Table of Contents
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 811-07257
SEI Institutional Investments Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
CT Corporation
101 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: May 31, 2011
Date of reporting period: November 30, 2010
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
SEI Institutional Investments Trust
Semi-Annual Report as of November 30, 2010
Large Cap Fund
Large Cap Diversified Alpha Fund
Large Cap Disciplined Equity Fund
Large Cap Index Fund
Small Cap Fund
Small/Mid Cap Equity Fund
U.S. Managed Volatility Fund
International Equity Fund
World Equity Ex-US Fund
Screened World Equity Ex-US Fund
Enhanced LIBOR Opportunities Fund
Core Fixed Income Fund
High Yield Bond Fund
Long Duration Fund
Emerging Markets Debt Fund
Real Return Fund
Dynamic Asset Allocation Fund
Table of Contents
1 | ||||
116 | ||||
120 | ||||
124 | ||||
130 | ||||
133 | ||||
149 | ||||
Board of Trustees Consideration in Approving | 151 | |||
154 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a 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 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.6% |
| |||||||||||
Consumer Discretionary — 10.6% |
| |||||||||||
Amazon.com* | 0.9 | % | 72,070 | $ | 12,641 | |||||||
Coach | 0.8 | 209,483 | 11,844 | |||||||||
NIKE, Cl B (A) | 0.5 | 88,750 | 7,644 | |||||||||
priceline.com* | 0.6 | 23,270 | 9,170 | |||||||||
Time Warner | 0.5 | 261,200 | 7,703 | |||||||||
Other Securities | 7.3 | 110,529 | ||||||||||
159,531 | ||||||||||||
Consumer Staples — 7.5% |
| |||||||||||
Coca-Cola | 0.7 | 164,473 | 10,390 | |||||||||
PepsiCo | 0.5 | 119,546 | 7,726 | |||||||||
Procter & Gamble | 1.7 | 416,751 | 25,451 | |||||||||
Wal-Mart Stores | 0.5 | 144,904 | 7,838 | |||||||||
Other Securities | 4.1 | 60,591 | ||||||||||
111,996 | ||||||||||||
Energy — 9.3% |
| |||||||||||
Canadian Natural Resources | 0.6 | 248,593 | 9,561 | |||||||||
Chevron | 1.5 | 268,496 | 21,740 | |||||||||
ConocoPhillips | 0.8 | 194,271 | 11,689 | |||||||||
Exxon Mobil | 0.8 | 167,001 | 11,617 | |||||||||
Schlumberger | 0.6 | 119,069 | 9,209 | |||||||||
Other Securities | 5.0 | 75,500 | ||||||||||
139,316 | ||||||||||||
Financials — 15.7% |
| |||||||||||
American Express | 0.7 | 243,200 | 10,511 | |||||||||
Bank of America | 1.0 | 1,344,802 | 14,726 | |||||||||
Bank of New York Mellon | 0.5 | 284,817 | 7,687 | |||||||||
Berkshire Hathaway, Cl B* | 0.8 | 144,000 | 11,474 | |||||||||
Citigroup* | 0.9 | 3,148,900 | 13,225 | |||||||||
Goldman Sachs Group | 0.8 | 81,513 | 12,728 | |||||||||
JPMorgan Chase | 1.5 | 606,867 | 22,685 | |||||||||
Wells Fargo | 1.5 | 821,462 | 22,352 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.0 | % | $ | 119,661 | ||||||||
235,049 | ||||||||||||
Health Care — 13.1% |
| |||||||||||
Abbott Laboratories | 0.6 | 185,500 | 8,628 | |||||||||
Allergan | 0.9 | 194,045 | 12,859 | |||||||||
Amgen* | 0.8 | 219,947 | 11,589 | |||||||||
Johnson & Johnson | 1.3 | 317,116 | 19,518 | |||||||||
Medco Health Solutions* (A) | 0.5 | 131,500 | 8,064 | |||||||||
Medtronic | 0.6 | 248,200 | 8,322 | |||||||||
Merck | 0.8 | 327,870 | 11,302 | |||||||||
Pfizer | 0.9 | 806,361 | 13,136 | |||||||||
UnitedHealth Group | 0.9 | 387,191 | 14,140 | |||||||||
Other Securities | 5.8 | 88,675 | ||||||||||
196,233 | ||||||||||||
Industrials — 10.1% |
| |||||||||||
3M | 0.8 | 136,774 | 11,486 | |||||||||
General Electric | 1.1 | 1,077,653 | 17,059 | |||||||||
United Technologies | 0.6 | 121,363 | 9,135 | |||||||||
Other Securities | 7.6 | 114,553 | ||||||||||
152,233 | ||||||||||||
Information Technology — 22.0% |
| |||||||||||
Apple* | 2.5 | 119,056 | 37,044 | |||||||||
Cisco Systems* | 1.3 | 973,804 | 18,658 | |||||||||
Citrix Systems* | 0.7 | 151,993 | 10,095 | |||||||||
EMC* | 0.9 | 607,181 | 13,048 | |||||||||
Google, Cl A* | 0.9 | 23,340 | 12,970 | |||||||||
Intel | 0.7 | 485,148 | 10,246 | |||||||||
International Business Machines | 0.5 | 55,232 | 7,813 | |||||||||
Mastercard, Cl A | 0.7 | 43,627 | 10,341 | |||||||||
Microsoft | 1.4 | 820,985 | 20,697 | |||||||||
Qualcomm | 1.5 | 463,195 | 21,650 | |||||||||
Texas Instruments (A) | 1.2 | 555,266 | 17,658 | |||||||||
Visa, Cl A (A) | 0.7 | 136,869 | 10,108 | |||||||||
Other Securities | 9.0 | 139,362 | ||||||||||
329,690 | ||||||||||||
Materials — 3.5% |
| |||||||||||
Other Securities | 3.5 | 52,684 | ||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 1.3 | 673,646 | 18,721 | |||||||||
Verizon Communications | 0.7 | 334,172 | 10,697 | |||||||||
Other Securities | 0.9 | 13,877 | ||||||||||
43,295 | ||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 2.9% |
| |||||||||||
AES* | 0.5 | % | 699,387 | $ | 7,561 | |||||||
Other Securities | 2.4 | 35,592 | ||||||||||
43,153 | ||||||||||||
Total Common Stock |
| 1,463,180 | ||||||||||
AFFILIATED PARTNERSHIP — 10.6% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.210%(B)**† | 10.6 | 159,125,138 | 158,265 | |||||||||
Total Affiliated Partnership |
| 158,265 | ||||||||||
CASH EQUIVALENT — 2.4% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**† | 2.4 | 35,733,658 | 35,734 | |||||||||
Total Cash Equivalent |
| 35,734 | ||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.7% |
| |||||||||||
U.S. Treasury Bill | 0.7 | $ | 10,912 | 10,912 | ||||||||
Total U.S. Treasury Obligation (Cost $10,912) ($ Thousands) |
| 10,912 | ||||||||||
Total Investments — 111.3% |
| $ | 1,668,091 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Composite Index | 73 | Dec-2010 | $ | 1,363 | ||||||||
S&P Mid 400 Index E-MINI | 41 | Dec-2010 | 368 | |||||||||
$ | 1,731 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,498,857 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $154,226 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2010 was $158,265 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,463,180 | $ | — | $ | — | $ | 1,463,180 | ||||||||
Affiliated Partnership | — | 158,265 | — | 158,265 | ||||||||||||
Cash Equivalent | 35,734 | — | — | 35,734 | ||||||||||||
U.S. Treasury Obligation | — | 10,912 | — | 10,912 | ||||||||||||
Total Investments in Securities | $ | 1,498,914 | $ | 169,177 | $ | — | $ | 1,668,091 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,731 | $ | — | $ | — | $ | 1,731 | ||||||||
Total Other Financial Instruments | $ | 1,731 | $ | — | $ | — | $ | 1,731 | ||||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.5% |
| |||||||||||
Consumer Discretionary — 11.5% |
| |||||||||||
Amazon.com* | 0.6 | % | 12,275 | $ | 2,153 | |||||||
DIRECTV, Cl A* | 0.6 | 50,638 | 2,103 | |||||||||
Ford Motor* | 0.8 | 190,372 | 3,034 | |||||||||
NIKE, Cl B | 0.6 | 27,750 | 2,390 | |||||||||
priceline.com* | 0.6 | 5,924 | 2,334 | |||||||||
Time Warner | 0.6 | 73,135 | 2,157 | |||||||||
Viacom, Cl B | 0.6 | 54,719 | 2,070 | |||||||||
Other Securities | 7.1 | 26,437 | ||||||||||
42,678 | ||||||||||||
Consumer Staples — 8.3% |
| |||||||||||
Coca-Cola | 0.6 | 33,500 | 2,116 | |||||||||
PepsiCo | 0.7 | 38,136 | 2,465 | |||||||||
Philip Morris International | 0.7 | 47,727 | 2,715 | |||||||||
Procter & Gamble | 1.3 | 78,700 | 4,806 | |||||||||
Wal-Mart Stores | 1.2 | 82,581 | 4,467 | |||||||||
Other Securities | 3.8 | 14,453 | ||||||||||
31,022 | ||||||||||||
Energy — 8.6% |
| |||||||||||
Chevron | 1.6 | 73,643 | 5,963 | |||||||||
ConocoPhillips | 1.3 | 77,550 | 4,666 | |||||||||
Exxon Mobil | 1.8 | 95,200 | 6,622 | |||||||||
Marathon Oil | 0.7 | 75,394 | 2,524 | |||||||||
Other Securities | 3.2 | 12,241 | ||||||||||
32,016 | ||||||||||||
Financials — 13.6% |
| |||||||||||
American Express | 1.1 | 94,359 | 4,078 | |||||||||
Capital One Financial | 0.5 | 51,100 | 1,902 | |||||||||
Chimera Investment‡ | 0.5 | 418,048 | 1,672 | |||||||||
JPMorgan Chase | 1.3 | 127,753 | 4,775 | |||||||||
Wells Fargo | 1.2 | 159,137 | 4,330 | |||||||||
Other Securities | 9.0 | 33,829 | ||||||||||
50,586 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.0% |
| |||||||||||
Abbott Laboratories | 0.6 | % | 50,950 | $ | 2,370 | |||||||
Aetna | 0.5 | 64,900 | 1,922 | |||||||||
Allergan | 0.5 | 25,500 | 1,690 | |||||||||
Amgen* | 0.9 | 63,427 | 3,342 | |||||||||
Cardinal Health | 0.7 | 74,011 | 2,633 | |||||||||
Johnson & Johnson | 1.2 | 71,858 | 4,423 | |||||||||
Medco Health Solutions* | 0.7 | 41,000 | 2,514 | |||||||||
Medtronic | 0.7 | 72,625 | 2,435 | |||||||||
UnitedHealth Group | 0.7 | 64,500 | 2,356 | |||||||||
Other Securities | 5.5 | 21,125 | ||||||||||
44,810 | ||||||||||||
Industrials — 9.2% |
| |||||||||||
3M | 0.6 | 28,900 | 2,427 | |||||||||
General Electric | 0.8 | 187,600 | 2,970 | |||||||||
Goodrich | 0.6 | 25,900 | 2,221 | |||||||||
United Continental Holdings* | 0.5 | 63,986 | 1,771 | |||||||||
United Technologies | 0.6 | 31,000 | 2,333 | |||||||||
Other Securities | 6.1 | 22,468 | ||||||||||
34,190 | ||||||||||||
Information Technology — 23.0% |
| |||||||||||
Apple* | 2.4 | 29,014 | 9,028 | |||||||||
Cisco Systems* | 1.0 | 191,700 | 3,673 | |||||||||
EMC* | 0.8 | 138,100 | 2,968 | |||||||||
Google, Cl A* | 0.7 | 4,350 | 2,417 | |||||||||
Hewlett-Packard | 0.6 | 57,025 | 2,391 | |||||||||
Intel | 0.8 | 143,100 | 3,022 | |||||||||
International Business Machines | 1.9 | 49,958 | 7,067 | |||||||||
Intuit* | 0.6 | 48,600 | 2,182 | |||||||||
Microsoft | 2.4 | 354,864 | 8,946 | |||||||||
Qualcomm | 1.3 | 104,575 | 4,888 | |||||||||
Texas Instruments | 1.2 | 139,600 | 4,439 | |||||||||
Visa, Cl A | 0.8 | 37,200 | 2,747 | |||||||||
Other Securities | 8.5 | 32,010 | ||||||||||
85,778 | ||||||||||||
Materials — 3.5% |
| |||||||||||
Other Securities | 3.5 | 13,038 | ||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 1.4 | 188,680 | 5,243 | |||||||||
Crown Castle International* | 0.5 | 41,300 | 1,716 | |||||||||
Other Securities | 1.0 | 3,726 | ||||||||||
10,685 | ||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.9% |
| |||||||||||
AES* | 0.6 | % | 215,226 | $ | 2,327 | |||||||
Other Securities | 2.3 | 8,389 | ||||||||||
10,716 | ||||||||||||
Total Common Stock |
| 355,519 | ||||||||||
CASH EQUIVALENT — 3.6% |
| |||||||||||
SEI Daily Income Trust, | 3.6 | 13,563,485 | 13,563 | |||||||||
Total Cash Equivalent |
| 13,563 | ||||||||||
U.S. TREASURY OBLIGATIONS — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,412 | ||||||||||
Total U.S. Treasury Obligation |
| 1,412 | ||||||||||
Total Investments — 99.5% |
| $ | 370,494 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 13 | Dec-2010 | $ | 31 | ||||||||
S&P Composite Index | 39 | Dec-2010 | 489 | |||||||||
$ | 520 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $372,528 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
Cl — Class
S&P | — Standard & Poor’s |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 355,519 | $ | — | $ | — | $ | 355,519 | ||||||||
Cash Equivalent | 13,563 | — | — | 13,563 | ||||||||||||
U.S. Treasury Obligations | — | 1,412 | — | 1,412 | ||||||||||||
Total Investments in Securities | $ | 369,082 | $ | 1,412 | $ | — | $ | 370,494 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 520 | $ | — | $ | — | $ | 520 | ||||||||
Total Other Financial Instruments | $ | 520 | $ | — | $ | — | $ | 520 | ||||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 83.1% |
| |||||||||||
Consumer Discretionary — 8.3% |
| |||||||||||
McDonald’s | 0.6 | % | 562,989 | $ | 44,082 | |||||||
Target | 0.6 | 753,248 | 42,890 | |||||||||
Other Securities | 7.1 | 533,891 | ||||||||||
620,863 | ||||||||||||
Consumer Staples — 8.9% |
| |||||||||||
Coca-Cola | 0.9 | 1,027,167 | 64,886 | |||||||||
PepsiCo | 1.0 | 1,142,129 | 73,816 | |||||||||
Philip Morris International | 0.7 | 895,806 | 50,962 | |||||||||
Procter & Gamble | 1.3 | 1,636,289 | 99,928 | |||||||||
Walgreen (A) | 0.5 | 961,820 | 33,519 | |||||||||
Wal-Mart Stores | 1.3 | 1,792,861 | 96,976 | |||||||||
Other Securities | 3.2 | 247,197 | ||||||||||
667,284 | ||||||||||||
Energy — 9.5% |
| |||||||||||
Chevron | 1.5 | 1,385,357 | 112,172 | |||||||||
ConocoPhillips | 1.3 | 1,564,934 | 94,162 | |||||||||
Exxon Mobil | 2.4 | 2,547,890 | 177,231 | |||||||||
Marathon Oil | 0.4 | 971,929 | 32,530 | |||||||||
Occidental Petroleum | 0.5 | 444,836 | 39,221 | |||||||||
Schlumberger (A) | 0.9 | 873,679 | 67,570 | |||||||||
Other Securities | 2.5 | 185,160 | ||||||||||
708,046 | ||||||||||||
Financials — 11.4% |
| |||||||||||
American Express | 0.5 | 857,095 | 37,044 | |||||||||
Bank of America | 0.7 | 4,675,154 | 51,193 | |||||||||
Goldman Sachs Group | 0.7 | 335,793 | 52,431 | |||||||||
JPMorgan Chase | 1.6 | 3,089,361 | 115,480 | |||||||||
PNC Financial Services Group | 0.4 | 615,600 | 33,150 | |||||||||
Prudential Financial | 0.5 | 729,262 | 36,959 | |||||||||
Wells Fargo | 1.3 | 3,449,613 | 93,864 | |||||||||
Other Securities | 5.7 | 429,185 | ||||||||||
849,306 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 9.5% |
| |||||||||||
Amgen* | 0.9 | % | 1,219,667 | $ | 64,264 | |||||||
Bristol-Myers Squibb | 0.5 | 1,314,059 | 33,167 | |||||||||
Covidien | 0.5 | 814,832 | 34,280 | |||||||||
Johnson & Johnson | 1.2 | 1,496,160 | 92,089 | |||||||||
Merck | 0.8 | 1,630,398 | 56,200 | |||||||||
Pfizer | 1.2 | 5,366,986 | 87,428 | |||||||||
UnitedHealth Group | 0.4 | 863,607 | 31,539 | |||||||||
Other Securities | 4.0 | 307,867 | ||||||||||
706,834 | ||||||||||||
Industrials — 10.1% |
| |||||||||||
Cummins | 0.4 | 315,886 | 30,679 | |||||||||
Emerson Electric (A) | 0.5 | 622,730 | 34,294 | |||||||||
General Electric | 1.0 | 4,607,578 | 72,938 | |||||||||
Honeywell International | 0.8 | 1,238,573 | 61,569 | |||||||||
Union Pacific | 0.5 | 382,141 | 34,435 | |||||||||
United Parcel Service, Cl B | 0.4 | 461,973 | 32,398 | |||||||||
United Technologies | 1.2 | 1,235,270 | 92,979 | |||||||||
Other Securities | 5.3 | 392,231 | ||||||||||
751,523 | ||||||||||||
Information Technology — 17.0% |
| |||||||||||
Apple* | 2.4 | 562,645 | 175,067 | |||||||||
Cisco Systems* | 1.1 | 4,145,320 | 79,424 | |||||||||
EMC* | 0.4 | 1,473,025 | 31,655 | |||||||||
Google, Cl A* | 0.9 | 115,608 | 64,245 | |||||||||
Hewlett-Packard | 0.8 | 1,414,456 | 59,308 | |||||||||
Intel | 1.3 | 4,530,221 | 95,678 | |||||||||
International Business Machines (A) | 2.2 | 1,132,169 | 160,157 | |||||||||
Microsoft | 2.0 | 5,780,439 | 145,725 | |||||||||
Oracle | 0.8 | 2,325,409 | 62,879 | |||||||||
Qualcomm | 0.7 | 1,056,510 | 49,381 | |||||||||
Visa, Cl A (A) | 0.6 | 607,421 | 44,858 | |||||||||
Other Securities | 3.8 | 305,858 | ||||||||||
1,274,235 | ||||||||||||
Materials — 3.6% |
| |||||||||||
Allegheny Technologies (A) | 0.4 | 616,788 | 31,888 | |||||||||
Other Securities | 3.2 | 238,026 | ||||||||||
269,914 | ||||||||||||
Telecommunication Services — 2.5% |
| |||||||||||
AT&T | 1.5 | 3,904,468 | 108,505 | |||||||||
Verizon Communications | 0.4 | 977,331 | 31,284 | |||||||||
Other Securities | 0.6 | 46,220 | ||||||||||
186,009 | ||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 2.3% |
| |||||||||||
Other Securities | 2.3 | % | $ | 173,879 | ||||||||
Total Common Stock |
| 6,207,893 | ||||||||||
AFFILIATED PARTNERSHIPS — 18.4% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.210%(B)**† | 8.1 | 614,173,576 | 606,277 | |||||||||
SEI LIBOR Plus Portfolio† | 10.3 | 111,583 | 768,804 | |||||||||
Total Affiliated Partnerships |
| 1,375,081 | ||||||||||
CASH EQUIVALENT — 4.8% |
| |||||||||||
SEI Daily Income Trust, | 4.8 | 356,322,648 | 356,323 | |||||||||
Total Cash Equivalent |
| 356,323 | ||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 1.4% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
0.223%, 02/10/11 | 0.0 | $ | 2,445 | 2,444 | ||||||||
0.040%, 12/16/10 | 1.4 | 104,055 | 104,050 | |||||||||
Total U.S. Treasury Obligations |
| 106,494 | ||||||||||
Total Investments — 107.7% |
| $ | 8,045,791 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 528 | Dec-2010 | $ | 1,734 | ||||||||
S&P Composite Index | 4,011 | Dec-2010 | 79,110 | |||||||||
$ | 80,844 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $7,471,820 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $595,739 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2010 was $606,277 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,207,893 | $ | — | $ | — | $ | 6,207,893 | ||||||||
Affiliated Partnerships | 768,804 | 606,277 | — | 1,375,081 | ||||||||||||
Cash Equivalent | 356,323 | — | — | 356,323 | ||||||||||||
U.S. Treasury Obligations | — | 106,494 | — | 106,494 | ||||||||||||
Total Investments in Securities | $ | 7,333,020 | $ | 712,771 | $ | — | $ | 8,045,791 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 80,844 | $ | — | $ | — | $ | 80,844 | ||||||||
Total Other Financial Instruments | $ | 80,844 | $ | — | $ | — | $ | 80,844 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.9% |
| |||||||||||
Consumer Discretionary — 11.3% |
| |||||||||||
Amazon.com* | 0.5 | % | 14,789 | $ | 2,594 | |||||||
Comcast, Cl A | 0.5 | 120,325 | 2,407 | |||||||||
Ford Motor* (A) | 0.4 | 142,984 | 2,279 | |||||||||
Home Depot | 0.4 | 72,415 | 2,188 | |||||||||
McDonald’s | 0.7 | 45,880 | 3,592 | |||||||||
Walt Disney | 0.6 | 83,672 | 3,055 | |||||||||
Other Securities | 8.2 | 44,033 | ||||||||||
60,148 | ||||||||||||
Consumer Staples — 9.8% |
| |||||||||||
Altria Group | 0.4 | 89,068 | 2,138 | |||||||||
Coca-Cola | 1.1 | 89,420 | 5,649 | |||||||||
Kraft Foods, Cl A | 0.4 | 68,615 | 2,076 | |||||||||
PepsiCo | 0.8 | 68,752 | 4,443 | |||||||||
Philip Morris International | 0.8 | 79,068 | 4,498 | |||||||||
Procter & Gamble | 1.4 | 122,274 | 7,467 | |||||||||
Wal-Mart Stores | 0.9 | 86,979 | 4,705 | |||||||||
Other Securities | 4.0 | 20,965 | ||||||||||
51,941 | ||||||||||||
Energy — 11.1% |
| |||||||||||
Chevron | 1.3 | 85,302 | 6,907 | |||||||||
ConocoPhillips | 0.7 | 63,476 | 3,819 | |||||||||
Exxon Mobil | 2.8 | 216,642 | 15,070 | |||||||||
Occidental Petroleum | 0.6 | 34,654 | 3,055 | |||||||||
Schlumberger | 0.9 | 58,266 | 4,506 | |||||||||
Other Securities | 4.8 | 25,934 | ||||||||||
59,291 | ||||||||||||
Financials — 15.1% |
| |||||||||||
American Express | 0.4 | 44,934 | 1,942 | |||||||||
Bank of America | 0.9 | 425,518 | 4,659 | |||||||||
Berkshire Hathaway, Cl B* | 1.1 | 73,400 | 5,849 | |||||||||
Citigroup* | 0.7 | 902,245 | 3,790 | |||||||||
Goldman Sachs Group | 0.7 | 21,975 | 3,431 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.2 | % | 168,834 | $ | 6,311 | |||||||
SEI (C) | 0.0 | 5,642 | 127 | |||||||||
US Bancorp | 0.4 | 82,043 | 1,951 | |||||||||
Wells Fargo | 1.1 | 206,466 | 5,618 | |||||||||
Wesco Financial | 0.0 | 41 | 15 | |||||||||
Other Securities | 8.6 | 46,496 | ||||||||||
80,189 | ||||||||||||
Health Care — 11.1% |
| |||||||||||
Abbott Laboratories | 0.6 | 65,876 | 3,064 | |||||||||
Amgen* | 0.4 | 40,967 | 2,158 | |||||||||
Johnson & Johnson | 1.4 | 117,109 | 7,208 | |||||||||
Merck | 0.9 | 132,243 | 4,558 | |||||||||
Pfizer | 1.0 | 342,380 | 5,577 | |||||||||
Other Securities | 6.8 | 36,561 | ||||||||||
59,126 | ||||||||||||
Industrials — 10.9% |
| |||||||||||
3M | 0.5 | 30,446 | 2,557 | |||||||||
Boeing | 0.4 | 32,491 | 2,072 | |||||||||
Caterpillar | 0.4 | 26,888 | 2,275 | |||||||||
General Electric | 1.3 | 453,323 | 7,176 | |||||||||
Union Pacific | 0.4 | 21,716 | 1,957 | |||||||||
United Parcel Service, Cl B | 0.4 | 30,541 | 2,142 | |||||||||
United Technologies | 0.6 | 39,866 | 3,001 | |||||||||
Other Securities | 6.9 | 36,776 | ||||||||||
57,956 | ||||||||||||
Information Technology — 18.1% |
| |||||||||||
Apple* | 2.3 | 38,623 | 12,018 | |||||||||
Cisco Systems* | 0.9 | 242,327 | 4,643 | |||||||||
Google, Cl A* | 1.1 | 10,344 | 5,748 | |||||||||
Hewlett-Packard | 0.8 | 100,001 | 4,193 | |||||||||
Intel | 0.9 | 237,058 | 5,007 | |||||||||
International Business Machines | 1.4 | 54,498 | 7,709 | |||||||||
Microsoft | 1.5 | 325,300 | 8,201 | |||||||||
Oracle | 0.8 | 162,367 | 4,390 | |||||||||
Qualcomm | 0.6 | 70,050 | 3,274 | |||||||||
Other Securities | 7.8 | 41,247 | ||||||||||
96,430 | ||||||||||||
Materials — 4.1% |
| |||||||||||
Freeport-McMoRan Copper & Gold, Cl B | 0.4 | 20,112 | 2,038 | |||||||||
Other Securities | 3.7 | 19,565 | ||||||||||
21,603 | ||||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 1.3 | 250,933 | 6,973 | |||||||||
Verizon Communications | 0.7 | 120,515 | 3,858 | |||||||||
Other Securities | 0.9 | 4,669 | ||||||||||
15,500 | ||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.5% |
| |||||||||||
Other Securities | 3.5 | % | $ | 18,500 | ||||||||
18,500 | ||||||||||||
Total Common Stock |
| 520,684 | ||||||||||
AFFILIATED PARTNERSHIP — 9.2% |
| |||||||||||
SEI Liquidity Fund, L.P. | 9.2 | 49,675,240 | 48,998 | |||||||||
Total Affiliated Partnership |
| 48,998 | ||||||||||
CASH EQUIVALENT — 2.0% |
| |||||||||||
SEI Daily Income Trust, | 2.0 | 10,711,388 | 10,711 | |||||||||
Total Cash Equivalent |
| 10,711 | ||||||||||
U.S. TREASURY OBLIGATIONS — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,228 | ||||||||||
Total U.S. Treasury Obligations |
| 1,228 | ||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 2 | ||||||||||
Total Rights |
| 2 | ||||||||||
Total Investments — 109.3% |
| $ | 581,623 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 194 | Dec-2010 | $ | 657 | ||||||||
S&P Mid 400 Index E-MINI | 18 | Dec-2010 | 128 | |||||||||
$ | 785 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $532,181 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010 |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $48,242 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2010 was $48,998 ($ Thousands). |
(C) | The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 520,684 | $ | — | $ | — | $ | 520,684 | ||||||||
Affiliated Partnership | — | 48,998 | — | 48,998 | ||||||||||||
Cash Equivalent | 10,711 | — | — | 10,711 | ||||||||||||
U.S. Treasury Obligations | — | 1,228 | — | 1,228 | ||||||||||||
Rights | 2 | — | — | 2 | ||||||||||||
Total Investments in Securities | $ | 531,397 | $ | 50,226 | $ | — | $ | 581,623 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 785 | $ | — | $ | — | $ | 785 | ||||||||
Total Other Financial Instruments | $ | 785 | $ | — | $ | — | $ | 785 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 85.1% |
| |||||||||||
Consumer Discretionary — 11.9% |
| |||||||||||
American Public Education* (A) | 0.3 | % | 117,670 | $ | 4,021 | |||||||
Cato, Cl A | 0.3 | 150,937 | 4,309 | |||||||||
J Crew Group* | 0.2 | 74,688 | 3,265 | |||||||||
MDC Partners, Cl A | 0.2 | 237,700 | 3,390 | |||||||||
Rent-A-Center, Cl A | 0.3 | 127,600 | 3,552 | |||||||||
Saks* | 0.3 | 351,860 | 3,920 | |||||||||
Talbots* | 0.4 | 456,890 | 5,254 | |||||||||
Tempur-Pedic International* | 0.2 | 94,008 | 3,301 | |||||||||
Zumiez* | 0.3 | 132,475 | 4,214 | |||||||||
Other Securities | 9.4 | 136,655 | ||||||||||
171,881 | ||||||||||||
Consumer Staples — 2.1% |
| |||||||||||
Other Securities | 2.1 | 31,029 | ||||||||||
Energy — 5.7% | ||||||||||||
Berry Petroleum, Cl A | 0.2 | 85,648 | 3,264 | |||||||||
Comstock Resources* | 0.4 | 259,067 | 6,347 | |||||||||
Goodrich Petroleum* | 0.3 | 360,257 | 4,737 | |||||||||
PetroHawk Energy* | 0.4 | 286,860 | 5,115 | |||||||||
Scorpio Tankers* | 0.3 | 373,274 | 3,714 | |||||||||
World Fuel Services | 0.3 | 165,821 | 4,991 | |||||||||
Other Securities | 3.8 | 54,268 | ||||||||||
82,436 | ||||||||||||
Financials — 18.5% | ||||||||||||
Aspen Insurance Holdings | 0.2 | 122,600 | 3,543 | |||||||||
Equity Residential‡ | 0.3 | 71,250 | 3,561 | |||||||||
Financial Engines* | 0.3 | 243,782 | 4,125 | |||||||||
Infinity Property & Casualty | 0.2 | 57,159 | 3,300 | |||||||||
MarketAxess Holdings | 0.2 | 185,251 | 3,370 | |||||||||
MFA Mortgage Investments‡ | 0.3 | 545,612 | 4,447 | |||||||||
MGIC Investment* (A) | 0.2 | 395,530 | 3,370 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Platinum Underwriters Holdings | 0.3 | % | 112,884 | $ | 4,880 | |||||||
Public Storage‡ | 0.2 | 36,574 | 3,533 | |||||||||
Simon Property Group‡ | 0.3 | 39,397 | 3,881 | |||||||||
Other Securities | 16.0 | 230,266 | ||||||||||
268,276 | ||||||||||||
Health Care — 8.5% | ||||||||||||
ICU Medical* | 0.2 | 93,700 | 3,434 | |||||||||
NuVasive* | 0.3 | 191,884 | 4,482 | |||||||||
Par Pharmaceutical* | 0.2 | 95,170 | 3,419 | |||||||||
Other Securities | 7.8 | 111,226 | ||||||||||
122,561 | ||||||||||||
Industrials — 15.1% | ||||||||||||
Aegean Marine Petroleum Network | 0.3 | 456,582 | 4,018 | |||||||||
AerCap Holdings* | 0.3 | 315,676 | 4,101 | |||||||||
Carlisle | 0.3 | 126,370 | 4,628 | |||||||||
CoStar Group* | 0.3 | 70,310 | 3,708 | |||||||||
EMCOR Group* | 0.3 | 190,918 | 5,117 | |||||||||
FTI Consulting* | 0.3 | 104,200 | 3,714 | |||||||||
Geo Group* | 0.3 | 146,600 | 3,533 | |||||||||
Resources Connection | 0.3 | 231,777 | 3,878 | |||||||||
WESCO International* | 0.4 | 127,164 | 6,068 | |||||||||
Other Securities | 12.3 | 180,754 | ||||||||||
219,519 | ||||||||||||
Information Technology — 16.0% |
| |||||||||||
Atheros Communications* | 0.3 | 145,748 | 4,746 | |||||||||
Atmel* | 0.2 | 345,700 | 3,592 | |||||||||
Ceva* | 0.3 | 189,300 | 4,392 | |||||||||
Netlogic Microsystems* | 0.3 | 129,848 | 4,051 | |||||||||
Quest Software* | 0.3 | 148,228 | 3,750 | |||||||||
Teradyne* | 0.3 | 309,126 | 3,666 | |||||||||
VistaPrint* | 0.4 | 154,506 | 6,230 | |||||||||
Other Securities | 13.9 | 201,286 | ||||||||||
231,713 | ||||||||||||
Materials — 4.3% | ||||||||||||
NewMarket | 0.3 | 36,875 | 4,639 | |||||||||
WR Grace* | 0.3 | 115,771 | 3,875 | |||||||||
Other Securities | 3.7 | 53,971 | ||||||||||
62,485 | ||||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 10,679 | ||||||||||
Utilities — 2.3% |
| |||||||||||
NorthWestern | 0.3 | 135,184 | 3,895 | |||||||||
Portland General Electric | 0.4 | 274,374 | 5,808 | |||||||||
Unisource Energy | 0.2 | 97,758 | 3,438 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Other Securities | 1.4 | % | $ | 20,591 | ||||||||
33,732 | ||||||||||||
Total Common Stock |
| 1,234,311 | ||||||||||
CASH EQUIVALENT — 14.2% |
| |||||||||||
SEI Daily Income Trust, | 14.2 | 205,242,265 | 205,242 | |||||||||
Total Cash Equivalent |
| 205,242 | ||||||||||
U.S. TREASURY OBLIGATIONS (C)(D) — 0.9% |
| |||||||||||
U.S. Treasury Bills | 0.9 | $ | 12,848 | 12,847 | ||||||||
0.181%, 06/30/11 | 0.0 | 369 | 369 | |||||||||
Total U.S. Treasury Obligations |
| 13,216 | ||||||||||
AFFILIATED PARTNERSHIP — 0.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.210% (B)**† | 0.3 | 4,174,947 | 3,735 | |||||||||
Total Affiliated Partnership |
| 3,735 | ||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.0% |
| |||||||||||
Other Securities | 0.0 | 503 | ||||||||||
Energy — 0.0% | ||||||||||||
Other Securities | 0.0 | 223 | ||||||||||
Financials — 0.1% | ||||||||||||
Other Securities | 0.1 | 869 | ||||||||||
Total Preferred Stock |
| 1,595 | ||||||||||
CONVERTIBLE BONDS — 0.0% |
| |||||||||||
Consumer Discretionary — 0.0% |
| |||||||||||
Other Securities | 0.0 | 252 | ||||||||||
Energy — 0.0% | ||||||||||||
Other Securities | 0.0 | 518 | ||||||||||
Total Convertible Bonds | 770 | |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | 101 | ||||||||||
Total Warrants | 101 | |||||||||||
Description | Percentage of Net Assets (%) | Market Value ($ Thousands) | ||||||||||
EXCHANGE TRADED FUNDS — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 376 | ||||||||
Total Exchange Traded Funds | 376 | |||||||||||
RIGHTS — 0.0% | ||||||||||||
United States — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
Total Rights | — | |||||||||||
Total Investments — 100.6% (Cost $1,253,099) ($ Thousands) | $ | 1,459,346 | ||||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 2,682 | Dec-2010 | $ | 3,594 | ||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Maturity Date | Currency | Currency | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
12/2/10-12/14/10 | CAD | 1,503 | USD | 1,481 | $ | 18 | ||||||||||||||
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Barclays Capital | $ | 115 | $ | 116 | $ | 1 | ||||||
Credit Suisse First Boston | 110 | 111 | 1 | |||||||||
State Street | 307 | 308 | 1 | |||||||||
UBS | 931 | 946 | 15 | |||||||||
$ | 18 | |||||||||||
Percentages are based on a Net Assets of $1,449,947 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010 |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $3,735 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $3,735 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
CAD — Canadian Dollar
Cl — Class
L.P. — Limited Partnership
USD — United States Dollar
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,233,830 | $ | 130 | $ | 351 | $ | 1,234,311 | ||||||||
Cash Equivalent | 205,242 | — | — | 205,242 | ||||||||||||
U.S. Treasury Obligations | — | 13,216 | — | 13,216 | ||||||||||||
Affiliated Partnership | — | 3,735 | — | 3,735 | ||||||||||||
Preferred Stock | — | 1,595 | — | 1,595 | ||||||||||||
Convertible Bonds | — | 518 | 252 | 770 | ||||||||||||
Warrants | 8 | 93 | — | 101 | ||||||||||||
Exchange Traded Funds | 376 | — | — | 376 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Total Investments in Securities | $ | 1,439,456 | $ | 19,287 | $ | 603 | $ | 1,459,346 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 3,594 | $ | — | $ | — | $ | 3,594 | ||||||||
Forwards | — | 18 | — | 18 | ||||||||||||
Total Other Financial Instruments | $ | 3,594 | $ | 18 | $ | — | $ | 3,612 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2010 | $ | 358 | | $ | 1,031 | | ||
Accrued discounts/premiums | | — | | | (32 | ) | ||
Realized gain/(loss) | | — | | | (201 | ) | ||
Change in unrealized appreciation/(depreciation) | | (7 | ) | | 16 | | ||
Net purchases/sales | | — | | | (562 | ) | ||
Net transfer in and/or out of Level 3 | | — | | | — | | ||
Ending balance as of November 30, 2010 | $ | 351 | | $ | 252 | | ||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (7 | ) | $ | — | |||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.6% |
| |||||||||||
Consumer Discretionary — 15.3% |
| |||||||||||
American Eagle Outfitters | 0.3 | % | 389,028 | $ | 6,419 | |||||||
Dick’s Sporting Goods* (A) | 0.3 | 180,091 | 6,161 | |||||||||
Gaylord Entertainment* (A) | 0.3 | 173,590 | 5,959 | |||||||||
Guess? | 0.3 | 113,109 | 5,344 | |||||||||
Interpublic Group* (A) | 0.3 | 550,750 | 5,866 | |||||||||
Jarden | 0.3 | 185,150 | 5,684 | |||||||||
National CineMedia | 0.3 | 323,487 | 6,036 | |||||||||
Penn National Gaming* | 0.4 | 239,393 | 8,405 | |||||||||
Phillips-Van Heusen | 0.3 | 82,280 | 5,582 | |||||||||
Other Securities | 12.5 | 248,549 | ||||||||||
304,005 | ||||||||||||
Consumer Staples — 2.7% |
| |||||||||||
Del Monte Foods | 0.4 | 407,295 | 7,629 | |||||||||
Green Mountain Coffee Roasters* (A) | 0.3 | 161,131 | 5,975 | |||||||||
Other Securities | 2.0 | 40,048 | ||||||||||
53,652 | ||||||||||||
Energy — 5.8% |
| |||||||||||
Berry Petroleum, Cl A (A) | 0.5 | 231,611 | 8,827 | |||||||||
Dril-Quip* | 0.3 | 80,090 | 6,202 | |||||||||
Key Energy Services* (A) | 0.3 | 509,623 | 5,249 | |||||||||
Whiting Petroleum* | 0.4 | 78,659 | 8,657 | |||||||||
Other Securities | 4.3 | 86,683 | ||||||||||
115,618 | ||||||||||||
Financials — 17.6% |
| |||||||||||
American Financial Group | 0.3 | 164,635 | 5,066 | |||||||||
Boston Properties‡ (A) | 0.3 | 71,488 | 5,991 | |||||||||
Endurance Specialty Holdings | 0.3 | 119,406 | 5,267 | |||||||||
Host Hotels & Resorts‡ | 0.3 | 388,106 | 6,396 | |||||||||
MFA Mortgage Investments‡ (A) | 0.3 | 693,707 | 5,654 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Simon Property Group‡ | 0.3 | % | 52,179 | $ | 5,140 | |||||||
Zions Bancorporation (A) | 0.4 | 407,007 | 7,916 | |||||||||
Other Securities | 15.4 | 309,500 | ||||||||||
350,930 | ||||||||||||
Health Care — 10.2% |
| |||||||||||
Catalyst Health Solutions* | 0.3 | 129,745 | 5,569 | |||||||||
Cooper (A) | 0.3 | 112,584 | 6,023 | |||||||||
Gen-Probe* | 0.3 | 121,286 | 6,290 | |||||||||
Hill-Rom Holdings (A) | 0.3 | 137,950 | 5,460 | |||||||||
Par Pharmaceutical* | 0.3 | 170,239 | 6,117 | |||||||||
Other Securities | 8.7 | 174,134 | ||||||||||
203,593 | ||||||||||||
Industrials — 15.7% |
| |||||||||||
ArvinMeritor* (A) | 0.4 | 417,899 | 7,459 | |||||||||
Atlas Air Worldwide Holdings* | 0.3 | 119,366 | 6,513 | |||||||||
BE Aerospace* | 0.3 | 149,608 | 5,311 | |||||||||
Gardner Denver | 0.4 | 115,383 | 7,552 | |||||||||
SYKES Enterprises* | 0.3 | 326,783 | 6,013 | |||||||||
WESCO International* | 0.4 | 147,738 | 7,050 | |||||||||
Other Securities | 13.6 | 271,647 | ||||||||||
311,545 | ||||||||||||
Information Technology — 18.0% |
| |||||||||||
Acme Packet* (A) | 0.5 | 181,169 | 8,874 | |||||||||
Ansys* | 0.3 | 117,650 | 5,706 | |||||||||
Cavium Networks* (A) | 0.4 | 183,579 | 6,755 | |||||||||
Fairchild Semiconductor International, Cl A* (A) | 0.3 | 452,295 | 6,355 | |||||||||
GSI Commerce* (A) | 0.5 | 438,062 | 10,448 | |||||||||
Microsemi* | 0.4 | 311,794 | 6,903 | |||||||||
Parametric Technology* | 0.3 | 282,460 | 6,050 | |||||||||
Power Integrations (A) | 0.3 | 146,876 | 5,918 | |||||||||
Riverbed Technology* (A) | 0.4 | 215,140 | 7,295 | |||||||||
VistaPrint* (A) | 0.3 | 167,640 | 6,759 | |||||||||
Other Securities | 14.3 | 288,487 | ||||||||||
359,550 | ||||||||||||
Materials — 5.7% |
| |||||||||||
Lubrizol | 0.3 | 55,150 | 5,766 | |||||||||
Other Securities | 5.4 | 107,314 | ||||||||||
113,080 | ||||||||||||
Telecommunication Services — 1.8% |
| |||||||||||
MetroPCS Communications* (A) | 0.3 | 584,289 | 7,099 | |||||||||
NII Holdings* | 0.6 | 294,229 | 11,404 | |||||||||
SBA Communications, Cl A* (A) | 0.3 | 144,239 | 5,647 | |||||||||
Other Securities | 0.6 | 10,784 | ||||||||||
34,934 | ||||||||||||
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 3.8% |
| |||||||||||
Great Plains Energy (A) | 0.3 | % | 303,460 | $ | 5,659 | |||||||
Portland General Electric | 0.3 | 304,234 | 6,441 | |||||||||
Other Securities | 3.2 | 63,525 | ||||||||||
75,625 | ||||||||||||
Total Common Stock |
| 1,922,532 | ||||||||||
AFFILIATED PARTNERSHIP — 29.6% |
| |||||||||||
SEI Liquidity Fund, L.P. | 29.6 | 597,115,146 | 588,950 | |||||||||
Total Affiliated Partnership |
| 588,950 | ||||||||||
CASH EQUIVALENT — 4.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**† | 4.2 | 83,707,707 | 83,708 | |||||||||
Total Cash Equivalent |
| 83,708 | ||||||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.3% |
| |||||||||||
U.S. Treasury Bill | 0.3 | $ | 6,756 | 6,756 | ||||||||
Total U.S. Treasury Obligation (Cost $6,756) ($ Thousands) |
| 6,756 | ||||||||||
EXCHANGE TRADED FUNDS — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,660 | ||||||||||
Total Exchange Traded Funds |
| 3,660 | ||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 791 | ||||||||||
Financials — 0.0% | ||||||||||||
Other Securities | 0.0 | 696 | ||||||||||
Total Preferred Stock |
| 1,487 | ||||||||||
CONVERTIBLE BOND — 0.0% |
| |||||||||||
Energy — 0.0% | ||||||||||||
Other Securities | 0.0 | 886 | ||||||||||
Total Convertible Bond | 886 | |||||||||||
Description | Percentage of Net Assets (%) | Market Value ($ Thousands) | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 58 | ||||||||
Total Warrants |
| 58 | ||||||||||
Total Investments — 131.0% | $ | 2,608,037 | ||||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 331 | Dec-2010 | $ | 909 | ||||||||
S&P Mid 400 Index E-MINI | 182 | Dec-2010 | 492 | |||||||||
$ | 1,401 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
1/5/11 | AUD | 1,236 | USD | 1,188 | $ | 8 | ||||||||||||||
1/5/11 | USD | 1,205 | AUD | 1,236 | (25 | ) | ||||||||||||||
$ | (17 | ) | ||||||||||||||||||
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Capital | $ | 1,265 | $ | 1,273 | $ | 8 | ||||||
Deutsche Bank Securities | 499 | 487 | (12 | ) | ||||||||
UBS | 293 | 284 | (9 | ) | ||||||||
Westpac Banking | 268 | 264 | (4 | ) | ||||||||
$ | (17 | ) | ||||||||||
Percentages are based on a Net Assets of $1,991,012 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $577,992 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $588,950 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the 7-day effective yield as of November 30, 2010. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Concluded)
November 30, 2010
AUD — Australian Dollar
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
USD — United States Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,922,107 | $ | 124 | $ | 301 | $ | 1,922,532 | ||||||||
Affiliated Partnership | — | 588,950 | — | 588,950 | ||||||||||||
Cash Equivalent | 83,708 | — | — | 83,708 | ||||||||||||
U.S. Treasury Obligation | — | 6,756 | — | 6,756 | ||||||||||||
Exchange Traded Funds | 3,660 | — | — | 3,660 | ||||||||||||
Preferred Stock | — | 1,487 | — | 1,487 | ||||||||||||
Convertible Bond | — | 886 | — | 886 | ||||||||||||
Warrants | — | 58 | — | 58 | ||||||||||||
Total Investments in Securities | $ | 2,009,475 | $ | 598,261 | $ | 301 | $ | 2,608,037 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,401 | $ | — | $ | — | $ | 1,401 | ||||||||
Forwards | — | (17 | ) | — | (17 | ) | ||||||||||
Total Other Financial Instruments | $ | 1,401 | $ | (17 | ) | $ | — | $ | 1,384 | |||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2010 | $ | 308 | $ | 699 | ||||
Accrued discounts/premiums | — | (9 | ) | |||||
Realized gain/(loss) | — | (639 | ) | |||||
Change in unrealized appreciation/(depreciation) | (7 | ) | 414 | |||||
Net purchases/sales | — | (465 | ) | |||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 301 | $ | — | ||||
Changes in unrealized gains/(losses) included in earning related to securities still held at reporting date | $ | (7 | ) | $ | — | |||
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.4% |
| |||||||||||
Consumer Discretionary — 8.6% |
| |||||||||||
Amazon.com* | 1.4 | % | 10,734 | $ | 1,883 | |||||||
priceline.com* | 1.3 | 4,702 | 1,853 | |||||||||
Other Securities | 5.9 | 8,266 | ||||||||||
12,002 | ||||||||||||
Consumer Staples — 17.5% |
| |||||||||||
Altria Group | 1.2 | 71,246 | 1,710 | |||||||||
Brown-Forman, Cl B | 1.1 | 24,736 | 1,618 | |||||||||
Campbell Soup | 0.8 | 33,039 | 1,120 | |||||||||
Hershey | 1.5 | 44,189 | 2,068 | |||||||||
Hormel Foods | 1.9 | 54,833 | 2,691 | |||||||||
Kellogg | 0.7 | 20,460 | 1,007 | |||||||||
Kimberly-Clark | 1.4 | 31,354 | 1,941 | |||||||||
Lorillard | 1.2 | 20,920 | 1,665 | |||||||||
McCormick | 0.7 | 22,330 | 983 | |||||||||
Philip Morris International | 1.3 | 30,778 | 1,751 | |||||||||
Reynolds American | 1.2 | 54,646 | 1,690 | |||||||||
Sysco | 1.0 | 47,748 | 1,385 | |||||||||
Other Securities | 3.5 | 4,935 | ||||||||||
24,564 | ||||||||||||
Energy — 4.0% |
| |||||||||||
Chevron | 0.7 | 11,777 | 954 | |||||||||
Other Securities | 3.3 | 4,703 | ||||||||||
5,657 | ||||||||||||
Financials — 13.9% |
| |||||||||||
Arch Capital Group* | 1.3 | 20,721 | 1,871 | |||||||||
Bank of Hawaii | 0.9 | 28,201 | 1,221 | |||||||||
Commerce Bancshares | 1.3 | 46,726 | 1,755 | |||||||||
Cullen/Frost Bankers | 1.0 | 26,418 | 1,414 | |||||||||
RenaissanceRe Holdings | 1.0 | 24,113 | 1,454 | |||||||||
Other Securities | 8.4 | 11,773 | ||||||||||
19,488 | ||||||||||||
Health Care — 20.7% |
| |||||||||||
Abbott Laboratories | 1.4 | 40,555 | 1,886 | |||||||||
Alexion Pharmaceuticals* | 0.6 | 11,516 | 880 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AmerisourceBergen | 1.7 | % | 76,620 | $ | 2,364 | |||||||
Amgen* | 1.5 | 38,935 | 2,052 | |||||||||
Becton Dickinson | 1.2 | 21,772 | 1,697 | |||||||||
Biogen Idec* | 1.2 | 26,724 | 1,710 | |||||||||
C.R. Bard | 1.6 | 25,860 | 2,194 | |||||||||
Cardinal Health | 1.3 | 52,833 | 1,880 | |||||||||
Eli Lilly | 1.0 | 42,271 | 1,423 | |||||||||
Forest Laboratories* | 1.0 | 42,613 | 1,359 | |||||||||
Johnson & Johnson | 1.0 | 23,581 | 1,452 | |||||||||
McKesson | 1.5 | 33,000 | 2,108 | |||||||||
SXC Health Solutions* | 0.8 | 29,089 | 1,116 | |||||||||
Techne | 1.0 | 23,180 | 1,392 | |||||||||
Other Securities | 3.9 | 5,471 | ||||||||||
28,984 | ||||||||||||
Industrials — 4.1% | ||||||||||||
Other Securities | 4.1 | 5,725 | ||||||||||
Information Technology — 11.0% |
| |||||||||||
Analog Devices | 1.1 | 45,810 | 1,629 | |||||||||
Cognizant Technology Solutions, Cl A* | 1.4 | 29,360 | 1,908 | |||||||||
International Business Machines | 1.3 | 13,377 | 1,892 | |||||||||
Tech Data* | 1.0 | 32,513 | 1,433 | |||||||||
Texas Instruments | 1.2 | 53,656 | 1,706 | |||||||||
WebMD Health, Cl A* | 0.7 | 18,750 | 962 | |||||||||
Other Securities | 4.3 | 5,886 | ||||||||||
15,416 | ||||||||||||
Materials — 3.1% |
| |||||||||||
Newmont Mining | 1.0 | 24,820 | 1,460 | |||||||||
Other Securities | 2.1 | 2,902 | ||||||||||
4,362 | ||||||||||||
Telecommunication Services — 2.3% |
| |||||||||||
Verizon Communications | 0.6 | 24,494 | 784 | |||||||||
Other Securities | 1.7 | 2,484 | ||||||||||
3,268 | ||||||||||||
Utilities — 13.2% |
| |||||||||||
AGL Resources | 0.7 | 27,868 | 1,024 | |||||||||
Atmos Energy | 0.9 | 39,928 | 1,201 | |||||||||
Nicor | 0.6 | 18,826 | 814 | |||||||||
NSTAR | 1.3 | 43,325 | 1,794 | |||||||||
SCANA | 0.6 | 19,362 | 787 | |||||||||
UGI | 0.6 | 30,226 | 897 | |||||||||
Vectren | 0.7 | 39,829 | 1,032 | |||||||||
Wisconsin Energy | 1.4 | 32,156 | 1,936 | |||||||||
Other Securities | 6.4 | 8,920 | ||||||||||
18,405 | ||||||||||||
Total Common Stock |
| 137,871 | ||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 1.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%**† | 1.6 | % | 2,205,050 | $ | 2,205 | |||||||
Total Cash Equivalent |
| 2,205 | ||||||||||
U.S. TREASURY OBLIGATION (A) — 0.5% |
| |||||||||||
Other Securities | 0.5 | 778 | ||||||||||
Total U.S. Treasury Obligation |
| 778 | ||||||||||
Total Investments — 100.5% |
| $ | 140,854 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 22 | Dec-2010 | $ | 39 | ||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $140,200 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 137,871 | $ | — | $ | — | $ | 137,871 | ||||||||
Cash Equivalent | 2,205 | — | — | 2,205 | ||||||||||||
U.S. Treasury Obligation | — | 778 | — | 778 | ||||||||||||
Total Investments in Securities | $ | 140,076 | $ | 778 | $ | — | $ | 140,854 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
Total Other Financial Instruments | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
* | Future contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.9% |
| |||||||||||
Argentina — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 69 | ||||||||
Australia — 4.0% |
| |||||||||||
Australia & New Zealand Banking Group | 0.6 | 141,116 | 3,067 | |||||||||
BHP Billiton | 0.5 | 63,563 | 2,605 | |||||||||
Newcrest Mining | 0.5 | 62,683 | 2,384 | |||||||||
Rio Tinto (A) | 0.4 | 26,856 | 2,117 | |||||||||
Other Securities | 2.0 | 11,545 | ||||||||||
21,718 | ||||||||||||
Austria — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,041 | ||||||||||
Belgium — 1.3% |
| |||||||||||
InBev | 0.6 | 62,091 | 3,389 | |||||||||
Other Securities | 0.7 | 3,663 | ||||||||||
7,052 | ||||||||||||
Bermuda — 0.1% |
| |||||||||||
Other Securities | 0.1 | 714 | ||||||||||
Brazil — 2.1% |
| |||||||||||
Other Securities | 2.1 | 11,195 | ||||||||||
Canada — 4.2% |
| |||||||||||
Silver Wheaton* | 0.5 | 68,200 | 2,517 | |||||||||
Other Securities | 3.7 | 20,247 | ||||||||||
22,764 | ||||||||||||
Chile — 0.5% |
| |||||||||||
Other Securities | 0.5 | 2,663 | ||||||||||
China — 0.9% |
| |||||||||||
Other Securities | 0.9 | 4,668 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Cyprus — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 13 | ||||||||
Denmark — 1.2% |
| |||||||||||
Novo-Nordisk, Cl B | 0.5 | 29,206 | 2,897 | |||||||||
Other Securities | 0.7 | 3,334 | ||||||||||
6,231 | ||||||||||||
Finland — 1.3% |
| |||||||||||
Other Securities | 1.3 | 7,116 | ||||||||||
France — 8.0% | ||||||||||||
BNP Paribas | 0.9 | 81,820 | 4,857 | |||||||||
Safran | 0.4 | 73,726 | 2,316 | |||||||||
Sanofi-Aventis | 0.9 | 78,381 | 4,753 | |||||||||
Schneider Electric | 0.9 | 33,671 | 4,740 | |||||||||
Other Securities | 4.9 | 26,417 | ||||||||||
43,083 | ||||||||||||
Germany — 7.6% |
| |||||||||||
BASF | 0.5 | 38,191 | 2,859 | |||||||||
Fresenius Medical Care | 0.7 | 60,515 | 3,503 | |||||||||
Linde | 0.9 | 32,959 | 4,616 | |||||||||
Siemens | 1.0 | 48,041 | 5,271 | |||||||||
Other Securities | 4.5 | 24,666 | ||||||||||
40,915 | ||||||||||||
Greece — 0.1% |
| |||||||||||
Other Securities | 0.1 | 593 | ||||||||||
Hong Kong — 4.1% |
| |||||||||||
Swire Pacific, Cl A | 0.6 | 223,000 | 3,434 | |||||||||
Other Securities | 3.5 | 18,723 | ||||||||||
22,157 | ||||||||||||
India — 0.0% |
| |||||||||||
Other Securities | 0.0 | 254 | ||||||||||
Ireland — 0.6% |
| |||||||||||
Experian | 0.5 | 230,573 | 2,637 | |||||||||
Other Securities | 0.1 | 463 | ||||||||||
3,100 | ||||||||||||
Israel — 0.6% |
| |||||||||||
Teva Pharmaceutical Industries ADR | 0.4 | 47,061 | 2,355 | |||||||||
Other Securities | 0.2 | 981 | ||||||||||
3,336 | ||||||||||||
Italy — 1.2% |
| |||||||||||
Other Securities | 1.2 | 6,228 | ||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Japan — 18.1% |
| |||||||||||
Honda Motor | 0.7 | % | 106,800 | $ | 3,837 | |||||||
KDDI | 0.5 | 453 | 2,587 | |||||||||
Mitsubishi | 0.5 | 106,400 | 2,688 | |||||||||
Nippon Telegraph & Telephone | 0.5 | 53,800 | 2,434 | |||||||||
Sony | 0.6 | 84,300 | 2,990 | |||||||||
Unicharm | 0.5 | 66,400 | 2,592 | |||||||||
Other Securities | 14.8 | 80,372 | ||||||||||
97,500 | ||||||||||||
Jersey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 139 | ||||||||||
Macau — 0.1% |
| |||||||||||
Other Securities | 0.1 | 282 | ||||||||||
Malaysia — 0.2% |
| |||||||||||
Other Securities | 0.2 | 927 | ||||||||||
Mexico — 0.1% |
| |||||||||||
Other Securities | 0.1 | 283 | ||||||||||
Netherlands — 5.6% |
| |||||||||||
Akzo Nobel | 0.6 | 60,597 | 3,268 | |||||||||
ING Groep | 0.5 | 278,455 | 2,466 | |||||||||
Royal Dutch Shell, Cl A | 0.5 | 81,606 | 2,464 | |||||||||
TNT | 0.5 | 117,582 | 2,814 | |||||||||
Unilever | 0.8 | 156,378 | 4,451 | |||||||||
Other Securities | 2.7 | 14,927 | ||||||||||
30,390 | ||||||||||||
New Zealand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 583 | ||||||||||
Norway — 1.2% |
| |||||||||||
DnB | 0.7 | 286,345 | 3,504 | |||||||||
Other Securities | 0.5 | 3,164 | ||||||||||
6,668 | ||||||||||||
Portugal — 0.2% |
| |||||||||||
Other Securities | 0.2 | 852 | ||||||||||
Russia — 0.1% |
| |||||||||||
Other Securities | 0.1 | 542 | ||||||||||
Singapore — 1.2% |
| |||||||||||
Other Securities | 1.2 | 6,668 | ||||||||||
South Africa — 0.9% |
| |||||||||||
Other Securities | 0.9 | 4,598 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
South Korea — 2.6% |
| |||||||||||
Hyundai Mobis | 0.5 | % | 12,585 | $ | 2,985 | |||||||
Samsung Electronics | 0.7 | 5,045 | 3,594 | |||||||||
Other Securities | 1.4 | 7,603 | ||||||||||
14,182 | ||||||||||||
Spain — 0.9% |
| |||||||||||
Other Securities | 0.9 | 5,005 | ||||||||||
Sweden — 2.1% |
| |||||||||||
Other Securities | 2.1 | 11,327 | ||||||||||
Switzerland — 7.3% |
| |||||||||||
Givaudan | 0.6 | 3,293 | 3,324 | |||||||||
Nestle | 1.1 | 107,294 | 5,872 | |||||||||
Novartis | 1.1 | 116,974 | 6,250 | |||||||||
Roche Holding | 0.7 | 25,750 | 3,560 | |||||||||
SGS | 0.5 | 1,469 | 2,421 | |||||||||
Sulzer | 0.5 | 18,449 | 2,416 | |||||||||
UBS | 0.5 | 183,632 | 2,769 | |||||||||
Xstrata | 0.4 | 118,429 | 2,383 | |||||||||
Other Securities | 1.9 | 10,428 | ||||||||||
39,423 | ||||||||||||
Taiwan — 0.2% |
| |||||||||||
Other Securities | 0.2 | 878 | ||||||||||
Thailand — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,419 | ||||||||||
Turkey — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,204 | ||||||||||
United Kingdom — 15.9% |
| |||||||||||
AstraZeneca | 0.8 | 91,508 | 4,269 | |||||||||
BG Group | 0.7 | 209,756 | 3,794 | |||||||||
British American Tobacco | 0.4 | 65,467 | 2,376 | |||||||||
HSBC Holdings | 0.5 | 249,269 | 2,517 | |||||||||
Kingfisher | 0.6 | 938,084 | 3,433 | |||||||||
Lloyds Banking Group | 0.4 | 2,567,596 | 2,415 | |||||||||
Rio Tinto | 1.1 | 91,225 | 5,795 | |||||||||
Rio Tinto ADR (A) | 0.3 | 23,200 | 1,488 | |||||||||
Rolls-Royce Group | 0.7 | 388,654 | 3,686 | |||||||||
Tesco | 0.6 | 524,714 | 3,385 | |||||||||
Vodafone Group | 1.7 | 3,629,339 | 9,086 | |||||||||
Other Securities | 8.1 | 43,100 | ||||||||||
85,344 | ||||||||||||
United States — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,419 | ||||||||||
Total Common Stock |
| 516,543 | ||||||||||
18 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
WARRANTS — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 1,383 | ||||||||
Total Warrants | 1,383 | |||||||||||
PREFERRED STOCK — 0.3% |
| |||||||||||
Germany — 0.3% | ||||||||||||
Other Securities | 0.3 | 1,584 | ||||||||||
Total Preferred Stock | 1,584 | |||||||||||
RIGHTS — 0.0% | ||||||||||||
China — 0.0% | ||||||||||||
Other Securities | 0.0 | 53 | ||||||||||
Sweden — 0.0% | ||||||||||||
Other Securities | 0.0 | 24 | ||||||||||
Total Rights | 77 | |||||||||||
AFFILIATED PARTNERSHIP — 3.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 3.0 | 16,734,018 | 15,976 | |||||||||
Total Affiliated Partnership (Cost $16,734) ($ Thousands) | 15,976 | |||||||||||
CASH EQUIVALENT — 1.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%**† | 1.9 | 10,137,410 | 10,137 | |||||||||
Total Cash Equivalent |
| 10,137 | ||||||||||
U.S. TREASURY OBLIGATION — 0.6% |
| |||||||||||
U.S. Treasury Bill | ||||||||||||
0.199%, 12/16/10 (C) (D) | 0.6 | $ | 3,406 | 3,405 | ||||||||
Total U.S. Treasury Obligation |
| 3,405 | ||||||||||
Total Investments — 102.0% |
| $ | 549,105 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 128 | Dec-2010 | $ | (261 | ) | |||||||
FTSE Index | 40 | Dec-2010 | (82 | ) | ||||||||
Hang Seng Index | 2 | Dec-2010 | (2 | ) | ||||||||
Nikkei 225 Index | 5 | Dec-2010 | 21 | |||||||||
SPI 200 Index | 9 | Dec-2010 | (16 | ) | ||||||||
Topix Index | 26 | Dec-2010 | 160 | |||||||||
$ | (180 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $538,304 ($ Thousands)
* | Non-income producing. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $15,751 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities on November 30, 2010 was $15,976 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
DJ — Dow Jones
FTSE — Financial Times and the London Stock Exchange
L.P. — Limited Partnership
SPI — Share Price Index
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 516,543 | $ | — | $ | — | $ | 516,543 | ||||||||
Warrants | — | 1,383 | — | 1,383 | ||||||||||||
Preferred Stock | 1,584 | — | — | 1,584 | ||||||||||||
Rights | 77 | — | — | 77 | ||||||||||||
Affiliated Partnership | — | 15,976 | — | 15,976 | ||||||||||||
Cash Equivalent | 10,137 | — | — | 10,137 | ||||||||||||
U.S. Treasury Obligation | — | 3,405 | — | 3,405 | ||||||||||||
Total Investments in Securities | $ | 528,341 | $ | 20,764 | $ | — | $ | 549,105 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (180 | ) | $ | — | $ | — | $ | (180 | ) | ||||||
Total Other Financial Instruments | $ | (180 | ) | $ | $ | — | $ | (180 | ) | |||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $109,092 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 92.8% |
| |||||||||||
Argentina — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 2,260 | ||||||||
Australia — 3.3% | ||||||||||||
BHP Billiton | 0.6 | 696,200 | 28,537 | |||||||||
Coal & Allied Industries | 0.0 | 3,073 | 332 | |||||||||
Rio Tinto (A) | 0.6 | 328,074 | 25,866 | |||||||||
Other Securities | 2.1 | 92,457 | ||||||||||
147,192 | ||||||||||||
Austria — 0.1% | ||||||||||||
Other Securities | 0.1 | 3,913 | ||||||||||
Belgium — 0.9% | ||||||||||||
Delhaize Group ADR (A) | 0.5 | 321,500 | 22,058 | |||||||||
Other Securities | 0.4 | 18,430 | ||||||||||
40,488 | ||||||||||||
Bermuda — 0.1% | ||||||||||||
Other Securities | 0.1 | 6,391 | ||||||||||
Brazil — 3.8% | ||||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (A) | 0.7 | 718,700 | 32,449 | |||||||||
Cia Paranaense de Energia ADR (A) | 0.6 | 1,025,600 | 25,681 | |||||||||
Other Securities | 2.5 | 111,022 | ||||||||||
169,152 | ||||||||||||
Canada — 7.0% | ||||||||||||
Canadian National Railway | 0.6 | 445,828 | 28,466 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Canadian Natural Resources (A) | 0.6 | % | 741,900 | $ | 28,525 | |||||||
Other Securities | 5.8 | 256,513 | ||||||||||
313,504 | ||||||||||||
Chile — 0.2% | ||||||||||||
Other Securities | 0.2 | 8,413 | ||||||||||
China — 2.7% | ||||||||||||
Air China, Cl H | 0.1 | 3,030,000 | 3,949 | |||||||||
China Petroleum & Chemical, Cl H | 0.2 | 9,828,000 | 9,150 | |||||||||
China Telecom, Cl H | 0.0 | 1,710,000 | 861 | |||||||||
Yanzhou Coal Mining ADR (A) | 0.2 | 328,200 | 9,055 | |||||||||
Other Securities | 2.2 | 98,006 | ||||||||||
121,021 | ||||||||||||
Colombia — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,572 | ||||||||||
Cyprus — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,778 | ||||||||||
Czech Republic — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,705 | ||||||||||
Denmark — 1.2% | ||||||||||||
Novo-Nordisk, Cl B | 0.8 | 370,634 | 36,769 | |||||||||
Other Securities | 0.4 | 17,753 | ||||||||||
54,522 | ||||||||||||
Egypt — 0.1% | ||||||||||||
Other Securities | 0.1 | 5,591 | ||||||||||
Finland — 1.1% | ||||||||||||
Other Securities | 1.1 | 48,555 | ||||||||||
France — 4.8% | ||||||||||||
BNP Paribas | 0.5 | 425,325 | 25,247 | |||||||||
France Telecom ADR | 0.5 | 1,020,400 | 20,826 | |||||||||
LVMH Moet Hennessy Louis Vuitton (A) | 0.6 | 179,678 | 27,331 | |||||||||
Other Securities | 3.2 | 140,857 | ||||||||||
214,261 | ||||||||||||
Germany — 5.1% | ||||||||||||
BASF | 0.7 | 405,150 | 30,326 | |||||||||
SAP | 0.5 | 492,959 | 23,063 | |||||||||
Other Securities | 3.9 | 176,185 | ||||||||||
229,574 | ||||||||||||
Guernsey — 0.2% | ||||||||||||
Other Securities | 0.2 | 7,210 | ||||||||||
20 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Hong Kong — 3.2% | ||||||||||||
China Mobile | 0.5 | % | 2,110,007 | $ | 21,044 | |||||||
CNOOC | 0.6 | 13,350,297 | 28,950 | |||||||||
Hong Kong Exchanges and Clearing | 0.5 | 968,200 | 22,180 | |||||||||
Other Securities | 1.6 | 72,096 | ||||||||||
144,270 | ||||||||||||
Hungary — 0.1% | ||||||||||||
Other Securities | 0.1 | 6,249 | ||||||||||
India — 1.7% | ||||||||||||
Other Securities | 1.7 | 75,041 | ||||||||||
Indonesia — 0.8% | ||||||||||||
Other Securities | 0.8 | 37,901 | ||||||||||
Ireland — 0.7% | ||||||||||||
Covidien | 0.5 | 595,000 | 25,032 | |||||||||
Other Securities | 0.2 | 7,458 | ||||||||||
32,490 | ||||||||||||
Israel — 1.1% | ||||||||||||
Teva Pharmaceutical Industries ADR | 0.7 | 620,591 | 31,055 | |||||||||
Other Securities | 0.4 | 17,840 | ||||||||||
48,895 | ||||||||||||
Italy — 1.0% | ||||||||||||
Other Securities | 1.0 | 42,912 | ||||||||||
Japan — 12.3% | ||||||||||||
Fanuc | 0.5 | 159,600 | 22,844 | |||||||||
Hitachi | 0.6 | 5,304,000 | 25,073 | |||||||||
Komatsu | 0.8 | 1,223,796 | 33,864 | |||||||||
Mitsubishi UFJ Financial Group | 0.5 | 4,478,686 | 21,172 | |||||||||
Nippon Telegraph & Telephone | 0.4 | 434,900 | 19,676 | |||||||||
Toyota Motor | 0.4 | 494,747 | 19,017 | |||||||||
Other Securities | 9.1 | 411,195 | ||||||||||
552,841 | ||||||||||||
Kazakhstan — 0.0% | ||||||||||||
Other Securities | 0.0 | 2,101 | ||||||||||
Macau — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,214 | ||||||||||
Malaysia — 0.7% | ||||||||||||
Other Securities | 0.7 | 29,157 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Mexico — 1.8% | ||||||||||||
Other Securities | 1.8 | % | $ | 82,523 | ||||||||
Netherlands — 3.0% | ||||||||||||
Royal Dutch Shell ADR, Cl A(A) | 0.5 | 389,100 | 23,606 | |||||||||
Royal Dutch Shell, Cl A | 0.6 | 802,107 | 24,219 | |||||||||
Royal Dutch Shell, Cl B | 0.1 | 180,992 | 5,378 | |||||||||
Royal Dutch Shell, Cl A (GBP) (C) | 0.2 | 345,073 | 10,404 | |||||||||
Other Securities | 1.6 | 70,555 | ||||||||||
134,162 | ||||||||||||
Netherlands Antilles — 0.4% | ||||||||||||
Other Securities | 0.4 | 16,972 | ||||||||||
New Zealand — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,841 | ||||||||||
Norway — 1.3% | ||||||||||||
Statoil ADR (A) | 0.5 | 1,077,300 | 21,535 | |||||||||
Other Securities | 0.8 | 35,861 | ||||||||||
57,396 | ||||||||||||
Pakistan — 0.0% | ||||||||||||
Other Securities | 0.0 | 324 | ||||||||||
Panama — 0.2% | ||||||||||||
Other Securities | 0.2 | 7,847 | ||||||||||
Peru — 0.1% | ||||||||||||
Other Securities | 0.1 | 4,783 | ||||||||||
Poland — 0.4% | ||||||||||||
Other Securities | 0.4 | 16,279 | ||||||||||
Portugal — 0.3% | ||||||||||||
Other Securities | 0.3 | 12,390 | ||||||||||
Russia — 0.5% | ||||||||||||
Other Securities | 0.5 | 24,593 | ||||||||||
Singapore — 1.0% | ||||||||||||
Other Securities | 1.0 | 45,116 | ||||||||||
South Africa — 1.0% |
| |||||||||||
Sasol ADR | 0.5 | 542,100 | 24,215 | |||||||||
Other Securities | 0.5 | 21,826 | ||||||||||
46,041 | ||||||||||||
South Korea — 3.7% |
| |||||||||||
Hyundai Motor | 0.5 | 167,655 | 24,944 | |||||||||
Kia Motors | 0.5 | 490,730 | 20,719 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Samsung Electronics | 0.4 | % | 27,357 | $ | 19,490 | |||||||
Other Securities | 2.3 | 102,412 | ||||||||||
167,565 | ||||||||||||
Spain — 0.9% |
| |||||||||||
Telefonica | 0.5 | 1,120,979 | 23,917 | |||||||||
Other Securities | 0.4 | 14,561 | ||||||||||
38,478 | ||||||||||||
Sweden — 1.8% |
| |||||||||||
Hennes & Mauritz, Cl B | 0.4 | 535,734 | 18,085 | |||||||||
Other Securities | 1.4 | 60,878 | ||||||||||
78,963 | ||||||||||||
Switzerland — 4.3% |
| |||||||||||
Nestle | 0.9 | 715,273 | 39,147 | |||||||||
Novartis | 0.7 | 579,337 | 30,952 | |||||||||
Zurich Financial Services ADR | 0.5 | 1,014,600 | 22,626 | |||||||||
Other Securities | 2.2 | 101,372 | ||||||||||
194,097 | ||||||||||||
Taiwan — 1.8% |
| |||||||||||
Other Securities | 1.8 | 81,421 | ||||||||||
Thailand — 1.0% |
| |||||||||||
Other Securities | 1.0 | 43,352 | ||||||||||
Turkey — 1.0% |
| |||||||||||
Other Securities | 1.0 | 46,667 | ||||||||||
United Kingdom — 14.0% |
| |||||||||||
AstraZeneca ADR (A) | 0.4 | 415,800 | 19,513 | |||||||||
AstraZeneca | 0.7 | 706,715 | 32,968 | |||||||||
BG Group | 0.4 | 994,405 | 17,987 | |||||||||
British American Tobacco ADR | 0.4 | 222,600 | 16,228 | |||||||||
British American Tobacco | 0.8 | 1,052,118 | 38,185 | |||||||||
Carnival | 0.4 | 443,879 | 18,125 | |||||||||
GlaxoSmithKline ADR | 0.5 | 565,300 | 21,640 | |||||||||
HSBC Holdings | 0.4 | 1,866,130 | 18,841 | |||||||||
Reckitt Benckiser Group | 0.5 | 429,674 | 22,751 | |||||||||
Rio Tinto | 0.6 | 402,740 | 25,587 | |||||||||
Rio Tinto ADR (A) | 0.2 | 137,600 | 8,824 | |||||||||
Standard Chartered | 0.6 | 947,304 | 25,537 | |||||||||
Tesco | 0.4 | 3,072,495 | 19,824 | |||||||||
Other Securities | 7.7 | 345,310 | ||||||||||
631,320 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
United States — 2.0% |
| |||||||||||
RenaissanceRe Holdings | 0.5 | % | 389,700 | $ | 23,491 | |||||||
Other Securities | 1.5 | 67,193 | ||||||||||
90,684 | ||||||||||||
Total Common Stock |
| 4,172,987 | ||||||||||
PREFERRED STOCK — 1.4% |
| |||||||||||
Brazil — 0.2% |
| |||||||||||
Other Securities | 0.2 | 11,252 | ||||||||||
Germany — 1.2% |
| |||||||||||
Volkswagen | 0.8 | 216,477 | 34,887 | |||||||||
Other Securities | 0.4 | 16,964 | ||||||||||
51,851 | ||||||||||||
Total Preferred Stock |
| 63,103 | ||||||||||
EXCHANGE TRADED FUND — 0.0% |
| |||||||||||
Other Securities | 0.0 | 266 | ||||||||||
Total Exchange Traded Fund |
| 266 | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 38 | ||||||||||
Total Warrants |
| 38 | ||||||||||
RIGHTS — 0.0% |
| |||||||||||
Brazil — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
China — 0.0% |
| |||||||||||
Other Securities | 0.0 | 311 | ||||||||||
Total Rights |
| 311 | ||||||||||
AFFILIATED PARTNERSHIP — 7.4% |
| |||||||||||
SEI Liquidity Fund, L.P. | 7.4 | 336,574,902 | 333,998 | |||||||||
Total Affiliated Partnership (Cost $336,575) ($ Thousands) |
| 333,998 | ||||||||||
CASH EQUIVALENT — 3.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 3.8 | 172,448,084 | 172,448 | |||||||||
Total Cash Equivalent |
| 172,448 | ||||||||||
22 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATION — 0.8% |
| |||||||||||
U.S. Treasury Bill | 0.8 | % | $ | 34,809 | $ | 34,807 | ||||||
Total U.S. Treasury Obligation (Cost $34,805) ($ Thousands) |
| 34,807 | ||||||||||
Total Investments — 106.2% |
| $ | 4,777,958 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 1,871 | Dec-2010 | $ | (2,877 | ) | |||||||
FTSE Index | 577 | Dec-2010 | (65 | ) | ||||||||
Hang Seng Index | 42 | Dec-2010 | (38 | ) | ||||||||
Nikkei 225 Index | 11 | Dec-2010 | 45 | |||||||||
S&P TSE 60 Index | 170 | Dec-2010 | 1,305 | |||||||||
SPI 200 Index | 140 | Dec-2010 | (204 | ) | ||||||||
Topix Index | 398 | Dec-2010 | 2,082 | |||||||||
$ | 248 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,500,797 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $317,808 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $333,998 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
DJ — Dow Jones
FTSE — Financial Times and the London Stock Exchange
British Pound Sterling
L.P. — Limited Partnership
S&P — Standard & Poor’s
SPI — Share Price Index
TSE — Toronto Stock Exchange
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,172,987 | $ | — | $ | — | $ | 4,172,987 | ||||||||
Preferred Stock | 63,103 | — | — | 63,103 | ||||||||||||
Exchange Traded Fund | 266 | — | — | 266 | ||||||||||||
Warrants | 38 | — | — | 38 | ||||||||||||
Rights | 311 | — | — | 311 | ||||||||||||
Affiliated Partnership | — | 333,998 | — | 333,998 | ||||||||||||
Cash Equivalent | 172,448 | — | — | 172,448 | ||||||||||||
U.S. Treasury Obligation | — | 34,807 | — | 34,807 | ||||||||||||
Total Investments in Securities | $ | 4,409,153 | $ | 368,805 | $ | — | $ | 4,777,958 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 248 | $ | — | $ | — | $ | 248 | ||||||||
Total Other Financial Instruments | $ | 248 | $ | — | $ | — | $ | 248 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $411,166 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 90.7% |
| |||||||||||
Australia — 3.6% |
| |||||||||||
BHP Billiton | 1.1 | % | 21,279 | $ | 872 | |||||||
Rio Tinto | 0.9 | 8,591 | 677 | |||||||||
Other Securities | 1.6 | 1,349 | ||||||||||
2,898 | ||||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 62 | ||||||||||
Belgium — 0.8% |
| |||||||||||
Other Securities | 0.8 | 630 | ||||||||||
Brazil — 1.3% |
| |||||||||||
Other Securities | 1.3 | 1,036 | ||||||||||
Canada — 7.7% |
| |||||||||||
Canadian National Railway | 0.9 | 11,610 | 741 | |||||||||
Canadian Natural Resources | 0.9 | 17,800 | 684 | |||||||||
EnCana | 0.6 | 17,769 | 492 | |||||||||
Other Securities | 5.3 | 4,211 | ||||||||||
6,128 | ||||||||||||
China — 1.9% |
| |||||||||||
Other Securities | 1.9 | 1,551 | ||||||||||
Denmark — 1.7% |
| |||||||||||
Novo-Nordisk, Cl B | 1.1 | 8,702 | 863 | |||||||||
Other Securities | 0.6 | 496 | ||||||||||
1,359 | ||||||||||||
Finland — 1.6% |
| |||||||||||
Stora Enso, Cl R | 0.4 | 40,344 | 348 | |||||||||
Other Securities | 1.2 | 929 | ||||||||||
1,277 | ||||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
France — 5.3% |
| |||||||||||
BNP Paribas | 1.0 | % | 13,225 | $ | 785 | |||||||
LVMH Moet Hennessy Louis Vuitton | 0.7 | 3,820 | 581 | |||||||||
Sanofi-Aventis | 0.5 | 6,953 | 422 | |||||||||
Other Securities | 3.1 | 2,450 | ||||||||||
4,238 | ||||||||||||
Germany — 5.6% |
| |||||||||||
Allianz | 0.5 | 3,374 | 371 | |||||||||
BASF | 1.2 | 12,122 | 907 | |||||||||
Fresenius Medical Care | 0.5 | 6,393 | 370 | |||||||||
SAP | 0.6 | 9,739 | 456 | |||||||||
Other Securities | 2.8 | 2,336 | ||||||||||
4,440 | ||||||||||||
Greece — 0.0% |
| |||||||||||
Other Securities | 0.0 | 32 | ||||||||||
Guernsey — 0.2% |
| |||||||||||
Other Securities | 0.2 | 127 | ||||||||||
Hong Kong — 3.1% |
| |||||||||||
Hong Kong Exchanges and Clearing | 0.5 | 18,800 | 431 | |||||||||
Swire Pacific, Cl A | 0.5 | 25,500 | 393 | |||||||||
Other Securities | 2.1 | 1,613 | ||||||||||
2,437 | ||||||||||||
Hungary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 101 | ||||||||||
India — 0.2% |
| |||||||||||
Other Securities | 0.2 | 162 | ||||||||||
Indonesia — 0.4% |
| |||||||||||
Other Securities | 0.4 | 285 | ||||||||||
Ireland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 181 | ||||||||||
Israel — 1.1% |
| |||||||||||
Teva Pharmaceutical Industries ADR | 0.7 | 11,155 | 558 | |||||||||
Other Securities | 0.4 | 299 | ||||||||||
857 | ||||||||||||
Italy — 1.2% |
| |||||||||||
Enel | 0.6 | 94,738 | 446 | |||||||||
Other Securities | 0.6 | 476 | ||||||||||
922 | ||||||||||||
24 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Japan — 15.2% |
| |||||||||||
Canon | 0.5 | % | 8,795 | $ | 414 | |||||||
Fanuc | 0.7 | 3,600 | 515 | |||||||||
Hitachi | 0.8 | 131,000 | 619 | |||||||||
Komatsu | 1.0 | 27,600 | 764 | |||||||||
Mitsubishi UFJ Financial Group | 0.9 | 149,100 | 705 | |||||||||
Nippon Telegraph & Telephone | 0.5 | 9,300 | 421 | |||||||||
Takeda Pharmaceutical | 0.5 | 8,700 | 404 | |||||||||
Toyota Motor | 0.5 | 10,072 | 387 | |||||||||
Other Securities | 9.8 | 7,918 | ||||||||||
12,147 | ||||||||||||
Macau — 0.0% |
| |||||||||||
Other Securities | 0.0 | 38 | ||||||||||
Malaysia — 1.2% |
| |||||||||||
CIMB Group Holdings | 0.5 | 155,600 | 415 | |||||||||
Other Securities | 0.7 | 571 | ||||||||||
986 | ||||||||||||
Mexico — 1.4% |
| |||||||||||
Wal-Mart de Mexico | 0.5 | 128,600 | 364 | |||||||||
Other Securities | 0.9 | 733 | ||||||||||
1,097 | ||||||||||||
Netherlands — 1.9% |
| |||||||||||
Other Securities | 1.9 | 1,532 | ||||||||||
New Zealand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 60 | ||||||||||
Norway — 0.8% |
| |||||||||||
Other Securities | 0.8 | 669 | ||||||||||
Peru — 0.2% |
| |||||||||||
Other Securities | 0.2 | 125 | ||||||||||
Philippines — 0.1% |
| |||||||||||
Other Securities | 0.1 | 113 | ||||||||||
Poland — 0.7% |
| |||||||||||
Other Securities | 0.7 | 557 | ||||||||||
Portugal — 0.3% |
| |||||||||||
Other Securities | 0.3 | 265 | ||||||||||
Russia — 0.0% |
| |||||||||||
Other Securities | 0.0 | 32 | ||||||||||
Singapore — 1.1% |
| |||||||||||
Other Securities | 1.1 | 865 | ||||||||||
South Africa — 0.3% |
| |||||||||||
Other Securities | 0.3 | 258 | ||||||||||
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
South Korea — 2.4% |
| |||||||||||
Kia Motors | 0.6 | % | 11,310 | $ | 477 | |||||||
Other Securities | 1.8 | 1,468 | ||||||||||
1,945 | ||||||||||||
Spain — 1.3% |
| |||||||||||
Telefonica | 0.7 | 27,770 | 592 | |||||||||
Other Securities | 0.6 | 440 | ||||||||||
1,032 | ||||||||||||
Sweden — 2.6% |
| |||||||||||
Hennes & Mauritz, Cl B | 0.5 | 11,178 | 377 | |||||||||
Other Securities | 2.1 | 1,664 | ||||||||||
2,041 | ||||||||||||
Switzerland — 5.3% |
| |||||||||||
Nestle | 1.3 | 19,014 | 1,041 | |||||||||
Novartis | 1.0 | 14,206 | 759 | |||||||||
Roche Holding | 0.5 | 3,039 | 420 | |||||||||
UBS | 0.4 | 23,257 | 351 | |||||||||
Other Securities | 2.1 | 1,636 | ||||||||||
4,207 | ||||||||||||
Taiwan — 1.5% |
| |||||||||||
High Tech Computer | 0.5 | 13,500 | 374 | |||||||||
Other Securities | 1.0 | 853 | ||||||||||
1,227 | ||||||||||||
Thailand — 0.8% |
| |||||||||||
Other Securities | 0.8 | 638 | ||||||||||
Turkey — 0.6% |
| |||||||||||
Other Securities | 0.6 | 463 | ||||||||||
United Kingdom — 15.6% |
| |||||||||||
AstraZeneca | 1.0 | 17,143 | 800 | |||||||||
BG Group | 0.8 | 34,417 | 623 | |||||||||
BHP Billiton | 0.6 | 14,445 | 514 | |||||||||
BP | 0.6 | 68,569 | 455 | |||||||||
British American Tobacco | 1.2 | 27,187 | 987 | |||||||||
Carnival | 0.5 | 9,924 | 405 | |||||||||
HSBC Holdings | 0.8 | 59,711 | 603 | |||||||||
Kingfisher | 0.4 | 93,182 | 341 | |||||||||
Reckitt Benckiser Group | 0.6 | 9,371 | 496 | |||||||||
Rio Tinto | 1.0 | 12,502 | 794 | |||||||||
Standard Chartered | 0.8 | 23,827 | 642 | |||||||||
Tesco | 0.5 | 61,510 | 397 | |||||||||
Vodafone Group | 0.5 | 150,793 | 377 | |||||||||
Other Securities | 6.3 | 4,972 | ||||||||||
12,406 | ||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Concluded)
November 30, 2010
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
United States — 1.2% |
| |||||||||||
Other Securities | 1.2 | % | $ | 942 | ||||||||
Total Common Stock |
| 72,368 | ||||||||||
PREFERRED STOCK — 1.3% |
| |||||||||||
Germany — 1.3% |
| |||||||||||
Volkswagen | 0.9 | 4,603 | 742 | |||||||||
Other Securities | 0.4 | 298 | ||||||||||
1,040 | ||||||||||||
South Korea — 0.0% |
| |||||||||||
Other Securities | 0.0 | 8 | ||||||||||
Total Preferred Stock |
| 1,048 | ||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 2 | ||||||||||
Total Warrants |
| 2 | ||||||||||
RIGHTS — 0.0% |
| |||||||||||
China — 0.0% |
| |||||||||||
Other Securities | 0.0 | 7 | ||||||||||
Total Right |
| 7 | ||||||||||
CASH EQUIVALENT — 4.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 4.6 | 3,635,154 | 3,635 | |||||||||
Total Cash Equivalent |
| 3,635 | ||||||||||
U.S. TREASURY OBLIGATION (A) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 318 | ||||||||||
Total U.S. Treasury Obligation |
| 318 | ||||||||||
Total Investments — 97.0% |
| $ | 77,378 | |||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 35 | Dec-2010 | $ | (66 | ) | |||||||
FTSE Index | 10 | Dec-2010 | (8 | ) | ||||||||
Hang Seng Index | 1 | Dec-2010 | (1 | ) | ||||||||
S&P TSE 60 Index | 3 | Dec-2010 | 19 | |||||||||
SPI 200 Index | 3 | Dec-2010 | (9 | ) | ||||||||
Topix Index | 9 | Dec-2010 | 43 | |||||||||
$ | (22 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $79,762 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
DJ — Dow Jones
FTSE — Financial Times and London Stock Exchange
S&P — Standard & Poor’s
SPI — Stock Price Index
TSE — Toronto Stock Exchange
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands).
