==============================================================================
SEI INDEX FUNDS
==============================================================================
1996 ANNUAL REPORT
==============================================================================
MARCH 31, 1996
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
S&P 500 INDEX PORTFOLIO........................................ 1
BOND INDEX PORTFOLIO........................................... 2
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 5
STATEMENT OF NET ASSETS.............................................. 6
STATEMENT OF OPERATIONS.............................................. 15
STATEMENTS OF CHANGES IN NET ASSETS.................................. 16
FINANCIAL HIGHLIGHTS................................................. 17
NOTES TO FINANCIAL STATEMENTS........................................ 18
SHAREHOLDER VOTING RESULTS........................................... 21
NOTICE TO SHAREHOLDERS............................................... 22
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN(1)
Since
1 Year 3 Year 5 Year 10 Year Inception
31.88% 15.44% 14.38% 13.54% 15.19%
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Index Funds S&P
500 Index Portfolio from July 31, 1985 through March 31, 1996 as compared with
the growth of a $10,000 investment in the Standard & Poor's 500 Composite Stock
Price Index. The plot points used to draw the line graph were as follows:
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX PORTFOLIO, VERSUS THE S&P 500 COMPOSITE INDEX
Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in S&P 500
Period Ended Index Portfolio Composite Index
7/31/85 $10,000 $10,000
3/31/86 $12,692 $12,846
3/31/87 $15,918 $16,213
3/31/88 $14,441 $14,864
3/31/89 $16,982 $17,559
3/31/90 $20,212 $20,946
3/31/91 $23,079 $23,965
3/31/92 $25,543 $26,613
3/31/93 $29,367 $30,663
3/31/94 $29,720 $31,117
3/31/95 $34,255 $35,956
3/31/96 $45,175 $47,494
(1) For the periods ended March 31, 1996. Past performance is no indication of
future performance. The Portfolio was offered beginning 08/01/85.
OBJECTIVES. The S&P 500 Index Portfolio seeks to provide investment
results that correspond to the aggregate price and dividend performance of the
securities in the Standard and Poor's 500 Composite Stock Price Index (the
"Index"). The fifty largest stocks in the Index account for approximately 50% of
the weighting of the Index, and the Index represents approximately two-thirds of
the market value of the common stocks listed on the New York Stock Exchange.
STRATEGY. The S&P 500 Index Portfolio attempts to match the performance of
the widely followed Index by duplicating its composition in full. Deviation on
performance between the portfolio and the index, called tracking error, is
typically attributable to trading costs and cash reserves held for liquidity
needs. The presence of cash in the Portfolio will result in underperformance of
the Index during rising markets and overperformance during falling markets.
Transaction costs incurred during portfolio purchases and sales will also
contribute to tracking error. To mitigate these effects, the Portfolio may use
stock index futures to hedge its cash position. Futures contracts enable the
Portfolio to maintain exposure to the market and reduce trading expenses as the
cost of a contract is nominal in comparison to the cost of purchasing 500 stocks
in the Index. The value of stock index futures held by the Portfolio may not
exceed 20% of the Portfolio's assets.
ANALYSIS. For the fiscal year ended March 31, 1996, the SEI S&P 500 Index
Portfolio was up a sharp 31.88% versus the S&P 500 Index which was up 32.04% for
the year. The return differential was mostly attributable to Fund expenses.
The performance of the S&P 500 Index Portfolio throughout the year was
reflective of the favorable environment for investing in US equity markets.
Corporations, in almost every market sector, experienced very strong earnings
growth while inflation remained under control. Economic growth was sustainable
while trade balances improved during the year. With inflation under control and
little threat of the economy overheating, the Federal Reserve Board of Governors
enacted an expansionary monetary policy by lowering interest rates. Finally,
with the positive economic news, unemployment below 6% and strong market
returns, investors poured record amounts of new money into the market. This huge
cash injection fueled the markets higher.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX (CONTINUED)
The market's gain was steady throughout the year though the first half was
somewhat stronger than the second half. While market fundamentals remained
strong, the first quarter of 1996 began with analyst reducing estimates for
corporate earnings growth but record inflows sustained the market's advance.
There was no clear style in favor during the year as growth and value
indices finish the year with nearly identical gains. Small-cap stocks fell
behind the market's strong first half advance. However, the second half proved
to be very strong for small-cap stocks. This narrowed the gap between large-cap
and small-cap returns for the year.
BOND INDEX PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN(1)
Since
1 Year 3 Year 5 Year Inception
10.31% 5.60% 7.76% 7.96%
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Index Funds Bond
Index Portfolio from May 31, 1986 through March 31, 1996 as compared with the
growth of a $10,000 investment in the Salomon Broad Bond Index and the Lehman
Aggregate Bond Index. The plot points used to draw the line graph were as
follows:
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI BOND INDEX
PORTFOLIO, VERSUS THE SALOMON BROAD BOND INDEX, AND THE LEHMAN AGGREGATE BOND
INDEX
Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Bond Invested in Salomon Invested in Lehman
Period Ended Index Portfolio Broad Bond Index Aggregate Bond Index
5/31/86 $10,000 $10,000 $10,000
3/31/87 $10,973 $11,013 $11,024
3/31/88 $11,343 $11,579 $11,566
3/31/89 $11,821 $12,185 $12,161
3/31/90 $13,244 $13,674 $13,662
3/31/91 $14,823 $15,426 $15,427
3/31/92 $16,224 $17,227 $17,184
3/31/93 $18,289 $19,532 $19,468
3/31/94 $18,673 $20,028 $19,928
3/31/95 $19,521 $21,033 $20,924
3/31/96 $21,533 $23,319 $23,180
(1) For the periods ended March 31, 1996. Past performance is no indication of
future performance. The Portfolio was offered beginning 05/19/86.
OBJECTIVES. The Bond Index Portfolio seeks to provide investment results
that correspond to the aggregate price and interest performance of a specified
index that tracks the performance of debt securities.
The Bond Index Portfolio seeks to provide investment results that
correspond to the aggregate price and performance of the Lehman Aggregate Bond
Index (the "Lehman Index"). The Portfolio's ability to duplicate the performance
of the Lehman Index will depend to some extent on the size and timing of cash
flows into and out of the Portfolio as well as on the level of the Portfolio's
expenses, and the capability of the Portfolio to select a representative sample
of the securities included in the Lehman Index.
2
<PAGE>
BOND INDEX (CONTINUED)
The Lehman Index is made up of the Government/Corporate Index, the
Mortgage Backed Securities Index and the Asset-Backed Securities Index. The
Lehman Index includes fixed rate debt issues rated investment grade or higher by
Moody's Investor Service, Standard & Poor's Corporation or Fitch Investor's
Service in that order. All issues have at least one year to maturity and an
outstanding par value of at least $100 million. Price, coupon and total return
are reported for all sectors on a month-end basis. All returns are market value
weighted inclusive of accrued interest.
STRATEGY. The Portfolio intends to invest its assets primarily in up to
300 of the debt obligations included in the Lehman Index so long as the net
assets of the Portfolio are less than $100 million. The Portfolio will be
invested in 100 to 500 of such obligations at net asset levels of $100 million
or more. The Portfolio will be managed in a manner designed to reflect generally
the current performance of the Lehman Index. Obligations included in the Lehman
Index have been categorized into sectors which have been organized on the basis
of type of issuer and then further classified by quality and remaining
maturities.
