MARCH 31, 2000 (UNAUDITED)
SEI INSTITUTIONAL
MANAGED TRUST
--------------------------------------------------------------------------------
Large Cap Value
--------------------------------------------------------------------------------
Large Cap Growth
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Tax-Managed Large Cap
--------------------------------------------------------------------------------
Small Cap Value
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
STATEMENTS OF NET ASSETS/
SCHEDULE OF INVESTMENTS................................ 1
STATEMENT OF ASSETS AND LIABILITIES....................... 59
STATEMENTS OF OPERATIONS.................................. 60
STATEMENTS OF CHANGES IN NET ASSETS....................... 62
FINANCIAL HIGHLIGHTS...................................... 64
NOTES TO FINANCIAL STATEMENTS............................. 67
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
LARGE CAP VALUE FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 97.0%
AEROSPACE & DEFENSE -- 2.2%
BF Goodrich 359,700 $ 10,319
Boeing 295,800 11,222
Cordant Tecshnologies 202,000 11,426
Litton Industries* 303,100 13,393
United Technologies 412,200 26,046
---------
72,406
---------
AIR TRANSPORTATION -- 0.6%
AMR* 119,100 3,796
Delta Air Lines 303,000 16,135
---------
19,931
---------
APPAREL/TEXTILES -- 0.2%
VF 287,800 6,925
---------
AUTOMOTIVE -- 2.5%
Dana 372,200 10,491
Delphi Automotive Systems 114,344 1,830
Ford Motor 975,200 44,798
General Motors 177,500 14,699
Navistar International* 225,000 9,028
---------
80,846
---------
BANKS -- 10.7%
Astoria Financial 217,300 6,166
Bank of America 1,544,983 81,015
Bank One 845,800 29,074
Chase Manhattan 845,600 73,726
Commerce Bancshares 23,645 737
First Union 505,000 18,811
Firstar 911,800 20,914
Fleet Boston Financial 976,500 35,642
Golden West Financial 393,600 12,275
Greenpoint Financial 125,400 2,461
JP Morgan 225,400 29,696
PNC Bank 747,600 33,689
UnionBanCal 334,700 9,225
---------
353,431
---------
BIOTECHNOLOGY -- 0.2%
Biogen* 134,700 9,412
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.6%
AT&T-Liberty Media
Group, Cl A* 164,600 9,753
CBS* 125,998 7,135
Fox Entertainment
Group, Cl A* 283,400 8,484
Gannett 423,400 29,797
Tribune 310,200 11,342
Walt Disney 441,100 18,251
---------
84,762
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
BUILDING & CONSTRUCTION -- 0.5%
Centex 309,500 $ 7,370
Fluor 187,200 5,803
Pulte 185,000 3,862
---------
17,035
---------
BUILDING & CONSTRUCTION SUPPLIES -- 0.5%
American Standard* 144,000 5,328
Lafarge 284,300 6,752
Owens-Corning 100,500 1,947
Texas Industries 109,300 3,402
---------
17,429
---------
CHEMICALS -- 3.5%
Ashland 99,100 3,314
Dow Chemical 611,700 69,734
Eastman Chemical 175,900 8,003
Lubrizol 143,700 4,140
Lyondell Petrochemical 208,200 3,071
Millenium Chemicals 102,200 2,044
Praxair 185,800 7,734
Union Carbide 294,300 17,161
---------
115,201
---------
COAL MINING -- 0.0%
Arch Coal 24,388 171
---------
COMPUTERS & SERVICES -- 4.3%
Apple Computer* 132,800 18,036
Brocade Communications
Systems* 91,300 16,371
Electronics for Imaging* 152,100 9,126
IBM 237,100 27,978
NCR* 458,600 18,401
Quantum-DLT & Storage
Systems* 384,900 4,595
Quantum-Hard Disk drive* 192,450 2,165
Seagate Technology* 599,800 36,138
Unisys* 309,000 7,880
---------
140,690
---------
CONTAINERS & PACKAGING -- 0.5%
Ball 163,000 5,634
Crown Cork & Seal 394,900 6,318
Owens-Illinois* 239,700 4,045
---------
15,997
---------
DRUGS -- 1.3%
Bergen Brunswig, Cl A 214,500 1,448
Merck 278,800 17,320
Pharmacia & Upjohn 173,500 10,280
Schering Plough 341,400 12,546
---------
41,594
---------
1
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
LARGE CAP VALUE FUND--CONTINUED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
ELECTRICAL SERVICES -- 5.6%
American Electric Power 358,600 $ 10,691
Central & South West 743,700 12,689
Cinergy 459,300 9,875
Constellation Energy Group 456,800 14,561
DTE Energy 205,300 5,954
Edison International 461,400 7,642
Energy East 443,800 8,793
FirstEnergy 714,500 14,737
FPL Group 352,500 16,237
New Century Energies 403,000 12,115
PG&E 637,400 13,385
Pinnacle West Capital 236,700 6,672
Public Service Enterprise Group 934,300 27,679
Southern 822,300 17,885
Wisconsin Energy 217,300 4,332
---------
183,247
---------
ELECTRONICS -- 0.5%
Arrow Electronics* 262,700 9,260
Avnet 46,300 2,917
Thomas & Betts 120,800 3,413
---------
15,590
---------
FINANCIAL SERVICES -- 7.7%
American Express 95,300 14,194
Bear Stearns 602,450 27,487
Citigroup 1,397,950 82,916
Countrywide Credit Industries 352,300 9,600
FNMA 241,200 13,613
Household International 343,900 12,832
Lehman Brothers Holdings 172,700 16,752
MBNA 909,700 23,197
Metris 140,700 5,470
Morgan Stanley Dean Witter 588,300 47,983
---------
254,044
---------
FOOD, BEVERAGE & TOBACCO -- 3.0%
Adolph Coors, Cl B 155,800 7,449
ConAgra 628,100 11,384
Earthgrains 125,000 1,859
General Mills 444,100 16,071
Great Atlantic & Pacific Tea 211,400 4,122
IBP 498,400 7,850
Nabisco Group Holdings 182,100 2,185
Philip Morris 282,825 5,975
Ralston-Ralston Purina Group 478,300 13,093
RJ Reynolds Tobacco Holdings 38,400 653
Ruddick 113,600 1,243
Safeway* 332,000 15,023
SUPERVALUE 453,800 8,594
Tyson Foods 195,200 2,172
---------
97,673
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
GAS/NATURAL GAS -- 0.3%
National Fuel & Gas 105,900 $ 4,719
Sempra Energy 259,100 4,340
---------
9,059
---------
HOTELS & LODGING -- 0.5%
Starwood Hotels & Resorts
Worldwide 577,000 15,146
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.6%
Maytag 295,200 9,779
Whirlpool 193,800 11,362
---------
21,141
---------
INSURANCE -- 6.7%
Aetna 164,800 9,177
Allstate 1,003,200 23,889
AMBAC Financial Group 241,400 12,161
American General 100,600 5,646
American International Group 194,200 21,265
Chubb 296,700 20,046
CIGNA 624,800 47,329
Financial Security Assurance
Holdings Ltd. 97,400 7,153
Lincoln National 225,800 7,564
Marsh & McLennan 322,900 35,620
MBIA 76,200 3,967
Old Republic International 178,150 2,450
PMI Group 293,400 13,918
St. Paul 278,478 9,503
---------
219,688
---------
LEISURE PRODUCTS -- 0.1%
Sabre Holdings* 54,367 2,008
---------
MACHINERY -- 1.9%
Cummins Engine 549,600 20,644
Deere 251,600 9,561
Dover 288,900 13,831
NACCO Industries, Cl A 27,700 1,328
Rockwell International 267,200 11,172
Tecumseh Products, Cl A 129,500 5,698
---------
62,234
---------
MEDICAL PRODUCTS & SERVICES -- 1.1%
Bausch & Lomb 153,000 7,985
Mallinckrodt 372,500 10,709
Pacificare Health Systems* 44,900 2,239
United HealthCare* 281,900 16,808
---------
37,741
---------
2
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
METAL FABRICATE/HARDWARE -- 0.1%
Timken 201,200 $ 3,270
---------
METALS & MINING -- 0.5%
Alcan Aluminum Ltd. 286,261 9,697
Alcoa 100,400 7,053
---------
16,750
---------
MISCELLANEOUS MANUFACTURING -- 3.7%
Cooper Industries 376,943 13,193
FMC* 213,700 12,074
Honeywell International 619,800 32,656
Minnesota Mining &
Manufacturing 277,800 24,603
PPG Industries 469,700 24,571
Tyco International Ltd. 267,300 13,332
---------
120,429
---------
OFFICE/BUSINESS EQUIPMENT -- 0.0%
Lanier Worldwide* 166,400 343
---------
PAPER & PAPER PRODUCTS -- 2.9%
Boise Cascade 166,600 5,789
Champion International 237,000 12,620
Consolidated Papers 118,900 4,570
Fort James 589,700 12,973
Georgia-Pacific 270,200 10,690
International Paper 942,924 40,310
Mead 85,800 2,998
Westvaco 157,500 5,257
---------
95,207
---------
PETROLEUM & FUEL PRODUCTS -- 10.8%
Amerada Hess 298,700 19,303
Atlantic Richfield 411,400 34,969
BP Amoco PLC ADR 220,800 11,716
Chevron 267,100 24,690
Ensco International 556,700 20,111
Exxon Mobil 1,328,282 103,357
Kerr-McGee 372,400 21,506
Occidental Petroleum 756,600 15,699
Phillips Petroleum 1,218,100 56,337
Texaco 247,700 13,283
Tosco 289,700 8,818
Ultramar Diamond Shamrock 345,600 8,770
USX-Marathon Group 608,000 15,846
---------
354,405
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.3%
Eastman Kodak 194,700 10,575
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
RAILROADS -- 2.6%
Burlington Northern Santa Fe 765,400 $ 16,934
Canadian Pacific Ltd. 167,600 3,750
CSX 734,600 17,263
Norfolk Southern 949,500 13,649
Union Pacific 892,925 34,936
---------
86,532
---------
RETAIL -- 4.5%
BJ's Wholesale Club* 398,200 15,380
Darden Restaurants 882,600 15,721
Dillards, Cl A 179,700 2,954
Federated Department Stores* 560,400 23,397
JC Penney 370,560 5,512
Lowe's 242,500 14,156
May Department Stores 632,662 18,031
Sears Roebuck 1,303,700 40,252
TJX 327,500 7,266
Toys `R' Us* 393,200 5,824
---------
148,493
---------
RUBBER-TIRES -- 0.3%
Cooper Tire & Rubber 153,700 1,931
Goodyear Tire & Rubber 334,000 7,786
---------
9,717
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.6%
Conexant Systems* 59,100 4,196
KLA-Tencor* 346,600 29,201
SDL* 21,200 4,513
Teradyne* 155,300 12,773
---------
50,683
---------
SOFTWARE -- 0.9%
Reynolds & Reynolds, Cl A 384,200 10,373
Symantec* 262,900 19,750
---------
30,123
---------
STEEL/STEEL WORKS -- 0.4%
Nucor 264,800 13,240
---------
TELEPHONES & TELECOMMUNICATION -- 10.2%
Alltel 224,300 14,145
AT&T 1,370,250 77,077
BellSouth 1,587,300 74,603
GTE 998,600 70,901
Harris 166,400 5,751
SBC Communications 968,182 40,664
Sprint (FON Group) 229,200 14,440
Telephone & Data Systems 226,000 25,086
US West 184,500 13,399
---------
336,066
---------
3
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
LARGE CAP VALUE FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT(000) VALUE (000)
-------------------------------------------------------------------------------
TRUCKING -- 0.1%
Yellow* 214,000 $ 3,946
---------
WHOLESALE -- 0.5%
Genuine Parts 393,200 9,388
Ingram Micro* 325,000 4,997
Tech Data* 70,000 2,301
---------
16,686
---------
Total Common Stocks
(Cost $3,090,464) 3,189,866
---------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bill
6.063%-6.153% 11/09/00 (A) (B) $ 5,500 5,301
---------
Total U.S. Treasury Obligations
(Cost $5,303) 5,301
---------
REPURCHASE AGREEMENT -- 2.9%
J.P. Morgan
6.100%, dated 03/31/00, matures
04/03/00, repurchase price
$96,977,258(collateralized by
various Government Obligations,
par value $373,965,000,06/22/00-
04/15/30, total market value:
$98,917,315) 96,977 96,977
---------
Total Repurchase Agreement
(Cost $96,977) 96,977
---------
MONEY MARKET -- 0.2%
Evergreen Select Money
Market Trust, Cl Y 5,687,017 5,687
---------
Total Money Market
(Cost $5,687) 5,687
---------
Total Investments -- 100.3%
(Cost $3,198,431) 3,297,831
---------
Other Assets and Liabilities, Net -- (0.3%) (8,981)
---------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 179,619,714 outstanding shares
of beneficial interest 3,162,705
Undistributed net investment income 12,806
Accumulated net realized gain
on investments 8,620
Net unrealized appreciation on futures 5,319
Net unrealized appreciation on investments 99,400
---------
Total Net Assets -- 100.0% 3,288,850
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.31
=========
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH FUND
COMMON STOCKS -- 99.3%
AEROSPACE & DEFENSE -- 0.8%
United Technologies 560,000 $ 35,385
---------
AIR TRANSPORTATION -- 0.6%
Southwest Airlines 1,153,400 24,005
---------
AUTOMOTIVE -- 0.2%
Delphi Automotive Systems 536,000 8,576
---------
BANKS -- 1.3%
Bank of America 345,000 18,091
Bank One 200,000 6,875
Chase Manhattan 350,000 30,516
---------
55,482
---------
BEAUTY PRODUCTS -- 1.7%
Colgate-Palmolive 623,000 35,122
Gillette 382,000 14,397
Procter & Gamble 362,500 20,391
---------
69,910
---------
BIOTECHNOLOGY -- 1.7%
Amgen* 435,000 26,698
Biogen* 371,600 25,966
Genentech* 119,000 18,088
---------
70,752
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 6.3%
AT&T-Liberty Media Group,
Cl A* 1,623,200 96,175
Mediaone Group* 725,000 58,725
Time Warner 692,500 69,250
UnitedGlobalCom, Cl A* 207,200 15,553
Viacom, Cl B* 450,800 23,780
---------
263,483
---------
COMMERCIAL SERVICES -- 0.7%
Paychex 553,700 29,000
---------
4
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 7.0%
Aether Systems* 76,575 $ 13,898
Corning 125,300 24,308
JDS Uniphase* 134,700 16,240
L.M. Ericsson Telephone ADR 254,400 23,866
Lucent Technologies 234,700 14,258
Metromedia Fiber Network 305,300 29,538
Motorola 328,400 46,756
Nextel Partners 166,900 4,840
Nokia, Cl A ADR 526,800 114,447
Nortel Networks 30,000 3,780
---------
291,931
---------
COMPUTERS & SERVICES -- 14.2%
Apple Computer* 125,400 17,031
Brocade Communications
Systems* 41,400 7,424
Cisco Systems* 3,256,900 251,799
Dell Computer* 2,626,200 141,651
EMC* 279,200 34,900
Extreme Networks* 143,000 11,297
IBM 255,000 30,090
Network Appliance* 63,700 5,271
SanDisk* 98,000 12,005
Sun Microsystems* 535,100 50,141
VeriSign* 62,200 9,299
VERITAS Software* 180,854 23,692
---------
594,600
---------
DRUGS -- 8.8%
Bristol-Myers Squibb 1,253,100 72,367
Eli Lilly 271,800 17,123
MedImmune* 55,100 9,594
Merck 400,000 24,850
Pfizer 1,901,600 69,527
Schering Plough 1,405,000 51,634
Teva Pharmaceutical
Industries ADR 362,800 13,537
Warner Lambert 1,114,200 108,634
---------
367,266
---------
ELECTRICAL SERVICES -- 1.0%
AES* 553,300 43,572
---------
ELECTRONICS -- 4.0%
Agilent Technologies* 52,100 5,418
Credence Systems* 83,200 10,410
Maxim Integrated Products* 630,700 44,819
PE-PE Biosystems Group 97,300 9,389
Solectron* 1,610,000 64,501
Vitesse Semiconductor* 324,900 31,272
---------
165,809
---------
ENTERTAINMENT -- 0.5%
Mirage Resorts* 1,139,500 22,078
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
FINANCIAL SERVICES -- 6.4%
American Express 109,800 $ 16,353
Associates First Capital 690,000 14,792
Charles Schwab 702,700 39,922
Citigroup 1,060,000 62,871
MBNA 1,007,000 25,678
Morgan Stanley Dean Witter 770,000 62,803
Providian Financial 322,900 27,971
T. Rowe Price & Associates 419,000 16,551
---------
266,941
---------
FOOD, BEVERAGE & TOBACCO -- 1.6%
Coca-Cola 80,000 3,755
Kroger* 1,220,000 21,426
Safeway* 936,600 42,381
---------
67,562
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.4%
Gemstar International
Group Ltd.* 215,900 18,567
---------
INSURANCE -- 2.7%
American International Group 601,350 65,848
Progressive of Ohio 613,800 46,687
---------
112,535
---------
MEDICAL PRODUCTS & SERVICES -- 1.9%
Allergan 222,100 11,105
Medtronic 1,300,700 66,905
---------
78,010
---------
MISCELLANEOUS MANUFACTURING -- 5.0%
General Electric 683,700 106,102
Honeywell International 690,000 36,354
Tyco International Ltd. 1,360,000 67,830
---------
210,286
---------
PETROLEUM & FUEL PRODUCTS -- 1.0%
Cooper Cameron* 167,400 11,195
Noble Drilling* 718,000 29,752
---------
40,947
---------
RAILROADS -- 1.2%
Kansas City Southern Industries 600,800 51,631
---------
RETAIL -- 8.2%
Home Depot 2,388,100 154,032
Kohls* 799,700 81,969
Lowe's 331,300 19,340
Gap 604,000 30,087
Wal-Mart Stores 1,014,700 56,316
---------
341,744
---------
5
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
LARGE CAP GROWTH FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 10.2%
Altera* 750,000 $ 66,938
Analog Devices* 175,100 14,106
Applied Materials* 704,600 66,409
Conexant Systems* 132,000 9,372
Intel 1,269,900 167,547
PMC-Sierra* 127,400 25,950
Teradyne* 341,300 28,072
Texas Instruments 312,200 49,952
----------
428,346
----------
SOFTWARE -- 7.5%
America Online* 320,000 21,520
Digex* 50,200 5,569
Exodus Communications* 54,600 7,671
InfoSpace.com* 23,200 3,374
Inktomi* 32,200 6,279
Intuit* 258,700 14,067
Microsoft* 1,504,300 159,832
Oracle* 100,000 7,806
Pixar* 288,000 10,278
PSINet* 190,000 6,463
SAP AG ADR 187,900 11,227
Siebel Systems* 323,000 38,578
Yahoo!* 111,900 19,177
----------
311,841
----------
TELEPHONES & TELECOMMUNICATION -- 3.8%
Amdocs Ltd.* 166,500 12,269
Cox Communications, Cl A* 348,800 16,917
EchoStar Communications* 329,000 25,991
MCI WorldCom* 605,000 27,414
McLeodUSA, CL A* 289,900 24,587
Nextel Communications, Cl A* 141,700 21,007
Sprint (FON Group) 225,000 14,175
Vodafone Group PLC ADR 288,000 16,002
----------
158,362
----------
WHOLESALE -- 0.6%
Costco Wholesale* 437,200 22,980
----------
Total Common Stocks
(Cost $2,609,266) 4,151,601
----------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bill
6.063%-6.071%,
11/09/00 (A) (B) $ 5,000 4,819
----------
Total U.S. Treasury Obligations
(Cost $4,821) 4,819
----------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
MONEY MARKETS -- 0.9%
Evergreen Select Money
Market Trust, Cl Y 1,467,695 $ 1,468
Evergreen Select Money
Market, Cl I 37,166,483 37,166
----------
Total Money Markets
(Cost $38,634) 38,634
----------
REPURCHASE AGREEMENT -- 0.5%
Morgan Stanley
6.000%, dated 03/31/00, matures
04/03/00, repurchase price
$20,309,114 (collateralized by
U.S. Treasury Note, par value
$20,490,000, 4.500%, 09/30/00,
total market value: $20,309,114) $19,813 19,813
----------
Total Repurchase Agreement
(Cost $19,813) 19,813
----------
Total Investments -- 100.8%
(Cost $2,672,534) 4,214,867
----------
Other Assets and Liabilities, Net -- (0.8%) (32,526)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 109,620,236 outstanding shares
of beneficial interest 2,417,870
Net investment loss (4,602)
Accumulated net realized gain
on investments 224,609
Net unrealized appreciation on futures 2,131
Net unrealized appreciation on investments 1,542,333
----------
Total Net Assets -- 100.0% $4,182,341
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $38.15
=========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
Cl -- CLASS
LTD. --- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
-------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 97.3%
AEROSPACE & DEFENSE -- 1.3%
BF Goodrich 155,100 $ 4,449
Litton Industries* 43,300 1,913
United Technologies 213,014 13,460
---------
19,822
---------
AIR TRANSPORTATION -- 0.2%
Delta Air Lines 62,500 3,328
---------
APPAREL/TEXTILES -- 0.1%
VF 91,300 2,197
---------
AUTOMOTIVE -- 0.6%
Dana 145,000 4,087
Ford Motor 130,400 5,990
---------
10,077
---------
BANKS -- 5.1%
Bank of America 444,200 23,293
Bank One 285,100 9,800
Chase Manhattan 196,100 17,097
First Union 283,000 10,542
Fleet Boston Financial 314,364 11,474
PNC Bank 81,300 3,664
SouthTrust 123,200 3,134
---------
79,004
---------
BEAUTY PRODUCTS -- 0.9%
Colgate-Palmolive 166,000 9,358
Kimberly-Clark 76,800 4,301
---------
13,659
---------
BIOTECHNOLOGY -- 0.8%
Amgen* 103,600 6,358
Biogen* 57,000 3,983
Genentech* 11,700 1,778
---------
12,119
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 5.5%
AT&T-Liberty Media
Group, Cl A* 395,800 23,451
CBS* 74,570 4,223
Clear Channel Communications* 58,000 4,006
Gannett 54,000 3,800
Mediaone Group* 190,000 15,390
New York Times, Cl A 79,800 3,426
Time Warner 204,300 20,430
Tribune 116,300 4,252
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
UnitedGlobalCom, Cl A* 20,300 $ 1,524
Viacom, Cl B* 110,200 5,813
---------
86,315
---------
BUILDING & CONSTRUCTION -- 0.1%
Centex 90,000 2,143
---------
BUILDING & CONSTRUCTION SUPPLIES -- 0.2%
American Standard* 60,000 2,220
Owens-Corning 70,700 1,370
---------
3,590
---------
CHEMICALS -- 1.5%
Ashland 31,800 1,063
Dow Chemical 107,900 12,301
Eastman Chemical 26,600 1,210
Lubrizol 88,200 2,541
Lyondell Petrochemical 101,500 1,497
Millenium Chemicals 50,600 1,012
Praxair 62,100 2,585
Union Carbide 30,200 1,761
---------
23,970
---------
COAL MINING -- 0.0%
Arch Coal 7,825 55
---------
COMMUNICATIONS EQUIPMENT -- 4.3%
Aether Systems* 7,500 1,361
Corning 10,300 1,998
JDS Uniphase* 32,600 3,930
L.M. Ericsson Telephone ADR* 24,900 2,336
Lucent Technologies 133,000 8,080
Metromedia Fiber Network* 30,400 2,941
Motorola 32,200 4,584
Nextel Partners* 16,400 476
Nokia, Cl A ADR 152,500 33,131
Nortel Networks 19,000 2,394
Tellabs* 80,500 5,070
---------
66,301
---------
COMPUTERS & SERVICES -- 10.6%
Adaptec* 93,400 3,608
Apple Computer* 12,400 1,684
Brocade Communications
Systems* 4,000 717
Cabletron Systems* 166,400 4,878
Lexmark International Group* 61,800 6,535
Cisco Systems* 828,500 64,053
Dell Computer* 600,000 32,362
EMC* 27,400 3,425
7
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
TAX-MANAGED LARGE CAP FUND--CONTINUED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
Extreme Networks* 14,000 $ 1,106
IBM 147,000 17,346
Network Appliance* 6,600 546
Quantum-DLT & Storage
Systems* 71,700 856
Quantum-Hard Disk drive* 35,850 403
SanDisk* 9,600 1,176
Seagate Technology* 148,300 8,935
Sun Microsystems* 52,500 4,919
SunGard Data Systems* 75,000 2,831
VeriSign* 44,100 6,593
VERITAS Software* 17,700 2,319
---------
164,292
---------
CONTAINERS & PACKAGING -- 1.2%
Crown Cork & Seal 190,000 3,040
Owens-Illinois* 174,000 2,936
Sealed Air* 88,300 4,796
Smurfit-Stone Container* 210,000 3,557
Sonoco Products 175,000 4,112
---------
18,441
---------
DRUGS -- 5.6%
Bergen Brunswig, Cl A 75,000 506
Bristol-Myers Squibb 372,900 21,535
MedImmune* 3,900 679
Merck 194,200 12,065
Pfizer 257,600 9,418
Schering Plough 526,300 19,342
Teva Pharmaceutical
Industries ADR 35,600 1,328
Warner Lambert 225,600 21,996
---------
86,869
---------
ELECTRICAL SERVICES -- 3.7%
AES* 118,500 9,332
American Electric Power 122,500 3,652
Central & South West 210,000 3,583
Cinergy 210,000 4,515
Consolidated Edison 215,400 6,247
FirstEnergy 282,900 5,835
New Century Energies 154,000 4,630
Northern States Power 227,000 4,512
PG&E 238,600 5,011
Pinnacle West Capital 131,100 3,695
Public Service Enterprise Group 130,100 3,854
Wisconsin Energy 111,100 2,215
---------
57,081
---------
ELECTRONICS -- 2.4%
Agilent Technologies* 5,100 530
Arrow Electronics* 111,500 3,930
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Avnet 6,000 $ 378
Credence Systems* 8,100 1,014
PE-PE Biosystems Group 9,500 917
Solectron* 441,000 17,668
Thomas & Betts 100,200 2,831
Vishay Intertechnology* 120,000 6,675
Vitesse Semiconductor* 31,900 3,070
---------
37,013
---------
FINANCIAL SERVICES -- 5.4%
American Express 10,800 1,609
Associates First Capital 237,000 5,081
Citigroup 517,800 30,712
Household International 115,700 4,317
MBNA 429,100 10,942
Morgan Stanley Dean Witter 346,900 28,294
SLM Holding 77,300 2,575
---------
83,530
---------
FOOD, BEVERAGE & TOBACCO -- 2.9%
ConAgra 462,800 8,388
General Mills 168,600 6,101
Kroger* 325,000 5,708
Philip Morris 205,100 4,333
Quaker Oats 78,200 4,741
Ralston-Ralston Purina Group 191,900 5,253
Safeway* 53,000 2,398
Sara Lee 185,000 3,330
SUPERVALUE 150,000 2,841
Tyson Foods 137,700 1,532
---------
44,625
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.5%
Gemstar International
Group Ltd.* 21,200 1,823
Whirlpool 100,000 5,862
---------
7,685
---------
HOUSEHOLD PRODUCTS -- 0.2%
Dial 224,000 3,080
---------
INSURANCE -- 2.5%
Aetna 6,500 362
American General 96,000 5,388
American International Group 111,000 12,154
Chubb 183,000 12,364
MBIA 45,000 2,343
St. Paul 13,000 444
XL Capital, Cl A 108,400 6,003
---------
39,058
---------
8
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 1.7%
Allergan 21,800 $ 1,090