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 72,368 | $ | — | $ | — | $ | 72,368 | ||||||||
Preferred Stock | 1,048 | — | — | 1,048 | ||||||||||||
Warrants | — | 2 | — | 2 | ||||||||||||
Rights | 7 | — | — | 7 | ||||||||||||
Cash Equivalent | 3,635 | — | — | 3,635 | ||||||||||||
U.S. Treasury Obligation | — | 318 | — | 318 | ||||||||||||
Total Investments in Securities | $ | 77,058 | $ | 320 | $ | — | $ | 77,378 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
Total Other Financial Instruments | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $10,942 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
26 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 22.5% |
| |||||||
Advantage Sales & Marketing | ||||||||
0.000%, 04/05/17 (E) | $ | 488 | $ | 490 | ||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 498 | 494 | ||||||
Alliant Insurance Service Term Loan | ||||||||
3.289%, 08/21/14 | 679 | 658 | ||||||
Allison Transmission | ||||||||
3.040%, 08/07/14 | 423 | 408 | ||||||
3.010%, 08/07/14 | 247 | 238 | ||||||
Aramark Facility | ||||||||
0.106%, 01/26/14 | 27 | 27 | ||||||
Aramark US Term Loan | ||||||||
2.164%, 01/26/14 | 341 | 336 | ||||||
Asurion 1st Lien Term Loan | ||||||||
3.286%, 07/03/14 | 75 | 69 | ||||||
3.254%, 07/03/14 | 204 | 190 | ||||||
3.253%, 07/03/14 | 241 | 224 | ||||||
Atlantic Broadband Finance | ||||||||
0.000%, 11/26/15 (E) | 500 | 501 | ||||||
BBN Acquisitions | ||||||||
5.000%, 09/14/15 | 388 | 390 | ||||||
Biomet Dollar Term Loan | ||||||||
3.289%, 03/25/15 | 332 | 329 | ||||||
3.256%, 03/25/15 | 82 | 81 | ||||||
3.255%, 03/25/15 | 19 | 19 | ||||||
Blount International | ||||||||
5.500%, 07/29/16 | 450 | 450 | ||||||
Booz Allen Hamilton Tranche B Term Loan | ||||||||
7.500%, 07/31/15 | 111 | 111 | ||||||
Burlington Coat Factory | ||||||||
2.540%, 05/28/13 | 294 | 286 | ||||||
2.530%, 05/28/13 | 291 | 283 | ||||||
Calpine | ||||||||
3.165%, 03/29/14 | 195 | 194 | ||||||
CDW | ||||||||
4.276%, 10/12/14 | 304 | 294 | ||||||
2.276%, 10/12/14 | 145 | 140 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cedar Fair | ||||||||
5.500%, 12/15/16 | $ | 559 | $ | 564 | ||||
Celanese US Holdings LLC Term Loan | ||||||||
1.790%, 04/02/14 | 321 | 318 | ||||||
Cengage Learning Holdco | ||||||||
2.540%, 06/28/14 | 591 | 545 | ||||||
CF Industries Term Loan B1 | ||||||||
4.500%, 04/05/15 | 101 | 101 | ||||||
Charter | ||||||||
2.260%, 03/15/14 | 58 | 57 | ||||||
Charter Communications Term Loan C | ||||||||
3.540%, 09/06/16 | 527 | 515 | ||||||
Cinemark USA | ||||||||
2.268%, 10/05/13 | 53 | 52 | ||||||
2.050%, 10/05/13 | 251 | 247 | ||||||
2.040%, 10/05/13 | 76 | 75 | ||||||
2.010%, 10/05/13 | 74 | 73 | ||||||
CIT Group | ||||||||
0.000%, 08/11/15 (E) | 300 | 305 | ||||||
Clear Channel | ||||||||
3.905%, 01/29/16 | 427 | 338 | ||||||
Community Health Systems Delayed Draw Term Loan | ||||||||
2.549%, 07/25/14 | 42 | 41 | ||||||
Community Health Systems Funded Term Loan | ||||||||
2.549%, 07/25/14 | 850 | 827 | ||||||
2.510%, 07/25/14 | 2 | 2 | ||||||
Dana Holding | ||||||||
4.540%, 01/31/15 | 253 | 252 | ||||||
4.510%, 01/31/15 | 96 | 96 | ||||||
Dunkin Brands | ||||||||
0.000%, 11/18/17 (E) | 175 | 177 | ||||||
Dynegy Holdings | ||||||||
4.010%, 04/02/13 | 684 | 664 | ||||||
Federal Mogul | ||||||||
2.188%, 12/29/14 | 456 | 410 | ||||||
2.188%, 12/28/15 | 233 | 209 | ||||||
Fidelity National Infomation Services | ||||||||
5.303%, 07/18/16 | 420 | 425 | ||||||
Flextronics International Term A-2 | ||||||||
2.506%, 10/01/14 | 261 | 257 | ||||||
Flextronics International Term A-3 | ||||||||
2.506%, 10/01/14 | 305 | 299 | ||||||
Ford Motor Company | ||||||||
3.255%, 11/08/14 | 500 | 471 | ||||||
Freescale Semiconductor | ||||||||
4.506%, 12/01/16 | 563 | 529 | ||||||
Goodman Global | ||||||||
0.166%, 10/06/16 | 350 | 352 | ||||||
Graham Packaging | ||||||||
6.000%, 09/23/16 | 126 | 127 | ||||||
6.000%, 08/09/16 | 124 | 125 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Graphic Packaging | ||||||||
3.020%, 05/16/14 | $ | 11 | $ | 11 | ||||
3.004%, 05/16/14 | 15 | 14 | ||||||
3.001%, 05/16/14 | 22 | 22 | ||||||
Graphic Packaging International Incremental Term Loan | ||||||||
3.040%, 05/16/14 | 173 | 172 | ||||||
3.039%, 05/16/14 | 164 | 163 | ||||||
Harrah’s Operating, Ser B-2 | ||||||||
3.288%, 01/28/15 | 668 | 584 | ||||||
HCA Tranche B Term Loan | ||||||||
2.539%, 11/18/13 | 858 | 840 | ||||||
Hertz | ||||||||
2.089%, 12/21/12 | 116 | 115 | ||||||
2.010%, 12/21/12 | 360 | 356 | ||||||
Hertz, Ser B | ||||||||
2.010%, 12/21/12 | 267 | 263 | ||||||
Hexion Specialty Chemical, Ser C-1 | ||||||||
2.563%, 05/05/13 | 355 | 344 | ||||||
Hexion Specialty Chemical, Ser C-2 | ||||||||
2.563%, 05/05/13 | 158 | 153 | ||||||
Hub International Delayed Draw Term Loan | ||||||||
2.789%, 06/13/14 | 91 | 88 | ||||||
Hub International Initial Term Loan | ||||||||
2.789%, 06/13/14 | 405 | 391 | ||||||
Iasis Healthcare LLC Delayed Draw Term Loan | ||||||||
2.255%, 03/15/14 | 61 | 59 | ||||||
Iasis Healthcare LLC Synthetic Letter of Credit | ||||||||
2.256%, 03/15/14 | 17 | 16 | ||||||
Iasis Healthcare LLC Term Loan B | ||||||||
2.255%, 03/15/14 | 174 | 169 | ||||||
IMS Health Term Loan B | ||||||||
5.250%, 02/26/16 | 198 | 200 | ||||||
Infor Enterprise Solutions | ||||||||
6.110%, 07/28/12 | 421 | 396 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.505%, 03/02/14 | 27 | 19 | ||||||
Infor Global Enterprise Solutions Tranche 1 | ||||||||
6.505%, 03/02/14 | 138 | 97 | ||||||
Infor Global Solutions | ||||||||
6.010%, 07/28/15 | 220 | 207 | ||||||
Infor Global Solutions Intermediate Holdings | ||||||||
6.506%, 03/02/14 | 305 | 214 | ||||||
Integra Telecom | ||||||||
9.250%, 04/07/15 | 569 | 574 | ||||||
Intelsat | ||||||||
3.290%, 02/01/14 | 450 | 428 | ||||||
Intersil Corp | ||||||||
4.750%, 04/26/16 | 125 | 126 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Intersil Term Loan B | ||||||||
4.750%, 04/26/16 | $ | 124 | $ | 125 | ||||
Inventiv Health | ||||||||
6.599%, 05/07/16 | 299 | 301 | ||||||
Knology | ||||||||
5.500%, 09/13/16 | 500 | 501 | ||||||
Lamar Media | ||||||||
4.250%, 10/01/16 | 443 | 445 | ||||||
Live Nation Entertainment | ||||||||
4.500%, 10/20/16 | 249 | 249 | ||||||
Meg Energy | ||||||||
6.000%, 04/03/16 | 433 | 434 | ||||||
Metroflag, 2nd Lien | ||||||||
11.250%, 01/06/09 (C) (D) | 1,500 | — | ||||||
Nielsen Finance New Facility | ||||||||
2.253%, 12/31/17 | 603 | 592 | ||||||
NRG Holdings Letter of Credit | ||||||||
1.789%, 02/01/13 | 153 | 151 | ||||||
NRG Holdings Term Loan B | ||||||||
1.789%, 02/01/13 | 183 | 181 | ||||||
Quebecor Media | ||||||||
2.607%, 01/17/13 | 396 | 391 | ||||||
re/max International | ||||||||
5.500%, 04/16/16 | 498 | 497 | ||||||
Reable Therapeutics (DJO Finance) Term Loan B | ||||||||
3.255%, 05/20/14 | 357 | 350 | ||||||
Regal Cinemas | ||||||||
4.033%, 11/19/16 | 346 | 347 | ||||||
Reynold | ||||||||
6.750%, 05/05/16 | 333 | 335 | ||||||
Reynolds Group | ||||||||
5.750%, 05/13/16 | 496 | 499 | ||||||
Sensata Technology | ||||||||
2.038%, 04/27/13 | 434 | 420 | ||||||
2.021%, 04/27/13 | 1 | 1 | ||||||
Sirva Revolving Credit Loan | ||||||||
10.530%, 05/12/12 | 34 | 23 | ||||||
9.500%, 05/12/12 | 28 | 19 | ||||||
Sirva Worldwide (Unfunded) | ||||||||
1.000%, 05/12/12 | 219 | 72 | ||||||
Solutia 1st Lien Term Loan | ||||||||
4.750%, 03/02/17 | 154 | 154 | ||||||
Styron | ||||||||
7.500%, 05/21/16 | 494 | 500 | ||||||
Sungard Data Systems | ||||||||
3.911%, 02/28/16 | 424 | 420 | ||||||
3.898%, 02/28/16 | 30 | 30 | ||||||
Supervalu | ||||||||
1.538%, 06/02/12 | 448 | 440 | ||||||
1.521%, 06/02/12 | 1 | 1 | ||||||
Telesat Canada | ||||||||
3.270%, 10/31/14 | 449 | 444 |
28 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Texas Competitive Electric | ||||||||
3.789%, 10/10/14 | $ | 1 | $ | 1 | ||||
3.753%, 10/10/14 | 343 | 265 | ||||||
Travelport LLC Term Loan B | ||||||||
2.963%, 08/23/13 | 144 | 140 | ||||||
Universal Healthcare | ||||||||
6.250%, 05/16/16 | 450 | 455 | ||||||
Univision Communications | ||||||||
4.505%, 09/29/14 | 551 | 524 | ||||||
Valeant Pharma Unfunded | ||||||||
0.000%, 06/21/16 | 20 | — | ||||||
Vanguard Health Term Loan | ||||||||
5.000%, 01/15/16 | 398 | 400 | ||||||
Warner Chilcott PLC, Ser A | ||||||||
6.000%, 10/30/14 | 157 | 156 | ||||||
Warner Chilcott PLC, Ser B | ||||||||
6.250%, 04/30/15 | 76 | 76 | ||||||
Warner Chilcott PLC, Ser B2 | ||||||||
6.250%, 04/30/15 | 126 | 127 | ||||||
Wide Open West Finance 1st Lien | ||||||||
2.753%, 06/30/14 | 538 | 497 | ||||||
Total Loan Participations |
| 31,249 | ||||||
CORPORATE OBLIGATIONS — 4.3% |
| |||||||
Consumer Discretionary — 0.2% |
| |||||||
Hanesbrands | ||||||||
6.375%, 12/15/20 (A) | 208 | 199 | ||||||
Macy’s Retail Holdings | ||||||||
5.350%, 03/15/12 | 100 | 103 | ||||||
302 | ||||||||
Consumer Staples — 0.3% |
| |||||||
Seminole Indian Tribe of Florida | ||||||||
6.535%, 10/01/20 (A) | 450 | 441 | ||||||
Energy — 0.5% |
| |||||||
Canadian Natural Resources | ||||||||
5.700%, 05/15/17 | 150 | 174 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 500 | 517 | ||||||
691 | ||||||||
Financials — 1.3% |
| |||||||
Capital One Financial MTN | ||||||||
5.700%, 09/15/11 | 150 | 156 | ||||||
Citigroup | ||||||||
0.562%, 06/09/16 (B) | 150 | 130 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.236%, 02/02/37 (B) | 250 | 181 | ||||||
Liberty Property L.P. | ||||||||
7.250%, 03/15/11‡ | 300 | 304 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Monumental Global Funding | ||||||||
0.489%, 01/15/14 (A) (B) | $ | 230 | $ | 221 | ||||
Morgan Stanley MTN | ||||||||
0.589%, 01/09/14 (B) | 200 | 191 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 12/14/11 | 150 | 155 | ||||||
Reinsurance Group of America | ||||||||
5.625%, 03/15/17 | 200 | 214 | ||||||
State Street | ||||||||
0.388%, 04/30/12 (B) | 135 | 135 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 110 | 112 | ||||||
1,799 | ||||||||
Health Care — 0.2% |
| |||||||
UnitedHealth Group | ||||||||
1.586%, 02/07/11 (B) | 250 | 251 | ||||||
Industrials — 0.4% |
| |||||||
Berry Plastics | ||||||||
5.039%, 02/15/15 (B) | 460 | 439 | ||||||
Continental Airlines, Ser 061G | ||||||||
0.646%, 06/02/13 (B) | 142 | 135 | ||||||
574 | ||||||||
Materials — 0.5% |
| |||||||
Verso Paper Holdings LLC | ||||||||
11.500%, 07/01/14 | 675 | 732 | ||||||
Telecommunication Services — 0.6% |
| |||||||
Corning | ||||||||
6.050%, 06/15/15 | 150 | 150 | ||||||
MetroPCS Wireless | ||||||||
6.625%, 11/15/20 | 400 | 381 | ||||||
Telecom Italia Capital | ||||||||
0.899%, 07/18/11 (B) | 150 | 150 | ||||||
Vodafone Group PLC | ||||||||
0.572%, 02/27/12 (B) | 150 | 150 | ||||||
831 | ||||||||
Utilities — 0.3% |
| |||||||
Calpine | ||||||||
7.500%, 02/15/21 (A) | 375 | 368 | ||||||
Total Corporate Obligations |
| 5,989 | ||||||
MORTGAGE-BACKED SECURITIES — 2.7% |
| |||||||
Non-Agency Mortgage-Backed Obligations — 2.7% |
| |||||||
American Tower Trust, | ||||||||
5.957%, 04/15/37 (A) | 125 | 133 | ||||||
Banc of America Funding, | ||||||||
3.146%, 09/20/35 (B) | 392 | 318 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Concluded)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Funding, | ||||||||
5.441%, 05/20/36 (B) | $ | 314 | $ | 244 | ||||
Banc of America Large Loan, | ||||||||
0.763%, 08/15/29 (A) (B) | 135 | 124 | ||||||
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 | ||||||||
3.179%, 02/25/35 (B) | 176 | 154 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 | ||||||||
4.625%, 02/25/36 (B) | 320 | 284 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 | ||||||||
6.480%, 02/15/35 | 280 | 282 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.009%, 04/19/36 (B) | 354 | 287 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1 | ||||||||
5.334%, 06/25/37 (B) | 307 | 249 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 | ||||||||
2.807%, 07/25/35 (B) | 337 | 266 | ||||||
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1 | ||||||||
5.800%, 08/25/36 (B) | 332 | 264 | ||||||
MortgageIT Trust, Ser 2005-4, Cl A1 | ||||||||
0.533%, 10/25/35 (B) | 332 | 234 | ||||||
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A | ||||||||
4.094%, 11/25/35 (B) | 130 | 98 | ||||||
Washington Mutual Mortgage Pass-Through Certificate, | ||||||||
4.971%, 12/25/35 (B) | 328 | 276 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1 | ||||||||
2.968%, 12/25/34 (B) | 287 | 279 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.862%, 10/25/35 (B) | 77 | 71 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.890%, 10/25/35 (B) | 113 | 104 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.632%, 03/25/36 (B) | 122 | 107 | ||||||
Total Mortgage-Backed Securities |
| 3,774 | ||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 1.8% |
| |||||||
Automotive — 0.4% |
| |||||||
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A | ||||||||
5.550%, 04/07/14 | $ | 235 | $ | 244 | ||||
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A | ||||||||
5.130%, 04/16/12 | 30 | 31 | ||||||
CarMax Auto Owner Trust, | ||||||||
5.530%, 07/15/13 | 50 | 51 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
5.150%, 11/15/11 | 20 | 20 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C | ||||||||
5.540%, 04/15/15 | 105 | 108 | ||||||
Merrill Auto Trust Securitization, Ser 2007-1, Cl C | ||||||||
5.960%, 12/15/13 | 15 | 15 | ||||||
469 | ||||||||
Credit Cards — 0.4% |
| |||||||
American Express Credit Account Master Trust, Ser 2007-2, Cl B | ||||||||
0.436%, 09/15/16 (B) | 145 | 143 | ||||||
Chase Issuance Trust, | ||||||||
0.696%, 01/15/15 (B) | 200 | 198 | ||||||
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 | ||||||||
0.873%, 11/07/14 (B) | 250 | 249 | ||||||
590 | ||||||||
Mortgage Related Securities — 0.7% |
| |||||||
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1 | ||||||||
0.706%, 08/25/35 (B) | 350 | 328 | ||||||
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1 | ||||||||
0.666%, 09/25/35 (B) | 370 | 209 | ||||||
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1 | ||||||||
0.646%, 12/25/35 (B) | 470 | 292 | ||||||
Residential Asset Securities, | ||||||||
0.696%, 01/25/36 (B) | 375 | 170 | ||||||
999 | ||||||||
30 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 0.3% |
| |||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (A) | $ | 400 | $ | 410 | ||||
Total Asset-Backed Securities (Cost $3,022) ($ Thousands) |
| 2,468 | ||||||
U.S. TREASURY OBLIGATION — 0.7% |
| |||||||
U.S. Treasury Note | ||||||||
0.750%, 11/30/11 | 1,000 | 1,004 | ||||||
Total U.S. Treasury Obligation |
| 1,004 | ||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 0.1% |
| |||||||
FHLB | ||||||||
0.400%, 12/09/11 | 100 | 100 | ||||||
Total U.S. Government Agency Obligation |
| 100 | ||||||
CASH EQUIVALENT — 3.9% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | ||||||||
0.120%*† | 5,358,206 | 5,358 | ||||||
Total Cash Equivalent |
| 5,358 | ||||||
AFFILIATED PARTNERSHIP — 54.8% |
| |||||||
SEI LIBOR Plus Portfolio† | 11,056,214 | 76,177 | ||||||
Total Affiliated Partnership |
| 76,177 | ||||||
Total Investments — 90.8% |
| $ | 126,119 | |||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (9 | ) | Mar-2011 | $ | (4 | ) | ||||||
U.S. 2-Year Treasury Note | (2 | ) | Apr-2011 | — | ||||||||
U.S. 5-Year Treasury Note | 7 | Apr-2011 | 1 | |||||||||
U.S. Long Treasury Bond | (1 | ) | Mar-2011 | — | ||||||||
$ | (3 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $138,935 ($ Thousands)
* | Rate shown is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(C) | Security in default on interest payments. |
(D) | Securities considered illiquid and restricted. The total value of such securities as of November 30, 2010 was $0 ($ Thousands) and represented 0.0% of net assets. |
(E) | Unsettled Loan Participation. Interest rate not available. |
Cl — Class
FHLB — Federal Home Loan Bank
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
Ser — Series
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Loan Participations | $ | — | $ | 31,249 | $ | — | $ | 31,249 | ||||||||
Corporate Obligations | — | 5,989 | — | 5,989 | ||||||||||||
Mortgage-Backed Securities | — | 3,774 | — | 3,774 | ||||||||||||
Asset-Backed Securities | — | 2,468 | — | 2,468 | ||||||||||||
U.S. Treasury Obligation | — | 1,004 | — | 1,004 | ||||||||||||
U.S. Government Agency Obligation | — | 100 | — | 100 | ||||||||||||
Cash Equivalent | 5,358 | — | — | 5,358 | ||||||||||||
Affiliated Partnership | 76,177 | — | — | 76,177 | ||||||||||||
Total Investments in Securities | $ | 81,535 | $ | 44,584 | $ | — | $ | 126,119 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (3 | ) | $ | — | $ | — | $ | (3 | ) | ||||||
Total Other Financial Instruments | $ | (3 | ) | $ | — | $ | — | $ | (3 | ) | ||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 48.8% |
| |||||||
Agency Mortgage-Backed Obligations — 35.4% |
| |||||||
FHLB CMO, Ser 2007-1067, Cl 1 | ||||||||
5.300%, 06/15/12 | $ | 620 | $ | 652 | ||||
FHLMC | ||||||||
11.000%, 02/17/21 | 1,830 | 2,032 | ||||||
10.000%, 03/17/26 to 10/01/30 | 3,536 | 4,179 | ||||||
7.500%, 08/01/30 to 09/01/38 | 2,825 | 3,251 | ||||||
7.000%, 11/01/15 to 09/01/25 | 147 | 167 | ||||||
6.500%, 06/01/17 to 08/01/38 | 17,471 | 19,509 | ||||||
6.000%, 03/01/20 to 08/01/38 | 49,189 | 54,018 | ||||||
5.625%, 02/17/21 | 1,620 | 1,753 | ||||||
5.500%, 12/01/13 to 12/01/37 | 101,908 | 110,810 | ||||||
5.125%, 11/17/17 | 5,000 | 5,846 | ||||||
5.000%, 04/18/17 to 08/01/40 | 37,399 | 46,136 | ||||||
4.500%, 10/01/30 to 04/01/41 | 11,346 | 9,576 | ||||||
4.000%, 10/01/33 to 09/01/40 | 24,044 | 24,501 | ||||||
2.875%, 02/09/15 | 3,390 | 3,599 | ||||||
0.875%, 10/28/13 (A) | 5,950 | 5,951 | ||||||
0.411%, 02/03/12 (B) | 14,170 | 14,174 | ||||||
1.190%, 04/01/11 (C) | 10,000 | 9,995 | ||||||
FHLMC TBA | ||||||||
5.500%, 12/01/36 | 13,600 | 14,569 | ||||||
4.500%, 12/01/34 | 26,000 | 26,995 | ||||||
4.500%, 04/01/41 | 2,200 | 2,285 | ||||||
4.000%, 12/15/40 | 500 | 507 | ||||||
3.500%, 12/15/25 | 30,495 | 31,182 | ||||||
FHLMC ARM (B) | ||||||||
6.703%, 08/01/36 | 1,639 | 1,734 | ||||||
6.627%, 07/01/36 | 920 | 969 | ||||||
6.580%, 08/01/36 | 659 | 700 | ||||||
6.481%, 11/01/37 | 349 | 377 | ||||||
6.414%, 02/01/37 | 565 | 607 | ||||||
6.410%, 12/01/36 | 850 | 913 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.341%, 12/01/36 | $ | 1,356 | $ | 1,441 | ||||
6.329%, 10/01/36 | 432 | 459 | ||||||
6.297%, 10/01/36 | 1,670 | 1,773 | ||||||
6.280%, 09/01/36 | 5,780 | 6,101 | ||||||
6.248%, 09/01/36 | 538 | 567 | ||||||
6.219%, 02/01/37 | 1,616 | 1,723 | ||||||
6.193%, 03/01/37 | 577 | 612 | ||||||
6.179%, 09/01/36 | 456 | 491 | ||||||
6.172%, 12/01/36 | 900 | 955 | ||||||
6.132%, 05/01/37 | 808 | 863 | ||||||
6.114%, 06/01/37 | 415 | 448 | ||||||
6.104%, 12/01/36 | 455 | 480 | ||||||
6.086%, 01/01/37 | 2,252 | 2,393 | ||||||
6.052%, 10/01/37 | 2,081 | 2,204 | ||||||
6.034%, 12/01/36 | 1,576 | 1,673 | ||||||
6.023%, 10/01/36 | 1,140 | 1,203 | ||||||
6.000%, 10/01/37 | 2,229 | 2,403 | ||||||
5.977%, 06/01/38 | 2,493 | 2,683 | ||||||
5.962%, 03/01/37 | 1,182 | 1,255 | ||||||
5.948%, 01/01/37 | 511 | 550 | ||||||
5.939%, 11/01/36 | 315 | 334 | ||||||
5.934%, 02/01/37 | 356 | 378 | ||||||
5.927%, 04/01/37 | 382 | 410 | ||||||
5.904%, 03/01/37 | 314 | 338 | ||||||
5.872%, 07/01/37 | 670 | 721 | ||||||
5.868%, 05/01/37 | 283 | 300 | ||||||
5.864%, 04/01/37 | 1,425 | 1,513 | ||||||
5.858%, 05/01/37 | 4,661 | 4,969 | ||||||
5.845%, 11/01/37 | 11 | 12 | ||||||
5.844%, 05/01/36 | 968 | 1,012 | ||||||
5.838%, 08/01/37 | 1,109 | 1,182 | ||||||
5.816%, 11/01/36 | 708 | 752 | ||||||
5.792%, 05/01/37 | 305 | 326 | ||||||
5.787%, 11/01/38 | 621 | 668 | ||||||
5.768%, 07/01/38 | 3,049 | 3,281 | ||||||
5.741%, 09/01/36 | 1,332 | 1,395 | ||||||
5.735%, 05/01/37 | 1,993 | 2,116 | ||||||
5.733%, 05/01/37 | 867 | 918 | ||||||
5.727%, 06/01/37 | 1,027 | 1,103 | ||||||
5.694%, 04/01/37 | 808 | 862 | ||||||
5.691%, 03/01/36 | 891 | 956 | ||||||
5.675%, 03/01/36 | 1,386 | 1,485 | ||||||
5.652%, 04/01/38 | 334 | 354 | ||||||
5.602%, 05/01/37 | 675 | 717 | ||||||
5.596%, 04/01/37 | 254 | 269 | ||||||
5.580%, 10/01/38 | 710 | 760 | ||||||
5.544%, 05/01/36 | 684 | 724 | ||||||
5.522%, 05/01/36 | 1,528 | 1,632 | ||||||
5.514%, 10/01/36 | 2,332 | 2,453 | ||||||
5.477%, 08/01/37 | 2,464 | 2,620 | ||||||
5.305%, 05/01/38 | 997 | 1,057 | ||||||
5.121%, 01/01/36 | 3,287 | 3,493 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/19 | 23 | 26 |
32 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 1991-1142, Cl IA | ||||||||
7.000%, 10/15/21 | $ | 345 | $ | 396 | ||||
FHLMC CMO, Ser 1993-1611, Cl Z | ||||||||
6.500%, 11/15/23 | 11,239 | 12,664 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | 1,363 | 1,542 | ||||||
FHLMC CMO, Ser 1998-2075, Cl D | ||||||||
6.500%, 08/15/28 | 1,521 | 1,623 | ||||||
FHLMC CMO, Ser 1999-2138, Cl KS, IO | ||||||||
7.447%, 02/15/29 (B) | 1,697 | 206 | ||||||
FHLMC CMO, Ser 2001-2293, Cl ZA | ||||||||
6.000%, 03/15/31 | 1,716 | 1,900 | ||||||
FHLMC CMO, Ser 2001-2312, Cl Z | ||||||||
6.500%, 05/15/31 | 1,069 | 1,209 | ||||||
FHLMC CMO, Ser 2001-2357, Cl ZJ | ||||||||
6.500%, 09/15/31 | 267 | 296 | ||||||
FHLMC CMO, Ser 2002-2434, Cl ZA | ||||||||
6.500%, 04/15/32 | 2,859 | 3,235 | ||||||
FHLMC CMO, Ser 2002-2456, Cl CJ | ||||||||
6.500%, 06/15/32 | 820 | 914 | ||||||
FHLMC CMO, Ser 2002-2458, Cl ZM | ||||||||
6.500%, 06/15/32 | 1,472 | 1,640 | ||||||
FHLMC CMO, Ser 2002-2479, Cl PG | ||||||||
6.000%, 08/15/32 | 2,357 | 2,597 | ||||||
FHLMC CMO, Ser 2002-41, Cl 2A | ||||||||
6.812%, 07/25/32 (B) | 836 | 948 | ||||||
FHLMC CMO, Ser 2002-42, Cl A5 | ||||||||
7.500%, 02/25/42 | 1,168 | 1,368 | ||||||
FHLMC CMO, Ser 2003-2558, Cl BD | ||||||||
5.000%, 01/15/18 | 4,137 | 4,525 | ||||||
FHLMC CMO, Ser 2003-2587, Cl CO, PO | ||||||||
0.000%, 03/15/32 | 808 | 796 | ||||||
FHLMC CMO, Ser 2003-2590, Cl BY | ||||||||
5.000%, 03/15/18 | 1,346 | 1,475 | ||||||
FHLMC CMO, Ser 2003-2591, Cl QO | ||||||||
4.500%, 03/15/18 | 1,000 | 1,083 | ||||||
FHLMC CMO, Ser 2003-2631, Cl SA | ||||||||
14.385%, 06/15/33 (B) | 737 | 834 | ||||||
FHLMC CMO, Ser 2003-2671, Cl S | ||||||||
14.294%, 09/15/33 (B) | 704 | 793 | ||||||
FHLMC CMO, Ser 2003-2676, Cl CY | ||||||||
4.000%, 09/15/18 | 2,291 | 2,443 | ||||||
FHLMC CMO, Ser 2003-2684, Cl SN | ||||||||
26.983%, 10/15/33 (B) | 121 | 131 | ||||||
FHLMC CMO, Ser 2003-2690, Cl SJ | ||||||||
8.770%, 10/15/33 (B) | 580 | 570 | ||||||
FHLMC CMO, Ser 2003-2691, Cl SE | ||||||||
9.188%, 12/15/28 (B) | 439 | 450 | ||||||
FHLMC CMO, Ser 2003-2694, Cl QG | ||||||||
4.500%, 01/15/29 | 270 | 278 | ||||||
FHLMC CMO, Ser 2003-2695, Cl OB, PO | ||||||||
0.000%, 10/15/33 | 246 | 202 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2003-2695, Cl SX | ||||||||
15.929%, 10/15/33 (B) | $ | 256 | $ | 270 | ||||
FHLMC CMO, Ser 2003-2698, Cl SV | ||||||||
8.620%, 11/15/33 (B) | 248 | 244 | ||||||
FHLMC CMO, Ser 2003-2725, Cl SC | ||||||||
8.689%, 11/15/33 (B) | 322 | 313 | ||||||
FHLMC CMO, Ser 2003-2725, CI OP, PO | ||||||||
0.000%, 10/15/33 | 249 | 228 | ||||||
FHLMC CMO, Ser 2003-54, Cl 2A | ||||||||
6.500%, 02/25/43 | 626 | 718 | ||||||
FHLMC CMO, Ser 2003-54, Cl 3A | ||||||||
7.000%, 02/25/43 | 773 | 901 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A1 | ||||||||
6.500%, 07/25/43 | 736 | �� | 845 | |||||
FHLMC CMO, Ser 2003-58, Cl 4A | ||||||||
7.500%, 09/25/43 | 937 | 1,114 | ||||||
FHLMC CMO, Ser 2004-2727, Cl PW | ||||||||
3.570%, 06/15/29 | 213 | 217 | ||||||
FHLMC CMO, Ser 2004-2754, Cl JG | ||||||||
4.500%, 03/15/33 | 390 | 394 | ||||||
FHLMC CMO, Ser 2004-2777, CI KO, PO | ||||||||
0.000%, 02/15/33 | 1,000 | 952 | ||||||
FHLMC CMO, Ser 2004-2778, Cl JD | ||||||||
5.000%, 12/15/32 | 1,974 | 2,134 | ||||||
FHLMC CMO, Ser 2004-2812, Cl NO, PO | ||||||||
0.000%, 10/15/33 | 371 | 310 | ||||||
FHLMC CMO, Ser 2004-2827, Cl CS | ||||||||
15.803%, 04/15/32 (B) | 102 | 109 | ||||||
FHLMC CMO, Ser 2004-2833, Cl KO, PO | ||||||||
0.000%, 08/15/34 | 72 | 72 | ||||||
FHLMC CMO, Ser 2004-2835, CI BO, PO | ||||||||
0.000%, 12/15/28 | 359 | 350 | ||||||
FHLMC CMO, Ser 2004-2843, Cl BC | ||||||||
5.000%, 08/15/19 | 1,740 | 1,911 | ||||||
FHLMC CMO, Ser 2004-2864, Cl NB | ||||||||
5.500%, 07/15/33 | 2,000 | 2,246 | ||||||
FHLMC CMO, Ser 2004-2865, Cl GO, PO | ||||||||
0.000%, 10/15/33 | 229 | 222 | ||||||
FHLMC CMO, Ser 2004-2897, Cl EO, PO | ||||||||
0.000%, 10/15/31 | 351 | 309 | ||||||
FHLMC CMO, Ser 2004-2903, Cl UZ | ||||||||
5.500%, 07/15/31 | 328 | 339 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A2 | ||||||||
7.000%, 03/25/44 | 723 | 835 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.838%, 03/15/20 (B) | 2,719 | 3,067 | ||||||
FHLMC CMO, Ser 2005-2950, Cl JO, PO | ||||||||
0.000%, 03/15/20 | 492 | 468 | ||||||
FHLMC CMO, Ser 2005-2981, Cl FA | ||||||||
0.653%, 05/15/35 (B) | 833 | 832 | ||||||
FHLMC CMO, Ser 2005-2990, Cl LK | ||||||||
0.623%, 10/15/34 (B) | 841 | 843 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2005-2991, Cl EG | ||||||||
5.500%, 11/15/34 | $ | 1,584 | $ | 1,707 | ||||
FHLMC CMO, Ser 2005-3001, Cl HP | ||||||||
20.986%, 05/15/35 (B) | 142 | 190 | ||||||
FHLMC CMO, Ser 2005-3006, Cl QS | ||||||||
19.460%, 07/15/35 (B) | 814 | 1,077 | ||||||
FHLMC CMO, Ser 2005-3012, Cl GK | ||||||||
23.610%, 06/15/35 (B) | 134 | 185 | ||||||
FHLMC CMO, Ser 2005-3028, Cl PG | ||||||||
5.500%, 09/15/35 | 359 | 391 | ||||||
FHLMC CMO, Ser 2005-3035, Cl PA | ||||||||
5.500%, 09/15/35 | 2,708 | 3,001 | ||||||
FHLMC CMO, Ser 2005-3049, Cl XF | ||||||||
0.603%, 05/15/33 (B) | 1,019 | 1,022 | ||||||
FHLMC CMO, Ser 2005-3052, Cl MH | ||||||||
5.250%, 10/15/34 | 2,695 | 2,931 | ||||||
FHLMC CMO, Ser 2005-3077, CI TO, PO | ||||||||
0.000%, 04/15/35 | 605 | 518 | ||||||
FHLMC CMO, Ser 2006-3100, CI PO, PO | ||||||||
0.000%, 01/15/36 | 1,027 | 897 | ||||||
FHLMC CMO, Ser 2006-3102, Cl FB | ||||||||
0.553%, 01/15/36 (B) | 622 | 622 | ||||||
FHLMC CMO, Ser 2006-3137, Cl XP | ||||||||
6.000%, 04/15/36 | 1,111 | 1,249 | ||||||
FHLMC CMO, Ser 2006-3151, CI PO, PO | ||||||||
0.000%, 05/15/36 | 649 | 553 | ||||||
FHLMC CMO, Ser 2006-3195, Cl PD | ||||||||
6.500%, 07/15/36 | 2,500 | 2,854 | ||||||
FHLMC CMO, Ser 2006-3200, Cl AY | ||||||||
5.500%, 08/15/36 | 1,000 | 1,104 | ||||||
FHLMC CMO, Ser 2006-3202, Cl HI, IO | ||||||||
6.397%, 08/15/36 (B) | 1,247 | 203 | ||||||
FHLMC CMO, Ser 2006-3217, Cl CX, IO | ||||||||
6.337%, 09/15/36 (B) | 1,003 | 153 | ||||||
FHLMC CMO, Ser 2007-3262, Cl SG, IO | ||||||||
6.147%, 01/15/37 (B) | 1,437 | 205 | ||||||
FHLMC CMO, Ser 2007-3263, Cl WE | ||||||||
0.000%, 08/15/35 (B) | 37 | 36 | ||||||
FHLMC CMO, Ser 2007-3312, Cl BP | ||||||||
5.500%, 01/15/31 | 300 | 317 | ||||||
FHLMC CMO, Ser 2007-3342, Cl VG | ||||||||
6.000%, 11/15/23 | 1,000 | 1,131 | ||||||
FHLMC CMO, Ser 2007-3346, Cl FA | ||||||||
0.483%, 02/15/19 (B) | 14,613 | 14,618 | ||||||
FHLMC CMO, Ser 2007-3347, CI PO, PO | ||||||||
0.000%, 07/15/37 | 175 | 173 | ||||||
FHLMC CMO, Ser 2007-3373, Cl TO, PO | ||||||||
0.000%, 04/15/37 | 338 | 297 | ||||||
FHLMC CMO, Ser 2007-3383, Cl SA, IO | ||||||||
6.197%, 11/15/37 (B) | 1,303 | 172 | ||||||
FHLMC CMO, Ser 2007-3385, CI SN, IO | ||||||||
5.747%, 11/15/37 (B) | 1,975 | 205 | ||||||
FHLMC CMO, Ser 2007-3387, Cl SA, IO | ||||||||
6.167%, 11/15/37 (B) | 951 | 133 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2007-76, Cl 2A | ||||||||
4.781%, 10/25/37 (B) | $ | 1,487 | $ | 1,541 | ||||
FHLMC CMO, Ser 2008-3422, Cl SE | ||||||||
16.816%, 02/15/38 (B) | 248 | 307 | ||||||
FHLMC CMO, Ser 2008-3437, Cl AI, IO | ||||||||
1.335%, 09/15/11 | 1,727 | 13 | ||||||
FHLMC CMO, Ser 2008-3451, CI SA, IO | ||||||||
5.797%, 05/15/38 (B) | 1,930 | 206 | ||||||
FHLMC CMO, Ser 2008-3455, Cl SE, IO | ||||||||
5.947%, 06/15/38 (B) | 3,859 | 471 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/38 | 578 | 655 | ||||||
FHLMC CMO, Ser 2009-3515, | ||||||||
5.500%, 07/15/37 | 1,215 | 162 | ||||||
FHLMC CMO, Ser 2009-3523, Cl SD | ||||||||
18.966%, 06/15/36 (B) | 817 | 995 | ||||||
FHLMC CMO, Ser 2009-3546, Cl A | ||||||||
5.974%, 02/15/39 (B) | 542 | 577 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 2,406 | 2,557 | ||||||
FHLMC CMO, Ser 2009-3607, CI TO, PO | ||||||||
0.000%, 10/15/39 | 794 | 691 | ||||||
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO | ||||||||
0.000%, 04/15/36 | 500 | 373 | ||||||
FHLMC CMO, Ser 2009-3608, CI SC, IO | ||||||||
5.997%, 12/15/39 (B) | 3,650 | 451 | ||||||
FHLMC CMO, Ser 2009-3611, Cl PO, PO | ||||||||
0.000%, 07/15/34 | 755 | 690 | ||||||
FHLMC CMO, Ser 2010-3626, Cl MA | ||||||||
5.000%, 02/15/30 | 12,951 | 13,811 | ||||||
FHLMC CMO, Ser 2010-3631, Cl PA | ||||||||
4.000%, 02/15/40 | 4,787 | 5,091 | ||||||
FHLMC CMO, Ser 2010-3632, Cl BS | ||||||||
16.655%, 02/15/40 (B) | 400 | 540 | ||||||
FHLMC CMO, Ser 2010-3652, Cl AP | ||||||||
4.500%, 03/15/40 | 9,851 | 10,543 | ||||||
FHLMC CMO, Ser 2010-3659, Cl VE | ||||||||
5.000%, 03/15/26 | 3,902 | 4,310 | ||||||
FHLMC CMO, Ser 2010-3680, Cl MA | ||||||||
4.500%, 07/15/39 | 1,978 | 2,123 | ||||||
FHLMC CMO, Ser 2010-3688, Cl NI, IO | ||||||||
5.000%, 04/15/32 | 2,900 | 358 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/36 | 2,911 | 3,285 | ||||||
FHLMC CMO, Ser 2010-3704, Cl DT | ||||||||
7.500%, 11/15/36 | 981 | 1,117 | ||||||
FHLMC CMO, Ser 2010-3714, CI IP, IO | ||||||||
5.000%, 08/15/40 | 1,981 | 337 | ||||||
FHLMC CMO, Ser 2010-3738, Cl BP | ||||||||
4.000%, 12/15/38 | 500 | 524 | ||||||
FHLMC CMO, Ser 2010-3740, CI SC, IO | ||||||||
5.747%, 10/15/40 (B) | 1,997 | 279 |
34 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, | ||||||||
4.768%, 05/25/18 | $ | 2,824 | $ | 3,083 | ||||
FHLMC Multifamily Structured Pass Through Certificates CMO, | ||||||||
4.317%, 11/25/19 | 2,849 | 3,010 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, | ||||||||
3.342%, 12/25/19 | 2,802 | 2,905 | ||||||
FHLMC Multifamily Structured Pass Through Certificates CMO, | ||||||||
2.746%, 12/25/19 | 3,555 | 3,579 | ||||||
FHLMC REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/36 | 1,178 | 1,350 | ||||||
FHLMC STRIP CMO, | ||||||||
7.447%, 08/15/36 (B) | 4,634 | 618 | ||||||
FHLMC-GNMA CMO, Ser 1993-21, Cl L | ||||||||
6.250%, 10/25/23 | 862 | 928 | ||||||
FNMA | ||||||||
8.000%, 04/01/15 to 11/01/37 | 1,356 | 1,538 | ||||||
7.500%, 06/01/30 to 04/01/39 | 4,048 | 4,625 | ||||||
7.000%, 12/01/15 to 01/01/39 | 12,037 | 13,687 | ||||||
6.500%, 05/01/17 to 07/01/39 | 39,905 | 44,653 | ||||||
6.000%, 03/01/19 to 11/01/48 | 210,718 | 231,730 | ||||||
5.500%, 04/01/14 to 05/01/39 | 153,896 | 166,793 | ||||||
5.000%, 02/01/20 to 08/01/40 | 42,444 | 45,285 | ||||||
4.500%, 07/01/20 to 04/01/41 | 83,447 | 87,892 | ||||||
4.000%, 04/01/19 to 04/01/41 | 30,392 | 31,048 | ||||||
3.500%, 07/01/25 to 03/01/41 | 8,132 | 8,336 | ||||||
FNMA TBA | ||||||||
6.000%, 12/01/37 to 01/01/38 | 24,200 | 26,289 | ||||||
5.500%, 12/01/27 to 01/01/38 | 79,700 | 85,487 | ||||||
5.000%, 01/01/38 | 600 | 635 | ||||||
4.500%, 02/01/34 to 03/15/39 | 26,200 | 27,043 | ||||||
4.000%, 11/15/34 to 12/14/39 | 52,300 | 53,063 | ||||||
3.500%, 12/25/25 to 02/01/41 | 90,535 | 90,826 | ||||||
3.000%, 01/16/26 to 02/01/26 | 37,000 | 36,729 | ||||||
FNMA ARM (B) | ||||||||
6.611%, 09/01/36 | 440 | 469 | ||||||
6.565%, 01/01/37 | 1,010 | 1,095 | ||||||
6.338%, 10/01/36 | 535 | 578 | ||||||
6.333%, 02/01/37 | 719 | 767 | ||||||
6.296%, 09/01/36 | 354 | 376 | ||||||
6.266%, 09/01/37 | 5,395 | 5,855 | ||||||
6.239%, 10/01/36 | 534 | 566 | ||||||
6.212%, 06/01/36 | 1,465 | 1,540 | ||||||
6.179%, 08/01/36 | 373 | 403 | ||||||
6.136%, 11/01/37 | 1,148 | 1,219 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.129%, 09/01/36 | $ | 1,453 | $ | 1,562 | ||||
6.111%, 07/01/37 | 482 | 514 | ||||||
6.074%, 11/01/37 | 624 | 673 | ||||||
6.052%, 10/01/37 | 902 | 972 | ||||||
6.046%, 10/01/37 | 374 | 403 | ||||||
6.042%, 09/01/37 | 324 | 350 | ||||||
6.034%, 08/01/36 | 547 | 578 | ||||||
6.017%, 12/01/36 | 675 | 728 | ||||||
6.002%, 09/01/37 | 1,016 | 1,084 | ||||||
6.001%, 07/01/37 | 783 | 843 | ||||||
5.981%, 05/01/36 | 498 | 520 | ||||||
5.945%, 07/01/37 | 1,185 | 1,258 | ||||||
5.939%, 10/01/36 | 449 | 475 | ||||||
5.935%, 03/01/37 | 796 | 856 | ||||||
5.928%, 07/01/37 | 1,330 | 1,432 | ||||||
5.927%, 09/01/37 | 173 | 185 | ||||||
5.920%, 01/01/37 | 1,414 | 1,522 | ||||||
5.915%, 09/01/37 | 605 | 653 | ||||||
5.903%, 07/01/36 | 980 | 1,039 | ||||||
5.902%, 06/01/36 | 689 | 723 | ||||||
5.887%, 01/01/37 | 1,093 | 1,176 | ||||||
5.878%, 04/01/37 | 950 | 1,023 | ||||||
5.869%, 10/01/36 | 2,062 | 2,184 | ||||||
5.862%, 11/01/36 | 1,204 | 1,279 | ||||||
5.845%, 02/01/37 | 818 | 881 | ||||||
5.832%, 12/01/36 | 1,559 | 1,653 | ||||||
5.735%, 02/01/37 | 998 | 1,060 | ||||||
5.696%, 01/01/23 | 1,129 | 1,212 | ||||||
5.692%, 11/01/36 | 985 | 1,040 | ||||||
5.689%, 04/01/37 | 874 | 928 | ||||||
5.676%, 10/01/37 | 655 | 703 | ||||||
5.662%, 05/01/37 | 2,952 | 3,131 | ||||||
5.660%, 03/01/37 | 8,585 | 9,166 | ||||||
5.611%, 06/01/36 | 1,745 | 1,833 | ||||||
5.523%, 02/01/39 | 1,779 | 1,910 | ||||||
5.512%, 07/01/37 | 447 | 475 | ||||||
5.434%, 11/01/37 | 612 | 650 | ||||||
FNMA CMO, Ser 1991-113, Cl ZE | ||||||||
7.500%, 09/25/21 | 323 | 386 | ||||||
FNMA CMO, Ser 1992-143, Cl M | ||||||||
8.000%, 09/25/22 | 835 | 1,010 | ||||||
FNMA CMO, Ser 1992-41, Cl MA | ||||||||
8.000%, 08/25/22 | 1,010 | 1,223 | ||||||
FNMA CMO, Ser 1992-69, Cl Z | ||||||||
8.000%, 05/25/22 | 723 | 875 | ||||||
FNMA CMO, Ser 1992-96, Cl B, PO | ||||||||
0.000%, 05/25/22 | 1 | 1 | ||||||
FNMA CMO, Ser 1993-149, Cl SH | ||||||||
11.500%, 08/25/23 (B) | 310 | 370 | ||||||
FNMA CMO, Ser 1993-75, Cl ZQ | ||||||||
6.500%, 05/25/23 | 1,316 | 1,470 | ||||||
FNMA CMO, Ser 1993-99, Cl Z | ||||||||
7.000%, 07/25/23 | 1,664 | 1,964 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 1994-31, Cl ZC | ||||||||
6.500%, 02/25/24 | $ | 1,106 | $ | 1,244 | ||||
FNMA CMO, Ser 1994-63, Cl PK | ||||||||
7.000%, 04/25/24 | 1,008 | 1,143 | ||||||
FNMA CMO, Ser 1997-32, Cl PG | ||||||||
6.500%, 04/25/27 | 770 | 884 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 1,660 | 1,800 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/23 | 311 | 277 | ||||||
FNMA CMO, Ser 2001-50, Cl BA | ||||||||
7.000%, 10/25/41 | 862 | 969 | ||||||
FNMA CMO, Ser 2001-71, Cl QE | ||||||||
6.000%, 12/25/16 | 1,388 | 1,499 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/45 | 615 | 702 | ||||||
FNMA CMO, Ser 2001-81, Cl HE | ||||||||
6.500%, 01/25/32 | 12,926 | 14,591 | ||||||
FNMA CMO, Ser 2002-10, Cl SB | ||||||||
18.592%, 03/25/17 (B) | 158 | 202 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
0.000%, 04/25/32 | 357 | 347 | ||||||
FNMA CMO, Ser 2002-90, Cl A1 | ||||||||
6.500%, 06/25/42 | 832 | 954 | ||||||
FNMA CMO, Ser 2002-94, Cl HQ | ||||||||
4.500%, 01/25/18 | 2,400 | 2,560 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.693%, 01/25/34 (B) | 829 | 996 | ||||||
FNMA CMO, Ser 2003-23, Cl Q0, PO | ||||||||
0.000%, 01/25/32 | 660 | 644 | ||||||
FNMA CMO, Ser 2003-24, Cl MV | ||||||||
5.500%, 02/25/14 | 1,065 | 1,149 | ||||||
FNMA CMO, Ser 2003-30, Cl HS, IO | ||||||||
7.397%, 07/25/17 (B) | 1,232 | 82 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/33 | 761 | 678 | ||||||
FNMA CMO, Ser 2003-49, Cl YD | ||||||||
5.500%, 06/25/23 | 1,130 | 1,226 | ||||||
FNMA CMO, Ser 2003-91, Cl XT | ||||||||
4.500%, 12/25/17 | 744 | 753 | ||||||
FNMA CMO, Ser 2004-101, Cl HD | ||||||||
5.000%, 01/25/20 | 2,500 | 2,757 | ||||||
FNMA CMO, Ser 2004-17, Cl H | ||||||||
5.500%, 04/25/34 | 997 | 1,023 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/34 | 776 | 702 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
0.000%, 09/25/32 | 327 | 315 | ||||||
FNMA CMO, Ser 2004-60, Cl PA | ||||||||
5.500%, 04/25/34 | 1,237 | 1,351 | ||||||
FNMA CMO, Ser 2004-61, Cl CO, PO | ||||||||
0.000%, 10/25/31 | 286 | 283 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.637%, 11/25/35 (B) | 1,229 | 1,836 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2005-123, Cl FG | ||||||||
0.703%, 07/25/34 (B) | $ | 701 | $ | 700 | ||||
FNMA CMO, Ser 2005-14, Cl BD | ||||||||
4.500%, 03/25/20 | 1,250 | 1,330 | ||||||
FNMA CMO, Ser 2005-14, Cl BA | ||||||||
4.500%, 04/25/19 | 1,366 | 1,420 | ||||||
FNMA CMO, Ser 2005-45, Cl BG | ||||||||
4.500%, 06/25/25 | 425 | 429 | ||||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||||
5.500%, 07/25/35 | 3,309 | 3,722 | ||||||
FNMA CMO, Ser 2005-64, Cl PL | ||||||||
5.500%, 07/25/35 | 1,909 | 2,155 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.241%, 08/25/35 (B) | 727 | 900 | ||||||
FNMA CMO, Ser 2005-74, Cl SK | ||||||||
19.433%, 05/25/35 (B) | 490 | 677 | ||||||
FNMA CMO, Ser 2005-74, Cl CS | ||||||||
19.323%, 05/25/35 (B) | 640 | 841 | ||||||
FNMA CMO, Ser 2005-88, Cl QO, PO | ||||||||
0.000%, 11/25/33 | 281 | 272 | ||||||
FNMA CMO, Ser 2005-90, Cl PO, PO | ||||||||
0.000%, 09/25/35 | 425 | 382 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.241%, 10/25/35 (B) | 478 | 598 | ||||||
FNMA CMO, Ser 2005-96, Cl BP | ||||||||
5.900%, 02/25/15 | 281 | 282 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.397%, 12/25/36 (B) | 1,176 | 136 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.313%, 12/25/36 (B) | 1,206 | 1,192 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/36 | 498 | 416 | ||||||
FNMA CMO, Ser 2006-23, Cl FK | ||||||||
0.503%, 04/25/36 (B) | 574 | 573 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/36 | 639 | 564 | ||||||
FNMA CMO, Ser 2006-3, Cl D0, PO | ||||||||
0.000%, 03/25/36 | 676 | 560 | ||||||
FNMA CMO, Ser 2006-33, Cl LS | ||||||||
29.010%, 05/25/36 (B) | 471 | 721 | ||||||
FNMA CMO, Ser 2006-43, Cl VB | ||||||||
6.500%, 10/25/17 | 687 | 749 | ||||||
FNMA CMO, Ser 2006-44, Cl FP | ||||||||
0.653%, 06/25/36 (B) | 800 | 804 | ||||||
FNMA CMO, Ser 2006-44, Cl P, PO | ||||||||
0.000%, 12/25/33 | 433 | 384 | ||||||
FNMA CMO, Ser 2006-46, Cl SW | ||||||||
23.270%, 06/25/36 (B) | 590 | 824 | ||||||
FNMA CMO, Ser 2006-59, Cl CO, PO | ||||||||
0.000%, 08/25/35 | 179 | 174 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
0.000%, 07/25/36 | 1,112 | 970 | ||||||
FNMA CMO, Ser 2006-60, CI A2, PO | ||||||||
0.000%, 04/25/35 | 783 | 717 |
36 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/36 | $ | 865 | $ | 1,071 | ||||
FNMA CMO, Ser 2006-75, Cl VD | ||||||||
6.500%, 05/25/17 | 1,352 | 1,428 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/36 | 662 | 769 | ||||||
FNMA CMO, Ser 2006-94, CI GI, IO | ||||||||
6.397%, 10/25/26 (B) | 1,897 | 240 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.197%, 10/25/37 (B) | 3,112 | 415 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.503%, 06/27/36 (B) | 2,766 | 2,747 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.197%, 12/25/37 (B) | 1,823 | 256 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.453%, 10/27/37 (B) | 2,000 | 1,996 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/35 | 4,567 | 5,131 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
6.348%, 01/25/38 (B) | 2,512 | 154 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.822%, 04/25/37 (B) | 411 | 553 | ||||||
FNMA CMO, Ser 2007-30, Cl MA | ||||||||
4.250%, 02/25/37 | 1,063 | 1,121 | ||||||
FNMA CMO, Ser 2007-43, Cl FL | ||||||||
0.553%, 05/25/37 (B) | 478 | 478 | ||||||
FNMA CMO, Ser 2007-53, Cl SH, IO | ||||||||
5.847%, 06/25/37 (B) | 2,352 | 300 | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.653%, 06/25/37 (B) | 2,094 | 2,104 | ||||||
FNMA CMO, Ser 2007-60, Cl AX, IO | ||||||||
6.897%, 07/25/37 (B) | 2,817 | 460 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.367%, 07/25/37 (B) | 3,267 | 369 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.147%, 07/25/37 (B) | 2,781 | 365 | ||||||
FNMA CMO, Ser 2007-74, CI A | ||||||||
5.000%, 04/25/34 | 77 | 81 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
0.000%, 01/25/36 | 1,019 | 972 | ||||||
FNMA CMO, Ser 2007-79, Cl SB | ||||||||
23.087%, 08/25/37 (B) | 230 | 328 | ||||||
FNMA CMO, Ser 2007-92, Cl YS, IO | ||||||||
5.527%, 06/25/37 (B) | 2,295 | 290 | ||||||
FNMA CMO, Ser 2008-1, Cl BI, IO | ||||||||
5.657%, 02/25/38 (B) | 2,687 | 314 | ||||||
FNMA CMO, Ser 2008-20, Cl SA, IO | ||||||||
6.737%, 03/25/38 (B) | 1,450 | 212 | ||||||
FNMA CMO, Ser 2008-22, Cl IO, IO | ||||||||
6.177%, 03/25/37 (B) | 20,529 | 2,702 | ||||||
FNMA CMO, Ser 2008-24, Cl DY | ||||||||
5.000%, 04/25/23 | 1,500 | 1,657 | ||||||
FNMA CMO, Ser 2008-24, Cl PF | ||||||||
0.903%, 02/25/38 (B) | 762 | 770 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2008-32, Cl SA, IO | ||||||||
6.597%, 04/25/38 (B) | $ | 1,256 | $ | 163 | ||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/16 (B) | 2,569 | 32 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.747%, 02/25/38 (B) | 4,117 | 553 | ||||||
FNMA CMO, Ser 2008-53, Cl CA | ||||||||
5.000%, 07/25/23 | 3,500 | 3,851 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/24 | 643 | 712 | ||||||
FNMA CMO, Ser 2009-100, Cl PN | ||||||||
5.000%, 11/25/39 | 3,871 | 4,211 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/39 | 1,320 | 1,394 | ||||||
FNMA CMO, Ser 2009-110, Cl DA | ||||||||
4.500%, 01/25/40 | 2,789 | 2,955 | ||||||
FNMA CMO, Ser 2009-17, CI QS, IO | ||||||||
6.397%, 03/25/39 (B) | 1,494 | 202 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/39 | 1,589 | 239 | ||||||
FNMA CMO, Ser 2009-71, Cl JT | ||||||||
6.000%, 06/25/36 | 4,155 | 4,583 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 4,707 | 5,058 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.647%, 10/25/39 (B) | 1,886 | 196 | ||||||
FNMA CMO, Ser 2009-86, CI IP, IO | ||||||||
5.500%, 10/25/39 | 1,394 | 203 | ||||||
FNMA CMO, Ser 2009-86, CI UI, IO | ||||||||
4.000%, 10/25/14 | 3,075 | 228 | ||||||
FNMA CMO, Ser 2009-86, CI OT, PO | ||||||||
0.000%, 10/25/37 | 1,499 | 1,265 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/37 (C) | 11,699 | 10,587 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 2,180 | 2,254 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.927%, 12/25/39 (B) | 2,144 | 232 | ||||||
FNMA CMO, Ser 2009-M1, Cl A2 | ||||||||
4.287%, 07/25/19 | 3,868 | 4,095 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 4,134 | 4,301 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.132%, 02/25/40 (B) | 885 | 994 | ||||||
FNMA CMO, Ser 2010-111, Cl AE | ||||||||
5.500%, 04/25/38 | 3,435 | 3,693 | ||||||
FNMA CMO, Ser 2010-123, Cl PM | ||||||||
4.000%, 07/25/40 | 3,600 | 3,643 | ||||||
FNMA CMO, Ser 2010-133, Cl A | ||||||||
5.500%, 05/25/38 | 1,990 | 2,157 | ||||||
FNMA CMO, Ser 2010-15, Cl KA | ||||||||
4.000%, 03/25/39 | 3,405 | 3,563 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/40 | 908 | 1,015 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.847%, 02/25/40 (B) | $ | 2,195 | $ | 308 | ||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.167%, 04/25/40 (B) | 3,133 | 406 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/35 | 837 | 757 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/40 | 6,801 | 7,093 | ||||||
FNMA CMO, Ser 2010-58, Cl MA | ||||||||
5.500%, 12/25/38 | 7,947 | 8,647 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/40 | 1,864 | 2,040 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.747%, 07/25/40 (B) | 3,903 | 338 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/19 | 1,374 | 1,457 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (B) | 8,896 | 9,412 | ||||||
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1 | ||||||||
7.500%, 06/25/30 | 1,144 | 1,306 | ||||||
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2 | ||||||||
7.500%, 12/25/41 | 2,551 | 2,957 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2 | ||||||||
7.000%, 07/25/42 | 755 | 892 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B | ||||||||
5.763%, 12/25/11 | 727 | 762 | ||||||
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3 | ||||||||
7.000%, 02/25/44 | 947 | 1,092 | ||||||
FNMA Interest STRIP CMO, Ser 1997-293, CI 1, PO | ||||||||
0.000%, 12/01/24 | 782 | 701 | ||||||
FNMA Interest STRIP CMO, Ser 2002-323, Cl 16, IO | ||||||||
7.000%, 01/01/32 | 924 | 157 | ||||||
FNMA Interest STRIP CMO, Ser 2003-334, Cl 16, IO | ||||||||
6.500%, 02/01/33 | 1,498 | 307 | ||||||
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A | ||||||||
7.363%, 12/25/42 (B) | 1,024 | 1,188 | ||||||
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9 | ||||||||
5.900%, 07/25/42 | 1,720 | 1,897 | ||||||
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A | ||||||||
6.500%, 09/25/42 | 858 | 961 | ||||||
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A | ||||||||
7.000%, 10/25/42 | 697 | 822 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2 | ||||||||
7.000%, 12/25/33 | $ | 1,072 | $ | 1,231 | ||||
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6 | ||||||||
5.750%, 08/25/34 | 2,000 | 2,170 | ||||||
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2 | ||||||||
7.000%, 02/25/44 | 1,164 | 1,374 | ||||||
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1 | ||||||||
6.500%, 02/25/44 | 974 | 1,117 | ||||||
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF | ||||||||
0.473%, 03/25/45 (B) | 1,703 | 1,702 | ||||||
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3 | ||||||||
7.500%, 12/25/45 | 408 | 489 | ||||||
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1 | ||||||||
0.473%, 02/25/36 (B) | 792 | 784 | ||||||
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1 | ||||||||
0.513%, 11/25/46 (B) | 1,851 | 1,835 | ||||||
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4 | ||||||||
37.659%, 07/25/37 (B) | 114 | 194 | ||||||
FNMA Whole Loan CMO, Ser 2009-W1, Cl A | ||||||||
6.000%, 12/25/49 | 2,405 | 2,653 | ||||||
GNMA TBA | ||||||||
6.000%, 12/01/37 | 2,200 | 2,425 | ||||||
5.500%, 12/01/37 | 1,000 | 1,087 | ||||||
4.000%, 12/01/39 to 12/20/40 | 137,775 | 140,775 | ||||||
3.500%, 12/01/40 | 3,100 | 3,065 | ||||||
3.000%, 02/01/36 to 03/01/36 (B) | 10,645 | 10,958 | ||||||
GNMA | ||||||||
9.500%, 12/15/20 | 9 | 11 | ||||||
7.500%, 10/15/37 to 09/20/38 | 1,938 | 2,184 | ||||||
7.000%, 04/15/26 to 06/15/35 | 4,638 | 5,300 | ||||||
6.500%, 01/15/24 to 02/15/39 | 15,250 | 17,480 | ||||||
6.000%, 11/15/23 to 09/15/34 | 18,961 | 21,120 | ||||||
5.000%, 07/20/40 to 11/20/40 | 8,333 | 8,955 | ||||||
3.000%, 01/20/41 | 2,197 | 2,260 | ||||||
GNMA ARM | ||||||||
3.500%, 10/20/40 to 11/20/40 (B) | 3,294 | 3,440 | ||||||
1.700%, 01/20/60 (B) | 1,486 | 1,517 | ||||||
GNMA CMO, Ser 2001-18, Cl WH | ||||||||
31.484%, 04/20/31 (B) | 130 | 223 | ||||||
GNMA CMO, Ser 2001-22, Cl PS | ||||||||
20.349%, 03/17/31 (B) | 970 | 1,380 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/31 | 1,931 | 2,166 | ||||||
GNMA CMO, Ser 2002-23, Cl SD | ||||||||
20.271%, 04/16/32 (B) | 1,411 | 1,976 |
38 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2002-51, Cl SG | ||||||||
31.402%, 04/20/31 (B) | $ | 119 | $ | 210 | ||||
GNMA CMO, Ser 2002-57, Cl SB | ||||||||
108.698%, 08/16/32 | 96 | 386 | ||||||
GNMA CMO, Ser 2002-69, Cl SC | ||||||||
15.942%, 02/20/32 (B) | 339 | 396 | ||||||
GNMA CMO, Ser 2003-60, Cl GS | ||||||||
11.994%, 05/16/33 (B) | 206 | 225 | ||||||
GNMA CMO, Ser 2003-75, Cl ZX | ||||||||
6.000%, 09/16/33 | 4,607 | 5,265 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.297%, 11/16/33 (B) | 712 | 114 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.747%, 04/20/34 (B) | 1,607 | 1,679 | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
0.000%, 02/20/34 | 275 | 250 | ||||||
GNMA CMO, Ser 2004-34, Cl CS | ||||||||
19.195%, 02/20/34 (B) | 86 | 115 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/34 (B) | 451 | 438 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
0.000%, 01/17/33 | 186 | 181 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.381%, 03/17/33 (B) | 361 | 366 | ||||||
GNMA CMO, Ser 2005-13, CI SD, IO | ||||||||
6.547%, 02/20/35 (B) | 1,011 | 156 | ||||||
GNMA CMO, Ser 2005-3, Cl SB, IO | ||||||||
5.847%, 01/20/35 (B) | 1,912 | 238 | ||||||
GNMA CMO, Ser 2005-7, Cl JM | ||||||||
16.162%, 05/18/34 (B) | 384 | 474 | ||||||
GNMA CMO, Ser 2005-81, CI SD, IO | ||||||||
6.047%, 12/20/34 (B) | 1,834 | 174 | ||||||
GNMA CMO, Ser 2005-82, CI NS, IO | ||||||||
6.047%, 07/20/34 (B) | 1,116 | 124 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/35 | 1,000 | 1,147 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
0.000%, 07/20/36 | 233 | 211 | ||||||
GNMA CMO, Ser 2006-37, Cl JG | ||||||||
5.000%, 07/20/36 | 1,723 | 1,882 | ||||||
GNMA CMO, Ser 2006-38, Cl SW, IO | ||||||||
6.247%, 06/20/36 (B) | 1,890 | 223 | ||||||
GNMA CMO, Ser 2006-47, CI SA, IO | ||||||||
6.547%, 08/16/36 (B) | 2,677 | 439 | ||||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.453%, 04/16/37 (B) | 942 | 939 | ||||||
GNMA CMO, Ser 2007-26, CI SW, IO | ||||||||
5.947%, 05/20/37 (B) | 3,633 | 417 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.947%, 05/20/37 (B) | 1,208 | 145 | ||||||
GNMA CMO, Ser 2007-42, Cl SB, IO | ||||||||
6.497%, 07/20/37 (B) | 1,701 | 225 | ||||||
GNMA CMO, Ser 2007-45, Cl QA, IO | ||||||||
6.387%, 07/20/37 (B) | 1,140 | 147 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2007-72, Cl USIO, IO | ||||||||
6.297%, 11/20/37 (B) | $ | 1,364 | $ | 168 | ||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.277%, 12/16/37 (B) | 15,653 | 2,305 | ||||||
GNMA CMO, Ser 2007-81, Cl SP, IO | ||||||||
6.397%, 12/20/37 (B) | 1,683 | 210 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.277%, 12/20/37 (B) | 1,099 | 134 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.947%, 03/20/37 (B) | 1,432 | 178 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.577%, 02/20/38 (B) | 1,967 | 207 | ||||||
GNMA CMO, Ser 2008-2, Cl MS, IO | ||||||||
6.907%, 01/16/38 (B) | 1,246 | 140 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
0.000%, 02/17/33 | 531 | 486 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.447%, 04/16/38 (B) | 823 | 115 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.947%, 06/20/38 (B) | 1,944 | 215 | ||||||
GNMA CMO, Ser 2008-60, CI SH, IO | ||||||||
5.897%, 07/16/38 (B) | 973 | 120 | ||||||
GNMA CMO, Ser 2009-10, CI ST, IO | ||||||||
6.197%, 03/16/34 (B) | 1,108 | 128 | ||||||
GNMA CMO, Ser 2009-102, CI SM, IO | ||||||||
6.147%, 06/16/39 (B) | 4,284 | 488 | ||||||
GNMA CMO, Ser 2009-106, CI CM, IO | ||||||||
6.347%, 01/16/34 (B) | 464 | 54 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.147%, 11/16/39 (B) | 2,631 | 329 | ||||||
GNMA CMO, Ser 2009-14, Cl NI, IO | ||||||||
6.500%, 03/20/39 | 52 | 7 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/39 | 1,093 | 137 | ||||||
GNMA CMO, Ser 2009-18, Cl PI, IO | ||||||||
5.500%, 11/16/37 | 1,575 | 223 | ||||||
GNMA CMO, Ser 2009-22, Cl SA, IO | ||||||||
6.017%, 04/20/39 (B) | 2,977 | 281 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.047%, 03/20/39 (B) | 1,866 | 162 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.347%, 09/20/38 (B) | 1,145 | 151 | ||||||
GNMA CMO, Ser 2009-31, Cl TS, IO | ||||||||
6.047%, 03/20/39 (B) | 3,031 | 284 | ||||||
GNMA CMO, Ser 2009-33, Cl TI, IO | ||||||||
6.000%, 05/20/39 | 494 | 74 | ||||||
GNMA CMO, Ser 2009-35, CI SP, IO | ||||||||
6.147%, 05/16/37 (B) | 2,507 | 320 | ||||||
GNMA CMO, Ser 2009-42, Cl SC, IO | ||||||||
5.827%, 06/20/39 (B) | 1,060 | 111 | ||||||
GNMA CMO, Ser 2009-42, Cl IY, IO | ||||||||
1.000%, 06/16/37 (B) | 2,723 | 71 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.697%, 06/20/39 (B) | 2,710 | 285 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/20 | $ | 1,354 | $ | 1,517 | ||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.787%, 02/20/39 (B) | 2,251 | 236 | ||||||
GNMA CMO, Ser 2009-61, CI WQ, IO | ||||||||
5.997%, 11/16/35 (B) | 2,729 | 422 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.147%, 12/20/38 (B) | 3,983 | 424 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/38 | 1,328 | 171 | ||||||
GNMA CMO, Ser 2009-66, Cl LC | ||||||||
6.000%, 08/16/39 | 2,245 | 2,597 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.797%, 08/16/39 (B) | 2,828 | 292 | ||||||
GNMA CMO, Ser 2009-75, Cl VM | ||||||||
5.000%, 12/20/19 | 1,092 | 1,195 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/37 | 1,719 | 1,555 | ||||||
GNMA CMO, Ser 2009-83, CI TS, IO | ||||||||
5.847%, 08/20/39 (B) | 2,668 | 271 | ||||||
GNMA CMO, Ser 2009-87, Cl TS | ||||||||
5.847%, 07/20/35 (B) | 2,656 | 358 | ||||||
GNMA CMO, Ser 2009-87, CI SI, IO | ||||||||
6.497%, 02/20/35 (B) | 1,323 | 209 | ||||||
GNMA CMO, Ser 2009-87, CI KI, IO | ||||||||
6.047%, 09/20/35 (B) | 1,188 | 124 | ||||||
GNMA CMO, Ser 2010-14, Cl SA, IO (B) | ||||||||
7.747%, 12/20/32 | 1,318 | | 187 | | ||||
GNMA CMO, Ser 2010-14, Cl SH, IO (B) | ||||||||
5.474%, 02/16/40 | 1,378 | | 212 | | ||||
GNMA CMO, Ser 2010-14, Cl SC, IO (B) | ||||||||
5.546%, 08/20/35 | 2,140 | | 295 | | ||||
GNMA CMO, Ser 2010-14, Cl AO, PO | ||||||||
0.000%, 12/20/32 | 879 | | 822 | | ||||
GNMA CMO, Ser 2010-14, Cl BO, PO | ||||||||
0.000%, 11/20/35 | 878 | | 783 | | ||||
GNMA CMO, Ser 2010-14, Cl EO, PO | ||||||||
0.000%, 06/16/33 | 533 | | 525 | | ||||
GNMA CMO, Ser 2010-14, Cl QP | ||||||||
6.000%, 12/20/39 | 1,952 | 2,119 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/35 | 425 | 354 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.137%, 01/16/40 (B) | 34,127 | 4,672 | ||||||
GNMA CMO, Ser 2010-47, CI XN, IO | ||||||||
6.297%, 04/16/34 (B) | 2,271 | 206 | ||||||
GNMA CMO, Ser 2010-47, CI VS, IO | ||||||||
5.997%, 11/16/37 (B) | 1,958 | 284 | ||||||
GNMA CMO, Ser 2010-59, Cl LB | ||||||||
4.500%, 10/20/39 | 2,900 | 3,084 | ||||||
GNMA CMO, Ser 2010-7, Cl EA | ||||||||
5.000%, 06/16/38 | 895 | 986 | ||||||
GNMA CMO, Ser 2010-87, CI SK, IO | ||||||||
6.247%, 07/16/40 (B) | 3,710 | 620 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2010-H10, CI FC | ||||||||
1.256%, 05/20/60 (B) | $ | 5,417 | $ | 5,460 | ||||
GNMA CMO, Ser 2010-H26, Cl LF | ||||||||
0.603%, 08/20/58 (B) | 7,500 | 7,500 | ||||||
2,154,606 | ||||||||
Non-Agency Mortgage-Backed Obligations — 13.4% |
| |||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/48 (B) (E) | 900 | 939 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/48 (B) (E) | 1,500 | 1,492 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/48 (B) (E) | 1,325 | 1,374 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/58 (B) (E) | 763 | 794 | ||||||
American Home Mortgage Assets, Ser 2006-5, Cl A1 | ||||||||
1.262%, 11/25/46 (B) | 1,520 | 718 | ||||||
American Home Mortgage Assets, Ser 2007-2, Cl A1 | ||||||||
0.378%, 03/25/47 (B) | 12,771 | 7,525 | ||||||
ASG Resecuritization Trust, Ser 2009-2, Cl A55 | ||||||||
5.510%, 05/24/36 (B) (E) | 941 | 955 | ||||||
ASG Resecuritization Trust, Ser 2009-3, Cl A65 | ||||||||
5.595%, 03/26/37 (B) (E) | 2,045 | 2,058 | ||||||
ASG Resecuritization Trust, Ser 2009-4, Cl A60 | ||||||||
6.000%, 06/28/37 (E) | 1,585 | 1,613 | ||||||
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22 | ||||||||
0.481%, 10/28/36 (B) (E) | 884 | 871 | ||||||
Asset Securitization, Ser 1996-D3, Cl A2 | ||||||||
7.774%, 10/13/26 (B) | 1,871 | 1,914 | ||||||
Banc of America Alternative Loan Trust | ||||||||
5.557%, 10/01/40 | 1,000 | 1,039 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/34 | 778 | 803 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/34 | 392 | 404 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/18 | 986 | 1,015 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1 | ||||||||
5.500%, 09/25/33 | 574 | 579 |
40 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/33 | $ | 850 | $ | 869 | ||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/19 | 609 | 610 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/19 | 543 | 562 | ||||||
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 | ||||||||
6.013%, 11/25/21 (B) | 259 | 238 | ||||||
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 | ||||||||
5.781%, 04/25/37 (B) | 471 | 343 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4 | ||||||||
6.186%, 06/11/35 | 4,866 | 5,050 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/35 | 916 | 955 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1 | ||||||||
3.878%, 09/11/36 | 2,061 | 2,090 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/42 | 895 | 918 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 | ||||||||
4.668%, 07/10/43 | 4,794 | 4,988 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 | ||||||||
5.115%, 10/10/45 (B) | 1,396 | 1,523 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 | ||||||||
5.369%, 09/10/47 (B) | 1,043 | 1,142 | ||||||
Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4 | ||||||||
5.634%, 07/10/46 | 800 | 854 | ||||||
Banc of America Commercial Mortgage, Ser 2000-2, Cl E | ||||||||
7.634%, 09/15/32 (B) | 767 | 765 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl B | ||||||||
5.271%, 07/11/43 | 681 | 709 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM | ||||||||
4.727%, 07/10/43 | 1,050 | 1,016 | ||||||
Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A | ||||||||
4.933%, 07/10/45 | 4,722 | 4,982 | ||||||
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4 | ||||||||
5.372%, 09/10/45 (B) | 500 | 546 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/44 (B) | $ | 825 | $ | 881 | ||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/47 | 5,369 | 5,657 | ||||||
Banc of America Funding, | ||||||||
5.750%, 09/20/34 | 619 | 627 | ||||||
Banc of America Funding, Ser 2004-3, Cl 1A7 | ||||||||
5.500%, 10/25/34 | 584 | 594 | ||||||
Banc of America Funding, Ser 2004-C, Cl 1A1 | ||||||||
5.024%, 12/20/34 (B) | 451 | 466 | ||||||
Banc of America Funding, Ser 2005-B, Cl 2A1 | ||||||||
3.033%, 04/20/35 (B) | 4,359 | 3,312 | ||||||
Banc of America Funding, Ser 2010-R5, Cl 5A6 | ||||||||
0.556%, 05/26/37 (B) (E) (I) | 1,635 | 1,632 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.803%, 05/25/18 (B) | 383 | 370 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.703%, 08/25/18 (B) | 401 | 393 | ||||||
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2 | ||||||||
2.870%, 06/25/33 (B) | 400 | 381 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/34 | 1,000 | 1,053 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/19 | 388 | 398 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23 | ||||||||
4.500%, 04/25/34 | 374 | 375 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/19 | 350 | 358 | ||||||
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1 | ||||||||
6.500%, 09/25/32 | 246 | 258 | ||||||
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1 | ||||||||
5.750%, 06/26/37 (E) | 1,798 | 1,807 | ||||||
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1 | ||||||||
5.250%, 05/26/37 (B) (E) | 536 | 533 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/34 (E) | 1,198 | 1,222 | ||||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.183%, 04/26/37 (B) (E) | 1,100 | 1,094 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/37 (B) (E) | $ | 706 | $ | 710 | ||||
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1 | ||||||||
1.042%, 02/26/47 (B) (E) | 628 | 587 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1 | ||||||||
1.056%, 01/26/36 (B) (E) | 1,294 | 1,197 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
4.952%, 07/26/45 (B) (E) | 2,020 | 2,040 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.024%, 04/26/35 (B) (E) | 858 | 864 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.153%, 05/25/34 (B) | 434 | 447 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
5.281%, 05/25/34 (B) | 2,501 | 2,477 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.340%, 08/25/35 (B) | 595 | 569 | ||||||
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4 | ||||||||
2.972%, 04/25/35 (B) | 250 | 201 | ||||||
Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1 | ||||||||
5.750%, 02/25/36 | 2,192 | 1,678 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 | ||||||||
6.480%, 02/15/35 | 155 | 156 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 454 | 474 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (B) | 491 | 498 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3 | ||||||||
5.468%, 06/11/41 (B) | 824 | 898 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 1,102 | 1,132 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, CI A3 | ||||||||
5.116%, 02/11/41 (B) | 2,426 | 2,593 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.298%, 10/12/42 (B) | 6,500 | 7,090 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 | ||||||||
5.623%, 03/11/39 (B) | 300 | 327 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4 | ||||||||
5.537%, 10/12/41 | 300 | 327 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl A1 | ||||||||
5.593%, 06/11/40 | $ | 633 | $ | 645 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3 | ||||||||
5.736%, 06/11/50 | 2,640 | 2,781 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser PW15, Cl A4 | ||||||||
5.331%, 02/11/44 | 1,160 | 1,209 | ||||||
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10 | ||||||||
0.703%, 01/25/34 (B) | 273 | 273 | ||||||
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO | ||||||||
0.000%, 10/25/18 | 268 | 233 | ||||||
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 | ||||||||
3.701%, 12/25/35 (B) | 13,166 | 11,085 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
4.157%, 02/25/37 (B) | 337 | 340 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
2.891%, 02/25/37 (B) | 421 | 424 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
2.899%, 07/25/37 (B) | 664 | 655 | ||||||
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2 | ||||||||
4.500%, 05/25/33 | 142 | 145 | ||||||
Citicorp Mortgage Securities, Ser 2004-3, Cl A8 | ||||||||
5.250%, 05/25/34 | 71 | 71 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/43 (B) | 440 | 453 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6 | ||||||||
5.081%, 08/25/34 (B) | 694 | 718 | ||||||
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A | ||||||||
5.415%, 11/25/38 (B) | 1,365 | 1,378 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1 | ||||||||
2.707%, 09/25/33 (B) (E) | 845 | 849 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1 | ||||||||
6.000%, 06/25/36 (E) | 1,500 | 1,387 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1 | ||||||||
2.856%, 02/25/35 (B) (E) | 477 | 475 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl A4 | ||||||||
5.322%, 12/11/49 | 6,855 | 7,052 |
42 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (B) | $ | 3,887 | $ | 4,219 | ||||
Commercial Mortgage Pass Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/34 (E) | 2,500 | 2,761 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2004-LB2A, Cl A4 | ||||||||
4.715%, 03/10/39 | 1,421 | 1,494 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2005-LP5, Cl A4 | ||||||||
4.982%, 05/10/43 (B) | 600 | 648 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/46 (E) | 1,888 | 1,915 | ||||||
Commercial Mortgage Pass Through Certificates, Ser 2010-C1, Cl A3 | ||||||||
4.205%, 07/10/46 (E) | 2,455 | 2,432 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (E) | 239 | 242 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 2,509 | 2,585 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 | ||||||||
6.000%, 12/25/34 | 2,210 | 1,929 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO | ||||||||
4.847%, 02/25/35 (B) | 39,810 | 5,300 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 348 | 361 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO | ||||||||
0.000%, 11/25/31 | 355 | 249 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 | ||||||||
6.500%, 11/25/31 | 1,286 | 1,321 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.442%, 08/25/35 (B) | 986 | 513 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 | ||||||||
1.692%, 08/25/35 (B) | 4,001 | 2,129 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 | ||||||||
0.563%, 11/25/35 (B) | 7,444 | 4,416 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.586%, 11/20/35 (B) (G) | 5,322 | 3,037 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 | ||||||||
0.523%, 01/25/36 (B) | 2,803 | 1,884 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Alternative Loan Trust, Ser 2006-OA9, Cl 2A1A | ||||||||
0.463%, 07/20/46 (B) | $ | 604 | $ | 281 | ||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A6 | ||||||||
5.250%, 09/25/33 | 1,000 | 1,024 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/33 | 854 | 852 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-56, Cl 6A1 | ||||||||
3.150%, 12/25/33 (B) | 586 | 532 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/34 | 1,437 | 1,434 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J7, Cl 4A3 | ||||||||
9.446%, 08/25/18 (B) | 186 | 184 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-20, Cl 2A1 | ||||||||
2.870%, 09/25/34 (B) | 85 | 38 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-5, Cl 1A4 | ||||||||
5.500%, 06/25/34 | 881 | 931 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-8, Cl 2A1 | ||||||||
4.500%, 06/25/19 | 1,425 | 1,453 | ||||||
Countrywide Home Loan Mortgage | ||||||||
5.250%, 12/25/27 | 790 | 687 | ||||||
Countrywide Home Loan Mortgage | ||||||||
0.653%, 09/25/35 (B) (E) | 6,103 | 5,209 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4 | ||||||||
5.435%, 09/15/34 | 369 | 376 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 3,030 | 3,157 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 | ||||||||
4.485%, 11/15/36 | 10 | 10 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4 | ||||||||
5.250%, 11/25/33 | 801 | 826 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/33 | 1,149 | 1,160 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/18 | 606 | 623 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/33 | 307 | 314 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (B) | $ | 1,571 | $ | 1,645 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2 | ||||||||
4.597%, 03/15/35 | 1,452 | 1,526 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2 | ||||||||
2.707%, 06/25/34 (B) | 845 | 824 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24 | ||||||||
18.138%, 06/25/35 (B) | 343 | 367 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 323 | 332 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 1,987 | 2,067 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4 | ||||||||
5.230%, 12/15/40 (B) | 13,000 | 14,151 | ||||||
Credit Suisse Mortgage Capital Certificate, Ser 2007-C2, Cl A2 | ||||||||
5.448%, 01/15/49 (B) | 1,359 | 1,389 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.846%, 03/15/39 (B) | 825 | 884 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 3,212 | 3,353 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/35 (E) | 709 | 713 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.255%, 06/28/47 (B) (E) | 1,347 | 1,352 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/37 (B) (E) | 571 | 575 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/50 (B) (E) | 400 | 373 | ||||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/48 | 825 | 850 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.686%, 02/25/20 (B) | 375 | 376 | ||||||
Deutsche Mortgage Securities, | ||||||||
1.503%, 06/28/47 (B) (E) | 868 | 868 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/22 (E) | 5,493 | 5,778 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.653%, 11/19/44 (B) | 2,072 | 805 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DSLA Mortgage Loan Trust, | ||||||||
1.262%, 03/19/46 (B) | $ | 393 | $ | 221 | ||||
Extended Stay America Trust, | ||||||||
2.951%, 11/05/27 (E) | 1,360 | 1,357 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.811%, 02/25/48 (B) (E) | 6,523 | 6,535 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/18 | 1,283 | 1,328 | ||||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||||
6.417%, 12/12/33 | 789 | 819 | ||||||
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 | ||||||||
5.560%, 06/10/38 | 131 | 131 | ||||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||||
6.269%, 12/10/35 | 1,519 | 1,586 | ||||||
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 | ||||||||
5.543%, 12/10/49 | 1,000 | 1,030 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 404 | 413 | ||||||
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 | ||||||||
4.930%, 07/10/39 | 445 | 468 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, CI B | ||||||||
5.675%, 05/10/40 (B) | 1,575 | 1,668 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D | ||||||||
5.675%, 05/10/40 (B) | 654 | 662 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||||
5.659%, 05/10/40 (B) | 1,073 | 1,162 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 760 | 814 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4 | ||||||||
5.301%, 08/10/38 (B) | 1,299 | 1,397 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 | ||||||||
5.238%, 11/10/45 (B) | 700 | 752 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.408%, 10/19/33 (B) | 1,994 | 1,995 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/33 | 663 | 660 |
44 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/33 | $ | 1,134 | $ | 1,089 | ||||
GMAC Mortgage Loan Trust, | ||||||||
5.500%, 09/25/34 | 59 | 60 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/35 | 931 | 953 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/20 | 547 | 563 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.400%, 09/19/35 (B) | 205 | 184 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.455%, 11/19/35 (B) | 891 | 768 | ||||||
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A | ||||||||
4.250%, 07/25/40 (E) | 446 | 442 | ||||||
Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A | ||||||||
0.333%, 02/25/47 (B) | 10,685 | 8,103 | ||||||
Greenwich Capital Commercial Funding, Ser 2003-C1, Cl B | ||||||||
4.229%, 07/05/35 | 1,094 | 1,135 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (B) | 5,900 | 6,411 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (B) | 171 | 180 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, CI AJ | ||||||||
4.859%, 08/10/42 (B) | 220 | 219 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/37 (B) | 4,151 | 4,400 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
6.080%, 07/10/38 (B) | 10,875 | 11,919 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 7,000 | 7,321 | ||||||
GS Mortgage Securities II, | ||||||||
6.449%, 08/05/18 (B) (E) | 626 | 645 | ||||||
GS Mortgage Securities II, | ||||||||
4.319%, 10/10/28 | 136 | 136 | ||||||
GS Mortgage Securities II, | ||||||||
4.680%, 07/10/39 | 4,910 | 5,119 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
5.553%, 04/10/38 (B) | $ | 1,763 | $ | 1,885 | ||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||
8.000%, 09/19/27 (B) (E) | 5 | 5 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.653%, 04/25/36 (B) (E) | 2,066 | 1,748 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/34 | 712 | 738 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3 | ||||||||
0.753%, 06/25/35 (B) | 667 | 602 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3 | ||||||||
5.500%, 06/25/35 | 461 | 465 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/37 | 125 | 113 | ||||||
Impac Funding LLC, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/51 (E) | 4,724 | 4,934 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/33 | 842 | 875 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.603%, 08/25/36 (B) | 1,523 | 1,371 | ||||||
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 | ||||||||
5.944%, 11/25/37 (B) | 1,787 | 1,469 | ||||||
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||||
5.750%, 12/25/36 (B) | 11,300 | 4,680 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/35 (B) | 851 | 861 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/34 (B) | 403 | 420 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C | ||||||||
6.450%, 05/12/34 (B) | 1,190 | 1,236 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1 | ||||||||
4.275%, 01/12/37 | 934 | 959 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4 | ||||||||
4.879%, 01/12/38 (B) | 1,614 | 1,717 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C2, Cl A3 | ||||||||
5.403%, 05/15/41 (B) | 1,566 | 1,683 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A2 | ||||||||
5.108%, 06/12/41 (B) | 963 | 973 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4 | ||||||||
5.538%, 06/12/41 (B) | $ | 3,671 | $ | 3,931 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/42 | 666 | 689 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP5, Cl A4 | ||||||||
5.363%, 12/15/44 (B) | 887 | 969 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A4 | ||||||||
5.481%, 12/12/44 (B) | 1,859 | 1,980 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl A4 | ||||||||
5.552%, 05/12/45 | 906 | 970 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 880 | 922 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl ASB | ||||||||
6.001%, 06/15/49 (B) | 1,498 | 1,594 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A3 | ||||||||
6.187%, 02/15/51 (B) | 2,334 | 2,453 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2008-C2, Cl A1 | ||||||||
5.017%, 02/12/51 | 6 | 6 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (E) | 4,766 | 5,274 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (E) | 3,565 | 3,703 | ||||||
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl C | ||||||||
7.903%, 08/15/32 (B) | 655 | 655 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 | ||||||||
5.161%, 10/12/37 | 969 | 1,020 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1 | ||||||||
4.393%, 07/12/37 | 427 | 441 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 | ||||||||
4.918%, 10/15/42 (B) | 1,167 | 1,252 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A2 | ||||||||
5.437%, 12/12/44 | 1,792 | 1,801 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 | ||||||||
5.429%, 12/12/43 | 5,608 | 5,931 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4 | ||||||||
5.399%, 05/15/45 | 500 | 539 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | $ | 885 | $ | 923 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/51 (B) | 3,057 | 3,229 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3 | ||||||||
4.296%, 06/25/34 (B) | 3,110 | 3,052 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1 | ||||||||
4.307%, 07/25/34 (B) | 220 | 220 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1 | ||||||||
4.552%, 09/25/34 (B) | 266 | 271 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2 | ||||||||
4.818%, 12/25/34 (B) | 1,798 | 1,809 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 | ||||||||
4.818%, 12/25/34 (B) | 11,500 | 11,654 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4 | ||||||||
5.014%, 02/25/35 (B) | 1,000 | 1,006 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A1, CI 5A1 | ||||||||
4.479%, 02/25/35 (B) | 476 | 488 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2 | ||||||||
4.309%, 04/25/35 (B) | 360 | 364 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
2.930%, 08/25/34 (B) | 2,093 | 2,090 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 | ||||||||
5.737%, 04/25/36 (B) | 13,400 | 11,407 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1 | ||||||||
2.991%, 08/25/34 (B) | 928 | 866 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 | ||||||||
5.744%, 05/25/36 (B) | 14,500 | 11,729 | ||||||
JPMorgan Re-Remic, Ser 2010-4, Cl 7A1 | ||||||||
4.319%, 08/26/35 (B) (E) | 659 | 660 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.131%, 07/15/44 (B) | 844 | 896 | ||||||
LB Commercial Conduit Mortgage Trust, Ser C3, Cl A4 | ||||||||
6.141%, 07/15/44 (B) | 2,293 | 2,434 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2 | ||||||||
6.653%, 11/15/27 | 2,116 | 2,128 |
46 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2001-C3, Cl A2 | ||||||||
6.365%, 12/15/28 | $ | 3,174 | $ | 3,221 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 12,470 | 13,096 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4 | ||||||||
4.563%, 09/15/26 | 572 | 582 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5 | ||||||||
4.853%, 09/15/31 | 8,254 | 8,664 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C7, Cl A4 | ||||||||
4.960%, 12/15/31 | 1,888 | 2,000 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 | ||||||||
5.124%, 11/15/32 (B) | 19,979 | 21,506 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C1, Cl A4 | ||||||||
4.568%, 01/15/31 | 941 | 987 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 853 | 888 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl A4 | ||||||||
4.742%, 02/15/30 | 863 | 913 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 | ||||||||
4.998%, 04/15/30 | 2,624 | 2,689 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/31 | 350 | 376 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
6.078%, 06/15/38 (B) | 450 | 489 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 272 | 289 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB | ||||||||
5.403%, 02/15/40 | 420 | 451 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3 | ||||||||
5.933%, 07/15/40 | 3,363 | 3,527 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3 | ||||||||
5.866%, 09/15/45 (B) | 2,070 | 2,196 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2 | ||||||||
6.324%, 04/15/41 (B) | 1,615 | 1,766 | ||||||
LVII Resecuritization Trust, Ser 2009-1, Cl A1 | ||||||||
5.949%, 11/27/37 (B) (E) | 343 | 350 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LVII Resecuritization Trust, Ser 2009-2, Cl A4 | ||||||||
3.000%, 09/27/37 (B) (E) | $ | 1,000 | $ | 1,000 | ||||
LVII Resecuritization Trust, Ser 2009-2, Cl A3 | ||||||||
3.000%, 09/27/37 (B) (E) | 1,000 | 998 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A | ||||||||
2.899%, 11/21/34 (B) | 11,650 | 11,033 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7 | ||||||||
2.899%, 11/21/34 (B) | 1,585 | 1,472 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.899%, 11/21/34 (B) | 857 | 861 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1 | ||||||||
0.453%, 05/25/47 (B) | 16,051 | 8,930 | ||||||
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 | ||||||||
5.500%, 05/25/34 | 2,145 | 2,215 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/34 (E) | 3,515 | 3,442 | ||||||
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F | ||||||||
0.603%, 05/25/35 (B) (E) | 674 | 551 | ||||||
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F | ||||||||
0.613%, 07/25/35 (B) (E) | 1,522 | 1,252 | ||||||
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO | ||||||||
0.000%, 05/28/35 (E) | 501 | 321 | ||||||
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/33 | 593 | 605 | ||||||
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3 | ||||||||
6.250%, 07/25/36 | 802 | 629 | ||||||
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/18 | 164 | 168 | ||||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/33 | 581 | 576 | ||||||
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1 | ||||||||
0.653%, 11/25/34 (B) | 76 | 74 | ||||||
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A | ||||||||
2.866%, 07/25/33 (B) | 237 | 243 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.292%, 02/25/34 (B) | 4,309 | 4,249 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1 | ||||||||
2.892%, 02/25/34 (B) | $ | 227 | $ | 220 | ||||
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2 | ||||||||
2.786%, 08/25/34 (B) | 443 | 443 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.236%, 11/12/35 (B) | 2,840 | 3,030 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.864%, 08/12/39 (B) | 2,768 | 2,925 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/38 (B) | 1,069 | 1,125 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.960%, 07/12/38 | 1,292 | 1,310 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.414%, 11/12/37 (B) | 623 | 684 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.511%, 01/12/44 (B) | 480 | 456 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
2.237%, 02/25/36 (B) | 459 | 386 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.838%, 05/12/39 (B) | 505 | 548 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
6.019%, 06/12/50 (B) | 610 | 655 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (B) | 16,900 | 17,616 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 | ||||||||
5.485%, 03/12/51 (B) | 3,760 | 3,844 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-7, Cl A4 | ||||||||
5.810%, 06/12/50 (B) | 3,595 | 3,694 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-8, Cl A3 | ||||||||
6.163%, 08/12/49 (B) | 50 | 54 | ||||||
MLCC Mortgage Investors, Ser 2004-A, Cl A2 | ||||||||
0.713%, 04/25/29 (B) | 406 | 375 | ||||||
MLCC Mortgage Investors, Ser 2004-B, Cl A3 | ||||||||
2.214%, 05/25/29 (B) | 570 | 571 | ||||||
MLCC Mortgage Investors, Ser 2004-D, Cl A2 | ||||||||
0.894%, 08/25/29 (B) | 504 | 471 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MLCC Mortgage Investors, Ser 2005-1, Cl 2A2 | ||||||||
2.363%, 04/25/35 (B) | $ | 243 | $ | 238 | ||||
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1 | ||||||||
2.363%, 04/25/35 (B) | 78 | 75 | ||||||
Morgan Stanley Capital I, Ser 2003-IQ6, Cl A | ||||||||
4.970%, 12/15/41 | 1,720 | 1,846 | ||||||
Morgan Stanley Capital I, Ser 2003-T11, Cl A4 | ||||||||
5.150%, 06/13/41 | 1,370 | 1,463 | ||||||
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4 | ||||||||
4.800%, 01/13/41 | 1,923 | 2,033 | ||||||
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4 | ||||||||
4.900%, 06/15/40 | 2,536 | 2,623 | ||||||
Morgan Stanley Capital I, Ser 2004-T15, Cl A4 | ||||||||
5.270%, 06/13/41 (B) | 1,073 | 1,161 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB | ||||||||
5.037%, 01/14/42 | 491 | 512 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A | ||||||||
4.989%, 08/13/42 | 9,031 | 9,700 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB | ||||||||
5.353%, 11/14/42 (B) | 418 | 440 | ||||||
Morgan Stanley Capital I, Ser 2005-IQ9, Cl A5 | ||||||||
4.700%, 07/15/56 | 1,745 | 1,847 | ||||||
Morgan Stanley Capital I, Ser 2005-T17, Cl A4 | ||||||||
4.520%, 12/13/41 | 178 | 181 | ||||||
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM | ||||||||
5.310%, 12/15/43 | 2,188 | 2,246 | ||||||
Morgan Stanley Capital I, Ser 2006-T21, Cl A4 | ||||||||
5.162%, 10/12/52 (B) | 7,300 | 7,844 | ||||||
Morgan Stanley Capital I, | ||||||||
5.357%, 12/15/44 | 913 | 937 | ||||||
Morgan Stanley Capital I, Ser 2007-IQ14, Cl AAB | ||||||||
5.654%, 04/15/49 (B) | 581 | 614 | ||||||
Morgan Stanley Capital I, Ser 2007-T27, Cl A4 | ||||||||
5.802%, 06/11/42 (B) | 300 | 328 | ||||||
Morgan Stanley Capital I, Ser HQ13, Cl A3 | ||||||||
5.569%, 12/15/44 | 4,858 | 5,028 |
48 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | $ | 1,716 | $ | 1,746 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | 680 | 717 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 2,552 | 2,697 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 721 | 744 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A | ||||||||
5.658%, 04/25/34 (B) | 879 | 925 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.363%, 02/25/47 (B) | 404 | 334 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
3.000%, 07/17/56 | 658 | 660 | ||||||
Morgan Stanley Re-Remic Trust, Ser 2010-HQ4B, Cl A7A | ||||||||
4.970%, 04/16/40 (E) | 1,300 | 1,393 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2 | ||||||||
2.900%, 10/29/20 | 190 | 191 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/20 | 8,720 | 8,683 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.704%, 10/07/20 (B) | 13,984 | 13,988 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.623%, 11/06/17 (B) | 6,450 | 6,450 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A | ||||||||
0.723%, 11/05/20 (B) | 3,220 | 3,224 | ||||||
New York Mortgage Trust, Ser 2006-1, Cl 2A2 | ||||||||
5.275%, 05/25/36 (B) | 788 | 771 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A2 | ||||||||
7.288%, 03/15/30 (B) | 2,754 | 3,050 | ||||||
PNC Mortgage Acceptance, | ||||||||
6.360%, 03/12/34 | 529 | 532 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/34 | 139 | 105 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 392 | 407 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 | ||||||||
5.500%, 05/25/35 (E) | $ | 2,829 | $ | 2,482 | ||||
Prudential Mortgage Capital Funding LLC, Ser 2001-ROCK, Cl B | ||||||||
6.760%, 05/10/34 | 867 | 884 | ||||||
RBSGC Mortgage Pass Through Certificates, Ser 2007-B, Cl 1A4 | ||||||||
0.703%, 01/25/37 (B) | 5,946 | 3,475 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.500%, 03/26/21 (E) | 975 | 978 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/37 (B) (E) | 1,000 | 990 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/33 | 593 | 593 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/18 | 526 | 534 | ||||||
Residential Accredit Loans, | ||||||||
5.750%, 10/25/33 | 539 | 551 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/34 | 1,422 | 1,197 | ||||||
Residential Accredit Loans, | ||||||||
1.702%, 09/25/45 (B) | 1,094 | 659 | ||||||
Residential Accredit Loans, | ||||||||
0.343%, 10/25/46 (B) | 1,919 | 1,888 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 956 | 943 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 | ||||||||
6.500%, 12/25/31 | 1,623 | 1,594 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/33 | 624 | 628 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.796%, 12/25/34 (B) | 1,815 | 1,771 | ||||||
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4 | ||||||||
5.750%, 03/25/33 | 700 | 733 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C | ||||||||
7.727%, 07/18/33 (B) | 296 | 295 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 | ||||||||
6.499%, 11/13/36 | 1,893 | 1,946 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 | ||||||||
4.467%, 03/18/36 | $ | 213 | $ | 219 | ||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.202%, 09/25/33 (B) | 924 | 934 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/40 (B) | 1,161 | 1,176 | ||||||
Station Place Securitization Trust, Ser 2009-1, Cl A | ||||||||
1.753%, 01/25/40 (B) (E) | 1,000 | 1,000 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1 | ||||||||
5.484%, 09/25/35 (B) | 4,370 | 3,466 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1 | ||||||||
0.573%, 10/25/35 (B) | 5,258 | 3,421 | ||||||
Structured Asset Mortgage Investments, Ser 2004-AR8, Cl A1 | ||||||||
0.593%, 05/19/35 (B) | 227 | 174 | ||||||
Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3 | ||||||||
0.443%, 07/25/46 (B) | 201 | 107 | ||||||
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A | ||||||||
0.453%, 10/25/36 (B) | 6,285 | 3,948 | ||||||
Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B | ||||||||
0.433%, 09/25/47 (B) | 17,832 | 10,131 | ||||||
Structured Asset Securities, | ||||||||
0.753%, 06/25/33 (B) | 1,135 | 1,040 | ||||||
Structured Asset Securities, | ||||||||
2.712%, 10/25/33 (B) | 10,793 | 10,381 | ||||||
Structured Asset Securities, | ||||||||
5.101%, 11/25/33 (B) | 296 | 297 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/33 | 1,034 | 1,026 | ||||||
Structured Asset Securities, | ||||||||
4.996%, 12/25/33 (B) | 413 | 429 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/33 | 1,000 | 1,018 | ||||||
Structured Asset Securities, | ||||||||
13.393%, 05/25/35 (B) | 55 | 55 | ||||||
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1 | ||||||||
0.573%, 09/25/43 (B) | 218 | 202 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 | ||||||||
6.183%, 09/25/37 (B) | $ | 5,676 | $ | 5,503 | ||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 | ||||||||
6.049%, 08/15/39 (B) | 2,500 | 2,754 | ||||||
US Bank National Mortgage Association, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 4,140 | 4,318 | ||||||
Vendee Mortgage Trust CMO, | ||||||||
7.250%, 02/15/23 | 2,790 | 3,225 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 | ||||||||
6.287%, 04/15/34 | 382 | 401 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/35 (E) | 280 | 282 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/35 | 870 | 896 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.621%, 10/25/33 (B) | 627 | 607 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR6, Cl A1 | ||||||||
2.698%, 06/25/33 (B) | 617 | 610 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.672%, 08/25/33 (B) | 551 | 539 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.716%, 08/25/33 (B) | 326 | 329 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 2A | ||||||||
