[photo cover omitted]
SEMI-
ANNUAL REPORT
--------------------------------------------------------------------------------
To Shareholders
June 30, 2000
[logo omitted]
<PAGE>
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS ..................................... 1
STATEMENT OF NET ASSETS .................................... 4
STATEMENTS OF OPERATIONS ................................... 41
STATEMENTS OF CHANGES IN NET ASSETS ........................ 44
FINANCIAL HIGHLIGHTS ....................................... 50
NOTES TO FINANCIAL STATEMENTS .............................. 56
NOT May Lose Value
FDIC No Bank Guarantee
INSURED
<PAGE>
LETTER TO SHAREHOLDERS [LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
[photo omitted] [photo omitted]
HILTON M. JERVEY, CFA MARK E.NAGLE
CHIEF INVESTMENT OFFICER PRESIDENT AND CEO
SUMMIT BANK THE PILLAR FUNDS
INVESTMENT OUTLOOK
July 2000
Uncertain. That's the word that best describes the current investment
climate. During the first half of the year, the financial markets have inspired
a broad range of emotions as investors continued to sort out the implications of
current economic policies and trends.
Early in the second quarter, the euphoria over the high valuations placed
on Internet and biotechnology companies was waning. All of the major equity
averages declined during the second quarter and are now down year-to-date. This
occurred as it became clear that the speed of our economy's high real growth
rate was making the Federal Reserve Board uncomfortable.
Evidence of this came as the Federal Reserve Board continued its trend of
gradually raising interest rates to hold back inflation. And in May, short rates
were increased by a more aggressive 1/2 of 1%. Longer-term rates fell from the
high reached during the second quarter but were virtually unchanged from the end
of the first quarter.
A LINK BETWEEN HIGH REAL GROWTH AND INFLATION?
The real uncertainty began when the Federal Reserve started sending
conflicting signals about both their intentions and true concerns. Rather than a
clear-cut focus on promoting price stability, the Board spoke of a causal link
between high real growth and inflation. The idea that growth by itself is a
contributor to price pressures is a dangerous concept that still finds credence
in many academic and policy circles. On the surface, there may be some logic in
thinking that rising demand would make it easier for producers to raise prices.
But, in fact, when demand increases producers will almost always compete against
each other by increasing supply to satisfy demand, leaving prices largely
unchanged.
If our policy makers continue to insist that high real growth is
threatening, there are some very real penalties to be paid by our society. It is
no accident that our recent rate of growth has encouraged marginal workers to
find jobs. This has helped to reduce both welfare and crime. Slowing growth
would be felt most by those at the bottom of the economic ladder. This would be
an unfortunate outcome for all of us. Board members have also pointed to
increases in asset values, particularly the stock market, as another contributor
to unsustainable demand.
INFLATION OR NO INFLATION?
When it comes to inflation, the two elements to consider are raw material
prices and wage trends. Raw material prices have indeed moved up from the very
depressed levels they reached following the downturn in Southeast Asian
economies in late 1998. The most spectacular example of this is energy prices.
But many corporations are complaining that they are unable to pass the full
impact of these cost increases on to their customers.
(CONTINUED NEXT PAGE)
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1
<PAGE>
LETTER TO SHAREHOLDERS
(CONTINUED)
Wage increases have also begun to show some modest acceleration, especially
the benefits component. This trend has been troubling to the monetary
authorities because workers' compensation is a huge part of most companies'
costs. But here too there are factors at work greatly moderating the potential
inflationary impact. First and most important, the productivity of American
workers has been extremely high so unit labor costs have shown very little
increase. And second, competitive conditions make it very difficult to raise
prices anyway. Consequently, we believe that the very recent moderate
acceleration in the rate of inflation has no staying power.
STATISTICAL SIGNS OF MODERATING GROWTH
The Federal Reserve has been encouraged by recent economic statistics that
have shown definite signs of moderating growth. While consumer confidence
remains at a high level, the second quarter showed overall consumer spending
lagging consumer incomes. This was in sharp contrast to the first quarter trend
when the reverse was true.
Employment gains have slowed and unemployment claims have moved back to
levels not seen in some time. Meanwhile, corporations have maintained the
aggressive capital spending that they know is the primary road to gains in
productivity and longer-term competitiveness. In light of this more positive
economic news, the Federal Reserve Board members decided to forego another
interest rate increase at their regular late June meeting.
THE OUTLOOK FOR INTEREST RATES
We believe that it is a distinct possibility that we may not see another
interest rate increase this year. The next Federal Reserve meeting is in August.
If the economy continues to show expected signs of moderating growth, with
little detectable acceleration in inflation, then Board members may again pass
on an increase. Beyond August it is unlikely that rates will be raised because
of the imminent national election. The Board may feel reluctant to be put in the
position of conceivably influencing the outcome of the election.
Another aspect of current short-term interest rates further justifies no
additional increases. Even though the Federal Reserve action in raising rates
has been modest by historical standards, real short rates - adjusted for
inflation -- are currently quite high. The main reason for this is that short
rates, in sharp contrast to most previous expansionary periods, never fell as
much as they usually do. Consequently, it has taken much less overt action by
monetary policy to make it expensive for users of short-term credit.
STAY WITH THE STRATEGY
In light of the current conditions, we believe it's best to maintain our
equity investment strategy. We intend to keep our current exposures to both
stocks and sector allocations. We've seen the cyclical recovery of many of the
"old economy" stocks. This, combined with a continued strong contribution from
the broadly-defined technology sector, has resulted in robust earnings
comparisons for several quarters. We feel that with the decline in stock prices
this year, valuation levels have become much more reasonable.
--------------------------------------------------------------------------------
2
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
THE ROAD AHEAD
Looking ahead, reported profit growth should remain strong. But, global
competitive conditions make it likely that technology will continue to be the
source of most secular high growth. We see almost daily examples of how
difficult managements are finding it to develop and successfully execute winning
strategies in their businesses. Investor impatience has spawned a high level of
turnover among corporate leaders. A slowing economy and a more neutral
environment for the dollar because of better conditions abroad are going to make
it even more difficult to avoid disappointments.
We continue to carefully examine our portfolio holdings for any signs of
weakness. Only the strongest and most advantageously positioned companies can
prosper. We believe our portfolios contain many of those companies on your
behalf.
Sincerely,
/s/HILTON M. JERVEY
Hilton M. Jervey
Chief Investment Officer
Summit Bank
/s/MARK E. NAGLE
Mark E. Nagle
President and CEO
The Pillar Funds
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3
<PAGE>
STATEMENT OF NET ASSETS
U.S. TREASURY SECURITIES MONEY MARKET FUND
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--27.8%
U.S. Treasury Notes (A)
6.125%, 09/30/00 $ 50,000 $ 49,994
5.500%, 12/31/00 100,000 99,554
5.375%, 07/31/00 42,000 41,980
4.625%, 11/30/00 35,000 34,749
4.625%, 12/31/00 20,000 19,842
--------
Total U.S. Treasury Obligations
(Cost $246,119) 246,119
--------
REPURCHASE AGREEMENTS--72.5%
Barclays
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$216,486,147 (collateralized by
U.S. Treasury Obligations, total
market value $220,697,462) (B) 216,369 216,369
JP Morgan
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$42,317,316 (collateralized by
U.S. Treasury Obligation, total
market value $43,140,911) (B) 42,294 42,294
Lehman Brothers
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$42,334,477 (collateralized by U.S.
Treasury Obligations, total
market value $43,159,279) (B) 42,312 42,312
Merrill Lynch
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$42,155,716 (collateralized by U.S.
Treasury Obligations, total
market value $42,980,388) (B) 42,133 42,133
Morgan Stanley 6.480%, dated
06/30/00, matures 07/03/00,
repurchase price $42,996,303
(collateralized by U.S. Treasury
Obligations, total market
value $44,000,571) (B) 42,973 42,973
Prudential
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$43,043,485 (collateralized by U.S.
Treasury Obligations, total
market value $43,881,143) (B) 43,020 43,020
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Warburg
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$211,679,314 (collateralized by U.S.
Treasury Obligation, total
market value $215,801,191) (B) $211,565 $211,565
--------
Total Repurchase Agreements
(Cost $640,666) 640,666
--------
Total Investments--100.3%
(Cost $886,785) 886,785
--------
OTHER ASSETS AND LIABILITIES, NET--(0.3%) (2,678)
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no par
value) based on 728,119,452
outstanding shares of beneficial
interest 728,119
Portfolio Shares of Class A
(unlimited authorization -- no par
value) based on 155,990,414
outstanding shares of beneficial
interest 115,991
Accumulated net realized loss on investments (3)
--------
Total Net Assets -- 100.0% $884,107
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $1.00
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $1.00
========
(A) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
(B) TRI-PARTY REPURCHASE AGREEMENT.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX-EXEMPT MONEY MARKET FUND
--------------------------------------------------------------------------------
MUNICIPAL BONDS--77.7%
ARIZONA--0.8%
Avondale, Industrial Development
Authority, National Health Investment
Project, RB (A) (B) (C)
4.850%, 07/05/00 $1,700 $ 1,700
--------
COLORADO--1.4%
Moffat County, Pollution Control,
RB (A) (B) (C)
4.800%, 07/01/00 3,000 3,000
--------
DELAWARE--1.7%
Delaware State, Health Facilities
Authority, Christiana Care Health
Services, RB, AMBAC
4.500%, 10/01/00 2,780 2,783
--------------------------------------------------------------------------------
4
<PAGE>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Castle County, Delaware, GO
6.200%, 10/15/00 $1,000 $ 1,006
--------
3,789
--------
DISTRICT OF COLUMBIA --1.1%
District of Columbia,
Ser B-3, GO (A) (B) (C)
4.750%, 07/01/00 2,300 2,300
--------
FLORIDA --3.2%
Florida State, Municipal Power
Authority, Sub-Stanton Project,
RB, AMBAC (A) (B)
4.350%, 07/05/00 3,000 3,000
Jacksonville, Florida Electric
Authority, RB Pre-Refunded
@ 101.50 (E)
6.750%, 10/01/00 2,000 2,044
Sunshine State, Governmental Funding,
RB, AMBAC (A) (B)
4.800%, 07/05/00 2,000 2,000
--------
7,044
--------
GEORGIA --4.7%
Georgia Municipal Electric Authority,
General Resolution Project,
Sub-Ser A, RB, MBIA
5.000%, 01/01/01 2,500 2,509
Georgia Municipal Electric
Authority, Sub-Ser E,
RB (A) (B) (C) (D)
4.700%, 07/05/00 3,000 3,000
Gwinnett County, Water & Sewer
Authority, RB
4.500%, 08/01/00 3,000 3,001
Marietta Multi-Family Housing
Authority, Falls at Bells Ferry
Housing Project, RB (A) (B) (C)
4.420%, 07/15/00 1,850 1,850
--------
10,360
--------
ILLINOIS --1.1%
Hoffman Estates, Economic
Development Project, TA
Pre-Refunded @ 102.00 (E)
7.375%, 11/15/00 500 516
Illinois State, Development Finance
Authority, Illinois Power Project,
Ser B, RB (A) (B) (C)
4.950%, 07/05/00 2,000 2,000
--------
2,516
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
INDIANA--0.7%
Indiana University, Student Fee Project,
Ser G, RB Pre-Refunded @ 102 (E)
7.000%, 08/01/00 $1,000 $ 1,022
Indiana University, Student Fee Project,
Ser M, RB
3.900%, 08/01/00 600 599
--------
1,621
--------
KANSAS --2.3%
Burlington Environmental Authority,
Kansas City Power & Light Project,
RB (A) (B)
4.900%, 07/05/00 2,000 2,000
Kansas State Department of
Transportation, Highway Revenue
Project, RB
3.850%, 09/01/00 1,000 1,000
Wyandotte County, Refunding &
Improvement Project, RB
4.000%, 09/01/00 2,000 1,999
--------
4,999
--------
LOUISIANA --4.6%
Jefferson Parish, Industrial Development
Board, George J. Ackel Sr. Project,
RB (A) (B) (C)
4.850%, 07/03/00 2,000 2,000
Louisiana State, Public Facilities
Authority, Willis-Knighton Medical
Center Project, RB, AMBAC (A) (B)
4.700%, 07/05/00 2,000 2,000
New Orleans, Aviation Board,
Ser A, RB, MBIA (A) (B)
4.800%, 07/05/00 1,900 1,900
New Orleans, Aviation Board,
Ser B, RB, MBIA (A) (B)
4.800%, 07/05/00 2,800 2,800
New Orleans, Aviation Board,
Ser C, GO, MBIA (A) (B)
4.800%, 07/05/00 1,400 1,400
--------
10,100
--------
MARYLAND -- 2.1%
Baltimore, Maryland Consolidated
Public Improvement Project,
Ser A, GO, FGIC
7.500%, 10/15/00 2,225 2,248
Maryland State, Fourth Series,
GO Pre-Refunded @ 101 (E)
7.000%, 10/15/00 2,300 2,343
--------
4,591
--------
--------------------------------------------------------------------------------
5
<PAGE>
STATEMENT OF NET ASSETS
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
MASSACHUSETTS -- 1.7%
Athol Royalston, Regional School
District, BAN
4.500%, 01/19/01 $3,785 $ 3,791
--------
MICHIGAN -- 0.9%
Michigan State, Recreational
Program GO
5.625%, 11/01/00 1,900 1,911
--------
MINNESOTA -- 5.4%
Minnesota Rural Water Finance
Authority, Public Projects,
Construction Notes, GIC
4.250%, 09/01/00 3,000 3,002
Minnesota State GO
5.000%, 11/01/00 3,000 3,011
Minnesota State, GO
Pre-Refunded 08/01/20 @ 100.00
6.800%, 08/01/02 2,500 2,506
New Brighton, Industrial
Development Authority, Unicare
Nursing Homes Project (A) (B) (C)
4.950%, 07/03/00 1,400 1,400
University of Minnesota, RB (A) (B)
4.800%, 07/03/00 2,000 2,000
--------
11,919
--------
MISSOURI -- 1.4%
Missouri State, Health & Educational
Facilities Authority, Cox Health
Systems RB, MBIA (A) (B)
4.500%, 07/03/00 900 900
Missouri State, Health & Educational
Facilities Authority, The Washington
University Project, Ser D RB (A) (B)
4.500%, 07/03/00 1,000 1,000
Springfield, Industrial Development
Authority, Pebblecreek Apartments
Project RB (A) (B) (C)
4.750%, 07/03/00 1,200 1,200
--------
3,100
--------
Nebraska--1.0%
Nebraska State, Public Power District
Authority, Power Supply Systems
Project, Ser C, RB, ETM
4.250%, 01/01/01 2,235 2,232
--------
Nevada--0.2%
Clark County, Nevada School District,
Ser A, GO, MBIA
Pre-Refunded @ 101 (E)
7.000%, 06/01/01 500 515
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
NEW JERSEY -- 9.1%
Bayonne, BAN
4.000%, 07/14/00 $3,000 $ 3,000
Bayonne, New Jersey Municipal
Utilities Authority,
Sewer Project Note
4.750%, 02/01/01 1,500 1,502
Berlin Township, Capital
Improvement Project, GO, MBIA
5.650%, 12/15/00 100 101
Chatham Township, BAN
4.350%, 12/14/00 750 750
Little Ferry, BAN
4.250%, 08/04/00 1,287 1,288
Maplewood Township, BAN
4.500%, 03/23/01 646 647
Morristown, TAN
4.600%, 02/16/01 2,500 2,501
New Hanover Township,
New Jersey Board of Education,
Temporary Notes
5.500%, 06/01/01 750 753
New Jersey State, Economic
Development Authority,
Peddie School Project RB (A) (B)
4.650%, 07/03/00 1,350 1,350
New Jersey State, Economic
Development Authority,
United Water Project,
Ser B RB, AMBAC (A) (B)
4.700%, 07/03/00 2,500 2,500
New Jersey State, Educational
Facilities Authority, Princeton
University, Ser B RB
4.000%, 07/01/00 1,335 1,335
Passaic County, New Jersey Utilities
Authority, RN Callable
6/01/20 @ 100
4.500%, 03/01/01 3,000 3,000
Union Township, BAN
5.500%, 07/13/00 1,100 1,100
--------
19,827
--------
NEW YORK -- 13.3%
Metropolitan Transportation Authority,
Commuter Facilities Project,
Ser 4, RB Pre-Refunded @ 101.50 (E)
7.875%, 07/01/00 1,200 1,218
New York City, Municipal Water
Finance Authority, RB, FGIC (A) (B)
4.750%, 07/17/00 5,100 5,100
--------------------------------------------------------------------------------
6
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New York City, Sub-Ser A-10,
GO (A) (B) (C)
4.750%, 07/01/00 $3,000 $ 3,000
New York City, Sub-Ser A-6,
GO (A) (B) (C)
4.650%, 07/01/00 5,230 5,230
New York City, Sub-Ser B-2,
GO (A) (B) (C)
4.750%, 07/01/00 1,300 1,300
New York City, Transitional Finance
Authority, Ser A-1, RB,
Future Tax Secured (A) (B)
4.650%, 11/01/00 8,000 8,000
New York State, Dormitory Authority,
City University Systems Project,
Ser F, RB Pre-Refunded @ 102 (E)
7.875%, 07/01/00 1,000 1,020
New York State, Medical Care
Facilities Authority, RB
Pre-Refunded @ 102 (E)
7.875%, 08/15/00 1,180 1,209
Suffolk Cooperative Library
Systems, RAN
4.500%, 12/29/00 3,000 3,000
--------
29,077
--------
NORTH CAROLINA -- 3.2%
Charlotte-Mecklenberg Hospital
Authority, Ser B, RB (A) (B)
4.700%, 07/01/00 4,000 4,000
North Carolina, Medical Care
Community Hospital,
Duke University Project,
Ser B, RB (A) (B)
4.750%, 09/01/00 3,000 3,000
--------
7,000
--------
OHIO -- 1.2%
Akron-Summit County,
Ohio Public Library,
Ser A, GO, FGIC
4.500%, 12/01/00 1,730 1,733
Ohio State, Infrastructure
Improvement Project, GO
4.000%, 02/01/01 1,000 997
--------
2,730
--------
OKLAHOMA --1.4%
Tulsa Industrial Authority,
University of Tulsa,
Ser B, RB, MBIA (A) (B)
4.800%, 07/03/00 3,000 3,000
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
PENNSYLVANIA -- 0.5%
Allegheny County,
Sanitary & Sewer Authority,
RB, FGIC, ETM
5.200%, 12/01/00 $1,000 $ 1,004
--------
PUERTO RICO -- 1.4%
Puerto Rico, Municipal Finance
Authority, Ser A, GO
5.000%, 08/01/00 3,000 3,003
--------
SOUTH CAROLINA -- 1.6%
South Carolina, Public Service
Authority, Ser A, RB
4.500%, 01/01/01 1,500 1,502
South Carolina State, Capital
Improvement Project, Ser A, GO
5.000%, 07/01/00 2,000 2,000
--------
3,502
--------
TENNESSEE -- 1.6%
Morristown, Industrial Development
Board, Williamhouse-Regency
Delaware, RB, AGMT (A) (B) (C)
5.000%, 07/05/00 1,500 1,500
Nashville & Davidson Counties,
Metropolitan Government
Multi-Family Housing Authority,
Old Hickory Towers Project,
Ser A, RB (A) (B) (C)
4.900%, 07/03/00 2,000 2,000
--------
3,500
--------
TEXAS -- 4.9%
Austin, Texas Utilities Systems, RB
4.875%, 11/15/00 1,300 1,303
Harris County, Ser C, GO (A) (B)
4.700%, 07/03/00 2,000 2,000
Houston, Independent School
District, Public Property
Finance Project, GO
5.000%, 07/15/00 2,400 2,401
Texas State, Ser A, GO
5.375%, 10/01/00 500 502
Texas State, University
Financing Systems, Ser A, RB, FSA
4.500%, 03/15/01 3,315 3,321
Waco, GO, MBIA
4.250%, 02/01/01 1,255 1,255
--------
10,782
--------
--------------------------------------------------------------------------------
7
<PAGE>
STATEMENT OF NET ASSETS
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
UTAH -- 0.5%
Intermountain Power Agency,
Ser C, RB, MBIA
6.000%, 07/01/00 $1,000 $ 1,000
--------
WASHINGTON -- 4.7%
Chelan County, Public Utility District,
Chelan Hydro Project,
Ser A RB, MBIA (A) (B)
4.800%, 07/03/00 2,040 2,040
Seattle, Washington Drain &
Wastewater, RB
4.000%, 11/01/00 550 550
Washington State, Health Care
Facilities Authority, Fred Hutchinson
Cancer Center, RB (A) (B) (C)
4.750%, 07/01/00 1,500 1,500
Washington State, Ser A, GO
4.700%, 10/01/00 3,000 3,006
Washington State, Ser B, GO
Pre-Refunded 08/01/00 @ 100
6.375%, 08/01/10 3,200 3,207
--------
10,303
--------
Total Municipal Bonds
(Cost $170,216) 170,216
--------
COMMERCIAL PAPER -- 10.9%
GEORGIA -- 4.4%
Georgia Meag, TECP
4.350%, 07/11/00 4,600 4,600
Georgia Municipal Electric
Authority, TECP
4.000%, 07/11/00 5,000 5,000
--------
9,600
--------
MARYLAND -- 1.8%
Baltimore County, TECP
4.450%, 07/10/00 4,000 4,000
--------
NEW YORK -- 1.1%
Port Authority of New York &
New Jersey, TECP
4.700%, 07/07/00 1,200 1,200
4.150%, 08/01/00 1,250 1,250
--------
2,450
--------
PENNSYLVANIA -- 1.4%
Montgomery County, TECP
4.000%, 07/11/00 3,000 3,000
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
UTAH--2.2%
Utah Intermountain Power, TECP
4.350%, 07/11/00 $3,000 $ 3,000
4.600%, 07/12/00 1,800 1,800
--------
4,800
--------
Total Commercial Paper
(Cost $23,850) 23,850
--------
TREASURY BILL -- 2.4%
U.S. Treasury Bill (D)
5.014%, 07/06/00 5,250 5,246
--------
Total Treasury Bill
(Cost $5,246) 5,246
--------
CASH EQUIVALENTS -- 8.3%
Goldman Sachs Tax-Free
Money Market 8,791,792 8,792
SEI Institutional Tax-Free
Portfolio 9,496,725 9,497
--------
Total Cash Equivalents
(Cost $18,289) 18,289
--------
Total Investments -- 99.3%
(Cost $217,601) 217,601
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.7% 1,435
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 165,464,559
outstanding shares of beneficial
interest 165,465
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 53,574,311
outstanding shares of beneficial
interest 53,574
Accumulated net realized loss on investments (3)
--------
Total Net Assets -- 100.0% $219,036
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00
========
--------------------------------------------------------------------------------
8
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
(A) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JUNE 30, 2000.
(B) PUT OR DEMAND FEATURES EXIST REQUIRING THE ISSUER TO REPURCHASE THE
INSTRUMENT PRIOR TO MATURITY.
(C) SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT OR OTHER CREDIT
SUPPORT.
(D) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
(E) PRE-REFUNDED SECURITY -- THE MATURITY DATE SHOWN ON THE STATEMENT OF NET
ASSETS IS THE PRE-REFUNDED DATE.
BAN -- BOND ANTICIPATION NOTE
ETM -- ESCROWED TO MATURITY
GIC -- GUARANTEED INVESTMENT CONTRACT
GO -- GENERAL
OBLIGATION RAN -- REVENUE ANTICIPATION NOTE
RB -- REVENUE BOND
RN -- REVENUE NOTE
SER -- SERIES
TAN -- TAX ANTICIPATION NOTE
TECP -- TAX EXEMPT COMMERCIAL PAPER
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR CERTAIN
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS:
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FGIC -- FINANCIAL GUARANTY INSURANCE COMPANY
FSA -- FINANCIAL SECURITIES ASSURANCE
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PRIME OBLIGATION MONEY MARKET FUND
--------------------------------------------------------------------------------
COMMERCIAL PAPER--81.6%
BANKS--9.6%
Abbey National Bank
6.110%, 07/07/00 $ 8,500 $ 8,491
6.600%, 09/12/00 14,000 13,813
ABN-AMRO
6.050%, 07/24/00 6,100 6,076
Bank of America
6.480%, 10/27/00 5,000 4,894
BankAmerica
6.580%, 08/02/00 15,000 14,912
Barclays Bank PLC
6.520%, 07/07/00 10,000 9,989
Royal Bank of Canada
6.100%, 07/05/00 15,000 14,990
6.120%, 07/05/00 5,000 4,997
Wells Fargo
6.620%, 07/31/00 20,000 19,890
----------
98,052
----------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
BROKER/DEALERS--12.9%
Bear Stearns
6.110%, 07/11/00 $10,000 $ 9,983
6.580%, 09/06/00 20,000 19,755
5.580%, 09/27/00 15,000 14,759
Goldman Sachs
5.350%, 07/17/00 10,000 9,972
6.020%, 07/24/00 15,000 14,942
6.040%, 07/25/00 9,850 9,810
6.570%, 08/18/00 10,000 9,912
Merrill Lynch
6.120%, 07/10/00 12,000 11,982
6.120%, 07/10/00 5,000 4,992
6.200%, 07/13/00 5,000 4,990
6.620%, 08/02/00 10,000 9,941
6.560%, 08/29/00 7,000 6,925
6.080%, 10/10/00 3,000 2,949
----------
130,912
----------
DIVERSIFIED FINANCIAL SERVICES--32.8%
American Express Credit
6.530%, 07/06/00 15,000 14,986
American General Finance
6.770%, 07/07/00 20,000 19,977
6.780%, 10/30/00 12,000 11,727
American Honda Finance
6.210%, 07/19/00 5,000 4,985
6.640%, 08/22/00 15,000 14,856
6.580%, 08/29/00 10,000 9,892
6.580%, 09/06/00 10,000 9,878
Associates Financial Services
6.200%, 07/17/00 10,950 10,920
Ford Motor Credit
6.540%, 07/06/00 20,000 19,982
6.540%, 07/07/00 20,000 19,978
6.560%, 07/07/00 5,000 4,995
General Electric
6.770%, 07/05/00 10,000 9,993
6.590%, 09/11/00 10,000 9,868
6.220%, 10/10/00 10,000 9,826
6.440%, 10/25/00 15,000 14,689
General Motors Acceptance
6.550%, 07/06/00 5,000 4,995
6.530%, 07/10/00 10,000 9,984
6.150%, 07/18/00 5,000 4,986
6.540%, 08/03/00 10,000 9,940
6.560%, 08/08/00 15,000 14,896
John Deere Capital
6.540%, 07/20/00 20,000 19,931
National Rural Utilities
6.100%, 07/18/00 15,000 14,957
6.130%, 07/18/00 10,000 9,971
6.200%, 10/12/00 5,000 4,911
6.600%, 12/13/00 15,000 14,546
--------------------------------------------------------------------------------
9
<PAGE>
STATEMENT OF NET ASSETS
PRIME OBLIGATION MONEY MARKET FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Paccar Financial
6.600%, 07/17/00 $ 6,400 $ 6,381
USAA Capital
6.230%, 07/10/00 10,000 9,984
6.620%, 07/14/00 22,000 21,947
----------
333,981
----------
DRUGS--2.4%
American Home Products
6.500%, 07/07/00 12,581 12,567
Amgen
6.550%, 07/26/00 12,000 11,945
----------
24,512
----------
ELECTRICAL SERVICES--3.0%
Florida Power
6.470%, 07/03/00 10,000 9,996
6.530%, 07/10/00 11,481 11,462
Pacificorp
6.000%, 07/05/00 9,000 8,994
----------
30,452
----------
FOOD, BEVERAGE & TOBACCO--1.0%
Archer Daniels Midland
6.120%, 07/05/00 10,000 9,993
----------
PETROLEUM & FUEL PRODUCTS--3.0%
Colonial Pipeline
6.650%, 07/24/00 3,000 2,987
5.980%, 07/31/00 5,000 4,975
6.590%, 08/17/00 4,636 4,596
6.150%, 08/29/00 8,500 8,414
6.100%, 10/11/00 10,000 9,827
----------
30,799
----------
SPECIAL PURPOSE ENTITY--11.0%
Cargill Global Funding
6.900%, 07/05/00 30,000 29,977
Centric Capital
6.780%, 07/06/00 15,000 14,986
6.540%, 07/13/00 5,000 4,989
6.690%, 07/20/00 12,725 12,680
6.650%, 08/22/00 10,000 9,904
Ciesco
6.620%, 07/21/00 20,000 19,926
6.530%, 08/01/00 10,000 9,944
6.540%, 08/01/00 10,000 9,944
---------
112,350
----------
TELEPHONES & TELECOMMUNICATION--5.9%
Alltel
6.600%, 07/06/00 8,900 8,892
6.550%, 07/12/00 10,000 9,980
6.560%, 08/04/00 18,725 18,609
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
AT&T
6.510%, 07/10/00 $ 2,900 $ 2,895
6.600%, 11/30/00 20,000 19,443
----------
59,819
----------
Total Commercial Paper
(Cost $830,870) 830,870
----------
CERTIFICATE OF DEPOSIT--1.0%
Deutsche Bank
6.150%, 10/10/00 10,000 10,023
----------
Total Certificate of Deposit
(Cost $10,023) 10,023
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--12.0%
Federal Home Loan Bank
6.040%, 09/01/00 2,000 2,000
6.000%, 09/28/00 2,700 2,700
6.280%, 01/12/01 10,000 10,000
6.210%, 01/12/01 10,000 10,000
6.600%, 02/02/01 7,000 7,000
6.550%, 02/15/01 5,000 5,000
6.700%, 02/23/01 5,000 5,000
6.750%, 03/01/01 10,000 10,000
6.720%, 03/13/01 7,000 7,000
6.875%, 04/17/01 7,700 7,700
6.965%, 05/17/01 10,000 10,000
6.980%, 05/25/01 5,000 5,000
6.930%, 06/14/01 4,000 4,000
Federal Home Loan Mortgage, MTN
7.125%, 07/13/01 10,000 10,000
6.800%, 05/08/01 10,000 10,000
Federal National Mortgage
Association, MTN
5.900%, 12/01/00 7,000 6,995
6.320%, 02/02/01 10,000 9,987
----------
Total U.S. Government Agency Obligations
(Cost $122,382) 122,382
----------
CORPORATE OBLIGATION--1.5%
National City Bank, MTN
6.720%, 03/21/01 15,000 14,996
----------
Total Corporate Obligation
(Cost $14,996) 14,996
----------
REPURCHASE AGREEMENTS--5.1%
Barclays
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$20,513,159 (collateralized by U.S.
Treasury Obligations, total market
value $20,912,332) (A) 20,502 20,502
--------------------------------------------------------------------------------
10
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
JP Morgan
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$8,445,222 (collateralized by
U.S. Treasury Obligation,
total market value $8,610,504) (A) $ 8,441 $ 8,441
Morgan Stanley
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$5,044,180 (collateralized by
U.S. Treasury Obligations,
total market value $5,161,841) (A) 5,042 5,042
Warburg
6.480%, dated 06/30/00, matures
07/03/00, repurchase price
$17,856,108 (collateralized by
U.S. Treasury Obligation,
total market value $18,208,471) (A) 17,847 17,847
----------
Total Repurchase Agreements
(Cost $51,832) 51,832
----------
Total Investments--101.2%
(Cost $1,030,103) 1,030,103
----------
OTHER ASSETS AND LIABILITIES, NET--(1.2%) (11,912)
----------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 772,340,036 outstanding shares
of beneficial interest 772,340
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 3,055,523 outstanding shares
of beneficial interest 3,056
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,119,755 outstanding shares
of beneficial interest 1,120
Portfolio Shares of Class S (unlimited
authorization -- no par value) based
on 241,707,445 outstanding shares
of beneficial interest 241,707
Accumulated net realized loss on investments (32)
----------
Total Net Assets--100.0% $1,018,191
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00
==========
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class S $1.00
==========
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
U.S. TREASURY SECURITIES PLUS
MONEY MARKET FUND
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--40.5%
U.S. Treasury Notes (A)
6.125%, 09/30/00 $ 5,000 $ 5,000
5.500%, 12/31/00 5,000 4,978
5.375%, 07/31/00 8,000 7,997
4.625%, 12/31/00 4,000 3,966
----------
Total U.S. Treasury Obligations
(Cost $21,941) 21,941
----------
REPURCHASE AGREEMENTS--59.1%
Barclays
6.47%, dated 06/30/00, matures
07/03/00, repurchase price
$2,359,452 (collateralized by U.S.
Treasury Obligation, total market
value $2,405,366) (B) 2,358 2,358
JP Morgan
6.47%, dated 06/30/00,
matures 07/03/00, repurchase
price $12,476,921 (collateralized
by U.S. Treasury Obligation, total
market value $12,720,617) (B) 12,470 12,470
Lehman Brothers
6.47%, dated 06/30/00, matures
07/03/00, repurchase price
$2,301,240 (collateralized by U.S.
Treasury Obligation, total market
value $2,347,422) (B) 2,300 2,300
Morgan Stanley
6.47%, dated 06/30/00, matures
07/03/00, repurchase price
$2,369,081 (collateralized by U.S.
Treasury Obligation, total market
value $2,460,453) (B) 2,368 2,368
--------------------------------------------------------------------------------
11
<PAGE>
STATEMENT OF NET ASSETS
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Warburg
6.47%, dated 06/30/00, matures
07/03/00, repurchase price
$12,477,877 (collateralized by U.S.