Guidant* 34,800 2,047
Johnson & Johnson 102,000 7,146
Medtronic 210,000 10,802
United HealthCare* 80,100 4,776
---------
25,861
---------
METALS & MINING -- 0.3%
Alcan Aluminum Ltd. 39,200 1,328
Alcoa 49,000 3,442
---------
4,770
---------
MISCELLANEOUS MANUFACTURING -- 5.5%
Cooper Industries 106,500 3,728
General Electric 293,500 45,548
Honeywell International 255,800 13,477
Tyco International Ltd. 454,000 22,643
---------
85,396
---------
PAINT & RELATED PRODUCTS -- 0.2%
Sherwin-Williams 165,400 3,628
---------
PAPER & PAPER PRODUCTS -- 1.3%
Champion International 34,900 1,858
Consolidated Papers 27,700 1,065
Fort James 251,900 5,542
Georgia-Pacific 65,500 2,591
International Paper 168,348 7,197
Temple-Inland 18,500 922
Westvaco 13,800 461
Willamette Industries 25,000 1,003
---------
20,639
---------
PETROLEUM & FUEL PRODUCTS -- 4.1%
Amerada Hess 40,000 2,585
Atlantic Richfield 37,000 3,145
Coastal 61,500 2,829
Conoco 123,000 3,029
Cooper Cameron* 16,700 1,117
Exxon Mobil 180,768 14,066
Kerr-McGee 73,000 4,216
Noble Drilling* 155,200 6,431
Occidental Petroleum 221,000 4,586
Phillips Petroleum 263,700 12,196
Transocean Sedco Forex 106,000 5,439
USX-Marathon Group 160,000 4,170
---------
63,809
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
RAILROADS -- 2.0%
Burlington Northern Santa Fe 440,900 $ 9,755
CSX 249,000 5,852
Kansas City Southern Industries 11,300 971
Norfolk Southern 393,300 5,654
Union Pacific 215,400 8,428
---------
30,660
---------
RETAIL -- 7.6%
Circuit City Stores-Circuit
City Group 111,600 6,794
Dillards, Cl A 28,800 473
Federated Department Stores* 232,100 9,690
Gap 224,791 11,197
Home Depot 557,700 35,972
Kohls* 182,500 18,706
Lowe's 32,500 1,897
May Department Stores 293,400 8,362
Sears Roebuck 124,000 3,829
TJX 122,000 2,707
Wal-Mart Stores 334,500 18,565
---------
118,192
---------
RUBBER-TIRES -- 0.1%
Cooper Tire & Rubber 38,200 480
Goodyear Tire & Rubber 33,600 783
---------
1,263
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 7.4%
Altera* 200,000 17,850
Analog Devices* 17,200 1,386
Applied Materials* 161,700 15,240
Conexant Systems* 12,900 916
Cypress Semiconductor* 110,000 5,424
Intel 452,500 59,702
PMC-Sierra* 12,500 2,546
Teradyne* 81,500 6,703
Texas Instruments 30,600 4,896
---------
114,663
---------
SOFTWARE -- 6.5%
America Online* 203,900 13,712
Ariba* 1,600 335
BMC Software* 88,000 4,345
Digex* 5,000 555
Exodus Communications* 5,300 745
InfoSpace.com* 2,300 335
Inktomi* 3,100 605
9
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
TAX-MANAGED LARGE CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Intuit* 36,300 $ 1,974
Microsoft* 412,400 43,818
Oracle 378,800 29,570
PSINet* 89,500 3,044
SAP AG ADR 18,400 1,099
Yahoo!* 11,000 1,885
----------
102,022
----------
TELEPHONES & TELECOMMUNICATION -- 4.3%
Alltel 90,900 5,732
Amdocs Ltd.* 16,300 1,201
AT&T 205,000 11,531
EchoStar Communications* 32,300 2,552
GTE 101,000 7,171
MCI WorldCom* 327,000 14,817
McLeodUSA, Cl A* 28,400 2,409
Nextel Communications, Cl A* 13,900 2,061
SBC Communications 209,880 8,815
Sprint (FON Group) 95,200 5,998
Vodafone Group PLC ADR 78,000 4,334
----------
66,621
----------
WHOLESALE -- 0.7%
Costco Wholesale* 42,900 2,255
Genuine Parts 180,200 4,302
Ingram Micro* 210,000 3,229
Tech Data* 17,600 579
----------
10,365
----------
Total Common Stocks
(Cost $1,342,148) 1,512,143
----------
COMMERCIAL PAPER -- 0.1%
Ford Motor Credit
6.010%, 04/04/00 $ 1,567 1,566
----------
Total Commercial Paper
(Cost $1,566) 1,566
----------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bill
6.038%-6.103%,
11/09/00 (A) (B) 8,000 7,710
----------
Total U.S. Treasury Obligation
(Cost $7,713) 7,710
----------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
Morgan Stanley
6.030%, dated 03/31/00, matures
04/03/00, repurchase price
$19,359,774 (collateralized by
Tennessee Valley Bonds, total
par value $21,770,000,
6.875%, 12/15/43; total market
value $21,405,919) $ 19,360 $ 19,360
----------
Total Repurchase Agreement
(Cost $19,360) 19,360
----------
MONEY MARKETS -- 0.6%
Evergreen Select Money
Market Trust, Cl Y 4,134,072 4,134
Evergreen Select Money
Market, Cl I 5,885,434 5,885
----------
Total Money Markets
(Cost $10,019) 10,019
----------
Total Investments -- 99.8%
(Cost $1,380,806) 1,550,798
----------
Other Assets and Liabilities, Net-- 0.2% 3,588
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 110,112,359 outstanding shares
of beneficial interest 1,390,381
Undistributed net investment income 3,024
Accumulated net realized loss on investments (9,574)
Net unrealized appreciation on futures 563
Net unrealized appreciation on investments 169,992
----------
Total Net Assets -- 100.0% $1,554,386
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.12
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD. --- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
--------------------------------------------------------------------------------
SMALL CAP VALUE FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 94.8%
AEROSPACE & DEFENSE -- 1.0%
Alliant Techsystems* 47,388 $ 2,790
Gencorp 201,200 1,559
Howmet International* 93,200 1,881
Primex Technologies 54,800 1,168
---------
7,398
---------
AIR TRANSPORTATION -- 0.5%
America West Holdings, Cl B* 70,500 1,093
Offshore Logistics* 84,500 1,172
Skywest 45,200 1,768
---------
4,033
---------
APPAREL/TEXTILES -- 1.4%
Guilford Mills 185,900 1,429
Kellwood 58,500 1,027
Polo Ralph Lauren* 111,600 2,086
R.G. Barry* 270,100 912
Springs Industries, Cl A 50,900 1,934
Westpoint Stevens 153,100 2,909
---------
10,297
---------
AUTOMOTIVE -- 1.6%
Arvin Industries 106,900 2,419
Borg-Warner Automotive 80,000 3,150
Midas 103,400 2,482
Standard Motor Products 46,500 692
Superior Industries International 46,200 1,464
Tower Automotive* 92,800 1,520
---------
11,727
---------
BANKS -- 6.4%
Andover Bancorp 26,362 753
Astoria Financial 104,100 2,954
Bancorpsouth 115,600 1,893
Bancwest 155,000 3,061
Bank United, Cl A 43,700 1,379
Chittenden 69,000 2,048
City National 53,700 1,809
Cullen/Frost Bankers 54,900 1,451
Dime Bancshares 333,142 6,163
Dime Community Bancorp 152,200 2,407
Downey Financial 97,780 2,078
Firstfed Financial* 49,440 655
Flagstar Bancorp 51,500 669
Imperial Bancorp* 48,016 1,488
North Fork Bancorporation 65,550 1,172
OceanFirst Financial 41,000 643
Roslyn Bancorp 1,521 27
Silicon Valley Bancshares* 33,500 2,408
Staten Island Bancorp 228,800 3,918
Washington Federal 192,800 3,675
Webster Financial 172,900 3,977
Westamerica Bancorporation 70,100 1,945
---------
46,573
---------
BIOTECHNOLOGY -- 0.3%
Celera Genomics* 22,800 2,088
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.6%
Advo Systems* 119,200 2,980
Courier 17,000 395
Grey Advertising 6,800 2,781
R.H. Donnelley* 149,700 2,545
True North Communications 31,000 1,219
Young Broadcasting, Cl A* 75,900 1,442
---------
11,362
---------
BUILDING & CONSTRUCTION -- 3.3%
Centex 40,360 961
Champion Enterprises* 120,800 695
DR Horton 211,300 2,760
Dycom Industries* 22,400 1,092
EMCOR Group* 150,800 3,167
Fleetwood Enterprises 76,100 1,122
Granite Construction 67,200 1,814
Jacobs Engineering Group* 89,900 2,899
MDC Holdings 90,090 1,616
Pulte 168,400 3,515
Ryland Group 55,400 1,039
Standard Pacific 211,400 2,114
Winnebago Industries 51,100 923
---------
23,717
---------
BUILDING & CONSTRUCTION SUPPLIES -- 2.1%
Centex Construction Products 54,600 1,433
Dal-Tile International* 393,200 3,121
Elcor 26,300 907
Florida Rock Industries 25,640 718
Genlyte Group* 196,800 3,838
Johns Manville 58,200 640
Modine Manufacturing 112,000 2,814
Nortek* 26,120 578
Simpson Manufacturing* 26,700 1,055
---------
15,104
---------
CHEMICALS -- 2.2%
Albemarle 44,900 932
American Pacific* 158,800 1,122
Cambrex 46,200 2,010
CFC International* 55,400 346
Cytec Industries* 92,100 2,821
Ethyl 168,300 515
Geon 79,800 1,716
11
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP VALUE FUND--CONTINUED
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
Lubrizol 42,800 $ 1,233
Minerals Technologies 20,500 914
Olin 123,300 2,189
W.R. Grace* 105,100 1,333
Wellman 45,300 898
---------
16,029
---------
COMMERCIAL SERVICES -- 2.0%
Albany Molecular Research* 33,700 1,967
Burns International Services* 72,300 759
CDI* 71,900 1,366
Duff & Phelps Credit Rating 20,700 2,064
Gartner Group* 149,000 2,347
Interim Services* 104,800 1,945
Mail-Well* 89,800 780
Modis Professional Services* 87,200 1,079
Orthodontic Centers of America* 120,500 2,259
---------
14,566
---------
COMPUTERS & SERVICES -- 1.6%
Anixter International* 52,000 1,449
Astro Med 37,200 260
Avant!* 62,100 776
Brooktrout* 71,400 2,071
Catapult Communications* 49,600 505
CIBER* 53,200 1,091
Quantum-Hard Disk drive* 165,700 1,864
Radisys* 56,300 3,385
---------
11,401
---------
CONTAINERS & PACKAGING -- 0.3%
Greif Brothers 74,700 2,381
---------
DENTAL SUPPLIES & EQUIPMENT -- 0.3%
Patterson Dental* 49,000 1,874
---------
DRUGS -- 1.6%
Alpharma, Cl A 94,600 3,477
Barr Laboratories* 48,300 2,029
Bindley Western Industries 82,635 1,121
Dura Pharmaceuticals* 71,700 883
Noven Pharmaceuticals* 120,500 1,318
Perrigo* 128,900 979
Vertex Pharmaceuticals* 30,000 1,404
---------
11,211
---------
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.5%
Belden 31,300 861
Insteel Industries 202,300 1,138
Power-One* 32,200 1,944
---------
3,943
---------
ELECTRICAL SERVICES -- 3.4%
Avista 39,000 1,589
Cleco 40,080 1,333
Conectiv 109,100 1,909
El Paso Electric* 339,700 3,524
Energy East 7,663 152
Hawaiian Electric Industries 87,100 2,771
Idacorp 44,500 1,546
IPALCO Enterprises 52,600 1,026
Kansas City Power & Light 84,600 2,453
NorthWestern 38,800 800
Nstar 54,558 2,291
Public Service of New Mexico 206,700 3,256
Rgs Energy Group 52,600 1,118
United Illuminating 22,300 875
---------
24,643
---------
ELECTRONICS -- 4.2%
Credence Systems* 18,500 2,315
Moog* 57,300 1,053
Hadco* 90,400 5,842
Integrated Device Technology* 56,000 2,219
KEMET* 60,100 3,801
Sensormatic Electronics* 328,800 7,377
Stoneridge* 179,600 2,065
Technitrol 47,400 2,761
Tektronix 48,500 2,716
---------
30,149
---------
ENTERTAINMENT -- 0.9%
Anchor Gaming* 38,000 1,442
Aztar* 85,100 808
Cinar Films, Cl B* 36,000 180
Zomax* 62,800 3,784
---------
6,214
---------
ENVIRONMENTAL SERVICES -- 0.2%
Gundle/SLT Environmental* 211,800 622
Harding Lawson Associates
Group* 49,800 529
IT Group* 11,800 89
Sevenson Environmental Services 18,900 182
---------
1,422
---------
FINANCIAL SERVICES -- 2.2%
BlackRock* 129,900 2,630
Dain Rauscher 59,600 3,930
Doral Financial 134,800 1,525
Heller Financial 48,400 1,119
John Nuveen, CL A 66,900 2,559
Metris 29,400 1,143
Neuberger Berman 100,200 2,824
Somerset Group 22,700 411
---------
16,141
---------
12
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 1.5%
Adolph Coors, Cl B 22,830 $ 1,092
Canandaigua Brands, Cl A* 38,400 1,958
Corn Products International 71,700 1,725
Fleming 59,700 899
Grand Union* 340,100 999
Pilgrim's Pride 32,200 203
Pilgrim's Pride Cl A 16,100 78
Ralcorp Holdings* 61,400 890
Robert Mondavi* 31,800 1,109
Universal 62,730 945
Universal Foods 33,600 718
---------
10,616
---------
GAS/NATURAL GAS -- 2.1%
Energen 36,460 581
Northwest Natural Gas 71,900 1,402
Oneok 124,500 3,112
Peoples Energy 11,900 327
Southwest Gas 46,400 884
UGI 109,300 2,364
Washington Gas Light 133,100 3,619
Wicor 91,500 2,836
---------
15,125
---------
HAND/MACHINE TOOLS -- 1.7%
Franklin Electric 6,200 396
Lincoln Electric Holdings 324,600 7,851
Powell Industries* 131,200 1,263
Regal Beloit 141,200 2,471
---------
11,981
---------
HOLDING COMPANIES-DIVERSIFIED -- 0.1%
Craig, Cl A* 97,900 434
---------
HOTELS & LODGING -- 0.6%
Starwood Hotels & Resorts
Worldwide 153,300 4,024
---------
HOUSEHOLD FURNITURE & FIXTURES -- 1.7%
Chromcraft Revington* 40,900 312
Ethan Allen Interiors 149,100 3,727
Furniture Brands International* 74,600 1,403
Harman International 59,400 3,564
Kimball International 180,200 1,982
Salton/Maxim Housewares* 32,000 1,388
---------
12,376
---------
HOUSEHOLD PRODUCTS -- 0.6%
Playtex Products* 336,900 4,380
Standard Register 11,040 142
---------
4,522
---------
INSURANCE -- 6.5%
Acceptance Insurance* 171,600 933
Annuity & Life Re Holdings 118,400 3,078
Arthur J. Gallagher 64,400 2,093
CNA Surety 82,700 1,153
Commerce Group 42,900 1,266
Delphi Financial Group, Cl A* 19,448 591
Everest Re Group Ltd. 67,600 2,205
FBL Financial Group, Cl A 44,600 669
Financial Security Assurance
Holdings Ltd. 24,300 1,785
First American Financial 117,700 1,670
HCC Insurance Holdings 87,700 1,162
Hilb, Rogal and Hamilton 111,400 3,043
IPC Holdings Ltd. 93,300 1,120
Leucadia National 52,100 1,237
Markel* 9,500 1,382
Merchants Group 12,300 183
Mony Group 74,600 2,411
Mutual Risk Management Ltd. 40,900 818
Ohio Casualty 38,800 694
PICO Holdings* 99,000 1,101
PMI Group 145,320 1,998
Radian Group 93,890 4,472
Risk Capital Holdings* 116,300 1,904
RLI 2,100 70
Scottish Annuity & Life 177,500 1,365
SCPIE Holdings 23,800 729
Stewart Information Services 218,000 3,447
White Mountains Insurance
Group 24,900 3,340
WR Berkley 37,100 856
---------
46,775
---------
INVESTMENT COMPANIES -- 0.2%
Capital Southwest 26,900 1,473
---------
LEASING & RENTING -- 0.8%
GATX 33,800 1,284
Rent-A-Center* 32,000 480
Rent-Way* 73,300 1,429
Rollins Truck Leasing 103,600 874
Ryder System 50,700 1,150
Xtra* 18,600 707
---------
5,924
---------
LEISURE PRODUCTS -- 0.6%
Arctic Cat 287,300 2,945
JAKKS Pacific* 58,300 1,257
---------
4,202
---------
13
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP VALUE FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MACHINERY -- 2.8%
AGCO 134,600 $ 1,531
Astec Industries* 58,400 1,551
Briggs & Stratton 70,200 2,887
Commercial Intertech 38,700 762
Gardner Denver Machinery* 1,895 36
Gehl* 21,100 385
Helix Technology 21,300 1,279
Imation* 40,600 1,084
JLG Industries 202,300 1,846
Kulicke & Soffa Industries* 26,800 1,717
Manitowoc 59,100 1,599
Tecumseh Products, Cl A 77,800 3,423
Thomas Industries 96,585 1,811
Twin Disc 31,800 545
---------
20,456
---------
MARINE TRANSPORTATION -- 0.3%
Alexander & Baldwin 118,600 2,446
---------
MEDICAL PRODUCTS & SERVICES -- 3.9%
America Service Group* 6,400 96
Beckman Coulter 49,100 3,152
Cooper 58,600 1,886
Diagnostic Products 37,600 919
Edwards Lifesciences* 66,800 906
First Health Group* 34,000 1,075
LifePoint Hospitals* 150,600 2,504
Lincare Holdings* 136,500 3,873
Medical Manager* 15,300 536
MedQuist* 48,700 1,324
National Dentex* 48,000 708
Quest Diagnostics* 42,000 1,669
Renal Care Group* 52,600 1,141
Sola International* 50,100 307
Sun Healthcare Group* 107,700 3,850
Varian Medical Systems* 41,400 1,889
Wesley Jessen VisionCare* 64,700 2,325
---------
28,160
---------
METAL FABRICATE/HARDWARE -- 1.9%
Amcast Industrial 38,310 352
Commercial Metals 95,600 2,641
Intermet 166,600 1,520
Kaydon 101,700 2,778
L.B. Foster, Cl A* 149,400 607
Mueller Industries* 107,300 3,259
Velcro Industries 112,100 1,247
Worthington Industries 121,900 1,509
---------
13,913
---------
METALS & MINING -- 0.4%
Cleveland Cliffs 106,300 2,531
---------
MISCELLANEOUS BUSINESS SERVICES-- 0.3%
IMRGlobal* 85,200 $ 1,225
Kronos* 24,900 738
---------
1,963
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING -- 4.6%
A.O. Smith 73,250 1,318
Aptar Group 64,600 1,724
Barnes Group 38,450 558
Carlisle 77,700 3,108
Clarcor 134,700 2,391
Dexter 126,650 6,712
ESCO Electronics* 51,050 855
FMC* 50,600 2,859
Justin Industries 133,300 2,399
Lancaster Colony 27,700 847
M&F Worldwide* 207,800 909
Mark IV Industries 177,800 3,923
National Service Industries 48,800 1,028
NCH 12,730 577
Pittston Services 164,300 2,793
Smith Investment 8,200 369
SPS Technologies* 19,700 601
---------
32,971
---------
PAPER & PAPER PRODUCTS -- 0.5%
Pope & Talbot 82,900 1,523
Potlatch 35,700 1,535
Rock Tenn, Cl A 50,800 495
---------
3,553
---------
PETROLEUM & FUEL PRODUCTS -- 6.1%
Atwood Oceanics* 36,200 2,401
Barrett Resources* 60,100 1,792
Cabot Oil & Gas, Cl A 131,200 2,370
Fletcher Challenge Energy ADR 85,900 1,954
Forest Oil* 181,800 1,932
Giant Industries* 44,460 400
Helmerich & Payne 67,500 2,093
Insight Enterprises* 26,900 980
Louis Dreyfus Natural Gas* 77,400 2,632
Murphy Oil 37,100 2,138
Ocean Energy* 269,900 3,880
Patina Oil & Gas 105,400 1,429
Pride International* 79,800 1,820
Prima Energy* 25,550 690
Ranger Oil* 322,400 1,249
Santa Fe Snyder* 274,850 2,645
Swift Energy* 310,100 5,543
Tom Brown* 198,900 3,655
Ultramar Diamond Shamrock 63,200 1,604
Vintage Petroleum 137,500 2,767
---------
43,974
---------
14
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.4%
Polaroid 119,800 $ 2,845
---------
REAL ESTATE -- 0.2%
Trizec Hahn 99,100 1,487
---------
REAL ESTATE INVESTMENT TRUSTS -- 7.4%
Amli Residential Properties 103,450 2,121
Arden Reality Group 135,000 2,818
Asset Investors (Del) 90,600 974
Avalonbay Communities 94,300 3,454
Boston Properties 91,400 2,908
Charles E. Smith Residential
Realty 79,250 2,863
Cornerstone Properties 130,100 2,269
Equity Office Properties Trust 100,200 2,518
Equity Residential Properties
Trust 113,950 4,579
Essex Property Trust 62,800 2,261
Federal Realty Investment Trust 144,400 2,789
Franchise Finance of America 45,100 1,049
General Growth Properties 96,200 2,928
Healthcare Realty Trust 36,100 605
Highwoods Properties 96,800 2,057
Liberty Property Trust 121,200 2,901
Prentiss Properties Trust 117,950 2,632
Post Properties 16,800 677
Public Storage 131,700 2,766
Reckson Associates Realty 149,520 2,804
Spieker Properties 53,450 2,379
Urban Shopping Centers 105,900 3,078
---------
53,430
---------
REGULATED INVESTMENT COMPANY -- 0.4%
John Hancock Bank and Thrift
Opportunity Fund 367,200 2,547
---------
RETAIL -- 4.6%
Ann Taylor Stores* 100,100 2,302
Barnes & Noble* 167,400 3,850
Barnett* 140,100 1,541
Burlington Coat Factory 141,100 2,425
Brown Shoe 46,400 557
Cato, Cl A 86,200 1,013
Children's Place* 68,500 976
Claire's Stores 118,700 2,381
Dress Barn* 63,910 1,230
Footstar* 121,300 3,427
Haverty Furniture 131,800 1,400
Pacific Sunwear of California* 39,300 1,513
Rare Hospitality* 37,900 737
Ruby Tuesday 47,400 830
Ryan's Family Steak Houses* 280,080 2,678
Shopko Stores* 43,900 779
Spiegel, Cl A* 118,000 944
Zale* 99,800 4,709
---------
33,292
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
RUBBER-TIRES -- 0.1%
Cooper Tire & Rubber 42,800 $ 538
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.8%
ATMI* 35,700 1,705
Cree Research* 13,800 1,558
Cypress Semiconductor* 48,700 2,402
Ess Technology* 22,000 385
General Semiconductor* 101,900 1,758
International Rectifier* 43,300 1,651
Pioneer Standard Electronics 78,400 1,235
Varian Semiconductor Equipment
Associates* 38,200 2,430
---------
13,124
---------
SHIPBUILDING -- 0.4%
Newport News Shipbuilding 96,700 2,925
---------
SOFTWARE -- 1.3%
Digi International* 33,100 306
Midway Games* 65,000 861
NVIDIA* 17,300 1,462
Progress Software* 112,800 2,644
Proxicom* 30,900 1,369
Sybase* 102,600 2,084
Timberline Software 62,200 544
---------
9,270
---------
STEEL/STEEL WORKS -- 1.5%
AK Steel Holding 504,305 5,232
Carpenter Technology 73,600 1,532
Roanoke Electric Steel 86,100 1,464
Ryerson Tull 52,300 811
Schnitzer Steel Industries, Cl A 84,900 1,534
---------
10,573
---------
TELEPHONES & TELECOMMUNICATION -- 0.5%
Centigram Communications* 11,000 209
Comsat 110,500 2,279
Lightbridge* 39,300 919
---------
3,407
---------
TRUCKING -- 1.0%
Arkansas Best* 57,600 605
Arnold Industries 6,300 81
Roadway Express 132,900 2,691
US Freightways 92,500 3,463
Yellow* 34,150 630
---------
7,470
---------
15
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP
VALUE FUND--CONCLUDED
-------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
WHOLESALE -- 0.4%
Aviall* 136,500 $ 1,152
Handleman* 69,100 613
United Stationers* 40,900 1,460
---------
3,225
---------
Total Common Stocks
(Cost $666,860) 683,825
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
6.063%, 11/09/00 (A) (B) $ 1,500 1,446
---------
Total U.S. Treasury Obligation
(Cost $1,446) 1,446
---------
REPURCHASE AGREEMENTS -- 5.1%
Merrill Lynch
5.460%, dated 03/31/00, matures
04/03/00, repurchase price
$3,824,094 (collateralized by various
U.S. Treasury Obligations,
total par value $5,980,000, 5.75%-
10.620%, 06/30/01-08/15/15,
total market value: $8,408,728) 3,284 3,284
Morgan Stanley
6.030%, dated 03/31/00, matures
04/03/00, repurchase price
$33,552,748 (collateralized by
Tennessee Valley Bonds, total
par value $35,589,000, 5.880%-
6.875%, 06/15/05-12/15/43,
total market value: $34,569,876) 33,553 33,553
---------
Total Repurchase Agreements
(Cost $36,837) 36,837
---------
Total Investments -- 100.1%
(Cost $705,143) 722,108
---------
Other Assets and Liabilities, Net -- (0.1%) (1,016)
---------
NET ASSETS:
Funds Shares of Class A (unlimited
authorization -- no par value) based
on 50,342,993 outstanding shares
of beneficial interest 705,596
Undistributed net investment income 1,606
Accumulated net realized loss on investments (3,289)
Net unrealized appreciation on futures 214
Net unrealized appreciation on investments 16,965
---------
Total Net Assets-- 100.0% $721,092
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $14.32
=========
SMALL CAP GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD. --- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
COMMON STOCKS -- 96.5%
AEROSPACE & DEFENSE -- 0.1%
Remec* 16,800 $ 848
---------
AGRICULTURE -- 0.0%
Agribrands International* 10,100 397
---------
AIR TRANSPORTATION -- 0.1%
Hawaiian Airlines* 553,300 1,245
---------
APPAREL/TEXTILES -- 1.6%
Columbia Sportswear* 134,600 3,298
Guess?* 24,800 794
Jones Apparel Group* 304,000 9,690
Phillips Van Heusen 297,600 2,288
Polo Ralph Lauren* 292,900 5,474
Quiksilver* 158,700 2,787
---------
24,331
---------
AUTOMOTIVE -- 0.0%
Aftermarket Technology* 42,800 535
---------
BANKS -- 0.9%
Bank United, Cl A 40,300 1,272
Greater Bay Bancorp 23,400 942
Imperial Bancorp* 118,800 3,683
Pacific Century Financial 140,400 2,852
PBOC Holdings* 140,500 1,264
Silicon Valley Bancshares* 41,500 2,983
West Coast Bancorp 10,000 98
---------
13,094
---------
BIOTECHNOLOGY -- 1.2%
Affymetrix* 6,400 950
CuraGen* 18,200 851
Genelabs Technologies* 46,400 287
Genzyme Transgenics* 108,500 2,170
Human Genome Sciences* 14,900 1,238
16
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Incyte Pharmaceuticals* 7,800 $ 682
Lynx Therapeutics* 129,300 3,847
Maxim Pharmaceuticals* 81,000 3,802
Millennium Pharmaceutical* 12,300 1,597
Neose Technologies* 49,300 1,587
Vical* 22,600 757
---------
17,768
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 3.1%
ACTV* 149,900 5,256
Citadel Communications* 91,300 3,852
Cox Radio, Cl A* 80,900 6,796
Cumulus Media* 63,200 908
Emmis Broadcasting* 112,100 5,213
Entercom Communications* 52,000 2,652
Getty Images* 63,300 2,275
Lamar Advertising* 36,300 1,652
Pegasus Communications* 37,600 5,292
Spanish Broadcasting System,
Cl A* 111,950 2,626
TMP Worldwide* 81,100 6,306
True North Communications 27,600 1,085
