SEMI-ANNUAL REPORT AS OF
MARCH 31, 1999 (UNAUDITED)
SEI INSTITUTIONAL
MANAGED TRUST
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Large Cap Value
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Large Cap Growth
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Tax Managed Large Cap
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Small Cap Value
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Small Cap Growth
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Mid-Cap
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Capital Appreciation
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Equity Income
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Balanced
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Core Fixed Income
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High Yield Bond
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[LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
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STATEMENTS OF NET ASSETS.................................. 1
STATEMENTS OF OPERATIONS.................................. 52
STATEMENTS OF CHANGES IN NET ASSETS....................... 54
FINANCIAL HIGHLIGHTS...................................... 56
NOTES TO FINANCIAL STATEMENTS............................. 59
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
LARGE CAP VALUE FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
COMMON STOCKS -- 98.9%
AEROSPACE & DEFENSE -- 0.9%
Cordant Technologies 184,400 $ 7,341
Litton Industries* 179,700 10,333
----------
17,674
----------
AIR TRANSPORTATION -- 0.7%
AMR* 119,100 6,975
Delta Air Lines 102,500 7,124
----------
14,099
----------
AIRCRAFT -- 1.9%
Rockwell International 101,600 4,312
Textron 105,000 8,124
United Technologies 182,600 24,731
----------
37,167
----------
APPAREL/TEXTILES -- 0.5%
Springs Industries, Cl A 37,200 1,007
VF 177,800 8,390
----------
9,397
----------
AUTOMOTIVE -- 3.2%
Eaton 90,100 6,442
Ford Motor 669,800 38,011
General Motors 114,000 9,904
Navistar International* 204,900 8,234
----------
62,591
----------
BANKS -- 14.4%
Amsouth Bancorp 221,850 10,094
Astoria Financial* 105,600 5,280
Bank One 361,096 19,883
BankAmerica 820,471 57,946
Bankers Trust New York 66,301 5,851
Chase Manhattan 554,100 45,055
Comerica 253,600 15,834
Commerce Bancshares 112,965 4,349
Firstar 202,900 18,160
Fleet Financial Group 349,200 13,139
Golden West Financial 172,800 16,502
JP Morgan 67,400 8,315
KeyCorp 336,600 10,203
MBNA 467,200 11,154
PNC Bank 486,500 27,031
Republic New York 293,000 13,515
----------
282,311
----------
BEAUTY PRODUCTS -- 0.5%
Eastman Chemical 175,900 7,399
FMC* 35,800 1,768
----------
9,167
----------
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MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.2%
Fox Entertainment Group, Cl A* 168,400 $ 4,568
----------
BUILDING & CONSTRUCTION -- 0.7%
Centex 309,500 10,330
Fluor 124,000 3,348
----------
13,678
----------
CHEMICALS -- 4.5%
Dow Chemical 498,100 46,417
Lubrizol 133,180 2,997
Millenium Chemicals 102,200 2,031
Nalco Chemical 142,600 3,788
PPG Industries 163,000 8,354
Praxair 345,800 12,470
Union Carbide 294,300 13,299
----------
89,356
----------
COMMUNICATIONS EQUIPMENT -- 1.2%
GTE 147,800 8,942
Harris 152,700 4,371
Sprint 112,300 11,019
----------
24,332
----------
COMPUTERS & SERVICES -- 4.2%
Apple Computer* 400,400 14,389
Cirrus Logic* 118,200 13,209
Hewlett Packard 99,900 6,774
IBM 197,500 35,007
Quantum* 384,900 6,928
Unisys* 230,900 6,393
----------
82,700
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Owens-Corning Fiberglass 100,500 3,197
----------
CONTAINERS & PACKAGING -- 0.4%
Ball 60,200 2,826
Crown Cork & Seal 194,900 5,567
----------
8,393
----------
DRUGS -- 1.4%
Johnson & Johnson 54,500 5,106
Schering Plough 292,600 16,184
Warner Lambert 91,100 6,030
----------
27,320
----------
ELECTRICAL SERVICES -- 6.2%
American Electric Power 179,300 7,116
Baltimore Gas & Electric 234,300 5,945
Consolidated Edison 178,000 8,066
DTE Energy 111,300 4,278
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
LARGE CAP VALUE FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Edison International 271,100 $ 6,032
Energy East 221,900 11,664
FirstEnergy* 160,800 4,492
FPL Group 240,600 12,812
PG&E 336,059 10,439
Pinnacle West Capital 527,700 19,195
Public Service Enterprise Group 260,400 9,944
Reliant Energy 90,745 2,365
Southern 452,600 10,551
Unicom 111,300 4,069
Wisconsin Energy 211,365 5,522
----------
122,490
----------
ENVIRONMENTAL SERVICES -- 0.2%
Waste Management* 90,600 4,020
----------
FINANCIAL SERVICES -- 3.7%
American Express 140,600 16,521
Bear Stearns 262,191 11,717
FNMA 247,800 17,160
Lehman Brothers Holding 166,400 9,942
Transamerica 255,200 18,119
----------
73,459
----------
FOOD, BEVERAGE & TOBACCO -- 1.8%
Earthgrains 104,800 2,325
IBP 479,800 8,936
Philip Morris 282,825 9,952
Ralston-Ralston Purina Group 281,000 7,499
RJR Nabisco 248,400 6,210
Tyson Foods 36,500 755
----------
35,677
----------
GAS/NATURAL GAS -- 1.1%
Coastal 326,400 10,771
Consolidated Natural Gas 62,100 3,024
Keyspan Energy 101,152 2,541
National Fuel & Gas 126,700 4,973
----------
21,309
----------
HOUSEHOLD PRODUCTS -- 1.5%
Maytag 341,500 20,618
Whirlpool 167,000 9,081
----------
29,699
----------
INSURANCE -- 7.9%
Aetna 164,800 13,678
Allstate* 617,100 22,871
Ambac 242,000 13,068
American General 133,060 9,381
Chubb 156,700 9,177
Cigna 319,900 26,812
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MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Financial Security Assurance
Holdings 97,100 $ 4,819
Foundation Health Systems,
Cl A* 26,600 324
Hartford Financial Services Group 161,400 9,170
Lincoln National 96,100 9,502
MBIA 76,200 4,420
Old Republic International 561,450 10,246
Pacificare Health Systems, Cl B* 44,900 3,064
St Paul 278,478 8,650
XL Capital, Cl A 154,200 9,368
----------
154,550
----------
MACHINERY -- 1.5%
Aeroquip-Vickers 128,200 7,347
Cummins Engine 93,700 3,332
Ingersoll Rand 121,000 6,005
Jefferson-Pilot 121 8,198
NACCO Industries, Cl A 27,700 2,052
Timken 191,700 3,115
----------
30,049
----------
MEASURING DEVICES -- 0.3%
Mallinckrodt 252,100 6,712
----------
METALS & MINING -- 0.3%
Vulcan Materials 163,800 6,767
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.9%
Compuware* 168,400 4,021
NCR* 128,500 6,425
Oracle Systems* 270,350 7,130
----------
17,576
----------
MISCELLANEOUS MANUFACTURING -- 0.4%
Tyco International Ltd 111,400 7,993
----------
PAPER & PAPER PRODUCTS -- 3.7%
Adolph Coors, Cl B 155,800 8,413
Champion International 500,200 20,539
Consolidated Papers 118,900 2,794
International Paper 393,450 16,599
Mead 85,800 2,638
Temple-Inland 61,000 3,828
Union Camp 143,600 9,639
Westvaco 157,500 3,308
Willamette Industries 149,200 5,632
----------
73,390
----------
PETROLEUM & FUEL PRODUCTS -- 3.5%
Atlantic Richfield 374,100 27,309
Enron Oil and Gas 225,200 3,744
Occidental Petroleum 581,600 10,469
Phillips Petroleum 589,700 27,863
----------
69,385
----------
2
<PAGE>
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PETROLEUM REFINING -- 5.1%
Ashland 99,100 $ 4,057
Conoco* 150,000 3,684
Exxon 641,500 45,266
Lyondell Petrochemical 143,200 1,960
Mobil 254,400 22,387
Sunoco 200,000 7,213
Texaco 262,200 14,880
----------
99,447
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Eastman Kodak 157,800 10,079
----------
PRINTING & PUBLISHING -- 2.2%
Gannett 217,600 13,709
Lafarge 248,500 6,958
Tribune 101,300 6,629
Viacom, Cl B* 190,900 16,024
----------
43,320
----------
RAILROADS -- 1.5%
Burlington Northern Santa Fe 326,600 10,737
Canadian Pacific Ltd. 167,600 3,258
Norfolk Southern 290,400 7,659
Union Pacific 138,625 7,408
----------
29,062
----------
REPAIR SERVICES -- 1.4%
Midas* 1 --
Ryder System 18,200 503
Sears Roebuck 605,800 27,375
----------
27,878
----------
RETAIL -- 5.0%
Darden Restaurants 412,000 8,498
Dayton-Hudson 267,900 17,849
Dillards Incorporated, Cl A 179,700 4,560
Federated Department Stores* 332,000 13,322
Great Atlantic & Pacific Tea 102,500 3,075
JC Penney 449,460 18,203
Kmart* 787,400 13,238
May Department Stores 218,962 8,567
Ruddick 113,600 2,215
Tech Data* 70,000 1,606
TJX 184,200 6,263
----------
97,396
----------
RUBBER & PLASTIC -- 1.2%
Goodyear Tire & Rubber 334,000 16,637
Premark International 187,900 6,189
----------
22,826
----------
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MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.2%
Conexant Systems* 27,250 $ 754
Intel 189,000 22,467
National Semiconductor* 75,000 698
----------
23,919
----------
SPECIALTY MACHINERY -- 0.7%
American Standard* 144,000 4,950
Cooper Industries 126,943 5,411
Tecumseh Products, Cl A 46,000 2,343
----------
12,704
----------
STEEL & STEEL WORKS -- 1.4%
AK Steel Holding 225,300 5,083
Alcan Aluminum 286,261 7,389
Alcoa 119,700 4,930
Nucor 162,700 7,169
Texas Industries 109,300 2,712
----------
27,283
----------
TELEPHONES & TELECOMMUNICATION -- 8.6%
Alltel 89,000 5,551
Ameritech 570,000 32,989
AT&T 283,500 22,627
Bell Atlantic 401,700 20,763
BellSouth 787,100 31,533
Lucent Technologies 78,800 8,491
MCI WorldCom* 321,000 28,429
SBC Telecommunications 140,800 6,635
Sprint (PCS Group)* 55,850 2,475
US West 157,600 8,678
----------
168,171
----------
TRANSPORTATION SERVICES -- 1.0%
CSX 508,800 19,811
----------
TRUCKING -- 0.1%
Yellow* 154,800 2,690
----------
WHOLESALE -- 1.1%
Arrow Electronics* 115,000 1,725
Avnet 46,300 1,696
BJ Wholesale Club* 254,400 6,726
Safeway* 173,300 8,892
Supervalu 122,900 2,535
----------
21,574
----------
Total Common Stocks
(Cost $1,740,175) 1,945,186
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
4.320%, 05/20/99 2,800 2,783
----------
Total U.S. Treasury Obligation
(Cost $2,783) 2,783
----------
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
LARGE CAP VALUE FUND--CONCLUDED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENT -- 2.2%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$42,797,000 (collateralized by
U.S. Treasury Bond, par value
$32,084,000, 8.875%, 02/15/19,
total market value: $43,647,000) $42,791 $ 42,791
----------
Total Repurchase Agreement
(Cost $42,791) 42,791
----------
MONEY MARKET -- 0.6%
Evergreen Select Money
Market Fund 10,793 10,793
----------
Total Money Market
(Cost $10,793) 10,793
----------
Total Investments -- 101.8%
(Cost $1,796,542) 2,001,553
----------
Other Assets and Liabilities, Net -- (1.8%) 34,507
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
107,977,774 outstanding shares
of beneficial interest 1,796,434
Undistributed net investment income 4,372
Accumulated net realized gain on investments 30,316
Net unrealized depreciation on futures (73)
Net unrealized appreciation on investments 205,011
----------
Total Net Assets -- 100.0% $2,036,060
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.86
==========
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACT.
CL--CLASS
SLMA--STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH FUND
COMMON STOCKS -- 97.2%
AIRCRAFT -- 1.2%
United Technologies 182,500 24,717
----------
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
BANKS -- 3.4%
BankAmerica 360,000 $ 25,425
Chase Manhattan 217,000 17,645
MBNA 1,278,987 30,536
----------
73,606
----------
BEAUTY PRODUCTS -- 2.4%
Avon Products 322,000 15,154
Colgate-Palmolive 178,500 16,422
Procter & Gamble 201,600 19,744
----------
51,320
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0. 7%
Cox Communications* 146,900 11,109
Infinity Broadcasting, Cl A* 174,200 4,486
----------
15,595
----------
CHEMICALS -- 0.6%
Monsanto 259,500 11,921
----------
COMMUNICATIONS EQUIPMENT -- 2.6%
AT&T-Liberty Media, Cl A* 530 27,891
Nokia, Cl A, ADR 184,600 28,751
----------
56,642
----------
COMPUTERS & SERVICES -- 10.8%
America Online* 273,100 39,873
Cirrus Logic* 60,300 6,739
Cisco Systems* 773,500 84,747
Compaq Computer* 300,000 9,506
Dell Computer* 1,988,000 81,259
EMC* 69,600 8,891
----------
231,015
----------
DRUGS -- 11.1%
Amgen* 91,000 6,814
Bristol-Myers Squibb 520,000 33,442
Elan, ADR* 144,900 10,107
Eli Lilly 93,800 7,961
Merck 274,000 21,971
Pfizer 512,100 71,054
Schering Plough 1,102,600 60,988
Warner Lambert 401,300 26,561
----------
238,898
----------
ENTERTAINMENT -- 1.5%
Mirage Resorts* 1,232,600 26,193
Walt Disney 186,800 5,814
----------
32,007
----------
ENVIRONMENTAL SERVICES -- 0.6%
Waste Management* 292,400 12,975
----------
4
<PAGE>
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- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
FINANCIAL SERVICES -- 6.0%
Associates First Capital 571,500 $ 25,718
Charles Schwab 310,450 29,842
FHLMC 131,200 7,495
FNMA 131,800 9,127
Merrill Lynch 132,900 11,753
Morgan Stanley 287,000 28,682
T Rowe Price & Associates 435,100 14,957
----------
127,574
----------
FOOD, BEVERAGE & TOBACCO -- 1.8%
Coca-Cola 412,100 25,293
Philip Morris 388,000 13,653
----------
38,946
----------
GAS/NATURAL GAS -- 0.9%
Enron 297,700 19,127
----------
HOUSEHOLD PRODUCTS -- 6.3%
Clorox 51,200 6,000
General Electric 456,800 50,534
Gillette 539,700 32,078
Solectron* 949,900 46,130
----------
134,742
----------
INSURANCE -- 4.5%
American International Group 305,550 36,857
Citigroup 487,000 31,107
Progressive of Ohio 139,100 19,961
Providian Financial 77,400 8,514
----------
96,439
----------
MACHINERY -- 3.9%
Applied Materials* 403,700 24,903
Tyco International, Ltd. 809,500 58,082
----------
82,985
----------
MEDICAL PRODUCTS & SERVICES -- 1.6%
Medtronic 467,800 33,565
----------
MISCELLANEOUS BUSINESS SERVICES -- 9.1%
Altera* 259,800 15,458
Automatic Data Processing 192,400 7,961
BMC Software* 144,500 5,356
Cadence Design Systems* 288,800 7,437
Computer Sciences* 161,000 8,885
Fiserv* 82,500 4,424
Microsoft* 1,150,400 103,105
Oracle Systems* 168,800 4,452
Pixar* 117,000 4,607
Siebel Systems* 432,200 20,530
Sun Microsystems* 57,500 7,191
Sungard Data Systems* 139,600 5,584
----------
194,990
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES -- 0.7%
Robert Half International* 454,800 $ 14,923
----------
PETROLEUM & FUEL PRODUCTS -- 0.4%
Noble Drilling* 334,700 5,794
Schlumberger 59,900 3,605
----------
9,399
----------
PRINTING & PUBLISHING -- 0.6%
Time Warner 191,400 13,601
----------
PROFESSIONAL SERVICES -- 0.9%
Paychex 424,700 20,147
----------
RAILROADS -- 1.1%
Kansas City Southern Industries 419,700 23,923
----------
RETAIL -- 12.4%
Bed Bath & Beyond* 277,900 10,143
Costco* 192,900 17,662
CVS 186,700 8,868
Dayton-Hudson 169,700 11,306
Dollar Tree Stores* 93,400 2,890
Home Depot 1,087,400 67,691
Kohls* 692,900 49,109
Kroger* 450,200 26,956
Lowe's 283,800 17,170
Office Depot* 181,000 6,663
Sodexho Marriott Services* 187,000 4,126
Staples* 396,850 13,046
Wal-Mart Stores 316,500 29,177
----------
264,807
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.0%
Intel 493,800 58,700
Maxim Integrated Products* 123,000 6,657
----------
65,357
----------
TELEPHONES & TELECOMMUNICATION -- 6.4%
Airtouch Communications* 89,600 8,658
Alltel 154,200 9,618
Lucent Technologies 441,200 47,539
MCI WorldCom* 798,000 70,673
----------
136,488
----------
WHOLESALE -- 2.7%
Cardinal Health 144,200 9,517
McKesson HBOC 271,500 17,919
Safeway* 602,800 30,931
----------
58,367
----------
Total Common Stocks
(Cost $1,265,348) 2,084,076
----------
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
LARGE CAP GROWTH FUND--CONCLUDED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $ 3,400 $ 3,379
----------
Total U.S. Treasury Obligation
(Cost $3,380) 3,379
----------
COMMERCIAL PAPER -- 1.2%
GE Capital
4.700%, 04/01/99 932 932
4.900%, 04/06/99 21,162 21,131
Prudential Funding
4.750%, 04/05/99 3,865 3,863
----------
Total Commercial Paper
(Cost $25,943) 25,926
----------
REPURCHASE AGREEMENT -- 1.0%
Morgan Stanley
4.850%, dated 03/31/99,
matures 04/01/99, repurchase
price $20,955,000 (collateralized
by U.S. Treasury Note, par value
$20,890,000,5.625%, 10/31/99,
total market value: $21,480,000) 20,952 20,952
----------
Total Repurchase Agreement
(Cost $20,952) 20,952
----------
MONEY MARKET -- 0.5%
Evergreen Select Money
Market Fund 10,514 10,514
----------
Total Money Market
(Cost $10,514) 10,514
----------
Total Investments -- 100.0%
(Cost $1,341,139) 2,144,847
----------
Other Assets and Liabilities, Net -- 0.0% (273)
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
73,632,331 outstanding shares
of beneficial interest $1,278,496
Accumulated net realized gain on investments 62,503
Net unrealized depreciation on futures (133)
Net unrealized appreciation on investments 803,708
----------
Total Net Assets -- 100.0% $2,144,574
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $29.13
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACT.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD.--LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX MANAGED LARGE
CAP FUND
COMMON STOCKS -- 96.0%
AEROSPACE & DEFENSE -- 0.2%
Litton Industries* 13,300 765
----------
AIR TRANSPORTATION -- 1.0%
Delta Air Lines 23,700 1,647
FDX* 24,500 2,274
----------
3,921
----------
AIRCRAFT -- 1.5%
Sundstrand 10,600 737
United Technologies 37,000 5,011
----------
5,748
----------
APPAREL/TEXTILES -- 0.2%
VF 16,700 788
----------
AUTOMOTIVE -- 1.4%
Ford Motor 79,800 4,529
Genuine Parts 25,000 720
----------
5,249
----------
6
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BANKS -- 8.9%
Bank One 66,930 $ 3,685
BankAmerica 130,600 9,224
Chase Manhattan 86,400 7,025
Comerica 34,300 2,142
Fleet Financial Group 62,200 2,340
Golden West Financial 10,300 984
MBNA 178,400 4,259
PNC Bank 70,200 3,900
Republic New York 20,000 922
----------
34,481
----------
BEAUTY PRODUCTS -- 1.9%
Avon Products 38,200 1,798
Colgate Palmolive 20,100 1,849
Gillette 42,000 2,496
Procter & Gamble 10,000 979
----------
7,122
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.1%
Clear Channel Communications* 7,900 530
----------
CHEMICALS -- 3.4%
Dow Chemical 59,800 5,573
Eastman Chemical 26,600 1,119
FMC* 300 15
Lubrizol 24,040 541
Millenium Chemicals 20,400 405
Nalco Chemical 13,900 369
PPG Industries 30,900 1,584
Praxair 62,100 2,239
Union Carbide 30,200 1,365
----------
13,210
----------
COMMUNICATIONS EQUIPMENT -- 2.3%
Lucent Technologies 40,600 4,375
Nokia, Cl A, ADR 17,700 2,757
Tellabs* 17,200 1,681
----------
8,813
----------
COMPUTERS & SERVICES -- 6.6%
Cirrus Logic* 19,300 2,157
Cisco Systems* 87,150 9,548
Compaq Computer 34,000 1,077
Dell Computer* 187,400 7,660
IBM 20,300 3,598
Quantum* 71,700 1,291
----------
25,331
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Owens-Corning Fiberglass 20,700 659
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
CONTAINERS & PACKAGING -- 0.6%
Crown Cork & Seal 45,000 $ 1,285
Newell Rubbermaid 25,200 1,197
----------
2,482
----------
DRUGS -- 6.7%
Abbott Laboratories 69,000 3,230
Amgen* 44,600 3,339
Bristol-Myers Squibb 60,000 3,859
Merck 31,600 2,534
Pfizer 23,100 3,205
Schering Plough 138,200 7,644
Warner Lambert 28,900 1,913
----------
25,724
----------
ELECTRICAL SERVICES -- 1.6%
Allegheny Energy 5,700 168
American Electric Power 7,500 298
FPL Group 35,100 1,869
Pinnacle West Capital 27,400 997
Unicom 34,800 1,272
Wisconsin Energy 61,100 1,596
----------
6,200
----------
ENTERTAINMENT -- 0.2%
Walt Disney 26,200 815
----------
ENVIRONMENTAL SERVICES -- 0.4%
Waste Management* 34,000 1,509
----------
FINANCIAL SERVICES -- 3.2%
Associates First Capital 52,200 2,349
FNMA 43,300 2,999
Morgan Stanley 54,700 5,467
SLM Holding 39,100 1,632
----------
12,447
----------
FOOD, BEVERAGE & TOBACCO -- 3.8%
Coca-Cola 57,000 3,498
General Mills 20,700 1,564
IBP 22,900 427
Philip Morris 98,100 3,452
Ralston-Ralston Purina Group 61,000 1,628
RJR Nabisco 22,700 567
Sara Lee 82,500 2,042
Tyson Foods 72,700 1,504
----------
14,682
----------
GAS/NATURAL GAS -- 0.3%
El Paso Natural Gas 15,200 497
Utilicorp United 31,800 723
----------
1,220
----------
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
TAX MANAGED LARGE CAP FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
GLASS PRODUCTS -- 0.5%
Corning 30,000 $ 1,800
----------
HOUSEHOLD PRODUCTS -- 2.2%
Cooper Industries 36,500 1,556
Maytag 11,000 664
Solectron* 86,200 4,186
Whirlpool 35,000 1,903
----------
8,309
----------
INSURANCE -- 4.3%
Aetna 6,500 539
Allstate 66,100 2,450
American General 12,800 902
American International Group 18,700 2,256
Chubb 43,600 2,553
Cigna 7,020 588
Citigroup 54,800 3,500
Pacificare Health Systems, Cl B* 1,550 106
St Paul 13,000 404
Transamerica 26,800 1,903
XL Capital, Cl A 22,800 1,385
----------
16,586
----------
LUMBER & WOOD PRODUCTS -- 0.4%
Georgia-Pacific 18,000 1,336
----------
MACHINERY -- 3.2%
Applied Materials* 17,700 1,092
General Electric 88,100 9,746
Ingersoll Rand 31,900 1,583
----------
12,421
----------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Becton Dickinson 27,100 1,038
Guidant 27,800 1,682
Medtronic 28,700 2,059
----------
4,779
----------
METALS & MINING -- 0.2%
Vulcan Materials 19,000 785
----------
MISCELLANEOUS BUSINESS SERVICES -- 5.2%
Altera* 31,000 1,845
America Online* 7 1,022
BMC Software* 60,500 2,242
Microsoft* 112,400 10,074
Oracle Systems* 73,400 1,936
Sun Microsystems* 16,500 2,064
Teradyne* 16,300 889
----------
20,072
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS MANUFACTURING -- 1.3%
Tyco International Ltd. 70,400 $ 5,051
----------
PAPER & PAPER PRODUCTS -- 3.0%
Champion International 34,900 1,433
Consolidated Papers 27,700 651
International Paper 101,100 4,265
Kimberly-Clark 43,500 2,085
Mead 4,400 135
Temple-Inland 18,500 1,161
Union Camp 11,950 802
Westvaco 13,800 290
Willamette Industries 25,000 944
----------
11,766
----------
PETROLEUM & FUEL PRODUCTS -- 1.9%
Atlantic Richfield 37,000 2,701
Noble Drilling* 33,400 578
Occidental Petroleum 101,000 1,818
Phillips Petroleum 48,700 2,301
----------
7,398
----------
PETROLEUM REFINING -- 3.5%
Ashland 31,800 1,302
BP Amoco, ADR 28,120 2,838
Coastal 38,800 1,280
Conoco* 123,000 3,021
Exxon 49,200 3,472
Lyondell Petrochemical 24,000 329
