4 | 3,946 | ||||||||||
|
| |||||||||||
Philippines — 0.8% |
| |||||||||||
Other Securities | 0.8 | 7,472 | ||||||||||
|
| |||||||||||
Poland — 0.7% |
| |||||||||||
Other Securities | 0.7 | 6,529 | ||||||||||
|
| |||||||||||
Russia — 7.2% |
| |||||||||||
Gazprom ADR | 1.2 | 870,145 | 10,764 | |||||||||
Lukoil ADR | 0.9 | 134,591 | 8,183 | |||||||||
Magnit GDR | 0.5 | 147,305 | 4,293 | |||||||||
Rosneft Oil GDR (B) | 0.4 | 471,845 | 3,342 | |||||||||
Sberbank of Russia ADR | 1.4 | 944,448 | 12,453 | |||||||||
VTB Bank GDR | 0.4 | 823,986 | 3,716 | |||||||||
Other Securities | 2.4 | 21,134 | ||||||||||
|
| |||||||||||
63,885 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Singapore — 0.4% |
| |||||||||||
Other Securities | 0.4 | % | $ | 3,067 | ||||||||
|
| |||||||||||
South Africa — 6.2% |
| |||||||||||
ABSA Group | 0.4 | 181,321 | 3,686 | |||||||||
Barloworld | 0.5 | 360,239 | 4,693 | |||||||||
Exxaro Resources | 0.6 | 206,483 | 5,331 | |||||||||
MTN Group | 0.4 | 201,445 | 3,544 | |||||||||
Standard Bank Group | 0.8 | 484,944 | 7,037 | |||||||||
Other Securities | 3.5 | 31,183 | ||||||||||
|
| |||||||||||
55,474 | ||||||||||||
|
| |||||||||||
South Korea — 12.7% |
| |||||||||||
Hyundai Motor | 0.6 | 24,602 | 5,059 | |||||||||
Samsung Electronics | 3.6 | 28,670 | 32,262 | |||||||||
Shinhan Financial Group | 0.5 | 109,415 | 4,225 | |||||||||
SK Telecom ADR | 0.5 | 300,599 | 4,181 | |||||||||
Other Securities | 7.5 | 67,276 | ||||||||||
|
| |||||||||||
113,003 | ||||||||||||
|
| |||||||||||
Taiwan — 8.4% |
| |||||||||||
Hon Hai Precision Industry | 1.1 | 2,567,384 | 9,960 | |||||||||
Taiwan Semiconductor Manufacturing | 0.5 | 1,592,027 | 4,580 | |||||||||
Taiwan Semiconductor Manufacturing ADR | 0.7 | 389,477 | 5,951 | |||||||||
Tripod Technology | 0.4 | 1,079,802 | 3,622 | |||||||||
Other Securities | 5.7 | 50,750 | ||||||||||
|
| |||||||||||
74,863 | ||||||||||||
|
| |||||||||||
Thailand — 2.4% |
| |||||||||||
Other Securities | 2.4 | 21,299 | ||||||||||
|
| |||||||||||
Turkey — 2.0% |
| |||||||||||
Turkiye Garanti Bankasi | 0.4 | 863,124 | 3,418 | |||||||||
Other Securities | 1.6 | 14,695 | ||||||||||
|
| |||||||||||
18,113 | ||||||||||||
|
| |||||||||||
United Arab Emirates — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,962 | ||||||||||
|
| |||||||||||
United Kingdom — 1.2% |
| |||||||||||
Other Securities | 1.2 | 10,378 | ||||||||||
|
| |||||||||||
United States — 1.0% |
| |||||||||||
Avon Products | 0.5 | 230,900 | 4,470 | |||||||||
Other Securities | 0.5 | 4,605 | ||||||||||
|
| |||||||||||
9,075 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 804,606 | ||||||||||
|
|
6 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 4.6% |
| |||||||||||
Brazil — 4.6% |
| |||||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | 0.4 | % | 70,712 | $ | 3,367 | |||||||
Cia de Bebidas das Americas ADR | 0.4 | 89,843 | 3,712 | |||||||||
Petroleo Brasileiro ADR, Cl A | 0.9 | 324,002 | 8,281 | |||||||||
Petroleo Brasileiro, Cl Preference | 0.3 | 201,116 | 2,563 | |||||||||
Vale, Cl A | 0.3 | 126,004 | 2,853 | |||||||||
Vale ADR, Cl B | 0.5 | 199,975 | 4,537 | |||||||||
Other Securities | 1.8 | 15,544 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 40,857 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 1.6% |
| |||||||||||
United States — 1.6% |
| |||||||||||
iShares MSCI Emerging Markets Index Fund | 1.5 | 319 | 13,702 | |||||||||
Other Securities | 0.1 | 865 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 14,567 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
South Africa — 0.0% |
| |||||||||||
Other Securities | 0.0 | 142 | ||||||||||
|
| |||||||||||
Total Rights |
| 142 | ||||||||||
|
| |||||||||||
DEBENTURE BOND — 0.0% |
| |||||||||||
Materials — 0.0% |
| |||||||||||
Vale, Ser 1997 | 0.0 | 8 | — | |||||||||
|
| |||||||||||
Total Debenture Bond |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 0.5% |
| |||||||||||
United States — 0.5% |
| |||||||||||
SEI Liquidity Fund, L.P. | 0.5 | 5,318,175 | 4,489 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 4,489 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 0.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 0.8 | 7,029,149 | 7,029 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 7,029 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount | Market Value ($ Thousands) | |||||||||||
TIME DEPOSITS — 1.8% |
| |||||||||||||
United States — 1.8% |
| |||||||||||||
Brown Brothers Harriman | ||||||||||||||
4.500%, 04/02/12 | ZAR | 2,148 | $ | 280 | ||||||||||
0.056%, 04/02/12 | GBP | 5 | 8 | |||||||||||
0.030%, 04/02/12 | 15,823 | 15,823 | ||||||||||||
0.010%, 04/02/12 | SGD | 2 | 2 | |||||||||||
0.005%, 04/02/12 | HKD | 248 | 32 | |||||||||||
|
| |||||||||||||
Total Time Deposits |
| 16,145 | ||||||||||||
|
| |||||||||||||
Total Investments — 99.6% |
| $ | 887,835 | |||||||||||
|
|
Percentages are based on a Net Assets of $891,587 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (See Note 4). |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $5,079 ($ Thousands) (See Note 8). |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $4,489 ($ Thousands). |
†† | The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov. |
ADR — American Depositary Receipt
Cl — Class
GBP — British Pound Sterling
GDR — Global Depositary Receipt
HKD — Hong Kong Dollar
L.P. — Limited Partnership
MSCI — Morgan Stanley Capital International
Ser — Series
SGD — Singapore Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 803,836 | $ | — | $ | 770 | $ | 804,606 | ||||||||
Preferred Stock | 40,857 | — | — | 40,857 | ||||||||||||
Exchange Traded Funds | 14,567 | — | — | 14,567 | ||||||||||||
Rights | 142 | — | — | 142 | ||||||||||||
Debenture Bond | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 4,489 | — | 4,489 | ||||||||||||
Cash Equivalent | 7,029 | — | — | 7,029 | ||||||||||||
Time Deposits | — | 16,145 | — | 16,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 866,431 | $ | 20,634 | $ | 770 | $ | 887,835 | ||||||||
|
|
|
|
|
|
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Equity Fund (Concluded)
March 31, 2012
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Transfer into Level 3 | 770 | |||
Transfer out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 770 | | |
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | — | |||
|
|
For the six months ended March 31, 2012, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (See Note 2).
For the six months ended March 31, 2012, there were transfers between Level 2 and into Level 3 assets and liabilities. The primary reason for changes in the classifications between Level 2 and Level 3 occurs when trading of such securities are halted on the primary exchange on which they are traded.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Fixed Income Fund
March 31, 2012
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||
GLOBAL BONDS — 90.8% |
| |||||||||||||
Australia — 2.0% | ||||||||||||||
Other Securities | 2.0 | % | $ | 9,837 | ||||||||||
|
| |||||||||||||
Austria — 0.5% | ||||||||||||||
Republic of Austria | 0.4 | 1,405 | 2,002 | |||||||||||
Other Securities | 0.1 | 514 | ||||||||||||
|
| |||||||||||||
2,516 | ||||||||||||||
|
| |||||||||||||
Belgium — 0.9% | ||||||||||||||
Other Securities | 0.9 | 4,234 | ||||||||||||
|
| |||||||||||||
Brazil — 0.2% | ||||||||||||||
Other Securities | 0.2 | 923 | ||||||||||||
|
| |||||||||||||
Canada — 4.7% | ||||||||||||||
Government of Canada | ||||||||||||||
5.750%, 06/01/33 | 0.4 | 1,300 | 1,954 | |||||||||||
5.000%, 06/01/37 | 0.4 | 1,300 | 1,849 | |||||||||||
4.250%, 06/01/18 | 0.2 | 715 | 820 | |||||||||||
4.000%, 06/01/17 | 0.7 | 3,020 | 3,375 | |||||||||||
3.500%, 06/01/20 | 1.2 | 5,280 | 5,871 | |||||||||||
3.250%, 06/01/21 | 0.5 | 2,230 | 2,441 | |||||||||||
Other Securities | 1.3 | 6,609 | ||||||||||||
|
| |||||||||||||
22,919 | ||||||||||||||
|
| |||||||||||||
Czech Republic — 0.4% | ||||||||||||||
Other Securities | 0.4 | 2,192 | ||||||||||||
|
| |||||||||||||
Denmark — 1.8% | ||||||||||||||
DONG Energy MTN | ||||||||||||||
6.500%, 05/07/19 | 0.1 | 245 | 403 | |||||||||||
Kingdom of Denmark | ||||||||||||||
4.500%, 11/15/39 | 0.1 | 1,300 | 329 | |||||||||||
4.000%, 11/15/17 | 0.3 | 7,315 | 1,520 | |||||||||||
4.000%, 11/15/12 | 0.2 | 5,416 | 992 |
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
3.125%, 03/17/14 | 0.1 | % | EUR | 500 | $ | 698 | ||||||||||
3.000%, 11/15/21 | 0.4 | 8,650 | 1,709 | |||||||||||||
Other Securities | 0.6 | 2,973 | ||||||||||||||
|
| |||||||||||||||
8,624 | ||||||||||||||||
|
| |||||||||||||||
Finland — 0.7% |
| |||||||||||||||
Government of Finland | ||||||||||||||||
3.500%, 04/15/21 | 0.4 | 1,290 | 1,892 | |||||||||||||
Other Securities | 0.3 | 1,496 | ||||||||||||||
|
| |||||||||||||||
3,388 | ||||||||||||||||
|
| |||||||||||||||
France — 8.2% |
| |||||||||||||||
EDF | ||||||||||||||||
6.500%, 01/26/19 (A) | 0.1 | 250 | 292 | |||||||||||||
5.500%, 10/17/41 | 0.0 | 100 | 163 | |||||||||||||
5.500%, 10/17/41 | 0.1 | 300 | 479 | |||||||||||||
4.125%, 03/25/27 | 0.0 | 100 | 136 | |||||||||||||
4.000%, 11/12/25 | 0.0 | 150 | 205 | |||||||||||||
Government of France | ||||||||||||||||
5.000%, 10/25/16 | 0.5 | 1,460 | 2,237 | |||||||||||||
4.750%, 10/25/12 | 0.7 | 2,500 | 3,413 | |||||||||||||
4.750%, 04/25/35 | 0.0 | 60 | 94 | |||||||||||||
4.500%, 04/25/41 | 0.6 | 1,825 | 2,790 | |||||||||||||
4.000%, 04/25/13 | 0.1 | 400 | 554 | |||||||||||||
3.500%, 04/25/20 | 0.2 | 580 | 823 | |||||||||||||
3.250%, 10/25/21 | 0.6 | 1,990 | 2,746 | |||||||||||||
3.000%, 10/25/15 | 1.2 | 4,175 | 5,892 | |||||||||||||
3.000%, 04/25/22 | 1.7 | 6,250 | 8,390 | |||||||||||||
Other Securities | 2.4 | 11,327 | ||||||||||||||
|
| |||||||||||||||
39,541 | ||||||||||||||||
|
| |||||||||||||||
Germany — 12.7% |
| |||||||||||||||
Bundesobligation, Ser 159 | ||||||||||||||||
2.000%, 02/26/16 | 0.2 | 595 | 837 | |||||||||||||
Bundesobligation, Ser 161 | ||||||||||||||||
1.250%, 10/14/16 | 0.1 | 200 | 273 | |||||||||||||
Bundesrepublik Deutschland | ||||||||||||||||
3.250%, 07/04/21 | 1.3 | 4,075 | 6,136 | |||||||||||||
3.000%, 07/04/20 | 0.7 | 2,235 | 3,316 | |||||||||||||
2.500%, 01/04/21 | 0.5 | 1,532 | 2,184 | |||||||||||||
2.000%, 01/04/22 | 0.2 | 750 | 1,016 | |||||||||||||
Bundesrepublik Deutschland, Ser 00 | ||||||||||||||||
5.500%, 01/04/31 | 0.1 | 340 | 652 | |||||||||||||
Bundesrepublik Deutschland, Ser 03 | ||||||||||||||||
4.750%, 07/04/34 | 0.5 | 1,275 | 2,332 | |||||||||||||
Bundesrepublik Deutschland, Ser 04 | ||||||||||||||||
3.750%, 01/04/15 | 0.0 | 25 | 36 | |||||||||||||
Bundesrepublik Deutschland, Ser 05 | ||||||||||||||||
3.500%, 01/04/16 | 0.6 | 2,060 | 3,047 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Fixed Income Fund (Continued)
March 31, 2012
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
Bundesrepublik Deutschland, Ser 08 | ||||||||||||||||
4.750%, 07/04/40 | 0.7 | % | 1,680 | $ | 3,256 | |||||||||||
4.250%, 07/04/18 | 0.0 | 125 | 198 | |||||||||||||
Bundesrepublik Deutschland, Ser 09 | ||||||||||||||||
3.250%, 01/04/20 | 0.1 | 360 | 543 | |||||||||||||
Bundesschatzanweisungen | ||||||||||||||||
1.750%, 06/14/13 | 3.2 | 11,400 | 15,469 | |||||||||||||
1.000%, 12/14/12 | 0.7 | 2,550 | 3,417 | |||||||||||||
0.250%, 12/13/13 | 1.7 | 6,350 | 8,465 | |||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||||||||||
1.750%, 04/15/20 | 0.4 | 1,214 | 1,890 | |||||||||||||
Kreditanstalt fuer Wiederaufbau MTN | ||||||||||||||||
4.750%, 08/12/15 | 0.2 | 6,000 | 970 | |||||||||||||
4.375%, 10/11/13 | 0.3 | 1,050 | 1,481 | |||||||||||||
3.875%, 01/21/19 | 0.2 | 575 | 862 | |||||||||||||
3.375%, 08/30/17 | 0.1 | CHF | 370 | 468 | ||||||||||||
1.375%, 02/21/17 | 0.2 | 580 | 772 | |||||||||||||
Landwirtschaftliche Rentenbank | ||||||||||||||||
3.750%, 02/11/16 | 0.0 | 49 | 71 | |||||||||||||
3.250%, 03/12/14 | 0.1 | 375 | 524 | |||||||||||||
Other Securities | 0.6 | 3,251 | ||||||||||||||
|
| |||||||||||||||
61,466 | ||||||||||||||||
|
| |||||||||||||||
Ireland — 0.5% | ||||||||||||||||
Other Securities | 0.5 | 2,239 | ||||||||||||||
|
| |||||||||||||||
Italy — 4.2% | ||||||||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||||||
6.500%, 11/01/27 | 0.1 | 500 | 718 | |||||||||||||
6.000%, 05/01/31 | 0.1 | 500 | 679 | |||||||||||||
5.000%, 09/01/40 | 0.4 | 1,755 | 2,060 | |||||||||||||
4.750%, 09/01/21 | 0.9 | 3,250 | 4,246 | |||||||||||||
4.500%, 03/01/19 | 0.1 | 400 | 531 | |||||||||||||
4.250%, 02/01/15 | 0.7 | 2,325 | 3,173 | |||||||||||||
4.250%, 10/15/12 | 0.2 | 585 | 789 | |||||||||||||
4.000%, 09/01/20 | 0.4 | 1,655 | 2,089 | |||||||||||||
3.750%, 03/01/21 | 0.1 | 480 | 587 | |||||||||||||
3.500%, 06/01/14 | 0.3 | 1,150 | 1,545 | |||||||||||||
Other Securities | 0.9 | 3,932 | ||||||||||||||
|
| |||||||||||||||
20,349 | ||||||||||||||||
|
| |||||||||||||||
Japan — 21.5% | ||||||||||||||||
Government of Japan 5 Year Bond, Ser 79 | ||||||||||||||||
0.700%, 12/20/13 | 1.1 | 447,300 | 5,489 | |||||||||||||
Government of Japan 5 Year Bond, Ser 95 | ||||||||||||||||
0.600%, 03/20/16 | 0.8 | 313,950 | 3,868 |
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||
Government of Japan 10 Year Bond, Ser 256 | ||||||||||||||
1.400%, 12/20/13 | 0.2 | % | 85,000 | $ | 1,056 | |||||||||
Government of Japan 10 Year Bond, Ser 275 | ||||||||||||||
1.400%, 12/20/15 | 1.7 | 626,600 | 7,944 | |||||||||||
Government of Japan 10 Year Bond, Ser 284 | ||||||||||||||
1.700%, 12/20/16 | 1.6 | 600,000 | 7,769 | |||||||||||
Government of Japan 10 Year Bond, Ser 288 | ||||||||||||||
1.700%, 09/20/17 | 3.4 | 1,277,950 | 16,635 | |||||||||||
Government of Japan 10 Year Bond, Ser 298 | ||||||||||||||
1.300%, 12/20/18 | 1.0 | 369,400 | 4,710 | |||||||||||
Government of Japan 10 Year Bond, Ser 301 | ||||||||||||||
1.500%, 06/20/19 | 0.6 | 235,300 | 3,034 | |||||||||||
Government of Japan 10 Year Bond, Ser 308 | ||||||||||||||
1.300%, 06/20/20 | 2.7 | 1,016,000 | 12,862 | |||||||||||
Government of Japan 10 Year Bond, Ser 316 | ||||||||||||||
1.100%, 06/20/21 | 0.4 | 160,000 | 1,976 | |||||||||||
Government of Japan 20 Year | ||||||||||||||
2.200%, 09/20/28 | 0.2 | 67,150 | 888 | |||||||||||
2.000%, 03/21/22 | 0.6 | 200,000 | 2,662 | |||||||||||
1.400%, 12/20/22 | 0.2 | 90,000 | 1,130 | |||||||||||
Government of Japan 20 Year | ||||||||||||||
2.500%, 12/21/20 | 1.8 | 614,450 | 8,504 | |||||||||||
Government of Japan 20 Year | ||||||||||||||
2.100%, 12/20/27 | 1.5 | 538,250 | 7,040 | |||||||||||
Government of Japan 20 Year | ||||||||||||||
1.900%, 03/20/29 | 0.1 | 39,000 | 494 | |||||||||||
Government of Japan 20 Year | ||||||||||||||
2.100%, 06/20/29 | 2.4 | 910,000 | 11,808 | |||||||||||
Government of Japan 30 Year | ||||||||||||||
2.400%, 09/20/38 | 0.3 | 103,250 | 1,388 | |||||||||||
Government of Japan 30 Year | ||||||||||||||
2.300%, 03/20/39 | 0.5 | 195,900 | 2,584 | |||||||||||
Government of Japan 30 Year | ||||||||||||||
2.000%, 09/20/40 | 0.3 | 117,000 | 1,446 | |||||||||||
Other Securities | 0.1 | 908 | ||||||||||||
|
| |||||||||||||
104,195 | ||||||||||||||
|
|
10 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||
Jersey — 0.2% | ||||||||||||||
Other Securities | 0.2 | % | $ | 891 | ||||||||||
|
| |||||||||||||
Lithuania — 0.1% | ||||||||||||||
Other Securities | 0.1 | 432 | ||||||||||||
|
| |||||||||||||
Malaysia — 0.5% | ||||||||||||||
Other Securities | 0.5 | 2,349 | ||||||||||||
|
| |||||||||||||
Mexico — 0.4% | ||||||||||||||
Other Securities | 0.4 | 2,123 | ||||||||||||
|
| |||||||||||||
Netherlands — 4.3% | ||||||||||||||
ABN Amro Bank MTN | ||||||||||||||
4.875%, 01/16/19 | 0.1 | 200 | 327 | |||||||||||
3.750%, 07/15/14 | 0.2 | 750 | 1,056 | |||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank MTN | ||||||||||||||
4.000%, 01/11/22 | 0.6 | 2,060 | 2,848 | |||||||||||
Government of Netherlands | ||||||||||||||
4.500%, 07/15/17 | 0.2 | 760 | 1,169 | |||||||||||
4.000%, 07/15/18 | 0.3 | 1,025 | 1,554 | |||||||||||
4.000%, 01/15/37 | 0.2 | 655 | 1,066 | |||||||||||
3.500%, 07/15/20 | 0.2 | 485 | 716 | |||||||||||
3.250%, 07/15/15 | 0.2 | 520 | 747 | |||||||||||
Other Securities | 2.3 | 11,708 | ||||||||||||
|
| |||||||||||||
21,191 | ||||||||||||||
|
| |||||||||||||
New Zealand — 0.4% | ||||||||||||||
Government of New Zealand | ||||||||||||||
6.000%, 12/15/17 | 0.4 | 2,380 | 2,184 | |||||||||||
|
| |||||||||||||
Norway — 0.7% | ||||||||||||||
Other Securities | 0.7 | 3,340 | ||||||||||||
|
| |||||||||||||
Poland — 0.2% | ||||||||||||||
Other Securities | 0.2 | 1,303 | ||||||||||||
|
| |||||||||||||
Qatar — 0.1% | ||||||||||||||
Other Securities | 0.1 | 407 | ||||||||||||
|
| |||||||||||||
Russia — 0.3% | ||||||||||||||
Other Securities | 0.3 | 1,569 | ||||||||||||
|
| |||||||||||||
Singapore — 0.4% | ||||||||||||||
Other Securities | 0.4 | 2,030 | ||||||||||||
|
| |||||||||||||
South Africa — 1.1% | ||||||||||||||
Republic of South Africa, | ||||||||||||||
8.250%, 09/15/17 | 1.1 | 39,605 | 5,375 | |||||||||||
|
| |||||||||||||
South Korea — 0.5% | ||||||||||||||
Other Securities | 0.5 | 2,441 | ||||||||||||
|
|
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
Spain — 2.2% | ||||||||||||||||
Banco Santander | ||||||||||||||||
4.625%, 01/20/16 | 0.1 | % | 300 | $ | 416 | |||||||||||
3.250%, 02/17/15 | 0.1 | 200 | 267 | |||||||||||||
Government of Spain | ||||||||||||||||
5.850%, 01/31/22 | 0.2 | 710 | 976 | |||||||||||||
5.500%, 04/30/21 | 0.5 | 1,770 | 2,387 | |||||||||||||
4.750%, 07/30/14 | 0.3 | 925 | 1,284 | |||||||||||||
4.700%, 07/30/41 | 0.2 | 995 | 1,075 | |||||||||||||
4.600%, 07/30/19 | 0.1 | 155 | 203 | |||||||||||||
4.000%, 04/30/20 | 0.0 | 150 | 186 | |||||||||||||
3.300%, 10/31/14 | 0.1 | 475 | 642 | |||||||||||||
Instituto de Credito Oficial MTN | ||||||||||||||||
2.375%, 03/04/13 (A) | 0.0 | USD | 200 | 198 | ||||||||||||
Santander Issuances, | ||||||||||||||||
7.300%, 07/27/19 (B) | 0.1 | GBP | 400 | 579 | ||||||||||||
Other Securities | 0.5 | 2,774 | ||||||||||||||
|
| |||||||||||||||
10,987 | ||||||||||||||||
|
| |||||||||||||||
Supra-National — 0.9% | ||||||||||||||||
Other Securities | 0.9 | 4,229 | ||||||||||||||
|
| |||||||||||||||
Sweden — 1.9% | ||||||||||||||||
Other Securities | 1.1 | 9,069 | ||||||||||||||
|
| |||||||||||||||
Switzerland — 1.2% | ||||||||||||||||
Other Securities | 1.2 | 5,754 | ||||||||||||||
|
| |||||||||||||||
United Arab Emirates — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 756 | ||||||||||||||
|
| |||||||||||||||
United Kingdom — 11.5% |
| |||||||||||||||
Abbey National Treasury Services MTN | ||||||||||||||||
5.500%, 06/18/14 | 0.3 | 775 | 1,283 | |||||||||||||
5.250%, 02/16/29 | 0.2 | 450 | 757 | |||||||||||||
4.250%, 04/12/21 | 0.1 | EUR | 350 | 493 | ||||||||||||
3.625%, 09/08/16 | 0.1 | 300 | 420 | |||||||||||||
Eastern Power Networks MTN | ||||||||||||||||
6.000%, 11/12/36 | 0.1 | 160 | 296 | |||||||||||||
Royal Bank of Scotland | ||||||||||||||||
6.125%, 01/11/21 | 0.1 | 310 | 332 | |||||||||||||
5.750%, 05/21/14 | 0.2 | 600 | 845 | |||||||||||||
5.125%, 01/13/24 | 0.1 | 400 | 684 | |||||||||||||
United Kingdom Gilt | ||||||||||||||||
4.500%, 12/07/42 | 0.1 | 335 | 651 | |||||||||||||
4.250%, 12/07/49 | 0.0 | 25 | 47 | |||||||||||||
4.250%, 12/07/55 | 0.1 | 175 | 334 | |||||||||||||
0.125%, 03/22/29 | 0.1 | 200 | 333 | |||||||||||||
United Kingdom Treasury | ||||||||||||||||
5.000%, 03/07/25 | 0.1 | 150 | 304 | |||||||||||||
4.750%, 12/07/30 | 0.7 | 1,825 | 3,609 | |||||||||||||
4.750%, 12/07/38 | 0.5 | 1,115 | 2,238 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Fixed Income Fund (Continued)
March 31, 2012
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
4.250%, 03/07/36 | 0.2 | % | 550 | $ | 1,019 | |||||||||||
4.250%, 09/07/39 | 0.3 | 885 | 1,641 | |||||||||||||
4.250%, 12/07/40 | 0.0 | 50 | 93 | |||||||||||||
4.000%, 03/07/22 | 0.7 | 1,920 | 3,558 | |||||||||||||
2.500%, 07/26/16 | 0.4 | 320 | 1,762 | |||||||||||||
2.250%, 03/07/14 | 0.3 | 795 | 1,315 | |||||||||||||
2.000%, 01/22/16 | 0.6 | 1,750 | 2,923 | |||||||||||||
1.750%, 01/22/17 | 0.5 | 1,485 | 2,454 | |||||||||||||
United Kingdom Treasury, Ser 2002 | ||||||||||||||||
5.000%, 09/07/14 | 0.1 | 200 | 355 | |||||||||||||
Other Securities | 5.6 | 27,524 | ||||||||||||||
|
| |||||||||||||||
55,270 | ||||||||||||||||
|
| |||||||||||||||
United States — 5.5% | ||||||||||||||||
BA Covered Bond Issuer MTN | ||||||||||||||||
4.125%, 04/05/12 | 0.9 | EUR | 3,100 | 4,128 | ||||||||||||
Bank of America, Ser E MTN |
| |||||||||||||||
5.125%, 09/26/14 | 0.5 | 1,700 | 2,373 | |||||||||||||
Citigroup MTN | ||||||||||||||||
5.875%, 01/30/42 | 0.0 | 75 | 78 | |||||||||||||
4.500%, 01/14/22 | 0.0 | 110 | 110 | |||||||||||||
4.450%, 01/10/17 | 0.2 | 800 | 838 | |||||||||||||
4.250%, 02/25/30 (B) | 0.3 | EUR | 1,400 | 1,492 | ||||||||||||
4.000%, 11/26/15 | 0.1 | 230 | 316 | |||||||||||||
Other Securities | 6.3 | 17,594 | ||||||||||||||
|
| |||||||||||||||
26,927 | ||||||||||||||||
|
| |||||||||||||||
Total Global Bonds |
| 441,052 | ||||||||||||||
|
| |||||||||||||||
MORTGAGE-BACKED SECURITIES — 3.9% |
| |||||||||||||||
Agency Mortgage-Backed Obligation — 0.0% |
| |||||||||||||||
FHLMC | ||||||||||||||||
1.758%, 08/25/16 | 335 | 20 | ||||||||||||||
|
| |||||||||||||||
Non-Agency Mortgage-Backed Obligation — 3.9% |
| |||||||||||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||||||||||
5.698%, 12/10/49 (B) | 0.3 | 1,140 | 1,300 | |||||||||||||
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 | ||||||||||||||||
6.074%, 12/10/49 (B) | 0.1 | 405 | 469 | |||||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||||||
4.288%, 05/25/35 (B) | 0.2 | 1,019 | 906 | |||||||||||||
Fosse Master Issuer, Ser 2011-1X, Cl A3 | ||||||||||||||||
2.490%, 10/18/54 (B) | 0.1 | 300 | 479 | |||||||||||||
Other Securities | 3.2 | 15,502 | ||||||||||||||
|
| |||||||||||||||
18,656 | ||||||||||||||||
|
| |||||||||||||||
Total Mortgage-Backed Securities |
| 18,676 | ||||||||||||||
|
|
Description | Percentage of | Face Amount (Thousands) (1) | Market Value ($ Thousands) | |||||||||||||
CORPORATE OBLIGATIONS — 2.8% |
| |||||||||||||||
United States — 2.8% |
| |||||||||||||||
Other Securities | 2.7 | % | $ | 13,035 | ||||||||||||
|
| |||||||||||||||
Total Corporate Obligations | 13,035 | |||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 447 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations |
| 447 | ||||||||||||||
|
| |||||||||||||||
ASSET-BACKED SECURITIES — 0.1% |
| |||||||||||||||
Automotive — 0.0% | ||||||||||||||||
Santander Consumer Finance, | ||||||||||||||||
1.567%, 09/20/22 (C) | 0.0 | 57 | 75 | |||||||||||||
Other Securities | 0.0 | 234 | ||||||||||||||
|
| |||||||||||||||
309 | ||||||||||||||||
|
| |||||||||||||||
Other Asset-Backed Securities — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 289 | ||||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities |
| 598 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BOND — 0.0% |
| |||||||||||||||
Other Securities | 0.0 | 49 | ||||||||||||||
|
| |||||||||||||||
Total Municipal Bonds |
| 49 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 2.1% |
| |||||||||||||||
United States — 2.1% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.500%, 04/02/12 |
| ZAR | — | — | ||||||||||||
3.587%, 04/02/12 |
| AUD | 63 | 65 | ||||||||||||
1.650%, 04/02/12 |
| NZD | 22 | 18 | ||||||||||||
0.797%, 04/02/12 |
| SEK | 108 | 16 | ||||||||||||
0.550%, 04/02/12 |
| NOK | 120 | 21 | ||||||||||||
0.234%, 04/02/12 |
| CAD | 32 | 32 | ||||||||||||
0.056%, 04/02/12 |
| GBP | 30 | 48 | ||||||||||||
0.050%, 04/02/12 |
| EUR | 288 | 383 | ||||||||||||
0.030%, 04/02/12 |
| 9,357 | 9,357 | |||||||||||||
0.020%, 04/02/12 |
| DKK | 4 | 1 | ||||||||||||
0.010%, 04/02/12 |
| JPY | 19,344 | 235 | ||||||||||||
0.010%, 04/02/12 |
| SGD | 21 | 17 | ||||||||||||
0.005%, 04/02/12 |
| CHF | — | — | ||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 10,193 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 99.8% |
| $ | 484,049 | |||||||||||||
|
|
12 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contracts | Number of Contract Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Australian 3-Year Bond | 32 | Jun-2012 | $ | 9 | ||||||||
Canadian 10-Year Bond | 4 | Jun-2012 | (2 | ) | ||||||||
Euro-Bobl | 72 | Jun-2012 | 19 | |||||||||
Euro-BTP | (1 | ) | Jun-2012 | — | ||||||||
Euro-Bund | 47 | Jun-2012 | 1 | |||||||||
Euro-Buxl 30 Year Bond | 6 | Jun-2012 | 16 | |||||||||
Japanese 10-Year Bond | 7 | Jun-2012 | (35 | ) | ||||||||
Long Gilt 10-Year Bond | 9 | Jun-2012 | (18 | ) | ||||||||
U.S. 10-Year Treasury Note | (122 | ) | Jun-2012 | 202 | ||||||||
U.S. 2-Year Treasury Note | (33 | ) | Jun-2012 | 3 | ||||||||
U.S. 5-Year Treasury Note | (179 | ) | Jun-2012 | 80 | ||||||||
U.S. Long Treasury Bond | (14 | ) | Jun-2012 | 24 | ||||||||
U.S. Ultra Long Treasury Bond | (5 | ) | Jun-2012 | 35 | ||||||||
|
| |||||||||||
$ | 334 | |||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The following are the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Settlement Date | Currency | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/3/12-4/4/12 | USD | 2,415 | CAD | 2,388 | $ | (26 | ) | |||||||||||||
4/3/12-5/15/12 | CAD | 40,638 | USD | 40,928 | 279 | |||||||||||||||
4/4/12-4/27/12 | USD | 1,842 | JPY | 151,779 | 3 | |||||||||||||||
4/4/12-5/2/12 | MXP | 32,578 | USD | 2,539 | 1 | |||||||||||||||
4/4/12-5/2/12 | USD | 3,481 | PLN | 10,880 | 2 | |||||||||||||||
4/4/12-5/10/12 | EUR | 241,482 | USD | 322,154 | 576 | |||||||||||||||
4/4/12-5/10/12 | GBP | 48,108 | USD | 76,851 | 7 | |||||||||||||||
4/4/12-5/10/12 | USD | 8,094 | EUR | 6,116 | 51 | |||||||||||||||
4/4/12-5/11/12 | JPY | 11,532,776 | USD | 140,232 | 41 | |||||||||||||||
4/4/12-5/23/12 | SEK | 52,975 | USD | 7,879 | (98 | ) | ||||||||||||||
4/19/12 | AUD | 1,107 | NZD | 1,418 | 16 | |||||||||||||||
4/19/12 | USD | 1,081 | AUD | 1,030 | (16 | ) | ||||||||||||||
4/19/12-4/27/12 | AUD | 3,335 | USD | 3,489 | 44 | |||||||||||||||
4/20/12-4/27/12 | USD | 1,082 | KRW | 1,224,934 | (1 | ) | ||||||||||||||
4/24/12-4/27/12 | NZD | 2,804 | USD | 2,306 | 12 | |||||||||||||||
4/27/12 | CHF | 1,554 | USD | 1,714 | (7 | ) | ||||||||||||||
4/27/12 | CZK | 12,966 | USD | 690 | (5 | ) | ||||||||||||||
4/27/12 | KRW | 2,200,124 | USD | 1,933 | (9 | ) | ||||||||||||||
4/27/12 | MYR | 3,550 | USD | 1,151 | (7 | ) | ||||||||||||||
4/27/12 | NOK | 1,247 | USD | 217 | (1 | ) | ||||||||||||||
4/27/12 | PLN | 2,111 | USD | 665 | (10 | ) | ||||||||||||||
4/27/12 | SGD | 932 | USD | 741 | — | |||||||||||||||
4/27/12 | USD | 77 | CHF | 70 | — | |||||||||||||||
4/27/12 | USD | 79 | GBP | 50 | 1 | |||||||||||||||
4/27/12 | USD | 1,531 | MXP | 19,686 | 2 | |||||||||||||||
4/27/12 | USD | 160 | NZD | 195 | (1 | ) | ||||||||||||||
4/27/12 | USD | 756 | SGD | 957 | 6 | |||||||||||||||
4/27/12-5/23/12 | DKK | 15,760 | USD | 2,818 | (5 | ) | ||||||||||||||
4/27/12-5/23/12 | USD | 2,534 | NOK | 14,500 | 5 | |||||||||||||||
4/30/12 | USD | 738 | INR | 38,102 | 6 | |||||||||||||||
5/14/12 | ZAR | 22,846 | USD | 2,934 | (28 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 838 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | (1,648 | ) | 1,620 | $ | (28 | ) | ||||||
Barclays PLC | (93,820 | ) | 93,405 | (415 | ) | |||||||
BNP Paribas | (247,911 | ) | 248,523 | 612 | ||||||||
Brown Brothers Harriman | (121 | ) | 123 | 2 | ||||||||
Chase Manhattan Bank | (1,418 | ) | 1,417 | (1 | ) | |||||||
Citigroup | (52,839 | ) | 52,917 | 78 | ||||||||
Credit Suisse First Boston | (4,869 | ) | 4,835 | (34 | ) | |||||||
Deutsche Bank | (62,885 | ) | 63,424 | 539 | ||||||||
Goldman Sachs | (2,517 | ) | 2,487 | (30 | ) | |||||||
HSBC | (995 | ) | 997 | 2 | ||||||||
JPMorgan Chase Bank | (24,084 | ) | 24,076 | (8 | ) | |||||||
National Australia Bank | (25 | ) | 25 | — | ||||||||
Northern Trust Brokerage | (2,168 | ) | 2,144 | (24 | ) | |||||||
RBC | (8,758 | ) | 8,794 | 36 | ||||||||
Royal Bank of Canada | (453 | ) | 450 | (3 | ) | |||||||
Royal Bank of Scotland | (15,744 | ) | 15,764 | 20 | ||||||||
Societe Generale | (23,497 | ) | 23,501 | 4 | ||||||||
Standard Bank | (9,197 | ) | 9,188 | (9 | ) | |||||||
State Street | (8,993 | ) | 8,991 | (2 | ) | |||||||
UBS | (12,500 | ) | 12,493 | (7 | ) | |||||||
Westpac Banking | (59,894 | ) | 60,000 | 106 | ||||||||
|
| |||||||||||
$ | 838 | |||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Fixed Income Fund (Concluded)
March 31, 2012
Outstanding swap agreements held by the Fund at March 31, 2012, is as follows:
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||
Citigroup | 3.79% | 6-Month GBP LIBOR | 05/19/19 | GBP | 2,500 | $ | (528 | ) | ||||||||
Deutsche Bank | 1.93% | 6-Month EURIBOR | 04/03/19 | EUR | 4,200 | — | ||||||||||
Deutsche Bank | 6-Month EURIBOR | 4.17% | 03/28/13 | EUR | 7,000 | 291 | ||||||||||
JPMorgan | 6-Month JPY LIBOR | 2.22% | 03/26/27 | JPY | 750,000 | 915 | ||||||||||
Royal Bank of Scotland | 6-Month EURIBOR | 3.14% | 08/04/21 | EUR | 1,450 | 188 | ||||||||||
JPMorgan | 6-Month EURIBOR | 4.38% | 01/07/13 | EUR | 5,400 | 217 | ||||||||||
Merrill Lynch | 3-Month Canadian Bankers Acceptance Rate | 2.44% | 03/01/22 | CAD | 2,000 | (19 | ) | |||||||||
UBS Warburg | Eurostat Eurozone | 1.83% | 11/25/19 | EUR | 1,350 | (33 | ) | |||||||||
|
| |||||||||||||||
$ | 1,031 | |||||||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $484,982 ($ Thousands).