Valuevision International* 58,300 2,412
Westwood One* 23,400 848
---------
47,173
---------
BUILDING & CONSTRUCTION -- 0.7%
Dycom Industries* 119,100 5,806
EMCOR Group* 70,600 1,483
Insituform Technologies* 91,400 2,799
NVR* 12,200 659
---------
10,747
---------
BUILDING & CONSTRUCTION SUPPLIES -- 0.1%
Elcor 8,900 307
Simpson Manufacturing* 15,200 600
---------
907
---------
CHEMICALS -- 0.1%
Spartech 31,300 1,076
---------
COMMERCIAL SERVICES -- 3.0%
Aurora Biosciences* 69,700 2,849
Circle.com* 108,800 898
Comdisco 14,400 635
Concord EFS* 35,000 803
Corporate Executive Board* 103,100 5,232
Diamond Technology Partners* 32,800 2,157
Forrester Research* 29,050 1,576
Hall, Kinion & Associates* 18,000 433
Hooper Holmes 70,800 2,429
Horizon Offshore* 307,000 2,840
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Hotjobs.com Ltd* 228,000 $ 5,757
Learning Tree International* 106,900 3,795
Memberworks* 100,000 4,012
Professional Detailing* 47,200 1,180
Profit Recovery Group
International* 83,500 1,545
Quanta Services* 82,400 5,001
Student Advantage* 180,950 1,809
Teletech Holdings* 69,300 2,391
---------
45,342
---------
COMMUNICATIONS EQUIPMENT -- 4.6%
American Tower Systems* 146,300 7,224
Aware* 75,800 3,041
Breezecom Ltd.* 2,750 103
C-Cor Electronics* 12,400 608
Commscope* 118,900 5,425
Digital Lightwave* 27,400 1,707
Ditech Communications* 72,600 7,700
Efficient Networks* 85,300 13,285
Harmonic Lightwaves* 21,300 1,773
Next Level Communications* 31,000 3,371
NorthEast Optic Network* 10,400 879
Powerwave Technologies* 18,100 2,262
SBA Communications* 36,500 1,606
Spectrasite Holdings* 132,800 3,760
Tekelec* 15,200 564
Terayon Communication* 47,500 9,737
Tut Systems* 115,300 6,868
UTStarcom* 3,600 281
---------
70,194
---------
COMPUTERS & SERVICES -- 8.6%
Advanced Digital Information* 92,800 3,178
Apex* 178,200 6,616
ArrowPoint Communications* 1,000 118
Auspex Systems* 232,700 2,560
Axent Technologies* 21,100 397
Black Box* 60,500 4,189
Checkpoint Software* 18,200 3,113
Cybex Computer Products* 133,350 5,017
Digital Insight* 13,600 697
Digitas* 1,450 36
eLoyalty* 63,200 1,509
Emulex* 10,800 1,179
Entrust Technologies* 23,800 2,025
Extreme Networks* 46,100 3,642
FileNet* 133,300 3,966
Immersion* 57,800 3,468
In Focus Systems* 88,600 3,173
Integral Systems* 14,300 643
Interlink Electronics* 11,000 1,049
17
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP
GROWTH FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Intervoice* 144,900 $ 4,184
ISS Group* 69,800 8,132
M-Systems Flash Disk
Pioneers Ltd.* 2,300 122
McAfee.com* 18,200 941
Mentor Graphics* 310,700 4,699
Mercury Computer Systems* 41,500 2,028
Miami Computer Supply* 96,300 3,021
Micros Systems* 100,600 6,332
MMC Networks* 103,800 3,425
Natural Microsystems* 22,500 1,929
Netegrity* 153,300 10,501
Netsolve* 83,000 2,677
Paradyne Networks* 121,600 3,770
QRS* 53,950 4,060
Radiant Systems* 27,900 1,754
SanDisk* 66,200 8,109
Silicon Storage Technology* 117,800 8,702
SonicWALL* 57,900 3,858
Technology Solutions* 458,700 4,186
Three-Five Systems* 47,200 2,832
---------
131,837
---------
CONTAINERS & PACKAGING -- 0.2%
Longview Fibre 256,600 3,785
---------
DENTAL SUPPLIES & EQUIPMENT -- 0.0%
Patterson Dental* 17,000 650
---------
DRUGS -- 7.0%
Abgenix* 39,500 5,456
Accredo Health* 196,950 6,524
Algos Pharmaceuticals* 82,000 1,179
Alkermes* 73,500 6,799
Amylin Pharmaceticals* 50,200 681
Andrx* 34,100 3,939
Anesta* 51,900 687
Antigenics* 21,000 428
Barr Laboratories* 165,900 6,968
Biomatrix* 112,100 2,859
Celgene* 84,500 8,413
Cephalon* 197,200 7,395
ChiRex* 63,900 1,230
Connetics* 116,000 1,066
Cubist Pharmaceuticals* 206,500 8,647
Dura Pharmaceuticals* 85,000 1,047
GelTex Pharmaceuticals* 75,100 1,258
Gilead Sciences* 39,000 2,472
ICN Pharmaceuticals 83,200 2,267
ImClone Systems* 9,300 715
IVAX* 151,300 4,123
Jones Pharmaceuticals 159,575 4,847
King Pharmaceuticals* 102,400 3,226
Medarex* 42,400 2,131
Medicis Pharmaceutical, Cl A* 82,900 3,316
NBTY* 401,700 5,498
Neurocrine Biosciences Inc* 15,300 356
Noven Pharmaceuticals* 33,700 369
OraPharma* 9,600 178
Pharmacopeia* 21,300 1,044
Pharmacyclics* 126,500 7,044
Sangstat Medical* 32,900 911
SICOR* 378,400 3,926
---------
106,999
---------
ELECTRICAL COMPONENTS & EQUIPMENT-- 1.4%
American Superconductor* 105,500 4,695
Belden 44,700 1,229
C-Cube Microsystems* 12,300 896
Cable Design Technologies* 105,700 3,587
Littelfuse* 36,600 1,343
Power-One* 148,200 8,949
---------
20,699
---------
ELECTRICAL SERVICES -- 0.3%
Calpine* 6,000 564
Independent Energy Holdings
PLC ADR* 74,000 3,321
---------
3,885
---------
ELECTRONICS -- 7.5%
ANADIGICS* 31,950 2,109
California Amplifier* 67,500 2,092
Coherent* 14,100 733
Credence Systems* 111,400 13,939
Cymer* 166,700 8,335
Dii Group* 62,500 7,066
DSP Group* 17,800 1,175
Electro Scientific Industries* 151,200 8,770
FEI* 272,100 8,095
Integrated Device Technology* 311,100 12,327
KEMET* 134,100 8,482
Kent Electronics* 170,200 4,968
L-3 Communications* 91,600 4,763
Microchip Technology* 65,250 4,290
Nanometrics* 39,300 1,916
Newport 2,800 378
Pericom Semiconductor* 25,800 921
Photon Dynamics* 25,500 1,759
Power Integration* 107,500 2,687
Robotic Vision Systems* 234,000 3,744
Sawtek* 75,100 3,947
Sensormatic Electronics* 341,100 7,653
Universal Electronics* 26,800 650
Veeco Instruments* 31,800 2,353
Vishay Intertechnology* 36,100 2,008
---------
115,160
---------
18
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
ENTERTAINMENT -- 1.7%
Aztar* 248,900 $ 2,365
Macrovision* 173,400 14,934
Pinnacle Entertainment* 29,700 603
Station Casinos* 43,300 944
Zomax* 113,400 6,832
---------
25,678
---------
FINANCIAL SERVICES -- 2.3%
Affiliated Managers Group* 86,700 4,118
Americredit* 43,700 713
Doral Financial 49,900 564
Eaton Vance 26,200 1,125
Financial Federal* 159,100 2,894
Friedman, Billings, Ramsey
Group, Ser A* 213,200 2,319
Knight/Trimark Group* 54,500 2,779
Legg Mason 30,700 1,328
Metris 213,600 8,304
Morgan Keegan 74,300 1,300
Nextcard* 170,900 2,614
Raymond James Financial 50,500 1,048
Waddell & Reed Financial, Cl A 136,500 5,776
---------
34,882
---------
FOOD, BEVERAGE & TOBACCO -- 0.5%
Del Monte Foods* 304,100 3,250
Hain Food Group* 42,500 1,203
Wild Oates Markets* 134,700 2,761
---------
7,214
---------
HOTELS & LODGING -- 0.2%
Fours Seasons Hotel 65,100 2,934
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.9%
Furniture Brands International* 191,000 3,593
Polycom* 64,800 5,131
Salton/Maxim Housewares* 121,100 5,253
---------
13,977
---------
LEASING & RENTING -- 0.0%
Avis Rent-A-Car* 40,900 721
---------
LEISURE PRODUCTS -- 0.4%
Callaway Golf 293,800 4,554
Direct Focus* 82,600 2,297
---------
6,851
---------
MACHINERY -- 1.7%
Advanced Energy Industries* 28,300 1,443
Applied Science & Technology* 24,100 729
Asyst Technologies* 33,700 1,971
Brooks Automation* 69,700 4,356
Cognex* 103,500 5,971
Donaldson 40,400 912
Gasonics International* 49,800 1,975
Helix Technology 80,300 4,823
Kulicke & Soffa Industries* 51,800 3,318
---------
25,498
---------
MEASURING DEVICES -- 0.1%
Cyberoptics* 24,000 1,018
---------
MEDICAL PRODUCTS & SERVICES -- 3.9%
Apria Healthcare Group* 56,400 814
Biosite Diagnostics* 65,700 1,601
Columbia Laboratories* 267,400 3,142
Cooper 68,100 2,192
Cytyc* 332,400 16,038
First Health Group* 34,100 1,078
LifePoint Hospitals* 157,700 2,622
Lincare Holdings* 79,300 2,250
MedQuist* 100,200 2,724
PolyMedica* 255,000 14,981
Quest Diagnostics* 132,800 5,279
Res-Care Inc* 190,400 1,785
Resmed* 33,500 2,391
Sun Healthcare Group* 16,800 601
Techne* 24,600 1,697
Triad Hospitals* 35,200 590
---------
59,785
---------
METAL FABRICATE/HARDWARE -- 0.5%
Maverick Tube* 130,200 4,223
Precision Castparts 80,500 2,938
---------
7,161
---------
METALS & MINING -- 0.2%
Stillwater Mining* 82,900 3,316
---------
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
Pegasystems* 33,200 398
Startek* 50,300 3,710
---------
4,108
---------
PETROLEUM & FUEL PRODUCTS -- 4.0%
BJ Services* 13,800 1,019
Callon Petroleum* 93,800 1,137
Devon Energy 75,000 3,642
Hanover Compressor* 32,400 1,843
Key Energy Group* 214,500 2,494
Marine Drilling* 145,100 3,981
Murphy Oil 39,400 2,270
National-Oilwell* 187,000 5,774
Newfield Exploration* 43,300 1,526
Oceaneering International* 148,800 2,790
19
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP
GROWTH FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Patterson Energy* 356,100 $ 11,306
Pogo Producing 120,600 3,445
Precision Drilling* 151,700 5,063
Santa Fe Snyder* 260,500 2,507
UTI Energy* 247,800 9,354
Vintage Petroleum 180,300 3,629
---------
61,780
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.0%
Concord Camera* 4,200 231
---------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Pinnacle Holdings* 114,600 6,332
---------
RETAIL -- 3.3%
Charming Shoppes* 382,700 2,177
Cheesecake Factory* 63,800 2,656
Dollar Tree Stores* 96,937 5,053
Duane Reade* 117,800 2,739
HomeGrocer.com* 30,100 312
Hot Topic* 24,200 847
iGo* 152,200 1,094
Intimate Brands 173,600 7,118
Kenneth Cole Productions* 131,850 5,175
lastminute.com* 850 16
Onvia.com* 9,950 210
Pacific Sunwear of California* 207,400 7,985
PC Connection* 84,800 2,396
P.F Changs China Bistro* 37,000 1,226
Talbots 8,600 506
Tiffany 33,800 2,827
Too* 114,400 3,611
Tweeter Home Entertainment
Group* 111,400 4,929
---------
50,877
---------
RETIREMENT/AGED CARE -- 0.1%
Sunrise Assisted Living* 67,600 896
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 6.0%
Act Manufacturing* 108,400 6,064
Actel* 120,300 4,293
Alpha Industries* 24,500 2,327
Artisan Components* 30,600 601
ATMI* 146,800 7,010
Burr-Brown* 80,700 4,388
Cree Research* 39,500 4,459
Exar* 18,650 1,335
Fairchild Semiconductor
International, Cl A* 125,700 4,588
GlobeSpan* 44,200 4,506
Insilicon* 1,750 28
Integrated Measurement
Systems* 73,400 1,491
International Rectifier* 129,500 4,937
Lam Research* 18,000 811
Lattice Semiconductor* 110,400 7,473
LTX* 167,100 7,551
Mips Technologies* 173,200 9,634
Photronics Labs* 130,700 4,615
Qlogic* 14,200 1,924
Rudolph Technologies* 24,400 1,098
Semtech* 7,600 487
Silicon Laboratories* 1,750 155
Silicon Valley Group* 107,800 2,964
Transwitch* 25,250 2,427
Triquint Semiconductor* 88,700 6,519
---------
91,685
---------
SOFTWARE -- 24.4%
24/7 Media* 103,900 4,104
Accrue Software* 110,200 5,047
Actuate* 44,400 2,389
Acxiom* 156,400 5,200
Advent Software* 128,300 5,886
Allscripts* 137,100 8,243
AppliedTheory* 63,000 1,315
Art Technology Group* 12,000 788
AsiaInfo Holdings* 500 30
Audible* 111,900 1,119
Avt* 29,700 351
Be Free Inc* 54,500 1,199
Bea Systems* 56,600 4,153
Blaze Software* 68,600 1,955
Brio Technology* 83,300 3,145
Broadbase Software* 75,100 5,989
Business Objects* 25,500 2,537
Caldera Systems* 17,500 411
Caminus* 108,600 2,172
Clarus* 22,600 1,596
Concentric Network* 138,450 7,615
Covad Communications Group* 65,100 4,720
Crayfish Ltd.* 350 13
Cysive Inc* 89,150 6,107
Delano Technology* 22,500 505
Digex* 61,000 6,767
Digimarc* 258,800 11,387
Digital Island* 26,650 1,624
Dset* 92,200 1,700
Dsl.net* 119,600 2,639
Eclipsys* 144,800 2,805
Eprise* 2,100 33
Exchange Applications* 202,800 10,733
Extensity* 36,350 1,745
FairMarket* 4,850 110
Firepond* 107,600 4,405
FirstWorld Communications* 75,150 1,531
Geoworks* 12,500 445
20
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Globix* 44,100 $ 1,681
Go2Net* 25,800 2,079
Homestore.com* 52,300 2,550
InfoCure* 226,700 3,939
Informatica* 137,400 10,554
Informix* 735,350 12,455
Integrated Information Systems* 27,700 604
Interactive Intelligence* 64,800 2,786
IntraNet Solutions* 155,400 7,148
Intraware* 41,300 1,706
ITXC* 61,950 2,916
Keynote Systems* 23,400 2,393
Lifeminders.com* 110,400 7,493
Liquid Audio* 92,000 1,219
Loudeye Technologies* 3,050 106
Macromedia* 86,500 7,812
MapInfo* 29,000 1,131
Media Metrix* 95,500 4,011
Mercury Interactive* 30,600 2,425
MessageMedia* 156,200 1,982
Micromuse* 79,000 10,966
Moldflow* 92,200 1,562
MyPoints.com* 141,050 3,782
National Information
Consortium* 123,850 4,304
National Instruments* 94,700 4,445
NaviSite* 41,800 5,089
NetCreations* 117,900 5,011
Netiq* 194,000 12,962
Netopia* 86,650 6,233
Netpliance* 2,550 37
NetSpeak* 23,300 499
Network Solutions* 45,600 7,009
NVIDIA* 14,800 1,250
Optimal Robotics* 14,900 700
Peregrine Systems* 166,100 11,139
Pinnacle Systems* 25,200 838
Pixar* 60,500 2,159
Preview Systems* 18,400 871
Prime Response* 18,550 283
Primus Knowledge Solution* 56,200 4,833
ProBusiness Services* 95,800 2,473
Progress Software* 81,700 1,915
Proxicom* 85,100 3,771
PSINet* 123,100 4,187
Quest Software* 43,500 4,905
RADVision Ltd.* 1,150 60
Register.com* 17,950 1,248
Remedy* 124,500 5,245
Sagent Technology* 186,800 5,382
Scient* 48,250 4,376
Scientific Learning* 99,500 2,550
Selectica* 3,350 296
SERENA Software* 43,200 1,377
Silknet Software Com* 4,500 466
Silverstream Software* 58,000 4,285
Sportsline USA* 94,300 2,776
Switchboard* 2,650 91
Sybase* 96,800 1,966
Symantec* 68,700 5,161
Tibco Software* 36,150 2,946
TSI International Software, Ltd.* 133,600 11,097
Universal Access* 1,650 55
Usinternetworking* 97,725 3,787
Verio* 121,200 5,462
Versata* 79,350 4,776
Vignette* 9,650 1,546
Vitria Technology* 34,900 3,518
Watchguard Technologies* 26,550 2,389
Websense* 4,000 192
Wind River Systems* 17,204 624
Xcare.net* 35,800 515
---------
372,912
---------
STEEL/STEEL WORKS -- 0.1%
Lone Star Technologies* 42,000 1,958
---------
TELEPHONES & TELECOMMUNICATION -- 4.5%
Allegiance Telecommunications* 87,700 7,071
Caprock Communications* 100,000 4,900
Copper Mountain Networks* 83,300 6,825
Crown Castle International* 73,700 2,791
CTC Communications Group* 164,250 7,001
Dobson Communications* 104,400 2,401
Electric Lightwave* 176,500 4,214
Gt Group Telecom, Cl B* 550 11
iBasis* 24,600 1,010
ITC Deltacom* 48,800 1,739
Latitude Communication* 142,500 3,741
Lightbridge* 54,200 1,267
MasTec* 26,700 2,376
Metricom* 24,600 1,141
Metrocall* 426,400 4,264
MGC Communications* 10,100 722
Net2000 Communications* 1,950 46
Price Communications* 54,540 1,254
Primus Telecommunications
Group* 88,600 4,580
TALK.com* 36,200 579
Telocity* 5,400 67
ViaSat* 23,300 1,678
Viatel* 86,200 4,326
WebLink Wireless* 41,900 560
Z-Tel Technologies* 111,200 4,670
---------
69,234
---------
21
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
SMALL CAP
GROWTH FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
TRUCKING -- 0.3%
Forward Air* 146,500 $ 3,470
Landstar System* 27,400 1,500
---------
4,970
---------
WHOLESALE -- 0.2%
SCP Pool* 104,500 3,200
---------
Total Common Stocks
(Cost $982,093) 1,473,890
---------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill
6.024-6.150%, 11/09/00 (A) (B) $ 1,000 964
---------
Total U.S. Treasury Obligation
(Cost $964) 964
---------
REPURCHASE AGREEMENT -- 3.5%
J.P. Morgan
6.100%, dated 03/31/00, matures
04/03/00, repurchase price
$54,199,340 (collateralized by
FNMA Obligation, par value
$55,632,000, 05/11/00, total
market value: $55,284,189) 54,199 54,199
---------
Total Repurchase Agreement
(Cost $54,199) 54,199
---------
MONEY MARKET -- 0.3%
Evergreen Select Money
Market, Cl I 4,435 4,435
---------
Total Money Market
(Cost $4,435) 4,435
---------
Total Investments -- 100.4%
(Cost $1,041,691) 1,533,488
---------
Other Assets and Liabilities, Net -- (0.4%) (5,437)
---------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 45,728,553 outstanding shares
of beneficial interest $ 697,635
Fund Shares of Class D (unlimited
authorization -- no par value) based
on 145,012 outstanding shares of
beneficial interest 2,830
Net investment loss (5,041)
Accumulated net realized gain on investments 341,578
Net unrealized depreciation on futures (748)
Net unrealized appreciation on investments 491,797
----------
Total Net Assets -- 100.0% $1,528,051
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $33.31
==========
Net Asset Value and Redemption
Price Per Share -- Class D $32.43
==========
Maximum Offering Price Per Share --
Class D (32.43 (DIVIDE) 95%) $34.14
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
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
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 97.9%
AEROSPACE & DEFENSE -- 1.2%
General Dynamics 5,600 $ 279
Litton Industries* 4,400 194
---------
473
---------
AIR TRANSPORTATION -- 1.1%
Delta Air Lines 6,200 330
UAL* 1,600 96
---------
426
---------
22
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
APPAREL/TEXTILES -- 0.7%
Jones Apparel Group* 3,700 $ 118
Mohawk Industries* 7,600 170
---------
288
---------
AUTOMOTIVE -- 0.4%
Lear* 2,700 76
Navistar International* 2,200 88
---------
164
---------
BANKS -- 4.2%
Amsouth Bancorp 6,100 91
Astoria Financial 3,100 88
Charter One Financial 15,635 328
City National 7,400 249
Comerica 4,500 188
Commerce Bancshares 2,700 84
Golden State Bancorp* 11,800 176
Hibernia, Cl A 11,200 118
Pacific Century Financial 9,500 193
TCF Financial 6,900 164
---------
1,679
---------
BEAUTY PRODUCTS -- 0.2%
Alberto-Culver, Cl B 3,300 79
---------
BIOTECHNOLOGY -- 1.3%
Biogen* 2,800 196
Genzyme* 1,100 55
Immunex* 3,900 247
---------
498
---------
BROADCASTING, NEWSPAPERS & ADVERTISING-- 4.1%
Adelphia Communications, Cl A* 1,200 59
AMFM* 1,100 68
Catalina Marketing* 1,700 172
Interpublic Group 4,800 227
Meredith 5,700 158
Tribune 8,500 311
TV Guide* 1,300 62
UnitedGlobalCom, Cl A* 1,200 90
Univision Communications* 4,300 486
---------
1,633
---------
BUILDING & CONSTRUCTION SUPPLIES-- 0.5%
Johns Manville 9,300 102
USG 2,700 113
---------
215
---------
CHEMICALS -- 0.2%
Praxair 1,800 75
---------
COMMERCIAL SERVICES -- 1.0%
Acnielsen* 10,800 243
H&R Block 2,400 107
Viad 2,600 60
---------
410
---------
COMMUNICATIONS EQUIPMENT -- 3.6%
ADC Telecommunications* 5,200 280
CIENA* 1,800 227
Comverse Technology* 800 151
JDS Uniphase* 4,800 579
RF Micro Devices* 700 94
Scientific-Atlanta 1,400 89
---------
1,420
---------
COMPUTERS & SERVICES -- 6.6%
Adaptec* 4,700 182
Apple Computer* 2,100 285
Computer Sciences* 1,100 87
DST Systems* 1,500 97
Gateway* 2,200 117
Lexmark International Group* 1,400 148
MarchFirst* 865 31
NCR* 3,200 128
Network Appliance* 3,400 281
Quantum -DLT & Storage
Systems* 11,000 131
SunGard Data Systems* 3,400 128
Unisys* 7,200 184
VeriSign* 1,000 150
VERITAS Software* 5,175 678
---------
2,627
---------
CONTAINERS & PACKAGING -- 0.5%
Ball 3,900 135
Smurfit-Stone Container* 3,800 64
---------
199
---------
DRUGS -- 1.1%
Forest Laboratories* 900 76
ICN Pharmaceuticals 3,800 104
IVAX* 2,500 68
MedImmune* 800 139
Sepracor* 600 44
---------
431
---------
ELECTRICAL SERVICES -- 7.4%
Allegheny Energy 5,200 143
Conectiv 4,700 82
Constellation Energy Group 4,100 131
DTE Energy 7,600 220
Entergy 7,700 155
FirstEnergy 11,100 229
23
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
MID-CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
General Public Utilities 7,300 $ 200
Pinnacle West Capital 11,900 335
PPL 15,700 329
Public Service Enterprise Group 11,500 341
Reliant Energy 29,400 689
Utilicorp United 4,300 78
---------
2,932
---------
ELECTRONICS -- 4.9%
Arrow Electronics* 5,400 190
Avnet 1,400 88
Jabil Circuit* 2,200 95
Johnson Controls 5,500 297
Linear Technology 1,600 88
Maxim Integrated Products* 3,300 235
Millipore 2,500 141
PE-PE Biosystems Group 1,500 145
Sanmina* 1,600 108
SCI Systems* 3,200 172
Symbol Technologies 700 58
Vitesse Semiconductor* 1,700 164
Waters* 1,900 181
---------
1,962
---------
FINANCIAL SERVICES -- 3.3%
AG Edwards & Sons 2,600 104
Ameritrade Holding Cl A* 800 17
Bear Stearns 4,815 220
CIT Group, Cl A 8,000 156
E*trade* Group* 2,600 78
FINOVA Group 3,600 61
Lehman Brothers Holdings 3,400 330
PaineWebber Group 7,800 343
---------
1,309
---------
FOOD, BEVERAGE & TOBACCO -- 1.9%
Dean Foods 4,500 120
IBP 15,000 236
Keebler Foods 3,500 100
SUPERVALUE 16,400 311
---------
767
---------
GAS/NATURAL GAS -- 1.5%
El Paso Natural Gas 1,900 77
KeySpan 18,500 511
Sempra Energy 1,324 22
---------
610
---------
HAND/MACHINE TOOLS -- 0.7%
Black & Decker 4,700 177
SPX* 1,000 114
---------
291
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.3%
Whirlpool 2,100 123
---------
HOUSEHOLD PRODUCTS -- 0.3%
American Greetings, Cl A 3,500 64
Dial 4,700 65
---------
129
---------
INSURANCE -- 3.5%
Allmerica Financial 5,400 275
AMBAC Financial Group 5,500 277
Conseco 10,800 124
Lincoln National 2,600 87
Loews 1,800 90
MGIC Investment 5,500 240
PMI Group 6,300 299
---------
1,392
---------
LEASING & RENTING -- 0.2%
United Rentals* 4,600 79
---------
LEISURE PRODUCTS -- 0.9%
Brunswick 9,200 174
Galileo International 7,600 183
---------
357
---------
MACHINERY -- 2.0%
Briggs & Stratton 3,800 156
Cummins Engine 4,100 154
Dover 5,600 268
Ingersoll Rand 4,600 204
---------
782
---------
MEDICAL PRODUCTS & SERVICES -- 2.9%
Allergan 2,200 110
Beckman Coulter 1,300 83
C.R. Bard 1,400 54
Mallinckrodt 8,900 256
Pacificare Health Systems* 6,200 309
St. Jude Medical* 2,800 72
Tenet Healthcare* 3,100 71
United HealthCare* 1,900 113
Wellpoint Health Networks* 1,200 84
---------
1,152
---------
METALS & MINING -- 0.3%
Newmont Mining 5,100 114
---------
MISCELLANEOUS MANUFACTURING -- 3.3%
Carlisle 4,500 180
Eaton 2,800 218
FMC* 6,100 345
ITT Industries 5,100 158
24
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Lancaster Colony 5,000 $ 153
Pentair 3,400 126
PPG Industries 2,600 136
---------
1,316
---------
PAINT & RELATED PRODUCTS -- 0.4%
Sherwin-Williams 6,800 149
---------
PAPER & PAPER PRODUCTS -- 1.5%
Boise Cascade 2,900 101
Georgia-Pacific 10,300 408
Willamette Industries 2,400 96
---------
605
---------
PETROLEUM & FUEL PRODUCTS -- 5.4%
Apache 4,100 204
BJ Services* 3,900 288
Ensco International 5,200 188
Kerr-McGee 3,100 179
Noble Drilling* 5,600 232
Occidental Petroleum 19,000 394
Tidewater 3,300 105
Tosco 6,100 186
USX-Marathon Group 14,700 383
---------
2,159
---------
RAILROADS -- 0.6%
Kansas City Southern Industries 3,000 258
---------
REAL ESTATE INVESTMENT TRUSTS -- 1.5%
Apartment Investment &
Management 3,100 118
Crescent Real Estate Equities 3,900 68
Equity Office Properties Trust 9,400 236
New Plan Excel Realty Trust 5,600 77
Prologis Trust 4,300 83
---------
582
---------
RETAIL -- 3.3%
AutoZone* 3,100 86
Barnes & Noble* 4,700 108
Best Buy* 1,300 112
Brinker International* 4,000 119
Circuit City Stores-Circuit
City Group 1,600 97
Claire's Stores 4,400 88
Linens 'N Things* 3,800 130
Office Depot* 9,700 112
Ross Stores 4,600 111
TJX 8,100 180
Zale* 3,100 146
---------
1,289
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 10.4%
Advanced Micro Devices* 3,000 171
Altera* 1,700 152
Analog Devices* 5,000 403
Applied Micro Circuits* 1,800 270
Atmel* 3,100 160
Broadcom, Cl A* 1,300 316
Conexant Systems* 1,700 121
KLA-Tencor* 2,800 236
LSI Logic* 4,000 291
Micron Technology* 2,700 340
National Semiconductor* 2,000 121
Novellus Systems* 2,200 124
PMC-Sierra* 1,900 387
Qlogic* 1,400 190
SDL* 800 170
Teradyne* 3,200 263
Xilinx* 4,800 398
---------
4,113
---------
