SEMI-ANNUAL REPORT AS OF
JUNE 30, 2000 (UNAUDITED)
SEI INSURANCE
PRODUCTS TRUST
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SEI VP Large Cap Value Fund
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SEI VP Large Cap Growth Fund
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SEI VP Small Cap Value Fund
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SEI VP Small Cap Growth Fund
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SEI VP International Equity Fund
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SEI VP Emerging Markets Equity Fund
SEI VP Core Fixed Income Fund
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SEI VP High Yield Bond Fund
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SEI VP International Fixed Income Fund
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SEI VP Emerging Markets Debt Fund
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SEI VP Prime Obligation Fund
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SEI INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
[GRAPHIC OMITTED]
<PAGE>
TABLE OF CONTENTS
-------------------------------------------------------------------------------
STATEMENTS OF NET ASSETS/SCHEDULE OF INVESTMENTS........................ 1
STATEMENTS OF ASSETS AND LIABILITIES.................................... 27
STATEMENTS OF OPERATIONS................................................ 28
STATEMENTS OF CHANGES IN NET ASSETS..................................... 30
FINANCIAL HIGHLIGHTS.................................................... 32
NOTES TO FINANCIAL STATEMENTS........................................... 33
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP LARGE CAP VALUE FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 98.8%
AEROSPACE & DEFENSE -- 2.4%
Boeing 4,000 $ 167
Litton Industries* 1,200 50
United Technologies 2,200 130
------
347
------
AIR TRANSPORTATION -- 1.2%
AMR* 2,000 53
Delta Air Lines 2,400 121
------
174
------
AUTOMOTIVE -- 2.9%
Delphi Automotive Systems* 1,000 15
Ford Motor 6,200 267
General Motors 1,300 75
Navistar International* 1,400 43
Visteon 811 10
------
410
------
BANKS -- 7.6%
Astoria Financial 1,800 46
Bank of America 5,900 254
Chase Manhattan 2,250 104
Firstar 4,800 101
Fleet Boston Financial 4,900 167
Golden West Financial 2,800 114
Greenpoint Financial 600 11
PNC Financial Services Group 4,500 211
UnionBanCal 2,800 52
Washington Mutual 700 20
------
1,080
------
BEAUTY PRODUCTS -- 0.3%
Avon Products 1,100 49
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.6%
AT&T-Liberty Media Group, Cl A* 2,700 65
Gannett 2,200 132
Walt Disney 4,400 171
------
368
------
BUILDING & CONSTRUCTION -- 1.0%
Centex 2,200 52
Fluor 1,300 41
Pulte 2,100 45
------
138
------
BUILDING & CONSTRUCTION SUPPLIES -- 0.4%
Lafarge 1,500 31
Texas Industries 1,000 29
------
60
------
CHEMICALS -- 1.4%
Dow Chemical 5,100 $ 154
PPG Industries 1,000 44
------
198
------
COMPUTERS & SERVICES -- 4.0%
3Com* 300 17
Apple Computer* 1,400 73
Brocade Communications Systems* 500 92
DST Systems* 700 53
IBM 1,000 110
NCR* 3,700 144
Seagate Technology* 1,100 60
Unisys* 1,700 25
------
574
------
CONTAINERS & PACKAGING -- 0.3%
Ball 1,400 45
------
DRUGS -- 3.7%
Bristol-Myers Squibb 1,900 111
Johnson & Johnson 1,900 194
Merck 2,300 176
Pharmacia 900 47
------
528
------
ELECTRICAL SERVICES -- 5.3%
Constellation Energy Group 2,400 78
DTE Energy 1,900 58
Edison International 4,100 84
Energy East 3,600 69
FPL Group 1,000 49
PG&E 3,700 91
Pinnacle West Capital 2,200 75
Public Service Enterprise Group 6,100 211
Southern 1,600 37
------
752
------
FINANCIAL SERVICES -- 12.0%
American Express 1,500 78
Bear Stearns 2,300 96
Citigroup 8,400 506
Countrywide Credit Industries 2,300 70
Household International 2,500 104
JP Morgan 2,000 220
Lehman Brothers Holdings 1,300 123
MBNA 4,800 130
Merrill Lynch 700 80
Metris 1,650 41
Morgan Stanley Dean Witter 3,100 258
------
1,706
------
1
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP LARGE CAP VALUE FUND--CONCLUDED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 4.7%
Adolph Coors, Cl B 500 $ 30
ConAgra 3,100 59
Earthgrains 1,700 33
Fortune Brands 2,400 55
Great Atlantic & Pacific Tea 1,200 20
IBP 3,600 56
Nabisco Group Holdings 1,600 41
PepsiCo 3,500 156
Philip Morris 2,400 64
RJ Reynolds Tobacco Holdings 600 17
Ruddick 1,600 19
SUPERVALU 5,800 111
------
661
------
GAS/NATURAL GAS -- 0.6%
KeySpan 1,100 34
National Fuel & Gas 400 19
Sempra Energy 1,400 24
------
77
------
HOTELS & LODGING -- 0.7%
Starwood Hotels & Resorts
Worldwide 3,100 101
------
HOUSEHOLD FURNITURE & FIXTURES -- 1.5%
Maytag 2,400 88
Whirlpool 2,700 126
------
214
------
INSURANCE -- 7.5%
Allstate 1,400 31
AMBAC Financial Group 1,300 71
American International Group 2,400 282
CIGNA 2,600 243
Financial Security Assurance
Holdings 600 46
Hartford Financial Services Group 1,300 73
Marsh & McLennan 1,400 146
PMI Group 2,000 95
St. Paul 2,400 82
------
1,069
------
MACHINERY -- 2.0%
Cummins Engine 2,300 63
Deere 900 33
Dover 1,500 61
Rockwell International 2,200 69
Tecumseh Products, Cl A 1,300 50
------
276
------
MEDICAL PRODUCTS & SERVICES -- 3.4%
Bausch & Lomb 1,000 $ 77
HCA - Healthcare 600 18
Mallinckrodt 3,400 148
St. Jude Medical* 2,500 115
UnitedHealth Group 1,500 129
------
487
------
METAL FABRICATE/HARDWARE -- 0.2%
Timken 1,800 34
------
METALS & MINING -- 0.3%
Alcoa 1,400 41
------
MISCELLANEOUS MANUFACTURING -- 2.8%
Cooper Industries 1,600 52
FMC* 1,500 87
Honeywell International 1,700 57
Minnesota Mining & Manufacturing 1,500 124
Tyco International Ltd. 1,600 76
------
396
------
PAPER & PAPER PRODUCTS -- 1.2%
Boise Cascade 1,200 31
Georgia-Pacific Group 2,000 52
International Paper 2,900 86
------
169
------
PETROLEUM & FUEL PRODUCTS -- 9.5%
Amerada Hess 1,500 93
BJ Services* 1,400 88
Chevron 1,400 119
Exxon Mobil 6,700 526
Phillips Petroleum 4,000 203
Tosco 3,000 85
Ultramar Diamond Shamrock 2,400 60
USX-Marathon Group 3,200 80
Valero Energy 2,700 86
------
1,340
------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.7%
Eastman Kodak 1,700 101
------
RAILROADS -- 0.5%
Union Pacific 1,800 67
------
2
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
RETAIL -- 3.3%
BJ's Wholesale Club* 2,600 $ 86
Darden Restaurants 6,300 102
Federated Department Stores* 700 24
Lowe's 1,300 53
Sears Roebuck 3,900 127
TJX 1,700 32
Toys 'R' Us* 2,800 41
-------
465
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.1%
KLA-Tencor* 800 47
LSI Logic* 500 27
SDL* 100 29
Teradyne* 800 59
-------
162
-------
SOFTWARE -- 1.2%
Oracle* 800 67
Symantec* 1,800 97
-------
164
-------
TELEPHONES & TELECOMMUNICATION -- 11.9%
Alltel 1,200 74
AT&T 7,500 237
BellSouth 8,000 341
GTE 5,600 349
Harris 1,500 49
SBC Communications 7,200 311
Sprint(FON Group) 1,600 82
Telephone & Data Systems 1,300 130
US West 1,300 111
-------
1,684
-------
TRUCKING -- 0.6%
United Parcel Service, Cl B 900 53
Yellow* 2,000 30
-------
83
-------
Total Common Stocks
(Cost $14,673) 14,020
-------
REPURCHASE AGREEMENT -- 1.0%
Morgan Stanley Dean Witter (A)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $143,523
(collateralized by U.S. Treasury
Obligation, par value $144,122,
6.300%, 07/03/00, total
market value: $146,845) $ 143 $ 143
-------
Total Repurchase Agreement
(Cost $143) 143
-------
MONEY MARKET -- 0.4%
Evergreen Select Money
Market, Cl I 52,169 52
-------
Total Money Market
(Cost $52) 52
-------
Total Investments -- 100.2%
(Cost $14,868) 14,215
-------
OTHER ASSETS AND LIABILITIES, NET -- (0.2%) (27)
-------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 1,493,183 outstanding
shares of beneficial interest 14,933
Undistributed net investment income 55
Accumulated net realized loss
on investments (147)
Net unrealized depreciation on investments (653)
-------
Total Net Assets -- 100.0% $14,188
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.50
=======
*NON-INCOME PRODUCING SECURITY.
(A) TRI-PARTY REPURCHASE AGREEMENT.
CL -- CLASS
LTD. -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP LARGE CAP GROWTH FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 98.6%
AEROSPACE & DEFENSE -- 1.0%
United Technologies 2,800 $ 165
------
BANKS -- 1.4%
Bank of America 1,700 73
Bank One 1,000 27
Chase Manhattan 2,550 117
------
217
------
BEAUTY PRODUCTS -- 1.2%
Colgate-Palmolive 3,100 186
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 5.7%
AT&T-Liberty Media Group,
Cl A* 16,900 410
Time Warner 4,400 334
Viacom, Cl B* 2,250 153
------
897
------
COMMUNICATIONS EQUIPMENT -- 7.9%
Ciena* 750 125
Corning 900 243
JDS Uniphase* 950 114
LM Ericsson Telephone ADR 5,000 100
Metromedia Fiber Network, Cl A* 2,500 99
Nextel Partners, Cl A* 850 28
Nokia ADR 9,500 474
Nortel Networks 900 61
------
1,244
------
COMPUTERS & SERVICES -- 12.9%
Apple Computer* 1,200 63
Cisco Systems* 13,300 845
Dell Computer* 6,900 340
EMC* 2,800 215
Extreme Networks* 1,100 116
IBM 350 38
Network Appliance* 300 24
SanDisk* 1,050 64
Sun Microsystems* 2,700 246
VeriSign* 350 62
VERITAS Software* 100 11
------
2,024
------
DRUGS -- 13.4%
Alza* 1,150 68
Bristol-Myers Squibb 5,100 297
Immunex* 300 15
MedImmune* 750 56
Merck 2,000 $ 153
Pfizer 20,787 998
Pharmacia 2,100 109
Schering Plough 6,900 348
Teva Pharmaceutical ADR 1,050 58
------
2,102
------
ELECTRICAL SERVICES -- 1.6%
AES* 5,500 251
------
ELECTRONICS -- 2.8%
Agilent Technologies* 900 66
Credence Systems* 800 44
Solectron* 7,900 331
------
441
------
ENTERTAINMENT -- 0.2%
Metro-Goldwyn-Mayer* 1,550 41
------
FINANCIAL SERVICES -- 5.9%
American Express 1,650 86
Citigroup 5,200 313
MBNA 4,500 122
Morgan Stanley Dean Witter 4,850 404
------
925
------
FOOD, BEVERAGE & TOBACCO -- 1.6%
Kroger* 6,000 132
Safeway* 2,700 122
------
254
------
INSURANCE -- 1.5%
American International Group 2,000 235
------
MEDICAL PRODUCTS & SERVICES -- 2.6%
Allergan 1,100 82
Medtronic 5,200 259
Millennium Pharmaceuticals* 550 62
------
403
------
MISCELLANEOUS MANUFACTURING -- 6.7%
General Electric 10,950 580
Honeywell International 3,300 111
Tyco International Ltd. 7,500 355
------
1,046
------
4
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 1.6%
Cooper Cameron* 850 $ 56
Global Marine* 1,650 47
Noble Drilling* 3,500 144
------
247
------
RAILROADS -- 0.5%
Kansas City Southern Industries 900 80
------
RETAIL -- 7.2%
Gap 2,300 72
Home Depot 8,600 430
Kohl's* 6,800 378
Lowe's 1,650 68
Wal-Mart Stores 3,200 184
------
1,132
------
SEMI-CONDUCTORS/INSTRUMENTS -- 12.3%
Altera* 3,700 377
Analog Devices* 1,850 141
Applied Materials* 2,100 190
Cree* 250 33
Flextronics International Ltd.* 200 14
Intel 6,050 809
PMC-Sierra* 300 53
Teradyne* 1,300 96
Texas Instruments 3,100 213
------
1,926
------
SOFTWARE -- 6.5%
Adobe Systems 850 111
America Online* 1,575 83
Foundry Networks* 200 22
Genuity* 2,775 25
Intuit* 1,300 54
Mercury Interactive* 700 68
Microsoft* 5,850 468
Oracle* 1,800 151
PSINet* 950 24
Yahoo!* 100 12
------
1,018
------
TELEPHONES & TELECOMMUNICATION -- 3.6%
Amdocs Ltd.* 800 61
AT&T 1,900 60
AT&T Wireless Group* 6,800 190
McLeodUSA, Cl A* 2,850 59
Nextel Communications, Cl A* 1,400 86
Sprint(FON Group) 900 46
Vodafone Group PLC ADR 1,400 58
-------
560
-------
WHOLESALE -- 0.5%
Costco Wholesale* 2,200 73
-------
Total Common Stocks
(Cost $15,492) 15,467
-------
COMMERCIAL PAPER -- 1.1%
Ford Motor Credit
6.717%, 07/05/00 $ 166 $ 166
-------
Total Commercial Paper
(Cost $166) 166
-------
REPURCHASE AGREEMENT -- 0.6%
Morgan Stanley Dean Witter (A)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $97,163
(collateralized by U.S. Treasury
Obligation, par value $97,509, 6.300%,
07/03/00, total
market value: $99,352) 97 97
-------
Total Repurchase Agreement
(Cost $97) 97
-------
MONEY MARKET -- 0.3%
Evergreen Select Money
Market, Cl I 48,889 49
-------
Total Money Market
(Cost $49) 49
-------
Total Investments--100.6%
(Cost $15,804) 15,779
-------
OTHER ASSETS AND LIABILITIES, NET-- (0.6%) (88)
-------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 1,612,304 outstanding
shares of beneficial interest 16,117
Accumulated net investment loss (5)
Accumulated net realized loss
on investments (396)
Net unrealized depreciation on investments (25)
-------
Total Net Assets--100.0% $15,691
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.73
=======
*NON-INCOME PRODUCING SECURITY.
