<PAGE>
SEMI-ANNUAL REPORT AS OF
MARCH 31, 1997
SEI INSTITUTIONAL
MANAGED TRUST
- --------------------
Large Cap Value
- --------------------
Large Cap Growth
- --------------------
Small Cap Value
- --------------------
Small Cap Growth
- --------------------
Mid-Cap
- --------------------
Capital Appreciation
- --------------------
Equity Income
- --------------------
Balanced
- --------------------
Core Fixed Income
- --------------------
Bond
- --------------------
High Yield Bond
- --------------------
[SEI INVESTEMENTS LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
- ---------------------------------------------------------------------------
STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 40
STATEMENT OF CHANGES IN NET ASSETS................................... 42
FINANCIAL HIGHLIGHTS................................................. 44
NOTES TO FINANCIAL STATEMENTS........................................ 47
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.7%
AEROSPACE & DEFENSE -- 0.8%
BF Goodrich 65,900 $ 2,414
Thiokol 42,100 2,326
--------
4,740
--------
AIR TRANSPORTATION -- 1.1%
AMR* 19,400 1,600
Delta Air Lines 34,200 2,877
UAL* 35,500 2,299
--------
6,776
--------
AIRCRAFT -- 1.2%
McDonnell Douglas 33,300 2,031
Textron 23,800 2,499
United Technologies 36,300 2,732
--------
7,262
--------
APPAREL/TEXTILES -- 0.3%
Springs Industries, Cl A 21,000 940
VF 13,100 876
--------
1,816
--------
AUTOMOTIVE -- 3.2%
Chrysler 267,200 8,016
General Motors 147,100 8,146
Genuine Parts 52,400 2,443
Paccar 8,400 561
--------
19,166
--------
BANKS -- 15.6%
Amsouth Bancorp 102,500 4,946
Astoria Financial* 48,300 1,739
Banc One 224,925 8,941
BankAmerica 134,180 13,519
Bankers Trust New York 28,600 2,345
Chase Manhattan 28,100 2,631
Comerica 56,700 3,196
First Chicago 140,600 7,610
First Union 57,600 4,673
First Virginia 63,200 3,239
Fleet Financial Group 52,800 3,023
Golden West Financial 32,800 2,058
H.F. Ahmanson 60,900 2,223
JP Morgan 52,700 5,178
National City 43,400 2,024
NationsBank 39,800 2,204
Norwest 30,500 1,411
PNC Bank 63,000 2,520
Republic New York 31,500 2,776
Southtrust 192,800 6,965
Star Banc 80,800 3,222
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
State Street Boston 44,100 $ 3,059
SunTrust 55,800 2,588
US Bancorp 50,000 2,675
--------
94,765
--------
BEAUTY PRODUCTS -- 0.2%
International Flavors & Fragrances 29,700 1,299
--------
BUILDING & CONSTRUCTION -- 0.3%
Centex 57,600 2,030
--------
CHEMICALS -- 3.7%
Betz Laboratories 29,000 1,831
Dow Chemical 53,450 4,276
EI du Pont de Nemours 92,000 9,752
Praxair 52,100 2,338
Rohm & Haas 21,400 1,602
Union Carbide 33,300 1,474
Witco 44,000 1,496
--------
22,769
--------
COMMUNICATIONS EQUIPMENT -- 0.8%
Harris 34,500 2,652
Sprint 50,100 2,280
--------
4,932
--------
COMPUTERS & SERVICES -- 3.1%
Compaq Computer* 83,700 6,413
Hewlett Packard 44,700 2,380
IBM 47,300 6,498
Microsoft* 37,400 3,429
--------
18,720
--------
CONTAINERS & PACKAGING -- 0.4%
Owens-Illinois* 100,100 2,465
--------
DRUGS -- 3.5%
American Home Products 25,300 1,518
Bristol-Myers Squibb 206,900 12,207
Johnson & Johnson 14,800 783
Pharmacia & Upjohn 42,700 1,564
Schering Plough 46,000 3,346
Smithkline Beecham, PLC, ADR 25,500 1,785
--------
21,203
--------
ELECTRICAL SERVICES -- 5.7%
Baltimore Gas & Electric 143,400 3,836
Consolidated Edison of New York 80,100 2,403
DQE 67,600 1,876
DTE Energy 40,500 1,088
Duke Power 25,100 1,108
Edison International 158,300 3,562
Entergy 87,000 2,131
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Illinova 47,500 $ 1,087
Ohio Edison 25,700 543
PacifiCorp 65,475 1,400
Pinnacle West Capital 175,800 5,296
Portland General 49,900 1,740
Southern 138,300 2,922
TECO Energy 62,400 1,498
Texas Utilities 92,200 3,158
Wisconsin Energy 44,250 1,084
--------
34,732
--------
ELECTRICAL TECHNOLOGY -- 0.3%
Thomas & Betts 37,500 1,603
--------
ENTERTAINMENT -- 0.2%
Bally Total Fitness* 13,350 83
King World Productions* 36,700 1,340
--------
1,423
--------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries 43,800 1,265
--------
FINANCIAL SERVICES -- 3.8%
Alex Brown 33,700 1,432
Bear Stearns 177,092 4,649
Beneficial 1,840 119
FNMA 46,264 1,671
Green Tree Financial 74,100 2,501
Lehman Brothers Holding 68,100 1,983
Merrill Lynch 45,200 3,882
Salomon 23,900 1,192
Transamerica 25,600 2,291
Travelers 73,433 3,516
--------
23,236
--------
FOOD, BEVERAGE & TOBACCO -- 4.1%
Adolph Coors, Cl B 57,300 1,218
American Brands 56,000 2,835
Anheuser Busch 75,600 3,185
Campbell Soup 31,000 1,438
Coca-Cola 42,600 2,444
General Mills 49,600 3,081
HJ Heinz 76,150 3,008
IBP 58,800 1,448
Kellogg 22,900 1,540
Philip Morris 32,200 3,675
Ralston-Ralston Purina Group 14,900 1,164
--------
25,036
--------
GAS/NATURAL GAS -- 2.2%
Consolidated Natural Gas 65,925 3,321
National Fuel & Gas 62,100 2,655
Noram Energy 210,000 3,071
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Oneok 58,300 $ 1,516
Williams 63,700 2,835
--------
13,398
--------
HOUSEHOLD PRODUCTS -- 0.8%
Clorox 10,075 1,130
Maytag 102,800 2,120
Sherwin Williams 67,000 1,809
--------
5,059
--------
INSURANCE -- 6.6%
Ambac 33,300 2,148
American General 55,200 2,249
Cigna 38,500 5,626
Exel 120,900 5,108
Jefferson-Pilot 23,650 1,286
Lincoln National 31,400 1,680
Loew's 24,700 2,195
Marsh & McLennan 36,625 4,148
Old Republic International 128,800 3,300
Progressive of Ohio 25,100 1,603
Providian 69,000 3,691
Safeco 85,500 3,420
St. Paul 50,639 3,285
--------
39,739
--------
MACHINERY -- 4.8%
Black & Decker 39,700 1,275
Caterpillar 100,100 8,033
Comdisco 77,850 2,423
Cummins Engine 94,900 4,864
Global Industries Technologies* 72,900 1,258
Harnischfeger Industries 90,900 4,227
NACCO Industries, Cl A 9,800 483
Pitney Bowes 32,800 1,927
Tenneco 55,650 2,170
Timken 40,400 2,161
--------
28,821
--------
MEASURING DEVICES -- 0.6%
Mallinckrodt 43,900 1,805
Wheelabrator Technologies 149,000 1,956
--------
3,761
--------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Baxter International 73,250 3,159
Novacare* 133,300 1,616
Universal Health Services, Cl B* 71,500 2,351
--------
7,126
--------
METALS & MINING -- 0.3%
Vulcan Materials 24,700 1,602
--------
2
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 0.4%
Cabletron Systems* 47,500 $ 1,389
Oracle Systems* 27,300 1,053
--------
2,442
--------
MISCELLANEOUS MANUFACTURING -- 0.9%
General Electric 18,100 1,796
Minnesota Mining &
Manufacturing 39,800 3,363
--------
5,159
--------
OFFICE FURNITURE & FIXTURES -- 0.1%
Lear* 17,900 597
--------
PAPER & PAPER PRODUCTS -- 1.9%
Chesapeake 47,700 1,312
Georgia-Pacific 16,700 1,211
International Paper 32,700 1,271
James River 94,800 2,761
Mead 22,600 1,198
Union Camp 30,700 1,447
Weyerhaeuser 47,600 2,124
--------
11,324
--------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Atlantic Richfield 46,700 6,304
Rowan* 48,600 1,100
--------
7,404
--------
PETROLEUM REFINING -- 10.5%
Amoco 56,600 4,903
British Petroleum, PLC, ADR 9,800 1,345
Chevron 200,700 13,974
Dresser Industries 44,000 1,331
Exxon 159,850 17,224
Kerr-McGee 38,600 2,388
Mobil 30,075 3,929
Phillips Petroleum 97,700 3,993
Texaco 45,300 4,960
USX-Marathon Group 276,000 7,693
Valero Energy 46,000 1,673
--------
63,413
--------
PRINTING & PUBLISHING -- 2.1%
Lafarge 44,100 1,003
McGraw-Hill 92,900 4,749
New York Times, Cl A 96,900 4,276
R.R. Donnelley & Sons 39,500 1,378
Washington Post, Cl B 3,100 1,066
--------
12,472
--------
RAILROADS -- 1.2%
Canadian Pacific Limited 67,100 1,610
CSX 81,400 3,785
Union Pacific 30,625 1,738
--------
7,133
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
REPAIR SERVICES -- 0.6%
PHH 75,100 $ 3,464
--------
RETAIL -- 3.2%
Dayton-Hudson 33,800 1,411
Gap 93,300 3,126
Great Atlantic & Pacific Tea 46,300 1,175
JC Penney 58,300 2,777
May Department Stores 51,025 2,322
Ruddick 51,900 804
Smith's Food & Drug Center, Cl B 37,091 1,270
TJX 104,100 4,450
Waban* 77,000 2,146
--------
19,481
--------
RUBBER & PLASTIC -- 0.6%
Goodyear Tire & Rubber 13,500 705
Premark International 158,000 3,140
--------
3,845
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.4%
AMP 64,750 2,226
--------
SPECIALTY MACHINERY -- 0.9%
Cooper Industries 84,400 3,661
Tecumseh Products, Cl A 27,100 1,545
--------
5,206
--------
SPECIALTY SERVICES -- 0.3%
National Service Industries 45,700 1,788
--------
STEEL & STEEL WORKS -- 1.0%
Aluminum Company of America 22,200 1,510
Asarco 41,700 1,173
Phelps Dodge 12,300 899
Texas Industries 64,000 1,760
USX-U.S. Steel Group 36,500 972
--------
6,314
--------
TELEPHONES & TELECOMMUNICATION -- 7.8%
360(degree)Communications* 11,133 192
Ameritech 168,525 10,364
Bell Atlantic 72,000 4,383
BellSouth 210,700 8,902
GTE 54,800 2,555
Lucent Technologies 88,465 4,667
NYNEX 85,600 3,905
SBC Telecommunications 193,900 10,204
US West 64,600 2,196
--------
47,368
--------
WHOLESALE -- 0.6%
Gillette 32,000 2,324
Safeway* 31,100 1,442
--------
3,766
--------
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost $524,666) $598,146
--------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bills
5.249%, 04/17/97 (A) $ 100 100
0.000%, 09/18/97 (A) 900 877
--------
Total U.S. Treasury Obligations
(Cost $978) 977
--------
REPURCHASE AGREEMENT -- 1.1%
J.P. Morgan
5.380%, dated 03/31/97,
matures 04/01/97, repurchase
price $6,626,000 (collateralized
by various FHLMC obligations,
par value $6,793,000, zero coupon,
04/10/97-04/30/97, total market
value: $6,759,000) 6,625 6,625
--------
Total Repurchase Agreement
(Cost $6,625) 6,625
--------
Total Investments -- 99.9%
(Cost $532,269) 605,748
--------
Other Assets and Liabilities, Net -- 0.1% 436
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
40,277,154 outstanding shares
of beneficial interest 512,121
Undistributed net investment income 2,711
Accumulated net realized gain
on investments 18,080
Net unrealized depreciation on futures contracts (207)
Net unrealized appreciation on investments 73,479
--------
Total Net Assets -- 100.0% $606,184
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $15.05
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA--STUDENT LOAN MARKETING ASSOCIATION
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 96.3%
AIR TRANSPORTATION -- 0.3%
AMR* 18,500 $ 1,526
--------
AIRCRAFT -- 1.9%
Allied Signal 107,900 7,688
Boeing 30,000 2,959
--------
10,647
--------
APPAREL/TEXTILES -- 0.5%
Tommy Hilfiger* 18,700 977
U.S. Industries* 53,500 1,886
--------
2,863
--------
BANKS -- 5.1%
Chase Manhattan 65,100 6,095
Citicorp 10,700 1,158
First Union 35,000 2,839
MBNA 264,950 7,385
NationsBank 67,800 3,754
Norwest 60,700 2,807
State Street Boston 23,300 1,616
Washington Mutual 31,200 1,507
Wells Fargo 4,200 1,193
--------
28,354
--------
BEAUTY PRODUCTS -- 2.7%
Colgate-Palmolive 78,700 7,841
Procter & Gamble 63,500 7,303
--------
15,144
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.9%
British Sky Broadcasting, ADR* 30,500 1,849
Cox Communications* 161,100 3,323
--------
5,172
--------
BUILDING & CONSTRUCTION -- 0.2%
Fluor 15,900 835
--------
CHEMICALS -- 1.2%
Monsanto 169,200 6,472
--------
COMMUNICATIONS EQUIPMENT -- 1.1%
ADC Telecommunications* 25,800 693
Andrew* 25,500 921
Ascend Communications* 16,800 685
Nokia, Cl A, ADR 51,300 2,988
Tellabs* 24,200 874
--------
6,161
--------
COMPUTERS & SERVICES -- 8.2%
Ceridian* 18,900 678
Cisco Systems* 257,900 12,411
Compaq Computer* 227,000 17,394
4
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Dell Computer* 135,500 $ 9,163
Seagate Technology* 98,800 4,434
Silicon Graphics* 65,600 1,279
--------
45,359
--------
CONTAINERS & PACKAGING -- 1.0%
Crown Cork & Seal 109,550 5,656
--------
DRUGS -- 10.8%
Abbott Laboratories 87,300 4,900
Amgen* 76,550 4,277
Centocor* 70,000 2,135
Elan, ADR 27,400 935
Eli Lilly 34,900 2,871
Johnson & Johnson 75,700 4,003
Merck 275,000 23,169
Pfizer 175,100 14,730
Schering Plough 40,000 2,910
--------
59,930
--------
ELECTRICAL SERVICES -- 0.2%
AES* 16,600 930
--------
ENTERTAINMENT -- 2.2%
Liberty Media Group, Cl A* 242,550 4,836
Mirage Resorts* 57,600 1,224
Walt Disney 85,500 6,242
--------
12,302
--------
ENVIRONMENTAL SERVICES -- 1.0%
Republic Industries* 50,500 1,752
USA Waste Services* 103,700 3,681
--------
5,433
--------
FINANCIAL SERVICES -- 5.7%
American Express 63,900 3,826
Associates First Capital 26,100 1,122
Dean Witter Discover 151,600 5,287
FHLMC 51,300 1,398
FNMA 135,700 4,902
Merrill Lynch 65,000 5,582
Travelers 196,600 9,412
--------
31,529
--------
FOOD, BEVERAGE & TOBACCO -- 4.4%
Campbell Soup 177,600 8,236
Coca-Cola 32,200 1,799
PepsiCo 92,000 3,002
Philip Morris 100,750 11,498
--------
24,535
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOTELS & LODGING -- 1.3%
HFS* 46,300 $ 2,726
LA Quinta Inns 230,000 4,715
--------
7,441
--------
HOUSEHOLD PRODUCTS -- 7.2%
General Electric 118,550 11,766
Gillette 183,400 13,319
Illinois Tool Works 39,550 3,228
Sherwin-Williams 57,400 1,550
Solectron* 91,500 4,586
Sunbeam Oster 185,000 5,550
--------
39,999
--------
INSURANCE -- 6.7%
Aetna 11,300 970
American International Group 73,500 8,627
Everest Reinsurance Holdings 53,100 1,560
MGIC Investment 15,100 1,068
Oxford Health Plans* 110,900 6,502
Pacificare Health Systems, Cl B* 33,800 2,915
PMI Group 45,200 2,266
TIG Holdings 87,000 2,762
Travelers Property Casualty 55,800 1,772
United Healthcare 53,950 2,569
UNUM 84,500 6,169
--------
37,180
--------
LUMBER & WOOD PRODUCTS -- 0.3%
Clayton Homes 113,625 1,449
--------
MACHINERY -- 3.6%
Applied Materials* 40,500 1,878
Baker Hughes 89,600 3,438
Deere 86,900 3,780
Emerson Electric 67,800 3,051
Tyco Labs 138,300 7,607
--------
19,754
--------
MARINE TRANSPORTATION -- 0.6%
Carnival 89,000 3,293
--------
MEASURING DEVICES -- 0.1%
Thermo Electron* 19,700 608
--------
MEDICAL PRODUCTS & SERVICES -- 3.5%
Baxter International 70,400 3,036
Boston Scientific* 91,100 5,625
Columbia/HCA Healthcare 21,450 721
Healthsouth Rehabilitation* 99,700 1,907
Medtronic 126,600 7,881
--------
19,170
--------
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 8.0%
3Com* 83,900 $ 2,748
Altera* 129,100 5,551
Computer Associates International 88,500 3,440
Computer Sciences* 17,400 1,074
CUC International* 47,600 1,071
Electronic Data Systems 54,000 2,180
First Data 75,100 2,544
Informix* 97,100 1,469
Ikon Office Solutions 122,700 4,110
Microsoft* 100,700 9,233
Netscape Communications* 32,900 989
Oracle Systems* 243,275 9,381
Sungard Data Systems* 15,300 666
--------
44,456
--------
MISCELLANEOUS CONSUMER SERVICES -- 0.2%
Service International 40,800 1,214
--------
PAPER & PAPER PRODUCTS -- 1.1%
Kimberly-Clark 55,000 5,466
Unisource Worldwide* 49,250 757
--------
6,223
--------
PETROLEUM & FUEL PRODUCTS -- 1.9%
Apache 87,400 2,928
BJ Services* 30,300 1,451
Global Marine* 50,500 1,086
Schlumberger 34,300 3,679
Transocean Offshore 21,700 1,218
--------
10,362
--------
PETROLEUM REFINING -- 1.4%
Amoco 38,800 3,361
Mobil 25,100 3,279
Tosco 32,200 918
Unocal 9,500 362
--------
7,920
--------
PROFESSIONAL SERVICES -- 0.2%
Paychex 21,000 864
--------
RAILROADS -- 0.5%
Union Pacific 50,800 2,883
--------
RETAIL -- 3.6%
Costco* 37,600 1,039
CVS 20,600 950
Estee Lauder 5,000 242
Federated Department Stores* 70,000 2,301
Home Depot 47,450 2,539
Kohls* 22,500 953
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Kroger* 69,000 $ 3,502
Revco Drug Stores* 39,500 1,600
Rite Aid 80,200 3,368
Sears Roebuck 40,000 2,010
Walgreen 31,900 1,336
--------
19,840
--------
RUBBER & PLASTIC -- 0.4%
Nike, Cl B 31,900 1,978
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.2%
Atmel* 87,400 2,092
Intel 133,200 18,531
Texas Instruments 33,800 2,531
--------
23,154
--------
SPECIALTY CONSTRUCTION -- 0.7%
L.M. Ericsson Telephone, ADR* 115,900 3,919
--------
STEEL & STEEL WORKS -- 0.8%
Aluminum Company of America 67,000 4,556
--------
TELEPHONES & TELECOMMUNICATION -- 1.7%
Airtouch Communications* 120,350 2,768
Lucent Technologies 97,800 5,159
WorldCom* 66,400 1,461
--------
9,388
--------
WHOLESALE -- 0.9%
Cardinal Health 39,750 2,161
Danka Business Systems, ADR 28,800 905
Safeway* 36,200 1,679
--------
4,745
--------
Total Common Stocks
(Cost $443,204) 533,244
--------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill
5.249%, 04/17/97 (A) $ 500 499
--------
Total U.S. Treasury Obligation
(Cost $498) 499
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1%
FHLMC Discount Notes
0.000%, 04/15/97 250 249
FHLB Discount Notes
0.000%, 04/17/97 120 120
--------
Total U.S. Government Agency Obligations
