Annual Report - SEI

U.S. High Yield Bond Fund
Notes to Statement of Investment Portfolio
AS AT DECEMBER 31, 2009
Currency Risk
The table below indicates the currencies to which the Fund had exposure as at December 31, 2009, on both its trading monetary and non-monetary assets and liabilities.
Currency risk exposed holdings Forward foreign exchange contracts Total Exposure As a % of Net Assets
(including derivatives)*
U.S. Dollar 115,664,298 — 115,664,298 98.39%
*Amounts include monetary and non-monetary items.
As at December 31, 2009, had the Canadian dollar strengthened or weakened by 5% in relation to all currencies, with all other variables held constant, net assets would have decreased or increased,
respectively, by approximately $5,783,215. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.
Interest Rate Risk
The table below summarizes the Fund’s exposure to interest rate risks. It includes the Fund’s assets and trading liabilities at fair values, categorized by the earlier of contractual re-pricing or maturity dates.
Bonds 2009 2008
Less than 1 year 669,634 —
1-3 years 8,724,819 —
3-5 years 26,403,445 —
> 5 years 69,814,122 —
Total 105,612,020 —
As at December 31, 2009, had the prevailing interest rates raised or lowered by 1%, with all other variables held constant, net assets would have decreased or increased, respectively, by approximately
$4,911,275. In practice, the results may differ from this sensitivity analysis and the difference could be material.
Other Price Risk
As at December 31, 2009, the Fund did not have exposure to significant other price risk as the Fund invested primarily in debt securities.
Credit Risk
As at December 31, 2009, the Fund invested in debt securities with the following credit ratings:
Debt securities by credit rating 2009
AAA 0.00%
AA 0.30%
A 0.12%
BBB 1.87%
Below BBB 87.53%
Unrated 0.03%
Total 89.85%
Credit ratings are obtained from Bloomberg general rates which are a blend of Standard & Poor’s, Moody’s and/or Dominion Bond Rating Services.
Fair Value Measurements
The following table summarizes the inputs used as of December 31, 2009 in valuing the Fund’s investments and derivatives carried at fair values:
Quoted prices in active markets Significant other observable inputs Significant unobservable inputs
for identical assets (Level 1) (Level 2) (Level 3) Total
Common shares $ — $ — $ — $ —
Preferred shares — — — —
Short-term notes — — — —
Bonds — 105,612,020 — 105,612,020
Investments in funds — — — —
Total Investments $ — $ 105,612,020 $ — $ 105,612,020
Derivative assets — — — —
Derivative liabilities — — — —
During the year ended December 31, 2009, no equity investments were transferred between Level 1 and Level 2.
During the year ended December 31, 2009, the Fund did not hold any investments classified within Level 3.
SUHY
(See accompanying notes)
103