(A) TRI-PARTY REPURCHASE AGREEMENT.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP SMALL CAP VALUE FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 97.8%
AEROSPACE & DEFENSE -- 1.3%
Alliant Techsystems* 800 $ 54
Gencorp 3,025 24
Trimble Navigation Ltd.* 600 29
------
107
------
AIR TRANSPORTATION -- 1.2%
America West Holdings, Cl B* 2,800 48
Offshore Logistics* 1,600 23
Skywest 875 32
------
103
------
APPAREL/TEXTILES -- 1.5%
Kellwood 700 15
Phillips-Van Heusen 1,800 17
Polo Ralph Lauren* 2,125 30
Russell 1,100 22
Springs Industries, Cl A 1,375 44
------
128
------
AUTOMOTIVE -- 1.0%
Arvin Industries 1,300 23
Dura Automotive Systems* 1,300 14
Standard Motor Products 2,300 20
Superior Industries International 1,100 28
------
85
------
BANKS -- 9.0%
Andover Bancorp 900 26
Bancwest 2,950 48
Bank United, Cl A 1,700 60
Chittenden 1,300 32
City National 825 29
Cullen/Frost Bankers 1,225 32
Dime Bancorp 1,000 16
Dime Community Bancshares 2,900 47
Downey Financial 2,500 72
Firstfed Financial* 2,200 31
Flagstar Bancorp 2,200 18
Imperial Bancorp* 1,200 19
OceanFirst Financial 1,800 33
Silicon Valley Bancshares* 1,250 53
Sky Financial Group 1,300 21
Staten Island Bancorp 2,800 49
Washington Federal 3,400 62
Webster Financial 1,900 42
Westamerica Bancorporation 1,350 35
Whitney Holding 700 24
------
749
------
BIOTECHNOLOGY -- 0.6%
Albany Molecular Research* 525 $ 29
PE-Celera Genomics Group* 225 21
------
50
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.8%
Advo* 500 21
True North Communications 775 34
------
55
------
BUILDING & CONSTRUCTION -- 3.9%
Centex 1,000 23
DR Horton 1,450 20
Dycom Industries* 425 20
Kaufman & Broad Home 1,200 24
MDC Holdings 3,400 63
Pulte 3,225 70
Ryland Group 2,400 53
Toll Brothers* 1,100 23
Winnebago Industries 2,400 31
------
327
------
BUILDING & CONSTRUCTION SUPPLIES-- 0.9%
Johns Manville 1,100 14
Nortek* 1,400 28
Simpson Manufacturing* 525 25
------
67
------
CHEMICALS -- 3.7%
Albemarle 3,200 63
Arch Chemicals 1,000 22
Cytec Industries* 625 15
Ethyl 5,600 14
Geon 2,525 47
Olin 5,300 87
W.R. Grace* 2,525 31
Wellman 1,800 29
------
308
------
COMMERCIAL SERVICES -- 2.0%
Burns International Services* 3,400 42
CDI* 2,325 47
Interim Services* 1,975 35
Mail-Well* 1,700 15
Modis Professional Services* 3,500 27
------
166
------
6
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 2.5%
Anixter International* 1,800 $ 48
Avant!* 3,000 56
Brooktrout* 1,050 23
Catapult Communications* 1,625 16
M-Systems Flash Disk Pioneers* 200 16
Radisys* 800 45
------
204
------
CONSTRUCTION SUPPLIES & MATERIALS -- 0.2%
Rayonier 500 18
------
DENTAL SUPPLIES & EQUIPMENT -- 0.3%
Patterson Dental* 525 27
------
DRUGS -- 3.3%
Alpharma, Cl A 1,300 81
Bindley Western Industries 1,550 41
Dura Pharmaceuticals* 3,800 55
Noven Pharmaceuticals* 1,675 50
Perrigo* 4,200 26
Vertex Pharmaceuticals* 175 18
------
271
------
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.7%
Belden 575 15
Power-One* 387 44
------
59
------
ELECTRICAL SERVICES -- 5.2%
Cleco 1,500 50
Conectiv 2,075 32
El Paso Electric* 4,500 50
Energy East 300 6
Hawaiian Electric Industries 925 30
Idacorp 1,225 40
NSTAR 600 24
Public Service of New Mexico 5,750 89
RGS Energy Group 2,300 51
United Illuminating 1,000 44
WPS Resources 400 12
------
428
------
ELECTRONICS -- 2.2%
Credence Systems* 550 30
FEI* 400 12
Integrated Device Technology* 500 30
Kemet* 800 20
Pioneer Standard Electronics 1,500 22
Tektronix 900 67
------
181
------
ENTERTAINMENT -- 1.4%
Anchor Gaming* 725 $ 35
Aztar* 3,200 50
Zomax* 2,400 31
------
116
------
FINANCIAL SERVICES -- 2.2%
Dain Rauscher 1,425 94
Doral Financial 2,550 29
Heller Financial* 1,625 33
Metris 1,050 26
------
182
------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Adolph Coors, Cl B 400 24
Corn Products International 1,650 44
Fleming 3,500 46
Michael Foods 700 17
Pilgrim's Pride, Cl A 300 2
Pilgrim's Pride, Cl B 1,500 11
Suiza Foods* 700 34
Universal 2,525 53
Universal Foods 625 12
------
243
------
GAS/NATURAL GAS -- 3.0%
Northwest Natural Gas 1,050 23
Oneok 4,075 106
Peoples Energy 700 23
Southwest Gas 1,700 30
UGI 600 12
Washington Gas Light 2,350 57
------
251
------
HAND/MACHINE TOOLS -- 0.9%
Lincoln Electric Holdings 4,950 71
------
HOUSEHOLD FURNITURE & FIXTURES -- 2.4%
Ethan Allen Interiors 1,300 31
Harman International 1,000 61
Kimball International, Cl B 1,200 18
Salton* 2,400 88
------
198
------
INSURANCE -- 6.0%
Arthur J. Gallagher 700 29
CNA Surety 900 11
Commerce Group 3,000 88
Delphi Financial Group, Cl A* 900 31
FBL Financial Group, Cl A 2,100 33
HCC Insurance Holdings 1,600 30
7
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP SMALL CAP VALUE FUND--CONCLUDED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
Leucadia National 2,100 $ 48
Mony Group 1,400 47
Presidential Life 3,675 51
Radian Group 1,475 76
SCPIE Holdings 1,200 25
Stancorp Financial Group 800 26
------
495
------
LEASING & RENTING -- 2.3%
GATX 1,300 44
Rent-A-Center* 1,800 40
Rent-Way* 1,400 41
Rollins Truck Leasing 4,300 30
Xtra* 1,000 39
------
194
------
LEISURE PRODUCTS -- 0.9%
Arctic Cat 3,500 42
JAKKS Pacific* 2,100 31
------
73
------
MACHINERY -- 4.1%
Astec Industries* 1,100 28
Briggs & Stratton 1,200 41
Gehl* 700 10
Helix Technology 525 20
Imation* 1,800 53
JLG Industries 3,275 39
Kulicke & Soffa Industries* 525 31
Magnetek* 1,800 14
Manitowoc 1,150 31
PRI Automation* 200 13
Tecumseh Products, Cl A 1,500 57
------
337
------
MARINE TRANSPORTATION -- 0.9%
Alexander & Baldwin 3,450 76
------
MEDICAL PRODUCTS & SERVICES -- 3.5%
Diagnostic Products 1,800 58
First Health Group* 625 21
Hooper Holmes 1,500 12
Medical Manager* 300 10
MedQuist* 925 31
Orthodontic Centers of America* 1,475 33
Quest Diagnostics* 1,100 82
Sola International* 2,800 14
Varian Medical Systems* 775 30
------
291
------
METAL FABRICATE/HARDWARE -- 1.0%
Amcast Industrial 1,400 $ 12
Commercial Metals 2,600 71
------
83
------
MISCELLANEOUS MANUFACTURING -- 3.3%
A.O. Smith 2,225 47
Aptargroup 650 18
Barnes Group 2,000 33
Dexter 1,100 53
ESCO Electronics* 2,400 41
Lancaster Colony 1,500 29
National Service Industries 1,600 31
NCH 600 22
------
274
------
OFFICE SUPPLIES -- 0.1%
Standard Register 800 11
------
PAPER & PAPER PRODUCTS -- 1.1%
Pope & Talbot 1,850 30
Potlatch 1,400 46
Rock-Tenn, Cl A 1,700 15
------
91
------
PETROLEUM & FUEL PRODUCTS -- 5.5%
Atwood Oceanics* 675 30
Equitable Resources 650 31
Giant Industries* 1,500 12
Helmerich & Payne 1,150 43
Louisiana-Pacific 3,000 33
Murphy Oil 725 43
Patina Oil & Gas 4,000 83
Swift Energy* 2,700 77
Tom Brown* 1,875 43
Ultramar Diamond Shamrock 1,200 30
Valero Energy 800 25
Varco International* 200 5
------
455
------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Polaroid 2,200 40
------
PRINTING & PUBLISHING -- 0.7%
Banta 1,700 32
Scholastic* 400 24
------
56
------
8
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Franchise Finance of America 875 $ 20
------
RETAIL -- 5.2%
Brown Shoe 1,600 21
Cato, Cl A 2,800 33
Children's Place* 1,300 27
Dress Barn* 2,700 60
Haverty Furniture 3,000 25
Pacific Sunwear of California* 725 14
Rare Hospitality International* 1,600 45
Ruby Tuesday 1,750 22
Ryan's Family Steak Houses* 8,200 69
Spiegel, Cl A* 3,025 26
Zale* 2,500 91
------
433
------
RUBBER-TIRES -- 0.2%
Cooper Tire & Rubber 1,800 20
------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.0%
ATMI* 875 41
Electroglas* 700 15
ESS Technology* 1,500 22
International Rectifier* 525 29
JNI* 400 13
Varian Semiconductor Equipment* 725 46
------
166
------
SOFTWARE -- 2.0%
Digi International* 1,800 12
Midway Games* 2,300 19
Progress Software* 1,650 30
Proxicom* 575 28
Sybase* 3,325 76
------
165
------
STEEL & STEEL WORKS -- 1.9%
AK Steel Holding 6,800 54
Carpenter Technology 1,400 30
Precision Castparts 700 32
Quanex 600 9
Ryerson Tull 2,000 21
Tredegar 700 13
------
159
------
TELEPHONES & TELECOMMUNICATION -- 0.4%
Centigram Communications* 500 13
Lightbridge* 725 17
------
30
------
TRUCKING -- 2.2%
Arkansas Best* 2,900 29
Roadway Express 3,375 79
USFreightways 2,550 63
Yellow* 1,000 15
------
186
------
WHOLESALE -- 0.7%
Handleman* 2,600 $ 32
United Stationers* 775 25
------
57
------
Total Common Stocks
(Cost $8,068) 8,106
------
REPURCHASE AGREEMENT -- 0.8%
Morgan Stanley Dean Witter (A)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $64,751
(collateralized by U.S. Treasury
Obligation, par value $65,114, 6.300%,
07/03/00, total
market value: $66,210) $ 65 65
------
Total Repurchase Agreement
(Cost $65) 65
------
MONEY MARKET -- 1.7%
Evergreen Select Money
Market, Cl I 145,148 145
------
Total Money Market
(Cost $145) 145
------
Total Investments--100.3%
(Cost $8,278) 8,316
------
Other Assets and Liabilities, Net -- (0.3%) (29)
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 807,661 outstanding
shares of beneficial interest 8,078
Undistributed net investment income 21
Accumulated net realized gain
on investments 150
Net unrealized appreciation
on investments 38
------
Total Net Assets--100.0% $8,287
======
Net Asset Value, Offering and Redemption
Price Per Share $10.26
======
*NON-INCOME PRODUCING SECURITY.
(A) TRI-PARTY REPURCHASE AGREEMENT.
