Annual Report - SEI

U.S. MidCap Synthetic Fund
Notes to Statement of Investment Portfolio
AS AT DECEMBER 31, 2009 AND 2008
Currency Risk
The table below indicates the currencies to which the Fund had exposure as at December 31, 2009 and 2008 on its trading monetary, non-monetary assets and liabilities, as well as the underlying principle
amount of forward currency contracts.
Currency risk exposed holdings* Forward foreign exchange contracts Total Exposure As a % of Net Assets
2009 2008 2009 2008 2009 2008 2009 2008
U.S. Dollar 2,291,676 2,420,135 — — 2,291,676 2,420,135 6.52% 2.12%
*Amounts include monetary and non-monetary items.
As at December 31, 2009, had the Canadian dollar strengthened or weakened by 5% (2008 – 5%) in relation to all currencies, with all other variables held constant, net assets would have decreased or
increased, respectively, by approximately $91,108 (2008 – $121,007). 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 as at December 31, 2009 and 2008. It includes the Fund’s assets at fair values, categorized by the maturity dates. The Fund’s exposure
to interest rate risks is through its holdings in short term debt securities.
Short-term debt securities 2009 2008
Less than 1 year 34,828,313 114,360,018
1-3 years — —
3-5 years — —
> 5 years — —
Total 34,828,313 114,360,018
Other Price Risk
As at December 31, 2009, a 10% (2008 – 10%) increase or decrease in equity prices on the U.S. stock exchanges would have increased or decreased the Fund’s Net Assets by $3,449,491
(2008 – $11,255,554). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.
Credit Risk
As at December 31, 2009 and 2008, the Fund invested in debt instruments with the following credit ratings:
Short-term debt securities by credit rating 2009 2008
R-1(H) 90.08% 82.10%
R-1(M) 9.23% 11.61%
R-1(L) 0.00% 0.00%
U 1.15% 6.37%
Total 100.46% 100.08%
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 34,828,313 — — 34,828,313
Bonds — — — —
Investments in funds — — — —
Total Investments $ 34,828,313 $ — $ — $ 34,828,313
Derivative assets 667,463 — — 667,463
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.
SMSF
(See accompanying notes)
122