Treasury Obligation, total market
value $12,722,981) (B) $12,471 $ 12,471
--------
Total Repurchase Agreements
(Cost $31,967) 31,967
--------
Total Investments--99.6%
(Cost $53,908) 53,908
--------
OTHER ASSETS AND LIABILITIES, NET--0.4% 207
--------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value) based
on 54,132,998 outstanding shares
of beneficial interest 54,133
Accumulated net realized loss on investments (18)
--------
Total Net Assets--100.0% $ 54,115
========
Net Asset Value, Offering and Redemption
Price Per Share $1.00
========
(A) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
(B) TRI-PARTY REPURCHASE AGREEMENT.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INSTITUTIONAL SELECT MONEY MARKET FUND
--------------------------------------------------------------------------------
COMMERCIAL PAPER--77.7%
BANKS--9.2%
Abbey National Bank
6.600%, 09/12/00 $ 5,000 $ 4,933
ABN-AMRO
6.550%, 07/24/00 1,600 1,593
BankAmerica
6.580%, 08/02/00 12,000 11,930
Barclays Bank PLC
6.520%, 07/07/00 5,000 4,995
Rabobank Nederland
6.520%, 07/05/00 2,000 1,999
Royal Bank of Canada
6.100%, 07/05/00 10,000 9,993
--------
35,443
--------
BROKER/DEALERS--11.7%
Bear Stearns
6.580%, 09/06/00 10,000 9,878
5.580%, 09/27/00 5,000 4,920
--------------------------------------------------------------------------------
Description Par (000) Value (000)
--------------------------------------------------------------------------------
Goldman Sachs
6.420%, 07/17/00 $ 3,000 $ 2,991
6.140%, 07/10/00 5,000 4,992
6.020%, 07/24/00 2,000 1,992
6.570%, 08/18/00 5,000 4,956
Merrill Lynch
6.120%, 07/10/00 3,000 2,995
6.560%, 08/29/00 7,200 7,123
6.080%, 10/10/00 5,000 4,915
--------
44,762
--------
DRUGS--3.1%
American Home Products
6.500%, 07/07/00 5,000 4,995
Amgen
6.550%, 07/26/00 6,750 6,719
--------
11,714
--------
ELECTRICAL SERVICES--1.0%
Southern California Edison
6.570%, 08/07/00 4,000 3,973
--------
DIVERSIFIED FINANCIAL SERVICES--27.0%
American Express Credit
6.530%, 07/06/00 5,000 4,995
American General Finance
6.770%, 07/07/00 5,000 4,994
American Honda Finance
6.640%, 08/22/00 5,000 4,952
6.580%, 08/29/00 5,000 4,946
6.580%, 09/06/00 5,000 4,939
Ford Motor Credit
6.810%, 07/05/00 7,000 6,995
6.540%, 07/06/00 5,000 4,995
6.540%, 07/07/00 5,000 4,995
General Electric
6.600%, 12/19/00 10,000 9,686
6.620%, 01/03/01 5,000 4,829
General Motors Acceptance
6.150%, 07/18/00 5,000 4,985
John Deere Capital
6.540%, 07/20/00 10,000 9,965
National Rural Utilities
6.130%, 07/18/00 5,000 4,986
6.100%, 07/18/00 10,000 9,971
6.620%, 12/15/00 2,000 1,939
Paccar Financial
6.570%, 08/31/00 1,200 1,187
Toyota Motor Credit
6.580%, 07/18/00 7,326 7,303
USAA Capital
6.620%, 07/14/00 7,000 6,983
--------
103,645
--------
--------------------------------------------------------------------------------
12
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO--2.6%
Archer Daniels Midland
6.120%, 07/05/00 $10,000 $ 9,993
--------
LEASING & RENTING--2.1%
International Lease Finance
6.520%, 07/21/00 8,000 7,971
--------
PETROLEUM & FUEL PRODUCTS--3.4%
Colonial Pipeline
5.850%, 07/12/00 1,910 1,907
5.980%, 07/31/00 2,150 2,139
6.590%, 08/25/00 5,000 4,950
6.100%, 10/11/00 4,000 3,931
--------
12,927
--------
SPECIAL PURPOSE ENTITY--10.1%
Cargill Global Funding
6.900%, 07/05/00 12,000 11,991
Centric Capital
6.570%, 07/14/00 5,000 4,988
6.690%, 07/20/00 10,000 9,965
Ciesco
6.550%, 07/20/00 2,075 2,068
6.540%, 08/01/00 10,000 9,944
--------
38,956
--------
TELEPHONES & TELECOMMUNICATION--7.5%
Alltel
6.600%, 07/06/00 5,000 4,995
6.550%, 07/12/00 5,000 4,990
6.560%, 08/04/00 5,000 4,969
AT&T
6.700%, 07/11/00 1,000 998
6.530%, 07/10/00 3,100 3,095
6.670%, 07/10/00 2,000 1,997
6.600%, 11/30/00 8,000 7,777
--------
28,821
--------
Total Commercial Paper
(Cost $298,205) 298,205
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--13.3%
Federal Home Loan Bank
6.040%, 09/01/00 1,350 1,350
6.280%, 01/12/01 5,000 5,000
6.210%, 01/12/01 2,750 2,750
6.600%, 02/02/01 2,250 2,250
6.700%, 02/23/01 3,000 3,000
6.750%, 03/01/01 5,000 5,000
6.720%, 03/13/01 3,300 3,300
6.875%, 04/17/01 5,000 5,000
6.965%, 05/17/01 3,000 3,000
6.980%, 05/25/01 3,000 3,000
6.930%, 06/14/01 1,000 1,000
--------------------------------------------------------------------------------
Description Par (000) Value (000)
--------------------------------------------------------------------------------
Federal Home Loan Mortgage, MTN
7.125%, 07/13/01 $ 4,250 $ 4,250
6.800%, 05/08/01 5,000 5,000
Federal National Mortgage
Association, MTN
6.320%, 02/02/01 5,000 4,994
5.900%, 12/01/00 2,000 1,998
--------
Total U.S. Government Agency Obligations
(Cost $50,892) 50,892
--------
CORPORATE OBLIGATION--1.3%
National City Bank, MTN
6.720%, 03/21/01 5,000 4,999
--------
Total Corporate Obligation
(Cost $4,999) 4,999
--------
REPURCHASE AGREEMENTS--9.1%
JP Morgan
6.540%, dated 06/30/00, matures
07/03/00, repurchase price
$2,954,452 (collateralized by
U.S. Treasury Obligation, total
market value $3,012,457) (A) 2,953 2,953
Lehman Brothers
6.540%, dated 06/30/00, matures
07/03/00, repurchase price
$32,184,771 (collateralized by
U.S. Treasury Obligation, total
market value $32,811,452) (A) 32,167 32,167
--------
Total Repurchase Agreements
(Cost $35,120) 35,120
--------
Total Investments--101.4%
(Cost $389,216) 389,216
--------
OTHER ASSETS AND LIABILITIES, NET--(1.4%) (5,338)
--------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value) based
on 383,881,932 outstanding shares
of beneficial interest 383,882
Accumulated net realized loss on investments (4)
--------
Total Net Assets--100.0% $383,878
========
Net Asset Value, Offering and Redemption
Price Per Share $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
13
<PAGE>
STATEMENT OF NET ASSETS
INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
--------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--50.6%
U.S. Treasury Notes
6.500%, 03/31/02 $ 500 $ 500
6.250%, 02/28/02 500 498
6.250%, 06/30/02 2,000 1,993
5.500%, 01/31/03 1,250 1,224
5.500%, 02/28/03 1,000 979
5.500%, 05/31/03 1,500 1,466
5.875%, 11/15/05 1,000 983
5.625%, 02/15/06 1,750 1,697
5.375%, 06/30/03 1,000 974
--------
Total U.S. Treasury Obligations
(Cost $10,534) 10,314
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--45.8%
Federal Farm Credit Bank
6.550%, 02/07/04 1,000 984
Federal Home Loan Bank
8.000%, 02/23/07 1,000 995
7.250%, 11/19/09 1,000 966
7.025%, 02/17/05 1,000 982
6.530%, 06/09/09 1,000 939
6.220%, 06/15/05 1,000 958
Federal National Mortgage Association
7.110%, 03/20/06 125 122
6.500%, 03/12/09 800 751
6.430%, 04/01/09 1,000 935
6.010%, 05/03/06 750 706
Freddie Mac MTN
8.070%, 01/12/10 1,000 995
--------
Total U.S. Government Agency Obligations
(Cost $9,704) 9,333
--------
CASH EQUIVALENTS--1.3%
SEI Liquid Asset Trust --
Government Portfolio 263,808 264
SEI Liquid Asset Trust--
Treasury Portfolio 1,181 1
--------
Total Cash Equivalents
(Cost $265) 265
--------
Total Investments--97.7%
(Cost $20,503) 19,912
--------
OTHER ASSETS AND LIABILITIES, NET--2.3% 468
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 1,996,422 outstanding shares
of beneficial interest $ 21,559
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 88,407 outstanding shares
of beneficial interest 1,154
Accumulated net realized loss on
investments (1,742)
Net unrealized depreciation on investments (591)
--------
Total Net Assets--100.0% $ 20,380
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $9.78
========
Net Asset Value and Redemption
Price Per Share -- Class A $9.77
========
Maximum Public Offering Price Per Share --
Class A ($9.77 / 96%) $10.18
========
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
FIXED INCOME FUND
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--16.1%
U.S. Treasury Notes
6.500%, 02/15/10 $ 9,250 $ 9,550
6.000%, 08/15/09 5,000 4,959
5.500%, 03/31/03 5,000 4,888
5.500%, 05/15/09 5,000 4,781
5.250%, 08/15/03 7,000 6,788
--------
Total U.S. Treasury Obligations
(Cost $31,272) 30,966
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--36.9%
Federal Home Loan Bank
7.500%, 03/14/05 2,500 2,507
7.200%, 10/30/12 5,000 4,730
7.125%, 02/15/05 5,000 5,017
6.250%, 11/06/02 5,000 4,913
5.785%, 03/17/03 5,000 4,854
Federal Home Loan Mortgage
Corporation
7.585%, 09/19/06 1,000 989
6.300%, 06/01/04 3,000 2,906
Federal National Mortgage Association
6.990%, 07/09/07 5,000 4,848
6.375%, 06/15/09 4,982 4,721
5.750%, 02/15/08 5,000 4,596
Federal National Mortgage
Association, MTN
6.810%, 12/18/07 5,000 4,769
6.760%, 07/16/07 5,000 4,813
--------------------------------------------------------------------------------
14
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
6.620%, 12/28/07 $ 4,000 $ 3,793
6.580%, 06/24/04 3,250 3,178
6.560%, 12/10/07 5,000 4,740
6.290%, 04/23/08 5,000 4,683
6.240%, 01/14/08 5,000 4,676
--------
Total U.S. Government Agency Obligations
(Cost $73,719) 70,733
--------
U.S. GOVERNMENT MORTGAGED-BACKED OBLIGATIONS--1.1%
Federal Home Loan Mortgage
10.250%, 11/01/10 11 12
10.000%, 02/01/09 31 33
10.000%, 04/01/10 17 19
10.000%, 05/01/11 51 55
10.000%, 12/01/13 18 19
9.750%, 11/01/10 48 50
9.500%, 03/01/11 9 10
9.500%, 04/01/11 44 46
9.500%, 07/01/06 3 3
9.500%, 08/01/09 22 23
9.500%, 09/01/10 16 17
9.500%, 09/01/10 42 44
9.500%, 09/01/16 11 11
9.500%, 10/01/04 28 30
9.500%, 11/01/16 25 26
9.250%, 05/01/09 222 231
9.250%, 08/01/15 93 96
9.000%, 08/01/08 32 33
9.000%, 10/01/15 39 40
9.000%, 10/01/16 20 20
9.000%, 10/01/19 108 112
8.750%, 07/01/15 14 15
8.750%, 09/01/09 25 25
8.750%, 09/01/10 45 46
8.500%, 07/01/17 14 14
8.000%, 06/01/07 87 88
Federal Home Loan Mortgage, CMO
6.500%, 04/15/16 173 172
Federal National Mortgage Association
9.000%, 03/01/09 29 30
8.500%, 08/01/17 32 33
8.000%, 03/01/07 82 83
7.000%, 04/01/07 81 78
Federal National Mortgage
Association, CMO
8.000%, 01/25/19 62 63
6.950%, 05/25/06 309 308
Government National Mortgage
Association
9.500%, 10/15/20 37 38
9.000%, 03/15/08 20 20
9.000%, 11/15/08 71 73
--------
Total U.S. Government Mortgaged-
Backed Obligations
(Cost $1,987) 2,016
--------
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
CORPORATE BONDS--28.2%
AGRICULTURAL-BIOTECH--1.4%
Pioneer Hi-Bred International
5.750%, 01/15/09 $ 3,000 $ 2,722
--------
BREWERY--0.5%
Anheuser-Busch
6.750%, 06/01/05 1,000 976
--------
CHEMICALS--0.5%
E.I. DuPont de Nemours
6.750%, 10/15/02 1,000 994
--------
COMPUTERS--2.5%
Hewlett-Packard
7.150%, 06/15/05 1,000 1,004
IBM, MTN
5.100%, 11/10/03 4,000 3,765
--------
4,769
--------
COSMETICS & TOILETRIES--1.8%
Colgate-Palmolive, Ser D, MTN
7.950%, 06/01/10 3,300 3,438
--------
DRUGS--3.2%
American Home Products
6.500%, 10/15/02 2,250 2,228
Eli Lilly
6.250%, 03/15/03 2,000 1,968
SmithKline Beecham, Ser A, MTN
6.625%, 10/01/05 2,000 1,943
--------
6,139
--------
FINANCIAL SERVICES--10.5%
Bear Stearns
6.150%, 03/02/04 3,000 2,843
Ford Motor Credit Global Bond
5.125%, 10/15/01 3,000 2,921
6.700%, 07/16/04 5,000 4,825
General Electric Capital, Ser A, MTN
5.280%, 01/08/02 4,000 3,895
GMAC
5.750%, 11/10/03 3,000 2,846
Lehman Brothers Holdings
6.625%, 04/01/04 2,000 1,910
Toyota Motor Credit
5.625%, 11/13/03 1,000 956
--------
20,196
--------
MULTIMEDIA--1.2%
Walt Disney, MTN
5.125%, 12/15/03 2,500 2,344
--------
RETAIL--3.6%
Sears Roebuck, Ser 2, MTN
6.690%, 04/30/01 3,000 2,981
--------------------------------------------------------------------------------
15
<PAGE>
STATEMENT OF NET ASSETS
FIXED INCOME FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Wal-Mart Stores
6.550%, 08/10/04 $ 4,000 $ 3,945
--------
6,926
--------
TELEPHONES--1.6%
New England Telephone & Telegraph
7.650%, 06/15/07 3,000 3,007
--------
TOYS--1.4%
Mattel, Ser B, MTN
7.140%, 03/11/08 3,000 2,674
--------
Total Corporate Bonds
(Cost $56,115) 54,185
--------
ASSET-BACKED SECURITIES--1.8%
CREDIT CARDS--1.3%
Discover Card Master Trust I,
Ser 1993-3, Cl A
6.200%, 05/16/06 1,000 968
--------
MORTGAGE RELATED--0.5%
EAB Lease Receivables Trust,
Ser 1998-1, Cl A3 (A)
5.660%, 09/15/02 2,441 2,400
--------
Asset-Backed Securities
(Cost $3,421) 3,368
--------
TAXABLE MUNICIPAL BONDS--13.5%
Alabama State, Multi-Family
Housing Finance Authority,
Willow Project, Ser H, RB (A)
7.625%, 08/01/10 725 745
Arkansas State, Development
Finance Authority, RB, GNMA
9.750%, 11/15/05 472 492
Baltimore, Maryland, City Parking
Project, Ser B, RB, FGIC
Callable 07/01/02 @ 102
7.950%, 07/01/03 510 519
Buffalo, New York, Pens System
Project, Ser D, GO, FGIC
8.500%, 08/15/03 360 372
Camden County, New Jersey,
Improvement Authority, Ser A, RB,
Callable 07/01/03 @ 100.5
7.200%, 01/01/04 2,200 2,178
Collier County, Florida, Water &
Sewer Authority,
Ser A, RB, FGIC
Callable 12/01/03 @ 102
6.300%, 07/01/04 450 433
6.750%, 07/01/08 790 752
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Fort Myers, Florida, Improvement
Authority, Ser B, RB, AMBAC
Callable 12/01/02 @ 102
8.450%, 12/01/03 $ 645 $ 667
Gillette, Wyoming, FMHA
Community Program, SOB, FMHA
Insured, ETM
Callable 01/01/02 @ 100
10.250%, 01/01/11 1,095 1,137
Houston, Texas, Airport Systems
Authority, RB, FGIC
6.100%, 07/01/01 1,260 1,248
Metropolitan Washington D.C. &
Virginia Airport Authority,
Ser B, RB, MBIA
Callable 10/01/03 @ 102
6.900%, 10/01/08 1,980 1,901
Michigan State, Higher Education
Student Loan Authority,
Ser XV-C, RB
7.250%, 09/01/02 775 771
Minneapolis & St. Paul, Minnesota,
Metropolitan Airports Authority,
Ser 9, GO Callable 01/01/02 @ 104.50
8.600%, 01/01/10 900 950
Monrovia, California, Central
Redevelopment Project,
TA, AMBAC, ETM
8.100%, 05/01/01 650 655
New Hampshire State,
Business Finance Authority,
Ser A, RB Callable 11/01/02 @ 102
8.600%, 11/01/12 2,165 2,265
New Hampshire State,
Pease Development Authority,
GO Pre-Refunded @ 102 (B)
7.050%, 07/01/03 410 414
New Jersey State, COP
8.000%, 12/15/02 800 801
New Jersey State, Economic
Development Authority,
Economic Recovery Project,
Ser B, RB Callable 09/15/02 @ 102
7.800%, 03/15/07 1,645 1,666
Oklahoma City, Oklahoma Airport
Trust, Junior Lien, 21st Series,
RB, MBIA Callable 07/01/04 @ 100
6.750%, 07/01/05 1,010 981
Oklahoma City, Oklahoma Airport
Trust, Senior Lien, 17th Series,
RB Callable 10/01/02 @ 100
8.300%, 10/01/12 2,015 2,050
--------------------------------------------------------------------------------
16
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
--------------------------------------------------------------------------------
Oklahoma State, Single-Family
Housing Finance Authority,
Homeownership Loan Project,
RB, MBIA
Callable 09/01/04 @ 102
8.700%, 09/01/13 $ 285 $ 290
Palm Beach County, Florida,
Airport Systems Authority,
RB, MBIA Callable 08/07/00 @ 102
9.500%, 10/01/10 1,100 1,116
Raleigh, North Carolina State
University, Centennial Campus
Project, RB, MBIA
Callable 12/15/02 @ 102
7.700%, 12/15/07 1,175 1,182
Secaucus, New Jersey, Municipal
Utilities Authority, Ser B, RB
Callable 12/01/04 @ 102
8.500%, 12/01/06 600 627
Vero Beach, Florida, Water & Sewer
Authority, Ser A, RB, FGIC
Callable 12/01/03 @ 102
6.400%, 12/01/08 1,885 1,751
--------
Total Taxable Municipal Bonds
(Cost $26,290) 25,963
--------
CASH EQUIVALENTS--1.3%
SEI Liquid Asset Trust --
Government Portfolio 2,434,728 2,435
SEI Liquid Asset Trust--
Treasury Portfolio 18,308 18
--------
Total Cash Equivalents
(Cost $2,453) 2,453
--------
Total Investments--98.9%
(Cost $195,257) 189,684
--------
OTHER ASSETS AND LIABILITIES, NET--1.1% 2,208
--------
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 18,607,000 outstanding shares
of beneficial interest 190,577
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 304,636 outstanding shares
of beneficial interest 3,692
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 595,434 outstanding shares
of beneficial interest 6,436
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Accumulated net realized loss on investments $ (3,240)
Net unrealized depreciation on investments (5,573)
--------
Total Net Assets--100.0% $191,892
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $9.84
========
Net Asset Value and Redemption
Price Per Share -- Class A $9.83
========
Maximum Public Offering Price
Per Share -- Class A ($9.83 / 95.75%) $10.27
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $9.86
========
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
(A) PRE-REFUNDED SECURITY -- THE MATURITY DATE SHOWN ON THE STATEMENT OF NET
ASSETS IS THE PRE-REFUNDED DATE.
(B) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JUNE 30, 2000.
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
COP -- CERTIFICATE OF PARTICIPATION
ETM -- ESCROWED TO MATURITY
MTN -- MEDIUM TERM NOTE
GO -- GENERAL OBLIGATION
RB -- REVENUE BOND
SOB -- SPECIAL OBLIGATION BOND
TA -- TAX ALLOCATION
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
CERTAIN SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS:
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
FGIC -- FEDERAL GUARANTY INSURANCE COMPANY
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PENNSYLVANIA MUNICIPAL SECURITIES FUND
--------------------------------------------------------------------------------
MUNICIPAL BONDS--91.0%
PENNSYLVANIA--91.0%
Allegheny County, Hospital
Development Authority,
Catholic Health East Project,
Ser A RB, AMBAC
4.875%, 11/15/18 $ 500 $ 441
Allegheny County, Pittsburgh
International Airport Project,
Ser B, RB, MBIA
Callable 01/01/08 @ 101
5.000%, 01/01/17 750 699
--------------------------------------------------------------------------------
17
<PAGE>
STATEMENT OF NET ASSETS
PENNSYLVANIA MUNICIPAL SECURITIES FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Allegheny County, Port Authority,
RB, MBIA Callable 03/01/09 @101
6.375%, 03/01/15 $ 250 $ 267
Allegheny County, Ser C49,
GO, MBIA
5.000%, 04/01/08 500 499
Beaver County, GO, MBIA
Callable 10/01/07 @ 100
5.150%, 10/01/17 1,000 947
Bucks County, Saint Mary Hospital
Authority, Catholic Health Initiatives
Project, Ser A, RB
5.000%, 12/01/28 1,000 830
Chester County, GO
Callable 06/15/08 @ 100
5.000%, 06/15/15 500 469
Chester County, Health & Education
Facilities Authority, Jefferson Health
Systems, Ser B, RB
Callable 05/15/08 @ 101
5.375%, 05/15/27 500 424
Chester County, Health & Education
Facilities Authority, Main Line
Health Systems, Ser A, RB
Callable 05/15/04 @ 102
5.400%, 05/15/09 500 489
Delaware County, GO
Callable 10/01/09 @ 100
5.125%, 10/01/16 500 471
Erie-Penn, Sewer Authority,
Ser A, RB, AMBAC
Callable 06/01/08 @ 100
5.000%, 06/01/18 450 416
Harrisburg, Pennsylvania Authority,
Pooled Board Program,
Ser II, RB, MBIA
Callable 09/15/07 @ 100
5.600%, 09/15/11 575 587
Hazelton, Area School District,
Ser B, GO, FGIC
Callable 03/01/08 @ 100
5.000%, 03/01/17 1,000 933
Lancaster County, Ser A, GO, FGIC
5.100%, 05/01/04 500 506
Montgomery County, Higher
Education Authority, Abington
Memorial Hospital Project,
Ser A, RB, AMBAC
Callable 06/01/08 @ 101
4.875%, 06/01/18 500 443
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Kensington Arnold,
Pennsylvania School District,
Ser A, GO, MBIA
3.500%, 05/15/01 $ 325 $ 321
Northampton County, GO
Callable 08/15/09 @ 100
5.000%, 08/15/16 1,000 926
Pennsylvania State, GO, AMBAC
Callable 03/15/07 @ 101.50
5.125%, 09/15/07 500 506
Pennsylvania State, Higher Education
Facilities Authority, College of
Pharmacy & Science Project,
RB, MBIA Callable 05/01/06 @ 100
5.000%, 11/01/07 500 501
Pennsylvania State, Higher Education
Facilities Authority, Drexel University
Project, RB, MBIA
Callable 05/01/08 @ 100
4.500%, 05/01/13 1,000 899
Pennsylvania State, Higher Education
Facilities Authority, University of
Pennsylvania Health Services
Project, Ser A, RB
6.000%, 01/01/06 1,000 978
Pennsylvania State, Higher Education
Facilities Authority, University of
Pennsylvania Trustees Project,
RB Callable 07/15/08 @ 100
4.500%, 07/15/21 1,400 1,153
Pennsylvania State, Higher Education
Facilities Authority, University of
Pennsylvania Trustees Project,
RB Callable 07/15/08 @ 100
4.500%, 07/15/18 1,000 851
Pennsylvania State, Intergovernmental
Coop Authority, Philadelphia
Funding Program, ST, FGIC
Callable 06/15/09 @ 100
5.000%, 06/15/18 200 183
4.750%, 06/15/19 500 436
Pennsylvania State, Second Series,
GO Callable 10/15/07 @ 101.50
5.000%, 10/15/15 1,250 1,192
5.000%, 10/15/16 1,400 1,302
Pennsylvania State, Ser A, COP,
AMBAC Callable 07/01/03 @ 102
5.000%, 07/01/15 1,000 940
--------------------------------------------------------------------------------
18
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Penn-Trafford, School District,
GO, AMBAC
Callable 05/01/08 @ 100
4.800%, 05/01/15 $1,000 $ 913
Philadelphia, Authority for Industrial
Development, Educational
Commission Foreign Medical
Graduates Project, RB, MBIA
4.900%, 06/01/12 700 673
Philadelphia, Authority for Industrial
Development, RB
Callable 07/01/03 @ 102
5.250%, 07/01/17 1,250 1,161
Philadelphia, Hospitals & Higher
Education Facilities Authority,
Jefferson Health System, Ser A, RB
Callable 05/15/09 @ 101
5.000%, 05/15/18 450 376
Philadelphia, Pennsylvania Gas Works,
Unprerefunded Credit Support,
RB Callable 07/01/03 @ 102
6.375%, 07/01/26 1,000 1,034
Philadelphia, Water & Wastewater
Credit Support, RB, MBIA
5.625%, 06/15/09 1,000 1,040
Philadelphia, Water & Wastewater,
RB, FSA Callable 06/15/03 @ 100
5.000%, 06/15/16 1,000 940
Pittsburgh & Allegheny Counties,
Hotel Room Project, RB, AMBAC
Callable 08/01/09 @ 101
5.250%, 02/01/12 500 498
Upper Merion, Pennsylvania Area
School District, GO
Callable 07/15/08 @ 100
5.000%, 07/15/15 500 474
--------
25,718
--------
Total Municipal Bonds
(Cost $27,079) 25,718
--------
TREASURY BILL--7.8%
U.S. Treasury Bill (A)
5.366%, 07/20/00 2,200 2,194
--------
Total Treasury Bill
(Cost $2,194) 2,194
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CASH EQUIVALENT--0.3%
Federated Pennsylvania Municipal
Cash Trust 96,139 $ 96
--------
Total Cash Equivalent
(Cost $96) 96
--------
TOTAL INVESTMENTS--99.1%
(Cost $29,369) 28,008
--------
OTHER ASSETS AND LIABILITIES, NET--0.9% 264
--------
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 3,015,832 outstanding shares
of beneficial interest 30,676
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 37,068 outstanding shares
of beneficial interest 379
Accumulated net realized loss on
investments (1,422)
Net unrealized depreciation on investments (1,361)
--------
Total Net Assets--100.0% $ 28,272
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $9.26
========
Net Asset Value and Redemption
Price Per Share -- Class A $9.23
========
Maximum Public Offering
Price Per Share -- Class A ($9.23 / 97%) $9.52
========
(A) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
COP -- CERTIFICATE OF PARTICIPATION
GO -- GENERAL OBLIGATION
RB -- REVENUE BOND
SER -- SERIES
ST -- SPECIAL TAX
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR CERTAIN
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS:
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FGIC -- FINANCIAL GUARANTY INSURANCE COMPANY
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
19
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
NEW JERSEY MUNICIPAL SECURITIES FUND
--------------------------------------------------------------------------------
MUNICIPAL BONDS--98.0%
NEW JERSEY--87.4%
Atlantic County, GO, MBIA
Callable 12/01/02 @ 102
5.400%, 12/01/05 $ 400 $ 410
Atlantic County, Improvement
Authority, Convention Center Project,
RB, MBIA, ETM
7.375%, 07/01/10 400 451
Bayonne, GO, AMBAC
6.200%, 07/15/01 300 306
Bayonne, GO, FGIC
Callable 05/01/03 @ 102
5.900%, 05/01/05 150 157
Bayonne, Municipal Utilities Authority,
Water Systems, RB, MBIA
Callable 01/01/08 @ 101
5.000%, 01/01/12 500 489
Bergen County, General Improvement
Project, GO
5.250%, 08/15/00 300 300
5.125%, 06/15/05 220 224
Bergen County, Utilities Authority,
Ser A, RB, FGIC
6.100%, 06/15/04 500 523
Bergen County, Utilities Authority,
Water Systems, Ser A, RB, FGIC
Callable 12/15/07 @ 101
4.750%, 12/15/15 900 821
Burlington County, GO
Callable 10/01/02 @ 101
5.200%, 10/01/07 700 707
Burlington County, Special Services
School, GO Callable 07/15/04 @ 101
4.850%, 07/15/13 500 467
Camden County, GO, MBIA
Callable 06/01/02 @ 100
5.600%, 06/01/03 200 203
Camden County, Healthcare
Improvement Authority, Catholic
Health East Project,
Ser B, RB, AMBAC
Callable 05/15/08 @ 102
5.000%, 11/15/18 500 453
Camden County, Ser A, GO, FGIC
5.000%, 02/01/04 200 202
Cape May County, Municipal Utilities
Authority, RB, AMBAC
5.000%, 08/01/03 800 806
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Casino Reinvestment Development
Authority, Ser A, RB, FSA
5.000%, 10/01/04 $1,000 $ 1,009
Casino Reinvestment Development
Authority, Ser A, RB, FSA
Callable 10/01/07 @ 100
5.250%, 10/01/09 1,000 1,014
5.250%, 10/01/13 500 496
Cherry Hill Township, Ser A, GO,
FGIC Callable 07/15/09 @ 100
5.250%, 07/15/19 500 475
Cherry Hill Township, Ser B, GO
5.250%, 07/15/11 500 505
Clinton Township, New Jersey Board of
Education, GO
7.350%, 08/01/01 300 309
Dover Township, GO, AMBAC
Callable 10/15/02 @ 102
6.000%, 10/15/03 200 208
Edison Township, GO
5.400%, 06/01/02 250 253
Edison Township, GO, AMBAC
4.500%, 01/01/02 500 499
Edison Township, GO, AMBAC
Callable 01/01/04 @ 102
4.800%, 01/01/05 300 300
Elizabeth, New Jersey Board of
Education, GO, MBIA
7.000%, 03/15/04 250 268
Essex County, GO, MBIA
4.750%, 07/15/07 200 198
Essex County, Improvement Authority,
Property & Equipment Leasing Project,
RB Callable 12/01/02 @ 102
5.850%, 12/01/03 300 307
Essex County, Improvement Authority,
RB, AMBAC
4.875%, 12/01/02 300 302
Essex County, Improvement Lease
Authority, County Correctional
Facility Project, RB, FGIC
Callable 10/01/10 @ 100
5.250%, 10/01/11 500 504
Essex County, Improvement Lease
Authority, County Jail & Youth
Housing Project, RB, AMBAC
Callable 12/01/04 @ 102
6.500%, 12/01/06 345 373
Essex County, Improvement Lease
Authority, County Jail & Youth
Housing Project, RB, AMBAC
Callable 12/01/06 @ 102
5.000%, 12/01/08 250 250
--------------------------------------------------------------------------------
20
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Essex County, Utilities Authority,
Ser A, RB, FSA, ETM
5.000%, 04/01/04 $ 250 $ 252
Evesham Township, Board of Education,
GO, FGIC Callable 03/01/2009 @
100 Callable 03/01/09 @ 100
4.600%, 03/01/19 1,000 861
Evesham Township, General
Improvement Project, Ser A, GO,
FGIC Callable 09/15/06 @ 101
5.000%, 09/15/12 500 491
Fort Lee, GO
4.850%, 02/01/02 150 151
Franklin Township, Refunding
Improvement Project, GO
Callable 11/01/02 @ 102
5.600%, 11/01/05 400 412
Gloucester County, GO
5.000%, 09/01/03 500 503
Gloucester County, Improvement
Authority, Landfill Project,
Ser A, RB Callable 09/01/02 @ 100
6.000%, 09/01/06 300 307
Greenwich Township, Board of
Education, GO, FSA
Callable 01/15/08 @ 100
5.000%, 01/15/13 500 486
5.000%, 01/15/14 800 773
Hackensack, GO
Callable 03/15/08 @ 102
4.900%, 03/15/09 500 495
Hackensack, GO
Pre-Refunded @ 102 (A)
6.100%, 06/01/05 250 258
6.100%, 06/01/07 250 258
Hackensack, Meadowlands Development
Authority, RB
7.125%, 06/01/02 265 270
Hackettstown, Municipal Utilities
Authority, Ser F, RB, FGIC
Callable 10/01/03 @ 102
5.050%, 10/01/04 500 504
Hudson County, Utilities Authority,
RB Pre-Refunded @ 100 (A)
11.875%, 07/01/06 285 316
Jersey City, GO
Callable 02/15/02 @ 102
6.500%, 02/15/03 370 386
Jersey City, GO, MBIA
Callable 03/15/07 @ 102
5.500%, 03/15/14 500 505
Kearny, GO, FGIC
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
4.300%, 02/15/01 $ 500 $ 500
5.250%, 02/15/08 600 613
Long Branch, Sewer Authority,
RB, FGIC
4.900%, 06/01/02 300 301
Long Branch, Sewer Authority, RB,
FGIC Callable 06/01/03 @ 102
5.200%, 06/01/05 500 507
5.250%, 06/01/06 200 203
Mercer County, Improvement
Authority, Ewing Board of
Education Lease Project, RB, MBIA
Pre-Refunded @ 102 (A)
6.300%, 05/15/07 250 262
Mercer County, Improvement
Authority, Hamilton Board of
Education Project, RB, MBIA
5.500%, 06/01/01 200 202
Mercer County, Improvement
Authority, Hamilton Board of
Education Project, RB, MBIA
Callable 06/01/01 @ 102
6.000%, 06/01/04 250 257
Mercer County, Improvement
Authority, Hamilton Board of
Education Project, RB, MBIA
Callable 12/15/03 @ 102
4.900%, 12/15/05 150 150
Middlesex County, GO
5.000%, 10/01/05 500 506
5.000%, 10/01/09 500 501
Middlesex County, GO
Pre-Refunded @ 102 (A)
5.800%, 10/01/10 500 521
Middlesex County, Utilities Authority,
Ser A, RB, FGIC
Callable 12/01/07 @ 101
5.000%, 12/01/12 400 391
Middletown Township, Sewer
Authority, Ser A, RB, FGIC
Callable 01/01/03 @ 101
4.900%, 01/01/05 800 801
Monmouth County, Improvement
Authority, RB, FSA
Callable 07/15/06 @ 102
5.450%, 07/15/13 850 858
Monmouth County, Improvement
Authority, RB, MBIA
Callable 12/01/07 @ 101
5.000%, 12/01/08 250 250
5.125%, 12/01/16 500 478
Moorestown Township, GO, AMBAC
--------------------------------------------------------------------------------
21
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Pre-Refunded @ 102 (A)
6.000%, 09/01/07 $ 300 $ 312
Morristown, GO, FSA
5.500%, 08/01/01 100 101
Mount Laurel Township, Board of
Education, GO
4.650%, 08/01/05 500 496
New Brunswick, GO, MBIA
Callable 09/15/06 @ 101
4.700%, 09/15/09 500 489
New Brunswick, Housing Authority,
RB, FGIC Callable 01/01/09 @ 101
4.750%, 07/01/18 500 442
New Brunswick, Parking Authority,
RB, FGIC Callable 01/01/06 @ 102
5.000%, 01/01/20 500 452
New Jersey State, Building Authority,
RB Callable 06/15/03 @ 102
4.700%, 06/15/06 250 248
New Jersey State, Building Authority,
RB Callable 06/15/07 @ 102
5.000%, 06/15/10 600 597
4.750%, 06/15/17 500 451
New Jersey State, Building Authority,
RB, MBIA Callable 06/15/07 @ 102
5.000%, 06/15/18 1,000 924
New Jersey State, Economic
Development Authority, International
Center for Public Health Project,
RB, AMBAC
5.500%, 06/01/09 315 325
New Jersey State, Educational Facilities
Authority, Drew University Project,
Ser B, RB, ETM
5.750%, 07/01/02 360 368
New Jersey State, Educational Facilities
Authority, Glassboro State College
Project, RB Callable 07/31/00 @ 100
6.750%, 07/01/09 300 300
New Jersey State, Educational Facilities
Authority, Higher Education Facilities
Trust Fund, Ser A, RB, AMBAC
Callable 09/01/05 @ 102
5.125%, 09/01/06 300 303
New Jersey State, Educational Facilities
Authority, Medicine & Dentistry
Project, Ser B, RB, AMBAC
Callable 12/01/05 @ 101
5.000%, 12/01/07 250 250
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Jersey State, Educational Facilities
Authority, Montclair State University
Project, Ser C, RB, AMBAC
Callable 07/01/06 @ 101
5.375%, 07/01/08 $1,285 $ 1,319
New Jersey State, Educational
Facilities Authority, Princeton
Theological Project, Ser A, RB
Callable 07/01/07 @ 101
4.700%, 07/01/10 500 486
New Jersey State, Educational Facilities
Authority, Richard Stockton State
College Project, Ser B, RB, AMBAC
Callable 07/01/02 @ 102
6.200%, 07/01/04 300 313
New Jersey State, Educational Facilities
Authority, Rowan College Project,
Ser C, RB, MBIA
5.050%, 07/01/03 300 303
New Jersey State, Educational Facilities
Authority, Rowan College Project,
Ser C, RB, MBIA
Callable 07/01/03 @ 102
5.250%, 07/01/05 300 305
New Jersey State, Educational Facilities
Authority, Stevens Institutional
Technology Project, Ser I, RB
Callable 07/01/08 @ 101
5.000%, 07/01/28 250 214
New Jersey State, Environmental
Infrastructure, Wastewater Treatment
Project, RB Callable 09/01/07 @ 101
5.000%, 09/01/10 1,000 995
5.000%, 09/01/14 1,000 971
New Jersey State, Equipment,
Ser A, COP
6.000%, 10/01/00 300 301
New Jersey State, GO
Callable 03/01/08 @ 100
4.750%, 03/01/17 1,000 904
New Jersey State, GO
Pre-Refunded @ 100.25 (A)
7.000%, 04/01/02 250 255
6.400%, 09/15/02 250 256
New Jersey State, Highway Authority,
Garden State Parkway, RB, ETM
Callable 07/31/00 @ 100
6.000%, 01/01/19 1,000 1,049
New Jersey State, Housing & Mortgage
Finance Authority, Home Buyer
Project, Ser N, RB, MBIA
Callable 10/01/05 @ 101.50
5.200%, 04/01/06 500 504
--------------------------------------------------------------------------------
22
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Jersey State, Housing & Mortgage
Finance Authority, Presidential Plaza
Project, RB, FHA
Callable 11/01/01 @ 102
6.300%, 05/01/02 $ 400 $ 408
New Jersey State, Housing &
Mortgage Finance Authority,
Ser A, RB
6.400%, 05/01/02 520 532
New Jersey State, Housing &
Mortgage Finance Authority,
Ser A, RB, AMBAC
Callable 05/01/05 @ 102
5.300%, 05/01/06 325 329
New Jersey State, Housing &
Mortgage Finance Authority,
Ser One, RB
6.000%, 11/01/02 475 480
New Jersey State, Ser A, COP, AMBAC
Callable 06/15/07 @ 100
5.000%, 06/15/13 1,000 956
5.000%, 06/15/14 500 473
New Jersey State, Ser D, GO
5.300%, 02/15/02 850 860
5.400%, 02/15/03 300 306
New Jersey State, Ser E, GO
5.000%, 07/15/04 100 101
New Jersey State, Transportation
Trust Fund, Transportation Systems
Project, Ser A, RB, FSA, ETM
5.300%, 12/15/01 200 202
New Jersey State, Transportation
Trust Fund, Transportation Systems
Project, Ser A, RB
5.750%, 06/15/15 1,000 1,040
New Jersey State, Transportation Trust
Fund, Transportation Systems Project,
Ser A, RB, AMBAC, ETM
5.200%, 12/15/00 200 201
New Jersey State, Transportation Trust
Fund, Transportation Systems
Project, Ser A, RB, FSA
Callable 06/15/08 @ 100
5.000%, 06/15/18 1,000 919
New Jersey State, Transportation Trust
Fund, Transportation Systems
Project, Ser A, RB, FSA
Callable 06/15/09 @ 100
4.500%, 06/15/19 1,000 850
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Jersey State, Transportation Trust
Fund, Transportation Systems
Project, Ser A, RB, MBIA
4.500%, 12/15/02 $ 450 $ 449
New Jersey State, Transportation Trust
Fund, Transportation Systems Project,
Ser A, RB, MBIA
Callable 06/15/05 @ 102
5.500%, 06/15/11 750 768
5.000%, 06/15/15 500 472
New Jersey State, Transportation Trust
Fund, Transportation Systems Project,
Ser B, RB, MBIA
Callable 06/15/05 @ 102
5.200%, 06/15/06 1,850 1,880