2.775%, 09/25/33 (B) | 381 | 384 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.707%, 09/25/33 (B) | 1,173 | 1,132 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S11, Cl 2A5 | ||||||||
16.353%, 11/25/33 (B) | 767 | 864 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/18 | 566 | 588 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/33 | 2,174 | 2,142 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-AR11, Cl A | ||||||||
2.718%, 10/25/34 (B) | 44 | 41 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.705%, 06/25/34 (B) | 320 | 307 |
50 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/19 | $ | 718 | $ | 743 | ||||
WaMu Mortgage Pass Through Certificates, Ser 2004-S1, Cl 1A3 | ||||||||
0.653%, 03/25/34 (B) | 375 | 371 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/34 | 711 | 728 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2005-AR11, Cl A1A | ||||||||
0.573%, 08/25/45 (B) | 156 | 133 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2006-AR1, Cl 1A1B | ||||||||
1.412%, 01/25/46 (B) | 3,235 | 893 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2006-AR13, Cl 2A | ||||||||
3.163%, 10/25/46 (B) | 1,500 | 1,058 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2006-AR14, Cl 1A4 | ||||||||
5.493%, 11/25/36 (B) | 478 | 353 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2006-AR17, Cl 2A | ||||||||
3.163%, 12/25/46 (B) | 693 | 515 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2006-AR7, Cl 2A | ||||||||
1.322%, 07/25/46 (B) | 1,210 | 752 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-HY1, Cl 4A1 | ||||||||
5.059%, 02/25/37 (B) | 8,618 | 6,456 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-HY1, Cl 1A1 | ||||||||
5.488%, 02/25/37 (B) | 6,243 | 4,603 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-HY3, Cl 1A1 | ||||||||
5.407%, 03/25/37 (B) | 7,317 | 5,270 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-HY3, Cl 4A1 | ||||||||
5.035%, 03/25/37 (B) | 405 | 347 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-OA5, Cl 1A | ||||||||
1.092%, 06/25/47 (B) | 12,318 | 7,962 | ||||||
WaMu Mortgage Pass Through Certificates, Ser 2007-OA6, Cl 1A | ||||||||
1.152%, 07/25/47 (B) | 12,611 | 8,054 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A | ||||||||
2.704%, 01/25/33 (B) | 361 | 349 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A | ||||||||
5.000%, 02/25/18 | 478 | 486 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.766%, 06/25/33 (B) | 181 | 197 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 | ||||||||
0.543%, 10/25/45 (B) | $ | 3,940 | $ | 3,331 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 | ||||||||
0.533%, 11/25/45 (B) | 6,099 | 4,577 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A | ||||||||
4.642%, 12/25/35 (B) | 13,585 | 10,791 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 | ||||||||
0.543%, 12/25/45 (B) | 5,841 | 4,413 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B | ||||||||
3.163%, 11/25/46 (B) | 1,980 | 656 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B | ||||||||
1.182%, 11/25/46 (B) | 1,754 | 416 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A | ||||||||
1.182%, 11/25/46 (B) | 3,040 | 2,092 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B | ||||||||
1.152%, 12/25/46 (B) | 612 | 201 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA | ||||||||
1.312%, 06/25/46 (B) | 1,293 | 556 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B | ||||||||
1.262%, 09/25/46 (B) | 1,026 | 76 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO | ||||||||
5.500%, 05/25/35 | 799 | 152 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
1.182%, 05/25/47 (B) | 15,795 | 3,589 | ||||||
Washington Mutual Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.705%, 06/25/34 (B) | 419 | 403 | ||||||
Washington Mutual MSC Mortgage | ||||||||
5.750%, 02/25/33 | 256 | 262 | ||||||
Washington Mutual MSC Mortgage | ||||||||
0.000%, 05/25/33 | 315 | 235 | ||||||
Washington Mutual MSC Mortgage | ||||||||
0.000%, 04/25/33 | 603 | 479 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/18 | $ | 2,040 | $ | 2,114 | ||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6 | ||||||||
3.246%, 02/25/33 (B) | 699 | 707 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.435%, 10/25/33 (B) | 263 | 269 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.465%, 11/25/33 (B) | 1,244 | 1,239 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-B, Cl A1 | ||||||||
4.896%, 02/25/34 (B) | 933 | 966 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/34 (B) | 219 | 223 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8 | ||||||||
4.847%, 05/25/34 (B) | 1,000 | 1,008 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A2 | ||||||||
2.979%, 12/25/34 (B) | 450 | 453 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.857%, 12/25/34 (B) | 954 | 932 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
2.979%, 12/25/34 (B) | 300 | 296 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.948%, 07/25/34 (B) | 907 | 908 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A6 | ||||||||
4.746%, 07/25/34 (B) | 650 | 655 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-O, Cl A1 | ||||||||
4.859%, 08/25/34 (B) | 555 | 567 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
2.911%, 09/25/34 (B) | 624 | 620 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
2.892%, 10/25/34 (B) | 828 | 823 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
2.892%, 10/25/34 (B) | 662 | 666 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.000%, 01/25/20 | 535 | 544 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-13, Cl A1 | ||||||||
5.000%, 11/25/20 | 545 | 566 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR14, Cl A1 | ||||||||
5.367%, 08/25/35 (B) | $ | 816 | $ | 806 | ||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.897%, 06/25/35 (B) | 1,172 | 1,145 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2006-AR18, Cl 1A1 | ||||||||
5.743%, 11/25/36 (B) | 973 | 936 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
2.857%, 12/25/34 (B) | 636 | 627 | ||||||
812,996 | ||||||||
Total Mortgage-Backed Securities | 2,967,602 | |||||||
CORPORATE OBLIGATIONS — 26.6% |
| |||||||
Consumer Discretionary — 1.9% |
| |||||||
British Sky Broadcasting Group | ||||||||
9.500%, 11/15/18 (E) | 1,990 | 2,697 | ||||||
CBS | ||||||||
8.875%, 05/15/19 | 125 | 161 | ||||||
7.875%, 07/30/30 | 160 | 187 | ||||||
5.750%, 04/15/20 (A) | 92 | 100 | ||||||
Comcast | ||||||||
6.500%, 01/15/15 | 3,635 | 4,214 | ||||||
6.500%, 01/15/17 (A) | 7,185 | 8,503 | ||||||
5.650%, 06/15/35 | 450 | 440 | ||||||
5.150%, 03/01/20 | 420 | 452 | ||||||
4.950%, 06/15/16 | 4,125 | 4,549 | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | 3,422 | 3,934 | ||||||
6.750%, 01/30/11 (A) | 1,840 | 1,858 | ||||||
Continental Airlines | ||||||||
5.983%, 04/19/22 (A) | 3,211 | 3,460 | ||||||
Continental Airlines Ser 1999-1 Cl A Pass Through Trust | ||||||||
6.545%, 02/02/19 (A) | 144 | 152 | ||||||
Continental Airlines Ser 1999-2 Cl C-2 Pass Through Trust | ||||||||
7.256%, 03/15/20 | 1,242 | 1,354 | ||||||
6.236%, 03/15/20 | 2,014 | 1,867 | ||||||
Continental Airlines Ser 2000-1 Cl A-1 Pass Through Trust | ||||||||
8.048%, 11/01/20 | 2,400 | 2,640 | ||||||
CVS | ||||||||
5.789%, 01/10/26 (E) | 1,902 | 1,976 | ||||||
CVS Lease Pass-Through | ||||||||
6.036%, 12/10/28 (E) | 3,797 | 3,996 | ||||||
5.880%, 01/10/28 (E) | 173 | 179 | ||||||
DaimlerChrysler | ||||||||
7.300%, 01/15/12 | 2,515 | 2,688 | ||||||
6.500%, 11/15/13 | 460 | 526 |
52 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delta Air Lines Ser 2001-1 Cl A-2 Pass Through Trust | ||||||||
7.111%, 09/18/11 (A) | $ | 14,850 | $ | 15,407 | ||||
Delta Air Lines Ser 2007-1 Cl A Pass Through Trust | ||||||||
6.821%, 08/10/22 (A) | 2,113 | 2,276 | ||||||
Delta Air Lines Ser 2010-2 Cl A Pass Through Trust | ||||||||
4.950%, 05/23/19 | 280 | 284 | ||||||
Eastman Kodak | ||||||||
7.250%, 11/15/13 (A) | 1,855 | 1,795 | ||||||
Historic TW | ||||||||
9.150%, 02/01/23 | 500 | 672 | ||||||
JetBlue Airways Private Trust, | ||||||||
0.661%, 08/15/16 (B) | 5,047 | 4,681 | ||||||
Kohl’s | ||||||||
6.250%, 12/15/17 (A) | 255 | 301 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/37 | 400 | 489 | ||||||
Mattel | ||||||||
6.200%, 10/01/40 | 1,360 | 1,324 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/18 (A) | 2,350 | 2,712 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/20 | 176 | 180 | ||||||
Northwest Airlines Ser 2001-1 Cl A-2 Pass Through Trust | ||||||||
6.841%, 04/01/11 (A) | 4,500 | 4,568 | ||||||
Staples | ||||||||
9.750%, 01/15/14 | 305 | 374 | ||||||
Target | ||||||||
7.000%, 01/15/38 | 135 | 170 | ||||||
4.000%, 06/15/13 | 355 | 381 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 (A) | 1,405 | 1,579 | ||||||
4.700%, 10/15/19 | 250 | 272 | ||||||
Time Warner | ||||||||
7.625%, 04/15/31 | 4,830 | 5,846 | ||||||
6.100%, 07/15/40 | 642 | 677 | ||||||
4.700%, 01/15/21 | 2,240 | 2,353 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | 3,320 | 4,326 | ||||||
8.250%, 04/01/19 | 3,235 | 4,117 | ||||||
7.300%, 07/01/38 (A) | 400 | 470 | ||||||
6.750%, 07/01/18 (A) | 120 | 143 | ||||||
6.550%, 05/01/37 | 3,426 | 3,691 | ||||||
5.875%, 11/15/40 (A) | 4,185 | 4,150 | ||||||
5.850%, 05/01/17 (A) | 1,230 | 1,405 | ||||||
4.125%, 02/15/21 | 470 | 458 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | 100 | 127 | ||||||
United Business Media | ||||||||
5.750%, 11/03/20 (E) | 1,070 | 1,067 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Viacom | ||||||||
6.250%, 04/30/16 | $ | 300 | $ | 350 | ||||
Volkswagen International Finance | ||||||||
1.625%, 08/12/13 (E) | 100 | 100 | ||||||
Wal-Mart Stores | ||||||||
5.800%, 02/15/18 | 1,990 | 2,343 | ||||||
115,021 | ||||||||
Consumer Staples — 1.5% |
| |||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 1,420 | 2,051 | ||||||
9.700%, 11/10/18 (A) | 2,125 | 2,862 | ||||||
9.250%, 08/06/19 | 2,300 | 3,069 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 (E) | 7,700 | 9,894 | ||||||
7.200%, 01/15/14 (E) | 100 | 116 | ||||||
5.375%, 11/15/14 (E) | 5,635 | 6,301 | ||||||
5.375%, 01/15/20 | 3,150 | 3,527 | ||||||
5.000%, 04/15/20 | 910 | 995 | ||||||
4.125%, 01/15/15 | 3,910 | 4,193 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/19 (A) | 350 | 419 | ||||||
5.900%, 04/01/17 | 107 | 113 | ||||||
Coca-Cola | ||||||||
3.150%, 11/15/20 | 3,175 | 3,085 | ||||||
1.500%, 11/15/15 | 4,650 | 4,550 | ||||||
CVS Caremark | ||||||||
6.600%, 03/15/19 | 280 | 338 | ||||||
6.125%, 09/15/39 | 140 | 152 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 (A) | 300 | 329 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/13 | 300 | 329 | ||||||
Dr Pepper Snapple Group | ||||||||
6.820%, 05/01/18 | 2,870 | 3,465 | ||||||
2.350%, 12/21/12 | 2,735 | 2,797 | ||||||
GlaxoSmithKline Capital | ||||||||
4.375%, 04/15/14 | 200 | 219 | ||||||
Kraft Foods | ||||||||
6.750%, 02/19/14 (A) | 200 | 232 | ||||||
6.500%, 08/11/17 | 100 | 119 | ||||||
6.500%, 02/09/40 | 6,580 | 7,562 | ||||||
6.125%, 08/23/18 | 700 | 824 | ||||||
5.375%, 02/10/20 | 10,165 | 11,321 | ||||||
Kroger | ||||||||
7.500%, 04/01/31 (A) | 110 | 136 | ||||||
5.400%, 07/15/40 | 45 | 44 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/18 (A) | 339 | 449 | ||||||
5.500%, 01/15/40 | 525 | 562 | ||||||
4.875%, 11/01/40 | 1,315 | 1,292 | ||||||
3.125%, 11/01/20 | 875 | 850 | ||||||
Reynolds American | ||||||||
7.250%, 06/01/12 | 2,090 | 2,248 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SABMiller | ||||||||
5.500%, 08/15/13 (E) | $ | 320 | $ | 350 | ||||
Safeway | ||||||||
6.350%, 08/15/17 | 2,726 | 3,141 | ||||||
Wal-Mart Stores | ||||||||
5.000%, 10/25/40 | 3,720 | 3,686 | ||||||
3.250%, 10/25/20 | 2,715 | 2,649 | ||||||
Woolworths | ||||||||
4.000%, 09/22/20 (E) | 3,395 | 3,410 | ||||||
2.550%, 09/22/15 (E) | 1,475 | 1,491 | ||||||
89,170 | ||||||||
Energy — 2.3% | ||||||||
Alberta Energy | ||||||||
7.375%, 11/01/31 | 200 | 237 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/31 | 73 | 78 | ||||||
Anadarko Petroleum | ||||||||
8.700%, 03/15/19 (A) | 150 | 183 | ||||||
7.625%, 03/15/14 | 450 | 508 | ||||||
6.950%, 06/15/19 | 90 | 101 | ||||||
6.375%, 09/15/17 | 2,312 | 2,498 | ||||||
5.950%, 09/15/16 (A) | 8,560 | 9,134 | ||||||
ANR Pipeline | ||||||||
9.625%, 11/01/21 | 100 | 146 | ||||||
Apache | ||||||||
6.000%, 09/15/13 | 3,300 | 3,704 | ||||||
5.625%, 01/15/17 | 390 | 450 | ||||||
5.100%, 09/01/40 | 1,615 | 1,579 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/18 | 2,290 | 2,946 | ||||||
BP Capital Markets | ||||||||
3.125%, 03/10/12 | 630 | 644 | ||||||
CenterPoint Energy Resources | ||||||||
7.875%, 04/01/13 | 170 | 194 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 885 | 1,112 | ||||||
6.950%, 04/15/29 | 2,315 | 2,924 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/20 (A) | 460 | 556 | ||||||
5.900%, 10/15/32 | 10 | 11 | ||||||
5.900%, 05/15/38 | 700 | 788 | ||||||
El Paso | ||||||||
6.950%, 06/01/28 | 2,250 | 2,183 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
7.500%, 11/15/40 | 3,190 | 3,285 | ||||||
4.100%, 11/15/15 | 530 | 532 | ||||||
Encana | ||||||||
6.500%, 05/15/19 (A) | 565 | 681 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 1,515 | 1,908 | ||||||
6.700%, 07/01/18 | 2,340 | 2,672 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (E) | 900 | 902 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enterprise Products Operating LLC | ||||||||
9.750%, 01/31/14 (A) | $ | 3,610 | $ | 4,398 | ||||
EOG Resources | ||||||||
4.100%, 02/01/21 | 300 | 300 | ||||||
Gazprom Via Gaz Capital | ||||||||
6.212%, 11/22/16 (E) | 427 | 448 | ||||||
Halliburton | ||||||||
6.150%, 09/15/19 | 300 | 352 | ||||||
Hess | ||||||||
8.125%, 02/15/19 | 4,200 | 5,455 | ||||||
7.300%, 08/15/31 | 1,445 | 1,740 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 | 1,649 | 1,991 | ||||||
5.900%, 06/15/14 | 1,625 | 1,802 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/24 | 925 | 1,012 | ||||||
Kinder Morgan Energy Partners | ||||||||
7.125%, 03/15/12 | 1,760 | 1,878 | ||||||
6.000%, 02/01/17 | 610 | 683 | ||||||
5.000%, 12/15/13 | 1,190 | 1,292 | ||||||
Marathon Oil | ||||||||
7.500%, 02/15/19 (A) | 300 | 381 | ||||||
Motiva Enterprises LLC | ||||||||
6.850%, 01/15/40 (E) | 3,050 | 3,565 | ||||||
Occidental Petroleum | ||||||||
7.000%, 11/01/13 | 4,440 | 5,190 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 1,086 | 1,298 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 (A) | 5,602 | 5,853 | ||||||
0.903%, 12/03/12 (B) (E) | 201 | 200 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/40 | 513 | 553 | ||||||
6.125%, 10/06/16 | 1,300 | 1,449 | ||||||
5.750%, 01/20/20 | 1,127 | 1,217 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 3,850 | 4,402 | ||||||
6.050%, 05/15/18 | 260 | 301 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 01/21/21 | 525 | 549 | ||||||
Plains All American Pipeline | ||||||||
3.950%, 09/15/15 | 2,139 | 2,237 | ||||||
Reliance Holdings USA | ||||||||
4.500%, 10/19/20 (E) | 1,480 | 1,407 | ||||||
Rockies Express Pipeline LLC | ||||||||
3.900%, 04/15/15 (E) | 4,600 | 4,635 | ||||||
Shell International Finance BV | ||||||||
6.375%, 12/15/38 | 2,790 | 3,327 | ||||||
4.375%, 03/25/20 | 80 | 87 | ||||||
4.300%, 09/22/19 (A) | 1,000 | 1,075 | ||||||
3.100%, 06/28/15 | 3,466 | 3,633 | ||||||
Sonat | ||||||||
7.625%, 07/15/11 | 2,880 | 2,961 |
54 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Spectra Energy Capital LLC | ||||||||
8.000%, 10/01/19 (A) | $ | 702 | $ | 880 | ||||
Statoil | ||||||||
3.125%, 08/17/17 | 200 | 205 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 345 | 380 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 (A) | 390 | 494 | ||||||
Tosco | ||||||||
8.125%, 02/15/30 | 100 | 132 | ||||||
7.800%, 01/01/27 | 210 | 268 | ||||||
Total Capital | ||||||||
3.000%, 06/24/15 | 2,460 | 2,563 | ||||||
2.300%, 03/15/16 | 300 | 298 | ||||||
TransCanada PipeLines | ||||||||
7.125%, 01/15/19 (A) | 200 | 251 | ||||||
6.500%, 08/15/18 | 425 | 518 | ||||||
3.800%, 10/01/20 | 1,770 | 1,788 | ||||||
Transocean | ||||||||
6.500%, 11/15/20 | 485 | 528 | ||||||
4.950%, 11/15/15 | 4,715 | 4,916 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/28 | 150 | 153 | ||||||
Valero Energy | ||||||||
9.375%, 03/15/19 (A) | 8,525 | 10,784 | ||||||
Williams | ||||||||
8.750%, 03/15/32 (A) | 3,526 | 4,291 | ||||||
7.875%, 09/01/21 | 2,862 | 3,461 | ||||||
7.750%, 06/15/31 | 548 | 615 | ||||||
Williams Partners | ||||||||
5.250%, 03/15/20 | 1,140 | 1,221 | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | 15 | 17 | ||||||
XTO Energy | ||||||||
7.500%, 04/15/12 | 1,320 | 1,439 | ||||||
5.650%, 04/01/16 | 390 | 459 | ||||||
4.625%, 06/15/13 | 100 | 109 | ||||||
141,397 | ||||||||
Financials — 14.0% | ||||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/15 | 380 | 426 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (E) | 7,285 | 7,682 | ||||||
Aegon, Ser CMS | ||||||||
2.628%, 07/29/49 (B) | 2,180 | 1,317 | ||||||
AEP Texas Central Transition Funding LLC | ||||||||
5.090%, 07/01/15 | 8,975 | 10,041 | ||||||
4.980%, 07/01/13 | 5,025 | 5,268 | ||||||
Aflac | ||||||||
6.450%, 08/15/40 | 92 | 93 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Allstate | ||||||||
7.450%, 05/16/19 | $ | 4,580 | $ | 5,679 | ||||
5.000%, 08/15/14 | 300 | 332 | ||||||
Ally Financial | ||||||||
7.250%, 03/02/11 | 1,744 | 1,759 | ||||||
2.496%, 12/01/14 (B) | 4,579 | 4,098 | ||||||
1.750%, 10/30/12 | 3,960 | 4,048 | ||||||
American Express MTN | ||||||||
7.250%, 05/20/14 | 360 | 414 | ||||||
7.000%, 03/19/18 | 500 | 593 | ||||||
5.875%, 05/02/13 | 2,100 | 2,291 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/13 | 500 | 566 | ||||||
5.125%, 08/25/14 | 3,530 | 3,840 | ||||||
2.750%, 09/15/15 | 5,975 | 5,906 | ||||||
American General Finance MTN | ||||||||
6.900%, 12/15/17 | 1,200 | 951 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/20 (E) | 2,840 | 2,830 | ||||||
2.375%, 03/18/13 (E) | 150 | 153 | ||||||
American International Group | ||||||||
6.400%, 12/15/20 | 1,860 | 1,855 | ||||||
6.250%, 03/15/37 | 5,000 | 4,263 | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (E) | 190 | 193 | ||||||
AON | ||||||||
6.250%, 09/30/40 | 79 | 80 | ||||||
3.500%, 09/30/15 | 46 | 47 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (E) | 450 | 469 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/18 | 450 | 501 | ||||||
Australia & New Zealand Banking Group | ||||||||
3.700%, 01/13/15 (E) | 4,000 | 4,206 | ||||||
0.588%, 10/29/49 (B) | 1,400 | 868 | ||||||
BA Covered Bond Issuer | ||||||||
5.500%, 06/14/12 (E) | 1,500 | 1,574 | ||||||
BAC Capital Trust XIV | ||||||||
5.630%, 03/15/12 (B) | 180 | 128 | ||||||
BAC Capital Trust XV | ||||||||
1.096%, 06/01/56 (B) | 9,235 | 5,752 | ||||||
Bank of America | ||||||||
7.625%, 06/01/19 | 750 | 853 | ||||||
7.400%, 01/15/11 | 2,500 | 2,520 | ||||||
7.375%, 05/15/14 | 4,030 | 4,503 | ||||||
6.500%, 08/01/16 | 8,755 | 9,508 | ||||||
6.100%, 06/15/17 | 2,000 | 2,090 | ||||||
6.000%, 09/01/17 | 2,630 | 2,762 | ||||||
5.750%, 12/01/17 | 2,640 | 2,735 | ||||||
5.650%, 05/01/18 (A) | 240 | 246 | ||||||
5.625%, 07/01/20 | 6,720 | 6,756 | ||||||
5.420%, 03/15/17 | 5,030 | 4,986 | ||||||
4.500%, 04/01/15 | 6,790 | 6,962 | ||||||
3.700%, 09/01/15 (A) | 3,985 | 3,934 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of Montreal | ||||||||
2.850%, 06/09/15 (E) | $ | 2,720 | $ | 2,838 | ||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/20 (A) | 160 | 173 | ||||||
2.950%, 06/18/15 (A) | 500 | 518 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/15 | 328 | 347 | ||||||
1.650%, 10/29/15 (E) | 355 | 349 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (E) | 2,227 | 2,366 | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/17 (E) | 2,490 | 2,619 | ||||||
5.200%, 07/10/14 | 1,250 | 1,367 | ||||||
5.140%, 10/14/20 | 3,060 | 2,813 | ||||||
5.125%, 01/08/20 (A) | 4,330 | 4,447 | ||||||
5.000%, 09/22/16 (A) | 4,800 | 5,144 | ||||||
2.500%, 01/23/13 (A) | 500 | 509 | ||||||
2.500%, 09/21/15 (A) (E) | 365 | 359 | ||||||
0.625%, 08/07/49 (B) | 380 | 228 | ||||||
Barnett Capital III | ||||||||
0.912%, 02/01/27 (B) | 600 | 423 | ||||||
BB&T | ||||||||
6.850%, 04/30/19 (A) | 115 | 137 | ||||||
4.900%, 06/30/17 | 400 | 418 | ||||||
3.950%, 04/29/16 (A) | 555 | 579 | ||||||
3.850%, 07/27/12 | 150 | 156 | ||||||
3.375%, 09/25/13 (A) | 620 | 652 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 2,930 | 3,500 | ||||||
6.400%, 10/02/17 | 3,910 | 4,477 | ||||||
4.650%, 07/02/18 | 3,000 | 3,107 | ||||||
Berkshire Hathaway | ||||||||
3.200%, 02/11/15 | 3,010 | 3,155 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 (A) | 400 | 445 | ||||||
BlackRock | ||||||||
6.250%, 09/15/17 | 570 | 658 | ||||||
Blackstone Holdings Finance LLC | ||||||||
5.875%, 03/15/21 (E) | 1,180 | 1,173 | ||||||
BNP Paribas Home Loan Covered Bonds | ||||||||
2.200%, 11/02/15 (E) | 5,145 | 5,076 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/19 | 920 | 1,012 | ||||||
Boston Properties | ||||||||
4.125%, 05/15/21‡ | 1,400 | 1,359 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | 3,230 | 3,511 | ||||||
3.875%, 03/10/15 (A) | 630 | 656 | ||||||
3.625%, 05/08/14 | 100 | 104 | ||||||
Branch Banking & Trust | ||||||||
5.625%, 09/15/16 | 325 | 363 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (E) | 1,000 | 1,032 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/19 (A) | $ | 2,615 | $ | 3,255 | ||||
Capital One Financial | ||||||||
7.375%, 05/23/14 | 450 | 520 | ||||||
6.750%, 09/15/17 | 590 | 692 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/19 | 250 | 318 | ||||||
6.200%, 09/30/13 | 5,640 | 6,412 | ||||||
5.850%, 09/01/17 | 580 | 671 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (E) | 6,800 | 7,045 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/14 (E) | 941 | 969 | ||||||
Charles Schwab | ||||||||
4.950%, 06/01/14 | 100 | 111 | ||||||
Chase Capital VI | ||||||||
0.912%, 08/01/28 (B) | 2,000 | 1,522 | ||||||
Citigroup | ||||||||
8.500%, 05/22/19 | 600 | 735 | ||||||
8.125%, 07/15/39 (A) | 400 | 486 | ||||||
6.875%, 03/05/38 | 4,618 | 4,949 | ||||||
6.500%, 08/19/13 (A) | 2,370 | 2,616 | ||||||
6.375%, 08/12/14 (A) | 4,971 | 5,506 | ||||||
6.125%, 05/15/18 | 390 | 425 | ||||||
6.010%, 01/15/15 (A) | 2,330 | 2,542 | ||||||
6.000%, 12/13/13 | 3,920 | 4,288 | ||||||
6.000%, 08/15/17 | 6,675 | 7,215 | ||||||
5.875%, 02/22/33 | 6,150 | 5,700 | ||||||
5.500%, 04/11/13 (A) | 1,758 | 1,884 | ||||||
5.500%, 02/15/17 | 6,880 | 7,149 | ||||||
5.375%, 08/09/20 (A) | 3,090 | 3,161 | ||||||
5.000%, 09/15/14 | 2,890 | 2,972 | ||||||
4.750%, 05/19/15 (A) | 2,005 | 2,092 | ||||||
0.838%, 08/25/36 (B) | 2,839 | 1,771 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/36 | 2,000 | 2,075 | ||||||
Citigroup Funding MTN | ||||||||
1.875%, 10/22/12 | 5,355 | 5,485 | ||||||
0.618%, 04/30/12 (B) | 4,900 | 4,928 | ||||||
CME Group | ||||||||
5.750%, 02/15/14 (A) | 177 | 199 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/20 | 274 | 278 | ||||||
5.850%, 12/15/14 | 200 | 214 | ||||||
Comerica | ||||||||
3.000%, 09/16/15 (A) | 145 | 146 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/19 (E) | 900 | 967 | ||||||
3.750%, 10/15/14 (E) | 2,110 | 2,230 | ||||||
CommonWealth REIT | ||||||||
6.650%, 01/15/18‡ | 255 | 273 | ||||||
6.250%, 08/15/16‡ | 300 | 321 | ||||||
5.875%, 09/15/20‡ | 95 | 94 |
56 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
11.000%, 12/31/49 (B) (E) | $ | 2,823 | $ | 3,677 | ||||
3.200%, 03/11/15 (E) | 700 | 725 | ||||||
Corestates Capital I | ||||||||
8.000%, 12/15/26 (E) | 629 | 642 | ||||||
Countrywide Financial MTN | ||||||||
5.800%, 06/07/12 | 4,283 | 4,502 | ||||||
4.000%, 03/22/11 | 2,250 | 2,273 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/16 | 1,430 | 1,490 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/49 (A) (B) (E) | 4,740 | 4,811 | ||||||
Credit Suisse NY MTN | ||||||||
6.000%, 02/15/18 | 9,400 | 10,253 | ||||||
5.500%, 05/01/14 | 125 | 139 | ||||||
5.300%, 08/13/19 | 600 | 644 | ||||||
5.000%, 05/15/13 | 4,189 | 4,529 | ||||||
3.450%, 07/02/12 (A) | 300 | 312 | ||||||
Credit Suisse USA | ||||||||
5.125%, 01/15/14 (A) | 335 | 368 | ||||||
5.125%, 08/15/15 (A) | 310 | 345 | ||||||
Depfa ACS Bank | ||||||||
5.125%, 03/16/37 (E) | 1,760 | 1,282 | ||||||
Deutsche Bank | ||||||||
3.875%, 08/18/14 (A) | 295 | 313 | ||||||
2.375%, 01/11/13 (A) | 2,500 | 2,553 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/49 (B) (E) | 4,789 | 4,262 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (E) | 13,575 | 13,880 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (A) (E) | 8,452 | 8,372 | ||||||
Dresdner Funding Trust I | ||||||||
8.151%, 06/30/31 (E) | 365 | 339 | ||||||
ERP Operating | ||||||||
5.750%, 06/15/17‡ | 500 | 559 | ||||||
5.125%, 03/15/16‡ | 1,000 | 1,100 | ||||||
Export-Import Bank of Korea | ||||||||
5.500%, 10/17/12 | 1,510 | 1,602 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/48 (E) | 2,519 | 2,351 | ||||||
7.050%, 07/15/28 (E) | 1,063 | 1,048 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/24 (E) | 4,118 | 4,703 | ||||||
FIH Erhvervsbank | ||||||||
2.000%, 06/12/13 (E) | 4,070 | 4,170 | ||||||
First Chicago NBD Institutional Capital I | ||||||||
0.837%, 02/01/27 (B) | 3,750 | 2,891 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/17 | 1,765 | 1,579 | ||||||
Fleet Capital Trust II | ||||||||
7.920%, 12/11/26 | 1,600 | 1,604 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FMR LLC | ||||||||
6.450%, 11/15/39 (E) | $ | 250 | $ | 245 | ||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 5,361 | 5,955 | ||||||
6.375%, 11/15/67 (B) | 6,495 | 6,414 | ||||||
6.000%, 08/07/19 | 920 | 1,017 | ||||||
5.900%, 05/13/14 (A) | 5,010 | 5,592 | ||||||
5.875%, 01/14/38 | 6,875 | 6,733 | ||||||
5.625%, 09/15/17 (A) | 800 | 882 | ||||||
5.625%, 05/01/18 | 6,775 | 7,398 | ||||||
5.500%, 01/08/20 (A) | 910 | 974 | ||||||
5.450%, 01/15/13 (A) | 180 | 194 | ||||||
5.400%, 02/15/17 (A) | 1,800 | 1,968 | ||||||
2.625%, 12/28/12 | 6,140 | 6,395 | ||||||
0.666%, 05/05/26 (B) | 4,345 | 3,520 | ||||||
0.552%, 09/15/14 (B) | 6,550 | 6,348 | ||||||
0.414%, 03/20/14 (B) | 2,000 | 1,897 | ||||||
0.409%, 04/10/12 (B) | 500 | 498 | ||||||
Glitnir Banki (E) (F) | ||||||||
7.451%, 09/14/16 | 500 | — | ||||||
6.693%, 06/15/16 | 4,480 | — | ||||||
6.375%, 09/25/12 | 3,100 | 938 | ||||||
6.330%, 07/28/11 | 2,440 | 738 | ||||||
Goldman Sachs Capital II | ||||||||
5.793%, 12/29/49 (B) | 15,810 | 13,359 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 | 6,355 | 7,413 | ||||||
6.750%, 10/01/37 | 6,506 | 6,529 | ||||||
6.600%, 01/15/12 | 2,960 | 3,137 | ||||||
6.250%, 09/01/17 (A) | 1,400 | 1,567 | ||||||
6.150%, 04/01/18 | 7,800 | 8,544 | ||||||
6.000%, 06/15/20 | 2,463 | 2,640 | ||||||
5.950%, 01/18/18 | 500 | 543 | ||||||
5.450%, 11/01/12 | 750 | 807 | ||||||
5.375%, 03/15/20 | 540 | 554 | ||||||
5.300%, 02/14/12 | 150 | 157 | ||||||
5.250%, 10/15/13 (A) | 980 | 1,062 | ||||||
5.150%, 01/15/14 (A) | 470 | 509 | ||||||
4.750%, 07/15/13 | 230 | 246 | ||||||
3.700%, 08/01/15 | 1,200 | 1,226 | ||||||
3.625%, 08/01/12 | 470 | 487 | ||||||
0.789%, 01/12/15 (B) | 3,000 | 2,902 | ||||||
0.688%, 07/22/15 (B) | 1,000 | 951 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/20 | 2,415 | 2,462 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/18 (E) | 5,100 | 4,886 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (B) (E) | 1,920 | 1,675 | ||||||
HCP MTN | ||||||||
6.700%, 01/30/18‡ (A) | 5,423 | 5,985 | ||||||
6.300%, 09/15/16‡ | 354 | 390 | ||||||
6.000%, 01/30/17‡ | 6,580 | 7,036 | ||||||
5.650%, 12/15/13‡ | 2,765 | 2,998 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care REIT | ||||||||
4.950%, 01/15/21‡ | $ | 4,910 | $ | 4,814 | ||||
Highwoods Properties | ||||||||
7.500%, 04/15/18‡ | 1,339 | 1,511 | ||||||
Hongkong & Shanghai Banking | ||||||||
0.438%, 07/22/49 (B) | 195 | 118 | ||||||
HSBC Bank | ||||||||
4.125%, 08/12/20 (E) | 261 | 258 | ||||||
0.850%, 06/29/49 (B) | 1,160 | 702 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 | 300 | 318 | ||||||
HSBC Finance | ||||||||
7.000%, 05/15/12 | 1,975 | 2,123 | ||||||
6.375%, 11/27/12 | 365 | 397 | ||||||
5.500%, 01/19/16 | 600 | 664 | ||||||
4.750%, 07/15/13 (A) | 166 | 176 | ||||||
0.539%, 01/15/14 (B) | 500 | 480 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/38 | 3,099 | 3,300 | ||||||
Hutchison Whampoa International 09 | ||||||||
4.625%, 09/11/15 (E) | 5,490 | 5,870 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (B) (E) | 1,200 | 937 | ||||||
International Lease Finance | ||||||||
6.750%, 09/01/16 (E) | 4,150 | 4,378 | ||||||
6.500%, 09/01/14 (E) | 4,190 | 4,389 | ||||||
5.250%, 01/10/13 (A) | 400 | 396 | ||||||
Intesa Sanpaolo | ||||||||
3.625%, 08/12/15 (E) | 1,440 | 1,422 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (A) (E) | 2,770 | 2,903 | ||||||
Jackson National Life Global Funding MTN | ||||||||
5.375%, 05/08/13 (E) | 610 | 658 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 90 | 105 | ||||||
6.450%, 06/08/27 | 590 | 569 | ||||||
6.250%, 01/15/36 | 400 | 363 | ||||||
3.875%, 11/09/15 | 171 | 169 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/18 | 300 | 351 | ||||||
JPMorgan Chase | ||||||||
5.750%, 01/02/13 | 810 | 879 | ||||||
5.500%, 10/15/40 | 875 | 875 | ||||||
5.150%, 10/01/15 | 240 | 259 | ||||||
5.125%, 09/15/14 | 136 | 147 | ||||||
4.950%, 03/25/20 | 440 | 454 | ||||||
4.250%, 10/15/20 | 2,040 | 1,993 | ||||||
3.700%, 01/20/15 | 370 | 386 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/17 | 2,300 | 2,563 | ||||||
6.000%, 10/01/17 | 4,435 | 4,985 | ||||||
0.623%, 06/13/16 (B) | 4,250 | 4,002 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.239%, 09/30/34 (B) | $ | 1,440 | $ | 1,082 | ||||
JPMorgan Chase Capital XXII | ||||||||
6.450%, 02/02/37 | 500 | 493 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.286%, 05/15/47 (B) | 4,000 | 2,887 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | 2,775 | 2,782 | ||||||
Kaupthing Bank (E) (F) | ||||||||
7.625%, 02/28/15 | 8,130 | 2,175 | ||||||
7.125%, 05/19/16 | 12,000 | 1 | ||||||
5.750%, 10/04/11 | 1,120 | 300 | ||||||
KeyBank | ||||||||
5.800%, 07/01/14 | 600 | 653 | ||||||
Kilroy Realty | ||||||||
6.625%, 06/01/20‡ | 1,310 | 1,332 | ||||||
5.000%, 11/03/15‡ | 925 | 935 | ||||||
Korea Development Bank | ||||||||
4.375%, 08/10/15 (A) | 710 | 738 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/11 (E) (F) | 6,520 | 750 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 2,880 | 3,168 | ||||||
6.850%, 06/15/17 | 3,990 | 4,237 | ||||||
LBG Capital No. 1 MTN | ||||||||
8.000%, 12/15/49 (B) | 3,500 | 3,220 | ||||||
Lehman Brothers Holdings MTN | ||||||||
6.750%, 12/28/17 (F) | 10,370 | 1 | ||||||
6.500%, 07/19/17 (F) | 4,040 | 5 | ||||||
Lehman Brothers Holdings Capital Trust VII MTN | ||||||||
5.857%, 11/29/49 (F) | 20,630 | 2 | ||||||
Liberty Mutual Group | ||||||||
7.500%, 08/15/36 (E) | 1,641 | 1,622 | ||||||
Lloyds TSB Bank MTN | ||||||||
6.500%, 09/14/20 (E) | 3,093 | 2,852 | ||||||
5.800%, 01/13/20 (E) | 480 | 473 | ||||||
4.375%, 01/12/15 (E) | 2,050 | 2,075 | ||||||
M&T Bank | ||||||||
5.375%, 05/24/12 | 325 | 343 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (E) | 3,010 | 4,030 | ||||||
MassMutual Global Funding II | ||||||||
3.625%, 07/16/12 (E) | 300 | 312 | ||||||
2.875%, 04/21/14 (E) | 122 | 128 | ||||||
2.300%, 09/28/15 (E) | 100 | 100 | ||||||
MBNA Capital, Ser A | ||||||||
8.278%, 12/01/26 | 3,185 | 3,209 | ||||||
Merrill Lynch | ||||||||
7.430%, 09/01/22 (I) | 4 | 4 | ||||||
6.875%, 04/25/18 (A) | 980 | 1,078 | ||||||
6.400%, 08/28/17 (A) | 900 | 966 | ||||||
6.150%, 04/25/13 | 210 | 225 | ||||||
5.700%, 05/02/17 | 600 | 605 |
58 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MetLife | ||||||||
7.717%, 02/15/19 | $ | 1,750 | $ | 2,174 | ||||
6.750%, 06/01/16 | 2,950 | 3,461 | ||||||
6.400%, 12/15/36 (A) | 10,020 | 9,519 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (E) | 2,700 | 3,193 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 04/10/13 (E) | 200 | 217 | ||||||
5.125%, 06/10/14 (E) | 1,575 | 1,746 | ||||||
2.875%, 09/17/12 (E) | 600 | 617 | ||||||
2.500%, 01/11/13 (E) | 325 | 333 | ||||||
2.500%, 09/29/15 (E) | 2,935 | 2,916 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/13 (E) | 235 | 254 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 215 | 242 | ||||||
6.625%, 04/01/18 | 5,190 | 5,672 | ||||||
6.250%, 08/28/17 (A) | 550 | 597 | ||||||
6.000%, 05/13/14 | 5,135 | 5,598 | ||||||
5.950%, 12/28/17 | 1,788 | 1,888 | ||||||
5.625%, 09/23/19 | 1,190 | 1,211 | ||||||
5.550%, 04/27/17 (A) | 7,214 | 7,614 | ||||||
5.300%, 03/01/13 (A) | 400 | 429 | ||||||
4.750%, 04/01/14 (A) | 2,270 | 2,358 | ||||||
4.200%, 11/20/14 | 1,836 | 1,900 | ||||||
3.450%, 11/02/15 | 3,055 | 2,998 | ||||||
0.739%, 10/18/16 (B) | 9,200 | 8,325 | ||||||
0.641%, 06/20/12 (B) | 7,510 | 7,558 | ||||||
0.539%, 01/18/11 (B) | 215 | 215 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/13 (E) | 5,495 | 5,993 | ||||||
3.750%, 03/02/15 (A) (E) | 455 | 479 | ||||||
2.500%, 01/08/13 (E) | 550 | 564 | ||||||
National Capital Trust II | ||||||||
5.486%, 12/29/49 (B) (E) | 3,207 | 3,132 | ||||||
National City | ||||||||
4.900%, 01/15/15 | 400 | 437 | ||||||
National City Bank | ||||||||
5.800%, 06/07/17 | 525 | 582 | ||||||
0.673%, 06/07/17 (B) | 3,000 | 2,700 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/18 | 230 | 324 | ||||||
2.625%, 09/16/12 | 95 | 98 | ||||||
Nationwide Mutual Insurance | ||||||||
6.600%, 04/15/34 (E) | 2,483 | 2,165 | ||||||
5.810%, 12/15/24 (B) (E) | 3,900 | 3,454 | ||||||
NB Capital Trust IV | ||||||||
8.250%, 04/15/27 | 2,305 | 2,322 | ||||||
New York Life Global Funding | ||||||||
4.650%, 05/09/13 (A) (E) | 300 | 323 | ||||||
3.000%, 05/04/15 (E) | 5,380 | 5,611 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/20 | $ | 629 | $ | 691 | ||||
5.000%, 03/04/15 | 130 | 137 | ||||||
Nordea Bank | ||||||||
4.875%, 01/27/20 (E) | 140 | 148 | ||||||
3.700%, 11/13/14 (E) | 6,355 | 6,661 | ||||||
1.750%, 10/04/13 (E) | 200 | 200 | ||||||
Northern Trust | ||||||||
5.500%, 08/15/13 | 85 | 95 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (E) | 2,655 | 2,890 | ||||||
Odebrecht Drilling Norbe VIII | ||||||||
6.350%, 06/30/21 (E) | 2,225 | 2,258 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.150%, 04/15/13 (E) | 370 | 398 | ||||||
5.000%, 05/15/17 (E) | 170 | 179 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 | 340 | 363 | ||||||
Power Receivables Finance | ||||||||
6.290%, 01/01/12 | 1,035 | 1,052 | ||||||
6.290%, 01/01/12 (E) | 327 | 327 | ||||||
PPF Funding | ||||||||
5.500%, 01/15/14‡ (E) | 5,000 | 5,033 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (E) | 300 | 334 | ||||||
Prime Property Funding II | ||||||||
5.600%, 06/15/11 (E) | 3,380 | 3,428 | ||||||
Principal Life Global Funding I | ||||||||
6.250%, 02/15/12 (E) | 600 | 629 | ||||||
5.050%, 03/15/15 (E) | 750 | 811 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/14 | 600 | 654 | ||||||
Prudential Financial MTN | ||||||||
6.200%, 11/15/40 | 2,140 | 2,190 | ||||||
4.500%, 11/15/20 | 890 | 882 | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/23 (E) | 2,500 | 3,054 | ||||||
1.166%, 12/18/17 (B) (E) | 3,725 | 3,229 | ||||||
Qatari Diar Finance QSC | ||||||||
5.000%, 07/21/20 (E) | 3,665 | 3,731 | ||||||
Reckson Operating Partnership | ||||||||
7.750%, 03/15/20‡ | 1,539 | 1,666 | ||||||
Resona Preferred Global Securities Cayman | ||||||||
7.191%, 07/30/49 (B) (E) | 3,240 | 3,213 | ||||||
Royal Bank of Canada | ||||||||
0.500%, 06/29/85 (B) | 860 | 550 | ||||||
Royal Bank of Scotland | ||||||||
4.875%, 03/16/15 | 800 | 827 | ||||||
3.950%, 09/21/15 | 3,150 | 3,169 | ||||||
Royal Bank of Scotland Group MTN | ||||||||
7.640%, 09/29/17 | 1,300 | 858 | ||||||
6.400%, 10/21/19 | 4,330 | 4,360 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||
6.299%, 05/15/17 (E) | $ | 1,190 | $ | 1,202 | ||||
Santander US Debt Unipersonal | ||||||||
3.724%, 01/20/15 (E) | 3,100 | 2,986 | ||||||
Security Benefit Life Insurance | ||||||||
8.750%, 05/15/16 (E) | 5,200 | 5,122 | ||||||
Shinsei Finance Cayman | ||||||||
6.418%, 01/29/49 (B) (E) | 3,175 | 2,667 | ||||||
Simon Property Group | ||||||||
10.350%, 04/01/19‡ | 520 | 727 | ||||||
6.750%, 05/15/14‡ | 165 | 189 | ||||||
5.650%, 02/01/20‡ | 133 | 149 | ||||||
Sinochem Overseas Capital | ||||||||
6.300%, 11/12/40 (E) | 535 | 536 | ||||||
SLM MTN | ||||||||
8.450%, 06/15/18 | 550 | 574 | ||||||
Societe Generale | ||||||||
0.344%, 11/29/49 (B) | 860 | 477 | ||||||
Sparebanken 1 Boligkreditt | ||||||||
1.250%, 10/25/13 (E) | 4,075 | 4,063 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (E) | 1,394 | 1,400 | ||||||
State Street | ||||||||
4.300%, 05/30/14 | 60 | 65 | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/15 (E) | 2,510 | 2,607 | ||||||
SunTrust Capital VIII | ||||||||
6.100%, 12/15/36 (B) | 2,820 | 2,573 | ||||||
SunTrust Preferred Capital I | ||||||||
5.853%, 12/15/11 (B) | 2,643 | 2,022 | ||||||
Tanger Properties | ||||||||
6.125%, 06/01/20‡ | 1,370 | 1,508 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (E) | 4,870 | 5,660 | ||||||
TNK-BP Finance | ||||||||
6.625%, 03/20/17 (E) | 510 | 542 | ||||||
Toll Road Investors Partnership II | ||||||||
5.821%, 02/15/45 (C) (E) | 7,178 | 1,037 | ||||||
Toronto-Dominion Bank | ||||||||
2.200%, 07/29/15 (E) | 295 | 299 | ||||||
Toyota Motor Credit MTN | ||||||||
3.200%, 06/17/15 | 308 | 328 | ||||||
Travelers | ||||||||
5.900%, 06/02/19 (A) | 145 | 168 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/26 | 300 | 369 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/17 (A) | 520 | 581 | ||||||
4.875%, 08/04/20 | 600 | 622 | ||||||
3.875%, 01/15/15 | 2,690 | 2,824 | ||||||
2.250%, 08/12/13 | 250 | 254 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UDR MTN | ||||||||
5.000%, 01/15/12‡ | $ | 2,000 | $ | 2,062 | ||||
US Bancorp | ||||||||
2.875%, 11/20/14 | 415 | 431 | ||||||
2.000%, 06/14/13 (A) | 300 | 306 | ||||||
1.125%, 10/30/13 | 2,355 | 2,345 | ||||||
Ventas Realty | ||||||||
3.125%, 11/30/15‡ | 1,315 | 1,291 | ||||||
Wachovia | ||||||||
5.750%, 06/15/17 (A) | 690 | 773 | ||||||
5.500%, 05/01/13 | 600 | 657 | ||||||
5.250%, 08/01/14 | 650 | 700 | ||||||
0.628%, 10/28/15 (B) | 3,760 | 3,542 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/38 | 2,070 | 2,261 | ||||||
6.000%, 11/15/17 | 3,650 | 4,075 | ||||||
0.622%, 03/15/16 (B) | 1,200 | 1,110 | ||||||
Wachovia Capital Trust III | ||||||||
5.800%, 12/31/49 (B) | 3,252 | 2,732 | ||||||
WCI Finance LLC | ||||||||
5.400%, 10/01/12 (E) | 2,093 | 2,229 | ||||||
WEA Finance LLC | ||||||||
7.500%, 06/02/14 (E) | 1,455 | 1,680 | ||||||
7.125%, 04/15/18 (A) (E) | 5,378 | 6,289 | ||||||
6.750%, 09/02/19 (E) | 421 | 486 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/17 (A) | 350 | 393 | ||||||
5.000%, 11/15/14 | 1,145 | 1,243 | ||||||
3.750%, 10/01/14 | 1,830 | 1,932 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/36 | 1,630 | 1,591 | ||||||
Wells Fargo Capital XV | ||||||||
9.750%, 12/31/49 (A) (B) | 7,770 | 8,654 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 (A) | 919 | 984 | ||||||
2.250%, 11/19/12 | 5,100 | 5,227 | ||||||
Woodbourne Capital Trust I | ||||||||
2.940%, 04/08/49 (B) (E) | 625 | 256 | ||||||
Woodbourne Capital Trust II | ||||||||
3.240%, 04/08/49 (B) (E) | 625 | 256 | ||||||
Woodbourne Capital Trust III | ||||||||
3.240%, 04/08/49 (B) (E) | 625 | 256 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 1,245 | 1,244 | ||||||
ZFS Finance USA Trust I | ||||||||
6.150%, 12/15/65 (B) (E) | 4,049 | 4,019 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/65 (B) (E) | 2,700 | 2,632 | ||||||
ZFS Finance USA Trust III | ||||||||
1.442%, 12/15/65 (B) (E) | 620 | 618 | ||||||
851,211 | ||||||||
60 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 0.7% | ||||||||
Abbott Laboratories | ||||||||
5.600%, 11/30/17 | $ | 470 | $ | 549 | ||||
Allergan | ||||||||
3.375%, 09/15/20 | 3,880 | 3,805 | ||||||
Amgen | ||||||||
5.750%, 03/15/40 (A) | 677 | 732 | ||||||
5.700%, 02/01/19 | 100 | 117 | ||||||
4.500%, 03/15/20 | 84 | 91 | ||||||
3.450%, 10/01/20 | 4,020 | 3,957 | ||||||
Becton Dickinson | ||||||||
3.250%, 11/12/20 | 1,445 | 1,410 | ||||||
CareFusion | ||||||||
4.125%, 08/01/12 (A) | 1,705 | 1,782 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 (A) | 2,680 | 2,710 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/18 | 2,250 | 2,642 | ||||||
HCA | ||||||||
5.750%, 03/15/14 | 5,548 | 5,444 | ||||||
Hospira | ||||||||
6.400%, 05/15/15 | 20 | 23 | ||||||
Humana | ||||||||
7.200%, 06/15/18 (A) | 2,210 | 2,566 | ||||||
Life Technologies | ||||||||
4.400%, 03/01/15 | 1,507 | 1,592 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/15 (A) | 135 | 137 | ||||||
Medtronic | ||||||||
4.450%, 03/15/20 (A) | 1,370 | 1,482 | ||||||
Pfizer | ||||||||
5.350%, 03/15/15 | 410 | 469 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/18 (A) | 430 | 528 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/19 (E) | 2,310 | 2,759 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 505 | 587 | ||||||
5.800%, 03/15/36 | 560 | 566 | ||||||
5.700%, 10/15/40 | 970 | 977 | ||||||
3.875%, 10/15/20 | 1,020 | 1,002 | ||||||
WellPoint | ||||||||
5.875%, 06/15/17 | 350 | 398 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 3,610 | 4,097 | ||||||
40,422 | ||||||||
Industrials — 0.5% | ||||||||
Air 2 US | ||||||||
8.027%, 10/01/19 (E) | 1,971 | 1,971 | ||||||
Allied Waste North America | ||||||||
6.875%, 06/01/17 | 605 | 671 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boeing | ||||||||
4.875%, 02/15/20 | $ | 2,760 | $ | 3,088 | ||||
Browning-Ferris Industries | ||||||||
9.250%, 05/01/21 | 65 | 85 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
7.290%, 06/01/36 | 200 | 243 | ||||||
5.750%, 05/01/40 | 3,046 | 3,202 | ||||||
4.700%, 10/01/19 (A) | 375 | 405 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/17 | 150 | 175 | ||||||
Cargill | ||||||||
7.350%, 03/06/19 (E) | 400 | 496 | ||||||
CSX | ||||||||
9.780%, 02/14/11 | 100 | 101 | ||||||
7.375%, 02/01/19 | 460 | 575 | ||||||
6.300%, 03/15/12 | 110 | 117 | ||||||
General Electric | ||||||||
5.250%, 12/06/17 (A) | 250 | 274 | ||||||
Koninklijke Philips Electronics | ||||||||
7.200%, 06/01/26 | 300 | 367 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 (E) | 405 | 430 | ||||||
Northrop Grumman | ||||||||
5.050%, 11/15/40 | 975 | 944 | ||||||
3.500%, 03/15/21 | 2,350 | 2,268 | ||||||
1.850%, 11/15/15 | 3,205 | 3,148 | ||||||
Pitney Bowes | ||||||||
5.600%, 03/15/18 | 100 | 106 | ||||||
5.000%, 03/15/15 | 225 | 242 | ||||||
4.875%, 08/15/14 | 325 | 348 | ||||||
Raytheon | ||||||||
3.125%, 10/15/20 | 2,325 | 2,226 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/16 | 132 | 134 | ||||||
Systems 2001 AT LLC | ||||||||
6.664%, 09/15/13 (E) | 172 | 189 | ||||||
Tyco International Finance | ||||||||
8.500%, 01/15/19 (A) | 170 | 223 | ||||||
Tyco International Group | ||||||||
6.750%, 02/15/11 | 1,170 | 1,184 | ||||||
6.000%, 11/15/13 | 1,945 | 2,185 | ||||||
Union Pacific | ||||||||
7.000%, 02/01/16 | 500 | 599 | ||||||
Union Pacific Railroad 2003 Pass Through Trust | ||||||||
4.698%, 01/02/24 | 171 | 185 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/13 | 1,740 | 1,871 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/20 | 140 | 192 | ||||||
United Technologies | ||||||||
8.875%, 11/15/19 | 400 | 559 | ||||||
5.400%, 05/01/35 | 670 | 711 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Waste Management | ||||||||
7.125%, 12/15/17 | $ | 1,720 | $ | 2,079 | ||||
4.750%, 06/30/20 | 299 | 319 | ||||||
31,912 | ||||||||
Information Technology — 0.4% | ||||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 1,960 | 2,090 | ||||||
Arrow Electronics | ||||||||
6.875%, 07/01/13 | 100 | 111 | ||||||
6.875%, 06/01/18 | 270 | 304 | ||||||
6.000%, 04/01/20 | 225 | 237 | ||||||
5.125%, 03/01/21 | 1,390 | 1,365 | ||||||
3.375%, 11/01/15 | 975 | 961 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/15 (E) | 360 | 393 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 (A) | 250 | 278 | ||||||
5.500%, 01/15/40 | 1,339 | 1,413 | ||||||
4.450%, 01/15/20 | 730 | 790 | ||||||
Dell | ||||||||
5.650%, 04/15/18 | 415 | 466 | ||||||
Harris | ||||||||
6.150%, 12/15/40 | 620 | 617 | ||||||
Hewlett-Packard | ||||||||
3.750%, 12/01/20 | 2,380 | 2,391 | ||||||
2.950%, 08/15/12 | 80 | 83 | ||||||
2.200%, 12/01/15 | 3,075 | 3,089 | ||||||
2.125%, 09/13/15 (A) | 4,740 | 4,754 | ||||||
HP Enterprise Services LLC | ||||||||
7.450%, 10/15/29 | 500 | 645 | ||||||
International Business Machines | ||||||||
8.000%, 10/15/38 | 100 | 140 | ||||||
7.625%, 10/15/18 (A) | 365 | 479 | ||||||
Intuit | ||||||||
5.750%, 03/15/17 | 255 | 285 | ||||||
Microsoft | ||||||||
4.500%, 10/01/40 | 61 | 58 | ||||||
1.625%, 09/25/15 (A) | 405 | 402 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/17 | 300 | 342 | ||||||
Oracle | ||||||||
6.500%, 04/15/38 (A) | 100 | 120 | ||||||
5.375%, 07/15/40 (E) | 809 | 838 | ||||||
5.000%, 07/08/19 | 450 | 503 | ||||||
Xerox | ||||||||
8.250%, 05/15/14 (A) | 320 | 381 | ||||||
23,535 | ||||||||
Materials — 0.6% | ||||||||
Alcoa | ||||||||
6.000%, 07/15/13 | 270 | 295 | ||||||
Barrick Gold | ||||||||
6.950%, 04/01/19 (A) | 1,760 | 2,197 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/19 (A) | $ | 445 | $ | 543 | ||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 3,362 | 4,245 | ||||||
5.900%, 02/15/15 (A) | 1,600 | 1,795 | ||||||
4.850%, 08/15/12 | 3,885 | 4,118 | ||||||
4.250%, 11/15/20 | 1,693 | 1,651 | ||||||
EI du Pont de Nemours | ||||||||
4.900%, 01/15/41 (A) | 125 | 124 | ||||||
1.950%, 01/15/16 | 162 | 160 | ||||||
Freeport-McMoRan Copper & Gold | ||||||||
8.375%, 04/01/17 | 3,005 | 3,357 | ||||||
Nacional del Cobre de Chile | ||||||||
4.750%, 10/15/14 (E) | 900 | 970 | ||||||
3.750%, 11/04/20 (E) | 3,305 | 3,228 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/19 | 250 | 297 | ||||||
4.875%, 03/30/20 | 10 | 11 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/21 | 515 | 699 | ||||||
6.650%, 03/15/18 | 615 | 730 | ||||||
5.750%, 03/15/13 | 615 | 672 | ||||||
Praxair | ||||||||
5.200%, 03/15/17 | 215 | 244 | ||||||
4.375%, 03/31/14 | 250 | 273 | ||||||
Rio Tinto Finance USA | ||||||||
8.950%, 05/01/14 (A) | 265 | 324 | ||||||
6.500%, 07/15/18 | 5,080 | 6,048 | ||||||
3.500%, 11/02/20 | 77 | 75 | ||||||
Stauffer Chemical | ||||||||
6.295%, 04/15/18 (C) (H) (I) | 860 | 186 | ||||||
6.145%, 04/15/17 (C) (H) (I) | 350 | 85 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/34 | 365 | 460 | ||||||
6.875%, 11/21/36 | 2,958 | 3,282 | ||||||
6.875%, 11/10/39 | 976 | 1,085 | ||||||
4.625%, 09/15/20 (A) | 1,790 | 1,804 | ||||||
38,958 | ||||||||
Sovereign — 0.6% | ||||||||
Chile Government International Bond | ||||||||
3.875%, 08/05/20 | 3,865 | 3,923 | ||||||
Kommunalbanken | ||||||||
1.750%, 10/05/15 (E) | 3,400 | 3,384 | ||||||
Korea Development Bank | ||||||||
3.250%, 03/09/16 (A) | 3,570 | 3,503 | ||||||
Peruvian Government International Bond | ||||||||
5.625%, 11/18/50 | 1,750 | 1,684 | ||||||
Poland Government International Bond | ||||||||
3.875%, 07/16/15 | 1,770 | 1,777 | ||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/13 | 162 | 167 |
62 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Province of Ontario Canada | ||||||||
4.400%, 04/14/20 | $ | 340 | $ | 369 | ||||
2.950%, 02/05/15 | 850 | 893 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/26 | 270 | 342 | ||||||
3.500%, 07/29/20 (A) | 1,303 | 1,314 | ||||||
Qatar Government International Bond | ||||||||
4.000%, 01/20/15 (E) | 6,800 | 7,089 | ||||||
Russian Federation | ||||||||
7.500%, 03/31/30 (G) | 964 | 1,110 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
3.625%, 04/29/15 (E) | 900 | 902 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 4,454 | 4,727 | ||||||
1.750%, 10/20/15 | 5,600 | 5,527 | ||||||
United Mexican States MTN | ||||||||
7.500%, 04/08/33 | 218 | 274 | ||||||
6.375%, 01/16/13 (A) | 350 | 383 | ||||||
6.050%, 01/11/40 | 394 | 419 | ||||||
5.625%, 01/15/17 | 84 | 94 | ||||||
United Mexican States, Ser A MTN | ||||||||
6.750%, 09/27/34 | 448 | 522 | ||||||
38,403 | ||||||||
Telecommunication Services — 2.0% | ||||||||
America Movil | ||||||||
5.625%, 11/15/17 | 1,450 | 1,626 | ||||||
5.000%, 10/16/19 | 3,020 | 3,210 | ||||||
5.000%, 03/30/20 | 740 | 788 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 (A) | 927 | 955 | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | 43 | 55 | ||||||
6.700%, 11/15/13 | 500 | 575 | ||||||
6.550%, 02/15/39 | 3,870 | 4,268 | ||||||
6.300%, 01/15/38 | 8,590 | 9,156 | ||||||
5.875%, 02/01/12 | 500 | 529 | ||||||
5.600%, 05/15/18 | 400 | 460 | ||||||
5.500%, 02/01/18 | 150 | 171 | ||||||
5.350%, 09/01/40 (E) | 1,431 | 1,359 | ||||||
5.100%, 09/15/14 | 2,410 | 2,670 | ||||||
BellSouth | ||||||||
4.750%, 11/15/12 | 190 | 204 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/15 | 244 | 265 | ||||||
British Telecommunications | ||||||||
9.875%, 12/15/30 (G) | 1,095 | 1,460 | ||||||
9.375%, 12/15/10 (G) | 1,460 | 1,464 | ||||||
5.950%, 01/15/18 | 1,711 | 1,890 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 (A) | 2,385 | 3,227 | ||||||
7.375%, 11/15/13 | 810 | 949 | ||||||
5.550%, 02/01/14 | 4,145 | 4,626 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast Cable Holdings LLC | ||||||||
10.125%, 04/15/22 | $ | 190 | $ | 266 | ||||
COX Communications | ||||||||
5.450%, 12/15/14 | 1,105 | 1,236 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/27 (E) | 170 | 195 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/16 (A) | 2,175 | 2,499 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/19 (A) | 600 | 699 | ||||||
DIRECTV Holdings LLC | ||||||||
6.000%, 08/15/40 | 5,163 | 5,124 | ||||||
4.600%, 02/15/21 | 400 | 401 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 | 170 | 232 | ||||||
Frontier Communications | ||||||||
8.500%, 04/15/20 | 905 | 995 | ||||||
8.250%, 04/15/17 | 1,750 | 1,925 | ||||||
8.125%, 10/01/18 | 470 | 517 | ||||||
GTE | ||||||||
8.750%, 11/01/21 | 600 | 831 | ||||||
6.840%, 04/15/18 | 800 | 938 | ||||||
NBC Universal | ||||||||
5.950%, 04/01/41 (E) | 1,661 | 1,696 | ||||||
4.375%, 04/01/21 (E) | 2,351 | 2,360 | ||||||
2.875%, 04/01/16 (E) | 2,839 | 2,826 | ||||||
New Cingular Wireless Services | ||||||||
8.125%, 05/01/12 | 1,255 | 1,380 | ||||||
News America | ||||||||
7.300%, 04/30/28 | 350 | 402 | ||||||
6.650%, 11/15/37 | 260 | 290 | ||||||
6.200%, 12/15/34 | 315 | 333 | ||||||
6.150%, 03/01/37 | 3,365 | 3,532 | ||||||
News America Holdings | ||||||||
8.875%, 04/26/23 | 200 | 271 | ||||||
7.700%, 10/30/25 | 200 | 239 | ||||||
Qtel International Finance | ||||||||
4.750%, 02/16/21 (E) | 1,560 | 1,452 | ||||||
Qwest | ||||||||
7.875%, 09/01/11 | 1,560 | 1,634 | ||||||
7.500%, 10/01/14 | 2,270 | 2,571 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/19 | 2,310 | 3,009 | ||||||
Rogers Communications | ||||||||
6.375%, 03/01/14 | 3,430 | 3,896 | ||||||
5.500%, 03/15/14 | 590 | 656 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 390 | 386 | ||||||
8.375%, 03/15/12 | 5,300 | 5,605 | ||||||
6.900%, 05/01/19 | 120 | 115 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/15 | 701 | 879 | ||||||
7.125%, 02/15/28 | 400 | 439 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 | $ | 2,740 | $ | 3,049 | ||||
5.250%, 11/15/13 | 580 | 613 | ||||||
5.250%, 10/01/15 | 370 | 392 | ||||||
4.950%, 09/30/14 | 1,320 | 1,380 | ||||||
Telefonica Emisiones | ||||||||
5.984%, 06/20/11 | 2,080 | 2,137 | ||||||
5.877%, 07/15/19 | 115 | 123 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 (A) | 495 | 549 | ||||||
5.134%, 04/27/20 | 2,331 | 2,364 | ||||||
2.582%, 04/26/13 | 680 | 683 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (E) | 1,480 | 1,449 | ||||||
Telemar Norte Leste | ||||||||
5.500%, 10/23/20 (E) | 3,415 | 3,389 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/18 | 194 | 262 | ||||||
6.250%, 04/01/37 | 855 | 939 | ||||||
6.100%, 04/15/18 | 3,649 | 4,280 | ||||||
5.850%, 09/15/35 | 150 | 157 | ||||||
5.500%, 02/15/18 | 2,810 | 3,189 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | 3,690 | 4,687 | ||||||
7.375%, 09/01/12 | 1,730 | 1,923 | ||||||
Verizon Maryland | ||||||||
7.150%, 05/01/23 | 600 | 635 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/19 (A) | 226 | 257 | ||||||
122,193 | ||||||||
Utilities — 2.1% | ||||||||
AGL Capital | ||||||||
5.250%, 08/15/19 | 170 | 185 | ||||||
4.450%, 04/15/13 | 400 | 424 | ||||||
Alabama Power | ||||||||
5.875%, 12/01/22 | 275 | 322 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/17 | 400 | 460 | ||||||
Appalachian Power | ||||||||
5.950%, 05/15/33 | 200 | 201 | ||||||
Arizona Public Services | ||||||||
8.000%, 12/30/15 | 521 | 547 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/14 | 260 | 284 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/19 | 400 | 458 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (E) | 2,771 | 2,971 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||
7.000%, 03/01/14 | 150 | 175 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/17 | 310 | 381 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CMS Energy | ||||||||
5.050%, 02/15/18 | $ | 3,420 | $ | 3,450 | ||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/40 (A) | 154 | 165 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/19 | 400 | 490 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | 5,840 | 7,775 | ||||||
6.400%, 06/15/18 | 300 | 361 | ||||||
5.700%, 09/17/12 | 3,560 | 3,852 | ||||||
4.750%, 12/15/10 | 740 | 741 | ||||||
DPL | ||||||||
6.875%, 09/01/11 | 3,220 | 3,361 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 2,920 | 3,306 | ||||||
5.625%, 11/30/12 (A) | 425 | 463 | ||||||
Duke Energy Carolinas LLC | ||||||||
4.300%, 06/15/20 | 195 | 208 | ||||||
Duke Energy Indiana | ||||||||
3.750%, 07/15/20 | 180 | 183 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (E) | 4,855 | 4,568 | ||||||
5.125%, 10/07/19 (E) | 500 | 515 | ||||||
3.875%, 10/07/14 (E) | 2,700 | 2,814 | ||||||
Exelon | ||||||||
5.625%, 06/15/35 | 2,605 | 2,518 | ||||||
Exelon Generation LLC | ||||||||
6.250%, 10/01/39 | 130 | 134 | ||||||
5.750%, 10/01/41 (A) | 971 | 943 | ||||||
5.200%, 10/01/19 | 125 | 135 | ||||||
4.000%, 10/01/20 | 2,518 | 2,459 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/39 | 875 | 874 | ||||||
6.050%, 08/15/21 | 1,485 | 1,576 | ||||||
FirstEnergy, | ||||||||
6.450%, 11/15/11 | 14 | 15 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 5,315 | 5,651 | ||||||
Georgia Power | ||||||||
4.750%, 09/01/40 | 69 | 65 | ||||||
Hydro Quebec, | ||||||||
6.300%, 05/11/11 | 1,050 | 1,077 | ||||||
Indiana Michigan Power | ||||||||
7.000%, 03/15/19 (A) | 170 | 207 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/19 | 500 | 612 | ||||||
KCP&L Greater Missouri Operations | ||||||||
11.875%, 07/01/12 | 3,660 | 4,184 | ||||||
8.270%, 11/15/21 | 2,894 | 3,341 | ||||||
Korea Hydro & Nuclear Power | ||||||||
3.125%, 09/16/15 (A) (E) | 2,165 | 2,135 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/39 (E) | 210 | 225 |
64 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/18 | $ | 750 | $ | 847 | ||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 (A) | 4,485 | 5,211 | ||||||
Nevada Power | ||||||||
8.250%, 06/01/11 | 5,015 | 5,197 | ||||||
7.125%, 03/15/19 (A) | 400 | 487 | ||||||
5.375%, 09/15/40 | 45 | 44 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/19 (E) | 180 | 194 | ||||||
Nisource Finance | ||||||||
10.750%, 03/15/16 | 720 | 952 | ||||||
6.800%, 01/15/19 | 3,547 | 4,126 | ||||||
6.125%, 03/01/22 | 2,400 | 2,687 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/36 | 350 | 410 | ||||||
5.350%, 11/01/39 | 56 | 58 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 (A) | 4,535 | 5,476 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 (A) | 1,320 | 1,752 | ||||||
6.050%, 03/01/34 | 1,615 | 1,782 | ||||||
5.800%, 03/01/37 | 840 | 902 | ||||||
5.400%, 01/15/40 | 5,336 | 5,435 | ||||||
PacifiCorp | ||||||||
6.250%, 10/15/37 | 1,690 | 1,958 | ||||||
5.650%, 07/15/18 | 100 | 117 | ||||||
5.500%, 01/15/19 | 400 | 465 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 1,525 | 1,643 | ||||||
6.000%, 12/01/39 (A) | 200 | 218 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/15 | 445 | 499 | ||||||
5.320%, 09/15/16 | 126 | 140 | ||||||
5.125%, 04/15/20 | 120 | 129 | ||||||
Public Service Electric & Gas MTN | ||||||||
5.375%, 11/01/39 | 97 | 103 | ||||||
2.700%, 05/01/15 | 135 | 140 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 3,000 | 3,339 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/19 | 170 | 185 | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/13 | 400 | 475 | ||||||
6.500%, 06/01/16 | 135 | 160 | ||||||
6.000%, 10/15/39 | 170 | 183 | ||||||
Southern | ||||||||
4.150%, 05/15/14 | 85 | 91 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/40 (A) | 170 | 183 | ||||||
4.650%, 04/01/15 | 200 | 223 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 7,370 | 8,160 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/18 | $ | 300 | $ | 386 | ||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 1,828 | 2,016 | ||||||
4.625%, 09/15/60 | 2,761 | 2,725 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (E) | 875 | 1,137 | ||||||
TXU | ||||||||
6.500%, 11/15/24 | 410 | 154 | ||||||
TXU, Ser P | ||||||||
5.550%, 11/15/14 | 370 | 228 | ||||||
TXU, Ser R | ||||||||
6.550%, 11/15/34 | 4,385 | 1,623 | ||||||
Virginia Electric and Power | ||||||||
5.400%, 04/30/18 | 300 | 345 | ||||||
127,396 | ||||||||
Total Corporate Obligations | 1,619,618 | |||||||
U.S. TREASURY OBLIGATIONS — 18.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.159%, 02/10/11 (C) | 848 | 848 | ||||||
U.S. Treasury Bonds | ||||||||
9.250%, 02/15/16 | 500 | 694 | ||||||
9.000%, 11/15/18 | 900 | 1,344 | ||||||
8.875%, 08/15/17 | 69,279 | 99,318 | ||||||
8.875%, 02/15/19 | 6,295 | 9,389 | ||||||
8.750%, 05/15/17 | 21,675 | 30,712 | ||||||
8.750%, 08/15/20 | 15,502 | 23,563 | ||||||
8.500%, 02/15/20 | 20,140 | 22,169 | ||||||
8.125%, 08/15/19 | 1,305 | 1,887 | ||||||
8.000%, 11/15/21 | 11,355 | 16,742 | ||||||
7.625%, 02/15/25 | 16,360 | 24,238 | ||||||
7.500%, 11/15/16 | 20,700 | 27,408 | ||||||
6.750%, 08/15/26 | 250 | 347 | ||||||
6.500%, 11/15/26 | 100 | 136 | ||||||
6.375%, 08/15/27 | 200 | 269 | ||||||
6.250%, 05/15/30 | 2,153 | 2,895 | ||||||
6.125%, 11/15/27 | 250 | 329 | ||||||
6.000%, 02/15/26 | 100 | 129 | ||||||
5.500%, 08/15/28 | 200 | 247 | ||||||
5.375%, 02/15/31 | 6,045 | 7,380 | ||||||
5.000%, 05/15/37 | 1,520 | 1,769 | ||||||
4.625%, 02/15/17 | 30,500 | 35,444 | ||||||
4.625%, 02/15/40 | 8,972 | 9,799 | ||||||
4.500%, 02/15/36 | 13,642 | 14,740 | ||||||
4.375%, 11/15/39 | 5,517 | 5,780 | ||||||
4.375%, 05/15/40 | 8,052 | 8,434 | ||||||
4.250%, 05/15/39 | 6,204 | 6,370 | ||||||
4.250%, 11/15/40 | 33,410 | 34,256 | ||||||
3.875%, 08/15/40 | 51,129 | 49,124 | ||||||
3.500%, 02/15/39 | 8,990 | 8,080 | ||||||
3.375%, 11/15/19 | 32,705 | 34,739 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.250%, 12/31/16 | $ | 3,720 | $ | 4,020 | ||||
2.625%, 12/31/14 | 6,500 | 6,889 | ||||||
2.625%, 11/15/20 (A) | 21,052 | 20,743 | ||||||
2.375%, 10/31/14 | 1,000 | 1,050 | ||||||
510,433 | ||||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
6.321%, 05/15/24 (C) | 800 | 485 | ||||||
5.293%, 02/15/21 (C) | 200 | 146 | ||||||
4.977%, 11/15/27 (C) | 31,590 | 15,999 | ||||||
4.920%, 08/15/27 (C) | 450 | 226 | ||||||
4.917%, 05/15/26 (C) | 500 | 269 | ||||||
4.863%, 11/15/31 (C) | 200 | 81 | ||||||
4.780%, 08/15/25 (C) | 400 | 225 | ||||||
4.754%, 02/15/27 (C) | 200 | 103 | ||||||
4.610%, 02/15/25 (C) | 20,280 | 11,907 | ||||||
4.591%, 05/15/36 (C) | 300 | 97 | ||||||
4.587%, 02/15/24 (C) | 75 | 46 | ||||||
4.555%, 05/15/29 (C) | 100 | 46 | ||||||
4.536%, 08/15/24 (C) | 200 | 119 | ||||||
4.477%, 05/15/28 (C) | 300 | 145 | ||||||
4.428%, 02/15/30 (C) | 650 | 287 | ||||||
4.357%, 11/15/24 (C) | 450 | 265 | ||||||
4.295%, 11/15/20 (C) | 1,000 | 738 | ||||||
4.231%, 05/15/20 (C) | 2,900 | 2,197 | ||||||
4.221%, 05/15/30 (C) | 9,550 | 4,276 | ||||||
4.213%, 05/15/27 (C) | 200 | 102 | ||||||
4.160%, 02/15/22 (C) | 300 | 206 | ||||||
4.069%, 02/15/32 (C) | 950 | 379 | ||||||
4.022%, 05/15/19 (C) | 2,450 | 1,961 | ||||||
3.995%, 02/15/17 (C) | 19,420 | 17,143 | ||||||
3.875%, 04/15/29 | 430 | 796 | ||||||
3.780%, 08/15/17 (C) | 4,000 | 3,459 | ||||||
3.768%, 02/15/26 (C) | 400 | 218 | ||||||
3.712%, 08/15/18 (C) | 800 | 665 | ||||||
3.632%, 11/15/17 (C) | 6,150 | 5,263 | ||||||
3.625%, 04/15/28 | 8,180 | 14,795 | ||||||
3.551%, 02/15/18 (C) | 1,350 | 1,145 | ||||||
3.500%, 01/15/11 | 5,005 | 6,309 | ||||||
3.426%, 08/15/20 (C) | 9,550 | 7,138 | ||||||
3.313%, 08/15/19 (C) | 5,525 | 4,372 | ||||||
3.268%, 11/15/21 (C) | 1,900 | 1,323 | ||||||
3.170%, 08/15/16 (C) | 5,100 | 4,594 | ||||||
3.014%, 08/15/21 (C) | 500 | 354 | ||||||
2.971%, 02/15/16 (C) | 250 | 230 | ||||||
2.882%, 02/15/14 (C) | 8,550 | 8,308 | ||||||
2.751%, 05/15/14 (C) | 2,150 | 2,078 | ||||||
2.721%, 02/15/15 (C) | 200 | 190 | ||||||
2.375%, 01/15/25 | 34,465 | 45,953 | ||||||
2.375%, 01/15/27 | 300 | 375 | ||||||
2.170%, 11/15/16 (C) | 410 | 366 | ||||||
2.000%, 01/15/16 | 11,126 | 13,520 | ||||||
1.750%, 01/15/28 | 25 | 28 | ||||||
178,927 | ||||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Treasury Notes | ||||||||
4.875%, 08/15/16 | $ | 4,923 | $ | 5,782 | ||||
4.750%, 08/15/17 | 16,305 | 19,096 | ||||||
4.500%, 11/30/11 | 1,000 | 1,042 | ||||||
4.500%, 05/15/17 | 530 | 612 | ||||||
3.750%, 11/15/18 | 5,400 | 5,959 | ||||||
3.500%, 05/15/20 | 14,930 | 15,938 | ||||||
3.125%, 10/31/16 | 4,400 | 4,731 | ||||||
3.125%, 04/30/17 | 1,150 | 1,231 | ||||||
3.000%, 09/30/16 | 21,595 | 23,086 | ||||||
2.625%, 07/31/14 | 2,800 | 2,967 | ||||||
2.625%, 08/15/20 | 19,482 | 19,263 | ||||||
2.375%, 03/31/16 | 2,000 | 2,081 | ||||||
2.250%, 11/30/17 | 27,827 | 28,007 | ||||||
1.875%, 02/28/14 | 1,000 | 1,034 | ||||||
1.875%, 08/31/17 | 25,640 | 25,311 | ||||||
1.875%, 10/31/17 (A) | 15,638 | 15,385 | ||||||
1.375%, 11/30/15 | 46,940 | 46,742 | ||||||
1.250%, 10/31/15 | 10,361 | 10,270 | ||||||
1.000%, 08/31/11 | 10,495 | 10,552 | ||||||
1.000%, 04/30/12 | 42,690 | 43,073 | ||||||
0.875%, 04/30/11 | 16,130 | 16,173 | ||||||
0.750%, 05/31/12 | 127,615 | 128,318 | ||||||
0.750%, 09/15/13 | 550 | 551 | ||||||
0.625%, 06/30/12 | 8,330 | 8,359 | ||||||
0.500%, 10/15/13 | 685 | 682 | ||||||
0.500%, 11/15/13 | 5,755 | 5,721 | ||||||
441,966 | ||||||||
Total U.S. Treasury Obligations | 1,132,174 | |||||||
ASSET-BACKED SECURITIES — 6.4% |
| |||||||
Automotive — 0.6% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
2.330%, 06/17/13 (E) | 500 | 508 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.450%, 05/15/14 | 285 | 288 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.110%, 10/15/14 | 920 | 922 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/15 | 357 | 356 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.910%, 11/17/14 | 3,247 | 3,228 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.350%, 12/15/15 | 3,501 | 3,456 |
66 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A2 | ||||||||
0.980%, 01/15/13 | $ | 120 | $ | 120 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.660%, 03/17/14 | 115 | 116 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | 445 | 445 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A2 | ||||||||
0.960%, 05/08/14 | 500 | 500 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
1.270%, 04/08/15 | 250 | 250 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-3A, Cl A | ||||||||
4.640%, 05/20/16 (E) | 1,000 | 1,057 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/17 (E) | 4,961 | 4,897 | ||||||
Bank of America Auto Trust, | ||||||||
2.670%, 07/15/13 (E) | 548 | 554 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/16 (E) | 200 | 208 | ||||||
Bank of America Auto Trust, | ||||||||
2.130%, 09/15/13 (E) | 650 | 655 | ||||||
Bank of America Auto Trust, | ||||||||
1.670%, 12/15/13 (E) | 350 | 352 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (E) | 430 | 432 | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/17 (E) | 310 | 316 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/14 | 150 | 151 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.560%, 07/15/14 | 300 | 302 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3 | ||||||||
2.820%, 01/15/16 | 234 | 238 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3 | ||||||||
0.910%, 08/08/13 | 1,000 | 998 | ||||||
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3 | ||||||||
2.590%, 10/15/13 (E) | 695 | 706 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.790%, 08/15/13 | $ | 322 | $ | 326 | ||||
Ford Credit Auto Owner Trust, | ||||||||
4.500%, 07/15/14 | 300 | 319 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.720%, 11/15/13 | 2,565 | 2,600 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4 | ||||||||
5.220%, 06/15/13 | 81 | 83 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4 | ||||||||
4.550%, 01/15/17 | 179 | 189 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 278 | 287 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4 | ||||||||
2.540%, 04/15/17 | 209 | 213 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4 | ||||||||
2.400%, 07/15/14 | 100 | 102 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3 | ||||||||
1.160%, 02/15/15 | 1,838 | 1,827 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
5.290%, 03/25/16 (E) | 2,100 | 2,300 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4 | ||||||||
3.300%, 09/15/15 | 250 | 260 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3 | ||||||||
2.310%, 05/15/13 | 2,480 | 2,508 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-1, Cl A2 | ||||||||
0.620%, 02/21/12 | 1,935 | 1,936 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4 | ||||||||
1.630%, 03/15/17 | 375 | 375 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3 | ||||||||
0.970%, 04/15/15 | 340 | 340 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/16 | 300 | 300 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3 | ||||||||
0.870%, 07/15/14 | 380 | 379 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3 | ||||||||
0.770%, 04/15/14 | 765 | 763 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/15 | $ | 365 | $ | 377 | ||||
USAA Auto Owner Trust, | ||||||||
1.540%, 02/18/14 | 470 | 473 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/15 | 550 | 563 | ||||||
37,575 | ||||||||
Credit Cards — 1.3% | ||||||||
BA Credit Card Trust, | ||||||||
0.273%, 03/15/14 (B) | 1,314 | 1,312 | ||||||
BA Credit Card Trust, | ||||||||
0.953%, 12/15/14 (B) | 3,066 | 3,088 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A8, Cl A8 | ||||||||
0.383%, 08/15/14 (B) | 5,246 | 5,234 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.333%, 09/15/15 (B) | 5,355 | 5,311 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A12, Cl A | ||||||||
0.313%, 07/15/16 (B) | 1,758 | 1,735 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A4, Cl A4 | ||||||||
0.293%, 12/16/13 (B) | 5,787 | 5,785 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.313%, 01/15/16 (B) | 1,801 | 1,783 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8 | ||||||||
0.592%, 10/15/15 (B) | 3,527 | 3,512 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2009-A2 | ||||||||
3.200%, 04/15/14 | 6,140 | 6,219 | ||||||
Chase Issuance Trust, | ||||||||
5.120%, 10/15/14 | 6,980 | 7,532 | ||||||
Chase Issuance Trust, | ||||||||
1.803%, 04/15/14 (B) | 3,952 | 4,022 | ||||||
Chase Issuance Trust, | ||||||||
2.400%, 06/17/13 | 988 | 997 | ||||||
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2 | ||||||||
4.850%, 03/10/17 | 625 | 700 | ||||||
Citibank Credit Card Issuance Trust, Ser 2009-A2, Cl A2 | ||||||||
1.803%, 05/15/14 (B) | 3,324 | 3,387 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5 | ||||||||
2.250%, 12/23/14 | $ | 5,310 | $ | 5,436 | ||||
Discover Card Master Trust I, | ||||||||
0.283%, 01/16/14 (B) | 1,954 | 1,951 | ||||||
Discover Card Master Trust, | ||||||||
5.100%, 10/15/13 | 1,354 | 1,377 | ||||||
Discover Card Master Trust, | ||||||||
1.553%, 02/17/15 (B) | 7,353 | 7,467 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 600 | 623 | ||||||
MBNA Credit Card Master Note Trust, Ser 2001-A2, Cl A2 | ||||||||
0.503%, 12/16/13 (B) | 5,081 | 5,083 | ||||||
MBNA Credit Card Master Note Trust, Ser 2006-A5, Cl A5 | ||||||||
0.313%, 10/15/15 (B) | 6,108 | 6,064 | ||||||
78,618 | ||||||||
Mortgage Related Securities — 0.7% | ||||||||
ABFS Mortgage Loan Trust, | ||||||||
4.763%, 09/15/33 | 8 | 8 | ||||||
ABS Home Equity, Ser 2001-HE3, Cl A1 | ||||||||
0.793%, 11/15/31 (B) | 217 | 193 | ||||||
ACE Securities, Ser 2006-SL3, Cl A1 | ||||||||
0.353%, 06/25/36 (B) | 6,362 | 971 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.493%, 03/25/30 (B) | 2,381 | 785 | ||||||
Asset Backed Funding Certificates, Ser 2005-AQ1, Cl A4 | ||||||||
5.010%, 06/25/35 | 750 | 755 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||||
0.293%, 12/25/36 (B) | 429 | 411 | ||||||
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5 | ||||||||
6.190%, 11/15/32 (B) | 3,977 | 4,078 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 5 | 5 | ||||||
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A | ||||||||
1.073%, 09/15/29 (B) | 310 | 249 | ||||||
EMC Mortgage Loan Trust, | ||||||||
0.723%, 05/25/39 (B) (E) | 895 | 739 |
68 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.249%, 12/25/37 | $ | 760 | $ | 425 | ||||
GSAA Trust, Ser 2005-6, Cl A3 | ||||||||
0.623%, 06/25/35 (B) | 4,100 | 2,622 | ||||||
Home Equity Asset Trust, | ||||||||
0.363%, 07/25/37 (B) | 2,250 | 2,197 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2 | ||||||||
0.743%, 01/20/35 (B) | 537 | 488 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1 | ||||||||
0.523%, 01/20/35 (B) | 4,827 | 4,435 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1 | ||||||||
0.413%, 01/20/36 (B) | 7,609 | 7,014 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1 | ||||||||
0.403%, 03/20/36 (B) | 382 | 357 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F | ||||||||
5.600%, 03/20/36 | 750 | 773 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS | ||||||||
0.453%, 03/20/36 (B) | 302 | 282 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
1.453%, 11/20/36 (B) | 875 | 803 | ||||||
Indymac Home Equity Loan | ||||||||
0.513%, 03/25/31 (B) | 37 | 25 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
1.003%, 01/25/35 (B) | 235 | 231 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.293%, 01/25/37 (B) | 201 | 195 | ||||||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||||
0.303%, 12/25/36 (B) | 166 | 162 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S | ||||||||
5.858%, 01/25/47 | 31 | 21 | ||||||
MSDWCC Heloc Trust, Ser 2003-1, Cl A | ||||||||
0.793%, 11/25/15 (B) | 64 | 61 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.853%, 01/25/32 (B) | 213 | 192 | ||||||
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3 | ||||||||
0.393%, 01/25/37 (B) | 17,000 | 7,042 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A4 | ||||||||
0.553%, 05/25/37 (B) | $ | 10,000 | $ | 4,152 | ||||
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3 | ||||||||
4.499%, 08/25/35 | 970 | 947 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.790%, 02/25/25 | 780 | 781 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/32 (E) | 326 | 281 | ||||||
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A | ||||||||
0.603%, 04/25/37 (B) (E) | 912 | 623 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/32 | 350 | 331 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/35 | 934 | 946 | ||||||
Terwin Mortgage Trust, | ||||||||
4.000%, 08/25/35 (B) (E) | 336 | 327 | ||||||
UCFC Home Equity Loan, | ||||||||
6.905%, 04/15/30 | 36 | 34 | ||||||
43,941 | ||||||||
Other Asset-Backed Securities — 3.8% | ||||||||
AH Mortgage Advance Trust, | ||||||||
3.968%, 08/15/22 (E) | 765 | 769 | ||||||
AH Mortgage Advance Trust, | ||||||||
4.210%, 05/10/41 (E) | 1,134 | 1,133 | ||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.525%, 06/14/37 (B) (E) | 4,385 | 3,859 | ||||||
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A | ||||||||
0.933%, 01/25/32 (B) | 422 | 330 | ||||||
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1 | ||||||||
0.553%, 11/14/33 (B) (E) | 5,242 | 4,443 | ||||||
CenterPoint Energy Transition Bond LLC, Ser 2001-1, Cl A4 | ||||||||
5.630%, 09/15/15 | 3,066 | 3,307 | ||||||
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1 | ||||||||
4.192%, 02/01/20 | 1,573 | 1,704 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/34 | $ | 500 | $ | 442 | ||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.277%, 11/25/34 | 1,008 | 963 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/34 | 522 | 517 | ||||||
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5 | ||||||||
6.036%, 09/25/36 | 6,340 | 5,623 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A | ||||||||
0.653%, 11/25/46 (B) (E) | 1,112 | 585 | ||||||
CNH Equipment Trust, | ||||||||
2.970%, 03/15/13 | 48 | 49 | ||||||
CNH Equipment Trust, | ||||||||
1.850%, 12/16/13 | 130 | 131 | ||||||
CNH Equipment Trust, | ||||||||
1.540%, 07/15/14 | 725 | 731 | ||||||
CNH Equipment Trust, | ||||||||
1.170%, 05/15/15 | 1,000 | 999 | ||||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||||
8.130%, 08/15/31 (B) | 1,608 | 1,588 | ||||||
Consumer Funding LLC, | ||||||||
5.430%, 04/20/15 | 1,023 | 1,082 | ||||||
Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A | ||||||||
0.733%, 12/25/31 (B) | 47 | 24 | ||||||
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A | ||||||||
0.913%, 04/25/32 (B) | 61 | 37 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.853%, 06/25/33 (B) | 115 | 106 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3 | ||||||||
5.711%, 05/25/36 (B) | 10,000 | 4,635 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-6, Cl M1 | ||||||||
0.743%, 12/25/35 (B) | 320 | 304 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 | ||||||||
5.689%, 10/25/46 (B) | 208 | 140 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1 | ||||||||
0.583%, 07/25/36 (B) (E) | $ | 441 | $ | 239 | ||||
Countrywide Asset-Backed Certificates, Ser 2007-7, Cl 2A2 | ||||||||
0.413%, 10/25/47 (B) | 7,500 | 6,438 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1 | ||||||||
0.453%, 02/25/37 (B) (E) | 1,174 | 785 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1 | ||||||||
0.703%, 03/25/47 (B) (E) | 894 | 449 | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
0.553%, 02/15/34 (B) | 822 | 394 | ||||||
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A | ||||||||
0.493%, 12/15/35 (B) | 1,958 | 867 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/31 | 395 | 404 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.704%, 12/25/36 | 1,543 | 1,224 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.501%, 12/25/36 | 678 | 484 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
0.343%, 04/25/37 (B) | 3,614 | 2,909 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
0.563%, 05/25/46 (B) (E) | 12,048 | 7,126 | ||||||
Diamond Investment Grade CDO, | ||||||||
0.853%, 10/11/14 (I) | 160 | 155 | ||||||
EFS Volunteer LLC, Ser 2010-1, Cl A2 | ||||||||
1.389%, 10/25/35 (B) (E) | 1,500 | 1,401 | ||||||
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 | ||||||||
0.733%, 08/15/25 (B) (E) | 2,248 | 1,124 | ||||||
Equity One, Ser 2003-2, Cl M1 | ||||||||
5.050%, 09/25/33 (B) | 478 | 433 | ||||||
Fieldstone Mortgage Investment, Ser 2007-1, Cl 2A2 | ||||||||
0.523%, 04/25/47 (B) | 2,000 | 824 | ||||||
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A | ||||||||
0.473%, 02/25/34 (B) | 872 | 533 |
70 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Horizon Asset Back Trust, Ser 2006-HE2, Cl A | ||||||||
0.383%, 10/25/26 (B) | $ | 569 | $ | 405 | ||||
GE Seaco Finance Srl, Ser 2005-1A, Cl A | ||||||||
0.503%, 11/17/20 (B) (E) | 6,175 | 5,769 | ||||||
Genesis Funding, Ser 2006-1A, Cl G1 | ||||||||
0.493%, 12/19/32 (B) (E) | 4,790 | 4,167 | ||||||
Green Tree Financial, Ser 1996-5, Cl A6 | ||||||||
7.750%, 07/15/27 | 388 | 398 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/38 (B) (E) | 3,550 | 4,021 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.653%, 02/25/33 (B) | 1,795 | 1,266 | ||||||
GSAMP Trust, Ser 2006-SD2, Cl A1 | ||||||||
0.363%, 05/25/46 (B) (E) | 1,535 | 1,501 | ||||||
Illinois Student Assistance Commission, Ser 2010-1, Cl A3 | ||||||||
1.187%, 07/25/45 (B) | 6,900 | 6,577 | ||||||
John Deere Owner Trust, | ||||||||
2.590%, 10/15/13 | 177 | 179 | ||||||
John Deere Owner Trust, | ||||||||
1.570%, 10/15/13 | 535 | 538 | ||||||
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6 | ||||||||
5.501%, 11/25/36 | 9,262 | 8,488 | ||||||
Keycorp Student Loan Trust, | ||||||||
0.548%, 10/25/32 (B) | 2,570 | 2,499 | ||||||
Lehman XS Trust, Ser 2005-5N, Cl 1A1 | ||||||||
0.553%, 11/25/35 (B) | 3,906 | 2,801 | ||||||
Lehman XS Trust, Ser 2005-7N, Cl 1A1B | ||||||||
0.553%, 12/25/35 (B) | 3,098 | 1,254 | ||||||
Lehman XS Trust, Ser 2006-GP1, Cl A4A | ||||||||
0.583%, 05/25/46 (B) | 7,866 | 1,260 | ||||||
Lone Star CDO Funding, Ser IX, Cl A | ||||||||
1.226%, 12/15/12 (I) | 2,403 | 2,378 | ||||||
Merit Securities, Ser 1999-13, Cl A4 | ||||||||
7.940%, 12/28/33 (B) | 3,016 | 3,061 | ||||||
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D | ||||||||
5.895%, 03/25/37 | 5,468 | 2,523 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/38 | 3,457 | 3,407 | ||||||
Mid-State Trust, Ser 2006-1, Cl A | ||||||||
5.787%, 10/15/40 (E) | 6,407 | 6,190 | ||||||
MSCC Heloc Trust, Ser 2005-1, Cl A | ||||||||
0.443%, 07/25/17 (B) | 444 | 342 | ||||||
Nelnet Student Loan Trust, | ||||||||
1.938%, 11/25/24 (B) | 8,407 | 8,673 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
1.768%, 04/25/24 (B) | $ | 4,540 | $ | 4,645 | ||||
Origen Manufactured Housing, Ser 2002-A, Cl A1 | ||||||||
0.493%, 05/15/32 (B) | 30 | 28 | ||||||
Park Place Securities, | ||||||||
0.953%, 12/25/34 (B) | 6,301 | 6,211 | ||||||
PennyMac Loan Trust, | ||||||||
4.250%, 05/25/50 (B) (E) | 506 | 505 | ||||||
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3 | ||||||||
0.563%, 06/25/47 (B) | 10,380 | 5,097 | ||||||
PSE&G Transition Funding LLC, Ser 2001-1 | ||||||||
6.610%, 06/15/15 | 710 | 773 | ||||||
RAAC Series, Ser 2007-RP4, Cl A | ||||||||
0.603%, 11/25/46 (B) (E) | 13,836 | 7,594 | ||||||
RAAC Series, Ser 2007-SP3, Cl A1 | ||||||||
1.453%, 09/25/47 (B) | 362 | 276 | ||||||
SLC Student Loan Trust, | ||||||||
1.892%, 12/15/32 (B) | 6,594 | 6,820 | ||||||
SLM Student Loan Trust, | ||||||||
0.582%, 12/15/25 (B) (E) | 1,900 | 1,890 | ||||||
SLM Student Loan Trust, | ||||||||
0.438%, 01/25/21 (B) | 5,908 | 5,881 | ||||||
SLM Student Loan Trust, | ||||||||
0.458%, 01/27/20 (B) | 3,254 | 3,230 | ||||||
SLM Student Loan Trust, | ||||||||
0.438%, 01/27/20 (B) | 11,123 | 10,946 | ||||||
SLM Student Loan Trust, | ||||||||
0.368%, 07/25/19 (B) | 3,508 | 3,482 | ||||||
SLM Student Loan Trust, | ||||||||
0.398%, 01/25/27 (B) | 2,830 | 2,666 | ||||||
SLM Student Loan Trust, | ||||||||
0.348%, 01/25/22 (B) | 4,527 | 4,488 | ||||||
SLM Student Loan Trust, | ||||||||
1.938%, 07/25/22 (B) | 1,784 | 1,858 | ||||||
SLM Student Loan Trust, Ser 2008-5 | ||||||||
1.388%, 10/25/16 (B) | 8,221 | 8,327 | ||||||
SLM Student Loan Trust, | ||||||||
1.988%, 07/25/23 (B) | 7,571 | 7,873 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.838%, 10/25/17 (B) | $ | 5,241 | $ | 5,270 | ||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.523%, 06/25/35 (B) | 300 | 278 | ||||||
TAL Advantage LLC, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (E) | 2,568 | 2,537 | ||||||
Textainer Marine Containers, | ||||||||
0.503%, 05/15/20 (B) (E) | 3,105 | 2,917 | ||||||
Triton Container Finance LLC, | ||||||||
0.423%, 11/26/21 (B) (E) | 4,110 | 3,784 | ||||||
Triton Container Finance LLC, | ||||||||
0.393%, 02/26/19 (B) (E) | 2,656 | 2,499 | ||||||
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 | ||||||||
0.343%, 04/25/37 (B) | 2,792 | 2,718 | ||||||
229,580 | ||||||||
Total Asset-Backed Securities | 389,714 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% |
| |||||||
FFCB | ||||||||
1.500%, 11/16/15 | 7,830 | 7,810 | ||||||
FHLB | ||||||||
1.500%, 01/16/13 | 2,010 | 2,046 | ||||||
FICO STRIPS, PO (C) | ||||||||
9.800%, 04/06/18 | 7,410 | 10,944 | ||||||
9.700%, 04/05/19 | 5,100 | 7,626 | ||||||
8.600%, 09/26/19 | 5,655 | 8,044 | ||||||
0.000%, 02/08/18 to 09/26/19 | 23,945 | 19,294 | ||||||
FNMA | ||||||||
7.735%, 10/09/19 (C) | 670 | 442 | ||||||
7.250%, 05/15/30 | 3,886 | 5,423 | ||||||
7.125%, 01/15/30 | 4,090 | 5,709 | ||||||
6.250%, 05/15/29 | 6,315 | 7,898 | ||||||
5.375%, 06/12/17 | 250 | 296 | ||||||
5.250%, 08/01/12 | 2,800 | 3,003 | ||||||
5.000%, 02/13/17 | 5,000 | 5,797 | ||||||
0.375%, 12/28/12 | 3,730 | 3,711 | ||||||
0.189%, 05/09/11 (C) | 65 | 65 | ||||||
Resolution Funding STRIPS | ||||||||
3.235%, 01/15/16 (C) | 7,570 | 6,875 | ||||||
Total U.S. Government Agency Obligations | 94,983 | |||||||
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.4% | ||||||||
County of Clark Nevada, Build America Project, RB | ||||||||
6.820%, 07/01/45 | $ | 2,120 | $ | 2,157 | ||||
Los Angeles, California Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/49 | 1,790 | 1,891 | ||||||
Los Angeles, California Department of Water & Power Revenue, Build America Project, RB | ||||||||
6.574%, 07/01/45 | 2,005 | 1,985 | ||||||
Louisiana Public Facilities Authority, RB | ||||||||
4.500%, 02/01/14 | 500 | 504 | ||||||
New Jersey State Transit, Build America Project, RB | ||||||||
5.754%, 12/15/28 | 1,060 | 1,029 | ||||||
New York State Dormitory Authority, Build America Project, RB | ||||||||
5.600%, 03/15/40 | 280 | 275 | ||||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 2,030 | 1,972 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/40 | 490 | 465 | ||||||
State of California, Build America Project, GO | ||||||||
7.625%, 03/01/40 | 440 | 456 | ||||||
7.300%, 10/01/39 | 3,620 | 3,620 | ||||||
7.600%, 11/01/40 | 2,325 | 2,404 | ||||||
6.650%, 03/01/22 | 1,700 | 1,828 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/35 | 3,300 | 3,320 | ||||||
5.100%, 06/01/33 | 270 | 210 | ||||||
Virginia Housing Development Authority, Ser 2006-C, Cl CTFS, RB | ||||||||
6.000%, 06/25/34 | 558 | 562 | ||||||
Total Municipal Bonds | 22,678 | |||||||
AFFILIATED PARTNERSHIP — 2.1% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.210%,**† (D) | 135,673,771 | 127,581 | ||||||
Total Affiliated Partnership | 127,581 | |||||||
COMMERCIAL PAPER — 0.3% | ||||||||
Deutsche Bank Financial LLC | ||||||||
0.240%, 12/22/10 | 7,710 | 7,709 | ||||||
UBS Finance Delaware LLC | ||||||||
0.200%, 12/21/10 | 8,375 | 8,374 | ||||||
Total Commercial Paper | 16,083 | |||||||
72 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands)/ Shares/Contracts | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENTS — 3.1% |
| |||||||
Barclays Capital | ||||||||
0.210%, dated 11/30/10, to be repurchased on 12/01/10, repurchase price $48,676,284 (collateralized by a U.S. Treasury Obligation, par value $27,206,000, 3.625%, 04/15/28; with a total market value $49,649,508) | $ | 48,676 | $ | 48,676 | ||||
Deutsche Bank | ||||||||
0.230%, dated 11/30/10, to be repurchased on 12/01/10, repurchase price $141,424,904 (collateralized by a FNMA Obligation, par value $144,513,000, 0.291%, 08/08/11; total market value $144,513,082) | 141,424 | 141,424 | ||||||
Total Repurchase Agreements |
| 190,100 | ||||||
CASH EQUIVALENT — 2.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%,**† | 171,644,405 | 171,644 | ||||||
Total Cash Equivalent |
| 171,644 | ||||||
Total Investments — 110.7% | $ | 6,732,177 | ||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
January 2011 U.S. 10 Year Note Future Call, Expires 12/23/10, Strike Price $126.50* | (204 | ) | (73 | ) | ||||
January 2011 U.S. 10 Year Note Future Put, Expires 12/23/10, Strike Price $121.50* | (204 | ) | (35 | ) | ||||
March 2011 U.S. 10 Year Note Future Put, Expires 02/18/11, Strike Price $122.00* | (85 | ) | (80 | ) | ||||
March 2011 U.S. 10 Year Note Future Put, Expires 02/18/11, Strike Price $123.00* | (85 | ) | (109 | ) | ||||
Total Written Options |
| (297 | ) | |||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | (26 | ) | Dec-2010 | $ | (280 | ) | ||||||
90-Day Euro$ | 260 | Dec-2011 | 58 | |||||||||
90-Day Euro$ | (260 | ) | Dec-2012 | (226 | ) | |||||||
90-Day Euro$ | (26 | ) | Jun-2011 | (269 | ) | |||||||
90-Day Euro$ | (26 | ) | Mar-2011 | (269 | ) | |||||||
U.S. 10-Year Treasury Note | 622 | Mar-2011 | (36 | ) | ||||||||
U.S. 2-Year Treasury Note | (62 | ) | Apr-2011 | (10 | ) | |||||||
U.S. 2-Year Treasury Note | 170 | Apr-2011 | 44 | |||||||||
U.S. 5-Year Treasury Note | 555 | Apr-2011 | 98 | |||||||||
U.S. 5-Year Treasury Note | (575 | ) | Apr-2011 | (65 | ) | |||||||
U.S. 5-Year Treasury Note | 8 | Dec-2010 | 4 | |||||||||
U.S. 5-Year Treasury Note | (221 | ) | Dec-2010 | 343 | ||||||||
U.S. Long Treasury Bond | (591 | ) | Mar-2011 | (980 | ) | |||||||
U.S. Ultra Long Treasury Bond | 435 | Apr-2011 | 831 | |||||||||
U.S. Ultra Long Treasury Bond | (4 | ) | Jan-2011 | (5 | ) | |||||||
$ | (762 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
November 30, 2010
A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 3,850 | $ | (1,799 | ) | |||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 5,500 | (2,620 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 4,445 | (582 | ) | ||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 4,880 | (2,350 | ) | ||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/49 | 2,000 | 55 | |||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/49 | 2,000 | 34 | |||||||||||||
Citigroup | Darden Restaurants Inc., 6.000% 08/15/35 | BUY | (2.73 | ) | 03/20/14 | 1,435 | (93 | ) | ||||||||||||
Citigroup | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.40 | ) | 03/20/15 | 1,200 | (70 | ) | ||||||||||||
Citigroup | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 1,020 | 79 | |||||||||||||
Citigroup | Home Depot, 5.875% 12/16/36 | BUY | (2.67 | ) | 03/20/14 | 5,100 | (408 | ) | ||||||||||||
Citigroup | Lowes Cos. Inc., 8.250% 06/01/10 | BUY | (1.20 | ) | 03/20/14 | 5,320 | (151 | ) | ||||||||||||
Credit Suisse | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 390 | (186 | ) | ||||||||||||
Credit Suisse | General Electric Corp., 5.625% 09/15/17 | SELL | 6.55 | 12/20/10 | (2,570 | ) | 41 | |||||||||||||
Credit Suisse | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 1,280 | (16 | ) | ||||||||||||
Credit Suisse | Toll Brothers Inc., 5.150% 05/15/15 | BUY | (1.00 | ) | 09/20/16 | 6,700 | 347 | |||||||||||||
Deutsche Bank | Darden Restaurants Inc., 6.000% 08/15/35 | BUY | (2.25 | ) | 03/20/14 | 1,650 | (80 | ) | ||||||||||||
Deutsche Bank | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 600 | (24 | ) | ||||||||||||
Deutsche Bank | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 800 | 51 | |||||||||||||
Deutsche Bank | Target Corporation, 4.000% 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 1,280 | (16 | ) | ||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 795 | 50 | |||||||||||||
Morgan Stanley | Berkshire Hathaway Inc., 4.625% 10/15/13 | SELL | 4.00 | 03/20/11 | (5,400 | ) | 97 | |||||||||||||
Morgan Stanley | CMBX.NA.AAA.1 Index | BUY | 0.10 | 10/12/52 | 1,400 | (44 | ) | |||||||||||||
Morgan Stanley | CMBX.NA.AAA.3 Index | BUY | 0.08 | 12/13/49 | 2,930 | 58 | ||||||||||||||
Morgan Stanley | CMBX.NA.AAA.4 Index | BUY | (0.35 | ) | 02/17/51 | 1,800 | (5 | ) | ||||||||||||
Morgan Stanley | CMBX.NA.AAA.4 Index | SELL | 0.35 | 02/17/51 | (800 | ) | 47 | |||||||||||||
Morgan Stanley | Darden Restaurants Inc., 7.125% 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 600 | (24 | ) | ||||||||||||
$ | (7,609 | ) | ||||||||||||||||||
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||
Morgan Stanley | 0.00% | 3MLIBOR (PAYMENT AT MATURITY) | 11/15/27 | $ | 29,630,000 | $ | (2,361 | ) | ||||||
Morgan Stanley | 0.00 | 3MLIBOR (PAYMENT AT MATURITY) | 02/15/25 | 19,470,000 | (1,691 | ) | ||||||||
$ | (4,052 | ) | ||||||||||||
74 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Percentages are based on a Net Assets of $6,081,110 ($ Thousands).