(Cost $369) 369
--------
6
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.9%
Ford Motor Credit
5.450%, 04/02/97 $ 3,000 $ 3,000
GE Capital Services
5.650%, 04/03/97 1,524 1,524
Merril Lynch
6.250%, 04/01/97 530 530
--------
Total Commercial Paper
(Cost $5,054) 5,054
--------
REPURCHASE AGREEMENT -- 2.2%
J.P. Morgan
6.200%, dated 03/31/97,
matures 04/01/97, repurchase
price $12,422,000 (collateralized
by U.S. Treasury Bill, par value
$12,940,000, zero coupon,
07/17/97, total market
value: $12,736,000) 12,420 12,420
--------
Total Repurchase Agreement
(Cost $12,420) 12,420
--------
Total Investments -- 99.6%
(Cost $461,545) 551,586
--------
Other Assets and Liabilities, Net -- 0.4% 2,079
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
36,221,179 outstanding shares
of beneficial interest 456,548
Undistributed net investment income 478
Accumulated net realized gain
on investments 7,098
Net unrealized depreciation on futures contracts (500)
Net unrealized appreciation on investments 90,041
--------
Total Net Assets -- 100.0% $553,665
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $15.29
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 93.7%
AEROSPACE & DEFENSE -- 0.8%
Doncasters, PLC, ADR 40,900 $ 792
Thiokol 14,100 779
--------
1,571
--------
AGRICULTURE -- 0.6%
Sylvan* 105,000 1,234
--------
AIR TRANSPORTATION -- 1.9%
Airnet Systems* 54,500 872
Alaska Airgroup* 59,500 1,525
Midwest Express Holdings* 35,300 1,337
--------
3,734
--------
APPAREL/TEXTILES -- 1.9%
Burlington Industries* 62,500 719
Culp 37,300 643
First Years 51,400 822
Quaker Fabric* 50,700 659
Worldtex* 122,700 859
--------
3,702
--------
AUTOMOTIVE -- 1.8%
Borg-Warner Automotive 20,500 874
Federal Mogul 94,700 2,332
Stant 28,700 420
--------
3,626
--------
BANKS -- 11.4%
Alliance Bancorp 13,200 383
Astoria Financial* 29,000 1,044
Bank Plus* 95,000 986
Cenfed Financial 46,200 1,536
Coast Savings Financial* 53,100 2,104
Dime Community Bancorp* 99,000 1,856
Downey Financial 79,707 1,614
Eagle Financial 15,900 449
Greater New York Savings Bank 77,200 1,332
Itla Capital* 22,200 330
Long Island Bancorp 76,800 2,539
Queens County Bancorp 44,833 2,460
Reliance Bancorp 34,500 815
Riggs National 116,000 2,334
Sovereign Bancorp 123,060 1,477
T R Financial 21,400 778
Webster Financial 19,117 671
--------
22,708
--------
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BUILDING & CONSTRUCTION -- 0.2%
Willbros Group Inc* 46,500 $ 424
--------
BUILDING & CONSTRUCTION SUPPLIES -- 0.4%
Granite Construction 33,200 685
Griffon* 12,800 154
--------
839
--------
CHEMICALS -- 1.4%
General Chemical Group 78,400 1,882
Mississippi Chemical 33,900 809
--------
2,691
--------
COAL MINING -- 0.9%
Zeigler Coal Holding 79,100 1,879
--------
COMPUTERS & SERVICES -- 1.8%
Channell Commercial* 47,700 501
Cirrus Logic* 16,200 196
Lexmark International Group* 63,600 1,542
Wang Laboratories* 72,000 1,278
--------
3,517
--------
CONCRETE & MINERAL PRODUCTS -- 0.7%
Dal-Tile International* 84,000 1,312
--------
CONSUMER PRODUCTS -- 1.2%
Public Service of New Mexico 40,200 693
US Can* 114,100 1,726
--------
2,419
--------
CONTAINERS & PACKAGING -- 1.0%
Greif Brothers 13,100 357
Silgan Holdings* 65,200 1,630
--------
1,987
--------
ELECTRICAL SERVICES -- 0.3%
Calpine* 33,200 602
--------
ELECTRICAL TECHNOLOGY -- 0.7%
Belden 37,600 1,339
--------
ENTERTAINMENT -- 1.4%
Carmike Cinemas, Cl A* 13,100 375
GC* 32,000 1,256
Harveys Casinos Resorts 75,200 1,137
--------
2,768
--------
FINANCIAL SERVICES -- 7.8%
American General Hospitality 30,500 831
Apartment Investment &
Management Co. 38,500 1,121
Beacon Properties 19,700 653
Cali Realty 25,500 816
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Equity Inns, REIT 138,500 $ 1,835
Healthcare Realty Trust 46,100 1,262
Kilroy Realty Corp* 48,700 1,297
Liberty Property Trust 32,600 799
McDonald & Co. Investments 11,700 424
Morningstar Group* 82,200 1,582
Pacific Gulf Properties 48,100 1,046
Prentiss Properties Trust 47,900 1,215
RFS Hotel Investors 40,500 704
Reckson Associates 26,100 1,204
Walden Residential 29,100 702
--------
15,491
--------
FOOD, BEVERAGE & TOBACCO -- 2.1%
Chiquita Brands International 53,900 842
Dimon 37,400 860
Riser Foods, Cl A 41,300 1,368
Schweitzer-Manduit International 38,700 1,171
--------
4,241
--------
GAS/NATURAL GAS -- 0.3%
NUI 29,800 615
--------
GLASS PRODUCTS -- 1.4%
Hirsch International* 60,900 1,180
Libbey 51,400 1,606
--------
2,786
--------
HOUSEHOLD FURNITURE & FIXTURES -- 0.4%
Furniture Brands International* 59,100 887
--------
HOUSEHOLD PRODUCTS -- 2.0%
American Safety Razor* 138,200 2,125
Holophane* 52,900 1,032
National Presto Industries 21,000 753
--------
3,910
--------
INSURANCE -- 13.5%
Allmerica Financial* 29,800 1,047
Amerus Life Holdings, Cl A* 39,900 888
Capital Re 23,900 1,019
Capmac Holdings 23,700 631
E.W. Blanch Holdings 73,600 1,647
Enhance Financial Services Group 34,500 1,363
Everest Reinsurance Holdings 28,600 840
Executive Risk 38,200 1,772
FPIC Insurance Group* 81,900 1,403
Gryphon Holdings* 101,600 1,448
Harleysville Group 36,900 1,199
Highlands Insurance Group* 31,000 632
Home State Holdings* 46,500 262
Horace Mann Educators 37,000 1,633
IPC Holdings 35,800 873
8
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MMI 22,200 $ 566
Penncorp Financial Group 32,200 1,030
PMI Group 22,300 1,118
Presidential Life 74,000 1,092
Reinsurance Group of America 17,600 854
State Auto Financial 86,100 1,474
Terra Nova
Holdings-A* 49,300 961
W.R. Berkley 26,800 1,367
Western National 77,650 1,815
--------
26,934
--------
LEISURE PRODUCTS -- 0.5%
Velcro Industries 15,700 1,054
--------
MACHINERY -- 3.1%
Fisher Scientific International 43,300 1,911
Moog Inc.* 17,900 418
UCAR International* 44,900 1,779
UNR Industries 171,500 1,286
Watts Industries, Cl A 35,600 828
--------
6,222
--------
MARINE TRANSPORTATION -- 1.4%
Knightsbridge Tankers Limited* 16,800 407
Oak Industries* 66,500 1,313
Royal Caribbean Cruises 36,500 1,113
--------
2,833
--------
MEASURING DEVICES -- 0.6%
Fluke 25,300 1,123
--------
MEDICAL PRODUCTS & SERVICES -- 3.4%
Haemonetics Corp.* 67,600 1,200
Lincare Holdings Incorporated* 20,000 825
Maxicare Health Plans* 51,800 1,301
OEC Medical Systems* 62,200 1,019
Sun Healthcare Group* 91,600 1,317
Trigon Healthcare* 59,000 1,040
--------
6,702
--------
MINING -- 0.6%
Wolverine Tube* 43,100 1,121
--------
MISCELLANEOUS CONSUMER SERVICES -- 0.3%
Steiner Leisure Limited* 27,800 674
--------
MISCELLANEOUS MANUFACTURING -- 1.1%
ACX Technologies* 47,000 905
Paragon Trade Brands* 42,900 719
Superior Telecom Inc.* 27,100 562
--------
2,186
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
OFFICE FURNITURE & FIXTURES -- 0.8%
Day Runner Inc.* 10,400 $ 264
Kimball International 34,100 1,296
--------
1,560
--------
PAPER & PAPER PRODUCTS -- 2.2%
American Pad & Paper* 35,200 528
Buckeye Cellulose* 61,300 1,824
Pope & Talbot 55,300 760
Shorewood Packaging* 71,200 1,326
--------
4,438
--------
PETROLEUM & FUEL PRODUCTS -- 1.8%
Belco Oil & Gas* 42,600 772
Berry Petroleum 39,000 556
Cliffs Drilling* 29,600 1,758
Pride Petroleum Service* 25,806 535
--------
3,621
--------
PRINTING & PUBLISHING -- 2.7%
Bowne 38,100 1,033
Medusa 45,400 1,703
New England Business Service 70,900 1,826
Scientific Games Holdings* 35,700 759
--------
5,321
--------
PROFESSIONAL SERVICES -- 5.5%
Carson Pirie* 65,600 2,025
Little Switzerland* 152,400 686
Longs Drug Stores 56,700 1,332
Shopko Stores 131,000 1,965
Waban* 95,500 2,662
Zale* 124,500 2,288
--------
10,958
--------
RAILROADS -- 0.8%
Canadian National Railway 46,900 1,659
--------
RETAIL -- 3.5%
BMC West* 116,900 1,344
Burlington Coat Factory
Warehouse* 87,800 1,580
Duck-Wall Alco Stores* 39,600 559
Finlay Enterprises* 6,400 101
Guess* 68,000 731
Ingles Markets, Cl A 56,700 829
Ruddick 122,700 1,902
--------
7,046
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.8%
AVX 76,500 1,597
Burr-Brown* 57,200 1,866
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT VALUE (000)
- --------------------------------------------------------------------------------
Photronics Labs* 37,700 $ 1,107
Tower Semiconductor* 48,200 452
VLSI Technology* 30,700 531
--------
5,553
--------
SPECIALTY CONSTRUCTION -- 0.4%
DR Horton* 73,596 791
--------
SPECIALTY MACHINERY -- 0.7%
Fedders 135,500 728
Schnitzer Steel Industries, Cl A 28,300 722
--------
1,450
--------
STEEL & STEEL WORKS -- 0.4%
Oregon Metallurgical* 46,700 841
--------
TECHNOLOGY, GENERAL -- 1.5%
Marshall Industries* 32,700 1,030
TBC* 204,900 1,921
--------
2,951
--------
TELEPHONES & TELECOMMUNICATION -- 0.4%
Comsat 31,800 775
--------
WHOLESALE -- 3.3%
CHS Electronics* 77,500 1,579
Egghead* 68,000 306
Marquette Medical Systems, Cl A* 59,800 1,203
Medical Resources* 89,100 969
Pioneer Standard Electronics 150,200 1,915
Universal Forest Products 57,000 698
--------
6,670
--------
Total Common Stocks
(Cost $167,831) 186,765
--------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
5.249%, 04/17/97 (A) $ 50 50
0.000%, 09/18/97 (A) 500 487
--------
Total U.S. Treasury Obligations
(Cost $539) 537
--------
REPURCHASE AGREEMENT -- 5.7%
Merrill Lynch
6.540%, dated 03/31/97,
matures 04/01/97, repurchase
price $11,389,000 (collateralized
by various FHLMC obligations,
par value $11,880,000, 6.76%,
03/19/03, total market
value: $11,617,000) 11,387 11,387
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $11,387) $ 11,387
--------
Total Investments -- 99.7%
(Cost $179,757) 198,689
--------
Other Assets and Liabilities, Net -- 0.3% 663
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
14,554,437 outstanding shares
of beneficial interest 168,553
Undistributed net investment income 344
Accumulated net realized gain
on investments 11,915
Net unrealized depreciation on futures contracts (392)
Net unrealized appreciation on investments 18,932
--------
Total Net Assets -- 100.0% $199,352
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.70
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
REIT--REAL ESTATE INVESTMENT TRUST
SMALL CAP GROWTH PORTFOLIO
COMMON STOCKS -- 92.7%
AEROSPACE DEFENSE -- 0.4%
Deltek Systems* 31,200 $ 277
Micron* 28,100 390
Tredegar Industries 1,200 48
Vistana* 42,400 477
--------
1,192
--------
AIR TRANSPORTATION -- 0.3%
Mesaba Holdings* 7,600 88
Offshore Logistics* 60,000 960
--------
1,048
--------
AIRCRAFT -- 0.2%
BE Aerospace* 20,000 490
Rohr* 12,000 207
--------
697
--------
10
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
APPAREL/TEXTILES -- 1.8%
Ashworth* 19,600 $ 157
Culp Incoporated 2,750 47
Interface 21,000 526
Nautica Enterprises* 110,950 2,788
Quaker Fabric* 18,000 234
Quiksilver* 41,600 988
St. John Knits 12,000 519
Tommy Hilfiger* 16,600 867
--------
6,126
--------
AUTOMOTIVE -- 0.2%
Gentex* 33,000 652
--------
BANKS -- 2.1%
Affiliated Community Bancorp 20,000 475
Astoria Financial 10,000 360
Bay View Capital 27,300 1,392
Coast Savings Financial* 12,000 475
Commercial Federal 7,500 253
Cullen/Frost Bankers 7,000 249
Downey Financial 15,000 304
First Savings Bank of Washington 30,600 578
Firstfed Financial* 42,100 989
Hubco 7,000 159
New York Bancorp 1,950 57
North Fork Bancorporation 10,000 361
Peoples Heritage Financial Group 13,000 400
Trans Financial 43,500 979
Westamerica Bancorporation 2,000 127
--------
7,158
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.5%
Cox Radio, Cl A* 21,400 444
Emmis Broadcasting* 15,000 580
Pegasus Communications* 18,100 199
Universal Outdoor Holdings* 21,400 621
--------
1,844
--------
BUILDING & CONSTRUCTION -- 0.2%
Jacobs Engineering Group* 15,000 367
Lennar 20,000 490
--------
857
--------
BUILDING & CONSTRUCTION SUPPLIES -- 0.5%
Miller Industries* 137,650 1,652
--------
CHEMICALS -- 0.3%
Scotts* 46,800 1,076
--------
COMMUNICATIONS EQUIPMENT -- 2.8%
Act Manufacturing* 18,200 378
Black Box* 38,600 1,037
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Checkpoint Systems* 39,500 $ 676
Comverse Technology* 15,000 592
Digital Microwave* 57,000 1,097
Dionex* 4,000 182
DSP Communications* 45,400 437
Dynatech* 17,500 525
Harman International 27,100 908
Inter-Tel* 5,000 57
Larscom Incorporated, Cl A* 44,500 373
National Wireless Holdings* 36,100 505
Sawtek* 42,200 1,213
Tekelec* 31,100 591
Ultrak* 66,700 1,201
--------
9,772
--------
COMPUTERS & SERVICES -- 4.1%
Atl Products* 33,600 290
Caere* 66,600 475
Control Data Systems* 25,000 378
Digital Lightwave* 29,200 223
Encad* 56,000 1,673
HMT Technology* 41,500 508
HNC Software* 36,200 946
Hyperion Software* 50,000 825
Innovex 50,600 1,240
Lecroy* 18,100 471
Microchip Technology* 27,100 813
Micron Electronics* 32,600 623
Micros Systems* 13,300 464
Microtouch Systems* 52,900 1,045
Natural Microsystems * 46,000 914
Network Appliance* 45,000 1,462
Printronix* 41,000 512
Trident Microsystems* 57,200 772
Verifone* 12,000 393
--------
14,027
--------
CONSUMER PRODUCTS -- 0.5%
Vans* 94,200 1,107
Wolverine World Wide 13,000 474
--------
1,581
--------
DRUGS -- 4.5%
Amylin Pharmaceticals Inc* 15,000 182
Anesta* 43,100 743
ChiRex* 45,600 467
Dura Pharmaceuticals* 85,000 3,039
Fuisz Technologies* 55,450 326
Guilford Pharmaceuticals* 80,200 1,664
IDEC Pharmaceuticals Corp* 17,100 407
Interneuron Pharmeceutical* 23,200 409
Jones Medical Industries 111,275 2,671
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Liposome* 20,500 $ 418
Medicis Pharmaceutical, Cl A* 44,400 1,321
NBTY* 6,200 94
Neurocrine Biosciences Inc* 42,800 385
Onyx Pharmaceuticals* 39,800 478
Parexel International* 52,400 1,205
Pathogenesis* 54,500 1,362
Sangstat Medical Corp* 14,400 391
--------
15,562
--------
ELECTRICAL TECHNOLOGY -- 0.8%
Concord EFS* 88,950 1,668
Komag* 21,300 647
SBS Technologies* 33,400 509
--------
2,824
--------
ENERGY & POWER -- 0.3%
Micro Linear* 83,100 1,028
--------
ENTERTAINMENT -- 1.2%
Anchor Gaming* 17,000 474
Hollywood Park* 90,200 1,161
MGM Grand* 13,100 475
Regal Cinemas* 75,850 2,048
--------
4,158
--------
ENVIRONMENTAL SERVICES -- 0.3%
Culligan Water Technologies* 12,500 489
Newpark Resources, Inc.* 10,700 468
--------
957
--------
FINANCIAL SERVICES -- 4.4%
Aames Financial 102,650 2,079
Americredit* 58,000 1,008
Central Financial Acceptance* 26,000 416
Credit Acceptance* 102,700 1,823
DVI* 10,200 113
First Alliance* 27,400 644
Four Seasons Hotel Inc* 9,100 209
Hamilton Bank Corp* 10,500 181
Imperial Credit Industries* 169,300 3,407
Metris* 25,800 645
National Surgery Centers* 17,800 516
North American Mortgage 49,500 1,009
NVR* 39,700 600
Redwood Trust 25,100 1,161
Sirrom Capital 12,700 460
The Money Store 44,600 937
--------
15,208
--------
FOOD, BEVERAGE & TOBACCO -- 0.6%
Diedrich Coffee* 64,000 288
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Morningstar Group* 93,600 $ 1,802
--------
2,090
--------
AS/NATURAL GAS -- 0.3%
Unit Corporation* 128,000 1,152
--------
GLASS PRODUCTS -- 0.3%
Libbey 32,300 1,009
--------
HOTELS & LODGING -- 1.0%
Candlewood Hotels* 61,000 538
Doubletree* 48,500 1,722
Signature Resorts* 44,600 1,048
--------
3,308
--------
HOUSEHOLD FURNITURE & FIXTURES -- 0.7%
Bush Industries 12,000 240
Ethan Allen Interiors 43,100 1,875
Furniture Brands International* 25,000 375
--------
2,490
--------
HOUSEHOLD PRODUCTS -- 0.5%
Advanced Lighting Technologies* 61,200 1,346
Semitool* 44,100 485
--------
1,831
--------
INSURANCE -- 1.9%
Amerin* 37,500 755
CMAC Investment 1,200 40
Conseco 32,684 1,164
Delphi Financial Group, Cl A* 25,100 835
Executive Risk 7,100 329
Horace Mann Educators 11,000 485
Phycor* 48,500 1,322
Total Renal Care Holdings* 36,900 1,121
United Dental Care* 14,900 402
--------
6,453
--------
LEASING & RENTING -- 0.3%
Rental Service* 20,500 389
Renters' Choice* 37,600 540
--------
929
--------
LEISURE PRODUCTS -- 0.2%
Cannondale* 28,600 529
--------
LUMBER & WOOD PRODUCTS -- 0.7%
Champion Enterprises* 163,368 2,430
--------
MACHINERY -- 3.8%
Camco International 8,000 352
Donaldson 7,000 243
Duriron 17,000 374
12
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Eagle Hardware & Garden* 50,100 $ 902
Edelbrock* 61,900 1,184
FSI International* 42,500 478
Gardner Denver Machinery* 23,800 565
Gasonics International* 60,900 868
Idex 10,000 235
JLG Industries 60,400 1,185
Kuhlman 43,900 1,021
Kulicke & Soffa Industries* 26,500 560
Lindsay Manufacturing* 525 17
Magnetek* 82,600 1,332
Manitowoc 33,500 1,210
Photronics Labs* 34,800 1,022
Thermatrix* 46,900 258
Varco International* 13,300 332
Zoltek* 37,700 957
--------
13,095
--------
MANUFACTURING -- 0.7%
West Marine* 77,100 2,544