(1) | In local currency unless otherwise indicated |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(C) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $2,385 ($ Thousands) and represented 0.5% of Net Assets. |
†† | The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov. |
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
CZK — Czech Koruna
Cl — Class
DKK — Danish Krone
EUR — Euro
EURIBOR — Euro London Interbank Offered Rate
FHLMC — Federal Home Loan Mortgage Corporation
GBP — British Pound Sterling
INR — India Rupee
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLN — Polish Zlotty
SEK — Swedish Krone
Ser — Series
SGD — Singapore Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bonds | $ | — | $ | 441,051 | $ | — | $ | 441,051 | ||||||||
Mortgage-Backed Securities | — | 18,676 | — | 18,676 | ||||||||||||
Corporate Obligations | — | 13,035 | — | 13,035 | ||||||||||||
U.S. Treasury Obligations | — | 447 | — | 447 | ||||||||||||
Asset-Backed Securities | — | 598 | — | 598 | ||||||||||||
Municipal Bond | — | 49 | — | 49 | ||||||||||||
Time Deposits | — | 10,193 | — | 10,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 484,049 | $ | — | $ | 484,049 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 334 | $ | — | $ | — | $ | 334 | ||||||||
Forwards Contracts* | — | 838 | — | 838 | ||||||||||||
Interest Rate Swaps* | — | 1,031 | — | 1,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 334 | $ | 1,869 | $ | — | $ | 2,203 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation on the instrument. |
For the six months ended March 31, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the six months ended March 31, 2012, there have been no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Percentage of Net Assets (%) | Face | Market Value ($ Thousands) | |||||||||||||
GLOBAL BONDS — 92.8% |
| |||||||||||||||
Argentina — 3.6% |
| |||||||||||||||
Republic of Argentina | ||||||||||||||||
8.750%, 06/02/17 | 0.1 | % | 730 | $ | 703 | |||||||||||
8.280%, 12/31/33 | 0.1 | 606 | 433 | |||||||||||||
8.279%, 12/31/33 | 0.0 | EUR | 536 | 395 | ||||||||||||
7.820%, 12/31/33 | 1.0 | EUR | 11,375 | 9,468 | ||||||||||||
7.820%, 12/31/33 | 0.1 | EUR | 1,290 | 1,074 | ||||||||||||
7.820%, 12/31/33 (A) | 0.9 | 11,230 | 9,234 | |||||||||||||
7.000%, 10/03/15 | 0.3 | ARS | 2,670 | 2,502 | ||||||||||||
7.000%, 04/17/17 | 0.2 | 1,681 | 1,428 | |||||||||||||
5.830%, 12/31/33 (A) | 0.2 | EUR | 6,111 | 1,762 | ||||||||||||
4.191%, 12/15/35 (A) | 0.2 | 11,600 | 1,769 | |||||||||||||
2.500%, 03/31/19 (B) | 0.0 | 1,000 | 357 | |||||||||||||
1.180%, 12/31/38 (A) (B) | 0.0 | 2 | — | |||||||||||||
0.467%, 08/03/12 (A) | 0.1 | 6,705 | 829 | |||||||||||||
0.044%, 12/15/35 (A) (C) | 0.1 | 4,952 | 644 | |||||||||||||
0.000%, 12/15/35 (A) | 0.0 | 2 | — | |||||||||||||
Other Securities | 0.3 | 5,798 | ||||||||||||||
|
| |||||||||||||||
36,396 | ||||||||||||||||
|
| |||||||||||||||
Australia — 0.0% |
| |||||||||||||||
Other Securities | 0.0 | 175 | ||||||||||||||
|
| |||||||||||||||
Bahrain — 0.0% |
| |||||||||||||||
Other Securities | 0.0 | 248 | ||||||||||||||
|
| |||||||||||||||
Barbados — 0.3% |
| |||||||||||||||
Other Securities | 0.3 | 3,251 | ||||||||||||||
|
| |||||||||||||||
Belarus — 0.3% |
| |||||||||||||||
Other Securities | 0.3 | 3,342 | ||||||||||||||
|
| |||||||||||||||
Belize — 0.0% |
| |||||||||||||||
Other Securities | 0.0 | 168 | ||||||||||||||
|
| |||||||||||||||
Bosnia and Herzegovina — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 992 | ||||||||||||||
|
|
Description | Percentage of Net Assets (%) | Face | Market Value ($ Thousands) | |||||||||||||
Brazil — 8.5% |
| |||||||||||||||
Banco Nacional de | ||||||||||||||||
6.500%, 06/10/19 (D) | 0.2 | % | 1,300 | $ | 1,529 | |||||||||||
5.500%, 07/12/20 (D) | 0.1 | 400 | 446 | |||||||||||||
Braskem Finance | ||||||||||||||||
7.375%, 10/04/49 | 0.0 | 300 | 302 | |||||||||||||
Brazil Notas do Tesouro Nacional, Ser B | ||||||||||||||||
10.674%, 08/15/20 | 0.6 | BRL | 4,470 | 5,598 | ||||||||||||
Brazil Notas Do Tesouro Nacional | ||||||||||||||||
10.000%, 01/01/17 | 0.5 | BRL | 8,750 | 4,672 | ||||||||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||||||||||
10.000%, 01/01/14 | 1.0 | BRL | 18,904 | 10,415 | ||||||||||||
10.000%, 01/01/21 | 0.6 | BRL | 11,054 | 5,666 | ||||||||||||
CGM, CLN (Federal Republic of Brazil) | ||||||||||||||||
10.000%, 01/01/21 | 0.3 | 5,000 | 2,563 | |||||||||||||
Federal Republic of Brazil | ||||||||||||||||
12.500%, 01/05/22 | 0.1 | BRL | 680 | 495 | ||||||||||||
11.000%, 08/17/40 | 0.0 | 150 | 198 | |||||||||||||
10.250%, 01/10/28 | 0.1 | BRL | 1,140 | 747 | ||||||||||||
10.125%, 05/15/27 | 0.6 | 3,387 | 5,643 | |||||||||||||
8.875%, 04/15/24 | 0.2 | 1,520 | 2,316 | |||||||||||||
8.750%, 02/04/25 | 0.1 | 916 | 1,392 | |||||||||||||
8.250%, 01/20/34 | 0.6 | 3,910 | 5,904 | |||||||||||||
7.125%, 01/20/37 | 0.7 | 5,326 | 7,310 | |||||||||||||
5.875%, 01/15/19 | 0.1 | 710 | 849 | |||||||||||||
5.625%, 01/07/41 | 0.1 | 1,050 | 1,210 | |||||||||||||
4.875%, 01/22/21 | 0.2 | 1,571 | 1,778 | |||||||||||||
JP Morgan, CLN (Federal Republic of Brazil) | ||||||||||||||||
10.000%, 01/01/21 | 0.2 | 3,400 | 1,743 | |||||||||||||
Other Securities | 2.1 | 23,999 | ||||||||||||||
|
| |||||||||||||||
84,775 | ||||||||||||||||
|
| |||||||||||||||
Chile — 0.9% | ||||||||||||||||
Other Securities | 0.9 | 8,975 | ||||||||||||||
|
| |||||||||||||||
China — 1.4% | ||||||||||||||||
Tencent Holdings | ||||||||||||||||
4.625%, 12/12/16 | 0.0 | 250 | 252 | |||||||||||||
Other Securities | 1.3 | 13,919 | ||||||||||||||
|
| |||||||||||||||
14,171 | ||||||||||||||||
|
| |||||||||||||||
Colombia — 4.6% | ||||||||||||||||
Bogota Distrio Capital | ||||||||||||||||
9.750%, 07/26/28 (D) | 0.7 | COP | 9,020,000 | 6,766 | ||||||||||||
Ecopetrol | ||||||||||||||||
7.625%, 07/23/19 (D) | 0.1 | 500 | 616 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
March 31, 2012
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||
Empresa de Energia de Bogota |
| |||||||||||||
6.125%, 11/10/21 | 0.1 | % | 925 | $ | 981 | |||||||||
Republic of Colombia |
| |||||||||||||
11.750%, 02/25/20 | 0.3 | 1,595 | 2,540 | |||||||||||
10.375%, 01/28/33 | 0.1 | 330 | 556 | |||||||||||
8.125%, 05/21/24 | 0.3 | 2,150 | 3,048 | |||||||||||
7.375%, 01/27/17 | 0.3 | 2,775 | 3,434 | |||||||||||
7.375%, 03/18/19 | 0.5 | 3,770 | 4,837 | |||||||||||
7.375%, 09/18/37 | 1.4 | 10,100 | 14,165 | |||||||||||
6.125%, 01/18/41 | 0.4 | 3,404 | 4,170 | |||||||||||
4.375%, 07/12/21 | 0.2 | 2,198 | 2,390 | |||||||||||
Other Securities | 0.2 | 2,833 | ||||||||||||
|
| |||||||||||||
46,336 | ||||||||||||||
|
| |||||||||||||
Croatia — 1.2% |
| |||||||||||||
Government of Croatia |
| |||||||||||||
6.750%, 11/05/19 | 0.2 | 2,283 | 2,292 | |||||||||||
6.625%, 07/14/20 | 0.0 | 150 | 149 | |||||||||||
6.625%, 07/14/20 (D) | 0.2 | 2,068 | 2,047 | |||||||||||
6.375%, 03/24/21 | 0.1 | 400 | 384 | |||||||||||
6.375%, 03/24/21 (D) | 0.6 | 6,446 | 6,188 | |||||||||||
Other Securities | 0.1 | 1,157 | ||||||||||||
|
| |||||||||||||
12,217 | ||||||||||||||
|
| |||||||||||||
Czech Republic — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 876 | ||||||||||||
|
| |||||||||||||
Dominican Republic — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 2,614 | ||||||||||||
|
| |||||||||||||
Ecuador — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 558 | ||||||||||||
|
| |||||||||||||
Egypt — 0.2% | ||||||||||||||
Other Securities | 0.2 | 2,019 | ||||||||||||
|
| |||||||||||||
El Salvador — 0.7% | ||||||||||||||
Other Securities | 0.7 | 7,379 | ||||||||||||
|
| |||||||||||||
Gabon — 0.0% | ||||||||||||||
Other Securities | 0.0 | 122 | ||||||||||||
|
| |||||||||||||
Georgia — 0.2% | ||||||||||||||
Other Securities | 0.2 | 1,481 | ||||||||||||
|
| |||||||||||||
Germany — 0.2% | ||||||||||||||
Deutsche Bank, CLN | 0.2 | 1,708 | ||||||||||||
|
| |||||||||||||
Ghana — 0.3% | ||||||||||||||
Other Securities | 0.3 | 2,458 | ||||||||||||
|
| |||||||||||||
Hong Kong — 0.5% | ||||||||||||||
Other Securities | 0.5 | 4,289 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||
Hungary — 0.8% | ||||||||||||||
Other Securities | 0.8 | % | $ | 8,453 | ||||||||||
|
| |||||||||||||
India — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 2,772 | ||||||||||||
|
| |||||||||||||
Indonesia — 4.5% |
| |||||||||||||
Indosat Palapa | ||||||||||||||
7.375%, 07/29/20 (D) | 0.1 | 452 | 497 | |||||||||||
Majapahit Holding | ||||||||||||||
8.000%, 08/07/19 | 0.0 | 160 | 194 | |||||||||||
8.000%, 08/07/19 (D) | 0.1 | 500 | 605 | |||||||||||
7.875%, 06/29/37 (D) (E) | 0.0 | 355 | 445 | |||||||||||
7.750%, 10/17/16 | 0.1 | 750 | 868 | |||||||||||
7.750%, 01/20/20 | 0.1 | 400 | 482 | |||||||||||
7.750%, 01/20/20 (D) | 0.0 | 250 | 301 | |||||||||||
Pertamina Persero | ||||||||||||||
6.500%, 05/27/41 (D) | 0.0 | 380 | 410 | |||||||||||
5.250%, 05/23/21 (D) | 0.1 | 500 | 526 | |||||||||||
Perusahaan Listrik Negara | ||||||||||||||
5.500%, 11/22/21 (D) | 0.2 | 1,435 | 1,503 | |||||||||||
Republic of Indonesia | ||||||||||||||
11.625%, 03/04/19 | 0.0 | 300 | 447 | |||||||||||
11.625%, 03/04/19 | 0.9 | 5,726 | 8,532 | |||||||||||
11.625%, 03/04/19 (D) | 0.3 | 1,825 | 2,719 | |||||||||||
10.375%, 05/04/14 | 0.1 | 450 | 524 | |||||||||||
8.500%, 10/12/35 | 0.6 | 4,050 | 6,014 | |||||||||||
8.500%, 10/12/35 | 0.0 | 300 | 446 | |||||||||||
7.750%, 01/17/38 | 0.7 | 5,347 | 7,406 | |||||||||||
7.500%, 01/15/16 | 0.1 | 1,150 | 1,346 | |||||||||||
6.875%, 01/17/18 | 0.2 | 1,750 | 2,087 | |||||||||||
6.875%, 01/17/18 (D) | 0.1 | 900 | 1,073 | |||||||||||
6.750%, 03/10/14 | 0.0 | 350 | 380 | |||||||||||
6.625%, 02/17/37 | 0.0 | 300 | 370 | |||||||||||
6.625%, 02/17/37 | 0.1 | 900 | 1,109 | |||||||||||
5.875%, 03/13/20 (D) | 0.1 | 1,054 | 1,209 | |||||||||||
4.875%, 05/05/21 (D) | 0.2 | 1,700 | 1,842 | |||||||||||
Other Securities | 0.4 | 4,344 | ||||||||||||
|
| |||||||||||||
45,679 | ||||||||||||||
|
| |||||||||||||
Iraq — 1.3% | ||||||||||||||
Republic of Iraq | ||||||||||||||
5.800%, 01/15/28 | 1.3 | 15,292 | 12,884 | |||||||||||
|
| |||||||||||||
Israel — 0.1% | ||||||||||||||
Other Securities | 0.1 | 515 | ||||||||||||
|
| |||||||||||||
Ivory Coast — 0.7% | ||||||||||||||
Government of Ivory Coast | ||||||||||||||
3.750%, 12/31/32 (F) | 0.7 | 10,993 | 6,898 | |||||||||||
|
| |||||||||||||
Jamaica — 0.4% | ||||||||||||||
Other Securities | 0.3 | 4,279 | ||||||||||||
|
|
16 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
Jordan — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | % | $ | 1,392 | ||||||||||||
|
| |||||||||||||||
Kazakhstan — 4.3% |
| |||||||||||||||
BTA Bank | ||||||||||||||||
10.750%, 07/01/18 (D) (F) | 0.0 | 1,202 | 258 | |||||||||||||
10.750%, 07/01/18 (F) | 0.1 | 3,634 | 781 | |||||||||||||
0.001%, 07/01/20 (D) (G) | 0.0 | 2,492 | 174 | |||||||||||||
Development Bank of Kazakhstan | ||||||||||||||||
5.500%, 12/20/15 (D) | 0.0 | 450 | 482 | |||||||||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya | ||||||||||||||||
6.250%, 05/20/15 | 0.1 | 450 | 487 | |||||||||||||
KazMunayGas National MTN | ||||||||||||||||
11.750%, 01/23/15 | 0.4 | 2,974 | 3,629 | |||||||||||||
11.750%, 01/23/15 (D) | 0.3 | 2,673 | 3,262 | |||||||||||||
9.125%, 07/02/18 | 0.1 | 1,129 | 1,407 | |||||||||||||
9.125%, 07/02/18 (D) | 0.3 | 2,210 | 2,753 | |||||||||||||
8.375%, 07/02/13 | 0.5 | 4,640 | 4,943 | |||||||||||||
7.000%, 05/05/20 | 0.2 | 1,940 | 2,206 | |||||||||||||
7.000%, 05/05/20 (D) | 0.2 | 1,626 | 1,849 | |||||||||||||
6.375%, 04/09/20 (D) | 0.5 | 4,269 | 4,715 | |||||||||||||
6.375%, 04/09/21 | 0.2 | 1,750 | 1,933 | |||||||||||||
Republic of Kazakhstan | ||||||||||||||||
6.375%, 10/06/20 (D) | 0.2 | EUR | 1,400 | 1,550 | ||||||||||||
Other Securities | 1.2 | 12,777 | ||||||||||||||
|
| |||||||||||||||
43,206 | ||||||||||||||||
|
| |||||||||||||||
Kuwait — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 1,442 | ||||||||||||||
|
| |||||||||||||||
Latvia — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 492 | ||||||||||||||
|
| |||||||||||||||
Lebanon — 0.5% |
| |||||||||||||||
Other Securities | 0.5 | 4,689 | ||||||||||||||
|
| |||||||||||||||
Lithuania — 1.9% |
| |||||||||||||||
Republic of Lithuania | ||||||||||||||||
7.375%, 02/11/20 | 0.2 | 1,824 | 2,134 | |||||||||||||
7.375%, 02/11/20 (D) | 0.1 | 1,100 | 1,287 | |||||||||||||
6.750%, 01/15/15 (D) | 0.1 | 1,186 | 1,281 | |||||||||||||
6.625%, 02/01/22 (D) | 0.5 | 4,018 | 4,450 | |||||||||||||
6.125%, 03/09/21 | 0.6 | 5,080 | 5,435 | |||||||||||||
6.125%, 03/09/21 (D) | 0.3 | 3,039 | 3,252 | |||||||||||||
5.125%, 09/14/17 (D) | 0.1 | 1,025 | 1,066 | |||||||||||||
|
| |||||||||||||||
18,905 | ||||||||||||||||
|
| |||||||||||||||
Malaysia — 2.0% |
| |||||||||||||||
Petroliam Nasional | ||||||||||||||||
7.625%, 10/15/26 | 0.1 | 925 | 1,277 | |||||||||||||
Petronas Capital | ||||||||||||||||
7.875%, 05/22/22 | 0.9 | 6,311 | 8,477 |
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
5.250%, 08/12/19 | 0.1 | % | 1,100 | $ | 1,226 | |||||||||||
5.250%, 08/12/19 (D) | 0.8 | 6,740 | 7,513 | |||||||||||||
Wakala Global Sukuk | ||||||||||||||||
4.646%, 07/06/21 (D) | 0.1 | 900 | 974 | |||||||||||||
Other Securities | 0.0 | 600 | ||||||||||||||
|
| |||||||||||||||
20,067 | ||||||||||||||||
|
| |||||||||||||||
Mexico — 8.2% |
| |||||||||||||||
Comision Federal de Electricidad | ||||||||||||||||
5.750%, 02/14/42 (D) | 0.1 | 900 | 899 | |||||||||||||
4.875%, 05/26/21 (D) | 0.1 | 550 | 583 | |||||||||||||
Deutsche Bank, CLN |
| |||||||||||||||
10.571%, 12/22/12 | 0.0 | 540 | 570 | |||||||||||||
Mexican Bonos MTN | ||||||||||||||||
4.750%, 03/08/44 | 0.0 | 260 | 255 | |||||||||||||
3.625%, 03/15/22 | 0.1 | 650 | 665 | |||||||||||||
Mexican Bonos, Ser M | ||||||||||||||||
6.500%, 06/10/21 | 0.4 | MXP | 48,780 | 3,884 | ||||||||||||
Mexican Bonos, Ser M20 | ||||||||||||||||
8.500%, 05/31/29 | 0.5 | MXP | 55,600 | 4,970 | ||||||||||||
7.750%, 05/29/31 | 0.5 | MXP | 60,500 | 4,985 | ||||||||||||
Mexican Bonos, Ser M30 | ||||||||||||||||
10.000%, 11/20/36 | 0.5 | MXP | 49,900 | 4,992 | ||||||||||||
Pemex Finance | ||||||||||||||||
9.150%, 11/15/18 | 0.2 | 1,595 | 2,052 | |||||||||||||
Pemex Project Funding Master Trust | ||||||||||||||||
6.625%, 06/15/35 | 0.3 | 2,546 | 2,902 | |||||||||||||
5.750%, 03/01/18 | 0.2 | 2,055 | 2,312 | |||||||||||||
Petroleos Mexicanos | ||||||||||||||||
8.000%, 05/03/19 | 0.1 | 700 | 885 | |||||||||||||
6.500%, 06/02/41 (D) | 0.0 | 442 | 497 | |||||||||||||
6.500%, 06/02/41 (D) | 0.1 | 750 | 844 | |||||||||||||
6.000%, 03/05/20 (D) | 0.0 | 300 | 341 | |||||||||||||
4.875%, 01/24/22 (D) | 0.1 | 600 | 630 | |||||||||||||
United Mexican States MTN | ||||||||||||||||
8.300%, 08/15/31 | 0.6 | 3,865 | 5,759 | |||||||||||||
6.050%, 01/11/40 | 0.5 | 4,360 | 5,276 | |||||||||||||
5.950%, 03/19/19 | 0.2 | 1,300 | 1,559 | |||||||||||||
5.750%, 10/12/10 | 0.6 | 6,134 | 6,303 | |||||||||||||
5.625%, 01/15/17 | 0.2 | 1,442 | 1,668 | |||||||||||||
5.125%, 01/15/20 | 0.2 | 1,700 | 1,951 | |||||||||||||
United Mexican States, Ser A MTN | ||||||||||||||||
8.000%, 09/24/22 | 0.2 | 1,785 | 2,454 | |||||||||||||
6.750%, 09/27/34 | 0.7 | 5,226 | 6,715 | |||||||||||||
Other Securities | 1.8 | 18,372 | ||||||||||||||
|
| |||||||||||||||
82,323 | ||||||||||||||||
|
| |||||||||||||||
Mongolia — 0.1% | ||||||||||||||||
Other Securities | 0.1 | 776 | ||||||||||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
March 31, 2012
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||
Morocco — 0.2% | ||||||||||||||
Other Securities | 0.2 | % | $ | 1,860 | ||||||||||
|
| |||||||||||||
Nigeria — 0.3% | ||||||||||||||
Other Securities | 0.3 | 3,272 | ||||||||||||
|
| |||||||||||||
Oman — 0.0% | ||||||||||||||
Other Securities | 0.0 | 112 | ||||||||||||
|
| |||||||||||||
Pakistan — 0.2% | ||||||||||||||
Other Securities | 0.2 | 1,873 | ||||||||||||
|
| |||||||||||||
Panama — 2.0% | ||||||||||||||
Republic of Panama | ||||||||||||||
9.375%, 01/16/23 | 0.1 | 560 | 778 | |||||||||||
9.375%, 04/01/29 | 0.7 | 4,141 | 6,632 | |||||||||||
8.875%, 09/30/27 | 0.2 | 1,650 | 2,525 | |||||||||||
8.125%, 04/28/34 | 0.2 | 1,409 | 1,944 | |||||||||||
7.250%, 03/15/15 | 0.1 | 620 | 718 | |||||||||||
7.125%, 01/29/26 | 0.0 | 325 | 434 | |||||||||||
6.700%, 01/26/36 | 0.7 | 5,098 | 6,704 | |||||||||||
|
| |||||||||||||
19,735 | ||||||||||||||
|
| |||||||||||||
Peru — 1.7% | ||||||||||||||
Republic of Peru | ||||||||||||||
8.750%, 11/21/33 | 0.8 | 5,189 | 8,048 | |||||||||||
8.375%, 05/03/16 | 0.1 | 600 | 746 | |||||||||||
7.350%, 07/21/25 | 0.5 | 3,460 | 4,726 | |||||||||||
Other Securities | 0.3 | 3,853 | ||||||||||||
|
| |||||||||||||
17,373 | ||||||||||||||
|
| |||||||||||||
Philippines — 3.6% | ||||||||||||||
Power Sector Assets & Liabilities Management | ||||||||||||||
7.390%, 12/02/24 | 0.1 | 500 | 633 | |||||||||||
Republic of Philippines | ||||||||||||||
10.625%, 03/16/25 | 0.5 | 3,200 | 5,168 | |||||||||||
9.500%, 02/02/30 | 0.6 | 3,559 | 5,623 | |||||||||||
9.375%, 01/18/17 | 0.0 | 150 | 194 | |||||||||||
8.375%, 06/17/19 | 0.3 | 2,050 | 2,716 | |||||||||||
7.750%, 01/14/31 | 0.8 | 5,629 | 7,768 | |||||||||||
7.500%, 09/25/24 | 0.1 | 670 | 871 | |||||||||||
6.500%, 01/20/20 | 0.1 | 1,156 | 1,397 | |||||||||||
6.375%, 10/23/34 | 0.3 | 2,288 | 2,817 | |||||||||||
5.500%, 03/30/26 | 0.2 | 1,860 | 2,118 | |||||||||||
5.000%, 01/13/37 | 0.1 | 650 | 678 | |||||||||||
4.000%, 01/15/21 | 0.3 | 3,057 | 3,183 | |||||||||||
Other Securities | 0.2 | 2,736 | ||||||||||||
|
| |||||||||||||
35,902 | ||||||||||||||
|
| |||||||||||||
Poland — 3.0% | ||||||||||||||
Republic of Poland | ||||||||||||||
6.375%, 07/15/19 | 1.1 | 9,506 | 11,051 | |||||||||||
5.125%, 04/21/21 | 0.3 | 2,669 | 2,850 |
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||
5.000%, 03/23/22 | 1.1 | % | 10,701 | $ | 11,279 | |||||||||
4.000%, 03/23/21 | 0.1 | 736 | 984 | |||||||||||
Other Securities | 0.4 | 3,819 | ||||||||||||
|
| |||||||||||||
29,983 | ||||||||||||||
|
| |||||||||||||
Qatar — 2.0% | ||||||||||||||
Qtel International Finance | ||||||||||||||
7.875%, 06/10/19 | 0.2 | 2,020 | 2,480 | |||||||||||
6.500%, 06/10/14 (D) | 0.0 | 200 | 219 | |||||||||||
5.000%, 10/19/25 | 0.0 | 270 | 273 | |||||||||||
5.000%, 10/19/25 (D) | 0.1 | 637 | 645 | |||||||||||
4.750%, 02/16/21 | 0.1 | 840 | 868 | |||||||||||
4.750%, 02/16/21 (D) | 0.0 | 457 | 472 | |||||||||||
State of Qatar | ||||||||||||||
9.750%, 06/15/30 | 0.2 | 1,025 | 1,602 | |||||||||||
6.550%, 04/09/19 | 0.2 | 1,533 | 1,824 | |||||||||||
6.400%, 01/20/40 | 0.1 | 1,176 | 1,373 | |||||||||||
6.400%, 01/20/40 (D) | 0.1 | 710 | 829 | |||||||||||
5.750%, 01/20/42 (D) | 0.1 | 750 | 811 | |||||||||||
5.250%, 01/20/20 | 0.3 | 2,525 | 2,784 | |||||||||||
5.250%, 01/20/20 (D) | 0.3 | 2,800 | 3,087 | |||||||||||
4.500%, 01/20/22 (D) | 0.3 | 2,500 | 2,609 | |||||||||||
4.000%, 01/20/15 (D) | 0.0 | 300 | 316 | |||||||||||
|
| |||||||||||||
20,192 | ||||||||||||||
|
| |||||||||||||
Romania — 0.2% | ||||||||||||||
Other Securities | 0.2 | 1,639 | ||||||||||||
|
| |||||||||||||
Russia — 9.1% | ||||||||||||||
AK Transneft Via TransCapitalInvest | ||||||||||||||
8.700%, 08/07/18 | 0.0 | 100 | 123 | |||||||||||
ALROSA Finance | ||||||||||||||
7.750%, 11/03/20 | 0.0 | 240 | 256 | |||||||||||
Russia, CLN (Russian Foreign Bond) | ||||||||||||||
7.600%, 04/14/21 | 0.2 | 55,200 | 1,865 | |||||||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||||||||
7.750%, 05/29/18 | 0.1 | 650 | 736 | |||||||||||
Russian Foreign Bond – Eurobond | ||||||||||||||
12.750%, 06/24/28 | 0.4 | 2,210 | 3,981 | |||||||||||
7.500%, 03/31/30 | 4.0 | 33,591 | 40,183 | |||||||||||
5.625%, 04/04/42 (D) | 0.2 | 1,800 | 1,786 | |||||||||||
5.000%, 04/29/20 | 0.1 | 700 | 746 | |||||||||||
5.000%, 04/29/20 (D) | 0.3 | 2,500 | 2,665 | |||||||||||
3.625%, 04/29/15 | 0.0 | 300 | 312 | |||||||||||
3.250%, 04/04/17 (D) | 0.1 | 1,200 | 1,201 | |||||||||||
SCF Capital | ||||||||||||||
5.375%, 10/27/17 (D) | 0.2 | 2,510 | 2,397 | |||||||||||
TMK Capital | ||||||||||||||
7.750%, 01/27/18 | 0.1 | 1,100 | 1,065 | |||||||||||
Vnesheconombank Via VEB Finance MTN | ||||||||||||||
6.902%, 07/09/20 | 0.4 | 3,350 | 3,622 | |||||||||||
6.902%, 07/09/20 (D) | 0.3 | 2,385 | 2,579 |
18 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
6.800%, 11/22/25 | 0.1 | % | 1,300 | $ | 1,360 | |||||||||||
6.800%, 11/22/25 (D) | 0.1 | 900 | 942 | |||||||||||||
5.450%, 11/22/17 (D) | 0.1 | 700 | 725 | |||||||||||||
VTB Bank Via VTB Capital | ||||||||||||||||
6.875%, 05/29/18 | 0.1 | 700 | 739 | |||||||||||||
6.551%, 10/13/20 (D) | 0.1 | 960 | 958 | |||||||||||||
6.250%, 06/30/35 | 0.0 | 381 | 398 | |||||||||||||
Other Securities | 2.2 | 22,312 | ||||||||||||||
|
| |||||||||||||||
90,951 | ||||||||||||||||
|
| |||||||||||||||
Saudi Arabia — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 1,446 | ||||||||||||||
|
| |||||||||||||||
Senegal — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | 1,584 | ||||||||||||||
|
| |||||||||||||||
Serbia — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 1,264 | ||||||||||||||
|
| |||||||||||||||
Singapore — 0.2% |
| |||||||||||||||
MMI International | ||||||||||||||||
8.000%, 03/01/17 | 0.0 | 250 | 259 | |||||||||||||
Other Securities | 0.2 | 1,726 | ||||||||||||||
|
| |||||||||||||||
1,985 | ||||||||||||||||
|
| |||||||||||||||
South Africa — 3.0% |
| |||||||||||||||
Eskom Holdings | ||||||||||||||||
5.750%, 01/26/21 (D) | 0.2 | 2,450 | 2,572 | |||||||||||||
Republic of South Africa | ||||||||||||||||
8.500%, 06/23/17 | 0.1 | 860 | 1,066 | |||||||||||||
8.000%, 12/21/18 | 0.1 | 11,040 | 1,462 | |||||||||||||
6.875%, 05/27/19 | 0.4 | 3,197 | 3,848 | |||||||||||||
6.750%, 03/31/21 | 0.2 | ZAR | 17,820 | 2,157 | ||||||||||||
6.250%, 03/08/41 | 0.2 | 1,611 | 1,885 | |||||||||||||
5.875%, 05/30/22 | 0.2 | 2,050 | 2,337 | |||||||||||||
5.500%, 03/09/20 | 0.6 | 5,640 | 6,289 | |||||||||||||
4.665%, 01/17/24 | 0.4 | 3,776 | 3,861 | |||||||||||||
Transnet MTN | ||||||||||||||||
4.500%, 02/10/16 (D) | 0.1 | 560 | 580 | |||||||||||||
Other Securities | 0.5 | 4,301 | ||||||||||||||
|
| |||||||||||||||
30,358 | ||||||||||||||||
|
| |||||||||||||||
South Korea — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | 1,846 | ||||||||||||||
|
| |||||||||||||||
Sri Lanka — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | 1,664 | ||||||||||||||
|
| |||||||||||||||
Supra-National — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 601 | ||||||||||||||
|
| |||||||||||||||
Trinidad & Tobago — 0.3% |
| |||||||||||||||
Other Securities | 0.3 | 3,386 | ||||||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||
Tunisia — 0.0% | ||||||||||||||
Other Securities | 0.0 | % | $ | 238 | ||||||||||
|
| |||||||||||||
Turkey — 3.6% | ||||||||||||||
Export Credit Bank of Turkey | ||||||||||||||
5.375%, 11/04/16 (D) | 0.1 | 850 | 859 | |||||||||||
Republic of Turkey | ||||||||||||||
11.875%, 01/15/30 | 0.1 | 850 | 1,435 | |||||||||||
8.000%, 02/14/34 | 0.2 | 2,000 | 2,500 | |||||||||||
7.500%, 07/14/17 | 0.1 | 800 | 922 | |||||||||||
7.500%, 11/07/19 | 0.4 | 3,630 | 4,256 | |||||||||||
7.375%, 02/05/25 | 0.2 | 2,020 | 2,376 | |||||||||||
7.250%, 03/15/15 | 0.1 | 850 | 943 | |||||||||||
7.250%, 03/05/38 | 0.3 | 2,890 | 3,360 | |||||||||||
7.000%, 09/26/16 | 0.1 | 938 | 1,055 | |||||||||||
7.000%, 03/11/19 | 0.1 | 550 | 628 | |||||||||||
7.000%, 06/05/20 | 0.1 | 570 | 650 | |||||||||||
6.875%, 03/17/36 | 0.2 | 2,220 | 2,464 | |||||||||||
6.750%, 04/03/18 | 0.5 | 4,314 | 4,837 | |||||||||||
6.750%, 05/30/40 | 0.3 | 2,633 | 2,870 | |||||||||||
6.250%, 09/26/22 | 0.2 | 1,715 | 1,844 | |||||||||||
6.000%, 01/14/41 | 0.1 | 552 | 544 | |||||||||||
5.625%, 03/30/21 | 0.2 | 1,501 | 1,566 | |||||||||||
5.125%, 03/25/22 | 0.2 | 1,709 | 1,696 | |||||||||||
0.000%, 05/15/13 (G) | 0.0 | 750 | 380 | |||||||||||
0.000%, 07/17/13 (G) | 0.1 | 1,830 | 913 | |||||||||||
Other Securities | 0.0 | 127 | ||||||||||||
|
| |||||||||||||
36,225 | ||||||||||||||
|
| |||||||||||||
Ukraine — 2.9% |
| |||||||||||||
Ferrexpo Finance | ||||||||||||||
7.875%, 04/07/16 | 0.1 | 1,200 | 1,110 | |||||||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||||||||
8.375%, 11/03/17 (D) | 0.1 | 550 | 468 | |||||||||||
Government of Ukraine | ||||||||||||||
7.950%, 02/23/21 | 0.0 | 206 | 177 | |||||||||||
7.950%, 02/23/21 (D) | 0.0 | 250 | 215 | |||||||||||
7.750%, 09/23/20 | 0.1 | 554 | 474 | |||||||||||
7.750%, 09/23/20 (D) | 0.0 | 440 | 376 | |||||||||||
7.650%, 06/11/13 | 0.1 | 600 | 578 | |||||||||||
6.875%, 09/23/15 | 0.1 | 1,287 | 1,189 | |||||||||||
6.875%, 09/23/15 (C) (D) | 0.1 | 1,472 | 1,360 | |||||||||||
6.750%, 11/14/17 | 0.1 | 1,350 | 1,181 | |||||||||||
6.580%, 11/21/16 | 0.1 | 1,600 | 1,384 | |||||||||||
6.580%, 11/21/16 (D) | 0.0 | 440 | 381 | |||||||||||
6.385%, 06/26/12 | 0.1 | 500 | 498 | |||||||||||
6.250%, 06/17/16 | 0.0 | 312 | 271 | |||||||||||
6.250%, 06/17/16 (D) | 0.1 | 1,343 | 1,168 | |||||||||||
National Naftogaz of Ukraine | ||||||||||||||
9.500%, 09/30/14 | 0.6 | 6,600 | 6,386 | |||||||||||
Oschadbank Via SSB No.1 | ||||||||||||||
8.250%, 03/10/16 | 0.1 | 800 | 680 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
March 31, 2012
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
The EXIM of Ukraine Via Credit Suisse First Boston International | ||||||||||||||||
6.800%, 10/04/12 | 0.1 | % | 750 | $ | 748 | |||||||||||
Ukreximbank Via Biz Finance | ||||||||||||||||
8.375%, 04/27/15 | 0.4 | 4,771 | 4,413 | |||||||||||||
Other Securities | 0.8 | 6,571 | ||||||||||||||
|
| |||||||||||||||
29,628 | ||||||||||||||||
|
| |||||||||||||||
United Arab Emirates — 3.3% |
| |||||||||||||||
Jafz Sukuk | ||||||||||||||||
2.991%, 11/27/12 (A) | 0.6 | AED | 22,400 | 5,849 | ||||||||||||
Other Securities | 2.6 | 26,548 | ||||||||||||||
|
| |||||||||||||||
32,397 | ||||||||||||||||
|
| |||||||||||||||
Uruguay — 1.5% |
| |||||||||||||||
Republic of Uruguay PIK | ||||||||||||||||
7.875%, 01/15/33 | 0.3 | 1,789 | 2,495 | |||||||||||||
Republic of Uruguay | ||||||||||||||||
9.250%, 05/17/17 | 0.0 | 218 | 289 | |||||||||||||
8.000%, 11/18/22 | 0.9 | 6,607 | 9,101 | |||||||||||||
7.625%, 03/21/36 | 0.2 | 1,754 | 2,434 | |||||||||||||
6.875%, 09/28/25 | 0.1 | 567 | 731 | |||||||||||||
|
| |||||||||||||||
15,050 | ||||||||||||||||
|
| |||||||||||||||
Venezuela — 5.6% |
| |||||||||||||||
Petroleos de Venezuela | ||||||||||||||||
12.750%, 02/17/22 | 0.2 | 1,650 | 1,650 | |||||||||||||
8.500%, 11/02/17 | 0.1 | 900 | 790 | |||||||||||||
8.500%, 11/02/17 | 0.1 | 990 | 869 | |||||||||||||
5.500%, 04/12/37 | 0.1 | 2,000 | 1,190 | |||||||||||||
5.375%, 04/12/27 | 0.3 | 4,855 | 2,986 | |||||||||||||
5.250%, 04/12/17 | 0.3 | 4,497 | 3,406 | |||||||||||||
5.000%, 10/28/15 | 0.3 | 4,201 | 3,487 | |||||||||||||
4.900%, 10/28/14 | 1.2 | 13,652 | 12,219 | |||||||||||||
Republic of Venezuela | ||||||||||||||||
13.625%, 08/15/18 | 0.2 | 2,100 | 2,310 | |||||||||||||
13.625%, 08/15/18 | 0.0 | 144 | 158 | |||||||||||||
12.750%, 08/23/22 | 0.7 | 6,330 | 6,647 | |||||||||||||
11.950%, 08/05/31 | 0.5 | 5,280 | 5,201 | |||||||||||||
11.750%, 10/21/26 | 0.2 | 1,580 | 1,556 | |||||||||||||
10.750%, 09/19/13 | 0.0 | 400 | 417 | |||||||||||||
9.375%, 01/13/34 | 0.2 | 2,030 | 1,690 | |||||||||||||
9.250%, 09/15/27 | 0.2 | 2,570 | 2,267 | |||||||||||||
9.250%, 05/07/28 | 0.2 | 2,180 | 1,799 | |||||||||||||
9.000%, 05/07/23 | 0.2 | 2,820 | 2,397 | |||||||||||||
8.500%, 10/08/14 | 0.1 | 1,066 | 1,069 | |||||||||||||
8.250%, 10/13/24 | 0.2 | 1,950 | 1,550 | |||||||||||||
7.750%, 10/13/19 | 0.1 | 1,250 | 1,050 | |||||||||||||
7.650%, 04/21/25 | 0.1 | 1,250 | 944 | |||||||||||||
7.000%, 03/31/38 | 0.0 | 100 | 70 | |||||||||||||
6.000%, 12/09/20 | 0.1 | 880 | 653 | |||||||||||||
|
| |||||||||||||||
56,375 | ||||||||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
Vietnam — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | % | $ | 2,130 | ||||||||||||
|
| |||||||||||||||
Total Global Bonds (Cost $866,276) ($ Thousands) |
| 928,391 | ||||||||||||||
|
| |||||||||||||||
LOAN PARTICIPATIONS — 1.8% |
| |||||||||||||||
Connect International PIK |
| |||||||||||||||
0.000%, 08/31/11 (E) | 0.5 | 9,161 | 5,144 | |||||||||||||
PT Bumi |
| |||||||||||||||
15.000%, 01/18/13 (E) | 0.1 | 568 | 557 | |||||||||||||
Other Securities | 1.2 | 11,576 | ||||||||||||||
|
| |||||||||||||||
Total Loan Participations |
| 17,277 | ||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||||||||||
India — 0.3% |
| |||||||||||||||
Other Securities | 0.3 | 3,420 | ||||||||||||||
|
| |||||||||||||||
United Arab Emirates — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | 659 | ||||||||||||||
|
| |||||||||||||||
Total Convertible Bonds |
| 4,079 | ||||||||||||||
|
| |||||||||||||||
AFFILIATED PARTNERSHIP — 0.7% |
| |||||||||||||||
United States — 0.7% |
| |||||||||||||||
SEI Liquidity Fund, L.P. 0.180%*† (H) | 0.7 | 7,503,134 | 7,219 | |||||||||||||
|
| |||||||||||||||
Total Affiliated Partnership |
| 7,219 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 3.1% |
| |||||||||||||||
United States — 3.1% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
0.050%, 04/02/12 | EUR | 390 | 520 | |||||||||||||
0.030%, 04/02/12 | 30,740 | 30,740 | ||||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 31,260 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 98.8% |
| $ | 988,226 | |||||||||||||
|
|
20 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
Euro-Bund | (8 | ) | Jun-2012 | $ | — | |||||||
Euro-Buxl 30 Year Bond | (11 | ) | Jun-2012 | (5 | ) | |||||||
U.S. 10-Year Treasury Note | (245 | ) | Jun-2012 | (122 | ) | |||||||
U.S. 10-Year Treasury Note | 50 | Jun-2012 | (93 | ) | ||||||||
U.S. Ultra Long Treasury Bond | (81 | ) | Jun-2012 | (69 | ) | |||||||
|
| |||||||||||
$ | (289 | ) | ||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The following are the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Settlement Date | Currency | Currency (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/3/12 | KRW | 1,920,000 | USD | 1,693 | $ | (2 | ) | |||||||||||||
4/3/12-6/1/12 | USD | 2,643 | KRW | 3,000,000 | 4 | |||||||||||||||
4/3/12-6/20/12 | USD | 4,760 | ILS | 17,780 | 29 | |||||||||||||||
4/3/12-6/26/12 | ILS | 14,050 | USD | 3,770 | (16 | ) | ||||||||||||||
4/3/12-7/3/12 | BRL | 59,004 | USD | 31,597 | (621 | ) | ||||||||||||||
4/3/12-7/3/12 | USD | 28,590 | BRL | 50,853 | (731 | ) | ||||||||||||||
4/4/12-4/30/12 | EUR | 38,308 | USD | 50,204 | (810 | ) | ||||||||||||||
4/4/12-10/21/12 | USD | 3,604 | EUR | 2,701 | (7 | ) | ||||||||||||||
4/12/12 | PHP | 73,000 | USD | 1,700 | 1 | |||||||||||||||
4/12/12 | USD | 1,667 | PHP | 73,000 | 32 | |||||||||||||||
4/13/12 | HUF | 622,000 | EUR | 2,070 | (48 | ) | ||||||||||||||
4/13/12-4/30/12 | INR | 357,643 | USD | 7,059 | 61 | |||||||||||||||
4/13/12-4/30/12 | USD | 7,159 | INR | 357,643 | (162 | ) | ||||||||||||||
4/18/12 | EUR | 1,322 | PLN | 5,600 | 33 | |||||||||||||||
4/18/12 | IDR | 15,200,000 | USD | 1,647 | (13 | ) |
Settlement Date | Currency | Currency (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/18/12 | THB | 52,000 | USD | 1,628 | $ | (56 | ) | |||||||||||||
4/18/12 | USD | 1,691 | IDR | 15,200,000 | (31 | ) | ||||||||||||||
4/18/12 | USD | 1,713 | THB | 52,000 | (29 | ) | ||||||||||||||
4/19/12-5/14/12 | RUB | 158,260 | USD | 5,372 | 24 | |||||||||||||||
4/19/12-6/8/12 | USD | 7,068 | RUB | 215,897 | 225 | |||||||||||||||
4/24/12 | CZK | 42,500 | EUR | 1,661 | (67 | ) | ||||||||||||||
4/24/12 | EUR | 288 | CZK | 7,200 | 3 | |||||||||||||||
4/27/12 | SGD | 940 | USD | 750 | 3 | |||||||||||||||
4/27/12-6/27/12 | USD | 5,496 | SGD | 6,929 | 17 | |||||||||||||||
4/30/12 | GBP | 896 | USD | 1,404 | (27 | ) | ||||||||||||||
4/30/12 | USD | 1,768 | COP | 3,200,000 | 9 | |||||||||||||||
5/2/12 | COP | 10,245,750 | USD | 5,700 | 14 | |||||||||||||||
5/3/12 | USD | 1,683 | MYR | 5,200 | 12 | |||||||||||||||
5/16/12 | CNY | 21,782 | USD | 3,438 | (20 | ) | ||||||||||||||
5/16/12-12/3/12 | USD | 6,139 | CNY | 39,152 | 72 | |||||||||||||||
5/22/12 | USD | 65 | ZAR | 500 | – | |||||||||||||||
5/24/12 | MXP | 10,600 | USD | 832 | 9 | |||||||||||||||
5/24/12-5/29/12 | USD | 2,658 | MXP | 34,100 | (9 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,101 | ) | ||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
CounterParty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | (2,900 | ) | 2,793 | $ | (107 | ) | ||||||
Barclays PLC | (52,358 | ) | 52,108 | (250 | ) | |||||||
Boston Institutional Services | (8,519 | ) | 8,232 | (287 | ) | |||||||
Citigroup | (60,054 | ) | 59,916 | (138 | ) | |||||||
HSBC | (19,675 | ) | 18,924 | (751 | ) | |||||||
JPMorgan Chase Bank | (38,210 | ) | 37,792 | (418 | ) | |||||||
UBS | (20,462 | ) | 20,312 | (150 | ) | |||||||
|
| |||||||||||
$ | (2,101 | ) | ||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The outstanding swap agreements held by the fund at March 31, 2012, is as follows:
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Barclays Bank PLC | Korea Treasury Bond, 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,237,000 | $ | 436 | ||||||||||||||
HSBC | Korea Treasury Bond, 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,217,000 | 456 | |||||||||||||||
|
| |||||||||||||||||||||
$ | 892 | |||||||||||||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,000,378 ($ Thousands).
