ANNUAL REPORT AS OF
SEPTEMBER 30, 1998
SEI INSTITUTIONAL
INTERNATIONAL
TRUST
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International Equity
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Emerging Markets Equity
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International Fixed Income
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Emerging Markets Debt
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(LOGO)
[GRAPHIC OMITTED]
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
INTERNATIONAL EQUITY FUND...................................... 1
EMERGING MARKETS EQUITY FUND................................... 2
INTERNATIONAL FIXED INCOME FUND................................ 4
EMERGING MARKETS DEBT FUND..................................... 6
STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS.................... 8
STATEMENTS OF ASSETS AND LIABILITIES................................. 23
STATEMENTS OF OPERATIONS............................................. 24
STATEMENTS OF CHANGES IN NET ASSETS.................................. 25
FINANCIAL HIGHLIGHTS................................................. 27
NOTES TO FINANCIAL STATEMENTS........................................ 28
REPORT OF INDEPENDENT ACCOUNTANTS.................................... 34
NOTICE TO SHAREHOLDERS............................................... 35
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998*
INTERNATIONAL EQUITY FUND
OBJECTIVE. The International Equity Fund (the "Fund") seeks to provide
long-term capital appreciation through investments in equity securities of
non-U.S. issuers. The Fund also seeks to provide U.S. investors with a vehicle
for international diversification, which can reduce variability of Fund returns
to the extent that foreign markets have a relatively low correlation with the
U.S. market.
STRATEGY. The Fund is diversified across a number of markets and includes
commitments to large-cap and small-cap shares. Exposure is also maintained to
growth and value styles of active management. Emphasis is placed on active
security selection as the principal source of value-added as opposed to active
country allocation. The Fund does not hedge foreign currency exposure.
ANALYSIS. For the seven-month period ending September 1998, the
International Equity Fund returned -9.75% versus a return of -10.63% for its
benchmark the MSCI EAFE Index.
Continued weakness in Asia slowly eroded confidence in the emerging
markets over the course of the last seven months. The credit crunch in Asia that
began in mid 1997 has spilled over to infect Eastern Europe and Latin America.
Although the International Equity Fund has little direct exposure to the
weakening emerging markets, commitments to large European banks, which in turn
had loan exposure to these economies, were the primary contributors to the
negative returns for the index.
Japan is still considered the key to Asia's turn-around, although weak
leadership and an inability to address the banking problems in the country have
led to a recession in the region. The slow growth expectations in Asia have had
an adverse affect on all other regions that depended on Asia for their own
growth. The global slowdown seriously affected the developed markets over the
last several months.
Over the course of the last seven months, the country returns within the
MSCI EAFE benchmark have been mixed with the majority of the Asian markets
falling the most. The dispersion between the best performing market (Belgium)
and the worst performing market (Malaysia) was 78%, indicating the severe
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INTERNATIONAL EQUITY
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
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Class A -8.75% 3.49% 4.20% 3.70%
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Class D, Synthetic -8.88% 3.19% 3.91% 3.10%*
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Class D, Synthetic,
w/load -13.45% 1.44% 2.85% 1.91%*
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*ACTUAL, NOT SYNTHETIC
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INTERNATIONAL EQUITY FUND, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE
MORGAN STANLEY MSCI EAFE INDEX SEI INTERNATIONAL EQUITY FUND, CLASS A SEI
INTERNATIONAL EQUITY FUND, CLASS DMORGAN STANLEY MSCI EAFE INDEX
[GRAPH OMITTED]
[PLOT POINTS TO FOLLOW]
SEI INTERNATIONAL MORGAN STANLEY SEI INTERNATIONAL
EQUITY FUND, MSCI EQUITY FUND
CLASS A EAFE INDEX CLASS D
12/31/89 10,000 9,500 10,000
9/30/90 8,350 7,933 6,927
9/30/91 9,416 8,945 8,443
9/31/92 9,232 8,771 7,842
9/30/93 11,137 10,580 9,908
9/30/94 11,841 11,228 10,883
9/30/95 12,343 11,662 11,514
9/30/96 13,558 12,764 12,507
9/30/97 14,990 14,063 14,032
9/30/98 13,678 12,814 12,861
1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS D SHARES WERE OFFERED BEGINNING ON MAY 1, 1994. THE
PERFORMANCE SHOWN FOR THE CLASS D SHARES PRIOR TO SUCH DATE IS SYNTHETIC'S
PERFORMANCE DERIVED FROM THE PERFORMANCE OF CLASS A SHARES ADJUSTED TO REFLECT
THE MAXIMUM SALES CHARGE OF 5.0% FOR THE CLASS D SHARES. CLASS A SHARES WERE
OFFERED BEGINNING DECEMBER 30, 1989.
* THE TRUST CHANGED ITS YEAR END FROM FEBRUARY 28TH TO SEPTEMBER 30TH,
THEREFORE, THE FINANCIAL STATEMENTS PRESENTED ARE FOR A SEVEN MONTH PERIOD.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
volatility in the markets over this time period. The dispersion was also
significant among the major developed markets like the UK falling 7.7%, Japan
off 24.1% and Germany up 5.9%, according to the MSCI country index returns.
SEI Investments' risk controlled approach in the developed markets has
added value since February, providing exposure to all markets in the index.
Stock selection within markets was the primary reason for our outperformance.
Despite the poor absolute returns in the finance sector over this period, stock
selection within this group was stellar. Stock selection outside of the finance
sector, specifically within energy and technology also helped the Fund
outperform the benchmark over this time period.
Structurally, we remain style neutral to the MSCI EAFE Index, and well
diversified across all markets in the benchmark. Since February, we implemented
two new managers to the strategy, whose investment processes provide both
concentration and additional flexibility in the strategy's commitment to both
countries and regions. Finally, we continue to concentrate the Fund into the
most attractive names in order to increase the return potential of the Fund
without significantly affecting total risk.
EMERGING MARKETS
EQUITY FUND
OBJECTIVE. The Emerging Markets Equity Fund (the "Fund") seeks to provide
long-term capital appreciation by investing primarily in a diversified Fund of
equity securities of emerging market issuers.
STRATEGY. The Fund employs money management specialists focusing on
regions across Latin America, Asia, emerging Europe, South Africa and the
smaller markets. The managers specializing in Latin America, Asia and emerging
Europe focus on both bottom up fundamental company analysis and top down country
allocation. The smaller markets mandate pursues a structured approach to capture
the long-term investment opportunity provided by these newly emerging markets.
ANALYSIS. For the seven month period ended September 30, 1998, the
Emerging Markets Equity Fund returned -41.52%, underperforming its benchmark,
the IFC Investable Composite, which returned -35.91%.
The Russian devaluation of the ruble on August 17th and the political
turmoil that subsequently took place in Russia later that week sparked a new
round of investor fears. The Russian ruble fell over 60% in the third quarter
and the average daily trading volume in Russia dropped from a peak of $115
million in May of this year to less than $1 million traded daily by the end of
August. The Eastern European markets as a whole lost 48% last quarter alone,
Russia led the declines. However, Hungary, Poland and the Czech Republic all
fell more than 20%.
In August, the ruble devaluation sparked fears that China would be forced
to devalue
2
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EMERGING MARKETS EQUITY
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized
Year 3 Year Inception
Return Return to Date
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Emerging Markets Equity,
Class A -51.43% -16.73% -12.00%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING
MARKETS EQUITY FUND, VERSUS THE IFC INVESTABLE COMPOSITE INDEX
[GRAPHIC OMITTED]
[PLOT POINTS TO FOLLOW]
EMERGING MARKETS
EQUITY FUND,
CLASS A IFC INVESTIBLE COMPOSITE INDEX
1/31/95 10,000 10,000
9/30/95 10,651 10,669
9/30/96 11,464 11,592
9/30/97 12,662 12,207
9/30/98 6,150 6,496
1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995.
and drag down the rest of the emerging Asian currencies. Asian governments
reacted differently to the crisis: Hong Kong intervened in the futures market to
boost the value of stocks and support the Hong Kong dollar; Malaysia imposed
capital controls and fixed the foreign exchange rate. During September, the
emerging markets in Asia were driven by renewed confidence in the local
currencies and hopes for interest rate cuts in the developed markets.
Latin America was not immune to the contagion that spread throughout the
emerging markets. Investors sold off positions in Latin America as all markets
fell between 20% and 40% in an indiscriminate manner. In September, debt ratings
in Brazil and Venezuela were downgraded as their currencies lost value and
central bank reserves eroded. The expectations of a financial aid package from
the IFM/World Bank brought renewed hope to the region and helped to reduce the
credit crunch and currency pressure.
The relative performance of the Fund was driven mainly by discounting
securities in Malaysia, poor stock selection within Latin America and emerging
Europe, and costs involved with transitioning to new managers. During the last
week of September the SEI Fair Value Pricing Committee recommended a discount to
the Fund's Malaysian securities of 25% in response to the one-year capital
controls placed on foreign investors. Since the IFC Investable index did not
impose any discount to their Malaysian securities, the Fund lost 1.1% relative
to the index due to the discount alone.
Performance within Latin America and Europe also caused a large portion
of the Fund's underperformance. Within Latin America, our small and mid
capitalization exposure in Mexico and Chile caused the majority of the losses.
Stock selection within Mexico has been disappointing on a year-to-date basis,
and culminated with very poor results in August and September. The emerging
Europe Fund underperformed due to an underweight to Portugal and poor stock
selection within Russia, Greece and Portugal. The bulk of the underperformance
in the emerging Europe mandate came in August, and was due to two main factors:
an underweight to oil and energy securities in Russia which held up very well
throughout the devaluation, and an overweight position to banks and financials
in Southern Europe. The Fund has been slowly reducing its weight to the Russian
market, being sensitive to
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
the dramatic decrease in daily trading volume. We currently have less than
0.3% allocated to Russia compared to the IFC Investable Composite weight of
0.7%.
In September, the Fund made two changes: replacement of Montgomery Asset
Management LLC with Morgan Stanley Asset Management Inc. (MSAM) in Latin America
and the inclusion of Nicholas-Applegate Capital Management Inc.
("Nicholas-Applegate") as a global emerging markets manager. MSAM brings to the
Fund years of experience in managing assets in Latin America. MSAM is one of the
premier global emerging markets managers and we have identified their Latin
America capabilities as the best in our coverage of the region. MSAM
incorporates a disciplined investment approach focused on regional and
domestically oriented shares in Latin America which they have identified with
strong growth characteristics. Nicholas-Applegate provides the Fund with
additional flexibility investing across regions. Nicholas-Applegate has a large
team of investment professionals dedicated to the emerging markets, located in
San Diego, London and Singapore. The firm incorporates a disciplined, bottom up
approach to investing and utilizes their network of brokers around the world for
ideas and information. Both managers have historically provided investors with a
consistent, successful track record relative to the benchmark and are rated in
the top of their peer groups.
INTERNATIONAL FIXED
INCOME FUND
OBJECTIVES. The International Fixed Income Fund (the "Fund") seeks to
provide capital appreciation and current income through investments in fixed
income securities of non-U.S. issuers. The Fund also seeks to provide U.S.-based
investors with a vehicle to diversify and enhance the returns of the domestic
fixed income portion of their Funds. The Fund invests primarily in high-quality,
foreign currency government obligations. Although there are no restrictions on
the Fund's overall duration, under normal conditions it is expected to range
between four and six years.
STRATEGY. Fund construction entails a two-stage process which combines
fundamental macroeconomic analysis and technical price analysis. First, a
fundamental judgment is made about the direction of a market's interest rates
and its currency. A technical price overlay is then applied to the fundamental
position to ensure that the Fund is not substantially overweighted in a
declining market or underweighted in a rising one.
Country and currency allocations are made separately. As a result, the
Fund's currency exposure may differ from its underlying bond holdings. Under
normal circumstances, the Fund will generally be diversified across 6 to 12
countries with continual exposure to the three major trading blocs: North
America, Europe, and the Pacific Basin. Depending upon the relative fundamental
and technical views, each trading bloc is over or underweighted relative to the
Fund's benchmark index. Currency exposure is actively managed to maximize return
and control risk through the use of forward currency contracts and
cross-currency hedging techniques.
4
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ANALYSIS. For the seven-month period ended September 30, 1998, the SEI
International Fixed Income Fund returned 11.33%, outperforming the Salomon
Brothers Non-U.S. World Government Bond Index return of 9.6%. An overweight to
the deutsche mark and subsequent underweight to the Japanese yen throughout most
of the period generated the outperformance. A concentration in long dated German
bonds and an emphasis to the British bond market also enhanced results.
European bonds and currencies were major benefactors from the general
flight to quality, as market participants believed that the continent had the
best prospects for weathering the uncertainty. Moderate growth and tame
inflation also attracted investors. The Fund's overweight to German and British
bonds therefore enhanced results.
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INTERNATIONAL FIXED INCOME
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
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Class A 12.47% 5.61% 7.85% 8.20%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEIINTERNATIONAL FIXED INCOME FUND, VERSUS THE SALOMON WGBI, NON-U.S., UNHEDGED
[GRAPH OMITTED]
[PLOT POINTS TO FOLLOW]
SEI INTERNATIONAL
FIXED INCOME FUND SALOMON WGBI
9/30/93 10,000 10,087
9/30/94 10,333 10,557
9/30/95 12,385 12,434
9/30/96 12,822 12,936
9/30/97 12,971 12,826
9/30/98 14,589 14,154
1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993.
In Japan, the economy contracted for the third straight fiscal quarter,
and prospects for improvement seemed bleak. The general slowdown in the Asian
region and the lack of a clear plan for cleaning up the insolvent loans on
bank's balance sheets fueled the outflow of assets from the country, weakening
the yen versus the deutsche mark. An underweight to the Japanese yen relative to
the benchmark in favor of European currencies helped performance. Japanese
government bond yields hit all-time lows as domestic investors switched their
holdings out of the declining stock market and into bonds. However, the decline
in yields roughly equaled other countries' declines, so an underweight to
Japanese bonds did not impact relative returns.
The Canadian and Australian dollars weakened significantly versus most
other major currencies as investors shunned countries that rely heavily on
commodity exports as a source of revenue. Commodities such as oil, timber, and
metals slumped as the glut of supply combined with slackening demand lowered
prices. The Fund's underweight to both these currencies served to boost returns.