New Jersey State, Turnpike Authority,
RB, ETM
10.375%, 01/01/03 320 345
New Jersey State, Turnpike Authority,
Ser A, RB
6.400%, 01/01/02 300 307
New Jersey State, Turnpike Authority,
Ser A, RB Callable 01/01/02 @ 102
5.900%, 01/01/04 340 351
New Jersey State, Turnpike Authority,
Ser A, RB Pre-Refunded @ 102 (A)
5.900%, 01/01/04 160 166
New Jersey State, Turnpike Authority,
Ser C, RB, AMBAC
Pre-Refunded @ 101.50 (A)
6.400%, 01/01/07 620 635
New Jersey, Economic Development
Authority, Public Schools
Small Loan Project, RB
Callable 08/15/03 @ 102
4.900%, 08/15/04 200 201
New Jersey, Economic Development
Authority, Bergen County
Administration Complex Project,
RB, MBIA
Callable 11/15/08 @ 101
4.550%, 11/15/10 1,000 945
New Jersey, Economic Development
Authority, First Mortgage Franciscan
Oaks Project, RB
Callable 04/01/03 @ 100
5.600%, 10/01/12 500 431
New Jersey, Economic Development
Authority, First Mortgage
Franciscan Oaks Project,
RB Callable 04/01/08 @ 101
5.700%, 10/01/17 1,000 826
--------------------------------------------------------------------------------
23
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Jersey, Economic Development
Authority, Hillcrest Health Service
Systems Project RB, AMBAC
5.000%, 01/01/07 $ 300 $ 299
New Jersey, Economic Development
Authority, Saint Barnabas Project,
Ser A, RB, MBIA
4.875%, 07/01/05 500 499
New Jersey, Economic Development
Authority, Ser A, RB, MBIA
5.125%, 07/01/00 300 300
New Jersey, Economic Development
Authority, Unrefunded Health
Village-96 Project, RB
Callable 05/01/06 @ 101 (B)
6.000%, 05/01/09 175 180
New Jersey, Environmental
Infrastructure, Wastewater Treatment
Project, RB Callable 09/01/07 @ 101
5.000%, 09/01/17 400 375
New Jersey, Environmental
Infrastructure, Wastewater Treatment
Project, Ser D, RB
Callable 05/01/08 @ 102
5.000%, 05/01/11 500 493
New Jersey, Environmental
Infrastructure, Wastewater Treatment
Project, Ser G, RB, FGIC
Callable 04/01/08 @ 102
5.000%, 04/01/11 450 444
New Jersey, Health Care Facilities
Authority, Atlantic City Medical
Center Project, Ser C, RB
Callable 07/01/02 @ 102
6.550%, 07/01/03 300 308
New Jersey, Health Care Facilities
Authority, Hackensack Medical
Center Project, RB, FGIC, ETM
6.000%, 07/01/00 300 300
New Jersey, Health Care Facilities
Authority, Hackensack University
Medical Center Project, RB
Callable 01/01/10 @ 101
5.700%, 01/01/11 500 505
5.875%, 01/01/15 500 494
New Jersey, Health Care Facilities
Authority, Hackensack University
Medical Center Project, Ser A, RB,
MBIA Callable 01/01/08 @ 101
5.000%, 01/01/18 500 454
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
New Jersey, Health Care Facilities
Authority, Kennedy Health Systems
Project, Ser A, RB, MBIA
Callable 07/01/07 @ 101
5.200%, 07/01/18 $ 500 $ 471
New Jersey, Health Care Facilities
Authority, Mountainside Hospital
Project, RB, MBIA
5.100%, 07/01/03 500 504
New Jersey, Health Care Facilities
Authority, Somerset Medical Center
Project, Ser A, RB, FGIC
Callable 07/01/04 @ 102
4.600%, 07/01/05 250 246
New Jersey, Health Care Facilities
Authority, Underwood Memorial
Hospital Project, Ser B, RB, AMBAC
5.000%, 07/01/02 300 302
New Jersey, Health Care Facilities
Financing Authority, RB, FHA
Callable 02/01/01 @ 102
6.800%, 08/01/19 1,000 1,032
New Jersey, Health Care Facilities
Financing Authority, RB, FHA
Pre-Refunded @ 100 (A)
6.800%, 08/01/19 425 439
New Jersey, Sports & Exposition
Authority, Ser A, RB
Callable 09/01/03 @ 101
5.000%, 09/01/06 200 201
New Jersey, Sports & Exposition
Authority, Ser A, RB, MBIA
5.600%, 07/01/01 175 177
New Jersey, Sports & Exposition
Authority, State Guaranteed,
RB, ETM Callable 07/31/00 @ 100
8.300%, 01/01/03 380 410
New Jersey, Sports & Exposition
Authority, Ser A, RB, MBIA
Pre-Refunded @ 102 (A)
5.900%, 07/01/03 300 313
New Jersey, Wastewater Treatment,
Ser A, RB
5.000%, 09/01/06 450 453
New Jersey, Wastewater Treatment,
Ser A, RB Pre-Refunded @ 102 (A)
6.000%, 07/01/10 955 988
New York & New Jersey Port Authority,
Ser 71, RB Callable 01/15/01 @ 101
6.800%, 07/15/08 250 255
Newark, Board of Education,
GO, MBIA Callable 12/15/04 @ 102
5.875%, 12/15/11 370 385
--------------------------------------------------------------------------------
24
<PAGE>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
North Bergen Township, GO, MBIA
4.400%, 08/01/01 $ 500 $ 500
North Bergen Township, Municipal
Utilities Authority, RB, FGIC
4.800%, 12/15/03 300 301
North Brunswick Township, Board of
Education, GO, FGIC
Callable 02/01/07 @ 101
5.000%, 02/01/10 750 746
North Brunswick Township,
GO, FGIC Callable 05/15/07 @ 101
5.000%, 05/15/12 1,000 981
North Jersey District, Water Supply,
Wanaque North Project, RB, MBIA
Callable 11/15/07 @ 101
4.875%, 11/15/09 250 247
5.000%, 11/15/10 500 497
North Jersey District, Water Supply,
Wanaque South Project, RB, MBIA
5.400%, 07/01/02 300 304
5.500%, 07/01/03 200 204
Ocean County, GO
Pre-Refunded @ 102 (A)
5.800%, 09/01/10 500 521
Ocean County, Ser A, GO
4.600%, 11/01/03 500 499
Ocean Township, School District, GO,
MBIA Pre-Refunded @ 100 (A)
5.400%, 06/01/15 250 256
Old Tappan, Board of Education, GO,
FGIC Callable 04/01/06 @ 101
5.100%, 04/01/18 500 466
Parsippany, Troy Hills Township, GO
Callable 12/01/02 @ 103
4.700%, 12/01/03 500 499
4.700%, 12/01/04 400 399
Parsippany, Troy Hills Township, GO,
MBIA Callable 12/01/07 @ 102
5.000%, 12/01/15 500 476
Passaic County, General Improvement
Project, GO, MBIA
4.450%, 05/01/04 200 198
Passaic County, GO
Callable 11/15/00 @ 102
6.400%, 11/15/01 300 308
Passaic County, GO, FGIC
Callable 09/01/03 @ 101
4.750%, 09/01/04 500 500
Paterson, GO, FSA
Pre-Refunded @ 101 (A)
6.350%, 02/15/03 235 243
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Pequannock Lincoln Park,
Ser E-I, RB, MBIA
4.400%, 12/01/02 $ 500 $ 498
Perth Amboy, GO, FSA
6.200%, 09/01/00 300 301
Pleasantville, School District,
GO, MBIA Callable 02/15/08 @ 100
5.000%, 02/15/11 500 493
Point Pleasant, GO, MBIA
5.450%, 12/01/00 200 201
Princeton Township, GO
4.400%, 09/01/01 300 300
Rahway Valley, Sewer Authority, RB
Callable 07/31/00 @ 100
6.200%, 04/01/01 210 211
Randolph Township, School District,
GO, FGIC Callable 08/01/08 @ 100
5.000%, 08/01/15 500 471
Roselle, GO, MBIA
Callable 10/15/03 @ 102
4.750%, 10/15/04 700 700
Roxbury Township, Board of
Education, COP
5.000%, 10/15/00 250 250
Rutgers State University, Ser A, RB
4.375%, 05/01/01 500 500
Rutgers State University, Ser S, RB
Callable 05/01/03 @ 102
5.000%, 05/01/04 500 503
Rutgers State University, Ser U, RB
Callable 05/01/08 @ 101
5.000%, 05/01/14 500 475
Secaucus, Municipal Utilities Authority,
Sewer Project, Ser A, RB
5.650%, 12/01/04 200 207
Secaucus, Municipal Utilities Authority,
Sewer Project, Ser A, RB
Callable 12/01/04 @ 102
5.750%, 12/01/05 385 402
Somerset County, GO
5.000%, 10/01/02 200 202
4.450%, 12/01/02 500 499
Somerset, Raritan Valley, Sewer
Improvement Authority, Ser H, RB
5.150%, 07/01/01 300 302
South Brunswick Township, Board of
Education, GO,
Pre-Refunded @ 102 (A)
6.300%, 04/01/04 250 261
South Jersey, Transportation Authority,
Ser B, RB, MBIA
5.500%, 11/01/02 250 255
--------------------------------------------------------------------------------
25
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Union County, General Improvement
Project, GO
4.750%, 02/01/03 $ 500 $ 501
Union County, GO
4.400%, 09/01/01 500 499
Union County, Improvement Authority,
Capital Equipment & Facilities Lease
Project, Ser A, RB
4.900%, 04/01/02 350 352
Union County, Improvement Authority,
Capital Equipment & Facilities Lease
Project, Ser A, RB
Callable 04/01/02 @ 102
5.150%, 04/01/05 500 506
Union County, Improvement Authority,
Educational Services Commission, RB
Callable 03/01/07 @ 101
5.050%, 03/01/08 125 126
University Medicine & Dentistry,
Ser E, RB Callable 12/01/01 @ 102
6.200%, 12/01/03 500 519
Wanaque Valley, Regional Sewer
Authority, Ser B, RB, AMBAC
5.100%, 09/01/03 300 303
Warren County, Municipal Utilities
Authority, RB
Callable 12/01/03 @ 101
5.050%, 12/01/04 225 227
Warren County, Pollution Control,
Resource Recovery Project,
RB, MBIA
6.150%, 12/01/02 210 211
Warren County, Pollution Control,
Resource Recovery Project, RB, MBIA
Callable 12/01/02 @ 102
6.550%, 12/01/06 300 302
Washington Township, Board of
Education, GO, MBIA
5.000%, 02/01/03 250 252
5.000%, 02/01/06 250 252
Wayne Township, General Improvement
Project, GO Callable 10/01/00 @ 101
5.450%, 10/01/04 250 253
West Windsor Township, General
Improvement Project, GO
Pre-Refunded @ 101 (A)
6.000%, 10/15/05 200 203
Woodbridge Township, Ser A, GO
Callable 09/15/04 @ 102
4.650%, 09/15/05 100 99
Woodbridge Township, Ser C, GO
Callable 09/15/04 @ 102
4.650%, 09/15/05 100 99
--------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Woodbridge Township, Sewer Utilities
Project, GO Pre-Refunded @ 101 (A)
6.800%, 08/01/04 $ 250 $ 253
--------
88,944
--------
DELAWARE--1.0%
Delaware River & Bay Authority,
RB, FGIC Callable 01/01/06 @ 102
5.350%, 01/01/14 1,000 1,007
--------
NEW YORK--1.7%
Port Authority of New York &
New Jersey, 114th Series, RB, MBIA
Callable 08/01/05 @ 101
4.750%, 08/01/16 500 449
Port Authority of New York &
New Jersey, Consolidated
Eighty-Second Series, RB
Callable 08/01/02 @ 101
5.300%, 08/01/03 300 305
Port Authority of New York &
New Jersey, Consolidated
One-Hundred Fourth Series,
RB, AMBAC
Callable 01/15/06 @ 101
5.200%, 07/15/17 1,000 963
--------
1,717
--------
PENNSYLVANIA--3.3%
Delaware River Port Authority,
Pennsylvania & New Jersey,
RB, FGIC Callable 01/01/06 @ 102
5.400%, 01/01/13 1,000 1,009
Delaware River Port Authority,
Pennsylvania & New Jersey,
Ser B, RB, MBIA Callable
01/01/08 @ 101
4.750%, 01/01/14 480 446
4.750%, 01/01/17 1,000 904
Delaware River Port Authority,
Pennsylvania & New Jersey,
Ser B, RB, AMBAC
5.250%, 01/01/09 1,000 1,019
--------
3,378
--------
PUERTO RICO--4.6%
Puerto Rico, Electric Power Authority,
Ser AA, RB, MBIA
4.900%, 07/01/05 1,000 1,013
Puerto Rico, Electric Power Authority,
Ser Y, RB, MBIA
6.500%, 07/01/06 500 548
--------------------------------------------------------------------------------
26
<PAGE>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
--------------------------------------------------------------------------------
Puerto Rico, Industrial & Educational
Tourist Authority, Dr. Pila Hospital
Project, Ser A, RB, FHA Insured
Callable 08/01/05 @ 101.50
5.250%, 08/01/06 $ 200 $ 199
Puerto Rico, Industrial & Educational
Tourist, International American
University Project, Ser A, RB, MBIA
Callable 10/01/08 @ 101
5.000%, 10/01/22 1,000 919
Puerto Rico, Public Buildings
Authority, Government Facilities
Project, Ser A, RB, AMBAC
4.500%, 07/01/01 200 201
Puerto Rico, Telephone Authority,
Ser M, RB, AMBAC
Pre-Refunded @ 101.50 (A)
5.050%, 01/01/04 590 607
Puerto Rico, Telephone Authority,
Ser M, RB, ETM
5.000%, 01/01/02 500 504
Puerto Rico, Telephone Authority,
Ser M, RB Pre-Refunded @ 101.50 (A)
5.400%, 01/01/08 260 269
Puerto Rico, Telephone Authority,
Ser N, RB Pre-Refunded @ 101.50 (A)
5.100%, 01/01/04 395 407
--------
4,667
--------
Total Municipal Bonds
(Cost $100,629) 99,713
--------
TREASURY BILL--0.5%
U.S. Treasury Bill (C)
5.451%, 07/27/00 500 498
--------
Total Treasury Bill
(Cost $498) 498
--------
CASH EQUIVALENT--0.2%
Federated New Jersey Municipal
Cash Trust 236,596 237
--------
Total Cash Equivalent
(Cost $237) 237
--------
Total Investments--98.7%
(Cost $101,364) 100,448
--------
OTHER ASSETS AND LIABILITIES, NET--1.3% 1,268
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 8,913,720 outstanding shares
of beneficial interest 93,081
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 912,059 outstanding shares
of beneficial interest $ 9,889
Accumulated net realized loss
on investments (338)
Net unrealized depreciation on investments (916)
--------
Total Net Assets--100.0% $101,716
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.36
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.32
========
Maximum Public Offering
Price Per Share -- Class A ($10.32 / 97%) $10.64
========
(A) PRE-REFUNDED SECURITY -- THE MATURITY DATE SHOWN ON THE STATEMENT OF NET
ASSETS IS THE PRE-REFUNDED DATE.
(B) SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT OR OTHER CREDIT
SUPPORT.
(C) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
ETM -- ESCROWED TO MATURITY
GO -- GENERAL OBLIGATION
RB -- REVENUE BOND
SER -- SERIES
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
CERTAIN SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS:
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FGIC -- FINANCIAL GUARANTY INSURANCE COMPANY
FSA -- FINANCIAL SECURITIES ASSURANCE
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND FUND
--------------------------------------------------------------------------------
MUTUAL FUND--99.2%
SEI Institutional Managed Trust
High Yield Bond Fund --
Class A 923,129 $ 8,650
--------
Total Mutual Fund
(Cost $9,542) 8,650
--------
Total Investments--99.2%
(Cost $9,542) 8,650
--------
OTHER ASSETS AND LIABILITIES, NET--0.8% 71
--------
--------------------------------------------------------------------------------
27
<PAGE>
STATEMENT OF NET ASSETS
HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 420,347 outstanding shares
of beneficial interest $ 4,121
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 16,300 outstanding shares
of beneficial interest 169
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 554,687 outstanding shares
of beneficial interest 5,543
Accumulated net realized loss
on investments (220)
Net unrealized depreciation on investments (892)
--------
Total Net Assets--100.0% $ 8,721
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $8.81
========
Net Asset Value and Redemption
Price Per Share -- Class A $8.79
========
Maximum Public Offering Price
Per Share -- Class A ($8.79 / 95.75%) $9.18
========
Net Asset Value and Redemption
Price Per Share -- Class B (1) $8.79
========
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED FUND
--------------------------------------------------------------------------------
COMMON STOCKS--71.4%
AEROSPACE/DEFENSE EQUIPMENT--1.2%
United Technologies 15,000 $ 883
--------
AIRCRAFT--0.9%
Honeywell International 20,000 674
--------
BANKS--4.9%
Bank of America 33,000 1,419
Bank of New York 16,000 744
Chase Manhattan 30,000 1,382
--------
3,545
--------
COMMUNICATIONS EQUIPMENT--1.2%
Motorola 30,000 872
--------
COMPUTERS & SERVICES--10.1%
Cisco Systems* 38,000 2,415
Dell Computer* 36,000 1,775
International Business Machines 15,000 1,643
Microsoft* 19,000 1,520
--------
7,353
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
DRUGS--5.9%
Bristol-Myers Squibb 12,000 $ 699
Merck 20,000 1,532
Pfizer 42,000 2,016
--------
4,247
--------
ELECTRICAL & ELECTRONIC PRODUCTS--3.3%
General Electric 45,000 2,385
--------
FINANCIAL SERVICES--7.6%
American Express 18,000 938
Citigroup 35,000 2,109
Merrill Lynch 7,000 805
Morgan Stanley Dean Witter 20,000 1,665
--------
5,517
--------
GAS/NATURAL GAS--4.2%
Enron 21,000 1,354
Williams 40,000 1,667
--------
3,021
--------
INSURANCE--1.2%
American International Group 7,500 881
--------
INTERNET--1.5%
America Online* 20,000 1,055
--------
MACHINERY--1.8%
Ingersoll-Rand 32,000 1,288
--------
MEDICAL PRODUCTS & SERVICES--2.5%
Johnson & Johnson 18,000 1,834
--------
MISCELLANEOUS BUSINESS SERVICES--0.3%
Comdisco 10,000 223
--------
MISCELLANEOUS MANUFACTURING--4.6%
Tyco International Ltd. 70,000 3,316
--------
MULTIMEDIA--0.0%
Time Warner 100 8
--------
PETROLEUM & FUEL PRODUCTS--1.4%
Halliburton 5,000 236
Schlumberger Ltd. 10,000 746
--------
982
--------
PETROLEUM REFINING--1.7%
BP Amoco ADR 10,586 599
Exxon Mobil 7,920 622
--------
1,221
--------
RETAIL--2.6%
BJ's Wholesale Club* 7,000 231
Wal-Mart Stores 29,000 1,671
--------
1,902
--------
--------------------------------------------------------------------------------
28
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES/PAR (000) VALUE (000)
--------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS--9.8%
Applied Materials* 26,000 $ 2,356
Intel 21,000 2,807
Texas Instruments 28,000 1,923
--------
7,086
--------
TELEPHONES & TELECOMMUNICATION--4.7%
Lucent Technologies 27,000 1,600
Worldcom* 40,000 1,835
--------
3,435
--------
Total Common Stocks
(Cost $32,933) 51,728
--------
U.S. TREASURY OBLIGATIONS--7.4%
U.S. Treasury Notes
6.750%, 05/15/05 $ 1,500 1,535
6.500%, 02/15/10 1,000 1,032
6.375%, 01/31/02 2,000 1,996
6.125%, 12/31/01 800 795
--------
Total U.S. Treasury Obligations
(Cost $5,335) 5,358
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--4.4%
Federal Farm Credit Bank
6.000%, 01/07/08 1,000 934
Federal Home Loan Bank
8.000%, 08/19/14 800 779
Federal Home Loan Mortgage
6.704%, 01/09/07 500 491
Federal National Mortgage Association
7.125%, 03/15/07 1,000 1,003
--------
Total U.S. Government Agency Obligations
(Cost $3,303) 3,207
--------
CORPORATE BONDS--15.5%
AEROSPACE/DEFENSE EQUIPMENT--1.3%
United Tech
6.500%, 06/01/09 1,000 946
--------
BANKS--0.7%
Bank One
7.125%, 05/15/07 500 481
--------
COMPUTERS & SERVICES--1.4%
International Business Machines
7.500%, 06/15/13 1,000 1,019
--------
FINANCIAL SERVICES--2.0%
Bear Stearns
6.625%, 10/01/04 800 766
--------------------------------------------------------------------------------
Description Par (000)/Shares Value (000)
--------------------------------------------------------------------------------
Goldman Sachs Group
6.650%, 05/15/09 $ 750 $ 687
--------
1,453
--------
FOOD, BEVERAGE & TOBACCO--2.6%
McDonald's, Ser E, MTN
6.500%, 08/01/07 1,000 962
PepsiCo (A)
6.125%, 03/04/08 1,000 938
--------
1,900
--------
MISCELLANEOUS MANUFACTURING--1.2%
Tyco International Group
6.125%, 01/15/09 1,000 891
--------
MULTIMEDIA--1.3%
Walt Disney, MTN
5.800%, 10/27/08 1,000 925
--------
PETROLEUM & FUEL PRODUCTS--1.3%
Amoco
6.250%, 10/15/04 1,000 979
--------
RAILROADS--1.2%
Norfolk Southern Railway, Ser I
5.950%, 04/01/08 1,000 882
--------
TELEPHONES & TELECOMMUNICATION--2.5%
GTE California, Ser G
5.500%, 01/15/09 1,000 858
Verizon Communications
6.460%, 04/15/08 1,000 923
--------
1,781
--------
Total Corporate Bonds
(Cost $11,743) 11,257
--------
CERTIFICATE OF DEPOSIT--0.5%
National City Bank Cleveland
7.100%, 09/25/12 400 368
--------
Total Certificate of Deposit
(Cost $400) 368
--------
CASH EQUIVALENTS--0.2%
SEI Liquid Asset Trust --
Government Portfolio 138,641 139
SEI Liquid Asset Trust--
Treasury Portfolio 26,002 26
--------
Total Cash Equivalents
(Cost $165) 165
--------
--------------------------------------------------------------------------------
29
<PAGE>
STATEMENT OF NET ASSETS
BALANCED FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Total Investments--99.4%
(Cost $53,879) $ 72,083
--------
OTHER ASSETS AND LIABILITIES, NET--0.6% 391
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 1,749,367 outstanding shares
of beneficial interest 15,085
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 637,108 outstanding shares
of beneficial interest 6,155
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 2,475,590 outstanding shares
of beneficial interest 32,757
Accumulated net realized gain on investments 273
Net unrealized appreciation on investments 18,204
--------
Total Net Assets--100.0% $ 72,474
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.95
========
Net Asset Value and Redemption
Price Per Share -- Class A $14.97
========
Maximum Public Offering
Price Per Share -- Class A ($14.97 / 94.5%) $15.84
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $14.86
========
* NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE
(A) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON JUNE 30, 2000. THE COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE.
ADR -- AMERICAN DEPOSITARY RECEIPT
LTD. -- LIMITED
MTN -- MEDIUM TERM NOTE
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
--------------------------------------------------------------------------------
COMMON STOCKS--89.6%
AEROSPACE/DEFENSE EQUIPMENT--2.3%
United Technologies 40,000 $ 2,355
--------
AIRCRAFT--3.4%
Honeywell International 45,000 1,516
Textron 35,000 1,901
--------
3,417
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
AUTOMOTIVE--1.3%
Ford Motor 30,000 $ 1,290
--------
AUTOMOTIVE PARTS & EQUIPMENT--0.0%
Visteon* 3,927 48
--------
BANKS--6.5%
Bank of America 30,000 1,290
Bank of New York 70,000 3,255
Chase Manhattan 42,000 1,935
--------
6,480
--------
CHEMICALS--3.2%
E.I. Du Pont de Nemours 40,000 1,750
PPG Industries 33,000 1,462
--------
3,212
--------
COMPUTERS & SERVICES--0.3%
International Business Machines 3,000 329
--------
COSMETICS & TOILETRIES--4.1%
Colgate-Palmolive 30,000 1,796
Kimberly-Clark 40,000 2,295
--------
4,091
--------
DRUGS--11.7%
American Home Products 30,000 1,762
Bristol-Myers Squibb 35,000 2,039
Merck 25,000 1,916
Pfizer 47,000 2,256
Pharmacia 29,750 1,538
Smithkline Beecham ADR 35,000 2,282
--------
11,793
--------
ELECTRICAL & ELECTRONIC PRODUCTS--5.9%
Emerson Electric 10,000 604
General Electric 100,000 5,300
--------
5,904
--------
FINANCIAL SERVICES--5.3%
Federal National Mortgage
Association 30,000 1,566
Household International 50,000 2,078
JP Morgan 15,000 1,652
--------
5,296
--------
FOOD, BEVERAGE & TOBACCO--2.4%
Bestfoods 35,000 2,424
--------
GAS/NATURAL GAS--5.6%
Enron 55,000 3,547
Williams 50,000 2,084
--------
5,631
--------
--------------------------------------------------------------------------------
30
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
INSURANCE--10.0%
American General 27,000 $ 1,647
American International Group 25,000 2,937
Lincoln National 50,000 1,806
Marsh & McLennan 35,000 3,655
--------
10,045
--------
MEDICAL PRODUCTS & SERVICES--2.3%
Baxter International 33,000 2,320
--------
MULTIMEDIA--3.0%
McGraw-Hill 55,000 2,970
--------
OFFICE EQUIPMENT--1.6%
Pitney Bowes 40,000 1,600
--------
PETROLEUM REFINING--9.8%
BP Amoco ADR 55,000 3,111
Chevron 22,000 1,866
Exxon Mobil 39,000 3,061
Texaco 33,000 1,757
--------
9,795
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.6%
Eastman Kodak 10,000 595
--------
RETAIL--2.1%
Limited 100,000 2,162
--------
TELEPHONES & TELECOMMUNICATION--7.5%
AT&T 41,000 1,297
Verizon Communications 35,000 1,778
BellSouth 55,000 2,344
Vodafone Air Touch ADR 50,000 2,072
--------
7,491
--------
TOYS--0.7%
Mattel 55,000 725
--------
Total Common Stocks
(Cost $63,273) 89,973
--------
CONVERTIBLE/PREFERREDS--6.0%
El Paso Energy Capital Trust I 30,000 1,931
Decs Trust VI 20,000 1,373
Newell Financial Trust I 35,000 1,330
Seagram Ltd. (ACES) 25,000 1,344
--------
Total Convertible/Preferreds
(Cost $5,292) 5,978
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CONVERTIBLE/PREFERRED STOCK--1.0%
Psinet, Ser C 20,000 $ 978
--------
Total Convertible/Preferred Stock
(Cost $923) 978
--------
REGULATED INVESTMENT COMPANIES--3.1%
Estee Lauder, TRACES 17,000 1,522
Readers Digest, TRACES 45,000 1,575
--------
Total Regulated Investment Companies
(Cost $2,536) 3,097
--------
CASH EQUIVALENT--0.5%
SEI Liquid Asset Trust --
Prime Obligation 545,770 546
--------
Total Cash Equivalent
(Cost $546) 546
--------
Total Investments--100.2%
(Cost $72,570) 100,572
--------
OTHER ASSETS AND LIABILITIES, NET--(0.2%) (205)
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 5,039,363 outstanding shares
of beneficial interest 43,575
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 928,090 outstanding shares
of beneficial interest 10,940
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,146,851 outstanding shares
of beneficial interest 16,520
Accumulated net realized gain on investments 1,330
Net unrealized appreciation on investments 28,002
--------
Total Net Assets--100.0% $100,367
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.11
========
Net Asset Value and Redemption
Price Per Share -- Class A $14.14
========
Maximum Public Offering Price
Per Share -- Class A ($14.14 / 94.5%) $14.96
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $14.06
========
--------------------------------------------------------------------------------
31
<PAGE>
STATEMENT OF NET ASSETS
EQUITY INCOME FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
*NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
ACES -- ADJUSTABLE CONVERTIBLE RATE EQUITY SECURITY UNITS
ADR -- AMERICAN DEPOSITARY RECEIPT
LTD. -- LIMITED
SER -- SERIES
TRACES -- TRUST AUTOMATIC COMMON EXCHANGE SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INDEX FUND
--------------------------------------------------------------------------------
MUTUAL FUND--99.8%
SEI S&P 500 Index Fund --
Class E 779,493 $ 35,202
--------
Total Mutual Fund
(Cost $31,488) 35,202
--------
Total Investments--99.8%
(Cost $31,488) 35,202
--------
OTHER ASSETS AND LIABILITIES, NET--0.2% 68
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 532,853 outstanding shares
of beneficial interest 6,859
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 124,470 outstanding shares
of beneficial interest 1,527
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,862,764 outstanding shares
of beneficial interest 23,261
Accumulated net investment loss (196)
Accumulated net realized gain on investments 105
Net unrealized appreciation on investments 3,714
--------
Total Net Assets--100.0% $35,270
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.22
========
Net Asset Value and Redemption
Price Per Share -- Class A $14.06
========
Maximum Public Offering
Price Per Share -- Class A ($14.06 / 94.5%) $14.88
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $13.93
========
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY VALUE FUND
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS--99.9%
AEROSPACE/DEFENSE EQUIPMENT--1.7%
United Technologies 90,000 $ 5,299
--------
AUTOMOTIVE--1.4%
Ford Motor 100,000 4,300
--------
AUTOMOTIVE PARTS & EQUIPMENT--0.1%
Visteon* 13,093 159
--------
BANKS--5.6%
Bank of America 70,000 3,010
Bank of New York 150,000 6,975
Chase Manhattan 90,000 4,146
Wells Fargo 85,000 3,294
--------
17,425
--------
CHEMICALS--0.9%
E.I. Du Pont de Nemours 65,000 2,844
--------
COMMUNICATIONS EQUIPMENT--2.0%
Motorola 210,000 6,103
--------
COMPUTERS & SERVICES--10.2%
3Com* 85,000 4,898
Autodesk 20,000 694
Electronic Data Systems 55,000 2,269
Hewlett-Packard 80,000 9,990
International Business Machines 50,000 5,478
Microsoft* 100,000 8,000
--------
31,329
--------
COSMETICS & TOILETRIES--4.8%
Colgate-Palmolive 110,000 6,586
Kimberly-Clark 85,000 4,877
Procter & Gamble 60,000 3,435
--------
14,898
--------
DRUGS--10.9%
Bristol-Myers Squibb 100,000 5,825
Glaxo Wellcome ADR 95,000 5,492
Merck 100,000 7,662
Pfizer 180,000 8,640
SmithKline Beecham ADR 90,000 5,867
--------
33,486
--------
--------------------------------------------------------------------------------
32
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
ELECTRICAL & ELECTRONIC PRODUCTS--6.1%
Emerson Electric 70,000 $ 4,226
FPL Group 70,000 3,465
General Electric 210,000 11,130
--------
18,821
--------
ELECTRONIC COMPONENTS--0.9%
CTS 65,000 2,925
--------
FINANCIAL SERVICES--6.6%
American Express 135,000 7,037
Citigroup 125,000 7,531
Donaldson, Lufkin & Jenrette 20,000 849
JP Morgan 45,000 4,956
--------
20,373
--------
FOOD, BEVERAGE & TOBACCO--5.9%
Bestfoods 95,000 6,579
PepsiCo 110,000 4,888
Sara Lee 170,000 3,283
Unilever NV 80,000 3,440
--------
18,190
--------
GAS/NATURAL GAS--2.9%
Enron 140,000 9,030
--------
INSURANCE--2.7%
American International Group 70,000 8,225
--------
MACHINERY--1.0%
Ingersoll-Rand 80,000 3,220
--------
MANUFACTURING--1.6%
Minnesota Mining &
Manufacturing 60,000 4,950
--------
MEASURING DEVICES--0.6%
Agilent Technologies* 25,000 1,844
--------
MEDICAL PRODUCTS & SERVICES--1.8%
Johnson & Johnson 55,000 5,603
--------
MULTIMEDIA--6.2%
Gannett 80,000 4,785
Time Warner 120,000 9,120
Walt Disney 135,000 5,240
--------
19,145
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS--1.6%
Schlumberger Ltd. 65,000 $ 4,851
--------
PETROLEUM REFINING--6.6%
BP Amoco ADR 100,000 5,656
Exxon Mobil 115,000 9,027
Royal Dutch Petro ADR 90,000 5,541
--------
20,224
--------
RAILROADS--1.6%
Burlington Northern Santa Fe 120,000 2,752
Union Pacific 60,000 2,231
--------
4,983
--------
RETAIL--1.6%
Target 85,000 4,930
--------
SEMI-CONDUCTORS/INSTRUMENTS--4.5%
Intel 105,000 14,037
--------
TELEPHONES & TELECOMMUNICATION--10.1%
Alltel 85,000 5,265
BellSouth 140,000 5,967
Lucent Technologies 155,000 9,184
SBC Communications 140,000 6,055
Worldcom* 105,000 4,817
--------
31,288
--------
Total Common Stocks
(Cost $204,692) 308,482
--------
CASH EQUIVALENTS--0.1%
SEI Liquid Asset Trust --
Government Portfolio 175,259 175
SEI Liquid Asset Trust --
Treasury Portfolio 17,394 17
--------
Total Cash Equivalents
(Cost $192) 192
--------
Total Investments--100.0%
(Cost $204,884) 308,674
--------
OTHER ASSETS AND LIABILITIES, NET--0.0% (36)
--------
--------------------------------------------------------------------------------
33
<PAGE>
STATEMENT OF NET ASSETS
EQUITY VALUE FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 14,456,599 outstanding shares
of beneficial interest $146,094
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 995,896 outstanding shares
of beneficial interest 11,563
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 2,050,329 outstanding shares
of beneficial interest 31,618
Accumulated net realized gain
on investments 15,573
Net unrealized appreciation
on investments 103,790
--------
Total Net Assets--100.0% $308,638
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $17.66
========
Net Asset Value and Redemption
Price Per Share -- Class A $17.64
========
Maximum Public Offering
Price Per Share -- Class A ($17.64 / 94.5%) $18.67
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $17.42
========
*NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
LTD. -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY GROWTH FUND
--------------------------------------------------------------------------------
COMMON STOCKS--95.6%
BANKS--4.2%
Bank One 200,000 $ 5,312
Northern Trust 148,000 9,629
--------
14,941
--------
BROADCASTING, NEWSPAPERS & ADVERTISING--1.8%
Interpublic Group 2,000 86
Omnicom Group 70,000 6,234
--------
6,320
--------
CIRCUIT BOARDS--1.3%
Sanmina* 55,000 4,703
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--9.8%
Network Appliance* 102,000 $ 8,211
Nokia ADR 300,000 14,981
Nortel Networks 58,000 3,958
Qualcomm* 1,000 60
Tellabs* 105,000 7,186
--------
34,396
--------
COMPUTERS & SERVICES--14.5%
Cisco Systems* 230,000 14,619
EMC-Mass* 270,000 20,773
Microsoft* 28,000 2,240
Oracle* 25,000 2,102
Sun Microsystems* 69,500 6,320
Veritas Software* 46,000 5,199
--------
51,253
--------
COSMETICS & TOILETRIES--0.0%
Estee Lauder, Cl A 1,000 49
--------
DRUGS--6.9%
Bristol-Myers Squibb 1,000 58
Elan ADR* 65,000 3,148
Merck 80,000 6,130
Pfizer 212,500 10,200
Pharmacia 90,000 4,652
Schering Plough 800 40
--------
24,228
--------
ELECTRICAL & ELECTRONIC PRODUCTS--3.9%
General Electric 261,000 13,833
Solectron* 1,000 42
--------
13,875
--------
FINANCIAL SERVICES--4.3%
Citigroup 100,000 6,025
Freddie Mac 22,000 891
Morgan Stanley Dean Witter 100,000 8,325
--------
15,241
--------
GAS/NATURAL GAS--3.9%
Enron 215,000 13,867
--------
INSURANCE--3.6%
American International Group 108,937 12,800
--------
INTERNET--3.2%
America Online* 120,000 6,330
Yahoo!* 40,000 4,955
--------
11,285
--------
--------------------------------------------------------------------------------
34
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES--3.0%
Amgen* 60,000 $ 4,215
Guidant* 15,000 742
Johnson & Johnson 55,000 5,603
--------
10,560
--------
MISCELLANEOUS BUSINESS SERVICES--2.4%
Automatic Data Processing 160,000 8,570
--------
MISCELLANEOUS MANUFACTURING--2.4%
Tyco International Ltd. 175,000 8,291
--------
MOTORCYCLE--1.2%
Harley-Davidson 110,000 4,235
--------
RETAIL--9.7%
Bed Bath & Beyond* 158,000 5,728
Best Buy* 88,000 5,566
Dollar Tree Stores* 142,500 5,638
Gap 10,000 313
Home Depot 166,200 8,300
Kohl's* 80,000 4,450
Staples* 265,000 4,074
--------
34,069
--------
SEMI-CONDUCTORS/INSTRUMENTS--17.6%
Applied Materials* 148,000 13,413
Intel 78,000 10,428
JDS Uniphase* 64,400 7,720
Texas Instruments 202,000 13,875
Xilinx* 200,000 16,513
--------
61,949
--------
TELEPHONES & TELECOMMUNICATION--1.9%
Alltel 50,000 3,097
Lucent Technologies 15,000 889
Sprint (FON Group) 1,000 51
Worldcom* 61,500 2,821
--------
6,858
--------
Total Common Stocks
(Cost $208,833) 337,490
--------
CASH EQUIVALENT--2.5%
Aim Short-Term Prime
Obligation 8,730,585 8,731
--------
Total Cash Equivalent
(Cost $8,731) 8,731
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
OPTIONS--1.0%
Johnson & Johnson Call Long* 350 $ 1,339
Microsoft Call Long* 800 1,840
Staples Call Long* 1,700 457
--------
Total Options
(Cost $2,901) 3,636
--------
Total Investments--99.1%
(Cost $220,465) 349,857
--------
OTHER ASSETS AND LIABILITIES, NET--0.9% 3,112
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 20,480,769 outstanding shares
of beneficial interest 174,709
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 553,244 outstanding shares
of beneficial interest 6,598
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 3,025,853 outstanding shares
of beneficial interest 39,034
Distributions in excess of net
investment income (702)
Accumulated net realized gain on investments 3,938
Net unrealized appreciation on investments 129,392
--------
Total Net Assets--100.0% $352,969
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.75
========
Net Asset Value and Redemption
Price Per Share -- Class A $14.53
========
Maximum Public Offering
Price Per Share -- Class A ($14.53 / 94.5%) $15.38
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $14.18
========
* NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
(A) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON DECEMBER 31, 1999.