The percentage of the Portfolio's assets to be invested in the aggregate
obligations included in a particular sector of the Lehman Index will
approximate, to the maximum extent feasible, the percentage such sector
represents in that Lehman Index. The ability of the Portfolio to duplicate the
Lehman Index's performance can be influenced by the Portfolio's asset size. To
the extent that the size of Portfolio assets limits the number of issues that
the Portfolio can purchase, there is more potential for deviation from the
Lehman Index's performance than at larger asset levels. Under these
circumstances, the Portfolio will implement strategies designed to minimize this
potential for greater deviation.
ANALYSIS. The investment-grade fixed income market posted strong gains for
the fiscal year ended March 31, 1996, as bonds rallied due to expectations of
slow economic growth and mild inflation. Employment, retail sales, and
manufacturing activity were sluggish in 1995. In response to the weakness, the
Federal Reserve lowered the Federal Funds rate three times during the fiscal
year from 6.00% to 5.25%. The first interest rate cut in July 1995 marked a
reversal of Fed policy, as it was the first reduction after seven consecutive
increases. The market also shrugged off the stalemates in the federal budget
negotiations and instead reacted favorably to the prospect of a balanced budget.
A smaller budget deficit would lower the supply of available Treasury securities
and remove some government spending stimulus from the economy, thus reducing the
risk of accelerating inflation. The front-end of the yield curve inverted as the
2-year note hit a low of 4.72% in early February 1996, more than 50 basis points
below the overnight lending rate. The 2- to 30-year Treasury spread widened 55
basis points from the beginning of the fiscal year to early February 1996 as
market participants drove short-term bond prices up in anticipation of further
interest rate cuts.
The positive tone of the market changed dramatically in mid-February as
heavy Treasury refunding supply, political uncertainties related to the
Republican primaries, and rising gold prices caused the market to sell off.
Bonds extended their losses and suffered their largest one-day decline in 6
years due to a much stronger than anticipated February
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
BOND INDEX (CONTINUED)
employment report. The 2- to 30-year spread narrowed 30 basis points from early
February to fiscal year end as market participants believed further interest
rate cuts were unlikely near-term.
Corporates were the best performing sector returning 12.43% for the fiscal
year. Rising profits, strong investor demand, and limited growth in new supply
lent strength to the sector. Mortgage securities paced governments for the
fiscal year, returning 10.49% and 10.47%, respectively. Fears of accelerated
prepayments and lack of investor demand dampened mortgage performance through
1995. Higher interest rates for the first quarter of 1996 eased prepayment fears
and boosted performance of mortgages for that period.
Over the entire fiscal year, the fixed income market as measured by the
Lehman Aggregate returned 10.78%, while the SEI Bond Index Portfolio returned
10.31%. The return differential was mostly attributable to Fund expenses and the
transaction costs associated with keeping the Portfolio aligned with the Index.
In October 1995, Mellon Bond Associates replaced World Asset Management as
adviser to the fund. The departures of key bond indexation personnel prompted
the replacement.
4
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
===============================================================================
To the Shareholders and Trustees of
SEI Index Funds:
We have audited the accompanying statements of net assets of the S&P 500 Index
and Bond Index Portfolios of SEI Index Funds as of March 31, 1996, and the
related statements of operations, statements of changes in net assets and
financial highlights for the years presented. These financial statements and
financial highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of March
31, 1996, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
S&P 500 Index and Bond Index Portfolios of SEI Index Funds as of March 31, 1996,
the results of their operations, changes in their net assets and financial
highlights for the years presented, in conformity with generally accepted
accounting principles.
Arthur Andersen LLP
Philadelphia, PA
May 10, 1996
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 94.4%
AGRICULTURE -- 0.1%
Pioneer Hi Bred International 10,500 $ 553
------
AIR TRANSPORTATION -- 0.4%
AMR* 9,385 840
Delta Air Lines 6,485 499
Federal Express* 6,835 478
Southwest Airlines 17,700 524
US Air Group* 7,765 142
------
2,483
------
AIRCRAFT -- 2.0%
Allied Signal 34,770 2,056
Boeing 42,203 3,656
General Dynamics 7,730 452
Lockheed Martin 24,716 1,875
McDonnell Douglas 13,795 1,264
Northrop 6,065 386
Teledyne 6,850 192
Textron 10,455 836
United Technologies 14,965 1,680
------
12,397
------
APPAREL/TEXTILES -- 0.2%
Fruit of the Loom*, Cl A 9,400 243
Liz Claiborne 9,050 310
Russell 4,865 130
Springs Industries, Cl A 2,470 114
VF 7,930 438
------
1,235
------
AUTOMOTIVE -- 2.7%
Chrysler 47,042 2,928
Cooper Tire & Rubber 10,300 265
Dana 12,630 422
Eaton 9,630 580
Echlin 7,335 266
Fleetwood Enterprises 5,690 141
Ford Motor 132,140 4,542
General Motors 91,930 4,895
Genuine Parts 15,095 679
Goodyear Tire & Rubber 18,770 957
ITT Industries 14,365 366
Navistar International* 9,026 94
Paccar 4,854 237
TRW 7,960 709
------
17,081
------
BANKS -- 6.8%
H.F. Ahmanson 14,700 356
Banc One 55,186 1,966
Bank of Boston 14,056 698
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Bank of New York 24,600 $ 1,267
BankAmerica 45,488 3,525
Bankers Trust, New York 9,913 703
Barnett Banks 11,635 724
Boatmen's Bancshares 19,000 746
Chase Manhattan 21,980 1,616
Chemical Banking 30,934 2,181
Citicorp 59,645 4,772
Comerica 14,700 614
CoreStates Financial 17,200 729
Fifth Third Bancorp 13,300 771
First Chicago, NBD 39,502 1,639
First Interstate Bancorp 9,440 1,638
First Union 34,662 2,097
Fleet Financial Group 32,289 1,308
Golden West Financial 7,405 397
Great Western Financial 16,870 407
KeyCorp 29,171 1,127
Mellon Bank 16,405 904
J.P. Morgan 23,130 1,920
National City 18,100 636
NationsBank 36,361 2,913
Norwest 43,486 1,598
PNC Bank 42,060 1,293
Republic New York 7,100 422
SunTrust Banks 14,065 985