CL -- CLASS
LTD. -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP SMALL CAP GROWTH FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 96.6%
BANKS -- 1.4%
Silicon Valley Bancshares* 2,800 $ 119
------
BIOTECHNOLOGY -- 1.7%
Genzyme Transgenics* 1,200 33
LynxTherapeutics* 1,400 67
Maxim Pharmaceuticals* 900 46
------
146
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.2%
Actv* 1,600 24
COX Radio, Cl A* 1,200 34
Getty Images* 1,300 48
Pegasus Communications* 400 20
Polycom* 700 66
------
192
------
BUILDING & CONSTRUCTION -- 1.2%
Dycom Industries* 1,800 83
Insituform Technologies, Cl A* 900 24
------
107
------
COMMERCIAL SERVICES -- 5.3%
Corporate Executive Board* 700 42
Hall, Kinion & Associates* 2,000 67
Horizon Offshore* 3,400 53
Learning Tree International* 1,500 92
Plexus* 500 56
Quanta Services* 2,000 110
Wireless Facilities* 800 41
------
461
------
COMMUNICATIONS EQUIPMENT -- 3.6%
Andrew* 2,300 77
Efficient Networks* 700 51
SBA Communications* 900 47
Terayon* 1,000 64
Tut Systems* 1,300 75
------
314
------
COMPUTERS & SERVICES -- 8.7%
Anixter International* 3,000 79
APEX* 2,200 96
Black Box* 1,500 119
Cybex Computer Products* 2,600 110
Eloyalty* 700 9
Extreme Networks* 500 53
Mentor Graphics* 4,000 79
Netegrity* 600 45
Netsolve* 700 18
Paradyne Networks* 1,800 $ 59
Rainbow Technologies* 200 10
SanDisk* 600 37
Technology Solutions* 7,600 47
------
761
------
DRUGS -- 8.4%
Abgenix* 800 96
Algos Pharmaceuticals* 1,500 23
Alkermes* 1,200 57
Alpharma, Cl A 200 12
Anesta* 1,300 32
Celgene* 2,000 118
Cell Therapeutics* 1,000 31
Cephalon* 1,900 114
Cubist Pharmaceuticals* 1,600 79
First Horizon Pharmaceutical* 2,600 25
Jones Pharma 1,100 44
Medicis Pharmaceutical, Cl A* 800 46
NBTY* 5,600 36
SICOR* 2,500 20
------
733
------
ELECTRICAL COMPONENTS & EQUIPMENT-- 5.2%
Avnet 1,300 77
Cable Design Technologies* 2,600 87
Littelfuse* 1,500 73
Power-One* 1,900 216
------
453
------
ELECTRONICS -- 5.6%
Cymer* 1,000 48
FEI* 800 24
Integrated Device Technology* 1,600 96
Kemet* 3,700 93
Kent Electronics* 2,300 69
L-3 Communications Holdings* 700 40
Microchip Technology* 700 41
Sensormatic Electronics* 4,900 77
------
488
------
ENTERTAINMENT -- 0.7%
Aztar* 4,200 65
------
FINANCIAL SERVICES -- 2.5%
Affiliated Managers Group* 1,800 82
Dain Rauscher 600 40
NCO Group* 800 18
Waddell & Reed Financial, Cl A 2,300 75
------
215
------
10
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 0.2%
Wild Oates Markets* 1,500 $ 19
------
INSURANCE -- 1.1%
Oxford Health Plans* 4,000 95
------
LEASING & RENTING -- 0.4%
Rent-Way* 1,200 35
------
MACHINERY -- 1.9%
Brooks Automation* 900 58
Cognex* 1,700 88
FSI International* 800 17
------
163
------
MEDICAL PRODUCTS & SERVICES -- 5.9%
Biosite Diagnostics* 1,300 63
Cytyc* 600 32
First Health Group* 1,300 43
Gilead Sciences* 400 28
Impath* 1,300 70
LifePoint Hospitals* 2,200 49
Pharmacyclics* 600 37
PolyMedica* 1,600 69
Quest Diagnostics* 1,100 82
Tanox* 900 43
------
516
------
METAL FABRICATE/HARDWARE -- 1.5%
Maverick Tube* 4,500 131
------
PETROLEUM & FUEL PRODUCTS -- 9.6%
Devon Energy 800 45
Helmerich & Payne 1,700 64
Key Energy Group* 4,000 38
Marine Drilling* 1,600 45
National-Oilwell* 2,000 66
Newfield Exploration* 2,300 90
Patterson Energy* 2,900 83
Precision Drilling* 1,700 66
Shaw Group* 2,000 94
UTI Energy* 1,900 76
Valero Energy 2,500 79
Vintage Petroleum 4,000 90
------
836
------
RETAIL -- 7.8%
Cheesecake Factory* 2,150 $ 59
Chico's FAS* 3,200 64
Dollar Tree Stores* 450 18
Duane Reade* 1,300 33
Factory 2-U Stores* 2,800 106
HOT Topic* 1,900 61
Insight Enterprises* 800 47
Kenneth Cole Productions* 900 36
Pacific Sunwear of California* 1,100 21
PC Connection* 2,350 134
Talbots 1,100 60
Tweeter Home Entertainment
Group* 1,200 36
------
675
------
SEMI-CONDUCTORS/INSTRUMENTS -- 10.6%
Actel* 3,000 137
ASM International* 3,500 93
Fairchild Semiconductor
International, Cl A* 1,400 57
General Semiconductor* 3,100 46
GlobeSpan* 900 110
International Rectifier* 1,300 73
Lattice Semiconductor* 1,100 76
LTX* 1,200 42
Photronics Labs* 1,100 31
Rudolph Technologies* 1,200 46
Silicon Valley Group* 3,300 85
Stratos Lightwave* 900 25
Telcom Semiconductor* 500 20
Triquint Semiconductor* 600 57
Varian Semiconductor Equipment* 300 19
Xicor* 800 5
------
922
------
SOFTWARE -- 10.3%
Accrue Software* 1,200 43
Brio Technology* 900 19
Broadbase Software* 2,500 77
Digimarc* 1,500 58
DSET* 200 6
Embarcadero Technologies* 700 21
Informatica* 900 74
Intranet Solutions* 1,600 61
Keynote Systems* 1,000 71
LifeMinders* 1,000 30
Mercator Software* 700 48
Micromuse* 600 99
MyPoints.com* 700 13
National Instruments* 900 39
Peregrine Systems* 1,300 45
11
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP SMALL CAP GROWTH FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
Preview Systems* 200 $ 3
Probusiness Services* 300 8
Quest Software* 1,100 61
Silver Stream Software* 900 52
Versata* 1,700 68
------
896
------
TELEPHONES & TELECOMMUNICATION -- 0.6%
Viatel* 1,100 31
Z-Tel Technologies* 1,500 18
------
49
------
WHOLESALE -- 0.2%
United Stationers* 600 19
------
Total Common Stocks
(Cost $7,414) 8,410
------
MONEY MARKETS -- 3.5%
Evergreen Money Market
Trust, Cl Y 76,014 76
Evergreen Select Money
Market, Cl I 229,242 229
------
Total Money Markets
(Cost $305) 305
------
REPURCHASE AGREEMENT -- 0.9%
Morgan Stanley Dean Witter (A)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $76,275
(collateralized by U.S. Treasury
Obligation, par value $76,546,
6.300%, 07/03/00, total market
value: $77,993) $ 76 76
------
Total Repurchase Agreement
(Cost $76) 76
------
Total Investments--101.0%
(Cost $7,795) 8,791
------
OTHER ASSETS AND LIABILITIES, NET -- (1.0%) (82)
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 809,065 outstanding
shares of beneficial interest $8,089
Accumulated net investment loss (8)
Accumulated net realized loss
on investments (368)
Net unrealized appreciation on investments 996
------
Total Net Assets--100.0% $8,709
======
Net Asset Value, Offering and Redemption
Price Per Share $10.76
======
*NON-INCOME PRODUCING SECURITY.
(A) TRI-PARTY REPURCHASE AGREEMENT.
CL -- CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
SEI VP INTERNATIONAL EQUITY FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 97.2%
AUSTRALIA -- 2.0%
Broken Hill Proprietary 6,500 $ 77
Lend Lease Ltd. 2,500 32
News 3,600 49
Westpac Banking 10,000 72
------
230
------
BRAZIL -- 1.0%
Embratel Participacoes ADR 4,938 117
------
CANADA -- 3.2%
Bank of Nova Scotia 1,200 29
Bombardier, Cl B 1,800 49
Manulife Financial 800 14
Nortel Networks 2,955 204
Thomson 2,000 68
Toronto Dominion Bank 600 15
------
379
------
DENMARK -- 0.2%
Aixtron* 200 27
------
FINLAND -- 1.7%
Nokia OYJ 3,270 166
UPM-Kymmene 1,500 37
------
203
------
FRANCE -- 9.7%
Alcatel 1,236 81
Aventis 2,031 148
Aventis - New 1,388 100
Bouygues* 100 67
Compagnie de Saint Gobain 400 54
Louis Vuitton Moet Hennessy* 120 49
Pechiney, Cl A 1,000 42
Peugeot 100 20
Sanofi-Synthelabo 1,500 71
STMicroelectronics 1,600 101
Societe Television Francaise 1 1,000 69
Total Fina, Cl B* 1,107 169
Vivendi 1,859 164
------
1,135
------
GERMANY -- 6.8%
Allianz ADR 311 113
Bayerische Motoren Werke 4,694 141
DaimlerChrysler 400 21
Deutsche Telekom 500 28
Epcos* 400 $ 40
Infineon Technologies ADR* 200 16
Infineon Technologies* 1,700 134
Siemens 1,379 207
Veba* 2,047 100
------
800
------
HONG KONG -- 2.8%
China Telecom (Hong Kong)* 18,000 159
China Unicom 22,000 47
Hutchison Whampoa* 4,400 55
Johnson Electric Holdings* 6,000 57
Legend Holdings Ltd. 14,000 14
------
332
------
IRELAND -- 0.2%
CRH PLC 1,400 25
------
ITALY -- 4.6%
Banca Nazionale Del Lavoro 25,318 89
ENI 24,410 141
Mediaset 8,764 133
Telecom Italia Mobile* 14,123 144
Unicredito Italiano 7,200 34
------
541
------
JAPAN -- 24.5%
Advantest 400 89
Bridgestone Corporation 1,000 21
Chugai Pharmaceutical Ltd. 3,000 57
DDI 2 19
Fuji Bank* 13,000 99
Fuji Soft ABC 1,000 59
Fujitsu 4,000 139
Fujitsu Support and Service 100 10
Hirose Electric 500 78
Jusco Ltd. 4,000 76
Kao 1,000 31
Matsushita Communications 1,000 117
Mitsubishi Heavy Industries 12,000 53
Mitsubishi Motors* 10,000 43
Mitsui Marine and Fire Insurance 10,000 48
Murata Manufacturing Ltd. 1,000 144
NEC* 5,000 157
Nikon 3,000 111
Nintendo Ltd. 300 52
Nippon Sheet Glass 3,000 42
Nippon Telegraph & Telephone 13 173
Nissan Motors* 7,000 41
Nomura Securities 2,000 49
NTT Mobile Communication
Network* 11 298
13
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP INTERNATIONAL EQUITY FUND--CONCLUDED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
Rohm Ltd. 600 $ 175
Sakura Bank Ltd. 18,000 124
Sanwa Bank Ltd. 2,000 16
Shionogi Ltd. 2,000 38
Softbank 300 41
Sony* 1,500 140
Suzuki Motor 1,000 13
Taiyo Yuden Ltd. 1,000 63
Takefuji Corporation 600 73
Tokyo Electron Ltd. 1,000 137
Toray 9,000 37
------
2,863
------
MEXICO -- 1.7%
Telefonos de Mexico ADR 3,478 199
------
NETHERLANDS -- 10.6%
ABN AMRO Holding 3,100 76
Aegon 2,400 85
Ahold 2,933 86
ASM Lithography Holdings* 2,100 90
Gucci Group ADR 1,366 129
Heineken* 1,400 85
Koninklijke KPN 4,475 200
KPNQwest* 1,977 78
Philips Electronics 1,436 68
Unilever 1,714 78
VNU 2,708 139
Wolters Kluwer 4,938 131
------
1,245
------
NORWAY -- 0.3%
Norsk Hydro* 900 38
------
PORTUGAL -- 0.4%
Portugal Telecom ADR 2,200 25
Telecel-Comunicacoes Pessoais 1,200 18
------
43
------
SINGAPORE -- 1.5%
Chartered Semiconductor
Manufacturing Ltd.* 1,200 10
Creative Technology Ltd. 1,000 24
DBS Group Holdings Ltd. 11,000 141
------
175
------
SOUTH KOREA -- 2.9%
Korea Telecom ADR 2,009 $ 97
Pohang Iron & Steel ADR 700 17
Samsung Electronics GDR 400 78
Samsung Electronics GDR (A) 259 51
SK Telecom Ltd. ADR 2,560 93
------
336
------
SPAIN -- 1.6%
Banco Bilbao Vizcaya Argentaria 2,000 30
Telefonica de Espana* 7,479 160
------
190
------
SWEDEN -- 4.0%
AstraZeneca PLC 3,600 168
Foreningssparbaken, Ser A 3,000 44
Telefonaktiebolaget LM
Ericsson, Cl B 2,812 254
------
466
------
SWITZERLAND -- 3.1%
Adecco 16 14
Compagnie Financiere Richemont,
Cl A 30 81
Holderbank Financiere Glarus* 35 43
Nestle - Registered 28 56
Novartis* 60 95
Swiss Reinsurance - Registered 15 31
Swisscom 110 38
------
358
------
TAIWAN -- 1.1%
Taiwan Semiconductor
Manufacturing Ltd. ADR* 3,300 128
------
UNITED KINGDOM -- 13.3%
AstraZeneca 2,061 96
BAE Systems 26,323 164
British Airways* 7,000 40
Cable & Wireless 8,862 150
Cadbury Schweppes 10,000 66
GKN 2,500 32
Glaxo Wellcome 4,208 123
Invensys 17,000 64
Lloyds TSB Group 8,700 81
New Dixons Group 6,500 27
Reed International 13,297 116
Reuters Group 2,800 48
Royal Bank of Scotland Group 1,900 32
Shell Transportation &
Trading 6,000 50
14
<PAGE>
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
Telewest Communications* 15,325 $ 53
Unilever 1,000 6
Vodafone AirTouch 102,566 415
------
1,563
------
Total Foreign Common Stocks
(Cost $11,713) 11,393
------
FOREIGN PREFERRED STOCK -- 1.0%
GERMANY -- 1.0%
SAP* 639 118
------
Total Foreign Preferred Stock
(Cost $141) 118
------
REPURCHASE AGREEMENT -- 0.7%
Morgan Stanley Dean Witter (B)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $71,729
(collateralized by U.S. Treasury
Obligation, par value $71,985, 6.300%,
07/03/00, total market
value: $73,345) $ 72 72
------
Total Repurchase Agreement
(Cost $72) 72
------
Total Investments--98.9%
(Cost $11,926) 11,583
------
OTHER ASSETS AND LIABILITIES, NET--1.1% 136
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 1,211,126 outstanding
shares of beneficial interest $12,108
Undistributed net investment income 23
Accumulated net realized loss
on investments (70)
Net unrealized depreciation on investments (343)
Net unrealized appreciation on forward
foreign currency contracts, foreign
currencies and translation of other
assets and liabilities denominated
in foreign currencies 1
-------
Total Net Assets--100.0% $11,719
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.68
=======
*NON-INCOME PRODUCING SECURITY.
(A) SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM REGISTRATION
NORMALLY TO QUALIFIED INSTITUTIONS.
