ANNUAL REPORT AS OF
SEPTEMBER 30, 2000
SEI INSTITUTIONAL
INTERNATIONAL
TRUST
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International Equity Fund
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Emerging Markets Equity Fund
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International Fixed Income Fund
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Emerging Markets Debt Fund
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SEI Investments Logo Omitted
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
INTERNATIONAL EQUITY FUND...................................... 1
EMERGING MARKETS EQUITY FUND................................... 3
INTERNATIONAL FIXED INCOME FUND .............................. 5
EMERGING MARKETS DEBT FUND..................................... 6
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................................................. 30
NOTES TO FINANCIAL STATEMENTS........................................ 31
REPORT OF INDEPENDENT ACCOUNTANTS.................................... 38
NOTICE TO SHAREHOLDERS............................................... 39
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
INTERNATIONAL EQUITY FUND
OBJECTIVE. The International Equity Fund seeks to provide long-term
capital appreciation by investing primarily in a diversified portfolio of equity
securities of non-U.S. issuers.
STRATEGY. The International Equity Fund invests primarily in common stocks
and other equity securities of foreign companies. The Fund primarily invests in
companies located in developed countries, but may also invest in companies
located in emerging markets. The Fund uses a multi-manager approach, relying
upon a number of Sub-Advisers with differing investment philosophies to manage a
portion of the Fund's portfolio under the general supervision of SEIInvestments
Management Corporation ("SIMC"). The Fund is diversified as to issuers, market
capitalization, industry and country.
ANALYSIS. One may describe the non-U.S. developed equity markets during
the year ended September 30, 2000 as extraordinary. Extraordinary in terms of
intra-period performance and volatility, as well as divergent returns between
the relatively nascent industries and the older more mature industries.
The non-U.S. developed equity markets registered strong returns during the first
half of the period, benefiting from growing interest by investors for high
technology and telecommunications stocks as these sectors were seen as the major
growth areas in the longer-term. The large number of cross-border mergers,
particularly in Europe, resumed during this earlier period as well. The later
part was marked by a sell-off in high-technology, media and telecom (TMT) stocks
as investors grew concerned about valuations and the rising interest rates
environment. As summer came into full swing, the equity markets continued to
trend down, with some of the decline coming from earnings shortfalls or downward
guidance on future growth. Slight disappointments were met with significant
market consequences.
The non-U.S. developed equity markets finished the 12-month period ended
September 30, 2000 in positive territory. Performance of the 17 equity markets
included in the index was mixed, with 11 of them ahead and 6
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INTERNATIONAL EQUITY
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Institutional 4.15% 9.42% 9.74% 8.93% 6.52%
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Class D,
Synthetic 4.04% 9.29% 9.50% 8.75% 8.01%*
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Class D,
Synthetic,
w/load -1.16% 7.43% 8.38% 8.20% 7.14%*
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*ACTUAL, NOT SYNTHETIC
COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI
INTERNATIONAL EQUITY FUND, CLASS A OR CLASS D, SYNTHETIC W/LOAD, VERSUS THE
MORGAN STANLEY MSCI EAFE INDEX
[Line Graph Omitted]
Plot Points are as follows:
SEI SEI
INTERNATIONAL INTERNATIONAL
EQUITY FUND, EQUITY FUND, MORGAN STANLEY
CLASS A CLASS D MSCI EAFE INDEX
9/30/90 100,000 95,000 100,000
9/30/91 112,760 107,120 121,890
9/31/92 110,560 105,030 113,210
9/30/93 133,370 126,700 143,040
9/30/94 141,800 134,470 157,120
9/30/95 147,810 139,960 166,230
9/30/96 162,370 152,860 180,560
9/30/97 179,520 168,420 202,570
9/30/98 163,810 153,460 185,680
9/30/99 225,830 211,300 243,140
9/30/00 235,200 219,840 250,870
1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. 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
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.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
weaker. Of the 23 industry groupings, 12 posted gains including the TMT,
pharmaceuticals and diversified financial sectors. In keeping with the market,
the fund posted gains and outpaced it benchmark.
The Fund's growth oriented managers outperformed over the period. The
strong performance was generated by their thematic positioning in
telecommunications and technology-oriented stocks, which benefited from strong
sales growth and market penetration. Holdings such as Ericsson in Sweden,
Philips Electronics in the Netherlands, Alcatel in France and Mannesmann Ag in
Germany were plays on these themes and added significant value.
Within Japan, the portfolio also benefited from the global
telecommunications and technology theme, with such holdings as Murata
Manufacturing, Tokyo Electronics and Nippon Telephone and Telegraph. Outside of
Japan, the portfolio remained relatively country neutral to the benchmark in
Hong Kong, Singapore and New Zealand. The focus in these markets were banking,
electronics and telecommunications stocks, including Hutchison Whampoa, a
diversified financial company in Hong Kong, and Singapore Telecom
Communications.
The value manager's exposure to deep value oriented stocks such as ENI in
Italy, RWE in Germany and Honda Motor in Japan detracted from performance during
the TMT-led market surge of the earlier months.However, the manager's deep value
orientation has proven over time to add significant value, which was the case
during the later part of the year. Shares such as Deutsche Bank, Royal Bank of
Scotland, Furukawa Electric and Cathay Pacific Airways helped the fund's
performance in the final months.
The Fund managers currently believe that the economy in Europe appears
healthy despite pockets of concern and the potential for somewhat slower growth.
In Japan, they believe that the economy continues to show signs of improvement,
but has yet to reach a self-sustaining recovery.
Going forward, the fund is well positioned to capitalize on restructuring
efforts in globally competitive sectors. The Fund's managers believe that it
will be those companies with executable business models that will excel no
matter which industry or country they reside in. Exposure to high quality
telecom and technology shares is fueled by their continued view of the
industries' long-term growth potential. Within the telecom sector, the managers
favor the wireless companies over the incumbent carriers as they are comfortable
with the long-term thesis of wireless as a business.
The Fund is well positioned to take advantage of many of the trends that
likely will drive returns in the future. However, it is doing so in a risk
controlled manner. The Fund was structured with five specialist investment
managers, each investing within a specific area of the market and with a unique
investment process. The Fund's structure guarantees that it will remain well
diversified, with no single region, country, industry or stock dominating.
2
<PAGE>
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EMERGING MARKETS EQUITY FUND
OBJECTIVE. The Emerging Markets Equity Fund seeks to provide capital
appreciation by investing primarily in a diversified portfolio of equity
securities of emerging market issuers.
STRATEGY. The Fund employs five specialist money managers focusing on
regions across Latin America, Asia, emerging Europe, Middle East & Africa, and
global emerging markets. The managers specializing in Latin America, Asia and
emerging Europe, Middle East & Africa focus on both bottom up fundamental
company analysis and top down country allocation. Each global emerging markets
manager is focused on a specific style across all emerging market regions. Most
recently the structure has been enhanced with the addition of a global emerging
Value manager to complement the existing Growth and Core managers.
ANALYSIS. For the year ended September 30, 2000, the Emerging Markets
Equity Fund returned 0.71%, outperforming the IFCInvestable Composite Index by
0.3%. All regional and global emerging managers outperformed their respective
benchmarks for the period. The Fund's outperformance relative to its benchmark
was driven by a combination of positive stock selection and country allocation.
During the first part of the year, performance in Emerging Markets
benefited from improving macro fundamentals, corporate restructuring, global
liquidity and a pick up in global economic growth. During 1999, countries like
Korea, Taiwan, Brazil, Mexico, Russia, and Turkey strengthened their efforts to
improve fiscal and monetary policies. These macroeconomic improvements along
with ongoing corporate restructuring were the catalysts for domestic growth and
acceleration of earnings. This benign environment for Emerging Markets was
reinforced by an increase in liquidity and a pick up in global economic growth
following a series of interest rate cuts in the U.S. The Fund benefited from
those trends by being positioned in stocks like Embratel -- a long distance
carrier in Brazil, Grupo Financiero Banamex Accive -- a leading bank in Mexico
and Samsung Electronics -- a semiconductors and electronics manufacturer in
Korea. Even though these stocks were brought into the Fund by different
managers, the common denominator was the soundness of their balance sheets,
strong fundamentals, and prospects for growth.
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EMERGING MARKETS 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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Emerging Markets
Equity -- Class A 0.71% -10.16% -2.92% -1.26%
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COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI EMERGING
MARKETS EQUITY FUND, VERSUS THE IFC INVESTABLE COMPOSITE INDEX
[Line Graph Omitted]
Plot Points are as follows:
SEI MORGAN STANLEY IFC
EMERGING MARKETS MSCI EMERGING INVESTIBLE
EQUITY FUND, MARKETS COMPOSITE
CLASS A FREE INDEX INDEX
1/31/95 100,000 100,000 100,000
9/30/95 106,510 107,550 106,690
9/30/96 114,640 113,160 115,920
9/30/97 126,620 120,600 122,070
9/30/98 61,500 62,950 64,960
9/30/99 91,160 98,530 101,710
9/30/00 91,810 98,930 101,020
1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING JANUARY 17, 1995.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
Later during the fiscal year, performance in the emerging markets suffered
significantly as a series of internal and external factors affected the asset
class. First, the sell off in global Technology and Telecom sectors that started
in March 2000 and continued into the second and third quarter of 2000 had a
profound effect on emerging markets. As some emerging markets evolved, countries
like India, Korea, and Taiwan have become more integrated into global industry
groups. For example, India has become a leading provider of software solutions,
while Korea and Taiwan are global players in semiconductors and electronic
components. In the case of the Telecom industry, fixed line and cellular
providers represent a significant portion of the equity market in countries like
Brazil, Mexico, China and Korea. These stocks sold off as investors speculated
that some of the industry trends (e.g. cost of licenses, new technologies) that
are affecting the competitive environment in the developed world would also
affect profitability of telecom stocks in emerging markets.
On a more macro level, fears of higher interest rates, concerns over a
hard landing of the U.S. economy, and the strength in oil prices put additional
pressure on the asset class. The negative effect was magnified since the
emerging markets as a whole are dependent on foreign capital and their growth is
highly leveraged to global economic growth.
Latin America outperformed the other regions thanks to improvements in
macro fundamentals in Brazil and the upgrade of Mexico's credit standing. Russia
stood out in terms of performance as the country's political and economic
environment continued to improve, and the equity market benefited from the
strength in oil prices. The Fund benefited during this period thanks to an
overweight position to Brazil and Mexico, and its focus on energy stocks in
Russia. The Fund also took advantage of an overweight position to the energy
sector in Brazil and China through its holdings in Petrobras and PetroChina
respectively.
Stock selection in Asia accounted for most of the poor performance during
recent months. In particular, stocks in India, Korea, and Taiwan accounted for
most of the losses. In the case of India, the high correlation with NASDAQ and
the large component of technology companies in that market drove the sell off.
Stocks like Infosys Technologies, a low cost provider of software development
that was among the best performing stocks in 1999, led the decline in the recent
period. In Taiwan and Korea, Taiwan Semiconductors and Samsung Electronics sold
off as investors became more concerned about the semiconductor cycle and slowing
PC sales in the U.S. and Europe. Our managers maintained their overweight
position in these blue chip Asian companies based on their fundamental
assessment, growth prospects, and attractive valuations.
The Fund is well positioned to take advantage of many of the trends that
will be driving returns in the emerging markets going forward. But it is doing
so in a risk controlled fashion. The Fund has been structured with six
specialist investment managers, each investing within a specific area of the
market and with a unique investment process. The Fund's structure guarantees
that it will remain well diversified, with no single region, country, stock or
style dominating.
4
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INTERNATIONAL FIXED
INCOME FUND
OBJECTIVE. The International Fixed Income Fund seeks to provide capital
appreciation and current income through investments primarily in
investment-grade, non-U.S. dollar denominated government, corporate,
mortgage-backed and asset-backed fixed income securities.
STRATEGY. Fund construction entails a two-stage process which combines
fundamental macroeconomic analysis and technical price analysis. First, a
fundamental judgment is made about the direction of a market's interest rates
and its currency. A technical price overlay is then applied to the fundamental
position to ensure that the Fund is not substantially overweighted in a
declining market or underweighted in a rising one.
Country and currency allocations are made separately. As a result, the
Fund's currency exposure may differ from its underlying bond holdings. Under
normal circumstances, the Fund will generally be diversified across 6 to 12
countries with continual exposure to the three major trading blocs: North
America, Europe, and the Pacific Basin. Depending upon the relative fundamental
and technical views, each trading bloc is over or underweighted relative to the
Fund's benchmark index. Currency exposure is actively managed to maximize return
and control risk through the use of forward currency contracts and
cross-currency hedging techniques.
ANALYSIS: For the fiscal year ended September 30, 2000, the SEI
International Fixed Income Fund returned -9.58% to underperform the Salomon
Brothers Non-U.S. World Government Bond Index return of -7.59%. The Fund's
positioning in the yen, underweight to long maturing U.K. government bonds, and
modest positions in the investment-grade debt of Poland drove underperformance.
The Fund's underweight to the euro and underweight to Japanese bonds served to
mitigate underperformance for the fiscal year-end.
The euro fell more than 17% versus the U.S. dollar during the fiscal year
due to significant growth differentials between the U.S. and Europe, the lack of
a clear policy on the euro from the European Central Bank ("ECB"), and strong
fund flows out of Europe and into the U.S. Although the Euro-zone economy
expanded at a respectable 3% annualized clip
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INTERNATIONAL FIXED INCOME
-------------------------------------------------------------------------------
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 -9.58% 0.10% 0.99% 4.12%
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COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE
SEI INTERNATIONAL FIXED INCOME FUND, VERSUS THE SALOMON WGBI, NON-U.S.
[Line Graph Omitted]
Plot Points are as follows:
SEI
INTERNATIONAL SALOMON
FIXED INCOME WGBI,
FUND, CLASS A NON-US
9/30/93 100,000 100,000
9/30/94 103,330 105,570
9/30/95 123,850 124,340
9/30/96 128,220 129,360
9/30/97 129,710 128,260
9/30/98 145,890 141,540
9/30/99 143,900 143,680
9/30/00 130,120 132,380
1 FOR THE PERIOD ENDED SEPTEMBER 30, 2000. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 1, 1993.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
during the period, it still paled in comparison to the U.S. expansion of
5%. The politicians and ECB gave the market mixed signals on its currency
policy, which weakened investors' confidence in the currency. At times ECB
members claimed the euro was undervalued, while different members and
politicians claimed that a weak euro benefited exporters and was actually
desirable. Towards the end of the period, the ECB convinced the other major
central banks to intervene in the currency markets to support the euro. While it
did provide a short-term boost, it did not have a lasting impact. The Fund's
underweight to the euro through most of the period enhanced relative
performance, although the Fund gave back some of its relative gains during the
intervention. The ECB hiked overnight interest rates a total of 200 basis points
for the period in an effort to curb inflation, which ended the period above the
self-imposed ceiling of 2%. Higher oil prices and a weak euro boosted the
inflation rate. At the same time, the difference between long and short-term
rates within the Euro-zone narrowed due primarily to technical factors.
Investors concluded that the German government would use the windfall from the
auction of third-generation mobile phone licenses to pay down long-term debt,
firming prices in the long maturity bond sector. The Fund's yield curve
positioning in the Euro-zone which emphasized long-dated bonds enhanced
performance. Polish bonds underperformed relative to German bonds as consumer
prices and the country's current account deficit both rose faster than expected
due largely to higher oil prices. A modest tactical exposure to the country
detracted from results.
