SEI Structured Credit Fund, LP

N-CSRS 1 d773843dncsrs.htm SEI STRUCTURED CREDIT FUND, LP SEI Structured Credit Fund, LP

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-22107

SEI Structured Credit Fund, L.P.

(Exact name of registrant as specified in charter)

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

Brian Vrabel

c/o SEI Investments Management Corporation

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

Registrant’s telephone number, including area code: (610) 676-3842

Date of fiscal year end: December 31, 2019

Date of reporting period: June 30, 2019

Item 1.

Reports to Stockholders.

S E I S T R U C T U R E D C R E D I T F U N D, L . P .

Financial Statements (Unaudited)

For the six month period ended June 30, 2019

SEI Structured Credit Fund, L.P.

Financial Statements

For the six month period ended June 30, 2019

Contents


Schedule of Investments			1
Statement of Assets and Liabilities			8
Statement of Operations			9
Statements of Changes in Limited Partners’ Capital			10
Statement of Cash Flows			11
Notes to Financial Statements			12

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarter of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT is available on the Commission’s website at https://www.sec.gov.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling (888) 786-9977; and (ii) on the Commission’s website at https://www.sec.gov.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019

LOGO


Description	Par Value		Fair Value

ASSET-BACKED SECURITIES (A) — 102.7%

CANADA — 1.9%
Callidus ABL CLO, Ser 2016-1A, Cl A
3.990%, 12/07/21 (B)	$	14,909,288	$	14,596,193
Callidus ABL CLO, Ser 2016-1A, Cl B
5.430%, 12/07/21 (B)		11,500,000		11,148,100
Callidus ABL CLO, Ser 2016-1A, Cl C
6.790%, 12/07/21 (B)		7,000,000		6,754,300
Callidus ABL CLO, Ser 2016-1A, Cl D
9.290%, 12/07/21 (B)		5,250,000		4,953,900

				37,452,493


CAYMAN ISLANDS — 72.9%
ABPCI Direct Lending Fund CLO I, Ser 2019-1A, Cl CR
6.798%, VAR ICE LIBOR USD 3 Month+4.520% 07/20/29 (B)		12,466,000		12,417,383
ABPCI Direct Lending Fund CLO V, Ser 2019-5A, Cl C
7.278%, VAR ICE LIBOR USD 3 Month+5.000% 04/20/31 (B)		13,000,000		13,113,750
APEX CREDIT CLO, Ser 2018-2A, Cl E
8.808%, VAR ICE LIBOR USD 3 Month+6.530% 10/20/31 (B)		14,300,000		13,728,000
APEX CREDIT CLO, Ser 2018-2A, Cl F
11.258%, VAR ICE LIBOR USD 3 Month+8.980% 10/20/31 (B)		7,600,000		6,764,000
Arch Street CLO, Ser 2018-2A, Cl DR
6.028%, VAR ICE LIBOR USD 3 Month+3.750% 10/20/28 (B)		8,000,000		7,892,000
B&M CLO, Ser 2014-1A, Cl E
8.351%, VAR ICE LIBOR USD 3 Month+5.750% 04/16/26 (B)		5,250,000		4,525,500
Battalion CLO, Ser 2013-4A, Cl SUB
10/22/25 (B)(C)		31,800,000		159,000
Battalion CLO IX, Ser 2018-9A, Cl ER
8.553%, VAR ICE LIBOR USD 3 Month+6.250% 07/15/31 (B)		17,000,000		16,216,300
Battalion CLO VII, Ser 2014-7A, Cl SUB
07/17/28 (B)(C)		12,746,000		5,225,860
Battalion CLO VII, Ser 2018-7A, Cl ERR
10.883%, VAR ICE LIBOR USD 3 Month+8.580% 07/17/28 (B)		4,000,000		3,850,800
Battalion CLO XI, Ser 2017-11A, Cl E
8.263%, VAR ICE LIBOR USD 3 Month+5.980% 10/24/29 (B)		2,700,000		2,595,240
Battalion CLO XI, Ser 2017-11A, Cl SUB
10/24/29 (B)(C)		38,324,300		29,892,954
Battalion CLO XII, Ser 2018-12A, Cl SUB
05/17/31 (B)(C)		46,533,517		38,157,484
Battalion CLO XIV, Ser 2019-14A, Cl SUB
04/20/32 (C)		47,870,000		42,781,419
Benefit Street Partners CLO, Ser 2015-VII, Cl SUB
07/18/27 (C)		36,750,000		27,389,775
Benefit Street Partners CLO, Ser 2018-5BA, Cl SUB
04/20/31 (C)		30,840,000		23,839,320
Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB
07/20/29 (B)(C)		21,904,000		9,637,760
Benefit Street Partners CLO IV
07/20/26 (B)(C)		21,676,000		11,542,470