SOFTWARE -- 9.0%
3Com* 2,400 134
Adobe Systems 2,500 278
Autodesk 1,900 86
Bea Systems* 2,400 176
Citrix Systems* 3,000 199
CMG Information Services* 2,400 272
CNET Networks* 500 25
Covad Communications Group* 1,100 80
Critical Path* 200 17
Doubleclick* 1,100 103
EarthLink* 884 17
Exodus Communications* 2,100 295
Fiserv* 5,600 208
go.com* 700 15
Healtheon* 300 7
i2 Technologies* 1,200 147
IMS Health 4,200 71
InfoSpace.com* 600 87
Inktomi* 900 176
Lycos* 1,000 70
Macromedia* 500 45
Network Solutions* 400 62
Networks Associates* 4,000 129
Novell* 3,700 106
Portal Software* 200 11
PSINet* 1,100 37
Real Networks* 800 46
Rhythms NetConnections* 800 29
Siebel Systems* 2,300 275
Sterling Software* 6,500 198
Symantec* 1,300 98
25
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
MID CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Verio* 800 $ 36
Vignette* 300 48
---------
3,583
---------
STEEL/STEEL WORKS -- 0.9%
Nucor 2,500 125
USX-US Steel Group 8,800 220
---------
345
---------
TELEPHONES & TELECOMMUNICATION -- 4.3%
Allegiance Telecommunications* 1,300 105
Centurytel 3,150 117
General Motors, Cl H* 900 112
McLeodUSA, Cl A* 1,000 85
Nextel Communications, Cl A* 2,200 326
Nextlink Communications* 1,500 186
NTL* 1,406 131
PanAmSat* 2,400 118
Telephone & Data Systems 1,500 167
United States Cellular* 2,000 142
Voicestream Wireless* 1,500 193
---------
1,682
---------
WHOLESALE -- 0.5%
Tech Data* 5,800 191
---------
Total Common Stocks
(Cost $31,759) 38,888
---------
REPURCHASE AGREEMENT -- 2.7%
J.P. Morgan
5.800%, dated 03/31/00, matures
04/03/00, repurchase price
$1,080,269 (collateralized by
U.S. Treasury Notes, total par
value $1,097,353, 7.500%,
02/15/05, total market value:
$1,107,089) $1,080 1,080
---------
Total Repurchase Agreement
(Cost $1,080) 1,080
---------
Total Investments -- 100.6%
(Cost $32,839) 39,968
---------
Other Assets and Liabilities, Net-- (0.6%) (233)
---------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 2,334,541 outstanding shares
of beneficial interest $32,033
Undistributed net investment income 20
Accumulated net realized gain on investments 553
Net unrealized appreciation on investments 7,129
---------
Total Net Assets-- 100.0% $39,735
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $17.02
=========
*NON-INCOME PRODUCING SECURITY
CL -- CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPITAL APPRECIATION FUND
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 90.1%
BANKS -- 4.4%
Bank of America 800 $ 42
Chase Manhattan 1,800 157
Comerica 6,600 276
Firstar 1,200 28
Fleet Boston Financial 12,867 470
Mellon Financial 13,200 389
U.S. Bancorp 19,600 429
UnionBanCal 400 11
Washington Mutual 21,688 575
---------
2,377
---------
BEAUTY PRODUCTS -- 0.9%
Avon Products 12,100 352
Procter & Gamble 2,200 124
---------
476
---------
BROADCASTING, NEWSPAPERS & ADVERTISING-- 4.0%
CBS* 3,200 181
Charter Communications* 8,700 125
Gannett 2,800 197
Interpublic Group 10,000 473
Knight-Ridder 4,700 239
Mediaone Group* 5,500 446
New York Times, Cl A 500 22
Time Warner 1,100 110
Viacom, Cl B* 7,000 369
---------
2,162
---------
26
<PAGE>
-------------------------------------------------------------
-------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------
BUILDING & CONSTRUCTION SUPPLIES -- 1.3%
Masco 33,200 $ 681
---------
CHEMICALS -- 0.7%
Air Products & Chemicals 13,400 381
---------
COMMERCIAL SERVICES -- 1.8%
Cendant* 34,554 639
Ecolab 9,800 360
---------
999
---------
COMMUNICATIONS EQUIPMENT -- 3.4%
ADC Telecommunications* 13,400 722
Lucent Technologies 10,934 664
Nortel Networks 3,600 454
---------
1,840
---------
COMPUTERS & SERVICES -- 14.8%
Ceridian* 28,100 539
Cisco Systems* 31,200 2,412
Computer Sciences* 4,900 388
Dell Computer* 3,900 210
EMC* 5,900 738
Hewlett Packard 4,700 623
IBM 14,300 1,687
Sun Microsystems* 15,500 1,452
---------
8,049
---------
DRUGS -- 7.7%
American Home Products 6,200 333
Bristol-Myers Squibb 11,900 687
Cardinal Health 16,400 752
Eli Lilly 4,950 312
Merck 10,100 627
Schering Plough 13,600 500
Warner Lambert 9,900 965
---------
4,176
---------
ENTERTAINMENT -- 0.1%
SFX Entertainment* 1,300 53
---------
ENVIRONMENTAL SERVICES -- 0.0%
Republic Services, Cl A* 400 4
---------
FINANCIAL SERVICES -- 0.0%
Associates First Capital 300 6
Freddie Mac 300 13
---------
19
---------
FOOD, BEVERAGE & TOBACCO -- 6.0%
Anheuser Busch 900 56
Coca-Cola 11,000 516
Coca-Cola Enterprises 100 2
ConAgra 8,700 158
Flowers Industries 500 8
Kroger* 35,400 622
Nabisco Group Holdings 28,200 338
Pepsi Bottling Group 16,000 320
PepsiCo 10,300 356
Ralston-Ralston Purina Group 4,300 118
U.S. Foodservice* 28,390 731
---------
3,225
---------
HOUSEHOLD PRODUCTS -- 0.3%
Dial 8,300 114
Fortune Brands 2,900 73
---------
187
---------
INSURANCE -- 2.9%
Ace Ltd. 15,300 350
American International Group 4,599 504
CIGNA 1,000 76
Conseco 14,000 160
Radian Group 2,800 133
Torchmark 4,700 109
Unumprovident 14,400 245
---------
1,577
---------
LEASING & RENTING -- 0.6%
United Rentals* 19,600 338
---------
LEISURE PRODUCTS -- 1.2%
Carnival 4,000 99
Hasbro 2,300 38
Royal Caribbean Cruises Ltd. 12,300 344
Sabre Holdings* 3,883 143
---------
624
---------
MEDICAL PRODUCTS & SERVICES -- 2.8%
Bausch & Lomb 2,200 115
Baxter International 6,200 389
Healthsouth Rehabilitation* 13,201 73
Johnson & Johnson 6,100 427
Tenet Healthcare* 22,100 508
---------
1,512
---------
MISCELLANEOUS MANUFACTURING -- 10.2%
General Electric 12,100 1,878
Honeywell International 9,787 516
Illinois Tool Works 6,000 332
Minnesota Mining &
Manufacturing 3,100 275
Textron 12,100 737
Tyco International Ltd. 35,976 1,794
---------
5,532
---------
PETROLEUM & FUEL PRODUCTS -- 4.2%
Burlington Resources 8,500 315
Conoco 21,000 538
27
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CAPITAL APPRECIATION--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Halliburton 4,100 $ 168
Kerr-McGee 6,600 381
Texaco 9,100 488
Unocal 12,600 375
---------
2,265
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.3%
Eastman Kodak 3,400 185
---------
RETAIL -- 8.9%
Bed Bath & Beyond* 6,000 236
Brinker International* 15,600 463
CVS 21,500 808
Family Dollar Stores 8,600 179
Linens 'N Things* 9,000 308
Lowe's 21,600 1,261
Office Depot* 36,850 426
Saks* 4,400 64
Tandy 20,900 1,061
---------
4,806
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.8%
Analog Devices* 4,200 338
Intel 10,000 1,319
Texas Instruments 6,000 960
---------
2,617
---------
SOFTWARE -- 4.6%
BMC Software* 2,700 133
Microsoft* 21,950 2,332
---------
2,465
---------
TELEPHONES & TELECOMMUNICATION -- 2.7%
Centurytel 12,800 475
GTE 400 28
MCI WorldCom* 6,695 303
Sprint (FON Group) 4,700 296
US West 5,100 370
---------
1,472
---------
TRUCKING -- 0.6%
United Parcel Service 5,200 328
---------
WHOLESALE -- 0.9%
Costco Wholesale* 9,400 494
---------
Total Common Stocks
(Cost $31,609) 48,844
---------
CONVERTIBLE PREFERRED STOCK -- 0.2%
PETROLEUM REFINING -- 0.2%
Unocal, Convertible to 1.1748 Shares,
Callable 09/03/00 @ 50 2,000 $ 88
---------
Total Convertible Preferred Stock
(Cost $87) 88
---------
CONVERTIBLE BONDS -- 2.3%
Anadarko Petroleum
0.000%, 03/07/20 $ 400 219
Clear Channel Communications,
Convertible to 9.45 shares
1.500%, 12/01/02 300 279
Potomac Electric Power,
Convertible to 29.50 shares
5.000%, 09/01/02 603 570
Solectron,
Convertible to 14.944 shares
0.000%, 01/27/19 300 200
---------
Total Convertible Bonds
(Cost $1,226) 1,268
---------
U.S. TREASURY OBLIGATION -- 0.9%
U.S. Treasury Bill
6.109%, 11/09/00 (A) (B) 500 482
---------
Total U.S. Treasury Obligation
(Cost $482) 482
---------
REPURCHASE AGREEMENT -- 6.8%
J.P. Morgan
6.100%, dated 03/31/00, matures
04/03/00, repurchase price $3,689,618
(collateralized by various FNMA
obligations, par value $4,305,781,
6.000% 12/01/28-04/01/29,
total market value: $3,763,410) 3,690 3,690
---------
Total Repurchase Agreement
(Cost $3,690) 3,690
---------
Total Investments -- 100.3%
(Cost $37,094) 54,372
---------
Other Assets and Liabilities, Net-- (0.3%) (147)
---------
28
<PAGE>
----------------------------------------------------------------
----------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
----------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 4,641,509 outstanding shares
of beneficial interest $ 28,948
Undistributed net investment income 113
Accumulated net realized gain on investments 7,687
Net unrealized appreciation on futures 199
Net unrealized appreciation on investments 17,278
---------
Total Net Assets -- 100.0% $54,225
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $11.68
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. --- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 94.7%
AEROSPACE & DEFENSE -- 2.0%
BF Goodrich 15,575 $ 447
Boeing 8,375 318
Raytheon, Cl B 9,425 167
---------
932
---------
AUTOMOTIVE -- 2.0%
Dana 3,450 97
Ford Motor 7,950 365
General Motors 5,625 466
---------
928
---------
BANKS -- 10.2%
Bank of America 17,025 893
Bank of New York 11,375 473
Bank One 8,827 303
Chase Manhattan 6,875 599
Fifth Third Bancorp 1,400 88
First Union 11,600 432
Fleet Boston Financial 14,275 521
Mellon Financial 2,900 86
U.S. Bancorp 5,950 130
Washington Mutual 17,100 453
Wells Fargo 17,300 708
---------
4,686
---------
BEAUTY PRODUCTS -- 1.4%
Gillette 7,250 $ 273
Kimberly-Clark 6,150 344
---------
617
---------
BROADCASTING, NEWSPAPERS & ADVERTISING-- 2.8%
Harcourt General 8,195 305
Knight-Ridder 4,075 208
McGraw-Hill 2,425 110
Walt Disney 16,350 676
---------
1,299
---------
BUILDING & CONSTRUCTION -- 0.5%
Fluor 6,725 208
---------
BUILDING & CONSTRUCTION SUPPLIES-- 0.4%
Masco 8,125 167
---------
CHEMICALS -- 2.9%
Ashland 7,150 239
Dow Chemical 2,575 294
EI du Pont de Nemours 8,306 439
Engelhard 5,825 88
Hercules 4,625 75
Rohm & Haas 4,375 195
---------
1,330
---------
COAL MINING -- 0.0%
Arch Coal 1,759 12
---------
COMMERCIAL SERVICES -- 0.4%
Deluxe 7,250 192
---------
COMMUNICATIONS EQUIPMENT -- 3.6%
Lucent Technologies 11,975 728
Motorola 6,350 904
---------
1,632
---------
COMPUTERS & SERVICES -- 5.7%
Compaq Computer 17,575 468
Diebold 5,725 157
Electronic Data Systems 5,925 380
Hewlett Packard 9,325 1,236
IBM 3,225 381
---------
2,622
---------
DRUGS -- 2.1%
American Home Products 3,450 185
Merck 3,175 197
Pharmacia & Upjohn 9,600 569
---------
951
---------
29
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
EQUITY INCOME--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT-- 0.5%
Emerson Electric 4,700 $ 249
---------
ELECTRICAL SERVICES -- 3.2%
Constellation Energy Group 17,175 547
Duke Power 3,250 171
Edison International 7,450 123
PG&E 11,050 232
Southern 8,575 187
Texas Utilities 6,600 196
---------
1,456
---------
FINANCIAL SERVICES -- 9.4%
Associates First Capital 9,375 201
Bear Stearns 1,925 88
Citigroup 25,950 1,539
FNMA 10,000 564
Household International 12,400 463
Merrill Lynch 6,650 698
Morgan Stanley Dean Witter 9,075 740
---------
4,293
---------
FOOD, BEVERAGE & TOBACCO -- 2.7%
Albertson's 3,950 122
Coca-Cola 7,075 332
Hershey Foods 4,000 195
PepsiCo 7,025 243
Philip Morris 16,325 345
---------
1,237
---------
GAS/NATURAL GAS -- 2.7%
El Paso Natural Gas 9,400 380
Enron 6,650 498
Sempra Energy 12,050 202
Williams 3,400 149
---------
1,229
---------
GOLD -- 0.3%
Barrick Gold 8,600 135
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.3%
Whirlpool 2,000 117
---------
HOUSEHOLD PRODUCTS -- 0.1%
Newell Rubbermaid 1,075 27
---------
INSURANCE -- 4.2%
Aetna 2,550 142
American General 3,775 212
Jefferson Pilot 3,262 217
Lincoln National 3,468 116
Marsh & McLennan 3,650 403
MBIA 5,875 306
St. Paul 14,775 504
---------
1,900
---------
LEASING & RENTING -- 0.4%
Ryder System 7,375 167
---------
LEISURE PRODUCTS -- 0.5%
Brunswick 6,875 130
Mattel 8,275 86
---------
216
---------
MEDICAL PRODUCTS & SERVICES -- 1.3%
Baxter International 6,300 395
Mallinckrodt 6,875 198
---------
593
---------
METAL FABRICATE/HARDWARE -- 0.5%
Worthington Industries 18,625 231
---------
METALS & MINING -- 1.1%
Alcan Aluminum Ltd. 6,275 213
Alcoa 4,075 286
---------
499
---------
MISCELLANEOUS MANUFACTURING -- 2.9%
General Electric 2,050 318
Honeywell International 6,800 358
Illinois Tool Works 2,875 159
Minnesota Mining
& Manufacturing 3,800 337
PPG Industries 3,225 169
---------
1,341
---------
PAPER & PAPER PRODUCTS -- 1.0%
Weyerhaeuser 4,550 259
Willamette Industries 5,300 213
---------
472
---------
PETROLEUM & FUEL PRODUCTS -- 12.6%
Baker Hughes 12,875 389
BP Amoco PLC ADR 7,576 402
Chevron 6,875 636
Conoco 11,978 307
Exxon Mobil 27,298 2,124
Halliburton 8,225 337
Royal Dutch Petroleum 14,150 815
Texaco 8,850 475
Unocal 9,000 268
---------
5,753
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.5%
Eastman Kodak 1,145 62
Polaroid 6,875 163
---------
225
---------
30
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
RAILROADS -- 0.5%
Burlington Northern Santa Fe 9,850 $ 218
---------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
Apartment Investment
& Management 6,250 239
Kimco Realty 9,075 340
Post Properties 5,314 214
Simon Property Group 15,550 373
---------
1,166
---------
RETAIL -- 2.0%
JC Penney 2,425 36
May Department Stores 5,150 147
McDonald's 11,950 449
Sears Roebuck 9,425 291
---------
923
---------
SOFTWARE -- 0.1%
Shared Medical Systems 1,275 66
---------
TELEPHONES & TELECOMMUNICATION-- 10.8%
Alltel 8,450 533
AT&T 28,987 1,631
Bell Atlantic 7,575 463
GTE 16,275 1,156
SBC Communications 8,074 339
US West 11,391 827
---------
4,949
---------
WHOLESALE -- 0.6%
W.W. Grainger 5,275 286
---------
Total Common Stocks
(Cost $34,666) 43,324
---------
U.S. TREASURY OBLIGATION -- 1.1%
U.S. Treasury Bill
6.063%, 11/09/20 (A) (B) $ 500 482
---------
Total U.S. Treasury Obligation
(Cost $482) 482
---------
REPURCHASE AGREEMENT -- 4.6%
J.P. Morgan,
6.100%, dated 03/31/00, matures
04/03/00, repurchase price
$2,127,783, (collateralized by
FNMA obligation, par value
$2,480,293, 6.000%, 04/01/29,
total market value: $2,170,339) $ 2,128 $ 2,128
---------
Total Repurchase Agreement
(Cost $2,128) 2,128
---------
Total Investments -- 100.4%
(Cost $37,276) 45,934
---------
Other Assets and Liabilities, Net-- (0.4%) (172)
---------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 5,051,605 outstanding shares
of beneficial interest 32,390
Undistributed net investment income 269
Accumulated net realized gain on investments 4,246
Net unrealized appreciation on futures 199
Net unrealized appreciation on investments 8,658
---------
Total Net Assets -- 100.0% $45,762
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.06
=========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. --- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THEFINANCIAL STATEMENTS.
31
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
BALANCED FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 61.8%
BANKS -- 2.8%
Amsouth Bancorp 2,904 $ 43
Bank of America 874 46
Chase Manhattan 1,000 87
Comerica 4,000 167
Firstar 900 21
FleetBoston Financial 3,219 117
Mellon Financial 6,900 204
PNC Bank 1,800 81
U.S. Bancorp 12,300 269
UnionBanCal 200 6
Washington Mutual 8,356 221
---------
1,262
---------
BEAUTY PRODUCTS -- 0.5%
Avon Products 5,500 160
Procter & Gamble 800 45
---------
205
---------
BROADCASTING, NEWSPAPERS & ADVERTISING-- 4.0%
CBS* 2,000 113
Charter Communications* 6,400 92
Gannett 2,100 148
Interpublic Group 6,700 317
Knight-Ridder 3,200 163
Mediaone Group* 4,100 332
New York Times, Cl A 2,000 86
Time Warner 2,900 290
Viacom, Cl B* 4,200 222
--------
1,763
--------
BUILDING & CONSTRUCTION SUPPLIES-- 0.8%
Masco 17,050 350
--------
CHEMICALS -- 0.4%
Air Products & Chemicals 7,000 199
--------
COMMERCIAL SERVICES -- 1.1%
Cendant* 19,832 367
Ecolab 3,200 117
--------
484
--------
COMMUNICATIONS EQUIPMENT -- 2.2%
ADC Telecommunications* 8,400 453
Lucent Technologies 6,314 384
Nortel Networks 1,000 126
--------
963
--------
COMPUTERS & SERVICES -- 9.6%
Ceridian* 10,900 209
Cisco Systems* 17,800 1,376
Computer Sciences* 3,600 285
Dell Computer* 2,600 140
EMC* 2,900 362
Hewlett Packard 1,900 252
IBM 8,000 944
Sun Microsystems* 7,600 712
--------
4,280
--------
DRUGS -- 5.6%
American Home Products 3,500 188
Bristol-Myers Squibb 8,400 485
Cardinal Health 8,866 407
Eli Lilly 3,600 227
Merck 5,500 342
Schering Plough 10,400 382
Warner Lambert 4,600 448
--------
2,479
--------
ENTERTAINMENT -- 0.1%
SFX Entertainment* 1,000 41
--------
ENVIRONMENTAL SERVICES -- 0.2%
Republic Services, Cl A* 6,500 71
--------
FINANCIAL SERVICES -- 0.4%
Associates First Capital 3,400 73
Freddie Mac 2,100 93
--------
166
--------
FOOD, BEVERAGE & TOBACCO -- 3.9%
Anheuser Busch 500 31
Coca-Cola 3,200 150
Coca-Cola Enterprises 100 2
ConAgra 5,300 96
Flowers Industries 6,200 94
Kroger* 23,500 413
Nabisco Group Holdings 10,200 122
Pepsi Bottling Group 7,100 142
PepsiCo 6,700 232
Ralston-Ralston Purina Group 2,700 74
U.S. Foodservice* 15,330 395
--------
1,751
--------
HOUSEHOLD PRODUCTS -- 0.2%
Dial 4,600 63
Fortune Brands 600 15
--------
78
--------
INSURANCE -- 1.5%
Ace Ltd. 8,100 185
American International Group 2,253 247
CIGNA 700 53
Conseco 6,600 75
Torchmark 500 12
Unumprovident 6,300 107
--------
679
--------
32
<PAGE>
-------------------------------------------------------------------
-------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
-------------------------------------------------------------------
LEASING & RENTING -- 0.2%
United Rentals* 4,600 $ 79
--------
LEISURE PRODUCTS -- 1.3%
Carnival 5,000 124
Hasbro 5,750 95
Royal Caribbean Cruises Ltd. 8,100 227
Sabre Holdings* 3,600 133
--------
579
--------
MEDICAL PRODUCTS & SERVICES -- 1.8%
Bausch & Lomb 1,400 73
Baxter International 3,400 213
Healthsouth Rehabilitation* 5,742 32
Johnson & Johnson 3,400 238
Tenet Healthcare* 11,100 255
--------
811
--------
MISCELLANEOUS MANUFACTURING -- 6.7%
General Electric 6,700 1,040
Honeywell International 6,662 351
Illinois Tool Works 2,500 138
Minnesota Mining & Manufacturing 900 80
Textron 6,700 408
Tyco International Ltd. 19,378 966
--------
2,983
--------
PETROLEUM & FUEL PRODUCTS -- 2.5%
Burlington Resources 6,200 229
Conoco 11,200 287
Halliburton 2,400 98
Kerr-McGee 1,300 75
Texaco 4,300 231
Unocal 6,200 184
--------
1,104
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.0%
Eastman Kodak 100 5
--------
RETAIL -- 6.7%
Bed Bath & Beyond* 4,700 185
Brinker International* 8,500 252
CVS 9,800 368
Family Dollar Stores 10,100 210
Linens 'n Things* 4,300 147
Lowe's 11,900 695
McDonald's 1,600 60
Office Depot* 22,200 257
Saks* 10,200 148
Tandy 13,100 665
--------
2,987
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.0%
Analog Devices* 800 64
Intel 5,900 778
Texas Instruments 3,100 496
--------
1,338
--------
SOFTWARE -- 3.4%
BMC Software* 2,800 138
Microsoft* 13,000 1,381
--------
1,519
--------
TELEPHONES & TELECOMMUNICATION -- 1.8%
Centurytel 6,400 238
GTE 800 57
MCI WorldCom* 2,727 124
Sprint(FON Group) 2,300 145
US West 3,300 240
--------
804
--------
TRUCKING -- 0.5%
United Parcel Service* 3,400 214
--------
WHOLESALE -- 0.6%
Costco Wholesale* 5,200 273
--------
Total Common Stocks
(Cost $18,976) 27,467
--------
CONVERTIBLE PREFERRED STOCKS -- 0.8%
PETROLEUM REFINING -- 0.1%
Unocal, Convertible to 1.1748
Shares, Callable 09/03/00 @ 50 1,100 49
--------
RAILROADS -- 0.4%
Union Pacific Cap Trust,
Convertible to 0.7257 Shares 4,000 157
--------
TELEPHONE & TELECOMMUNICATION -- 0.3%
Cox Communication, PRIZES,
Convertible to 1.1748 shares,
7.75%, 11/29/29* 1,200 145
--------
Total Convertible Preferred Stocks
(Cost $322) 351
--------
PREFERRED STOCKS -- 0.1%
INSURANCE -- 0.1%
Conseco Financial Trust* 3,000 49
--------
Total Preferred Stocks
(Cost $150) 49
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Note
6.250%, 06/30/02 (A) $100 100
---------
Total U.S. Treasury Obligation
(Cost $100) 100
---------
33
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
BALANCED FUND--CONCLUDED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT VALUE
(000) (000)
--------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 1.2%
FHLMC
8.000%, 12/01/02 $ 142 $ 142
5.750%, 03/15/09 250 226
FNMA
5.800%, 12/10/03 100 96
6.400%, 09/27/05 50 48
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $515) 512
--------
CORPORATE OBLIGATIONS -- 31.4%
BANKS -- 4.2%
Bank of America
6.625%, 06/15/04 495 483
Capital One Bank
6.375%, 02/15/03 1,000 964
Wachovia
5.625%, 12/15/08 460 408
--------
1,855
--------
FINANCIAL -- 18.4%
Aon
6.900%, 07/01/04 590 578
Aristar
7.250%, 06/15/06 290 283
Associates
6.250%, 11/01/08 500 456
CIT Group
6.500%, 06/14/02 650 639
7.375%, 03/15/03 145 144
Conseco
8.750%, 02/09/04 200 198
Countrywide Funding
6.690%, 07/14/13 995 971
Finova Capital
7.300%, 09/22/03 420 411
7.250%, 07/12/06 260 244
Ford Motor Credit
6.375%, 04/15/00 125 125
6.125%, 04/28/03 280 271
Household Finance
7.200%, 07/15/06 150 146
Ing Groep NV (Equitable Iowa)
8.500%, 02/15/05 645 669
International Lease Financial
5.850%, 11/25/03 400 382
Merrill Lynch
6.000%, 01/15/01 100 99
Morgan Stanley Dean Witter, MTN
7.375%, 04/15/03 530 529
Paine Webber Group, MTN
6.020%, 04/22/02 400 388
Provident
6.375%, 07/15/05 1,600 1,490
Reliastar Financial
6.500%, 11/15/08 175 165
--------
8,188
--------
GOVERNMENT AGENCY -- 1.9%
Freddie Mac
7.000%, 02/15/03 865 863
--------
INDUSTRIAL -- 6.9%
Avon Products
7.150%, 11/15/09 140 137
Bausch & Lomb
6.150%, 08/01/01 1,340 1,317
Dillards
6.430%, 08/01/04 725 672
Marriot International
7.875%, 09/15/09 330 326
8.125%, 04/01/05 385 385
Sears Roebuck Acceptance
6.250%, 05/01/09 180 162
Times Mirror
7.450%, 10/15/09 50 50
--------
3,049
--------
Total Corporate Obligations
(Cost $14,365) 13,955
--------
ASSET-BACKED SECURITY -- 1.1%
Commercial, Series 1999-1, Cl A2
6.455%, 06/15/08 510 473
--------
Total Asset-Backed Security
(Cost $471) 473
--------
CONVERTIBLE BONDS -- 1.0%
Anadarko Petroleum
0.000%, 03/07/20 300 164
Clear Channel Communications,
Convertible to 9.45 shares
1.500%, 12/01/02 300 279
--------
Total Convertible Bonds
(Cost $428) 443
--------
34
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.5%
J.P. Morgan,
6.100%, dated 03/31/00, matures
04/03/00, repurchase price
$1,997,577 (collateralized by
FNMA obligations, par value
$2,107,051, 6.000%-7.500%,
04/01/29-01/01/30 total market
value: $2,037,529) $1,998 $ 1,998
--------
Total Repurchase Agreement
(Cost $1,998) 1,998
--------
Total Investments -- 102.1%
(Cost $37,325) 45,348
--------
Other Assets and Liabilities, Net -- (2.1%) (920)
--------
NET ASSETS:
Fund Shares of Class A (unlimited authorization -- no par value) based on
3,636,276 outstanding shares
of beneficial interest 34,742
Undistributed net investment income 261
Accumulated net realized gain on investments 1,402
Net unrealized appreciation on investments 8,023
--------
Total Net Assets -- 100.0% $44,428
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.22
========
*NON-INCOME PRODUCING SECURITY
(A) YIELDS SHOWN ARE EFFECTIVE YIELDS AT TIME OF PURCHASE.