U.S. Bancorp, Oregon 18,600 632
Wachovia 21,000 940
Wells Fargo 5,935 1,549
------
43,073
------
CHEMICALS -- 3.5%
Air Products & Chemicals 13,770 752
Dow Chemical 32,250 2,802
E.I. du Pont de Nemours 68,295 5,668
Eastman Chemical 9,891 684
FMC* 4,465 335
B.F. Goodrich 3,295 262
W.R. Grace 11,905 932
Great Lakes Chemical 8,100 546
Hercules 13,795 855
Eli Lilly 67,810 4,408
Monsanto 14,310 2,197
Morton International 18,295 702
Nalco Chemical 8,400 258
Praxair 17,265 688
Rohm & Haas 8,235 548
Union Carbide 16,965 842
------
22,479
------
6
<PAGE>
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMUNICATIONS -- 9.5%
Airtouch Communications* 60,890 $ 1,895
ALLTEL 23,200 719
Ameritech 68,110 3,712
AT&T 195,799 11,993
Avon Products 8,435 723
Baker Hughes 17,415 509
Bell Atlantic 53,800 3,322
BellSouth 123,234 4,560
Comcast, Special Cl A 29,527 522
DSC Communications* 14,430 390
GTE 119,180 5,229
Harris 4,665 289
Interpublic Group 9,800 463
MCI Communications 83,430 2,524
Motorola 72,560 3,846
Northern Telecom Ltd. 31,165 1,488
NYNEX 52,500 2,618
Pacific Telesis Group 52,690 1,456
SBC Communications 74,890 3,941
Scientific-Atlanta 9,684 172
Sprint 42,900 1,630
Tele-Communications, Cl A* 80,335 1,491
Tellabs* 11,100 537
US West 57,960 1,876
US West Media Group* 58,060 1,197
Viacom, Cl B* 44,400 1,870
Worldcom* 22,000 1,012
------
59,984
------
COMPUTERS & SERVICES -- 6.7%
Amdahl* 14,900 127
Apple Computer* 15,320 376
Autodesk 5,700 215
Automatic Data Processing 35,720 1,406
Bay Networks* 22,400 689
CUC International* 22,000 644
Cabletron Systems* 9,000 596
Ceridian* 8,265 355
Cisco Systems* 67,400 3,126
Compaq Computer* 32,690 1,263
Computer Associates International 29,757 2,131
Computer Sciences* 6,760 476
Data General* 4,670 68
Digital Equipment* 18,515 1,021
First Data 27,352 1,928
EMC/Mass* 25,000 547
Hewlett Packard 62,930 5,915
Intergraph* 5,835 93
International Business Machines 69,980 7,777
Microsoft* 72,900 7,518
Novell* 45,600 610
Oracle Systems* 53,375 2,515
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Pitney Bowes 18,660 $ 914
Safety-Kleen 7,110 102
Shared Medical Systems 2,895 174
Silicon Graphics* 19,800 495
Sun Microsystems* 22,700 993
Tandem Computers* 14,350 127
Tandy 7,797 361
Unisys* 21,085 127
------
42,689
------
CONSTRUCTION -- 0.4%
Armstrong World Industries 4,465 277
Centex 3,440 107
Fluor 10,430 712
Foster Wheeler 4,965 220
Halliburton 14,070 800
McDermott International 6,665 128
Owens-Corning Fiberglass* 6,265 251
------
2,495
------
CONTAINERS & PACKAGING -- 0.1%
Ball 3,695 115
Crown Cork & Seal * 15,485 755
------
870
------
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT -- 2.5%
3Com* 20,200 805
Advanced Micro Devices* 15,830 273
AMP 26,778 1,108
Honeywell 15,560 860
Intel 101,320 5,763
Johnson Controls 5,065 378
LSI Logic* 15,700 420
Loral 21,180 1,038
Micron Technology 25,400 797
Millipore 5,490 210
National Semiconductor* 16,325 227
Perkin Elmer 5,265 285
Raytheon 29,840 1,529
Rockwell International 26,730 1,574
Tektronix 4,070 132
Thomas & Betts 2,470 185
------
15,584
------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 26,135 823
Laidlaw, Cl B 36,200 385
WMX Technologies 59,680 1,895
------
3,103
------
7
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 3.5%
Allstate 55,152 $ 2,323
American Express 59,547 2,940
Beneficial 6,490 374
Dean Witter Discover 20,808 1,191
Federal Home Loan Mortgage
Corporation 22,200 1,893
Federal National Mortgage
Association 134,060 4,273
First Bank System 17,000 1,014
Green Tree Financial 16,500 567
Household International 12,230 822
MBNA 27,400 812
Merrill Lynch 21,600 1,312
Morgan Stanley Group 19,500 1,009
Salomon 13,365 501
Transamerica 8,530 639
Travelers Group 39,272 2,592
------
22,262
------
FOOD, BEVERAGE & TOBACCO -- 8.3%
American Brands 22,340 947
Anheuser Busch 31,200 2,102
Archer Daniels Midland 65,194 1,198
Brown-Forman, Cl B 8,460 339
CPC International 17,960 1,246
Campbell Soup 30,630 1,865
Coca-Cola 154,380 12,756
ConAgra 30,342 1,233
Adolph Coors, Cl B 4,665 83
Fleming Companies 4,670 67
General Mills 19,460 1,136
H.J. Heinz 45,420 1,505
Hershey Foods 9,600 715
Kellogg 26,740 2,026
PepsiCo 96,890 6,128
Philip Morris 103,310 9,065
Quaker Oats 16,460 549
Ralston-Ralston Purina Group 13,260 887
Sara Lee 59,580 1,944
Seagram 45,900 1,486
Supervalu 8,430 260
Sysco 22,410 737
UST 23,740 757
Unilever NV, ADR 19,635 2,665
Whitman 12,995 315
William Wrigley, Jr. 14,305 839
------
52,850
------
FOOTWEAR -- 0.3%
Brown Group 2,270 31
Nike, Cl B 17,660 1,435
Premark International 7,450 400
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Reebok International 9,320 $ 257
Stride Rite 6,200 57
-----
2,180
-----
GLASS PRODUCTS -- 0.4%
Corning 28,260 989
Newell 19,500 522
PPG Industries 24,090 1,177
-----
2,688
-----
HOUSEHOLD PRODUCTS -- 3.6%
Alberto-Culver, Cl B 3,390 131
Atlantic Richfield 19,780 2,354
Clorox 6,335 546
Colgate Palmolive 17,894 1,393
Dial 11,800 330
Ecolab 7,950 239
Gillette 54,588 2,825
International Flavors & Fragrances 13,695 656
Jostens 4,750 106
Masco 19,740 572
Maytag 13,230 268
Minnesota Mining &
Manufacturing 51,630 3,349
National Service Industries 6,085 221
Procter & Gamble 84,454 7,157
Raychem 5,365 346
Rubbermaid 19,360 549
Sherwin Williams 10,680 474
Snap-On Tools 4,965 232
Stanley Works 5,515 303
Whirlpool 9,005 498
------
22,549
------
INSURANCE -- 3.1%
Aetna Life & Casualty 14,295 1,079
Alexander & Alexander Services 5,365 101
American General 25,180 869
American International Group 58,326 5,461
Chubb 10,730 1,007
Cigna 9,530 1,089
General Re 10,300 1,501
ITT Hartford Group 14,365 704
Jefferson-Pilot 8,670 467
Lincoln National 12,930 656
Loews 14,600 1,104
Marsh & McLennan 9,005 836
Providian 11,730 523
SAFECO 15,720 527
St. Paul 10,380 576
Torchmark 8,687 391
UNUM 8,900 530
USF&G 13,830 214
8
<PAGE>
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
United Healthcare 21,500 $ 1,322
U.S. Healthcare 18,900 867
USLIFE 4,345 128
------
19,952
------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia-Pacific 11,500 798
Louisiana-Pacific 13,312 324
-----
1,122
-----
MACHINERY -- 5.3%
Applied Materials* 21,900 764
Black & Decker 10,735 407
Briggs & Stratton 3,640 157
Brunswick 12,030 277
Case Equipment 8,700 443
Caterpillar 24,350 1,656
Cincinnati Milacron 4,195 110
Cooper Industries 13,295 519
Crane 3,742 151
Cummins Engine 5,040 203
Deere 32,290 1,348
Dover 14,120 646
Dresser Industries 22,470 685
Emerson Electric 27,565 2,226
General Electric 205,580 16,010
