Annual Report - SEI
Annual Report - SEI
Annual Report - SEI
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Long Duration Bond Fund<br />
Notes to Statement of Investment Portfolio<br />
AS AT DECEMBER 31, 2009 AND 2008<br />
Currency Risk<br />
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<br />
monetary and non-monetary assets and liabilities.<br />
Interest Rate Risk<br />
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.<br />
Bonds 2009 2008<br />
Less than 1 year — —<br />
1-3 years — —<br />
3-5 years — —<br />
> 5 years 300,319,547 112,947,311<br />
Total 300,319,547 112,947,311<br />
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<br />
approximately $45,698,088 (2008 – $17,228,129). In practice, the results may differ from this sensitivity analysis and the difference could be material.<br />
Other Price Risk<br />
As at December 31, 2009 and 2008, the Fund is not exposed to significant other price risk as the Fund only holds debt securities.<br />
Credit Risk<br />
As at December 31, 2009 and 2008, the Fund invested in debt securities with the following credit ratings:<br />
Debt securities by credit rating 2009 2008<br />
AAA 97.42% 75.61%<br />
AA 0.00% 0.00%<br />
A 0.00% 0.00%<br />
BBB 0.00% 0.00%<br />
Below BBB 0.00% 0.00%<br />
Unrated 0.00% 0.00%<br />
Total 97.42% 75.61%<br />
Credit ratings are obtained from Bloomberg general rates which are a blend of Standard & Poor’s, Moody’s and/or Dominion Bond Rating Services.<br />
Fair Value Measurements<br />
The following table summarizes the inputs used as of December 31, 2009 in valuing the Fund’s investments and derivatives carried at fair values:<br />
Quoted prices in active markets Significant other observable inputs Significant unobservable inputs<br />
for identical assets (Level 1) (Level 2) (Level 3) Total<br />
Common shares $ — $ — $ — $ —<br />
Preferred shares — — — —<br />
Short-term notes 549,931 — — 549,931<br />
Bonds — 300,319,547 — 300,319,547<br />
Investments in funds — — — —<br />
Total Investments $ 549,931 $ 300,319,547 $ — $ 300,869,478<br />
Derivative assets — — — —<br />
Derivative liabilities — — — —<br />
During the year ended December 31, 2009, no investments were transferred between Level 1 and Level 2.<br />
During the year ended December 31, 2009, the Fund did not hold any investments classified within Level 3.<br />
(See accompanying notes)<br />
SLDB<br />
83
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