* | Rate shown is the 7-day effective yield as of March 31, 2012. |
(1) | In U.S. dollars unless otherwise indicated. |
† | Investment in Affiliated Security (See Note 4). |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(B) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(C) | This security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $7,222 ($ Thousands) (See Note 8). |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
March 31, 2012
(E) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $31,322 ($ Thousands) and represented 3.1% of Net Assets. |
(F) | Security in default on interest payments. |
(G) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(H) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $7,219 ($ Thousands). |
†† | The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov. |
AED | — United Arab Emirates Dirham |
ARS | — Argentine Peso |
BRL | — Brazilian Real |
CLN | — Credit Linked Note |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
CZK | — Czech Koruna |
EUR | — Euro |
GBP | — British Pound Sterling |
HUF | — Hungarian Forint |
IDR | — Indonesia Rupiah |
ILS | — Israeli Shekel |
INR | — India Rupee |
KRW | — Korean Won |
L.P. | — Limited Partnership |
MTN | — Medium Term Note |
MXP | — Mexican Peso |
MYR | — Malaysian Ringgit |
PHP | — Philippine Peso |
PIK | — Payment-in-Kind |
PLC | — Public Limited Company |
PLN | — Polish Zlotty |
RUB | — Russian Ruble |
Ser | — Series |
SGD | — Singapore Dollar |
SPC | — Segregated Portfolio Company |
THB | — Thai Baht |
USD | — U.S. Dollar |
ZAR | — South African Rand |
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bonds | $ | — | $ | 928,391 | $ | — | $ | 928,391 | ||||||||
Convertible Bonds | — | 4,079 | — | 4,079 | ||||||||||||
Loan Participations | — | — | 17,277 | 17,277 | ||||||||||||
Affiliated Partnership | — | 7,219 | — | 7,219 | ||||||||||||
Time Deposits | — | 31,260 | — | 31,260 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 970,948 | $ | 17,277 | $ | 988,226 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (289 | ) | $ | — | $ | — | $ | (289 | ) | ||||||
Forwards Contracts* | — | (2,101 | ) | — | (2,101 | ) | ||||||||||
Total Return Swaps* | — | 892 | — | 892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (289 | ) | $ | (1,209 | ) | $ | — | $ | (1,498 | ) | |||||
|
|
|
|
|
|
|
|
* | Future contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/depreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Loan Participations | ||||
Beginning balance as of October 1, 2011 | $ | 18,404 | ||
Accrued discounts/premiums | 53 | |||
Realized gain/(loss) | 19 | |||
Change in unrealized appreciation/(depreciation) | 634 | |||
Net purchases | — | |||
Net sales | (1,833 | ) | ||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 17,277 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | 65 | ||
|
|
For the six months ended March 31, 2012, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For the six months ended March 31, 2012, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
22 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
March 31, 2012
International Equity Fund | Emerging Markets Equity Fund | International Fixed Income Fund | Emerging Markets Debt Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value (Cost $1,750,290, $829,872, $469,688 and $921,602, respectively)(1) | $ | 1,789,349 | $ | 876,317 | $ | 484,049 | $ | 981,007 | ||||||||
Affiliated investments, at value (Cost $60,171, $12,347, $0 and $7,503, respectively) | 58,469 | 11,518 | — | 7,219 | ||||||||||||
Cash | 1,136 | — | — | 5,296 | ||||||||||||
Foreign currency, at value (Cost $2,272, $6,672, $0 and $184, respectively) | 2,292 | 6,693 | — | 181 | ||||||||||||
Receivable for investment securities sold | 8,237 | 7,581 | 3,994 | 6,040 | ||||||||||||
Unrealized gain on forward foreign currency contracts | — | — | 1,052 | 548 | ||||||||||||
Receivable for fund shares sold | 2,155 | 7,369 | 230 | 1,002 | ||||||||||||
Dividends and interest receivable | 6,454 | 1,749 | 5,825 | 15,827 | ||||||||||||
Variation margin receivable | 133 | — | 125 | 243 | ||||||||||||
Foreign tax reclaim receivable | 2,464 | 43 | — | — | ||||||||||||
Cash pledged as collateral for forward foreign currency contracts, futures contracts, or swap contracts | — | — | 824 | 102 | ||||||||||||
Unrealized gain on foreign spot currency contracts | 75 | — | — | — | ||||||||||||
Receivable for Swap contracts terminated | — | — | 654 | — | ||||||||||||
Swap contracts, at value (Cost $0, $0, $0 and $3,390, respectively) | — | — | 5,342 | 4,282 | ||||||||||||
Total Assets | 1,870,764 | 911,270 | 502,095 | 1,021,747 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 11,780 | 9,047 | 10,650 | 6,626 | ||||||||||||
Payable upon return of securities loaned | 40,190 | 5,318 | — | 7,503 | ||||||||||||
Payable to custodian | — | 1,251 | 33 | |||||||||||||
Foreign currency payable (Premium $0, $0, $260, $0, respectively) | — | — | 262 | — | ||||||||||||
Unrealized loss on forward foreign currency contracts | — | — | 214 | 2,649 | ||||||||||||
Swap contracts, at value (Premiums received $0, $0, $0 and $0, respectively) | — | — | 4,311 | — | ||||||||||||
Payable for swap contracts closed | — | — | 506 | — | ||||||||||||
Payable for fund shares redeemed | 1,692 | 2,103 | 594 | 3,345 | ||||||||||||
Variation margin payable | 20 | — | 3 | 30 | ||||||||||||
Unrealized loss on foreign spot currency contracts | 202 | — | 48 | — | ||||||||||||
Investment advisory fees payable | 779 | 733 | 124 | 334 | ||||||||||||
Administration fees payable | 694 | 495 | 247 | 551 | ||||||||||||
Shareholder servicing fees payable | 387 | 191 | 26 | 212 | ||||||||||||
Trustees’ fees | 1 | 1 | — | — | ||||||||||||
Chief compliance officer fees payable | 4 | 2 | 1 | 2 | ||||||||||||
Administration servicing fees payable | 3 | — | — | — | ||||||||||||
Other accrued expenses | 397 | 402 | 94 | 117 | ||||||||||||
Accrued foreign capital gains tax on appreciated securities | — | 140 | — | — | ||||||||||||
Total Liabilities | 56,149 | 19,683 | 17,113 | 21,369 | ||||||||||||
Net Assets | $ | 1,814,615 | $ | 891,587 | $ | 484,982 | $ | 1,000,378 | ||||||||
NET ASSETS: | ||||||||||||||||
Paid in Capital (unlimited authorization — no par value) | $ | 2,817,726 | $ | 933,724 | $ | 509,732 | $ | 933,902 | ||||||||
Undistributed net investment income/(accumulated net investment income loss) | 6,047 | (2,816 | ) | (38,807 | ) | (1,148 | ) | |||||||||
Accumulated net realized gain (loss) on investments, futures contracts, option contracts, foreign currency contracts and swap contracts | (1,046,354 | ) | (84,805 | ) | (1,597 | ) | 10,000 | |||||||||
Net unrealized appreciation on investments and option contracts | 37,357 | 45,616 | 14,361 | 59,121 | ||||||||||||
Net unrealized appreciation (depreciation) on futures contracts | (235 | ) | — | 334 | (289 | ) | ||||||||||
Net unrealized appreciation on swap contracts | — | — | 1,031 | 892 | ||||||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 74 | 8 | (72 | ) | (2,100 | ) | ||||||||||
Accumulated foreign capital gains tax on appreciated securities | — | (140 | ) | — | — | |||||||||||
Net Assets | $ | 1,814,615 | $ | 891,587 | $ | 484,982 | $ | 1,000,378 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class ($1,808,906,046 ÷ 219,520,805 shares, $891,586,979 ÷ 83,939,854 shares, $484,982,075 ÷ 46,337,671 shares, $1,000,377,891 ÷ 87,863,392 shares, respectively.) | $8.24 | $10.62 | $10.47 | $11.39 | ||||||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class I ($5,708,512 ÷ 692,877 shares) | $8.24 | N/A | N/A | N/A |
(1) | Included in “Investments, at value” is the market value of securities on loan in the amounts of $39,000, $5,079, $0 and $7,222, ($ Thousands), respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 23 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the six months ended March 31, 2012
International Equity Fund | Emerging Markets Equity Fund | International Fixed Income Fund | Emerging Markets Debt Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 19,734 | $ | 5,652 | $ | — | $ | — | ||||||||
Dividends from Affiliated Security(1)(2) | 8 | 2 | — | — | ||||||||||||
Interest | 30 | — | 6,811 | 32,363 | ||||||||||||
Security Lending Income — Net(2) | 948 | 274 | — | 9 | ||||||||||||
Less: Foreign Taxes Withheld | (1,483 | ) | (456 | ) | — | — | ||||||||||
Total Investment Income | 19,237 | 5,472 | 6,811 | 32,372 | ||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 4,366 | 4,325 | 729 | 3,958 | ||||||||||||
Administration Fees | 3,890 | 2,678 | 1,457 | 3,027 | ||||||||||||
Shareholder Servicing Fees — Class A | 2,154 | 1,030 | 607 | 1,164 | ||||||||||||
Shareholder Servicing Fees — Class I | 7 | — | — | — | ||||||||||||
Admin Servicing Fees — Class I | 7 | — | — | — | ||||||||||||
Trustees’ Fees | 20 | 9 | 5 | 11 | ||||||||||||
Chief Compliance Officer Fees | 4 | 2 | 1 | 2 | ||||||||||||
Custodian/Wire Agent Fees | 203 | 208 | 37 | 36 | ||||||||||||
Printing Fees | 132 | 62 | 37 | 71 | ||||||||||||
Overdraft Fees | 17 | 20 | 3 | 2 | ||||||||||||
Professional Fees | 72 | 95 | 20 | 46 | ||||||||||||
Registration Fees | 24 | 11 | 6 | 11 | ||||||||||||
Other Expenses | 77 | 46 | 31 | 33 | ||||||||||||
Total Expenses | 10,973 | 8,486 | 2,933 | 8,361 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | — | (383 | ) | — | (2,011 | ) | ||||||||||
Waiver of Shareholder Servicing Fees — Class A | — | — | (452 | ) | — | |||||||||||
Net Expenses | 10,973 | 8,103 | 2,481 | 6,350 | ||||||||||||
Net Investment Income (Loss) | 8,264 | (2,631 | ) | 4,330 | 26,022 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments, Written Options, Futures Contracts, Swap Contracts and Foreign Currency Transactions: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | (34,558 | ) | (42,631 | ) | 2,587 | 15,391 | ||||||||||
Futures Contracts | 8,007 | — | (134 | ) | 75 | |||||||||||
Swap Contracts | — | — | (654 | ) | (580 | ) | ||||||||||
Foreign Currency Transactions | 420 | (593 | ) | 16,592 | 1,326 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 259,534 | 180,124 | 3,295 | 53,062 | ||||||||||||
Affiliated Investments | 45 | 81 | — | (17 | ) | |||||||||||
Futures Contracts | (911 | ) | — | 704 | (431 | ) | ||||||||||
Swap Contracts | — | — | (159 | ) | 815 | |||||||||||
Foreign Capital Gains Tax on Appreciated Securities | — | (137 | ) | — | — | |||||||||||
Foreign Currency Transactions | 29 | 146 | (12,951 | ) | (3,032 | ) | ||||||||||
Net Realized and Unrealized Gain on Investments, Written Options, Futures Contracts, Swap Contracts and Foreign Currency Transactions | 232,566 | 136,990 | 9,280 | 66,609 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 240,830 | $ | 134,359 | $ | 13,610 | $ | 92,631 |
(1) | Income is from the investment of collateral in an affiliated security. |
(2) | See Note 4 in Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
24 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six months ended March 31, 2012 (Unaudited) and the year ended September 30, 2011
International Equity Fund | Emerging Markets Equity Fund | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income (Loss) | $ | 8,264 | $ | 36,457 | $ | (2,631 | ) | $ | 4,092 | |||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | (26,551 | ) | 175,855 | (42,631 | ) | 128,870 | ||||||||||
Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions | 420 | (3,283 | ) | (593 | ) | (1,199 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 258,668 | (405,494 | ) | 180,205 | (311,142 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | — | — | (137 | ) | 319 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | 29 | (198 | ) | 146 | (218 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 240,830 | (196,663 | ) | 134,359 | (179,278 | ) | ||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (34,665 | ) | (27,359 | ) | (2,183 | ) | (8,167 | ) | ||||||||
Class I | (96 | ) | (106 | ) | — | — | ||||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | — | — | ||||||||||||
Class I | — | — | — | — | ||||||||||||
Total Dividends and Distributions | (34,761 | ) | (27,465 | ) | (2,183 | ) | (8,167 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 310,431 | † | 534,221 | 164,356 | 267,635 | |||||||||||
Reinvestment of Dividends & Distributions | 32,156 | 25,959 | 2,014 | 7,653 | ||||||||||||
Cost of Shares Redeemed | (305,953 | ) | (667,954 | ) | (102,457 | ) | (327,928 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 36,634 | (107,774 | ) | 63,913 | (52,640 | ) | ||||||||||
Class I: | ||||||||||||||||
Proceeds from Shares Issued | 703 | † | 1,445 | — | — | |||||||||||
Reinvestment of Dividends & Distributions | 67 | 78 | — | — | ||||||||||||
Cost of Shares Redeemed | (1,016 | ) | (4,124 | ) | — | — | ||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | (246 | ) | (2,601 | ) | — | — | ||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 36,388 | (110,375 | ) | 63,913 | (52,640 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 242,457 | (334,503 | ) | 196,089 | (240,085 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,572,158 | 1,906,661 | 695,498 | 935,583 | ||||||||||||
End of Period | $ | 1,814,615 | $ | 1,572,158 | $ | 891,587 | $ | 695,498 | ||||||||
Undistributed Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at End of Period | $ | 6,047 | $ | 32,544 | $ | (2,816 | ) | $ | 1,998 | |||||||
Share Transactions: | ||||||||||||||||
Class A: | ||||||||||||||||
Shares Issued | 39,550 | 60,845 | 16,711 | 22,954 | ||||||||||||
Reinvestment of Distributions | 4,334 | 2,973 | 215 | 643 | ||||||||||||
Shares Redeemed | (39,208 | ) | (76,626 | ) | (10,267 | ) | (28,393 | ) | ||||||||
Total Class A Transactions | 4,676 | (12,808 | ) | 6,659 | (4,796 | ) | ||||||||||
Class I: | ||||||||||||||||
Shares Issued | 89 | 165 | — | — | ||||||||||||
Reinvestment of Distributions | 9 | 9 | — | — | ||||||||||||
Shares Redeemed | (129 | ) | (466 | ) | — | — | ||||||||||
Total Class I Transactions | (31 | ) | (292 | ) | — | — | ||||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | 4,645 | (13,100 | ) | 6,659 | (4,796 | ) |
† Refer to Note 4 for information regarding market timing settlement.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 25 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six months ended March 31, 2012 (Unaudited) and the year ended September 30, 2011
International Fixed Income Fund | Emerging Markets Debt Fund | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 4,330 | $ | 11,662 | $ | 26,022 | $ | 50,403 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 1,799 | 3,682 | 14,886 | 32,145 | ||||||||||||
Net Realized Gain (Loss) on Forward Foreign Currency Contracts and Foreign Currency Transactions | 16,592 | (25,271 | ) | 1,326 | 1,855 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 3,840 | (20,547 | ) | 53,429 | (93,220 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts, Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | (12,951 | ) | 31,787 | (3,032 | ) | 1,547 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,610 | 1,313 | 92,631 | (7,270 | ) | |||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (12,225 | ) | (22,700 | ) | (42,178 | ) | (25,140 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | (490 | ) | (2,001 | ) | — | ||||||||||
Total Dividends and Distributions | (12,225 | ) | (23,190 | ) | (44,179 | ) | (25,140 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 50,694 | 124,990 | 186,030 | 399,472 | ||||||||||||
Reinvestment of Dividends & Distributions | 11,251 | 21,936 | 39,212 | 22,662 | ||||||||||||
Cost of Shares Redeemed | (67,277 | ) | (141,201 | ) | (149,712 | ) | (445,193 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (5,332 | ) | 5,725 | 75,530 | (23,059 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (3,947 | ) | (16,152 | ) | 123,982 | (55,469 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 488,929 | 505,081 | 876,396 | 931,865 | ||||||||||||
End of Period | $ | 484,982 | $ | 488,929 | $ | 1,000,378 | $ | 876,396 | ||||||||
Undistributed Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at End of Period | $ | (38,807 | ) | $ | (30,912 | ) | $ | (1,148 | ) | $ | 15,008 | |||||
Share Transactions: | ||||||||||||||||
Class A: | ||||||||||||||||
Shares Issued | 4,873 | 12,022 | 16,629 | 35,467 | ||||||||||||
Reinvestment of Distributions | 1,098 | 2,157 | 3,593 | 2,016 | ||||||||||||
Shares Redeemed | (6,467 | ) | (13,579 | ) | (13,458 | ) | (39,651 | ) | ||||||||
Total Class A Transactions | (496 | ) | 600 | 6,764 | (2,168 | ) |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
For the six months ended March 31, 2012 (Unaudited) and the years ended September 30,
For a Share Outstanding Throughout Each Period
Net Asset Value, Beginning of Year | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions and Return of Capital | Net Asset Value, End of Year | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Expenses to Average Net Assets** | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)*** | Ratio of Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly)*** | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012* | $ | 7.29 | $ | 0.04 | $ | 1.07 | $ | 1.11 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 8.24 | 15.46 | % | $ | 1,808,906 | 1.27 | %(3) | 1.27 | %(3) | 1.27 | %(3) | 0.96 | % | 31 | % | ||||||||||||||||||||||||||||
2011 | 8.34 | 0.16 | (1.08 | ) | (0.92 | ) | (0.13 | ) | — | (0.13 | ) | 7.29 | (11.34 | ) | 1,566,893 | 1.27 | (3) | 1.27 | (3) | 1.27 | (3) | 1.88 | 98 | |||||||||||||||||||||||||||||||||||||
2010 | 7.88 | 0.10 | 0.36 | 0.46 | — | — | — | 8.34 | 5.84 | 1,898,206 | 1.27 | (3) | 1.27 | (3) | 1.28 | 1.26 | 144 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 8.85 | 0.13 | (0.94 | ) | (0.81 | ) | (0.16 | ) | — | (0.16 | ) | 7.88 | (8.73 | ) | 2,053,411 | 1.28 | (2)(3) | 1.28 | (2)(3) | 1.29 | 2.01 | 154 | ||||||||||||||||||||||||||||||||||||||
2008 | 16.18 | 0.27 | (5.52 | ) | (5.25 | ) | (0.34 | ) | (1.74 | ) | (2.08 | ) | 8.85 | (36.96 | ) | 2,329,504 | 1.25 | (2)(3) | 1.26 | (2)(3) | 1.26 | (2) | 2.15 | 218 | ||||||||||||||||||||||||||||||||||||
2007 | 14.07 | 0.28 | 2.89 | 3.17 | (0.47 | ) | (0.59 | ) | (1.06 | ) | 16.18 | 23.56 | 4,032,236 | 1.32 | (2)(3) | 1.33 | (2)(3) | 1.33 | (2) | 1.85 | 172 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012* | $ | 7.28 | $ | 0.03 | $ | 1.06 | $ | 1.09 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 8.24 | 15.21 | % | $ | 5,709 | 1.52 | %(3) | 1.52 | %(3) | 1.52 | %(3) | 0.68 | % | 31 | % | ||||||||||||||||||||||||||||
2011 | 8.32 | 0.13 | (1.06 | ) | (0.93 | ) | (0.11 | ) | — | (0.11 | ) | 7.28 | (11.44 | ) | 5,265 | 1.52 | (3) | 1.52 | (3) | 1.52 | 1.54 | 98 | ||||||||||||||||||||||||||||||||||||||
2010 | 7.89 | 0.08 | 0.35 | 0.43 | — | — | — | 8.32 | 5.45 | 8,455 | 1.52 | (3) | 1.52 | (3) | 1.53 | 1.00 | 144 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 8.82 | 0.13 | (0.94 | ) | (0.81 | ) | (0.12 | ) | — | (0.12 | ) | 7.89 | (8.80 | ) | 8,397 | 1.53 | (2)(3) | 1.53 | (2)(3) | 1.54 | 1.97 | 154 | ||||||||||||||||||||||||||||||||||||||
2008 | 16.13 | 0.22 | (5.49 | ) | (5.27 | ) | (0.30 | ) | (1.74 | ) | (2.04 | ) | 8.82 | (37.14 | ) | 6,538 | 1.50 | (2)(3) | 1.51 | (2)(3) | 1.51 | (2) | 1.72 | 218 | ||||||||||||||||||||||||||||||||||||
2007 | 14.04 | 0.25 | 2.88 | 3.13 | (0.45 | ) | (0.59 | ) | (1.04 | ) | 16.13 | 23.25 | 17,155 | 1.57 | (2)(3) | 1.58 | (2)(3) | 1.58 | (2) | 1.66 | 172 | |||||||||||||||||||||||||||||||||||||||
Emerging Markets Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012* | $ | 9.00 | $ | (0.03 | ) | $ | 1.68 | $ | 1.65 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 10.62 | 18.34 | % | $ | 891,587 | 1.97 | %(4) | 1.97 | %(4) | 2.06 | % | (0.64 | )% | 56 | % | |||||||||||||||||||||||||||
2011 | 11.40 | 0.05 | (2.35 | ) | (2.30 | ) | (0.10 | ) | — | (0.10 | ) | 9.00 | (20.38 | ) | 695,498 | 1.96 | (4) | 1.96 | (4) | 2.09 | 0.44 | 98 | ||||||||||||||||||||||||||||||||||||||
2010 | 9.64 | 0.04 | 1.78 | 1.82 | (0.06 | ) | — | (0.06 | ) | 11.40 | 18.93 | 935,583 | 1.96 | (4) | 1.96 | (4) | 2.09 | 0.38 | 81 | |||||||||||||||||||||||||||||||||||||||||
2009 | 11.43 | 0.08 | 0.18 | 0.26 | (0.10 | ) | (1.95 | ) | (2.05 | ) | 9.64 | 16.40 | 916,780 | 1.97 | (4) | 1.97 | (4) | 2.11 | 1.08 | 80 | ||||||||||||||||||||||||||||||||||||||||
2008 | 21.49 | 0.14 | (5.64 | ) | (5.50 | ) | (0.08 | ) | (4.48 | ) | (4.56 | ) | 11.43 | (33.33 | ) | 965,730 | 1.99 | (4) | 1.99 | (4) | 2.08 | 0.85 | 94 | |||||||||||||||||||||||||||||||||||||
2007 | 16.67 | 0.08 | 7.22 | 7.30 | (0.08 | ) | (2.40 | ) | (2.48 | ) | 21.49 | 48.27 | 1,777,229 | 1.97 | (4) | 1.97 | (4) | 2.05 | 0.44 | 79 | ||||||||||||||||||||||||||||||||||||||||
International Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012* | $ | 10.44 | $ | 0.09 | $ | 0.21 | $ | 0.30 | $ | (0.27 | ) | $ | — | $ | (0.27 | ) | $ | 10.47 | 3.00 | % | $ | 484,982 | 1.02 | %(5) | 1.02 | %(5) | 1.21 | % | 1.78 | % | 48 | % | ||||||||||||||||||||||||||||
2011 | 10.92 | 0.25 | (0.22 | ) | 0.03 | (0.51 | )(9) | — | (0.51 | ) | 10.44 | 0.41 | 488,929 | 1.02 | (5) | 1.02 | (5) | 1.21 | 2.40 | 119 | ||||||||||||||||||||||||||||||||||||||||
2010 | 10.21 | 0.24 | 0.57 | 0.81 | (0.10 | )(8) | — | (0.10 | ) | 10.92 | 7.97 | 505,081 | 1.07 | (7) | 1.07 | (7) | 1.21 | 2.33 | 135 | |||||||||||||||||||||||||||||||||||||||||
2009 | 10.46 | 0.28 | 0.53 | 0.81 | (1.06 | ) | — | (1.06 | ) | 10.21 | 8.85 | 538,159 | 1.02 | (5) | 1.02 | (5) | 1.06 | 2.86 | 170 | |||||||||||||||||||||||||||||||||||||||||
2008 | 10.91 | 0.37 | (0.68 | ) | (0.31 | ) | (0.14 | ) | — | (0.14 | ) | 10.46 | (2.89 | ) | 703,324 | 1.02 | (5) | 1.02 | (5) | 1.04 | 3.45 | 147 | ||||||||||||||||||||||||||||||||||||||
2007 | 10.86 | 0.36 | (0.11 | ) | 0.25 | (0.20 | ) | — | (0.20 | ) | 10.91 | 2.34 | 808,742 | 1.02 | (5) | 1.02 | (5) | 1.04 | 3.29 | 215 | ||||||||||||||||||||||||||||||||||||||||
Emerging Markets Debt Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012* | $ | 10.81 | $ | 0.31 | $ | 0.80 | $ | 1.11 | $ | (0.51 | ) | $ | (0.02 | ) | $ | (0.53 | ) | $ | 11.39 | 10.52 | % | $ | 1,000,378 | 1.37 | %(6) | 1.37 | %(6) | 1.80 | % | 5.60 | % | 27 | % | |||||||||||||||||||||||||||
2011 | 11.19 | 0.63 | (0.70 | ) | (0.07 | ) | (0.31 | ) | — | (0.31 | ) | 10.81 | (0.71 | ) | 876,396 | 1.36 | (6) | 1.36 | (6) | 1.80 | 5.58 | 59 | ||||||||||||||||||||||||||||||||||||||
2010 | 10.24 | 0.67 | 1.14 | 1.81 | (0.86 | ) | — | (0.86 | ) | 11.19 | 18.78 | 931,865 | 1.36 | (6) | 1.36 | (6) | 1.79 | 6.41 | 70 | |||||||||||||||||||||||||||||||||||||||||
2009 | 9.43 | 0.71 | 0.85 | 1.56 | (0.75 | ) | — | (0.75 | ) | 10.24 | 18.62 | 790,597 | 1.37 | (6) | 1.37 | (6) | 1.81 | 8.47 | 73 | |||||||||||||||||||||||||||||||||||||||||
2008 | 11.04 | 0.62 | (1.18 | ) | (0.56 | ) | (0.74 | ) | (0.31 | ) | (1.05 | ) | 9.43 | (5.71 | ) | 877,354 | 1.37 | (6) | 1.37 | (6) | 1.79 | 5.94 | 83 | |||||||||||||||||||||||||||||||||||||
2007 | 11.28 | 0.60 | 0.47 | 1.07 | (0.65 | ) | (0.66 | ) | (1.31 | ) | 11.04 | 10.03 | 1,002,602 | 1.37 | (6) | 1.37 | (6) | 1.79 | 5.47 | 81 |
* | For the six months ended March 31, 2011. All ratios have been annualized. Total Return and Portfolio Turnover have not been annualized. |
** | Includes Fees Paid Indirectly, if applicable. See Note 4 in Notes to Financial Statements. |
*** | See Note 4 in Notes to Financial Statements. |
† | Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
(1) | Per share net investment income/(loss) and net realized and unrealized gains/(losses) calculated using average shares. |
(2) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios for Class A and I shares would have been 1.28% and 1.53%, respectively, for 2009 and 2008, and 1.24% and 1.49%, respectively, for 2007 and 2006. |
(3) | The expense ratio includes overdraft fees. Had this expense been excluded, the ratios for Class A and I shares would have been 1.27% and 1.52%, respectively for the six months ended March 31, 2012, and the years ended September 30, 2011 and 2010, 1.28% and 1.53%, respectively for 2009, 1.25% and 1.50%, respectively for 2008 and 1.32% and 1.57%, respectively for 2007. |
(4) | The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.96% for the six months ended March 31, 2012, and 1.96% for 2011, 2010, 2009, 2008 and 2007. |
(5) | The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.02%, 1.02%, 1.01%, 1.02% and 1.01%, for the six months ended March 31, 2012, 2011, 2009, 2008 and 2007, respectively. |
(6) | The expense ratio includes overdraft fees. Had this expense been excluded, the ratios would have been 1.36% for the six months ended March 31, 2012, and the years ended September 30, 2011, 2010, 2009, 2008 and 2007. |
(7) | The expense ratio includes proxy and overdraft fees. Had these expenses been excluded, the ratio would have been 1.01% for 2010. |
(8) | Includes return of capital of less than $0.01. |
(9) | Includes a return of capital of $0.01 per share. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 27 |
Table of Contents
March 31, 2012 (Unaudited)
1. ORGANIZATION
SEI Institutional International Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated June 30, 1988. The operations of the Trust commenced on December 20, 1989.
The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with four funds: International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Emerging Markets Debt Fund (together the “Funds”). The Trust’s prospectuses provide a description of each Fund’s investment objective, and strategies. The Trust is registered to offer Class A shares of each of the Funds, Class G shares of the International Equity, Emerging Markets Equity and Emerging Markets Debt Funds, and Class I shares of the International Equity Fund.
As of March 31, 2012, the Class G shares had not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”), requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees (the “Board”). The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Fund’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee Meeting should be called based on the information provided.
The International Equity Fund and Emerging Markets Equity Fund also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular
28 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the International Equity Fund and Emerging Markets Equity Fund will value the non-U.S. securities in their portfolios that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of the observable market data and minimize the use of unobservable inputs and to establish classification of the fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determing 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 Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be
Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities, loan participations and swaps where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the six months ended March 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six months ended March 31, 2012, there have been no significant changes to the inputs or the Trust’s fair valuation methodologies.
Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gain 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 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.
Expenses — Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust are prorated to the Funds on the basis of relative daily net assets.
Classes — Class-specific expenses are borne by that class. Income, non-class specific expenses, and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative daily net assets.
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.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 29 |
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Notes to Financial Statements (Continued)
March 31, 2012 (Unaudited)
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the year are recognized as ordinary income or loss for federal income tax purposes. The Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Refer to each Fund’s Summary Schedule of Investments for details regarding open forward foreign currency contracts as of March 31, 2012, if applicable.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, the Funds may purchase future contracts to gain exposure to market changes, which may be more efficient or cost effective than actually buying the securities. To the extent consistent with its Investment Objective and Strategies, a Fund may utilize futures contracts for tactical hedging purposes as well as to enhance the Funds’ returns. In addition, the International Fixed Income Fund and the Emerging Markets Debt Fund may utilize futures contracts to efficiently assist in managing the Funds’ duration and yield curve exposure. Upon entering into such a contract, a Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is held. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the 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, the futures contract involves 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 Statement of Assets and Liabilities. Refer to each Fund’s Summary Schedule of Investments for details regarding open futures contracts as of March 31, 2012, 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 take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. 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 (London Interbank Offered Rate) or some other form of index on the notional amount. 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 to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. 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. In connection with swap agreements, securities/cash may be set aside as collateral by the Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Summary Schedule of Investments or the Statement of Assets and
30 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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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.
Counterparty risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. Refer to each Fund’s Summary Schedule of Investments for details regarding open swap contracts as of March 31, 2012, if applicable.
Delayed Delivery Transactions — 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.
Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in U.S. dollar-denominated fixed- and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in a Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.
Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Dividends and Distributions to Shareholders — The International Equity, Emerging Markets Equity and International Fixed Income Funds will distribute substantially all of their net investment income and all net realized capital gains, if any, at least annually. The Emerging Markets Debt Fund will distribute substantially all of its net investment income, if any, at least quarterly and all net realized gains, if any, at least annually. All dividends and distributions are recorded on ex-dividend date.
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 some 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.
Redemption Fees — The Funds retain a redemption fee based on a dollar threshold for redemptions, or a series of redemptions from a single identifiable source that in the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:
Dollar Threshold ($ Thousands) | Redemption Fee | |||||||
International Equity Fund | $ | 50,000 | 0.75 | % | ||||
Emerging Markets Equity Fund | 25,000 | 1.25 | ||||||
International Fixed Income Fund | 25,000 | 1.00 | ||||||
Emerging Markets Debt Fund | 25,000 | 1.00 |
For the six months ended March 31, 2012, the Funds did not retain any redemption fees. Such fees, if any, are retained by the Funds for the benefit of the remaining shareholders.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 31 |
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Notes to Financial Statements (Continued)
March 31, 2012 (Unaudited)
3. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the year with only one type of risk exposure, additional information can be found on the Summary Schedules of Investments and the Statement of Operations. The fair value of derivative instruments as of March 31, 2012 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Period ended March 31, 2012 ($ Thousands) | Period ended March 31, 2012 ($ Thousands) | |||||||||||
Contract Type | Statements of Assets & Liabilities Location | Fair Value | Statements of Assets & Liabilities Location | Fair Value | ||||||||
International Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 389 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 55 | * | ||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | 1,611 | † | Net Assets — Unrealized depreciation on swap contracts | 580 | † | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,052 | Unrealized loss on forward foreign currency contracts | 214 | ||||||||
|
|
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,052 | $ | 849 | ||||||||
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| |||||||||
Emerging Markets Debt Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | * | Net Assets — Unrealized depreciation on futures contracts | $ | 289 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 548 | Unrealized loss on forward foreign currency contracts | 2,649 | ||||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | 892 | † | Net Assets — Unrealized depreciation of swap contracts | — | † | ||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,440 | $ | 2,938 | ||||||||
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|
* | Includes cumulative appreciation/(depreciation) on futures contracts as reported in the Summary Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/(depreciation) on swap contracts as reported in the Summary 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 six months ended March 31, 2012 is as follows:
Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||
International Fixed Income Fund | ||||||||||||||||
Interest rate contracts | $ | (134 | ) | $ | — | $ | (654 | ) | $ | (282 | ) | |||||
Foreign exchange contracts | — | 18,009 | — | 18,009 | ||||||||||||
Total | $ | (134 | ) | $ | 18,009 | $ | (654 | ) | $ | 17,727 | ||||||
Emerging Markets Debt Fund | ||||||||||||||||
Interest rate contracts | $ | 75 | $ | — | $ | — | $ | 75 | ||||||||
Equity contracts | — | — | (580 | ) | (580 | ) | ||||||||||
Foreign exchange contracts | — | 1,839 | — | 1,839 | ||||||||||||
Total | $ | 75 | $ | 1,839 | $ | (580 | ) | $ | 1,334 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||
International Fixed Income Fund | ||||||||||||||||
Interest rate contracts | $ | 704 | $ | — | $ | (159 | ) | $ | 585 | |||||||
Foreign exchange contracts | — | (13,136 | ) | — | (13,136 | ) | ||||||||||
Total | $ | 704 | $ | (13,136 | ) | $ | (159 | ) | $ | (12,551 | ) | |||||
Emerging Markets Debt Fund | ||||||||||||||||
Interest rate contracts | $ | (431 | ) | $ | — | $ | — | $ | (431 | ) | ||||||
Foreign exchange contracts | — | (3,242 | ) | — | | (3,242 | ) | |||||||||
Equity contracts | — | — | 815 | 815 | ||||||||||||
Total | $ | (431 | ) | $ | (3,242 | ) | $ | 815 | $ | (2,858 | ) |
32 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Trust on behalf of a Fund and the counterparty.
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
4. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS, AND OTHER TRANSACTIONS WITH AFFILIATES
Administration & Transfer Agency Agreement — The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below:
International Equity Fund | 0.45 | % | ||
Emerging Markets Equity Fund | 0.65 | % | ||
International Fixed Income Fund | 0.60 | % | ||
Emerging Markets Debt Fund | 0.65 | % |
However, the Administrator has voluntarily agreed to waive its fee so that the total annual expenses, (exclusive of acquired fund fees and expenses, interest from borrowings, brokerage commissions, taxes, Trustees Fees and extraordinary expenses not incurred in the ordinary course of a fund’s business), of each Fund will not exceed certain expense limitations adopted by the Administrator as presented below. In the event that the total annual expenses of a Fund, after reflecting a waiver of all fees by the Administrator, exceed the specific limitation, the Administrator has agreed to bear such excess. Any such waiver is voluntary and may be terminated at any time at the Administrator’s sole discretion. At March 31, 2012, there were no such waivers in each Fund.
International Fund | Emerging Markets Equity Fund | International Fixed Income Fund | Emerging Markets Debt Fund | |||||||||||||
Class A | 1.27 | %*† | 1.96 | %† | 1.02 | %† | 1.36 | %† | ||||||||
Class I | 1.52 | %*† | — | — | — |
* The expense cap excludes interest expense on reverse repurchase agreements.
† The expense cap excludes proxy and overdraft fees.
Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to
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. SIMC has voluntarily agreed to waive a portion of its fee for the International Equity, Emerging Markets Equity and Emerging Markets Debt Funds so that the total annual expenses of each Fund, (exclusive of acquired fund fees and expenses, interest from borrowings, brokerage commissions, taxes, Trustees Fees and extraordinary expenses not incurred in the ordinary course of a fund’s business), will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. For the International Fixed Income Fund, SIMC had contractually agreed to waive fees or reimburse expenses until the later of (i) two years after the effective date of the Expense Limitation Agreement, or (ii) January 31, 2012 in order to keep total annual fund operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes and extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 1.02%.
Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:
Advisory Fees | Voluntary Expense Limitations | |||||||
International Equity Fund, Class A | 0.505 | % | 1.270 | % | ||||
International Equity Fund, Class I | 0.505 | % | 1.520 | % | ||||
Emerging Markets Equity Fund | 1.050 | % | 1.960 | % | ||||
International Fixed Income Fund | 0.300 | % | 1.020 | %* | ||||
Emerging Markets Debt Fund | 0.850 | % | 1.360 | % |
* Prior to February 1, 2012 the expense limitation was contractual.
During the six months ended March 31, 2012, the Adviser waived a portion of its fees for the Emerging Markets Equity Fund and Emerging Markets Debt Fund.
As of March 31, 2012, SIMC has entered into Investment Sub-Advisory Agreements with the following parties:
Investment Sub-Adviser |
International Equity Fund |
Acadian Asset Management LLC |
Causeway Capital Management LLC |
del Rey Global Investors LLC |
INTECH Investment Management LLC |
Neuberger Berman Management LLC |
Schroder Investment Management North America, Inc. |
Tradewinds Global Investors LLC |
Emerging Markets Equity Fund |
Delaware Management Company |
JO Hambro Capital Management Limited |
Lazard Asset Management LLC |
Neuberger Berman Management LLC |
PanAgora Asset Management, Inc. |
The Boston Company Asset Management LLC |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 33 |
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Notes to Financial Statements (Continued)
March 31, 2012 (Unaudited)
Investment Sub-Adviser |
International Fixed Income Fund |
AllianceBernstein L.P. |
Fidelity International Investment Advisors (UK) Limited (delegates to Fidelity International Investment Advisors) |
Wellington Management Company, LLP |
Emerging Markets Debt Fund |
Ashmore Investment Management Limited |
ING Investment Management Advisors, B.V. |
Stone Harbor Investment Partners LP |
Under the investment sub-advisory agreements, each party receives an annual fee, paid by SIMC.
Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”) and a registered broker-dealer, acts as the Distributor of the shares of the Trust under an amended and restated Distribution Agreement dated September 16, 2002. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor equal to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.
Shareholder Servicing Fees | Administrative Servicing Fees | |||||||
International Equity Fund | ||||||||
Class A | 0.25 | % | — | |||||
Class I | 0.25 | % | 0.25 | % | ||||
Emerging Markets Equity Fund | ||||||||
Class A | 0.25 | % | — | |||||
International Fixed Income Fund | ||||||||
Class A | 0.25 | % | — | |||||
Emerging Markets Debt Fund | ||||||||
Class A | 0.25 | % | — |
The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. For the six months ended March 31, 2012, the Distributor received no brokerage commissions.
Under both the Shareholder Servicing Plan and Administrative Service Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties.
During the six months ended March 31, 2012, the Distributor voluntarily waived a portion of its fees for the International Fixed Income Fund.
For the six months ended March 31, 2012, the Distributor retained 100% of both shareholder servicing fees, less the waiver, and administration servicing fees.
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund’s expense ratio, as a percentage of the Fund’s average daily net assets for the six months ended March 31, 2012, can be found on the Statement of Operations and Financial Highlights, respectively. During the six months ended March 31, 2012, the Funds did not report any such fees.
Investment in Affiliated Securities — The Funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest cash collateral from the securities lending program in the SEI Liquidity Fund L.P., also an affiliated fund.
Payment to Affiliates — Certain Officers and Trustees of the Trust are also Officers and/or Trustees of the Administrator, Adviser and/or the Distributor.
The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings.
The Administrator or the Distributor pays compensation of Officers and affiliated Trustees.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ board of trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. For the six months ended March 31, 2012, the Trust had not participated in the Program.
Other — A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
During the six months ended March 31, 2012, The International Equity Fund received reimbursements to Class A of $3,740 ($ Thousands) and to Class I of $12 ($ Thousands). These amounts received by the International Equity Fund were related to the Bank of America Fair Value Market Timing Litigation.
34 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities, other than temporary cash investments and futures, during the six months ended March 31, 2012, were as follows:
Purchases ($ Thousands) | Sales and Maturities ($ Thousands) | |||||||
International Equity Fund | ||||||||
US Government | $ | — | $ | — | ||||
Other | 530,945 | 513,909 | ||||||
Emerging Markets Equity Fund | ||||||||
US Government | — | — | ||||||
Other | 488,771 | 445,245 | ||||||
International Fixed Income Fund | ||||||||
US Government | 927 | 161 | ||||||
Other | 230,529 | 210,257 | ||||||
Emerging Markets Debt Fund | ||||||||
US Government | — | — | ||||||
Other | 281,389 | 227,483 |
Included in the realized gain on investments for the International Equity and Emerging Markets Equity funds was $786 and $1,319 ($ Thousands), respectively, received from AXA Rosenberg Investment Management, a former investment sub-adviser to the funds, as a result of a settlement with the Securities and Exchange Commission related to a coding error in its quantitative investment process. The settlement proceeds represented 0.05% and 0.19% of the funds’ average net assets, respectively, for the year ended September 30, 2011.
6. FEDERAL TAX INFORMATION:
It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under GAAP. These differences, which may result in distribution reclassifications, are primarily due to paydown reclassifications, foreign currency transactions, net investment losses, investment in partnerships, swaps and passive foreign investment companies. 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 declared during the last two years were as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Totals ($ Thousands) | |||||||||||||||||
International Equity Fund | 2011 | $ | 27,465 | $ | — | $ | — | $ | 27,465 | |||||||||||
2010 | — | — | — | — | ||||||||||||||||
Emerging Markets Equity Fund | 2011 | 8,167 | — | — | 8,167 | |||||||||||||||
2010 | 5,546 | — | — | 5,546 | ||||||||||||||||
International Fixed Income Fund | 2011 | 22,700 | — | 490 | 23,190 | |||||||||||||||
2010 | 5,034 | — | 7 | 5,041 | ||||||||||||||||
Emerging Markets Debt Fund | 2011 | 25,140 | — | — | 25,140 | |||||||||||||||
2010 | 67,778 | — | — | 67,778 |
As of September 30, 2011, the components of Distributable Earnings (Accumulated Losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Gains (Losses) ($ Thousands) | |||||||||||||
International Equity Fund | $ | 34,760 | $ | — | $ | (996,607 | ) | $ | — | |||||||
Emerging Markets Equity Fund | 2,180 | — | (19,246 | ) | — | |||||||||||
International Fixed Income Fund | — | — | (20,627 | ) | — | |||||||||||
Emerging Markets Debt Fund | 19,073 | — | (749 | ) | — |
Post October Currency Losses ($ Thousands) | Unrealized Appreciation ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Accumulated Gains (Losses) ($ Thousands) | |||||||||||||
International Equity Fund | $ | (2,060 | ) | $ | (245,286 | ) | $ | 13 | $ | (1,209,180 | ) | |||||
Emerging Markets Equity Fund | (88 | ) | (157,159 | ) | — | (174,313 | ) | |||||||||
International Fixed Income Fund | — | 8,438 | (13,946 | ) | (26,135 | ) | ||||||||||
Emerging Markets Debt Fund | — | 1,839 | (2,139 | ) | 18,024 |
Post-October losses represent losses realized on investment transactions from November 1, 2010 through September 30, 2011, that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital carryforwards may be carried forward and applied against future capital gains as follows:
Expires 2015 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2018 ($ Thousands) | Total Capital Loss Carryforward 09/30/11 ($ Thousands) | |||||||||||||
International Equity Fund | $ | — | $ | 306,250 | $ | 690,357 | $ | 996,607 | ||||||||
Emerging Markets Equity Fund | — | — | 19,246 | 19,246 | ||||||||||||
International Fixed Income Fund | 274 | 1,563 | 18,790 | 20,627 | ||||||||||||
Emerging Markets Debt Fund | — | — | 749 | 749 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 35 |
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Notes to Financial Statements (Concluded)
March 31, 2012 (Unaudited)
During the year ended September 30, 2011, the following Funds utilized capital loss carryforwards to offset capital gains:
Amount utilized ($ Thousands) | ||||
International Equity Fund | $ | 126,402 | ||
Emerging Markets Equity Fund | 113,491 | |||
International Fixed Income Fund | 3,523 | |||
Emerging Markets Debt Fund | 31,182 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to 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.
For Federal income tax purposes, the cost of securities owned at March 31, 2012, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in partnerships, passive foreign investment companies, defaulted bonds, straddles and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at March 31, 2012, was as follows:
Federal Tax Cost ($ Thousands) | Aggregate Gross Unrealized Appreciation ($ Thousands) | Aggregate Gross Unrealized Depreciation ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||||||
International Equity Fund | $ | 1,810,461 | $ | 154,615 | $ | (117,258 | ) | $ | 37,357 | |||||||
Emerging Markets Equity Fund | 842,219 | 103,497 | (57,881 | ) | 45,616 | |||||||||||
International Fixed Income Fund | 469,688 | 21,292 | (6,931 | ) | 14,361 | |||||||||||
Emerging Markets Debt Fund | 929,105 | 82,362 | (23,241 | ) | 59,121 |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2011, 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.
7. CONCENTRATION/RISKS
Each Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of securities markets in the respective countries. The market values of the International Fixed Income and Emerging Markets Debt Funds’ 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. Also, the ability of the issuers of debt securities held by the International Fixed Income Fund and Emerging Markets Debt Fund to meet their obligations may be affected by economic and political developments in a specific country, industry or region.
Certain securities held by the Funds are valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers are estimates that may differ from the value that would be realized if the securities were sold. At March 31, 2012, the total value of these securities represented approximately 2% of the net assets of the Emerging Markets Debt Fund.
In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, Management believes that based on experience, the risk of loss from such claims is considered remote.
8. SECURITIES LENDING
A Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of a Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that a Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.
36 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.
9. NEW ACCOUNTING PRONOUNCEMENTS
In April 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
10. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no disclosures and/or adjustments were required to the Financial Statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 37 |
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Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table on this page illustrates your fund’s costs in two ways:
Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
Beginning 10/1/11 | Ending Account Value 3/31/12 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
International Equity Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,154.60 | 1.27 | % | $ | 6.84 | ||||||||
Class I | 1,000.00 | 1,152.10 | 1.52 | 8.18 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.65 | 1.27 | % | $ | 6.41 | ||||||||
Class I | 1,000.00 | 1,017.40 | 1.52 | 7.67 | ||||||||||||
Emerging Markets Equity Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,183.40 | 1.96 | % | $ | 10.70 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,015.20 | 1.96 | % | $ | 9.87 |
Beginning Account Value 10/1/11 | Ending Account Value 3/31/12 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
International Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,030.00 | 1.02 | % | $ | 5.18 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.90 | 1.02 | % | $ | 5.15 | ||||||||
Emerging Markets Debt Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,105.20 | 1.36 | % | $ | 7.16 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.20 | 1.36 | % | $ | 6.86 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). |
38 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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Board of Trustees Considerations in Approving the Funds’ Investment Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional International Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board 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 Trust’s Board calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data 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 Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive 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 course 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 and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 39 |
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Board of Trustees Considerations in Approving the Funds’ Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
At the December 6-7, 2011 and March 27-28, 2012 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:
• | the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
• | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board 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. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and, where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.
40 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
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Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 41 |
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SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 2011
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Officers
Robert A. Nesher
President and Chief Executive Officer
Peter A. Rodriguez
Controller and Chief Financial Officer
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
John J. McCue
Vice President
Keri E. Rohn
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
KMPG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-031 (3/12)
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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. Schedule of Investments.
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 listed below.
