Annual Report - SEI

Enhanced Global Bond 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 both its trading monetary and 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 3,374,886 4,432,805 1,152,688 6,856,500 4,527,574 11,289,305 33.99% 13.34%
Euro Currency Unit 3,998,862 4,292,272 457,792 31,231,872 4,456,654 35,524,144 33.46% 41.98%
Japanese Yen 1,432,854 1,723,697 2,179,546 27,474,100 3,612,400 29,197,797 27.12% 34.50%
Norwegian Krone (47) — 529,363 458,689 529,316 458,689 3.97% 0.54%
Australian Dollar (65) — 253,105 (1,036,127) 253,040 (1,036,127) 1.90% -1.22%
British Pound 427,054 507,313 (287,827) 3,119,104 139,227 3,626,417 1.05% 4.29%
Polish Zloty — — 374,535 836,760 374,535 836,760 2.81% 0.99%
Danish Krone — — 137,723 767,907 137,723 767,907 1.03% 0.91%
Swiss Franc — — 62,785 577,199 62,785 577,199 0.47% 0.68%
Swedish Krona — — 85,223 332,818 85,223 332,818 0.64% 0.39%
Singapore Dollar — — 51,231 285,865 51,231 285,865 0.38% 0.34%
New Zealand Dollar — — — (907,405) — (907,405) 0.00% -1.07%
*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 $711,488 (2008 – $4,047,668). 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 risk. It includes the Fund’s assets at fair values, categorized by the maturity dates.
Bond futures and short-term debt securities 2009 2008
Less than 1 year 12,444,076 83,038,500
1-3 years 2,202,884 33,371,257
3-5 years 1,438,959 49,994,972
> 5 years 10,882,080 41,165,095
Total 26,967,999 207,569,824
As at December 31, 2009, had the prevailing interest rates raised or lowered by 1% (2008 – 1%), with all other variables held constant, net assets would have decreased or increased, respectively, by
approximately $838,319 (2008 – $5,746,835). In practice, the actual results may differ from this sensitivity analysis and the difference could be material.
Other Price Risk
As at December 31, 2009, a 5% (2008 – 5%) increase or decrease in equity prices on the global stock exchanges would have increased or decreased the Fund’s Net Assets by $726,196
(2008 – $6,226,566). 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 short-term debt securities with the following credit ratings:
Short-term debt securities by credit rating 2009 2008
R-1 (H) 93.42% 98.12%
Total 93.42% 98.12%
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 12,444,076 — — 12,444,076
Bonds — — — —
Investments in funds — — — —
Total Investments $ 12,444,076 $ — $ — $ 12,444,076
Derivative assets — — — —
Derivative liabilities (122,007) (151,460) — (273,467)
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.
SEGB
(See accompanying notes)
127