--------
MARINE TRANSPORTATION -- 0.2%
Trico Marine Services* 17,000 807
--------
MEASURING DEVICES -- 0.3%
Benchmarq Microelectronics* 6,000 75
Molecular Dynamics* 55,100 813
--------
888
--------
MEDICAL PRODUCTS & SERVICES -- 7.6%
Algos Pharmaceuticals* 68,000 1,139
American Homepatient* 10,000 222
Closure Medical* 39,400 581
Digene* 46,300 527
Emcare Holdings Inc* 3,000 81
ESC Medical Systems* 29,700 750
FemRx* 104,100 280
Genesis Health Ventures* 16,000 500
HemaSure* 53,000 212
Hologic* 20,700 505
Horizon Mental Health
Management* 41,700 641
II-VI, Inc.* 54,400 1,346
Interim Services* 17,900 696
Invacare 10,000 235
Lunar* 7,800 267
Medquist* 120,300 2,647
Mentor Corporation/Minn 37,700 815
Molecular Biosystems* 47,800 436
Molecular Devices* 27,600 383
Multicare* 25,000 472
NCS Healthcare, Cl A* 37,700 853
Neoprobe* 48,900 660
Occusystems* 36,300 817
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Orthodontic Centers of America* 109,300 $ 1,476
Pediatrix Medical Group* 36,500 1,200
Perceptron* 15,000 394
Pharmaceutical Product
Development* 57,900 1,158
PHP Healthcare* 55,500 819
Prime Medical Services* 103,300 1,007
Renal Treatment Centers* 22,000 495
Rotech Medical* 63,000 1,150
Safeskin* 68,400 1,240
Techne* 9,000 208
Universal Health Services* 25,500 838
Urohealth Systems, Cl A* 54,900 528
Urologix* 40,300 685
--------
26,263
--------
METALS & MINING -- 0.3%
Amcol International 50,300 912
--------
MISCELLANEOUS BUSINESS SERVICES -- 15.1%
Abacus Direct* 31,300 665
Acxiom* 33,000 474
Advanced Technologies
Laboratories* 24,200 717
Allin Communications* 44,900 629
Arbor Software* 37,900 947
Aspen Technology* 116,900 3,186
Avant* 27,400 743
BDM International* 40,000 880
Bowne 39,600 1,074
BTG* 20,000 350
Caci International* 25,000 406
Cambridge Technology Partners* 58,200 1,346
Clarify* 48,400 1,168
Computer Data Systems 8,500 256
Credit Management Solutions* 44,600 457
Dataworks* 82,100 1,190
Decisionone Holdings* 56,500 847
Electronics for Imaging* 46,200 1,842
Envoy* 44,400 1,038
Fair, Isaac & Company 15,000 542
Infinity Financial* 52,000 897
Insight Enterprises* 44,000 1,089
Intevac* 57,400 804
Iona Technologies Plc* 18,000 324
JDA Software Group* 90,300 1,840
Logicon 14,000 495
Manugistics* 28,100 1,026
McAfee Associates* 29,575 1,309
Medic Computer Systems* 11,000 176
Meta Group* 31,500 606
National Techteam* 75,200 1,166
NCO Group* 18,000 394
Network General* 22,800 490
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Orcad* 69,200 $ 536
Overland Data* 35,000 175
Parametric Technology* 13,100 591
Peerless Systems* 131,700 1,531
Pegasystems* 30,400 612
Planning Sciences
International, ADR* 61,500 553
PMT Services* 47,500 522
Project Software & Development* 16,500 528
Pure Atria* 41,700 712
Qualix Group* 84,100 463
Rational Software* 22,500 464
Registry* 22,600 802
Renaissance Solutions* 11,400 288
Scopus Technology* 16,950 509
Security Dynamics Technology* 16,100 394
Siebel Systems* 79,000 1,323
Spectrum Holobyte* 150,000 938
SPSS* 11,800 294
Summit Design* 87,100 697
Sunquest* 60,700 592
Synopsys* 17,700 443
Systemsoft Corp* 63,500 635
Technology Solutions* 34,700 959
Unison Software* 11,900 76
Veritas Software* 41,600 1,232
Viasoft* 23,600 767
Videoserver* 20,000 473
Viewlogic Systems* 72,900 1,016
Visio* 40,600 1,583
Wackenhut Corrections* 45,700 731
Wall Data* 35,900 574
Wind River Systems* 39,000 921
Xircom* 42,800 647
--------
51,954
--------
MISCELLANEOUS CONSUMER SERVICES -- 0.5%
Accustaff* 25,139 421
Corestaff* 21,100 417
G&K Services, Inc. 12,000 360
Robert Half International* 7,000 244
Romac International* 13,400 237
--------
1,679
--------
MISCELLANEOUS MANUFACTURING -- 0.1%
Auspex Systems* 14,900 172
Cable Design Technologies* 6,500 145
--------
317
--------
OFFICE FURNITURE & FIXTURES -- 0.4%
Kimball International 32,300 1,227
--------
PAPER & PAPER PRODUCTS -- 0.1%
Republic Group 33,110 505
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 5.6%
Belden & Blake* 49,700 $ 1,286
Cabot Oil & Gas, Cl A 24,000 420
Cliffs Drilling* 31,900 1,894
Comstock Resources* 25,000 216
Cross Timbers Oil 67,950 1,062
Edge Petroleum* 34,200 547
Energy Ventures* 4,700 290
Ensco International* 9,200 453
Marine Drilling* 151,300 2,686
Noble Drilling* 32,500 561
Nuevo Energy* 11,000 422
Oceaneering International* 95,400 1,491
Patterson Energy* 52,700 1,456
Pool Energy Services* 74,900 1,105
Pride Petroleum Service* 26,500 550
Seacor Holdings* 7,500 402
Seitel* 36,700 1,298
Stone Energy* 51,000 1,224
Swift Energy* 33,100 782
Titan Exploration* 82,400 700
Veritas DGC* 20,000 395
--------
19,240
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.0%
Seattle Filmworks* 4,500 50
--------
PRINTING & PUBLISHING -- 0.8%
Desktop Data* 22,600 288
Lone Star Industries 28,200 1,093
Southdown 37,500 1,284
--------
2,665
--------
PROFESSIONAL SERVICES -- 2.1%
Cornell Corrections Inc* 20,700 210
Devry* 25,000 550
Ecsoft Group Plc* 59,400 497
Educational Management* 26,000 592
Equity International* 105,050 2,206
F.Y.I., Inc. 20,100 415
Intelliquest Information Group* 24,200 339
Nichols Research* 20,000 330
Sylvan Learning Systems* 73,800 1,827
Tetra Tech* 8,000 117
--------
7,083
--------
RAILROADS -- 0.6%
Genessee and Wyoming* 36,300 1,153
Railtex* 41,400 688
Rural/Metro Corporation* 12,500 381
--------
2,222
--------
REPAIR SERVICES -- 0.1%
Rollins Truck Leasing 16,000 212
--------
14
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 8.4%
American Medserve* 25,700 $ 302
Arbor Drugs 20,000 350
CDW Computer Centers* 23,150 1,043
CKE Restaurants 81,300 1,799
Coldwater Creek* 25,800 358
Dollar Tree Stores* 39,650 1,467
Dress Barn* 70,900 1,196
Filene's Basement* 128,900 870
Fine Host* 18,400 432
Foodmaker* 42,800 433
Gadzooks* 30,600 964
Hollywood Entertainment* 33,000 804
Kenneth Cole Productions* 42,000 882
Landry's Seafood Restaurants* 67,200 1,067
Loehmann's Holdings* 23,000 403
Men's Wearhouse* 39,000 1,073
Micro Warehouse* 82,100 1,078
Mueller Industries* 1,100 43
Omnicare 80,300 1,887
Papa John's International* 55,800 1,472
Petco Animal Supplies* 50,600 1,189
Proffitts* 18,500 698
Quality Food Centers* 14,200 596
Rainforest Cafe* 16,400 324
Rexall Sundown* 125,450 3,215
Ross Stores 117,800 2,989
Stage Stores* 45,200 994
Williams Sonoma* 19,200 552
Zale* 20,500 377
--------
28,857
--------
RUBBER & PLASTIC -- 2.3%
Carlisle 10,000 293
Computer Products* 30,000 439
Elantec Semiconductor* 118,200 369
Just for Feet* 42,900 740
MRV Communications* 18,200 405
Oak Technology* 147,900 1,497
Remec* 50,500 1,086
S3* 33,000 429
Sanmina* 43,700 1,956
Vitesse Semiconductor* 21,900 605
--------
7,819
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.9%
Applied Magnetics* 11,800 333
Cymer* 13,200 474
Cypress Semiconductor* 53,500 669
Flextronics International* 15,300 304
Hutchinson Technology* 23,000 656
Integrated Device Technology* 58,200 582
Methode Electronics 20,000 280
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Read-Rite* 26,900 $ 679
Triquint Semiconductor* 34,800 831
Unitrode* 29,500 959
VLSI Technology* 36,200 627
--------
6,394
--------
SPECIALTY CONSTRUCTION -- 0.6%
Apogee Enterprises 83,000 1,639
Oakwood Homes 25,000 441
--------
2,080
--------
STEEL & STEEL WORKS -- 0.6%
Maverick Tube* 82,000 1,456
Oregon Metallurgical* 7,200 130
Precision Castparts 10,000 510
--------
2,096
--------
TELEPHONES & TELECOMMUNICATION -- 3.0%
ACC* 19,350 431
Boston Technology* 51,300 968
Brightpoint* 59,137 961
Midcom Communications* 52,400 419
Orion Network Systems* 65,100 561
P-Com* 22,800 593
Pacific Gateway Exchange* 22,700 568
Pairgain Technologies* 76,800 2,275
Periophonics* 30,000 443
Telco Communications Group* 78,600 1,562
Teletech Holdings* 20,600 407
United Video Satellite Group,
Ser A* 59,300 993
--------
10,181
--------
TESTING LABORATORIES -- 0.8%
Atrix Labs* 5,200 57
Curative Technologies* 36,600 842
International Telecommunications
Data Systems* 25,100 427
Martek Biosciences* 40,700 712
Quintiles Transnational* 16,600 894
--------
2,932
--------
TRUCKING -- 0.9%
Air Express International 8,000 254
Expeditors International of
Washington 52,600 1,262
Gilead Sciences* 15,600 357
Swift Transportation* 14,000 357
US Freightways 20,000 518
Werner Enterprises 10,000 188
--------
2,936
--------
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 4.0%
AAR Corp. 10,000 $ 300
Amerisource Health* 7,000 306
Barnett* 24,400 500
Bell Microproducts* 80,800 990
Cellstar* 38,300 814
Central Garden and Pet* 40,000 725
Ha Lo Industries* 43,475 663
Harmonic Lightwaves* 31,500 433
Henry Schein* 42,900 1,244
Hughes Supply 13,900 453
Inso* 27,100 1,018
Iron Mountain* 30,300 750
JP Food Service* 17,500 483
North Face* 73,200 1,217
Physician Sales & Services* 29,900 377
Playboy Enterprises* 72,500 1,115
Richfood Holdings 30,000 563
Serologicals* 43,150 647
Technical Chemical & Products* 26,900 222
US Office Products* 22,100 547
Winstar Communications* 27,200 316
--------
13,683
--------
Total Common Stocks
(Cost $326,333) 318,281
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills
0.000%, 09/18/97 (A) $ 700 682
--------
Total U.S. Treasury Obligation
(Cost $683) 682
--------
REPURCHASE AGREEMENT -- 7.5%
J.P. Morgan
6.380%, dated 03/31/97,
matures 04/01/97, repurchase
price $25,791,000 (collateralized by
various FHLMC obligations, par
value $26,292,000, 0.000%-6.070%,
04/18/97-11/20/98, total
market value: $26,302,000) 25,786 25,786
--------
Total Repurchase Agreement
(Cost $25,786) 25,786
--------
Total Investments -- 100.4%
(Cost $352,802) 344,749
--------
Other Assets and Liabilities, Net -- (0.4%) (1,513)
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
25,304,209 outstanding shares of
beneficial interest $338,973
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
118,774 outstanding shares of
beneficial interest 2,000
Accumulated net investment loss (932)
Accumulated net realized gain
on investments 12,149
Net unrealized depreciation on
futures contracts (901)
Net unrealized depreciation
on investments (8,053)
--------
Total Net Assets -- 100.0% $343,236
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.50
========
Net Asset Value and Redemption
Price Per Share -- Class D $13.30
========
Maximum Offering Price Per
Share -- Class D ($13.30/95%) $14.00
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SER--SERIES
MID-CAP PORTFOLIO
COMMON STOCKS -- 98.3%
AEROSPACE & DEFENSE -- 2.5%
Litton Industries* 4,300 $ 173
SCI Systems* 9,900 501
--------
674
--------
AGRICULTURE -- 0.6%
Dole Food 4,400 166
--------
AIR TRANSPORTATION -- 1.8%
Delta Air Lines 5,900 496
--------
AIRCRAFT -- 1.9%
Northrop 6,600 499
--------
16
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
APPAREL/TEXTILES -- 1.0%
Fruit of the Loom, Cl A* 6,800 $ 282
--------
AUTOMOTIVE -- 0.4%
JLG Industries 5,900 116
--------
BANKS -- 6.7%
Bankers Trust New York 1,400 115
Comerica 6,000 338
First Empire State 300 96
Republic New York 5,900 520
SouthTrust 9,200 332
TCF Financial 9,900 392
--------
1,793
--------
BEAUTY PRODUCTS -- 0.6%
Avon Products 3,200 168
--------
CHEMICALS -- 4.4%
Cabot 2,500 60
FMC* 4,600 282
Terra Industries 24,900 349
Union Carbide 10,900 482
--------
1,173
--------
COMMUNICATIONS EQUIPMENT -- 0.4%
General Instrument* 5,000 114
--------
COMPUTERS & SERVICES -- 6.0%
Ceridian* 9,400 337
Gateway 2000* 4,100 210
Quantum* 3,700 143
Seagate Technology* 7,600 341
Western Digital* 10,100 572
--------
1,603
--------
CONTAINERS & PACKAGING -- 2.0%
Owens-Illinois* 21,900 539
--------
DRUGS -- 0.7%
Watson Pharmaceuticals* 5,200 186
--------
ELECTRICAL SERVICES -- 6.9%
Boston Edison 2,800 74
Centerior Energy 20,600 209
Entergy 7,100 174
Illinova 11,500 263
New York State Electric & Gas 16,300 353
Niagara Mohawk Power* 42,300 360
Ohio Edison 11,000 232
Rochester Gas & Electric 10,300 196
--------
1,861
--------
ENTERTAINMENT -- 0.6%
King World Productions* 4,300 157
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.9%
Bear Stearns 17,115 $ 449
Countrywide Credit Industries 10,800 267
Painewebber Group 4,200 119
Salomon 9,500 474
--------
1,309
--------
FOOD, BEVERAGE & TOBACCO -- 3.3%
IBP 17,200 424
Lancaster Colony 7,500 345
Ralston-Ralston Purina 1,700 133
--------
902
--------
GAS/NATURAL GAS -- 3.5%
Columbia Gas System 7,800 451
National Fuel & Gas 11,400 487
--------
938
--------
INSURANCE -- 7.5%
Ambac, Inc. 7,900 510
Conseco 2,900 103
Equifax 6,200 169
Equitable 7,200 196
Old Republic International 12,200 313
Providian 1,800 96
Torchmark 2,000 111
Wellpoint Health Networks* 12,300 511
--------
2,009
--------
LEASING & RENTING -- 1.8%
Comdisco 15,750 490
--------
LEISURE PRODUCTS -- 0.6%
Callaway Golf 5,600 160
--------
MACHINERY -- 3.8%
Brunswick 2,800 75
Harnischfeger Industries 10,200 474
Ingersoll Rand 2,300 100
Trinova 11,300 379
--------
1,028
--------
MEASURING DEVICES -- 3.3%
Beckman Instruments 10,300 433
Tektronix 7,300 369
Wheelabrator Technologies 6,200 81
--------
883
--------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Apria Healthcare Group* 12,200 221
Tenet Healthcare* 4,600 113
--------
334
--------
METALS & MINING -- 0.7%
Phelps Dodge 2,500 183
--------
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
MID CAP PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 3.3%
BMC Software* 10,400 $ 480
GTech* 8,000 241
Novell* 16,800 160
--------
881
--------
MISCELLANEOUS MANUFACTURING -- 3.4%
International Game Technology 14,400 232
Mark IV Industries 5,300 125
Trinity Industries 6,500 198
USX-U.S. Steel Group 13,300 354
--------
909
--------
MISCELLANEOUS TRANSPORTATION -- 1.2%
Harsco 8,800 320
--------
PAPER & PAPER PRODUCTS -- 0.5%
Westvaco 5,300 133
--------
PETROLEUM & FUEL PRODUCTS -- 4.0%
Global Marine* 8,700 187
Rowan* 18,100 410
Tidewater 6,200 285
Union Texas Petroleum 10,200 187
--------
1,069
--------
PETROLEUM REFINING -- 0.8%
Lyondell Petrochemical 9,200 211
--------
PRINTING & PUBLISHING -- 3.2%
American Greetings, Cl A 13,700 438
Washington Post, Cl B 1,200 413
--------
851
--------
RAILROADS -- 1.5%
Illinois Central 12,900 406
--------
RETAIL -- 5.5%
Dayton-Hudson 11,000 459
F.W. Woolworth* 21,300 498
Federated Department Stores* 3,400 112
Gap 2,200 74
Lone Star Steakhouse & Saloon* 10,400 238
Pacific Enterprises 3,200 97
--------
1,478
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.8%
Atmel* 9,200 220
--------
SPECIALTY CONSTRUCTION -- 0.5%
Oakwood Homes 7,600 134
--------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 1.2%
Century Telephone Enterprises 11,200 $ 330
--------
WHOLESALE -- 5.3%
Arrow Electronics* 8,200 462
Bergen Brunswig, Cl A 7,700 229
First Brands 16,200 397
Safeway* 3,200 148
Supervalu 6,600 196
--------
1,432
--------
Total Common Stocks
(Cost $23,425) 26,437
--------
REPURCHASE AGREEMENT -- 1.2%
J.P. Morgan
6.450%, dated 03/31/97, matures 04/01/97,
repurchase price $328,000 (collateralized
by FHLMC obligation, par value
$350,000, 7.000%, 06/02/26
total market value: $335,000) $ 328 328
--------
Total Repurchase Agreement
(Cost $328) 328
--------
Total Investments -- 99.5%
(Cost $23,753) 26,765
--------
Other Assets and Liabilities, Net -- 0.5% 145
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
1,807,824 outstanding shares of
beneficial interest 22,325
Undistributed net investment income 47
Accumulated net realized gain
on investments 1,526
Net unrealized appreciation on investments 3,012
--------
Total Net Assets -- 100.0% $ 26,910
========
Net asset value, offering and redemption
price per share -- Class A $14.89
========
* NON-INCOME PRODUCING SECURITY
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA--STUDENT LOAN MARKETING ASSOCIATION
18
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 88.1%
AIR TRANSPORTATION -- 0.8%
Delta Air Lines 16,000 $ 1,346
--------
AIRCRAFT -- 4.4%
Allied Signal 47,700 3,399
Lockheed Martin 24,300 2,041
United Technologies 27,200 2,047
--------
7,487
--------
AUTOMOTIVE -- 0.5%
Ford Motor 28,500 894
--------
BANKS -- 5.3%
Bank of New York 11,200 412
BankAmerica 15,200 1,531
Chase Manhattan 35,200 3,296
First Chicago 21,000 1,137
First Union 3,200 260
Great Western Financial 4,000 161
Mellon Bank 29,100 2,117
U.S. Bancorp 1,400 75
--------
8,989
--------
BEAUTY PRODUCTS -- 1.7%
Avon Products 31,900 1,675
Colgate Palmolive 5,300 528
Procter & Gamble 5,800 667
--------
2,870
--------
BUILDING & CONSTRUCTION -- 0.4%
Fluor 11,700 614
--------
CHEMICALS -- 2.1%
Hercules 27,200 1,149
Monsanto 34,400 1,316
Praxair 13,600 610
W.R. Grace 9,200 436
