N-30D 1 sipt12_01.txt SIPT12_01 [GRAPHIC OMITTED] SEI INVESTMENTS SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) VAR-F-006 (12/01) [GRAPHIC OMITTED] SEI INVESTMENTS Annual Report as of December 31, 2001 SEI Insurance Products Trust SEI VP Large Cap Value Fund SEI VP Large Cap Growth Fund SEI VP Small Cap Value Fund SEI VP Small Cap Growth Fund SEI VP International Equity Fund SEI VP Emerging Markets Equity Fund SEI VP Core Fixed Income Fund SEI VP High Yield Bond Fund SEI VP International Fixed Income Fund SEI VP Emerging Markets Debt Fund SEI VP Prime Obligation Fund Table of Contents ------------------------------------------------------------------ Management's Discussion and Analysis of Fund Performance 1 ------------------------------------------------------------------ Report of Independent Public Accountants 17 ------------------------------------------------------------------ Statements of Net Assets/Schedules of Investments 18 ------------------------------------------------------------------ Statements of Assets and Liabilities 57 ------------------------------------------------------------------ Statements of Operations 58 ------------------------------------------------------------------ Statements of Changes in Net Assets 60 ------------------------------------------------------------------ Financial Highlights 64 ------------------------------------------------------------------ Notes to Financial Statements 65 ------------------------------------------------------------------ Trustees of theTrust 73 ------------------------------------------------------------------ Notice to Shareholders 74 ------------------------------------------------------------------ MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Large Cap Value Fund Objective The SEI VP Large Cap Value Fund seeks to provide long-term growth of capital and income by investing in the equity securities of large companies. The Fund invests primarily in a diversified portfolio of high quality, income producing common stocks, which in the adviser's opinion, are undervalued in the marketplace at the time of purchase. Strategy With respect to this Fund, SEI Financial Management Corporation employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of whom has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub style to the Fund. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value. Deustche Asset Management invests in large cap value stocks that are representative of the market. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk, and must therefore be weighted accordingly. Analysis The SEI VP Large Cap Value Fund posted a -2.91% return for the year ending December 31, 2001, significantly out performing its benchmark, the Russell 1000 Value Index, which had a return of -5.59% over the same time period. The year ending December 31, 2001, marked the second consecutive year for negative absolute returns for the broader equity indices. Over the last two years value stocks continued to outperform growth stocks reversing the trend experienced in 1998-1999. Aggressive Federal Reserve rate cuts were not enough to stimulate the economy which officially fell into a recession earlier this year. Technology stocks continued to see their prices correct as companies continued to slash inflated inventories and expenses as capital spending came to a halt. Energy stocks were also hit hard as Enron's collapse tarnished the entire industry. Airline stocks also were hit hard following the September 11th tragedy. The consumer was one of the few bright spots in 2001, holding up remarkably well despite increased unemployment levels, higher debt burdens and anxiety following September 11th. Retail stocks and household durables both performed well in the previous 12 months. The Fund outperformed the Russell 1000 Value Index for the year due to both strong stock selection and beneficial industry positioning. Stock selection with the financial services industry was the primary contributor as the Fund's exposure to Heller Financial which was acquired during the year significantly enhanced results. An overweight to Bear Stearns, Household International and Lehman Brothers Holdings also positively contributed. Another acquisition which benefited the Fund was Ultramar Diamond Shamrock in the oil & gas industry. Finally stock selection with the food retailing industry positively contributed as the Fund's position in Supervalu and Albertson's proved beneficial. The Fund although not having many significant industry exposures did benefit during the year by being underweight the telecommunications industry and overweighting household durables. During the year SEI replaced Mellon Equity with Deutsche Asset Management in order to enhance the structure of the Fund. SEI VP Large Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Large Cap Fund Value Fund -2.91% 3.41% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Large Cap Value Fund, versus the Russell 1000 Value Index, the S&P 500/BARRA Value Index, and the S&P 500 Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Russell 1000/ S&P 500/ S&P Large Cap Value Barra 500 Value Fund Index Value Index Index ---------- ------------ ----------- ------- 04/30/00 $10,000 $10,000 $10,000 $10,000 12/31/00 11,073 10,775 10,656 9,163 12/31/01 10,751 10,173 9,408 8,074 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Large Cap Growth Fund Objective The investment objective of the SEI VP Large Cap Growth Fund is capital appreciation by investing in the equity securities of large companies. The Fund invests in the securities of issuers believed to possess significant growth potential. Strategy With respect to this Fund, SEI Financial Management employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through different investment approaches, each sub-adviser contri-butes a unique expertise or sub-style to the Fund. Alliance Capital Management invests in large cap growth stocks that are representative of the market, exhibit strong relative earnings strength and are reasonably priced. Peregrine Capital Management invests in large cap stocks that have sustainable above-average growth over the next five to seven years, are industry leaders and exhibit strong unit volume growth. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk, and must therefore be weighted accordingly, so that the overall strategy is risk neutral to the fund's benchmark. Analysis The SEI VP Large Cap Growth Fund posted a return of -27.14% for the year ending December 31, 2001, underperforming its benchmark, the Russell 1000 Growth Index, which had a return of -20.42 % over the same time period. Growth stocks for the second consecutive year saw negative absolute returns as investors grappled with continued economic slowdown, falling capital expenditures and the tragedy on September 11th. Aggressive rate cuts by the Federal Reserve and a monetary stimulus in the form of tax rebates were not enough to stimulate an economy which continued to digest many of the excesses that developed during the speculative internet bubble. Technology stocks were the hardest hit in the following year as capital spending came to a halt and companies worked aggressively to reduce inflated inventories. The telecom-munication industry took the brunt of the sell off as many of those companies continue to struggle with over capacity and intense pricing competition. Retail stocks provided a safe haven for investors as consumers shook off rising unemployment, higher debt levels and September 11th. Also providing shelter during the year were food and beverage related stocks. The SEI VP Large Cap Growth Fund underperformed the Russell 1000 Growth Index as a result of both difficult stock selection and industry positioning. SEI's sub-advisors underestimated the severity of the downturn and were hampered by an overweight to economically cyclical stocks in anticipation of a quicker economic recovery. Stock selection within the technology sector proved the most detrimental as the Fund had an overweight to EMC-Mass, Juniper Networks, Brocade Communications, Solectron, Mercury Interactive and Veritas Software, which all saw their prices fall precipitously. Also, hurting relative returns was an underweight to pc-related issues such as Microsoft and IBM which largely outpaced other names with the sector. Partially offsetting the negative stock selection in the technology industry was strong stock selection in the financial services industry. Specifically, an overweight to JP Morgan Chase, Freddie Mac and MBNA all enhanced relative returns. During the year SEI replaced Provident Investment Counsel with Peregrine Capital Management. Peregrine Capital Management invests in companies which they believe will dominate their market for a long period of time and takes a patient approach to investing in these stocks which has led to historical low turnover in their portfolio. SEI VP Large Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Large Cap Fund Growth Fund -27.14% -29.50% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Large Cap Growth Fund, versus the Russell 1000 Growth Index, and the S&P 500/BARRA Growth Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Russell 1000 S&P 500 Large Cap Growth Barra Growth Fund Index Growth Index ----------- ------------ ------------ 04/30/00 $10,000 $10,000 $10,000 12/31/00 7,671 7,603 7,874 12/31/01 5,589 6,051 6,872 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- 2 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI VP Small Cap Value Fund Objective The SEI VP Small Cap Value Fund seeks to provide a broad level of diversification in U.S. small capitalization in a risk-controlled framework, which includes stocks with value characteristics. Strategy The Fund invests in U.S. small company stocks with a value style. Fund assets are allocated among the Fund's managers, each of whom has responsibility for stock selection in their area of expertise. Because of this style-specific focus, security overlap between sub-advisers is minimal, and each sub-adviser can focus on the narrowly defined universe of securities within their specialty. To avoid over or under-weighting a particular industry, the Fund attempts to maintain an industry weighting similar to that of the benchmark. Through various investment approaches, each sub-advisor contributes a particular expertise or sub-style to the Fund. LSV attempts to identify securities, which have been mispriced as a result of a judgmental bias and behavioral weakness. Sterling seeks to identify stocks of quality companies selling at large discounts to the underlying value of the business. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The SEI VP Small Cap Value Fund posted a return of 14.89% for the year ending December 31, 2001, outperforming its benchmark, the Russell 2000 Value Index. 2001 proved to be more than a difficult year for the equity market. After the longest period of economic expansion in history, the U.S. fell into a recession in March 2001, exactly 10 years after the last recession ended. Plaguing the equity markets during 2001 were the continued effects from 2000 tech bubble burst, the California energy crisis, weak global markets, excessive inventory levels, increasing unemployment, and companies disappointing on earnings. The Federal Reserve tried to counter with eleven rate cuts, the most ever in one year. The Bush Federal government also approved a $1.35 trillion tax cut to help stimulate the economy. However, the most devastating event in 2001 occurred on September 11th. After the attacks, the markets opened to a dismal week dropping 1375 point to 8235, the worst one-week performance since the Depression. The small cap universe was not immune to the volatility. Although the Russell 2000 Index advanced over 2% for the year there was great dispersion between growth and value securities. The Russell 2000 Value Index advanced 14% for the year while its Growth counterpart declined 10%. The on-going volatility within the markets continued to punish momentum investors while investment managers with strict valuation disciplines benefited throughout the year. In addition, smaller capitalization securities like microcaps tended to outperform large capitalization stocks. The volatile market conditions did not appear to impact the SEI VP Small Cap Value fund as much as the equity market as a whole since the fund outperformed the Russell 2000 Value Index. Strong stock selection with banking, oil & gas, and service sectors generated additional returns. Overweights to leisure products and computer software and service industries also added to performance. In addition, the fund benefited from a earnings yield risk exposure and holding stocks with slightly higher betas. Individual stocks that made the largest contributions for the quarter were Edward LifeSciences, Nova and Galileo International. Securities that did not do fair as well were National Service Industries, Cytec Industries and Microcell Telecommunications. The Fund continues to be positioned to capture the opportunities in the small cap growth area of the market under a variety of market conditions. To this end, the Fund targets a style neutral position relative to the Russell 2000 Growth Index in order to control unnecessary risks and put the focus on stock selection from the specialist sub-advisors. SEI VP Small Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Small Cap Value Fund 14.89% 21.62% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Small Cap Value Fund, versus the Russell 2000 Value Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Russell 2000 Small Cap Value Value Index --------------- ---------------- 04/30/00 $10,000 $10,000 12/31/00 11,871 11,759 12/31/01 13,639 13,407 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Small Cap Growth Fund Objective The SEI VP Small Cap Growth Fund seeks to provide long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that are in an early stage or at a transitional point in their development and have demonstrated or have potential for above average capital growth. Strategy With respect to this Fund, SEI Financial Management Corporation employs a multi-manager structure to gain exposure to more than one growth sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The SEI VP Small Cap Growth Fund is jointly sub-advised by two investment managers. Assets of the Fund are strategically allocated among its sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-advisor contributes a particular expertise or sub-style to the Fund. Sawgrass Asset Management (Sawgrass) seeks to invest in companies that exhibit reasonable relative valuations, strong earnings momentum and rising analyst expectations. Wall Street Associates (WSA) seeks out small cap stocks with long-term earnings growth potential. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The SEI VP Small Cap Growth Fund posted a return of -21.91% for the year ending December 31, 2001, underperforming its benchmark, the Russell 200 Growth Index. 2001 proved to be more than a difficult year for the equity market. After the longest period of economic expansion in history, the U.S. fell into a recession in March 2001, exactly 10 years after the last recession ended. Plaguing the equity markets during 2001 were the continued effects from 2000 tech bubble burst, the California energy crisis, weak global markets, excessive inventory levels, increasing unemployment, and companies disappointing on earnings. The Federal Reserve tried to counter with eleven rate cuts, the most ever in one year. The Bush Federal government also approved a $1.35 trillion tax cut to help stimulate the economy. However, the most devastating event in 2001 occurred on September 11th. After the attacks, the markets opened to a dismal week dropping 1375 point to 8235, the worst one-week performance since the Depression. The small cap universe was not immune to the volatility. Although the Russell 2000 Index advanced over 2% for the year there was great dispersion between growth and value securities. The Russell 2000 Value index advanced 14% for the year while its Growth counterpart declined 10%. The on-going volatility within the markets continued to punish momentum investors while investment managers with strict valuation disciplines benefited throughout the year. In addition, smaller capitalization securities like microcaps tended to outperform large capitalization stocks. The volatile market conditions were particularly unfavorable to the SEI VP Small Cap Growth Fund, which underperformed the Russell 2000 Growth Index. The fund's relative underperformance is mainly attributed to poor stock selection, particularly in communications equipment, semiconductors, healthcare, insurance, specialty retail, and computer service industries. Momentum managers, like Sawgrass, had investment processes that led them to stocks which underperformed. The fund's relatively larger market capitalization also negatively impacted the fund. Individual stocks that made the largest contributions for the quarter were Tweeter Home Entertainment Group, Americredit, and HOT Topic. Securities that did not do fair as well were Lifepoint Hospitals, Mentor Graphics and Shaw Group. The Fund continues to be positioned to capture the opportunities in the small cap growth area of the market under a variety of market conditions. To this end, the Fund targets a style neutral position relative to the Russell 2000 Growth Index in order to control unnecessary risks and put the focus on stock selection from the specialist sub-advisors. SEI VP Small Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Small Cap Growth Fund -21.91% -15.14% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Small Cap Growth Fund, versus the Russell 2000 Growth Index, the Wilshire Target Small Growth Index, and the S&P 500 Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Russell Wilshire Target S&P Small Cap 2000 Small Growth 500 Growth Fund Growth Index Index Index ----------- ------------ ---------------- ---------- 04/30/00 $10,000 $10,000 $10,000 $10,000 12/31/00 9,756 7,895 9,668 9,163 12/31/01 7,619 7,166 9,456 8,074 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- 4 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI VP International Equity Fund Objective The SEI VP International Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of foreign issuers. Strategy The SEI VP International Equity Fund invests primarily in common stocks and other equity securities of foreign companies. The Fund primarily invests in companies located in developed countries, but may also invest in companies located in emerging markets. The Fund uses a multi-manager approach, relying upon a number of Sub-Advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SIMC. The Fund is diversified as to issuers, market capitalization, industry and country. Analysis The SEI VP International Equity Fund posted a return of -24.05% for the year ending December 31, 2001, underperforming its benchmark, the Morgan Stanley MSCI EAFE Index. By most measures, 2001 was a difficult year for equity investors. The U.S.-centric slump quickly spread overseas. The recession broadened from technology to the economy-at-large, leaving few parts of the global equity markets unscathed. The lack of visibility toward the global economy resulted in continual stock market rotation in 2001. Aggressive and defensive industry groups enjoyed brief moments in the sun; though value investing initially won out, growth dominated in the fourth quarter as stocks sprang to life, ending a year of mostly negative returns with a hopeful rally. Nonetheless, all but two of the 21 equity markets included in the MSCI EAFE index, as well as all sector groups, posted negative results for the year. Good stock picking in the technology, health care and materials sectors were evident during the year. Technology stocks such as Samsung Electronics and Taiwan Semiconductor, as well as pharmaceutical company Sanofi-Synthelabo and U.K. retailer Marks & Spencer, were performance contributors; avoiding such downtrodden stocks such as Nokia, Alcatel, France Telecom and Sony Corp added value. While stock selection was strong within many industries, the fund's overweight position in technology hardware and telecommunications services ultimately detracted from annual performance. The uncertainty surrounding the global economic environment caused significant market rotation and intra-period performance swings. For example, share prices of semiconductor companies were battered by sluggish orders and stalled deliveries during the early part of 2001; by mid-year, market assumptions were that excess inventories were close to a bottom and demand would soon return. However, during the third quarter, recovery expectations were pushed out again and stocks languished. This was followed by significant outperformance of technology shares in the fourth quarter. As mentioned above, it was the fund's unwavering overweight position in technology hardware and telecommunications services that detracted from performance. Country selection -- albeit a fallout from stock picking -- was a slight contributor, but not enough to overcome the negative forces. Going forward, just as the recession spread from one part of the economy to others, the dynamic of recovery will diffuse throughout the economy. Some industries will do better than others, and our managers' work in this likely year of recovery will aim at uncovering these differences. The Fund is well positioned to capitalize on restructuring efforts in globally competitive sectors. Our managers continue to believe that it will be those companies with executable business models that will excel despite their industry or country of domicile. The Fund's underweight to the financial sector remains given relative valuations and the current business environment. Lastly, exposure to high-quality telecom and technology shares is fueled by our managers' view of the industries' long-term growth potential. SEI VP International Equity Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP International Equity Fund -24.05% -24.73% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP International Equity Fund, versus the Morgan Stanley MSCI EAFE Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Morgan Stanley International Equity Fund MSCI EAFE Index ------------------------- --------------- 04/30/00 $10,000 $10,000 12/31/00 8,323 9,070 12/31/01 6,321 7,125 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Emerging Markets Equity Fund Objective The SEI VP Emerging Markets Equity Fund seeks to provide long-term capital appreciation by investing primarily in a diversified portfolio of equity securities of emerging market issuers. Strategy The SEI VP Emerging Markets Equity Fund invests primarily in common stocks and other equity securities of foreign companies located in emerging market countries. The Fund uses a multi-manager approach, relying upon a number of Sub-Advisors with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SIMC. The Fund is diversified as to issuers, market capitalization, industry and country. Analysis For the year ending December 31, 2001, the SEI VP Emerging Markets Equity Fund posted a return of -11.08% underperforming its benchmark, the MSCI Emerging Markets Free Index. Throughout the year, the Fund maintained a bias towards globally oriented companies and industries. This group underperformed domestic oriented stocks in the first three quarters of the year. Domestic and defensive stocks were somewhat isolated from global factors such as economic slowdown in the developed world and poor earnings visibility in telecom and technology stocks. As the market rotated in the last quarter, the Fund benefited from the exposure to more globally oriented higher beta stocks, while maintaining a diversified exposure across stocks, regions, and industries in emerging markets. The end of the year was particularly strong for growth stocks on the back of an aggressive monetary easing after the attacks of September 11th. The return differential between Value and Growth narrowed, after three quarters of Value out-performance. For the year 2001 and the 3-year period ending December 2001, emerging markets have significantly out-performed developed international and U.S. equities. The following outlines the contributing factors, quarter to quarter: Emerging Markets declined 5.4% in the first quarter, as measured by the MSCI Emerging Markets Free index. Equities rallied in January on the back of the unexpected interest rate cut in the U.S. at the beginning of the month. Investor's sentiment towards riskier assets improved as the result of expectations of additional interest rate cuts. However, further signs of economic slowdown in the U.S., increasing flow of downward earning revisions in the developed markets, and the financial crises in Turkey and Argentina brought a new wave of negative sentiment for emerging markets. Asia outperformed the other regions. Mexico, often considered a safe heaven in emerging markets, provided some support to Latin America. Brazil declined sharply on the back of the financial crisis in Argentina. Returns in Emerging Europe were dominated by Turkey (-44.5%) on the back of the devaluation of the Turkish Lira. Markets in Middle East and Africa were hit hard due to the correlation with NASDAQ and Israeli technology stocks. On an industry basis, health care, telecom, software, and media led the decline in sympathy with their developed counterparts. On the positive side, materials and technology hardware provided some support. Most of the underperformance of the portfolio for the quarter could be attributed to the overweight to media, software, and telecom, and the underweight to materials. Fixed and cellular telecom stocks detracted from performance. The portfolio was positioned in high quality cash generating stocks like TeleNorte Leste in Brazil, Korea Telecom, and SK Telecom in Korea. Unfortunately, these stocks were trading more in line with global sector sentiment rather than company specific fundamentals. The second quarter showed a similar pattern as the first in