The U.K. also experienced a yield curve flattening as it also raised a
large amount of cash from auctioning mobile phone licenses. In addition, strong
demand for long-dated assets to match pension liabilities caused an inversion in
the yield curve where long-term rates ended the period more than 1% lower than
short-term rates. The Fund's underweight to the long-end of the British yield
curve detracted from relative performance.
The Japanese yen ended the period down only 1% versus the U.S. dollar
despite the Bank of Japan's repeated interventions in the currency markets in an
effort to weaken the currency. The yen was underpinned by signs of economic
growth following years of stagnation, a rise in the Japanese equity markets, and
indications that the government would continue to spend money to further the
recovery. The Fund's positioning in the yen detracted from performance overall,
particularly during times of central bank intervention to weaken the yen when
the Fund was overweight the currency. The economic recovery led the Bank of
Japan to raise interest rates for the first time in ten years, which dampened
the performance of Japanese bonds. An underweight to Japanese bonds enhanced
relative performance.
EMERGING MARKETS DEBT FUND
OBJECTIVE. The Emerging Markets Debt Fund seeks to maximize total return
from a portfolio consisting of primarily high yield, below-investment grade
fixed income securities from emerging market countries.
6
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STRATEGY. Structuring and managing the Fund entails a multi-step process.
First, an internal assessment of country risk is compared with the market's
pricing of country risk to determine relative value opportunities. The output
determines which countries are 1) "core" holdings which have the strongest
economic/ political/debt attributes, 2) "trading" countries which present more
opportunistic value, and 3) countries "not currently suitable" for investment.
Under normal circumstances, the Fund will be diversified across 10-15 countries.
The next step in the process determines relative value amongst sectors
within a country, and security selection within the sectors. The final step
incorporates a disciplined sell process through continual risk/reward analysis
across, and within, emerging debt countries. U.S. interest-rate risk relative to
the benchmark is controlled through the maintenance of a tightly constrained
U.S. Treasury duration. Excess return is captured through active management of
the sovereign spread component relative to the benchmark.
ANALYSIS: The Emerging Markets Debt Fund returned 28.07% on a net basis
for the fiscal year ended September 30, 2000, essentially matching the JP Morgan
Emerging Markets Bond Index Plus return of 28.04%. The overall longer spread
duration of the Fund, complimented by the Fund's overweight to, and issue
selection in, Russia, were the largest positive contributors to return. In
addition, an underweight to, and issue selection in, Argentina also added to
return. However, an underweight to Ecuador, and an overweight to both Peru and
Colombia dampened performance. Issue selection in Ecuador also did not benefit
overall Fund results.
Emerging market debt turned in a stellar year as most emerging countries
continued to strengthen their fiscal and economic postures. The ongoing effort
by many emerging countries to reduce their debt servicing profiles through Brady
bond buyback plans, such as in Brazil and Venezuela, was a key variable that
added to the strength of the market. The climb in oil prices was viewed as
favorable by investors as oil-exporting countries benefited, and were able to
increase reserves. Russia, Venezuela, Algeria, and Mexico were among some of the
emerging countries that reaped the benefit of escalating oil prices. Russia and
Ecuador's successful debt restructurings and debt exchanges made these two
countries the best performing countries for the year returning approximately
146% and 94%, respectively. The ability for these two countries to restructure
and swap existing debt bolstered investor confidence, and thus the countries'
bonds rallied. Strong investor demand also helped returns. However, not all
emerging countries benefited from strong momentum in the market. Political
turbulence in countries such as Peru, the Ivory Coast, and Argentina, in
addition to fiscal year-end concern over the impact of higher oil prices on
global inflation, and profit taking by investors all contributed to some market
volatility. Emerging market spreads narrowed 345 basis points from the
comparable 1999 period, and ended the year at 632 basis points. In the wake of
the market's spread narrowing, the Fund's overall longer spread duration greatly
enhanced return.
By far, Russia was the best performing country for the period. Improving
fundamentals and successful reforms enacted by new President Putin continued to
support bond prices and narrower spreads. The surprise
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
resignation of President Boris Yeltsin at the end of 1999, and succession
and election of Vladimir Putin removed the uncertainty surrounding the change in
political control originally slated to occur in July 2000. The other key event
in Russia was the restructuring agreement with the London Club of bank creditors
and the country on its defaulted Soviet-era debt. During the year, Russia
successfully exchanged its defaulted debt for new global bonds. As a result of
the debt restructuring, S&P raised its rating on Russia. High oil prices and
Russia's ability to increase reserves and collect revenues also aided the
country's returns. The Fund's overweight to Russia was the largest positive
contributor to performance for the fiscal year.
Returns in Argentina continued to lag the overall market as the country
did not show promising signs of economic improvement during the year. Political
uncertainty and the country's large looming financing needs for the year 2000
also negatively impacted returns. Investors were very quick to shun any positive
news from the country. The outlook that deterioration would continue remained
present throughout the period, and therefore, the Fund's underweight benefited
overall return. In addition, an overweight to less liquid Argentinean bonds and
peso-denominated debt, coupled by a bulleted yield curve positioning, enhanced
performance.
Ecuador was one of the top performing countries for the period returning
in excess of 90%. The country completed a debt swap and replaced $6.5 billion in
defaulted debt for new government bonds. After the debt exchange, S&P upgraded
Ecuador and the new bonds received in the exchange rallied significantly.
In addition, Ecuador reached an agreement with Paris Club creditors that will
allow Ecuador to delay some US$880 million in debt arrears until April 2001.
Ecuador owes the Paris Club US$1.3 billion in capital and overdue interest,
after defaulting on repayment in 1996. This rescheduling is expected to allow
Ecuador to satisfy its financing requirements for the year 2000. As a result of
these favorable events, Ecuador's bonds rallied significantly and sustained
momentum. The Fund participated in the debt swap, but an underweight took away
from return. The Fund will continue to maintain its underweight on the outlook
that Ecuador still has many long-term reforms to make.
Political turmoil and a missed scheduled September 2000 interest payment
drove down Peru's returns, and Peru was one of the worst performing countries
for the fiscal year. On the political front, news that President Fujimori's
intelligence advisor, Montesinos, was caught on video making a bribe payment to
a Congressman to switch to President Fujimori's party rattled investors. After
this incident was revealed, Fujimori announced that new elections would be held
and that he would not run. Then an unexpected trip by Fujimori to meet with the
president of the Organization of American States (OAS) and the U.S. Secretary of
State, Madeline Albright, to secure international support during the transition
period further served to concern investors. In addition to the political unrest,
Peru opted not to make a scheduled interest payment on its Brady bond debt
because of its involvement in a legal dispute with Elliot Associates, a U.S.
investment firm. Elliot Associates sued Peru in 1994 for
8
<PAGE>
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full payment on it's pre-Brady debt and had recently been awarded a damage
payment, and thus indicated that it would seize the September interest payment
before it got to bondholders. Moody's downgraded the country's Brady bonds from
Ba3 to B1 as a result of the missed interest payment. (Peru settled its
litigation with Elliot Associates and made its Brady bond interest payment in
October 2000, within the 30-day grace period, and was consequently upgraded by
Moody's.) Throughout this dispute, there was no concern over Peru's ability or
willingness to make its coupon payment. The Fund maintained an overweight to
Peru based on the outlook that the country offered relative value. However, this
overweight did little for return during the period.
Colombia's return trailed the market as deteriorating fundamentals and
continued uncertainty over the political regime negatively impacted the
country's return. During the year, launches by left-winged guerrilla groups
against the government, and government restructurings were viewed as unfavorable
by investors. In addition, delayed passage of privatizations and pending reforms
also weighed down Columbia's return. For the period, the Fund maintained an
overweight to Columbia and this dampened return. However, amid continued
political uncertainty, and the outlook that political volatility would not ease
in the very near-term, the Fund strategically reduced its overweight.
Given the outlook that fundamentals will continue to improve for most
emerging market debt countries, and that increased demand for emerging market
debt will be sustained, the Fund will continue to maintain a slightly longer
spread duration and invest in those countries that exhibit the ability to
service their debt.
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EMERGING MARKETS DEBT
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
One Year Annualized Annualized Inception
Return 3 Year Return to Date
--------------------------------------------------------------------------------
Class A 28.07% 3.44% 5.07%
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COMPARISON OF CHANGE IN THE VALUE OF A $100,000 INVESTMENT IN THE SEI EMERGING
MARKETS DEBT FUND, VERSUS THE J.P. MORGAN EMBI PLUS INDEX.
[Line Graph Omitted]
Plot Points are as follows:
SEI EMERGING J.P. MORGAN
MARKETS DEBT FUND EMBI PLUS
6/30/97 100,000 100,000
9/30/97 106,200 106,910
9/30/98 69,980 79,860
9/30/99 91,780 98,230
9/30/00 117,550 125,760
1 For the period ended September 30, 2000. Past performance is no indication of
future performance. Class A Shares were offered beginning June 29, 1997.
9
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
INTERNATIONAL
EQUITY FUND
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 92.8%
AUSTRALIA -- 1.5%
AMP 91,200 $ 810
Aristocrat Leisure 206,027 736
Australia & New Zealand
Bank Group 350,000 2,517
Australia Gas & Light Company 101,600 563
Broken Hill Proprietary 812,990 8,432
Broken Hill Proprietary ADR 27,300 560
Cable & Wireless Optus* 820,000 1,779
Commonwealth Bank of Australia 176,617 2,640
Erg 89,800 430
F.H. Faulding & Company 145,900 756
Lang 134,600 655
Lend Lease 258,046 2,907
Macquarie Corporate Telecom 446,261 447
Macquarie Bank 49,116 747
National Australia Bank 112,472 1,554
News Corporation 629,026 8,858
Primary Health Care 189,316 549
Rio Tinto 117,195 1,571
Solution 6 Holdings* 78,257 92
Telstra 964,281 3,154
Westpac Banking 822,027 5,676
WMC 76,900 317
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45,750
----------
BELGIUM -- 1.2%
Fortis, Series B 1,110,584 34,156
----------
BRAZIL -- 0.4%
Embratel Participacoes ADR 645,169 11,936
----------
CANADA -- 1.8%
Bank of Nova Scotia 146,800 4,269
Bombardier 340,000 5,885
Bombardier, Series B 74,800 1,293
Clarica Life Insurance 59,000 1,412
Mitel* 72,000 1,436
Nortel Networks 481,394 28,907
Suncor Energy 89,000 1,964
Thomson 155,900 6,165
Toronto-Dominion Bank 81,000 2,380
----------
53,711
----------
DENMARK -- 0.1%
Den Danske Bank 21,190 2,692
----------
FINLAND -- 1.9%
Nokia OYJ 830,400 33,651
Nordic Baltic Holdings 2,480,890 17,559
UPM-Kymmene 231,200 5,911
----------
57,121
----------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
FRANCE -- 9.8%
Accor 20,000 $ 742
Alcatel 472,974 30,261
Aventis 416,419 31,237
Aventis 187,083 13,901
AXA UAP 146,705 19,161
Bouygues 138,060 6,957
Canal Plus 77,800 11,651
Castorama Dubois 63,621 14,036
Christian Dior 32,000 1,724
Compagnie de Saint Gobain 83,430 10,492
Groupe Danone 26,000 3,570
Louis Vuitton Moet Hennessy 126,700 9,566
Michelin, Series B 80,200 2,229
Pechiney, Series A 98,500 3,938
Peugeot 150,147 26,673
Sanofi-Synthelabo 127,640 6,860
Schneider Electric 34,921 2,200
Societe BIC 50,000 1,870
Societe Television Francaise 1 112,000 6,425
STMicroelectronics 219,000 10,736
Suez Lyonnaise-Strip VVPR 2,200 --
Total Fina, Series B 367,943 53,837
Usinor Sacilor 513,525 4,663
Vivendi 224,314 16,668
----------
289,397
----------
GERMANY -- 6.0%
Aixtron 22,700 2,845
Allianz 41,084 13,469
Bayerische Motoren Werke 140,260 4,790
Commerzbank 353,250 10,475
DaimlerChrysler 21,000 936
Depfa Deutsche Pfandbriefban 26,900 2,185
Deutsche Bank 590,237 48,963
Deutsche Telekom 183,882 6,313
Dresdner Bank 40,000 1,742