* | Non-Income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $131,709 ($ Thousands). |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported is the next reset date. |
(C) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(D) | This security was purchased with cash collateral held from securities on loan. The total value of this security as of November 30, 2010 was $127,581 ($ Thousands). |
(E) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(F) | Security in default on interest payments. |
(G) | Step Bonds — The rate reflected is the effective yield on November 30, 2010. The coupon on a step bond changes on a specified date. |
(H) | Security considered illiquid. The total value of such securities as of November 30, 2010 was $271 ($ Thousands) and represented 0.00% of Net Assets. |
(I) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2010 was $4,440 ($ Thousands) and represented 0.07% of Net Assets. |
ABS — Asset-Based Security
ARM — Adjustable Rate Mortgage
CDO — Collateralized Debt Obligation
Cl — Class
CMO — Collateralized Mortgage Obligation
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PO — Principal Only
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
RB — Revenue Bond
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 2,959,548 | $ | 8,054 | $ | 2,967,602 | ||||||||
Corporate Obligations | — | 1,619,344 | 274 | 1,619,618 | ||||||||||||
U.S. Treasury Obligations | — | 1,132,174 | — | 1,132,174 | ||||||||||||
Asset-Backed Securities | — | 386,713 | 3,001 | 389,714 | ||||||||||||
U.S. Government Agency Obligations | — | 94,983 | — | 94,983 | ||||||||||||
Commercial Paper | — | 16,083 | — | 16,083 | ||||||||||||
Municipal Bonds | — | 22,678 | — | 22,678 | ||||||||||||
Cash Equivalent | 171,644 | — | — | 171,644 | ||||||||||||
Affiliated Partnership | — | 127,581 | — | 127,581 | ||||||||||||
Repurchase Agreements | — | 190,100 | — | 190,100 | ||||||||||||
Total Investments in Securities | $ | 171,644 | $ | 6,549,204 | $ | 11,329 | $ | 6,732,177 | ||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (297 | ) | $ | — | $ | — | $ | (297 | ) | ||||||
Total Other Financial Instruments | $ | (297 | ) | $ | — | $ | — | $ | (297 | ) | ||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures* | $ | (762 | ) | $ | — | $ | — | $ | (762 | ) | ||||||
Credit Default Swaps | — | (7,609 | ) | — | (7,609 | ) | ||||||||||
Interest Rate Swaps | — | (4,052 | ) | — | (4,052 | ) | ||||||||||
Total Other Financial Instruments | $ | (762 | ) | $ | (11,661 | ) | $ | — | $ | (12,423 | ) | |||||
* | Futures contracts are valued at the unrealized depreciation on the instruments. |
Investments in Corporate Obligations | Investments in Mortgage-Backed Securities | Investments in Asset-Backed Securities | ||||||||||
Beginning balance as of June 1, 2010 | $ | 265 | $ | 13,273 | $ | 3,334 | ||||||
Accrued discounts/premiums | 22 | 47 | 4 | |||||||||
Realized gain/(loss) | — | 181 | 16 | |||||||||
Change in unrealized appreciation/(depreciation) | (13 | ) | 777 | 288 | ||||||||
Net purchases/sales | — | (6,224 | ) | (641 | ) | |||||||
Net transfer in and/or out of Level 3 | — | — | — | |||||||||
Ending balance as of November 30, 2010 | $ | 274 | $ | 8,054 | $ | 3,001 | ||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | 10 | $ | 461 | $ | (333 | ) | |||||
During the six month period ended November 30, 2010, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 83.8% |
| |||||||
Consumer Discretionary — 15.6% | ||||||||
Adelphia Communications (escrow security) | ||||||||
10.250%, 06/15/11 (B) | $ | 125 | $ | 2 | ||||
7.875%, 01/15/09 (B) | 250 | 4 | ||||||
7.750%, 05/01/09 (B) | 75 | 1 | ||||||
Adelphia Communications, Ser B (escrow security) | ||||||||
9.500%, 02/15/04 | 25 | — | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/17 (A) | 775 | 820 | ||||||
Ameristar Casinos | ||||||||
9.250%, 06/01/14 | 2,095 | 2,242 | ||||||
Ashtead Capital | ||||||||
9.000%, 08/15/16 (A) | 2,324 | 2,423 | ||||||
Avis Budget Car Rental LLC | ||||||||
9.625%, 03/15/18 | 525 | 550 | ||||||
7.750%, 05/15/16 | 1,310 | 1,310 | ||||||
Beazer Homes USA | ||||||||
12.000%, 10/15/17 | 1,290 | 1,477 | ||||||
9.125%, 06/15/18 | 460 | 441 | ||||||
9.125%, 05/15/19 (A) | 920 | 867 | ||||||
8.125%, 06/15/16 | 810 | 782 | ||||||
Belo | ||||||||
8.000%, 11/15/16 | 2,575 | 2,768 | ||||||
7.750%, 06/01/27 | 2,025 | 1,823 | ||||||
Bon-Ton Department Stores | ||||||||
10.250%, 03/15/14 | 960 | 965 | ||||||
Boyd Gaming | ||||||||
7.125%, 02/01/16 | 590 | 490 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brunswick | ||||||||
11.250%, 11/01/16 (A) | $ | 1,440 | $ | 1,685 | ||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/14 (A) (B) | 2,050 | 543 | ||||||
Burlington Coat Factory Investment Holdings | ||||||||
14.500%, 10/15/14 | 4,480 | 4,659 | ||||||
Burlington Coat Factory Warehouse | ||||||||
11.125%, 04/15/14 | 1,435 | 1,474 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/17 | 1,170 | 1,273 | ||||||
8.000%, 04/15/20 | 535 | 574 | ||||||
7.750%, 04/15/18 | 900 | 954 | ||||||
Cedar Fair | ||||||||
9.125%, 08/01/18 (A) | 2,975 | 3,168 | ||||||
Charter Communications Operating LLC | ||||||||
10.875%, 09/15/14 (A) | 530 | 591 | ||||||
Chukchansi Economic Development Authority | ||||||||
3.943%, 11/15/12 (A) (C) | 2,185 | 1,431 | ||||||
CKE Restaurants | ||||||||
11.375%, 07/15/18 (A) | 5,335 | 5,682 | ||||||
Continental Airlines 2007-1 Class C Pass Through Trust | ||||||||
7.339%, 04/19/14 | 2,083 | 2,119 | ||||||
Dana (escrow security) (B) | ||||||||
7.000%, 03/15/08 | 100 | 3 | ||||||
7.000%, 03/01/09 | 175 | 4 | ||||||
6.500%, 03/15/28 | 200 | 5 | ||||||
6.500%, 03/01/29 | 1,100 | 27 | ||||||
Dex One | ||||||||
12.000%, 01/29/17 | 1,174 | 657 | ||||||
DineEquity | ||||||||
9.500%, 10/30/18 (A) | 2,780 | 2,877 | ||||||
DISH DBS | ||||||||
7.125%, 02/01/16 | 3,615 | 3,714 | ||||||
Dollar General | ||||||||
11.875%, 07/15/17 | 1,520 | 1,763 | ||||||
Dunkin Finance | ||||||||
9.625%, 12/01/18 (A) | 2,790 | 2,807 | ||||||
Eastman Kodak | ||||||||
9.750%, 03/01/18 (A) | 1,700 | 1,670 | ||||||
7.250%, 11/15/13 | 2,930 | 2,835 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/16 | 2,925 | 3,130 | ||||||
El Dorado Casino Shreveport PIK | ||||||||
10.000%, 08/01/12 | 1,102 | 992 | ||||||
El Pollo Loco | �� | |||||||
11.750%, 12/01/12 | 2,250 | 2,295 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/17 (A) | 1,160 | 1,212 |
76 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/16 (A) | $ | 1,255 | $ | 1,308 | ||||
Ferrellgas | ||||||||
9.125%, 10/01/17 | 2,500 | 2,750 | ||||||
6.500%, 05/01/21 (A) | 3,060 | 3,014 | ||||||
Fontainebleau Las Vegas | ||||||||
10.250%, 06/15/15 (A) (B) | 3,500 | 11 | ||||||
Ford Motor | ||||||||
7.450%, 07/16/31 | 1,500 | 1,613 | ||||||
6.375%, 02/01/29 | 1,080 | 1,050 | ||||||
Games Merger | ||||||||
11.000%, 06/01/18 (A) | 3,825 | 4,131 | ||||||
Giraffe Acquisition | ||||||||
9.125%, 12/01/18 (A) | 590 | 593 | ||||||
Goodyear Tire & Rubber | ||||||||
10.500%, 05/15/16 | 325 | 356 | ||||||
8.750%, 08/15/20 | 110 | 113 | ||||||
8.250%, 08/15/20 | 2,155 | 2,166 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/17 (A) | 940 | 978 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/16 | 3,750 | 3,989 | ||||||
6.375%, 12/15/20 (A) | 3,557 | 3,397 | ||||||
Hanesbrands, Ser B | ||||||||
4.121%, 12/15/14 (C) | 745 | 734 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/17 | 9,980 | 10,878 | ||||||
10.000%, 12/15/18 | 4,543 | 3,839 | ||||||
5.750%, 10/01/17 | 400 | 272 | ||||||
Hertz | ||||||||
8.875%, 01/01/14 | 1,410 | 1,433 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/18 (A) | 865 | 951 | ||||||
HSN | ||||||||
11.250%, 08/01/16 | 1,700 | 1,934 | ||||||
Icon Health & Fitness | ||||||||
11.875%, 10/15/16 (A) | 755 | 751 | ||||||
Inergy | ||||||||
8.750%, 03/01/15 | 850 | 905 | ||||||
8.250%, 03/01/16 | 460 | 478 | ||||||
7.000%, 10/01/18 (A) | 2,175 | 2,229 | ||||||
6.875%, 12/15/14 | 245 | 248 | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 (A) | 4,515 | 4,792 | ||||||
Isle of Capri Casinos | ||||||||
7.000%, 03/01/14 | 590 | 560 | ||||||
Jarden | ||||||||
8.000%, 05/01/16 | 640 | 694 | ||||||
7.500%, 05/01/17 | 1,740 | 1,823 | ||||||
JC Penney | ||||||||
7.950%, 04/01/17 | 565 | 615 | ||||||
K. Hovnanian Enterprises | ||||||||
7.500%, 05/15/16 | 685 | 462 | ||||||
6.250%, 01/15/15 | 835 | 612 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Landry’s Restaurants | ||||||||
11.625%, 12/01/15 | $ | 545 | $ | 578 | ||||
Lear | ||||||||
7.875%, 03/15/18 | 405 | 433 | ||||||
Levi Strauss | ||||||||
7.625%, 05/15/20 | 1,605 | 1,645 | ||||||
Libbey Glass | ||||||||
10.000%, 02/15/15 (A) | 1,125 | 1,204 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/16 (A) | 3,465 | 3,517 | ||||||
Live Nation Entertainment | ||||||||
8.125%, 05/15/18 (A) | 1,500 | 1,515 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/18 (A) | 2,150 | 2,145 | ||||||
MCE Finance | ||||||||
10.250%, 05/15/18 (A) | 625 | 706 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/16 | 3,400 | 3,791 | ||||||
MGM Mirage | ||||||||
11.125%, 11/15/17 | 1,830 | 2,068 | ||||||
10.375%, 05/15/14 | 300 | 333 | ||||||
7.500%, 06/01/16 | 1,780 | 1,562 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/18 | 6,455 | 6,649 | ||||||
9.000%, 03/15/20 (A) | 5,445 | 5,935 | ||||||
6.875%, 04/01/16 | 250 | 215 | ||||||
6.750%, 04/01/13 | 255 | 243 | ||||||
5.875%, 02/27/14 | 3,085 | 2,684 | ||||||
Michaels Stores | ||||||||
13.000%, 11/01/11 (D) | 500 | 484 | ||||||
11.375%, 11/01/16 (A) | 21 | 23 | ||||||
7.750%, 11/01/18 (A) | 1,165 | 1,133 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
7.125%, 08/15/14 | 905 | 629 | ||||||
6.875%, 02/15/15 | 250 | 168 | ||||||
MTR Gaming Group | ||||||||
12.625%, 07/15/14 | 4,116 | 4,239 | ||||||
NCL | ||||||||
11.750%, 11/15/16 | 1,210 | 1,370 | ||||||
9.500%, 11/15/18 (A) | 720 | 734 | ||||||
Neiman-Marcus Group PIK | ||||||||
9.000%, 10/15/15 | 1,393 | 1,449 | ||||||
Niska Gas Storage US LLC | ||||||||
8.875%, 03/15/18 (A) | 1,845 | 1,937 | ||||||
Norcraft Holdings | ||||||||
9.750%, 09/01/12 | 1,231 | 1,222 | ||||||
OSI Restaurant Partners | ||||||||
10.000%, 06/15/15 | 3,533 | 3,639 | ||||||
Penn National Gaming | ||||||||
6.750%, 03/01/15 | 3,490 | 3,525 | ||||||
Penninsula Gaming | ||||||||
10.750%, 08/15/17 | 1,740 | 1,875 | ||||||
8.375%, 08/15/15 | 3,150 | 3,292 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Penske Automotive Group | ||||||||
7.750%, 12/15/16 | $ | 1,700 | $ | 1,670 | ||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/18 (A) | 795 | 801 | ||||||
Phillips-Van Heusen | ||||||||
7.375%, 05/15/20 | 5,540 | 5,941 | ||||||
Pinnacle Entertainment | ||||||||
8.750%, 05/15/20 | 5,715 | 5,708 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 290 | 299 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/15 | 2,025 | 1,924 | ||||||
QVC | ||||||||
7.500%, 10/01/19 (A) | 4,215 | 4,426 | ||||||
7.375%, 10/15/20 (A) | 400 | 418 | ||||||
Regal Entertainment | ||||||||
9.125%, 08/15/18 | 2,150 | 2,268 | ||||||
Rent-A-Center | ||||||||
6.625%, 11/15/20 (A) | 960 | 946 | ||||||
River Rock Entertainment Authority | ||||||||
9.750%, 11/01/11 | 4,717 | 4,269 | ||||||
RJ Tower | ||||||||
12.000%, 06/01/13 (B) | 210 | 1 | ||||||
Roadhouse Financing | ||||||||
10.750%, 10/15/17 (A) | 2,820 | 2,982 | ||||||
Royal Caribbean Cruises | ||||||||
11.875%, 07/15/15 | 900 | 1,103 | ||||||
7.250%, 06/15/16 | 390 | 423 | ||||||
RSC Equipment Rental | ||||||||
9.500%, 12/01/14 | 1,280 | 1,318 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 2,250 | 2,211 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/16 | 1,085 | 1,134 | ||||||
Sally Holdings LLC | ||||||||
9.250%, 11/15/14 | 1,565 | 1,628 | ||||||
San Pasqual Casino | ||||||||
8.000%, 09/15/13 (A) | 1,530 | 1,515 | ||||||
Sbarro | ||||||||
10.375%, 02/01/15 | 1,866 | 896 | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/14 | 3,705 | 3,742 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/18 (A) | 4,325 | 4,303 | ||||||
Service International | ||||||||
7.000%, 06/15/17 | 30 | 31 | ||||||
7.000%, 05/15/19 | 525 | 525 | ||||||
6.750%, 04/01/15 | 1,445 | 1,488 | ||||||
Shingle Springs Tribal Group | ||||||||
9.375%, 06/15/15 (A) | 1,685 | 1,028 | ||||||
Simmons Bedding | ||||||||
11.250%, 07/15/15 (A) | 4,575 | 4,930 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sirius XM Radio | ||||||||
9.750%, 09/01/15 (A) | $ | 1,380 | $ | 1,518 | ||||
8.750%, 04/01/15 (A) | 1,950 | 2,052 | ||||||
Speedway Motorsports | ||||||||
8.750%, 06/01/16 | 1,750 | 1,881 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/15 | 1,500 | 1,350 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 1,275 | 1,275 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/16 | 2,275 | 2,593 | ||||||
8.375%, 05/15/18 | 429 | 442 | ||||||
Steinway Musical Instruments | ||||||||
7.000%, 03/01/14 (A) | 5,070 | 5,057 | ||||||
Stoneridge | ||||||||
9.500%, 10/15/17 (A) | 1,200 | 1,298 | ||||||
Suburban Propane Partners | ||||||||
7.375%, 03/15/20 | 2,500 | 2,687 | ||||||
Sun Media | ||||||||
7.625%, 02/15/13 | 70 | 70 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 5,705 | 5,833 | ||||||
9.000%, 03/01/16 (A) | 2,505 | 2,486 | ||||||
4.921%, 09/01/14 (C) | 1,329 | 1,203 | ||||||
Turning Stone Resort Casino Enterprise | ||||||||
9.125%, 09/15/14 (A) | 6,104 | 6,230 | ||||||
UAL 1995 Pass Through Trust A, Ser 95A1 | ||||||||
9.020%, 04/19/12 (B) | 514 | 206 | ||||||
UAL 2009-1 Pass Through Trust | ||||||||
10.400%, 11/01/16 | 1,610 | 1,868 | ||||||
UAL 2009-2A Pass Through Trust | ||||||||
9.750%, 01/15/17 | 1,347 | 1,522 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/13 (A) | 1,735 | 1,926 | ||||||
Univision Communications | ||||||||
9.750%, 03/15/15 (A) | 2,623 | 2,774 | ||||||
VWR Funding | ||||||||
10.250%, 07/15/15 | 3,777 | 3,890 | ||||||
WMG Acquisition | ||||||||
9.500%, 06/15/16 | 980 | 1,022 | ||||||
Wynn Las Vegas LLC | ||||||||
7.875%, 11/01/17 | 155 | 164 | ||||||
7.750%, 08/15/20 (A) | 4,470 | 4,716 | ||||||
297,721 | ||||||||
Consumer Staples — 10.3% | ||||||||
Accellent | ||||||||
10.000%, 11/01/17 (A) | 1,905 | 1,781 | ||||||
8.375%, 02/01/17 | 1,965 | 1,985 | ||||||
Alliance One International | ||||||||
10.000%, 07/15/16 | 935 | 977 |
78 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Achievement | ||||||||
10.875%, 04/15/16 (A) | $ | 4,015 | $ | 3,975 | ||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 (A) | 3,830 | 3,964 | ||||||
Avis Budget Car Rental LLC | ||||||||
8.250%, 01/15/19 (A) | 555 | 542 | ||||||
B&G Foods | ||||||||
7.625%, 01/15/18 | 2,920 | 3,026 | ||||||
Bankrate | ||||||||
11.750%, 07/15/15 (A) | 1,980 | 2,158 | ||||||
Bausch & Lomb | ||||||||
9.875%, 11/01/15 | 800 | 835 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/14 (A) | 3,900 | 4,036 | ||||||
Biomet | ||||||||
11.625%, 10/15/17 | 7,725 | 8,517 | ||||||
Bumble Bee Foods LLC | ||||||||
7.750%, 12/15/15 | 774 | 882 | ||||||
Catalent Pharma Solutions | ||||||||
9.500%, 04/15/15 | 5,314 | 5,367 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/18 | 1,105 | 1,130 | ||||||
Chiquita Brands International | ||||||||
8.875%, 12/01/15 | 1,600 | 1,616 | ||||||
Constellation Brands | ||||||||
8.375%, 12/15/14 | 345 | 380 | ||||||
7.250%, 09/01/16 | 1,540 | 1,651 | ||||||
7.250%, 05/15/17 | 1,250 | 1,344 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/17 (A) | 3,720 | 3,952 | ||||||
8.125%, 09/01/18 (A) | 1,280 | 1,358 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/16 | 1,095 | 1,005 | ||||||
Diversey Holdings | ||||||||
10.500%, 05/15/20 | 2,354 | 2,704 | ||||||
8.250%, 11/15/19 | 1,410 | 1,523 | ||||||
DJO Finance LLC | ||||||||
10.875%, 11/15/14 | 2,620 | 2,856 | ||||||
9.750%, 10/15/17 (A) | 8,613 | 8,635 | ||||||
Dole Food | ||||||||
13.875%, 03/15/14 | 517 | 627 | ||||||
8.000%, 10/01/16 (A) | 405 | 421 | ||||||
Fleming | ||||||||
10.125%, 04/01/08 (B) (I) | 983 | — | ||||||
HCA | ||||||||
9.625%, 11/15/16 | 9,441 | 10,090 | ||||||
9.250%, 11/15/16 | 5,095 | 5,464 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/21 (A) | 3,675 | 3,615 | ||||||
Hertz | ||||||||
7.500%, 10/15/18 (A) | 1,240 | 1,252 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/17 (A) | 3,850 | 3,985 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Laureate Education | ||||||||
11.750%, 08/15/17 (A) | $ | 1,100 | $ | 1,152 | ||||
10.000%, 08/15/15 (A) | 525 | 537 | ||||||
Michael Foods | ||||||||
9.750%, 07/15/18 (A) | 375 | 405 | ||||||
MultiPlan | ||||||||
9.875%, 09/01/18 (A) | 1,390 | 1,477 | ||||||
NBTY | ||||||||
9.000%, 10/01/18 (A) | 2,530 | 2,656 | ||||||
Novasep Holding SAS | ||||||||
9.750%, 12/15/16 (A) | 870 | 592 | ||||||
Pantry | ||||||||
7.750%, 02/15/14 | 3,785 | 3,794 | ||||||
PharmaNet Development Group | ||||||||
10.875%, 04/15/17 (A) | 4,000 | 4,050 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/17 (A) | 2,150 | 2,102 | ||||||
Reynolds Group Issuer | ||||||||
9.000%, 04/15/19 (A) | 2,425 | 2,467 | ||||||
7.125%, 04/15/19 (A) | 2,850 | 2,900 | ||||||
Rite Aid | ||||||||
10.375%, 07/15/16 | 1,060 | 1,100 | ||||||
9.750%, 06/12/16 | 2,340 | 2,513 | ||||||
9.500%, 06/15/17 | 5,505 | 4,569 | ||||||
8.000%, 08/15/20 (A) | 6,785 | 6,988 | ||||||
7.500%, 03/01/17 | 1,080 | 1,018 | ||||||
RSC Equipment Rental | ||||||||
10.000%, 07/15/17 (A) | 2,000 | 2,210 | ||||||
Seminole Indian Tribe of Florida | ||||||||
7.750%, 10/01/17 (A) | 5,045 | 5,187 | ||||||
6.535%, 10/01/20 (A) | 1,000 | 981 | ||||||
ServiceMaster | ||||||||
10.750%, 07/15/15 (A) | 6,060 | 6,499 | ||||||
7.450%, 08/15/27 | 5 | 4 | ||||||
7.250%, 03/01/38 | 3,170 | 2,227 | ||||||
Smithfield Foods | ||||||||
7.750%, 07/01/17 | 1,000 | 1,010 | ||||||
Spectrum Brands | ||||||||
12.000%, 08/28/19 | 2,263 | 2,512 | ||||||
9.500%, 06/15/18 (A) | 4,145 | 4,487 | ||||||
SUPERVALU | ||||||||
8.000%, 05/01/16 | 3,775 | 3,709 | ||||||
Ticketmaster Entertainment LLC | ||||||||
10.750%, 08/01/16 | 5,215 | 5,658 | ||||||
Tops Markets LLC | ||||||||
10.125%, 10/15/15 (A) | 655 | 698 | ||||||
UHS Escrow | ||||||||
7.000%, 10/01/18 (A) | 2,500 | 2,587 | ||||||
United Rentals North America | ||||||||
10.875%, 06/15/16 | 3,000 | 3,405 | ||||||
9.250%, 12/15/19 | 1,055 | 1,146 | ||||||
8.375%, 09/15/20 | 1,464 | 1,446 | ||||||
Universal Hospital Services | ||||||||
8.500%, 06/01/15 | 275 | 282 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
US Oncology | ||||||||
9.125%, 08/15/17 | $ | 2,130 | $ | 2,567 | ||||
US Oncology Holdings | ||||||||
6.737%, 03/15/12 (C) | 1,312 | 1,312 | ||||||
Valeant Pharmaceuticals International | ||||||||
7.000%, 10/01/20 (A) | 1,250 | 1,219 | ||||||
6.875%, 12/01/18 (A) | 3,740 | 3,679 | ||||||
6.750%, 10/01/17 (A) | 1,450 | 1,432 | ||||||
Vanguard Health Holding II LLC | ||||||||
8.000%, 02/01/18 | 2,965 | 2,995 | ||||||
Viking Acquisition | ||||||||
9.250%, 11/01/18 (A) | 1,475 | 1,471 | ||||||
Viskase | ||||||||
9.875%, 01/15/18 (A) | 1,195 | 1,237 | ||||||
9.875%, 01/15/18 (A) | 105 | 109 | ||||||
Warner Chilcott LLC | ||||||||
7.750%, 09/15/18 (A) | 1,130 | 1,130 | ||||||
Wyle Services | ||||||||
10.500%, 04/01/18 (A) | 1,375 | 1,354 | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/17 | 3,685 | 3,814 | ||||||
196,340 | ||||||||
Energy — 8.4% | ||||||||
Alta Mesa Holdings | ||||||||
9.625%, 10/15/18 (A) | 2,155 | 2,090 | ||||||
American Petroleum Tankers LLC | ||||||||
10.250%, 05/01/15 (A) | 1,295 | 1,331 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/17 | 1,020 | 1,102 | ||||||
Antero Resources | ||||||||
9.375%, 12/01/17 | 990 | 1,020 | ||||||
Aquilex Holdings LLC | ||||||||
11.125%, 12/15/16 | 2,660 | 2,673 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/16 | 2,850 | 3,128 | ||||||
Atlas Energy Operating LLC | ||||||||
12.125%, 08/01/17 | 190 | 249 | ||||||
10.750%, 02/01/18 | 1,845 | 2,249 | ||||||
Aventine Renewable Energy Holdings | ||||||||
13.000%, 03/15/15 (A) | 932 | 951 | ||||||
Basic Energy Services | ||||||||
11.625%, 08/01/14 | 1,300 | 1,436 | ||||||
Berry Petroleum | ||||||||
6.750%, 11/01/20 | 500 | 497 | ||||||
Bill Barrett | ||||||||
9.875%, 07/15/16 | 1,000 | 1,090 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/20 (A) | 895 | 893 | ||||||
Brigham Exploration | ||||||||
8.750%, 10/01/18 (A) | 895 | 953 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/17 | 2,260 | 2,373 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Calfrac Holdings | ||||||||
7.500%, 12/01/20 (A) | $ | 2,500 | $ | 2,487 | ||||
Carrizo Oil & Gas | ||||||||
8.625%, 10/15/18 (A) | 1,995 | 1,985 | ||||||
Chaparral Energy | ||||||||
9.875%, 10/01/20 (A) | 975 | 1,004 | ||||||
8.500%, 12/01/15 | 692 | 683 | ||||||
Chesapeake Energy | ||||||||
9.500%, 02/15/15 | 1,545 | 1,730 | ||||||
6.875%, 08/15/18 | 3,090 | 3,152 | ||||||
6.625%, 08/15/20 | 310 | 312 | ||||||
6.500%, 08/15/17 | 1,200 | 1,209 | ||||||
Cloud Peak Energy Resources LLC | ||||||||
8.250%, 12/15/17 | 1,225 | 1,335 | ||||||
Complete Production Services | ||||||||
8.000%, 12/15/16 | 760 | 779 | ||||||
Compton Petroleum Finance | ||||||||
10.000%, 09/15/17 | 141 | 118 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 (A) | 1,680 | 1,819 | ||||||
8.000%, 04/01/17 (A) | 2,200 | 2,365 | ||||||
Continental Resources | ||||||||
7.375%, 10/01/20 (A) | 2,500 | 2,662 | ||||||
7.125%, 04/01/21 (A) | 850 | 893 | ||||||
Copano Energy LLC | ||||||||
7.750%, 06/01/18 | 3,000 | 3,000 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/18 | 2,235 | 2,330 | ||||||
Denbury Resources | ||||||||
9.750%, 03/01/16 | 675 | 748 | ||||||
Drummond | ||||||||
9.000%, 10/15/14 (A) | 1,220 | 1,287 | ||||||
El Paso | ||||||||
8.250%, 02/15/16 | 780 | 853 | ||||||
7.420%, 02/15/37 | 1,000 | 985 | ||||||
7.250%, 06/01/18 | 2,425 | 2,584 | ||||||
7.000%, 06/15/17 | 270 | 284 | ||||||
Encore Acquisition | ||||||||
9.500%, 05/01/16 | 25 | 28 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 4,188 | 4,335 | ||||||
EXCO Resources | ||||||||
7.500%, 09/15/18 | 1,875 | 1,791 | ||||||
Forbes Energy Services LLC | ||||||||
11.000%, 02/15/15 | 806 | 798 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/14 | 50 | 54 | ||||||
8.000%, 12/15/11 | 800 | 836 | ||||||
7.250%, 06/15/19 | 2,155 | 2,198 | ||||||
Frac Tech Services LLC | ||||||||
7.125%, 11/15/18 (A) | 1,000 | 993 | ||||||
Frontier Oil | ||||||||
6.875%, 11/15/18 | 955 | 969 |
80 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
General Maritime | ||||||||
12.000%, 11/15/17 | $ | 1,215 | $ | 1,215 | ||||
Global Geophysical Services | ||||||||
10.500%, 05/01/17 (A) | 540 | 535 | ||||||
Helix Energy Solutions Group | ||||||||
9.500%, 01/15/16 (A) | 3,210 | 3,338 | ||||||
Hercules Offshore | ||||||||
10.500%, 10/15/17 (A) | 1,210 | 962 | ||||||
Hilcorp Energy I | ||||||||
8.000%, 02/15/20 (A) | 1,280 | 1,341 | ||||||
7.625%, 04/15/21 (A) | 125 | 128 | ||||||
Holly | ||||||||
9.875%, 06/15/17 | 3,135 | 3,409 | ||||||
International Coal Group | ||||||||
9.125%, 04/01/18 | 1,165 | 1,258 | ||||||
Linn Energy LLC | ||||||||
11.750%, 05/15/17 | 450 | 513 | ||||||
9.875%, 07/01/18 | 420 | 454 | ||||||
8.625%, 04/15/20 (A) | 1,415 | 1,500 | ||||||
7.750%, 02/01/21 (A) | 875 | 888 | ||||||
MarkWest Energy Partners | ||||||||
8.750%, 04/15/18 | 1,325 | 1,424 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/15 (A) | 1,315 | 1,341 | ||||||
Newfield Exploration | ||||||||
7.125%, 05/15/18 | 5,635 | 5,917 | ||||||
6.875%, 02/01/20 | 2,075 | 2,168 | ||||||
NFR Energy LLC | ||||||||
9.750%, 02/15/17 (A) | 1,220 | 1,205 | ||||||
9.750%, 02/15/17 (A) | 680 | 672 | ||||||
OPTI Canada | ||||||||
9.750%, 08/15/13 (A) | 445 | 443 | ||||||
9.000%, 12/15/12 (A) | 455 | 453 | ||||||
8.250%, 12/15/14 | 3,535 | 2,457 | ||||||
7.875%, 12/15/14 | 2,840 | 1,953 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/18 (A) | 3,090 | 3,198 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/16 | 400 | 440 | ||||||
PetroHawk Energy | ||||||||
10.500%, 08/01/14 | 2,305 | 2,599 | ||||||
7.875%, 06/01/15 | 1,895 | 1,952 | ||||||
7.250%, 08/15/18 | 2,850 | 2,843 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/18 | 2,730 | 3,058 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/18 (A) | 580 | 612 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/16 | 1,140 | 1,265 | ||||||
7.750%, 06/15/15 | 410 | 425 | ||||||
7.625%, 06/01/18 | 350 | 370 | ||||||
7.625%, 04/01/20 | 725 | 767 | ||||||
7.000%, 03/15/17 | 1,440 | 1,458 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Precision Drilling | ||||||||
6.625%, 11/15/20 (A) | $ | 680 | $ | 687 | ||||
Pride International | ||||||||
6.875%, 08/15/20 | 1,880 | 1,993 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/16 | 2,200 | 2,525 | ||||||
7.125%, 04/01/16 | 4,074 | 3,931 | ||||||
RAAM Global Energy | ||||||||
12.500%, 10/01/15 (A) | 1,490 | 1,524 | ||||||
Range Resources | ||||||||
8.000%, 05/15/19 | 4,575 | 4,987 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/18 | 4,000 | 4,040 | ||||||
SandRidge Energy | ||||||||
9.875%, 05/15/16 (A) | 1,185 | 1,226 | ||||||
8.750%, 01/15/20 | 2,895 | 2,924 | ||||||
8.625%, 04/01/15 | 2,425 | 2,364 | ||||||
Southwestern Energy | ||||||||
7.500%, 02/01/18 | 1,125 | 1,268 | ||||||
Targa Resources | ||||||||
11.250%, 07/15/17 | 3,475 | 3,961 | ||||||
7.875%, 10/15/18 (A) | 2,445 | 2,518 | ||||||
Tesoro | ||||||||
9.750%, 06/01/19 | 2,600 | 2,860 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/17 (A) | 1,790 | 1,906 | ||||||
159,916 | ||||||||
Financials — 12.0% | ||||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/15 (A) | 1,725 | 1,533 | ||||||
Alliant Holdings | ||||||||
11.000%, 05/01/15 (A) | 3,350 | 3,459 | ||||||
Ally Financial | ||||||||
8.000%, 12/31/18 | 1,250 | 1,263 | ||||||
8.000%, 11/01/31 | 3,333 | 3,450 | ||||||
7.500%, 09/15/20 (A) | 5,785 | 5,669 | ||||||
6.750%, 12/01/14 | 4,996 | 5,108 | ||||||
6.250%, 12/01/17 (A) | 1,045 | 1,003 | ||||||
American Capital | ||||||||
8.960%, 12/31/13 (A) | 2,012 | 2,031 | ||||||
American General Finance MTN | ||||||||
5.400%, 12/01/15 | 3,280 | 2,558 | ||||||
American International Group | ||||||||
8.175%, 05/15/58 (C) | 2,225 | 2,269 | ||||||
Aventi | ||||||||
0.000%, 10/15/49 (B) (I) (J) (K) | 2,600 | 151 | ||||||
Bank of America | ||||||||
8.000%, 12/29/49 (C) | 1,085 | 1,084 | ||||||
Cemex Finance LLC | ||||||||
9.500%, 12/14/16 (A) | 6,410 | 6,410 | ||||||
CEVA Group | ||||||||
11.625%, 10/01/16 (A) | 3,155 | 3,415 | ||||||
11.500%, 04/01/18 (A) | 2,500 | 2,663 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CIT Group | ||||||||
7.000%, 05/01/13 | $ | 212 | $ | 213 | ||||
7.000%, 05/01/14 | 319 | 316 | ||||||
7.000%, 05/01/15 | 919 | 905 | ||||||
7.000%, 05/01/16 | 8,632 | 8,481 | ||||||
7.000%, 05/01/17 | 11,490 | 11,202 | ||||||
Citigroup Capital XXI | ||||||||
8.300%, 12/21/57 (C) | 1,065 | 1,108 | ||||||
City National Bank | ||||||||
9.000%, 08/12/19 | 4,062 | 4,861 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/17 (A) | 2,600 | 2,717 | ||||||
Delphi Financial Group | ||||||||
7.875%, 01/31/20 | 2,000 | 2,206 | ||||||
E*Trade Financial | ||||||||
7.375%, 09/15/13 | 2,200 | 2,178 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/17 | 2,355 | 2,714 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/20 | 3,186 | 3,268 | ||||||
Express LLC | ||||||||
8.750%, 03/01/18 | 790 | 837 | ||||||
Felcor Lodging | ||||||||
10.000%, 10/01/14‡ | 1,320 | 1,460 | ||||||
Fifth Third Capital Trust IV | ||||||||
6.500%, 04/15/37 (C) | 1,565 | 1,455 | ||||||
FireKeepers Development Authority | ||||||||
13.875%, 05/01/15 (A) | 3,697 | 4,325 | ||||||
Ford Motor Credit LLC | ||||||||
12.000%, 05/15/15 | 1,695 | 2,100 | ||||||
8.700%, 10/01/14 | 3,235 | 3,596 | ||||||
8.000%, 06/01/14 | 2,000 | 2,171 | ||||||
8.000%, 12/15/16 | 1,100 | 1,209 | ||||||
7.000%, 10/01/13 | 7,455 | 7,852 | ||||||
7.000%, 04/15/15 | 1,490 | 1,575 | ||||||
6.625%, 08/15/17 | 410 | 423 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/15 (A) | 800 | 916 | ||||||
Genworth Financial | ||||||||
6.150%, 11/15/66 (C) | 2,767 | 2,110 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/15 (A) | 3,390 | 3,712 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (A) (C) | 1,900 | 1,658 | ||||||
Hellas II | ||||||||
6.881%, 01/15/15 (A) (B) (C) | 2,100 | 5 | ||||||
Host Hotels & Resorts | ||||||||
9.000%, 05/15/17‡ | 125 | 139 | ||||||
Host Marriott LP, Ser Q | ||||||||
6.750%, 06/01/16‡ | 1,755 | 1,799 | ||||||
HUB International Holdings | ||||||||
10.250%, 06/15/15 (A) | 410 | 410 | ||||||
9.000%, 12/15/14 (A) | 2,270 | 2,270 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/18 | $ | 2,500 | $ | 2,481 | ||||
8.000%, 01/15/18 (A) | 580 | 573 | ||||||
7.750%, 01/15/16 (A) | 1,000 | 990 | ||||||
7.750%, 01/15/16 | 4,500 | 4,477 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (C) | 2,695 | 2,105 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/17 (A) | 3,405 | 3,584 | ||||||
8.625%, 09/15/15 (A) | 4,430 | 4,674 | ||||||
7.125%, 09/01/18 (A) | 795 | 841 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/20 (A) | 5,000 | 5,163 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/18 | 3,305 | 3,041 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/37 (A) (C) | 1,530 | 1,387 | ||||||
Lloyds Banking Group | ||||||||
6.267%, 11/14/16 (A) | 310 | 208 | ||||||
5.920%, 09/29/49 (A) (C) | 470 | 315 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/18 (A) | 2,275 | 2,178 | ||||||
9.500%, 10/15/15 (A) | 430 | 406 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/03 (A) (B) | 4,000 | — | ||||||
Millennium | ||||||||
7.625%, 11/15/26 (B) | 200 | — | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/39 (A) | 1,100 | 1,321 | ||||||
Norcraft Holdings | ||||||||
10.500%, 12/15/15 | 625 | 663 | ||||||
Northern Tier Energy LLC and Northern Tier Finance Corp | ||||||||
10.500%, 12/01/17 (A) (G) | 1,805 | 1,828 | ||||||
NSG Holdings LLC | ||||||||
7.750%, 12/15/25 (A) | 2,100 | 1,895 | ||||||
Nuveen Investments | ||||||||
10.500%, 11/15/15 | 12,720 | 12,672 | ||||||
5.500%, 09/15/15 | 1,420 | 1,187 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/14 | 1,050 | 1,158 | ||||||
Omega Healthcare Investors | ||||||||
7.500%, 02/15/20‡ (A) | 3,505 | 3,654 | ||||||
PHH | ||||||||
9.250%, 03/01/16 (A) | 1,295 | 1,327 | ||||||
Pinafore LLC | ||||||||
9.000%, 10/01/18 (A) | 2,160 | 2,279 | ||||||
Pinnacle Foods Finance LLC | ||||||||
10.625%, 04/01/17 | 2,835 | 3,016 | ||||||
9.250%, 04/01/15 (A) | 495 | 509 | ||||||
9.250%, 04/01/15 | 170 | 175 | ||||||
8.250%, 09/01/17 (A) | 1,250 | 1,266 | ||||||
PNC Preferred Funding Trust II | ||||||||
6.113%, 03/29/49 (A) (C) | 2,640 | 1,938 |
82 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | $ | 3,140 | $ | 3,374 | ||||
Realogy | ||||||||
10.500%, 04/15/14 | 1,265 | 1,091 | ||||||
Regions Financial | ||||||||
7.750%, 11/10/14 | 1,405 | 1,370 | ||||||
Reynolds Group Issuer | ||||||||
8.500%, 05/15/18 (A) | 2,545 | 2,532 | ||||||
7.750%, 10/15/16 (A) | 6,540 | 6,818 | ||||||
Sabra Health Care | ||||||||
8.125%, 11/01/18‡ (A) | 1,425 | 1,439 | ||||||
Snoqualmie Entertainment Authority | ||||||||
9.125%, 02/01/15 (A) | 3,210 | 2,969 | ||||||
4.428%, 02/01/14 (A) (C) | 445 | 369 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/18 (A) | 1,020 | 1,114 | ||||||
Susquehanna Capital II | ||||||||
11.000%, 03/23/40 | 1,300 | 1,391 | ||||||
Susser Holdings LLC | ||||||||
8.500%, 05/15/16 | 3,715 | 3,938 | ||||||
UCI Holdco | ||||||||
9.250%, 12/15/13 (C) | 1,314 | 1,314 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/15 (A) | 4,812 | 4,788 | ||||||
Vantage Drilling | ||||||||
11.500%, 08/01/15 (A) | 3,350 | 3,534 | ||||||
Ventas Realty LP | ||||||||
6.750%, 04/01/17‡ | 775 | 834 | ||||||
XL Capital | ||||||||
6.500%, 12/31/49 (C) | 1,710 | 1,458 | ||||||
Yankee Acquisition, Ser B | ||||||||
8.500%, 02/15/15 | 1,000 | 1,034 | ||||||
Zions Bancorporation | ||||||||
5.650%, 05/15/14 | 160 | 156 | ||||||
229,091 | ||||||||
Health Care — 3.5% | ||||||||
Biomet | ||||||||
10.375%, 10/15/17 | 7,015 | 7,646 | ||||||
10.000%, 10/15/17 | 4,530 | 4,938 | ||||||
Bioscrip | ||||||||
10.250%, 10/01/15 | 5,813 | 5,951 | ||||||
Community Health Systems | ||||||||
8.875%, 07/15/15 | 2,210 | 2,312 | ||||||
Cooper | ||||||||
7.125%, 02/15/15 | 960 | 989 | ||||||
DaVita | ||||||||
6.625%, 11/01/20 | 1,350 | 1,338 | ||||||
6.375%, 11/01/18 | 1,350 | 1,338 | ||||||
HCA | ||||||||
9.875%, 02/15/17 | 170 | 186 | ||||||
8.500%, 04/15/19 | 2,640 | 2,877 | ||||||
Health Management Associates | ||||||||
6.125%, 04/15/16 | 2,140 | 2,159 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Healthsouth | ||||||||
8.125%, 02/15/20 | $ | 3,210 | $ | 3,479 | ||||
7.750%, 09/15/22 | 610 | 628 | ||||||
7.250%, 10/01/18 | 610 | 621 | ||||||
Inventiv Health | ||||||||
10.000%, 08/15/18 (A) | 1,425 | 1,400 | ||||||
Inverness Medical Innovations | ||||||||
9.000%, 05/15/16 | 5,650 | 5,763 | ||||||
MedAssets | ||||||||
8.000%, 11/15/18 (A) | 705 | 710 | ||||||
Mylan | ||||||||
7.875%, 07/15/20 (A) | 2,395 | 2,554 | ||||||
7.625%, 07/15/17 (A) | 4,100 | 4,346 | ||||||
6.000%, 11/15/18 (A) | 1,085 | 1,058 | ||||||
Omnicare | ||||||||
6.125%, 06/01/13 | 400 | 397 | ||||||
Select Medical | ||||||||
7.625%, 02/01/15 | 5,535 | 5,507 | ||||||
Surgical Care Affiliates | ||||||||
8.875%, 07/15/15 (A) | 1,636 | 1,652 | ||||||
Talecris Biotherapeutics | ||||||||
7.750%, 11/15/16 | 1,440 | 1,555 | ||||||
Tenet Healthcare | ||||||||
10.000%, 05/01/18 | 45 | 50 | ||||||
9.250%, 02/01/15 | 2,090 | 2,226 | ||||||
8.875%, 07/01/19 | 495 | 527 | ||||||
United Surgical Partners International | ||||||||
8.875%, 05/01/17 | 105 | 108 | ||||||
United Surgical Partners International PIK | ||||||||
9.250%, 05/01/17 | 3,190 | 3,294 | ||||||
65,609 | ||||||||
Industrials — 9.4% | ||||||||
ACCO Brands | ||||||||
10.625%, 03/15/15 | 3,025 | 3,365 | ||||||
7.625%, 08/15/15 | 830 | 820 | ||||||
Accuride | ||||||||
9.500%, 08/01/18 (A) | 4,430 | 4,729 | ||||||
Actuant | ||||||||
6.875%, 06/15/17 | 2,575 | 2,627 | ||||||
Aircastle | ||||||||
9.750%, 08/01/18 | 700 | 760 | ||||||
Alion Science and Technology | ||||||||
12.000%, 11/01/14 | 3,011 | 3,056 | ||||||
10.250%, 02/01/15 | 1,200 | 879 | ||||||
Alliant Techsystems | ||||||||
6.875%, 09/15/20 | 810 | 826 | ||||||
6.750%, 04/01/16 | 4,090 | 4,151 | ||||||
Allison Transmission | ||||||||
11.000%, 11/01/15 (A) | 1,268 | 1,373 | ||||||
American Axle & Manufacturing | ||||||||
7.875%, 03/01/17 | 2,630 | 2,604 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AMGH Merger Sub | ||||||||
9.250%, 11/01/18 (A) | $ | 1,682 | $ | 1,720 | ||||
Amsted Industries | ||||||||
8.125%, 03/15/18 (A) | 3,730 | 3,972 | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/20 (A) | 1,485 | 1,530 | ||||||
7.375%, 10/15/17 (A) | 375 | 385 | ||||||
ArvinMeritor | ||||||||
10.625%, 03/15/18 | 610 | 685 | ||||||
8.125%, 09/15/15 | 1,295 | 1,324 | ||||||
Associated Materials LLC | ||||||||
9.125%, 11/01/17 (A) | 3,360 | 3,427 | ||||||
Atrium | ||||||||
15.000%, 12/15/12 (A) (B) (E) | 1,593 | 24 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/15/16 (A) | 785 | 779 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/13 (A) | 925 | 731 | ||||||
Baldor Electric | ||||||||
8.625%, 02/15/17 | 675 | 753 | ||||||
BE Aerospace | ||||||||
8.500%, 07/01/18 | 650 | 707 | ||||||
6.875%, 10/01/20 | 1,165 | 1,199 | ||||||
Belden | ||||||||
9.250%, 06/15/19 | 655 | 717 | ||||||
Berry Plastics | ||||||||
9.750%, 01/15/21 (A) | 6,545 | 6,267 | ||||||
Building Materials | ||||||||
6.875%, 08/15/18 (A) | 3,245 | 3,180 | ||||||
Bway Holding | ||||||||
10.000%, 06/15/18 (A) | 1,390 | 1,494 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/17 (A) | 1,060 | 1,169 | ||||||
Casella Waste Systems | ||||||||
11.000%, 07/15/14 | 30 | 33 | ||||||
9.750%, 02/01/13 | 1,765 | 1,783 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/20 (A) | 1,478 | 1,404 | ||||||
Chart Industries | ||||||||
9.125%, 10/15/15 | 2,000 | 2,025 | ||||||
Clean Harbors | ||||||||
7.625%, 08/15/16 | 517 | 545 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 3,845 | 4,008 | ||||||
CPM Holdings | ||||||||
10.625%, 09/01/14 (A) | 1,250 | 1,325 | ||||||
DAE Aviation Holdings | ||||||||
11.250%, 08/01/15 (A) | 1,185 | 1,226 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/15 (A) | 4,355 | 4,921 | ||||||
ESCO | ||||||||
4.167%, 12/15/13 (A) (C) | 560 | 561 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/20 (A) | 1,755 | 1,816 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FTI Consulting | ||||||||
6.750%, 10/01/20 (A) | $ | 695 | $ | 702 | ||||
General Cable | ||||||||
7.125%, 04/01/17 | 1,120 | 1,145 | ||||||
Geo Group | ||||||||
7.750%, 10/15/17 (A) | 1,310 | 1,389 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/13 (A) | 2,850 | 3,107 | ||||||
Graham Packaging | ||||||||
8.250%, 01/01/17 (A) | 330 | 337 | ||||||
8.250%, 10/01/18 (A) | 1,490 | 1,512 | ||||||
Graphic Packaging International | ||||||||
9.500%, 06/15/17 | 1,245 | 1,351 | ||||||
7.875%, 10/01/18 | 2,800 | 2,905 | ||||||
Harland Clarke Holdings | ||||||||
9.500%, 05/15/15 | 2,905 | 2,687 | ||||||
6.000%, 05/15/15 (C) | 545 | 441 | ||||||
Interface | ||||||||
7.625%, 12/01/18 (A) (G) | 1,015 | 1,035 | ||||||
Interline Brands | ||||||||
7.000%, 11/15/18 (A) | 2,261 | 2,269 | ||||||
International Wire Group | ||||||||
9.750%, 04/15/15 (A) | 1,105 | 1,145 | ||||||
Iron Mountain | ||||||||
8.750%, 07/15/18 | 1,400 | 1,470 | ||||||
8.375%, 08/15/21 | 1,115 | 1,221 | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/18 (A) | 1,870 | 2,010 | ||||||
Koppers | ||||||||
7.875%, 12/01/19 | 1,245 | 1,341 | ||||||
Kratos | ||||||||
10.000%, 06/01/17 | 2,250 | 2,512 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/18 | 1,960 | 2,097 | ||||||
8.500%, 11/01/20 | 880 | 900 | ||||||
Masco | ||||||||
7.125%, 03/15/20 | 115 | 121 | ||||||
Millar Western Forest | ||||||||
7.750%, 11/15/13 | 1,375 | 1,293 | ||||||
Mobile Mini | ||||||||
7.875%, 12/01/20 (A) | 1,190 | 1,218 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/20 (A) | 510 | 560 | ||||||
Nortek | ||||||||
10.000%, 12/01/18 (A) | 870 | 870 | ||||||
NXP Funding LLC | ||||||||
10.000%, 07/15/13 (A) | 598 | 664 | ||||||
9.750%, 08/01/18 (A) | 3,795 | 4,099 | ||||||
9.500%, 10/15/15 | 2,995 | 3,070 | ||||||
7.875%, 10/15/14 | 1,500 | 1,539 | ||||||
Old AII PIK | ||||||||
9.000%, 12/15/14 (B) | 950 | 2 | ||||||
Old AII | ||||||||
10.000%, 12/15/16 (B) | 1,675 | — |
84 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Oshkosh | ||||||||
8.500%, 03/01/20 | $ | 1,200 | $ | 1,302 | ||||
8.250%, 03/01/17 | 1,405 | 1,510 | ||||||
Plastipak Holdings | ||||||||
10.625%, 08/15/19 (A) | 665 | 738 | ||||||
Ply Gem | ||||||||
13.125%, 07/15/14 | 1,290 | 1,354 | ||||||
Polypore International | ||||||||
7.500%, 11/15/17 (A) | 4,865 | 4,926 | ||||||
Pregis | ||||||||
12.375%, 10/15/13 | 1,751 | 1,742 | ||||||
Quality Distribution LLC | ||||||||
11.750%, 11/01/13 | 823 | 814 | ||||||
9.875%, 11/01/18 (A) | 4,770 | 4,603 | ||||||
Quebecore | ||||||||
0.000%, 11/15/13 (B) | 1,800 | — | ||||||
0.000%, 03/15/16 (I) (J) (K) | 2,175 | 130 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/18 (A) | 1,205 | 1,109 | ||||||
RailAmerica | ||||||||
9.250%, 07/01/17 | 1,004 | 1,099 | ||||||
RBS Global & Rexnord | ||||||||
11.750%, 08/01/16 | 1,300 | 1,372 | ||||||
8.500%, 05/01/18 | 3,940 | 4,039 | ||||||
Sequa | ||||||||
11.750%, 12/01/15 (A) | 4,400 | 4,697 | ||||||
Sequa PIK | ||||||||
13.500%, 12/01/15 (A) | 500 | 543 | ||||||
Solo Cup | ||||||||
10.500%, 11/01/13 | 990 | 1,032 | ||||||
Spirit Aerosystems | ||||||||
7.500%, 10/01/17 | 1,075 | 1,118 | ||||||
SPX | ||||||||
7.625%, 12/15/14 | 1,330 | 1,445 | ||||||
Swift Transportation LLC | ||||||||
12.500%, 05/15/17 (A) | 665 | 718 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/18 (A) | 2,187 | 2,236 | ||||||
Terex | ||||||||
10.875%, 06/01/16 | 1,000 | 1,152 | ||||||
8.000%, 11/15/17 | 4,905 | 4,838 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/17 (A) (G) | 1,800 | 1,814 | ||||||
Titan International | ||||||||
7.875%, 10/01/17 (A) | 4,335 | 4,508 | ||||||
Trimas | ||||||||
9.750%, 12/15/17 (A) | 1,020 | 1,091 | ||||||
Triumph Group | ||||||||
8.625%, 07/15/18 | 410 | 445 | ||||||
8.000%, 11/15/17 | 275 | 283 | ||||||
United Maritime LLC | ||||||||
11.750%, 06/15/15 | 4,400 | 4,279 | ||||||
USG | ||||||||
9.750%, 08/01/14 (A) | 265 | 278 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
8.375%, 10/15/18 (A) | $ | 1,535 | $ | 1,474 | ||||
6.300%, 11/15/16 | 1,975 | 1,718 | ||||||
178,319 | ||||||||
Information Technology — 4.9% | ||||||||
Activant Solutions | ||||||||
9.500%, 05/01/16 | 1,975 | 1,935 | ||||||
Aeroflex | ||||||||
11.750%, 02/15/15 | 1,650 | 1,803 | ||||||
Allen Systems Group | ||||||||
10.500%, 11/15/16 (A) | 1,460 | 1,453 | ||||||
Amkor Technology | ||||||||
9.250%, 06/01/16 | 1,000 | 1,061 | ||||||
7.375%, 05/01/18 (A) | 2,025 | 2,136 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 (A) | 2,825 | 2,853 | ||||||
Brocade Communications Systems | ||||||||
6.875%, 01/15/20 | 480 | 514 | ||||||
6.625%, 01/15/18 | 480 | 506 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/18 | 5,950 | 6,218 | ||||||
Compucom Systems | ||||||||
12.500%, 10/01/15 (A) | 6,025 | 6,477 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/17 (A) | 4,502 | 4,570 | ||||||
Exide Technologies | ||||||||
10.500%, 03/15/13 | 1,500 | 1,521 | ||||||
Fidelity National | ||||||||
7.875%, 07/15/20 (A) | 970 | 1,035 | ||||||
7.625%, 07/15/17 (A) | 1,630 | 1,720 | ||||||
First Data | ||||||||
10.550%, 09/24/15 | 6,433 | 5,549 | ||||||
9.875%, 09/24/15 | 4,085 | 3,472 | ||||||
8.875%, 08/15/20 (A) | 1,090 | 1,134 | ||||||
Freescale Semiconductor | ||||||||
10.750%, 08/01/20 (A) | 1,850 | 1,836 | ||||||
10.125%, 12/15/16 | 500 | 474 | ||||||
10.125%, 03/15/18 (A) | 315 | 340 | ||||||
9.250%, 04/15/18 (A) | 7,170 | 7,511 | ||||||
Interactive Data Corp | ||||||||
10.250%, 08/01/18 (A) | 1,335 | 1,438 | ||||||
Jabil Circuit | ||||||||
5.625%, 12/15/20 | 4,000 | 3,930 | ||||||
JDA Software Group | ||||||||
8.000%, 12/15/14 (A) | 1,010 | 1,076 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/18 (A) | 2,400 | 2,556 | ||||||
Sanmina-SCI | ||||||||
8.125%, 03/01/16 | 540 | 541 | ||||||
Seagate Technology International | ||||||||
10.000%, 05/01/14 (A) | 450 | 529 | ||||||
Smart Modular | ||||||||
5.790%, 04/01/12 (C) | 760 | 760 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Spansion LLC | ||||||||
7.875%, 11/15/17 (A) | $ | 1,555 | $ | 1,584 | ||||
STATS ChipPAC | ||||||||
7.500%, 08/12/15 (A) | 2,200 | 2,327 | ||||||
Stratus Technologies | ||||||||
12.000%, 03/29/15 (A) | 2,575 | 2,163 | ||||||
SunGard Data Systems | ||||||||
10.250%, 08/15/15 | 6,387 | 6,626 | ||||||
7.625%, 11/15/20 (A) | 1,486 | 1,486 | ||||||
7.375%, 11/15/18 (A) | 2,987 | 2,957 | ||||||
Terremark Worldwide | ||||||||
12.000%, 06/15/17 | 1,090 | 1,232 | ||||||
Unisys | ||||||||
14.250%, 09/15/15 (A) | 1,660 | 1,996 | ||||||
12.750%, 10/15/14 (A) | 6,695 | 7,984 | ||||||
Viasat | ||||||||
8.875%, 09/15/16 | 665 | 706 | ||||||
94,009 | ||||||||
Materials — 5.8% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/20 | 1,992 | 1,987 | ||||||
Appleton Papers | ||||||||
10.500%, 06/15/15 (A) | 1,040 | 1,019 | ||||||
Ashland | ||||||||
9.125%, 06/01/17 | 2,860 | 3,282 | ||||||
Boise Paper Holding | ||||||||
9.000%, 11/01/17 | 1,670 | 1,841 | ||||||
Cascades | ||||||||
7.875%, 01/15/20 | 1,440 | 1,512 | ||||||
Celanese US Holdings LLC | ||||||||
6.625%, 10/15/18 (A) | 750 | 771 | ||||||
Century Aluminum | ||||||||
8.000%, 05/15/14 | 1,071 | 1,112 | ||||||
CF Industries | ||||||||
7.125%, 05/01/20 | 1,884 | 2,108 | ||||||
6.875%, 05/01/18 | 5,605 | 6,151 | ||||||
Chemtura | ||||||||
7.875%, 09/01/18 (A) | 2,450 | 2,591 | ||||||
Clearwater Paper | ||||||||
10.625%, 06/15/16 | 855 | 981 | ||||||
7.125%, 11/01/18 (A) | 255 | 259 | ||||||
CPG International I | ||||||||
10.500%, 07/01/13 | 2,100 | 2,134 | ||||||
Domtar | ||||||||
10.750%, 06/01/17 | 3,500 | 4,401 | ||||||
9.500%, 08/01/16 | 250 | 293 | ||||||
Ferro | ||||||||
7.875%, 08/15/18 | 1,000 | 1,041 | ||||||
FMG Resources | ||||||||
7.000%, 11/01/15 (A) | 1,485 | 1,504 | ||||||
Georgia-Pacific | ||||||||
8.000%, 01/15/24 | 1,680 | 1,957 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.125%, 01/15/17 (A) | $ | 5,380 | $ | 5,676 | ||||
7.000%, 01/15/15 (A) | 2,010 | 2,070 | ||||||
Georgia-Pacific LLC | ||||||||
8.250%, 05/01/16 (A) | 1,460 | 1,613 | ||||||
Graham Packaging | ||||||||
9.875%, 10/15/14 | 1,285 | 1,330 | ||||||
Headwaters | ||||||||
11.375%, 11/01/14 | 1,335 | 1,437 | ||||||
Hexion US Finance/Nova Scotia | ||||||||
9.000%, 11/15/20 (A) | 2,394 | 2,376 | ||||||
8.875%, 02/01/18 | 2,375 | 2,446 | ||||||
Huntsman International LLC | ||||||||
8.625%, 03/15/20 | 535 | 571 | ||||||
8.625%, 03/15/21 (A) | 885 | 938 | ||||||
7.375%, 01/01/15 | 635 | 640 | ||||||
5.500%, 06/30/16 | 755 | 730 | ||||||
INEOS Finance | ||||||||
9.000%, 05/15/15 (A) | 415 | 430 | ||||||
INEOS Group Holdings PLC | ||||||||
8.500%, 02/15/16 (A) | 985 | 854 | ||||||
Intertape Polymer | ||||||||
8.500%, 08/01/14 | 835 | 697 | ||||||
Lyondell Chemical | ||||||||
11.000%, 05/01/18 | 3,797 | 4,225 | ||||||
8.000%, 11/01/17 (A) | 6,005 | 6,478 | ||||||
MacDermid | ||||||||
9.500%, 04/15/17 (A) | 2,045 | 2,142 | ||||||
Momentive Performance Materials | ||||||||
11.500%, 12/01/16 | 1,340 | 1,407 | ||||||
9.000%, 01/15/21 (A) | 2,940 | 2,925 | ||||||
Neenah Foundry | ||||||||
15.000%, 07/29/15 | 111 | 106 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 | 550 | 498 | ||||||
Noranda Aluminum Acquisition | ||||||||
5.193%, 05/15/15 (C) | 3,230 | 2,859 | ||||||
Nova Chemicals | ||||||||
8.625%, 11/01/19 | 565 | 612 | ||||||
Novelis | ||||||||
7.250%, 02/15/15 (D) | 2,370 | 2,438 | ||||||
Packaging Dynamics Finance | ||||||||
10.000%, 05/01/16 (A) | 1,165 | 1,165 | ||||||
PE Paper Escrow | ||||||||
12.000%, 08/01/14 (A) | 590 | 679 | ||||||
PH Glatfelter | ||||||||
7.125%, 05/01/16 | 1,115 | 1,151 | ||||||
7.125%, 05/01/16 | 175 | 181 | ||||||
PolyOne | ||||||||
7.375%, 09/15/20 | 1,885 | 1,928 | ||||||
Rain CII Carbon LLC | ||||||||
8.000%, 12/01/18 (A) (G) | 390 | 390 | ||||||
Reichhold Industries | ||||||||
9.000%, 08/15/14 (A) | 2,716 | 2,424 |
86 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rhodia | ||||||||
6.875%, 09/15/20 (A) | $ | 2,605 | $ | 2,657 | ||||
Ryerson | ||||||||
12.000%, 11/01/15 | 1,725 | 1,779 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/18 | 385 | 405 | ||||||
Sealed Air | ||||||||
7.875%, 06/15/17 | 1,320 | 1,448 | ||||||
Solo Cup | ||||||||
8.500%, 02/15/14 | 615 | 546 | ||||||
Solutia | ||||||||
8.750%, 11/01/17 | 1,685 | 1,845 | ||||||
7.875%, 03/15/20 | 1,000 | 1,078 | ||||||
Standard Steel LLC | ||||||||
12.000%, 05/01/15 (A) | 3,470 | 3,513 | ||||||
Steel Dynamics | ||||||||
7.625%, 03/15/20 (A) | 905 | 968 | ||||||
Verso Paper Holdings LLC | ||||||||
11.500%, 07/01/14 | 1,460 | 1,584 | ||||||
Verso Paper Holdings LLC, Ser B | ||||||||
11.375%, 08/01/16 | 1,080 | 1,054 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (A) | 4,165 | 4,342 | ||||||
109,579 | ||||||||
Telecommunication Services — 11.6% |
| |||||||
Affinion Group | ||||||||
11.500%, 10/15/15 | 2,550 | 2,569 | ||||||
7.875%, 12/15/18 (A) | 5,395 | 4,977 | ||||||
Angel Lux Common | ||||||||
8.875%, 05/01/16 (A) | 1,795 | 1,912 | ||||||
Avaya | ||||||||
10.125%, 11/01/15 | 786 | 780 | ||||||
9.750%, 11/01/15 | 1,000 | 993 | ||||||
CCH II LLC | ||||||||
13.500%, 11/30/16 | 5,085 | 5,982 | ||||||
CCO Holdings LLC | ||||||||
8.125%, 04/30/20 (A) | 1,091 | 1,146 | ||||||
7.875%, 04/30/18 (A) | 1,535 | 1,589 | ||||||
7.250%, 10/30/17 (A) | 1,015 | 1,025 | ||||||
Cengage Learning Acquisitions | ||||||||
10.500%, 01/15/15 (A) | 1,420 | 1,420 | ||||||
Cequel Communications Holdings I LLC | ||||||||
8.625%, 11/15/17 (A) | 3,870 | 3,967 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/20 | 1,240 | 1,153 | ||||||
Clear Channel Communications | ||||||||
9.250%, 12/15/17 | 3,140 | 3,352 | ||||||
Clearwire Communications LLC | ||||||||
12.000%, 12/01/15 (A) | 4,695 | 4,971 | ||||||
12.000%, 12/01/15 (A) | 8,220 | 8,723 | ||||||
Cleveland Unlimited | ||||||||
13.500%, 12/15/10 (A) (C) | 4,260 | �� | 4,217 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Columbus International | ||||||||
11.500%, 11/20/14 (A) | $ | 1,265 | $ | 1,398 | ||||
Cricket Communications | ||||||||
10.000%, 07/15/15 | 595 | 628 | ||||||
Crown Castle International | ||||||||
9.000%, 01/15/15 | 1,980 | 2,183 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/19 | 2,650 | 3,028 | ||||||
Deltacom | ||||||||
10.500%, 04/01/16 | 805 | 863 | ||||||
Digicel | ||||||||
12.000%, 04/01/14 (A) | 600 | 696 | ||||||
8.250%, 09/01/17 (A) | 690 | 725 | ||||||
Digicel Group | ||||||||
10.500%, 04/15/18 (A) | 2,905 | 3,195 | ||||||
Digital Content Protection | ||||||||
10.750%, 08/15/15 (A) | 3,000 | 3,067 | ||||||
DISH DBS | ||||||||
7.750%, 05/31/15 | 4,230 | 4,489 | ||||||
Frontier Communications | ||||||||
6.625%, 03/15/15 | 1,100 | 1,144 | ||||||
GCI | ||||||||
8.625%, 11/15/19 | 1,735 | 1,887 | ||||||
Global Crossings | ||||||||
12.000%, 09/15/15 | 1,615 | 1,817 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/15 (A) | 10,054 | 9,929 | ||||||
9.750%, 06/15/15 | 133 | 133 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/17 (A) | 2,450 | 2,572 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/16 (A) | 1,000 | 1,040 | ||||||
Intelsat | ||||||||
9.250%, 06/15/16 | 275 | 289 | ||||||
Intelsat Bermuda | ||||||||
11.250%, 06/15/16 | 3,980 | 4,254 | ||||||
Intelsat Jackson Holdings | ||||||||
9.500%, 06/15/16 | 1,300 | 1,371 | ||||||
8.500%, 11/01/19 (A) | 1,345 | 1,446 | ||||||
7.250%, 10/15/20 (A) | 1,415 | 1,411 | ||||||
Intelsat Luxembourg | ||||||||
11.500%, 02/04/17 | 4,432 | 4,698 | ||||||
11.250%, 02/04/17 | 3,465 | 3,630 | ||||||
Intelsat Subsidiary Holding | ||||||||
8.875%, 01/15/15 | 1,275 | 1,307 | ||||||
8.875%, 01/15/15 (A) | 2,035 | 2,076 | ||||||
iPCS PIK | ||||||||
3.537%, 05/01/14 (C) | 2,236 | 2,113 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/18 | 2,470 | 2,606 | ||||||
Level 3 Financing | ||||||||
4.344%, 02/15/15 (C) | 100 | 84 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/30 | 2,240 | 2,206 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/29 | $ | 1,740 | $ | 1,409 | ||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/18 | 2,385 | 2,471 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/17 (A) | 2,100 | 2,189 | ||||||
Nextel Communications | ||||||||
6.875%, 10/31/13 | 1,391 | 1,389 | ||||||
Nielsen Finance LLC | ||||||||
12.500%, 08/01/11 (D) | 4,250 | 4,293 | ||||||
11.500%, 05/01/16 | 345 | 393 | ||||||
7.750%, 10/15/18 (A) | 3,360 | 3,419 | ||||||
NII Capital | ||||||||
10.000%, 08/15/16 | 3,150 | 3,496 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/15 (A) | 5,090 | 3,525 | ||||||
Orascom Telecom Finance | ||||||||
7.875%, 02/08/14 (A) | 1,000 | 940 | ||||||
PAETEC Escrow | ||||||||
9.875%, 12/01/18 (A) (G) | 1,235 | 1,220 | ||||||
PAETEC Holding | ||||||||
9.500%, 07/15/15 | 2,396 | 2,426 | ||||||
8.875%, 06/30/17 | 1,110 | 1,160 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 3,045 | 3,136 | ||||||
Qwest | ||||||||
7.500%, 06/15/23 | 710 | 703 | ||||||
7.250%, 09/15/25 | 375 | 404 | ||||||
7.250%, 10/15/35 | 1,200 | 1,185 | ||||||
6.875%, 09/15/33 | 275 | 271 | ||||||
Qwest Communications International | ||||||||
7.500%, 02/15/14 | 295 | 298 | ||||||
7.125%, 04/01/18 (A) | 810 | 843 | ||||||
Qwest Communications International, Ser B | ||||||||
7.500%, 02/15/14 | 1,370 | 1,384 | ||||||
Sable International Finance MTN | ||||||||
7.750%, 02/15/17 (A) | 640 | 680 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/19 | 315 | 345 | ||||||
8.000%, 08/15/16 | 305 | 329 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/17 (A) | 1,900 | 2,057 | ||||||
8.375%, 10/15/18 (A) | 1,640 | 1,681 | ||||||
Sitel LLC | ||||||||
11.500%, 04/01/18 (A) | 1,180 | 1,003 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 7,570 | 7,494 | ||||||
6.900%, 05/01/19 | 1,390 | 1,331 | ||||||
Telcordia Technologies | ||||||||
11.000%, 05/01/18 (A) | 7,075 | 6,898 | ||||||
Telesat Canada | ||||||||
12.500%, 11/01/17 | 935 | 1,085 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TW Telecom | ||||||||
8.000%, 03/01/18 | $ | 2,455 | $ | 2,590 | ||||
Univision Communications | ||||||||
8.500%, 05/15/21 (A) | 3,475 | 3,319 | ||||||
7.875%, 11/01/20 (A) | 3,400 | 3,476 | ||||||
UPC Holding BV | ||||||||
9.875%, 04/15/18 (A) | 3,715 | 3,994 | ||||||
Videotron Ltee | ||||||||
9.125%, 04/15/18 | 1,045 | 1,157 | ||||||
Virgin Media Finance | ||||||||
9.500%, 08/15/16 | 930 | 1,039 | ||||||
8.375%, 10/15/19 | 650 | 713 | ||||||
Visant | ||||||||
10.000%, 10/01/17 (A) | 2,490 | 2,571 | ||||||
West | ||||||||
11.000%, 10/15/16 | 2,300 | 2,467 | ||||||
7.875%, 01/15/19 (A) | 2,000 | 1,975 | ||||||
Wind Acquisition Finance | ||||||||
12.000%, 12/01/15 (A) | 2,275 | 2,403 | ||||||
11.750%, 07/15/17 (A) | 3,373 | 3,743 | ||||||
7.250%, 02/15/18 (A) | 765 | 754 | ||||||
Wind Acquisition Holdings Finance | ||||||||
12.250%, 07/15/17 (A) | 1,336 | 1,509 | ||||||
Windstream | ||||||||
8.625%, 08/01/16 | 2,330 | 2,429 | ||||||
8.125%, 09/01/18 (A) | 575 | 592 | ||||||
XM Satellite Radio | ||||||||
7.625%, 11/01/18 (A) | 5,180 | 5,154 | ||||||
XM Satellite Radio Holdings | ||||||||
13.000%, 08/01/13 (A) | 5,095 | 5,961 | ||||||
Zayo Group LLC | ||||||||
10.250%, 03/15/17 (A) | 1,250 | 1,344 | ||||||
221,708 | ||||||||
Utilities — 2.3% | ||||||||
AES | ||||||||
9.750%, 04/15/16 | 1,655 | 1,837 | ||||||
8.000%, 06/01/20 | 1,175 | 1,228 | ||||||
Calpine | ||||||||
7.875%, 07/31/20 (A) | 3,503 | 3,538 | ||||||
7.500%, 02/15/21 (A) | 2,653 | 2,607 | ||||||
Calpine Generating LLC | ||||||||
14.320%, 04/01/11 (B) (C) | 1,500 | 191 | ||||||
Dynegy Holdings | ||||||||
7.750%, 06/01/19 | 3,670 | 2,395 | ||||||
7.625%, 10/15/26 | 1,230 | 738 | ||||||
Edison Mission Energy | ||||||||
7.625%, 05/15/27 | 1,400 | 1,008 | ||||||
Elwood Energy LLC | ||||||||
8.159%, 07/05/26 | 932 | 900 | ||||||
Energy Future Holdings | ||||||||
10.875%, 11/01/17 | 359 | 259 | ||||||
10.000%, 01/15/20 (A) | 880 | 900 |
88 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GenOn Escrow | ||||||||
9.500%, 10/15/18 (A) | $ | 900 | $ | 855 | ||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/21 | 1,550 | 1,500 | ||||||
Mirant North America LLC | ||||||||
7.375%, 12/31/13 | 3,555 | 3,608 | ||||||
North American Energy Alliance LLC | ||||||||
10.875%, 06/01/16 (A) | 1,300 | 1,443 | ||||||
NRG Energy | ||||||||
8.500%, 06/15/19 | 1,895 | 1,923 | ||||||
8.250%, 09/01/20 (A) | 1,820 | 1,825 | ||||||
7.375%, 02/01/16 | 3,275 | 3,291 | ||||||
7.375%, 01/15/17 | 2,000 | 2,020 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 2,800 | 3,116 | ||||||
Puget Sound Energy, | ||||||||
6.974%, 06/01/67 (C) | 1,035 | 1,012 | ||||||
Sabine Pass LNG LP | ||||||||
7.500%, 11/30/16 | 6,070 | 5,600 | ||||||
7.500%, 11/30/16 (A) | 620 | 572 | ||||||
TXU | ||||||||
6.500%, 11/15/24 | 1,010 | 380 | ||||||
TXU, Ser P | ||||||||
5.550%, 11/15/14 | 230 | 141 | ||||||
TXU, Ser R | ||||||||
6.550%, 11/15/34 | 2,105 | 779 | ||||||
43,666 | ||||||||
Total Corporate Obligations |
| 1,595,958 | ||||||
LOAN PARTICIPATIONS — 6.3% |
| |||||||
Advantage Sales | ||||||||
8.500%, 04/15/17 | 1,800 | 1,809 | ||||||
AL Gulf Coast Terminals | ||||||||
6.750%, 06/02/16 | 1,977 | 1,928 | ||||||
Alliance Laundry | ||||||||
6.250%, 09/23/16 | 1,900 | 1,916 | ||||||
American General Finance | ||||||||
7.250%, 04/08/15 | 3,420 | 3,445 | ||||||
Aspen Dental | ||||||||
0.000%, 10/06/16 (H) | 1,000 | 1,002 | ||||||
Asurion | ||||||||
6.750%, 03/31/15 | 1,500 | 1,481 | ||||||
Asurion 2nd Lien | ||||||||
6.756%, 07/03/15 | 4,730 | 4,413 | ||||||
Avaya Term B-1 Loan | ||||||||
0.000%, 10/24/14 (H) | 2,250 | 2,042 | ||||||
Awas Finance | ||||||||
7.750%, 05/30/16 | 3,100 | 3,167 | ||||||
Boston Generating | ||||||||
11.250%, 12/20/16 | 179 | 1 | ||||||
8.500%, 06/20/14 | 650 | 23 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CDW | ||||||||
4.253%, 10/12/14 | $ | 990 | $ | 958 | ||||
Central Parking | ||||||||
2.562%, 05/22/14 | 616 | 497 | ||||||
Central Parking 1st Lien Term Loan | ||||||||
2.563%, 05/22/14 | 1,714 | 1,382 | ||||||
CF Industries Term Loan B1 | ||||||||
4.500%, 04/05/15 | 695 | 697 | ||||||
Chester Downs | ||||||||
12.375%, 12/31/49 | 529 | 536 | ||||||
Claire’s Stores | ||||||||
3.225%, 05/27/14 | 211 | 184 | ||||||
3.049%, 05/27/14 | 1,268 | 1,107 | ||||||
Clearchannel Term B Loan | ||||||||
0.000%, 01/29/16 (H) | 1,730 | 1,372 | ||||||
Clopay | ||||||||
7.750%, 09/30/16 | 2,000 | 2,005 | ||||||
CTV TLB, | ||||||||
2.783%, 12/27/14 | 695 | 694 | ||||||
DAE Aviation Holdings Tranche B-1 Loan | ||||||||
4.230%, 07/31/14 | 277 | 262 | ||||||
DAE Aviation Holdings Tranche B-2 Loan | ||||||||
4.230%, 09/27/14 | 268 | 254 | ||||||
Dex Media West LLC | ||||||||
7.000%, 10/24/14 | 7 | 6 | ||||||
First Data | ||||||||
3.006%, 09/24/14 | 2,373 | 2,132 | ||||||
Gambro Aktiebolag | ||||||||
5.186%, 11/24/16 | 1,040 | 915 | ||||||
5.119%, 12/05/15 | 922 | 838 | ||||||
Georgia Pacific | ||||||||
2.533%, 12/23/10 | 9 | 9 | ||||||
2.299%, 12/20/12 | 149 | 149 | ||||||
2.289%, 12/20/12 | 15 | 15 | ||||||
Green Valley Ranch Gaming | ||||||||
3.507%, 08/06/14 (B) | 2,000 | 40 | ||||||
Guitar Center | ||||||||
3.760%, 10/09/13 | 3,086 | 2,780 | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/15 | 2,978 | 3,070 | ||||||
3.533%, 01/28/15 | 7 | 6 | ||||||
3.498%, 01/28/15 | 1,575 | 1,372 | ||||||
Hexion Specialty Chemical, | ||||||||
2.563%, 05/05/13 | 686 | 663 | ||||||
Hexion Specialty Chemical, | ||||||||
2.563%, 05/05/13 | 213 | 206 | ||||||
Iasis Healthcare | ||||||||
5.538%, 06/13/14 | 5,564 | 5,369 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ineos US Finance LLC | ||||||||
8.001%, 12/16/14 | $ | 1,665 | $ | 1,693 | ||||
7.501%, 12/16/13 | 1,456 | 1,473 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.505%, 03/02/14 | 210 | 148 | ||||||
Infor Global Enterprise Solutions Tranche 1 | ||||||||
6.505%, 03/02/14 | 1,073 | 754 | ||||||
Infor Global Solutions | ||||||||
8.260%, 08/29/14 | 4,518 | 1,818 | ||||||
Infor Global Solutions Intermediate Holdings | ||||||||
6.506%, 03/02/14 | 2,217 | 1,558 | ||||||
Intelsat Jackson Holdings | ||||||||
3.026%, 02/01/14 | 2,400 | 2,223 | ||||||
Interactive Data Corp | ||||||||
6.750%, 01/29/17 | 3,591 | 3,641 | ||||||
Inventiv Health | ||||||||
6.500%, 05/07/16 | 1,496 | 1,505 | ||||||
Medical Card | ||||||||
12.000%, 09/15/16 | 2,105 | 2,092 | ||||||
Merrill Communications LLC | ||||||||
8.500%, 12/24/12 | 1,400 | 1,364 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/09 (B) | 325 | — | ||||||
MGM Mirage | ||||||||
7.000%, 02/21/14 | 500 | 460 | ||||||
0.000%, 02/21/14 (H) | 495 | 467 | ||||||
Millennium Inorganic 2nd Lien | ||||||||
0.000%, 11/15/14 (H) | 3,050 | 2,985 | ||||||
NBTY | ||||||||
6.250%, 07/14/17 | 1,150 | 1,163 | ||||||
NCO Group | ||||||||
7.500%, 05/15/13 | 2,129 | 2,038 | ||||||
7.250%, 05/15/13 | 764 | 731 | ||||||
Nuveen Investments | ||||||||
12.500%, 11/09/14 | 810 | 868 | ||||||
12.500%, 07/31/15 | 1,110 | 1,189 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/15 | 3,000 | 3,060 | ||||||
Open Link Financial | ||||||||
10.250%, 11/06/15 | 2,750 | 2,874 | ||||||
OSI Restaurant Partners LLC | ||||||||
2.875%, 06/14/13 | 48 | 45 | ||||||
2.875%, 06/14/14 | 3,963 | 3,705 | ||||||
2.625%, 06/14/13 | 28 | 26 | ||||||
0.112%, 06/14/13 | 205 | 192 | ||||||
Pinafore | ||||||||
6.750%, 09/21/16 | 1,400 | 1,415 | ||||||
PQ | ||||||||
6.760%, 06/14/14 | 1,450 | 1,368 | ||||||
Realogy | ||||||||
13.500%, 10/15/17 | 730 | 793 | ||||||
3.527%, 10/13/13 | 987 | 910 | ||||||
3.257%, 10/13/13 | 232 | 214 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rexnord | ||||||||
7.299%, 03/01/13 | $ | 2,151 | $ | 1,732 | ||||
Reynold | ||||||||
6.750%, 05/05/16 | 1,432 | 1,442 | ||||||
Reynolds Group | ||||||||
6.500%, 05/05/16 | 2,700 | 2,720 | ||||||
Shield Finance | ||||||||
7.750%, 06/15/16 | 2,978 | 2,977 | ||||||
Simmons Holdco, Unsecured | ||||||||
0.000%, 02/15/12 (H) | 1,697 | — | ||||||
Smart Technologies 2nd Lien | ||||||||
0.000%, 08/28/15 (H) | 1,500 | 1,045 | ||||||
Syniverse Technologies | ||||||||
0.000%, 08/11/14 (H) | 217 | 216 | ||||||
Targa Resources | ||||||||
5.256%, 02/09/15 | 1,555 | 1,485 | ||||||
Telx | ||||||||
8.250%, 06/17/15 | 3 | 2 | ||||||
8.000%, 06/17/15 | 995 | 985 | ||||||
Texas Competitive Electric | ||||||||
3.789%, 10/10/14 | 40 | 31 | ||||||
3.756%, 10/10/14 | 769 | 590 | ||||||
3.753%, 10/10/14 | 8,120 | 6,262 | ||||||
Tronox | ||||||||
7.000%, 10/14/15 | 1,710 | 1,717 | ||||||
Valeant Pharma, Term B Loan | ||||||||
0.000%, 06/21/16 (H) | 636 | 1 | ||||||
Vertafore | ||||||||
9.750%, 10/27/17 | 545 | 550 | ||||||
7.250%, 08/06/16 | 20 | 20 | ||||||
6.750%, 08/06/16 | 778 | 782 | ||||||
Wide Open West Finance | ||||||||
8.500%, 06/27/15 | — | — | ||||||
6.506%, 06/27/15 | 4,098 | 3,616 | ||||||
Zuffa | ||||||||
7.500%, 06/18/15 | 1,782 | 1,813 | ||||||
Total Loan Participations |
| 119,503 | ||||||
COLLATERALIZED DEBT OBLIGATION — 2.4% |
| |||||||
Other Asset-Backed Securities — 2.4% |
| |||||||
ACAS Business Loan Trust, Ser 2007-2A, Cl A | ||||||||
0.684%, 11/18/19 (A) (C) | 968 | 881 | ||||||
ACAS, Ser 2007-1A, Cl A1J | ||||||||
0.599%, 04/20/21 (A) (C) | 6,476 | 5,116 | ||||||
CIFC Funding, Ser 2007-3A, Cl B | ||||||||
1.538%, 07/26/21 (A) (C) | 2,700 | 1,534 | ||||||
CIT CLO, Ser 2007-1A, Cl D | ||||||||
2.291%, 06/20/21 (A) (C) | 3,000 | 1,710 | ||||||
CIT CLO, Ser 2007-1A, Cl E | ||||||||
5.291%, 06/20/21 (C) | 926 | 440 |
90 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Connecticut Valley Structured Credit CDO, Ser 2006-3A | ||||||||
0.000%, 03/23/23 | $ | 1,200 | $ | 6 | ||||
Duane Street CLO, Ser 2007-5A, Cl SN | ||||||||
0.000%, 10/14/21 | 3,500 | 1,750 | ||||||
Emporia Preferred Funding, Ser 2007-3A, Cl C | ||||||||
1.188%, 04/23/21 (A) (C) | 2,024 | 1,376 | ||||||
FM Leveraged Capital, Ser 2006-2A, Cl B | ||||||||
0.754%, 11/15/20 (A) (C) | 4,163 | 3,122 | ||||||
FM Leveraged Capital, Ser 2006-2A, Cl D | ||||||||
1.884%, 11/15/20 (A) (C) | 915 | 503 | ||||||
Gleneagles CLO, Ser AI | ||||||||
0.000%, 11/01/17 (C) | 6 | 600 | ||||||
Grayson CLO, Ser 2006-1A, Cl A1B | ||||||||
0.647%, 11/01/21 (A) (C) | 7,684 | 4,995 | ||||||
Peritus I CDO | ||||||||
0.000%, 12/19/07 | 3,000 | 600 | ||||||
Peritus I CDO, Ser 2005-1A, Cl C | ||||||||
9.000%, 05/24/15 (A) | 9,801 | 7,008 | ||||||
Rockwall Investors CDO, | ||||||||
0.000%, 08/01/21 (A) (C)* | 3,000 | 270 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.587%, 08/01/21 (A) (C) | 6,697 | 5,123 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
0.937%, 08/01/21 (A) (C) | 3,759 | 2,068 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.537%, 08/01/24 (A) (C) | 7,651 | 6,010 | ||||||
Sargas CLO, Ser 2006-1A, | ||||||||
0.705%, 10/20/18 | 3,167 | 950 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A1LA | ||||||||
0.788%, 01/29/20 (A) (C) | 1,706 | 1,441 | ||||||
Total Collateralized Debt Obligation |
| 45,503 | ||||||
ASSET-BACKED SECURITIES — 0.6% |
| |||||||
Other Asset-Backed Securities — 0.6% |
| |||||||
Airplanes Pass Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.803%, 03/15/19 (C) | 2,680 | 1,769 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (A) | 1,403 | 1,438 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.534%, 09/30/22 (A) (C) | 9,235 | 8,127 | ||||||
Total Asset-Backed Securities |
| 11,334 | ||||||
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.5% |
| |||||||
Ally Financial, | 6,673 | $ | 5,957 | |||||
Axis Capital Holdings, | 12,600 | 1,161 | ||||||
Dana Holding, | 5,754 | 744 | ||||||
General Motors, | 5,875 | 298 | ||||||
SandRidge Energy, | 7,650 | 759 | ||||||
Total Preferred Stock |
| 8,919 | ||||||
COMMON STOCK — 0.4% |
| |||||||
Aventine Renewable Energy Holdings* (A) | 63,167 | 1,630 | ||||||
Core-Mark Holding* | 812 | 29 | ||||||
Dana Holdings* | 67,821 | 1,025 | ||||||
Dex One* | 42,145 | 200 | ||||||
LyondellBasell Industries, Cl B* | 99,997 | 2,920 | ||||||
LyondellBasell Industries, Cl A* | 64,979 | 1,898 | ||||||
Neenah Enterprises* | 21,556 | 75 | ||||||
Quad, Cl A* | 1 | — | ||||||
Solutia* | 368 | 8 | ||||||
VSS AHC, Cl A* (I) (J) (K) | 43,496 | 519 | ||||||
Total Common Stock |
| 8,304 | ||||||
AUCTION RATE PREFERRED SECURITIES — 0.4% |
| |||||||
BlackRock Municipal Income Quality Trust (C) | $ | 14,500 | 1,262 | |||||
BlackRock Municipal Income Trust (C) | 27,000 | 2,349 | ||||||
BlackRock MuniVest Fund II (C) | 9,250 | 805 | ||||||
BlackRock MuniYield Fund (C) | 11,750 | 1,022 | ||||||
BlackRock MuniYield New Jersey Fund (C) | 14,500 | 1,261 | ||||||
Total Auction Rate Preferred Securities |
| 6,699 | ||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||
DryShips CV to 139.0821 | ||||||||
5.000%, 12/01/14 | 830 | 825 | ||||||
Hologic CV to 25.9110 | ||||||||
2.000%, 12/15/37 | 965 | 895 | ||||||
Leap Wireless International CV to 10.7290 | ||||||||
4.500%, 07/15/14 | 1,533 | 1,384 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Liberty Media LLC CV to 60.0532 | ||||||||
3.750%, 02/15/30 | $ | 565 | $ | 321 | ||||
Liberty Media LLC CV to 82.0325 | ||||||||
4.000%, 11/15/29 | 2,025 | 1,185 | ||||||
Lions Gate Entertainment CV to 86.9565 | ||||||||
2.938%, 10/15/24 | 1,555 | 1,530 | ||||||
Live Nation Entertainment CV to 36.8395 | ||||||||
2.875%, 07/15/27 | 768 | 681 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/21 (B) | 1,950 | 4 | ||||||
Vector Group CV to 59.3618 | ||||||||
3.875%, 06/15/26 (C) | 410 | 494 | ||||||
Total Convertible Bonds |
| 7,319 | ||||||
Number of | ||||||||
WARRANTS — 0.0% |
| |||||||
Alion Science and Technology* | 2,975 | — | ||||||
Atrium, Expires 10/14/18* (E) | 691 | — | ||||||
Total Warrants |
| — | ||||||
Description | Contracts/ | Market Value ($ Thousands) | ||||||
PURCHASED OPTION — 0.0% |
| |||||||
March 2011 Future Put, | 21,600,000 | $ | 833 | |||||
Total Purchased Option (Cost $691) ($ Thousands) | 833 | |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.210%**† (F) | 6,416 | 6 | ||||||
Total Affiliated Partnership |
| 6 | ||||||
CASH EQUIVALENT — 2.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 44,307,506 | 44,308 | ||||||
Total Cash Equivalent | 44,308 | |||||||
Total Investments — 97.1% | $ | 1,848,686 | ||||||
A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | ||||||||||||||||||
Barclays Bank PLC | CDX.NA.HY.13-V2 Index | BUY | 5.00 | % | 12/20/14 | 14,058 | $ | (1,278 | ) |
Percentages are based on a Net Assets of $1,903,970 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(B) | Security in default on interest payments. |
(C) | Variable Rate Security — The rate reported is the rate in effect as of November 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2010. The coupon on a step bond changes on a specified date. |
(E) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $5 ($ Thousands). |
(F) | Security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $6 ($ Thousands). |
(G) | Security is when issued. |
(H) | Unsettled Bank Loan. Interest rate not available. |
(I) | Security considered illiquid. The total value of such securities as of November 30, 2010 was $800 ($ Thousands) and represented 0.04% of Net Assets. |
(J) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees The total value of such securities as of November 30, 2010 was $800 ($ Thousands) and represented 0.04% of Net Assets. |
(K) | Security considered restricted. The total value of such securities as of November 30, 2010 was $800 ($ Thousands) and represented 0.04% of Net Assets. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
Amounts designated as “—” are $O or have been rounded to $O.