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SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.0% |
| |||||||
Australia — 3.4% |
| |||||||
AGL Energy | 18,736 | $ | 286 | |||||
Alumina | 1,238,790 | 1,585 | ||||||
Amcor | 85,237 | 657 | ||||||
AMP | 10,636 | 48 | ||||||
APA Group | 24,223 | 128 | ||||||
Asciano Group | 9,681 | 49 | ||||||
Atlas Iron | 2,053,634 | 6,127 | ||||||
Australia & New Zealand Banking Group | 398,147 | 9,594 | ||||||
Beach Energy | 520,405 | 792 | ||||||
Bendigo and Adelaide Bank | 24,754 | 199 | ||||||
BHP Billiton | 137,689 | 4,937 | ||||||
Brambles | 77,972 | 573 | ||||||
Caltex Australia | 145,430 | 2,093 | ||||||
Campbell Brothers | 3,369 | 235 | ||||||
CFS Retail Property Trust(B) | 92,604 | 172 | ||||||
Coca-Cola Amatil | 7,658 | 99 | ||||||
Cochlear | 1,050 | 67 | ||||||
Commonwealth Bank of Australia | 21,758 | 1,129 | ||||||
Credit Group | 14,661 | 89 | ||||||
Crown(C) | 46,053 | 415 | ||||||
CSL | 145,296 | 5,402 | ||||||
Dexus Property Group(B) | 572,299 | 516 | ||||||
Echo Entertainment Group | 10,347 | 47 | ||||||
Goodman Group(B) | 91,190 | 65 | ||||||
GPT Group(B) | 97,348 | 315 | ||||||
Iluka Resources | 131,329 | 2,420 | ||||||
Incitec Pivot | 42,912 | 140 | ||||||
Leighton Holdings | 9,264 | 205 | ||||||
Lend Lease | 87,698 | 679 | ||||||
Lynas* | 8,519 | 10 | ||||||
Metcash | 127,453 | 568 | ||||||
National Australia Bank | 12,044 | 307 | ||||||
Newcrest Mining | 294,124 | 9,043 | ||||||
Northern Star Resources* | 84,061 | 75 | ||||||
Orica | 12,498 | 362 | ||||||
OZ Minerals | 3,889 | 39 | ||||||
Ramsay Health Care | 26,734 | 541 | ||||||
Rio Tinto | 40,885 | 2,770 | ||||||
Santos | 202,418 | 2,986 | ||||||
Sims Metal Management | 7,649 | 116 | ||||||
Sonic Healthcare | 50,689 | 657 | ||||||
Stockland(B) | 17,590 | 54 | ||||||
Suncorp Group | 36,135 | 314 | ||||||
TABCORP Holdings | 45,784 | 129 | ||||||
Tatts Group | 80,355 | 206 | ||||||
Telstra | 455,615 | 1,553 | ||||||
Toll Holdings | 8,541 | 52 | ||||||
Transurban Group | 155,478 | 902 | ||||||
Wesfarmers | 22,456 | 698 | ||||||
Westfield Retail Trust(B) | 109,617 | 293 | ||||||
Westpac Banking | 22,073 | 501 | ||||||
Woolworths | 23,933 | 644 | ||||||
WorleyParsons | 9,429 | 280 | ||||||
|
| |||||||
62,163 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
Oesterreichische Post | 4,748 | 165 | ||||||
OMV | 929 | 33 |
Description | Shares | Market Value ($ Thousands) | ||||||
Verbund, Cl A | 2,198 | $ | 67 | |||||
Voestalpine | 1,745 | 58 | ||||||
|
| |||||||
323 | ||||||||
|
| |||||||
Belgium — 1.6% |
| |||||||
Ageas | 20,466 | 45 | ||||||
Anheuser-Busch InBev | 193,299 | 14,101 | ||||||
Belgacom | 240,714 | 7,727 | ||||||
Colruyt | 105,151 | 4,220 | ||||||
Delhaize Group | 7,491 | 394 | ||||||
Groupe Bruxelles Lambert | 4,562 | 353 | ||||||
KBC Groep | 7,373 | 185 | ||||||
Mobistar | 1,528 | 76 | ||||||
Solvay | 6,979 | 825 | ||||||
UCB | 20,519 | 884 | ||||||
|
| |||||||
28,810 | ||||||||
|
| |||||||
Bosnia and Herzegovina — 0.1% |
| |||||||
Axis Capital Holdings | 65,521 | 2,173 | ||||||
|
| |||||||
Brazil — 0.8% | ||||||||
BRF - Brasil Foods | 268,237 | 5,301 | ||||||
Centrais Eletricas Brasileiras | 79,100 | 735 | ||||||
Centrais Eletricas Brasileiras ADR | 148,390 | 1,389 | ||||||
Oi ADR | 86,305 | 1,372 | ||||||
Petroleo Brasileiro ADR | 182,027 | 4,835 | ||||||
|
| |||||||
13,632 | ||||||||
|
| |||||||
Canada — 4.3% |
| |||||||
Barrick Gold | 223,927 | 9,736 | ||||||
Brookfield Asset Management, | 23,181 | 732 | ||||||
Cameco | 155,934 | 3,351 | ||||||
Cenovus Energy | 77,534 | 2,785 | ||||||
Cott* | 7,100 | 47 | ||||||
Domtar | 26,067 | 2,486 | ||||||
Goldcorp | 101,600 | 4,570 | ||||||
Horizon North Logistics | 23,300 | 146 | ||||||
Kinross Gold | 593,352 | 5,809 | ||||||
Magna International, Cl A | 79,900 | 3,808 | ||||||
Maple Leaf Foods | 10,300 | 123 | ||||||
MI Developments | 4,900 | 170 | ||||||
New Gold* | 381,200 | 3,757 | ||||||
Nexen | 227,478 | 4,174 | ||||||
Niko Resources | 45,850 | 1,610 | ||||||
Onex | 30,300 | 1,113 | ||||||
Peyto Exploration & Development | 133,100 | 2,181 | ||||||
Potash Saskatchewan | 131,024 | 5,970 | ||||||
Precision Drilling* | 152,400 | 1,528 | ||||||
Rogers Communications, Cl B | 29,200 | 1,157 | ||||||
Royal Bank of Canada | 2,600 | 150 | ||||||
Saputo | 4,500 | 195 | ||||||
Silver Wheaton | 117,700 | 3,896 | ||||||
Sino-Forest, Cl A*(D) | 76,000 | 8 | ||||||
Suncor Energy | 281,147 | 9,176 | ||||||
Talisman Energy | 137,353 | 1,731 | ||||||
TELUS, Cl A | 6,401 | 363 | ||||||
Toronto-Dominion Bank | 44,636 | 3,781 | ||||||
Transcontinental, Cl A | 10,800 | 135 | ||||||
Vermilion Energy(C) | 81,100 | 3,733 | ||||||
|
| |||||||
78,421 | ||||||||
|
|
1 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Chile — 0.2% | ||||||||
Sociedad Quimica y Minera de Chile ADR | 71,500 | $ | 4,195 | |||||
|
| |||||||
China — 1.0% | ||||||||
China Petroleum & Chemical | 1,886,000 | 2,055 | ||||||
China Shenhua Energy | 1,104,500 | 4,659 | ||||||
Dongfeng Motor Group | 1,857,700 | 3,355 | ||||||
Huaneng Power International | 6,380,000 | 3,468 | ||||||
Industrial & Commercial Bank of China | 7,245,000 | 4,675 | ||||||
PetroChina | 116,000 | 164 | ||||||
|
| |||||||
18,376 | ||||||||
|
| |||||||
Denmark — 1.2% | ||||||||
AP Moeller - Maersk, Cl B | 347 | 2,676 | ||||||
Coloplast, Cl B | 1,675 | 290 | ||||||
Jyske Bank* | 112,431 | 3,552 | ||||||
Novo Nordisk, Cl B | 73,558 | 10,171 | ||||||
Novozymes, Cl B | 7,344 | 214 | ||||||
Tryg | 91,067 | 5,128 | ||||||
William Demant Holding* | 1,211 | 113 | ||||||
|
| |||||||
22,144 | ||||||||
|
| |||||||
Finland — 0.7% | ||||||||
Fortum | 10,638 | 258 | ||||||
Kone, Cl B | 2,908 | 162 | ||||||
Metso | 1,200 | 51 | ||||||
Nokia ADR(C) | 537,482 | 2,951 | ||||||
Nokia | 622,585 | 3,384 | ||||||
Nokian Renkaat | 8,779 | 427 | ||||||
Orion, Cl B | 3,886 | 77 | ||||||
Pohjola Bank, Cl A | 19,480 | 216 | ||||||
Sampo, Cl A | 15,323 | 442 | ||||||
Stora Enso, Cl R | 601,458 | 4,461 | ||||||
UPM-Kymmene | 289 | 4 | ||||||
|
| |||||||
12,433 | ||||||||
|
| |||||||
France — 8.8% | ||||||||
Accor | 1,008 | 36 | ||||||
Aeroports de Paris | 4,185 | 343 | ||||||
Air Liquide | 35,247 | 4,692 | ||||||
Alcatel-Lucent* | 3,489,354 | 7,923 | ||||||
Alstom | 35,938 | 1,400 | ||||||
Areva | 55,105 | 1,214 | ||||||
Arkema | 63,814 | 5,938 | ||||||
AtoS | 1,557 | 90 | ||||||
AXA | 391,041 | 6,473 | ||||||
BNP Paribas | 199,022 | 9,429 | ||||||
Bureau Veritas | 3,583 | 315 | ||||||
Carrefour | 136,549 | 3,269 | ||||||
Christian Dior | 2,211 | 339 | ||||||
Cie de St.-Gobain | 10,182 | 454 | ||||||
Cie Generale des Etablissements- Michelin, Cl B | 77,710 | 5,778 | ||||||
Cie Generale d’Optique Essilor International | 101,563 | 9,039 | ||||||
CNP Assurances | 6,018 | 94 |
Description | Shares | Market Value ($ Thousands) | ||||||
Compagnie Generale de Geophysique-Veritas* | 2,189 | $ | 65 | |||||
Danone | 11,482 | 800 | ||||||
Dassault Systemes | 3,489 | 320 | ||||||
Edenred | 21,573 | 648 | ||||||
Electricite de France | 89,106 | 2,030 | ||||||
Eutelsat Communications | 101,014 | 3,729 | ||||||
France Telecom | 3,520 | 52 | ||||||
Gecina(B) | 1,412 | 147 | ||||||
ICADE(B) | 1,384 | 123 | ||||||
Iliad | 2,753 | 379 | ||||||
Legrand | 182,420 | 6,702 | ||||||
L’Oreal | 768 | 94 | ||||||
LVMH Moet Hennessy Louis Vuitton | 61,927 | 10,626 | ||||||
Neopost | 136 | 9 | ||||||
Nexity | 5,300 | 167 | ||||||
Peugeot | 54,566 | 877 | ||||||
PPR | 2,393 | 411 | ||||||
Publicis Groupe | 796 | 44 | ||||||
Renault | 2,890 | 152 | ||||||
Rexel* | 179,040 | 3,940 | ||||||
Safran | 215,556 | 7,910 | ||||||
Sanofi | 262,773 | 20,377 | ||||||
Schneider Electric | 213,067 | 13,900 | ||||||
SCOR | 12,445 | 336 | ||||||
SES | 20,698 | 513 | ||||||
Societe BIC | 442 | 44 | ||||||
Sodexo | 101,640 | 8,332 | ||||||
Technip | 55,515 | 6,530 | ||||||
Thales | 59,279 | 2,215 | ||||||
Total | 141,341 | 7,198 | ||||||
Unibail-Rodamco(B) | 2,243 | 448 | ||||||
Vinci | 9,909 | 516 | ||||||
Vivendi | 154,695 | 2,835 | ||||||
Wendel | 652 | 55 | ||||||
|
| |||||||
159,350 | ||||||||
|
| |||||||
Germany — 7.5% | ||||||||
Adidas | 5,068 | 395 | ||||||
Allianz | 17,552 | 2,091 | ||||||
BASF | 20,884 | 1,824 | ||||||
Bayer | 109,397 | 7,683 | ||||||
Bayerische Motoren Werke | 21,776 | 1,955 | ||||||
Beiersdorf | 2,366 | 154 | ||||||
Brenntag | 52,435 | 6,412 | ||||||
Daimler(C) | 97,340 | 5,861 | ||||||
Deutsche Bank | 30,973 | 1,539 | ||||||
Deutsche Boerse | 105,394 | 7,085 | ||||||
Deutsche Lufthansa | 118,404 | 1,655 | ||||||
Deutsche Post | 360,564 | 6,931 | ||||||
Deutsche Telekom | 346,520 | 4,166 | ||||||
E.ON | 3,128 | 75 | ||||||
Fraport Frankfurt Airport Services Worldwide | 2,229 | 139 | ||||||
Fresenius | 7,238 | 741 | ||||||
Fresenius Medical Care | 109,469 | 7,747 | ||||||
GEA Group | 192,048 | 6,614 | ||||||
Hannover Rueckversicherung | 2,334 | 139 | ||||||
Henkel | 817 | 51 | ||||||
Infineon Technologies | 194,842 | 1,989 | ||||||
Kabel Deutschland Holding* | 110,006 | 6,784 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 2 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Linde | 92,326 | $ | 16,543 | |||||
MAN | 1,210 | 161 | ||||||
Merck | 12,511 | 1,383 | ||||||
Muenchener Rueckversicherungs | 50,664 | 7,627 | ||||||
SAP ADR(C) | 69,900 | 4,880 | ||||||
SAP | 153,213 | 10,683 | ||||||
Siemens | 166,946 | 16,805 | ||||||
Suedzucker | 37,650 | 1,197 | ||||||
Symrise | 166,749 | 4,819 | ||||||
ThyssenKrupp | 5,927 | 147 | ||||||
United Internet | 11,744 | 221 | ||||||
Volkswagen | 2,339 | 377 | ||||||
|
| |||||||
136,873 | ||||||||
|
| |||||||
Greece — 0.1% | ||||||||
OPAP | 218,897 | 2,119 | ||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Resolution | 221,258 | 924 | ||||||
|
| |||||||
Hong Kong — 2.8% | ||||||||
AIA Group | 1,427,600 | 5,231 | ||||||
ASM Pacific Technology | 3,800 | 55 | ||||||
Chaoda Modern | 2,440,000 | 346 | ||||||
Cheung Kong Infrastructure Holdings | 73,700 | 449 | ||||||
China Mobile | 934,500 | 10,285 | ||||||
China Mobile ADR | 85,100 | 4,687 | ||||||
CLP Holdings | 394,400 | 3,403 | ||||||
First Pacific | 1,054,700 | 1,170 | ||||||
Galaxy Entertainment Group* | 168,000 | 464 | ||||||
Hang Lung Group | 12,000 | 78 | ||||||
Hang Seng Bank | 1,900 | 25 | ||||||
HKT Trust* | 1 | — | ||||||
Hong Kong & China Gas | 185,000 | 474 | ||||||
HongKong Electric Holdings | 121,000 | 888 | ||||||
Hongkong Land Holdings | 225,000 | 1,307 | ||||||
Hutchison Telecommunications Hong Kong Holdings | 802,000 | 340 | ||||||
Hutchison Whampoa | 238,500 | 2,384 | ||||||
Jardine Strategic Holdings | 220,535 | 6,729 | ||||||
Li & Fung | 72,000 | 165 | ||||||
New World Development | 221,000 | 266 | ||||||
RCG Holdings* | 25,059 | 3 | ||||||
SJM Holdings | 261,800 | 533 | ||||||
Sun Hung Kai Properties | 385,000 | 4,785 | ||||||
Yue Yuen Industrial Holdings | 1,714,000 | 6,016 | ||||||
|
| |||||||
50,083 | ||||||||
|
| |||||||
India — 0.2% | ||||||||
Idea Cellular* | 1,490,195 | 2,890 | ||||||
Tata Motors ADR(C) | 33,694 | 909 | ||||||
|
| |||||||
3,799 | ||||||||
|
| |||||||
Indonesia — 0.2% | ||||||||
Bank Mandiri | 2,291,200 | 1,717 | ||||||
Telekomunikasi Indonesia ADR | 47,505 | 1,442 | ||||||
|
| |||||||
3,159 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Ireland — 0.9% | ||||||||
CRH | 38,494 | $ | 784 | |||||
Elan* | 89,477 | 1,308 | ||||||
Experian | 452,611 | 7,047 | ||||||
James Hardie Industries | 46,151 | 367 | ||||||
Kerry Group, Cl A | 4,310 | 199 | ||||||
Ryanair Holdings ADR* | 132,700 | 4,815 | ||||||
Smurfit Kappa Group* | 261,595 | 2,386 | ||||||
|
| |||||||
16,906 | ||||||||
|
| |||||||
Israel — 0.4% | ||||||||
Check Point Software Technologies* | 103,810 | 6,627 | ||||||
NICE Systems* (A) | 1,729 | 68 | ||||||
|
| |||||||
6,695 | ||||||||
|
| |||||||
Italy — 1.1% | ||||||||
Enel | 794,491 | 2,869 | ||||||
ENI | 6,689 | 157 | ||||||
Exor | 12,687 | 320 | ||||||
Fiat | 63,566 | 373 | ||||||
Fiat Industrial | 13,031 | 139 | ||||||
Intesa Sanpaolo(C) | 798,551 | 1,429 | ||||||
Mediobanca | 2,186 | 13 | ||||||
Pirelli & C | 15,312 | 182 | ||||||
Saipem | 9,466 | 488 | ||||||
Snam Rete Gas | 891,516 | 4,281 | ||||||
Telecom Italia RNC | 8,967,271 | 8,801 | ||||||
Terna Rete Elettrica Nazionale | 56,442 | 227 | ||||||
UniCredit(C) | 35,887 | 179 | ||||||
|
| |||||||
19,458 | ||||||||
|
| |||||||
Japan — 17.1% | ||||||||
Aeon | 62,500 | 826 | ||||||
Aeon Credit Service | 4,700 | 74 | ||||||
Aeon Mall | 4,300 | 100 | ||||||
Air Water | 13,000 | 169 | ||||||
Aisin Seiki | 6,400 | 226 | ||||||
Ajinomoto | 9,700 | 122 | ||||||
Alfresa Holdings | 13,400 | 641 | ||||||
Alpen | 14,700 | 295 | ||||||
Arc Land Sakamoto | 12,800 | 243 | ||||||
Asahi Breweries | 5,300 | 118 | ||||||
Asahi Glass | 4,000 | 34 | ||||||
Asics | 9,500 | 108 | ||||||
ASKUL | 4,000 | 71 | ||||||
Astellas Pharma | 3,000 | 124 | ||||||
Autobacs Seven | 2,500 | 121 | ||||||
Belluna | 6,800 | 56 | ||||||
Best Bridal | 65 | 69 | ||||||
Bic Camera | 401 | 214 | ||||||
Bridgestone | 185,100 | 4,512 | ||||||
Brother Industries | 6,000 | 82 | ||||||
Calsonic Kansei | 199,000 | 1,221 | ||||||
Canon | 2,600 | 124 | ||||||
Central Glass | 31,000 | 137 | ||||||
Central Japan Railway | 347 | 2,876 | ||||||
Century Tokyo Leasing | 33,200 | 674 | ||||||
Chiba Bank | 34,000 | 218 | ||||||
Chiyoda | 25,000 | 319 | ||||||
Chuetsu Pulp & Paper | 18,000 | 40 |
3 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Chugoku Bank | 31,000 | $ | 422 | |||||
Citizen Holdings | 10,000 | 64 | ||||||
Coca-Cola West | 200,400 | 3,533 | ||||||
Cocokara fine | 2,200 | 70 | ||||||
Credit Saison | 11,500 | 234 | ||||||
Dai Nippon Printing | 885,100 | 9,099 | ||||||
Daicel | 199,000 | 1,289 | ||||||
Daido Steel | 31,000 | 216 | ||||||
Daihatsu Motor | 33,800 | 623 | ||||||
Dai-ichi Life Insurance | 76 | 106 | ||||||
Daiichi Sankyo | 74,200 | 1,360 | ||||||
Daikin Industries | 3,000 | 82 | ||||||
Daikyo | 175,000 | 476 | ||||||
Dainippon Sumitomo Pharma | 120,900 | 1,288 | ||||||
Daito Trust Construction | 38,800 | 3,503 | ||||||
Daiwa House Industry | 161,000 | 2,140 | ||||||
Dena | 7,300 | 203 | ||||||
Dentsu | 1,400 | 45 | ||||||
Doutor Nichires Holdings | 6,200 | 82 | ||||||
Dydo Drinco | 4,400 | 176 | ||||||
EDION(C) | 93,800 | 661 | ||||||
Eisai | 14,900 | 596 | ||||||
Faith | 378 | 46 | ||||||
Fanuc | 46,600 | 8,313 | ||||||
Fast Retailing | 300 | 69 | ||||||
Fuji Film Holdings | 312,600 | 7,373 | ||||||
Fuji Media Holdings | 102 | 176 | ||||||
Fuji Soft | 4,100 | 79 | ||||||
Fujishoji | 42 | 48 | ||||||
Fujitsu | 133,000 | 705 | ||||||
Fukuoka Financial Group | 54,000 | 241 | ||||||
Gree | 19,200 | 487 | ||||||
Gulliver International | 2,250 | 89 | ||||||
Gunma Bank | 8,000 | 43 | ||||||
Hachijuni Bank | 280,000 | 1,660 | ||||||
Hamamatsu Photonics | 8,800 | 334 | ||||||
Hino Motors | 363,000 | 2,638 | ||||||
Hiroshima Bank | 47,000 | 216 | ||||||
HIS | 12,100 | 371 | ||||||
Hitachi | 655,700 | 4,231 | ||||||
Hitachi Chemical | 3,500 | 63 | ||||||
Hitachi High-Technologies | 6,200 | 149 | ||||||
Hitachi Metals | 13,000 | 162 | ||||||
Hokuhoku Financial Group | 17,000 | 33 | ||||||
Honda Motor | 391,100 | 14,946 | ||||||
Hosiden | 8,600 | 63 | ||||||
Idemitsu Kosan | 2,500 | 251 | ||||||
IHI | 430,000 | 1,092 | ||||||
Iida Home Max | 30,600 | 262 | ||||||
Inaba Denki Sangyo | 1,400 | 42 | ||||||
Inpex | 170 | 1,155 | ||||||
Isetan Mitsukoshi Holdings | 16,200 | 191 | ||||||
IT Holdings | 56,400 | 663 | ||||||
Itochu | 10,900 | 120 | ||||||
Itochu Techno-Solutions | 6,000 | 270 | ||||||
Itochu-Shokuhin | 1,900 | 71 | ||||||
Iyo Bank | 65,000 | 579 | ||||||
J Front Retailing | 34,000 | 191 | ||||||
J Trust | 5,600 | 110 | ||||||
Japan Steel Works | 227,000 | 1,564 | ||||||
Japan Tobacco | 77 | 436 | ||||||
JFE Shoji Holdings | 23,000 | 121 |
Description | Shares | Market Value ($ Thousands) | ||||||
JGC | 325,200 | $ | 10,136 | |||||
Joyo Bank | 41,000 | 189 | ||||||
JS Group | 29,500 | 621 | ||||||
JSR | 2,400 | 49 | ||||||
JTEKT | 1,000 | 12 | ||||||
Jupiter Telecommunications | 7,900 | 7,958 | ||||||
Juroku Bank | 16,000 | 55 | ||||||
JVC Kenwood* | 78,200 | 349 | ||||||
JX Holdings | 8,000 | 50 | ||||||
Kajima | 102,000 | 312 | ||||||
Kamei | 5,000 | 76 | ||||||
Kamigumi | 17,000 | 141 | ||||||
Kanamoto | 5,000 | 60 | ||||||
Kanematsu* | 158,000 | 190 | ||||||
Kanematsu Electronics | 6,100 | 68 | ||||||
Kansai Paint | 398,300 | 4,041 | ||||||
Kasumi | 12,600 | 85 | ||||||
Kawasaki Heavy Industries | 24,000 | 74 | ||||||
KDDI | 1,475 | 9,607 | ||||||
Keikyu | 73,000 | 642 | ||||||
Keio | 61,000 | 440 | ||||||
Keisei Electric Railway | 42,000 | 327 | ||||||
Keyence | 110 | 26 | ||||||
Kikkoman | 12,000 | 140 | ||||||
Kinki Sharyo | 37,000 | 142 | ||||||
Kintetsu | 145,000 | 555 | ||||||
Kita-Nippon Bank | 1,700 | 47 | ||||||
Koito Manufacturing | 11,000 | 179 | ||||||
Komatsu | 61,600 | 1,766 | ||||||
Konaka | 7,700 | 71 | ||||||
Konami | 16,400 | 468 | ||||||
Konica Minolta Holdings | 14,000 | 123 | ||||||
K’s Holdings | 9,900 | 321 | ||||||
Kubota | 7,000 | 68 | ||||||
Kuraray | 10,900 | 155 | ||||||
Kurita Water Industries | 3,400 | 84 | ||||||
Kyowa Hakko Kirin | 42,000 | 470 | ||||||
Lawson | 1,400 | 89 | ||||||
Mabuchi Motor | 163,700 | 7,469 | ||||||
Makita | 15,700 | 633 | ||||||
Marubeni | 256,000 | 1,857 | ||||||
Marui Group | 24,700 | 207 | ||||||
Mazda Motor | 52,000 | 92 | ||||||
Medipal Holdings | 28,600 | 373 | ||||||
Megane TOP | 14,700 | 169 | ||||||
Megmilk Snow Brand | 5,000 | 94 | ||||||
MEIJI Holdings | 1,200 | 53 | ||||||
Melco Holdings | 3,900 | 99 | ||||||
Miraca Holdings | 1,000 | 39 | ||||||
Misawa Homes* | 14,700 | 155 | ||||||
Mitsubishi | 232,800 | 5,431 | ||||||
Mitsubishi Chemical Holdings | 120,600 | 648 | ||||||
Mitsubishi Electric | 3,400 | 30 | ||||||
Mitsubishi Gas Chemical | 15,100 | 101 | ||||||
Mitsubishi Heavy Industries | 112,000 | 546 | ||||||
Mitsubishi Materials | 14,000 | 45 | ||||||
Mitsubishi Motors* | 206,000 | 235 | ||||||
Mitsubishi UFJ Financial Group | 281,500 | 1,409 | ||||||
Mitsubishi UFJ Lease & Finance | 2,640 | 117 | ||||||
Mitsui | 3,000 | 49 | ||||||
Mitsui Chemicals | 20,000 | 61 | ||||||
Mitsui Home | 8,000 | 44 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 4 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
MS&AD Insurance Group Holdings | 241,600 | $ | 4,988 | |||||
Murata Manufacturing | 5,800 | 346 | ||||||
Nabtesco | 10,900 | 225 | ||||||
Namco Bandai Holdings | 37,900 | 550 | ||||||
NEC | 64,000 | 135 | ||||||
NEC Capital Solutions | 3,200 | 53 | ||||||
NEC Fielding | 9,800 | 128 | ||||||
NEC Mobiling | 1,200 | 42 | ||||||
NEC Networks & System Integration | 15,700 | 225 | ||||||
NET One Systems | 23,400 | 287 | ||||||
NHK Spring | 9,600 | 104 | ||||||
Nichii Gakkan | 9,500 | 128 | ||||||
Nichireki | 8,000 | 44 | ||||||
Nihon Unisys | 17,700 | 125 | ||||||
Nintendo | 26,800 | 4,054 | ||||||
Nippo | 35,000 | 391 | ||||||
Nippon Building Fund, | 12 | 115 | ||||||
Nippon Densetsu Kogyo | 5,000 | 50 | ||||||
Nippon Express | 20,000 | 78 | ||||||
Nippon Meat Packers | 5,000 | 64 | ||||||
Nippon Paper Group | 2,000 | 42 | ||||||
Nippon Sheet Glass | 74,000 | 114 | ||||||
Nippon Steel | 18,000 | 50 | ||||||
Nippon Synthetic Chemical Industry | 7,000 | 43 | ||||||
Nippon Telegraph & Telephone ADR | 183,391 | 4,148 | ||||||
Nippon Telegraph & Telephone | 188,100 | 8,583 | ||||||
Nishimatsu Construction | 78,000 | 184 | ||||||
Nishi-Nippon City Bank | 11,000 | 31 | ||||||
Nissan Motor | 115,400 | 1,235 | ||||||
Nisshin Fudosan | 13,200 | 100 | ||||||
Nissin Food Products | 3,800 | 143 | ||||||
Nitori Holdings | 350 | 32 | ||||||
Nitto Denko | 10,100 | 409 | ||||||
NOK | 7,200 | 157 | ||||||
Nomura Real Estate Holdings | 39,100 | 693 | ||||||
Nomura Research Institute | 13,900 | 347 | ||||||
NTT Data | 105 | 371 | ||||||
NTT DoCoMo | 2,518 | 4,204 | ||||||
Nuflare Technology | 11 | 65 | ||||||
Obayashi | 8,000 | 35 | ||||||
Odakyu Electric Railway | 26,000 | 247 | ||||||
Oita Bank | 16,000 | 51 | ||||||
OJI Paper | 37,000 | 180 | ||||||
Olympus | 2,700 | 44 | ||||||
Ono Pharmaceutical | 14,900 | 835 | ||||||
Oriental Land | 1,600 | 172 | ||||||
ORIX | 720 | 69 | ||||||
Otsuka | 2,600 | 213 | ||||||
Otsuka Holdings | 43,100 | 1,283 | ||||||
PanaHome | 9,000 | 62 | ||||||
Panasonic | 152,600 | 1,411 | ||||||
Pola Orbis Holdings | 2,800 | 84 | ||||||
Press Kogyo | 8,000 | 54 | ||||||
Rakuten | 492 | 518 | ||||||
Relo Holdings | 1,400 | 41 | ||||||
Resona Holdings | 65,000 | 301 | ||||||
Resorttrust | 4,500 | 73 | ||||||
Ricoh Leasing | 6,400 | 150 |
Description | Shares | Market Value ($ Thousands) | ||||||
Riken | 9,000 | $ | 42 | |||||
Rinnai | 5,700 | 413 | ||||||
Rohm | 71,900 | 3,569 | ||||||
San-In Godo Bank | 15,000 | 119 | ||||||
Sankyo | 91,000 | 4,489 | ||||||
Sanrio | 5,700 | 224 | ||||||
Santen Pharmaceutical | 9,200 | 395 | ||||||
Sapporo Hokuyo Holdings | 412,300 | 1,528 | ||||||
SBI Holdings | 532 | 50 | ||||||
Secom | 66,100 | �� | 3,253 | |||||
Sega Sammy Holdings | 122,900 | 2,590 | ||||||
Seino Holdings | 76,000 | 552 | ||||||
Sekisui Chemical | 617,000 | 5,383 | ||||||
Sekisui House | 216,000 | 2,129 | ||||||
Sekisui Jushi | 5,000 | 50 | ||||||
Seven & I Holdings | 510,500 | 15,248 | ||||||
Sharp | 12,000 | 88 | ||||||
Shikoku Electric Power | 4,500 | 128 | ||||||
Shimadzu | 20,000 | 182 | ||||||
Shimamura | 1,100 | 124 | ||||||
Shimano | 800 | 48 | ||||||
Shindengen Electric Manufacturing | 12,000 | 57 | ||||||
Shin-Etsu Chemical | 64,500 | 3,746 | ||||||
Ship Healthcare Holdings | 5,900 | 122 | ||||||
Shiseido | 317,000 | 5,501 | ||||||
Shizuoka Bank | 35,000 | 362 | ||||||
Showa | 18,100 | 150 | ||||||
SKY Perfect JSAT Holdings | 96 | 43 | ||||||
SMC | 52,000 | 8,315 | ||||||
Softbank | 111,600 | 3,318 | ||||||
Sojitz | 370,700 | 667 | ||||||
Sony Financial Holdings | 496,000 | 8,860 | ||||||
Square Enix Holdings | 10,400 | 220 | ||||||
Stanley Electric | 3,700 | 59 | ||||||
Sumitomo | 2,900 | 42 | ||||||
Sumitomo Forestry | 8,900 | 81 | ||||||
Sumitomo Heavy Industries | 8,000 | 45 | ||||||
Sumitomo Metal Industries | 27,000 | 55 | ||||||
Sumitomo Mitsui Financial Group | 192,600 | 6,373 | ||||||
Sumitomo Mitsui Trust Holdings | 1,003,220 | 3,218 | ||||||
Sumitomo Precision Products | 29,000 | 173 | ||||||
Sumitomo Realty & Development | 2,000 | 48 | ||||||
Sumitomo Rubber Industries | 21,000 | 280 | ||||||
Suruga Bank | 14,000 | 144 | ||||||
Suzuken | 21,600 | 670 | ||||||
Suzuki Motor | 6,100 | 147 | ||||||
T RAD | 10,000 | 41 | ||||||
Taisei | 29,000 | 76 | ||||||
Taisho Pharmaceutical Holdings | 500 | 41 | ||||||
Takashimaya | 31,000 | 259 | ||||||
Takeda Pharmaceutical | 1,600 | 71 | ||||||
Tobu Railway | 103,000 | 549 | ||||||
Toho | 20,600 | 380 | ||||||
Toho Holdings | 11,700 | 209 | ||||||
Tokai | 2,800 | 58 | ||||||
Tokyo Electron | 53,600 | 3,084 | ||||||
Tokyu | 84,000 | 401 | ||||||
Tokyu Land | 10,000 | 49 | ||||||
TonenGeneral Sekiyu | 38,500 | 356 | ||||||
Toppan Forms | 19,600 | 181 | ||||||
Toppan Printing | 16,000 | 126 |
5 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Topre | 4,100 | $ | 43 | |||||
Toray Industries | 34,600 | 258 | ||||||
Toshiba | 12,000 | 53 | ||||||
Toshiba TEC | 96,000 | 383 | ||||||
Tosoh | 41,000 | 115 | ||||||
Totetsu Kogyo | 9,000 | 97 | ||||||
TOTO | 15,000 | 114 | ||||||
Toyo Seikan Kaisha | 8,800 | 127 | ||||||
Toyo Suisan Kaisha | 10,000 | 261 | ||||||
Toyota Motor ADR(C) | 25,066 | 2,176 | ||||||
Toyota Motor | 355,300 | 15,413 | ||||||
Toyota Tsusho | 71,300 | 1,460 | ||||||
Trend Micro | 5,100 | 158 | ||||||
TS Tech | 7,100 | 140 | ||||||
Ube Industries | 116,000 | 317 | ||||||
Unicharm | 4,900 | 260 | ||||||
Unipres | 18,300 | 569 | ||||||
USS | 1,520 | 155 | ||||||
Wacoal Holdings | 175,704 | 2,094 | ||||||
Warabeya Nichiyo | 10,000 | 169 | ||||||
Watabe Wedding | 6,395 | 60 | ||||||
Xebio | 1,700 | 46 | ||||||
Yamada Denki | 530 | 33 | ||||||
Yamaguchi Financial Group | 26,000 | 238 | ||||||
Yamato Holdings | 61,300 | 953 | ||||||
Yamazaki Baking | 23,000 | 331 | ||||||
Yamazen | 7,600 | 64 | ||||||
Yaskawa Electric | 571,500 | 5,403 | ||||||
Yellow Hat | 12,500 | 208 | ||||||
Yokogawa Electric | 21,300 | 217 | ||||||
Yokohama Rubber | 39,000 | 282 | ||||||
Yuasa Trading | 38,000 | 66 | ||||||
Zeon | 92,000 | 857 | ||||||
|
| |||||||
311,084 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources | 2,676 | 230 | ||||||
|
| |||||||
Malaysia — 0.2% | ||||||||
Axiata Group | 1,938,400 | 3,290 | ||||||
|
| |||||||
Malta — 0.0% | ||||||||
BGP Holdings*(D) | 198,683 | — | ||||||
|
| |||||||
Mexico — 0.0% | ||||||||
Industrias, Cl B* | 16,800 | 80 | ||||||
|
| |||||||
Netherlands — 5.1% | ||||||||
Aegon* | 247,681 | 1,373 | ||||||
Akzo Nobel | 257,089 | 15,157 | ||||||
ASML Holding | 25,405 | 1,268 | ||||||
Boskalis Westminster | 1,510 | 57 | ||||||
European Aeronautic Defence and Space | 109,337 | 4,471 | ||||||
Gemalto | 81,531 | 5,373 | ||||||
Heineken | 12,038 | 668 | ||||||
Heineken Holding | 8,856 | 414 | ||||||
Imtech | 136,176 | 4,347 |
Description | Shares | Market Value ($ Thousands) | ||||||
ING Groep* | 777,086 | $ | 6,465 | |||||
Koninklijke Ahold | 428,428 | 5,928 | ||||||
Koninklijke DSM | 761 | 44 | ||||||
Koninklijke KPN | 11,146 | 122 | ||||||
Koninklijke Vopak | 12,357 | 711 | ||||||
PostNL | 786,416 | 4,849 | ||||||
QIAGEN* | 1,306 | 20 | ||||||
Reed Elsevier | 875,286 | 11,162 | ||||||
Royal Dutch Shell, Cl B | 171,751 | 6,036 | ||||||
Royal Dutch Shell, Cl A | 248,025 | 8,666 | ||||||
SBM Offshore | 18,327 | 374 | ||||||
TNT Express | 197,660 | 2,437 | ||||||
Unilever | 222,577 | 7,563 | ||||||
Wolters Kluwer | 278,145 | 5,260 | ||||||
|
| |||||||
92,765 | ||||||||
|
| |||||||
New Zealand — 0.2% |
| |||||||
Chorus* | 149,900 | 455 | ||||||
Contact Energy* | 11,158 | 43 | ||||||
Fletcher Building | 89,345 | 493 | ||||||
Telecom of New Zealand | 1,081,597 | 2,149 | ||||||
|
| |||||||
3,140 | ||||||||
|
| |||||||
Norway — 0.8% | ||||||||
Aker Solutions | 2,910 | 49 | ||||||
DNB | 890,637 | 11,430 | ||||||
Gjensidige Forsikring | 36,942 | 436 | ||||||
Marine Harvest | 2,715,051 | 1,399 | ||||||
Orkla | 10,674 | 84 | ||||||
Seadrill | 24,095 | 901 | ||||||
Statoil | 16,102 | 436 | ||||||
Telenor | 17,750 | 329 | ||||||
|
| |||||||
15,064 | ||||||||
|
| |||||||
Poland — 0.1% | ||||||||
KGHM Polska Miedz | 37,738 | 1,732 | ||||||
|
| |||||||
Portugal — 0.1% |
| |||||||
Cimpor Cimentos de Portugal | 45,104 | 300 | ||||||
Energias de Portugal | 160,315 | 466 | ||||||
Galp Energia, Cl B | 3,295 | 54 | ||||||
Jeronimo Martins(C) | 25,731 | 523 | ||||||
|
| |||||||
1,343 | ||||||||
|
| |||||||
Puerto Rico — 0.0% |
| |||||||
Triple-S Management, Cl B* | 4,798 | 111 | ||||||
|
| |||||||
Russia — 0.5% | ||||||||
Gazprom ADR | 171,363 | 2,120 | ||||||
NovaTek GDR | 12,103 | 1,640 | ||||||
Sberbank of Russia ADR | 332,738 | 4,455 | ||||||
Surgutneftegas ADR | 8,414 | 82 | ||||||
|
| |||||||
8,297 | ||||||||
|
| |||||||
Singapore — 1.4% | ||||||||
City Developments | 21,000 | 190 | ||||||
DBS Group Holdings | 340,000 | 3,834 | ||||||
Fraser and Neave | 71,000 | 378 | ||||||
GuocoLeisure | 34,352 | 17 | ||||||
Jardine Cycle & Carriage | 17,000 | 653 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 6 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Keppel | 113,110 | $ | 989 | |||||
Oversea-Chinese Banking | 165,000 | 1,171 | ||||||
SembCorp Industries | 317,600 | 1,334 | ||||||
SembCorp Marine | 1,146,100 | 4,813 | ||||||
Singapore Airlines | 512,000 | 4,386 | ||||||
Singapore Land | 23,000 | 110 | ||||||
Singapore Press Holdings | 86,400 | 269 | ||||||
Singapore Telecommunications | 286,000 | 717 | ||||||
Transpac Industrial Holdings | 36,000 | 54 | ||||||
United Overseas Bank | 236,000 | 3,444 | ||||||
UOL Group | 71,600 | 270 | ||||||
Wilmar International | 112,000 | 436 | ||||||
Yangzijiang Shipbuilding Holdings | 1,977,000 | 2,091 | ||||||
|
| |||||||
25,156 | ||||||||
|
| |||||||
South Africa — 0.8% | ||||||||
AngloGold Ashanti ADR | 94,946 | 3,505 | ||||||
AngloGold Ashanti | 83,773 | 3,083 | ||||||
Gold Fields(C) | 376,772 | 5,155 | ||||||
Impala Platinum Holdings | 100,086 | 1,970 | ||||||
|
| |||||||
13,713 | ||||||||
|
| |||||||
South Korea — 3.0% | ||||||||
Hyundai Heavy Industries | 15,121 | 4,290 | ||||||
Hyundai Mobis | 38,881 | 9,831 | ||||||
Hyundai Motor | 11,256 | 2,315 | ||||||
Kia Motors | 27,044 | 1,769 | ||||||
Korea Electric Power ADR | 205,475 | 1,999 | ||||||
KT ADR | 340,100 | 4,656 | ||||||
KT&G | 142,388 | 10,104 | ||||||
Samsung Electronics | 11,199 | 12,602 | ||||||
Shinhan Financial Group | 93,150 | 3,597 | ||||||
SK Telecom ADR | 301,044 | 4,187 | ||||||
|
| |||||||
55,350 | ||||||||
|
| |||||||
Spain — 1.6% | ||||||||
Abertis Infraestructuras | 35,822 | 609 | ||||||
Acciona | 6,033 | 421 | ||||||
Acerinox(C) | 2,927 | 37 | ||||||
ACS Actividades de Construccion y Servicios | 1,271 | 32 | ||||||
Amadeus IT Holding, Cl A | 8,107 | 153 | ||||||
Banco Bilbao Vizcaya Argentaria(C) | 41,522 | 330 | ||||||
Banco de Sabadell(C) | 193,741 | 527 | ||||||
Banco Popular Espanol(C) | 530,276 | 1,900 | ||||||
Banco Santander | 385,922 | 2,965 | ||||||
Bankia*(C) | 16,300 | 59 | ||||||
Bankinter | 45,316 | 237 | ||||||
CaixaBank | 32,116 | 125 | ||||||
Distribuidora Internacional de Alimentacion* | 13,136 | 65 | ||||||
EDP Renovaveis* | 28,788 | 143 | ||||||
Enagas | 300,564 | 5,776 | ||||||
Endesa | 8,158 | 162 | ||||||
Ferrovial(C) | 56,619 | 650 | ||||||
Fomento de Construcciones y Contratas(C) | 11,687 | 261 | ||||||
Gas Natural | 81,143 | 1,294 | ||||||
Grifols(C) | 21,025 | 448 | ||||||
Iberdrola | 16,900 | 96 | ||||||
Inditex(C) | 6,937 | 663 |
Description | Shares | Market Value ($ Thousands) | ||||||
Indra Sistemas(C) | 387,042 | $ | 4,736 | |||||
Mapfre | 119,323 | 384 | ||||||
Red Electrica | 13,844 | 676 | ||||||
Repsol | 56,208 | 1,408 | ||||||
Tecnicas Reunidas(C) | 107,286 | 4,463 | ||||||
Telefonica | 10,541 | 172 | ||||||
Zardoya Otis(C) | 12,511 | 162 | ||||||
|
| |||||||
28,954 | ||||||||
|
| |||||||
Sweden — 1.6% | ||||||||
Alfa Laval | 5,741 | 118 | ||||||
Atlas Copco, Cl A | 40,426 | 976 | ||||||
Atlas Copco, Cl B(C) | 42,856 | 921 | ||||||
Boliden | 3,260 | 51 | ||||||
Elekta, Cl B | 94,033 | 4,746 | ||||||
Getinge, Cl B | 17,187 | 488 | ||||||
Hennes & Mauritz, Cl B | 11,508 | 415 | ||||||
Industrivarden, Cl C | 69,880 | 1,035 | ||||||
Investor, Cl B | 2,946 | 65 | ||||||
Kinnevik Investment, | 8,871 | 206 | ||||||
Lundin Petroleum* | 27,925 | 597 | ||||||
Millicom International Cellular | 6,842 | 773 | ||||||
Nordea Bank(C) | 307,920 | 2,791 | ||||||
Skandinaviska Enskilda Banken, Cl A | 669,117 | 4,740 | ||||||
SKF, Cl B | 1,984 | 48 | ||||||
Swedbank, Cl A | 93,877 | 1,455 | ||||||
Swedish Match | 28,041 | 1,113 | ||||||
Tele2, Cl B | 17,126 | 349 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 674,502 | 6,968 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 142,514 | 1,469 | ||||||
Volvo, Cl B | 19,075 | 277 | ||||||
|
| |||||||
29,601 | ||||||||
|
| |||||||
Switzerland — 8.8% | ||||||||
ABB | 14,771 | 303 | ||||||
Aryzta | 6,590 | 325 | ||||||
Baloise Holding | 4,809 | 387 | ||||||
Barry Callebaut | 35 | 35 | ||||||
Basler Kantonalbank | 659 | 82 | ||||||
Compagnie Financiere Richemont | 49,046 | 3,071 | ||||||
Credit Suisse Group | 138,364 | 3,939 | ||||||
Dufry | 1,080 | 141 | ||||||
Forbo Holding | 67 | 49 | ||||||
Geberit | 1,797 | 376 | ||||||
Georg Fischer | 666 | 304 | ||||||
Givaudan | 14,068 | 13,541 | ||||||
Glencore International | 15,637 | 97 | ||||||
Helvetia Holding | 415 | 154 | ||||||
Holcim | 980 | 64 | ||||||
Julius Baer Group | 139,022 | 5,605 | ||||||
Kuehne & Nagel International | 2,867 | 387 | ||||||
Lindt & Spruengli | 19 | 706 | ||||||
Lindt & Spruengli PC | 139 | 446 | ||||||
Lonza Group | 2,403 | 124 | ||||||
Nestle | 402,739 | 25,309 | ||||||
Novartis | 375,011 | 20,729 | ||||||
OC Oerlikon* | 81,649 | 723 | ||||||
Pargesa Holding | 800 | 58 | ||||||
Partners Group Holding | 1,220 | 238 |
7 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Roche Holding | 168,356 | $ | 29,262 | |||||
Schindler Holding | 574 | 69 | ||||||
Schindler Holding PC | 944 | 113 | ||||||
SGS | 4,874 | 9,469 | ||||||
Sika | 2,387 | 5,160 | ||||||
Sonova Holding | 1,321 | 147 | ||||||
Sulzer | 57,129 | 8,109 | ||||||
Swatch Group | 3,326 | 1,529 | ||||||
Swatch Group Registered | 1,772 | 142 | ||||||
Swiss Life Holding | 1,972 | 234 | ||||||
Swiss Re | 3,920 | 250 | ||||||
Swisscom | 2,363 | 954 | ||||||
Syngenta | 4,050 | 1,399 | ||||||
UBS | 199,419 | 2,796 | ||||||
UBS Foreign | 413,841 | 5,792 | ||||||
Xstrata | 308,722 | 5,268 | ||||||
Zurich Financial Services | 43,152 | 11,582 | ||||||
|
| |||||||
159,468 | ||||||||
|
| |||||||
Taiwan — 0.1% | ||||||||
United Microelectronics ADR(C) | 691,541 | 1,694 | ||||||
|
| |||||||
Thailand — 0.4% | ||||||||
Kasikornbank | 1,220,000 | 6,090 | ||||||
Total Access Communication | 213,100 | 567 | ||||||
|
| |||||||
6,657 | ||||||||
|
| |||||||
United Kingdom — 18.2% | ||||||||
Acergy | 222,880 | 5,892 | ||||||
Aggreko | 17,759 | 638 | ||||||
AMEC | 426,016 | 7,542 | ||||||
Amlin | 928,101 | 4,891 | ||||||
Antofagasta | 8,855 | 163 | ||||||
ARM Holdings | 192,684 | 1,823 | ||||||
Associated British Foods | 33,099 | 645 | ||||||
AstraZeneca | 234,656 | 10,419 | ||||||
Aviva | 1,073,851 | 5,688 | ||||||
Babcock International Group | 63,003 | 802 | ||||||
BAE Systems | 987,921 | 4,734 | ||||||
Balfour Beatty | 1,096,880 | 5,003 | ||||||
Barclays | 1,304,061 | 4,902 | ||||||
BG Group | 544,934 | 12,607 | ||||||
BHP Billiton | 119,602 | 3,645 | ||||||
BP | 1,341,490 | 9,914 | ||||||
BP ADR | 54,757 | 2,464 | ||||||
British American Tobacco | 270,212 | 13,602 | ||||||
British Land(B) | 105,141 | 806 | ||||||
British Sky Broadcasting Group | 122,377 | 1,322 | ||||||
BT Group, Cl A | 676,591 | 2,447 | ||||||
Bunzl | 441,473 | 7,082 | ||||||
Burberry Group | 42,591 | 1,019 | ||||||
Cairn Energy | 502,100 | 2,592 | ||||||
Capita | 487,807 | 5,709 | ||||||
Centrica | 1,287,868 | 6,511 | ||||||
Compass Group | 25,002 | 262 | ||||||
Davis Service Group | 44,500 | 371 | ||||||
Diageo | 253,261 | 6,080 | ||||||
Eurasian Natural Resources | 438,112 | 4,147 | ||||||
Fresnillo | 16,360 | 418 | ||||||
G4S | 129,156 | 562 | ||||||
GKN | 76,629 | 252 |
Description | Shares | Market Value ($ Thousands) | ||||||
GlaxoSmithKline | 467,707 | $ | 10,436 | |||||
Hammerson(B) | 15,746 | 105 | ||||||
Home Retail Group | 2,966,913 | 5,404 | ||||||
HSBC Holdings | 1,743,770 | 15,429 | ||||||
ICAP | 572,800 | 3,595 | ||||||
Imperial Tobacco Group | 122,867 | 4,976 | ||||||
Informa | 722,603 | 5,097 | ||||||
International Power | 43,137 | 279 | ||||||
Intertek Group | 11,665 | 468 | ||||||
ITV | 130,417 | 184 | ||||||
Johnson Matthey | 4,102 | 155 | ||||||
Kazakhmys | 102,581 | 1,488 | ||||||
Kingfisher | 1,259,626 | 6,173 | ||||||
Land Securities | 87,487 | 1,010 | ||||||
Legal & General Group | 394,502 | 824 | ||||||
Lloyds Banking Group* | 2,764,710 | 1,484 | ||||||
London Stock Exchange Group | 28,459 | 470 | ||||||
Marks & Spencer Group | 8,096 | 49 | ||||||
Meggitt | 46,523 | 300 | ||||||
Michael Page International | 481,352 | 3,692 | ||||||
National Grid | 33,623 | 339 | ||||||
Next | 20,111 | 958 | ||||||
Old Mutual | 37,952 | 96 | ||||||
Pearson | 65,645 | 1,222 | ||||||
Petrofac | 338,612 | 9,414 | ||||||
Polyus Gold International GDR* | 493,318 | 1,505 | ||||||
Premier Oil* | 782,626 | 4,905 | ||||||
Prudential | 572,349 | 6,836 | ||||||
QinetiQ Group | 159,597 | 406 | ||||||
Reckitt Benckiser Group | 1,563 | 88 | ||||||
Reed Elsevier | 584,947 | 5,187 | ||||||
Rexam | 969,901 | 6,634 | ||||||
Rio Tinto | 235,858 | 12,986 | ||||||
Rio Tinto ADR(C) | 71,000 | 3,947 | ||||||
Rolls-Royce Holdings | 564,839 | 7,328 | ||||||
Royal Bank of Scotland Group* | 1,997,752 | 882 | ||||||
SABMiller | 20,925 | 839 | ||||||
Sage Group | 1,136,534 | 5,433 | ||||||
Schroders | 13,843 | 349 | ||||||
Severn Trent | 38,036 | 938 | ||||||
Shire | 92,975 | 3,001 | ||||||
Smith & Nephew | 908 | 9 | ||||||
SSE | 72,843 | 1,547 | ||||||
Standard Chartered | 11,603 | 289 | ||||||
Standard Life | 45,954 | 169 | ||||||
Tate & Lyle | 28,489 | 321 | ||||||
Tesco | 3,148,362 | 16,600 | ||||||
Tullow Oil | 233,575 | 5,699 | ||||||
Unilever | 14,272 | 471 | ||||||
United Utilities Group | 613,708 | 5,898 | ||||||
Vodafone Group | 7,891,581 | 21,712 | ||||||
Weir Group | 15,962 | 450 | ||||||
Whitbread | 1,858 | 55 | ||||||
Willis Group Holdings | 139,700 | 4,887 | ||||||
WM Morrison Supermarkets | 192,409 | 916 | ||||||
Wolseley | 10,358 | 395 | ||||||
WPP | 7,475 | 102 | ||||||
Xyratex | 9,126 | 145 | ||||||
|
| |||||||
329,530 | ||||||||
|
| |||||||
United States — 0.7% | ||||||||
Aircastle | 16,352 | 200 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 8 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
March 31, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Apple* | 5,101 | $ | 3,058 | |||||
Arctic Cat* | 2,755 | 118 | ||||||
Buckeye Technologies | 7,170 | 244 | ||||||
Calamos Asset Management, | 12,204 | 160 | ||||||
Cambrex* | 14,189 | 99 | ||||||
Central Garden and Pet, Cl A* | 6,332 | 61 | ||||||
CNO Financial Group* | 72,283 | 562 | ||||||
Magnachip Semiconductor* | 7,654 | 92 | ||||||
Marcus | 6,186 | 78 | ||||||
Movado Group | 4,619 | 113 | ||||||
Newmont Mining | 89,700 | 4,599 | ||||||
Philip Morris International | 1,578 | 140 | ||||||
Providence Service* | 3,464 | 54 | ||||||
Smithfield Foods* | 12,228 | 269 | ||||||
Synthes(E) | 13,245 | 2,295 | ||||||
Thomas Properties Group | 9,252 | 42 | ||||||
USANA Health Sciences* | 1,951 | 73 | ||||||
VOXX International, Cl A* | 5,185 | 70 | ||||||
|
| |||||||
12,327 | ||||||||
|
| |||||||
Total Common Stock |
| 1,741,622 | ||||||
|
| |||||||
PREFERRED STOCK — 0.2% |
| |||||||
Germany — 0.2% |
| |||||||
Bayerische Motoren Werke | 4,544 | 269 | ||||||
Draegerwerk | 2,624 | 294 | ||||||
Henkel | 22,349 | 1,635 | ||||||
Porsche | 2,540 | 150 | ||||||
ProSiebenSat. 1 Media | 13,659 | 350 | ||||||
Volkswagen | 8,489 | 1,491 | ||||||
|
| |||||||
Total Preferred Stock |
| 4,189 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.3% |
| |||||||
U.S. Treasury Bill (F) (H) | ||||||||
0.069%, 11/15/12 | $ | 270 | 270 | |||||
0.046%, 06/28/12 | 3,359 | 3,358 | ||||||
0.046%, 09/20/12 | 1,238 | 1,237 | ||||||
0.040%, 08/23/12 | 152 | 152 | ||||||
0.024%, 05/31/12 | 250 | 250 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 5,267 | ||||||
|
| |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% |
| |||||||
Australia — 0.0% | ||||||||
Beach Energy, Expires 04/24/12* | 65 | 5 | ||||||
|
| |||||||
Total Rights |
| 5 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.1% |
| |||||||
United States — 2.1% | ||||||||
SEI Liquidity Fund, L.P. | 40,189,727 | 38,488 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 38,488 | ||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 1.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080% ** † | 19,980,834 | $ | 19,981 | |||||
|
| |||||||
Total Cash Equivalent | 19,981 | |||||||
|
| |||||||
TIME DEPOSITS — 2.1% |
| |||||||
United States — 2.1% |
| |||||||
Brown Brothers Harriman | ||||||||
4.500%, 04/02/12 | ZAR | 802 | 104 | |||||
3.587%, 04/02/12 | AUD | 74 | 76 | |||||
1.650%, 04/02/12 | NZD | 1 | 1 | |||||
0.797%, 04/02/12 | SEK | 9 | 1 | |||||
0.550%, 04/02/12 | NOK | 714 | 125 | |||||
0.234%, 04/02/12 | CAD | 2 | 2 | |||||
0.056%, 04/02/12 | GBP | 687 | 1,098 | |||||
0.050%, 04/02/12 | EUR | 327 | 435 | |||||
0.030%, 04/02/12 | 34,675 | 34,675 | ||||||
0.020%, 04/02/12 | DKK | 38 | 7 | |||||
0.010%, 04/02/12 | JPY | 55,270 | 672 | |||||
0.010%, 04/02/12 | SGD | 6 | 4 | |||||
0.005%, 04/02/12 | CHF | 663 | 734 | |||||
0.005%, 04/02/12 | HKD | 2,578 | 332 | |||||
|
| |||||||
Total Time Deposits |
| 38,266 | ||||||
|
| |||||||
Total Investments — 101.8% |
| $ | 1,847,818 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 262 | Jun-2012 | $ | (223 | ) | |||||||
FTSE 100 Index | 81 | Jun-2012 | (192 | ) | ||||||||
Hang Seng Index | 9 | May-2012 | (27 | ) | ||||||||
SPI 200 Index | 23 | Jun-2012 | 25 | |||||||||
Topix Index | 57 | Jun-2012 | 182 | |||||||||
|
| |||||||||||
$ | (235 | ) | ||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $1,814,615 ($ Thousands).
