ANNUAL REPORT AS OF
FEBRUARY 28, 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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[SEI LOGO OMITTED]
SEI
INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
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TABLE OF CONTENTS
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REVIEW OF NON-U.S. EQUITY MARKETS.................................... 1
REVIEW OF NON-U.S. BOND MARKETS ..................................... 2
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
INTERNATIONAL EQUITY PORTFOLIO................................. 4
EMERGING MARKETS EQUITY PORTFOLIO ............................. 5
INTERNATIONAL FIXED INCOME PORTFOLIO........................... 7
EMERGING MARKETS DEBT PORTFOLIO................................ 8
STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS..................... 10
STATEMENTS OF ASSETS AND LIABILITIES................................. 26
STATEMENTS OF OPERATIONS ............................................ 27
STATEMENTS OF CHANGES IN NET ASSETS ................................. 28
FINANCIAL HIGHLIGHTS ................................................ 29
NOTES TO FINANCIAL STATEMENTS........................................ 30
REPORT OF INDEPENDENT ACCOUNTANTS ................................... 36
NOTICE TO SHAREHOLDERS............................................... 37
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REVIEW OF NON-U.S. EQUITY MARKETS
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL EQUITY MARKET OVERVIEW
Last year's equity markets returned to significant volatility as new highs
in the U.S. and Europe offset a weaker Asia. Strong economic fundamentals like
low inflation, low interest rates and strong corporate profits helped to spur
the European markets higher. However, Japan's domestic sensitive shares suffered
again as government reforms continue to disappoint investors. Finally,
Thailand's currency was unpegged from the U.S. dollar in July and proceeded to
drop in value. The currency devaluation that occurred in Thailand quickly spread
throughout the Asian region, affecting all other markets. As 1997 came to a
close, investors were fleeing from the region with shaken confidence. The first
two months of 1998, however, saw a surprising rebound in both currencies
relative to the dollar and the local markets. The International Monetary Fund
("IMF") stepped into many of these economies and established strict guidelines
designed to stabilize the currencies and markets. Those countries who followed
the guidelines were rewarded with renewed investor confidence in early 1998,
while those who did not follow the IMF experienced further declines.
Within Europe, the MSCI Europe Index gained approximately 34% for the year
ended February 1998, with value stocks outperforming their growth counterparts
by over 3%. The convergence within Europe to one currency drove much of the
performance as interest rates fell in line with Germany's low rate. Inflation
remains in check across Europe, with companies continuing to surprise on the
upside in terms of earnings. Cost cutting, merger and acquisition activity and a
focus on shareholder value by many leading European companies has driven the
market to record highs as of February 28, 1998. Spain, Switzerland and Italy
were among the strongest performers for the year, driven primarily from merger
and acquisition activity within the financial services industry. As Europe moves
to one market, banks will be able to compete regionally and are combining in
anticipation. Within the U.K., a 21% position within the MSCI EAFE Index, strong
earnings, low inflation and combinations among the largest firms in the market
helped to drive the index up over 37% in U.S. dollar terms.
In Asia, all market's were down after Thailand let the currency peg fall
in July 1997. Malaysia, Singapore and Hong Kong were hardest hit within the
developed markets, while Japan (25% of the MSCI EAFE Index) was off 8.1% in U.S.
dollar terms. Significant capital flight from Asia exacerbated the problem as
liquidity in the system dried up. With rising interest rates and mountains of
bad debt on the corporate balance sheet, growth slowed significantly in the
region. The IMF intervention in late December 1997 and early 1998 helped to
quell investors' fears and brought back some confidence in the region. For the
first two months of 1998, the markets in the Pacific Rim were among the
strongest.
Our International Equity Portfolio weathered the storm well last year, but
underperformed relative to the MSCI EAFE Index. We were underweight to Japan and
overweight to Europe. This positioning helped our returns for the year as
Europe's strong return helped to offset weakness in Japan. However, stock
selection within Japan was the primary reason for our shortfall. Our well
diversified approach within each region exposed us to the domestically sensitive
shares in Japan, whose returns fell short of the export oriented shares. In
fact, Japan on the whole had a negative return, but there were a few, globally
competitive companies whose share prices benefited from the technology
industry's return.
1
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REVIEW OF NON-U.S. BOND MARKETS
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL FIXED INCOME MARKET REVIEW
Developed market international bonds, as measured by the Salomon Brothers
Non-U.S. World Government Bond Index, gained only 2.9% for the twelve-month
period ended February 28, 1998, considerably less than the double-digit gains of
domestic bonds. Despite largely keeping pace with U.S. bond gains when measured
in local currency terms, a U.S. dollar strengthening versus nearly every
developed currency significantly reduced international bond returns during the
fiscal year. Strong investor demand for U.S. assets lifted the greenback.
Emerging markets debt modestly outperformed U.S. bonds for the twelve-month
period, gaining 11.0% as measured by the JP Morgan Emerging Markets Bond Index
Plus ("EMBI+"). After narrowing to an all-time low of 330 basis points, the
yield premium for emerging markets debt widened to over 600 basis points during
the Asian currency crisis in October, as panicky investors sold all types of
emerging markets securities. By the end of the fiscal year, emerging debt
securities yielded 495 basis points more than U.S. Treasuries, approximately 100
basis points wider than at the start of the fiscal year. For the eight-month
period ended February 28, 1998, corresponding to the life of the SEI Emerging
Markets Debt Portfolio, emerging markets gained 5.2% as measured by the EMBI+.
Italian and Spanish bond markets outpaced their German counterparts as
those governments reduced inflation and slashed their fiscal deficits in order
to qualify for the European Monetary Union ("EMU"). The long-term yield
differentials between these countries dramatically narrowed throughout the
period. At the fiscal year-end, it appeared that EMU would commence as scheduled
on January 1, 1999 with eleven member nations: Austria, Belgium, Finland,
France, Germany, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain.
In France and Germany, sluggish growth and mild inflation nudged long-term
yields lower, but the continental European currencies declined relative to the
U.S. dollar for the period. The United States' surging equity market, strong
economic growth with little inflation, and attractive Treasury yield levels
enticed investors and buoyed the dollar. The only modest supports for
continental European currencies were the Bundesbank's 30 basis point hike in the
overnight lending rates in early October and safe-haven inflows during the Asian
crisis.
The British economy, in contrast to continental Europe, registered strong
growth. During the period, the Bank of England hiked short-term interest rates
1.25%, but long-term rates fell by nearly the same amount as the relatively high
yield levels attracted investment. As a result, the yield curve ended the fiscal
year inverted. The pound gained from the rate hikes, healthy economic growth,
and strong investor demand for British bonds.
Japanese yield levels continued to decline throughout the fiscal year as
the economy grew an anemic 0.9% in 1997. Early in the period, bonds suffered and
the yen rose amidst optimism amongst manufacturers and a ballooning current
account surplus. However, the economy later slowed, and the regional crisis
dimmed the exporting sector, the lone bright spot of the Japanese economy.
Bankruptcies of regional banks and of the fourth largest securities firm also
weakened the yen versus the dollar.
2
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REVIEW OF NON-U.S. BOND MARKETS (Continued)
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In Eastern Europe, Bulgaria was a top performer, advancing more than 40%
for the fiscal year, as the country made significant progress on structural
reforms and privatization programs. Russia gained on the anticipated
rescheduling of its Soviet-era debt during the summer, but was hit particularly
hard during the Asian crisis as many leveraged investors became forced sellers.
Also, speculation of a possible Russian ruble devaluation and the health
problems of President Boris Yeltsin further reduced returns. Russia recouped
some of its losses after the Asian crisis subsided, Yeltsin's health improved,
and the government made progress on the budget.
In Latin America, Mexico made strong advances and fared better than most
countries during the Asian crisis. The 1994 Mexican peso crisis wrung most of
the leverage out of the Mexican banking system, resulting in fewer forced
liquidations when the Asia crisis hit. Brazil lagged other nations as investors
feared the country's currency would devalue. However, Brazil rebounded after
quick and decisive fiscal austerity measures enacted late in 1997 restored
investor confidence. Peru and Ecuador also performed well as positive economic
developments led to favorable initial credit ratings.
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL EQUITY PORTFOLIO
OBJECTIVE. The International Equity Portfolio seeks to provide long-term
capital appreciation by investing primarily in a diversified portfolio of
non-U.S. issuers. The Portfolio also seeks to provide U.S. investors with a
vehicle for international diversification, which can reduce variability of
Portfolio returns to the extent that foreign markets have a relatively low
correlation with the U.S. market.
STRATEGY. The International Equity Portfolio 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 Portfolio does not
hedge foreign currency exposure.
ANALYSIS. For the fiscal year ended February 28, 1998, the International
Equity Portfolio returned 10.2% versus a return of 15.5% for its benchmark the
MSCI EAFE Index.
Strong returns in Europe helped to offset the weakness that developed in
Asia in late 1997. Stock selection across the Portfolio was negatively affected
by Japan, but offset slightly within Europe and Asia Ex-Japan. The Portfolio's
regional weights were roughly in line with the benchmark's weights, with a
slight overweight to Europe and underweight in Asia. The regional weights
remained consistent throughout the year.
The Portfolio's underperformance was primarily due to stock selection
within Japan. Despite an underweighted position in Japan relative to the
benchmark, economically sensitive issues in our Portfolio underperformed their
large cap, export oriented counterparts. Efforts by the government to revitalize
the economy have been lackluster, and as a result have convinced investors that
domestic demand will remain weak and net exporters will benefit.
In addition, near the end of the calendar year 1997, weakness across the
entire Asian region caused dramatic capital flight out of Singapore, Malaysia
and Hong Kong and, at the same time, brought into question the turn-around
potential for Japan. Currency
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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 10.21% 10.96% 9.44% 5.28%
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Class D, Synthetic 9.92% 10.59% 9.15% 6.43%*
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Class D, Synthetic,
w/load 4.47% 8.73% 8.04% 5.01%*
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*ACTUAL, NOT SYNTHETIC
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INTERNATIONAL EQUITY PORTFOLIO, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE
MORGAN STANLEY MSCI EAFE INDEX
[LINE GRAPH OMITTED]
MORGAN STANLEY SEI INTERNATIONAL SEI INTERNATIONAL
MSCI EAFE EQUITY PORTFOLIO, CLASS D EQUITY PORTFOLIO,
INDEX SYNTHETIC, W/LOAD CLASS A
12/31/89 $10,000 $9,500 $10,000
2/28/90 8,957 9,094 9,573
2/28/91 8,751 9,127 9,607
2/29/92 8,101 8,978 9,451
2/28/93 7,766 9,173 9,656
2/28/94 10,809 11,414 12,016
2/28/95 10,329 10,507 11,094
2/29/96 12,069 12,269 13,013
2/28/97 12,461 12,930 13,755
2/28/98 14,389 14,213 15,160
1 FOR THE PERIOD ENDED FEBRUARY 28, 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.
4
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devaluations in Thailand and Indonesia along with the trading interdependence of
the Asian countries caused the region to come to a dramatic standstill by the
end of 1997. Japan depends on the region for its own growth prospects and as
this region slowed, it added to an already weak market.
Our well diversified, risk controlled approach led to our exposure to both
domestic oriented and export oriented companies within Japan. In particular, the
construction and finance sectors that depend on a strong economy were the worst
performing groups in the Portfolio. Our strategy also had some exposure to
smaller cap issues whose returns lagged significantly behind the large cap
benchmark. The return differential between large cap growth and small cap value
was 45%, as measured by the NRI/Russell Indices. With this type of dispersion,
any exposure to small cap stocks resulted in relative underperformance.
The Portfolio's exposure to smaller cap stocks was reduced over the year
in an effort to control uncompensated risk against the benchmark. In addition,
we continue to concentrate the Portfolio into the most attractive names in order
to increase the return potential of the Portfolio without significantly
affecting total risk.
EMERGING MARKETS
EQUITY PORTFOLIO
OBJECTIVE. The Emerging Markets Equity Portfolio seeks to provide capital
appreciation by investing primarily in a diversified portfolio of equity
securities of emerging market issuers.
STRATEGY. The Portfolio 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 fiscal year ended February 28, 1998, the Emerging
Markets Equity Portfolio returned -17.7%, outperforming its benchmark, the IFC
Investable Composite, which returned -21.9%.
The Portfolio's results were largely due to the Asian currency crisis
which took place in the second half of 1997. The crisis was sparked by
Thailand's devaluation of the baht, which subsequently led to all Southeast
Asian markets devaluing their currencies, as well as several North Asian
markets. The IFC Investable Asia index lost slightly more than 50% over the past
twelve months. The Indonesian market lost 80% in U.S. dollar terms, mainly due
to a lack of confidence in the local currency and uncertainty surrounding the
political will to follow subscribed International Monetary Fund policies.
Malaysia, Thailand, the Philippines and Korea all fell more than 50% over the
past twelve months, again due to severe devalua-
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
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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 -17.72% 1.23% 2.06%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING
MARKETS EQUITY PORTFOLIO, VERSUS THE IFC INVESTABLE COMPOSITE INDEX
[LINE GRAPH OMITTED]
EMERGING MARKETS EQUITY IFC INVESTABLE
PORTFOLIO, CLASS A COMPOSITE INDEX
1/31/95 $10,000 $10,000
2/28/95 10,138 9,871
2/29/96 10,830 11,203
2/28/97 12,782 12,985
2/28/98 10,517 10,136
1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995.
tions and poor sentiment concerning the future outlook of the banking sector.
The Latin American markets fared much better, ending the year up 3%. Mexico led
the region higher, rising 17%, due to continued optimism on strong domestic
growth and low interest rates. The Brazilian market was negatively impacted by
the Asian currency crisis, however the market rebounded sharply to end the
twelve months up 2%.