--------
3,511
--------
COMMUNICATIONS EQUIPMENT -- 0.8%
Scientific-Atlanta 88,100 1,344
--------
COMPUTERS & SERVICES -- 3.5%
Ceridian* 19,500 700
Cisco Systems* 44,600 2,146
Hewlett Packard 19,300 1,028
IBM 11,400 1,566
US Robotics* 7,800 432
--------
5,872
--------
DRUGS -- 6.3%
Alza* 2,400 66
American Home Products 58,200 3,492
Amgen* 8,200 458
Bristol-Myers Squibb 22,600 1,333
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Eli Lilly 13,900 $ 1,143
Medpartners* 16,900 359
Merck 22,300 1,879
Pfizer 14,600 1,228
Schering Plough 10,300 749
--------
10,707
--------
ELECTRICAL SERVICES -- 0.7%
Central & South West 57,200 1,223
--------
ENTERTAINMENT -- 0.3%
Walt Disney 6,500 474
--------
ENVIRONMENTAL SERVICES -- 0.4%
USA Waste Services* 17,300 614
--------
FINANCIAL SERVICES -- 2.6%
Dean Witter Discover 13,200 460
FHLMC 28,200 768
First USA 30,100 1,275
FNMA 29,700 1,073
Textron 8,400 882
--------
4,458
--------
FOOD, BEVERAGE & TOBACCO -- 2.0%
Coca-Cola 3,400 190
CPC International 14,800 1,214
Ralston-Ralston Purina Group 4,500 352
RJR Nabisco 10,900 352
Sara Lee 30,200 1,223
--------
3,331
--------
GAS/NATURAL GAS -- 0.4%
Consolidated Natural Gas 6,700 338
Enron 9,000 342
--------
680
--------
HOTELS & LODGING -- 1.2%
ITT* 16,200 954
Marriott International 21,000 1,045
--------
1,999
--------
HOUSEHOLD PRODUCTS -- 3.0%
General Electric 51,200 5,082
--------
INSURANCE -- 4.8%
American International Group 9,700 1,139
GCR Holdings 20,300 464
General Re 6,600 1,043
ITT Hartford Group 34,900 2,517
MGIC Investment 1,400 99
PMI Group 17,900 897
Travelers 41,231 1,974
Washington National 3,200 89
--------
8,222
--------
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
LEISURE PRODUCTS -- 0.8%
Mattel 59,750 $ 1,434
--------
MACHINERY -- 5.4%
Deere 42,400 1,844
Dresser Industries 31,300 947
Emerson Electric 41,600 1,872
General Signal 43,300 1,694
Tyco Labs 49,900 2,744
--------
9,101
--------
MARINE TRANSPORTATION -- 1.1%
Carnival, Cl A 50,400 1,865
--------
MEASURING DEVICES -- 0.3%
Wheelabrator Technologies 45,000 591
--------
MEDICAL PRODUCTS & SERVICES -- 4.8%
Baxter International 31,400 1,354
Columbia/HCA Healthcare 79,780 2,683
Healthsouth Rehabilitation* 77,800 1,488
Medtronic 5,000 311
Target Therapeutics* 8,900 585
Tenet Healthcare* 23,800 586
Vencor* 28,500 1,079
--------
8,086
--------
METALS & MINING -- 1.0%
Morton International 21,400 904
Potash of Saskatchewan 10,000 760
--------
1,664
--------
MISCELLANEOUS BUSINESS SERVICES -- 4.3%
Cadence Design Systems* 2,300 79
CUC International* 26,100 587
Electronic Data Systems 6,100 246
First Data 55,300 1,873
Informix* 30,500 461
Microsoft* 33,700 3,090
Oracle Systems* 23,350 900
--------
7,236
--------
OFFICE FURNITURE & FIXTURES -- 0.9%
Lear* 46,800 1,562
--------
PETROLEUM & FUEL PRODUCTS -- 1.6%
Kerr-McGee 10,500 650
Schlumberger 4,400 472
Union Pacific Resources 59,194 1,583
--------
2,705
--------
PETROLEUM REFINING -- 1.6%
Mobil 13,900 1,816
Royal Dutch Petroleum 4,800 840
--------
2,656
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 2.1%
Eastman Kodak 23,800 $ 1,806
Xerox 30,600 1,740
--------
3,546
--------
PRINTING & PUBLISHING -- 2.1%
Gannett 8,000 687
Knight-Ridder 20,100 801
Viacom, Cl B* 60,600 2,007
--------
3,495
--------
PROFESSIONAL SERVICES -- 0.8%
Halliburton 19,900 1,348
--------
RAILROADS -- 1.6%
Burlington Northern Santa Fe 19,200 1,421
Union Pacific 22,900 1,300
--------
2,721
--------
RETAIL -- 7.7%
American Stores 40,100 1,784
Borders Group* 10,400 196
Costco* 10,300 285
CVS 50,000 2,306
Federated Department Stores* 50,500 1,660
Home Depot 43,600 2,333
Intimate Brands 15,300 289
McDonald's 21,400 1,011
Office Depot* 73,100 1,489
PepsiCo 47,600 1,553
Wal-Mart Stores 4,900 137
Wendy's International 3,700 76
--------
13,119
--------
RUBBER & PLASTIC -- 0.2%
Tupperware 10,000 335
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.4%
Intel 17,200 2,393
--------
SPECIALTY CONSTRUCTION -- 0.7%
L.M. Ericsson Telephone, ADR* 36,100 1,221
--------
STEEL & STEEL WORKS -- 0.7%
Aluminum Company of America 17,000 1,156
--------
TELEPHONES & TELECOMMUNICATION -- 0.8%
Bell Atlantic 1,800 110
Lucent Technologies 22,400 1,182
--------
1,292
--------
WASTE MANAGEMENT -- 0.3%
Molten Metal Technology* 65,500 573
--------
20
<PAGE>
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 6.7%
General Motors 4,700 $ 260
Gillette 29,300 2,128
Johnson & Johnson 52,400 2,771
Motorola 23,700 1,431
Philip Morris 20,600 2,351
Sysco 50,900 1,737
Unilever NV, ADR 4,000 745
--------
11,423
--------
Total Common Stocks
(Cost $133,332) 149,239
--------
PREFERRED STOCKS -- 1.8%
BANKS -- 0.3%
National Bank of Austrailia,
Convertible to 0.3273 shares* 20,000 500
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.9%
Microsoft, Convertible until
12/15/99 @ 2.75% 18,500 1,501
--------
PAPER & PAPER PRODUCTS -- 0.4%
International Paper, Convertible
to 0.9259 shares (A)* 15,000 675
--------
TELEPHONES & TELECOMMUNICATION -- 0.2%
Sprint, Convertible to 0.8673
shares 12,000 412
--------
Total Preferred Stocks
(Cost $3,126) 3,088
--------
CONVERTIBLE BONDS -- 5.2%
Alza, Convertible to 12.987 shares
0.000%, 07/14/14 $2,500 1,072
Masco, Convertible To 23.3640 shares
5.250%, 02/15/12 1,850 1,815
Office Depot, Convertible
To 19.5090 shares
0.000%, 12/11/07 700 472
Potomac Electric Power,
Convertible to 29.50 shares
5.000%, 09/01/02 1,800 1,661
U.S. Filter, Convertible to
25.3164 shares
4.500%, 12/15/01 2,000 1,998
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 2,000 1,793
--------
Total Convertible Bonds
(Cost $8,836) 8,811
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills
0.000%, 09/18/97 (A) $ 500 $ 487
--------
Total U.S. Treasury Obligation
(Cost $487) 487
--------
REPURCHASE AGREEMENT -- 4.4%
J.P. Morgan
6.450%, dated 03/31/97, matures 04/01/97,
repurchase price $7,422,000
(collateralized by GNMA obligation,
par value $7,600,000, 6.000%,
08/20/26, total
market value:$7,577,000) 7,421 7,421
--------
Total Repurchase Agreement
(Cost $7,421) 7,421
--------
Total Investments -- 99.8%
(Cost $153,202) 169,046
--------
Other Assets and Liabilities, Net -- 0.2% 372
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
11,629,591 outstanding shares
of beneficial interest 134,219
Undistributed net investment income 568
Accumulated net realized gain
on investments 19,159
Net unrealized depreciation on futures contracts (372)
Net unrealized appreciation on investments 15,844
--------
Total Net Assets -- 100.0% $169,418
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.57
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.5%
AUTOMOTIVE -- 3.1%
Chrysler 82,100 $ 2,463
Genuine Parts 64,400 3,003
--------
5,466
--------
BANKS -- 10.5%
Banc One 126,800 5,040
BankAmerica 14,900 1,501
Fleet Financial Group 60,500 3,464
JP Morgan 33,925 3,333
National City 49,700 2,317
US Bancorp 57,200 3,060
--------
18,715
--------
BEAUTY PRODUCTS -- 0.8%
International Flavors &
Fragrances 34,000 1,488
--------
CHEMICALS -- 4.7%
Betz Laboratories 33,200 2,096
BF Goodrich 75,500 2,765
Rohm & Haas 24,500 1,834
Witco Chemical 50,200 1,707
--------
8,402
--------
COMMUNICATIONS EQUIPMENT -- 1.7%
GTE 62,900 2,933
--------
DRUGS -- 6.1%
American Home Products 29,900 1,794
Bristol-Myers Squibb 88,825 5,241
Pharmacia & Upjohn 49,100 1,798
Smithkline Beecham, PLC, ADR 29,300 2,051
--------
10,884
--------
ELECTRICAL SERVICES -- 4.0%
Baltimore Gas & Electric 93,250 2,494
Pacificorp 75,325 1,610
TECO Energy 71,500 1,716
Wisconsin Energy 50,900 1,247
--------
7,067
--------
ENVIRONMENTAL SERVICES -- 0.8%
Browning-Ferris Industries 50,200 1,450
--------
FINANCIAL SERVICES -- 0.7%
Beneficial 2,075 134
FNMA 31,300 1,131
--------
1,265
--------
FOOD, BEVERAGE & TOBACCO -- 8.0%
American Brands 34,200 1,731
Anheuser Busch 86,600 3,648
General Mills 56,800 3,529
HJ Heinz 87,400 3,452
Kellogg 26,300 1,769
--------
14,129
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GAS/NATURAL GAS -- 1.4%
Consolidated Natural Gas 51,100 $ 2,574
--------
HOUSEHOLD PRODUCTS -- 1.9%
Clorox 11,375 1,275
General Electric 20,800 2,064
--------
3,339
--------
INSURANCE -- 8.8%
American General 63,200 2,575
Jefferson Pilot 30,000 1,631
Lincoln National 36,034 1,928
Marsh & McLennan 42,100 4,768
Safeco 47,100 1,884
St. Paul 42,600 2,764
--------
15,550
--------
LEASING & RENTING -- 1.2%
Pitney Bowes 37,700 2,215
--------
LUMBER & WOOD PRODUCTS -- 0.8%
Georgia-Pacific 19,200 1,392
--------
MACHINERY -- 2.3%
Dresser Industries 50,200 1,519
Tenneco 64,050 2,498
--------
4,017
--------
MEDICAL PRODUCTS & SERVICES -- 2.0%
Baxter International 84,175 3,630
--------
MISCELLANEOUS MANUFACTURING -- 2.2%
Minnesota Mining &
Manufacturing 45,700 3,862
--------
PAPER & PAPER PRODUCTS -- 3.1%
International Paper 37,600 1,462
Union Camp 35,200 1,659
Weyerhaeuser 54,775 2,444
--------
5,565
--------
PETROLEUM & FUEL PRODUCTS -- 3.6%
Atlantic Richfield 39,800 5,373
Phillips Petroleum 25,200 1,030
--------
6,403
--------
PETROLEUM REFINING -- 10.0%
Amoco 65,150 5,644
Chevron 47,300 3,293
Exxon 40,550 4,369
Mobil 13,900 1,816
Texaco 23,600 2,584
--------
17,706
--------
PRINTING & PUBLISHING -- 4.0%
McGraw-Hill 107,000 5,470
R.R. Donnelley & Sons 45,425 1,584
--------
7,054
--------
22
<PAGE>
- --------------------------------------------------------------------------------
SHARE/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
RAILROADS -- 1.1%
Union Pacific 35,125 $ 1,993
--------
RETAIL -- 3.3%
JC Penney 66,975 3,190
May Department Stores 58,725 2,672
--------
5,862
--------
RUBBER & PLASTIC -- 1.5%
Dow Chemical 32,900 2,632
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.5%
AMP 74,475 2,560
Thomas & Betts 42,600 1,821
--------
4,381
--------
SPECIALTY MACHINERY -- 1.4%
Cooper Industries 58,400 2,533
--------
SPECIALTY SERVICES -- 1.2%
National Service Industries 52,393 2,050
--------
TELEPHONES & TELECOMMUNICATION -- 4.8%
Ameritech 34,425 2,117
Bell Atlantic 34,300 2,088
BellSouth 38,200 1,614
NYNEX 42,400 1,935
US West 21,166 720
--------
8,474
--------
Total Common Stocks
(Cost $138,208) 173,031
--------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills
0.000%, 09/18/97 (A) $ 200 195
--------
Total U.S. Treasury Obligation
(Cost $195) 195
--------
REPURCHASE AGREEMENT -- 2.5%
J.P. Morgan
5.140%, dated 03/31/97, matures 04/01/97,
repurchase price $43,715,000 (collateralized
by GNMA obligation, par value $4,500,000,
6.000%, 08/20/26, total market
value: $4,487,000) 4,374 4,374
--------
Total Repurchase Agreement
(Cost $4,374) 4,374
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Investments -- 100.1%
(Cost $142,777) $177,600
--------
Other Assets and Liabilities, Net -- (0.1%) (150)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
11,930,304 outstanding shares of
beneficial interest 131,726
Undistributed net investment income 1,179
Accumulated net realized gain
on investments 9,870
Net unrealized depreciation on futures contracts (148)
Net unrealized appreciation on investments 34,823
--------
Total Net Assets -- 100.0% $177,450
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.87
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
BALANCED PORTFOLIO
COMMON STOCKS -- 47.5%
AIR TRANSPORTATION -- 0.2%
Delta Air Lines 1,100 $ 93
--------
AIRCRAFT -- 2.6%
Allied Signal 7,800 556
Boeing 700 69
Lockheed Martin 3,300 277
United Technologies 4,600 346
--------
1,248
--------
AUTOMOTIVE -- 0.2%
Ford Motor 2,500 78
--------
BANKS -- 2.7%
Bank of New York 1,800 66
BankAmerica 2,400 242
Chase Manhattan 5,800 543
First Chicago 1,000 54
First Union 500 41
Great Western Financial 600 24
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Mellon 4,600 $ 335
U.S. Bancorp 200 11
--------
1,316
--------
BEAUTY PRODUCTS -- 0.9%
Avon Products 5,100 268
Colgate-Palmolive 800 80
Procter & Gamble 900 103
--------
451
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.0%
TCI Satellite Entertainment* 1,420 11
--------
BUILDING & CONSTRUCTION -- 0.2%
Fluor 1,800 94
--------
CHEMICALS -- 1.2%
Hercules 5,100 215
Monsanto 5,400 207
Praxair 2,200 99
W.R. Grace 1,500 71
--------
592
--------
COMMUNICATIONS EQUIPMENT -- 0.4%
Scientific-Atlanta 14,300 218
--------
COMPUTERS & SERVICES -- 1.9%
Ceridian* 2,600 93
Cisco Systems* 7,300 351
Hewlett Packard 3,000 160
IBM 1,700 234
US Robotics* 1,200 66
--------
904
--------
DRUGS -- 3.5%
Alza* 400 11
American Home Products 9,200 552
Amgen* 1,300 73
Bristol-Myers Squibb 3,600 212
Eli Lilly 2,200 181
Medpartners* 2,700 57
Merck 3,500 295
Pfizer 2,300 193
Schering Plough 1,600 116
--------
1,690
--------
ELECTRICAL SERVICES -- 0.3%
Central & South West 7,000 150
--------
ENTERTAINMENT -- 0.2%
Walt Disney 1,036 76
--------
ENVIRONMENTAL SERVICES -- 0.2%
USA Waste Services* 2,700 96
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.6%
American Express 1,300 $ 78
Dean Witter Discover 2 73
FHLMC 4,500 123
First USA 5,100 216
FNMA 4,700 170
Textron 1,300 137
--------
797
--------
FOOD, BEVERAGE & TOBACCO -- 1.2%
Conagra 500 27
CPC International 2,300 189
Ralston-Ralston Purina 700 55
RJR Nabisco 3,200 103
Sara Lee 4,700 190
--------
564
--------
GAS/NATURAL GAS -- 0.3%
Consolidated Natural Gas 1,100 55
Enron 1,400 53
Panenergy 800 35
--------
143
--------
HOTELS & LODGING -- 0.4%
ITT* 2,600 153
Marriott International 600 30
--------
183
--------
HOUSEHOLD PRODUCTS -- 1.6%
General Electric 8,000 794
--------
INSURANCE -- 2.4%
American International Group 1,650 194
GCR Holdings 2,000 46
General Re 1,000 158
ITT Hartford Group 5,500 397
MGIC Investment 200 14
Pacificare Health Systems, Cl B* 600 52
Travelers 6,520 312
Washington National 500 14
--------
1,187
--------
LEISURE PRODUCTS -- 0.4%
Mattel 8,900 214
--------
MACHINERY -- 3.1%
Deere 6,700 291
Dresser Industries 4,800 145
Emerson Electric 7,600 342
General Signal 7,000 274
Tyco Labs 7,900 435
--------
1,487
--------
24
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MARINE TRANSPORTATION -- 0.6%
Carnival 7,900 $ 292
--------
MEDICAL PRODUCTS & SERVICES -- 2.5%
Baxter International 5,900 254
Becton, Dickinson 300 14
Columbia/HCA Healthcare 12,030 405
Healthsouth Rehabilitation* 11,000 210
Medtronic 0 12
Target Therapeutics* 1,000 66
Tenet Healthcare* 3,700 91
Vencor* 4,500 170
--------
1,222
--------
METALS & MINING -- 0.5%
Morton International 3,600 152
Potash of Saskatchewan 1,500 114
--------
266
--------
MISCELLANEOUS BUSINESS SERVICES -- 2.2%
Cadence Design Systems* 400 14
CUC International* 4,100 92
Electronic Data Systems 1,000 40
First Data 8,100 274
Informix* 1,300 20
Microsoft* 5,400 495
Oracle Systems* 3,700 143
--------
1,078
--------
OFFICE FURNITURE & FIXTURES -- 0.5%
Lear* 7,400 247
--------
PETROLEUM & FUEL PRODUCTS -- 0.8%
Kerr-McGee 1,900 118
Schlumberger 700 75
Union Pacific Resources 7,326 196
--------
389
--------
PETROLEUM REFINING -- 0.9%
British Petroleum, PLC, ADR 2 --
Mobil 2,100 274
Royal Dutch Petroleum 800 140
--------
414
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.2%
Eastman Kodak 3,800 288
Xerox 4,800 273
--------
561
--------
PRINTING & PUBLISHING -- 1.2%
Gannett 1,300 112
Knight-Ridder 3,200 128
McGraw-Hill 700 36
Viacom, Cl B* 9,565 317
--------
593
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PROFESSIONAL SERVICES -- 0.4%
Halliburton 3,100 $ 210
--------
RAILROADS -- 0.7%
Burlington Northern Santa Fe 3,000 222
Union Pacific 1,900 108
--------
330
--------
RETAIL -- 4.3%
American Stores 6,300 280
Borders Group* 1,600 30
Costco* 5,400 149
CVS 6,600 304
Federated Department Stores* 7,900 260
Home Depot 6,733 360
Intimate Brands 3,500 66
McDonald's 3,400 161
Office Depot* 10,200 208
PepsiCo 7,500 245
Wal-Mart Stores 800 22
Wendy's International 600 12
--------
2,097
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Atmel* 1,600 38
Intel 2,700 376
--------
414
--------
SPECIALTY CONSTRUCTION -- 0.4%
L.M. Ericsson Telephone, ADR* 5,700 193
--------
SPECIALTY MACHINERY -- 0.1%
American Standard* 1,400 63
--------
STEEL & STEEL WORKS -- 0.4%
Aluminum Company of America 2,600 177
--------
TELEPHONES & TELECOMMUNICATION -- 0.5%
Airtouch Communications* 2,500 58
Bell Atlantic 300 18
Lucent Technologies 3,527 186
--------
262
--------
WASTE MANAGEMENT -- 0.2%
Molten Metal Technology* 10,000 88
--------
WHOLESALE -- 3.7%
General Motors 700 39
Gillette 4,617 335
Johnson & Johnson 8,200 434
Motorola 3,684 222
Philip Morris 3,200 365
Sysco 8,600 293
Unilever NV, ADR 500 93
--------
1,781
--------