General Instrument* 14,000 383
General Signal 5,994 217
Giddings & Lewis 4,200 80
Harnischfeger Industries 5,805 225
Illinois Tool Works 14,470 935
Ingersoll Rand 13,670 557
Kaufman & Broad Home 3,937 63
NACCO Industries, Cl A 1,125 64
Outboard Marine 2,470 47
Pall 14,293 366
Parker-Hannifin 9,252 347
PULTE 3,295 89
Tenneco 21,912 1,224
Texas Instruments 23,160 1,178
Timken 3,870 179
Trinova 3,515 112
Tyco International 18,800 672
Varity* 4,870 211
Westinghouse Electric 50,580 974
------
33,525
------
MEDICAL PRODUCTS & SERVICES -- 8.9%
Abbott Laboratories 97,160 3,959
Allergan 8,100 299
ALZA* 10,100 311
American Home Products 38,470 4,169
Amgen* 32,700 1,901
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Asarco 5,165 $ 181
Bausch & Lomb 7,080 262
Baxter International 33,973 1,537
Becton Dickinson 7,830 641
Beverly Enterprises* 11,985 132
Biomet* 14,200 199
Boston Scientific* 21,000 966
Bristol-Myers Squibb 62,420 5,345
Columbia HCA Healthcare 54,773 3,163
Community Psychiatric Centers* 5,265 44
C.R. Bard 7,135 254
Humana* 19,900 500
Johnson & Johnson 81,720 7,539
Mallinckrodt Group 9,085 342
Manor Care 7,647 300
Medtronic 28,520 1,700
Merck 152,025 9,464
Pfizer 78,020 5,227
Pharmacia & Upjohn 62,042 2,474
Schering Plough 45,180 2,626
St. Jude Medical 8,750 326
Tenet Healthcare* 25,760 541
United States Surgical 7,000 229
Warner Lambert 16,610 1,715
------
56,346
------
METAL & METAL INDUSTRIES -- 1.7%
Alcan Aluminum 27,752 895
Aluminum Company of America 21,800 1,365
Armco* 13,100 70
Barrick Gold 43,500 1,321
Bethlehem Steel* 14,130 185
Cyprus AMAX Minerals 11,602 328
Echo Bay Mines 15,500 209
Engelhard 17,717 414
Freeport-McMoran Copper &
Gold, Cl B 24,900 787
Homestake Mining 17,000 329
Inco 14,600 462
Inland Steel Industries 5,965 148
Newmont Mining 11,801 668
Nucor 10,980 649
Phelps Dodge 8,630 592
Placer Dome Group 29,429 850
Reynolds Metals 7,935 469
Santa Fe Pacific Gold* 16,112 258
USX-U.S. Steel Group 10,367 359
Worthington Industries 11,122 221
------
10,579
------
OIL & GAS -- 7.7%
Amerada Hess 11,430 629
Amoco 61,195 4,421
9
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Ashland 7,925 $ 304
Burlington Resources 15,800 587
Chevron 80,220 4,502
Exxon 152,695 12,464
Helmerich & Payne 2,995 101
Kerr McGee 6,335 402
Louisiana Land & Exploration 4,140 193
Mobil 48,645 5,637
Occidental Petroleum 39,230 1,049
Oryx Energy* 12,770 177
Pennzoil 5,665 225
Phillips Petroleum 32,235 1,273
Rowan* 10,405 133
Royal Dutch Petroleum 65,935 9,313
Santa Fe Energy Resources* 11,081 116
Schlumberger 29,765 2,355
Sun 9,270 268
Texaco 32,510 2,796
Unocal 30,390 1,014
USX-Marathon Group 35,435 682
Western Atlas* 6,490 389
------
49,030
------
PAPER & PAPER PRODUCTS -- 1.6%
Alco Standard 14,830 773
Avery Dennison 6,665 360
Bemis 6,690 210
Boise Cascade 5,831 245
Champion International 12,100 548
Earthgrains 1,248 37
International Paper 37,279 1,468
James River 10,502 270
Kimberly-Clark 34,207 2,548
Mead 6,660 360
Potlatch 3,570 153
Stone Container 12,116 170
Temple-Inland 6,890 323
Union Camp 8,555 425
Westvaco 12,690 373
Weyerhaeuser 25,270 1,166
Willamette Industries 6,900 416
-----
9,845
-----
PHOTOGRAPHIC EQUIPMENT &
SUPPLIES -- 0.8%
Eastman Kodak 42,065 2,987
Polaroid 5,758 259
Xerox 13,525 1,697
-----
4,943
-----
PRINTING & PUBLISHING -- 1.2%
American Greetings, Cl A 9,100 251
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
Deluxe 10,155 $ 319
R.R. Donnelley & Sons 18,860 651
Dow Jones 12,000 462
Gannett 17,235 1,159
John H. Harland 3,750 83
Knight-Ridder 6,035 411
McGraw-Hill 6,135 532
Meredith 3,340 138
Moore 12,200 238
New York Times, Cl A 11,830 343
Time Warner 47,564 1,944
Times Mirror, Cl A 13,365 526
Tribune 7,830 516
-----
7,573
-----
PROFESSIONAL SERVICES -- 0.4%
H&R Block 12,770 461
Dun & Bradstreet 20,832 1,263
EG & G 5,940 133
Ogden 6,065 118
Service International 14,422 703
-----
2,678
-----
RECREATIONAL PRODUCTS &
SERVICES -- 1.4%
Andrew* 9,310 356
Bally Entertainment* 5,845 101
Walt Disney 84,167 5,376
Harrah's Entertainment* 12,785 376
Hasbro 10,752 398
Hilton Hotels 5,940 558
ITT* 14,365 862
King World Productions* 4,562 189
Mattel 33,977 922
-----
9,138
-----
RETAIL -- 5.4%
Albertson's 31,040 1,152
American Stores 18,160 599
Charming Shoppes* 12,570 65
Circuit City Stores 11,900 356
Darden Restaurants* 19,460 263
Dayton-Hudson 8,730 741
Dillard Department Stores, Cl A 13,920 482
Federated Department Stores* 24,900 803
The Gap 17,760 983
Giant Food, Cl A 7,460 246
Great Atlantic & Pacific Tea 4,765 148
Harcourt General 8,966 407
Home Depot 58,674 2,809
Kmart* 56,480 530
Kroger* 15,180 615
10
<PAGE>
- -------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- -------------------------------------------------------------------------------
The Limited 33,612 $ 639
Longs Drug Stores 2,495 118
Lowe's 19,760 706
Luby's Cafeterias 2,855 66
Marriott International 15,370 730
May Department Stores 30,662 1,479
McDonald's 85,400 4,099
Melville 12,970 465
Mercantile Stores 4,615 283
Nordstrom 10,130 491
J.C. Penney 27,730 1,380
Pep Boys - Manny Moe & Jack 7,550 253
Price/Costco* 23,958 449
Rite Aid 10,330 319
Ryan's Family Steak Houses* 6,725 61
Sears Roebuck 47,925 2,336
Shoney's* 5,115 46
TJX 9,010 226
Toys "R" Us* 33,565 906
Wal-Mart Stores 282,420 6,531
Walgreen 30,240 987
Wendy's International 14,375 261
Winn Dixie Stores 18,560 624
F.W. Woolworth* 16,320 255
------
33,909
------
TRANSPORTATION SERVICES -- 1.1%
Burlington Northern-Santa Fe 17,500 1,437
CSX 25,918 1,183
Caliber System 4,865 209
Conrail 9,710 695
Consolidated Freightways 5,215 134
Norfolk Southern 15,900 1,351
Ryder System 9,730 265
Union Pacific 25,340 1,739
Yellow* 3,420 43
-----
7,056
-----
UTILITIES, ELECTRIC & GAS -- 4.0%
American Electric Power 22,925 957
Baltimore Gas & Electric 18,195 503
Carolina Power & Light 18,900 704
Central & South West 25,400 724
Cinergy 19,292 579
Coastal 13,102 518
Columbia Gas System 6,215 285
Consolidated Edison of New York 28,890 921
Consolidated Natural Gas 11,430 497
Dominion Resources 21,375 847
DTE Energy 17,835 600
Duke Power 25,250 1,275
Eastern Enterprises 2,491 88
Edison International 54,740 937
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Enron 30,960 $ 1,142
Enserch 8,535 139
Entergy 28,020 785
FPL Group 22,928 1,037
General Public Utilities 14,600 482
Houston Industries 32,340 699
Niagara Mohawk Power* 17,765 118
Nicor 6,200 166
Noram Energy 15,325 142
Northern States Power 8,460 412
Ohio Edison 18,735 424
Oneok 3,300 79
PECO Energy 27,275 726