The Portfolio's outperformance was mainly due to positive manager
performance. Our best relative performing manager was Coronation Asset
Management in South Africa, where our Portfolio outperformed by approximately
9.5% for the year. The performance was driven by positive stock selection within
the banking and finance sector, and our underweight to gold and mining shares.
We witnessed an extreme divergence in the market, where merger activity in the
banking sector fueled a rally, and low inflation combined with central bank
activity selling gold reserves pushed gold prices to very low levels. The Asia
portfolio also provided investors with strong relative returns, outperforming by
8%. Within Asia, our overweight to defensive sectors, mainly tobacco and
utilities, and an underweight to the banking and finance sector contributed
significantly to performance. The Portfolio's exposure to smaller markets was
also positive for the year. Parametric Portfolio Associates had the best
absolute performance of all the regions for the past twelve months, rising 3%.
The smaller markets, which are characteristically less liquid and maintain the
lowest correlation to other emerging markets, finished the year unscathed by the
Asian currency crisis. Latin America was the only disappointment, where our
portfolio returned 2%, 1% under its benchmark. The portfolio's underweight to
Mexico, the best performing market in the region accounted for most of the
underperformance. We have been concerned about social stability within Mexico,
and have maintained a small underweight to the market. Offsetting most of those
losses, was our decision to overweight Brazil and the telecommunications sector
within Brazil, which added significantly to relative performance.
In December, 1997, SEI added Credit Suisse Asset Management as sub-advisor
covering the emerging European markets. The mandate includes Greece, Portugal,
Turkey, Russia, the Czech Republic, Hungary and Poland. The mandate will also
cover newly emerged Central
6
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and Eastern European markets, as these markets mature and develop a stable
investment environment. For the first two months of 1998, Credit Suisse has
outperformed their stated benchmark, contributing positively to performance.
INTERNATIONAL FIXED
INCOME PORTFOLIO
OBJECTIVES. The International Fixed Income Portfolio seeks to provide
capital appreciation and current income through investments primarily in
investment grade, non-U.S. dollar denominated government and corporate fixed
income securities. The Portfolio 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. The Portfolio invests primarily in high-quality,
foreign currency government obligations. Although there are no restrictions on
the Portfolio's overall duration, under normal conditions it is expected to
range between four and six years.
STRATEGY. Portfolio 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 Portfolio 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
Portfolio's currency exposure may differ from its underlying bond holdings.
Under normal circumstances, the Portfolio 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
Portfolio'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.
ANALYSIS. The International Fixed Income Portfolio advanced 3.2% for the
year ended February 28, 1998, outperforming the Salomon Brothers Non-U.S. World
Government Bond Index return of 2.9%. Well-timed currency movements between
Japan and Europe, an overweight to British bonds, and an underweight to Japanese
bonds generated the outperformance.
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INTERNATIONAL FIXED INCOME
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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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International Fixed Income, Class A 3.23% 6.21% 6.74%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INTERNATIONAL FIXED INCOME PORTFOLIO, VERSUS THE SALOMON WGBI, NON-U.S.,
UNHEDGED
[LINE GRAPH OMITTED]
SALOMON WGBI, NON-U.S., SEI INTERNATIONAL
UNHEDGED FIXED PORTFOLIO, CLASS A
9/30/93 $10,000 $10,000
2/28/94 10,089 10,087
2/28/95 11,156 10,937
2/29/96 12,448 12,464
2/28/97 12,530 12,694
2/28/98 12,916 13,104
1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993.
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
Early in the period, Japanese bonds suffered and the yen rose following
optimistic economic forecasts. However, economic activity slowed and the decline
was exacerbated by the Southeast Asian crisis. Bankruptcies of regional banks
and of the fourth largest securities firm also weakened the yen towards the end
of 1997. The Portfolio emphasized the yen early in the period and later
underweighted the currency towards the end of the fiscal year, thus adding to
relative returns.
Italian and Spanish bond markets outperformed as those governments made
significant progress to meet the fiscal requirements for the European Monetary
Union. Modest underweights to these bond and currency markets hurt relative
performance.
British bonds and the pound both were top performers for the fiscal year,
driven by a strong British economy, attractive yield levels, and a vigilant
central bank. In the spring of 1997, the newly-elected Labour government
de-politicized the central bank and gave it full authority to set interest rate
policy. By the end of the fiscal year, the Bank of England hiked short-term
interest rates 1.25% to cool the hot economy, but long-term rates fell as
relatively high yield levels attracted investors. The pound gained from the rate
hikes and strong foreign demand for British bonds. The Portfolio's fairly
consistent overweight to British bonds and tactical overweights to the pound
contributed to performance.
EMERGING MARKETS
DEBT PORTFOLIO
OBJECTIVES. The Emerging Markets Debt Portfolio seeks to maximize total
return. The portfolio seeks to achieve the objective by investing in primarily
high yield, below-investment grade fixed income securities from emerging markets
of foreign countries. The Portfolio 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 Portfolio is
anticipated to be invested primarily in U.S. dollar-denominated emerging debt.
STRATEGY. Structuring and managing the Portfolio 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 Portfolio 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.
8
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EMERGING MARKETS DEBT
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Cumulative Inception
to Date
- --------------------------------------------------------------------------------
Emerging Markets Debt, Class A 5.64%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI EMERGING
MARKETS DEBT PORTFOLIO, VERSUS THE J.P. MORGAN EMBI PLUS
[LINE GRAPH OMITTED]
EMERGING MARKETS DEBT PORTFOLIO, CLASS A J.P. MORGAN EMBI PLUS
6/29/97 $10,000 $10,000
2/28/98 10,563 10,522
1 FOR THE PERIOD ENDED FEBRUARY 28, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997.
ANALYSIS. The Emerging Markets Debt Portfolio posted a since inception
return of 5.6% for the period June 30, 1997 to February 28, 1998 to outperform
the J.P. Morgan Emerging Markets Debt Index Plus return of 5.2% over the same
eight-month period. A defensive posturing throughout the Asian crisis and
propitious country weightings drove the outperformance.
In Latin America, Brazil lagged other emerging debt countries for the
eight-month period ended February 28, 1998, as investors fretted that the Asian
currency crisis would spread and trigger a devaluation of Brazil's currency, the
REAL. A consistent underweight to the country added to relative performance.
Mexico weathered the Asian crisis better than most because the 1994 peso crisis
eliminated much of the leverage in the Mexican banking system. Also, the nation
is viewed as a "safe-haven" emerging debt country. The Portfolio's overweight to
the country added to performance.
Peru and Ecuador outperformed as both received favorable initial credit
ratings. Moody's rated Ecuador's long term debt B1, while Standard & Poor's
rated Peru BB. The Portfolio's concentrations in these countries added to
returns.
Russia underperformed over the entire eight-month period, but was up
strongly before and after the Asian crisis occurred in the fall. The country
initially rallied on the anticipation that over $35 billion in Soviet-era loans
would be restructured into bonds. During the Asian crisis, the combination of
forced leveraged sellers and fears of a ruble devaluation pummeled the country's
debt. However, after the Asian crisis subsided, the completion of the loan
restructuring and progress passing a fiscally conservative budget sparked a
rally. The Portfolio's increased overweights during periods of sharp
appreciation boosted performance.
9
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STATEMENT OF NET ASSETS
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL
EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 88.5%
AUSTRALIA -- 3.8%
Amalgamated Holdings 36,000 $ 150
Australia & New Zealand Bank 226,050 1,549
Australian Gas Light 113,364 900
Australian Resources* 292,600 36
Brambles Industries 41,205 861
Broken Hill Proprietary 122,670 1,207
Capral Aluminum 204,600 430
Coles Myer 89,000 460
Commonwealth Bank of Australia 187,200 2,318
Consolidated Rutile* 412,200 162
Foodland 100,100 750
Futuris 64,890 77
General Property Trust 192,000 375
Goodman Fielder 437,850 755
Great Central Mine 129,000 171
Hardie (James) Industries 125,000 387
Lend Lease 70,000 1,755
MacMahon Holdings 145,500 59
National Australia Bank 511,402 7,044
Newscorp 173,100 1,098
Pacific Magazines & Print 100,300 209
Qantas Airways 1,632,000 2,779
QBE Insurance 125,000 516
Rio Tinto Limited* 90,525 1,184
Rothmans Holdings 18,000 108
Stockland Trust Group 49,500 126
Telstra* 226,281 600
WMC Limited 131,625 445
Wesfarmers 48,000 462
Westpac Banking 621,127 4,290
Westpac Property Trust 155,500 201
Woodside Petroleum 75,000 460
Woolworths 110,790 454
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32,378
---------
AUSTRIA -- 0.1%
Brauerei Schwechat 3,700 141
Strabag Oesterreich 1,200 61
Voest-Alpine Stahl 7,700 305
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507
---------
BELGIUM -- 0.7%
CMB 8,770 690
CNP 1,700 117
Petrofina 7,000 2,390
Solvay 27,100 1,702
Tractabel 10,300 1,059
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5,958
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
DENMARK -- 0.3%
Danske Traelast 2,080 $ 194
Den Danske Bank 13,550 1,745
FIH, Series B 10,320 246
Monberg & Thorsen Holding 2,400 104
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2,289
---------
FINLAND -- 0.6%
Finnair, Series 1 10,000 91
Finnlines 8,700 427
Merita Bank, Class A 677,400 3,965
Outokumpu Oyj 7,000 92
Rauma Oyj 22,700 373
UPM-Kymmene 10,100 262
---------
5,210
---------
FRANCE -- 6.6%
Alcatel Alsthom 23,200 3,022
AXA UAP 39,700 3,846
Banque National Paris 56,300 3,407
Bazar de L'hotel de Ville 850 90
Bongrain 825 373
Chargeurs International 2,650 157
CIC Union Europe 2,550 203
De Dietrich et Compagnie 1,981 98
Elf Aquitaine 33,200 3,784
Eridania Beghin Say 4,250 759
Fimalac 1,200 123
Galeries Lafayette 700 454
Gaumont 4,300 308
Generale des Eaux 20,815 3,279
Generale des Eaux Warrants* 19,815 20
Havas 39,900 3,116
L'Air Liquide 19,850 3,212
Lafarge 28,915 2,137
Marine Wendel 5,350 761
Paribas 81,800 7,789
Parisienne de Rees* 4,200 327
Peugeot 52,850 7,536
Rhone Poulenc 73,200 3,378
Saint Gobain 7,950 1,115
Scor 10,150 525
Societe Generale 18,250 2,755
Union Assurances Federal 2,400 330
Valeo 35,400 3,033
Vallourec 7,850 542
---------
56,479
---------
GERMANY -- 7.9%
Agiv* 54,480 1,171
Allianz 11,800 3,718
10
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BASF 98,400 $ 3,583