(B) TRI-PARTY REPURCHASE AGREEMENT.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
GDR -- GLOBAL DEPOSITARY RECEIPT
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP EMERGING MARKETS EQUITY FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 97.5%
ARGENTINA -- 0.5%
Banco de Galicia y
Bueno Aires ADR 300 $ 4
PC Holdings ADR 600 11
Telecom Argentina ADR 1,000 28
------
43
------
BRAZIL -- 10.2%
Aracruz Celulose ADR 600 12
Banco Bradesco 5,000,000 44
Banco Itau 170,000 15
Brasil Telecom Participacoes
ADR 700 51
CIA Paranaense DE Energia
ADR 4,700 44
Companhia Brasileira de
Distribuicao Grupo de Acucar
ADR 1,640 53
Companhia Vale do Rio Doce
ADR 1,500 42
Embratel Participacoes ADR 6,000 142
Globo Cabo ADR 800 11
Petroleo Brasileiro ADR 4,540 138
Tele Celular Sul Participacoes
ADR 500 23
Tele Norte Leste Participacoes
ADR 4,925 117
Telecomunicacoes Brasileiras ADR 900 87
Telesp Celular Participacoes ADR 1,650 74
Ultrapar Participacoes ADR 1,300 13
Unibanco - Uniao de Bancos
Brasileiros GDR 1,200 35
------
901
------
CHILE -- 1.0%
Banco de Edwards ADR* 500 7
Cervecerias Unidas ADR 840 19
Compania Telecomunicaciones
de Chile ADR 1,500 27
Distribucion y Sevicio D&S ADR 400 7
Enersis ADR* 1,000 20
Quinenco ADR 1,000 10
------
90
------
CHINA -- 0.3%
Yizheng Chemical Fibre, Cl H 114,000 23
------
CZECH REPUBLIC -- 1.2%
Ceske Radiokomunikace GDR 900 40
Cesky Telecom GDR* 3,800 64
------
104
------
EGYPT -- 0.3%
Mobinil Egyptian Mobile Network* 800 $ 26
------
GREECE -- 1.0%
Alpha Bank 600 24
Hellenic Telecommunications
Organization 2,000 49
National Bank of Greece 280 11
Stet Hellas Telecommunication
ADR* 400 8
------
92
------
HONG KONG -- 5.7%
China Telecom (Hong Kong)* 32,000 282
China Unicom 53,000 113
Founder Holdings Ltd. 28,000 12
Legend Holdings Ltd. 40,000 39
PetroChina Ltd. 308,000 64
------
510
------
HUNGARY -- 1.4%
Egis 600 25
Matav ADR 2,070 71
MOL Magyar Olaj ES Gazipari
GDR* (A) 1,050 15
OTP Bank GDR* 250 13
------
124
------
INDIA -- 4.9%
ICICI Banking Ltd. ADR 5,200 75
Infosys Technologies Ltd. 600 106
Larsen & Toubro GDR* 2,000 22
Ranbaxy Laboratories Ltd. GDR 2,500 41
Reliance Industries Ltd. GDR 3,800 81
Videsh Sanchar GDR 7,000 109
------
434
------
INDONESIA -- 1.3%
Indofood Sukses Makmur* 42,000 23
Pentamedia Graphics GDR 6,000 83
Telekomunikasi 33,000 12
------
118
------
ISRAEL -- 5.8%
Bank Hapoalim Ltd. 37,000 107
Bank Leumi Le-Israel* 9,800 20
Check Point Software Technologies 670 142
16
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
Gilat Satellite Networks Ltd.* 500 $ 35
M-Systems Flash Disk Pioneers* 300 23
Nice Systems Ltd. 300 23
Orckit Communications Ltd.* 600 18
Teva Pharmaceutical ADR 2,650 147
------
515
------
LUXEMBERG -- 0.2%
Quilmes Industrial ADR 1,300 14
------
MALAYSIA -- 4.3%
AMMB Holdings Berhad 22,000 74
Digi.com Berhad 6,000 11
Genting Berhad 6,000 22
Malayan Banking Berhad 14,000 57
Telekom Malaysia Berhad 10,500 36
Tenaga Nasional Berhad 49,400 161
United Engineers* 11,000 22
------
383
------
MEXICO -- 14.3%
Cemex CPO 7,600 36
Coca Cola Femsa ADR 2,400 45
Fomento Economico Mexicano 9,100 39
Fomento Economico Mexicano
ADR 500 22
Grupo Financiero Banamex
Accival, Cl O 28,100 196
Grupo Modelo, Ser C 8,100 18
Grupo Radio Centro ADR 2,300 26
Grupo Televisa GDR* 1,900 131
Interamericana de
Entretenimiento, Cl B* 32,000 128
Kimberly Clark de Mexico, Cl A 11,000 31
Telefonos de Mexico ADR 7,300 417
TV Azteca ADR 5,700 75
TV Azteca CPO 9,000 7
Walmart de Mexico, Ser C* 21,000 48
Walmart de Mexico, Ser V 22,000 52
------
1,271
------
PERU -- 0.2%
Credicorp Ltd. 2,300 21
------
PHILIPPINES -- 0.3%
Manila Electric Company, Cl B 3,600 5
Philippine Long Distance Telephone 1,000 18
------
23
------
POLAND -- 0.7%
KGHM Polska Meidz GDR* 1,300 $ 19
Prokom Software* 500 26
Telekomunikacja Polska GDR* 2,000 14
------
59
------
RUSSIA -- 2.8%
Golden Telecom* 600 18
Lukoil Holding ADR 2,520 125
Mobile Telesystems 210 5
Rostlecom ADR 750 10
Surgutneftegaz ADR 5,550 72
Unified Energy Systems GDR 1,000 12
Vimpel Communication ADR* 200 4
------
246
------
SINGAPORE -- 1.5%
Datacraft Asia Ltd. 15,600 137
------
SOUTH AFRICA -- 5.0%
African Bank Investments Ltd.* 9,500 12
Amalgamated Banks of
South Africa 4,500 17
Anglo American Platinum 1,200 35
Barlow Rand 2,200 13
Dimension Data Holdings Ltd.* 14,600 121
Fedsure Holdings Ltd. 1,500 7
FirstRand Ltd. 18,200 19
Impala Platinum Holdings Ltd. 1,400 52
Johnnies Industrial 1,700 23
M-Cell Ltd. 5,400 26
Nampak* 7,100 15
Profurn Ltd. 32,000 19
Sanlam 23,200 27
Sappi Ltd. 3,500 26
Sasol Ltd. 5,100 34
------
446
------
SOUTH KOREA -- 15.6%
Housing & Commercial Bank 1,000 23
Kookmin Bank GDR 9,500 121
Korea Electric Power ADR 13,100 241
Korea Telecom ADR 4,700 227
Pohang Iron & Steel ADR 2,400 58
Samsung Electronics GDR (A) 2,500 491
Shinhan Bank GDR 1,000 19
SK Telecom Ltd. ADR 4,900 178
Softbank GDR* 500 25
------
1,383
------
17
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP EMERGING MARKETS EQUITY FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
TAIWAN -- 13.7%
Acer GDR* 6,000 $ 56
Advanced Semiconductor
Engineering 1,200 20
ASE Test Ltd.* 2,000 59
Asustek Computer GDR 10,804 99
Far Eastern Textile Ltd. GDR* 2,000 25
GigaMedia Ltd.* 900 11
HON HAI Precision Industry
GDR* 10,500 263
Powerchip Semiconductor ADR* 3,568 72
Siliconware Precision Industries
GDR* 3,500 40
Synnex Technology International
GDR* 2,400 52
Systex GDR 5,700 61
Taiwan Semiconductor
Manufacturing Ltd. ADR-New* 900 35
Taiwan Semiconductor
Manufacturing Ltd. ADR* 9,456 366
Winbond Electronics GDR* 2,028 58
------
1,217
------
THAILAND -- 0.8%
Advanced Info Service
Public Ltd.* 2,000 25
Siam Cement* 800 15
Telecomasia Ltd.* 29,000 32
------
72
------
TURKEY -- 4.3%
Arcelik 1,020,000 50
Dogan Yayin Holding* 2,339,800 40
Erciyas Biracilik VE Malt* 400,000 19
Hurriyet Gazeteci* 2,487,100 24
KOC Holding 260,000 18
Sabanci Holding 1,000,000 12
Tofas Turk Otomobil Fabrik* 1,078,000 19
Turkiye Garanti Bankasi* 7,337,000 89
Turkiye IS Bankasi 1,252,100 27
Vestel Elektronik Sanayi* 121,000 37
Yapi VE Kredi Bankasi* 4,389,000 49
------
384
------
UNITED STATES -- 0.2%
Tricom ADR* 1,400 21
------
21
------
Total Foreign Common Stocks
(Cost $9,201) 8,657
------
FOREIGN CONVERTIBLE BOND -- 0.2%
POLAND -- 0.2%
Elektrim
CV to 63.7437 Shares
3.750%, 07/02/04 $ 24 $ 22
------
Total Foreign Convertible Bond
(Cost $25) 22
------
REPURCHASE AGREEMENTS -- 3.1%
Morgan Stanley Dean Witter (B)
6.250%, dated 06/30/00, matures
07/03/00, repurchase price $38,356
(collateralized by U.S. Treasury
Obligation, par value $38,586, 6.300%,
07/03/00, total
market value: $39,220) 38 38
State Street Bank (B)
5.250%, dated 06/30/00, matures
07/03/00, repurchase price $228,099
(collateralized by U.S. Treasury Note,
par value $235,000, 6.375%,
06/30/02, total
market value: $235,132) 228 228
------
Total Repurchase Agreements
(Cost $266) 266
------
Total Investments--100.8%
(Cost $9,492) 8,945
------
OTHER ASSETS AND LIABILITIES, NET-- (0.8%) (66)
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 1,007,768 outstanding
shares of beneficial interest 10,069
Accumulated net investment loss (12)
Accumulated net realized loss
on investments (631)
Net unrealized depreciation on investments (547)
------
Total Net Assets--100.0% $8,879
======
Net Asset Value, Offering and Redemption
Price Per Share $8.81
======
*NON-INCOME PRODUCING SECURITY.
(A) SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM REGISTRATION
NORMALLY TO QUALIFIED INSTITUTIONS.
(B) TRI-PARTY REPURCHASE AGREEMENT.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
CV -- CONVERTIBLE SECURITY
GDR -- GLOBAL DEPOSITARY RECEIPT
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
SEI VP CORE FIXED INCOME FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 47.4%
U.S. Treasury Bills
6.123%, 12/28/00 $1,500 $ 1,456
5.697%, 07/20/00 500 499
U.S. Treasury Notes (A)
3.875%, 04/15/29 403 402
3.625%, 01/15/08 585 568
U.S. Treasury Notes
8.000%, 11/15/21 1,175 1,418
6.500%, 02/15/10 220 227
6.250%, 05/15/30 10 10
5.250%, 11/15/28 190 168
4.750%, 11/15/08 50 45
------
Total U.S. Treasury Obligations
(Cost $4,815) 4,793
------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.0%
FHLMC Discount Note
6.866%, 11/09/00 200 195
FNMA
7.125%, 02/15/05 60 60
6.000%, 05/15/08 10 9
5.750%, 02/15/08 10 9
TVA
7.125%, 05/01/30 30 30
------
Total U.S. Government Agency Obligations
(Cost $303) 303
------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 37.5%
FHLMC TBA
8.000%, 07/01/30 100 101
FNMA
8.000%, 07/17/30 100 100
7.500%, 07/01/30 700 690
7.000%, 07/01/15 150 147
7.000%, 07/17/30 150 145
6.500%, 07/17/30 700 659
6.000%, 07/01/30 200 183
GNMA
7.500%, 03/15/29 80 80
7.500%, 07/01/30 400 397
7.500%, 08/15/28 100 99
7.000%, 07/01/30 400 389
6.500%, 07/01/30 650 616
6.000%, 07/01/30 200 184
------
Total U.S. Government Mortgage-Backed
Obligations (Cost $3,785) 3,790
------
CORPORATE OBLIGATIONS -- 15.0%
AEROSPACE & DEFENSE -- 1.9%
Lockheed Martin
8.500%, 12/01/29 $ 100 $ 102
Raytheon
6.750%, 08/15/07 100 93
------
195
------
CHEMICALS -- 1.7%
Dow Chemical
7.375%, 11/01/29 100 97
Rohm & Haas
7.850%, 07/15/29 75 76
------
173
------
COMPUTERS & SERVICES -- 1.2%
IBM MTN
5.625%, 04/12/04 125 119
------
ELECTRICAL SERVICES -- 1.0%
Southern California Edison,
Ser 1993-J
5.625%, 10/01/02 100 97
------
ENVIRONMENTAL SERVICES -- 0.9%
Waste Management
7.100%, 08/01/26 100 94
------
FINANCIAL SERVICES -- 2.9%
Associates NA
5.500%, 02/15/04 100 93
Goldman Sachs Group MTN
7.350%, 10/01/09 100 96
Heller Financial MTN (B)
6.350%, 04/02/01 100 100
------
289
------
INSURANCE -- 1.2%
Loews
7.000%, 10/15/23 50 42
Safeco Capital Trust
8.072%, 07/15/37 100 85
------
127
------
PRINTING & PUBLISHING -- 0.8%
Time Warner
6.625%, 05/15/29 100 84
------
19
<PAGE>
SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP CORE FIXED INCOME FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
RAILROADS -- 0.8%
Union Pacific
6.625%, 02/01/29 $ 100 $ 83
------
TELEPHONES & TELECOMMUNICATION -- 2.6%
GTE
6.840%, 04/15/18 100 90
GTE California, Ser A
5.625%, 02/01/01 170 168
------
258
------
Total Corporate Obligations
(Cost $1,526) 1,519
------
YANKEE BONDS -- 9.8%
Bank Of Tokyo-Mitsubishi
8.400%, 04/15/10 100 102
CIT Group
7.125%, 10/15/04 100 97
DaimlerChrysler Holdings NA
7.400%, 01/20/05 100 100
Deutsche Telekon
8.250%, 06/15/30 100 102
Electronic Data Systems
7.125%, 10/15/09 100 97
General Motors Acceptance
5.850%, 01/14/09 100 88
Hydro-Quebec, Ser HQ
9.500%, 11/15/30 50 59
Hydro-Quebec, Ser HY
8.400%, 01/15/22 60 63
Lucent Technologies
6.450%, 03/15/29 100 88
TCI Communications
6.375%, 05/01/03 100 98
Wal-Mart Stores
6.875%, 08/10/09 100 98
------
Total Yankee Bonds
(Cost $990) 992
------
OPTIONS -- 0.0%
August 2000 Long Bond Call 4 $ 2
August 2000 Five Year Note Put (1) --
September 2000 U.S. Long Bond Put (4) (2)
October 2000 U.S. Long Bond Put (4) (1)
------
Total Options
(Cost ($2)) (1)
------
REPURCHASE AGREEMENTS -- 38.6%
JP Morgan (C)
6.730%, dated 06/30/00, matures
07/03/00, repurchase price $1,951,348
(collateralized by GNMA, par value
$2,178,238, 6.500%, 06/15/29,
total market value: $2,000,157) $ 1,951 1,951
Morgan Stanley Dean Witter (C)
6.730%, dated 06/30/00, matures
07/03/00, repurchase price $1,951,348
(collateralized by FHLMC, par value
$3,321,000, 5.750%, 04/15/03,
total market value: $1,998,968) 1,950 1,950
------
Total Repurchase Agreements
(Cost $3,901) 3,901
------
Total Investments--151.3%
(Cost $15,318) $15,297
=======
*NON-INCOME PRODUCING SECURITY.
(A) U.S. TREASURY INFLATION INDEX NOTE
(B) VARIABLE RATE SECURITY - THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT AS OF JUNE 30, 2000.
(C) TRI-PARTY REPURCHASE AGREEMENT.