PP&L Resources 19,500 475
Pacific Enterprises 10,642 275
Pacific Gas & Electric 52,145 1,180
Pacificorp 36,000 752
Panhandle Eastern 18,664 581
Peoples Energy 4,240 137
Public Service Enterprise Group 30,083 827
Sonat 10,730 386
Southern 81,926 1,956
Texas Utilities 27,805 1,150
UNICOM 26,395 713
Union Electric 12,500 512
Williams 12,430 626
------
25,356
------
WHOLESALE -- 0.1%
Sigma Aldrich 6,100 349
W.W. Grainger 6,290 422
------
771
------
Total Common Stocks
(Cost $417,787,000) 598,378
-------
PREFERRED STOCKS -- 0.0%
Teledyne, Series E 327 5
-------
Total Preferred Stocks
(Cost $2,000) 5
-------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
5.240%, 04/04/96 (A) $1,500 1,499
5.060%, 12/12/96 (A) 500 482
------
Total U.S. Treasury Obligations
(Cost $1,981,000) 1,981
------
11
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 6.4%
J.P. Morgan
5.35%, dated 03/29/96, matures
04/01/96, repurchase price
$40,284,641 (collateralized by
FHLMC obligation, par value
$5,032,747, 7.000%, matures
11/01/10; various FNMA obliga-
tions ranging in par value
$288,886-$6,271,335, 6.500%,
01/01/26-03/01/26: total
market value $41,072,023) $40,267 $ 40,267
--------
Total Repurchase Agreement
(Cost $40,267,000) 40,267
--------
Total Investments -- 101.1%
(Cost $460,037,000) 640,631
--------
OTHER ASSETS AND LIABILITIES -- (1.1%)
Other Assets and Liabilities, Net (7,058)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 30,195,096 outstanding shares of
beneficial interest 440,029
Portfolio shares of Class E (unlimited
authorization -- no par value) based
on 144,096 outstanding shares of
beneficial interest 3,024
Accumulated net realized gain
on investments 6,547
Net unrealized appreciation
on investments 180,594
Net unrealized appreciation
on futures contracts 118
Undistributed net investment income 3,261
--------
Total Net Assets:-- 100.0% $633,573
========
Net Asset Value, Offering Price and
Redemption Price Per Share --
Class A $ 20.88
========
Net Asset Value, Offering Price and
Redemption Price Per Share --
Class E $ 20.87
========
(A)SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
*NON-INCOME PRODUCING SECURITY.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND INDEX PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 45.5%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 525 $ 685
10.750%, 05/15/03 2,300 2,875
12.375%, 05/15/04 50 69
12.000%, 05/15/05 300 414
10.750%, 08/15/05 350 454
7.625%, 02/15/07 350 371
10.375%, 11/15/12 300 389
9.250%, 02/15/16 1,600 2,016
8.875%, 02/15/19 340 418
8.125%, 08/15/19 180 206
8.500%, 02/15/20 200 237
7.875%, 02/15/21 680 759
8.000%, 11/15/21 1,315 1,490
U.S. Treasury Notes
8.500%, 04/15/97 60 62
8.500%, 05/15/97 1,663 1,715
8.500%, 07/15/97 900 932
7.875%, 04/15/98 1,400 1,455
5.125%, 06/30/98 500 493
5.875%, 08/15/98 350 350
8.875%, 11/15/98 1,720 1,842
9.125%, 05/15/99 2,015 2,192
6.875%, 07/31/99 300 308
6.375%, 01/15/00 1,700 1,718
6.375%, 08/15/02 1,350 1,358
5.875%, 11/15/05 500 482
------
Total U.S. Treasury Obligations
(Cost $23,247,000) 23,290
------
U.S. GOVERNMENT AGENCY POOLED
MORTGAGES -- 29.0%
FHLMC
6.000%, 04/01/98 246 244
8.500%, 10/01/01 22 22
9.000%, 11/01/04 46 49
7.500%, 05/01/07 164 167
8.500%, 08/01/07 127 132
7.000%, 11/01/07 132 132
7.000%, 03/01/08 356 356
6.500%, 07/01/08 209 205
6.000%, 01/01/09 150 144
9.000%, 07/01/09 25 26
8.500%, 01/01/10 109 113
9.500%, 08/01/17 74 79
10.500%, 12/01/17 39 43
9.500%, 01/01/19 43 46
10.500%, 06/01/19 19 21
9.500%, 10/01/20 46 49
9.500%, 02/01/21 17 18
8.000%, 01/01/22 26 26
12
<PAGE>
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
7.500%, 01/01/23 $ 171 $ 171
8.500%, 01/01/23 74 76
7.500%, 05/01/23 222 221
7.000%, 08/01/23 688 672
7.000%, 05/01/24 235 230
8.000%, 01/01/25 200 204
6.500%, 10/01/25 1,008 959
FNMA
6.500%, 02/01/03 244 242
8.250%, 10/12/04 500 529
9.000%, 10/01/06 40 42
8.500%, 05/01/07 46 48
7.500%, 06/01/07 138 140
8.000%, 08/01/07 117 120
7.500%, 01/01/08 156 158
7.000%, 02/01/08 230 230
7.000%, 04/01/08 71 71
8.000%, 12/01/08 91 93
6.000%, 12/25/08 390 374
6.500%, 03/01/11 149 146
6.500%, 04/01/11 200 196
10.500%, 03/01/14 39 43
10.500%, 06/01/18 107 119
8.000%, 02/01/19 110 112
9.500%, 07/01/20 23 24
9.500%, 02/01/21 15 16
8.500%, 03/01/22 146 151
8.000%, 06/01/22 314 319
8.500%, 10/01/22 95 98
7.500%, 01/01/23 328 327
8.000%, 05/01/23 211 215
7.000%, 06/01/23 404 394
6.000%, 12/25/23 177 163
6.000%, 01/01/24 513 474
8.000%, 01/01/24 55 56
7.500%, 01/01/26 485 484
6.500%, 02/01/26 299 284
7.000%, 03/01/26 612 597
GNMA
8.000%, 10/15/07 51 52
9.500%, 09/15/09 42 46
6.500%, 03/15/11 150 148
11.500%, 04/15/15 40 45
8.500%, 02/15/17 75 79
9.000%, 04/15/17 333 351
8.500%, 05/15/17 146 152
9.500%, 07/15/17 51 55
9.750%, 10/15/17 58 63
10.000%, 09/15/18 43 47
11.000%, 10/15/19 8 9
9.000%, 11/15/19 323 341
10.000%, 02/20/21 31 34
9.000%, 08/15/21 31 33
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
8.500%, 11/15/21 $ 104 $ 109
8.500%, 08/15/22 277 288
8.500%, 11/15/22 47 49
7.500%, 01/15/23 210 210
7.000%, 05/15/23 374 364
8.000%, 09/15/23 325 332
7.000%, 11/15/23 359 350
6.500%, 02/15/24 332 314
7.500%, 02/15/26 245 245
7.500%, 03/15/26 459 459
------
Total U.S. Government Agency
Pooled Mortgages
(Cost $15,061,000) 14,845
------
CORPORATE BONDS -- 14.9%
BP America
8.875%, 12/01/97 200 209
Baltimore Gas & Electric
7.250%, 07/01/02 200 204
Banc One
7.250%, 08/01/02 200 205
BankAmerica
6.000%, 07/15/97 500 500
Cabot
8.340%, 08/05/22 500 530
Campbell Soup
8.875%, 05/01/21 300 355
Chemical Bank
8.625%, 05/01/02 150 164
Commonwealth Edison
6.500%, 04/15/00 250 247
ConAgra
7.400%, 09/15/04 260 266
R.R. Donnelley & Sons
9.125%, 12/01/00 239 266
First Union
7.050%, 08/01/05 500 501
Integra Financial
8.500%, 05/15/02 250 266
Landeskredit Bank
7.875%, 04/15/04 250 268
Manufacturers Hanover
8.500%, 02/15/99 200 211
Masco
9.000%, 04/15/96 100 100
J.P. Morgan
5.750%, 10/15/08 200 178
New York Telephone
8.625%, 11/15/10 200 228
Rockwell International
6.750%, 09/15/02 150 153
13
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
BOND INDEX PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Southern California Edison
6.375%, 01/15/06 $ 200 $ 189
Sprint
9.250%, 04/15/22 300 359
Tenneco
9.875%, 02/01/01 250 282
Texaco Capital
9.000%, 12/15/99 200 218
Texas Utilities
6.750%, 03/01/03 300 297
Tokyo Metropolis
8.700%, 10/05/99 125 134
Union Electric
5.500%, 03/01/97 345 343
Union Oil California
9.150%, 02/15/06 350 403
Virginia Electric & Power