Bayer 49,990 2,109
Bayer Vereinsbank 5,050 315
Bayerische Motoren Werke 8,278 8,352
BHF Bank 4,400 126
Binding Brauerei 300 69
Commerzbank 311,839 11,296
Continental 26,000 625
DBV Holding 560 249
DLW* 1,450 168
Dresdner Bank 77,400 3,512
Dywidag 410 44
Heidelberger Zement 15,500 1,149
Henkel Kgaa 56,200 3,641
Hoechst 77,000 2,985
Holsten Brau 500 102
IWKA 1,200 266
Lufthansa 64,500 1,243
Mannesmann 6,800 4,087
Metro 60,700 2,761
PWA 4,769 844
Rheinische Hypothekenbank* 150 78
Ruetgers 750 118
SGL Carbon 2,000 237
Thyssen 21,700 4,780
Viag 12,175 6,592
Volkswagen 4,400 2,898
---------
67,118
---------
HONG KONG -- 3.0%
Cheung Kong Holdings 183,000 1,282
Cheung Kong Infrastructure 160,000 493
China Resources Development 250,000 546
China Telecom* 300,000 544
Citic Pacific 135,000 523
Clp Holdings Limited 76,000 395
Guoco Group 119,000 303
Hang Seng Bank 106,000 1,003
Harbour Centre Development 43,000 36
Henderson Land Development 247,000 1,289
Hon Kwok Land Investment 587,400 108
Hong Kong Aircraft Engineering 77,200 165
Hong Kong Electric 472,000 1,677
Hong Kong Telecommunications 551,000 1,160
HSBC Holdings 276,290 7,994
Hutchison Whampoa 189,000 1,337
Jardine International Motor 262,000 146
Kumagai Gumi 971,100 652
Lai Sun Garment 290,000 157
Liu Chong Hing 205,000 176
New World Development 149,000 549
Oriental Overseas International 264,000 116
Peregrine Investment Holdings+ 526,000 --
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
QPL International Holdings 108,000 $ 56
Semi-Tech (Global) 264,000 31
Shanghai Industrial Holdings 100,000 434
Sun Hung Kai Properties 293,200 2,197
Swire Pacific, Series A 145,800 878
Tai Cheung Holdings 285,000 97
Tysan Holdings 362,000 48
Wharf Holdings 554,000 1,156
---------
25,548
---------
IRELAND -- 0.3%
Anglo Irish Bank 45,900 113
Greencore Group 515,000 2,577
Hibernian Group 22,500 206
---------
2,896
---------
ITALY -- 2.8%
Assicurazioni Generali 98,370 2,813
Assicurazioni Generali Rights* 98,370 203
Banca Nazionale Lavoro Di Risp 91,000 2,128
Banca Popolare di Milano 136,600 1,173
Banca Popular di Brescia 29,500 368
Benetton* 34,700 650
ENI SPA 870,443 5,090
Ericsson 6,400 342
Istituto Bancario san Paolo
di Torino 283,400 3,330
Montedison 3,460,100 3,576
Montefibre 95,000 78
Telecom Italia 494,155 3,365
Telecom Italia Mobile SPA 63,000 289
Toro Assicurazioni 9,030 163
---------
23,568
---------
JAPAN -- 19.0%
Ajis 16,000 76
Apollo Electronics 24,000 219
Asahi Bank 172,000 909
Asatsu 27,200 567
Bank of Tokyo-Mitsubishi 101,000 1,434
Belc 9,000 60
Benesse 3,200 84
Bridgestone 42,000 970
Canon 295,000 6,764
Charle 8,000 81
Chichibu Onoda Cement 400,000 869
Chuba Electric Power 48,100 771
Chubu Steel Plate 41,000 88
Chubu Suisan 23,000 67
Chugai Pharmaceutical 70,000 446
Chuo Warehouse 14,000 80
Comany 11,000 85
Computer Engineering & Consult 20,000 219
Dai Ichi Pharmaceutical 229,000 3,143
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL
EQUITY PORTFOLIO--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Dai Nippon Printing 82,000 $ 1,399
Dai-Ichi Kangyo Bank 157,000 1,333
Daikin Industries 166,000 836
Daitec Limited 1,000 19
Daiwa House Industries 151,000 1,184
Danto 34,000 244
Denyo 13,000 75
Dio Chemicals 16,400 65
East Japan Railway 396 1,876
Fuji Electric 330,000 1,113
Fuji Photo Film 177,000 6,951
Fujitsu 106,000 1,194
Fujitsu Business Systems 32,000 475
Genki Sushi 6,000 69
Glory 44,000 820
Hitachi 426,000 3,204
Hitachi Information Systems 50,000 520
Hitachi Medical 85,200 879
Honda Motor 287,000 9,950
Horiba 19,000 237
Horipro 10,000 63
House of Rose 11,000 59
Ichiken 39,000 72
Iino Kaiun* 116,000 265
Izumi Industries 11,000 27
Japan Knowledge 13,000 73
Japan Living Service 29,000 80
Japan Process Development 13,000 65
Japan Tobacco 234 1,725
Jastec 8,000 74
Kamigumi 193,000 883
Kandenko 72,000 503
Kaneka 142,000 811
Kansai Electric Power 60,200 1,036
KDD 15,900 669
Keihanshin Real Estate 86,000 403
Kentucky Fried Chicken Japan 24,000 206
Keyence 2,560 376
King Jim 49,800 415
Kubota 382,000 1,103
KVK 9,000 20
Kyocera 26,800 1,446
Marubeni 789,000 2,185
Marukyo 19,000 132
Matsudo Kousan 13,000 69
Matsushita Electric 573,000 8,364
Matsushita Electric Works 120,000 1,199
Minebea 12,000 133
Mitsubishi Heavy Industries 997,000 4,350
Mitsubishi Materials 772,000 1,764
Mitsubishi Motor 217,000 795
Mitsubishi Rayon 328,000 999
Mitsubishi Trust & Banking 103,000 1,218
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Miura 43,000 $ 457
Morita 100,000 230
NAC 20 --
Nakayamafuku 29,920 93
Namura Shipbuilding 62,000 239
NBC Industries 8,000 84
NIC 23,000 164
Nihon Decoluxe 13,000 59
Nintendo 87,100 8,016
Nippon Computer Systems 10,000 67
Nippon Express 246,000 1,540
Nippon Kanzai 9,600 152
Nippon Meat Packers 68,000 896
Nippon Oil 466,000 1,686
Nippon Paper 258,000 1,316
Nippon Shoji Kaisha 26,600 81
Nippon Steel 729,000 1,371
Nippon Telegraph & Telephone 282 2,595
Nishimatsuya Chain 12,000 80
Nishio Rent All 24,000 234
Nissan Motors 1,886,000 8,214
Nittetsu Mining 53,000 254
NKK 626,000 740
Nomura Securities 86,000 1,187
Nova 23,000 73
NTN 126,000 401
Ogura Clutch 9,000 49
Ohishi Sangyo 14,000 62
Ohmoriya 17,000 108
Oie Sangyo 16,200 77
Oji Paper 327,000 1,764
Ono Pharmaceutical 61,000 1,408
Paltac 30,000 179
Rengo 67,000 175
Ricoh Elemex 9,000 62
Roland 11,000 185
Ryoyo Electro 20,000 219
Sagami Chain 28,200 224
Sakura Bank 301,000 1,261
Sanko 6,000 42
Sankyo 39,000 1,049
Sanwa Bank 124,000 1,239
Sanyo Electric 546,000 1,473
Sanyo Special Steel 177,000 305
Sato Foods Industries 2,000 27
Seijo 20,000 143
Seino Transportation 85,000 508
Sekisui House 801,000 6,323
Sekisui House Hokuriku 37,000 185
Shaddy 22,600 135
Sharp 505,000 3,958
Shidax 3,000 61
Shimojima 19,800 132
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Shinden 20,200 $ 144
Shizuoka Bank 58,000 649
SK Kaken 6,000 71
Sony 11,600 1,049
Sotoh 31,000 223
Spancrete 25,000 77
Sumitomo Bank 72,000 857
Sumitomo Marine and
Fire Insurance 162,000 1,022
Sumitomo Metal 821,000 1,459
Sun-Life 6,000 58
Tohoku Electric Power 142,000 2,073
Toin 18,000 62
Tokai Rika 74,000 244
Tokyo Electric Power 303,500 5,730
Toppan Printing 141,000 1,667
Toray 300,000 1,618
Toshiba 248,000 1,114
Toyo Ink 112,000 288
Toyoda Automatic Loom Works 78,000 1,454
Toyota Motor 82,000 2,270
Tsuba Nakashima 99,500 537
Tsudakoma 170,000 494
Tsutsumi Jewelry 31,800 441
Xebio 48,800 612
Yaizu Suisankagaku 8,700 69
Yamanouchi Pharmaceutical 123,000 2,996
Yamazaki Baking 52,000 586
Yodogawa Steel Works 90,000 464
Yokohoma Rubber 152,000 467
Yonex 15,000 61
Yonkyu 15,000 158
---------
161,553
---------
MALAYSIA -- 0.5%
Austral Enterprises 300,000 359
Edaran Otomobil 218,000 473
Genting Berhad 28,000 93
IJM 320,000 166
IOI Properties 275,000 233
Kuala Lumpur Kepong Berhad,
Series B 86,000 209
Malayan Banking 88,500 343
Malaysia International Shipping 318,000 586
Malaysian Pacific Industries 51,000 152
New Straits Times Press 72,000 111
RHB Capital* 170,000 160
RHB Sakura Merchant Bankers* 400 --
Rothmans of Pall Mall 16,000 142
Sime Darby 160,000 208
Telekom Malaysia 100,000 339
Tenaga Nasionale 136,000 357
United Engineers 147,000 178
Westmont Industries* 218,000 53
---------
4,162
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NETHERLANDS -- 5.0%
ABN-Amro Holding 76,508 $ 1,699
ACF Holdings 11,400 236
Aegon 35,913 4,093
Ahold 25,000 766
Akzo Nobel 30,500 6,196
Dordtsche Petrol 61,000 3,199
DSM 13,806 1,385
EVC 6,300 116
Fortis Amev 39,600 2,166
Gamma Holding 8,000 432
Heineken 15,200 2,824
Hoogovens 20,913 1,020
Ing Groep 248,290 13,154
KLM 11,764 426
KPN 11,200 564
NKF Holdings 5,416 136
Phillips Electronics 13,700 1,066
Royal Dutch Petroleum 18,700 1,024
Schuttersveld 2,900 69
Unilever 34,600 2,229
---------
42,800
---------
NEW ZEALAND -- 0.4%
Brierley Investment 272,000 184
Fletcher Challenge Building 40,222 96
Fletcher Challenge Energy 122,900 449
Fletcher Challenge Paper 216,751 291
Lion Nathan 531,148 1,310
Natural Gas Holdings 75,800 102
Telecom of New Zealand 120,681 578
---------
3,010
---------
NORWAY -- 0.3%
Den Norske Bank 298,409 1,642
Det Sondenfjeld Norske* 14,000 248
Saga Petroleum, Series A 22,500 383
---------
2,273
---------
SINGAPORE -- 0.4%
Acma 186,000 145
City Developments 173,000 785
Electronic Resources 90,000 104
Hai Sun Hup 70,000 29
Haw Par Brothers 118,000 136
Keppel 39,000 112
Natsteel 60,000 83
Natsteel Electronics* 66,000 119
Overseas Chinese Banking 34,800 207
Overseas Union Bank 52,000 196
Pacific Carriers 235,000 90
Parkway Holdings 56,000 120
Singapore International Airlines 32,000 237
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL
EQUITY PORTFOLIO--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Singapore Press 20,880 $ 299
Singapore Telecommunications 427,000 876
Ssangyong Cement 52,000 45
---------
3,583
---------
SPAIN -- 2.2%
Argentaria 47,800 3,564
Autopistas Concesionaria Espanola 71,500 1,075
Azucarera Espana 2,400 136
Banco de Santander 37,480 1,736
Banco de Valencia 13,800 417
Banco Pastor 2,300 299
Banco Zaragozano 10,600 423
CIA Espanola de Petroleos 3,225 98
Energia e Industrias Aragonesas 72,000 586
Repsol 142,700 6,369
Sevillana de Electricidad 62,800 605
Telefonica de Espana 103,000 3,545
Uniland 3,700 241
---------
19,094
---------
SWEDEN -- 2.4%
ASG, Series B 10,400 265
Astra, Series B 145,000 2,839
Bergman & Beving, Series B 10,000 194
Bylock & Nordsjofr, Series B 26,400 106
Catena, Series A 25,900 364
Electrolux, Series B 38,900 2,969
Ericsson 51,000 2,322
Foreningsparbanken, Series A 216,900 6,675
Rottneros 113,800 85
Skandinaviska Enskilda Bank 104,300 1,494
SKF, Series B 64,200 1,329
Trelleborg, Series B 48,800 690
Volvo, Series B 56,600 1,533
---------
20,865
---------
SWITZERLAND -- 7.3%
Aare-Tessin 410 266
Adecco 8,100 2,622
Baer Holding 300 693
Baloise Holding 100 218
Banca del Gottardo, Series B 290 169
Banque Cantonale Vaudoise 1,120 462
Bucher Holding 280 264
Ciba Specialty Chemicals* 2,500 304
Cie Financiere Richemont 240 264
Clariant 3,590 3,600
CS Holding 82,770 14,962
Daetwyler Holding 160 299
Fischer (Georg) 170 286
Keramik Holding 210 96
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Kw Laufenburg 1,310 $ 236
Motor-Columbus 260 525
Nestle SA 6,970 12,219
Novartis 3,056 5,580
Roche Holding 450 5,274
Swiss Bank* 9,270 3,105
Union Bank of Switzerland 4,420 6,892
Zurich Versicherung 7,190 3,924
---------
62,260
---------
UNITED KINGDOM -- 24.9%
Abbey National 640,000 13,144
Albert Fisher Group 392,200 182
Alvis 75,000 163
Amec 152,200 350
ASDA Group 2,544,100 8,432
Astec 73,500 153
Barclays Bank 200,288 5,951
Barratt Developments 185,900 860
BAT Industries 919,800 9,180
Berkeley Group 120,633 1,406
BG 176,471 886
Blue Circle Industries 307,000 1,796
British Aerospace 106,238 3,338
British Airport Authority 185,000 1,731
British Airways 1,526,200 14,327
British Petroleum 310,200 4,281
British Steel 2,623,100 6,296
British Telecommunications 335,000 3,385
British Vita 696,000 2,986
BTP 41,600 242
BTR 2,794,700 7,422
Carlton Communications 275,000 1,934
Charter 18,600 189
Cowie Group 35,566 252
Crest Nicholson 86,000 162
Davis Service Group 32,000 178
Diageo 362,708 3,712
Dixons Group 271,500 2,435
Ed and F Man 163,100 662
Energy Group 52,930 678
English China Clay 22,200 89
Gallaher Group 22,300 130
General Accident 201,400 4,521
Glaxo Wellcome 132,938 3,722
Granada Group 191,500 2,993
Halifax* 139,800 2,178
Heywood Williams 125,000 455
Hillsdown Holdings 159,700 418
HSBC Holdings 92,288 2,836
Iceland Frozen Foods 523,488 1,319
IMI 84,600 587
Imperial Chemical 135,000 2,465
14
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Inchcape Finance 304,000 $ 944
Johnson Matthey 69,000 601
Kingfisher 699,550 12,068
Kwik Save Group 83,200 474
Laporte 30,500 333
Lex Service 127,000 1,000
Lloyds TSB Group 440,000 6,623