Also, an underweight to the Canadian bond market in favor of U.S. Treasuries
served to enhanced returns as investors preferred ultra- safe U.S. Treasuries
during the turbulent period versus Canadian bonds.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
EMERGING MARKETS
DEBT FUND
OBJECTIVES. The Emerging Markets Debt Fund (the "Fund") seeks to maximize
total return from a Fund consisting of primarily high yield, below-investment
grade fixed income securities from emerging markets of foreign countries. The
Fund also seeks to provide U.S.-based investors with a vehicle to diversify and
enhance the returns of the domestic fixed income portion of their portfolios.
Under normal circumstances, the Fund is anticipated to be invested primarily in
U.S. dollar-denominated emerging debt.
STRATEGY. Structuring and managing the Fund entails a multi-step process.
First, an internal assessment of country risk is compared with the market's
pricing of country risk to determine relative value opportunities. The output
determines which countries are 1) "core" holdings which have the strongest
economic/political/debt attributes, 2) "trading" countries which present more
opportunistic value, and 3) countries "not currently suitable" for investment.
Under normal circumstances, the Fund will be diversified across 10-15 countries.
The next step in the process determines relative value amongst sectors
within a country, and security selection within the sectors. The final step
incorporates a disciplined sell process through continual risk/reward analysis
across and within emerging debt countries. U.S. interest-rate risk relative to
the benchmark is controlled through the maintenance of a tightly constrained
U.S. Treasury duration. Excess return is captured through active management of
the sovereign spread component relative to the benchmark.
ANALYSIS. The Emerging Markets Debt Fund posted a return of -33.75% for
seven-month period ending September 30, 1998 to trail the JP Morgan Emerging
Markets Debt Index Plus return of -24.10%. An overweight to Russian
dollar-denominated debt was the primary driver of underperformance. An
underweight to Poland and a small exposure in Argentine peso-denominated debt
also reduced relative returns.
In Eastern Europe, Russian debt lost more than 83% of its value during the
period as declining investor demand made it difficult for the country to roll
over its short-term debt. The country's default on its ruble-denominated
Treasury debt and depreciation of the ruble caused massive selling of the
dollar-denominated Russian debt as well. The Fund's consistent overweight to the
country throughout its
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EMERGING MARKETS DEBT
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AVERAGE ANNUAL TOTAL RETURN1
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One Year Annualized Inception
Return to Date
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Class A -34.01% -24.53%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING
MARKETS DEBT FUND, VERSUS THE J.P. MORGAN EMBI PLUS
[GRAPH OMITTED]
[PLOT POINTS TO FOLLOW]
EMERGING MARKETS DEBT FUND J.P. MORGAN EMBI PLUS
6/30/97 10,000 10,000
9/30/97 10,620 10,691
9/30/98 7,008 7,986
1 FOR THE PERIOD ENDED SEPTEMBER 30, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997.
6
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decline hurt performance. An underweight to Poland, an investment-grade
rated credit, hurt performance, but a similar overweight to investment-grade
Croatia enhanced returns as higher credit countries tended to outperform during
the volatile period.
In Latin America, the Fund's underweight to the larger and relatively more
stable credits of Argentina and Mexico detracted from returns. Both countries
have strong economies and less reliance on short-term capital inflows. A
position in Argentine-peso denominated debt also reduced relative returns as
assets with both credit and currency risk sold off sharply. Overweights to
Panama, Colombia, and Costa Rica aided relative returns as these higher rated
countries were more insulated from the global turmoil.
Concentrations in both South Korea and the Philippines enhanced returns as
both countries have stronger credit profiles than most of their emerging market
peers. African country selection was mixed, as the benefit from overweights to
the Ivory Coast and Morocco was mostly offset by an overweight to Algeria.
Algerian bonds declined due to lower oil prices and speculation that the
military pressured President Lianine Zeroual to cut his term short by two years.
The Fund also took advantage of market inefficiencies to add value through
intra-day trading in Russia, Panama and Venezuela. The Fund separately
identified buyers and sellers of the same security and executed both sides of
the trade for an immediate profit.
7
<PAGE>
STATEMENT OF NET ASSETS
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
INTERNATIONAL
EQUITY FUND
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MARKET
DESCRIPTION SHARES VALUE (000)
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FOREIGN COMMON STOCKS -- 96.2%
ARGENTINA -- 0.2%
Telecom Argentina ADR* 50,000 $ 1,484
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AUSTRALIA -- 3.4%
AMP Limited* 29,300 355
Australia & New Zealand Bank 226,050 1,207
Australian Gas Light 113,364 780
Brambles Industries 41,205 889
Broken Hill Proprietary 361,570 2,586
Coles Myer 808,300 3,445
Colonial 56,820 160
Commonwealth Bank
of Australia 187,200 2,213
Fosters Brewing 446,000 972
Lend Lease 70,000 1,492
National Australia Bank 511,402 6,173
Newscorp 173,100 1,115
Qantas Airways 1,632,000 2,541
Rio Tinto Limited 30,825 373
Tabcorp Holdings Limited 65,500 380
Telstra Corporation Installment
Receipts 419,281 1,173
Westpac Banking Corporation 669,227 3,679
WMC Limited 131,625 396
Woodside Petroleum 485,000 2,532
Woolworths 196,190 676
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33,137
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BELGIUM -- 0.7%
Delhaize Freres 13,500 1,021
Groupe Bruxelles Lambert* 2,203 367
Petrofina 9,900 3,636
Tractabel 10,300 1,675
--------
6,699
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BRAZIL -- 0.1%
Unibanco GDR 50,000 675
--------
CANADA -- 1.1%
Air Canada* 209,300 769
Bank of Montreal 34,000 1,226
Bank of Nova Scotia* 223,700 3,667
Bombardier Inc., Series B 150,000 1,651
Royal Bank of Canada 39,000 1,583
Thomson Corporation 85,500 1,976
--------
10,872
--------
DENMARK -- 1.3%
Den Danske Bank 21,190 2,403
Tele Danmark-B 101,212 10,058
--------
12,461
--------
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MARKET
DESCRIPTION SHARES VALUE (000)
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FINLAND -- 0.9%
Nokia Oyj, Series A 50,000 $ 3,974
Nokia, Series K 15,000 1,191
UPM-Kymmene 130,800 2,998
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8,163
--------
FRANCE -- 11.7%
Accor 6,000 1,259
AXA UAP 94,230 8,631
Banque National Paris 156,651 8,391
Canal Plus 13,700 3,329
Carrefour 16,222 10,285
Castorama Dubois 65,476 11,211
Elf Aquitaine 76,461 9,433
Eridania Beghin Say 4,250 794
Lafarge 87,568 7,755
Paribas 34,650 1,868
Pechiney Ord, Class A 52,500 1,817
Peugeot SA 99,700 17,017
Pinault-Printemps-Redoute 53,023 7,668
Renault 198,972 7,957
Saint Gobain Ord 12,750 1,691
Scor 10,150 603
SGS Thomson Micro 32,000 1,485
Synthelabo 12,500 2,305
Total Compaigne, Series B 17,200 2,168
Total Petroleum of North
America ADR 5,000 314
Usinor Sacilor 120,000 1,335
Vallourec 5,900 225
Vivendi 28,000 5,579
--------
113,120
--------
GERMANY -- 11.2%
Agiv* 54,480 1,272
Bayer AG Bearer 36,900 1,394
Bayer Vereinsbank 140,577 10,352
Bayerische Motoren Werke 4,530 2,915
Commerzbank 196,239 5,310
Deutche Pfandrbrief &
Hypotheken Bank 73,550 5,284
Deutsche Bank AG 25,600 1,323
Deutsche Telekom 145,000 4,505
Gehe AG 168,389 10,293
Hoechst 228,873 9,455
Industrie-Werke Karlsruhe
Augsburg AG 86,500 1,580
Lufthansa 213,450 4,218
Mannesmann AG 213,198 19,529
Merck KGAA 99,350 4,015
Metro 34,650 2,413
Schwarz Pharma 5,700 319
Siemens AG 153,268 8,470
8
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MARKET
DESCRIPTION SHARES VALUE (000)
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Thyssen 75,800 $ 12,929
Varta 6,200 1,076
Viag 2,825 1,942
--------
108,594
--------
HONG KONG -- 2.4%
Bank of East Asia 976,000 1,379
Cheung Kong Holdings 796,000 3,688
Cheung Kong Infrastructure 350,000 759
China Telecom 860,000 1,354
Clp Holdings Limited 263,000 1,283
Hang Seng Bank 180,000 1,138
Henderson Land Development 247,000 845
Hong Kong & China Gas 1,173,000 1,438
Hong Kong Electric 472,000 1,623
Hong Kong Telecommunications 2,287,000 4,501
HSBC Holdings 94,800 1,737
Hutchison Whampoa 324,000 1,706
Kumagai Gumi 971,100 260
Kumagai Gumi Warrants* 194,220 3
Legend Holdings 1,800,000 534
Peregrine Investment
Holdings*(3) 526,000 --
Swire Pacific, Series A 150,000 472
Zhejiang Expressway 1,420,000 247
--------
22,967
--------
ITALY -- 4.2%
Assicurazioni Generali 138,606 4,511
Banca Popolare di Milano 136,600 985
Benetton Group 347,000 524
ENI SPA Reg 1,322,700 8,113
Istituto Bancario san
Paolo di Torino 668,117 8,403
Telecom Italia 2,145,302 14,790
Telecom Italia* 350,000 1,675
Telecom Italia Di Risp 500,000 1,609
--------
40,610
--------
JAPAN -- 19.1%
Aiful Corporation 16,500 760
Aoyama Trading 5,500 117
Asahi Breweries 312,000 3,697
Asahi Glass 121,000 584
Bank of Tokyo-Mitsubishi 243,000 1,555
Bridgestone Corporation 128,000 2,575
Canon 379,000 7,679
Dai Ichi Pharmaceutical 130,000 1,736
Dai Nippon Printing 65,000 833
Denso 57,000 828
Dio Chemicals 400 1
East Japan Railway 265 1,318
Fuji Heavy Industries 502,000 2,614
Fuji Photo Film 242,000 8,319
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MARKET
DESCRIPTION SHARES VALUE (000)
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Fujisawa Pharm 91,000 $ 836
Fujitsu 188,000 1,623
Hitachi 322,000 1,413
Hitachi Medical 200 2
Honda Motor 345,000 10,472
Hoya Corporation 102,000 3,656
Ibiden 48,000 667
Industrial Bank of Japan 179,000 655
Ito Yokado 19,000 903
Kao Corporation 68,000 1,084
Keyence Corporation 15,000 1,434
King Jim 600 3
Marubeni 870,000 1,024
Marui 65,000 941
Matsushita Communications Ind. 93,000 3,333
Matsushita Electric 615,000 8,344
Meiji Milk Products 341,000 798
Meitec 40,300 870
Minebea 100,000 813
Mitsubishi Heavy Industries 681,000 2,326
Mitsubishi Trust & Banking 109,000 383
Mitsui 230,000 945
Mitsui Fudosan 132,000 675
Murata Manufacturing 81,000 2,731
NAC 22 --
NEC 190,000 1,230
Nichiei 32,200 2,169
Nidec Corporation 31,900 2,492
Nintendo 106,700 10,021
Nippon Express 246,000 1,062
Nippon Oil 117,000 308
Nippon Paper 170,000 523
Nippon Shoji Kaisha 600 2
Nippon Steel 655,000 939
Nippon Telegraph & Telephone 1,121 8,158
Nippon Yusen Kabushiki Kaishi 143,000 419
Nissan Motors 825,000 2,293
Nissho Iwai 517,000 333
Nomura Securities 112,000 803
NTT Data 190 692
Obayashi 223,000 791
Oie Sangyo 200 1
Ono Pharmaceutical 123,000 2,951
Orix Corporation 37,000 2,557
Osaka Gas 608,000 1,543
Rohm Co. LTD 42,000 3,994
Sankyo 134,000 2,960
Secom 24,000 1,492
Seijo 300 2
Sekisui House 1,048,000 8,501
Sekisui House Hokuriku 10,000 37
Seven-Eleven 12,000 731
Shaddy 600 4
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
INTERNATIONAL
EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Shin - Etsu Chemical 55,000 $ 871
Shinden 17,200 78
SMC Corporation 14,000 946
Softbank Corporation 63,000 2,580
Sony Corporation 153,000 10,620
Sumitomo Bakelite 90,000 529
Sumitomo Bank 209,000 1,452
Sumitomo Chemical 298,000 887
Sumitomo Electric 98,000 948
Sumitomo Marine and
Fire Insurance 162,000 776
Sumitomo Metal 355,000 332
Sumitomo Rubber 96,000 482
Suzuki Motor 235,000 2,362
Taisho Pharmaceutical 64,000 1,343
Takeda Chemical 62,000 1,655
Takefuji Corporation 21,000 1,057
Tokai Bank 133,000 472
Tokio Marine & Fire Insurance* 161,000 1,437
Tokyo Electric Power 416,800 7,957
Tokyo Electronics 126,000 3,069
Toray 276,000 1,120
Toyota Motor 226,000 5,042
Yaizu Suisankagaku 200 1
Yamanouchi Pharmaceutical 91,000 1,957
Yamato Transportation 89,000 963
--------
184,491
--------
MALAYSIA (2) -- 0.1%
Austral Enterprises 188,000 116
Berjaya Sports 72,000 43
Genting Berhad 89,000 124
IOI Properties 462,000 129
Kuala Lumpur Kepong Berhad,
Series B 63,000 53
Petronas Gas 70,000 89