ADR -- AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
35
<PAGE>
STATEMENT OF NET ASSETS
MID CAP FUND
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS--95.9%
APPAREL/TEXTILES--0.8%
Cintas 2,300 $ 84
--------
BANKS--3.2%
Charter One Financial 4,000 92
Compass Bancshares 3,500 60
Marshall & Ilsley 4,000 166
--------
318
--------
BROADCASTING, NEWSPAPERS & ADVERTISING--3.3%
Hispanic Broadcasting* 2,000 66
Univision Communications, Cl A* 2,000 207
Young & Rubicam* 1,000 57
--------
330
--------
CIRCUIT BOARDS--4.8%
Jabil Circuit * 3,000 149
Sanmina* 3,900 333
--------
482
--------
COMMUNICATIONS EQUIPMENT--6.8%
ADC Telecommunications* 7,200 604
Harmonic* 3,093 77
--------
681
--------
COMPUTERS & SERVICES--5.7%
Compuware* 4,000 41
Siebel Systems* 1,700 278
Veritas Software* 2,250 254
--------
573
--------
DRUGS--1.0%
Forest Laboratories* 1,000 101
--------
ELECTRICAL SERVICES--1.2%
Calpine* 1,800 118
--------
ELECTRONIC COMPONENTS--6.8%
American Power Conversion* 14,250 582
Teradyne* 1,300 96
--------
678
--------
FINANCIAL SERVICES--0.5%
E*trade* 3,000 49
--------
FOOD, BEVERAGE & TOBACCO--3.8%
Hormel Foods 8,000 134
Suiza Foods* 5,000 244
--------
378
--------
INSURANCE--0.5%
AMBAC Financial Group 1,000 55
--------
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MACHINERY--0.6%
Grant Prideco* 2,500 $ 63
--------
MEDICAL PRODUCTS & SERVICES--4.7%
Biomet 5,320 204
Stryker 6,000 263
--------
467
--------
MISCELLANEOUS BUSINESS SERVICES--6.4%
Comdisco 11,875 265
Convergys* 4,000 208
Fiserv* 4,000 173
--------
646
--------
MISCELLANEOUS CONSUMER SERVICES--2.3%
Robert Half International* 8,000 228
--------
MOTORCYCLE--2.3%
Harley-Davidson 6,000 231
--------
PETROLEUM & FUEL PRODUCTS--3.2%
BJ Services* 2,500 156
Ensco International 4,500 161
--------
317
--------
PRINTING & PUBLISHING--1.4%
Scholastic* 2,300 141
--------
REGISTERED INVESTMENT COMPANY--2.2%
S&P 400 Mid-Cap
Depository Receipts 2,500 222
--------
RETAIL--6.1%
BJ's Wholesale Club* 4,300 142
Dollar Tree Stores* 3,000 119
Starbucks* 4,000 153
Tiffany & Company 3,000 202
--------
616
--------
RUBBER & PLASTIC--1.0%
Weatherford International* 2,500 100
--------
SCHOOLS--2.3%
Apollo Group, Cl A* 4,500 126
Devry* 4,000 106
--------
232
--------
SEMI-CONDUCTORS/INSTRUMENTS--15.0%
Altera* 3,000 306
Analog Devices* 5,900 448
Atmel* 2,500 92
C-Cube Microsystems* 5,700 112
--------------------------------------------------------------------------------
36
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Maxim Integrated Products* 2,500 $ 170
Vitesse Semiconductor* 2,000 147
Xilinx* 2,800 231
--------
1,506
--------
SPECIALTY MACHINERY--0.8%
American Standard* 2,000 82
--------
TELEPHONES & TELECOMMUNICATION--1.6%
Broadwing 6,000 156
--------
TESTING LABORATORIES--7.6%
Chiron* 8,000 380
Medimmune* 4,200 311
Millennium Pharmaceuticals* 600 67
--------
758
--------
Total Common Stocks
(Cost $6,178) 9,612
--------
CASH EQUIVALENTS--4.1%
SEI Liquid Asset Trust --
Government Portfolio 395,171 395
SEI Liquid Asset Trust--
Treasury Portfolio 12,294 12
--------
Total Cash Equivalents
(Cost $407) 407
--------
Total Investments--100.0%
(Cost $6,585) 10,019
--------
OTHER ASSETS AND LIABILITIES, NET--0.0% 4
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 837,371 outstanding shares
of beneficial interest 6,786
Accumulated net investment loss (18)
Accumulated net realized loss
on investments (179)
Net unrealized appreciation
on investments 3,434
--------
Total Net Assets--100.0% $10,023
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $11.97
========
* NON-INCOME PRODUCING SECURITY
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
CL -- CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL EQUITY FUND
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
FOREIGN COMMON STOCKS--95.0%
AUSTRALIA--3.1%
Computershare Ltd. 30,500 $ 156
Macquarie Bank Ltd. 15,700 244
PowerLan Ltd.* 196,600 205
Westfield Holdings Ltd. 59,300 406
Woodside Petroleum Ltd. 40,500 314
--------
1,325
--------
DENMARK--1.0%
Novo-Nordisk, Ser B 2,400 407
--------
FINLAND--2.6%
Nokia ADR 16,700 834
Perlos 8,900 280
--------
1,114
--------
FRANCE--10.0%
Altran Technologies 2,800 547
Atos* 3,300 308
Axa 3,500 550
Cap Gemini 984 173
Carrefour Supermarche 4,800 327
CGIP 7,844 333
Dassault Systemes 3,200 298
L'OREAL* 350 302
Publicis 700 274
Sidel 2,300 186
Societe Generale, Cl A 3,000 180
STMicroelectronics 4,500 283
Total Fina Elf 3,849 589
--------
4,350
--------
GERMANY--2.6%
Allianz-Registered 1,450 525
Bayerische Motoren Werke 5,200 156
Muenchener Rueckversicher--
Registered 1,450 459
--------
1,140
--------
HONG KONG--1.1%
Hutchison Whampoa 22,000 277
SmarTone Telecommunications
Holdings Ltd. 30,000 66
Sun Hung Kai Properties Ltd. 19,161 138
--------
481
--------
IRELAND--1.9%
Allied Irish Banks 12,000 107
Allied Irish Banks (GBP) 10,972 98
--------------------------------------------------------------------------------
37
<PAGE>
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND (CONTINUED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CRH 6,000 $ 108
Elan ADR* 10,800 523
--------
836
--------
ITALY--3.9%
ENI* 52,600 303
Parmalat Finanziaria* 152,900 215
Pininfarina* 11,000 185
Pirelli 165,000 433
Telecom Italia* 17,000 233
TIM* 29,000 295
--------
1,664
--------
JAPAN--20.6%
Asatsu-Dk 7,000 287
Benesse 4,000 277
Fuji Photo Film Ltd. 2,000 82
Fujitsu Ltd. 18,000 623
Fujitsu Support and Service 1,200 119
Hikari Tsushin 500 21
Hoya 4,000 359
Mikuni Coca-Cola Bottling 5,000 73
Murata Manufacturing Ltd. 4,000 574
Nichiei Ltd.* 4,500 74
Nintendo Ltd. 3,500 612
Nippon Television Network 600 391
NTT 3 40
NTT Docomo 22 596
Rohm Ltd. 3,000 878
Ryohin Keikaku Ltd. 2,500 318
Secom Ltd. 5,000 366
Seven-Eleven Japan 3,000 251
Shin-Etsu Chemical 10,000 508
Shohkoh Fund ltd. 1,600 361
Sony 4,000 374
Takeda Chemical Industries Ltd. 10,000 657
Tokyo Broadcasting System 12,000 519
Tokyo Electron Ltd. 3,000 411
Yasuda Fire & Marine Insurance 30,000 158
--------
8,929
--------
MALAYSIA--0.0%
YTL 6,000 8
--------
NETHERLANDS--6.8%
Aegon ADR 20,120 717
ASM Lithography Holdings* 11,500 493
Getronics 15,000 231
Heineken 8,000 486
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Philips Electronics 14,504 $ 682
Unilever 7,600 348
--------
2,957
--------
NORWAY--0.8%
Tomra Systems 13,200 349
--------
SINGAPORE--2.2%
Datacraft Asia Ltd.* 29,960 264
DBS Group Holdings Ltd. 17,000 218
Singapore Press Holdings 29,000 453
--------
935
--------
SPAIN--1.0%
Banco Santander Central Hispano 20,000 210
Telefonica* 11,000 236
--------
446
--------
SWEDEN--7.3%
Assa Abloy, Ser B 34,108 687
Investor, Ser B 12,600 173
Modern Times Group, Ser B* 5,700 273
Nordic Baltic Holding 75,100 568
Securitas, Ser B 15,400 328
Skandia Forsakrings 19,600 520
Telefonaktiebolaget LM
Ericsson, Cl B 31,000 616
--------
3,165
--------
SWITZERLAND--9.6%
Credit Suisse Group - Registered 4,500 894
Givaudan - Registered* 122 37
Nestle - Registered 261 522
Pharma Vision 2000 - Bearer* 200 134
PSP Swiss Property* 3,000 276
Rieter Holding 1,200 404
Roche Holding - Bearer 22 232
Roche Holding - Genusscheine 90 875
Swiss Re - Registered 240 489
Zurich Allied 625 309
--------
4,172
--------
UNITED KINGDOM--20.5%
3I Group 23,000 474
Abbey National 22,000 264
Amvescap 35,000 563
AstraZeneca 10,500 491
BP Amoco ADR 4,512 255
Capita Group 32,000 789
Compass Group 56,500 746
--------------------------------------------------------------------------------
38
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Dixons Group* 54,667 $ 223
Glaxo Wellcome 16,000 468
Hays 45,000 251
HSBC Holdings 36,700 420
Invensys 90,000 338
Lasmo 125,000 266
Logica 12,500 296
Misys 23,500 199
Nycomed Amersham 34,100 329
Provident Financial 10,000 105
Prudential 32,000 470
Royal Bank of Scotland Group 20,000 335
Vodafone AirTouch 185,392 751
WPP Group 57,000 834
--------
8,867
--------
Total Foreign Common Stocks
(Cost $36,405) 41,145
--------
FOREIGN PREFERRED STOCKS--1.3%
BRAZIL--0.0%
CIA Vale do Rio Doce* 2,000 --
--------
GERMANY--1.3%
Prosieben Media 2,100 262
SAP* 1,650 304
--------
566
--------
Total Foreign Preferred Stocks
(Cost $568) 566
--------
Foreign Warrants--0.0%
Credit Suisse Group,
expires 09/15/00* 15,000 10
Siam Commercial Warrants,
expires 06/22/04* 300 --
--------
Total Foreign Warrants
(Cost $10) 10
--------
CASH EQUIVALENT--5.2%
UBOC Money Market
Demand Deposit 2,270,903 2,271
--------
Total Cash Equivalent
(Cost $2,271) 2,271
--------
--------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
Total Investments--101.5%
(Cost $39,254) $ 43,992
--------
OTHER ASSETS AND LIABILITIES, NET--(1.5%) (665)
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 2,699,035 outstanding shares
of beneficial interest 32,539
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 65,220 outstanding shares
of beneficial interest 729
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 258,092 outstanding shares
of beneficial interest 3,662
Undistributed net investment income 113
Accumulated net realized gain on
foreign currency transactions 1
Acculumated net realized gain on investments 1,859
Net unrealized depreciation on foreign currency
and translation of other assets and liabilities
in foreign currency investments (314)
Net unrealized appreciation on investments 4,738
--------
Total Net Assets--100.0% $43,327
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.37
========
Net Asset Value and Redemption
Price Per Share -- Class A $14.27
========
Maximum Public Offering
Price Per Share -- Class A ($14.27 / 94.5%) $15.10
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $13.97
========
* NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
GBP -- TRADED IN GREAT BRITISH POUNDS
LTD. -- LIMITED
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
39
<PAGE>
THIS PAGE LEFT INTENTIONALLY BLANK.
--------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (000) [LOGO OMITTED]
------------------------------------------------------------------------------------------------------------------------------------
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 JUNE 30, 2000 (UNAUDITED)
------------------------------------------------------------------------------------------
U.S. TREASURY PRIME U.S. TREASURY INSTITUTIONAL
SECURITIES TAX-EXEMPT OBLIGATION SECURITIES SELECT
MONEY MONEY MONEY PLUS MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
FUND FUND FUND FUND FUND
------------------------------------------------------------------------------------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Interest income $ 24,859 $ 4,095 $29,922 $ 1,712 $11,646
---------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fee 1,493 351 1,712 44 190
Less: investment advisory fee waived -- -- -- (23) --
Administration fee 851 200 974 103 190
Custody fee 107 25 122 7 48
Transfer agency fee 12 10 46 7 11
Professional fees 46 8 79 3 32
Registration fees 32 (10) 39 3 21
Distribution fees (1) 163 52 644 9 --
Less: Distribution fees waived -- -- (264) -- --
Printing expense 99 9 95 8 33
Insurance and other expenses 63 2 22 2 13
---------------------------------------------------------------------------------------
Total expenses, net 2,866 647 3,469 163 538
---------------------------------------------------------------------------------------
NET INVESTMENT INCOME 21,993 3,448 26,453 1,549 11,108
---------------------------------------------------------------------------------------
Net realized loss on investments (1) (1) -- -- --
---------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 21,992 $ 3,447 $26,453 $ 1,549 $11,108
=======================================================================================
<FN>
(1) DISTRIBUTION FEES ARE INCURRED AT THE CLASS A, CLASS B AND CLASS S LEVELS, AND
FOR THE U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND.
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.
--------------------------------------------------------------------------------
41
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (000)
------------------------------------------------------------------------------------------------------------------------------------
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000
------------------------------------------------------------------------------------------
INTERMEDIATE-
TERM PENNSYLVANIA NEW JERSEY HIGH
GOVERNMENT FIXED MUNICIPAL MUNICIPAL YIELD
SECURITIES INCOME SECURITIES SECURITIES BOND
FUND FUND FUND FUND FUND
------------------------------------------------------------------------------------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividend income $ -- $ -- $ -- $ -- $ 441
Interest income 649 6,321 819 2,798 --
Less: Foreign taxes withheld -- -- -- -- --
------------------------------------------------------------------------------------------
Total income 649 6,321 819 2,798 441
------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fee 62 581 90 314 27
Less: investment advisory fee waived (16) (90) (19) (44) --
Administration fee 21 193 30 104 9
Less: Administration fee waiver -- -- -- -- (9)
Custody fee 3 24 4 13 1
Transfer agency fee 12 27 11 17 27
Professional fees -- 12 1 3 --
Registration fees -- 7 2 2 (1)
Distribution fees (1) 1 37 -- 13 26
Printing expense -- 10 -- 2 1
Amortization of deferred
organizational costs -- -- -- -- --
Insurance and other expenses 1 10 2 8 1
------------------------------------------------------------------------------------------
Total expenses, net 84 811 121 432 82
------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 565 5,510 698 2,366 359
Net realized gain (loss)
on investments (396) (1,419) (1,155) (384) (154)
Net realized loss on foreign currency
transactions and foreign
currency contracts -- -- -- -- --
Net change in unrealized depreciation
on foreign currency and translation
of other assets and liabilities
denominated in foreign currency -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments 428 1,872 1,845 1,316 (479)
------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 597 $5,963 $1,388 $3,298 $(274)
==========================================================================================
<FN>
(1) ALL DISTRIBUTION FEES ARE INCURRED AT THE CLASS A AND CLASS B LEVELS.
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.
--------------------------------------------------------------------------------
42
<PAGE>
<TABLE>
<CAPTION>
[logo omitted]
------------------------------------------------------------------------------------------------------------------------------------
JUNE 30, 2000 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------------------
EQUITY EQUITY EQUITY EQUITY INTERNATIONAL
BALANCED INCOME INDEX VALUE GROWTH MID CAP EQUITY
FUND FUND FUND FUND FUND FUND FUND
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$223 $ 1,143 $ 76 $ 2,118 $ 741 $ 11 $ 266
672 180 -- 101 430 10 89
(1) (6) -- (38) (12) -- (16)
-------------------------------------------------------------------------------------------------------------------------------
894 1,317 76 2,181 1,159 21 339
-------------------------------------------------------------------------------------------------------------------------------
274 406 124 1,172 1,253 36 201
(71) (73) (49) (105) (79) (12) (38)
73 108 33 311 333 10 40
-- -- (33) -- -- -- --
9 14 4 39 42 1 32
65 65 58 86 61 1 53
5 6 (13) 23 31 -- 2
5 4 2 17 12 3 (1)
193 105 121 195 176 -- 9
2 8 3 18 21 (1) 7
-- -- -- -- 11 -- 1
3 4 4 2 (14) 1 4
-------------------------------------------------------------------------------------------------------------------------------
558 647 254 1,758 1,847 39 310
-------------------------------------------------------------------------------------------------------------------------------
336 670 (178) 423 (688) (18) 29
772 1,546 (56) 12,976 33,570 58 1,491
-- -- -- -- -- -- (128)
-- -- -- -- -- -- (314)
(705) (4,992) (87) (17,341) (23,829) 832 (6,271)
-------------------------------------------------------------------------------------------------------------------------------
$403 $(2,776) $(321) $ (3,942) $ 9,053 $872 $(5,193)
====================================================================================================================================
</TABLE>
================================================================================
43
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN
NET ASSETS (000)
------------------------------------------------------------------------------------------------------------------------------------
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1999
---------------------------------------------------------------------------------------
MONEY MARKET FUNDS U.S. TREASURY TAX-EXEMPT
SECURITIES MONEY MARKET
MONEY MARKET FUND FUND
---------------------------------------------------------------------------------------
2000 1999 2000 1999
---------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
<S> <C> <C> <C> <C>
Net investment income $ 21,993 $ 37,636 $ 3,448 $ 4,319
Net realized loss on investments (1) (2) (1) --
---------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 21,992 37,634 3,447 4,319
---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (18,750) (34,078) (2,769) (3,755)
Class A (3,259) (3,844) (679) (565)
Class B -- -- -- --
Class S -- -- -- --
---------------------------------------------------------------------------------------
Total distributions (22,009) (37,922) (3,448) (4,320)
---------------------------------------------------------------------------------------
SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class I:
Shares issued 709,942 1,803,403 119,024 188,938
Shares issued in lieu of cash distributions 124 207 247 399
Shares redeemed (820,170) (1,767,995) (91,544) (197,493)
---------------------------------------------------------------------------------------
Net Class I share transactions (110,104) 35,615 27,727 (8,156)
---------------------------------------------------------------------------------------
Class A:
Shares issued 115,899 169,750 70,938 46,912
Shares issued in lieu of cash distributions 68 99 23 44
Shares redeemed (78,575) (119,657) (42,895) (37,792)
---------------------------------------------------------------------------------------
Net Class A share transactions 37,392 50,192 28,066 9,164
---------------------------------------------------------------------------------------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- -- --
---------------------------------------------------------------------------------------
Net Class B share transactions -- -- -- --
Class S:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- -- --
---------------------------------------------------------------------------------------
Net Class S share transactions -- -- -- --
---------------------------------------------------------------------------------------
Increase (decrease) in net assets from
share transactions (72,712) 85,807 55,793 1,008
---------------------------------------------------------------------------------------
Total increase (decrease) in net assets (72,729) 85,519 55,792 1,007
---------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 956,836 871,317 163,244 162,237
---------------------------------------------------------------------------------------
NET ASSETS:
End of period $ 884,107 $ 956,836 $219,036 $ 163,244
=======================================================================================
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
44
<PAGE>
<TABLE>
<CAPTION>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------------------
PRIME U.S. TREASURY INSTITUTIONAL
OBLIGATION SECURITIES PLUS SELECT MONEY
MONEY MARKET FUND MONEY MARKET FUND MARKET FUND
------------------------------------------------------------------------------------------------------------------------------------
2000 1999 2000 1999 2000 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 26,453 $ 38,121 $ 1,549 $ 2,686 $ 11,108 $ 12,342
-- (1) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
26,453 38,120 1,549 2,686 11,108 12,342
---------------------------------------------------------------------------------------------------------------------------------
(20,907) (31,765) (1,549) (2,686) (11,108) (12,343)
(83) (160) -- -- -- --
(27) (31) -- -- -- --
(5,436) (6,178) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
(26,453) (38,134) (1,549) (2,686) (11,108) (12,343)
---------------------------------------------------------------------------------------------------------------------------------
786,850 1,308,297 160,969 368,717 736,264 749,927
2,935 4,968 1,439 2,332 -- --
(775,730) (1,154,843) (167,633) (374,931) (691,958) (540,445)
---------------------------------------------------------------------------------------------------------------------------------
14,055 158,422 (5,225) (3,882) 44,306 209,482
---------------------------------------------------------------------------------------------------------------------------------
830 2,540 -- -- -- --
79 152 -- -- -- --
(1,360) (3,350) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
(451) (658) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
1,557 3,017 -- -- -- --
25 30 -- -- -- --
(2,197) (1,458) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
(615) 1,589 -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
193,854 217,851 -- -- -- --
-- -- -- -- -- --
(138,916) (131,060) -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
54,938 86,791 -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
67,927 246,144 (5,225) (3,882) 44,306 209,482
---------------------------------------------------------------------------------------------------------------------------------
67,927 246,130 (5,225) (3,882) 44,306 209,481
---------------------------------------------------------------------------------------------------------------------------------
950,264 704,134 59,340 63,222 339,572 130,091
---------------------------------------------------------------------------------------------------------------------------------
$1,018,191 $ 950,264 $ 54,115 $ 59,340 $ 383,878 $339,572
=================================================================================================================================
</TABLE>
--------------------------------------------------------------------------------
45
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN
NET ASSETS (000)
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1999
----------------------------
FIXED INCOME FUNDS INTERMEDIATE-
TERM GOVERNMENT
SECURITIES FUND
----------------------------
2000 1999
----------------------------
INVESTMENT ACTIVITIES:
<S> <C> <C>
Net investment income $ 565 $ 1,426
Net realized gain (loss) on investments (396) 96
Net change in unrealized appreciation (depreciation) on investments 428 (1,778)
----------------------------
Net increase (decrease) in net assets resulting from operations 597 (256)
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (542) (1,377)
Class A (23) (53)
Class B -- --
Realized capital gains:
Class I -- --
Class A -- --
Class B -- --
----------------------------
Total distributions (565) (1,430)
----------------------------
SHARE TRANSACTIONS:
Class I:
Proceeds from shares issued 1,501 2,746
Reinvestment of cash distributions 216 601
Cost of shares redeemed (4,317) (11,082)
----------------------------
Net Class I share transactions (2,600) (7,735)
Class A:
Proceeds from shares issued 29 154
Reinvestment of cash distributions 21 48
Cost of shares redeemed (133) (444)
----------------------------
Net Class A share transactions (83) (242)
Class B:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
----------------------------
Net Class B share transactions -- --
Increase (decrease) in net assets from share transactions (2,683) (7,977)
----------------------------
Total increase (decrease) in net assets (2,651) (9,663)
----------------------------
NET ASSETS:
Beginning of period 23,031 32,694
----------------------------
NET ASSETS:
End of period $ 20,380 $23,031
============================
SHARES ISSUED AND REDEEMED:
Class I shares:
Issued 154 272
Issued in lieu of cash distributions 22 60
Redeemed (444) (1,099)
----------------------------
Net Class I share transactions (268) (767)
----------------------------
Class A shares:
Issued 3 16
Issued in lieu of cash distributions 2 5
Redeemed (14) (44)
----------------------------
Net Class A share transactions (9) (23)
----------------------------
Class B shares:
Issued -- --
Issued in lieu of cash distributions -- --
Redeemed -- --
----------------------------
Net Class B share transactions -- --
----------------------------
Net increase (decrease) in shares (277) (790)
============================
The accompanying notes are an integral part of the financial statements.