Epcos 28,200 2,290
Infineon Technology* 135,000 6,487
Infineon Technology ADR* 90,100 4,280
Intershop Communications* 28,000 1,824
Lufthansa 57,915 1,183
Mannesmann 142,100 3,724
Metro 40,500 1,658
Muenchener Rueckversicherungs
Registered 77,412 23,023
Siemens 196,264 25,244
Thyssen Krupp 21,900 294
Veba 297,500 15,333
----------
177,058
----------
GREECE -- 0.0%
Hellenic Bottling 78,860 1,024
----------
10
<PAGE>
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
HONG KONG -- 2.9%
Automated Systems Holdings 880,000 $ 372
Cathay Pacific Airways 6,965,000 12,774
Cheung Kong Holdings 455,000 5,500
China Telecom (Hong Kong)* 2,175,500 14,439
China Unicom* 6,044,000 13,527
Citic Pacific 186,000 802
CLP Holdings 117,000 525
Hang Seng Bank 212,600 2,290
HSBC Holdings 172,200 2,407
Hutchison Whampoa 950,400 12,616
Johnson Electric Holdings 1,600,000 3,437
Legend Holdings 1,132,000 1,074
Li & Fung 600,000 1,266
Pacific Century Cyberworks* 1,670,475 1,885
Peregrine Investment
Holdings* (1) 526,000 --
Sun Hung Kai Properties 822,000 7,749
Swire Pacific, Series A 587,000 3,659
Tan Chong International 1,427,000 201
Wharf Holdings 406,000 831
----------
85,354
----------
IRELAND -- 0.2%
Allied Irish Banks 225,000 2,426
CRH 216,857 3,452
----------
5,878
----------
ITALY -- 4.4%
Assicurazioni Generali 73,500 2,364
Banca Nazionale Del Lavoro 3,463,001 11,674
Banca Popolare di Milano 136,600 847
ENI 7,597,554 40,229
Fiat 45,000 1,049
Gucci Group ADR 155,073 15,643
Ifil* 128,175 1,007
Italcementi* 174,252 1,442
Mediaset 1,106,199 16,479
Olivetti 277,400 764
Riunione Adriatica di Sicurta 183,100 2,408
Telecom Italia 859,800 4,689
Telecom Italia Mobile 3,411,567 27,578
Telecom Italia Mobile RNC 862,400 4,103
----------
130,276
----------
JAPAN -- 24.1%
Advantest 45,000 7,071
Aiful 54,050 5,202
Ajinomoto 204,000 2,284
Alps Electric 72,000 1,572
Asahi Glass 143,000 1,462
Autobacs Seven 53,400 1,547
Bank of Tokyo-Mitsubishi 502,000 5,932
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
Canon 125,000 $ 5,541
Chudenko 123,000 1,429
Chugai Pharmaceutical 246,000 4,469
Chuo Mitsui Trust & Banking 369,000 1,298
Dai Ichi Pharmaceutical 237,000 6,020
Dai Nippon Printing 192,000 2,852
Daito Trust Construction 213,000 3,448
Daiwa House Industry 650,887 4,548
Daiwa Securities Group 85,000 997
DDI 839 5,513
Denso 128,000 2,979
East Japan Railway 728 4,049
Ebara 98,000 1,496
Fanuc 34,000 3,760
Fast Retailing 4,500 916
Fast Retailing (New)* 4,500 908
Fuji Photo Film 227,000 7,604
Fuji Soft ABC 29,800 2,043
Fujitsu 853,000 19,813
Fujitsu Support and Service 9,900 1,181
Furukawa Electric 853,000 23,563
Hirose Electric 36,600 4,776
Hitachi 835,000 9,690
Honda Motor 523,000 19,263
Isetan 125,000 1,072
Itochu* 903,000 4,187
ItoYokado 35,000 1,824
Japan Airlines 1,291,000 4,886
Japan Energy* 764,000 884
Jusco 189,000 3,481
Kao 72,000 1,966
Keyence 13,500 4,672
Kirin Brewery 136,000 1,397
Kokusai Securities 63,000 697
Kuraray 109,000 1,055
Kyocera 13,000 1,985
Matsushita Communications 80,500 10,884
Matsushita Electric 683,000 17,887
Minebea 189,000 2,213
Mitsubishi 540,000 4,348
Mitsubishi Electric 725,000 6,005
Mitsubishi Estate 219,000 2,282
Mitsubishi Heavy Industries 1,848,000 7,319
Mitsubishi Motors* 1,199,000 3,684
Mitsui & Company 300,000 1,874
Mitsui Chemicals 207,000 921
Mitsui Fudosan Real Estate 140,000 1,754
Mitsui Mining & Smelting 215,000 1,870
Mizuho Holdings* 2,587 21,307
Murata Manufacturing 157,300 21,690
NEC 765,000 17,380
Net One Systems 91 2,585
NGK Insulators 130,000 1,865
Nichicon 84,000 2,033
11
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
INTERNATIONAL
EQUITY FUND--CONTINUED
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Nidec 23,600 $ 1,867
Nikko Securities 90,000 800
Nikon 434,000 8,756
Nintendo 41,100 7,504
Nippon Meat Packers 177,000 2,427
Nippon Paper Industries 491,000 3,003
Nippon Sheet Glass 160,000 2,569
Nippon Shinpan 702,000 1,423
Nippon Steel 655,000 1,164
Nippon Telegraph & Telephone 4,937 48,429
Nippon Television Network 2,910 1,672
Nippon Yusen Kabushiki Kaishi 502,000 2,546
Nissan Motors* 848,000 4,865
Nomura Securities 627,000 13,635
NSK 253,000 1,800
NTT Docomo 1,567 44,954
Obic 2,300 819
Ono Pharmaceutical 53,000 2,178
Orix 33,200 3,970
Pioneer 64,000 2,606
Rohm 98,600 27,018
Ryohin Keikaku 39,000 3,068
Sakura Bank 3,853,000 28,739
Sankyo 300,000 6,677
Sanwa Bank 368,000 3,276
Secom 41,000 3,297
Sekisui House 415,000 4,013
Sharp 162,000 2,507
Shimamura 25,600 1,973
Shin Etsu Chemical 60,000 2,526
Shionogi 223,000 4,158
Shiseido 152,000 1,888
Skylark 33,000 1,188
SMC 13,400 2,251
Softbank 32,400 3,028
Sony 265,200 26,898
Sumitomo Bank 118,000 1,496
Sumitomo Chemical 430,000 2,141
Sumitomo Electric Industries 264,000 4,556
Sumitomo Forestry 245,000 1,759
Sumitomo Marine & Fire 400,000 2,373
Sumitomo Realty & Development 39,000 204
Suzuki Motor 56,000 582
Taisho Pharmaceutical 91,000 2,813
Taiyo Yuden 79,000 4,050
Takeda Chemical Industries 120,000 7,929
Takefuji 211,000 23,236
Teijin 385,000 1,603
THK 31,000 1,205
Tokai Bank 309,000 1,570
Tokio Marine & Fire Insurance 238,000 2,379
Tokyo Electronics 172,000 15,599
Tokyo Gas 1,106,000 2,937
Tokyo Seimitsu 27,900 2,918
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Toppan Printing 551,000 $ 5,328
Toray 600,000 2,343
Tostem 86,000 1,202
Toyo Seikan Kaisha 154,000 2,706
Toyoda Automatic Loom Works 72,000 1,449
Toyota Motor 370,000 14,621
Ushio 100,000 2,156
Yamada Denki 19,000 1,927
Yamato Transportation 94,000 2,079
----------
711,886
----------
MALAYSIA -- 0.0%
Westmont Berhad Industries* (1) 218,000 --
----------
MEXICO -- 0.7%
Telefonos de Mexico ADR 401,277 21,343
----------
NETHERLANDS -- 7.8%
ABN AMRO Holding 295,640 6,888
Aegon 268,640 10,135
ASM Lithography* 519,133 17,226
DSM 50,068 1,448
Hagemeyer 70,000 1,859
Heineken 51,000 2,835
Heineken Holding, Series A 109,000 3,862
Ing Groep 479,375 31,932
KLM* 46,400 868
Koninklijke Ahold 946,159 26,828
Koninklijke KPN 580,512 12,644
KPNqwest* 262,485 7,470
Philips Electronics 454,737 19,572
TNT Post Group 675,963 15,719
Unilever 228,884 11,109
United Pan-Europe
Communications* 485,297 9,499
VNU 715,835 36,008
Wolters Kluwer 653,976 13,274
----------
229,176
----------
NEW ZEALAND -- 0.1%
Telecom of New Zealand 1,468,581 3,654
Waste Management NZ 218,150 374
----------
4,028
----------
NORWAY -- 0.4%
Norsk Hydro 260,500 10,904
----------
PORTUGAL -- 0.1%
Portugal Telecom ADR 170,000 1,721
----------
RUSSIA -- 0.0%
Lukoil Holding ADR 24,900 1,394
----------
12
<PAGE>
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
SINGAPORE -- 0.8%
Advanced Systems Automation 430,000 $ 222
Chartered Semiconductor
Manufacturing* 191,000 1,218
City Developments 80,000 391
Creative Technology 18,400 389
Creative Technology ADR* 18,000 374
Datacraft Asia* 157,240 1,305
DBS Group Holdings 501,191 5,529
Keppel Land International 246,000 353
Overseas Chinese Banking 80,150 507
Overseas Union Bank 348,594 1,623
Singapore Airlines 96,500 915
Singapore Press Holdings 212,178 3,182
Singapore Tech Engineering 2,695,000 3,995
Singapore Telecommunications 1,479,000 2,312
United Overseas Bank 114,032 819
Venture Manufacturing 40,000 386
----------
23,520
----------
SOUTH KOREA -- 1.1%
Korea Telecom ADR 327,363 11,008
Samsung Electronics GDR 114,160 10,600
SK Telecom ADR 407,859 10,451
----------
32,059
----------
SPAIN -- 2.9%
Acerinox SA 135,000 3,574
Aguas de Barcelona 84,080 1,041
Banco Bilbao Vizcaya Argentina 210,600 3,182
Banco Santander
Central Hispano 1,826,298 20,050
Endesa 120,316 2,262
Grupo Dragados 102,400 814
Repsol 1,019,727 18,763
Telefonica ADR* 17,259 1,026
Telefonica de Espana* 1,670,117 33,089
Uralita 208,934 1,267
----------
85,068
----------
SWEDEN -- 3.1%
AstraZeneca 274,786 14,405
Atlas Copco, Series A 835,301 14,351
Electrolux AB 978,140 12,286
Ericsson ADR 34,000 504
Foreningssparbaken, Series A 206,700 2,940
Hennes & Mauritz, Series B 120,000 2,404
NetCom AB, Series B* 18,060 926
Telefonaktiebolaget LM Ericsson
AB, Series B 2,662,944 40,498
Telia AB* 449,700 2,964
----------
91,278
----------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
SWITZERLAND -- 5.3%
ABB Limited 24,160 $ 2,348
Adecco 23,754 15,393
Ascom Holding 560 1,878
Baloise Holding 8,510 8,272
Compagnie Financiere Richemont 3,285 9,874
Credit Suisse Group 44,705 8,354
Holderbank Financiere Glarus 3,880 4,043
Nestle, Registered 4,633 9,650
Novartis 22,936 35,166
Roche Holding 1,526 13,420
SGS Societe Generale
Surveillance Holdings 550 764
Swiss Life 4,695 3,721
Swiss Re 1,430 2,730
Swisscom 10,116 2,479
UBS 108,669 14,461
Zurich Allied 51,971 24,025
----------
156,578
----------
TAIWAN -- 0.3%
Asustek Computer GDR 213,860 1,182
Taiwan Semiconductor ADR* 421,864 8,595
----------
9,777
----------
TURKEY -- 0.2%
Turkcell Iletism ADR* 430,249 4,733
----------
UNITED KINGDOM -- 15.7%
Amvescap 184,508 3,994
AstraZeneca 656,065 34,377
AstraZeneca ADR 15,300 804
Barclays Bank 190,200 5,264
Berkeley Group 120,633 1,024
BG Group 594,900 3,780
Billiton 317,395 1,134
Boc Group 5,900 78
BP Amoco 384,200 3,420
BPB 170,500 605
British Aerospace 3,100,740 16,733
British Airways 370,000 1,563
British American Tobacco 851,200 5,500
British Telecommunications 1,179,787 12,402
Cable & Wireless 933,879 13,324
Cadbury Schweppes 367,500 2,173
Centrica 7,296,138 23,436
CMG 275,600 5,334
Enterprise Oil 402,450 3,293
George Wimpey 762,500 1,494
GKN 194,800 1,943
Glaxo Wellcome 1,295,636 39,231
Granada Compass* 1,558,990 14,590
Halifax Group 350,500 2,990
HSBC Holdings 1,029,016 14,636
13
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
INTERNATIONAL
EQUITY FUND--CONCLUDED
-------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
-------------------------------------------------------------------------------
Iceland Group 542,800 $ 2,584
Imperial Tobacco Group 116,200 1,112
Invensys 1,304,700 2,850
Kelda Group 239,700 1,329
Lloyds TSB Group 1,173,656 10,949
Lonmin 180,000 2,275
New Dixons Group 623,594 1,945
Northern Rock 336,220 1,964
Rank Group 1,465,100 3,563
Reed International 4,569,081 36,276
Reuters Group 318,400 6,035
Rolls-Royce 1,005,179 2,534
Royal & Sun Alliance 232,917 1,557
Royal Bank of Scotland Group 1,171,840 24,741
Severn Trent 158,510 1,723
Shell Transportation & Trading 3,572,908 29,107
Signet Group 1,065,600 855
Tate & Lyle 420,000 1,447
Thames Water 398,775 7,164
TI Group 534,000 2,740
Unilever 339,500 2,199
United Utilities 1,161,000 11,793
Vodafone Airtouch 22,906,767 85,516
WPP Group 689,800 8,261
----------
463,641
----------
Total Foreign Common Stocks
(Cost $2,589,010) 2,741,459
----------
FOREIGN PREFERRED STOCKS -- 0.6%
GERMANY -- 0.5%
SAP* 66,190 16,239
----------
ITALY -- 0.1%
Fiat* 99,500 1,493
----------
Total Foreign Preferred Stocks
(Cost $13,962) 17,732
----------
FOREIGN CONVERTIBLE BOND -- 0.0%
SANWA
1.250%, 08/01/05 JPY 111,000 1,176
----------
Total Foreign Convertible Bond
(Cost $1,234) 1,176
----------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. TREASURY BILL (2)
5.715%, 11/09/00 $ 8,500 8,446
----------
Total U.S. Treasury Obligations
(Cost $8,446) 8,446
----------
-------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.7%
JP Morgan
6.59%, dated 09/29/00, matures
10/02/00, repurchase price
$63,494,651
(collateralized by FNMA, due
12/28/00, par value $65,780,000,
market value $64,729,165) $63,460 $ 63,460
JP Morgan
6.59%, dated 09/29/00, matures
10/02/00, repurchase price
$72,529,401 (collateralized by
FNMA, due 12/21/00, par value
$75,420,000, market value
$74,308,913) 72,489 72,489
State Street Bank
5.25%, dated 09/29/00, matures
10/02/00, repurchase price
$15,378,725 (collateralized by
U.S. Treasury Note, due
02/28/01, 5.000%, par value
$15,700,000, market value
$15,680,375) 15,372 15,372
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price
$2,366,035 (collateralized by
U.S. Treasury Note, due 02/28/01,
5.000%, par value $2,420,000,
market value $2,416,975) 2,365 2,365
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $3,691,614
(collateralized by U.S. Treasury
Note, due 05/15/06, 6.875%, par
value $3,520,000, market value
$3,765,883) 3,690 3,690
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $9,707,245
(collateralized by U.S. Treasury
Note, due 05/15/06, 6.875%, par
value $9,255,000, market value
$9,901,490) 9,703 9,703
----------
Total Repurchase Agreements
(Cost $167,079) 167,079
----------
Total Investments -- 99.4%
(Cost $2,779,731) 2,935,892
----------
Other Assets and Liabilities, Net -- 0.6% 18,452
----------
14
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
239,644,354 outstanding shares of
beneficial interest $2,743,955
Portfolio Shares of Class D (unlimited
authorization -- no par value) based
on 38,677 outstanding shares
of beneficial interest 402
Undistributed net investment income 11,701
Accumulated net realized gain on investments 45,730
Net unrealized appreciation on investments 156,161
Net unrealized depreciation on
futures contracts (3,530)
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency, and translation of other assets
and liabilities denominated in foreign
currency (75)
----------
Total Net Assets -- 100.0% $2,954,344
==========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE -- CLASS A $12.33
==========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE -- CLASS D $12.21
==========
MAXIMUM OFFERING PRICE PER SHARE --
CLASS D ($12.21 / 95%) $12.85
==========
* NON-INCOME PRODUCING SECURITY
ADR -- AMERICAN DEPOSITORY RECEIPT
GDR -- GLOBAL DEPOSITORY RECEIPT
JPY -- JAPANESE YEN
RNC -- RISPARMIO NON-CONVERTIBLE
(1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION
COMMITTEE OF THE BOARD OF TRUSTEES.
(2) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO "0".