Mobil 13,100 1,153
----------
13,395
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak 5,400 345
----------
PRINTING & PUBLISHING -- 1.6%
Lafarge 16,700 468
New York Times, Cl A 27,100 772
Time Warner 28,400 2,018
Tribune 22,800 1,492
Viacom, Cl B* 17,500 1,469
----------
6,219
----------
RAILROADS -- 1.0%
Norfolk Southern 106,600 2,812
Union Pacific 22,000 1,176
----------
3,988
----------
RETAIL -- 9.2%
Dayton-Hudson 19,600 1,306
Dillards Incorporated, Cl A 28,800 731
Federated Department Stores* 95,000 3,812
Home Depot 66,500 4,140
8
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
JC Penney 65,500 $ 2,653
Kohl's* 44,000 3,119
Kroger* 36,100 2,161
May Department Stores 43,500 1,702
Sears Roebuck 89,000 4,022
Tech Data* 17,600 404
The Gap 34,100 2,295
TJX 79,000 2,686
Wal-Mart Stores 72,500 6,684
----------
35,715
----------
RUBBER & PLASTIC -- 0.6%
Cooper Tire & Rubber 27,200 500
Goodyear Tire & Rubber 33,600 1,674
----------
2,174
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.3%
Intel 72,400 8,607
National Semiconductor* 50,000 466
----------
9,073
----------
SPECIALTY MACHINERY -- 0.3%
American Standard* 30,000 1,031
----------
STEEL & STEEL WORKS -- 1.0%
Alcan Aluminum 39,200 1,012
Alcoa 66,400 2,735
----------
3,747
----------
TELEPHONES & TELECOMMUNICATION -- 5.4%
Airtouch Communications* 28,500 2,754
Ameritech 54,300 3,143
AT&T 29,400 2,346
AT&T Corp-Liberty Media, Cl A* 60 3,205
MCI WorldCom* 104,700 9,272
----------
20,720
----------
TRANSPORTATION SERVICES -- 0.7%
CSX 74,000 2,881
----------
WHOLESALE -- 2.4%
Arrow Electronics* 52,200 783
Avnet 6,000 220
Johnson & Johnson 50,300 4,712
McKesson HBOC 21,832 1,441
Safeway* 38,200 1,960
----------
9,116
----------
Total Common Stocks
(Cost $318,374) 370,403
----------
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
4.320%, 05/20/99 875,000 $ 870
----------
Total Treasury Obligation
(Cost $870) 870
----------
COMMERCIAL PAPER -- 0.2%
GE Capital
4.900%, 04/06/99 544,000 543
Prudential Funding
4.750%, 04/05/99 316,000 316
----------
Total Commercial Paper
(Cost $860) 859
----------
MONEY MARKET -- 0.7%
Evergreen Select Money
Market Fund 2,587 2,587
----------
Total Money Market
(Cost $2,587) 2,587
----------
REPURCHASE AGREEMENT -- 2.9%
Morgan Stanley
4.870%, dated 03/31/99,
matures 04/01/99, repurchase
price $11,259,000 (collateralized
by various FHLBobligations,
total par value
$26,740,000, 0.000%-6.375%,
12/22/05- 07/28/ 17, total
market value:$11,516,000) $11,258 11,258
----------
Total Repurchase Agreement
(Cost $11,258) 11,258
----------
Total Investments -- 100.0%
(Cost $333,949) 385,977
----------
Other Assets and Liabilities, Net -- 0.0% 60
----------
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
30,972,004 outstanding shares
of beneficial interest 338,550
Undistributed net investment income 580
Accumulated net realized (loss) on investments (5,057)
Net unrealized depreciation on futures (64)
Net unrealized appreciation on investments 52,028
----------
Total Net Assets -- 100.0% $ 386,037
==========
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
TAX MANAGED LARGE CAP FUND - CONCLUDED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 12.46
==========
Total Net Assets -- 100.0% $386,037
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLB--FEDERAL HOME LOAN BANK
LTD.--LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE FUND
COMMON STOCKS -- 91.3%
AEROSPACE & DEFENSE -- 1.3%
Cole National* 69,460 1,268
Cordant Technologies 10,100 402
Esco Electronics* 51,050 459
Gencorp 58,300 1,049
General Cable* 77,800 822
Homebase* 535,200 2,375
----------
6,375
----------
AGRICULTURE -- 0.3%
Sylvan* 126,100 1,269
----------
AIR TRANSPORTATION -- 2.3%
Airborne Freight 38,900 1,211
Alaska Airgroup* 102,900 4,888
America West Holdings, Cl B* 138,300 2,636
Continental Airlines, Cl B* 21,500 817
Skywest 44,980 1,299
----------
10,851
----------
APPAREL/TEXTILES -- 0.3%
Gerber Childrenswear* 76,750 484
Kellwood 28,770 635
Pillowtex 31,470 446
----------
1,565
----------
AUTOMOTIVE -- 1.8%
Arvin Industries 67,000 2,257
Borg-Warner Automotive 18,910 904
Coachmen Industries 89,800 1,841
Delco Remy International* 68,500 625
Dura Automotive Systems* 69,300 1,958
JLG Industries 22,900 312
Smith (A.O.) 28,550 542
----------
8,439
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BANKS -- 5.5%
Andover Bancorp 26,362 $ 715
Bancorpsouth 43,200 691
Bank North Group 127,800 3,610
Bank United, Cl A* 10,600 433
Chittenden 14,900 397
City National 28,300 874
Coast Federal* 82,550 490
Cullen/Frost Bankers 25,100 1,203
Dime Bancorp* 30,242 701
Dime Community Bancorp* 73,000 1,674
Downey Financial 71,780 1,314
Firstfed Financial* 49,440 794
Imperial Bancorp* 102,200 1,750
Republic Bancorp 77,238 1,004
Resource Bancshares Mortgage
Group 54,800 706
Richmond County Financial* 156,600 2,320
Roslyn Bancorp 68,121 1,150
Staten Island Bancorp* 189,400 3,255
Webster Financial 70,900 2,047
Westamerica Bancorporation 35,600 1,126
----------
26,254
----------
BEAUTY PRODUCTS -- 0.8%
Block Drug - Cl A 24,291 996
Church & Dwight 19,200 782
Playtex Products* 148,300 2,243
----------
4,021
----------
BUILDING & CONSTRUCTION -- 2.1%
Centex 40,360 1,347
Engle Homes 67,700 711
Pulte 71,700 1,492
Ryland Group 43,800 1,109
Standard Pacific 178,400 2,297
Toll Brothers* 72,200 1,309
US Home* 31,500 1,028
Webb (Del E.) 42,300 917
----------
10,210
----------
BUILDING & CONSTRUCTION SUPPLIES -- 0.4%
MDC Holdings 90,090 1,295
Nortek* 26,120 646
----------
1,941
----------
CHEMICALS -- 0.6%
Albemarle 1,100 23
Dexter 27,650 871
Ethyl 168,300 715
Geon 18,200 414
Macdermid 17,800 604
Wellman 42,100 374
----------
3,001
----------
10
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
COMMUNICATIONS -- 0.2%
Coventry Health Care* 128,400 $ 963
----------
COMMUNICATIONS EQUIPMENT -- 0.6%
Applied Signal Technology* 50,100 313
Black Box* 23 713
Polycom* 20,600 386
Tekelec* 44,300 324
Universal Electronics* 90,900 1,136
----------
2,872
----------
COMPUTERS & SERVICES -- 1.1%
Bell & Howell* 59,300 1,738
Lexmark International Group* 62,100 1,219
National Computer Systems 47,400 1,161
Neomagic* 42,500 422
SCM Microsystems* 8,200 498
----------
5,038
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Florida Rock Industries 34,240 1,168
----------
CONSUMER PRODUCTS -- 1.9%
Brown Group 46,400 612
Kenneth Cole Productions* 45 1,187
Maxwell Shoe* 16,500 142
Nine West Group* 111,500 2,753
Public Service of New Mexico 98,670 1,677
Stride Rite 116,100 1,422
US Can* 95,300 1,406
----------
9,199
----------
CONTAINERS & PACKAGING -- 0.9%
Ball 56,500 2,652
Greif Brothers* 54,600 911
Ivex Packaging* 54,700 831
----------
4,394
----------
DRUGS -- 0.6%
Alpharma, Cl A 17,600 691
Ivax 118,300 1,397
Ocular Sciences* 24,700 709
----------
2,797
----------
ELECTRICAL SERVICES -- 3.5%
BEC Energy 29,700 1,091
Calpine* 40,700 1,483
Cleco 40,080 1,182
Commonwealth Energy System 40,980 1,578
Conectiv 37,700 730
El Paso Electric* 527,900 4,025
Nevada Power 69,600 1,723
Orange and Rockland Utility 4,300 247
Rochester Gas & Electric 88,200 2,260
Sierra Pacific Resources 33,340 1,173
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Sigcorp 11,500 $ 315
United Illuminating 21,800 914
----------
16,721
----------
ELECTRICAL TECHNOLOGY -- 0.2%
Belden 40,700 694
----------
ENTERTAINMENT -- 1.2%
Harrah's Entertainment* 126,900 2,419
Hastings Entertainment* 78,950 814
King World Productions* 33,400 1,021
MGM Grand* 50,611 1,702
----------
5,956
----------
ENVIRONMENTAL SERVICES -- 0.2%
Casella Waste Systems, Cl A* 22 517
It Group* 26,100 336
----------
853
----------
FINANCIAL SERVICES -- 2.3%
Eaton Vance 35,600 716
Greenbrier 79,600 756
Heller Financial* 103,200 2,425
JSB Financial 21,850 1,095
Legg Mason 101,200 3,409
Metris* 14,421 582
Morningstar Group* 58,100 1,046
Peoples Heritage Financial Group 51,400 925
----------
10,954
----------
FOOD, BEVERAGE & TOBACCO -- 3.4%
Adolph Coors, Cl B 28,330 1,530
Aurora Foods* 173,800 2,846
Corn Products International 20,600 493
Dean Foods 45,800 1,632
Fresh Delmonte Produce* 61 1,140
International Home Foods* 117 1,884
M&F Worldwide* 73,100 512
Merkert American 67,100 730
Pilgrims Pride 32,200 529
Robert Mondavi* 28,700 1,026
Smithfield Foods* 141,300 3,206
Universal Foods 33,600 693
----------
16,221
----------
GAS/NATURAL GAS -- 1.2%
Connecticut Energy 37,220 903
Energen 36,460 545
Oneok* 28,300 700
Southwest Gas 46,400 1,276
Washington Gas Light 51,000 1,154
Wicor 48,000 972
----------
5,550
----------
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
SMALL CAP VALUE FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
GLASS PRODUCTS -- 0.2%
Libbey* 27,600 $ 856
----------
HOUSEHOLD FURNITURE & FIXTURES -- 1.1%
Ethan Allen Interiors 26,500 1,101
Furniture Brands International* 140,600 3,111
O'Sullivan Industries Holdings* 66,280 915
----------
5,127
----------
HOUSEHOLD PRODUCTS -- 1.1%
American Safety Razor* 175,160 2,430
Holophane* 61,500 1,353
NCH 12,730 608
Thomas Industries 42,595 799
----------
5,190
----------
INSURANCE -- 7.4%
Allmerica Financial* 27,200 1,498
American Heritage Life Insurance 35,900 837
Amerin* 38,600 784
Amerus Life Holdings, Cl A* 34,000 587
Arm Financial Group* 76,200 1,138
Arthur J Gallegher 20,100 925
Chicago Title 33,400 1,215
CNA Surety* 249,000 3,081
Delphi Financial Group, Cl A* 18,694 633
EW Blanch Holdings 63,600 3,339
Everest Reinsurance Holdings 63,400 1,977
Executive Risk* 36,500 1,515
FBL Financial Group Class A 44,600 792
Financial Security Assurance
Holdings 32,200 1,598
First American Financial 45,525 720
Frontier Insurance Group 86,400 1,026
Gryphon Holdings* 82,600 1,600
HCC Insurance Holdings 72,200 1,390
Home State Holdings* 74,000 1,716
Horace Mann Educators 37,200 739
LaSalle Re Holdings 55,700 822
Life USA Holdings* 36,290 388
Mony Group* 44,800 1,114
Orion Capital 24,000 750
Penn Treaty American* 25,100 623
PMI Group 89,020 1,597
Reinsurance Group of America 97,600 1,055
Reliance Group Holdings 101,200 765
State Auto Financial 34,900 763
Stewart Information Services 10,200 342
Stirling Cooke Brown Holdings* 45,100 316
----------
35,645
----------
LEASING & RENTING -- 0.2%
Leasing Solutions* 20,200 47
Xtra 18,600 713
----------
760
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
LEISURE PRODUCTS -- 1.7%
Boyds Collection Ltd.* 99,000 $ 1,782
Jan Bell Marketing* 246,000 1,046
Jostens 63,100 1,341
Standard Motor Products 67,100 1,388
Velcro Industries 186,000 2,767
----------
8,324
----------
LUMBER & WOOD PRODUCTS -- 0.5%
American Woodmark 46,100 1,458
TJ International 37,490 904
----------
2,362
----------
MACHINERY -- 2.8%
Alliant Techsystems* 20,188 1,568
Amcast Industrial 38,310 618
Briggs & Stratton 47,200 2,328
Commercial Intertech 38,700 431
Fisher Scientific International* 83,500 2,547
Gardner Denver Machinery* 27,195 432
Gehl* 21,100 311
Gleason 32,230 546
Idex 29,500 695
Lincoln Electric Holdings 49,800 928
SPS Technologies* 27,900 1,095
Varco International* 154,500 1,719
----------
13,218
----------
MANUFACTURING -- 1.2%
Avondale Industries* 82,810 2,443
Newport News Shipbuilding 110,400 3,498
----------
5,941
----------
MARINE TRANSPORTATION -- 0.9%
Knightsbridge Tankers, Ltd.* 77,500 2,461
Sea Containers 69,400 2,004
----------
4,465
----------
MEASURING DEVICES -- 0.3%
Tektronix 49,500 1,250
----------
MEDICAL PRODUCTS & SERVICES -- 1.6%
Del Global Technologies* 142,600 1,230
Mariner Post-Acute Network* 292,525 640
Maxxim Medical* 10,100 191
Novacare* 90,910 159
Quest Diagnostic* 29,600 659
Steris* 16,200 431
Sun Healthcare Group* 117,800 4,035
Vencor* 157,000 206
----------
7,551
----------
METALS & MINING -- 0.3%
Cleveland Cliffs 42,550 1,449
----------
MINING -- 0.2%
Wolverine Tube* 47,600 1,006
----------
12
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 2.8%
Computer Task Group 27,200 $ 581
Electronics for Imaging* 20 803
GT Interative Software* 167,100 773
Learning* 139,700 4,051
Metzler Group* 18,300 574
Midway Games* 48,500 421
Sensormatic Electronics 128,700 1,223
Software AG Systems* 59,300 497
Symantec* 260,200 4,407
----------
13,330
----------
MISCELLANEOUS MANUFACTURING -- 0.3%
Department 56* 13,700 417
RTI International Metals* 22,200 208
Varlen 29 649
----------
1,274
----------
OFFICE FURNITURE & FIXTURES -- 0.3%
Caraustar Industries 25,100 577
Kimball International* 70,200 1,044
----------
1,621
----------
PAPER & PAPER PRODUCTS -- 1.0%
Chesapeake 14,900 404
Domtar 155,000 1,133
Pope & Talbot* 122,200 2,398
Rock Tenn, Cl A 46,800 720
----------
4,655
----------
PETROLEUM & FUEL PRODUCTS -- 3.1%
Berry Petroleum 199,800 2,198
Cal Dive International* 43,900 916
Devon Energy 67,900 1,872
Giant Industries 44,460 381
Helmerich & Payne 106,100 2,407
Marine Drilling* 93,800 1,032
Rowan* 203,900 2,587
Seacor Holdings* 46,100 2,481
Swift Energy* 125,300 1,057
----------
14,931
----------
PETROLEUM REFINING -- 1.0%
Tesoro Petroleum* 319,100 3,510
Valero Energy 55,200 1,373
----------
4,883
----------
PRINTING & PUBLISHING -- 2.6%
Big Flower Holdings* 1,500 47
Bowne 147,200 1,720
Lone Star Industries 138,620 4,297
Southdown 18,100 972
Standard Register 31,140 924
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Valassis Communications* 63,800 $ 3,302
World Color Press* 66,700 1,417
----------
12,679
----------
PROFESSIONAL SERVICES -- 1.3%
Consolidated Graphics* 17,100 988
Indigo Aviation ADR* 84,600 613
Waban* 134,100 4,585
----------
6,186
----------
REAL ESTATE -- 0.2%
Catellus Development* 68,300 914
----------
RETAIL ESTATE INVESTMENT TRUSTS -- 0.8%
Brandywine Realty Trust 54,900 892
Burnham Pacific Properties 92,000 966
Equity Inns 52,600 999
Franchise Finance of America 53,500 1,127
----------
3,984
----------
REPAIR SERVICES -- 0.6%
Rollins Truck Leasing 305,050 2,879
----------
RETAIL -- 9.7%
Action Performance* 13,500 407
Ames Department Stores* 95,500 3,545
Bon Ton Stores* 86,400 637
Buckle* 27,000 608
Building Material Holding* 130,900 1,325
Claire's Stores 80,600 2,428
Dress Barn* 42,910 595
Finish Line, Cl A* 119,800 1,542
Footstar* 90,000 2,880
Grand Union* 239,700 2,697
Great Atlantic & Pacific Tea 84,100 2,523
Haverty Furniture 16,600 421
Ingles Markets, Cl A 223,500 4,358
Longs Drug Stores 206,060 6,156
Michaels Stores* 46,400 1,146
O'Charleys* 89,400 1,213
Pier 1 Imports 356,900 2,900
Rare Hospitality* 101,500 1,396
Ross Stores* 34,000 1,490
Ruby Tuesday 125,700 2,184
Ryan's Family Steak Houses* 175,980 2,123
Stein Mart* 5,700 57
Tropical Sportswear* 109,600 2,233
Warnaco Group 80,500 1,987
----------
46,851
----------
RUBBER & PLASTIC -- 1.6%
Agrium 209,100 1,921
Cooper Tire & Rubber 6,900 127
Mark IV Industries 233,700 3,038
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
SMALL CAP VALUE FUND--CONCLUDED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Reebok International 92,200 $ 1,464
Tupperware 71,700 1,291
----------
7,841
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.7%
AVX 148,300 2,373
Burr-Brown* 61,975 1,456
Lattice Semiconductor* 45,270 2,063
Qlogic* 13,700 920
Stoneridge* 96,500 1,339
----------
8,151
----------
SPECIALTY CONSTRUCTION -- 1.3%
DR Horton* 369,200 6,184
----------
SPECIALTY MACHINERY -- 0.8%
Fedders 151,000 698
Hussman International 200,800 2,949
----------
3,647
----------
STEEL & STEEL WORKS -- 2.2%
AK Steel Holding 94,700 2,137
Armco* 144,700 642
Bethlehem Steel* 248,400 2,049
LTV 219,800 1,181
National Steel, Cl B* 168,830 1,393
Quanex 44,900 696
Reliance Steel & Aluminum 30,040 866
Ryerson Tull 42,354 622
Steel Dynamics* 45,800 759
----------
10,345
----------
TECHNOLOGY, GENERAL -- 1.0%
Buckeye Technologies* 138,800 1,943
Marshall Industries* 71,100 960
Walter Industries* 160,700 1,808
----------
4,711
----------
TELEPHONES & TELECOMMUNICATION -- 0.2%
Aliant Communications 27,400 1,122
----------
TESTING LABORATORIES -- 0.0%
Curative Technologies* 16,200 186
----------
TRANSPORTATION SERVICES -- 0.2%
GATX 32,880 1,083
----------
TRUCKING -- 0.8%
Arkansas Best* 40,400 275
Consolidated Freightways* 48,400 569
Pittston Services 65,900 1,549
US Freightways 32,570 1,071
Yellow* 34,150 593
----------
4,057
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
WHOLESALE -- 5.4%
Barnes Group $ 38,450 $ 721
Bindley Western Industries 68,300 1,951
BJ Wholesale Club* 356,600 9,428
Central Garden & Pet* 102,900 1,736
Commercial Metals 26,500 530
Crane 43,400 1,050
Handleman 40,200 538
Ingram Micro* 12,300 281
Priority Healthcare, Cl B* 20,070 908
Richfood Holdings 74,200 1,600
Serologicals* 13,300 180
Standard Commercial 25,270 120
Tower Automotive* 142,600 2,656
United Stationers 177,600 2,708
Universal 57,430 1,468
----------
25,875
----------
Total Common Stocks
(Cost $442,399) 437,839
----------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $ 1,950 1,938
----------
Total U.S. Treasury Obligation
(Cost $1,938) 1,938
----------
REPURCHASE AGREEMENT -- 8.4%
Morgan Stanley
4.870%, dated 03/31/99,
matures 04/01/99, repurchase
price $40,337,000 (collateralized
by various Government Agencies,
total par value $71,579,000,
5.790%-8.875%, 04/15/04-
04/15/30, total market value:
$41,463,000) 40,332 40,332
----------
Total Repurchase Agreement
(Cost $40,332) 40,332
----------
Total Investments -- 100.1%
(Cost $484,669) 480,109
----------
Other Assets and Liabilities, Net -- (0.1%) (286)
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
35,945,704 outstanding shares of
beneficial interest 504,543
14
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Undistributed net investment income $ 272
Accumulated net realized (loss) on investments (20,187)
Net unrealized depreciation on investments (245)
Net unrealized appreciation on investments (4,560)
----------
Total Net Assets -- 100.0% $ 479,823
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.35
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
LTD.--LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP GROWTH FUND
COMMON STOCKS -- 95.2%
AEROSPACE & DEFENSE -- 1.7%
Aeroflex* 131,600 1,875
Coinstar* 209,300 3,375
Getty Images* 94,100 1,976
Mac-Gray* 84,100 773
Monaco Coach* 82,800 1,910
United Rentals* 73,600 2,098
----------
12,007
----------
AIR TRANSPORTATION -- 0.9%
Alaska Airgroup* 23,500 1,116
Atlantic Coast Air* 42,000 1,181
Skywest 148,800 4,297
----------
6,594
----------
AIRCRAFT -- 0.1%
BE Aerospace* 45,000 664
----------
APPAREL/TEXTILES -- 2.3%
Mohawk Industries* 48,900 1,467
Novel Denim Holdings* 51,700 504
Quiksilver* 185,900 7,854
Tarrant Apparel Group* 79,100 3,322
Tommy Hilfiger* 40,700 2,803
----------
15,950
----------
AUTOMOTIVE -- 0.3%
Gentex* 66,000 1,423
Teleflex 15,000 511
----------
1,934
----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BANKS -- 1.4%
Astoria Financial 20,000 $ 1,000
Commerce Bancorp New Jersey 27,300 1,126
Community First Bankshares 52,000 1,040
Cullen/Frost Bankers 21,500 1,031
Hubco 15,913 534
Peoples Heritage Financial Group 38,000 684
Southwest Bancorp of Texas* 28,000 345
Sterling Bancshares 7,500 78
Telebanc Financial Group* 19,000 1,515
Terayon Communication 25,300 1,012
Westamerica Bancorporation 34,500 1,091
----------
9,456
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.1%
Antec* 65,000 1,397
Cox Radio, Cl A* 41,100 2,106
Emmis Broadcasting* 42,700 2,135
Lamar Advertising* 53,500 1,816
SBS Broadcasting SA* 41,200 1,324
TMP Worldwide* 84,900 5,503
----------
14,281
----------
BUILDING & CONSTRUCTION -- 1.3%
Crossman Communities* 25,000 498
Engle Homes 22,900 240
Granite Construction 70,300 1,643
Jacobs Engineering Group* 38,500 1,518
Lennar 85,100 1,904
Pulte 48,900 1,018
Ryland Group 61,900 1,567
US Home* 20,000 652
----------
9,040
----------
CHEMICALS -- 0.2%
OM Group 38,000 1,254
----------
COMMUNICATIONS -- 1.4%
Abovenet Communications* 25 3,272
Autoweb.com* 3,000 107
Echostar Communications* 10,000 816
Jakks Pacific* 35,300 653
McLeodusa, Cl A* 54 2,272
Microfinancial* 35,100 509
Select Comfort 23,800 663
VerticalNet* 11,300 1,174
----------
9,466
----------
COMMUNICATIONS EQUIPMENT -- 3.3%
Black Box* 25,000 775
Broadcom, Cl A* 27,200 1,676
Comverse Technology* 23,000 1,955
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
SMALL CAP GROWTH FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Concord Communications* 29,300 $ 1,670
CTS 12,000 593
Dionex* 8,000 302
DM Management* 194,350 3,037
Excel Switching* 25,400 533
Intervoice* 96,400 1,060
L-3 Communications* 33,500 1,549
Mercury Interactive* 88,000 3,135
Plantronics* 12,500 782
Polycom* 87,300 1,637
Power Integration* 83,800 2,661
Sawtek* 42,400 1,431
----------
22,796
----------
COMPUTERS & SERVICES -- 6.2%
Bell & Howell* 38,700 1,134
Business Objects* 92,200 2,737
CMG Information Services* 13,600 2,490
Computer Network Technology* 101 1,643
Cybex Computer Products* 49,900 895
Earthlink Network* 50,300 3,018
HNC Software* 96,200 3,151
Inspire Insurance Solutions* 53,850 1,023
Jabil Circuit* 37,200 1,507
Javelin Systems* 83,400 1,011
Level One Communications* 34,075 1,657
Maxwell Technologies* 66,800 1,561
Microchip Technology* 28,200 976
Micros Systems* 95,900 3,165
Network Appliance* 73,400 3,716
New Era of Networks* 65,900 4,465
Pinnacle Systems* 17,900 814
Psinet* 34,700 1,477
QRS* 43,600 2,728
SCM Microsystems* 10,000 608
Sportsline USA* 68,100 3,107
----------
42,883
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Ferro 45,250 1,120
Owens-Corning Fiberglass 11,100 353
----------
1,473
----------
DRUGS -- 3.4%
Abgenix* 23,700 358
Anesta* 51,900 1,171
Biomatrix* 51,000 3,978
ChiRex* 44,600 1,093
Coulter Pharmaceutical* 33,000 718
Cytyc* 112,100 1,555
Fuisz Technologies* 101,250 664
Incyte Pharmaceuticals* 60,400 1,212
Jones Pharmaceuticals 63,900 2,221
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Liposome* 91,300 $ 1,227
Medicis Pharmaceutical, Cl A* 148,200 4,446
Ocular Sciences* 21,600 620
Parexel International* 50,000 1,034
Pharmacyclics* 33,600 554
Shire Pharmaceuticals Group PLC* 61,100 1,394
Zonagen* 52,100 1,120
----------
23,365
----------
ELECTRICAL SERVICES -- 0.5%