† | Investment in Affiliated Security (See Note 4). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
(A) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $68 ($ Thousands) and represented 0.0% of Net Assets. |
9 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
(B) | Real Estate Investment Trust. |
(C) | This security or a partial position of this security is on loan at March 31, 2012.The total market value of securities on loan at March 31, 2012 was $39,000 ($ Thousands) (See Note 8). |
(D) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $354 ($ Thousands) and represented 0.0% of Net Assets. |
(E) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(F) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $38,488 ($ Thousands). |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR | — American Depositary Receipt |
AUD | — Australian Dollar |
CAD | — Canadian Dollar |
CHF | — Swiss Franc |
Cl | — Class |
DJ | — Dow Jones |
DKK | — Danish Krone |
EUR | — Euro |
FTSE | — Financial Times and the London Stock Exchange |
GBP | — British Pound Sterling |
GDR | — Global Depositary Receipt |
HKD | — Hong Kong Dollar |
JPY | — Japanese Yen |
L.P. | — Limited Partnership |
NOK | — Norwegian Krone |
NZD | — New Zealand Dollar |
SEK | — Swedish Krone |
SGD | — Singapore Dollar |
Ser | — Series |
SPI | — Share Price Index |
ZAR | — South African Rand |
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,741,268 | $ | — | $ | 354 | $ | 1,741,622 | ||||||||
Preferred Stock | 4,189 | — | — | 4,189 | ||||||||||||
U.S. Treasury Obligations | — | 5,267 | — | 5,267 | ||||||||||||
Rights | 5 | — | — | 5 | ||||||||||||
Affiliated Partnership | — | 38,488 | — | 38,488 | ||||||||||||
Cash Equivalent | 19,981 | — | — | 19,981 | ||||||||||||
Time Deposits | — | 38,266 | — | 38,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,765,443 | $ | 82,021 | $ | 354 | $ | 1,847,818 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (235 | ) | $ | — | $ | — | $ | (235 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (235 | ) | $ | — | $ | — | $ | (235 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | ||||
Beginning balance as of October 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer into Level 3 | 354 | |||
Net transfer out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 354 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | — | ||
|
|
For the six months ended March 31, 2012, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (See Note 2).
For the six months ended March 31, 2012, there were transfers from Level 2 into Level 3 assets and liabilities. The primary reason for changes in the classifications between Level 2
and Level 3 occurs when trading of such securities are halted on the primary exchange on which they are traded.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 10 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 90.3% | ||||||||
Argentina — 0.3% | ||||||||
Tenaris ADR | 33,098 | $ | 1,266 | |||||
YPF ADR | 50,800 | 1,443 | ||||||
|
| |||||||
2,709 | ||||||||
|
| |||||||
Brazil — 10.0% | ||||||||
All America Latina Logistica | 146,340 | 731 | ||||||
B2W Cia Global Do Varejo* | 47,600 | 215 | ||||||
Banco Bradesco ADR | 326,318 | 5,711 | ||||||
Banco do Brasil | 79,380 | 1,128 | ||||||
Banco Santander Brasil ADR | 377,204 | 3,459 | ||||||
BM&FBovespa | 447,951 | 2,748 | ||||||
BR Malls Participacoes | 109,700 | 1,419 | ||||||
Brasil Insurance Participacoes e Administracao | 143,800 | 1,544 | ||||||
Braskem ADR | 54,910 | 875 | ||||||
BRF - Brasil Foods ADR | 75,120 | 1,503 | ||||||
Centrais Eletricas Brasileiras | 142,980 | 1,329 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 513 | 39 | ||||||
Cia Hering | 147,825 | 3,821 | ||||||
Cielo | 24,389 | 824 | ||||||
Cosan Industria e Comercio | 36,853 | 685 | ||||||
Cyrela Brazil Realty Empreendimentos e Participacoes | 246,067 | 2,192 | ||||||
Embraer ADR | 57,884 | 1,851 | ||||||
Even Construtora e Incorporadora | 198,739 | 757 | ||||||
Fibria Celulose | 24,000 | 197 | ||||||
Fibria Celulose ADR | 253,295 | 2,125 | ||||||
Gerdau ADR | 672,261 | 6,474 | ||||||
Gol Linhas Aereas Inteligentes ADR | 122,245 | 823 | ||||||
Grendene | 106,359 | 565 | ||||||
Helbor Empreendimentos | 36,739 | 552 | ||||||
Hypermarcas | 212,560 | 1,502 | ||||||
Iochpe-Maxion | 65,969 | 1,302 | ||||||
JBS* | 214,600 | 894 | ||||||
Kroton Educacional* | 98,900 | 1,432 | ||||||
Localiza Rent a Car | 176,612 | 3,253 | ||||||
Magazine Luiza* | 13,200 | 87 | ||||||
Magnesita Refratarios* | 158,400 | 593 | ||||||
MRV Engenharia e Participacoes | 466,632 | 3,307 | ||||||
Multiplus | 82,200 | 1,703 | ||||||
Obrascon Huarte Lain Brasil | 5,209 | 220 | ||||||
OGX Petroleo e Gas Participacoes* | 101,750 | 843 | ||||||
OSX Brasil* | 88,600 | 796 | ||||||
PDG Realty Empreendimentos e Participacoes | 391,270 | 1,349 | ||||||
Petroleo Brasileiro ADR | 321,115 | 8,529 | ||||||
Petroleo Brasileiro | 75,522 | 1,001 | ||||||
Porto Seguro | 71,570 | 777 | ||||||
QGEP Participacoes | 141,200 | 1,013 | ||||||
Qualicorp* | 77,800 | 669 | ||||||
Redecard | 15,224 | 296 | ||||||
Restoque Comercio e Confeccoes de Roupas | 21,300 | 439 | ||||||
Santos Brasil Participacoes | 60,920 | 1,066 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sao Martinho | 7,192 | $ | 92 | |||||
Sul America | 113,679 | 1,054 | ||||||
Telefonica Brasil ADR | 51,402 | 1,574 | ||||||
Telegraph Norte Leste ADR | 95,165 | 1,080 | ||||||
Tim Participacoes ADR | 59,231 | 1,911 | ||||||
Totvs | 158,760 | 2,919 | ||||||
Vale | 60,431 | 1,412 | ||||||
Vale ADR, Cl B | 287,365 | 6,704 | ||||||
|
| |||||||
89,384 | ||||||||
|
| |||||||
Canada — 0.9% | ||||||||
Alamos Gold | 83,900 | 1,537 | ||||||
First Majestic Silver* | 45,800 | 760 | ||||||
Pacific Rubiales Energy | 127,379 | 3,714 | ||||||
Yamana Gold | 109,840 | 1,716 | ||||||
|
| |||||||
7,727 | ||||||||
|
| |||||||
Chile — 0.5% | ||||||||
Banco Santander Chile ADR | 8,243 | 710 | ||||||
Cia Cervecerias Unidas ADR | 4,499 | 354 | ||||||
Enersis ADR | 38,797 | 783 | ||||||
Lan Airlines ADR | 27,255 | 793 | ||||||
Sociedad Quimica y Minera de Chile ADR | 23,194 | 1,361 | ||||||
|
| |||||||
4,001 | ||||||||
|
| |||||||
China — 11.9% | ||||||||
AAC Technologies Holdings | 1,210,680 | 3,290 | ||||||
Agricultural Bank of China | 8,479,432 | 3,637 | ||||||
Asia Cement China Holdings | 300,500 | 151 | ||||||
Baidu ADR* | 22,176 | 3,233 | ||||||
Bank of China | 7,384,411 | 2,977 | ||||||
Bank of Communications | 2,098,347 | 1,586 | ||||||
Beijing Capital International Airport | 1,840,000 | 1,064 | ||||||
BYD Electronic International | 1,916,500 | 578 | ||||||
China Coal Energy | 912,000 | 1,023 | ||||||
China Construction Bank | 10,605,807 | 8,196 | ||||||
China Dongxiang Group | 4,434,000 | 731 | ||||||
China Liansu Group Holdings | 1,965,700 | 1,241 | ||||||
China Life Insurance | 648,000 | 1,682 | ||||||
China Merchants Bank | 1,071,431 | 2,191 | ||||||
China National Building Material | 892,500 | 1,125 | ||||||
China National Materials | 7,335,438 | 2,976 | ||||||
China Petroleum & Chemical ADR(A) | 19,974 | 2,172 | ||||||
China Petroleum & Chemical | 1,696,000 | 1,848 | ||||||
China Railway Construction | 606,000 | 377 | ||||||
China Railway Group | 1,655,000 | 531 | ||||||
China Shenhua Energy(B) | 269,003 | 1,135 | ||||||
China Telecom | 2,738,000 | 1,516 | ||||||
China Vanke, Cl B | 1,085,200 | 1,287 | ||||||
China Zhongwang Holdings | 483,005 | 174 | ||||||
Chongqing Rural Commercial Bank* | 3,163,862 | 1,512 | ||||||
Daphne International Holdings | 3,472,800 | 4,759 | ||||||
Dongfeng Motor Group | 720,120 | 1,300 | ||||||
First Tractor | 2,495,900 | 2,514 | ||||||
Focus Media Holding ADR | 37,000 | 929 |
1 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Foxconn International Holdings* | 5,600,000 | $ | 3,989 | |||||
Giant Interactive Group ADR(A) | 92,231 | 452 | ||||||
Golden Eagle Retail Group | 452,200 | 1,155 | ||||||
Great Wall Motor | 866,781 | 1,686 | ||||||
Guangzhou Automobile Group | 1,224,415 | 1,214 | ||||||
Guangzhou R&F Properties | 260,665 | 311 | ||||||
Haitian International Holdings | 47,220 | 53 | ||||||
Harbin Electric | 502,682 | 527 | ||||||
Hidili Industry International Development | 3,465,366 | 1,232 | ||||||
Huaneng Power International | 1,958,800 | 1,065 | ||||||
Industrial & Commercial Bank of China | 12,651,912 | 8,164 | ||||||
Inner Mongolia Yitai Coal, Cl B | 137,698 | 735 | ||||||
Lianhua Supermarket Holdings | 880,927 | 1,002 | ||||||
Netease.com ADR* | 22,679 | 1,318 | ||||||
PetroChina | 2,850,119 | 4,031 | ||||||
PetroChina ADR | 26,292 | 3,695 | ||||||
PICC Property & Casualty | 984,000 | 1,171 | ||||||
Ping An Insurance Group | 308,500 | 2,332 | ||||||
Prince Frog International Holdings* | 3,680,600 | 1,361 | ||||||
Renhe Commercial Holdings | 8,435,078 | 587 | ||||||
Sina* | 21,200 | 1,378 | ||||||
Sinotrans | 2,737,000 | 511 | ||||||
Soho China | 1,075,528 | 780 | ||||||
Sohu.com* | 36,900 | 2,036 | ||||||
Tencent Holdings | 78,000 | 2,176 | ||||||
Tingyi Cayman Islands Holding | 484,000 | 1,399 | ||||||
Travelsky Technology | 362,880 | 190 | ||||||
Tsingtao Brewery | 226,000 | 1,221 | ||||||
Weiqiao Textile | 892,900 | 460 | ||||||
Youku.com ADR* | 40,233 | 885 | ||||||
Zhejiang Expressway | 1,012,000 | 756 | ||||||
Zoomlion Heavy Industry Science and Technology | 2,025,860 | 2,698 | ||||||
|
| |||||||
106,305 | ||||||||
|
| |||||||
Colombia — 0.7% | ||||||||
Almacenes Exito | 20,393 | 295 | ||||||
BanColombia ADR, Cl R | 43,951 | 2,842 | ||||||
Ecopetrol | 177,094 | 535 | ||||||
Ecopetrol ADR | 35,300 | 2,156 | ||||||
|
| |||||||
5,828 | ||||||||
|
| |||||||
Cyprus — 0.4% | ||||||||
Eurasia Drilling GDR(C) | 141,269 | 3,895 | ||||||
|
| |||||||
Czech Republic — 0.2% | ||||||||
CEZ | 16,165 | 692 | ||||||
Komercni Banka | 5,196 | 1,030 | ||||||
|
| |||||||
1,722 | ||||||||
|
| |||||||
Egypt — 0.1% | ||||||||
Commercial International Bank Egypt | 200,196 | 832 |
Description | Shares | Market Value ($ Thousands) | ||||||
Orascom Telecom Media And Technology Holding GDR* | 157,743 | $ | 175 | |||||
|
| |||||||
1,007 | ||||||||
|
| |||||||
Guernsey — 0.1% | ||||||||
Chariot Oil & Gas* | 214,139 | 677 | ||||||
Etalon Group GDR*(C)(D) | 56,800 | 389 | ||||||
|
| |||||||
1,066 | ||||||||
|
| |||||||
Hong Kong — 6.2% | ||||||||
Chaoda Modern | 2,056,181 | 291 | ||||||
China High Precision Automation Group | 1,385,624 | 479 | ||||||
China Mengniu Dairy | 890,815 | 2,610 | ||||||
China Mobile ADR | 59,940 | 3,301 | ||||||
China Mobile | 894,934 | 9,850 | ||||||
China Pharmaceutical Group | 799,023 | 183 | ||||||
China Power International Development | 2,803,200 | 614 | ||||||
China Resources Enterprise | 167,353 | 584 | ||||||
China Resources Gas Group | 1,817,276 | 3,478 | ||||||
China Resources Power Holdings | 631,339 | 1,169 | ||||||
China State Construction International Holdings | 3,612,584 | 3,364 | ||||||
China Unicom Hong Kong ADR | 157,890 | 2,653 | ||||||
China Unicom Hong Kong | 794,812 | 1,347 | ||||||
CNOOC ADR | 8,610 | 1,759 | ||||||
CNOOC | 1,218,948 | 2,506 | ||||||
Cosco International Holdings | 208,805 | 90 | ||||||
COSCO Pacific | 304,000 | 459 | ||||||
Dah Chong Hong Holdings | 1,033,200 | 1,097 | ||||||
Global Bio-Chemical Technology Group | 1,851,300 | 362 | ||||||
GOME Electrical Appliances Holding(D) | 2,122,772 | 440 | ||||||
Haier Electronics Group* | 1,361,300 | 1,543 | ||||||
Hengdeli Holdings | 5,316,000 | 2,246 | ||||||
KWG Property Holding | 2,798,097 | 1,615 | ||||||
Lenovo Group | 1,400,552 | 1,261 | ||||||
Li & Fung | 284,000 | 652 | ||||||
Minth Group | 322,000 | 373 | ||||||
NWS Holdings | 395,603 | 605 | ||||||
Shanghai Industrial Holdings | 301,000 | 929 | ||||||
Sinolink Worldwide Holdings | 1,610,532 | 133 | ||||||
SJM Holdings | 1,105,405 | 2,250 | ||||||
Skyworth Digital Holdings | 284,000 | 133 | ||||||
TPV Technology | 407,890 | 97 | ||||||
Vinda International Holdings | 3,083,276 | 4,765 | ||||||
Xinyi Glass Holdings | 2,472,944 | 1,510 | ||||||
Yuexiu Real Estate Investment(E) | 266,538 | 138 | ||||||
|
| |||||||
54,886 | ||||||||
|
| |||||||
Hungary — 0.1% | ||||||||
EGIS Pharmaceuticals | 1,778 | 118 | ||||||
OTP Bank | 14,249 | 246 | ||||||
Richter Gedeon | 2,078 | 355 | ||||||
|
| |||||||
719 | ||||||||
|
| |||||||
India — 5.8% | ||||||||
Allahabad Bank | 70,482 | 257 | ||||||
Andhra Bank | 282,735 | 661 | ||||||
Asian Paints | 21,935 | 1,396 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 2 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Bajaj Holdings and Investment | 12,648 | $ | 202 | |||||
Ballarpur Industries | 1,440,651 | 725 | ||||||
Bank of Baroda | 30,788 | 481 | ||||||
Bank of India | 86,830 | 618 | ||||||
Cairn India* | 627,671 | 4,114 | ||||||
Canara Bank | 57,280 | 535 | ||||||
Chambal Fertilizers & Chemicals | 401,047 | 609 | ||||||
Corporation Bank | 14,494 | 121 | ||||||
Cummins India | 112,060 | 1,090 | ||||||
Divi’s Laboratories | 68,883 | 1,036 | ||||||
Glenmark Pharmaceuticals | 134,070 | 814 | ||||||
Godrej Consumer Products | 105,045 | 990 | ||||||
Grasim Industries | 9,116 | 470 | ||||||
Gujarat Mineral Development | 33,536 | 120 | ||||||
Gujarat State Petronet | 368,730 | 554 | ||||||
Havells India | 105,275 | 1,182 | ||||||
HCL Technologies | 216,253 | 2,051 | ||||||
HDFC Bank ADR | 35,100 | 1,197 | ||||||
Hindustan Petroleum | 140,050 | 835 | ||||||
ICICI Bank | 700 | 12 | ||||||
ICICI Bank ADR | 110,264 | 3,845 | ||||||
India Cements | 484,880 | 1,061 | ||||||
Indiabulls Financial Services | 204,947 | 833 | ||||||
Indian Bank | 137,357 | 658 | ||||||
IRB Infrastructure Developers | 280,425 | 1,028 | ||||||
Jubilant Life Sciences | 169,946 | 666 | ||||||
Larsen & Toubro | 37,172 | 955 | ||||||
Mahindra & Mahindra GDR | 92,113 | 1,266 | ||||||
Mangalore Refinery & Petrochemicals | 75,141 | 101 | ||||||
McLeod Russel India | 20,755 | 111 | ||||||
NMDC | 170,580 | 539 | ||||||
Oil & Natural Gas | 212,426 | 1,119 | ||||||
Oil India | 6,675 | 67 | ||||||
Oriental Bank of Commerce | 173,340 | 860 | ||||||
Patni Computer Systems* | 45,417 | 440 | ||||||
Prestige Estates Projects | 257,745 | 507 | ||||||
Reliance Industries | 193,460 | 2,850 | ||||||
Reliance Industries GDR(C) | 95,152 | 2,774 | ||||||
Rolta India | 284,000 | 523 | ||||||
Rural Electrification | 199,947 | 806 | ||||||
Shriram Transport Finance | 215,279 | 2,539 | ||||||
State Bank of India GDR(C) | 8,510 | 700 | ||||||
State Bank of India | 61,589 | 2,534 | ||||||
Steel Authority of India | 202,520 | 375 | ||||||
Sterlite Industries India | 304,470 | 664 | ||||||
Sterlite Industries India ADR | 45,590 | 389 | ||||||
Syndicate Bank | 205,445 | 448 | ||||||
Tata Chemicals | 94,046 | 640 | ||||||
Tata Consultancy Services | 45,000 | 1,032 | ||||||
Ultratech Cement | 3,611 | 107 | ||||||
United Phosphorus | 76,264 | 195 | ||||||
Yes Bank | 151,815 | 1,099 | ||||||
|
| |||||||
51,801 | ||||||||
|
| |||||||
Indonesia — 2.5% | ||||||||
AKR Corporindo | 2,891,500 | 1,360 | ||||||
Aneka Tambang | 3,451,394 | 679 | ||||||
Astra Agro Lestari | 310,399 | 793 | ||||||
Astra International | 93,076 | 753 | ||||||
Bank Bukopin | 3,373,948 | 243 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bank Mandiri | 1,435,734 | $ | 1,076 | |||||
Bank Negara Indonesia Persero | 1,231,500 | 539 | ||||||
Bank Rakyat Indonesia Persero | 6,521,515 | 4,957 | ||||||
Charoen Pokphand Indonesia | 1,250,684 | 376 | ||||||
Global Mediacom(D) | 5,059,488 | 885 | ||||||
Harum Energy | 533,100 | 475 | ||||||
Indo Tambangraya Megah | 93,000 | 442 | ||||||
Indosat | 1,341,000 | 741 | ||||||
Japfa Comfeed Indonesia | 527,131 | 238 | ||||||
Medco Energi Internasional | 1,716,000 | 403 | ||||||
Perusahaan Perkebunan London Sumatra Indonesia | 2,887,911 | 908 | ||||||
Sampoerna Agro | 282,000 | 110 | ||||||
Semen Gresik Persero | 1,049,200 | 1,406 | ||||||
Tambang Batubara Bukit Asam | 530,500 | 1,189 | ||||||
Telekomunikasi Indonesia | 1,440,600 | 1,103 | ||||||
United Tractors | 1,028,071 | 3,710 | ||||||
Vale Indonesia | 571,500 | 211 | ||||||
|
| |||||||
22,597 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Kenmare Resources* | 1,446,826 | 1,159 | ||||||
|
| |||||||
Israel — 0.3% | ||||||||
Israel Chemicals | 238,672 | 2,758 | ||||||
|
| |||||||
Kazakhstan — 0.3% | ||||||||
Halyk Savings Bank of Kazakhstan GDR* | 203,865 | 1,325 | ||||||
Zhaikmunai LP GDR* | 109,223 | 1,222 | ||||||
|
| |||||||
2,547 | ||||||||
|
| |||||||
Macau — 0.2% | ||||||||
Sands China | 438,300 | 1,713 | ||||||
|
| |||||||
Malaysia — 1.8% | ||||||||
Affin Holdings | 96,100 | 95 | ||||||
AMMB Holdings | 29,200 | 60 | ||||||
Axiata Group | 1,268,836 | 2,154 | ||||||
Berjaya Sports Toto | 222,804 | 318 | ||||||
British American Tobacco Malaysia | 24,889 | 460 | ||||||
Dialog Group | 44,380 | 31 | ||||||
Digi.Com | 630,295 | 835 | ||||||
DRB-Hicom | 906,472 | 746 | ||||||
Gamuda | 1,239,083 | 1,472 | ||||||
Genting Malaysia | 780,969 | 999 | ||||||
Hong Leong Financial Group | 79,400 | 319 | ||||||
IOI | 100,415 | 175 | ||||||
KLCC Property Holdings | 106,600 | 118 | ||||||
Kuala Lumpur Kepong | 42,900 | 345 | ||||||
Kulim Malaysia | 176,700 | 241 | ||||||
Lafarge Malayan Cement | 51,587 | 121 | ||||||
Malayan Banking | 185,688 | 538 | ||||||
Malaysia Building Society | 598,573 | 426 | ||||||
Media Prima | 86,747 | 76 | ||||||
Multi-Purpose Holdings | 55,062 | 50 | ||||||
Parkson Holdings | 315,418 | 553 |
3 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Petronas Dagangan | 36,412 | $ | 225 | |||||
Pharmaniaga | 1,277 | — | ||||||
Public Bank | 276,700 | 1,232 | ||||||
Telekom Malaysia | 263,576 | 458 | ||||||
Tenaga Nasional | 462,325 | 970 | ||||||
Top Glove | 1,023,028 | 1,503 | ||||||
Tradewinds Malaysia | 18,350 | 57 | ||||||
UEM Land Holdings* | 1,694,400 | 1,239 | ||||||
UMW Holdings | 80,044 | 191 | ||||||
|
| |||||||
16,007 | ||||||||
|
| |||||||
Mexico — 4.0% | ||||||||
Alfa, Cl A | 117,915 | 1,695 | ||||||
America Movil, Ser L | 1,110,042 | 1,379 | ||||||
America Movil ADR, Ser L | 109,355 | 2,715 | ||||||
Cemex ADR* | 266,458 | 2,068 | ||||||
Consorcio ARA | 781,500 | 262 | ||||||
Desarrolladora Homex ADR* | 89,283 | 1,675 | ||||||
Empresas ICA ADR* | 86,480 | 657 | ||||||
Fomento Economico Mexicano ADR | 41,662 | 3,428 | ||||||
Genomma Lab Internacional, | 1,252,030 | 2,287 | ||||||
GEO* | 2,063,430 | 3,217 | ||||||
Gruma, Cl B* | 233,286 | 621 | ||||||
Grupo Bimbo, Ser A | 357,006 | 832 | ||||||
Grupo Financiero Banorte, | 992,407 | 4,406 | ||||||
Grupo Herdez | 31,815 | 66 | ||||||
Grupo Mexico, Ser B | 565,186 | 1,782 | ||||||
Grupo Modelo | 259,600 | 1,818 | ||||||
Grupo Televisa ADR | 142,925 | 3,013 | ||||||
Industrias, Cl B* | 44,233 | 212 | ||||||
Kimberly-Clark de Mexico, | 843,600 | 1,883 | ||||||
Wal-Mart de Mexico, Ser V | 389,735 | 1,306 | ||||||
|
| |||||||
35,322 | ||||||||
|
| |||||||
Netherlands — 0.3% | ||||||||
VimpelCom ADR | 107,710 | 1,202 | ||||||
Yandex, Cl A* | 44,100 | 1,185 | ||||||
|
| |||||||
2,387 | ||||||||
|
| |||||||
Peru — 0.4% | ||||||||
BBVA Banco Continental | 74,908 | 191 | ||||||
Cia de Minas Buenaventura ADR | 30,700 | 1,238 | ||||||
Credicorp | 15,600 | 2,056 | ||||||
Intergroup Financial Services* | 8,266 | 273 | ||||||
Sociedad Minera Cerro Verde* | 4,469 | 188 | ||||||
|
| |||||||
3,946 | ||||||||
|
| |||||||
Philippines — 0.8% | ||||||||
Alliance Global Group | 2,929,700 | 860 | ||||||
BDO Unibank | 1,146,650 | 1,768 | ||||||
Energy Development | 5,179,928 | 724 | ||||||
International Container Terminal Services | 1,132,554 | 1,728 | ||||||
Nickel Asia | 142,900 | 110 | ||||||
Rizal Commercial Banking | 66,500 | 65 | ||||||
Security Bank | 70,270 | 234 | ||||||
SM Investments | 102,164 | 1,570 | ||||||
Universal Robina | 281,834 | 413 | ||||||
|
| |||||||
7,472 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Poland — 0.7% | ||||||||
Asseco Poland | 43,759 | $ | 700 | |||||
Bank Pekao | 11,410 | 567 | ||||||
Jastrzebska Spolka Weglowa* | 11,100 | 336 | ||||||
KGHM Polska Miedz | 27,069 | 1,242 | ||||||
Polish Oil & Gas | 454,630 | 589 | ||||||
Polski Koncern Naftowy Orlen | 182,942 | 2,191 | ||||||
Powszechny Zaklad Ubezpieczen | 8,676 | 904 | ||||||
|
| |||||||
6,529 | ||||||||
|
| |||||||
Russia — 7.2% | ||||||||
Alliance Oil* | 196,891 | 2,166 | ||||||
Gazprom ADR | 870,145 | 10,764 | ||||||
Globaltrans Investment GDR(C) | 197,866 | 3,381 | ||||||
Lukoil ADR | 136,271 | 8,284 | ||||||
Magnit GDR(B) | 147,305 | 4,293 | ||||||
Mail.ru Group GDR* | 58,425 | 2,305 | ||||||
MMC Norilsk Nickel ADR | 87,402 | 1,599 | ||||||
Mobile Telesystems ADR | 169,839 | 3,115 | ||||||
NovaTek GDR | 9,205 | 1,247 | ||||||
Pharmstandard GDR* | 64,174 | 1,138 | ||||||
Rosneft Oil GDR | 471,845 | 3,342 | ||||||
Sberbank of Russia ADR | 944,448 | 12,453 | ||||||
Severstal GDR | 44,040 | 587 | ||||||
Surgutneftegas ADR | 36,014 | 353 | ||||||
Tatneft ADR | 8,446 | 345 | ||||||
TMK GDR | 144,519 | 1,937 | ||||||
Uralkali GDR | 45,443 | 1,714 | ||||||
VTB Bank GDR | 823,986 | 3,716 | ||||||
X5 Retail Group GDR* | 49,972 | 1,146 | ||||||
|
| |||||||
63,885 | ||||||||
|
| |||||||
Singapore — 0.4% | ||||||||
China Yuchai International | 36,608 | 581 | ||||||
Golden Agri-Resources (SGD) | 2,430,000 | 1,517 | ||||||
Yangzijiang Shipbuilding Holdings | 915,801 | 969 | ||||||
|
| |||||||
3,067 | ||||||||
|
| |||||||
South Africa — 6.2% | ||||||||
ABSA Group | 181,321 | 3,686 | ||||||
African Bank Investments | 329,693 | 1,712 | ||||||
Anglo American Platinum(A) | 37,298 | 2,595 | ||||||
ArcelorMittal South Africa | 137,396 | 1,002 | ||||||
AVI | 62,866 | 380 | ||||||
Barloworld | 360,239 | 4,693 | ||||||
Bidvest Group | 46,729 | 1,095 | ||||||
Coronation Fund Managers | 29,871 | 111 | ||||||
Exxaro Resources | 206,483 | 5,331 | ||||||
FirstRand | 295,681 | 913 | ||||||
Gold Fields | 81,483 | 1,115 | ||||||
Impala Platinum Holdings | 45,655 | 899 | ||||||
Imperial Holdings | 62,631 | 1,265 | ||||||
Investec | 146,646 | 901 | ||||||
JD Group | 118,930 | 767 | ||||||
Kumba Iron Ore(A) | 16,328 | 1,119 | ||||||
Liberty Holdings | 81,851 | 965 | ||||||
Life Healthcare Group Holdings | 506,548 | 1,650 | ||||||
Mondi | 71,180 | 668 | ||||||
MTN Group | 201,445 | 3,544 | ||||||
Murray & Roberts Holdings(A) | 270,490 | 990 | ||||||
Naspers, Cl N(B) | 47,908 | 2,691 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 4 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
Emerging Markets Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Netcare | 200,833 | $ | 372 | |||||
RMB Holdings | 169,276 | 690 | ||||||
Sanlam | 249,428 | 1,078 | ||||||
Sappi | 89,552 | 331 | ||||||
Sasol ADR | 21,275 | 1,035 | ||||||
Sasol | 32,883 | 1,588 | ||||||
Shoprite Holdings | 96,070 | 1,719 | ||||||
Standard Bank Group | 484,944 | 7,037 | ||||||
Telkom | 144,940 | 453 | ||||||
Vodacom Group | 122,146 | 1,721 | ||||||
Woolworths Holdings | 216,466 | 1,358 | ||||||
|
| |||||||
55,474 | ||||||||
|
| |||||||
South Korea — 12.7% | ||||||||
BS Financial Group | 112,308 | 1,318 | ||||||
CJ | 12,687 | 954 | ||||||
CrucialTec* | 748 | 8 | ||||||
Daelim Industrial | 6,417 | 694 | ||||||
Daesang | 26,730 | 370 | ||||||
Daishin Securities | 38,332 | 376 | ||||||
Daou Technology | 21,897 | 254 | ||||||
Daum Communications | 17,952 | 1,887 | ||||||
Doosan | 5,165 | 688 | ||||||
Grand Korea Leisure | 42,280 | 815 | ||||||
GS Home Shopping | 3,689 | 366 | ||||||
Halla Climate Control | 19,303 | 376 | ||||||
Hana Financial Group | 19,620 | 739 | ||||||
Hite Jinro | 48,619 | 1,105 | ||||||
Hynix Semiconductor | 44,340 | 1,145 | ||||||
Hyundai Department Store | 558 | 86 | ||||||
Hyundai Development | 40,930 | 898 | ||||||
Hyundai Hysco | 25,224 | 893 | ||||||
Hyundai Mobis | 7,032 | 1,778 | ||||||
Hyundai Motor | 24,602 | 5,059 | ||||||
Industrial Bank of Korea | 51,700 | 627 | ||||||
KB Financial Group | 57,694 | 2,105 | ||||||
KB Financial Group ADR | 70,665 | 2,593 | ||||||
KCC | 8,471 | 2,437 | ||||||
Kia Motors | 16,539 | 1,082 | ||||||
Korea Electric Power* | 69,570 | 1,375 | ||||||
Korea Exchange Bank | 256,280 | 1,959 | ||||||
Korea Zinc | 3,857 | 1,333 | ||||||
KP Chemical | 20,526 | 280 | ||||||
KT ADR | 162,820 | 2,229 | ||||||
KT | 8,060 | 224 | ||||||
KT&G | 34,225 | 2,429 | ||||||
LG | 15,300 | 878 | ||||||
LG Chem | 10,224 | 3,339 | ||||||
LG Display ADR | 80,040 | 942 | ||||||
LG Electronics | 32,509 | 2,376 | ||||||
LG Fashion | 29,590 | 1,043 | ||||||
LG Uplus | 6,251 | 38 | ||||||
Lotte Chilsung Beverage | 1,434 | 1,539 | ||||||
Lotte Confectionery | 1,090 | 1,596 | ||||||
Mando | 14,674 | 2,156 | ||||||
Mirae Asset Securities* | 27,440 | 960 | ||||||
Nong Shim | 6,755 | 1,356 | ||||||
POSCO | 3,851 | 1,292 | ||||||
POSCO ADR | 970 | 81 | ||||||
Samsung Electronics | 28,670 | 32,262 | ||||||
Samsung Engineering | 7,278 | 1,554 |
Description | Shares | Market Value ($ Thousands) | ||||||
Samsung Fire & Marine Insurance* | 5,309 | $ | 1,003 | |||||
Samsung Life Insurance | 26,059 | 2,277 | ||||||
Shinhan Financial Group | 109,415 | 4,225 | ||||||
Shinsegae | 5,549 | 1,170 | ||||||
Silicon Works | 89,213 | 2,673 | ||||||
SK Chemicals | 14,951 | 844 | ||||||
SK Holdings | 7,790 | 1,014 | ||||||
SK Innovation | 4,137 | 604 | ||||||
SK Telecom ADR | 300,599 | 4,181 | ||||||
SK Telecom | 8,626 | 1,062 | ||||||
Sung Kwang Bend | 46,531 | 951 | ||||||
Taekwang Industrial | 109 | 112 | ||||||
Tong Yang Life Insurance* | 25,948 | 329 | ||||||
Woongjin Coway | 51,830 | 1,720 | ||||||
Youngone | 4,540 | 87 | ||||||
Yuhan | 8,230 | 857 | ||||||
|
| |||||||
113,003 | ||||||||
|
| |||||||
Taiwan — 8.4% | ||||||||
Acer | 539,000 | 715 | ||||||
Asustek Computer | 147,740 | 1,394 | ||||||
AU Optronics ADR | 144,290 | 658 | ||||||
AU Optronics | 856,000 | 396 | ||||||
Catcher Technology | 105,000 | 742 | ||||||
Chicony Electronics | 146,317 | 288 | ||||||
China Steel Chemical* | 154,800 | 734 | ||||||
Chinatrust Financial Holding | 743,311 | 467 | ||||||
Chunghwa Telecom ADR | 47,140 | 1,450 | ||||||
Chunghwa Telecom | 451,056 | 1,389 | ||||||
Compal Electronics | 261,000 | 294 | ||||||
E Ink Holdings | 590,963 | 773 | ||||||
Epistar | 634,000 | 1,617 | ||||||
Evergreen Marine Taiwan | 2,944,708 | 2,025 | ||||||
Farglory Land Development | 461,834 | 929 | ||||||
Formosa Chemicals & Fibre | 159,321 | 465 | ||||||
Formosa Taffeta | 88,000 | 85 | ||||||
Fubon Financial Holding | 560,991 | 632 | ||||||
GeoVision* | 159,000 | 749 | ||||||
Highwealth Construction | 216,952 | 376 | ||||||
Hon Hai Precision Industry | 2,567,384 | 9,960 | ||||||
HTC | 43,000 | 870 | ||||||
Huaku Development | 161,742 | 410 | ||||||
Hung Poo Real Estate Development | 697,727 | 742 | ||||||
KGI Securities | 862,631 | 364 | ||||||
Lite-On Technology | 886,745 | 1,073 | ||||||
Merida Industry | 624,000 | 2,004 | ||||||
Nan Ya Printed Circuit Board | 549,049 | 1,202 | ||||||
Novatek Microelectronics | 248,000 | 755 | ||||||
Pegatron | 929,738 | 1,449 | ||||||
Phison Electronics | 290,000 | 2,481 | ||||||
Pou Chen | 992,000 | 862 | ||||||
Powertech Technology | 354,500 | 691 | ||||||
President Chain Store | 117,652 | 654 | ||||||
Radiant Opto-Electronics | 517,920 | 2,299 | ||||||
Siliconware Precision Industries | 707,000 | 858 | ||||||
Siliconware Precision Industries ADR | 9,590 | 58 | ||||||
Silitech Technology | 74,885 | 172 | ||||||
Simplo Technology | 223,268 | 1,683 |
5 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
SinoPac Financial Holdings | 3,757,006 | $ | 1,356 | |||||
Soft-World International | 130,027 | 292 | ||||||
Standard Foods | 269,000 | 916 | ||||||
Synnex Technology International | 1,338,783 | 3,325 | ||||||
Taishin Financial Holding | 2,231,220 | 892 | ||||||
Taiwan Semiconductor Manufacturing | 1,592,027 | 4,580 | ||||||
Taiwan Semiconductor Manufacturing ADR | 389,477 | 5,951 | ||||||
Tatung* | 1,036,428 | 302 | ||||||
Teco Electric and Machinery | 985,000 | 679 | ||||||
Transcend Information | 230,640 | 666 | ||||||
Tripod Technology | 1,079,802 | 3,622 | ||||||
TSRC | 203,300 | 520 | ||||||
TXC | 453,424 | 714 | ||||||
U-Ming Marine Transport | 369,000 | 636 | ||||||
United Microelectronics ADR | 741,010 | 1,815 | ||||||
United Microelectronics | 4,254,293 | 2,083 | ||||||
Yageo | 786,105 | 236 | ||||||
Young Fast Optoelectronics | 224,723 | 553 | ||||||
Yuanta Financial Holding | 1,845,399 | 960 | ||||||
|
| |||||||
74,863 | ||||||||
|
| |||||||
Thailand — 2.4% |
| |||||||
Airports of Thailand | 986,700 | 1,863 | ||||||
Bangkok Bank | 441,700 | 2,649 | ||||||
Bangkok Bank Foreign | 337,600 | 2,123 | ||||||
Bangkok Bank NVDR | 439,595 | 2,636 | ||||||
Big C Supercenter | 53,100 | 282 | ||||||
CP ALL | 303,491 | 644 | ||||||
CP Seven Eleven PCL | 385,588 | 819 | ||||||
Kasikornbank | 53,100 | 269 | ||||||
Kasikornbank NVDR | 392,800 | 1,961 | ||||||
Kiatnakin Bank | 269,344 | 323 | ||||||
Krung Thai Bank | 535,700 | 304 | ||||||
Krung Thai Bank NVDR | 1,031,670 | 585 | ||||||
Land and Houses | 3,276,100 | 733 | ||||||
PTT | 166,900 | 1,915 | ||||||
PTT Exploration & Production | 269,739 | 1,526 | ||||||
Siam Cement NVDR | 90,700 | 1,044 | ||||||
Siam Commercial Bank | 286,100 | 1,331 | ||||||
Siam Makro | 25,143 | 292 | ||||||
|
| |||||||
21,299 | ||||||||
|
| |||||||
Turkey — 2.0% | ||||||||
Aksa Akrilik Kimya Sanayii | 325,609 | 866 | ||||||
Arcelik | 64,613 | 288 | ||||||
Aselsan Elektronik Sanayi Ve Ticaret | 227,056 | 1,350 | ||||||
Asya Katilim Bankasi* | 533,610 | 586 | ||||||
Bizim Toptan Satis Magazalari | 98,024 | 1,339 | ||||||
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret | 158,566 | 186 | ||||||
Ford Otomotiv Sanayi | 50,585 | 477 | ||||||
Koza Altin Isletmeleri | 62,598 | 1,187 | ||||||
Tofas Turk Otomobil Fabrikasi | 113,416 | 485 | ||||||
Tupras Turkiye Petrol Rafinerileri | 40,478 | 1,033 | ||||||
Turkcell Iletisim Hizmetleri | 132,560 | 678 | ||||||
Turkcell Iletisim Hizmetleri ADR | 79,135 | 997 | ||||||
Turkiye Garanti Bankasi | 863,124 | 3,418 | ||||||
Turkiye Is Bankasi, Cl C | 824,314 | 2,030 |
Description | Shares | Market Value ($ Thousands) | ||||||
Turkiye Sise ve Cam Fabrikalari | 895,085 | $ | 1,702 | |||||
Ulker Biskuvi Sanayi | 49,776 | 157 | ||||||
Yapi ve Kredi Bankasi | 660,891 | 1,334 | ||||||
|
| |||||||
18,113 | ||||||||
|
| |||||||
United Arab Emirates — 0.2% |
| |||||||
Dragon Oil | 196,833 | 1,962 | ||||||
United Kingdom — 1.2% |
| |||||||
Afren* | 876,950 | 1,869 | ||||||
African Barrick Gold | 95,430 | 586 | ||||||
Anglo American ADR | 56,840 | 1,069 | ||||||
BG Group(B) | 66,336 | 1,535 | ||||||
Hikma Pharmaceuticals | 92,676 | 1,005 | ||||||
JKX Oil & Gas | 118,340 | 303 | ||||||
Petrofac | 26,200 | 728 | ||||||
Tullow Oil(B) | 134,559 | 3,283 | ||||||
|
| |||||||
10,378 | ||||||||
|
| |||||||
United States — 1.0% |
| |||||||
Avon Products | 230,900 | 4,470 | ||||||
NII Holdings* | 66,508 | 1,218 | ||||||
Samsonite International* | 212,700 | 387 | ||||||
Yahoo!* | 197,100 | 3,000 | ||||||
|
| |||||||
9,075 | ||||||||
|
| |||||||
Total Common Stock |
| 804,606 | ||||||
|
| |||||||
PREFERRED STOCK — 4.6% |
| |||||||
Brazil — 4.6% |
| |||||||
Banco do Estado do Rio Grande do Sul | 166,665 | 1,801 | ||||||
Bradespar, Cl Preference | 35,939 | 683 | ||||||
Brasil Telecom | 31,977 | 170 | ||||||
Centrais Eletricas Brasileiras ADR, Cl B | 20,387 | 262 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar, Cl Preference | 4 | — | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | 70,712 | 3,367 | ||||||
Cia de Bebidas das Americas ADR | 89,843 | 3,712 | ||||||
Cia de Tecidos do Norte de Minas - Coteminas | 107,032 | 249 | ||||||
Cia Paranaense de Energia | 1,400 | 33 | ||||||
Cia Vale do Rio Doce ADR, Cl B | 1,393 | 32 | ||||||
Eletropaulo Metropolitana Eletricidade de Sao Paulo, Cl B | 44,532 | 936 | ||||||
Gerdau | 16,500 | 158 | ||||||
Itau Unibanco Holding | 122,827 | 2,350 | ||||||
Itau Unibanco Holding ADR | 165,712 | 3,180 | ||||||
Klabin | 247,219 | 1,145 | ||||||
Marcopolo | 393,600 | 2,002 | ||||||
Metalurgica Gerdau, Cl A | 83,980 | 1,028 | ||||||
Petroleo Brasileiro ADR, Cl A | 324,002 | 8,281 | ||||||
Petroleo Brasileiro, Cl Preference | 201,116 | 2,563 | ||||||
Randon Participacoes | 198,947 | 1,284 | ||||||
Suzano Papel e Celulose | 54,048 | 231 | ||||||
Vale, Cl A | 126,004 | 2,853 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 6 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
Emerging Markets Equity Fund
March 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Vale ADR, Cl B | 199,975 | $ | 4,537 | |||||
|
| |||||||
Total Preferred Stock | 40,857 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 1.6% |
| |||||||
Hong Kong — 0.1% |
| |||||||
iShares FTSE A50 China Index Fund | 622,900 | 865 | ||||||
|
| |||||||
United States — 1.5% |
| |||||||
iShares MSCI Emerging Markets Index Fund | 319,096 | 13,702 | ||||||
|
| |||||||
Total Exchange Traded Funds | 14,567 | |||||||
|
| |||||||
Number Of Rights | ||||||||
RIGHT — 0.0% | ||||||||
South Africa — 0.0% |
| |||||||
Murray & Roberts, Expires 04/20/12(A)* | 108 | 142 | ||||||
|
| |||||||
Total Right | 142 | |||||||
|
| |||||||
DEBENTURE BOND — 0.0% |
| |||||||
Brazil — 0.0% |
| |||||||
Vale, Ser 1997 0.000%, 09/30/49(F) | 8 | — | ||||||
|
| |||||||
Total Debenture Bond |
| — | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.5% |
| |||||||
United States — 0.5% |
| |||||||
SEI Liquidity Fund, L.P., 0.180%** † (G) | 5,318,175 | 4,489 | ||||||
|
| |||||||
Total Affiliated Partnership | 4,489 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.080% ** † | 7,029 | 7,029 | ||||||
|
| |||||||
Total Cash Equivalent | 7,029 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TIME DEPOSITS — 1.8% |
| |||||||
United States — 1.8% |
| |||||||
Brown Brothers Harriman | ||||||||
4.500%, 04/02/12 | ZAR | 2,148 | 280 | |||||
0.056%, 04/02/12 | GBP | 5 | 8 | |||||
0.030%, 04/02/12 | 15,823 | 15,823 | ||||||
0.010%, 04/02/12 | SGD | 2 | 2 | |||||
0.005%, 04/02/12 | HKD | 248 | 32 | |||||
|
| |||||||
Total Time Deposits |
| 16,145 | ||||||
|
| |||||||
Total Investments — 99.6% |
| $ | 887,835 | |||||
|
|
Percentages are based on a Net Assets of $891,587($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (See Note 4). |
(A) | This security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $5,079 ($ Thousands) (See Note 8). |
(B) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $12,937 ($ Thousands) and represented 1.5% of Net Assets. |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(D) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $2,005 ($ Thousands) and represented 0.2% of Net Assets. |
(E) | Real Estate Investment Trust. |
(F) | Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $4,489 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
GBP — British Pound Sterling
GDR — Global Depositary Receipt
HKD — Hong Kong Dollar
L.P. — Limited Partnership
MSCI — Morgan Stanley Capital International
NVDR — Non-Voting Depositary Receipt
Ser — Series
SGD — Singapore Dollar
USD — U.S. Dollar
ZAR — South African Rand
7 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 803,836 | $ | — | $ | 770 | $ | 804,606 | ||||||||
Preferred Stock | 40,857 | — | — | 40,857 | ||||||||||||
Exchange Traded Funds | 14,567 | — | — | 14,567 | ||||||||||||
Rights | 142 | — | — | 142 | ||||||||||||
Debenture Bond | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 4,489 | — | 4,489 | ||||||||||||
Cash Equivalent | 7,029 | — | — | 7,029 | ||||||||||||
Time Deposits | — | 16,145 | — | 16,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 866,431 | $ | 20,634 | $ | 770 | $ | 887,835 | ||||||||
|
|
|
|
|
|
|
|
Investments in Securities | ||||
Beginning balance as of October 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer into Level 3 | 770 | |||
Net transfer out of Level 3 | — | |||
|
| |||
Ending balance as of March 31, 2012 | $ | 770 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | — | ||
|
|
For the six months ended March 31, 2012, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (See Note 2).