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE COMPANY
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
MTN -- MEDIUM TERM NOTE
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 -- 27.1%
U.S. Treasury Notes
5.625%, 05/15/08 $ 2,240 $ 2,153
5.875%, 11/15/04 75,539 74,157
6.000%, 08/15/09 42,810 42,267
8.000%, 11/15/21 173,000 210,387
9.250%, 02/15/16 157,790 205,073
9.875%, 11/15/15 31,825 43,199
11.875%, 11/15/03 410 479
U.S. Treasury Notes (E)
3.625%, 01/15/08-04/15/28 66,500 66,500
3.875%, 04/15/29 58,741 58,247
4.250%, 01/15/10 8,130 8,288
U.S. Treasury STRIPS
0.000%, 11/15/04-11/15/21 26,660 15,708
--------
Total U.S. Treasury Obligations
(Cost $716,777) 726,458
--------
CORPORATE OBLIGATIONS -- 26.6%
AEROSPACE & DEFENSE -- 1.0%
Boeing
7.875%, 04/15/43 8,000 8,090
British Aerospace Financial (B)
7.500%, 07/01/27 13,000 13,081
Lockheed Martin
8.500%, 12/01/29 4,530 4,541
--------
25,712
--------
AIR TRANSPORTATION -- 1.7%
America West Airlines (B)
7.930%, 01/02/19 11,723 11,721
American Airlines, Ser 94, Cl A4
9.780%, 11/26/11 4,331 4,609
Atlas Air (B)
8.707%, 01/02/20 4,900 4,900
Continental Airlines, Ser 974, Cl C
6.800%, 07/02/07 8,950 8,476
Continental Airlines, Ser 99-2
7.730%, 03/15/11 3,452 3,344
Federal Express
9.650%, 06/15/12 3,175 3,556
Federal Express, Ser 98-1, Cl B
6.845%, 01/15/19 1,409 1,342
Federal Express, Ser A3
8.400%, 03/23/10 600 617
Northwest Airlines, Ser 99-1 Cl C
8.130%, 02/01/14 2,445 2,317
United Air Lines, Ser 96-A, Cl 1
7.270%, 01/30/13 1,619 1,516
US Airways, Cl B
7.500%, 04/15/08 2,547 2,501
--------
44,899
--------
35
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
AUTOMOTIVE -- 1.2%
Ford Capital BV
9.500%, 07/01/01 $ 1,000 $ 1,026
9.875%, 05/15/02 850 892
Ford Motor
7.400%, 11/01/46 300 285
7.700%, 05/15/97 4,200 4,069
9.215%, 09/15/21 1,000 1,149
Ford Motor Credit
5.800%, 01/12/09 7,250 6,443
General Motors
8.875%, 05/15/03 2,400 2,490
General Motors Acceptance
5.850%, 01/14/09 9,630 8,631
5.950%, 03/14/03 1,820 1,747
9.625%, 12/15/01 1,850 1,919
General Motors Acceptance
0.000%, 06/15/15 10,000 3,287
--------
31,938
--------
BANKS -- 4.0%
ABN-AMRO Bank NV
6.625%, 10/31/01 2,500 2,475
7.250%, 05/31/05 8,000 7,890
Banco Santander-Chile MBIA
6.500%, 11/01/05 4,225 3,982
Bank Of America
8.125%, 02/01/02 1,043 1,055
9.200%, 05/15/03 1,350 1,416
Bank Of Montreal-Chicago
6.100%, 09/15/05 2,230 2,091
Bank Of Oklahoma
7.125%, 08/15/07 1,500 1,447
Bank Of Tokyo-Mitsubishi
8.400%, 04/15/10 6,500 6,736
Bankers Trust
8.125%, 05/15/02 10,060 10,173
7.500%, 11/15/15 1,000 980
Citicorp
7.625%, 05/01/05 2,000 2,012
Continental Bank N.A., Ser XW
12.500%, 04/01/01 1,850 1,940
Deutsche Bank Capital
Funding Trust I (A) (B)
7.872%, 12/29/49 1,380 1,310
Dresdner Bank-New York
7.250%, 09/15/15 2,700 2,659
First National Bank Omaha
7.320%, 12/01/10 750 725
First Union
8.125%, 06/24/02 1,100 1,114
First USA Bank
5.850%, 02/22/01 4,000 3,960
7.000%, 08/20/01 1,175 1,174
Fleet Financial Group
9.900%, 06/15/01 $ 2,000 2,060
Household Netherlands BV
6.200%, 12/01/03 4,450 4,283
JPM Capital Trust II
7.950%, 02/01/27 700 668
Keycorp
6.750%, 03/15/06 2,000 1,905
Korea Development Bank
7.125%, 09/17/01 1,300 1,282
Midland Bank PLC
6.950%, 03/15/11 3,700 3,589
National Westminster Bank
9.375%, 11/15/03 4,568 4,825
National Bank Hungary
8.875%, 11/01/13 1,550 1,608
NCNB Bank
10.200%, 07/15/15 6,565 7,862
Royal Bank Of Scotland Group PLC
8.817%, 03/31/49 6,500 6,597
Santander Financial Issuances
7.250%, 11/01/15 3,600 3,478
7.750%, 05/15/05 3,810 3,829
Sumitomo Bank International
9.550%, 07/15/00 3,000 3,011
Swiss Bank - New York
7.000%, 10/15/15 1,700 1,660
Washington Mutual
7.500%, 08/15/06 1,500 1,468
Westdeutsche Landesbank NY
6.050%, 01/15/09 6,750 6,210
--------
107,474
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.7%
Continental Cablevision
9.000%, 09/01/08 2,900 3,197
9.500%, 08/01/13 7,625 8,426
Cox Communications
7.875%, 08/15/09 750 760
Jones Intercable
8.875%, 04/01/07 1,380 1,442
TCI Communications
7.875%, 02/15/26 5,470 5,504
--------
19,329
--------
CHEMICALS - DIVERSIFIED -- 0.3%
Dow Chemical
7.375%, 11/01/29 1,840 1,789
E.I. du Pont de Nemours
6.875%, 10/15/09 7,500 7,284
--------
9,073
--------
36
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.2%
Cendant
7.750%, 12/01/03 $ 5,020 $ 4,957
--------
COMPUTER SERVICES -- 0.4%
Electronic Data Systems
7.450%, 10/15/29 5,000 4,988
IBM
7.000%, 10/30/45 5,550 5,224
--------
10,212
--------
DIVERSIFIED MANUFACTURING -- 0.1%
Norsk Hydro A/S
9.000%, 04/15/12 1,725 1,900
--------
ELECTRIC GENERAL UTILITIES SERVICES -- 2.5%
Arizona Public Services
8.000%, 12/30/15 4,500 4,449
CE Generation LLC (B)
7.416%, 12/15/18 5,000 4,674
Commonwealth Edison, Ser 75
9.875%, 06/15/20 850 961
Conectiv, Ser A MTN
6.730%, 06/01/06 7,550 7,325
Edison Mission Energy (A) (B)
6.820%, 06/15/01 5,000 5,000
FPL Group Capital
7.375%, 06/01/09 5,000 4,919
Hydro-Quebec, Ser FU
11.750%, 02/01/12 1,300 1,723
Hydro-Quebec, Ser GW
9.750%, 01/15/18 3,850 4,062
Jersey Central Power & Light
6.375%, 05/01/03 2,441 2,374
Kansas City Power &
Light MTN (A)
6.341%, 03/20/02 12,000 11,991
Korea Electric Power
6.750%, 08/01/27 1,075 1,006
7.750%, 04/01/13 2,045 1,881
National Rural Utilities, Ser V
9.000%, 09/01/21 3,950 4,098
Potomac Electric Power
9.000%, 09/01/21 1,000 1,043
PSI Energy
7.850%, 10/15/07 5,300 5,380
System Energy Resources
7.430%, 01/15/11 4,073 3,889
Utilicorp United
7.000%, 07/15/04 3,250 3,140
--------
67,915
--------
FINANCIAL SERVICES -- 5.3%
Associates North America
6.500%, 07/15/02 $ 675 $ 663
Bear Stearns
6.250%, 07/15/05 960 899
7.625%, 02/01/05 9,400 9,353
9.375%, 06/01/01 1,253 1,281
Countrywide Capital I
8.000%, 12/15/26 1,750 1,667
Donaldson Lufkin & Jenrette
6.875%, 11/01/05 1,750 1,680
Donaldson Lufkin & Jenrette MTN
6.170%, 07/15/03 2,500 2,397
Dryden Investor Trust (B) (C)
7.157%, 07/23/08 10,076 9,496
Goldman Sachs Group LP MTN
6.250%, 02/01/03 4,700 4,559
Heller Financial, Ser I MTN (A)
6.511%, 09/25/00 5,500 5,504
Heller Financial, Ser J MTN (A)
6.320%, 03/13/02 5,000 4,994
Heller Financial (A)
6.350%, 04/02/01 7,000 6,998
6.508%, 06/25/01 3,000 3,004
John Deere Capital
6.000%, 02/15/09 3,100 2,809
Lehman Brothers
6.125%, 02/01/01 3,325 3,300
9.875%, 10/15/00 3,225 3,277
Lehman Brothers Holdings
8.750%, 05/15/02 6,105 6,242
8.750%, 03/15/05 1,000 1,043
8.875%, 03/01/02 5,000 5,113
Lehman Brothers Holdings,
Ser F MTN
7.500%, 09/01/06 3,025 2,972
Merrill Lynch
6.875%, 11/15/18 5,200 4,745
7.430%, 09/01/22 1,818 1,804
Money Store
8.050%, 04/15/02 1,700 1,721
Morgan JP, Ser A MTN
6.000%, 01/15/09 1,790 1,600
Newcourt Credit
6.875%, 02/16/05 10,655 10,353
Newcourt Credit Group (B)
7.125%, 12/17/03 4,110 4,074
PaineWebber Group
6.450%, 12/01/03 1,500 1,442
6.500%, 11/01/05 2,775 2,615
6.750%, 02/01/06 750 713
8.875%, 03/15/05 1,300 1,355
37
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
PaineWebber Group, Ser C MTN
7.115%, 01/27/04 $ 2,000 $ 1,958
7.390%, 10/16/17 5,405 5,013
PaineWebber Group, Ser D MTN
6.930%, 08/15/03 1,200 1,170
Principal Financial Group (B)
8.200%, 08/15/09 9,000 9,125
Salomon Smith Barney Holding
6.750%, 02/15/03 5,550 5,467
TMS SBA Loan Trust 1999-1 A
6.240%, 07/15/25 2,034 2,012
Transamerica Finance
6.125%, 11/01/01 5,100 5,004
Wharf Capital International Ltd.
8.875%, 11/01/04 975 1,002
Wharf International Finance Ltd.
7.625%, 03/13/07 1,300 1,246
Yosemite Security Trust I (B)
8.250%, 11/15/04 4,000 3,987
--------
143,657
--------
FOOD, BEVERAGE & TOBACCO -- 1.6%
Diageo Capital PLC
6.625%, 06/24/04 3,000 2,944
J Seagram & Sons
6.400%, 12/15/03 3,310 3,198
6.800%, 12/15/08 1,600 1,530
7.500%, 12/15/18 2,550 2,438
7.600%, 12/15/28 2,800 2,660
Nabisco
7.550%, 06/15/15 2,000 1,868
Nabisco (A)
6.375%, 02/01/35 5,000 4,650
Pepsi Bottling Group, Ser B
7.000%, 03/01/29 3,950 3,649
Philip Morris
7.750%, 01/15/27 8,490 7,768
RJ Reynolds Tobacco Holding, Ser B
7.750%, 05/15/06 7,100 7,043
7.875%, 05/15/09 4,680 4,663
--------
42,411
--------
INDEPENDENT POWER PRODUCER -- 0.3%
NRG Energy
7.500%, 06/15/07 2,000 1,893
7.625%, 02/01/06 5,750 5,585
--------
7,478
--------
INSURANCE -- 1.6%
Allstate
7.500%, 06/15/13 1,000 978
Associated P&C Holdings
6.750%, 07/15/03 9,205 8,986
Conseco
8.750%, 02/09/04 $ 8,189 $ 8,117
Equitable
9.000%, 12/15/04 4,250 4,500
Lincoln National
9.125%, 10/01/24 3,700 3,987
Loews
7.625%, 06/01/23 2,550 2,368
Safeco Capital Trust (A)
8.072%, 07/15/37 3,120 2,812
USF&G
7.125%, 06/01/05 1,000 986
Western National
7.125%, 02/15/04 3,000 2,981
Zurich Capital Trust I (B)
8.376%, 06/01/37 8,700 8,298
--------
44,013
--------
MACHINERY -- 0.2%
Caterpillar
7.375%, 03/01/97 6,100 5,627
--------
MEDICAL-HMO SERVICES -- 0.2%
United Healthcare
6.600%, 12/01/03 6,885 6,627
--------
MULTI-MEDIA -- 0.5%
News America
6.750%, 01/09/38 1,120 1,033
News America Holdings
10.125%, 10/15/12 2,325 2,499
Time Warner
9.125%, 01/15/13 2,100 2,352
Walt Disney MTN
5.620%, 12/01/08 7,280 6,507
--------
12,391
--------
NON-HAZARDOUS WASTE DISPOSAL -- 0.3%
USA Waste Services
7.125%, 12/15/17 9,980 7,710
--------
OIL DISTRIBUTOR -- 0.4%
Conoco
6.950%, 04/15/29 4,000 3,660
Phillips Petroleum
9.180%, 09/15/21 2,800 2,811
YPF Sociedad Anonima, Ser A MTN
7.750%, 08/27/07 5,000 4,938
--------
11,409
--------
PAPER & PAPER PRODUCTS -- 0.5%
Federal Paper Board
8.875%, 07/01/12 1,700 1,859
38
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Georgia-Pacific
9.500%, 12/01/11 $1,500 $ 1,636
9.875%, 11/01/21 4,975 5,230
Tenneco Packaging
7.950%, 12/15/25 500 474
8.000%, 04/15/07 3,000 2,928
Union Camp
10.000%, 05/01/19 230 242
Weyerhaeuser
7.250%, 07/01/13 1,875 1,823
--------
14,192
--------
PIPELINES -- 0.4%
Dynegy
7.450%, 07/15/06 7,150 6,904
KN Energy
9.625%, 08/01/21 1,900 2,047
Oneok
7.750%, 08/15/06 1,000 984
Panhandle Holding Pipeline
7.000%, 07/15/29 2,300 1,970
--------
11,905
--------
RAILROAD TRANSPORTATION -- 0.3%
Consolidated Rail
7.875%, 05/15/43 670 652
CSX
7.950%, 05/01/27 600 593
Norfolk Southern
7.800%, 05/15/27 1,680 1,659
Union Pacific
7.125%, 02/01/28 5,785 5,308
--------
8,212
--------
REAL ESTATE INVESTMENT -- 0.1%
Security Capital Group, Ser A MTN
7.750%, 11/15/03 2,850 2,779
--------
REGIONAL AGENCIES -- 0.2%
Newfoundland
10.000%, 12/01/20 850 1,059
Quebec Province
7.500%, 09/15/29 1,769 1,767
Republic Of Korea
8.875%, 04/15/08 3,000 3,116
--------
5,942
--------
RETAIL -- 1.1%
Dayton Hudson
8.600%, 01/15/12 941 1,026
Dillards
6.875%, 06/01/05 2,500 2,249
Duty Free International
7.000%, 01/15/04 6,825 6,740
JC Penney
6.900%, 08/15/26 3,000 2,697
7.600%, 04/01/07 3,590 3,101
8.250%, 08/15/22 1,500 1,232
9.750%, 06/15/21 2,550 2,327
May Department Stores
9.875%, 06/15/21 2,150 2,284
Wal-Mart Stores
6.875%, 08/10/09 7,000 6,886
--------
28,542
--------
SPECIAL PURPOSE ENTITY -- 0.5%
Air 2 US (B)
8.027%, 10/01/20 3,000 3,002
8.627%, 10/01/20 1,500 1,515
Marlin Water Trust/Capital (B)
7.090%, 12/15/01 2,500 2,463
Osprey Trust/Osprey I (B)
8.310%, 01/15/03 6,000 6,000
--------
12,980
--------
STEEL & STEEL WORKS -- 0.1%
Pohang Iron & Steel
7.375%, 05/15/05 585 559
Pohang Iron & Steel Ltd.
7.125%, 07/15/04 1,250 1,198
--------
1,757
--------
TELECOMMUNICATIONS EQUIPMENT -- 0.1%
Lucent Technologies
6.450%, 03/15/29 1,700 1,500
--------
TELEPHONES & TELECOMMUNICATION -- 0.8%
AT&T Canada (D)(G)
6.720%, 06/15/08 3,700 2,918
New York Telephone
9.375%, 07/15/31 2,900 3,139
Rochester Telephone
9.000%, 08/15/21 1,000 949
TCI Communications
6.375%, 05/01/03 3,040 2,960
7.125%, 02/15/28 9,230 8,515
US West Communications
8.875%, 06/01/31 2,000 2,090
--------
20,571
--------
Total Corporate Obligations
(Cost $737,102) 713,112
--------
39
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
--------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 34.9%
FHLMC
5.500%, 10/01/13-02/17/15 $ 14,450 $ 13,335
6.000%, 11/01/13-09/01/29 47,653 44,254
6.500%, 08/01/08-01/01/30 152,534 143,274
6.625%, 09/15/09 22,200 21,340
6.875%, 01/15/05 70,400 69,777
7.000%, 02/01/09-01/01/30 31,367 30,194
7.500%, 06/01/10-01/01/30 28,327 27,882
8.000%, 07/01/12-01/01/28 6,835 6,891
9.000%, 12/01/05 99 103
FHLMC ARM
6.913%, 07/01/27 1,078 1,073
FHLMC CMO
9.300%, 04/15/19 1,675 1,731
FHLMC REMIC, Ser 1005
6.500%, 10/15/05 477 468
FHLMC REMIC, Ser 1563
8.850%, 08/15/08 279 271
FHLMC STRIP, Ser 206
0.000%, 12/15/30 1,897 1,247
FHLMC TBA
6.500%, 04/13/30 9,000 8,443
8.000%, 04/01/30 16,800 17,010
FNMA
5.500%, 09/01/13-10/01/14 21,089 19,393
6.000%, 10/01/13-12/01/29 88,381 80,936
6.500%, 02/01/12-03/01/30 22,575 21,240
7.000%, 09/01/07-03/01/30 27,358 26,493
8.000%, 11/01/10-12/01/29 7,883 7,954
8.500%, 09/01/13 94 96
7.500%, 06/01/22-01/01/30 37,288 36,649
9.000%, 07/01/07 80 83
FNMA CMO, Ser 1993-69
6.000%, 01/25/22 1,341 1,259
FNMA CMO, Ser 1993-216B PO
0.000%, 08/25/23 6 6
FNMA CMO, Ser 1994-9C PO
0.000%, 08/25/23 90 81
FNMA Discount Note (C)
5.478%, 05/11/00 6,390 6,351
FNMA REMIC, Ser 1990-93G
5.500%, 08/25/20 2,249 2,107
FNMA REMIC, Ser 1990-106
8.500%, 09/25/20 454 464
FNMA REMIC, Ser 1991-156
7.500%, 10/25/21 2,230 2,213
FNMA REMIC, Ser 1997-G5
7.050%, 06/25/04 3,647 3,615
FNMA STRIP, Ser 269
9.000%, 09/25/25 484 499
FNMA TBA
5.500%, 04/18/15 6,100 5,606
7.500%, 04/18/30 38,300 37,617
GNMA
6.000%, 03/15/14-06/15/29 $ 24,015 $ 22,235
6.500%, 01/01/23-01/15/30 107,355 101,309
7.000%, 12/15/22-12/15/28 63,027 61,105
7.500%, 09/15/06-01/15/30 66,767 66,176
8.000%, 05/15/25-09/01/27 2,127 2,152
8.500%, 11/15/00-12/15/21 348 357
9.500%, 01/15/19 342 358
GNMA TBA
6.500%, 04/01/30 21,000 19,799
8.000%, 04/01/30 24,000 24,043
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $951,203) 937,489
--------
ASSET-BACKED SECURITIES -- 3.7%
Advanta Mortgage Loan Trust,
Ser 1993-4 A1
5.500%, 03/25/10 1,501 1,446
AT&T Universal Card Master Trust,
Ser 1996-3 A
6.270%, 09/17/03 18,300 18,300
Banc One Credit Card Master Trust
7.340%, 10/25/26 768 772
Chemical Master Credit Card Trust,
Ser 1995-2 A
6.230%, 06/15/03 10,175 10,148
Citibank Credit Card Master Trust,
Ser 1996-1 A PO
0.000%, 02/07/03 14,542 13,660
Citibank Credit Card Master Trust,
Ser 1997-6 A PO
0.000%, 08/15/06 1,133 825
Contimortgage Home Equity Loan,
Ser 1997-2 A9
7.090%, 04/15/28 3,250 3,166
Contimortgage Home Equity Loan,
Ser 1997-5 A5
6.630%, 12/15/20 2,500 2,436
Contimortgage Home Equity Loan,
Ser 1998-1 A6
6.580%, 12/15/18 1,015 988
Credit Card Merchant Voucher Receipt,
Ser 1996-A A1
6.250%, 12/01/03 3,445 3,361
Delta Funding Home Equity Loan,
Ser 1997-3 A6F
6.860%, 10/25/28 4,000 3,911
Delta Funding Home Equity Loan,
Ser 1997-4 A5F
6.670%, 01/25/28 5,500 5,320
40
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Delta Funding Home Equity Loan,
Ser 1999-3 A1A
5.869%, 09/15/29 $17,618 $ 17,684
Discover Card Master Trust I,
Ser 1993-3 A
6.200%, 05/16/06 6,080 5,897
Discover Card Master Trust I,
Ser 1995-2 A
6.550%, 02/18/03 4,275 4,273
New South Home Equity Trust,
Ser 1999-1 A6 IO
8.000%, 05/25/30 3,000 326
Sears Credit Account Master Trust,
Ser 1995-2 A
8.100%, 06/15/04 1,146 1,153
Sears Credit Account Master Trust,
Ser 1995-3 A
7.000%, 10/15/04 992 993
Sears Credit Account Master Trust,
Ser 1995-5 A
6.050%, 01/15/08 2,135 2,080
UCFC Home Equity Loan,
Ser 1995-B1 A5
7.250%, 12/10/20 2,450 2,421
--------
Total Asset-Backed Securities
(Cost $98,681) 99,160
--------
MORTGAGE-BACKED OBLIGATIONS -- 4.9%
Asset Securitization, Ser 1997-D4 A1C
7.420%, 04/14/29 3,100 3,097
Capco America Securitization,
Ser 1998-D7 A1B
6.260%, 09/15/08 530 501
Chase Commercial Mortgage
Securities, Ser 1997-1 A2
7.370%, 02/19/07 107 107
Chase Commercial Mortgage
Securities, Ser 1998-1 A2
6.560%, 05/18/08 1,225 1,172
Chase Commercial Mortgage
Securities, Ser 1998-2 A1
6.025%, 08/18/07 9,953 9,429
Deutsche Mortgage & Asset
Receiving, Ser 1998-C1 A1
6.220%, 09/15/07 1,804 1,732
DLJ Commercial Mortgage,
Ser 1998-CF2 A1A
5.880%, 11/12/31 5,698 5,340
Enterprise Mortgage Acceptance,
Ser 1999-1, IO (F)
1.240%, 10/12/23 60,551 3,874
Equivantage Home Equity Loan
Trust, Ser 1997-2 A3
7.275%, 07/25/28 2,183 2,187
FFCA Secured Lending,
Ser 1997-1, IO (F)
1.083%, 07/18/15 21,324 866
FFCA Secured Lending,
Ser 1999-1A, IO (F)
1.803%, 03/18/16 24,310 1,795
First Union-Lehman Brothers,
1997-C2, IO
1.530%, 11/18/27 4,446 320
Fund America Investors,
Ser 1993-A A2
7.610%, 06/25/23 3,159 3,184
GE Capital Mortgage Services,
Ser 1994-7 A15
5.000%, 02/25/09 1,170 1,001
GMAC Commercial Mortgage
Securities, Ser 1998-C2 X IO
0.823%, 05/15/31 25,547 977
GMAC Commercial Mortgage
Securities, Ser 1999-FL1 A
5.950%, 10/15/09 12,499 12,499
Government Loan Trust Ser 1-B
8.500%, 04/01/06 6,223 6,580
Green Tree Home Equity Loan
Trust, Ser 1997-B A6
7.120%, 04/15/27 1,000 993
GS Mortgage Securities,
Ser 1998-1 A
8.000%, 08/19/19 1,227 1,239
GS Mortgage Securities,
Ser 1998-2 A
7.750%, 05/19/27 1,141 1,139
GS Mortgage Securities,
Ser 1999-3 A
8.000%, 08/20/22 4,139 4,143
IMC Home Equity Loan Trust,
Ser 1998-3 A8
6.340%, 08/20/29 8,500 8,040
Impac Commercial Holdings,
Ser 1998-C1 A1A
6.060%, 10/20/07 4,122 3,913
JP Morgan Commercial Mortgage,
Ser 1997-C5 X IO
1.670%, 09/15/29 11,565 795
Merrill Lynch Mortgage Investors,
Ser 1996-C2 A3
6.960%, 11/21/28 7,940 7,671
41
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CORE FIXED INCOME FUND--CONCLUDED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
--------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 1998-C1 A1
6.310%, 11/15/26 $ 6,274 $ 6,048
Morgan Stanley Capital I,
Ser 1998-CF1 X IO
0.840%, 12/15/12 8,498 363
Morgan Stanley Capital I,
Ser 1999-RM1 A2
6.710%, 12/15/31 2,280 2,215
Mortgage Capital Funding,
Ser 1998-MC2 A2
6.423%, 05/18/08 1,120 1,079
Nomura Asset Securities,
Ser 1996-MD5 A1B
7.120%, 04/13/36 5,100 5,013
PP&L Transition Bond Company
LLC, Ser 1999-1 A1
6.080%, 03/25/03 10,219 10,165
Residential Funding Mortgage
Securities, Ser 2000-HI1 AI7
8.290%, 02/25/25 13,038 13,168
Resolution Trust, Ser 1991-M6 A1
6.562%, 06/25/21 544 539
Resolution Trust, Ser 1994-1 M3
7.270%, 09/25/29 2,157 2,108
Ryland Mortgage Securities,
Ser 1994-7A A2
7.000%, 08/25/25 1,099 1,077
Toll Road Investment Part II
0.000%, 02/15/06 10,300 6,502
Union Planters Mortgage Finance,
Ser 1998-1 A1
6.350%, 01/25/28 680 673
--------
Total Mortgage-Backed Obligations
(Cost $136,671) 131,544
--------
COMMERCIAL PAPER -- 0.6%
US West Capital Funding
6.250%, 05/05/00 7,000 6,955
TRW
6.676%, 03/25/02 9,000 8,997
--------
Total Commercial Paper
(Cost $15,956) 15,952
--------
OPTIONS -- (0.1%)
September 2000 90 Day Euro$ Call 1,202 1,127
June 2000 Ten Year Note Call (125) (203)
June 2000 US Long Bond Call (694) (2,733)
June 2000 US Long Bond Call 24 --
June 2000 US Long Bond Call (9) (11)
--------
Total Options
(Cost $689) (1,820)
--------
MUNICIPAL BOND -- 0.1%
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB, MBIA
0.000%, 06/30/10 3,850 1,805
--------
Total Municipal Bond
(Cost $1,771) 1,805
--------
REPURCHASE AGREEMENT -- 6.8%
J.P. Morgan
6.100%, dated 03/31/00, matures
04/03/00, repurchase price
$182,062,225 (collateralized by
various FNMA obligations,
total par $196,406,000,
5.500-8.000%, 01/01/14-
04/01/30 total market
value: $185,609,119) 181,969 181,969
--------
Total Repurchase Agreement
(Cost $181,969) 181,969
--------
Total Investments -- 104.6%
(Cost $2,840,819) $2,805,669
==========
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT AS OF MARCH 31, 2000.
(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."
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(D) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON MARCH 31, 2000. THE COUPON ON A STEP BOND
CHANGES ON A SPECIFIC DATE.
(E) U.S. TREASURY INFLATION INDEX NOTES
(F) RESTRICTED SECURITY, NOT READILY MARKETABLE (SEE NOTE 2).
(G) FORMERLY METRONET COMMUNICATIONS
ARM -- ADJUSTABLE RATE MORTGAGE
CL -- CLASS
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
FFCA -- FEDERAL FARM CREDIT ASSOCIATION
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO -- INTEREST ONLY
LP -- LIMITED PARTNERSHIP
LLC -- LIMITED LIABILITY COMPANY
LTD. -- LIMITED
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED COMPANY
RB -- REVENUE BOND
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
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.