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
FOREIGN COMMON STOCKS -- 89.2%
ARGENTINA -- 0.8%
Acindar Industria Argentina
de Aceros* 126,791 $ 115
Banco Frances ADR 13,570 282
Banco Hipotecario* 47,000 364
Grupo Financiero Galacia ADR* 38,167 572
Irsa Inversiones y
Representaciones GDR 13,720 316
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
Perez Companc ADR 34,400 $ 563
Quilmes Industrial ADR 324,440 3,407
Siderar, Series A* 62,535 184
Telecom Argentina ADR 225,570 4,878
----------
10,681
----------
BRAZIL -- 8.1%
Aracruz Celulose ADR 288,046 4,771
Banco Bradesco ADR 1,700 14
Brasil Telecom
Participacoes ADR 52,100 3,035
Cemig ADR 44,260 734
Centrais Eletricas Brasileiras 102,160,300 1,988
Centrais Eletricas
Brasileiras ADR 36,240 354
Cia de Bebidas sas
Americas ADR* 274,281 6,068
Cia Paranaense Energia ADR 401,564 3,564
Cia Saneamento Basico 10,968,000 1,058
Cia Siderurgica Nacional 51,701,300 1,633
Cia Siderurgica Nacional ADR 11,100 350
Cia Vale do Rio Doce ADR 113,505 2,831
Companhia Brasileira de
Distribuicao Grupo
de Acucar ADR 135,400 5,035
Embratel Participacoes ADR 440,831 8,155
Empresa Bras de
Aeronautica ADR* 114,600 3,553
Globo Cabo ADR 106,400 1,423
Petroleo Brasileiro 87,566 2,620
Petroleo Brasileiro ADR 215,095 6,156
Petroleo Brasileiro ADR* 750,000 22,547
Tele Celular Sul
Participacoes ADR 42,100 1,263
Tele Leste Celular
Participacoes ADR 4,300 173
Tele Nordeste Celular
Participacoes ADR 2,100 99
Tele Norte Celular
Participacoes ADR 2,050 82
Tele Norte Leste
Participacoes ADR 435,228 9,956
Telecomunicacoes
Brasileiras ADR 36,900 2,920
Telesp Celular Participacoes
ADR 165,590 5,454
Telesp Celular Participacoes
ADR Rights* 24,375 --
Telesp Celular Participacoes
Rights* 10,398,868 --
Ultrapar Participacoes ADR 57,100 657
Uniao de Bancos Brasileiros
GDR 209,631 6,918
15
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
EMERGING MARKETS
EQUITY FUND--CONTINUED
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Votorantim Celulose e
Papel ADR 59,540 $ 1,172
----------
104,583
----------
CROATIA -- 0.0%
Pliva d.d. GDR 144a 50,000 540
----------
CHILE -- 1.5%
A.F.P. Provida ADR 12,000 251
Banco De A. Edwards ADR* 99,969 1,300
Banco Santander ADR 25,455 372
Banco Santiago ADR 41,645 812
Cervecerias Unidas ADR 85,903 1,933
Chilectra ADR 138,405 1,828
Compania Cervecerias
Unidas ADR 30,500 686
Compania Telecomunicaciones
de Chile ADR* 285,420 4,959
Cristalerias de Chile ADR 2,500 38
Distribucion y Servicio ADR 133,223 2,173
Endesa ADR 63,311 696
Enersis ADR* 125,447 2,235
Enersis ADR Rights* 47,592 6
Gener ADR 24,400 319
Quinenco ADR 131,600 1,135
----------
18,743
----------
CHINA -- 2.0%
Beijing Datang Power 753,000 158
China Eastern Airlines* 5,726,000 918
China Southern Airlines* 2,804,000 872
Guangdong Kelon Electric 563,000 148
Guangshen Railway 12,621,000 1,667
Huaneng Power International 10,384,000 4,362
Huaneng Power
International ADR 19,000 304
Jingwei Textile Machinery* 4,060,000 583
PetroChina 51,193,600 10,440
PetroChina ADR* 19,300 381
Qingling Motors 1,754,000 236
Shandong International Power
Development 1,494,000 240
Shanghai Petrochemical 6,766,000 902
Shenzhen Expressway 1,469,000 185
Yizheng Chemical Fibre 8,600,000 1,886
Zhejiang Expressway 11,570,000 1,959
----------
25,241
----------
COLOMBIA -- 0.0%
Bavaria 26,260 83
----------
CZECH REPUBLIC -- 0.6%
Ceska Sporitelna* 127,000 656
Ceske Radiokomunikace GDR* 12,700 478
Ceske Radiokomunikace
GDR* 144a (A) 53,100 1,997
Cesky Telecom* 150,800 1,987
Cesky Telecom GDR* 44,050 583
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
CEZ* 636,385 $ 1,687
Komercni Banka* 29,900 606
----------
7,994
----------
EGYPT -- 0.2%
Commercial International
Bank GDR* 45,400 360
Misr International Bank 35,200 182
Mobinil Egyptian Mobile Network* 9,000 200
Orascom Telecom GDR* 82,400 534
Paints & Chemical Industry GDR* 135,000 321
Suez Cement ADR* 144a (A) 37,800 322
----------
1,919
----------
GREECE -- 3.3%
Alpha Bank 198,136 7,828
Commercial Bank of Greece 46,025 2,351
Delta Informatics 59,500 515
Folli - Follie 100,150 2,063
Hellenic Telecommunications
Organization 501,798 9,652
Hellenic Telecommunications
Organization ADR 80,000 740
Intracom 152,850 5,202
Lambrakis Press 20,300 484
MJ Maillis 88,070 1,135
National Bank of Greece 220,728 9,085
Panafon 139,000 1,330
Piraeus Bank 36,500 620
Stet Hellas Telecommunication
ADR* 79,700 1,186
----------
42,191
----------
HONG KONG -- 5.9%
Brilliance China Automotive* 8,920,000 2,717
China Merchants Holdings
International 866,000 661
China Mobile* 5,621,500 37,311
China Pharmaceutical 1,606,000 179
China Resources Beijing Land 6,408,000 1,323
China Resources Enterprises 964,000 1,150
China Travel International 8,756,000 1,157
China Unicom* 4,814,000 10,774
China Unicom ADR* 81,000 1,767
Citic Ka Wah Bank 2,079,000 693
Citic Pacific 1,030,000 4,439
Cosco Pacific 4,886,000 3,697
Greencool Technology* 858,000 195
Hengan International Group 180,000 45
Legend Holdings 7,025,000 6,667
Mandarin Oriental 337,000 219
Shanghai Industrial Holdings 1,701,000 3,294
----------
76,288
----------
HUNGARY -- 0.9%
BorsodChem GDR 12,600 315
Egis 37,100 1,659
16
<PAGE>
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
Gedeon Richter ADR 2,500 $ 132
Gedeon Richter GDR 11,795 619
Matav ADR 246,710 5,813
Mol Magyar Olaj ES Gazipari
GDR 67,490 1,110
OTP Bank GDR 35,520 1,825
----------
11,473
----------
INDIA -- 3.7%
Aptech GDR* 410,963 1,983
Bajaj Auto GDR 73,000 511
Bses GDR 259,850 4,060
Gas Authority of India GDR 91,000 507
Grasim Industries GDR 29,000 159
Gujarat Ambuja Cement GDR 660,500 2,138
ICICI Banking ADR* 184,775 1,363
ICICI Limited ADR 284,580 3,130
Indian Hotels GDR* 144a (A) 64,000 296
Infosys Technologies ADR 38,400 5,069
ITC GDR 272,100 4,592
Mahanagar Telephone
Nigam GDR 620,400 3,071
Mahindra & Mahindra GDR* 678,000 2,661
Ranbaxy Laboratories GDR 140,000 2,292
Reliance Industries GDR 383,100 5,986
SSI GDR* 406,800 2,359
SSI GDR* 144a (A) 96,900 567
State Bank of India GDR 432,400 3,221
Tata Engineering &
Locomotive GDR* 144a (A) 158,000 312
UTI India IT Fund* 33,000 971
Videsh Sanchar Nigam ADR 40,000 320
Videsh Sanchar Nigam GDR 212,500 1,742
----------
47,310
----------
INDONESIA -- 0.6%
Astra International* 1,333,000 352
Gudang Garam 1,326,000 1,584
Hanjaya Mandala Sampoerna 981,500 1,259
Indah Kiat Pulp & Paper* 1,919,000 256
Indofood Sukses Makmur* 7,682,500 744
Indosat ADR 40,000 320
Telekomunikasi 8,264,460 2,618
Telekomunikasi ADR 40,000 250
----------
7,383
----------
ISRAEL -- 3.3%
AudioCodes* 18,600 1,583
Bank Hapoalim 2,055,100 6,302
Bank Leumi Le Israel* 583,300 1,310
Blue Square-Israel ADR 85,100 957
Check Point Software
Technologies* 101,250 15,947
ECI Telecom 42,700 1,308
Gilat Satellite Networks* 6,200 477
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
M-Systems Flash Disk Pioneer 62,000 $ 2,368
Nice Systems ADR* 11,160 804
Orbotech* 22,500 1,230
Tecnomatix Technologies* 15,000 188
Teva Pharmaceutical ADR 137,800 10,085
----------
42,559
----------
MALAYSIA -- 5.1%
AMMB Holdings Berhad 3,312,600 3,278
British American Tobacco 472,000 4,441
Genting Berhad 1,716,800 4,382
IOI Corporation Berhad 7,850,000 5,991
JT International Berhad 131,000 124
Malayan Banking Berhad 3,181,000 12,222
Malaysian Pacific Industries 738,000 4,904
Mesiniaga Berhad 626,000 1,087
New Straits Times Press 1,077,000 1,616
OYL Industries Berhad 718,000 2,513
Sime Darby Berhad 685,000 772
Telekom Malaysia 2,853,000 7,508
Tenaga Nasional 4,716,000 14,024
United Engineers 1,773,000 2,776
----------
65,638
----------
MEXICO -- 11.8%
Alfa, Series A 1,693,449 3,554
Apasco 47,400 251
Carso Global Telecom* 1,231,268 2,986
Cemex ADR 151,262 3,035
Cemex CPO 2,036,043 8,192
Coca-Cola Femsa ADR 204,245 4,085
Consorcio ARA* 68,000 110
Controladora Comerical
Mexicana GDR 15,500 354
Corporacion Interamericana
de Entretenimiento Rights* 2,048,800 --
Corporacion Interamericana
de Entretenimiento* 2,048,800 9,925
Desc, Series B 826,500 464
Empresas ICA Sociedad
Controladora* 487,532 130
Empresas ICA Sociedad
Controladora ADR* 116,734 204
Fomento Economico Mexica
Units 1,751,989 6,808
Fomento Economico Mexicano
ADR 16,911 660
Grupo Aeroportuario ADR* 40,300 612
Grupo Aeroportuario, Series B* 1,193,300 1,797
Grupo Carso, Series A1* 611,470 1,816
Grupo Continental 190,000 231
Grupo Financiero Banamex
Accival* 2,321,285 10,643
Grupo Financiero Banorte* 716,327 934
17
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
EMERGING MARKETS
EQUITY FUND--CONTINUED
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
Grupo Financiero BBVA
Bancomer* 7,028,810 $ 4,049
Grupo Industria Bimbo,
Series A 275,633 458
Grupo Iusacell ADR* 74,100 880
Grupo Mexico, Series B 248,070 946
Grupo Modelo, Series C 1,310,000 3,066
Grupo Sanbornis, Series B* 276,775 422
Grupo Televisa GDR 194,949 11,246
Kimberly-Clark de Mexico 1,424,604 3,741
Organizacion Soriana 409,383 1,496
Panamerican Beverages 126,732 2,154
Pepsi-Gemex GDR* 128,500 691
Telefonos de Mexico ADR 866,024 46,061
Tubos de Acero de Mexico ADR 110,757 1,855
TV Azteca ADR 518,300 6,673
TV Azteca CPO 600,000 478
Vitro ADR 155,980 409
Walmart de Mexico ADR,
Class V* 143,672 2,999
Walmart de Mexico, Series C* 1,896,805 3,752
Walmart de Mexico, Series V* 1,311,344 2,722
----------
150,889
----------
PANAMA -- 0.0%
Banco Latinoamericano de
Exportaciones 16,000 444
----------
PERU -- 0.2%
Buenaventura ADR 68,018 961
Credicorp 169,769 1,231
----------
2,192
----------
PHILIPPINES -- 0.4%
ABS-CBN Broadcasting ADR 536,900 500
Bank of Philippine Islands 144,500 170
La Tondena Distillers 1,025,900 688
Manila Electric 856,100 982
Philippine Long Distance 34,500 605
Philippine Long Distance ADR 22,800 390
SM Prime Holdings 11,643,900 1,185
Universal Robina 300,000 30
----------
4,550
----------
POLAND -- 1.0%
Bank Polska Kasa Opieki* 58,800 716
Bank Rozwoju Eksportu 18,558 561
Elektrim* 223,400 2,016
Kghm Polska Meidz GDR 125,320 1,588
Netia Holdings ADR* 26,400 393
Optimus* 14,265 456
Polski Koncern Naftowy
GDR 144a (A) 25,000 199
Polski Koncern Naftowy GDR 105,000 811
-------------------------------------------------------------------------------
Market
Description Shares Value (000)
-------------------------------------------------------------------------------
Powszechny Bank Kredytowy
GDR* 25,800 $ 517
Prokom Software 28,400 1,266
Prokom Software GDR 46,900 1,049
Softbank GDR 21,100 320
Telekomunikacja Polska 579,020 2,967
----------
12,859
----------
RUSSIA -- 3.3%
AO Tatneft ADR 116,309 1,156
Golden Telecom* 5,000 87
Lukoil Holdings ADR 321,360 17,996
Lukoil Holdings ADR 52,800 1,175
Lukoil Holdings ADR 5,800 325
Mobile Telesystems ADR* 30,387 771
Norilsk Nickel* 109,100 842
Rostlecom ADR 125,770 1,108
Surgutneftegaz ADR 690,700 10,101
Surgutneftegaz ADR 141,400 2,068
Surgutneftegaz ADR 76,900 1,000
Unified Energy Systems GDR 471,460 6,318
----------
42,947
----------
SINGAPORE -- 0.8%
Datacraft Asia* 1,110,760 9,219
Del Monte Pacific 803,000 196
Elec & Eltek International 125,000 348
Golden Agri-Resources* 1,050,000 172
NatSteel Electronics 281,000 727
----------
10,662
----------
SOUTH AFRICA -- 8.7%
ABSA Group 632,500 2,391
African Bank Investments* 1,408,800 1,268
African Oxygen 725,731 1,236
Anglo American 124,700 6,580
Anglo American Platinum 198,900 7,663
Barloworld 297,900 1,836
Bidvest Group 335,278 2,298
Billiton 550,900 1,953
BOE Corporation 2,837,134 4
BOE Limited 1,857,050 1,052
Comparex Holdings* 570,400 825
Computer Configurations
Holdings* 111,500 80
De Beers Consolidated
Mines Units 12,600 350
Del Monte Royal Foods 32,900 22
Dimension Data Holdings
(GBP)* 95,300 883
Dimension Data Holdings* 1,873,189 17,328
Fedsure Holdings 98,700 383
FirstRand 5,652,600 5,480
18
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Foschini 771,441 $ 1,175
Gencor 1,314,400 4,587
Gold Fields 602,757 1,912
Illovo Sugar 250,400 180
Impala Platinum Holdings 95,700 4,138
Imperial Holdings* 422,908 3,297
Investec Group 110,100 3,522
Iscor* 79,200 165
Ixchange Technology Holdings* 93,200 110
JD Group 81,900 544
Johnnic Communications 106,581 2,199
Johnnis Holdings 96,200 1,248
Liberty Group 170,500 1,495
Metro Cash & Carry 1,309,914 753
MIH Holdings* 169,100 864
Murray & Roberts Holdings* 281,600 142
Nampak 852,897 1,571
Naspers 88,600 724
Nedcor 178,029 3,826
New Africa Investments,
Series N* 2,015,700 449
Old Mutual 614,900 1,473
Pick'n Pay Holdings 1,012,724 673
Pretoria Portland Cement 23,700 167
Profurn 1,736,500 1,034
Remgro* 388,068 2,292
Reunert 69,700 109
Sage Group 52,000 103
Sanlam 3,183,500 3,659
Sappi 338,600 2,509
Sasol 1,090,700 8,610
South African Breweries 538,074 3,644
South African Breweries (GBP) 50,000 340
Standard Bank Investment 15,340 59
Tiger Brands 80,700 631
Venfin 388,068 1,357
Wooltru 23,820 28
Wooltru, Series N 148,260 174
Woolworths Holdings 370,600 172
----------
111,567
----------
SOUTH KOREA -- 12.2%
Hite Brewery 118,645 4,782
Housing & Commercial Bank 313,747 7,428