For the period ended March 31, 2012, there were transfers between Level 2 and Level 3 assets and liabilities. The primary reason for changes in the classifications between Level 2 and Level 3 occurs when trading of such securities are halted on the primary exchange on which they are traded.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 8 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
GLOBAL BONDS — 90.8% |
| |||||||
Australia — 2.0% | ||||||||
Australia & New Zealand Banking Group MTN | ||||||||
3.625%, 07/18/22 | 300 | $ | 413 | |||||
Commonwealth Bank of Australia MTN | ||||||||
2.625%, 01/12/17 | 470 | 643 | ||||||
Fairfax Media Group | ||||||||
6.250%, 06/15/12 | 250 | 334 | ||||||
Government of Australia, Ser | ||||||||
122 5.250%, 03/15/19 | 1,155 | 1,302 | ||||||
Government of Australia, Ser 20CI | ||||||||
4.000%, 08/20/20 | 200 | 384 | ||||||
Government of Australia, Ser 25CI | ||||||||
3.230%, 09/20/25 | 640 | 856 | ||||||
National Australia Bank MTN | ||||||||
2.625%, 01/13/17 | 410 | 559 | ||||||
New South Wales Treasury, | ||||||||
5.250%, 05/01/13 | 980 | 1,030 | ||||||
Optus Finance Pty MTN | ||||||||
3.500%, 09/15/20 | EUR | 200 | 277 | |||||
Queensland Treasury, Ser 17 | ||||||||
6.000%, 09/14/17 | 780 | 870 | ||||||
Suncorp-Metway MTN | ||||||||
4.000%, 01/16/14 | GBP | 550 | 923 | |||||
Westpac Banking MTN | ||||||||
5.875%, 04/29/18(A) | 240 | 390 | ||||||
4.250%, 09/22/16 | EUR | 350 | 501 | |||||
0.754%, 09/10/14(A)(B) | 750 | 754 | ||||||
WT Finance | ||||||||
3.625%, 06/27/12 | EUR | 450 | 601 | |||||
|
| |||||||
9,837 | ||||||||
|
| |||||||
Austria — 0.5% | ||||||||
Republic of Austria | ||||||||
3.900%, 07/15/20 | 75 | 110 | ||||||
3.200%, 02/20/17 | 1,405 | 2,002 | ||||||
Republic of Austria, Ser 97-6 | ||||||||
6.250%, 07/15/27 | 225 | 404 | ||||||
|
| |||||||
2,516 | ||||||||
|
| |||||||
Belgium — 0.9% | ||||||||
Anheuser-Busch InBev Worldwide MTN | ||||||||
8.625%, 01/30/17 | 200 | 346 | ||||||
Fortis Bank | ||||||||
4.625%, 10/24/49(A) | 200 | 207 | ||||||
Kingdom of Belgium, Ser 44 | ||||||||
5.000%, 03/28/35 | 350 | 542 | ||||||
Kingdom of Belgium, Ser 47 | ||||||||
3.250%, 09/28/16 | 1,325 | 1,841 | ||||||
Kingdom of Belgium, Ser 48 | ||||||||
4.000%, 03/28/22 | 465 | 649 | ||||||
Kingdom of Belgium, Ser 49 | ||||||||
4.000%, 03/28/17 | 230 | 329 | ||||||
Kingdom of Belgium, Ser 58 | ||||||||
3.750%, 09/28/20 | 231 | 320 | ||||||
|
| |||||||
4,234 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Brazil — 0.2% | ||||||||
Centrais Eletricas Brasileiras | ||||||||
6.875%, 07/30/19 | USD | 150 | $ | 177 | ||||
Petrobras International Finance | ||||||||
5.375%, 01/27/21 | 400 | 431 | ||||||
Vale Overseas | ||||||||
4.375%, 01/11/22 | 314 | 315 | ||||||
|
| |||||||
923 | ||||||||
|
| |||||||
Canada — 4.7% | ||||||||
Bank of Montreal | ||||||||
2.625%, 01/25/16(B) | 250 | 262 | ||||||
Bell Canada MTN | ||||||||
5.000%, 02/15/17 | 270 | 297 | ||||||
CDP Financial | ||||||||
4.400%, 11/25/19(B) | USD | 850 | 918 | |||||
Government of Canada | ||||||||
5.750%, 06/01/33 | 1,300 | 1,954 | ||||||
5.000%, 06/01/37 | 1,300 | 1,849 | ||||||
4.250%, 06/01/18 | 715 | 820 | ||||||
4.000%, 06/01/17 | 3,020 | 3,375 | ||||||
3.500%, 06/01/20 | 5,280 | 5,871 | ||||||
3.250%, 06/01/21 | 2,230 | 2,441 | ||||||
2.250%, 08/01/14 | 1,000 | 1,023 | ||||||
2.000%, 06/01/16 | 1,425 | 1,454 | ||||||
Nexen | ||||||||
6.200%, 07/30/19 | USD | 275 | 319 | |||||
Province of British Columbia | ||||||||
3.250%, 12/18/21 | 1,150 | 1,175 | ||||||
Royal Bank of Canada, Ser 2 MTN | ||||||||
4.625%, 01/22/18 | EUR | 252 | 382 | |||||
Toronto-Dominion Bank | ||||||||
2.200%, 07/29/15(B) | USD | 540 | 558 | |||||
Xstrata Finance Canada MTN | ||||||||
5.250%, 06/13/17 | 150 | 221 | ||||||
|
| |||||||
22,919 | ||||||||
|
| |||||||
Czech Republic — 0.4% | ||||||||
Government of Czech Republic | ||||||||
3.850%, 09/29/21 | 31,550 | 1,731 | ||||||
Government of Czech Republic, Ser 51 | ||||||||
4.000%, 04/11/17 | 8,050 | 461 | ||||||
|
| |||||||
2,192 | ||||||||
|
| |||||||
Denmark — 1.8% | ||||||||
Danske Bank MTN | ||||||||
5.375%, 09/29/21(A) | EUR | 170 | 228 | |||||
3.500%, 04/16/18 | EUR | 155 | 219 | |||||
DONG Energy MTN | ||||||||
6.500%, 05/07/19 | 245 | 403 | ||||||
FIH Erhvervsbank MTN | ||||||||
2.125%, 03/21/13 | 1,000 | 1,348 | ||||||
2.000%, 06/12/13(B) | USD | 625 | 635 | |||||
Kingdom of Denmark | ||||||||
4.500%, 11/15/39 | 1,300 | 329 | ||||||
4.000%, 11/15/17 | 7,315 | 1,520 | ||||||
4.000%, 11/15/12 | 5,416 | 992 | ||||||
3.125%, 03/17/14 | EUR | 500 | 698 | |||||
3.000%, 11/15/21 | 8,650 | 1,709 |
1 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
TDC MTN | ||||||||
3.750%, 03/02/22 | 400 | $ | 543 | |||||
8,624 | ||||||||
Finland — 0.7% | ||||||||
Government of Finland | ||||||||
4.375%, 07/04/19 | 225 | 349 | ||||||
3.875%, 09/15/17 | 350 | 525 | ||||||
3.500%, 04/15/21 | 1,290 | 1,892 | ||||||
Nordea Bank Finland MTN | ||||||||
2.375%, 07/17/17 | 360 | 490 | ||||||
Stora Enso MTN | ||||||||
5.500%, 03/07/19 | 100 | 132 | ||||||
|
| |||||||
3,388 | ||||||||
|
| |||||||
France — 8.2% | ||||||||
Arkema | ||||||||
4.000%, 10/25/17 | 200 | 278 | ||||||
AXA MTN | ||||||||
5.250%, 04/16/40(A) | 600 | 684 | ||||||
BNP Paribas MTN | ||||||||
5.000%, 01/15/21 | 299 | 302 | ||||||
Caisse de Refinancement de l’Habitat | ||||||||
4.500%, 10/25/17 | 160 | 239 | ||||||
4.000%, 04/25/18 | 160 | 232 | ||||||
Casino Guichard Perrachon MTN | ||||||||
3.994%, 03/09/20 | 200 | 267 | ||||||
Cie de Financement Foncier MTN | ||||||||
4.625%, 09/23/17 | 95 | 140 | ||||||
4.250%, 01/19/22 | 300 | 426 | ||||||
4.125%, 10/25/17 | 220 | 317 | ||||||
2.500%, 09/16/15(B) | USD 800 | 806 | ||||||
Cie de St-Gobain MTN | ||||||||
6.000%, 05/20/13 | 50 | 70 | ||||||
5.625%, 11/15/24 | 200 | 343 | ||||||
Credit Agricole Home Loan SFH MTN | ||||||||
3.500%, 06/14/18 | 200 | 282 | ||||||
3.500%, 07/21/14 | 200 | 279 | ||||||
2.875%, 09/09/16 | 100 | 138 | ||||||
Credit Logement | ||||||||
2.573%, 03/29/49(A)(C) | 350 | 289 | ||||||
2.026%, 12/15/49(A)(C) | 150 | 123 | ||||||
Credit Mutuel - CIC Home Loan SFH MTN | ||||||||
4.125%, 01/19/24 | 300 | 430 | ||||||
Dexia Credit Local | ||||||||
2.625%, 01/21/14 | 300 | 400 | ||||||
1.033%, 04/29/14(A) | 410 | 382 | ||||||
Dexia Municipal Agency | ||||||||
3.750%, 05/18/16 | 225 | 309 | ||||||
EDF | ||||||||
6.500%, 01/26/19(B) | USD 250 | 292 | ||||||
5.500%, 10/17/41 | 100 | 163 | ||||||
5.500%, 10/17/41 | 300 | 479 | ||||||
4.125%, 03/25/27 | 100 | 136 | ||||||
4.000%, 11/12/25 | 150 | 205 | ||||||
Eutelsat | ||||||||
5.000%, 01/14/19 | 200 | 297 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Government of France | ||||||||
5.000%, 10/25/16 | 1,460 | $ | 2,237 | |||||
4.750%, 04/25/35 | 60 | 94 | ||||||
4.750%, 10/25/12 | 2,500 | 3,413 | ||||||
4.500%, 04/25/41 | 1,825 | 2,790 | ||||||
4.000%, 04/25/13 | 400 | 554 | ||||||
3.500%, 04/25/20 | 580 | 823 | ||||||
3.250%, 10/25/21 | 1,990 | 2,746 | ||||||
3.000%, 04/25/22 | 6,250 | 8,390 | ||||||
3.000%, 10/25/15 | 4,175 | 5,892 | ||||||
HSBC France MTN | ||||||||
4.875%, 01/15/14 | 250 | 352 | ||||||
Iliand | ||||||||
4.875%, 06/01/16 | 300 | 416 | ||||||
RCI Banque | ||||||||
3.400%, 04/11/14(B) | USD 250 | 250 | ||||||
Rexel | ||||||||
6.125%, 12/15/19 | 310 | 314 | ||||||
Societe Financement de l’Economie Francaise | ||||||||
3.375%, 05/05/14(B) | USD 905 | 946 | ||||||
Societe Generale MTN | ||||||||
3.875%, 12/17/15 | 100 | 161 | ||||||
Societe Generale SCF MTN | ||||||||
4.000%, 07/07/16 | 650 | 935 | ||||||
Societe Generale SFH MTN | ||||||||
4.000%, 01/18/22 | 200 | 286 | ||||||
Veolia Environnement MTN | ||||||||
4.625%, 03/30/27 | 200 | 266 | ||||||
Vivendi MTN | ||||||||
7.750%, 01/23/14 | 250 | 368 | ||||||
|
| |||||||
39,541 | ||||||||
|
| |||||||
Germany — 12.7% | ||||||||
Bundesobligation, Ser 159 | ||||||||
2.000%, 02/26/16 | 595 | 837 | ||||||
Bundesobligation, Ser 161 | ||||||||
1.250%, 10/14/16 | 200 | 273 | ||||||
Bundesrepublik Deutschland | ||||||||
3.250%, 07/04/21 | 4,075 | 6,136 | ||||||
3.000%, 07/04/20 | 2,235 | 3,316 | ||||||
2.500%, 01/04/21 | 1,532 | 2,184 | ||||||
2.000%, 01/04/22 | 750 | 1,016 | ||||||
Bundesrepublik Deutschland, Ser 00 | ||||||||
5.500%, 01/04/31 | 340 | 652 | ||||||
Bundesrepublik Deutschland, Ser 03 | ||||||||
4.750%, 07/04/34 | 1,275 | 2,332 | ||||||
Bundesrepublik Deutschland, Ser 04 | ||||||||
3.750%, 01/04/15 | 25 | 36 | ||||||
Bundesrepublik Deutschland, Ser 05 | ||||||||
3.500%, 01/04/16 | 2,060 | 3,047 | ||||||
Bundesrepublik Deutschland, Ser 08 | ||||||||
4.750%, 07/04/40 | 1,680 | 3,256 | ||||||
4.250%, 07/04/18 | 125 | 198 | ||||||
Bundesrepublik Deutschland, Ser 09 | ||||||||
3.250%, 01/04/20 | 360 | 543 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 2 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Bundesschatzanweisungen | ||||||||
1.750%, 06/14/13 | 11,400 | $ | 15,469 | |||||
1.000%, 12/14/12 | 2,550 | 3,417 | ||||||
0.250%, 12/13/13 | 6,350 | 8,465 | ||||||
Deutsche Bank MTN | ||||||||
1.929%, 12/15/15(A) | 280 | 412 | ||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
1.750%, 04/15/20 | 1,214 | 1,890 | ||||||
Deutsche Postbank MTN | ||||||||
3.750%, 02/12/14 | 800 | 1,119 | ||||||
Dexia Kommunalbank Deutschland MTN | ||||||||
3.500%, 06/05/14 | 390 | 535 | ||||||
Eurohypo MTN | ||||||||
2.875%, 01/19/16 | 160 | 221 | ||||||
K+S | ||||||||
5.000%, 09/24/14 | 350 | 504 | ||||||
Kreditanstalt fuer Wiederaufbau MTN | ||||||||
4.750%, 08/12/15 | SEK | 6,000 | 970 | |||||
4.375%, 10/11/13 | 1,050 | 1,481 | ||||||
3.875%, 01/21/19 | 575 | 862 | ||||||
3.375%, 08/30/17 | CHF | 370 | 468 | |||||
1.375%, 02/21/17 | 580 | 772 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
3.750%, 02/11/16 | 49 | 71 | ||||||
3.250%, 03/12/14 | 375 | 524 | ||||||
MUNCHENER RUCKERSICHERRUNGS | ||||||||
6.805%, 05/26/42 | 200 | 265 | ||||||
RWE | ||||||||
7.000%, 10/12/72(A) | 194 | 195 | ||||||
|
| |||||||
61,466 | ||||||||
|
| |||||||
Ireland — 0.5% | ||||||||
Bank of Ireland MTN | ||||||||
4.625%, 04/08/13 | 195 | 249 | ||||||
GE Capital UK Funding MTN | ||||||||
4.375%, 07/31/19 | 810 | 1,343 | ||||||
Guaranteed Funding, | ||||||||
2.319%, 02/11/13 | 300 | 404 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/19(B) | USD | 240 | 243 | |||||
|
| |||||||
2,239 | ||||||||
|
| |||||||
Italy — 4.2% | ||||||||
Enel Finance International | ||||||||
3.875%, 10/07/14(B) | USD | 350 | 353 | |||||
Intesa Sanpaolo MTN | ||||||||
6.375%, 11/12/17(A) | GBP | 300 | 455 | |||||
5.000%, 01/27/21 | 176 | 242 | ||||||
4.375%, 08/16/16 | 730 | 1,011 | ||||||
3.750%, 11/23/16 | 400 | 525 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||
6.500%, 11/01/27 | 500 | $ | 718 | |||||
6.000%, 05/01/31 | 500 | 679 | ||||||
5.000%, 09/01/40 | 1,755 | 2,060 | ||||||
4.750%, 09/01/21 | 3,250 | 4,246 | ||||||
4.500%, 03/01/19 | 400 | 531 | ||||||
4.250%, 02/01/15 | 2,325 | 3,173 | ||||||
4.250%, 10/15/12 | 585 | 789 | ||||||
4.000%, 09/01/20 | 1,655 | 2,089 | ||||||
3.750%, 03/01/21 | 480 | 587 | ||||||
3.500%, 06/01/14 | 1,150 | 1,545 | ||||||
Telecom Italia Capital |
| |||||||
6.175%, 06/18/14 | USD | 300 | 316 | |||||
Unicredit MTN |
| |||||||
4.500%, 09/22/19 | 400 | 473 | ||||||
UniCredit MTN |
| |||||||
6.375%, 10/16/18(A) | GBP | 100 | 137 | |||||
4.875%, 03/07/17 | 110 | 146 | ||||||
Unione di Banche Italiane MTN | ||||||||
4.500%, 02/22/16 | 200 | 274 | ||||||
|
| |||||||
20,349 | ||||||||
|
| |||||||
Japan — 21.5% | ||||||||
eAccess |
| |||||||
8.250%, 04/01/18(B)(D) | USD | 116 | 111 | |||||
Government of Japan 10 Year Bond, Ser 256 | ||||||||
1.400%, 12/20/13 | 85,000 | 1,056 | ||||||
Government of Japan 10 Year Bond, Ser 275 | ||||||||
1.400%, 12/20/15 | 626,600 | 7,944 | ||||||
Government of Japan 10 Year Bond, Ser 284 | ||||||||
1.700%, 12/20/16 | 600,000 | 7,769 | ||||||
Government of Japan 10 Year Bond, Ser 288 | ||||||||
1.700%, 09/20/17 | 1,277,950 | 16,635 | ||||||
Government of Japan 10 Year Bond, Ser 298 | ||||||||
1.300%, 12/20/18 | 369,400 | 4,710 | ||||||
Government of Japan 10 Year Bond, Ser 301 | ||||||||
1.500%, 06/20/19 | 235,300 | 3,034 | ||||||
Government of Japan 10 Year Bond, Ser 308 | ||||||||
1.300%, 06/20/20 | 1,016,000 | 12,862 | ||||||
Government of Japan 10 Year Bond, Ser 316 | ||||||||
1.100%, 06/20/21 | 160,000 | 1,976 | ||||||
Government of Japan 20 Year Bond | ||||||||
2.200%, 09/20/28 | 67,150 | 888 | ||||||
2.000%, 03/21/22 | 200,000 | 2,662 | ||||||
1.400%, 12/20/22 | 90,000 | 1,130 | ||||||
Government of Japan 20 Year Bond, Ser 109 | ||||||||
1.900%, 03/20/29 | 39,000 | 494 | ||||||
Government of Japan 20 Year Bond, Ser 112 | ||||||||
2.100%, 06/20/29 | 910,000 | 11,808 |
3 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Government of Japan 20 Year Bond, Ser 48 | ||||||||
2.500%, 12/21/20 | 614,450 | $ | 8,504 | |||||
Government of Japan 20 Year Bond, Ser 99 | ||||||||
2.100%, 12/20/27 | 538,250 | 7,040 | ||||||
Government of Japan 30 Year Bond, Ser 29 | ||||||||
2.400%, 09/20/38 | 103,250 | 1,388 | ||||||
Government of Japan 30 Year Bond, Ser 30 | ||||||||
2.300%, 03/20/39 | 195,900 | 2,584 | ||||||
Government of Japan 30 Year Bond, Ser 33 | ||||||||
2.000%, 09/20/40 | 117,000 | 1,446 | ||||||
Government of Japan 5 Year Bond, Ser 79 | ||||||||
0.700%, 12/20/13 | 447,300 | 5,489 | ||||||
Government of Japan 5 Year Bond, Ser 95 | ||||||||
0.600%, 03/20/16 | 313,950 | 3,868 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.500%, 05/27/14 | EUR | 450 | 638 | |||||
ORIX | ||||||||
4.710%, 04/27/15 | USD | 151 | 159 | |||||
|
| |||||||
104,195 | ||||||||
|
| |||||||
Jersey — 0.2% | ||||||||
BAA Funding | ||||||||
7.125%, 02/14/24 | 150 | 247 | ||||||
4.375%, 01/25/17 | 180 | 253 | ||||||
Gatwick Funding MTN | ||||||||
5.750%, 01/23/37 | 250 | 391 | ||||||
|
| |||||||
891 | ||||||||
|
| |||||||
Lithuania — 0.1% | ||||||||
Lithuania Government International Bond | ||||||||
6.625%, 02/01/22(B) | 390 | 432 | ||||||
|
| |||||||
Malaysia — 0.5% | ||||||||
Government of Malaysia | ||||||||
5.734%, 07/30/19 | 900 | 334 | ||||||
4.262%, 09/15/16 | 4,600 | 1,558 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/19(B) | USD | 410 | 457 | |||||
|
| |||||||
2,349 | ||||||||
|
| |||||||
Mexico — 0.4% | ||||||||
America Movil MTN | ||||||||
4.125%, 10/25/19 | 250 | 361 | ||||||
Mexican Bonos, Ser M10 | ||||||||
7.750%, 12/14/17 | 11,045 | 957 | ||||||
Mexican Bonos, Ser MI10 | ||||||||
9.000%, 12/20/12 | MXP | 10,000 | 805 | |||||
|
| |||||||
2,123 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Netherlands — 4.4% | ||||||||
ABN Amro Bank MTN |
| |||||||
4.875%, 01/16/19 | 200 | $ | 327 | |||||
3.750%, 07/15/14 | 750 | 1,056 | ||||||
Akzo Nobel MTN | ||||||||
8.000%, 04/06/16 | 205 | 390 | ||||||
Allianz Finance II | ||||||||
6.125%, 05/31/22(A) | 1,000 | 1,325 | ||||||
BMW Finance MTN |
| |||||||
3.375%, 12/14/18 | 250 | 409 | ||||||
Boats Investments MTN | ||||||||
11.000%, 03/31/17 | 386 | 377 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank MTN | ||||||||
4.125%, 01/12/21 | 230 | 321 | ||||||
4.000%, 01/11/22 | 2,060 | 2,848 | ||||||
Deutsche Telekom International Finance | ||||||||
6.500%, 04/08/22 | GBP | 90 | 171 | |||||
6.000%, 07/08/19 | 227 | 265 | ||||||
2.250%, 03/06/17(B) | 150 | 149 | ||||||
E.ON International Finance | ||||||||
5.800%, 04/30/18(B) | USD | 150 | 174 | |||||
Government of Netherlands | ||||||||
4.500%, 07/15/17 | 760 | 1,169 | ||||||
4.000%, 07/15/18 | 1,025 | 1,554 | ||||||
4.000%, 01/15/37 | 655 | 1,066 | ||||||
3.500%, 07/15/20 | 485 | 716 | ||||||
3.250%, 07/15/15 | 520 | 747 | ||||||
Hit Finance | ||||||||
5.750%, 03/09/18 | 300 | 420 | ||||||
ING Bank MTN | ||||||||
3.375%, 03/03/14 | 500 | 696 | ||||||
3.000%, 09/30/14 | 125 | 174 | ||||||
1.168%, 05/23/16(A) | USD | 450 | 417 | |||||
ING Verzekeringen | ||||||||
2.692%, 06/21/21(A) | 960 | 1,189 | ||||||
LeasePlan MTN | ||||||||
3.250%, 05/22/14 | 1,040 | 1,450 | ||||||
Linde Finance MTN | ||||||||
3.875%, 06/01/21 | 450 | 659 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/24(B) | 230 | 229 | ||||||
NIBC Bank MTN | ||||||||
3.500%, 04/07/14 | 650 | 909 | ||||||
OI European Group | ||||||||
6.875%, 03/31/17 | 150 | 205 | ||||||
RWE Finance MTN | ||||||||
5.000%, 02/10/15 | 500 | 730 | ||||||
SNS Bank MTN | ||||||||
3.500%, 03/10/14 | 500 | 698 | ||||||
UPCB Finance | ||||||||
7.625%, 01/15/20 | 250 | 351 | ||||||
|
| |||||||
21,191 | ||||||||
|
| |||||||
New Zealand — 0.4% | ||||||||
Government of New Zealand |
| |||||||
6.000%, 12/15/17 | 2,380 | 2,184 | ||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 4 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($Thousands) | ||||||
Norway — 0.7% | ||||||||
DNB Bank MTN | ||||||||
4.750%, 03/08/22 | 120 | $ | 160 | |||||
4.500%, 05/29/14 | EUR | 200 | 283 | |||||
1.197%, 05/30/17(A) | EUR | 425 | 563 | |||||
DNB Boligkreditt MTN | ||||||||
2.750%, 04/20/15 | EUR | 625 | 867 | |||||
2.375%, 04/11/17 | 224 | 304 | ||||||
Eksportfinans MTN | ||||||||
2.375%, 05/25/16 | 200 | 176 | ||||||
2.000%, 09/15/15 | 20 | 18 | ||||||
Government of Norway | ||||||||
4.500%, 05/22/19 | 1,150 | 231 | ||||||
Sparebank 1 Boligkreditt MTN | ||||||||
2.375%, 11/22/16 | 170 | 231 | ||||||
Yara International | ||||||||
7.875%, 06/11/19(B) | 410 | 507 | ||||||
|
| |||||||
3,340 | ||||||||
|
| |||||||
Poland — 0.2% | ||||||||
Republic of Poland | ||||||||
5.125%, 04/21/21 | 135 | 144 | ||||||
5.000%, 03/23/22 | 380 | 400 | ||||||
5.000%, 04/25/16 | 2,100 | 677 | ||||||
Republic of Poland MTN, | ||||||||
4.200%, 04/15/20 | 60 | 82 | ||||||
|
| |||||||
1,303 | ||||||||
|
| |||||||
Qatar — 0.1% | ||||||||
State of Qatar | ||||||||
4.500%, 01/20/22(B) | 390 | 407 | ||||||
|
| |||||||
Russia — 0.3% | ||||||||
Gazprom Via Gaz Capital MTN | ||||||||
6.580%, 10/31/13 | GBP | 150 | 252 | |||||
5.364%, 10/31/14 | 200 | 285 | ||||||
Gazprom Via RBS | ||||||||
9.625%, 03/01/13 | USD | 390 | 415 | |||||
Russian Agricultural Bank Via RSHB Capital | ||||||||
7.750%, 05/29/18(B) | USD | 335 | 380 | |||||
Vimpel Communications Via VIP Finance Ireland | ||||||||
6.493%, 02/02/16(B) | USD | 230 | 237 | |||||
|
| |||||||
1,569 | ||||||||
|
| |||||||
Singapore — 0.4% | ||||||||
DBS Bank | ||||||||
0.718%, 05/16/17(A)(B) | USD | 525 | 523 | |||||
Government of Singapore | ||||||||
4.000%, 09/01/18 | 495 | 467 | ||||||
3.125%, 09/01/22 | 275 | 245 | ||||||
Singapore Treasury Bill | ||||||||
0.290%, 04/12/12(E) | 1,000 | 795 | ||||||
|
| |||||||
2,030 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
South Africa — 1.1% | ||||||||
Republic of South Africa, Ser R203 | ||||||||
8.250%, 09/15/17 | 39,605 | $ | 5,375 | |||||
|
| |||||||
South Korea — 0.5% | ||||||||
Korea National Oil | ||||||||
3.125%, 04/03/17 | 540 | 539 | ||||||
Korea Treasury Bond | ||||||||
4.250%, 06/10/21 | 769,000 | 693 | ||||||
3.500%, 09/10/16 | 1,380,800 | 1,209 | ||||||
|
| |||||||
2,441 | ||||||||
|
| |||||||
Spain — 2.2% | ||||||||
Banco Bilbao Vizcaya Argentaria | ||||||||
4.250%, 03/30/15 | 800 | 1,097 | ||||||
4.125%, 01/13/14 | 300 | 410 | ||||||
Banco Santander | ||||||||
4.625%, 01/20/16 | 300 | 416 | ||||||
3.250%, 02/17/15 | 200 | 267 | ||||||
Bankia | ||||||||
4.250%, 05/25/18 | 150 | 185 | ||||||
CaixaBank | ||||||||
5.125%, 04/27/16 | 200 | 277 | ||||||
Government of Spain | ||||||||
5.850%, 01/31/22 | 710 | 976 | ||||||
5.500%, 04/30/21 | 1,770 | 2,387 | ||||||
4.750%, 07/30/14 | 925 | 1,284 | ||||||
4.700%, 07/30/41 | 995 | 1,075 | ||||||
4.600%, 07/30/19 | 155 | 203 | ||||||
4.000%, 04/30/20 | 150 | 186 | ||||||
3.300%, 10/31/14 | 475 | 642 | ||||||
Instituto de Credito Oficial MTN | ||||||||
2.375%, 03/04/13(B) | USD | 200 | 198 | |||||
Santander Issuances, Ser 24 | ||||||||
7.300%, 07/27/19(A) | GBP | 400 | 579 | |||||
Telefonica Emisiones MTN | ||||||||
5.597%, 03/12/20 | 100 | 156 | ||||||
4.750%, 02/07/17 | 100 | 137 | ||||||
4.375%, 02/02/16 | 375 | 512 | ||||||
|
| |||||||
10,987 | ||||||||
|
| |||||||
Supra-National — 0.9% |
| |||||||
European Investment Bank MTN | ||||||||
2.750%, 09/15/21 | EUR | 1,000 | 1,330 | |||||
European Union MTN | ||||||||
3.250%, 04/04/18 | EUR | 850 | 1,214 | |||||
Inter-American Development Bank | ||||||||
9.750%, 05/15/15 | GBP | 750 | 1,512 | |||||
International Bank for Reconstruction & Development MTN | ||||||||
3.875%, 05/20/19 | EUR | 115 | 173 | |||||
|
| |||||||
4,229 | ||||||||
|
| |||||||
Sweden — 1.9% | ||||||||
Kingdom of Sweden | ||||||||
3.750%, 08/12/17 | 10,560 | 1,763 | ||||||
Kingdom of Sweden, Ser 1041 | ||||||||
6.750%, 05/05/14 | 5,970 | 1,000 |
5 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Kingdom of Sweden, Ser 1049 | ||||||||
4.500%, 08/12/15 | 5,050 | $ | 838 | |||||
Kingdom of Sweden, Ser 1050 | ||||||||
3.000%, 07/12/16 | 3,850 | 615 | ||||||
Kingdom of Sweden, Ser 1052 | ||||||||
4.250%, 03/12/19 | 2,000 | 350 | ||||||
Kommuninvest I Sverige, Ser 1508 MTN | ||||||||
2.750%, 08/12/15 | 5,300 | 807 | ||||||
Nordea Bank MTN | ||||||||
4.500%, 05/12/14 | EUR | 100 | 141 | |||||
Stadshypotek MTN | ||||||||
3.750%, 12/12/13 | EUR | 350 | 488 | |||||
Svenska Handelsbanken | ||||||||
4.375%, 10/20/21 | EUR | 500 | 728 | |||||
2.875%, 04/04/17 | EUR | 250 | 250 | |||||
1.413%, 10/19/17(A) | EUR | 500 | 659 | |||||
Swedbank | ||||||||
7.375%, 06/26/18(A) | EUR | 150 | 207 | |||||
3.375%, 05/27/14 | 500 | 700 | ||||||
Swedbank Hypotek MTN | ||||||||
4.125%, 06/09/14 | 260 | 368 | ||||||
Volvo Treasury | ||||||||
5.950%, 04/01/15(B) | 145 | 155 | ||||||
|
| |||||||
9,069 | ||||||||
|
| |||||||
Switzerland — 1.2% | ||||||||
Credit Suisse NY MTN | ||||||||
5.300%, 08/13/19 | USD | 150 | 165 | |||||
4.375%, 08/05/20 | EUR | 300 | 312 | |||||
Credit Suisse MTN | ||||||||
4.750%, 08/05/19 | EUR | 400 | 590 | |||||
2.875%, 09/24/15 | EUR | 220 | 301 | |||||
Glencore Finance Europe | ||||||||
7.125%, 04/23/15 | EUR | 300 | 445 | |||||
5.250%, 03/22/17 | EUR | 300 | 421 | |||||
4.125%, 04/03/18 | 300 | 401 | ||||||
Government of Switzerland | ||||||||
2.000%, 04/28/21 | 820 | 1,005 | ||||||
Holcim US Finance | ||||||||
6.000%, 12/30/19(B) | USD | 25 | 26 | |||||
Novartis Finance MTN | ||||||||
4.250%, 06/15/16 | EUR | 375 | 558 | |||||
UBS MTN | ||||||||
6.625%, 04/11/18 | GBP | 150 | 274 | |||||
6.375%, 07/20/16 | GBP | 160 | 284 | |||||
6.250%, 09/03/13 | EUR | 200 | 283 | |||||
5.875%, 12/20/17 | USD | 425 | 471 | |||||
4.280%, 04/29/49(A) | 200 | 218 | ||||||
|
| |||||||
5,754 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
IPIC GMTN MTN | ||||||||
6.875%, 03/14/26 | 100 | 170 | ||||||
5.875%, 03/14/21 | 125 | 175 | ||||||
5.500%, 03/01/22(B) | 400 | 411 | ||||||
|
| |||||||
756 | ||||||||
|
| |||||||
United Kingdom — 11.5% | ||||||||
3i Group MTN | ||||||||
5.625%, 03/17/17 | EUR | 150 | 209 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Abbey National Treasury Services MTN | ||||||||
5.500%, 06/18/14 | EUR | 775 | $ | 1,283 | ||||
5.250%, 02/16/29 | EUR | 450 | 757 | |||||
4.250%, 04/12/21 | EUR | 350 | 493 | |||||
3.625%, 09/08/16 | EUR | 300 | 420 | |||||
Anglian Water Services Financing, Ser A5 MTN | ||||||||
6.293%, 07/30/30 | 500 | 967 | ||||||
Aviva MTN | ||||||||
6.875%, 05/22/38(A) | 195 | 241 | ||||||
0.899%, 06/19/17(A) | USD | 475 | 464 | |||||
Bank of Scotland MTN | ||||||||
4.750%, 06/08/22 | EUR | 290 | 427 | |||||
Barclays Bank MTN | ||||||||
6.750%, 05/22/19 | USD | 225 | 259 | |||||
6.750%, 01/16/23(A) | 350 | 532 | ||||||
5.000%, 09/22/16 | USD | 125 | 134 | |||||
4.875%, 12/29/49(A) | EUR | 200 | 172 | |||||
4.500%, 03/04/19(A) | EUR | 125 | 156 | |||||
4.250%, 01/12/22 | 400 | 660 | ||||||
BAT International Finance MTN | ||||||||
7.250%, 03/12/24 | 250 | 515 | ||||||
5.375%, 06/29/17 | EUR | 425 | 653 | |||||
Bishopsgate Asset Finance | ||||||||
4.808%, 08/14/44 | 195 | 279 | ||||||
BP Capital Markets MTN | ||||||||
3.830%, 10/06/17 | 350 | 503 | ||||||
2.994%, 02/18/19 | 300 | 408 | ||||||
British American Tobacco Holdings MTN | ||||||||
4.000%, 07/07/20 | EUR | 100 | 144 | |||||
British Telecommunications | ||||||||
8.750%, 12/07/16 | 165 | 324 | ||||||
5.750%, 12/07/28 | 411 | 715 | ||||||
Centrica MTN | ||||||||
4.375%, 03/13/29 | 300 | 469 | ||||||
Coventry Building Society MTN | ||||||||
4.625%, 04/19/18 | 230 | 396 | ||||||
Eastern Power Networks MTN | ||||||||
6.000%, 11/12/36 | 160 | 296 | ||||||
4.750%, 09/30/21 | 100 | 170 | ||||||
ENW Finance MTN | ||||||||
6.125%, 07/21/21 | 350 | 653 | ||||||
Experian Finance MTN | ||||||||
4.750%, 11/23/18 | 300 | 525 | ||||||
FCE Bank MTN | ||||||||
5.125%, 11/16/15 | 200 | 328 | ||||||
First Hydro Finance | ||||||||
9.000%, 07/31/21 | 220 | 411 | ||||||
HSBC Bank | ||||||||
3.875%, 10/24/18 | USD | 400 | 569 | |||||
3.100%, 05/24/16(B) | USD | 261 | 266 | |||||
HSBC Holdings MTN | ||||||||
9.875%, 04/08/18(A) | 80 | 136 | ||||||
6.500%, 05/20/24 | 250 | 467 | ||||||
4.000%, 03/30/22 | 145 | 144 | ||||||
Imperial Tobacco Finance MTN | ||||||||
8.375%, 02/17/16 | EUR | 75 | 122 | |||||
7.750%, 06/24/19 | 600 | 1,199 | ||||||
7.250%, 09/15/14 | EUR | 150 | 226 | |||||
4.500%, 07/05/18 | 150 | 217 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 6 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Kerling | ||||||||
10.625%, 02/01/17 | 450 | $ | 596 | |||||
Legal & General Group MTN | ||||||||
4.000%, 06/08/25(A) | EUR | 200 | 246 | |||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 | USD | 110 | 118 | |||||
4.375%, 01/12/15 | USD | 220 | 225 | |||||
4.200%, 03/28/17 | 821 | 827 | ||||||
1.307%, 10/12/12(A) | 600 | 799 | ||||||
Marks & Spencer MTN | ||||||||
6.125%, 12/02/19 | 100 | 175 | ||||||
Motability Operations Group MTN | ||||||||
3.750%, 11/29/17 | EUR | 300 | 425 | |||||
National Westminster Bank | ||||||||
6.500%, 09/07/21 | 220 | 312 | ||||||
Nationwide Building Society | ||||||||
3.125%, 10/13/16 | 175 | 243 | ||||||
Network Rail Infrastructure Finance MTN | ||||||||
4.400%, 03/06/16 | CAD | 690 | 739 | |||||
1.250%, 01/22/15 | 490 | 788 | ||||||
Northern Rock | ||||||||
5.625%, 06/22/17(B) | USD | 1,750 | 1,874 | |||||
Northumbrian Water Finance | ||||||||
6.000%, 10/11/17 | 500 | 929 | ||||||
Old Mutual MTN | ||||||||
7.125%, 10/19/16 | 250 | 457 | ||||||
Rexam | ||||||||
6.750%, 06/29/67(A)(C) | 180 | 232 | ||||||
Rolls-Royce | ||||||||
6.750%, 04/30/19 | 100 | 197 | ||||||
Royal Bank of Scotland | ||||||||
6.125%, 01/11/21 | USD | 310 | 332 | |||||
5.750%, 05/21/14 | EUR | 600 | 845 | |||||
5.125%, 01/13/24 | 400 | 684 | ||||||
Severn Trent Utilities Finance | ||||||||
6.250%, 06/07/29 | 350 | 679 | ||||||
SSE MTN | ||||||||
5.750%, 02/05/14 | 245 | 419 | ||||||
Standard Chartered MTN | ||||||||
4.125%, 01/18/19 | 230 | 324 | ||||||
Tesco | ||||||||
6.052%, 10/13/39 | 341 | 594 | ||||||
Thames Water Utilities Cayman Finance MTN | ||||||||
6.125%, 02/04/13 | EUR | 200 | 277 | |||||
United Kingdom Gilt | ||||||||
4.500%, 12/07/42 | 335 | 651 | ||||||
4.250%, 12/07/49 | 25 | 47 | ||||||
4.250%, 12/07/55 | 175 | 334 | ||||||
0.125%, 03/22/29 | 200 | 333 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
United Kingdom Treasury | ||||||||
5.000%, 03/07/25 | 150 | $ | 304 | |||||
4.750%, 12/07/30 | 1,825 | 3,609 | ||||||
4.750%, 12/07/38 | 1,115 | 2,238 | ||||||
4.250%, 09/07/39 | 885 | 1,641 | ||||||
4.250%, 03/07/36 | 550 | 1,019 | ||||||
4.250%, 12/07/40 | 50 | 93 | ||||||
4.000%, 03/07/22 | 1,920 | 3,558 | ||||||
2.500%, 07/26/16 | 320 | 1,762 | ||||||
2.250%, 03/07/14 | 795 | 1,315 | ||||||
2.000%, 01/22/16 | 1,750 | 2,923 | ||||||
1.750%, 01/22/17 | 1,485 | 2,454 | ||||||
United Kingdom Treasury, | ||||||||
5.000%, 09/07/14 | 200 | 355 | ||||||
Virgin Media Secured Finance | ||||||||
7.000%, 01/15/18 | 180 | 308 | ||||||
Wales & West Utilities | ||||||||
6.750%, 12/17/36(A) | 200 | 361 | ||||||
Western Power Distribution South West | ||||||||
5.750%, 03/23/40 | 200 | 350 | ||||||
WPP MTN | ||||||||
6.625%, 05/12/16 | 225 | 348 | ||||||
Yorkshire Power Finance | ||||||||
7.250%, 08/04/28 | 208 | 427 | ||||||
Yorkshire Water Services Bradford Finance | ||||||||
6.375%, 08/19/39 | 100 | 195 | ||||||
|
| |||||||
55,270 | ||||||||
|
| |||||||
United States — 5.5% | ||||||||
Alcoa | ||||||||
5.400%, 04/15/21 | 78 | 81 | ||||||
Altria Group | ||||||||
9.250%, 08/06/19 | 225 | 303 | ||||||
4.750%, 05/05/21 | 180 | 193 | ||||||
American International Group | ||||||||
8.175%, 05/15/58(A) | 240 | 254 | ||||||
6.765%, 11/15/17 | 150 | 260 | ||||||
Amgen | ||||||||
5.500%, 12/07/26 | 200 | 354 | ||||||
3.875%, 11/15/21 | 225 | 230 | ||||||
Anheuser-Busch InBev | ||||||||
5.375%, 01/15/20 | 450 | 529 | ||||||
AT&T | ||||||||
5.875%, 04/28/17 | GBP | 200 | 371 | |||||
4.450%, 05/15/21 | 525 | 580 | ||||||
BA Covered Bond Issuer MTN | ||||||||
4.125%, 04/05/12 | EUR | 3,100 | 4,128 | |||||
Bank of America MTN | ||||||||
5.700%, 01/24/22 | 130 | 138 | ||||||
5.650%, 05/01/18 | 350 | 374 | ||||||
Bank of America, Ser E MTN | ||||||||
5.125%, 09/26/14 | 1,700 | 2,373 | ||||||
Cablevision Systems, Ser B | ||||||||
8.000%, 04/15/12 | 235 | 235 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/20 | 90 | 100 |
7 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Citigroup MTN | ||||||||
5.875%, 01/30/42 | 75 | $ | 78 | |||||
4.500%, 01/14/22 | 110 | 110 | ||||||
4.450%, 01/10/17 | 800 | 838 | ||||||
4.250%, 02/25/30(A) | EUR | 1,400 | 1,491 | |||||
4.000%, 11/26/15 | 230 | 315 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/22 | 340 | 493 | ||||||
General Electric Capital MTN | ||||||||
5.500%, 01/08/20 | 305 | 346 | ||||||
5.300%, 02/11/21 | 205 | 222 | ||||||
4.625%, 01/07/21 | 750 | 800 | ||||||
Goldman Sachs Group | ||||||||
6.375%, 05/02/18 | EUR | 400 | 578 | |||||
5.250%, 07/27/21 | 110 | 109 | ||||||
4.375%, 03/16/17 | EUR | 350 | 469 | |||||
1.408%, 02/04/13(A) | EUR | 450 | 596 | |||||
Hughes Satellite Systems | ||||||||
6.500%, 06/15/19 | 150 | 157 | ||||||
Huntington Ingalls Industries | ||||||||
6.875%, 03/15/18(B) | 54 | 57 | ||||||
Ingersoll-Rand Global Holding | ||||||||
9.500%, 04/15/14 | 213 | 245 | ||||||
International Paper | ||||||||
7.950%, 06/15/18 | 260 | 327 | ||||||
JPMorgan Chase | ||||||||
4.500%, 01/24/22 | 200 | 208 | ||||||
1.667%, 10/12/15(A) | EUR | 350 | 436 | |||||
JPMorgan Chase Bank | ||||||||
4.625%, 05/31/17(A) | EUR | 250 | 311 | |||||
Kraft Foods | ||||||||
7.000%, 08/11/37 | 200 | 253 | ||||||
5.375%, 02/10/20 | 400 | 462 | ||||||
Merrill Lynch MTN | ||||||||
1.980%, 09/14/18(A) | EUR | 375 | 387 | |||||
Metropolitan Life Global Funding I MTN | ||||||||
4.625%, 05/16/17 | EUR | 1,200 | 1,738 | |||||
Morgan Stanley MTN | ||||||||
5.625%, 09/23/19 | 150 | 148 | ||||||
5.375%, 08/10/20 | EUR | 150 | 198 | |||||
NBCUniversal Media | ||||||||
4.375%, 04/01/21 | 375 | 402 | ||||||
News America | ||||||||
4.500%, 02/15/21 | 210 | 224 | ||||||
Noble Holding International | ||||||||
4.900%, 08/01/20 | 25 | 27 | ||||||
Owens Corning | ||||||||
6.500%, 12/01/16 | 145 | 161 | ||||||
Philip Morris International | ||||||||
2.900%, 11/15/21 | 325 | 320 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 | 300 | 340 | ||||||
3.300%, 03/08/22 | 150 | 148 | ||||||
Republic Services | ||||||||
4.750%, 05/15/23 | 255 | 279 | ||||||
Ryder System MTN | ||||||||
7.200%, 09/01/15 | 108 | 126 | ||||||
5.850%, 11/01/16 | 116 | 132 | ||||||
Time Warner Cable | ||||||||
5.850%, 05/01/17 | 286 | 334 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
US Bank MTN | ||||||||
1.129%, 02/28/17(A) | EUR | 1,300 | $ | 1,600 | ||||
Wells Fargo | ||||||||
4.600%, 04/01/21 | 75 | 80 | ||||||
3.500%, 03/08/22 | 335 | 330 | ||||||
Western Union | ||||||||
5.930%, 10/01/16 | 475 | 549 | ||||||
|
| |||||||
26,927 | ||||||||
|
| |||||||
Total Global Bonds | 441,052 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.9% |
| |||||||
Agency Mortgage-Backed Obligation — 0.0% |
| |||||||
FHLMC | ||||||||
1.758%, 08/25/16 | 335 | 20 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligation — 3.9% |
| |||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-6, Cl 3A | ||||||||
5.470%, 09/25/34 (A) | 227 | 210 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2004- PWR6, Cl A6 | ||||||||
4.825%, 11/11/41 | 575 | 621 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005- T18, Cl A4 | ||||||||
4.933%, 02/13/42 (A) | 135 | 147 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006- PW11, Cl A4 | ||||||||
5.459%, 03/11/39 (A) | 450 | 504 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006- T24, Cl A4 | ||||||||
5.537%, 10/12/41 | 725 | 822 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007- PW16, Cl A4 | ||||||||
5.718%, 06/11/40 (A) | 241 | 274 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007- PW17, Cl A4 | ||||||||
5.694%, 06/11/50 (A) | 190 | 216 | ||||||
Canary Wharf Finance, Ser II, Cl C2 | ||||||||