42
<PAGE>
--------------------------------------------------------------------------------
HIGH YIELD BOND FUND
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
--------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 90.1%
AIR TRANSPORTATION -- 0.4%
Atlas Air
9.375%, 11/15/06 $ 1,250 $ 1,175
Canadian Airlines Yankee (C)
10.000%, 05/01/05 400 328
12.250%, 08/01/06 950 473
Kitty Hawk
9.950%, 11/15/04 250 237
Pegasus Shipping Hellas (C)
11.875%, 11/15/04 600 220
Trans World Airlines
11.375%, 03/01/06 900 297
--------
2,730
--------
APPAREL/TEXTILES -- 0.5%
Hosiery of America
13.750%, 08/01/02 700 730
Phillips Van-Heusen (A)
9.500%, 05/01/08 1,000 926
St John Knits International
12.500%, 07/01/09 1,000 937
Tropical Sportswear International
11.000%, 06/15/08 500 464
--------
3,057
--------
AUTOMOTIVE -- 1.1%
Aetna Industries
11.875%, 10/01/06 1,000 917
American Axle & Manufacturing
9.750%, 03/01/09 500 480
Breed Technologies (C)
9.250%, 04/15/08 1,000 15
Collins & Aikman (A)
11.500%, 04/15/06 1,550 1,517
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 691
Dura Operating, Ser B
9.000%, 05/01/09 750 669
Hayes Lemmerz International
8.250%, 12/15/08 600 520
Hayes Wheel International
9.125%, 07/15/07 600 538
11.000%, 07/15/06 500 507
Safety Components International (C)
10.125%, 07/15/07 500 74
Stanadyne Automotive
10.250%, 12/15/07 500 408
Titan Wheel International
8.750%, 04/01/07 500 359
--------
6,695
--------
BROADCASTING, TELEVISION & RADIO -- 14.2%
Ackerley Group, Ser B
9.000%, 01/15/09 $ 1,600 1,480
ACME Television (B)
12.200%, 09/30/04 500 449
Adelphia Cable Communications
7.875%, 05/01/09 500 424
10.500%, 07/15/04 500 506
Adelphia Cable Communications,
Ser B
8.375%, 02/01/08 1,750 1,579
American Radio Systems
9.000%, 02/01/06 500 522
Australis Media 1(B) (C)
15.750%, 05/15/03 400 4
Big City Radio (B)
22.300%, 03/15/05 1,700 1,069
Cable Satisfactions International
12.750%, 03/01/10 2,000 1,970
Capstar Broadcasting
9.250%, 07/01/07 1,250 1,270
Capstar Broadcasting (B)
10.530%, 02/01/09 1,000 896
Century Communications
8.875%, 01/15/07 550 510
Century Communications, Ser B
0.000% 01/15/08 1,850 765
Chancellor Media (A)
8.000%, 11/01/08 500 494
Charter Communications
Holdings LLC
8.625%, 04/01/09 1,500 1,320
Charter Communications
Holdings LLC (A)
10.250%, 01/15/10 4,750 4,584
Charter Communications
Holdings LLC (B)
12.170%, 04/01/11 1,600 890
Citadel Broadcasting
9.250%, 11/15/08 1,250 1,166
Classic Cable (A)
10.500%, 03/01/10 4,600 4,565
Coaxial Communication LLC
10.000%, 08/15/06 1,800 1,714
Coaxial Communication LLC (B)
13.640%, 08/15/08 1,000 621
Comcast
9.125%, 10/15/06 600 623
9.375%, 05/15/05 250 262
Comcast UK Cable (B)
10.670%, 11/15/07 750 720
CSC Holdings
9.250%, 11/01/05 250 252
9.875%, 02/15/13 650 663
43
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
--------------------------------------------------------------------------------
CSC Holdings, Ser B
8.125%, 07/15/09 $ 1,000 $ 995
8.125%, 08/15/09 750 746
Cumulus Media
10.375%, 07/01/08 1,450 1,290
Details, Ser B
10.000%, 11/15/05 500 467
Diamond Cable Communications
PLC
13.250%, 09/30/04 300 317
Diamond Cable Communications
PLC (B)
10.870%, 02/15/07 1,450 1,160
11.540%, 12/15/05 1,050 1,011
Diamond Holdings PLC
9.125%, 02/01/08 1,000 957
Diva Systems, Ser B (B)
15.640%, 03/01/08 2,757 1,571
Echostar DBS
9.375%, 02/01/09 2,250 2,171
Emmis Communications
8.125%, 03/15/09 1,200 1,125
Frontiervision Holdings (B)
11.030%, 09/15/07 600 526
11.080%, 09/15/07 700 613
Fundy Cable
11.000%, 11/15/05 500 534
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 442
Granite Broadcasting
8.875%, 05/15/08 500 431
9.375%, 12/01/05 1,000 922
Gray Communications System
10.625%, 10/01/06 500 504
International Cabletel
10.000%, 02/15/07 250 247
James Cable
10.750%, 08/15/04 1,500 1,470
Jones Intercable
8.875%, 04/01/07 350 366
9.625%, 03/15/02 350 363
Lamar Media
9.625%, 12/01/06 450 453
Lenfest Communications
10.500%, 06/15/06 700 794
Lenfest Communications (A)
8.250%, 02/15/08 650 645
Lin Holdings (B)
12.780%, 03/01/08 500 317
Mediacom Capital LLC
7.875%, 02/15/11 4,850 4,183
Mentus Media PIK
12.000%, 02/01/03 1,065 362
Muzak Holdings LLC (B)
13.300%, 03/15/10 500 294
Northland Cable Television
10.250%, 11/15/07 $1,200 1,161
Pegasus Communications (A)
12.500%, 08/01/07 500 542
Pegasus Communications, Ser B
9.625%, 10/15/05 550 528
9.750%, 12/01/06 500 480
Price Communications Wireless,
Ser B
9.125%, 12/15/06 1,200 1,185
Production Resources Group
11.500%, 01/15/08 500 199
Renaissance Media Group (B)
11.640%, 04/15/08 1,000 664
Rogers Cablesystems Ltd.
10.000%, 12/01/07 450 480
Rogers Communications
8.875%, 07/15/07 350 352
9.125%, 01/15/06 400 400
Salem Communications, Ser B
9.500%, 10/01/07 900 844
Sinclair Broadcast Group
9.000%, 07/15/07 3,000 2,670
10.000%, 09/30/05 800 758
STC Broadcasting
11.000%, 03/15/07 2,000 1,980
Telewest Communications PLC
9.625%, 10/01/06 150 145
11.250%, 11/01/08 500 516
Telewest Communications PLC (A)
9.875%, 02/01/10 500 487
Telewest Communications PLC (B)
11.030%, 10/01/07 9,000 8,426
Telewest Communications
PLC (A) (B)
11.440%, 04/15/09 1,650 943
Tri-State Outdoor Media
11.000%, 05/15/08 1,350 1,293
United International Holdings,
Ser B (B)
11.700%, 02/15/08 2,000 1,375
United Pan-Europe
Communications
10.875%, 08/01/09 1,000 957
United Pan-Europe
Communications (A)
11.250%, 02/01/10 2,000 1,925
11.500%, 02/01/10 1,000 965
United Pan-Europe
Communications (B)
11.170%, 08/01/09 1,000 500
XM Satellite Radio
14.000%, 03/15/10 500 480
Young Broadcasting
11.750%, 11/15/04 2,000 2,035
44
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000)
--------------------------------------------------------------------------------
Young Broadcasting, Ser B
8.750%, 06/15/07 $1,200 $ 1,077
9.000%, 01/15/06 750 687
Ziff-Davis
8.500%, 05/01/08 1,000 1,072
--------
89,720
--------
BUILDING & CONSTRUCTION -- 0.8%
American Builder & Contractors
10.625%, 05/15/07 500 429
Amtrol
10.625%, 12/31/06 400 380
Brand Scaffold Services
10.250%, 02/15/08 1,000 886
California Steel Industry, Ser B
8.500%, 04/01/09 500 459
Formica, Ser B
10.875%, 03/01/09 1,000 877
International Utility Structure
13.000%, 02/01/08 500 469
International Utility Structures (A)
10.750%, 02/01/08 1,300 1,105
Morris Materials Handling
9.500%, 04/01/08 400 81
Waxman Industries (B)
12.750%, 06/01/04 600 285
--------
4,971
--------
CHEMICALS -- 2.4%
Avecia Group PLC
11.000%, 07/01/09 4,250 4,261
Georgia Gulf (A)
10.375%, 11/01/07 500 506
Huntsman (A)
9.500%, 07/01/07 1,650 1,473
Huntsman ICI Chemicals
0.000%, 12/31/09 2,100 617
10.125%, 07/01/09 1,200 1,155
Huntsman Polymers
11.750%, 12/01/04 250 260
Laroche Industries (C)
9.500%, 09/15/07 2,000 360
Lls
11.625%, 08/01/09 1,000 910
NL Industries
11.750%, 10/15/03 350 354
Octel Developments
10.000%, 05/01/06 950 930
Philipp Brothers Chemical
9.875%, 06/01/08 1,200 1,014
Sterling Chemical
11.750%, 08/15/06 500 422
Sterling Chemical, Ser B
12.375%, 07/15/06 1,500 1,526
Sterling Chemical Holdings (B)
31.830%, 08/15/08 $ 1,000 311
Texas Petrochemical
11.125%, 07/01/06 1,450 1,185
--------
15,284
--------
COMMERCIAL SERVICES -- 0.2%
Coinstar (A)
13.000%, 10/01/06 1,000 1,019
Iron Mountain
8.250%, 07/01/11 500 421
Worldwide Flight Service
12.250%, 08/15/07 800 774
--------
2,214
--------
CONTAINERS & PACKAGING -- 0.6%
Ball
8.250%, 08/01/08 700 644
BWAY, Ser B
10.250%, 04/15/07 500 449
Consumers Packaging
9.750%, 02/01/07 750 396
Crown Packaging Enterprises
Ltd. (B)
0.000%, 08/01/06 775 39
Graham Packaging
8.750%, 01/15/08 400 358
Impac Group (A)
10.125%, 03/15/08 1,000 857
Packaged Ice
9.750%, 02/01/05 1,000 830
SF Holdings Group (B)
16.550%, 03/15/08 1,000 536
--------
4,109
--------
DIVERSIFIED OPERATIONS -- 1.2%
Amscan Holdings
9.875%, 12/15/07 400 336
Elgar Holdings
9.875%, 02/01/08 1,000 487
Knology Holdings (B)
14.390%, 10/15/07 6,100 3,927
Lodestar Holdings (A)
11.500%, 05/15/05 750 163
SCG Holding
12.000%, 08/01/09 2,500 2,675
Western Federal Notes (C)
15.500%, 09/30/00 500 90
--------
7,678
--------
DRUGS -- 0.4%
Dade International
11.125%, 05/01/06 500 472
ICN Pharmaceuticals
9.250%, 08/15/05 500 485
45
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
ICN Pharmaceuticals (A)
8.750%, 11/15/08 $ 1,270 $ 1,181
Twin Laboratories
10.250%, 05/15/06 325 321
--------
2,459
--------
ELECTRICAL SERVICES -- 1.4%
Aavid Thermal Technology (A)
12.750%, 02/01/07 500 490
AES
8.000%, 12/31/08 500 449
8.500%, 11/01/07 800 714
Ampex
12.000%, 03/15/03 1,000 950
CMS Energy
7.500%, 01/15/09 1,100 987
CMS Energy, Ser B
6.750%, 01/15/04 800 750
Cogentrix Energy
8.750%, 10/15/08 1,000 1,002
Condor Systems (A)
11.875%, 05/01/09 750 347
Integrated Electrical Services,
Ser B (A)
9.375%, 02/01/09 2,500 2,125
Niagra Mohawk Power, Ser G
7.750%, 10/01/08 800 792
--------
8,606
--------
ENTERTAINMENT -- 6.6%
AMC Entertainment
9.500%, 03/15/09 1,000 520
9.500%, 02/01/11 1,000 520
American Skiing, Ser B
12.000%, 07/15/06 450 382
AMF Group, Ser B
10.875%, 03/15/06 700 278
AMF Group, Ser B (B)
37.560%, 03/15/06 306 82
Argosy Gaming
10.750%, 06/01/09 4,300 4,364
Aztar (A)
8.875%, 05/15/07 1,500 1,357
Bally Total Fitness Holding, Ser D
9.875%, 10/15/07 400 364
Booth Creek Ski Holdings, Ser B
12.500%, 03/15/07 1,000 696
Boyd Gaming
9.500%, 07/15/07 500 469
Boyds Collection Ltd.
9.000%, 05/15/08 1,978 1,862
Casino Magic
13.000%, 08/15/03 1,600 1,774
Cinemark USA
9.625%, 08/01/08 500 324
Cinemark USA, Ser B
8.500%, 08/01/08 500 301
9.625%, 08/01/08 100 65
Circus Circus Enterprise
9.250%, 12/01/05 1,300 1,225
Eldorado Resorts
10.500%, 08/15/06 750 742
Fitzgeralds Gaming (C)
12.250%, 12/15/04 1,400 763
Hard Rock Hotel (A)
9.250%, 04/01/05 2,150 1,822
Hollywood Park, Ser B
9.250%, 02/15/07 1,000 982
9.500%, 08/01/07 2,800 2,761
Horseshoe Gaming Holdings, Ser B
8.625%, 05/15/09 650 596
Horseshoe Gaming LLC, Ser B
9.375%, 06/15/07 1,000 967
Imax (A)
7.875%, 12/01/05 1,750 1,592
Isle of Capri Casinos
8.750%, 04/15/09 1,500 1,312
KSL Recreation Group
10.250%, 05/01/07 1,000 981
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 630
Louisiana Casino Cruises, Ser B
11.000%, 12/01/05 1,000 1,027
Mohegan Tribal Gaming
8.750%, 01/01/09 1,300 1,245
Park Place Entertainment
7.875%, 12/15/05 1,000 920
Park Place Entertainment (A)
9.375%, 02/15/07 750 734
Players International
10.875%, 04/15/05 500 520
Premier Parks
9.250%, 04/01/06 500 464
9.750%, 01/15/07 500 484
9.750%, 06/15/07 2,000 1,862
Regal Cinemas (A)
8.875%, 12/15/10 450 165
9.500%, 06/01/08 900 378
Riviera Black Hawk
13.000%, 05/01/05 700 739
Silver Cinemas (A)
10.500%, 04/15/05 800 196
Station Casinos
10.125%, 03/15/06 2,350 2,356
Town Sports International, Ser B
9.750%, 10/15/04 1,500 1,419
Vail Resorts
8.750%, 05/15/09 600 543
46
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Waterford Gaming (A)
9.500%, 03/15/10 $ 1,055 $ 1,013
--------
41,796
--------
ENVIRONMENTAL SERVICES -- 0.5%
Allied Waste North America
7.875%, 01/01/09 1,300 1,037
10.000%, 08/01/09 1,000 740
Safety-Kleen Services
9.250%, 05/15/09 750 51
Safety-Kleen Services (A)
9.250%, 06/01/08 750 96
Waste Systems International
11.500%, 01/15/06 550 529
Waste Systems International (A)
7.000%, 05/13/05 800 536
--------
2,989
--------
FINANCIAL SERVICES -- 1.1%
Arcadia Financial Ltd.
11.500%, 03/15/07 1,000 1,053
Homeside
11.250%, 05/15/03 325 356
Labrache (A)
12.000%, 03/01/07 1,000 986
Lodgian Financing
12.250%, 07/15/09 1,000 880
Madison River Financial (A)
13.250%, 03/01/10 600 586
PTC International Finance BV (B)
13.760%, 07/01/07 1,000 660
Siligan Holdings PIK
13.250%, 07/15/06 336 365
Sovereign Bancorp
10.500%, 11/15/06 1,000 990
Windsor Woodmount Black Hawk
13.000%, 03/15/06 900 898
--------
6,774
--------
FOOD, BEVERAGE & TOBACCO -- 2.3%
Agrilink Foods
11.875%, 11/01/08 1,700 1,602
Archibald Candy
10.250%, 07/01/04 1,200 1,134
Aurora Foods
8.750%, 07/01/08 850 321
Aurora Foods, Ser B
9.875%, 02/15/07 1,000 377
Avado Brands
11.750%, 06/15/09 1,825 871
Eagle Family Foods
8.750%, 01/15/08 1,300 962
International Home Foods
10.375%, 11/01/06 $ 750 731
Keebler
10.750%, 07/01/06 450 481
Luigino's
10.000%, 02/01/06 1,200 987
Mrs Fields (B)
15.680%, 12/01/05 800 448
Mrs Fields, Ser B
10.125%, 12/01/04 760 621
National Wine & Spirits
10.125%, 01/15/09 1,000 955
New World Pasta
9.250%, 02/15/09 1,250 1,122
Pathmark Stores
9.625%, 05/01/03 1,400 990
Premier International Food PLC (A)
12.000%, 09/01/09 1,500 1,410
Pueblo Xtra International
9.500%, 08/01/03 1,000 477
Vlasic Foods International, Ser B
10.250%, 07/01/09 1,250 784
--------
14,273
--------
FORESTRY -- 0.1%
Tembec Industries (A)
8.625%, 06/30/09 500 476
--------
GARDEN PRODUCTS -- 0.3%
Color Spot Nurseries
10.500%, 12/15/07 900 652
Scotts (A)
8.625%, 01/15/09 1,500 1,380
--------
2,032
--------
HOTELS & LODGING -- 2.8%
Ameristar Casino, Ser B
10.500%, 08/01/04 1,450 1,432
Capstar Hotel
8.750%, 08/15/07 500 439
Coast Hotels & Casinos
9.500%, 04/01/09 1,200 1,095
Florida Panthers Holdings
9.875%, 04/15/09 750 682
Harrahs Operating (A)
7.875%, 12/15/05 1,000 925
Harvey Casinos Resorts
10.625%, 06/01/06 2,650 2,710
HMH Properties (A)
8.450%, 12/01/08 500 435
Hollywood Casinos (A)
11.250%, 05/01/07 1,000 1,005
13.000%, 08/01/06 600 640
47
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Intrawest
9.750%, 08/15/08 $ 500 $ 474
John Q Hammons Hotels
8.875%, 02/15/04 500 447
Majestic Star Casino, Ser B
10.875%, 07/01/06 1,300 1,245
Meristar Hotel
8.750%, 08/15/07 500 456
Peninsula Gaming LLC (A)
12.250%, 07/01/06 1,000 980
Prime Hospitality
9.250%, 01/15/06 600 591
9.750%, 04/01/07 450 433
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,567
Station Casinos (A)
9.750%, 04/15/07 1,000 980
Sun International Hotels
9.000%, 03/15/07 1,300 1,206
--------
17,742
--------
HOUSEHOLD PRODUCTS FURNITURE & FIXTURES -- 0.5%
Congoleum
8.625%, 08/01/08 1,000 866
Holmes Products, Ser D
9.875%, 11/15/07 500 349
Home Products International
9.625%, 05/15/08 800 710
International Knife & Saw
11.375%, 11/15/06 500 371
Safelite Glass (A)
9.875%, 12/15/06 800 20
Sealy Mattress
9.875%, 12/15/07 500 491
Sealy Mattress (B)
11.790%, 12/15/07 500 356
--------
3,163
--------
LEASING & RENTING -- 1.0%
Anthony Crane Rentals, Ser B
10.375%, 08/01/08 500 384
Avis Rent-A-Car
11.000%, 05/01/09 2,250 2,239
Neff
10.250%, 06/01/08 500 451
United Rentals
9.000%, 04/01/09 2,650 2,352
9.250%, 01/15/09 800 708
Universal Compression (B)
13.570%, 02/15/08 800 475
--------
6,609
--------
MACHINERY -- 2.3%
APCOA
9.250%, 03/15/08 $ 700 383
Applied Extrusion Technologies,
Ser B
11.500%, 04/01/02 800 823
BGF Industries
10.250%, 01/15/09 1,000 902
Bucyrus International
9.750%, 09/15/07 500 174
Collins & Aikman (A)
10.000%, 01/15/07 1,000 975
Consolidated Container Capital
10.125%, 07/15/09 1,000 997
Grove Worldwide (A)
9.250%, 05/01/08 1,000 450
GSI Group Inc
10.250%, 11/01/07 1,000 696
Jackson Products (A)
9.500%, 04/15/05 1,200 1,089
Magnum Hunter Re
10.000%, 06/01/07 500 448
Moog
10.000%, 05/01/06 500 495
Motors & Gears
10.750%, 11/15/06 1,050 1,038
Oglebay Norton
10.000%, 02/01/09 1,000 930
Sequa
9.000%, 08/01/09 1,000 927
Simonds Industries (A)
10.250%, 07/01/08 600 454
Thermadyne Holdings (A) (B)
13.090%, 06/01/08 550 252
Transportation Manufacturing
11.250%, 05/01/09 3,500 3,307
--------
14,340
--------
MARINE TRANSPORTATION -- 0.3%
American Commercial Lines
10.250%, 06/30/08 1,100 954
First Wave Marine
11.000%, 02/01/08 1,000 602
Golden Ocean Group Ltd. (C)
10.000%, 08/31/01 1,032 124
Sea Containers Ltd.
10.750%, 10/15/06 700 593
--------
2,273
--------
MEASURING DEVICES -- 0.2%
Eagle Geophysical (C)
10.750%, 07/15/08 1,000 117
Numatics
9.625%, 04/01/08 800 649
48
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Quest Diagnostic
10.750%, 12/15/06 $ 450 $ 467
--------
1,233
--------
MEDICAL PRODUCTS & SERVICES -- 1.0%
Alaris Medical (B)
21.230%, 08/01/08 1,000 329
Beverly Enterprises
9.000%, 02/15/06 700 607
Fountain View (A)
11.250%, 04/15/08 1,000 762
Leiner Health Products
9.625%, 07/10/07 500 371
Lifepoint Hospitals Holdings
10.750%, 05/15/09 2,800 2,814
Oxford Health Plans
11.000%, 05/15/05 500 492
Paracelsus Healthcare (C)
10.000%, 08/15/06 500 204
Tenet Healthcare
8.625%, 01/15/07 500 485
Universal Health Services
8.750%, 08/15/05 250 248
--------
6,312
--------
MISCELLANEOUS BUSINESS SERVICES -- 2.9%
Autotote, Ser B
10.875%, 08/01/04 1,000 996
Buhrmann US (A)
12.250%, 11/01/09 2,075 2,106
Covad Communications Group
12.500%, 02/15/09 800 742
Earthwatch (B)
14.420%, 07/15/07 2,250 1,561
Exodus Communications
11.250%, 07/01/08 2,200 2,194
Exodus Communications (A)
10.750%, 12/15/09 1,400 1,368
Interact Operating PIK
14.000%, 08/01/03 375 206
IT Group
11.250%, 04/01/09 1,000 951
Knoll
10.875%, 03/15/06 260 259
Phase Metrics (A) (C)
10.750%, 02/01/05 500 73
Pierce Leahy (A)
9.125%, 07/15/07 450 411
Rhythms Netconnections
12.750%, 04/15/09 2,300 1,915
Rhythms Netconnections (A) (B)
13.500%, 05/15/08 1,700 814
Unisys
7.875%, 04/01/08 400 377
11.750%, 10/15/04 500 539
12.000%, 04/15/03 550 583
Verio
10.375%, 04/01/05 500 484
11.250%, 12/01/08 750 743
13.500%, 06/15/04 1,000 1,060
Verio (A)
10.675%, 11/15/09 1,200 1,167
--------
18,549
--------
MISCELLANEOUS MANUFACTURING -- 1.9%
ADV Accessory
9.750%, 10/01/07 550 483
Advanced Glassfiber (A)
9.875%, 01/15/09 1,000 873
Burke Industries
10.000%, 08/15/07 600 269
Cambridge Industries, Ser B
10.250%, 07/15/07 500 94
Communications Instrument
10.000%, 09/15/04 500 364
Delco Remy International
10.625%, 08/01/06 1,500 1,479
Diamond Brands Operating (A)
10.125%, 04/15/08 650 484
Doskocil Manufacturing
10.125%, 09/15/07 500 184
Galey & Lord
9.125%, 03/01/08 750 276
Gentek
11.000%, 08/01/09 750 744
GST Equipment Funding
13.250%, 05/01/07 500 379
ISP Holdings
9.000%, 10/15/03 500 449
Jl French Auto Casting, Ser B
11.500%, 06/01/09 1,000 980
JPS Automotive Products
11.125%, 06/15/01 100 101
LDM Technologies
10.750%, 01/15/07 500 399
MMI Products
11.250%, 04/15/07 1,000 1,010
Omega Cabinets
10.500%, 06/15/07 1,000 996
Pillowtex
10.000%, 11/15/06 500 179
Polymer Group, Ser B
9.000%, 07/01/07 600 528
49
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Tekni-Plex
11.250%, 04/01/07 $ 800 $ 820
William Carter (A)
10.375%, 12/01/06 750 659
--------
11,750
--------
PAPER & PAPER PRODUCTS -- 2.6%
American Tissue
12.500%, 07/15/06 1,100 1,117
Berry Plastics
11.000%, 07/15/07 1,300 1,300
12.500%, 06/15/06 533 492
Buckeye Cellulose
9.250%, 09/15/08 500 503
Container
9.750%, 04/01/03 550 562
Crown Paper (C)
11.000%, 09/01/05 1,500 431
Doman Industries Ltd.
12.000%, 07/01/04 1,250 1,269
Drypers
10.250%, 06/15/07 1,450 1,142
Four M
12.000%, 06/01/06 1,000 983
Gaylord Container
9.750%, 06/15/07 600 555
Gaylord Container (A)
9.375%, 06/15/07 850 767
Mail-Well, Ser B
8.750%, 12/15/08 800 698
Norampac
9.500%, 02/01/08 775 767
Playtex Products
8.875%, 07/15/04 400 393
Portola Packaging
10.750%, 10/01/05 200 188
Repap Enterprises (A)
6.000%, 06/30/05 800 408
Repap New Brunswick
10.625%, 04/15/05 1,800 1,611
Republic Group (A)
9.500%, 07/15/08 700 635
Riverwood International
10.875%, 04/01/08 1,000 933
SD Warren
14.000%, 12/15/06 927 1,029
Specialty Paperboard
9.375%, 10/15/06 500 473
Stone Container (A)
11.500%, 08/15/06 400 423
--------
16,679
--------
PETROLEUM & FUEL PRODUCTS -- 3.9%
Abraxas Petroleum
11.500%, 11/01/04 $ 875 768
Bellwether Exploration
10.875%, 04/01/07 1,200 1,083
Canadian Forest Oil Ltd.
8.750%, 09/15/07 800 736
Clark R&M
8.875%, 11/15/07 500 306
Cliffs Drilling
10.250%, 05/15/03 400 399
Comstock Resources
11.250%, 05/01/07 2,000 1,993
Contour Energy
14.000%, 04/15/03 1,206 1,170
Costilla Energy (C)
10.250%, 10/01/06 1,000 178
Crown Central Petroleum
10.875%, 02/01/05 1,200 912
Denbury Management
9.000%, 03/01/08 1,800 1,602
Energy of America
9.500%, 05/15/07 500 354
Fronteir Oil
11.750%, 11/15/09 800 756
Frontier Oil (A)
9.125%, 02/15/06 800 690
Gothic Production
11.125%, 05/01/05 700 584
Great Lakes Carbon
10.250%, 05/15/08 500 469
Gulf Canada Resources
8.375%, 11/15/05 500 489
Gulf Canada Resources Ltd.