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost $20,339) $ 23,063
--------
PREFERRED STOCKS -- 2.0%
BANKS -- 0.4%
National Bank of Austrailia,
Convertible to 0.3273 shares* 8,000 200
--------
CONTAINERS & PACKAGING -- 0.2%
Crown Cork & Seal, Convertible
to 0.09912 shares 800 39
Westinghouse Electric, Convertible
to 0.885 shares (A)* 3,200 51
--------
90
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.9%
Microsoft, Convertible until
12/15/99 @ 2.75% 5,200 422
--------
PETROLEUM & FUEL PRODUCTS -- 0.2%
Occidental Petroleum, Convertible
to 2.1970 shares (A) 1,700 98
--------
TELEPHONES & TELECOMMUNICATION -- 0.3%
Sprint, Convertible
to 0.8673 shares 4,200 144
--------
Total Preferred Stocks
(Cost $966) 954
--------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. Treasury Notes
8.250%, 07/15/98 $ 850 871
5.750%, 12/31/98 1,200 1,188
9.125%, 05/15/99 810 852
--------
Total U.S. Treasury Obligations
(Cost $2,932) 2,911
--------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.9%
FHLMC REMIC, Series 1637, Cl E
5.750%, 02/15/19 1,185 1,152
FHLMC
6.000%, 12/01/98 18 18
6.000%, 12/01/98 288 282
8.000%, 06/01/02 427 436
7.000%, 10/01/02 670 668
8.000%, 12/01/02 581 585
FNMA
8.500%, 04/01/17 742 769
--------
Total U.S. Government Mortgage-Backed
Obligations (Cost $3,947) 3,910
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 26.9%
American General Finance
8.500%, 06/15/99 $ 840 $ 870
AMR
9.500%, 07/15/98 275 284
Aristar
6.750%, 05/15/99 705 704
AT&T Capital
6.260%, 02/18/99 550 545
Bear Stearns
7.000%, 03/01/07 800 765
Capital One
6.660%, 08/17/98 220 220
Fleet Mortgage Group
6.500%, 06/15/00 1,085 1,066
Ford Motor Credit
7.000%, 09/25/01 1,000 994
General Motors Acceptance
7.125%, 05/15/03 1,200 1,188
Household Finance
6.150%, 04/28/00 345 337
International Lease Finance
6.830%, 01/14/00 345 344
Merrill Lynch
8.250%, 11/15/99 705 729
Philip Morris
6.800%, 12/01/03 1,110 1,068
Salomon Brothers
6.750%, 02/15/03 1,215 1,166
Sears Roebuck
9.250%, 08/01/97 400 404
7.120%, 06/26/01 545 542
Tribune
5.950%, 02/17/04 1,215 1,125
US West Capital Funding
7.300%, 01/15/07 715 699
--------
Total Corporate Obligations
(Cost $13,266) 13,050
--------
CONVERTIBLE BONDS -- 1.1%
Alza, Convertible to 26.1840 shares
5.000%, 05/01/06 300 294
Staples, Convertible to 30.303
shares, Cl A
4.500%, 10/01/00 200 220
--------
Total Convertible Bonds
(Cost $504) 514
--------
CERTIFICATES OF DEPOSIT -- 2.3%
Capital One Bank Notes
6.540%, 06/09/00 1,140 1,114
--------
26
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Certificates of Deposit
(Cost $1,126) $ 1,114
-------
REPURCHASE AGREEMENT -- 6.5%
J.P. Morgan
6.450%, dated 03/31/97, matures 04/01/97,
repurchase price $3,141,000 (collateralized
by GNMA obligation, par value $3,082,000,
7.000%, 04/15/26, total
market value:$2,918,000) $3,141 3,141
-------
Total Repurchase Agreement
(Cost $3,141) 3,141
-------
Total Investments -- 100.2%
(Cost $46,221) 48,657
-------
Other Assets and Liabilities, Net -- (0.2%) (112)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
3,955,671 outstanding shares of
beneficial interest 43,235
Undistributed net investment income 388
Accumulated net realized gain
on investments 2,486
Net unrealized appreciation on investments 2,436
-------
Total Net Assets -- 100.0% $48,545
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.27
=======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
CORE FIXED INCOME POTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 29.1%
U.S. Treasury Bill (C)
Zero Coupon, 08/21/97 $ 1,800 $ 1,762
U.S. Treasury Bonds
10.750%, 02/15/03 7,000 8,311
9.250%, 02/15/16 53,415 64,641
6.000%, 02/15/26 36,860 31,565
6.750%, 08/15/26 28,280 26,812
6.500%, 11/15/26 33,030 30,415
6.625%, 02/15/27 1,000 942
U.S. Treasury Notes
5.875%, 11/15/99 960 944
6.875%, 03/31/00 15,100 15,203
6.625%, 07/31/01 16,620 16,543
6.500%, 08/31/01 1,870 1,852
6.625%, 03/31/02 20,000 19,875
3.375%, 01/15/07 18,714 18,393
U.S. Treasury STRIPS
Zero Coupon, 08/15/20 2,800 514
--------
Total U.S. Treasury Obligations
(Cost $246,097) 237,772
--------
CORPORATE OBLIGATIONS -- 19.2%
Associates Corporation of North
America
9.125%, 04/01/00 1,375 1,454
BA Capital Trust A (B)
7.900%, 01/15/27 4,630 4,335
Banco Nacional de Mexico
Series 1996 (B)
6.250%, 12/01/03 3,500 3,368
BankAmerica
9.200%, 05/15/03 850 930
Barclays North America Capital
9.750%, 05/15/21 1,375 1,543
Bear Stearns
6.500%, 06/15/00 2,550 2,499
6.750%, 08/15/00 2,000 1,980
Becton Dickinson
9.250%, 06/01/16 466 486
Boston Edison
9.875%, 06/01/20 2,000 2,163
Chrysler Financial
13.250%, 10/15/99 850 975
Commonwealth Edison
9.875%, 06/15/20 850 927
Connecticut Light & Power
7.875%, 06/01/01 3,800 3,805
Continental Cablevision
8.875%, 09/15/05 1,050 1,125
9.500%, 08/01/13 2,950 3,286
Countrywide Capital I
8.000%, 12/15/26 1,750 1,687
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Dayton Hudson
10.000%, 01/01/11 $ 1,000 $ 1,166
8.600%, 01/15/12 941 992
Deseret Generator &
Transportation Coop
9.375%, 01/02/11 974 1,008
Dresdner Bank
7.250%, 09/15/15 1,700 1,624
Equitable Companies
9.000%, 12/15/04 4,000 4,335
Federal Express
9.650%, 06/15/12 950 1,076
9.625%, 10/15/19 850 910
Federal Paperboard
8.875%, 07/01/12 1,700 1,866
First National Bank of Omaha
7.320%, 12/01/10 750 702
Ford Capital
10.125%, 11/15/00 1,275 1,398
Ford Motor Credit
8.375%, 01/15/00 1,850 1,917
6.850%, 08/15/00 3,425 3,408
9.500%, 09/15/11 1,000 1,148
General Motors Acceptance
8.000%, 10/01/99 1,850 1,899
9.375%, 04/01/00 1,250 1,328
9.625%, 05/15/00 1,060 1,136
0.000%, 06/15/15 10,000 2,475
General Motors Capital
9.625%, 12/01/00 1,450 1,568
Georgia Pacific
9.500%, 12/01/11 1,500 1,699
9.750%, 01/15/18 2,250 2,351
9.875%, 11/01/21 1,900 2,111
Goldman Sachs
6.250%, 02/01/03 4,700 4,442
GTE
10.250%, 11/01/20 1,700 1,906
Hydro Quebec
8.050%, 07/07/24 2,550 2,690
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 1,726
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,240
J.C. Penney
9.750%, 06/15/21 2,350 2,564
J.P. Morgan Capital
7.950%, 02/01/27 700 680
K N Energy
9.625%, 08/01/21 1,900 2,104
Lehman Brothers
9.875%, 10/15/00 1,875 2,025
6.125%, 02/01/01 1,325 1,270
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Lehman Brothers, MTN
9.375%, 01/15/99 $ 3,600 $ 3,753
Loew's
7.625%, 06/01/23 2,550 2,365
Long Island Lighting
9.625%, 07/01/24 2,110 2,181
May Department Stores
9.875%, 06/15/21 900 1,010
Midland Bank, PLC
6.950%, 03/15/11 3,700 3,478
Mobile Energy Services
8.665%, 01/01/17 770 776
NCNB Bank
10.200%, 07/15/15 3,040 3,716
Norsk Hydro A/S
9.000%, 04/15/12 1,575 1,752
Oneok
9.750%, 12/01/20 1,150 1,278
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,161
Province of NewFoundland
10.000%, 12/01/20 850 1,037
Public Services Electric & Gas
7.625%, 02/01/00 1,170 1,188
PVNGS II Funding
8.000%, 12/30/15 4,500 4,483
RJR Nabisco
8.750%, 08/15/05 1,550 1,538
8.750%, 07/15/07 2,535 2,494
Rohm & Haas
9.500%, 04/01/21 2,300 2,510
Salomon Brothers
7.750%, 05/15/00 1,275 1,294
6.750%, 02/15/03 2,100 2,016
SBA, Ser 1996-I
7.700%, 09/01/16 1,900 1,908
SBA, Ser 1996-J
7.200%, 10/01/16 900 886
Southern California Edison
8.875%, 05/01/23 645 670
Sumitomo Bank
International Finance
9.550%, 07/15/00 2,000 2,144
Swiss Bank
7.000%, 10/15/15 1,700 1,577
System Energy Resources
7.430%, 01/15/11 2,338 2,180
TCI Communications
8.750%, 08/01/15 6,495 6,357
Tele-Communications
9.250%, 01/15/23 850 826
Tenneco
7.450%, 12/15/25 500 458
28
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Union Camp
10.000%, 05/01/19 $ 1,700 $ 1,876
US West Capital Funding
7.900%, 02/01/27 3,650 3,563
Westvaco
10.125%, 06/01/19 1,000 1,101
Weyerhaeuser
7.250%, 07/01/13 1,875 1,807
Worldcom
7.750%, 04/01/07 3,200 3,160
--------
Total Corporate Obligations
(Cost $160,826) 156,870
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.6%
REFCO STRIPS
Zero Coupon, 10/15/20 945 166
Resolution Trust Funding STRIPS
Zero Coupon, 10/15/19 16,000 3,037
Resolution Trust Funding
8.625%, 01/15/30 1,410 1,636
--------
Total U.S. Government Agency Obligations
(Cost $4,817) 4,839
--------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 23.4%
FHLMC
9.000%, 12/01/05 264 275
6.000%, 10/01/23 5,085 4,590
6.500%, 01/01/23-04/01/26 7,863 7,321
8.000%, 08/01/26 6,105 6,143
7.000%, 02/01/09-03/01/27 18,860 18,084
7.500%, 06/01/10-04/10/27 30,418 30,192
FHLMC (A)
6.085%, 10/01/15
FHLMC REMIC, Ser 1907, Cl LP
Zero Coupon, 06/15/20 600 338
FHLMC REMIC, Ser 1, Cl Z
9.300%, 04/15/19 4,275 4,395
FHLMC COFI ARM (A)
6.095%, 10/01/20 2,811 2,762
FNMA
9.000%, 07/01/07 288 300
8.500%, 09/01/13 108 111
7.500%, 03/01/24 1,152 1,131
7.000%, 05/01/23-04/01/27 44,100 42,119
FNMA Ser 93-254, Cl C, PO
Zero Coupon, 07/25/23 355 239
FNMA Ser 93-216, Cl B, PO
Zero Coupon, 08/25/23 922 819
FNMA REMIC Ser 1996-56, Cl E, PO
Zero Coupon, 04/25/23 261 133
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FNMA STRIP
9.000%, 09/25/25 $ 1,370 $ 1,445
FNMA, PO
7.000%, 11/01/23 3,405 3,255
GNMA
9.500%, 01/15/19 935 1,006
6.875%, 11/20/21 4,976 5,076
7.125%, 08/20/22 6,197 6,352
6.500%, 01/01/23-12/15/23 13,169 12,185
7.000%, 03/15/11-11/15/23 1,205 1,189
8.500%, 11/15/00-02/15/26 3,037 3,115
7.500%, 09/15/06-12/15/23 15,003 14,698
8.000%, 01/15/07-02/15/27 20,966 21,058
GNMA TBA
8.000%, 04/01/27 3,200 3,209
--------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $194,473) 191,540
--------
ASSET-BACKED SECURITIES -- 8.9%
AT&T Universal Card
5.950%, 10/17/02 4,275 4,152
Banc One Credit Card
6.300%, 09/15/00 4,275 4,216
Champion 95-2 A2 (B)
7.340%, 10/25/26 3,174 3,201
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.610%, 09/15/02 1,085 1,090
Chemical Master Credit Card
6.230%, 06/15/03 4,425 4,318
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 1,390 1,372
Citibank Credit Card Master Trust I,
Ser 1996-1, Cl A, PO
Zero Coupon, 02/07/03 10,839 8,287
Discover Card
6.550%, 08/15/00 4,275 4,230
First Chicago
7.150%, 04/15/01 4,275 4,316
Household Private Label
Credit Card
7.800%, 09/20/03 1,450 1,480
IBM Credit Receivables Lease
Master Trust, Ser 93-1 A
4.550%, 11/15/00 2,276 2,244
Keycorp Auto Grantor Trust
1995-A Cl A
5.800%, 07/15/00 1,606 1,598
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NationsBank
6.450%, 04/15/03 $ 8,975 $ 8,893
Premier Auto Trust, Ser 93-2, Cl A3
4.900%, 10/15/98 528 523
Premier Auto Trust, Ser 93-A3
4.900%, 12/15/98 561 561
Premier Auto Trust, Ser 95-3
5.950%, 12/06/98 2,170 2,159
Premier Auto Trust, Ser 93-5
4.450%, 03/02/99 740 732
Premier Auto Trust, Ser 93-6, Cl A2
4.650%, 11/02/99 2,075 2,046
Premier Auto Trust, Tranche
1993-5, Cl A2
4.220%, 03/02/99 4,371 4,305
Sears Credit
7.000%, 08/15/00 5,975 6,019
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
6.050%, 01/15/08 2,135 2,023
Sears Credit Account Master
Trust, Ser 95-3, Cl A
7.000%, 10/15/04 1,000 1,003
Sears Credit Account Master
Trust, Ser 1995-2, Cl A
8.100%, 06/15/04 2,750 2,844
SPNB Home Equity Loan
Loan 91-2-A
8.100%, 06/15/20 474 474
SPNB Home Equity Loan
7.850%, 05/15/98 17 17
USAA Auto Loan Grantor Trust
5.000%, 11/15/99 1,155 1,146
--------
Total Asset-Backed Securities
(Cost $74,736) 73,249
--------
MORTGAGE-BACKED OBLIGATIONS -- 7.5%
Asset Securitization, Ser 1997-D4
7.490%, 04/14/27 7,600 7,627
Community Program Loan Trust
4.500%, 10/01/18 2,175 1,806
Fund America Investors CMO
REMIC ARM, Ser 1993-A (A)
8.051%, 06/25/23 6,805 6,831
Green Tree Financial, Ser 1996-10,
Cl A6
7.300%, 11/15/28 1,350 1,259
Green Tree Financial, Ser 1997-1,
Cl A-6
7.290%, 03/15/28 1,250 1,188
Matterhorn One Limited Trust
Certificates (Monthly Reset =
1 Month Libor + 45 BP) (A) (B)
6.092%, 01/21/06 2,707 2,712
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 5,100 5,009
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Olmstead Commons Project Loan
8.400%, 03/01/37 $ 962 $ 955
Orchard Park Inn
7.840%, 03/01/28 1,520 1,496
RTC 92-12-A2A
7.500%, 08/25/23 1,653 1,655
RTC 92-7-A2D
8.350%, 06/25/29 113 113
RTC ARM 92-B3 (A)
6.552%, 06/25/21 1,859 1,838
RTC ARM M-3 (A)
7.977%, 09/25/29 4,736 4,799
RTC ARM M-6 (A)
6.688%, 05/25/21 11,861 11,243
SASCO 93-C1
6.600%, 10/25/24 8,000 7,813
SASCO 96-CFL CC
6.525%, 02/25/28 725 700
Security Pacific Acceptance,
Ser 91-2, Cl B
8.550%, 09/15/11 1,212 1,226
Western Financial Grantor Trust,
Ser 95-2, Cl A1
7.100%, 07/01/00 2,953 2,975
--------
Total Mortgage-Backed Obligations
(Cost $61,602) 61,245
--------
OPTIONS -- 0.0%
5 Yr W/I Treasury Put Option 64 178
US Long Bond May Call Option (162) (23)
--------
Total Options
(Cost $(38)) 155
--------
MUNICIPAL BONDS -- 2.0%
First Chicago Funding
5.330%, 04/04/97 15,000 14,993
Los Angeles County, California
Taxable Pension Obligation
Ser D (MBIA)
Zero Coupon, 06/30/10 3,850 1,376
--------
Total Municipal Bonds
(Cost $16,403) 16,369
--------
REPURCHASE AGREEMENT -- 17.4%
J.P. Morgan
5.420%, dated 03/31/97,
matures 04/01/97, repurchase
price $36,303,000 (collateralized
by FNMA obligation, total par
$38,105,000, zero coupon, 06/05/97,
GNMA obligation, total par
$107,864,000, 6.000%, 08/20/26,
and various FHLMC total
par $44,324,000, 5.500%-8.500%,
08/01/97-01/01/17,
total market value:$183,867,000) 142,398 142,398
--------
30
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $142,398) $142,398
--------
Total Investments -- 108.1%
(Cost $901,314) 884,437
--------
OTHER ASSETS AND LIABILITIES, NET -- (8.1%)
Investment Securities Purchased (85,672)
Other Assets and Liabilities, Net 20,317
--------
Total Other Assets and Liabilities (65,355)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
81,795,696 outstanding shares
of beneficial interest 833,849
Accumulated net realized gain on investments 2,197
Net unrealized depreciation on futures contracts (87)
Net unrealized depreciation on investments (16,877)
--------
Total Net Assets -- 100.0% $819,082
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.01
========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF MARCH 31, 1997.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933,
AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ARM--ADJUSTABLE RATE MORTGAGE
BP--BASIS POINTS
CL--CLASS
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FFCB -- FEDERAL FARM CREDIT BANK
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO--INTEREST ONLY
LIBOR--LONDON INTER BANK OFFERING RATE
MTN--MEDIUM TERM NOTE
PLC--PUBLIC LIMITED COMPANY
PO--PRINCIPAL ONLY
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
REFCO--RESOLUTION TRUST FUNDING CORPORATION
RTC--RESOLUTION TRUST CORPORATION
SER--SERIES
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA--TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 98.9%
U.S. Treasury Bond
7.500%, 11/15/16 $3,725 $ 3,835
U.S. Treasury Notes
6.500%, 04/30/97 1,485 1,486
6.000%, 08/31/97 4,250 4,253
5.500%, 11/15/98 3,000 2,960
5.875%, 01/31/99 2,100 2,081
5.625%, 11/30/00 1,450 1,400
5.750%, 08/15/03 2,365 2,234
6.500%, 08/15/05 1,600 1,556
--------
Total U.S. Treasury Obligations
(Cost $19,992) 19,805
--------
REPURCHASE AGREEMENT -- 0.1%
Lehman Brothers
5.52%, dated 03/31/97,
matures 04/01/97,
repurchase price $23,000
(collateralized by U. S. Treasury
Bond, $10,000, 05/15/10,
total market value: $23,000) 23 23
--------
Total Repurchase Agreement
(Cost $23) 23
--------
Total Investments -- 99.0%
(Cost $20,015) 19,828
--------
Other Assets and Liabilities, Net -- 1.0% 192
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
1,899,460 outstanding shares of
beneficial interest 24,186
Accumulated net realized loss on investments (3,979)
Net unrealized depreciation on investments (187)
--------
Total Net Assets -- 100.0% $20,020
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.54
========
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 87.3%
Adelphia Communications (A)
9.875%, 03/01/07 $ 250 $ 231
Advanced Micro Devices
11.000%, 08/01/03 750 821
Airplanes Pass Through Trust
10.875%, 03/15/19 300 330
AK Steel
10.750%, 04/01/04 100 107
Algoma Steel First Mortgage
12.375%, 07/15/05 750 808
Allbritton Communications
9.750%, 11/30/07 750 711
Allied Waste North America (A)
10.250%, 12/01/06 750 776
Alpine Group
12.250%, 07/15/03 500 545
Alvey Systems
11.375%, 01/31/03 400 414
American Communication
Services (B)
0.000%, 11/01/05 750 453
American Radio Systems
9.000%, 02/01/06 500 496
American Skiing
12.000%, 07/15/06 450 458
AMF Group Senior (B)
0.000%, 03/15/06 500 347
AMF Group
10.875%, 03/15/06 300 322
Amtrol
10.625%, 12/31/06 400 411
Argyle Television
9.750%, 11/01/05 250 250
Armco