LucasVarity 474,013 1,827
Marston Thompson 60,000 256
National Grid Group 238,000 1,340
National Power 394,300 4,088
Persimmon 44,200 178
Prudential 234,638 3,507
Railtrack Group 420,800 6,410
Rank Group 494,100 2,710
Reckitt & Colman 161,000 2,841
Renold 77,800 309
Reuters Holdings 209,214 2,119
Rexam 343,363 1,569
RJB Mining 295,500 504
Safeway* 189,600 1,118
Sedgwick Group 353,200 868
Severn Trent 113,715 1,747
Shell Transportation & Trading 673,625 4,820
Signet Group* 1,065,600 680
Smithkline Beecham 289,100 3,618
Standard Chartered 270,050 3,900
Storehouse 41,700 179
Sun Alliance Group 287,400 3,661
Taylor Woodrow 98,200 330
Tesco 223,800 1,904
Thames Water 468,200 6,816
TI Group 134,000 1,159
TLG 117,000 197
Tomkins 547,175 3,163
Triplex Lloyd 41,000 187
United Assurance Group 159,796 1,608
United Utilities 149,500 2,009
Vaux Group 82,400 332
Weir Group 478,000 2,125
Wessex Water 126,670 1,007
Willis Corroon Group 615,200 1,423
Wilson Bowden 16,400 167
Wimpey (George) 346,800 708
---------
211,853
---------
Total Foreign Common Stocks
(Cost $681,780) 753,404
---------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN PREFERRED STOCKS -- 0.3%
AUSTRIA -- 0.3%
Bank Austria* 34,664 $ 2,286
---------
GERMANY -- 0.0%
Draegerwerk 3,200 66
Rhoen Klinikum 3,750 378
---------
444
---------
ITALY -- 0.0%
Unipol 65,480 164
---------
Total Foreign Preferred Stocks
(Cost $1,567) 2,894
---------
U.S. TREASURY OBLIGATION -- 0.6%
U.S. Treasury Bill (1)
5.14%, 06/25/98 $ 5,300 5,213
---------
Total U.S. Treasury Obligation
(Cost $5,214) 5,213
---------
REPURCHASE AGREEMENTS -- 9.0%
J.P. Morgan (1)
5.64%, dated 02/27/98, matured
03/02/98, repurchase price $74,943,903
(collateralized by Federal Home
Loan Bank Bond, 0.000%, due
05/27/98, par value $77,250,000,
market value $76,193,375) 74,699 74,699
State Street Bank
5.00%, dated 02/27/98, matured
03/02/98, repurchase price
$2,079,866 (collateralized by
U.S. Treasury Bonds, 5.875%,
due 10/31/98, par value
$2,085,000, market value
$2,128,852) 2,079 2,079
---------
Total Repurchase Agreements
(Cost $76,778) 76,778
---------
Total Investments -- 98.4%
(Cost $765,339) 838,289
---------
Other Assets and Liabilities, Net -- 1.6% 13,555
---------
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL
EQUITY PORTFOLIO--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
83,907,859 outstanding shares
of beneficial interest $788,775
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on 29,237
outstanding shares of beneficial interest 285
Accumulated net investment income 2,242
Accumulated net realized loss
on investments (17,710)
Net unrealized appreciation on investments 72,950
Net unrealized appreciation on
forward foreign currency contracts,
futures contracts, foreign currency
and translation of other assets and
liabilities in foreign currency 5,302
--------
Total Net Assets -- 100.0% $851,844
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $10.15
========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE -- CLASS D $10.06
========
MAXIMUM OFFERING PRICE PER SHARE --
CLASS D ($10.06 / 95%) $10.59
========
* NON-INCOME PRODUCING SECURITY
+ Fair Valued Security
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 $80,150,720.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY PORTFOLIO
FOREIGN COMMON STOCKS -- 88.5%
ARGENTINA -- 5.1%
Cresud* 784,035 $ 1,553
Irsa 1,182,879 4,142
Irsa GDR 4,627 161
Sidera 833,249 3,877
Telefonica Argentina ADR 226,300 8,150
YPF ADR 249,500 7,890
--------
25,773
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BRAZIL -- 6.8%
Banco Bradesco 56,308,779 $ 478
Centrais Eletricas Brasileiras 40,370,000 1,786
Companhia Brasileira de
Distribuicao Grupo de
Acucar ADR 49,000 1,127
Companhia Energetica de
Sao Paulo ADR* 76,100 1,056
Companhia Riograndense
Telecom* 2,005,300 2,032
Sabesp 10,585,000 2,197
Souza Cruz 267,900 2,335
Telebras 146,835,000 14,489
Telebras ADR 62,785 7,687
Telesp 6,185,000 1,283
TV Filme* 81,000 405
--------
34,875
--------
CHILE -- 3.5%
Chilectra ADR 212,800 5,357
Empresa Nacional de
Electricidad ADR 90,700 1,672
Linea Aerea Nacional
Chile ADR* 270,300 3,379
Quimica y Minera Chile ADR 102,200 4,395
Supermercados Unimarc ADR 298,900 2,765
--------
17,568
--------
CHINA -- 0.3%
Beijing Yanhua Petrochemical,
Series H 874,000 166
Bengang Steel Plates, Series B* 332,000 72
China Eastern Airlines
Corporation, Series H* 1,352,000 203
China Southern Glass, Series B 231,934 54
Chongqing Changan
Automobile, Series B 180,000 64
Eastern Communications,
Series B 128,500 134
Guangdong Provincial
Expressway Development,
Series B 168,000 67
Shanghai Dajiang Group,
Series B 310,400 52
Shanghai Dazhong Taxi 220,000 179
Shanghai Lujiazui Finance
and Trade, Series B 314,040 222
Shanghai Yaohua Pilkington
Glass, Series B 224,000 43
Shenzhen Fangda Ltd, Series B 72,000 83
Shenzhen Konka Electronics
Group, Series B 86,000 87
Wuxi Little Swan, Series B 76,000 92
--------
1,518
--------
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COLOMBIA -- 1.5%
Banco Ganadero ADR 68,500 $ 1,301
Banco Gandero ADR 96,530 3,379
Banco Industrial
Colombiano ADR 68,740 808
Carulla y Compania ADR 317,800 914
Cementos Diamante GDR 48,690 456
Cementos Paz del Rio GDR* 20,153 252
Gran Cadena Almacenes GDR 49,784 280
--------
7,390
--------
CZECH REPUBLIC -- 0.4%
Ceske Radiokomunikace* 1,200 144
CKD Praha Holding* 9,000 318
Galena* 4,000 235
SPT Telecom* 5,298 629
Tabak 3,000 740
--------
2,066
--------
EGYPT -- 0.9%
Alexandria National Iron & Steel* 3,651 165
Commercial International Bank 25,280 425
Eastern Tobacco 8,285 184
Egyptian American Bank* 11,264 288
Egyptian International
Phamaceutical Industries
Company 3,775 263
El Ameriya Cement 10,225 216
Helwan For Cement* 7,870 153
Madinet Nasr For Housing
& Construction 5,680 334
Misr Elgedida For Housing 4,635 593
Misr International Bank 21,305 551
National Societe General Bank 11,363 264
Paints & Chemical Industries 6,164 204
Suez Cement 48,473 994
--------
4,634
--------
FRANCE -- 0.1%
Cofinec GDR* 23,450 336
--------
GREECE -- 1.4%
Alpha Credit Bank 19,000 1,018
Athens Medical Care 35,000 535
Attica Enterprises 60,000 862
Ergo Bank 14,889 743
Hellenic Bottling 35,811 891
Intracom 16,470 822
Maillis* 30,500 596
Sarantis 40,000 555
Titan Cement Company 25,870 1,224
--------
7,246
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HONG KONG -- 1.1%
Cheung Kong Infrastructure 169,000 $ 521
China International Marine 135,500 131
China Merchants Holdings
International 494,000 514
China Resources Enterprise,
Series B 275,000 600
China Telecom* 250,000 454
Guangdong Electric Power
Development, Series B 219,840 133
Guangdong Kelon Elec Holding,
Series H 330,000 369
Guangdong Warrants* 28,000 2
Guangshen Railway, Series H 1,234,000 331
Jilin Chemical Industrial,
Series H 1,048,000 134
Maanshan Iron & Steel,
Series H 1,494,000 160
Qingling Motors, Series H 1,416,000 567
Shanghai Hai Xing Shipping,
Series H 992,000 245
Shanghai Industrial Holdings 117,000 508
Shanghai Petrochemical,
Series H 1,824,000 302
Shenzen China Bicycle,
Series B* 316,714 56
Tsingtao Brewery, Series H* 376,000 94
Yizheng Chemical Fibre,
Series H 1,286,000 239
--------
5,360
--------
HUNGARY -- 2.3%
Borsodchem 11,100 372
Borsodchem GDR 14,000 466
Gedeon Richter 8,760 959
Gedeon Richter GDR* 4,500 492
Graboplast 8,500 403
Graboplast GDR* 39,800 318
Magyar Tavkozlesi ADR* 152,000 3,933
MOL 37,087 974
MOL Magyar Olaj-es
Gazipari GDR 31,000 825
North American
Business Industries* 18,800 399
OTP Bank 7,934 361
OTP Bank GDR 9,270 423
Pannoplast 13,100 528
Primagaz 16,300 438
Zalakeramia 1,148 59
Zalakeramia GDR* 71,000 721
--------
11,671
--------
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
EMERGING MARKETS
EQUITY PORTFOLIO--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INDIA -- 2.6%
Bajaj Auto GDR 34,100 $ 656
BSES GDR 77,050 1,564
EIH GDR 51,802 640
India Fund* 208,030 1,521
Indian Hotels GDR 41,702 795
Industrial Credit and
Investment of India GDR 208,170 3,253
ITC GDR 101,970 2,842
Larsen & Toubro GDR 83,590 1,078
Mahanagar Telephone
Nigam Ltd GDR 58,585 996
--------
13,345
--------
INDONESIA -- 0.6%
Daya Guna Samudera `F` 1,139,000 791
Gudang Garam `F` 477,000 596
Gulf Indonesia Resources* 27,500 516
Indosat 162,000 234
Telekomunikasi Indonesia ADR 42,300 360
Telekomunikasi Indonesia `F` 785,000 310
Tjiwi Kimia 130,000 25
Tjiwi Kimia Warrants 98,055 7
Tjiwi Kimia `F` 290,992 55
--------
2,894
--------
ISRAEL -- 2.6%
Agis Industries 25,918 167
Bank Hapoalim 967,977 2,269
Bank Leumi Le-Israel 611,296 1,038
Bezeq Israeli Telecommunication 237,169 567
Blue Square Chain Investments
& Properties* 27,482 262
Cial Electronics Industries 1,422 226
Clal Israel 707,716 210
Discount Investment 11,231 276
Elco Holdings 39,780 231
Fibi Holdings 1,186 217
First International Bank of Israel 494 334
Formula Systems* 6,328 193
IDB Development 11,675 247
IDB Holding 30,322 635
Industrial Buildings 253,308 424
Israel Chemicals 276,921 356
Koor Industries ADR 30,000 637
Koor Industries Limited 3,943 411
Leumi Insurance Holdings* 687,070 369
Nice Systems* 9,189 426
Osem Investment Limited 70,690 299
Super Sol Limited 114,787 371
Tadarin Limited 6,090 241
Teva Pharmaceuticals ADR 56,750 2,383
The Israel Corp. 4,419 315
--------
13,104
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MALAYSIA -- 6.3%
AMMB Holdings Warrants* 100 $ --
Berjaya Sports Toto 691,000 1,929
Genting Berhad 543,000 1,795
IOI Properties 4,030,000 3,407
Kuala Lumpur Kepong Berhad 1,125,000 2,729
Malayan Banking 660,000 2,558
Malaysian Assurance Alliance 800,400 1,605
Malaysian Pacific Industries 963,000 2,871
New Straits Times Press 820,000 1,267
O.Y.L. Industries 516,200 1,847
Perusahaan Otomobil 204,000 384
Petronas Gas 200,000 553
RHB Sakura Merchant Bankers 900 1
Rothmans of Pall Mall 461,000 4,092
Sime Darby 1,500,000 1,951
Telekom Malaysia 735,000 2,490
Tenaga Nasionale 520,000 1,367
United Engineers 998,000 1,206
--------
32,052
--------
MEXICO -- 10.3%
Accel, Series B* 2,405,000 409
Acer Computec Latino* 434,000 621
ALFA, Series A 813,799 4,626
Cifra SA ADR, Class V 65,870 1,275
Corporacion Geo SA, Series B* 950,000 5,417
Corporacion Interamericana
de Enterenemienta 800,400 6,104
Empresas ICA Sociedad
Controladora ADR 174,000 2,077
Gruma ADR 156,000 1,889
Grupo Fernandez Edit,
Series B 4,532,000 665
Grupo Financiero Banorte,
Series B 2,983,000 4,326
Grupo Gigante, Series B* 3,126,000 1,284
Grupo Herdez, Series B 5,802,000 4,207
Grupo Industrial Maseca,
Series B 281,000 227
Grupo Radio Centro ADR 433,900 6,753
Hylsamex, Series B 159,300 770
Panamerican Beverage,
Series A 169,000 6,158
Pepsi-Gemex ADR 198,100 2,526
San Luis 576,400 3,239
--------
52,573
--------
MOROCCO -- 1.0%
BCM 10,326 981
BMCE 13,263 860
ONA 14,999 1,349
SAMIR 18,977 675
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
SNI 9,423 $ 800
Wafabank 5,529 534
--------
5,199
--------
PAKISTAN -- 1.0%
Adamjee Insurance 3,562 7
Engro Chemicals 96,750 236
Fauji Fertilizer 212,800 401
FFC Jordan Fertilizer* 530,700 227
Hub Power* 966,600 1,208
Hub Power GDR* 25,850 801
ICI Pakistan* 659,000 268
Lever Brother Pakistan* 10,300 310
Muslim Commercial Bank 64,300 42
Pakistan State Oil 61,834 410
Pakistan Telecom GDR 7,170 545
Pakistan Telecom, Series A* 819,900 614
Sui Northern Gas Pipelines 74,750 39
Sui Southern Gas* 70,293 31
--------
5,139
--------
PERU -- 1.2%
Banco Wiese ADR 54,570 266
Buenaventura ADR 36,370 491
Cementos Lima 26,035 472
Cerveceria Backus & Johnston 560,217 395
Compania de Minas
Buenaventura, Series B 45,627 276
Credicorp 63,480 1,024
Edegel SA, Series B 553,828 217
Ferreyros ADS 144A (A) 30,366 597
Telefoncia del Peru ADR 131,408 2,489
--------
6,227
--------
PHILIPPINES -- 1.5%
Ayala Corporation 1,384,050 654
International Container
Terminal Services 870,750 130