that emerging equities responded very positively to U.S. interest rate cuts early in the quarter, but pulled back as indications of the global economic slowdown became clearer. However, Emerging Markets managed to end the quarter on a positive note, returning 5.9%. Latin America and EMEA outperformed Asia. Mexico returned in excess of 20%, fueled by the Banacci Bank takeover by Citigroup, and strong performance of Telmex and America Movil. Russia was the best performing country in emerging markets, driven by improvements in economic reforms, corporate governance, and commodity prices. Financial, energy, telecom, and material stocks led the rally. Technology stocks lagged during the quarter. The effect of the country allocation was positive for the portfolio. The Fund benefited from being overweight to Korea, China, Russia, Mexico, and underweight to Greece and Taiwan. Stock selection had a positive impact in the portfolio for the quarter. On -------------------------------------------------------------------------------- 6 SEI Insurance Products Trust / Annual Report / December 31, 2001 the positive side, stock selection was strong in several markets like Brazil, Mexico, China, and South Africa. On the negative side, poor performance was concentrated in Korea, where semiconductor and telecom stocks drove performance. The emerging markets dropped 21.7% during the third quarter. Latin America led the decline, driven by Brazil and Argentina on the back of the ongoing financial crisis. Mexico was not immune to the sell-off, as investors feared that the September 11th attacks would reduce Mexican exports to the U.S. and direct investments in Mexico from U.S. sources. On an industry basis, defensive areas such as pharmaceutical, food & beverage, and energy outperformed cyclical and technology stocks. The Fund benefited from an underweight to Turkey and Argentina after the managers assessed early in the year that the equity markets would continue to decline without clear signs of fundamental reforms and economic growth. Additional value added came from an overweight to pharmaceutical and household products stocks, and an underweight to software. On the negative side, the underweight to food & beverages and overweight to hardware hurt performance. Media stocks in Mexico, semiconductor and electronic component stocks in Korea and Taiwan, software companies in Israel, India, and South Africa, and telecom stocks in Brazil and Korea were among the worst performers, detracting from performance during the quarter. Emerging markets equities rallied 26.6% during the fourth quarter. In response to increased liquidity and a renewed appetite for riskier assets, high beta markets like Korea, Taiwan, Russia, Turkey, Argentina, and Brazil outperformed. The Korean market was driven by M&A activity in the banking sector and strong performance of other financial stocks (brokerage firms highly leveraged to global liquidity). Technology stocks in Taiwan and Korea drove the markets higher on expectation of a recovery in demand for semiconductors and electronic components. Argentina was among the strongest equity markets, despite the ongoing financial crisis, the resignation of the President, and the default on its sovereign debt. Domestic investors, anticipating a devaluation of the peso, rushed to buy local equities in an attempt to protect their savings after the government imposed capital controls and suspended the FX market. Brazil rallied as it managed to decouple from Argentina, leaving behind the energy crisis and overshooting of its currency that affected the equity market in the first nine months of the year. Hardware and software stocks outperformed defensive areas such as pharmaceutical, materials, utilities, and energy stocks. The telecom sector, dragged down by China Mobile, Korea Telecom, and India's MTNL and VSNL, failed to rally as much as technology. The country allocation policy added value during the fourth quarter. The positive effects of the over-weight to Korea and under-weight to Malaysia more than compensated the negative effects of over-weighting China and under-weighting Taiwan. Industry allocation was positive during the quarter. The Fund benefited from an over-weight to technology and an under-weight to materials. Offsetting some of these bets, the over-weight to telecom and an under-weight to software stocks detracted from performance. SEI VP Emerging Markets Equity Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Emerging Markets Equity Fund -11.08% -28.84% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Emerging Markets Equity Fund, versus the IFC Investible Composite Index, and the Morgan Stanley MSCI Emerging Markets Free Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP IFC Morgan Stanley Emerging Markets Investible MSCI Emerging Equity Fund Composite Index Markets Free Index ----------------- --------------- ------------------ 04/30/00 $10,000 $10,000 $10,000 12/31/00 6,931 7,493 7,485 12/31/01 6,163 7,594 7,307 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Core Fixed Income Fund Objective The SEI VP Core Fixed Income Fund seeks to provide current income consistent with the preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisor focuses on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation and issue selection. While the duration and term structure decision underlie the implementation process, the advisor primarily focuses on sector and issue selection to add value. Analysis For the year ending December 31, 2001, the SEI VP Core Fixed Income Fund returned 7.69%, underperforming the Lehman Brothers Aggregate Bond Index return of 8.42%. Uncertainty was a major theme in the markets during the fiscal year as a slowing economy, aggressive monetary policy and the tragic events of September 11th set the stage for significant volatility throughout the period. The year began on an extremely positive note as the Federal Reserve wasted little time in responding to deteriorating economic indicators with a quick succession of rate cuts which propelled short rates lower. By mid-period the Fed policy maker's enacted rate cuts an astounding six times for a total of 275 basis points, bringing the Fed funds rate down to 3.75%. Market speculation on future rate cuts and the possible inflationary ramifications from the unprecedented stimulus contributed to the stubbornness in longer rates and a significantly steeper yield curve. The remaining months of the year were dominated by the tragic events of September 11th as investors were faced with periods of severe illiquidity and volatility. Treasuries were the obvious beneficiaries as safe haven trading drove yields sharply lower. Investors focused on the short end of the curve, reflecting anticipation for Fed action and overall uncertainty regarding the economy. The Federal Reserve responded by cutting rates 50 basis points only days after the attack to add liquidity and quell investor concern. The Treasury curve steepened an astounding 100 basis points in the aftermath, with an unprecedented 257 basis points between the 2-year note and the 30-year bond. The Federal Reserve continued their aggressive efforts into the final quarter of the year with 3 additional rates cuts, for a grand total of eleven moves equaling 475 basis points. In addition, the Treasury Department delivered it's own stimulus in late October, by announcing the suspension of future 30-year government bond auctions, despite the recently revised prospects for a return to budget deficits. This wildly unexpected move contributed to a significant rally in interest rates as Treasuries reached year to date lows in early November. The economic outlook changed severely by mid-period, however, as rebounds in employment, retail sales and consumer confidence swayed expectations towards an early 2002 recovery. Treasuries responded dramatically by selling off upwards of 60 basis points on dwindling expectations for further Fed action and the general decrease in risk aversion. The Fund's longer duration position was a mild positive for the year as rates in general finished the year lower. An overweight to longer Treasuries detracted from performance, however, as longer yields finished the period unchanged. The spreads sectors contributed mixed performance during the year. Agency debt outperformed Treasuries by 69 basis points on strong demand from foreign investors and general flight to quality trading in the face of low Treasury yields. The Corporate sector completed a phenomenal year, returning a market leading 254 basis points over Treasuries despite a record level of new issuance. Investor demand for the historically wide spreads carried the sector throughout the year, including a minor sell-off post September 11th, as the sector roared back into year-end. Energy giant Enron dominated the headlines in the final quarter, as a 5-year earnings re-statement and the launch of an SEC probe into accounting irregularities at the once Fortune 10 company sent bond valuations plummeting amid serious financing and liquidity concerns. A merger agreement with cross-town rival Dynegy and a cash infusion from ChevronTexaco provided a slight boost in bond valuations mid-quarter until continued deterioration in the price -------------------------------------------------------------------------------- 8 SEI Insurance Products Trust / Annual Report / December 31, 2001 of Enron stock put the deal in jeopardy. By December, a downgrade in credit quality to below investment grade status effectively ended the takeover arrangement and forced Enron to file for bankruptcy protection. Utilities were the sole corporate sector to underperform for the quarter and the year due to the severity of Enron's decline. Industrials finished as the top performing corporate sector for the year outperforming Treasuries by over 300 basis points. The Fund's performance suffered from a 0.24% allocation to Enron-related debt, while the overweight to corporates in general and long industrials in particular, added significantly to return. The dramatic change in yield levels during the period had an equally dramatic effect on the mortgage sector. Mortgages faced the largest re-financing wave in history as rates reached historical lows during the year. By the 4th quarter, however, refinancing fears all but dissipated with the reversal in rates and the diminished prospect for future Fed easings. The volatility throughout the year wreaked havoc on the sector leading to underperformance of nearly 70 basis points for the period. Although the Fund's overweight to the sector detracted from performance, an overweight to GNMA mortgages muted the negative impact. During the upcoming months, Western will retain a more barbelled curve structure in anticipation of a near-term flattening, and concentrate on the relative value in the spread sectors. SEI VP Core Fixed Income Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Core Fixed Income Fund 7.69% 9.27% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Core Fixed Income Fund, versus the Lehman Aggregate Bond Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Core Lehman Aggregate Fixed Income Fund Bond Index ----------------- ---------------- 04/30/00 $10,000 $10,000 12/31/00 10,937 10,954 12/31/01 11,778 11,876 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP High Yield Bond Fund Objective The SEI VP High Yield Bond Fund seeks to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector rotation and security selection. Strategy Fund strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of macro-economic, interest rate, industry, and technical factors. Those companies that are best suited to benefit from the identified trends are then selected for investment. Risk is controlled through a high level of diversification, and by performing detailed and ongoing credit analysis on the companies considered and purchased. Analysis The SEI VP High Yield Bond Fund posted a 4.00% net return for the year ended December 31, 2001 underperforming its benchmark, the CS First Boston High Yield, Developed Countries Only Index, which returned 6.25%. The high yield market came under pressure for the period as concern over the U.S. economy, increased volatility in the U.S. equity markets, escalating default rates, ongoing reluctance from broker-dealers to make markets, and an onslaught of disappointing earnings announcements and downward revised earnings estimates pushed market returns down. Investors also upheld their low tolerance for any bad news associated with high yield companies and punished those companies that were associated with unexpected and unfavorable news. The telecommunications sector was the hardest hit during the year, returning -48%. The inability of the many companies in the telecom area to access the capital markets has lead many to default on their bonds or drastically scale back their business plans. The Federal Reserve has attempted to stimulate the US economy by cutting interest rates 475 basis points in the past year; however that has had little impact upon the high yield market. Defaults continue to be one of the major stories within high yield, as Moody's calculated a default rate within the high yield market of 10.2% in 2001. This default experience comes close to matching the all-time high in the market, of 10.3%, which was established in 1991. At the close of the fiscal year, high yield spreads relative to U.S. Treasuries stood at 1004 basis points, 174 basis points higher than the close of the comparable 2000 period. High yield spreads are approaching their all-time high of 1096 bps, which was reached in 1990. The Fund's underweight to the financial sector and security selection in the transportation sector detracted from return. An underweight to the telecommunications sector, as well as an overweight to the gaming sector mitigated Fund underperformance. The telecommunications sector was the worst performing sector in the market during the year, returning -48%. Volatility in the equity markets was one of the key drivers to underperformance in this sector as many high yield telecom companies were negatively impacted by lower equity valuations and the inability to access capital via the equity market. In addition, negative earnings announcements by certain companies leading to increased default experience also put downward pressure on the sector. The Fund maintained an underweight relative to the index, which enhanced returns. The gaming sector continued to do well as gaming companies reported strong gaming revenues and select merger and acquisition activity took place within the sector. Gaming is also considered a more defensive sector and tends to do well in periods of heightened market volatility. The Fund maintains an overweight positioning, which positively added to overall performance. The financial sector was able to withstand the negative market environment and produce positive results, returning +10%. Two fallen angels, Finova and Conseco, generated the bulk of the positive performance during the year. Both of these former investment grade firms increased on very positive news regarding their outlook and earnings potentials. An underweight to the financial sector had been maintained due to business focus of many of the high yield financial firms carries a higher risk due to the sub-prime lending activities. Therefore, the Fund's underweight was a negative contributor to performance. -------------------------------------------------------------------------------- 10 SEI Insurance Products Trust / Annual Report / December 31, 2001 The Funds security selection within the transportation detracted from performance during the year. In particular, the Funds holding of Oxford Automotive dragged down returns during the period. Oxford, which produces metal components for auto manufacturers, experienced a very poor 3rd Quarter due to the overall slowdown in the economy, which caused it to be in violation of some bank covenants. The company started negotiations with the banks to resolve these issues; however the banks blocked an interest payment until negotiations are completed. Oxford's bonds declined 73% as the interest payment was missed. SEI VP High Yield Bond Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP High Yield Bond Fund 4.00% 1.39% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP High Yield Bond Fund, versus the CS First Boston High Yield, Developed Countries Only Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: CS First Boston SEI VP High Yield, High Yield Developed Countries Bond Fund Only Index ---------- ------------------- 04/30/00 $10,000 $10,000 12/31/00 9,812 9,617 12/31/01 10,204 10,175 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP International Fixed Income Fund Objective The SEI VP International Fixed Income Fund seeks to provide capital appreciation and current income through investments in fixed income securities of non-U.S. issuers. The Fund also seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their Funds. The Fund invests primarily in investment-grade, non-U.S. dollar denominated government obligations. Although there are no restrictions on the Fund's overall duration, under normal conditions it is expected to range between four and six years. Strategy Fund construction entails a two-stage process that combines fundamental macroeconomic analysis and technical price analysis. First, a fundamental judgment is made about the direction of a market's interest rates and its currency. A technical price overlay is then applied to the fundamental position to ensure that the Fund is not substantially overweighted in a declining market or underweighted in a rising one. Country and currency allocations are made separately. As a result, the Fund's currency exposure may differ from its underlying bond holdings. Under normal circumstances, the Fund will generally be diversified across 6 to 12 countries with continual exposure to the three major trading blocs: North America, Europe, and the Pacific Basin. Depending upon the relative fundamental and technical views, each trading bloc is over or underweighted relative to the Fund's benchmark index. Currency exposure is actively managed to maximize return and control risk through the use of forward currency contracts and cross-currency hedging techniques. Analysis For the fiscal year ending December 31, 2001, the SEI VP International Fixed Income Fund returned -5.32% to underperform the Salomon Brothers Non-U.S. World Government Bond Index return of -3.54%. The Fund's overweight to the euro in the first half of the year detracted from returns, while exposures to Poland and Hungary benefited performance over the course of the year. Underweight positions towards Japanese bonds and the yen also served to enhance performance for the period. The euro fell early in the period as the European Central Bank was slower to react than the U.S. Federal Reserve in lowering interest rates. The U.S. Fed cut interest rates by 2.75% in the first half of the year, while the European Central Bank only trimmed rates 0.25% during the same period. Investors believed that while both economies were weak, the U.S. Fed's more decisive action would give the U.S. a better chance of recovering. The euro began to recover modestly versus the U.S. dollar in the third quarter as a decline in U.S. employment and manufacturing caused investors to shun U.S. investments. The events of September 11th only exacerbated the flow of assets out of the U.S. The euro muddled through the fourth quarter and ended the year more than 5% weaker relative to the U.S. dollar. The Fund's overweight to the euro, particularly during the first half of the year, dampened relative returns. The British pound outperformed the euro for the period due to the stronger economic conditions that persisted in the U.K. British bonds rallied less than European bonds as investors believed that the healthier economy would limit the scope for interest rate cuts. Overall, underweights to the British pound relative to the euro detracted from performance, while an underweight to long-dated British bonds enhanced relative returns. The Eastern European bond markets of Poland and Hungary gained 29% and 17%, respectively, for the fiscal year. High real interest rates attracted foreign investors into both markets early in the period. Hungary also benefited as the country liberalized trading of its currency, which further enhanced gains. During the summer, both markets sold off considerably as nervousness surrounding Argentina debt repayment spilled over into Eastern Europe. In addition, Poland's fiscal budget deficit widened due to a slowdown in tax revenue growth. Both countries bounced back in the fourth quarter as slowing inflation prompted both central banks to cut overnight interest rates. An exposure to both countries throughout the fiscal year served to enhance returns. -------------------------------------------------------------------------------- 12 SEI Insurance Products Trust / Annual Report / December 31, 2001 The Japanese yen fell more than 12% versus the U.S. dollar for the year as its economy remained stuck in a recession. The yen fell early in the period as the Bank of Japan Governor acknowledged that the economy was "close to collapse". The election of Junichiro Koizumi as prime minister in the spring breathed new life into the currency as he pledged to get the banks to write off the bad loans from their books and trim the extravagant public works projects enacted by his predecessors. The yen also got a technical boost in September as Japanese companies repatriated their foreign earnings ahead of their half-fiscal year. The yen fell substantially towards the end of the year as GDP fell further than analyst expectations and unemployment hit a record high. Furthermore, government officials did not give any indication that they would intervene in the markets to support the yen. Overall, an underweight to the yen did benefit returns. Japanese bonds rallied due as the weak economy convinced investors that interest rates would remain low. However, the already low interest rate level gave Japanese bonds less of a scope to rally than other bond markets. Therefore, an underweight to Japanese bonds enhanced performance. SEI VP International Fixed Income Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP International Fixed Income Fund -5.32% -3.71% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP International Fixed Income Fund, versus the Salomon WGBI, Non-US Index [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP Salomon International Fixed WGBI, Income Fund Non-US Index ------------------- ------------ 04/30/00 $10,000 $10,000 12/31/00 10,271 10,301 12/31/01 9,725 9,935 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Emerging Markets Debt Fund Objective The SEI VP Emerging Markets Debt Fund seeks to maximize total return from a portfolio consisting of primarily high yield, below-investment grade fixed income securities from emerging markets of foreign countries. The Fund also seeks to provide U.S.