92 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,587,216 | $ | 8,742 | $ | 1,595,958 | ||||||||
Collateralized Debt Obligation | — | — | 45,503 | 45,503 | ||||||||||||
Asset-Backed Securities | — | 3,207 | 8,127 | 11,334 | ||||||||||||
Preferred Stock | — | 8,919 | — | 8,919 | ||||||||||||
Common Stock | 6,080 | 75 | 2,149 | 8,304 | ||||||||||||
Convertible Bonds | — | 7,315 | 4 | 7,319 | ||||||||||||
Auction Rate Preferred Securities | — | — | 6,699 | 6,699 | ||||||||||||
Purchased Option | — | 833 | — | 833 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Loan Participations | — | 113,842 | 5,661 | 119,503 | ||||||||||||
Cash Equivalent | 44,308 | — | — | 44,308 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Total Investments in Securities | $ | 50,388 | $ | 1,720,580 | $ | 77,718 | $ | 1,848,686 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps | $ | — | $ | (1,278 | ) | $ | — | $ | (1,278 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | (1,278 | ) | $ | — | $ | (1,278 | ) | ||||||
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands:
Investments in Corporate Obligations | Investments in Collateralized Debt Obligations | |||||||
Beginning balance as of June 1, 2010 | $ | 20,182 | $ | 31,116 | ||||
Accrued discounts/premiums | 11 | 333 | ||||||
Realized gain/(loss) | (2,903 | ) | 101 | |||||
Change in unrealized appreciation/(depreciation) | 604 | 4,201 | ||||||
Net purchases/sales | (4,992 | ) | 9,752 | |||||
Net transfer in and/or out of Level 3 | (4,160 | ) | — | |||||
Ending balance as of November 30, 2010 | $ | 8,742 | $ | 45,503 | ||||
Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date | $ | 687 | $ | 6,215 | ||||
Investments in Convertible Bonds | Investments in Asset-Backed Securities | |||||||
Beginning balance as of June 1, 2010 | $ | 4 | $ | — | ||||
Accrued discounts/premiums | — | 5 | ||||||
Realized gain/(loss) | — | — | ||||||
Change in unrealized appreciation/(depreciation) | — | 64 | ||||||
Net purchases/sales | — | 8,058 | ||||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 4 | $ | 8,127 | ||||
Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date | $ | — | $ | — | ||||
Investments in Common Stock | Investments in Loan Participations | |||||||
Beginning balance as of June 1, 2010 | $ | 3,007 | $ | 15,914 | ||||
Accrued discounts/premiums | — | 8 | ||||||
Realized gain/(loss) | — | (2 | ) | |||||
Change in unrealized appreciation/(depreciation) | (858 | ) | 180 | |||||
Net purchases/sales | — | 79 | ||||||
Net transfer in and/or out of Level 3 | — | (10,518 | ) | |||||
Ending balance as of November 30, 2010 | $ | 2,149 | $ | 5,661 | ||||
Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date | $ | (858 | ) | $ | 265 | |||
Investments in Auction Rate Preferred Securities | Investments in Preferred Stock | |||||||
Beginning balance as of June 1, 2010 | $ | 6,622 | $ | 363 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain/(loss) | — | (576 | ) | |||||
Change in unrealized appreciation/(depreciation) | 77 | 213 | ||||||
Net purchases/sales | — | — | ||||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 6,699 | $ | — | ||||
Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date | $ | 77 | $ | — | ||||
During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 66.0% |
| |||||||
Consumer Discretionary — 7.2% |
| |||||||
Comcast | ||||||||
6.450%, 03/15/37 | $ | 13,705 | $ | 14,754 | ||||
6.400%, 05/15/38 | 2,127 | 2,278 | ||||||
6.400%, 03/01/40 | 4,389 | 4,690 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/22 | 3,750 | 5,300 | ||||||
COX Communications | ||||||||
8.375%, 03/01/39 (A) | 5,975 | 7,824 | ||||||
6.950%, 06/01/38 (A) | 4,883 | 5,518 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/39 | 14,825 | 16,155 | ||||||
DirecTV Holdings | ||||||||
6.000%, 08/15/40 | 4,425 | 4,392 | ||||||
Historic TW | ||||||||
6.625%, 05/15/29 | 3,995 | 4,445 | ||||||
Home Depot | ||||||||
5.400%, 09/15/40 | 3,842 | 3,797 | ||||||
Lowe’s | ||||||||
7.110%, 05/15/37 | 1,402 | 1,713 | ||||||
5.800%, 04/15/40 | 4,000 | 4,302 | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/38 | 6,015 | 7,151 | ||||||
NBC Universal | ||||||||
6.400%, 04/30/40 (A) | 3,725 | 3,973 | ||||||
5.950%, 04/01/41 (A) | 10,976 | 11,209 | ||||||
4.375%, 04/01/21 (A) | 4,450 | 4,466 | ||||||
News America | ||||||||
8.150%, 10/17/36 | 2,355 | 2,914 | ||||||
6.900%, 08/15/39 | 2,775 | 3,173 | ||||||
6.750%, 01/09/38 | 2,260 | 2,457 | ||||||
6.650%, 11/15/37 | 4,855 | 5,414 | ||||||
6.150%, 03/01/37 | 1,945 | 2,041 | ||||||
7.850%, 03/01/39 | 6,275 | 7,764 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TCI Communications | ||||||||
7.875%, 02/15/26 | $ | 635 | $ | 778 | ||||
Time Warner | ||||||||
7.700%, 05/01/32 | 425 | 519 | ||||||
7.625%, 04/15/31 | 14,455 | 17,496 | ||||||
7.570%, 02/01/24 | 295 | 365 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | 6,730 | 8,769 | ||||||
8.250%, 04/01/19 | 3,075 | 3,914 | ||||||
7.300%, 07/01/38 | 1,757 | 2,065 | ||||||
6.750%, 06/15/39 | 3,650 | 4,036 | ||||||
5.875%, 11/15/40 | 6,525 | 6,471 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | 5,700 | 7,218 | ||||||
Wal-Mart Stores | ||||||||
6.200%, 04/15/38 | 8,250 | 9,567 | ||||||
5.625%, 04/01/40 | 7,517 | 8,138 | ||||||
5.000%, 10/25/40 | 2,540 | 2,516 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/37 | 5,620 | 6,438 | ||||||
204,020 | ||||||||
Consumer Staples — 3.5% | ||||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 10,115 | 14,606 | ||||||
Anheuser-Busch | ||||||||
6.450%, 09/01/37 | 945 | 1,107 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.200%, 01/15/39 (A) | 4,430 | 6,238 | ||||||
6.875%, 11/15/19 (A) | 6,000 | 7,388 | ||||||
6.375%, 01/15/40 | 6,295 | 7,377 | ||||||
Diageo Capital | ||||||||
5.875%, 09/30/36 | 2,653 | 2,882 | ||||||
Dr Pepper Snapple Group | ||||||||
6.820%, 05/01/18 | 2,000 | 2,415 | ||||||
General Mills | ||||||||
5.400%, 06/15/40 | 1,090 | 1,133 | ||||||
HJ Heinz Finance | ||||||||
7.125%, 08/01/39 (A) | 7,270 | 8,724 | ||||||
Kraft Foods | ||||||||
6.875%, 02/01/38 | 11,385 | 13,578 | ||||||
6.500%, 02/09/40 | 8,550 | 9,826 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/39 | 5,350 | 5,698 | ||||||
PepsiCo | ||||||||
5.500%, 01/15/40 | 4,215 | 4,515 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/38 | 1,705 | 2,003 | ||||||
President and Fellows of Harvard College | ||||||||
5.625%, 10/01/38 | 5,015 | 5,459 | ||||||
Ralcorp Holdings | ||||||||
6.625%, 08/15/39 | 6,000 | 6,297 | ||||||
Sara Lee | ||||||||
4.100%, 09/15/20 | 1,235 | 1,238 | ||||||
100,484 | ||||||||
94 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Energy — 7.2% | ||||||||
Apache | ||||||||
5.100%, 09/01/40 | $ | 3,030 | $ | 2,962 | ||||
Canadian Natural Resources | ||||||||
6.250%, 03/15/38 | 3,000 | 3,374 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/39 | 4,515 | 5,230 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/39 | 14,430 | 17,505 | ||||||
5.900%, 05/15/38 | 6,380 | 7,181 | ||||||
Diamond Offshore Drilling | ||||||||
5.700%, 10/15/39 | 828 | 846 | ||||||
El Paso Pipeline Partners | ||||||||
7.500%, 11/15/40 | 7,575 | 7,801 | ||||||
Encana | ||||||||
6.500%, 02/01/38 | 3,625 | 4,048 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (A) | 2,675 | 2,681 | ||||||
EQT | ||||||||
8.125%, 06/01/19 | 8,455 | 10,204 | ||||||
Hess | ||||||||
6.000%, 01/15/40 | 4,544 | 4,803 | ||||||
5.600%, 02/15/41 | 4,865 | 4,865 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 | 11,200 | 13,525 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/37 | 3,700 | 4,281 | ||||||
Motiva Enterprises LLC | ||||||||
6.850%, 01/15/40 (A) | 10,380 | 12,132 | ||||||
Noble Holding International | ||||||||
6.200%, 08/01/40 | 2,810 | 3,059 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 2,900 | 3,467 | ||||||
7.000%, 06/15/18 | 700 | 801 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/40 | 4,950 | 5,333 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 3,725 | 4,259 | ||||||
Shell International Finance BV | ||||||||
5.500%, 03/25/40 | 14,321 | 15,499 | ||||||
Southern Natural Gas | ||||||||
7.350%, 02/15/31 | 870 | 952 | ||||||
Spectra Energy Capital LLC | ||||||||
7.500%, 09/15/38 | 1,913 | 2,265 | ||||||
6.750%, 02/15/32 | 2,000 | 2,180 | ||||||
Statoil | ||||||||
5.100%, 08/17/40 | 6,300 | 6,492 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/39 | 3,675 | 4,288 | ||||||
Talisman Energy | ||||||||
7.250%, 10/15/27 | 3,325 | 3,873 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/32 | $ | 2,655 | $ | 3,083 | ||||
TransCanada PipeLines | ||||||||
7.625%, 01/15/39 | 2,500 | 3,245 | ||||||
7.250%, 08/15/38 | 3,100 | 3,864 | ||||||
6.100%, 06/01/40 | 10,255 | 11,253 | ||||||
Valero Energy | ||||||||
7.500%, 04/15/32 | 4,420 | 4,760 | ||||||
6.125%, 02/01/20 | 3,007 | 3,253 | ||||||
Williams | ||||||||
8.750%, 03/15/32 | 1,200 | 1,460 | ||||||
7.875%, 09/01/21 | 2,592 | 3,134 | ||||||
7.750%, 06/15/31 | 4,629 | 5,192 | ||||||
XTO Energy | ||||||||
6.100%, 04/01/36 | 8,315 | 9,958 | ||||||
203,108 | ||||||||
Financials — 25.3% | ||||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/36 | 4,677 | 5,391 | ||||||
Aflac | ||||||||
6.900%, 12/17/39 | 8,565 | 9,148 | ||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/35 (A) | 5,000 | 5,243 | ||||||
American Express | ||||||||
8.150%, 03/19/38 | 3,910 | 5,242 | ||||||
8.125%, 05/20/19 | 7,475 | 9,447 | ||||||
7.000%, 03/19/18 | 1,840 | 2,180 | ||||||
BAC Capital Trust XV | ||||||||
1.096%, 06/01/56 (B) | 8,000 | 4,983 | ||||||
Bank of America | ||||||||
6.500%, 09/15/37 | 2,700 | 2,643 | ||||||
5.750%, 12/01/17 | 5,750 | 5,957 | ||||||
5.650%, 05/01/18 | 22,040 | 22,604 | ||||||
Bank of America, Ser A | ||||||||
8.070%, 12/31/26 (A) | 5,095 | 5,120 | ||||||
Bank One Capital III | ||||||||
8.750%, 09/01/30 | 3,550 | 4,165 | ||||||
Barclays Bank | ||||||||
5.125%, 01/08/20 | 5,150 | 5,289 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 5,468 | 6,532 | ||||||
6.400%, 10/02/17 | 9,175 | 10,506 | ||||||
Blackstone Holdings Finance LLC | ||||||||
6.625%, 08/15/19 (A) | 5,523 | 5,754 | ||||||
BRE Properties | ||||||||
5.500%, 03/15/17‡ | 750 | 798 | ||||||
Capital One Capital VI | ||||||||
8.875%, 05/15/40 | 4,000 | 4,180 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/39 (A) | 15,585 | 16,748 | ||||||
Chase Capital II | ||||||||
0.787%, 02/01/27 (B) | 4,984 | 3,838 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chubb | ||||||||
6.500%, 05/15/38 | $ | 8,725 | $ | 10,125 | ||||
Citigroup | ||||||||
8.125%, 07/15/39 | 3,520 | 4,280 | ||||||
6.875%, 03/05/38 | 25,320 | 27,132 | ||||||
6.875%, 02/15/98 | 1,400 | 1,338 | ||||||
5.875%, 05/29/37 | 6,551 | 6,329 | ||||||
5.500%, 02/15/17 | 9,005 | 9,357 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/19 (A) | 4,250 | 4,566 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/10 (A) | 5,675 | 5,439 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/18 | 7,600 | 8,290 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/49 (A) (B) | 3,195 | 2,844 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/19 | 6,275 | 7,499 | ||||||
7.000%, 04/15/20 | 1,250 | 1,358 | ||||||
ERP Operating | ||||||||
5.750%, 06/15/17‡ | 3,000 | 3,353 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (A) | 17,515 | 17,261 | ||||||
First Union | ||||||||
7.574%, 08/01/26 | 4,920 | 5,594 | ||||||
First Union Institutional Capital I | ||||||||
8.040%, 12/01/26 | 1,250 | 1,281 | ||||||
FleetBoston Financial | ||||||||
6.875%, 01/15/28 | 3,250 | 3,291 | ||||||
FMR | ||||||||
6.500%, 12/14/40 (A) | 1,000 | 993 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 30,590 | 33,977 | ||||||
6.150%, 08/07/37 | 8,775 | 8,901 | ||||||
5.875%, 01/14/38 | 17,117 | 16,764 | ||||||
4.375%, 09/16/20 | 2,315 | 2,263 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 | 4,174 | 4,869 | ||||||
6.750%, 10/01/37 | 35,085 | 35,211 | ||||||
6.150%, 04/01/18 | 1,400 | 1,533 | ||||||
5.375%, 03/15/20 | 2,560 | 2,627 | ||||||
0.466%, 02/06/12 (B) | 5,000 | 4,983 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/39 (A) | 13,635 | 15,766 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/18 (A) | 3,700 | 3,545 | ||||||
HCP MTN | ||||||||
6.700%, 01/30/18‡ | 2,295 | 2,533 | ||||||
6.300%, 09/15/16‡ | 2,255 | 2,487 | ||||||
Health Care REIT | ||||||||
6.125%, 04/15/20‡ | 3,050 | 3,297 | ||||||
4.950%, 01/15/21‡ | 5,750 | 5,637 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Holdings | ||||||||
6.500%, 09/15/37 | $ | 8,275 | $ | 8,533 | ||||
International Lease Finance | ||||||||
7.125%, 09/01/18 (A) | 1,500 | 1,586 | ||||||
6.750%, 09/01/16 (A) | 3,700 | 3,904 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 2,239 | 2,608 | ||||||
6.875%, 04/15/21 | 1,768 | 1,888 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/38 | 4,807 | 5,416 | ||||||
6.300%, 04/23/19 | 3,775 | 4,322 | ||||||
6.000%, 01/15/18 | 2,671 | 3,011 | ||||||
5.500%, 10/15/40 | 6,000 | 6,000 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 | 4,170 | 4,687 | ||||||
JPMorgan Chase Capital XXVII | ||||||||
7.000%, 11/01/39 | 5,250 | 5,359 | ||||||
KKR Group Finance | ||||||||
6.375%, 09/29/20 (A) | 4,670 | 4,748 | ||||||
LBG Capital No. 1 MTN | ||||||||
8.000%, 12/15/49 (B) | 2,800 | 2,576 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/20 (A) | 2,610 | 2,574 | ||||||
Macquarie Group | ||||||||
6.000%, 01/14/20 (A) | 6,380 | 6,548 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (A) | 12,320 | 16,496 | ||||||
MBNA Capital, Ser B | ||||||||
1.087%, 02/01/27 (B) | 2,151 | 1,514 | ||||||
Merrill Lynch | ||||||||
8.950%, 05/18/17 (B) | 1,340 | 1,497 | ||||||
8.680%, 05/02/17 (B) | 1,305 | 1,452 | ||||||
7.750%, 05/14/38 | 3,340 | 3,536 | ||||||
6.110%, 01/29/37 | 5,925 | 5,393 | ||||||
MetLife | ||||||||
7.717%, 02/15/19 | 3,000 | 3,727 | ||||||
5.875%, 02/06/41 | 2,930 | 3,014 | ||||||
Metropolitan Life Insurance | ||||||||
7.800%, 11/01/25 (A) | 4,700 | 5,575 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 6,445 | 7,245 | ||||||
6.625%, 04/01/18 | 10,760 | 11,758 | ||||||
5.625%, 09/23/19 | 15,625 | 15,895 | ||||||
5.500%, 01/26/20 | 4,218 | 4,250 | ||||||
NASDAQ OMX Group | ||||||||
5.550%, 01/15/20 | 5,442 | 5,632 | ||||||
Nationwide Mutual Insurance | ||||||||
6.600%, 04/15/34 (A) | 12,040 | 10,496 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (A) | 18,475 | 21,958 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (A) | 8,790 | 9,568 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/39 (A) | 5,270 | 6,729 |
96 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PNC Funding | ||||||||
6.700%, 06/10/19 | $ | 3,235 | $ | 3,799 | ||||
5.125%, 02/08/20 | 8,475 | 9,052 | ||||||
Power Receivables Finance | ||||||||
6.290%, 01/01/12 (A) | 464 | 464 | ||||||
Prudential Financial MTN | ||||||||
6.625%, 06/21/40 | 1,000 | 1,082 | ||||||
6.200%, 11/15/40 | 900 | 921 | ||||||
5.700%, 12/14/36 | 4,845 | 4,748 | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/23 (A) | 7,700 | 9,406 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/25 (A) | 5,500 | 6,781 | ||||||
Raymond James Financial | ||||||||
8.600%, 08/15/19 | 1,655 | 1,967 | ||||||
Security Benefit Life | ||||||||
7.450%, 10/01/33 (A) | 5,675 | 4,948 | ||||||
Simon Property Group | ||||||||
10.350%, 04/01/19‡ | 1,995 | 2,788 | ||||||
6.750%, 02/01/40‡ | 5,791 | 6,677 | ||||||
6.125%, 05/30/18‡ | 1,965 | 2,270 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (A) | 9,430 | 10,960 | ||||||
Travelers | ||||||||
5.350%, 11/01/40 | 7,485 | 7,462 | ||||||
Wachovia | ||||||||
6.605%, 10/01/25 | 3,100 | 3,331 | ||||||
0.628%, 10/28/15 (B) | 1,590 | 1,498 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/38 | 10,865 | 11,867 | ||||||
5.850%, 02/01/37 | 6,545 | 6,489 | ||||||
WEA Finance LLC | ||||||||
7.125%, 04/15/18 (A) | 4,513 | 5,278 | ||||||
6.750%, 09/02/19 (A) | 2,780 | 3,207 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | 5,035 | 5,393 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/65 (A) (B) | 3,650 | 3,559 | ||||||
ZFS Finance USA Trust IV | ||||||||
5.875%, 05/09/32 (A) (B) | 5,000 | 4,782 | ||||||
718,715 | ||||||||
Health Care — 4.6% | ||||||||
Abbott Laboratories | ||||||||
6.000%, 04/01/39 | 2,820 | 3,230 | ||||||
5.300%, 05/27/40 | 8,302 | 8,645 | ||||||
Aetna | ||||||||
6.750%, 12/15/37 | 3,400 | 3,883 | ||||||
Amgen | ||||||||
6.400%, 02/01/39 | 3,685 | 4,335 | ||||||
5.750%, 03/15/40 | 5,055 | 5,462 | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/37 | 6,625 | 7,974 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boston Scientific | ||||||||
7.375%, 01/15/40 | $ | 1,425 | $ | 1,607 | ||||
6.000%, 01/15/20 | 3,760 | 4,058 | ||||||
Bristol-Myers Squibb | ||||||||
6.125%, 05/01/38 | 339 | 404 | ||||||
CIGNA | ||||||||
8.500%, 05/01/19 | 5,825 | 7,462 | ||||||
Merck | ||||||||
5.850%, 06/30/39 | 7,370 | 8,503 | ||||||
Pfizer | ||||||||
7.200%, 03/15/39 | 13,145 | 17,447 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/39 (A) | 10,750 | 13,944 | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/37 | 8,855 | 9,976 | ||||||
6.500%, 06/15/37 | 4,100 | 4,558 | ||||||
5.800%, 03/15/36 | 5,000 | 5,053 | ||||||
Wellpoint | ||||||||
6.375%, 06/15/37 | 2,550 | 2,784 | ||||||
5.800%, 08/15/40 | 1,600 | 1,634 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 8,270 | 9,386 | ||||||
6.000%, 02/15/36 | 4,715 | 5,386 | ||||||
Zimmer Holdings | ||||||||
5.750%, 11/30/39 | 5,297 | 5,575 | ||||||
131,306 | ||||||||
Industrials — 3.7% | ||||||||
Boeing | ||||||||
5.875%, 02/15/40 | 4,975 | 5,549 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
7.290%, 06/01/36 | 2,228 | 2,701 | ||||||
6.200%, 08/15/36 | 5,100 | 5,686 | ||||||
5.650%, 05/01/17 | 2,830 | 3,232 | ||||||
Canadian National Railway | ||||||||
6.900%, 07/15/28 | 1,000 | 1,227 | ||||||
Caterpillar | ||||||||
6.050%, 08/15/36 | 3,430 | 3,986 | ||||||
Continental Airlines | ||||||||
5.983%, 04/19/22 | 6,921 | 7,457 | ||||||
Continental Airlines 2009-1 Pass Through Trust | ||||||||
9.000%, 07/08/16 | 6,261 | 7,232 | ||||||
Delta Air Lines | ||||||||
6.200%, 07/02/18 | 2,500 | 2,688 | ||||||
Delta Air Lines 2009-1 | ||||||||
7.750%, 12/17/19 | 1,442 | 1,633 | ||||||
Delta Air Lines 2010-2 | ||||||||
4.950%, 05/23/19 | 2,325 | 2,357 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 (A) | 3,182 | 3,380 | ||||||
5.500%, 11/15/39 | 3,560 | 3,692 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Meccanica Holdings USA | ||||||||
7.375%, 07/15/39 (A) | $ | 3,570 | $ | 3,996 | ||||
6.250%, 01/15/40 (A) | 4,315 | 4,092 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/05 | 5,503 | 5,308 | ||||||
5.900%, 06/15/19 | 4,395 | 5,116 | ||||||
Raytheon | ||||||||
4.875%, 10/15/40 | 2,920 | 2,841 | ||||||
Union Pacific | ||||||||
6.625%, 02/01/29 | 1,941 | 2,265 | ||||||
6.125%, 02/15/20 | 2,000 | 2,361 | ||||||
5.780%, 07/15/40 (A) | 5,134 | 5,320 | ||||||
United Parcel Service | ||||||||
6.200%, 01/15/38 | 6,470 | 7,691 | ||||||
United Technologies | ||||||||
5.700%, 04/15/40 | 8,800 | 9,766 | ||||||
Waste Management | ||||||||
6.125%, 11/30/39 | 4,240 | 4,596 | ||||||
104,172 | ||||||||
Information Technology — 1.7% | ||||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 2,450 | 2,729 | ||||||
5.500%, 01/15/40 | 15,345 | 16,198 | ||||||
International Business Machines | ||||||||
5.600%, 11/30/39 | 5,145 | 5,725 | ||||||
Oracle | ||||||||
6.500%, 04/15/38 | 6,200 | 7,420 | ||||||
6.125%, 07/08/39 | 6,290 | 7,182 | ||||||
5.375%, 07/15/40 (A) | 8,735 | 9,045 | ||||||
48,299 | ||||||||
Materials — 0.6% | ||||||||
ArcelorMittal | ||||||||
7.000%, 10/15/39 | 8,055 | 8,150 | ||||||
PPG Industries | ||||||||
5.500%, 11/15/40 | 3,085 | 3,085 | ||||||
Southern Copper | ||||||||
7.500%, 07/27/35 | 4,999 | 5,673 | ||||||
6.750%, 04/16/40 | 650 | 680 | ||||||
17,588 | ||||||||
Sovereign — 0.3% | ||||||||
Province of Quebec MTN | ||||||||
6.350%, 01/30/26 | 4,880 | 6,177 | ||||||
Tennessee Valley Authority | ||||||||
4.625%, 09/15/60 | 2,015 | 1,989 | ||||||
8,166 | ||||||||
Telecommunication Services — 3.3% | ||||||||
AT&T | ||||||||
6.550%, 02/15/39 | 6,075 | 6,699 | ||||||
6.300%, 01/15/38 | 20,835 | 22,207 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bellsouth Capital Funding | ||||||||
7.120%, 07/15/97 | $ | 3,485 | $ | 3,785 | ||||
BellSouth Telecommunications | ||||||||
7.000%, 12/01/95 | 4,317 | 4,681 | ||||||
British Telecommunications | ||||||||
9.875%, 12/15/30 (E) | 3,170 | 4,226 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/38 | 5,625 | 5,668 | ||||||
7.200%, 07/18/36 | 1,765 | 1,695 | ||||||
7.175%, 06/18/19 | 5,375 | 6,054 | ||||||
Telefonica Emisiones | ||||||||
7.045%, 06/20/36 | 1,815 | 1,948 | ||||||
Verizon Communications | ||||||||
8.950%, 03/01/39 | 2,650 | 3,803 | ||||||
7.350%, 04/01/39 | 12,780 | 15,780 | ||||||
6.400%, 02/15/38 | 7,737 | 8,643 | ||||||
6.250%, 04/01/37 | 4,685 | 5,147 | ||||||
Vodafone Group | ||||||||
6.150%, 02/27/37 | 2,760 | 2,989 | ||||||
93,325 | ||||||||
Utilities — 8.6% | ||||||||
Arizona Public Service | ||||||||
8.750%, 03/01/19 | 5,025 | 6,464 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (A) | 929 | 996 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/38 | 3,845 | 4,706 | ||||||
6.200%, 06/15/36 | 2,225 | 2,529 | ||||||
5.500%, 12/01/39 | 2,165 | 2,260 | ||||||
Coso Geothermal Power Holdings | ||||||||
7.000%, 07/15/26 (A) | 3,018 | 2,906 | ||||||
Dominion Resources | ||||||||
5.250%, 08/01/33 | 2,500 | 2,811 | ||||||
Duke Energy Carolinas LLC | ||||||||
6.100%, 06/01/37 | 5,000 | 5,640 | ||||||
5.300%, 02/15/40 | 5,585 | 5,837 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (A) | 8,035 | 7,559 | ||||||
Entergy Texas | ||||||||
7.125%, 02/01/19 | 11,750 | 14,153 | ||||||
Exelon Generation LLC | ||||||||
6.250%, 10/01/39 | 4,480 | 4,630 | ||||||
5.750%, 10/01/41 | 7,889 | 7,662 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 3,180 | 3,381 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/39 | 3,225 | 3,662 | ||||||
5.400%, 09/01/35 | 710 | 744 | ||||||
FPL Group Capital | ||||||||
6.000%, 03/01/19 | 4,000 | 4,589 | ||||||
Georgia Power | ||||||||
5.950%, 02/01/39 | 3,850 | 4,303 | ||||||
5.400%, 06/01/40 | 15,585 | �� | 16,163 |
98 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/19 (A) | $ | 3,700 | $ | 3,599 | ||||
Kansas City Power & Light | ||||||||
7.150%, 04/01/19 | 10,930 | 13,352 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/21 | 5,100 | 5,888 | ||||||
Metropolitan Edison | ||||||||
7.700%, 01/15/19 | 2,500 | 3,040 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 19,440 | 22,588 | ||||||
Nisource Finance | ||||||||
10.750%, 03/15/16 | 5,575 | 7,369 | ||||||
6.125%, 03/01/22 | 1,767 | 1,978 | ||||||
Oncor Electric Delivery | ||||||||
7.500%, 09/01/38 | 3,200 | 3,969 | ||||||
5.250%, 09/30/40 (A) | 4,975 | 4,840 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 03/01/39 | 4,500 | 5,141 | ||||||
6.050%, 03/01/34 | 4,100 | 4,523 | ||||||
5.800%, 03/01/37 | 648 | 696 | ||||||
PacifiCorp | ||||||||
5.750%, 04/01/37 | 615 | 668 | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/38 | 5,095 | 5,194 | ||||||
Progress Energy | ||||||||
7.050%, 03/15/19 | 4,500 | 5,497 | ||||||
San Diego Gas & Electric | ||||||||
5.350%, 05/15/40 | 1,350 | 1,432 | ||||||
Southern California Edison | ||||||||
6.050%, 03/15/39 | 7,050 | 8,077 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 8,375 | 9,272 | ||||||
Southwestern Electric Power | ||||||||
6.450%, 01/15/19 | 6,000 | 6,725 | ||||||
6.200%, 03/15/40 | 6,680 | 6,859 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (A) | 8,560 | 11,126 | ||||||
Union Electric | ||||||||
8.450%, 03/15/39 | 3,000 | 4,204 | ||||||
Virginia Electric and Power | ||||||||
8.875%, 11/15/38 | 5,500 | 8,025 | ||||||
245,057 | ||||||||
Total Corporate Obligations | 1,874,240 | |||||||
U.S. TREASURY OBLIGATIONS — 26.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.179%, 02/10/11 (C) (G) | 4,475 | 4,474 | ||||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/25 | 57,125 | 84,634 | ||||||
6.250%, 08/15/23 | 9,675 | 12,713 | ||||||
6.000%, 02/15/26 | 16,000 | 20,690 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.000%, 05/15/37 | $ | 24,860 | $ | 28,938 | ||||
4.625%, 02/15/40 | 18,209 | 19,888 | ||||||
4.500%, 02/15/36 | 8,800 | 9,508 | ||||||
4.250%, 05/15/39 | 257,481 | 264,361 | ||||||
3.875%, 08/15/40 | 189,075 | 181,660 | ||||||
3.500%, 02/15/39 | 8,020 | 7,208 | ||||||
629,600 | ||||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.125%, 02/15/40 | 10,030 | 11,257 | ||||||
U.S. Treasury STRIPS | ||||||||
4.547%, 11/15/21 (C) | 47,197 | 32,996 | ||||||
3.883%, 02/15/23 (C) | 91,530 | 59,829 | ||||||
92,825 | ||||||||
Total U.S. Treasury Obligations | 738,156 | |||||||
MUNICIPAL BONDS — 3.9% | ||||||||
Bay Area, Toll Authority, Build America Project, RB | ||||||||
6.263%, 04/01/49 | 7,200 | 7,309 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/35 | 1,710 | 1,720 | ||||||
City of Gainesville, Build America Project, RB | ||||||||
6.024%, 10/01/40 | 3,350 | 3,312 | ||||||
City of New York, Build America Project, GO | ||||||||
5.817%, 10/01/31 | 2,950 | 2,852 | ||||||
Dallas County Hospital District, | ||||||||
5.621%, 08/15/44 | 4,993 | 5,164 | ||||||
Dallas Independent School District, Build America Project, GO | ||||||||
6.450%, 02/15/35 (D) | 3,415 | 3,543 | ||||||
Indianapolis Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/40 | 4,255 | 4,360 | ||||||
Los Angeles, Department of Water & Power, Build America Project, RB | ||||||||
6.574%, 07/01/45 (D) | 3,300 | 3,268 | ||||||
6.008%, 07/01/39 | 5,000 | 5,086 | ||||||
New York City Municipal Water Finance Authority, Build America Project, RB | ||||||||
6.491%, 06/15/42 | 6,630 | 6,799 | ||||||
5.882%, 06/15/44 | 1,500 | 1,508 | ||||||
5.724%, 06/15/42 | 1,250 | 1,222 | ||||||
5.440%, 06/15/43 | 3,540 | 3,292 | ||||||
New York City Transitional Finance Authority, Build America Project, RB | ||||||||
5.572%, 11/01/38 | 2,195 | 2,162 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
North Texas Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/49 | $ | 5,852 | $ | 5,684 | ||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/40 | 4,470 | 4,119 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/40 | 5,300 | 5,023 | ||||||
Santa Clara Valley Transportation Authority, Build America Project, RB | ||||||||
5.876%, 04/01/32 | 2,580 | 2,576 | ||||||
State of California, Build America | ||||||||
7.550%, 04/01/39 | 8,855 | 9,119 | ||||||
7.300%, 10/01/39 | 2,100 | 2,100 | ||||||
State of Illinois, Build America | ||||||||
6.630%, 02/01/35 | 3,275 | 3,059 | ||||||
State of Illinois, GO | ||||||||
5.100%, 06/01/33 | 8,810 | 6,865 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/39 | 2,740 | 2,725 | ||||||
State of Texas, Transportation Communication Authority, Ser B, RB | ||||||||
5.178%, 04/01/30 | 6,835 | 6,787 | ||||||
State of Virginia, Build America | ||||||||
5.000%, 09/01/40 | 7,255 | 6,923 | ||||||
State of Washington, Ser D, Build America Project, GO | ||||||||
5.481%, 08/01/39 | 2,455 | 2,433 | ||||||
Triborough Bridge & Tunnel | ||||||||
5.450%, 11/15/32 | 3,000 | 2,818 | ||||||
Total Municipal Bonds | 111,828 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.6% |
| |||||||
FHLB | ||||||||
0.500%, 05/16/12 | 5,710 | 5,691 | ||||||
0.175%, 02/02/11 (C) | 16,355 | 16,350 | ||||||
FHLMC | ||||||||
0.320%, 11/07/11 (B) | 6,025 | 6,027 | ||||||
FICO STRIPS, PO | ||||||||
0.000%, 08/03/18 to 09/26/19 (F) | 58,770 | 46,417 | ||||||
Total U.S. Government Agency Obligations | 74,485 | |||||||
ASSET-BACKED SECURITIES — 0.6% |
| |||||||
Mortgage Related Securities — 0.2% | ||||||||
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B | ||||||||
0.413%, 09/25/36 (B) | 9,179 | 4,289 | ||||||
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 0.4% | ||||||||
GE Seaco Finance Srl, Ser 2005-1A, Cl A | ||||||||
0.503%, 11/17/20 (A) (B) | $ | 5,500 | $ | 5,138 | ||||
TAL Advantage LLC, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (A) | 2,330 | 2,302 | ||||||
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE | ||||||||
0.423%, 11/26/21 (A) (B) | 2,944 | 2,711 | ||||||
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE | ||||||||
0.393%, 02/26/19 (A) (B) | 1,859 | 1,749 | ||||||
11,900 | ||||||||
Total Asset-Backed Securities | 16,189 | |||||||
MORTGAGE-BACKED SECURITIES — 0.3% |
| |||||||
Agency Mortgage-Backed Obligations — 0.1% |
| |||||||
FHLMC CMO, Ser 2004-2748, Cl ZT | ||||||||
5.500%, 02/15/24 | 546 | 611 | ||||||
FNMA CMO, Ser 2004-12, Cl ZX | ||||||||
6.000%, 03/25/34 | 719 | 827 | ||||||
FNMA CMO, Ser 2004-80, Cl XZ | ||||||||
5.000%, 11/25/34 | 419 | 434 | ||||||
GNMA ARM | ||||||||
3.375%, 06/20/32 (B) | 169 | 174 | ||||||
2,046 | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.2% |
| |||||||
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 | ||||||||
0.483%, 03/25/47 (B) | 1,687 | 877 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.493%, 07/25/37 (A) (B) | 2,048 | 1,574 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
0.533%, 06/25/35 (B) (E) | 429 | 153 | ||||||
Countrywide Home Loans, | ||||||||
0.573%, 03/25/35 (B) | 206 | 124 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 2,505 | 2,615 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.463%, 03/19/45 (B) (E) | 304 | 199 | ||||||
Harborview Mortgage Loan Trust, | ||||||||
0.653%, 11/19/34 (B) | 377 | 264 | ||||||
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A | ||||||||
0.563%, 08/19/45 (B) (E) | 527 | 367 |
100 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 | ||||||||
0.643%, 12/25/34 (B) | $ | 181 | $ | 111 | ||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B | ||||||||
1.053%, 08/25/34 (B) | 110 | 72 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 | ||||||||
1.113%, 09/25/34 (B) | 44 | 29 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A | ||||||||
0.563%, 10/25/36 (B) | 22 | 14 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 | ||||||||
6.062%, 04/15/45 (B) | 535 | 589 | ||||||
Washington Mutual Mortgage Pass Through Certificates, Ser 2000-1, Cl M2 | ||||||||
1.553%, 01/25/40 (B) | 48 | 46 | ||||||
Washington Mutual Mortgage Pass Through Certificates, Ser 2005-AR2, Cl 2A21 | ||||||||
0.583%, 01/25/45 (B) | 281 | 228 | ||||||
Washington Mutual Mortgage Pass Through Certificates, Ser 2007-OA3, Cl 4A1 | ||||||||
1.112%, 04/25/47 (B) | 233 | 132 | ||||||
7,394 | ||||||||
Total Mortgage-Backed Securities | 9,440 | |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Prime | ||||||||
0.120%, 11/30/10*† | 24,234,543 | 24,235 | ||||||
Total Cash Equivalent | 24,235 | |||||||
Total Investments — 100.3% | $ | 2,848,573 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (491 | ) | Mar-2011 | $ | 309 | |||||||
U.S. 2-Year Treasury Note | 238 | Apr-2011 | 62 | |||||||||
U.S. 5-Year Treasury Note | (1,006 | ) | Apr-2011 | (113 | ) | |||||||
U.S. 5-Year Treasury Note | (386 | ) | Dec-2010 | 598 | ||||||||
U.S. Ultra Long Treasury Bond | 1,177 | Apr-2011 | 3,879 | |||||||||
$ | 4,735 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $2,839,788 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported is the rate in effect as of November 30, 2010. The date reported is the next reset date. |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security is when issued. |
(E) | Step Bonds — The rate reported is the effective yield as of November 30, 2010. The coupon on a stop bond changes on a specific date |
(F) | Zero Coupon Security. The rate reported is the effective yield at time of purchase. |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ARM — Adjustable Rate Mortgage
Cl — Class
CMO — Collateralized Mortgage Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
LLC — Limited Liability Company
MTN — Medium Term Note
NY — New York
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,874,240 | $ | — | $ | 1,874,240 | ||||||||
U.S. Treasury Obligations | — | 738,156 | — | 738,156 | ||||||||||||
Municipal Bonds | — | 111,828 | — | 111,828 | ||||||||||||
U.S. Government Agency Obligations | — | 74,485 | — | 74,485 | ||||||||||||
Asset-Backed Securities | — | 16,189 | — | 16,189 | ||||||||||||
Mortgage-Backed Securities | — | 9,440 | — | 9,440 | ||||||||||||
Cash Equivalent | 24,235 | — | — | 24,235 | ||||||||||||
Total Investments in Securities | $ | 24,235 | $ | 2,824,338 | $ | — | $ | 2,848,573 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 4,735 | $ | — | $ | — | $ | 4,735 | ||||||||
Total Other Financial Instruments | $ | 4,735 | $ | — | $ | — | $ | 4,735 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Concluded)
November 30, 2010
During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
102 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2010
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
GLOBAL BONDS — 92.3% | ||||||||||||
Argentina — 4.1% | ||||||||||||
Arcor | ||||||||||||
7.250%, 11/09/17 | 482 | $ | 503 | |||||||||
Argentina Bonos | ||||||||||||
7.000%, 09/12/13 | 1,549 | 1,510 | ||||||||||
Empresa Distribuidora Y Comercializadora Norte | ||||||||||||
9.750%, 10/25/22 (A) | 678 | 715 | ||||||||||
IRSA | ||||||||||||
11.500%, 07/20/20 | 976 | 1,086 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
9.625%, 04/18/28 | 635 | 511 | ||||||||||
9.625%, 04/18/28 (A) | 1,460 | 1,175 | ||||||||||
9.375%, 09/14/18 | 1,000 | 868 | ||||||||||
Provincia de Mendoza Argentina | ||||||||||||
5.500%, 09/04/18 | 292 | 245 | ||||||||||
Provincia de Neuquen Argentina | ||||||||||||
8.656%, 10/18/14 (A) | 136 | 142 | ||||||||||
Republic of Argentina | ||||||||||||
8.750%, 06/02/17 | 3,125 | 3,157 | ||||||||||
8.280%, 12/31/33 | 1,413 | 1,258 | ||||||||||
8.280%, 12/31/33 | 6,129 | 5,454 | ||||||||||
7.820%, 12/31/33 | 2,496 | 2,421 | ||||||||||
7.820%, 12/31/33 | EUR | 4,142 | 4,017 | |||||||||
7.820%, 12/31/33 (B) | 4,263 | 4,157 | ||||||||||
7.000%, 04/17/17 | 923 | 789 | ||||||||||
7.000%, 10/03/15 | 7,589 | 6,864 | ||||||||||
6.000%, 03/31/23 (C) | 172 | 77 | ||||||||||
5.830%, 12/31/33 (B) | ARS | 709 | 324 | |||||||||
3.117%, 12/15/35 (B) | 7,630 | 992 | ||||||||||
2.500%, 03/31/19 | 5,520 | 2,346 | ||||||||||
0.677%, 08/03/12 (B) | 7,360 | 1,708 | ||||||||||
0.000%, 03/31/23 (B) (C) | 1,680 | 924 | ||||||||||
Transportadora Gas Norte | ||||||||||||
7.500%, 12/31/12 (C) | 100 | 50 | ||||||||||
7.500%, 12/31/12 (A) (C) | 210 | 105 | ||||||||||
7.500%, 12/31/12 | 350 | 175 | ||||||||||
6.500%, 12/31/12 (A) (C) | 30 | 15 |
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
6.500%, 12/31/12 (C) | 60 | $ | 30 | |||||||||
6.500%, 12/31/12 (C) | 60 | 30 | ||||||||||
WPE International Tief | ||||||||||||
10.375%, 09/30/20 | 750 | 724 | ||||||||||
42,372 | ||||||||||||
Bahrain — 0.1% | ||||||||||||
Kingdom of Bahrain | ||||||||||||
5.500%, 03/31/20 (A) | 1,444 | 1,480 | ||||||||||
Barbados — 0.3% | ||||||||||||
Columbus International | ||||||||||||
11.500%, 11/20/14 | 500 | 553 | ||||||||||
11.500%, 11/20/14 (A) | 2,000 | 2,210 | ||||||||||
Government of Barbados | ||||||||||||
7.000%, 08/04/22 (A) | 800 | 827 | ||||||||||
3,590 | ||||||||||||
Belize — 0.0% | ||||||||||||
Government of Belize | ||||||||||||
6.000%, 02/20/29 | 330 | 293 | ||||||||||
Bosnia and Herzegovina — 0.1% | ||||||||||||
Republic of Bosnia & Herzegovina | ||||||||||||
10.039%, 12/11/21 (B) | DEM | 1,917 | 931 | |||||||||
Brazil — 7.7% | ||||||||||||
Banco Bradesco | ||||||||||||
5.900%, 01/16/21 (A) | 955 | 967 | ||||||||||
Banco Cruzeiro do Sul | ||||||||||||
8.875%, 09/22/20 (A) | 1,077 | 1,055 | ||||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||||||
6.500%, 06/10/19 (A) | 2,155 | 2,435 | ||||||||||
5.500%, 07/12/20 (A) | 500 | 534 | ||||||||||
Banco Votorantim | ||||||||||||
7.375%, 01/21/20 (A) | 840 | 899 | ||||||||||
BM&F Bovespa | ||||||||||||
5.500%, 07/16/20 (A) | 1,006 | 1,047 | ||||||||||
BR Properties | ||||||||||||
9.000%, 12/31/49 | 814 | 820 | ||||||||||
Brazil Notas do Tesouro Nacional Serie B | ||||||||||||
6.000%, 05/15/15 | 7,400 | 8,342 | ||||||||||
6.000%, 08/15/20 | 1,900 | 2,162 | ||||||||||
Brazil Notas do Tesouro Nacional, Serie F | ||||||||||||
10.000%, 01/01/13 | BRL | 10,600 | 5,911 | |||||||||
10.000%, 01/01/17 | BRL | 2,200 | 1,159 | |||||||||
10.000%, 01/01/21 | BRL | 20,600 | 10,366 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2010
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
CSN Resources | ||||||||||||
6.500%, 07/21/20 (A) | 1,034 | $ | 1,091 | |||||||||
Federal Republic of Brazil | ||||||||||||
11.000%, 08/17/40 | 400 | 551 | ||||||||||
10.125%, 05/15/27 | 2,852 | 4,506 | ||||||||||
10.000%, 01/01/21 | 2,650 | 1,392 | ||||||||||
8.875%, 04/15/24 | 1,935 | 2,728 | ||||||||||
8.750%, 02/04/25 | 1,406 | 2,011 | ||||||||||
8.250%, 01/20/34 | 5,345 | 7,349 | ||||||||||
7.125%, 01/20/37 | 2,925 | 3,605 | ||||||||||
6.000%, 01/17/17 | 1,336 | 1,543 | ||||||||||
5.875%, 01/15/19 | 1,629 | 1,873 | ||||||||||
5.625%, 01/07/41 | 1,450 | 1,497 | ||||||||||
4.875%, 01/22/21 | 4,240 | 4,509 | ||||||||||
Fibria Overseas Finance | ||||||||||||
7.500%, 05/04/20 (A) | 1,597 | 1,693 | ||||||||||
General Shopping Finance | ||||||||||||
10.000%, 12/31/49 | 1,088 | 1,039 | ||||||||||
Gerdau Trade | ||||||||||||
5.750%, 01/30/21 (A) | 488 | 491 | ||||||||||
JBS Finance | ||||||||||||
8.250%, 01/29/18 | 500 | 500 | ||||||||||
8.250%, 01/29/18 | 2,110 | 2,110 | ||||||||||
Minerva Overseas | ||||||||||||
10.875%, 11/15/19 | 363 | 378 | ||||||||||
10.875%, 11/15/19 | 630 | 655 | ||||||||||
Odebrecht Drilling Norbe VIII | ||||||||||||
6.350%, 06/30/21 (A) | 1,895 | 1,923 | ||||||||||
Rearden G Holdings | ||||||||||||
7.875%, 03/30/20 (A) | 207 | 221 | ||||||||||
Telemar Norte Leste | ||||||||||||
5.500%, 10/23/20 (A) | 763 | 757 | ||||||||||
Vale Overseas | ||||||||||||
4.625%, 09/15/20 | 754 | 760 | ||||||||||
Voto-Votorantim | ||||||||||||
6.750%, 04/05/21 (A) | 365 | 385 | ||||||||||
Voto-Votorantim Overseas Trading Operations | ||||||||||||
6.625%, 09/25/19 (A) | 600 | 629 | ||||||||||
79,893 | ||||||||||||
Chile — 0.8% | ||||||||||||
Banco Del Estado | ||||||||||||
4.125%, 10/07/20 | 750 | 738 | ||||||||||
Celulosa Arauco y Constitucion | ||||||||||||
5.000%, 01/21/21 (A) | 502 | 503 | ||||||||||
Empresa Nacional del Petroleo | ||||||||||||
6.250%, 07/08/19 (A) | 1,300 | 1,424 | ||||||||||
5.250%, 08/10/20 (A) | 1,700 | 1,743 | ||||||||||
Nacional del Cobre de Chile | ||||||||||||
7.500%, 01/15/19 | 450 | 559 | ||||||||||
6.150%, 10/24/36 (A) | 905 | 1,015 | ||||||||||
6.150%, 10/24/36 | 857 | 961 |
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
3.750%, 11/04/20 (A) | 950 | $ | 928 | |||||||||
7,871 | ||||||||||||
China — 1.0% | ||||||||||||
Cental China Real Estate | ||||||||||||
12.250%, 10/20/15 | 484 | 504 | ||||||||||
China Oriental Group | ||||||||||||
8.000%, 08/18/15 (A) | 2,251 | 2,285 | ||||||||||
Evergrande | ||||||||||||
13.000%, 01/27/15 | 176 | 183 | ||||||||||
13.000%, 01/27/15 | 922 | 959 | ||||||||||
Kaisa Group Holdings | ||||||||||||
13.500%, 04/28/15 | 255 | 256 | ||||||||||
Sinochem Overseas Capital | ||||||||||||
6.300%, 11/12/40 (A) | 692 | 694 | ||||||||||
4.500%, 11/12/20 (A) | 5,474 | 5,377 | ||||||||||
Sino-Forest | ||||||||||||
6.250%, 10/21/17 (A) | 475 | 464 | ||||||||||
10,722 | ||||||||||||
Colombia — 4.3% | ||||||||||||
Ecopetrol | ||||||||||||
7.625%, 07/23/19 (A) | 600 | 715 | ||||||||||
Republic of Colombia | ||||||||||||
11.750%, 02/25/20 | 2,108 | 3,278 | ||||||||||
10.375%, 01/28/33 | 300 | 465 | ||||||||||
9.850%, 06/28/27 (E) | COP | 1,224,000 | 858 | |||||||||
8.375%, 02/15/27 | 3,100 | 3,891 | ||||||||||
8.125%, 05/21/24 | 2,780 | 3,614 | ||||||||||
7.375%, 09/18/37 | 8,305 | 10,298 | ||||||||||
7.375%, 01/27/17 | 5,093 | 6,137 | ||||||||||
7.375%, 03/18/19 | 5,425 | 6,673 | ||||||||||
6.125%, 01/18/41 | 2,175 | 2,316 | ||||||||||
Santa Fe de Bogota | ||||||||||||
9.750%, 07/26/28 (A) | COP | 9,718,000 | 6,820 | |||||||||
45,065 | ||||||||||||
Croatia — 0.8% | ||||||||||||
Republic of Croatia | ||||||||||||
6.750%, 11/05/19 | 1,052 | 1,120 | ||||||||||
6.625%, 07/14/20 (A) | 3,989 | 4,235 | ||||||||||
6.625%, 07/14/20 | 1,750 | 1,855 | ||||||||||
Zagrebacki Holding D.O.O. | ||||||||||||
5.500%, 07/10/17 | EUR | 1,500 | 1,577 | |||||||||
8,787 | ||||||||||||
Czech Republic — 0.1% | ||||||||||||
Central European Media Enterprises | ||||||||||||
11.625%, 09/15/16 (A) | EUR | 600 | 789 | |||||||||
Dominican Republic — 0.2% | ||||||||||||
Cap Cana | ||||||||||||
10.000%, 04/30/16 | 655 | 328 |
104 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
10.000%, 04/30/16 | 582 | $ | 407 | |||||||||
Republic of Dominican Republic | ||||||||||||
9.040%, 01/23/18 | 27 | 32 | ||||||||||
7.500%, 05/06/21 (A) | 930 | 1,023 | ||||||||||
1,790 | ||||||||||||
Ecuador — 0.1% | ||||||||||||
Republic of Ecuador | ||||||||||||
9.375%, 12/15/15 | 600 | 549 | ||||||||||
Egypt — 0.4% | ||||||||||||
Arab Republic of Egypt | ||||||||||||
5.750%, 04/29/20 (A) | 2,941 | 3,161 | ||||||||||
Nile Finance | ||||||||||||
5.250%, 08/05/15 | 450 | 459 | ||||||||||
Orascom Telecom Finance | ||||||||||||
7.875%, 02/08/14 | 591 | 561 | ||||||||||
4,181 | ||||||||||||
El Salvador — 0.9% | ||||||||||||
Republic of El Salvador | ||||||||||||
8.250%, 04/10/32 | 3,460 | 3,944 | ||||||||||
7.650%, 06/15/35 | 3,344 | 3,612 | ||||||||||
7.375%, 12/01/19 (A) | 350 | 389 | ||||||||||
7.375%, 12/01/19 | 200 | 222 | ||||||||||
Telemovil Finance | ||||||||||||
8.000%, 10/01/17 (A) | 1,000 | 1,012 | ||||||||||
9,179 | ||||||||||||
Georgia — 0.5% | ||||||||||||
BG Finance for JSC Bank of Georgia | ||||||||||||
9.000%, 02/08/12 | 2,500 | 2,500 | ||||||||||
Republic of Georgia | ||||||||||||
7.500%, 04/15/13 | 2,350 | 2,421 | ||||||||||
4,921 | ||||||||||||
Germany — 0.1% | ||||||||||||
Deutsche Bank | ||||||||||||
10.400%, 08/29/14 (A) (B) | 1,318 | 1,318 | ||||||||||
Ghana — 0.2% | ||||||||||||
Republic of Ghana | ||||||||||||
8.500%, 10/04/17 (A) | 450 | 511 | ||||||||||
8.500%, 10/04/17 | 1,250 | 1,420 | ||||||||||
1,931 | ||||||||||||
Hong Kong — 0.2% | ||||||||||||
Bank of China Hong Kong | ||||||||||||
5.550%, 02/11/20 (A) | 2,300 | 2,415 | ||||||||||
Hungary — 0.1% | ||||||||||||
Republic of Hungary | ||||||||||||
6.250%, 01/29/20 | 1,450 | 1,412 | ||||||||||
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
India — 0.4% | ||||||||||||
Axis Bank | ||||||||||||
4.750%, 05/02/16 (A) | 714 | $ | 710 | |||||||||
ICICI Bank | ||||||||||||
5.750%, 11/16/20 (A) | 1,655 | 1,642 | ||||||||||
Indian Oil | ||||||||||||
4.750%, 01/22/15 | 550 | 576 | ||||||||||
Reliance Holdings USA | ||||||||||||
6.250%, 10/19/40 | 300 | 292 | ||||||||||
State Bank of India | ||||||||||||
4.500%, 07/27/15 (A) | 800 | 826 | ||||||||||
Vedanta Resources | ||||||||||||
9.500%, 07/18/18 (A) | 146 | 155 | ||||||||||
4,201 | ||||||||||||
Indonesia — 5.5% | ||||||||||||
Adaro Indonesia | ||||||||||||
7.625%, 10/22/19 | 380 | 403 | ||||||||||
Bakrie Telecom Pte | ||||||||||||
11.500%, 05/07/15 | 105 | 111 | ||||||||||
Bumi Investment | ||||||||||||
10.750%, 10/06/17 | 575 | 595 | ||||||||||
Indo Integrated Energy | ||||||||||||
9.750%, 11/05/16 | 395 | 438 | ||||||||||
Indosat Palapa | ||||||||||||
7.375%, 07/29/20 (A) | 1,270 | 1,387 | ||||||||||
Majapahit Holding | ||||||||||||
8.000%, 08/07/19 (A) | 1,050 | 1,260 | ||||||||||
7.875%, 06/29/37 (A) | 415 | 483 | ||||||||||
7.750%, 01/20/20 (A) | 950 | 1,131 | ||||||||||
7.750%, 10/17/16 | 1,050 | 1,238 | ||||||||||
7.250%, 10/17/11 (A) | 885 | 923 | ||||||||||
Republic of Indonesia | ||||||||||||
12.800%, 06/17/21 | IDR | 9,067,000 | 1,367 | |||||||||
11.625%, 03/04/19 (A) | 2,900 | 4,415 | ||||||||||
11.625%, 03/04/19 | 6,413 | 9,764 | ||||||||||
11.000%, 11/15/20 | IDR | 17,100,000 | 2,354 | |||||||||
10.375%, 05/04/14 | 1,000 | 1,255 | ||||||||||
10.375%, 05/04/14 (A) | 150 | 188 | ||||||||||
9.500%, 06/15/15 | 16,218,000 | 2,010 | ||||||||||
8.500%, 10/12/35 | 750 | 1,024 | ||||||||||
8.500%, 10/12/35 | 3,110 | 4,245 | ||||||||||
7.750%, 01/17/38 | 350 | 445 | ||||||||||
7.750%, 01/17/38 | 6,445 | 8,185 | ||||||||||
7.500%, 01/15/16 | 1,440 | 1,738 | ||||||||||
7.250%, 04/20/15 | 190 | 224 | ||||||||||
6.875%, 01/17/18 (A) | 1,050 | 1,257 | ||||||||||
6.875%, 01/17/18 | 3,030 | 3,628 | ||||||||||
6.750%, 03/10/14 | 1,400 | 1,587 | ||||||||||
6.750%, 03/10/14 (A) | 300 | 339 | ||||||||||
6.625%, 02/17/37 | 2,400 | 2,761 | ||||||||||
5.875%, 03/13/20 (A) | 1,500 | 1,688 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2010
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Star Energy | ||||||||||||
11.500%, 02/12/15 | 500 | $ | 558 | |||||||||
57,001 | ||||||||||||
Iraq — 1.3% | ||||||||||||
Republic of Iraq | ||||||||||||
5.800%, 01/15/28 | 15,565 | 13,697 | ||||||||||
Ivory Coast — 0.3% | ||||||||||||
Government of Ivory Coast | ||||||||||||
2.500%, 12/31/32 | 5,087 | 3,001 | ||||||||||
Jamaica — 0.2% | ||||||||||||
Digicel Group | ||||||||||||
10.500%, 04/15/18 | 1,000 | 1,100 | ||||||||||
9.125%, 01/15/15 (A) | 693 | 700 | ||||||||||
8.875%, 01/15/15 (A) | 750 | 757 | ||||||||||
2,557 | ||||||||||||
Kazakhstan — 4.2% | ||||||||||||
BTA Bank JSC | ||||||||||||
10.750%, 07/01/18 (D) | 309 | 322 | ||||||||||
10.750%, 07/01/18 (A) (D) | 1,502 | 1,562 | ||||||||||
0.000%, 07/01/20 (A) (B) | 2,772 | 161 | ||||||||||
CenterCredit International | ||||||||||||
8.625%, 01/30/14 | 2,900 | 2,929 | ||||||||||
Citigroup Global Markets for JSC Kazkommertsbank | ||||||||||||
8.700%, 04/07/14 (B) | 1,550 | 1,317 | ||||||||||
Halyk Savings Bank of Kazakhstan | ||||||||||||
9.250%, 10/16/13 | 875 | 946 | ||||||||||
7.750%, 05/13/13 | 100 | 104 | ||||||||||
7.250%, 05/03/17 | 1,150 | 1,138 | ||||||||||
Kazakhstan Temir Zholy Finance | ||||||||||||
6.375%, 10/06/20 | 1,995 | 2,025 | ||||||||||
Kazatomprom | ||||||||||||
6.250%, 05/20/15 | 1,050 | 1,114 | ||||||||||
6.250%, 05/20/15 | 750 | 796 | ||||||||||
Kazkommertsbank | ||||||||||||
12.850%, 12/18/12 | 600 | 627 | ||||||||||
8.500%, 04/16/13 | 1,850 | 1,785 | ||||||||||
8.000%, 11/03/15 | 2,050 | 1,927 | ||||||||||
7.875%, 04/07/14 | 900 | 851 | ||||||||||
7.500%, 11/29/16 | 2,850 | 2,508 | ||||||||||
6.875%, 02/13/17 | EUR | 500 | 583 | |||||||||
KazMunayGas National | ||||||||||||
11.750%, 01/23/15 (A) | 3,963 | 4,857 | ||||||||||
9.125%, 07/02/18 | 2,023 | 2,301 | ||||||||||
9.125%, 07/02/18 (A) | 2,600 | 2,989 | ||||||||||
8.375%, 07/02/13 | 3,650 | 3,960 | ||||||||||
7.000%, 05/05/20 (A) | 3,039 | 3,092 | ||||||||||
6.375%, 04/09/21 (A) | 3,629 | 3,511 |
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Tengizchevroil Finance | ||||||||||||
6.124%, 11/15/14 | 366 | $ | 382 | |||||||||
Zhaikmunai Finance BV | ||||||||||||
10.500%, 10/19/15 (A) | 2,031 | 1,949 | ||||||||||
43,736 | ||||||||||||
Lebanon — 0.0% | ||||||||||||
Republic of Lebanon MTN | ||||||||||||
9.000%, 03/20/17 | 150 | 180 | ||||||||||
Lithuania — 0.8% | ||||||||||||
Republic of Lithuania | ||||||||||||
7.375%, 02/11/20 (A) | 1,950 | 2,174 | ||||||||||
7.375%, 02/11/20 | 1,500 | 1,650 | ||||||||||
6.750%, 01/15/15 (A) | 1,405 | 1,520 | ||||||||||
5.125%, 09/14/17 (A) | 2,940 | 2,909 | ||||||||||
8,253 | ||||||||||||
Malaysia — 3.4% | ||||||||||||
Axiata SPV1 Labuan | ||||||||||||
5.375%, 04/28/20 | 300 | 313 | ||||||||||
Government of Malaysia | ||||||||||||
3.835%, 08/12/15 | 11,180 | 3,600 | ||||||||||
3.741%, 02/27/15 | MYR | 12,440 | 3,995 | |||||||||
Malaysia Sukuk Global Berhad | ||||||||||||
3.928%, 06/04/15 (A) | 450 | 470 | ||||||||||
Petroliam Nasional | ||||||||||||
7.750%, 08/15/15 | 1,460 | 1,789 | ||||||||||
7.625%, 10/15/26 | 430 | 561 | ||||||||||
Petronas Capital | ||||||||||||
7.875%, 05/22/22 | 4,930 | 6,519 | ||||||||||
7.875%, 05/22/22 (A) | 450 | 596 | ||||||||||
7.000%, 05/22/12 | 3,055 | 3,294 | ||||||||||
5.250%, 08/12/19 (A) | 11,515 | 12,722 | ||||||||||
5.250%, 08/12/19 | 1,200 | 1,326 | ||||||||||
35,185 | ||||||||||||
Mexico — 9.3% | ||||||||||||
Alestra | ||||||||||||
11.750%, 08/11/14 (E) | 722 | 819 | ||||||||||
Axtel | ||||||||||||
9.000%, 09/22/19 | 1,062 | 977 | ||||||||||
7.625%, 02/01/17 (A) | 131 | 118 | ||||||||||
BBVA Bancomer | ||||||||||||
6.008%, 05/17/22 (B) | 780 | 786 | ||||||||||
Cemex Espana Luxembourg | ||||||||||||
9.500%, 12/14/16 | 500 | 500 | ||||||||||
9.250%, 05/12/20 | 1,002 | 952 | ||||||||||
9.250%, 05/12/20 (A) (E) | 2,578 | 2,449 | ||||||||||
Cemex Finance Europe BV | ||||||||||||
4.750%, 03/05/14 | 483 | 516 | ||||||||||
Corporation Geo | ||||||||||||
9.250%, 06/30/20 (A) | 1,100 | 1,257 | ||||||||||
9.250%, 06/30/20 | 500 | 571 |
106 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Desarrolla | ||||||||||||
7.500%, 09/28/15 | 252 | $ | 261 | |||||||||
Grupo Senda | ||||||||||||
10.500%, 10/03/15 | 4,590 | 4,613 | ||||||||||
Hipotecaria Su Casita | ||||||||||||
8.500%, 10/04/16 (A) | 222 | 88 | ||||||||||
8.500%, 10/04/16 | 81 | 32 | ||||||||||
Mexican Bonos | ||||||||||||
9.500%, 12/18/14 | MXP | 12,283 | 1,114 | |||||||||
9.000%, 06/20/13 | 8,800 | 766 | ||||||||||
9.000%, 12/20/12 | 32,690 | 2,817 | ||||||||||
8.500%, 12/13/18 | 53,900 | 4,830 | ||||||||||
7.500%, 06/21/12 | 9,200 | 768 | ||||||||||
Mexican Bonos, Ser M10 | ||||||||||||
7.250%, 12/15/16 | MXP | 13,000 | 1,095 | |||||||||
Mexican Udibonos | ||||||||||||
5.000%, 06/16/16 | 12,930 | 5,398 | ||||||||||
4.000%, 06/13/19 | 6,830 | 2,738 | ||||||||||
NII Capital | ||||||||||||
10.000%, 08/15/16 | 4,165 | 4,623 | ||||||||||
Oceanografia | ||||||||||||
11.250%, 07/15/15 | 1,286 | 791 | ||||||||||
Pemex Finance | ||||||||||||
9.150%, 11/15/18 | 1,895 | 2,486 | ||||||||||
Pemex Project Funding Master Trust | ||||||||||||
6.625%, 06/15/35 | 2,522 | 2,635 | ||||||||||
5.750%, 03/01/18 | 1,670 | 1,817 | ||||||||||
Petroleos Mexicanos | ||||||||||||
8.000%, 05/03/19 (A) | 465 | 569 | ||||||||||
8.000%, 05/03/19 | 1,050 | 1,286 | ||||||||||
6.000%, 03/05/20 (A) | 500 | 545 | ||||||||||
5.500%, 01/21/21 | 300 | 314 | ||||||||||
United Mexican States | ||||||||||||
8.300%, 08/15/31 | 3,193 | 4,366 | ||||||||||
8.125%, 12/30/19 | 700 | 922 | ||||||||||
8.000%, 09/24/22 (E) | 5,064 | 6,938 | ||||||||||
6.625%, 03/03/15 | 2,350 | 2,738 | ||||||||||
6.050%, 01/11/40 | 3,814 | 4,052 | ||||||||||
5.950%, 03/19/19 | 4,056 | 4,654 | ||||||||||
5.625%, 01/15/17 | 18,530 | 20,846 | ||||||||||
5.125%, 01/15/20 | 800 | 864 | ||||||||||
United Mexican States, Ser A MTN | ||||||||||||
6.750%, 09/27/34 | 1,763 | 2,054 | ||||||||||
95,965 | ||||||||||||
Nigeria — 0.1% | ||||||||||||
GTB Finance | ||||||||||||
8.500%, 01/29/12 | 500 | 512 | ||||||||||
UBS | ||||||||||||
0.000%, 09/04/17 (A) (B) | 800 | 561 | ||||||||||
1,073 | ||||||||||||
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Oman — 0.0% | ||||||||||||
Blue City Investments | ||||||||||||
13.750%, 11/07/13 | 2,750 | $ | 413 | |||||||||
Pakistan — 0.5% | ||||||||||||
Pakistan Mobile Communications | ||||||||||||
8.625%, 11/13/13 (A) | 330 | 310 | ||||||||||
Republic of Pakistan | ||||||||||||
7.125%, 03/31/16 (E) | 2,750 | 2,531 | ||||||||||
6.875%, 06/01/17 | 2,850 | 2,551 | ||||||||||
5,392 | ||||||||||||
Panama — 2.1% | ||||||||||||
Republic of Panama | ||||||||||||
9.375%, 04/01/29 (E) | 7,440 | 10,639 | ||||||||||
9.375%, 01/16/23 | 595 | 821 | ||||||||||
8.875%, 09/30/27 | 3,306 | 4,678 | ||||||||||
8.125%, 04/28/34 (E) | 940 | 1,203 | ||||||||||
7.250%, 03/15/15 | 1,800 | 2,106 | ||||||||||
6.700%, 01/26/36 | 1,650 | 1,918 | ||||||||||
21,365 | ||||||||||||
Peru — 2.6% | ||||||||||||
Banco de Credito del Peru | ||||||||||||
5.375%, 09/16/20 (A) | 1,315 | 1,312 | ||||||||||
Continental Senior Trustees Cayman | ||||||||||||
5.500%, 11/18/20 (A) | 904 | 892 | ||||||||||
Interoceanica IV Finance | ||||||||||||
3.966%, 11/30/25 (A) (F) | 724 | 353 | ||||||||||
3.899%, 11/30/18 (A) (F) | 335 | 260 | ||||||||||
3.230%, 11/30/18 | 634 | 492 | ||||||||||
Peru Enhanced Pass-Through Finance | ||||||||||||
4.417%, 05/31/18 (F) | 403 | 325 | ||||||||||
3.998%, 05/31/18 (A) (F) | 456 | 367 | ||||||||||
Republic of Peru | ||||||||||||
8.750%, 11/21/33 | 6,800 | 9,673 | ||||||||||
8.375%, 05/03/16 | 750 | 937 | ||||||||||
7.350%, 07/21/25 | 9,180 | 11,291 | ||||||||||
7.125%, 03/30/19 | 1,034 | 1,261 | ||||||||||
6.550%, 03/14/37 | 120 | 137 | ||||||||||
27,300 | ||||||||||||
Philippines — 5.4% | ||||||||||||
National Power | ||||||||||||
9.625%, 05/15/28 | 1,100 | 1,512 | ||||||||||
Power Sector | ||||||||||||
7.390%, 12/02/24 | 1,150 | 1,389 | ||||||||||
7.250%, 05/27/19 | 100 | 120 | ||||||||||
Republic of Philippines | ||||||||||||
10.625%, 03/16/25 | 4,476 | 7,027 | ||||||||||
9.500%, 10/21/24 | 200 | 295 | ||||||||||
9.500%, 02/02/30 | 3,730 | 5,558 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2010
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
9.375%, 01/18/17 | 10,040 | $ | 13,479 | |||||||||
8.875%, 03/17/15 | 125 | 158 | ||||||||||
8.375%, 06/17/19 | 1,900 | 2,494 | ||||||||||
7.750%, 01/14/31 | 2,443 | 3,078 | ||||||||||
7.500%, 09/25/24 | 6,019 | 7,674 | ||||||||||
6.375%, 01/15/32 | 890 | 977 | ||||||||||
6.375%, 10/23/34 | 4,711 | 5,159 | ||||||||||
Republic of Phillippines | ||||||||||||
4.000%, 01/15/21 | 7,066 | 7,022 | ||||||||||
55,942 | ||||||||||||
Poland — 1.5% | ||||||||||||
Polish Television Holding BV | ||||||||||||
11.000%, 05/15/17 (A) | 700 | 885 | ||||||||||
Republic of Poland | ||||||||||||
6.375%, 07/15/19 | 11,374 | 12,627 | ||||||||||
TVN Finance | ||||||||||||
10.750%, 11/15/17 | 200 | 281 | ||||||||||
TVN Finance II | ||||||||||||
10.750%, 11/15/17 (A) | EUR | 1,500 | 2,087 | |||||||||
15,880 | ||||||||||||
Qatar — 1.9% | ||||||||||||
Qatari Diar Finance QSC | ||||||||||||
5.000%, 07/21/20 (A) | 1,800 | 1,832 | ||||||||||
Qtel International Finance | ||||||||||||
7.875%, 06/10/19 | 3,060 | 3,651 | ||||||||||
6.500%, 06/10/14 (A) | 600 | 666 | ||||||||||
5.000%, 10/19/25 (A) | 460 | 418 | ||||||||||
4.750%, 02/16/21 (A) | 504 | 469 | ||||||||||
State of Qatar | ||||||||||||
9.750%, 06/15/30 | 535 | 805 | ||||||||||
6.400%, 01/20/40 (A) | 705 | 783 | ||||||||||
5.250%, 01/20/20 | 1,737 | 1,887 | ||||||||||
5.250%, 01/20/20 (A) | 6,885 | 7,402 | ||||||||||
4.000%, 01/20/15 | 1,600 | 1,668 | ||||||||||
19,581 | ||||||||||||
Russia — 7.7% | ||||||||||||
Alfa Bank Via Alfa Bond Issuance | ||||||||||||
7.875%, 09/25/17 (A) | 771 | 773 | ||||||||||
Alfa Dividend Payment Rights Finance MTN | ||||||||||||
2.192%, 12/15/11 (A) (B) | 118 | 108 | ||||||||||
Alfa Invest MTN | ||||||||||||
9.250%, 06/24/13 (A) | 1,200 | 1,297 | ||||||||||
Alfa Issuance MTN | ||||||||||||
8.000%, 03/18/15 | 208 | 211 | ||||||||||
ALROSA Finance | ||||||||||||
7.750%, 11/03/20 | 1,495 | 1,495 | ||||||||||
Edel Capital for Sinek Capital SA | ||||||||||||
7.700%, 08/03/15 | 600 | 636 |
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Gaz Capital MTN | ||||||||||||
8.625%, 04/28/34 | 566 | $ | 661 | |||||||||
6.510%, 03/07/22 (A) | 855 | 861 | ||||||||||
Kuznetski (Bank of Moscow) | ||||||||||||
5.967%, 11/25/15 (B) | 1,300 | 1,248 | ||||||||||
MTS International | ||||||||||||
8.625%, 06/22/20 (A) | 2,583 | 2,874 | ||||||||||
RSHB Capital for Russian Agricultural Bank MTN | ||||||||||||
7.750%, 05/29/18 | 450 | 485 | ||||||||||
6.299%, 05/15/17 | 250 | 249 | ||||||||||
Russian Federation | ||||||||||||
12.750%, 06/24/28 | 3,370 | 5,850 | ||||||||||
11.200%, 12/17/14 | RUB | 49,200 | 1,799 | |||||||||
7.500%, 03/31/30 (D) | 31,764 | 36,570 | ||||||||||
Russian Federation MTN | ||||||||||||
10.550%, 07/08/11 | 55,200 | 1,810 | ||||||||||
Russian Foreign Bond - Eurobond | ||||||||||||
5.000%, 04/29/20 (A) | 500 | 499 | ||||||||||
RZD Capital MTN | ||||||||||||
5.739%, 04/03/17 | 550 | 562 | ||||||||||
SCF Capital | ||||||||||||
5.375%, 10/27/17 (A) | 1,900 | 1,843 | ||||||||||
Severstal OAO Via Steel Capital | ||||||||||||
6.700%, 10/25/17 (A) | 739 | 715 | ||||||||||
Teorema Holding | ||||||||||||
11.000%, 10/27/09 (C) (I) | 2,000 | 200 | ||||||||||
TNK-BP Finance | ||||||||||||
7.875%, 03/13/18 (A) | 176 | 195 | ||||||||||
7.500%, 07/18/16 (A) | 415 | 460 | ||||||||||
7.250%, 02/02/20 (A) | 469 | 505 | ||||||||||
6.250%, 02/02/15 (A) | 238 | 251 | ||||||||||
UBS (Vimpelcom) | ||||||||||||
8.250%, 05/23/16 | 190 | 207 | ||||||||||
VEB Finance | ||||||||||||
6.902%, 07/09/20 (A) | 3,235 | 3,308 | ||||||||||
VIP Finance Ireland for Vimpel Communications | ||||||||||||
9.125%, 04/30/18 (A) | 400 | 451 | ||||||||||
9.125%, 04/30/18 | 1,200 | 1,335 | ||||||||||
8.375%, 04/30/13 | 1,850 | 1,980 | ||||||||||
Vnesheconombank Via VEB Finance | ||||||||||||
6.902%, 07/09/20 | 200 | 204 | ||||||||||
6.800%, 11/22/25 (A) | 1,250 | 1,216 | ||||||||||
5.450%, 11/22/17 (A) | 900 | 884 | ||||||||||
VTB Bank Via VTB Capital | ||||||||||||
6.551%, 10/13/20 (A) | 960 | 950 | ||||||||||
VTB Capital | ||||||||||||
6.875%, 05/29/18 | 5,250 | 5,460 | ||||||||||
6.609%, 10/31/12 (A) | 1,100 | 1,169 | ||||||||||
6.250%, 06/30/35 | 498 | 498 | ||||||||||
79,819 | ||||||||||||
108 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Saudi Arabia — 0.2% | ||||||||||||
Dar Al-Arkan International Sukuk | ||||||||||||
10.750%, 02/18/15 (A) | 1,050 | $ | 1,034 | |||||||||
10.750%, 02/18/15 | 500 | 492 | ||||||||||
1,526 | ||||||||||||
Singapore — 0.7% | ||||||||||||
Sea Production | ||||||||||||
2.192%, 02/14/12 | 8,429 | 5,732 | ||||||||||
STATS ChipPac | ||||||||||||
7.500%, 08/12/15 (A) | 937 | 991 | ||||||||||
6,723 | ||||||||||||
South Africa — 1.8% | ||||||||||||
Consol Glass MTN | ||||||||||||
7.625%, 04/15/14 | EUR | 285 | 362 | |||||||||
Edcon Proprietary | ||||||||||||
4.129%, 06/15/14 (B) | EUR | 2,850 | 3,033 | |||||||||
Myriad International Holding | ||||||||||||
6.375%, 07/28/17 (A) | 2,370 | 2,452 | ||||||||||
Republic of South Africa | ||||||||||||
8.500%, 06/23/17 | 815 | 1,035 | ||||||||||
6.875%, 05/27/19 | 3,006 | 3,592 | ||||||||||
6.750%, 03/31/21 | 15,080 | 1,902 | ||||||||||
6.500%, 06/02/14 | 2,555 | 2,913 | ||||||||||
5.875%, 05/30/22 | 1,895 | 2,103 | ||||||||||
5.500%, 03/09/20 | 1,600 | 1,744 | ||||||||||
19,136 | ||||||||||||
South Korea — 0.4% | ||||||||||||
Export-Import Bank of Korea | ||||||||||||
8.125%, 01/21/14 | 2,105 | 2,435 | ||||||||||
5.875%, 01/14/15 | 1,125 | 1,241 | ||||||||||
3,676 | ||||||||||||
Sri Lanka — 0.1% | ||||||||||||
Democratic Socialist Republic of Sri Lanka | ||||||||||||
7.400%, 01/22/15 (A) | 500 | 558 | ||||||||||
6.250%, 10/04/20 (A) | 400 | 412 | ||||||||||
970 | ||||||||||||
Supra-National — 0.1% | ||||||||||||
Andina de Fomento | ||||||||||||
8.125%, 06/04/19 | 565 | 686 | ||||||||||
Eurasian Development Bank | ||||||||||||
7.375%, 09/29/14 (A) | 350 | 379 | ||||||||||
1,065 | ||||||||||||
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Thailand — 0.3% | ||||||||||||
True Move | ||||||||||||
10.750%, 12/16/13 | 500 | $ | 528 | |||||||||
10.750%, 12/16/13 (A) | 850 | 907 | ||||||||||
10.375%, 08/01/14 (A) | 1,350 | 1,411 | ||||||||||
2,846 | ||||||||||||
Trinidad & Tobago — 0.4% | ||||||||||||
Petroleum of Trinidad & Tobago | ||||||||||||
9.750%, 08/14/19 (A) | 653 | 793 | ||||||||||
6.000%, 05/08/22 | 2,324 | 2,336 | ||||||||||
6.000%, 05/08/22 (A) | 671 | 674 | ||||||||||
3,803 | ||||||||||||
Tunisia — 0.3% | ||||||||||||
Banque Centrale de Tunisie | ||||||||||||
7.375%, 04/25/12 | 2,210 | 2,382 | ||||||||||
6.250%, 02/20/13 | 430 | 600 | ||||||||||
2,982 | ||||||||||||
Turkey — 4.4% | ||||||||||||
Akbank | ||||||||||||
5.125%, 07/22/15 (A) | 1,188 | 1,184 | ||||||||||
Globus Capital Finance | ||||||||||||
8.500%, 03/05/12 | 700 | 656 | ||||||||||
Republic of Turkey | ||||||||||||
11.875%, 01/15/30 | 1,175 | 2,056 | ||||||||||
9.500%, 01/15/14 | 300 | 363 | ||||||||||
8.000%, 02/14/34 | 1,950 | 2,535 | ||||||||||
7.500%, 11/07/19 | 1,835 | 2,243 | ||||||||||
7.500%, 07/14/17 | 2,625 | 3,170 | ||||||||||
7.375%, 02/05/25 | 5,307 | 6,518 | ||||||||||
7.250%, 03/15/15 | 950 | 1,102 | ||||||||||
7.250%, 03/05/38 | 740 | 899 | ||||||||||
7.000%, 06/05/20 | 1,163 | 1,375 | ||||||||||
7.000%, 09/26/16 | 1,209 | 1,412 | ||||||||||
7.000%, 03/11/19 | 550 | 649 | ||||||||||
6.875%, 03/17/36 | 6,295 | 7,239 | ||||||||||
6.750%, 05/30/40 | 4,891 | 5,527 | ||||||||||
6.750%, 04/03/18 | 5,180 | 6,035 | ||||||||||
5.625%, 03/30/21 | 2,250 | 2,430 | ||||||||||
45,393 | ||||||||||||
Ukraine — 4.4% | ||||||||||||
Avangardco Investments | ||||||||||||
10.000%, 10/29/15 | 524 | 493 | ||||||||||
Biz Finance for Ukreximbank | ||||||||||||
8.375%, 04/27/15 | 1,900 | 1,907 | ||||||||||
Credit Suisse First Boston for City of Kiev | ||||||||||||
8.000%, 11/06/15 | 215 | 196 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2010
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
Credit Suisse First Boston International (Export/Import - Ukraine) | ||||||||||||
7.650%, 09/07/11 | 1,000 | $ | 1,012 | |||||||||
6.800%, 10/04/12 | 800 | 790 | ||||||||||
DTEK Finance | ||||||||||||
9.500%, 04/28/15 | 333 | 345 | ||||||||||
9.500%, 04/28/15 (A) | 790 | 818 | ||||||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||||||
8.375%, 11/03/17 (A) | 650 | 653 | ||||||||||
Government of Ukraine | ||||||||||||
7.750%, 09/23/20 (A) | 2,450 | 2,376 | ||||||||||
7.650%, 06/11/13 | 250 | 254 | ||||||||||
7.650%, 06/11/13 | 2,773 | 2,820 | ||||||||||
6.875%, 09/23/15 (A) | 3,679 | 3,532 | ||||||||||
6.875%, 03/04/11 | 500 | 501 | ||||||||||
6.750%, 11/14/17 | 1,200 | 1,141 | ||||||||||
6.580%, 11/21/16 | 1,570 | 1,494 | ||||||||||
6.385%, 06/26/12 | 1,445 | 1,442 | ||||||||||
3.200%, 12/19/10 | JPY | 760,000 | 9,019 | |||||||||
Government of Ukraine Registered | ||||||||||||
6.580%, 11/21/16 (A) | 200 | 192 | ||||||||||
Metinvest | ||||||||||||
10.250%, 05/20/15 | 101 | 104 | ||||||||||
10.250%, 05/20/15 (A) | 800 | 820 | ||||||||||
MHP | ||||||||||||
10.250%, 04/29/15 | 293 | 303 | ||||||||||
10.250%, 04/29/15 | 1,965 | 2,034 | ||||||||||
NAK Naftogaz Ukraine | ||||||||||||
9.500%, 09/30/14 | 9,373 | 9,795 | ||||||||||
Springvale Holdings | ||||||||||||
9.181%, 09/07/09 (B) (C) (I) | 1,000 | 75 | ||||||||||
UK Private Bank | ||||||||||||
8.000%, 02/06/12 | 3,200 | 3,104 | ||||||||||
45,220 | ||||||||||||
United Arab Emirates — 2.7% | ||||||||||||
Aldar Funding | ||||||||||||
5.767%, 11/10/11 | 3,339 | 3,214 | ||||||||||
Dolphin Energy | ||||||||||||
5.888%, 06/15/19 (A) | 432 | 460 | ||||||||||
5.888%, 06/15/19 | 767 | 817 | ||||||||||
DP World | ||||||||||||
6.850%, 07/02/37 | 1,570 | 1,406 | ||||||||||
Dubai DOF Sukuk MTN | ||||||||||||
6.396%, 11/03/14 | 2,050 | 2,014 | ||||||||||
Dubai Electricity & Water Authority | ||||||||||||
8.500%, 04/22/15 | 252 | 262 | ||||||||||
8.500%, 04/22/15 (A) | 1,650 | 1,715 | ||||||||||
7.375%, 10/21/20 (A) | 2,520 | 2,331 | ||||||||||
Dubai Holding Commercial Operations MTN | ||||||||||||
4.750%, 01/30/14 | EUR | 3,350 | 3,445 |
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
0.662%, 02/01/12 (B) | 200 | $ | 172 | |||||||||
Dubai Sukuk Centre | ||||||||||||
0.668%, 06/13/12 (B) | 750 | 622 | ||||||||||
Emirate of Abu Dhabi | ||||||||||||
6.750%, 04/08/19 (A) | 670 | 793 | ||||||||||
6.750%, 04/08/19 | 1,000 | 1,180 | ||||||||||
Jafz Sukuk | ||||||||||||
3.741%, 11/27/12 (B) | AED | 25,100 | 5,903 | |||||||||
Nakheel Development 2 | ||||||||||||
2.750%, 01/16/11 | 3,400 | 3,816 | ||||||||||
28,150 | ||||||||||||
Uruguay — 2.5% | ||||||||||||
Republic of Uruguay PIK | ||||||||||||
7.875%, 01/15/33 | 3,720 | 4,835 | ||||||||||
Republic of Uruguay | ||||||||||||
9.250%, 05/17/17 | 4,870 | 6,416 | ||||||||||
8.000%, 11/18/22 | 8,198 | 10,494 | ||||||||||
7.625%, 03/21/36 | 2,586 | 3,247 | ||||||||||
6.875%, 09/28/25 | 761 | 906 | ||||||||||
25,898 | ||||||||||||
Venezuela — 4.6% | ||||||||||||
Bolivarian Republic of Venezuela | ||||||||||||
9.000%, 05/07/23 | 9,354 | 5,870 | ||||||||||
8.250%, 10/13/24 | 3,965 | 2,389 | ||||||||||
Government of Venezuela | ||||||||||||
13.625%, 08/15/18 | 737 | 685 | ||||||||||
13.625%, 08/15/18 | 2,435 | 2,265 | ||||||||||
12.750%, 08/23/22 | 200 | 165 | ||||||||||
10.750%, 09/19/13 | 900 | 821 | ||||||||||
9.375%, 01/13/34 | 2,370 | 1,511 | ||||||||||
9.250%, 09/15/27 | 4,025 | 2,727 | ||||||||||
9.250%, 05/07/28 | 4,715 | 2,947 | ||||||||||
8.500%, 10/08/14 | 5,139 | 4,188 | ||||||||||
7.750%, 10/13/19 | 2,000 | 1,260 | ||||||||||
7.650%, 04/21/25 | 3,915 | 2,231 | ||||||||||
7.000%, 12/01/18 | 255 | 157 | ||||||||||
7.000%, 03/31/38 | 200 | 103 | ||||||||||
6.000%, 12/09/20 | 1,050 | 577 | ||||||||||
5.750%, 02/26/16 | 2,900 | 1,936 | ||||||||||
Petroleos de Venezuela | ||||||||||||
5.500%, 04/12/37 | 3,150 | 1,370 | ||||||||||
5.375%, 04/12/27 | 8,791 | 3,934 | ||||||||||
5.250%, 04/12/17 (E) | 13,425 | 7,196 | ||||||||||
5.000%, 10/28/15 | 1,700 | 926 | ||||||||||
4.900%, 10/28/14 | 7,431 | 4,496 | ||||||||||
47,754 | ||||||||||||
Vietnam — 0.2% | ||||||||||||
Socialist Republic of Vietnam | ||||||||||||
6.875%, 01/15/16 | 350 | 392 |
110 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Description | Face Amount (Thousands) (1) | Market Value ($ Thousands) | ||||||||||
6.750%, 01/29/20 | 500 | $ | 555 | |||||||||
6.750%, 01/29/20 (A) | 1,052 | 1,168 | ||||||||||
2,115 | ||||||||||||
Total Global Bonds | 957,287 | |||||||||||
LOAN PARTICIPATIONS — 1.1% | ||||||||||||
Angola — 0.2% | ||||||||||||
Republic of Angola | ||||||||||||
3.006%, 04/30/16 (H) (I) | 1,300 | 1,545 | ||||||||||
Cambodia — 0.2% | ||||||||||||
CAMGSM PIK | ||||||||||||
12.756%, 05/25/11 | 2,359 | 2,359 | ||||||||||
Georgia — 0.0% | ||||||||||||
Ashmore Cayman | ||||||||||||
0.000%, 04/16/14 (F) (H) (I) | 221 | 227 | ||||||||||
Indonesia — 0.2% | ||||||||||||
PT Bumi Resources | ||||||||||||
0.000%, 08/07/13 | 1,973 | 2,012 | ||||||||||
Russia — 0.2% | ||||||||||||
Snegri Overseas | ||||||||||||
10.500%, 10/10/11 (H) (I) | 2,286 | 1,829 | ||||||||||
Singapore — 0.3% | ||||||||||||
Morton Bay Senior | ||||||||||||
6.250%, 06/30/11 (H) (I) | 3,054 | 3,054 | ||||||||||
Total Loan Participations | 11,026 | |||||||||||
CONVERTIBLE BONDS — 0.4% | ||||||||||||
FirstSource Solutions CV to | ||||||||||||
6.011%, 12/04/12 (F) | 2,300 | 2,602 | ||||||||||
Suzlon Energy CV to | ||||||||||||
1.307%, 06/12/12 | 1,360 | 1,428 | ||||||||||
Suzlon Energy CV to | ||||||||||||
2.452%, 07/25/14 (F) | 500 | 434 | ||||||||||
Total Convertible Bonds | 4,464 | |||||||||||
Description | Face Amount (Thousands) (1)/ Shares | Market Value ($ Thousands) | ||||||||||
WARRANTS — 0.0% | ||||||||||||
Russia — 0.0% | ||||||||||||
Teorema Holding A, | 136 | $ | — | |||||||||
Teorema Holding B, | 272 | — | ||||||||||
Total Warrants | — | |||||||||||
AFFILIATED PARTNERSHIP — 1.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | ||||||||||||
0.210%,**† (G) | 13,928,345 | 13,669 | ||||||||||
Total Affiliated Partnership | 13,669 | |||||||||||
Total Investments — 95.1% | $ | 986,446 | ||||||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
U.S. Ultra Long Treasury Bond | 3 | Apr-2011 | $ | 7 | ||||||||
For the six month period ended November 30, 2010, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Maturity Date | Currency | Currency to | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/1/10-2/22/11 | USD | 5,534 | INR | 250,707 | $ | (103 | ) | |||||||||||||
12/2/10 | BRL | 21,230 | USD | 12,400 | 56 | |||||||||||||||
12/2/10 | USD | 4,211 | BRL | 7,167 | (44 | ) | ||||||||||||||
12/13/10 | INR | 45,788 | USD | 1,026 | 30 | |||||||||||||||
12/13/10 | KRW | 5,308,644 | USD | 4,680 | 100 | |||||||||||||||
12/20/10-12/30/10 | EUR | 6,581 | USD | 8,785 | 220 | |||||||||||||||
12/27/10 | PLN | 19,393 | USD | 6,715 | 462 | |||||||||||||||
12/27/10-2/7/11 | USD | 14,093 | PLN | 39,695 | (1,309 | ) | ||||||||||||||
12/30/10 | JPY | 765,445 | USD | 9,162 | 18 | |||||||||||||||
1/26/11 | COP | 10,692,000 | USD | 5,775 | 214 | |||||||||||||||
1/26/11 | USD | 5,556 | COP | 10,692,000 | 5 | |||||||||||||||
5/20/11 | CNY | 14,275 | USD | 2,127 | (22 | ) | ||||||||||||||
5/20/11-8/9/11 | USD | 6,060 | CNY | 40,471 | 62 | |||||||||||||||
$ | (311 | ) | ||||||||||||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2010
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | 1,389 | $ | 1,386 | $ | (3 | ) | |||||
Barclays Capital | 2,400 | 2,490 | 90 | |||||||||
Citigroup | 29,683 | 30,017 | 334 | |||||||||
Goldman Sachs | 1,907 | 1,882 | (25 | ) | ||||||||
HSBC | 2,278 | 2,324 | 46 | |||||||||
JPMorgan Securities | 23,073 | 23,730 | 657 | |||||||||
Morgan Stanley | 11,405 | 10,697 | (708 | ) | ||||||||
UBS | 12,909 | 12,207 | (702 | ) | ||||||||
$ | (311 | ) | ||||||||||
A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:
Total Return Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($Thousands) | ||||||||||||||
HSBC | Republic of Korea 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | 2,475,000 | $ | 42 | |||||||||||||
Barclays Bank PLC | Republic of Korea 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | 2,497,000 | 15 | ||||||||||||||
$ | 57 | |||||||||||||||||||
Percentages are based on a Net Assets of $1,037,598 ($ Thousands).
(1) | In U.S. dollars unless otherwise indicated. |
* | Non-Income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported on the Schedule of Investments is the next reset date. |
(C) | Security in default on interest payments. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2010. The coupon on a step bond changes on a specified date. |
(E) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $13,035 ($ Thousands). |
(F) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(G) | This security was purchase with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $13,669 ($ Thousands). |
(H) | Security considered illiquid. The total value of such securities as of November 30, 2010 was $6,655 ($ Thousands) and represented 0.64% of Net Assets. |
(I) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees The total value of such securities as of November 30, 2010 was $6,930 ($ Thousands) and represented 0.67% of Net Assets. |
AED — United Arab Emirates Dirham
ARS — Argentine Peso
BRL — Brazilian Real
CNY — Chinese Yuan Renminbi
COP — Colombian Peso
CV — Convertible Security
DEM — German Mark
EUR — Euro
IDR — Indonesia Rupiah
INR — India Rupee
JPY — Japanese Yen
KRW — South Korean Won
L.P. — Limited Partnership
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
PIK — Payment-in-Kind
PLN — Polish Zloty
RUB — Russian Ruble
Ser — Series
USD — U.S. Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | �� | Total | |||||||||||
Global Bonds | $ | — | $ | 957,287 | $ | — | $ | 957,287 | ||||||||
Loan Participations | — | — | 11,026 | 11,026 | ||||||||||||
Convertible Bonds | — | 4,464 | — | 4,464 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 13,669 | — | 13,669 | ||||||||||||
Total Investments in Securities | $ | — | $ | 975,420 | $ | 11,026 | $ | 986,446 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 7 | $ | — | $ | — | $ | 7 | ||||||||
Forwards | — | (311 | ) | — | (311 | ) | ||||||||||
Total Return Swaps | — | 57 | — | 57 | ||||||||||||
Total Other Financial Instruments | $ | 7 | $ | (254 | ) | $ | — | $ | (247 | ) | ||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
112 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Loan Participations | Investments in Total Return Swaps | |||||||
Beginning balance as of June 1, 2010 | $ | 9,135 | (4 | ) | ||||
Accrued discounts/premiums | 15 | — | ||||||
Realized gain/(loss) | — | 1 | ||||||
Change in unrealized appreciation/(depreciation) | 327 | (1 | ) | |||||
Net purchases/sales | 1,549 | 4 | ||||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 11,026 | $ | — | ||||
Changes in unrealized gain/(loss) included in earnings related to securities still held at reporting date | $ | (121 | ) | $ | — | |||
During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 96.7% |
| |||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
3.000%, 07/15/12 | $ | 16,300 | $ | 20,941 | ||||
2.000%, 04/15/12 | 30,146 | 33,453 | ||||||
2.000%, 01/15/14 | 34,224 | 43,465 | ||||||
2.000%, 07/15/14 | 31,836 | 39,992 | ||||||
1.875%, 07/15/13 | 20,195 | 25,522 | ||||||
1.875%, 07/15/15 | 7,350 | 9,020 | ||||||
1.625%, 01/15/15 | 34,100 | 41,887 | ||||||
1.250%, 04/15/14 | 24,025 | 26,117 | ||||||
0.625%, 04/15/13 | 31,570 | 33,513 | ||||||
0.500%, 04/15/15 | 50,825 | 52,743 | ||||||
Total U.S. Treasury Obligations | 326,653 | |||||||
Total Investments — 96.7% | $ | 326,653 | ||||||
Percentages are based on Net Assets of $337,801 ($ Thousands)
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 326,653 | $ | — | $ | 326,653 | ||||||||
Total Investments in Securities | $ | — | $ | 326,653 | $ | — | $ | 326,653 | ||||||||
During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
For information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
114 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2010
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 35.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.145%, 12/23/10 | $ | 20,000 | $ | 19,998 | ||||
0.130%, 12/02/10 | 16,000 | 16,000 | ||||||
Total U.S. Treasury Obligations |
| 35,998 | ||||||
CASH EQUIVALENT — 34.7% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, | ||||||||
Cl A 0.120%*† | 35,423,065 | 35,423 | ||||||
Total Cash Equivalent |
| 35,423 | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 23.5% |
| |||||||
FHLB | ||||||||
0.170%, 02/23/11 | 17,000 | 16,993 | ||||||
FHLMC | ||||||||
0.180%, 12/02/10 | 7,000 | 7,000 | ||||||
Total U.S. Government Agency Obligations |
| 23,993 | ||||||
Total Investments — 93.4% |
| $ | 95,414 | |||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index EMINI | 1,348 | Dec-2010 | $ | 1,443 | ||||||||
U.S. 10-Year Treasury Note | 110 | Mar-2011 | (55 | ) | ||||||||
$ | 1,388 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $102,137 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at time of purchase. |
Cl — Class
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
S&P — Standard and Poor’s
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S Treasury Obligations | $ | — | $ | 35,998 | $ | — | $ | 35,998 | ||||||||
Cash Equivalent | 35,423 | — | — | 35,423 | ||||||||||||
U.S. Government Agency Obligations | — | 23,993 | — | 23,993 | ||||||||||||
Total Investments in Securities | $ | 35,423 | $ | 59,991 | $ | — | $ | 95,414 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,388 | $ | — | $ | — | $ | 1,388 | ||||||||
Total Other Financial Instruments | $ | 1,388 | $ | — | $ | — | $ | 1,388 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 115 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2010
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||||
ASSETS: | ||||||||||||||
Investments at value† | $ | 1,474,092 | * | $ | 356,931 | $ | 6,314,388 | * | ||||||
Affiliated investment, at value†† | 193,999 | 13,563 | 1,731,403 | |||||||||||
Cash | 4 | — | 578 | |||||||||||
Foreign currency, at value††† | — | — | — | |||||||||||
Receivable for fund shares sold | 317 | 1,433 | 51,272 | |||||||||||
Receivable for investment securities sold | 4,813 | 1,520 | 43,710 | |||||||||||
Dividends and interest receivable | 2,627 | 738 | 16,821 | |||||||||||
Receivable for variation margin | — | 768 | — | |||||||||||
Foreign tax reclaim receivable | 9 | 2 | — | |||||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | |||||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | |||||||||||
Prepaid expenses | 13 | 3 | 72 | |||||||||||
Total Assets | 1,675,874 | 374,958 | 8,158,244 | |||||||||||
LIABILITIES: | ||||||||||||||
Payable upon return on securities loaned | 159,125 | — | 614,174 | |||||||||||
Payable for investment securities purchased | 3,916 | 980 | 41,373 | |||||||||||
Payable for fund shares redeemed | 13,373 | 498 | 22,814 | |||||||||||
Payable for loss on securities lending | — | — | — | |||||||||||
Payable to custodian | — | 5 | — | |||||||||||
Payable for variation margin | 263 | 844 | 6,820 | |||||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | |||||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | |||||||||||
Investment advisory fees payable | 312 | 92 | 1,068 | |||||||||||
CCO fees payable | 4 | 1 | 26 | |||||||||||
Accrued expense payable | 24 | 10 | 149 | |||||||||||
Total Liabilities | 177,017 | 2,430 | 686,424 | |||||||||||
Net Assets | $ | 1,498,857 | $ | 372,528 | $ | 7,471,820 | ||||||||
† | Cost of investments and repurchase agreements | 1,316,296 | 315,473 | 5,540,751 | ||||||||||
†† | Cost of affiliated investments | 194,859 | 13,563 | 1,902,649 | ||||||||||
††† | Cost of foreign currency | — | — | — | ||||||||||
* | Includes market value of securities on loan | 154,226 | — | 595,739 | ||||||||||
NET ASSETS: | ||||||||||||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 1,428,822 | $ | 512,709 | $ | 9,089,637 | ||||||||
Undistributed net investment income | 3,474 | 2,170 | 43,591 | |||||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, swap contracts and foreign currency | (92,106 | ) | (184,329 | ) | (2,344,643 | ) | ||||||||
Net unrealized appreciation on investments and option contracts | 156,936 | 41,458 | 602,391 | |||||||||||
Net unrealized appreciation (depreciation) on futures contracts | 1,731 | 520 | 80,844 | |||||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||||
Net Assets | $ | 1,498,857 | $ | 372,528 | $ | 7,471,820 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $16.15 | $8.42 | $9.57 | |||||||||||
| ($1,498,857,180 ÷ 92,799,796 shares | ) | | ($372,528,462 ÷ 44,241,324 shares | ) | | ($7,471,819,845 ÷ 780,827,347 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
116 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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Large Cap Index Fund | Small Cap Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | International Equity Fund | ||||||||||||||
$521,913 | * | $1,250,369 | * | $1,935,379 | * | $138,649 | $522,992 | * | ||||||||||
59,710 | 208,977 | 672,658 | 2,205 | 26,113 | ||||||||||||||
— | 302 | 776 | — | 6,895 | ||||||||||||||
— | 471 | 5 | — | 635 | ||||||||||||||
188 | 1,101 | 843 | 5 | 564 | ||||||||||||||
— | 4,921 | 9,924 | 432 | 6 | ||||||||||||||
1,192 | 1,141 | 1,945 | 285 | 1,213 | ||||||||||||||
— | — | — | — | — | ||||||||||||||
— | — | — | — | 950 | ||||||||||||||
— | — | — | — | 431 | ||||||||||||||
— | 18 | 8 | — | — | ||||||||||||||
5 | 14 | 20 | 1 | 3 | ||||||||||||||
583,008 | 1,467,314 | 2,621,558 | 141,577 | 559,802 | ||||||||||||||
49,675 | 4,175 | 597,115 | — | 16,734 | ||||||||||||||
— | 1,337 | 11,496 | 664 | 724 | ||||||||||||||
1,022 | 4,930 | 20,643 | 654 | 3,161 | ||||||||||||||
— | 4,705 | — | — | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||
92 | 1,555 | 414 | 11 | 130 | ||||||||||||||
— | — | — | — | 434 | ||||||||||||||
— | — | 25 | — | — | ||||||||||||||
20 | 627 | 797 | 38 | 160 | ||||||||||||||
2 | 5 | 7 | 1 | 2 | ||||||||||||||
16 | 33 | 49 | 9 | 153 | ||||||||||||||
50,827 | 17,367 | 630,546 | 1,377 | 21,498 | ||||||||||||||
$532,181 | $1,449,947 | $1,991,012 | $140,200 | $538,304 | ||||||||||||||
379,565 | 1,043,682 | 1,578,700 | 109,352 | 484,879 | ||||||||||||||
60,387 | 209,417 | 680,823 | 2,205 | 26,871 | ||||||||||||||
— | 475 | 5 | — | 632 | ||||||||||||||
48,242 | 3,735 | 577,992 | — | 15,751 | ||||||||||||||
$441,915 | $1,639,788 | $2,126,143 | $72,764 | $934,521 | ||||||||||||||
1,612 | 1,830 | 2,174 | 373 | 25,677 | ||||||||||||||
| (53,802 | ) | (401,508 | ) | (487,200 | ) | 37,727 | (458,862 | ) | |||||||||
141,671 | 206,247 | 348,514 | 29,297 | 37,355 | ||||||||||||||
785 | 3,594 | 1,401 | 39 | (180 | ) | |||||||||||||
| — | | (4 | ) | (20 | ) | — | (207 | ) | |||||||||
$532,181 | $1,449,947 | $1,991,012 | $140,200 | $538,304 | ||||||||||||||
$102.65 | $11.65 | $11.65 | $12.09 | $7.30 | ||||||||||||||
| ($532,181,266 ÷ 5,184,603 shares | ) | | ($1,449,947,038 ÷ 124,473,381 shares | ) | | ($1,991,012,128 ÷ 170,973,522 shares | ) | | ($140,200,374 ÷ 11,592,364 shares | ) | | ($538,303,561 ÷ 73,746,724 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 117 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2010
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | ||||||||||
ASSETS: | ||||||||||||
Investments at value† | $ | 4,271,512 | * | $ | 73,743 | $ | 44,584 | |||||
Affiliated investment, at value†† | 506,446 | 3,635 | 81,535 | |||||||||
Cash | 49,746 | 837 | 1,470 | |||||||||
Foreign currency, at value††† | 11,893 | 453 | — | |||||||||
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts | — | — | 25 | |||||||||
Receivable for fund shares sold | 11,842 | 1,107 | 13,948 | |||||||||
Receivable for investment securities sold | 23,525 | 368 | 656 | |||||||||
Dividends and interest receivable | 7,637 | 129 | 214 | |||||||||
Receivable for variation margin | 70 | 1 | 1 | |||||||||
Foreign tax reclaim receivable | 2,131 | 47 | 1 | |||||||||
Unrealized gain on foreign spot currency contracts | 15 | 50 | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | |||||||||
Swap contracts at value †††† | — | — | — | |||||||||
Prepaid expenses | 42 | 1 | 1 | |||||||||
Total Assets | 4,884,859 | 80,371 | 142,435 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 336,575 | — | — | |||||||||
Payable for foreign currency | — | — | — | |||||||||
Payable for investment securities purchased | 25,292 | 366 | 3,129 | |||||||||
Payable for fund shares redeemed | 17,781 | 5 | 311 | |||||||||
Payable for loss on securities lending | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts at value†††† | — | — | — | |||||||||
Options written, at value††††† | — | — | — | |||||||||
Payable to custodian | — | — | — | |||||||||
Payable for variation margin | 1,741 | 33 | 3 | |||||||||
Unrealized loss on foreign spot currency contracts | 24 | 50 | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | |||||||||
Investment advisory fees payable | 1,598 | 20 | 39 | |||||||||
CCO fees payable | 14 | — | — | |||||||||
Trustees fees payable | — | — | — | |||||||||
Accrued expense payable | 447 | 135 | 18 | |||||||||
Accrued foreign capital gains tax on appreciated securities | 590 | — | — | |||||||||
Total Liabilities | 384,062 | 609 | 3,500 | |||||||||
Net Assets | $ | 4,500,797 | $ | 79,762 | $ | 138,935 | ||||||
† Cost of investments and repurchase agreements | 3,860,498 | 67,601 | 46,114 | |||||||||
†† Cost of affiliated investments | 509,023 | 3,635 | 101,632 | |||||||||
††† Cost of foreign currency | 11,894 | 454 | — | |||||||||
†††† Premiums received | — | — | — | |||||||||
††††† Premiums received | — | — | — | |||||||||
* Includes market value of securities on loan | 317,808 | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 4,927,304 | $ | 96,816 | $ | 186,819 | ||||||
Undistributed net investment income | ||||||||||||
(Accumulated net investment loss) | 83,066 | 1,135 | 2,336 | |||||||||
Accumulated net realized gain (loss) on investments, option contracts, futures contracts, swap contracts and foreign currency | (917,707 | ) | (24,307 | ) | (28,590 | ) | ||||||
Net unrealized appreciation (depreciation) on investments and option contracts | 408,437 | 6,142 | (21,627 | ) | ||||||||
Net unrealized appreciation (depreciation) on futures contracts | 248 | (22 | ) | (3 | ) | |||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 39 | (2 | ) | — | ||||||||
Accumulated foreign capital gains tax on appreciated securities | (590 | ) | — | — | ||||||||
Net Assets | $ | 4,500,797 | $ | 79,762 | $ | 138,935 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.45 | $8.08 | $7.86 | |||||||||
| ($4,500,797,262 ÷ 430,895,866 shares | ) | | ($79,761,909 ÷ 9,875,210 shares | ) | | ($138,934,955 ÷ 17,669,372 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
118 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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Core Fixed | High Yield Bond Fund | Long Duration Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | |||||||||||||||||
$6,432,952 | * | $1,804,372 | * | $2,824,338 | $ 972,777 | * | $326,653 | $ 59,991 | ||||||||||||||
299,225 | 44,314 | 24,235 | 13,669 | — | 35,423 | |||||||||||||||||
7,936 | — | 152 | 32,027 | 8,258 | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
5,608 | 2,631 | — | 2,418 | — | | 150 | | |||||||||||||||
52,394 | 29,607 | 2,847 | 14,796 | 3,219 | 7,053 | |||||||||||||||||
1,340,698 | 20,340 | 25,538 | 103 | 26,005 | — | |||||||||||||||||
39,695 | 34,922 | 34,120 | 16,345 | 1,459 | 4 | |||||||||||||||||
985 | — | 1,416 | 3 | — | 21 | |||||||||||||||||
44 | 67 | 23 | — | — | — | |||||||||||||||||
— | — | — | 8,177 | — | — | |||||||||||||||||
— | — | — | 1,167 | — | — | |||||||||||||||||
13,958 | — | — | 4,595 | — | — | |||||||||||||||||
61 | 19 | 30 | 10 | 4 | — | |||||||||||||||||
8,193,556 | 1,936,272 | 2,912,699 | 1,066,087 | 365,598 | 102,642 | |||||||||||||||||
135,674 | 6 | — | 13,928 | — | — | |||||||||||||||||
— | — | — | 1,491 | — | — | |||||||||||||||||
1,950,688 | 22,628 | 25,932 | 560 | — | — | |||||||||||||||||
7,742 | 6,325 | 45,988 | 2,324 | 27,734 | — | |||||||||||||||||
— | 1,913 | — | — | — | — | |||||||||||||||||
1,280 | 381 | 144 | — | — | — | |||||||||||||||||
15,280 | 447 | — | — | — | — | |||||||||||||||||
297 | — | — | — | — | — | |||||||||||||||||
— | 14 | — | — | — | — | |||||||||||||||||
643 | — | 342 | — | — | 465 | |||||||||||||||||
— | — | — | 8,195 | — | — | |||||||||||||||||
— | — | — | 1,478 | — | — | |||||||||||||||||
680 | 517 | 432 | 450 | 56 | 38 | |||||||||||||||||
21 | 6 | 10 | 4 | 1 | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
141 | — | 63 | 59 | 6 | 2 | |||||||||||||||||
— | 65 | — | — | — | — | |||||||||||||||||
2,112,446 | 33,302 | 72,911 | 28,489 | 27,797 | 505 | |||||||||||||||||
$6,081,110 | $1,903,970 | $2,839,788 | $1,037,598 | $337,801 | $102,137 | |||||||||||||||||
6,386,288 | 1,736,289 | 2,626,321 | 885,794 | 316,467 | 59,991 | |||||||||||||||||
307,318 | 44,314 | 24,235 | 13,928 | — | 35,423 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
10,340 | 831 | — | — | — | — | |||||||||||||||||
318 | — | — | — | — | — | |||||||||||||||||
131,709 | 5 | — | 13,035 | — | — | |||||||||||||||||
$5,873,962 | $1,963,001 | $2,578,754 | $ 976,528 | $319,620 | $100,645 | |||||||||||||||||
4,637 | 1,699 | (180 | ) | 3,317 | 1,154 | (66 | ) | |||||||||||||||
| 176,342 | | (127,535 | ) | 58,462 | (28,670 | ) | 6,841 | 170 | |||||||||||||
| 38,592 | | 68,083 | 198,017 | 86,724 | 10,186 | — | |||||||||||||||
(762 | ) | — | 4,735 | 7 | — | 1,388 | ||||||||||||||||
(11,661 | ) | (1,278 | ) | — | 57 | — | — | |||||||||||||||
| — | | — | — | (365 | ) | — | — | ||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
$6,081,110 | $1,903,970 | $2,839,788 | $1,037,598 | $337,801 | $102,137 | |||||||||||||||||
$10.70 | $9.19 | $9.09 | $11.26 | $10.57 | $10.40 | |||||||||||||||||
| ($6,081,109,844 ÷ 568,213,946 shares | ) | | ($1,903,970,028 ÷ 207,224,076 shares | ) | | ($2,839,787,774 ÷ 312,447,193 shares | ) | | ($1,037,598,305 ÷ 92,144,633 shares | ) | | ($337,801,200 ÷ 31,961,218 shares | ) | | ($102,136,721 ÷ 9,817,999 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 119 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2010
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 11,056 | $ | 2,926 | $ | 64,136 | ||||||
Dividends from Affiliated Registered Investment Company(1) | 35 | 10 | 275 | |||||||||
Interest Income | 10 | 4 | 109 | |||||||||
Security Lending Income — Net | 109 | — | 489 | |||||||||
Less: Foreign Taxes Withheld | (9 | ) | (2 | ) | (4 | ) | ||||||
11,201 | 2,938 | 65,005 | ||||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 2,718 | 706 | 14,337 | |||||||||
Administration Fees | 340 | 88 | 1,792 | |||||||||
Trustee Fees | 11 | 3 | 64 | |||||||||
Chief Compliance Officer Fees | 3 | 1 | 17 | |||||||||
Custodian/Wire Agent Fees | 36 | 11 | 216 | |||||||||
Professional Fees | 24 | 7 | 143 | |||||||||
Printing Fees | 5 | 1 | 27 | |||||||||
Registration Fees | 2 | 1 | 15 | |||||||||
Overdraft Fees | — | — | — | |||||||||
Other Expenses | 18 | 11 | 84 | |||||||||
Total Expenses | 3,157 | 829 | 16,695 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,039 | ) | (183 | ) | (8,209 | ) | ||||||
Waiver of Administration Fees | (340 | ) | (88 | ) | (1,792 | ) | ||||||
Fees Paid Indirectly(1) | (12 | ) | — | (3 | ) | |||||||
Net Expenses | 1,766 | 558 | 6,691 | |||||||||
Net Investment Income | 9,435 | 2,380 | 58,314 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Investments | 18,664 | 7,274 | 145,972 | |||||||||
Affiliated Investments | — | (12,818 | ) | — | ||||||||
Futures Contracts | 2,329 | (2,824 | ) | 1,674 | ||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 92,670 | 23,993 | 271,378 | |||||||||
Affiliated Investments | (31 | ) | 13,128 | 23,301 | ||||||||
Futures Contracts | 3,314 | 2,646 | 114,935 | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | — | — | — | |||||||||
Net Increase in Net Assets Resulting From Operations | $ | 126,381 | $ | 33,779 | $ | 615,574 |
(1) | See Note 5 in the Notes to Financial Statements. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
120 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Large Cap Index Fund | Small Cap Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | International | ||||||||||||||
$5,215 | $8,330 | $11,598 | $1,930 | $4,772 | ||||||||||||||
8 | 36 | 50 | 3 | 10 | ||||||||||||||
1 | 224 | 130 | 1 | 38 | ||||||||||||||
69 | 534 | 530 | — | 306 | ||||||||||||||
(1 | ) | (18 | ) | (25 | ) | (8 | ) | (208 | ) | |||||||||
5,292 | 9,106 | 12,283 | 1,926 | 4,918 | ||||||||||||||
432 | 4,388 | 6,382 | 563 | 1,511 | ||||||||||||||
127 | 337 | 491 | 43 | 150 | ||||||||||||||
5 | 12 | 18 | 2 | 6 | ||||||||||||||
2 | 3 | 5 | 1 | 1 | ||||||||||||||
16 | 41 | 62 | 8 | 151 | ||||||||||||||
10 | 26 | 40 | 5 | 14 | ||||||||||||||
2 | 5 | 7 | 1 | 2 | ||||||||||||||
2 | 3 | 5 | 1 | 2 | ||||||||||||||
— | — | — | — | 6 | ||||||||||||||
15 | 24 | 33 | 4 | 55 | ||||||||||||||
611 | 4,839 | 7,043 | 628 | 1,898 | ||||||||||||||
(324 | ) | (844 | ) | (1,625 | ) | (279 | ) | (537 | ) | |||||||||
(127 | ) | (337 | ) | (491 | ) | (43 | ) | (150 | ) | |||||||||
(26 | ) | (125 | ) | — | (19 | ) | ||||||||||||
160 | 3,632 | 4,802 | 306 | 1,192 | ||||||||||||||
5,132 | 5,474 | 7,481 | 1,620 | 3,726 | ||||||||||||||
(10,503 | ) | 58,961 | 125,145 | 23,696 | 12,784 | |||||||||||||
— | — | — | — | — | ||||||||||||||
293 | 59 | 4,655 | 214 | 1,148 | ||||||||||||||
— | — | — | — | (3,263 | ) | |||||||||||||
— | (27 | ) | (329 | ) | — | (3,243 | ) | |||||||||||
51,040 | 49,720 | 61,674 | (8,595 | ) | 67,311 | |||||||||||||
85 | 5,716 | (780 | ) | — | 65 | |||||||||||||
1,191 | 3,434 | 860 | 179 | 20 | ||||||||||||||
— | — | — | — | 4,287 | ||||||||||||||
| — |
| (3 | ) | (17 | ) | — | 105 | ||||||||||
$47,238 | $123,334 | $198,689 | $17,114 | $82,940 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 121 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2010
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 39,995 | $ | 663 | $ | — | ||||||
Dividends from Affiliated Registered Investment Company(1) | 144 | 2 | 3 | |||||||||
Interest Income | 25 | 2 | 1,405 | |||||||||
Security Lending Income — Net | 1,715 | — | — | |||||||||
Less: Foreign Taxes Withheld | (3,029 | ) | (52 | ) | — | |||||||
38,850 | 615 | 1,408 | ||||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 11,624 | 243 | 257 | |||||||||
Administration Fees | 1,057 | 19 | 29 | |||||||||
Trustee Fees | 35 | 1 | 1 | |||||||||
Chief Compliance Officer Fees | 10 | — | — | |||||||||
Custodian/Wire Agent Fees | 602 | 176 | 4 | |||||||||
Professional Fees | 92 | 2 | 2 | |||||||||
Printing Fees | 16 | — | 1 | |||||||||
Registration Fees | 12 | — | — | |||||||||
Interest Expense | — | — | — | |||||||||
Overdraft Fees | 19 | 1 | — | |||||||||
Other Expenses | 106 | 31 | 12 | |||||||||
Total Expenses | 13,573 | 473 | 306 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (2,950 | ) | (153 | ) | (41 | ) | ||||||
Waiver of Administration Fees | (1,057 | ) | (19 | ) | (29 | ) | ||||||
Fees Paid Indirectly(1) | (53 | ) | — | — | ||||||||
Net Expenses | 9,513 | 301 | 236 | |||||||||
Net Investment Income (Loss) | 29,337 | 314 | 1,172 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Investments | 31,545 | 360 | (19 | ) | ||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | 14,823 | (87 | ) | (36 | ) | |||||||
Written Options | — | — | — | |||||||||
Swap Contracts | (5,066 | ) | — | — | ||||||||
Foreign Currency Transactions | (13,778 | ) | (80 | ) | — | |||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 512,992 | 9,224 | 22,895 | |||||||||
Affiliated Investments | (264 | ) | — | (20,097 | ) | |||||||
Futures Contracts | 2,430 | 167 | (1 | ) | ||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | 6,885 | — | — | |||||||||
Foreign Capital Gains Tax | (478 | ) | — | — | ||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | 104 | 1 | — | |||||||||
Net Increase in Net Assets Resulting From Operations | $ | 578,530 | $ | 9,899 | $ | 3,914 |
(1) | See Note 5 in the Notes to Financial Statements. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
122 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Core Fixed | High Yield Bond Fund | Long Duration Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | |||||||||||||||||
$ | — | $ | 297 | $ | — | $ | — | $ | — | $ | — | |||||||||||
171 | 46 | 32 | — | — | 9 | |||||||||||||||||
114,493 | 82,533 | 72,896 | 38,609 | 2,464 | 17 | |||||||||||||||||
209 | — | — | 5 | — | — | |||||||||||||||||
(29 | ) | — | — | — | — | — | ||||||||||||||||
114,844 | 82,876 | 72,928 | 38,614 | 2,464 | 26 | |||||||||||||||||
8,867 | 4,387 | 4,279 | 4,303 | 410 | 110 | |||||||||||||||||
1,478 | 450 | 713 | 253 | 93 | 9 | |||||||||||||||||
52 | 15 | 24 | 9 | 3 | — | |||||||||||||||||
14 | 4 | 7 | 3 | 1 | — | |||||||||||||||||
172 | 49 | 78 | 56 | 4 | 2 | |||||||||||||||||
116 | 34 | 53 | 22 | 7 | 1 | |||||||||||||||||
23 | 7 | 11 | 4 | 1 | — | |||||||||||||||||
12 | 6 | 10 | 2 | 1 | — | |||||||||||||||||
1,036 | — | 49 | — | — | — | |||||||||||||||||
— | — | — | 3 | — | — | |||||||||||||||||
89 | 89 | 59 | 48 | 5 | 1 | |||||||||||||||||
11,859 | 5,041 | 5,283 | 4,703 | 525 | 123 | |||||||||||||||||
(5,139 | ) | (1,426 | ) | (1,646 | ) | (1,654 | ) | (58 | ) | (22 | ) | |||||||||||
(1,478 | ) | (450 | ) | (713 | ) | (253 | ) | (93 | ) | (9 | ) | |||||||||||
(15 | ) | — | — | — | — | — | ||||||||||||||||
5,227 | 3,165 | 2,924 | 2,796 | 374 | 92 | |||||||||||||||||
109,617 | 79,711 | 70,004 | 35,818 | 2,090 | (66 | ) | ||||||||||||||||
122,657 | 35,881 | 68,631 | 38,234 | 2,357 | 723 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
(4,980 | ) | — | 3,682 | (83 | ) | (252 | ) | (553 | ) | |||||||||||||
444 | — | — | — | — | — | |||||||||||||||||
(4,300 | ) | (450 | ) | (440 | ) | (4 | ) | — | — | |||||||||||||
95 | — | — | (705 | ) | — | — | ||||||||||||||||
76,844 | 44,751 | 41,333 | 25,028 | 4,453 | — | |||||||||||||||||
1,322 | 6,513 | — | (33 | ) | — | — | ||||||||||||||||
437 | — | 8,415 | 15 | — | 1,388 | |||||||||||||||||
51 | — | — | — | — | — | |||||||||||||||||
3,725 | (555 | ) | 511 | 134 | — | — | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
| (138 | ) | — | — | 943 | — | — | |||||||||||||||
$ | 305,774 | $ | 165,851 | $ | 192,136 | $ | 99,347 | $ | 8,648 | $ | 1,492 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 123 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2010 (unaudited) and the year ended May 31, 2010
Large Cap Fund | Large Cap Diversified Alpha Fund | |||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 9,435 | $ | 14,146 | $ | 2,380 | $ | 4,520 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts | 20,993 | 52,197 | (8,368 | ) | 45,041 | |||||||||||
Net Realized Loss on Foreign Currency Transactions | — | — | — | (9 | ) | |||||||||||
Net Change in Unrealized Appreciation on Investments, Affiliated Investments and Future Contracts | 95,953 | 51,674 | 39,767 | 21,406 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | — | — | — | 1 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 126,381 | 118,017 | 33,779 | 70,959 | ||||||||||||
Dividends From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (9,282 | ) | (12,504 | ) | (1,600 | ) | (4,456 | ) | ||||||||
Total Dividends | (9,282 | ) | (12,504 | ) | (1,600 | ) | (4,456 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 381,674 | 780,894 | (2) | 29,218 | 53,221 | |||||||||||
Reinvestment of Dividends & Distributions | 9,134 | 11,980 | 1,294 | 3,677 | ||||||||||||
Cost of Shares Redeemed | (239,432 | )(3) | (194,426 | ) | (42,663 | ) | (101,903 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 151,376 | 598,448 | (12,151 | ) | (45,005 | ) | ||||||||||
Net Increase in Net Assets | 268,475 | 703,961 | 20,028 | 21,498 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,230,382 | 526,421 | 352,500 | 331,002 | ||||||||||||
End of Period | $ | 1,498,857 | $ | 1,230,382 | $ | 372,528 | $ | 352,500 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | 3,474 | $ | 3,321 | $ | 2,170 | $ | 1,390 |
(1) | See Note 6 in the Notes to Financial Statements for additional information. |
(2) | Includes subscriptions as a result of an in-kind transfers of securities (see Note 10). |
(3) | Includes redemptions as a result of an in-kind transfers of securities (see Note 10). |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
124 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Large Cap Disciplined Equity Fund | Large Cap Index Fund | Small Cap Fund | ||||||||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | |||||||||||||||||
$ | 58,314 | $ | 122,842 | $ | 5,132 | $ | 10,626 | $ | 5,474 | $ | 10,570 | |||||||||||
147,646 | 931,525 | (10,210 | ) | (10,201 | ) | 59,020 | 115,418 | |||||||||||||||
— | (795 | ) | — | — | (27 | ) | (39 | ) | ||||||||||||||
409,614 | 304,274 | 52,316 | 91,698 | 58,870 | 222,973 | |||||||||||||||||
— | 802 | — | — | (3 | ) | (2 | ) | |||||||||||||||
615,574 | 1,358,648 | 47,238 | 92,123 | 123,334 | 348,920 | |||||||||||||||||
(47,642 | ) | (113,630 | ) | (5,368 | ) | (10,238 | ) | (5,314 | ) | (10,767 | ) | |||||||||||
(47,642 | ) | (113,630 | ) | (5,368 | ) | (10,238 | ) | (5,314 | ) | (10,767 | ) | |||||||||||
704,162 | 1,258,268 | (2) | 47,242 | 142,340 | 118,737 | 229,238 | (2) | |||||||||||||||
46,936 | 110,682 | 5,210 | 9,924 | 4,908 | 9,886 | |||||||||||||||||
(807,972 | ) | (1,696,325 | ) | (71,261 | ) | (78,921 | ) | (131,466 | ) | (223,389 | ) | |||||||||||
(56,874 | ) | (327,375 | ) | (18,809 | ) | 73,343 | (7,821 | ) | 15,735 | |||||||||||||
511,058 | 917,643 | 23,061 | 155,228 | 110,199 | 353,888 | |||||||||||||||||
6,960,762 | 6,043,119 | 509,120 | 353,892 | 1,339,748 | 985,860 | |||||||||||||||||
$ | 7,471,820 | $ | 6,960,762 | $ | 532,181 | $ | 509,120 | $ | 1,449,947 | $ | 1,339,748 | |||||||||||
$ | 43,591 | $ | 32,919 | $ | 1,612 | $ | 1,848 | $ | 1,830 | $ | 1,670 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 125 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2010 (unaudited) and the year ended May 31, 2010
Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 7,481 | $ | 16,622 | $ | 1,620 | $ | 5,577 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions Futures Contracts and Swap Contracts | 129,800 | 188,860 | 23,910 | 21,373 | ||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (329 | ) | (215 | ) | — | — | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Future Contracts and Swap Contracts | 61,754 | 418,448 | (8,416 | ) | 24,616 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gains Tax | — | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | (17 | ) | (4 | ) | — | — | ||||||||||
Net Increase in Net Assets Resulting from Operations | 198,689 | 623,711 | 17,114 | 51,566 | ||||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (6,761 | ) | (23,438 | ) | (2,070 | ) | (5,539 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | — | (4,493 | ) | |||||||||||
Total Dividends and Distributions | (6,761 | ) | (23,438 | ) | (2,070 | ) | (10,032 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 188,739 | 390,769 | 18,942 | (2) | 45,965 | |||||||||||
Reinvestment of Dividends & Distributions | 6,682 | 22,917 | 2,053 | 10,025 | ||||||||||||
Cost of Shares Redeemed | (460,780 | ) | (674,340 | ) | (150,933 | ) | (80,290 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (265,359 | ) | (260,654 | ) | (129,938 | ) | (24,300 | ) | ||||||||
Net Increase (Decrease) in Net Assets | (73,431 | ) | 339,619 | (114,894 | ) | 17,234 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 2,064,443 | 1,724,824 | 255,094 | 237,860 | ||||||||||||
End of Period | $ | 1,991,012 | $ | 2,064,443 | $ | 140,200 | $ | 255,094 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 2,174 | $ | 1,454 | $ | 373 | $ | 823 |
(1) | See Note 6 in the Notes to Financial Statements for additional information. |
(2) | Includes subscriptions as a result of an in-kind transfers of securities (see Note 10). |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
126 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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International Equity Fund | World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | |||||||||||||||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | |||||||||||||||||||||||
$ | 3,726 | $ | 16,417 | $ | 29,337 | $ | 70,990 | $ | 314 | $ | 1,156 | $ | 1,172 | $ | 4,348 | |||||||||||||||
10,669 | 90,023 | 41,302 | 400,245 | 273 | 4,715 | (55 | ) | (20,935 | ) | |||||||||||||||||||||
(3,243 | ) | 4,439 | (13,778 | ) | 13,721 | (80 | ) | (49 | ) | — | (78 | ) | ||||||||||||||||||
71,683 | (53,314 | ) | 522,043 | (224,368 | ) | 9,391 | (21 | ) | 2,797 | 35,722 | ||||||||||||||||||||
— | — | (478 | ) | 586 | — | — | — | — | ||||||||||||||||||||||
105 | (1,623 | ) | 104 | (7,251 | ) | 1 | (17 | ) | — | 79 | ||||||||||||||||||||
82,940 | 55,942 | 578,530 | 253,923 | 9,899 | 5,784 | 3,914 | 19,136 | |||||||||||||||||||||||
— | (13,386 | ) | — | (75,180 | ) | — | (912 | ) | (1,423 | ) | (2,810 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | (13,386 | ) | — | (75,180 | ) | — | (912 | ) | (1,423 | ) | (2,810 | ) | ||||||||||||||||||
62,254 | 168,088 | 670,143 | 1,300,345 | 5,463 | 25,764 | 35,733 | 6,304 | |||||||||||||||||||||||
— | 11,628 | — | 73,000 | — | 785 | 1,333 | 1,051 | |||||||||||||||||||||||
(212,369 | ) | (321,669 | ) | (460,490 | ) | (561,231 | ) | (4,343 | ) | (14,785 | ) | (16,141 | ) | (73,275 | ) | |||||||||||||||
(150,115 | ) | (141,953 | ) | 209,653 | 812,114 | 1,120 | 11,764 | 20,925 | (65,920 | ) | ||||||||||||||||||||
(67,175 | ) | (99,397 | ) | 788,183 | 990,857 | 11,019 | 16,636 | 23,416 | (49,594 | ) | ||||||||||||||||||||
605,479 | 704,876 | 3,712,614 | 2,721,757 | 68,743 | 52,107 | 115,519 | 165,113 | |||||||||||||||||||||||
$ | 538,304 | $ | 605,479 | $ | 4,500,797 | $ | 3,712,614 | $ | 79,762 | $ | 68,743 | $ | 138,935 | $ | 115,519 | |||||||||||||||
$ | 25,677 | $ | 21,951 | $ | 83,066 | $ | 53,729 | $ | 1,135 | $ | 821 | $ | 2,336 | $ | 2,587 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 127 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2010 (unaudited) and the year ended May 31, 2010
Core Fixed Income Fund | High Yield Bond Fund | |||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income (Loss) | $ | 109,617 | $ | 250,203 | $ | 79,711 | $ | 148,363 | ||||||||
Net Realized Gain from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts | 113,821 | 130,778 | 35,431 | 64,320 | ||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 95 | 416 | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options Futures Contracts and Swap Contracts | 82,379 | 356,650 | 50,709 | 240,831 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | (138 | ) | 541 | — | — | |||||||||||
Net Increase in Net Assets Resulting from Operations | 305,774 | 738,588 | 165,851 | 453,514 | ||||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (113,909 | ) | (257,305 | ) | (78,061 | ) | (141,645 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | — | (3,523 | ) | |||||||||||
Total Dividends and Distributions | (113,909 | ) | (257,305 | ) | (78,061 | ) | (145,168 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 927,398 | 2,283,474 | 383,130 | 483,963 | ||||||||||||
Reinvestment of Dividends & Distributions | 106,249 | 235,877 | 75,487 | 138,393 | ||||||||||||
Cost of Shares Redeemed | (850,110 | ) | (1,835,519 | ) | (277,045 | ) | (535,365 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 183,537 | 683,832 | 181,572 | 86,991 | ||||||||||||
Net Increase in Net Assets | 375,402 | 1,165,115 | 269,362 | 395,337 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 5,705,708 | 4,540,593 | 1,634,608 | 1,239,271 | ||||||||||||
End of Period | $ | 6,081,110 | $ | 5,705,708 | $ | 1,903,970 | $ | 1,634,608 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | 4,637 | $ | 8,929 | $ | 1,699 | $ | 49 |
(1) | See Note 4 in the Notes to Financial Statements for additional information. |
(2) | Commenced operations on August 2, 2010. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
128 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Long Duration Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund(2) | |||||||||||||||||||||||
6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 | ||||||||||||||||||||
$ | 70,004 | $ | 112,088 | $ | 35,818 | $ | 77,877 | $ | 2,090 | $ | 8,931 | $ | (66 | ) | ||||||||||||
71,873 | 32,301 | 38,147 | 39,929 | 2,105 | 11,088 | 170 | ||||||||||||||||||||
— | — | (705 | ) | 5,771 | — | 44 | — | |||||||||||||||||||
50,259 | 175,210 | 25,144 | 87,960 | 4,453 | (5,139 | ) | 1,388 | |||||||||||||||||||
— | — | 943 | (1,104 | ) | — | — | — | |||||||||||||||||||
192,136 | 319,599 | 99,347 | 210,433 | 8,648 | 14,924 | 1,492 | ||||||||||||||||||||
(67,176 | ) | (113,770 | ) | (27,406 | ) | (95,106 | ) | (2,855 | ) | (6,985 | ) | — | ||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
(67,176 | ) | (113,770 | ) | (27,406 | ) | (95,106 | ) | (2,855 | ) | (6,985 | ) | — | ||||||||||||||
311,692 | 1,092,791 | 155,086 | 257,845 | 115,567 | 162,256 | 100,645 | ||||||||||||||||||||
66,309 | 113,670 | 26,358 | 90,608 | 2,533 | 4,464 | — | ||||||||||||||||||||
(399,360 | ) | (165,150 | ) | (205,385 | ) | (375,408 | ) | (112,850 | ) | (108,378 | ) | — | ||||||||||||||
(21,359 | ) | 1,041,311 | (23,941 | ) | (26,955 | ) | 5,250 | 58,342 | 100,645 | |||||||||||||||||
103,601 | 1,247,140 | 48,000 | 88,372 | 11,043 | 66,281 | 102,137 | ||||||||||||||||||||
2,736,187 | 1,489,047 | 989,598 | 901,226 | 326,758 | 260,477 | — | ||||||||||||||||||||
$ | 2,839,788 | $ | 2,736,187 | $ | 1,037,598 | $ | 989,598 | $ | 337,801 | $ | 326,758 | $ | 102,137 | |||||||||||||
$ | (180 | ) | $ | (3,008 | ) | $ | 3,317 | $ | (5,095 | ) | $ | 1,154 | $ | 1,919 | $ | (66 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 129 |
Table of Contents
For the period ended November 30, 2010 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(2) | Net Realized and Unrealized Gains (Losses) on Securities(2) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 14.84 | $ | 0.11 | $ | 1.31 | $ | 1.42 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 16.15 | 9.63 | % | $ | 1,498,857 | 0.26 | % | 0.26 | % | 0.46 | % | 1.39 | % | 46 | % | ||||||||||||||||||||||||||||
2010 | 12.55 | 0.23 | 2.28 | 2.51 | (0.22 | ) | — | (0.22 | ) | 14.84 | 20.05 | 1,230,382 | 0.26 | 0.26 | 0.47 | 1.56 | 72 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 18.75 | 0.28 | (6.22 | ) | (5.94 | ) | (0.26 | ) | — | (0.26 | ) | 12.55 | (31.73 | ) | 526,421 | 0.25 | 0.26 | 0.48 | 2.16 | 81 | ||||||||||||||||||||||||||||||||||||||||
2008 | 20.31 | 0.32 | (1.52 | ) | (1.20 | ) | (0.36 | ) | — | (0.36 | ) | 18.75 | (5.95 | ) | 361,156 | 0.26 | 0.26 | 0.47 | 1.66 | 57 | ||||||||||||||||||||||||||||||||||||||||
2007 | 16.93 | 0.28 | 3.40 | 3.68 | (0.30 | ) | — | (0.30 | ) | 20.31 | 21.97 | 693,994 | 0.26 | 0.26 | 0.46 | 1.57 | 47 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 15.53 | 0.24 | 1.44 | 1.68 | (0.28 | ) | — | (0.28 | ) | 16.93 | 10.87 | 801,217 | 0.25 | 0.26 | 0.48 | 1.47 | 103 | |||||||||||||||||||||||||||||||||||||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 7.69 | $ | 0.05 | $ | 0.72 | $ | 0.77 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 8.42 | 10.00 | % | $ | 372,528 | 0.32 | % | 0.32 | % | 0.47 | % | 1.35 | % | 66 | % | ||||||||||||||||||||||||||||
2010 | 6.35 | 0.09 | 1.34 | 1.43 | (0.09 | ) | — | (0.09 | ) | 7.69 | 22.61 | 352,500 | 0.31 | 0.31 | 0.47 | 1.26 | 95 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 10.23 | 0.10 | (3.91 | ) | (3.81 | ) | (0.07 | )** | — | (0.07 | ) | 6.35 | (37.33 | ) | 331,002 | 0.48 | * | 0.48 | * | 0.64 | 1.41 | 132 | ||||||||||||||||||||||||||||||||||||||
2008 | 11.94 | 0.13 | (1.15 | ) | (1.02 | ) | (0.17 | ) | (0.52 | ) | (0.69 | ) | 10.23 | (8.80 | ) | 552,361 | 0.64 | * | 0.64 | * | 0.79 | 1.17 | 77 | |||||||||||||||||||||||||||||||||||||
2007 | 9.94 | 0.19 | 2.04 | 2.23 | (0.16 | ) | (0.07 | ) | (0.23 | ) | 11.94 | 22.64 | 453,954 | 0.62 | * | 0.62 | * | 0.74 | 1.77 | 132 | ||||||||||||||||||||||||||||||||||||||||
2006(1) | 10.00 | 0.04 | (0.09 | ) | (0.05 | ) | (0.01 | ) | — | (0.01 | ) | 9.94 | (0.49 | ) | 139,046 | 0.45 | * | 0.45 | * | 0.66 | 1.70 | 47 | ||||||||||||||||||||||||||||||||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 8.86 | $ | 0.07 | $ | 0.70 | $ | 0.77 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 9.57 | 8.75 | % | $ | 7,471,820 | 0.19 | % | 0.19 | % | 0.47 | % | 1.63 | % | 73 | % | ||||||||||||||||||||||||||||
2010 | 7.36 | 0.15 | 1.49 | 1.64 | (0.14 | ) | — | (0.14 | ) | 8.86 | 22.32 | 6,960,762 | 0.18 | 0.18 | 0.47 | 1.74 | 104 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 12.07 | 0.16 | (4.75 | ) | (4.59 | ) | (0.12 | )*** | — | (0.12 | ) | 7.36 | (38.18 | ) | 6,043,119 | 0.19 | 0.19 | 0.47 | 1.97 | 108 | ||||||||||||||||||||||||||||||||||||||||
2008 | 14.38 | 0.22 | (1.54 | ) | (1.32 | ) | (0.25 | ) | (0.74 | ) | (0.99 | ) | 12.07 | (9.57 | ) | 8,767,342 | 0.19 | 0.19 | 0.47 | 1.70 | 111 | |||||||||||||||||||||||||||||||||||||||
2007†† | 12.36 | 0.51 | 2.27 | 2.78 | (0.30 | ) | (0.46 | ) | (0.76 | ) | 14.38 | 23.15 | 7,833,212 | 0.23 | (3) | 0.23 | (3) | 0.47 | (3) | 2.43 | 135 | |||||||||||||||||||||||||||||||||||||||
2006†† | 12.05 | 0.26 | 0.85 | 1.11 | (0.22 | ) | (0.58 | ) | (0.80 | ) | 12.36 | 9.33 | 4,938,416 | 0.24 | 0.24 | 0.47 | 2.10 | 140 | ||||||||||||||||||||||||||||||||||||||||||
Large Cap Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 94.53 | $ | 0.98 | $ | 8.18 | $ | 9.16 | $ | (1.04 | ) | $ | — | $ | (1.04 | ) | $ | 102.65 | 9.79 | % | $ | 532,181 | 0.06 | % | 0.06 | % | 0.24 | % | 2.02 | % | 10 | % | ||||||||||||||||||||||||||||
2010 | 78.92 | 2.01 | 15.53 | 17.54 | (1.93 | ) | — | (1.93 | ) | 94.53 | 22.34 | 509,120 | 0.06 | 0.06 | 0.24 | 2.17 | 11 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 121.02 | 2.13 | (41.96 | ) | (39.83 | ) | (2.13 | ) | (0.14 | ) | (2.27 | ) | 78.92 | (32.99 | ) | 353,892 | 0.06 | 0.06 | 0.25 | 2.56 | 18 | |||||||||||||||||||||||||||||||||||||||
2008 | 135.30 | 2.47 | (10.72 | ) | (8.25 | ) | (2.52 | ) | (3.51 | ) | (6.03 | ) | 121.02 | (6.25 | ) | 386,873 | 0.06 | 0.06 | 0.24 | 1.97 | 14 | |||||||||||||||||||||||||||||||||||||||
2007 | 113.02 | 2.29 | 23.15 | 25.44 | (2.33 | ) | (0.83 | ) | (3.16 | ) | 135.30 | 22.87 | 416,933 | 0.06 | 0.06 | 0.24 | 1.88 | 10 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 106.24 | 2.06 | 7.77 | 9.83 | (1.94 | ) | (1.11 | ) | (3.05 | ) | 113.02 | 9.34 | 367,084 | 0.08 | 0.08 | 0.24 | 1.84 | 20 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 10.69 | $ | 0.04 | $ | 0.96 | $ | 1.00 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 11.65 | 9.43 | % | $ | 1,449,947 | 0.54 | % | 0.54 | % | 0.72 | % | 0.81 | % | 37 | % | ||||||||||||||||||||||||||||
2010 | 7.97 | 0.08 | 2.73 | 2.81 | (0.09 | ) | — | (0.09 | ) | 10.69 | 35.32 | 1,339,748 | 0.53 | 0.54 | 0.72 | 0.86 | 106 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 12.42 | 0.11 | (4.37 | ) | (4.26 | ) | (0.19 | ) | — | (0.19 | ) | 7.97 | (34.27 | ) | 985,860 | 0.52 | 0.54 | 0.72 | 1.26 | 122 | ||||||||||||||||||||||||||||||||||||||||
2008 | 16.44 | 0.11 | (2.26 | ) | (2.15 | ) | (0.12 | ) | (1.75 | ) | (1.87 | ) | 12.42 | (13.58 | ) | 1,819,700 | 0.52 | 0.54 | 0.72 | 0.80 | 99 | |||||||||||||||||||||||||||||||||||||||
2007 | 15.52 | 0.10 | 2.85 | 2.95 | (0.12 | ) | (1.91 | ) | (2.03 | ) | 16.44 | 20.32 | 2,136,857 | 0.52 | 0.54 | 0.72 | 0.67 | 92 | ||||||||||||||||||||||||||||||||||||||||||
2006 | 14.27 | 0.07 | 2.55 | 2.62 | (0.06 | ) | (1.31 | ) | (1.37 | ) | 15.52 | 18.93 | 1,951,138 | 0.52 | 0.54 | 0.72 | 0.44 | 119 |
@ | For the six-month period ended November 30, 2010. All ratios for the period have been annualized. |
* | The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31% for the period ended May 31, 2009 and 0.32%, 0.35% and 0.34% for 2008, 2007 and 2006, respectively. |
** | Includes a return of capital of $0.05 per share. See Note 8 in Notes to Financial Statements. |
*** | Includes a return of capital of $0.10 per share. See Note 8 in Notes to Financial Statements. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
†† | Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. |
(1) | Commenced operations on February 28, 2006. All ratios for the period have been annualized. |
(2) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(3) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.22%, 0.22%, and 0.47%, respectively. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
130 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Financial Highlights
For the period ended November 30, 2010 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(3) | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 10.53 | $ | 0.04 | $ | 1.12 | $ | 1.16 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 11.65 | 11.03 | % | $ | 1,991,012 | 0.49 | % | 0.50 | % | 0.72 | % | 0.76 | % | 42 | % | ||||||||||||||||||||||||||||
2010 | 7.85 | 0.08 | 2.71 | 2.79 | (0.11 | ) | — | (0.11 | ) | 10.53 | 35.79 | 2,064,443 | 0.49 | 0.50 | 0.72 | 0.79 | 97 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 12.22 | 0.12 | (4.36 | ) | (4.24 | ) | (0.13 | ) | — | (0.13 | ) | 7.85 | (34.70 | ) | 1,724,824 | 0.48 | 0.50 | 0.72 | 1.40 | 125 | ||||||||||||||||||||||||||||||||||||||||
2008 | 14.95 | 0.12 | (1.91 | ) | (1.79 | ) | (0.12 | ) | (0.82 | ) | (0.94 | ) | 12.22 | (12.14 | ) | 2,373,056 | 0.49 | 0.50 | 0.72 | 0.97 | 95 | |||||||||||||||||||||||||||||||||||||||
2007†† | 13.38 | 0.19 | 2.57 | 2.76 | (0.13 | ) | (1.06 | ) | (1.19 | ) | 14.95 | 21.60 | 1,865,746 | 0.48 | 0.50 | 0.72 | 0.85 | 104 | ||||||||||||||||||||||||||||||||||||||||||
2006†† | 11.96 | 0.09 | 1.97 | 2.06 | (0.08 | ) | (0.56 | ) | (0.64 | ) | 13.38 | 17.51 | 1,216,640 | 0.50 | 0.53 | 0.72 | 0.69 | 123 | ||||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 11.16 | $ | 0.11 | $ | 0.94 | $ | 1.05 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 12.09 | 9.48 | % | $ | 140,200 | 0.35 | % | 0.35 | % | 0.72 | % | 1.87 | % | 55 | % | ||||||||||||||||||||||||||||
2010 | 9.55 | 0.22 | 1.78 | 2.00 | (0.22 | ) | (0.17 | ) | (0.39 | ) | 11.16 | 21.12 | 255,094 | 0.35 | 0.35 | 0.72 | 2.04 | 58 | ||||||||||||||||||||||||||||||||||||||||||
2009(2) | 10.00 | 0.09 | (0.51 | ) | (0.42 | ) | (0.03 | ) | — | (0.03 | ) | 9.55 | (4.16 | ) | 237,860 | 0.35 | 0.35 | 0.75 | 2.31 | 31 | ||||||||||||||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 6.37 | $ | 0.04 | $ | 0.89 | $ | 0.93 | $ | — | $ | — | $ | — | $ | 7.30 | 14.60 | % | $ | 538,304 | 0.39 | % | 0.39 | % | 0.63 | % | 1.25 | % | 55 | % | ||||||||||||||||||||||||||||||
2010 | 6.08 | 0.15 | 0.27 | 0.42 | (0.13 | ) | — | (0.13 | ) | 6.37 | 6.68 | 605,479 | 0.39 | 0.39 | 0.64 | 2.25 | 153 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 11.12 | 0.21 | (5.15 | ) | (4.94 | ) | (0.09 | ) | (0.01 | ) | (0.10 | ) | 6.08 | (44.32 | ) | 704,876 | 0.39 | (8) | 0.39 | (8) | 0.61 | (8) | 3.03 | 200 | ||||||||||||||||||||||||||||||||||||
2008 | 14.27 | 0.37 | (1.05 | ) | (0.68 | ) | (0.44 | ) | (2.03 | ) | (2.47 | ) | 11.12 | (5.52 | ) | 1,452,962 | 0.40 | (7) | 0.41 | (7) | 0.62 | (7) | 2.99 | 145 | ||||||||||||||||||||||||||||||||||||
2007 | 14.05 | 0.37 | 3.12 | 3.49 | (0.50 | ) | (2.77 | ) | (3.27 | ) | 14.27 | 28.00 | 1,790,634 | 0.50 | (4) | 0.50 | (4) | 0.71 | (4) | 2.69 | 153 | |||||||||||||||||||||||||||||||||||||||
2006 | 11.15 | 0.29 | 3.09 | 3.38 | (0.37 | ) | (0.11 | ) | (0.48 | ) | 14.05 | 30.77 | 1,656,985 | 0.36 | 0.36 | 0.63 | 2.30 | 116 | ||||||||||||||||||||||||||||||||||||||||||
World Equity Ex-US Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 9.09 | $ | 0.07 | $ | 1.29 | $ | 1.36 | $ | — | $ | — | $ | — | $ | 10.45 | 14.96 | % | $ | 4,500,797 | 0.45 | % | 0.45 | % | 0.64 | % | 1.39 | % | 34 | % | ||||||||||||||||||||||||||||||
2010 | 8.39 | 0.20 | 0.72 | 0.92 | (0.22 | ) | — | (0.22 | ) | 9.09 | 10.74 | 3,712,614 | 0.45 | 0.45 | 0.65 | 2.10 | 149 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 14.56 | 0.26 | (6.43 | ) | (6.17 | ) | — | — | — | 8.39 | (42.38 | ) | 2,721,757 | 0.45 | (9) | 0.45 | (9) | 0.66 | (9) | 3.03 | 171 | |||||||||||||||||||||||||||||||||||||||
2008 | 15.96 | 0.38 | (0.51 | ) | (0.13 | ) | (0.39 | ) | (0.88 | ) | (1.27 | ) | 14.56 | (1.14 | ) | 3,301,120 | 0.57 | 0.57 | 0.67 | 2.58 | 153 | |||||||||||||||||||||||||||||||||||||||
2007 | 12.99 | 0.35 | 3.47 | 3.82 | (0.33 | ) | (0.52 | ) | (0.85 | ) | 15.96 | 30.29 | 2,053,014 | 0.71 | (5) | 0.71 | (5) | 0.77 | (5) | 2.45 | 154 | |||||||||||||||||||||||||||||||||||||||
2006 | 9.81 | 0.27 | 3.01 | 3.28 | (0.09 | ) | (0.01 | ) | (0.10 | ) | 12.99 | 33.52 | 908,582 | 0.60 | 0.61 | 0.76 | 2.22 | 104 | ||||||||||||||||||||||||||||||||||||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 7.04 | $ | 0.03 | $ | 1.01 | $ | 1.04 | $ | — | $ | — | $ | — | $ | 8.08 | 14.77 | % | $ | 79,762 | 0.80 | % | 0.80 | % | 1.26 | % | 0.84 | % | 42 | % | ||||||||||||||||||||||||||||||
2010 | 6.42 | 0.13 | 0.58 | 0.71 | (0.09 | ) | — | (0.09 | ) | 7.04 | 11.00 | 68,743 | 0.80 | 0.80 | 1.06 | 1.69 | 161 | |||||||||||||||||||||||||||||||||||||||||||
2009(1) | 10.00 | 0.14 | (3.66 | ) | (3.52 | ) | (0.06 | ) | — | (0.06 | ) | 6.42 | (35.12 | ) | 52,107 | 0.80 | 0.80 | 1.10 | 2.38 | 101 | ||||||||||||||||||||||||||||||||||||||||
Enhanced LIBOR Opportunities Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 7.69 | $ | 0.08 | $ | 0.19 | $ | 0.27 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 7.86 | 3.51 | % | $ | 138,935 | 0.41 | % | 0.41 | % | 0.54 | % | 2.05 | % | 15 | % | ||||||||||||||||||||||||||||
2010 | 6.95 | 0.21 | 0.67 | 0.88 | (0.14 | ) | — | (0.14 | ) | 7.69 | 12.66 | 115,519 | 0.41 | 0.41 | 0.54 | 2.85 | 12 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 9.11 | 0.22 | (2.22 | ) | (2.00 | ) | (0.16 | )* | — | (0.16 | ) | 6.95 | (22.20 | ) | 165,113 | 0.41 | 0.41 | 0.54 | 2.91 | 27 | ||||||||||||||||||||||||||||||||||||||||
2008 | 10.14 | 0.42 | (1.00 | ) | (0.58 | ) | (0.44 | ) | (0.01 | ) | (0.45 | ) | 9.11 | (5.88 | ) | 244,380 | 0.42 | 0.42 | 0.55 | 4.45 | 25 | |||||||||||||||||||||||||||||||||||||||
2007(6) | 10.00 | 0.27 | 0.03 | 0.30 | (0.16 | ) | — | (0.16 | ) | 10.14 | 3.02 | 123,430 | 0.44 | 0.44 | 0.54 | 5.84 | 53 |
@ | For the six-month period ended November 30, 2010. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.04 per share. See Note 8 in Notes to Financial Statements. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
†† | Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. |
(1) | Commenced operations on June 30, 2008. All ratios for the period have been annualized. |
(2) | Commenced operations on December 30, 2008. All ratios for the period have been annualized. |
(3) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(4) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.37%, 0.37%, and 0.59%, respectively. |
(5) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.60%, 0.60%, and 0.67%, respectively. |
(6) | Commenced operations on December 14, 2006. All ratios for the period have been annualized. |
(7) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.39%, 0.40%, and 0.61%, respectively. |
(8) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.39%, 0.39%, and 0.61%, respectively. |
(9) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.45%, 0.45%, and 0.66%, respectively. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 131 |
Table of Contents
Financial Highlights
For the period ended November 30, 2010 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 10.35 | $ | 0.20 | $ | 0.36 | $ | 0.56 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 10.70 | 5.39 | % | $ | 6,081,110 | 0.18 | %(5) | 0.18 | %(5) | 0.40 | %(5) | 3.71 | % | 202 | % | ||||||||||||||||||||||||||||
2010 | 9.42 | 0.47 | 0.95 | 1.42 | (0.49 | ) | — | (0.49 | ) | 10.35 | 15.34 | 5,705,708 | 0.14 | 0.14 | 0.37 | 4.71 | 242 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 9.95 | 0.52 | (0.38 | ) | 0.14 | (0.52 | ) | (0.15 | ) | (0.67 | ) | 9.42 | 1.85 | 4,540,593 | 0.14 | 0.14 | 0.37 | 5.56 | 411 | |||||||||||||||||||||||||||||||||||||||||
2008 | 9.99 | 0.54 | (0.04 | ) | 0.50 | (0.54 | ) | — | (0.54 | ) | 9.95 | 5.10 | 6,149,448 | 0.14 | 0.14 | 0.37 | 5.35 | 432 | ||||||||||||||||||||||||||||||||||||||||||
2007 | 9.84 | 0.53 | 0.14 | 0.67 | (0.52 | ) | — | (0.52 | ) | 9.99 | 6.95 | 5,894,127 | 0.14 | 0.14 | 0.37 | 5.23 | 428 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 10.34 | 0.47 | (0.48 | ) | (0.01 | ) | (0.48 | ) | (0.01 | ) | (0.49 | ) | 9.84 | (0.09 | ) | 4,646,403 | 0.14 | 0.14 | 0.37 | 4.62 | 545 | |||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 8.74 | $ | 0.40 | $ | 0.44 | $ | 0.84 | $ | (0.39 | ) | $ | — | $ | (0.39 | ) | $ | 9.19 | 9.80 | % | $ | 1,903,970 | 0.35 | % | 0.35 | % | 0.56 | % | 8.86 | % | 45 | % | ||||||||||||||||||||||||||||
2010 | 7.00 | 0.84 | 1.72 | 2.56 | (0.80 | ) | (0.02 | ) | (0.82 | ) | 8.74 | 37.60 | 1,634,608 | 0.35 | 0.35 | 0.56 | 10.03 | 110 | ||||||||||||||||||||||||||||||||||||||||||
2009 | 9.17 | 0.80 | (2.14 | ) | (1.34 | ) | (0.77 | ) | (0.06 | ) | (0.83 | ) | 7.00 | (13.79 | ) | 1,239,271 | 0.35 | 0.35 | 0.56 | 11.34 | 79 | |||||||||||||||||||||||||||||||||||||||
2008 | 10.33 | 0.82 | (1.07 | ) | (0.25 | ) | (0.82 | ) | (0.09 | ) | (0.91 | ) | 9.17 | (2.36 | ) | 1,399,859 | 0.35 | 0.35 | 0.55 | 8.63 | 59 | |||||||||||||||||||||||||||||||||||||||
2007 | 10.08 | 0.84 | 0.30 | 1.14 | (0.84 | ) | (0.05 | ) | (0.89 | ) | 10.33 | 11.81 | 1,241,924 | 0.35 | 0.35 | 0.56 | 8.25 | 98 | ||||||||||||||||||||||||||||||||||||||||||
2006(2) | 10.00 | 0.40 | 0.08 | 0.48 | (0.40 | ) | — | (0.40 | ) | 10.08 | 4.85 | 862,371 | 0.35 | 0.35 | 0.57 | 8.15 | 58 | |||||||||||||||||||||||||||||||||||||||||||
Long Duration Fund |
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Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 8.69 | $ | 0.22 | $ | 0.40 | $ | 0.62 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | 9.09 | 7.07 | % | $ | 2,839,788 | 0.20 | % | 0.20 | % | 0.37 | % | 4.91 | % | 44 | % | ||||||||||||||||||||||||||||
2010 | 7.77 | 0.45 | 0.93 | 1.38 | (0.46 | ) | — | (0.46 | ) | 8.69 | 18.11 | 2,736,187 | 0.20 | 0.20 | 0.37 | 5.42 | 113 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 8.57 | 0.39 | (0.72 | ) | (0.33 | ) | (0.47 | ) | — | (0.47 | ) | 7.77 | (3.89 | ) | 1,489,047 | 0.20 | 0.20 | 0.39 | 4.88 | 95 | ||||||||||||||||||||||||||||||||||||||||
2008 | 9.52 | 0.51 | (0.91 | ) | (0.40 | ) | (0.55 | ) | — | (0.55 | ) | 8.57 | (4.52 | ) | 115,754 | 0.20 | 0.20 | 0.39 | 5.47 | 58 | ||||||||||||||||||||||||||||||||||||||||
2007 | 9.31 | 0.53 | 0.18 | 0.71 | (0.50 | ) | — | (0.50 | ) | 9.52 | 7.67 | 184,616 | 0.20 | 0.20 | 0.38 | 5.49 | 97 | |||||||||||||||||||||||||||||||||||||||||||
2006 | 10.56 | 0.46 | (1.07 | ) | (0.61 | ) | (0.54 | ) | (0.10 | ) | (0.64 | ) | 9.31 | (6.08 | ) | 165,324 | 0.20 | 0.20 | 0.39 | 4.69 | 113 | |||||||||||||||||||||||||||||||||||||||
Emerging Markets Debt Fund |
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Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 10.47 | $ | 0.40 | $ | 0.69 | $ | 1.09 | $ | (0.30 | ) | $ | — | $ | (0.30 | ) | $ | 11.26 | 10.58 | % | $ | 1,037,598 | 0.55 | % | 0.55 | % | 0.93 | % | 7.08 | % | 45 | % | ||||||||||||||||||||||||||||
2010 | 9.27 | 0.84 | 1.40 | 2.24 | (1.04 | ) | — | (1.04 | ) | 10.47 | 24.93 | 989,598 | 0.55 | 0.55 | 0.93 | 8.12 | 66 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 10.42 | 0.75 | (1.19 | ) | (0.44 | ) | (0.71 | ) | — | (0.71 | ) | 9.27 | (3.55 | ) | 901,226 | 0.55 | 0.55 | 0.94 | 8.56 | 78 | ||||||||||||||||||||||||||||||||||||||||
2008 | 10.95 | 0.70 | (0.37 | ) | 0.33 | (0.75 | ) | (0.11 | ) | (0.86 | ) | 10.42 | 3.24 | 1,062,491 | 0.55 | 0.55 | 0.93 | 6.65 | 66 | |||||||||||||||||||||||||||||||||||||||||
2007 | 9.97 | 0.65 | 1.03 | 1.68 | (0.62 | ) | (0.08 | ) | (0.70 | ) | 10.95 | 17.40 | 804,036 | 0.55 | 0.55 | 0.94 | 6.16 | 89 | ||||||||||||||||||||||||||||||||||||||||||
2006(2) | 10.00 | 0.27 | (0.17 | ) | 0.10 | (0.13 | ) | — | (0.13 | ) | 9.97 | 1.00 | 479,808 | 0.55 | 0.55 | 0.95 | 5.43 | 51 | ||||||||||||||||||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@ | $ | 10.41 | $ | 0.06 | $ | 0.18 | $ | 0.24 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 10.57 | 2.34 | % | $ | 337,801 | 0.20 | % | 0.20 | % | 0.28 | % | 1.12 | % | 44 | % | ||||||||||||||||||||||||||||
2010 | 10.11 | 0.33 | 0.24 | 0.57 | (0.27 | ) | — | (0.27 | ) | 10.41 | 5.70 | 326,758 | 0.29 | 0.29 | 0.55 | 3.18 | 205 | |||||||||||||||||||||||||||||||||||||||||||
2009 | 10.99 | 0.21 | (0.27 | ) | (0.06 | ) | (0.82 | )* | — | (0.82 | ) | 10.11 | (0.17 | ) | 260,477 | 0.36 | 0.36 | 0.78 | 2.01 | 148 | ||||||||||||||||||||||||||||||||||||||||
2008 | 10.10 | 0.58 | 0.75 | 1.33 | (0.34 | ) | (0.10 | ) | (0.44 | ) | 10.99 | 13.30 | 362,129 | 0.43 | 0.43 | 0.77 | 5.36 | 47 | ||||||||||||||||||||||||||||||||||||||||||
2007(1) | 10.00 | 0.26 | (0.03 | ) | 0.23 | (0.13 | ) | — | (0.13 | ) | 10.10 | 2.29 | 221,531 | 0.44 | 0.44 | 0.78 | 5.67 | 18 | ||||||||||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund |
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Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010@(4) | $ | 10.00 | $ | (0.01 | ) | $ | 0.41 | $ | 0.40 | $ | — | $ | — | $ | — | $ | 10.40 | 4.00 | % | $ | 102,137 | 0.50 | % | 0.50 | % | 0.68 | % | (0.36 | )% | 0 | % |
@ | For the six-month period ended November 30, 2010. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.06 per share. See Note 8 in Notes to Financial Statements. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
(1) | Commenced operations on December 14, 2006. All ratios for the period have been annualized. |
(2) | Commenced operations on December 5, 2005. All ratios for the period have been annualized. |
(3) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(4) | Commenced operations on August 2, 2010. All ratios for the period have been annualized. |
(5) | The expense ratio includes interest expense. Had this expense been excluded, the ratio would have been 0.14%, 0.14%, and 0.36%, respectively. |
Amounts designated as “—” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
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Notes to Financial Statements (Unaudited)
November 30, 2010
1. ORGANIZATION
SEI Institutional Investments Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996.
