Annual Report - SEI

U.S. MidCap Synthetic Fund
Statement of Investment Portfolio
AS AT DECEMBER 31, 2009
Par Interest Maturity Average Fair
Value Rate Date Cost Value
$ % $ $
SHORT-TERM NOTES – 100.5%
Bank of Montreal Bankers’ Acceptance 300,000 0.376 2010/03/16 299,787 299,769
Bank of Montreal Bearer Deposit Note 300,000 0.374 2010/03/10 299,784 299,788
Bank of Montreal Bearer Deposit Note 1,300,000 0.377 2010/03/18 1,299,053 1,298,970
Bank of Nova Scotia Bearer Deposit Note 1,500,000 0.376 2010/03/15 1,498,800 1,498,861
Bank of Nova Scotia Bearer Deposit Note 900,000 0.376 2010/03/17 899,271 899,297
Bay Street Funding Trust Discount Note 400,000 0.749 2010/03/12 399,600 399,419
Bay Street Funding Trust Discount Note 500,000 0.757 2010/03/25 499,490 499,131
Borealis Financial Trust Discount Note 400,000 0.471 2010/01/14 399,720 399,928
Borealis Financial Trust Discount Note 300,000 0.492 2010/03/01 299,787 299,758
Canadian Imperial Bank of Commerce Bankers’ Acceptance 1,600,000 0.376 2010/03/17 1,598,896 1,598,750
Canadian Imperial Bank of Commerce Bankers’ Acceptance 800,000 0.377 2010/03/18 799,408 799,366
Canadian Master Trust Series ‘A’ Discount Note 500,000 0.722 2010/01/11 499,852 499,892
Care Trust Series ‘A’ Discount Note 700,000 0.722 2010/01/13 699,188 699,821
Diversified Trust Discount Note 600,000 0.494 2010/03/05 599,442 599,482
Diversified Trust Discount Note 200,000 0.502 2010/03/17 199,802 199,792
Diversified Trust Discount Note 100,000 0.507 2010/03/25 99,897 99,884
Firstbank Bankers’ Acceptance 400,000 0.380 2010/03/29 399,720 399,635
GE Capital Canada Funding Co. Discount Note 700,000 0.361 2010/01/04 698,985 699,972
Government of Canada Treasury Bill 500,000 0.150 2010/01/07 499,745 499,986
Government of Canada Treasury Bill 14,950,000 0.182 2010/03/18 14,942,535 14,944,275
HSBC Bank Canada Bearer Deposit Note 800,000 0.415 2010/03/22 799,368 799,265
HSBC Bankers’ Acceptance 600,000 0.421 2010/03/31 599,514 599,379
National Bank of Canada Bankers’ Acceptance 800,000 0.373 2010/03/08 799,448 799,453
National Bank of Canada Bankers’ Acceptance 700,000 0.376 2010/03/15 699,503 699,468
Omers Realty Corp. Discount Note 300,000 0.471 2010/01/08 299,901 299,969
Plaza Trust Discount Note 300,000 0.722 2010/01/26 299,601 299,846
Plaza Trust Discount Note 200,000 0.757 2010/03/25 199,794 199,653
Province of Quebec Treasury Bill 1,000,000 0.213 2010/03/19 999,460 999,547
Ridge Trust Series ‘A’ Discount Note 500,000 0.749 2010/03/12 499,525 499,274
Ridge Trust Series ‘A’ Discount Note 300,000 0.757 2010/03/25 299,691 299,479
Stars Trust Series ‘A’ Discount Note 500,000 0.722 2010/01/29 499,780 499,714
Stars Trust Series ‘A’ Discount Note 300,000 0.728 2010/02/09 299,805 299,761
Storm King Funding Discount Note 800,000 0.759 2010/03/29 799,208 798,539
Summit Trust Discount Note 800,000 0.501 2010/03/15 799,208 799,190
Total Short-Term Notes 34,826,568 34,828,313
Total Investments – 100.5% 34,826,568 34,828,313
Unrealized Appreciation (Depreciation) on Futures Contracts* – 1.9% 667,463
Other Assets and Liabilities, Net – (2.4%) (826,412)
Net Assets – 100.0% 34,669,364
SCHEDULE OF LONG FUTURES CONTRACTS*
Unrealized
Number Average Cost Contracted Current Appreciation
of per Contract Value Value (Depreciation)
Contracts $ $ $ $
Unrealized Appreciation
United States S&P MidCap 400 E-Mini Index
expiration date March 2010 457 USD 706.07 33,827,445 34,494,908 667,463
Unrealized Appreciation (Depreciation) on Long Futures Contracts 667,463
*$3,850,000 of Canada Treasury Bills are held as collateral by counterparties with respect to the futures contracts.
SMSF
(See accompanying notes)
120