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
SER -- SERIES
TBA -- TO BE ANNOUNCED
TVA -- TENNESSEE VALLEY AUTHORITY
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI VP HIGH YIELD BOND FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATION -- 2.1%
FHLB (A)
6.587%, 07/03/00 $214 $ 214
------
Total U.S. Government Agency Obligation
(Cost $214) 214
------
CORPORATE OBLIGATIONS -- 84.9%
BROADCASTING, TELEVISION & RADIO -- 16.4%
Adelphia Communications, Ser B
8.375%, 02/01/08 200 177
Alliance Atlantis Communications (B)
13.000%, 12/15/09 100 102
Citadel Broadcasting
9.250%, 11/15/08 100 97
Classic Cable
10.500%, 03/01/10 200 184
CSC Holdings
7.875%, 12/15/07 200 194
Diva Systems, Ser B (C)
21.704%, 03/01/08 250 132
Mediacom Capital LLC
7.875%, 02/15/11 150 131
Olympus LP, Ser B
10.625%, 11/15/06 200 198
Price Communications Wireless, Ser B
9.125%, 12/15/06 200 202
Salem Communications, Ser B
9.500%, 10/01/07 100 94
UnitedGlobalCom, Ser B (C)
14.112%, 02/15/08 200 140
------
1,651
------
BUILDING & CONSTRUCTION -- 1.0%
Dayton Superior (B)
13.000%, 06/15/09 100 98
------
CHEMICALS -- 1.2%
Sterling Chemicals, Ser A
11.250%, 04/01/07 150 118
------
COMMERCIAL SERVICES -- 1.3%
Iron Mountain
8.250%, 07/01/11 150 131
------
COMMUNICATIONS EQUIPMENT -- 4.9%
Allegiance Telecom, Ser B (C)
12.813%, 02/15/08 $200 $ 145
Insight Midwest
9.750%, 10/01/09 150 147
Williams Communication Group
10.700%, 10/01/07 200 198
------
490
------
CONSUMER PRODUCTS -- 1.0%
Investcorp (B)
12.750%, 05/01/10 100 98
------
CONTAINERS & PACKAGING -- 2.4%
Four M, Ser B
12.000%, 06/01/06 150 138
Huntsman Packaging (B)
13.000%, 06/01/10 100 103
------
241
------
COSMETICS & TOILETRIES -- 1.0%
American Tissue, Ser B
12.500%, 07/15/06 100 96
------
DRUGS -- 2.7%
ICN Pharmaceuticals, Ser B
9.250%, 08/15/05 100 99
NBTY, Ser B
8.625%, 09/15/07 200 170
------
269
------
ENTERTAINMENT -- 10.4%
Argosy Gaming
10.750%, 06/01/09 200 207
Aztar
8.875%, 05/15/07 150 141
Eldorado Resorts LLC
10.500%, 08/15/06 150 148
Horseshoe Gaming Holdings, Ser B
8.625%, 05/15/09 400 377
Mandalay Resort Group
9.250%, 12/01/05 150 145
Regal Cinemas
9.500%, 06/01/08 100 24
------
1,042
------
21
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP HIGH YIELD BOND FUND--CONCLUDED
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.0%
Sovereign Bancorp
10.500%, 11/15/06 $100 $ 99
------
FOOD, BEVERAGE & TOBACCO -- 1.5%
Aurora Foods, Ser B
9.875%, 02/15/07 100 58
National Wine & Spirits
10.125%, 01/15/09 100 97
------
155
------
GARDEN PRODUCTS -- 1.9%
Scotts (B)
8.625%, 01/15/09 200 192
------
GAS/NATURAL GAS -- 2.1%
Western Gas Resources
10.000%, 06/15/09 200 207
------
HOTELS & LODGING -- 3.0%
Ameristar Casino, Ser B
10.500%, 08/01/04 200 201
Park Place Entertainment
9.375%, 02/15/07 100 100
------
301
------
MACHINERY -- 5.2%
Collins & Aikman Floorcovering, Ser B
10.000%, 01/15/07 150 146
Jackson Products, Ser B
9.500%, 04/15/05 200 180
Motors & Gears, Ser D
10.750%, 11/15/06 200 193
------
519
------
MEDICAL INSTRUMENTS -- 0.9%
Fisher Scientific International
9.000%, 02/01/08 100 92
------
PETROLEUM & FUEL PRODUCTS -- 7.6%
Houston Exploration, Ser B
8.625%, 01/01/08 200 186
Magnum Hunter Re
10.000%, 06/01/07 200 182
Nuevo Energy, Ser B
9.500%, 06/01/08 200 198
Pride International
9.375%, 05/01/07 200 200
------
766
------
PRINTING & PUBLISHING -- 2.5%
Adelphia Business Solutions,
Ser B (C)
7.504%, 04/15/03 $200 $ 186
Tritel PCS (C)
10.755%, 05/15/09 100 66
------
252
------
SPECIAL PURPOSE ACQUISITION -- 0.9%
P&L Coal Holdings, Ser B
9.625%, 05/15/08 100 93
------
STEEL & STEEL WORKS -- 4.5%
Ak Steel
9.125%, 12/15/06 200 192
National Steel, Ser D
9.875%, 03/01/09 100 84
Oxford Automotive, Ser D
10.125%, 06/15/07 200 174
------
450
------
TELEPHONES & TELECOMMUNICATION -- 11.5%
Airgate PCS (C)
13.328%, 10/01/09 100 57
McLeodUSA
8.375%, 03/15/08 200 184
Nextlink Communications (B)
10.500%, 12/01/09 200 195
Pac-West Telecommunications
13.500%, 02/01/09 200 202
Telecorp PCS (C)
11.255%, 04/15/09 100 65
US Unwired, Ser B (C)
13.900%, 11/01/09 100 54
Voicestream Wire
10.375%, 11/15/09 200 207
Winstar Communications (B)
12.750%, 04/15/10 200 187
------
1,151
------
Total Corporate Obligations
(Cost $8,618) 8,511
------
YANKEE BONDS -- 13.6%
Ainsworth Lumber PIK
12.500%, 07/15/07 200 199
Doman Industries Ltd.
8.750%, 03/15/04 150 116
Global Crossing Holdings Ltd.
9.625%, 05/15/08 200 194
22
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
Intrawest
9.750%, 08/15/08 $100 $ 99
Mannesmann
9.000%, 06/01/09 500 510
Rogers Communications
8.875%, 07/15/07 150 147
Telewest Communications PLC
9.625%, 10/01/06 100 94
------
Total Yankee Bonds
(Cost $1,386) 1,359
------
WARRANT -- 0.1%
Diva Systems* 750 14
------
Total Warrant
(Cost $0) 14
------
Total Investments--100.7%
(Cost $10,218) 10,098
------
OTHER ASSETS AND LIABILITIES, NET -- (0.7%) (74)
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 1,014,597 outstanding
shares of beneficial interest 10,144
Net unrealized depreciation
on investments (120)
-------
Total Net Assets--100.0% $10,024
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.88
=======
*NON-INCOME PRODUCING SECURITY.
(A) ZERO COUPON SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE EFFECTIVE YIELD AS OF JUNE 30, 2000.
(B) SECURITY EXEMPT FROM REGISTRATION
UNDER RULE 144A OF THE SECURITIES ACT OF 1933. THESE SECURITIES MAY BE
RESOLD IN TRANSACTIONS EXEMPT FROM REGISTRATION NORMALLY TO QUALIFIED
INSTITUTIONS.
(C) STEP BOND - THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON JUNE 30, 2000. THE COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE.
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
LTD -- LIMITED
PIK -- PAYMENT-IN-KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES THE
ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEI VP INTERNATIONAL
FIXED INCOME FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
FOREIGN BONDS -- 83.5%
AUSTRALIA -- 0.6%
Government of Australia
8.750%, 08/15/08 $ 50 $ 35
------
BELGIUM -- 1.0%
Belgium Treasury Bill
0.000%, 09/21/00 65 61
------
CANADA -- 4.7%
Canadian Treasury Bill
5.743%, 08/17/00 190 127
Government of Canada
5.500%, 06/01/09 250 165
------
292
------
DENMARK -- 1.2%
Kingdom of Denmark
7.000%, 11/15/07 530 73
------
FRANCE -- 6.4%
European Investment Bank
3.000%, 09/20/06 15,000 155
French Treasury Bill
4.243%, 08/24/00 255 241
------
396
------
GERMANY -- 16.8%
Bundesobligation
5.000%, 05/20/05 250 237
Bundesrepublic of Deutschland
5.375%, 01/04/10 278 267
Bundesschatzanweisungen
3.250%, 09/15/00 300 285
Deutschland Republic
6.250%, 01/04/24 242 249
------
1,038
------
HUNGARY -- 2.4%
Government of Hungary
10.500%, 05/12/04 38,000 146
------
ITALY -- 15.4%
Republic of Italy
1.800%, 02/23/10 100,000 951
------
JAPAN -- 3.3%
Export-Import Bank
2.875%, 07/28/05 20,000 205
------
NETHERLANDS -- 4.7%
Kingdom of Netherlands
5.500%, 01/15/28 310 292
------
23
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP INTERNATIONAL FIXED INCOME FUND--CONCLUDED
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
SPAIN -- 15.1%
Bonos y Obligation Del Estado
4.250%, 07/30/02 $ 1,000 $ 937
------
SWEDEN -- 3.3%
Swedish Government
10.250%, 05/05/03 1,600 206
------
UNITED KINGDOM -- 6.3%
European Investment Bank
6.000%, 12/07/28 25 39
International Bank Reconstruction
& Development MTN
7.125%, 07/30/07 45 71
United Kingdom Treasury
7.500%, 12/07/06 95 159
8.000%, 12/07/15 60 122
------
391
------
UNITED STATES -- 2.3%
KFW International Finance
1.750%, 03/23/10 15,000 142
------
Total Foreign Bonds
(Cost $5,201) 5,165
------
U.S. TREASURY OBLIGATIONS -- 14.0%
U.S. Treasury Bills
4.625%, 08/03/00 555 552
5.886%, 09/21/00 320 316
------
Total U.S. Treasury Obligations
(Cost $868) 868
------
Total Investments--97.5%
(Cost $6,069) 6,033
------
CASH -- 2.5% 153
------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% 2
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 621,733 outstanding
shares of beneficial interest $6,217
Undistributed net investment income 21
Accumulated net realized loss
on investments (5)
Net unrealized depreciation on investments (36)
Net unrealized depreciation on forward
foreign currency contracts, foreign
currencies and translation of other
assets and liabilities denominated
in foreign currencies (9)
------
Total Net Assets--100.0% $6,188
======
Net Asset Value, Offering and Redemption
Price Per Share $9.95
======
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
SEI VP EMERGING MARKETS DEBT FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
FOREIGN BONDS -- 85.4%
ALGERIA -- 3.3%
Republic of Algeria FRN
Tranche 3 Restructured
7.188%, 03/04/10 $ 250 $ 193
------
ARGENTINA -- 4.4%
Government of Argentina (A) (B)
7.375%, 03/31/05 20 18
Republic of Argentina
11.750%, 06/15/15 25 23
12.000%, 02/01/20 240 219
------
260
------
BRAZIL -- 18.2%
Government of Brazil
6.000%, 04/15/09 165 108
Government of Brazil C Bond Bearer
8.000%, 04/15/14 283 208
Republic of Brazil
14.500%, 10/15/09 410 433
12.250%, 03/06/30 172 157
Republic of Brazil, Ser 18YR (B)
7.438%, 04/15/12 225 165
------
1,071
------
BULGARIA -- 4.5%
Republic of Bulgaria, Ser A (B)
2.796%, 07/28/12 360 265
------
COLOMBIA -- 3.8%
Republic of Colombia
11.750%, 02/25/20 245 202
Republic of Columbia (B)
13.580%, 08/13/05 25 24
------
226
------
CROATIA -- 2.0%
Government of Croatia, Ser B (B)
7.033%, 07/31/06 127 119
------
ECUADOR -- 1.4%
Government of Ecuador
Registered PAR*
0.000%, 02/28/25 250 81
------
MEXICO -- 8.8%
Petroleos Mexicanos
9.500%, 09/15/27 $ 265 $ 256
United Mexican States
11.375%, 09/15/16 225 257
------
513
------
MOROCCO -- 2.3%
Morocco R&C Loan FRN,
Tranche A
7.750%, 01/01/09 150 134
------
PANAMA -- 4.1%
Republic of Panama, Ser 18YR (B)
4.250%, 07/17/14 300 238
------
PERU -- 2.3%
Republic of Peru PDI
4.500%, 03/07/17 200 132
------
PHILIPPINES -- 2.2%
Republic of Philippines
10.625%, 03/16/25 150 128
------
POLAND -- 1.4%
Republic of Poland RSTA (C)
4.000%, 10/27/24 125 81
------
RUSSIA -- 14.7%
Russian Federation
12.750%, 06/24/28 300 258
Russian Government
Principal Loans*
0.000%, 12/15/20 300 92
Russian IAN FRN PIK*
0.000%, 12/15/15 1,675 511
------
861
------
VENEZUELA -- 12.0%
Government of Venezuela FRB,
Ser B (A)
7.438%, 03/31/07 167 136
Republic of Venezuela
9.250%, 09/15/27 640 421
Republic of Venezuela (B)
7.875%, 12/18/07 179 145
------
702
------
Total Foreign Bonds
(Cost $5,011) 5,004
------
25
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
SEI VP EMERGING MARKETS
DEBT FUND--CONCLUDED
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 12.2%
U.S. Treasury Bond
6.750%, 05/15/05 $ 700 $ 716
------
Total U.S. Treasury Obligation
(Cost $717) 716
------
Total Investments--97.6%
(Cost $5,728) $5,720
======
*NON-INCOME PRODUCING SECURITY.
(A) SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION NORMALLY TO QUALIFIED INSTITUTIONS.
(B) VARIABLE RATE SECURITY - THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF JUNE 30, 2000.
(C) STEP BOND - THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON JUNE 30, 2000. THE COUPON ON A STEP BOND CHANGES
ON A SPECIFIC DATE.
FRB -- FLOATING RATE BOND
FRN -- FLOATING RATE NOTE
IAN -- INTEREST ARREARS NOTE
PIK -- PAID IN-KIND
RSTA -- REVOLVING SHORT-TERM AGREEMENT
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEI VP PRIME OBLIGATION
FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.6%
Farmers Mortgage Discount Note (A)
6.440%, 07/13/00 $ 705 $ 703
FHLMC Discount Note (A)
6.475%, 07/18/00 1,060 1,057
FFCB Discount Note (A)
6.450%, 08/14/00 1,200 1,191
FNMA Discount Note (A)
6.430%, 08/24/00 1,023 1,013
SLMA Discount Note (A)
6.570%, 07/03/00 1,124 1,124
------
Total U.S. Government Agency Obligations
(Cost $5,088) 5,088
------
Total Investments--100.6%
(Cost $5,088) 5,088
------
OTHER ASSETS AND LIABILITIES, NET -- (0.6%) (3)
------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 5,085,226 outstanding
shares of beneficial interest 5,085
------
Total Net Assets--100.0% $5,085
======
Net Asset Value, Offering and Redemption
Price Per Share $1.00
======
(A) THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS THE EFFECTIVE YIELD AS
OF JUNE 30, 2000.