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
--------------------------------------------------------------------------------
46
<PAGE>
<TABLE>
<CAPTION>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------------
FIXED PENNSYLVANIA NEW JERSEY HIGH YIELD
INCOME MUNICIPAL MUNICIPAL BOND
FUND SECURITIES FUND SECURITIES FUND FUND
------------------------------------------------------------------------------------------------------------------------------------
2000 1999 2000 1999 2000 1999 2000 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 5,510 $ 11,667 $ 698 $ 1,544 $ 2,366 $ 5,473 $ 359 $ 522
(1,419) (1,621) (1,155) (6) (384) 275 (154) (65)
1,872 (14,001) 1,845 (4,054) 1,316 (7,694) (479) (409)
---------------------------------------------------------------------------------------------------------------------------------
5,963 (3,955) 1,388 (2,516) 3,298 (1,946) (274) 48
---------------------------------------------------------------------------------------------------------------------------------
(5,270) (11,097) (691) (1,529) (2,150) (4,895) (157) (178)
(88) (212) (7) (15) (216) (579) (7) (15)
(154) (347) -- -- -- -- (194) (329)
-- -- -- (365) -- (252) -- (3)
-- -- -- (4) -- (29) -- (1)
-- -- -- -- -- -- -- (4)
(5,512) (11,656) (698) (1,913) (2,366) (5,755) (358) (530)
---------------------------------------------------------------------------------------------------------------------------------
12,502 33,717) 1,897 5,166 3,775 11,758 986 3,599
1,453 3,317 8 155 300 844 8 17
(22,281) (45,830) (6,657) (6,597) (11,752) (26,435) (524) (460)
---------------------------------------------------------------------------------------------------------------------------------
(8,326) (8,796) (4,752) (1,276) (7,677) (13,833) 470 3,156
---------------------------------------------------------------------------------------------------------------------------------
373 1,373 35 1 81 897 81 155
74 171 5 15 171 488 3 11
(1,250) (1,748) (9) (99) (2,473) (5,691) (136) (47)
---------------------------------------------------------------------------------------------------------------------------------
(803) (204) 31 (83) (2,221) (4,306) (52) 119
---------------------------------------------------------------------------------------------------------------------------------
335 4,655 -- -- -- -- 637 4,476
121 293 -- -- -- -- 110 207
(2,263) (3,543) -- -- -- -- (1,080) (1,089)
---------------------------------------------------------------------------------------------------------------------------------
(1,807) 1,405 -- -- -- -- (333) 3,594
(10,936) (7,595) (4,721) (1,359) (9,898) (18,139) 85 6,869
(10,485) (23,206) (4,031) (5,788) (8,966) (25,840) (547) 6,387
---------------------------------------------------------------------------------------------------------------------------------
202,377 225,583 32,303 38,091 110,682 136,522 9,268 2,881
---------------------------------------------------------------------------------------------------------------------------------
$191,892 $202,377 $28,272 $32,303 $101,716 $110,682 $ 8,721 $ 9,268
=================================================================================================================================
1,280 3,301 209 524 368 1,093 108 365
149 328 1 16 29 80 1 2
(2,282) (4,533) (737) (668) (1,145) (2,482) (58) (47)
---------------------------------------------------------------------------------------------------------------------------------
(853) (904) (527) (128) (748) (1,309) 51 320
---------------------------------------------------------------------------------------------------------------------------------
38 136 4 -- 8 84 9 15
8 17 -- 2 17 46 -- 1
(129) (174) (1) (10) (243) (536) (15) (5)
---------------------------------------------------------------------------------------------------------------------------------
(83) (21) 3 (8) (218) (406) (6) 11
---------------------------------------------------------------------------------------------------------------------------------
34 453 -- -- -- -- 70 453
12 29 -- -- -- -- 12 21
(231) (349) -- -- -- -- (118) (112)
---------------------------------------------------------------------------------------------------------------------------------
(185) 133 -- -- -- -- (36) 362
(1,121) (792) (524) (136) (966) (1,715) 9 693
=================================================================================================================================
</TABLE>
--------------------------------------------------------------------------------
47
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN
NET ASSETS (000)
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1999
----------------------------------------------------
BALANCED EQUITY INCOME
FUND FUND
EQUITY FUNDS ----------------------------------------------------
2000 1999 2000 1999
----------------------------------------------------
INVESTMENT ACTIVITIES:
<S> <C> <C> <C> <C>
Net investment income (loss) $ 336 $ 987 $ 670 $ 1,655
Net realized gain (loss) on investments 772 (423) 1,546 (99)
Net realized gain (loss) on foreign currency transactions
and foreign currency contracts -- -- -- --
Net change in unrealized appreciation (depreciation)
on foreign currency and translation of other assets
and liabilities denominated in foreign currency -- -- -- --
Net change in unrealized appreciation (depreciation) on investments (705) 5,651 (4,992) 5,717
----------------------------------------------------
Net increase in net assets resulting from operations 403 6,215 (2,776) 7,273
----------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (196) (548) (547) (1,022)
Class A (59) (167) (85) (161)
Class B (90) (270) (38) (36)
Realized capital gains:
Class I -- (41) -- (655)
Class A -- (14) -- (131)
Class B -- (44) -- (142)
----------------------------------------------------
Total distributions (345) (1,084) (670) (2,147)
----------------------------------------------------
SHARE TRANSACTIONS:
Class I:
Proceeds from shares issued 1,893 5,745 2,411 4,834
Reinvestment of cash distributions 141 454 128 880
Cost of shares redeemed (6,427) (7,263) (14,553) (18,577)
----------------------------------------------------
Net Class I share transactions (4,393) (1,064) (12,014) (12,863)
----------------------------------------------------
Class A:
Proceeds from shares issued 260 1,361 508 4,120
Reinvestment of cash distributions 58 178 83 287
Cost of shares redeemed (1,601) (2,841) (4,708) (5,463)
----------------------------------------------------
Net Class A share transactions (1,283) (1,302) (4,117) (1,056)
----------------------------------------------------
Class B:
Proceeds from shares issued 4,168 16,263 1,336 3,635
Reinvestment of cash distributions 89 308 37 177
Cost of shares redeemed (4,854) (4,305) (3,842) (4,287)
----------------------------------------------------
Net Class B share transactions (597) 12,266 (2,469) (475)
----------------------------------------------------
Increase (decrease) in net assets from
share transactions (6,273) 9,900 (18,600) (14,394)
----------------------------------------------------
Total increase (decrease) in net assets (6,215) 15,031 (22,046) (9,268)
----------------------------------------------------
NET ASSETS:
Beginning of period 78,689 63,658 122,413 131,681
----------------------------------------------------
NET ASSETS:
End of period $ 72,474 $78,689 $100,367 $122,413
====================================================
SHARES ISSUED AND REDEEMED:
Class I shares:
Issued 129 400 169 331
Issued in lieu of cash distributions 9 32 9 61
Redeemed (436) (506) (1,029) (1,269)
----------------------------------------------------
Net Class I share transactions (298) (74) (851) (877)
----------------------------------------------------
Class A shares:
Issued 17 95 35 279
Issued in lieu of cash distributions 4 12 6 20
Redeemed (108) (199) (335) (373)
----------------------------------------------------
Net Class A share transactions (87) (92) (294) (74)
----------------------------------------------------
Class B shares:
Issued 282 1,148 94 252
Issued in lieu of cash distributions 6 22 3 12
Redeemed (329) (301) (275) (295)
----------------------------------------------------
Net Class B share transactions (41) 869 (178) (31)
----------------------------------------------------
Net increase (decrease) in shares (426) 703 (1,323) (982)
====================================================
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
48
<PAGE>
<TABLE>
<CAPTION>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX EQUITY VALUE EQUITY GROWTH MID CAP INTERNATIONAL EQUITY
FUND FUND FUND FUND FUND
------------------------------------------------------------------------------------------------------------------------------------
2000 1999 2000 1999 2000 1999 2000 1999 2000 1999
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ (178) $ (38) $ 423 $ 1,095 $ (688) $ (895) $ (18) $ (44) $ 29 $ 83
(56) 163 12,976 6,044 33,570 30,254 58 (21) 1,491 1,014
-- -- -- -- -- -- -- -- (128) 129
-- -- -- -- -- -- -- -- (314) (2)
(87) 3,390 (17,341) 32,840 (23,829) 75,515 832 344 (6,271) 8,841
-----------------------------------------------------------------------------------------------------------------------------------
(321) 3,515 (3,942) 39,979 9,053 104,874 872 279 (5,193) 10,065
-----------------------------------------------------------------------------------------------------------------------------------
-- -- (413) (1,055) -- -- -- -- -- --
-- -- (10) (39) -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- --
-- (10) -- (2,843) -- (45,856) -- (119) -- --
-- (3) -- (209) -- (824) -- -- -- --
-- (34) -- (355) -- (3,397) -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
-- (47) (423) (4,501) -- (50,077) -- (119) -- --
-----------------------------------------------------------------------------------------------------------------------------------
2,681 5,504 11,201 32,942 24,330 23,725 1,824 1,999 12,639 9,240
-- 10 196 3,310 -- 44,971 -- 115 -- --
(1,605) (378) (26,371) (35,286) (19,910) (30,380) (2,037) (3,939) (2,043) (4,754)
-----------------------------------------------------------------------------------------------------------------------------------
1,076 5,136 (14,974) 966 4,420 38,316 (213) (1,825) 10,596 4,486
-----------------------------------------------------------------------------------------------------------------------------------
702 1,087 1,133 2,711 3,254 2,032 -- -- 439 43
-- 3 10 245 -- 774 -- -- -- --
(447) (271) (3,317) (3,712) (767) (1,972) -- -- (104) (151)
-----------------------------------------------------------------------------------------------------------------------------------
255 819 (2,174) (756) 2,487 834 -- -- 335 (108)
-----------------------------------------------------------------------------------------------------------------------------------
5,886 16,956 5,584 15,154 21,094 13,014 -- -- 3,141 427
-- 34 -- 352 -- 3,374 -- -- -- --
(2,508) (1,919) (4,041) (3,378) (2,378) (1,712) -- -- (185) (37)
-----------------------------------------------------------------------------------------------------------------------------------
3,378 15,071 1,543 12,128 18,716 14,676 -- -- 2,956 390
-----------------------------------------------------------------------------------------------------------------------------------
4,709 21,026 (15,605) 12,338 25,623 53,826 (213) (1,825) 13,887 4,768
-----------------------------------------------------------------------------------------------------------------------------------
4,388 24,494 (19,970) 47,816 34,676 108,623 659 (1,665) 8,694 14,833
-----------------------------------------------------------------------------------------------------------------------------------
30,882 6,388 328,608 280,792 318,293 209,670 9,364 11,029 34,633 19,800
-----------------------------------------------------------------------------------------------------------------------------------
$ 35,270 $ 30,882 $308,638 $328,608 $352,969 $318,293 $ 10,023 $ 9,364 $43,327 $34,633
===================================================================================================================================
193 424 637 1,948 1,674 1,839 150 202 818 713
-- 1 11 192 -- 3,476 -- 11 -- --
(113) (30) (1,501) (2,082) (1,377) (2,349) (166) (391) (138) (377)
-----------------------------------------------------------------------------------------------------------------------------------
80 395 (853) 58 297 2,966 (16) (178) 680 336
-----------------------------------------------------------------------------------------------------------------------------------
50 87 64 162 226 158 -- -- 29 3
-- -- 1 14 -- 61 -- -- -- --
(32) (21) (190) (221) (53) (155) -- -- (7) (11)
-----------------------------------------------------------------------------------------------------------------------------------
18 66 (125) (45) 173 64 -- -- 22 (8)
-----------------------------------------------------------------------------------------------------------------------------------
427 1,330 322 907 1,503 1,027 -- -- 212 34
-- 3 -- 20 -- 268 -- -- -- --
(184) (149) (234) (200) (168) (135) -- -- (13) (3)
-----------------------------------------------------------------------------------------------------------------------------------
243 1,184 88 727 1,335 1,160 -- -- 199 31
-----------------------------------------------------------------------------------------------------------------------------------
341 1,645 (890) 740 1,805 4,190 (16) (178) 901 359
===================================================================================================================================
</TABLE>
--------------------------------------------------------------------------------
49
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
NET ASSET DISTRIBUTIONS
VALUE NET FROM NET NET ASSET NET ASSETS
BEGINNING INVESTMENT INVESTMENT VALUE END TOTAL END OF
OF PERIOD INCOME INCOME OF PERIOD RETURN(+) PERIOD (000)
----------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS I
2000* $1.00 $0.03 $(0.03) $1.00 2.61% $728,235
1999 1.00 0.04 (0.04) 1.00 4.33 838,350
1998 1.00 0.05 (0.05) 1.00 4.70 802,990
1997 1.00 0.04 (0.04) 1.00 4.55 487,196
1996 1.00 0.04 (0.04) 1.00 4.53 504,729
1995 1.00 0.05 (0.05) 1.00 5.05 463,531
CLASS A
2000* $1.00 $0.02 $(0.02) $1.00 2.49% $155,872
1999 1.00 0.04 (0.04) 1.00 4.07 118,486
1998 1.00 0.04 (0.04) 1.00 4.43 68,327
1997 1.00 0.04 (0.04) 1.00 4.28 12,492
1996 1.00 0.04 (0.04) 1.00 4.27 3,503
1995 1.00 0.05 (0.05) 1.00 4.80 3,532
----------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $1.00 $0.02 $(0.02) $1.00 1.74% $165,459
1999 1.00 0.03 (0.03) 1.00 2.70 137,733
1998 1.00 0.03 (0.03) 1.00 2.98 145,891
1997 1.00 0.03 (0.03) 1.00 3.10 75,097
1996 1.00 0.03 (0.03) 1.00 2.94 67,082
1995 1.00 0.03 (0.03) 1.00 3.42 63,628
CLASS A
2000* $1.00 $0.02 $(0.02) $1.00 1.61% $ 53,577
1999 1.00 0.02 (0.02) 1.00 2.45 25,511
1998 1.00 0.03 (0.03) 1.00 2.72 16,346
1997 1.00 0.03 (0.03) 1.00 2.84 8,509
1996 1.00 0.03 (0.03) 1.00 2.70 3,852
1995 1.00 0.03 (0.03) 1.00 3.17 5,238
----------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $1.00 $0.03 $(0.03) $1.00 2.76% $772,309
1999 1.00 0.05 (0.05) 1.00 4.65 758,255
1998 1.00 0.05 (0.05) 1.00 5.02 599,844
1997 1.00 0.05 (0.05) 1.00 5.02 400,689
1996 1.00 0.05 (0.05) 1.00 4.83 401,423
1995 1.00 0.05 (0.05) 1.00 5.40 259,667
CLASS A
2000* $1.00 $0.03 $(0.03) $1.00 2.63% $ 3,055
1999 1.00 0.04 (0.04) 1.00 4.39 3,507
1998 1.00 0.05 (0.05) 1.00 4.76 4,166
1997 1.00 0.05 (0.05) 1.00 4.75 17,514
1996 1.00 0.04 (0.04) 1.00 4.58 11,347
1995 1.00 0.05 (0.05) 1.00 5.14 6,925
CLASS B
2000* $1.00 $0.02 $(0.02) $1.00 2.25% $ 1,121
1999 1.00 0.04 (0.04) 1.00 3.61 1,735
1998 1.00 0.04 (0.04) 1.00 3.99 146
1997(1) 1.00 -- -- 1.00 5.48 10
CLASS S
2000* $1.00 $0.03 $(0.03) $1.00 2.58% $241,706
1999 1.00 0.04 (0.04) 1.00 4.28 186,767
1998 1.00 0.05 (0.05) 1.00 4.66 99,978
1997(2) 1.00 0.02 (0.02) 1.00 4.69 30,520
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO RATIO OF RATIO OF NET
OF NET EXPENSES INVESTMENT
RATIO OF INVESTMENT TO AVERAGE INCOME TO
EXPENSES INCOME NET ASSETS AVERAGE NET ASSETS
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS NET ASSETS WAIVERS) WAIVERS)
----------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C>
2000* 0.63% 5.19% 0.63% 5.19%
1999 0.64 4.21 0.64 4.21
1998 0.63 4.57 0.63 4.57
1997 0.65 4.45 0.66 4.44
1996 0.65 4.44 0.65 4.44
1995 0.65 4.92 0.65 4.92
CLASS A
2000* 0.88% 4.98% 0.88% 4.98%
1999 0.89 3.99 0.89 3.99
1998 0.88 4.28 0.88 4.28
1997 0.90 4.22 0.90 4.22
1996 0.90 4.19 0.90 4.19
1995 0.90 4.66 0.90 4.66
----------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.59% 3.48% 0.59% 3.48%
1999 0.62 2.66 0.65 2.63
1998 0.65 2.92 0.69 2.88
1997 0.65 3.05 0.67 3.03
1996 0.65 2.90 0.68 2.87
1995 0.65 3.37 0.72 3.30
CLASS A
2000* 0.84% 3.27% 0.84% 3.27%
1999 0.86 2.44 0.90 2.40
1998 0.90 2.69 0.94 2.65
1997 0.90 2.82 0.92 2.80
1996 0.90 2.65 0.93 2.62
1995 0.90 3.14 0.96 3.08
----------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.63% 5.48% 0.63% 5.48%
1999 0.65 4.56 0.65 4.56
1998 0.63 4.89 0.63 4.89
1997 0.65 4.90 0.66 4.89
1996 0.65 4.73 0.67 4.71
1995 0.65 5.26 0.66 5.25
CLASS A
2000* 0.88% 5.22% 0.88% 5.22%
1999 0.89 4.29 0.89 4.29
1998 0.88 4.70 0.88 4.70
1997 0.90 4.67 0.91 4.66
1996 0.90 4.48 0.92 4.46
1995 0.90 5.01 0.91 5.00
CLASS B
2000* 1.63% 4.47% 1.63% 4.47%
1999 1.63 3.79 1.63 3.79
1998 1.63 3.84 1.63 3.84
1997(1) 1.65 8.53 3.01 7.17
CLASS S
2000* 0.98% 5.15% 1.23% 4.90%
1999 1.00 4.25 1.25 4.00
1998 0.98 4.52 1.23 4.27
1997(2) 1.00 4.67 1.02 4.65
----------------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED AND
HAS NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON DECEMBER 30, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON AUGUST 18, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
50
<PAGE>
<TABLE>
<CAPTION>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
REALIZED AND
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSETS
VALUE NET GAINS OR FROM NET FROM NET ASSET END OF
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL VALUE END TOTAL PERIOD
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN(+) (000)
------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000* $ 1.00 $0.03 $ -- $(0.03) $ -- $ 1.00 2.64% $ 54,115
1999 1.00 0.04 -- (0.04) -- 1.00 4.41 59,340
1998 1.00 0.05 -- (0.05) -- 1.00 4.78 63,222
1997 1.00 0.05 -- (0.05) -- 1.00 4.89 68,658
1996 1.00 0.05 -- (0.05) -- 1.00 4.82 65,173
1995 1.00 0.05 -- (0.05) -- 1.00 5.40 64,697
------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SELECT MONEY MARKET FUND
------------------------------------------------------------------------------------------------------------------------------------
2000* $ 1.00 $0.03 $ -- $(0.03) $ -- $ 1.00 2.94% $383,878
1999 1.00 0.05 -- (0.05) -- 1.00 5.02 339,572
1998 1.00 0.05 -- (0.05) -- 1.00 5.35 130,091
1997(1) 1.00 0.03 -- (0.03) -- 1.00 5.38 61,522
------------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $ 9.76 $0.26 $ 0.02 $(0.26) $ -- $ 9.78 2.96% $ 19,516
1999 10.37 0.53 (0.61) (0.53) -- 9.76 (0.83) 22,086
1998 10.27 0.56 0.10 (0.56) -- 10.37 6.60 31,441
1997 10.16 0.58 0.11 (0.58) -- 10.27 6.96 31,739
1996 10.37 0.53 (0.21) (0.53) -- 10.16 3.26 24,679
1995 9.51 0.54 0.86 (0.54) -- 10.37 15.00 28,877
CLASS A
2000* $ 9.75 $0.25 $ 0.02 $(0.25) $ -- $ 9.77 2.83% $ 864
1999 10.37 0.50 (0.62) (0.50) -- 9.75 (1.18) 945
1998 10.26 0.54 0.11 (0.54) -- 10.37 6.47 1,253
1997 10.16 0.55 0.10 (0.55) -- 10.26 6.60 1,397
1996 10.37 0.52 (0.22) (0.51) -- 10.16 3.01 2,578
1995 9.51 0.51 0.86 (0.51) -- 10.37 14.71 3,665
------------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $ 9.81 $0.28 $ 0.03 $(0.28) $ -- $ 9.84 3.20% $183,024
1999 10.53 0.54 (0.72) (0.54) -- 9.81 (1.71) 190,905
1998 10.38 0.58 0.21 (0.58) (0.06) 10.53 7.80 214,456
1997 10.21 0.60 0.17 (0.60) -- 10.38 7.78 206,810
1996 10.49 0.57 (0.28) (0.57) -- 10.21 2.94 100,129
1995 9.44 0.59 1.05 (0.59) -- 10.49 17.76 113,509
CLASS A
2000* $ 9.79 $0.27 $ 0.04 $(0.27) $ -- $ 9.83 3.18% $ 2,994
1999 10.51 0.52 (0.72) (0.52) -- 9.79 (1.97) 3,794
1998 10.36 0.55 0.21 (0.55) (0.06) 10.51 7.54 4,292
1997 10.20 0.57 0.16 (0.57) -- 10.36 7.41 4,526
1996 10.48 0.55 (0.28) (0.55) -- 10.20 2.68 4,830
1995 9.44 0.56 1.04 (0.56) -- 10.48 17.36 5,844
CLASS B
2000* $ 9.84 $0.23 $ 0.02 $(0.23) $ -- $ 9.86 2.59% $ 5,874
1999 10.55 0.45 (0.72) (0.44) -- 9.84 (2.57) 7,678
1998 10.39 0.48 0.22 (0.48) (0.06) 10.55 6.84 6,835
1997(2) 10.11 0.31 0.28 (0.31) -- 10.39 9.41 1,268
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO OF RATIO OF NET
RATIO OF EXPENSES INVESTMENT
NET TO AVERAGE INCOME TO
RATIO OF INVESTMENT NET ASSETS AVERAGE NET ASSETS
EXPENSES INCOME (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
NET ASSETS NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
2000* 0.55% 5.25% 0.63% 5.17% n/a
1999 0.55 4.32 0.67 4.20 n/a
1998 0.55 4.69 0.70 4.54 n/a
1997 0.55 4.78 0.65 4.68 n/a
1996 0.55 4.72 0.65 4.62 n/a
1995 0.55 5.26 0.62 5.19 n/a
------------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SELECT MONEY MARKET FUND
------------------------------------------------------------------------------------------------------------------------------------
2000* 0.28% 5.83% 0.28% 5.83% n/a
1999 0.29 4.96 0.29 4.96 n/a
1998 0.30 5.22 0.32 5.20 n/a
1997(1) 0.30 5.32 0.35 5.27 n/a
------------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.80% 5.47% 0.95% 5.32% 7.69%
1999 0.80 5.20 0.97 5.03 49.64
1998 0.80 5.43 0.97 5.26 43.42
1997 0.80 5.69 0.94 5.55 57.82
1996 0.80 5.26 0.87 5.19 40.60
1995 0.80 5.33 1.05 5.08 68.29
CLASS A
2000* 1.05% 5.22% 1.20% 5.07% 7.69%
1999 1.05 4.95 1.14 4.86 49.64
1998 1.05 5.19 1.22 5.02 43.42
1997 1.05 5.40 1.19 5.26 57.82
1996 1.05 5.01 1.12 4.94 40.60
1995 1.05 5.08 1.30 4.83 68.29
------------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.80% 5.73% 0.91% 5.62% 27.66%
1999 0.80 5.35 0.91 5.24 34.42%
1998 0.80 5.54 0.91 5.43 58.30
1997 0.80 5.90 0.91 5.79 80.34
1996 0.80 5.60 0.92 5.48 40.56
1995 0.80 5.83 0.91 5.72 35.49
CLASS A
2000* 1.05% 5.47% 1.16% 5.36% 27.66%
1999 1.05 5.10 1.06 5.09 34.42
1998 1.05 5.31 1.16 5.20 58.30
1997 1.05 5.60 1.16 5.49 80.34
1996 1.05 5.35 1.17 5.23 40.56
1995 1.05 5.58 1.16 5.47 35.49
CLASS B
2000* 1.80% 4.72% 1.91% 4.61% 27.66%
1999 1.80 4.35 1.81 4.34 34.42
1998 1.80 4.44 1.91 4.33 58.30
1997(2) 1.80 5.02 1.86 4.96 80.34
------------------------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED
AND HAS NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON JULY 1, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON MAY 16, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
51
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
REALIZED AND
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSETS
VALUE NET GAINS OR FROM NET FROM NET ASSET END OF
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL VALUE END TOTAL PERIOD
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN(+) (000)
------------------------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA MUNICIPAL SECURITIES FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000* $ 9.03 $0.21 $ 0.23 $(0.21) $ -- $ 9.26 4.93% $ 27,930
1999 10.26 0.43 (1.13) (0.43) (0.10) 9.03 (7.05) 31,999
1998 10.41 0.44 0.05 (0.44) (0.20) 10.26 4.84 37,658
1997 10.17 0.45 0.26 (0.45) (0.02) 10.41 7.18 42,134
1996 10.23 0.44 (0.06) (0.44) -- 10.17 3.89 3,665
1995 9.55 0.40 0.68 (0.40) -- 10.23 11.53 3,345
CLASS A
2000* $ 9.00 $0.20 $ 0.23 $(0.20) $ -- $ 9.23 4.81% $ 342
1999 10.23 0.40 (1.13) (0.40) (0.10) 9.00 (7.32) 304
1998 10.38 0.42 0.05 (0.42) (0.20) 10.23 4.58 433
1997 10.17 0.43 0.23 (0.43) (0.02) 10.38 6.63 404
1996 10.22 0.42 (0.05) (0.42) -- 10.17 3.74 344
1995 9.55 0.38 0.67 (0.38) -- 10.22 11.15 269
------------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY MUNICIPAL SECURITIES FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $10.26 $0.23 $ 0.10 $(0.23) $ -- $10.36 3.27% $ 92,307
1999 10.92 0.47 (0.63) (0.47) (0.03) 10.26 (1.60) 99,133
1998 10.92 0.48 0.03 (0.48) (0.03) 10.92 4.79 119,816
1997 10.71 0.49 0.21 (0.49) -- 10.92 6.76 131,002
1996 10.79 0.44 (0.08) (0.44) -- 10.71 3.42 20,689
1995 9.93 0.47 0.86 (0.47) -- 10.79 13.57 28,080
CLASS A
2000* $10.22 $0.22 $ 0.10 $(0.22) $ -- $10.32 3.15% $ 9,409
1999 10.88 0.44 (0.63) (0.44) (0.03) 10.22 (1.87) 11,549
1998 10.89 0.44 0.03 (0.45) (0.03) 10.88 4.44 16,706
1997 10.70 0.49 0.17 (0.47) -- 10.89 6.31 18,651
1996 10.79 0.41 (0.09) (0.41) -- 10.70 3.08 20,247
1995 9.93 0.44 0.86 (0.44) -- 10.79 13.30 25,954
------------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $ 9.45 $0.39 $(0.64) $(0.39) $ -- $ 8.81 (2.70)% $ 3,701
1999 9.99 0.79 (0.54) (0.78) (0.01) 9.45 2.51 3,489
1998(1) 9.99 0.15 0.05 (0.18) (0.02) 9.99 1.99 493
CLASS A
2000* $ 9.44 $0.40 $(0.67) $(0.38) $ -- $ 8.79 (2.94)% $ 143
1999 9.98 0.79 (0.56) (0.76) (0.01) 9.44 2.27 207
1998(2) 10.00 0.17 0.01 (0.18) (0.02) 9.98 1.79 103
CLASS B
2000* $ 9.43 $0.35 $(0.65) $(0.34) $ -- $ 8.79 (3.20)% $ 4,877
1999 9.98 0.70 (0.55) (0.69) (0.01) 9.43 1.44 5,572
1998(2) 10.00 0.16 -- (0.16) (0.02) 9.98 1.63 2,285
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO OF RATIO OF NET
RATIO OF EXPENSES INVESTMENT
NET TO AVERAGE INCOME TO
RATIO OF INVESTMENT NET ASSETS AVERAGE NET ASSETS
EXPENSES INCOME (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
NET ASSETS NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
---------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA MUNICIPAL SECURITIES FUND
---------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C>
2000* 0.80% 4.64% 0.93% 4.51% 15.81%
1999 0.80 4.35 0.94 4.21 43.19
1998 0.80 4.28 0.96 4.12 56.48
1997 0.80 4.47 0.96 4.31 71.89
1996 0.69 4.42 1.49 3.62 25.88
1995 0.80 4.05 1.27 3.58 36.92
CLASS A
2000* 1.05% 4.40% 1.18% 4.27% 15.81%
1999 1.05 4.08 1.12 4.01 43.19
1998 1.05 4.03 1.21 3.87 56.48
1997 1.05 4.18 1.21 4.02 71.89
1996 0.94 4.19 1.74 3.39 25.88
1995 1.05 3.80 1.55 3.30 36.92
---------------------------------------------------------------------------------------------------------------------
NEW JERSEY MUNICIPAL SECURITIES FUND
---------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.80% 4.54% 0.89% 4.45% 1.78%
1999 0.80 4.37 0.91 4.26 9.00
1998 0.80 4.40 0.92 4.28 17.55
1997 0.80 4.68 0.94 4.54 22.85
1996 0.67 4.13 0.93 3.87 13.93
1995 0.41 4.43 0.93 3.91 2.83
CLASS A
2000* 1.05% 4.29% 1.14% 4.20% 1.78%
1999 1.05 4.11 1.06 4.10 9.00
1998 1.05 4.15 1.17 4.03 17.55
1997 1.05 4.35 1.19 4.21 22.85
1996 0.92 3.88 1.18 3.62 13.93
1995 0.66 4.18 1.18 3.66 2.83
----------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
----------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 1.24% 8.54% 1.44% 8.34% 15.12%**
1999 1.16 8.44 1.50 8.10 18.01
1998(1) 1.25 7.04 4.79 3.50 1.47
CLASS A
2000* 1.49% 8.27% 1.69% 8.07% 15.12%**
1999 1.41 8.17 1.85 7.73 18.01
1998(2) 1.50 7.00 5.04 3.46 1.47
CLASS B
2000* 2.24% 7.53% 2.44% 7.33% 15.12%**
1999 2.16 7.43 2.60 6.99 18.01
1998(2) 2.25 6.88 5.79 3.34 1.47
---------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
** THE PORTFOLIO TURNOVER RATE FOR THE MASTER FUND, THE SEI INSTITUTIONAL
MANAGED TRUST HIGH YIELD BOND PORTFOLIO, IS 20.12% FOR THE PERIOD ENDING JUNE
30, 2000.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED AND HAS
NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON SEPTEMBER 22, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON SEPTEMBER 10, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
The accompanying notes are an integral part of the financial statements.
</FN>
</TABLE>
--------------------------------------------------------------------------------
52
<PAGE>
<TABLE>
<CAPTION>
[LOGo OMITTED]
JUNE 30, 2000 (UNAUDITED)
REALIZED AND
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS
VALUE NET GAINS OR FROM NET FROM NET ASSET
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL VALUE END TOTAL
OF PERIOD INCOME (LOSS) SECURITIES INCOME GAINS OF PERIOD RETURN(+)
---------------------------------------------------------------------------------------------------------------------------------
BALANCED FUND
---------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C>
2000* $14.92 $ 0.12 $0.02 $(0.11) $ -- $14.95 0.93%
1999 13.91 0.26 1.03 (0.26) (0.02) 14.92 9.33
1998 12.00 0.26 1.95 (0.25) (0.05) 13.91 18.65
1997 11.39 0.32 1.88 (0.32) (1.27) 12.00 19.68
1996 12.05 0.48 1.16 (0.47) (1.83) 11.39 13.77
1995 9.91 0.44 2.27 (0.44) (0.13) 12.05 27.76
CLASS A
2000* $14.94 $ 0.09 $0.03 $(0.09) $ -- $14.97 0.80%
1999 13.93 0.23 1.02 (0.22) (0.02) 14.94 9.04
1998 12.02 0.23 1.95 (0.22) (0.05) 13.93 18.33
1997 11.40 0.26 1.92 (0.29) (1.27) 12.02 19.46
1996 12.07 0.43 1.17 (0.44) (1.83) 11.40 13.39
1995 9.92 0.42 2.28 (0.42) (0.13) 12.07 27.53
CLASS B
2000* $14.83 $ 0.03 $0.04 $(0.04) $ -- $14.86 0.45%
1999 13.84 0.12 1.01 (0.12) (0.02) 14.83 8.20
1998 11.97 0.15 1.92 (0.15) (0.05) 13.84 17.40
1997(1) 11.93 0.15 1.34 (0.18) (1.27) 11.97 19.45
---------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME FUND
---------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $14.51 $ 0.11 $(0.40) $(0.11) $ -- $14.11 (2.04)%
1999 13.98 0.21 0.59 (0.16) (0.11) 14.51 5.77
1998 13.19 0.27 1.19 (0.28) (0.39) 13.98 11.42
1997 13.32 0.32 2.95 (0.32) (3.08) 13.19 25.04
1996 13.07 0.33 2.35 (0.34) (2.09) 13.32 21.01
1995 10.26 0.31 3.29 (0.31) (0.48) 13.07 35.55
CLASS A
2000* $14.54 $ 0.09 $(0.40) $(0.09) $ -- $14.14 (2.17)%
1999 14.01 0.18 0.59 (0.13) (0.11) 14.54 5.50
1998 13.22 0.24 1.19 (0.25) (0.39) 14.01 11.12
1997 13.35 0.29 2.94 (0.28) (3.08) 13.22 24.68
1996 13.08 0.31 2.34 (0.29) (2.09) 13.35 20.70
1995 10.27 0.28 3.29 (0.28) (0.48) 13.08 35.21
CLASS B
2000* $14.46 $ 0.02 $(0.39) $(0.03) $ -- $14.06 (2.55)%
1999 13.94 0.07 0.59 (0.03) (0.11) 14.46 4.72
1998 13.17 0.17 1.15 (0.16) (0.39) 13.94 10.29
1997(1) 14.34 0.15 1.94 (0.18) (3.08) 13.17 22.87
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO OF RATIO OF NET
RATIO OF EXPENSES INVESTMENT
NET TO AVERAGE INCOME TO
NET ASSETS RATIO OF INVESTMENT NET ASSETS AVERAGE NET ASSETS
END OF EXPENSES INCOME (EXCLUDING (EXCLUDING PORTFOLIO
PERIOD TO AVERAGE TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
(000) NET ASSETS NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
------------------------------------------------------------------------------------------------------------------------
BALANCED FUND
------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C>
2000* $26,147 1.00% 1.44% 1.19% 1.25% 24.90%
1999 30,537 0.95 1.81 1.12 1.64 63.54
1998 29,495 0.80 2.06 1.18 1.68 43.77
1997 24,362 0.80 2.67 1.14 2.33 93.85
1996 19,243 0.80 3.68 1.11 3.37 43.80
1995 32,145 0.80 3.89 1.11 3.58 41.63
CLASS A
2000* $ 9,536 1.25% 1.19% 1.44% 1.00% 24.90%
1999 10,812 1.20 1.56 1.37 1.39 63.54
1998 11,352 1.05 1.81 1.43 1.43 43.77
1997 9,901 1.05 2.44 1.39 2.10 93.85
1996 9,095 1.05 3.43 1.36 3.12 43.80
1995 8,452 1.05 3.64 1.36 3.33 41.63
CLASS B
2000* $36,791 2.00% 0.45% 2.19% 0.26% 24.90%
1999 37,340 1.95 0.80 2.13 0.62 63.54
1998 22,811 1.80 1.02 2.18 0.64 43.77
1997(1) 4,447 1.80 1.23 2.28 0.75 93.85
------------------------------------------------------------------------------------------------------------------------
EQUITY INCOOME FUND
------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $71,112 1.00% 1.43% 1.14% 1.29% 6.27%
1999 85,479 0.94 1.46 1.09 1.31 19.24
1998 94,615 0.80 2.05 1.11 1.74 40.30
1997 131,968 0.80 2.34 1.09 2.05 76.67
1996 58,035 0.80 2.55 1.09 2.26 85.47
1995 44,202 0.80 2.61 1.10 2.31 42.97
CLASS A
2000* $13,125 1.25% 1.19% 1.39% 1.05% 6.27%
1999 17,772 1.19 1.21 1.34 1.06 19.24
1998 18,159 1.05 1.80 1.36 1.49 40.30
1997 16,686 1.05 2.05 1.34 1.76 76.67
1996 12,444 1.05 2.30 1.34 2.01 85.47
1995 9,612 1.05 2.36 1.35 2.06 42.97
CLASS B
2000* $16,130 2.00% 0.43% 2.14% 0.29% 6.27%
1999 19,162 1.94 0.46 2.09 0.31 19.24
1998 18,907 1.80 1.07 2.11 0.76 40.30
1997(1) 7,862 1.80 1.27 2.13 0.94 76.67
------------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED AND
HAS NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON MAY 8, 1997. ALL RATIOS INCLUDING TOTAL RETURN FO THIS PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
53
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
REALIZED AND
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSETS
VALUE NET GAINS OR FROM NET FROM NET ASSET END OF
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL VALUE END TOTAL PERIOD
OF PERIOD INCOME (LOSS) SECURITIES INCOME GAINS OF PERIOD RETURN(+) (000)
------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2000* $14.35 $(0.02) $(0.11) $ -- $ -- $14.22 (0.91)% $ 7,576
1999 12.01 0.05 2.32 -- (0.03) 14.35 19.73 6,497
1998(1) 10.00 0.03 2.01 (0.02) (0.01) 12.01 20.44 699
CLASS A
2000* $14.20 $(0.03) $(0.11) $ -- $ -- $14.06 (0.99)% $ 1,750
1999 11.93 0.04 2.26 -- (0.03) 14.20 19.27 1,511
1998(2) 9.92 0.02 2.02 (0.02) (0.01) 11.93 20.59 482
CLASS B
2000* $14.12 $(0.07) $(0.12) $ -- $ -- $13.93 (1.35)% $ 25,944
1999 11.94 (0.02) 2.23 -- (0.03) 14.12 18.50 22,874
1998(3) 9.96 0.02 1.99 (0.02) (0.01) 11.94 20.19 5,207
------------------------------------------------------------------------------------------------------------------------------------
EQUITY VALUE FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $17.89 $ 0.04 $(0.24) $(0.03) $ -- $17.66 (1.13)% $255,343
1999 15.91 0.08 2.16 (0.07) (0.19) 17.89 14.12 273,839
1998 12.89 0.14 3.37 (0.12) (0.37) 15.91 27.58 242,669
1997 13.35 0.18 3.20 (0.18) (3.66) 12.89 25.71 242,881
1996 12.81 0.22 2.54 (0.22) (2.00) 13.35 21.69 116,715
1995 10.19 0.25 3.46 (0.25) (0.84) 12.81 36.71 82,677
CLASS A
2000* $17.87 $ 0.01 $(0.23) $(0.01) $ -- $17.64 (1.23)% $ 17,570
1999 15.91 0.04 2.15 (0.04) (0.19) 17.87 13.77 20,025
1998 12.90 0.11 3.36 (0.09) (0.37) 15.91 27.18 18,546
1997 13.35 0.15 3.20 (0.14) (3.66) 12.90 25.51 13,923
1996 12.83 0.19 2.51 (0.18) (2.00) 13.35 21.15 10,000
1995 10.21 0.21 3.47 (0.22) (0.84) 12.83 36.35 7,644
CLASS B
2000* $17.71 $(0.05) $(0.24) $ -- $ -- $17.42 (1.64)% $ 35,725
1999 15.85 (0.07) 2.12 -- (0.19) 17.71 12.95 34,744
1998 12.87 0.03 3.33 (0.01) (0.37) 15.85 26.33 19,577
1997(4) 14.81 0.04 1.73 (0.05) (3.66) 12.87 19.17 5,072
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO OF RATIO OF NET
RATIO OF EXPENSES INVESTMENT
NET TO AVERAGE INCOME (LOSS) TO
RATIO OF INVESTMENT NET ASSETS AVERAGE NET ASSETS
EXPENSES INCOME (LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
NET ASSETS NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASSI
<S> <C> <C> <C> <C> <C>
2000* 0.80% (0.35)% 1.29% (0.84)% 4.85%**
1999 0.80 0.59 1.37 0.02 2.14
1998(1) 0.80 (0.70) 3.96 (3.86) 9.35
CLASS A
2000* 1.05% (0.60)% 1.54% (1.09)% 4.85%**
1999 1.05 0.29 1.65 (0.31) 2.14
1998(2) 1.05 (1.63) 4.21 (4.79) 9.35
CLASS B
2000* 1.80% (1.35)% 2.29% (1.84)% 4.85%**
1999 1.80 (0.43) 2.39 (1.02) 2.14
1998(3) 1.80 (1.51) 4.96 (4.67) 9.35
------------------------------------------------------------------------------------------------------------------------------------
EQUITY VALUE FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 1.00% 0.40% 1.07% 0.33% 13.42%
1999 0.94 0.46 1.06 0.34 18.58
1998 0.80 0.83 1.07 0.56 19.69
1997 0.80 1.26 1.06 1.00 80.24
1996 0.80 1.67 1.08 1.39 85.30
1995 0.80 2.08 1.07 1.81 61.88
CLASS A
2000* 1.25% 0.15% 1.32% 0.08% 13.42%
1999 1.19 0.22 1.31 0.10 18.58
1998 1.05 0.58 1.32 0.31 19.69
1997 1.05 0.98 1.31 0.72 80.24
1996 1.05 1.42 1.33 1.14 85.30
1995 1.05 1.83 1.32 1.56 61.88
CLASS B
2000* 2.00% (0.60)% 2.07% (0.67)% 13.42%
1999 1.95 (0.55) 2.06 (0.66) 18.58
1998 1.80 (0.18) 2.07 (0.45) 19.69
1997(4) 1.80 0.09 2.07 (0.18) 80.24
------------------------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
** THE PORTFOLIO TURNOVER RATE FOR THE MASTER FUND, THE SEI INDEX FUNDS S&P 500 INDEX PORTFOLIO, IS 4.11% FOR THE PERIOD
ENDING JUNE 30, 2000.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED AND HAS
NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON SEPTEMBER 3, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON SEPTEMBER 10, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) COMMENCED OPERATIONS ON SEPTEMBER 8, 1998. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) COMMENCED OPERATIONS ON MAY 12, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
54
<PAGE>
<TABLE>
<CAPTION>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
REALIZED AND
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSETS
VALUE NET GAINS OR FROM NET FROM NET ASSET END OF
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL VALUE END TOTAL PERIOD
OF PERIOD INCOME (LOSS) SECURITIES INCOME GAINS OF PERIOD RETURN(+) (000)
------------------------------------------------------------------------------------------------------------------------------------
EQUITY GROWTH FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASSI
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2000* $14.34 $ 0.02 $0.39 $ -- $ -- $14.75 2.86% $302,010
1999 11.61 (0.04) 5.37 -- (2.60) 14.34 49.62 289,471
1998 9.24 -- 2.83 -- (0.46) 11.61 31.81 199,975
1997(1) 10.00 0.01 1.22 (0.01) (1.98) 9.24 14.17 177,801
CLASS A
2000* $14.15 $ 0.02 $0.36 $ -- $ -- $14.53 2.69% $ 8,038
1999 11.52 (0.07) 5.30 -- (2.60) 14.15 49.12 5,376
1998 9.25 -- 2.73 -- (0.46) 11.52 30.69 3,634
1997(1) 10.00 (0.01) 1.24 -- (1.98) 9.25 14.13 432
CLASS B
2000* $13.86 $ 0.01 $0.31 $ -- $ -- $14.18 2.31% $ 42,921
1999 11.41 (0.10) 5.15 -- (2.60) 13.86 47.97 23,446
1998 9.18 (0.03) 2.72 -- (0.46) 11.41 30.47 6,061
1997(2) 10.41 (0.02) 0.77 -- (1.98) 9.18 13.01 357
------------------------------------------------------------------------------------------------------------------------------------
MID CAP FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $10.98 $ 0.03 $0.96 $ -- $ -- $11.97 9.02% $ 10,023
1999 10.70 (0.05) 0.47 -- (0.14) 10.98 4.03 9,364
1998 14.80 0.01 0.32 -- (4.43) 10.70 7.77 11,029
1997 13.33 0.04 2.65 (0.04) (1.18) 14.80 20.49 46,125
1996 12.55 0.09 1.59 (0.09) (0.81) 13.33 13.56 45,556
1995 10.83 0.15 1.95 (0.15) (0.23) 12.55 19.49 42,375
------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* $16.35 $(0.05) $(1.93) $ -- $ -- $14.37 (12.11)% $ 38,793
1999 11.24 0.11 5.00 -- -- 16.35 45.46 33,008
1998 10.34 (0.01) 0.93 (0.01) (0.01) 11.24 8.98 18,912
1997 11.23 0.08 (0.04) (0.08) (0.85) 10.34 0.25 14,143
1996 10.74 0.08 1.11 (0.08) (0.62) 11.23 11.17 14,822
1995(3) 10.00 0.03 0.75 (0.02) (0.02) 10.74 7.81 9,990
CLASS A
2000* $16.25 $(0.07) $(1.91) $ -- $ -- $14.27 (12.18)% $ 931
1999 11.20 0.08 4.97 -- -- 16.25 45.09 691
1998 10.33 0.01 0.88 (0.01) (0.01) 11.20 8.69 576
1997 11.22 0.05 (0.04) (0.05) (0.85) 10.33 0.00 665
1996 10.73 0.09 1.06 (0.04) (0.62) 11.22 10.88 788
1995(3) 10.00 0.01 0.75 (0.01) (0.02) 10.73 7.64 621
CLASS B
2000* $15.97 $ 0.02 $(2.02) $ -- $ -- $13.97 (12.52)% $ 3,603
1999 11.08 0.07 4.82 -- -- 15.97 44.13 934
1998 10.30 (0.06) 0.86 (0.01) (0.01) 11.08 7.84 312
1997(4) 11.45 (0.03) (0.23) (0.04) (0.85) 10.30 (2.39) 118
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Realized and
Ratio of Investment Net Assets Average Net Assets
Expenses Income (Loss) (Excluding (Excluding Portfolio
to Average to Average Waivers and Waivers and Turnover
Net Assets Net Assets Reimbursements) Reimbursements) Rate
------------------------------------------------------------------------------------------------------------------------------------
Equity Growth Fund
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C>
2000* 1.00% (0.31)% 1.05% (0.36)% 55.07%
1999 0.94 (0.31) 1.06 (0.43) 65.40
1998 0.80 (0.15) 1.06 (0.41) 88.28
1997(1) 0.80 0.07 1.07 (0.20) 114.51
CLASS A
2000* 1.25% (0.56)% 1.30% (0.61)% 55.07%
1999 1.19 (0.56) 1.31 (0.68) 65.40
1998 1.05 (0.41) 1.32 (0.68) 88.28
1997(1) 1.05 (0.28) 1.32 (0.55) 114.51
CLASS B
2000* 2.00% (1.31)% 2.05% (1.36)% 55.07%
1999 1.97 (1.32) 2.07 (1.42) 65.40
1998 1.80 (1.16) 2.08 (1.44) 88.28
1997(2) 1.80 (1.08) 2.09 (1.37) 114.51
------------------------------------------------------------------------------------------------------------------------------------
Mid Cap Fund
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 0.80% (0.37)% 1.04% (0.61)% 11.89%
1999 0.80 (0.48) 1.24 (0.92) 120.07
1998 0.80 (0.48) 1.21 (0.89) 32.88
1997 0.80 0.30 1.09 0.01 59.80
1996 0.80 0.66 1.10 0.36 41.41
1995 0.80 1.28 1.10 0.98 32.96
------------------------------------------------------------------------------------------------------------------------------------
International Equity Fund
------------------------------------------------------------------------------------------------------------------------------------
CLASS I
2000* 1.50% (0.46)% 1.69% (0.65)% 30.56%
1999 1.50 0.38 1.75 0.13 37.62
1998 1.50 0.41 1.72 0.19 115.79
1997 1.50 0.95 1.69 0.76 71.22
1996 1.50 0.85 1.73 0.62 67.03
1995(3) 1.50 0.79 2.11 0.18 14.32
CLASS A
2000* 1.75% (0.69)% 1.94% (0.88)% 30.56%
1999 1.75 0.07 2.00 (0.18) 37.62
1998 1.75 0.29 1.97 0.07 115.79
1997 1.75 0.70 1.95 0.50 71.22
1996 1.75 0.70 1.98 0.47 67.03
1995(3) 1.75 0.45 2.38 (0.18) 14.32
CLASS B
2000* 2.50% (1.37)% 2.79% 1.66% 30.56%
1999 2.50 (0.55) 2.77 (0.82) 37.62
1998 2.50 (0.62) 2.70 (0.82) 115.79
1997(4) 2.50 (0.60)% 2.70 (0.80)% 71.22
------------------------------------------------------------------------------------------------------------------------------------
<FN>
* FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED). ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES. RETURN IS FOR THE PERIOD INDICATED AND HAS NOT BEEN
ANNUALIZED.