Housing & Commercial
Bank GDR 144a (A) 25,000 595
Hyundai Electronics* 639,780 9,151
Hyundai Motor 187,870 2,443
Hyundai Motor GDR 144a* (A) 50,000 353
Kookmin Bank 656,377 7,828
Kookmin Bank GDR 50,000 621
Korea Electric Power 744,560 19,429
Korea Electric Power ADR 77,000 1,006
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Korea Telecom 233,807 $ 14,006
Korea Telecom ADR 31,600 1,063
Korea Telecom Freetel* 30,910 1,353
Locus* 7,387 188
Pohang Iron & Steel 51,730 3,850
Pohang Iron & Steel ADR 52,000 969
Samsung Electronics 256,896 46,535
Samsung Electronics GDR 6,000 561
Samsung Eletro-Mechanics* 145,980 4,935
Samsung SDI GDR* 35,000 346
Samsung Securities 94,500 1,911
Shinhan Bank 135,880 1,523
SK Telecom 64,460 15,723
SK Telecom ADR 413,300 10,591
----------
157,190
----------
TAIWAN -- 10.3%
Accton Technology GDR* 783,294 2,996
Acer Communications &
Multimedia 979,200 1,938
Acer GDR 638,887 3,466
Advanced Semiconductor
Engineering GDR* 420,992 2,873
Advanced Semiconductor
Engineering* 967,303 1,331
Ase Test 217,800 4,574
Asia Cement GDR 24,128 115
Asustek Computer 268,448 1,422
Asustek Computer GDR 903,191 4,990
Bank Sinopac* 7,774,900 4,169
Cathay Life Insurance 1,317,360 2,943
China Development Industrial
Bank* 413,200 390
China Steel 1,071,000 691
China Steel GDR 186,370 2,376
Chinatrust Commercial Bank* 3,510,280 2,633
Compal Electronics GDR* 59,000 462
Delta Electronic Industrial 1,409,750 5,017
D-Link 1,024,300 1,667
D-Link GDR 35,000 283
Evergreen Marine GDR* 218,721 1,427
Far Eastern Textile 1,279,040 1,368
Far Eastern Textile GDR 424,854 4,535
Fubon Insurance GDR 249,254 1,427
HON HAI Precision Industry 350,000 2,301
HON HAI Precision Industry
GDR 548,058 7,070
HUA NAN Commercial Bank 119,000 86
Macronix International* 706,000 1,124
Macronix International ADR 99,434 1,529
NAN YA Plastic 1,138,600 1,599
Powerchip Semiconductor GDR* 169,688 1,841
President Chain Store 839,000 2,651
19
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
EMERGING MARKETS
EQUITY FUND--CONTINUED
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Ritek GDR* 314,398 $ 2,091
Siliconware Precision
Industries ADR* 258,210 1,275
Standard Foods Taiwan GDR* 120,000 237
Synnex Technology International 357,928 1,131
Synnex Technology International
GDR* 250,289 3,141
Taiwan Semiconductor
Manufacturing* 2,538,000 8,425
Taiwan Semiconductor
Manufacturing ADR* 811,443 16,533
Taiwan Semiconductor
Manufacturing Warrants* 1,351,400 5,742
Tatung 80,000 43
United Microelectronics* 2,396,660 5,125
United Microelectronics* 927,400 11,013
Winbond Electronics* 88,000 133
Winbond Electronics GDR* 207,773 3,070
Yageo* 1,437,750 1,143
Yageo GDR* 311,489 1,238
----------
131,634
----------
THAILAND -- 1.0%
Advanced Info Service `F'* 329,500 2,780
Hana Microelectronics `F' 438,400 1,205
National Petrochemical `F' 1,559,000 1,062
PTT Exploration `F' 835,000 2,117
Saha Union `F' 142,000 35
Shin Corporations `F'* 107,500 369
Siam Cement `F'* 83,100 658
Siam Makro `F' 804,100 953
Telecomasia `F'* 3,393,000 2,272
Thai Farmers Bank `F'* 3,090,500 1,575
----------
13,026
----------
TURKEY -- 2.7%
Akbank 35,000,000 179
Akcimento Ticaret 64,600,000 718
Aksigorta 42,000,000 678
Alarko Holdings 18,387,500 629
Anadolu Efes Biracilik Ve
Malt Sanayii* 29,054,281 1,724
Arcelik 61,458,585 1,431
Aygaz 18,769,000 642
Dogan Sirketler Grubu
Holdings* 34,000,000 639
Dogan Yayin Holding* 193,228,446 2,207
Eregli Demir Ve Celik Fabrik* 48,017,200 1,371
Finansbank* 149,150,000 314
Hurriyet Gazeteci* 196,577,910 1,861
KOC Holding 26,541,700 1,157
Migros Turk 11,623,754 1,380
Netas Telekomunik 8,200,000 789
Sabanci Holding 40,029,840 325
Trakya CAM Sanayii 57,189,200 516
--------------------------------------------------------------------------------
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
Turk Ekonomi Bankasi* 184,500,000 $ 679
Turk Ekonomi Bankasi GDR* 105,000 381
Turkcell Iletisim Hizmet* 9,018,900 407
Turkcell Iletisim Hizmet ADR* 136,841 1,505
Turkiye Garanti Bankasi* 332,529,300 2,848
Turkiye IS Bankasi 321,386,800 5,433
Uzel Makina Sanayii ADR* 45,000 134
Vestel Elektronik Sanayi* 11,444,800 2,107
Yapi VE Kredi Bankasi* 678,313,935 4,892
----------
34,946
----------
UNITED STATES -- 0.6%
Compaq Manufacturing
Warrants* 779,000 4,261
StarMedia Network* 39,200 294
Tricom ADR* 189,600 2,891
----------
7,446
----------
VENEZUELA -- 0.2%
Compania Anonima Nacional
Telefonos ADR 127,270 3,110
----------
Total Foreign Common Stocks
(Cost $1,102,837) 1,146,088
----------
FOREIGN PREFERRED STOCKS -- 3.6%
BRAZIL -- 3.5%
Banco Bradesco 567,014,381 4,690
Banco Itau 57,542,320 5,115
Brasil Telecom 165,219,600 1,433
Brasil Telecom Participacoes 104,318,297 1,216
Celular CRT Participacoes* 9,987,484 3,464
Cemig CIA Energy 93,807,175 1,553
Centrais Eletricas Brasileiras
ADR 57,200 581
Centrais Eletricas Brasileiras,
Series B 96,484,600 1,960
Cia de Bebidas das Americas 903,700 994
CIA Riograndense
Telecomunicaoes* 6,940,641 2,690
CIA Vale do Rio Doce
Unconverted Participants* 8,352 --
CIA Vale do Rio, Series A 318,088 7,982
Companhia Paranese de
Energia, Series B 108,731,969 972
Embratel Participacoes 149,117,200 2,748
Gerdau 156,704,000 2,009
Itausa Investimentos 1,663,362 1,686
Petrol Brasileiro 43,300 1,237
Tele Leste Celular
Participacoes* 921,758,653 754
Tele Nordeste Celular
Participacoes 86,744,800 207
Tele Norte Celular
Particacoes 768,650,400 621
20
<PAGE>
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
-------------------------------------------------------------------------------
Tele Norte Leste
Participacoes* 58,665,078 $ 1,335
Telesp Celular Participacoes 103,988,692 1,370
Usinas Sider de Minas Gerais 125,331 713
----------
45,330
----------
THAILAND -- 0.1%
Siam Commercial Bank `F'* 4,250,300 1,637
----------
Total Foreign Preferred Stocks
(Cost $34,488) 46,967
----------
EQUITY LINKED WARRANTS (B) -- 2.4%
INDIA -- 2.4%
Dr. Reddy's Laboratories* 54,550 1,493
Gujarat Ambuja Cement* 224,000 757
Hero Honda Motors* 87,500 1,579
Hindustan Lever* 833,750 3,790
ICICI Bank* 522,397 1,724
Infosys Technologies* 25,250 4,040
ITC* 29,000 453
Larsen & Toubro* 336,075 1,213
Mahanagar Telephone Nigam* 270,000 645
Mahindra & Mahindra* 330,000 1,327
Nestle India* 134,000 1,435
Ranbaxy Laboratories* 216,500 3,005
Satyam Computer Services* 370,000 3,928
SSI* 7,200 375
State Bank of India* 184,200 710
Sun Pharmaceutical Industries* 211,291 2,001
Videsh Sanchar Nigam* 135,820 2,163
----------
30,638
----------
Total Equity Linked Warrants
(Cost $34,423) 30,638
----------
REPURCHASE AGREEMENTS -- 4.0%
J.P. Morgan
6.60%, dated 09/29/00, matures
10/02/00, repurchase price
$19,293,724 (collateralized by
FHLB, due 10/25/00, par value
$19,765,000, market value
$19,669,693) $19,283 19,283
State Street Bank
5.25%, dated 09/29/00, matures
10/02/00, repurchase price
$7,012,066 (collateralized by
U.S. Treasury Note, due
05/15/06, 6.875%, par value
$6,685,000, market value
$7,151,967) 7,009 7,009
-------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
-------------------------------------------------------------------------------
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $5,414,368
(collateralized by U.S. Treasury
Note, due 05/15/06, 6.875%, par
value $5,160,000, market
value $5,520,441) $ 5,412 $ 5,412
State Street Bank
5.25%, dated 09/29/00, matures
10/02/00, repurchase price
$13,362,844 (collateralized by
U.S. Treasury Note, due
05/15/06, 6.875%, par value
$12,735,000, market value
$13,624,578) 13,357 13,357
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $2,327,018
(collateralized by U.S.
Treasury Note, due 05/15/06,
6.875%, par value $2,220,000,
market value $2,375,074) 2,326 2,326
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $2,265,991
collateralized by U.S. Treasury
Note, due 05/31/01, 5.250%, par
value $2,290,000, market value
$2,312,900) 2,265 2,265
State Street Bank 5.25%, dated
09/29/00, matures 10/02/00,
repurchase price $1,605,702
(collateralized by U.S. Treasury
Note, due 02/28/01, 5.000%, par
value $1,640,000, market value
$1,637,950) 1,605 1,605
----------
Total Repurchase Agreements
(Cost $51,257) 51,257
----------
Total Investments -- 99.2%
(Cost $1,223,005) 1,274,950
Other Assets and Liabilities, Net -- 0.8% 10,083
----------
21
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
EMERGING MARKETS
EQUITY FUND--CONCLUDED
-------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
-------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 139,780,944 outstanding shares
of beneficial interest $1,405,043
Accumulated net investment loss (3,768)
Accumulated net realized loss
on investments (168,184)
Net unrealized appreciation
on investments (1) 51,919
Net unrealized appreciation on
forward foreign currency
contracts, foreign currency
and translation of other
assets and liabilities
in foreign currency 23
----------
Total Net Assets -- 100.0% $1,285,033
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $9.19
==========
*NON-INCOME PRODUCING SECURITY
ADR -- AMERICAN DEPOSITORY RECEIPT
`F' -- FOREIGN SHARES
GBP -- GREAT BRITAIN POUND STERLING
GDR -- GLOBAL DEPOSITORY RECEIPT
(1) NET OF $25,749 ACCRUED FOREIGN CAPITAL GAIN TAXES ON APPRECIATED SECURITIES.
(A) SECURITES 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.
(B) SECURITIES ARE NOT READILY MARKETABLE. SEE NOTE 2 IN NOTES TO FINANCIAL
STATEMENTS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL FIXED
INCOME FUND
FOREIGN BONDS -- 79.2%
AUSTRALIA -- 0.5%
Government of Australia
8.750%, 08/15/08 8,320 $ 5,203
--------
BELGIUM -- 5.5%
Belgium Treasury Bill
4.330%, 12/07/00 65,000 56,913
--------
CANADA -- 5.1%
Government of Canada
9.000%, 06/01/25 6,460 6,024
5.500%, 06/01/09 34,055 22,257
Government of Canada
Treasury Bill
5.600%, 11/23/00 36,970 24,369
--------
52,650
--------
-------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
-------------------------------------------------------------------------------
CAYMAN ISLANDS -- 1.9%
MBNA Europe (A)
4.981%, 05/19/04 EC 21,860 $ 19,282
--------
DENMARK -- 1.3%
Kingdom of Denmark
7.000%, 11/15/07 103,920 13,229
--------
FRANCE -- 3.8%
Government of France
Treasury Bill
4.500%, 11/16/00 44,300 38,860
--------
GERMANY -- 26.3%
Bundesobligation
5.000%, 05/20/05 83,800 73,621
Bundesschatzanweisungen
3.000%, 12/15/00 29,670 26,083
Deutsche Ausgleichbk
1.850%, 09/20/10 JPY 1,195,000 10,981
Deutschland Republic
6.250%, 01/04/24 41,988 39,834
5.375%, 01/04/10 57,942 51,722
KFW International Finance
6.625%, 04/15/03 583 528
Deutschland Republic
6.000%, 01/04/07 75,445 69,230
--------
271,999
--------
GREECE -- 3.6%
Government of Greece
8.700%, 04/08/05 6,375,500 18,425
8.600%, 03/26/08 6,055,500 18,154
--------
36,579
--------
HUNGARY -- 2.2%
Government of Hungary
10.500%, 05/12/04 6,618,970 22,625
--------
ITALY -- 5.2%
Republic of Italy
4.500%, 07/15/03 28,484 24,837
1.800%, 02/23/10 JPY 3,173,000 29,275
--------
54,112
--------
JAPAN -- 6.0%
Asian Development Bank
3.125%, 06/29/05 3,488,000 35,033
European Investment Bank
3.000%, 09/20/06 341,000 3,437
Export-Import Bank
2.875%, 07/28/05 2,390,000 23,812
--------
62,282
--------
NETHERLANDS -- 3.9%
Kingdom of Netherlands
5.500%, 01/15/28 46,312 40,074
--------
22
<PAGE>
--------------------------------------------------------------
INTERNATIONAL FIXED
INCOME FUND--CONCLUDED
-------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
-------------------------------------------------------------
POLAND -- 1.9%
Government of Poland
8.500%, 02/12/05 115,369 $ 20,041
----------
SPAIN -- 2.8%
Government of Spain
4.250%, 07/30/02 32,990 28,648
----------
SWEDEN -- 2.0%
Kingdom of Sweden
10.250%, 05/05/03 181,000 21,180
----------
UNITED KINGDOM -- 7.2%
European Investment Bank
6.000%, 12/07/28 3,630 5,589
United Kingdom Treasury
8.500%, 07/16/07 6,135 10,549
8.000%, 12/07/15 9,225 17,837
6.750%, 11/26/04 26,320 40,479
----------
74,454
----------
Total Foreign Bonds
(Cost $867,561) 818,131
----------
DOMESTIC BONDS -- 4.0%
UNITED STATES -- 4.0%
KFW International Finance
1.750%, 03/23/10 JPY 4,521,000 41,386
----------
Total Domestic Bonds
(Cost $42,193) 41,386
----------
U.S. TREASURY OBLIGATIONS -- 6.6%
U.S. Treasury Bill (2)
6.090%, 12/21/00 68,040 67,128
U.S. Treasury Note
6.000%, 08/15/09 1,000 1,004
----------
Total U.S. Treasury Obligations
(Cost $68,121) 68,132
----------
TIME DEPOSIT -- 9.5%
State Street Bank
0.310%, 10/31/00 JPY 10,584,063 97,946
----------
Total Time Deposit
(Cost $98,521) 97,946
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 0.7%
FNMA
6.875%, 06/07/02 GBP 5,150 7,687
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $8,762) 7,687
----------
Total Investments -- 100.0%
(Cost $1,085,158) $1,033,282
==========
-------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
-------------------------------------------------------------
(A) SECURITIES SOLD WITHIN TERMS OF 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.