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FFCB -- FEDERAL FARM CREDIT BANK
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (000)
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
---------------- -------------------
SEI VP SEI VP
CORE FIXED EMERGING
INCOME MARKETS DEBT
FUND FUND
---------------- -------------------
<S> <C> <C>
ASSETS:
Investments (Cost $15,318 and $5,728, respectively) $15,297 $5,720
Cash -- 581
Foreign currency (Cost $163) -- 163
Income receivable 98 126
Investment securities sold 1,168 --
Capital shares sold receivable 50 --
Other receivables 1 --
------- ------
Total Assets 16,614 6,590
------- ------
LIABILITIES:
Distribution payable 49 --
Investment securities purchased 6,397 717
Accrued expenses payable 5 6
Other payables 7 7
------- ------
Total Liabilities 6,458 730
------- ------
Net Assets $10,156 $5,860
======= ======
NET ASSETS:
Portfolio Shares (unlimited authorization --
no par value) based on 1,022,352,
and 581,224 of beneficial interest 10,221 5,812
Undistributed net investment income 7 146
Accumulated net realized loss
on investments (47) (90)
Net unrealized depreciation on investments (21) (8)
Net unrealized depreciation on futures contracts (4) --
------- ------
TOTAL NET ASSETS $10,156 $5,860
======= ======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 9.93 $10.08
======= ======
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
STATEMENTS OF OPERATIONS (000)
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
----------- ----------- ----------- ------------
SEI VP SEI VP SEI VP SEI VP
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
FUND(1) FUND(1) FUND (1) FUND(1)
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 71 $ 11 $ 34 $ 1
Interest 14 14 8 11
Less: Foreign taxes withheld -- -- -- --
----- ----- ---- -----
Total Investment Income 85 25 42 12
----- ----- ---- -----
EXPENSES:
Management fees 12 13 7 6
Less: Management fees waived (6) (8) (4) (4)
Investment advisory fees 12 14 12 12
Less: Investment advisory fees waived (4) (6) (3) (3)
Custodian fees 1 1 1 1
Transfer agent fees 2 2 1 1
Professional fees 9 10 5 5
Registration fees -- -- -- --
Printing fees 2 2 1 1
Trustee fees -- -- -- --
Miscellaneous fees 2 2 1 1
----- ----- ---- -----
Total Expenses 30 30 21 20
----- ----- ---- -----
NET INVESTMENT INCOME (LOSS) 55 (5) 21 (8)
----- ----- ---- -----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from
security transactions (147) (396) 150 (368)
Net realized gain from futures contracts -- -- -- --
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments (653) (25) 38 996
Net change in unrealized depreciation on
futures contracts -- -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign currency
contracts, foreign currencies, and translation
of other assets and liabilities denominated in
foreign currencies -- -- -- --
----- ----- ---- -----
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(745) $(426) $209 $ 620
===== ===== ==== =====
</TABLE>
<TABLE>
<CAPTION>
--------------- ---------------- ------------ -------------
SEI VP SEI VP SEI VP SEI VP
INTERNATIONAL EMERGING CORE FIXED HIGH
EQUITY MARKETS EQUITY INCOME YIELD BOND
FUND(1) FUND(1) FUND(1) FUND(1)
--------------- ---------------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ -- $ -- $ -- $ --
Interest 61 39 166 227
Less: Foreign taxes withheld (3) (3) -- --
----- ------- ---- -----
Total Investment Income 58 36 166 227
----- ------- ---- -----
EXPENSES:
Management fees 12 13 7 8
Less: Management fees waived -- -- (6) (6)
Investment advisory fees 14 22 7 11
Less: Investment advisory fees waived (7) (9) (4) (4)
Custodian fees 3 3 1 1
Transfer agent fees 2 2 1 1
Professional fees 7 6 6 6
Registration fees -- -- -- --
Printing fees 2 1 1 2
Trustee fees -- -- -- --
Miscellaneous fees 2 2 1 1
----- ------- ---- -----
Total Expenses 35 40 14 20
----- ------- ---- -----
NET INVESTMENT INCOME (LOSS) 23 (4) 152 207
----- ------- ---- -----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from
security transactions (70) (631) (60) --
Net realized gain from futures contracts -- -- 13 --
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- (8) -- --
Net change in unrealized appreciation
(depreciation) on investments (343) (547) (21) (120)
Net change in unrealized depreciation on
futures contracts -- -- (4) --
Net change in unrealized appreciation
(depreciation) on forward foreign currency
contracts, foreign currencies, and translation
of other assets and liabilities denominated in
foreign currencies 1 -- -- --
----- ------- ---- -----
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(389) $(1,190) $ 80 $ 87
===== ======= ==== =====
</TABLE>
<TABLE>
<CAPTION>
--------------- ------------- -----------
SEI VP SEI VP SEI VP
INTERNATIONAL EMERGING PRIME
FIXED INCOME MARKETS DEBT OBLIGATION
FUND(1) FUND(1) FUND(1)
--------------- ------------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ -- $ -- $--
Interest 62 163 75
Less: Foreign taxes withheld -- -- --
---- ---- ---
Total Investment Income 62 163 75
---- ---- ---
EXPENSES:
Management fees 9 8 5
Less: Management fees waived -- -- (4)
Investment advisory fees 4 11 1
Less: Investment advisory fees waived (9) (11) (2)
Custodian fees 2 2 --
Transfer agent fees 1 1 1
Professional fees 4 3 3
Registration fees -- -- --
Printing fees 1 1 1
Trustee fees -- -- --
Miscellaneous fees 2 2 --
---- ---- ---
Total Expenses 14 17 5
---- ---- ---
NET INVESTMENT INCOME (LOSS) 48 146 70
---- ---- ---
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from
security transactions (5) (90) --
Net realized gain from futures contracts -- -- --
Net realized loss on forward foreign currency
contracts and foreign currency transactions (27) -- --
Net change in unrealized appreciation
(depreciation) on investments (36) (8) --
Net change in unrealized depreciation on
futures contracts -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign currency
contracts, foreign currencies, and translation
of other assets and liabilities denominated in
foreign currencies (9) -- --
---- ---- ---
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(29) $ 48 $70
==== ==== ===
<FN>
(1) COMMENCED OPERATIONS ON APRIL 5, 2000.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28 - 29
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- FOR THE PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
------------ ------------- ------------ -------------
SEI VP SEI VP SEI VP SEI VP
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
FUND FUND FUND FUND
------------ ------------- ------------ -------------
04/05/00(1)- 04/05/00(1)- 04/05/00(1)- 04/05/00(1)-
06/30/00 06/30/00 06/30/00 06/30/00
------------ ------------- ------------ -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 55 $ (5) $ 21 $ (8)
Net realized gain (loss) from
security transactions
and futures contracts (147) (396) 150 (368)
Net realized loss on
forward foreign currency
contracts and foreign
currency transactions -- -- -- --
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts (653) (25) 38 996
Net change in unrealized
appreciation (depreciation) on
forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies -- -- -- --
------- ------- ------ ------
Net increase (decrease) in
net assets from operations (745) (426) 209 620
------- ------- ------ ------
DIVIDENDS DISTRIBUTED FROM:
Net investment income -- -- -- --
------- ------- ------ ------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 14,965 16,159 8,076 8,086
Reinvestment of distributions -- -- -- --
Cost of shares redeemed (40) (50) (6) (5)
------- ------- ------ ------
Increase in net assets derived
from capital share transactions 14,925 16,109 8,070 8,081
------- ------- ------ ------
Net increase in net assets 14,180 15,683 8,279 8,701
------- ------- ------ ------
NET ASSETS:
Beginning of period 8 8 8 8
------- ------- ------ ------
End of period $14,188 $15,691 $8,287 $8,709
======= ======= ====== ======
CAPITAL SHARE TRANSACTIONS:
Shares issued 1,496 1,616 808 809
Reinvestment of distributions -- -- -- --
Shares redeemed (4) (5) (1) (1)
------- ------- ------ ------
Net increase in capital shares 1,492 1,611 807 808
======= ======= ====== ======
</TABLE>
<TABLE>
<CAPTION>
-------------- -------------- ------------ -------------
SEI VP SEI VP SEI VP SEI VP
INTERNATIONAL EMERGING CORE FIXED HIGH
EQUITY MARKETS EQUITY INCOME YIELD BOND
FUND FUND FUND FUND
-------------- -------------- ------------ -------------
04/05/00(1)- 04/05/00(1)- 04/05/00(1)- 04/05/00(1)-
06/30/00 06/30/00 06/30/00 06/30/00
-------------- -------------- ------------ -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 23 $ (4) $ 152 $ 207
Net realized gain (loss) from
security transactions
and futures contracts (70) (631) (47) --
Net realized loss on
forward foreign currency
contracts and foreign
currency transactions -- (8) -- --
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts (343) (547) (25) (120)
Net change in unrealized
appreciation (depreciation) on
forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies 1 -- -- --
------- ------- ------- -------
Net increase (decrease) in
net assets from operations (389) (1,190) 80 87
------- ------- ------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income -- -- (145) (207)
------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 12,126 10,083 10,091 10,013
Reinvestment of distributions -- -- 142 126
Cost of shares redeemed (26) (22) (20) (3)
------- ------- ------- -------
Increase in net assets derived
from capital share transactions 12,100 10,061 10,213 10,136
------- ------- ------- -------
Net increase in net assets 11,711 8,871 10,148 10,016
------- ------- ------- -------
NET ASSETS:
Beginning of period 8 8 8 8
------- ------- ------- -------
End of period $11,719 $ 8,879 $10,156 $10,024
======= ======= ======= =======
CAPITAL SHARE TRANSACTIONS:
Shares issued 1,213 1,009 1,009 1,001
Reinvestment of distributions -- -- 14 13
Shares redeemed (3) (2) (2) --
------- ------- ------- -------
Net increase in capital shares 1,210 1,007 1,021 1,014
======= ======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
------------- -------------- -------------
SEI VP SEI VP SEI VP
INTERNATIONAL EMERGING PRIME
FIXED INCOME MARKETS DEBT OBLIGATION
FUND FUND FUND
------------- -------------- -------------
04/05/00(1)- 04/05/00(1)- 04/05/00(1)-
06/30/00 06/30/00 06/30/00
------------- -------------- -------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 48 $ 146 $ 70
Net realized gain (loss) from
security transactions
and futures contracts (5) (90) --
Net realized loss on
forward foreign currency
contracts and foreign
currency transactions (27) -- --
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts (36) (8) --
Net change in unrealized
appreciation (depreciation) on
forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies (9) -- --
------- ------ ------
Net increase (decrease) in
net assets from operations (29) 48 70
------- ------ ------
DIVIDENDS DISTRIBUTED FROM:
Net investment income -- -- (70)
------- ------ ------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 6,215 5,807 5,008
Reinvestment of distributions -- -- 69
Cost of shares redeemed (6) (3) --
------- ------ ------
Increase in net assets derived
from capital share transactions 6,209 5,804 5,077
------- ------ ------
Net increase in net assets 6,180 5,852 5,077
------- ------ ------
NET ASSETS:
Beginning of period 8 8 8
------- ------ ------
End of period $ 6,188 $5,860 $5,085
======= ====== ======
CAPITAL SHARE TRANSACTIONS:
Shares issued 622 580 5,008
Reinvestment of distributions -- -- 69
Shares redeemed (1) -- --
------- ------ ------
Net increase in capital shares 621 580 5,077
======= ====== ======
<FN>
(1) COMMENCEMENT OF OPERATIONS.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30 - 31
<PAGE>
FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- FOR THE PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
REALIZED
NET ASSET AND DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET NET ASSET NET ASSETS
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT VALUE END TOTAL END OF
OF PERIOD INCOME(LOSS) ON SECURITIES INCOME OF PERIOD RETURN+ PERIOD (000)
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
----------------------------
SEI VP LARGE CAP VALUE FUND
----------------------------
2000(1) $10.00 $0.04 $(0.54) $ -- $ 9.50 (5.00)% $14,188
-----------------------------
SEI VP LARGE CAP GROWTH FUND
-----------------------------
2000(1) $10.00 $ -- $(0.27) $ -- $ 9.73 (2.70)% $15,691
----------------------------
SEI VP SMALL CAP VALUE FUND
----------------------------
2000(1) $10.00 $0.03 $ 0.23 $ -- $10.26 2.60% $ 8,287
-----------------------------
SEI VP SMALL CAP GROWTH FUND
-----------------------------
2000(1) $10.00 $(0.01) $ 0.77 $ -- $10.76 7.60% $ 8,709
---------------------------------
SEI VP INTERNATIONAL EQUITY FUND
---------------------------------
2000(1) $10.00 $0.02 $(0.34) $ -- $ 9.68 (3.20)% $11,719
------------------------------------
SEI VP EMERGING MARKETS EQUITY FUND
------------------------------------
2000(1) $10.00 $(0.01) $(1.18) $ -- $ 8.81 (11.90)% $ 8,879
------------------------------
SEI VP CORE FIXED INCOME FUND
------------------------------
2000(1) $10.00 $0.15 $(0.08) $(0.14) $ 9.93 0.83% $10,156
----------------------------
SEI VP HIGH YIELD BOND FUND
----------------------------
2000(1) $10.00 $0.21 $(0.12) $(0.21) $ 9.88 0.87% $10,024
---------------------------------------
SEI VP INTERNATIONAL FIXED INCOME FUND
---------------------------------------
2000(1) $10.00 $0.03 $(0.08) $ -- $ 9.95 (0.50)% $6,188
----------------------------------
SEI VP EMERGING MARKETS DEBT FUND
----------------------------------
2000(1) $10.00 $0.25 $(0.17) $ -- $10.08 0.80% $5,860
-----------------------------
SEI VP PRIME OBLIGATION FUND
-----------------------------
2000(1) $ 1.00 $0.01 $ -- $(0.01) $ 1.00 1.39% $5,085
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME (LOSS)
RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME (LOSS) NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
----------------------------
SEI VP LARGE CAP VALUE FUND
----------------------------
2000(1) 0.85% 1.61% 1.17% 1.29% 15%
-----------------------------
SEI VP LARGE CAP GROWTH FUND
-----------------------------
2000(1) 0.85% (0.14)% 1.22% (0.51)% 13%
----------------------------
SEI VP SMALL CAP VALUE FUND
----------------------------
2000(1) 1.10% 1.06% 1.47% 0.69% 16%
-----------------------------
SEI VP SMALL CAP GROWTH FUND
-----------------------------
2000(1) 1.10% (0.45)% 1.47% (0.82)% 30%
---------------------------------
SEI VP INTERNATIONAL EQUITY FUND
---------------------------------
2000(1) 1.28% 0.85% 1.54% 0.59% 9%
------------------------------------
SEI VP EMERGING MARKETS EQUITY FUND
------------------------------------
2000(1) 1.95% (0.20)% 2.41% (0.66)% 32%
------------------------------
SEI VP CORE FIXED INCOME FUND
------------------------------
2000(1) 0.60% 6.53% 1.03% 6.10% 208%
----------------------------
SEI VP HIGH YIELD BOND FUND
----------------------------
2000(1) 0.85% 8.81% 1.31% 8.35% --%
---------------------------------------
SEI VP INTERNATIONAL FIXED INCOME FUND
---------------------------------------
2000(1) 1.00% 3.31% 1.60% 2.71% 35%
----------------------------------
SEI VP EMERGING MARKETS DEBT FUND
----------------------------------
2000(1) 1.32% 10.94% 2.20% 10.06% --%
-----------------------------
SEI VP PRIME OBLIGATION FUND
-----------------------------
2000(1) 0.44% 5.81% 0.94% 5.31% N/A
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON APRIL 5, 2000. ALL RATIOS FOR THE PERIOD HAVE BEEN
ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
1. ORGANIZATION
SEI Insurance Products Trust (the "Trust") was organized as a Massachusetts
business trust under a Declaration of Trust dated December 14, 1998. The Trust
commenced operations on April 5, 2000. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company consisting of thirteen funds: SEI VP Large Cap Value Fund, SEI VP Large
Cap Growth Fund, SEI VP S&P 500 Index Fund, SEI VP Small Cap Value Fund, SEI VP
Small Cap Growth Fund, SEI VP International Equity Fund, SEI VP Emerging Markets
Equity Fund, SEI VP Core Fixed Income Fund, SEI VP Bond Index Fund, SEI VP High
Yield Bond Fund, SEI VP International Fixed Income Fund, SEI VP Emerging Markets
Debt Fund, and SEI VP Prime Obligation Fund (collectively the "Funds", and each
of these, a "Fund"). The Trust has diversified and non-diversified funds. The
Funds' prospectus provides a description of each Fund's investment objectives,
policies and strategies. The assets of each fund are segregated, and a
shareholder's interest is limited to the fund in which shares are held. As of
June 30, 2000, SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund had not yet
commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of financial statements. The policies
are in conformity with generally accepted accounting principles.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION -- Investments in equity securities that are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Foreign
securities in the SEI VP International Equity Fund, SEI VP Emerging Markets
Equity Fund, SEI VP International Fixed Income Fund and SEI VP Emerging Markets
Debt Fund (the "International Funds") are valued based on quotations from the
primary market in which they are traded. Debt obligations with remaining
maturities in excess of sixty days are valued at the most recently quoted bid
price. Debt obligations with remaining maturities of sixty days or less are
valued at their amortized cost which approximates market value. Other securities
for which market quotations are not readily available or securities whose market
quotations do not reflect market value are valued at fair value using good faith
pricing procedures approved by the Board of Trustees.