The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 20 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Strategic U.S. Large Cap Equity, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Emerging Markets Equity, Global Equity, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Emerging Markets Debt, Real Return and Dynamic Asset Allocation Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objectives, policies, and strategies.
As of November 30, 2010, the Strategic U.S. Large Cap Equity, Emerging Markets Equity and Global Equity Funds have not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — 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. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued
at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. 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.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided.
The International Equity, World Equity Ex-US and Screened World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these funds based on certain factors and
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these funds that hold international securities will value the non-U.S. securities within that fund that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.
In accordance with GAAP, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that 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 are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — | quoted prices in active markets for identical investments |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) |
Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The valuation techniques used by the Funds to measure fair value during the six month period ended November 30, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six month period ended November 30, 2010, there have been no significant changes to the Trust’s fair valuation methodologies.
Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net
realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
Repurchase Agreements — A Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, those Funds use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no outstanding reverse repurchase agreements as of November 30, 2010.
Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current rate of exchange; and
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(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes 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. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of November 30, 2010, if applicable.
Futures Contracts — All Funds, with the exception of the High Yield Bond and Real Return Funds, utilized futures contracts during the six month period ended November 30, 2010. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. 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 gains or losses 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 of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract
involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of November 30, 2010, if applicable.
Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option/swaption contracts to enhance its returns. When the Fund writes or purchases an option/swaption, 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/swaption written or purchased. Premiums received or paid from writing or purchasing options/ swaptions 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/swaption 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 a loss. The Core Fixed Income Fund had options contracts as of November 30, 2010, as disclosed in the Fund’s Schedule of Investments.
The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of November 30, 2010, if applicable.
Securities Sold Short — As consistent with each Fund’s investment objectives, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. That Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, that Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover a Fund’s short positions. As of November 30, 2010, none of the Funds held any short positions.
Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund
could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of November 30, 2010, if applicable.
Forward Treasury Commitments — A Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when
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determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.
Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a 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 invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and 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.
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 they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.
Collateralized Debt Obligations — A Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. 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.
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 a 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 a 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 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) a 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.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, Enhanced LIBOR Opportunities and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration and High Yield Bond Funds; declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds; and declared and paid annually for the Dynamic Asset Allocation Fund. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 137 |
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
Restricted Securities — As of November 30, 2010, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, these Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at November 30, 2010, were as follows:
Number of Shares/ Face Amount ($ Thousands) | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
Small Cap Fund | ||||||||||||||||||||||||
Rentech | 16,100 | 4/20/07 | 4/20/07 | $ | — | $ | — | 0.00 | % | |||||||||||||||
Titanium Asset Management PP | 122,200 | 8/6/07 | 8/6/07 | 729 | 351 | 0.02 | ||||||||||||||||||
Titanium Asset Management | 122,200 | 6/14/07 | 6/14/07 | — | — | 0.00 | ||||||||||||||||||
Value Creation | 119,600 | 2/29/08 | 2/29/08 | 1,225 | 121 | 0.01 | ||||||||||||||||||
$ | 1,954 | $ | 472 | 0.03 | % | |||||||||||||||||||
Small/Mid Cap Equity Fund | ||||||||||||||||||||||||
Rentech | 13,800 | 4/20/07 | 4/20/07 | $ | — | $ | — | 0.00 | % | |||||||||||||||
Titanium Asset Management PP | 105,000 | 8/6/07 | 8/6/07 | 625 | 301 | 0.02 | ||||||||||||||||||
Titanium Asset Management | 105,000 | 6/14/07 | 6/14/07 | — | — | 0.00 | ||||||||||||||||||
Value Creation | 85,600 | 2/29/08 | 2/29/08 | 871 | 87 | 0.00 | ||||||||||||||||||
$ | 1,496 | $ | 388 | 0.02 | % | |||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Aventi | 2,600 | 11/30/10 | 11/30/10 | $ | — | $ | 151 | 0.01 | % | |||||||||||||||
Quebecore | 2,175 | 11/30/10 | 11/30/10 | — | 130 | 0.01 | ||||||||||||||||||
VSS, AHC | 43,496 | 9/25/09 | 9/25/09 | 551 | 519 | 0.03 | ||||||||||||||||||
$ | 551 | $ | 800 | 0.04 | % | |||||||||||||||||||
Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset-backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a
credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
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Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions,
including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of November 30, 2010, the Core Fixed Income Fund and High Yield Bond Fund are the buyers (“receiving protection”) on a total notional amount of $57.0 million and $14.0 million, respectively, and the Core Fixed Income Fund is the seller (“providing protection”) on a total notional amount of $8.8 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the sellers of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | 137,964 | — | $ | (47,613 | ) | — | $ | 90,351 | |||||||||||
Maximum potential amount of future payments | $ | 7,970,000 | — | $ | 800,000 | — | $ | 8,770,000 | ||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $ | 7,970,000 | $ | — | $ | — | $ | — | — | $ | 7,970,000 | |||||||||||||
> than 100 | — | — | — | — | $ | 800,000 | $ | 800,000 | ||||||||||||||||
Total | $ | 7,970,000 | $ | — | $ | — | $ | — | $ | 800,000 | $ | 8,770,000 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of November 30, 2010 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Six month period ended November 30, 2010 ($ Thousands) | Six month period ended November 30, 2010 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Small Cap | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 18 | Unrealized loss on forward foreign currency contracts | $ | — | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 3,594 | * | Net Assets — Unrealized depreciation on futures contracts | — | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,612 | $ | — | ||||||||
Small/Mid Cap Equity | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 8 | Unrealized loss on forward foreign currency contracts | $ | 25 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,401 | * | Net Assets — Unrealized depreciation on futures contracts | — | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,409 | $ | 25 | ||||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 139 |
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
Asset Derivatives | Liability Derivatives | |||||||||||
Six month period ended November 30, 2010 ($ Thousands) | Six month period ended November 30, 2010 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Core Fixed Income | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,378 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 2,140 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 4,052 | † | ||||||||
Investments, at value | — | Options written, at value | 297 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 859 | † | Net Assets — Unrealized depreciation on swap contracts | 8,468 | † | ||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,237 | $ | 14,957 | ||||||||
Emerging Markets Debt | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 7 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | |||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,167 | Unrealized loss on forward foreign currency contracts | 1,478 | ||||||||
Equity contracts | Net Assets — Unrealized depreciation on swap contracts | 57 | † | Net Assets — Unrealized depreciation on swap contracts | — | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,231 | $ | 1,478 | ||||||||
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statements of Operations for the six month period ended November 30, 2010.
Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Small Cap Equity | ||||||||||||||||||||
Equity contracts | $ | — | $ | 59 | $ | — | $ | — | $ | 59 | ||||||||||
Foreign exchange contracts | — | — | 3 | — | 3 | |||||||||||||||
Total | $ | — | $ | 59 | $ | 3 | $ | — | $ | 62 | ||||||||||
Small/Mid Cap Equity | ||||||||||||||||||||
Equity contracts | $ | — | $ | 4,655 | $ | — | $ | — | $ | 4,655 | ||||||||||
Foreign exchange contracts | — | — | (159 | ) | — | (159 | ) | |||||||||||||
Total | $ | — | $ | 4,655 | $ | (159 | ) | $ | — | $ | 4,496 | |||||||||
World Equity Ex-US | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 174 | $ | — | $ | 174 | ||||||||||
Equity contracts | — | 14,823 | — | (5,066 | ) | 9,757 | ||||||||||||||
Total | $ | — | $ | 14,823 | $ | 174 | $ | (5,066 | ) | $ | 9,931 | |||||||||
Core Fixed Income | ||||||||||||||||||||
Interest rate contracts | $ | 444 | $ | (4,980 | ) | $ | — | $ | (3,711 | ) | $ | (8,247 | ) | |||||||
Credit contracts | — | — | — | (589 | ) | (589 | ) | |||||||||||||
Total | $ | 444 | $ | (4,980 | ) | $ | — | $ | (4,300 | ) | $ | (8,836 | ) | |||||||
Long Duration | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 3,682 | $ | — | $ | — | $ | 3,682 | ||||||||||
Credit contracts | — | — | — | (440 | ) | (440 | ) | |||||||||||||
Total | $ | — | $ | 3,682 | $ | — | $ | (440 | ) | $ | 3,242 | |||||||||
Emerging Markets Debt | ||||||||||||||||||||
Equity Contracts | $ | — | $ | — | $ | — | $ | (4 | ) | $ | (4 | ) | ||||||||
Interest rate contracts | — | (83 | ) | — | — | (83 | ) | |||||||||||||
Foreign exchange contracts | — | — | (4,635 | ) | — | (4,635 | ) | |||||||||||||
Total | $ | — | $ | (83 | ) | $ | (4,635 | ) | $ | (4 | ) | $ | (4,722 | ) |
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Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Small Cap | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 18 | $ | — | $ | 18 | ||||||||||
Equity contracts | — | 3,434 | — | — | 3,434 | |||||||||||||||
Total | $ | — | $ | 3,434 | $ | 18 | $ | — | $ | 3,452 | ||||||||||
Small/Mid Cap Equity | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (17 | ) | $ | — | $ | (17 | ) | ||||||||
Equity contracts | — | 860 | — | — | 860 | |||||||||||||||
Total | $ | — | $ | 860 | $ | (17 | ) | $ | — | $ | 843 | |||||||||
World Equity Ex-US | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (35 | ) | $ | — | $ | (35 | ) | ||||||||
Equity contracts | — | 2,430 | — | 6,885 | 9,315 | |||||||||||||||
Total | $ | — | $ | 2,430 | $ | (35 | ) | $ | 6,885 | $ | 9,280 | |||||||||
Core Fixed Income | ||||||||||||||||||||
Interest rate contracts | $ | 51 | $ | 437 | $ | — | $ | 1,895 | $ | 2,383 | ||||||||||
Foreign exchange contracts | — | — | (138 | ) | — | (138 | ) | |||||||||||||
Credit contracts | — | — | — | 1,830 | 1,830 | |||||||||||||||
Total | $ | 51 | $ | 437 | $ | (138 | ) | $ | 3,725 | $ | 4,075 | |||||||||
Long Duration | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 8,415 | $ | — | $ | — | $ | 8,415 | ||||||||||
Credit contracts | — | — | — | 511 | 511 | |||||||||||||||
Total | $ | — | $ | 8,415 | $ | — | $ | 511 | $ | 8,926 | ||||||||||
Emerging Markets Debt | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 15 | $ | — | $ | — | $ | 15 | ||||||||||
Foreign exchange contracts | — | — | 888 | — | 888 | |||||||||||||||
Equity contracts | — | — | — | 134 | 134 | |||||||||||||||
Total | $ | — | $ | 15 | $ | 888 | $ | 134 | $ | 1,037 |
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the six month period ended November 30, 2010 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | 347 | $ | 234 | |||||
Written | 3,313 | 1,678 | ||||||
Expired | (146 | ) | (108 | ) | ||||
Closing buys | (2,936 | ) | (1,486 | ) | ||||
Balance at the end of period | 578 | $ | 318 |
As of November 30, 2010 the Funds had cash and/or securities at least equal to the value of written options.
5. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Administration and Transfer Agency Agreement — The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to
an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the six month period ended November 30, 2010, and until further notice, the Administrator has voluntarily agreed to waive all of its fee.
Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee that is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:
Advisory Fees | Voluntary Expense Limitations | |||||||
Large Cap Fund | 0.400 | % | 0.260 | % | ||||
Large Cap Diversified Alpha Fund | 0.400 | 0.350 | ||||||
Large Cap Disciplined Equity Fund | 0.400 | 0.220 | ||||||
Large Cap Index Fund | 0.170 | 0.060 | ||||||
Small Cap Fund | 0.650 | 0.540 | ||||||
Small/Mid Cap Equity Fund | 0.650 | 0.500 | ||||||
U.S. Managed Volatility Fund | 0.650 | 0.350 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 141 |
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
Advisory Fees | Voluntary Expense Limitations | |||||||
International Equity Fund | 0.505 | % | 0.390 | % | ||||
World Equity Ex-US Fund | 0.550 | 0.450 | ||||||
Screened World Equity Ex-US Fund | 0.650 | 0.800 | ||||||
Enhanced LIBOR Opportunities Fund | 0.450 | 0.440 | ||||||
Core Fixed Income Fund | 0.300 | 0.140 | ||||||
High Yield Bond Fund | 0.4875 | 0.350 | ||||||
Long Duration Fund | 0.300 | 0.200 | ||||||
Emerging Markets Debt Fund | 0.850 | 0.550 | ||||||
Real Return Fund | 0.220 | 0.200 | ||||||
Dynamic Asset Allocation Fund | 0.610 | 0.500 |
As of November 30, 2010, SIMC has entered into investment sub-advisory agreements with the following parties and pays the sub-advisers out of the fee that it receives from the Funds:
Investment Sub-Adviser |
Large Cap Fund |
Aronson + Johnson + Ortiz, L.P. |
Delaware Management Company |
Legg Mason Capital Management, Inc. |
LSV Asset Management |
Neuberger Berman Management LLC |
Quantitative Management Associates, LLC |
Large Cap Diversified Alpha Fund |
Analytic Investors, Inc. |
Aronson + Johnson + Ortiz, L.P. |
Delaware Management Company |
INTECH Investment Management, LLC |
Legg Mason Capital Management, Inc. |
Quantitative Management Associates, LLC |
Large Cap Disciplined Equity Fund |
Analytic Investors, Inc. |
INTECH Investment Management, LLC |
Lazard Asset Management LLC |
Quantitative Management Associates, LLC |
Large Cap Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
Allianz Global Investors Capital LLC |
AQR Capital Management, LLC |
Artisan Partners Limited Partnership |
Janus Capital Management, Inc. |
Lee Munder Capital Group LLC |
Los Angeles Capital Management and Equity Research, Inc. |
LSV Asset Management |
Oppenheimer Capital, LLC |
Robeco Investment Management, Inc. |
Security Capital Research and Management, Inc. |
Wellington Management Company, LLP |
Small/Mid Cap Equity Fund |
Allianz Global Investors Capital LLC |
Century Capital Management, LLC |
Integrity Asset Management, LLC |
Janus Capital Management, Inc. |
Investment Sub-Adviser |
Lee Munder Capital Group LLC |
Los Angeles Capital Management and Equity Research, Inc. |
LSV Asset Management |
Security Capital Research and Management Incorporated |
Wellington Management Company, LLP |
Wells Capital Management, Inc. |
U.S. Managed Volatility Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
International Equity Fund |
Acadian Asset Management, LLC |
Causeway Capital Management LLC |
INTECH Investment Management, LLC |
Neuberger Berman Management LLC |
Quantitative Management Associates, LLC |
Schroder Investment Management North America, Inc. |
Tradewinds Global Investors LLC |
World Equity Ex-US Fund |
Acadian Asset Management, Inc. |
Artisan Partners Limited Partnership |
JO Hambro Capital Management Limited |
McKinley Capital Management, LLC |
NFJ Investment Group LLC |
Principal Global Investors, LLC |
Quantitative Management Associates, LLC |
Thornburg Investment Management LLC |
Screened World Equity Ex-US Fund |
Acadian Asset Management LLC |
McKinley Capital Management, LLC |
Principal Global Investors, LLC |
Quantitative Management Associates, LLC |
Thornburg Investment Management LLC |
Enhanced LIBOR Opportunities Fund |
Ares Management, LLC |
Declaration Management & Research, LLC* |
Wellington Management Company, LLP |
Core Fixed Income Fund |
J.P. Morgan Investment Management, Inc. |
Jennison Associates LLC |
Metropolitan West Asset Management, LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
High Yield Bond Fund |
Ares Management, LLC |
Brigade Capital Management, LLC |
Delaware Management Company |
Guggenheim Partners, LLC |
J.P. Morgan Investment Management, Inc. |
Long Duration Fund |
Income Research & Management |
Jennison Associates LLC |
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Investment Sub-Adviser |
Emerging Markets Debt Fund |
Ashmore Investment Management Limited |
ING Investment Management Advisors, B.V. |
Stone Harbor Investment Partners, L.P. |
Real Return Fund |
Wellington Management Company, LLC |
Dynamic Asset Allocation Fund |
Credit Suisse Asset Management, LLC |
Goldman Sachs Asset Management, L.P. |
Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.
Other —The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended November 30, 2010 were as follows ($ Thousands):
Large Cap Fund | $ | 6 | ||
Large Cap Diversified Alpha Fund | 2 | |||
Large Cap Disciplined Equity Fund | 5 | |||
Large Cap Index Fund | 10 | |||
Small Cap Fund | 9 | |||
Small/Mid Cap Equity Fund | 19 | |||
International Equity Fund | 2 | |||
World Equity Ex-US Fund | 35 |
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Distributor or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended November 30, 2010 were as follows ($ Thousands):
Large Cap Fund | $ | 147 | ||
Small Cap Fund | 230 | |||
Small/Mid Cap Equity Fund | 398 |
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund’s expense ratio, as a percentage of the Fund’s average daily net assets for the six month period ended November 30, 2010, can be found on the Financial Highlights.
Investment in Affiliated Security — The funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund L.P.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the “Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ board of trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the six month period ended November 30, 2010, the Trust borrowed funds from SEI Liquid Asset Trust Prime Obligation Fund. The amount borrowed was $29,176,213 and the interest paid on the borrowing and the corresponding interest rate were $800 and 0.43%, respectively. The average amount of borrowings during the six month period was $372,454. The Trust had no outstanding borrowings or loans under the interfund lending agreement at November 30, 2010.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 143 |
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
Large Cap Fund | Large Cap Diversified Alpha | Large Cap Disciplined Equity Fund | ||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 25,347 | (1) | 53,265 | (1) | 3,616 | 7,083 | 78,423 | 147,091 | (1) | |||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 618 | 824 | 163 | 486 | 5,251 | 12,742 | ||||||||||||||||||
Shares Redeemed | (16,070 | ) | (13,119 | ) | (5,380 | ) | (13,833 | ) | (88,326 | ) | (195,253 | ) | ||||||||||||
Increase (Decrease) in Net Assets | 9,895 | 40,970 | (1,601 | ) | (6,264 | ) | (4,652 | ) | (35,420 | ) | ||||||||||||||
Large Cap Index Fund | Small Cap Fund | Small/Mid Cap Equity Fund | ||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 491 | 1,650 | 11,192 | 23,333 | (1) | 18,115 | 42,363 | |||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 55 | 109 | 473 | 1,012 | 646 | 2,587 | ||||||||||||||||||
Shares Redeemed | (747 | ) | (858 | ) | (12,499 | ) | (22,758 | ) | (43,797 | ) | (68,534 | ) | ||||||||||||
Increase (Decrease) in Net Assets | (201 | ) | 901 | (834 | ) | 1,587 | (25,036 | ) | (23,584 | ) | ||||||||||||||
U.S. Managed Volatility Fund | International Equity Fund | World Equity Ex-US Fund | ||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 1,629 | (1) | 4,280 | 9,031 | 24,574 | 68,558 | 135,855 | |||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 184 | 926 | — | 1,647 | — | 7,381 | ||||||||||||||||||
Shares Redeemed | (13,081 | ) | (7,255 | ) | (30,409 | ) | (47,065 | ) | (46,167 | ) | (58,958 | ) | ||||||||||||
Increase (Decrease) in Net Assets | (11,268 | ) | (2,049 | ) | (21,378 | ) | (20,844 | ) | 22,391 | 84,278 | ||||||||||||||
Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | ||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 678 | 3,524 | 4,563 | 842 | 87,028 | 206,708 | ||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | — | 102 | 173 | 140 | 9,954 | 23,466 | ||||||||||||||||||
Shares Redeemed | (565 | ) | (1,976 | ) | (2,087 | ) | (9,703 | ) | (79,850 | ) | (161,268 | ) | ||||||||||||
Increase (Decrease) in Net Assets | 113 | 1,650 | 2,649 | (8,721 | ) | 17,132 | 68,906 | |||||||||||||||||
High Yield Bond Fund | Long Duration | Emerging | ||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to | 6/1/09 to | 6/1/10 to | 6/1/09 to | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 42,593 | 57,698 | 34,177 | 129,684 | 13,739 | 24,976 | ||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 8,332 | 16,487 | 7,185 | 13,437 | 2,450 | 8,914 | ||||||||||||||||||
Shares Redeemed | (30,693 | ) | (64,348 | ) | (43,633 | ) | (19,931 | ) | (18,526 | ) | (36,617 | ) | ||||||||||||
Increase (Decrease) in Net Assets | 20,232 | 9,837 | (2,271 | ) | 123,190 | (2,337 | ) | (2,727 | ) | |||||||||||||||
144 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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Real Return Fund | Dynamic Asset Allocation Fund(2) | |||||||||||||||||||||||
6/1/10 to 11/30/10 (Unaudited) | 6/1/09 to 5/31/10 | 6/1/10 to 11/30/10 (Unaudited) | ||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 11,032 | 15,668 | 9,818 | |||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 243 | 433 | — | |||||||||||||||||||||
Shares Redeemed | (10,709 | ) | (10,458 | ) | — | |||||||||||||||||||
Increase in Net Assets | 566 | 5,643 | 9,818 |
(1) | Includes subscriptions as a result of in-kind transfers of securities (See Note 10). |
(2) | Fund commenced operations on August 2, 2010. |
Amounts designated as “—” are zero or have been rounded to zero.
7. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six month period ended November 30, 2010, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 769,513 | $ | 769,513 | ||||||
Sales | — | 589,192 | 589,192 | |||||||||
Large Cap Diversified Alpha Fund | ||||||||||||
Purchases | — | 215,414 | 215,414 | |||||||||
Sales | — | 220,201 | 220,201 | |||||||||
Large Cap Disciplined Equity Fund | ||||||||||||
Purchases | — | 4,836,148 | 4,836,148 | |||||||||
Sales | — | 4,904,653 | 4,904,653 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 50,971 | 50,971 | |||||||||
Sales | — | 74,479 | 74,479 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 473,009 | 473,009 | |||||||||
Sales | — | 649,997 | 649,997 | |||||||||
Small/Mid Cap Equity Fund | ||||||||||||
Purchases | — | 785,336 | 785,336 | |||||||||
Sales | — | 1,066,362 | 1,066,362 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 89,063 | 89,063 | |||||||||
Sales | — | 215,655 | 215,655 | |||||||||
International Equity Fund | ||||||||||||
Purchases | — | 302,213 | 302,213 | |||||||||
Sales | 73 | 441,333 | 441,406 | |||||||||
World Equity Ex-US Fund | ||||||||||||
Purchases | — | 1,610,410 | 1,610,410 | |||||||||
Sales | 154 | 1,291,070 | 1,291,224 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Purchases | — | 30,015 | 30,015 | |||||||||
Sales | — | 29,176 | 29,176 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Enhanced LIBOR Opportunities Fund | ||||||||||||
Purchases | $ | 1,105 | $ | 26,930 | $ | 28,035 | ||||||
Sales | 2,170 | 9,109 | 11,279 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 10,348,199 | 1,313,847 | 11,662,046 | |||||||||
Sales | 10,151,858 | 1,279,717 | 11,431,575 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | 510 | 842,838 | 843,348 | |||||||||
Sales | 497 | 704,285 | 704,782 | |||||||||
Long Duration Bond Fund | ||||||||||||
Purchases | 880,169 | 492,012 | 1,372,181 | |||||||||
Sales | 786,278 | 383,093 | 1,169,371 | |||||||||
Emerging Markets Debt Fund | ||||||||||||
Purchases | — | 414,592 | 414,592 | |||||||||
Sales | — | 421,746 | 421,746 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 156,591 | 128 | 156,719 | |||||||||
Sales | 152,397 | 128 | 152,525 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | — | — | — | |||||||||
Sales | — | — | — |
8. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.
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 GAAP. 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 145 |
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Notes to Financial Statements (Unaudited) (Continued)
November 30, 2010
The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2010 were as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2010 | $ | 12,504 | $ | — | $ | — | $ | 12,504 | |||||||||||
2009 | 6,781 | — | — | 6,781 | ||||||||||||||||
Large Cap Diversified Alpha Fund | 2010 | 4,456 | — | — | 4,456 | |||||||||||||||
2009 | 772 | — | 2,889 | 3,661 | ||||||||||||||||
Large Cap Disciplined Equity Fund | 2010 | 113,630 | — | — | 113,630 | |||||||||||||||
2009 | 10,906 | — | 79,835 | 90,741 | ||||||||||||||||
Large Cap Index Fund | 2010 | 10,238 | — | — | 10,238 | |||||||||||||||
2009 | 8,392 | 608 | — | 9,000 | ||||||||||||||||
Small Cap Fund | 2010 | 10,767 | — | — | 10,767 | |||||||||||||||
2009 | 23,822 | — | — | 23,822 | ||||||||||||||||
Small/Mid Cap Equity Fund | 2010 | 23,438 | — | — | 23,438 | |||||||||||||||
2009 | 27,726 | — | — | 27,726 | ||||||||||||||||
U.S. Managed Volatility Fund | 2010 | 9,780 | 252 | — | 10,032 | |||||||||||||||
2009 | 555 | — | — | 555 | ||||||||||||||||
International Equity Fund | 2010 | 13,386 | — | — | 13,386 | |||||||||||||||
2009 | 11,818 | 1,123 | — | 12,941 | ||||||||||||||||
World Equity Ex-US Fund | 2010 | 75,180 | — | — | 75,180 | |||||||||||||||
2009 | — | — | — | — | ||||||||||||||||
Screened World Equity Ex-US Fund | 2010 | 912 | — | — | 912 | |||||||||||||||
2009 | 561 | — | — | 561 | ||||||||||||||||
Enhanced LIBOR Opportunities Fund | 2010 | 2,810 | — | — | 2,810 | |||||||||||||||
2009 | 3,100 | — | 929 | 4,029 | ||||||||||||||||
Core Fixed Income Fund | 2010 | 257,305 | — | — | 257,305 | |||||||||||||||
2009 | 360,778 | 27,495 | — | 388,273 | ||||||||||||||||
High Yield Bond Fund | 2010 | 145,168 | — | — | 145,168 | |||||||||||||||
2009 | 135,862 | — | — | 135,862 | ||||||||||||||||
Long Duration Bond Fund | 2010 | 113,770 | — | — | 113,770 | |||||||||||||||
2009 | 24,618 | — | — | 24,618 | ||||||||||||||||
Emerging Markets Debt Fund | 2010 | 95,106 | — | — | 95,106 | |||||||||||||||
2009 | 76,229 | — | — | 76,229 | ||||||||||||||||
Real Return Fund | 2010 | 6,985 | — | — | 6,985 | |||||||||||||||
2009 | 19,513 | — | 1,496 | 21,009 |
As of May 31, 2010, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Losses ($ Thousands) | Post October Currency Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 3,345 | $ | — | $ | (89,778 | ) | $ | — | $ | — | $ | 39,369 | $ | — | $ | (47,064 | ) | ||||||||||||||
Large Cap Diversified Alpha Fund | 1,399 | — | (175,790 | ) | (864 | ) | (9 | ) | 2,904 | — | (172,360 | ) | ||||||||||||||||||||
Large Cap Disciplined Equity Fund | 32,995 | — | (2,597,114 | ) | — | (8 | ) | 378,378 | — | (2,185,749 | ) | |||||||||||||||||||||
Large Cap Index Fund | 1,839 | — | (23,438 | ) | (3,295 | ) | — | 73,290 | — | 48,396 | ||||||||||||||||||||||
Small Cap Fund | 1,865 | — | (404,837 | ) | — | — | 95,174 | (63 | ) | (307,861 | ) | |||||||||||||||||||||
Small/Mid Cap Equity Fund | 2,092 | — | (533,984 | ) | — | (116 | ) | 204,952 | (3 | ) | (327,059 | ) | ||||||||||||||||||||
U.S. Managed Volatility Fund | 11,693 | 3,283 | — | — | — | 37,416 | — | 52,392 | ||||||||||||||||||||||||
International Equity Fund | 22,354 | — | (441,761 | ) | (1,960 | ) | — | (57,790 | ) | — | (479,157 | ) | ||||||||||||||||||||
World Equity Ex-US Fund | 56,247 | — | (880,613 | ) | — | — | (179,528 | ) | (1,143 | ) | (1,005,037 | ) | ||||||||||||||||||||
Screened World Equity Ex-US Fund | 846 | — | (22,911 | ) | — | — | (4,889 | ) | 1 | (26,953 | ) | |||||||||||||||||||||
Enhanced LIBOR Opportunities Fund | 2,586 | — | (35,404 | ) | (17,470 | ) | — | (87 | ) | — | (50,375 | ) | ||||||||||||||||||||
Core Fixed Income Fund | 115,817 | — | — | — | — | (81,296 | ) | (19,238 | ) | 15,283 | ||||||||||||||||||||||
High Yield Bond Fund | 12,977 | — | (124,856 | ) | (28,042 | ) | — | 6,098 | (12,998 | ) | (146,821 | ) | ||||||||||||||||||||
Long Duration Fund | 9,037 | — | (8,733 | ) | — | — | 147,817 | (12,047 | ) | 136,074 | ||||||||||||||||||||||
Emerging Markets Debt Fund | 12,658 | — | (59,232 | ) | — | — | 54,074 | (18,371 | ) | (10,871 | ) | |||||||||||||||||||||
Real Return Fund | 3,134 | 4,038 | — | — | (1 | ) | 5,217 | — | 12,388 |
146 | SEI Institutional Investments Trust /Semi-Annual Report /November 30, 2010 |
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Post-October losses represent losses realized on investment transactions from November 1, 2009 through May 31, 2010 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
Expires 2011 ($ Thousands) | Expires 2015 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2018 ($ Thousands) | Total Capital Loss Carryforwards 05/31/09 ($ Thousands) | |||||||||||||||||||
Large Cap Fund | $ | 81,891 | $ | — | $ | — | $ | 7,887 | $ | — | $ | 89,778 | ||||||||||||
Large Cap Diversified Alpha Fund | — | — | — | 80,326 | 95,464 | 175,790 | ||||||||||||||||||
Large Cap Disciplined Equity Fund | — | — | — | 1,493,918 | 1,103,196 | 2,597,114 | ||||||||||||||||||
Large Cap Index Fund | — | — | — | 6,369 | 17,069 | 23,438 | ||||||||||||||||||
Small Cap Fund | — | — | — | 154,582 | 250,255 | 404,837 | ||||||||||||||||||
Small/Mid Cap Equity Fund | — | — | — | 208,795 | 325,189 | 533,984 | ||||||||||||||||||
International Equity Fund | — | — | — | 163,564 | 278,197 | 441,761 | ||||||||||||||||||
World Equity Ex-US Fund | — | — | — | 438,657 | 441,956 | 880,613 | ||||||||||||||||||
Screened World Equity Ex-US Fund | — | — | — | 6,490 | 16,421 | 22,911 | ||||||||||||||||||
Enhanced LIBOR Opportunities Fund | — | — | 1,488 | 10,404 | 23,512 | 35,404 | ||||||||||||||||||
High Yield Bond Fund | — | — | 1,148 | 61,962 | 61,746 | 124,856 | ||||||||||||||||||
Long Duration Fund | — | 1,412 | 796 | 6,525 | — | 8,733 | ||||||||||||||||||
Emerging Markets Debt Fund | — | — | — | 26,548 | 32,684 | 59,232 |
During the fiscal year ended May 31, 2010, the Large Cap, U.S. Managed Volatility, Core Fixed Income, Long Duration and Real Return Funds utilized $7,522,945, $1,283,308, $31,257,517, $837,977 and $2,962,680, respectively, of capital loss carryforwards, to offset capital gains.
For Federal income tax purposes, the cost of securities owned at November 30, 2010, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in partnerships and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at November 30, 2010, was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 1,511,155 | $ | 204,746 | $ | (47,810 | ) | $ | 156,936 | |||||||
Large Cap Diversified Alpha Fund | 329,036 | 52,434 | (10,976 | ) | 41,458 | |||||||||||
Large Cap Disciplined Equity Fund | 7,443,400 | 919,146 | (316,755 | ) | 602,391 | |||||||||||
Large Cap Index Fund | 439,952 | 163,625 | (21,954 | ) | 141,671 | |||||||||||
Small Cap Fund | 1,253,099 | 278,953 | (72,706 | ) | 206,247 | |||||||||||
Small/Mid Cap Equity Fund | 2,259,523 | 431,356 | (82,842 | ) | 348,514 | |||||||||||
U.S. Managed Volatility Fund | 111,557 | 31,563 | (2,266 | ) | 29,297 | |||||||||||
International Equity Fund | 511,750 | 53,314 | (15,959 | ) | 37,355 | |||||||||||
World Equity Ex-US Fund | 4,369,521 | 521,020 | (112,583 | ) | 408,437 | |||||||||||
Screened World Equity Ex-US Fund | 71,236 | 8,587 | (2,445 | ) | 6,142 | |||||||||||
Enhanced LIBOR Opportunities Fund | 147,746 | 1,494 | (23,121 | ) | (21,627 | ) | ||||||||||
Core Fixed Income Fund | 6,693,606 | 263,611 | (225,040 | ) | 38,571 | |||||||||||
High Yield Bond Fund | 1,780,603 | 111,574 | (43,491 | ) | 68,083 | |||||||||||
Long Duration Fund | 2,650,556 | 208,844 | (10,827 | ) | 198,017 | |||||||||||
Emerging Markets Debt Fund | 899,722 | 102,396 | (15,672 | ) | 86,724 | |||||||||||
Real Return Fund | 316,467 | 10,407 | (221 | ) | 10,186 | |||||||||||
Dynamic Asset Allocation Fund | 95,414 | — | — | — |
Management has analyzed the Fund’s tax position taken on federal income tax returns for all open tax years and has concluded that as of November 30, 2010, no provision for income tax would be required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
9. CONCENTRATION/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income, Long Duration and High Yield Bond Funds’ investments may 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.
The International Equity, World Equity Ex-US, Screened World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 147 |
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Notes to Financial Statements (Unaudited) (Concluded)
November 30, 2010
10. IN-KIND TRANSFERS OF SECURITIES
During the six month period ended November 30, 2010, the Large Cap Fund and U.S. Managed Volatility Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.
Shares Issued | Value ($ Thousands) | Gain (Loss) ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
08/11/2010 | 2,005 | $ | (30,518 | ) | $ | — | ||||||
U.S. Managed Volatility Fund | ||||||||||||
07/28/2010 | 11,908 | $ | 137,304 | $ | 17,980 |
During the fiscal year ended May 31, 2010, the Large Cap Fund, Large Cap Disciplined Equity Fund and Small Cap Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.
Shares Issued | Value ($ Thousands) | |||||||
Large Cap Fund | ||||||||
03/31/10 | 2,998,170 | $ | 47,731 | |||||
Large Cap Disciplined Equity Fund | ||||||||
08/31/09 | 7,632,084 | $ | 62,736 | |||||
Small Cap Fund | ||||||||
03/31/10 | 562,704 | $ | 6,162 |
11. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity.
Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.
12. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of November 30, 2010.
148 | SEI Institutional Investments Trust /Semi-Annual Report /November 30, 2010 |
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Disclosure of Fund Expenses (Unaudited)
November 30, 2010
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table on the next page illustrates your Fund’s costs in two ways:
• Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 149 |
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Disclosure of Fund Expenses (Unaudited) (Concluded)
November 30, 2010
Beginning Account Value 6/1/2010 | Ending Account Value 11/30/2010 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,096.30 | 0.26 | % | $ | 1.37 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.76 | 0.26 | % | $ | 1.32 | ||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,100.00 | 0.32 | % | $ | 1.68 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.46 | 0.32 | % | $ | 1.62 | ||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,087.50 | 0.19 | % | $ | 0.99 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.12 | 0.19 | % | $ | 0.96 | ||||||||
Large Cap Index Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,097.90 | 0.06 | % | $ | 0.32 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.77 | 0.06 | % | $ | 0.30 | ||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,094.30 | 0.54 | % | $ | 2.84 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.36 | 0.54 | % | $ | 2.74 | ||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,110.30 | 0.49 | % | $ | 2.59 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.61 | 0.49 | % | $ | 2.48 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,094.80 | 0.35 | % | $ | 1.84 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.31 | 0.35 | % | $ | 1.78 | ||||||||
International Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,146.00 | 0.39 | % | $ | 2.10 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.11 | 0.39 | % | $ | 1.98 | ||||||||
World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,149.60 | 0.45 | % | $ | 2.42 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.81 | 0.45 | % | $ | 2.28 | ||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,147.70 | 0.80 | % | $ | 4.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.06 | 0.80 | % | $ | 4.05 | ||||||||
Enhanced LIBOR Opportunities Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.10 | 0.41 | % | $ | 2.09 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.01 | 0.41 | % | $ | 2.08 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,053.90 | 0.18 | % | $ | 0.93 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.17 | 0.18 | % | $ | 0.91 |
Beginning Account Value 6/1/2010 | Ending Account Value 11/30/2010 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
HighYield Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,098.00 | 0.35 | % | $ | 1.84 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.31 | 0.35 | % | $ | 1.78 | ||||||||
Long Duration Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,070.70 | 0.20 | % | $ | 1.04 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.07 | 0.20 | % | $ | 1.01 | ||||||||
Emerging Markets Debt Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,105.80 | 0.55 | % | $ | 2.90 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.31 | 0.55 | % | $ | 2.79 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.40 | 0.20 | % | $ | 1.01 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.07 | 0.20 | % | $ | 1.01 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). |
Beginning Account Value 7/30/2010(1) | Ending Account Value 11/30/2010 | Annualized Expense Ratios | Expense Paid During Period | |||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,040.00 | 0.50 | % | $ | 1.73 | * | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.56 | 0.50 | % | $ | 2.54 | ** |
(1) | Commenced operations. |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 124/365 (to reflect the period shown). |
** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). |
150 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”), provides direct investment management services for the High Yield Bond Fund and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. In addition to the Sub-Advisers, a portion of the High Yield Bond Fund is directly managed by SIMC. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission (“SEC”) takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.
Consistent with these responsibilities, the Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 151 |
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
At the June 22-23, 2010 and September 14-15, 2010 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:
• | the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
• | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services
152 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 | 153 |
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Shareholder Voting Results (Unaudited)
At a special meeting held on November 2, 2010, the shareholders of the SIIT U.S. Managed Volatility Fund (the “Fund”), voted on the proposal listed below. The results of the voting were as follows:
Proposal 1: | With respect to the Fund, to appoint LSV Asset Management as a sub-advisor to the Fund and approve a Sub-Advisory Agreement between the Advisor and LSV Asset Management with respect to the Fund. |
U.S. Managed Volatility Fund | ||||||||||||
Number of Shares | % of Outstanding Shares | % of Shares Present | ||||||||||
Affirmative | 9,239,226.00 | 100.00 | % | 83.82 | % | |||||||
Against | — | 0.00 | % | 0.00 | % | |||||||
Abstain | — | 0.00 | % | 0.00 | % | |||||||
Total | 9,239,226.00 | 100.00 | % | 83.82 | % | |||||||
154 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
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SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2010
Robert A. Nesher, Chairman
Trustees
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Officers
Robert A. Nesher
President and Chief Executive Officer
Stephen F. Panner
Controller and Chief Financial Officer
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
James Ndiaye
Vice President, Assistant Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
John J. McCue
Vice President
Andrew S. Decker
Anti-Money Laundering Compliance Officer
Keri E. Rohn
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This 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 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)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-120 (11/10)
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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 for semi-annual report.
Item 6. | Schedule of Investments. |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small/Mid Cap Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund and Screened World Equity Ex-US Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Bond Fund, Emerging Markets Debt Fund and Real Return Fund and Dynamic Asset Allocation Fund are included as part of the report to shareholders filed under Item 1 of this form.
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SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.6% | ||||||||
Consumer Discretionary — 10.6% | ||||||||
99 Cents Only Stores* | 3,300 | $ | 52 | |||||
Aeropostale* | 6,450 | 174 | ||||||
Amazon.com* | 72,070 | 12,641 | ||||||
American Eagle Outfitters | 102,400 | 1,690 | ||||||
Apollo Group, Cl A* | 101,100 | 3,438 | ||||||
Autoliv (A) | 22,500 | 1,652 | ||||||
AutoZone* | 5,900 | 1,530 | ||||||
Best Buy (A) | 68,800 | 2,939 | ||||||
Big Lots* | 17,400 | 533 | ||||||
BorgWarner* (A) | 36,782 | 2,219 | ||||||
Brinker International (A) | 56,400 | 1,153 | ||||||
Career Education* | 2,000 | 36 | ||||||
Carnival (A) | 30,500 | 1,260 | ||||||
CBS, Cl B | 66,700 | 1,123 | ||||||
CEC Entertainment* | 1,730 | 65 | ||||||
Coach | 209,483 | 11,844 | ||||||
Comcast, Cl A | 294,800 | 5,896 | ||||||
Cooper Tire & Rubber (A) | 32,100 | 671 | ||||||
Ctrip.com International ADR* | 37,689 | 1,652 | ||||||
Darden Restaurants | 19,000 | 930 | ||||||
Deckers Outdoor* (A) | 4,700 | 361 | ||||||
DeVry | 2,500 | 107 | ||||||
DIRECTV, Cl A* | 97,800 | 4,062 | ||||||
DISH Network, Cl A* | 35,400 | 651 | ||||||
Dollar Tree* (A) | 18,450 | 1,014 | ||||||
Eastman Kodak* (A) | 475,300 | 2,239 | ||||||
Ford Motor* (A) | 217,400 | 3,465 | ||||||
Fossil* | 9,600 | 650 | ||||||
GameStop, Cl A* (A) | 47,600 | 948 | ||||||
Gannett (A) | 76,200 | 999 | ||||||
Gap | 81,300 | 1,737 | ||||||
Garmin (A) | 34,100 | 988 | ||||||
General Motors* (A) | 26,100 | 893 | ||||||
Genuine Parts | 2,200 | 106 | ||||||
H&R Block | 12,100 | 152 | ||||||
Helen of Troy* | 9,800 | 231 | ||||||
Home Depot | 21,300 | 643 | ||||||
International Speedway, Cl A | 1,700 | 40 | ||||||
ITT Educational Services* (A) | 9,300 | 544 | ||||||
Jo-Ann Stores* | 1,700 | 82 | ||||||
Johnson Controls | 50,600 | 1,844 | ||||||
Kirkland’s* | 2,400 | 29 | ||||||
Kohl’s* | 2,300 | 129 | ||||||
Liberty Global, Cl A* (A) | 23,200 | 818 | ||||||
Liberty Media—Interactive, Cl A* | 14,700 | 227 | ||||||
Liberty Media—Starz, Ser A* | 6,500 | 408 | ||||||
Lincoln Educational Services (A) | 4,870 | 71 | ||||||
LKQ* | 16,600 | 358 | ||||||
Lowe’s | 145,300 | 3,298 | ||||||
Macy’s | 119,000 | 3,056 | ||||||
Magna International, Cl A | 3,600 | 171 | ||||||
McDonald’s | 75,698 | 5,927 | ||||||
McGraw-Hill | 47,400 | 1,635 | ||||||
NetFlix* (A) | 22,221 | 4,575 | ||||||
News, Cl A | 203,800 | 2,780 | ||||||
NIKE, Cl B (A) | 88,750 | 7,644 | ||||||
Nordstrom | 45,396 | 1,943 | ||||||
Oxford Industries | 4,800 | 119 | ||||||
PetSmart | 20,600 | 780 | ||||||
priceline.com* | 23,270 | 9,170 |
Description | Shares | Market Value ($ Thousands) | ||||||
RadioShack | 27,400 | $ | 506 | |||||
Ross Stores (A) | 11,800 | 766 | ||||||
Staples | 172,900 | 3,806 | ||||||
Starbucks | 129,968 | 3,977 | ||||||
Superior Industries International | 1,800 | 35 | ||||||
Target | 63,326 | 3,606 | ||||||
Thor Industries (A) | 14,300 | 422 | ||||||
Timberland, Cl A* | 3,200 | 79 | ||||||
Time Warner | 261,200 | 7,703 | ||||||
Time Warner Cable, Cl A | 34,600 | 2,129 | ||||||
TJX | 54,200 | 2,472 | ||||||
TRW Automotive Holdings* | 32,700 | 1,553 | ||||||
Universal Technical Institute | 3,000 | 62 | ||||||
Urban Outfitters* (A) | 143,137 | 5,409 | ||||||
VF (A) | 39,998 | 3,315 | ||||||
Viacom, Cl B | 15,800 | 598 | ||||||
Walt Disney | 71,700 | 2,618 | ||||||
Warnaco Group* (A) | 3,500 | 189 | ||||||
Whirlpool (A) | 23,500 | 1,716 | ||||||
Wolverine World Wide | 2,400 | 75 | ||||||
Yum! Brands | 42,000 | 2,103 | ||||||
159,531 | ||||||||
Consumer Staples — 7.5% | ||||||||
Altria Group | 40,000 | 960 | ||||||
Archer-Daniels-Midland | 106,000 | 3,073 | ||||||
BJ’s Wholesale Club* | 23,700 | 1,086 | ||||||
Brown-Forman, Cl B (A) | 18,000 | 1,177 | ||||||
Bunge (A) | 6,000 | 365 | ||||||
Coca-Cola | 164,473 | 10,390 | ||||||
Coca-Cola Enterprises | 36,500 | 881 | ||||||
Colgate-Palmolive | 35,155 | 2,691 | ||||||
ConAgra Foods | 47,400 | 1,018 | ||||||
Constellation Brands, Cl A* | 68,200 | 1,406 | ||||||
Corn Products International | 31,700 | 1,367 | ||||||
Costco Wholesale | 77,778 | 5,258 | ||||||
CVS Caremark | 157,600 | 4,885 | ||||||
Dean Foods* (A) | 107,000 | 778 | ||||||
Del Monte Foods | 60,500 | 1,133 | ||||||
Diageo ADR | 54,300 | 3,891 | ||||||
Dr. Pepper Snapple Group | 3,600 | 132 | ||||||
Herbalife | 3,000 | 206 | ||||||
Kellogg | 55,200 | 2,717 | ||||||
Kimberly-Clark | 2,900 | 180 | ||||||
Kraft Foods, Cl A | 30,600 | 926 | ||||||
Kroger | 164,000 | 3,862 | ||||||
Lorillard | 10,300 | 820 | ||||||
Mead Johnson Nutrition, Cl A | 46,427 | 2,766 | ||||||
Molson Coors Brewing, Cl B | 12,000 | 572 | ||||||
PepsiCo | 119,546 | 7,726 | ||||||
Philip Morris International | 41,494 | 2,360 | ||||||
Prestige Brands Holdings* | 17,830 | 210 | ||||||
Procter & Gamble | 416,751 | 25,451 | ||||||
Ralcorp Holdings* (A) | 14,300 | 885 | ||||||
Reynolds American | 48,868 | 1,512 | ||||||
Safeway (A) | 145,700 | 3,350 | ||||||
Sara Lee | 12,500 | 188 | ||||||
Smart Balance* | 4,100 | 15 | ||||||
Smithfield Foods* (A) | 56,100 | 988 | ||||||
Supervalu (A) | 60,800 | 550 | ||||||
Sysco | 5,300 | 154 | ||||||
Tyson Foods, Cl A | 95,200 | 1,507 | ||||||
Walgreen (A) | 192,900 | 6,722 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart Stores | 144,904 | $ | 7,838 | |||||
111,996 | ||||||||
Energy — 9.3% | ||||||||
Apache | 34,400 | 3,703 | ||||||
BP PLC ADR (A) | 44,600 | 1,784 | ||||||
Cameron International* | 49,047 | 2,360 | ||||||
Canadian Natural Resources | 248,593 | 9,561 | ||||||
Chesapeake Energy (A) | 100,500 | 2,123 | ||||||
Chevron | 268,496 | 21,740 | ||||||
Cimarex Energy | 3,800 | 306 | ||||||
Complete Production Services* | 15,200 | 433 | ||||||
ConocoPhillips | 194,271 | 11,689 | ||||||
Continental Resources* (A) | 8,800 | 470 | ||||||
Denbury Resources* (A) | 52,315 | 951 | ||||||
Devon Energy | 56,600 | 3,994 | ||||||
Diamond Offshore Drilling (A) | 5,700 | 369 | ||||||
El Paso | 31,500 | 425 | ||||||
EOG Resources (A) | 79,853 | 7,103 | ||||||
Exxon Mobil | 167,001 | 11,617 | ||||||
FMC Technologies* | 65,556 | 5,522 | ||||||
Frontier Oil | 28,100 | 436 | ||||||
Halliburton | 128,100 | 4,847 | ||||||
Helmerich & Payne | 7,800 | 354 | ||||||
Hess | 56,700 | 3,972 | ||||||
Holly (A) | 5,800 | 209 | ||||||
Marathon Oil | 173,600 | 5,810 | ||||||
McDermott International* | 25,100 | 460 | ||||||
Murphy Oil | 49,600 | 3,349 | ||||||
Nabors Industries* | 18,400 | 407 | ||||||
National Oilwell Varco | 18,900 | 1,158 | ||||||
Nexen (A) | 79,100 | 1,655 | ||||||
Noble | 16,300 | 553 | ||||||
Occidental Petroleum | 37,500 | 3,306 | ||||||
Oil States International* | 25,900 | 1,537 | ||||||
Overseas Shipholding Group (A) | 6,300 | 220 | ||||||
Patterson-UTI Energy (A) | 98,400 | 1,942 | ||||||
Range Resources | 35,468 | 1,489 | ||||||
RPC (A) | 12,400 | 363 | ||||||
Schlumberger | 119,069 | 9,209 | ||||||
SEACOR Holdings* | 3,600 | 392 | ||||||
Southern Union | 11,100 | 262 | ||||||
Southwestern Energy* | 36,351 | 1,316 | ||||||
Sunoco | 5,800 | 233 | ||||||
Transocean* (A) | 68,100 | 4,565 | ||||||
Unit* | 22,000 | 879 | ||||||
Valero Energy | 251,300 | 4,895 | ||||||
Weatherford International* (A) | 30,700 | 627 | ||||||
Williams | 31,600 | 721 | ||||||
139,316 | ||||||||
Financials — 15.7% | ||||||||
ACE | 19,400 | 1,135 | ||||||
Aflac | 73,100 | 3,765 | ||||||
Agree Realty‡ | 2,100 | 59 | ||||||
Allstate | 58,500 | 1,703 | ||||||
American Express | 243,200 | 10,511 | ||||||
American Financial Group | 12,100 | 372 | ||||||
American National Insurance | 700 | 56 | ||||||
Ameriprise Financial | 59,960 | 3,108 | ||||||
Annaly Capital Management‡ | 44,900 | 817 | ||||||
Apartment Investment & Management, Cl A‡ (A) | 40,300 | 972 |
Description | Shares | Market Value ($ Thousands) | ||||||
Arch Capital Group* | 12,500 | $ | 1,129 | |||||
Assurant | 48,700 | 1,718 | ||||||
Assured Guaranty | 5,800 | 99 | ||||||
Axis Capital Holdings | 43,700 | 1,544 | ||||||
Bank of America | 1,344,802 | 14,726 | ||||||
Bank of New York Mellon | 284,817 | 7,687 | ||||||
Berkshire Hathaway, Cl B* | 144,000 | 11,474 | ||||||
BOK Financial (A) | 12,300 | 574 | ||||||
Brandywine Realty Trust‡ | 119,300 | 1,319 | ||||||
Brookfield Asset Management, Cl A | 32,100 | 938 | ||||||
Capital One Financial (A) | 196,400 | 7,312 | ||||||
CapitalSource | 4,800 | 31 | ||||||
Cardinal Financial | 4,200 | 44 | ||||||
CBL & Associates Properties‡ (A) | 46,200 | 762 | ||||||
Charles Schwab | 258,879 | 3,891 | ||||||
Chubb | 96,200 | 5,484 | ||||||
Citigroup* | 3,148,900 | 13,225 | ||||||
CME Group, Cl A | 16,600 | 4,782 | ||||||
CNA Financial* | 30,300 | 782 | ||||||
Comerica (A) | 9,700 | 354 | ||||||
CommonWealth REIT‡ | 18,150 | 454 | ||||||
Cowen Group, Cl A* | 4,800 | 20 | ||||||
Credicorp | 2,700 | 324 | ||||||
Duke Realty‡ | 8,900 | 99 | ||||||
Endurance Specialty Holdings | 23,200 | 1,023 | ||||||
Equity Residential‡ (A) | 21,900 | 1,095 | ||||||
Everest Re Group | 17,500 | 1,461 | ||||||
Fifth Third Bancorp (A) | 159,700 | 1,908 | ||||||
First Citizens BancShares, Cl A | 600 | 104 | ||||||
First Community Bancshares (A) | 5,700 | 79 | ||||||
Franklin Resources | 17,400 | 1,985 | ||||||
Fulton Financial (A) | 51,200 | 443 | ||||||
Goldman Sachs Group | 81,513 | 12,728 | ||||||
Hartford Financial Services Group | 14,800 | 329 | ||||||
Hospitality Properties Trust‡ | 62,200 | 1,376 | ||||||
Host Hotels & Resorts‡ | 66,100 | 1,089 | ||||||
Hudson City Bancorp | 80,100 | 909 | ||||||
Huntington Bancshares (A) | 108,000 | 630 | ||||||
Inland Real Estate‡ | 3,700 | 31 | ||||||
IntercontinentalExchange* | 34,100 | 3,843 | ||||||
Invesco Mortgage Capital‡ | 20,600 | 465 | ||||||
Jones Lang LaSalle | 24,600 | 1,964 | ||||||
JPMorgan Chase | 606,867 | 22,685 | ||||||
Keycorp | 218,600 | 1,646 | ||||||
Lakeland Bancorp (A) | 4,600 | 48 | ||||||
Lincoln National | 58,000 | 1,385 | ||||||
Mack-Cali Realty‡ | 54,600 | 1,734 | ||||||
Maiden Holdings | 4,600 | 35 | ||||||
MetLife | 82,800 | 3,159 | ||||||
MFA Mortgage Investments‡ (A) | 71,000 | 579 | ||||||
Montpelier Re Holdings (A) | 41,900 | 825 | ||||||
Moody’s (A) | 27,500 | 738 | ||||||
Morgan Stanley | 122,417 | 2,994 | ||||||
Nelnet, Cl A | 10,300 | 220 | ||||||
NewStar Financial* | 4,400 | 37 | ||||||
NYSE Euronext (A) | 136,800 | 3,737 | ||||||
OceanFirst Financial | 2,400 | 29 | ||||||
OneBeacon Insurance Group, Cl A | 2,400 | 35 | ||||||
Parkway Properties ‡ | 8,900 | 141 | ||||||
PartnerRe | 11,000 | 852 | ||||||
Phoenix* (A) | 10,400 | 24 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Platinum Underwriters Holdings | 13,200 | $ | 571 | |||||
PNC Financial Services Group | 98,900 | 5,326 | ||||||
Presidential Life | 6,000 | 56 | ||||||
Principal Financial Group | 6,600 | 180 | ||||||
Progressive | 8,500 | 173 | ||||||
Prudential Financial | 58,200 | 2,949 | ||||||
Public Storage‡ | 16,900 | 1,633 | ||||||
Ramco-Gershenson Properties‡ | 2,600 | 30 | ||||||
Rayonier‡ | 17,700 | 902 | ||||||
Redwood Trust‡ | 3,200 | 44 | ||||||
Regions Financial | 59,500 | 320 | ||||||
RenaissanceRe Holdings | 28,200 | 1,700 | ||||||
Resource Capital‡ (A) | 48,100 | 321 | ||||||
SLM* (A) | 114,600 | 1,324 | ||||||
State Street | 77,500 | 3,348 | ||||||
SunTrust Banks | 23,300 | 544 | ||||||
Symetra Financial | 19,500 | 236 | ||||||
T. Rowe Price Group (A) | 16,100 | 939 | ||||||
Taubman Centers‡ (A) | 29,100 | 1,412 | ||||||
Torchmark (A) | 20,300 | 1,167 | ||||||
Transatlantic Holdings | 23,400 | 1,184 | ||||||
Travelers | 104,805 | 5,658 | ||||||
Unitrin | 4,700 | 111 | ||||||
Unum Group | 74,100 | 1,592 | ||||||
US Bancorp | 171,600 | 4,081 | ||||||
Validus Holdings | 30,900 | 903 | ||||||
Vornado Realty Trust‡ | 14,000 | 1,142 | ||||||
Washington Federal | 12,100 | 179 | ||||||
Wells Fargo | 821,462 | 22,352 | ||||||
WR Berkley | 5,700 | 152 | ||||||
XL Group, Cl A | 45,000 | 885 | ||||||
235,049 | ||||||||
Health Care — 13.1% | ||||||||
Abbott Laboratories | 185,500 | 8,628 | ||||||
Aetna | 249,600 | 7,393 | ||||||
Agilent Technologies* | 15,600 | 546 | ||||||
Allergan | 194,045 | 12,859 | ||||||
AmerisourceBergen | 28,800 | 888 | ||||||
Amgen* | 219,947 | 11,589 | ||||||
Baxter International | 23,200 | 1,126 | ||||||
Becton Dickinson | 17,800 | 1,387 | ||||||
Biogen Idec* | 57,400 | 3,672 | ||||||
Bristol-Myers Squibb | 180,600 | 4,558 | ||||||
Bruker* (A) | 22,500 | 347 | ||||||
C.R. Bard | 1,900 | 161 | ||||||
Cardinal Health | 48,300 | 1,718 | ||||||
CareFusion* | 8,000 | 183 | ||||||
Celgene* | 70,921 | 4,211 | ||||||
CIGNA | 27,400 | 1,009 | ||||||
Covance* (A) | 112,387 | 5,047 | ||||||
Coventry Health Care* | 24,300 | 615 | ||||||
Covidien | 75,638 | 3,182 | ||||||
Cyberonics* | 1,900 | 51 | ||||||
DaVita* | 60,768 | 4,418 | ||||||
Eli Lilly (A) | 102,200 | 3,440 | ||||||
Endo Pharmaceuticals Holdings* | 14,300 | 515 | ||||||
Express Scripts* | 36,545 | 1,904 | ||||||
Forest Laboratories* | 60,100 | 1,917 | ||||||
Gilead Sciences* | 114,750 | 4,189 | ||||||
Health Net* | 32,400 | 875 | ||||||
Hill-Rom Holdings | 5,800 | 230 | ||||||
Humana * | 44,210 | 2,478 |
Description | Shares | Market Value ($ Thousands) | ||||||
Idexx Laboratories* (A) | 60,517 | $ | 3,886 | |||||
Impax Laboratories* | 19,000 | 338 | ||||||
Intuitive Surgical* (A) | 22,355 | 5,819 | ||||||
Invacare (A) | 8,700 | 235 | ||||||
Johnson & Johnson | 317,116 | 19,518 | ||||||
Kinetic Concepts* | 13,100 | 520 | ||||||
King Pharmaceuticals* | 34,000 | 481 | ||||||
Laboratory Corp of America Holdings* (A) | 26,722 | 2,192 | ||||||
Life Technologies* | 24,100 | 1,200 | ||||||
McKesson | 13,400 | 856 | ||||||
Medco Health Solutions* (A) | 131,500 | 8,064 | ||||||
Medicines* | 10,400 | 137 | ||||||
Medidata Solutions* | 1,800 | 36 | ||||||
Medtronic | 248,200 | 8,322 | ||||||
Merck | 327,870 | 11,302 | ||||||
Mettler Toledo International* | 400 | 58 | ||||||
Novo Nordisk ADR (A) | 40,200 | 3,997 | ||||||
Orthofix International* | 1,100 | 30 | ||||||
Par Pharmaceutical* | 3,200 | 115 | ||||||
Perrigo (A) | 36,000 | 2,169 | ||||||
Pfizer | 806,361 | 13,136 | ||||||
Questcor Pharmaceuticals* (A) | 4,000 | 57 | ||||||
Sirona Dental Systems* | 13,100 | 495 | ||||||
St. Jude Medical* | 14,700 | 569 | ||||||
SXC Health Solutions* | 11,300 | 433 | ||||||
Thermo Fisher Scientific* | 49,460 | 2,516 | ||||||
United Therapeutics* | 800 | 50 | ||||||
UnitedHealth Group | 387,191 | 14,140 | ||||||
Waters* | 6,450 | 496 | ||||||
Watson Pharmaceuticals* | 14,300 | 697 | ||||||
WellPoint* | 74,000 | 4,125 | ||||||
Zimmer Holdings* | 22,500 | 1,108 | ||||||
196,233 | ||||||||
Industrials — 10.1% | ||||||||
3M | 136,774 | 11,486 | ||||||
ABB ADR | 221,723 | 4,293 | ||||||
Aircastle | 3,500 | 33 | ||||||
Amerco* | 600 | 58 | ||||||
Ametek | 7,500 | 444 | ||||||
Applied Industrial Technologies | 3,300 | 99 | ||||||
Atlas Air Worldwide Holdings* | 1,600 | 88 | ||||||
Avery Dennison | 7,400 | 278 | ||||||
Boeing | 60,714 | 3,872 | ||||||
Caterpillar | 34,290 | 2,901 | ||||||
Chicago Bridge & Iron* | 12,500 | 354 | ||||||
Cooper Industries, Cl A | 13,970 | 761 | ||||||
Copart* | 1,500 | 53 | ||||||
Crane | 13,800 | 517 | ||||||
CSX | 35,900 | 2,183 | ||||||
Cubic | 1,300 | 59 | ||||||
Cummins | 34,570 | 3,358 | ||||||
Danaher | 152,833 | 6,610 | ||||||
Deere | 15,500 | 1,158 | ||||||
Delta Air Lines* | 5,700 | 78 | ||||||
Dover | 18,100 | 992 | ||||||
Dun & Bradstreet | 13,600 | 1,025 | ||||||
Eaton | 18,300 | 1,764 | ||||||
Emerson Electric | 58,036 | 3,196 | ||||||
EnerSys* | 900 | 27 | ||||||
Ennis | 5,700 | 97 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Expeditors International Washington | 73,200 | $ | 3,872 | |||||
FedEx | 20,500 | 1,868 | ||||||
Fluor (A) | 75,690 | 4,377 | ||||||
Franklin Electric | 1,200 | 47 | ||||||
Gardner Denver | 23,700 | 1,551 | ||||||
General Dynamics | 68,300 | 4,514 | ||||||
General Electric | 1,077,653 | 17,059 | ||||||
Goodrich | 80,500 | 6,905 | ||||||
Graco (A) | 38,600 | 1,388 | ||||||
Honeywell International | 10,100 | 502 | ||||||
Hubbell, Cl B | 2,400 | 136 | ||||||
IDEX (A) | 7,100 | 266 | ||||||
ITT | 32,000 | 1,472 | ||||||
KBR | 76,400 | 2,069 | ||||||
Kennametal | 8,100 | 274 | ||||||
L-3 Communications Holdings, Cl 3 | 40,000 | 2,813 | ||||||
Lockheed Martin | 27,400 | 1,864 | ||||||
NACCO Industries, Cl A | 1,600 | 148 | ||||||
Nordson | 1,400 | 111 | ||||||
Norfolk Southern | 25,900 | 1,558 | ||||||
Northrop Grumman | 86,759 | 5,351 | ||||||
Oshkosh Truck* | 14,400 | 413 | ||||||
Parker Hannifin | 22,900 | 1,837 | ||||||
Polypore International* | 7,800 | 248 | ||||||
Precision Castparts | 25,641 | 3,540 | ||||||
Quanta Services* | 165,500 | 2,914 | ||||||
Raytheon | 76,400 | 3,534 | ||||||
Republic Services, Cl A | 7,900 | 222 | ||||||
Rockwell Automation | 15,900 | 1,051 | ||||||
Rockwell Collins | 52,914 | 2,967 | ||||||
Roper Industries | 66,507 | 4,816 | ||||||
RR Donnelley & Sons | 83,300 | 1,313 | ||||||
Sauer-Danfoss* | 1,200 | 37 | ||||||
Stericycle* (A) | 64,605 | 4,774 | ||||||
Thomas & Betts* | 1,000 | 44 | ||||||
Timken | 30,800 | 1,342 | ||||||
Toro (A) | 6,200 | 361 | ||||||
Tyco International | 25,200 | 955 | ||||||
Union Pacific | 32,300 | 2,911 | ||||||
United Continental Holdings* (A) | 127,200 | 3,521 | ||||||
United Parcel Service, Cl B | 7,600 | 533 | ||||||
United Technologies | 121,363 | 9,135 | ||||||
WABCO Holdings* | 8,800 | 437 | ||||||
WW Grainger (A) | 11,200 | 1,399 | ||||||
152,233 | ||||||||
Information Technology — 22.0% | ||||||||
Accenture, Cl A | 104,833 | 4,541 | ||||||
Acme Packet* | 14,100 | 691 | ||||||
Activision Blizzard | 157,100 | 1,844 | ||||||
Adobe Systems* | 267,744 | 7,425 | ||||||
Akamai Technologies* (A) | 19,300 | 1,007 | ||||||
Amdocs* | 33,800 | 879 | ||||||
Amphenol, Cl A | 90,349 | 4,520 | ||||||
Ansys* (A) | 57,272 | 2,778 | ||||||
Apple* | 119,056 | 37,044 | ||||||
Applied Materials | 38,400 | 477 | ||||||
Arrow Electronics* | 38,000 | 1,178 | ||||||
Autodesk* | 101,900 | 3,596 | ||||||
Avnet* | 23,100 | 708 | ||||||
AVX | 7,500 | 107 |
Description | Shares | Market Value ($ Thousands) | ||||||
Brightpoint* | 10,700 | $ | 88 | |||||
Broadcom, Cl A | 27,000 | 1,201 | ||||||
CA | 12,500 | 286 | ||||||
Check Point Software Technologies* (A) | 67,748 | 2,904 | ||||||
Cisco Systems* | 973,804 | 18,658 | ||||||
Citrix Systems* | 151,993 | 10,095 | ||||||
Cognizant Technology Solutions, Cl A* | 65,083 | 4,229 | ||||||
Computer Sciences | 31,100 | 1,388 | ||||||
Comtech Telecommunications | 6,800 | 202 | ||||||
Corning | 291,083 | 5,140 | ||||||
DST Systems | 31,600 | 1,354 | ||||||
eBay* (A) | 131,300 | 3,825 | ||||||
EchoStar, Cl A* | 3,400 | 69 | ||||||
EMC* | 607,181 | 13,048 | ||||||
F5 Networks* | 25,705 | 3,390 | ||||||
Factset Research Systems | 2,700 | 239 | ||||||
Genpact* | 224,258 | 3,122 | ||||||
Google, Cl A* | 23,340 | 12,970 | ||||||
Harris | 46,600 | 2,062 | ||||||
Hewlett-Packard | 168,349 | 7,059 | ||||||
IAC* (A) | 37,400 | 1,053 | ||||||
Ingram Micro, Cl A* | 53,100 | 948 | ||||||
Intel | 485,148 | 10,246 | ||||||
International Business Machines | 55,232 | 7,813 | ||||||
Intuit* | 158,200 | 7,102 | ||||||
Itron* | 7,700 | 437 | ||||||
Jabil Circuit | 12,500 | 189 | ||||||
Juniper Networks* | 59,100 | 2,011 | ||||||
Lam Research* | 19,200 | 870 | ||||||
Linear Technology (A) | 1,700 | 56 | ||||||
Loral Space & Communications* | 1,100 | 80 | ||||||
Marvell Technology Group* | 66,200 | 1,277 | ||||||
Mastercard, Cl A | 43,627 | 10,341 | ||||||
Micron Technology* (A) | 93,000 | 675 | ||||||
Microsoft | 820,985 | 20,697 | ||||||
MKS Instruments* | 1,800 | 37 | ||||||
Motorola* | 119,900 | 918 | ||||||
Multi-Fineline Electronix* | 1,200 | 28 | ||||||
National Instruments | 3,000 | 102 | ||||||
National Semiconductor | 12,700 | 170 | ||||||
NetApp* (A) | 131,900 | 6,718 | ||||||
NeuStar, Cl A* | 6,600 | 171 | ||||||
Nortel Networks* | 5 | — | ||||||
Novatel Wireless* | 5,700 | 56 | ||||||
Novellus Systems* | 7,300 | 220 | ||||||
Nuance Communications* (A) | 210,200 | 3,715 | ||||||
Opnet Technologies | 1,700 | 41 | ||||||
Oracle | 244,279 | 6,605 | ||||||
Plantronics | 3,950 | 141 | ||||||
Polycom* (A) | 76,800 | 2,842 | ||||||
Power-One* (A) | 15,500 | 147 | ||||||
Qualcomm | 463,195 | 21,650 | ||||||
Rackspace Hosting* (A) | 79,500 | 2,319 | ||||||
Red Hat* | 65,300 | 2,841 | ||||||
Research In Motion* | 56,500 | 3,494 | ||||||
Rovi* | 8 | — | ||||||
SAIC* | 50,000 | 766 | ||||||
Salesforce.com* (A) | 48,326 | 6,728 | ||||||
SanDisk* | 18,000 | 803 | ||||||
Seagate Technology* | 30,200 | 405 | ||||||
Symantec* | 26,700 | 449 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Synopsys* | 23,300 | $ | 599 | |||||
Tech Data* | 17,900 | 789 | ||||||
Teradata* | 79,300 | 3,258 | ||||||
Texas Instruments (A) | 555,266 | 17,658 | ||||||
Trimble Navigation* | 68,180 | 2,539 | ||||||
Tyco Electronics | 41,000 | 1,247 | ||||||
VeriSign* (A) | 131,300 | 4,505 | ||||||
Visa, Cl A (A) | 136,869 | 10,108 | ||||||
Vishay Intertechnology* | 40,700 | 580 | ||||||
Vishay Precision Group* | 2,907 | 49 | ||||||
VistaPrint* | 700 | 28 | ||||||
Western Digital* | 26,800 | 898 | ||||||
Western Union | 35,610 | 628 | ||||||
Xerox | 222,800 | 2,553 | ||||||
Yahoo!* | 3,200 | 51 | ||||||
Zebra Technologies, Cl A* | 25,100 | 915 | ||||||
329,690 | ||||||||
Materials — 3.5% | ||||||||
Air Products & Chemicals | 10,500 | 905 | ||||||
Alcoa | 98,600 | 1,294 | ||||||
Allegheny Technologies (A) | 74,352 | 3,844 | ||||||
Ashland | 36,700 | 1,867 | ||||||
Ball | 10,300 | 678 | ||||||
Cabot | 5,500 | 197 | ||||||
Celanese, Cl A | 28,300 | 1,047 | ||||||
CF Industries Holdings | 4,400 | 531 | ||||||
Cytec Industries | 32,200 | 1,540 | ||||||
Dow Chemical (A) | 62,100 | 1,936 | ||||||
E.I. Du Pont de Nemours | 40,800 | 1,917 | ||||||
Eastman Chemical | 24,300 | 1,891 | ||||||
Ecolab | 17,300 | 827 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 74,158 | 7,514 | ||||||
International Flavors & Fragrances | 7,800 | 410 | ||||||
International Paper | 79,700 | 1,990 | ||||||
Lubrizol | 22,300 | 2,332 | ||||||
MeadWestvaco | 1,200 | 30 | ||||||
Monsanto | 87,825 | 5,263 | ||||||
Mosaic | 10,400 | 703 | ||||||
Nalco Holding (A) | 141,400 | 4,160 | ||||||
Nucor | 16,400 | 619 | ||||||
Omnova Solutions* | 7,000 | 62 | ||||||
Owens-Illinois* | 16,800 | 452 | ||||||
PolyOne* | 4,600 | 57 | ||||||
Potash Corp of Saskatchewan | 12,800 | 1,840 | ||||||
Praxair | 7,900 | 727 | ||||||
Rock-Tenn, Cl A | 12,550 | 679 | ||||||
Schnitzer Steel Industries, Cl A | 10,600 | 605 | ||||||
Sealed Air | 48,000 | 1,116 | ||||||
Sonoco Products | 24,500 | 803 | ||||||
Southern Copper | 23,000 | 964 | ||||||
Spartech* | 5,340 | 51 | ||||||
Syngenta ADR | 68,800 | 3,833 | ||||||
52,684 | ||||||||
Telecommunication Services — 2.9% | ||||||||
AboveNet* (A) | 400 | 23 | ||||||
American Tower, Cl A* | 98,680 | 4,990 | ||||||
AT&T | 673,646 | 18,721 | ||||||
CenturyLink (A) | 12,500 | 537 |
Description | Shares | Market Value ($ Thousands) | ||||||
Crown Castle International* | 123,200 | $ | 5,118 | |||||
NII Holdings* | 18,600 | 721 | ||||||
Sprint Nextel* | 392,800 | 1,485 | ||||||
Telephone & Data Systems | 27,400 | 978 | ||||||
USA Mobility | 1,500 | 25 | ||||||
Verizon Communications | 334,172 | 10,697 | ||||||
43,295 | ||||||||
Utilities — 2.9% | ||||||||
AES* | 699,387 | 7,561 | ||||||
AGL Resources | 7,600 | 279 | ||||||
Alliant Energy | 6,100 | 222 | ||||||
Ameren | 28,100 | 807 | ||||||
American Electric Power | 111,100 | 3,955 | ||||||
American Water Works | 27,800 | 681 | ||||||
Atmos Energy | 11,200 | 337 | ||||||
CMS Energy (A) | 25,200 | 453 | ||||||
Constellation Energy Group | 7,700 | 218 | ||||||
Dominion Resources | 38,000 | 1,578 | ||||||
DPL | 43,800 | 1,109 | ||||||
DTE Energy | 14,900 | 664 | ||||||
Duke Energy | 85,200 | 1,495 | ||||||
Edison International | 94,700 | 3,498 | ||||||
Energen | 26,600 | 1,159 | ||||||
Entergy | 52,800 | 3,762 | ||||||
Exelon | 128,900 | 5,075 | ||||||
FirstEnergy (A) | 23,400 | 822 | ||||||
Mirant* | 40,300 | 400 | ||||||
NextEra Energy | 4,400 | 223 | ||||||
NiSource (A) | 62,000 | 1,037 | ||||||
NRG Energy* | 40,100 | 777 | ||||||
NV Energy | 22,700 | 311 | ||||||
OGE Energy | 39,000 | 1,736 | ||||||
Pinnacle West Capital | 10,000 | 404 | ||||||
Portland General Electric | 17,900 | 379 | ||||||
PPL | 9,500 | 241 | ||||||
Public Service Enterprise Group | 125,700 | 3,875 | ||||||
TECO Energy | 5,700 | 95 | ||||||
43,153 | ||||||||
Total Common Stock | 1,463,180 | |||||||
AFFILIATED PARTNERSHIP — 10.6% | ||||||||
SEI Liquidity Fund, L.P. 0.210%(B)**† | 159,125 | 158,265 | ||||||
Total Affiliated Partnership | 158,265 | |||||||
CASH EQUIVALENT — 2.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**† | 35,734 | 35,734 | ||||||
Total Cash Equivalent | 35,734 | |||||||
U.S. TREASURY OBLIGATION (C)(D) — 0.7% | ||||||||
U.S. Treasury Bill | ||||||||
0.102%, 12/16/10 | 10,912 | 10,912 | ||||||
Total U.S. Treasury Obligation | 10,912 | |||||||
5 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2010
Description | Market Value ($ Thousands) | |||
Total Investments — 111.3% | $ 1,668,091 | |||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Composite Index | 73 | Dec-2010 | $ | 1,363 | ||||||||
S&P Mid 400 Index E-MINI | 41 | Dec-2010 | 368 | |||||||||
$ | 1,731 | |||||||||||
For the period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,498,857 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $154,226 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $158,265 ($ Thousands). |
(C) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PLC — Public Company Limited
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
Ser — Series
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,463,180 | $ | — | $ | — | $ | 1,463,180 | ||||||||
Affiliated Partnership | — | 158,265 | — | 158,265 | ||||||||||||
Cash Equivalent | 35,734 | — | — | 35,734 | ||||||||||||
U.S. Treasury Obligation | — | 10,912 | — | 10,912 | ||||||||||||
Total Investments in Securities | $ | 1,498,914 | $ | 169,177 | $ | — | $ | 1,668,091 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,731 | $ | — | $ | — | $ | 1,731 | ||||||||
Total Other Financial Instruments | $ | 1,731 | $ | — | $ | — | $ | 1,731 | ||||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.5% | ||||||||
Consumer Discretionary — 11.5% | ||||||||
Aaron’s | 1,800 | $ | 36 | |||||
Advance Auto Parts | 1,600 | 106 | ||||||
Aeropostale* | 2,600 | 70 | ||||||
Amazon.com* | 12,275 | 2,153 | ||||||
Apollo Group, Cl A* | 45,000 | 1,530 | ||||||
Asbury Automotive Group* | 400 | 6 | ||||||
Autoliv | 3,000 | 220 | ||||||
AutoNation* | 600 | 16 | ||||||
AutoZone* | 3,900 | 1,012 | ||||||
Best Buy | 28,923 | 1,236 | ||||||
BorgWarner* | 1,000 | 60 | ||||||
Brinker International | 1,900 | 39 | ||||||
Cablevision Systems, Cl A | 300 | 9 | ||||||
Career Education* | 11,100 | 197 | ||||||
Carmax* | 400 | 13 | ||||||
Carnival | 6,500 | 269 | ||||||
CBS, Cl B | 19,200 | 323 | ||||||
CEC Entertainment* | 600 | 22 | ||||||
Chipotle Mexican Grill, Cl A* | 600 | 155 | ||||||
Coach | 25,400 | 1,436 | ||||||
Comcast, Cl A | 43,900 | 878 | ||||||
Darden Restaurants | 3,300 | 162 | ||||||
Deckers Outdoor* | 9,800 | 754 | ||||||
DeVry | 1,100 | 47 | ||||||
Dick’s Sporting Goods* | 600 | 20 | ||||||
DIRECTV, Cl A* | 50,638 | 2,103 | ||||||
Discovery Communications, Cl A* | 700 | 29 | ||||||
DISH Network, Cl A* | 900 | 17 | ||||||
Dollar General* | 1,100 | 36 | ||||||
Dollar Tree* | 18,300 | 1,006 | ||||||
Eastman Kodak* | 145,800 | 687 | ||||||
Family Dollar Stores | 16,600 | 833 | ||||||
Federal Mogul, Cl A* | 1,711 | 32 | ||||||
Foot Locker | 4,300 | 81 | ||||||
Ford Motor* | 190,372 | 3,034 | ||||||
Fortune Brands | 300 | 18 | ||||||
Fossil* | 8,800 | 595 | ||||||
Gannett | 2,700 | 35 | ||||||
Gap | 24,900 | 532 | ||||||
Garmin | 2,000 | 58 | ||||||
General Motors* | 8,100 | 277 | ||||||
Genuine Parts | 1,000 | 48 | ||||||
H&R Block | 12,081 | 152 | ||||||
Hasbro | 3,600 | 172 | ||||||
Helen of Troy* | 3,000 | 71 | ||||||
Hillenbrand | 700 | 13 | ||||||
Home Depot | 11,800 | 356 | ||||||
Hyatt Hotels, Cl A* | 900 | 38 | ||||||
International Speedway, Cl A | 600 | 14 | ||||||
Interpublic Group* | 1,500 | 16 | ||||||
iRobot* | 800 | 16 | ||||||
ITT Educational Services* | 8,200 | 480 | ||||||
Jo-Ann Stores* | 300 | 15 | ||||||
John Wiley & Sons, Cl A | 1,100 | 46 | ||||||
Johnson Controls | 11,500 | 419 | ||||||
Kirkland’s* | 700 | 8 | ||||||
Kohl’s* | 400 | 22 | ||||||
Las Vegas Sands* | 1,800 | 90 | ||||||
Lear* | 200 | 18 | ||||||
Liberty Global, Cl A* | 300 | 11 |
Description | Shares | Market Value ($ Thousands) | ||||||
Liberty Media - Capital, Ser A* | 2,800 | $ | 161 | |||||
Liberty Media - Interactive, Cl A* | 5,500 | 85 | ||||||
Liberty Media - Starz, Ser A* | 2,610 | 164 | ||||||
Limited Brands | 8,700 | 293 | ||||||
Lincoln Educational Services | 1,400 | 21 | ||||||
LKQ* | 2,600 | 56 | ||||||
Lowe’s | 48,900 | 1,110 | ||||||
Macy’s | 7,700 | 198 | ||||||
Marriott International, Cl A | 2,400 | 94 | ||||||
Mattel | 2,100 | 54 | ||||||
McDonald’s | 16,600 | 1,300 | ||||||
McGraw-Hill | 500 | 17 | ||||||
MGM Resorts International* | 700 | 9 | ||||||
Mohawk Industries* | 200 | 10 | ||||||
NetFlix* | 700 | 144 | ||||||
Newell Rubbermaid | 5,234 | 88 | ||||||
News, Cl A | 18,000 | 246 | ||||||
NIKE, Cl B | 27,750 | 2,390 | ||||||
O’Reilly Automotive* | 3,200 | 193 | ||||||
Oxford Industries | 1,700 | 42 | ||||||
Panera Bread, Cl A* | 900 | 90 | ||||||
PetSmart | 3,200 | 121 | ||||||
Phillips-Van Heusen | 400 | 27 | ||||||
Polo Ralph Lauren, Cl A | 100 | 11 | ||||||
priceline.com* | 5,924 | 2,334 | ||||||
Ross Stores | 3,000 | 195 | ||||||
Royal Caribbean Cruises* | 200 | 8 | ||||||