Ionics Circuit 2,100,000 1,165
Manila Electric, Series B 336,320 1,009
Metropolitan Bank & Trust 102 1
Music Corporation 1,450,000 567
Philippine Long Distance 109,740 2,975
Philippine Long Distance ADR 25,360 669
San Miguel, Series B 17 --
SM Prime Holdings 3,340,000 623
--------
7,793
--------
POLAND -- 2.1%
Amica Wronki* 60,000 1,078
Bank Przemyslowo-Handlowy 15,000 1,208
Bank Rozwoju Eksportu 10,696 308
Debica 23,024 622
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Elektrim 182,290 $ 2,385
Exbud GDR* 88,005 1,082
National Investment Fund* 20,000 748
Orbis* 147,004 1,099
Polifarb Cieszyn-Wroclaw 197,627 1,006
Zaklady Celulozy 158,392 1,052
--------
10,588
--------
PORTUGAL -- 2.3%
Banco Comercial Portugues 49,158 1,631
Banco Totta & Acores 42,500 1,180
BPI-SGPS 33,000 1,185
Brisa Auto-Estradas* 22,000 1,001
Cimentos de Portugal 28,908 837
Electricidade de Portugal 60,000 1,273
Engil SGPS 64,400 755
Jeronimo Martins & Filho 25,200 871
Mundial Confianca* 33,800 937
Portugal Telecom 23,298 1,223
Sonae Investimentos 18,685 842
--------
11,735
--------
RUSSIA -- 4.0%
AO Tatneft ADR 31,600 3,697
AO Tatneft ADR 144A (A) 8,400 953
Chelyabinskvyazinform ADR* 9,000 430
Gorkovsky Auto Plant ADR* 14,180 1,744
Lukoil Holding ADR 42,500 2,954
Moscow City Telephone ADR* 650 520
Mosenergo ADR 64,000 2,464
Rostovenergo ADR* 2,500,000 455
Surgutneftegaz ADR 279,083 1,954
Unified Energy System GDR 98,700 2,653
Unified Energy System ADR* 3,300,000 907
Vimpel Communication ADR* 45,000 1,789
--------
20,520
--------
SOUTH AFRICA -- 13.1%
Amalgamated Beverage 52,180 445
Anglo American 59,800 2,506
Anglo American Gold
Investment Company 6,300 260
Anglo American Investment Trust 26,466 525
B.O.E, Series N 975,000 1,628
Bidvest Group 163,954 1,649
C.G. Smith 1,058,200 5,045
City Lodge Hotels Limited 1,600 3
Concor 196,300 1,073
Cons African Mines 325,000 89
CTP Holdings 69,600 916
De Beers Centenary 55,400 1,099
Delta Electrical Industries 276,206 1,191
Delta Electrical Rights 2,048 2
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
EMERGING MARKETS EQUITY
PORTFOLIO--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
First National Bank 342,400 $ 3,875
Gold Fields of South Africa 33,300 435
Group Five Holdings 191,700 126
Group Five Limited 297,500 214
Group Five Limited, Series N 43,400 30
Hudaco Industries 310,950 1,039
ICS Holdings 74,600 415
Imperial Holdings Limited 39,500 477
Investec Bank 29,800 1,476
JCI 51,365 278
Johnnies Industrial 223,410 2,623
Liberty Holdings 11,500 966
Liberty Life Association of Africa 84,945 2,579
Liblife Strategic Investments 980,200 4,167
Murray & Roberts 314,100 486
Nampak 637,300 2,451
Nasionale Pers Beperk 115,100 769
Nedcor 87,363 2,547
New Africa Investments,
Series N 2,066,881 2,657
Orion Selections 631,000 1,967
OTK Holdings 1,716,725 1,741
Plessey 960,301 1,322
Power Technologies 285,800 463
Randgold & Exploration* 187,700 228
Real Africa Investments 600,000 2,028
Rembrandt Group 307,300 2,110
Reunert 643,216 1,029
Safmarime & Rennies Holdings 399,450 813
Sasol 229,521 1,961
SM Goldstein 1,200 1
South African Breweries 78,287 2,196
Standard Bank 39,100 2,169
Suncrush 64,200 152
Technology & Industry
Investments 45,000 164
Tegniese Beleg Korp 590,000 2,016
Tiger Oats 149,200 2,280
--------
66,681
--------
SOUTH KOREA -- 2.1%
Daewoo Heavy Industries 75,900 396
Dong-A Pharmaceuticals 9,860 79
Housing & Commercial Bank GDR* 8,784 66
Housing & Commercial Bank 22,636 154
Kookmin Bank 47,269 301
Kookmin Bank GDR 144A* (A) 15,420 101
Korea Asia Fund* 836 658
Korea Electric Power 11,000 147
Korea Electric Power ADR 68,350 730
Korea Fund 177,473 1,564
LG Chemical* 24,400 211
LG Information & Communication* 4,715 154
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Mirae 1,700 $ 230
Nong Shim 5,700 204
Pohang Iron & Steel 7,460 480
Pohang Iron & Steel ADR* 36,200 837
Samchully 11,590 254
Samsung Display Devices* 12,240 713
Samsung Electronic 9,965 577
Samsung Electronics GDR, Class A 874 12
Samsung Electronics
GDR 1995 144A (A) 13,512 439
Samsung Eletro-Mechanics 31,750 650
Samsung Fire & Marine Insurance 1,630 440
Seoul City Gas* 6,200 160
Sindo Ricoh 6,170 252
SK Telecom 309 145
SK Telecom ADR 72,203 623
Yukong 13,770 122
--------
10,699
--------
TAIWAN -- 7.0%
Accton Technology GDR* 193,908 1,159
Acer GDR 101,250 1,207
Advanced Semiconductor
Engineering GDR 30,110 997
Advanced Semiconductor
Engineering 305,000 1,740
Asia Cement GDR 99,545 1,135
Asustek Computer 43,000 1,011
Asustek Computer GDR 112,000 2,719
Cathay Construction 661,000 748
Cathay Life Insurance 300,000 1,326
China Development 580,000 1,955
China Steel ADR 39,969 545
China Steel GDR 42,900 585
Compal Electronics* 242,000 1,032
Delta Electronics 240,000 1,271
Evergreen Marine GDR 18,000 187
Formosa Chemical & Fiber 400,000 469
Formosa Plastic 270,000 559
Goldsun Development &
Construction* 910,000 656
Hon Hai Precision Industries* 100,000 699
Hua Nan Bank 400,000 1,172
Hualon-Teijran* 660,000 374
Lite-On Technology GDR 16,860 416
Orient Semiconductor
Electronics* 430,000 1,159
Pacific Electric Wire & Cable* 750,000 860
President Enterprises GDS* 25,900 311
ROC Taiwan Fund 110,300 1,082
Siliconware Precision GDR* 30,200 544
Siliconware Precision Industries* 250,000 760
Synnex Tech International GDR* 15,000 407
20
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Taiwan American Fund* 50,000 $ 824
Taiwan Semiconductor* 380,000 1,989
Taiwan Semiconductor ADR* 37,500 1,076
Teco Electric & Machinery GDR 27,869 375
Tung Ho Steel GDR* 82,575 578
Union Petrochemical 710,000 530
Yageo 320,000 938
Yageo 144A* (A) 99,938 1,397
Yageo GDR 27,994 394
Yang Ming Marine
Transport GDR* 86,250 640
--------
35,826
--------
THAILAND -- 1.2%
Advanced Info Service 41,200 315
Bangkok Bank `F' 115,300 395
Bangkok Expressway Public* 1,103,900 1,036
Bec World Public, `F' 42,000 247
Electric Generating `F' 385,810 1,016
Industrial Finance `F' 223,500 151
Lanna Lignite `F' 107,300 565
Phatra Thanakit `F' 261,000 335
PTT Exploration `F' 46,000 600
Shinawatra Computer Public 8,700 56
Telecomasia* 584,800 341
Thai Airways `F' 24,300 34
Thai Airways International `F' 340,400 421
Thai Danu Bank 347,000 275
Thai Farmers Bank Warrants* 26,138 5
Tipco Asphalt `F' 199,200 358
--------
6,150
--------
TURKEY -- 4.0%
Akbank 12,500,000 988
Aksigorta 20,302,000 1,187
Alcatel Teletas 8,140,000 987
Ardem 11,858,000 912
Bati Cimento 10,100,000 908
Cukurova Elektrik 470,107 1,283
Dogan Sirketler Holdings* 32,279,000 1,063
Efes Investment ADR* 76,000 1,225
Ege Biracilik Ve Malt Sanayii 13,100,000 1,348
Haci Omer Sabanci Holdings* 30,682,000 1,661
Koc Holdings 7,126,630 1,158
Migros 1,539,806 1,151
Netas* 1,970,000 751
Trakya Cam 28,890,000 1,721
Turkiye Is Bankasi 16,504,000 2,645
Yapi Ve Kredi Bankas 48,776,217 1,606
--------
20,594
--------
UNITED STATES -- 0.6%
Formosa Fund 250 2,855
--------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
VENEZUELA -- 1.6%
Banco Provincial 606,762 $ 1,051
Compania Anonima Nacional
Telecom ADR 111,000 3,934
Electricdid de Caracas 2,420,140 2,155
Mavesa ADR 50,225 261
Mercantil Servicios, Class B* 82,900 249
Sivensa ADR 135,985 367
Venezolana de Cementos 302,636 415
--------
8,432
--------
Total Foreign Common Stocks
(Cost $464,487) 450,843
--------
FOREIGN PREFERRED STOCKS -- 7.4%
BRAZIL -- 7.1%
Banco Bradesco 567,602,352 4,822
Banco Credito Nacional 323,500,000 2,319
Banco Credito Nacional Rights* 35,277,835 25
CELESC GDS Registered* 20,300 1,850
Cemig 177,500,000 7,618
Itausa Investimentos 4,371,000 3,017
Lojas Renner 7,700,000 269
Petrol Brasileiros 31,301,000 7,091
Telebras 9,009,000 1,101
Teleceara, Series C* 2,718,260 960
Telemig, Series B 27,822,645 3,681
Telerj 21,322,471 2,944
Telesp 2,273,152 630
--------
36,327
--------
PERU -- 0.1%
Cerveceria Backus & Johnston,
Series A 43,987 376
--------
RUSSIA -- 0.2%
Chelyabinksvyazinform ADR* 21,000 420
Rostovenergo ADR* 1,000,000 125
Unified Energy Systems ADR* 3,500,000 602
--------
1,147
--------
Total Foreign Preferred Stocks
(Cost $34,244) 37,850
--------
FOREIGN CONVERTIBLE BONDS -- 1.9%
MALAYSIA -- 0.0%
AMMB
5.000%, 05/13/02 $ 121 20
--------
MEXICO -- 0.3%
Alfa, CL A
8.000%, 09/15/00 1,120 1,305
--------
21
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
EMERGING MARKETS EQUITY
PORTFOLIO--CONCLUDED
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
TAIWAN -- 1.6%
Delta Electronics
0.500%, 03/06/04 $ 1,028 $ 1,463
GVC
0.000%, 05/21/02 750 823
Lite-On Technologies
0.750%, 05/01/04 880 955
Nanya Plastics
1.750%, 07/19/01 720 880
Nanya Plastics 144A (A)
1.750%, 07/19/01 390 474
Siliconware Precision
0.500%, 07/21/04 1,180 1,227
Taiwan Seminconductor
0.000%, 07/03/02 1,000 1,185
Walsin Lihwa
3.250%, 06/16/04 1,000 780
Winbond Electron
1.000%, 11/04/02 550 593
--------
8,380
--------
Total Foreign Convertible Bonds
(Cost $9,365) 9,705
--------
REPURCHASE AGREEMENTS -- 5.1%
Morgan Stanley
5.65%, dated 02/27/98,
matured 03/02/98, repurchase
price $19,435,887 (collateralized
by various U.S. Treasury Notes
and Agency instruments,
ranging in par value
$4,000,000-$6,792,000, 0.00%-6.50%,
05/28/98-05/31/02; total
market value $19,829,960) 19,388 19,388
State Street Bank
5.00%, dated 02/27/98,
matured 03/02/98, repurchase
price $6,574,009 (collateralized
by U.S. Treasury Bonds, 5.875%,
due 10/31/98, par value
$6,575,000, market
value $6,713,285) 6,572 6,572
--------
Total Repurchase Agreements
(Cost $25,960) 25,960
--------
Total Investments -- 102.9%
(Cost $534,056) 524,358
--------
Other Assets and Liabilities, Net -- (2.9%) (14,610)
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
48,319,175 outstanding shares
of beneficial interest $550,229
Accumulated net investment loss (2,587)
Accumulated net realized loss
on investments (28,069)
Net unrealized depreciation
on investments (2) (9,845)
Net unrealized appreciation on
forward foreign currency contracts,
foreign currency and translation
of other assets and liabilities in
foreign currency 20
--------
Total Net Assets -- 100.0% $509,748
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $10.55
========
* 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) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) NET OF $147,000 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
================================================================================
INTERNATIONAL FIXED
INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 92.2%
AUSTRALIA -- 2.7%
Newsouth Wales Treasury
8.000%, 03/01/08 1,700 $ 1,291
Queensland Treasury
6.500%, 06/14/05 13,455 9,338
--------
10,629
--------
CANADA -- 0.7%
Government of Canada
7.250%, 06/01/07 2,300 1,818
9.000%, 06/01/25 1,005 1,012
--------
2,830
--------
DENMARK -- 3.4%
Kingdom of Denmark
8.000%, 03/15/06 74,225 12,717
7.000%, 11/10/24 3,200 540
--------
13,257
--------
FRANCE -- 2.1%
Government of France OAT
8.500%, 10/25/19 36,800 8,414
--------
GERMANY -- 22.4%
Bundesschatzanweisungen
7.500%, 11/11/04 3,800 2,422
Deutschland Republic
6.000%, 01/05/06 59,360 35,093
6.250%, 01/04/24 38,970 23,707
KFW International Finance
6.625%, 04/15/03 1,140 691
Treuhandanstalt
6.375%, 07/01/99 34,760 19,784
6.500%, 04/23/03 11,560 6,945
--------
88,642
--------
ITALY -- 9.3%
Republic of Italy
8.500%, 08/01/99 17,420,000 10,202
8.500%, 08/01/04 40,060,000 26,444
--------
36,646
--------
JAPAN -- 20.7%
Asian Development Bank
3.125%, 06/29/05 1,223,000 10,566
European Investment Bank
3.000%, 09/20/06 1,944,000 16,779
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
Export-Import Bank
4.375%, 10/01/03 851,000 $ 7,798
2.875%, 07/28/05 1,320,000 11,297
International Bank
Recon & Development
4.750%, 12/20/04 1,852,000 17,723
Japanese Development Bank
2.875%, 12/20/06 2,040,000 17,499
--------
81,662
--------
NETHERLANDS -- 3.4%
Kingdom of Netherlands
5.750%, 01/15/04 26,220 13,553