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019


Description	Par Value		Fair Value

Benefit Street Partners CLO IX
07/20/25 (B)(C)	$	22,625,000	$	19,457,500
Benefit Street Partners CLO V
10/20/26 (B)(C)		19,200,000		576,000
Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB
10/18/29 (B)(C)		36,203,000		25,642,585
Benefit Street Partners CLO VIII
(B)		36,680,000		29,527,400
Benefit Street Partners CLO XII, Ser 2017-12A, Cl SUB
10/15/30 (B)(C)		40,364,000		31,483,920
Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB
04/20/31 (B)(C)		37,334,000		30,240,540
Benefit Street Partners CLO XVI, Ser 2018-16A, Cl E
9.003%, VAR ICE LIBOR USD 3 Month+6.700% 01/17/32 (B)		4,350,000		4,234,725
Brigade Debt Funding I, Ser 2018-1A, Cl SUB
04/25/36 (C)		55,000,000		49,720,000
Brigade Debt Funding II, Ser 2018-2A, Cl D
5.500%, 10/25/35 (B)		3,386,692		3,227,517
Brigade Debt Funding II, Ser 2018-2A, Cl SUB
10/25/35 (B)(C)		20,000,000		18,340,000
Cathedral Lake CLO, Ser 2013-1A, Cl CR
5.803%, VAR ICE LIBOR USD 3 Month+3.500% 10/15/29 (B)		5,000,000		4,715,550
Cathedral Lake CLO, Ser 2013-1A, Cl DR
9.553%, VAR ICE LIBOR USD 3 Month+7.250% 10/15/29 (B)		14,464,000		14,257,020
Cathedral Lake CLO, Ser 2013-1A, Cl SUB
10/15/29 (B)(C)		18,200,000		6,734,000
Cathedral Lake V, Ser 2018-5A, Cl E
8.378%, VAR ICE LIBOR USD 3 Month+6.100% 10/21/30 (B)		9,000,000		8,361,810
Cathedral Lake V, Ser 2018-5A, Cl SUB
10/21/30 (B)(C)		30,838,000		24,670,400
Dryden 75 CLO, Ser 2019-75A, Cl SUB
07/15/30 (B)(C)		24,090,000		20,235,600
Elevation CLO, Ser 2014-2A, Cl ER
8.653%, VAR ICE LIBOR USD 3 Month+6.350% 10/15/29 (B)		7,500,000		7,201,582
Elevation CLO, Ser 2014-2A, Cl FR
10.943%, VAR ICE LIBOR USD 3 Month+8.640% 10/15/29 (B)		8,550,000		8,203,393
Elevation CLO, Ser 2014-2A, Cl SUB
10/15/29 (B)(C)		14,400,000		5,688,000
Elevation CLO, Ser 2017-8A, Cl F
10.440%, 10/25/30		6,650,000		6,083,826
Elevation CLO, Ser 2018-10A, Cl E
8.568%, VAR ICE LIBOR USD 3 Month+6.290% 10/20/31 (B)		14,000,000		13,441,037
Elevation CLO, Ser 2018-10A, Cl SUB
10/20/31 (B)(C)		40,850,000		31,930,035
Evans Grove CLO, Ser 2018-1A, Cl E
9.021%, VAR ICE LIBOR USD 3 Month+6.500% 05/28/28 (B)		9,000,000		8,612,010
Figueroa CLO, Ser 2013-2A, Cl SUB
06/20/27 (B)(C)		12,967,000		5,203,657
Garrison Funding, Ser 2018-2RA, Cl A1TR
4.100%, VAR ICE LIBOR USD 3 Month+1.580% 11/20/29 (B)		13,949,000		13,824,017
Garrison Funding, Ser 2018-2RA, Cl A2R
4.970%, VAR ICE LIBOR USD 3 Month+2.450% 11/20/29 (B)		5,525,000		5,451,186
Great Lakes CLO, Ser 2014-1A, Cl ER
10.097%, 10/15/29		10,378,000		10,066,660
Great Lakes CLO, Ser 2014-1A, Cl FR
12.597%, 10/15/29		6,063,000		5,424,566
Great Lakes CLO, Ser 2014-1A, Cl SUB
10/15/29 (B)(C)		16,940,000		13,872,166
Great Lakes CLO, Ser 2015-1A, Cl ER
9.961%, 01/16/30		17,689,000		16,450,770
Great Lakes CLO, Ser 2015-1A, Cl FR
12.601%, 01/16/30		6,517,000		5,530,978

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019


Description	Par Value		Fair Value

Great Lakes CLO, Ser 2015-1A, Cl SUB
01/16/30 (B)(C)	$	24,580,042	$	18,164,651
Halcyon Loan Advisors Funding, Ser 2018-2A, Cl D
9.746%, 01/22/31		15,700,000		15,075,454
Ivy Hill Middle Market Credit Fund, Ser 2013-7A, Cl SUB
10/20/29 (B)(C)		19,066,500		14,141,623
Ivy Hill Middle Market Credit Fund VII, Ser 2017-7A, Cl ER
10.322%, VAR ICE LIBOR USD 3 Month+7.730% 10/20/29 (B)		9,000,000		8,784,000
Ivy Hill Middle Market Credit Fund X, Ser 2018-10A, Cl DR
9.580%, VAR ICE LIBOR USD 3 Month+7.280% 07/18/30 (B)		21,000,000		20,173,230
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D
9.671%, 04/18/30		15,555,000		14,321,489
Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB
04/18/30 (B)(C)		11,667,000		10,003,752
Lockwood Grove CLO, Ser 2014-1A, Cl ERR
8.430%, 01/25/30		17,100,000		15,788,088
Lockwood Grove CLO, Ser 2014-1A, Cl SUB
01/25/30 (B)(C)		25,988,000		19,491,000
MCF CLO VIII, Ser 2018-1A, Cl SUB
07/18/30 (B)(C)		27,710,000		26,216,431
Monarch Grove CLO, Ser 2018-1A, Cl D
4.926%, VAR ICE LIBOR USD 3 Month+2.650% 01/25/28 (B)		6,450,000		6,003,918
Monroe Capital MML CLO, Ser 2018-1A, Cl ER
9.528%, VAR ICE LIBOR USD 3 Month+7.250% 07/22/28 (B)		15,000,000		13,925,700
Mountain View CLO, Ser 2013-1A, Cl DR
6.490%, VAR ICE LIBOR USD 3 Month+4.150% 10/12/30 (B)		2,000,000		1,980,000
Mountain View CLO, Ser 2013-1A, Cl ER
10.040%, VAR ICE LIBOR USD 3 Month+7.700% 10/12/30 (B)		10,000,000		9,500,000
Neuberger Berman CLO, Ser 2017-24A, Cl INC
04/19/30 (B)(C)		15,000,000		9,600,000
Neuberger Berman CLO XV, Ser 2013-15A, Cl FR
10.783%, VAR ICE LIBOR USD 3 Month+8.480% 10/15/29 (B)		4,200,000		3,927,000
Neuberger Berman CLO XV, Ser 2013-15A, Cl SUB
10/15/29 (B)(C)		19,868,600		8,543,498
Neuberger Berman CLO XVI, Ser 2017-16SA, Cl SUB
01/15/28 (B)(C)		17,822,117		15,683,463
Neuberger Berman CLO XVII, Ser 2014-17A, Cl SUB
04/22/29 (B)(C)		5,900,000		3,259,750
Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB
10/17/27 (B)(C)		26,625,000		16,773,750
Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUBF
0.100%, 10/17/27 (B)		818,231		360,022
Neuberger Berman Loan Advisers CLO, Ser 2017-25A, Cl INC
10/18/29 (B)(C)		16,000,000		11,040,000
Neuberger Berman Loan Advisers CLO, Ser 2017-26A, Cl INC
10/18/30 (B)(C)		13,600,000		10,336,000
Neuberger Berman Loan Advisers CLO, Ser 2018-27A, Cl INC
01/15/30 (B)(C)		12,000,000		8,880,000
Neuberger Berman Loan Advisers CLO, Ser 2018-27A, Cl SUBN
0.072%, 01/15/30 (B)		295,867		161,248
Neuberger Berman Loan Advisers CLO, Ser 2018-29A, Cl 1ISR
10/19/31 (B)(C)		92,000		84,640
Neuberger Berman Loan Advisers CLO, Ser 2018-29A, Cl 2ISR
10/19/31 (B)(C)		331,457		304,940
Neuberger Berman Loan Advisers CLO, Ser 2018-29A, Cl INC
10/19/31 (B)(C)		18,000,000		14,040,000
Neuberger Berman Loan Advisers CLO, Ser 2018-29A, Cl SPRI
0.110%, 10/19/31 (B)		800,000		768,000
Neuberger Berman Loan Advisers CLO, Ser 2019-30A, Cl INC
01/20/31 (B)(C)		4,050,000		3,370,815
Neuberger Berman Loan Advisers CLO, Ser 2019-32A, Cl INC
01/19/32 (B)(C)		18,300,000		14,603,400