Rothmans of Pall Mall 41,000 132
Sime Darby 168,000 84
Telekom Malaysia 286,000 338
Tenaga Nasionale 254,000 183
Westmont Industries* 218,000 38
YTL* 96,000 56
--------
1,385
--------
MEXICO -- 0.3%
Cenentos de Mexico ADR 260,000 1,148
Telefonos de Mexico ADR 45,000 1,991
--------
3,139
--------
NETHERLANDS -- 6.9%
ABN-Amro Holding 68,844 1,174
Aegon 53,273 4,224
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Ahold PLC 80,000 $ 2,392
Akzo Nobel 31,847 1,133
De Boer Unigro 132,921 7,906
DSM 68,724 5,803
Fortis Amev 143,581 8,067
Heineken NV 61,000 2,948
Hoogovens 162,323 4,551
Ing Groep 92,195 4,157
Koninklijke Pakhoed Holdings 26,800 605
TNT Post Group NV 346,017 8,820
Van Ommeren 63,900 1,961
VNU 304,619 12,585
--------
66,326
--------
NEW ZEALAND -- 0.1%
Lion Nathan 95,800 230
Telecom of New Zealand 164,381 629
--------
859
--------
NORWAY -- 0.1%
Orkla AS -A 101,000 1,380
--------
SINGAPORE -- 1.1%
City Developments 41,000 90
Computer System & Service 238,500 174
Creative Technology* 21,000 193
Development Bank of Singapore 355,000 1,431
Keppel 85,000 100
Natsteel Electronics 75,000 164
Singapore International Airlines 58,000 318
Singapore Press Holdings 52,643 437
Singapore Telecommunications 4,605,000 7,696
--------
10,603
--------
SOUTH AFRICA -- 0.1%
South African Brewery 80,000 1,197
--------
SPAIN -- 2.7%
Autopistas Concesionaria Espanola 75,075 1,148
Banco Santander 484,280 7,489
Energia e Industrias Aragonesas 72,000 443
Repsol 73,900 3,124
Sevillana de Electricidad 62,800 734
Telefonica de Espana SA 360,526 13,157
--------
26,095
--------
SWEDEN -- 3.0%
Astra AB, Series A 282,000 4,819
Electrolux AB 477,801 6,276
Ericsson, Series B 365,000 6,889
Foreningssparbanken, Series A 126,300 2,899
Hennes & Mauritz, Series B 30,000 2,181
Investor, Series B 29,000 1,124
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Scania, Series A 81,400 $ 1,536
Skandinaviska Enskilda Bank 104,300 911
SKF, Series B 64,200 794
Trelleborg, Series B 48,800 411
Volvo, Series B 56,600 1,386
--------
29,226
--------
SWITZERLAND -- 7.8%
Adecco 20,436 7,600
Baer Holding 300 707
Cie Financiere Richemont 1,500 1,925
Credit Suisse Group 57,770 6,408
Fischer-Registered 850 236
Holderbank Fin Glarus 2,500 2,574
Nestle SA Reg 9,419 18,805
Novartis AG 8,408 13,526
Oz Holdings AG, Series B 1,580 1,312
Schweiz Ruckversicherung 850 1,691
UBS AG - Registered 44,448 8,700
Zurich Allied 24,031 11,968
--------
75,452
--------
UNITED KINGDOM -- 17.7%
3I Group 200,000 1,715
Abbey National 546,500 9,410
Allied Zurich* 206,250 2,108
Argyll Group 300,000 1,405
ASDA Group 457,500 1,334
Barclays Bank 97,000 1,583
Barratt Developments 185,900 605
Bass 355,300 4,253
Berkeley Group 120,633 1,064
BG 176,470 1,226
Boc Group 170,000 2,107
British Airways 1,707,700 10,439
British American Tobacco 206,250 1,535
British Petroleum 225,200 3,442
British Telecommunications 693,073 9,333
Cadbury Schweppes 819,882 10,609
Coca-Cola Beverages* 133,500 304
Commercial Union 248,326 3,844
Diageo 796,061 7,570
EMI Group 178,200 1,098
General Electric 1,237,218 9,034
Glaxo Wellcome 310,300 9,153
Guardian Royal Exchange 410,000 1,779
Halifax* 139,800 1,804
Kingfisher 1,014,600 9,407
Lex Service 127,000 744
LucasVarity 535,000 1,644
National Westminster 588,269 7,892
Powergen 228,900 3,397
Railtrack Group 102,300 2,946
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Reckitt & Colman 110,000 $ 1,626
Reuters Group 235,000 1,971
RJB Mining 295,500 532
Sedgwick Group 353,200 1,188
Siebe PLC 372,000 1,200
Signet Group* 1,065,600 466
SmithKline Beecham 923,963 10,151
Standard Chartered 202,000 1,423
Tate & Lyle 230,000 1,273
Thames Water 212,575 4,231
TI Group 290,000 1,753
United Assurance Group 166,800 1,661
United Utilities 252,200 4,073
Vodafone Group 1,055,907 12,246
Wimpey(George) 346,800 568
Zeneca Group 122,500 4,327
--------
171,473
--------
Total Foreign Common Stocks
(Cost $1,027,294) 930,408
--------
FOREIGN PREFERRED STOCKS -- 0.3%
GERMANY -- 0.2%
SAP* 3,800 1,804
--------
ITALY -- 0.1%
Fiat* 845,000 1,321
--------
Total Foreign Preferred Stocks
(Cost $4,500) 3,125
--------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bill (1)
3.953%, 11/19/98 $ 2,350 2,337
--------
Total U.S. Treasury Obligations
(Cost $2,334) 2,337
--------
REPURCHASE AGREEMENTS -- 4.1%
J.P. Morgan (1)
5.35%, dated 09/30/98, matures
10/01/98, repurchase price
$21,442,042 (collateralized
by U.S. Treasury Note, 5.625%
due 05/15/08, par value
$19,785,000, market value
$21,806,784) 21,378 21,378
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
INTERNATIONAL
EQUITY FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT VALUE (000)
- --------------------------------------------------------------------------------
State Street Bank
4.75%, dated 09/30/98, matured
10/01/98, repurchase price
$17,946,368 (collateralized by
U.S. Treasury Note, 6.625%, due
06/30/01, par value $17,120,000,
market value $18,318,400) $17,944 $ 17,944
--------
Total Repurchase Agreements
(Cost $39,322) 39,322
--------
Total Investments -- 100.8%
(Cost $1,073,450) 975,192
--------
Other Assets and Liabilities, Net-- (0.8%) (8,154)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no par
value) based on 105,562,667
outstanding shares of beneficial interest 1,022,502
Portfolio Shares of Class D
(unlimited authorization -- no par
value) based on 36,451 outstanding
shares of beneficial interest 363
Undistributed net investment income 8,454
Accumulated net realized gain on investments 34,923
Net unrealized depreciation on investments (98,258)
Net unrealized depreciation on forward
foreign currency contracts, foreign futures,
foreign currency and translation of other
assets and liabilities in foreign currency (946)
--------
Total Net Assets-- 100.0% $967,038
========
NET ASSET VALUE, REDEMPTION PRICE
PER SHARE -- CLASS A $9.16
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE --
CLASS D $9.07
========
MAXIMUM OFFERING PRICE PER SHARE --
CLASS D ($9.07 (DIVIDE) 95%) $9.55
========
* NON-INCOME PRODUCING SECURITY
ADR -- AMERICAN DEPOSITORY RECEIPT
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(1) SECURITIES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF $22,771,401.
(2) AS OF SEPTEMBER 1, 1998, THE REPATRIATION OF PROCEEDS RECEIVED FROM THE
SALE OF THESE SECURITIES HAS BEEN BLOCKED UNTIL AT LEAST SEPTEMBER 1, 1999.
THESE SECURITIES ARE CONSIDERED ILLIQUID AND ARE BEING FAIR VALUED USING
METHODS DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD
OF TRUSTEES.
(3) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 91.3%
ARGENTINA -- 4.7%
Banco Galicia y Bueno
Aires SA ADR 175,000 $ 2,778
Quilmes Industrial 96,450 790
Quilmes Industrial ADR 331,900 2,717
Telecom Argentina Stet
France ADR 32,600 968
Telefonica Argentina ADR 259,740 7,646
YPF ADR 320,490 8,333
--------
23,232
--------
BRAZIL -- 5.8%
Cemig SA 33,700 745
CIA Electric Est
Rio Janeiro* 3,178,585,000 1,099
CIA Paranaense
Energia ADR 183,600 1,170
Companhia Brasileira de
Distribuicao Grupo de
Acucar ADR 5,000 65
Companhia Riograndense
Telecom 12,793,800 3,853
Petroleum Brasileiro ADR 108,700 1,114
Tele Celular Sul
Participacoes 283,855,000 400
Tele Centro Sul Participacoes 179,960,000 1,898
Tele Sudeste Cellular
Participacoes 178,895,000 558
Telebras ADR* 107,365 7,539
Telesp Celular* 20,985,000 523
Telesp Celular Participacoes 171,068,000 1,154
Telesp Participacoes 115,494,000 2,777
Telesp 20,875,000 2,025
Unibanco GDR 163,817 2,212
Vale Rio Doce ADR 107,595 1,587
--------
28,719
--------
CHILE -- 3.2%
Cervecerias Unidas ADR 81,555 1,499
Chilectra ADR 215,500 3,524
CIA Telecomunicacion
Chile ADR 179,220 3,428
Distribucion y Sevicio ADR 145,045 1,450
Enersis ADR 214,860 4,378
Quimica y Minera Chile ADR 13,300 387
Quinenco ADR 213,060 1,478
--------
16,144
--------
CHINA -- 0.2%
Beijing Yanhua Petrochemical,
Series H* 1,260,000 99
Bengang Steel Plates, Series B 454,000 63
China Eastern Airlines
Corporation, Series H* 1,952,000 120
China Southern Glass, Series B* 371,934 48
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Chongqing Changan
Automobile, Series B 375,200 $ 47
Eastern Communications,
Series B 186,900 81
Guangdong Provincial
Expressway Development,
Series B 252,000 72
Shanghai Dajiang Group,
Series B 372,480 33
Shanghai Dazhong Taxi* 252,600 117
Shanghai Lujiazui Finance
and Trade, Series B* 453,040 189
Shanghai Yaohua Pilkington
Glass, Series B 224,000 27
Shenzhen Fangda Ltd, Series B 124,000 94
Shenzhen Konka Electronics
Group, Series B 192,400 127
Wuxi Little Swan, Series B 91,200 46
--------
1,163
--------
COLOMBIA -- 0.9%
Banco Ganadero ADR 159,394 1,435
Banco Gandero ADR 46,865 832
Banco Industrial
Colombiano ADR 151,630 758
Carulla y Compania ADR 458,200 687
Cementos Diamante GDR 118,162 266
Cementos Paz del Rio GDR 28,853 194
Gran Cadena Almacenes GDR 95,784 287
--------
4,459
--------
CROATIA -- 0.5%
Pliva GDR, Series S 183,980 2,470
--------
CZECH REPUBLIC -- 0.9%
Ceske Radiokomunikace* 4,711 203
Ceske Radiokomunikace
GDR 144A* (A) 46,600 1,203
CKD Praha Holding* 7,700 51
Galena* 8,000 170
SPT Telecom* 52,980 686
SPT Telecom GDR 117,700 1,501
Tabak 3,200 720
--------
4,534
--------
EGYPT -- 1.6%
Al-Ahram Beverages GDR 24,400 772
Alexandria National Iron & Steel 14,733 649
Commercial International Bank 91,725 865
Eastern Tobacco 12,348 204
EFG Hermes GDR 23,500 276
Egypt Gas 3,200 295
Egyptian American Bank 16,934 306
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Egyptian International
Phamaceutical Industries 5,311 $ 284
El Ameriya Cement 13,475 230
Helwan for Cement 18,386 278
Madinet Nasr for Housing
& Construction 8,450 370
MISR Elgedida for Housing 6,640 536
MISR International Bank* 33,939 717
National Societe General Bank 20,149 373
OPTD/Egypt Common 300 252
Oriental Weavers 13,000 281
Paints & Chemical Industries 8,744 244
Suez Cement 65,843 1,044
--------
7,976
--------
GREECE -- 5.7%
Alpha Credit Bank 53,022 3,947
Alpha Finance 25,500 841
Athens Medical Care 44,600 745
Attica Enterprises 106,600 766
Chipita International 13,900 367
Delta Informatics 42,400 786
Ergo Bank 26,389 2,130
Hellenic Bottling 119,431 2,952
Hellenic Petroleum SA* 127,000 1,082
Hellenic Technodomiki 31,500 218
Hellenic Technodomiki Rights* 31,500 65
Intracom 81,786 3,019
Intrasoft 29,100 530
Maillis 100,540 1,826
National Bank of Greece 32,230 4,350
OTE 80,382 1,929
Sarantis 86,249 909
Titan Cement Company 35,570 2,129
--------
28,591
--------
HONG KONG -- 1.8%
Cheung Kong Infrastructure 281,000 609
China International Marine 327,350 169
China Telecom* 1,136,000 1,789
China Vanke, Series B 138,591 50
Guangdong Electric Power
Development, Series B 415,192 141
Guangshen Railway, Series H 1,782,000 232
Formosa Fund 290 2,617
Jilin Chemical Industrial,
Series H 1,202,000 63
Legend Holdings Limited 1,400,000 416
Li & Fung 396,000 639
Maanshan Iron & Steel,
Series H* 2,158,000 82
Qingling Motors, Series H 2,602,000 504
Shangdong Chenming Paper 215,200 77
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
EMERGING MARKETS
EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Shanghai Hai Xing Shipping,
Series H* 1,346,000 $ 109
Shanghai Industrial Holdings 207,000 414
Shanghai Petrochemical,
Series H 2,092,000 213
Shenzen China Bicycle,
Series B* 316,714 29
Shenzen Seg Group, Series B* 290,003 79
Tsingtao Brewery, Series H* 376,000 43
Vtech Holdings 140,000 558
Yizheng Chemical Fibre,
Series H* 1,744,000 133
--------
8,966
--------
HUNGARY -- 2.2%
Borsodchem 11,100 228
Borsodchem GDR 23,500 464
Cofinec GDR 23,450 119
Gedeon Richter 144A GDR (A) 9,050 279
Gedeon Richter GDR 16,245 485
Magyar Tavkozlesi ADR 210,800 4,572
MOL 37,087 720
MOL GDR 120,970 2,326
OTP Bank GDR 37,270 1,045
Pannoplast 22,043 505
Zalakeramia GDR 71,000 147
--------
10,890
--------
INDIA -- 3.9%
Bajaj Auto GDR 121,880 2,139
BSES GDR 77,050 1,015
Complete Business Solutions* 53,100 1,527
India Fund* 499,730 3,061
Industrial Credit and Investment
of India 207,520 1,728
ITC GDR 203,270 4,076
Mahanagar Telephone
Nigam Ltd GDR 182,675 2,073
Ranbaxy Laboratories GDR 80,200 1,444
Syntel Inc.* 66,100 1,471
Videsh Sanchar GDR 80,800 889
--------
19,423
--------
ISRAEL -- 4.2%
Agis Industries* 33,068 191
Bank Hapoalim* 1,306,461 3,194
Bank Leumi Le-Israel 835,476 1,235
Bezeq Israeli Telecommunication 341,007 1,010
Blue Square Chain
Investments & Properties* 39,728 547
Cial Electronics Industries 2,045 274