Calpine* 26,300 958
Gemstar International* 37,400 2,814
----------
3,772
----------
ELECTRICAL TECHNOLOGY -- 0.3%
Proxim* 66,200 1,903
----------
ENTERTAINMENT -- 1.7%
Family Golf Centers* 127,050 945
Macrovision* 100,900 3,733
Premier Parks* 109,100 4,064
SFX Entertainment, Cl A* 43,800 2,828
----------
11,570
----------
FINANCIAL SERVICES -- 2.7%
Financial Federal* 116,200 2,208
Haven Bancorp 52,300 686
Investment Technology Group* 24,300 1,233
Knight/Trimark Group, Cl A* 126,700 8,489
Metris* 78,600 3,173
NVR* 18,400 775
T&W Financial* 76,400 640
Travel Services* 44,500 467
Waddell & Reed Financial, Cl A* 60,000 1,230
----------
18,901
----------
FOOD, BEVERAGE & TOBACCO -- 0.8%
Adolph Coors, Cl B 35,200 1,901
UST 57,457 1,255
Wild Oates Markets* 72,900 1,977
----------
5,133
----------
HOTELS & LODGING -- 1.4%
Extended Stay America* 222,300 2,265
Fours Seasons Hotel* 88,300 3,687
Pegasus Systems* 81,400 3,246
Silverleaf Resorts* 90,800 726
----------
9,924
----------
HOUSEHOLD FURNITURE & FIXTURES -- 0.6%
Ethan Allen Interiors 69,100 2,872
Furniture Brands International* 51,000 1,128
----------
4,000
----------
16
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.1%
Juno Lighting 27,100 $ 608
-------
INSURANCE -- 0.6%
First American Financial 60,600 958
Landamerica Financial Group 22,400 650
Nationwide Financial Services 46,700 1,961
Total Renal Care Holdings* 46,725 514
-------
4,083
-------
LEISURE PRODUCTS -- 0.6%
Acclaim Entertainment* 147,300 1,316
Boyds Collection Ltd* 108,500 1,953
Global Vacation Group* 60,400 717
-------
3,986
-------
LUMBER & WOOD PRODUCTS -- 0.1%
Modtech Holdings* 60,832 547
-------
MACHINERY -- 1.7%
Applied Power, Cl A 43,500 1,185
Aptar Group 44,000 1,144
Briggs & Stratton 24,300 1,198
Cree Research* 64,400 3,023
Donaldson 14,000 252
Micrel* 40,000 2,003
MSC Industrial Direct* 26,100 444
Pentair 62,900 2,123
SPS Technologies* 16,000 628
-------
12,000
-------
MEASURING DEVICES -- 0.4%
Credence Systems* 47,700 1,023
Veeco Instruments* 48,200 1,780
-------
2,803
-------
MEDICAL PRODUCTS & SERVICES -- 5.0%
Algos Pharmaceuticals* 82,000 2,019
Conmed* 36,000 1,116
Eclipse Surgical Technologies* 67,500 709
Healthworld* 93,700 1,265
Impath* 45,000 1,103
Interim Services* 28,700 431
Invacare 35,100 853
Laser Vision Centers* 37,900 1,445
Maxxim Medical* 55,400 1,046
Medquist* 95,900 2,877
Minimed* 24,000 2,439
Osteotech* 9,600 330
Pediatrix Medical Group* 37,500 1,055
Pharmaceutical Product
Development* 34,000 1,141
Sabratek* 56,200 843
Steris* 22,000 586
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Summit Technology* 108,900 $ 1,198
Sun Healthcare Group* 47,900 1,641
Superior Consultant Holdings* 20,000 683
Techne* 18,000 520
Universal Health Services* 20,000 865
Visix Space* 59,100 6,357
Xomed Surgical Products* 100,600 3,949
-------
34,471
-------
MISCELLANEOUS BUSINESS SERVICES -- 20.8%
Abacus Direct* 26,700 2,189
ABM Industries 34,000 1,037
Acxiom* 33,000 875
Advent Software* 14,000 700
ADVO* 71,500 1,381
American Management Systems* 34,900 1,191
Answerthink Consulting Group* 95,900 2,685
Ardent Software* 81,200 1,304
Autobytel.com* 2 117
Axent Technologies* 24,000 578
Bea Systems* 119,200 1,863
Beyond.com* 105 2,765
Brio Technology* 98,000 2,070
Broadvision* 21,100 1,261
Career Education* 12,000 416
Complete Business Solutions* 41,800 820
Critical Path* 13,500 1,040
CSG Systems International* 92,800 3,660
Data Processing Resources* 20,800 285
Dendrite International* 50,900 1,136
Digital River* 54 2,196
Dset 149,700 1,740
Electronics for Imaging* 33,100 1,291
Globix 104,900 3,914
Hooper Holmes 55,000 859
I2 Technologies* 52,400 1,394
Imr Global* 196,400 3,486
Infoseek* 28,900 2,139
Infospace.com* 49 4,396
Inktomi* 21,600 1,852
Insight Enterprises* 95,287 2,358
ISS Group* 33,900 2,695
Jack Henry & Associates* 57,200 2,102
Labor Ready* 162,950 4,247
Lason* 65,400 3,679
Legato Systems* 33,000 1,704
Macromedia* 107,100 4,853
Mastech* 101,500 1,320
Memberworks* 52,500 1,903
Meta Group* 29,800 458
Metro Information Services* 52,000 946
Metzler Group* 102,500 3,216
Micromuse* 43,800 2,015
Mindspring Enterprises* 23,500 2,022
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
SMALL CAP GROWTH FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Miningo.com* 1,800 $ 161
National Instruments* 50,000 1,425
Netgravity* 12,500 517
Network Solutions* 24,400 2,580
Nova* 80,300 2,108
On Assignment* 46,300 1,186
Onemain.com* 28,800 1,044
Onyx Software 1,000 39
Peregrine Systems* 196,300 6,601
Pervasive Software* 119,500 2,136
Priceline.com* 3,650 302
Profit Recovery Group
International* 40,200 1,588
Progress Software* 54,300 1,853
Real Network* 34,000 4,154
Siebel Systems* 76,600 3,639
Smith-Gardner & Associates* 25,000 353
Software AG Systems* 76,000 637
Superior Services* 17,600 349
Technology Solutions* 119,700 853
Transaction Systems Architects* 36,200 1,303
TSI International Software, Ltd* 92,200 4,501
USWeb* 22,500 928
Verio* 75,700 3,492
Verity* 30,700 1,028
Vignette 28,200 2,122
Visio* 54,200 1,524
Wackenhut Corrections* 52,500 1,014
Webtrends* 32,300 1,571
Whittman-Hart* 118,800 2,554
Wind River Systems* 80,500 1,434
Xircom* 126,900 3,188
Xoom.com* 55,300 3,709
Ziff-Davis-Zdnet Group* 8,250 297
--------
144,348
--------
MISCELLANEOUS CONSUMER SERVICES -- 1.1%
Carriage Services* 72,800 1,101
Casella Waste Systems, Cl A* 50 1,128
CSK Auto* 40 1,198
G&K Services 28,200 1,302
Regis 40,800 1,086
Select Appointments
Holdings, ADR* 27,300 729
Unifirst 35,000 739
US Liquids* 31 686
--------
7,969
--------
MISCELLANEOUS MANUFACTURING -- 0.9%
Blyth Industries* 84,100 1,987
Commscope* 125,000 2,617
Paragon Trade Brands 49,125 927
Varlen 26,687 587
--------
6,118
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS TRANSPORTATION -- 0.2%
Fleetwood Enterprises 38,100 $ 1,091
--------
PETROLEUM & FUEL PRODUCTS -- 0.3%
Atwood Oceanic* 40,500 1,215
Cross Timbers Oil 92,325 652
Veritas DGC* 35,400 502
--------
2,369
--------
PRINTING & PUBLISHING -- 0.6%
Lone Star Industries 84,100 2,607
Southdown 23,300 1,251
--------
3,858
--------
PROFESSIONAL SERVICES -- 4.5%
American Oncology Resources* 90,000 810
Consolidated Graphics* 47,700 2,755
Devry* 70,000 2,030
Ecsoft Group PLC* 74,700 2,381
Educational Management* 185,600 5,707
International Network Services* 107,800 7,539
ITT Educational Services* 88,600 3,328
Pre Paid Legal* 40,500 992
Preview Travel* 34,900 663
Professional Detailing* 26,000 681
Strayer Education 20,000 740
Sylvan Learning Systems* 53,000 1,451
Tetra Tech* 102,550 2,160
--------
31,237
--------
REAL ESTATE -- 1.4%
CB Richard Ellis Services* 94,300 1,556
Centex Construction Products 27,400 954
Golf Trust of America 85,000 1,902
Intrawest 164,800 2,781
Resourtquest International* 81,100 1,298
Trammell Crow* 48,800 903
--------
9,394
--------
REPAIR SERVICES -- 0.5%
Central Parking 58,600 2,022
Personnel Group of America* 66,000 474
Rollins Truck Leasing 72,000 680
--------
3,176
--------
RETAIL -- 7.3%
American Eagle Outfitters* 55,800 4,000
Ames Department Stores* 19,300 717
Ann Taylor Stores* 33,700 1,489
Bebe Stores* 60,200 2,468
Buckle* 34,300 772
CDW Computer Centers* 11,400 787
CEC Entertainment* 51,300 1,840
Children's Place Retail Stores* 49,100 1,323
Cost Plus* 75,300 2,212
Dollar Tree Stores* 56,137 1,737
18
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Foodmaker* 21,800 $ 556
Intimate Brands 27,800 1,338
Kenneth Cole Productions* 66,100 1,743
Linens N Things* 81,300 3,689
Men's Wearhouse* 59,800 1,727
Micro Warehouse* 119,500 1,927
Musicland Stores* 90,700 799
Pacific Sunwear of California* 168,400 5,852
Papa John's International* 36,200 1,597
PJ America* 60,500 1,392
Rexall Sundown* 51,600 990
Ross Stores 28,000 1,227
Ruby Tuesday 66,600 1,157
SLI* 48 1,012
Talbots 54,100 1,319
Trans World Entertainment* 16,800 185
Wet Seal, Class A* 61,900 2,283
Williams Sonoma* 102,100 2,884
Zale* 43,000 1,470
-------
50,492
-------
RUBBER & PLASTIC -- 1.6%
Carlisle 25,200 1,178
Etec Systems* 52,900 1,557
Remec* 3,800 79
Transwitch* 103,700 4,692
Vitesse Semiconductor* 72,700 3,680
-------
11,186
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.5%
Amkor Technology* 131,300 1,034
Applied Micro Circuits* 94,600 4,044
Conexant Systems* 116,200 3,217
Dupont Photomasks* 25,000 991
E-Tek Dynamics* 97,500 3,498
HI/FN* 70,000 2,625
Hutchinson Technology* 83,300 2,072
Integrated Process Equipment* 87,800 790
Nvidia* 35,300 746
Power-One* 80,500 543
Qlogic* 50,600 3,397
RF Micro Devices* 4,300 411
Unitrode* 69,400 985
-------
24,353
-------
SPECIALTY CONSTRUCTION -- 0.5%
DR Horton 57,500 963
Elcor 46,600 1,640
Insituform Technologies* 38,100 667
-------
3,270
-------
SPECIALTY MACHINERY -- 0.5%
Cooper Cameron* 82,000 2,778
Knightsbridge Tankers, Ltd.* 30,000 953
-------
3,731
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
TECHNOLOGY, GENERAL -- 0.0%
Multex.com* 3,000 $ 188
-------
TELEPHONES & TELECOMMUNICATION -- 5.7%
Allegiance Telecommunications* 149 3,735
American Tower Systems* 96,400 2,362
Carrier Access* 20,900 1,616
Com21* 125,700 3,300
Concentric Network* 132,100 9,874
Dycom Industries* 28,600 1,244
Electric Lightwave* 157,400 1,436
Exodus Communications* 27,800 3,739
Flashnet Communications* 4,300 177
Geotel Communications* 90,800 4,165
ICG Communications* 122,800 2,456
Intermedia Communications
of Florida* 22,700 604
IXC Communications* 53,600 2,459
P-Com* 97,900 746
Pinnacle Holdings* 70,600 1,068
Viatel* 32,800 935
-------
39,916
-------
TESTING LABORATORIES -- 0.8%
Celgene* 107,000 1,712
International Telecommunications
Data Systems* 47,900 593
Medimmune* 38,100 2,255
Roberts Pharmaceutical* 66,500 1,380
-------
5,940
-------
TRANSPORTATION SERVICES -- 0.1%
Carey International* 49,900 811
-------
TRUCKING -- 1.2%
CH Robinson Worldwide 23,000 585
Expeditors International
of Washington 32,100 1,733
Gilead Sciences* 33,600 1,529
Landstar System* 32,900 1,090
Suiza Foods* 26,250 884
Swift Transportation* 34,500 882
US Freightways 39,000 1,282
Werner Enterprises 35,000 551
-------
8,536
-------
WHOLESALE -- 2.4%
Amerisource Health* 42,000 1,436
Aviation Sales* 45,200 2,011
Borg-Warner Automotive 20,787 994
Genesis Microchip* 72,400 1,720
Ha Lo Industries* 159,550 1,964
Patterson Dental* 45,250 1,957
Performance Food Group* 37,000 971
Richfood Holdings 45,000 970
SCP Pool* 89,300 1,250
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
SMALL CAP GROWTH FUND--CONCLUDED
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Tower Automotive* 58,000 $ 1,080
United Stationers 52,800 805
US Foodservice* 34,000 1,581
--------
16,739
--------
Total Common Stocks
(Cost $522,365) 659,586
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
4.320%, 05/20/99 1,050 1,044
--------
Total U.S. Treasury Obligation
(Cost $1,044) 1,044
--------
REPURCHASE AGREEMENT -- 5.3%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$37,037,000 (collateralized by
FNMA obligation, par value
$38,568,000, 0.000%, 09/03/99,
total market value:
$37,773,000) $37,031 37,031
--------
Total Repurchase Agreement
(Cost $37,031) 37,031
--------
Total Investments -- 100.7%
(Cost $560,440) 697,661
--------
Other Assets and Liabilities, Net -- (0.7%) (4,871)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 38,640,945 outstanding shares
of beneficial interest 543,168
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
122,203 outstanding shares
of beneficial interest 2,056
Accumulated net realized gain on investments 10,505
Net unrealized depreciation on investments (160)
Net unrealized appreciation on investments 137,221
--------
Total Net Assets-- 100.0% $692,790
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $17.87
========
Net Asset Value and Redemption
Price Per Share -- Class D $17.49
========
Maximum Offering Price Per Share --
Class D ($17.49 / 95%) $18.41
========
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACT.
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD.--LIMITED
PLC--PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MID-CAP FUND
COMMON STOCKS -- 95.9%
AEROSPACE & DEFENSE -- 1.5%
Cordant Technologies 10,000 $ 398
SCI Systems* 4,000 118
-----
516
-----
AIR TRANSPORTATION -- 1.5%
Continental Airlines, Cl B* 1,600 61
Delta Air Lines 6,900 480
-----
541
-----
APPAREL/TEXTILES -- 0.3%
Jones Apparel Group* 3,700 103
-----
AUTOMOTIVE -- 1.3%
Federal Mogul 3,500 150
Navistar International* 5,300 213
Paccar 2,100 86
-----
449
-----
BANKS -- 6.9%
Charter One Financial 22,900 661
City National 8,100 250
Comerica 5,900 368
Golden West Financial 500 48
M&T Bank 500 239
Pacific Century Financial 8,600 180
Republic New York 10,500 484
TCF Financial 1,100 29
Zions Bancorp 3,000 199
-----
2,458
-----
BEAUTY PRODUCTS -- 0.1%
International Specialty Products* 3,300 25
-----
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.8%
Interpublic Group 2,600 202
TCA Cable TV 4,600 200
True North Communications 3,800 107
TV Guide* 3,500 129
-----
638
-----
20
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BUILDING & CONSTRUCTION -- 0.6%
Centex 3,300 $ 110
Clayton Homes 4 46
Lennar 3,400 76
------
232
------
CHEMICALS -- 4.1%
Arch Chemicals* 1 28
Avery Dennison 3,200 184
BF Goodrich 7,200 247
Cytec Industries* 12,800 286
FMC* 8,600 425
IMC Fertilizer Group 4,300 88
Olin 3,400 34
WR Grace* 14,100 171
------
1,463
------
COMMUNICATIONS EQUIPMENT -- 1.7%
ADC Telecommunications* 1,000 48
Andrew* 3,000 37
General Instrument* 3,000 91
Pittway, Cl A 1,000 26
Qualcomm* 3,100 386
------
588
------
COMPUTERS & SERVICES -- 5.4%
Apple Computer* 8,900 320
Ceridian* 6,400 234
Cirrus Logic* 4,600 514
Gateway 2000* 800 55
Quantum* 6,700 121
Seagate Technology* 11,900 352
Unisys* 12,000 332
------
1,928
------
CONCRETE & MINERAL PRODUCTS -- 1.4%
USG* 9,600 493
------
CONTAINERS & PACKAGING -- 0.8%
Owens-Illinois* 10,900 272
------
DRUGS -- 2.2%
Biogen* 1,500 171
Genzyme* 2,600 131
ICN Pharmaceuticals 10,400 262
Mylan Laboratories 4,400 121
Watson Pharmaceuticals* 2,400 106
------
791
------
ELECTRICAL SERVICES -- 7.3%
Ameren 2,800 101
DTE Energy 13,300 511
Energy East 10,700 562
FirstEnergy* 18,400 514
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
General Public Utilities 12,300 $ 459
LG&E Energy 9,600 200
OGE Energy 10,400 235
------
2,582
------
ENTERTAINMENT -- 0.8%
King World Productions* 9,400 287
------
ENVIRONMENTAL SERVICES -- 1.3%
Allied Waste Industries* 6,900 100
Waste Management* 7,800 346
------
446
------
FINANCIAL SERVICES -- 3.0%
Charles Schwab 2,300 221
Countrywide Credit Industries 8,500 319
Crescent Real Estate Equities 3,300 71
Equity Office Properties Trust 4,300 109
Greenpoint Financial 3,600 125
Painewebber Group 3,200 128
Vornado Realty Trust 2,300 79
------
1,052
------
FOOD, BEVERAGE & TOBACCO -- 3.1%
IBP 9,900 184
Interstate Bakeries 2,400 52
Lancaster Colony 12,400 330
Quaker Oats 3,100 194
Suiza Foods* 10,100 340
Tyson Foods 1,200 25
------
1,125
------
GAS/NATURAL GAS -- 0.8%
Columbia Gas System 2,900 152
MCN 8,000 128
Questar 1,200 20
------
300
------
GENERAL UTILITIES -- 1.1%
Mid American Energy Holdings* 5,100 143
PECO Energy 5,300 245
------
388
------
HOTELS & LODGING -- 0.4%
Harrah's Entertainment* 7,900 151
------
HOUSEHOLD PRODUCTS -- 1.0%
Clorox 1,047 123
Maytag 800 48
Raychem 4,900 111
Solectron* 1,600 78
------
360
------
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
MID-CAP FUND--CONCLUDED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
INSURANCE -- 9.6%
Allmerica Financial* 4,500 $ 248
Ambac 4,500 243
Conseco 13,300 411
Equitable 5,400 378
Jefferson Pilot 5,200 352
Lincoln National 2,600 257
Mercury General 1,400 49
MGIC Investment 3,700 130
Providian Financial 7,200 792
Reliance Group Holdings 8,600 65
Reliastar Financial 3,900 166
Wellpoint Health Networks* 4,300 326
------
3,417
------
LEASING & RENTING -- 0.3%
Comdisco 6,500 116
------
LEISURE PRODUCTS -- 0.9%
Tiffany & Company 4,200 314
------
LUMBER & WOOD PRODUCTS -- 0.3%
Louisiana-Pacific 6,600 123
------
MACHINERY -- 1.4%
Brunswick 8,600 164
Ingersoll Rand 6,150 305
Pentair 800 27
------
496
------
MEASURING DEVICES -- 0.7%
Beckman Coulter 1,100 48
Perkin Elmer 400 39
Thermo Instrument Systems* 1,900 27
Uniphase* 1,000 115
Waters* 300 32
------
261
------
MEDICAL PRODUCTS & SERVICES -- 1.4%
Allergan 900 79
Dentsply International 5,600 130
Guidant 4,200 254
Safeskin* 4,500 33
------
496
------
MISCELLANEOUS BUSINESS SERVICES -- 6.6%
Acnielsen* 3,100 84
Adobe Systems 1,300 74
BMC Software* 4,100 152
Compuware* 6,100 146
Concord EFS* 5,500 152
Convergys* 3,100 53
Deluxe 4,800 140
Fiserv* 500 27
GTech* 3,300 80
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Keane* 5,300 $ 113
Kelly Services, Cl A 1,100 31
Learning* 3,600 104
Modis Professional Services* 17,000 154
NCR* 1,200 60
Networks Associates* 2,700 83
Reynolds & Reynolds, Cl A 13,400 255
Shared Medical Systems 3,200 178
Sterling Software* 5,400 128
Sungard Data Systems* 6,400 256
Viad 2,800 78
------
2,348
------
MISCELLANEOUS CONSUMER SERVICES -- 0.1%
Manpower 1,100 26
------
MISCELLANEOUS MANUFACTURING -- 0.9%
International Game Technology 6,400 93
Trinity Industries 8,100 238
------
331
------
OFFICE FURNITURE & FIXTURES -- 0.7%
Johnson Controls 3,800 237
------
PAPER & PAPER PRODUCTS -- 1.1%
Fort James 12,400 393
------
PETROLEUM & FUEL PRODUCTS -- 0.6%
Transocean Offshore 7,600 219
------
PETROLEUM REFINING -- 1.6%
Coastal 8,900 294
Pennzenergy 2,400 25
Pennzoil-Quaker State* 2,400 30
Tosco 1,000 25
Valero Energy 8,300 206
------
580
------
PRINTING & PUBLISHING -- 2.6%
Amazon.com* 1,100 189
Central Newspapers 3,400 106
Meredith 4,300 135
Southdown 1,500 81
Tribune 6,400 419
------
930
------
PROFESSIONAL SERVICES -- 0.5%
Gartner Group* 5,600 126
Paychex 1,200 57
------
183
------
RETAIL -- 7.6%
Best Buy* 11,000 572
Borders Group* 10,600 149
CKE Restaurants 7,000 138
22
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Dayton-Hudson 500 $ 33
Dillards, Cl A 1,800 46
Dollar Tree Stores* 2,100 65
Kmart* 10,500 177
Office Depot* 6,100 225
Payless Shoesource* 5,600 260
Ross Stores 6,400 280
Tandy 4,300 274
Tech Data* 3,500 80
TJX 7,200 245
Warnaco Group 6,600 163
-------
2,707
-------
RUBBER & PLASTIC -- 1.2%
Premark International 11,100 366
Tupperware 3,600 65
-------
431
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.7%
Altera* 800 48
American Power Conversion* 1,600 43
Sanmina* 2,600 166
Thomas & Betts 4,800 180
Vitesse Semiconductor* 3,100 157
-------
594
-------
STEEL & STEEL WORKS -- 0.4%
Engelhard 8,000 136
-------
TELEPHONES & TELECOMMUNICATION -- 1.9%
Century Telephone Enterprises 8,900 625
Cincinnati Bell 1,600 36
-------
661
-------
TESTING LABORATORIES -- 0.3%
Quintiles Transnational* 3,000 113
-------
TRANSPORTATION SERVICES -- 1.2%
GATX 12,600 415
-------
TRUCKING -- 0.2%
Pittston Services 2,500 59
-------
WHOLESALE -- 3.7%
Arrow Electronics* 17,000 255
Avnet 1,300 48
Bergen Brunswig, Cl A 9,600 192
Cardinal Health 2,100 139
Crane 6,000 145
McKesson HBOC 3,000 198
Richfood Holdings 4,800 104
Universal 6,900 176
US Foodservice* 900 42
-------
1,299
-------
Total Common Stocks
(Cost $31,497) 34,073
-------
- -----------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENT -- 4.0%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$1,510,000 (collateralized
by various FNMA obligations,
total par value $2,013,000,
5.500%-7.500%, 06/01/27-
01/01/29, total market
value: $1,540,000) $1,510 $ 1,510
-------
Total Repurchase Agreement
(Cost $1,510) 1,510
-------
Total Investments -- 99.9%
(Cost $33,008) 35,583
-------
Other Assets and Liabilities, Net -- 0.1% 47
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 2,361,137 outstanding shares
of beneficial interest 32,377
Undistributed net investment income 6
Accumulated net realized gain on investments 672
Net unrealized appreciation on investments 2,575
-------
Total Net Assets -- 100.0% $35,630
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $15.09
=======
*NON-INCOME PRODUCING SECURITY
CL -- CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPITAL APPRECIATION FUND
COMMON STOCKS -- 88.9%
AEROSPACE & DEFENSE -- 0.1%
Raytheon Company, Cl B 2,200 $ 129
-------
AIR TRANSPORTATION -- 0.3%
Delta Air Lines 4,100 285
-------
AIRCRAFT -- 1.4%
Allied Signal 8,600 423
United Technologies 9,400 1,273
-------
1,696
-------
BANKS -- 8.1%
Bank of New York 7,600 273
Bank One 22,981 1,265
Bank United, Cl A 8,400 343
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
CAPITAL APPRECIATION FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BankAmerica 5,863 $ 414
BankBoston 15,800 684
Compass Bancshares 9,600 331
First Security 10,100 195
First Union 7,900 422
Hibernia, Cl A 3,000 39
KeyCorp 13,400 406
MBNA 15,600 372
Mellon Bank 23,200 1,633
North Fork Bancorporation 5,400 114
PNC Bank 29,200 1,622
Regions Financial 3,400 118
US Bancorp 14,500 494
Washington Mutual 19,688 805
------
9,530
------
BEAUTY PRODUCTS -- 1.3%
Avon Products 13,400 631
Colgate Palmolive 3,100 285
Procter & Gamble 6,600 646
------
1,562
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
Fox Entertainment Group, Cl A* 12,800 347
Interpublic Group 4,200 327
------
674
------
CHEMICALS -- 2.1%
Air Products & Chemicals 49,600 1,699
Morton International 19,600 720
------
2,419
------
COMMUNICATIONS EQUIPMENT -- 2.6%
Ascend Communications* 12,400 1,038
GTE 15,500 938
Nokia, Cl A, ADR 1,800 280
Northern Telecom Ltd. 12,300 764
------
3,020
------
COMPUTERS & SERVICES -- 6.9%
Ceridian* 36,000 1,316
Cisco Systems* 11,900 1,304
Compaq Computer 16,400 520
EMC* 11,300 1,444
Hewlett Packard 6,000 407
IBM 17,600 3,120
------
8,111
------
DRUGS -- 6.7%
Abbott Laboratories 35,500 1,662
Alza* 2,100 80
American Home Products 8,500 555
Bristol-Myers Squibb 31,000 1,994
Eli Lilly 4,600 390
Forest Laboratories* 3,500 197
Merck 22,100 1,772
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Teva Pharmaceuticals, ADR 1 $ 90
Warner Lambert 17,800 1,178
------
7,918
------
ELECTRICAL SERVICES -- 0.2%
Niagara Mohawk Holdings* 13,200 177
------
ENVIRONMENTAL SERVICES -- 2.5%