-based investors with a vehicle to diversify and enhance the returns of the domestic fixed income portion of their portfolios. Under normal circumstances, the Fund is anticipated to be invested primarily in U.S. dollar-denominated emerging debt. Strategy Structuring and managing the Fund entails a multi-step process. First, an internal assessment of country risk is compared with the market's pricing of country risk to determine relative value opportunities. The output determines which countries are 1) "core" holdings which have the strongest economic/ political/debt attributes, 2) "trading" countries which present more opportunistic value, and 3) countries "not currently suitable" for investment. Under normal circumstances, the Fund will be diversified across 10-15 countries. The next step in the process determines relative value amongst sectors within a country, and security selection within the sectors. The final step incorporates a disciplined sell process through continual risk/reward analysis across, and within, emerging debt countries. U.S. interest-rate risk relative to the benchmark is controlled through the maintenance of a tightly constrained U.S. Treasury duration. Excess return is captured through active management of the sovereign spread component relative to the benchmark. Analysis The SEI VP Emerging Markets Debt Fund returned 12.56% on a net basis for the fiscal year ended December 31, 2001, outperforming the J.P. Morgan Emerging Markets Bond Index Plus return of -.79%. The Fund's underweight to Argentina, overweight to Russia, and exposure to Turkey positively contributed to performance for the year. The Fund's underweights to South Korea and Qatar slightly detracted from performance. Emerging markets debt turned in a volatile year as a slowing U.S. economy, the U.S. Federal Reserve's cut of interest rates by 475 basis points, a drastic slide in the U.S. equity markets, high oil prices, along with fiscal/political problems in Argentina and Turkey kept investors attention. A steady climb in oil prices was viewed as favorable by investors as oil-exporting countries benefited, and were able to increase reserves. Russia, Venezuela, Algeria, Qatar and Mexico were among some of the emerging countries that reaped the benefit of escalating oil prices. Fiscal crises in Argentina and Turkey, with spillover into Brazil lead those countries to be the only negative performing countries in the marketplace. A rapidly declining U.S. equity market caused some investors to take less risky positions, either moving into higher quality EMD countries or moving money out of EMD completely, thus dropping prices. Emerging market spreads widened 10 basis points from the previous period, and ended the year at 740 basis points over comparable U.S. Treasuries. By far, the events in Argentina consumed investor's attention during the year. The country experienced a `roller coaster' of performance during the past year as political, fiscal and economic uncertainty led to increased volatility in the country's bond prices. Argentina is in the midst of a 4-year recession coinciding with an increasing load of debt and in the past year has attempted to come up with different measures to pull itself out of the recession and ease the debt burden on the slowing economy. The country was granted an IMF loan during the year and also completed several bond swaps to stretch out payments in order to give the country time to begin growing again. Bonds began a precipitous decline in June 2001 as investors speculated that the measures implemented by the country would not be enough to protect the country from a debt default or devaluation of the Peso. Argentina was able to attain further IMF financing to assist in getting through the immediate crisis, however investors were not completely confident that it was over. In December, the country announced that it was defaulting on its outstanding foreign debt, the largest such default ever by a country. This default was preceded by the president and economic minister resigning along with civic unrest running rampant within the country. These issues forced Argentine bonds down 67% during the fiscal year and the Fund's substantial underweight to the country greatly enhanced relative performance. -------------------------------------------------------------------------------- 14 SEI Insurance Products Trust / Annual Report / December 31, 2001 Mexico was one of the top performing countries in Latin America during the period returning in excess of 10%. Concern regarding the situation in Argentina, coupled with a greatly enhanced fiscal situation allowed investors to move assets out of riskier countries and into the higher credit quality Mexican bonds. Speculation that S&P would further raise Mexico's debt rating to investment grade fueled investor's confidence in the country's bonds. Mexico has shown excellent ability in spurring economic growth coupled with strong desire to cut costs, which are key points looked at by rating agencies. A slow down in the U.S. economy did adversely affect the growth in the Mexican economy somewhat, however the country's ability to cut costs and implement tax reforms is allowing the country to buy back bonds, thus lessening debt servicing costs. The Fund is overweight Mexico, which benefited returns. In Europe, Turkey experienced a turbulent year as it too has encountered political, fiscal and economic uncertainty only to completely turnaround the last 3 months of the year to be one of the strongest performers in the marketplace. Concerns in Turkey arose over the country's banking system and overall liquidity. As a result of these concerns, investors withdrew significant and excessive funds from the country. In early December, the IMF came to the country's aid with a loan package totaling $7.5bn. Turkey will use those funds to implement an economic reform program targeted at restoring the country's banking system and reducing inflation. However the impacts of September 11th have turned around investors perceptions toward Turkey. Turkey has become a key military ally within the region as it has allowed the US to utilize its airbases and airspace for the war on terrorism. This has many investors believing that any financial aid needed by Turkey in the near term will be granted by the U.S. as appreciation for its assistance. On that news, Turkey's bonds rebounded 21% during the year. The Fund maintained an underweight to Turkey for the first nine months of the year and added exposure to the country post September 11th, which added to fund performance. The strongest performing country in the Fund during the fiscal year was Russia, which returned over 56%. Improving fundamentals and successful reforms enacted by President Putin continued to support bond prices and narrow spreads. The country was also able to reach a settlement with the Paris Club creditors, which increased the amount of debt owed in 2001 by $4 billion. This settlement was taken well by investors, as the country had no problem meeting that amount of increased debt payment. High oil prices and Russia's ability to increase reserves and collect revenues aided the country's returns. The Fund's overweight to Russia was a large positive contributor to performance for the fiscal year. Amid the volatile market environment, higher quality countries performed very strongly as investors moved assets in a `flight to quality'. Qatar and South Korea all performed strongly during the year due to their higher quality stature. The Fund is underweight both countries which detracted from performance. Given the outlook that fundamentals will continue to improve for most emerging market debt countries, and that increased demand for emerging market debt will be sustained, the Fund will continue to maintain a slightly longer spread duration and invest in those countries that exhibit the ability to service their debt. SEI VP Emerging Markets Debt Fund: AVERAGE ANNUAL TOTAL RETURN(1) --------------------------------------------------------------- Annualized One Year Inception Return to Date --------------------------------------------------------------- SEI VP Emerging Markets Debt Fund 12.56% 11.04% --------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the SEI VP Emerging Markets Debt Fund, versus the JP Morgan Emerging Markets Bond Index Plus [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS: SEI VP JP Morgan Emerging Markets Emerging Markets Debt Fund Bond Index Plus ---------------- ---------------- 04/30/00 $10,000 $10,000 12/31/00 10,852 10,957 12/31/01 12,215 10,870 1 For the year ended December 31, 2001. Past performance is no indication of future performance. Shares of the Fund were offered beginning April 5, 2000. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 SEI VP Prime Obligation Fund Analysis The spotlight of the fiscal year ended December 31, 2001 belonged to Alan Greenspan and the Federal Reserve. The Federal Reserve set the tone early by cutting the federal funds rate by 50 basis points on January 3, 2001. This was the first step of an aggressive campaign designed to stimulate a slowing U.S. economy. With the possibility of a recession looming on the horizon, the Federal Reserve lowered short-term rates by 300 basis points by the end of August, including a total of two surprise inter-meeting moves. By early September the economy appeared to be responding to these measures and was showing early signs of a recovery. Unfortunately, the events of September 11th jettisoned the economy's progress and a recession became virtually inevitable. In order to promote economic recovery and expansion, the Federal Reserve resumed it's aggressive easing of monetary policy by slashing short-term rates 175 basis points in the last four months of the year. In all, the Federal Reserve cut rates eleven times in 2001 for a total of 475 basis points. The federal funds rate, which began the year at 6.50%, ended the fiscal year at 1.75%. This target level was last seen over 40 years ago. In the upcoming year, Wellington Management Company, LLP, as sub-adviser to the SEI VP Prime Obligation Fund, will continue to seek competitive yields by investing in high quality, short-term securities. We thank you for your continued confidence in the SEI Insurance Product Trust, and we look forward to serving your investment needs in the future. -------------------------------------------------------------------------------- 16 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI INSURANCE PRODUCTS TRUST -- DECEMBER 31, 2001 Report of Independent Public Accountants To the Shareholders and Board of Trustees of The SEI Insurance Products Trust: In our opinion, the accompanying statements of net assets for the SEI VP Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP International Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP Core Fixed Income Fund, SEI VP High Yield Bond Fund, SEI VP Prime Obligation Fund, and the accompanying statements of assets and liabilities, including the schedules of investments, for the SEI VP International Fixed Income Fund and SEI VP Emerging Markets Debt Fund (constituting SEI Insurance Products Trust, hereafter referred to as the "Trust") and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position at December 31, 2001, the results of each of their operations for the year then ended, the changes in each of their NET assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2001 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP February 19, 2002 Philadelphia, Pennsylvania -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 17 STATEMENT OF NET ASSETS SEI VP Large Cap Value Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.5% AEROSPACE & DEFENSE -- 1.9% Boeing 8,080 $ 313 General Dynamics 916 73 Goodrich 413 11 Lockheed Martin 1,505 70 Northrop Grumman 368 37 Raytheon 1,616 53 Rockwell Collins 4,953 97 United Technologies 1,303 84 ---------- 738 ---------- AGRICULTURE -- 0.0% Monsanto 200 7 ---------- AIR TRANSPORTATION -- 1.0% AMR* 4,346 96 CNF 200 7 Continental Airlines, Cl B* 223 6 Delta Air Lines 4,813 141 FedEx* 1,262 65 Northwest Airlines* 194 3 Skywest 100 3 Southwest Airlines 3,396 63 UAL 275 4 US Airways Group* 373 2 ---------- 390 ---------- AIRCRAFT -- 0.3% Honeywell International 3,173 107 Textron 535 22 ---------- 129 ---------- APPAREL/TEXTILES -- 0.2% Jones Apparel Group* 110 4 Liz Claiborne 252 12 Mohawk Industries* 200 11 Nike, Cl B 298 17 Polo Ralph Lauren* 300 8 Reebok International Ltd.* 300 8 VF 394 15 ---------- 75 ---------- AUTOMOTIVE -- 2.5% Autoliv 371 8 Dana 625 9 Delphi Automotive Systems 7,141 98 Eaton 162 12 Ford Motor 16,545 260 General Motors 6,513 316 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- General Motors, Cl H* 1,496 $ 23 Goodyear Tire & Rubber 546 13 ITT Industries 421 21 Lear* 300 11 Navistar International* 3,568 141 Paccar 309 20 SPX* 100 14 TRW 496 18 Visteon 860 13 ---------- 977 ---------- BANKS -- 13.5% Amsouth Bancorporation 1,465 28 Associated Banc 205 7 Astoria Financial 10,200 270 Bank of America 13,527 852 Bank of New York 1,938 79 Bank One 5,011 196 Banknorth Group 733 17 BB&T 1,909 69 Charter One Financial 962 26 City National 143 7 Comerica 3,627 208 Commerce Bancorp 200 8 Commerce Bancshares 324 13 Compass Bancshares 612 17 Cullen/Frost Bankers 200 6 Dime Bancorp 291 10 Fifth Third Bancorp 508 31 First Tennessee National 604 22 First Virginia Banks 175 9 FirstMerit 239 6 FleetBoston Financial 4,520 165 Fulton Financial 300 7 Golden State Bancorp 271 7 Golden West Financial 4,444 262 Greenpoint Financial 7,617 272 Hibernia, Cl A 580 10 Hudson City Bancorp 224 6 Huntington Bancshares 1,193 21 JP Morgan Chase 12,035 437 Keycorp 5,473 133 M&T Bank 371 27 Marshall & Ilsley 531 34 Mellon Financial 2,045 77 Mercantile Bankshares 274 12 National City 2,738 80 National Commerce Financial 792 20 North Fork Bancorporation 655 21 Northern Trust 464 28 Old National Bancorp 191 5 Pacific Century Financial 347 9 PNC Financial Services Group 1,273 72 -------------------------------------------------------------------------------- 18 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Popular 490 $ 14 Regions Financial 1,141 34 Roslyn Bancorp 300 5 Sky Financial Group 300 6 SouthTrust 1,642 41 Sovereign Bancorp 1,070 13 State Street 828 43 Suntrust Banks 1,187 74 Synovus Financial 403 10 TCF Financial 293 14 Trustmark 100 2 Union Planters 625 28 UnionBanCal 7,193 273 US Bancorp 8,407 176 Valley National Bancorp 298 10 Wachovia 5,806 182 Washington Federal 300 8 Washington Mutual 11,226 367 Webster Financial 300 9 Wells Fargo 7,335 319 Wilmington Trust 50 3 Zions Bancorporation 454 24 ---------- 5,241 ---------- BATTERIES -- 0.0% Energizer Holdings* 284 5 ---------- BEAUTY PRODUCTS -- 1.7% Alberto-Culver, Cl B 100 4 Avon Products 980 46 Colgate-Palmolive 642 37 Estee Lauder, Cl A 25 1 Gillette 2,319 77 International Flavors & Fragrances 305 9 Kimberly-Clark 1,993 119 Procter & Gamble 4,521 358 ---------- 651 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.7% Belo, Cl A 265 5 Clear Channel Communications* 1,199 61 Dow Jones 103 6 Emmis Communications, Cl A* 189 4 Entercom Communications* 69 3 EW Scripps, Cl A 142 9 Fox Entertainment Group, Cl A* 494 13 Gannett 1,106 74 Gemstar-TV Guide International* 500 14 Harte-Hanks 100 3 Hispanic Broadcasting* 100 3 Interpublic Group 166 5 Knight Ridder 4,006 260 Lamar Advertising* 293 12 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Liberty Media, Cl A* 11,281 $ 158 Mcclatchy, Cl A 100 5 New York Times, Cl A 652 28 Radio One, Cl D* 400 7 Tribune 734 28 USA Networks* 291 8 Viacom, Cl B* 3,288 145 Walt Disney 9,058 188 Westwood One* 249 8 ---------- 1,047 ---------- BUILDING & CONSTRUCTION -- 1.5% Centex 3,400 194 Clayton Homes 300 5 DR Horton 300 10 Fluor 328 12 Jacobs Engineering Group* 100 7 Lafarge 200 7 Lennar 200 9 Martin Marietta Materials 290 14 Masco 1,959 48 Pulte Homes 5,000 223 Texas Industries 1,000 37 Vulcan Materials 303 15 ---------- 581 ---------- CABLE TV -- 0.5% Adelphia Communications, Cl A* 312 10 Cablevision Systems - Rainbow Media Group* 167 4 Cablevision Systems, Cl A* 433 20 Charter Communications, Cl A* 565 9 Comcast, Cl A* 3,076 111 COX Communications, Cl A* 917 38 Insight Communications* 200 5 Mediacom Communications* 200 4 ---------- 201 ---------- CHEMICALS -- 3.1% Air Products & Chemicals 1,026 48 Ashland 4,901 226 Cabot 294 10 Dow Chemical 3,944 133 Eastman Chemical 4,416 172 EI du Pont de Nemours 4,514 192 Engelhard 465 13 FMC* 2,184 130 Great Lakes Chemical 200 5 Hercules* 401 4 Lubrizol 4,500 158 Lyondell Chemical 329 5 OM Group 100 6 -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 19 STATEMENT OF NET ASSETS SEI VP Large Cap Value Fund (Continued) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PPG Industries 751 $ 39 Praxair 703 39 Rohm & Haas 601 21 Sigma-Aldrich 327 13 ---------- 1,214 ---------- COAL MINING -- 0.0% Arch Coal 100 2 Massey Energy 325 7 --------- 9 --------- COMMERCIAL SERVICES -- 0.3% Cendant* 2,048 40 Certegy* 100 3 Deluxe 392 16 Iron Mountain* 100 4 KPMG Consulting* 200 3 Manpower 319 11 Quanta Services* 55 1 Quintiles Transnational* 328 5 Service International* 1,100 6 Servicemaster 1,151 16 Ticketmaster, Cl B* 100 2 Viad 239 6 WebMD* 489 4 ---------- 117 ---------- COMMUNICATIONS EQUIPMENT -- 0.1% ADC Telecommunications* 2,400 11 Advanced Fibre Communication* 264 5 Harris 287 9 Sycamore Networks* 300 1 Utstarcom* 257 7 ---------- 33 ---------- COMPUTERS & SERVICES -- 3.6% 3Com* 930 6 Acxiom* 354 6 Apple Computer* 1,466 32 Ariba* 600 4 Autodesk 4,920 183 Ceridian* 467 9 CMGI* 1,324 2 CNET Networks* 152 1 Compaq Computer 7,245 71 Computer Sciences* 703 34 Diebold 409 17 Earthlink* 125 2 Electronic Data Systems 249 17 Enterasys Networks* 468 4 Gateway* 600 5 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hewlett-Packard 6,777 $ 139 International Business Machines 3,663 443 NCR* 7,237 267 Oni Systems* 300 2 Openwave Systems* 400 4 Palm* 1,000 4 Quantum-DLT & Storage* 944 9 Reynolds & Reynolds, Cl A 4,923 119 Riverstone Networks* 240 4 RSA Security* 176 3 Sandisk* 232 3 Storage Technology* 300 6 Unisys* 1,241 16 ---------- 1,412 ---------- CONTAINERS & PACKAGING -- 0.6% Ball 2,400 170 Bemis 283 14 Newell Rubbermaid 1,144 31 Pactiv* 600 11 Smurfit-Stone Container* 820 13 Sonoco Products 377 10 ---------- 249 ---------- DRUGS -- 2.3% Abbott Laboratories 2,721 152 AmerisourceBergen 111 7 Bristol-Myers Squibb 2,476 126 Eli Lilly 700 55 Henry Schein* 200 7 ICN Pharmaceuticals 216 7 McKesson HBOC 1,020 38 Merck 7,934 467 Mylan Laboratories 325 12 Omnicare 300 8 ---------- 879 ---------- ELECTRICAL COMPONENTS & EQUIPMENT -- 0.4% Arrow Electronics* 494 15 Avnet 516 13 AVX 200 5 Illinois Tool Works 1,056 71 Kemet* 462 8 Molex 535 17 Snap-On 200 7 Solectron* 464 5 Stanley Works 428 20 Vishay Intertechnology* 516 10 ---------- 171 ---------- -------------------------------------------------------------------------------- 20 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ELECTRICAL SERVICES -- 5.4% Allegheny Energy 461 $ 17 Allete 300 8 Alliant Energy 334 10 Ameren 596 25 American Electric Power 1,472 64 American Power Conversion* 684 10 Aquila* 200 3 Black Hills 100 3 Cinergy 616 21 CMS Energy 602 14 Conectiv 300 7 Consolidated Edison 1,003 40 Constellation Energy Group 622 16 Dominion Resources 1,176 71 DPL 458 11 DTE Energy 596 25 Duke Energy 3,342 131 Edison International* 8,068 122 Energy East 4,687 89 Entergy 909 36 Exelon 1,399 67 FirstEnergy 1,278 45 FPL Group 4,259 240 Great Plains Energy 300 8 Hubbell, Cl B 192 6 Idacorp 100 4 MDU Resources Group 200 6 Mirant* 488 8 Niagara Mohawk Holdings* 781 14 NiSource 971 22 Northeast Utilities 452 8 NRG Energy* 191 3 NSTAR 188 8 OGE Energy 200 5 PG&E* 7,378 142 Pinnacle West Capital 3,306 138 Potomac Electric Power 484 11 PPL 610 21 Progress Energy 981 44 Public Service Enterprise Group 5,301 224 Puget Energy 436 10 Reliant Energy 3,972 105 Reliant Resources* 200 3 Scana 362 10 Southern 3,131 79 Teco Energy 653 17 TXU 1,116 53 Utilicorp United 518 13 Western Resources 400 7 Wisconsin Energy 515 12 XCEL Energy 1,647 46 ---------- 2,102 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ENTERTAINMENT -- 0.0% International Speedway, Cl A 51 $ 2 ---------- ENVIRONMENTAL SERVICES -- 0.3% Allied Waste Industries* 342 5 Republic Services* 663 13 Waste Management 2,752 88 ---------- 106 ---------- FINANCIAL SERVICES -- 9.7% AG Edwards 346 15 Allied Capital 8,600 224 American Express 5,300 189 Bear Stearns 5,189 304 Citigroup 22,932 1,158 Countrywide Credit Industries 6,373 261 Dun & Bradstreet* 300 11 E*trade Group* 600 6 Fannie Mae 6,792 540 Franklin Resources 743 26 Freddie Mac 753 49 Goldman Sachs Group 871 81 H&R Block 402 18 Household International 5,532 321 Instinet Group* 200 2 Knight Trading Group* 241 3 Lehman Brothers Holdings 1,022 68 Merrill Lynch 3,636 189 Moody's 170 7 Morgan Stanley Dean Witter 4,437 248 Stilwell Financial 889 24 T. Rowe Price Group 517 18 ---------- 3,762 ---------- FOOD, BEVERAGE & TOBACCO -- 4.9% Adolph Coors, Cl B 1,587 85 Anheuser-Busch 2,150 97 Archer-Daniels-Midland 2,410 35 Brown-Forman, Cl B 88 5 Campbell Soup 546 16 Coca-Cola 1,502 71 Coca-Cola Enterprises 651 12 Conagra Foods 2,256 54 Constellation Brands, Cl A* 200 8 Fortune Brands 647 26 General Mills 1,521 79 Hershey Foods 266 18 HJ Heinz 937 38 Hormel Foods 226 6 Kellogg 633 19 McCormick 137 6 PepsiAmericas 411 6 -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 21 STATEMENT OF NET ASSETS SEI VP Large Cap Value Fund (Continued) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PepsiCo 2,548 $ 124 Philip Morris 12,849 589 RJ Reynolds Tobacco Holdings 2,675 151 Ruddick 2,100 34 Sara Lee 2,008 45 Smithfield Foods* 400 9 Supervalu 11,035 244 Tootsie Roll Industries 58 2 Tyson Foods, Cl A 6,658 77 UST 395 14 WM Wrigley Jr. 380 19 ---------- 1,889 ---------- GAS/NATURAL GAS -- 0.8% EL Paso 1,606 72 KeySpan 586 20 Kinder Morgan 285 16 National Fuel Gas 326 8 Nicor 92 4 Questar 343 8 Sempra Energy 4,876 120 Vectren 200 5 Williams 1,847 47 ---------- 300 ---------- GLASS PRODUCTS -- 0.1% Corning 2,200 20 ---------- GOLD -- 0.0% Newmont Mining 410 8 --------- HOTELS & LODGING -- 0.3% Harrah's Entertainment* 544 20 Hilton Hotels 1,313 14 Mandalay Resort Group* 397 9 Marriott International, Cl A 808 33 MGM Mirage* 343 10 Park Place Entertainment* 933 9 Starwood Hotels & Resorts Worldwide 813 24 ---------- 119 ---------- HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 1.0% Clorox 663 26 Ethan Allen Interiors 200 8 Leggett & Platt 828 19 Maytag 202 6 Sherwin-Williams 571 16 Valspar 200 8 Whirlpool 4,289 315 ---------- 398 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INSURANCE -- 6.6% Aetna 558 $ 18 Aflac 1,160 29 Allmerica Financial 263 12 Allstate 9,114 307 AMBAC Financial Group 4,520 262 American Financial Group 100 2 American International Group 3,037 241 AON 1,025 36 Chubb 767 53 Cigna 2,577 239 Cincinnati Financial 719 27 CNA Financial* 200 6 Conseco* 1,490 7 Erie Indemnity, Cl A 119 5 Fidelity National Financial 430 11 Hartford Financial Services Group 1,087 68 HCC Insurance Holdings 300 8 Health Net* 500 11 Humana* 800 9 Jefferson-Pilot 738 34 John Hancock Financial Services 1,393 58 Leucadia National 100 3 Lincoln National 929 45 Loew's 4,669 259 Marsh & McLennan 510 55 MBIA 712 38 Mercury General 100 4 Metlife 1,365 43 MGIC Investment 392 24 Mony Group 181 6 Nationwide Financial Services, Cl A 192 8 Old Republic International 7,343 206 PMI Group 3,394 227 Progressive-Ohio 222 33 Protective Life 236 7 Radian Group 372 16 Reinsurance Group of America 53 2 Safeco 570 18 St. Paul 896 39 Torchmark 460 18 Transatlantic Holdings 42 4 Trigon Healthcare* 209 15 Unitrin 173 7 UnumProvident 881 23 Wellpoint Health Networks* 247 29 ---------- 2,572 ---------- LEASING & RENTING -- 0.0% Gatx 187 6 United Rentals* 200 5 ---------- 11 ---------- -------------------------------------------------------------------------------- 22 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- LEISURE PRODUCTS -- 0.2% Brunswick 474 $ 10 Callaway Golf 300 6 Hasbro 610 10 Mattel 1,844 32 Six Flags* 368 5 ---------- 63 ---------- MACHINERY -- 1.9% Black & Decker 294 11 Capstone Turbine* 300 2 Caterpillar 1,445 75 Crane 187 5 Cummins 4,300 166 Deere 1,021 45 Dover 721 27 Emerson Electric 1,926 110 Pall 344 8 Parker Hannifin 469 21 Pentair 140 5 Pitney Bowes 979 37 Rockwell International 5,053 90 Tecumseh Products, Cl A 3,000 152 ---------- 754 ---------- MEDICAL PRODUCTS & SERVICES -- 2.6% Apogent Technologies* 400 10 Aviron* 100 5 Bausch & Lomb 4,537 171 Baxter International 164 9 Beckman Coulter 2,800 124 Becton Dickinson 1,094 36 Boston Scientific* 1,066 26 Celera Genomics Group - Applera* 247 7 CR Bard 222 14 Dentsply International 100 5 HCA 6,596 254 Health Management Associates, Cl A* 676 12 Healthsouth* 1,615 24 Hillenbrand Industries 186 10 Johnson & Johnson 2,972 176 Manor Care* 400 10 Tenet Healthcare* 1,219 72 Triad Hospitals* 200 6 UnitedHealth Group 245 17 Universal Health Services, Cl B* 96 4 Viasys Healthcare* 109 2 Zimmer Holdings* 307 9 ---------- 1,003 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- METALS & METAL FABRICATE/HARDWARE -- 0.6% Alcoa 3,279 $ 117 Phelps Dodge 263 9 Precision Castparts 300 8 Timken 7,000 113 ---------- 247 ---------- MISCELLANEOUS MANUFACTURING -- 0.4% Cooper Industries 361 12 Minnesota Mining & Manufacturing 1,193 141 Teleflex 100 5 ---------- 158 ---------- OFFICE/BUSINESS EQUIPMENT -- 0.2% Avery Dennison 219 12 HON Industries 200 6 Imagistics International Incorporated* 278 4 Steelcase, Cl A 219 3 Xerox 2,988 31 ---------- 56 ---------- PAPER & PAPER PRODUCTS -- 0.6% Boise Cascade 337 12 Bowater 196 9 Georgia-Pacific Group 927 26 International Paper 2,089 84 Mead 394 12 Temple-Inland 146 8 Westvaco 410 12 Weyerhaeuser 962 52 Willamette Industries 360 19 ---------- 234 ---------- PETROLEUM & FUEL PRODUCTS -- 9.6% Amerada Hess 3,871 242 Apache 449 22 Burlington Resources 420 16 ChevronTexaco 4,600 412 Conoco 9,666 273 Devon Energy 491 19 Ensco International 104 3 EOG Resources 85 3 Equitable Resources 214 7 Exxon Mobil 35,364 1,390 Forest Oil* 100 3 Global Industries Ltd.