9.625%, 07/01/05 500 505
HS Resources
9.250%, 11/15/06 500 481
HS Resources (A)
9.250%, 11/15/06 500 481
Key Energy Services
14.000%, 01/15/09 1,150 1,258
Lyondell Chemical
9.875%, 05/01/07 1,400 1,330
Nuevo Energy
9.500%, 06/01/08 400 387
Ocean Energy
8.875%, 07/15/07 400 385
Parker Drilling, Ser D
9.750%, 11/15/06 1,200 1,158
Pogo Producing
8.750%, 05/15/07 850 788
Pride International
10.000%, 06/01/09 500 491
50
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Pride Petroleum Services
9.375%, 05/01/07 $ 750 $ 722
R&B Falcon (A)
6.950%, 04/15/08 1,000 833
Ram Energy
11.500%, 02/15/08 500 249
Southwest Royalties, Ser B
10.500%, 10/15/04 500 289
Swift Energy
10.250%, 08/01/09 1,750 1,702
Ultapetrol
10.500%, 04/01/08 800 677
Wiser Oil
9.500%, 05/15/07 600 488
--------
24,713
--------
PRINTING & PUBLISHING -- 4.1%
American Lawyer Media
9.750%, 12/15/07 1,150 1,080
American Lawyer Media
Holding (B)
13.660%, 12/15/08 1,000 656
American Media Operation
10.250%, 05/01/09 900 880
Completel Europe (B)
16.360%, 02/15/09 1,800 844
Garden State Newspapers
8.625%, 07/01/11 1,000 881
Hollinger International Publishing
9.250%, 03/15/07 1,000 948
Hyperion Telecommunication (B)
11.190%, 04/15/03 1,900 1,736
Jordan Industries
10.375%, 08/01/07 1,950 1,857
Liberty Group Operating
9.375%, 02/01/08 650 571
Liberty Group Publishings (B)
25.910%, 02/01/09 500 249
McLeod USA
8.125%, 02/15/09 500 443
8.375%, 03/15/08 500 449
9.250%, 07/15/07 500 475
McLeod USA (B)
11.070%, 03/01/07 2,000 1,593
MDC Communications (A)
10.500%, 12/01/06 1,000 984
Merrill
12.000%, 05/01/09 625 609
Muzak Finance LLC
9.875%, 03/15/09 1,000 950
Perry-Judd
10.625%, 12/15/07 500 395
Phoenix Color
10.375%, 02/01/09 750 684
Price Communication Wireless
11.750%, 07/15/07 250 268
Regional Independent Media
Group (A)
10.500%, 07/01/08 1,000 976
Susquehanna Media
8.500%, 05/15/09 1,250 1,191
T/SF Communications, Ser B
10.375%, 11/01/07 500 469
Time Warner (A)
9.750%, 07/15/08 1,250 1,238
9.750%, 06/01/07 600 500
Tritel PCS (B)
11.680%, 05/15/09 3,200 1,976
TV Guide
8.125%, 03/01/09 1,000 990
Viasystems
9.750%, 06/01/07 1,100 916
World Color Press
7.750%, 02/15/09 1,500 1,416
--------
25,724
--------
PROFESSIONAL SERVICES -- 0.2%
Haynes International
11.625%, 09/01/04 500 271
URS
12.250%, 05/01/09 900 927
--------
1,198
--------
REAL ESTATE -- 0.1%
D.R. Horton (A)
8.000%, 02/01/09 500 418
--------
RETAIL -- 6.2%
Advance Stores (A)
10.250%, 04/15/08 2,350 1,874
AFC Enterprises
10.250%, 05/15/07 2,850 2,800
Ainsworth Lumber
12.500%, 07/15/07 1,500 1,626
American Restaurant Group
11.500%, 02/15/03 700 499
Ameriking
10.750%, 12/01/06 600 527
AP Holdings (B)
25.150%, 03/15/08 1,700 380
B&G Foods
9.625%, 08/01/07 500 401
Carrols
9.500%, 12/01/08 1,000 848
Climachem, Ser B
10.750%, 12/01/07 1,000 173
51
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Finlay Enterprises
9.000%, 05/01/08 $ 200 $ 180
Fisher Scientific International
9.000%, 02/01/08 1,000 910
Fleming
10.500%, 12/01/04 670 616
Friendly Ice Cream
10.500%, 12/01/07 700 480
Group 1 Automotive
10.875%, 03/01/09 1,000 943
HMV Media Group (A)
10.250%, 05/15/08 1,000 773
Home Interior & Gifts
10.125%, 06/01/08 1,500 1,204
Host Marriott
7.875%, 08/01/05 550 488
7.875%, 08/01/08 800 673
8.375%, 02/15/06 500 459
Jitney-Jungle Stores (C)
10.375%, 09/15/07 450 7
Jo-Ann Stores
10.375%, 05/01/07 600 528
K-Mart
7.750%, 10/01/12 850 768
K-Mart (A)
8.540%, 01/02/15 733 717
Leslie's Poolmart
10.375%, 07/15/04 800 558
Marsh Supermarket
8.875%, 08/01/07 500 469
Maxim Group, Ser B
9.250%, 10/15/07 296 236
Metallurg
11.000%, 12/01/07 800 654
Ne Restaurant (A)
10.750%, 07/15/08 600 515
Nebraska Book
8.750%, 02/15/08 1,000 808
Northpoint Communications
Group (A)
12.875%, 02/15/10 800 710
Owens & Minor
10.875%, 06/01/06 500 511
Pantry
10.250%, 10/15/07 1,000 883
Perkins Family Restaurant/
Finance, Ser B
10.125%, 12/15/07 1,000 975
Port Royal Holdings
10.250%, 10/01/07 1,000 1,024
Printpack, Ser B
10.625%, 08/15/06 800 766
RH Donnelly (A)
9.125%, 06/01/08 800 784
Roma (A)
12.000%, 07/01/06 750 602
Sbarro (A)
11.000%, 09/15/09 2,000 2,000
Simmons
10.250%, 03/15/09 1,500 1,253
Sleepmaster
11.000%, 05/15/09 1,250 1,200
Sonic Automotive
11.000%, 08/01/08 2,000 1,885
Stater Brother Holdings
10.750%, 08/15/06 1,000 990
Travelcenters of America
10.250%, 04/01/07 750 718
US Office Products (A)
9.750%, 06/15/08 750 270
Wesco Distribution, Ser B
9.125%, 06/01/08 1,750 1,514
Wheeling-Pittsburgh
9.250%, 11/15/07 900 830
Zilog, Ser B
9.500%, 03/01/05 1,200 1,098
--------
39,127
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.2%
Amkor Technologies
10.500%, 05/01/09 4,500 4,376
Amphenol
9.875%, 05/15/07 300 307
Fairchild Semiconductor
10.375%, 10/01/07 2,800 2,758
--------
7,441
--------
SPECIAL PURPOSE ACQUISITION -- 0.4%
Advance Holding (B)
17.240%, 04/15/09 1,500 703
DTI Holdings (B)
18.740%, 03/01/08 1,500 733
P&L Coal Holdings (A)
8.875%, 05/15/08 250 227
P&L Coal Holdings, Ser A
9.625%, 05/15/08 1,250 1,122
--------
2,785
--------
SPECIAL PURPOSE ENTITY -- 0.4%
Airplanes Pass Through Trust
10.875%, 03/15/19 989 849
Caithness Coso Fund, Ser B
9.050%, 12/15/09 1,000 955
Russell-Stanley Holdings
10.875%, 02/15/09 750 645
--------
2,449
--------
52
<PAGE>
------------------------------------------------------------------------
------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
------------------------------------------------------------------------
SPECIALTY CONSTRUCTION -- 0.1%
AAF-Mcquay (A)
8.875%, 02/15/03 $ 835 $ 708
--------
STEEL & STEEL WORKS -- 2.1%
AEI Resources (A)
11.500%, 12/15/06 500 59
Algoma Steel
12.375%, 07/15/05 1,000 970
Anchor Lamina
9.875%, 02/01/08 1,000 746
Bayou Steel
9.500%, 05/15/08 500 451
Commonwealth Aluminum
10.750%, 10/01/06 500 496
Euramax International PLC
11.250%, 10/01/06 1,500 1,491
Golden Northwest
12.000%, 12/15/06 700 730
GS Technologies
12.000%, 09/01/04 1,100 591
Gulf States Steel (C)
13.500%, 04/15/03 1,000 130
Ivaco
11.500%, 09/15/05 500 535
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 654
Kaiser Aluminum & Chemical,
Ser B
10.875%, 10/15/06 600 581
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 369
National Steel
9.875%, 03/01/09 800 782
Neenah
11.125%, 05/01/07 500 445
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 418
Oxford Automotive
10.125%, 06/15/07 1,200 1,116
Renco Metals
11.500%, 07/01/03 500 256
Republic Technology (A)
13.750%, 07/15/09 750 174
Sheffield Steel, Ser B
11.500%, 12/01/05 500 416
WCI Steel
10.000%, 12/01/04 1,000 978
Weirton Steel
11.375%, 07/01/04 250 257
Wells Aluminum
10.125%, 06/01/05 500 539
--------
13,184
--------
TELEPHONES & TELECOMMUNICATIONS -- 21.3%
Airgate PCS (B)
9.687%, 10/01/09 1,400 1,050
12.920%, 10/01/09 1,000 548
Alamosa PCS Holdings (B)
13.530%, 02/15/10 4,500 2,177
Allbritton Communications
9.750%, 11/30/07 800 781
AMSC Acquisition, Ser B
12.250%, 04/01/08 900 709
Call-Net Enterprises
9.375%, 05/15/09 1,050 806
Call-Net Enterprises (A) (B)
15.470%, 08/15/08 600 281
Call-Net Enterprises (B)
13.200%, 05/15/09 500 229
14.320%, 08/15/07 1,000 569
Caprock Communications
11.500%, 05/01/09 1,000 965
Carrier One
13.250%, 02/15/09 1,000 1,038
Centennial Cellular
10.750%, 12/15/08 1,000 990
Clearnet Communications (B)
11.720%, 12/15/05 1,800 1,802
12.165%, 05/01/09 3,500 1,999
Colo.com (A)
13.875%, 03/15/10 2,250 2,273
Colt Telecommunications
Group (B)
9.640%, 12/15/06 600 528
Concentric Network
12.750%, 12/15/07 550 573
Covad Communications
Group (A)
12.000%, 02/15/10 2,500 2,244
Dobson/Sygnet Communications
12.250%, 12/15/08 1,000 1,048
Dolphin Telecommunications
PLC (B)
17.910%, 05/15/09 2,550 944
18.790%, 06/01/08 600 260
E.spire Communications
13.750%, 07/15/07 500 324
E.spire Communications (B)
18.010%, 07/01/08 500 174
18.270%, 04/01/06 500 326
19.290%, 11/01/05 1,800 988
Energis PLC
9.750%, 06/15/09 650 655
Equinix
13.000%, 12/01/07 800 816
53
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Esprit Telecommunications
Group PLC
11.500%, 12/15/07 $ 500 $ 459
Flag Ltd.
8.250%, 01/30/08 750 658
Flag Telecommunications Ltd. (A)
11.625%, 03/30/10 2,500 2,369
Focal Communications (B)
12.380%, 02/15/08 1,550 1,019
Galaxy Telecommunications (A)
12.375%, 10/01/05 1,400 1,467
GCI
9.750%, 08/01/07 1,250 1,159
Global Crossing Holdings
Ltd. (A)
9.125%, 11/15/06 4,000 3,800
9.625%, 05/15/08 1,510 1,461
Global Telesystems Group
9.875%, 02/15/05 1,250 1,041
Globalstar LP/Capital
11.250%, 06/15/04 900 322
11.375%, 02/15/04 400 143
11.500%, 06/01/05 250 87
Golden Sky (B)
10.090%, 03/01/07 1,000 669
GST USA Guarantee (B)
24.960%, 12/15/05 1,760 878
GT Group Telecommunications (B)
12.300%, 02/01/10 5,500 3,080
Hermes Europe Railtel BV
10.375%, 01/15/09 1,000 888
11.500%, 08/15/07 750 707
Hyperion Telecommunications
12.250%, 09/01/04 500 519
ICG Holdings (A) (B)
13.800%, 03/15/07 900 636
ICG Services (B)
13.800%, 02/15/08 1,250 680
Insight Midwest (A)
9.750%, 10/01/09 850 846
Intelcomm Group (B)
13.510%, 09/15/05 650 615
14.040%, 05/01/06 400 325
Intermedia Communications (B)
10.900%, 05/15/06 900 852
11.240%, 07/15/07 750 578
International Cabletel (B)
10.430%, 02/01/06 1,200 1,127
11.970%, 04/15/05 400 409
International Wire Group
11.750%, 06/01/05 1,250 1,266
11.750%, 06/01/05 1,250 1,266
ITC Deltacom
8.875%, 03/01/08 455 433
9.750%, 11/15/08 250 246
11.000%, 06/01/07 422 429
KMC Telecommunications
Holdings (B)
15.540%, 02/15/08 1,250 670
Kpnqwest BV
8.125%, 06/01/09 1,000 956
L-3 Communications (A)
8.000%, 08/01/08 750 653
Leap Wireless
12.500%, 04/15/10 3,500 3,570
Level 3 Communications
9.125%, 05/01/08 1,600 1,572
Level 3 Communications (A)
11.000%, 03/15/08 7,000 6,685
Level 3 Communications (B)
12.820%, 12/01/08 500 274
Mannesmann AG
9.000%, 06/01/09 750 774
Mastec
7.750%, 02/01/08 700 648
Metricom Finance
13.000%, 02/15/10 1,000 788
Metromedia Fiber
10.000%, 11/15/08 1,000 950
Metromedia Fiber Network
10.000%, 12/15/09 600 572
Metromedia International
Group, Ser B (A)
10.500%, 09/30/07 1,322 621
Metronet Communications
12.000%, 08/15/07 500 569
Metronet Communications (B)
9.460%, 06/15/08 1,400 1,104
MGC Communications, Ser B
13.000%, 10/01/04 2,250 2,334
Microcell
Telecommunications (A) (B)
11.090%, 06/01/06 1,000 889
Nextel Communications (B)
10.950%, 09/15/07 1,250 911
11.170%, 02/15/08 1,400 964
Nextel Partners (B)
12.530%, 02/01/09 2,000 1,275
Nextlink Communications
10.750%, 11/15/08 4,500 4,331
12.500%, 04/15/06 800 850
Nextlink Communications (A)
10.500%, 12/01/09 500 479
Nextlink Communications (B)
12.600%, 04/15/08 800 487
54
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
NTL Communications
11.500%, 10/01/08 $ 600 $ 615
Orbital Imaging
11.625%, 03/01/05 950 568
Orion Network Systems
11.250%, 01/15/07 800 558
Pac-West Telecommunications
13.500%, 02/01/09 1,100 1,128
Pagemart Nationwide
15.000%, 02/01/05 750 787
Powertel
11.125%, 06/01/07 500 516
Powertel (B)
11.960%, 02/01/06 500 453
Primus Telecommunications Group
11.250%, 01/15/09 1,500 1,384
11.750%, 08/01/04 600 578
Protection One Alarm Protection (A)
8.125%, 01/15/09 350 195
Psinet
10.000%, 02/15/05 950 895
11.000%, 08/01/09 3,500 3,395
11.500%, 11/01/08 350 346
PTC International Finance II (A)
11.250%, 12/01/09 1,000 1,016
Qwest Communications
10.875%, 04/01/07 325 356
Qwest Communications (B)
9.170%, 10/15/07 1,050 844
RCN
10.000%, 10/15/07 1,750 1,566
10.125%, 01/15/10 3,750 3,366
RCN (B)
13.260%, 02/15/08 1,300 765
13.710%, 10/15/07 750 481
Rogers Cantel
9.375%, 06/01/08 500 528
RSL Communications PLC
9.125%, 03/01/08 500 404
9.875%, 11/15/09 1,000 823
12.000%, 11/01/08 750 713
Rural Cellular
9.625%, 05/15/08 500 498
Sitel (A)
9.250%, 03/15/06 500 458
Sprint Spectrum
11.000%, 08/15/06 1,040 1,121
Startec Global Communications
12.000%, 05/15/08 500 419
Sun Media
9.500%, 05/15/07 325 312
Telecorp PCS (B)
11.370%, 04/15/09 3,600 2,219
Teligent
11.500%, 12/01/07 1,000 903
Triton PCS (B)
11.160%, 05/01/08 600 405
US Unwired (A) (B)
13.290%, 11/01/09 750 401
Versatel Telecommunications
11.875%, 07/15/09 1,000 980
Viatel
11.500%, 03/15/09 686 629
Viatel (B)
14.940%, 04/15/08 1,500 821
Voicestream Wire (A)
10.375%, 11/15/09 3,300 3,275
Voicestream Wire (A) (B)
11.220%, 11/15/09 1,250 748
Weblink Wireless (B)
16.370%, 02/01/08 1,500 855
Western Wireless
10.500%, 06/01/06 400 419
10.500%, 02/01/07 300 314
WHX
10.500%, 04/15/05 750 696
Williams Communications
10.875%, 10/01/09 3,700 3,645
Winstar Communications
10.000%, 03/15/08 500 494
Winstar Communications (B)
8.850%, 10/15/05 1,250 1,278
World Access, Ser B
13.250%, 01/15/08 800 694
Worldwide Fiber
12.000%, 08/01/09 500 473
12.500%, 12/15/05 750 741
--------
133,535
--------
TRANSPORTATION SERVICES -- 0.5%
Allied Holdings, Ser B
8.625%, 10/01/07 850 746
Atlantic Express
10.750%, 02/01/04 500 471
Offshore Logistics
7.875%, 01/15/08 600 564
Werner Holdings
10.000%, 11/15/07 1,400 1,313
--------
3,094
--------
Total Corporate Obligations
(Cost $637,298) 568,889
--------
55
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000
HIGH YIELD BOND FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
ASSET-BACKED OBLIGATION -- 0.1%
Constellation Finance
LLC, Ser 1997-1
9.800%, 12/14/02 $ 500 $ 460
--------
Total Asset-Backed Obligation
(Cost $500) 460
--------
PREFERRED/CONVERTIBLE STOCKS -- 1.1%
Adelphia Business Solution,
Ser B PIK* 9 9
Adelphia Communications,
Ser B, Exchange 13.000%* 2,500 269
Ameriking PIK* 2,933,500 587
Benedek Communications PIK* 500,000 395
Diva Systems, Ser C* 41,615 749
E.Spire Communications
PIK* (A) 546 137
GPA Group, PLC* (A) 1,000,000 525
Granite LTD* 100 10
Interact Electriconic Marketing,
Convertible $14.00* 700 179
Intermedia Communication,
Convertible $30.235* (A) 20,000 840
Intermedia Communication,
Ser B PIK* 360 344
International Utility PIK* 140 12
Metretek Technologies* 300 685
Nextel Communications,
Ser D PIK* 681 725
Nextel Communications,
Ser E PIK* 3,770 360
Nextlink Communications PIK* 7,551 385
Pegasus Communications PIK* 2,500 311
Pegasus Communications,
Ser A PIK* 990 103
Peninsula Gaming* 7,042 42
Primedia, Ser D,
Exchange 10.000%* 4,000 374
--------
Total Preferred/Convertible Stocks
(Cost $5,626) 7,041
--------
U.S. GOVERNMENT AGENCY OBLIGATION -- 0.7%
FHLB
5.200%, 04/03/00 $ 4,599 4,597
--------
Total U.S. Government Agency Obligation
(Cost $4,598) 4,597
--------
WARRANTS -- 0.4%
Abraxas Petroleum Limited
Contigent Value Rights* 74,523 --
American Communication
Services* 1,320 40
American Mobile* (A) 900 10
Ampex* (A) 34,000 30
Australis* (A) 500 --
Carrier1* (A) 1,000 750
Classic Cable* 3,000 50
Clearnet* 1,334 --
Crown Packaging* 100,848 --
Diva System* 1,125 585
Diva Systems* (D) 8,271 149
DTI Holdings* (A) 6,250 --
E.spire Communications* 500 42
Golden Ocean Group* 688 1
HF Holdings* 3,156 --
Intelcom Group* 700 --
Inter Act Electronic* 700 --
Key Energy Services* 1,150 104
KMC Telecommunications
Holdings* 1,250 3
McCaw International* 1,400 22
Mentus Media* 2,365 --
Metretek Technologies* 30,000 246
Metricom* 1,000 35
Metronet* (A) (D) 500 4
Microcell Telecommunications* (A) 2,400 180
Nextlink Communications* 5,000 --
Orbital Imaging* (A) 950 19
PLD Telekom* 830 --
Republic Technolgy* 750 --
Startec Global* 500 9
USN Communication* 11,540 12
Waste Systems International* 8,250 --
Wireless One* 20 --
Worldwide Flight* 800 --
--------
Total Warrants
(Cost $830) 2,291
--------
56
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 1.3%
Abraxas Petroleum (Nev)* 74,523 $ 168
Advanced Radio Telecom* 10,117 335
Coinstar* 4,545 57
Completel Holdings* (A) 18,000 --
Concentric Network* 6,974 384
Globalstar Telecommunications
Ltd.* 3,303 46
Globix* 19,712 752
ICG Communications* 1,155 42
Intermedia Communication* 2,956 143
Jazz Casino P* 10,237 409
Jordan Telecommunications Cp* 500 18
Loral Space & Communication* 454 5
Metretek Technologies* 60,000 713
Optel* (A) 300 --
Price Communications* (C) 89,949 2,069
Primus Telecommunications Group* 1,047 54
SF Holdings Class C
Common Stock* (A) 200 --
Verio* 28,168 1,269
Viatel* 2,863 144
Weatherford International* 23,691 1,396
World Access* 2,514 48
--------
Total Common Stocks
(Cost $4,934) 8,052
--------
COMMERICAL PAPER -- 3.5%
General Electric Capital
5.740%, 04/03/00 $22,570 22,570
--------
Total Commercial Paper
(Cost $22,563) 22,570
--------
RIGHT -- 0.1%
Primestar* 8,827 689
--------
Total Right
(Cost $0) 689
--------
Total Investments -- 97.3%
(Cost $676,349) 614,589
--------
Other Assets and Liabilities, Net -- 2.7% 16,841
--------
--------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 65,610,418 outstanding shares
of beneficial interest $701,499
Distribution in excess of net investment
income (5)
Accumulated net realized loss on investments (8,304)
Net unrealized depreciation on investments (61,760)
--------
Total Net Assets -- 100.0% $631,430
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.62
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM,
EXEMPT FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF
1933, AS AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM
OR OTHER "ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED
TO BE LIQUID UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON MARCH 31, 2000. THE COUPON ON A STEP BOND CHANGES
ON A SPECIFIC DATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
(D) RESTRICTED SECURITY, NOT REEADILY MARKETABLE (SEE NOTE 2).
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
LTD. --- LIMITED
PIK -- PAYMENT-IN-KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
57
<PAGE>
[This page intentionally left blank]
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
CORE FIXED
INCOME
------------------
ASSETS:
Investments at value
(Cost $2,840,819) $2,805,669
Cash 11,801
Income receivable 32,589
Investment securities sold 146,795
Capital shares sold receivable 3,104
Other receivables 991
Other assets 294
------------------
Total Assets 3,001,243
------------------
LIABILITIES:
Distribution payable 14,430
Investment securities purchased 278,043
Capital shares redeemed payable 4,046
Accrued expenses payable 1,108
Other payables 898
Other liabilities 21,185
------------------
Total Liabilities 319,710
------------------
Total Net Assets $2,681,533
==================
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no par value) based on
269,300,931 outstanding shares of beneficial interest 2,766,504
Distributions in excess of net investment income (653)
Accumulated net realized loss on investments (48,746)
Net unrealized depreciation on futures (422)
Net unrealized depreciation on investments (35,150)
------------------
TOTAL NET ASSETS-- 100.0% $2,681,533
==================
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 9.96
==================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
59
<PAGE>
STATEMENTS OF OPERATIONS(000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
---------- ---------- ----------- ------------ ------------
LARGE CAP LARGE CAP TAX-MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP VALUE GROWTH
---------- ---------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 31,108 $ 6,208 $ 7,627 $ 5,690 $ 514
Interest Income 3,213 3,495 1,870 1,025 1,672
---------- ---------- ----------- ------------ ------------
Total Investment Income 34,321 9,703 9,497 6,715 2,186
---------- ---------- ----------- ------------ ------------
EXPENSES:
Management Fees 4,915 5,890 1,816 1,060 2,298
Waiver of Management Fees -- -- -- -- --
Investment Advisory Fees 4,915 6,732 2,075 1,969 4,268
Waiver of Investment Advisory Fees (230) (935) (330) (91) (127)
Custodian/Wire Agent Fees 118 142 137 33 31
Transfer Agent Fees (1) -- -- -- -- 3
Professional Fees 31 47 42 11 10
Registration Fees 224 147 88 63 38
Printing Fees -- -- 34 -- --
Trustee Fees 7 12 13 3 3
Shareholder Servicing Fees 3,516 4,214 1,299 758 1,640
Waiver of Shareholder Servicing Fees (1,578) (1,947) (794) (479) (943)
Distribution Fees (1) -- -- -- -- 5
Other Expenses 19 3 29 4 1
---------- ---------- ----------- ------------ ------------
Total Expenses 11,937 14,305 4,409 3,331 7,227
---------- ---------- ----------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 22,384 (4,602) 5,088 3,384 (5,041)
---------- ---------- ----------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions 16,850 230,832 (16,133) (2,788) 346,088
Net Realized Gain (Loss) from
Futures Contracts 2,132 2,714 7,150 3,808 4,439
Net Change in Unrealized
Appreciation (Depreciation)
on Investments 16,089 829,569 136,416 15,355 307,589
---------- ---------- ----------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $57,455 $1,058,513 $132,521 $19,759 $653,075
========= ========== =========== ============ ========
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
60
<PAGE>
STATEMENTS OF OPERATIONS(000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
---------- ------------ ---------- ------------ ------------ -----------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND
---------- ------------ ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 246 $ 266 $ 688 $ 151 $ -- $ 70
Interest Income 11 189 176 652 83,351 30,589
---------- ------------ ---------- ------------ ------------ -----------
Total Investment Income 257 455 864 803 83,351 30,659
---------- ------------ ---------- ------------ ------------ -----------
EXPENSES:
Management Fees 62 118 108 89 3,490 1,022
Waiver of Management Fees -- -- -- -- -- (21)
Investment Advisory Fees 72 135 105 102 3,427 1,424
Waiver of Investment Advisory Fees -- (20) -- (13) (112) (137)
Custodian/Wire Agent Fees 3 6 7 3 99 29
Transfer Agent Fees (1) -- -- -- -- -- --
Professional Fees 1 1 -- 1 20 8
Registration Fees 5 -- -- 1 155 47
Printing Fees -- -- -- -- -- 4
Trustee Fees -- -- -- -- 6 1
Shareholder Servicing Fees 45 85 77 64 3,120 731
Waiver of Shareholder Servicing Fees (10) (41) (35) (57) (2,755) (642)
Distribution Fees (1) -- -- -- -- -- --
Other Expenses 1 -- -- 1 28 16
---------- ------------ ---------- ------------ ------------ -----------
Total Expenses 179 284 262 191 7,478 2,482
---------- ------------ ---------- ------------ ------------ -----------
NET INVESTMENT INCOME (LOSS) 78 171 602 612 75,873 28,177
---------- ------------ ---------- ------------ ------------ -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions 1,018 10,489 4,977 1,919 (13,332) (6,602)
Net Realized Gain (Loss) from
Futures Contracts -- 468 159 -- (612) --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments 6,636 (801) (3,673) 1,544 1,125 (23,466)
---------- ------------ ---------- ------------ ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 7,732 $10,327 $ 2,065 $4,075 $ 63,054 $ (1,891)
========== ============ ========== ============ ============ ===========
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
61
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS(000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000
(UNAUDITED) AND FOR THE YEAR ENDED SEPTEMBER 30, 1999.