(1) COMMENCED OPERATIONS ON FEBRUARY 3, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON MAY 21, 1997. ALL RATIOS INCLUDING TOTAL RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(3) COMMENCED OPERATIONS ON MAY 1, 1995. ALL RATIOS FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(4) COMMENCED OPERATIONS ON MAY 7, 1997. ALL RATIOS FOR THIS PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Pillar Funds (the "Trust") is registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as an open-end investment company with
seventeen funds: the U.S. Treasury Securities Money Market Fund, the Tax-Exempt
Money Market Fund, the Prime Obligation Money Market Fund, the U.S. Treasury
Securities Plus Money Market Fund, the Institutional Select Money Market Fund
(the "Money Market Funds"); the Intermediate-Term Government Securities Fund,
the Fixed Income Fund, the Pennsylvania Municipal Securities Fund, the New
Jersey Municipal Securities Fund, the High Yield Bond Fund (the "Fixed Income
Funds"); the Balanced Fund, the Equity Income Fund, the Equity Index Fund, the
Equity Value Fund, the Equity Growth Fund, the Mid Cap Fund, and the
International Equity Fund (the "Equity and Balanced Funds"). Each of the Funds
is "diversified" for purposes of the 1940 Act except for the New Jersey
Municipal Securities Fund and the Pennsylvania Municipal Securities Fund, each
of which is a non-diversified Fund. Shares of the U.S. Treasury Securities Plus
Money Market Fund are offered exclusively to customers of the Money Desk of
Summit Bank. The minimum investment for this Fund is $100,000. The high Yield
Bond Fund and the Equity Index Fund are currently "feeder" funds in separate
Master-Feeder structures. That is, the High Yield Bond Fund and the Equity Index
Fund each currently invest in another open-end management investment company
with the same investment objectives and hold as their only investment
securities, shares of a single "master" fund, in this case, the SEI
Institutional Managed Trust's High Yield Bond Portfolio and the SEI Index Funds'
S&P 500 Index Portfolio, respectively. However, in certain instances the Funds
are permitted to invest in securities other than a single open-end management
investment company. The financial statements included herein present information
relating to all of the Funds. The assets of each Fund are segregated and a
shareholder's interest is limited to the Fund in which shares are held. Each
Fund's prospectus provides a description of its investment objective, policies
and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Trust.
SECURITY VALUATION--The value of investment securities held by the Money
Market Funds are stated at amortized cost, which approximates market value.
Under this valuation method, purchase discounts and premiums are accreted and
amortized ratably to maturity and are included in interest income.
Investment in equity securities that are traded on a national securities
exchange (or reported on the NASDAQ national market system) are stated at the
last quoted sales price if readily available for such equity securities on each
business day; other equity securities traded in the over-the-counter market and
listed equity securities for which no sale was reported on that date are stated
at the last quoted bid price. Debt obligations exceeding sixty days to maturity
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 their amortized cost. Restricted securities for
which quotations are not readily available are valued at fair value using
methods determined in good faith under general trustee supervision.
The investments of the High Yield Bond and Equity Index Funds (the "Feeder
Funds") in the SEI Institutional Managed Trust's High Yield Bond Portfolio and
the SEI Index Funds' S&P 500 Index Portfolio (the "Master Funds"), respectively,
are valued at the net asset value per share of each Master Fund determined as of
the close of business on the New York Stock Exchange (generally 4:00pm EST).
FEDERAL INCOME TAXES--It is each Fund's intention to qualify as a regulated
investment company for Federal income tax purposes and to distribute all of its
taxable income and net capital gains. Accordingly, no provisions for Federal
income taxes are required.
The International Equity Fund may be subject to taxes imposed by countries
in which it invests with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on either income
earned or repatriated. The International Equity Fund accrues such taxes when the
related income is earned.
--------------------------------------------------------------------------------
56
<PAGE>
[logo omitted]
June 30, 2000 (Unaudited)
FOREIGN CURRENCY TRANSLATION--The books and records of the International
Equity Fund are maintained in U.S. dollars. Foreign currency amounts are
translated into U.S. dollars on the following basis:
o market value of investment securities, other assets and liabilities at the
current rate of exchange; and
o purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and
losses on equity investment securities that is due to changes in foreign
exchange rates from that which is due to changes in market prices of such
securities.
The International Equity Fund reports 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.
REPURCHASE AGREEMENTS--Securities pledged as collateral for Repurchase
Agreements are held by the custodian bank until the respective agreements
mature. Provisions of the Repurchase Agreements and procedures adopted by Summit
Bank Investment Management Division, a division of Summit Bank, (the "Advisor")
ensure that the market value of the collateral, including accrued interest
thereon, is sufficient in the event of default by the counterparty. If the
counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collateral
by the Fund may be delayed or limited.
SECURITY TRANSACTIONS AND INVESTMENT INCOME--Security transactions are
accounted for on the date the security is purchased or sold (trade date). Costs
used in determining realized gains and losses on the sale of investment
securities are those of the specific securities sold, adjusted for the accretion
and amortization of purchase discounts and premiums during the respective
holding periods. Interest income is recorded on the accrual basis; dividend
income is recorded on the ex-dividend date. Purchase discounts and premiums on
securities held by the Fixed Income Funds and the Balanced Fund are accreted and
amortized to maturity using the scientific interest method, which approximates
the effective interest method.
DISTRIBUTIONS TO SHAREHOLDERS--Distributions from net investment income for
the Money Market Funds and Fixed Income, Intermediate-Term Government
Securities, New Jersey Municipal Securities, and Pennsylvania Municipal
Securities Funds are declared daily and paid monthly. Distributions from net
investment income for the High Yield Bond Fund are declared and paid monthly.
The Equity Funds and the Balanced Fund declare and pay distributions from net
investment income quarterly, except for the International Equity Fund which
declares and pays distributions annually. Any net realized capital gains will be
distributed at least annually for all Funds.
EXPENSES--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds on the basis of relative net asset value. Class specific
expenses, such as the 12b-1 fees, are borne by that class. Income, other
expenses and realized and unrealized gains and losses of a Fund are allocated to
the respective classes on the basis of the relative net assets each day.
USE OF ESTIMATES--The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amount of assets and
liabilities, disclosure of contingent assets and liabilities at the date of the
financial statements, and reported amounts of revenues and expenses during the
reporting period. Actual amounts could differ from these estimates.
RECLASSIFICATION ON COMPONENTS OF NET ASSETS--The amounts of distributions
from net investment income and net realized capital gains are determined in
accordance with Federal income tax regulations, which may differ from those
amounts determined under generally accepted accounting principles. To the extent
these differences are permanent, adjustments are made to the appropriate equity
accounts in the period that the differences arise.
--------------------------------------------------------------------------------
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
3. ORGANIZATION COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares of the Funds are redeemed by any holder thereof during the period that
the Funds are amortizing their organizational costs, the redemption proceeds
payable to the holder thereof will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the number of initial shares outstanding at the time of redemption. These costs
included legal fees of approximately $60,521 for organizational work performed
by a law firm of which two officers of the Trust are partners.
Certain officers and/or Trustees of the Trust are also officers and/or
directors of SEI Investments Mutual Funds Services (the "Administrator"). Such
officers are paid no fees by the Trust for serving as officers of the Trust. The
Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim and committee meetings.
The Funds have entered into an agreement with SEI Investments Distribution
Co. (the "Distributor") to manage the investments of repurchase agreements for
the Funds. For its services the Distributor received $179,452 for the period
ended June 30, 2000.
4. ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust and the Administrator are parties to an administration agreement (the
"Agreement"), under which the Administrator provides the Trust with
administrative services. For all Funds except the Institutional Select Money
Market and U.S. Treasury Plus Money Funds, the Trust pays the Administrator a
fee, calculated daily and paid monthly, at the following annual rate based on
the aggregate average daily net assets of such Funds: 0.20% on the first $3.5
billion of aggregate net assets; 0.16% on the next $1.5 billion of aggregate net
assets; 0.14% on the next $1.5 billion of aggregate net assets; and 0.12% on the
aggregate net assets in excess of $6.5 billion. The Institutional Select Money
Market Fund pays the Administrator a fee at an annual rate based upon the
average net assets of the Fund as follows: 0.10%, on the first $3.5 billion of
aggregate net assets; and 0.08% on the next $1.5 billion of aggregate net
assets; 0.07% on the next $1.5 billion of aggregate net assets; and 0.06% on the
aggregate net assets in excess of $6.5 billion. The U.S. Treasury Plus Money
Market Fund pays the Administrator a fee at an annual rate of 0.35% of the
average daily net assets of the Fund. The Administrator has voluntarily agreed
to waive its fees in the High Yield Bond and Equity Index Funds.
The Trust has adopted a distribution plan for Class A shares (the "Class A
Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Class A Plan, the
Distributor is entitled to receive from the Trust an annual distribution fee of
0.25% of the Fund's Class A average daily net assets.
The Trust has also adopted a distribution plan for Class B shares (the
"Class B Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Class B
Plan, the Distributor is entitled to receive from the Trust an annual
distribution fee of 0.75% of the Fund's Class B average daily net assets.
Additionally, the Class B Plan provides that Class B shares are subject to a
service fee at an annual rate of 0.25% of the Fund's Class B average daily net
assets.
The Trust has also adopted a distribution plan for Class S shares (the
"Class S Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Class S
Plan, the Distributor is entitled to receive from the Trust an annual
distribution fee of 0.60% of the Fund's Class S average daily net assets. The
Distributor has agreed to voluntarily waive a portion of its distribution fees
from Class S shares in order to limit the operating expenses of the Funds.
The Distributor receives no fees for its distribution services for Class I
shares of any fund. The U.S. Treasury Securities Plus Money Market Fund pays a
distribution fee of 0.03% of average daily net assets.
--------------------------------------------------------------------------------
58
<PAGE>
[LOGO OMITTED]
JUNE 30, 2000 (UNAUDITED)
5. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS
The Trust and the Advisor are parties to an advisory agreement. Under the terms
of the agreement, the Advisor will receive a fee, that is calculated daily and
paid monthly, at an annual rate of 0.35% of the average daily net assets of the
U.S. Treasury Securities Money Market, Prime Obligation Money Market and
Tax-Exempt Money Market Funds, 0.15% of the average daily net assets of the U.S.
Treasury Securities Plus Money Market Fund, 0.10% of the average daily net
assets of the Institutional Select MoneyMarket Fund, 0.60% of the average daily
net assets of the Fixed Income Funds and 0.75% of the average daily net assets
of the Equity Funds (except the International Equity Fund) and the Balanced
Fund. The Trust and the Advisor are also parties to a second advisory agreement
relating only to the International Equity Fund. Under the terms of the
agreement, the Advisor receives a fee, which is calculated daily and paid
monthly, at an annual rate of 1.00% of the average daily net assets of the
International Equity Fund. The Advisor has voluntarily agreed to waive and
reimburse all or a portion of its fee in order to limit the operating expenses
of the Funds.
As of September 1, 1998, Vontobel USA Inc. began serving as the investment
sub-advisor to the International Equity Fund. Prior to that date, Wellington
Management Company LLP served as the investment sub-advisor to the Fund. The
sub-advisory fees are paid by the Advisor.
Summit Bank also acts as Custodian of securities for the Trust. The
Custodian plays no role in determining the investment policies of the Trust or
which securities are to be purchased or sold in the Funds. For its services, the
Custodian receives a fee, which is calculated daily and paid monthly, at an
annual rate of 0.025% of the average daily net assets of each domestic Fund and
an annual rate of 0.17% of the average daily net assets of the International
Equity Fund.
In addition to the fees paid at the feeder level for the High Yield Bond
and Equity Index Funds, each Feeder Fund's shareholders will bear indirectly
their prorata portion of the administrative, distribution, advisory and other
expenses of the respective Master Fund in which they invest.
6. Investment Transactions
The cost of security purchases and the proceeds from the sale of securities,
other than short term investments, for the period ended June 30, 2000 were
as follows:
New
INT.-TERM PA JERSEY
GOV'T. FIXED MUNI. MUNI HIGH YIELD BALANCED
SECURITIES INCOME SECURITIES SECURITIES BOND FUND
---------- ------- ---------- --------- ---------- --------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $ 500 $33,508 $ -- $ 1,810 $ -- $ 7,527
Other 997 12,201 4,499 -- 1,416 10,184
Sales
U.S. Gov't 5,447 44,369 -- -- -- 4,059
Other -- 13,706 10,338 12,101 1,359 19,820
EQUITY EQUITY EQUITY EQUITY MID INTERNATIONAL
INCOME INDEX VALUE GROWTH CAP EQUITY
------ ------- ------ -------- -------- --------------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $ -- $ -- $ -- $ -- $ -- $ --
Other 6,720 6,272 41,867 198,045 1,132 25,297
Sales
U.S. Gov't -- -- -- -- -- --
Other 19,594 1,603 53,895 176,708 1,475 11,413
At June 30, 2000, the total cost of securities and the net realized gains or
losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized gain or loss on securities at June 30, 2000, for each Fund
which had such a gain (loss) are as follows:
NEW
INT.-TERM PA JERSEY HIGH
GOV'T. FIXED MUNI. MUNI YIELD BALANCED
SECURITIES INCOME SECURITIES SECURITIES BOND FUND
---------- ------ ---------- ---------- ------ --------
(000) (000) (000) (000) (000) (000)
Aggregate gross
unrealized gain $ 1 $ 560 $84 $1,024 $ 1 $20,643
Aggregate gross
unrealized loss (592) (6,133) (1,445) (1,940) (893) (38,847)
------- ------- ------- ------ ------ --------
Net unrealized
gain/loss $ (591) $(5,573) $(1,361) $ (916) $ (892) $18,204
======== ======= ======= ====== ====== =======
EQUITY EQUITY EQUITY EQUITY MID INTERNATIONAL
INCOME INDEX VALUE GROWTH CAP EQUITY
-------- ------- ------ ------- ---- -----------
(000) (000) (000) (000) (000) (000)
Aggregate gross
unrealized gain $ 32,072 $ 3,720 $114,931 $137,458 $ 3,790 $ 7,295
Aggregate gross
unrealized loss $(60,074) (6) (11,141) (8,066) (356) (2,557)
-------- ------ -------- -------- ------- -------
Net unrealized
gain $ 28,002 $ 3,714 $103,790 $129,392 $ 3,434 $ 4,738
-------- ------- -------- -------- ------- -------
--------------------------------------------------------------------------------
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
7. CONCENTRATION OF CREDIT RISK
The Money Market Funds invest primarily in a portfolio of money market
instruments maturing in one year or less whose rating are within one of the two
highest rating categories assigned by a nationally recognized statistical rating
organization ("NRSRO") or, if not rated, are believed by the Advisor to be of
comparable quality. The ability of the issuers of the securities held by a Fund
to meet their obligations may be affected by economic developments in a specific
industry, state or region. The Fixed Income Funds invest in debt instruments and
the Balanced Fund invests in a combination of equity, fixed income and money
market securities.
The New Jersey Municipal Securities and the Pennsylvania Municipal
Securities Funds pursue their investment goals by investing substantially all of
their assets in municipal securities that generate income exempt from federal
and New Jersey and Pennsylvania state income taxes, respectively. These
securities include securities of municipal issuers located in New Jersey,
Pennsylvania, the District of Columbia, Puerto Rico and other U.S. territories
and possessions. The Funds intend to invest as much of their assets as possible
in securities that are not subject to federal taxes, but each may invest up to
20% of itstotal assets in taxable securities including those subject to
alternative minimum tax. The Funds' Advisor will purchase municipal securities
rated in one of the top three highest rating categories by a nationally
recognized rating organization and attempt to maintain an average weighted
portfolio maturity of less than 15 years. In selecting securities for the Funds,
the Advisor will consider each security's creditworthiness, yield relative to
comparable issuers and maturities, appreciation potential and liquidity. The
Advisor continually monitors the securities held by the Funds and may sell a
security to adjust the maturity of the Funds or if better investment
opportunities become available. Although the Funds maintain a portfolio
containing the securities of various issuers, the issuers' ability to meet
their obligations may be affected by economic developments in a specific state
or region. The following tables present a summary of Standard & Poor's or
Moody's ratings for the holdings in each of these portfolios:
U.S.
U.S. TREASURY
TREASURY TAX PRIME SECURITIES INSTITUTIONAL
SECURITIES EXEMPT OBLIGATION PLUS SELECT
MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
---------- ------ --------- ---------- ------------
U.S. Gov't. Securities 27.8% 2.4% 11.9% 40.7% 13.1%
Repurchase Agreements 72.2 -- 5.0% 59.3% 9.0%
Municipal Securities -- 78.2% -- -- --
Commercial Paper -- -- 80.7% -- 76.6%
Tax-Exempt Commercial
Paper -- 11.0% -- -- --
Other Short Term
Securities -- 8.4% 2.4% -- 1.3%
INT.-TERM PA NEW JERSEY
GOV'T. FIXED MUNI MUNI.
SECURITIES INCOME SECURITIES SECURITIES BALANCED
---------- ------ ---------- ----------- --------
U.S. Gov't. Securities 93.7% 55.0% 7.8% 0.5% 11.9%
AAA -- 12.2 41.5 62.2 1.4
AA -- 11.8 29.5 18.5 2.5
A -- 18.9 6.8 5.2 11.8
BBB -- -- -- 0.7 --
NR 6.3 2.1 14.4 12.9 0.7
Common Stock -- -- -- -- 71.7
8. OPTION TRANSACTIONS
The Equity Growth Fund transacted in call and put options during the period
ended June 30, 2000. These transactions, which were undertaken principally to
hedge against market risk, entail certain risks. These risks include: (1) the
success of a hedging strategy may depend on an ability to predict movements in
the prices of individual securities, fluctuations in markets and movements in
interest rates; (2) there may be an imperfect correlation between the movement
in prices of options and the securities underlying them; and (3) there may not
be a liquid secondary market for options. Gains and losses for the Equity Growth
Fund due to option activity for the period ended June 30, 2000 were as follows:
GAINS/(LOSSES)
--------------
Written Call Options $(1,149,374)
Call Options 391,730
9. EQUITY SWAP TRANSACTION
The Equity Growth Fund entered into an equity swap transaction in November of
1998. This equity swap transaction involved exchanging the returns from the
Equity Growth's basket of securities, inclusive of dividends, for the return of
the Standard and Poor's 500 Index ("S&P 500"); also inclusive of dividends. This
transaction was undertaken principally to allow the Equity
60
<PAGE>
[logo omitted]
JUNE 30, 2000 (UNAUDITED)
Growth Fund to lock in the superior performance relative to the S&P 500 for
1998. At the time the Equity Growth Fund entered into the swap transaction, its
total return was approximately four percentage points above that of the S&P 500,
the benchmark index for the Fund. Equity swap transactions entail certain risks,
including: (1) the success of a fund's strategy may depend on an ability to
predict movements in the prices of individual securities, fluctuations in
markets and movements in interest rates; and (2) there may be little correlation
between a fund's securities and the value of the S&P 500. The Equity Growth Fund
realized losses of $10,191,337 during the year ended December 31, 1998 and had
an unrealized loss of $17,248,556 as of December 31, 1998 related to the equity
swap transaction. On January 7, 1999 the equity swap was terminated and the
unrealized loss became a realized loss in the amount of $17,717,000. For income
tax purposes, the timing of the deduction for these losses is deferred to the
extent it exceeds the aggregate remaining unrealized appreciation of securities
held by the Fund at the time the equity swap transaction was executed.
10. FORWARD FOREIGN CURRENCY CONTRACTS
The International Equity Fund enters into forward foreign currency exchange
contracts as hedges against portfolio positions and in connection with portfolio
purchases and sales of securities denominated in a foreign currency. Such
contracts, which 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. Although such contracts tend to minimize the 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 International Equity Fund realized losses of $227,474
from forward foreign currency exchange contract activity for the period ended
June 30, 2000.
The following forward foreign currency contracts were outstanding on
June 30, 2000:
IN UNREALIZED/
CONTRACTS TO EXCHANGE APPRECIATION
DELIVER/RECEIVE FOR (DEPRECIATION)
MATURITY DATES (000) (000) (000)
------------------------ --------------- ---------- -------------
FOREIGN CURRENCY SALES:
8/02/00 CH 2,500 $ 1,460 $ (75)
7/27/00 EU 5,000 4,624 (144)
8/22/00 JP 220,000 2,047 (49)
8/22/00 UK 2,100 3,113 (78)
------- ------
$11,244 $ (346)
------- ------
FOREIGN CURRENCY PURCHASES:
8/02/00 CH 2,500 $1,497 $ 39
7/27/00 EU 5,000 4,669 99
8/22/00 JP 220,000 2,202 (106)
------- ------
$8,368 $ 32
------- ------
$ (314)
======
CURRENCY LEGEND
CH -- Swiss Francs
EU -- Euro
UK -- British Pounds Sterling
11. LINE OF CREDIT
Certain portfolios of The Pillar Funds entered into an agreement which enables
them to participate in a $435 million unsecured line of credit with Chase
Manhattan Bank and participating lenders. Borrowings will be made solely to
temporarily finance the repurchase of capital shares. In addition, a commitment
fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued
by each participating portfolio based on its average daily unused portion of the
line of credit. During the period ended June 30, 2000, The Pillar Funds had no
borrowings under the agreement.
12. STATEMENTS OF ASSETS AND LIABILITIES
AND SCHEDULES OF INVESTMENTS FOR SEI
INSTITUTIONAL MANAGED TRUST HIGH YIELD
BOND PORTFOLIO AND THE SEI INDEX FUNDS
S&P 500 INDEX PORTFOLIO (UNAUDITED)
The following unaudited statements of assets and liabilities and schedules of
investments as of June 30, 2000 are for the underlying master portfolios for the
High Yield Bond and Equity Index Funds. These statements are included since the
High Yield Bond and Equity Index Funds invest substantially all of their assets
in these portfolios.
--------------------------------------------------------------------------------
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--91.0%
AIR TRANSPORTATION--0.3%
Atlas Air
9.375%, 11/15/06 $ 1,250 $ 1,200
Canadian Airlines Yankee (C)
Canadian Airlines Yankee (C)
12.250%, 08/01/06 950 133
Canadian Airlines Yankee (C)
10.000%, 05/01/05 400 418
Kitty Hawk (C) H2
9.950%, 11/15/04 250 99
Pegasus Shipping Hellas (C)
11.875%, 11/15/04 600 204
Trans World Airlines
11.375%, 03/01/06 900 351
--------
2,405
--------
APPAREL/TEXTILES--0.7%
Hosiery of America
13.750%, 08/01/02 700 623
Phillips Van-Heusen (A)
9.500%, 05/01/08 1,000 910
St. John Knits International
12.500%, 07/01/09 3,000 2,857
Tropical Sportswear International
11.000%, 06/15/08 500 480
--------
4,870
--------
AUTOMOTIVE--1.3%
Aetna Industries
11.875%, 10/01/06 1,000 800
American Axle & Manufacturing
9.750%, 03/01/09 3,500 3,264
Breed Technologies (C)
9.250%, 04/15/08 1,000 6
Collins & Aikman (A)
11.500%, 04/15/06 1,600 1,540
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 780
Dura Operating, Ser B
9.000%, 05/01/09 750 652
Hayes Lemmerz International
8.250%, 12/15/08 600 507
Hayes Wheel International
11.000%, 07/15/06 500 491
8.125%, 07/15/07 600 537
Safety Components International (C)
11.000%, 07/15/07 500 100
Stanadyne Automotive
10.250%, 12/15/07 500 412
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Titan Wheel International
8.750%, 04/01/07 $ 500 $ 310
--------
9,399
-------
BROADCASTING, TELEVISION & RADIO--14.4%
Ackerley Group, Ser B
9.000%, 01/15/09 1,600 1,468
ACME Television (B)
12.200%, 09/30/04 500 477
Adelphia Cable Communications
10.500%, 07/15/04 500 500
9.875%, 03/01/07 3,250 3,112
7.875%, 05/01/09 2,500 2,106
Adelphia Cable Communications,
Ser B
8.375%, 02/01/08 2,050 1,812
American Radio Systems
9.000%, 02/01/06 500 519
Australis Media 1 (B) (C)
15.750%, 05/15/03 400 4
Big City Radio (B)
22.300%, 03/15/05 1,700 956
Cable Satisfaction International
12.750%, 03/01/10 2,000 1,945
Callahan North (A)
14.000%, 07/15/10 1,800 1,800
Capstar Broadcasting
9.250%, 07/01/07 1,250 1,275
Capstar Broadcasting (B)
10.530%, 02/01/09 1,000 920
Century Communications
8.875%, 01/15/07 650 598
Century Communications, Ser B
0.000%, 01/15/08 1,850 758
Chancellor Media (A)
8.000%, 11/01/08 500 503
Charter Communications
Holdings LLC
10.250%, 01/15/10 4,250 4,112
8.625%, 04/01/09 3,000 2,636
Charter Communications Holdings
LLC (B)
12.170%, 04/01/11 1,600 908
Citadel Broadcasting
9.250%, 11/15/08 1,550 1,503
Classic Cable
10.500%, 03/01/10 5,000 4,612
Coaxial Communication LLC
10.000%, 08/15/06 1,800 1,705
Coaxial Communication LLC (B)
13.640%, 08/15/08 1,000 637
--------------------------------------------------------------------------------
62
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Comcast
9.375%, 05/15/05 $ 250 $ 262
9.125%, 10/15/06 600 630
Comcast UK Cable (B)
10.670%, 11/15/07 750 699
CSC Holdings
9.875%, 02/15/13 650 666
9.250%, 11/01/05 250 252
CSC Holdings, Ser B
8.125%, 07/15/09 1,000 974
8.125%, 08/15/09 750 729
Cumulus Media
10.375%, 07/01/08 1,450 1,225
Details, Ser B
10.000%, 11/15/05 500 470
Diamond Cable Communications PLC
13.250%, 09/30/04 300 315
Diamond Cable Communications
PLC (B)
11.540%, 12/15/05 1,050 996
10.870%, 02/15/07 1,450 1,106
Diamond Holdings PLC
9.125%, 02/01/08 1,000 925
Diva Systems, Ser B (B)
15.640%, 03/01/08 3,757 1,991
Echostar DBS
9.375%, 02/01/09 4,500 4,320
Emmis Communications
8.125%, 03/15/09 1,200 1,095
Frontiervision Holdings (B)
11.080%, 09/15/07 600 519
11.030%, 09/15/07 700 605
Fundy Cable
11.000%, 11/15/05 500 530
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 436
Granite Broadcasting
9.375%, 12/01/05 1,000 910
8.875%, 05/15/08 500 432
Gray Communications System
10.625%, 10/01/06 700 696
International Cabletel
10.000%, 02/15/07 400 378
James Cable
10.750%, 08/15/04 1,500 1,440
Jones Intercable
9.625%, 03/15/02 350 361
8.875%, 04/01/07 350 356
Lamar Media
9.625%, 12/01/06 450 452
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Lenfest Communications
10.500%, 06/15/06 $ 700 $ 781
Lenfest Communications (A)
8.250%, 02/15/08 650 645
Lin Holdings (B)
12.780%, 03/01/08 500 329
Mediacom Capital LLC
7.875%, 02/15/11 5,250 4,594
Mentus Media PIK
12.000%, 02/01/03 1,065 532
Muzak Holdings LLC (B)
13.300%, 03/15/10 500 290
Northland Cable Television
10.250%, 11/15/07 1,200 996
10.625%, 11/15/06 2,000 1,980
Pegasus Communications
12.500%, 08/01/07 500 532
Pegasus Communications, Ser B
9.750%, 12/01/06 500 481
9.625%, 10/15/05 550 531
Price Communications Wireless, Ser B
9.125%, 12/15/06 1,250 1,262
Production Resources Group
11.500%, 01/15/08 500 102
PTC International Finance II
11.250%, 12/01/09 1,000 1,015
Renaissance Media Group (B)
11.640%, 04/15/08 1,000 680
Rogers Cablesystems Ltd.