* 444 4 Grant Prideco* 319 4 Helmerich & Payne 241 8 Kerr-McGee 418 23 Marathon Oil 8,128 244 -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 23 STATEMENT OF NET ASSETS SEI VP Large Cap Value Fund (Continued) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Murphy Oil 100 $ 8 Newfield Exploration* 53 2 Noble Affiliates 276 10 Occidental Petroleum 1,327 300 Ocean Energy 400 8 Phillips Petroleum 6,925 417 Pioneer Natural Resources* 400 8 Pogo Producing 200 5 Pride International* 512 8 Sunoco 268 10 Tidewater 204 7 Ultramar Diamond Shamrock 4,760 235 Unocal 1,069 39 Valero Energy 334 13 Varco International* 129 2 Weatherford International* 100 4 ---------- 3,749 ---------- PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.6% Eastman Kodak 7,351 216 ---------- PRINTING & PUBLISHING -- 0.8% McGraw-Hill 579 35 Meredith 100 4 Readers Digest Association, Cl A 465 11 RR Donnelley & Sons 8,765 260 Valassis Communications* 200 7 Washington Post, Cl B 6 3 ---------- 320 ---------- RAILROADS -- 0.9% Burlington Northern Santa Fe 7,309 208 CSX 905 32 Norfolk Southern 1,616 30 Union Pacific 1,142 65 ---------- 335 ---------- REAL ESTATE -- 0.0% Catellus Development* 300 6 Security Capital Group, Cl B* 400 10 ---------- 16 ---------- REAL ESTATE INVESTMENT TRUSTS -- 0.9% AMB Property 203 5 Apartment Investment & Management, Cl A 221 10 Archstone-Smith Trust 660 17 Arden Realty 300 8 AvalonBay Communities 266 13 Boston Properties 421 16 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CarrAmerica Realty 179 $ 5 Crescent Real Estate 335 6 Duke Realty 423 10 Equity Office Properties Trust 1,937 58 Equity Residential Properties Trust 1,160 33 General Growth Properties 155 6 Health Care Property Investors 300 11 Hospitality Properties Trust 400 12 Host Marriott 1,152 10 iStar Financial 260 7 Kimco Realty 267 9 Liberty Property Trust 203 6 Mack-Cali Realty 355 11 New Plan Excel Realty Trust 200 4 Plum Creek Timber 604 17 Prologis Trust 441 10 Public Storage 344 12 Rouse 202 6 Simon Property Group 628 18 Vornado Realty Trust 410 17 ---------- 337 ---------- RETAIL -- 4.2% Albertson's 8,465 267 Autonation* 986 12 Autozone* 228 16 Barnes & Noble* 200 6 Big Lots* 353 4 Blockbuster, Cl A 123 3 Borders Group* 300 6 Brinker International* 334 10 Circuit City Stores-Circuit City Group 824 21 CVS 244 7 Darden Restaurants 8,561 303 Federated Department Stores* 5,478 224 Foot Locker* 600 10 JC Penney 1,049 28 Kmart* 2,186 12 Limited 1,556 23 May Department Stores 1,387 51 McDonald's 5,671 150 Neiman-Marcus Group, Cl A* 100 3 Nordstrom 377 8 Office Depot* 1,288 24 Outback Steakhouse* 263 9 Payless Shoesource* 100 6 Rite Aid* 468 2 Ross Stores 355 11 Saks* 387 4 Sears Roebuck 5,918 282 -------------------------------------------------------------------------------- 24 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Staples* 595 $ 11 Target 1,768 73 Toys `R' Us* 829 17 Tricon Global Restaurants* 611 30 Wendy's International 401 12 Winn-Dixie Stores 360 5 --------- 1,650 --------- SEMI-CONDUCTORS/INSTRUMENTS -- 0.6% Advanced Micro Devices* 399 6 Agilent Technologies* 1,200 34 Amkor Technology* 200 3 Atmel* 800 6 Cirrus Logic* 200 3 Conexant Systems* 700 10 Cypress Semiconductor* 226 5 Danaher 100 6 JDS Uniphase* 2,700 23 Johnson Controls 404 33 LSI Logic* 900 14 Micron Technology* 1,200 37 National Semiconductor* 500 15 Sanmina-SCI* 408 8 Tektronix* 386 10 Thermo Electron* 752 18 Vitesse Semiconductor* 200 3 --------- 234 --------- SOFTWARE & PROGRAMMING -- 0.3% BMC Software* 300 5 Computer Associates International 2,000 69 Compuware* 704 8 Intuit* 214 9 Network Associates* 253 7 Sybase* 178 3 Tibco Software* 100 1 Vignette* 700 4 --------- 106 --------- STEEL & STEEL WORKS -- 0.1% AK Steel Holding 300 3 Allegheny Technologies 199 3 Nucor 412 22 United States Steel 471 9 --------- 37 --------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TELEPHONES & TELECOMMUNICATIONS -- 8.0% Allegiance Telecom* 200 $ 2 Alltel 1,347 83 American Tower, Cl A* 541 5 AT&T 20,100 365 BellSouth 11,125 424 Broadwing* 940 9 CenturyTel 566 18 Citizens Communications* 567 6 Crown Castle International* 364 4 Level 3 Communications* 926 5 Lucent Technologies 14,600 92 McLeodUSA, Cl A* 2,030 1 Motorola 8,987 135 Nextel Partners, Cl A* 100 1 NTL* 696 1 PanAmSat* 172 4 Qwest Communications International 3,289 46 SBC Communications 15,732 616 Sprint (FON Group) 13,269 266 TeleCorp PCS, Cl A* 54 1 Telephone & Data Systems 148 13 Tellium* 100 1 US Cellular* 35 2 Verizon Communications 16,199 769 Williams Communications Group* 2,284 5 WorldCom-MCI Group 530 7 WorldCom-WorldCom Group* 17,054 240 ---------- 3,121 ---------- TRUCKING -- 0.2% United Parcel Service, Cl B 230 12 Yellow* 2,700 68 ---------- 80 ---------- WATER UTILITIES -- 0.1% American Water Works 395 16 ---------- WHOLESALE -- 0.4% Costco Wholesale* 1,672 74 Genuine Parts 784 29 Ingram Micro, Cl A* 200 3 Sysco 862 23 Tech Data* 231 10 WW Grainger 359 17 ---------- 156 ---------- Total Common Stock (Cost $38,116) 38,303 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 25 STATEMENT OF NET ASSETS SEI VP Large Cap Value Fund (Concluded) -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION -- 0.1% U.S. Treasury Bills, 1.750%, 02/28/02 (A) $ 25 $ 25 --------- Total U.S. Treasury Obligation (Cost $25) 25 --------- CASH EQUIVALENT -- 0.3% Evergreen Select Money Market Fund 125,796 126 --------- Total Cash Equivalent (Cost $126) 126 --------- REPURCHASE AGREEMENT -- 0.3% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $137,120 (collateralized by various U.S. Treasury Obligations, total market value $141,448) 137 137 --------- Total Repurchase Agreement (Cost $137) 137 --------- Total Investments -- 99.2% (Cost $38,404) 38,591 --------- Other Assets and Liabilities, Net-- 0.8% 297 --------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 3,809,913 outstanding shares of beneficial interest 39,076 Accumulated net realized loss on investments (377) Net unrealized appreciation on investments 187 Net unrealized appreciation on futures contracts 2 --------- Total Net Assets -- 100.0% $ 38,888 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.21 ========= * Non-Income Producing Security (A) Security, or portion thereof, is pledged as collateral on open futures contracts. Cl -- Class Ltd. -- Limited The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 26 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI VP Large Cap Growth Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 97.5% APPAREL/TEXTILES -- 0.9% Cintas 5,700 $ 274 ---------- BANKS -- 2.4% Bank One 3,600 140 JP Morgan Chase 8,800 320 State Street 4,400 230 ---------- 690 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 5.4% AOL Time Warner* 23,700 761 Liberty Media, Cl A* 42,000 588 Viacom, Cl B* 4,500 198 ---------- 1,547 ---------- CABLE TV -- 1.3% Comcast, Cl A* 10,300 371 ---------- COMMERCIAL SERVICES -- 1.4% Paychex 11,900 415 ---------- COMPUTERS & SERVICES -- 7.1% Cisco Systems* 43,625 790 Dell Computer* 8,200 223 Electronic Data Systems 3,800 260 EMC-Mass* 8,600 116 Juniper Networks* 7,200 136 Veritas Software* 11,500 516 ---------- 2,041 ---------- DATA PROCESSING -- 4.0% Automatic Data Processing 4,200 247 First Data 7,300 573 Fiserv* 8,000 339 ---------- 1,159 ---------- DRUGS -- 10.6% American Home Products 1,400 86 Cardinal Health 11,300 731 Pfizer 43,200 1,721 Pharmacia 8,400 358 Schering-Plough 4,600 165 ---------- 3,061 ---------- ELECTRICAL COMPONENTS & EQUIPMENT -- 1.2% Solectron* 30,900 349 ---------- ELECTRICAL SERVICES -- 1.0% AES* 17,000 278 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 10.4% Charles Schwab 30,400 $ 470 Citigroup 16,800 848 Concord EFS* 9,000 295 Goldman Sachs Group 6,000 557 MBNA 10,850 382 Morgan Stanley Dean Witter 6,900 386 T. Rowe Price Group 1,900 66 ---------- 3,004 ---------- INSURANCE -- 4.8% American International Group 16,500 1,310 Wellpoint Health Networks* 700 82 ---------- 1,392 ---------- MEDICAL PRODUCTS & SERVICES -- 7.1% Amgen* 3,000 169 IMS Health 14,700 287 Johnson & Johnson 7,500 443 Medtronic 22,300 1,142 ---------- 2,041 ---------- MISCELLANEOUS MANUFACTURING -- 6.7% General Electric 27,000 1,082 Tyco International Ltd. 14,400 848 ---------- 1,930 ---------- PETROLEUM & FUEL PRODUCTS -- 1.1% Noble Drilling* 5,700 194 Transocean Sedco Forex 4,100 139 ---------- 333 ---------- RETAIL -- 8.9% Home Depot 29,300 1,495 Kohl's* 9,300 655 Wal-Mart Stores 1,900 109 Walgreen 9,600 323 ---------- 2,582 ---------- SEMI-CONDUCTORS/INSTRUMENTS -- 8.2% Altera* 14,000 297 Applied Micro Circuits* 6,200 70 Flextronics International Ltd.* 19,400 466 Intel 31,200 981 JDS Uniphase* 3,500 30 Micron Technology* 12,800 397 Sanmina-SCI* 5,900 118 ---------- 2,359 ---------- -------------------------------------------------------------------------------- 27 SEI Insurance Products Trust / Annual Report / December 31, 2001 STATEMENT OF NET ASSETS SEI VP Large Cap Growth Fund (Concluded) -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- SOFTWARE & PROGRAMMING -- 7.1% BEA Systems* 2,900 $ 44 Check Point Software Technologies* 2,600 104 DST Systems* 4,400 219 Microsoft* 22,700 1,504 Sungard Data Systems* 5,800 168 ---------- 2,039 ---------- TELEPHONES & TELECOMMUNICATIONS -- 5.5% Amdocs Ltd.* 2,700 92 AT&T Wireless Services* 29,900 429 Nokia Oyj ADR 35,700 876 Vodafone Group PLC ADR 7,400 190 ---------- 1,587 ---------- WHOLESALE -- 2.4% Costco Wholesale* 13,200 586 Fastenal 1,600 106 ---------- 692 ---------- Total Common Stock (Cost $29,236) 28,144 ---------- CASH EQUIVALENT -- 0.01% First Union Cash Management Program 36,010 36 ---------- Total Cash Equivalent (Cost $36) 36 ---------- REPURCHASE AGREEMENT -- 0.9% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $243,268 (collateralized by various U.S. Treasury Obligations, total market value $250,948) $243 243 ---------- Total Repurchase Agreement (Cost $243) 243 --------- Total Investments -- 98.5% (Cost $29,515) 28,423 --------- Other Assets and Liabilities, Net -- 1.5% 445 --------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 5,299,862 outstanding shares of beneficial interest $ 39,744 Accumulated net realized loss on investments (9,784) Net unrealized depreciation on investments (1,092) --------- Total Net Assets -- 100.0% $ 28,868 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 5.45 ========== * Non-Income Producing Security ADR -- American Depositary Receipt Cl -- Class Ltd. -- Limited PLC -- Public Liability Company The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 28 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI VP Small Cap Value Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.1% AEROSPACE & DEFENSE -- 0.2% Kaman, Cl A 2,400 $ 37 ---------- AGRICULTURE -- 1.1% Delta & Pine Land 7,400 168 ---------- AIR TRANSPORTATION -- 1.5% EGL* 16,350 228 ---------- APPAREL/TEXTILES -- 1.2% Kellwood 5,075 122 Phillips-Van Heusen 3,100 34 Unifi* 5,475 39 ---------- 195 ---------- AUTOMOTIVE PARTS & EQUIPMENT -- 1.8% AO Smith 1,400 27 ArvinMeritor 5,000 98 Harsco 2,600 89 Sonic Automotive* 2,800 66 ---------- 280 ---------- BANKS -- 9.4% BankAtlantic Bancorp, Cl A 10,400 95 Banknorth Group 3,632 82 Colonial Bancgroup 7,000 99 Commercial Federal 6,675 157 Downey Financial 2,100 87 First Citizens Bancshares, Cl A 400 39 Firstfed Financial* 3,100 79 Flagstar Bancorp 4,100 82 Independence Community Bank 1,500 34 MAF Bancorp 1,900 56 OceanFirst Financial 2,300 56 Pacific Century Financial 11,100 287 Seacoast Financial Services 3,600 62 Staten Island Bancorp 7,000 114 UMB Financial 1,990 80 Washington Federal 2,900 75 ---------- 1,484 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.3% Hollinger International 17,000 199 ---------- BUILDING & CONSTRUCTION -- 5.7% Butler Manufacturing 2,400 67 M/I Schottenstein Homes 1,700 85 MDC Holdings 2,750 104 Nortek* 1,700 48 NVR* 200 41 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ryland Group 2,000 $ 146 Standard-Pacific 2,600 63 Texas Industries 4,205 155 Winnebago Industries 2,500 92 York International 2,500 95 ---------- 896 ---------- CHEMICALS -- 3.4% Albemarle 3,400 81 Cytec Industries* 8,625 233 Ethyl* 5,600 5 Millennium Chemicals 13,150 166 Olin 1,300 21 Wellman 1,800 28 ---------- 534 ---------- COMMERCIAL SERVICES -- 1.0% CDI* 1,600 30 Insurance Auto Auctions* 5,250 76 Stewart Enterprises, Cl A* 8,800 53 ---------- 159 ---------- COMMUNICATIONS EQUIPMENT -- 2.9% Andrew* 13,975 306 Davox* 7,225 70 Inter-Tel 4,200 81 ---------- 457 ---------- COMPUTERS & SERVICES -- 5.7% Anixter International* 1,900 55 Avant* 3,500 72 Brady, Cl A 6,025 220 Checkpoint Systems* 5,500 74 Iomega* 2,980 25 Paxar* 10,150 144 ProQuest* 4,800 163 Storage Technology* 5,000 103 SYKES Enterprises* 5,000 47 ---------- 903 ---------- DRUGS -- 0.2% Alpharma, Cl A 1,300 34 ---------- ELECTRICAL COMPONENTS & EQUIPMENT -- 3.2% Acuity Brands* 11,425 138 Barnes Group 2,300 55 Belden 4,925 116 General Cable 5,400 71 Lincoln Electric Holdings 3,600 88 Methode Electronics, Cl A 5,000 40 ---------- 508 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 29 STATEMENT OF NET ASSETS SEI VP Small Cap Value Fund (Continued) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ELECTRICAL SERVICES -- 2.1% EL Paso Electric* 6,400 $ 93 PNM Resources 3,100 87 RGS Energy Group 2,300 86 UIL Holdings 1,200 62 ---------- 328 ---------- ENTERTAINMENT -- 2.9% Gaylord Entertainment* 8,150 200 Speedway Motorsports* 9,925 251 ---------- 451 ---------- FINANCIAL SERVICES -- 4.7% Doral Financial 2,700 84 Metris 11,200 288 Student Loan 1,000 81 Waddell & Reed Financial, Cl A 9,050 291 ---------- 744 ---------- FOOD, BEVERAGE & TOBACCO -- 2.3% Dean Foods* 1,100 75 Dole Food 3,900 105 Fleming 3,100 57 Pilgrims Pride, Cl A 300 3 Pilgrims Pride, Cl B 2,200 30 Universal 2,500 91 ---------- 361 ---------- GAS/NATURAL GAS -- 1.2% Cascade Natural Gas 1,300 29 Oneok 3,600 64 UGI 2,900 88 ---------- 181 ---------- HOTELS & LODGING -- 1.2% Aztar* 5,500 101 Prime Hospitality* 7,800 86 ---------- 187 ---------- HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.3% Kimball International, Cl B 1,600 24 Salton* 1,300 25 ---------- 49 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INSURANCE -- 4.8% AmerUs Group 2,400 $ 86 CNA Surety 1,900 30 Commerce Group 2,600 98 Delphi Financial Group, Cl A 1,000 33 FBL Financial Group, Cl A 1,660 28 Landamerica Financial Group 2,100 60 Pacificare Health Systems* 2,900 46 Phoenix* 10,375 192 Presidential Life 3,300 68 Stewart Information Services* 4,625 91 Vesta Insurance Group 3,600 29 ---------- 761 ---------- LEASING & RENTING -- 1.0% Rent-A-Center* 1,800 61 Ryder System 4,200 93 ---------- 154 ---------- LEISURE PRODUCTS -- 1.8% Arctic Cat 3,900 66 Callaway Golf 11,700 224 ---------- 290 ---------- MACHINERY -- 4.5% Applied Industrial Technologies 3,400 63 Axcelis Technologies* 19,875 256 Crane 7,675 197 Gehl* 600 9 Imation* 3,900 84 JLG Industries 4,400 47 Magnetek* 5,200 47 ---------- 703 ---------- MARINE TRANSPORTATION -- 0.4% Alexander & Baldwin 2,300 61 ---------- MEDICAL PRODUCTS & SERVICES -- 5.5% Arrow International 2,900 116 Edwards Lifesciences* 10,400 287 Haemonetics* 8,205 278 Sola International* 5,800 113 US Oncology* 9,000 68 ---------- 862 ---------- -------------------------------------------------------------------------------- 30 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- METALS & METAL FABRICATE/HARDWARE -- 0.8% Commercial Metals 2,000 $ 70 Quanex 1,300 37 ROHN Industries* 7,400 15 ---------- 122 ---------- MISCELLANEOUS MANUFACTURING -- 5.5% Blyth 9,000 209 ESCO Technologies* 2,500 86 National Service Industries 10,950 22 NCH 800 42 Pittston Brink's Group 15,525 343 SPS Technologies* 1,860 65 Tredegar 5,175 99 ---------- 866 ---------- OFFICE/BUSINESS EQUIPMENT -- 1.8% Ikon Office Solutions 3,800 44 Standard Register 1,700 32 Wallace Computer Services 10,850 206 ---------- 282 ---------- PAPER & PAPER PRODUCTS -- 2.0% Rayonier 4,165 210 Rock-Tenn, Cl A 3,100 45 Schweitzer-Mauduit International 2,700 64 ---------- 319 ---------- PETROLEUM & FUEL PRODUCTS -- 2.9% Forest Oil* 2,925 82 Frontier Oil 2,300 38 Giant Industries* 1,500 14 Patina Oil & Gas 4,100 113 Valero Energy 1,800 69 Varco International* 5,625 84 Vintage Petroleum 3,400 49 ---------- 449 ---------- PRINTING & PUBLISHING -- 3.2% American Greetings, Cl A 14,350 198 Banta 3,100 91 Bowne 12,000 154 Consolidated Graphics* 2,700 52 ---------- 495 ---------- REAL ESTATE -- 0.7% Avatar Holdings* 4,425 104 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- RETAIL -- 3.6% Bob Evans Farms 1,900 $ 47 Brown Shoe 3,800 62 Cato, Cl A 3,900 74 Dillards, Cl A 4,100 66 Dress Barn* 2,300 57 Great Atlantic & Pacific Tea* 3,800 90 Lone Star Steakhouse & Saloon 3,000 44 Ryan's Family Steak Houses* 5,800 126 ---------- 566 ---------- RUBBER & PLASTIC -- 0.7% Bandag 800 28 Cooper Tire & Rubber 5,300 84 ---------- 112 ---------- SOFTWARE & PROGRAMMING -- 2.9% Ansys* 1,500 37 Dendrite International* 13,575 191 Digi International* 6,500 41 Harman International Industries 2,500 113 Progress Software* 4,650 80 ---------- 462 ---------- STEEL & STEEL WORKS -- 0.3% AK Steel Holding 4,200 48 ---------- TELEPHONES & TELECOMMUNICATIONS -- 0.2% Microcell Telecommunications* 13,200 33 ---------- TRUCKING -- 1.6% Arkansas Best* 2,900 83 Roadway 1,900 70 USFreightways 1,600 50 Yellow* 1,900 48 ---------- 251 ---------- WHOLESALE -- 0.6% Daisytek International* 2,300 30 Handleman* 4,600 69 ---------- 99 ---------- Total Common Stock (Cost $13,100) 15,422 ---------- Warrants -- 0.0% Dime Bancorp (A)* 1,000 -- ---------- Total Warrants (Cost $0) -- ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 31 STATEMENT OF NET ASSETS SEI VP Small Cap Value Fund (Concluded) -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.6% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $400,307 (collateralized by various U.S. Treasury Obligations, total market value $412,944) $ 400 $ 400 ---------- Total Repurchase Agreement (Cost $400) 400 ---------- CASH EQUIVALENT -- 0.1% Evergreen Select Money Market Fund 22,124 22 ---------- Total Cash Equivalent (Cost $22) 22 ---------- Total Investments -- 100.8% (Cost $13,522) 15,844 ---------- Other Assets and Liabilities, Net -- (0.8)% (125) ---------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 1,250,236 outstanding shares of beneficial interest 13,403 Accumulated net investment income 2 Accumulated net realized loss on investments (8) Net unrealized appreciation on investments 2,322 ---------- Total Net Assets -- 100.0% $ 15,719 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 12.57 ========== * Non-Income Producing Security (A) Represents a potential distribution settlement in a legal claim. Does not have a strike price or expiration date. Cl -- Class The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 32 SEI Insurance Products Trust / Annual Report / December 31, 2001 SEI VP Small Cap Growth Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.6% AEROSPACE & DEFENSE -- 1.5% Alliant Techsystems* 900 $ 70 DRS Technologies* 2,200 78 ---------- 148 ---------- AUTOMOTIVE PARTS & EQUIPMENT -- 4.1% Circuit City Stores-Carmax* 5,000 114 Copart* 3,900 142 Group 1 Automotive* 1,400 40 PEP Boys-Manny Moe & Jack 2,200 38 Polaris Industries 600 34 Sonic Automotive* 1,200 28 ---------- 396 ---------- BANKS -- 2.8% Independence Community Bank 3,300 75 IndyMac Bancorp* 2,300 54 New York Community Bancorp 1,900 43 Roslyn Bancorp 2,650 46 UCBH Holdings 1,600 46 ---------- 264 ---------- BATTERIES -- 0.8% Wilson Greatbatch Technologies* 2,200 79 ---------- COMMERCIAL SERVICES -- 2.3% Coinstar* 1,900 48 FTI Consulting* 1,400 46 Intercept Group* 1,900 78 Maximus* 1,200 50 ---------- 222 ---------- COMMUNICATIONS EQUIPMENT -- 1.9% Advanced Fibre Communication* 2,400 42 Anaren Microwave* 2,900 50 Harris 1,500 46 Powerwave Technologies* 2,700 47 ---------- 185 ---------- COMPUTERS & SERVICES -- 8.0% CACI International, Cl A* 3,000 118 Expedia, Cl A* 1,300 53 InterVoice-Brite* 3,300 42 Kronos* 1,900 92 Lantronix* 8,100 51 MCSi* 2,500 59 NYFIX* 2,600 52 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Overture Services* 2,300 $ 82 Perot Systems, Cl A* 2,900 59 Reynolds & Reynolds, Cl A 3,100 75 Silicon Storage Technology* 4,700 45 Verisity Ltd.* 2,400 46 ---------- 774 ---------- DRUGS -- 10.1% AdvancePCS* 1,500 44 Alkermes* 2,400 63 BioMarin Pharmaceuticals* 3,800 51 Cephalon* 500 38 Cubist Pharmaceuticals* 3,100 112 First Horizon Pharmaceutical* 7,500 220 Henry Schein* 2,900 107 Ilex Oncology* 2,400 65 Medicines* 5,900 68 Medicis Pharmaceutical, Cl A* 800 52 Neurocrine Biosciences* 2,000 103 Pozen* 3,900 21 SICOR* 1,600 25 ---------- 969 ---------- ELECTRICAL COMPONENTS & EQUIPMENT -- 1.6% Cymer* 2,000 53 Engineered Support Systems 900 31 Power-One* 6,900 72 ---------- 156 ---------- ENVIRONMENTAL SERVICES -- 0.9% Stericycle* 1,400 85 ---------- FINANCIAL SERVICES -- 0.5% Affiliated Managers Group* 700 49 ---------- FOOD, BEVERAGE & TOBACCO -- 3.0% Constellation Brands, Cl A* 1,300 56 Dean Foods* 1,400 95 Smithfield Foods* 2,400 53 Vector Group Ltd. 2,500 82 ---------- 286 ---------- HOTELS & LODGING -- 0.6% Ameristar Casinos* 2,300 58 ---------- INSURANCE -- 1.2% Brown & Brown 1,900 52 Fidelity National Financial 1,800 44 Hilb, Rogal & Hamilton 300 17 ---------- 113 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 33 STATEMENT OF NET ASSETS SEI VP Small Cap Growth Fund (Concluded) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- LEISURE PRODUCTS -- 1.7% Direct Focus* 2,700 $ 84 Shuffle Master* 4,750 75 ---------- 159 ---------- MEDICAL PRODUCTS & SERVICES -- 13.5% American Medical Systems Holdings* 5,900 122 Ameripath* 2,800 90 Amsurg* 900 24 Cell Therapeutics* 2,800 68 Charles River Laboratories International* 1,300 44 Connetics* 5,800 69 Diagnostic Products 2,100 92 Genta* 3,400 48 Hologic* 5,300 49 Insmed* 5,200 20 Intermune* 1,100 54 Invitrogen* 600 37 Lumenis Ltd.* 2,300 45 MGI Pharma* 4,500 69 NDCHealth 1,400 48 Pediatrix Medical Group* 2,100 71 PolyMedica* 2,800 47 PSS World Medical* 1,800 15 Renal Care Group* 3,800 122 Steris* 3,500 64 Varian Medical Systems* 700 50 Wright Medical Group* 2,600 47 ---------- 1,295 ---------- PETROLEUM & FUEL PRODUCTS -- 3.9% Horizon Offshore* 4,400 33 Key Energy Services* 9,200 85 National-Oilwell* 3,200 66 Patterson-UTI Energy* 3,200 75 Precision Drilling* 2,800 72 XTO Energy 2,800 49 ---------- 380 ---------- RETAIL -- 15.3% Action Performance* 2,200 67 AFC Enterprises* 1,300 37 Alloy* 3,600 78 American Eagle Outfitters* 3,700 97 Bebe Stores* 3,200 60 CBRL Group 1,600 47 Charlotte Russe Holding* 2,800 52 Chico's FAS* 1,750 69 Childrens Place* 3,700 100 Electronics Boutique Holdings* 1,700 68 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Factory 2-U Stores* 1,400 $ 28 Fred's 2,100 86 HOT Topic* 2,800 88 Insight Enterprises* 2,400 59 O'Reilly Automotive* 3,800 139 Pacific Sunwear of California* 3,900 80 Pathmark Stores* 1,600 39 Regis 3,700 95 Ruby Tuesday 2,900 60 Tweeter Home Entertainment Group* 4,300 125 ---------- 1,474 ---------- SCHOOLS -- 0.9% Career Education* 2,500 86 ---------- SEMI-CONDUCTORS/INSTRUMENTS -- 10.9% Alpha Industries* 700 15 Artisan Components* 2,800 44 ASM International N.V.* 2,500 49 Asyst Technologies* 5,500 70 Entegris* 3,300 36 FEI* 2,700 85 Flir Systems* 2,300 87 Integrated Circuit Systems* 2,300 52 Itron* 2,100 64 LTX* 3,000 63 Microtune* 1,100 26 Monolithic System Technology* 3,100 64 Mykrolis* 1,700 27 O2Micro International Ltd.* 3,100 75 Photronics* 2,200 69 RF Micro Devices* 1,800 35 Rudolph Technologies* 1,700 58 Virage Logic* 3,900 75 Zoran* 1,600 52 ---------- 1,046 ---------- SOFTWARE & PROGRAMMING -- 8.4% Borland Software* 4,900 77 Digimarc* 3,500 65 F5 Networks* 2,900 62 Gtech Holdings* 2,200 100 Iona Technologies PLC ADR* 1,400 28 Lawson Software* 1,900 30 Midway Games* 4,400 66 NETIQ* 1,700 60 Raindance Communications* 7,500 43 Stellent* 2,700 80 Take-Two Interactive Software* 4,100 66 THQ* 1,300 63 Vastera* 4,200 70 ---------- 810 ---------- -------------------------------------------------------------------------------- 34 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- STEEL & STEEL WORKS -- 0.8% Maverick Tube* 4,300 $ 56 Shaw Group* 1,000 23 ---------- 79 ---------- TELEPHONES & TELECOMMUNICATIONS -- 0.8% Metro One Telecommunications* 2,600 79 ---------- TRUCKING -- 0.5% USFreightways 1,500 47 ---------- WHOLESALE -- 0.6% Performance Food Group* 1,600 56 ---------- Total Common Stock (Cost $8,764) 9,295 ---------- WARRANTS -- 0.0% Endo Pharmaceuticals Holdings* expires 12/31/02 1,500 1 ---------- Total Warrants (Cost $5) 1 ---------- REPURCHASE AGREEMENT -- 3.5% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $340,272 (collateralized by various U.S. Treasury Obligations, total market value $351,014) $340 340 ---------- Total Repurchase Agreement (Cost $340) 340 ---------- Total Investments -- 100.1% (Cost $9,109) 9,636 ---------- Other Assets and Liabilities, Net -- (0.1)% (11) ---------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 1,280,574 outstanding shares of beneficial interest $ 11,917 Accumulated net realized loss on investments (2,819) Net unrealized appreciation on investments 527 ---------- Total Net Assets -- 100.0% $ 9,625 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 7.52 ========== * Non-Income Producing Security ADR -- American Depositary Receipt Cl -- Class Ltd. -- Limited PLC -- Public Liability Company The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 35 STATEMENT OF NET ASSETS SEI VP International Equity Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FOREIGN COMMON STOCK -- 95.8% AUSTRALIA -- 2.8% Australia and New Zealand Banking Group Ltd. 5,100 $ 46 BHP Billiton Ltd. 43,091 232 Foster's Group Ltd. 14,093 35 National Australia Bank Ltd. 1,429 23 News Ltd. 3,703 30 News Ltd. ADR* 200 6 QBE Insurance Group Ltd. 5,807 23 WMC Ltd. 5,900 29 Woolworths Ltd. 8,321 48 ---------- 472 ---------- CANADA -- 2.0% Abitibi-Consolidated 1,700 13 Alcan 100 4 Bombardier, Cl B 6,100 63 Celestica* 1,540 62 Magna International, Cl A 1,000 63 National Bank of Canada 1,200 22 Nortel Networks 4,200 32 Suncor Energy 400 13 Thomson 1,100 33 Thomson (USD) 1,000 30 Zarlink Semiconductor* 600 7 ---------- 342 ---------- FINLAND -- 3.7% Nokia Oyj 17,796 459 Nokia Oyj ADR 700 17 Stora Enso Oyj, Cl R 8,091 104 UPM-Kymmene Oyj 1,400 46 ---------- 626 ---------- FRANCE -- 9.3% Accor 4,714 171 Air Liquide 300 42 Aventis 2,960 210 Bouygues 3,500 115 Groupe Danone 300 37 LVMH Moet Hennessy Louis Vuitton 400 16 Michelin (C.G.D.E.), Cl B 900 30 Pechiney, Cl A 700 36 Peugeot 400 17 Sanofi-Synthelabo 5,970 446 Schneider Electric 900 43 Societe Television Francaise 2,300 58 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TotalFinaElf 864 $ 124 Usinor 4,587 57 Vivendi Universal 3,363 184 ---------- 1,586 ---------- GERMANY -- 6.0% Aixtron 600 14 Allianz 879 208 Bayerische Motoren Werke 1,300 46 DaimlerChrysler 2,700 116 Deutsche Bank 250 18 Deutsche Telekom 600 10 E.ON 1,449 75 Epcos 500 26 Infineon Technologies 1,300 27 Metro 1,800 63 Muenchener Rueckversicherungs 406 110 SAP 820 107 Siemens 2,986 199 ---------- 1,019 ---------- GREECE -- 0.2% Coca-Cola Hellenic Bottling* 1,000 14 Hellenic Telecommunications Organization* 1,200 20 ---------- 34 ---------- HONG KONG -- 4.6% Cheung Kong Holdings Ltd. 13,000 135 China Mobile Ltd.* 47,990 169 Hang Lung Properties Ltd. 12,000 12 Hutchison Whampoa 20,400 197 Johnson Electric Holdings 26,000 27 Li & Fung Ltd. 28,000 31 Shangri-La Asia Ltd. 22,000 17 Sun Hung Kai Properties Ltd. 18,000 146 Swire Pacific Ltd., Cl A 10,000 55 ---------- 789 ---------- IRELAND -- 1.1% Allied Irish Banks 4,900 57 CRH 4,300 76 Elan ADR* 700 31 Irish Life & Permanent 1,800 18 ---------- 182 ---------- -------------------------------------------------------------------------------- 36 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ITALY -- 3.1% Assicurazioni Generali* 2,800 $ 78 ENI-Ente Nazionale Idrocarburi* 12,708 159 Fiat 7,213 116 TIM 30,331 169 ---------- 522 ---------- JAPAN -- 19.3% Acom Ltd. 800 58 Advantest 1,000 57 Aeon Ltd. 3,000 68 Canon 4,000 138 Chubu Electric Power 1,300 23 Chugai Pharmaceutical Ltd. 3,000 35 Daiwa Securities Group 4,000 21 Furukawa Electric Co Ltd. 1,000 5 Hirose Electric Ltd. 1,000 68 Hitachi Ltd. 3,000 22 Hoya 500 30 Japan Airlines Ltd. 9,000 22 Keyence 200 33 Kokusai Securities Ltd. 2,000 12 Matsushita Communication Industries 700 19 Matsushita Electric Industrial 8,000 103 Mitsubishi Estate 6,000 44 Mitsubishi Heavy Industries Ltd. 12,000 32 Mitsubishi Motors* 14,000 24 Mitsui Fudosan Ltd. 7,000 53 Mitsui Sumitomo Insurance Ltd. 12,000 56 Murata Manufacturing Ltd. 2,600 156 NEC 12,000 122 Nikko Cordial 5,000 22 Nikon 4,000 31 Nintendo Ltd. 800 140 Nippon Telegraph & Telephone 5 16 Nissan Motor Ltd. 43,000 228 Nomura Holdings 10,000 128 NTT Docomo 24 282 ORIX 900 81 Promise Ltd. 600 33 Rohm Ltd. 1,520 197 Sankyo Ltd. 1,000 17 Sekisui House Ltd. 4,000 29 Sharp 16,000 187 Shin-Etsu Chemical Ltd. 1,300 47 Shionogi Ltd. 4,000 68 Sony 2,800 128 Sumitomo Mitsui Banking 2,000 9 Sumitomo Realty & Development 4,000 18 Suzuki Motor 4,000 44 Takefuji 180 13 TDK 700 33 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tokyo Electric Power 1,000 $ 21 Tokyo Electron Ltd. 4,300 211 Tokyu 6,000 18 Toray Industries 15,000 36 UFJ Holdings* 11 24 Ushio 3,000 34 ---------- 3,296 ---------- MEXICO -- 0.9% America Movil de CV, Ser L ADR 2,900 57 Telefonos de Mexico ADR 3,000 105 ---------- 162 ---------- NETHERLANDS -- 8.7% ABN Amro Holding 2,414 39 Aegon 6,852 186 Ahold 4,406 128 ASML Holding* 3,200 56 Hagemeyer 1,900 36 Heineken 3,350 127 Heineken Holding, Cl A 750 21 ING Groep 800 20 Philips Electronics 6,203 184 Philips Electronics ADR 400 12 Royal Dutch Petroleum 1,100 56 Royal KPN* 11,490 58 Unilever 2,612 153 VNU 7,564 232 Wolters Kluwer 7,828 179 ---------- 1,487 ---------- NORWAY -- 0.5% Norsk Hydro 700 30 Statoil* 6,900 47 ---------- 77 ---------- PORTUGAL -- 0.1% Portugal Telecom SGPS ADR* 1,938 15 ---------- SINGAPORE -- 1.3% DBS Group Holdings Ltd. 2,000 15 Hong Kong Land Holdings Ltd. 9,000 17 Oversea-Chinese Banking 3,000 18 Singapore Airlines Ltd. 2,000 12 Singapore Technologies Engineering Ltd. 18,000 23 Singapore Telecommunications Ltd. 115,000 109 Singapore Telecommunications Ltd.