Allied Waste Industries* 25,000 361
Browning-Ferris Industries 800 31
Republic Industries* 6,100 76
Republic Services, Cl A* 21,200 343
Waste Management* 48,686 2,160
------
2,971
------
FINANCIAL SERVICES -- 2.3%
Associates First Capital 13,300 599
FHLMC 8,800 503
Household International 26,279 1,199
Textron 4,000 310
Waddell & Reed Financial, Cl B* 6,922 138
------
2,749
------
FOOD, BEVERAGE & TOBACCO -- 3.7%
Anheuser Busch 2,600 198
Coca-Cola 5,400 163
Conagra 9,500 243
Flowers Industries 14,200 350
Pepsi Bottling Group* 9,100 197
PepsiCo 21,900 858
Ralston-Ralston Purina Group 36,700 979
Sara Lee 59,200 1,465
------
4,453
------
HOTELS & LODGING -- 0.4%
Promus Hotel* 4,600 167
Starwood Hotels and Resorts
World Wide* 8,673 248
------
415
------
HOUSEHOLD PRODUCTS -- 4.0%
Clorox 3,000 352
General Electric 39,500 4,370
------
4,722
------
INSURANCE -- 3.6%
Ace Ltd. 10,500 327
Allstate 1,800 67
American International Group 9,334 1,126
CMAC Investment 7,400 289
Conseco 30,800 951
Torchmark 25,900 819
UNUM 14,400 685
------
4,264
------
24
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
LEASING & RENTING -- 0.2%
United Rentals* 8,500 $ 242
-------
LEISURE PRODUCTS -- 1.2%
Hasbro 25,750 745
Mattel 28,350 705
-------
1,450
-------
MACHINERY -- 2.0%
Emerson Electric 6,800 360
SPX 6,800 343
Tyco International Ltd. 23,884 1,714
-------
2,417
-------
MARINE TRANSPORTATION -- 1.8%
Carnival, Cl A 38,300 1,860
Oak Industries 6,500 254
-------
2,114
-------
MEASURING DEVICES -- 1.0%
Honeywell 15,500 1,175
-------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Baxter International 10,300 680
Becton, Dickinson 10,800 414
Healthsouth Rehabilitation* 35,901 372
Medtronic 6,957 499
Tenet Healthcare* 29,000 549
-------
2,514
-------
MISCELLANEOUS BUSINESS SERVICES -- 6.3%
Automatic Data Processing 3,200 132
BMC Software* 2,400 89
Cendant* 64,303 1,013
Computer Sciences* 10,500 579
Microsoft* 42,200 3,782
Networks Associates* 32,439 996
Sun Microsystems* 6,800 850
-------
7,441
-------
MISCELLANEOUS CONSUMER SERVICES -- 0.3%
Service International 21,800 311
-------
MISCELLANEOUS MANUFACTURING -- 0.5%
US Filter* 18,462 565
-------
OFFICE FURNITURE & FIXTURES -- 0.8%
Lear* 22,900 978
-------
PAPER & PAPER PRODUCTS -- 0.3%
Fort James 12,500 396
-------
PETROLEUM & FUEL PRODUCTS -- 0.1%
Union Pacific Resources 14,100 167
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
PETROLEUM REFINING -- 1.2%
BP Amoco, ADR 9 $ 1
Mobil 1,900 167
Texaco 16,800 953
Unocal 9,100 335
-------
1,456
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.8%
Xerox 17,700 945
-------
PRINTING & PUBLISHING -- 2.0%
American Greetings, Cl A 20,100 510
Gannett 8,900 561
McGraw-Hill 5,600 305
New York Times, Cl A 19,500 556
Viacom, Cl B* 5,300 445
-------
2,377
-------
PROFESSIONAL SERVICES -- 0.4%
Halliburton 12,000 462
-------
RAILROADS -- 0.3%
Burlington Northern Santa Fe 12,000 395
-------
RETAIL -- 10.3%
American Stores 1,900 63
Costco* 20,600 1,886
CVS 30,300 1,439
Federated Department Stores* 8,500 341
Fred Meyer* 17,800 1,048
Home Depot 700 44
Lowe's 43,100 2,608
Office Depot* 50,500 1,859
Rite Aid 43,300 1,083
Saks* 17,900 465
Tandy 20,800 1,327
-------
12,163
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.7%
AMP 7,500 403
Analog Devices* 12,000 357
Intel 7,200 856
Texas Instruments 4,100 407
-------
2,023
-------
SPECIALTY CONSTRUCTION -- 1.6%
Fortune Brands 2,700 104
Masco 63,000 1,780
-------
1,884
-------
TELEPHONES & TELECOMMUNICATION -- 4.0%
Airtouch Communications* 5,000 483
AT&T 12,954 1,034
Century Telephone Enterprises 10,400 731
MCI WorldCom* 28,597 2,533
-------
4,781
-------
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
CAPITAL APPRECIATION FUND--CONCLUDED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
WHOLESALE -- 3.2%
Cardinal Health 10,585 $ 699
Johnson & Johnson 1,900 178
Philip Morris 12,700 447
Safeway* 17,600 903
US Foodservice* 18,395 855
Unilever NV, ADR 5,000 332
WW Grainger 7,100 306
--------
3,720
--------
Total Common Stocks
(Cost $77,073) 105,071
--------
PREFERRED STOCKS -- 0.2%
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Comcast 3,300 252
--------
Total Preferred Stocks
(Cost $272) 252
--------
CONVERTIBLE BONDS -- 1.5%
Office Depot, Convertible
to 14.1566 Shares 500 441
Potomac Electric Power, Convertible
to 29.50 shares 400 386
WMX Technologies, Convertible
to 26.078 shares 1,000 966
--------
Total Convertible Bonds
(Cost $1,820) 1,793
--------
U.S. TREASURY OBLIGATION -- 0.7%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $ 850 845
--------
Total U.S. Treasury Obligation
(Cost $845) 845
--------
REPURCHASE AGREEMENT -- 10.5%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$12,371,000 (collateralized by
various GNMA obligations, par
value $13,097,000, 6.500%-
7.500%, 10/15/28- 02/15/29,
total market value: $12,617,000) 12,370 12,370
--------
Total Repurchase Agreement
(Cost $12,370) 12,370
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Total Investments -- 101.8%
(Cost $92,271) $120,331
--------
Other Assets and Liabilities, Net -- (1.8%) (2,098)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 8,764,524 outstanding shares
of beneficial interest 81,245
Undistributed net investment income 169
Accumulated net realized gain on investments 8,894
Net unrealized depreciation on futures (135)
Net unrealized appreciation on investments 28,060
--------
Total Net Assets -- 100.0% $118,233
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.49
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
ADR--AMERICAN DEPOSITORY RECEIPT
LTD.--LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
COMMON STOCKS -- 94.2%
AUTOMOTIVE -- 1.8%
Dana 10,050 382
Ford Motor 26,500 1,504
--------
1,886
--------
BANKS -- 11.8%
Bank One 29,952 1,649
BankAmerica 31,100 2,196
Chase Manhattan 18,875 1,535
First Union 36,725 1,962
Fleet Financial Group 62,275 2,343
National City 18,850 1,251
Washington Mutual 31,750 1,298
--------
12,234
--------
BEAUTY PRODUCTS -- 1.1%
Avon Products 24,450 1,151
--------
BUILDING & CONSTRUCTION -- 0.3%
Fluor 11,050 298
--------
26
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
CHEMICALS -- 3.2%
BF Goodrich 29,125 $ 999
EI du Pont de Nemours 18,875 1,096
Hercules 33,300 841
Praxair 11,475 414
------
3,350
------
COMMUNICATIONS EQUIPMENT -- 1.3%
GTE 21,675 1,311
------
COMPUTERS & SERVICES -- 4.8%
Diebold 8,350 200
Hewlett Packard 29,825 2,023
IBM 15,250 2,703
------
4,926
------
DRUGS -- 6.9%
Abbott Laboratories 16,675 781
Bristol-Myers Squibb 27,675 1,780
Merck 23,275 1,866
Pharmacia & Upjohn 30,650 1,912
Smithkline Beecham, PLC, ADR 11,500 822
------
7,161
------
ELECTRICAL SERVICES -- 4.0%
Baltimore Gas & Electric 10,775 273
Central & South West 31,650 742
Duke Power 17,050 931
FPL Group 20,600 1,097
Southern 30,800 718
Texas Utilities 8,825 368
------
4,129
------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 13,325 514
------
FINANCIAL SERVICES -- 5.6%
American General Hospitality 2,800 102
Equifax 17,725 609
FNMA 27,650 1,915
Kimco Realty 15,375 567
Merrill Lynch 20,725 1,833
Simon Property Group 26,500 727
------
5,753
------
FOOD, BEVERAGE & TOBACCO -- 4.6%
General Mills 13,000 982
HJ Heinz 16,525 783
Philip Morris 48,725 1,715
Sara Lee 50,275 1,244
------
4,724
------
GAS/NATURAL GAS -- 3.3%
Eastern Enterprises 9,825 357
Enron 22,075 1,418
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Sempra Energy* 36,950 $ 709
Williams 24,925 985
------
3,469
------
HOUSEHOLD FURNITURE & FIXTURES -- 0.2%
Masco 6,125 173
------
HOUSEHOLD PRODUCTS -- 2.6%
General Electric 24,575 2,719
------
INSURANCE -- 7.2%
American General 18,825 1,327
Citigroup 15,450 987
HSB Group 7,975 296
Jefferson Pilot 19,437 1,317
Lincoln National 10,909 1,079
Marsh & McLennan 33,200 2,463
------
7,469
------
LEASING & RENTING -- 0.9%
Pitney Bowes 15,125 964
------
MACHINERY -- 2.1%
Baker Hughes 42,775 1,040
Emerson Electric 10,875 576
Tenneco 20,725 579
------
2,195
------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Baxter International 32,650 2,155
------
MISCELLANEOUS BUSINESS SERVICES -- 1.2%
Electronic Data Systems 8,200 399
Shared Medical Systems 16,100 897
------
1,296
------
PAPER & PAPER PRODUCTS -- 1.0%
Kimberly-Clark 22,325 1,070
------
PETROLEUM REFINING -- 9.0%
BP Amoco, ADR 15,588 1,573
Chevron 13,225 1,170
Exxon 32,700 2,307
Mobil 21,675 1,907
Royal Dutch Petroleum 20,400 1,061
Texaco 23,025 1,307
------
9,325
------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.5%
Eastman Kodak 23,725 1,515
------
PRINTING & PUBLISHING -- 3.5%
McGraw-Hill 36,175 1,972
RR Donnelley & Sons 50,400 1,622
------
3,594
------
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
EQUITY INCOME FUND--CONCLUDED
- -----------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- -----------------------------------------------------------
PROFESSIONAL SERVICES -- 0.7%
Halliburton 20,150 $ 776
--------
RETAIL -- 3.0%
JC Penney 13,125 532
May Department Stores 26,925 1,053
Sears Roebuck 32,950 1,489
--------
3,074
--------
RUBBER & PLASTIC -- 0.3%
Armstrong World Industries 7,900 357
--------
STEEL & STEEL WORKS -- 1.9%
Alcoa 15,250 628
Engelhard 44,000 745
Worthington Industries 49,925 587
--------
1,960
--------
TELEPHONES & TELECOMMUNICATION -- 6.5%
Alltel 21,750 1,357
Ameritech 7,950 460
AT&T 23,275 1,858
Bell Atlantic 16,645 860
SBC Telecommunications 7,299 344
US West 34,241 1,885
--------
6,764
--------
WHOLESALE -- 1.3%
Motorola 18,150 1,330
--------
Total Common Stocks
(Cost $71,846) 97,642
--------
U.S. TREASURY OBLIGATION -- 0.8%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $ 800 795
--------
Total U.S. Treasury Obligation
(Cost $796) 795
--------
REPURCHASE AGREEMENT -- 6.0%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$6,336,000, (collateralized by
various GNMA obligations, par
value $6,517,000, 6.500%-
7.500%, 07/15/28-03/15/29,
total market value: $6,461,000) 6,335 6,335
--------
Total Repurchase Agreement
(Cost $6,335) 6,335
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Total Investments -- 101.0%
(Cost $78,977) $104,772
--------
Other Assets and Liabilities, Net -- (1.0%) (1,084)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 8,022,950 outstanding shares
of beneficial interest 64,484
Undistributed net investment income 468
Accumulated net realized gain on investments 13,039
Net unrealized depreciation on futures (98)
Net unrealized appreciation on investments 25,795
--------
Total Net Assets -- 100.0% $103,688
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.91
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACT.
ADR--AMERICAN DEPOSITORY RECEIPT
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
PLC--PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED FUND
COMMON STOCKS -- 57.6%
AEROSPACE & DEFENSE -- 0.1%
Raytheon Company, Cl B 700 41
--------
AIR TRANSPORTATION -- 0.1%
Delta Air Lines 1,300 90
--------
AIRCRAFT -- 1.1%
Allied Signal 2,900 143
Lockheed Martin 3,000 113
United Technologies 2,900 393
--------
649
--------
BANKS -- 5.5%
Bank of New York 2,500 90
Bank One 7,756 427
Bank United, Cl A 2,800 114
BankAmerica 1,574 111
BankBoston 5,300 230
Compass Bancshares 4,900 169
Cullen/Frost Bankers 200 10
First Union 9,600 513
28
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Hibernia, Cl A 900 $ 12
MBNA 5,300 127
Mellon 6,300 443
North Fork Bancorporation 1,900 40
PNC Bank 9,600 533
Regions Financial 700 24
US Bancorp 4,900 167
UnionBanCal 2,600 89
Washington Mutual 5,956 243
--------
3,342
--------
BEAUTY PRODUCTS -- 0.9%
Avon Products 4,300 202
Colgate-Palmolive 1,300 120
Procter & Gamble 2,100 206
--------
528
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.3%
Fox Entertainment Group, Cl A* 3,400 92
Interpublic Group 1,200 93
--------
185
--------
CHEMICALS -- 1.1%
Air Products & Chemicals 13,700 469
Morton International 5,200 191
--------
660
--------
COMMUNICATIONS EQUIPMENT -- 1.0%
Ascend Communications* 3,400 285
Nokia, Cl A, ADR 600 94
Northern Telecom Ltd. 3,500 217
--------
596
--------
COMPUTERS & SERVICES -- 4.6%
3Com* 2,500 58
Ceridian* 11,300 413
Cisco Systems* 6,600 723
Compaq Computer* 4,000 127
EMC* 3,300 422
Hewlett Packard 1,800 122
IBM 5,200 922
--------
2,787
--------
CONTAINERS & PACKAGING -- 0.0%
Newell Rubbermaid 551 26
--------
DRUGS -- 6.2%
Abbott Laboratories 10,000 468
Alza* 700 27
American Home Products 8,600 561
Bristol-Myers Squibb 10,300 662
Eli Lilly 1,100 93
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Forest Laboratories* 1,900 $ 107
Merck 10,700 858
Schering Plough 10,000 553
Teva Pharmaceuticals, ADR 0 24
Warner Lambert 6,100 404
--------
3,757
--------
ELECTRICAL SERVICES -- 0.1%
Niagara Mohawk Holdings* 4,400 59
--------
ENVIRONMENTAL SERVICES -- 1.3%
Allied Waste Industries* 7,100 103
Browning-Ferris Industries 200 8
Republic Industries* 1,400 17
Republic Services, Cl A* 6,300 102
Waste Management* 12,513 555
--------
785
--------
FINANCIAL SERVICES -- 1.6%
Associates First Capital 4,300 194
FHLMC 3,500 200
Household International 7,959 363
Starwood Hotels and Resorts
World Wide* 2,761 79
Textron 1,300 101
Waddell & Reed Financial, Cl B* 1,963 39
--------
976
--------
FOOD, BEVERAGE & TOBACCO -- 1.8%
Anheuser Busch 200 15
Bestfoods 900 42
Coca-Cola 1,800 55
Conagra 3,200 82
Flowers Industries 4,300 106
Pepsi Bottling Group* 3,000 65
Ralston-Ralston Purina 10,700 286
Sara Lee 18,800 465
--------
1,116
--------
HOTELS & LODGING -- 0.1%
Promus Hotel* 1,300 47
--------
HOUSEHOLD PRODUCTS -- 2.4%
Clorox 1,000 117
General Electric 11,900 1,316
--------
1,433
--------
INSURANCE -- 2.1%
Ace Ltd. 3,100 97
Allstate 600 22
American International Group 2,843 343
Citigroup 10 1
CMAC Investment 2,200 86
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
BALANCED FUND--CONTINUED
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Conseco 8,600 $ 266
Torchmark 7,700 244
UNUM 4,400 209
--------
1,268
--------
LEASING & RENTING -- 0.1%
United Rentals* 2,500 71
--------
LEISURE PRODUCTS -- 0.7%
Hasbro 6,450 187
Mattel 8,700 216
--------
403
--------
MACHINERY -- 1.1%
Emerson Electric 2,000 106
SPX 2,000 101
Tyco International, Ltd. 6,863 492
--------
699
--------
MARINE TRANSPORTATION -- 1.1%
Carnival 11,700 568
Oak Industries 1,900 74
--------
642
--------
MEASURING DEVICES -- 0.6%
Honeywell 4,700 356
Thermo Electron* 2,100 29
--------
385
--------
MEDICAL PRODUCTS & SERVICES -- 1.3%
Baxter International 3,500 231
Becton, Dickinson 3,600 138
Healthsouth Rehabilitation* 10,542 109
Medtronic 2,060 148
Tenet Healthcare* 8,800 167
--------
793
--------
MISCELLANEOUS BUSINESS SERVICES -- 3.3%
Automatic Data Processing 1,100 46
BMC Software* 700 26
Cendant* 16,285 257
Computer Sciences* 3,500 193
Microsoft* 10,800 968
Networks Associates* 6,997 215
Sun Microsystems* 2,300 288
--------
1,993
--------
MISCELLANEOUS CONSUMER SERVICES -- 0.1%
Service International 6,400 91
--------
MISCELLANEOUS MANUFACTURING -- 1.2%
Masco 18,700 528
US Filter* 5,937 182
--------
710
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
OFFICE FURNITURE & FIXTURES -- 0.4%
Lear* 6,100 $ 260
--------
PAPER & PAPER PRODUCTS -- 0.2%
Fort James 3,700 117
--------
PETROLEUM & FUEL PRODUCTS -- 0.5%
Atlantic Richfield 3,500 256
Union Pacific Resources 4,426 53
--------
309
--------
PETROLEUM REFINING -- 1.2%
BP Amoco Plc-Spons, ADR 9 1
Mobil 4,300 378
Texaco 4,600 261
Unocal 2,700 99
--------
739
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Xerox 5,700 304
--------
PRINTING & PUBLISHING -- 1.4%
American Greetings, Cl A 5,800 147
Gannett 5,100 321
McGraw-Hill 1,600 87
New York Times, Cl A 6,200 177
Viacom, Cl B* 1,500 126
--------
858
--------
PROFESSIONAL SERVICES -- 0.2%
Halliburton 3,600 139
--------
RAILROADS -- 0.2%
Burlington Northern Santa Fe 3,700 122
--------
RETAIL -- 7.0%
American Stores 600 20
Costco* 6,000 549
CVS 9,200 437
Dollar General 2,500 85
Federated Department Stores* 2,600 104
Fred Meyer* 6,000 353
Lowe's 13,100 793
Office Depot* 14,000 515
PepsiCo 6,100 239
Rite Aid 13,000 325
Safeway* 5,600 287
Saks* 5,500 143
Tandy 6,100 389
--------
4,239
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.0%
AMP 2,500 134
Analog Devices* 3,100 92
Intel 2,200 262
Texas Instruments 1,500 149
--------
637
--------
30
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
SPECIALTY CONSTRUCTION -- 0.1%
Fortune Brands 900 $ 35
--------
TELEPHONES & TELECOMMUNICATION -- 3.4%
Airtouch Communications* 1,400 135
AT&T 3,802 304
Century Telephone Enterprises 3,400 239
GTE 4,500 272
Lucent Technologies 3,302 356
MCI WorldCom* 8,985 796
--------
2,102
--------
WHOLESALE -- 1.7%
Cardinal Health 3,566 235
Gillette 800 48
Johnson & Johnson 600 56
McKesson HBOC 1,088 72
Philip Morris 6,400 225
US Foodservice* 5,965 277
Unilever NV, ADR 1,700 113
--------
1,026
--------
Total Common Stocks
(Cost $24,287) 35,019
--------
PREFERRED STOCKS -- 0.4%
AIR TRANSPORTATION -- 0.1%
Trans World Air* 1,100 42
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.1%
Comcast 900 69
--------
INSURANCE -- 0.2%
Conseco Financial Trust* 3,000 119
--------
Total Preferred Stocks
(Cost $306) 230
--------
U.S. TREASURY OBLIGATIONS -- 2.9%
U.S. Treasury Notes
6.375%, 01/15/00 $ 100 101
7.750%, 01/31/00 149 152
5.500%, 04/15/00 150 151
5.750%, 10/31/00 100 101
7.750%, 02/15/01 125 131
5.625%, 02/28/01 325 329
6.375%, 09/30/01 100 103
6.625%, 03/31/02 155 161
6.250%, 06/30/02 100 103
5.500%, 03/31/03 410 414
--------
Total U.S. Treasury Obligations
(Cost $1,719) 1,746
--------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 12.5%
FNMA
7.000%, 03/01/29 $ 1,000 $ 1,013
FHLB
6.850%, 06/03/99 100 100
FHLMC
7.000%, 10/01/02 368 376
8.000%, 12/01/02 251 258
FNMA
7.000%, 10/01/03 546 558
5.125%, 02/13/04 157 155
GNMA
8.000%, 12/15/22 798 832
7.000%, 12/15/28 1,442 1,465
8.000%, 12/15/28 2,730 2,844
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $7,590) 7,601
--------
CORPORATE OBLIGATIONS -- 21.0%
AT&T
6.890%, 01/25/02 1,340 1,372
6.000%, 03/15/09 250 248
Bausch & Lomb
6.150%, 08/01/01 1,340 1,332
Capital One Bank
7.000%, 04/30/01 1,140 1,151
Countrywide Funding
6.690%, 07/14/13 995 1,012
Dillards
6.430%, 08/01/04 725 718
Finova Capital
6.110%, 02/18/03 420 419
Finova Capl
5.980%, 02/27/01 680 682
First Security 3 66
Ford Motor Credit
6.375%, 04/15/00 125 126
Household Finance
5.875%, 02/01/09 750 720
Ikon Capital Resources
7.040%, 04/25/00 675 682
ING Groep NV
8.500%, 02/15/05 645 713
International Lease Financial
5.800%, 06/15/01 390 391
Merrill Lynch
8.250%, 11/15/99 705 718
6.000%, 01/15/01 100 101
NationsBank
7.625%, 04/15/05 315 334
Provident
6.375%, 07/15/05 1,600 1,590
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
BALANCED FUND--CONCLUDED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Reliastar Financial
6.500%, 11/15/08 $ 400 $ 388
--------
Total Corporate Obligations
(Cost $12,731) 12,763
--------
CONVERTIBLE BONDS -- 0.5%
Potomac Electric Power,
Convertible to 29.50 shares
5.000%, 09/01/02 100 96
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 200 193
--------
Total Convertible Bonds
(Cost $311) 289
--------
REPURCHASE AGREEMENT -- 5.5%
J.P. Morgan
4.950%, dated 03/31/99, matures
04/01/99, repurchase price
$3,382,000 (collateralized by
various GNMA obligations, par
value $3,457,000, 6.500%,
01/15/29-02/15/29, total market
value: $3,449,000) 3,382 3,382
--------
Total Repurchase Agreements
(Cost $3,382) 3,382
--------
Total Investment -- 100.4%
(Cost $50,325) 61,030
--------
Other Assets and Liabilities, Net -- (0.4%) (222)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 4,747,152.346 outstanding shares
of beneficial interest $ 48,207
Undistributed net investment income 375
Accumulated net realized gain on investments 1,521
Net unrealized depreciation on investments 10,705
--------
Total Net Assets -- 100.0% $ 60,808
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.81
========
*NON-INCOME PRODUCING SECURITY
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD.--LIMITED
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME FUND
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 27.4%
U.S. Treasury Bonds
5.500%, 02/29/00 $ 19,700 $ 19,810
4.750%, 02/15/04 2,190 2,154
10.750%, 08/15/05 24,165 31,042
9.250%, 02/15/16 142,340 193,507
8.500%, 02/15/20 2,075 2,713
6.375%, 08/15/27 16,539 17,698
6.125%, 11/15/27 61,840 64,233
U.S. Treasury Notes
6.500%, 08/31/01 2,500 2,581
6.250%, 01/31/02 6,550 6,744
6.500%, 05/31/02 2,000 2,078
5.625%, 12/31/02 4,000 4,058
5.500%, 01/31/03 29,970 30,287
5.500%, 03/31/03 3,000 3,032
5.750%, 08/15/03 4,050 4,133
7.500%, 02/15/05 2,300 2,551
U.S. Treasury STRIPS
Zero coupon, 11/15/04 46,075 34,186
5.875%, 11/15/05 6,090 6,262
U.S. Treasury Notes (D)
3.625%, 01/15/08 40,959 39,961
3.875%, 01/15/09 2,351 2,342
3.375%, 01/15/07 25,595 24,620
3.625%, 04/15/28 39,065 37,295
--------
Total U.S. Treasury Obligations
(Cost $529,194) 531,287
--------
CORPORATE OBLIGATIONS -- 24.9%
AAAB
7.250%, 05/31/05 2,000 2,085
ABN Amro Bank of Chicago
6.625%, 10/31/01 2,500 2,556
AFC Home Equity Loan Trust,
Ser 98-2 (A)
5.089%, 07/25/08 2,558 2,542
Allstate Insurance
7.500%, 06/15/13 1,000 1,080
Associated P&C Holdings (B)
6.750%, 07/15/03 7,205 7,340
AT&T
5.625%, 03/15/04 6,000 5,970
6.500%, 03/15/29 3,390 3,314
Banco Nacional de Mexico
Ser 1996 (B)
6.250%, 12/01/03 4,234 4,250
Banco Santander Chile
6.500%, 11/01/05 4,225 4,162
BankAmerica
8.125%, 02/01/02 1,043 1,100
9.200%, 05/15/03 1,350 1,502
32
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Bankers Trust NY
8.125%, 05/15/02 $ 10,060 $ 10,588
7.500%, 11/15/15 1,000 1,011
Bear Stearns
6.500%, 06/15/00 2,550 2,573
6.750%, 08/15/00 2,000 2,026
9.375%, 06/01/01 1,253 1,339
6.250%, 07/15/05 960 941
Boeing
7.875%, 04/15/43 8,000 8,930
Boston Edison
9.875%, 06/01/20 2,000 2,155
9.375%, 08/15/21 4,500 4,877
British Aerospace Financial (B)
7.500%, 07/01/27 11,550 12,315
Cendant
7.750%, 12/01/03 5,020 5,145
Commonwealth Edison
9.875%, 06/15/20 850 999
Continental Airlines
6.800%, 02/07/07 4,334 4,215
Continental Bank, N.A.