Clal Israel Limited 9,660 217
Comverse Technology* 12,700 519
Discount Investment 15,350 403
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Elbit Systems Limited 46,400 $ 586
Elco Holdings 38,714 205
Elron Electronic Industries
Limited 14,705 216
Fibi Holdings 34,319 265
First International Bank of Israel 67,508 360
Formula Systems* 11,155 237
Gilat Satellite Networks Limited* 30,900 1,390
IDB Development 15,957 363
IDB Holding 41,442 926
Industrial Buildings 346,204 478
Israel* 6,040 506
Israel Chemicals* 378,476 355
Jerusalem Economic
Corp Limited 53,359 229
Koor Industries ADR 60,200 986
Koor Industries Limited 8,258 690
Leumi Insurance Holdings* 939,039 489
Makhteshim-Agan Industries* 193,192 420
Nice Systems* 12,761 243
Osem Investment Limited 96,614 456
Property & Building
Corporation Ltd 2,923 253
Super Sol Limited 156,883 445
Tadarin Limited 8,967 248
Teva Pharmaceuticals ADR 75,215 2,849
--------
20,785
--------
MALAYSIA (1) -- 2.6%
Berjaya Sports Toto 1,016,000 601
Genting Berhad 774,000 1,076
IOI Properties 4,870,000 1,364
Kian Joo Can Factory 295,000 233
Kuala Lumpur Kepong Berhad 748,000 628
Malayan Cement Berhad 956,000 192
Malaysia International
Shipping Corp. 1,354,000 1,020
Malaysian Assurance Alliance 954,400 491
Malaysian Pacific Industries 657,000 490
O.Y.L. Industries 546,200 824
Petronas Gas 736,000 936
Rothmans of Pall Mall 594,000 1,922
Sime Darby 1,376,000 689
Technology Resources
Industries 890,000 213
Telekom Malaysia 905,000 1,071
Tenaga Nasionale 691,000 499
YTL 1,185,000 696
--------
12,945
--------
MEXICO -- 11.0%
Cemex ADR 144A (A) 51,005 249
Cemex SA ADR 831,760 1,832
Cifra, Series C* 755,000 926
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cifra ADR, Class V* 193,100 $ 2,350
Cifra, Series V* 85,000 108
Coca Cola Femsa ADR 68,700 837
Compania Cervecerias
Unidas ADR 76,380 1,403
Corporacion Geo SA, Series B* 680,000 1,334
Corporacion Interamericana
de Enterenemienta, Series B* 1,000,000 1,569
Corporacion Interamericana
de Enterenemienta, Series L* 258,262 355
Fomento Economico Mex SA 4,099,718 8,163
Gruma ADR* 2,600 22
Grupo Carso SA, Series A1 1,012,000 2,839
Grupo Financiero
Banamex, Series B* 682,000 602
Grupo Financiero
Bancomer, Series B 3,625,000 640
Grupo Industria Bimbo,
Series A 793,000 1,540
Grupo Modelo, Series C 165,000 1,456
Grupo Televisa GDR* 185,640 3,585
Kimberly-Clark de Mexico,
Series A 1,630,070 4,037
Organizacion Soriana SA,
Series B 989,855 2,379
San Luis 63,048 105
Telefonos de Mexico ADR 413,240 18,286
--------
54,617
--------
MOROCCO -- 2.0%
BCM 15,306 1,742
BMCE 22,668 1,754
ONA 19,372 2,645
SAMIR 28,131 1,183
SNI 13,262 1,509
Wafabank 8,210 1,129
--------
9,962
--------
PAKISTAN -- 0.0%
Adamjee Insurance 28,390 23
Engro Chemicals 14,512 17
Hub Power 135,500 38
ICI Pakistan* 157,500 38
Lever Brother Pakistan 500 7
Muslim Commercial Bank 500
Pakistan State Oil 25,255 44
Sui Northern Gas Pipelines* 9,750 2
Sui Southern Gas* 1,293
--------
169
--------
PERU -- 2.1%
Banco Wiese ADR 78,997 217
Buenaventura ADR 183,689 2,135
Cementos Lima 38,175 557
Cementos Lima ADR 43,300 638
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cementos Norte Pacasmayo 185,500 $ 242
Cerveceria Backus & Johnston 481,222 183
Compania de Minas
Buenaventura, Series B 63,319 419
Credicorp 114,128 835
Edegel SA, Series B 699,372 179
Ferreyros SA 677,400 690
Luz del Sur, Series B 252,795 178
Southern Copper 16,778 200
Telefoncia del Peru ADR 324,290 3,973
--------
10,446
--------
PHILIPPINES -- 1.4%
Ayala Land 3,526,000 519
Bank of Philippine Islands 412,334 460
International Container
Terminal Services* 3,049,375 105
Manila Electric, Series B 567,710 1,090
Philippine Long Distance 139,650 2,954
Queenbee Res Jollibee,
Series F* 2,437,800 521
San Miguel, Series B 17
SM Prime Holdings 8,802,900 1,093
--------
6,742
--------
POLAND -- 1.8%
Amica Wronki* 44,080 257
Bank Polska Kasa Opieki SA* 62,000 816
Bank Przemyslowo-Handlowy 19,300 1,325
Elektrim 157,290 1,595
Exbud GDR* 144,405 1,148
Kredyt Bank PBI GDR* 23,500 350
Kredyt Bank PBI SA* 117,500 378
Mostosal-Warszawa GDR * 144,600 698
National Investment Fund* 18,330 362
Orbis* 119,004 800
Wielkopolski Bank Kredytowy 142,000 875
Zaklady Lentex SA 75,000 260
--------
8,864
--------
PORTUGAL -- 3.9%
Banco Comercial Portugues 113,779 3,076
Banco Pinto & Sotto Mayor 82,270 1,338
BPI-SGPS 78,300 2,162
Brisa Auto-Estradas 29,500 1,346
Cimentos de Portugal 29,408 821
Electricidade de Portugal 168,300 3,877
Ibersol SGPS SA 12,200 1,076
Jeronimo Martins & Filho 63,300 2,147
Mundial Confianca 32,300 665
Portugal Telecom 35,898 1,308
Semapa 38,400 796
Sonae Investimentos 26,485 774
--------
19,386
--------
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
EMERGING MARKETS EQUITY
FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RUSSIA -- 0.2%
Chelyabinskvyazinform (2) 12,000 $ 42
Gorkovsky Auto Plant* (2) 12,264 80
Lukoil Holding ADR 36,500 443
Mosenergo ADR 200,000 200
Rostelecom ADR* 480,000 149
Rostovenergo (2) 2,500,000 5
Surgutneftegaz ADR 30,778 46
Vimpel Communications ADR* 22,900 120
--------
1,085
--------
SINGAPORE -- 0.7%
Datacraft Asia 465,000 1,255
Natsteel Electronics 579,000 1,270
Venture Manufacturing 374,000 1,153
--------
3,678
--------
SOUTH AFRICA -- 12.6%
Amalgamated Banks of
South Africa 603,300 2,181
Anglo American 91,700 2,599
Anglo American Industrial
Corporation 14,300 156
Anglo American Platinum
Corporation 173,300 2,518
B.O.E, Series N 1,277,308 809
Bidvest Group 179,555 1,077
Billiton* 929,700 2,042
Boe Limited 529,075 383
Brait SA 240,000 795
C.G. Smith 704,650 1,375
C.G. Smith Foods 130,100 923
Computer Configurations
Holdings* 234,675 700
DB Persetel Q Data Holdings 1,100,000 420
Delta Electrical Industries 623,654 1,902
Dimension Data Holdings 565,600 2,287
Firstrand 2,108,700 1,877
Foschini 794,400 963
Gold Fields of South Africa 133,300 1,700
Hudaco Industries 556,450 442
Imperial Holdings Limited 267,437 1,897
Iscor 2,799,500 624
Ixchange Technology Holdings* 601,328 1,315
Johnnies Industrial 279,510 1,204
Liberty Holdings 41,657 1,572
Liberty Life Association
of Africa 61,169 921
Liblife Strategic Investments 1,358,800 2,181
Lonrho 256,500 1,365
Nedcor 162,492 2,608
New Africa Investments,
Series N* 2,659,381 1,235
Omni Media 41,000 339
Perkor Beleggings 730,500 222
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Plessey 1,165,301 $ 1,653
Polifin 711,600 601
Protea Furnishers 875,500 377
Real Africa Hldgs. Ltd* 317,500 1,126
Real Africa Investments* 701,198 2,120
Rembrandt Group 328,520 1,967
RMB Holdings 1,801,400 2,556
Sappi* 201,400 640
South African Breweries 73,248 1,096
Standard Bank 602,500 1,231
Suncrush 480,950 853
Technology & Industry
Investments 45,000 135
Tegniese Beleg Korp 590,000 1,694
Theta Group* 938,600 2,743
Tiger Oats 201,200 1,546
Unitrans Limited 316,800 706
Wooltru, N Shares 1,131,300 1,051
--------
62,727
--------
SOUTH KOREA -- 3.9%
Dae Duck Electronics 29,410 1,716
Kookmin Bank 14,000 34
Korea Asia Fund 2,594 1,492
Korea Electric Power 107,300 1,491
Korea Electric Power ADR 68,350 615
Korea Fund* 508,373 3,114
Mirae 419,513 574
Nong Shim 38,580 1,528
Pohang Iron & Steel 42,310 1,674
Pohang Iron & Steel ADR 18,500 256
Samchully 50,780 841
Samsung Display Devices 28,803 674
Samsung Display Rights* 3,888
Samsung Electronic 57,933 1,585
Samsung Electronics
GDR 1995 144A (A) 16,208 227
Samsung Electronics
GDR, Class A 874 5
Samsung Fire & Marine
Insurance 7,153 1,391
SK Telecom 1,118 524
SK Telecom ADR 226,415 1,599
Ssangyong Oil Refining 18,850 159
--------
19,499
--------
TAIWAN -- 8.2%
Accton Technology GDR 402,400 1,348
Acer GDR 126,562 598
Advanced Semiconductor
Engineering GDR 81,789 746
Advanced Semiconductor
Engineering 924,600 1,460
Asia Cement GDR 138,912 1,160
Asustek Computer 120,000 842
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Asustek Computer GDR 220,000 $ 1,529
Asustek Computer Rights 240
Cathay Construction 1,365,000 722
Cathay Life Insurance 1,080,000 3,047
China Development* 1,485,000 2,649
China Steel 780,000 468
China Steel GDR 42,869 532
China Trust Commercial Bank* 211,200 133
Compal Electronics* 593,000 1,769
D-Link* 350,000 757
Delta Electronics 580,000 1,535
Formosa Chemical & Fiber* 400,000 256
Formosa Plastic 399,000 514
Goldsun Development &
Construction 1,956,000 806
Hon Hai Precision Industries* 400,000 1,789
Hua Nan Bank 1,320,000 2,104
Hualon-Teijran 44,400 15
Lite-On Technology GDR 100,569 820
Orient Semiconductor
Electronics 325,000 284
Pacific Electric Wire & Cable* 976,000 662
President Enterprises GDS 31,080 218
ROC Taiwan Fund 200,000 1,175
Shinkong Synthetic Fibers 2,726,443 993
Siliconware Precision GDR* 70,000 577
Siliconware Precision
Industries 1,000,000 1,456
Synnex Technology
International* 314,136 1,033
Taiwan American Fund 110,000 1,620
Taiwan Semiconductor 1,300,000 2,509
Taiwan Semiconductor ADR 156,875 1,922
Teco Electric & Machinery GDR 34,128 293
Tung Ho Steel GDR 2,000 11
Union Petrochemical* 954,000 527
Yageo 560,000 704
Yageo GDR 151,111 1,001
Yang Ming Marine
Transport GDR 86,250 622
--------
41,206
--------
THAILAND -- 1.1%
Advance Agro Public 'F' 281,500 214
Advanced Info Service 134,200 769
Bangkok Bank 'F' 199,300 189
Bangkok Expressway Public 830,300 631
Bec World Public 'F' 87,300 429
Eastern Water Resources 313,000 349
Electric Generating 'F' 295,810 709
GSS Array Tech 'F' 92,300 175
Lanna Lignite 'F' 217,300 174
National Petrochemical 609,400 228
PTT Exploration &
Production 'F'* 6,000 53
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PTT Exploration `F'* 100,000 $ 882
Siam Cement* 35,100 338
Thai Airways International `F' 362,600 299
Thai Farmers Bank Warrants* 26,138 1
Tipco Asphalt `F'* 199,200 138
--------
5,578
--------
TURKEY -- 2.9%
Akbank 34,250,000 482
Aksigorta 19,202,000 499
Alcatel Teletas 7,590,000 369
Ardem 14,516,000 233
Dogan Sirketler Holdings 30,679,000 1,106
Efes Investment ADS 427,000 362
Efes Investment GDR 105,000 90
Ege Biracilik Ve Malt Sanayii 12,450,000 943
EGS Properties, Series B* 24,517,240 252
Gima Gida Ve Ihtiyac
Maddele* 25,750,000 436
Haci Omer Sabanci Holdings 63,719,400 976
Hurriyet Gazetecilik 25,800,000 372
Koc Holdings 8,400,000 878
Migros 1,659,806 1,197
Milliyet Gazetecilik* 43,000,000 442
Petrol Ofisi 4,000,000 700
Tansas 4,937,250 463
Turk Otomobil Fabrika* 15,600,000 273
Tupras* 11,550,000 1,145
Turkiye Is Bankasi 80,950,000 2,131
Yapi Ve Kredi Bankas 81,643,427 927
--------
14,276
--------
VENEZUELA -- 1.3%
Banco Provincial 916,062 879
Compania Anonima Nacional
Telecom ADR 225,627 3,836
Electricdid de Caracas 3,815,737 1,059
Mavesa ADR 65,005 248
Mercantil Servicios, Cl B 147,200 184
Sivensa ADR 31,712 194
Venezolana de Cementos 757,170 225
--------
6,625
--------
Total Foreign Common Stocks
($585,997) 455,157
--------
FOREIGN PREFERRED STOCKS -- 3.2%
BRAZIL -- 3.1%
Cemig ADR 73,400 1,696
Cemig 191,439,175 4,167
CIA Vale Rio Doce, Cl A 176,869 2,686
Copel, Cl B 211,665,869 1,366
Gerdau 17,397,000 151
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
EMERGING MARKETS EQUITY
FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000)(3) VALUE (000)
- --------------------------------------------------------------------------------
Petrol Brasileiros 27,343,286 $ 2,814
Teleceara Celular, Cl D* 2,718,260 138
Teleceara, Cl C 2,552,912 129
Telesp Celular, Cl B* 15,673,152 648
Telesp* 2,670,666 388
Usiminas Gerais 428,700 1,266
--------
15,449
--------
RUSSIA -- 0.0%
Chelyabinksvyazinform*(2) 16,000 26
Kubanelektrosvyas (2) 70,000 63
Rostovenergo*(2) 4,900,000 5
--------
94
--------
PERU -- 0.1%
Cerveceria Backus & Johnston,
Series A* 71,048 498
--------
Total Foreign Preferred Stocks
(Cost $21,698) 16,041
--------
FOREIGN CONVERTIBLE BONDS -- 1.4%
TAIWAN -- 1.4%
ADI
7.000%, 03/09/01 1,150 832
China Petrochemical
3.180%, 05/08/09 740 540
Far East Department Stores
8.230%, 07/06/01 650 569
Lite-On Technologies
3.120%, 05/01/04 880 775
Nanya Plastics 144A (A)
1.750%, 07/19/01 1,110 1,213
Pacific Construction
5.230%, 10/20/04 1,300 1,011
Siliconware Precision
3.280%, 07/21/04 1,180 1,009
Walsin Lihwa
10.110%, 06/16/04 750 534
Winbond Electron
8.900%, 11/04/02 550 406
--------
6,889
--------
Total Foreign Convertible Bonds
(Cost $8,191) 6,889
--------
REPURCHASE AGREEMENTS -- 4.4%
J.P. Morgan
5.41%, dated 09/30/98, matures
10/01/98, repurchase price
$6,510,165
(collateralized by U.S.