Scripps Networks Interactive, Cl A | 1,000 | 51 | ||||||
Sears Holdings* | 500 | 33 | ||||||
Service International | 2,500 | 20 | ||||||
Stanley Black & Decker | 982 | 58 | ||||||
Staples | 57,000 | 1,255 | ||||||
Starbucks | 3,500 | 107 | ||||||
Starwood Hotels & Resorts Worldwide | 2,700 | 153 | ||||||
Strayer Education | 100 | 14 | ||||||
Superior Industries International | 600 | 12 | ||||||
Target | 12,400 | 706 | ||||||
Tempur-Pedic International* | 900 | 32 | ||||||
Thomson Reuters | 3,600 | 131 | ||||||
Thor Industries | 3,100 | 92 | ||||||
Tim Hortons | 18,300 | 722 | ||||||
Timberland, Cl A* | 900 | 22 | ||||||
Time Warner | 73,135 | 2,157 | ||||||
Time Warner Cable, Cl A | 9,440 | 581 | ||||||
TJX | 8,000 | 365 | ||||||
Tractor Supply | 800 | 34 | ||||||
TRW Automotive Holdings* | 12,217 | 580 | ||||||
Urban Outfitters* | 1,200 | 45 | ||||||
VF | 3,700 | 307 | ||||||
Viacom, Cl B | 54,719 | 2,070 | ||||||
Virgin Media | 1,500 | 38 | ||||||
Walt Disney | 8,062 | 294 | ||||||
Warnaco Group* | 700 | 38 | ||||||
Whirlpool | 700 | 51 | ||||||
Williams-Sonoma | 2,600 | 86 | ||||||
Wolverine World Wide | 600 | 19 | ||||||
Wynn Resorts | 900 | 91 | ||||||
Yum! Brands | 18,100 | 906 | ||||||
42,678 | ||||||||
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 8.3% | ||||||||
Altria Group | 50,144 | $ | 1,203 | |||||
Archer-Daniels-Midland | 5,500 | 159 | ||||||
Brown-Forman, Cl B | 2,400 | 157 | ||||||
Bunge | 200 | 12 | ||||||
Campbell Soup | 1,300 | 44 | ||||||
Church & Dwight | 1,600 | 104 | ||||||
Clorox | 400 | 25 | ||||||
Coca-Cola | 33,500 | 2,116 | ||||||
Coca-Cola Enterprises | 26,294 | 635 | ||||||
Colgate-Palmolive | 1,000 | 77 | ||||||
ConAgra Foods | 7,400 | 159 | ||||||
Constellation Brands, Cl A* | 800 | 17 | ||||||
Corn Products International | 11,400 | 491 | ||||||
CVS Caremark | 15,304 | 474 | ||||||
Dean Foods* | 23,900 | 174 | ||||||
Del Monte Foods | 5,600 | 105 | ||||||
Diageo ADR | 15,500 | 1,111 | ||||||
Dr. Pepper Snapple Group | 3,500 | 128 | ||||||
Estee Lauder, Cl A | 3,000 | 225 | ||||||
General Mills | 4,800 | 170 | ||||||
Green Mountain Coffee Roasters* | 100 | 4 | ||||||
Hansen Natural* | 1,900 | 101 | ||||||
Herbalife | 10,400 | 714 | ||||||
Hershey | 3,100 | 145 | ||||||
HJ Heinz | 2,300 | 111 | ||||||
Hormel Foods | 3,945 | 194 | ||||||
JM Smucker | 1,300 | 82 | ||||||
Kellogg | 16,800 | 827 | ||||||
Kimberly-Clark | 3,785 | 234 | ||||||
Kraft Foods, Cl A | 3,660 | 111 | ||||||
Kroger | 41,200 | 970 | ||||||
Lorillard | 2,100 | 167 | ||||||
McCormick | 1,300 | 57 | ||||||
Mead Johnson Nutrition, Cl A | 4,800 | 286 | ||||||
Molson Coors Brewing, Cl B | 3,200 | 152 | ||||||
PepsiCo | 38,136 | 2,465 | ||||||
Philip Morris International | 47,727 | 2,715 | ||||||
Prestige Brands Holdings* | 2,300 | 27 | ||||||
Procter & Gamble | 78,700 | 4,806 | ||||||
Ralcorp Holdings* | 700 | 43 | ||||||
Reynolds American | 6,900 | 214 | ||||||
Safeway | 20,900 | 481 | ||||||
Sara Lee | 41,220 | 618 | ||||||
Smart Balance* | 1,800 | 7 | ||||||
Smithfield Foods* | 14,000 | 246 | ||||||
Sysco | 13,400 | 389 | ||||||
Tyson Foods, Cl A | 82,421 | 1,305 | ||||||
Walgreen | 41,500 | 1,446 | ||||||
Wal-Mart Stores | 82,581 | 4,467 | ||||||
Whole Foods Market* | 1,100 | 52 | ||||||
31,022 | ||||||||
Energy — 8.6% | ||||||||
Anadarko Petroleum | 900 | 58 | ||||||
Apache | 4,444 | 478 | ||||||
Arch Coal | 400 | 12 | ||||||
Baker Hughes | 561 | 29 | ||||||
BP PLC ADR | 13,800 | 552 | ||||||
Cameron International* | 200 | 10 | ||||||
Chesapeake Energy | 7,200 | 152 | ||||||
Chevron | 73,643 | 5,963 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cimarex Energy | 2,300 | $ | 185 | |||||
Complete Production Services* | 3,400 | 97 | ||||||
Concho Resources* | 500 | 41 | ||||||
ConocoPhillips | 77,550 | 4,666 | ||||||
Continental Resources* | 2,000 | 107 | ||||||
Core Laboratories | 1,400 | 120 | ||||||
Denbury Resources* | 7,000 | 127 | ||||||
Devon Energy | 4,400 | 311 | ||||||
Dresser-Rand Group* | 300 | 11 | ||||||
El Paso | 8,600 | 116 | ||||||
EOG Resources | 18,100 | 1,610 | ||||||
EQT | 400 | 16 | ||||||
Exterran Holdings* | 2,500 | 57 | ||||||
Exxon Mobil | 95,200 | 6,622 | ||||||
FMC Technologies* | 200 | 17 | ||||||
Forest Oil* | 800 | 27 | ||||||
Frontier Oil | 5,700 | 89 | ||||||
Frontline | 400 | 10 | ||||||
Halliburton | 35,415 | 1,340 | ||||||
Helmerich & Payne | 1,500 | 68 | ||||||
Hess | 16,300 | 1,142 | ||||||
Holly | 1,600 | 58 | ||||||
Marathon Oil | 75,394 | 2,524 | ||||||
McDermott International* | 6,200 | 114 | ||||||
Murphy Oil | 6,700 | 452 | ||||||
Nabors Industries* | 4,000 | 88 | ||||||
Newfield Exploration* | 200 | 13 | ||||||
Occidental Petroleum | 3,800 | 335 | ||||||
Oil States International* | 1,600 | 95 | ||||||
Patterson-UTI Energy | 16,000 | 316 | ||||||
Pioneer Natural Resources | 2,500 | 200 | ||||||
QEP Resources | 1,700 | 60 | ||||||
Rowan* | 500 | 15 | ||||||
RPC | 2,500 | 73 | ||||||
Schlumberger | 6,998 | 541 | ||||||
SEACOR Holdings* | 1,000 | 109 | ||||||
SM Energy | 300 | 15 | ||||||
Southern Union | 2,000 | 47 | ||||||
Southwestern Energy* | 400 | 15 | ||||||
Spectra Energy | 900 | 21 | ||||||
Sunoco | 3,100 | 124 | ||||||
Superior Energy Services* | 900 | 30 | ||||||
Transocean* | 18,825 | 1,262 | ||||||
Valero Energy | 62,864 | 1,225 | ||||||
Weatherford International* | 8,000 | 163 | ||||||
Whiting Petroleum* | 800 | 88 | ||||||
32,016 | ||||||||
Financials — 13.6% | ||||||||
ACE | 2,100 | 123 | ||||||
Aflac | 26,450 | 1,362 | ||||||
Agree Realty‡ | 700 | 20 | ||||||
Alexandria Real Estate Equities‡ | 800 | 53 | ||||||
Alleghany* | 200 | 60 | ||||||
Allstate | 2,000 | 58 | ||||||
American Express | 94,359 | 4,078 | ||||||
American Financial Group | 11,600 | 357 | ||||||
American International Group* | 300 | 12 | ||||||
American National Insurance | 200 | 16 | ||||||
Ameriprise Financial | 19,700 | 1,021 | ||||||
Annaly Capital Management‡ | 800 | 15 | ||||||
Apartment Investment & Management, Cl A‡ | 4,100 | 99 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Arch Capital Group* | 9,000 | $ | 813 | |||||
Ares Capital | 30,946 | 508 | ||||||
Ashford Hospitality Trust‡* | 900 | 9 | ||||||
Associated Banc | 5,400 | 69 | ||||||
Assurant | 9,300 | 328 | ||||||
Assured Guaranty | 800 | 14 | ||||||
AvalonBay Communities‡ | 603 | 67 | ||||||
Axis Capital Holdings | 18,600 | 657 | ||||||
Bancorp Rhode Island | 200 | 6 | ||||||
Bank of America | 146,275 | 1,602 | ||||||
Bank of Hawaii | 500 | 22 | ||||||
Bank of New York Mellon | 44,050 | 1,189 | ||||||
BB&T | 4,300 | 100 | ||||||
Berkshire Hathaway, Cl B* | 16,300 | 1,299 | ||||||
Boston Properties‡ | 100 | 8 | ||||||
Brandywine Realty Trust‡ | 9,800 | 108 | ||||||
BRE Properties‡ | 1,400 | 60 | ||||||
Capital One Financial | 51,100 | 1,902 | ||||||
CapitalSource | 4,900 | 32 | ||||||
CB Richard Ellis Group, Cl A* | 2,300 | 44 | ||||||
Chimera Investment‡ | 418,048 | 1,672 | ||||||
Chubb | 19,200 | 1,095 | ||||||
Cincinnati Financial | 5,500 | 166 | ||||||
CIT Group* | 2,200 | 87 | ||||||
Citigroup* | 374,600 | 1,573 | ||||||
City National | 1,100 | 59 | ||||||
CME Group, Cl A | 4,400 | 1,267 | ||||||
Comerica | 5,200 | 190 | ||||||
Commerce Bancshares | 1,100 | 41 | ||||||
CommonWealth REIT‡ | 3,725 | 93 | ||||||
Community Trust Bancorp | 300 | 8 | ||||||
Credicorp | 5,400 | 647 | ||||||
Cullen/Frost Bankers | 1,800 | 96 | ||||||
Developers Diversified Realty‡ | 1,200 | 15 | ||||||
Digital Realty Trust‡ | 1,100 | 58 | ||||||
Douglas Emmett‡ | 1,200 | 20 | ||||||
East West Bancorp | 18,476 | 320 | ||||||
Equity Residential‡ | 3,300 | 165 | ||||||
Erie Indemnity, Cl A | 1,000 | 63 | ||||||
Essex Property Trust‡ | 300 | 33 | ||||||
Federal Realty Investment Trust‡ | 100 | 8 | ||||||
Fidelity National Financial, Cl A | 4,500 | 61 | ||||||
Fifth Third Bancorp | 46,200 | 552 | ||||||
First Citizens BancShares, Cl A | 1,342 | 233 | ||||||
First Community Bancshares | 700 | 10 | ||||||
Forest City Enterprises, Cl A* | 900 | 14 | ||||||
Franklin Resources | 7,200 | 822 | ||||||
Fulton Financial | 19,700 | 170 | ||||||
General Growth Properties‡ | 600 | 10 | ||||||
Genworth Financial, Cl A* | 11,400 | 133 | ||||||
Goldman Sachs Group | 8,890 | 1,388 | ||||||
Hospitality Properties Trust‡ | 26,526 | 587 | ||||||
Host Hotels & Resorts‡ | 6,626 | 109 | ||||||
Howard Hughes* | 169 | 7 | ||||||
Huntington Bancshares | 18,300 | 107 | ||||||
IntercontinentalExchange* | 11,500 | 1,296 | ||||||
Invesco Mortgage Capital‡ | 5,600 | 126 | ||||||
Jones Lang LaSalle | 11,100 | 886 | ||||||
JPMorgan Chase | 127,753 | 4,775 | ||||||
Keycorp | 13,900 | 105 | ||||||
Kimco Realty‡ | 800 | 13 | ||||||
Lincoln National | 400 | 10 | ||||||
Loews | 2,000 | 75 |
Description | Shares | Market Value ($ Thousands) | ||||||
M&T Bank | 4,823 | $ | 371 | |||||
Macerich‡ | 513 | 24 | ||||||
Mack-Cali Realty‡ | 8,800 | 279 | ||||||
Maiden Holdings | 3,300 | 25 | ||||||
Markel* | 100 | 35 | ||||||
Marshall & Ilsley | 13,400 | 64 | ||||||
MBIA* | 5,700 | 57 | ||||||
MetLife | 14,500 | 553 | ||||||
MFA Mortgage Investments‡ | 15,600 | 127 | ||||||
Montpelier Re Holdings | 2,600 | 51 | ||||||
Morgan Stanley | 10,400 | 254 | ||||||
NASDAQ OMX Group* | 1,100 | 24 | ||||||
Nationwide Health Properties‡ | 100 | 4 | ||||||
Nelnet, Cl A | 1,300 | 28 | ||||||
New York Community Bancorp | 60,560 | 1,017 | ||||||
NewStar Financial* | 800 | 7 | ||||||
Northern Trust | 200 | 10 | ||||||
NYSE Euronext | 37,185 | 1,016 | ||||||
Old Republic International | 7,300 | 92 | ||||||
OneBeacon Insurance Group, Cl A | 700 | 10 | ||||||
Parkway Properties‡ | 1,700 | 27 | ||||||
PartnerRe | 100 | 8 | ||||||
Phoenix* | 3,100 | 7 | ||||||
Plum Creek Timber‡ | 1,900 | 69 | ||||||
PNC Financial Services Group | 10,676 | 575 | ||||||
Presidential Life | 1,700 | 16 | ||||||
Progressive | 3,900 | 79 | ||||||
Protective Life | 100 | 2 | ||||||
Prudential Financial | 26,709 | 1,354 | ||||||
Public Storage‡ | 1,100 | 106 | ||||||
Ramco-Gershenson Properties‡ | 1,000 | 12 | ||||||
Raymond James Financial | 1,000 | 29 | ||||||
Rayonier‡ | 300 | 15 | ||||||
Realty Income‡ | 3,500 | 119 | ||||||
Regions Financial | 39,100 | 210 | ||||||
Reinsurance Group of America, Cl A | 300 | 15 | ||||||
RenaissanceRe Holdings | 13,242 | 798 | ||||||
Resource Capital‡ | 10,200 | 68 | ||||||
Simon Property Group‡ | 217 | 21 | ||||||
SL Green Realty‡ | 2,705 | 177 | ||||||
SLM* | 5,600 | 65 | ||||||
StanCorp Financial Group | 900 | 38 | ||||||
State Street | 4,700 | 203 | ||||||
SunTrust Banks | 2,800 | 66 | ||||||
Symetra Financial | 5,300 | 64 | ||||||
T. Rowe Price Group | 12,900 | 753 | ||||||
Taubman Centers‡ | 100 | 5 | ||||||
TCF Financial | 3,700 | 50 | ||||||
Torchmark | 1,400 | 81 | ||||||
Transatlantic Holdings | 200 | 10 | ||||||
Travelers | 16,400 | 885 | ||||||
UDR‡ | 6,100 | 136 | ||||||
Unitrin | 3,100 | 73 | ||||||
Unum Group | 3,600 | 77 | ||||||
US Bancorp | 11,600 | 276 | ||||||
Valley National Bancorp | 5,500 | 70 | ||||||
Ventas‡ | 500 | 26 | ||||||
Vornado Realty Trust‡ | 100 | 8 | ||||||
Washington Federal | 4,800 | 71 | ||||||
Wells Fargo | 159,137 | 4,330 | ||||||
WesBanco | 1,000 | 18 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
WR Berkley | 4,600 | $ | 123 | |||||
Zions Bancorporation | 6,500 | 127 | ||||||
50,586 | ||||||||
Health Care — 12.0% | ||||||||
Abbott Laboratories | 50,950 | 2,370 | ||||||
Aetna | 64,900 | 1,922 | ||||||
Agilent Technologies* | 7,100 | 249 | ||||||
Alexion Pharmaceuticals* | 1,500 | 115 | ||||||
Allergan | 25,500 | 1,690 | ||||||
AMERIGROUP* | 7,200 | 310 | ||||||
AmerisourceBergen | 32,626 | 1,006 | ||||||
Amgen* | 63,427 | 3,342 | ||||||
Becton Dickinson | 4,400 | 343 | ||||||
Biogen Idec* | 23,930 | 1,531 | ||||||
BioMarin Pharmaceutical* | 3,200 | 87 | ||||||
Bio-Rad Laboratories, Cl A* | 100 | 9 | ||||||
Bristol-Myers Squibb | 14,900 | 376 | ||||||
Bruker* | 4,500 | 69 | ||||||
C.R. Bard | 1,200 | 102 | ||||||
Cardinal Health | 74,011 | 2,633 | ||||||
CareFusion* | 2,400 | 55 | ||||||
Celgene* | 3,700 | 220 | ||||||
Cephalon* | 7,700 | 489 | ||||||
Cerner* | 200 | 18 | ||||||
CIGNA | 800 | 29 | ||||||
Cooper | 300 | 16 | ||||||
Covance* | 300 | 13 | ||||||
Coventry Health Care* | 400 | 10 | ||||||
Covidien | 20,606 | 867 | ||||||
Cyberonics* | 700 | 19 | ||||||
DaVita* | 300 | 22 | ||||||
Dendreon* | 900 | 32 | ||||||
Edwards Lifesciences* | 3,800 | 252 | ||||||
Eli Lilly | 34,745 | 1,170 | ||||||
Express Scripts* | 2,300 | 120 | ||||||
Forest Laboratories* | 9,400 | 300 | ||||||
Gen-Probe* | 1,400 | 73 | ||||||
Genzyme* | 792 | 56 | ||||||
Gilead Sciences* | 32,425 | 1,183 | ||||||
Health Net* | 26,600 | 718 | ||||||
Hill-Rom Holdings | 2,800 | 111 | ||||||
Hospira* | 2,900 | 163 | ||||||
Humana* | 15,300 | 857 | ||||||
Illumina* | 800 | 48 | ||||||
Impax Laboratories* | 3,200 | 57 | ||||||
Intuitive Surgical* | 1,500 | 390 | ||||||
Invacare | 1,600 | 43 | ||||||
Johnson & Johnson | 71,858 | 4,423 | ||||||
Kinetic Concepts* | 500 | 20 | ||||||
Laboratory Corp of America Holdings* | 400 | 33 | ||||||
Life Technologies* | 5,000 | 249 | ||||||
Lincare Holdings | 2,550 | 66 | ||||||
McKesson | 19,751 | 1,262 | ||||||
Medco Health Solutions* | 41,000 | 2,514 | ||||||
Medicines* | 2,100 | 28 | ||||||
Medidata Solutions* | 1,000 | 20 | ||||||
Medtronic | 72,625 | 2,435 | ||||||
Merck | 41,663 | 1,436 | ||||||
Mettler Toledo International* | 800 | 116 | ||||||
Mylan Laboratories* | 9,100 | 178 | ||||||
Novo Nordisk ADR | 12,900 | 1,283 |
Description | Shares | Market Value ($ Thousands) | ||||||
Orthofix International* | 800 | $ | 22 | |||||
Par Pharmaceutical* | 700 | 25 | ||||||
Patterson | 1,600 | 48 | ||||||
PerkinElmer | 1,700 | 40 | ||||||
Perrigo | 14,600 | 879 | ||||||
Pfizer | 81,295 | 1,324 | ||||||
Pharmaceutical Product Development | 3,200 | 80 | ||||||
Questcor Pharmaceuticals* | 1,500 | 21 | ||||||
Regeneron Pharmaceuticals* | 300 | 8 | ||||||
ResMed* | 5,400 | 172 | ||||||
Sirona Dental Systems* | 3,100 | 117 | ||||||
St. Jude Medical* | 3,600 | 139 | ||||||
Stryker | 3,500 | 175 | ||||||
SXC Health Solutions* | 2,800 | 107 | ||||||
Teleflex | 600 | 30 | ||||||
Thermo Fisher Scientific* | 7,200 | 366 | ||||||
Thoratec* | 1,900 | 48 | ||||||
United Therapeutics* | 300 | 19 | ||||||
UnitedHealth Group | 64,500 | 2,356 | ||||||
Universal Health Services, Cl B | 700 | 29 | ||||||
Varian Medical Systems* | 2,500 | 165 | ||||||
Waters* | 2,700 | 208 | ||||||
Watson Pharmaceuticals* | 500 | 24 | ||||||
WellPoint* | 14,972 | 835 | ||||||
Zimmer Holdings* | 500 | 25 | ||||||
44,810 | ||||||||
Industrials — 9.2% | ||||||||
3M | 28,900 | 2,427 | ||||||
AGCO* | 300 | 14 | ||||||
Amerco* | 200 | 19 | ||||||
Ametek | 3,900 | 231 | ||||||
Applied Industrial Technologies | 1,000 | 30 | ||||||
Atlas Air Worldwide Holdings* | 400 | 22 | ||||||
Avery Dennison | 1,500 | 56 | ||||||
BE Aerospace* | 900 | 32 | ||||||
Boeing | 4,700 | 300 | ||||||
Bucyrus International, Cl A | 600 | 54 | ||||||
C.H. Robinson Worldwide | 200 | 15 | ||||||
Caterpillar | 1,300 | 110 | ||||||
Chicago Bridge & Iron* | 3,100 | 88 | ||||||
Cooper Industries, Cl A | 3,900 | 213 | ||||||
Copart* | 400 | 14 | ||||||
Crane | 3,800 | 142 | ||||||
CSX | 9,600 | 584 | ||||||
Cubic | 400 | 18 | ||||||
Cummins | 1,100 | 107 | ||||||
Danaher | 4,900 | 212 | ||||||
Deere | 5,800 | 433 | ||||||
Delta Air Lines* | 3,000 | 41 | ||||||
Donaldson | 600 | 33 | ||||||
Dover | 4,700 | 258 | ||||||
Eaton | 5,300 | 511 | ||||||
Emerson Electric | 7,600 | 418 | ||||||
Ennis | 1,400 | 24 | ||||||
Equifax | 2,200 | 76 | ||||||
Expeditors International Washington | 26,200 | 1,386 | ||||||
Fastenal | 2,800 | 150 | ||||||
FedEx | 2,600 | 237 | ||||||
Fluor | 400 | 23 | ||||||
Franklin Electric | 200 | 8 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Gardner Denver | 9,300 | $ | 609 | |||||
General Dynamics | 7,900 | 522 | ||||||
General Electric | 187,600 | 2,970 | ||||||
Goodrich | 25,900 | 2,221 | ||||||
Honeywell International | 6,800 | 338 | ||||||
Hubbell, Cl B | 400 | 23 | ||||||
IDEX | 1,200 | 45 | ||||||
IHS, Cl A* | 200 | 15 | ||||||
ITT | 2,500 | 115 | ||||||
Jacobs Engineering Group* | 300 | 12 | ||||||
Joy Global | 7,849 | 599 | ||||||
Kansas City Southern* | 1,300 | 62 | ||||||
KBR | 23,700 | 642 | ||||||
Kennametal | 1,900 | 64 | ||||||
Kirby* | 1,300 | 58 | ||||||
L-3 Communications Holdings, Cl 3 | 2,000 | 141 | ||||||
Landstar System | 1,000 | 36 | ||||||
Lennox International | 700 | 31 | ||||||
Lockheed Martin | 12,700 | 864 | ||||||
Manitowoc | 2,100 | 23 | ||||||
NACCO Industries, Cl A | 400 | 37 | ||||||
Navistar International* | 7,000 | 358 | ||||||
Nordson | 400 | 32 | ||||||
Norfolk Southern | 5,600 | 337 | ||||||
Northrop Grumman | 21,100 | 1,302 | ||||||
Oshkosh Truck* | 25,100 | 720 | ||||||
Owens Corning* | 40,276 | 1,059 | ||||||
Paccar | 1,200 | 65 | ||||||
Parker Hannifin | 4,900 | 393 | ||||||
Polypore International* | 1,800 | 57 | ||||||
Precision Castparts | 900 | 124 | ||||||
Quanta Services* | 47,100 | 829 | ||||||
Raytheon | 17,500 | 809 | ||||||
Regal-Beloit | 200 | 12 | ||||||
Republic Services, Cl A | 33,263 | 936 | ||||||
Rockwell Automation | 6,100 | 403 | ||||||
Rockwell Collins | 2,300 | 129 | ||||||
Roper Industries | 500 | 36 | ||||||
Ryder System | 13,000 | 560 | ||||||
Sauer-Danfoss* | 500 | 15 | ||||||
Shaw Group* | 400 | 13 | ||||||
Southwest Airlines | 11,800 | 157 | ||||||
Spirit Aerosystems Holdings, Cl A* | 900 | 18 | ||||||
SPX | 400 | 26 | ||||||
Stericycle* | 400 | 30 | ||||||
Thomas & Betts* | 900 | 40 | ||||||
Timken | 22,187 | 966 | ||||||
Toro | 2,200 | 128 | ||||||
TransDigm Group* | 1,500 | 103 | ||||||
Tyco International | 15,103 | 572 | ||||||
Union Pacific | 8,600 | 775 | ||||||
United Continental Holdings* | 63,986 | 1,771 | ||||||
United Parcel Service, Cl B | 3,600 | 252 | ||||||
United Technologies | 31,000 | 2,333 | ||||||
Verisk Analytics, Cl A* | 100 | 3 | ||||||
WABCO Holdings* | 3,200 | 159 | ||||||
Waste Connections | 2,350 | 61 | ||||||
Waste Management | 5,917 | 203 | ||||||
WESCO International* | 1,400 | 67 | ||||||
WW Grainger | 5,000 | 624 | ||||||
34,190 | ||||||||
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 23.0% | ||||||||
Accenture, Cl A | 1,400 | $ | 61 | |||||
Acme Packet* | 3,100 | 152 | ||||||
Activision Blizzard | 77,200 | 906 | ||||||
Adobe Systems* | 58,700 | 1,628 | ||||||
Advanced Micro Devices* | 69,315 | 505 | ||||||
Akamai Technologies* | 7,900 | 412 | ||||||
Alliance Data Systems* | 100 | 6 | ||||||
Altera | 1,100 | 39 | ||||||
Amdocs* | 21,000 | 546 | ||||||
Apple* | 29,014 | 9,028 | ||||||
Applied Materials | 8,300 | 103 | ||||||
Arrow Electronics* | 20,300 | 630 | ||||||
Atmel* | 49,811 | 517 | ||||||
Autodesk* | 28,200 | 995 | ||||||
Automatic Data Processing | 200 | 9 | ||||||
Avago Technologies | 3,700 | 97 | ||||||
Avnet* | 3,000 | 92 | ||||||
AVX | 2,200 | 31 | ||||||
BMC Software* | 200 | 9 | ||||||
Brightpoint* | 3,300 | 27 | ||||||
Broadcom, Cl A | 7,100 | 316 | ||||||
CA | 3,000 | 69 | ||||||
CGI Group, Cl A* | 15,900 | 249 | ||||||
Cisco Systems* | 191,700 | 3,673 | ||||||
Citrix Systems* | 1,700 | 113 | ||||||
Cognizant Technology Solutions, Cl A* | 25,042 | 1,627 | ||||||
Computer Sciences | 3,100 | 138 | ||||||
Compuware* | 1,200 | 12 | ||||||
Comtech Telecommunications | 1,900 | 56 | ||||||
Corning | 17,000 | 300 | ||||||
Cree* | 3,300 | 215 | ||||||
Dell* | 27,000 | 357 | ||||||
Dolby Laboratories, Cl A* | 2,000 | 127 | ||||||
eBay* | 40,500 | 1,180 | ||||||
EchoStar, Cl A* | 1,700 | 34 | ||||||
Electronics for Imaging* | 1,200 | 16 | ||||||
EMC* | 138,100 | 2,968 | ||||||
F5 Networks* | 4,000 | 527 | ||||||
Factset Research Systems | 1,000 | 89 | ||||||
Fidelity National Information Services | 859 | 23 | ||||||
First Solar* | 300 | 37 | ||||||
Flextronics International* | 67,700 | 491 | ||||||
FLIR Systems* | 100 | 3 | ||||||
Google, Cl A* | 4,350 | 2,417 | ||||||
Harris | 5,800 | 257 | ||||||
Hewlett-Packard | 57,025 | 2,391 | ||||||
IAC* | 26,800 | 755 | ||||||
Ingram Micro, Cl A* | 29,600 | 528 | ||||||
Intel | 143,100 | 3,022 | ||||||
International Business Machines | 49,958 | 7,067 | ||||||
Intuit* | 48,600 | 2,182 | ||||||
IPG Photonics* | 400 | 11 | ||||||
Itron* | 1,700 | 97 | ||||||
Jabil Circuit | 64,515 | 975 | ||||||
JDS Uniphase* | 8,100 | 96 | ||||||
Juniper Networks* | 1,900 | 65 | ||||||
Lam Research* | 10,800 | 490 | ||||||
Lexmark International, Cl A* | 2,600 | 94 | ||||||
Linear Technology | 1,000 | 33 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Liquidity Services* | 500 | $ | 8 | |||||
Loral Space & Communications* | 400 | 29 | ||||||
Marvell Technology Group* | 16,300 | 314 | ||||||
Mastercard, Cl A | 6,750 | 1,600 | ||||||
MEMC Electronic Materials* | 1,000 | 12 | ||||||
Microchip Technology | 500 | 17 | ||||||
Micron Technology* | 120,882 | 878 | ||||||
Micros Systems* | 900 | 39 | ||||||
Microsoft | 354,864 | 8,946 | ||||||
MKS Instruments* | 400 | 8 | ||||||
Multi-Fineline Electronix* | 500 | 12 | ||||||
National Instruments | 1,900 | 65 | ||||||
National Semiconductor | 3,300 | 44 | ||||||
NCR* | 1,200 | 17 | ||||||
NetApp* | 3,200 | 163 | ||||||
Novatel Wireless* | 1,600 | 15 | ||||||
Novell* | 6,700 | 40 | ||||||
Novellus Systems* | 2,200 | 66 | ||||||
Nuance Communications* | 61,700 | 1,090 | ||||||
Opnet Technologies | 500 | 12 | ||||||
Oracle | 40,000 | 1,082 | ||||||
Plantronics | 900 | 32 | ||||||
Polycom* | 24,200 | 896 | ||||||
Power-One* | 3,300 | 31 | ||||||
QLogic* | 18,500 | 331 | ||||||
Qualcomm | 104,575 | 4,888 | ||||||
Rackspace Hosting* | 22,600 | 659 | ||||||
Red Hat* | 18,100 | 787 | ||||||
Research In Motion* | 23,700 | 1,466 | ||||||
Rovi* | 300 | 17 | ||||||
Salesforce.com* | 2,000 | 278 | ||||||
SanDisk* | 29,244 | 1,304 | ||||||
Skyworks Solutions* | 700 | 18 | ||||||
Synopsys* | 5,200 | 134 | ||||||
Tellabs | 4,000 | 25 | ||||||
Teradata* | 25,600 | 1,052 | ||||||
Texas Instruments | 139,600 | 4,439 | ||||||
Trimble Navigation* | 200 | 7 | ||||||
Tyco Electronics | 9,600 | 292 | ||||||
VeriSign* | 45,000 | 1,544 | ||||||
Visa, Cl A | 37,200 | 2,747 | ||||||
Vishay Intertechnology* | 51,150 | 729 | ||||||
VMware, Cl A* | 2,000 | 163 | ||||||
WebMD Health, Cl A* | 1,588 | 82 | ||||||
Western Union | 8,300 | 147 | ||||||
Xerox | 21,335 | 245 | ||||||
Xilinx | 900 | 24 | ||||||
Yahoo!* | 700 | 11 | ||||||
Zebra Technologies, Cl A* | 2,200 | 80 | ||||||
85,778 | ||||||||
Materials — 3.5% | ||||||||
Air Products & Chemicals | 2,300 | 198 | ||||||
Airgas | 400 | 24 | ||||||
Albemarle | 1,100 | 59 | ||||||
Alcoa | 21,800 | 286 | ||||||
Allegheny Technologies | 3,000 | 155 | ||||||
Aptargroup | 600 | 27 | ||||||
Ball | 1,981 | 130 | ||||||
Cabot | 13,685 | 490 | ||||||
Carpenter Technology | 1,800 | 66 | ||||||
Celanese, Cl A | 6,500 | 241 | ||||||
CF Industries Holdings | 900 | 109 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cliffs Natural Resources | 10,721 | $ | 733 | |||||
Compass Minerals International | 1,100 | 91 | ||||||
Crown Holdings* | 500 | 16 | ||||||
Cytec Industries | 3,885 | 186 | ||||||
Dow Chemical | 6,927 | 216 | ||||||
E.I. Du Pont de Nemours | 5,100 | 240 | ||||||
Eastman Chemical | 10,100 | 786 | ||||||
Ecolab | 4,200 | 201 | ||||||
FMC | 800 | 62 | ||||||
International Flavors & Fragrances | 3,400 | 179 | ||||||
International Paper | 9,800 | 245 | ||||||
Lubrizol | 12,742 | 1,332 | ||||||
Methanex | 10,500 | 308 | ||||||
Monsanto | 24,575 | 1,473 | ||||||
Mosaic | 2,300 | 156 | ||||||
Nalco Holding | 38,800 | 1,141 | ||||||
Newmont Mining | 19,506 | 1,147 | ||||||
Nucor | 1,600 | 60 | ||||||
PolyOne* | 1,700 | 21 | ||||||
PPG Industries | 1,400 | 109 | ||||||
Praxair | 1,900 | 175 | ||||||
Schnitzer Steel Industries, Cl A | 2,500 | 143 | ||||||
Scotts Miracle-Gro, Cl A | 1,400 | 70 | ||||||
Sherwin-Williams | 800 | 59 | ||||||
Sigma-Aldrich | 200 | 13 | ||||||
Southern Copper | 16,900 | 709 | ||||||
Spartech* | 1,300 | 12 | ||||||
Syngenta ADR | 22,200 | 1,237 | ||||||
Titanium Metals* | 3,500 | 60 | ||||||
United States Steel | 300 | 15 | ||||||
Walter Industries | 500 | 51 | ||||||
Zep | 400 | 7 | ||||||
13,038 | ||||||||
Telecommunication Services — 2.9% | ||||||||
AboveNet* | 200 | 12 | ||||||
American Tower, Cl A* | 5,300 | 268 | ||||||
AT&T | 188,680 | 5,243 | ||||||
BCE | 9,700 | 329 | ||||||
CenturyLink | 2,473 | 106 | ||||||
Crown Castle International* | 41,300 | 1,716 | ||||||
Frontier Communications | 108 | 1 | ||||||
MetroPCS Communications* | 54,000 | 656 | ||||||
NII Holdings* | 1,800 | 70 | ||||||
Qwest Communications International | 50,303 | 352 | ||||||
SBA Communications, Cl A* | 500 | 20 | ||||||
Sprint Nextel* | 122,100 | 461 | ||||||
tw telecom, Cl A* | 1,600 | 26 | ||||||
USA Mobility | 1,000 | 17 | ||||||
Verizon Communications | 43,200 | 1,383 | ||||||
Windstream | 1,900 | 25 | ||||||
10,685 | ||||||||
Utilities — 2.9% | ||||||||
AES* | 215,226 | 2,327 | ||||||
AGL Resources | 1,900 | 70 | ||||||
Allegheny Energy | 1,200 | 27 | ||||||
Alliant Energy | 4,200 | 152 | ||||||
Ameren | 1,300 | 37 | ||||||
American Electric Power | 2,900 | 103 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
American Water Works | 7,500 | $ | 184 | |||||
Aqua America | 5,000 | 107 | ||||||
Calpine* | 1,600 | 19 | ||||||
Centerpoint Energy | 5,800 | 91 | ||||||
CMS Energy | 5,500 | 99 | ||||||
Consolidated Edison | 2,500 | 121 | ||||||
Constellation Energy Group | 18,943 | 537 | ||||||
Dominion Resources | 5,200 | 216 | ||||||
DPL | 4,000 | 101 | ||||||
DTE Energy | 6,725 | 300 | ||||||
Duke Energy | 4,200 | 74 | ||||||
Edison International | 19,200 | 709 | ||||||
Energen | 8,400 | 366 | ||||||
Entergy | 6,400 | 456 | ||||||
Exelon | 35,495 | 1,397 | ||||||
Hawaiian Electric Industries | 3,600 | 79 | ||||||
Integrys Energy Group | 2,800 | 136 | ||||||
ITC Holdings | 1,500 | 91 | ||||||
Mirant* | 12,700 | 126 | ||||||
NextEra Energy | 2,500 | 127 | ||||||
NiSource | 2,400 | 40 | ||||||
Northeast Utilities | 5,600 | 174 | ||||||
NSTAR | 3,800 | 157 | ||||||
NV Energy | 30,500 | 418 | ||||||
OGE Energy | 1,500 | 67 | ||||||
Oneok | 2,800 | 143 | ||||||
Pepco Holdings | 5,400 | 99 | ||||||
PG&E | 300 | 14 | ||||||
Pinnacle West Capital | 3,500 | 142 | ||||||
Portland General Electric | 4,400 | 93 | ||||||
PPL | 2,400 | 61 | ||||||
Public Service Enterprise Group | 18,400 | 567 | ||||||
Questar | 4,000 | 67 | ||||||
SCANA | 1,200 | 49 | ||||||
Southern | 2,100 | 79 | ||||||
TECO Energy | 2,000 | 33 | ||||||
UGI | 2,000 | 59 | ||||||
Vectren | 1,800 | 47 | ||||||
Westar Energy | 3,800 | 95 | ||||||
Wisconsin Energy | 2,900 | 175 | ||||||
Xcel Energy | 3,600 | 85 | ||||||
10,716 | ||||||||
Total Common Stock | 355,519 | |||||||
CASH EQUIVALENT — 3.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**† | 13,563 | 13,563 | ||||||
Total Cash Equivalent | 13,563 | |||||||
U.S. TREASURY OBLIGATIONS (A) — 0.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.051%, 12/16/10 | 1,112 | 1,112 | ||||||
0.326%, 02/10/11 | 300 | 300 | ||||||
Total U.S. Treasury Obligations | 1,412 | |||||||
Description | Market Value ($ Thousands) | |||
Total Investments — 99.5% | $ | 370,494 | ||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 13 | Dec-2010 | $ | 31 | ||||||||
S&P Composite Index | 39 | Dec-2010 | 489 | |||||||||
$ | 520 | |||||||||||
For the year ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $372,528 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
PLC — Public Limited Company
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
Ser — Series
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 355,519 | $ | — | $ | — | $ | 355,519 | ||||||||
Cash Equivalent | 13,563 | — | — | 13,563 | ||||||||||||
U.S. Treasury Obligations | — | 1,412 | — | 1,412 | ||||||||||||
Total Investments in Securities | $ | 369,082 | $ | 1,412 | $ | — | $ | 370,494 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 520 | $ | — | $ | — | $ | 520 | ||||||||
Total Other Financial Instruments | $ | 520 | $ | — | $ | — | $ | 520 | ||||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 83.1% | ||||||||
Consumer Discretionary — 8.3% | ||||||||
Amazon.com* | 144,738 | $ | 25,387 | |||||
American Eagle Outfitters | 123,700 | 2,041 | ||||||
AutoNation* (A) | 36,300 | 948 | ||||||
AutoZone* | 52,430 | 13,601 | ||||||
Bed Bath & Beyond* | 119,837 | 5,242 | ||||||
Best Buy (A) | 242,869 | 10,375 | ||||||
Big Lots* (A) | 25,700 | 788 | ||||||
Brinker International | 24,884 | 509 | ||||||
Brown Shoe | 212,200 | 3,017 | ||||||
Carnival (A) | 155,500 | 6,424 | ||||||
CBS, Cl B | 20,500 | 345 | ||||||
CEC Entertainment* | 9,300 | 349 | ||||||
Coach | 73,300 | 4,144 | ||||||
Comcast, Cl A (A) | 2,392,211 | 46,353 | ||||||
Darden Restaurants | 187,152 | 9,161 | ||||||
DeVry | 37,300 | 1,602 | ||||||
DIRECTV, Cl A* | 502,415 | 20,865 | ||||||
Discovery Communications, Cl A* (A) | 19,900 | 811 | ||||||
Dollar Tree* (A) | 36,850 | 2,025 | ||||||
Family Dollar Stores (A) | 162,500 | 8,157 | ||||||
Ford Motor* (A) | 1,426,796 | 22,743 | ||||||
Fortune Brands | 8,400 | 496 | ||||||
Fossil* | 29,500 | 1,996 | ||||||
Gannett (A) | 37,081 | 486 | ||||||
Gap | 563,640 | 12,039 | ||||||
Genuine Parts | 34,600 | 1,666 | ||||||
H&R Block (A) | 601,179 | 7,569 | ||||||
Hasbro | 97,600 | 4,652 | ||||||
Helen of Troy* | 10,900 | 258 | ||||||
Home Depot | 516,095 | 15,591 | ||||||
Iconix Brand Group* (A) | 148,800 | 2,780 | ||||||
Interpublic Group* | 74,000 | 788 | ||||||
Johnson Controls | 213,136 | 7,767 | ||||||
Kohl’s* | 35,200 | 1,986 | ||||||
Liberty Media - Interactive, Cl A* | 10,400 | 161 | ||||||
Liberty Media - Starz, Ser A* | 7,000 | 440 | ||||||
Limited Brands | 246,400 | 8,296 | ||||||
Liz Claiborne* (A) | 347,200 | 2,538 | ||||||
Lowe’s | 202,900 | 4,606 | ||||||
Macy’s | 160,002 | 4,109 | ||||||
Marriott International, Cl A (A) | 54,400 | 2,133 | ||||||
Mattel (A) | 707,600 | 18,284 | ||||||
Matthews International, Cl A | 69,600 | 2,260 | ||||||
McDonald’s | 562,989 | 44,082 | ||||||
McGraw-Hill | 7,100 | 245 | ||||||
MDC Holdings (A) | 146,006 | 3,646 | ||||||
Modine Manufacturing* | 177,500 | 2,460 | ||||||
Newell Rubbermaid (A) | 689,320 | 11,560 | ||||||
News, Cl A | 1,010,400 | 13,782 | ||||||
NIKE, Cl B (A) | 108,200 | 9,319 | ||||||
Omnicom Group (A) | 461,986 | 20,993 | ||||||
O’Reilly Automotive* (A) | 217,246 | 13,074 | ||||||
Polo Ralph Lauren, Cl A (A) | 1,800 | 197 | ||||||
priceline.com* | 33,664 | 13,265 | ||||||
Ross Stores (A) | 128,000 | 8,305 | ||||||
Scripps Networks Interactive, Cl A | 13,700 | 698 | ||||||
Sears Holdings* (A) | 8,000 | 524 | ||||||
Shutterfly* | 15,500 | 511 |
Description | Shares | Market Value ($ Thousands) | ||||||
Stanley Black & Decker (A) | 33,060 | $ | 1,968 | |||||
Starbucks (A) | 293,200 | 8,972 | ||||||
Starwood Hotels & Resorts Worldwide (A) | 78,900 | 4,485 | ||||||
Target | 753,248 | 42,890 | ||||||
Tempur-Pedic International* | 57,400 | 2,015 | ||||||
Tenneco* (A) | 45,900 | 1,673 | ||||||
Texas Roadhouse, Cl A* (A) | 144,900 | 2,476 | ||||||
Thor Industries (A) | 49,300 | 1,456 | ||||||
Tiffany | 2,700 | 168 | ||||||
Time Warner | 886,274 | 26,136 | ||||||
Time Warner Cable, Cl A | 185,288 | 11,403 | ||||||
TJX | 446,500 | 20,365 | ||||||
TRW Automotive Holdings* (A) | 173,614 | 8,245 | ||||||
Tupperware Brands | 6,700 | 312 | ||||||
Urban Outfitters* (A) | 7,000 | 265 | ||||||
VF (A) | 31,800 | 2,635 | ||||||
Viacom, Cl B (A) | 685,252 | 25,923 | ||||||
Walt Disney | 471,650 | 17,220 | ||||||
Warnaco Group* (A) | 4,700 | 253 | ||||||
Whirlpool (A) | 14,800 | 1,080 | ||||||
Williams-Sonoma (A) | 62,400 | 2,076 | ||||||
Wyndham Worldwide | 6,700 | 192 | ||||||
Wynn Resorts (A) | 26,300 | 2,659 | ||||||
Yum! Brands | 150,700 | 7,547 | ||||||
620,863 | ||||||||
Consumer Staples — 8.9% | ||||||||
Altria Group | 975,522 | 23,413 | ||||||
Archer-Daniels-Midland | 211,353 | 6,127 | ||||||
Brown-Forman, Cl B (A) | 55,000 | 3,598 | ||||||
Campbell Soup (A) | 18,800 | 637 | ||||||
Central Garden and Pet, Cl A* | 360,400 | 3,366 | ||||||
Clorox | 98,888 | 6,112 | ||||||
Coca-Cola | 1,027,167 | 64,886 | ||||||
Coca-Cola Enterprises | 868,326 | 20,970 | ||||||
Colgate-Palmolive | 144,500 | 11,062 | ||||||
ConAgra Foods | 30,200 | 649 | ||||||
Constellation Brands, Cl A* | 77,900 | 1,606 | ||||||
Corn Products International | 13,700 | 591 | ||||||
Costco Wholesale | 23,600 | 1,596 | ||||||
CVS Caremark | 429,208 | 13,306 | ||||||
Dean Foods* (A) | 840,800 | 6,113 | ||||||
Dr. Pepper Snapple Group | 95,000 | 3,480 | ||||||
Estee Lauder, Cl A | 86,400 | 6,473 | ||||||
General Mills | 427,505 | 15,104 | ||||||
Hansen Natural* | 23,985 | 1,276 | ||||||
Hershey (A) | 107,209 | 5,017 | ||||||
HJ Heinz | 18,400 | 888 | ||||||
Hormel Foods | 115,108 | 5,650 | ||||||
JM Smucker | 13,000 | 822 | ||||||
Kellogg | 3,500 | 172 | ||||||
Kimberly-Clark | 94,194 | 5,830 | ||||||
Kraft Foods, Cl A | 736,047 | 22,265 | ||||||
Kroger | 162,600 | 3,829 | ||||||
Lance (A) | 103,900 | 2,432 | ||||||
Lorillard | 39,448 | 3,139 | ||||||
McCormick | 34,200 | 1,505 | ||||||
Mead Johnson Nutrition, Cl A | 108,200 | 6,445 | ||||||
Molson Coors Brewing, Cl B (A) | 302,700 | 14,424 | ||||||
PepsiCo | 1,142,129 | 73,816 | ||||||
Philip Morris International | 895,806 | 50,962 | ||||||
Procter & Gamble | 1,636,289 | 99,928 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Ralcorp Holdings* | 27,600 | $ | 1,709 | |||||
Reynolds American (A) | 125,400 | 3,880 | ||||||
Safeway (A) | 35,100 | 807 | ||||||
Sara Lee | 1,234,438 | 18,517 | ||||||
Smart Balance* | 26,400 | 97 | ||||||
Smithfield Foods* (A) | 256,500 | 4,517 | ||||||
Sysco (A) | 112,965 | 3,278 | ||||||
Tyson Foods, Cl A (A) | 888,694 | 14,068 | ||||||
Walgreen (A) | 961,820 | 33,519 | ||||||
Wal-Mart Stores | 1,792,861 | 96,976 | ||||||
Whole Foods Market* (A) | 51,400 | 2,427 | ||||||
667,284 | ||||||||
Energy — 9.5% | ||||||||
Anadarko Petroleum | 69,700 | 4,472 | ||||||
Apache | 106,158 | 11,427 | ||||||
Baker Hughes | 18,419 | 961 | ||||||
Cameron International* | 4,300 | 207 | ||||||
Chevron | 1,385,357 | 112,172 | ||||||
Cimarex Energy | 56,500 | 4,551 | ||||||
Complete Production Services* | 14,500 | 412 | ||||||
ConocoPhillips | 1,564,934 | 94,162 | ||||||
Continental Resources* (A) | 12,600 | 673 | ||||||
Denbury Resources* (A) | 129,000 | 2,345 | ||||||
Devon Energy | 284,544 | 20,080 | ||||||
El Paso (A) | 448,300 | 6,048 | ||||||
EOG Resources (A) | 41,800 | 3,718 | ||||||
EQT | 20,200 | 817 | ||||||
Exxon Mobil | 2,547,890 | 177,231 | ||||||
FMC Technologies* | 8,500 | 716 | ||||||
Frontier Oil | 55,600 | 863 | ||||||
Halliburton | 755,595 | 28,592 | ||||||
Helmerich & Payne | 157,400 | 7,140 | ||||||
Hess | 256,305 | 17,954 | ||||||
James River Coal* (A) | 252,800 | 5,031 | ||||||
Marathon Oil | 971,929 | 32,530 | ||||||
McDermott International* | 41,000 | 752 | ||||||
Murphy Oil | 8,800 | 594 | ||||||
Nabors Industries* | 60,700 | 1,341 | ||||||
Occidental Petroleum | 444,836 | 39,221 | ||||||
Oceaneering International* (A) | 61,500 | 4,250 | ||||||
Oil States International* | 6,900 | 409 | ||||||
Peabody Energy | 3,100 | 182 | ||||||
Pioneer Natural Resources (A) | 77,800 | 6,233 | ||||||
QEP Resources (A) | 55,000 | 1,932 | ||||||
Rowan* (A) | 25,900 | 781 | ||||||
RPC (A) | 21,300 | 624 | ||||||
Schlumberger (A) | 873,679 | 67,570 | ||||||
SEACOR Holdings* | 5,100 | 556 | ||||||
Southwestern Energy* | 208,174 | 7,536 | ||||||
Spectra Energy | 18,500 | 440 | ||||||
Suncor Energy | 658,987 | 22,149 | ||||||
Sunoco | 83,100 | 3,336 | ||||||
Unit* | 35,000 | 1,399 | ||||||
Valero Energy (A) | 828,503 | 16,139 | ||||||
Williams | 21,900 | 500 | ||||||
708,046 | ||||||||
Financials — 11.4% | ||||||||
ACE | 89,600 | 5,243 | ||||||
Aflac | 97,500 | 5,021 | ||||||
Allstate | 85,294 | 2,483 | ||||||
American Express | 857,095 | 37,044 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ameriprise Financial | 71,336 | $ | 3,698 | |||||
Apartment Investment & Management, Cl A‡ (A) | 142,100 | 3,427 | ||||||
Arch Capital Group* | 34,200 | 3,088 | ||||||
Ares Capital | 8,498 | 140 | ||||||
Assurant (A) | 150,200 | 5,298 | ||||||
Assured Guaranty | 105,774 | 1,799 | ||||||
AvalonBay Communities‡ (A) | 27,700 | 3,056 | ||||||
Bank of America | 4,675,154 | 51,193 | ||||||
Bank of New York Mellon (A) | 392,821 | 10,602 | ||||||
BB&T (A) | 84,200 | 1,953 | ||||||
Berkshire Hathaway, Cl B* | 327,674 | 26,109 | ||||||
Boston Properties‡ | 16,500 | 1,383 | ||||||
Capital One Financial (A) | 521,397 | 19,412 | ||||||
CB Richard Ellis Group, Cl A* (A) | 196,300 | 3,767 | ||||||
Chimera Investment‡ (A) | 3,559,429 | 14,238 | ||||||
Chubb | 145,700 | 8,306 | ||||||
Cincinnati Financial (A) | 166,600 | 5,022 | ||||||
Citigroup* | 5,934,611 | 24,925 | ||||||
City National (A) | 287,400 | 15,439 | ||||||
CME Group, Cl A | 67,456 | 19,432 | ||||||
Comerica (A) | 159,100 | 5,806 | ||||||
CommonWealth REIT‡ | 19,500 | 488 | ||||||
Digital Realty Trust‡ (A) | 50,950 | 2,676 | ||||||
East West Bancorp | 535,536 | 9,286 | ||||||
Equity Residential‡ (A) | 96,600 | 4,828 | ||||||
Extra Space Storage‡ | 213,100 | 3,414 | ||||||
Fifth Third Bancorp (A) | 432,600 | 5,170 | ||||||
Franklin Resources | 18,909 | 2,157 | ||||||
Fulton Financial | 160,300 | 1,387 | ||||||
Genworth Financial, Cl A* | 338,700 | 3,949 | ||||||
Goldman Sachs Group | 335,793 | 52,431 | ||||||
Hospitality Properties Trust‡ | 124,800 | 2,761 | ||||||
Host Hotels & Resorts‡ | 189,862 | 3,129 | ||||||
Huntington Bancshares (A) | 1,100,700 | 6,423 | ||||||
IntercontinentalExchange* | 3,400 | 383 | ||||||
Invesco | 826,936 | 17,978 | ||||||
Invesco Mortgage Capital‡ | 39,000 | 881 | ||||||
Jones Lang LaSalle | 12,700 | 1,014 | ||||||
JPMorgan Chase | 3,089,361 | 115,480 | ||||||
Keycorp (A) | 530,200 | 3,992 | ||||||
Kilroy Realty‡ (A) | 59,400 | 2,027 | ||||||
Kimco Realty‡ | 90,363 | 1,505 | ||||||
LaSalle Hotel Properties‡ | 109,100 | 2,597 | ||||||
Lincoln National | 67,700 | 1,617 | ||||||
Loews | 24,800 | 928 | ||||||
M&T Bank (A) | 149,434 | 11,500 | ||||||
Macerich‡ (A) | 78,000 | 3,614 | ||||||
Mack-Cali Realty‡ | 74,800 | 2,375 | ||||||
Marshall & Ilsley (A) | 519,200 | 2,487 | ||||||
MetLife | 175,693 | 6,703 | ||||||
MFA Mortgage Investments‡ (A) | 291,200 | 2,373 | ||||||
Morgan Stanley | 264,016 | 6,458 | ||||||
NASDAQ OMX Group* | 16,500 | 354 | ||||||
New York Community Bancorp (A) | 607,629 | 10,208 | ||||||
Northern Trust | 7,100 | 357 | ||||||
NYSE Euronext (A) | 307,744 | 8,408 | ||||||
PacWest Bancorp (A) | 194,500 | 3,306 | ||||||
PartnerRe | 7,480 | 580 | ||||||
Plum Creek Timber‡ (A) | 31,100 | 1,121 | ||||||
PNC Financial Services Group | 615,600 | 33,150 | ||||||
Progressive | 144,300 | 2,935 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Prudential Financial | 729,262 | $ | 36,959 | |||||
Public Storage‡ | 34,402 | 3,323 | ||||||
Regions Financial | 1,970,215 | 10,600 | ||||||
RenaissanceRe Holdings | 80,791 | 4,870 | ||||||
Simon Property Group‡ | 57,889 | 5,702 | ||||||
SL Green Realty‡ | 8,652 | 566 | ||||||
SLM* (A) | 170,700 | 1,971 | ||||||
State Street | 338,341 | 14,616 | ||||||
Stifel Financial* (A) | 61,500 | 3,188 | ||||||
SunTrust Banks | 109,500 | 2,558 | ||||||
Symetra Financial | 32,000 | 387 | ||||||
T. Rowe Price Group (A) | 174,600 | 10,184 | ||||||
Torchmark (A) | 33,400 | 1,920 | ||||||
Transatlantic Holdings | 35,400 | 1,791 | ||||||
Travelers | 163,655 | 8,836 | ||||||
UDR‡ (A) | 182,400 | 4,067 | ||||||
Unum Group | 151,300 | 3,251 | ||||||
US Bancorp | 487,666 | 11,597 | ||||||
Ventas‡ (A) | 26,400 | 1,353 | ||||||
Vornado Realty Trust‡ | 1,741 | 142 | ||||||
Washington Federal | 17,400 | 257 | ||||||
Wells Fargo | 3,449,613 | 93,864 | ||||||
Wintrust Financial (A) | 96,800 | 2,773 | ||||||
Zions Bancorporation (A) | 216,800 | 4,217 | ||||||
849,306 | ||||||||
Health Care — 9.5% | ||||||||
Abbott Laboratories | 443,916 | 20,646 | ||||||
Aetna | 231,500 | 6,857 | ||||||
Agilent Technologies* | 102,800 | 3,600 | ||||||
AmerisourceBergen (A) | 365,639 | 11,280 | ||||||
Amgen* | 1,219,667 | 64,264 | ||||||
Baxter International | 48,100 | 2,335 | ||||||
Becton Dickinson | 98,700 | 7,692 | ||||||
Biogen Idec* (A) | 175,403 | 11,220 | ||||||
Bristol-Myers Squibb | 1,314,059 | 33,167 | ||||||
Bruker* (A) | 39,500 | 609 | ||||||
C.R. Bard | 12,300 | 1,044 | ||||||
Cardinal Health | 541,639 | 19,271 | ||||||
CareFusion* | 385,500 | 8,816 | ||||||
Celgene* | 235,300 | 13,972 | ||||||
Cephalon* (A) | 63,500 | 4,032 | ||||||
CIGNA | 23,200 | 854 | ||||||
Community Health Systems* | 88,800 | 2,829 | ||||||
Coventry Health Care* | 92,300 | 2,337 | ||||||
Covidien | 814,832 | 34,280 | ||||||
DaVita* | 11,800 | 858 | ||||||
Eli Lilly (A) | 741,982 | 24,975 | ||||||
Express Scripts* | 123,400 | 6,428 | ||||||
Genzyme* | 23,149 | 1,649 | ||||||
Gilead Sciences* (A) | 431,754 | 15,759 | ||||||
Haemonetics* | 22,700 | 1,335 | ||||||
Hospira* | 261,532 | 14,714 | ||||||
Humana* | 95,100 | 5,329 | ||||||
Impax Laboratories* | 159,500 | 2,842 | ||||||
Intuitive Surgical* (A) | 33,600 | 8,746 | ||||||
Invacare (A) | 6,200 | 167 | ||||||
Johnson & Johnson | 1,496,160 | 92,089 | ||||||
King Pharmaceuticals* | 25,023 | 354 | ||||||
Laboratory Corp of America Holdings* (A) | 5,200 | 427 | ||||||
Life Technologies* | 263,600 | 13,129 | ||||||
McKesson | 27,500 | 1,757 |
Description | Shares | Market Value ($ Thousands) | ||||||
Medco Health Solutions* | 150,948 | $ | 9,256 | |||||
Medicines* | 98,700 | 1,301 | ||||||
Medtronic | 165,576 | 5,552 | ||||||
Merck | 1,630,398 | 56,200 | ||||||
Mylan Laboratories* (A) | 170,900 | 3,344 | ||||||
Par Pharmaceutical* | 21,200 | 762 | ||||||
Patterson | 33,800 | 1,005 | ||||||
PerkinElmer | 324,694 | 7,565 | ||||||
Pfizer | 5,366,986 | 87,428 | ||||||
Questcor Pharmaceuticals* (A) | 47,100 | 671 | ||||||
Sirona Dental Systems* | 24,600 | 930 | ||||||
St. Jude Medical* | 46,800 | 1,811 | ||||||
Stryker (A) | 72,400 | 3,626 | ||||||
SXC Health Solutions* | 22,300 | 855 | ||||||
Thermo Fisher Scientific* | 458,203 | 23,304 | ||||||
UnitedHealth Group | 863,607 | 31,539 | ||||||
Varian Medical Systems* (A) | 58,700 | 3,864 | ||||||
VCA Antech* (A) | 125,200 | 2,735 | ||||||
Warner Chilcott, Cl A | 102,500 | 1,948 | ||||||
Waters* | 24,800 | 1,907 | ||||||
Watson Pharmaceuticals* | 35,900 | 1,750 | ||||||
WellPoint* | 347,588 | 19,375 | ||||||
Zimmer Holdings* | 9,000 | 443 | ||||||
706,834 | ||||||||
Industrials — 10.1% | ||||||||
3M | 175,366 | 14,727 | ||||||
Altra Holdings* | 162,900 | 2,733 | ||||||
Ametek | 13,100 | 775 | ||||||
Applied Industrial Technologies | 7,700 | 230 | ||||||
Atlas Air Worldwide Holdings* | 7,700 | 420 | ||||||
Avery Dennison | 74,000 | 2,778 | ||||||
BE Aerospace* | 55,900 | 1,984 | ||||||
Boeing | 301,118 | 19,202 | ||||||
C.H. Robinson Worldwide | 5,400 | 398 | ||||||
Caterpillar | 184,598 | 15,617 | ||||||
Chicago Bridge & Iron* | 101,912 | 2,885 | ||||||
Cooper Industries, Cl A (A) | 306,331 | 16,695 | ||||||
Corrections of America* | 78,800 | 1,903 | ||||||
CSX | 58,800 | 3,575 | ||||||
Cubic | 4,100 | 187 | ||||||
Cummins | 315,886 | 30,679 | ||||||
Danaher | 73,400 | 3,175 | ||||||
Deere | 241,200 | 18,018 | ||||||
Dover (A) | 382,433 | 20,961 | ||||||
Eaton | 131,500 | 12,677 | ||||||
Emerson Electric (A) | 622,730 | 34,294 | ||||||
Equifax | 101,600 | 3,516 | ||||||
Expeditors International Washington (A) | 49,817 | 2,635 | ||||||
Fastenal (A) | 74,700 | 3,998 | ||||||
FedEx (A) | 91,347 | 8,324 | ||||||
Fluor | 17,700 | 1,024 | ||||||
Generac Holdings* | 105,532 | 1,568 | ||||||
General Dynamics (A) | 396,179 | 26,184 | ||||||
General Electric | 4,607,578 | 72,938 | ||||||
Goodrich | 88,200 | 7,565 | ||||||
GrafTech International* | 105,600 | 2,070 | ||||||
Great Lakes Dredge & Dock | 139,000 | 1,068 | ||||||
Harsco | 143,300 | 3,448 | ||||||
Honeywell International | 1,238,573 | 61,569 | ||||||
Illinois Tool Works | 15,000 | 714 | ||||||
Ingersoll-Rand (A) | 48,300 | 1,980 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
ITT | 24,500 | $ | 1,127 | |||||
Jacobs Engineering Group* | 9,100 | 350 | ||||||
Joy Global | 34,314 | 2,619 | ||||||
Kennametal | 10,300 | 348 | ||||||
L-3 Communications Holdings, Cl 3 | 49,900 | 3,510 | ||||||
Lockheed Martin | 132,700 | 9,029 | ||||||
Middleby* (A) | 23,100 | 1,859 | ||||||
Navistar International* | 198,017 | 10,134 | ||||||
Norfolk Southern | 162,700 | 9,790 | ||||||
Northrop Grumman | 175,976 | 10,854 | ||||||
Owens Corning* (A) | 346,412 | 9,114 | ||||||
Paccar (A) | 43,500 | 2,343 | ||||||
Parker Hannifin | 244,270 | 19,598 | ||||||
Polypore International* | 16,100 | 512 | ||||||
Precision Castparts | 9,500 | 1,312 | ||||||
Quanta Services* | 190,800 | 3,360 | ||||||
Raytheon | 487,400 | 22,542 | ||||||
Regal-Beloit | 44,400 | 2,709 | ||||||
Republic Services, Cl A | 499,534 | 14,057 | ||||||
Rockwell Automation | 186,000 | 12,298 | ||||||
Rockwell Collins | 302,637 | 16,966 | ||||||
Roper Industries | 25,000 | 1,810 | ||||||
RR Donnelley & Sons | 27,100 | 427 | ||||||
Southwest Airlines (A) | 273,100 | 3,638 | ||||||
Stericycle* (A) | 16,000 | 1,182 | ||||||
Team* | 116,100 | 2,364 | ||||||
Timken | 55,234 | 2,406 | ||||||
Trex* (A) | 99,900 | 1,843 | ||||||
Tyco International | 132,100 | 5,005 | ||||||
Union Pacific | 382,141 | 34,435 | ||||||
United Continental Holdings* (A) | 257,844 | 7,137 | ||||||
United Parcel Service, Cl B | 461,973 | 32,398 | ||||||
United Technologies | 1,235,270 | 92,979 | ||||||
UTi Worldwide | 136,300 | 2,624 | ||||||
WABCO Holdings* | 16,700 | 830 | ||||||
Waste Management (A) | 17,600 | 603 | ||||||
WW Grainger (A) | 39,200 | 4,897 | ||||||
751,523 | ||||||||
Information Technology — 17.0% | ||||||||
Acme Packet* (A) | 46,000 | 2,253 | ||||||
Advanced Micro Devices* (A) | 940,037 | 6,853 | ||||||
Akamai Technologies* | 252,600 | 13,183 | ||||||
Altera (A) | 67,800 | 2,379 | ||||||
AOL* | 113,500 | 2,744 | ||||||
Apple* | 562,645 | 175,067 | ||||||
Applied Materials | 70,900 | 881 | ||||||
Atmel* | 186,553 | 1,938 | ||||||
Autodesk* | 210,300 | 7,421 | ||||||
Automatic Data Processing | 5,253 | 234 | ||||||
Baidu.com ADR* (A) | 112,000 | 11,781 | ||||||
BMC Software* | 76,900 | 3,414 | ||||||
Broadcom, Cl A (A) | 211,200 | 9,396 | ||||||
Cisco Systems* | 4,145,320 | 79,424 | ||||||
Citrix Systems* | 40,100 | 2,663 | ||||||
Cognizant Technology Solutions, Cl A* | 299,192 | 19,441 | ||||||
Computer Sciences | 12,900 | 576 | ||||||
Compuware* | 40,700 | 419 | ||||||
Comtech Telecommunications | 8,100 | 240 | ||||||
Corning | 555,200 | 9,805 | ||||||
Dell* | 96,800 | 1,280 |
Description | Shares | Market Value ($ Thousands) | ||||||
eBay* | 150,000 | $ | 4,370 | |||||
Echo Global Logistics* (A) | 229,849 | 2,632 | ||||||
EMC* | 1,473,025 | 31,655 | ||||||
F5 Networks* | 21,600 | 2,849 | ||||||
FARO Technologies* | 20,893 | 543 | ||||||
Fidelity National Information Services | 32,700 | 880 | ||||||
First Solar* (A) | 16,400 | 2,015 | ||||||
Fiserv* | 8,800 | 487 | ||||||
FLIR Systems* (A) | 113,900 | 3,053 | ||||||
Google, Cl A* | 115,608 | 64,245 | ||||||
Harris | 214,400 | 9,485 | ||||||
Hewlett-Packard | 1,414,456 | 59,308 | ||||||
Ingram Micro, Cl A* | 128,500 | 2,294 | ||||||
Intel | 4,530,221 | 95,678 | ||||||
International Business Machines (A) | 1,132,169 | 160,157 | ||||||
Intuit* | 221,800 | 9,957 | ||||||
Itron* | 19,900 | 1,130 | ||||||
Jabil Circuit | 568,574 | 8,591 | ||||||
JDS Uniphase* | 279,600 | 3,319 | ||||||
Lam Research* | 56,200 | 2,548 | ||||||
Lexmark International, Cl A* | 81,900 | 2,968 | ||||||
Linear Technology (A) | 25,800 | 841 | ||||||
Marvell Technology Group* | 107,700 | 2,077 | ||||||
Mastercard, Cl A | 46,675 | 11,063 | ||||||
McAfee* | 13,806 | 647 | ||||||
MEMC Electronic Materials* | 35,500 | 411 | ||||||
Microchip Technology (A) | 3,800 | 128 | ||||||
Micron Technology* (A) | 1,205,054 | 8,749 | ||||||
Microsoft | 5,780,439 | 145,725 | ||||||
Motorola* | 132,400 | 1,014 | ||||||
National Instruments | 5,800 | 198 | ||||||
NetApp* (A) | 117,500 | 5,984 | ||||||
Novell* | 151,200 | 901 | ||||||
Novellus Systems* (A) | 85,600 | 2,581 | ||||||
Nuance Communications* | 103,500 | 1,829 | ||||||
ON Semiconductor* | 359,600 | 2,933 | ||||||
Oracle | 2,325,409 | 62,879 | ||||||
Plantronics | 12,800 | 458 | ||||||
Polycom* (A) | 70,600 | 2,612 | ||||||
Power-One* (A) | 13,500 | 127 | ||||||
Qualcomm | 1,056,510 | 49,381 | ||||||
Quest Software* | 135,300 | 3,423 | ||||||
Red Hat* | 176,100 | 7,660 | ||||||
Salesforce.com* (A) | 53,100 | 7,393 | ||||||
SanDisk* | 217,418 | 9,697 | ||||||
SS&C Technologies Holdings* (A) | 196,316 | 3,811 | ||||||
Synopsys* | 40,200 | 1,033 | ||||||
Tellabs (A) | 170,300 | 1,075 | ||||||
Teradyne* (A) | 120,000 | 1,423 | ||||||
Texas Instruments (A) | 744,461 | 23,674 | ||||||
VeriSign* (A) | 85,200 | 2,923 | ||||||
Visa, Cl A (A) | 607,421 | 44,858 | ||||||
Vishay Intertechnology* | 170,630 | 2,433 | ||||||
VistaPrint* (A) | 13,300 | 536 | ||||||
VMware, Cl A* (A) | 110,752 | 9,029 | ||||||
Western Union | 1,301,177 | 22,953 | ||||||
Xerox | 664,925 | 7,620 | ||||||
Xilinx (A) | 153,100 | 4,152 | ||||||
Zebra Technologies, Cl A* | 12,300 | 448 | ||||||
1,274,235 | ||||||||
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 3.6% | ||||||||
Air Products & Chemicals | 65,400 | $ | 5,639 | |||||
Airgas | 28,375 | 1,734 | ||||||
Albemarle | 14,000 | 757 | ||||||
Alcoa (A) | 500,600 | 6,568 | ||||||
Allegheny Technologies (A) | 616,788 | 31,888 | ||||||
Ball | 447,000 | 29,448 | ||||||
Cabot | 35,900 | 1,285 | ||||||
Celanese, Cl A | 63,100 | 2,335 | ||||||
CF Industries Holdings | 45,300 | 5,471 | ||||||
Cliffs Natural Resources (A) | 210,142 | 14,361 | ||||||
Commercial Metals (A) | 21,500 | 331 | ||||||
Dow Chemical (A) | 900 | 28 | ||||||
E.I. Du Pont de Nemours | 552,799 | 25,976 | ||||||
Ecolab | 16,900 | 808 | ||||||
FMC | 17,600 | 1,370 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 99,955 | 10,127 | ||||||
Horsehead Holding* | 165,600 | 1,926 | ||||||
International Flavors & Fragrances | 104,200 | 5,472 | ||||||
International Paper | 256,800 | 6,412 | ||||||
Kronos Worldwide | 38,400 | 1,620 | ||||||
Lubrizol | 47,195 | 4,935 | ||||||
MeadWestvaco | 11,900 | 296 | ||||||
Monsanto | 433,488 | 25,975 | ||||||
Mosaic | 147,816 | 9,997 | ||||||
Nalco Holding (A) | 40,800 | 1,200 | ||||||
Newmont Mining | 262,715 | 15,456 | ||||||
Nucor | 35,700 | 1,347 | ||||||
Owens-Illinois* | 66,400 | 1,785 | ||||||
Potash Corp of Saskatchewan | 51,204 | 7,360 | ||||||
PPG Industries (A) | 25,600 | 1,996 | ||||||
Praxair (A) | 295,119 | 27,166 | ||||||
Rock-Tenn, Cl A | 38,200 | 2,066 | ||||||
Rockwood Holdings* (A) | 69,300 | 2,645 | ||||||
Schnitzer Steel Industries, Cl A | 89,700 | 5,121 | ||||||
Schweitzer-Mauduit International | 38,000 | 2,387 | ||||||
Sherwin-Williams (A) | 17,600 | 1,305 | ||||||
Sigma-Aldrich | 14,100 | 891 | ||||||
Solutia* | 89,600 | 1,916 | ||||||
Titanium Metals* (A) | 118,000 | 2,038 | ||||||
United States Steel (A) | 9,800 | 476 | ||||||
269,914 | ||||||||
Telecommunication Services — 2.5% | ||||||||
AboveNet* (A) | 3,300 | 194 | ||||||
American Tower, Cl A* | 457,639 | 23,143 | ||||||
AT&T | 3,904,468 | 108,505 | ||||||
CenturyLink (A) | 69,104 | 2,971 | ||||||
Frontier Communications (A) | 64,828 | 590 | ||||||
MetroPCS Communications* (A) | 337,321 | 4,098 | ||||||
NII Holdings* | 81,009 | 3,140 | ||||||
Qwest Communications International (A) | 1,348,767 | 9,441 | ||||||
Sprint Nextel* | 374,200 | 1,414 | ||||||
Verizon Communications | 977,331 | 31,284 | ||||||
Windstream (A) | 94,213 | 1,229 | ||||||
186,009 |
Description | Shares | Market Value ($ Thousands) | ||||||
Utilities — 2.3% | ||||||||
AGL Resources | 26,200 | $ | 962 | |||||
Allegheny Energy | 77,395 | 1,766 | ||||||
Alliant Energy | 16,500 | 599 | ||||||
Ameren | 18,500 | 531 | ||||||
American Electric Power | 129,466 | 4,609 | ||||||
American Water Works | 127,300 | 3,120 | ||||||
Centerpoint Energy | 151,600 | 2,370 | ||||||
CMS Energy (A) | 129,600 | 2,329 | ||||||
Consolidated Edison (A) | 63,400 | 3,067 | ||||||
Constellation Energy Group | 640,741 | 18,172 | ||||||
Dominion Resources (A) | 179,100 | 7,438 | ||||||
DPL | 34,200 | 866 | ||||||
DTE Energy | 249,992 | 11,137 | ||||||
Duke Energy | 338,300 | 5,937 | ||||||
Energen | 40,300 | 1,756 | ||||||
Entergy | 33,400 | 2,380 | ||||||
Exelon | 634,586 | 24,984 | ||||||
Integrys Energy Group (A) | 90,900 | 4,427 | ||||||
New Jersey Resources (A) | 86,000 | 3,707 | ||||||
NextEra Energy | 303,603 | 15,368 | ||||||
Nicor (A) | 13,600 | 588 | ||||||
NiSource (A) | 142,100 | 2,377 | ||||||
Northeast Utilities | 728,003 | 22,641 | ||||||
Oneok | 70,000 | 3,578 | ||||||
Pepco Holdings (A) | 175,800 | 3,226 | ||||||
Piedmont Natural Gas (A) | 110,400 | 3,266 | ||||||
Pinnacle West Capital | 101,800 | 4,115 | ||||||
Portland General Electric | 29,400 | 622 | ||||||
Public Service Enterprise Group | 182,800 | 5,636 | ||||||
SCANA (A) | 21,600 | 877 | ||||||
Southern | 106,700 | 4,025 | ||||||
TECO Energy | 91,600 | 1,534 | ||||||
Wisconsin Energy | 70,300 | 4,233 | ||||||
Xcel Energy | 69,600 | 1,636 | ||||||
173,879 | ||||||||
Total Common Stock | 6,207,893 | |||||||
AFFILIATED PARTNERSHIP — 18.4% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.210%(B)**† | 614,174 | 606,277 | ||||||
SEI LIBOR Plus Portfolio† | 111,582,526 | 768,804 | ||||||
Total Affiliated Partnership | 1,375,081 | |||||||
CASH EQUIVALENT — 4.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 356,323 | 356,323 | ||||||
Total Cash Equivalent | 356,323 | |||||||
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C)(D) — 1.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.040%, 12/16/10 | $ | 104,055 | $ | 104,050 | ||||
0.223%, 02/10/11 | 2,445 | 2,444 | ||||||
Total U.S. Treasury Obligations | 106,494 | |||||||
Total Investments — 107.7% | $ | 8,045,791 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 528 | Dec-2010 | $ | 1,734 | ||||||||
S&P Composite Index | 4,011 | Dec-2010 | 79,110 | |||||||||
$ | 80,844 | |||||||||||
For the period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $7,471,820 ($Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $595,739 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2010 was $606,277 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
Ser — Series
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,207,893 | $ | — | $ | — | $ | 6,207,893 | ||||||||
Affiliated Partnerships | 768,804 | 606,277 | — | 1,375,081 | ||||||||||||
Cash Equivalent | 356,323 | — | — | 356,323 | ||||||||||||
U.S. Treasury Obligations | — | 106,494 | — | 106,494 | ||||||||||||
Total Investments in Securities | $ | 7,333,020 | $ | 712,771 | $ | — | $ | 8,045,791 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 80,844 | $ | — | $ | — | $ | 80,844 | ||||||||
Total Other Financial Instruments | $ | 80,844 | $ | — | $ | — | $ | 80,844 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.9% | ||||||||
Consumer Discretionary — 11.3% | ||||||||
Aaron’s (A) | 2,700 | $ | 54 | |||||
Abercrombie & Fitch, Cl A | 3,802 | 191 | ||||||
Advance Auto Parts (A) | 3,708 | 245 | ||||||
Aeropostale* | 3,600 | 97 | ||||||
Amazon.com* | 14,789 | 2,594 | ||||||
American Eagle Outfitters | 8,871 | 146 | ||||||
Apollo Group, Cl A* | 5,464 | 186 | ||||||
Autoliv (A) | 3,418 | 251 | ||||||
AutoNation* (A) | 2,832 | 74 | ||||||
AutoZone* | 1,107 | 287 | ||||||
Bally Technologies* | 2,000 | 78 | ||||||
Bed Bath & Beyond* | 11,115 | 486 | ||||||
Best Buy (A) | 13,447 | 574 | ||||||
Big Lots* (A) | 3,300 | 101 | ||||||
BorgWarner* (A) | 5,282 | 319 | ||||||
Brinker International | 4,483 | 92 | ||||||
Cablevision Systems, Cl A | 9,642 | 305 | ||||||
Career Education* | 3,259 | 58 | ||||||
Carmax* (A) | 9,560 | 315 | ||||||
Carnival | 18,600 | 768 | ||||||
CBS, Cl B | 29,269 | 493 | ||||||
Central European Media Enterprises, Cl A* | 1,800 | 35 | ||||||
Chico’s FAS | 8,600 | 104 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 1,400 | 362 | ||||||
Choice Hotels International (A) | 1,484 | 55 | ||||||
Clear Channel Outdoor Holdings, Cl A* | 700 | 10 | ||||||
Coach | 13,067 | 739 | ||||||
Comcast, Cl A | 120,325 | 2,407 | ||||||
Darden Restaurants | 6,022 | 295 | ||||||
DeVry | 2,900 | 124 | ||||||
Dick’s Sporting Goods* (A) | 4,258 | 146 | ||||||
DIRECTV, Cl A* | 38,029 | 1,579 | ||||||
Discovery Communications, Cl A* (A) | 12,000 | 489 | ||||||
DISH Network, Cl A* | 8,062 | 148 | ||||||
Dollar General* (A) | 3,000 | 99 | ||||||
Dollar Tree* (A) | 5,229 | 287 | ||||||
DR Horton | 12,868 | 129 | ||||||
DreamWorks Animation SKG, Cl A* | 3,434 | 106 | ||||||
Education Management* (A) | 1,500 | 21 | ||||||
Expedia | 8,734 | 230 | ||||||
Family Dollar Stores | 5,562 | 279 | ||||||
Federal Mogul, Cl A* | 1,500 | 28 | ||||||
Foot Locker | 6,869 | 130 | ||||||
Ford Motor* (A) | 142,984 | 2,279 | ||||||
Fortune Brands (A) | 6,520 | 385 | ||||||
Fossil* | 2,200 | 149 | ||||||
GameStop, Cl A* (A) | 7,300 | 145 | ||||||
Gannett (A) | 8,659 | 114 | ||||||
Gap | 18,159 | 388 | ||||||
Garmin (A) | 4,800 | 139 | ||||||
Gentex | 6,132 | 129 | ||||||
Genuine Parts | 6,571 | 316 | ||||||
Goodyear Tire & Rubber* (A) | 11,052 | 105 | ||||||
Guess? | 2,900 | 137 | ||||||
H&R Block | 13,425 | 169 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hanesbrands* | 4,143 | $ | 112 | |||||
Harley-Davidson (A) | 10,003 | 313 | ||||||
Harman International Industries* | 2,568 | 112 | ||||||
Hasbro | 5,567 | 265 | ||||||
Hillenbrand | 2,824 | 55 | ||||||
Home Depot | 72,415 | 2,188 | ||||||
Hyatt Hotels, Cl A* (A) | 1,400 | 59 | ||||||
International Game Technology | 12,743 | 197 | ||||||
International Speedway, Cl A | 1,512 | 36 | ||||||
Interpublic Group* (A) | 20,875 | 222 | ||||||
ITT Educational Services* (A) | 1,121 | 66 | ||||||
J Crew Group* (A) | 2,000 | 87 | ||||||
J.C. Penney (A) | 10,051 | 334 | ||||||
Jarden | 4,300 | 132 | ||||||
John Wiley & Sons, Cl A | 1,842 | 76 | ||||||
Johnson Controls | 28,645 | 1,044 | ||||||
KB Home (A) | 3,380 | 38 | ||||||
Kohl’s* | 13,119 | 740 | ||||||
Lamar Advertising, Cl A* (A) | 2,540 | 93 | ||||||
Las Vegas Sands* (A) | 13,193 | 661 | ||||||
Lear* | 2,100 | 184 | ||||||
Leggett & Platt | 6,119 | 127 | ||||||
Lennar, Cl A (A) | 7,230 | 110 | ||||||
Liberty Global, Cl A* (A) | 10,071 | 355 | ||||||
Liberty Media - Capital, Ser A* | 2,892 | 167 | ||||||
Liberty Media - Interactive, Cl A* | 26,247 | 406 | ||||||
Liberty Media - Starz, Ser A* | 1,936 | 122 | ||||||
Limited Brands | 11,557 | 389 | ||||||
LKQ* | 6,800 | 147 | ||||||
Lowe’s | 62,010 | 1,408 | ||||||
Macy’s | 18,030 | 463 | ||||||
Madison Square Garden, Cl A* | 2,860 | 63 | ||||||
Marriott International, Cl A | 11,587 | 454 | ||||||
Mattel | 15,242 | 394 | ||||||
McDonald’s | 45,880 | 3,592 | ||||||
McGraw-Hill | 13,239 | 457 | ||||||
MDC Holdings | 1,516 | 38 | ||||||
Meredith (A) | 1,358 | 46 | ||||||
MGM Resorts International* (A) | 13,039 | 160 | ||||||
Mohawk Industries* (A) | 2,166 | 114 | ||||||
Morningstar (A) | 900 | 45 | ||||||
NetFlix* | 1,700 | 350 | ||||||
New York Times, Cl A* (A) | 4,824 | 43 | ||||||
Newell Rubbermaid (A) | 11,865 | 199 | ||||||
News, Cl A | 98,185 | 1,339 | ||||||
NIKE, Cl B (A) | 15,448 | 1,331 | ||||||
Nordstrom | 7,312 | 313 | ||||||
NVR* (A) | 224 | 139 | ||||||
Office Depot* | 14,189 | 62 | ||||||
Omnicom Group | 12,944 | 588 | ||||||
O’Reilly Automotive* (A) | 5,840 | 351 | ||||||
Panera Bread, Cl A* (A) | 1,162 | 117 | ||||||
Penn National Gaming* | 2,989 | 105 | ||||||
PetSmart | 4,873 | 184 | ||||||
Phillips-Van Heusen | 2,300 | 156 | ||||||
Polo Ralph Lauren, Cl A (A) | 2,380 | 260 | ||||||
priceline.com* | 2,000 | 788 | ||||||
Pulte Homes* (A) | 15,545 | 97 | ||||||
RadioShack (A) | 5,571 | 103 | ||||||
Regal Entertainment Group, Cl A | 4,188 | 57 | ||||||
Ross Stores (A) | 5,071 | 329 | ||||||
Royal Caribbean Cruises* | 5,900 | 238 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Scripps Networks Interactive, Cl A | 4,072 | $ | 208 | |||||
Sears Holdings* (A) | 1,828 | 120 | ||||||
Service International | 11,194 | 90 | ||||||
Signet Jewelers* | 3,800 | 151 | ||||||
Sirius XM Radio* (A) | 157,100 | 215 | ||||||
Stanley Black & Decker | 6,693 | 398 | ||||||
Staples | 31,064 | 684 | ||||||
Starbucks (A) | 31,706 | 970 | ||||||
Starwood Hotels & Resorts Worldwide (A) | 7,884 | 448 | ||||||
Strayer Education (A) | 600 | 81 | ||||||
Target | 31,585 | 1,799 | ||||||
Tempur-Pedic International* | 2,700 | 95 | ||||||
Thomson Reuters | 15,700 | 571 | ||||||
Thor Industries | 1,900 | 56 | ||||||
Tiffany (A) | 5,125 | 318 | ||||||
Time Warner | 48,879 | 1,441 | ||||||
Time Warner Cable, Cl A | 15,084 | 928 | ||||||
TJX | 17,054 | 778 | ||||||
Toll Brothers* | 6,051 | 109 | ||||||
Tractor Supply (A) | 3,100 | 132 | ||||||
TRW Automotive Holdings* (A) | 3,393 | 161 | ||||||
Tupperware Brands | 2,400 | 111 | ||||||
Urban Outfitters* | 4,920 | 186 | ||||||
VF | 3,617 | 300 | ||||||
Viacom, Cl B | 25,869 | 979 | ||||||
Virgin Media (A) | 13,620 | 347 | ||||||
Walt Disney | 83,672 | 3,055 | ||||||
Washington Post, Cl B (A) | 257 | 97 | ||||||
Weight Watchers International (A) | 1,662 | 57 | ||||||
Wendy’s, Cl A | 11,100 | 53 | ||||||
Whirlpool (A) | 3,287 | 240 | ||||||
Williams-Sonoma (A) | 4,562 | 152 | ||||||
WMS Industries* | 2,600 | 115 | ||||||
Wyndham Worldwide | 7,668 | 220 | ||||||
Wynn Resorts | 3,096 | 313 | ||||||
Yum! Brands | 19,548 | 979 | ||||||
60,148 | ||||||||
Consumer Staples — 9.8% | ||||||||
Alberto-Culver, Cl B | 3,687 | 137 | ||||||
Altria Group | 89,068 | 2,138 | ||||||
Archer-Daniels-Midland | 26,879 | 779 | ||||||
Avon Products | 18,406 | 526 | ||||||
BJ’s Wholesale Club* | 1,872 | 86 | ||||||
Brown-Forman, Cl B | 4,418 | 289 | ||||||
Bunge (A) | 6,100 | 371 | ||||||
Campbell Soup (A) | 7,778 | 264 | ||||||
Central European Distribution* | 3,100 | 74 | ||||||
Church & Dwight | 3,132 | 205 | ||||||
Clorox | 5,903 | 365 | ||||||
Coca-Cola | 89,420 | 5,649 | ||||||
Coca-Cola Enterprises | 13,615 | 329 | ||||||
Colgate-Palmolive | 21,075 | 1,613 | ||||||
ConAgra Foods | 19,086 | 410 | ||||||
Constellation Brands, Cl A* | 8,631 | 178 | ||||||
Corn Products International | 2,900 | 125 | ||||||
Costco Wholesale | 18,981 | 1,283 | ||||||
CVS Caremark | 58,352 | 1,809 | ||||||
Dean Foods* | 8,087 | 59 | ||||||
Del Monte Foods | 8,458 | 158 | ||||||
Dr. Pepper Snapple Group | 10,300 | 377 |
Description | Shares | Market Value ($ Thousands) | ||||||
Energizer Holdings* | 2,941 | $ | 207 | |||||
Estee Lauder, Cl A | 4,654 | 349 | ||||||
Flowers Foods (A) | 2,700 | 71 | ||||||
General Mills | 28,592 | 1,010 | ||||||
Green Mountain Coffee Roasters* (A) | 5,100 | 189 | ||||||
Hansen Natural* | 2,700 | 144 | ||||||
Herbalife | 2,600 | 178 | ||||||
Hershey | 6,598 | 309 | ||||||
HJ Heinz | 13,437 | 649 | ||||||
Hormel Foods | 2,639 | 129 | ||||||
JM Smucker | 5,011 | 317 | ||||||
Kellogg | 10,603 | 522 | ||||||
Kimberly-Clark | 17,818 | 1,103 | ||||||
Kraft Foods, Cl A | 68,615 | 2,076 | ||||||
Kroger | 27,373 | 644 | ||||||
Lorillard | 6,550 | 521 | ||||||
McCormick | 5,593 | 246 | ||||||
Mead Johnson Nutrition, Cl A | 8,586 | 511 | ||||||
Molson Coors Brewing, Cl B | 5,462 | 260 | ||||||
PepsiCo | 68,752 | 4,443 | ||||||
Philip Morris International | 79,068 | 4,498 | ||||||
Procter & Gamble | 122,274 | 7,467 | ||||||
Ralcorp Holdings* (A) | 2,100 | 130 | ||||||
Reynolds American | 14,020 | 434 | ||||||
Safeway (A) | 16,520 | 380 | ||||||
Sara Lee | 28,251 | 424 | ||||||
Smithfield Foods* (A) | 5,975 | 105 | ||||||
Supervalu (A) | 7,789 | 70 | ||||||
Sysco (A) | 25,248 | 733 | ||||||
Tyson Foods, Cl A | 11,665 | 185 | ||||||
Walgreen (A) | 41,225 | 1,437 | ||||||
Wal-Mart Stores | 86,979 | 4,705 | ||||||
Whole Foods Market* | 5,752 | 271 | ||||||
51,941 | ||||||||
Energy — 11.1% | ||||||||
Alpha Natural Resources* | 4,868 | 241 | ||||||
Anadarko Petroleum | 20,840 | 1,337 | ||||||
Apache | 15,659 | 1,686 | ||||||
Arch Coal | 6,912 | 202 | ||||||
Atlas Energy* | 3,000 | 129 | ||||||
Atwood Oceanics* | 2,800 | 100 | ||||||
Baker Hughes (A) | 18,240 | 951 | ||||||
Cabot Oil & Gas | 4,000 | 140 | ||||||
Cameron International* | 10,244 | 493 | ||||||
Chesapeake Energy | 27,766 | 586 | ||||||
Chevron | 85,302 | 6,907 | ||||||
Cimarex Energy | 3,500 | 282 | ||||||
Cobalt International Energy* | 4,300 | 49 | ||||||
Comstock Resources* | 2,400 | 59 | ||||||
Concho Resources* (A) | 3,700 | 306 | ||||||
ConocoPhillips | 63,476 | 3,819 | ||||||
Consol Energy (A) | 9,644 | 405 | ||||||
Continental Resources* (A) | 1,600 | 86 | ||||||
Core Laboratories (A) | 1,800 | 154 | ||||||
Denbury Resources* | 17,024 | 309 | ||||||
Devon Energy | 19,213 | 1,356 | ||||||
Diamond Offshore Drilling (A) | 2,709 | 175 | ||||||
Dresser-Rand Group* | 3,034 | 115 | ||||||
El Paso | 29,503 | 398 | ||||||
EOG Resources (A) | 10,745 | 956 | ||||||
EQT | 6,066 | 246 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
EXCO Resources | 6,800 | $ | 126 | |||||
Exterran Holdings* (A) | 2,900 | 66 | ||||||
Exxon Mobil | 216,642 | 15,070 | ||||||
FMC Technologies* | 5,160 | 435 | ||||||
Forest Oil* | 4,914 | 168 | ||||||
Frontier Oil | 4,600 | 71 | ||||||
Frontline | 2,200 | 57 | ||||||
Halliburton | 38,997 | 1,476 | ||||||
Helmerich & Payne (A) | 3,850 | 175 | ||||||
Hess | 12,412 | 869 | ||||||
Holly | 2,000 | 72 | ||||||
Marathon Oil | 29,776 | 997 | ||||||
Massey Energy (A) | 4,361 | 214 | ||||||
McDermott International* | 9,500 | 174 | ||||||
Murphy Oil | 8,054 | 544 | ||||||
Nabors Industries* | 12,200 | 269 | ||||||
National Oilwell Varco | 17,880 | 1,096 | ||||||
Newfield Exploration* | 5,699 | 381 | ||||||
Noble Energy | 7,462 | 606 | ||||||
Occidental Petroleum | 34,654 | 3,055 | ||||||
Oceaneering International* | 2,600 | 180 | ||||||
Oil States International* | 2,100 | 125 | ||||||
Patterson-UTI Energy (A) | 6,532 | 129 | ||||||
Peabody Energy (A) | 11,374 | 669 | ||||||
PetroHawk Energy* | 12,600 | 225 | ||||||
Pioneer Natural Resources (A) | 4,844 | 388 | ||||||
Plains Exploration & Production* | 6,491 | 186 | ||||||
Pride International* (A) | 6,929 | 215 | ||||||
QEP Resources | 7,346 | 258 | ||||||
Quicksilver Resources* | 5,102 | 73 | ||||||
Range Resources | 6,639 | 279 | ||||||
Rowan* (A) | 4,386 | 132 | ||||||
SandRidge Energy* (A) | 17,900 | 92 | ||||||
Schlumberger | 58,266 | 4,506 | ||||||
SEACOR Holdings* | 900 | 98 | ||||||
SM Energy | 2,700 | 134 | ||||||
Southern Union | 5,368 | 127 | ||||||
Southwestern Energy* | 14,676 | 531 | ||||||
Spectra Energy (A) | 27,009 | 642 | ||||||
Sunoco | 4,756 | 191 | ||||||
Superior Energy Services* | 3,500 | 117 | ||||||
Teekay | 2,100 | 67 | ||||||
Tesoro (A) | 6,846 | 112 | ||||||
Tidewater | 2,170 | 106 | ||||||
Ultra Petroleum* | 6,200 | 291 | ||||||
Unit* | 2,127 | 85 | ||||||
Valero Energy | 23,236 | 453 | ||||||
Weatherford International* (A) | 31,000 | 633 | ||||||
Whiting Petroleum* | 2,500 | 275 | ||||||
Williams | 24,746 | 564 | ||||||
59,291 | ||||||||
Financials — 15.1% | ||||||||
ACE | 14,300 | 837 | ||||||
Affiliated Managers Group* | 2,133 | 187 | ||||||
Aflac | 20,256 | 1,043 | ||||||
Alexandria Real Estate Equities‡ | 2,300 | 153 | ||||||
Alleghany* | 242 | 73 | ||||||
Allied World Assurance Holdings | 1,500 | 88 | ||||||
Allstate | 22,925 | 667 | ||||||
AMB Property‡ | 6,644 | 194 | ||||||
American Express | 44,934 | 1,942 | ||||||
American Financial Group | 3,714 | 114 |
Description | Shares | Market Value ($ Thousands) | ||||||
American International Group* (A) | 4,923 | $ | 203 | |||||
American National Insurance | 222 | 18 | ||||||
Ameriprise Financial | ||||||||
10,800 | 560 | |||||||
Annaly Capital Management‡ (A) | 26,611 | 484 | ||||||
AON | 14,044 | 563 | ||||||
Apartment Investment & Management, Cl A‡ (A) | 4,399 | 106 | ||||||
Arch Capital Group* | 1,900 | 172 | ||||||
Ares Capital | 7,468 | 123 | ||||||
Arthur J Gallagher | 4,804 | 135 | ||||||
Aspen Insurance Holdings | 3,700 | 107 | ||||||
Associated Banc (A) | 8,484 | 109 | ||||||
Assurant | 5,093 | 180 | ||||||
Assured Guaranty | 8,700 | 148 | ||||||
AvalonBay Communities‡ (A) | 3,541 | 391 | ||||||
Axis Capital Holdings | 5,100 | 180 | ||||||
Bancorpsouth (A) | 3,600 | 46 | ||||||
Bank of America | 425,518 | 4,659 | ||||||
Bank of Hawaii (A) | 1,982 | 86 | ||||||
Bank of New York Mellon | 52,109 | 1,406 | ||||||
BB&T (A) | 30,106 | 698 | ||||||
Berkshire Hathaway, Cl B* | 73,400 | 5,849 | ||||||
BlackRock, Cl A | 1,485 | 242 | ||||||
BOK Financial (A) | 775 | 36 | ||||||
Boston Properties‡ | 5,884 | 493 | ||||||
Brandywine Realty Trust‡ | 6,600 | 73 | ||||||
BRE Properties‡ | 2,920 | 126 | ||||||
Brown & Brown (A) | 4,224 | 97 | ||||||
Camden Property Trust‡ (A) | 2,847 | 145 | ||||||
Capital One Financial | 19,425 | 723 | ||||||
CapitalSource | 11,382 | 73 | ||||||
Capitol Federal Financial | 1,027 | 24 | ||||||
CB Richard Ellis Group, Cl A* (A) | 12,117 | 232 | ||||||
Charles Schwab | 42,185 | 634 | ||||||
Chimera Investment‡ | 37,600 | 150 | ||||||
Chubb | 12,718 | 725 | ||||||
Cincinnati Financial (A) | 6,086 | 183 | ||||||
CIT Group* | 8,300 | 328 | ||||||
Citigroup* | 902,245 | 3,790 | ||||||
City National (A) | 2,238 | 120 | ||||||
CME Group, Cl A | 2,774 | 799 | ||||||
CNA Financial* | 1,700 | 44 | ||||||
Comerica (A) | 7,953 | 290 | ||||||
Commerce Bancshares | 3,218 | 121 | ||||||
Commonwealth REIT* | 50,000 | — | ||||||
CommonWealth REIT‡ | 2,825 | 71 | ||||||
Corporate Office Properties Trust‡ (A) | 2,800 | 95 | ||||||
Cullen/Frost Bankers | 2,368 | 127 | ||||||
Developers Diversified Realty‡ | 7,500 | 96 | ||||||
Digital Realty Trust‡ (A) | 3,600 | 189 | ||||||
Discover Financial Services | 23,789 | 435 | ||||||
Douglas Emmett‡ (A) | 5,400 | 90 | ||||||
Duke Realty‡ | 10,909 | 121 | ||||||
E*Trade Financial* | 8,600 | 127 | ||||||
East West Bancorp | 5,600 | 97 | ||||||
Eaton Vance (A) | 5,310 | 158 | ||||||
Endurance Specialty Holdings | 2,200 | 97 | ||||||
Equity Residential‡ (A) | 12,087 | 604 | ||||||
Erie Indemnity, Cl A | 1,119 | 70 | ||||||
Essex Property Trust‡ | 1,269 | 141 | ||||||
Everest Re Group | 2,400 | 200 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Federal Realty Investment Trust‡ (A) | 2,596 | $ | 201 | |||||
Federated Investors, Cl B (A) | 3,658 | 87 | ||||||
Fidelity National Financial, Cl A | 10,604 | 143 | ||||||
Fifth Third Bancorp | 33,982 | 406 | ||||||
First Citizens BancShares, Cl A | 300 | 52 | ||||||
First Horizon National* | 8,208 | 79 | ||||||
First Niagara Financial Group (A) | 9,400 | 117 | ||||||
Forest City Enterprises, Cl A* (A) | 5,142 | 79 | ||||||
Franklin Resources | 6,303 | 719 | ||||||
Fulton Financial | 8,095 | 70 | ||||||
General Growth Properties‡ | 9,900 | 160 | ||||||
Genworth Financial, Cl A* | 20,292 | 237 | ||||||
Goldman Sachs Group | 21,975 | 3,431 | ||||||
Greenhill (A) | 1,200 | 90 | ||||||
Hanover Insurance Group | 2,193 | 99 | ||||||
Hartford Financial Services Group | 18,710 | 416 | ||||||
HCC Insurance Holdings | 4,941 | 139 | ||||||
HCP‡ | 13,174 | 434 | ||||||
Health Care REIT‡ (A) | 5,983 | 277 | ||||||
Hospitality Properties Trust‡ | 4,566 | 101 | ||||||
Host Hotels & Resorts‡ | 28,040 | 462 | ||||||
Howard Hughes* | 973 | 40 | ||||||
Hudson City Bancorp | 19,628 | 223 | ||||||
Huntington Bancshares (A) | 28,934 | 169 | ||||||
Interactive Brokers Group, Cl A* (A) | 2,200 | 40 | ||||||
IntercontinentalExchange* | 3,100 | 349 | ||||||
Invesco | 20,000 | 435 | ||||||
Janus Capital Group | 9,365 | 98 | ||||||
Jefferies Group (A) | 5,414 | 131 | ||||||
Jones Lang LaSalle | 1,800 | 144 | ||||||
JPMorgan Chase | 168,834 | 6,311 | ||||||
Keycorp | 37,495 | 282 | ||||||
Kimco Realty‡ | 17,844 | 297 | ||||||
Lazard, Cl A | 3,800 | 136 | ||||||
Legg Mason | 6,481 | 211 | ||||||
Leucadia National | 8,420 | 219 | ||||||
Liberty Property Trust‡ | 5,006 | 157 | ||||||
Lincoln National | 12,588 | 301 | ||||||
Loews | 13,436 | 503 | ||||||
M&T Bank (A) | 3,083 | 237 | ||||||
Macerich‡ (A) | 5,711 | 265 | ||||||
Mack-Cali Realty‡ | 3,798 | 121 | ||||||
Markel* (A) | 450 | 159 | ||||||
Marsh & McLennan (A) | 22,965 | 576 | ||||||
Marshall & Ilsley | 21,260 | 102 | ||||||
MBIA* (A) | 6,559 | 66 | ||||||
Mercury General | 1,196 | 51 | ||||||
MetLife | 28,009 | 1,069 | ||||||
Moody’s (A) | 8,627 | 232 | ||||||
Morgan Stanley | 64,678 | 1,582 | ||||||
MSCI, Cl A* | 4,700 | 160 | ||||||
NASDAQ OMX Group* | 5,600 | 120 | ||||||
Nationwide Health Properties‡ | 5,100 | 184 | ||||||
New York Community Bancorp (A) | 18,572 | 312 | ||||||
Northern Trust | 10,405 | 523 | ||||||
NYSE Euronext | 11,100 | 303 | ||||||
Old Republic International (A) | 12,190 | 154 | ||||||
OneBeacon Insurance Group, Cl A | 1,100 | 16 | ||||||
PartnerRe | 3,400 | 263 |
Description | Shares | Market Value ($ Thousands) | ||||||
People’s United Financial | 17,034 | $ | 211 | |||||
Piedmont Office Realty Trust, Cl A‡ | 2,700 | 54 | ||||||
Plum Creek Timber‡ (A) | 6,721 | 242 | ||||||
PNC Financial Services Group | 22,622 | 1,218 | ||||||
Popular* | 48,330 | 139 | ||||||
Principal Financial Group | 13,418 | 365 | ||||||
Progressive | 28,580 | 581 | ||||||
ProLogis‡ (A) | 20,288 | 264 | ||||||
Protective Life | 3,509 | 83 | ||||||
Prudential Financial | 19,963 | 1,012 | ||||||
Public Storage‡ | 5,968 | 576 | ||||||
Raymond James Financial (A) | 4,221 | 121 | ||||||
Rayonier‡ | 3,503 | 178 | ||||||
Realty Income‡ | 4,600 | 157 | ||||||
Regency Centers‡ (A) | 3,308 | 135 | ||||||
Regions Financial | 53,487 | 288 | ||||||
Reinsurance Group of America, Cl A | 3,199 | 160 | ||||||
RenaissanceRe Holdings | 2,300 | 139 | ||||||
SEI (B) | 5,642 | 127 | ||||||
Senior Housing Properties Trust‡ | 5,400 | 121 | ||||||
Simon Property Group‡ | 12,581 | 1,239 | ||||||
SL Green Realty‡ (A) | 3,368 | 220 | ||||||
SLM* (A) | 19,914 | 230 | ||||||
St. Joe* (A) | 3,961 | 70 | ||||||
StanCorp Financial Group | 2,042 | 85 | ||||||
State Street | 20,994 | 907 | ||||||
SunTrust Banks | 21,446 | 501 | ||||||
Symetra Financial | 2,500 | 30 | ||||||
Synovus Financial (A) | 38,472 | 78 | ||||||