12.500%, 04/01/01 1,850 2,090
Continental Cablevision
9.000%, 09/01/08 2,900 3,407
9.500%, 08/01/13 7,625 9,017
Countrywide Capital I
8.000%, 12/15/26 1,750 1,781
Countrywide Funding (A)
5.048%, 01/26/00 5,000 5,000
Dayton Hudson
10.000%, 01/01/11 1,000 1,300
8.600%, 01/15/12 941 1,122
Donaldson Lufkin & Jenrette
6.875%, 11/01/05 1,750 1,748
6.170%, 07/15/03 2,500 2,472
Dresdner Bank
7.250%, 09/15/15 2,700 2,744
Dryden Investor Trust (B)
7.157%, 07/23/08 10,444 10,274
Duty Free International
7.000%, 01/15/04 5,575 5,777
Equitable Companies
9.000%, 12/15/04 4,250 4,771
Federal Express
8.400%, 03/23/10 600 656
9.650%, 06/15/12 3,175 3,743
9.625%, 10/15/19 850 892
6.845%, 01/15/19 1,489 1,515
Federal Paperboard
8.875%, 07/01/12 1,700 2,074
First Boston, Ser 1998-C2, Cl A1
5.960%, 12/15/07 1,480 1,475
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
- -----------------------------------------------------------
First National Bank of Omaha
7.320%, 12/01/10 $ 750 $ 802
First Union Corp.
8.125%, 06/24/02 1,100 1,167
First USA
7.000%, 08/20/01 1,175 1,212
First USA Bank MTN
5.850%, 02/22/01 4,000 4,020
Fleet Financial Group
9.900%, 06/15/01 2,000 2,165
Ford Capital
10.125%, 11/15/00 1,275 1,363
Ford Capital Note
9.875%, 05/15/02 850 946
Ford Motor
9.215%, 09/15/21 1,000 1,254
7.400%, 11/01/46 300 314
Ford Motor Global
6.625%, 10/01/28 750 726
Ford Motor Capital
9.500%, 07/01/01 1,000 1,079
Ford Motor Credit
7.700%, 05/15/97 4,200 4,531
General Motors MTN
8.875%, 05/15/03 2,400 2,628
General Motors Acceptance
9.625%, 12/15/01 1,850 2,028
5.950%, 03/14/03 1,820 1,820
5.850%, 01/15/09 4,300 4,144
General Motors Global
6.750%, 05/01/28 5,330 5,263
Georgia Pacific
9.500%, 12/01/11 1,500 1,834
9.875%, 11/01/21 3,475 3,788
GMAC
9.375%, 04/01/00 1,250 1,296
0.000%, 06/15/15 10,000 3,287
Goldman Sachs
6.250%, 02/01/03 4,700 4,729
Holt Apartments
0.000%, 08/01/37 1,931 2,034
Household Netherlands
6.200%, 12/01/03 3,450 3,459
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 1,900
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,206
IBM Credit
5.680%, 07/07/99 5,000 5,006
J Seagram & Sons
6.400%, 12/15/03 3,310 3,302
6.800%, 12/15/08 2,350 2,362
7.500%, 12/15/18 2,550 2,595
33
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
JC Penney
9.750%, 06/15/21 $ 2,550 $ 2,818
JP Morgan Capital
7.950%, 02/01/27 700 730
Jersey Central Power & Light
6.375%, 05/01/03 2,441 2,472
John Deere
6.000%, 02/15/09 3,100 3,026
JP Morgan
6.000%, 01/15/09 1,790 1,730
KN Energy
9.625%, 08/01/21 1,900 2,076
Key Bank (A)
5.130%, 03/18/02 5,060 5,060
Korea Development Bank
7.125%, 09/17/01 1,300 1,290
Korea Electric Power
7.750%, 04/01/13 1,285 1,240
6.750%, 08/01/27 1,075 1,020
Lehman Brothers
9.875%, 10/15/00 3,225 3,387
6.125%, 02/01/01 3,325 3,317
8.750%, 05/15/02 6,105 6,487
8.750%, 03/15/05 1,000 1,081
Lehman Brothers Holdings
8.875%, 03/01/02 5,000 5,319
Lincoln National
9.125%, 10/01/24 3,700 4,204
Loew's
7.625%, 06/01/23 2,550 2,547
May Department Stores
9.875%, 06/15/21 2,150 2,389
Mercantile Bancorp
7.050%, 06/15/04 2,000 2,070
Merrill Lynch
6.875%, 11/15/18 5,200 5,180
Midland Bank PLC
6.950%, 03/15/11 3,700 3,792
Money Store
8.050%, 04/15/02 1,700 1,796
Money Store (A)
5.550%, 07/15/25 2,200 2,200
MSC 98-CF1 (A)
0.840%, 12/15/12 19,710 1,000
NRG Energy (B)
7.625%, 02/01/06 2,000 2,025
Nabisco
6.375%, 02/01/05 5,000 4,887
7.550%, 06/15/15 2,000 2,060
National Bank of Hungary
8.875%, 11/01/13 1,550 1,742
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 1,400 1,510
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
- -----------------------------------------------------------
National Westminster Bancorp
9.375%, 11/15/03 $ 4,568 $ 5,076
NCNB Bank
10.200%, 07/15/15 3,280 4,297
New York Telephone
9.375%, 07/15/31 2,900 3,237
Newcourt Credit
6.875%, 02/16/05 5,655 5,789
News America (B)
6.750%, 01/09/38 1,120 1,141
News America Holdings
10.125%, 10/15/12 2,325 2,662
Norfolk Southern Railway
7.800%, 05/15/27 1,680 1,873
Norsk Hydro A/S
9.000%, 04/15/12 1,725 2,089
NRG Energy
7.500%, 06/15/07 2,000 2,007
Paine Webber Group
7.115%, 01/27/04 2,000 2,045
8.875%, 03/15/05 1,300 1,430
6.500%, 11/01/05 2,775 2,733
6.750%, 02/01/06 750 748
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,219
Pandhandle Eastern Pipeline (A)
7.000%, 07/15/99 2,300 2,248
JC Penney
8.250%, 08/15/22 1,500 1,581
6.900%, 08/15/26 3,000 3,146
Pepsi
7.000%, 03/01/29 8,000 8,010
Philip Morris
7.750%, 01/15/27 8,490 9,042
Phillips Petroleum
9.180%, 09/15/21 2,800 3,069
Pohang Iron & Steel
7.125%, 07/15/04 1,250 1,192
7.375%, 05/15/05 585 559
Potomac Electric Power
9.000%, 09/01/21 1,000 1,066
Province of Manitoba
9.500%, 09/15/18 3,580 4,753
Province of NewFoundland
10.000%, 12/01/20 850 1,153
PVNGS II Funding
8.000%, 12/30/15 4,500 4,944
Quebec Province
7.220%, 07/22/36 1,660 1,836
RJR Nabisco
8.750%, 08/15/05 380 395
8.500%, 07/01/07 600 624
8.750%, 07/15/07 2,235 2,366
Rochester Telephone
9.000%, 08/15/21 1,000 1,077
34
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Salomon Brothers
7.750%, 05/15/00 $ 1,275 $ 1,304
6.750%, 02/15/03 5,550 5,682
Santander Financial
7.750%, 05/15/05 3,810 4,020
J Seagrams & Sons
7.600%, 12/15/28 2,800 2,873
Security Capital Group
7.750%, 11/15/03 2,850 2,882
South Western Electric PLC (B)
6.500%, 07/15/02 675 689
Sumitomo Bank International
9.550%, 07/15/00 3,000 3,113
Swiss Bank
7.000%, 10/15/15 1,700 1,711
System Energy Resources
7.430%, 01/15/11 2,112 2,160
TCI Communications
6.375%, 05/01/03 990 1,005
7.875%, 02/15/26 3,240 3,698
7.125%, 02/15/28 4,630 4,862
Tenneco
7.450%, 12/15/25 500 488
Time Warner
9.125%, 01/15/13 1,850 2,271
Transamerica Finance
6.750%, 06/01/00 3,455 3,499
6.125%, 11/01/01 5,100 5,145
US West Communication
8.875%, 06/01/31 2,000 2,180
Union Camp
10.000%, 05/01/19 1,700 1,789
9.250%, 08/15/21 500 528
United Airlines
7.270%, 01/30/13 1,670 1,700
United Healthcare (A)
6.600%, 12/01/03 5,585 5,550
USF&G
7.125%, 06/01/05 1,000 1,043
Walt Disney
5.620%, 12/01/08 7,280 7,043
Westdeutsche Landesbank NY
6.050%, 01/15/09 4,750 4,649
Western National
7.125%, 02/15/04 3,000 3,135
Westvaco
10.125%, 06/01/19 1,000 1,056
Weyerhaeuser
7.250%, 07/01/13 1,875 1,929
Wharf Capital
8.875%, 11/01/04 975 903
Wharf International Finance
7.625%, 03/13/07 1,300 1,032
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
YPF Sociedad Anonima
7.750%, 08/27/07 $ 5,000 $ 4,888
Zurich Capital Trust (B)
8.376%, 06/01/37 8,700 9,276
--------
Total Corporate Obligations
(Cost $482,391) 484,098
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
FNMA Discount Note
4.75%, 05/18/99 3,190 3,170
--------
Total U.S. Government Agency Obligations
(Cost $3,170) 3,170
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 28.0%
FFCA (A), Ser 1997-1, IO
1.083%, 07/18/15 22,331 1,003
FHLMC
5.500%, 12/01/13-03/01/14 34,626 33,768
6.000%, 10/01/23 3,867 3,761
6.500%, 08/01/08-01/01/24 4,660 4,702
7.000%, 02/01/09-09/01/25 9,622 9,766
7.500%, 06/01/10-11/01/10 899 928
8.000%, 07/01/12-01/01/28 8,466 8,776
9.000%, 12/01/05 141 148
FHLMC COFI ARM (A)
7.500%, 03/01/24 724 744
FHLMC REMIC, Ser 1005, Cl D
6.500%, 10/15/05 730 735
FHLMC REMIC, Ser 1563 (A)
8.974%, 08/15/08 338 348
FHLMC REMIC, Ser 1907, Cl LP
9.300%, 04/15/19 2,385 2,540
FHLMC TBA
6.500%, 04/19/14 1,000 1,009
6.000%, 04/01/29 7,340 7,134
6.500%, 04/01/29 11,820 11,761
7.500%, 04/01/29 7,180 7,373
6.500%, 04/14/29 13,000 12,935
FNMA
5.500%, 09/01/13-04/01/14 37,488 36,486
6.000%, 12/01/13-03/01/29 41,963 41,008
6.500%, 03/25/07-11/01/28 11,945 12,031
6.750%, 07/30/07 1,000 1,026
7.000%, 05/01/26 3 4
7.500%, 06/01/22-07/01/28 867 889
8.000%, 11/01/10-06/01/13 5,535 5,728
8.500%, 09/01/13 99 104
9.000%, 07/01/07 126 132
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 4,362 4,413
35
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
FNMA PO, Ser 94-9-C
0.000%, 08/25/23 $ 169 $ 151
FNMA REMIC
5.500%, 08/25/20 3,330 3,265
FNMA REMIC Ser 1990-106, Cl-J
8.500%, 09/25/20 692 729
FNMA REMIC Ser 1991-156, Cl A
7.500%, 10/25/21 2,222 2,262
FNMA REMIC Ser 1996-56, Cl E, PO
9.000%, 09/25/25 705 748
FNMA Ser 93-254, Cl C, PO
0.000%, 08/25/23 67 66
FNMA TBA
6.500%, 04/01/14 6,900 6,959
6.000%, 04/19/14 7,700 7,630
6.000%, 04/14/29 137,820 133,814
6.000%, 04/14/29 10,000 9,709
6.500%, 04/14/29 1,000 994
7.000%, 04/14/29 4,600 4,659
GNMA
8.500%, 11/15/00 68 73
9.500%, 01/15/19 469 506
8.500%, 12/15/21 402 425
7.125%, 08/20/22 3,940 4,002
7.500%, 01/15/23-12/15/27 30,243 31,129
8.000%, 05/15/25-11-15-25 2,708 2,821
7.000%, 12/15/22-09/15/28 35,675 36,211
6.500%, 04/15/23-02/15/29 32,912 32,749
GNMA (A)
6.875%, 06/20/18 219 225
6.625%, 09/20/19 231 237
GNMA TBA
6.000%, 02/20/29 2,996 2,893
6.000%, 04/01/29 28,640 27,807
6.500%, 04/01/29 18,219 18,122
7.500%, 04/22/29 4,920 5,061
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $546,197) 542,499
--------
ASSET-BACKED SECURITIES -- 3.5%
American Airlines
9.780%, 11/26/11 4,635 5,300
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,100 3,310
Banc One Credit Card Master Trust
7.340%, 10/25/26 1,067 1,073
6.150%, 07/15/02 4,600 4,645
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.230%, 06/15/03 10,175 10,286
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Chemical Master Credit Card
5.900%, 07/15/03 $ 488 $ 490
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
0.000%, 02/07/03 14,542 12,664
Discover Card Master Trust I,
Ser 1995-2, Cl A
6.550%, 02/18/03 4,275 4,341
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.097%, 10/25/17 2,964 2,964
GMACC, Ser 98-C2
0.823%, 05/15/31 25,665 1,052
Household Private Label
Credit Card
4.550%, 11/15/00 92 92
IBM Credit Receivables Lease
Master Trust, Ser 93-1 A
5.800%, 07/15/00 700 704
Money Store Trust, Cl 1998-A,
Ser A1
6.405%, 03/15/06 3,110 3,108
Residential Asset Securitization
Trust Ser 1997-A7, Cl A8
7.750%, 09/25/27 4,100 4,209
Sears Credit
6.050%, 01/15/08 2,135 2,155
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
7.000%, 10/15/04 1,700 1,731
Sears Credit Account Master Trust,
Ser 95-3, Cl A
8.100%, 06/15/04 2,520 2,581
Structured Asset Securities
Ser 1998-C2A, Cl A (A)
5.109%, 01/25/13 662 660
Union Acceptance, Ser 1998-B,
Cl A2
5.830%, 10/09/01 7,568 7,597
--------
Total Asset-Backed Securities
(Cost $67,199) 68,962
--------
MORTGAGE-BACKED OBLIGATIONS -- 6.6%
Advanta Mortgage Trust,
Ser 1993-4, Cl A1
5.500%, 03/25/10 2,142 2,100
Arbors of Little Rock
7.450%, 01/01/39 1,995 2,123
Castle Terrace
8.000%, 05/01/37 1,503 1,646
Chase Commercial Mortgage,
Ser 97-1, Cl A2
7.370%, 02/19/07 107 113
36
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Chase Commercial Mortgage,
Ser 1997-2, Cl A1
6.450%, 12/19/04 $ 2,633 $ 2,667
Enterprise Mortgage Acceptance,
Ser 1991-1, Cl A (A)
1.240%, 10/12/23 61,030 4,191
Citibank Credit Card Master Trust I,
Ser 1997-6, Cl A
0.000%, 08/15/06 1,133 821
CLC Excelsior II Apartments
7.875%, 02/01/39 499 552
Community Program Loan Trust
7.810%, 06/25/23 4,086 4,146
Contimortgage Home Equity
Loan Trust, Ser Cl
6.630%, 12/15/20 2,500 2,561
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 6,209 6,273
Contimortgage Home Equity
Loan Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 3,250 3,328
Creekwood
7.300%, 11/15/38 1,998 2,112
Enclave of Stone Brook
7.500%, 08/29/37 1,929 2,059
First Plus Home Loan Trust,
Ser 1998-2, Cl A1 (A)
5.063%, 12/10/08 1,941 1,941
First Union-Lehman Brothers
CMO, IO, Ser 1997-C2, Cl IO (B)
1.535%, 11/18/27 4,600 357
Goldman Sachs Mortgage
Securities, Ser 1998-2, Cl A CMO
7.750%, 05/19/27 1,340 1,384
GE Capital Mortgage Services,
Ser 97-7, Cl A15
5.000%, 02/25/09 1,170 1,065
Green Tree Financial, Ser 1996-10,
Cl A6
7.290%, 03/15/28 1,250 1,248
Green Tree Financial, Ser 1998 B,
Cl A4
6.390%, 02/15/25 3,450 3,502
GSMS 98-1 A CMO
8.000%, 08/19/19 1,500 1,559
Holt Apartments
7.275%, 07/30/38 98 104
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.549%, 09/15/29 15,900 1,268
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Matterhorn One Limited Trust
Certificates (A)(B)
7.120%, 04/13/36 $ 5,100 $ 5,272
Merit Securities CMO Ser 11,
Cl 1A1
6.580%, 07/28/22 271 272
Merrill Lynch
7.430%, 09/01/22 1,855 1,889
Merrill Lynch Mortgage Investors,
Ser 1996-C2
6.960%, 11/21/28 530 487
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 7,940 8,234
Mortgage Capital Funding CMO,
Ser 98-MC3, Cl A1
6.001%, 11/18/31 2,575 2,563
MSCI, Series 98-Cf1, Cl A1
6.330%, 10/15/07 1,705 1,712
Olmstead Commons
7.840%, 03/01/28 1,277 1,387
Orchard Park Inn
7.840%, 03/01/28 81 88
Rali Ser 97-Qs12 Cl A7 CMO
7.250%, 11/25/27 1,776 1,798
Renaissance Place Apartments
7.375%, 08/02/32 1,344 1,424
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 1,272 1,276
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 1,822 1,833
Residential Accredit Loans,
Ser 1998-QS4, Cl A1
6.500%, 03/25/28 1,128 1,131
Residential Asset Securitization
Trust, Ser 1998-A1
7.000%, 03/25/28 1,459 1,463
Residential Asset Securitization
Trust, Ser 98-A8, Cl A2 (A)
6.750%, 08/25/28 953 959
Residential Asset Securitization,
Ser 1998-A6, Cl A1
6.750%, 03/01/28 2,089 2,095
Rosewood
8.000%, 07/01/37 1,502 1,646
RTC 92-7-A2D
6.360%, 06/25/21 721 715
RTC ARM 92-B3 (A)
7.580%, 09/25/29 2,772 2,796
RTC ARM M-3 (A)
6.720%, 05/25/21 11,213 11,172
37
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONCLUDED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
RTC ARM M-6 (A)
6.600%, 10/25/24 $ 7,735 $ 7,831
Ryland Mortgage Ser 1994-7A,
Cl A2
7.000%, 08/25/25 1,403 1,419
Sanctuary At Tuttle Crossing
8.250%, 06/01/37 1,318 1,459
Security Pacific Acceptance,
Ser 91-2, Cl B
7.100%, 07/01/00 538 541
Shavano Park
7.875%, 07/01/38 1,510 1,640
Silverado Apartments
7.175%, 11/30/39 2,568 2,682
Somerford Place Facility
7.475%, 07/01/38 1,964 2,094
TMSRT, Ser 97-2, Cl A1
6.650%, 11/15/07 701 705
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.019%, 07/15/11 4,156 4,155
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 2,450 2,568
Union Planters Mortgage Finance,
CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 1,339 1,336
Village at Stone Falls
7.375%, 08/29/37 1,907 2,020
Villages at Clear Springs
7.620%, 09/30/38 2,008 2,161
----------
Total Mortgage-Backed Obligations
(Cost $124,075) 127,943
----------
OPTIONS -- 0.0%
Euro $ Future Sept Call,
Strike Price $95.00 121 26
Euro $ Future June Call,
Strike Price $95.00 505 57
FNMA March TBA Call,
Strike Price $98.00 (40,000) (6)
Euro $ Future June Call,
Strike Price $95.25 148 4
OTC Treasury Bond April Call,
Strike Price $98.0625 22,500 4
US Long Bond Future June Call,
Strike Price $124.00 (280) (118)
US 10 Year Note Future June Call,
Strike Price $116.00 (250) (105)
US 5 Year Note Future June Call,
Strike Price $112.00 (125) (47)
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
US Long Bond Future June Put,
Strike Price $120.00 $ (42) $ (54)
US Long Bond Future June Put,
Strike Price $118.00 (42) (26)
----------
Total Options
(Cost ($109)) (265)
----------
MUNICIPAL BOND -- 0.1%
First Chicago Funding 3,850 1,901
----------
Total Municipal Bond
(Cost $1,641) 1,901
----------
REPURCHASE AGREEMENT -- 21.5%
J.P. Morgan
6.050%, dated 03/31/98, matures
04/01/98, repurchase price
$221,428,000 (collateralized
by various GNMA obligations,
total par $557,027,000,
5.500-7.500%, 04/01/10-
12/01/29, total market
value: $425,281,000) 416,942 416,942
----------
Total Repurchase Agreement
(Cost $416,942) 416,942
----------
Total Investments -- 112.2%
(Cost $2,170,700) 2,176,537
----------
Other Assets and Liabilities, Net -- (12.2%) (235,846)
----------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
272,699,729.563 outstanding shares
of beneficial interest 1,941,195
Undistributed net investment income 39
Accumulated net realized (loss) on investments (6,454)
Net unrealized appreciation on futures 74
Net unrealized appreciation on investments 5,837
----------
Total Net Assets -- 100.0% $1,940,691
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.37
==========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF MARCH 31, 1999.
(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.
38
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(D) LOANS SUPPORTING CONSTRUCTION IN PROGRESSS.
(E) U.S. TREASURY INFLATION INDEX NOTE.
ARM--ADJUSTABLE RATE MORTAGE
CL --CLASS
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE CORPORATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO--INTEREST ONLY
MTN--MEDIUM TERM NOTE
PLC--PUBLIC LIMITED COMPANY
PO--PRINCIPAL ONLY
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
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.
HIGH YIELD BOND FUND
CORPORATE OBLIGATIONS -- 93.3%
AAF-Mcquay (A)
8.875%, 02/15/03 $ 535 $ 520
Abraxas Petroleum, Ser D
11.500%, 11/01/04 1,250 747
Ackerley Group (A)
9.000%, 01/15/09 1,000 1,030
Acme Television (B)
0.000%, 09/30/04 500 426
Adelphia Cable Communications
10.500%, 07/15/04 500 554
Adelphia Communications (A)
8.375%, 02/01/08 1,000 1,021
Adelphia Communications, Ser B
8.375%, 02/01/08 750 766
ADV Accessory
9.750%, 10/01/07 550 553
Advance Holding (B)
0.000%, 04/15/09 1,500 921
Advance Stores (A)
10.250%, 04/15/08 1,100 1,119
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Advanced Glassfiber (A)
9.875%, 01/15/09 $ 1,000 $ 1,015
AEI Resources (D)
11.500%, 12/15/06 500 491
AES
8.500%, 11/01/07 800 788
AES (A)
8.000%, 12/31/08 500 496
Aetna Industries
11.875%, 10/01/06 1,000 1,036
AFC Enterprises
10.250%, 05/15/07 1,000 1,062
Agrilink Foods (D)
11.875%, 11/01/08 1,700 1,823
Ainsworth Lumber
12.500%, 07/15/07 1,500 1,590
Airplanes Pass Through Trust
10.875%, 03/15/19 300 305
Alaris Medical (A) (B)
0.000%, 08/01/08 750 458
Algoma Steel
12.375%, 07/15/05 1,000 972
Allbritton Communications
9.750%, 11/30/07 800 846
Allied Holdings, Ser B
8.625%, 10/01/07 700 710
Allied Waste (A)
7.875%, 01/01/09 1,000 975
Allied Waste North America
7.875%, 01/01/09 200 196
AMC Entertainment (A)
9.500%, 02/01/11 1,000 955
AMC Entertainment
9.500%, 03/15/09 1,000 962
American Axle (D)
9.750%, 03/01/09 1,000 1,025
American Builder & Contractors
10.625%, 05/15/07 500 450
American Cellular
10.500%, 05/15/08 750 787
American Commercial Lines
10.250%, 06/30/08 600 618
American Lawyer Media
9.750%, 12/15/07 1,000 1,037
American Radio Systems
9.000%, 02/01/06 500 537
American Restaurant Group
11.500%, 02/15/03 700 633
American Skiing
12.000%, 07/15/06 450 406
Ameriserv Food
8.875%, 10/15/06 100 88
Ameristar Casino, Ser B
10.500%, 08/01/04 1,000 949
39
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
AMF Group
10.875%, 03/15/06 $ 700 $ 556
AMF Group
0.000%, 03/15/06 306 176
Ampex
12.000%, 03/15/03 1,000 1,000
Amphenol
9.875%, 05/15/07 500 517
Amscan Holdings
9.875%, 12/15/07 400 343
Amtrol
10.625%, 12/31/06 400 388
Anchor Lamina
9.875%, 02/01/08 1,000 935
Anthony Crane Rentals (A)
10.375%, 08/01/08 500 487
Apcoa
9.250%, 03/15/08 700 654
Applied Extrusion Tech, Ser B
11.500%, 04/01/02 800 823
Arcadia Financial Ltd.