Treasury Bond, 10.625%, due
08/15/15, par value
$4,024,000,
market value $6,554,095) 6,426 6,426
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
- --------------------------------------------------------------------------------
State Street Bank
4.75%, dated 09/30/98, matured
10/01/98, repurchase price
$15,702,071, (collateralized by
various U.S. Treasury Notes,
ranging in par value $340,000-
$9,605,000, 6.125%-8.00%, due
07/31/00-11/15/21, total
market value $16,024) $15,700 $ 15,700
--------
Total Repurchase Agreements
(Cost $22,126) 22,126
--------
Total Investments -- 100.3%
(Cost $638,012) 500,213
--------
Other Assets and Liabilities, Net-- (0.3%) (1,743)
--------
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
80,848,598 outstanding shares of
beneficial interest 810,440
Undistributed net investment income 1,026
Accumulated net realized loss
on investments (174,915)
Net unrealized depreciation on investments (137,799)
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency and translation of other assets
and liabilities in foreign currency (282)
--------
Total Net Assets -- 100.0% $498,470
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $6.17
========
* NON-INCOME PRODUCING SECURITY
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(A) SECURITIES SOLD WITHIN 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 TRUSTEES.
ADR -- AMERICAN DEPOSITORY RECEIPT
ADS -- AMERICAN DEPOSITORY SHARE
'F' -- FOREIGN SHARES
GDR -- GLOBAL DEPOSITORY RECEIPT
GDS -- GLOBAL DEPOSITORY SHARE
(1) AS OF SEPTEMBER 1, 1998, THE REPATRIATION OF PROCEEDS RECEIVED FROM THE SALE
OF THESE SECURITIES HAS BEEN BLOCKED UNTIL AT LEAST SEPTEMBER 1, 1999. THESE
SECURITIES ARE CONSIDERED ILLIQUID AND ARE BEING FAIR VALUED USING METHODS
DETERMINED IN GOOD FAITH BY THE VALUATION COMMITTEE OF THE BOARD OF
TRUSTEES.
(2) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION
COMMITTEE OF THE BOARD OF TRUSTEES.
(3) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
INTERNATIONAL FIXED
INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 86.5%
AUSTRALIA -- 2.4%
Commonwealth of Australia
8.750%, 08/15/08 6,400 $ 4,853
Queensland Treasury
6.500%, 06/14/05 12,915 8,263
--------
13,116
--------
CANADA -- 0.2%
Government of Canada
9.000%, 06/01/25 1,005 999
--------
DENMARK -- 1.9%
Kingdom of Denmark
8.000%, 03/15/06 39,515 7,532
7.000%, 11/15/07 12,300 2,276
7.000%, 11/10/24 3,200 612
Unikredit Realkredit
6.000%, 10/01/29 1,900 289
--------
10,709
--------
FRANCE -- 4.9%
Government of France
5.250%, 04/25/08 57,370 11,152
Government of France BTAN
4.750%, 03/12/02 30,660 5,672
Government of France OAT
8.500%, 10/25/19 36,800 9,941
--------
26,765
--------
GERMANY -- 22.1%
Depfa Bank
4.750%, 03/20/03 12,940 8,023
Deutschland Republic
6.000%, 01/05/06 21,809 14,731
6.000%, 02/16/06 32,570 22,039
6.250%, 01/04/24 104,452 75,178
KFW International Finance
6.625%, 04/15/03 1,140 762
--------
120,733
--------
ITALY -- 10.1%
Republic of Italy
5.000%, 01/15/01 50,000,000 31,081
9.500%, 02/01/01 35,130,000 23,929
--------
55,010
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
JAPAN -- 15.1%
Asian Development Bank
3.125%, 06/29/05 2,573,000 $ 21,707
European Investment Bank
3.000%, 09/20/06 2,125,000 18,291
Export-Import Bank
2.875%, 07/28/05 3,260,000 26,934
Japanese Development Bank
2.875%, 12/20/06 1,840,000 15,410
--------
82,342
--------
NETHERLANDS -- 2.8%
Kingdom of Netherlands
5.750%, 01/15/04 26,220 15,201
--------
NEW ZEALAND -- 3.3%
Government of New Zealand
10.000%, 03/15/02 24,460 13,864
7.000%, 07/15/09 7,815 4,318
--------
18,182
--------
SPAIN -- 3.9%
Kingdom of Spain
7.900%, 02/28/02 2,680,800 21,375
--------
SWEDEN -- 2.5%
Kingdom of Sweden
10.250%, 05/05/03 85,600 13,475
--------
UNITED KINGDOM -- 17.3%
United Kingdom Treasury
7.000%, 06/07/02 17,439 31,302
8.500%, 07/16/07 29,894 63,247
--------
94,549
--------
Total Foreign Bonds
(Cost $444,186) 472,456
--------
U.S. TREASURY OBLIGATIONS -- 9.1%
U.S. Treasury Bonds
6.625%, 02/15/27 $ 7,430 9,012
U.S. Treasury Notes
5.750%, 11/30/02 1,000 1,051
6.625%, 05/15/07 22,840 26,279
U.S. Treasury Bills
3.945%, 11/12/98 13,400 13,337
--------
Total U.S. Treasury Obligations
(Cost $48,357) 49,679
--------
19
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
INTERNATIONAL FIXED INCOME
FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT--4.4%
State Street Bank
4.75%, dated 09/30/98, matured
10/01/98, repurchase price
$23,925,156 (collateralized by
U.S. Treasury Note, par value
$22,805,000, 06/30/01,
6.625%, market value
$24,401,350) $23,922 $ 23,922
--------
Total Repurchase Agreement
(Cost $23,922) 23,922
--------
Total Investments -- 100.0%
(Cost $516,465) $546,057
========
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
BTAN -- BONS DU TRESOR A TAUX FIXE ET A INTERET ANNUEL
OAT -- OBLIGATIONS ASSIMILABLES DE TRESOR
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT FUND
FOREIGN BONDS -- 95.3%
ALGERIA -- 2.4%
Republic of Algeria FRN
Tranche 1 Restructured
7.250%, 09/04/06 3,000 1,260
Republic of Algeria FRN
Tranche A Restructured
7.250%, 09/04/06 3,650 2,591
--------
3,851
--------
ARGENTINA -- 10.8%
Government of Argentina
11.750%, 02/12/07 ARS 6,250 4,376
11.375%, 01/30/17 10,250 9,392
Government of Argentina 144a (A)
11.750%, 02/12/07 ARS 2,750 1,925
Government of Argentina
Bocon Previsional 1
14.800%, 04/01/01 ARS 671 506
Government of Argentina
Bocon Proveedores 1
10.840%, 04/01/07 ARS 2,077 1,173
--------
17,372
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
BRAZIL -- 12.1%
Government of Brazil
9.375%, 04/07/08 2,500 $ 1,610
Government of Brazil FRN,
Series EI
6.625%, 04/15/06 12,852 7,454
Government of Brazil FRN
6.688%, 04/15/12 1,875 935
Government of Brazil FRN,
Series ZL
6.625%, 04/15/24 13,750 8,112
Government of Brazil PAR,
Series ZL
5.500%, 04/15/24 2,350 1,363
--------
19,474
--------
BULGARIA -- 4.3%
Government of Bulgaria IAB,
Series PDI
6.688%, 07/28/11 6,150 3,629
Republic of Bulgaria FLIRB,
Series A
2.535%, 07/28/12 3,950 1,807
Republic of Bulgaria Discount
Notes, Series A
6.688%, 07/28/24 2,250 1,406
--------
6,842
--------
COLOMBIA -- 3.1%
Republic of Colombia
7.250%, 02/15/03 1,300 1,034
Republic of Columbia
7.270%, 06/15/03 1,250 919
7.625%, 02/15/07 1,250 881
Republic of Columbia FRN
8.820%, 08/13/05 2,650 2,226
--------
5,060
--------
CROATIA -- 2.8%
Government of Croatia FRN,
Series B
6.563%, 07/31/06 2,488 1,742
Government of Croatia FRN,
Series A
6.563%, 07/31/10 4,000 2,720
--------
4,462
--------
COSTA RICA -- 0.6%
Government of Costa Rica,
Series B
6.250%, 05/21/15 1,200 924
--------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
ECUADOR -- 4.5%
Government of Ecuador
Discount
6.625%, 02/28/25 1,750 $ 801
Government of Ecuador PAR
3.500%, 02/28/25 13,700 5,549
Government of Ecuador PDI
6.625%, 02/27/15 2,648 874
--------
7,224
--------
IVORY COAST -- 1.2%
Ivory Coast FLIRB
13.960%, 03/29/18 2,500 513
Ivory Coast PDI
11.410%, 03/29/18 5,184 1,400
--------
1,913
--------
MEXICO -- 13.2%
Government of Mexico Par
Bonds, Series B
6.250%, 12/31/19 14,250 10,367
United Mexican States
11.500%, 05/15/26 1,675 1,591
Petroleos Mexicanos
9.250%, 03/30/18 3,750 2,850
United Mexican States
11.375%, 09/15/16 6,775 6,504
--------
21,312
--------
PANAMA -- 4.3%
Government of Panama
8.250%, 04/22/08 2,000 1,690
8.875%, 09/30/27 1,650 1,382
Government of Panama IRB
4.000%, 07/17/14 4,050 2,835
Government of Panama PDI
6.6875%, 07/17/16 1,352 940
--------
6,847
--------
PERU -- 5.1%
Republic of Peru FLIRB
3.250%, 03/07/17 14,125 6,250
Republic of Peru PDI
4.000%, 03/07/17 4,000 2,010
--------
8,260
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
PHILIPPINES -- 5.5%
Government of Philippines
8.750%, 10/07/16 500 $ 375
Government of Philippines,
Series B
6.500%, 12/01/17 6,000 4,320
Government of Philippines
Treasury Bond
8.875%, 04/15/08 5,000 4,239
--------
8,934
--------
POLAND -- 2.6%
Republic of Poland RSTA
3.750%, 10/27/24 6,000 4,155
--------
RUSSIA -- 6.7%
Russian Government
11.750%, 06/10/03 11,150 2,513
8.750%, 07/24/05 5,850 1,032
Russian Government
Principal Loans
6.625%, 12/15/20 44,900 2,654
Russian Government
12.750%, 06/24/28 21,950 4,522
Russian IAN FRN
6.625%, 12/15/15 805 62
Russian IAN FRN PIK*
0.000%, 12/15/15 487 38
--------
10,821
--------
SOUTH KOREA -- 2.8%
Korea Development Bank
7.900%, 02/01/02 1,625 1,324
6.625%, 11/21/03 1,750 1,379
Korea Export-Import Bank
7.250%, 06/25/01 1,750 1,531
6.500%, 02/10/02 385 325
--------
4,559
--------
VENEZUELA -- 13.3%
Government of Venezuela
Par, Series B
6.750%, 03/31/20 2,000 1,310
Government of Venezuela
9.250%, 09/15/27 11,125 6,230
Government of Venezuela
FLIRB, Series A
6.125%, 03/31/07 1,214 656
21
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
EMERGING MARKETS DEBT
FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
Government of Venezuela FRN
6.625%, 12/18/07 13,571 $ 7,668
Government of Venezuela
13.625%, 08/15/18 8,650 5,579
Government of Venezuela
Par Rights*
0.000%, 04/15/20 10 --
--------
21,443
--------
Total Foreign Bonds
(Cost $192,850) 153,453
--------
LOAN PARTICIPATION -- 4.7%
Morocco R&C Loan FRN,
Tranche A
6.656%, 01/01/09 10,400 7,644
--------
Total Loan Participation
(Cost $8,577) 7,644
--------
Total Investments -- 100.0%
(Cost $201,427) $161,097
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITIES SOLD WITHIN 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 TRUSTEES.