--------
SPAIN -- 4.8%
Kingdom of Spain
7.900%, 02/28/02 2,595,800 18,910
--------
SWEDEN -- 3.0%
Kingdom of Sweden
10.250%, 05/05/03 76,300 11,698
--------
UNITED KINGDOM -- 19.7%
European Investment Bank
7.000%, 03/30/98 200 329
United Kingdom Treasury
7.000%, 06/07/02 32,205 54,265
8.000%, 12/07/15 11,677 23,230
--------
77,824
--------
Total Foreign Bonds
(Cost $362,759) 364,064
--------
U.S. TREASURY OBLIGATIONS -- 7.7%
U.S. Treasury Bill
5.080%, 04/23/98 5,080 5,041
U.S. Treasury Bond
6.625%, 02/15/27 1,490 1,621
U.S. Treasury Notes
6.000%, 06/30/99 8,675 8,722
5.750%, 11/30/02 11,260 11,307
6.625%, 05/15/07 3,440 3,661
--------
Total U.S. Treasury Obligations
(Cost $30,431) 30,352
--------
23
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
INTERNATIONAL FIXED
INCOME PORTFOLIO--CONCLUDED
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.1%
State Street Bank
5.00%, dated 02/27/98,
matured 03/02/98, repurchase
price $492,205 (collateralized
by U.S. Treasury Bond,
par value $495,000,
10/31/98, 5.875%,
market value $505,411) $ 492 $ 492
--------
Total Repurchase Agreement
(Cost $492) 492
--------
Total Investments -- 100.0%
(Cost $393,682) $394,908
========
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
OAT -- OBLIGATIONS ASSIMILABLES DE TRESOR
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT PORTFOLIO
FOREIGN BONDS -- 97.3%
ALGERIA -- 3.5%
Republic of Algeria FRN
7.250%, 09/04/06 5,500 $ 4,524
--------
ARGENTINA -- 25.5%
Argentina Bonos del Tesoro
8.750%, 05/09/02 4,500 4,394
Government of Argentina
8.750%, 07/10/02 750 687
11.000%, 10/09/06 12,000 13,338
11.750%, 02/12/07 ARS 2,000 2,116
Government of Argentina 144A (A)
8.750%, 07/10/02 ARS 2,750 2,527
11.750%, 02/12/07 ARS 2,750 2,910
Government of Argentina
Bocon Previsional 1
2.976%, 04/01/01 ARS 822 721
Government of Argentina
Bocon Previsional 2
5.615%, 04/01/01 ARS 5,522 5,141
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
Government of Argentina
Bocon Proveedores 1
2.976%, 04/01/07 ARS 1,585 $ 1,166
--------
33,000
--------
BRAZIL -- 5.4%
Government of Brazil
8.000%, 04/15/14 8,636 6,995
--------
BULGARIA -- 5.2%
Republic of Bulgaria FLIRB
2.281%, 07/28/12 3,950 2,538
Republic of Bulgaria FRN
6.563%, 07/28/24 5,250 4,213
--------
6,751
--------
CROATIA -- 2.8%
Government of Croatia FRN
6.500%, 07/31/10 4,000 3,540
--------
ECUADOR -- 5.1%
Government of Ecuador FRN
6.625%, 02/28/25 3,750 2,775
Government of Ecuador PDI
6.625%, 02/27/15 5,953 3,810
--------
6,585
--------
IVORY COAST -- 0.7%
Ivory Coast When Issued FLIRB
2.000%, 03/29/18 2,500 856
--------
MEXICO -- 12.6%
Government of Mexico
9.875%, 01/15/07 15,000 16,350
--------
PANAMA -- 4.7%
Government of Panama IRB
3.750%, 07/17/14 2,750 2,145
8.875%, 09/30/27 4,000 3,940
--------
6,085
--------
PERU -- 5.8%
Republic of Peru FRB
3.250%, 03/07/17 8,250 4,971
Republic of Peru PDI
4.000%, 03/07/17 3,750 2,499
--------
7,470
--------
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
PHILIPPINES -- 1.0%
Government of Philippines
8.750%, 10/07/16 500 $ 472
Government of Philippines
Treasury Bill*
0.000%, 08/14/98 800 808
--------
1,280
--------
POLAND -- 0.5%
Republic of Poland RSTA
3.750%, 10/27/24 1,000 691
--------
RUSSIA -- 19.0%
Russian Government
10.000%, 06/26/07 16,025 14,903
6.719%, 12/15/20 12,150 7,220
Russian IAN FRN
6.719%, 12/02/15 3,500 2,415
Russian IAN FRN PIK*
0.000%, 12/02/15 103 71
--------
24,609
--------
VENEZUELA -- 5.5%
Government of Venezuela
9.250%, 09/15/27 8,000 7,150
--------
Total Foreign Bonds
(Cost $123,809) 125,886
--------
LOAN PARTICIPATION -- 2.4%
MOROCCO -- 2.4%
Morocco R&C Loan FRN
6.656%, 01/01/09 3,500 3,058
--------
Total Loan Participation
(Cost $3,023) 3,058
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) (1) VALUE (000)
- --------------------------------------------------------------------------------
DEBT OPTION -- 0.3%
Government of Brazil
8.00%, 04/15/14
Call, strike 80.6875* 13,000,000 $ 381
--------
Total Debt Option
(Cost $420) 381
--------
Total Investments -- 100.0%
(Cost $127,252) $129,325
========
* 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.
FLIRB -- FRONT LOADED INTEREST REDUCTION BOND
FRB -- FLOATING RATE BOND
FRN -- FLOATING RATE NOTE
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 INDICATED.
ARS -- Argentina Peso
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST-- FEBRUARY 28, 1998
<TABLE>
<CAPTION>
---------------- ------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
---------------- ------------
ASSETS:
<S> <C> <C>
Investment securities
(Cost $393,682 and $127,252, respectively) $394,908 $129,325
Foreign currency (Cost $33) 33 --
Interest receivable 8,004 2,641
Receivable for investment securities sold 14,016 24,507
Receivable for shares of beneficial interest sold 5,132 1,013
Other assets 67 91
-------- --------
Total Assets 422,160 157,577
-------- --------
LIABILITIES:
Payable for investment securities purchased 11,180 2,840
Payable for shares of beneficial interest redeemed 190 237
Payable to affiliates 199 123
Unrealized loss on forward foreign
currency contracts 1,395 --
Other liabilities 222 93
-------- --------
Total Liabilities 13,186 3,293
-------- --------
Net Assets $408,974 $154,284
======== ========
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 38,285,278 and 14,962,964 outstanding
shares of beneficial interest, respectively 410,441 153,145
Accumulated net investment income (loss) (866) 1,932
Accumulated net realized loss on
investments (381) (2,866)
Net unrealized appreciation
on investments 1,226 2,073
Net unrealized depreciation on forward
foreign currency contracts,
foreign currencies and translation of
other assets and liabilities denominated
in foreign currencies (1,446) --
-------- --------
Net Assets $408,974 $154,284
======== ========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 10.68 $ 10.31
======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0. THE
ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
------------- ----------- ------------- -----------
EMERGING INTERNATIONAL EMERGING
INTERNATIONAL MARKETS FIXED MARKETS
EQUITY EQUITY INCOME DEBT (1)
------------- ----------- ------------- -----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $16,018 $ 5,657 $ -- $ --
Interest 2,138 1,253 14,809 5,433
Less: Foreign Taxes Withheld (1,474) (610) (84) --
------- -------- ------- ------
Total Investment Income 16,682 6,300 14,725 5,433
------- -------- ------- ------
EXPENSES:
Management fees 2,975 2,180 1,795 374
Less: management fees waived -- -- (11) (64)
Investment advisory fees 3,338 3,522 898 489
Less: investment advisory fees waived (619) (1,180) (150) (149)
Shareholder servicing fees 1,652 839 748 144
Less: shareholder servicing fees waived -- (192) (540) (127)
Custodian/wire agent fees 466 1,167 144 28
Professional fees 13 18 11 6
Registration & filing fees 113 140 62 48
Printing fees 7 10 9 6
Trustee fees 28 15 12 2
Pricing fees 14 13 13 9
Distribution fees 1 -- -- --
Amortization of deferred organization costs -- 2 6 14
Miscellaneous expenses 12 7 6 1
------- -------- ------- ------
Total Expenses 8,000 6,541 3,003 781
------- -------- ------- ------
NET INVESTMENT INCOME (LOSS) 8,682 (241) 11,722 4,652
------- -------- ------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net realized gain (loss) from:
Security transactions (4,291) (26,146) 2,697 (2,866)
Futures contracts (5,435) -- -- --
Net realized gain (loss) on forward foreign
currency contracts and foreign
currency transactions 4,310 (2,534) (8,722) (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 5,259 9 (2,725) --
Net change in unrealized appreciation
(depreciation) on investments 60,622 (38,411)* 8,742 2,073
------- -------- ------- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $69,147 ($67,323) $11,714 $3,833
======= ======== ======= ======
<FN>
(1) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997.
* NET OF $147,000 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED FEBRUARY 28,
<TABLE>
<CAPTION>
----------------- ------------------ ----------------- ---------
EMERGING INTERNATIONAL EMERGING
INTERNATIONAL MARKETS FIXED MARKETS
EQUITY EQUITY INCOME DEBT (2)
----------------- ------------------ ----------------- ---------
1998 1997 1998 1997 1998 1997 1998
----------------- ------------------ ----------------- ---------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C>
Net investment income (loss) $ 8,682 $ 5,137 $ (241) $ (55) $ 11,722 $ 5,803 $ 4,652
Net realized gain (loss) from investment transactions (9,726) 47,383 (26,146) 331 2,697 2,409 (2,866)
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions 4,310 (531) (2,534) (457) (8,722) (1,329) (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 5,259 81 9 14 (2,725) 710 --
Net change in unrealized appreciation (depreciation)
on investments 60,622 (26,307) (38,411)* 27,462 8,742 (6,069) 2,073
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets from operations 69,147 25,763 (67,323) 27,295 11,714 1,524 3,833
-------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A (13,649) (3,619) (1,039) (297) (2,928) (6,286) (2,694)
Class D (4) (1) -- -- -- -- --
Net realized gains:
Class A (19,564) (37,589) (284) (121) (3,022) (1,238) --
Class D (6) (14) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions (33,223) (41,223) (1,323) (418) (5,950) (7,524) (2,694)
-------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from shares issued in merger -- 150,364 -- -- -- -- --
Proceeds from shares issued 485,986 333,733 421,404 163,899 271,882 146,550 160,754
Reinvestment of cash distributions 25,961 31,663 1,122 383 5,305 6,287 2,651
Cost of shares redeemed (220,367)(277,258) (65,606) (36,866) (78,196) (26,936) (10,260)
Cost of shares redeemed in-kind -- (46,630) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Increase in net assets from
Class A transactions 291,580 191,872 356,920 127,416 198,991 125,901 153,145
-------- -------- -------- -------- -------- -------- --------
Class D:
Proceeds from shares issued 150 183 -- -- -- -- --
Reinvestment of cash distributions 10 15 -- -- -- -- --
Cost of shares redeemed (59) (216) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Increase (decrease) in net assets from
Class D transactions 101 (18) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 291,681 191,854 356,920 127,416 198,991 125,901 153,145
-------- -------- -------- -------- -------- -------- --------
Net increase in net assets 327,605 176,394 288,274 154,293 204,755 119,901 154,284
NET ASSETS:
Beginning of period 524,239 347,845 221,474 67,181 204,219 84,318 --
-------- -------- -------- -------- -------- -------- --------
End of period $851,844 $524,239 $509,748 $221,474 $408,974 $204,219 $154,284
======== ======== ======== ======== ======== ======== ========
(1) CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued in merger -- 14,954 -- -- -- -- --
Shares issued 49,078 32,925 36,760 14,081 25,735 13,451 15,725
Shares issued in lieu of cash distributions 2,802 3,215 112 34 504 570 263
Shares redeemed (22,162) (27,199) (5,763) (3,052) (7,344) (2,464) (1,025)
Shares redeemed in-kind -- (4,462) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Class A transactions 29,718 19,433 31,109 11,063 18,895 11,557 14,963
-------- -------- -------- -------- -------- -------- --------
Class D:
Shares issued 16 18 -- -- -- -- --
Shares issued in lieu of cash distributions 1 1 -- -- -- -- --
Shares redeemed (6) (21) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Class D transactions 11 (2) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Net increase in capital shares 29,729 19,431 31,109 11,063 18,895 11,557 14,963
======== ======== ======== ======== ======== ======== ========
<FN>
(2) EMERGING MARKETS DEBT COMMENCED OPERATIONS ON JUNE 29, 1997.