EC -- EURO
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GBP -- GREAT BRITIAN POUND
JPY -- JAPANESE YEN
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES PLEDGED AS COLLATERAL FOR OPEN FUTURES CONTRACTS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT FUND
FOREIGN BONDS -- 99.4%
ALGERIA -- 3.5%
Republic of Algeria FRN Tranche
1 Restructured
7.688%, 09/04/06 3,692 $ 3,175
Republic of Algeria FRN Tranche
3 Restructured
7.688%, 03/04/10 15,105 12,235
-----------
15,410
-----------
ARGENTINA -- 15.2%
Government of Agrentina
12.125%, 02/25/19 7,500 7,012
12.000%, 02/01/20 4,300 3,956
11.750%, 06/15/15 20,277 18,584
11.375%, 03/15/10 13,025 11,853
10.250%, 07/21/30 2,000 1,630
Government of Argentina Bocon
Proveedores 1
2.696%, 04/01/07 AR 209 151
Government of Argentina FRB (A)
7.625%, 03/31/05 1,080 989
Government of Argentina FRN (A)
11.344%, 04/10/05 17,950 16,693
Government of Argentina Par
6.000%, 03/31/23 900 611
Government of Argentina
Registered
11.750%, 02/12/07 4,500 3,962
8.750%, 07/10/02 AR 2,500 2,330
-----------
67,771
-----------
23
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
EMERGING MARKETS
DEBT FUND--CONTINUED
--------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
--------------------------------------------------------------------------------
BRAZIL -- 19.7%
Government of Brazil
14.500%, 10/15/09 12,677 $ 14,021
12.750%, 01/15/20 14,739 14,113
12.250%, 03/06/30 25,730 23,363
11.000%, 08/17/40 28,834 22,966
10.125%, 05/15/27 4,000 3,110
Government of Brazil C
Bond Bearer
8.000%, 04/15/14 2,001 1,521
Government of Brazil Par Z-L
6.000%, 04/15/24 12,900 8,658
-----------
87,752
-----------
BULGARIA -- 5.1%
Republic of Bulgaria Discount,
Series A
7.750%, 07/28/24 8,755 6,698
Republic of Bulgaria FLIRB
Non-U.S. Global Bearer, Series A
3.050%, 07/28/12 22,200 16,095
-----------
22,793
-----------
COLOMBIA -- 3.6%
Republic of Colombia
11.750%, 02/25/20 6,500 5,502
9.750%, 04/23/09 7,125 5,736
8.700%, 02/15/16 2,000 1,360
8.375%, 02/15/27 1,500 953
Republic of Columbia FRN (A)
12.832%, 08/13/05 2,500 2,444
-----------
15,995
-----------
COSTA RICA -- 1.0%
Government of Costa Rica 144a (A)
9.995%, 08/01/20 2,200 2,193
Government of Costa Rica, Series B
6.250%, 05/21/15 2,600 2,327
-----------
4,520
-----------
CROATIA -- 1.5%
Government of Croatia FRN,
Series A
7.750%, 07/31/10 5,000 4,550
Government of Croatia FRN,
Series B (A)
7.750%, 07/31/06 2,164 2,028
-----------
6,578
-----------
ECUADOR -- 0.9%
Republic of Ecuador 144a (A)
4.000%, 08/15/30 7,495 2,970
--------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
--------------------------------------------------------------------------------
Republic of Ecuador Registered
4.000%, 08/15/30 2,400 $ 951
-----------
3,921
-----------
IVORY COAST -- 0.5%
Ivory Coast FLIRB 144a (A)
2.000%, 03/29/18 2,500 425
Ivory Coast FLIRB Registered
2.000%, 03/29/18 4,000 680
Ivory Coast PDI
2.000%, 03/29/18 4,988 898
-----------
2,003
-----------
JAMAICA -- 1.7%
Government of Jamaica 144a (A)
12.750%, 09/01/07 2,375 2,339
Government of Jamaica Registered
10.875%, 06/10/05 5,500 5,239
-----------
7,578
-----------
MEXICO -- 9.0%
Government of Mexico Discount,
Series C
7.800%, 12/31/19 500 516
Government of Mexico Par Bonds
with Recovery Rights, Series B
6.250%, 12/31/19 1,665 1,484
Government of Mexico Par
Recovery Rights* 2,004 --
Petroleos Mexicanos
9.500%, 09/15/27 13,750 13,475
9.250%, 03/30/18 3,750 3,694
United Mexican States
11.500%, 05/15/26 210 255
11.375%, 09/15/16 13,709 15,944
10.375%, 02/17/09 4,250 4,624
9.750%, 04/06/05 175 185
-----------
40,177
-----------
MOROCCO -- 2.0%
Morocco R&C Loan FRN,
Tranche A
7.750%, 01/01/09 10,003 9,002
-----------
PANAMA -- 4.5%
Government of Panama
9.375%, 04/01/29 2,000 1,920
Government of Panama IRB
8.875%, 09/30/27 4,880 4,075
4.750%, 07/17/14 11,500 9,171
Government of Panama PDI
0.000%, 07/17/16 5,902 4,692
-----------
19,858
-----------
24
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
--------------------------------------------------------------------------------
PERU -- 3.8%
Republic of Peru FLIRB
3.750%, 03/07/17 24,455 $ 13,725
Republic of Peru PDI
4.500%, 03/07/17 5,290 3,306
-----------
17,031
-----------
PHILIPPINES -- 4.3%
Government of Philippines
10.625%, 03/16/25 4,100 3,475
9.875%, 01/15/19 19,000 15,580
-----------
19,055
-----------
POLAND -- 1.4%
Poland PDI Non-US Global
Bearer (A)
6.000%, 10/27/14 65 60
Republic of Poland RSTA
4.000%, 10/27/24 5,000 3,400
Telekomunikacja Polska
144a (A)
7.750%, 12/10/08 2,750 2,648
-----------
6,108
-----------
RUSSIA -- 16.3%
Russian Federation
12.750%, 06/24/28 17,995 15,656
10.000%, 06/26/07 5,190 3,983
Russian Federation 144a (A)
8.250%, 03/31/10 14,406 9,508
2.250%, 03/31/30 109,923 42,320
Russian Federation Registered
2.250%, 03/31/30 2,500 963
-----------
72,430
-----------
URUGUAY -- 0.4%
Republic of Uruguay
8.750%, 06/22/10 1,975 1,768
-----------
VENEZUELA -- 5.0%
Government of Venezuela
13.625%, 08/15/18 14,050 13,312
Government of Venezuela
Discount FRB, Series W-B
7.875%, 03/31/20 4,850 3,880
Government of Venezuela
Discount, Series A (A)
7.375%, 03/31/20 5,600 4,480
Government of Venezuela NMB,
Series A 144a (A)
8.133%, 12/18/05 485 413
Government of Venezuela Par Rights*
0.000%, 04/15/20 47 --
-----------
22,085
-----------
Total Foreign Bonds
(Cost $433,192) 441,835
-----------
--------------------------------------------------------------------------------
Face Amount Market
Description (000) (1) Value (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.5%
State Street Bank
6.43%, dated 09/29/00, matures
10/02/00, repurchase price
$2,382,276 (collateralized by
U.S. Treasury Note, due
07/15/06, 7.000%, par value
$2,280,000, market value
$2,430,890) 2,381 $ 2,381
-----------
Total Repurchase Agreement
(Cost $2,381) 2,381
-----------
OPTION -- 0.1%
Venezuela 27 @ 68,
Expiration 10/30/00* 39,450,000 326
-----------
Total Option
(Cost $434) 326
-----------
Total Investments -- 100%
(Cost $436,007) $ 444,542
===========
* NON-INCOME PRODUCING SECURITY
AR -- AREGENTINA PESO
DCB -- DISCOUNT BOND
FLIRB -- FRONT LOADED INTEREST REDUCTION BOND
FRB -- FLOATING RATE BOND
FRN -- FLOATING RATE NOTE
IRB -- INTEREST REVENUE BOND
NMB -- NEW MONEY BOND
PDI -- PAST DUE INTEREST
RSTA -- REVOLVING SHORT TERM AGREEMENT
(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.
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO "0".
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES (000)
-----------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST-- SEPTEMBER 30, 2000
----------------- -----------------
INTERNATIONAL EMERGING
FIXED INCOME MARKETS DEBT
FUND FUND
---------------- -----------------
ASSETS:
<S> <C> <C> <C> <C>
Investments (Cost $1,085,158 and $436,007, respectively) $1,033,282 $444,542
Cash 59,849 2,216
Foreign currency (Cost $22 and $--, respectively) 22 --
Interest receivable 20,754 11,118
Receivable for investment securities sold 11,187 49,700
Receivable for shares of beneficial interest sold 1,487 3,540
Variation margin receivable 212 --
Unrealized gain on forward foreign currency contracts 9,032 --
---------- --------
Total Assets 1,135,825 511,116
---------- --------
LIABILITIES:
Payable for investment securities purchased 13,013 19,803
Payable for shares of beneficial interest redeemed 507 221
Unrealized loss on forward foreign currency contracts 15,835 --
Payable to affiliates 546 488
Accrued expenses 340 50
---------- --------
Total Liabilities 30,241 20,562
---------- --------
Net Assets $1,105,584 $490,554
========== ========
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization
-- no par value) based on 112,687,594, and
51,559,084 outstanding shares of beneficial
interest $1,205,512 $452,779
Undistributed net investment income/accumulated
net investment loss (24,803) 34,106
Accumulated net realized loss on investments (16,019) (4,869)
Net unrealized appreciation (depreciation) on investments (51,876) 8,535
Net unrealized appreciation on futures contracts 328 --
Net unrealized appreciation (depreciation) on
forward foreign currency contracts,
foreign currency and other assets and liabilities
denominated in foreign currency (7,558) 3
---------- --------
Net Assets $1,105,584 $490,554
========== ========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 9.81 $ 9.51
========== ========
</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>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (000)
-----------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST-- FOR THE YEAR ENDED SEPTEMBER 30, 2000
------------- ------------- --------------- ------------
EMERGING INTERNATIONAL EMERGING
INTERNATIONAL MARKETS FIXED MARKETS
EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND
-------------- ------------- -------------- ------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $ 53,088 $ 16,569 $ -- $ --
Interest 5,109 3,150 40,165 47,448
Less: Foreign Taxes Withheld (4,254) (1,223) (3) --
--------- -------- ------- --------
Total Investment Income 53,943 18,496 40,162 47,448
--------- -------- ------- --------
EXPENSES:
Management fees 11,669 7,996 5,786 2,568
Less: Management fees waived -- (59) (13) --
Investment advisory fees 13,095 12,917 1,765 3,359
Less: Investment advisory fees waived (274) (1,963) (106) (1,265)
Shareholder servicing fees 6,481 3,075 2,411 988
Less: Shareholder servicing fees waived -- -- (903) (494)
Custodian/wire agent fees 1,634 1,777 477 90
Professional fees 114 55 42 16
Registration & filing fees 343 140 112 29
Printing fees 151 74 57 23
Trustee fees 30 14 11 4
Pricing fees 18 14 12 12
Distribution fees 1 -- -- --
Interest Expense 154 64 -- --
Amortization of deferred organization costs -- -- -- 4
Miscellaneous expenses 1 2 1 1
--------- -------- ------- -------
Total Expenses 33,417 24,106 9,652 5,335
--------- -------- ------- -------
NET INVESTMENT INCOME (LOSS) 20,526 (5,610) 30,510 42,113
--------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) from:
Security transactions 76,539 49,993 (10,418) 27,874
Futures contracts 4,744 -- 580 --
Net realized loss on forward foreign currency
contracts and foreign currency transactions (2,669) (2,471) (42,161) --
Net change in unrealized appreciation
(depreciation) on forward foreign currency
contracts, foreign currencies, and translation
of other assets and liabilities in foreign
currency (437) 421 (4,944) 3
Net change in unrealized appreciation
(depreciation) on futures contracts (3,466) -- 328 --
Net change in unrealized appreciation
(depreciation) on investments (117,844) (112,010)* (69,734) 19,762
---------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS (43,133) (64,067) (126,349) 47,639
--------- --------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (22,607) $ (69,677) $(95,839) $89,752
========= ========= ======== =======
</TABLE>
*NET OF $340,171 DECREASE IN ACCRUED FOREIGN CAPITAL GAINS TAX ON APPRECIATED
SECURITIES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS (000)
-----------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30,
--------------------------- ----------------------------
INTERNATIONAL EMERGING MARKETS
EQUITY FUND EQUITY FUND
--------------------------- ----------------------------
2000 1999 2000 1999
--------------------------- ----------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income (loss) $ 20,526 $ 5,344 $ (5,610) $ (2,453)
Net realized gain (loss) from investment transactions 81,283 32,833 49,993 (34,375)
Net realized loss on forward foreign currency
contracts and foreign currency transactions (2,669) (641) (2,471) (2,152)
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 currency (3,903) 1,244 421 (117)
Net change in unrealized appreciation (depreciation)
on investments (117,844) 372,263 (112,010)* 301,729**
----------- ---------- ---------- ---------
Net increase (decrease) in net assets from operations (22,607) 411,043 (69,677) 262,632
----------- ---------- ---------- ---------
DISTRIBUTIONS FROM:
Net investment income:
Class A (7,033) (11,193) (587) (1,049)
Class D (1) (3) -- --
Net realized gains:
Class A (36,907) (37,113) -- --
Class D (8) (12) -- --
----------- ---------- ---------- ---------
Total distributions (43,949) (48,321) (587) (1,049)
----------- ---------- ---------- ---------
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from shares issued 2,554,782 1,066,515 1,069,751 450,898
Reinvestment of cash distributions 40,706 43,631 552 1,011
Cost of shares redeemed (1,419,516) (595,013) (581,917) (345,051)
----------- ---------- ---------- ---------
Increase in net assets from
Class A transactions 1,175,972 515,133 488,386 106,858
----------- ---------- ---------- ---------
Class D:
Proceeds from shares issued 80 44 -- --
Reinvestment of cash distributions 9 15 -- --
Cost of shares redeemed (46) (67) -- --
----------- ---------- ---------- ---------
Increase (decrease) in net assets from
Class D transactions 43 (8) -- --
----------- ---------- ---------- ---------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 1,176,015 515,125 488,386 106,858
----------- ---------- ---------- ---------
Net increase in net assets 1,109,459 877,847 418,122 368,441
NET ASSETS:
Beginning of period 1,844,885 967,038 866,911 498,470
----------- ---------- ---------- ---------
End of period $2,954,344 $1,844,885 $1,285,033 $ 866,911
=========== ========== ========== =========
(1) CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 189,656 97,155 96,424 56,297
Shares issued in lieu of cash distributions 3,108 4,292 48 141
Shares redeemed (105,728) (54,402) (51,686) (42,292)
----------- ---------- ---------- ---------
Total Class A transactions 87,036 47,045 44,786 14,146
----------- ---------- ---------- ---------
Class D:
Shares issued 5 4 -- --
Shares issued in lieu of cash distributions 1 2 -- --
Shares redeemed (3) (7) -- --
----------- ---------- ---------- ---------
Total Class D transactions 3 (1) -- --
----------- ---------- ---------- ---------
Net increase in capital shares 87,039 47,044 44,786 14,146
=========== ========== ========== =========
<FN>
*NET OF $340,171 DECREASE IN ACCRUED FOREIGN CAPITAL GAINS TAXES ON
APPRECIATED SECURITIES.