ARS -- ARGENTINA PESO
FLIRB -- FRONT LOADED INTEREST REDUCTION BOND
FRN -- FLOATING RATE NOTE
IAB -- INTEREST ACCRUAL BOND
IAN -- INTEREST ARREARS NOTE
IRB -- INTEREST REVENUE BOND
PDI -- PAST DUE INTEREST (SECURITY REPRESENTING INTEREST DUE FROM PRIOR
DEFAULTED LOAN)
PIK -- PAID IN-KIND
RSTA -- REVOLVING SHORT TERM AGREEMENT
(1) IN U.S. DOLLARS UNLESS OTHERWISE NOTED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
<TABLE>
<CAPTION>
------------- --------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
------------- --------
<S> <C> <C>
ASSETS:
Investment securities
(Cost $516,465 and $201,427, respectively) $546,057 $161,097
Foreign currency (Cost $784 and $62, respectively) 774 62
Interest receivable 12,308 6,201
Unrealized gain on forward foreign currency contracts 1,248 --
Receivable for investment securities sold 18,749 33,259
Receivable for shares of beneficial interest sold 1,958 1,089
Other assets 90 45
-------- --------
Total Assets 581,184 201,753
-------- --------
LIABILITIES:
Payable for foreign currency purchased 16,793 --
Payable for investment securities purchased 20,307 25,594
Payable for shares of beneficial interest redeemed 8,829 10,491
Payable to affiliates 535 218
Other liabilities 920 2,512
-------- --------
Total Liabilities 47,384 38,815
-------- --------
Net Assets $533,800 $162,938
======== ========
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 44,897,560 and 23,851,661 outstanding
shares of beneficial interest, respectively 480,860 223,239
Undistributed net investment income 16,224 11,996
Accumulated net realized gain (loss) on
investments 5,396 (31,967)
Net unrealized appreciation (depreciation)
on investments 29,592 (40,330)
Net unrealized appreciation on forward
foreign currency contracts,
foreign currencies and translation of
other assets and liabilities denominated
in foreign currencies 1,728 --
-------- --------
Net Assets $533,800 $162,938
======== ========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $11.89 $6.83
======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST-- FOR THE SEVEN MONTH PERIOD ENDED
SEPTEMBER 30, 1998 AND THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
------------------- ---------------------- -------------------
EMERGING INTERNATIONAL
INTERNATIONAL MARKETS FIXED
EQUITY EQUITY INCOME
------------------- ---------------------- -------------------
3/1/98- 2/28/97- 3/1/98- 2/28/97- 3/1/98- 2/28/97-
9/30/98 2/28/98 9/30/98 2/28/98 9/30/98 2/28/98
------------------- ---------------------- -------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 15,411 $16,018 $ 9,991 $ 5,657 $ -- $ --
Interest 2,841 2,138 1,098 1,253 12,595 14,809
Less: Foreign Taxes Withheld (1,585) (1,474) (362) (610) (16) (84)
---------- ------- ---------- --------- ------- -------
Total Investment Income 16,667 16,682 10,727 6,300 12,579 14,725
---------- ------- ---------- --------- ------- -------
EXPENSES:
Management fees 2,644 2,975 2,016 2,180 1,637 1,795
Less: Management fees waived -- -- -- -- -- (11)
Investment advisory fees 2,968 3,338 3,256 3,522 819 898
Less: Investment advisory fees waived (411) (619) (896) (1,180) (136) (150)
Shareholder servicing fees 1,469 1,652 775 839 682 748
Less: Shareholder servicing fees waived -- -- -- (192) (462) (540)
Custodian/wire agent fees 391 466 743 1,167 109 144
Professional fees 48 13 24 18 24 11
Registration & filing fees 89 113 81 140 36 62
Printing fees 32 7 24 10 8 9
Trustee fees 14 28 9 15 8 12
Pricing fees 6 14 6 13 6 13
Distribution fees 1 1 -- -- -- --
Amortization of deferred organization costs -- -- 1 2 3 6
Miscellaneous expenses 13 12 9 7 5 6
---------- ------- ---------- --------- -------- -------
Total Expenses 7,264 8,000 6,048 6,541 2,739 3,003
---------- ------- ---------- -------- ------- -------
NET INVESTMENT INCOME 9,403 8,682 4,679 (241) 9,840 11,722
---------- ------- ---------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net realized gain (loss) from:
Security transactions 44,323 (4,291) (146,444) (26,146) 5,777 2,697
Futures contracts 12,624 (5,435) -- -- -- --
Net realized gain (loss) on forward foreign
currency contracts and foreign
currency transactions (2,404) 4,310 (1,510) (2,534) 7,250 (8,722)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, futures contracts,
foreign currencies, and translation
of other assets and liabilities
in foreign currency (6,248) 5,259 (302) 9 3,174 (2,725)
Net change in unrealized appreciation
(depreciation) on investments (171,208) 60,622 (127,954) (38,411) 28,366 8,742
---------- ------- ---------- --------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(113,510) $69,147 $(271,531) $(67,323) $54,407 $11,714
========== ======= ========== ========= ======= =======
</TABLE>
--------------------
EMERGING
MARKETS
DEBT
--------------------
3/1/98- 2/28/97-
9/30/98 2/28/98
--------------------
INVESTMENT INCOME:
Dividends $ -- $ --
Interest 11,387 5,433
Less: Foreign Taxes Withheld -- --
--------- ------
Total Investment Income 11,387 5,433
--------- ------
EXPENSES:
Management fees 637 374
Less: Management fees waived (33) (64)
Investment advisory fees 833 489
Less: Investment advisory fees waived (275) (149)
Shareholder servicing fees 245 144
Less: Shareholder servicing fees waived (171) (127)
Custodian/wire agent fees 31 28
Professional fees 6 6
Registration & filing fees 27 48
Printing fees 7 6
Trustee fees 5 2
Pricing fees 6 9
Distribution fees -- --
Amortization of deferred organization costs 2 14
Miscellaneous expenses 2 1
--------- ------
Total Expenses 1,322 781
--------- ------
NET INVESTMENT INCOME 10,065 4,652
---------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net realized gain (loss) from:
Security transactions (29,101) (2,866)
Futures contracts -- --
Net realized gain (loss) on forward foreign
currency contracts and foreign
currency transactions (1) (26)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, futures contracts,
foreign currencies, and translation
of other assets and liabilities
in foreign currency -- --
Net change in unrealized appreciation
(depreciation) on investments (42,403) 2,073
-------- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(61,440) $3,883
======== ======
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED
SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY 28
<TABLE>
<CAPTION>
-------------------------------- -------------------------------
INTERNATIONAL EMERGING MARKETS
EQUITY EQUITY
--------------------------------- -------------------------------
3/1/98- 2/28/97- 2/28/96- 3/1/98- 2/28/97- 2/28/96-
9/30/98 2/28/98 2/28/97 9/30/98 2/28/98 2/28/97
--------------------------------- -------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 9,403 $ 8,682 $ 5,137 $ 4,679 $ (241) $ (55)
Net realized gain (loss) from investment transactions 56,947 (9,726) 47,383 (146,444) (26,146) 331
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions (2,404) 4,310 (531) (1,510) (2,534) (457)
Net change in unrealized appreciation (depreciation)
on forward foreign currency contracts, futures contracts,
foreign currencies, and translation of other assets and
liabilities denominated in foreign currencies (6,248) 5,259 81 (302) 9 14
Net change in unrealized appreciation (depreciation)
on investments (171,208) 60,622 (26,307) (127,954) (38,411) 27,462
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets from operations (113,510) 69,147 25,763 (271,531) (67,323) 27,295
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A -- (13,649) (3,619) -- (1,039) (297)
Class D -- (4) (1) -- -- --
Net realized gains:
Class A -- (19,564) (37,589) -- (284) (121)
Class D -- (6) (14) -- -- --
-------- -------- -------- -------- -------- --------
Total distributions -- (33,223) (41,223) -- (1,323) (418)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Shares issued in merger -- -- 150,364 -- -- --
Proceeds from shares issued 445,665 485,986 333,733 361,528 421,404 163,899
Reinvestment of cash distributions -- 25,961 31,663 -- 1,122 383
Cost of shares redeemed (217,039) (220,367) (277,258) (101,275) (65,606) (36,866)
Cost of shares redeemed in-kind -- -- (46,630) -- -- --
-------- -------- -------- -------- -------- --------
Increase in net assets from
Class A transactions 228,626 291,580 191,872 260,253 356,920 127,416
-------- -------- -------- -------- -------- --------
Class D:
Proceeds from shares issued 128 150 183 -- -- --
Reinvestment of cash distributions -- 10 15 -- -- --
Cost of shares redeemed (50) (59) (216) -- -- --
-------- -------- -------- -------- -------- --------
Increase in net assets from
Class D transactions 78 101 (18) -- -- --
-------- -------- -------- -------- -------- --------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 228,704 291,681 191,854 260,253 356,920 127,416
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets 115,194 327,605 176,394 (11,278) 288,274 154,293
NET ASSETS:
Beginning of period 851,844 524,239 347,845 509,748 221,474 67,181
-------- -------- -------- -------- -------- --------
End of period $967,038 $851,844 $524,239 $498,470 $509,748 $221,474
======== ======== ======== ======== ======== ========
(1) CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued in merger -- -- 14,954 -- -- --
Shares issued 42,475 49,078 32,925 44,898 36,760 14,081
Shares issued in lieu of cash distributions -- 2,802 3,215 -- 112 34
Shares redeemed (20,820) (22,162) (27,199) (12,415) (5,763) (3,052)
Shares redeemed in-kind -- -- (4,462) -- -- --
-------- -------- -------- -------- -------- --------
Total Class A transactions 21,655 29,718 19,433 32,483 31,109 11,063
-------- -------- -------- -------- -------- --------
Class D:
Shares issued 12 16 18 -- -- --
Shares issued in lieu of cash distributions -- 1 1 -- -- --
Shares redeemed (5) (6) (21) -- -- --
-------- -------- -------- -------- -------- --------
Total Class D transactions 7 11 (2) -- -- --
-------- -------- -------- -------- -------- --------
Net increase in capital shares 21,662 29,729 19,431 32,483 31,109 11,063
======== ======== ======== ======== ======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED
SEPTEMBER 30, 1998 AND FOR THE YEARS ENDED FEBRUARY 28
<TABLE>
<CAPTION>
------------------------------- --------------------
INTERNATIONAL EMERGING MARKETS
FIXED INCOME DEBT (2)
------------------------------- --------------------
3/1/98- 2/28/97- 2/28/96- 3/1/98- 6/29/97-
9/30/98 2/28/98 2/28/97 9/30/98 2/28/98
------------------------------- --------------------
OPERATIONS:
<S> <C> <C> <C> <C> <C>
Net investment income $ 9,840 $ 11,722 $ 5,803 $ 10,065 $ 4,652
Net realized gain (loss) from investment transactions 5,777 2,697 2,409 (29,101) (2,866)
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions 7,250 (8,722) (1,329) (1) (26)
Net change in unrealized appreciation (depreciation)
on forward foreign currency contracts, futures contracts,
foreign currencies, and translation of other assets and
liabilities denominated in foreign currencies 3,174 (2,725) 710 -- --
Net change in unrealized appreciation (depreciation)
on investments 28,366 8,742 (6,069) (42,403) 2,073
-------- -------- -------- -------- --------
Net increase (decrease) in net assets from operations 54,407 11,714 1,524 (61,440) 3,833
-------- -------- -------- -------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A -- (2,928) (6,286) -- (2,694)
Class D -- -- -- -- --
Net realized gains:
Class A -- (3,022) (1,238) -- --
Class D -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions -- (5,950) (7,524) -- (2,694)
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Shares issued in merger -- -- -- -- --
Proceeds from shares issued 169,657 271,882 146,550 108,932 160,754
Reinvestment of cash distributions -- 5,305 6,287 -- 2,651
Cost of shares redeemed (99,238) (78,196) (26,936) (38,838) (10,260)
Cost of shares redeemed in-kind -- -- -- -- --
-------- -------- -------- -------- --------
Increase in net assets from
Class A transactions 70,419 198,991 125,901 70,094 153,145
-------- -------- -------- -------- --------
Class D:
Proceeds from shares issued -- -- -- -- --
Reinvestment of cash distributions -- -- -- -- --
Cost of shares redeemed -- -- -- -- --
-------- -------- -------- -------- --------
Increase in net assets from
Class D transactions -- -- -- -- --
-------- -------- -------- -------- --------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 70,419 198,991 125,901 70,094 153,145
-------- -------- -------- -------- --------
Net increase (decrease) in net assets 124,826 204,755 119,901 8,654 154,284
NET ASSETS:
Beginning of period 408,974 204,219 84,318 154,284 --
-------- -------- -------- -------- --------
End of period $533,800 $408,974 $204,219 $162,938 $154,284
======== ======== ======== ======== ========
(1) CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued in merger -- -- -- -- --
Shares issued 15,600 25,735 13,451 13,614 15,725
Shares issued in lieu of cash distributions -- 504 570 -- 263
Shares redeemed (8,988) (7,344) (2,464) (4,725) (1,025)
Shares redeemed in-kind -- -- -- -- --
-------- -------- -------- -------- --------
Total Class A transactions 6,612 18,895 11,557 8,889 14,963
-------- -------- -------- -------- --------
Class D:
Shares issued -- -- -- -- --
Shares issued in lieu of cash distributions -- -- -- -- --
Shares redeemed -- -- -- -- --
-------- -------- -------- -------- --------
Total Class D transactions -- -- -- -- --
-------- -------- -------- -------- --------
Net increase in capital shares 6,612 18,895 11,557 8,889 14,963
======== ======== ======== ======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(2) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE SEVEN MONTH PERIOD ENDED
SEPTEMBER 30, 1998 AND FOR THE YEARS
ENDED FEBRUARY 28 OR 29,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET DISTRIBUTIONS DISTRIBUTIONS
VALUE NET NET REALIZED AND FROM NET FROM NET ASSET
BEGINNING INVESTMENT UNREALIZED INVESTMENT REALIZED CAPITAL RETURN VALUE END TOTAL
OF PERIOD INCOME/(LOSS) GAINS/(LOSSES) INCOME (5) GAINS OF CAPITAL OF PERIOD RETURN
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------
INTERNATIONAL EQUITY
- --------------------
CLASS A
For the seven month period ended September 30:
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998(6) $10.15 $ 0.07 $(1.06) $ -- $ -- $ -- $ 9.16 (9.75)%*
For the years ended February 28:
1998(6) 9.67 0.17 0.77 (0.18) (0.28) -- 10.15 10.21
1997 10.00 0.09 0.47 (0.07) (0.82) -- 9.67 5.70
1996 9.59 0.14 1.45 (0.19) (0.99) -- 10.00 17.30
1995 11.00 0.15 (0.97) -- (0.59) -- 9.59 (7.67)
1994 8.93 0.13 2.05 (0.11) -- -- 11.00 24.44
CLASS D
For the seven month period ended September 30:
1998(6) $10.06 $ 0.06 $(1.05) $ -- $ -- $ -- $ 9.07 (9.84)%*
For the years ended February 28:
1998(6) 9.58 0.15 0.77 (0.16) (0.28) -- 10.06 9.92
1997 9.93 0.05 0.47 (0.05) (0.82) -- 9.58 5.39
1996 9.56 0.04 1.50 (0.18) (0.99) -- 9.93 16.77
1995(1) 10.81 0.01 (0.67) -- (0.59) -- 9.56 (6.33)*
- -----------------------
EMERGING MARKETS EQUITY
- -----------------------
CLASS A
For the seven month period ended September 30:
1998 $10.55 $ 0.07 $(4.45) -- $ -- $ -- $ 6.17 (41.52)%*
For the years ended February 28:
1998 12.87 (0.03) (2.25) (0.03) (0.01) -- 10.55 (17.72)
