Annual Report - SEI

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Long Duration Bond Fund Statement of Investment Portfolio AS AT DECEMBER 31, 2009 BONDS – 97.4% Government of Canada Bonds – 97.4% Government of Canada, Zero Coupon 27,980,000 2022/12/01 16,814,153 16,133,893 Government of Canada, Zero Coupon 54,030,000 2023/06/01 31,813,375 30,605,184 Government of Canada, Zero Coupon 67,275,000 2023/06/01 40,679,185 37,724,543 Government of Canada, Zero Coupon 34,690,000 2023/12/01 20,458,965 19,016,979 Government of Canada, Zero Coupon 29,435,000 2024/06/01 16,919,294 15,710,115 Government of Canada, Zero Coupon 68,965,000 2024/12/01 38,271,333 35,873,594 Government of Canada, Zero Coupon 10,325,000 2025/06/01 5,338,541 5,212,936 Government of Canada, Zero Coupon 50,765,000 2025/06/01 27,380,263 25,775,056 Government of Canada, Zero Coupon 62,075,000 2025/12/01 32,580,834 30,708,870 Government of Canada, Zero Coupon 92,525,000 2026/06/01 47,484,868 44,691,042 Government of Canada, Zero Coupon 24,745,000 2027/06/01 12,124,395 11,435,676 Government of Canada, Zero Coupon 16,489,000 2027/12/01 7,913,705 7,451,785 Government of Canada, Zero Coupon 22,155,000 2028/12/01 10,048,468 9,571,348 Government of Canada, Zero Coupon 14,405,000 2029/06/01 6,335,407 6,075,983 Government of Canada, Zero Coupon 10,500,000 2029/12/01 4,423,184 4,332,543 Total Bonds 318,585,970 300,319,547 Short-Term Notes* – 0.2% 549,715 549,931 Total Investments – 97.6% 319,135,685 300,869,478 Other Assets and Liabilities, Net – 2.4% 7,407,165 Net Assets – 100.0% 308,276,643 *Short Term Notes earn interest at rates ranging from 0.291% to 0.924% and mature from January 21, 2010 to February 18, 2010. Par Maturity Average Fair Value Date Cost Value $ $ $ Summary of Investment Portfolio AS AT DECEMBER 31, 2008 All portfolio categories are included in the following table. Portfolio by Category Percentage of Net Assets (%) Government of Canada Bonds 75.6 Other Assets and Liabilities, Net 24.4 100.0 SLDB (See accompanying notes) 82
Long Duration Bond Fund Notes to Statement of Investment Portfolio AS AT DECEMBER 31, 2009 AND 2008 Currency Risk As at December 31, 2009 and 2008, the Fund invested primarily in Canadian securities. Thus, the Fund did not have any significant exposures to foreign currencies as at year end on both its trading monetary and non-monetary assets and liabilities. Interest Rate Risk The table below summarizes the Fund’s exposure to interest rate risk. It includes the Fund’s assets and trading liabilities at fair values, categorized by the earlier of contractual re-pricing or maturity dates. Bonds 2009 2008 Less than 1 year — — 1-3 years — — 3-5 years — — > 5 years 300,319,547 112,947,311 Total 300,319,547 112,947,311 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 $45,698,088 (2008 – $17,228,129). In practice, the results may differ from this sensitivity analysis and the difference could be material. Other Price Risk As at December 31, 2009 and 2008, the Fund is not exposed to significant other price risk as the Fund only holds debt securities. Credit Risk As at December 31, 2009 and 2008, the Fund invested in debt securities with the following credit ratings: Debt securities by credit rating 2009 2008 AAA 97.42% 75.61% AA 0.00% 0.00% A 0.00% 0.00% BBB 0.00% 0.00% Below BBB 0.00% 0.00% Unrated 0.00% 0.00% Total 97.42% 75.61% 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 549,931 — — 549,931 Bonds — 300,319,547 — 300,319,547 Investments in funds — — — — Total Investments $ 549,931 $ 300,319,547 $ — $ 300,869,478 Derivative assets — — — — Derivative liabilities — — — — 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. (See accompanying notes) SLDB 83
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Annual Report for the period ended
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March 9, 2010 Auditors’ Report Pr
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Canadian Equity Fund Statement of I
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Canadian Equity Fund Summary of Inv
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Canadian Equity Fund Statements of
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Canadian Small Company Equity Fund
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U.S. Large Company Equity Fund Stat
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Page 66 and 67: Emerging Markets Equity Fund Summar
Page 70 and 71: Canadian Fixed Income Fund Statemen
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Page 86 and 87: Real Return Bond Fund Statement of
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Income 100 Fund Statements of Net A
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Income 20/80 Fund Statement of Inve
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Income 20/80 Fund Statements of Net
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Income 20/80 Fund Statements of Cha
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Income 30/70 Fund Notes to Statemen
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Conservative Monthly Income Fund No
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Conservative Monthly Income Fund St
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Income 40/60 Fund Notes to Statemen
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Balanced 50/50 Fund Statement of In
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Balanced 50/50 Fund Statements of N
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Balanced 60/40 Fund Statement of In
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Balanced 60/40 Fund Statements of N
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Balanced 60/40 Fund Statements of C
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Balanced Monthly Income Fund Notes
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Balanced Monthly Income Fund Statem
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Growth 70/30 Fund Notes to Statemen
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Growth 70/30 Fund Statements of Cha
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Growth 80/20 Fund Notes to Statemen
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Growth 80/20 Fund Statements of Cha
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Growth 100 Fund Statement of Invest
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Growth 100 Fund Statements of Net A
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Growth 100 Fund Statements of Chang
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Global Growth 100 Fund Notes to Sta
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Global Growth 100 Fund Statements o
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Notes to Financial Statements FOR T
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Annual Report - SEI

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