Sei Opportunity Master Fund LP – ‘N-Q’ for 12/31/04

On:  Friday, 2/25/05, at 1:16pm ET   ·   Effective:  2/25/05   ·   For:  12/31/04   ·   Accession #:  935069-5-300   ·   File #:  811-21352

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Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Sei Opportunity Master Fund Nq Filing                  7     21K 
 2: EX-99.CERT  Sei Opportunity Master 302 Cert-Kr                     2±     9K 
 3: EX-99.CERT  Sei Opportunity Master 302 Cert-Ml                     2±     9K 

N-Q   —   Sei Opportunity Master Fund Nq Filing
Document Table of Contents

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UNITED STATES   
SECURITIES AND EXCHANGE COMMISSION    
WASHINGTON, D.C. 20549  
--------  

FORM N-Q  
--------  

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY 

INVESTMENT COMPANY ACT FILE NUMBER 811-21352    

 SEI OPPORTUNITY MASTER 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)

      Timothy D. Barto
    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) 676-1114

     DATE OF FISCAL YEAR END: MARCH 31, 2005

       DATE OF REPORTING PERIOD: DECEMBER 31, 2004

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ITEM 1.   SCHEDULE OF INVESTMENTS                                               

SEI OPPORTUNITY MASTER FUND, L.P.                                       

Quarterly Report (Unaudited)                                            

December 31, 2004                                                       

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                        SEI Opportunity Master Fund, L.P.                                               
                       Schedule of Investments (Unaudited)                                              
                                December 31, 2004                                                       

                    INVESTMENTS                           COST            VALUE       % OF NET ASSETS   
--------------------------------------------------------------------------------------------------------
                                                                                                        

INVESTMENT FUNDS*                                                                                       
Convertible Bond Hedging:                                                                               
   Alta Partners Discount Convertible                                                                   
       Arbitrage, LP                                      $2,962,500     $2,941,110          4.55%      
   Alta Partners Investment Grade, LP                      4,472,500      4,311,077         6.67        
   Forest Fulcrum Fund, LP                                 2,485,000      2,533,926         3.92        
   Lydian Partners II, LP                                  5,010,000      4,941,792         7.65        
                                                     ---------------------------------------------------
Total Convertible Bond Hedging                            14,930,000     14,727,905        22.79        

Credit Hedging:                                                                                         
   Canyon Value Realization Fund, LP                       3,610,000      4,003,745         6.19        
   Ore Hill Fund, LP                                         750,000        814,406         1.26        
   Solus, LLC                                              3,460,000      3,997,303         6.19        
   SRS Strategic Opportunities, LP                         3,460,000      3,687,970         5.71        
                                                     ---------------------------------------------------
Total Credit Hedging                                      11,280,000     12,503,424        19.35        

Distressed Debt:                                                                                        
   Avenue Investments, LP                                  3,766,000      4,035,985         6.25        
   Post Opportunity Fund, LP                               3,766,000      4,103,956         6.35        
                                                     ---------------------------------------------------
Total Distressed Debt                                      7,532,000      8,139,941        12.60        

Equity Market Neutral:                                                                                  
   Analytic US Market Neutral, LLC                         1,318,277      1,342,373         2.08        
   LibertyView Fund, LLC                                   1,216,000      1,252,847         1.94        
   Thales Fund, LP                                         1,316,000      1,414,103         2.19        
                                                     ---------------------------------------------------
Total Equity Market Neutral                                3,850,277      4,009,323         6.21        

Long/Short Equity:                                                                                      
   Alydar Fund, LP                                         2,750,000      2,924,404         4.53        
   Arience Capital Partners II, LP                         1,023,000      1,183,841         1.83        
   Blackmore Partners, LP                                  1,563,000      1,624,829         2.51        
   Cantillon Europe, LP                                      850,000        981,003         1.52        
   Clovis Capital Partners, LP                             1,273,000      1,409,353         2.18        
   Heirloom Partners, LP                                     773,000        834,085         1.29        
   Highline Capital Partners, LP                           3,173,000      3,440,094         5.32        
   Iron Horse Institutional Partners, LP                     350,000        406,824         0.63        
   Southport Millenium Fund, LP                            2,173,000      2,341,257         3.62        
   SuNova Partners, LP                                       850,000        969,845         1.50        
   Third Point Partners, LP                                2,823,000      3,449,203         5.34        
                                                     ---------------------------------------------------
Total Long/Short Equity                                   17,601,000     19,564,738        30.27        
                                                     ---------------------------------------------------
Total Investments                                        $55,193,277    $58,945,331         91.22%      
                                                     ===================================================
* Investment Funds are non-income producing.                                                            

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 SEI Opportunity Master Fund, L.P.
 Schedule of Investments (continued) (Unaudited)
 December 31, 2004

Percentages are based on net assets of $64,617,656. The aggregate cost of       
investments for tax purposes was $55,193,277. Net unrealized appreciation on    
investments for tax purposes was $3,752,054 consisting of $4,003,075 of gross   
unrealized appreciation and $251,021 of gross unrealized depreciation.          