1997 10.93 0.01 1.96 (0.02) (0.01) -- 12.87 18.02
1996 10.27 (0.02) 0.72 -- (0.04) -- 10.93 6.83
1995(2) 10.00 0.01 0.26 -- -- -- 10.27 2.70*
- --------------------------
INTERNATIONAL FIXED INCOME
- --------------------------
CLASS A
For the seven month period ended September 30:
1998 $10.68 $ 0.40 $ 0.81 $ -- $ -- $ -- $11.89 11.33%*
For the years ended February 28:
1998 10.53 0.23 0.11 (0.10) (0.09) -- 10.68 3.23
1997 10.77 0.71 (0.49) (0.38) (0.08) -- 10.53 1.85
1996 10.42 0.58 0.89 (1.02) (0.10) -- 10.77 13.96
1995 10.23 0.43 0.40 (0.62) (0.02) -- 10.42 8.43
1994(3) 10.00 0.14 0.18 (0.09) -- -- 10.23 6.41*
- ---------------------
EMERGING MARKETS DEBT
- ---------------------
CLASS A
For the seven month period ended September 30:
1998 $10.31 $(0.11) $(3.37) $ -- $ -- $ -- $ 6.83 (33.75)%*
For the year ended February 28:
1998(4) 10.00 0.56 -- (0.25) -- -- 10.31 5.64*
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------------------------------------------
- --------------------
INTERNATIONAL EQUITY
- --------------------
CLASS A
For the seven month period ended September 30:
<S> <C> <C> <C> <C> <C> <C>
1998(6) $966,707 1.24%(DAGGER) 1.60%(DAGGER) 1.31%(DAGGER) 1.53%(DAGGER) 66%
For the years ended February 28:
1998(6) 851,542 1.21 1.31 1.30 1.22 75
1997 524,062 1.28 1.11 1.42 0.97 117
1996 347,646 1.25 1.29 1.29 1.25 102
1995 328,503 1.19 1.30 1.21 1.28 64
1994 503,498 1.10 1.46 1.24 1.32 19
CLASS D
For the seven month period ended September 30:
1998(6) $331 1.39%(DAGGER) 1.36%(DAGGER) 1.46%(DAGGER) 1.29%(DAGGER) 66%
For the years ended February 28:
1998(6) 302 1.36 1.16 1.45 1.07 75
1997 177 1.55 0.71 1.65 0.61 117
1996 199 1.65 0.58 1.90 0.33 102
1995(1) 51 1.47 0.42 1.48 0.41 64
- -----------------------
EMERGING MARKETS EQUITY
- -----------------------
CLASS A
For the seven month period ended September 30:
1998 $498,470 1.95%(DAGGER) 1.51%(DAGGER) 2.24%(DAGGER) 1.22%(DAGGER) 46%
For the years ended February 28:
1998 509,748 1.95 (0.12) 2.36 (0.53) 76
1997 221,474 1.95 (0.04) 2.55 (0.64) 100
1996 67,181 1.95 (0.23) 2.72 (1.00) 104
1995(2) 5,300 1.95 1.79 4.98 (1.24) --
- --------------------------
INTERNATIONAL FIXED INCOME
- --------------------------
CLASS A
For the seven month period ended September 30:
1998 $533,800 1.00%(DAGGER) 3.61%(DAGGER) 1.21%(DAGGER) 3.40%(DAGGER) 112%
For the years ended February 28:
1998 408,974 1.00 3.92 1.24 3.68 280
1997 204,219 1.00 3.99 1.39 3.60 352
1996 84,318 1.00 4.70 1.27 4.43 269
1995 42,580 1.00 4.68 1.30 4.38 303
1994(3) 23,678 1.00 3.81 1.61 3.20 126
- ---------------------
EMERGING MARKETS DEBT
- ---------------------
CLASS A
For the seven month period ended September 30:
1998 $162,938 1.35%(DAGGER) 10.28%(DAGGER) 1.84%(DAGGER) 9.79%(DAGGER) 186%
For the year ended February 28:
1998(4) 154,284 1.35 8.05 1.94 7.46 269
</TABLE>
(DAGGER) ANNUALIZED.
*RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) INTERNATIONAL EQUITY CLASS D SHARES WERE OFFERED BEGINNING MAY 1, 1994. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) EMERGING MARKETS EQUITY CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17,
1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(3) INTERNATIONAL FIXED INCOME CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER
1, 1993. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(4) EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(5) DISTRIBUTIONS FROM NET INVESTMENT INCOME INCLUDE DISTRIBUTIONS OF CERTAIN
FOREIGN CURRENCY GAINS AND LOSSES.
(6) PER SHARE NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAINS/
(LOSSES) CALCULATED USING AVERAGE SHARES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
1. ORGANIZATION
SEI Institutional International Trust, (the "Trust") formerly SEI International
Trust, was organized as a Massachusetts business trust under a Declaration of
Trust dated June 30, 1988. The operations of the Trust commenced on December 20,
1989.
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with four portfolios: the
International Equity Fund, the Emerging Markets Equity Fund, the International
Fixed Income Fund and the Emerging Markets Debt Fund (together the "Funds"). The
Trust's prospectuses provide a description of each Fund's investment objectives,
policies, and strategies. The Trust is registered to offer Class A_shares of
each of the Funds and Class D shares of the International Equity Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
policies are in conformity with generally accepted accounting principles.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities that are listed on a securities
exchange for which market quotations are readily available are valued by an
independent pricing service at the last quoted sales price for such securities,
or if there is no such reported sale on the valuation date, at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recent quoted bid price. Debt obligations with
sixty days or less remaining until maturity may be valued at amortized cost,
which approximates market value. Other securities for which market quotations
are not readily available or securities whose market quotations do not reflect
market value are valued at fair value using good faith pricing procedures
approved by the Board of Trustees.
FEDERAL INCOME TAXES -- It is the intention of each Fund to continue to
qualify as a regulated investment company and to distribute substantially all of
its taxable income. Accordingly, no provision for Federal income taxes has been
made in the financial statements.
The Funds may be subject to taxes imposed by countries in which they invest
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned. The Funds accrue
such taxes when the related income is earned.
NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by the custodian bank until maturity of the repurchase
agreements. Provisions of the repurchase agreements and procedures adopted by
the Trust require that the market value of the collateral to cover principal and
interest, including accrued interest thereon, is sufficient in the event of
default by the counterparty.
The Funds may also invest in tri-party repurchase agreements. Securities
held as collateral for tri-party repurchase agreements are maintained in a
segregated account by the broker's custodian bank until maturity of the
repurchase agreement. Provisions of the agreements require that the market value
of the collateral, including accrued interest thereon, is sufficient to cover
principal and interest in the event of default by the counterparty of the
repurchase agreement.
If the counterparty defaults and the value of the collateral declines or if
the counterparty enters an insolvency proceeding, realization of the collateral
by the Fund may be delayed or limited.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following bases: (I) market value of investment securities, other
assets and liabilities at the current rate of exchange; and (II) purchases and
sales of investment securities, income and expenses at the relevant rates of
exchange prevailing on the respective dates of such transactions.
28
<PAGE>
- --------------------------------------------------------------------------------
For foreign equity securities, the Funds do not isolate that portion of
gains and losses on investment securities that is due to changes in the foreign
exchange rates from that which is due to changes in market prices of such
securities.
The Funds do isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon sale or maturity of foreign currency
denominated debt obligations for Federal income tax purposes.
The Funds report gains and losses on foreign currency-related transactions
as realized and unrealized gains and losses for financial reporting purposes,
whereas such gains and losses are treated as ordinary income or loss for Federal
income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward
foreign currency contracts as hedges against either specific transactions,
portfolio positions or anticipated portfolio positions. The aggregate principal
amounts of the contracts are not recorded as the Funds do not intend to hold the
contracts to maturity. All commitments are "marked-to-market" daily at the
applicable foreign exchange rate, and any resulting unrealized gains or losses
are recorded currently. The Funds realize gains and losses at the time forward
contracts are extinguished. Unrealized gains or losses on outstanding positions
in forward foreign currency contracts held at the close of the year are
recognized as ordinary income or loss for federal income tax purposes.
FUTURES CONTRACTS -- The International Equity Fund utilized futures
contracts during the period ended September 30, 1998. The Fund's investment in
these futures contracts is designed to enable the Fund to more closely
approximate the performance of its benchmark index.
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 the changes in the value of the
contract may not directly correlate with changes in the value of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform.
CLASSES -- Class-specific expenses, such as Shareholder Servicing for Class
A and 12b-1 and Transfer Agent for Class D, are borne by that class. Income,
expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
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.
Accordingly, $69,000 and $402,000 was reclassified from accumulated net
realized gain on investments to undistributed net investment income in the
International Equity and Emerging Markets Equity Funds, respectively. The
Emerging Markets Equity Fund also reclassed $42,000 from undistributed net
investment income to paid in capital relating to current year net operating
loss. The International Equity Fund also utilized earnings and profits
distributed to shareholders on redemption of shares as a part of the dividends
paid deduction for income tax purposes. Accordingly, the International Equity
Fund reclassed $856,000 and $4,245,000 from undistributed net investment income
and accumulated net realized gains on investments respectively, to paid in
capital. In addition, the following permanent differences primarily attributable
to realized foreign exchange gains and losses, have been reclassified from
accumulated net realized gain (loss) on foreign currency transactions to
undistributed net investment income:
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
(000)
----------
International Equity Fund $(2,404)
Emerging Markets Equity Fund (1,510)
International Fixed Income Fund 7,250
Emerging Markets Debt Fund (1)
These reclassifications have no effect on net assets or net asset value per
share.
OTHER -- Security transactions are reported for on the trade date of the
security purchase or sale. Costs used in determining net realized capital gains
and losses on the sale of investment securities are those of the specific
securities sold. Purchase discounts and premiums on securities held by the Funds
are accreted and amortized to maturity using the scientific interest method,
which approximates the effective interest method._Dividend income is recognized
on the ex-dividend date and interest income is recognized using the accrual
method.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
SEI Investments Fund Management (the "Manager") and the Trust are parties to a
management agreement dated September 30, 1988, under which the Manager provides
management, administrative and shareholder services to the Fund for an annual
fee equal to .45% of the average daily net assets of the_International Equity
Fund, .60% of the average daily net assets of the International Fixed Income
Fund, and .65% of the average daily net assets of the Emerging Markets Equity
and Emerging Markets Debt Funds. The Manager has voluntarily agreed to waive all
or a portion of its fees and, if necessary, reimburse other operating expenses
in order to limit the operating expenses of each Fund.
SEI Investments Management Corporation ("SIMC") acts as the investment
adviser for the_International Equity, Emerging Markets Equity and Emerging
Markets Debt Funds. Under the Investment Advisory Agreement, SIMC receives an
annual fee of .505% of the average daily net assets of the_International Equity
Fund, 1.05% of the average daily net assets of the Emerging Markets Equity Fund,
and .85% of the average daily net assets of the Emerging Markets Debt Fund.
As of September 30, 1998, pursuant to Sub-Advisory Agreements with SIMC,
Acadian Asset Management, Inc., Capital Guardian Trust Company, Scottish Widows
Investment Management Ltd., and SG Pacific Asset Management Inc. (formally
Yamaichi Capital Management, Inc.) serve as Sub-Advisers to the International
Equity Fund, and Parametric Fund Associates, SG Pacific Asset Management Inc.
(formally Yamaichi Capital Management. Inc.), Morgan Stanley Asset Management
Inc., Nicholas-Applegate Capital Management Inc., Coronation Asset Management
(Proprietary) Limited, and Credit Suisse Asset Management Limited serve as
Sub-Advisers to the Emerging Markets Equity Fund. Salomon Brothers Asset
Management, Inc. serves as the Sub-Adviser to the Emerging Markets Debt Fund.
Strategic Fixed Income, LLC, the Adviser for the International Fixed Income
Fund, is a party to an investment advisory agreement with the Trust dated June
15, 1993. Under the investment advisory agreement, Strategic Fixed Income, LLC.,
receives an annual fee of up to .30% of the average daily net assets of the
Fund. Strategic Fixed Income, LLC., has voluntarily agreed to waive all or a
portion of its fee, in conjunction with the Manager, in order to limit the total
operating expenses of the Fund.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI Investments and a registered broker-dealer, serves as each
Fund's distributor pursuant to a distribution agreement with the Trust.
Effective April 15, 1996, the Trust adopted a shareholder servicing plan (the
"Class A Plan") pursuant to which a shareholder servicing fee of up to .25% of
the average daily net assets attributable to the Class A shares are paid to the
Distributor. Under the Class A Plan, the Distributor may perform, or may
compensate other service providers for performing certain shareholder and
administrative services.
The International Equity Fund 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 is paid to the
Distributor. As of September 30, 1998, the Distributor was taking a fee under
the Class D Plan of only .25% of the average daily net assets attributable to
Class D shares. 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
30
<PAGE>
- --------------------------------------------------------------------------------
retain as profit any difference between the fee it receives and the amount
it pays to third parties. In addition, Class D shares incur transfer agency fees
of up to .15% of the average daily net assets. Class D is also subject to a 5%
sales load on purchases of shares.
Certain Officers and/or Trustees of the Trust are also Officers and/or
Directors of the Manager. Compensation of Officers and affiliated Trustees is
paid by the Manager.
For the period ended September 30, 1998, the Funds paid commissions of
$383,645 to affiliated broker-dealers.