10.000%, 12/01/07 450 460
Rogers Communications
9.125%, 01/15/06 400 392
8.875%, 07/15/07 650 637
Salem Communications, Ser B
9.500%, 10/01/07 1,475 1,383
Sinclair Broadcast Group
10.000%, 09/30/05 800 764
Sinclair Broadcast Group
9.000%, 07/15/07 5,000 4,487
STC Broadcasting
11.000%, 03/15/07 2,000 1,980
Telewest Communications PLC
11.250%, 11/01/08 500 500
9.625%, 10/01/06 750 701
Telewest Communications PLC (A)
9.875%, 02/01/10 500 465
Telewest Communications PLC (B)
11.030%, 10/01/07 3,695 3,501
Telewest Communication (A) (B)
8.680%, 04/15/09 1,650 891
--------------------------------------------------------------------------------
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Tri-State Outdoor Media
11.000%, 05/15/08 $ 1,350 $ 1,242
United International
Holdings, Ser B (B)
11.700%, 02/15/08 2,000 1,400
United Pan-Europe
11.500%, 02/01/10 1,000 890
United Pan-Europe Communications
11.250%, 02/01/10 4,000 3,560
10.875%, 08/01/09 1,000 870
United Pan-Europe Communication (B)
11.250%, 08/01/09 350 176
XM Satellite Radio
14.000%, 03/15/10 500 440
Young Broadcasting
11.750%, 11/15/04 2,000 2,035
Young Broadcasting, Ser B
9.000%, 01/15/06 150 141
8.750%, 06/15/07 1,200 1,104
--------
101,405
--------
BUILDING & CONSTRUCTION--0.9%
American Builder & Contractors
10.625%, 05/15/07 500 411
Amtrol
10.625%, 12/31/06 400 358
Brand Scaffold Services
10.250%, 02/15/08 1,200 1,053
California Steel Industry, Ser B
8.500%, 04/01/09 500 457
Dayton Superior
13.000%, 06/15/09 1,500 1,477
Formica, Ser B
10.875%, 03/01/09 1,000 780
International Utility Structure
13.000%, 02/01/08 500 440
International Utility Structures (A)
10.750%, 02/01/08 1,300 1,066
Morris Materials Handling (C)
9.500%, 04/01/08 400 52
Waxman Industries (B)
12.750%, 06/01/04 600 270
--------
6,364
--------
CHEMICALS--2.4%
Avecia Group PLC
11.000%, 07/01/09 3,000 2,940
Huntsman (A)
9.500%, 07/01/07 1,650 1,501
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Huntsman ICI Chemicals
10.125%, 07/01/09 $ 6,200 $ 6,246
0.000%, 12/31/09 2,100 693
Huntsman Polymers
11.750%, 12/01/04 250 254
Laroche Industries (C)
9.500%, 09/15/07 2,000 420
LLS
11.625%, 08/01/09 1,000 945
NL Industries
11.750%, 10/15/03 350 357
Octel Developments
10.000%, 05/01/06 950 869
Philipp Brothers Chemical
9.875%, 06/01/08 1,200 852
Sterling Chemical
11.750%, 08/15/06 1,000 820
Sterling Chemical Holdings (B)
31.830%, 08/15/08 1,000 400
Sterling Chemical, Ser B
12.375%, 07/15/06 500 507
Texas Petrochemical
11.125%, 07/01/06 450 382
--------
17,186
--------
COMMERCIAL SERVICES--0.3%
Coinstar (A)
13.000%, 10/01/06 1,000 1,011
Iron Mountain
8.250%, 07/01/11 750 656
Worldwide Flight Service
12.250%, 08/15/07 800 552
--------
2,219
--------
CONTAINERS & PACKAGING--0.8%
Ball
8.250%, 08/01/08 700 658
BWAY, Ser B
10.250%, 04/15/07 500 480
Consumers Packaging
9.750%, 02/01/07 750 262
Crown Packaging Enterprises Ltd. (B)
0.000%, 08/01/06 775 19
Graham Packaging
8.750%, 01/15/08 400 346
Huntsman Packaging
13.000%, 06/01/10 1,150 1,184
Impac Group (A)
10.125%, 03/15/08 1,000 1,085
Packaged Ice
9.750%, 02/01/05 1,000 830
--------------------------------------------------------------------------------
64
<PAGE>
[logo omitted
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
SF Holdings Group (B)
16.550%, 03/15/08 $ 1,000 $ 500
--------
5,364
--------
DIVERSIFIED OPERATIONS--1.3%
Amscan Holdings
9.875%, 12/15/07 400 328
Elgar Holdings
9.875%, 02/01/08 1,000 550
Knology Holdings (B)
14.390%, 10/15/07 6,100 3,294
Lodestar Holdings (A)
11.500%, 05/15/05 750 150
SCG Holding
12.000%, 08/01/09 4,623 4,935
Western Federal Notes (C)
15.500%, 09/30/00 500 125
--------
9,382
--------
DRUGS--0.6%
Dade International
11.125%, 05/01/06 500 235
ICN Pharmaceuticals
9.250%, 08/15/05 650 643
ICN Pharmaceuticals (A)
8.750%, 11/15/08 770 758
8.750%, 11/15/08 500 492
NBTY, Ser B
8.625%, 09/15/07 1,400 1,193
Twin Laboratories
10.250%, 05/15/06 1,225 1,219
--------
4,540
--------
ELECTRICAL SERVICES--1.1%
AES
8.500%, 11/01/07 800 730
8.000%, 12/31/08 500 445
Ampex
12.000%, 03/15/03 1,000 750
CMS Energy
7.500%, 01/15/09 1,400 1,223
CMS Energy, Ser B
6.750%, 01/15/04 800 741
Cogentrix Energy
8.750%, 10/15/08 1,000 956
Condor Systems (A)
11.875%, 05/01/09 750 362
Integrated Electrical
Services, Ser B (A)
9.375%, 02/01/09 2,500 2,025
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Niagra Mohawk Power, Ser G
7.750%, 10/01/08 $ 800 $ 780
--------
8,012
--------
ENTERTAINMENT--6.8%
Alliance Atlantis Communications (A)
13.000%, 12/15/09 1,750 1,794
AMC Entertainment
9.500%, 03/15/09 1,000 465
9.500%, 02/01/11 1,000 450
American Skiing, Ser B
12.000%, 07/15/06 450 378
AMF Group, Ser B
10.875%, 03/15/06 700 191
AMF Group, Ser B (B)
37.560%, 03/15/06 306 62
Argosy Gaming
10.750%, 06/01/09 1,975 2,042
Aztar (A)
8.875%, 05/15/07 1,650 1,555
Bally Total Fitness Holding, Ser D
9.875%, 10/15/07 400 362
Booth Creek Ski Holdings, Ser B
12.500%, 03/15/07 1,000 720
Boyd Gaming
9.500%, 07/15/07 600 576
Boyds Collection Ltd.
9.000%, 05/15/08 1,978 1,741
Casino Magic
13.000%, 08/15/03 1,600 1,696
Cinemark USA
9.625%, 08/01/08 500 260
Cinemark USA, Ser B
9.625%, 08/01/08 100 52
8.500%, 08/01/08 500 250
Circus Circus Enterprise
9.250%, 12/01/05 1,600 1,544
Eldorado Resorts
10.500%, 08/15/06 1,000 990
Fitzgeralds Gaming (C)
12.250%, 12/15/04 1,400 770
Hard Rock Hotel (A)
9.250%, 04/01/05 2,250 2,064
Hollywood Park, Ser B
9.500%, 08/01/07 3,800 3,781
9.250%, 02/15/07 1,000 995
Horseshoe Gaming Holdings, Ser B
8.625%, 05/15/09 1,000 942
Horseshoe Gaming LLC, Ser B
9.375%, 06/15/07 1,100 1,083
Imax (A)
7.875%, 12/01/05 1,750 1,584
--------------------------------------------------------------------------------
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Isle of Capri Casinos
8.750%, 04/15/09 $1,500 $ 1,387
KSL Recreation Group
10.250%, 05/01/07 1,000 950
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 470
Louisiana Casino Cruises, Ser B
11.000%, 12/01/05 1,000 1,030
Mohegan Tribal Gaming
8.750%, 01/01/09 1,800 1,710
Park Place Entertainment
9.375%, 02/15/07 850 850
7.875%, 12/15/05 1,000 940
Players International
10.875%, 04/15/05 500 519
Premier Parks
9.750%, 01/15/07 500 483
9.750%, 06/15/07 4,325 4,179
9.250%, 04/01/06 500 470
Regal Cinemas (A)
9.500%, 06/01/08 900 216
8.875%, 12/15/10 450 108
Riviera Black Hawk
13.000%, 05/01/05 700 749
Silver Cinemas (A) (B)
10.500%, 04/15/05 800 80
Station Casinos
10.125%, 03/15/06 3,450 3,493
Town Sports International, Ser B
9.750%, 10/15/04 2,500 2,375
Vail Resorts
8.750%, 05/15/09 600 558
Waterford Gaming (A)
9.500%, 03/15/10 1,055 1,013
--------
47,927
--------
ENVIRONMENTAL SERVICES--0.7%
Allied Waste North America
10.000%, 08/01/09 3,500 2,922
Allied Waste North America
7.875%, 01/01/09 1,300 1,108
Waste Systems International
11.500%, 01/15/06 550 319
Waste Systems International (A)
7.000%, 05/13/05 800 400
--------
4,749
--------
FINANCIAL SERVICES--1.0%
Homeside
11.250%, 05/15/03 325 352
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Investcorp (A)
12.750%, 05/01/10 $ 1,500 $ 1,478
Labrache (A)
12.000%, 03/01/07 1,000 996
Lodgian Financing
12.250%, 07/15/09 900 721
Madison River Financial (A)
13.250%, 03/01/10 600 540
PTC International Finance BV (B)
13.760%, 07/01/07 1,000 710
Siligan Holdings PIK
13.250%, 07/15/06 336 359
Sovereign Bancorp
10.500%, 11/15/06 1,000 987
Windsor Woodmount Black Hawk
13.000%, 03/15/06 1,000 1,002
--------
7,145
--------
FOOD, BEVERAGE & TOBACCO--1.9%
Agrilink Foods
11.875%, 11/01/08 1,700 1,326
Archibald Candy
10.250%, 07/01/04 1,200 870
Aurora Foods
8.750%, 07/01/08 850 476
Aurora Foods, Ser B
9.875%, 02/15/07 1,050 609
Avado Brands
11.750%, 06/15/09 1,225 622
Eagle Family Foods
8.750%, 01/15/08 1,300 767
International Home Foods
10.375%, 11/01/06 750 802
Keebler
10.750%, 07/01/06 450 479
Luigino's
10.000%, 02/01/06 1,200 960
Mrs Fields (B)
15.680%, 12/01/05 800 344
Mrs Fields, Ser B
10.125%, 12/01/04 760 631
National Wine & Spirits
10.125%, 01/15/09 1,350 1,309
New World Pasta
9.250%, 02/15/09 1,250 744
Pathmark Stores (C)
9.625%, 05/01/03 1,400 980
Premier International Food PLC (A)
12.000%, 09/01/09 1,800 1,611
Pueblo Xtra International
9.500%, 08/01/03 1,000 460
--------------------------------------------------------------------------------
66
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Vlasic Foods International, Ser B
10.250%, 07/01/09 $ 1,250 $ 437
--------
13,427
--------
FORESTRY--0.1%
Tembec Industries (A)
8.625%, 06/30/09 500 480
--------
GARDEN PRODUCTS--0.4%
Color Spot Nurseries
10.500%, 12/15/07 1,300 923
Scotts (A)
8.625%, 01/15/09 1,800 1,728
--------
2,651
--------
HOTELS & LODGING--4.3%
Ameristar Casino, Ser B
10.500%, 08/01/04 2,950 2,965
Capstar Hotel
8.750%, 08/15/07 500 455
Coast Hotels & Casinos
9.500%, 04/01/09 1,300 1,235
Florida Panthers Holdings
9.875%, 04/15/09 900 844
Harrahs Operating (A)
7.875%, 12/15/05 1,000 940
Harvey Casinos Resorts
10.625%, 06/01/06 2,650 2,703
HMH Properties (A)
8.450%, 12/01/08 500 463
Hollywood Casinos (A)
13.000%, 08/01/06 600 637
11.250%, 05/01/07 4,000 4,090
Intrawest
9.750%, 08/15/08 1,000 990
John Q Hammons Hotels
8.875%, 02/15/04 500 440
Majestic Star Casino, Ser B
10.875%, 07/01/06 1,300 1,059
Meristar Hotel
8.750%, 08/15/07 500 445
MGM Grand
9.750%, 06/01/07 1,600 1,628
Peninsula Gaming LLC
12.250%, 07/01/06 1,000 982
Prime Hospitality
9.750%, 04/01/07 450 434
8.250%, 01/15/06 600 591
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,559
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Station Casino Incorported (A)
9.875%, 07/01/10 $ 4,700 $ 4,681
Station Casinos (A)
9.750%, 04/15/07 1,050 1,050
Sun International Hotels
9.000%, 03/15/07 1,900 1,769
--------
29,960
--------
HOUSEHOLD PRODUCTS FURNITURE & FIXTURES--0.4%
Congoleum
8.625%, 08/01/08 1,000 652
Holmes Products, Ser D
9.875%, 11/15/07 500 350
Home Products International
9.625%, 05/15/08 800 656
International Knife & Saw
11.375%, 11/15/06 500 260
Safelite Glass (A) (C)
9.875%, 12/15/06 800 7
Sealy Mattress
9.875%, 12/15/07 500 482
Sealy Mattress (B)
11.790%, 12/15/07 500 360
--------
2,767
--------
LEASING & RENTING--1.1%
Anthony Crane Rentals, Ser B
10.375%, 08/01/08 500 321
Avis Rent-A-Car
11.000%, 05/01/09 2,900 3,023
Neff
10.250%, 06/01/08 500 310
United Rentals
9.250%, 01/15/09 800 722
9.000%, 04/01/09 2,650 2,345
Universal Compression (B)
13.570%, 02/15/08 1,000 720
--------
7,441
--------
MACHINERY--2.0%
APCOA
9.250%, 03/15/08 700 246
Applied Extrusion Technologies,
Ser B 038196AB7
11.500%, 04/01/02 800 802
BGF Industries
10.250%, 01/15/09 1,000 925
Collins & Aikman (A)
10.000%, 01/15/07 1,200 1,167
--------------------------------------------------------------------------------
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Consolidated Container Capital
10.125%, 07/15/09 $ 1,000 $ 990
Grove Worldwide (A)
9.250%, 05/01/08 1,000 380
GSI Group Inc
10.250%, 11/01/07 1,000 720
Jackson Products (A)
9.500%, 04/15/05 1,300 1,170
Magnum Hunter Re
10.000%, 06/01/07 800 728
Moog
10.000%, 05/01/06 500 487
Motors & Gears
10.750%, 11/15/06 1,290 1,242
Oglebay Norton
10.000%, 02/01/09 1,000 910
Sequa
9.000%, 08/01/09 1,050 1,008
Simonds Industries (A)
10.250%, 07/01/08 600 493
Thermadyne Holdings (A) (B)
13.090%, 06/01/08 550 198
Transportation Manufacturing
11.250%, 05/01/09 3,500 2,979
--------
14,445
--------
MARINE TRANSPORTATION--0.3%
American Commercial Lines
10.250%, 06/30/08 1,100 902
First Wave Marine
11.000%, 02/01/08 1,000 590
Golden Ocean Group Ltd. (C)
10.000%, 08/31/01 1,032 155
Sea Containers Ltd.
10.750%, 10/15/06 700 525
--------
2,172
--------
MEASURING DEVICES--0.2%
Eagle Geophysical (C)
10.750%, 07/15/08 1,000 90
Numatics
9.625%, 04/01/08 800 640
Quest Diagnostic
10.750%, 12/15/06 450 466
--------
1,196
--------
MEDICAL PRODUCTS & SERVICES--1.5%
Alaris Medical (B)
21.230%, 08/01/08 1,000 153
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Beverly Enterprises
9.000%, 02/15/06 $ 700 $ 581
Fountain View (A)
11.250%, 04/15/08 1,000 250
Leiner Health Products
9.625%, 07/10/07 500 360
Lifepoint Hospitals Holdings
10.750%, 05/15/09 4,300 4,429
Oxford Health Plans
11.000%, 05/15/05 500 518
Paracelsus Healthcare (C)
10.000%, 08/15/06 500 110
Tenet Healthcare
8.625%, 01/15/07 500 478
Tenet Healthcare (A)
9.250%, 09/01/10 3,200 3,224
Universal Health Services
8.750%, 08/15/05 250 248
--------
10,351
--------
MISCELLANEOUS BUSINESS SERVICES--2.5%
Autotote, Ser B
10.875%, 08/01/04 1,500 1,560
Covad Communications Group
12.500%, 02/15/09 800 640
Earthwatch (B)
14.420%, 07/15/07 2,250 1,325
Exodus Communications
11.250%, 07/01/08 1,200 1,188
10.750%, 12/15/09 2,150 2,075
Exodus Communications (A)
11.625%, 07/15/10 1,675 1,675
Interact Operating PIK
14.000%, 08/01/03 375 172
IPCS
0.000%, 07/15/10 2,750 1,396
IT Group
11.250%, 04/01/09 1,000 895
Knoll
10.875%, 03/15/06 260 260
Phase Metrics (A) (C)
10.750%, 02/01/05 500 40
Pierce Leahy (A)
9.125%, 07/15/07 450 430
Psinet
10.000%, 02/15/05 950 874
Rhythms Netconnections
12.750%, 04/15/09 2,300 1,622
Rhythms Netconnections (A) (B)
13.500%, 05/15/08 1,700 672
--------------------------------------------------------------------------------
68
<PAGE>
[logo omitted]
JUNE 30, 2000
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Unisys
11.750%, 10/15/04 $ 500 $ 533
7.875%, 04/01/08 450 421
Verio
13.500%, 06/15/04 1,000 1,129
10.375%, 04/01/05 500 525
--------
17,432
--------
MISCELLANEOUS MANUFACTURING--1.5%
ADV Accessory
9.750%, 10/01/07 550 446
Advanced Glassfiber (A)
9.875%, 01/15/09 1,000 915
Burke Industries
10.000%, 08/15/07 600 212
Cambridge Industries, Ser B (C)
10.250%, 07/15/07 500 125
Communications Instrument
10.000%, 09/15/04 500 408
Delco Remy International
10.625%, 08/01/06 1,500 1,470
Diamond Brands Operating (A)
10.125%, 04/15/08 650 358
Doskocil Manufacturing
10.125%, 09/15/07 500 174
Galey & Lord
9.125%, 03/01/08 750 334
GST Equipment Funding (C)
13.250%, 05/01/07 500 273
ISP Holdings
9.000%, 10/15/03 500 466
Jl French Auto Casting, Ser B
11.500%, 06/01/09 1,000 910
JPS Automotive Products
11.125%, 06/15/01 100 100
LDM Technologies
10.750%, 01/15/07 500 395
MMI Products
11.250%, 04/15/07 1,000 985
Omega Cabinets
10.500%, 06/15/07 1,000 920
Pillowtex
10.000%, 11/15/06 500 175
Polymer Group, Ser B
9.000%, 07/01/07 600 510
Tekni-Plex (A)
12.750%, 06/15/10 850 850
William Carter (A)
10.375%, 12/01/06 750 716
--------
10,742
--------
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS--2.4%
American Tissue
12.500%, 07/15/06 $ 1,500 $ 1,448
Berry Plastics
12.500%, 06/15/06 533 427
11.000%, 07/15/07 1,300 1,141
Buckeye Cellulose
9.250%, 09/15/08 500 500
Container
9.750%, 04/01/03 550 549
Crown Paper (C)
11.000%, 09/01/05 1,500 428
Doman Industries Ltd.
12.000%, 07/01/04 1,250 1,250
Drypers
10.250%, 06/15/07 1,450 935
Four M
12.000%, 06/01/06 1,200 1,104
Gaylord Container
9.750%, 06/15/07 600 474
Gaylord Container (A)
9.375%, 06/15/07 850 663
Mail-Well, Ser B
8.750%, 12/15/08 800 672
Norampac
9.500%, 02/01/08 1,275 1,230
Playtex Products
8.875%, 07/15/04 400 386
Portola Packaging
10.750%, 10/01/05 200 162
Repap Enterprises (A)
6.000%, 06/30/05 400 238
Repap New Brunswick
10.625%, 04/15/05 1,800 1,584
Republic Group (A)
9.500%, 07/15/08 700 581
Riverwood International
10.875%, 04/01/08 1,000 880
SD Warren
14.000%, 12/15/06 927 1,024
Specialty Paperboard
9.375%, 10/15/06 500 480
Stone Container (A)
11.500%, 08/15/06 400 414
--------
16,570
--------
PETROLEUM & FUEL PRODUCTS--4.6%
Abraxas Petroleum
11.500%, 11/01/04 875 735
Bellwether Exploration
10.875%, 04/01/07 1,800 1,674
--------------------------------------------------------------------------------
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Canadian Forest Oil Ltd.
8.750%, 09/15/07 $ 800 $ 752
Clark R&M
8.875%, 11/15/07 500 320
Cliffs Drilling
10.250%, 05/15/03 1,000 1,003
Comstock Resources
11.250%, 05/01/07 2,000 2,033
Contour Energy
14.000%, 04/15/03 1,706 1,749
Costilla Energy (C)
10.250%, 10/01/06 1,000 445
Crown Central Petroleum
10.875%, 02/01/05 1,200 1,041
Denbury Management
9.000%, 03/01/08 1,800 1,638
Energy of America
9.500%, 05/15/07 500 320
Frontier Oil
11.750%, 11/15/09 800 800
Frontier Oil (A)
9.125%, 02/15/06 800 708
Georgia Gulf
10.375%, 11/01/07 500 520
Gothic Production
11.125%, 05/01/05 800 746
Great Lakes Carbon
10.250%, 05/15/08 500 435
Gulf Canada Resources
8.375%, 11/15/05 500 495
Gulf Canada Resources Ltd.
9.625%, 07/01/05 500 509
9.250%, 01/15/04 500 503
HS Resources
9.250%, 11/15/06 500 486
HS Resources (A)
9.250%, 11/15/06 600 584
Key Energy Services
14.000%, 01/15/09 1,150 1,294
Lyondell Chemical
9.875%, 05/01/07 1,400 1,383
Nuevo Energy
9.500%, 06/01/08 900 889
Ocean Energy
8.875%, 07/15/07 950 945
Parker Drilling, Ser D
9.750%, 11/15/06 4,000 3,870
Pogo Producing
8.750%, 05/15/07 1,000 945
Pride International
10.000%, 06/01/09 500 515
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Pride Petroleum Services
9.375%, 05/01/07 $ 850 $ 848
R&B Falcon (A)
6.950%, 04/15/08 1,000 855
Ram Energy
11.500%, 02/15/08 500 246
Southwest Royalties, Ser B
10.500%, 10/15/04 500 320
Swift Energy
10.250%, 08/01/09 1,750 1,772
Ultapetrol
10.500%, 04/01/08 800 656
Wiser Oil
9.500%, 05/15/07 600 462
--------
32,496
--------
PRINTING & PUBLISHING--3.6%
American Lawyer Media
9.750%, 12/15/07 1,150 1,049
American Lawyer Media Holding (B)
13.660%, 12/15/08 1,000 640
American Media Operation
10.250%, 05/01/09 900 882
Completel Europe (B)
16.360%, 02/15/09 1,800 900
Garden State Newspapers
8.625%, 07/01/11 1,000 870
Hollinger International Publishing
9.250%, 03/15/07 1,000 985
Hyperion Telecommunication (B)
11.190%, 04/15/03 2,000 1,860
Jordan Industries
10.375%, 08/01/07 2,225 2,036
Liberty Group Operating
9.375%, 02/01/08 650 533
Liberty Group Publishings (B)
25.910%, 02/01/09 500 278
McLeod USA
9.250%, 07/15/07 650 627
8.125%, 02/15/09 500 451
McLeod USA (B)
11.070%, 03/01/07 2,000 1,640
MDC Communications (A)
10.500%, 12/01/06 1,000 960
Muzak Finance LLC
9.875%, 03/15/09 1,000 920
Perry-Judd
10.625%, 12/15/07 500 420
Phoenix Color
10.375%, 02/01/09 750 675
--------------------------------------------------------------------------------
70
<PAGE>
[logo omitted]
June 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Price Communication Wireless
11.750%, 07/15/07 $ 250 $ 269
Regional Independent Media
Group (A)
10.500%, 07/01/08 1,000 1,000
Susquehanna Media
8.500%, 05/15/09 1,250 1,188
T/SF Communications, Ser B
10.375%, 11/01/07 700 651
Time Warner (A)
9.750%, 07/15/08 1,250 1,209
Tritel PCS (B)
11.680%, 05/15/09 3,650 2,418
TV Guide
8.125%, 03/01/09 1,000 998
Viasystems
9.750%, 06/01/07 500 433
World Color Press
7.750%, 02/15/09 1,500 1,389
--------
25,281
--------
PROFESSIONAL SERVICES--0.3%
Haynes International
11.625%, 09/01/04 850 595
LA Petite Acadamy
10.000%, 05/15/08 1,190 702
URS
12.250%, 05/01/09 900 923
Yanknets LLC (A)
12.750%, 03/01/07 250 240
--------
2,460
--------
REAL ESTATE--0.1%
D.R. Horton (A)
8.000%, 02/01/09 650 566
--------
RETAIL--6.6%
Advance Stores (A)
10.250%, 04/15/08 2,350 1,939
AFC Enterprises
10.250%, 05/15/07 2,850 2,765
Ainsworth Lumber
12.500%, 07/15/07 1,500 1,489
American Restaurant Group
11.500%, 02/15/03 700 537
Ameriking
10.750%, 12/01/06 600 505
AP Holdings (B)
25.150%, 03/15/08 1,700 170
B&G Foods
9.625%, 08/01/07 500 350
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Buhrmann US
12.250%, 11/01/09 $ 2,575 $ 2,704
Carrols
9.500%, 12/01/08 1,000 835
Climachem, Ser B
10.750%, 12/01/07 1,000 250
Finlay Enterprises
9.000%, 05/01/08 200 176
Fisher Scientific International
9.000%, 02/01/08 1,000 915
Fleming
10.500%, 12/01/04 670 600
Flooring America (C)
9.250%, 10/15/07 296 169
Friendly Ice Cream
10.500%, 12/01/07 700 562
Group 1 Automotive
10.875%, 03/01/09 1,000 890
HMV Media Group (A)
10.250%, 05/15/08 1,000 670
Home Interior & Gifts
10.125%, 06/01/08 1,500 855
Host Marriott
8.375%, 02/15/06 500 465
7.875%, 08/01/05 550 509
7.875%, 08/01/08 1,150 1,032
Jitney-Jungle Stores (C)
10.375%, 09/15/07 450 7
Jo-Ann Stores
10.375%, 05/01/07 600 537
K-Mart
7.750%, 10/01/12 850 723
K-Mart (A)
8.540%, 01/02/15 733 712
Leslie's Poolmart
10.375%, 07/15/04 1,350 1,006
Marsh Supermarket
8.875%, 08/01/07 500 465
Metallurg
11.000%, 12/01/07 800 632
Ne Restaurant (A)
10.750%, 07/15/08 600 468
Nebraska Book
8.750%, 02/15/08 1,000 770
Northpoint Communications
Group (A)
12.875%, 02/15/10 800 576
Owens & Minor
10.875%, 06/01/06 500 513
Pantry
10.250%, 10/15/07 1,200 1,134
Perkins Family Restaurant/
Finance, Ser B
10.125%, 12/15/07 1,000 960
--------------------------------------------------------------------------------
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Pep Boys-Manny Moe Jack
6.710%, 11/03/04 $ 1,500 $ 949
Port Royal Holdings
10.250%, 10/01/07 1,000 885
Printpack, Ser B
10.625%, 08/15/06 800 744
RH Donnelly (A)
9.125%, 06/01/08 800 753
Roma (A)
12.000%, 07/01/06 750 488
Sbarro Incorpated
11.000%, 09/15/09 3,600 3,681
Simmons
10.250%, 03/15/09 1,500 1,331
Sleepmaster
11.000%, 05/15/09 1,250 1,181
Sonic Automotive
11.000%, 08/01/08 2,000 1,775
Stater Brother Holdings
10.750%, 08/15/06 1,250 1,100
Travelcenters of America
10.250%, 04/01/07 3,750 3,783
Wesco Distribution, Ser B
9.125%, 06/01/08 1,750 1,601
Wheeling-Pittsburgh
9.250%, 11/15/07 900 689
Zilog, Ser B
9.500%, 03/01/05 1,200 1,008
--------
46,858
--------
SEMI-CONDUCTORS/INSTRUMENTS--1.3%
Amkor Technologies
10.500%, 05/01/09 4,000 4,005
Amphenol
9.875%, 05/15/07 450 454
Aavid Thermal Technology
12.750%, 02/01/07 500 468
Fairchild Semiconductor
10.375%, 10/01/07 2,800 2,849
Flextronics International Ltd. (A)
9.875%, 07/01/10 1,000 1,007
Viasystems, Ser B
9.750%, 06/01/07 600 519
--------
9,302
--------
SPECIAL PURPOSE ACQUISITION--0.4%
Advance Holding (B)
17.240%, 04/15/09 1,500 630
DTI Holdings (B)
18.740%, 03/01/08 1,500 630
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
P&L Coal Holdings (A)
8.875%, 05/15/08 $ 250 $ 236
P&L Coal Holdings, Ser A
9.625%, 05/15/08 1,250 1,159
--------
2,655
--------
SPECIAL PURPOSE ENTITY--0.3%
Airplanes Pass Through Trust
10.875%, 03/15/19 988 802
Caithness Coso Fund, Ser B
9.050%, 12/15/09 1,000 988
Russell-Stanley Holdings
10.875%, 02/15/09 750 488
--------
2,278
--------
SPECIALTY CONSTRUCTION--0.1%
AAF-Mcquay (A)
8.875%, 02/15/03 835 718
--------
STEEL & STEEL WORKS--1.6%
AEI Resources (A)
11.500%, 12/15/06 500 50
Algoma Steel
12.375%, 07/15/05 1,000 870
Bayou Steel
9.500%, 05/15/08 500 410
Commonwealth Aluminum
10.750%, 10/01/06 500 480
Euramax International PLC
11.250%, 10/01/06 1,500 1,425
Golden Northwest
12.000%, 12/15/06 700 700
GS Technologies
12.000%, 09/01/04 1,100 386
Gulf States Steel (C)
13.500%, 04/15/03 1,000 90
Ivaco
11.500%, 09/15/05 500 530
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 665
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 570
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 369
National Steel
9.875%, 03/01/09 1,000 835
Neenah
11.125%, 05/01/07 500 368
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 450
--------------------------------------------------------------------------------
72
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Oxford Automotive
10.125%, 06/15/07 $ 1,400 $ 1,218
Renco Metals
11.500%, 07/01/03 500 200
Republic Technology
13.750%, 07/15/09 750 132
Sheffield Steel, Ser B
11.500%, 12/01/05 500 350
WCI Steel
10.000%, 12/01/04 1,000 930
Weirton Steel
11.375%, 07/01/04 250 235
--------
11,263
--------
TELEPHONES & TELECOMMUNICATIONS--20.5%
Airgate PCS (B)
12.920%, 10/01/09 4,650 2,662
Alamosa PCS Holdings (B)
13.530%, 02/15/10 8,600 4,472
Allbritton Communications
9.750%, 11/30/07 800 768
Allegiance Telecom (B)
11.860%, 02/15/08 1,000 725
AMSC Acquisition, Ser B
12.250%, 04/01/08 900 702
Call-Net Enterprises
9.375%, 05/15/09 1,050 646
Call-Net Enterprises (A) (B)
15.470%, 08/15/08 600 234
Call-Net Enterprises (B)
14.320%, 08/15/07 1,000 470
13.200%, 05/15/09 500 180
Caprock Communications
11.500%, 05/01/09 1,000 900
Carrier One
13.250%, 02/15/09 1,000 973
Centennial Cellular
10.750%, 12/15/08 1,000 971
Clearnet Communications (B)
12.165%, 05/01/09 5,000 3,000
11.720%, 12/15/05 1,800 1,859
Colo.com (A)
13.875%, 03/15/10 750 806
Colt Telecommunications Group (B)
9.640%, 12/15/06 600 761
Concentric Network
12.750%, 12/15/07 550 580
Covad Communications Group (A)
12.000%, 02/15/10 3,500 2,730
Crown Castle International
10.750%, 08/01/11 1,500 1,521
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Dobson Communications (A)
10.875%, 07/01/10 $3,350,000 $ 3,367
Dobson/Sygnet Communications
12.250%, 12/15/08 1,000 1,065
Dolphin Telecommunications PLC (B)
18.790%, 06/01/08 600 225
17.910%, 05/15/09 2,550 893
E.spire Communications
13.750%, 07/15/07 500 275
E.spire Communications (B)
19.290%, 11/01/05 1,800 846
18.270%, 04/01/06 500 225
18.010%, 07/01/08 500 170
Energis PLC
9.750%, 06/15/09 650 637
Equinix
13.000%, 12/01/07 800 759
Esprit Telecommunications Group PLC
11.500%, 12/15/07 500 355
Fairpoint Communications
12.500%, 05/01/10 1,100 1,111
Flag Ltd.