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019


Description	Par Value		Fair Value

Neuberger Berman Loan Advisers CLO, Ser 2019-32A, Cl SINC
0.051%, 01/19/32 (B)	$	1,325,406	$	1,351,914
NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB
04/20/30 (B)(C)		50,029,000		31,343,169
NewStar Fairfield Fund CLO, Ser 2018-2A, Cl CN
5.858%, VAR ICE LIBOR USD 3 Month+3.580% 04/20/30 (B)		4,300,000		4,062,984
NewStar Fairfield Fund CLO, Ser 2018-2A, Cl DN
9.658%, VAR ICE LIBOR USD 3 Month+7.380% 04/20/30 (B)		12,600,000		11,831,904
OCP CLO, Ser 2017-13A, Cl SUB
07/15/30 (B)(C)		11,500,000		8,242,050
OCP CLO, Ser 2017-14A, Cl SUB
11/20/30 (B)(C)		16,333,000		11,923,090
OCP CLO, Ser 2017-6A, Cl ER
10.363%, VAR ICE LIBOR USD 3 Month+8.060% 10/17/30 (B)		10,800,000		9,844,200
OCP CLO, Ser 2019-16A, Cl SUB
01/20/32 (B)(C)		9,000,000		7,182,900
OCP CLO, Ser 2019-17A, Cl D
0.00%, VAR ICE LIBOR USD 3 Month+3.950% 07/20/32 (B)		5,000,000		5,000,000
OCP CLO, Ser 2019-17A, Cl E
0.00%, VAR ICE LIBOR USD 3 Month+6.660% 07/20/32 (B)		1,500,000		1,455,000
OCP CLO, Ser 2019-17A, Cl SUB
07/20/32 (B)(C)		15,000,000		13,074,000
Peaks CLO, Ser 2018-3A, Cl A2
3.976%, VAR ICE LIBOR USD 3 Month+1.700% 01/25/31 (B)		9,500,000		9,479,100
Shackleton CLO, Ser 2018-6RA, Cl F
10.673%, VAR ICE LIBOR USD 3 Month+8.370% 07/17/28 (B)		4,510,000		4,298,932
Shackleton CLO, Ser 2018-6RA, Cl SU
07/17/28 (C)		19,200,000		14,400,000
Shackleton CLO, Ser 2019-14A, Cl SUB
07/20/30 (B)(C)		15,750,000		13,237,875
TCW CLO, Ser 2017-1A, Cl SUB
07/29/29 (B)(C)		26,999,000		18,764,305
TCW CLO, Ser 2018-1A, Cl E
8.326%, VAR ICE LIBOR USD 3 Month+6.050% 04/25/31 (B)		10,000,000		9,198,900
TCW CLO, Ser 2018-1A, Cl SUB
04/25/31 (B)(C)		29,703,000		21,403,982
TCW CLO, Ser 2019-2A
(C)		3,750,000		3,750,000
Telos CLO, Ser 2018-5A, Cl DR
5.603%, VAR ICE LIBOR USD 3 Month+3.300% 04/17/28 (B)		18,758,000		17,831,542
Telos CLO, Ser 2018-5A, Cl ER
8.863%, VAR ICE LIBOR USD 3 Month+6.560% 04/17/28 (B)		24,500,000		22,506,435
Trinitas CLO III, Ser 2018-3A, Cl DR
5.103%, VAR ICE LIBOR USD 3 Month+2.800% 07/15/27 (B)		6,625,000		6,260,625
Trinitas CLO X, Ser 2019-10A, Cl E
9.203%, VAR ICE LIBOR USD 3 Month+6.900% 04/15/32 (B)		15,000,000		14,325,000
Venture 35 CLO, Ser 2018-35A, Cl SUB
10/22/31 (B)(C)		26,039,000		19,268,860
Venture CLO, Ser 2017-28AA, Cl SUB
10/20/29 (B)(C)		25,000,000		18,750,000
Venture XII CLO, Ser 2018-12A, Cl ERR
8.021%, VAR ICE LIBOR USD 3 Month+5.500% 02/28/26 (B)		8,400,000		8,211,000
Venture XXVIII CLO, Ser 2017-28A, Cl SUB
07/20/30 (B)(C)		21,122,000		16,475,160
Voya CLO, Ser 2015-3A, Cl ER
11.092%, 10/20/31		18,400,000		16,972,160
Voya CLO, Ser 2015-3A, Cl SUB
10/20/31 (C)		56,700,000		38,136,420
Voya CLO, Ser 2019-1A, Cl SUB
04/15/29 (C)		4,300,000		4,214,000