11.375%, 10/15/99 100 104
Astor
10.500%, 10/15/06 450 469
Atlantic Express (A)
10.750%, 02/01/04 500 514
Barry's Jewelers
11.000%, 12/22/00 400 318
Bayou Steel
10.250%, 03/01/01 100 98
Bell Cablemedia (B)
0.000%, 07/15/04 450 387
0.000%, 09/15/05 200 160
Berry Plastics
12.500%, 06/15/06 750 794
Beverly Enterprises
9.000%, 02/15/06 700 703
Blue Bird Body
10.750%, 11/15/06 500 520
Booth Creek Ski Holdings (A)
12.500%, 03/15/07 600 587
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Brooks Fiber Properties (B)
0.000%, 03/01/06 $ 950 $ 606
0.000%, 11/01/06 610 370
Brylane
10.000%, 09/01/03 400 413
Buckeye Cellulose
9.250%, 09/15/08 750 760
Building Materials (A)
8.625%, 12/15/06 450 448
Building Materials (B)
0.000%, 07/01/04 400 354
Cablevision Systems
9.250%, 11/01/05 250 241
9.875%, 02/15/13 650 636
Capstar Broadcasting (A) (B)
0.000%, 02/01/09 1,000 545
Casino America
12.500%, 08/01/03 700 672
Casino Magic (A)
13.000%, 08/15/03 400 387
Casino Magic Financing
11.500%, 10/15/01 500 424
Cca Holdings (A)
0.000%, 12/31/99 1,000 1,084
Celestica International (A)
10.500%, 12/31/06 500 537
Cencall Communication (B)
0.000%, 01/15/04 100 72
Century Communications
9.750%, 02/15/02 250 254
CF Cable Television
11.625%, 02/15/05 50 57
CFP Holdings (A)
11.625%, 01/15/04 500 512
Chancellor Radio Broadcasting
9.375%, 10/01/04 750 754
Charter Communications South East
11.250%, 03/15/06 500 536
Chevy Chase Bank
9.250%, 12/01/08 400 400
Clearnet Communications (B)
0.000%, 12/15/05 650 421
Cliffs Drilling
10.250%, 05/15/03 400 417
Coast Hotels & Casino
13.000%, 12/15/02 500 555
Coinstar Unit (B)
0.000%, 10/01/06 650 471
Collins & Aikman Products
11.500%, 04/15/06 800 886
Collins and Aikman (A)
10.000%, 01/15/07 500 494
Colorado Gaming and
Entertainment PIK
0.000%, 06/01/03 500 492
Comcast UK Cable (B)
0.000%, 11/15/07 500 341
32
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Comcast
9.375%, 05/15/05 $ 150 $ 153
9.125%, 10/15/06 250 254
9.500%, 01/15/08 50 51
Commodore Media (B)
0.000%, 05/01/03 100 108
Commonwealth Aluminum
10.750%, 10/01/06 500 519
Container
9.750%, 04/01/03 550 574
Costilla Energy
10.250%, 10/01/06 700 723
Coty
10.250%, 05/01/05 100 107
County Seat Stores (C)
0.000%, 10/01/02 100 40
Crown Packaging Enterprises (A) (B)
0.000%, 08/01/06 775 143
Crown Paper
11.000%, 09/01/05 750 692
CSK Auto (A)
11.000%, 11/01/06 550 566
Dade International
11.125%, 05/01/06 500 561
Dairy Mart Convenience Stores
10.250%, 03/15/04 500 491
Day International Group
11.125%, 06/01/05 200 204
Delaware County Remy (A)
10.625%, 08/01/06 550 576
Derlan Manufacturing (A)
10.000%, 01/15/07 1,000 992
Dial Call Communications (B)
0.000%, 04/15/04 650 482
Diamond Cable Communications (B)
0.000%, 09/30/04 300 240
0.000%, 12/15/05 350 230
Diamond Cable Communications (A)
0.000%, 02/15/07 800 447
Diva Systems (A) (B)
0.000%, 05/15/06 1,025 550
Dobson Communications (A)
11.750%, 04/15/07 1,000 980
Dual Drilling
9.875%, 01/15/04 750 809
Duane Reade
12.000%, 09/15/02 250 264
Dyncorp (A)
9.500%, 03/01/07 500 489
E&S Holdings
10.375%, 10/01/06 500 516
Echostar Satellite Broadcast (B)
0.000%, 03/15/04 600 481
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Eldorado Resorts
10.500%, 08/15/06 $ 500 $ 529
Euramax International PC (A)
11.250%, 10/01/06 750 795
Exide Electronics
11.500%, 03/15/06 250 265
Falcon Holding Group PIK
0.000%, 09/15/03 457 411
Farm Fresh, Ser A
12.250%, 10/01/00 200 170
Farm Fresh
12.250%, 10/01/00 300 255
Flores & Rucks
9.750%, 10/01/06 650 658
Fonorola
12.500%, 08/15/02 300 331
Forcenergy (A)
8.500%, 02/15/07 500 466
Forcenergy
9.500%, 11/01/06 500 495
Fort Howard
9.000%, 02/01/06 350 355
Four M
12.000%, 06/01/06 700 702
Freedom Chemical (A)
10.625%, 10/15/06 500 521
Fresh del Monte Produce
10.000%, 05/01/03 600 601
Gaylord Container (B)
0.000%, 05/15/05 700 762
General Media
10.625%, 12/31/00 100 86
Geotek Communications
12.000%, 02/15/01 660 540
Globalstar Capital LP (A)
11.375%, 02/15/04 400 393
GPA Delaware
8.750%, 12/15/98 500 506
Granite Broadcasting
9.375%, 12/01/05 500 476
Gray Communications System
10.625%, 10/01/06 750 784
Great Bay Property Funding
10.875%, 01/15/04 505 408
Great Lakes Carbon
10.000%, 01/01/06 250 258
Groupe Videotron
10.625%, 02/15/05 100 110
GS Technologies
12.000%, 09/01/04 500 526
GST Telecommunications (A) (B)
0.000%, 12/15/05 70 59
GST USA Guarantee (B)
0.000%, 12/15/05 860 550
Guitar Center Management
11.000%, 07/01/06 500 542
33
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Gulf Canada Resources Ltd
9.250%, 01/15/04 $ 500 $ 516
Gulf States Steel - Alabama
13.500%, 04/15/03 800 774
Harris Chemical (B)
10.250%, 07/15/01 400 401
Harvey Casinos Resorts
10.625%, 06/01/06 500 522
Hawk (A)
10.250%, 12/01/03 500 507
Hayes Wheels International
11.000%, 07/15/06 750 808
Haynes International
11.625%, 09/01/04 750 805
Helicon Group (B)
11.000%, 11/01/03 400 403
Herff Jones
11.000%, 08/15/05 150 161
Hills Stores
12.500%, 07/01/03 750 636
Hines Horticulture
11.750%, 10/15/05 75 82
HMC Acquisition Properties
9.000%, 12/15/07 500 491
Hollinger International Publishing
9.250%, 03/15/07 750 733
Homeside
11.250%, 05/15/03 500 569
HS Resources (A)
9.250%, 11/15/06 500 484
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,000 574
ICG Holding (B)
0.000%, 09/15/05 350 241
ICG Holdinggs (A) (B)
0.000%, 03/15/07 500 279
ICX Communications
12.500%, 10/01/05 700 772
Imax (B)
10.000%, 03/01/01 100 98
Imperial Credit Industry (A)
9.875%, 01/15/07 500 495
Integrated Health Services (A)
10.250%, 04/30/06 250 265
Integrated Health Services
9.625%, 05/31/02 250 260
Intelcom Group (B)
0.000%, 05/01/06 400 252
Interact Systems (B)
0.000%, 08/01/03 700 385
Intermedia Capital Partners
11.250%, 08/01/06 750 782
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 500 321
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
International Cabletel (A)
10.000%, 02/15/07 $ 250 $ 240
International Cabletel (B)
0.000%, 04/15/05 400 285
0.000%, 02/01/06 900 567
International Home Foods (A)
10.375%, 11/01/06 750 757
International Knife & Saw (A)
11.375%, 11/15/06 500 516
International Wire Group
11.750%, 06/01/05 750 793
Intertek Finance PLC (A)
10.250%, 11/01/06 500 506
ISP Holdings (A)
9.000%, 10/15/03 700 698
Ivaco Yankee Bond
11.500%, 09/15/05 500 515
Jacor Communications
9.750%, 12/15/06 450 461
Jitney-Jungle (A)
0.000%, 00/00/00 2,500 338
Jitney-Jungle Stores
12.000%, 03/01/06 500 529
Jones Intercable
9.625%, 03/15/02 100 104
Jordan Industries
10.375%, 08/01/03 800 791
JPS Automotive Products
11.125%, 06/15/01 100 109
K & F Industries
10.375%, 09/01/04 500 526
K-Mart
7.750%, 10/01/12 800 705
Kaiser Aluminum & Chemical
10.875%, 10/15/06 250 262
Kasier Aluminum & Chemical
12.750%, 02/01/03 600 646
Keebler
10.750%, 07/01/06 500 542
Kelley Oil & Gas
10.375%, 10/15/06 750 767
Knoll
10.875%, 03/15/06 400 439
Lamar Advertising (A)
9.625%, 12/01/06 450 452
Laroche Industries
13.000%, 08/15/04 600 664
LDM Technologies (A)
10.750%, 01/15/07 400 405
Lenfest Communications
10.500%, 06/15/06 700 712
Majestic Star Casino
12.750%, 05/15/03 650 705
Marcus Cable (B)
0.000%, 08/01/04 450 363
0.000%, 12/15/05 500 354
34
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Mariner Health Group
9.500%, 04/01/06 $ 500 $ 501
Marvel III Holdings, Ser B (C)
0.000%, 02/15/98 250 49
Maxus Energy
9.875%, 10/15/02 250 252
9.375%, 11/01/03 250 254
Maxxam Group Holdings Ser B
12.000%, 08/01/03 400 401
MDC Communications
10.500%, 12/01/06 500 516
Merit Behavioral Care
11.500%, 11/15/05 250 274
Mesa Operating Company
Guaranteed (B)
0.000%, 07/01/06 900 606
Mesa Operating
Company Guaranteed
10.625%, 07/01/06 250 261
MFS Communications (B)
0.000%, 01/15/04 1,000 900
Mohegan Tribal Gaming
13.500%, 11/15/02 750 985
Monarch Marking Systems
12.500%, 07/01/03 200 217
Moog
10.000%, 05/01/06 500 516
Motor Coach Industries
0.000%, 11/15/02 1,000 860
Motors and Gears (A)
10.750%, 11/15/06 500 511
MVE
12.500%, 02/15/02 100 104
National Energy Group (A)
10.750%, 11/01/06 500 503
Nextel Communications (B)
0.000%, 08/15/04 1,000 683
Nextlink Communications
12.500%, 04/15/06 500 500
NL Industries (B)
0.000%, 10/15/05 600 539
NL Industries
11.750%, 10/15/03 700 737
Noble Drilling
9.125%, 07/01/06 600 641
Nortek (A)
9.250%, 03/15/07 500 491
NS Group
13.500%, 07/15/03 500 541
Nuevo Energy
9.500%, 04/15/06 400 406
Orbcomm Global
14.000%, 08/15/04 400 399
Owens & Minor
10.875%, 06/01/06 500 538
Packaging Resources
11.625%, 05/01/03 500 521
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Packard Bioscience (A)
9.375%, 03/01/07 $ 500 $ 484
Pagemart Nationwide (B)
0.000%, 02/01/05 750 533
Paracelsus Healthcare
10.000%, 08/15/06 800 760
Parisian
9.875%, 07/15/03 500 506
Parker Drilling, Ser B
9.750%, 11/15/06 500 506
Pathmark Stores (B)
0.000%, 11/01/03 550 368
Pathmark Stores
11.625%, 06/15/02 600 620
Peoples Telephone
12.250%, 07/15/02 300 317
Petersburg Long Distance (A) (B)
0.000%, 06/01/04 630 543
Petersburg Long Distance (A)
9.000%, 06/01/06 90 90
Petersen Publishing (A)
11.125%, 11/15/06 500 534
Pierce Leahy
11.125%, 07/15/06 600 653
Pillowtex (A)
10.000%, 11/15/06 500 516
Pioneer Americas Acquisition
13.375%, 04/01/05 200 233
Plantronics
10.000%, 01/15/01 175 183
Players International
10.875%, 04/15/05 750 776
Portola Packaging
10.750%, 10/01/05 200 201
Premier Parks
9.750%, 01/15/07 750 773
Pricecellular Wireless
10.750%, 11/01/04 400 400
Pricellular Wireless (B)
0.000%, 10/01/03 500 430
Prime Hospitality
9.250%, 01/15/06 850 854
Prime Hospitality (A)
9.750%, 04/01/07 450 450
Printpack Ser B
10.625%, 08/15/06 500 518
Quest Diagnostic
10.750%, 12/15/06 450 469
Realtime Data (A) (B)
0.000%, 08/15/06 1,000 540
Red Roof Inns
9.625%, 12/15/03 450 453
Regency Health Services
9.875%, 10/15/02 350 355
12.250%, 07/15/03 500 541
Renaissance Cosmetics (A)
11.750%, 02/15/04 500 502
35
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Renco Metals
11.500%, 07/01/03 $ 750 $783
Repap New Brunswick
10.625%, 04/15/05 650 643
Repap Wisconsin
9.875%, 05/01/06 100 97
Republic Engineered Steel
9.875%, 12/15/01 750 671
Revlon Consumer Products, Ser B
10.500%, 02/15/03 100 105
Revlon Consumer Products
9.375%, 04/01/01 250 255
Revlon Worldwide (A)
0.000%, 03/15/01 1,000 633
Rexene
11.750%, 12/01/04 250 280
Rifkin Acquisition Partners
11.125%, 01/15/06 500 518
Rio Hotel & Casino
10.625%, 07/15/05 250 263
Rogers Cantel
9.375%, 06/01/08 500 511
Rogers Communications
9.125%, 01/15/06 400 395
Safelite Glass (A)
9.875%, 12/15/06 300 305
Santa Fe Energy Resource
11.000%, 05/15/04 50 54
Santa Fe Hotel
11.000%, 12/15/00 90 65
SFX Broadcasting
10.750%, 05/15/06 600 632
Shop Vac (A)
10.625%, 09/01/03 625 657
Showboat Marina
13.500%, 03/15/03 250 285
Showboat
9.250%, 05/01/08 750 766
Sinclair Broadcast Group
10.000%, 09/30/05 800 806
Spanish Broadcasting (A)
11.000%, 03/15/04 500 500
Specialty Equipment
11.375%, 12/01/03 500 535
Specialty Paperboard (A)
9.375%, 10/15/06 500 503
Speedy Muffler King, Inc.
10.875%, 10/01/06 450 458
Spinnaker Industries (A)
10.750%, 10/15/06 750 754
Sprint Spectrum LP
11.000%, 08/15/06 750 793
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 621
Stone Consolidated
10.250%, 12/15/00 200 213
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Stone Container (A)
11.500%, 08/15/06 $1,000 $1,006
Stuart Entertainment (A)
12.500%, 11/15/04 250 228
Sun International Hotels (A)
9.000%, 03/15/07 500 476
Sun Media (A)
9.500%, 02/15/07 400 389
Synthetic Industries (A)
9.250%, 02/15/07 400 397
TCI Satellite Entertainment (A) (B)
0.000%, 02/15/07 500 227
TCI Satellite Entertainment (A)
10.875%, 02/15/07 500 449
Teleport Communications (B)
0.000%, 07/01/07 500 338
Teleport Communications
9.875%, 07/01/06 500 521
Telewest Communications (B)
0.000%, 10/01/07 900 601
Telewest Communications
9.625%, 10/01/06 150 148
Tenet Healthcare
8.625%, 01/15/07 750 747
Texas Petrochemical (A)
11.125%, 07/01/06 450 471
Titan Wheel International
8.750%, 04/01/07 500 493
Tokheim Ser B
11.500%, 08/01/06 500 534
Tracor (A)
8.500%, 03/01/07 500 489
Transtexas Gas
11.500%, 06/15/02 500 550
Trump Atlantic City
11.250%, 05/01/06 400 370
Trump Castle Funding
11.750%, 11/15/03 250 197
Twin Laboratories
10.250%, 05/15/06 500 516
UCC Investors
11.000%, 05/01/03 50 53
Unisys
12.000%, 04/15/03 550 585
11.750%, 10/15/04 500 525
United International Holding
0.000%, 11/15/99 950 688
0.000%, 11/15/99 150 109
United Meridian
10.375%, 10/15/05 250 270
Universal Health Services
8.750%, 08/15/05 250 257
36
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
US Air
10.000%, 07/01/03 $ 750 $ 755
Van de Kamps
12.000%, 09/15/05 250 275
Vanguard Cellular System
9.375%, 04/15/06 500 501
Venture Holdings Trust
9.750%, 04/01/04 195 185
Videotron Holdings (B)
0.000%, 08/15/05 400 320
Waban
11.000%, 05/15/04 350 389
Waterford Gaming (A)
12.750%, 11/15/03 500 532
Waxman Industries (B)
0.000%, 06/01/04 600 496
WCI Steel (A)
10.000%, 12/01/04 500 508
Weirton Steel
11.375%, 07/01/04 775 785
Western Federal Notes (C)
0.000%, 09/15/99 500 344
Western Wireless
10.500%, 06/01/06 500 499
10.500%, 02/01/07 300 300
Westmin Resources Ltd
11.000%, 03/15/07 500 496
William Carter (A)
10.375%, 12/01/06 500 513
Winstar Communications (A) (B)
0.000%, 10/15/05 175 112
Winstar Communications (B)
0.000%, 10/15/05 350 199
Wyndham Hotels
10.500%, 05/15/06 500 530
Young Broadcasting
9.000%, 01/15/06 400 379
--------
Total Corporate Obligations
(Cost $136,716) 139,103
--------
UNITS -- 3.6%
Australis Holdings 1 Unit = $1M
senior subordinate discount
note + 1 warrant
(A) (B)
0.000%, 11/01/02 500 310
Australis Media 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B)
0.000%, 05/15/03 400 244
Cellular Communications 1 Unit = $1M
senior discount note
+ 1 warrant (B)
0.000%, 08/15/00 500 353
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Colt Telecom Group 1 Unit =
1 senior discount note +
1 warrant (B)
0.000%, 12/15/06 $ 600 $ 373
Health O Meter 1 Unit = 1 senior
subordinate note + 1 warrant
13.000%, 08/15/02 500 553
Intercel 1 Unit = 10 senior
discount notes + 32 warrants (B)
0.000%, 02/01/06 550 369
McCaw International Ltd 1 Unit =
1 senior note + 1 warrant (A)
0.000%, 04/15/07 2,200 1,056
Olympic Financial One 1 Unit =
1 senior note + 1 warrant
11.500%, 03/15/07 650 644
Orion Network Systems 1 Unit =
$1M senior note + 1 warrant
11.250%, 01/15/07 750 743
Optel Unit (A) 1 Unit = 1 senior
note + 1 share non-voting stock
13.000%, 02/15/05 300 287
Pegasus Communications PIK
1 Unit = $1M preferred
share + 1 warrant 2,500 245
Unifi Communications (A) 1 Unit =
1 senior note + 1 warrant
14.000%, 03/01/04 600 618
--------
Total Units
(Cost $5,833) 5,795
--------
PREFERRED STOCKS -- 2.5%
California Federal* 1,000 25
Diva Systems, Ser C* 41,615 375
GPA Group, PLC (A)* 1,000,000 488
Granite Broadcasting (A)* 5,000 465
Intermedia Communication (A)* 25 240
International Cabletel (A)* 5,000 500
Nextlink Communications* 5,000 235
Renaissance Cosmetics (A)* 17 1
Renaissance Cosmetics, PIK (A)* 5,000 508
SD Warren, Ser B* 20,000 760
Silgan Holdings (A)* 3,008 344
--------
Total Preferred Stocks
(Cost $3,713) 3,941
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.1%
FHLMC Discount Note
5.480%, 04/01/97 8,081 8,081
--------
Total U.S. Government Agency Obligations
(Cost $8,081) 8,081
--------
37
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
WARRANTS -- 0.3%
American Communication Services* 500 $ 30
Clearnet* 2,145 11
Dairy Mart Convenience Stores* 1,334 3
Exide Electors Group* 250 1
Hyperion* 1,000 30
Intelcom Group* 1,155 13
Interact Systems* 700 37
K-III Communications* 4,000 392
Wireless One* 750 1
Wright Medical Technology* 21 3
--------
Total Warrants
(Cost $465) 521
--------
Total Investments -- 98.8%
(Cost $154,808) 157,441
--------
Other Assets and Liabilities, Net-- 1.2% 1,987
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
14,400,190 outstanding shares
of beneficial interest 156,860
Undistributed net investment income 639
Accumulated net realized loss on investments (705)
Net unrealized appreciation on investments 2,634
--------
Total Net Assets -- 100.0% $159,428
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $11.07
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND--THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE RATE IN
EFFECT ON MARCH 31, 1996. THE INITIAL COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
PIK--PAYMENT IN-KIND
PLC--PUBLIC LIMITED COMPANY
SER--SERIES THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL
STATEMENTS.
