Annual Report - SEI

Canadian Fixed Income Fund
During the year ended December 31, 2009, the reconciliation of investments measured at fair value using unobservable inputs (Level 3) is presented as follows:
Beginning Balance $ 22,380,482
Purchases —
Sales (19,218,159)
Net transfers into and/or out of Level 3 —
Realized gains/(losses) (26,781,893)
Change in unrealized appreciation/depreciation 23,619,570
Ending Balance (December 31, 2009) $ —
Total change in unrealized appreciation during the period
for assets held at December 31, 2009 $ —
Non-Bank Sponsored ABCP
During the fourth quarter of 2009, a market began to develop for certain classes of Master Asset Vehicles (MAV’s) floating rate notes which were held in the Fund as a result of the restructuring
of the Canadian third party asset backed commercial paper market in January 2009. The Fund’s MAV 2 (Class A-1, A-2 and B) and MAV 3 (Class C) notes with a face value of $46.5 million and an estimated
fair value of $22.4 million as at December 31, 2008. These notes were sold for net proceeds of $19.2 million in mid-November 2009 resulting in a realized loss of $26.8 million which has been included
in “Realized gain(loss) on Sales of Investments” in the Statement of Operations for the year ended December 31, 2009. As at December 31, 2009, the Fund has no remaining holdings in MAV assets.
Total
(See accompanying notes)
SCFI
79