				1,416,238,834

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019


Description	Par Value		Fair Value

IRELAND — 17.3%
Battalion CLO, Ser 2014-5A, Cl SUB)
04/17/26 (B)(C)	$	33,031,000	$	644,105
Battalion CLO VII, Ser 2017-8A, Cl D1R
9.300%, VAR ICE LIBOR USD 3 Month+7.000% 07/18/30 (B)		23,994,000		23,574,105
Battalion CLO VIII, Ser 2015-8A, Cl SUB
04/18/30 (B)(C)		23,307,000		15,382,620
Battalion CLO X, Ser 2016-10A, Cl SUB
01/24/29 (B)(C)		25,270,000		21,984,900
Benefit Street Partners CLO I, Ser 2012-IA, Cl SUB
10/15/23 (B)(C)		8,650,000		346,000
Benefit Street Partners CLO II, Ser 2013-IIA, Cl SUB
07/15/24 (B)(C)		23,450,000		11,959,500
Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB
01/15/29 (B)(C)		35,364,000		24,744,191
Cathedral Lake CLO III, Ser 2015-3A, Cl SUB
01/15/26 (B)(C)		29,485,000		22,408,600
Cerberus Loan Funding XVIII, Ser 2017-1A, Cl E
9.053%, VAR ICE LIBOR USD 3 Month+6.750% 04/15/27 (B)		18,000,000		17,290,800
CVP Cascade CLO, Ser 2014-2A, Cl D
7.401%, VAR ICE LIBOR USD 3 Month+4.800% 07/18/26 (B)		2,462,000		2,252,730
CVP Cascade CLO, Ser 2014-2A, Cl E
8.401%, VAR ICE LIBOR USD 3 Month+5.800% 07/18/26 (B)		8,000,000		6,720,000
Golub Capital Partners CLO, Ser 2017-35A, Cl E
9.092%, VAR ICE LIBOR USD 3 Month+6.500% 07/20/29 (B)		13,575,000		13,110,735
ICE Global Credit CLO, Ser 2013-1A, Cl INC
04/20/24 (B)(C)		12,500,000		125,000
Ivy Hill Middle Market Credit Fund, Ser 2017-12A, Cl D
10.152%, VAR ICE LIBOR USD 3 Month+7.560% 07/20/29 (B)		20,790,000		20,219,938
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB
07/20/29 (B)(C)		4,200,000		3,599,400
JFIN CLO, Ser 2017-1A, Cl C
5.083%, VAR ICE LIBOR USD 3 Month+2.800% 04/24/29 (B)		3,265,000		3,243,614
JFIN CLO, Ser 2017-1A, Cl D
5.883%, VAR ICE LIBOR USD 3 Month+3.600% 04/24/29 (B)		5,485,000		5,348,204
JFIN CLO, Ser 2017-1A, Cl E
8.633%, VAR ICE LIBOR USD 3 Month+6.350% 04/24/29 (B)		10,500,000		9,845,640
JFIN MM CLO, Ser 2014-1A, Cl E
8.778%, VAR ICE LIBOR USD 3 Month+6.500% 04/20/25 (B)		12,500,000		12,258,625
JFIN Revolver CLO, Ser 2017-5A, Cl B
5.300%, 04/20/24 (B)		19,000,000		18,857,500
JFIN Revolver CLO, Ser 2017-5A, Cl C
7.150%, 04/20/24 (B)		14,500,000		14,336,875
Longfellow Place CLO, Ser 2017-1A, Cl DRR
6.803%, VAR ICE LIBOR USD 3 Month+4.500% 04/15/29 (B)		836,000		827,088
Longfellow Place CLO, Ser 2017-1A, Cl ERR
10.003%, VAR ICE LIBOR USD 3 Month+7.700% 04/15/29 (B)		4,000,000		3,949,200
Longfellow Place CLO, Ser 2017-1A, Cl FRR
10.803%, VAR ICE LIBOR USD 3 Month+8.500% 04/15/29 (B)		7,362,500		6,405,375
NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E
8.630%, VAR ICE LIBOR USD 3 Month+6.050% 01/25/27 (B)		23,726,000		22,326,166
OCP CLO, Ser 2012-2A, Cl SUB
11/22/25 (B)(C)		18,445,000		1,090,100
OCP CLO, Ser 2017-4A, Cl ER
10.133%, VAR ICE LIBOR USD 3 Month+7.850% 04/24/29 (B)		8,250,000		7,235,250
Shackleton CLO, Ser 2014-6A, Cl SUB
07/17/26 (B)(C)		23,850,000		71,550
TCP Waterman CLO, Ser 2016-1A, Cl B
5.860%, 12/15/28		6,000,000		5,986,260
Valhalla CLO, Ser 2004-1A, Cl EIN
08/01/20 (B)(C)		6,500,000		1,300,000

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019


Description	Par Value/Shares		Fair Value

Venture CDO, Ser 2016-25A, Cl SUB
04/20/29 (B)(C)	$	11,620,000	$	8,424,500
Venture XXVI CLO, Ser 2017-26A, Cl SUB
01/20/29 (B)(C)		10,526,000		7,420,830
Zohar CDO, Ser 2007-3A, Cl A2
3.351%, VAR ICE LIBOR USD 3 Month+0.550% 04/15/19 (B)(D)		90,000,000		18,225,000
Zohar CDO, Ser 2007-3A, Cl A3
3.551%, VAR ICE LIBOR USD 3 Month+0.750% 04/15/19 (B)		56,000,000		5,600,000

				337,114,401


JERSEY — 1.3%
Saranac CLO V, Ser 2013-1A, Cl ER
9.967%, VAR ICE LIBOR USD 3 Month+7.700% 07/26/29 (B)		18,000,000		17,301,060
Saranac CLO VII, Ser 2014-2A, Cl ER
9.240%, VAR ICE LIBOR USD 3 Month+6.720% 11/20/29 (B)		7,750,000		7,060,793

				24,361,853


UNITED STATES — 9.3%
Battalion CLO XVI Warehouse Note
		7,500,000		7,500,000
Benefit Street Partners Warehouse Note
		20,625,000		20,480,625
Ivy Hill IV
07/03/21 (D)		85,000,000		78,200,000
NewStar Berkeley Fund CLO, Ser 2016-1A, Cl E
10.026%, VAR ICE LIBOR USD 3 Month+7.750% 10/25/28 (B)		23,142,000		22,887,438
NewStar Berkeley Fund CLO, Ser 2016-1A, Cl SUB
10/25/28 (B)(C)		32,718,000		22,411,830
NewStar Berkeley Fund CLO, Ser 2019-1A, Cl DR
7.026%, VAR ICE LIBOR USD 3 Month+4.750% 10/25/28 (B)		5,269,000		5,269,000
NewStar Exeter Fund CLO, Ser 2015-1A, Cl E
9.792%, VAR ICE LIBOR USD 3 Month+7.200% 01/20/27 (B)		9,000,000		8,797,500
OCP CLO Warehouse Note, Ser 2019-17A
		15,000,000		15,000,000

				180,546,393


Total Asset-Backed Securities (Cost $2,236,027,640)				1,995,713,974


CASH EQUIVALENT (E) (F) — 4.0%

UNITED STATES — 4.0%
SEI Daily Income Trust Government Fund, Cl F, 2.140%		77,467,421		77,467,421


Total Cash Equivalent (Cost $77,467,421)				77,467,421


Total Investments — 106.7% (Cost $2,313,495,061)			$	2,073,181,395

Percentages based on Limited Partners’ Capital of $1,943,180,535.

Transactions with affiliated funds during the period ended June 30, 2019 are as follows:

Value of Shares Held
as of 12/31/2018

Purchases

at Cost

Proceeds
from Sales

Realized
Gain (Loss)

Value of Shares Held
as of 6/30/2019

Dividend
Income

SEI Daily Income Trust Government Fund, Cl F

$3,608,008

$237,124,063

($163,264,650)

$—

$77,467,421

$591,381

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

ICE — Intercontinental Exchange

LIBOR — London Interbank Offered Rate

Ser — Series

VAR — Variable

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

June 30, 2019

(A)	Securities considered illiquid. The total value of such securities as of June 30, 2019 was $1,995,713,974 and represented 102.7% of Partners’ Capital.