* (AUD) 7,728 7 United Overseas Bank Ltd. 3,000 21 ---------- 222 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 37 STATEMENT OF NET ASSETS SEI VP International Equity Fund (Concluded) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SOUTH KOREA -- 3.0% Korea Telecom ADR 2,321 $ 47 Pohang Iron & Steel ADR 3,316 76 Samsung Electronics GDR (A) 3,348 388 ---------- 511 ---------- SPAIN -- 1.5% Altadis 900 15 Banco Bilbao Vizcaya Argentaria 6,200 77 Inditex* 2,500 48 Telefonica* 8,100 108 ---------- 248 ---------- SWEDEN -- 1.0% Assa Abloy, Cl B 3,200 46 Foreningssparbanken 3,100 39 Svenska Handelsbanken 2,700 40 Telefonaktiebolaget LM Ericson, Cl B 10,000 54 ---------- 179 ---------- SWITZERLAND -- 6.2% Compagnie Financiere Richemont, Cl A 4,554 85 Credit Suisse Group* 6,241 266 Holcim Ltd., Cl B 367 79 Nestle, Cl B 373 80 Novartis 2,997 108 Roche Holding 2,172 155 STMicroelectronics 1,300 42 STMicroelectronics ADR 200 6 Swiss Reinsurance 1,343 135 Swisscom 274 76 UBS* 561 28 ---------- 1,060 ---------- TAIWAN -- 1.5% Taiwan Semiconductor Manufacturing Ltd. ADR* 10,313 177 United Microelectronics ADR* 7,907 76 ---------- 253 ---------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- UNITED KINGDOM -- 19.0% ARM Holdings* 3,500 $ 18 AstraZeneca 4,886 220 AstraZeneca (SEK) 6,900 316 BAE Systems 55,202 249 BG Group 7,800 32 BHP Billiton 5,700 29 Brambles Industries* 8,000 40 British Airways 6,000 17 BT Group 22,780 84 Centrica 8,000 26 Colt Telecom Group* 17,569 29 Compass Group 5,184 27 GKN 7,300 28 GlaxoSmithKline 4,992 125 Granada 9,690 20 HBOS 2,900 34 HSBC Holdings 10,181 119 Lloyds TSB Group 5,360 58 Marks & Spencer 51,152 269 mmO2* 22,780 29 National Grid Group 3,800 24 Pearson 4,100 47 Prudential 4,600 53 Reed International 26,302 218 Reuters Group 5,300 52 Royal Bank of Scotland Group 10,611 258 Shell Transport & Trading 7,000 48 Shire Pharmaceuticals* 2,000 25 Smiths Group 6,300 62 Tate & Lyle 4,100 21 Unilever NV 8,500 70 Vodafone Group 228,805 599 ---------- 3,246 ---------- Total Foreign Common Stock (Cost $19,039) 16,328 ---------- FOREIGN CONVERTIBLE BONDS -- 0.1% BERMUDA -- 0.1% Sanwa International Finance Trust 1.250%, 08/01/05 JPY 3,000 9 ---------- LUXEMBURG -- 0.0% Hellenic Finance 2.000%, 08/02/05 EUR 7 6 ---------- Total Foreign Convertible Bonds (Cost $41) 15 ---------- -------------------------------------------------------------------------------- 38 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.0% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $369,132 (collateralized by U.S. Treasury Obligations, total market value $380,785) $369 $ 369 State Street Bank 0.850%, dated 12/31/01, matures 01/02/02, repurchase price $146,003 (collateralized by U.S. Treasury Obligations, total market value $154,732) 146 146 ---------- Total Repurchase Agreements (Cost $515) 515 ---------- Total Investments -- 98.9% (Cost $19,595) 16,858 ---------- Other Assets and Liabilities, Net -- 1.1% 189 ---------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 2,826,069 outstanding shares of beneficial interest 23,809 Distributions in excess of net investment income (6) Accumulated net realized loss on investments (4,019) Net unrealized depreciation on investments (2,737) ---------- Total Net Assets -- 100.0% $ 17,047 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 6.03 ========== * Non-Income Producing Security (A) Security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. ADR -- American Depositary Receipt AUD -- Australian Dollar Cl -- Class EUR -- Euro GDR -- Global Depositary Receipt JPY -- Japanese Yen Ltd. -- Limited SEK -- Swedish Krona Ser -- Series USD -- United States Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 39 STATEMENT OF NET ASSETS SEI VP Emerging Markets Equity Fund -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FOREIGN COMMON STOCK -- 69.7% BRAZIL -- 1.0% Banco Bradesco ADR 180 $ 5 Cia Siderurgica Nacional 1,008,100 16 Embraer Aircraft ADR 1,000 22 Petroleo Brasileiro ADR 1,200 28 Tele Centro Oeste Celular Participacoes ADR 1,000 7 Telesp Celular Participacoes ADR 200 2 Uniao de Bancos Brasileiros GDR 500 11 ---------- 91 ---------- CHILE -- 1.3% Banco Santander-Chile ADR 1,400 26 Cia Telecomunicacion Chile ADR* 1,600 22 Compania Telecomunicaciones de Chile ADR* 2,480 33 Distribucion Y Servicio D&S ADR 1,080 14 Endesa ADR 1,530 16 ---------- 111 ---------- CHINA -- 0.1% Aluminum Corp. of China Ltd. ADR* 310 5 ---------- CZECH REPUBLIC -- 0.6% Cesky Telecom GDR* 2,850 28 Komercni Banka GDR* 2,950 28 ---------- 56 ---------- EGYPT -- 0.1% Mobinil-Egyptian Mobile Network* 1,020 7 ---------- HONG KONG -- 5.6% China Insurance International Holdings Ltd. 40,000 25 China Merchants Holdings International Ltd. 12,000 8 China Mobile Ltd.* 70,000 246 China Overseas Land & Investments 158,000 20 China Petroleum & Chemical, Cl H 134,000 18 China Resources Enterprise 14,000 13 China Southern Airlines Ltd., Cl H* 31,000 9 China Unicom Ltd. ADR* 1,400 16 Huaneng Power International, Cl H 31,000 19 Legend Holdings Ltd. 84,000 43 PetroChina Ltd., Cl H 222,000 39 Qingling Motors, Cl H 38,000 6 Shanghai Industrial Holdings Ltd. 6,000 11 Yanzhou Coal Mining Ltd., Cl H 64,000 20 ---------- 493 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- HUNGARY -- 1.7% Gedeon Richter 200 $ 11 Gedeon Richter GDR 250 13 Matav 16,100 53 Matav ADR 1,980 34 MOL Magyar Olaj ES Gazipari GDR (A) 740 13 OTP Bank GDR 350 21 ---------- 145 ---------- INDIA -- 3.2% Dr. Reddy's Laboratories Ltd. ADR 1,000 19 HDFC Bank Ltd. ADR* 1,000 14 ITC Ltd. GDR 2,100 33 Mahanagar Telephone Nigam ADR* 3,500 21 Ranbaxy Laboratories Ltd. GDR (A) 2,000 31 Reliance Industries Ltd. GDR (A) 9,100 124 Satyam Computer Services ADR* 1,300 14 State Bank of India Ltd. GDR 2,900 24 ---------- 280 ---------- INDONESIA -- 1.0% Gudang Garam* 5,000 4 HM Sampoerna 37,500 12 Indofood Sukses Makmur 75,500 4 PT Bank Central Asia 115,000 16 Telekomunikasi 171,900 53 ---------- 89 ---------- ISRAEL -- 2.9% Bank Hapoalim Ltd. 4,800 10 Bezeq Israeli Telecommunication Ltd.* 9,300 13 Check Point Software Technologies* 2,062 82 Elbit Systems Ltd. 600 11 Lumenis Ltd.* 700 14 Orbotech Ltd.* 240 8 Precise Software Solutions Ltd.* 500 10 Taro Pharmaceuticals Industries* 800 32 Teva Pharmaceutical Industries ADR 1,220 75 ---------- 255 ---------- LUXEMBURG -- 0.1% Quilmes Industrial ADR 650 8 ---------- MALAYSIA -- 4.1% Malayan Banking 44,600 97 Perusahaan Otomobil Nasional 10,000 21 Public Bank 30,000 21 Resorts World 46,000 75 Telekom Malaysia 29,500 80 Tenaga Nasional 22,400 63 ---------- 357 ---------- -------------------------------------------------------------------------------- 40 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- MEXICO -- 10.4% America Movil de CV, Ser L ADR 10,680 $ 208 Cemex 6,697 34 Cemex ADR 700 17 Coca-Cola Femsa ADR 3,050 61 Consorcio ARA* 8,700 15 Fomento Economico Mexicano 6,350 21 Grupo Financiero Banorte, Ser O* 3,600 8 Grupo Financiero BBVA Bancomer* 101,900 93 Grupo Iusacell de CV ADR* 366 1 Grupo Modelo, Ser C 17,000 38 Grupo Televisa ADR* 1,060 46 Organizacion Soriana, Ser B* 7,600 21 Telefonos de Mexico ADR 5,690 200 TV Azteca ADR 1,500 10 Walmart de Mexico, Ser C 44,900 105 Walmart de Mexico, Ser V 14,000 38 ---------- 916 ---------- PHILIPPINES -- 0.6% Ayala Land 115,000 11 Manila Electric, Cl B* 13,000 8 Philippine Long Distance Telephone 2,000 16 Philippine Long Distance Telephone ADR 1,200 10 SM Prime Holdings 67,000 8 ---------- 53 ---------- POLAND -- 0.7% Bank Pekao GDR* 720 15 Powszechny Bank Kredytowy GDR 1,180 31 Telekomunikacja Polska GDR* 5,140 18 ---------- 64 ---------- RUSSIA -- 4.3% JSC Mining & Smelting ADR* 960 16 Lukoil Holding ADR 865 42 Mobile Telesystems ADR 1,200 43 OAO Gazprom ADR 3,900 38 RAO Unified Energy Systems ADR 1,600 25 RAO Unified Energy Systems GDR 2,720 43 Surgutneftegaz ADR 8,290 129 Vimpel Communications ADR* 500 13 VimpelCom ADR* 300 8 YUKOS ADR 300 24 ---------- 381 ---------- SOUTH AFRICA -- 5.8% ABSA Group Ltd. 5,400 16 African Bank Investments Ltd. 46,400 34 Anglo American Platinum Ltd. 2,480 92 Anglogold Ltd.* 1,050 37 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Barloworld Ltd.* 7,700 $ 38 FirstRand Ltd. 98,700 61 Harmony Gold Mining Ltd. ADR 2,401 16 Impala Platinum Holdings Ltd. 400 19 M-Cell Ltd.* 18,300 20 Murray & Roberts Holdings Ltd.* 9,700 6 Naspers Ltd., Ser N 4,500 7 Profurn Ltd.* 45,000 1 Sanlam Ltd. 47,000 36 Sappi Ltd.* 2,200 22 Sasol Ltd. 10,520 92 Steinhoff International Holdings Ltd. 15,500 12 Super Group Ltd. 8,100 6 ---------- 515 ---------- SOUTH KOREA -- 18.0% Good Morning Securities Ltd.* 3,820 17 Hana Bank 3,838 49 Hyundai Development 6,510 40 Hyundai Motor Ltd. GDR* 18,800 72 Kookmin Bank ADR* 5,477 213 Korea Electric Power ADR 13,900 127 Korea Telecom ADR 4,990 102 KT Freetel* 530 17 LG Electronics GDR(A) 3,800 19 Pohang Iron & Steel ADR 5,900 136 Samsung 3,440 19 Samsung Electronics GDR (A) 4,100 474 Samsung Eletro-Mechanics 730 24 Shinhan Financial Group Ltd. GDR (A)* 3,900 105 SK Telecom Ltd. ADR 8,130 176 ---------- 1,590 ---------- TAIWAN -- 2.5% Advanced Semiconductor Engineering ADR* 4,526 20 ASE Test Ltd.* 1,100 15 Asustek Computer GDR 19,605 89 China Steel GDR 2,600 20 Far Eastern Textile Ltd. GDR 195 1 Fubon Insurance Ltd. GDR 2,100 21 HON HAI Precision Industry GDR 5,392 54 ---------- 220 ---------- THAILAND -- 1.5% Advanced Info Service Public Ltd. 55,000 51 Bangkok Bank* 11,000 12 BEC World 2,500 11 PTT* 3,600 3 Siam Cement* 1,500 18 Telecomasia Ltd.* 88,000 20 Thai Farmers Bank* 43,200 21 ---------- 136 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 41 STATEMENT OF NET ASSETS SEI VP Emerging Markets Equity Fund (Concluded) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TURKEY -- 2.7% Anadolu Efes Biracilik Ve Malt Sanayii 795,426 $ 20 Enka Holdings Yatirim 367,150 26 KOC Holdings 765,000 20 Migros Turk TAS 223,540 19 Trakya CAM Sanayii 5,211,364 18 Turkcell Iletisim Hizmet 4,262,554 37 Turkiye Garanti Bankasi* 4,696,300 9 Turkiye IS Bankasi 6,491,174 36 Vestel Elektronik Sanayi* 5,165,000 13 Yapi VE Kredi Bankasi* 14,500,600 44 ---------- 242 ---------- UNITED KINGDOM -- 1.5% Anglo American 2,400 37 BHP Billiton 3,500 18 BHP Billiton (ZAR) 11,900 61 Dimension Data Holdings 15,830 19 ---------- 135 ---------- VENEZUELA -- 0.0% CANTV ADR 79 1 ---------- Total Foreign Common Stock (Cost $6,043) 6,150 ---------- FOREIGN PREFERRED STOCK -- 10.0% BRAZIL -- 9.6% Aracruz Celulose ADR 1,900 35 Banco Bradesco 8,734,426 47 Banco Itau 790,000 60 Brasil Telecom 4,571,742 26 Brasil Telecom Participacoes ADR 630 26 Centrais Eletricas Brasileiras, Cl B 1,510,000 20 Companhia Brasileira de Distribuicao Grupo de Acucar ADR* 660 15 Companhia de Bebidas das Americas ADR 1,900 39 Companhia Paranaense de Energia ADR 1,700 13 Companhia Vale do Rio Doce ADR 2,400 57 Companhia Vale do Rio Doce, Cl A 2,400 56 Eletropaulo Metropolitana de Sao Paulo 660,000 22 Gerdau 3,372,000 31 Petroleo Brasileiro ADR 7,110 158 Tele Centro Oeste Celular Participacoes ADR 3,400 24 Tele Norte Leste Participacoes ADR 7,444 116 Telecomunicacoes Brasileiras ADR 600 24 Telemar Norte Leste 814,000 21 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Telesp Celular Participacoes ADR 880 $ 8 Usinas Siderurgicas de Minas Gerais 4,200 12 Votorantim Celulose e Papel ADR* 2,150 38 ---------- 848 ---------- THAILAND -- 0.4% Siam Commercial Bank Ltd.* 85,900 33 ---------- Total Foreign Preferred Stock (Cost $808) 881 ---------- EQUITY LINKED WARRANTS (B) -- 16.5% INDIA -- 3.1% Hindustan Lever 12,177 56 Infosys 1,120 95 ITC Ltd. 4,400 62 Satyam Computer Services 9,000 44 Wipro 400 13 ---------- 270 ---------- SOUTH KOREA -- 1.7% Daishin Securities Ltd. 5,710 39 Korea Telecom 1,550 59 LG Cable Ltd. 5,000 55 ---------- 153 ---------- TAIWAN -- 11.7% Accton Technology* 11,000 28 Ambit Microsystems 9,000 41 Au Optronics* 28,300 30 Cathay Financial Holding Ltd.* 28,000 46 China Development Financial Holdings* 47,089 32 China Steel 86,000 34 Compal Electronics 15,000 19 Delta Electronics 18,000 31 Formusa Chemical & Fibre 38,000 25 Hon Hai Precision Industry 6,000 27 Mediatek 1,800 30 Nan Ya Plastic 49,000 38 Quanta Computer 10,300 34 Realtek Semiconductor 5,000 24 Ritek 16,500 18 Taiwan Semiconductor Manufacturing Ltd.* 109,685 339 United Microelectronics* 135,428 212 VIA Technologies 5,000 20 ---------- 1,028 ---------- Total Equity Linked Warrants (Cost $1,242) 1,451 ---------- -------------------------------------------------------------------------------- 42 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.9% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $107,497 (collateralized by U.S. Treasury Obligations, total market value $110,891) $108 $ 108 State Street Bank 0.850%, dated 12/31/01, matures 01/02/02, repurchase price $239,006 (collateralized by U.S. Treasury Obligations, total market value $249,573) 239 239 ---------- Total Repurchase Agreements (Cost $347) 347 ---------- Total Investments -- 100.1% (Cost $8,440) 8,829 ---------- Other Assets and Liabilities, Net -- (0.1)% (5) ---------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 1,591,922 outstanding shares of beneficial interest $ 13,517 Accumulated net investment loss (10) Accumulated net realized loss on investments (5,072) Net unrealized appreciation on investments 389 ---------- Total Net Assets-- 100.0% $ 8,824 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 5.54 ========== * Non-Income Producing Security (A) Security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. (B) Securities are not readily marketable. See Note 2 in Notes to Financial Statements. ADR -- American Depositary Receipt Cl -- Class GDR -- Global Depositary Receipt Ltd. -- Limited Ser -- Series ZAR -- South African Rand The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 43 STATEMENT OF NET ASSETS SEI VP Core Fixed Income Fund -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 14.6% U.S. Treasury Bonds 6.750%, 08/15/26 $ 380 $ 429 6.125%, 08/15/29 355 377 5.250%, 11/15/28 1,160 1,087 U.S. Treasury Bonds TIPS 3.875%, 04/15/29 3,898 4,156 3.625%, 04/15/28 66 67 3.375%, 04/15/32 240 237 U.S. Treasury Notes 5.000%, 08/15/11 50 50 U.S. Treasury STRIPS 0.000%, 11/15/21 330 101 0.000%, 11/15/22 330 95 0.000%, 11/15/27 140 31 ---------- Total U.S. Treasury Obligations (Cost $6,641) 6,630 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9% FHLMC 5.875%, 03/21/11 220 218 5.625%, 03/15/11 650 644 5.500%, 07/15/06 900 911 FNMA 6.625%, 11/15/10 140 149 6.250%, 02/01/11 100 102 5.375%, 11/15/11 60 58 FNMA (C) 1.980%, 02/21/02 850 848 TVA 7.140%, 05/23/12 150 164 7.125%, 05/01/30 30 33 ---------- Total U.S. Government Agency Obligations (Cost $3,106) 3,127 ---------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 38.6% FNMA 8.000%, 08/01/29-08/01/30 133 140 7.500%, 06/01/30-01/01/31 3,839 3,966 7.000%, 02/01/16-08/01/30 189 194 6.500%, 12/01/14-02/01/31 1,584 1,594 6.000%, 10/01/29 151 148 FNMA TBA 6.000%, 01/01/31 1,600 1,563 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA 7.500%, 08/15/28-07/20/30 $1,678 $ 1,740 7.000%, 10/15/27-05/15/29 298 305 6.500%, 02/15/29-07/15/29 671 674 6.000%, 02/15/29-04/15/29 591 581 GNMA TBA 7.000%, 01/01/31 1,000 1,021 6.500%, 01/24/32 4,800 4,813 6.000%, 01/24/32 800 784 ---------- Total U.S. Government Mortgage-Backed Obligations (Cost $17,297) 17,523 ---------- CORPORATE OBLIGATIONS -- 13.4% AEROSPACE & DEFENSE -- 2.5% British Aerospace Financial (B) 7.500%, 07/01/27 100 99 Lockheed Martin 8.500%, 12/01/29 235 281 6.750%, 03/15/03 100 104 Systems 2001 Asset Trust (B) 6.664%, 09/15/13 623 642 ---------- 1,126 ---------- AUTOMOTIVE -- 0.1% Ford Motor 8.900%, 01/15/32 40 43 ---------- BANKS -- 0.2% Key Bank 7.000%, 02/01/11 100 103 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6% News America Holdings 7.750%, 12/01/45 150 139 Viacom 7.150%, 05/20/05 100 107 ---------- 246 ---------- CABLE TV -- 0.2% Comcast Cable Communications 6.750%, 01/30/11 100 100 ---------- CHEMICALS -- 0.1% Dow Chemical 7.375%, 11/01/29 50 55 ---------- -------------------------------------------------------------------------------- 44 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMPUTERS & SERVICES -- 0.4% Pittney Bowes Credit 5.750%, 08/15/08 $ 200 $ 199 ---------- ELECTRICAL SERVICES -- 0.5% Progress Energy 7.100%, 03/01/11 100 104 Southern California Edison, Ser 1993-J 5.625%, 10/01/02 100 96 ---------- 200 ---------- ENVIRONMENTAL SERVICES -- 0.4% Waste Management 7.100%, 08/01/26 100 103 7.000%, 07/15/28 100 93 ---------- 196 ---------- FINANCIAL SERVICES -- 3.8% Associates NA 5.500%, 02/15/04 100 103 Dryden Investor Trust (B) 7.157%, 07/23/08 353 358 GE Capital Franchise Finance MTN 8.680%, 01/14/04 150 165 6.860%, 06/15/07 50 54 General Motors Acceptance MTN 6.380%, 01/30/04 700 721 Secured Finance 9.050%, 12/15/04 300 334 ---------- 1,735 ---------- FOOD, BEVERAGE & TOBACCO -- 1.1% Nabisco 7.550%, 06/15/15 100 109 Pepsi Bottling Group, Ser B 7.000%, 03/01/29 150 158 Philip Morris 7.750%, 01/15/27 225 233 ---------- 500 ---------- GAS/NATURAL GAS -- 0.3% Coastal 6.950%, 06/01/28 150 132 ---------- INSURANCE -- 0.9% Loew's 7.625%, 06/01/23 350 354 7.000%, 10/15/23 50 47 ---------- 401 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- PETROLEUM & FUEL PRODUCTS -- 0.4% ChevronTexaco 8.000%, 08/01/32 $ 150 $ 180 ---------- PETROLEUM EXPLORATION -- 0.3% Burlington Resources (B) 6.500%, 12/01/11 50 49 Vastar Resources 6.500%, 04/01/09 80 83 ---------- 132 ---------- TELEPHONES & TELECOMMUNICATIONS -- 0.9% France Telecom (A)(B) 7.317%, 03/01/31 200 228 6.698%, 03/01/11 75 81 Verizon Communications 6.840%, 04/15/18 100 99 ---------- 408 ---------- TRANSPORTATION SERVICES -- 0.7% CSX 7.950%, 05/01/27 200 220 Union Pacific 7.125%, 02/01/28 100 102 ---------- 322 ---------- Total Corporate Obligations (Cost $5,880) 6,078 ---------- YANKEE BONDS -- 9.1% AUTOMOTIVE PARTS & EQUIPMENT -- 0.4% DaimlerChrysler Holdings NA 7.400%, 01/20/05 100 104 Visteon 8.250%, 08/01/10 55 57 ---------- 161 ---------- BANKS -- 1.0% Bank of America 7.400%, 01/15/11 200 215 Bank One 7.875%, 08/01/10 200 220 ---------- 435 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2% AOL Time Warner 7.625%, 04/15/31 100 106 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 45 STATEMENT OF NET ASSETS SEI VP Core Fixed Income Fund (Concluded) -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CABLE TV -- 0.2% TCI Communications 6.375%, 05/01/03 $ 100 $ 103 --------- COMPUTERS & SERVICES -- 0.3% Electronic Data Systems 7.450%, 10/15/29 150 158 --------- DRUGS -- 0.9% Bristol-Myers Squibb 5.750%, 10/01/11 410 406 --------- ELECTRICAL SERVICES -- 0.7% First Energy, Ser B 6.450%, 11/15/11 50 49 First Energy, Ser C 7.375%, 11/15/31 50 49 Hydro-Quebec, Ser HQ 9.500%, 11/15/30 50 68 Hydro-Quebec, Ser HY 8.400%, 01/15/22 60 72 Hydro-Quebec, Ser JL 6.300%, 05/11/11 100 102 --------- 340 --------- FINANCIAL SERVICES -- 1.4% Ford Motor Credit 7.875%, 06/15/10 100 102 7.375%, 02/01/11 160 157 General Motors Acceptance 7.250%, 03/02/11 50 50 Goldman Sachs Group MTN 7.350%, 10/01/09 100 105 Household Finance 6.000%, 05/01/04 100 104 TYCO Capital 7.125%, 10/15/04 100 106 --------- 624 --------- FOOD, BEVERAGE & TOBACCO -- 0.7% Kellogg, Ser B 6.600%, 04/01/11 260 267 Philip Morris Capital 7.500%, 07/16/09 50 52 --------- 319 --------- GAS/NATURAL GAS -- 0.1% El Paso MTN 7.800%, 08/01/31 35 35 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- PETROLEUM & FUEL PRODUCTS -- 0.7% Conoco Funding 6.350%, 10/15/11 $ 50 $ 50 Phillips Petroleum 8.750%, 05/25/10 250 291 --------- 341 --------- SPECIAL PURPOSE ENTITY -- 0.1% Quebec Province 7.500%, 09/15/29 50 56 --------- TELEPHONES & TELECOMMUNICATIONS -- 1.9% BellSouth 6.000%, 10/15/11 330 329 British Telecom PLC (A) 7.350%, 12/15/30 30 35 6.529%, 12/15/10 200 221 WorldCom 8.250%, 05/15/31 250 264 --------- 849 --------- TRANSPORTATION SERVICES -- 0.5% Canadian National Railways 7.375%, 10/15/31 200 211 --------- Total Yankee Bonds (Cost $4,041) 4,144 --------- ASSET-BACKED SECURITIES -- 3.2% Lehman Manufactured Housing Contract, Ser 2001-B, Cl A3 4.350%, 05/15/14 400 393 Lehman Manufactured Housing Contract, Ser 2001-B, Cl A6 6.467%, 08/15/28 400 379 Public Service New Hampshire Funding LLC, Ser 2001-1, Cl A3 6.480%, 05/01/15 360 369 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI5 7.960%, 12/25/14 200 210 U.S. Clearing Master Trust, Ser 1999-1A (D) 3.050%, 07/15/06 93 93 --------- Total Asset-Backed Securities (Cost $1,461) 1,444 --------- -------------------------------------------------------------------------------- 46 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE RELATED -- 1.0% Merrill Lynch Mortgage Investors, Ser 1996-C2, Cl A3 6.960%, 11/21/28 $ 423 $ 438 ---------- Total Mortgage Related (Cost $455) 438 ---------- COMMERCIAL PAPER -- 0.6% AT&T 4.525%, 08/06/02 300 300 ---------- Total Commercial Paper (Cost $300) 300 ---------- REPURCHASE AGREEMENTS -- 28.9% JP Morgan Chase 1.720%, dated 12/31/01, matures 01/02/02, repurchase price $9,000,430 (collateralized by a FNMA Obligation, total market value $9,184,506) 9,000 9,000 Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $4,114,803 (collateralized by U.S Treasury Obligations, total market value $4,244,701) 4,115 4,115 ---------- Total Repurchase Agreements (Cost $13,115) 13,115 ---------- Total Investments -- 116.3% (Cost $52,296) 52,799 ---------- OTHER ASSETS AND LIABILITIES, NET -- (16.3%) WRITTEN OPTIONS -- 0.0% March 2002 U.S. Ten Year Treasury Note Future Put (3) (3) ---------- Total Written Options (Premiums $(4)) (3) ---------- Investment Securities Purchased-- (17.9)% (8,115) ---------- Other Assets and Liabilities, Net-- 1.6% 713 ---------- Total Other Assets and Liabilities (7,405) ---------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 4,379,065 outstanding shares of beneficial interest $ 45,184 Distributions in excess of net investment income (5) Accumulated net realized loss on investments (167) Net unrealized appreciation on investments and options 504 Net unrealized depreciation on future contracts (122) ---------- Total Net Assets-- 100.0% $ 45,394 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $10.37 ========== (A) Step Bond -- The rate reported on the Statement of Net Assets is the effective yield as of December 31, 2001. The coupon on a bond changes on a specific date. (B) Security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. (C) Discount Note -- The rate reported on the Statement of Net Assets is the discount rate at time of purchase. (D) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of December 31, 2001. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company MTN -- Medium Term Note NA -- North America PLC -- Public Liability Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Security TBA -- To Be Announced TIPS -- Treasury Inflation Protection Security TVA -- Tennessee Valley Authority The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 47 STATEMENT OF NET ASSETS SEI VP High Yield Bond Fund -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Corporate Obligations -- 80.9% AGRICULTURE -- 1.6% Scotts 8.625%, 01/15/09 $200 $ 205 ---------- APPAREL/TEXTILES -- 2.1% Tommy Hilfiger USA 6.500%, 06/01/03 150 153 William Carter (A) 10.875%, 08/15/11 100 107 ---------- 260 ---------- AUTO RENT & LEASE -- 1.2% United Rentals, Ser B 9.250%, 01/15/09 150 148 ---------- AUTOMOTIVE PARTS & EQUIPMENT -- 3.2% Collins & Aikman Products (A) 10.750%, 12/31/11 150 150 CSK Auto (A) 12.000%, 06/15/06 100 101 Lear, Ser B 8.110%, 05/15/09 150 152 ---------- 403 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 8.4% Allbritton Communications, Ser B 9.750%, 11/30/07 150 157 Echostar DBS 9.375%, 02/01/09 150 154 Emmis Communications, Ser B 8.125%, 03/15/09 150 144 Gray Communications Systems (A) 9.250%, 12/15/11 150 148 Lamar Media 8.625%, 09/15/07 150 156 Sinclair Broadcast Group 9.000%, 07/15/07 100 101 8.750%, 12/15/07 100 100 Susquehanna Media 8.500%, 05/15/09 100 102 ---------- 1,062 ---------- BUILDING & CONSTRUCTION -- 4.0% KB Home 9.500%, 02/15/11 100 102 NVR 8.000%, 06/01/05 150 151 Toll 8.250%, 02/01/11 50 50 8.125%, 02/01/09 100 99 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- URS, Ser B 12.250%, 05/01/09 $100 $ 102 ---------- 504 ---------- CABLE TV -- 8.4% Adelphia Communications 8.750%, 10/01/07 100 93 Adelphia Communications, Ser B 8.375%, 02/01/08 200 185 CSC Holdings 7.875%, 12/15/07 200 206 Insight Communications (B) 5.867%, 02/15/11 100 59 Mediacom Capital LLC 7.875%, 02/15/11 150 145 Price Communications Wireless, Ser B 9.125%, 12/15/06 200 212 Salem Communications, Ser B 9.500%, 10/01/07 150 155 ---------- 1,055 ---------- CHEMICALS -- 1.2% OM Group (A) 9.250%, 12/15/11 150 153 ---------- COMMERCIAL SERVICES -- 1.2% Iron Mountain 8.250%, 07/01/11 150 153 ---------- COMMUNICATIONS EQUIPMENT -- 1.3% Insight Midwest 9.750%, 10/01/09 150 158 ---------- COMPUTERS & SERVICES -- 0.3% Diva Systems, Ser B (B) 32.023%, 03/01/08 250 40 ---------- CONTAINERS & PACKAGING -- 1.2% Plastipak Holdings (A) 10.750%, 09/01/11 150 157 ---------- COSMETICS & TOILETRIES -- 1.2% Armkel LLC (A) 9.500%, 08/15/09 150 157 ---------- DRUGS -- 1.6% AmerisourceBergen (A) 8.125%, 09/01/08 100 102 NBTY, Ser B 8.625%, 09/15/07 100 96 ---------- 198 ---------- -------------------------------------------------------------------------------- 48 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.2% BRL Universal Equipment (A) 8.875%, 02/15/08 $150 $ 156 ---------- ENTERTAINMENT -- 3.4% Argosy Gaming 10.750%, 06/01/09 200 220 Horseshoe Gaming Holdings, Ser B 8.625%, 05/15/09 200 206 ---------- 426 ---------- ENVIRONMENTAL SERVICES -- 1.2% Allied Waste North America, Ser B 7.875%, 01/01/09 150 147 ---------- FINANCIAL SERVICES -- 0.9% Labrache 12.000%, 03/02/07 100 114 ---------- FOOD, BEVERAGE & TOBACCO -- 4.7% Aurora Foods, Ser B 9.875%, 02/15/07 100 96 Cott Beverages (A) 8.000%, 12/15/11 150 146 Nash Finch 8.500%, 05/01/08 150 142 National Wine & Spirits 10.125%, 01/15/09 100 102 Pilgrim's Pride 9.625%, 09/15/11 100 107 ---------- 593 ---------- GAS/NATURAL GAS -- 1.7% Western Gas Resources 10.000%, 06/15/09 200 212 ---------- HOTELS & LODGING -- 7.3% Aztar 8.875%, 05/15/07 150 155 Harrahs Operating 7.875%, 12/15/05 150 156 HMH Properties, Ser B 7.875%, 08/01/08 100 92 Hollywood Casino 11.250%, 05/01/07 100 108 Mandalay Resort Group 9.250%, 12/01/05 150 151 Park Place Entertainment 9.375%, 02/15/07 100 104 Wheeling Island Gaming (A) 10.125%, 12/15/09 150 152 ---------- 918 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MEDICAL LABS & TESTING SERVICES -- 1.1% Insight Health Services (A) 9.875%, 11/01/11 $ 50 $ 52 Magellan Health Services 9.000%, 02/15/08 100 89 ---------- 141 ---------- MEDICAL PRODUCTS & SERVICES -- 2.4% Kinectic Concepts, Ser B 9.625%, 11/01/07 150 148 Vicar Operating (A) 9.875%, 12/01/09 150 153 ---------- 301 ---------- PETROLEUM & FUEL PRODUCTS -- 3.2% Peabody Energy, Ser B 9.625%, 05/15/08 81 87 Pennzoil-Quaker State (A) 10.000%, 11/01/08 100 104 Pride International 9.375%, 05/01/07 200 211 ---------- 402 ---------- PETROLEUM EXPLORATION -- 2.9% Hanover Equipment (A) 8.500%, 09/01/08 150 156 Stone Energy (A) 8.250%, 12/15/11 100 102 Westport Resources (A) 8.250%, 11/01/11 100 101 ---------- 359 ---------- PRINTING & PUBLISHING -- 1.1% Nebraska Book 8.750%, 02/15/08 150 140 ---------- RETAIL -- 5.5% Cole National Group 9.875%, 12/31/06 100 98 Great Atlantic & Pacific Tea 9.125%, 12/15/11 150 151 Ingles Markets (A) 8.875%, 12/01/11 150 147 Petco Animal Supplies (A) 10.750%, 11/01/11 150 153 Winn-Dixie Stores 8.875%, 04/01/08 150 143 ---------- 692 ---------- -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 49 STATEMENT OF NET ASSETS SEI VP High Yield Bond Fund (Concluded) -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- RUBBER & PLASTIC -- 0.8% Applied Extrusion Technologies, Ser B 10.750%, 07/01/11 $100 $ 107 ---------- SEMI-CONDUCTORS/INSTRUMENTS -- 0.8% Fisher Scientific International 9.000%, 02/01/08 100 103 ---------- TELEPHONES & TELECOMMUNICATIONS -- 2.3% Triton PCS (B) 1.582%, 05/01/08 150 136 Voicestream Wireless 10.375%, 11/15/09 130 150 ---------- 286 ---------- TRANSPORTATION SERVICES -- 0.8% Werner Holdings, Ser A 10.000%, 11/15/07 100 97 ---------- TRUCKING -- 0.8% Oshkosh Truck 8.750%, 03/01/08 100 102 ---------- WHOLESALE -- 1.9% B&G Foods 9.625%, 08/01/07 150 144 Fleming, Ser B 10.500%, 12/01/04 100 99 ---------- 243 ---------- Total Corporate Obligations (Cost $10,030) 10,192 ---------- Yankee Bonds -- 11.6% AEROSPACE & DEFENSE -- 0.8% Alliant Techsystems 8.500%, 05/15/11 100 104 ---------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.1% Paxson Communications 10.750%, 07/15/08 100 105 Radio One, Ser B 8.875%, 07/01/11 150 155 ---------- 260 ---------- CABLE TV -- 2.1% Charter Communications Holdings 11.125%, 01/15/11 100 106 Rogers Communications 8.875%, 07/15/07 150 152 ---------- 258 ---------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CHEMICALS -- 0.8% Airgas 9.125%, 10/01/11 $100 $ 106 ---------- CONTAINERS & PACKAGING -- 0.9% Stone Container 9.750%, 02/01/11 100 106 ---------- ENTERTAINMENT -- 1.2% Six Flags 9.500%, 02/01/09 150 151 ---------- HOTELS & LODGING -- 2.2% Ameristar Casinos 10.750%, 02/15/09 150 162 Sun International Hotels 9.000%, 03/15/07 125 120 ---------- 282 ---------- PAPER & RELATED PRODUCTS -- 0.1% Doman Industries Ltd. 8.750%, 03/15/04 100 18 ---------- PETROLEUM EXPLORATION -- 0.8% Chesepeake Energy 8.125%, 04/01/11 100 97 ---------- TELEPHONES & TELECOMMUNICATIONS -- 0.6% Nextel Communications 9.500%, 02/01/11 100 78 ---------- Total Yankee Bonds (Cost $1,522) 1,460 ---------- WARRANTS -- 0.0% Jostens, Cl E expires 05/01/10* 100 2 ---------- Total Warrants (Cost $0) 2 ---------- COMMON STOCK -- 0.1% FOOD, BEVERAGE & TOBACCO-- 0.1% Aurora Foods 2 9 ---------- Total Common Stock (Cost $4) 9 ---------- -------------------------------------------------------------------------------- 50 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 5.3% Morgan Stanley Dean Witter 1.550%, dated 12/31/01, matures 01/02/02, repurchase price $668,117 (collateralized by various U.S. Treasury Obligations, total market value $689,208) $668 $ 668 ---------- Total Repurchase Agreement (Cost $668) 668 ---------- Total Investments -- 97.9% (Cost $12,224) 12,331 ---------- Other Assets and Liabilities, Net-- 2.1% 264 ---------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 1,455,124 outstanding shares of beneficial interest 14,189 Distributions in excess of net investment income (1) Accumulated net realized loss on investments (1,700) Net unrealized appreciation on investments 107 ---------- Total Net Assets -- 100.0% $ 12,595 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $8.66 ========== * Non-Income Producing Security (A) Security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. (B) Step Bond -- The rate reported on the Statement of Net Assets is the effective yield as of December 31, 2001. The coupon on a bond changes on a specific date. Cl -- Class LLC -- Limited Liability Company Ltd. -- Limited Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 51 SCHEDULE OF INVESTMENTS SEI VP International Fixed Income Fund -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Foreign Bonds -- 82.8% BELGIUM -- 4.2% Government of Belgium, Ser 24 7.000%, 05/15/06 430 $ 421 ---------- CANADA -- 2.7% Government of Canada 9.000%, 06/01/25 50 44 6.000%, 09/01/05 90 60 5.500%, 06/01/09 230 146 Government of Canada, Ser A-76 9.000%, 06/01/25 25 22 ---------- 272 ---------- DENMARK -- 2.2% Kingdom of Denmark 8.000%, 03/15/06 1,600 215 ---------- FRANCE -- 12.2% French Treasury Bills (A) 2.992%, 02/14/02 950 842 Government of France 5.500%, 10/25/10 400 368 ---------- 1,210 ---------- GERMANY -- 11.7% Bundesobligation, Ser 122 4.500%, 02/22/02 1,250 1,115 Bundesrepublic Deutschland 5.000%, 07/04/11 10 9 Deutsche Ausgleichsbank 1.850%, 09/20/10 JPY 5,000 40 ---------- 1,164 ---------- GREECE -- 6.7% Hellenic Republic 6.300%, 01/29/09 700 666 ---------- HUNGARY -- 2.4% Government of Hungary 9.250%, 05/12/05 62,710 236 ---------- ITALY -- 6.5% Buoni Poliennali Del Tes 4.750%, 03/15/06 330 297 Republic of Italy 1.800%, 02/23/10 JPY 43,000 348 ---------- 645 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- JAPAN -- 1.7% Japan Bank for International Cooperation 2.875%, 07/28/05 20,000 $ 167 ---------- NETHERLANDS -- 2.6% Government of Netherlands 5.500%, 01/15/28 285 254 ---------- NEW ZEALAND -- 0.9% Government of New Zealand, Ser 404 8.000%, 04/15/04 205 90 ---------- POLAND -- 3.0% Government of Poland, Ser 0205 8.500%, 02/12/05 500 122 Government of Poland, Ser 0403 (A) 9.341%, 04/21/03 808 181 ---------- 303 ---------- SPAIN -- 4.4% Bonos Y Obligation Del Estado 6.000%, 01/31/29 403 381 Government of Spain 3.100%, 09/20/06 7,000 60 ---------- 441 ---------- SUPRANATIONAL -- 4.2% European Investment Bank 6.000%, 12/07/28 GBP 85 137 3.000%, 09/20/06 JPY 17,000 145 World Bank 4.750%, 12/20/04 JPY 15,000 130 ---------- 412 ---------- SWEDEN -- 0.9% Government of Sweden, Ser 1035 6.000%, 02/09/05 640 63 Government of Sweden, Ser 1040 6.500%, 05/05/08 305 31 ---------- 94 ---------- UNITED KINGDOM -- 4.6% United Kingdom Treasury Notes 8.000%, 12/07/15 60 113 7.500%, 12/07/06 175 281 6.250%, 11/25/10 40 63 ---------- 457 ---------- -------------------------------------------------------------------------------- 52 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- UNITED STATES -- 11.9% FHLMC 5.250%, 01/15/06 EUR 390 $ 357 KFW International Finance 1.750%, 03/23/10 JPY 102,000 827 ---------- 1,184 ---------- Total Foreign Bonds (Cost $8,497) 8,231 ---------- U.S. TREASURY OBLIGATIONS -- 7.3% U.S. Treasury Bills (B) 1.662%, 03/14/02 680 678 U.S. Treasury Notes 3.500%, 11/15/06 55 53 ---------- Total U.S. Treasury Obligations (Cost $731) 731 ---------- Total Investments -- 90.1% (Cost $9,228) 8,962 ---------- Other Assets and Liabilities, Net-- 9.9% 983 ---------- Total Net Assets-- 100.0% $ 9,945 ========== (A) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (B) Discount Note -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (1) In local currency unless otherwise indicated. EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation GBP -- Great British Pound JPY -- Japanese Yen Ser -- Series -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 53 SCHEDULE OF INVESTMENTS SEI VP Emerging Markets Debt Fund -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- FOREIGN BONDS -- 92.8% ALGERIA -- 1.7% Republic of Algeria (A) 4.313%, 03/04/10 165 $ 142 ---------- ARGENTINA -- 2.7% Republic of Argentina (E) 8.750%, 07/10/02 30 9 0.000%, 11/30/02 100 35 Republic of Argentina (A) (E) 0.000%, 04/10/05 123 34 Republic of Argentina, Ser E (C) (E) 0.006%, 10/15/03 175 79 Republic of Argentina, Ser L-GP (B) (E) 14.157%, 03/31/23 150 65 Republic of Argentina, Ser PRO1 (A) (E) 2.462%, 04/01/07 ARP 55 3 ---------- 225 ---------- BRAZIL -- 18.5% Republic of Brazil 12.250%, 03/06/30 557 479 11.000%, 08/17/40 834 643 8.875%, 04/15/24 250 167 Republic of Brazil, Ser RG (A) 3.250%, 04/15/12 325 231 ---------- 1,520 ---------- BULGARIA -- 4.7% Republic of Bulgaria, Ser A (A) 4.563%, 07/28/12 425 383 ---------- COLOMBIA -- 3.1% Republic of Colombia 11.750%, 02/25/20 195 195 10.000%, 01/23/12 50 49 8.700%, 02/15/16 18 14 ---------- 258 ---------- COSTA RICA -- 0.5% Republic of Costa Rica (D) 9.995%, 08/01/20 40 45 ---------- ECUADOR -- 4.0% Republic of Ecuador (B) 16.221%, 08/15/30 350 167 Republic of Ecuador (B)(D) 16.291%, 08/15/30 100 48 Republic of Ecuador (D) 12.000%, 11/15/12 155 115 ---------- 330 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- JAMAICA -- 1.6% Government of Jamaica 10.875%, 06/10/05 50 $ 51 Government of Jamaica (D) 12.750%, 09/01/07 70 77 ---------- 128 ---------- MEXICO -- 17.6% Morocco R&C Loan, Tranche A (A) 2.781%, 01/01/09 374 333 Petroleos Mexicanos 9.500%, 09/15/27 265 276 United Mexican States 11.500%, 05/15/26 190 242 11.375%, 09/15/16 250 308 9.875%, 02/01/10 50 56 United Mexican States, Ser B 6.250%, 12/31/19 250 234 ---------- 1,449 ---------- PANAMA -- 2.2% Republic of Panama, Ser 18YR (A) 5.000%, 07/17/14 202 179 ---------- PERU -- 3.1% Republic of Peru PDI 4.500%, 03/07/17 200 153 Republic of Peru, Ser 20YR (A) 4.000%, 03/07/17 40 28 4.000%, 03/07/17 100 71 ---------- 252 ---------- PHILIPPINES -- 2.1% Republic of Philippines 9.875%, 01/15/19 185 176 ---------- POLAND -- 1.6% Republic of Poland (B) 6.000%, 10/27/14 134 133 ---------- RUSSIA -- 19.6% Russian Federation 10.000%, 06/26/07 260 256 8.250%, 03/31/10 150 131 Russian Federation (B) 11.706%, 03/31/30 1,405 815 Russian Federation (B) (D) 11.728%, 03/31/30 462 268 Russian Federation (D) 8.250%, 03/31/10 169 148 ---------- 1,618 ---------- -------------------------------------------------------------------------------- 54 SEI Insurance Products Trust / Annual Report / December 31, 2001 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) -------------------------------------------------------------------------------- TURKEY -- 3.7% Republic of Turkey 11.875%, 01/15/30 215 $ 208 11.750%, 06/15/10 100 98 ---------- 306 ---------- UNITED STATES -- 1.0% Pemex Project Funding Master Trust 8.500%, 02/15/08 75 78 ---------- URUGUAY -- 1.3% Republic of Uruguay 8.750%, 06/22/10 100 107 ---------- VENEZUELA -- 3.8% Republic of Venezuela - Rights 3 -- Republic of Venezuela, Ser W-A 6.750%, 03/31/20 50 37 Republic of Venezuela, Ser W-A (A) 3.188%, 03/31/20 150 105 Republic of Venezuela, Ser W-B (A) 3.000%, 03/31/20 250 175 ---------- 317 ---------- Total Foreign Bonds (Cost $7,362) 7,646 ---------- REPURCHASE AGREEMENT -- 1.5% State Street Bank 1.620%, dated 12/31/01, matures 01/02/02, repurchase price $127,006 (collateralized by U.S. Treasury Obligations, total market value $133,712) 127 127 ---------- Total Repurchase Agreement (Cost $127) 127 ---------- Total Investments -- 94.3% (Cost $7,489) 7,773 ---------- Other Assets and Liabilities, Net -- 5.7% 466 ---------- Total Net Assets -- 100.0% $ 8,239 ========== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of December 31, 2001. (B) Step Bond -- The rate reported on the Schedule of Investments is the effective yield as of December 31, 2001. The coupon on a bond changes on a specific date. (C) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (D) Security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. (E) Security in default on interest payments. ARP -- Argentine Peso PDI -- Past Due Interest Ser -- Series (1) In local currency unless otherwise indicated. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 55 STATEMENT OF NET ASSETS SEI VP Prime Obligation Fund -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS(DAGGER) -- 68.7% FFCB 2.200%, 03/01/02 $ 450 $ 448 FHLB 2.050%, 01/25/02 1,585 1,583 2.200%, 04/05/02 343 341 2.250%, 04/09/02 508 505 FHLMC 1.930%, 02/07/02 775 774 FMC 2.010%, 02/04/02 1,150 1,148 FNMA 2.250%, 01/17/02 1,540 1,539 2.010%, 01/31/02 360 359 1.930%, 01/31/02 160 160 2.000%, 02/07/02 85 85 1.850%, 02/07/02 440 439 1.730%, 02/14/02 2,359 2,354 2.020%, 02/21/02 315 314 1.900%, 02/21/02 220 219 1.720%, 02/28/02 200 199 1.750%, 03/07/02 400 399 1.850%, 03/08/02 76 76 2.120%, 03/21/02 356 354 ---------- Total U.S. Government Agency Obligations (Cost $11,296) 11,296 ---------- COMMERCIAL PAPER -- 16.6% BEAUTY PRODUCTS -- 2.5% Kimberly-Clark 1.750%, 02/22/02 400 399 ---------- SPECIAL PURPOSE EQUITY -- 12.0% Ciesco LP 1.830%, 02/04/02 350 349 Falcon Asset Securitization 1.850%, 02/05/02 330 329 Fleet Funding 1.790%, 02/08/02 300 300 General Electric Capital 2.280%, 02/12/02 300 299 1.840%, 02/21/02 350 349 Preferred Receivable Funding 2.090%, 01/31/02 350 350 ---------- 1,976 ---------- SCHOOLS -- 2.1% Columbia University 2.160%, 02/04/02 350 349 ---------- Total Commercial Paper (Cost $2,724) 2,724 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 4.5% JP Morgan Chase 1.750%, 03/13/02 $ 400 $ 400 LaSalle Bank Northern Il 2.070%, 02/04/02 350 350 ---------- Total Certificates Of Deposit (Cost $750) 750 ---------- REPURCHASE AGREEMENT -- 10.3% BNP Paribas Securities 1.670%, dated 12/31/01, matures 01/2/02, repurchase price $1,692,078 (collateralized by U.S. Treasury Obligations, total market value $1,729,598) 1,692 1,692 ---------- Total Repurchase Agreement (Cost $1,692) 1,692 --------- Total Investments -- 100.1% (Cost $16,462) 16,462 --------- Other Assets and Liabilities, Net -- (0.1)% (13) --------- NET ASSETS: Portfolio Shares of Class A (unlimited authorization -- no par value) based on 16,203,158 outstanding shares of beneficial interest 16,203 Portfolio Shares of Class B (unlimited authorization -- no par value) based on 245,798 outstanding shares of beneficial interest 246 --------- Total Net Assets -- 100.0% $ 16,449 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 ========== (DAGGER) Discount Notes - Yield is the effective yield at time of purchase. FFCB -- Federal Farm Credit Bank FLHB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FMC -- Farmers Mortgage Corporation FNMA -- Federal National Mortgage Association LP -- Limited Partnership The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 56 SEI Insurance Products Trust / Annual Report / December 31, 2001 Statements of Assets and Liabilities ($ Thousands) December 31, 2001
------------------------------------------------------------------------------------- SEI VP SEI VP INTERNATIONAL EMERGING FIXED INCOME MARKETS FUND DEBT FUND ------------------------------------------------------------------------------------- ASSETS: Investments (Cost $9,228 and $7,489, respectively) $ 8,962 $7,773 Cash 503 -- Foreign currency (Cost $206 and $1, respectively) 206 1 Income receivable 236 213 Investment securities sold 337 261 Capital shares sold receivable 25 16 Unrealized gain on forward foreign currency contracts 25 -- ------------------------------------------------------------------------------------- Total Assets 10,294 8,264 ------------------------------------------------------------------------------------- LIABILITIES: Investment securities purchased 258 -- Capital shares redeemed payable 2 2 Unrealized loss on forward foreign currency contracts 43 -- Accrued expenses payable 16 17 Other payables 30 6 ------------------------------------------------------------------------------------- Total Liabilities 349 25 ------------------------------------------------------------------------------------- Total Net Assets $9,945 $8,239 ------------------------------------------------------------------------------------- NET ASSETS: Fund Shares of Class A (unlimited authorization -- no par value) based on 1,069,349 and 823,395, respectively, of outstanding shares of beneficial interest 10,296 8,249 Accumulated net investment loss (70) -- Accumulated net realized gain (loss) on investments 4 (294) Net unrealized appreciation (depreciation) on investments and options (266) 284 Net unrealized depreciation on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies (19) -- ------------------------------------------------------------------------------------- Total Net Assets $9,945 $8,239 ------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share-- Class A $9.30 $10.01 -------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 57 Statements of Operations ($ Thousands) For the year ended December 31, 2001
---------------------------------------------------------------------------------------------------------------- SEI VP SEI VP SEI VP SEI VP LARGE CAP LARGE CAP SMALL CAP SMALL CAP VALUE FUND GROWTH FUND VALUE FUND GROWTH FUND ---------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 619 $ 102 $ 190 $ 10 Interest 30 34 18 14 Less: Foreign taxes withheld -- (2) (1) -- ---------------------------------------------------------------------------------------------------------------- Total Investment Income 649 134 207 24 ---------------------------------------------------------------------------------------------------------------- EXPENSES: Management fees 108 78 46 31 Investment advisory fees 108 89 85 57 Custodian fees 29 20 12 8 Transfer agent fees 8 6 4 3 Professional fees 64 45 27 18 Printing fees 19 14 8 6 Trustee fees 12 9 5 3 Miscellaneous fees 5 3 2 3 ---------------------------------------------------------------------------------------------------------------- Total Expenses 353 264 189 129 ---------------------------------------------------------------------------------------------------------------- Less, Waiver of: Management Fees (54) (58) (40) (29) Investment Advisory Fees (36) (17) (5) (3) Reimbursement from manager -- -- -- -- ---------------------------------------------------------------------------------------------------------------- Net Expenses 263 189 144 97 ---------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 386 (55) 63 (73) ---------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from investments and options 761 (7,668) 799 (2,029) Net realized gain (loss) from futures contracts (8) -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- Net change in unrealized appreciation (depreciation) on investments (1,822) 1,748 1,033 53 Net change in unrealized appreciation (depreciation) on futures contracts 2 -- -- -- Net change in unrealized depreciation on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies -- -- -- -- ---------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (681) $(5,975) $1,895 $(2,049) ----------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 58 SEI Insurance Products Trust / Annual Report / December 31, 2001
---------------------------------------------------------------------------------------------------------- SEI VP SEI VP SEI VP SEI VP SEI VP EMERGING SEI VP SEI VP INTERNATIONAL EMERGING PRIME INTERNATIONAL MARKETS CORE FIXED HIGH YIELD FIXED INCOME MARKETS OBLIGATION EQUITY FUND EQUITY FUND INCOME FUND BOND FUND FUND DEBT FUND FUND ---------------------------------------------------------------------------------------------------------- $ 232 $ 160 $ -- $ -- $ 1 $ 1 $ -- 11 6 1,859 1,217 344 814 345 (24) (10) -- -- (1) -- -- ---------------------------------------------------------------------------------------------------------- 219 156 1,859 1,217 344 815 345 ---------------------------------------------------------------------------------------------------------- 67 50 91 41 52 48 38 75 82 89 57 26 63 7 100 114 31 11 18 9 8 4 2 8 3 2 2 2 33 20 66 24 18 17 19 9 5 20 7 5 5 6 8 5 13 4 4 4 4 9 9 4 6 5 6 1 ---------------------------------------------------------------------------------------------------------- 305 287 322 153 130 154 85 ---------------------------------------------------------------------------------------------------------- (67) (50) (91) (41) (43) (30) (38) (6) (25) (23) (3) (1) (24) -- (41) (61) (14) (10) -- -- (7) ---------------------------------------------------------------------------------------------------------- 191 151 194 99 86 100 40 ---------------------------------------------------------------------------------------------------------- 28 5 1,665 1,118 258 715 305 ---------------------------------------------------------------------------------------------------------- (3,353) (2,671) 600 (1,676) 91 (223) -- -- -- 119 -- -- -- -- (8) (37) -- -- (310) 1 -- (592) 1,916 (3) 976 (401) 374 -- -- -- (177) -- -- -- -- (1) (1) -- -- (60) -- -- ---------------------------------------------------------------------------------------------------------- $(3,926) $ (788) $2,204 $ 418 $(422) $ 867 $305 ----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 59 Statements of Changes in Net Assets ($ Thousands) For the periods ended December 31,
-------------------------------------------------------------------------------------------------------------------------- SEI VP SEI VP LARGE CAP VALUE FUND LARGE CAP GROWTH FUND -------------------------------------------------------------------------------------------------------------------------- 2001 2000(1) 2001 2000(1) -------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss) $ 386 $ 153 $ (55) $ (31) Net realized gain (loss) from security transactions and futures contracts 753 (495) (7,668) (2,116) Net realized loss on forward foreign currency contracts and foreign currency transactions -- -- -- -- Net change in unrealized appreciation (depreciation) on investments and futures contracts (1,820) 2,009 1,748 (2,840) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies -- -- -- -- -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations (681) 1,667 (5,975) (4,987) -------------------------------------------------------------------------------------------------------------------------- DIVIDENDS DISTRIBUTED FROM: CLASS A: Net investment income (386) (153) -- -- Net realized gains (635) -- -- -- -------------------------------------------------------------------------------------------------------------------------- Total distributions (1,021) (153) -- -- -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from shares issued 20,438 20,681 19,372 22,439 Reinvestment of distributions 1,021 153 -- -- Cost of shares redeemed (3,039) (186) (1,765) (224) -------------------------------------------------------------------------------------------------------------------------- Increase in net assets derived from Class A transactions 18,420 20,648 17,607 22,215 -------------------------------------------------------------------------------------------------------------------------- Increase in net assets derived from capital share transactions 18,420 20,648 17,607 22,215 -------------------------------------------------------------------------------------------------------------------------- Net increase in net assets 16,718 22,162 11,632 17,228 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 22,170 8 17,236 8 -------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $38,888 $22,170 $28,868 $17,236 -------------------------------------------------------------------------------------------------------------------------- SHARES ISSUED AND REDEEMED: CLASS A: Shares issued 1,949 2,051 3,309 2,327 Reinvestment of distributions 100 15 -- -- Shares redeemed (289) (18) (313) (24) -------------------------------------------------------------------------------------------------------------------------- Total Class A transactions 1,760 2,048 2,996 2,303 -------------------------------------------------------------------------------------------------------------------------- Net increase in capital shares 1,760 2,048 2,996 2,303 --------------------------------------------------------------------------------------------------------------------------
(1) Commenced operations on April 5, 2000. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 60 SEI Insurance Products Trust / Annual Report / December 31, 2001