7.250%, 03/01/97 165 167
Whirlpool
9.100%, 02/01/08 250 291
Xerox
9.200%, 07/15/99 100 101
-----
Total Corporate Bonds
(Cost $7,444,000) 7,635
-----
YANKEE BONDS -- 2.6%
International Bank
8.250%, 09/01/16 200 224
New Zealand Government
8.250%, 09/25/96 180 182
9.125%, 09/25/16 102 123
Quebec Province
8.625%, 01/19/05 500 549
Republic of Ireland
7.875%, 12/01/01 200 212
-----
Total Yankee Bonds
(Cost $1,288,000) 1,290
-----
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.9%
FHLB
8.250%, 09/25/96 255 258
8.220%, 05/29/98 125 131
5.440%, 10/15/03 150 140
FHLMC
7.900%, 09/19/01 250 269
FNMA
6.750%, 04/22/97 100 101
8.200%, 03/10/98 225 234
8.450%, 07/12/99 200 214
9.050%, 04/10/00 200 220
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
8.250%, 12/18/00 $ 50 $ 54
7.500%, 02/11/02 100 105
0.000%, 07/05/14 415 113
10.350%, 12/10/15 290 391
Resolution Funding Corporation
8.875%, 04/15/30 230 289
-----
Total U.S. Government Agency
Obligations
(Cost $2,423,000) 2,519
-----
REPURCHASE AGREEMENT -- 2.7%
Lehman Brothers
5.09%, dated 03/29/96, matures
04/01/96, repurchase price
$1,386,762 (collateralized by
U.S. Treasury Note, par value
$1,367,053, 7.000%, matures
09/30/96: total market
value $1,425,957) 1,386 1,386
-----
Total Repurchase Agreement
(Cost $1,386,000) 1,386
-----
Total Investments -- 99.6%
(Cost $50,849,000) 50,965
------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net 220
------
NET ASSETS:
Portfolio shares (unlimited
authorization -- no par value)
based on 4,987,277 outstanding
shares of beneficial interest 51,535
Accumulated net realized loss
on investments (704)
Net unrealized appreciation
on investments 116
Undistributed net investment
income 238
-------
Total Net Assets:-- 100.0% $51,185
=======
Net Asset Value, Offering Price and
Redemption Price Per Share $ 10.26
=======
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
STATEMENT OF OPERATIONS (000)
===============================================================================
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
---------- ----------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
---------- ----------
INVESTMENT INCOME:
<S> <C> <C>
Dividends $ 12,462 --
Interest 1,258 $ 2,922
-------- ---------
Total Investment Income 13,720 2,922
-------- ---------
EXPENSES:
Management Fees 1,182 156
Waiver of Management Fees (524) (45)
Investment Advisory Fees 161 19
Custodian/Wire Agent Fees 85 7
Trustee Fees 19 2
Pricing Fees 14 1
Professional Fees 76 6
Registration Fees 35 4
Distribution Fees 184 11
Distribution Fees--Class E(1) -- --
Printing Expense 64 7
Other Expenses 47 1
----- ------
Total Expenses 1,343 169
------ ------
NET INVESTMENT INCOME 12,377 2,753
------ ------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain from Securities Sold 5,923 342
Net Realized Gain from Futures Contracts 4,511 --
------- -------
Net Realized Gain from Security Transactions 10,434 342
------- -------
Change in Unrealized Appreciation on Investment Securities 122,482 1,178
Change in Unrealized Depreciation on Futures Contracts (404) --
------- -------
Net Change in Unrealized Appreciation on Investments 122,078 1,178
------- -------
Net Realized and Unrealized Gain on Investments 132,512 1,520
------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $144,889 $ 4,273
======== =======
<FN>
(1) FEES ARE INCURRED AT THE CLASS E LEVEL ONLY.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI INDEX FUNDS -- FOR THE YEARS ENDED MARCH 31
<TABLE>
<CAPTION>
------------------- -------------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
------------------- -------------------
4/1/95- 4/1/94- 4/1/95- 4/1/94-
3/31/96 3/31/95 3/31/96 3/31/95
------- ------- ------- --------
OPERATIONS:
<S> <C> <C> <C> <C>
Net Investment Income $ 12,377 $ 11,398 $ 2,753 $ 3,153
Net Realized Gain (Loss) from Security Transactions 10,434 11,239 342 (990)
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities 122,078 37,932 1,178 (261)
-------- -------- -------- --------
Net Increase in Net Assets Resulting from Operations 144,889 60,569 4,273 1,902
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (10,329) (11,407) (2,767) (3,169)
Net Realized Gain (8,827) (12,233) -- --
-------- -------- -------- --------
Total Distributions (19,156) (23,640) (2,767) (3,169)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:*
CLASS A:
Shares Issued 324,157 244,921 24,406 21,194
Shares Issued in Lieu of Cash Distributions 10,239 12,249 561 333
Shares Redeemed (287,592) (260,734) (20,931) (30,778)
-------- -------- ------- -------
Net Increase (Decrease) from Class A Transactions 46,804 (3,564) 4,036 (9,251)
-------- -------- ------- -------
CLASS E:
Shares Issued 3,243 -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed (219) -- -- --
-------- -------- ------- -------
Net Increase from Class E Transactions 3,024 -- -- --
-------- -------- ------- -------
Net Increase (Decrease) from Capital Share Transactions 49,828 (3,564) 4,036 (9,251)
-------- -------- ------- -------
Net Increase (Decrease) in Net Assets 175,561 33,365 5,542 (10,518)
-------- -------- ------- -------
NET ASSETS:
Beginning of Year 458,012 424,647 45,643 56,161
-------- ------- ------- -------
End of Year (including undistributed net investment
income of $3,261; $1,213; $238 and $252) $633,573 $458,012 $ 51,185 $ 45,643
======== ======== ========= ========
*SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 16,895 15,806 2,354 2,169
Shares Issued in Lieu of Cash Distributions 532 810 54 34
Shares Redeemed (15,159) (16,871) (2,033) (3,155)
------- ------- ------ ------
Total Class A Transactions 2,268 (255) 375 (952)
------- ------- ------ ------
CLASS E:
Shares Issued 155 -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed (11) -- -- --
------- ------- ------- ------
Total Class E Transactions 144 -- -- --
------- ------- ------- ------
Increase (Decrease) in Capital Shares 2,412 (255) 375 (952)
======= ======= ======= ======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
FINANCIAL HIGHLIGHTS
===============================================================================
SEI INDEX FUNDS -- FOR THE PERIODS ENDED MARCH 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DIVIDENDS DISTRIBUTIONS RATIO OF
VALUE, NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS OR(LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD INCOME(1) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD(000) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