(B)	Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended. At June 30, 2019, the market value of Rule 144A positions amounted to $1,558,602,163 or 80.2% of Limited Partners’ Capital.

(C)	Represents equity/residual tranche investments in which estimated effective yields are applied.

(D)	Security fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such securities as of June 30, 2019 was $96,425,000 and represented 5.0% of Limited Partners’ Capital.

(E)	Rate shown is the 7-day effective yield as of June 30, 2019.

(F)	Investment in affiliated security.

Various inputs are used in determining the fair value of investments. For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the inputs used as of June 30, 2019 in valuing the Fund’s investments carried at value:



Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Asset-Backed Securities	$	—	$	—	$	1,995,713,974		$1,995,713,974
Cash Equivalent		77,467,421		—		—		77,467,421

Total Investments in Securities	$	77,467,421	$	—	$	1,995,713,974	$	2,073,181,395

⁽¹⁾	Of the $1,995,713,974 in Level 3 securities as of June 30, 2019, $1,899,288,974 was valued via dealer quotes.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value:


	Asset-Backed Securities
Beginning balance as of January 1, 2019	$	1,862,566,437
Accrued discounts/premiums		65,536,207
Realized gain/(loss)		5,829,215
Change in unrealized appreciation/(depreciation)		60,405,234
Proceeds from sales		(248,125,436)
Purchases		249,502,317

Ending balance as of June 30, 2019	$	1,995,713,974


Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	91,845,640

For the period ended June 30, 2019, there were no transfers between Level 1, Level 2 and Level 3 assets and liabilities. Transfers, if any, are recognized at year end.

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Statement of Assets and Liabilities (Unaudited)

June 30, 2019


Assets
Investments in securities, at value (cost $2,236,027,640)	$	1,995,713,974
Investment in affiliated security, at value (cost $77,467,421)		77,467,421
Cash		15,930,825
Interest receivable		14,139,636

Total assets		2,103,251,856


Liabilities
Capital withdrawals payable		106,562,535
Capital contributions received in advance		15,585,000
Payable for investment securities purchased		36,892,490
Administration fees payable		342,696
Other accrued expenses		688,600

Total liabilities		160,071,321

Limited Partners’ capital	$	1,943,180,535


Limited Partners’ capital Represented by:
Paid-in-capital	$	2,183,494,201
Net unrealized depreciation on investments		(240,313,666	)


Limited Partners’ capital	$	1,943,180,535

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Statement of Operations (Unaudited)

For the six months ended June 30, 2019


Investment income
Interest income	$	106,149,748
Dividend income from affiliated security		591,381

Total investment income		106,741,129

Expenses
Administration fee		1,000,830
Professional fees		198,550
Directors’ fees		22,500
Miscellaneous expenses		146,414

Total expenses		1,368,294

Net investment income		105,372,835


Realized and unrealized gain on investments
Net realized gain on investments		5,974,537
Net change in unrealized appreciation (depreciation) on investments		60,337,402

Net realized and unrealized gain on investments		66,311,939

Net increase in Limited Partners’ capital resulting from operations	$	171,684,774

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Statements of Changes in Limited Partners’ Capital


	For the period ended June 30, 2019 (Unaudited)			For the year ended December 31, 2018

From investment activities
Net investment income	$	105,372,835		$	188,917,077
Net realized gain on investments		5,974,537			31,205,773
Net change in unrealized appreciation (depreciation) on investments		60,337,402			(182,113,910	)

Net increase in Limited Partners’ capital resulting from operations		171,684,774			38,008,940

Partners’ capital transactions
Capital contributions		65,605,889			73,430,352
Capital withdrawals		(136,140,772	)		(87,770,473	)

Net decrease in Limited Partners’ capital derived from capital transactions		(70,534,883	)		(14,340,121	)

Net increase in Limited Partners’ capital		101,149,891			23,668,819
Limited Partners’ capital beginning of the period		1,842,030,644			1,818,361,825

Limited Partners’ capital end of the period	$	1,943,180,535		$	1,842,030,644

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Statement of Cash Flows (Unaudited)

For the six months ended June 30, 2019


Cash flows from operating activities
Net increase in Limited Partners’ capital resulting from operations	$	171,684,774
Adjustments to reconcile net increase in Limited Partners’ capital resulting from operations to net cash provided by operating activities:
Purchases of long-term investments		(249,502,317	)
Proceeds from sales of long-term investments		251,148,325
Accretion of discount (see Note 2)		(65,536,207	)
Net purchase of short-term investments		(73,859,413	)
Net realized gain on investments		(5,974,537	)
Net change in unrealized (appreciation) depreciation on investments		(60,337,402	)
Decrease in due from affiliate		13,139,311
Increase in interest receivable		(1,675,565	)
Increase in payable for securities purchased		33,854,990
Increase in administration fees payable		186,134
Increase in other accrued expenses		111,950

Net cash provided by operating activities		13,240,043


Cash flows from financing activities
Capital contributions		68,051,578
Capital withdrawals		(65,360,796	)

Net cash provided by financing activities		2,690,782


Net change in cash		15,930,825


Cash
Beginning of the period		-

End of the period	$	15,930,825

See accompanying notes, which are an integral part of the financial statements.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited)

June 30, 2019

1. Organization

SEI Structured Credit Fund, L.P. (the “Fund”) is a Delaware limited partnership established on June 26, 2007 and commenced operations on August 1, 2007. The Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end, non-diversified, management investment company. The Fund offers limited partnership interests (“Interests”) solely through private placement transactions to investors (“Limited Partners”) that have signed an investment management agreement with SEI Investments Management Corporation (“SIMC” or the “Adviser”), the investment adviser to the Fund. SEI Investments Company is the parent company of SIMC. As of June 30, 2019, the SEI Structured Credit Segregated Portfolio owned approximately 81.0% of the Fund, while the other Limited Partners owned approximately 19.0% of the Fund.

The Fund’s objective is to generate high total returns. There can be no assurance that the Fund will achieve its objective. The Fund pursues its investment objective by investing in a portfolio comprised of collateralized debt obligations (“CDOs”), which includes collateralized loan obligations (“CLOs”) and other structured credit investments. CDOs are special purpose investment vehicles formed to acquire and manage a pool of loans, bonds and/or other fixed income assets of various types. CDOs fund their investments by issuing several classes of debt and equity securities, the repayment of which is linked to the performance of the underlying assets, which serve as collateral for certain securities issued by the CDO. In addition to CDOs, the Fund’s investments may include fixed income securities, loan participations, credit-linked notes, medium-term notes, registered and unregistered investment companies or pooled investment vehicles, and derivative instruments, such as credit default swaps and total return swaps (collectively with CDOs, “Structured Credit Investments”).

