Annual Report - SEI

Money Market Fund
Notes to Statement of Investment Portfolio
AS AT DECEMBER 31, 2009 AND 2008
Currency Risk
As at December 31, 2009 and 2008, the Fund invested primarily in Canadian securities. Thus, the Fund did not have any significant exposures to foreign currencies as at year end on both its trading
monetary and non-monetary assets and liabilities.
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 5,628,033 —
1-3 years 34,614,608 —
3-5 years 11,431,731 —
> 5 years — —
Total 51,674,372 —
As at December 31, 2009, had the Canadian dollar strengthened or weakened by 1% (2008 – 1%) in relation to all currencies, with all other variables held constant, net assets would have decreased or
increased, respectively, by approximately $194,898 (2008 – $0). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.
Other Price Risk
As at December 31, 2009 and 2008, the Fund did not have significant exposure to other price risk as the Fund invested primarily in bonds and short term notes.
Credit Risk
As at December 31, 2009 and 2008, the Fund invested in short-term debt securities and bonds with the following credit ratings:
Short-term debt securities by credit rating 2009 2008
R-1(H) 31.43% 68.35%
R-1(M) 34.65% 15.79%
R-1(L) 10.37% 15.92%
U 0.58% 0.00%
Total 77.03% 100.05%
As at December 31, 2009 and 2008, the Fund invested in debt instruments with the following credit ratings:
Debt securities by credit rating 2009 2008
AAA 3.50% 0.00%
AA 26.68% 0.00%
A 0.00% 0.00%
BBB 0.00% 0.00%
Below BBB 0.00% 0.00%
Unrated 0.00% 0.00%
Total 30.18% 0.00%
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 131,907,490 — — 131,907,490
Bonds — 51,674,372 — 51,674,372
Investments in funds — — — —
Total Investments $ 131,907,490 $ 51,674,372 $ — $ 183,581,862
Derivative assets — — — —
Derivative liabilities — — — —
During the year ended December 31, 2009, no 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.
(See accompanying notes)
SMMF
107