<TABLE>
<CAPTION>
------------------- -------------------- ------------------ ----------------- -------------------
LARGE CAP LARGE CAP TAX-MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP VALUE GROWTH
------------------- -------------------- ------------------ ----------------- -------------------
2000 1999 2000 1999 2000 1999 2000 1999 2000 1999
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 22,384 $ 26,119 $ (4,602) $ (5,019) $ 5,088 $ 2,994 $ 3,384 $ 1,916 $ (5,041) $ (5,259)
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 18,982 127,964 233,546 110,967 (8,983) 5,325 1,020 (1,485) 350,527 110,401
Net Change in Unrealized
Appreciation (Depreciation)
of Investments and futures
contracts 16,089 68,454 829,569 427,980 136,416 46,250 15,355 17,865 307,589 205,116
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Net ncrease (Decrease) in
Net Assets from Operations 57,455 222,537 1,058,513 533,928 132,521 54,569 19,759 18,296 653,075 310,258
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (17,294) (23,551) -- (263) (3,264) (2,277) (2,469) (1,735) -- --
Class D -- -- -- -- -- -- -- -- -- --
Net Capital Gains:
Class A (117,434) (86,387) (93,508) (20,249) (1,970) -- -- (5,679) (80,819) (2,521)
Class D -- -- -- -- -- -- -- -- (213) (8)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Total Distributions (134,728) (109,938) (93,508) (20,512) (5,234) (2,277) (2,469) (7,414) (81,032) (2,529)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 1,173,814 1,360,331 1,110,789 1,380,695 806,243 571,869 234,687 337,780 523,485 542,770
Reinvestment of Cash
Distributions 123,838 97,218 85,578 18,036 4,894 2,229 2,133 6,101 67,664 1,996
Cost of Shares Redeemed (384,069) (528,511) (605,838) (664,539) (94,174) (86,351) (105,143)(212,648) (569,380) (456,962)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 913,583 929,038 590,529 734,192 716,963 487,747 131,677 131,233 21,769 87,804
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Class D:
Proceeds from Shares Issued -- -- -- -- -- -- -- -- 1,084 162
Reinvestment of Cash
Distributions -- -- -- -- -- -- -- -- 210 8
Cost of Shares Redeemed -- -- -- -- -- -- -- -- (493) (609)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Increase (Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- -- -- -- 801 (439)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 913,583 929,038 590,529 734,192 716,963 487,747 131,677 131,233 22,570 87,365
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Net Increase (Decrease)
in Net Assets 836,310 1,041,637 1,555,534 1,247,608 844,250 540,039 148,967 142,115 594,613 395,094
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
NET ASSETS:
Beginning of Period 2,452,540 1,410,903 2,626,807 1,379,199 710,136 170,097 572,125 430,010 933,438 538,344
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
End of Period $3,288,850$2,452,540 $4,182,341$2,626,807 $1,544,386 $710,136 $721,092 $572,125$1,528,051 $933,438
========== ========= ========== ========= ========= ======== ======== ======== ========= ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 65,037 69,200 33,103 49,658 60,710 45,189 17,198 23,701 17,926 29,984
Shares Issued in Lieu of
Cash Distributions 6,619 5,273 2,673 858 365 188 156 424 2,709 128
Shares Redeemed (21,326) (26,707) (18,074) (24,235) (7,088) (6,943) (7,691) (14,896) (18,995) (25,232)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Total Class A Transactions 50,330 47,766 17,702 26,281 53,987 38,434 9,663 9,229 1,640 4,880
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Class D:
Shares Issued -- -- -- -- -- -- -- -- 35 9
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- -- 9 1
Shares Redeemed -- -- -- -- -- -- -- -- (16) (38)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Total Class D Transactions -- -- -- -- -- -- -- -- 28 (28)
--------- --------- ---------- --------- --------- -------- -------- -------- --------- --------
Increase (Decrease) in Share
Transactions 50,330 47,766 17,702 26,281 53,987 38,434 9,663 9,229 1,668 4,852
========== ========= ========== ========= ========= ======== ======== ======== ========= ========
<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.
62
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------- ------------------- ------------------ -------------------
CAPITAL EQUITY
MID-CAP APPRECIATION INCOME BALANCED
----------------- ------------------- ------------------ -------------------
2000 1999 2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------- -------- --------- --------- -------- -------- --------- --------
OPERATIONS:
Net Investment Income (Loss) $ 78 $ 153 $ 171 $ 560 $ 602 $ 1,730 $ 612 $ 1,424
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 1,018 2,913 10,957 18,764 5,136 27,864 1,919 4,743 )
Net Change in Unrealized
Appreciation (Depreciation)
of Investments and futures
contracts 6,636 2,720 (801) 7,939 (3,673) (11,164) 1,544 3,412 )
------- -------- --------- --------- -------- -------- --------- --------
Net Increase (Decrease) in
Net Assets from Operations 7,732 5,786 10,327 27,263 2,065 18,430 4,075 9,579
------- -------- --------- --------- -------- -------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (83) (175) (206) (775) (772) (1,872) (648) (1,553))
Class D -- -- -- -- -- -- -- --
Net Capital Gains:
Class A (3,369) (2,535) (20,458) (30,075) (25,817) (29,773) (4,888) (7,596))
Class D -- -- -- -- -- -- -- --
------- -------- --------- --------- -------- -------- --------- --------
Total Distributions (3,452) (2,710) (20,664) (30,850) (26,589) (31,645) (5,536) (9,149))
------- -------- --------- --------- -------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS:
Class A: 8,135 11,842 16,381 32,245 23,892 28,403 5,311 15,963
Proceeds from Shares Issued
Reinvestment of Cash 2,541 2,081 13,373 23,588 14,178 14,288 4,597 7,799
Distributions 10,216) (17,164) (49,789) (86,390) (48,619) (65,217) (18,506) (25,961))
Cost of Shares Redeemed ------- -------- --------- --------- -------- -------- --------- --------
Increase (Decrease) in Net
Assets Derived from 460 (3,241) (20,035) (30,557) (10,549) (22,526) (8,598) (2,199)
Class A Transactions ------- -------- --------- --------- -------- -------- --------- --------
Class D:
Proceeds from Shares Issue -- -- -- -- -- -- -- --
Reinvestment of Cash
Distributions -- -- -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- -- -- --
------- -------- --------- --------- -------- -------- --------- --------
Increase (Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- -- -- --
------- -------- --------- --------- -------- -------- --------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 460 (3,241) (20,035) (30,557) (10,549) (22,526) (8,598) (2,199)
------- -------- --------- --------- -------- -------- --------- --------
Net Increase (Decrease)
in Net Assets 4,740 (165) (30,372) (34,144) (35,073) (35,741) (10,059) (1,769)
------- -------- --------- --------- -------- -------- --------- --------
NET ASSETS:
Beginning of Period 34,995 35,160 84,597 118,741 80,835 116,576 54,487 56,256
------- -------- --------- --------- -------- -------- --------- --------
End of Period $39,735 $34,995 $ 54,225 $ 84,597 $ 45,762 $ 80,835 $44,428 $54,487
======= ======== ========= ========= ======== ======== ========= ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 518 755 1,383 2,359 2,097 2,112 447 1,482
Shares Issued in Lieu of
Cash Distributions 172 140 1,244 1,898 1,543 1,153 390 629
Shares Redeemed (659) (1,102) (4,381) (6,336) (5,010) (4,822) (1,565) (2,018))
------- -------- --------- --------- -------- -------- --------- --------
Total Class A Transactions 31 (207) (1,754) (2,079) (1,370) (1,557) (728) 93
------- -------- --------- --------- -------- -------- --------- --------
Class D:
Shares Issued -- -- -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- -- -- --
------- -------- --------- --------- -------- -------- --------- --------
Total Class D Transactions -- -- -- -- -- -- -- --
------- -------- --------- --------- -------- -------- --------- --------
Increase (Decrease) in Share 31 (207) (1,754) (2,079) (1,370) (1,557) (728) 93
Transactions ======= ======== ========= ========= ======== ======== ========= ========
</TABLE>
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------ --------------------
CORE FIXED HIGH YIELD
INCOME BOND
------------------------ --------------------
2000 1999 2000 1999
<S> <C> <C> <C> <C>
----------- ---------- --------- ---------
OPERATIONS:
Net Investment Income (Loss) $ 75,873 $ 103,984 $ 28,177 $ 39,761
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts (13,944) (32,847) (6,602) (1,682)
Net Change in Unrealized
Appreciation (Depreciation)
of Investments and futures
contracts 1,125 (89,226) (23,466) (26,407)
----------- ---------- --------- ---------
Net Increase (Decrease) in
Net Assets from Operations 63,054 (18,089) (1,891) 11,672
----------- ---------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (76,751) (103,767) (28,177) (39,761)
Class D -- -- -- --
Net Capital Gains:
Class A -- (32,584) -- (1,963)
Class D -- -- -- --
----------- ---------- --------- ---------
Total Distributions (76,751) (136,351) (28,177) (41,724)
----------- ---------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A: 730,383 1,496,575 210,492 277,641
Proceeds from Shares Issued
Reinvestment of Cash 68,744 117,984 27,186 40,166
Distributions (452,350) (576,951) (83,398) (95,474)
Cost of Shares Redeemed ----------- ---------- --------- ---------
Increase (Decrease) in Net
Assets Derived from 346,777 1,037,608 154,280 222,333
Class A Transactions ----------- ---------- --------- ---------
Class D:
Proceeds from Shares Issue -- -- -- --
Reinvestment of Cash
Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
----------- ---------- --------- ---------
Increase (Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- --
----------- ---------- --------- ---------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 346,777 1,037,608 154,280 222,333
----------- ---------- --------- ---------
Net Increase (Decrease)
in Net Assets 330,080 883,168 124,212 192,281
----------- ---------- --------- ---------
NET ASSETS:
Beginning of Period 2,348,453 1,465,285 507,218 314,937
----------- ---------- --------- ---------
End of Period $2,681,533 $2,348,453 $631,430 $507,218
=========== ========== ========= =========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 73,962 144,349 21,069 26,304
Shares Issued in Lieu of
Cash Distributions 6,949 11,370 2,741 3,807
Shares Redeemed (45,852) (55,637) (8,385) (9,051)
----------- ---------- --------- ---------
Total Class A Transactions 35,059 100,082 15,425 21,060
----------- ---------- --------- ---------
Class D:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
----------- ---------- --------- ---------
Total Class D Transactions -- -- -- --
----------- ---------- --------- ---------
Increase (Decrease) in Share 35,059 100,082 15,425 21,060
Transactions =========== ========== ========= =========
</TABLE>
63
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000
(UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING THROUGHOUT THE YEAR
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF
VALUE, INVESTMENT GAINS/ FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD(000) NET ASSETS
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------
LARGE CAP VALUE FUND
---------------------
CLASS A
2000** $18.97 $ 0.13 $ 0.17 $(0.12) $(0.84) $18.31 1.50% $3,288,850 0.85%
1999 17.31 0.24 2.67 (0.24) (1.01) 18.97 17.13 2,452,540 0.85
1998 19.37 0.25 (0.42) (0.26) (1.63) 17.31 (1.40) 1,410,903 0.85
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12 866,826 0.85
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33 515,011 0.83
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83 331,692 0.76
---------------------
LARGE CAP GROWTH FUND
---------------------
CLASS A
2000** $28.58 $ (0.03) $10.58 $ -- $(0.98) $38.15 37.55% $4,182,341 0.85%
1999 21.01 (0.05) 7.92 -- (0.30) 28.58 37.74 2,626,807 0.85
1998 20.40 0.03 1.62 (0.04) (1.00) 21.01 8.35 1,379,199 0.85
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35 800,479 0.85
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59 482,079 0.82
1995(1) 10.00 0.11 2.72 (0.08) -- 12.75 37.90 297,377 0.85
--------------------------
TAX-MANAGED LARGE CAP FUND
--------------------------
CLASS A
2000** $12.65 $ 0.06 $ 1.49 $(0.05) $(0.03) $14.12 12.29% $1,544,386 0.85%
1999 9.61 0.08 3.04 (0.08) -- 12.65 32.60 710,136 0.85
1998(2) 10.00 0.04 (0.42) (0.01) -- 9.61 (3.82) 170,097 0.85
---------------------
SMALL CAP VALUE FUND
---------------------
CLASS A
2000** $14.06 $ 0.07 $ 0.25 $(0.06) $ -- $14.32 2.35% $ 721,092 1.10%
1999 13.67 0.05 0.57 (0.05) (0.18) 14.06 4.47 572,125 1.10
1998 17.85 0.05 (2.22) (0.04) (1.97) 13.67 (13.68) 430,010 1.10
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16 323,337 1.11
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86 163,177 1.11
1995(3) 10.00 0.03 2.19 (0.03) -- 12.19 29.38 102,975 1.10
---------------------
SMALL CAP GROWTH FUND
---------------------
CLASS A
2000** $21.12 $(0.10) $14.11 $ -- $(1.82) $33.31 69.20% $1,523,348 1.10%
1999 13.68 (0.12) 7.62 -- ( 0.06) 21.12 55.00 931,024 1.10
1998 19.32 (0.08) (4.92) -- (0.64) 13.68 (26.53) 536,393 1.10
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23 561,414 1.10
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56 380,525 1.10
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65 310,238 1.10
CLASS D
2000** $20.63 $(0.03) $13.65 $ -- $(1.82) $32.43 68.93%* $ 4,703 1.41%
1999 13.40 (0.26) 7.55 -- (0.06) 20.63 54.58* 2,414 1.42
1998 18.99 (0.14) (4.81) -- (0.64) 13.40 (26.74)* 1,951 1.46
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80* 2,202 1.46
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01* 1,826 1.49
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44* 786 1.50
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
INCOME TO AVERAGETO AVERAGE
(LOSS) NET ASSETSNET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
---------------------
LARGE CAP VALUE FUND
---------------------
CLASS A
2000** 1.60% 0.98% 1.47% 25%
1999 1.26 0.85 1.26 49
1998 1.42 0.85 1.42 79
1997 1.74 0.85 1.74 67
1996 2.31 0.83 2.31 75
1995 2.92 0.82 2.86 99
---------------------
LARGE CAP GROWTH FUND
---------------------
CLASS A
2000** (0.27)% 1.02% (0.44)% 35%
1999 (0.24) 0.90 (0.29) 45
1998 0.11 0.90 0.06 80
1997 0.22 0.90 0.17 73
1996 0.50 0.87 0.45 90
1995(1) 1.15 0.89 1.11 44
--------------------------
TAX-MANAGED LARGE CAP FUND
--------------------------
CLASS A
2000** 0.98% 1.07% 0.76% 8%
1999 0.71 0.90 0.66 21
1998(2) 1.18 0.90 1.13 12
---------------------
SMALL CAP VALUE FUND
---------------------
CLASS A
2000** 1.12% 1.29% 0.93% 59%
1999 0.38 1.10 0.38 130
1998 0.34 1.10 0.34 77
1997 0.37 1.11 0.37 98
1996 0.15 1.11 0.15 121
1995(3) 0.26 1.12 0.24 64
---------------------
SMALL CAP GROWTH FUND
---------------------
CLASS A
2000** (0.77)% 1.26% (0.93)% 91%
1999 (0.72) 1.10 (0.72) 141
1998 (0.56) 1.10 (0.56) 128
1997 (0.60) 1.10 (0.60) 107
1996 (0.63) 1.11 (0.64) 167
1995 (0.60) 1.13 (0.63) 113
CLASS D
2000** (1.08)% 1.43% (1.10)% 91%
1999 (1.04) 1.47 (1.09) 141
1998 (0.92) 1.46 (0.92) 128
1997 (0.95) 1.46 (0.95) 107
1996 (1.02) 1.49 (1.02) 167
1995 (1.03) 1.55 (1.08) 113
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF
VALUE, INVESTMENT GAINS/ FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD(000) NET ASSETS
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------
MID-CAP FUND
---------------------
CLASS A
2000** $15.19 $ 0.04 $ 3.36 $(0.04) $(1.53) $17.02 23.93% $ 39,735 1.00%
1999 14.00 0.07 2.21 (0.07) (1.02) 15.19 16.53 34,995 1.00
1998 19.56 0.13 (2.67) (0.15) (2.87) 14.00 (15.41) 35,160 1.00
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13 35,047 0.93
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03 24,954 0.77
1995 10.89 0.01 2.14 -- -- 13.04 19.78 27,898 0.94
-------------------------
CAPITAL APPRECIATION FUND
-------------------------
CLASS A
2000** $13.23 $ 0.03 $ 1.88 $(0.03) $(3.43) $11.68 16.81% $ 54,225 0.84%
1999 14.01 0.07 2.92 (0.09) (3.68) 13.23 23.13 84,597 0.84
1998 18.20 0.16 0.92 (0.16) (5.11) 14.01 7.08 118,741 0.84
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02 164,238 0.84
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14 236,581 0.84
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03 310,693 0.84
------------------
EQUITY INCOME FUND
------------------
CLASS A
2000** $12.59 $ 0.11 $ 0.26 $(0.13) $(3.77) $ 9.06 2.78% $ 45,762 0.85%
1999 14.61 0.24 1.87 (0.24) (3.89) 12.59 15.35 80,835 0.85
1998 18.02 0.41 (0.09) (0.38) (3.35) 14.61 1.51 116,576 0.85
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46 173,766 0.85
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17 202,823 0.83
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00 250,609 0.82
-------------
BALANCED FUND
-------------
CLASS A
2000** $12.49 $ 0.16 $ 0.91 $(0.15) $(1.19) $12.22 9.01% $44,428 0.75%
1999 13.17 0.31 1.10 (0.34) (1.75) 12.49 11.22 54,487 0.75
1998 14.06 0.41 0.80 (0.40) (1.70) 13.17 9.49 56,256 0.75
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38 51,195 0.75
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01 57,915 0.75
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05 70,464 0.75
</TABLE>
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
INCOME TO AVERAGETO AVERAGE
(LOSS) NET ASSETSNET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
---------------------
MID-CAP FUND
---------------------
CLASS A
2000** 0.43% 1.05% 0.38% 70%
1999 0.40 1.00 0.40 139
1998 0.93 1.00 0.93 106
1997 0.79 0.94 0.78 92
1996 1.28 0.88 1.17 101
1995 0.04 1.09 (0.11) 108
-------------------------
CAPITAL APPRECIATION FUND
-------------------------
CLASS A
2000** 0.51% 0.97% 0.38% 62%
1999 0.47 0.91 0.41 147
1998 1.03 0.89 0.98 238
1997 1.20 0.89 1.15 178
1996 1.20 0.86 1.18 153
1995 1.39 0.89 1.34 107
------------------
EQUITY INCOME FUND
------------------
CLASS A
2000** 1.95% 0.92% 1.88% 59%
1999 1.66 0.91 1.60 75
1998 1.85 0.90 1.80 66
1997 2.38 0.90 2.33 40
1996 3.00 0.86 2.97 43
1995 3.72 0.88 3.66 47
-------------
BALANCED FUND
-------------
CLASS A
2000** 2.42% 1.03% 2.14% 79%
1999 2.39 0.75 2.39 188
1998 2.90 0.80 2.85 183
1997 3.15 0.81 3.09 197
1996 2.98 0.84 2.89 143
1995 2.92 0.90 2.77 159
</TABLE>
65
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000
(UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING HROUGHOUT THE YEAR
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF
VALUE, INVESTMENT GAINS/ FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD(000) NET ASSETS
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------
CORE FIXED INCOME FUND
----------------------
CLASS A
2000** $10.03 $ 0.30 $(0.07) $(0.30) $-- $ 9.96 2.39% $2,681,533 0.60%
1999 10.92 0.56 (0.66) (0.56) (0.23) 10.03 (0.96) 2,348,453 0.60
1998 10.40 0.61 0.54 (0.61) (0.02) 10.92 11.42 1,465,285 0.60
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80 1,063,335 0.60
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51 655,300 0.57
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87 419,959 0.55
----------------------
HIGH YIELD BOND FUND
----------------------
CLASS A
2000** $10.11 $ 0.48 $(0.49) $(0.48) $-- $ 9.62 (0.14)% $ 631,430 0.85%
1999 10.81 1.02 (0.64) (1.02) (0.06) 10.11 3.51 507,218 0.85
1998 11.66 1.04 (0.75) (1.04) (0.10) 10.81 2.25 314,937 0.85
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30 236,457 0.86
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46 107,545 0.87
1995(4) 10.00 0.67 0.55 (0.58) -- 10.64 17.72 23,724 0.67
</TABLE>
--------------------------------------------------------------------------------
[Table Continued]
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
INCOME TO AVERAGETO AVERAGE
(LOSS) NET ASSETSNET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
-----------------------------------------------------------------------------
---------------------
CORE FIXED INCOME FUND
----------------------
CLASS A
2000** 6.10% 0.83% 5.87% 160%
1999 5.47 0.60 5.47 334
1998 5.77 0.60 5.77 344
1997 6.17 0.61 6.16 216
1996 6.24 0.64 6.17 311
1995 6.60 0.68 6.47 294
-------------------------
HIGH YIELD BOND FUND
-------------------------
CLASS A
2000** 9.66% 1.13% 9.38% 19%
1999 9.62 0.89 9.58 17
1998 8.94 0.89 8.90 56
1997 9.33 0.91 9.28 68
1996 9.01 0.94 8.94 55
1995(4) 10.02 0.86 9.83 56
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
** FOR THE SIX MONTH PERIOD ENDED MARCH 31, 2000. ALL RATIOS EXCEPT TOTAL
RETURN AND PORTFOLIO TURNOVER FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(1) LARGE CAP GROWTH SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) TAX MANAGED LARGE CAP CLASS A SHARES WERE OFFERED BEGINNING MARCH 4, 1998.
ALL RATIOS HAVE BEEN ANNUALIZED. (3) SMALL CAP VALUE SHARES WERE OFFERED
BEGINNING DECEMBER 20, 1994. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
(4) HIGH YIELD BOND SHARES WERE OFFERED BEGINNING JANUARY 11, 1995. ALL RATIOS
INCLUDING TOTAL RETURN 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.
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (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, Tax-Managed Large Cap, 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.
COMPENSATING BALANCES--Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with First Union, the custodian
of the Trust, on the following day. Funds with positive cash balances in excess
of $100,000 are allowed to overdraw 90% of the balance with First Union on the
following day.
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 unds 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.
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
FUTURES CONTRACTS--The Large Cap Value, Large Cap Growth, Tax-Managed Large
Cap, Capital Appreciation and Equity Income Funds utilized S&P 500 Index futures
contracts, the Small Cap Value Fund utilized S&P 500 Index and Russell 2000
futures contracts, the Small Cap Growth Fund utilized Russell 2000 futures
contracts and the Core Fixed Income Fund utilized five and ten year note futures
contracts during the period ended March 31, 2000. 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 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.
The following Funds had futures contracts open as of March 31, 2000:
<TABLE>
<CAPTION>
UNREALIZED
TYPE OF NUMBER OF CONTRACT APPRECIATION
FUND CONTRACT CONTRACTS VALUE EXPIRATION (DEPRECIATION)
--------------------- ------------------- --------- -------- ---------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Large Cap Value S&P 500 Index 252 $92,433 06/16/00 $5,319
Large Cap Growth S&P 500 Index 65 48,868 06/16/00 2,131
Tax Managed Large Cap S&P 500 Index 69 22,730 06/16/00 563
Small Cap Value Russell 2000 36 11,998 06/17/00 (386)
S&P 500 Index 26 11,744 06/16/00 600
---------------
214
Small Cap Growth Russell 2000 74 15,815 06/17/00 (748)
Capital Appreciation S&P 500 Index 6 2,273 06/16/00 199
Equity Income S&P 500 Index 6 2,273 06/16/00 199
Core Fixed Income U.S. Five year Note (18) (1,773) 06/30/00 (27)
U.S. Ten year Note (30) (2,928) 03/31/10 (112)
U.S. Ten year Note 30 2,928 03/20/10 81
U.S. Ten year Note (160) (15,693) 06/30/10 (364)
---------------
(422)
</TABLE>
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 pur
68
<PAGE>
--------------------------------------------------------------------------------
chase 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.
RESTRICTED SECURITIES--Certain of the Fund's investments are restricted as
to resale. The table below shows the number of shares held, the acquisition
date, cost, market value as of March 31, 2000, value per share of such
securities and percentage of net assets which the securities comprise:
NUMBER ACQUISITION
OF SHARES DATE COST
---------- ----------- --------------
CORE FIXED INCOME FUND
Enterprise Mortgage
Acceptance Series 1991-A 60,550,634 03/31/1999 4,157,649
FFCA Secured Lending
Series 1997-1 21,323,604 03/17/1999 986,217
FFCA Secured Lending
Series 1999-1A 24,310,044 04/22/1999 1,847,751
MARKET VALUE VALUE PER PERCENTAGE OF
AT 03/31/00 SHARE NET ASSETS
------------ ---------- --------------
CORE FIXED INCOME FUND
Enterprise Mortgage
Acceptance Series 1991-A 3,874,294 0.06 0.14
FFCA Secured Lending
Series 1997-1 866,271 0.04 0.03
FFCA Secured Lending
Series 1999-1A 1,794,765 0.07 0.07
NUMBER ACQUISITION
OF SHARES DATE COST
----------- ----------- --------------
HIGH YIELD BOND FUND
Diva Systems 8,271 02/02/1999 $ --
Metronet 500 02/11/1998 9,657
MARKET VALUE VALUE PER PERCENTAGE OF
AT 03/31/00 SHARE NET ASSETS
----------- ----------- --------------
HIGH YIELD BOND FUND
Diva Systems $148,878 18.000 0.02
Metronet 4,188 8.375 0.00
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 Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, and Small 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.
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.
69
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NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments Fund Management (the "Manager"), are parties
to a management agreement (the "Agreement") dated 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, LLP, LSV Asset Management L.P. 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
TCW Investment Management Company 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, LLP, Sanford C.
Bernstein & Co. and Provident Investment Council 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, with the exception of Provident Investment Council, which
started March 22, 2000. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMC.
Boston Partners Asset Management, L.P., LSV Asset Management L.P., Mellon
Equity Associates, LLP, Artisan Partners Limited Partnership and Security
Capital Global Capital Management Group Inc. 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 November 1,
1995, December 9, 1996, September 10, 1998, March 26, 1999, and September 14,
1999, respectively. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMC.
Nicholas-Applegate Capital Management,
Wall Street Associates, RS Investment Management, LP, Sawgrass Asset Management,
LLC and Mazama Capital 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, March 24, 1998, April 4, 1999 and December 13, 1999,
respectively. Under the investment sub-advisory agreements, each party receives
an annual fee, paid by SIMC.
70
<PAGE>
--------------------------------------------------------------------------------
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. 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
Robert W. Baird & Co., Inc. 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 March 20, 2000, January 2,
1996, and March 20, 2000, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Credit Suisse Asset Management, LLC/Americas and Nomura Corporate Research
and Asset Management each serve as an investment sub-adviser to the High Yield
Bond Fund and are parties to an investment sub-advisory agreement with the Trust
and SIMC dated August 11, 1995, and September 22, 1999, respectively. Under the
investment sub-advisory agreement, Credit Suisse Asset Management LLC/Americas
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. 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, 2000, were
$294,289.
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 2000 (UNAUDITED)
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, 2000, were as follows:
PURCHASES
------------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ------------ ------------
Large Cap Value $ -- $1,449,979 $1,449,979
Large Cap Growth -- 1,683,893 1,683,893
Tax-Managed Large Cap -- 798,644 798,644
Small Cap Value -- 464,619 464,619
Small Cap Growth -- 1,122,099 1,122,099
Mid-Cap -- 25,026 25,026
Capital Appreciation -- 37,666 37,666
Equity Income -- 33,301 33,301
Balanced 9,207 29,374 38,581
Core Fixed Income 3,674,716 307,335 3,982,051
High Yield Bond -- 240,604 240,604
SALES
------------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ------------ ------------
Large Cap Value $ -- $ 678,749 $ 678,749
Large Cap Growth -- 1,140,558 1,140,558
Tax-Managed Large Cap -- 81,081 81,081
Small Cap Value -- 341,636 341,636
Small Cap Growth -- 1,187,706 1,187,706
Mid-Cap -- 28,651 28,651
Capital Appreciation -- 73,951 73,951
Equity Income -- 64,475 64,475
Balanced 12,460 39,013 51,473
Core Fixed Income 3,516,505 223,702 3,740,207
High Yield Bond -- 101,540 101,540
At March 31, 2000, the total cost of securities and the net realized gains
or losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on investments at March 31, 2000,
is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
----------- ---------- -------------
Large Cap Value $ 415,418 $ (310,699) $ 104,719
Large Cap Growth 1,649,406 (104,942) 1,544,464
Tax-Managed
Large Cap 270,927 (100,372) 170,555
Small Cap Value 82,072 (64,893) 17,179
Small Cap Growth 548,432 (57,383) 491,049
Mid-Cap 9,458 (2,329) 7,129
Capital Appreciation 20,291 (2,814) 17,477
Equity Income 10,258 (1,401) 8,857
Balanced 10,312 (2,289) 8,023
Core Fixed Income 21,678 (57,250) (35,572)
High Yield Bond 13,008 (74,768) (61,760)
6. WRITTEN OPTIONS TRANSACTIONS
Written option transactions entered into during the period ending March 31,
2000 are summarized as follows:
CORE FIXED INCOME
--------------------------------------
PREMIUM
# OF CONTRACTS (000)
-------------- ------------
Balance at the beginning
of period 865 $ 775
Written 3,142 2,238
Expired (895) (401)
Exercised -- --
Closing Buys (2,284) (2,015)
-------------- ------------
Balance at the end
of period 828 $ 597
============== ============
At March 31, 2000 the Core Fixed Income Fund had sufficient cash and/or
securities at least equal to the value of written options.
72
<PAGE>
-------------------
SEI INSTITUTIONAL
MANAGED TRUST
-------------------
SEMI-ANNUAL REPORT
-------------------
MARCH 31, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
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>
SEI (LOGO OMITTED)
Investments
Distribution Co.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-092-07