------------------------------------------------------------------------------------------------------- SEI VP SEI VP SEI VP SEI VP EMERGING SMALL CAP VALUE FUND SMALL CAP GROWTH FUND INTERNATIONAL EQUITY FUND MARKETS EQUITY FUND ----------------------------------------------------------------------------------------------------- 2001 2000(1) 2001 2000(1) 2001 2000(1) 2001 2000(1) ----------------------------------------------------------------------------------------------------- $ 63 $ 59 $ (73) $ (37) $ 28 $ 144 $ 5 $ (38) 799 496 (2,029) (790) (3,353) (666) (2,671) (2,400) -- -- -- -- (8) (8) (37) (18) 1,033 1,289 53 474 (592) (2,145) 1,916 (1,527) -- -- -- -- (1) 1 (1) 1 ----------------------------------------------------------------------------------------------------- 1,895 1,844 (2,049) (353) (3,926) (2,674) (788) (3,982) ----------------------------------------------------------------------------------------------------- (61) (61) -- -- (22) (140) -- -- (1,048) (253) -- -- -- -- -- -- ----------------------------------------------------------------------------------------------------- (1,109) (314) -- -- (22) (140) -- -- ----------------------------------------------------------------------------------------------------- 3,934 8,694 3,571 9,203 8,987 15,783 2,976 11,364 1,109 314 -- -- 22 139 -- -- (608) (48) (596) (159) (963) (167) (649) (105) ----------------------------------------------------------------------------------------------------- 4,435 8,960 2,975 9,044 8,046 15,755 2,327 11,259 ----------------------------------------------------------------------------------------------------- 4,435 8,960 2,975 9,044 8,046 15,755 2,327 11,259 ----------------------------------------------------------------------------------------------------- 5,221 10,490 926 8,691 4,098 12,941 1,539 7,277 ----------------------------------------------------------------------------------------------------- 10,498 8 8,699 8 12,949 8 7,285 8 ----------------------------------------------------------------------------------------------------- $15,719 $10,498 $ 9,625 $8,699 $17,047 $12,949 $ 8,824 $ 7,285 ----------------------------------------------------------------------------------------------------- 320 862 452 919 1,347 1,628 539 1,183 92 28 -- -- 4 18 -- -- (49) (4) (75) (16) (153) (19) (117) (14) ----------------------------------------------------------------------------------------------------- 363 886 377 903 1,198 1,627 422 1,169 ----------------------------------------------------------------------------------------------------- 363 886 377 903 1,198 1,627 422 1,169 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 61 Statements of Changes in Net Assets ($ Thousands) For the years ended December 31,
----------------------------------------------------------------------------------------------------------------------- SEI VP SEI VP CORE FIXED INCOME FUND HIGH YIELD BOND FUND ----------------------------------------------------------------------------------------------------------------------- 2001 2000(1) 2001 2000(1) ----------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income $ 1,665 $ 554 $ 1,118 $ 731 Net realized gain (loss) from security transactions and futures contracts 719 14 (1,676) (24) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- Net change in unrealized appreciation (depreciation) on investments and futures contracts (180) 562 976 (869) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies, and translation of other assets and liabilities denominated in foreign currencies -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations 2,204 1,130 418 (162) ----------------------------------------------------------------------------------------------------------------------- DIVIDENDS DISTRIBUTED FROM: CLASS A: Net investment income (1,670) (555) (1,118) (732) Net realized gains (899) -- -- -- ----------------------------------------------------------------------------------------------------------------------- Total Class A distributions (2,569) (555) (1,118) (732) ----------------------------------------------------------------------------------------------------------------------- CLASS B: Net investment income -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Total distributions (2,569) (555) (1,118) (732) ----------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from shares issued 28,933 18,270 2,177 10,630 Reinvestment of distributions 2,569 548 1,118 732 Cost of shares redeemed (4,958) (186) (427) (49) ----------------------------------------------------------------------------------------------------------------------- Increase in net assets derived from Class A transactions 26,544 18,632 2,868 11,313 ----------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from shares issued -- -- -- -- Reinvestment of distributions -- -- -- -- Cost of shares redeemed -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Increase in net assets derived from Class B transactions -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Increase in net assets derived from capital share transactions 26,544 18,632 2,868 11,313 ----------------------------------------------------------------------------------------------------------------------- Net increase in net assets 26,179 19,207 2,168 10,419 ----------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 19,215 8 10,427 8 ----------------------------------------------------------------------------------------------------------------------- END OF PERIOD $45,394 $19,215 $12,595 $10,427 ----------------------------------------------------------------------------------------------------------------------- SHARES ISSUED AND REDEEMED: CLASS A: Shares issued 2,744 1,817 241 1,067 Reinvestment of distributions 244 55 124 76 Shares redeemed (464) (18) (49) (5) ----------------------------------------------------------------------------------------------------------------------- Total Class A transactions 2,524 1,854 316 1,138 ----------------------------------------------------------------------------------------------------------------------- CLASS B: Shares issued -- -- -- -- Reinvestment of distributions -- -- -- -- Shares redeemed -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Total Class B transactions -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Net increase in capital shares 2,524 1,854 316 1,138 -----------------------------------------------------------------------------------------------------------------------
(1) Commenced operations on April 5, 2000. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 62 SEI Insurance Products Trust / Annual Report / December 31, 2001
---------------------------------------------------------------------------------------------- SEI VP INTERNATIONAL SEI VP SEI VP FIXED INCOME FUND EMERGING MARKETS DEBT FUND PRIME OBLIGATION FUND -------------------------------------------------------------------------------------------- 2001 2000(1) 2001 2000(1) 2001 2000(1) -------------------------------------------------------------------------------------------- $ 258 $ 155 $ 715 $ 469 $ 305 $ 232 91 (21) (223) 14 -- -- (310) (304) 1 -- -- -- (401) 135 374 (90) -- -- (60) 41 -- -- -- -- ---------------------------------------------------------------------------------------------- (422) 6 867 393 305 232 ---------------------------------------------------------------------------------------------- -- -- (719) (470) (303) (232) (66) -- -- (85) -- -- ---------------------------------------------------------------------------------------------- (66) -- (719) (555) (303) (232) ---------------------------------------------------------------------------------------------- -- -- -- -- (2) -- ---------------------------------------------------------------------------------------------- (66) -- (719) (555) (305) (232) ---------------------------------------------------------------------------------------------- 3,710 7,449 1,062 6,216 12,078 5,815 66 -- 718 555 303 232 (734) (72) (252) (54) (1,863) (370) ---------------------------------------------------------------------------------------------- 3,042 7,377 1,528 6,717 10,518 5,677 ---------------------------------------------------------------------------------------------- -- -- -- -- 456 -- -- -- -- -- 2 -- -- -- -- -- (212) -- ---------------------------------------------------------------------------------------------- -- -- -- -- 246 -- ---------------------------------------------------------------------------------------------- 3,042 7,377 1,528 6,717 10,764 5,677 ---------------------------------------------------------------------------------------------- 2,554 7,383 1,676 6,555 10,764 5,677 ---------------------------------------------------------------------------------------------- 7,391 8 6,563 8 5,685 8 ---------------------------------------------------------------------------------------------- $9,945 $7,391 $8,239 $6,563 $16,449 $5,685 ---------------------------------------------------------------------------------------------- 391 754 103 620 12,078 5,815 7 -- 72 57 303 232 (76) (8) (24) (5) (1,863) (370) ---------------------------------------------------------------------------------------------- 322 746 151 672 10,518 5,677 ---------------------------------------------------------------------------------------------- -- -- -- -- 456 -- -- -- -- -- 2 -- -- -- -- -- (212) -- ---------------------------------------------------------------------------------------------- -- -- -- -- 246 -- ---------------------------------------------------------------------------------------------- 322 746 151 672 10,764 5,677 ----------------------------------------------------------------------------------------------
SEI Insurance Products Trust / Annual Report / December 31, 2001 63 Financial Highlights For a Share Outstanding Throughout each Period
--------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Distributions from Value, Investment Gains from Net Realized Net Asset Beginning Income (Losses) Investment Capital Value, End Total of Period (Loss) on Securities Income Gains of Period Return(DAGGER) --------------------------------------------------------------------------------------------------------------------- SEI VP LARGE CAP VALUE FUND 2001 $10.82 $ 0.12 $(0.44) $(0.12) $(0.17) $10.21 (2.91)% 2000(1) 10.00 0.09 0.82 (0.09) -- 10.82 9.17 SEI VP LARGE CAP GROWTH FUND 2001 $ 7.48 $ 0.-- $(2.03) $(0.-- $(0.-- $ 5.45 (27.14)% 2000(1) 10.00 (0.01) (2.51) $(0.4-- -- 7.48 (25.20) SEI VP SMALL CAP VALUE FUND 2001 $11.83 $ 0.06 $ 1.64 $(0.06) $(0.90) $12.57 14.89% 2000(1) 10.00 0.07 2.13 (0.07) (0.30) 11.83 22.25 SEI VP SMALL CAP GROWTH FUND 2001 $ 9.63 $ (0.04) $(2.07) $(0.-- $ -- $ 7.52 (21.91)% 2000(1) 10.00 (0.04) (0.33) $(0.-- -- 9.63 (3.70) SEI VP INTERNATIONAL EQUITY FUND 2001 $ 7.95 $ 0.01 $(1.92) $(0.01) $ -- $ 6.03 (24.05)% 2000(1) 10.00 0.09 (2.05) (0.09) -- 7.95 (19.60) SEI VP EMERGING MARKETS EQUITY FUND 2001 $ 6.23 $ 0.03 $(0.72) $(0.-- $ -- $ 5.54 (11.08)% 2000(1) 10.00 (0.05) (3.72) $(0.-- -- 6.23 (37.70) SEI VP CORE FIXED INCOME FUND 2001 $10.36 $ 0.55 $ 0.23 $(0.55) $(0.22) $10.37 7.69% 2000(1) 10.00 0.45 0.36 (0.45) -- 10.36 8.31 SEI VP HIGH YIELD BOND FUND 2001 $ 9.16 $ 0.87 $(0.50) $(0.87) $ -- $ 8.66 4.00% 2000(1) 10.00 0.70 (0.84) (0.70) -- 9.16 (1.51) SEI VP INTERNATIONAL FIXED INCOME FUND 2001 $ 9.89 $ 0.09 $(0.61) $(0.-- $(0.07) $ 9.30 (5.32)% 2000(1) 10.00 (0.20) 0.09 $(0.-- -- 9.89 (1.10) SEI VP EMERGING MARKETS DEBT FUND 2001 $ 9.75 $ 0.96 $ 0.26 $(0.96) $ -- $10.01 12.56% 2000(1) 10.00 0.76 (0.11) (0.76) (0.14) 9.75 6.56 SEI VP PRIME OBLIGATION FUND CLASS A 2001 $ 1.00 $ 0.04 $ -- $(0.04) $ -- $ 1.00 3.80% 2000(1) 1.00 0.04 -- (0.04) -- 1.00 4.56 CLASS B 2001(2) $ 1.00 $ 0.01 $ 0.-- $(0.01) $ -- $ 1.00 1.48%
----------------------------------------------------------------------------------------------- Ratio of Ratio of Net Ratio of Net Expenses to Investment Investment Average Net Income (Loss) Ratio of Income Assets (Exclud- to Average Net Net Assets Expenses (Loss) ing Waivers Assets (Exclud- Portfolio End of Period to Average to Average and Reim- (ing Waivers and Turnover ($Thousands) Net Assets Net Assets bursements) Reimbursements) Rate ----------------------------------------------------------------------------------------------- $38,888 0.85% 1.25% 1.14% 0.96% 42% 22,170 0.85 1.25 1.35 0.75 49 $28,868 0.85% (0.25)% 1.19% (0.59)% 84% 17,236 0.85 (0.26) 1.39 (0.80) 57 $15,719 1.10% 0.48% 1.45% 0.13% 39% 10,498 1.10 0.90 1.66 0.34 98 $ 9,625 1.10% (0.82)% 1.46% (1.18)% 151% 8,699 1.10 (0.59) 1.65 (1.14) 116 $17,047 1.28% 0.19% 2.04% (0.57)% 41% 12,949 1.28 1.61 2.13 0.76 31 $ 8,824 1.95% 0.06% 3.70% (1.69)% 149% 7,286 1.95 (0.62) 3.52 (2.19) 117 $45,394 0.60% 5.15% 1.00% 4.75% 423% 19,215 0.60 6.10 1.19 5.51 342 $12,595 0.85% 9.54% 1.31% 9.08% 72% 10,427 0.85 9.75 1.51 9.09 5 $ 9,945 1.00% 2.99% 1.51% 2.48% 301% 7,391 1.00 3.39 1.70 2.69 100 $ 8,239 1.35% 9.61% 2.07% 8.89% 201% 6,563 1.35 10.55 2.26 9.64 140 $16,203 0.44% 3.35% 0.93% 2.86% N/A 5,685 0.44 6.04 1.14 5.34 N/A $ 246 0.69% 2.15% 1.18% 1.66% N/A
(DAGGER) Returns are for the period indicated and have not been annualized. (1) Commenced operations on April 5, 2000. All ratios for the period have been annualized. (2) Commenced operations on June 1, 2001. All ratios for the period have been annualized. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 64 SEI Insurance Products Trust / Annual Report / December 31, 2001 NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION SEI Insurance Products Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated December 14, 1998. The Trust commenced operations on April 5, 2000. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company consisting of thirteen funds: SEI VP Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP S&P 500 Index Fund, SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP International Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP Core Fixed Income Fund, SEI VP Bond Index Fund, SEI VP High Yield Bond Fund, SEI VP International Fixed Income Fund, SEI VP Emerging Markets Debt Fund, and SEI VP Prime Obligation Fund (collectively the "Funds", and each of these, a "Fund"). The Trust has diversified and non-diversified funds. The Funds' prospectus provides a description of each Fund's investment objectives, policies and strategies. The assets of each fund are segregated, and a shareholder's interest is limited to the fund in which shares are held. As of December 31, 2001, SEI VP S&P 500 Index Fund and SEI VP Bond Index Fund had not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of financial statements. The policies are in conformity with accounting principles generally accepted in the United States. SECURITY VALUATION -- Investments in equity securities that are traded on a national securities exchange (or reported on NASDAQ national market system) are stated at the last quoted sales price if readily available for such equity securities on each business day; other equity securities traded in the over-the-counter market and listed equity securities for which no sale was reported on that date are stated at the last quoted bid price. Foreign securities in the SEI VP International Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP International Fixed Income Fund and SEI VP Emerging Markets Debt Fund (the "International Funds") are valued based on quotations from the primary market in which they are traded. Debt obligations with remaining maturities in excess of sixty days are valued at the most recently quoted bid price. Debt obligations with remaining maturities of sixty days or less are valued at their amortized cost which approximates market value. Other securities for which market quotations are not readily available or securities whose market quotations do not reflect market value are valued at fair value using good faith pricing procedures approved by the Board of Trustees. FEDERAL INCOME TAXES -- It is the intention of each Fund to continue to qualify as a regulated investment company and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements. The International Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a daily basis by dividing the assets of each Fund less its liabilities by the number of outstanding shares of the Fund. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreement and procedures adopted by the Manager and the Advisers of the Trust ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until maturity of the repurchase agreement. Provisions of the repurchase agreements ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default. If the counterparty defaults and the value of the collateral declines or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 65 NOTES TO FINANCIAL STATEMENTS CLASSES -- Class specific expenses are borne by that Class of Shares. Income, realized and unrealized gains/losses and non-class specific expenses are allocated to the respective class on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. USE OF ESTIMATES IN PREPARATION OF FINANCIAL STATEMENTS -- The preparation of Financial Statements, in conformity with accounting principles generally accepted in the United States, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates. FOREIGN CURRENCY TRANSLATION -- The books and records of the International Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following bases: (I) market value of investment securities, other assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective date of such transactions. For foreign equity securities, the International Funds do not isolate that portion of gains and losses on investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The International Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations for Federal income tax purposes. The International Funds report gains and losses on foreign currency-related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for Federal income tax purposes. FUTURES CONTRACTS -- The SEI VP Large Cap Value Fund and the SEI VP Core Fixed Income Fund (the "Funds") utilized futures contracts during the year ended December 31, 2001. The Funds' use of futures contracts is primarily for tactical hedging purposes. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that changes in the values of the contract may not directly correlate with changes in the values of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The SEI VP Large Cap Value and SEI VPCore Fixed Income Funds had the following futures contracts open as of December 31, 2001: --------------------------------------------------------------------------- Unrealized Contract Appreciation Type of Number of Value (Depreciation) Contract Contracts ($Thousands) Expiration ($ Thousands) --------------------------------------------------------------------------- SEI VP LARGE CAP VALUE FUND S&P500 Index e-Mini 2 $115 03/20/02 $ 2 ----- $ 2 ===== SEI VP CORE FIXED INCOME FUND U.S. Five Year Note (18) (1,905) 03/21/02 5 U.S. Long Bond 18 1,828 03/28/02 (53) U.S. Long Bond (6) (609) 03/28/02 5 U.S. Ten Year Agency Future 26 2,613 03/28/02 (43) U.S. Ten Year Note 20 2,103 03/20/02 (47) U.S. Ten Year Note (9) (946) 03/20/02 11 ----- $(122) ===== EQUITY-LINKED WARRANTS -- The SEI VP International Equity and SEI VP Emerging Markets Equity Funds each may invest in equity-linked warrants. The Fund purchases the equity-linked warrants from a broker, who in turn purchases shares in the local market and issues a call warrant hedged on the underlying holding. If the Fund exercises its call and closes its position, the shares are sold and the warrant redeemed with the proceeds. Each warrant represents one share of the underlying stock, therefore, the price, performance and liquidity of the warrant are all directly linked to the underlying stock. The warrants can be redeemed for 100% of the value of the underlying stock, less transaction costs. In addition to the market risk of the underlying holding, the Fund bears additional counterparty risk to the issuing broker. There is currently no active trading market for equity-linked warrants. -------------------------------------------------------------------------------- 66 SEI Insurance Products Trust / Annual Report / December 31, 2001 OPTION SELLING/PURCHASING -- The SEI VP Core Fixed Income Fund (the "Fund") enters into option contracts solely for the purpose of hedging its existing portfolio securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. When the Fund sells or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or loss on investment transactions. TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may enter into purchase commitments to purchase securities for a fixed price at a future date. Purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Fund's other assets. Unsettled purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. STRUCTURED NOTES AND INDEXED NOTES -- The SEI VP Core Fixed Income Fund may invest in structured notes and indexed notes whose values are linked either directly or inversely to changes in foreign currency exchange rates, interest rates, indices, or other reference instruments. The values of these instruments may be more volatile than the rates, indices or instruments to which they refer, but any loss is limited to the amount of the original investment. SWAPS -- The SEI VP Core Fixed Income Fund may enter into interest rate swaps which are privately negotiated over-the-counter derivative products in which two parties agree to exchange payment streams calculated in relation to a rate or certain securities (referred to as the "underlying") and a predetermined amount (referred to as the "notional amount"). Because under swap agreements a counterparty may be obligated to make payments to the Fund, these derivative products are subject to risks related to the counterparty's creditworthiness. If a counterparty defaults, the Fund's risk of loss will consist of any payments that the Fund is entitled to receive from the counterparty under the agreement. FORWARD FOREIGN CURRENCY CONTRACTS -- The International Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The aggregate principal amounts of the contracts are not recorded as the Funds do not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The International Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income are declared daily and paid to shareholders monthly for the SEI VP Core Fixed Income Fund, the SEI VP High Yield Bond Fund and the SEI VP Prime Obligations Fund; declared and paid at least annually for the SEI VP Large Cap Value Fund, the SEI VP Large Cap Growth Fund, the SEI VP Small Cap Value Fund, the SEI VP Small Cap Growth Fund, the SEI VP International Equity Fund, the SEI VP Emerging Markets Equity Fund, the SEI VP International Fixed Income Fund and the SEI VP Emerging Markets Debt Fund. OTHER -- Security transactions are recorded on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of securities are those of the specific securities sold. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. IMPLEMENTATION OF NEW ACCOUNTING STANDARDS -- The Funds implemented the provisions of the American Institute of Certified Public Accountants Audit and Accounting Guide "Audits of Investment Companies" (the "Guide") as required on January 1, 2001. The implementation did not have any material impact on the results of operations or financial condition of the Funds upon adoption of the provisions of the Guide. 3. MANAGEMENT, INVESTMENT ADVISORY, DISTRIBUTION AND SHAREHOLDER SERVICING AGREEMENTS The Trust and SEI Investments Fund Management (the "Manager"), are parties to a management agreement (the "Agreement") dated March 29, 1999. Under this Agreement, the Manager will provide the Trust with overall administrative and accounting services and act as transfer agent and dividend disbursing agent. For its services, the -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 67 NOTES TO FINANCIAL STATEMENTS Manager will receive an annual fee which is calculated daily and paid monthly at the following annual rates: .35% of the average daily net assets of the SEI VP Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP High Yield Bond Fund; .28% of the average daily net assets of the SEI VP Core Fixed Income Fund; .45% of the average daily net assets of the SEI VP International Equity Fund; .60% of the average daily net assets of the SEI VP International Fixed Income Fund; .65% of the average daily net assets of the SEI VP Emerging Markets Equity Fund and SEI VP Emerging Markets Debt Fund; and .42% of the average daily net assets of the SEI VP Prime Obligation Fund. The Manager has agreed to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Manager's sole discretion. SEI Investments Management Corporation ("SIMC") serves as investment adviser to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, at an annual rate of .35% of the average daily net assets of the SEI VP Large Cap Value Fund; .40% of the average daily net assets of the SEI VP Large Cap Growth Fund; .65% of the average daily net assets of the SEI VP Small Cap Value Fund and SEI VP Small Cap Growth Fund; .51% of the average daily net assets of the SEI VP International Equity Fund; 1.05% of the average daily net assets of the SEI VP Emerging Markets Equity Fund, .275% of the average daily net assets of the SEI VP Core Fixed Income Fund; .4875% of the average daily net assets of the SEI VP High Yield Bond Fund; .30% of the average daily net assets of the SEI VP International Fixed Income Fund; .85% of the average daily net assets of the SEI VP Emerging Markets Debt Fund; and .075% of the average daily net assets of the SEI VP Prime Obligation Fund. SIMC has entered into, or plans to enter into, investment sub-advisory agreements with the following parties: ------------------------------------------------------------- Currently Managing a Investment Date of Portion of Sub-Adviser Agreement Fund (Y/N) ------------------------------------------------------------- SEI VP LARGE CAP VALUE FUND Iridian Asset Management, LLC 09/18/00 N LSV Asset Management, L.P. 03/31/00 Y Deutsch Asset Management 02/20/01 Y Sanford C. Bernstein & Co., Inc. N/A N SEI VP LARGE CAP GROWTH FUND Alliance Capital Management L.P. 02/25/00 Y Duncan-Hurst Capital Management 12/12/00 N Peregrine Capital Management 12/12/00 Y ------------------------------------------------------------- Currently Managing a Investment Date of Portion of Sub-Adviser Agreement Fund (Y/N) ------------------------------------------------------------- SEI VP SMALL CAP VALUE FUND Artisan Partners Limited Partnership N/A N Boston Partners Asset Management, L.P. N/A N Chartwell Investment Partners N/A N LSV Asset Management, L.P. 03/31/00 Y Security Capital Global Capital Management, Inc. N/A N Sterling Capital 12/18/00 Y SEI VP SMALL CAP GROWTH FUND McKinley Capital Management Inc. N/A N Mazama Capital Management, LLC N/A N Nicholas-Applegate Capital Management 02/14/00 N RS Investment Management, L.P. N/A N Sawgrass Asset Management, LLC 02/15/00 Y Wall Street Associates 03/21/00 Y SEI VP INTERNATIONAL EQUITY FUND BlackRock International, Ltd. N/A N Capital Guardian Trust Company 02/22/00 Y Oeschle International Advisors, LLC 03/31/00 Y Jardine Fleming International Management, Inc. N/A N Martin Currie, Inc. N/A N SEI VP EMERGING MARKETS EQUITY FUND Morgan Stanley Dean Witter Investment Management Inc. N/A N Schroder Investment Management North America Inc. 04/04/00 Y SG Pacific Asset Management, Inc. and SGY Asset Management (Singapore) Ltd. N/A N The Boston Company Asset Management N/A N SEI VP CORE FIXED INCOME FUND BlackRock, Inc. N/A N Robert W. Baird & Co., Incorporated 03/31/00 N Western Asset Management Company 02/15/00 Y SEI VP HIGH YIELD BOND FUND Credit Suisse Asset Management, LLC 02/25/00 Y Nomura Corporate Research and Asset Management, Inc. N/A N Nicholas-Applegate Capital Management 06/27/01 N Shenkman Capital Management 06/21/01 Y SEI VP INTERNATIONAL FIXED INCOME FUND Strategic Fixed Income, L.L.C. 02/04/00 Y SEI VP EMERGING MARKETS DEBT FUND Salomon Brothers Asset Management, Inc. 03/08/00 Y SEI VP PRIME OBLIGATIONS FUND Wellington Management Company, LLP 04/04/00 Y -------------------------------------------------------------------------------- 68 SEI Insurance Products Trust / Annual Report / December 31, 2001 Under the investment sub-advisory agreements, each party receives an annual fee, paid by SIMC. Under a distribution agreement with the Trust, SEI Investments Distribution Co. (the "Distributor") will provide the Trust with distribution services. The Distributor will not be entitled to any fee for performing these services. The Prime Obligation Fund has entered into a shareholder servicing agreement with the Distributor to provide shareholder services for the Class B shares. Pursuant to this agreement, the Distributor receives a shareholder servicing fee of up to .25% of the average daily net assets attributable to the Class B shares. 