1.640%, 10/22/37 (A)(C) | 200 | 192 | ||||||
Citigroup Commercial Mortgage Trust, Ser | ||||||||
5.698%, 12/10/49 (A) | 1,140 | 1,300 | ||||||
Citigroup Commercial Mortgage Trust, Ser | ||||||||
6.074%, 12/10/49 (A) | 405 | 469 | ||||||
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 1A4 | ||||||||
4.288%, 05/25/35 (A) | 1,019 | 906 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 1,215 | 1,339 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 8 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
CW Capital Cobalt, Ser | ||||||||
5.223%, 08/15/48 | 140 | $ | 154 | |||||
Eddystone Finance, Ser | ||||||||
1.300%, 04/19/21 (A)(C) | GBP | 150 | 211 | |||||
Fosse Master Issuer, Ser | ||||||||
2.490%, 10/18/54 (A) | GBP | 300 | 479 | |||||
Gracechurch Mortgage Financing, Ser 2007-1X, Cl 3A2 | ||||||||
1.141%, 11/20/56 (A) | EUR | 1,281 | 1,705 | |||||
Granite Master Issuer, Ser 2005-1, Cl A5 0.638%, | ||||||||
12/20/54 (A)(C) | EUR | 203 | 260 | |||||
Granite Master Issuer, Ser 2006-2, Cl A5 | ||||||||
0.658%, 12/20/54 (A)(C) | EUR | 391 | 501 | |||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 250 | 275 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 4A1 | ||||||||
5.004%, 01/25/35 (A) | 286 | 271 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2004- CB9, Cl A4 | ||||||||
5.575%, 06/12/41 (A) | 110 | 120 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2005- CB13, Cl A4 | ||||||||
5.282%, 01/12/43 (A) | 75 | 82 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006- CB17, Cl A4 | ||||||||
5.429%, 12/12/43 | 250 | 276 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007- CB18, Cl A4 | ||||||||
5.440%, 06/12/47 | 880 | 978 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007- CB19, Cl A4 | ||||||||
5.734%, 02/12/49 (A) | 250 | 281 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2008- C2 | ||||||||
6.068%, 02/12/51 | 300 | 319 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser C1, Cl A4 | ||||||||
5.716%, 02/15/51 | 245 | 271 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | 325 | 356 | ||||||
JP Morgan Mortgage Trust, Ser 2004-A5, Cl 3A1 | ||||||||
5.097%, 12/25/34 (A) | 244 | 246 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl A3 | ||||||||
5.347%, 11/15/38 | 250 | $ | 280 | |||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.143%, 04/15/41 (A) | 11 | 13 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C2, Cl A3 | ||||||||
5.430%, 02/15/40 | 515 | 569 | ||||||
London and Regional Debt Securitisation, Ser 1, Cl A 1.300%, | ||||||||
10/15/14 (A)(C) | GBP | 150 | 213 | |||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4 | ||||||||
5.291%, 01/12/44 (A) | 370 | 411 | ||||||
Merrill Lynch, Ser 2007-7, Cl A4 | ||||||||
5.737%, 06/12/50 (A) | 285 | 309 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A3 | ||||||||
5.569%, 12/15/44 | 115 | 124 | ||||||
Silverstone Master Issuer, Ser 2009-1, Cl A2 | ||||||||
2.540%, 01/21/55 (A) | GBP | 300 | 480 | |||||
Storm, Ser 2006-1, Cl A2 | ||||||||
1.305%, 04/22/48 (A) | EUR | 1,079 | 1,428 | |||||
Storm, Ser 2011-4, Cl A1 | ||||||||
2.395%, 10/22/53 (A) | EUR | 781 | 1,044 | |||||
|
| |||||||
18,655 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $18,506) ($ Thousands) | 18,676 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 2.8% |
| |||||||
United States — 2.8% | ||||||||
American Express Bank | ||||||||
5.550%, 10/17/12 | 530 | 544 | ||||||
American Express Credit MTN | ||||||||
2.750%, 09/15/15 | 400 | 415 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/17 | 330 | 392 | ||||||
Ball | ||||||||
5.000%, 03/15/22 | 230 | 231 | ||||||
Bank of America MTN | ||||||||
5.000%, 05/13/21 | 175 | 175 | ||||||
BE Aerospace | ||||||||
5.250%, 04/01/22 | 230 | 232 | ||||||
CBS | ||||||||
4.300%, 02/15/21 | 300 | 314 | ||||||
CIGNA | ||||||||
5.125%, 06/15/20 | 154 | 170 | ||||||
Cimarex Energy | ||||||||
5.875%, 05/01/22 | 98 | 100 | ||||||
CMS Energy | ||||||||
5.050%, 03/15/22 | 140 | 141 | ||||||
CNA Financial | ||||||||
7.250%, 11/15/23 | 110 | 124 | ||||||
6.500%, 08/15/16 | 40 | 45 | ||||||
COX Communications | ||||||||
7.125%, 10/01/12 | 750 | 774 | ||||||
CVS Caremark | ||||||||
6.600%, 03/15/19 | 650 | 802 |
9 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Daimler Finance North America | ||||||||
1.911%, 07/11/13(A)(B) | 400 | $ | 404 | |||||
DIRECTV Holdings | ||||||||
4.600%, 02/15/21 | 300 | 316 | ||||||
3.800%, 03/15/22(B) | 310 | 306 | ||||||
Duke Realty | ||||||||
6.750%, 03/15/20(F) | 140 | 164 | ||||||
Enterprise Products Operating | ||||||||
5.950%, 02/01/41 | 100 | 111 | ||||||
EQT | ||||||||
8.125%, 06/01/19 | 285 | 333 | ||||||
General Electric Capital MTN | ||||||||
2.375%, 06/30/15 | 150 | 152 | ||||||
Goldman Sachs Group | ||||||||
6.000%, 06/15/20 | 45 | 47 | ||||||
Humana | ||||||||
7.200%, 06/15/18 | 280 | 336 | ||||||
6.450%, 06/01/16 | 40 | 46 | ||||||
Huntington Ingalls Industries | ||||||||
7.125%, 03/15/21(B) | 54 | 58 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.550%, 09/15/40 | 105 | 118 | ||||||
Lincoln National | ||||||||
8.750%, 07/01/19 | 128 | 162 | ||||||
Lorillard Tobacco | ||||||||
6.875%, 05/01/20 | 375 | 441 | ||||||
McGraw-Hill | ||||||||
5.900%, 11/15/17 | 325 | 380 | ||||||
Morgan Stanley | ||||||||
5.750%, 01/25/21 | 130 | 128 | ||||||
5.500%, 07/28/21 | 125 | 122 | ||||||
4.750%, 03/22/17 | 170 | 170 | ||||||
3.450%, 11/02/15 | 125 | 122 | ||||||
Motorola Solutions | ||||||||
7.500%, 05/15/25 | 85 | 101 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/19 | 221 | 284 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/19 | 235 | 278 | ||||||
Nissan Motor | ||||||||
3.250%, 01/30/13(B) | 430 | 436 | ||||||
Prudential Financial MTN | ||||||||
6.100%, 06/15/17 | 125 | 144 | ||||||
RR Donnelley & Sons | ||||||||
7.250%, 05/15/18 | 65 | 63 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/22(B) | 400 | 407 | ||||||
SLM MTN | ||||||||
5.050%, 11/14/14 | 155 | 159 | ||||||
Time Warner | ||||||||
4.875%, 03/15/20 | 550 | 609 | ||||||
Time Warner Cable | ||||||||
7.500%, 04/01/14 | 385 | 433 | ||||||
Union Electric | ||||||||
6.700%, 02/01/19 | 45 | 55 | ||||||
Viacom | ||||||||
6.125%, 10/05/17 | 325 | 388 | ||||||
5.625%, 09/15/19 | 325 | 376 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/49(A) | 385 | 364 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Whirlpool MTN | ||||||||
8.600%, 05/01/14 | 298 | $ | 334 | |||||
Wynn Las Vegas | ||||||||
5.375%, 03/15/22(B) | 235 | 229 | ||||||
|
| |||||||
Total Corporate Obligations |
| 13,035 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
U.S. Treasury Bonds | ||||||||
4.375%, 11/15/39 to 05/15/41 | 225 | 270 | ||||||
3.875%, 08/15/40 | 5 | 5 | ||||||
U.S. Treasury Note | ||||||||
2.000%, 02/15/22 | 175 | 172 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 447 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.1% |
| |||||||
Automotive — 0.0% | ||||||||
Auto Compartiment, | ||||||||
1.124%, 02/25/19 (A) | 176 | 234 | ||||||
Santander Consumer Finance, | ||||||||
1.567%, 09/20/22 (C) | 57 | 75 | ||||||
|
| |||||||
309 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.1% |
| |||||||
Lambda Finance, | ||||||||
1.297%, 11/15/29 (A)(C) | 37 | 49 | ||||||
Skyline, Ser 2007-1, Cl D | ||||||||
2.005%, 07/22/43 (A)(C) | 200 | 240 | ||||||
|
| |||||||
289 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 598 | ||||||
|
| |||||||
MUNICIPAL BOND — 0.0% | ||||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/19 | 45 | 49 | ||||||
|
| |||||||
Total Municipal Bonds |
| 49 | ||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 10 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
International Fixed Income Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
TIME DEPOSITS — 2.1% |
| |||||||
United States — 2.1% | ||||||||
Brown Brothers Harriman | ||||||||
4.500%, 04/02/12 | ZAR | — | — | |||||
3.587%, 04/02/12 | AUD | 63 | 65 | |||||
1.650%, 04/02/12 | NZD | 22 | 18 | |||||
0.797%, 04/02/12 | SEK | 108 | 16 | |||||
0.550%, 04/02/12 | NOK | 120 | 21 | |||||
0.234%, 04/02/12 | CAD | 32 | 32 | |||||
0.056%, 04/02/12 | GBP | 30 | 48 | |||||
0.050%, 04/02/12 | EUR | 288 | 383 | |||||
0.030%, 04/02/12 | 9,357 | 9,357 | ||||||
0.020%, 04/02/12 | DKK | 4 | 1 | |||||
0.010%, 04/02/12 | JPY | 19,344 | 235 | |||||
0.010%, 04/02/12 | SGD | 21 | 17 | |||||
0.005%, 04/02/12 | CHF | — | — | |||||
|
| |||||||
Total Time Deposits |
| 10,193 | ||||||
|
| |||||||
Total Investments — 99.8% |
| $ | 484,049 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Australian 3-Year Bond | 32 | Jun-2012 | $ | 9 | ||||||||
Canadian 10-Year Bond | 4 | Jun-2012 | (2 | ) | ||||||||
Euro-Bobl | 72 | Jun-2012 | 19 | |||||||||
Euro-BTP | (1 | ) | Jun-2012 | — | ||||||||
Euro-Bund | 47 | Jun-2012 | 1 | |||||||||
Euro-Buxl 30 Year Bond | 6 | Jun-2012 | 16 | |||||||||
Japanese 10-Year Bond | 7 | Jun-2012 | (35 | ) | ||||||||
Long Gilt 10-Year Bond | 9 | Jun-2012 | (18 | ) | ||||||||
U.S. 10-Year Treasury Note | (122 | ) | Jun-2012 | 202 | ||||||||
U.S. 2-Year Treasury Note | (33 | ) | Jun-2012 | 3 | ||||||||
U.S. 5-Year Treasury Note | (179 | ) | Jun-2012 | 80 | ||||||||
U.S. Long Treasury Bond | (14 | ) | Jun-2012 | 24 | ||||||||
U.S. Ultra Long Treasury Bond | (5 | ) | Jun-2012 | 35 | ||||||||
|
| |||||||||||
$ | 334 | |||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
The following are the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/3/12-4/4/12 | USD | 2,415 | CAD | 2,388 | $ | (26 | ) | |||||
4/3/12-5/15/12 | CAD | 40,638 | USD | 40,928 | 279 | |||||||
4/4/12-4/27/12 | USD | 1,842 | JPY | 151,779 | 3 | |||||||
4/4/12-5/2/12 | MXP | 32,578 | USD | 2,539 | 1 | |||||||
4/4/12-5/2/12 | USD | 3,481 | PLN | 10,880 | 2 | |||||||
4/4/12-5/10/12 | EUR | 241,482 | USD | 322,154 | 576 | |||||||
4/4/12-5/10/12 | GBP | 48,108 | USD | 76,851 | 7 | |||||||
4/4/12-5/10/12 | USD | 8,094 | EUR | 6,116 | 51 | |||||||
4/4/12-5/11/12 | JPY | 11,532,776 | USD | 140,232 | 41 | |||||||
4/4/12-5/23/12 | SEK | 52,975 | USD | 7,879 | (98 | ) | ||||||
4/19/12 | AUD | 1,107 | NZD | 1,418 | 16 | |||||||
4/19/12 | USD | 1,081 | AUD | 1,030 | (16 | ) | ||||||
4/19/12-4/27/12 | AUD | 3,335 | USD | 3,489 | 44 | |||||||
4/20/12-4/27/12 | USD | 1,082 | KRW | 1,224,934 | (1 | ) | ||||||
4/24/12-4/27/12 | NZD | 2,804 | USD | 2,306 | 12 | |||||||
4/27/12 | CHF | 1,554 | USD | 1,714 | (7 | ) | ||||||
4/27/12 | CZK | 12,966 | USD | 690 | (5 | ) | ||||||
4/27/12 | KRW | 2,200,124 | USD | 1,933 | (9 | ) | ||||||
4/27/12 | MYR | 3,550 | USD | 1,151 | (7 | ) | ||||||
4/27/12 | NOK | 1,247 | USD | 217 | (1 | ) | ||||||
4/27/12 | PLN | 2,111 | USD | 665 | (10 | ) | ||||||
4/27/12 | SGD | 932 | USD | 741 | — | |||||||
4/27/12 | USD | 77 | CHF | 70 | — | |||||||
4/27/12 | USD | 79 | GBP | 50 | 1 | |||||||
4/27/12 | USD | 1,531 | MXP | 19,686 | 2 | |||||||
4/27/12 | USD | 160 | NZD | 195 | (1 | ) | ||||||
4/27/12 | USD | 756 | SGD | 957 | 6 | |||||||
4/27/12-5/23/12 | DKK | 15,760 | USD | 2,818 | (5 | ) | ||||||
4/27/12-5/23/12 | USD | 2,534 | NOK | 14,500 | 5 | |||||||
4/30/12 | USD | 738 | INR | 38,102 | 6 | |||||||
5/14/12 | ZAR | 22,846 | USD | 2,934 | (28 | ) | ||||||
|
| |||||||||||
$ | 838 | |||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
CounterParty | Currency to Deliver ($Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | (1,648 | ) | 1,620 | $ | (28 | ) | ||||||
Barclays PLC | (93,820 | ) | 93,405 | (415 | ) | |||||||
BNP Paribas | (247,911 | ) | 248,523 | 612 | ||||||||
Brown Brothers Harriman | (121 | ) | 123 | 2 | ||||||||
Chase Manhattan Bank | (1,418 | ) | 1,417 | (1 | ) | |||||||
Citigroup | (52,839 | ) | 52,917 | 78 | ||||||||
Credit Suisse First Boston | (4,869 | ) | 4,835 | (34 | ) | |||||||
Deutsche Bank | (62,885 | ) | 63,425 | 539 | ||||||||
Goldman Sachs | (2,517 | ) | 2,487 | (30 | ) | |||||||
HSBC | (995 | ) | 996 | 2 | ||||||||
JPMorgan Chase Bank | (24,084 | ) | 24,076 | (8 | ) | |||||||
National Australia Bank | (25 | ) | 25 | — | ||||||||
Northern Trust Brokerage | (2,168 | ) | 2,144 | (24 | ) | |||||||
RBC | (8,758 | ) | 8,794 | 36 | ||||||||
Royal Bank of Canada | (453 | ) | 450 | (3 | ) | |||||||
Royal Bank of Scotland | (15,744 | ) | 15,764 | 20 | ||||||||
Societe Generale | (23,497 | ) | 23,500 | 4 | ||||||||
Standard Bank | (9,197 | ) | 9,188 | (9 | ) | |||||||
State Street | (8,993 | ) | 8,991 | (2 | ) | |||||||
UBS | (12,500 | ) | 12,494 | (7 | ) | |||||||
Westpac Banking | (59,894 | ) | 60,000 | 106 | ||||||||
|
| |||||||||||
$ | 838 | |||||||||||
|
|
For the six months ended March 31, 2012 the total amount of all open forward foreign currency contracts, as presented in the table above are representative of the volume of activity for this derivative type during the period.
Outstanding swap agreements held by the Fund at March 31, 2012, is as follows:
11 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||
Citigroup | 3.79% | 6-Month GBP LIBOR | 05/19/19 | GBP | 2,500,000 | $ | (528 | ) | ||||||
Deutsche Bank | 1.93% | 6-Month EURIBOR | 04/03/19 | EUR | 4,200,000 | — | ||||||||
Deutsche Bank | 6-Month EURIBOR | 4.17% | 03/28/13 | EUR | 7,000,000 | 291 | ||||||||
JPMorgan | 6-Month JPY LIBOR | 2.22% | 03/26/27 | JPY | 750,000,000 | 915 | ||||||||
Royal Bank of Scotland | 6-Month EURIBOR | 3.14% | 08/04/21 | EUR | 1,450,000 | 188 | ||||||||
JPMorgan | 6-Month EURIBOR | 4.38% | 01/07/13 | EUR | 5,400,000 | 217 | ||||||||
Merrill Lynch | 3-Month Canadian Bankers Acceptance Rate | 2.44% | 03/01/22 | CAD | 2,000,000 | (19 | ) | |||||||
UBS Warburg | Eurostat Eurozone | 1.83% | 11/25/19 | EUR | 1,350,000 | (33 | ) | |||||||
$ | 1,031 |
For the six months ended March 31, 2012, the total amount of all swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $484,982 ($ Thousands).
(1) | In local currency unless otherwise indicated. |
(A) | Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(C) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $2,385 ($ Thousands) and represented 0.5% of Net Assets. |
(D) | Security is when-issued. |
(E) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(F) | Real Estate Investment Trust. |
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
CZK — Czech Koruna
Cl — Class
DKK — Danish Krone
EUR — Euro
EURIBOR — Euro London Interbank Offered Rate
FHLMC — Federal Home Loan Mortgage Corporation
GBP — British Pound Sterling
INR — India Rupee
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLN — Polish Zlotty
SEK — Swedish Krone
Ser — Series
SGD — Singapore Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bonds | $ | — | $ | 441,051 | $ | — | $ | 441,051 | ||||||||
Mortgage-Backed Securities | — | 18,676 | — | 18,676 | ||||||||||||
Corporate Obligations | — | 13,035 | — | 13,035 | ||||||||||||
U.S. Treasury Obligations | — | 447 | — | 447 | ||||||||||||
Asset-Backed Securities | — | 598 | — | 598 | ||||||||||||
Municipal Bond | — | 49 | — | 49 | ||||||||||||
Time Deposits | — | 10,193 | — | 10,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 484,049 | $ | — | $ | 484,049 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 334 | $ | — | $ | — | $ | 334 | ||||||||
Forwards Contracts* | — | 838 | — | 838 | ||||||||||||
Interest Rate Swaps* | — | 1,031 | — | 1,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 334 | $ | 1,869 | $ | — | $ | 2,203 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts, and swap contracts are valued at the net unrealized appreciation/(depreciation). |
For the period ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 12 |
Table of Contents
SCHEDULE OF INVESTMENTS (unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
GLOBAL BONDS — 92.8% | ||||||||
Argentina — 3.6% | ||||||||
Capex | ||||||||
10.000%, 03/10/18(A) | 488 | $ | 383 | |||||
City of Buenos Aires Argentina | ||||||||
9.950%, 03/01/17(A) | 1,154 | 1,076 | ||||||
Empresa Distribuidora Y Comercializadora Norte | ||||||||
9.750%, 10/25/22(A) | 606 | 364 | ||||||
IRSA | ||||||||
11.500%, 07/20/20(A) | 351 | 367 | ||||||
Province of Buenos Aires | ||||||||
9.625%, 04/18/28(B) | 595 | 390 | ||||||
9.625%, | ||||||||
04/18/28(A)(B) | 1,605 | 1,053 | ||||||
9.375%, 09/14/18(B) | 470 | 337 | ||||||
Province of Medoza | ||||||||
5.500%, 09/04/18(B) | 285 | 236 | ||||||
Province of Neuquen | ||||||||
8.656%, | ||||||||
10/18/14(A)(B) | 102 | 105 | ||||||
Republic of Argentina | ||||||||
8.750%, 06/02/17 | 730 | 703 | ||||||
8.280%, 12/31/33 | 606 | 433 | ||||||
8.279%, 12/31/33 | 536 | 395 | ||||||
7.820%, 12/31/33 | EUR | 11,375 | 9,468 | |||||
7.820%, 12/31/33 | EUR | 1,290 | 1,074 | |||||
7.820%, 12/31/33(C) | EUR | 11,230 | 9,234 | |||||
7.000%, 04/17/17 | 1,681 | 1,428 | ||||||
7.000%, 10/03/15 | 2,670 | 2,502 | ||||||
5.830%, 12/31/33(C) | ARS | 6,111 | 1,762 | |||||
4.191%, 12/15/35(C) | EUR | 11,600 | 1,769 | |||||
2.500%, 03/31/19(D) | 1,000 | 357 | ||||||
1.180%, 12/31/38(C)(D) | 2 | — | ||||||
0.467%, 08/03/12(C) | 6,705 | 829 | ||||||
0.044%, 12/15/35(C)(E) | 4,952 | 644 | ||||||
0.000%, 12/15/35(C) | 2 | — | ||||||
Transportadora Gas del Norte | ||||||||
7.500%, 12/31/12(B)(F) | 130 | 65 | ||||||
7.500%, 12/31/12(A)(B)(F) | 260 | 130 | ||||||
7.500%, 12/31/12(B)(F) | 420 | 210 | ||||||
6.500%, 12/31/12(A)(B)(F) | 30 | 15 | ||||||
6.500%, 12/31/12(B)(F) | 81 | 41 | ||||||
6.500%, 12/31/12(B)(F) | 72 | 36 | ||||||
WPE International Cooperatief | ||||||||
10.375%, 09/30/20 | 100 | 94 | ||||||
10.375%, 09/30/20(A) | 950 | 896 | ||||||
|
| |||||||
36,396 | ||||||||
|
| |||||||
Australia — 0.0% | ||||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/18(A) | 203 | 175 | ||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Bahrain — 0.0% | ||||||||
Kingdom of Bahrain | ||||||||
5.500%, 03/31/20 | 250 | $ | 248 | |||||
|
| |||||||
Barbados — 0.3% | ||||||||
Columbus International | ||||||||
11.500%, 11/20/14(A) | 1,600 | 1,775 | ||||||
11.500%, 11/20/14 | 1,057 | 1,173 | ||||||
Government of Barbados | ||||||||
7.000%, 08/04/22(A) | 300 | 303 | ||||||
|
| |||||||
3,251 | ||||||||
|
| |||||||
Belarus — 0.3% | ||||||||
Republic of Belarus | ||||||||
8.950%, 01/26/18 | 1,800 | 1,622 | ||||||
8.750%, 08/03/15 | 1,850 | 1,720 | ||||||
|
| |||||||
3,342 | ||||||||
|
| |||||||
Belize — 0.0% | ||||||||
Government of Belize | ||||||||
6.000%, 02/20/29(B) | 342 | 168 | ||||||
|
| |||||||
Bosnia and Herzegovina — 0.1% |
| |||||||
Republic of Bosnia & Herzegovina | ||||||||
0.000%, | ||||||||
12/11/17(B)(C) | DEM | 1,917 | 992 | |||||
|
| |||||||
Brazil — 8.5% | ||||||||
Banco Cruzeiro do Sul | ||||||||
8.875%, 09/22/20 | 384 | 315 | ||||||
8.875%, 09/22/20(A) | 1,144 | 915 | ||||||
Banco Nacional de | ||||||||
6.500%, 06/10/19(A) | 1,300 | 1,529 | ||||||
5.500%, 07/12/20(A) | 400 | 446 | ||||||
BM&FBovespa | ||||||||
5.500%, 07/16/20 | 500 | 531 | ||||||
BR Malls International Finance | ||||||||
8.500%, 12/31/49(A) | 345 | 367 | ||||||
BR Properties | ||||||||
9.000%, 12/31/49(A) | 541 | 566 | ||||||
Braskem Finance | ||||||||
7.375%, 10/04/49 | 300 | 302 | ||||||
Brazil Notas do Tesouro Nacional, Ser B | ||||||||
10.674%, 08/15/20 | BRL | 4,470 | 5,598 | |||||
Brazil Notas Do Tesouro Nacional | ||||||||
10.000%, 01/01/17 | BRL | 8,750 | 4,672 | |||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||
10.000%, 01/01/14 | BRL | 18,904 | 10,415 | |||||
10.000%, 01/01/21 | BRL | 11,054 | 5,666 | |||||
CGM, CLN (Federal Republic of Brazil) | ||||||||
10.000%, 01/01/21 | 5,000 | 2,563 |
1 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Federal Republic of Brazil | ||||||||
12.500%, 01/05/22 | BRL | 680 | $ | 495 | ||||
11.000%, 08/17/40 | 150 | 198 | ||||||
10.250%, 01/10/28 | BRL | 1,140 | 747 | |||||
10.125%, 05/15/27 | 3,387 | 5,643 | ||||||
8.875%, 04/15/24 | 1,520 | 2,316 | ||||||
8.750%, 02/04/25 | 916 | 1,392 | ||||||
8.250%, 01/20/34 | 3,910 | 5,904 | ||||||
7.125%, 01/20/37 | 5,326 | 7,310 | ||||||
5.875%, 01/15/19 | 710 | 849 | ||||||
5.625%, 01/07/41 | 1,050 | 1,210 | ||||||
4.875%, 01/22/21 | 1,571 | 1,778 | ||||||
Fibria Overseas Finance | ||||||||
7.500%, 05/04/20(A) | 1,358 | 1,434 | ||||||
6.750%, 03/03/21 | 1,000 | 1,023 | ||||||
General Shopping Finance | ||||||||
10.000%, 12/31/49(A) | 1,044 | 1,079 | ||||||
Globo Comunicacao e Participacoes | ||||||||
6.250%, 07/20/15(D) | 147 | 156 | ||||||
Hypermarcas | ||||||||
6.500%, 04/20/21(A) | 1,224 | 1,187 | ||||||
Itau Unibanco Holding | ||||||||
5.650%, 03/19/22(A) | 401 | 402 | ||||||
JBS Finance II | ||||||||
8.250%, 01/29/18(A) | 1,820 | 1,854 | ||||||
8.250%, 01/29/18 | 1,300 | 1,324 | ||||||
JP Morgan, CLN (Federal Republic of Brazil) | ||||||||
10.000%, 01/01/21 | 3,400 | 1,743 | ||||||
Marfrig Holding Europe BV | ||||||||
8.375%, 05/09/18 | 1,900 | 1,729 | ||||||
Minerva Luxembourg | ||||||||
12.250%, 02/10/22(A) | 1,320 | 1,442 | ||||||
Minerva Overseas II | ||||||||
10.875%, 11/15/19(A) | 235 | 248 | ||||||
10.875%, 11/15/19 | 310 | 327 | ||||||
NET Servicos de Comunicacao | ||||||||
7.500%, 01/27/20 | 288 | 336 | ||||||
Odebrecht Drilling Norbe VIII/IX | ||||||||
6.350%, 06/30/21 | 323 | 344 | ||||||
6.350%, 06/30/21(A) | 534 | 569 | ||||||
OGX Austria GmbH | ||||||||
8.375%, 04/01/22(A) | 504 | 509 | ||||||
OGX Petroleo e Gas Participacoes | ||||||||
8.500%, 06/01/18(A) | 1,004 | 1,043 | ||||||
Oi | ||||||||
5.750%, 02/10/22(A) | 550 | 566 | ||||||
OSX 3 Leasing BV | ||||||||
9.250%, 03/20/15 | 200 | 206 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/21 | 1,071 | 1,153 | ||||||
Petrobras International Finance - Pifco | ||||||||
2.875%, 02/06/15 | 203 | 208 | ||||||
QGOG Atlantic/Alaskan Rigs | ||||||||
5.250%, 07/30/18(A) | 887 | 891 | ||||||
Schahin II Finance SPV | ||||||||
5.875%, 09/25/22(A) | 990 | 993 | ||||||
Telemar Norte Leste | ||||||||
5.500%, 10/23/20(A) | 850 | 874 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/18 | 217 | $ | 213 | |||||
Votorantim Cimentos | ||||||||
7.250%, 04/05/41(A) | 300 | 305 | ||||||
Voto-Votorantim | ||||||||
6.750%, 04/05/21(A) | 306 | 343 | ||||||
Voto-Votorantim Overseas | ||||||||
6.625%, 09/25/19(A) | 490 | 547 | ||||||
|
| |||||||
84,775 | ||||||||
|
| |||||||
Chile — 0.9% | ||||||||
Banco del Estado de Chile | ||||||||
3.875%, 02/08/22(A) | 1,160 | 1,151 | ||||||
BancoEstado | ||||||||
4.125%, 10/07/20(A) | 600 | 621 | ||||||
Empresa Nacional del Petroleo | ||||||||
6.250%, 07/08/19(A) | 100 | 114 | ||||||
6.250%, 07/08/19 | 700 | 800 | ||||||
5.250%, 08/10/20(A) | 400 | 433 | ||||||
Inversiones Alsacia | ||||||||
8.000%, 08/18/18(A) | 966 | 931 | ||||||
Nacional del Cobre de Chile | ||||||||
7.500%, 01/15/19 | 400 | 501 | ||||||
6.150%, 10/24/36 | 1,530 | 1,851 | ||||||
3.875%, 11/03/21(A) | 950 | 970 | ||||||
3.750%, 11/04/20(A) | 700 | 717 | ||||||
Republic of Chile | ||||||||
3.250%, 09/14/21 | 380 | 386 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 | 500 | 500 | ||||||
|
| |||||||
8,975 | ||||||||
|
| |||||||
China — 1.4% | ||||||||
Agile Property Holdings | ||||||||
8.875%, 04/28/17 | 400 | 372 | ||||||
Central China Real Estate | ||||||||
12.250%, 10/20/15 | 200 | 193 | ||||||
China Liansu Group Holdings | ||||||||
7.875%, 05/13/16(A) | 448 | 419 | ||||||
China Oriental Group | ||||||||
8.000%, 08/18/15 | 200 | 184 | ||||||
8.000%, 08/18/15(A) | 650 | 596 | ||||||
7.000%, 11/17/17 | 1,000 | 830 | ||||||
China Overseas Finance Cayman II | ||||||||
5.500%, 11/10/20 | 200 | 198 | ||||||
China Resources Gas Group MTN | ||||||||
4.500%, 04/05/22(A) | 335 | 329 | ||||||
CITIC Bank International MTN | ||||||||
6.875%, 06/24/20 | 100 | 104 | ||||||
CNPC HK Overseas Capital | ||||||||
5.950%, 04/28/41 | 200 | 229 | ||||||
5.950%, 04/28/41(A) | 550 | 628 | ||||||
Country Garden Holdings | ||||||||
11.250%, 04/22/17 | 700 | 693 | ||||||
Evergrande Real Estate Group | ||||||||
13.000%, 01/27/15 | 756 | 735 | ||||||
13.000%, 01/27/15(A) | 701 | 682 | ||||||
9.250%, 01/19/16 | CNY | 5,000 | 685 | |||||
7.500%, 01/19/14 | CNY | 3,000 | 425 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 2 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Franshion Development | ||||||||
6.750%, 04/15/21(A) | 750 | $ | 654 | |||||
Hidili Industry International Development | ||||||||
8.625%, 11/04/15 | 500 | 431 | ||||||
Kaisa Group Holdings | ||||||||
13.500%, 04/28/15 | 539 | 509 | ||||||
Mega Advance Investments | ||||||||
5.000%, 05/12/21(A) | 606 | 625 | ||||||
MIE Holdings | ||||||||
9.750%, 05/12/16(A) | 600 | 594 | ||||||
Sinochem Overseas Capital | ||||||||
6.300%, 11/12/40 | 350 | 330 | ||||||
4.500%, 11/12/20(A) | 3,242 | 3,093 | ||||||
Tencent Holdings | ||||||||
4.625%, 12/12/16 | 250 | 252 | ||||||
Texhong Textile Group | ||||||||
7.625%, 01/19/16(A) | 255 | 212 | ||||||
West China Cement | ||||||||
7.500%, 01/25/16(A) | 200 | 169 | ||||||
|
| |||||||
14,171 | ||||||||
|
| |||||||
Colombia — 4.6% | ||||||||
BanColombia | ||||||||
5.950%, 06/03/21 | 200 | 212 | ||||||
5.950%, 06/03/21(A) | 748 | 792 | ||||||
Bogota Distrio Capital | ||||||||
9.750%, 07/26/28(A) | COP | 9,020,000 | 6,766 | |||||
Ecopetrol | ||||||||
7.625%, 07/23/19(A) | 500 | 616 | ||||||
Empresa de Energia de Bogota | ||||||||
6.125%, 11/10/21 | 925 | 981 | ||||||
Grupo Aval | ||||||||
5.250%, 02/01/17(A) | 400 | 415 | ||||||
Gruposura Finance | ||||||||
5.700%, 05/18/21(A) | 1,010 | 1,055 | ||||||
Republic of Colombia | ||||||||
11.750%, 02/25/20 | 1,595 | 2,540 | ||||||
10.375%, 01/28/33 | 330 | 556 | ||||||
8.125%, 05/21/24 | 2,150 | 3,048 | ||||||
7.375%, 09/18/37 | 10,100 | 14,165 | ||||||
7.375%, 01/27/17 | 2,775 | 3,434 | ||||||
7.375%, 03/18/19 | 3,770 | 4,837 | ||||||
6.125%, 01/18/41 | 3,404 | 4,170 | ||||||
4.375%, 07/12/21 | 2,198 | 2,390 | ||||||
Transportadora de Gas Internacional ESP | ||||||||
5.700%, 03/20/22(A) | 350 | 359 | ||||||
|
| |||||||
46,336 | ||||||||
|
| |||||||
Croatia — 1.2% | ||||||||
Government of Croatia | ||||||||
6.750%, 11/05/19 | 2,283 | 2,292 | ||||||
6.625%, 07/14/20 | 150 | 149 | ||||||
6.625%, 07/14/20(A) | 2,068 | 2,047 | ||||||
6.375%, 03/24/21 | 400 | 384 | ||||||
6.375%, 03/24/21(A) | 6,446 | 6,188 | ||||||
Zagrebacki Holding | ||||||||
5.500%, 07/10/17 | EUR | 1,100 | 1,157 | |||||
|
| |||||||
12,217 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Czech Republic — 0.1% | ||||||||
Central European Media Enterprises | ||||||||
11.625%, 09/15/16(A) | EUR | 700 | $ | 876 | ||||
|
| |||||||
Dominican Republic — 0.3% |
| |||||||
Cap Cana | ||||||||
10.000%, 04/30/16(F) | 982 | 147 | ||||||
10.000%, 04/30/16(F) | 844 | 211 | ||||||
Dominican Republic | ||||||||
7.500%, 05/06/21(A) | 1,490 | 1,535 | ||||||
7.500%, 05/06/21 | 700 | 721 | ||||||
|
| |||||||
2,614 | ||||||||
|
| |||||||
Ecuador — 0.1% |
| |||||||
Republic of Ecuador | ||||||||
9.375%, 12/15/15 | 550 | 558 | ||||||
|
| |||||||
Egypt — 0.2% | ||||||||
Government of Egypt | ||||||||
6.875%, 04/30/40 | 450 | 394 | ||||||
5.750%, 04/29/20(A) | 650 | 618 | ||||||
5.750%, 04/29/20 | 400 | 380 | ||||||
Nile Finance | ||||||||
5.250%, 08/05/15 | 650 | 627 | ||||||
|
| |||||||
2,019 | ||||||||
|
| |||||||
El Salvador — 0.7% |
| |||||||
Republic of El Salvador | ||||||||
8.250%, 04/10/32 | 250 | 272 | ||||||
7.750%, 01/24/23 | 332 | 361 | ||||||
7.650%, 06/15/35 | 4,336 | 4,434 | ||||||
7.625%, 02/01/41(A) | 950 | 949 | ||||||
7.375%, 12/01/19 | 400 | 432 | ||||||
Telemovil Finance | ||||||||
8.000%, 10/01/17(A) | 900 | 931 | ||||||
|
| |||||||
7,379 | ||||||||
|
| |||||||
Gabon — 0.0% | ||||||||
Gabonese Republic | ||||||||
8.200%, 12/12/17 | 100 | 122 | ||||||
|
| |||||||
Georgia — 0.2% | ||||||||
Georgian Railway | ||||||||
9.875%, 07/22/15 | 650 | 694 | ||||||
Republic of Georgia | ||||||||
6.875%, 04/12/21(A) | 750 | 787 | ||||||
|
| |||||||
1,481 | ||||||||
|
| |||||||
Germany — 0.2% | ||||||||
Deutsche Bank, CLN (Government of Germany) MTN | ||||||||
9.375%, 02/13/18(A)(B) | 1,732 | 1,708 | ||||||
|
|
3 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Ghana — 0.3% | ||||||||
Republic of Ghana | ||||||||
8.500%, 10/04/17 | 1,647 | $ | 1,886 | |||||
8.500%, 10/04/17(A) | 500 | 572 | ||||||
|
| |||||||
2,458 | ||||||||
|
| |||||||
Hong Kong — 0.4% | ||||||||
Bank of China Hong Kong | ||||||||
5.550%, 02/11/20(A) | 1,600 | 1,680 | ||||||
Hutchison Whampoa International | ||||||||
6.000%, 12/31/49(C) | 460 | 468 | ||||||
Hutchison Whampoa International 11 | ||||||||
4.625%, 01/13/22(A) | 800 | 804 | ||||||
Industrial & Commercial Bank of China Asia MTN | ||||||||
5.125%, 11/30/20 | 600 | 615 | ||||||
PCCW-HKT Capital No. 4 | ||||||||
4.250%, 02/24/16 | 701 | 722 | ||||||
|
| |||||||
4,289 | ||||||||
|
| |||||||
Hungary — 0.8% | ||||||||
Republic of Hungary | ||||||||
7.625%, 03/29/41 | 2,058 | 1,862 | ||||||
6.375%, 03/29/21 | 870 | 796 | ||||||
6.250%, 01/29/20 | 950 | 867 | ||||||
6.000%, 01/11/19 | EUR | 612 | 714 | |||||
5.750%, 06/11/18 | EUR | 1,688 | 1,944 | |||||
5.500%, 05/06/14 | 66 | 100 | ||||||
5.000%, 03/30/16 | 227 | 311 | ||||||
4.750%, 02/03/15 | 187 | 176 | ||||||
4.500%, 01/29/14 | 467 | 591 | ||||||
4.375%, 07/04/17 | 673 | 747 | ||||||
3.500%, 07/18/16 | 311 | 345 | ||||||
|
| |||||||
8,453 | ||||||||
|
| |||||||
India — 0.3% | ||||||||
Axis Bank MTN | ||||||||
7.125%, 06/28/22(C) | 163 | 153 | ||||||
Bank of India MTN | ||||||||
6.994%, 12/31/49(C) | 177 | 162 | ||||||
ICICI Bank | ||||||||
5.750%, 11/16/20(A) | 503 | 494 | ||||||
Reliance Holdings USA | ||||||||
6.250%, 10/19/40 | 800 | 730 | ||||||
5.400%, 02/14/22(A) | 550 | 547 | ||||||
Vedanta Resources | ||||||||
9.500%, 07/18/18 | 280 | 283 | ||||||
8.250%, 06/07/21(A) | 435 | 403 | ||||||
|
| |||||||
2,772 | ||||||||
|
| |||||||
Indonesia — 4.5% | ||||||||
Adaro Indonesia MTN | ||||||||
7.625%, 10/22/19 | 208 | 226 | ||||||
7.625%, 10/22/19(A) | 455 | 494 | ||||||
Bakrie Telecom | ||||||||
11.500%, 05/07/15 | 634 | 472 | ||||||
Berau Capital Resources | ||||||||
12.500%, 07/08/15 | 1,300 | 1,459 | ||||||
Berau Coal Energy | ||||||||
7.250%, 03/13/17(A) | 598 | 601 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Indosat Palapa | ||||||||
7.375%, 07/29/20(A) | 452 | $ | 497 | |||||
Listrindo Capital BV | ||||||||
6.950%, 02/21/19(A) | 425 | 439 | ||||||
Majapahit Holding | ||||||||
8.000%, 08/07/19(A) | 500 | 605 | ||||||
8.000%, 08/07/19 | 160 | 194 | ||||||
7.875%, 06/29/37(A)(B) | 355 | 445 | ||||||
7.750%, 01/20/20 | 400 | 482 | ||||||
7.750%, 01/20/20(A) | 250 | 301 | ||||||
7.750%, 10/17/16 | 750 | 868 | ||||||
Pertamina Persero | ||||||||
6.500%, 05/27/41(A) | 380 | 410 | ||||||
5.250%, 05/23/21(A) | 500 | 526 | ||||||
Perusahaan Listrik Negara | ||||||||
5.500%, 11/22/21(A) | 1,435 | 1,503 | ||||||
Republic of Indonesia | ||||||||
11.625%, 03/04/19 | 300 | 447 | ||||||
11.625%, 03/04/19 | 5,726 | 8,532 | ||||||
11.625%, 03/04/19(A) | 1,825 | 2,719 | ||||||
10.375%, 05/04/14 | 450 | 524 | ||||||
8.500%, 10/12/35 | 4,050 | 6,014 | ||||||
8.500%, 10/12/35 | 300 | 446 | ||||||
7.750%, 01/17/38 | 5,347 | 7,406 | ||||||
7.500%, 01/15/16 | 1,150 | 1,346 | ||||||
6.875%, 01/17/18(A) | 900 | 1,073 | ||||||
6.875%, 01/17/18 | 1,750 | 2,087 | ||||||
6.750%, 03/10/14 | 350 | 380 | ||||||
6.625%, 02/17/37 | 300 | 370 | ||||||
6.625%, 02/17/37 | 900 | 1,109 | ||||||
5.875%, 03/13/20(A) | 1,054 | 1,209 | ||||||
4.875%, 05/05/21(A) | 1,700 | 1,842 | ||||||
Sable International Finance | ||||||||
8.750%, 02/01/20(A) | 200 | 212 | ||||||
Star Energy Geothermal Wayang Windu | ||||||||
11.500%, 02/12/15(A) | 400 | 441 | ||||||
|
| |||||||
45,679 | ||||||||
|
| |||||||
Iraq — 1.3% | ||||||||
Republic of Iraq | ||||||||
5.800%, 01/15/28 | 15,292 | 12,884 | ||||||
|
| |||||||
Israel — 0.1% | ||||||||
Israel Electric | ||||||||
6.700%, 02/10/17(A) | 500 | 515 | ||||||
|
| |||||||
Ivory Coast — 0.7% | ||||||||
Government of Ivory Coast | ||||||||
3.750%, 12/31/32(F) | 10,993 | 6,898 | ||||||
|
| |||||||
Jamaica — 0.4% | ||||||||
Digicel Group | ||||||||
10.500%, 04/15/18 | 860 | 950 | ||||||
9.125%, 01/15/15(A) | 822 | 837 | ||||||
8.875%, 01/15/15 | 1,400 | 1,424 | ||||||
8.875%, 01/15/15(A) | 1,050 | 1,068 | ||||||
|
| |||||||
4,279 | ||||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 4 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Jordan — 0.1% | ||||||||
Kingdom of Jordan | ||||||||
3.875%, 11/12/15 | 1,450 | $ | 1,392 | |||||
|
| |||||||
Kazakhstan — 4.3% | ||||||||
ATF Bank JSC | ||||||||
9.000%, 05/11/16 | 300 | 282 | ||||||
Bank CenterCredit | ||||||||
8.625%, 01/30/14 | 1,450 | 1,468 | ||||||
BTA Bank | ||||||||
10.750%, 07/01/18(A)(F) | 1,202 | 258 | ||||||
10.750%, 07/01/18(F) | 3,634 | 781 | ||||||
0.001%, 07/01/20(A)(G) | 2,492 | 174 | ||||||
Development Bank of Kazakhstan | ||||||||
5.500%, 12/20/15(A) | 450 | 482 | ||||||
Halyk Savings Bank of Kahakhstan | ||||||||
7.250%, 05/03/17 | 960 | 985 | ||||||
Halyk Savings Bank of Kazakhstan | ||||||||