38
<PAGE>
This Page is Left Intentionally Blank.
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
-------------- -------------- -------------- --------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 7,393 $ 2,483 $ 1,096 $ 198
Interest Income 431 497 359 937
------- ------- ------- --------
Total Investment Income 7,824 2,980 1,455 1,135
------- ------- ------- --------
EXPENSES:
Management Fees 989 931 326 655
Waiver of Management Fees -- -- -- --
Investment Advisory Fees 989 1,064 605 1,216
Waiver of Investment Advisory Fees -- (133) -- --
Custodian/Wire Agent Fees 42 41 14 39
Transfer Agent Fees (1) -- -- -- 1
Professional Fees 18 18 6 14
Registration Fees 26 20 8 13
Printing Expense 27 31 13 27
Trustee Fees 10 9 3 7
Insurance Expense 2 -- -- 2
Pricing Fees 6 5 2 4
Distribution Fees 282 260 40 72
Distribution Fees -- Class D (1) -- -- -- 2
Amortization of Deferred
Organizational Costs -- 13 13 8
Other Expenses 11 12 4 7
------- ------- ------- --------
Total Expenses 2,402 2,271 1,034 2,067
------- ------- ------- --------
NET INVESTMENT INCOME (LOSS) 5,422 709 421 (932)
------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) from Security
Transactions 22,709 5,634 12,597 9,546
Net Realized Gain from Futures
Contracts 1,200 849 818 3,763
Net Gain from In-Kind
Redemptions -- 250 -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments 24,904 28,026 7,486 (85,824)
------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $54,235 $35,468 $21,322 $(73,447)
======= ======= ======= ========
------- ------------ ------- --------
CAPITAL EQUITY
MID-CAP APPRECIATION INCOME BALANCED
------- ------------ ------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 206 $ 1,551 $ 3,264 $ 212
Interest Income 28 640 161 821
------ ------- ------- -------
Total Investment Income 234 2,191 3,425 1,033
------ ------- ------- -------
EXPENSES:
Management Fees 47 362 345 92
Waiver of Management Fees (4) -- -- (2)
Investment Advisory Fees 54 413 394 105
Waiver of Investment Advisory Fees -- (51) (49) (13)
Custodian/Wire Agent Fees 2 17 14 4
Transfer Agent Fees (1) -- -- -- --
Professional Fees 1 6 5 1
Registration Fees 1 11 11 3
Printing Expense 2 23 20 3
Trustee Fees 1 4 3 1
Insurance Expense -- 1 -- --
Pricing Fees -- 2 2 1
Distribution Fees 9 75 88 --
Distribution Fees-- Class D (1) -- -- -- --
Amortization of Deferred
Organizational Costs 1 -- -- --
Other Expenses 1 5 5 1
------ ------- ------- -------
Total Expenses 115 868 838 196
------ ------- ------- -------
NET INVESTMENT INCOME (LOSS) 119 1,323 2,587 837
------ ------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) from Security
Transactions 2,039 21,155 11,945 2,935
Net Realized Gain from Futures
Contracts -- 941 1,269 --
Net Gain from In-Kind
Redemptions -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments (44) (9,090) 1,742 (1,092)
------ ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $2,114 $14,329 $17,543 $ 2,680
====== ======= ======= =======
---------- ----- ----------
CORE FIXED HIGH YIELD
INCOME BOND BOND
---------- ----- ----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ -- $ -- $ 27
Interest Income 25,003 768 7,275
------- ------ ------
Total Investment Income 25,003 768 7,302
------- ------ ------
EXPENSES:
Management Fees 1,036 35 237
Waiver of Management Fees (39) (3) (30)
Investment Advisory Fees 1,018 34 329
Waiver of Investment Advisory Fees -- -- --
Custodian/Wire Agent Fees 56 2 10
Transfer Agent Fees (1) -- -- --
Professional Fees 24 1 5
Registration Fees 43 -- 8
Printing Expense 45 3 6
Trustee Fees 12 -- 2
Insurance Expense 3 -- --
Pricing Fees 9 -- 3
Distribution Fees -- 2 --
Distribution Fees-- Class D (1) -- -- --
Amortization of Deferred
Organizational Costs -- -- 13
Other Expenses 13 -- 2
------- ------ ------
Total Expenses 2,220 74 585
------- ------ ------
NET INVESTMENT INCOME (LOSS) 22,783 694 6,717
------- ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) from Security
Transactions 4,184 99 (589)
Net Realized Gain from Futures
Contracts 233 -- --
Net Gain from In-Kind
Redemptions -- -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments (11,986) (130) (713)
------- ------ ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $15,214 $ 663 $5,415
======= ====== ======
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
40 & 41
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1997
(UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30, 1996.
<TABLE>
<CAPTION>
-------------------------- -------------------------- ----------------------------
LARGE CAP LARGE CAP SMALL CAP
VALUE GROWTH VALUE
-------------------------- -------------------------- ----------------------------
10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95-
3/31/97 9/30/96 3/31/97 9/30/96 3/31/97 9/30/96
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 5,422 $ 10,530 $ 709 $ 2,094 $ 421 $ 219
Net Realized Gain (Loss) from
Security Transactions 23,909 57,267 6,733 49,158 13,415 16,664
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 24,904 4,879 28,026 27,983 7,486 190
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 54,235 72,676 35,468 79,235 21,322 17,073
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (5,463) (8,234) (721) (2,207) (184) (84)
Class D -- -- -- -- -- --
Net Realized Gains
Class A (40,762) (8,350) (29,059) (5,917) (13,816) (3,268)
Class D -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions (46,225) (16,584) (29,780) (8,124) (14,000) (3,352)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 143,771 336,634 136,919 335,867 49,092 116,387
Shares Issued in Lieu of Cash
Distributions 36,337 12,320 24,083 6,421 10,565 2,567
Shares Redeemed (96,945) (221,727) (95,104) (228,697) (30,804) (72,473)
-------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 83,163 127,227 65,898 113,591 28,853 46,481
-------- -------- -------- -------- -------- --------
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions 83,163 127,227 65,898 113,591 28,853 46,481
-------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets 91,173 183,319 71,586 184,702 36,175 60,202
-------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 515,011 331,692 482,079 297,377 163,177 102,975
-------- -------- -------- -------- -------- --------
End of Period $606,184 $515,011 $553,665 $482,079 $199,352 $163,177
======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 9,265 24,060 8,537 24,470 3,571 9,497
Shares Issued in Lieu of
Cash Distributions 2,466 900 1,559 484 811 222
Shares Redeemed (6,293) (15,627) (5,945) (16,217) (2,219) (5,772)
-------- -------- -------- -------- -------- --------
Total Class A Transactions 5,438 9,333 4,151 8,737 2,163 3,947
======== ======== ======== ======== ======== ========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Class D Transactions -- -- -- -- -- --
======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ 2,711 $ 2,752 $ 478 $ 490 $ 344 $ 107
======== ======== ======== ======== ======== ========
---------------------------- ----------------------------
SMALL CAP
GROWTH MID-CAP
---------------------------- ----------------------------
10/1/96- 10/1/95- 10/1/96- 10/1/95-
3/31/97 9/30/96 3/31/97 9/30/96
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ (932) $ (2,055) $ 119 $ 314
Net Realized Gain (Loss) from
Security Transactions 13,309 94,616 2,039 2,538
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (85,824) (11,662) (44) 703
-------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations (73,447) 80,899 2,114 3,555
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A -- -- (139) (265)
Class D -- -- -- --
Net Realized Gains
Class A (74,231) (55,473) (2,094) --
Class D (356) (169) -- --
-------- -------- -------- --------
Total Distributions (74,587) (55,642) (2,233) (265)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 121,976 181,315 9,285 11,967
Shares Issued in Lieu of Cash
Distributions 49,458 36,973 1,495 158
Shares Redeemed (62,972) (173,127) (8,705) (18,394)
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 108,462 45,161 2,075 (6,269)
-------- -------- -------- --------
Class D:
Shares Issued 296 1,397 -- --
Shares Issued in Lieu of Cash
Distributions 355 146 -- --
Shares Redeemed (194) (634) -- (73)
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions 457 909 -- (73)
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions 108,919 46,070 2,075 (6,342)
-------- -------- -------- --------
Net Increase (Decrease)
in Net Assets (39,115) 71,327 1,956 (3,052)
-------- -------- -------- --------
NET ASSETS:
Beginning of Period 382,351 311,024 24,954 28,006
-------- -------- -------- --------
End of Period $343,236 $382,351 $ 26,910 $ 24,954
======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 7,300 9,925 597 904
Shares Issued in Lieu of
Cash Distributions 3,140 2,292 101 12
Shares Redeemed (3,691) (9,271) (558) (1,391)
-------- -------- -------- --------
Total Class A Transactions 6,749 2,946 140 (475)
======== ======== ======== ========
Class D:
Shares Issued 17 75 -- --
Shares Issued in Lieu of
Cash Distributions 23 9 -- --
Shares Redeemed (11) (34) -- (5)
-------- -------- -------- --------
Total Class D Transactions 29 50 -- (5)
======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ (932) $ -- $ 47 $ 67
======== ======== ======== ========
----------------- ----------------- ----------------- -----------------
Capital Equity Core Fixed
Appreciation Income Balanced Income
----------------- ----------------- ----------------- -----------------
10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95-
3/31/97 9/30/96 3/31/97 9/30/96 3/31/97 9/30/96 3/31/97 9/30/96
------- -------- ------- -------- ------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 1,323 $ 3,162 $ 2,587 $ 7,016 $ 837 $ 1,933 $ 22,783 $ 34,035
Net Realized Gain (Loss) from
Security Transactions 22,096 57,840 13,214 37,481 2,935 8,223 4,417 7,570
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (9,090) (7,355) 1,742 (5,951) (1,092) (922) (11,986) (18,923)
-------- -------- -------- -------- ------- ------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 14,329 53,647 17,543 38,546 2,680 9,234 15,214 22,682
-------- -------- -------- -------- ------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (1,471) (2,737) (2,846) (6,148) (902) (1,656) (22,783) (36,189)
Class D -- (3) -- (41) -- -- -- (8)
Net Realized Gains
Class A (56,597) (29,520) (32,447) (28,137) (8,229) (1,716) (10,904) --
Class D -- (91) -- (254) -- -- -- --
-------- -------- -------- -------- ------- ------- -------- --------
Total Distributions (58,068) (32,351) (35,293) (34,580) (9,131) (3,372) (33,687) (36,197)
-------- -------- -------- -------- ------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 23,418 50,143 22,921 69,550 6,308 16,421 236,704 472,189
Shares Issued in Lieu of Cash
Distributions 36,293 18,957 12,472 9,470 8,819 3,265 20,362 23,028
Shares Redeemed (83,135) (165,075) (43,016) (131,146) (18,046) (38,097) (74,811)(246,431)
-------- -------- -------- -------- ------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (23,424) (95,975) (7,623) (52,126) (2,919) (18,411) 182,255 248,786
-------- -------- -------- -------- ------- ------- -------- --------
Class D:
Shares Issued -- 16 -- 4,144 -- -- -- 6
Shares Issued in Lieu of Cash
Distributions -- 74 -- 267 -- -- -- 4
Shares Redeemed -- (523) -- (6,340) -- -- -- (149)
-------- -------- -------- -------- ------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- (433) -- (1,929) -- -- -- (139)
-------- -------- -------- -------- ------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions (23,424) (96,408) (7,623) (54,055) (2,919) (18,411) 182,255 248,647
-------- -------- -------- -------- ------- ------- -------- --------
Net Increase (Decrease)
in Net Assets (67,163) (75,112) (25,373) (50,089) (9,370) (12,549) 163,782 235,132
-------- -------- -------- -------- ------- ------- -------- --------
NET ASSETS:
Beginning of Period 236,581 311,693 202,823 252,912 57,915 70,464 655,300 420,168
-------- -------- -------- -------- ------- ------- -------- --------
End of Period $169,418 $236,581 $177,450 $202,823 $48,545 $57,915 $819,082 $655,300
======== ======== ======== ======== ======= ======= ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 1,463 2,969 1,457 4,398 480 1,240 23,049 45,721
Shares Issued in Lieu of
Cash Distributions 2,508 1,203 844 620 717 251 1,978 2,232
Shares Redeemed (5,382) (9,773) (2,741) (8,272) (1,395) (2,861) (7,278) (24,048)
Total Class A Transactions (1,411) (5,601) (440) (3,254) (198) (1,370) 17,749 23,905
======== ======== ======== ======== ======= ======= ======== ========
Class D:
Shares Issued -- 1 -- 273 -- -- -- 1
Shares Issued in Lieu of
Cash Distributions -- 5 -- 17 -- -- -- --
Shares Redeemed -- (31) -- (404) -- -- -- (14)
-------- -------- -------- -------- ------- ------- -------- --------
Total Class D Transactions -- (25) -- (114) -- -- -- (13)
======== ======== ======== ======== ======= ======= ======== ========
Undistributed Net
Investment Income (Loss) $ 568 $ 716 $ 1,179 $ 1,438 $ 388 $ 453 $ -- $ --
======== ======== ======== ======== ======= ======= ======== ========
------------------ -----------------
High Yield
Bond Bond
------------------ -----------------
10/1/96- 10/1/95- 10/1/96- 10/1/95-
3/31/97 9/30/96 3/31/97 9/30/96
------- ------- ------- -------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 694 $ 2,458 $ 6,717 $ 5,215
Net Realized Gain (Loss) from
Security Transactions 99 2,616 (589) 484
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (130) (3,365) (713) 2,983
------- ------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 663 1,709 5,415 8,682
------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (694) (2,732) (6,078) (5,405)
Class D -- (5) -- --
Net Realized Gains
Class A -- -- (589) (92)
Class D -- -- -- --
------- ------- -------- --------
Total Distributions (694) (2,737) (6,667) (5,497)
------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 2,273 10,939 61,651 85,242
Shares Issued in Lieu of Cash
Distributions 235 1,312 5,064 5,127
Shares Redeemed (11,320) (36,711) (13,580) (9,733)
------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (8,812) (24,460) 53,135 80,636
------- ------- -------- --------
Class D:
Shares Issued -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- 2 -- --
Shares Redeemed -- (58) -- --
------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- (56) -- --
------- ------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions (8,812) (24,516) 53,135 80,636
------- ------- -------- --------
Net Increase (Decrease)
in Net Assets (8,843) (25,544) 51,883 83,821
------- ------- -------- --------
NET ASSETS:
Beginning of Period 28,863 54,407 107,545 23,724
------- ------- -------- --------
End of Period $20,020 $28,863 $159,428 $107,545
======= ======= ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 212 1,007 5,498 7,848
Shares Issued in Lieu of
Cash Distributions 21 121 452 471
Shares Redeemed (1,055) (3,411) (1,205) (892)
------- ------- -------- --------
Total Class A Transactions (822) (2,283) 4,745 7,427
======= ======= ======== ========
Class D:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- --
Shares Redeemed -- (5) -- --
------- ------- -------- --------
Total Class D Transactions -- (5) -- --
======= ======= ======== ========
Undistributed Net
Investment Income (Loss) $ -- $ -- $ 639 $ --
======= ======= ======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
42 & 43
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1997 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DISTRIBUTIONS FROM RATIO OF
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997** $14.78 $ 0.14 $1.45 $(0.15) $(1.17) $15.05 22.14% $606,184 0.85%
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33% 515,011 0.83%
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83% 331,692 0.76%
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)% 133,178 0.75%
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35% 205,157 0.75%
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17% 242,065 0.75%
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1997** $15.03 $ 0.01 $1.18 $(0.02) $(0.91) $15.29 15.82% $553,665 0.86%
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59% 482,079 0.82%
1995 (4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90% 297,377 0.85%
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1997** $13.17 $ 0.02 $1.58 $(0.01) $(1.06) $13.70 25.35% $199,352 1.11%
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86% 163,177 1.11%
1995 (5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38% 102,975 1.10%
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1997** $20.51 $(0.04) $(3.12) $ -- $(3.85) $13.50 (36.26)% $341,657 1.11%
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56% 380,525 1.10%
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65% 310,238 1.10%
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23% 300,296 1.01%
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81% 193,816 0.97%
1992 (2) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191 0.97%
CLASS D
1997* $20.29 $(0.06) $(3.08) $ -- $(3.85) $13.30 (36.50)%* $ 1,579 1.47%
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01%* 1,826 1.49%
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44%* 786 1.50%
1994 (3) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171 1.49%
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1997** $14.96 $ 0.07 $ 1.19 $(0.08) $(1.25) $14.89 17.15% $ 26,910 0.85%
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03% 24,954 0.77%
1995 10.89 0.01 2.14 -- -- 13.04 19.78% 27,898 0.94%
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)% 108,002 0.93%
1993 (1) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669 0.90%
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
INCOME TO AVERAGE TO AVERAGE
(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
1997** 1.92% 0.85% 1.92% 36% $0.0514
1996 2.31% 0.83% 2.31% 75% 0.0531
1995 2.92% 0.82% 2.86% 99% N/A
1994 2.51% 0.75% 2.51% 67% N/A
1993 2.64% 0.76% 2.63% 96% N/A
1992 2.79% 0.80% 2.74% 17% N/A
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1997** 0.27% 0.91% 0.22% 36% $0.0549
1996 0.50% 0.87% 0.45% 90% 0.0602
1995 (4) 1.15% 0.89% 1.11% 44% N/A
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1997** 0.45% 1.11% 0.45% 55% $0.0535
1996 0.15% 1.11% 0.15% 121% 0.5070
1995 (5) 0.26% 1.12% 0.24% 64% N/A
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1997** (0.50)% 1.11% (0.50)% 62% $0.0810
1996 (0.63)% 1.11% (0.64)% 167% 0.0529
1995 (0.60)% 1.13% (0.63)% 113% N/A
1994 (0.51)% 1.11% (0.61)% 97% N/A
1993 (0.25)% 1.14% (0.42)% 85% N/A
1992 (2) 0.49% 1.29% 0.17% 33% N/A
CLASS D
1997* (0.86)% 1.47% (0.86)% 62% $0.0810
1996 (1.02)% 1.49% (1.02)% 167% 0.0529
1995 (1.03)% 1.55% (1.08)% 113% N/A
1994 (3) (0.92)% 1.52% (0.95)% 97% N/A
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS
1997** 0.88% 0.88% 0.85% 48% $0.0276
1996 1.28% 0.88% 1.17% 101% 0.0124
1995 0.04% 1.09% (0.11)% 108% N/A
1994 0.03% 1.06% (0.10)% 89% N/A
1993 (1) 0.26% 1.12% 0.04% 87% N/A
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DISTRIBUTIONS FROM RATIO OF
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997** $18.14 $ 0.11 $1.01 $(0.11) $(4.58) $14.57 13.20% $169,418 0.84%
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14% 236,581 0.84%
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03% 310,693 0.84%
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)% 729,100 0.79%
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50% 776,745 0.75%
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03% 536,028 0.75%
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1997** $16.40 $ 0.21 $1.17 $(0.23) $(2.68) $14.87 17.63% $177,450 0.85%
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17% 202,823 0.83%
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00% 250,609 0.82%
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05% 418,207 0.78%