4. TRANSACTIONS WITH AFFILIATES Certain officers and/or trustees of the Trust are also officers of the Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of affiliated officers and trustees of the Trust is paid by the Manager. Each of the Funds also uses the Distributor as an agent in placing repurchase agreements. For this service the Distributor retains a portion of the interest earned as a commission. Aggregate commissions paid by the Trust for repurchase agreements placed during the period ended December 31, 2001 were $3,205. 5. FORWARD FOREIGN CURRENCY CONTRACTS The International Funds enter into forward foreign currency exchange contracts as hedges against portfolio positions. Such contracts, which are designed to protect the value of the Fund's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities; they simply establish an exchange rate at a future date. Also, although such contracts tend to minimize risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase. The following forward foreign currency contracts were outstanding at December 31, 2001: -------------------------------------------------------------------- In Unrealized Contracts to Exchange Appreciation Deliver/Receive For (Depreciation) Maturity Dates (Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------- SEI VP INTERNATIONAL EQUITY FUND FOREIGN CURRENCY SALES: 01/02/02 EC 1 $ 1 $ -- 01/04/02 - 01/08/02 JY 2,057 15 -- -------- ----- $ 16 $ -- ======== ===== FOREIGN CURRENCY PURCHASES: 01/07/02 CH 39 $ 24 $ -- 01/04/02 EC 11 10 -- 01/07/02 - 01/08/02 JY 5,814 44 -- -------- ----- $ 78 $ -- ======== ===== SEI VP EMERGING MARKETS EQUITY FUND FOREIGN CURRENCY SALES: 01/04/02 TB 527 $ 12 $ -- 01/04/02 ZR 100 8 -- -------- ----- $ 20 $ -- ======== ===== FOREIGN CURRENCY PURCHASES: 01/03/02 HK 163 $ 21 $ -- 01/03/02 TL 9,201,660 6 -- 01/07/02 ZR 130 11 -- -------- ----- $ 38 $ -- ======== ===== SEI VP INTERNATIONAL FIXED INCOME FUND FOREIGN CURRENCY SALES: 02/22/02 CD 127 $ 81 $ 2 02/22/02 CH 243 144 (2) 02/22/02 DK 882 107 1 02/22/02 EC 1,441 1,280 (3) 02/22/02 JY 81,052 627 8 02/22/02 NZ 214 89 -- 02/22/02 SK 25 2 -- 02/22/02 UK 542 782 (8) -------- ----- $ 3,112 $ (2) ======== ===== FOREIGN CURRENCY PURCHASES: 02/22/02 AD 106 $ 55 $ -- 02/22/02 CH 365 223 (3) 02/22/02 EC 1,344 1,194 2 02/22/02 JY 155,862 1,213 (23) 02/22/02 UK 907 1,312 8 -------- ----- $ 3,997 $ (16) ======== ===== CURRENCY LEGEND: AD Austrailian Dollar NZ New Zealand Dollar CD Canadian Dollar SK Swedish Krona CH Swiss Franc TB Thailand Baht DK Danish Kroner TL Turkish Lira EC Euro Currency UK British Sterling Pound JY Japanese Yen ZR South African Rand -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 69 NOTES TO FINANCIAL STATEMENTS 6. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary investments during the year ended December 31, 2001, were as follows: ------------------------------------------------------------------------------ Purchases U.S. Gov't Other Total ($ Thousands)($ Thousands) ($ Thousands) ------------------------------------------------------------------------------ SEI VP Large Cap Value Fund $ -- $30,695 $ 30,695 SEI VP Large Cap Growth Fund -- 35,255 35,255 SEI VP Small Cap Value Fund -- 8,364 8,364 SEI VP Small Cap Growth Fund -- 15,618 15,618 SEI VP International Equity Fund -- 13,866 13,866 SEI VP Emerging Markets Equity Fund -- 13,359 13,359 SEI VP Core Fixed Income Fund 126,385 11,462 137,847 SEI VP High Yield Bond Fund -- 10,992 10,992 SEI VP International Fixed Income Fund 1,070 22,152 23,222 SEI VP Emerging Markets Debt Fund -- 10,651 10,651 ------------------------------------------------------------------------------ Sales U.S. Gov't Other Total ($ Thousands)($ Thousands) ($ Thousands) ------------------------------------------------------------------------------ SEI VP Large Cap Value Fund $ -- $12,819 $ 12,819 SEI VP Large Cap Growth Fund -- 17,999 17,999 SEI VP Small Cap Value Fund -- 4,934 4,934 SEI VP Small Cap Growth Fund -- 12,888 12,888 SEI VP International Equity Fund -- 5,938 5,938 SEI VP Emerging Markets Equity Fund -- 10,936 10,936 SEI VP Core Fixed Income Fund 115,091 3,311 118,402 SEI VP High Yield Bond Fund -- 7,734 7,734 SEI VP International Fixed Income Fund 385 21,569 21,954 SEI VP Emerging Markets Debt Fund -- 9,462 9,462 At December 31, 2001, the total cost of securities and the net realized gains or losses on securities sold for Federal income tax purposes was different from amounts reported for financial reporting purposes. The aggregate gross unrealized appreciation and depreciation on investments and futures contracts at December 31, 2001, is as follows:
-------------------------------------------------------------------------------------------- Book Net Unrealized Less: Tax Net Appreciated Depreciated Appreciation Tax Basis Appreciation Securities Securities (Depreciation) Adjustments (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------- SEI VP Large Cap Value Fund $3,228 $(3,039) $ 189 $ 345 $ (156) SEI VP Large Cap Growth Fund 2,581 (3,673) (1,092) 2,145 (3,237) SEI VP Small Cap Value Fund 3,001 (679) 2,322 10 2,312 SEI VP Small Cap Growth Fund 1,283 (756) 527 76 451 SEI VP International Equity Fund 640 (3,377) (2,737) 520 (3,257) SEI VP Emerging Markets Equity Fund 1,079 (690) 389 786 (397) SEI VP Core Fixed Income Fund 706 (326) 382 17 399 SEI VP High Yield Bond Fund 415 (308) 107 -- 107 SEI VP International Fixed Income Fund 64 (330) (266) 42 (308) SEI VP Emerging Markets Debt Fund 644 (360) 284 33 251
7. FEDERAL TAX INFORMATION Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of December 31, 2001, primarily attributable to certain net operating losses, which for tax purposes were reclassified to paid-in-capital or were used to offset net short-term capital gains as follows: --------------------------------------------------------------------------- Accumulated Accumulated Net Investment Realized Gain Paid-in-Capital Income (000) (000) (000) --------------------------------------------------------------------------- SEI VP Large Cap Growth Fund $55 $ -- $(55) SEI VP Small Cap Growth Fund 73 -- (73) SEI VP International Equity Fund (8) 8 -- SEI VP Emerging Markets Equity Fund (12) 37 (25) SEI VP International Fixed Income Fund (266) 310 (44) SEI VP Emerging Markets Debt Fund 3 -- (3) -------------------------------------------------------------------------------- 70 SEI Insurance Products Trust / Annual Report / December 31, 2001 The tax character of dividends and distributions paid during the years ended December 31, 2001 and December 31, 2000 were as follows:
----------------------------------------------------------------------------------------------------------------------- ORDINARY INCOME LONG-TERM CAPITAL GAIN RETURN OF CAPITAL TOTAL ($THOUSANDS) ($THOUSANDS) ($THOUSANDS) ($THOUSANDS) 2001 2000 2001 2000 2001 2000 2001 2000 ----------------------------------------------------------------------------------------------------------------------- SEI VP Large Cap Value Fund $ 638 $ 153 $ 383 $-- $-- $-- $1,021 $ 153 SEI VP Large Cap Growth Fund -- -- -- -- -- -- -- -- SEI VP Small Cap Value Fund 769 314 340 -- -- -- 1,109 314 SEI VP Small Cap Growth Fund -- -- -- -- -- -- -- -- SEI VP International Equity Fund 45 147 -- -- -- -- 45 147 SEI VP Emerging Markets Equity Fund -- -- -- -- -- -- -- -- SEI VP Core Fixed Income Fund 2,148 555 333 -- -- -- 2,481 555 SEI VP High Yield Bond Fund 1,127 732 -- -- -- -- 1,127 732 SEI VP International Fixed Income Fund 66 -- -- -- -- -- 66 -- SEI VP Emerging Markets Debt Fund 719 555 -- -- -- -- 719 555 SEI VP Prime Obligations Fund 314 232 -- -- -- -- 314 232
As of December 31, 2001, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
---------------------------------------------------------------------------------------------------------------------------------- Undistributed Undistributed Capital Loss Capital Loss Post-October Unrealized Ordinary Long-Term Carry forwards Carry forwards Post-October Currency Appreciation Income Capital Gains Expiring 2009 Expiring 2008 Losses Losses (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ---------------------------------------------------------------------------------------------------------------------------------- SEI VP Large Cap Value Fund $ -- $-- $ -- $ -- $ (29) $ -- $ (156) SEI VP Large Cap Growth Fund -- -- (6,210) (1,103) (326) -- (3,237) SEI VP Small Cap Value Fund 2 3 -- -- -- -- 2,312 SEI VP Small Cap Growth Fund -- -- (2,168) (337) (238) -- 451 SEI VP International Equity Fund 1 -- (2,324) (396) (778) (2) (3,257) SEI VP Emerging Markets Equity Fund -- -- (2,579) (1,466) (241) (4) (397) SEI VP Core Fixed Income Fund 177 -- -- -- (272) -- 399 SEI VP High Yield Bond Fund 86 -- (1,051) (24) (625) -- 107 SEI VP International Fixed Income Fund 35 11 -- -- -- (90) (308) SEI VP Emerging Markets Debt Fund -- -- (71) -- (190) -- 251 SEI VP Prime Obligations Fund 20 -- -- -- -- -- --
------------------------------------------------------- Post 10/31/01 Capital Loss Deferred ($ Thousands) ------------------------------------------------------- SEI VP Large Cap Value Fund $ 29 SEI VP Large Cap Growth Fund 326 SEI VP Small Cap Value Fund -- SEI VP Small Cap Growth Fund 238 SEI VP International Equity Fund 778 SEI VP Emerging Markets Equity Fund 241 SEI VP Core Fixed Income Fund 272 SEI VP High Yield Bond Fund 625 SEI VP International Fixed Income Fund -- SEI VP Emerging Markets Debt Fund 190 SEI VP Prime Obligations Fund -- Post-October losses represent losses realized on investment and foreign currency transactions from November 1, 2001 through December 31, 2001 that, in accordance with Federal income tax regulations the Portfolio has elected to defer and treat as having arisen in the following fiscal year. The following Funds had recognized losses that have been deferred to 2002 for tax purposes: -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 71 NOTES TO FINANCIAL STATEMENTS 8. CONCENTRATION OF RISKS The market values of the SEI VP Core Fixed Income Fund's investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of such securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. Each International Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The SEI VP International Fixed Income and SEI VP Emerging Markets Debt Funds invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the SEI VP International Fixed Income and SEI VP Emerging Markets Debt Funds to meet its obligations may be affected by economic and political developments in a specific country, industry or region. 9. LOAN PARTICIPATIONS AND BRADY BONDS The SEI VP Emerging Markets Debt Fund (the "Fund") may invest in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund may invest in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. The Fund may have difficulty disposing of Participations and Assignments because the market for such instruments is not highly liquid. Certain debt obligations, customarily referred to as "Brady Bonds," are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. 10. WRITTEN OPTIONS TRANSACTIONS Written option transactions entered into during the year ending December 31, 2001 are summarized as follows: -------------------------------------------------------- SEI VPCORE FIXED INCOME FUND Premium # of contracts ($Thousands) -------------------------------------------------------- Balance at the beginning of period 39 $ 30 Written 307 208 Expired (129) (73) Exercised -- -- Closing Buys (214) (161) ----- ----- Balance at the end of period 3 $ 4 ===== ===== At December 31, 2001, the SEI VP Core Fixed Income Fund had sufficient cash and/or securities at least equal to the value of written options. -------------------------------------------------------------------------------- 72 SEI Insurance Products Trust / Annual Report / December 31, 2001 Trustees of the Trust (Unaudited) Set forth below are the names, dates of birth, position with the SEI Insurance Products Trust (the "Trust"), length of term of office, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside fund complex of each of the persons currently serving as Trustees of the Trust. The [Trust's] Statement of Additional Information ("SAI") includes additional information about the Trustees. The SAI may be obtained without charge by calling [1-800-342-5734].
------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE AND PRINCIPAL PORTFOLIOS IN NAME, POSITION(S) LENGTH OF OCCUPATION(S) FUND COMPLEX OTHER ADDRESS, HELD WITH TIME DURING PAST OVERSEEN BY DIRECTORSHIPS AND AGE TRUSTS SERVED FIVE YEARS TRUSTEE HELD BY TRUSTEE ------------------------------------------------------------------------------------------------------------------------------- Robert A. Nesher Chairman since Currently performs various services 66 Trustee of The Advisors' Inner (08/17/46) of the Board 1999 on behalf of SEI Investments Company Circle Fund, The Arbor Fund, One Freedom of Trustees* for which Mr. Nesher is compensated. Bishop Street Funds, and The Valley Drive, Expedition Funds. Oaks, PA 19456 ------------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since Partner, Morgan, Lewis & Bockius LLP 66 Trustee of the Advisors' Inner (05/26/40) 1999 (law firm), counsel to the Trusts, Circle Fund, The Arbor Fund, 1701 Market Street, SEI Investments Company, the Adviser, and The Expedition Funds; Philadelphia, PA the Administrator and the Distributor. Director of SEI Investments 19103 since 1974. ------------------------------------------------------------------------------------------------------------------------------- F. Wendell Gooch Trustee since President, Orange County Publishing 66 Trustee of STI Classic Funds (12/03/32) 1999 Co., Inc.; Publisher, Paoli News and and STIClassic Variable Trust. One Freedom Paoli Republican; and Editor, Paoli Valley Drive, Republican, October 1981-January 1997. Oaks, PA 19456 President, H&W Distribution, Inc. since July 1984. ------------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since Retired, Partner, Dechert Price & Rhoads, 66 Trustee of The Advisors' Inner (04/12/31) 1999 September 1987-December 1993. Circle Fund, The Arbor Fund, One Freedom and The Expedition Funds. Valley Drive, Oaks, PA 19456 ------------------------------------------------------------------------------------------------------------------------------- George J. Sullivan, Jr. Trustee since Chief Executive Officer, Newfound 66 Trustee of The Advisors' Inner (11/13/42) 1999 Consultants Inc. since April 1997. Circle Fund, The Arbor Fund, One Freedom Treasurer and Clerk, Peak Asset and The Expedition Funds; Valley Drive, Management, Inc., since 1991. Trustee, Navigator Securities Oaks, PA 19456 Lending Trust, since 1995. ------------------------------------------------------------------------------------------------------------------------------- Rosemarie B. Greco Trustee since Principal, Grecoventures (consulting 66 Director, Sonoco, Inc.; Director (03/31/46) 1999 firm) since August 1997. President, PECO Energy; Director, Radian, Valley Drive, Corestates Financial Corp., 1991-1997; Inc,; Trustee, Pennsylvania Real Oaks, PA 19456 Chief Executive Officer and President, Estate Investment Trust; Director, Corestates Bank, N.A., 1991-1997. Cordone Industries, Inc.; Director, Genuardi Markets, Inc.; and Director, PRWT Comserve, Inc. -------------------------------------------------------------------------------------------------------------------------------
*Messrs. Nesher and Doran are Trustees who may be deemed to be "interested" persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with the Trusts' Distributor. -------------------------------------------------------------------------------- SEI Insurance Products Trust / Annual Report / December 31, 2001 73 Notice to Shareholders (Unaudited) For shareholders that do not have a December 31, 2001 taxable year end, this notice is for informational purposes only. For shareholders with a December 31, 2001 taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended December 31, 2001 the Funds of the SEI Insurance Products Trust are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) (B) LONG TERM ORDINARY CAPITAL GAINS INCOME TOTAL DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) --------- ------------- -------------- ------------- SEI VP Large Cap Value Fund 37% 63% 100% SEI VP Large Cap Growth Fund 0% 0% 0% SEI VP Small Cap Value Fund 31% 69% 100% SEI VP Small Cap Growth Fund 0% 0% 0% SEI VP International Equity Fund 0% 100% 100% SEI VP Emerging Markets Equity Fund 0% 0% 0% SEI VP Core Fixed Income Fund 13% 87% 100% SEI VP High Yield Bond Fund 0% 100% 100% SEI VP International Fixed Fund 0% 100% 100% SEI VP Emerging Markets Debt Fund 0% 100% 100% SEI VP Prime Obligations Fund 0% 100% 100%
(C) (D) (E) QUALIFYING TAX-EXEMPT FOREIGN PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT --------- ------------- -------------- ------------- SEI VP Large Cap Value Fund 96% 0% 0% SEI VP Large Cap Growth Fund 0% 0% 0% SEI VP Small Cap Value Fund 29% 0% 0% SEI VP Small Cap Growth Fund 0% 0% 0% SEI VP International Equity Fund 0% 0% 52% SEI VP Emerging Markets Equity Fund 0% 0% 0% SEI VP Core Fixed Income Fund 0% 0% 0% SEI VP High Yield Bond Fund 0% 0% 0% SEI VP International Fixed Fund 0% 0% 0% SEI VP Emerging Markets Debt Fund 0% 0% 0% SEI VP Prime Obligations Fund 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. Items (A) and (B) are based on the percentage of each fund's total distribution. Items (C) and (E) are based on the percentage of ordinary income distributions of each fund. Item (D) is based on the percentage of gross income of each fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. -------------------------------------------------------------------------------- 74 SEI Insurance Products Trust / Annual Report / December 31, 2001 Notes Notes SEI INSURANCE PRODUCTS TRUST ANNUAL REPORT December 31, 2001 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER James R. Foggo CONTROLLER AND CHIEF FINANCIAL OFFICER Todd Cipperman VICE PRESIDENT, ASSISTANT SECRETARY Robert S. Ludwig VICE PRESIDENT, ASSISTANT SECRETARY William E. Zitelli VICE PRESIDENT, ASSISTANT SECRETARY Lydia Gavalis VICE PRESIDENT, ASSISTANT SECRETARY Christine McCullough VICE PRESIDENT, ASSISTANT SECRETARY Timothy D. Barto VICE PRESIDENT, ASSISTANT SECRETARY Sherry K. Vetterlein VICE PRESIDENT, ASSISTANT SECRETARY Richard W. Grant SECRETARY INVESTMENT ADVISER SEI Investments Management Corporation MANAGER AND SHAREHOLDER SERVICING AGENT SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP This annual report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the SEI Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) NOTES TO FINANCIAL STATEMENTS SEI INSURANCE PRODUCTS TRUST - DECEMBER 31, 2001 1. ORGANIZATION SEI Insurance Products Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated December 14, 1998. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company consisting of thirteen funds: SEI VP Large Cap Value Fund, SEI VP Large Cap Growth Fund, SEI VP S&P 500 Index Fund, SEI VP Small Cap Value Fund, SEI VP Small Cap Growth Fund, SEI VP International Equity Fund, SEI VP Emerging Markets Equity Fund, SEI VP Core Fixed Income Fund, SEI VP Bond Index Fund, SEI VP High Yield Bond Fund, SEI VP International Fixed Income Fund, SEI VP Emerging Markets Debt Fund, and SEI VP Prime Obligation Fund (collectively the "Funds", and each of these, a "Fund"). The Trust has diversified and non-diversified funds. The Funds' prospectus provides a description of each Fund's investment objectives, policies and strategies. The assets of each fund are segregated, and a shareholder's interest is limited to the fund in which shares are held. The SEI VP S&P 500 Index Fund and the SEI VP Bond Index Fund have not commenced operations except those related to organizational matters and the sale of initial shares of beneficial interest to SEI Investments Fund Management ("SIFM" or the "Manager") on July 16, 1999. 2. ORGANIZATION COSTS AND TRANSACTIONS WITH AFFILIATES In accordance with AICPA Statement of Position 98-5, "Reporting on the Costs of Start-up Activities", any organization expenses are expensed as incurred and any offering costs (related to the sale of initial shares) will be deferred and amortized on a straight line basis over a period of twelve months commencing with operations. In the event any of the initial shares of the Trust are redeemed by any holder thereof during the period that the Trust is amortizing its initial offering costs, the redemption proceeds payable to the holder thereof by the Trust will be reduced by the unamortized offering costs in the same ratio as the number of initial shares being redeemed bears to the number of initial shares outstanding at the time of redemption. These costs include legal fees of approximately $40,000 for organizational work and initial offering preparation performed by a law firm of which an officer of the Trust is a Partner. Certain officers and / or trustees of the Trust are also officers of the Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance of quarterly, interim and committee meetings. Compensation of officers and affiliated trustees of the Trust is paid by the Manager. 3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS The Trust intends to enter into the following service agreements: Under an Investment Advisory Agreement with the Trust, SEI Investments Management Corporation ("SIMC") will act as investment adviser to each Fund. For its investment advisory services to the SEI VP S&P 500 Index Fund and the SEI VP Bond Index Fund, SIMC will receive an annual fee which is calculated daily and paid monthly at the annual rates (shown as a percentage of the average daily net assets of each Fund) of 0.03% and 0.07%, respectively. SIMC has agreed, on a voluntary basis, to waive all or a portion of its investment advisory fee. In addition, SIMC reserves the right to terminate its waivers at any time in its full discretion. Under an Administration Agreement with the Trust, the Manager will provide the Trust with administrative and shareholder services. For its services to the SEI VP S&P 500 Index Fund and the SEI VP Bond Index Fund, the Manager will receive an annual fee which is calculated daily and paid monthly at the annual rates (shown as a percentage of the average daily net assets of each Fund) of 0.22% and 0.35%, respectively. The Manager has agreed, on a voluntary basis, to waive all or a portion of its administration fee and/or reimburse other expenses. In addition, the Manager reserves the right to terminate its waivers and/or reimbursements at any time in its full discretion. Under a Distribution Agreement with the Trust, SEI Investments Distribution Co. (the "Distributor") will provide the Trust with distribution services. The Distributor will not be entitled to any fee for performing these services.
STATEMENTS OF ASSETS AND LIABILITIES ------------------------------------------------------------------------------------------------------- SEI Insurance Products Trust - As of December 31, 2001 ----------- ------- S & P 500 BOND INDEX INDEX FUND FUND ----------- ------- ASSETS: Cash $ 7,692 $ 7,692 Deferred Offering Costs $ 5,112 $ 5,112 ------- ------- Total Assets $12,804 $12,804 ------- ------- LIABILITIES: Due to Manager $ 5,112 $ 5,112 ------- ------- NET ASSETS: $ 7,692 $ 7,692 ======= ======= Shares of beneficial interest issued and outstanding (unlimited authorization - no par value) 769 769 ======= ======= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.00 $ 10.00 ======= ======= The Funds have not commenced operations as of December 31, 2001.
The accompanying notes are an integral part of the financial statements. SEI INSURANCE PRODUCTS TRUST Organizational and Offering Costs Estimated as of 7/16/99 Organizational Costs (expensed as incurred) Legal $20,000 Audit $ -- ------- Total $20,000 ------- Offering Costs (deferred & amortized over 12 months) Legal $30,000 Typesetting $10,000 ------- Total $40,000 -------