- ------------------------
S&P 500 INDEX PORTFOLIO
- ------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1996 $16.40 $0.44 $ 4.72 $(0.37) $(0.31) $20.88 31.88% $630,566 0.25%
1995 15.07 0.42 1.79 (0.42) (0.46) 16.40 15.26% 458,012 0.25%
1994 15.80 0.43 (0.22) (0.42) (0.52) 15.07 1.19% 424,647 0.25%
1993 14.17 0.40 1.69 (0.40) (0.06) 15.80 14.97% 675,484 0.25%
1992 13.43 0.40 1.01 (0.41) (0.26) 14.17 10.71% 470,847 0.25%
CLASS E
1996(2) $20.82 $ -- $ 0.05 $ -- $ -- $20.87 0.24%* $ 3,007 0.46%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1996(3) $ 9.90 $0.64 $ 0.36 $(0.64) $ -- $10.26 10.31% $ 51,185 0.38%
1995 10.09 0.63 (0.20) (0.62) -- 9.90 4.54% 45,643 0.38%
1994 10.43 0.56 (0.33) (0.57) -- 10.09 2.10% 56,161 0.38%
1993 9.87 0.66 0.56 (0.66) -- 10.43 12.73% 56,032 0.38%
1992 9.73 0.73 0.15 (0.74) -- 9.87 9.48% 38,449 0.38%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME
NET INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
<S> <C> <C> <C> <C>
1996 2.31% 0.35% 2.21% 3%
1995 2.69% 0.35% 2.59% 4%
1994 2.57% 0.33% 2.49% 23%
1993 2.75% 0.35% 2.65% 1%
1992 2.99% 0.34% 2.90% 1%
CLASS E
1996(2) 0.97% 0.58% 0.85% 3%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1996(3) 6.20% 0.48% 6.10% 59%
1995 6.33% 0.48% 6.23% 21%
1994 5.35% 0.47% 5.26% 55%
1993 6.49% 0.45% 6.42% 115%
1992 7.45% 0.51% 7.32% 99%
<FN>
* THE TOTAL RETURN HAS NOT BEEN ANNUALIZED.
(1) HAD MANAGEMENT FEES NOT BEEN WAIVED, AND CERTAIN OTHER EXPENSES NOT BEEN
ABSORBED BY THE MANAGER FOR THE PORTFOLIOS, THE NET INVESTMENT INCOME PER
SHARE WOULD HAVE BEEN $.42, $.41, $.41, $.39 AND $.38 FOR THE S&P 500 INDEX
PORTFOLIO FOR THE YEARS ENDED 3/31/96 THROUGH 3/31/92, RESPECTIVELY AND
$.63, $.62, $.55, $.65 AND $.71 FOR THE BOND INDEX PORTFOLIO FOR THE YEARS
ENDED 3/31/96 THROUGH 3/31/92, RESPECTIVELY.
(2) S&P 500 INDEX CLASS E SHARES WERE OFFERED BEGINNING
FEBRUARY 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(3) THE INVESTMENT ADVISER WAS CHANGED FROM WORLD ASSET MANAGEMENT TO MELLON
BOND ASSOCIATES EFFECTIVE 10/2/96.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
1. ORGANIZATION:
SEI Index Funds (the "Trust") was organized as a Massachusetts Business Trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company with two portfolios: the S&P 500 Index Portfolio
and the Bond Index Portfolio (the "Portfolios"). The Trust's prospectus provides
a description of each Portfolio's investment objectives, policies and
strategies. The Trust is registered to offer Class A and Class E shares of the
S&P 500 Index Portfolio and Class A shares of the Bond Index Portfolio. The
assets of each Portfolio are segregated, and a shareholder's interest is limited
to the Portfolio in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies followed by
the Portfolios.
SECURITY VALUATION -- Investments in equity securities which are traded on a
national securities exchange (or reported onthe 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. Debt obligations
exceeding sixty days to maturity for which market quotations are readily
available are valued at the most recently quoted bid price. Debt obligations
with sixty days or less remaining until maturity may be valued at their
amortized cost.
FEDERAL INCOME TAXES -- It is each Portfolio's intention to continue to
qualify as a regulated investment company for Federal income tax purposes by
complying with the appropriate provisions of the Internal Revenue Code.
Accordingly, no provisions for Federal income taxes are required in the
accompanying financial statements.
SECURITY TRANSACTIONS AND RELATED INCOME -- Security transactions are
accounted for on the date the security is purchased or sold (trade date).
Dividend income is recognized on the ex-dividend date, and interest income is
recognized on the accrual basis. Costs used in determining realized gains and
losses on the sales of investment securities are those of the specific
securities sold adjusted for the accretion and amortization of purchase
discounts and premiums during the respective holding periods. Purchase discounts
and premiums on securities held by the Portfolios are accreted and amortized to
maturity using a method which approximates the effective interest method.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for Repurchase
Agreements are held by the custodian bank until the respective agreements
mature. Provisions of the Repurchase Agreements and procedures adopted by the
Manager and adviser ensure that the market value of the collateral, including
accrued interest thereon, is sufficient in the event of default by the
counterparty. 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 Portfolios may be delayed or limited.
FUTURES CONTRACTS -- The S&P 500 Index Portfolio invests in S&P 500 futures
contracts. For each S&P 500 futures contract, the Portfolio pledges Treasury
bills with the broker valued at approximately $10,000 per contract. Subsequent
payments to and from the broker are made on a daily basis or upon expiration or
closing of the position, as the value of the S&P 500 Index fluctuates. These
fluctuations make the positions in the futures contracts more or less valuable,
which results in gains or losses to the Portfolio. The S&P 500 Index Portfolio's
investment in S&P 500 Index futures contracts is designed to assist the
Portfolio in more closely approximating the performance of the S&P 500 Index.
Risks of entering into S&P 500 Index futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Should the S&P 500 Index move unexpectedly, the Portfolio may not
receive the anticipated benefits from the S&P 500 Index futures contracts and
may realize a loss.
CLASSES -- Class specific expenses are borne by that class of shares.
Income, expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
18
<PAGE>
EXPENSES -- Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Fund are
prorated to the portfolios on the basis of relative net assets.
NET ASSET VALUE PER SHARE -- The net asset value per share of each
Portfolio is calculated on each business day. In general, it is computed by
dividing the assets of each Portfolio, less its liabilities, by the number of
outstanding shares of the Portfolio.
OTHER -- Distributions from net investment income for the Porfolios are
paid to shareholders in the form of monthly dividends for the Bond Index
Portfolio and quarterly for the S&P 500 Index Portfolio. Any net realized
capital gains on sales of securities are distributed to shareholders at least
annually.