SEI Investment Strategies, LLC (the “General Partner”), a Delaware limited liability company, serves as the General Partner to the Fund and had no investment in the Fund during the period and as of June 30, 2019. The General Partner has delegated the management and control of the business and affairs of the Fund to the Board of Directors (the “Board”). A majority of the Board is and will be persons who are not “interested persons” (as defined in the 1940 Act) with respect to the Fund.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies

The following is a summary of significant accounting and reporting policies followed by the Fund in preparing the financial statements:

Use of Estimates

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946 (ASC 946). The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Management believes that the estimates utilized in preparing the Fund’s financial statements are reasonable; however, actual results could differ from these estimates and it is possible that differences could be material.

Valuation of Investments

Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used.

For securities not listed on a securities exchange, the Fund shall seek to obtain a bid price from at least one dealer who is independent of the Fund. In such cases, the independent dealer providing the price on the Structured Credit Investment may also be a “market maker”, and in many cases the only market maker, with respect to that security. As of June 30, 2019, all asset-backed securities, with the exception of two fair valued securities, are valued by an independent dealer. Please see the unobservable inputs table on page 16 of the financial statements.

A dealer’s valuation reflects its judgment of the price of an asset, assuming an arm’s length transaction at the valuation date between knowledgeable and willing market participants. It generally assumes a round lot institutional transaction, without consideration for whether the client is long or short the instrument, and without adjustment for the size of the client’s position. The valuation pertains to an assumed transaction and may not necessarily reflect actual quoted or other prices, and does not indicate that an active market exists for the financial instrument.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (continued)

Valuation of Investments (continued)

A dealer’s valuation may be formulated using inputs such as a combination of observable market transactions of the exact security or a similar security and internal models. Bids-Wanted-In Competition (“BWIC”) are widely distributed auctions of securities whose results are the primary input used by dealers to establish valuations for structured credit securities. Dealers supplement BWIC results with private transactions and model-driven valuations. Model-driven valuations require assumptions regarding default, recovery, and prepayment rates that are consistent with current market conditions.

In situations where market inputs are not available or do not provide a sufficient basis under current market conditions for pricing the instrument, the valuation may reflect the dealer’s view of the assumptions that market participants would use in pricing the instrument. Since market participants may have materially different views as to future supply, demand, credit quality and other factors relevant to pricing financial instruments, as well as bid and ask prices, valuations may differ materially among dealers. The actual level at which these instruments trade (if trades occur) could be materially different from the dealer’s valuation.

Securities for which market prices are not “readily available” or may be unreliable are valued in accordance with Fair Value Procedures established by the Board. The Fund’s fair value procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. The Committee provides regular reports to the Board concerning investments for which market prices are not readily available or may be unreliable.

When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider are: (i) the facts giving rise to the need to fair value; (ii) the last trade price; (iii) the performance of the market or issuer’s industry; (iv) the liquidity of the security; (v) the size of the holding in the Fund; or (vi) any other appropriate information. The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available. At June 30, 2019, there were two securities that were fair valued by the Committee.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (continued)

Valuation of Investments (concluded)

The Board will periodically review the Fund’s valuation policies and will update them as necessary to reflect changes in the types of securities in which the Fund invests.

Fair Value of Financial Instruments

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price).

Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions the market participants would use in pricing the asset or liability. The three levels of the fair value hierarchy are described below:

Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2 – Observable market based inputs or unobservable inputs that are corroborated by market data, which includes financial instruments that are valued using models or other valuation methodologies. These models are primarily industry standard models that consider various assumptions, including time value, yield curve, volatility factors, prepayment speeds, default rates, loss severity, current market and contractual prices for the underlying financial instruments, as well as other relevant economic measures. Substantially all of these assumptions are observable in the marketplace, can be derived from observable data or are supported by observable levels at which transactions are executed in the marketplace; and

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (continued)

Fair Value of Financial Instruments (continued)

Level 3 – Unobservable inputs that are not corroborated by market data (supported by little or no market activity), which is comprised of financial instruments whose fair value is estimated based on internally developed models or methodologies utilizing significant inputs that are generally not observable.

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

For the six months ended June 30, 2019, there have been no significant changes to the Fund’s fair valuation methodologies.

The following table summarizes the quantitative inputs and assumptions used for items categorized as Level 3 investments as of June 30, 2019. The disclosure below also includes quantitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.


	Fair Value as of		Valuation
Assets	June 30, 2019		Technique(s)	Unobservable Input	Price Range
CLO Debt	$	765,102,671	Market Quotes	Broker Quote	$10 - $101
CLO Equity		1,134,186,303	Market Quotes	Broker Quote	$0 - $1

Total	$	1,899,288,974


	Fair Value as of		Valuation		Range (Weighted
Assets	June 30, 2019		Technique(s)	Unobservable Input	Average)
CLO Debt	$	18,225,000	Market Comparables	Yield	0
CLO Equity		78,200,000	Market Comparables	Credit Spread	8-12%

	$	96,425,000

The unobservable input used to determine fair value of the Level 3 asset may have similar diverging impacts on valuation. Significant increases and decreases in this input could result in significantly higher or lower fair value measurement.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (continued)

Income Recognition and Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Amortization and accretion of debt instruments is calculated using the scientific interest method, which approximates the effective interest method over the estimated life of the security. Amortization of premiums and accretion of discounts are adjusted semi-annually or at the time of purchase for a new investment and are included in interest income on the Statement of Operations. Realized gains (losses) on paydowns on asset-backed securities are recorded as an adjustment to interest income.

The Fund’s policy for recognizing income from equity/residual tranches of CLOs investments is to recognize the excess of all cash flows over the attributable to the beneficial interest as interest income over the life of the beneficial interest using the effective yield method. The effective yield is determined based upon the original purchase price and the estimated amount and timing of principal and interest cash flows based on the best estimate of current information and events. The cost used in determining net realized capital gains and losses on the sale of CLOs investments are on the basis of first in, first out

Collateralized Debt Obligations

The Fund invests in CDOs which include CLOs, a type of asset-backed security, and other similarly structured securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (continued)

Collateralized Debt Obligations (concluded)

Legislation enacted in 2010 imposes a withholding tax of 30% on payments of U.S. source interest and dividends paid after December 31, 2013, or gross proceeds from the disposition of an instrument that produces U.S. source interest or dividends paid after June 30, 2019, to certain non-U.S. entities, including certain non-U.S. financial institutions and investment funds, unless such non-U.S. entity complies with certain reporting requirements regarding its United States account holders and its United States owners. Most CLO vehicles in which we invest will be treated as non-U.S. financial entities for this purpose, and therefore will be required to comply with these reporting requirements to avoid the 30% withholding. If a CLO vehicle in which we invest fails to properly comply with these reporting requirements, it could reduce the amounts available to distribute to equity and junior debt holders in such CLO vehicle, which could materially and adversely affect our operating results and cash flows.