11.500%, 03/15/07 500 404
Archibald Candy
10.250%, 07/01/04 1,200 1,233
Argosy Gaming
12.000%, 06/01/01 1,250 1,261
Atlantic Express
10.750%, 02/01/04 500 514
Atlas Air (A)
9.375%, 11/15/06 750 757
Aurora Foods
8.750%, 07/01/08 650 676
Autotote
10.875%, 08/01/04 1,000 1,030
Avalon Cable Holdings (B)
0.000%, 12/01/08 500 321
Avalon Cable of Michigan
9.375%, 12/01/08 1,250 1,306
Ball
8.250%, 08/01/08 700 723
Bally Total Fitness, Ser B
9.875%, 10/15/07 400 396
Bayou Steel
9.500%, 05/15/08 750 737
Belden & Blake, Ser B
9.875%, 06/15/07 500 299
Bellwether Exploration
10.875%, 04/01/07 800 706
Berry Plastics
12.500%, 06/15/06 500 527
Beverly Enterprises
9.000%, 02/15/06 700 691
BGF Industries (A)
10.250%, 01/15/09 1,000 1,017
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
- -----------------------------------------------------------
Big City Radio (B)
0.000%, 03/15/05 $ 1,700 $ 1,181
Big Flower Press (A)
8.625%, 12/01/08 1,000 1,007
Blue Bird Body
10.750%, 11/15/06 500 536
Booth Creek
12.500%, 03/15/07 600 573
Boyd Gaming
9.500%, 07/15/07 500 514
Boyds Collection (A)
9.000%, 05/15/08 800 853
Brand Scaffold Services
10.250%, 02/15/08 750 738
Breed Technologies (A)
9.250%, 04/15/08 1,000 397
Bresnan Communication (A)
8.000%, 02/01/09 750 768
Bresnan Communication (B)
0.000%, 02/01/09 1,700 1,158
Buckeye Cellulose
9.250%, 09/15/08 500 527
Bucyrus International
9.750%, 09/15/07 500 434
Burke Industries
10.000%, 08/15/07 600 556
BWAY, Ser B
10.250%, 04/15/07 500 524
Call-Net Enterprises (B)
0.000%, 08/15/07 1,000 707
Call-Net Enterprises (A) (B)
0.000%, 08/15/08 700 461
Cambridge Industries, Ser B
10.250%, 07/15/07 500 419
Canadian Airlines
10.000%, 05/01/05 400 311
Canadian Airlines Yankee
12.250%, 08/01/06 950 530
Canadian Forest Oil, Ltd.
8.750%, 09/15/07 500 481
Capstar Broadcasting
9.250%, 07/01/07 1,000 1,060
Capstar Broadcasting (B)
0.000%, 02/01/09 1,000 850
Capstar Hotel
8.750%, 08/15/07 1,000 955
Carrier One (A)
13.250%, 02/15/09 1,000 1,025
Carrols (D)
9.500%, 12/01/08 1,000 1,012
Casino America
12.500%, 08/01/03 900 1,028
Casino Magic
13.000%, 08/15/03 1,600 1,788
40
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Cencall Communication (B)
0.000%, 01/15/04 $ 100 $ 101
Centennial Cellular (D)
10.750%, 12/15/08 1,000 1,055
Century Communications
8.875%, 01/15/07 550 579
Century Communications, Ser B (B)
0.000%, 01/15/08 1,650 778
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 800
Chancellor Media (A)
8.000%, 11/01/08 500 521
Charter Comm Holdings (A)
8.625%, 04/01/09 1,700 1,745
Charter Comm Holdings (B)
0.000%, 04/01/11 1,750 1,129
Cinemark USA
9.625%, 08/01/08 500 519
9.625%, 08/01/08 100 104
Cinemark USA, Ser B
8.500%, 08/01/08 500 495
Circus Circus Enterprise
9.250%, 12/01/05 1,000 1,045
Citadel Broadcasting (A)
9.250%, 11/15/08 1,250 1,337
Clark R&M
8.875%, 11/15/07 500 412
Classic Cable (A)
9.875%, 08/01/08 1,200 1,278
Classic Cable (A) (B)
0.000%, 08/01/09 1,000 705
Clearnet Communications (B)
0.000%, 12/15/05 1,800 1,654
Cliffs Drilling
10.250%, 05/15/03 400 384
Climachem, Ser B
10.750%, 12/01/07 1,000 1,016
CMS Energy
7.500%, 01/15/09 1,000 1,009
CMS Energy (A)
6.750%, 01/15/04 650 640
Coast Hotels & Casinos
9.500%, 04/01/09 1,200 1,212
Coaxial Communication (B)
0.000%, 08/15/08 1,000 664
Coaxial Communication
10.000%, 08/15/06 1,500 1,597
Cogentrix Energy (A)
8.750%, 10/15/08 1,000 1,047
Coinstar (B)
0.000%, 10/01/06 1,000 889
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Collins & Aikman (A)
11.500%, 04/15/06 $ 1,250 $ 1,337
10.000%, 01/15/07 1,000 1,050
Color Spot Nurseries
10.500%, 12/15/07 900 493
Colorado Gaming &
Entertainment PIK (B)
0.000%, 06/01/03 750 807
Comcast
9.375%, 05/15/05 250 267
9.125%, 10/15/06 600 645
Comcast Cellular (A)
9.500%, 05/01/07 1,000 1,137
Comcast UK Cable (B)
0.000%, 11/15/07 750 664
Commonwealth Aluminum
10.750%, 10/01/06 500 499
Communications Instrument
10.000%, 09/15/04 500 482
Completel Europe (B)
0.000%, 02/15/09 1,800 915
Concentric Network
12.750%, 12/15/07 550 627
Constellation Finance LLC
Ser 1997-1
9.800%, 12/14/02 500 481
Consumers Packaging (A)
9.750%, 02/01/07 750 771
Container
9.750%, 04/01/03 550 580
Costilla Energy
10.250%, 10/01/06 1,000 687
Covad Comm Group (A)
12.500%, 02/15/09 550 550
Crown Central Petroleum
10.875%, 02/01/05 1,000 921
Crown Packaging Enterprises
Ltd. (B)
0.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 500 430
CSC Holdings
9.250%, 11/01/05 250 269
9.875%, 02/15/13 650 722
CSC Holdings, Ser B
8.125%, 08/15/09 550 595
Cumulus Media (A)
10.375%, 07/01/08 1,000 1,077
Dr. Horton (A)
8.000%, 02/01/09 1,000 980
Dade International
11.125%, 05/01/06 500 545
Dailey International, Ser B
9.500%, 02/15/08 850 380
41
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Day International
9.500%, 03/15/08 $ 600 $ 588
Delaware County Remy International
10.625%, 08/01/06 1,000 1,070
Details, Ser B
10.000%, 11/15/05 500 488
Diamond Brands Operating (A)
10.125%, 04/15/08 650 611
Diamond Cable (B)
0.000%, 02/15/07 1,450 1,129
Diamond Cable
Communications (B)
0.000%, 09/30/04 300 302
0.000%, 12/15/05 1,050 933
Diamond Holdings PLC
9.125%, 02/01/08 1,000 1,042
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 1,005
Digital Television Services
Capital, Ser B
12.500%, 08/01/07 500 555
Diva Systems (B)
0.000%, 03/01/08 2,757 841
Dobson Communications (A)
11.750%, 04/15/07 600 642
Dobson/Sygnet
Communications (A)
12.250%, 12/15/08 1,000 1,072
Dolphin Telecom PLC (B)
0.000%, 06/01/08 100 51
Doskocil Manufacturing
10.125%, 09/15/07 500 475
Drypers
10.250%, 06/15/07 1,350 1,293
DTI Holdings, (B)
0.000%, 03/01/08 1,000 279
Dual Drilling
9.875%, 01/15/04 500 525
Dvi Holdings (A)
9.875%, 02/01/04 250 243
E.spire Communications
13.750%, 07/15/07 500 494
E.spire Communications (B)
0.000%, 11/01/05 1,550 1,118
0.000%, 04/01/06 500 324
0.000%, 07/01/08 500 241
Eagle Family Foods
8.750%, 01/15/08 1,200 1,153
Eagle Geophysical (A)
10.750%, 07/15/08 1,000 577
Echostar DBS (A)
9.375%, 02/01/09 2,000 2,075
Econophone (B)
0.000%, 02/15/08 1,000 550
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Eldorado Resorts
10.500%, 08/15/06 $ 500 $ 525
Elgar Holdings
9.875%, 02/01/08 1,000 777
Emmis Communication (A)
8.125%, 03/15/09 1,000 1,010
Empress Entertainment (A)
8.125%, 07/01/06 450 452
Empress River Casino
10.750%, 04/01/02 500 527
Energy of America
9.500%, 05/15/07 500 467
Esprit Telecom Group PLC
11.500%, 12/15/07 500 532
Euramax International PLC
11.250%, 10/01/06 450 466
Facilicom International
10.500%, 01/15/08 800 618
Falcon Building
9.500%, 06/15/07 500 452
Falcon Holding Group
9.285%, 04/15/10 750 522
Falcon Holdings Group
8.375%, 04/15/10 965 970
Finlay Enterprises
9.000%, 05/01/08 200 187
First Wave Marine
11.000%, 02/01/08 1,000 942
Fisher Scientific International (A)
9.000%, 02/01/08 1,000 1,010
Fitzgeralds Gaming
12.250%, 12/15/04 550 249
Flag Ltd.
8.250%, 01/30/08 750 726
Fleming
10.500%, 12/01/04 670 628
Flores & Rucks
9.750%, 10/01/06 400 407
Focal Communications (B)
0.000%, 02/15/08 1,250 691
Formica (A)
10.875%, 03/01/09 1,000 995
Fountain View (A)
11.250%, 04/15/08 1,000 877
Four M
12.000%, 06/01/06 500 380
French Fragrances
10.375%, 05/15/07 500 504
Fresh Foods (A)
10.750%, 06/01/06 500 500
Friendly Ice Cream
10.500%, 12/01/07 700 649
42
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Frontier Oil (A)
9.125%, 02/15/06 $ 800 $ 786
Frontiervision (B)
0.000%, 09/15/07 700 610
Frontiervision Holdings (B)
0.000%, 09/15/07 500 436
Fundy Cable
11.000%, 11/15/05 500 542
Galaxy Telecom
12.375%, 10/01/05 1,000 1,105
Galey & Lord
9.125%, 03/01/08 750 591
Garden State (A)
8.625%, 07/01/11 1,000 1,002
Gaylord Container
9.750%, 06/15/07 500 482
Gaylord Container (A)
9.375%, 06/15/07 750 716
GCI
9.750%, 08/01/07 500 512
Genesis Health Ventures (A)
9.875%, 01/15/09 1,000 870
Global Crossings Holdings (A)
9.625%, 05/15/08 1,200 1,338
Global Telesystems Group
9.875%, 02/15/05 1,250 1,209
Globalstar
11.375%, 02/15/04 400 248
11.250%, 06/15/04 900 560
Globalstar LP/Capital
11.500%, 06/01/05 250 137
Golden Northwest (A)
12.000%, 12/15/06 700 698
Golden Ocean Group Ltd
10.000%, 08/31/01 1,032 214
Golden Sky (B)
0.000%, 03/01/07 1,000 581
Golden Sky Systems (A)
12.375%, 08/01/06 400 444
Gothic Production
11.125%, 05/01/05 350 269
Graham Packaging
8.750%, 01/15/08 400 406
Granite Broadcasting
9.375%, 12/01/05 1,000 1,017
8.875%, 05/15/08 500 500
Gray Communications System
10.625%, 10/01/06 500 530
Great Lakes Carbon
10.250%, 05/15/08 500 517
Group Maintenance (A)
9.750%, 01/15/09 1,000 1,022
Grove Worldwide (A)
9.250%, 05/01/08 600 486
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
GS Technologies
12.000%, 09/01/04 $ 500 $ 374
GST Equipment Funding
13.250%, 05/01/07 500 514
GST USA Guarantee (B)
0.000%, 12/15/05 1,760 1,291
Gulf Canada Resources
9.625%, 07/01/05 500 512
Gulf Canada Resources (A)
8.375%, 08/01/06 500 506
Gulf States Steel
13.500%, 04/15/03 1,000 227
Hard Rock Hotel (A)
9.250%, 04/01/05 1,750 1,697
Harrahs Operating (A)
7.875%, 12/15/05 1,000 1,005
Harvey Casinos Resorts
10.625%, 06/01/06 1,400 1,481
Hawk
10.250%, 12/01/03 325 343
Hayes Lemmerz (A)
8.250%, 12/15/08 600 602
Hayes Wheel International
11.000%, 07/15/06 500 553
9.125%, 07/15/07 600 629
Haynes International
11.625%, 09/01/04 500 404
Helicon
11.000%, 11/01/03 700 732
Hermes Europe (A)
10.375%, 01/15/09 750 803
Hermes Europe Railtel BV
11.500%, 08/15/07 750 825
HMH Prpoerties (A)
8.450%, 12/01/08 500 496
HMV Media Group (A)
10.250%, 05/15/08 1,000 1,018
Hollinger International Publishing
9.250%, 03/15/07 1,000 1,044
Hollywood Casino
12.750%, 11/01/03 1,000 1,093
Hollywood Park (A)
9.250%, 02/15/07 1,000 1,025
Hollywood Park, Ser B
9.500%, 08/01/07 800 820
Hollywood Theaters (B)
0.000%, 08/01/07 500 299
Holmes Products (A)
9.875%, 11/15/07 500 482
Home Products International
9.625%, 05/15/08 800 781
Homeside
11.250%, 05/15/03 325 381
43
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Horseshoe Gaming
9.375%, 06/15/07 $ 1,000 $ 1,033
Hosiery of America
13.750%, 08/01/02 700 753
Host Marriott
7.875%, 08/01/05 550 534
7.875%, 08/01/08 500 488
Host Marriott (A)
8.375%, 02/15/06 500 499
HS Resources
9.250%, 11/15/06 500 491
HS Resources (A)
9.250%, 11/15/06 250 246
Huntsman (A)
9.500%, 07/01/07 500 507
Huntsman (A)
9.500%, 07/01/07 500 493
Huntsman Polymers
11.750%, 12/01/04 250 272
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,900 1,560
Hyperion Telecommunications
12.250%, 09/01/04 500 544
ICG Holding (B)
0.000%, 09/15/05 350 307
ICG Holdinggs (A) (B)
0.000%, 03/15/07 500 361
ICG Services (B)
0.000%, 02/15/08 1,250 673
ICN Pharmaceutical (A)
8.750%, 11/15/08 300 302
ICN Pharmaeuticals
9.250%, 08/15/05 500 509
IDT
8.750%, 02/15/06 500 509
IHF Holdings (B)
0.000%, 11/15/04 600 109
Imax (A)
7.875%, 12/01/05 1,000 981
Impac Group (A)
10.125%, 03/15/08 1,000 986
Integrated Elec Services (A)
9.375%, 02/01/09 1,000 1,024
Integrated Health
10.250%, 04/30/06 250 187
Integrated Health Services
9.500%, 09/15/07 500 319
9.250%, 01/15/08 250 157
Intelcom Group (B)
0.000%, 05/01/06 400 328
Interact Systems ((B)
0.000%, 08/01/03 700 252
Intermedia Capital Partners
11.250%, 08/01/06 750 840
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 $ 900 $ 767
0.000%, 07/15/07 750 571
International Cabletel
10.000%, 02/15/07 250 265
International Cabletel (B)
0.000%, 04/15/05 400 383
0.000%, 02/01/06 1,200 1,038
International Home Foods
10.375%, 11/01/06 750 816
International Knife & Saw
11.375%, 11/15/06 500 513
International Utility Structures (A)
10.750%, 02/01/08 850 866
International Wire Group
11.750%, 06/01/05 500 529
Intrawest
9.750%, 08/15/08 1,000 1,035
Iridium, Ser C
11.250%, 07/15/05 300 111
Iridium LLC (A)
14.000%, 07/15/05 750 351
ISP Holdings
9.000%, 10/15/03 500 510
ITC Deltacom
11.000%, 06/01/07 422 461
8.875%, 03/01/08 455 455
ITC Deltacom (A)
9.750%, 11/15/08 250 263
Ivaco
11.500%, 09/15/05 500 521
IXC Communications
9.000%, 04/15/08 1,500 1,545
Jackson Products (A)
9.500%, 04/15/05 1,200 1,199
Jacor Communications
9.750%, 12/15/06 450 497
8.000%, 02/15/10 750 801
James Cable
10.750%, 08/15/04 1,400 1,498
Jitney-Jungle Stores
10.375%, 09/15/07 450 458
John Q Hammons Hotels
8.875%, 02/15/04 500 466
Jones Intercable
9.625%, 03/15/02 350 375
8.875%, 04/01/07 350 382
Jordan Industries
10.375%, 08/01/07 1,000 995
Jordan Telecom Products (B)
0.000%, 08/01/07 1,000 815
Jordon Industries (A)
10.375%, 08/01/07 750 746
44
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
JPS Automotive Products
11.125%, 06/15/01 $ 100 $ 105
K-mart (A)
8.540%, 01/02/15 732 711
K-mart
7.750%, 10/01/12 850 900
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 614
KCS Energy
8.875%, 01/15/08 800 248
Keebler
10.750%, 07/01/06 450 489
Kelley Oil & Gas
10.375%, 10/15/06 750 478
Key Energy Svcs 144A
14.000%, 01/15/09 1,150 1,070
Kitty Hawk
9.950%, 11/15/04 250 250
KMC Telecom Holdings (B)
0.000%, 02/15/08 1,250 681
Knoll
10.875%, 03/15/06 260 287
KSL Recreation Group
10.250%, 05/01/07 1,000 1,003
L-3 Communications (A)
8.000%, 08/01/08 750 758
Lady Luck Gaming
11.875%, 03/01/01 800 813
Lamar Advertising (A)
9.625%, 12/01/06 450 487
LaRoche Industries
9.500%, 09/15/07 800 602
LDM Technologies
10.750%, 01/15/07 500 498
Leiner Health Products
9.625%, 07/10/07 500 518
Lenfest Communications
10.500%, 06/15/06 700 831
Lenfest Communications (A)
8.250%, 02/15/08 650 674
Leslie's Poolmart
10.375%, 07/15/04 800 829
Level 3 Communications
9.125%, 05/01/08 1,600 1,608
Level 3 Communications (B)
0.000%, 12/01/08 750 472
Liberty Group Operating
9.375%, 02/01/08 500 505
Liberty Group Publishings (B)
0.000%, 02/01/09 500 269
Lin Holdings (B)
0.000%, 03/01/08 500 353
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Lodestar Holdings (A)
11.500%, 05/15/05 $ 750 $ 639
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 996
Logix Communication Enterprises (A)
12.250%, 06/15/08 500 460
Louisiana Casino (A)
11.000%, 12/01/05 1,000 1,010
Luigino's (A)
10.000%, 02/01/06 1,000 988
Magellan Health Services (A)
9.000%, 02/15/08 850 731
Magnum Hunter Re
10.000%, 06/01/07 500 424
Mail-Well (A)
8.750%, 12/15/08 800 826
Majestic Star Casino
12.750%, 05/15/03 1,000 1,105
Marsh Supermarket
8.875%, 08/01/07 500 528
Mastec
7.750%, 02/01/08 500 489
Maxim Group, Ser B
9.250%, 10/15/07 400 401
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 428
McCaw International (B)
0.000%, 04/15/07 1,400 742
McLeod USA (A)
8.125%, 02/19/09 500 499
Mcleodusa
9.250%, 07/15/07 500 524
8.375%, 03/15/08 500 505
Mcleodusa (B)
0.000%, 03/01/07 1,500 1,202
Mdc Communications (A)
10.500%, 12/01/06 1,000 1,010
Mediacom (A)
7.875%, 02/15/11 900 880
Mentus Media PIK
0.000%, 02/01/03 949 925
Metallurg
11.000%, 12/01/07 800 742
Metromedia Fiber (A)
10.000%, 11/15/08 1,000 1,073
Metronet Communications
12.000%, 08/15/07 500 593
Metronet Communications (B)
0.000%, 06/15/08 900 696
Microcell Telecommunication (A) (B)
0.000%, 06/01/06 1,000 821
MMI Products
11.250%, 04/15/07 500 531
45
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
MMI Products (A)
11.250%, 04/15/07 $ 500 $ 531
Mohegan Tribal (A)
8.750%, 01/01/09 1,000 1,041
Moog
10.000%, 05/01/06 500 500
Morris Materials Handling
9.500%, 04/01/08 400 212
Motor Coach Industries (B)
0.000%, 11/15/02 1,000 880
Motors & Gears
10.750%, 11/15/06 1,050 1,078
Mrs. Fields (B)
0.000%, 12/01/05 800 446
Mrs. Fields, Ser B
10.125%, 12/01/04 760 731
Muzak Holdings (B)
0.000%, 03/15/10 500 269
Muzak LLC (A)
9.875%, 03/15/09 1,000 1,015
National Steel (A)
9.875%, 03/01/09 500 514
9.875%, 03/01/09 250 257
National Wine & Spitits (A)
10.125%, 01/15/09 1,000 1,030
Ne Restaurant (A)
10.750%, 07/15/08 600 579
Nebraska Book
8.750%, 02/15/08 1,300 1,209
Neenah
11.125%, 05/01/07 500 524
Neff (A)
10.250%, 06/01/08 500 525
New World Pasta (A)
9.250%, 02/15/09 1,000 1,019
Nextel Communications
9.750%, 08/15/04 500 521
Nextel Communications (B)
0.000%, 09/15/07 1,250 923
0.000%, 02/15/08 1,400 991
Nextel Partners (B)
0.000%, 02/01/09 2,000 1,163
Nextlink Communications
12.500%, 04/15/06 800 884
Nextlink Communications (B)
0.000%, 04/15/08 800 505
Nextlink Communications (A)
10.750%, 11/15/08 500 540
Niagra Mohawk Power
7.750%, 10/01/08 800 861
NL Industries
11.750%, 10/15/03 350 368
Northland Cable Television
10.250%, 11/15/07 1,000 1,060
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Northwestern Steel & Wire
9.500%, 06/15/01 $ 1,000 $ 650
NS Group
13.500%, 07/15/03 300 323
NTL Incorporated (A)
11.500%, 10/01/08 600 675
Nuevo Energy
9.500%, 04/15/06 400 408
Numatics
9.625%, 04/01/08 800 714
Ocean Energy
10.375%, 10/15/05 250 254
Octel Developments
10.000%, 05/01/06 950 994
Offshore Logistics
7.875%, 01/15/08 750 713
Oglebay Norton (A)
10.000%, 02/01/09 1,000 973
Omega Cabinets
10.500%, 06/15/07 750 746
Optel
13.000%, 02/15/05 300 299
Optel (A)
11.500%, 07/01/08 500 469
Orbital Imaging
11.625%, 03/01/05 950 926
Orion Network Systems
11.250%, 01/15/07 800 712
Owens & Minor
10.875%, 06/01/06 500 544
Oxford Automotive
10.125%, 06/15/07 1,200 1,245
Oxford Health Plans (A)
11.000%, 05/15/05 500 514
P&L Coal Holdings (A)
8.875%, 05/15/08 250 262
Pac-West Telecom (A)
13.500%, 02/01/09 900 891
Packaged Ice
9.750%, 02/01/05 1,000 1,023
Packaging Resources
11.625%, 05/01/03 500 528
Pagemart Nationwide (B)
0.000%, 02/01/05 750 629
Pantry
10.250%, 10/15/07 600 630
Paracelsus Healthcare
10.000%, 08/15/06 500 336
Park Place Entertainment (A)
7.875%, 12/15/05 750 737
Parker Drilling, Ser B
9.750%, 11/15/06 1,000 830
Pathmark Stores
9.625%, 05/01/03 1,250 1,286
46
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Pathnet (A)
12.250%, 04/15/08 $ 750 $ 405
Pegasus Communications (A)
9.750%, 12/01/06 500 516
Pegasus Communications, Ser B
9.625%, 10/15/05 550 568
Pegasus Shipping Hellas
11.875%, 11/15/04 600 494
Perkins Family Restaurant, Ser B
10.125%, 12/15/07 1,000 1,070
Perry-Judd
10.625%, 12/15/07 500 511
Petersburg Long Distance (A)
9.000%, 06/01/06 90 41
Phase Metrics (A)
10.750%, 02/01/05 500 351
Philipp Brothers Chemical (A)
9.875%, 06/01/08 1,000 978
Phillips Van-Heusen (A)
9.500%, 05/01/08 1,000 995
Phoenix Color (A)
10.375%, 02/01/09 750 761
Pierce Leahy (A)
9.125%, 07/15/07 450 473
Pillowtex
10.000%, 11/15/06 500 524
Plastic Containers
10.000%, 12/15/06 400 424
Players International
10.875%, 04/15/05 500 538
Playtex Products
8.875%, 07/15/04 400 413
Pogo Producing
8.750%, 05/15/07 850 766
Polymer Group, Ser B
9.000%, 07/01/07 600 611
Port Royal Holdings
10.250%, 10/01/07 900 941
Portola Packaging
10.750%, 10/01/05 200 206
Powertel
11.125%, 06/01/07 500 499
Premier Parks
9.250%, 04/01/06 500 521
9.750%, 01/15/07 500 543
Price Comm Wireless
11.750%, 07/15/07 250 277
Price Communication Cellular, PIK
11.250%, 08/15/08 795 756
Price Communications Wire (A)
9.125%, 12/15/06 500 521
Pride Petroleum Services
9.375%, 05/01/07 500 488
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Prime Hospitality
9.250%, 01/15/06 $ 600 $ 627
9.750%, 04/01/07 450 467
Primus Telecom Group (A)
11.250%, 01/15/09 1,500 1,541
Primus Telecommunications
11.750%, 08/01/04 600 621
Printpack, Ser B
10.625%, 08/15/06 800 745
Production Resources Group
11.500%, 01/15/08 500 499
Psinet
10.000%, 02/15/05 950 1,009
Psinet (A)
11.500%, 11/01/08 350 396
PTC Intl Finance BV (B)
0.000%, 07/01/07 1,000 725
Pueblo Xtra International
9.500%, 08/01/03 1,000 968
Quest Diagnostic
10.750%, 12/15/06 450 490
Qwest Communications
10.875%, 04/01/07 325 375
Qwest Communications (B)
0.000%, 10/15/07 1,050 833
Ram Energy
11.500%, 02/15/08 500 322
Randall's Food Markets, Ser B
9.375%, 07/01/07 1,150 1,248
RCN (A)
0.000%, 10/15/07 650 438
RCN (B)
0.000%, 02/15/08 1,300 827
Regal Cinemas (A)
8.875%, 12/15/10 450 442
9.500%, 06/01/08 900 920
Regional Independent Media Group (A)
10.500%, 07/01/08 1,000 1,035
Renaissance Media Group (B)
0.000%, 04/15/08 1,000 698
Renco Metals
11.500%, 07/01/03 500 523
Repap New Brunswick
10.625%, 04/15/05 1,500 1,249
Republic Engineered Steel
9.875%, 12/15/01 800 827
Republic Group (A)
9.500%, 07/15/08 700 708
Revlon Consumer Products
8.625%, 02/01/08 500 454
RH Donnelly (A)
9.125%, 06/01/08 800 849
47
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Rhythms Netcommunications (B)
0.000%, 05/15/08 $ 1,700 $ 929
Rifkin Acquisition Partners
11.125%, 01/15/06 750 853
Rio Hotel & Casino
10.625%, 07/15/05 400 433
Rio Hotel & Casino (B)
9.500%, 04/15/07 300 328
Riverwood International
10.875%, 04/01/08 800 774
Rogers Cantel
9.375%, 06/01/08 500 551
Rogers Communications
9.125%, 01/15/06 400 420
8.875%, 07/15/07 350 367
Roma (A)
12.000%, 07/01/06 400 390
RSL Comm (A)
12.000%, 11/01/08 750 824
RSL Communications PLC
9.125%, 03/01/08 500 500
Rural Cellular
9.625%, 05/15/08 500 519
Russell Stanley Holdings (A)
10.875%, 02/15/09 750 746
Safelite Glass (A)
9.875%, 12/15/06 800 752
Safety Components
10.125%, 07/15/07 500 498
Safety-Kleen Svcs (A)
9.250%, 06/01/08 500 523
Salem Communications, Ser B
9.500%, 10/01/07 950 1,009
Santa Fe Hotel
11.000%, 12/15/00 1,171 1,151
Scotts (A)
8.625%, 01/15/09 700 723
SD Warren, Ser B
12.000%, 12/15/04 1,450 1,573
Sealy Mattress
9.875%, 12/15/07 500 496
Sealy Mattress (B)
0.000%, 12/15/07 500 321
SF Holdings Group (B)
0.000%, 03/15/08 1,000 248
SFX Broadcasting
10.750%, 05/15/06 394 435
SFX Broadcasting (A)
9.125%, 12/01/08 500 510
Sheffield Steel, Ser B
11.500%, 12/01/05 500 464
Shop-Vac
10.625%, 09/01/03 625 681
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Signature Brands USA
13.000%, 08/15/02 $ 500 $ 553
Silver Cinemas (A)
10.500%, 04/15/05 800 535
Simonds Industries (A)
10.250%, 07/01/08 600 611
Sinclair Broadcast
10.000%, 09/30/05 800 846
Sitel (A)
9.250%, 03/15/06 500 411
Southwest Royalties, Ser B
10.500%, 10/15/04 500 220
Sovereign Specialty Chemical, Ser B
9.500%, 08/01/07 450 458
Spanish Broadcasting
11.000%, 03/15/04 500 546
Specialty Paperboard
9.375%, 10/15/06 500 510
Sprint Spectrum
11.000%, 08/15/06 1,040 1,197
Stanadyne Automotive
10.250%, 12/15/07 500 501
Station Casinos (A)
9.750%, 04/15/07 1,000 1,051
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 430
Stone Container (A)
11.500%, 08/15/06 400 435
Sun International Hotels
9.000%, 03/15/07 500 519
Sun Media
9.500%, 05/15/07 325 357
Synthetic Industries
9.250%, 02/15/07 400 413
T/SF Communications, Ser B
10.375%, 11/01/07 500 516
Talton Holdings, Ser B
11.000%, 06/30/07 500 449
TCI Satellite Entertainment
10.875%, 02/15/07 500 381
TCI Satellite Entertainment (B)
0.000%, 02/15/07 900 523
Tekni-Plex
11.250%, 04/01/07 800 876
Telewest Communication (A)
11.250%, 11/01/08 500 583
Telewest Communications
9.625%, 10/01/06 150 158
Telewest Communications (B)
0.000%, 10/01/07 1,750 1,542
Teligent
11.500%, 12/01/07 500 474
Tembec Industries (A)
8.625%, 06/30/09 500 507
48
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Tenet Healthcare
8.625%, 01/15/07 $ 500 $ 506
Texas Petrochem
11.125%, 07/01/06 450 444
Therma-Wave
10.625%, 05/15/04 500 299
Thermadyne Holdings (A), (B)
0.000%, 06/01/08 550 269
Time Warner (A)
9.750%, 07/15/08 850 907
Titan Wheel International
8.750%, 04/01/07 500 469
Trans World Airlines
11.375%, 03/01/06 900 450