3. TRANSACTIONS WITH AFFILIATES:
The Trust and SEI Financial Management Corporation (the "Manager") are parties
to management agreements (the "Management Agreement") for the S&P 500 Index
Portfolio and Bond Index Portfolio dated July 25, 1986 and January 20, 1986,
respectively, under which the Manager provides management, administrative,
transfer agent, and shareholder services to the Portfolios for an annual fee
equal to .22% of the average daily net assets of the S&P 500 Index Portfolio and
.35% of average daily net assets of the Bond Index Portfolio. The Manager has
agreed to waive its fee so that the total annual expenses of each Portfolio will
not exceed the lower of the maximum limitations established by certain states or
voluntary expense limitations adopted by the Manager. In the event that the
total annual expenses of a Portfolio, after reflecting a waiver of all fees by
the Manager, exceed the specific limitation, the Manager has agreed to bear such
excess. Any such waiver is voluntary and may be terminated at any time at the
Manager's sole discretion.
Certain officers 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 officers is paid by the Manager.
SEI Financial Services Company acts as the distributor (the "Distributor")
of the shares of the Portfolios under a distribution plan which provides for the
Trust to reimburse the Distributor for its distribution expenses. On an annual
basis such expenses may not exceed .05% of the Portfolios' average daily net
assets.
In addition to providing for the reimbursement payments described above,
the Class E distribution plan provides for additional payments to the
Distributor of .15% of the average daily net assets of the Class E Shares.
4. INVESTMENT ADVISORY AGREEMENT:
Under an investment advisory agreement (the "Advisory Agreement"), dated
January 31, 1995, World Asset Management serves as the Investment Adviser of the
S&P 500 Index Portfolio. For its services as Investment Adviser, World Asset
Management receives a monthly fee at an annual rate of .03% of the average daily
net assets of the S&P 500 Index Portfolio. Mellon Bond Associates serves as the
Investment Adviser of the Bond Index Portfolio under an advisory agreement dated
October 2, 1995. For its services as Investment Adviser, Mellon Bond Associates
receives a monthly fee at an annual rate of .07% of the average daily net assets
of the Bond Index Portfolio. Prior to October 2, 1995, World Asset Management
served as Investment Adviser of the Bond Index Portfolio. For its services,
World Asset Management received .03% of the average daily net assets of the
Portfolio. For the year ended March 31, 1996, World Asset Management and Mellon
Bond Associates received $7,000 and $12,000, respectively, in connection with
the aforementioned agreements.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the year ended March 31, 1996,
were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------- --------- -----
S&P 500 INDEX PORTFOLIO
Purchases $ 0 $69,984 $69,984
Sales 0 17,322 17,322
BOND INDEX PORTFOLIO
Purchases $26,972 $ 2,587 $29,559
Sales 24,208 1,113 25,321
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI INDEX FUNDS -- MARCH 31, 1996
On March 31, 1996, the total cost of securities for Federal income tax
purposes was not materially different from amounts reported for financial
reporting purposes. The aggregate gross unrealized appreciation and depreciation
on securities at March 31, 1996, for each Portfolio is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
-------------- -------------- --------------
S&P 500 Index Portfolio $191,538 $(10,944) $180,594
Bond Index Portfolio 829 (713) 116
The Bond Index Portfolio invests primarily in securities issued or
guaranteed as to principal and interest by the U.S. Government or its agencies
or instrumentalities. The ability of the issuers of the repurchase agreements
and other bonds held by the Portfolio to meet their obligations may be affected
by economic developments in a specific industry, state or region. The market
value of the Portfolio's investments will change in response to interest rate
changes and other factors. During periods of falling interest rates, the values
of fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ability of an issuer to make payments of
interest and principal may also affect the value of these investments. The
following is a summary of credit quality ratings for securities held by the
Portfolio at March 31, 1996.
% OF
PORTFOLIO
MOODY'S VALUE
-------- ---------
U.S. Government Securities ...................... 79.60%
Repurchase Agreements ........................... 2.74%
Other Bonds
Aaa ........................................ 1.27%
Aa ......................................... 3.48%
A .......................................... 7.48%
Baa ........................................ 5.43%
-------
100.00%
=======
At March 31, 1996, the Bond Index Portfolio had capital loss carryforwards
to the extent provided in the regulations for Federal income tax as follows:
CAPITAL LOSS
CARRYOVER EXPIRES EXPIRES EXPIRES
3/31/96 1997 2003 2004
---------- -------- -------- --------
$672,000 $57,000 $514,000 $101,000
The S&P 500 Index Portfolio had wash sales during the fiscal year ended
March 31, 1996 amounting to $178,000. These wash sale losses cannot be used for
Federal income tax purposes and are deferred.
6. FUTURES CONTRACTS:
A summary of the open S&P 500 Index futures contracts held by the S&P 500 Index
Portfolio is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT GAIN/(LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
---------- ------- -------- ---------- -----------
30 $645.30 $15,000 June 1996 $ 89
10 644.20 5,000 June 1996 35
10 647.50 5,000 June 1996 19
7 649.00 3,500 June 1996 8
5 646.80 2,500 June 1996 11
4 654.50 2,000 June 1996 (7)
3 658.50 1,500 June 1996 (11)
3 658.00 1,500 June 1996 (10)
3 653.50 1,500 June 1996 (3)
2 660.20 1,000 June 1996 (9)
2 659.50 1,000 June 1996 (8)
2 658.30 1,000 June 1996 (7)
2 657.00 1,000 June 1996 (6)
4 656.40 1,000 June 1996 (10)
2 655.80 1,000 June 1996 (5)
4 655.50 1,000 June 1996 (8)
2 653.60 1,000 June 1996 (2)
2 653.00 1,000 June 1996 (2)
2 652.80 1,000 June 1996 (2)
2 652.50 1,000 June 1996 (1)
2 652.00 1,000 June 1996 (1)
2 645.00 1,000 June 1996 6
2 643.80 1,000 June 1996 7
2 642.70 1,000 June 1996 9
2 642.40 1,000 June 1996 9
2 642.20 1,000 June 1996 9
1 639.00 500 June 1996 6
1 645.50 500 June 1996 3
1 653.50 500 June 1996 (1)
-----
$118
=====
20
<PAGE>
SHAREHOLDER VOTING RESULTS
==============================================================================
MARCH 31, 1996--(UNAUDITED)
At a special meeting of shareholders held on December 12, 1995,
shareholders of the Bond Index Portfolio (the "Portfolio") of the SEI Index
Funds (the "Trust") voted to approve the selection of Mellon Bond Associates as
investment adviser to the Portfolio and the investment advisory agreement
between the Trust and Mellon Bond Associates. The proposal and the results of
the shareholder meeting are set forth below.
I. Proposal to approve the selection of Mellon Bond Associates as
investment adviser to the Portfolio and to approve the investment
advisory agreement between the Trust, on behalf of the Portfolio and
Mellon Bond Associates.
Shares Voted
------------
For 2,898,356
Against 113,882
Abstain 7,790
There were no broker non-votes submitted and no other proposals voted on at
such meeting.
21
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
MARCH 31, 1996 -- (UNAUDITED)
For shareholders that do not have a March 31, 1996 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1996
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1996 the Portfolios of the SEI Index Funds
are designating long term capital gains and qualifying dividend income with
regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- -------------- ------------- -------------
S&P 500 Index 36% 64% 100%
Bond Index 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ------------- ---------- -----------
S&P 500 Index 82% 0% 0%
Bond Index 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each Portfolio's total
distribution.
** Item (C) is based on the percentage of ordinary income of the Portfolio.
*** Items (D) and (E) are based on the percentage of gross income of the
Portfolio.
22
<PAGE>
===============================================================================
SEI INDEX FUNDS
===============================================================================
ANNUAL REPORT
===============================================================================
MARCH 31, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Jeffrey A. Cohen
CONTROLLER, CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISERS
World Asset Management
Mellon Bond Associates
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI FINANCIAL
SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL 1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800
(BULLET)342(BULLET)5734
<PAGE>
SEI-F-091-03