FEDERAL INCOME TAXES -- It is the intention of each Fund to qualify as a
regulated investment company and to distribute substantially all of its taxable
income. Accordingly, no provision for Federal income taxes has been made in the
financial statements.
The International Funds may be subject to taxes imposed by countries in
which they invest with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned.
The Funds accrue such taxes when the related income is earned.
NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
as collateral for tri-party repurchase agreements are maintained by the broker's
custodian bank in a segregated account until maturity of the repurchase
agreement. Provisions of the repurchase agreements ensure that the market value
of the collateral, including accrued interest thereon, is sufficient in the
event of default. If the counterparty defaults and the value of the collateral
declines or if the counterparty enters into an insolvency proceeding,
realization of the collateral by the Funds may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using
the effective interest method over the holding period of the security.
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 Funds are
prorated to the Funds on the basis of relative net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Funds are maintained in U.S. dollars. Foreign currency amounts are translated
into U.S. dollars on the following bases: (I) market value of investment
securities, other assets and liabilities at the current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective date of such
transactions.
For foreign equity securities, the International Funds do not isolate that
portion of gains and losses on investment securities that is due to changes in
the foreign exchange rates from that which is due to changes in market prices of
such securities.
The International Funds do isolate the effect of fluctuations in foreign
currency rates when determining the gain or loss upon sale or maturity of
foreign currency denominated debt obligations for Federal income tax purposes.
The International Funds report gains and losses on foreign currency-related
transactions as realized and unrealized gains and losses for financial reporting
purposes, whereas such gains and losses are treated as ordinary income or loss
for Federal income tax purposes.
FUTURES CONTRACTS -- The SEI VP Core Fixed Income Fund (the "Fund")
utilized futures contracts during the period ended June 30, 2000. The Fund's use
of futures contracts is primarily for tactical hedging purposes. Initial margin
deposits of cash or securities are made upon entering into futures contracts.
The contracts are marked to market daily and the resulting changes in value are
accounted for as unrealized gains and losses. Variation margin payments are paid
or received, depending upon whether unrealized losses or gains are incurred.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the amount invested in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform.
The SEI VP Core Fixed Income Fund had the following futures contracts open
as of June 30, 2000:
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE DEPRECIATION
CONTRACT CONTRACTS (000) EXPIRATION (000)
--- -----------------------------------------------------
U.S. Five
Year Note (1) $ (99) 09/15/00 $--
U.S. Five
Year Note (6) (549) 09/15/00 (4)
U.S. Long
Bond 1 97 09/20/00 --
U.S. Long
Bond (1) (97) 09/20/00 --
U.S. Ten Year
Agency Future 1 92 10/02/00 --
-------
$ (4)
=======
OPTION SELLING/PURCHASING -- The SEI VP Core Fixed Income Fund (the "Fund")
enters into option contracts solely for the purpose of hedging its existing
portfolio securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. When the Fund sells or purchases an option, an amount equal to the
premium received
34
<PAGE>
-------------------------------------------------------------------------------
or paid by the Fund is recorded as a liability or an asset and is subsequently
adjusted to the current market value of the option written or purchased.
Premiums received or paid from purchasing options which expire unexercised are
treated by the Fund on the expiration date as realized gains or losses. The
difference between the premium and the amount paid or received on effecting a
closing purchase or sale transaction, including brokerage commissions, is also
treated as a realized gain or loss. If an option is exercised, the premium paid
or received is added to the cost of the purchase or proceeds from the sale in
determining whether the Fund has realized a gain or loss on investment
transactions.
TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
STRUCTURED NOTES AND INDEXED NOTES -- The SEI VP Core Fixed Income Fund may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, indices, or other reference instruments. The values of these instruments
may be more volatile than the rates, indices or instruments to which they refer,
but any loss is limited to the amount of the original investment.
FORWARD FOREIGN CURRENCY CONTRACTS -- The International Funds may enter
into forward foreign currency contracts as hedges against either specific
transactions, fund positions or anticipated fund positions. The aggregate
principal amounts of the contracts are not recorded as the Funds do not intend
to hold the contracts to maturity. All commitments are "marked-to-market" daily
at the applicable foreign exchange rate, and any resulting unrealized gains or
losses are recorded currently. The International Funds realize gains and losses
at the time forward contracts are extinguished. Unrealized gains or losses on
outstanding positions in forward foreign currency contracts held at the close of
the period are recognized as ordinary income or loss for Federal income tax
purposes.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
OTHER -- Security transactions are recorded on the trade date of the
security purchase or sale. Costs used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated March 29, 1999. Under this
Agreement, the Manager will provide the Trust with overall administrative and
accounting services and act as transfer agent and dividend disbursing agent. For
its services, the Manager will receive an annual fee which is calculated daily
and paid monthly at the following annual rates: .35% of the average daily net
assets of the SEI VP Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP
Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP High Yield Bond Fund;
.28% of the average daily net assets of the SEI VP Core Fixed Income Fund; .45%
of the average daily net assets of the SEI VP International Equity Fund; .60% of
the average daily net assets of the SEI VP International Fixed Income Fund; .65%
of the
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
average daily net assets of the SEI VP Emerging Markets Equity Fund and SEI VP
Emerging Markets Debt Fund; and .42% of the average daily net assets of the SEI
VP Prime Obligation Fund. The Manager has agreed to waive all or a portion of
its fee in order to limit the operating expenses of a Fund. Any such waiver is
voluntary and may be terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, which is calculated daily and paid monthly, at an annual rate
of .35% of the average daily net assets of the SEI VP Large Cap Value Fund; .40%
of the average daily net assets of the SEI VP Large Cap Growth Fund; .65% of the
average daily net assets of the SEI VP Small Cap Value Fund and SEI VP Small Cap
Growth Fund; .51% of the average daily net assets of the SEI VP International
Equity Fund; 1.05% of the average daily net assets of the SEI VP Emerging
Markets Equity Fund, .275% of the average daily net assets of the SEI VP Core
Fixed Income Fund; .4875% of the average daily net assets of the SEI VP High
Yield Bond Fund; .30% of the average daily net assets of the SEI VP
International Fixed Income Fund; .85% of the average daily net assets of the SEI
VP Emerging Markets Debt Fund; and .075% of the average daily net assets of the
SEI VP Prime Obligation Fund.
SIMC has entered into, or plans to enter into, investment sub-advisory
agreements with the following parties:
CURRENTLY
MANAGING A
INVESTMENT DATE OF PORTION OF
SUB-ADVISER AGREEMENT FUND (Y/N)
------------- ----------- -----------
SEI VP LARGE CAP VALUE FUND
LSV Asset Management, L.P. 03/31/00 Y
Mellon Equity Associates, LLP 02/02/00 Y
Sanford C. Bernstein & Co., Inc. N/A N
SEI VP LARGE CAP GROWTH FUND
Alliance Capital Management L.P. 02/25/00 Y
Provident Investment Counsel, Inc. 03/22/00 Y
TCW Investment Management
Company N/A N
SEI VP SMALL CAP VALUE FUND
Artisan Partners Limited Partnership N/A N
LSV Asset Management, L.P. 03/31/00 Y
Mellon Equity Associates, LLP 02/02/00 Y
Security Capital Global Capital
Management, Inc. N/A N
CURRENTLY
MANAGING A
INVESTMENT DATE OF PORTION OF
SUB-ADVISER AGREEMENT FUND (Y/N)
------------- ----------- -----------
SEI VP SMALL CAP GROWTH FUND
Mazama Capital Management, LLC N/A N
Nicholas-Applegate Capital
Management 02/14/00 N
RS Investment Management, L.P. N/A N
Sawgrass Asset Management, LLC 02/15/00 Y
Wall Street Associates 03/21/00 Y
SEI VP INTERNATIONAL EQUITY FUND
Acadian Asset Management, Inc. N/A N
BlackRock International, Ltd. N/A N
Capital Guardian Trust Company 02/22/00 Y
Oeschle International Advisors, LLC 03/31/00 Y
SG Yamaichi Asset Management
Company, Ltd., SG Pacific Asset
Management, Inc. and SGY Asset
Management (Singapore) Ltd. N/A N
SEI VP EMERGING MARKETS EQUITY FUND
Coronation Asset Management
(Proprietary) Limited N/A N
Credit Suisse Asset
Management Limited N/A N
Morgan Stanley Dean Witter
Investment Management Inc. N/A N
Nicholas-Applegate Capital
Management 02/14/00 Y
Schroder Investment Management
North America Inc. 04/04/00 Y
SG Pacific Asset Management, Inc.
and SGY Asset Management
(Singapore) Ltd. N/A N
SEI VP CORE FIXED INCOME FUND
BlackRock Financial Management, Inc. N/A N
Robert W. Baird & Co., Incorporated 03/31/00 Y
Western Asset Management Company 02/15/00 Y
SEI VP HIGH YIELD BOND FUND
Credit Suisse Asset
Management, LLC 02/25/00 Y
Nomura Corporate Research and
Asset Management, Inc. N/A N
SEI VP INTERNATIONAL FIXED
INCOME FUND
Strategic Fixed Income, L.L.C. 02/04/00 Y
SEI VP EMERGING MARKETS DEBT FUND
Salomon Brothers
Asset Management, Inc. 03/08/00 Y
SEI VP PRIME OBLIGATIONS FUND
Wellington Management
Company, LLP 04/04/00 Y
36
<PAGE>
-------------------------------------------------------------------------------
Under the investment sub-advisory agreements, each party receives an annual
fee, paid by SIMC.
Under a distribution agreement with the Trust, SEI Investments Distribution
Co. (the "Distributor") will provide the Trust with distribution services. The
Distributor will not be entitled to any fee for performing these services.
4. OFFERING COSTS AND TRANSACTIONS WITH AFFILIATES
Offering costs related to the sale of initial shares will be deferred and
amortized on a straight line basis over a period of twelve months commencing
with operations. These costs of approximately $66,000 include legal fees of
approximately $32,000 for work performed by a law firm of which an officer of
the Trust is a partner. The remainder of these costs includes approximately
$11,000 for other legal costs and $23,000 for typesetting costs.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
at quarterly, interim and committee meetings. Compensation of affiliated
officers and trustees of the Trust is paid by the Manager.