7.250%, 01/28/21(A) | 1,200 | 1,233 | ||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya | ||||||||
6.250%, 05/20/15(A) | 1,123 | 1,216 | ||||||
6.250%, 05/20/15 | 450 | 487 | ||||||
Kazkommertsbank | ||||||||
12.850%, 12/18/12 | 200 | 207 | ||||||
8.500%, 04/16/13 | 400 | 403 | ||||||
8.000%, 11/03/15 | 1,900 | 1,815 | ||||||
7.875%, 04/07/14 | 500 | 492 | ||||||
6.875%, 02/13/17 | EUR | 450 | 536 | |||||
Kazkommertsbank Via Citigroup Global Markets | ||||||||
8.700%, 04/07/14(C)(D) | 1,300 | 1,164 | ||||||
KazMunayGas National MTN | ||||||||
11.750%, 01/23/15(A) | 2,673 | 3,262 | ||||||
11.750%, 01/23/15 | 2,974 | 3,629 | ||||||
9.125%, 07/02/18(A) | 2,210 | 2,753 | ||||||
9.125%, 07/02/18 | 1,129 | 1,407 | ||||||
8.375%, 07/02/13 | 4,640 | 4,943 | ||||||
7.000%, 05/05/20 | 1,940 | 2,206 | ||||||
7.000%, 05/05/20(A) | 1,626 | 1,849 | ||||||
6.375%, 04/09/21 | 1,750 | 1,933 | ||||||
6.375%, 04/09/21(A) | 4,269 | 4,715 | ||||||
Republic of Kazakhstan | ||||||||
6.375%, 10/06/20(A) | EUR | 1,400 | 1,550 | |||||
Tengizchevroil Finance | ||||||||
6.124%, 11/15/14 | 215 | 225 | ||||||
Zhaikmunai LLP | ||||||||
10.500%, 10/19/15(A) | 2,059 | 2,171 | ||||||
10.500%, 10/19/15 | 550 | 580 | ||||||
|
| |||||||
43,206 | ||||||||
|
| |||||||
Kuwait — 0.1% | ||||||||
Kuwait Projects MTN | ||||||||
9.375%, 07/15/20 | 600 | 656 | ||||||
8.875%, 10/17/16 | 700 | 786 | ||||||
|
| |||||||
1,442 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Latvia — 0.1% | ||||||||
Republic of Latvia | ||||||||
5.250%, 06/16/21(A) | 490 | $ | 492 | |||||
|
| |||||||
Lebanon — 0.5% | ||||||||
Republic of Lebanon MTN | ||||||||
9.000%, 03/20/17 | 100 | 118 | ||||||
8.250%, 04/12/21 | 800 | 952 | ||||||
6.600%, 11/27/26 | 890 | 909 | ||||||
6.375%, 03/09/20 | 1,400 | 1,488 | ||||||
6.100%, 10/04/22 | 900 | 920 | ||||||
5.150%, 11/12/18 | 300 | 302 | ||||||
|
| |||||||
4,689 | ||||||||
|
| |||||||
Lithuania — 1.9% | ||||||||
Republic of Lithuania | ||||||||
7.375%, 02/11/20 | 1,824 | 2,134 | ||||||
7.375%, 02/11/20(A) | 1,100 | 1,287 | ||||||
6.750%, 01/15/15(A) | 1,186 | 1,281 | ||||||
6.625%, 02/01/22(A) | 4,018 | 4,450 | ||||||
6.125%, 03/09/21 | 5,080 | 5,435 | ||||||
6.125%, 03/09/21(A) | 3,039 | 3,252 | ||||||
5.125%, 09/14/17(A) | 1,025 | 1,066 | ||||||
|
| |||||||
18,905 | ||||||||
|
| |||||||
Malaysia — 2.0% | ||||||||
Axiata SPV1 Labuan | ||||||||
5.375%, 04/28/20 | 250 | 264 | ||||||
Petroliam Nasional | ||||||||
7.625%, 10/15/26 | 925 | 1,277 | ||||||
Petronas Capital | ||||||||
7.875%, 05/22/22(A) | 250 | 336 | ||||||
7.875%, 05/22/22 | 6,311 | 8,477 | ||||||
5.250%, 08/12/19 | 1,100 | 1,226 | ||||||
5.250%, 08/12/19(A) | 6,740 | 7,513 | ||||||
Wakala Global Sukuk | ||||||||
4.646%, 07/06/21(A) | 900 | 974 | ||||||
|
| |||||||
20,067 | ||||||||
|
| |||||||
Mexico — 8.2% | ||||||||
America Movil | ||||||||
2.375%, 09/08/16 | 1,800 | 1,822 | ||||||
Axtel | ||||||||
9.000%, 09/22/19 | 719 | 586 | ||||||
7.625%, 02/01/17(A) | 249 | 202 | ||||||
Bank of New York Mellon Institucion de Banca Multiple | ||||||||
9.625%, 05/02/21(A) | 1,384 | 1,322 | ||||||
BBVA Bancomer | ||||||||
6.008%, 05/17/22(C) | 1,000 | 980 | ||||||
Cemex | ||||||||
9.000%, 01/11/18(A) | 1,266 | 1,193 | ||||||
5.470%, 09/30/15(A)(C) | 737 | 665 | ||||||
Cemex Espana | ||||||||
9.250%, 05/12/20(A) | 2,100 | 1,927 | ||||||
8.875%, 05/12/17 | EUR | 51 | 59 | |||||
Cemex Finance | ||||||||
9.500%, 12/14/16 | 500 | 499 |
5 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Comision Federal de Electricidad | ||||||||
5.750%, 02/14/42(A) | 900 | $ | 899 | |||||
4.875%, 05/26/21(A) | 550 | 583 | ||||||
Desarrolladora Homex | ||||||||
9.750%, 03/25/20(A) | 1,000 | 1,060 | ||||||
Deutsche Bank, CLN (Urbi Desarrollos Urbanos) | ||||||||
10.571%, 12/22/12 | 540 | 570 | ||||||
GEO | ||||||||
9.250%, 06/30/20 | 500 | 529 | ||||||
9.250%, 06/30/20(A) | 900 | 952 | ||||||
8.875%, 03/27/22(A) | 200 | 204 | ||||||
Grupo Bimbo | ||||||||
4.875%, 06/30/20(A) | 152 | 159 | ||||||
Grupo Senda | ||||||||
10.500%, 10/03/15 | 3,665 | 3,619 | ||||||
Grupo Televisa | ||||||||
6.000%, 05/15/18 | 245 | 284 | ||||||
Mexican Bonos MTN | ||||||||
4.750%, 03/08/44 | 260 | 255 | ||||||
3.625%, 03/15/22 | 650 | 665 | ||||||
Mexican Bonos, Ser M | ||||||||
6.500%, 06/10/21 | MXP | 48,780 | 3,884 | |||||
Mexican Bonos, Ser M20 | ||||||||
8.500%, 05/31/29 | MXP | 55,600 | 4,970 | |||||
7.750%, 05/29/31 | MXP | 60,500 | 4,985 | |||||
Mexican Bonos, Ser M30 | ||||||||
10.000%, 11/20/36 | MXP | 49,900 | 4,992 | |||||
NII Capital | ||||||||
10.000%, 08/15/16 | 359 | 407 | ||||||
7.625%, 04/01/21 | 516 | 504 | ||||||
Oceanografia | ||||||||
11.250%, 07/15/15 | 1,079 | 658 | ||||||
Pemex Finance | ||||||||
9.150%, 11/15/18 | 1,595 | 2,052 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 | 2,546 | 2,902 | ||||||
5.750%, 03/01/18 | 2,055 | 2,312 | ||||||
Petroleos Mexicanos | ||||||||
8.000%, 05/03/19 | 700 | 885 | ||||||
6.500%, 06/02/41(A) | 442 | 497 | ||||||
6.500%, 06/02/41(A) | 750 | 844 | ||||||
6.000%, 03/05/20(A) | 300 | 341 | ||||||
4.875%, 01/24/22(A) | 600 | 630 | ||||||
United Mexican States MTN | ||||||||
8.300%, 08/15/31 | 3,865 | 5,759 | ||||||
6.050%, 01/11/40 | 4,360 | 5,276 | ||||||
5.950%, 03/19/19 | 1,300 | 1,559 | ||||||
5.750%, 10/12/10 | 6,134 | 6,303 | ||||||
5.625%, 01/15/17 | 1,442 | 1,668 | ||||||
5.125%, 01/15/20 | 1,700 | 1,951 | ||||||
United Mexican States, Ser A MTN | ||||||||
8.000%, 09/24/22 | 1,785 | 2,454 | ||||||
6.750%, 09/27/34 | 5,226 | 6,715 | ||||||
Urbi Desarrollos Urbanos | ||||||||
9.750%, 02/03/22(A) | 600 | 636 | ||||||
9.500%, 01/21/20 | 100 | 105 | ||||||
|
| |||||||
82,323 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Mongolia — 0.1% | ||||||||
Mongolian Mining MTN | ||||||||
8.875%, 03/29/17(A) | 777 | $ | 776 | |||||
|
| |||||||
Morocco — 0.2% | ||||||||
Kingdom of Morocco | ||||||||
4.500%, 10/05/20 | EUR | 1,500 | 1,860 | |||||
|
| |||||||
Nigeria — 0.3% | ||||||||
Afren | ||||||||
11.500%, 02/01/16(A) | 1,150 | 1,245 | ||||||
10.250%, 04/08/19(A) | 700 | 734 | ||||||
Republic of Nigeria | ||||||||
6.750%, 01/28/21(A) | 750 | 823 | ||||||
UBS | ||||||||
7.396%, 08/29/10(A)(B)(C) | 750 | 470 | ||||||
|
| |||||||
3,272 | ||||||||
|
| |||||||
Oman — 0.0% | ||||||||
Blue City Investments | ||||||||
13.750%, 11/07/13(B) | 2,250 | 112 | ||||||
|
| |||||||
Pakistan — 0.2% | ||||||||
Republic of Pakistan | ||||||||
7.125%, 03/31/16 | 910 | 755 | ||||||
6.875%, 06/01/17 | 100 | 75 | ||||||
6.875%, 06/01/17 | 1,390 | 1,043 | ||||||
|
| |||||||
1,873 | ||||||||
|
| |||||||
Panama — 2.0% | ||||||||
Republic of Panama | ||||||||
9.375%, 04/01/29 | 4,141 | 6,632 | ||||||
9.375%, 01/16/23 | 560 | 778 | ||||||
8.875%, 09/30/27 | 1,650 | 2,525 | ||||||
8.125%, 04/28/34 | 1,409 | 1,944 | ||||||
7.250%, 03/15/15 | 620 | 718 | ||||||
7.125%, 01/29/26 | 325 | 434 | ||||||
6.700%, 01/26/36 | 5,098 | 6,704 | ||||||
|
| |||||||
19,735 | ||||||||
|
| |||||||
Peru — 1.7% | ||||||||
Banco de Credito del Peru | ||||||||
5.375%, 09/16/20(A) | 424 | 433 | ||||||
Inkia Energy | ||||||||
8.375%, 04/04/21(A) | 460 | 474 | ||||||
Interoceanica IV Finance | ||||||||
3.809%, 11/30/25(A)(B)(G) | 873 | 532 | ||||||
3.638%, 11/30/18(A)(B)(G) | 357 | 307 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 6 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Peru Enhanced Pass-Through Finance | ||||||||
4.156%, 06/02/25(A)(G)1 | 1,000 | $ | 600 | |||||
3.936%, 05/31/18(A)(B)(G)1 | 472 | 415 | ||||||
3.288%, 05/31/18(B)(G)1 | 175 | 154 | ||||||
Republic of Peru | ||||||||
8.750%, 11/21/33 | 5,189 | 8,048 | ||||||
8.375%, 05/03/16 | 600 | 746 | ||||||
7.350%, 07/21/25 | 3,460 | 4,726 | ||||||
Southern Copper | ||||||||
6.750%, 04/16/40 | 386 | 417 | ||||||
Volcan Cia Minera SAA | ||||||||
5.375%, 02/02/22(A) | 503 | 521 | ||||||
|
| |||||||
17,373 | ||||||||
|
| |||||||
Philippines — 3.6% | ||||||||
National Power | ||||||||
9.625%, 05/15/28(B) | 1,100 | 1,540 | ||||||
Power Sector Assets & Liabilities Management | ||||||||
7.390%, 12/02/24(A) | 800 | 1,012 | ||||||
7.390%, 12/02/24 | 500 | 633 | ||||||
7.250%, 05/27/19(A) | 150 | 184 | ||||||
Republic of Philippines | ||||||||
10.625%, 03/16/25 | 3,200 | 5,168 | ||||||
9.500%, 02/02/30 | 3,559 | 5,623 | ||||||
9.375%, 01/18/17 | 150 | 194 | ||||||
8.375%, 06/17/19 | 2,050 | 2,716 | ||||||
7.750%, 01/14/31 | 5,629 | 7,768 | ||||||
7.500%, 09/25/24 | 670 | 871 | ||||||
6.500%, 01/20/20 | 1,156 | 1,397 | ||||||
6.375%, 10/23/34 | 2,288 | 2,817 | ||||||
5.500%, 03/30/26 | 1,860 | 2,118 | ||||||
5.000%, 01/13/37 | 650 | 678 | ||||||
4.000%, 01/15/21 | 3,057 | 3,183 | ||||||
|
| |||||||
35,902 | ||||||||
|
| |||||||
Poland — 3.0% | ||||||||
Eileme 2 | ||||||||
11.625%, 01/31/20(A) | 1,000 | 1,042 | ||||||
Polish Television Holding | ||||||||
11.000%, 11/15/14(A)(D) | EUR | 600 | 801 | |||||
Republic of Poland | ||||||||
6.375%, 07/15/19 | 9,506 | 11,051 | ||||||
5.125%, 04/21/21 | 2,669 | 2,850 | ||||||
5.000%, 03/23/22 | 10,701 | 11,279 | ||||||
4.000%, 03/23/21 | EUR | 736 | 984 | |||||
TVN Finance II | ||||||||
10.750%, 11/15/17(A) | EUR | 1,200 | 1,694 | |||||
10.750%, 11/15/17 | EUR | 200 | 282 | |||||
|
| |||||||
29,983 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Qatar — 2.0% | ||||||||
Qtel International Finance | ||||||||
7.875%, 06/10/19 | 2,020 | $ | 2,480 | |||||
6.500%, 06/10/14(A) | 200 | 219 | ||||||
5.000%, 10/19/25 | 270 | 273 | ||||||
5.000%, 10/19/25(A) | 637 | 645 | ||||||
4.750%, 02/16/21(A) | 457 | 472 | ||||||
4.750%, 02/16/21 | 840 | 868 | ||||||
State of Qatar | ||||||||
9.750%, 06/15/30 | 1,025 | 1,602 | ||||||
6.550%, 04/09/19 | 1,533 | 1,824 | ||||||
6.400%, 01/20/40 | 1,176 | 1,373 | ||||||
6.400%, 01/20/40(A) | 710 | 829 | ||||||
5.750%, 01/20/42(A) | 750 | 811 | ||||||
5.250%, 01/20/20(A) | 2,800 | 3,087 | ||||||
5.250%, 01/20/20 | 2,525 | 2,784 | ||||||
4.500%, 01/20/22(A) | 2,500 | 2,609 | ||||||
4.000%, 01/20/15(A) | 300 | 316 | ||||||
|
| |||||||
20,192 | ||||||||
|
| |||||||
Romania — 0.2% | ||||||||
Government of Romania MTN | ||||||||
6.750%, 02/07/22(A) | 1,568 | 1,639 | ||||||
|
| |||||||
Russia — 9.1% | ||||||||
AK Transneft Via TransCapitalInvest | ||||||||
8.700%, 08/07/18 | 100 | 123 | ||||||
Alfa Bank Via Alfa Bond Issuance | ||||||||
7.875%, 09/25/17(A) | 675 | 696 | ||||||
7.750%, 04/28/21(A) | 750 | 737 | ||||||
Alfa Invest MTN | ||||||||
9.250%, 06/24/13(A)(B) | 750 | 794 | ||||||
Alfa Issuance MTN | ||||||||
8.000%, 03/18/15 | 417 | 439 | ||||||
ALROSA Finance | ||||||||
7.750%, 11/03/20 | 240 | 256 | ||||||
Bank of Moscow via BOM Capital | ||||||||
6.699%, 03/11/15 | 1,200 | 1,251 | ||||||
Evraz Group | ||||||||
9.500%, 04/24/18 | 500 | 550 | ||||||
6.750%, 04/27/18 | 500 | 478 | ||||||
6.750%, 04/27/18(A) | 896 | 857 | ||||||
Lukoil International Finance BV | ||||||||
6.656%, 06/07/22 | 500 | 553 | ||||||
Metalloinvest Finance | ||||||||
6.500%, 07/21/16(A) | 820 | 807 | ||||||
6.500%, 07/21/16 | 1,000 | 985 | ||||||
MTS International Funding | ||||||||
8.625%, 06/22/20 | 100 | 116 | ||||||
8.625%, 06/22/20(A) | 1,500 | 1,735 | ||||||
Novatek Finance | ||||||||
6.604%, 02/03/21(A) | 2,063 | 2,280 | ||||||
5.326%, 02/03/16 | 255 | 268 | ||||||
Russia, CLN | ||||||||
7.600%, 04/14/21 | 55,200 | 1,865 | ||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||
7.750%, 05/29/18 | 650 | 736 |
7 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Russian Foreign Bond - Eurobond | ||||||||
12.750%, 06/24/28 | 2,210 | $ | 3,981 | |||||
7.500%, 03/31/30 | 33,591 | 40,183 | ||||||
5.625%, 04/04/42(A) | 1,800 | 1,786 | ||||||
5.000%, 04/29/20(A) | 2,500 | 2,665 | ||||||
5.000%, 04/29/20 | 700 | 746 | ||||||
3.625%, 04/29/15 | 300 | 312 | ||||||
3.250%, 04/04/17(A) | 1,200 | 1,201 | ||||||
Sberbank of Russia Via SB Capital | ||||||||
6.125%, 02/07/22(A) | 550 | 564 | ||||||
SCF Capital | ||||||||
5.375%, 10/27/17(A) | 2,510 | 2,397 | ||||||
Severstal JSC via Steel Capital | ||||||||
6.250%, 07/26/16 | 800 | 799 | ||||||
Severstal Via Steel Capital | ||||||||
6.700%, 10/25/17 | 400 | 405 | ||||||
Sinek Capital Via Edel Capital | ||||||||
7.700%, 08/03/15 | 500 | 508 | ||||||
Teorema Holding | ||||||||
11.000%, 10/27/09(F)(H) | 3,400 | 340 | ||||||
TMK Capital | ||||||||
7.750%, 01/27/18 | 1,100 | 1,065 | ||||||
TNK-BP Finance | ||||||||
6.250%, 02/02/15(A) | 202 | 218 | ||||||
Vimpel Communications Via UBS Luxembourg | ||||||||
8.250%, 05/23/16 | 570 | 619 | ||||||
Vimpel Communications Via VIP Finance Ireland | ||||||||
9.125%, 04/30/18(A)(B) | 600 | 655 | ||||||
9.125%, 04/30/18 | 950 | 1,038 | ||||||
7.748%, 02/02/21(A) | 3,436 | 3,393 | ||||||
VimpelCom Holdings | ||||||||
7.504%, 03/01/22(A) | 700 | 679 | ||||||
6.255%, 03/01/17 | 550 | 548 | ||||||
Vnesheconombank Via VEB Finance MTN | ||||||||
6.902%, 07/09/20(A) | 2,385 | 2,579 | ||||||
6.902%, 07/09/20 | 3,350 | 3,622 | ||||||
6.800%, 11/22/25 | 1,300 | 1,360 | ||||||
6.800%, 11/22/25(A) | 900 | 942 | ||||||
5.450%, 11/22/17(A) | 700 | 725 | ||||||
VTB Bank Via VTB Capital | ||||||||
6.875%, 05/29/18 | 700 | 739 | ||||||
6.551%, 10/13/20(A) | 960 | 958 | ||||||
6.250%, 06/30/35 | 381 | 398 | ||||||
|
| |||||||
90,951 | ||||||||
|
| |||||||
Saudi Arabia — 0.1% | ||||||||
Dar Al-Arkan International Sukuk | ||||||||
10.750%, 02/18/15(A) | 1,500 | 1,446 | ||||||
|
| |||||||
Senegal — 0.2% | ||||||||
Republic of Senegal | ||||||||
8.750%, 05/13/21 | 250 | 271 | ||||||
8.750%, 05/13/21(A) | 1,210 | 1,313 | ||||||
|
| |||||||
1,584 | ||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Serbia — 0.1% | ||||||||
Republic of Serbia | ||||||||
7.250%, 09/28/21 | 200 | $ | 212 | |||||
7.250%, 09/28/21(A) | 1,000 | 1,052 | ||||||
|
| |||||||
1,264 | ||||||||
|
| |||||||
Singapore — 0.2% | ||||||||
MMI International | ||||||||
8.000%, 03/01/17 | 250 | 259 | ||||||
Sea Product | ||||||||
4.743%, 05/14/10(B) | 1,592 | 1,369 | ||||||
STATS ChipPAC | ||||||||
5.375%, 03/31/16(A) | 176 | 179 | ||||||
Yanlord Land Group | ||||||||
9.500%, 05/04/17 | 200 | 178 | ||||||
|
| |||||||
1,985 | ||||||||
|
| |||||||
South Africa — 3.0% | ||||||||
Edcon Proprietary | ||||||||
9.500%, 03/01/18 | EUR | 100 | 120 | |||||
4.126%, 06/15/14(C) | EUR | 1,500 | 1,758 | |||||
Eskom Holdings | ||||||||
5.750%, 01/26/21(A) | 2,450 | 2,572 | ||||||
Gold Fields Orogen Holdings | ||||||||
4.875%, 10/07/20 | 1,124 | 1,077 | ||||||
Myriad International Holding | ||||||||
6.375%, 07/28/17(A) | 659 | 722 | ||||||
6.375%, 07/28/17 | 570 | 624 | ||||||
Republic of South Africa | ||||||||
8.500%, 06/23/17 | 860 | 1,066 | ||||||
8.000%, 12/21/18 | ZAR | 11,040 | 1,462 | |||||
6.875%, 05/27/19 | 3,197 | 3,848 | ||||||
6.750%, 03/31/21 | ZAR | 17,820 | 2,157 | |||||
6.250%, 03/08/41 | 1,611 | 1,885 | ||||||
5.875%, 05/30/22 | 2,050 | 2,337 | ||||||
5.500%, 03/09/20 | 5,640 | 6,289 | ||||||
4.665%, 01/17/24 | 3,776 | 3,861 | ||||||
Transnet MTN | ||||||||
4.500%, 02/10/16(A) | 560 | 580 | ||||||
|
| |||||||
30,358 | ||||||||
|
| |||||||
South Korea — 0.2% | ||||||||
Export-Import Bank of Korea | ||||||||
4.375%, 09/15/21 | 350 | 353 | ||||||
Korea Gas | ||||||||
6.250%, 01/20/42(A) | 280 | 318 | ||||||
Republic of Korea | ||||||||
7.125%, 04/16/19 | 950 | 1,175 | ||||||
|
| |||||||
1,846 | ||||||||
|
| |||||||
Sri Lanka — 0.2% | ||||||||
Republic of Sri Lanka | ||||||||
7.400%, 01/22/15(A) | 350 | 370 | ||||||
6.250%, 10/04/20(A) | 900 | 896 | ||||||
6.250%, 07/27/21(A) | 400 | 398 | ||||||
|
| |||||||
1,664 | ||||||||
|
| |||||||
Supra-National — 0.1% | ||||||||
Andina de Fomento | ||||||||
8.125%, 06/04/19 | 485 | 601 | ||||||
|
|
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 8 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Trinidad & Tobago — 0.3% | ||||||||
Petroleum of Trinidad & Tobago | ||||||||
9.750%, 08/14/19(A)(B) | 1,090 | $ | 1,344 | |||||
6.000%, 05/08/22(A)(B) | 306 | 317 | ||||||
6.000%, 05/08/22(B) | 1,667 | 1,725 | ||||||
|
| |||||||
3,386 | ||||||||
|
| |||||||
Tunisia — 0.0% | ||||||||
Banque Centrale de Tunisie | ||||||||
8.250%, 09/19/27 | 200 | 238 | ||||||
|
| |||||||
Turkey — 3.6% | ||||||||
Export Credit Bank of Turkey | ||||||||
5.375%, 11/04/16(A) | 850 | 859 | ||||||
Republic of Turkey | ||||||||
11.875%, 01/15/30 | 850 | 1,435 | ||||||
8.000%, 02/14/34 | 2,000 | 2,500 | ||||||
7.500%, 07/14/17 | 800 | 922 | ||||||
7.500%, 11/07/19 | 3,630 | 4,256 | ||||||
7.375%, 02/05/25 | 2,020 | 2,376 | ||||||
7.250%, 03/15/15 | 850 | 943 | ||||||
7.250%, 03/05/38 | 2,890 | 3,360 | ||||||
7.000%, 06/05/20 | 570 | 650 | ||||||
7.000%, 03/11/19 | 550 | 628 | ||||||
7.000%, 09/26/16 | 938 | 1,055 | ||||||
6.875%, 03/17/36 | 2,220 | 2,464 | ||||||
6.750%, 05/30/40 | 2,633 | 2,870 | ||||||
6.750%, 04/03/18 | 4,314 | 4,837 | ||||||
6.250%, 09/26/22 | 1,715 | 1,844 | ||||||
6.000%, 01/14/41 | 552 | 544 | ||||||
5.625%, 03/30/21 | 1,501 | 1,566 | ||||||
5.125%, 03/25/22 | 1,709 | 1,696 | ||||||
0.000%, 05/15/13(G) | 750 | 380 | ||||||
0.000%, 07/17/13(G)1 | 1,830 | 913 | ||||||
Yuksel Insaat | ||||||||
9.500%, 11/10/15 | 146 | 127 | ||||||
|
| |||||||
36,225 | ||||||||
|
| |||||||
Ukraine — 2.9% | ||||||||
DTEK Finance | ||||||||
9.500%, 04/28/15(A) | 620 | 589 | ||||||
9.500%, 04/28/15 | 550 | 523 | ||||||
Ferrexpo Finance | ||||||||
7.875%, 04/07/16(A) | 538 | 498 | ||||||
7.875%, 04/07/16 | 1,200 | 1,110 | ||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||
8.375%, 11/03/17(A) | 550 | 468 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Government of Ukraine | ||||||||
7.950%, 02/23/21 | 206 | $ | 177 | |||||
7.950%, 02/23/21(A) | 250 | 215 | ||||||
7.750%, 09/23/20(A) | 440 | 376 | ||||||
7.750%, 09/23/20 | 554 | 474 | ||||||
7.650%, 06/11/13 | 600 | 578 | ||||||
6.875%, 09/23/15(A)(E) | 1,472 | 1,360 | ||||||
6.875%, 09/23/15 | 1,287 | 1,189 | ||||||
6.750%, 11/14/17 | 1,350 | 1,181 | ||||||
6.580%, 11/21/16 | 1,600 | 1,384 | ||||||
6.580%, 11/21/16(A) | 440 | 381 | ||||||
6.385%, 06/26/12 | 500 | 498 | ||||||
6.250%, 06/17/16 | 312 | 271 | ||||||
6.250%, 06/17/16(A) | 1,343 | 1,168 | ||||||
Metinvest | ||||||||
8.750%, 02/14/18(A) | 869 | 786 | ||||||
8.750%, 02/14/18 | 1,450 | 1,312 | ||||||
MHP | ||||||||
10.250%, 04/29/15 | 968 | 929 | ||||||
10.250%, 04/29/15(A) | 1,428 | 1,371 | ||||||
Mriya Agro Holding | ||||||||
10.950%, 03/30/16(A) | 616 | 563 | ||||||
National Naftogaz of Ukraine | ||||||||
9.500%, 09/30/14 | 6,600 | 6,386 | ||||||
Oschadbank Via SSB #1 | ||||||||
8.250%, 03/10/16 | 800 | 680 | ||||||
The EXIM of Ukraine Via Credit Suisse First Boston International | ||||||||
6.800%, 10/04/12 | 750 | 748 | ||||||
Ukreximbank Via Biz Finance | ||||||||
8.375%, 04/27/15 | 4,771 | 4,413 | ||||||
|
| |||||||
29,628 | ||||||||
|
| |||||||
United Arab Emirates — 3.3% |
| |||||||
Abu Dhabi National Energy MTN | ||||||||
5.875%, 12/13/21(A) | 445 | 474 | ||||||
Atlantic Finance | ||||||||
10.750%, 05/27/14 | 1,600 | 1,756 | ||||||
Dolphin Energy | ||||||||
5.888%, 06/15/19(A) | 421 | 456 | ||||||
5.888%, 06/15/19 | 632 | 684 | ||||||
5.500%, 12/15/21(A) | 400 | 422 | ||||||
DP World MTN | ||||||||
6.850%, 07/02/37 | 2,250 | 2,171 | ||||||
Dubai DOF Sukuk MTN | ||||||||
6.396%, 11/03/14 | 800 | 845 | ||||||
Dubai Electricity & Water Authority | ||||||||
8.500%, 04/22/15(A) | 2,000 | 2,225 | ||||||
8.500%, 04/22/15 | 1,078 | 1,199 | ||||||
7.375%, 10/21/20 | 150 | 161 | ||||||
7.375%, 10/21/20(A) | 2,416 | 2,591 | ||||||
Dubai Holding Commercial Operations MTN | ||||||||
6.000%, 02/01/17 | GBP | 750 | 1,008 | |||||
4.750%, 01/30/14 | EUR | 2,350 | 2,930 | |||||
Dubai Sukuk Centre | ||||||||
0.849%, 06/13/12(C) | 2,400 | 2,328 | ||||||
Emirate of Abu Dhabi | ||||||||
6.750%, 04/08/19(A) | 470 | 573 | ||||||
6.750%, 04/08/19 | 600 | 732 |
9 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Description | Face Amount(1) (Thousands) | Market Value ($ Thousands) | ||||||
Emirate of Dubai MTN | ||||||||
7.750%, 10/05/20 | 950 | $ | 1,047 | |||||
6.700%, 10/05/15 | 300 | 322 | ||||||
IPIC GMTN MTN | ||||||||
6.875%, 11/01/41(A) | 790 | 826 | ||||||
5.500%, 03/01/22(A) | 363 | 373 | ||||||
3.750%, 03/01/17(A) | 1,536 | 1,563 | ||||||
Jafz Sukuk | ||||||||
2.991%, 11/27/12(C) | AED | 22,400 | 5,849 | |||||
MAF SUKUK MTN | ||||||||
5.850%, 02/07/17 | 500 | 521 | ||||||
Pyrus | ||||||||
7.500%, 12/20/15 | 1,300 | 1,341 | ||||||
|
| |||||||
32,397 | ||||||||
|
| |||||||
Uruguay — 1.5% | ||||||||
Republic of Uruguay PIK | ||||||||
7.875%, 01/15/33 | 1,789 | 2,495 | ||||||
Republic of Uruguay | ||||||||
9.250%, 05/17/17 | 218 | 289 | ||||||
8.000%, 11/18/22 | 6,607 | 9,101 | ||||||
7.625%, 03/21/36 | 1,754 | 2,434 | ||||||
6.875%, 09/28/25 | 567 | 731 | ||||||
|
| |||||||
15,050 | ||||||||
|
| |||||||
Venezuela — 5.6% | ||||||||
Petroleos de Venezuela | ||||||||
12.750%, 02/17/22 | 1,650 | 1,650 | ||||||
8.500%, 11/02/17 | 900 | 790 | ||||||
8.500%, 11/02/17 | 990 | 869 | ||||||
5.500%, 04/12/37 | 2,000 | 1,190 | ||||||
5.375%, 04/12/27 | 4,855 | 2,986 | ||||||
5.250%, 04/12/17 | 4,497 | 3,406 | ||||||
5.000%, 10/28/15 | 4,201 | 3,487 | ||||||
4.900%, 10/28/14 | 13,652 | 12,219 | ||||||
Republic of Venezuela | ||||||||
13.625%, 08/15/18 | 2,100 | 2,310 | ||||||
13.625%, 08/15/18 | 144 | 158 | ||||||
12.750%, 08/23/22 | 6,330 | 6,647 | ||||||
11.950%, 08/05/31 | 5,280 | 5,201 | ||||||
11.750%, 10/21/26 | 1,580 | 1,556 | ||||||
10.750%, 09/19/13 | 400 | 417 | ||||||
9.375%, 01/13/34 | 2,030 | 1,690 | ||||||
9.250%, 09/15/27 | 2,570 | 2,267 | ||||||
9.250%, 05/07/28 | 2,180 | 1,799 | ||||||
9.000%, 05/07/23 | 2,820 | 2,397 | ||||||
8.500%, 10/08/14 | 1,066 | 1,069 | ||||||
8.250%, 10/13/24 | 1,950 | 1,550 | ||||||
7.750%, 10/13/19 | 1,250 | 1,050 | ||||||
7.650%, 04/21/25 | 1,250 | 944 | ||||||
7.000%, 03/31/38 | 100 | 70 | ||||||
6.000%, 12/09/20 | 880 | 653 | ||||||
|
| |||||||
56,375 | ||||||||
|
|
Description | Face Amount(1) (Thousands) | Market Value ($ Thousands) | ||||||
Vietnam — 0.2% | ||||||||
Republic of Vietnam | ||||||||
6.875%, 01/15/16 | 750 | $ | 819 | |||||
6.750%, 01/29/20 | 1,200 | 1,311 | ||||||
|
| |||||||
2,130 | ||||||||
|
| |||||||
Total Global Bonds | 928,391 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 1.8% |
| |||||||
Angola — 0.1% | ||||||||
Republic of Angola | ||||||||
3.667%, 04/30/16 | EUR | 975 | 1,184 | |||||
|
| |||||||
Brazil — 0.1% | ||||||||
Virgolino de Oliveira | ||||||||
5.551%, 11/03/15 | 441 | 438 | ||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
PT Bumi | ||||||||
15.000%, 01/18/13 (B) | 568 | 557 | ||||||
11.243%, 08/07/13 (B) | 1,743 | 1,823 | ||||||
|
| |||||||
2,380 | ||||||||
|
| |||||||
Mexico — 0.5% | ||||||||
Altos Hornos Promissory | ||||||||
0.000%, 04/29/99 (B) | 2,500 | 837 | ||||||
Altos Hornos Promissory | ||||||||
0.000%, 04/29/99 (B) | 2,500 | 837 | ||||||
Altos Hornos Promissory Note | ||||||||
0.000%, 12/31/49 (B) | 4,500 | 1,508 | ||||||
Altos Hornos Tranche A (Counterparty: Bank of America) | ||||||||
0.000%, 04/11/04 (B) | 6,540 | 2,191 | ||||||
|
| |||||||
5,373 | ||||||||
|
| |||||||
Singapore — 0.8% | ||||||||
Connect International PIK | ||||||||
0.000%, 08/31/11 (B) | 9,161 | 5,144 | ||||||
Morton Bay | ||||||||
6.220%, 12/30/09 (B) | 3,158 | 2,758 | ||||||
|
| |||||||
7,902 | ||||||||
|
| |||||||
Total Loan Participations | 17,277 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.4% | ||||||||
Dana Gas Sukuk CV to Variable Shares | ||||||||
7.500%, 10/31/12 | 850 | 659 | ||||||
Firstsource CV to 42,549.14 Shares | ||||||||
5.580%, 12/04/12 (G) | 1,800 | 2,165 | ||||||
Suzlon Energy CV to 22.683 Shares | ||||||||
2.959%, 06/12/12 (G) | 710 | 873 |
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 10 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
March 31, 2012
Description | Face Amount(1) (Thousands) | Market Value ($Thousands) | ||||||
Suzlon Energy CV to 533.2762 Shares | ||||||||
2.446%, 07/25/140 (G) | 450 | $ | 382 | |||||
|
| |||||||
Total Convertible Bonds |
| 4,079 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.7% |
| |||||||
United States — 0.7% | ||||||||
SEI Liquidity Fund, L.P., | ||||||||
0.180%†*(I) | 7,503,134 | 7,219 | ||||||
|
| |||||||
Total Affiliated Partnership | 7,219 | |||||||
|
| |||||||
TIME DEPOSITS — 3.1% | ||||||||
United States — 3.1% | ||||||||
Brown Brothers Harriman | ||||||||
0.050%, 04/02/12 | EUR 390 | 520 | ||||||
0.030%, 04/02/12 | 30,740 | 30,740 | ||||||
|
| |||||||
Total Time Deposits |
| 31,260 | ||||||
|
| |||||||
Total Investments — 95.7% |
| $ | 988,226 | |||||
|
|
The open futures contracts held by the Fund at March 31, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||
Euro-Bund | (8 | ) | Jun-2012 | $ | — | |||||
Euro-Buxl 30 Year Bond | (11 | ) | Jun-2012 | (5 | ) | |||||
U.S. 10-Year Treasury Note | (245 | ) | Jun-2012 | (122 | ) | |||||
U.S. 10-Year Treasury Note | 50 | Jun-2012 | (93 | ) | ||||||
U.S. Ultra Long Treasury Bond | (81 | ) | Jun-2012 | (69 | ) | |||||
|
| |||||||||
$ | (289 | ) | ||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
The following are the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/3/12 | KRW | 1,920,000 | USD | 1,693 | $ | (2 | ) | |||||
4/3/12-6/1/12 | USD | 2,643 | KRW | 3,000,000 | 4 | |||||||
4/3/12-6/20/12 | USD | 4,760 | ILS | 17,780 | 29 | |||||||
4/3/12-6/26/12 | ILS | 14,050 | USD | 3,770 | (16 | ) | ||||||
4/3/12-7/3/12 | BRL | 59,004 | USD | 31,597 | (621 | ) | ||||||
4/3/12-7/3/12 | USD | 28,590 | BRL | 50,853 | (731 | ) | ||||||
4/4/12-4/30/12 | EUR | 38,308 | USD | 50,204 | (810 | ) | ||||||
4/4/12-10/21/12 | USD | 3,604 | EUR | 2,701 | (7 | ) | ||||||
4/12/12 | PHP | 73,000 | USD | 1,700 | 1 | |||||||
4/12/12 | USD | 1,667 | PHP | 73,000 | 32 | |||||||
4/13/12 | HUF | 622,000 | EUR | 2,070 | (48 | ) | ||||||
4/13/12-4/30/12 | INR | 357,643 | USD | 7,059 | 61 | |||||||
4/13/12-4/30/12 | USD | 7,159 | INR | 357,643 | (162 | ) | ||||||
4/18/12 | EUR | 1,322 | PLN | 5,600 | 33 | |||||||
4/18/12 | IDR | 15,200,000 | USD | 1,647 | (13 | ) | ||||||
4/18/12 | THB | 52,000 | USD | 1,628 | (56 | ) | ||||||
4/18/12 | USD | 1,691 | IDR | 15,200,000 | (31 | ) | ||||||
4/18/12 | USD | 1,713 | THB | 52,000 | (29 | ) | ||||||
4/19/12-5/14/12 | RUB | 158,260 | USD | 5,372 | 24 | |||||||
4/19/12-6/8/12 | USD | 7,068 | RUB | 215,897 | 225 | |||||||
4/24/12 | CZK | 42,500 | EUR | 1,661 | (67 | ) | ||||||
4/24/12 | EUR | 288 | CZK | 7,200 | 3 | |||||||
4/27/12 | SGD | 940 | USD | 750 | 3 | |||||||
4/27/12-6/27/12 | USD | 5,496 | SGD | 6,929 | 17 | |||||||
4/30/12 | GBP | 896 | USD | 1,404 | (27 | ) | ||||||
4/30/12 | USD | 1,768 | COP | 3,200,000 | 9 | |||||||
5/2/12 | COP | 10,245,750 | USD | 5,700 | 14 | |||||||
5/3/12 | USD | 1,683 | MYR | 5,200 | 12 | |||||||
5/16/12 | CNY | 21,782 | USD | 3,438 | (20 | ) | ||||||
5/16/12-12/3/12 | USD | 6,139 | CNY | 39,152 | 72 | |||||||
5/22/12 | USD | 65 | ZAR | 500 | — | |||||||
5/24/12 | MXP | 10,600 | USD | 832 | 9 | |||||||
5/24/12-5/29/12 | USD | 2,658 | MXP | 34,100 | (9 | ) | ||||||
|
| |||||||||||
$ | (2,101 | ) | ||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2012, is as follows:
CounterParty | Currency to Deliver ($Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | (2,900 | ) | 2,793 | $ | (107 | ) | ||||||
Barclays PLC | (52,358 | ) | 52,108 | (250 | ) | |||||||
Boston Institutional Services | (8,519 | ) | 8,232 | (287 | ) | |||||||
Brown Brothers Harriman | — | — | — | |||||||||
Citigroup | (60,054 | ) | 59,917 | (138 | ) | |||||||
HSBC | (19,675 | ) | 18,924 | (751 | ) | |||||||
JPMorgan Chase Bank | (38,210 | ) | 37,792 | (418 | ) | |||||||
UBS | (20,462 | ) | 20,312 | (150 | ) | |||||||
|
| |||||||||||
$ | (2,101 | ) | ||||||||||
|
|
For the six months ended March 31, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The outstanding swap agreements held by the fund at March 31, 2012, is as follows:
Total Return Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
HSBC | Korea Treasury Bond, 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,217,000 | $ | 456 | ||||||||||||
Barclays Bank PLC | Korea Treasury Bond, 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,237,000 | 436 | |||||||||||||
|
| |||||||||||||||||||
$ | 892 | |||||||||||||||||||
|
|
For the six months ended March 31, 2012, the total number of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
11 | SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 |
Table of Contents
Percentages are based on a Net Assets of $1,000,378 ($ Thousands).
* | Rate shown is the 7-day effective yield as of March 31, 2012. |
† | Investment in Affiliated Security (See Note 4). |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Securities considered illiquid. The total market value of such securities as of March 31, 2012 was $31,320 ($ Thousands) and represented 3.1% of Net Assets. |
(C) | Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2012. |
(D) | Step Bonds - The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(E) | This security or a partial position of this security is on loan at March 31, 2012. The total market value of securities on loan at March 31, 2012 was $7,222 ($ Thousands) (See Note 8). |
(F) | Security in default on interest payments. |
(G) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $340 and represented 0.0% of Net Assets. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 8). The total value of such securities as of March 31, 2012 was $7,219 ($ Thousands). |
AED — United Arab Emirates Dirham
ARS — Argentine Peso
BRL — Brazilian Real
CLN — Credit Linked Note
CNY — Chinese Yuan
COP — Colombian Peso
CZK — Czech Koruna
EUR — Euro
GBP — British Pound Sterling
HUF — Hungarian Forint
IDR — Indonesia Rupiah
ILS — Israeli Shekel
INR — India Rupee
KRW — Korean Won
L.P. — Limited Partnership
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
PHP — Philippine Peso
PIK — Payment-in-Kind
PLC — Public Limited Company
PLN — Polish Zlotty
RUB — Russian Ruble
Ser — Series
SGD — Singapore Dollar
SPC — Segregated Portfolio Company
THB — Thai Baht
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bonds | $ | — | $ | 928,391 | — | $ | 928,391 | |||||||||
Convertible Bonds | — | 4,079 | — | 4,079 | ||||||||||||
Loan Participations | — | — | 17,277 | 17,277 | ||||||||||||
Affiliated Partnership | — | 7,219 | — | 7,219 | ||||||||||||
Time Deposits | — | 31,260 | — | 31,260 | ||||||||||||
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Total Investments in Securities | $ | — | �� | $ | 970,948 | $ | 17,277 | $ | 988,226 | |||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | (289 | ) | $ | — | $ | — | $ | (289 | ) | ||||||
Forwards | — | (2,101 | ) | — | (2,101 | ) | ||||||||||
Total Return Swaps * | — | 892 | — | 892 | ||||||||||||
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Total Other Financial Instruments | $ | (289 | ) | $ | (1,209 | ) | $ | — | $ | (1,498 | ) | |||||
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* | Futures contracts, forwards contracts, and total return swap contract are valued at the unrealized appreciation/depreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Loan Participations | ||||
Beginning balance as of October 1, 2011 | $ | 18,404 | ||
Accrued discounts/premiums | 53 | |||
Realized gain/(loss) | 19 | |||
Change in unrealized appreciation/(depreciation) | 634 | |||
Net purchases | — | |||
Net sales | (1,833 | ) | ||
Net transfer in and/or out of Level 3 | — | |||
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Ending balance as of March 31, 2012 | $ | 17,277 | ||
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Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | 65 | ||
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For the six months ended March 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the six months ended March 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional International Trust / Semi-Annual Report / March 31, 2012 | 12 |
Table of Contents
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.
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 Registrant’s board of trustees (the “Board”). Pursuant to the Committee's charter, adopted on June 18, 2004 and as amended, 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 and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 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) that occurred during the second 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. Exhibits.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)), also accompany this filing as an exhibit.
Table of Contents
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 Institutional International Trust | ||||
By | /s/ Robert A. Nesher | |||
Robert A. Nesher, President & CEO |
Date: June 11, 2012
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: June 11, 2012 | ||||
By | /s/ Peter A. Rodriguez | |||
Peter A. Rodriguez, Controller & CFO |
Date: June 11, 2012