Transamerican Energy, Ser B
11.500%, 06/15/02 900 243
Tri-State Outdoor Media
11.000%, 05/15/08 1,000 1,043
Trident Automotive
10.000%, 12/15/05 500 518
Tropical Sportswear International
11.000%, 06/15/08 500 524
TV Guide (A)
8.125%, 03/01/09 1,500 1,523
Twin Laboratories
10.250%, 05/15/06 325 347
Unisys
12.000%, 04/15/03 550 608
11.750%, 10/15/04 500 567
7.875%, 04/01/08 400 415
United Artists Theatre
9.750%, 04/15/08 1,000 868
United International Holdings,
Ser B (B)
0.000%, 02/15/08 2,000 1,355
United Rentals (A)
9.250%, 01/15/09 1,000 1,014
Universal Compressn (B)
0.000%, 02/15/08 800 501
Universal Health Services
8.750%, 08/15/05 250 254
US Office Products (A)
9.750%, 06/15/08 750 435
Vencor (A)
9.875%, 05/01/05 500 93
Verio
10.375%, 04/01/05 500 535
Viasystems
9.750%, 06/01/07 1,100 1,051
Viatel (B)
0.000%, 04/15/08 1,500 919
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Walbro
10.125%, 12/15/07 $ 500 $ 505
Waste Systems (A)
11.500%, 01/15/06 550 549
Waste Systems International (A)
7.000%, 05/13/05 800 748
Waterford Gaming (A)
9.500%, 03/15/10 1,000 1,023
Waxman Industries (B)
0.000%, 06/01/04 600 305
WCI Steel
10.000%, 12/01/04 1,000 1,030
Weirton Steel
11.375%, 07/01/04 250 240
Wells Aluminum
10.125%, 06/05/05 500 456
Werner Holdings
10.000%, 11/15/07 1,400 1,407
Western Federal Notes (C)
0.000%, 09/15/99 500 415
Western Wireless
10.500%, 06/01/06 400 432
10.500%, 02/01/07 300 328
Wheeling-Pittsburgh
9.250%, 11/15/07 900 887
WHX
10.500%, 04/15/05 750 726
William Carter (A)
10.375%, 12/01/06 750 806
Winstar Communications (B)
0.000%, 10/15/05 1,250 911
Wiser Oil
9.500%, 05/15/07 600 401
World Color Press (A)
8.375%,11/15/08 1,000 1,005
7.750%, 02/15/09 500 491
Worldwide Fiber (A)
12.500%, 12/15/05 750 789
Young Broadcasting
9.000%, 01/15/06 400 412
8.750%, 06/15/07 1,000 1,030
Ziff-Davis
8.500%, 05/01/08 1,000 1,000
--------
Total Corporate Obligations
(Cost $402,752) 390,465
--------
49
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
HIGH YIELD BOND FUND--CONCLUDED
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
UNITS -- 1.1%
Australis Media 1 Unit = $1M senior
subordinate discount note + 1
warrant (A) (B)
0.000%, 05/15/03 $ 400 $ 6
Colt Telecom Group 1 Unit = 1
senior discount note + 1
warrant (B)
0.000%, 12/15/06 600 528
County Seat Stores 1 Unit = $1M
senior note + 1 warrant
0.000%, 11/01/04 500 175
Globix 1 Unit = $1m Sr. Notes + 1
Warrant
13.000%, 05/01/05 1,400 1,351
International Utility Structure 1
Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 469
Pegasus Communications 1 Unit
= $1M preferred share + 1
warrant PIK* 2 281
PLD Telekom 1 Unit = 1 Bond + 1
Warrant (B)
0.000%, 06/01/04 830 498
Startec Global Communication, 1
Unit = $1m Sr. Notes + 1 Warrant
12.000%, 05/15/08 500 444
Verio, 1 Unit = $1m Senior
Note + 8 Warrants
13.500%, 06/15/04 1,000 1,161
--------
Total Units
(Cost $5,547) 4,913
--------
PREFERRED STOCKS -- 1.6%
Adelphia Communications* 2,500 288
Ameriking PIK 2,501,300 625
Benedek Communications PIK* 500,000 380
Coinstar* 4,545 73
Diva Systems, Ser C* 41,615 208
GPA Group, PLC (A)* 1,000,000 521
Granite Ltd* 100 10
Hyperion Telecomm* 9 8
Intermedia Communication* 20,317 862
Jordan Telecommunication* 609 610
Nextel Communications PIK* 4,003 948
Nextlink Communications* 6,582 378
Pegasus Communications* 440 48
Primedia* 4,000 414
SD Warren, Ser B* 20,000 1,070
Siligan Holdings 336,000 370
Viatel* 369 79
--------
Total Preferred Stocks
(Cost $6,650) 6,892
--------
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. GOVERNMENT AGENCY
OBLIGATION -- 0.6%
FHLB Discount Note
4.790%, 04/01/99 $ 2,505 $ 2,505
--------
Total U.S. Government Agency
Obligation
(Cost $2,505) 2,505
--------
WARRANTS -- 0.4%
Advanced Radio Telecom* 7,500 34
American Communication
Services* 1,320 5
Ampex (A)* 34,000 82
Bell Technology* 500 3
Concentric Network* 550 165
Diva System* 1,025 174
DTI Holdings (A)* 5 5
E.spire Communications* 500 54
Globalstar Telecom* 400 36
Golden Ocean Group* 688 1
Hyperion* 1,155 17
Intermedia Communications
of Florida* 1,530 41
International Utility* 66 6
Jordan Telecommunication
Products (A)* 500 1
KMC Telecom Holdings* 1,250 2
Loral Orion Network Systems* 750 8
McCaw International* 1,400 5
Metronet (A)* 500 2
Microcell Telecomm (A)* 2,400 48
Orbital Imaging (A)* 950 39
Pathnet* 750 8
Price Communications* 3,440 186
Primus Telecommunications* 600 5
SF Holdings (A)* 2,000 4
Startec Global* 500 1
USN Communication* 11,540 12
Verio* 8,000 596
Wireless One* 20 1
--------
Total Warrants
(Cost $109) 1,541
--------
Total Investments -- 97.0%
(Cost $417,563) 406,316
--------
Other Assets and Liabilities, Net -- 3.0% 11,782
--------
50
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -----------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 39,095,142 outstanding shares
of beneficial interest $431,324
Accumulated net realized gain on investments (1,979)
Net unrealized depreciation on investments (11,247)
--------
Total Net Assets -- 100.0% $418,098
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.69
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION A 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
EFFECTIVE YIELD ON SEPTEMBER 30, 1998. THE COUPON ON A STEP BOND CHANGES ON
A SPECIFIC DATE.
(C) IN DEFAULT ON INTEREST PAYMENTS
FHLB--FEDERAL HOME LOAN BANK
LLC--LIMITED LIABILITY COMPANY
LTD.--LIMITED
PIK--PAYMENT IN KIND
SER--SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SUMMARY OF CORPORATE OBLIGATIONS BY INDUSTRY
- -------------------------------------------------------
PERCENTAGE OF TOTAL
INDUSTRY CORPORATE OBLIGATIONS
- -------------------------------------------------------
Communications 18.32%
Cable 10.43
General Industrial 8.54
Media 7.40
Energy 6.50
Gaming 5.49
Consumer Mfg. 4.91
Transportation Non-Air 4.35
Packaging 3.97
Metals 3.95
Healthcare 3.11
Entertainment 3.01
Food & Beverage 2.90
Technology 2.67
Chemicals 2.05
Retail 1.76
Hotels 1.72
Supermarket 1.70
Conglomerate 1.62
Restaurants 1.49
Real Estate 1.43
Airlines 0.94
Aerospace 0.61
Utility 0.57
Financial 0.56
------
100.00%
======
- -------------------------------------------------------
51
<PAGE>
STATEMENTS OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIOD ENDED MARCH 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
-------------- -------------- ------------ -------------- --------------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP(2) VALUE GROWTH
-------------- -------------- ------------ -------------- --------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividends $ 17,697 $ 4,792 $ 1,755 $ 2,473 $ 570
Interest Income 1,443 1,137 425 701 667
-------- -------- ------- -------- --------
Total Investment Income 19,140 5,929 2,180 3,174 1,237
-------- -------- ------- -------- --------
EXPENSES:
Management Fees 3,017 3,098 476 815 1,116
Waiver of Management Fees -- -- -- -- --
Investment Advisory Fees 3,017 3,541 544 1,513 2,072
Waiver of Investment Advisory Fees -- (443) (68) -- --
Custodian/Wire Agent Fees 91 109 26 23 23
Transfer Agent Fees (1) 26 32 10 10 10
Professional Fees 31 48 11 11 9
Registration Fees 222 146 70 55 38
Printing Fees -- -- 9 -- --
Trustee Fees 7 12 3 8 3
Insurance Expense -- 1 -- 3 --
Shareholder Servicing Fees 913 979 67 119 235
Distribution Fees-- Class D (1) -- -- -- -- 3
Other Expenses 1 1 7 3 1
-------- -------- ------- -------- --------
Total Expenses 7,326 7,524 1,155 2,560 3,510
-------- -------- ------- -------- --------
NET INVESTMENT INCOME/(LOSS) 11,815 (1,595) 1,025 614 (2,273)
-------- -------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN/
(LOSS) ON INVESTMENTS:
Net Realized Gain/(Loss) from
Security Transactions 25,232 69,812 (2,130) (16,896) 17,124
Net Realized Gain/(Loss) from
Futures Contracts 5,683 846 680 (447) 3,673
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments 184,762 516,660 64,074 11,236 158,717
-------- -------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $227,492 $585,723 $63,649 $(5,493) $177,241
======== ======== ======= ======= ========
</TABLE>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
(2) TAX MANAGED LARGE CAP COMMENCED OPERATIONS ON MARCH 4, 1998.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------- ---------------- ---------- ------------- -------------- --------------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND
---------- ---------------- ---------- ------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
$ 247 $ 581 $ 1,141 $ 164 $ -- $ --
19 340 225 816 48,773 19,361
------ ------- ------- ------- ------- --------
266 921 1,366 980 48,773 19,361
------ ------- ------- ------- ------- --------
65 218 198 104 2,299 637
-- -- -- -- -- (82)
75 249 227 119 2,258 888
-- (31) (28) (15) -- --
2 3 5 2 91 24
1 2 2 1 7 5
1 1 -- 1 20 8
5 (9) (3) 1 154 41
-- -- -- -- -- 4
-- -- -- -- 6 1
-- -- -- -- -- 1
37 89 81 9 63 --
-- -- -- -- -- --
-- -- -- -- 28 20
------ ------- ------- ------- ------- --------
186 523 482 222 4,926 1,547
------ ------- ------- ------- ------- --------
80 399 884 758 43,847 17,814
------ ------- ------- ------- ------- --------
681 9,906 14,405 1,893 1,287 (1,955)
-- 564 1,572 -- (5,747) --
4,802 17,585 2,003 7,638 (46,618) 640
------ ------- ------- ------- ------- -------
$5,563 $28,454 $18,864 $10,289 $(7,231) $16,499
====== ======= ======= ======= ======= =======
</TABLE>
53
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1999
(UNAUDITED) AND FOR THE YEAR ENDED SEPTEMBER 30, 1998.
<TABLE>
<CAPTION>
----------------------- ------------------------- ----------------------
LARGE CAP LARGE CAP TAX MANAGED
VALUE GROWTH LARGE CAP (1)
----------------------- ------------------------- ----------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 3/4/98-
3/31/99 9/30/98 3/31/99 9/30/98 3/31/99 9/30/98
---------- ---------- ------------ ---------- ---------- ---------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C>
Net Investment Income/(Loss) $ 11,815 $ 16,665 $ (1,595) $ 1,236 $ 1,025 $ 551
Net Realized Gain (Loss) from
Investment Transactions 30,915 112,467 70,658 24,024 (1,450) (3,607)
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 184,762 (190,201) 516,660 35,634 64,074 (12,111)
---------- ---------- ---------- ---------- -------- --------
Net increase/(Decrease) in
Net Assets from Operations 227,492 (61,069) 585,723 60,894 63,649 (15,167)
---------- ---------- ---------- ---------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (10,839) (14,525) (263) (1,905) (928) (68)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (86,387) (77,927) (20,249) (43,786) -- --
Class D -- -- -- -- -- --
---------- ---------- ---------- ---------- -------- --------
Total Distributions (97,226) (92,452) (20,512) (45,691) (928) (68)
---------- ---------- ---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 619,459 878,602 553,603 813,306 193,111 201,157
Reinvestment of Cash
Distributions 85,796 78,187 18,036 39,098 911 66
Shares Redeemed (210,363) (259,191) (371,475) (288,887) (40,804) (15,891)
---------- ---------- ---------- ---------- -------- --------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions 494,892 697,598 200,164 563,517 153,218 185,332
---------- ---------- ---------- ---------- -------- --------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment 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 494,892 697,598 200,164 563,517 153,218 185,332
---------- ---------- ---------- ---------- -------- --------
Net Increase/(Decrease)
in Net Assets 625,158 544,077 765,375 578,720 215,939 170,097
---------- ---------- ---------- ---------- -------- --------
NET ASSETS:
Beginning of Period 1,410,903 866,826 1,379,199 800,479 170,097 --
---------- ---------- ---------- ---------- -------- --------
End of Period $2,036,061 $1,410,903 $2,144,574 $1,379,199 $386,036 $170,097
========== ========== ========== ========== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 33,033 46,137 21,513 37,613 16,697 19,248
Shares Issued in Lieu of
Cash Distributions 4,705 4,224 759 1,956 88 6
Shares Redeemed (11,284) (13,588) (14,276) (13,164) (3,504) (1,563)
---------- ---------- ---------- ---------- -------- --------
Total Class A Transactions 26,454 36,773 7,996 26,405 13,281 17,691
========== ========== ========== ========== ======== ========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
---------- ---------- ---------- ---------- -------- --------
Total Class D Transactions -- -- -- -- -- --
========== ---------- ---------- ---------- -------- --------
Undistributed Net
Investment Income/(Loss) $ 4,372 $ 3,397 $ (1,726) $ 132 $ 580 $ 483
========== ========== ========== ========== ======== ========
</TABLE>
<TABLE>
<CAPTION>
------------------------ -----------------------
SMALL CAP SMALL CAP
VALUE GROWTH
------------------------ -----------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97-
3/31/99 9/30/98 3/31/99 9/30/98
---------- ----------- ---------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net Investment Income/(Loss) $ 614 $ 1,429 $ (2,273) $ (3,300)
Net Realized Gain (Loss) from
Investment Transactions (17,343) 6,703 20,797 1,918
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 11,236 (79,746) 158,717 (173,230)
-------- -------- -------- ---------
Net increase/(Decrease) in
Net Assets from Operations (5,493) (71,614) 177,241 (174,612)
-------- -------- -------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (872) (1,046) -- --
Class D -- -- -- --
Net Realized Gains:
Class A (5,680) (38,318) (2,521) (19,092)
Class D -- -- (8) --
-------- -------- -------- ---------
Total Distributions (6,552) (39,364) (2,529) (19,092)
-------- -------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 171,577 394,312 229,477 365,558
Reinvestment of Cash
Distributions 5,376 31,295 1,996 14,438
Shares Redeemed (115,096) (207,956) (251,392) (212,008)
-------- -------- -------- ---------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions 61,857 217,651 (19,919) 167,988
-------- -------- -------- ---------
Class D:
Shares Issued -- -- 61 924
Reinvestment of Cash
Distributions -- -- 8 77
Shares Redeemed -- -- (416) (557)
-------- -------- -------- ---------
Increase/(Decrease) in
Net Assets Derived from
Class D Transactions -- -- (347) 444
-------- -------- -------- ---------
Increase/(Decrease) in
Net Assets Derived
from Capital Share
Transactions 61,857 217,651 (20,266) 168,432
-------- -------- -------- ---------
Net Increase/(Decrease)
in Net Assets 49,812 106,673 154,446 (25,272)
-------- -------- -------- ---------
NET ASSETS:
Beginning of Period 430,010 323,337 538,344 563,616
-------- -------- -------- ---------
End of Period $479,823 $430,010 $692,790 $538,344
======== ======== ======== =========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 12,250 23,720 14,229 21,710
Shares Issued in Lieu of
Cash Distributions 374 1,966 128 853
Shares Redeemed (8,129) (12,352) (14,925) (12,410)
-------- -------- -------- ---------
Total Class A Transactions 4,495 13,334 (568) 10,153
======== ======== ======== =========
Class D:
Shares Issued -- -- 4 57
Shares Issued in Lieu of
Cash Distributions -- -- 1 5
Shares Redeemed -- -- (28) (32)
-------- -------- -------- ---------
Total Class D Transactions -- -- (23) 30
-------- -------- -------- ---------
Undistributed Net
Investment Income/(Loss) $ 272 $ 530 $ (2,273) $ --
======== ======== ======== =========
</TABLE>
(1)THE TAX MANAGED LARGE CAP FUND COMMENCED OPERATIONS ON MARCH 4, 1998.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------- ----------------------- ----------------------
MID CAP CAPITAL APPRECIATION EQUITY
VALUE GROWTH INCOME
----------------------- ---------- ---------- ---------- ---------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 10/1/97-
3/31/99 9/30/98 3/31/99 9/30/98 3/31/99 9/30/98
---------- ---------- ---------- ---------- ---------- ---------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C>
Net Investment Income/(Loss) $ 80 $ 376 $ 399 $ 1,502 $ 884 $ 2,736
Net Realized Gain (Loss) from
Investment Transactions 681 3,053 10,470 32,570 15,977 29,966
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 4,802 (10,148) 17,585 (21,720) 2,003 (27,624)
-------- -------- -------- -------- --------- --------
Net increase/(Decrease) in
Net Assets from Operations 5,563 (6,719) 28,454 12,352 18,864 5,078
-------- -------- -------- -------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (121) (344) (592) (1,501) (997) (3,519)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (2,535) (5,482) (30,075) (45,107) (29,773) (31,064)
Class D -- -- -- -- -- --
-------- -------- -------- -------- --------- --------
Total Distributions (2,656) (5,826) (30,667) (46,608) (30,770) (34,583)
-------- -------- -------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 6,056 19,585 18,148 32,355 14,167 25,510
Reinvestment of Cash
Distributions 2,046 4,021 23,468 32,093 13,964 13,168
Shares Redeemed (10,539) (10,948) (39,911) (75,689) (29,113) (66,363)
-------- -------- -------- -------- --------- --------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions (2,437) 12,658 1,705 (11,241) (982) (27,685)
-------- -------- -------- -------- --------- --------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment 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 (2,437) 12,658 1,705 (11,241) (982) (27,685)
-------- -------- -------- -------- --------- --------
Net Increase/(Decrease)
in Net Assets 470 113 (508) (45,497) (12,888) (57,190)
-------- -------- -------- -------- --------- --------
NET ASSETS:
Beginning of Period 35,160 35,047 118,741 164,238 116,576 173,766
-------- -------- -------- -------- --------- --------
End of Period $35,630 $35,160 $118,233 $118,741 $103,688 $116,576
======== ======== ======== ======== ========= ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 401 1,129 1,348 2,140 1,070 1,610
Shares Issued in Lieu of
Cash Distributions 138 241 1,889 2,352 1,129 872
Shares Redeemed (689) (651) (2,948) (5,038) (2,144) (4,144)
-------- -------- -------- ---------- --------- --------
Total Class A Transactions (150) (719) 289 (546) 55 (1,662)
======== ======== ======== ========== ========= ========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
-------- -------- -------- ---------- --------- --------
Total Class D Transactions -- -- -- -- -- --
======== ======== ======== ========== ========= ========
Undistributed Net
Investment Income/(Loss) $ 6 $ 47 $ 169 $ 363 $ 468 $ 581
======== ======== ======== ========== ========= ========
</TABLE>
<TABLE>
<CAPTION>
----------------------- ----------------------- ----------------------
CORE FIXED HIGH YIELD
BALANCED INCOME BOND
----------------------- ---------- ---------- ---------- ---------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 10/1/97-
3/31/99 9/30/98 3/31/99 9/30/98 3/31/99 9/30/98
---------- ---------- ---------- ---------- ---------- ---------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C>
Net Investment Income/(Loss) $ 758 $ 1,507 $ 43,847 $ 70,603 $ 17,814 $ 24,014
Net Realized Gain (Loss) from
Investment Transactions 1,893 7,888 (4,460) 29,954 (1,955) 3,851
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 7,638 (2,971) (46,618) (35,382) 640 (25,378)
-------- -------- ---------- ---------- -------- --------
Net increase/(Decrease) in
Net Assets from Operations 10,289 6,424 (7,231) 135,939 16,499 2,487
-------- -------- ---------- ---------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (846) (1,595) (43,854) (70,603) (17,814) (24,014)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (7,596) (6,148) (32,584) (1,847) (1,963) (1,688)
Class D -- -- -- -- -- --
-------- -------- ---------- ---------- -------- --------
Total Distributions (8,442) (7,743) (76,438) (72,450) (19,777) (25,702)
-------- -------- ---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 7,778 17,427 762,085 832,979 128,139 194,775
Reinvestment of Cash
Distributions 7,238 7,317 65,176 56,940 19,026 24,467
Shares Redeemed (12,311) (18,364) (268,186) (551,458) (40,727) (117,547)
-------- -------- ---------- ---------- -------- --------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions (2,705) 6,380 559,075 338,461 106,438 101,695
-------- -------- ---------- ---------- -------- --------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment 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 2,705 6,380 559,075 338,461 106,438 101,695
-------- -------- ---------- ---------- -------- --------
Net Increase/(Decrease)
in Net Assets 4,552 5,061 475,406 401,950 103,160 78,480
-------- -------- ---------- ---------- -------- --------
NET ASSETS:
Beginning of Period 56,256 51,195 1,465,285 1,063,335 314,937 236,457
-------- -------- ---------- ---------- -------- --------
End of Period $60,808 $56,256 $1,940,691 $1,465,285 $418,098 $314,937
======== ======== ========== ========== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 852 1,432 72,059 78,521 12,007 16,862
Shares Issued in Lieu of
Cash Distributions 586 571 6,141 5,361 1,780 2,121
Shares Redeemed (962) (1,373) (25,166) (51,924) (3,816) (10,131)
-------- -------- ---------- --------- -------- --------
Total Class A Transactions 476 630 53,034 31,958 9,971 8,852
======== ======== ========== ========= ======== ========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
-------- -------- ---------- --------- -------- --------
Total Class D Transactions -- -- -- -- -- --
======== ======== ========== ========= ======== ========
Undistributed Net
Investment Income/(Loss) $ 375 $ 426 $ 39 $ 46 $ (1) $ (1)
======== ======== ========== ========= ======== ========
</TABLE>
55
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1999 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS INVESTMENT
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF INCOME
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES (LOSS)
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- --------------------
LARGE CAP VALUE FUND
- --------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999** $17.31 $ 0.46 $ 2.23 $(0.13) $(1.01) $18.86 15.80% $1,728,252 0.85% 1.37%
1998 19.37 0.25 (0.42) (0.26) (1.63) 17.31 (1.40) 1,410,903 0.85 1.42
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12 866,826 0.85 1.74
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33 515,011 0.83 2.31
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83 331,692 0.76 2.92
- ---------------------
LARGE CAP GROWTH FUND
- ---------------------
CLASS A
1999** $21.01 $(0.02) $ 8.44 $ 0.00 $(0.30) $29.13 40.39% $1,775,128 0.85% (0.18)%
1998 20.40 0.03 1.62 (0.04) (1.00) 21.01 8.35 1,379,199 0.85 0.11
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35 800,479 0.85 0.22
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59 482,079 0.82 0.50
1995(4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90 297,377 0.85 1.15
- --------------------------
TAX MANAGED LARGE CAP FUND
- --------------------------
CLASS A
1999** $ 9.61 $ 0.04 $ 2.87 $(0.06) $ -- $12.46 30.24% $ 272,588 0.85% 0.75%