8.250%, 01/30/08 750 668
Flag Telecommunications Ltd. (A)
11.625%, 03/30/10 5,000 4,850
Focal Communications (B)
12.380%, 02/15/08 1,550 1,046
Galaxy Telecommunications (A)
12.375%, 10/01/05 1,400 1,211
GCI
9.750%, 08/01/07 1,400 1,302
Global Crossing Holdings
9.125%, 11/15/06 4,000 3,830
Global Crossing Holdings Ltd. (A)
9.625%, 05/15/08 1,710 1,659
Global Telesystems Group
9.875%, 02/15/05 1,250 888
Globalstar LP/Capital
11.500%, 06/01/05 250 71
11.375%, 02/15/04 400 118
11.250%, 06/15/04 900 261
Golden Sky (B)
10.090%, 03/01/07 1,000 675
GST USA Guarantee (B)
24.960%, 12/15/05 1,760 598
GT Group Telecommunications (B)
12.300%, 02/01/10 3,750 2,081
Hermes Europe Railtel BV
11.500%, 08/15/07 750 641
10.375%, 01/15/09 1,000 815
Hyperion Telecommunications
12.250%, 09/01/04 500 505
--------------------------------------------------------------------------------
73
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONTINUED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
ICG Holdings (A) (B)
13.800%, 03/15/07 $ 900 $ 618
ICG Services (B)
13.800%, 02/15/08 1,250 650
Insight Midwest
9.750%, 10/01/09 2,100 2,058
Intelcomm Group (B)
14.040%, 05/01/06 400 331
13.510%, 09/15/05 1,200 1,161
Intermedia Communications (B)
11.240%, 07/15/07 750 589
10.900%, 05/15/06 900 817
International Cabletel
12.750%, 04/15/05 400 407
International Cabletel (B)
10.430%, 02/01/06 1,200 1,107
International Wire Group
11.750%, 06/01/05 2,500 2,512
ITC Deltacom
11.000%, 06/01/07 422 426
9.750%, 11/15/08 250 238
8.875%, 03/01/08 455 416
KMC Telecommunications
Holdings (B)
15.540%, 02/15/08 1,250 588
Kpnqwest BV
8.125%, 06/01/09 1,150 1,081
L-3 Communications (A)
8.000%, 08/01/08 750 662
Leap Wireless
12.500%, 04/15/10 5,500 4,840
Level 3 Communications
9.125%, 05/01/08 1,600 1,541
Level 3 Communications (A)
11.000%, 03/15/08 7,000 6,930
Level 3 Communications (B)
12.820%, 12/01/08 500 304
Mannesmann AG
9.000%, 06/01/09 1,250 1,275
Mastec
7.750%, 02/01/08 700 644
McLeodUSA
8.375%, 03/15/08 500 460
Metricom Finance
13.000%, 02/15/10 1,000 685
Metromedia Fiber
10.000%, 11/15/08 1,200 1,182
Metromedia Fiber Network
10.000%, 12/15/09 600 591
Metromedia International Group,
Ser B (A) (C)
10.500%, 09/30/07 1,322 661
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Metronet Communications
12.000%, 08/15/07 $ 500 $ 561
Metronet Communications (B)
9.460%, 06/15/08 1,400 1,138
MGC Communications (A)
13.000%, 04/01/10 2,589 2,434
Microcell Telecommunications
(A) (B)
11.090%, 06/01/06 1,600 1,476
Nextel Communications (B)
11.170%, 02/15/08 1,400 1,026
10.950%, 09/15/07 1,400 1,099
Nextel Partners (B)
12.530%, 02/01/09 1,301 898
Nextlink Communications
12.500%, 04/15/06 800 836
10.750%, 11/15/08 4,500 4,433
Nextlink Communications (A)
10.500%, 12/01/09 650 634
Nextlink Communications (B)
12.600%, 04/15/08 800 488
NTL Communications
11.500%, 10/01/08 2,550 2,537
Orbital Imaging
11.625%, 03/01/05 950 435
Orion Network Systems
11.250%, 01/15/07 800 484
Pac-West Telecommunications
13.500%, 02/01/09 1,800 1,818
Pagemart Nationwide
15.000%, 02/01/05 750 718
Powertel
11.125%, 06/01/07 500 513
Powertel (B)
11.960%, 02/01/06 500 466
Primus Telecommunications Group
11.750%, 08/01/04 600 480
11.250%, 01/15/09 1,500 1,170
Protection One Alarm Protection (A)
8.125%, 01/15/09 350 217
Psinet
11.500%, 11/01/08 350 329
11.000%, 08/01/09 1,000 925
Qwest Communications
10.875%, 04/01/07 325 353
Qwest Communications (B)
9.170%, 10/15/07 1,050 882
RCN
10.125%, 01/15/10 3,750 3,122
10.000%, 10/15/07 1,750 1,483
RCN (B)
13.710%, 10/15/07 750 469
13.260%, 02/15/08 1,300 741
--------------------------------------------------------------------------------
74
<PAGE>
[logo omitted]
June 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
Rogers Cantel
9.375%, 06/01/08 $ 900 $ 927
RSL Communications PLC
12.000%, 11/01/08 750 555
9.875%, 11/15/09 1,000 649
9.125%, 03/01/08 500 325
Rural Cellular
9.625%, 05/15/08 500 485
Sitel (A)
9.250%, 03/15/06 500 455
Sprint Spectrum
11.000%, 08/15/06 1,040 1,119
Startec Global Communications
12.000%, 05/15/08 500 400
Sun Media
9.500%, 05/15/07 325 315
Telecorp PCS (B)
11.370%, 04/15/09 3,750 2,447
Teligent
11.500%, 12/01/07 1,000 775
Triton PCS (B)
11.160%, 05/01/08 1,000 725
US Unwired, Ser B (B)
0.000%, 11/01/09 1,600 868
Versatel Telecommunications
11.875%, 07/15/09 1,000 985
Viatel
11.500%, 03/15/09 686 521
Viatel (B)
14.940%, 04/15/08 1,500 675
Voicestream Wire
10.375%, 11/15/09 3,650 3,778
Voicestream Wire (B)
11.560%, 11/15/09 1,250 841
Weblink Wireless (B)
16.370%, 02/01/08 1,500 645
Western Wireless
10.500%, 06/01/06 400 408
10.500%, 02/01/07 300 306
WHX
10.500%, 04/15/05 750 585
Williams Communications
10.875%, 10/01/09 1,350 1,320
Winstar Communications (A)
12.750%, 04/15/10 1,500 1,399
World Access, Ser B
13.250%, 01/15/08 800 713
Worldwide Fiber
12.500%, 12/15/05 750 758
12.000%, 08/01/09 500 473
--------
144,498
--------
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000) VALUE (000)
--------------------------------------------------------------------------------
TRANSPORTATION SERVICES--0.4%
Allied Holdings, Ser B
8.625%, 10/01/07 $ 850 $ 753
Atlantic Express
10.750%, 02/01/04 500 443
Offshore Logistics
7.875%, 01/15/08 600 540
Werner Holdings
10.000%, 11/15/07 1,400 1,348
--------
3,084
-------
Total Corporate Obligations
(Cost $723,359) 642,060
--------
U.S. GOVERNMENT AGENCY OBLIGATION--3.9%
FHLB
6.588%, 07/03/00 27,208 27,198
--------
Total U.S. Government Agency Obligation
(Cost $27,198) 27,198
--------
COMMERCIAL PAPER--2.5%
General Electric Capital
6.800%, 07/03/00 17,821,000 17,821
--------
Commercial Paper
(Cost $17,815) 17,821
--------
COMMON STOCKs--1.2%
Abraxas Petroleum (Nev)* 74,523 112
Advanced Radio Telecom* 10,117 148
AT&T Canada 1,714 57
Coinstar* 4,545 46
Completel Holdings* (A) 18,000 990
Globalstar Telecommunications
Ltd.* 3,303 30
Globix* 19,712 578
Grant Prideco* 23,691 592
ICG Communications* 1,155 25
Intermedia Communication* 3,107 92
Jordan Telecommunications Cp* 500 15
Loral Space & Communication* 454 3
Metretek Technologies 60,000 405
Microcell Telecommunications* 5,152 186
Nextlink Communications* 8,974 340
Optel* (A) 300 --
Price Communications* (C) 89,949 2,119
Primus Telecommunications Group* 1,047 26
SF Holdings, Cl C* (A) 200 --
--------------------------------------------------------------------------------
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND FUND (CONCLUDED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
--------------------------------------------------------------------------------
Verio* 923433106 D1 28,168 $ 1,563
Viatel* 925529208 D1 2,863 82
Weatherford International* 23,691 943
World Access* 2,514 28
--------
Total Common Stocks
(Cost $4,328) 8,380
--------
Preferred/Convertible Stocks--1.0%
Adelphia Business Solution,
Ser B PIK* 9 9
Adelphia Communications,
Ser B, Exchange 13.000%* 2,500 251
Ameriking PIK* 12/01/08 3,028,800 242
Benedek Communications PIK*
05/15/08 500,000 275
Diva Systems, Ser C* 41,615 1,082
E.Spire Communications PIK (A)* 563 113
GPA Group, PLC (A)* 1,000,000 525
Granite Ltd.* 100 9
Interact Electriconic Marketing,
Convertible 14.00* 700 140
Intermedia Communication,
Convertible 30.235 (A)* 1 20,000 513
Intermedia Communication,
Ser B PIK* 384 369
International Utility PIK* 140 10
Jazz Casino PIK* 11/15/09 10,543 264
Key Energy Group* 910,000 714
Metretek Technologies * 300 475
Nextel Communications, Ser D PIK* 703 752
Nextel Communications,
Ser E PIK* 02/15/10 3,870 375
Nextlink Communications PIK* 7,815 402
Pegasus Communications PIK* 2,500 288
Pegasus Communications, Ser A PIK* 990 99
Peninsula Gaming* 7,042 42
Primedia, Ser D, Exchange 10.000%* 4,000 384
--------
Total Preferred/Convertible Stocks
(Cost $6,287) 7,333
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
WARRANTS--0.3%
Aavid Thermal Technologies*
02/01/07 500 $ 5
Airgate PCS* 10/01/09 1,400 176
American Communication Services* 1,320 24
Ampex (A)* 03/15/03 34,000 --
Australis (A)* 10/30/01 500 --
Cable Satisfaction* 03/01/10 2,000 5
Carrier1 (A)* 02/19/09 1,000 500
Classic Cable* 3,000 50
Clearnet* 1,334 --
Crown Packaging* 100,848 --
Diva System* 05/15/06 1,125 788
Diva Systems (D)* 11,271 203
DTI Holdings (A)* 6,250 --
E.spire Communications* 11/01/05 500 17
Golden Ocean Group* 08/31/01 688 --
HF Holdings* 07/15/02 3,156 --
Intelcom Group* 700 --
Inter Act Electronic* 12/15/09 700 11
Key Energy Services* 01/15/09 1,150 76
KMC Telecommunications Holdings* 1,250 31
McCaw International* 1,400 57
Mentus Media* 2,365 --
Metretek Technologies* 09/10/03 30,000 101
Metricom* 02/15/10 1,000 5
Motient* 04/01/08 900 4
Nextlink Communications* 02/01/09 5,000 --
Orbital Imaging (A)* 03/01/05 950 19
PLD Telekom* 830 --
Republic Technology* 07/15/09 750 --
Startec Global* 500 2
USN Communication* 08/15/04 11,540 12
Waste Systems International* 8,250 --
Wireless One* 20 --
Worldwide Flight* 08/15/07 800 --
--------
Total Warrants
(Cost $1,507) 2,086
--------
--------------------------------------------------------------------------------
76
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
--------------------------------------------------------------------------------
ASSET-BACKED OBLIGATIONS--0.1%
Constellation Finance LLC,
Ser 1997-1
9.800%, 12/14/02 $ 500 $ 460
-------
Total Asset-Backed Obligations
(Cost $500) 460
-------
RIGHTS--0.0%
Abraxas Petroleum Ltd. Contigent
Value Rights* 74,523 --
-------
Total Rights
(Cost $0) --
-------
TOTAL INVESTMENTS--100.0%
(Cost $780,994) 705,338
=======
*NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON JUNE 30, 2000. THE COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
(D) RESTRICTED SECURITY, NOT READILY MARKETABLE.
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
LTD. -- LIMITED
PIK -- PAYMENT-IN-KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
--------------------------------------------------------------------------------
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS--99.2%
AEROSPACE & DEFENSE--0.9%
BF Goodrich 26,350 $ 898
Boeing 222,471 9,302
General Dynamics 49,160 2,569
Lockheed Martin 98,132 2,435
Northrop 17,065 1,131
Raytheon, Cl B 83,240 1,602
Rockwell International 46,130 1,453
Textron 35,310 1,918
United Technologies 115,344 6,791
--------
28,099
--------
AIR TRANSPORTATION--0.3%
AMR* 36,670 969
Delta Air Lines 30,070 1,520
FedEx* 71,104 2,702
Southwest Airlines 121,700 2,305
US Air Group* 16,365 638
--------
8,134
--------
APPAREL/TEXTILES--0.0%
Liz Claiborne 13,350 471
Russell 7,965 159
Springs Industries, Cl A 4,370 140
VF 27,960 666
--------
1,436
--------
AUTOMOTIVE--1.0%
Cooper Tire & Rubber 18,100 201
Dana 37,357 791
Delphi Automotive Systems* 138,017 2,010
Eaton 17,830 1,195
Ford Motor 295,540 12,708
General Motors 131,230 7,620
Genuine Parts 43,392 868
Goodyear Tire & Rubber 38,470 769
ITT Industries 21,665 658
Navistar International* 15,126 470
Paccar 18,808 746
TRW 30,220 1,311
Visteon* 35,395 429
--------
29,776
--------
BANKS--4.4%
Amsouth Bancorporation 96,200 1,515
Bank of America 406,412 17,476
Bank of New York 180,800 8,407
Bank One 281,201 7,469
BB&T 85,400 2,039
Charter One Financial 51,000 1,173
Chase Manhattan 303,265 13,969
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Comerica 38,450 $ 1,725
Fifth Third Bancorp 75,950 4,804
First Union 240,414 5,965
Firstar 237,894 5,011
Fleet Boston Financial 220,944 7,512
Golden West Financial 38,715 1,580
Huntington Bancshares 54,467 861
KeyCorp 106,642 1,880
Mellon Financial 120,420 4,388
National City 148,700 2,537
Northern Trust 54,500 3,546
Old Kent Financial 33,705 902
PNC Bank 71,160 3,336
Regions Financial 54,100 1,075
SouthTrust 41,300 934
State Street 39,500 4,189
Summit Bancorp 43,000 1,059
SunTrust Banks 74,130 3,387
Synovus Financial 69,200 1,220
Union Planters 33,200 928
US Bancorp 184,331 3,548
Wachovia 49,678 2,695
Washington Mutual 134,347 3,879
Wells Fargo 395,052 15,308
--------
134,317
--------
BROADCASTING, NEWSPAPERS & ADVERTISING--0.8%
Clear Channel Communications* 83,100 6,232
Comcast, Cl A* 220,154 8,916
Interpublic Group 74,000 3,182
Omnicom Group 43,600 3,883
Young & Rubicam* 17,700 1,012
--------
23,225
--------
BUILDING & CONSTRUCTION--0.1%
Armstrong Holdings 9,865 151
Centex 14,580 343
Fluor 18,730 592
Kaufman & Broad Home 11,737 233
Masco 109,980 1,986
McDermott International 14,665 129
Owens Corning 13,465 125
PULTE 10,090 218
--------
3,777
--------
CASINO--0.0%
Harrah's Entertainment* 29,985 628
--------
CHEMICALS--0.9%
Air Products & Chemicals 56,240 1,733
Avery Dennison 27,530 1,848
Dow Chemical 165,750 5,004
--------------------------------------------------------------------------------
78
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Eastman Chemical 18,791 $ 897
EI Du Pont de Nemours 256,886 11,239
FMC* 7,565 439
Great Lakes Chemical 13,300 419
Hercules 26,195 368
Praxair 38,665 1,448
Rohm & Haas 53,323 1,840
Sigma Aldrich 20,900 611
Union Carbide 32,965 1,632
WR Grace* 16,500 200
--------
27,678
--------
COMPUTERS & SERVICES--18.8%
America Online* 563,300 29,714
Apple Computer* 79,840 4,182
Cabletron Systems* 44,800 1,131
Ceridian* 35,530 855
Cisco Systems* 1,705,700 108,419
Compaq Computer* 416,356 10,643
Computer Associates International 144,252 7,384
Computer Sciences* 41,120 3,071
Dell Computer* 631,400 31,136
EMC* 532,100 40,938
First Data 101,104 5,017
Gateway * 78,900 4,478
Hewlett-Packard 245,260 30,627
IBM 434,720 47,629
Lexmark International Group, Cl A* 31,700 2,132
Mercury Interactive* 19,500 1,887
Microsoft* 1,290,400 103,232
Novell* 80,800 747
Oracle* 696,028 58,510
Pitney Bowes 63,220 2,529
Sapient* 14,400 1,540
Seagate Technology* 55,700 3,063
Siebel Systems* 48,900 7,998
Sun Microsystems* 389,000 35,375
Texas Instruments 401,280 27,563
Unisys* 76,385 1,112
Veritas Software* 95,900 10,838
--------
581,750
--------
CONTAINERS & PACKAGING--0.1%
Ball 7,295 235
Crown Cork & Seal 31,385 471
Newell Rubbermaid 65,336 1,682
Owens-Illinois* 35,900 420
Sealed Air* 20,586 1,078
--------
3,886
--------
COSMETICS & TOILETRIES--1.3%
Alberto-Culver, Cl B 13,780 421
Avon Products 58,240 2,592
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Colgate Palmolive 141,376 $ 8,465
Gillette 255,976 8,943
International Flavors & Fragrances 25,195 761
Procter & Gamble 320,708 18,361
--------
39,543
--------
DRUGS--8.4%
Abbott Laboratories 379,920 16,930
Alza* 25,120 1,485
American Home Products 319,780 18,787
Biogen* 36,400 2,348
Bristol-Myers Squibb 483,680 28,174
Eli Lilly 276,920 27,657
Honeywell International 195,702 6,593
Medimmune* 51,200 3,789
Merck 563,850 43,205
Pfizer 1,543,435 74,085
Pharmacia 311,255 16,088
Schering Plough 359,020 18,130
Watson Pharmaceuticals** 23,600 1,268
--------
258,539
--------
ELECTRICAL SERVICES--0.7%
AES* 104,500 4,768
Ameren 33,700 1,137
CP&L Energy 39,200 1,252
CMS Energy 26,900 595
Consolidated Edison 51,990 1,540
Constellation Energy Group* 36,795 1,198
Dominion Resources 58,508 2,509
FirstEnergy* 56,605 1,323
Florida Progress 24,200 1,134
New Century Energies 28,600 858
Niagara Mohawk Holdings* 42,265 589
Pinnacle West Capital 20,800 705
PPL 35,300 774
Reliant Energy 72,451 2,142
TXU 64,635 1,907
--------
22,431
--------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT--0.9%
3Com* 86,000 4,956
American Power Conversion* 47,400 1,935
Autodesk 14,300 496
Automatic Data Processing 153,840 8,240
Johnson Controls 21,030 1,079
Millipore 11,190 843
Sanmina* 36,400 3,112
Solectron* 146,200 6,122
Tektronix 11,855 877
Thomas & Betts 14,240 272
--------
27,932
--------
--------------------------------------------------------------------------------
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX FUND (CONTINUED)
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES--0.1%
Allied Waste Industries* 46,400 $ 464
Ecolab 31,900 1,246
Waste Management 152,414 2,896
--------
4,606
--------
FINANCIAL SERVICES--5.4%
American Express 327,541 17,073
Associates First Capital, Cl A 178,592 3,985
Bear Stearns Companies 27,107 1,128
Capital One Financial 48,000 2,142
Charles Schwab 333,932 11,228
Citigroup 827,456 49,854
Countrywide Credit Industries 27,900 846
Equifax 34,600 908
FHLMC 170,500 6,905
FNMA 247,060 12,893
Franklin Resources 59,700 1,813
Household International 115,991 4,821
JP Morgan 39,830 4,386
Lehman Brothers Holdings 29,500 2,790
MBNA 196,612 5,333
Merrill Lynch 95,100 10,936
Morgan Stanley 277,522 23,104
Painewebber Group 35,700 1,624
Providian Financial 34,895 3,141
SLM Holding 38,400 1,438
T. Rowe Price & Associates 29,600 1,258
--------
167,606
--------
FOOD, BEVERAGE & TOBACCO--4.3%
Adolph Coors, Cl B 9,065 548
Anheuser-Busch 110,800 8,275
Archer-Daniels-Midland 147,689 1,449
Bestfoods 67,320 4,662
Brown-Forman, Cl B 16,860 906
Campbell Soup 103,560 3,016
Coca-Cola 103,100 1,682
Coca-Cola Enterprises 606,860 34,857
Conagra 120,684 2,301
Fortune Brands 38,840 896
General Mills 71,520 2,736
Hershey Foods 33,600 1,630
HJ Heinz 86,320 3,776
Kellogg 99,480 2,960
Nabisco Group Holdings 80,000 2,075
Pepsico 353,380 15,703
Philip Morris 560,730 14,894
Quaker Oats 32,060 2,408
Ralston-Ralston Purina Group 75,180 1,499
Sara Lee 213,260 4,119
Seagram Ltd 107,000 6,206
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Starbucks* 45,100 $ 1,722
Supervalu 32,260 615
Sysco 81,720 3,442
Unilever ADR 140,150 6,026
UST 39,740 584
William Wrigley, Jr 28,005 2,246
--------
131,233
--------
FOOTWEAR--0.1%
Nike, Cl B 67,020 2,668
Reebok International* 13,820 220
--------
2,888
--------
GAS/NATURAL GAS--0.1%
El Paso Energy 56,730 2,890
Oneok* 7,200 187
Sempra Energy* 50,227 854
--------
3,931
--------
GLASS PRODUCTS--0.7%
Corning 67,646 18,256
PPG Industries 42,790 1,896
--------
20,152
--------
HOTELS & LODGING--0.1%
Hilton Hotels 90,305 847
Marriott International, Cl A* 58,740 2,118
--------
2,965
--------
HOUSEHOLD PRODUCTS FURNITURE & FIXTURES--0.0%
Leggett & Platt 48,300 797
--------
INSURANCE--3.1%
Aetna 34,587 2,220
Aflac 65,100 2,991
Allstate 182,604 4,063
American General 60,939 3,717
American International Group 377,947 44,409
AON 62,775 1,950
Chubb 42,918 2,639
Cigna 39,890 3,730
Cincinnati Financial 39,400 1,239
Conseco 79,753 778
Hartford Financial Services Group 52,730 2,950
Humana* 41,200 201
Jefferson Pilot 25,305 1,428
Lincoln National 47,060 1,700
Loews 24,200 1,452
Marsh & McLennan 66,115 6,905
MBIA 24,100 1,161
MGIC Investment 26,000 1,183
Progressive of Ohio 18,000 1,332
--------------------------------------------------------------------------------
80
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
SAFECO 31,320 $ 622
St. Paul 51,976 1,774
Torchmark 31,374 775
UnitedHealth Group 39,800 3,413
UnumProvident 59,073 1,185
Wellpoint Health Networks* 15,200 1,101
--------
94,918
--------
INTERNET SERVICES--0.5%
Yahoo!* 133,200 16,500
--------
LUMBER & WOOD PRODUCTS--0.0%
Georgia-Pacific 41,800 1,097
Louisiana-Pacific 25,512 277
--------
1,374
--------
MACHINERY--1.3%
Applied Materials* 198,000 17,944
Baker Hughes 80,948 2,590
Black & Decker 20,835 819
Briggs & Stratton 5,440 186
Brunswick 21,530 357
Caterpillar 85,500 2,896
Cummins Engine 10,140 276
Deere 57,390 2,123
Dover 49,740 2,018
Emerson Electric 104,630 6,317
Ingersoll Rand 39,705 1,598
Pall 30,293 560
Parker-Hannifin 27,578 945
Timken 14,940 278
WW Grainger 22,980 708
--------
39,615
--------
MARINE TRANSPORTATION--0.1%
Carnival, Cl A 148,200 2,890
--------
MEASURING DEVICES--0.6%
Agilent Technologies* 110,837 8,174
Kla-Tencor* 45,600 2,670
Mallinckrodt 16,485 716
PE Biosystems Group 51,060 3,364
Teradyne* 42,500 3,124
Thermo Electron* 38,200 805
--------
18,853
--------
MEDICAL PRODUCTS & SERVICES--3.0%
Allergan 31,800 2,369
Amgen* 251,800 17,689
Bausch & Lomb 12,980 1,004
Baxter International 71,173 5,004
Becton Dickinson 61,920 1,776
Biomet 29,000 1,115
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Boston Scientific* 100,000 $ 2,194
CR Bard 12,335 594
Guidant* 75,100 3,717
HCA-Healthcare 136,759 4,154
Healthsouth Rehabilitation* 94,512 679
Johnson & Johnson 341,040 34,743
Manor Care* 25,047 175
Medtronic 293,480 14,619
St. Jude Medical* 20,650 947
Tenet Healthcare* 76,760 2,073
--------
92,852
--------
METAL & METAL INDUSTRIES--0.3%
Alcan Aluminum Ltd. 53,652 1,663
Barrick Gold 97,000 1,764
Bethlehem Steel* 32,230 115
Engelhard 31,317 534
Freeport-McMoran Copper
& Gold, Cl B* 39,200 363
Homestake Mining 64,000 440
Inco* 44,600 686
Newmont Mining 41,222 891
Nucor 20,880 693
Phelps Dodge 19,280 717
Placer Dome Group 80,329 768
USX-US Steel Group 21,767 404
Vulcan Materials 24,600 1,050
Worthington Industries 21,122 222
--------
10,310
--------
MISCELLANEOUS BUSINESS SERVICES--0.6%
Adobe Systems 29,400 3,822
BMC Software* 59,882 2,185
Cendant* 176,810 2,475
Citrix Systems* 45,400 860
Compuware* 88,400 917
Convergys* 37,600 1,950
Electronic Data Systems 114,200 4,711
NCR* 23,300 907
Parametric Technology* 67,600 744
Peoplesoft* 67,662 1,133
--------
19,704
--------
MISCELLANEOUS CONSUMER PRODUCTS--0.2%
Clorox 57,518 2,578
Maytag 19,230 709
Sherwin Williams 40,160 851
Snap-On Tools 14,397 383
Stanley Works 21,530 511
Tupperware 14,150 311
Whirlpool 17,905 835
--------
6,178
--------
--------------------------------------------------------------------------------
81
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX FUND (CONTINUED)
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING--5.3%
Cooper Industries 22,895 $ 746
Crane 14,819 360
Danaher* 34,700 1,715
General Electric 2,425,980 128,577
Illinois Tool Works 73,934 4,214
Minnesota Mining & Manufacturing 97,030 8,005
National Service Industries 9,985 195
Tyco International Ltd. 413,940 19,610
--------
163,422
--------
MOTORCYCLES--0.1%
Harley-Davidson 74,400 2,864
--------
MULTIMEDIA--1.7%
Gannett 65,370 3,910
McGraw-Hill 47,740 2,578
Meredith 12,380 418
Time Warner 322,628 24,520
Walt Disney 509,501 19,775
--------
51,201
--------
PAPER & PAPER PRODUCTS--0.6%
Bemis 12,890 433
Boise Cascade 14,031 363
Fort James 50,427 1,166
International Paper 118,490 3,532
Kimberly-Clark 136,274 7,819
Mead 25,220 637
Pactiv* 41,412 326
Potlatch 7,170 237
Temple-Inland 12,890 541
Westvaco 24,690 613
Weyerhaeuser 57,170 2,458
Willamette Industries 27,200 741
--------
18,866
--------
PETROLEUM & FUEL PRODUCTS--5.4%
Amerada Hess 22,330 1,379
Anadarko Petroleum 31,400 1,548
Apache 27,900 1,641
Ashland 17,425 611
Burlington Resources 52,763 2,018
Chevron 159,820 13,555
Coastal 52,504 3,196
Conoco 153,066 3,760
Exxon Mobil 853,607 67,008
Halliburton 108,810 5,134
Kerr McGee 23,052 1,359
Occidental Petroleum 90,430 1,905
Phillips Petroleum 62,335 3,160
Rowan* 23,005 699
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Royal Dutch Petroleum 525,840 $ 32,372
Schlumberger 139,534 10,413
Sunoco 21,670 638
Texaco 135,320 7,206
Tosco 35,400 1,002
Transocean Sedco Forex 51,616 2,758
Union Pacific Resources 61,791 1,359
Unocal 59,590 1,974
USX-Marathon Group 76,435 1,916
--------
166,611
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.3%
Eastman Kodak 75,965 4,520
Polaroid 10,958 198
Xerox 163,350 3,389
--------
8,107
--------
PRINTING & PUBLISHING--0.3%
American Greetings, Cl A 15,900 302
Deluxe 17,755 418
Dow Jones 21,700 1,590
Knight-Ridder 19,070 1,014
New York Times, Cl A 41,660 1,646
RR Donnelley & Sons 29,860 674
Tribune 75,620 2,647
--------
8,291
--------
PROFESSIONAL SERVICES--0.3%
H&R Block 24,170 782
Dun & Bradstreet 39,532 1,132
IMS Health* 72,864 1,312
Paychex 91,125 3,827
PerkinElmer 12,040 796
--------
7,849
--------
RAILROAD TRANSPORTATION--0.3%
Burlington Northern Santa Fe 105,000 2,408
CSX 53,518 1,134
Kansas City Southern Industries 27,200 2,412
Norfolk Southern 93,900 1,397
Union Pacific 60,740 2,259
--------
9,610
--------
RETAIL--5.8%
Albertson's 103,923 3,455
Autozone* 32,800 722
Bed Bath & Beyond* 34,500 1,251
Best Buy Company* 50,100 3,169
Circuit City Stores 50,000 1,659
Consolidated Stores* 27,224 327
Costco Wholesale* 109,516 3,614
--------------------------------------------------------------------------------
82
<PAGE>
[logo omitted]
JUNE 30, 2000
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CVS 95,713 $ 3,829
Darden Restaurants* 30,360 493
Dillards, Cl A 22,920 281
Dollar General 80,685 1,573
Federated Department Stores* 52,500 1,772
Gap 208,630 6,520
Great Atlantic & Pacific Tea 9,465 157
Harcourt General 17,466 950
Home Depot 567,283 28,329
JC Penney 64,030 1,181
Kmart* 117,980 804
Kohls* 80,000 4,450
Kroger* 204,720 4,517
Limited 105,396 2,279
Longs Drug Stores* 9,690 211
Lowe's 93,788 3,851
May Department Stores 81,543 1,957
McDonald's 327,700 10,794
Nordstrom 33,060 798
Office Depot* 77,500 484
Radioshack 45,788 2,169
Rite Aid 63,460 416
Sears Roebuck 86,425 2,820
Staples* 118,750 1,826
Target 111,780 6,483
Tiffany 17,800 1,201
TJX 73,540 1,379
Toys "R" Us* 53,065 773
Tricon Global Restaurants* 36,198 1,023
Wal-Mart Stores 1,092,840 62,975
Walgreen 247,160 7,955
Wendy's International 27,875 497
Winn Dixie Stores 35,460 508
--------
179,452
--------
SEMI-CONDUCTORS/INSTRUMENTS--5.3%
Adaptec* 25,600 582
Advanced Micro Devices* 37,530 2,899
Altera* 48,800 4,975
Analog Devices* 86,800 6,597
Conexant Systems* 53,300 2,592
Intel 821,180 109,781
Linear Technology 76,300 4,878
LSI Logic* 75,300 4,076
Maxim Integrated Products* 69,300 4,708
Micron Technology* 136,000 11,976
National Semiconductor* 43,312 2,458
Novellus Systems* 31,800 1,799
Xilinx* 78,800 6,506
--------
163,827
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
STEEL & STEEL WORKS--0.2%
Alcoa 211,854 $ 6,144
Allegheny Technologies* 20,374 367
-------
6,511
-------
TELEPHONES & TELECOMMUNICATIONS--12.5%
ADC Telecommunications* 82,700 6,936
Alltel 77,182 4,780
Andrew* 19,815 665
AT&T 920,084 29,098
Bell Atlantic 379,014 19,259
Bellsouth 461,412 19,668
Centurytel 34,400 989
Comverse Technology* 37,400 3,478
Global Crossing Ltd* 216,260 5,690
GTE 236,080 14,696
Lucent Technologies 798,532 47,313
Molex 48,200 2,320
Motorola 527,751 15,338
Network Appliance* 74,700 6,013
Nextel Communications, Cl A* 185,900 11,375
Nortel Networks 726,400 49,577
Qualcomm* 181,700 10,902
SBC Communications 834,085 36,074
Scientific-Atlanta 39,068 2,911
Sprint 215,000 10,965
Sprint (PCS Group)* 224,400 13,352
Tellabs* 100,400 6,871
US West 124,516 10,677
Viacom, Cl B* 373,979 25,501
Worldcom* 702,010 32,205
--------
386,653
--------
TESTING LABORATORIES--0.0%
Quintiles Transnational* 28,300 400
--------
TOYS--0.1%
Hasbro 42,167 635
Mattel 104,365 1,376
--------
2,011
--------
TRAVEL SERVICE--0.0%
Sabre Holdings* 31,632 902
--------
TRUCKING & LEASING--0.0%
Ryder System 14,630 277
--------
UTILITIES, ELECTRIC & GAS--1.5%
American Electric Power 78,865 2,336
Cinergy 39,092 994
Columbia Gas System 19,772 1,298
DTE Energy 34,935 1,068
--------------------------------------------------------------------------------
83
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX FUND (CONCLUDED)
--------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
Duke Power 90,106 $ 5,080
Eastern Enterprises 6,691 422
Edison International 81,440 1,670
Enron 179,468 11,576
Entergy 56,420 1,534
FPL Group 43,728 2,165
GPU 29,700 804
Nicor 11,400 372
Northern States Power 38,520 778
PECO Energy 41,575 1,676
Peoples Energy 8,740 283
PG&E 94,445 2,326
Public Service Enterprise 53,083 1,838
Southern 159,026 3,707
UNICOM 43,595 1,687
Williams 108,290 4,514
---------
46,128
---------
WHOLESALE--0.4%
Cardinal Health 67,558 4,999
Huttig Building Products* 0
McKesson HBOC 69,091 1,447
Safeway* 121,700 5,492
---------
11,938
---------
Total Common Stocks
(Cost $1,714,070) 3,063,443
---------
U.S. TREASURY OBLIGATION--0.1%
United States Treasury Bill (A)
5.840%, 12/07/00 $3,500 3,409
---------
Total U.S. Treasury Obligation
(Cost $3,408) 3,409
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION PAR (000) VALUE (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT--0.7%
J.P. Morgan 6.100%, dated 06/30/00,
matures 07/03/00, repurchase price
$20,431,171 (collateralized by various
FNMA Obligations, total par value
$22,785,787, 6.000%-7.000%,
10/01/28-01/01/30, total market
value $20,828,207) $20,421 $ 20,421
----------
Total Repurchase Agreement
(Cost $20,421) 20,421
----------
Total Investments--100.0%
(Cost $1,737,899) 3,087,273
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY, OR PORTION THEREOF, IS PLEDGED AS COLLATERAL ON OPEN FUTURES
CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
--------------------------------------------------------------------------------
84
<PAGE>
[logo omitted]
JUNE 30, 2000
STATEMENTS OF ASSETS AND LIABILITIES (000) (UNAUDITED)
AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
---------------------------------------------------------------
SEI INSTITUTIONAL SEI INDEX FUNDS
MANAGED TRUST HIGH YIELD S&P 500 INDEX
BOND FUND FUND
---------------------------------------------------------------
ASSETS:
<S> <C> <C>
Investments at value (cost $780,994 and
$1,737,899 respectively) $705,338 $3,087,273
Cash 46 --
Accrued income 16,889 2,632
Investment Securities sold 6,834 5,758
Capital shares sold -- 274
Income and other receivables 212 207
---------------------------------------------------------------
Total assets 729,319 3,096,144
---------------------------------------------------------------
LIABILITIES:
Income distributions payable 5,856 --
Investment securities purchased 12,128 2,828
Accrued expenses 710 885
Capital shares redeemed -- 434
Payable to custodian -- 352
Other liabilities 40 --
----------------------------------------------------------------
Total liabilities 18,734 4,499
---------------------------------------------------------------
Total net assets $710,585 $3,091,645
---------------------------------------------------------------
NET ASSETs:
Portfolio Shares of Class A (unlimited authorization --
no par value) based on 75,797,788 and 22,333,286
outstanding shares of beneficial interest, respectively 798,047 736,301
Portfolio Shares of Class E (unlimited authorization--
no par value) based on 0 and 46,193,406 outstanding
shares of beneficial interest, respectively -- 917,327
Undistributed net investment income -- 6,835
Accumulated net realized gain (loss) on investments (11,806) 81,856
Net unrealized appreciation (depreciation) on investments (75,656) 1,349,374
Net unrealized depreciation on futures -- (48)
---------------------------------------------------------------
Total Net Assets--100.0% $710,585 $3,091,645
===============================================================
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $9.37 $45.03
===============================================================
Net Asset Value, Offering and Redemption Price
Per Share -- Class E $ -- $45.16
===============================================================
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
--------------------------------------------------------------------------------
85
<PAGE>
NOTES
--------------------------------------------------------------------------------
<PAGE>
NOTES
--------------------------------------------------------------------------------
<PAGE>
NOTES
--------------------------------------------------------------------------------
<PAGE>
[blank page]
<PAGE>
[logo omitted]
INVESTMENT ADVISOR
Summit Bank (NJ)
ADMINISTRATOR
SEI Investments Mutual Fund Services
Oaks, PA 19456
DISTRIBUTOR
SEI Investments Distribution Co.
Oaks, PA 19456
www.pillarfunds.com
Summit Bank (NJ) serves as investment advisor and custodian for The Pillar
Funds and receives fees for such services as disclosed in the prospectus.
SEI Investment Distribution Co. is not affiliated with Summit Bank.
The Pillar Funds, Pillar, the stylized "P" logo and Your Investment Foundation
are registered service marks of Summit Bank. pillarfunds.com is a service
mark of Summit Bank. Summit, Summit Bank, Summit Bancorp,
summitbank.com and Reach Higher are registered service marks of Summit Bancorp.
This information must be preceded or accompanied
by a current prospectus. For more information call,
1-800-932-7782. Read it carefully before you invest or send money.
Not FDIC Insured o No Bank Guarantee o May Lose Value
PIL-F-008-09