Federal Taxes

The Fund intends to be treated as a partnership for federal, state, and local income tax purposes. Each Limited Partner is responsible for the tax liability or benefit relating to its distributive share of taxable income or loss. Accordingly, no provision for federal, state, or local income taxes is reflected in the accompanying financial statements.

The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is “more-likely-than-not” (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Fund did not record any tax provisions in the current period. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last 3 tax year ends, 2016-2018), on-going analysis of and changes to tax laws, regulations and interpretations thereof, and therefore, an estimate of potential changes to unrecognized tax benefits in the next 12 months cannot be made.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

2. Significant Accounting Policies (concluded)

Cash and Cash Equivalents

Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.

3. Adviser, Administrator and Other Transactions

The Adviser does not charge a management fee to the Fund. Limited Partners are responsible for paying the fees of the Adviser directly under their individual investment management agreement with the Adviser. Each agreement sets forth the fees to be paid to the Adviser, which are ordinarily expressed as a percentage of the Limited Partner’s assets managed by the Adviser. This fee, which is negotiated between the Limited Partner and the Adviser, may include a performance-based fee and/or a fixed-dollar fee for certain specified services that is unrelated to the return of the Fund.

The Adviser has voluntarily agreed that certain expenses of the Fund, including custody fees and administrative fees shall not in the aggregate exceed 0.30% per annum of the Fund’s monthly average net asset value, and the Adviser or its affiliates will waive Fund fees or reimburse Fund expenses to the extent necessary so that such 0.30% limit is not exceeded. The following expenses of the Fund are specifically excluded from the expense limit: organizational expenses; extraordinary, non-recurring and certain other unusual expenses; taxes and fees; and expenses incurred indirectly by the Fund through its investments in Structured Credit Investments. The Adviser may discontinue all or part of this waiver at any time. In the current period, the Adviser did not waive any expenses.

SEI Global Services, Inc. (the “Administrator”) serves as the Fund’s administrator. The Administrator is a wholly-owned subsidiary of SEI Investments Company, which is also a parent company of the Adviser. The Administrator provides certain administrative, accounting, and transfer agency services to the Fund. The services performed by the Administrator may be completed by one or more of its affiliated companies. The Fund pays the Administrator a fee equal to 0.10% (on an annualized basis) of the Fund’s net asset value which is accrued monthly based on month-end net assets and is paid monthly, and reimburses the Administrator for certain out-of-pocket expenses.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

3. Adviser, Administrator and Other Transactions (concluded)

SEI Investments Distribution Co. (the “Placement Agent”) serves as the Fund’s placement agent pursuant to an agreement with the Fund. The Placement Agent is a wholly-owned subsidiary of SEI Investments Company, which is also a parent company of the Adviser. The Placement Agent is not compensated by the Fund for its services rendered under the agreement.

Certain officers and Directors of the Fund are also officers and/or Directors of the Adviser, the Administrator and/or the Placement Agent. The Fund pays each unaffiliated Director an annual fee for attendance at quarterly, interim, and committee meetings. The Adviser, the Administrator or an affiliate pays compensation of officers and affiliated Directors.

4. Allocation of Profits and Losses

The Fund maintains a separate capital account for each of its Limited Partners. As of the last day of each month, the Fund shall allocate net profits or losses for that month to the capital accounts of all Limited Partners, in proportion to their respective opening capital account balances for such month (after taking into account any capital contributions deemed to be made as of the first day of such month).

5. Limited Partners’ Capital

The Fund, in the discretion of the Board, may sell interests to new Limited Partners and may allow existing Limited Partners to purchase additional Interests in the Fund on such days as are determined by the Board in its sole discretion. It is the Fund’s intention to allow limited purchases of Interests only during designated subscription periods as may be established by the Board or its designees (currently, the Adviser) and communicated to Limited Partners. The Board or its designee will determine the amount of Interests offered to Limited Partners during a subscription period at its discretion. During the established subscription periods, Interests may be purchased on a business day, or at such other times as the Board may determine, at the offering price (which is net asset value). The Fund may discontinue its offering at any time.

The Fund is a closed-end investment company, and therefore no Limited Partner will have the right to require the Fund to redeem its interests (“Interests”). The Fund from time to time may offer to repurchase outstanding Interests pursuant to written tenders by Limited Partners. Repurchase offers will be made at such times and on such terms as may be determined by the Board in its sole discretion. In determining whether the Fund should

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

5. Limited Partners’ Capital (concluded)

repurchase Interests from Limited Partners pursuant to written tenders, the Board will consider the recommendations of the Adviser.

The Adviser expects that it will recommend to the Board that the Fund offer to repurchase Interests four times each year, as of the last business day of March, June, September, and December. However, Limited Partners will not be permitted to tender for repurchase Interests that were acquired less than two years prior to the effective date of the proposed repurchase.

Even after the initial two year period, it is possible that there will be extended periods during which illiquidity in the underlying investments held by the Fund or other factors will cause the Board to elect not to conduct repurchase offers. Such periods may coincide with periods of negative performance. In addition, even in the event of a repurchase offer, it is possible that there will be an oversubscription to the repurchase offer, in which case a Limited Partner may not be able to redeem the full amount that the Limited Partner wishes to redeem.

During the six months ended June 30, 2019, the Fund made offers to repurchase Interests resulting in capital withdrawals of $136,140,772 and capital contributions of $65,605,889 in aggregate.

6. Investment Transactions

The cost of security purchases and proceeds from the sale and maturity of securities, other than temporary cash investments, during the six months ended June 30, 2019 were $249,502,317 and $251,148,325, respectively.

As of June 30, 2019, the cost of investments for tax purposes is $2,313,495,061. Net unrealized depreciation on investments for tax purposes was $240,313,666 consisting of $36,571,324 of gross unrealized appreciation and $276,884,990 of gross unrealized depreciation.