* NET OF $147,000 CHARGE IN ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED
SECURITIES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
===================================================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE PERIODS ENDED FEBRUARY 28 OR 29,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET ASSET DISTRIBUTIONS DISTRIBUTIONS
VALUE NET NET REALIZED AND FROM NET FROM NET ASSET NET ASSETS
BEGINNING INVESTMENT UNREALIZED INVESTMENT REALIZED CAPITAL RETURN VALUE END TOTAL END OF
OF PERIOD INCOME/(LOSS) GAINS/(LOSSES) INCOME (5) GAINS OF CAPITAL OF PERIOD RETURN PERIOD (000)
- ----------------------------------------------------------------------------------------------------------------------------
- --------------------
INTERNATIONAL EQUITY
- --------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998(6) $ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $ -- $10.15 10.21% $851,542
1997 10.00 0.09 0.47 (0.07) (0.82) -- 9.67 5.70 524,062
1996 9.59 0.14 1.45 (0.19) (0.99) -- 10.00 17.30 347,646
1995 11.00 0.15 (0.97) -- (0.59) -- 9.59 (7.67) 328,503
1994 8.93 0.13 2.05 (0.11) -- -- 11.00 24.44 503,498
1993 9.09 0.16 0.04 (0.36) -- -- 8.93 2.17 178,287
1992 9.56 0.19 (0.36) (0.30) -- -- 9.09 (1.63) 92,456
1991 9.62 0.18 (0.14) -- (0.01) (0.09) 9.56 0.36 35,829
CLASS D
1998(6) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $ -- $10.06 9.92% $ 302
1997 9.93 0.05 0.47 (0.05) (0.82) -- 9.58 5.39 177
1996 9.56 0.04 1.50 (0.18) (0.99) -- 9.93 16.77 199
1995(1) 10.81 0.01 (0.67) -- (0.59) -- 9.56 (6.33)* 51
- -----------------------
EMERGING MARKETS EQUITY
- -----------------------
CLASS A
1998 $12.87 $(0.03) $ (2.25) $(0.03) $(0.01) $ -- $10.55 (17.72)% $509,748
1997 10.93 0.01 1.96 (0.02) (0.01) -- 12.87 18.02 221,474
1996 10.27 (0.02) 0.72 -- (0.04) -- 10.93 6.83 67,181
1995(2) 10.00 0.01 0.26 -- -- -- 10.27 2.70* 5,300
- --------------------------
INTERNATIONAL FIXED INCOME
- --------------------------
CLASS A
1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $ -- $10.68 3.23% $408,974
1997 10.77 0.71 (0.49) (0.38) (0.08) -- 10.53 1.85 204,219
1996 10.42 0.58 0.89 (1.02) (0.10) -- 10.77 13.96 84,318
1995 10.23 0.43 0.40 (0.62) (0.02) -- 10.42 8.43 42,580
1994(3) 10.00 0.14 0.18 (0.09) -- -- 10.23 6.41* 23,678
- ---------------------
EMERGING MARKETS DEBT
- ---------------------
CLASS A
1998(4) $10.00 $ 0.56 $ -- $(0.25) $ -- $ -- $10.31 5.64%* $154,284
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ------------------------------------------------------------------------------------
- --------------------
INTERNATIONAL EQUITY
- --------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C>
1998(6) 1.21% 1.31% 1.30% 1.22% 75% $0.0122
1997 1.28 1.11 1.42 0.97 117 0.0172
1996 1.25 1.29 1.29 1.25 102 n/a
1995 1.19 1.30 1.21 1.28 64 n/a
1994 1.10 1.46 1.24 1.32 19 n/a
1993 1.10 1.80 1.53 1.37 23 n/a
1992 1.10 2.07 1.52 1.65 79 n/a
1991 1.10 3.52 1.64 2.98 14 n/a
CLASS D
1998(6) 1.36% 1.16% 1.45% 1.07% 75% $0.0122
1997 1.55 0.71 1.65 0.61 117 0.0172
1996 1.65 0.58 1.90 0.33 102 n/a
1995(1) 1.47 0.42 1.48 0.41 64 n/a
- -----------------------
EMERGING MARKETS EQUITY
- -----------------------
CLASS A
1998 1.95% (0.12)% 2.36% (0.53)% 76% $0.0019
1997 1.95 (0.04) 2.55 (0.64) 100 0.0004
1996 1.95 (0.23) 2.72 (1.00) 104 n/a
1995(2) 1.95 1.79 4.98 (1.24) -- n/a
- --------------------------
INTERNATIONAL FIXED INCOME
- --------------------------
CLASS A
1998 1.00% 3.92% 1.24% 3.68% 280% n/a
1997 1.00 3.99 1.39 3.60 352 n/a
1996 1.00 4.70 1.27 4.43 269 n/a
1995 1.00 4.68 1.30 4.38 303 n/a
1994(3) 1.00 3.81 1.61 3.20 126 n/a
- ---------------------
EMERGING MARKETS DEBT
- ---------------------
CLASS A
1998(4) 1.35% 8.05% 1.94% 7.46% 269% n/a
<FN>
* 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.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS ONLY REQUIRED FOR EQUITY
FUNDS FOR FISCAL YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 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 Portfolio, the Emerging Markets Equity Portfolio, the
International Fixed Income Portfolio and the Emerging Markets Debt Portfolio
(together the "Portfolios"). 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 Portfolios and Class D shares
of the International Equity Portfolio.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios 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 Portfolio 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 Portfolios 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 Portfolios accrue such taxes when the related income is earned.
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 Portfolios 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 Portfolio may be delayed or limited.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Portfolios 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.
For foreign equity securities, the Portfolios 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 Portfolios do isolate the effect of fluctuations in foreign currency
rates when determining the gain or loss upon sale or maturity of foreign
currency
30
<PAGE>
================================================================================
denominated debt obligations for Federal income tax purposes.
The Portfolios 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 Portfolios 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 Portfolios 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 Portfolios 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 Portfolio utilized futures
contracts during the period ended February 28, 1998. The Portfolio's investment
in these futures contracts is designed to enable the Portfolio 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 Portfolio records a
realized gain or loss equal to the difference between the proceeds from (or cost
of) the closing transaction and the amount invested in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that 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 Portfolios are
charged directly to that Portfolio. Other operating expenses of the Portfolios
are prorated to the Portfolios on the basis of relative net assets.
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, $1,556,000, $1,263,000 and $372,000 was reclassified from
accumulated net realized gain on investments to undistributed net investment
income in the International Equity, Emerging Markets Equity and International
Fixed Income Portfolios, respectively. The Emerging Markets Equity Portfolio
also reclassed and $(349,000) from undistributed net investment income to paid
in capital relating to current year net operating loss. The International Equity
Portfolio reclassed $(37,000) from undistributed net investment income 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:
(000)
----------
International Equity Portfolio $4,310
Emerging Markets Equity Portfolio (2,534)
International Fixed Income Portfolio (8,722)
Emerging Markets Debt Portfolio (26)
These reclassifications have no effect on net assets or net asset value per
share.
OTHER -- Security transactions are accounted 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
Portfolios are accreted and amortized to maturity using the scientific interest
method, which approximates the effective interest method. Dividend income
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
is recognized on the ex-dividend date and interest income is recognized using
the accrual method.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
SEI Fund Management (the "Manager") and the Trust are parties to a management
agreement dated August 30, 1988, under which the Manager provides management,
administrative and shareholder services to the Portfolio for an annual fee equal
to .45% of the average daily net assets of the International Equity Portfolio,
.60% of the average daily net assets of the International Fixed Income
Portfolio, and .65% of the average daily net assets of the Emerging Markets
Equity and Emerging Markets Debt Portfolios. 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 Portfolio.
SEI Investments Management Corporation ("SIMC") acts as the investment
adviser for the International Equity, Emerging Markets Equity and Emerging
Markets Debt Portfolios. Under the Investment Advisory Agreement, SIMC receives
an annual fee of .505% of the average daily net assets of the International
Equity Portfolio, 1.05% of the average daily net assets of the Emerging Markets
Equity Portfolio, and .85% of the average daily net assets of the Emerging
Markets Debt Portfolio.
As of February 28, 1998, pursuant to Sub-Advisory Agreements with SIMC,
Acadian Asset Management, Inc., Farrell Wako Global Investment Management, Inc.,
Lazard London International Investment Management Limited, Seligman Henderson
Co., Yamaichi Capital Management, Inc. and Yamaichi Capital Management
(Singapore) Limited serve as Sub-Advisers to the International Equity Portfolio,
and Parametric Portfolio Associates, Yamaichi Capital Management, Inc., Yamaichi
Capital Management (Singapore) Limited, Montgomery Asset Management, LLC,
Coronation Asset Management (Proprietary) Limited, and Credit Suisse Asset
Management Limited serve as Sub-Advisers to the Emerging Markets Equity
Portfolio. Salomon Brothers Asset Management, Inc. serves as the Sub-Adviser to
the Emerging Markets Debt Portfolio.
Strategic Fixed Income, L.P., the Adviser for the International Fixed
Income Portfolio, is a party to an investment advisory agreement with the Trust
dated June 15, 1993. Under the investment advisory agreement, Strategic Fixed
Income, L.P., receives an annual fee of up to .30% of the average daily net
assets of the Portfolio. Strategic Fixed Income, L.P., 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 Portfolio.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI Investments and a registered broker-dealer, serves as each
Portfolio's distributor pursuant to a distribution agreement with the Trust.
Effective April 15, 1996, the Trust adopted a shareholder servicing plan (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 Portfolio 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 February 28, 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 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 year ended February 28, 1998, the Portfolios paid commissions of
$533,447 to affiliated broker-dealers.
4. ORGANIZATIONAL COSTS
Organizational costs have been capitalized by the Portfolios 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
Portfolio acquired by the Manager are redeemed during the period that the
Portfolio is amortizing its organizational costs, the redemption proceeds
payable to the Manager by the Portfolio will be reduced by an amount equal to a
pro-rata portion of the unamortized organizational costs.
32
<PAGE>
================================================================================
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolios 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 Portfolio'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
February 28, 1998:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
- ------------------- --------------- -------- --------------
INTERNATIONAL FIXED INCOME PORTFOLIO:
- -------------------------------------
FOREIGN CURRENCY SALES:
3/23/98 AD 63,826,410 $ 40,991,927 $(2,331,129)
3/23/98 CD 57,212,615 39,632,587 (584,356)
3/23/98 CH 85,316,053 58,044,162 (313,104)
3/23/98 DK 37,838,598 5,463,258 (16,417)
3/23/98 DM 260,784,958 143,831,525 (131,857)
3/23/98 FF 140,357,732 23,128,079 16,425
3/23/98 IP 7,745,356 10,593,323 39,626
3/23/98 IT 60,421,047,928 33,761,522 (37,287)
3/23/98 JY 13,338,291,680 104,949,698 (1,178,060)
3/23/98 NG 8,561,441 4,176,313 (17,186)
3/23/98 SK 56,029,586 6,960,373 (53,643)
3/3/98-3/23/98 SP 4,263,462,565 27,518,073 (237,697)
3/23/98 UK 52,098,773 84,938,667 (619,114)
------------ -----------
$583,989,507 $(5,463,799)
------------ -----------
FOREIGN CURRENCY PURCHASES:
3/02/98-3/23/98 AD 59,075,574 $ 38,782,634 $ 1,312,676
3/23/98 CD 74,647,080 52,164,991 307,305
3/23/98 CH 71,810,560 49,176,304 (56,967)
3/23/98 DM 414,721,296 229,133,836 (189,702)
3/23/98 FF 122,274,672 20,077,943 56,108
3/23/98 IT 26,775,509,961 15,088,304 (110,405)
3/23/98 JY 18,583,047,249 145,425,036 2,433,265
3/23/98 NG 6,182,544 3,020,000 8,286
3/3/98-3/23/98 SK 39,364,745 4,899,098 28,148
3/23/98 SP 2,139,487,860 13,939,106 (10,509)
3/23/98 UK 28,184,260 45,994,029 290,798
------------ -----------
$617,701,281 $ 4,069,003
============ -----------
$(1,394,796)
===========
CURRENCY LEGEND
AD Australian Dollar IT Italian Lira
CD Canadian Dollar J(Y) Japanese Yen
CH Swiss Franc NG Netherlands Guilder
DK Danish Kroner SK Swedish Krona
DM German Mark SP Spanish Peseta
FF French Franc UK British Pounds Sterling
IP Irish Punts
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 February 28, 1998, were as follows:
PURCHASES SALES
(000) (000)
---------- ----------
International Equity Portfolio $670,294 $464,038
Emerging Markets Equity Portfolio 591,158 241,869
International Fixed Income Portfolio 986,704 757,015
Emerging Markets Debt Portfolio 365,879 234,673
The International Fixed Income and Emerging Markets Debt Portfolios
purchased $174,695,237 and $21,570,335, and sold $149,955,717 and $21,559,719,
respectively in U.S. government securities, during the period ended February 28,
1998.
For Federal income tax purposes, the cost of securities owned at February
28, 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 February 28, 1998 for the Portfolios 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
Portfolio $119,680 $(46,730) $72,950 $ 5,977 $ 66,973
Emerging Markets
Equity Portfolio 45,066 (54,910) (9,844)* 10,807 (20,651)
International Fixed
Income Portfolio 4,429 (3,203) 1,226 1,379 (153)
Emerging Markets Debt
Portfolio 3,640 (1,567) 2,073 -- 2,073
<FN>
*NET OF $147,000 ACCRUED FOREIGN WITHHOLDING TAXES ON APPRECIATED SECURITIES.
</FN>
</TABLE>
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
Subsequent to October 31, 1997, the following Portfolios had recognized net
capital and net foreign currency losses that have been deferred to 1998 for tax
purposes and can be used to offset future capital and foreign currency gains at
February 28, 1999. The Portfolios also had capital loss carry-forwards at
February 28, 1998, that can be used to offset future capital gains.