The investments in Investment Funds shown above, representing 91.22% of members'
capital, have been fair valued in accordance with procedures established by the 
Board of Directors.                                                             

YEAR-END REDEMPTIONS                                                            

As of December 31, 2004, the following redemption occurred in the Fund:         

o TCS Capital, LP  $3,357,231                                             

SUBSEQUENT EVENT                                                                

The following investments were purchased as of January 1, 2005 (INVESTMENTS ARE 
NOT REFLECTED IN THE SCHEDULE OF INVESTMENTS ABOVE):                            

o Alta Partners Discount Convertible Arbitrage, LP  $4,800,000            

o Alta Partners Investment Grade, LP  $4,800,000                          

o Alydar Fund, LP  $3,140,000                                             

o Analytic US Market Neutral, LLC  $1,800,000                             

o Avenue Investments, LP  $4,600,000                                      

o Blackmore Partners, LP  $3,140,000                                      

o Boathouse Row II, LP $4,500,000                                         

o Canyon Value Realization Fund, LP  $3,280,000                           

o Forest Fulcrum Fund, LP  $4,800,000                                     

o Heirloom Partners, LP  $3,140,000                                       

o Highline Capital Partners  $3,140,000                                   

o LibertyView Fund, LLC  $1,800,000                                       

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 SEI Opportunity Master Fund, L.P.
 Schedule of Investments (continued) (Unaudited)
 December 31, 2004

SUBSEQUENT EVENT (CONTINUED)                                                    

o Lydian Partners II, LP  $4,800,000                                      

o Ore Hill Fund, LP  $3,280,000                                           

o Post Opportunity Fund, LP  $4,600,000                                   

o Solus, LLC  $3,280,000                                                  

o SRS Strategic Opportunities, LP  $3,280,000                             

o SuNova Partners, LP  $3,140,000                                         

o Thales Fund, LP  $1,800,000                                             

o The Steeple Capital Fund  $4,500,000                                    

o Third Point Partners, LP  $6,000,000                                    

For information regarding the Fund's policy regarding valuation of investments  
and other significant accounting policies, please refer to the Fund's most      
recent semi-annual or annual financial statements.                              

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ITEM 2.   CONTROLS AND PROCEDURES                                               

(a) The certifying officers, whose certifications are included herewith, have   
evaluated the registrant's disclosure controls and procedures within 90 days of 
the filing date of this report. In their opinion, based on their evaluation, the
registrant's disclosure controls and procedures are adequately designed, and are
operating effectively to ensure, that information required to be disclosed by   
the registrant in the reports it files or submits under the Securities Exchange 
Act of 1934 is recorded, processed, summarized and reported within the time     
periods specified in the Securities and Exchange Commission's rules and forms.  

(b) There were no significant changes in the registrant's internal control over 
financial reporting that occurred during the registrant's last fiscal quarter   
that has materially affected, or is reasonably likely to materially affect, the 
registrants internal control over financial reporting.                          

ITEM 3.  EXHIBITS.                                                              

(a) 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 Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed 
herewith.                                                                       

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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 Opportunity Master Fund, L.P.

By (Signature and Title)*                      /s/ Kevin P. Robins              
                                 -------------------
Kevin P. Robins                                                                 
                       President

Date: February 25, 2005                                                         

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/ Kevin P. Robins              
                                 -------------------
                             Kevin P. Robins
                       President

Date: February 25, 2005                                                         

By (Signature and Title)*                      /s/ Michael J. Leahy             
                                   ---------------------
                              Michael J. Leahy
                       Treasurer

Date: February 25, 2005                                                         

* Print the name and title of each signing officer under his or her signature.  

Dates Referenced Herein   and   Documents Incorporated by Reference

				Referenced-On Page
This ‘N-Q’ Filing		Date		First		Last			Other Filings
		3/31/05		1					N-CSR,  NSAR-B
Filed on / Effective on:		2/25/05		7
		1/1/05		4
For Period End:		12/31/04		1		5
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