7. Concentrations of Risk

In the normal course of business, the Fund trades financial instruments involving market risk and counterparty credit risk.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

7. Concentrations of Risk (continued)

(a) Market risk

Market risk encompasses the potential for both losses and gains and includes price risk, interest rate risk, prepayment risk and collateral performance risk. The Fund’s market risk management strategy is driven by the Fund’s investment objective. The Adviser oversees each of the risks in accordance with policies and procedures.

(i) Price risk

Price risk is the risk that the value of the instrument will fluctuate as a result of changes in market prices, whether caused by factors specific to an individual investment, its issuer or any factor affecting financial instruments traded in the market. As all of the Fund’s Structured Credit Investments are carried at fair value with fair value changes recognized in the Statement of Operations, all changes in market conditions directly affect net assets.

(ii) Interest rate risk

The fair value of the Fund’s investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income 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.

(iii) Prepayment risk

Prepayment risk is the risk associated with the early unscheduled return of principal on a fixed-income security. Some fixed-income securities, such as CDOs, have embedded call options which may be exercised by the issuer, or in the case of a CDO, the borrower. The yield-to-maturity of such securities cannot be known for certain at the time of purchase since the cash flows are not known. When principal is returned early, future interest payments will not be paid on that part of the principal. If the security was purchased at a premium (a price greater than 100) the security’s yield will be less than what was estimated at the time of purchase.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

7. Concentrations of Risk (continued)

(a) Market risk (continued)

(iv) Collateral performance risk

Collateral performance risk is the risk that defaults or underperformance of the CDO’s underlying collateral negatively impacts scheduled payments to a tranche based on relative seniority in the overall capital structure of each deal.

(v) Liquidity risk

The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which the Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions.

In addition to the normal risks associated with fixed income securities (e.g., interest rate risk, reinvestment risk, prepayment risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Fund may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

(vi) Leverage risk

CLO vehicles are typically very highly levered (10 – 14 times), and therefore the junior debt and equity tranches that the Fund invests in are subject to a higher degree of risk of total loss. In particular, investors in CLO vehicles indirectly bear risks of the underlying debt investments held by such CLO vehicles. The Fund generally has the right to receive payments only from the CLO vehicles, and generally does not have direct rights against the underlying borrowers or the entity that sponsored the CLO vehicle. While the CLO vehicles the Fund targets generally enable the investor to acquire interests in a pool of senior loans without the expenses associated with directly holding the same investments, the Fund generally pays a proportionate share of the CLO vehicles’ administrative and other expenses. Although it is difficult to predict whether the prices of indices and securities underlying CLO vehicles will rise or fall, these prices (and, therefore, the prices

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

7. Concentrations of Risk (concluded)

(a) Market risk (concluded)

(vi) Leverage risk (concluded)

of the CLO vehicles) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. The failure by a CLO vehicle in which we invest to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to a reduction in its payments to us. In the event that a CLO vehicle fails certain tests, holders of debt senior to us may be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to receive. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO vehicle or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows.

(b) Counterparty credit risk

Counterparty credit risk is the risk a counterparty to a financial instrument could fail on a commitment that it has entered into with the Fund. The Fund minimizes counterparty credit risk by undertaking transactions with large well-capitalized counterparties or brokers and by monitoring the creditworthiness of these counterparties.

(c) Credit risk

When the Fund invests in structured credit investments, the Fund does not have custody of the assets of the structured credit investment or control over the investment. In certain structured credit investments, the Fund may have limited access to or information regarding the assets of or collateral underlying the structured credit investment. Furthermore, the Fund may not be able to confirm independently the accuracy of the information provided by the managers of structured credit investments. As such, there may be uncertainty with respect to the information available to the Fund for purposes of analyzing the reasonableness of an independent price obtained for a structured credit investment or to fair value a structured credit investment. Ultimately, the uncertainty of the reliability of (or limited access to) information received in respect of a structured credit investment may impair the Fund’s ability to value its investment. As a result, the amount realized by the Fund upon disposition of the structured credit investment could be materially different from that which is reported as the carrying value of the investment at any point in time.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (continued)

June 30, 2019

8. Indemnifications

The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, since inception the Fund has not had claims or losses pursuant to these contracts and expects the risk of loss to be remote.

9. Financial Highlights

The following represents the ratios to average net assets and other supplemental information for the following periods:


	For the six month period ended June 30, 2019 (Unaudited)		For the year ended 2018		For the year ended 2017		For the year ended 2016		For the year ended 2015		For the year ended 2014

Total return (1)		9.19%		1.97%		12.33%		25.80%		-6.95%		5.06%

Limited Partners’ capital, end of year (000’s)		$1,943,181		$1,842,031		$1,818,362		$1,679,402		$1,298,480		$1,387,197

Ratio to average partners’ capital^†
Net investment income ratio
Net investment income		10.75% (2)		9.78%		7.87%		10.04%		9.00%		7.63%

Expense ratio
Operating expenses		0.14% (2)		0.15%		0.20%		0.15%		0.12%		0.12%

Portfolio turnover rate		12.77% (3)		51.79%		54.67%		56.05%		35.45%		53.74%

†	Ratios to average partners’ capital are calculated based on the outstanding Limited Partners’ capital during the period.

(1)	Total return, which reflects the month-to-month change in Limited Partners’ capital, is calculated using returns that have been geometrically linked based on capital contributions and withdrawals.

(2)	Annualized.

(3)	Not Annualized.

10. New Accounting Pronouncement

In March 2017, the FASB issued an ASU, ASU 2017-08, which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. At this time, management is evaluating the implications of these changes on financial statements.

SEI Structured Credit Fund, L.P.

Notes to Financial Statements (Unaudited) (concluded)

June 30, 2019

10. New Accounting Pronouncement (concluded)

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.

11. Subsequent Events

Management on behalf of the Fund has evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements.

Item 2.

Code of Ethics.

Not applicable for semi-annual report.

Item 3.

Audit Committee Financial Expert.

Not applicable for semi-annual report.

Item 4.

Principal Accountant Fees and Services.

Not applicable for semi-annual report.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

Included in Item 1.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semi-annual report.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable for semi-annual report.

Item 9.

Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

None.

Item 10.

Submission of Matters to a Vote of Security Holders.

None.

Item 11.

Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Items 12.

Exhibits.

(a)(1) Not applicable for semi-annual report.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)						SEI Structured Credit Fund, L.P.

By (Signature and Title)						/s/ Robert A. Nesher
						Robert A. Nesher, President

Date: September 6, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By (Signature and Title)						/s/ Robert A. Nesher
						Robert A. Nesher, President

Date: September 6, 2019

By (Signature and Title)						/s/ James J. Hoffmayer
						James J. Hoffmayer, Treasurer

Date: September 6, 2019