4. ORGANIZATIONAL COSTS
Organizational costs have been capitalized by the Funds and are being amortized
using the straight line method over sixty months beginning with the commencement
of operations. In the event any of the initial shares of a Fund acquired by the
Manager are redeemed during the period that the Fund is amortizing its
organizational costs, the redemption proceeds payable to the Manager by the Fund
will be reduced by an amount equal to a pro-rata portion of the unamortized
organizational costs.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Funds enter into forward foreign currency exchange contracts as hedges
against portfolio positions and anticipated portfolio positions. Such contracts,
which are designed to protect the value of the Fund's investment securities
against a decline in the value of the hedged currency, do not eliminate
fluctuations in the underlying prices of the securities; they simply establish
an exchange rate at a future date. Also, although such contracts tend to
minimize risk of loss due to a decline in the value of a hedged currency, at the
same time they tend to limit any potential gain that might be realized should
the value of such foreign currency increase.
The following forward foreign currency contracts were outstanding at
September 30, 1998:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
- --------------- ---------------- ------------ --------------
INTERNATIONAL EQUITY FUND
- -------------------------
FOREIGN CURRENCY SALES:
10/2/98 NG 82,800 $ 43,868 $ (103)
--------------- --------
FOREIGN CURRENCY PURCHASES:
10/7/98 HD 3,688,176 476,041 (43)
10/1/98-10/5/98 UK 1,992,810 $ 3,389,833 $ (6,443)
--------------- --------
$ 3,865,874 $ (6,486)
--------------- --------
$ (6,589)
=========
INTERNATIONAL FIXED INCOME FUND
- -------------------------------
FOREIGN CURRENCY SALES:
12/29/98 AD 31,459,787 $ 18,881,116 $ 238,720
12/8/98-12/29/98 CD 11,446,122 7,523,327 18,165
10/9/98-12/29/98 CH 77,766,482 56,645,654 (130,924)
12/29/98 DK 34,676,421 5,270,714 (200,894)
10/9/98-12/29/98 DM 227,138,345 135,153,278 (1,273,980)
12/29/98 FF 271,911,863 48,482,477 (283,378)
12/29/98 IT 67,932,703,958 40,921,266 (308,315)
10/9/98-12/29/98 JY 18,198,283,980 136,579,788 2,289,356
12/29/98 ND 36,010,555 18,583,223 571,642
12/29/98 NK 14,799,657 1,945,148 (44,170)
12/8/98-12/29/98 SK 152,709,256 19,342,827 (183,559)
2/29/98 SP 1,343,070,277 9,392,100 (98,826)
10/9/98-12/29/98 UK 99,864,828 167,272,285 1,749,449
------------ -----------
$665,993,203 $ 2,343,286
------------ -----------
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
- --------------------- -------------- ------------ ------------
FOREIGN CURRENCY PURCHASES:
12/29/98 AD 9,307,907 $ 5,578,459 $ (62,793)
12/29/98 BF 516,425,547 15,049,338 (47,378)
10/9/98-12/29/98 CD 15,711,858 10,448,879 (146,282)
10/9/98/12/29/98 CH 91,766,939 66,917,311 (12,037)
12/29/98 DK 34,048,050 5,324,167 48,289
10/9/98-12/29/98 DM 390,748,443 232,464,774 2,433,929
12/29/98 FF 120,639,986 21,443,296 192,803
10/9/98-12/29/98 IT 86,775,281,046 52,063,314 558,646
10/9/98-12/29/98 JY 20,419,543,967 154,818,837 (3,851,866)
12/29/98 NG 14,129,980 7,475,587 66,733
12/29/98 NK 14,799,657 1,956,591 32,726
12/29/98 SK 24,288,235 3,074,071 31,789
12/29/98 SP 1,155,876,750 8,117,112 50,994
10/9/98-12/29/98 UK 71,432,786 119,946,097 (390,609)
------------ -----------
$704,677,833 $(1,095,056)
============ -----------
$ 1,248,230
===========
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 1998
CURRENCY LEGEND
AD Australian Dollar HD Hong Kong Dollar
BF Belgian Franc JY Japanese Yen
CD Canadian Dollar ND New Zealand Dollar
CH Swiss Franc NG Netherlands Guilder
DK Danish Kroner NK Norwegian Kroner
DM German Mark SK Swedish Krona
FF French Franc SP Spanish Peseta
IT Italian Lira UK British Pounds Sterling
6. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than short-term investments and U.S. government securities, during the
period ended September 30, 1998, were as follows:
PURCHASES SALES
(000) (000)
---------- ----------
International Equity Fund $890,620 $590,171
Emerging Markets Equity Fund 487,834 231,193
International Fixed Income Fund 565,767 478,333
Emerging Markets Debt Fund 365,878 284,055
The International Fixed Income Fund purchased $258,009,305 and sold
$176,779,982 in U.S. government securities, during the period ended September
30, 1998.
For Federal income tax purposes, the cost of securities owned at September
30, 1998 and the net realized gains or losses on securities sold for the period
then ended was different from the amounts reported for financial reporting
purposes as shown below. The aggregate gross unrealized appreciation and
depreciation at September 30, 1998 for the Funds is as follows:
<TABLE>
<CAPTION>
BOOK LESS: TAX
NET UNREALIZED TAX NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/ BASIS APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION) ADJUSTMENTS (DEPRECIATION)
(000) (000) (000) (000) (000)
------------ ------------ -------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
International Equity
Fund $39,773 $(138,031) $(98,258) $-- $(98,258)
Emerging Markets
Equity Fund 15,673 (153,472) (137,999) -- (137,999)
International Fixed
Income Fund 31,335 (1,743) 29,592 -- 29,592
Emerging Markets Debt
Fund 4,350 (44,710) (40,330) -- (40,330)
</TABLE>
The Funds also had capital loss carry-forwards at September 30, 1998, that
can be used to offset future capital gains.
EXPIRATION
(000) DATE
--------- ------------------
Emerging Markets
Equity $164,403 09/30/05-09/30/06
Emerging Markets
Debt $25,723 09/30/05-09/30/06
7. FUTURES CONTRACTS
The International Equity Fund had futures contracts open as of September 30,
1998:
<TABLE>
<CAPTION>
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS)
- ------------------ ------------ ------------- -------------- -------------
<S> <C> <C> <C> <C>
Australia Ords Index 2 2,514 December 1998 1,197
Australia Ords Index 1 2,512 December 1998 1,062
Australia Ords Index 2 2,555 December 1998 781
Australia Ords Index 2 2,554 December 1998 811
Australia Ords Index 1 2,637 December 1998 0
Australia Ords Index 2 2,619 December 1998 (235)
Australia Ords Index 1 2,625 December 1998 (777)
CAC 40 Index 19 3,609 December 1998 (58,328)
CAC 40 Index 11 3,706 December 1998 (40,301)
CAC 40 Index 19 3,735 December 1998 (80,313)
CAC 40 Index 16 3,714 December 1998 (64,662)
CAC 40 Index 2 3,529 December 1998 (4,644)
CAC 40 Index 4 3,425 December 1998 (6,261)
CAC 40 Index 7 3,550 December 1998 (19,168)
CAC 40 Index 24 3,333 December 1998 (22,816)
CAC 40 Index 5 3,316 December 1998 (3,395)
CAC 40 Index 2 3,319 December 1998 (1,641)
DAX Index 3 4,670 December 1998 (32,445)
DAX Index 2 4,945 December 1998 (48,952)
DAX Index 2 4,945 December 1998 (48,952)
DAX Index 3 4,953 December 1998 (83,165)
DAX Index 1 4,780 December 1998 (16,713)
DAX Index 1 4,840 December 1998 (22,425)
DAX Index 4 4,555 December 1998 (26,794)
DAX Index 1 4,530 December 1998 (5,154)
32
<PAGE>
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS)
- ------------------ ------------ ------------- -------------- -------------
FT-SE 100 Index 15 5,105 December 1998 21,914
FT-SE 100 Index 9 5,270 December 1998 (8,490)
FT-SE 100 Index 14 5,274 December 1998 (14,145)
FT-SE 100 Index 11 5,324 December 1998 (18,579)
FT-SE 100 Index 3 5,180 December 1998 594
FT-SE 100 Index 3 5,080 December 1998 5,676
FT-SE 100 Index 5 5,365 December 1998 (16,759)
FT-SE 100 Index 19 5,180 December 1998 (14,546)
FT-SE 100 Index 3 5,135 December 1998 (615)
FT-SE 100 Index 1 5,140 December 1998 75
Hang Seng Index 2 7,245 October 1998 6,209
Hang Seng Index 1 7,350 October 1998 2,401
Hang Seng Index 2 7,475 October 1998 3,211
Hang Seng Index 1 7,400 October 1998 2,090
Hang Seng Index 1 6,980 October 1998 4,804
Hang Seng Index 1 7,490 October 1998 1,513
Hang Seng Index 2 7,400 October 1998 4,183
IBEX 35 Index 7 7,800 October 1998 $(5,837)
IBEX 35 Index 5 7,736 October 1998 (1,940)
IBEX 35 Index 2 7,955 October 1998 (2,954)
IBEX 35 Index 9 7,855 October 1998 (11,729)
IBEX 35 Index 1 7,555 October 1998 961
IBEX 35 Index 1 8,202 October 1998 (3,978)
IBEX 35 Index 9 7,585 October 1998 545
IBEX 35 Index 1 7,950 October 1998 (2,439)
NIKKEI 225 Index 16 14,025 December 1998 (49,452)
NIKKEI 225 Index 18 14,370 December 1998 (102,926)
NIKKEI 225 Index 11 13,960 December 1998 (36,837)
NIKKEI 225 Index 24 14,300 December 1998 (93,391)
NIKKEI 225 Index 1 13,600 December 1998 (2,085)
NIKKEI 225 Index 2 13,700 December 1998 (4,454)
NIKKEI 225 Index 4 14,090 December 1998 (11,120)
NIKKEI 225 Index 19 14,050 December 1998 (52,929)
NIKKEI 225 Index 6 13,950 December 1998 (17,625)
NIKKEI 225 Index 2 13,770 December 1998 (2,939)
-----------
$(1,004,883)
===========
</TABLE>
8. CONCENTRATION OF RISKS
Each Fund invests in securities of foreign issuers in various countries. These
investments may involve certain considerations and risks not typically
associated with investments in the United States, as a result of, among other
factors, the possibility of future political and economic developments and the
level of governmental supervision and regulation of securities markets in the
respective countries. The International Fixed Income Fund invests in debt
securities, the market value of which may change in response to interest rate
changes. Also, the ability of the issuers of debt securities held by the
International Fixed Income Fund to meet its obligations may be affected by
economic and political developments in a specific country, industry or region.
9. LOAN PARTICIPATIONS AND BRADY BONDS
The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated
fixed and floating rate loans ("Loans") arranged through private negotiations
between a foreign sovereign entity and one or more financial institutions
("Lenders"). The Fund invests in such Loans in the form of participations in
Loans ("Participations") or assignments of all or a portion of loans from third
parties ("Assignments"). Participations typically result in the Fund having a
contractual relationship only with the Lender, not with the sovereign borrower.
The Fund has the right to receive payments of principal, interest and any fees
to which it is entitled from the Lender selling the Participation and only upon
receipt by the Lender of the payments from the borrower. In connection with
purchasing Participations, the Fund generally has no right to enforce compliance
by the borrower with the terms of the loan agreement relating to the Loan, nor
any rights of set-off against the borrower, and the Fund will not benefit
directly from any collateral supporting the Loan in which it has purchased the
Participation. As a result, the Fund assumes the credit risk of both the
borrower and the Lender that is selling the Participation. The Fund may have
difficulty disposing of Participations and Assignments because the market for
such instruments is not highly liquid.
Certain debt obligations, customarily referred to as "Brady Bonds," are
created through the exchange of existing commercial bank loans to foreign
entities for new obligations in connection with debt restructuring under a plan
introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady
Bonds have only been issued since 1989, and, accordingly, do not have a long
payment history. They are issued by governments that may have previously
defaulted on the loans being restructured by the Brady Bonds, so are subject to
the risk of default by the issuer. They may be fully or partially collateralized
or uncollateralized and issued in various currencies.
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
SEI Institutional International Trust
In our opinion, the accompanying statements of net assets of the International
Equity Fund and Emerging Markets Equity Fund and the statements of assets and
liabilities, including the schedules of investments, of the International Fixed
Income Fund and Emerging Markets Debt Fund, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the International
Equity, Emerging Markets Equity, International Fixed Income, and Emerging
Markets Debt Funds (constituting SEI Institutional International Trust,
hereafter referred to as the "Trust") at September 30, 1998 and the results of
each of their operations, the changes in their net assets, and the financial
highlights for the periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Trust's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 30, 1998
34
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONA TRUST--SEPTEMBER 30, 1998
For shareholders that do not have a September 30, 1998 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1998 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1998 the Portfolios of the SEI
Institutional Trust are designating the following items with regard to
distributions paid during the year.
<TABLE>
<CAPTION>
LONG TERM ORDINARY
CAPITAL GAINS INCOME (A)
DISTRIBUTIONS DISTRIBUTIONS FOREIGN
PORTFOLIO (TAX BASIS) (TAX BASIS) TOTAL TAX CREDIT
- ---------- ------------- ------------- ----- ----------
<S> <C> <C> <C> <C>
International Equity 45% 55% 100% 30%
Emerging Markets Equity 0% 0% 0% 0%
International Fixed Income 0% 0% 0% 0%
Emerging Markets Debt 0% 0% 0% 0%
</TABLE>
*ITEMS (A) IS BASED ON A PERCENTAGE OF ORDINARY INCOME OF EACH FUND.
35
<PAGE>
NOTES
<PAGE>
- --------------------
SEI INSTITUTIONAL
INTERNATIONAL TRUST
- --------------------
ANNUAL REPORT
- --------------------
SEPTEMBER 30, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark E. Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISORS
INTERNATIONAL EQUITY PORTFOLIO
SEI Investments Management Corporation
EMERGING MARKETS EQUITY PORTFOLIO
SEI Investments Management Corporation
INTERNATIONAL FIXED INCOME PORTFOLIO
Strategic Fixed Income LLC
EMERGING MARKETS DEBT PORTFOLIO
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI INVESTMENTS
DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL
1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
(LOGO)
[GRAPHICOMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-018-08
