Annual Report - SEI
Annual Report - SEI
Annual Report - SEI
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EAFE Equity Fund<br />
Statement of Investment Portfolio<br />
AS AT DECEMBER 31, 2009<br />
SCHEDULE OF LONG FUTURES CONTRACTS*<br />
Unrealized<br />
Number Average Cost Contracted Current Appreciation<br />
of per Contract Value Value (Depreciation)<br />
Contracts $ $ $ $<br />
Unrealized Appreciation<br />
Amsterdam Exchanges Index<br />
expiration date January 2010 4 EUR 327.15 393,658 403,706 10,048<br />
Australian SPI 200 Index<br />
expiration date March 2010 13 AUD 4,614.38 1,413,944 1,494,721 80,777<br />
Belgium 20 Index<br />
expiration date January 2010 5 EUR 2,494.70 187,616 189,015 1,399<br />
British FTSE 100 Index<br />
expiration date March 2010 40 GBP 5,196.45 3,518,886 3,630,653 111,767<br />
Denmark KFX Copenhagen Share Index<br />
expiration date January 2010 46 DKK 335.44 311,911 312,707 796<br />
French Matif CAC 40 Index<br />
expiration date January 2010 29 EUR 3,838.76 1,674,447 1,717,735 43,288<br />
FTSE MIB Index<br />
expiration date March 2010 3 EUR 22,725.00 512,717 525,306 12,589<br />
German Eurex Deutschland DAX Index<br />
expiration date March 2010 6 EUR 5,864.00 1,323,024 1,344,571 21,547<br />
Hong Kong Hang Seng Index<br />
expiration date March 2010 5 HKD 21,187.20 716,129 741,067 24,938<br />
Japanese TOPIX Index<br />
expiration date March 2010 34 JPY 890.69 3,410,237 3,463,119 52,882<br />
Spanish IBEX 35 Index<br />
expiration date January 2010 5 EUR 11,660.00 876,902 896,756 19,854<br />
Swedish OMX Index<br />
expiration date January 2010 45 SEK 946.52 625,379 629,332 3,953<br />
Swiss SMI Soffex Index<br />
expiration date March 2010 19 CHF 6,424.05 1,237,808 1,250,515 12,707<br />
396,545<br />
Unrealized Appreciation (Depreciation) on Long Futures Contracts purchased 396,545<br />
SCHEDULE OF SPOT CONTRACTS**<br />
Unrealized<br />
Credit<br />
Appreciation<br />
Rating of Settlement Amount Amount Forward Current (Depreciation)<br />
Counterparty Counterparty 1 Date Sold Bought Rate Rate $<br />
Bank of New York Mellon Corp. A1+ 2010/01/04 HKD 156,169 CAD 20,950 7.454 7.396 (164)<br />
Bank of New York Mellon Corp. A1+ 2010/01/05 HKD 487,228 CAD 65,894 7.394 7.396 21<br />
Bank of New York Mellon Corp. A1+ 2010/01/05 HKD 446,404 CAD 60,641 7.361 7.396 287<br />
Deutsche Bank AG A1 2010/01/06 JPY 460,724 USD 4,989 92.348 93.093 42<br />
Deutsche Bank AG A1 2010/01/06 USD 85,696 EUR 59,838 1.432 1.435 165<br />
UBS AG A1 2010/01/05 USD 25,268 EUR 17,600 1.436 1.435 (18)<br />
UBS AG A1 2010/01/06 USD 24,497 JPY 2,261,803 0.011 0.011 (211)<br />
122<br />
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS<br />
Unrealized<br />
Credit<br />
Appreciation<br />
Rating of Settlement Amount Amount Forward Current (Depreciation)<br />
Counterparty Counterparty 1 Date Sold Bought Rate Rate $<br />
Westpac Banking Corp., Sydney A1+ 2010/01/25 AUD 2,555,000 USD 2,289,702 1.116 1.114 (3,478)<br />
Westpac Banking Corp., Sydney A1+ 2010/01/25 USD 2,347,176 AUD 2,555,000 0.919 0.897 (56,774)<br />
(60,252)<br />
1<br />
Commercial paper rating per Standard and Poor’s Commercial Paper Guide.<br />
* There are no collateral held by counterparties with respect to the future contracts.<br />
**The Unrealized appreciation (depreciation) on spot contracts is included in the Other Assets and Liabilities in the Statement of Investment Portfolio.<br />
(See accompanying notes)<br />
SEEF<br />
54
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