**NET OF $365,920 INCREASE IN ACCRUED FOREIGN CAPITAL GAINS 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>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30,
<TABLE>
<CAPTION>
----------------------------- ----------------------------------
INTERNATIONAL EMERGING MARKETS
FIXED INCOME FUND DEBT FUND
----------------------------- ----------------------------------
2000 1999 2000 1999
----------------------------- -----------------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 30,510 $ 19,381 $ 42,113 $ 27,534
Net realized gain (loss) from investment transactions (9,838) (3,927) 27,874 (776)
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions (42,161) (6,019) -- 12
Net change in unrealized appreciation (depreciation)
on forward foreign currency contracts, foreign
currencies, futures contracts and translation of other
assets and liabilities denominated in foreign currencies (4,616) (4,342) 3 --
Net change in unrealized appreciation (depreciation)
on investments (69,734) (11,734) 19,762 29,103
---------- --------- ---------- --------
Net increase (decrease) in net assets from operations (95,839) (6,641) 89,752 55,873
---------- --------- ---------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A (14,878) (25,854) (28,920) (18,629)
Net realized gains:
Class A -- (9,656) -- --
---------- --------- ---------- --------
Total distributions (14,878) (35,510) (28,920) (18,629)
---------- --------- ---------- --------
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from shares issued 613,573 473,365 216,289 145,289
Reinvestment of cash distributions 14,289 33,746 28,405 18,391
Cost of shares redeemed (221,001) (189,320) (98,965) (79,869)
---------- --------- ---------- --------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 406,861 317,791 145,729 83,811
---------- --------- ---------- --------
Net increase in net assets 296,144 275,640 206,561 121,055
NET ASSETS:
Beginning of period 809,440 533,800 283,993 162,938
---------- --------- ---------- --------
End of period $1,105,584 $ 809,440 $ 490,554 $283,993
========== ========= ========== ========
(1) CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 59,171 42,467 24,257 19,085
Shares issued in lieu of cash distributions 1,332 2,846 3,386 2,533
Shares redeemed (21,231) (16,794) (11,114) (10,439)
---------- --------- ---------- --------
Net increase in capital shares 39,272 28,519 16,529 11,179
========== ========= ========== ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</TABLE>
29
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
------------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, FOR THE SEVEN MONTH PERIOD ENDED SEPTEMBER 30, 1998 AND
FOR THE YEARS ENDED FEBRUARY
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
RATIO OF
NET
INVEST-
MENT
RATIO INCOME/
OF NET (LOSS)
INVEST- RATIO OF TO
NET DISTRI- DISTRI- RATIO MENT EXPENSES AVERAGE
NET NET REALIZED BUTIONS BUTIONS NET OF INCOME/ TO NET
ASSET INVEST- AND UN- FROM FROM ASSET EXPENSES (LOSS) AVERAGE ASSETS PORT-
VALUE MENT REALIZED NET IN- REALIZED VALUE NET ASSETS TO AVER- TO AVER- NET ASSETS EXCLU- FOLIO
BEGINNING INCOME/ GAINS/ VESTMENT CAPITAL END OF TOTAL END OF AGE NET AGE NET (EXCLUDING DING TURNOVER
OF PERIOD (LOSS) (LOSSES) INCOME(4) GAINS PERIOD RETURN PERIOD (000) ASSETS ASSETS WAIVERS) WAIVERS) RATE
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------
INTERNATIONAL EQUITY FUND
--------------------------
CLASS A
For the years ended September 30:
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000 $12.09 $0.08 $ 0.43 $(0.04) $(0.23) $12.33 4.15% $2,953,872 1.29++ 0.79% 1.30% 0.78% 73%
1999(2) 9.16 0.04 3.34 (0.10) (0.35) 12.09 37.86 1,844,459 1.28 0.39 1.31 0.36 61
For the seven month period ended September 30:
1998(2) $10.15 $ 0.07 $(1.06) $ -- $ -- $ 9.16 (9.75)% $ 966,707 1.24%+ 1.60%+ 1.31%+ 1.53%+ 66%
For the years ended February 28 or 29:
1998(2)$ 9.67 $ 0.17 $ 0.77 $(0.18) $(0.28) $10.15 10.21% $ 851,542 1.21% 1.31% 1.30% 1.22% 75%
1997 10.00 0.09 0.47 (0.07) (0.82) 9.67 5.70 524,062 1.28 1.11 1.42 0.97 117
1996 9.59 0.14 1.45 (0.19) (0.99) 10.00 17.30 347,646 1.25 1.29 1.29 1.25 102
CLASS D
For the years ended September 30:
2000 $11.97 $0.06 $ 0.43 $(0.02) $(0.23) $12.21 4.04% $ 472 1.44%++ 0.62% 1.45% 0.61% 73%
1999 9.07 (0.01) 3.35 (0.09) (0.35) 11.97 37.69 426 1.43 0.20 1.46 0.17 61
For the seven month period ended September 30:
1998(2) $10.06 $ 0.06 $(1.05) $ -- $ -- $9.07 (9.84)% $ 331 1.39%+ 1.36%+ 1.46%+ 1.29%+ 66%
For the years ended February 28 or 29:
1998(2) $ 9.58 $ 0.15 $ 0.77 $(0.16) $(0.28) $10.06 9.92% $ 302 1.36% 1.16% 1.45% 1.07% 75%
1997 9.93 0.05 0.47 (0.05) (0.82) 9.58 5.39 177 1.55 0.71 1.65 0.61 117
1996 9.56 0.04 1.50 (0.18) (0.99) 9.93 16.77 199 1.65 0.58 1.90 0.33 102
-----------------------------
EMERGING MARKETS EQUITY FUND
-----------------------------
CLASS A
For the years ended September 30:
2000(2) $ 9.13 $(0.05) $ 0.12 $(0.01) $ -- $ 9.19 0.71% $1,285,033 1.96% (0.46)% 2.12% (0.62)% 110%
1999 6.17 (0.03) 3.00 (0.01) -- 9.13 48.23 866,911 1.95 (0.35) 2.14 (0.54) 129
For the seven month period ended September 30:
1998 $10.55 $ 0.07 $(4.45) $ -- $ -- $ 6.17 (41.52)% $ 498,470 1.95%+ 1.51%+ 2.24%+ 1.22%+ 46%
For the years ended February 28 or 29:
1998 $12.87 $(0.03) $(2.25) $(0.03) $(0.01) $10.55 (17.72)% $ 509,748 1.95% (0.12)% 2.36% (0.53)% 76%
1997 10.93 0.01 1.96 (0.02) (0.01) 12.87 18.02 221,474 1.95 (0.04) 2.55 (0.64) 100
1996 10.27 (0.02) 0.72 -- (0.04) 10.93 6.83 67,181 1.95 (0.23) 2.72 (1.00) 104
--------------------------------
INTERNATIONAL FIXED INCOME FUND
--------------------------------
CLASS A
For the years ended September 30:
2000 $11.03 $0.31 $ (1.35) $(0.18) $ -- $ 9.81 (9.58)% $1,105,584 1.00% 3.17% 1.11% 3.06% 190%
1999 11.89 0.30 (0.42) (0.53) (0.21) 11.03 (1.36) 809,440 1.00 2.97 1.22 2.75 278
For the seven month period ended September 30:
1998 $10.68 $ 0.40 $ 0.81 $ -- $ -- $11.89 11.33% $ 533,800 1.00%+ 3.61%+ 1.21%+ 3.40%+ 112%
For the years ended February 28 or 29:
1998 $10.53 $ 0.23 $ 0.11 $(0.10) $(0.09) $10.68 3.23% $ 408,974 1.00% 3.92% 1.24% 3.68% 280%
1997 10.77 0.71 (0.49) (0.38) (0.08) 10.53 1.85 204,219 1.00 3.99 1.39 3.60 352
1996 10.42 0.58 0.89 (1.02) (0.10) 10.77 13.96 84,318 1.00 4.70 1.27 4.43 269
----------------------------
EMERGING MARKETS DEBT FUND
----------------------------
CLASS A
For the years ended September 30:
2000 $ 8.11 $0.84 $ 1.33 $(0.77) $ -- $ 9.51 28.07% $ 490,554 1.35% 10.67% 1.80% 10.22% 227%
1999 6.83 0.84 1.19 (0.75) -- 8.11 31.15 283,993 1.35 12.27 1.82 11.80 184
For the seven month period ended September 30:
1998 $10.31 $(0.11) $(3.37) $ -- $ -- $ 6.83 (33.75)% $ 162,938 1.35%+ 10.28%+ 1.84%+ 9.79%+ 186%
For the period ended February 28:
1998(1) $10.00 $ 0.56 $ -- $(0.25) $ -- $10.31 5.64% $ 154,284 1.35%+ 8.05%+ 1.94%+ 7.46%+ 269%
<FN>
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
+ ANNUALIZED.
++ THE RATIO OF EXPENSES TO AVERAGE NET ASSETS, EXCLUDING INTEREST EXPENSE, IS 1.28% AND 1.43% FOR CLASS A SHARES AND CLASS D
SHARES, RESPECTIVELY, FOR THE YEAR ENDED SEPTEMBER 30, 2000.
(1) EMERGING MARKETS DEBT CLASS A SHARES WERE OFFERED BEGINNING JUNE 29, 1997.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) PER SHARE NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAINS/(LOSSES) CALCULATED USING AVERAGE
SHARES.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
1. ORGANIZATION
SEI Institutional International Trust, (the "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 funds: the International
Equity Fund, the Emerging Markets Equity Fund, the International Fixed Income
Fund and the Emerging Markets Debt Fund (together the "Funds"). The Trust's
prospectuses provide a description of each Fund's investment objectives,
policies, and strategies. The Trust is registered to offer Class A shares of
each of the Funds and Class D shares of the International Equity Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
policies are in conformity with generally accepted accounting principles.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities that are listed on a securities
exchange for which market quotations are readily available are valued by an
independent pricing service at the last quoted sales price for such securities,
or if there is no such reported sale on the valuation date, at the most recently
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recently quoted bid price. Debt obligations
with sixty days or less remaining until maturity may be valued at amortized
cost, which approximates market value. Other securities for which market
quotations are not readily available or securities whose market quotations do
not reflect market value are valued at fair value using good faith pricing
procedures approved by the Board of Trustees.
FEDERAL INCOME TAXES -- It is the intention of each Fund to continue to
qualify as a regulated investment company and to distribute substantially all of
its taxable income. Accordingly, no provision for Federal income taxes has been
made in the financial statements.
The Funds may be subject to taxes imposed by countries in which they invest
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned. The Funds accrue
such taxes when the related income is earned.
NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by the custodian bank until maturity of the repurchase
agreements. Provisions of the repurchase agreements and procedures adopted by
the Trust require that the market value of the collateral to cover principal and
interest, including accrued interest thereon, is sufficient in the event of
default by the counterparty.
The Funds may also invest in tri-party repurchase agreements. Securities
held as collateral for tri-party repurchase agreements are maintained in a
segregated account by the broker's custodian bank until maturity of the
repurchase agreement. Provisions of the agreements require that the market value
of the collateral, including accrued interest thereon, is sufficient to cover
principal and interest in the event of default by the counterparty of the
repurchase agreement.
If the counterparty defaults and the value of the collateral declines or if
the counterparty enters an insolvency proceeding, realization of the collateral
by the Fund may be delayed or limited.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following bases: (I) market value of investment securities, other
assets and liabilities at the current rate of exchange; and (II) purchases and
sales of investment securities, income and expenses at the relevant rates of
exchange prevailing on the respective dates of such transactions.
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
For foreign equity securities, the Funds do not isolate that portion of
gains and losses on investment securities that is due to changes in the foreign
exchange rates from that which is due to changes in market prices of such
securities.
The Funds do isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon sale or maturity of foreign currency
denominated debt obligations for Federal income tax purposes.
The Funds report gains and losses on foreign currency-related transactions
as realized and unrealized gains and losses for financial reporting purposes,
whereas such gains and losses are treated as ordinary income or loss for Federal
income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward
foreign currency contracts as hedges against either specific transactions, fund
positions or anticipated fund positions. The aggregate principal amounts of the
contracts are not recorded as the Funds do not intend to hold the contracts to
maturity. All commitments are "marked-to-market" daily at the applicable foreign
exchange rate, and any resulting unrealized gains or losses are recorded
currently. The Funds realize gains and losses at the time forward contracts are
extinguished. Unrealized gains or losses on outstanding positions in forward
foreign currency contracts held at the close of the year are recognized as
ordinary income or loss for federal income tax purposes.
FUTURES CONTRACTS -- The International Equity Fund and the International
Fixed Income Fund utilized futures contracts during the year ended September 30,
2000. The Funds investment in these futures contracts is designed to enable the
Funds 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 Funds record 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.
EQUITY-LINKED WARRANTS -- The International Equity and Emerging Markets
Equity Funds each may invest in equity-linked warrants. The Fund purchases the
equity-linked warrants from a broker, who in turn purchases shares in the local
market and issues a call warrant hedged on the underlying holding. If the Fund
exercises its call and closes its position, the shares are sold and the warrant
redeemed with the proceeds. Each warrant represents one share of the underlying
stock, therefore, the price, performance and liquidity of the warrant are all
directly linked to the underlying stock. The warrants can be redeemed for 100%
of the value of the underlying stock, less transaction costs. In addition to the
market risk of the underlying holding, the Fund bears additional counterparty
risk to the issuing broker. There is currently no active trading market for
equity-linked warrants.
OPTION SELLING/PURCHASING -- The Funds may invest in financial options
contracts solely for the purpose of hedging its existing portfolio securities,
or securities that the Funds intend to purchase, against fluctuations in fair
value caused by changes in prevailing market interest rates. When the Fund sells
or purchases an option, an amount equal to the premium received or paid by the
Fund is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing or writing options which expire unexercised are treated by
the Fund on the expiration date as realized gains or losses. The difference
between the premium and the amount paid or received on effecting a closing
purchase or sale transaction, including brokerage commissions, is also treated
as a realized gain or loss. If an option is exercised, the premium paid or
received is added to the cost of the purchase or proceeds from the sale in
determining whether the Fund has realized a gain or a loss on investment
transactions.
32
<PAGE>
-------------------------------------------------------------------------------
CLASSES -- Class-specific expenses, such as Shareholder Servicing for Class
A and 12b-1 and Transfer Agent for Class D, are borne by that class. Income,
expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly, the following permanent differences have been reclassified
to/from the following accounts:
UNDISTRIBUTED
ACCUMULATED NET
PAID-IN- REALIZED INVESTMENT
CAPITAL GAIN (LOSS) INCOME (LOSS)
(000) (000) (000)
-------------------------------------------------------------------------------
International Equity
Fund $20,125 $(15,693) $(4,432)
Emerging Markets
Equity Fund (642) (8,628) 9,270
These reclassifications are primarily attributable to the Fund's
utilization of earnings and profits distributed to shareholders on redemption of
shares as part of the dividends paid deduction for income tax purposes, as well
as the reclassification of realized foreign exchange gains and losses from
accumulated net realized gain (loss) on foreign currency transactions to
undistributed net investment income
These reclassifications have no effect on the net asset values per share.