POST POST CAPITAL LOSS
10/31/97 10/31/97 CARRYOVERS
LOSS DEFERRAL F/X LOSS DEFERRAL EXPIRING 2006
------------- ----------------- -------------
International Equity 14,432,054 -- --
Emerging Markets Equity 9,578,857 970,319 9,258,937
International Fixed Income -- 5,140,052 --
Emerging Markets Debt -- -- 2,274,110
7. FUTURES CONTRACTS
The International Equity Portfolio had futures contracts open as of February 28,
1998:
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS)
- -------------- ----------- ------- ---------- -----------
IBEX 35 Index 9 8,151.50 March 1998 $ 46,486
IBEX 35 Index 36 8,155.50 March 1998 185,008
IBEX 35 Index 2 8,356.00 March 1998 7,675
IBEX 35 Index 1 8,570.00 March 1998 2,448
IBEX 35 Index 1 8,585.00 March 1998 2,350
IBEX 35 Index 20 8,715.00 March 1998 30,127
IBEX 35 Index 22 8,725.00 March 1998 31,711
IBEX 35 Index 4 8,884.00 March 1998 1,636
IBEX 35 Index 5 8,853.00 March 1998 3,052
CAC 40 Index 10 3,033.50 March 1998 130,844
CAC 40 Index 13 3,032.50 March 1998 170,525
CAC 40 Index 14 3,030.50 March 1998 184,561
CAC 40 Index 12 3,034.50 March 1998 156,619
CAC 40 Index 18 3,036.50 March 1998 233,746
CAC 40 Index 2 3,193.00 March 1998 15,691
CAC 40 Index 4 3,178.50 March 1998 33,288
CAC 40 Index 3 3,208.00 March 1998 22,044
CAC 40 Index 3 3,249.00 March 1998 18,005
CAC 40 Index 2 3,235.00 March 1998 12,923
CAC 40 Index 4 3,263.00 March 1998 22,167
CAC 40 Index 6 3,199.00 March 1998 45,862
CAC 40 Index 3 3,289.00 March 1998 14,063
CAC 40 Index 6 3,257.00 March 1998 34,433
CAC 40 Index 2 3,309.00 March 1998 8,062
CAC 40 Index 1 3,267.50 March 1998 5,394
CAC 40 Index 1 3,265.50 March 1998 5,460
CAC 40 Index 1 3,357.00 March 1998 2,454
CAC 40 Index 3 3,416.00 March 1998 1,549
DAX Index 14 4,287.00 March 1998 323,509
DAX Index 10 4,289.00 March 1998 229,976
DAX Index 1 4,565.00 March 1998 7,789
DAX Index 2 4,530.00 March 1998 19,436
DAX Index 1 4,535.00 March 1998 9,442
DAX Index 1 4,569.50 March 1998 7,541
DAX Index 2 4,533.00 March 1998 19,105
DAX Index 1 4,635.00 March 1998 3,932
DAX Index 1 4,601.00 March 1998 5,806
DAX Index 1 4,668.00 March 1998 2,114
DAX Index 2 4,740.00 March 1998 (3,707)
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS)
- -------------- ----------- ------- ---------- -----------
FT-SE 100 Index 16 5,305.00 March 1998 $313,336
FT-SE 100 Index 15 5,303.00 March 1998 294,987
FT-SE 100 Index 9 5,307.00 March 1998 175,510
FT-SE 100 Index 10 5,316.00 March 1998 191,307
FT-SE 100 Index 9 5,319.00 March 1998 171,065
FT-SE 100 Index 5 5,321.00 March 1998 94,624
FT-SE 100 Index 10 5,315.00 March 1998 191,718
FT-SE 100 Index 3 5,618.00 March 1998 20,099
FT-SE 100 Index 5 5,593.00 March 1998 38,643
FT-SE 100 Index 3 5,644.00 March 1998 16,888
FT-SE 100 Index 1 5,605.00 March 1998 7,235
FT-SE 100 Index 1 5,604.00 March 1998 7,276
FT-SE 100 Index 1 5,638.00 March 1998 5,876
FT-SE 100 Index 4 5,610.00 March 1998 28,116
FT-SE 100 Index 4 5,563.00 March 1998 35,854
FT-SE 100 Index 1 5,565.00 March 1998 8,901
FT-SE 100 Index 1 5,565.00 March 1998 8,881
FT-SE 100 Index 1 5,700.00 March 1998 3,324
FT-SE 100 Index 2 5,721.00 March 1998 4,920
FT-SE 100 Index 5 5,728.00 March 1998 10,859
FT-SE 100 Index 3 5,770.00 March 1998 1,329
FT-SE 100 Index 2 5,600.00 March 1998 14,881
FT-SE 100 Index 2 5,755.00 March 1998 2,121
FT-SE 100 Index 4 5,795.00 March 1998 (2,345)
Hang Seng Index 2 10,320.00 March 1998 15,822
Hang Seng Index 19 10,308.00 March 1998 151,779
Hang Seng Index 5 10,301.00 March 1998 40,168
Hang Seng Index 5 10,303.00 March 1998 40,103
Hang Seng Index 8 10,305.00 March 1998 64,062
Hang Seng Index 2 10,400.00 March 1998 14,789
Hang Seng Index 2 10,590.00 March 1998 12,335
Hang Seng Index 1 10,640.00 March 1998 5,844
Hang Seng Index 1 11,130.00 March 1998 2,680
Hang Seng Index 1 11,400.00 March 1998 936
Australia Ords Index2 2,638.00 March 1998 2,098
Australia Ords Index2 2,633.00 March 1998 2,269
Australia Ords Index1 2,637.00 March 1998 1,066
Australia Ords Index10 2,675.00 March 1998 4,190
Australia Ords Index1 2,637.00 March 1998 1,066
Australia Ords Index1 2,566.00 March 1998 2,276
Australia Ords Index3 2,616.00 March 1998 4,272
Australia Ords Index4 2,619.00 March 1998 5,491
Australia Ords Index1 2,572.00 March 1998 2,173
Australia Ords Index1 2,650.00 March 1998 845
Australia Ords Index5 2,672.00 March 1998 2,350
Australia Ords Index2 2,628.00 March 1998 2,439
Australia Ords Index4 2,647.00 March 1998 3,584
Australia Ords Index1 2,714.00 March 1998 (245)
Australia Ords Index2 2,675.00 March 1998 838
Australia Ords Index2 2,662.00 March 1998 1,281
Australia Ords Index2 2,668.00 March 1998 1,076
Australia Ords Index1 2,694.00 March 1998 95
Australia Ords Index1 2,688.00 March 1998 198
Australia Ords Index3 2,690.00 March 1998 491
Australia Ords Index1 2,685.00 March 1998 249
Australia Ords Index1 2,679.00 March 1998 351
Australia Ords Index3 2,655.00 March 1998 2,279
Australia Ords Index1 2,667.00 March 1998 555
Australia Ords Index1 2,651.00 March 1998 828
Australia Ords Index16 2,667.00 March 1998 8,884
Australia Ords Index4 2,698.00 March 1998 109
Australia Ords Index3 2,716.00 March 1998 (838)
34
<PAGE>
================================================================================
CONTRACT NUMBER OF TRADE SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS PRICE MONTH GAIN/(LOSS)
- -------------- ----------- ------- ---------- -----------
Nikkei 225 Index 13 15,000.00 March 1998 $ 103,934
Nikkei 225 Index 28 15,250.00 March 1998 196,153
Nikkei 225 Index 57 14,810.00 March 1998 498,575
Nikkei 225 Index 4 14,800.00 March 1998 35,146
Nikkei 225 Index 3 14,600.00 March 1998 28,734
Nikkei 225 Index 2 14,820.00 March 1998 17,415
Nikkei 225 Index 12 14,950.00 March 1998 98,314
Nikkei 225 Index 19 15,080.00 March 1998 145,888
Nikkei 225 Index 12 16,790.00 March 1998 10,924
Nikkei 225 Index 9 16,770.00 March 1998 8,905
Nikkei 225 Index 3 16,500.00 March 1998 6,174
Nikkei 225 Index 1 16,950.00 March 1998 277
Nikkei 225 Index 1 17,150.00 March 1998 (514)
Nikkei 225 Index 5 17,400.00 March 1998 (7,520)
Nikkei 225 Index 5 17,095.00 March 1998 (1,484)
Nikkei 225 Index 9 17,060.00 March 1998 (1,425)
Nikkei 225 Index 4 17,300.00 March 1998 (4,433)
Nikkei 225 Index 2 17,350.00 March 1998 (2,612)
Nikkei 225 Index 8 17,280.00 March 1998 (8,232)
Nikkei 225 Index 13 17,090.00 March 1998 (3,602)
Nikkei 225 Index 9 16,760.00 March 1998 9,261
Nikkei 225 Index 9 16,625.00 March 1998 14,070
Nikkei 225 Index 13 16,535.00 March 1998 24,954
Nikkei 225 Index 2 16,570.00 March 1998 3,562
Nikkei 225 Index 6 16,575.00 March 1998 10,568
Nikkei 225 Index 8 16,380.00 March 1998 20,264
Nikkei 225 Index 9 16,700.00 March 1998 11,399
----------
$5,312,014
==========
8. CONCENTRATION OF RISKS
Each Portfolio 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 Portfolio 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 Portfolio 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 Portfolio (the "Portfolio") 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 Portfolio 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 Portfolio having a contractual relationship only with the Lender,
not with the sovereign borrower. The Portfolio 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 Portfolio
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 Portfolio will not benefit directly from any collateral
supporting the Loan in which it has purchased the Participation. As a result,
the Portfolio assumes the credit risk of both the borrower and the Lender that
is selling the Participation. The Portfolio may have difficulty disposing of
Participations and Assign-ments 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.
10. SUBSEQUENT EVENTS
Effective March 23, 1998, Scottish Widows Investment Management Limited replaced
Lazard London International Investment Management Limited as sub-advisers for
the International Equity Portfolio. Farrell Wako Global Investment Management,
Inc., and Seligman Henderson Co. were terminated as sub-advisers for the
International Equity Portfolio.
35
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998
To the Shareholders and Trustees
SEI Institutional International Trust
In our opinion, the accompanying statements of net assets and statements of
assets and liabilities, including the schedules of investments, 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
International Equity, Emerging Markets Equity, International Fixed Income, and
Emerging Markets Debt Portfolios (constituting SEI Institutional International
Trust, formerly SEIInternational Trust, hereafter referred to as the "Trust") at
February 28, 1998, and the results of each of their operations, the changes in
each of 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
February 28, 1998 by correspondence with the custodian and brokers and the
application of alternative auditing procedures where securities purchased had
not been received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Philadelphia, PA
April 24, 1998
36
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 (UNAUDITED)
For shareholders that do not have a February 28, 1998 taxable year end, this
notice is for informational purposes only. For shareholders with a February 28,
1998 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended February 28, 1998 the Portfolios of the SEI
Institutional International Trust are designating the following items with
regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B) (C)
LONG TERM MID TERM ORDINARY
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
International Equity 12% 29% 59% 100%
Emerging Markets Equity 0% 21% 79% 100%
International Fixed Income 0% 0% 100% 100%
Emerging Markets Debt 0% 0% 100% 100%
(D)
FOREIGN
PORTFOLIO TAX CREDIT(1)
- ---------- -------------
International Equity 9%
Emerging Markets Equity 0%
International Fixed Income 0%
Emerging Markets Debt 0%
<FN>
(1) See attached notice which details the per share amount of foreign taxes paid
by country and the per share amount of each dividend that represents income
derived from sources within each country.
* Items (A), (B) and (C) are based on the percentage of each fund's total
distribution.
** Item (D) is based on the percentage of ordinary income of each fund.
</FN>
</TABLE>
37
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FEBRUARY 28, 1998 (UNAUDITED)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
The SEI Institutional International Trust -- International Equity Portfolio and
Emerging Markets Equity Portfolio have made an election under Section 853 of the
Internal Revenue Code (the "Code") to provide a foreign tax deduction or credit
to their shareholders for the fiscal year ended February 28, 1998. The
information provided below is pertinent to taxpayers who meet the following two
criteria: 1) file a U.S. Federal Income Tax Return and 2) held shares of the
Portfolio on the dividend record date of December 31, 1997 and satisfy the
applicable requirements of the Code.
The amount per share of income from and foreign taxes paid to each country
is listed in the following schedules:
INTERNATIONAL EQUITY PORTFOLIO
CLASS A CLASS D
GROSS FOREIGN GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID DIVIDEND TAXES PAID
- ---------- -------- ---------- -------- ----------
Australia $0.0118 $0.0003 $0.0015 $0.0003
Austria 0.0007 0.0001 0.0006 0.0001
Belgium 0.0016 0.0003 0.0016 0.0003
Canada 0.0018 0.0003 0.0018 0.0003
Denmark 0.0012 0.0002 0.0012 0.0002
Finland 0.0003 0.0001 0.0003 0.0001
France 0.0169 0.0022 0.0166 0.0022
Germany 0.0078 0.0010 0.0076 0.0010
Great Britain 0.0604 0.0098 0.0593 0.0098
Hong Kong 0.0107 0.0000 0.0105 0.0000
Ireland 0.0002 0.0000 0.0002 0.0000
Italy 0.0045 0.0006 0.0044 0.0006
Japan 0.0181 0.0031 0.0178 0.0031
Malaysia 0.0031 0.0008 0.0031 0.0008
Netherlands 0.0102 0.0017 0.0101 0.0017
Norway 0.0023 0.0004 0.0022 0.0004
New Zealand 0.0005 0.0004 0.0005 0.0004
Singapore 0.0024 0.0006 0.0024 0.0006
Spain 0.0052 0.0009 0.0051 0.0009
Sweden 0.0050 0.0009 0.0050 0.0009
Switzerland 0.0052 0.0009 0.0051 0.0009
United States 0.0001 0.0000 0.0001 0.0000
------- ------- ------- -------
$0.1700 $0.0246 $0.1670 $0.0246
======= ======= ======= =======
38
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
===========================
SEI INSTITUTIONAL
===========================
INTERNATIONAL TRUST
===========================
ANNUAL REPORT
===========================
FEBRUARY 28, 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
Kathryn L. Stanton
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 L.P.
EMERGING MARKETS DEBT PORTFOLIO
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
Price Waterhouse 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>
[SEI LOGO OMITTED]
INVESTMENTS DISTRIBUTION CO.
Oaks, PA
19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-018-07