1993 13.33 0.51 1.75 (0.51) (0.08) 15.00 17.34% 337,939 0.75%
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03% 178,756 0.75%
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1997** $13.94 $ 0.20 $0.48 $(0.21) $(2.14) $12.27 10.19% $ 48,545 0.75%
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01% 57,915 0.75%
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05% 70,464 0.75%
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)% 65,480 0.75%
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49% 33,807 0.75%
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64% 5,974 0.75%
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1997** $10.32 $ 0.32 $(0.06) $(0.32) $(0.16) $10.01 4.97% $819,082 0.60%
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51% 655,300 0.57%
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87% 419,959 0.55%
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)% 311,955 0.55%
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58% 295,798 0.55%
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91% 213,632 0.55%
RATIO OF NET
RATIO OF RATIO INVESTMENT
NET OF EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- --------------------------------------------------------------------------------
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
1997** 1.28% 0.89% 1.23% 77% $0.0558
1996 1.20% 0.86% 1.18% 153% 0.0517
1995 1.39% 0.89% 1.34% 107% N/A
1994 1.45% 0.84% 1.40% 109% N/A
1993 2.06% 0.84% 1.97% 119% N/A
1992 2.12% 0.88% 1.99% 84% N/A
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1997** 2.63% 0.90% 2.58% 23% $0.0582
1996 3.00% 0.86% 2.97% 43% 0.0429
1995 3.72% 0.88% 3.66% 47% N/A
1994 3.68% 0.84% 3.62% 28% N/A
1993 3.73% 0.85% 3.63% 39% N/A
1992 4.15% 0.87% 4.03% 18% N/A
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1997** 3.20% 0.81% 3.14% 74% $0.0573
1996 2.98% 0.84% 2.89% 143% 0.0382
1995 2.92% 0.90% 2.77% 159% N/A
1994 2.05% 0.91% 1.89% 149% N/A
1993 2.24% 0.94% 2.05% 109% N/A
1992 4.83% 1.12% 4.46% 101% N/A
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1997** 6.17% 0.61% 6.16% 118% N/A
1996 6.24% 0.64% 6.17% 311% N/A
1995 6.60% 0.68% 6.47% 294% N/A
1994 5.57% 0.62% 5.50% 370% N/A
1993 5.63% 0.66% 5.52% 35% N/A
1992 6.71% 0.68% 6.58% 39% N/A
</TABLE>
45
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1997 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DISTRIBUTIONS FROM RATIO OF
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
- --------------
BOND PORTFOLIO
- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997** $10.61 $0.30 $(0.07) $(0.30) $ -- $10.54 4.31% $ 20,020 0.60%
1996 10.86 0.62 (0.19) (0.68) -- 10.61 4.01% 28,863 0.57%
1995 9.95 0.70 0.97 (0.69) (0.07) 10.86 17.53% 54,286 0.55%
1994 12.25 0.59 (1.62) (0.59) (0.68) 9.95 (9.12)% 123,329 0.55%
1993 11.09 0.66 1.19 (0.67) (0.02) 12.25 17.36% 97,163 0.55%
1992 10.47 0.73 0.62 (0.73) -- 11.09 13.52% 65,061 0.55%
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
CLASS A
1997** $11.14 $0.54 $(0.06) $(0.50) $(0.05) $11.07 8.78% $159,428 0.87%
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46% 107,545 0.87%
1995 (6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72% 23,724 0.67%
RATIO OF NET
RATIO OF RATIO INVESTMENT
NET OF EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- ------------------------------------------------------------
- --------------
BOND PORTFOLIO
- --------------
<S> <C> <C> <C> <C>
CLASS A
1997** 5.61% 0.62% 5.59% 11%
1996 5.68% 0.70% 5.55% 66%
1995 6.46% 0.70% 6.31% 79%
1994 5.61% 0.67% 5.49% 73%
1993 5.87% 0.66% 5.76% 47%
1992 6.98% 0.71% 6.82% 24%
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
CLASS A
1997** 9.96% 0.91% 9.92% 31%
1996 9.01% 0.94% 8.94% 55%
1995 (6) 10.02% 0.86% 9.83% 56%
<FN>
1 MID-CAP CLASS A SHARES WERE OFFERED BEGINNING FEBRUARY 16, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SMALL CAP GROWTH CLASS A SHARES WERE OFFERED BEGINNING APRIL 20, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 SMALL CAP GROWTH CLASS D SHARES WERE OFFERED MAY 2, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 LARGE CAP GROWTH SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 SMALL CAP VALUE SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 HIGH YIELD BOND SHARES WERE OFFERED BEGINNING JANUARY 11, 1995. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
** FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1997. ALL RATIOS INCLUDING TOTAL
RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS REQUIRED FOR FISCAL
YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
46
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts
Business Trust under a Declaration of Trust dated October 20, 1986.
2. SIGNIFICANT ACCOUNTING POLICIES
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with eleven diversified Portfolios (the
"Portfolios"): Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond. The Trust is registered to offer Class A
shares of the Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond Portfolios and Class D shares of the Small Cap
Growth Portfolio. The Funds' prospectus provides a description of each Fund's
investment objective, policies, and strategies. The following is a summary of
the significant accounting policies followed by the Trust.
SECURITY VALUATION--Investments in equity securities which 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. 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.
FEDERAL INCOME TAXES--It is each Portfolio's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE--Net asset value per share is calculated on a
daily basis by dividing the assets of each Portfolio less its liabilities by the
number of outstanding shares of the Portfolio.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreement. The Portfolios also invest in tri-party repurchase
agreements. Securities held 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 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. 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.
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 Portfolios are
charged directly to that Portfolio. Other operating expenses of the Portfolios
are prorated to the Portfolios on the basis of relative net assets.
CLASSES--Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
FUTURES CONTRACTS--The Large Cap Growth, Large Cap Value, Small Cap Value,
Small Cap Growth, Capital Appreciation and Equity Income Portfolios utilized S&P
500 Index futures contracts and the Core Fixed Income Portfolio utilized U.S.
Long Bond futures contracts during the period ended March 31, 1997. The
Portfolios' investment in S&P 500 Index futures contracts is designed to enable
the Portfolios to more closely approximate the performance of their benchmark
indices. The Core Fixed Income Portfolio'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 mar-
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1997 (UNAUDITED)
ket 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 Portfolio 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. Futures contracts involve risk of loss in excess of the
amounts recognized in the Statement of Net Assets to the extent of the contract
amounts.
DETERMINATION, DISCLOSURE AND FINANCIAL STATEMENT PRESENTATION OF INCOME
AND CAPITAL GAIN--Effective October 1, 1993, the Fund adopted Statement of
Position 93-2: Determination, Disclosure, and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies. Based on this Statement of Position, the Large Cap Value Portfolio,
Large Cap Growth Portfolio, and Small Cap Growth Portfolio reclassified
$126,000, $30,000, and $8,000, respectively, from undistributed net realized
gain to paid-in capital. Net investment income, net realized gains, and net
assets were not affected by these reclassifications.
During the year ended September 30, 1996, the Large Cap Value Portfolio,
Large Cap Growth Portfolio, Small Cap Value Portfolio, Small Cap Growth
Portfolio and Core Fixed Income Portfolio transferred securities to shareholders
in order to meet fund share redemptions. This security transfer resulted in
non-taxable realized gains and losses to the Portfolios of $19,956,000,
$19,428,000, $2,887,000, $6,923,000, and ($2,416,000), respectively, which is
included in paid-in capital, a component of equity.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Portfolio 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.
OTHER--Security transactions are recorded on the trade date of the security
purchase or sale. Cost 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 Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated January 22, 1987. Under this
Agreement, the Manager provides management, administrative, and shareholder
servicing for an annual fee of .35% of the average daily net assets of the Large
Cap Value, Large Cap Growth, Small Cap Value, High Yield Bond, Small Cap Growth,
Mid-Cap, Capital Appreciation, Equity Income, and Balanced Portfolios; and .28%
of the average daily net assets of the Core Fixed Income and Bond Portfolios.
The Manager has agreed to waive all or a portion of its fee in order to limit
the operating expenses of a Portfolio. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Financial Management ("SFM") serves as investment adviser to each
Portfolio. In connection with serving as investment adviser, SFM is entitled to
a fee, which is calculated daily and paid monthly, at an annual rate of .35% of
the Large Cap Value Portfolio's average daily net assets, at an annual rate of
.40% of the Large Cap Growth, Mid-Cap, Capital Appreciation, Equity Income and
Balanced Portfolios' average daily net assets, at an annual rate of .65% of the
Small Cap Value and Small Cap Growth Portfolios' average daily net assets, at an
annual rate of .275% of the Core Fixed Income and Bond
48
<PAGE>
- --------------------------------------------------------------------------------
Portfolios' average daily net assets and .4875% of the High Yield Bond
Portfolio's average daily net assets. The adviser has voluntarily agreed to
waive a portion of its fee in an amount equal to .05% of the average daily net
assets of the Capital Appreciation, Equity Income, and Balanced Portfolios.
Prior to November 13, 1995, Western Asset Management Company served as
investment adviser to the Core Fixed Income Portfolio.
Mellon Equity Associates, Pacific Alliance Capital Management and LSV
Capital Management each serve as an investment sub-adviser to a portion of the
assets of the Large Cap Value Portfolio and are party to investment sub-advisory
agreements with the Trust and SFM dated December 16, 1994, April 1, 1996 and
March 31, 1995, respectively. Under the investment sub-advisory agreements, each
party receives an annual fee, paid by SFM.
IDS Advisory Group, Inc., Alliance Capital Management L.P., and Provident
Investment Counsel, Inc. each serve as an investment sub-adviser to a portion of
the assets of the Large Cap Growth Portfolio and are party to investment
sub-advisory agreements with the Trust and SFM dated December 16, 1994, December
16, 1994, and May 1, 1996, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SFM.
1838 Investment Advisors, L.P. and Boston Partners Asset Management, L.P.
each serve as an investment sub-adviser to a portion of the assets of the Small
Cap Value Portfolio and are party to investment sub-advisory agreements with the
Trust and SFM dated December 18, 1994, and November 13, 1995, respectively.
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SFM.
Nicholas-Applegate Capital Management, Inc., First of America Investment
Corporation, Wall Street Associates, and Furman Selz Capital Management, LLC
each serve as an investment sub-adviser to a portion of the assets of the Small
Cap Growth Portfolio and are party to investment sub-advisory agreements with
the Trust and SFM dated August 11, 1995, June 14, 1996, August 11, 1995 and
August 11, 1995, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SFM.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Portfolio and is party to an investment sub-advisory agreement with the
Trust and SFM dated August 14, 1995. Under the investment sub-advisory
agreement, Martingale Asset Management, L.P. receives an annual fee, paid by
SFM.
Pacific Alliance Capital Management serves as investment sub-adviser to the
Equity Income Portfolio and is party to an investment sub-advisory agreement
with the Trust and SFM dated April 1, 1996. Under the investment sub-advisory
agreement, Pacific Alliance Capital Management receives an annual fee, paid by
SFM.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Portfolios and is party to an investment
sub-advisory agreement with the Trust and SFM dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each
Portfolio, paid by SFM.
Boatmen's Trust Company serves as investment sub-adviser to the Bond
Portfolio and is a party to an investment sub-advisory agreement with the Trust
and SFM dated July 10, 1995. Under the investment sub-advisory agreement,
Boatmen's Trust Company receives an annual fee, paid by SFM.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Portfolio and
are parties to investment sub-advisory agreements with the Trust and SFM dated
November 13, 1995, January 2, 1996, and November 13, 1995, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SFM.
BEA Associates serves as investment sub-adviser to the High Yield Bond
Portfolio and is a party to an investment sub-advisory agreement with the Trust
and SFM dated August 11, 1995. Under the invest-
49
<PAGE>
- --------------------------------------------------------------------------------
ment sub-advisory agreement, BEA Associates receives an annual fee, paid by SFM.
SEI Financial Services Company (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Portfolio's distributor pursuant to a
distribution agreement with the Trust. Effective April 15, 1996, the Trust
adopted a shareholder servicing plan for Class A shares (the "Class A Plan")
under which a shareholder servicing fee of up to .25% of average daily net
assets attributable to Class A shares will be paid to the Distributor. Prior to
April 15, 1996, SEI Financial Services Company acted as the distributor of
shares of the Trust under distribution plans which provided for the Trust to
reimburse the Distributor for certain distribution-related expenses incurred by
the Distributor. Such expenses could not exceed .30% of the average daily net
assets of a Portfolio, provided the expenses were permissable as to both type
and amount under a budget approved and monitored by the Board of Trustees.
The Trust has adopted a distribution plan for its Class D shares (the
"Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily
net assets attributable to the Class D shares will be paid to the Distributor.
This payment may be used to compensate financial institutions that provide
distribution-related services to their customers. Under both the Class A Plan
and the Class D Plan, the Distributor may retain as profit any difference
between the fee it receives and the amount it pays to third parties.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ("SEC"). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust and are being
amortized over sixty months commencing with operations. In the event any of the
initial shares are redeemed by any holder thereof during the period that the
Trust is amortizing its organizational costs, the redemption proceeds payable to
the holder thereof by the Trust will be reduced by the unamortized
organizational costs in the same ratio as the number of initial shares
outstanding at the time of the redemption.
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.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for repurchase agreements
placed during the period ended March 31, 1997 were nominal in the aggregate.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including US Government securities, other than temporary cash investments during
the period ended March 31, 1997, were as follows:
PURCHASES SALES
(000) (000)
------------ ----------
Large Cap Value $254,441 $200,820
Large Cap Growth 217,150 183,149
Small Cap Value 107,618 96,916
Small Cap Growth 246,713 209,936
Mid-Cap 12,494 12,279
Capital Appreciation 147,403 228,643
Equity Income 42,744 82,589
Balanced 36,829 47,135
Core Fixed Income 845,902 733,877
Bond 2,301 11,408
High Yield Bond 84,628 39,098
50
<PAGE>
- --------------------------------------------------------------------------------
At March 31, 1997, 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 at March 31, 1997
is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
----------- ----------- ------------
Large Cap Value $ 85,856 $(12,584) $ 73,272
Large Cap Growth 103,778 (14,237) 89,541
Small Cap Value 24,876 (6,336) 18,540
Small Cap Growth 35,618 (44,572) (8,954)
Mid-Cap 3,950 (938) 3,012
Capital Appreciation 22,444 (6,972) 15,472
Equity Income 36,534 (1,859) 34,675
Balanced 3,694 (1,258) 2,436
Core Fixed Income 1,583 (18,548) (16,965)
Bond 62 (249) (187)
High Yield Bond 5,254 (2,621) 2,633
At March 31, 1997 the following Portfolio had available realized capital
losses to offset future net capital gains through fiscal year ended 2004.
(000)
-------
Bond $ 3,695
6. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of March 31, 1997:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- ---------- ------- ------------ -----------
Core Fixed Income
U.S. 5 Year Note 179 105.20 June 1997 $(161)
U.S. 5 Year Note 138 105.15 June 1997 (117)
U.S. 5 Year Note 1 105.66 June 1997 (1)
U.S. 10 Year Note (51) 106.43 June 1997 47
U.S. 10 Year Note (42) 106.28 June 1997 33
U.S. 10 Year Note (39) 105.59 June 1997 3
U.S. Long T-Bond (40) 108.99 June 1997 71
U.S. Long T-Bond (17) 109.46 June 1997 38
-----
$ (87)
=====
Large Cap Value
S & P 500 5 $790.82 June 1997 $ (82)
S & P 500 3 793.02 June 1997 (53)
S & P 500 2 790.92 June 1997 (33)
S & P 500 1 799.42 June 1997 (21)
S & P 500 1 794.32 June 1997 (18)
-----
$(207)
=====
Large Cap Growth
S & P 500 6 $794.02 June 1997 $(108)
S & P 500 4 793.02 June 1997 (70)
S & P 500 4 773.72 June 1997 (31)
S & P 500 3 797.12 June 1997 (59)
S & P 500 2 802.92 June 1997 (45)
S & P 500 2 801.22 June 1997 (43)
S & P 500 2 800.82 June 1997 (43)
S & P 500 2 797.02 June 1997 (39)
S & P 500 1 803.62 June 1997 (23)
S & P 500 1 799.42 June 1997 (21)
S & P 500 1 794.32 June 1997 (18)
-----
$(500)
=====
Small Cap Value
S & P 500 11 $804.42 June 1997 $(255)
S & P 500 2 794.12 June 1997 (36)
S & P 500 1 799.42 June 1997 (21)
S & P 500 1 797.12 June 1997 (20)
S & P 500 1 794.32 June 1997 (18)
S & P 500 1 793.02 June 1997 (17)
S & P 500 1 792.02 June 1997 (17)
S & P 500 1 773.72 June 1997 (8)
-----
$(392)
=====
Small Cap Growth
S & P 500 25 $804.42 June 1997 $(580)
S & P 500 5 802.92 June 1997 (112)
S & P 500 3 797.02 June 1997 (59)
S & P 500 2 800.92 June 1997 (43)
S & P 500 2 792.12 June 1997 (34)
S & P 500 2 773.72 June 1997 (16)
S & P 500 1 799.42 June 1997 (21)
S & P 500 1 794.32 June 1997 (18)
S & P 500 1 794.12 June 1997 (18)
-----
$(901)
=====
Capital Appreciation
S & P 500 16 $804.46 June 1997 $(372)
=====
Equity Income
S & P 500 7 $794.32 June 1997 $(127)
S & P 500 1 799.92 June 1997 (21)
-----
$(148)
=====
51
<PAGE>
NOTES
<PAGE>
=============================
SEI INSTITUTIONAL
=============================
MANAGED TRUST
=============================
SEMI-ANNUAL REPORT
=============================
MARCH 31, 1997 (UNAUDITED)
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Stephen G. Meyer
CONTROLLER, CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISORS
EQUITY & BALANCED PORTFOLIOS
SEI Financial Management Corporation
FIXED INCOME PORTFOLIOS
SEI Financial Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANT
Price Waterhouse 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.
FOR MORE INFORMATION CALL 1(Bullet)800(Bullet)DIAL(Bullet)SEI/1(Bullet)
800(Bullet)342(Bullet)5734
<PAGE>
[SEI LOGO]
FINANCIAL
SERVICES
COMPANY
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-092-04