OTHER -- Security transactions are reported for on the trade date of the
security purchase or sale. Costs used in determining net realized capital gains
and losses on the sale of investment securities are those of the specific
securities sold. Purchase discounts and premiums on securities held by the Funds
are accreted and amortized to maturity using the scientific interest method,
which approximates the effective interest method. Dividend income is recognized
on the ex-dividend date and interest income is recognized using the accrual
method.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
SEI Investments Fund Management (the "Manager") and the Trust are parties to a
management agreement dated September 30, 1988, under which the Manager provides
management, administrative and shareholder services to the Trust for an annual
fee equal to .45% of the average daily net assets of the International Equity
Fund, .60% of the average daily net assets of the International Fixed Income
Fund, and .65% of the average daily net assets of the Emerging Markets Equity
and Emerging Markets Debt Funds. The Manager has voluntarily agreed to waive all
or a portion of its fees and, if necessary, reimburse other operating expenses
in order to limit the operating expenses of each Fund.
SEI Investments Management Corporation ("SIMC") acts as the investment
adviser for the International Equity, Emerging Markets Equity and Emerging
Markets Debt Funds. Under the Invest-ment Advisory Agreement, SIMC receives an
annual fee of .505% of the average daily net assets of the International Equity
Fund, 1.05% of the average daily net assets of the Emerging Markets Equity Fund,
and .85% of the average daily net assets of the Emerging Markets Debt Fund. The
Adviser has voluntarily agreed to waive all or a portion of its fees and, if
necessary, reimburse other operating expenses in order to limit the operating
expenses of each fund.
As of September 30, 2000, pursuant to Sub-Advisory Agreements with SIMC,
Acadian Asset Management, Inc., Capital Guardian Trust Company, BlackRock
International, Ltd., Oechsle International Advisors, Jardine Fleming
International Management Inc. and Martin Currie Inc. serve as Sub-Advisers to
the International Equity Fund, and SG Pacific Asset Management Inc. (formally
Yamaichi Capital Management. Inc.), Morgan Stanley Asset Management Inc.,
Nicholas-Applegate Capital Management Inc., Schroder Investment Management North
America, Inc. and The Boston Company Asset Management serve as Sub-Advisers to
the Emerging Markets Equity Fund. Salomon Brothers Asset Management, Inc. serves
as the Sub-Adviser to the Emerging Markets Debt Fund.
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
Strategic Fixed Income, LLC, the Adviser for the International Fixed Income
Fund, is a party to an investment advisory agreement with the Trust dated June
15, 1993. Under the investment advisory agreement, Strategic Fixed Income, LLC,
receives an annual fee of up to .30% of the average daily net assets of the
Fund. Strategic Fixed Income, LLC, has voluntarily agreed to waive all or a
portion of their fee, in conjunction with the Manager, in order to limit the
total operating expenses of the Fund. Effective January 1, 2000, Strategic Fixed
Income, LLC, receives an annual fee of up to .15% of the average net assets of
the Fund.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI Investments and a registered broker-dealer, serves as each
Fund's distributor pursuant to a distribution agreement with the Trust.
Effective April 15, 1996, the Trust adopted a shareholder servicing plan (the
"Class A Plan") pursuant to which a shareholder servicing fee of up to .25% of
the average daily net assets attributable to the Class A shares are paid to the
Distributor. Under the Class A Plan, the Distributor may perform, or may
compensate other service providers for performing certain shareholder and
administrative services. The Distributor has voluntarily agreed to waive all or
a portion of its fees in order to limit the operating expenses of each fund.
The International Equity Fund has adopted a distribution plan for its Class
D shares (the "Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the
average daily net assets attributable to the Class D shares is paid to the
Distributor. As of September 30, 2000, the Distributor was taking a fee under
the Class D Plan of .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 September 30, 2000, the Funds paid commissions of
$621,637 to affiliated broker-dealers.
The Emerging Markets Equity and International Equity Funds also used the
Distributor as an agent in placing repurchase agreements. For this service the
Distributor retains a portion of the interest earned as a commission. Such
commissions for the year ended September 30, 2000 were $12,912 and $25,919,
respectively.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The Funds enter into forward foreign currency exchange contracts as hedges
against fund positions and anticipated fund positions. Such contracts, which are
designed to protect the value of the Fund's investment securities against a
decline in the value of the hedged currency, do not eliminate fluctuations in
the underlying prices of the securities; they simply establish an exchange rate
at a future date. Also, although such contracts tend to minimize risk of loss
due to a decline in the value of a hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at
September 30, 2000:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
---------------------- --------------- --------- --------------
INTERNATIONAL EQUITY FUND
-------------------------
FOREIGN CURRENCY PURCHASES:
10/03/00-10/05/00 AD 501,658 $ 274,267 $ (2,572)
10/02/00-10/03/00 EC 3,980,159 3,510,812 1,689
10/03/00 HD 19,890,989 2,550,945 196
10/02/00-10/04/00 JY 289,558,690 2,685,704 (5,955)
10/02/00 SD 41,361 23,738 29
10/04/00 UK 3,762,615 5,497,180 65,871
----------- ----------
$14,542,646 $ 59,258
----------- ----------
FOREIGN CURRENCY SALES:
10/02/00-10/05/00 EC 5,268,634 $ 4,648,477 $ (1,216)
10/02/00-10/04/00 JY 327,018,240 3,040,344 14,063
10/02/00-10/04/00 SD 16,530,271 9,479,522 (19,487)
10/02/00 SK 18,666,111 1,929,812 (7,913)
10/04/00-10/06/00 UK 667,239 982,830 (3,695)
------------ ----------
$ 20,080,985 $ (18,248)
------------ ----------
$ 41,010
==========
34
<PAGE>
-------------------------------------------------------------------------------
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
------------ ----------------- --------- ---------------
INTERNATIONAL FIXED INCOME FUND
-------------------------------
FOREIGN CURRENCY PURCHASES:
11/22/00 AD 4,657,793 $ 2,518,329 $ 3,384
11/22/00 CD 14,529,577 9,681,867 (10,353)
11/22/00 CH 54,088,687 30,881,536 568,232
10/04/00-11/22/00DK 34,893,935 4,051,741 80,806
11/22/00 EC 461,540,347 398,560,238 9,633,733
11/22/00 JY 39,107,442,630 370,425,462 (5,107,550)
11/22/00 NK 62,120,982 6,600,000 238,405
11/22/00 UK 110,086,862 159,216,817 3,625,070
------------- ------------
$ 981,935,990 $ 9,031,727
------------- ------------
FOREIGN CURRENCY SALES:
11/22/00 CD 53,247,905 $ 35,796,862 $ 352,760
11/22/00 CH 39,510,065 22,849,749 (123,306)
11/22/00 DK 18,253,333 2,152,516 (9,766)
11/22/00 EC 458,441,647 392,271,292 (13,182,137)
11/22/00 JY 25,908,805,566 244,375,232 2,350,949
11/22/00 SK 48,561,991 4,960,367 (102,715)
11/22/00 UK 109,077,369 156,227,708 (5,120,923)
------------- ------------
$ 858,633,726 $(15,835,138)
------------- ------------
$ (6,803,411)
============
CURRENCY LEGEND
AD Australian Dollar JY Japanese Yen
CD Canadian Dollar NK Norwegian Kroner
CH Swiss Franc SD Singapore Dollar
DK Danish Kroner SK Swedish Krona
EC Euro Currency UK British Pound Sterling
HD Hong Kong Dollar
5. 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
year ended September 30, 2000, were as follows:
PURCHASES SALES
(000) (000)
---------- ----------
International Equity Fund $2,797,994 $1,271,641
Emerging Markets Equity Fund 1,728,434 1,271,641
International Fixed Income Fund 1,365,845 1,178,097
Emerging Markets Debt Fund 617,998 514,095
The International Fixed Income Fund purchased (in thousands) $5,060 and
sold $5,669 in U.S. government securities, during the year ended September 30,
2000.
For Federal income tax purposes, the cost of securities owned at September
30, 2000 and the net realized gains or losses on securities sold for
the year then ended was not materially different from the amounts reported for
financial reporting purposes as shown below. The aggregate gross unrealized
appreciation and depreciation at September 30, 2000 for the Funds is as follows:
<TABLE>
<CAPTION>
BOOK
NET LESS: TAX
APPRE- DEPRE- UNREALIZED TAX NET
CIATED CIATED APPRECIATION/ BASIS APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION) ADJUSTMENTS (DEPRECIATION)
(000) (000) (000) (000) (000)
-------- -------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C>
International Equity
Fund $360,646 $(204,485) $156,161 $16,492 $139,669
Emerging Markets
Equity Fund 168,366 (116,447) 51,919* 39,142 12,777
International Fixed
Income Fund 8,473 (60,349) (51,876) 9,840 (61,716)
Emerging Markets
Debt Fund 22,077 (13,542) 8,535 1,056 7,479
*Net of $25,749 change in accrued foreign capital gains tax on appreciated
securities.
Subsequent to October 31, 1999, the following Funds had recognized net capital
and net foreign currency losses that have been deferred to 2000 for tax purposes
and can be used to offset future capital and foreign currency gains at September
30, 2001. The Funds also had capital loss carry-forwards at September 30, 2000,
that can be used to offset future capital gains.
</TABLE>
POST POST CAPITAL LOSS
10/31/99 10/31/99 CARRYOVERS
CAPITAL CURRENCY EXPIRING
LOSS DEFERRAL LOSS DEFERRAL 2006-2008
-------------- -------------- -------------
International Equity -- $ 2,476,375 --
Emerging Markets Equity -- 2,400,258 $129,042,484
International Fixed
Income $2,488,472 31,915,697 3,689,834
Emerging Markets Debt -- -- 3,813,486
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000
6. FUTURES CONTRACTS
The following Funds had futures contracts open as of September 30, 2000:
CONTRACT NUMBER OF MARKET SETTLEMENT UNREALIZED
DESCRIPTION CONTRACTS VALUE MONTH GAIN/(LOSS)
------------------ ------------ --------- ----------- -------------
INTERNATIONAL EQUITY FUND
Australia Ords
Index 120 5,391,086 December 2000 $ 100,189
DJ Euro Stoxx 1,212 53,126,536 December 2000 (2,491,493)
FT-SE 100 Index 330 31,016,121 December 2000 (957,789)
Hang Seng Index 27 2,718,388 October 2000 99,127
Topix 247 33,600,777 December 2000 (280,285)
------------
$ (3,530,251)
============
INTERNATIONAL FIXED INCOME
Japan 10 Year
Bond 79 96,816,306 December 2000 $ 328,302
============
7. CONCENTRATION OF RISKS
Each Fund invests in securities of foreign issuers in various countries. These
investments may involve certain considerations and risks not typically
associated with investments in the United States, as a result of, among other
factors, the possibility of future political and economic developments and the
level of governmental supervision and regulation of securities markets in the
respective countries. The International Fixed Income Fund and Emerging Markets
Debt Fund invest in debt securities, the market value of which may change in
response to interest rate changes. Also, the ability of the issuers of debt
securities held by the International Fixed Income Fund and Emerging Markets Debt
Fund to meet its obligations may be affected by economic and political
developments in a specific country, industry or region.
8. LOAN PARTICIPATIONS AND BRADY BONDS
The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated
fixed and floating rate loans ("Loans") arranged through private negotiations
between a foreign sovereign entity and one or more financial institutions
("Lenders"). The Fund invests in such Loans in the form of participations in
Loans ("Participations") or assignments of all or a portion of loans from third
parties ("Assignments"). Participations typically result in the Fund having a
contractual relationship only with the Lender, not with the sovereign borrower.
The Fund has the right to receive payments of principal, interest and any fees
to which it is entitled from the Lender selling the Participation and only upon
receipt by the Lender of the payments from the borrower. In connection with
purchasing Participations, the Fund generally has no right to enforce compliance
by the borrower with the terms of the loan agreement relating to the Loan, nor
any rights of set-off against the borrower, and the Fund will not benefit
directly from any collateral supporting the Loan in which it has purchased the
Participation. As a result, the Fund assumes the credit risk of both the
borrower and the Lender that is selling the Participation. The Fund may have
difficulty disposing of Participations and Assignments because the market for
such instruments is not highly liquid.
Certain debt obligations, customarily referred to as "Brady Bonds," are
created through the exchange of existing commercial bank loans to foreign
entities for new obligations in connection with debt restructuring under a plan
introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady
Bonds have only been issued since 1989, and, accordingly, do not have a long
payment history. They are issued by governments that may have previously
defaulted on the loans being restructured by the Brady Bonds, so are subject to
the risk of default by the issuer. They may be fully or partially collateralized
or uncollateralized and issued in various currencies.
36
<PAGE>
--------------------------------------------------------------------------------
9. LINE OF CREDIT
Each Fund may borrow, an amount up to its prospectus defined limitations, from
an $81 million committed line of credit available to the SEI Institutional
International Trust. Borrowings from the line of credit will bear interest at
the Federal Funds Rate plus 0.625%. As of September 30, 2000, there were no
borrowings outstanding under the agreement.
10. OTHER
On September 30, 2000, one shareholder held approximately 83%, 79%, 80%, and 85%
of the outstanding shares of the International Equity Fund, the Emerging Markets
Equity Fund, the International Fixed Income Fund and the Emerging Markets Debt
Fund, respectively. This shareholder is comprised of omnibus accounts, which are
held on behalf of several individual shareholders.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
--------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
SEI Institutional International Trust
In our opinion, the accompanying statements of net assets of the International
Equity and Emerging Markets Equity Funds and the statement of assets and
liabilities, including the schedule of investments, of the International Fixed
Income and Emerging Markets Debt Funds, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the International Equity, Emerging
Markets Equity, International Fixed Income and Emerging Markets Debt Funds
(constituting the SEI Institutional International Trust, hereafter referred to
as the "Trust") at September 30, 2000, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
periods presented, in conformity with accounting principles generally accepted
in the United States of America. 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 auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
September 30, 2000 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 10, 2000
38
<PAGE>
NOTICE TO SHAREHOLDERS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
For shareholders that do not have a September 30, 2000 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
2000 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 2000 the Funds of the SEI Institutional
International Trust are designating the following items with regard to
distributions paid during the year.
<TABLE>
<CAPTION>
LONG TERM ORDINARY
CAPITAL GAINS INCOME
DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) TOTAL
---------- -------------- -------------- ----------
<S> <C> <C> <C>
International Equity 68% 32% 100%
Emerging Markets Equity 0% 100% 100%
International Fixed Income 0% 100% 100%
Emerging Markets Debt 0% 100% 100%
</TABLE>
39
<PAGE>
NOTES
--------------------------------------------------------------------------------
<PAGE>
-----------------------
SEI INSTITUTIONAL
INTERNATIONAL TRUST
-----------------------
ANNUAL REPORT
-----------------------
SEPTEMBER 30, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
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
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia A. Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
James R. Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady
ASSISTANT SECRETARY
INVESTMENT ADVISERS
INTERNATIONAL EQUITY FUND
SEI Investments Management Corporation
EMERGING MARKETS EQUITY FUND
SEI Investments Management Corporation
INTERNATIONAL FIXED INCOME FUND
Strategic Fixed Income LLC
EMERGING MARKETS DEBT FUND
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI INVESTMENTS
DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL 1[BULLET]800[BULLET]DIAL[BULLET]SEI/1[BULLET]800
[BULLET]342[BULLET]5734
<PAGE>
[Logo Omitted]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-018 (9/00)