Each of the Funds also uses the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Aggregate commissions paid by the Trust for
repurchase agreements placed during the period ended June 30, 2000 were $862.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency exchange
contracts as hedges against portfolio positions. Such contracts, which are
designed to protect the value of the Fund's investment securities against a
decline in the value of the hedged currency, do not eliminate fluctuations in
the underlying prices of the securities; they simply establish an exchange rate
at a future date. Also, although such contracts tend to minimize risk of loss
due to a decline in the value of a hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at June
30, 2000:
IN UNREALIZED
CONTRACTS TO EXCHANGE APPRECIATION
DELIVER/RECEIVE FOR (DEPRECIATION)
MATURITY DATES (000) (000) (000)
---------------- ---------------------------------------
SEI VP INTERNATIONAL FIXED INCOME FUND
--------------------------------------
FOREIGN CURRENCY SALES:
08/30/2000 AD 35 $ 59 $--
08/30/2000 CD 379 558 1
08/30/2000 CH 474 773 (3)
08/30/2000 DK 4 33 --
08/30/2000 EC 1,710 1,803 (11)
08/30/2000 JY 503 52,360 2
08/30/2000 UK 1,182 786 (12)
-------- -----
$56,372 $(23)
======== =====
FOREIGN CURRENCY PURCHASES:
08/30/2000 AD 50 30 --
08/30/2000 CD 258 174 --
08/30/2000 CH 1,114 683 3
08/30/2000 EC 2,149 2,041 12
08/30/2000 JY 154,976 1,488 (9)
08/30/2000 SK 40 5 --
08/30/2000 UK 493 742 7
-------- -----
$ 5,163 $ 13
======== -----
$(10)
=====
CURRENCY LEGEND:
AD Australian Dollar JY Japanese Yen
CD Canadian Dollar UK British Sterling Pound
CH Swiss Franc
DK Danish Kroner
EC Euro
6. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary investments during the period ended June 30, 2000, were as
follows:
PURCHASES
U.S. GOV'T OTHER TOTAL
(000) (000) (000)
---------- ------ -----
SEI VP Large Cap Value Fund $ -- $16,906 $16,906
SEI VP Large Cap Growth Fund -- 17,798 17,798
SEI VP Small Cap Value Fund -- 9,195 9,195
SEI VP Small Cap Growth Fund -- 10,136 10,136
SEI VP International Equity Fund -- 12,889 12,889
SEI VP Emerging Markets
Equity Fund -- 12,400 12,400
SEI VP Core Fixed Income Fund 22,612 3,774 26,386
SEI VP High Yield Bond Fund -- 9,792 9,792
SEI VP International
Fixed Income Fund -- 6,077 6,077
SEI VP Emerging Markets
Debt Fund -- 5,047 5,047
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSURANCE PRODUCTS TRUST -- JUNE 30, 2000 (UNAUDITED)
INVESTMENT TRANSACTIONS (CONTINUED)
SALES
U.S. GOV'T OTHER TOTAL
(000) (000) (000)
---------- ------ -----
SEI VP Large Cap Value Fund $ -- $ 2,086 $ 2,086
SEI VP Large Cap Growth Fund -- 1,909 1,909
SEI VP Small Cap Value Fund -- 1,276 1,276
SEI VP Small Cap Growth Fund -- 2,354 2,354
SEI VP International Equity Fund -- 968 968
SEI VP Emerging Markets
Equity Fund -- 2,654 2,654
SEI VP Core Fixed Income Fund 15,923 1,523 17,446
SEI VP High Yield Bond Fund -- -- --
SEI VP International
Fixed Income Fund -- 1,530 1,530
SEI VP Emerging Markets
Debt Fund -- 1,396 1,396
At June 30, 2000, the total cost of securities and the net realized gains
or losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on investments and futures
contracts at June 30, 2000, is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES(DEPRECIATION)
(000) (000) (000)
---------------------------------------
SEI VP Large Cap
Value Fund $ 594 $(1,247) $(653)
SEI VP Large Cap
Growth Fund 1,037 (1,062) (25)
SEI VP Small Cap
Value Fund 712 (674) 38
SEI VP Small Cap
Growth Fund 1,516 (520) 996
SEI VP International
Equity Fund 560 (903) (343)
SEI VP Emerging
Markets Equity Fund 367 (914) (547)
SEI VP Core Fixed
Income Fund 43 (68) (25)
SEI VP High Yield
Bond Fund 82 (202) (120)
SEI VP International
Fixed Income Fund 26 (62) (36)
SEI VP Emerging
Markets Debt Fund 99 (107) (8)
7. CONCENTRATION OF RISKS
The market values of the SEI VP Core Fixed Income Fund's investments will
change in response to interest rate changes and other factors. During periods of
falling interest rates, the values of such 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.
Each International 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 SEI VP International Fixed
Income and SEI VP Emerging Markets Debt Funds invest in debt securities, the
market value of which may change in response to interest rate changes. Also, the
ability of the issuers of debt securities held by the SEI VP International Fixed
Income and SEI VP Emerging Markets Debt Funds to meet its obligations may be
affected by economic and political developments in a specific country, industry
or region.
8. LOAN PARTICIPATIONS AND BRADY BONDS
The SEI VP Emerging Markets Debt Fund (the "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 may invest in such Loans in the
form of participations in Loans ("Participations") or assignments of all or a
portion of loans from third parties ("Assignments"). Participations typically
result in the Fund having a contractual relationship only with the Lender, not
with the sovereign borrower. The Fund has the right to receive payments of
principal, interest and any
38
<PAGE>
-------------------------------------------------------------------------------
fees to which it is entitled from the Lender selling the Participation and
only upon receipt by the Lender of the payments from the borrower. In connection
with purchasing Participations, the Fund generally has no right to enforce
compliance by the borrower with the terms of the loan agreement relating to the
Loan, nor any rights of set-off against the borrower, and the Fund will not
benefit directly from any collateral supporting the Loan in which it has
purchased the Participation. As a result, the Fund assumes the credit risk of
both the borrower and the Lender that is selling the Participation. The Fund may
have difficulty disposing of Participations and Assignments because the market
for such instruments is not highly liquid.
Certain debt obligations, customarily referred to as "Brady Bonds," are
created through the exchange of existing commercial bank loans to foreign
entities for new obligations in connection with debt restructuring under a plan
introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady
Bonds have only been issued since 1989, and, accordingly, do not have a long
payment history. They are issued by governments that may have previously
defaulted on the loans being restructured by the Brady Bonds, so are subject to
the risk of default by the issuer. They may be fully or partially collateralized
or uncollateralized and issued in various currencies.
9. WRITTEN OPTIONS TRANSACTIONS
Written option transactions entered into during the period ending June 30,2000
are summarized as follows:
SEI VP CORE FIXED INCOME FUND
--------------------------------------
PREMIUM
# OF CONTRACTS (000)
------------- -----------
Balance at the beginning
of period -- $--
Written 9 5
Expired -- --
Exercised -- --
Closing Buys -- --
----- -----
Balance at the end
of period 9 $ 5
===== =====
At June 30, 2000, the SEIVP Core Fixed Income Fund had sufficient cash and/or
securities at least equal to the value of written options.
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS
SEI INSURANCE PRODUCTS TRUST - JUNE 30, 2000 (UNAUDITED)
1. ORGANIZATION
SEI Insurance Products Trust (the "Trust") was organized as a Massachusetts
business trust under a Declaration of Trust dated December 14, 1998. The Trust
is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company consisting of thirteen funds: SEI VP
Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP S&P 500 Index Fund,
SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP International
Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP Core Fixed Income Fund,
SEI VP Bond Index Fund, SEI VP High Yield Bond Fund, SEI VP International Fixed
Income Fund, SEI VP Emerging Markets Debt Fund, and SEI VP Prime Obligation Fund
(collectively the "Funds", and each of these, a "Fund"). The Trust has
diversified and non-diversified funds. The Funds' prospectus provides a
description of each Fund's investment objectives, policies and strategies. The
assets of each fund are segregated, and a shareholder's interest is limited to
the fund in which shares are held. The Funds are authorized to offer an
unlimited number of shares of beneficial interest with no par value. As of June
30, 2000, the SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund had not
commenced operations. The SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund
had no operations except those related to organizational matters and the sale of
initial shares of beneficial interest to SEI Investments Fund Management ("SIFM"
or the "Manager") on July 16, 1999. The financial statements presented herein
relate only to the SEI VP S&P 500 Index Fund and the SEI VP Bond Index Fund. The
financial statements of the remaining Funds are presented separately.
2. OFFERING COSTS
Offering costs related to the sale of initial shares will be deferred and
amortized on a straight line basis over a period of twelve months commencing
with operations. These costs of approximately $66,000 include legal fees of
approximately $32,000 for work performed by a law firm of which an officer of
the Trust is a Partner. The remainder of these costs included approximately
$11,000 for other legal costs and $23,000 for typesetting costs.
Certain officers and / or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated trustees of the Trust is paid by the Manager.
The Trust incurred other expenses of approximately $12,000 in legal and audit
fees. The full amount of these organizational expenses were assumed by SEI
Investments Management Corporation (SIMC) and the Funds are not required to
reimburse SIMC.
3. INVESTMENT ADVISORY, MANAGEMENT, DISTRIBUTION AND CUSTODY AGREEMENTS
The Trust has entered into the following service agreements:
Under an Investment Advisory Agreement with the Trust, SEI Investments
Management Corporation ("SIMC") will act as investment adviser to each Fund. For
its investment advisory services to the Trust, SIMC will receive an annual fee
which is calculated daily and paid monthly at the following annual rates (shown
as a percentage of the average daily net assets of each Fund): SEI VP S&P 500
Index Fund, 0.03% and SEI VP Bond Index Fund, 0.07%. SIMC has agreed, on a
voluntary basis, to waive all or a portion of its investment advisory fee. In
addition, SIMC reserves the right to terminate its waivers at any time in its
full discretion.
Under an Administration Agreement with the Trust, the Manager will provide the
Trust with overall administrative and accounting services and act as transfer
agent and dividend disbursing agent. For its services, the Manager will receive
an annual fee which is calculated daily and paid monthly at the following annual
rates (shown as a percentage of the average daily net assets of each Fund): SEI
VP S&P 500 Index Fund, 0.22% and SEI VP Bond Index Fund, 0.35%. The Manager has
agreed, on a voluntary basis, to waive all or a portion of its administration
fee and/or reimburse other expenses. In addition, the Manager reserves the right
to terminate its waivers and/or reimbursements at any time in its full
discretion.
Under a Distribution Agreement with the Trust, SEI Investments Distribution Co.
(the "Distributor") will provide the Trust with distribution services. The
Distributor will not be entitled to any fee for performing these services.
Under a Custodian Agreement with the Trust, First Union National Bank will serve
as custodian for the assets of SEI VP S&P 500 Index Fund and SEI VP Bond Index
Fund.
------------------------
SEI INSURANCE
PRODUCTS TRUST
------------------------
SEMI-ANNUAL REPORT
------------------------
JUNE 30, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT
AFFILIATED WITH ANY BANK.
FOR MORE INFORMATION CALL
1-800-DIAL-SEI/1-800-342-5734
<PAGE>
<PAGE>
SEI
INVESTMENTS
DISTRIBUTION CO.
OAKS, PA 19456-1100
800-DIAL-SEI/800-342-5734
VAR-F-005(6-00)
<PAGE>
NOTES TO FINANCIAL STATEMENTS
SEI INSURANCE PRODUCTS TRUST - JUNE 30, 2000 (UNAUDITED)
1. ORGANIZATION
SEI Insurance Products Trust (the "Trust") was organized as a Massachusetts
business trust under a Declaration of Trust dated December 14, 1998. The Trust
is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company consisting of thirteen funds: SEI VP
Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP S&P 500 Index Fund,
SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP International
Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP Core Fixed Income Fund,
SEI VP Bond Index Fund, SEI VP High Yield Bond Fund, SEI VP International Fixed
Income Fund, SEI VP Emerging Markets Debt Fund, and SEI VP Prime Obligation Fund
(collectively the "Funds", and each of these, a "Fund"). The Trust has
diversified and non-diversified funds. The Funds' prospectus provides a
description of each Fund's investment objectives, policies and strategies. The
assets of each fund are segregated, and a shareholder's interest is limited to
the fund in which shares are held. The Funds are authorized to offer an
unlimited number of shares of beneficial interest with no par value. As of June
30, 2000, the SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund had not
commenced operations. The SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund
had no operations except those related to organizational matters and the sale of
initial shares of beneficial interest to SEI Investments Fund Management ("SIFM"
or the "Manager") on July 16, 1999. The financial statements presented herein
relate only to the SEI VP S&P 500 Index Fund and the SEI VP Bond Index Fund. The
financial statements of the remaining Funds are presented separately.
2. OFFERING COSTS
Offering costs related to the sale of initial shares will be deferred and
amortized on a straight line basis over a period of twelve months commencing
with operations. These costs of approximately $66,000 include legal fees of
approximately $32,000 for work performed by a law firm of which an officer of
the Trust is a Partner. The remainder of these costs included approximately
$11,000 for other legal costs and $23,000 for typesetting costs.
Certain officers and / or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated trustees of the Trust is paid by the Manager.
The Trust incurred other expenses of approximately $12,000 in legal and audit
fees. The full amount of these organizational expenses were assumed by SEI
Investments Management Corporation (SIMC) and the Funds are not required to
reimburse SIMC.
3. INVESTMENT ADVISORY, MANAGEMENT, DISTRIBUTION AND CUSTODY AGREEMENTS
The Trust has entered into the following service agreements:
Under an Investment Advisory Agreement with the Trust, SEI Investments
Management Corporation ("SIMC") will act as investment adviser to each Fund. For
its investment advisory services to the Trust, SIMC will receive an annual fee
which is calculated daily and paid monthly at the following annual rates (shown
as a percentage of the average daily net assets of each Fund): SEI VP S&P 500
Index Fund, 0.03% and SEI VP Bond Index Fund, 0.07%. SIMC has agreed, on a
voluntary basis, to waive all or a portion of its investment advisory fee. In
addition, SIMC reserves the right to terminate its waivers at any time in its
full discretion.
Under an Administration Agreement with the Trust, the Manager will provide the
Trust with overall administrative and accounting services and act as transfer
agent and dividend disbursing agent. For its services, the Manager will receive
an annual fee which is calculated daily and paid monthly at the following annual
rates (shown as a percentage of the average daily net assets of each Fund): SEI
VP S&P 500 Index Fund, 0.22% and SEI VP Bond Index Fund, 0.35%. The Manager has
agreed, on a voluntary basis, to waive all or a portion of its administration
fee and/or reimburse other expenses. In addition, the Manager reserves the right
to terminate its waivers and/or reimbursements at any time in its full
discretion.
Under a Distribution Agreement with the Trust, SEI Investments Distribution Co.
(the "Distributor") will provide the Trust with distribution services. The
Distributor will not be entitled to any fee for performing these services.
Under a Custodian Agreement with the Trust, First Union National Bank will serve
as custodian for the assets of SEI VP S&P 500 Index Fund and SEI VP Bond Index
Fund.
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
SEI INSURANCE PRODUCTS TRUST - AS OF JUNE 30, 2000 (UNAUDITED)
----------- -----------
VP
S & P 500 VP BOND
INDEX INDEX
FUND FUND
----------- -----------
ASSETS:
Cash $ 7,692 $ 7,692
Deferred Offering Costs $ 5,112 $ 5,112
------- -------
Total Assets $12,804 $12,804
------- -------
LIABILITIES:
Due to Manager $ 5,112 $ 5,112
------- -------
NET ASSETS: $ 7,692 $ 7,692
======= =======
Shares of beneficial interest issued
and outstanding (unlimited authorization-
no par value) 769 769
======= =======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $10.00 $10.00
======= =======
THE FUNDS HAVE NOT COMMENCED OPERATIONS
AS OF JUNE 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART
OF THE FINANCIAL STATEMENTS.