1998(7) 10.00 0.04 (0.42) (0.01) -- 9.61 (3.82) 170,097 0.85 1.18
- --------------------
SMALL CAP VALUE FUND
- --------------------
CLASS A
1999** $13.67 $ 0.02 $(0.13) $(0.03) $(0.18) $13.35 (0.96)% $ 466,741 1.10% 0.26%
1998 17.85 0.05 (2.22) (0.04) (1.97) 13.67 (13.68) 430,010 1.10 0.34
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16 323,337 1.11 0.37
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86 163,177 1.11 0.15
1995(5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38 102,975 1.10 0.26
- ---------------------
SMALL CAP GROWTH FUND
- ---------------------
CLASS A
1999** $13.68 $(0.06) $4.31 $ -- $(0.06) $17.87 31.15% $ 690,653 1.10% (0.71)%
1998 19.32 (0.08) (4.92) -- (0.64) 13.68 (26.53) 536,393 1.10 (0.56)
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23 561,414 1.10 (0.60)
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56 380,525 1.10 (0.63)
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65 310,238 1.10 (0.60)
CLASS D
1999** $13.40 $(0.14) $4.29 $ -- $(0.06) $17.49 31.05% $ 2,137 1.43% (1.04)%
1998 18.99 (0.14) (4.81) -- (0.64) 13.40 (26.74) 1,951 1.46 (0.92)
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80* 2,202 1.46 (0.95)
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01* 1,826 1.49 (1.02)
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44* 786 1.50 (1.03)
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME (LOSS)
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ---------------------------------------------
- --------------------
LARGE CAP VALUE FUND
- --------------------
CLASS A
<S> <C> <C> <C>
1999** 0.85% 1.37% 26%
1998 0.85 1.42 79
1997 0.85 1.74 67
1996 0.83 2.31 75
1995 0.82 2.86 99
- ---------------------
LARGE CAP GROWTH FUND
- ---------------------
CLASS A
1999** 0.90% (0.23)% 18%
1998 0.90 0.06) 80
1997 0.90 0.17 73
1996 0.87 0.45 90
1995(4) 0.89 1.11 44
- --------------------------
TAX MANAGED LARGE CAP FUND
- --------------------------
CLASS A
1999** 0.90% 0.70% 8%
1998(7) 0.90 1.13 12
- --------------------
SMALL CAP VALUE FUND
- --------------------
CLASS A
1999** 1.10% 0.26% 56%
1998 1.10 0.34 77
1997 1.11 0.37 98
1996 1.11 0.15 121
1995(5) 1.12 0.24 64
- ---------------------
SMALL CAP GROWTH FUND
- ---------------------
CLASS A
1999** 1.10% (0.71)% 62%
1998 1.10 (0.56) 128
1997 1.10 (0.60) 107
1996 1.11 (0.64) 167
1995 1.13 (0.63) 113
CLASS D
1999** 1.43% (1.04)% 62%
1998 1.46 (0.92) 128
1997 1.46 (0.95) 107
1996 1.49 (1.02) 167
1995 1.55 (1.08) 113
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
56
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS INVESTMENT
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INCOME
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES (LOSS)
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- ------------
MID-CAP FUND
- ------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999** $14.00 $ 0.03 $ 2.13 $(0.05) $(1.02) $15.09 15.60% $ 37,368 1.00% 0.43%
1998 19.56 0.13 (2.67) (0.15) (2.87) 14.00 (15.41) 35,160 1.00 0.93
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13 35,047 0.93 0.79
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03 24,954 0.77 1.28
1995 10.89 0.01 2.14 -- -- 13.04 19.78 27,898 0.94 0.04
- -------------------------
CAPITAL APPRECIATION FUND
- -------------------------
CLASS A
1999** $14.01 $ 0.05 $3.18 $(0.07) $(3.68) $13.49 25.36% $ 124,891 0.84% 0.64%
1998 18.20 0.16 .92 (0.16) (5.11) 14.01 7.08 118,741 0.84 1.03
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02 164,238 0.84 1.20
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14 236,581 0.84 1.20
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03 310,693 0.84 1.39
- ------------------
EQUITY INCOME FUND
- ------------------
CLASS A
1999** $14.61 $ 0.11 $2.19 $(0.11) $(3.89) $12.91 17.25% $ 113,665 0.85% 1.56%
1998 18.02 0.41 (0.09) (0.38) (3.35) 14.61 1.51 116,576 0.85 1.85
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46 173,766 0.85 2.38
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17 202,823 0.83 3.00
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00 250,609 0.82 3.72
- -------------
BALANCED FUND
- -------------
CLASS A
1999** $13.17 $ 0.16 $1.42 $(0.19) $(1.75) $12.81 12.75% $ 59,447 0.75% 2.56%
1998 14.06 0.41 0.80 (0.40) (1.70) 13.17 9.49 56,256 0.75 2.90
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38 51,195 0.75 3.15
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01 57,915 0.75 2.98
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05 70,464 0.75 2.92
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ----------------------------------------------
- ------------
MID-CAP FUND
- ------------
CLASS A
1999** 1.00% 0.43% 57%
1998 1.00 0.93 106
1997 0.94 0.78 92
1996 0.88 1.17 101
1995 1.09 (0.11) 108
- -------------------------
CAPITAL APPRECIATION FUND
- -------------------------
CLASS A
<S> <C> <C> <C>
1999** 0.89% 0.59% 69%
1998 0.89 0.98 238
1997 0.89 1.15 178
1996 0.86 1.18 153
1995 0.89 1.34 107
- ------------------
EQUITY INCOME FUND
- ------------------
CLASS A
1999** 0.90% 1.51% 42%
1998 0.90 1.80 66
1997 0.90 2.33 40
1996 0.86 2.97 43
1995 0.88 3.66 47
- -------------
BALANCED FUND
- -------------
CLASS A
1999** 0.80% 2.51% 100%
1998 0.80 2.85 183
1997 0.81 3.09 197
1996 0.84 2.89 143
1995 0.90 2.77 159
</TABLE>
57
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1999 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
For a share outstanding throughout the period
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS RATIO OF NET
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INVESTMENT
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999** $10.92 $ 0.28 $(0.32) $(0.28) $(0.23) $10.37 (0.21)% $1,647,312 0.60% 5.34%
1998 10.40 0.61 0.54 (0.61) (0.02) 10.92 11.42 1,465,285 0.60 5.77
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80 1,063,335 0.60 6.17
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51 655,300 0.57 6.24
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87 419,959 0.55 6.60
- -------------------
HIGH YIELD BOND FUND
- --------------------
CLASS A
1999** $10.81 $ 0.51 $(0.05) $(0.52) $(0.06) $10.69 2.18% $ 365,232 0.85% 9.78%
1998 11.66 1.04 (0.75) (1.04) (0.10) 10.81 2.25 314,937 0.85 8.94
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30 236,457 0.86 9.33
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46 107,545 0.87 9.01
1995(6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72 23,724 0.67 10.02
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ---------------------------------------------
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
CLASS A
<S> <C> <C> <C>
1999** 0.60% 5.34% 178%
1998 0.60 5.77 344
1997 0.61 6.16 216
1996 0.64 6.17 311
1995 0.68 6.47 294
- --------------------
HIGH YIELD BOND FUND
- --------------------
CLASS A
1999** 0.89% 9.74% 9%
1998 0.89 8.90 56
1997 0.91 9.28 68
1996 0.94 8.94 55
1995(6) 0.86 9.83 56
</TABLE>
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.
7 TAX MANAGED LARGE CAP CLASS A SHARES WERE OFFERED BEGINNING MARCH 4, 1998.
ALL RATIOS HAVE BEEN ANNUALIZED.
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
** FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1999. ALL RATIOS EXCEPT TOTAL
RETURN AND PORTFOLIO TURNOVER FOR THAT PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (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. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with eleven diversified Funds (the
"Funds"): Large Cap Value, Large Cap Growth, Tax Managed Large Cap, Small Cap
Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced,
Core Fixed Income, 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, and High Yield Bond Funds and Class D shares of the Small Cap Growth
Fund. The Funds' prospectus provides a description of each Funds' investment
objective, policies, and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed
by the Trust. The preparation of financial statements in conformity with
generally accepted accounting principles requires the use of management
estimates. Actual results could differ from the estimates.
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 which approximates market value.
Securities for which quotations are not readily available are valued at fair
value using methods determined in good faith under general Trustee supervision.
FEDERAL INCOME TAXES--It is each Fund'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 Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. The Funds 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 require 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 Funds may be delayed
or limited.
DISCOUNT AND PREMIUM AMORTIZATION--Amortization and accretion is calculated
using the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
EXPENSES--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the funds on the basis of relative net assets.
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, Tax Managed Large
Cap, Small Cap Value, Small Cap Growth, Capital Appreciation and Equity Income
Funds utilized S&P 500 Index futures contracts and the Core Fixed Income Fund
utilized U.S. Long T-Bond and five and ten year note futures contracts during
the period ended March 31, 1999 . The Funds' investment in S&P 500 Index futures
contracts is designed to enable the Funds to more closely approximate the
performance of their benchmark
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
indices. The Core Fixed Income Fund's use of futures contracts is primarily for
tactical hedging purposes. Initial margin deposits of cash or securities are
made upon entering into futures contracts. The contracts are marked to market
daily and the resulting changes in value are accounted for as unrealized gains
and losses. Variation margin payments are paid or received, depending upon
whether unrealized losses or gains are incurred. When the contract is closed,
the Fund records a realized gain or loss equal to the difference between the
proceeds from (or cost of) the closing transaction and the amount invested in
the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. 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.
OPTION SELLING/PURCHASING -- Each Fund may invest in financial options
contracts solely for the purpose of hedging its existing fund securities, or
securities that the Fund intends to purchase, against fluctuations in fair value
caused by changes in prevailing market interest rates. When the Fund sells or
purchases an option, an amount equal to the premium received or paid by the Fund
is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing options which expire unexercised are treated by the Fund on
the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions.
TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly or
inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices or instruments to which they refer, but
any loss is limited to the amount of the original investment.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in-capital in the period that the difference arises.
The reclassifications were as follows:
ACCUMULATED UNDISTRIBUTED
PAID-IN- REALIZED INVESTMENT
CAPITAL GAIN (LOSS) INCOME/(LOSS)
(000) (000) (000)
---------- ---------------- ----------------
Large Cap Value $13,716 $ (11,965) $(1,751)
Large Cap Growth 5,216 (5,109) (107)
Tax Managed Large Cap -- -- --
Small Cap Value -- 15 (15)
Small Cap Growth 1,471 (4,771) 3,300
Mid-Cap -- 25 (25)
Capital Appreciation -- -- --
Equity Income -- (16) 16
Balanced -- -- --
Core Fixed Income -- (31) 31
High Yield Bond -- (115) 115
The Large Cap Value and Large Cap Growth Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
These reclassifications have no effect on net assets or net asset values
per share.
60
<PAGE>
- --------------------------------------------------------------------------------
OTHER--Security transactions are recorded on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments Fund Management (the "Manager"), are parties
to amanagement 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, Tax Managed Large Cap, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, and High Yield
Bond Funds; and .28% of the average daily net assets of the Core Fixed Income
Fund. The Manager has agreed to waive all or a portion of its fee in order to
limit the operating expenses of a Fund. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, which is calculated daily and paid monthly, at an annual rate
of .35% of the Large Cap Value Fund's average daily net assets, at an annual
rate of .40% of the Large Cap Growth, Tax Managed Large Cap, Mid-Cap, Capital
Appreciation, Equity Income and Balanced Funds' average daily net assets, at an
annual rate of .65% of the Small Cap Value and Small Cap Growth Funds' average
daily net assets, at an annual rate of .275% of the Core Fixed Income Fund's
average daily net assets and .4875% of the High Yield Bond Fund'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 Large Cap Growth,
Tax Managed Large Cap, Capital Appreciation, Equity Income, and Balanced Funds.
Mellon Equity Associates, LLC, LSV Asset Management and Sanford C.
Bernstein & Co., Inc. each serve as an investment sub-adviser to a portion of
the assets of the Large Cap Value Fund and are party to investment sub-advisory
agreements with the Trust and SIMC dated December 16, 1994, March 31, 1995 and
December 15, 1997, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., and
Trust Company of the West each serve as an investment sub-adviser to a portion
of the assets of the Large Cap Growth Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated December 16, 1994, May 1,
1996 and September 18, 1998, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Mellon Equity Associates, LLC and Sanford
C. Bernstein & Co. each serve as an investment sub-adviser to a portion of the
assets of the Tax Managed Large Cap Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated February 23, 1998. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMC.
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
LSV Asset Management L.P., Boston Partners Asset Management, L.P., Mellon
Equity Associates, LLC, and Artisan Partners, LP each serve as an investment
sub-adviser to a portion of the assets of the Small Cap Value Fund and are party
to investment sub-advisory agreements with the Trust and SIMC dated May 30,
1997, December 18, 1994, November 13, 1995, September 21, 1998 and April 1,
1999, respectively. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMC.
Nicholas-Applegate Capital Management, Inc., Wall Street Associates, Furman
Selz Capital Management, LLC, Robertson Stephens Investment Management, and
Sawgrass Asset Management, LLC, each serve as an investment sub-adviser to a
portion of the assets of the Small Cap Growth Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated August 11, 1995, August
11, 1995, August 11, 1995, March 24, 1998, and April 4, 1999, respectively.
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SIMC.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Fund and is party to an investment sub-advisory agreement with the Trust
and SIMC dated August 14, 1995. Under the investment sub-advisory agreement,
Martingale Asset Management, L.P. receives an annual fee, paid by SIMC.
HighMark Capital Management, Inc. (formerly Pacific Alliance Capital
Management) serves as investment sub-adviser to the Equity Income Fund and is
party to an investment sub-advisory agreement with the Trust and SIMC dated
April 1, 1996. Under the investment sub-advisory agreement, HighMark Capital
Management receives an annual fee, paid by SIMC.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Funds and is party to an investment
sub-advisory agreement with the Trust and SIMC dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each Fund,
paid by SIMC.
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 Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC 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 SIMC.
Credit Suisse Asset Management (formerly BEA Associates) serves as
investment sub-adviser to the High Yield Bond Fund and is a party to an
investment sub-advisory agreement with the Trust and SIMC dated August 11, 1995.
Under the investment sub-advisory agreement, BEA Associates receives an annual
fee, paid by SIMC.
SEI Investments Distribution Company. (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Fund's distributor pursuant to a distribution
agreement with the Trust. The Trust has 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.
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 fund transactions effected for
the Trust in accordance with the rules of the Securities and Exchange Commission
("SEC"). Accordingly, it is expected that fund transactions may result in
brokerage commissions being paid to the Distributor. The SEC rules require that
such commissions not exceed usual and customary commissions.
4. TRANSACTIONS WITH AFFILIATES
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.
62
<PAGE>
- --------------------------------------------------------------------------------
Compensation of officers and affiliated Trustees of the Trust is paid by the
Manager.
Each of the Funds 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. Aggregate commissions paid by the Trust for
repurchase agreements placed during the period ended March 31, 1999 were
$173,993.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the period ended March 31, 1999
were as follows:
PURCHASES
---------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ------------ ------------
Large Cap Value $ -- $826,728 $ 826,728
Large Cap Growth -- 487,188 487,188
Tax Managed Large Cap -- 168,396 168,396
Small Cap Value -- 294,153 294,153
Small Cap Growth -- 386,117 386,117
Mid-Cap -- 20,922 20,922
Capital Appreciation -- 78,317 78,317
Equity Income -- 44,227 44,227
Balanced 22,535 32,276 54,811
Core Fixed Income 2,874,322 266,017 3,140,339
High Yield Bond -- 141,234 141,234
SALES
------------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ------------ ------------
Large Cap Value $ -- $435,143 $ 435,143
Large Cap Growth -- 307,910 307,910
Tax Managed Large Cap -- 20,117 20,117
Small Cap Value -- 246,325 246,325
Small Cap Growth -- 415,027 415,027
Mid-Cap -- 26,037 26,037
Capital Appreciation -- 101,393 101,393
Equity Income -- 67,284 67,284
Balanced 25,894 31,759 57,653
Core Fixed Income 2,639,753 131,970 2,771,723
High Yield Bond -- 31,706 31,706
At March 31, 1999, 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, 1999
is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
------------ ------------ ------------
Large Cap Value $308,463 $ (103,525) $204,938
Large Cap Growth 845,020 (41,445) 803,575
Tax Managed
Large Cap 63,857 (11,893) 51,964
Small Cap Value 51,395 (56,200) (4,805)
Small Cap Growth 182,536 (45,475) 137,061
Mid-Cap 6,106 (3,531) 2,575
Capital Appreciation 32,973 (5,048) 27,925
Equity Income 27,951 (2,254) 25,697
Balanced 12,403 (1,698) 10,705
Core Fixed Income 24,034 (18,123) 5,911
High Yield Bond 14,478 (25,725) (11,247)
6. FUTURES CONTRACTS
The following Funds had futures contracts open as of March 31, 1999:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- --------- ------ ------------- -----------
Large Cap Value
S&P 500 45 1,304.45 June 1999 $ (126)
S&P 500 15 1,291.00 June 1999 9
S&P 500 13 1,276.00 June 1999 56
S&P 500 5 1,303.00 June 1999 (12)
--------
$ (73)
========
Large Cap Growth
S&P 500 48 982.60 December 1998 $(11,792)
S&P 500 5 1,182.50 December 1998 (1,478)
S&P 500 3 1,166.80 December 1998 (875)
S&P 500 2 1,122.00 December 1998 (561)
S&P 500 1 1,181.30 December 1998 (295)
S&P 500 45 1,304.45 June 1999 (126)
S&P 500 13 1,289.00 June 1999 14
S&P 500 10 1,303.00 June 1999 (24)
S&P 500 6 1,291.00 June 1999 (3)
--------
$(15,134)
========
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1999 (UNAUDITED)
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- --------- ------ ------------- -----------
Tax Managed Large Cap
S&P 500 15 1,304.45 June 1999 $ (42)
S&P 500 6 1,276.00 June 1999 26
S&P 500 5 1,303.00 June 1999 (12)
S&P 500 3 1,291.00 June 1999 1
S&P 500 3 1,311.00 June 1999 (13)
S&P 500 3 1,321.00 June 1999 (21)
S&P 500 1 1,305.00 June 1999 (3)
--------
$ (64)
========
Small Cap Value
S&P 500 65 1,304.45 June 1999 $ (182)
S&P 500 18 1,289.00 June 1999 19
S&P 500 4 1,304.50 June 1999 (11)
S&P 500 3 1,317.30 June 1999 (18)
S&P 500 3 1,276.00 June 1999 13
S&P 500 3 1,311.00 June 1999 (13)
S&P 500 2 1,309.50 June 1999 (8)
S&P 500 2 1,316.00 June 1999 (11)
S&P 500 2 1,306.50 June 1999 (7)
S&P 500 2 1,291.00 June 1999 1
S&P 500 1 1,334.00 June 1999 (10)
S&P 500 1 1,311.30 June 1999 (5)
S&P 500 1 1,306.50 June 1999 (3)
S&P 500 1 1,305.00 June 1999 (3)
S&P 500 1 1,321.50 June 1999 (7)
--------
$ (245)
========
Small Cap Growth
S&P 500 25 1,304.45 June 1999 $ (70)
S&P 500 17 1,311.00 June 1999 (75)
S&P 500 12 1,289.00 June 1999 13
S&P 500 4 1,321.50 June 1999 (28)
S&P 500 1 1,291.00 June 1999 0
--------
$ (160)
========
Capital Appreciation
S&P 500 11 1,334.00 June 1999 $ (112)
S&P 500 10 1,304.45 June 1999 (28)
S&P 500 2 1,276.00 June 1999 9
S&P 500 2 1,291.00 June 1999 1
S&P 500 1 1,311.30 June 1999 (5)
--------
$ (135)
========
Equity Income
S&P 500 14 1,317.30 June 1999 $ (84)
S&P 500 4 1,304.45 June 1999 (11)
S&P 500 1 1,305.00 June 1999 (3)
--------
$ (98)
========
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- --------- ------ ------------- -----------
Core Fixed Income
U.S. 5 Year Note 98 111.34 June 1999 $ 9
U.S. 5 Year Note 78 111.61 June 1999 (14)
U.S. 5 Year Note 54 110.92 June 1999 28
U.S. 5 Year Note 54 111.24 June 1999 10
U.S. 5 Year Note 42 111.49 June 1999 (3)
U.S. 5 Year Note 25 111.46 June 1999 (1)
U.S. 5 Year Note 18 111.06 June 1999 6
U.S. 5 Year Note (14) 111.77 June 1999 4
U.S. 5 Year Note (25) 111.30 June 1999 (3)
U.S. 5 Year Note (55) 111.86 June 1999 23
U.S. 10 Year Note 41 114.72 June 1999 (1)
U.S. 10 Year Note (8) 114.81 June 1999 1
U.S. 10 Year Note (15) 114.59 June 1999 (1)
U.S. 10 Year Note (35) 114.92 June 1999 8
U.S. 10 Year Note (67) 115.38 June 1999 46
U.S. 30 Year T Bond 469 120.49 June 1999 31
U.S. 30 Year T Bond 68 120.25 June 1999 21
U.S. 30 Year T Bond 53 121.55 June 1999 (53)
U.S. 30 Year T Bond 41 120.78 June 1999 (9)
U.S. 30 Year T Bond 41 120.80 June 1999 (10)
U.S. 30 Year T Bond (20) 119.72 June 1999 (17)
--------
$ 75
========
<PAGE>
- ------------------
SEI INSTITUTIONAL
MANAGED TRUST
- ------------------
SEMI-ANNUAL REPORT
- ------------------
MARCH 31, 1999
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
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
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
EQUITY & BALANCED FUNDS
SEI Investments Management Corporation
FIXED INCOME FUNDS
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers 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>
[LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
OAKS, PA 19456 800-DIAL-SEI/800-342-5734
SEI-F-092-06