T. Rowe Price Group (A) | 11,080 | 646 | ||||||
Taubman Centers‡ | 2,200 | 107 | ||||||
TCF Financial (A) | 6,301 | 86 | ||||||
TD Ameritrade Holding | 9,545 | 160 | ||||||
TFS Financial | 3,700 | 30 | ||||||
Torchmark | 3,750 | 216 | ||||||
Transatlantic Holdings | 2,455 | 124 | ||||||
Travelers | 20,244 | 1,093 | ||||||
UDR‡ | 7,393 | 165 | ||||||
Unitrin | 2,460 | 58 | ||||||
Unum Group | 14,205 | 305 | ||||||
US Bancorp | 82,043 | 1,951 | ||||||
Validus Holdings (A) | 2,600 | 76 | ||||||
Valley National Bancorp (A) | 8,011 | 102 | ||||||
Ventas‡ (A) | 6,644 | 341 | ||||||
Vornado Realty Trust‡ | 6,836 | 558 | ||||||
Waddell & Reed Financial, Cl A | 4,100 | 126 | ||||||
Washington Federal | 4,063 | 60 | ||||||
Weingarten Realty Investors‡ (A) | 4,467 | 106 | ||||||
Wells Fargo | 206,466 | 5,618 | ||||||
Wesco Financial | 41 | 15 | ||||||
White Mountains Insurance Group | 347 | 110 | ||||||
Wilmington Trust (A) | 4,892 | 19 | ||||||
WR Berkley | 5,014 | 134 | ||||||
XL Group, Cl A | 14,100 | 277 | ||||||
Zions Bancorporation | 7,602 | 148 | ||||||
80,189 | ||||||||
Health Care — 11.1% | ||||||||
Abbott Laboratories | 65,876 | 3,064 | ||||||
Aetna | 18,234 | 540 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Agilent Technologies* | 14,664 | $ | 513 | |||||
Alcon | 3,000 | 472 | ||||||
Alere* | 3,600 | 115 | ||||||
Alexion Pharmaceuticals* | 3,600 | 275 | ||||||
Allergan | 12,696 | 841 | ||||||
Allscripts Healthcare Solutions* | 5,600 | 98 | ||||||
AmerisourceBergen | 11,824 | 365 | ||||||
Amgen* | 40,967 | 2,158 | ||||||
Amylin Pharmaceuticals* | 6,100 | 78 | ||||||
Baxter International | 25,675 | 1,247 | ||||||
Beckman Coulter | 3,212 | 176 | ||||||
Becton Dickinson | 9,944 | 775 | ||||||
Biogen Idec* | 10,300 | 659 | ||||||
BioMarin Pharmaceutical* (A) | 3,800 | 103 | ||||||
Bio-Rad Laboratories, Cl A* | 1,000 | 93 | ||||||
Boston Scientific* | 63,739 | 409 | ||||||
Bristol-Myers Squibb | 73,561 | 1,857 | ||||||
Brookdale Senior Living, Cl A* | 3,600 | 69 | ||||||
C.R. Bard | 3,985 | 338 | ||||||
Cardinal Health | 15,329 | 545 | ||||||
CareFusion* | 7,264 | 166 | ||||||
Celgene* | 19,480 | 1,157 | ||||||
Cephalon* (A) | 3,348 | 213 | ||||||
Cerner* (A) | 3,074 | 270 | ||||||
Charles River Laboratories International* (A) | 2,843 | 93 | ||||||
CIGNA | 11,355 | 418 | ||||||
Community Health Systems* | 4,062 | 129 | ||||||
Cooper (A) | 2,204 | 118 | ||||||
Covance* (A) | 3,036 | 136 | ||||||
Coventry Health Care* | 6,262 | 159 | ||||||
Covidien | 21,700 | 913 | ||||||
DaVita* | 4,408 | 320 | ||||||
Dendreon* (A) | 5,900 | 211 | ||||||
Dentsply International (A) | 6,198 | 192 | ||||||
Edwards Lifesciences* | 5,014 | 333 | ||||||
Eli Lilly (A) | 43,661 | 1,469 | ||||||
Emdeon, Cl A* | 1,900 | 24 | ||||||
Emergency Medical Services, Cl A* | 1,000 | 50 | ||||||
Endo Pharmaceuticals Holdings* | 4,497 | 162 | ||||||
Express Scripts* | 23,644 | 1,232 | ||||||
Forest Laboratories* | 12,173 | 388 | ||||||
Gen-Probe* | 2,227 | 115 | ||||||
Genzyme* | 11,353 | 809 | ||||||
Gilead Sciences* | 36,050 | 1,316 | ||||||
Health Management Associates, Cl A* (A) | 12,422 | 111 | ||||||
Health Net* | 4,702 | 127 | ||||||
Henry Schein* | 3,884 | 223 | ||||||
Hill-Rom Holdings (A) | 2,724 | 108 | ||||||
Hologic* | 12,000 | 197 | ||||||
Hospira* | 6,981 | 393 | ||||||
Human Genome Sciences* (A) | 7,600 | 186 | ||||||
Humana* | 7,075 | 396 | ||||||
Idexx Laboratories* (A) | 2,252 | 145 | ||||||
Illumina* | 5,200 | 313 | ||||||
Intuitive Surgical* (A) | 1,700 | 442 | ||||||
Johnson & Johnson | 117,109 | 7,208 | ||||||
Kinetic Concepts* | 2,713 | 108 | ||||||
King Pharmaceuticals* | 9,526 | 135 | ||||||
Laboratory Corp of America Holdings* (A) | 4,411 | 362 |
Description | Shares | Market Value ($ Thousands) | ||||||
Life Technologies* | 7,670 | $ | 382 | |||||
LifePoint Hospitals* | 2,376 | 86 | ||||||
Lincare Holdings (A) | 4,540 | 117 | ||||||
McKesson | 11,566 | 739 | ||||||
Medco Health Solutions* | 18,720 | 1,148 | ||||||
Mednax* | 2,000 | 122 | ||||||
Medtronic | 47,285 | 1,585 | ||||||
Merck | 132,243 | 4,558 | ||||||
Mettler Toledo International* | 1,536 | 223 | ||||||
Mylan Laboratories* | 13,119 | 257 | ||||||
Myriad Genetics* | 4,500 | 97 | ||||||
Omnicare | 5,431 | 125 | ||||||
Patterson | 4,783 | 142 | ||||||
PerkinElmer | 5,634 | 131 | ||||||
Perrigo (A) | 3,200 | 193 | ||||||
Pfizer | 342,380 | 5,577 | ||||||
Pharmaceutical Product Development | 4,084 | 102 | ||||||
Quest Diagnostics | 6,344 | 313 | ||||||
Regeneron Pharmaceuticals* | 2,300 | 66 | ||||||
ResMed* | 6,710 | 214 | ||||||
St. Jude Medical* | 13,846 | 536 | ||||||
Stryker (A) | 13,404 | 671 | ||||||
SXC Health Solutions* | 2,600 | 100 | ||||||
Talecris Biotherapeutics Holdings* (A) | 2,700 | 59 | ||||||
Techne | 1,541 | 93 | ||||||
Teleflex (A) | 1,740 | 87 | ||||||
Tenet Healthcare* | 23,094 | 94 | ||||||
Thermo Fisher Scientific* | 17,125 | 871 | ||||||
Thoratec* (A) | 2,100 | 53 | ||||||
United Therapeutics* | 2,200 | 138 | ||||||
UnitedHealth Group | 48,729 | 1,780 | ||||||
Universal Health Services, Cl B | 3,476 | 143 | ||||||
Varian Medical Systems* (A) | 5,230 | 344 | ||||||
VCA Antech* (A) | 3,539 | 77 | ||||||
Vertex Pharmaceuticals* (A) | 8,600 | 285 | ||||||
Warner Chilcott, Cl A | 3,300 | 63 | ||||||
Waters* | 3,872 | 298 | ||||||
Watson Pharmaceuticals* | 4,918 | 240 | ||||||
WellPoint* | 17,231 | 960 | ||||||
Zimmer Holdings* | 8,525 | 420 | ||||||
59,126 | ||||||||
Industrials — 10.9% | ||||||||
3M | 30,446 | 2,557 | ||||||
Aecom Technology* | 4,800 | 124 | ||||||
AGCO* (A) | 4,000 | 181 | ||||||
Alexander & Baldwin | 1,782 | 62 | ||||||
Alliant Techsystems (A) | 1,436 | 106 | ||||||
Ametek | 4,547 | 269 | ||||||
AMR* (A) | 12,086 | 103 | ||||||
Armstrong World Industries* | 700 | 34 | ||||||
Avery Dennison | 4,710 | 177 | ||||||
Babcock & Wilcox* | 4,750 | 115 | ||||||
BE Aerospace* | 4,100 | 146 | ||||||
Boeing | 32,491 | 2,072 | ||||||
Bucyrus International, Cl A | 3,000 | 267 | ||||||
C.H. Robinson Worldwide (A) | 7,086 | 522 | ||||||
Carlisle | 2,666 | 98 | ||||||
Caterpillar | 26,888 | 2,275 | ||||||
Chicago Bridge & Iron* | 3,700 | 105 | ||||||
Cintas | 6,157 | 165 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
CNH Global | 1,100 | $ | 46 | |||||
Con-way (A) | 2,223 | 75 | ||||||
Cooper Industries, Cl A | 6,900 | 376 | ||||||
Copa Holdings, Cl A | 1,600 | 89 | ||||||
Copart* | 3,213 | 114 | ||||||
Corrections of America* | 4,700 | 113 | ||||||
Covanta Holding (A) | 6,200 | 97 | ||||||
Crane | 2,400 | 90 | ||||||
CSX | 16,332 | 993 | ||||||
Cummins | 8,512 | 827 | ||||||
Danaher | 23,002 | 995 | ||||||
Deere | 18,218 | 1,361 | ||||||
Delta Air Lines* | 34,500 | 472 | ||||||
Donaldson | 2,972 | 161 | ||||||
Dover | 7,857 | 431 | ||||||
Dun & Bradstreet | 1,956 | 147 | ||||||
Eaton | 7,126 | 687 | ||||||
Emerson Electric | 32,320 | 1,780 | ||||||
Equifax | 5,356 | 185 | ||||||
Expeditors International Washington (A) | 8,848 | 468 | ||||||
Fastenal (A) | 5,862 | 314 | ||||||
FedEx | 13,444 | 1,225 | ||||||
Flowserve | 2,400 | 253 | ||||||
Fluor (A) | 7,508 | 434 | ||||||
FTI Consulting* | 2,400 | 86 | ||||||
Gardner Denver | 2,300 | 150 | ||||||
GATX (A) | 2,100 | 70 | ||||||
General Cable* (A) | 2,500 | 82 | ||||||
General Dynamics | 14,472 | 956 | ||||||
General Electric | 453,323 | 7,176 | ||||||
Goodrich | 5,292 | 454 | ||||||
Graco | 2,624 | 94 | ||||||
Harsco | 3,470 | 83 | ||||||
Hertz Global Holdings* (A) | 9,400 | 115 | ||||||
Honeywell International | 32,890 | 1,635 | ||||||
Hubbell, Cl B | 2,192 | 124 | ||||||
IDEX | 3,593 | 135 | ||||||
IHS, Cl A* | 2,200 | 159 | ||||||
Illinois Tool Works | 19,080 | 909 | ||||||
Ingersoll-Rand | 13,400 | 549 | ||||||
Iron Mountain | 7,363 | 164 | ||||||
ITT | 7,702 | 354 | ||||||
Jacobs Engineering Group* | 5,102 | 196 | ||||||
JB Hunt Transport Services | 3,972 | 145 | ||||||
Joy Global | 4,433 | 338 | ||||||
Kansas City Southern* | 4,500 | 213 | ||||||
KAR Auction Services* | 2,100 | 25 | ||||||
KBR | 7,284 | 197 | ||||||
Kennametal | 3,500 | 118 | ||||||
Kirby* | 2,300 | 103 | ||||||
L-3 Communications Holdings, Cl 3 | 4,977 | 350 | ||||||
Landstar System (A) | 2,165 | 78 | ||||||
Lennox International | 2,300 | 101 | ||||||
Lincoln Electric Holdings | 1,800 | 111 | ||||||
Lockheed Martin | 13,129 | 893 | ||||||
Manitowoc (A) | 5,700 | 63 | ||||||
Manpower | 3,684 | 207 | ||||||
Masco (A) | 14,409 | 158 | ||||||
MSC Industrial Direct, Cl A | 2,120 | 128 | ||||||
Navistar International* | 3,000 | 154 | ||||||
Norfolk Southern | 15,733 | 947 |
Description | Shares | Market Value ($ Thousands) | ||||||
Northrop Grumman | 12,578 | $ | 776 | |||||
Oshkosh Truck* | 4,259 | 122 | ||||||
Owens Corning* (A) | 5,100 | 134 | ||||||
Paccar (A) | 15,570 | 839 | ||||||
Pall | 4,945 | 224 | ||||||
Parker Hannifin | 6,804 | 546 | ||||||
Pentair | 3,861 | 127 | ||||||
Pitney Bowes (A) | 8,385 | 184 | ||||||
Precision Castparts | 6,046 | 835 | ||||||
Quanta Services* (A) | 9,200 | 162 | ||||||
Raytheon | 16,268 | 752 | ||||||
Regal-Beloit | 1,400 | 85 | ||||||
Republic Services, Cl A | 13,642 | 384 | ||||||
Robert Half International (A) | 6,876 | 191 | ||||||
Rockwell Automation | 6,304 | 417 | ||||||
Rockwell Collins | 6,562 | 368 | ||||||
Roper Industries | 4,000 | 290 | ||||||
RR Donnelley & Sons | 9,677 | 153 | ||||||
Ryder System | 2,106 | 91 | ||||||
Shaw Group* | 3,300 | 106 | ||||||
Snap-On | 2,491 | 132 | ||||||
Southwest Airlines | 31,220 | 416 | ||||||
Spirit Aerosystems Holdings, Cl A* | 4,700 | 91 | ||||||
SPX | 2,211 | 145 | ||||||
Stericycle* | 3,426 | 253 | ||||||
Terex* | 4,648 | 113 | ||||||
Textron (A) | 11,222 | 251 | ||||||
Thomas & Betts* | 1,967 | 88 | ||||||
Timken | 3,660 | 159 | ||||||
Toro (A) | 1,560 | 91 | ||||||
Towers Watson, Cl A | 2,100 | 106 | ||||||
TransDigm Group* | 2,000 | 137 | ||||||
Trinity Industries (A) | 3,500 | 80 | ||||||
Tyco International | 21,600 | 818 | ||||||
Union Pacific | 21,716 | 1,957 | ||||||
United Continental Holdings* (A) | 13,000 | 360 | ||||||
United Parcel Service, Cl B | 30,541 | 2,142 | ||||||
United Technologies | 39,866 | 3,001 | ||||||
URS* | 3,300 | 130 | ||||||
USG* (A) | 2,298 | 29 | ||||||
UTi Worldwide | 5,100 | 98 | ||||||
Valmont Industries | 1,000 | 81 | ||||||
Verisk Analytics, Cl A* | 4,500 | 136 | ||||||
WABCO Holdings* | 2,424 | 120 | ||||||
Wabtec (A) | 1,700 | 79 | ||||||
Waste Connections (A) | 4,950 | 129 | ||||||
Waste Management (A) | 20,594 | 705 | ||||||
WESCO International* | 2,000 | 95 | ||||||
WW Grainger (A) | 2,381 | 297 | ||||||
57,956 | ||||||||
Information Technology — 18.1% | ||||||||
Accenture, Cl A | 25,700 | 1,113 | ||||||
Activision Blizzard | 21,756 | 256 | ||||||
Adobe Systems* | 22,402 | 621 | ||||||
Advanced Micro Devices* (A) | 26,734 | 195 | ||||||
Akamai Technologies* | 7,718 | 403 | ||||||
Alliance Data Systems* (A) | 2,512 | 158 | ||||||
Altera (A) | 12,573 | 441 | ||||||
Amdocs* | 8,900 | 231 | ||||||
Amphenol, Cl A | 7,592 | 380 | ||||||
Analog Devices | 12,512 | 445 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Ansys* | 4,100 | $ | 199 | |||||
AOL* | 5,034 | 122 | ||||||
Apple* | 38,623 | 12,018 | ||||||
Applied Materials | 57,355 | 713 | ||||||
Arrow Electronics* | 5,189 | 161 | ||||||
Atheros Communications* | 2,600 | 85 | ||||||
Atmel* | 18,900 | 196 | ||||||
Autodesk* | 9,937 | 351 | ||||||
Automatic Data Processing | 21,392 | 953 | ||||||
Avago Technologies | 4,000 | 104 | ||||||
Avnet* | 6,110 | 187 | ||||||
AVX | 1,424 | 20 | ||||||
BMC Software* | 7,689 | 341 | ||||||
Broadcom, Cl A | 21,168 | 942 | ||||||
Broadridge Financial Solutions | 5,173 | 107 | ||||||
Brocade Communications Systems* | 18,500 | 92 | ||||||
CA | 16,238 | 372 | ||||||
Cadence Design Systems* | 13,063 | 103 | ||||||
Ciena* (A) | 4,114 | 62 | ||||||
Cisco Systems* | 242,327 | 4,643 | ||||||
Citrix Systems* | 7,787 | 517 | ||||||
Cognizant Technology Solutions, Cl A* | 12,488 | 811 | ||||||
CommScope* | 3,700 | 117 | ||||||
Computer Sciences | 6,464 | 288 | ||||||
Compuware* | 9,351 | 96 | ||||||
Convergys* | 5,569 | 72 | ||||||
CoreLogic | 4,584 | 83 | ||||||
Corning | 67,158 | 1,186 | ||||||
Cree* (A) | 4,422 | 288 | ||||||
Cypress Semiconductor* | 7,200 | 113 | ||||||
Dell* | 71,343 | 943 | ||||||
Diebold | 2,729 | 86 | ||||||
Dolby Laboratories, Cl A* (A) | 2,143 | 136 | ||||||
DST Systems | 1,695 | 73 | ||||||
eBay* | 48,411 | 1,410 | ||||||
EchoStar, Cl A* | 2,132 | 43 | ||||||
Electronic Arts* | 13,465 | 201 | ||||||
EMC* | 88,064 | 1,893 | ||||||
Equinix* | 2,000 | 155 | ||||||
F5 Networks* | 3,438 | 453 | ||||||
Factset Research Systems (A) | 2,000 | 177 | ||||||
Fairchild Semiconductor International, Cl A* | 6,600 | 93 | ||||||
Fidelity National Information Services | 10,990 | 296 | ||||||
First Solar* (A) | 2,400 | 295 | ||||||
Fiserv* | 6,369 | 352 | ||||||
FLIR Systems* (A) | 6,800 | 182 | ||||||
Gartner* | 2,600 | 84 | ||||||
Genpact* | 3,100 | 43 | ||||||
Global Payments | 3,734 | 155 | ||||||
Google, Cl A* | 10,344 | 5,748 | ||||||
Harris | 5,389 | 239 | ||||||
Hewlett-Packard | 100,001 | 4,193 | ||||||
IAC* | 3,532 | 99 | ||||||
Informatica* | 3,500 | 145 | ||||||
Ingram Micro, Cl A* | 7,023 | 125 | ||||||
Intel | 237,058 | 5,007 | ||||||
International Business Machines | 54,498 | 7,709 | ||||||
International Rectifier* | 3,355 | 95 | ||||||
Intersil, Cl A (A) | 5,361 | 68 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intuit* | 11,986 | $ | 538 | |||||
Itron* | 1,900 | 108 | ||||||
Jabil Circuit | 6,674 | 101 | ||||||
JDS Uniphase* | 10,540 | 125 | ||||||
Juniper Networks* (A) | 22,325 | 760 | ||||||
Kla-Tencor | �� | 7,209 | 264 | |||||
Lam Research* | 5,391 | 244 | ||||||
Lender Processing Services (A) | 3,614 | 111 | ||||||
Lexmark International, Cl A* | 2,986 | 108 | ||||||
Linear Technology (A) | 9,257 | 302 | ||||||
LSI* | 24,748 | 142 | ||||||
Marvell Technology Group* | 22,500 | 434 | ||||||
Mastercard, Cl A | 4,100 | 972 | ||||||
Maxim Integrated Products (A) | 13,400 | 312 | ||||||
McAfee* | 6,373 | 299 | ||||||
MEMC Electronic Materials* | 10,338 | 120 | ||||||
Microchip Technology (A) | 7,822 | 263 | ||||||
Micron Technology* (A) | 37,816 | 274 | ||||||
Micros Systems* | 3,600 | 157 | ||||||
Microsoft | 325,300 | 8,201 | ||||||
Molex (A) | 6,370 | 133 | ||||||
Monster Worldwide* (A) | 5,218 | 118 | ||||||
Motorola* | 98,934 | 758 | ||||||
National Instruments | 2,536 | 87 | ||||||
National Semiconductor | 9,056 | 121 | ||||||
NCR* | 6,689 | 96 | ||||||
NetApp* (A) | 14,655 | 746 | ||||||
NeuStar, Cl A* | 2,400 | 62 | ||||||
Novell* | 15,326 | 91 | ||||||
Novellus Systems* | 4,377 | 132 | ||||||
Nuance Communications* | 9,100 | 161 | ||||||
Nvidia* (A) | 24,356 | 331 | ||||||
ON Semiconductor* | 19,200 | 157 | ||||||
Oracle | 162,367 | 4,390 | ||||||
Paychex | 13,507 | 386 | ||||||
PMC - Sierra* | 7,300 | 53 | ||||||
Polycom* | 3,300 | 122 | ||||||
QLogic* | 3,880 | 69 | ||||||
Qualcomm | 70,050 | 3,274 | ||||||
Rambus* (A) | 4,500 | 90 | ||||||
Red Hat* | 8,027 | 349 | ||||||
Rovi* | 4,300 | 237 | ||||||
SAIC* | 12,900 | 198 | ||||||
Salesforce.com* | 4,838 | 674 | ||||||
SanDisk* | 9,743 | 435 | ||||||
Seagate Technology* | 21,600 | 290 | ||||||
Silicon Laboratories* (A) | 2,200 | 93 | ||||||
Skyworks Solutions* | 6,800 | 173 | ||||||
Solera Holdings | 3,300 | 158 | ||||||
SunPower, Cl A* (A) | 4,400 | 51 | ||||||
Symantec* | 34,248 | 575 | ||||||
Synopsys* | 6,882 | 177 | ||||||
Tech Data* | 2,250 | 99 | ||||||
Tellabs | 17,289 | 109 | ||||||
Teradata* | 6,889 | 283 | ||||||
Teradyne* (A) | 8,863 | 105 | ||||||
Texas Instruments | 52,508 | 1,670 | ||||||
Total System Services | 6,991 | 106 | ||||||
Trimble Navigation* | 4,814 | 179 | ||||||
Varian Semiconductor Equipment Associates* | 3,200 | 101 | ||||||
VeriSign* (A) | 7,485 | 257 | ||||||
Visa, Cl A | 19,700 | 1,455 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Vishay Intertechnology* | 7,150 | $ | 102 | |||||
Vishay Precision Group* | 682 | 11 | ||||||
VistaPrint* (A) | 1,600 | 65 | ||||||
VMware, Cl A* (A) | 3,100 | 253 | ||||||
WebMD Health, Cl A* | 2,210 | 113 | ||||||
Western Digital* | 9,530 | 319 | ||||||
Western Union | 28,728 | 507 | ||||||
Xerox | 58,996 | 676 | ||||||
Xilinx (A) | 11,457 | 311 | ||||||
Yahoo!* (A) | 58,981 | 930 | ||||||
Zebra Technologies, Cl A* | 2,025 | 74 | ||||||
96,430 | ||||||||
Materials — 4.1% | ||||||||
Air Products & Chemicals | 9,194 | 793 | ||||||
Airgas | 4,015 | 245 | ||||||
AK Steel Holding (A) | 5,300 | 71 | ||||||
Albemarle | 3,944 | 213 | ||||||
Alcoa (A) | 43,202 | 567 | ||||||
Allegheny Technologies (A) | 3,897 | 202 | ||||||
Aptargroup | 2,600 | 119 | ||||||
Ashland | 3,476 | 177 | ||||||
Ball | 3,775 | 249 | ||||||
Bemis | 4,774 | 150 | ||||||
Cabot | 2,673 | 96 | ||||||
Carpenter Technology | 2,300 | 84 | ||||||
Celanese, Cl A | 6,283 | 232 | ||||||
CF Industries Holdings | 2,866 | 346 | ||||||
Cliffs Natural Resources (A) | 5,800 | 396 | ||||||
Commercial Metals | 4,900 | 75 | ||||||
Compass Minerals International (A) | 1,200 | 99 | ||||||
Crown Holdings* | 6,451 | 200 | ||||||
Cytec Industries | 2,381 | 114 | ||||||
Domtar | 1,800 | 137 | ||||||
Dow Chemical (A) | 48,670 | 1,518 | ||||||
E.I. Du Pont de Nemours | 38,892 | 1,828 | ||||||
Eagle Materials | 2,000 | 50 | ||||||
Eastman Chemical | 2,942 | 229 | ||||||
Ecolab | 9,891 | 473 | ||||||
FMC | 3,060 | 238 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 20,112 | 2,038 | ||||||
Greif, Cl A | 1,500 | 88 | ||||||
Huntsman | 8,329 | 129 | ||||||
International Flavors & Fragrances | 3,191 | 168 | ||||||
International Paper | 18,755 | 468 | ||||||
Intrepid Potash* (A) | 1,500 | 46 | ||||||
Lubrizol | 2,834 | 296 | ||||||
Martin Marietta Materials (A) | 1,963 | 166 | ||||||
MeadWestvaco | 7,858 | 195 | ||||||
Monsanto | 23,450 | 1,405 | ||||||
Mosaic | 6,578 | 445 | ||||||
Nalco Holding | 5,017 | 148 | ||||||
Newmont Mining | 20,433 | 1,202 | ||||||
Nucor (A) | 12,990 | 490 | ||||||
Owens-Illinois* | 7,491 | 201 | ||||||
Packaging of America | 4,599 | 118 | ||||||
PPG Industries (A) | 7,023 | 547 | ||||||
Praxair (A) | 13,125 | 1,208 | ||||||
Reliance Steel & Aluminum | 2,900 | 129 | ||||||
Royal Gold (A) | 2,200 | 113 |
Description | Shares | Market Value ($ Thousands) | ||||||
RPM International | 6,269 | $ | 128 | |||||
Schnitzer Steel Industries, Cl A | 1,000 | 57 | ||||||
Scotts Miracle-Gro, Cl A | 2,006 | 100 | ||||||
Sealed Air | 7,468 | 173 | ||||||
Sherwin-Williams | 3,737 | 277 | ||||||
Sigma-Aldrich | 5,048 | 319 | ||||||
Sonoco Products | 3,946 | 129 | ||||||
Southern Copper | 7,248 | 304 | ||||||
Steel Dynamics | 10,100 | 161 | ||||||
Temple-Inland | 5,375 | 113 | ||||||
Titanium Metals* (A) | 3,358 | 58 | ||||||
United States Steel (A) | 6,083 | 296 | ||||||
Valspar (A) | 4,164 | 138 | ||||||
Vulcan Materials (A) | 5,757 | 231 | ||||||
Walter Industries | 2,400 | 246 | ||||||
Weyerhaeuser (A) | 22,292 | 372 | ||||||
21,603 | ||||||||
Telecommunication Services — 2.9% |
| |||||||
American Tower, Cl A* | 17,422 | 881 | ||||||
AT&T | 250,933 | 6,973 | ||||||
CenturyLink (A) | 12,675 | 545 | ||||||
Clearwire, Cl A* (A) | 8,300 | 58 | ||||||
Crown Castle International* | 12,396 | 515 | ||||||
Frontier Communications (A) | 42,295 | 385 | ||||||
Leap Wireless International* (A) | 2,900 | 32 | ||||||
Level 3 Communications* (A) | 84,300 | 84 | ||||||
MetroPCS Communications* (A) | 11,800 | 143 | ||||||
NII Holdings* | 7,520 | 291 | ||||||
Qwest Communications International (A) | 73,796 | 517 | ||||||
SBA Communications, Cl A* (A) | 5,300 | 207 | ||||||
Sprint Nextel* | 125,544 | 475 | ||||||
Telephone & Data Systems | 3,602 | 129 | ||||||
tw telecom, Cl A* | 6,300 | 104 | ||||||
US Cellular* | 831 | 38 | ||||||
Verizon Communications | 120,515 | 3,858 | ||||||
Windstream | 20,347 | 265 | ||||||
15,500 | ||||||||
Utilities — 3.5% | ||||||||
AES* | 27,724 | 300 | ||||||
AGL Resources | 3,047 | 112 | ||||||
Allegheny Energy | 7,566 | 173 | ||||||
Alliant Energy | 4,376 | 159 | ||||||
Ameren | 9,790 | 281 | ||||||
American Electric Power | 20,450 | 728 | ||||||
American Water Works | 7,000 | 171 | ||||||
Aqua America (A) | 5,877 | 127 | ||||||
Atmos Energy | 3,491 | 105 | ||||||
Calpine* | 14,900 | 180 | ||||||
Centerpoint Energy | 17,915 | 280 | ||||||
CMS Energy (A) | 9,142 | 164 | ||||||
Consolidated Edison (A) | 11,916 | 576 | ||||||
Constellation Energy Group | 8,358 | 237 | ||||||
Dominion Resources | 25,712 | 1,068 | ||||||
DPL | 5,446 | 138 | ||||||
DTE Energy | 7,264 | 324 | ||||||
Duke Energy | 56,719 | 995 | ||||||
Edison International | 13,979 | 516 | ||||||
Energen | 3,337 | 145 | ||||||
Entergy | 8,098 | 577 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2010
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Exelon | 28,429 | $ | 1,119 | |||||
FirstEnergy (A) | 12,881 | 452 | ||||||
Great Plains Energy (A) | 6,471 | 121 | ||||||
Hawaiian Electric Industries (A) | 3,746 | 82 | ||||||
Integrys Energy Group (A) | 3,302 | 161 | ||||||
ITC Holdings | 1,900 | 115 | ||||||
MDU Resources Group | 8,621 | 176 | ||||||
Mirant* (A) | 6,461 | 64 | ||||||
National Fuel Gas | 3,289 | 208 | ||||||
NextEra Energy | 17,373 | 880 | ||||||
NiSource | 11,021 | 184 | ||||||
Northeast Utilities | 7,907 | 246 | ||||||
NRG Energy* | 10,500 | 203 | ||||||
NSTAR | 4,528 | 188 | ||||||
NV Energy | 10,800 | 148 | ||||||
OGE Energy | 4,468 | 199 | ||||||
Oneok | 4,529 | 232 | ||||||
Ormat Technologies (A) | 1,000 | 27 | ||||||
Pepco Holdings | 10,044 | 184 | ||||||
PG&E | 15,818 | 742 | ||||||
Pinnacle West Capital | 4,792 | 194 | ||||||
PPL | 20,726 | 527 | ||||||
Progress Energy | 12,161 | 531 | ||||||
Public Service Enterprise Group | 21,552 | 665 | ||||||
Questar | 7,346 | 122 | ||||||
RRI Energy* (A) | 14,659 | 52 | ||||||
SCANA | 5,120 | 208 | ||||||
Sempra Energy | 10,523 | 527 | ||||||
Southern (A) | 35,403 | 1,335 | ||||||
TECO Energy | 8,400 | 141 | ||||||
UGI | 4,850 | 144 | ||||||
Vectren | 3,491 | 90 | ||||||
Westar Energy (A) | 5,300 | 132 | ||||||
Wisconsin Energy | 4,849 | 292 | ||||||
Xcel Energy | 19,281 | 453 | ||||||
18,500 | ||||||||
Total Common Stock (Cost $378,335) ($ Thousands) | 520,684 | |||||||
AFFILIATED PARTNERSHIP — 9.2% | 49,675 | 48,998 | ||||||
SEI Liquidity Fund, L.P. 0.210% (E)**† | ||||||||
Total Affiliated Partnership (Cost $49,675) ($ Thousands) | 48,998 | |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**† | 10,711 | 10,711 | ||||||
Total Cash Equivalent (Cost $10,711) ($ Thousands) | 10,711 | |||||||
U.S. TREASURY OBLIGATIONS (C) (D) —0.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.135%, 12/16/10 | $ | 400 | 400 | |||||
0.110%, 01/20/11 | 828 | 828 | ||||||
1,228 | ||||||||
Total U.S. Treasury Obligations (Cost $1,228) ($ Thousands) | 1,228 | |||||||
Description | Number of Rights | Market Value ($ Thousands) | ||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Celgene | 340 | $ | 2 | |||||
Total Rights (Cost $2) ($ Thousands) | 2 | |||||||
Total Investments — 109.3% (Cost $439,951) ($ Thousands) | $ | 581,623 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 194 | Dec-2010 | $ | 657 | ||||||||
S&P Mid 400 Index E-MINI | 18 | Dec-2010 | 128 | |||||||||
$ | 785 | |||||||||||
For the year ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $532,181 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. |
The total value of securities on loan at November 30, 2010 was $48,242 ($ Thousands). |
(B) | The Fund may purchase securities of certain companies with which it is affiliated to the extend these companies are represented in its benchmark index. |
(C) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(E) | This security was purchased with cash collateral held from securities on loan. |
The total value of such securities as of November 30, 2010 was $48,998 |
($ Thousands). |
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands): |
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 520,684 | $ | — | $ | — | $ | 520,684 | ||||||||
Affiliated Partnership | — | 48,998 | — | 48,998 | ||||||||||||
Cash Equivalent | 10,711 | — | — | 10,711 | ||||||||||||
U.S. Treasury Obligation | — | 1,228 | — | 1,228 | ||||||||||||
Rights | 2 | — | — | 2 | ||||||||||||
Total Investments in Securities | $ | 531,397 | $ | 50,226 | $ | — | $ | 581,623 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 785 | $ | — | $ | — | $ | 785 | ||||||||
Total Other Financial Instruments | $ | 785 | $ | — | $ | — | $ | 785 | ||||||||
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 85.1% | ||||||||
Consumer Discretionary — 11.9% | ||||||||
Aaron’s | 2,100 | $ | 42 | |||||
Abercrombie & Fitch, Cl A | 11,631 | 585 | ||||||
American Greetings, Cl A | 110,900 | 2,226 | ||||||
American Public Education* (A) | 117,670 | 4,021 | ||||||
America’s Car-Mart* | 21,400 | 543 | ||||||
Ameristar Casinos | 63,500 | 1,134 | ||||||
AnnTaylor Stores* | 58,907 | 1,585 | ||||||
Arbitron | 24,700 | 722 | ||||||
Arctic Cat* | 54,500 | 813 | ||||||
Asbury Automotive Group* | 3,700 | 58 | ||||||
Ascent Media, Cl A* | 2,100 | 65 | ||||||
Beazer Homes USA* | 79,300 | 330 | ||||||
Bebe Stores | 53,900 | 347 | ||||||
Belo, Cl A* | 91,657 | 532 | ||||||
Big Lots* | 31,100 | 953 | ||||||
Blue Nile* | 10,200 | 504 | ||||||
Bluegreen* | 7,525 | 22 | ||||||
Blyth | 16,731 | 746 | ||||||
Bob Evans Farms | 24,900 | 775 | ||||||
Body Central* | 8,700 | 106 | ||||||
Brinker International | 84,700 | 1,731 | ||||||
Brown Shoe | 116,840 | 1,662 | ||||||
Brunswick | 30,500 | 486 | ||||||
Buckle | 10,500 | 401 | ||||||
Buffalo Wild Wings* | 29,278 | 1,420 | ||||||
Cabela’s* | 128,650 | 2,863 | ||||||
California Pizza Kitchen* | 48,200 | 815 | ||||||
Callaway Golf | 103,268 | 791 | ||||||
Capella Education* | 13,400 | 734 | ||||||
Career Education* | 63,300 | 1,126 | ||||||
Carter’s* | 35,500 | 1,124 | ||||||
Casual Male Retail Group* | 173,800 | 834 | ||||||
Cato, Cl A | 150,937 | 4,309 | ||||||
Cheesecake Factory* | 13,100 | 418 | ||||||
Childrens Place Retail Stores* | 28,500 | 1,479 | ||||||
Choice Hotels International | 6,700 | 250 | ||||||
Christopher & Banks | 71,829 | 383 | ||||||
Cinemark Holdings | 21,000 | 368 | ||||||
Coinstar* | 10,100 | 651 | ||||||
Cooper Tire & Rubber | 133,621 | 2,791 | ||||||
Core-Mark Holding* | 1,700 | 62 | ||||||
Corinthian Colleges* | 39,600 | 164 | ||||||
Cracker Barrel Old Country Store | 33,824 | 1,781 | ||||||
CROCS* | 143,825 | 2,523 | ||||||
CSS Industries | 17,600 | 322 | ||||||
Dana Holdings* | 72,100 | 1,089 | ||||||
Deckers Outdoor* | 15,300 | 1,176 | ||||||
Denny’s* | 71,300 | 261 | ||||||
Dick’s Sporting Goods* | 26,185 | 896 | ||||||
Dillard’s, Cl A | 37,000 | 1,154 | ||||||
Domino’s Pizza* | 34,700 | 513 | ||||||
Drew Industries* | 3,000 | 61 | ||||||
DSW, Cl A* | 22,000 | 860 | ||||||
Eastman Kodak* | 347,700 | 1,638 | ||||||
Entercom Communications, Cl A* | 18,400 | 160 | ||||||
Ethan Allen Interiors | 44,293 | 730 | ||||||
EW Scripps, Cl A* | 45,700 | 413 | ||||||
Exide Technologies* | 11,400 | 93 | ||||||
Finish Line, Cl A | 116,200 | 2,074 | ||||||
Foot Locker | 126,300 | 2,383 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fred’s, Cl A | 81,900 | $ | 1,047 | |||||
Fuel Systems Solutions* | 2,600 | 90 | ||||||
Furniture Brands International* | 20,100 | 89 | ||||||
Gaylord Entertainment* | 9,100 | 312 | ||||||
Harman International Industries* | 2,900 | 126 | ||||||
Harte-Hanks | 10,500 | 131 | ||||||
Helen of Troy* | 12,100 | 286 | ||||||
hhgregg* | 38,034 | 954 | ||||||
Hibbett Sports* | 10,200 | 349 | ||||||
Hillenbrand | 40,035 | 773 | ||||||
HOT Topic | 194,900 | 1,195 | ||||||
HSN* | 16,100 | 457 | ||||||
Iconix Brand Group* | 162,960 | 3,044 | ||||||
International Speedway, Cl A | 15,685 | 372 | ||||||
J Crew Group* | 74,688 | 3,265 | ||||||
Jack in the Box* | 64,300 | 1,293 | ||||||
Jackson Hewitt Tax Service* | 69,200 | 58 | ||||||
Jakks Pacific* | 56,300 | 1,084 | ||||||
Jarden | 94,215 | 2,892 | ||||||
Jo-Ann Stores* | 18,300 | 887 | ||||||
Jones Group | 125,600 | 1,701 | ||||||
Jos. A. Bank Clothiers* | 10,950 | 493 | ||||||
Journal Communications, Cl A* | 152,400 | 692 | ||||||
Kirkland’s* | 49,000 | 586 | ||||||
Lakeland Industries* | 73,784 | 686 | ||||||
La-Z-Boy, Cl Z* | 60,000 | 452 | ||||||
Leggett & Platt | 14,700 | 304 | ||||||
Libbey* | 93,100 | 1,347 | ||||||
Liberty Media - Starz, Ser A* | 2,800 | 176 | ||||||
Life Time Fitness* | 62,030 | 2,446 | ||||||
Lincoln Educational Services | 85,300 | 1,251 | ||||||
Live Nation* | 179,162 | 1,928 | ||||||
Liz Claiborne* | 40,900 | 299 | ||||||
Matthews International, Cl A | 57,029 | 1,852 | ||||||
McClatchy, Cl A* | 37,900 | 120 | ||||||
MDC Partners, Cl A | 237,700 | 3,390 | ||||||
Men’s Wearhouse | 33,009 | 941 | ||||||
Meredith | 63,700 | 2,141 | ||||||
Meritage Homes* | 82,455 | 1,564 | ||||||
Monro Muffler | 7,300 | 361 | ||||||
Morningstar | 6,800 | 343 | ||||||
National CineMedia | 120,637 | 2,251 | ||||||
New Frontier Media* | 229,662 | 441 | ||||||
NutriSystem | 33,400 | 690 | ||||||
NVR* | 2,140 | 1,327 | ||||||
O’Charleys* | 27,900 | 193 | ||||||
OfficeMax* | 22,060 | 377 | ||||||
Overstock.com* | 2,900 | 45 | ||||||
Oxford Industries | 36,100 | 892 | ||||||
Papa John’s International* | 12,600 | 323 | ||||||
Penske Auto Group* | 87,570 | 1,321 | ||||||
PEP Boys-Manny Moe & Jack | 5,900 | 73 | ||||||
PetMed Express | 84,900 | 1,505 | ||||||
PetSmart | 41,500 | 1,571 | ||||||
PF Chang’s China Bistro | 9,700 | 490 | ||||||
Pier 1 Imports* | 24,100 | 235 | ||||||
Pinnacle Entertainment* | 46,200 | 615 | ||||||
Polaris Industries | 14,900 | 1,083 | ||||||
Pool | 25,300 | 536 | ||||||
Pre-Paid Legal Services* | 18,700 | 1,210 | ||||||
Quiksilver* | 20,400 | 88 | ||||||
RadioShack | 66,100 | 1,220 | ||||||
RC2* | 3,800 | 84 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Red Robin Gourmet Burgers* | 44,100 | $ | 817 | |||||
Regal Entertainment Group, Cl A | 64,400 | 869 | ||||||
Regis | 78,927 | 1,406 | ||||||
Rent-A-Center, Cl A | 127,600 | 3,552 | ||||||
Retail Ventures* | 36,000 | 590 | ||||||
Ruby Tuesday* | 73,100 | 935 | ||||||
Ryland Group | 29,300 | 427 | ||||||
Saks* | 351,860 | 3,920 | ||||||
Scholastic | 88,441 | 2,485 | ||||||
Scientific Games, Cl A* | 42,592 | 343 | ||||||
Sealy* | 40,500 | 122 | ||||||
Shoe Carnival* | 24,791 | 688 | ||||||
Shuffle Master* | 106,900 | 1,147 | ||||||
Shutterfly* | 25,600 | 845 | ||||||
Sinclair Broadcast Group, Cl A | 39,677 | 307 | ||||||
Skechers U.S.A., Cl A* | 50,400 | 1,164 | ||||||
Sotheby’s | 50,993 | 2,045 | ||||||
Spartan Motors | 19,800 | 105 | ||||||
Spectrum Group International* | 9,759 | 18 | ||||||
Stage Stores | 106,100 | 1,605 | ||||||
Steiner Leisure* | 43,100 | 1,733 | ||||||
Stewart Enterprises, Cl A | 93,104 | 528 | ||||||
Stoneridge* | 24,200 | 315 | ||||||
Sturm Ruger | 125,700 | 2,011 | ||||||
SuperMedia* | 4,400 | 20 | ||||||
Systemax* | 4,900 | 64 | ||||||
Talbots* | 456,890 | 5,254 | ||||||
Tempur-Pedic International* | 94,008 | 3,301 | ||||||
Tenneco* | 56,693 | 2,067 | ||||||
Tesla Motors* | 34,400 | 1,216 | ||||||
Texas Roadhouse, Cl A* | 16,900 | 289 | ||||||
Timberland, Cl A* | 72,300 | 1,792 | ||||||
Tractor Supply | 38,965 | 1,655 | ||||||
True Religion Apparel* | 74,430 | 1,669 | ||||||
Tupperware Brands | 8,300 | 386 | ||||||
Ulta Salon Cosmetics & Fragrance* | 9,100 | 318 | ||||||
Under Armour, Cl A* | 23,375 | 1,349 | ||||||
Universal Technical Institute | 20,400 | 422 | ||||||
Valassis Communications* | 13,100 | 426 | ||||||
Volcom | 14,700 | 265 | ||||||
Warnaco Group* | 1,800 | 97 | ||||||
Whistler Blackcomb Holdings* | 34,600 | 399 | ||||||
Winnebago Industries* | 23,400 | 245 | ||||||
Wolverine World Wide | 26,400 | 825 | ||||||
World Wrestling Entertainment, Cl A | 13,300 | 186 | ||||||
Zumiez* | 132,475 | 4,214 | ||||||
171,881 | ||||||||
Consumer Staples — 2.1% | ||||||||
Andersons | 39,600 | 1,280 | ||||||
BJ’s Wholesale Club* | 8,168 | 374 | ||||||
Cal-Maine Foods | 38,134 | 1,169 | ||||||
Casey’s General Stores | 36,570 | 1,454 | ||||||
Central Garden and Pet* | 35,415 | 328 | ||||||
Central Garden and Pet, Cl A* | 50,466 | 471 | ||||||
China-Biotics* | 58,100 | 671 | ||||||
Chiquita Brands International* | 255,900 | 2,861 | ||||||
Corn Products International | 17,271 | 745 | ||||||
Cosan Industria e Comercio (Brazil) | 17,400 | 266 | ||||||
Darling International* | 32,400 | 375 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dean Foods* | 44,300 | $ | 322 | |||||
Del Monte Foods | 150,356 | 2,816 | ||||||
Dole Food* | 77,671 | 736 | ||||||
Elizabeth Arden* | 12,500 | 266 | ||||||
Fresh Del Monte Produce | 70,200 | 1,542 | ||||||
Herbalife | 11,729 | 805 | ||||||
Ingles Markets, Cl A | 25,700 | 479 | ||||||
Kulim Malaysia | 48,600 | 186 | ||||||
Lancaster Colony | 50,015 | 2,604 | ||||||
Le Gaga Holdings ADR* (A) | 45,441 | 392 | ||||||
Mead Johnson Nutrition, Cl A | 4,500 | 268 | ||||||
Nash Finch | 25,100 | 927 | ||||||
Pantry* | 53,845 | 1,106 | ||||||
Prestige Brands Holdings* | 95,889 | 1,129 | ||||||
Pricesmart | 9,200 | 309 | ||||||
Ruddick | 55,096 | 2,025 | ||||||
Sanderson Farms | 19,700 | 872 | ||||||
Saskatchewan Wheat Pool, Cl Common Subscription Recei | 109,100 | 973 | ||||||
Seneca Foods, Cl A* | 17,379 | 413 | ||||||
Universal | 49,600 | 2,029 | ||||||
Vector Group | 4,620 | 85 | ||||||
Village Super Market, Cl A | 1,300 | 41 | ||||||
Weis Markets | 13,300 | 513 | ||||||
Winn-Dixie Stores* | 32,400 | 197 | ||||||
31,029 | ||||||||
Energy — 5.7% | ||||||||
Allis-Chalmers Energy* | 34,700 | 223 | ||||||
Alon USA Energy | 26,200 | 145 | ||||||
Approach Resources* | 57,600 | 1,052 | ||||||
Atwood Oceanics* | 54,300 | 1,933 | ||||||
Berry Petroleum, Cl A | 85,648 | 3,264 | ||||||
BPZ Resources* | 237,600 | 936 | ||||||
Brigham Exploration* | 44,800 | 1,127 | ||||||
Cal Dive International* | 249,337 | 1,334 | ||||||
CARBO Ceramics | 9,800 | 952 | ||||||
Clayton Williams Energy* | 800 | 60 | ||||||
Clean Energy Fuels* | 67,300 | 901 | ||||||
Cloud Peak Energy* | 15,800 | 331 | ||||||
Complete Production Services* | 38,200 | 1,087 | ||||||
Comstock Resources* | 259,067 | 6,347 | ||||||
Crosstex Energy | 8,800 | 81 | ||||||
CVR Energy* | 95,673 | 1,151 | ||||||
Delek US Holdings | 59,137 | 421 | ||||||
DHT Maritime | 22,600 | 99 | ||||||
Dresser-Rand Group* | 37,810 | 1,434 | ||||||
Energy Partners* | 11,600 | 141 | ||||||
Energy XXI Bermuda* | 41,045 | 1,012 | ||||||
Exterran Holdings* | 28,357 | 643 | ||||||
Forest Oil* | 51,200 | 1,752 | ||||||
Frontier Oil | 48,188 | 748 | ||||||
Frontline | 35,600 | 924 | ||||||
GeoMet* | 214,366 | 178 | ||||||
Global Geophysical Services* | 27,400 | 253 | ||||||
Goodrich Petroleum* | 360,257 | 4,737 | ||||||
Gulfmark Offshore, Cl A* | 15,500 | 454 | ||||||
Holly | 15,800 | 568 | ||||||
Hornbeck Offshore Services* | 32,100 | 708 | ||||||
Houston American Energy | 17,800 | 306 | ||||||
Karoon Gas Australia* | 105,098 | 743 | ||||||
Key Energy Services* | 92,554 | 953 | ||||||
Kinder Morgan Escrow* | 58,213 | — |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Knightsbridge Tankers | 23,300 | $ | 530 | |||||
Matrix Service* | 90,500 | 899 | ||||||
McMoRan Exploration* | 43,300 | 647 | ||||||
Newpark Resources* | 129,500 | 741 | ||||||
Nordic American Tanker Shipping | 39,100 | 1,012 | ||||||
Northern Oil And Gas* | 19,800 | 452 | ||||||
Oilsands Quest* | 3,087,200 | 1,389 | ||||||
Overseas Shipholding Group | 47,900 | 1,675 | ||||||
Parker Drilling* | 156,600 | 626 | ||||||
Patterson-UTI Energy | 93,500 | 1,846 | ||||||
Penn Virginia | 60,100 | 953 | ||||||
PetroHawk Energy* | 286,860 | 5,115 | ||||||
Petroquest Energy* | 53,600 | 372 | ||||||
Quicksilver Resources* | 222,809 | 3,168 | ||||||
Scorpio Tankers* | 373,274 | 3,714 | ||||||
SEACOR Holdings* | 9,400 | 1,025 | ||||||
Seahawk Drilling* | 6,000 | 49 | ||||||
Ship Finance International | 59,200 | 1,285 | ||||||
StealthGas* | 112,100 | 570 | ||||||
Stone Energy* | 14,800 | 306 | ||||||
Superior Energy Services* | 47,300 | 1,579 | ||||||
Swift Energy* | 58,497 | 2,135 | ||||||
Teekay | 30,700 | 979 | ||||||
Tesoro | 24,200 | 395 | ||||||
Tetra Technologies* | 98,000 | 1,078 | ||||||
Tidewater | 22,516 | 1,105 | ||||||
Unit* | 2,700 | 108 | ||||||
USEC* | 338,200 | 2,012 | ||||||
Vaalco Energy* | 178,200 | 1,317 | ||||||
Vantage Drilling* | 580,568 | 1,022 | ||||||
Venoco* | 18,400 | 320 | ||||||
W&T Offshore | 120,800 | 2,023 | ||||||
World Fuel Services | 165,821 | 4,991 | ||||||
82,436 | ||||||||
Financials — 18.5% | ||||||||
Acadia Realty Trust‡ | 8,600 | 157 | ||||||
Advance America Cash Advance Centers | 121,600 | 579 | ||||||
Affiliated Managers Group* | 21,190 | 1,852 | ||||||
Agree Realty‡ | 11,000 | 307 | ||||||
Alexander’s‡ | 500 | 193 | ||||||
Allied World Assurance Holdings | 19,900 | 1,169 | ||||||
Alterra Capital Holdings | 124,900 | 2,540 | ||||||
AMB Property‡ | 69,650 | 2,032 | ||||||
American Campus Communities‡ | 35,300 | 1,110 | ||||||
American Capital* | 268,317 | 1,929 | ||||||
American Capital Agency‡ | 39,100 | 1,146 | ||||||
American Equity Investment Life Holding | 160,700 | 1,765 | ||||||
American National Insurance | 300 | 24 | ||||||
Amtrust Financial Services | 45,800 | 733 | ||||||
Anworth Mortgage Asset‡ | 230,509 | 1,600 | ||||||
Apartment Investment & Management, Cl A‡ | 109,214 | 2,634 | ||||||
Apollo Investments* | 78,338 | 827 | ||||||
Ares Capital | 4,550 | 75 | ||||||
Argo Group International Holdings | 16,500 | 609 | ||||||
Arlington Asset Investment, Cl A | 1,100 | 27 | ||||||
Ashford Hospitality Trust‡* | 55,000 | 517 | ||||||
Aspen Insurance Holdings | 122,600 | 3,543 |
Description | Shares | Market Value ($ Thousands) | ||||||
Associated Banc | 32,600 | $ | 417 | |||||
Associated Estates Realty‡ | 3,200 | 48 | ||||||
Astoria Financial | 76,800 | 925 | ||||||
AvalonBay Communities‡ | 13,283 | 1,465 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 95,800 | 1,556 | ||||||
Bancorp Rhode Island | 34,300 | 1,023 | ||||||
Bancorpsouth | 91,030 | 1,170 | ||||||
Bank Mutual | 25,200 | 115 | ||||||
Bank of Hawaii | 40,700 | 1,762 | ||||||
Bank of the Ozarks | 14,800 | 561 | ||||||
BGC Partners, Cl A | 10,800 | 83 | ||||||
BioMed Realty Trust‡ | 20,900 | 368 | ||||||
BlackRock Kelso Capital | 71,700 | 804 | ||||||
Boston Private Financial Holdings | 232,482 | 1,248 | ||||||
Boston Properties‡ | 34,600 | 2,899 | ||||||
Brandywine Realty Trust‡ | 185,800 | 2,055 | ||||||
Brasil Brokers Participacoes | 38,400 | 210 | ||||||
Brookline Bancorp | 9,400 | 92 | ||||||
Calamos Asset Management, Cl A | 21,022 | 251 | ||||||
Camden National | 10,600 | 381 | ||||||
Campus Crest Communities‡* | 66,200 | 835 | ||||||
CapitalSource | 404,625 | 2,614 | ||||||
Capstead Mortgage‡ | 232,100 | 2,727 | ||||||
Cardinal Financial | 40,523 | 420 | ||||||
Cash Store Financial Services | 96,875 | 1,379 | ||||||
Cathay General Bancorp | 121,700 | 1,644 | ||||||
CBL & Associates Properties‡ | 178,997 | 2,953 | ||||||
Central Pacific Financial* | 29,400 | 42 | ||||||
Chatham Lodging Trust‡ | 37,500 | 616 | ||||||
Chemical Financial | 25,048 | 524 | ||||||
Chimera Investment‡ | 241,200 | 965 | ||||||
Citizens Republic Bancorp* | 598,000 | 347 | ||||||
City Holding (A) | 28,200 | 904 | ||||||
CNA Surety* | 26,160 | 615 | ||||||
CNO Financial Group* | 194,700 | 1,139 | ||||||
Cohen & Steers | 15,200 | 383 | ||||||
Colonial Properties Trust‡ | 15,600 | 281 | ||||||
CommonWealth REIT‡ | 84,650 | 2,119 | ||||||
Community Bank System | 68,788 | 1,656 | ||||||
Corporate Office Properties Trust‡ | 39,850 | 1,351 | ||||||
Cousins Properties‡ | 16,409 | 122 | ||||||
Cowen Group, Cl A* | 258,111 | 1,053 | ||||||
Crawford, Cl B* | 4,024 | 12 | ||||||
Credit Acceptance* | 24,686 | 1,530 | ||||||
CreXus Investment‡ | 62,900 | 795 | ||||||
CVB Financial | 218,312 | 1,718 | ||||||
DCT Industrial Trust‡ | 44,100 | 218 | ||||||
Delphi Financial Group, Cl A | 75,500 | 1,939 | ||||||
DiamondRock Hospitality‡ | 25,692 | 270 | ||||||
Dime Community Bancshares | 33,400 | 456 | ||||||
Dollar Financial* | 43,700 | 1,144 | ||||||
Duff & Phelps, Cl A | 45,534 | 609 | ||||||
DuPont Fabros Technology‡ | 55,200 | 1,247 | ||||||
Dynex Capital‡ | 45,500 | 478 | ||||||
East West Bancorp | 42,800 | 742 | ||||||
EastGroup Properties‡ | 5,600 | 223 | ||||||
Eaton Vance | 55,095 | 1,637 | ||||||
Education Realty Trust‡ | 78,576 | 577 | ||||||
EMC Insurance Group | 3,371 | 75 | ||||||
Employers Hol dings | 66,410 | 1,073 | ||||||
Encore Bancshares* | 39,100 | 370 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Encore Capital Group* | 33,200 | $ | 617 | |||||
Endurance Specialty Holdings | 61,028 | 2,692 | ||||||
Entertainment Properties Trust‡ | 16,300 | 755 | ||||||
Equity Lifestyle Properties‡ | 5,600 | 302 | ||||||
Equity One‡ | 86,086 | 1,490 | ||||||
Equity Residential‡ | 71,250 | 3,561 | ||||||
ESSA Bancorp | 36,900 | 485 | ||||||
Essex Property Trust‡ | 20,550 | 2,278 | ||||||
Extra Space Storage‡ | 19,200 | 308 | ||||||
FBL Financial Group, Cl A | 36,057 | 963 | ||||||
FBR Capital Markets* | 372,400 | 1,348 | ||||||
Federal Realty Investment Trust‡ | 11,400 | 882 | ||||||
Federated Investors, Cl B | 50,255 | 1,192 | ||||||
FelCor Lodging Trust‡* | 13,600 | 81 | ||||||
Financial Engines* | 243,782 | 4,125 | ||||||
First Commonwealth Financial | 99,204 | 615 | ||||||
First Financial Bancorp | 53,599 | 885 | ||||||
First Financial Bankshares | 700 | 34 | ||||||
First Financial Holdings | 18,800 | 207 | ||||||
First Horizon National* | 56,985 | 545 | ||||||
First Industrial Realty Trust‡* | 13,800 | 105 | ||||||
First Merchants | 9,500 | 79 | ||||||
First Midwest Bancorp | 12,400 | 116 | ||||||
First Potomac Realty Trust‡ | 9,000 | 142 | ||||||
FirstMerit | 83,610 | 1,457 | ||||||
Flushing Financial | 110,800 | 1,485 | ||||||
FNB (Pennsylvania) | 120,942 | 1,061 | ||||||
FPIC Insurance Group* | 17,400 | 643 | ||||||
Franklin Street Properties‡ | 14,800 | 190 | ||||||
General Growth Properties‡ | 44,800 | 725 | ||||||
General Shopping Brasil (Brazil)* | 28,700 | 213 | ||||||
Getty Realty‡ | 23,318 | 695 | ||||||
GFI Group | 90,800 | 421 | ||||||
Glimcher Realty Trust‡ | 14,000 | 114 | ||||||
Global Indemnity, Cl A* | 3,600 | 69 | ||||||
Gluskin Sheff + Associates | 23,600 | 427 | ||||||
Government Properties Income Trust‡ | 2,700 | 69 | ||||||
Great American Group* | 234,582 | 94 | ||||||
Greenhill | 5,800 | 435 | ||||||
Hancock Holding | 50,200 | 1,581 | ||||||
Harleysville Group | 9,000 | 320 | ||||||
Hatteras Financial‡ | 45,300 | 1,403 | ||||||
HCP‡ | 88,600 | 2,918 | ||||||
Healthcare Realty Trust‡ | 13,300 | 274 | ||||||
Hercules Technology Growth Capital | 106,465 | 1,063 | ||||||
Hersha Hospitality Trust, Cl A‡ | 15,800 | 97 | ||||||
Highwoods Properties‡ | 51,700 | 1,577 | ||||||
Home Bancshares | 48,600 | 1,006 | ||||||
Home Federal Bancorp | 37,800 | 436 | ||||||
Home Properties‡ | 7,300 | 391 | ||||||
Horace Mann Educators | 161,578 | 2,639 | ||||||
Horizon Financial* | 400 | — | ||||||
Hospitality Properties Trust‡ | 19,100 | 422 | ||||||
Host Hotels & Resorts‡ | 157,812 | 2,601 | ||||||
Hudson Valley Holding | 44,561 | 882 | ||||||
Iberiabank | 14,014 |
| 706 |
| ||||
Infinity Property & Casualty | 57,159 | 3,300 | ||||||
Inland Real Estate‡ | 80,900 | 688 | ||||||
International Bancshares | 132,600 | 2,281 | ||||||
Invesco Mortgage Capital‡ | 4,300 | 97 | ||||||
Investment Technology Group* | 5,000 | 73 |
Description | Shares | Market Value ($ Thousands) | ||||||
Investors Real Estate Trust‡ | 123,100 | $ | 1,089 | |||||
iStar Financial‡* | 19,600 | 107 | ||||||
Jones Lang LaSalle | 26,830 | 2,141 | ||||||
Kennedy-Wilson Holdings* | 42,710 | 418 | ||||||
Kilroy Realty‡ | 9,300 | 317 | ||||||
Knight Capital Group, Cl A* | 172,400 | 2,265 | ||||||
LaSalle Hotel Properties‡ | 13,900 | 331 | ||||||
Lexington Realty Trust‡ | 22,672 | 178 | ||||||
Life Partners Holdings | 1,900 | 41 | ||||||
LPL Investment Holdings* | 46,350 | 1,571 | ||||||
LTC Properties‡ | 66,793 | 1,803 | ||||||
Macerich‡ | 36,596 | 1,696 | ||||||
Mack-Cali Realty‡ | 26,950 | 856 | ||||||
Maiden Holdings | 137,100 | 1,032 | ||||||
MainSource Financial Group | 22,500 | 206 | ||||||
MarketAxess Holdings | 185,251 | 3,370 | ||||||
MB Financial | 31,200 | 444 | ||||||
MCG Capital | 15,200 | 106 | ||||||
Meadowbrook Insurance Group | 328,368 | 3,106 | ||||||
Medical Properties Trust‡ | 214,100 | 2,244 | ||||||
MF Global Holdings* | 240,550 | 1,888 | ||||||
MFA Mortgage Investments‡ | 545,612 | 4,447 | ||||||
MGIC Investment* (A) | 395,530 | 3,370 | ||||||
Mid-America Apartment Communities‡ | 18,671 | 1,146 | ||||||
Montpelier Re Holdings | 131,013 | 2,578 | ||||||
MSCI, Cl A* | 44,742 | 1,524 | ||||||
National Health Investors‡ | 5,900 | 260 | ||||||
National Penn Bancshares | 221,740 | 1,488 | ||||||
National Retail Properties‡ | 18,100 | 471 | ||||||
Nationwide Health Properties‡ | 8,413 | 303 | ||||||
Navios Maritime Acquisition | 108,480 | 496 | ||||||
NBT Bancorp | 11,200 | 249 | ||||||
Nelnet, Cl A | 142,800 | 3,049 | ||||||
Netspend Holdings* | 94,850 | 1,271 | ||||||
Northwest Bancshares | 24,800 | 255 | ||||||
OceanFirst Financial | 13,950 | 168 | ||||||
Omega Healthcare Investors‡ | 18,100 | 382 | ||||||
Oppenheimer Holdings, Cl A | 500 | 12 | ||||||
Oriental Financial Group | 33,900 | 393 | ||||||
PacWest Bancorp | 36,724 | 624 | ||||||
Park National (A) | 12,200 | 824 | ||||||
Parkway Properties‡ | 32,800 | 521 | ||||||
Pebblebrook Hotel Trust‡* | 38,819 | 727 | ||||||
Pennsylvania Real Estate Investment Trust‡ | 10,700 | 144 | ||||||
PHH* | 48,900 | 1,038 | ||||||
Phoenix* | 279,300 | 640 | ||||||
Pico Holdings* | 38,458 | 1,098 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 47,095 | 937 | ||||||
Piper Jaffray* | 4,500 | 135 | ||||||
Platinum Underwriters Holdings | 112,884 | 4,880 | ||||||
Post Properties‡ | 9,900 | 337 | ||||||
Potlatch‡ | 30,400 | 963 | ||||||
Presidential Life | 13,709 | 127 | ||||||
PrivateBancorp, Cl A | 34,300 | 417 | ||||||
ProAssurance* | 25,199 | 1,493 | ||||||
ProLogis‡ | 99,100 | 1,289 | ||||||
Prospect Capital | 51,800 | 507 | ||||||
Prosperity Bancshares | 42,800 | 1,393 | ||||||
Protective Life | 66,500 | 1,564 | ||||||
Provident Financial Services | 103,000 | 1,419 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
PS Business Parks‡ | 3,900 | $ | 202 | |||||
Public Storage‡ | 36,574 | 3,533 | ||||||
Radian Group | 208,300 | 1,477 | ||||||
RAIT Financial Trust‡* | 45,800 | 74 | ||||||
Ramco-Gershenson Properties‡ | 6,800 | 78 | ||||||
Redwood Trust‡ | 62,400 | 863 | ||||||
Regency Centers‡ | 40,500 | 1,649 | ||||||
Reinsurance Group of America, Cl A | 16,412 | 819 | ||||||
Renasant | 47,800 | 828 | ||||||
Republic Bancorp, Cl A | 47,900 | 982 | ||||||
S&T Bancorp | 24,200 | 475 | ||||||
Sabra Healthcare REIT‡ | 22,566 | 385 | ||||||
Safety Insurance Group | 43,900 | 2,055 | ||||||
SCBT Financial | 32,900 | 1,017 | ||||||
Selective Insurance Group | 49,700 | 820 | ||||||
Senior Housing Properties Trust‡ | 73,350 | 1,638 | ||||||
Signature Bank NY* | 12,860 | 565 | ||||||
Simmons First National, Cl A | 29,180 | 848 | ||||||
Simon Property Group‡ | 39,397 | 3,881 | ||||||
SL Green Realty‡ | 21,850 | 1,429 | ||||||
Sovran Self Storage‡ | 22,703 | 818 | ||||||
Starwood Property Trust‡ | 52,700 | 1,052 | ||||||
Sterling Financial* (A) | 888 | 14 | ||||||
Stewart Information Services (A) | 22,500 | 239 | ||||||
Stifel Financial* | 10,093 | 523 | ||||||
Strategic Hotels & Resorts‡* | 27,400 | 128 | ||||||
Student Loan | 8,000 | 240 | ||||||
Sun Communities‡ | 3,600 | 119 | ||||||
Sunstone Hotel Investors‡* | 55,225 | 526 | ||||||
Susquehanna Bancshares | 93,335 | 751 | ||||||
SVB Financial Group* | 38,515 | 1,731 | ||||||
SWS Group | 115,469 | 600 | ||||||
Synovus Financial | 367,239 | 746 | ||||||
Tanger Factory Outlet Centers‡ | 8,900 | 427 | ||||||
Taubman Centers‡ | 48,950 | 2,376 | ||||||
TCF Financial | 86,442 | 1,177 | ||||||
Texas Capital Bancshares* | 11,400 | 215 | ||||||
THL Credit | 60,200 | 789 | ||||||
Titanium Asset Management* | 10,500 | 9 | ||||||
Titanium Asset Management PP (H)(I)(J)* | 122,200 | 351 | ||||||
Tompkins Financial | 9,800 | 376 | ||||||
Tower Group | 13,900 | 358 | ||||||
TradeStation Group* | 16,900 | 107 | ||||||
Trustco Bank | 195,967 | 1,099 | ||||||
Trustmark | 10,200 | 218 | ||||||
UMB Financial | 9,200 | 343 | ||||||
Umpqua Holdings | 62,288 | 660 | ||||||
United Bankshares | 53,642 | 1,406 | ||||||
United Financial Bancorp | 30,700 | 455 | ||||||
United Fire & Casualty | 5,800 | 120 | ||||||
Unitrin | 27,900 | 660 | ||||||
Universal Health Realty Income Trust‡ | 3,000 | 105 | ||||||
Uranium Participation* | 130,100 | 1,050 | ||||||
Urstadt Biddle Properties, Cl A‡ | 4,600 | 85 | ||||||
U-Store-It Trust‡ | 17,500 | 145 | ||||||
Validus Holdings | 59,684 | 1,743 | ||||||
Value Creation (H)(I)(J)* | 119,600 | 121 | ||||||
Ventas‡ | 28,000 | 1,436 | ||||||
ViewPoint Financial Group | 92,320 | 969 | ||||||
Vornado Realty Trust‡ | 12,137 | 990 |
Description | Shares | Market Value ($ Thousands) | ||||||
Waddell & Reed Financial, Cl A | 8,179 | $ | 252 | |||||
Walter Investment Management‡ | 44,100 | 761 | ||||||
Washington Federal | 34,000 | 502 | ||||||
Washington Real Estate Investment Trust‡ | 43,200 | 1,325 | ||||||
Webster Financial | 49,400 | 815 | ||||||
WesBanco | 30,100 | 525 | ||||||
Westamerica Bancorporation | 32,300 | 1,579 | ||||||
Whitney Holding | 111,399 | 1,046 | ||||||
Willis Group Holdings | 5,462 | 174 | ||||||
Wilmington Trust | 9,300 | 36 | ||||||
Wilshire Bancorp | 10,100 | 72 | ||||||
World Acceptance* | 63,450 | 2,796 | ||||||
WSFS Financial | 23,200 | 1,009 | ||||||
Zions Bancorporation | 55,432 | 1,078 | ||||||
268,276 | ||||||||
Health Care — 8.5% | ||||||||
Abaxis* | 83,306 | 2,249 | ||||||
Acadia Pharmaceuticals* | 249,100 | 167 | ||||||
Accuray* | 131,290 | 785 | ||||||
Achillion Pharmaceuticals* | 167,775 | 480 | ||||||
Acorda Therapeutics* | 23,700 | 624 | ||||||
Affymetrix* | 32,700 | 136 | ||||||
Air Methods* | 18,800 | 926 | ||||||
Albany Molecular Research* | 40,719 | 206 | ||||||
Alere* | 57,600 | 1,838 | ||||||
Align Technology* | 141,337 | 2,472 | ||||||
Allscripts Healthcare Solutions* | 9,400 | 165 | ||||||
Amedisys* | 33,776 | 959 | ||||||
AMERIGROUP* | 11,401 | 491 | ||||||
AMN Healthcare Services* | 151,375 | 848 | ||||||
Amsurg, Cl A* | 124,224 | 2,283 | ||||||
Analogic | 9,556 | 444 | ||||||
Angiodynamics* | 18,214 | 254 | ||||||
Arena Pharmaceuticals* | 171,382 | 249 | ||||||
Assisted Living Concepts, Cl A* | 43,900 | 1,327 | ||||||
athenahealth* | 65,070 | 2,669 | ||||||
BioMarin Pharmaceutical* | 55,251 | 1,496 | ||||||
Bruker* | 25,800 | 398 | ||||||
Cambrex* | 110,300 | 471 | ||||||
Cantel Medical | 11,200 | 226 | ||||||
Cardiome Pharma* | 246,757 | 1,192 | ||||||
Catalyst Health Solutions* | 41,320 | 1,773 | ||||||
Celera* | 10,200 | 58 | ||||||
Cepheid* | 1,700 | 33 | ||||||
Chemed | 53,395 | 3,254 | ||||||
Chindex International* | 800 | 12 | ||||||
Conceptus* | 114,580 | 1,507 | ||||||
Conmed* | 64,412 | 1,385 | ||||||
Continucare* | 82,200 | 388 | ||||||
Cooper | 12,152 | 650 | ||||||
Cross Country Healthcare* | 48,051 | 369 | ||||||
CryoLife* | 13,700 | 77 | ||||||
Cubist Pharmaceuticals* | 49,341 | 1,071 | ||||||
Durect* | 545,153 | 1,625 | ||||||
Emeritus* | 1,700 | 31 | ||||||
Ensign Group | 47,600 | 1,024 | ||||||
Enzon Pharmaceuticals* | 40,900 | 455 | ||||||
eResearch Technology* | 61,603 | 345 | ||||||
Exactech* | 33,014 | 588 | ||||||
Exelixis* | 12,100 | 70 | ||||||
Genomic Health* | 3,600 | 66 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Genoptix* | 9,935 | $ | 170 | |||||
Gen-Probe* | 45,860 | 2,378 | ||||||
Genta* | 1 | — | ||||||
Gentiva Health Services* | 53,300 | 1,225 | ||||||
Haemonetics* | 30,160 | 1,773 | ||||||
Healthsouth* | 93,722 | 1,687 | ||||||
Healthspring* | 9,100 | 244 | ||||||
Healthways* | 10,000 | 96 | ||||||
HeartWare International* | 30,413 | 2,797 | ||||||
Hill-Rom Holdings | 27,200 | 1,077 | ||||||
ICU Medical* | 93,700 | 3,434 | ||||||
Immucor* | 43,000 | 790 | ||||||
Impax Laboratories* | 21,200 | 378 | ||||||
Incyte* | 211,835 | 3,074 | ||||||
Inspire Pharmaceuticals* | 74,900 | 523 | ||||||
Invacare | 17,300 | 467 | ||||||
IPC The Hospitalist* | 57,762 | 1,873 | ||||||
Kendle International* | 45,317 | 408 | ||||||
Kensey Nash* | 9,200 | 250 | ||||||
Kindred Healthcare* | 107,550 | 1,736 | ||||||
Kinetic Concepts* | 21,300 | 846 | ||||||
LCA-Vision* | 13,400 | 69 | ||||||
LHC Group* | 39,100 | 1,034 | ||||||
LifePoint Hospitals* | 8,900 | 322 | ||||||
Magellan Health Services* | 22,300 | 1,086 | ||||||
MannKind* | 17,300 | 109 | ||||||
Martek Biosciences* | 20,300 | 447 | ||||||
Masimo | 61,510 | 1,898 | ||||||
Matrixx Initiatives* | 4,600 | 24 | ||||||
Medical Action Industries* | 39,500 | 314 | ||||||
Medicines* | 103,000 | 1,358 | ||||||
Medicis Pharmaceutical, Cl A | 101,000 | 2,661 | ||||||
Mednax* | 13,500 | 826 | ||||||
Meridian Bioscience | 57,600 | 1,280 | ||||||
Merit Medical Systems* | 5,350 | 82 | ||||||
Metropolitan Health Networks* | 99,800 | 430 | ||||||
Molina Healthcare* | 15,200 | 386 | ||||||
Momenta Pharmaceuticals* | 17,000 | 259 | ||||||
MWI Veterinary Supply* | 31,743 | 1,939 | ||||||
Myriad Genetics* | 63,960 | 1,377 | ||||||
Nektar Therapeutics* | 13,300 | 168 | ||||||
Nighthawk Radiology Holdings* | 2,381 | 15 | ||||||
NuVasive* | 191,884 | 4,482 | ||||||
NxStage Medical* | 16,300 | 353 | ||||||
Omnicell* | 173,343 | 2,323 | ||||||
Owens & Minor | 28,900 | 816 | ||||||
Par Pharmaceutical* | 95,170 | 3,419 | ||||||
Parexel International* | 124,705 | 2,190 | ||||||
Patterson | 15,459 | 460 | ||||||
PDL BioPharma | 510,727 | 2,952 | ||||||
Pharmaceutical Product Development | 25,593 | 638 | ||||||
Pharmacyclics* | 9,500 | 51 | ||||||
PharMerica* | 92,700 | 1,007 | ||||||
Pozen* | 250,174 | 1,601 | ||||||
Providence Service* | 64,470 | 1,084 | ||||||
PSS World Medical* | 98,305 | 2,025 | ||||||
Quality Systems | 35,013 | 2,258 | ||||||
Questcor Pharmaceuticals* | 50,900 | 725 | ||||||
Quidel* | 19,423 | 257 | ||||||
RehabCare Group* | 111,201 | 2,250 | ||||||
Rigel Pharmaceuticals* | 143,400 | 1,144 | ||||||
Salix Pharmaceuticals* | 16,100 | 719 |
Description | Shares | Market Value ($ Thousands) | ||||||
Savient Pharmaceuticals* | 5,400 | $ | 64 | |||||
Seattle Genetics* | 53,825 | 813 | ||||||
Sirona Dental Systems* | 2,700 | 102 | ||||||
Skilled Healthcare Group, Cl A* | 50,800 | 323 | ||||||
STERIS | 75,600 | 2,601 | ||||||
Sun Healthcare Group* | 22,566 | 221 | ||||||
Sunrise Senior Living* | 21,000 | 77 | ||||||
Symmetry Medical* | 18,300 | 150 | ||||||
Targacept* | 9,700 | 206 | ||||||
Techne | 52,750 | 3,169 | ||||||
Teleflex | 26,775 | 1,337 | ||||||
Universal American Financial | 103,100 | 1,529 | ||||||
Viropharma* | 27,800 | 429 | ||||||
WellCare Health Plans* | 17,600 | 495 | ||||||
Zoll Medical* | 25,275 | 845 | ||||||
122,561 | ||||||||
Industrials — 15.1% | ||||||||
AAR* | 1,900 | 47 | ||||||
ABM Industries | 21,300 | 490 | ||||||
ACCO Brands* | 71,200 | 500 | ||||||
Acuity Brands | 15,300 | 824 | ||||||
Administaff | 2,000 | 57 | ||||||
Aegean Marine Petroleum Network | 456,582 | 4,018 | ||||||
AerCap Holdings* | 315,676 | 4,101 | ||||||
Aerovironment* | 56,503 | 1,396 | ||||||
Air Transport Services Group* | 109,000 | 804 | ||||||
Aircastle | 171,100 | 1,639 | ||||||
Airtran Holdings* | 174,300 | 1,297 | ||||||
Alamo Group | 21,600 | 553 | ||||||
Alaska Air Group* | 33,400 | 1,837 | ||||||
Allegiant Travel, Cl A | 6,300 | 314 | ||||||
Alliant Techsystems | 19,895 | 1,470 | ||||||
Altra Holdings* | 2,500 | 42 | ||||||
American Superconductor* | 28,000 | 932 | ||||||
Ampco-Pittsburgh | 23,100 | 608 | ||||||
AO Smith | 38,550 | 1,519 | ||||||
APAC Customer Services* | 66,400 | 393 | ||||||
Apogee Enterprises | 119,500 | 1,344 | ||||||
Applied Industrial Technologies | 58,600 | 1,751 | ||||||
Arkansas Best | 2,100 | 52 | ||||||
Armstrong World Industries* | 11,400 | 553 | ||||||
ArvinMeritor* | 68,700 | 1,226 | ||||||
Astec Industries* | 37,100 | 1,111 | ||||||
Atlas Air Worldwide Holdings* | 19,000 | 1,037 | ||||||
AZZ | 5,800 | 216 | ||||||
Baldor Electric | 5,900 | 374 | ||||||
Barnes Group | 87,180 | 1,664 | ||||||
BE Aerospace* | 21,994 | 781 | ||||||
Beacon Roofing Supply* | 60,000 | 1,032 | ||||||
Belden | 46,679 | 1,554 | ||||||
Blount International* | 5,800 | 90 | ||||||
Brady, Cl A | 22,259 | 688 | ||||||
Briggs & Stratton | 120,015 | 2,089 | ||||||
Carlisle | 126,370 | 4,628 | ||||||
Cascade | 12,200 | 446 | ||||||
Celadon Group* | 176,448 | 2,377 | ||||||
Ceradyne* | 45,900 | 1,213 | ||||||
Chart Industries* | 12,400 | 392 | ||||||
Chicago Bridge & Iron* | 41,400 | 1,172 | ||||||
Clean Harbors* | 11,048 | 818 | ||||||
Columbus McKinnon* | 81,016 | 1,329 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Comfort Systems USA | 134,486 | $ | 1,499 | |||||
Consolidated Graphics* | 4,400 | 209 | ||||||
Con-way | 14,100 | 476 | ||||||
Copa Holdings, Cl A | 32,201 | 1,796 | ||||||
Copart* | 42,920 | 1,523 | ||||||
Corporate Executive Board | 67,052 | 2,326 | ||||||
CoStar Group* | 70,310 | 3,708 | ||||||
Courier | 15,336 | 218 | ||||||
CRA International* | 87,345 | 1,930 | ||||||
Crane | 4,500 | 169 | ||||||
Cubic | 42,700 | 1,948 | ||||||
Deluxe | 88,600 | 1,877 | ||||||
Douglas Dynamics | 67,900 | 1,002 | ||||||
Dycom Industries* | 73,592 | 973 | ||||||
EMCOR Group* | 190,918 | 5,117 | ||||||
Encore Wire | 11,100 | 253 | ||||||
EnerNOC* | 65,115 | 1,597 | ||||||
EnerSys* | 1,900 | 57 | ||||||
Ennis | 31,521 | 538 | ||||||
EnPro Industries* | 34,900 | 1,279 | ||||||
Esterline Technologies* | 34,700 | 2,043 | ||||||
Fastenal | 14,600 | 781 | ||||||
Force Protection* | 215,500 | 1,106 | ||||||
Franklin Electric | 16,500 | 642 | ||||||
FreightCar America | 4,900 | 122 | ||||||
FTI Consulting* | 104,200 | 3,714 | ||||||
G&K Services, Cl A | 49,992 | 1,387 | ||||||
Gardner Denver | 40,992 | 2,683 | ||||||
Genco Shipping & Trading* | 34,100 | 501 | ||||||
GenCorp* | 21,700 | 107 | ||||||
Generac Holdings* | 43,400 | 645 | ||||||
Geo Group* | 146,600 | 3,533 | ||||||
GeoEye* | 22,700 | 905 | ||||||
Gibraltar Industries* | 67,000 | 681 | ||||||
Global Power Equipment Group* | 10,500 | 209 | ||||||
Gorman-Rupp | 300 | 9 | ||||||
Graco | 7,800 | 281 | ||||||
GrafTech International* | 28,100 | 551 | ||||||
Granite Construction | 68,200 | 1,730 | ||||||
Great Lakes Dredge & Dock | 202,900 | 1,558 | ||||||
Griffon* | 51,700 | 627 | ||||||
H&E Equipment Services* | 94,200 | 937 | ||||||
Hawaiian Holdings* | 146,400 | 1,156 | ||||||
Heidrick & Struggles International | 3,500 | 73 | ||||||
Hexcel* | 143,575 | 2,462 | ||||||
Higher One Holdings* | 74,453 | 1,508 | ||||||
Hill International* | 5,500 | 28 | ||||||
HNI | 23,300 | 621 | ||||||
Horizon Lines, Cl A | 268,078 | 978 | ||||||
ICF International* | 11,476 | 275 | ||||||
IDEX | 45,107 | 1,690 | ||||||
IHS, Cl A* | 21,885 | 1,583 | ||||||
Innerworkings* (A) | 411,541 | 2,539 | ||||||
Insteel Industries | 1,600 | 17 | ||||||
Interface, Cl A | 214,156 | 3,092 | ||||||
Interline Brands* | 10,200 | 210 | ||||||
JetBlue Airways* | 21,600 | 147 | ||||||
Kadant* | 28,874 | 554 | ||||||
Kaman | 16,967 | 478 | ||||||
Kaydon | 68,099 | 2,382 | ||||||
Kelly Services, Cl A* | 29,600 | 529 | ||||||
Keyw Holding* | 96,680 | 1,208 | ||||||
Kirby* | 46,400 | 2,073 |
Description | Shares | Market Value ($ Thousands) | ||||||
Knight Transportation | 113,225 | $ | 2,183 | |||||
Kratos Defense & Security Solutions* | 92,700 | 980 | ||||||
Ladish* | 17,500 | 821 | ||||||
Landstar System | 59,890 | 2,153 | ||||||
LB Foster, Cl A* | 8,800 | 305 | ||||||
LECG* | 200,141 | 189 | ||||||
Lincoln Electric Holdings | 4,700 | 290 | ||||||
LS Starrett, Cl A | 1,700 | 20 | ||||||
Lydall* | 15,460 | 112 | ||||||
M&F Worldwide* | 8,700 | 205 | ||||||
Manitowoc | 80,900 | 888 | ||||||
Marten Transport | 16,800 | 361 | ||||||
Mcgrath Rentcorp | 5,776 | 161 | ||||||
Michael Baker* | 41,100 | 1,319 | ||||||
Miller Industries | 200 | 3 | ||||||
Mine Safety Appliances | 35,128 | 1,012 | ||||||
Mobile Mini* | 126,883 | 2,293 | ||||||
Mueller Industries | 78,200 | 2,384 | ||||||
Mueller Water Products, Cl A | 55,000 | 194 | ||||||
NACCO Industries, Cl A | 15,100 | 1,398 | ||||||
National Presto Industries | 800 | 93 | ||||||
Navistar International* | 14,100 | 722 | ||||||
Nordson | 21,300 | 1,692 | ||||||
Old Dominion Freight Line* | 52,050 | 1,503 | ||||||
Orbital Sciences* | 7,700 | 125 | ||||||
Orion Marine Group* | 39,800 | 535 | ||||||
Pacer International* | 76,900 | 430 | ||||||
PMFG* | 400 | 6 | ||||||
Polypore International* | 14,000 | 445 | ||||||
Powell Industries* | 10,800 | 380 | ||||||
Quanex Building Products | 110,975 | 1,835 | ||||||
RailAmerica* | 14,500 | 180 | ||||||
Raven Industries | 17,100 | 759 | ||||||
RBC Bearings* | 33,934 | 1,252 | ||||||
Regal-Beloit | 6,400 | 390 | ||||||
Republic Airways Holdings* | 79,700 | 618 | ||||||
Resources Connection | 231,777 | 3,878 | ||||||
Ritchie Bros Auctioneers | 101,690 | 2,036 | ||||||
Robbins & Myers | 4,100 | 127 | ||||||
RSC Holdings* | 130,800 | 1,019 | ||||||
Rush Enterprises, Cl A* | 104,523 | 1,837 | ||||||
Ryder System | 54,300 | 2,341 | ||||||
Sauer-Danfoss* | 300 | 9 | ||||||
School Specialty* | 109,203 | 1,379 | ||||||
SeaCube Container Leasing | 85,700 | 1,019 | ||||||
Simpson Manufacturing | 19,000 | 492 | ||||||
Skywest | 82,464 | 1,335 | ||||||
Spirit Aerosystems Holdings, Cl A* | 61,900 | 1,205 | ||||||
Standard Parking* | 141,654 | 2,516 | ||||||
Standard Register | 15,594 | 46 | ||||||
Standex International | 18,500 | 553 | ||||||
Sun Hydraulics | 1,000 | 31 | ||||||
SYKES Enterprises* | 89,000 | 1,638 | ||||||
TAL International Group | 64,781 | 1,835 | ||||||
Teledyne Technologies* | 62,920 | 2,531 | ||||||
Tennant | 34,263 | 1,170 | ||||||
Terex* | 33,380 | 810 | ||||||
Tetra Tech* | 31,960 | 739 | ||||||
Textainer Group Holdings | 34,900 | 971 | ||||||
Titan Machinery* | 55,476 | 1,163 | ||||||
Towers Watson, Cl A | 52,264 | 2,624 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
TransDigm Group* | 26,820 | $ | 1,837 | |||||
Tredegar | 52,205 | 973 | ||||||
Trimas* | 2,600 | 52 | ||||||
Trinity Industries | 23,400 | 536 | ||||||
Triumph Group | 6,832 | 575 | ||||||
TrueBlue* | 82,800 | 1,365 | ||||||
Tutor Perini | 119,806 | 2,282 | ||||||
Unifirst | 10,800 | 554 | ||||||
United Continental Holdings* | 34,811 | 964 | ||||||
United Rentals* | 79,225 | 1,554 | ||||||
Universal Forest Products | 3,400 | 111 | ||||||
US Airways Group* | 111,100 | 1,240 | ||||||
US Ecology | 7,277 | 114 | ||||||
Vitran, Cl A* | 107,252 | 1,244 | ||||||
Wabash National* | 302,300 | 3,189 | ||||||
Wabtec | 51,825 | 2,396 | ||||||
Watsco | 31,400 | 1,893 | ||||||
Watts Water Technologies, Cl A | 34,058 | 1,109 | ||||||
Werner Enterprises | 13,700 | 296 | ||||||
WESCO International* | 127,164 | 6,068 | ||||||
Woodward Governor | 59,100 | 1,995 | ||||||
YRC Worldwide* | 1,252 | 4 | ||||||
219,519 | ||||||||
Information Technology — 16.0% | ||||||||
ACI Worldwide* | 5,000 | 127 | ||||||
Acme Packet* | 65,152 | 3,191 | ||||||
Acxiom* | 31,200 | 531 | ||||||
ADC Telecommunications* | 20,000 | 254 | ||||||
Advent Software* | 28,748 | 1,483 | ||||||
Aeroflex Holding* | 84,800 | 1,222 | ||||||
Amkor Technology* | 189,700 | 1,320 | ||||||
Ancestry.com* | 56,350 | 1,610 | ||||||
Anixter International | 37,517 | 2,096 | ||||||
AOL* | 91,719 | 2,218 | ||||||
Applied Micro Circuits* | 16,100 | 149 | ||||||
Archipelago Learning* | 74,469 | 643 | ||||||
Arris Group* | 247,400 | 2,477 | ||||||
Arrow Electronics* | 52,400 | 1,625 | ||||||
Aruba Networks* | 19,600 | 416 | ||||||
AsiaInfo Holdings* | 71,510 | 1,191 | ||||||
Atheros Communications* | 145,748 | 4,746 | ||||||
Atmel* | 345,700 | 3,592 | ||||||
AVX | 31,200 | 446 | ||||||
Benchmark Electronics* | 149,497 | 2,402 | ||||||
Black Box | 20,300 | 727 | ||||||
Blackbaud | 17,600 | 445 | ||||||
Blackboard* | 69,526 | 2,889 | ||||||
Blue Coat Systems* | 14,300 | 380 | ||||||
Brightpoint* | 122,700 | 1,006 | ||||||
Brocade Communications Systems* | 288,592 | 1,437 | ||||||
Cabot Microelectronics* | 27,000 | 1,066 | ||||||
CACI International, Cl A* | 45,013 | 2,266 | ||||||
Cardtronics* | 84,898 | 1,435 | ||||||
CDC Software ADR* | 198,600 | 1,392 | ||||||
Ceva* | 189,300 | 4,392 | ||||||
Checkpoint Systems* | 28,786 | 516 | ||||||
Ciber* | 382,148 | 1,284 | ||||||
Ciena* | 99,025 | 1,500 | ||||||
Cirrus Logic* (A) | 18,100 | 276 | ||||||
Cognex | 48,392 | 1,353 | ||||||
Coherent* | 32,002 | 1,322 |
Description | Shares | Market Value ($ Thousands) | ||||||
CommVault Systems* | 45,318 | $ | 1,320 | |||||
Compuware* | 63,400 | 653 | ||||||
Comtech Telecommunications | 20,772 | 616 | ||||||
Comverse Technology* | 20,200 | 155 | ||||||
Constant Contact* | 110,941 | 2,839 | ||||||
Convergys* | 83,600 | 1,078 | ||||||
CoreLogic | 9,900 | 180 | ||||||
CSG Systems International* | 161,093 | 3,032 | ||||||
CTS | 112,257 | 1,155 | ||||||
Cymer* | 27,500 | 1,047 | ||||||
Cypress Semiconductor* | 44,200 | 693 | ||||||
Daktronics | 28,300 | 381 | ||||||
Dice Holdings* | 800 | 9 | ||||||
Diebold | 74,671 | 2,346 | ||||||
Digi International* | 153,440 | 1,473 | ||||||
Digital River* | 82,044 | 3,021 | ||||||
DST Systems | 1,200 | 51 | ||||||
DTS* | 63,395 | 2,976 | ||||||
Earthlink | 338,500 | 3,035 | ||||||
EchoStar, Cl A* | 1,800 | 36 | ||||||
Electro Rent | 13,471 | 200 | ||||||
Electronics for Imaging* | 41,379 | 542 | ||||||
Emulex* | 152,293 | 1,724 | ||||||
Entegris* | 46,000 | 299 | ||||||
Epicor Software* | 3,600 | 34 | ||||||
EPIQ Systems | 7,200 | 92 | ||||||
Euronet Worldwide* | 122,460 | 2,004 | ||||||
Fair Isaac | 56,998 | 1,331 | ||||||
Fairchild Semiconductor International, Cl A* | 32,700 | 459 | ||||||
Finisar* | 11,600 | 222 | ||||||
Forrester Research* | 14,300 | 496 | ||||||
Gartner* | 70,620 | 2,272 | ||||||
Global Cash Access Holdings* | 166,360 | 379 | ||||||
GSI Commerce* | 17,400 | 415 | ||||||
Hackett Group* | 330,790 | 1,164 | ||||||
Heartland Payment Systems | 111,652 | 1,763 | ||||||
Hittite Microwave* | 13,500 | 773 | ||||||
iGate | 23,300 | 466 | ||||||
Imation* | 223,552 | 2,124 | ||||||
Insight Enterprises* | 79,500 | 1,003 | ||||||
Integrated Device Technology* | 200,949 | 1,292 | ||||||
InterDigital* | 33,000 | 1,091 | ||||||
Intermec* | 136,635 | 1,545 | ||||||
Intersil, Cl A | 52,800 | 673 | ||||||
Isilon Systems* | 15,400 | 520 | ||||||
IXYS* | 25,200 | 282 | ||||||
Jack Henry & Associates | 37,700 | 1,031 | ||||||
JDA Software Group* | 40,500 | 1,069 | ||||||
KIT Digital* | 106,905 | 1,472 | ||||||
Knot* | 121,700 | 1,138 | ||||||
Kulicke & Soffa Industries* | 25,200 | 167 | ||||||
Lattice Semiconductor* | 272,600 | 1,213 | ||||||
Lawson Software* | 294,069 | 2,526 | ||||||
LeCroy* | 71,700 | 666 | ||||||
Lexmark International, Cl A* | 24,000 | 870 | ||||||
Littelfuse | 15,350 | 710 | ||||||
LivePerson* | 20,300 | 196 | ||||||
LogMeIn* | 1,500 | 66 | ||||||
LTX-Credence* | 72,733 | 573 | ||||||
Manhattan Associates* | 94,700 | 2,944 | ||||||
Mantech International, Cl A* | 58,867 | 2,350 | ||||||
MAXIMUS | 25,899 | 1,572 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Meru Networks* | 11,235 | $ | 156 | |||||
Methode Electronics | 162,392 | 1,658 | ||||||
Micrel | 42,200 | 522 | ||||||
Microsemi* | 16,757 | 371 | ||||||
MicroStrategy, Cl A* | 32,524 | 2,815 | ||||||
Mitel Networks* | 143,300 | 937 | ||||||
MKS Instruments* | 22,700 | 462 | ||||||
ModusLink Global Solutions* | 34,217 | 229 | ||||||
MoneyGram International* | 18,100 | 44 | ||||||
Monotype Imaging Holdings* | 1,900 | 21 | ||||||
Monster Worldwide* | 59,900 | 1,352 | ||||||
Move* | 97,103 | 246 | ||||||
MTS Systems | 19,599 | 751 | ||||||
Multi-Fineline Electronix* | 26,750 | 623 | ||||||
National Instruments | 24,900 | 850 | ||||||
NCR* | 32,600 | 469 | ||||||
Netgear* | 44,800 | 1,424 | ||||||
Netlogic Microsystems* | 129,848 | 4,051 | ||||||
NetSuite* | 60,131 | 1,492 | ||||||
Novatel Wireless* | 54,700 | 537 | ||||||
Novell* | 98,500 | 587 | ||||||
Omnivision Technologies* | 30,200 | 854 | ||||||
OpenTable* | 26,700 | 1,937 | ||||||
Orbotech* | 78,180 | 862 | ||||||
OSI Systems* | 21,000 | 732 | ||||||
Parametric Technology* | 58,546 | 1,254 | ||||||
Park Electrochemical | 60,900 | 1,669 | ||||||
Parkervision* | 380,971 | 162 | ||||||
Pegasystems | 63,100 | 1,953 | ||||||
Plantronics | 68,100 | 2,436 | ||||||
PMC - Sierra* | 148,100 | 1,074 | ||||||
Power Integrations | 28,325 | 1,141 | ||||||
Power-One* | 82,700 | 782 | ||||||
Progress Software* | 60,100 | 2,318 | ||||||
PROS Holdings* | 138,829 | 1,326 | ||||||
Pulse Electronics | 53,500 | 219 | ||||||
QLogic* | 9,500 | 170 | ||||||
Quantum* | 457,624 | 1,661 | ||||||
Quest Software* | 148,228 | 3,750 | ||||||
Rackspace Hosting* | 32,200 | 939 | ||||||
Radisys* | 64,800 | 585 | ||||||
Rambus* | 18,500 | 370 | ||||||
RDA Microelectronics ADR* | 60,710 | 973 | ||||||
RealNetworks* | 60,300 | 206 | ||||||
Renaissance Learning | 900 | 11 | ||||||
RF Micro Devices* | 103,000 | 722 | ||||||
RightNow Technologies* | 26,241 | 665 | ||||||
Riverbed Technology* | 54,600 | 1,852 | ||||||
Rogers* | 12,236 | 404 | ||||||
Rosetta Stone* | 78,296 | 1,643 | ||||||
Rubicon Technology* | 80,375 | 1,763 | ||||||
Rudolph Technologies* | 97,410 | 727 | ||||||
Sanmina-SCI* | 66,778 | 698 | ||||||
Scansource* | 17,300 | 505 | ||||||
Seachange International* | 117,500 | 945 | ||||||
Silicon Image* | 30,100 | 231 | ||||||
SMART Modular Technologies WWH* | 49,000 | 274 | ||||||
Sonic Solutions* | 181,550 | 1,812 | ||||||
SRA International, Cl A* | 90,827 | 1,782 | ||||||
SS&C Technologies Holdings* | 125,602 | 2,438 | ||||||
Stamps.com | 11,225 | 148 | ||||||
Standard Microsystems* | 27,371 | 746 |
Description | Shares | Market Value ($ Thousands) | ||||||
STEC* | 38,200 | $ | 649 | |||||
Sycamore Networks | 10,500 | 315 | ||||||
Synaptics* | 12,200 | 348 | ||||||
SYNNEX* | 36,800 | 1,055 | ||||||
Synopsys* | 34,092 | 876 | ||||||
Syntel | 46,154 | 2,203 | ||||||
Tech Data* | 38,800 | 1,710 | ||||||
Tekelec* | 9,614 | 119 | ||||||
TeleNav* | 105,900 | 691 | ||||||
TeleTech Holdings* | 48,900 | 927 | ||||||
Teradyne* | 309,126 | 3,666 | ||||||
Terremark Worldwide* | 226,746 | 2,713 | ||||||
Tessera Technologies* | 1,800 | 36 | ||||||
TIBCO Software* | 52,900 | 1,039 | ||||||
TiVo* | 17,200 | 141 | ||||||
TNS* | 36,531 | 702 | ||||||
Trimble Navigation* | 47,645 | 1,774 | ||||||
TriQuint Semiconductor* | 44,800 | 534 | ||||||
TTM Technologies* | 3,900 | 52 | ||||||
Ultra Clean Holdings* | 54,346 | 426 | ||||||
Ultratech* | 68,000 | 1,249 | ||||||
Unisys* | 58,380 | 1,320 | ||||||
United Online | 270,600 | 1,722 | ||||||
Universal Display* | 7,200 | 178 | ||||||
Valueclick* | 78,700 | 1,223 | ||||||
Varian Semiconductor Equipment Associates* | 36,400 | 1,148 | ||||||
Vasco Data Security International* | 3,900 | 34 | ||||||
Veeco Instruments* | 12,500 | 550 | ||||||
VeriFone Holdings* | 48,500 | 1,685 | ||||||
Vishay Intertechnology* | 80,600 | 1,149 | ||||||
VistaPrint* | 154,506 | 6,230 | ||||||
Vocus* | 110,249 | 2,699 | ||||||
Web.com Group* | 51,800 | 419 | ||||||
Websense* | 63,200 | 1,310 | ||||||
Xyratex* | 64,427 | 984 | ||||||
Zebra Technologies, Cl A* | 25,165 | 917 | ||||||
Zoran* | 194,043 | 1,335 | ||||||
231,713 | ||||||||
Materials — 4.3% | ||||||||
A. Schulman | 39,382 | 798 | ||||||
AK Steel Holding | 36,275 | 482 | ||||||
Allied Nevada Gold* | 51,100 | 1,366 | ||||||
AM Castle* | 6,769 | 103 | ||||||
American Vanguard | 2,700 | 18 | ||||||
Aptargroup | 28,289 | 1,292 | ||||||
Arch Chemicals | 40,118 | 1,393 | ||||||
Boise | 65,900 | 485 | ||||||
Buckeye Technologies | 88,100 | 1,755 | ||||||
Carpenter Technology | 23,000 | 839 | ||||||
Clearwater Paper* | 13,400 | 1,079 | ||||||
Coeur d’Alene Mines* | 17,600 | 429 | ||||||
Cytec Industries | 21,334 | 1,020 | ||||||
Domtar | 10,000 | 759 | ||||||
Eagle Materials | 12,600 | 313 | ||||||
Ferro* | 83,306 | 1,189 | ||||||
Glatfelter | 27,700 | 345 | ||||||
Globe Specialty Metals | 180,100 | 2,920 | ||||||
Graham Packaging* | 22,000 | 277 | ||||||
H.B. Fuller | 129,558 | 2,717 | ||||||
Haynes International | 66,700 | 2,579 |
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Headwaters* | 61,175 | $ | 238 | |||||
Hecla Mining* (A) | 43,500 | 417 | ||||||
Horsehead Holding* | 192,598 | 2,240 | ||||||
Huntsman | 43,991 | 681 | ||||||
Innophos Holdings | 43,960 | 1,497 | ||||||
Jaguar Mining* | 130,700 | 865 | ||||||
Kaiser Aluminum | 14,400 | 675 | ||||||
KapStone Paper and Packaging* | 29,200 | 430 | ||||||
KMG Chemicals | 1,600 | 23 | ||||||
Koppers Holdings | 54,122 | 1,548 | ||||||
Minerals Technologies | 20,900 | 1,272 | ||||||
Molycorp* | 28,600 | 830 | ||||||
Myers Industries | 72,793 | 699 | ||||||
Nalco Holding | 59,255 | 1,743 | ||||||
Neenah Paper | 12,300 | 226 | ||||||
New Gold* | 111,300 | 1,044 | ||||||
NewMarket | 36,875 | 4,639 | ||||||
Olin | 59,154 | 1,081 | ||||||
Olympic Steel | 19,300 | 406 | ||||||
OM Group* | 43,082 | 1,620 | ||||||
Omnova Solutions* | 19,700 | 173 | ||||||
Packaging of America | 23,287 | 597 | ||||||
PolyOne* | 133,948 | 1,669 | ||||||
Quaker Chemical | 28,200 | 1,071 | ||||||
Rock-Tenn, Cl A | 21,100 | 1,141 | ||||||
Rockwood Holdings* | 21,200 | 809 | ||||||
RTI International Metals* | 44,523 | 1,263 | ||||||
Sandstorm Resources* | 757,500 | 502 | ||||||
Schweitzer-Mauduit International | 8,634 | 542 | ||||||
Sensient Technologies | 66,600 | 2,262 | ||||||
Solutia* | 22,800 | 487 | ||||||
Spartech* | 44,890 | 427 | ||||||
Stepan | 9,300 | 656 | ||||||
Temple-Inland | 12,900 | 271 | ||||||
Universal Stainless & Alloy* | 34,800 | 1,088 | ||||||
US Gold* | 70,900 | 465 | ||||||
Wausau Paper | 17,900 | 138 | ||||||
Westlake Chemical | 1,200 | 45 | ||||||
Worthington Industries | 39,600 | 634 | ||||||
WR Grace* | 115,771 | 3,875 | ||||||
Zep | 2,100 | 38 | ||||||
62,485 | ||||||||
Telecommunication Services — 0.7% | ||||||||
Alaska Communications Systems Group | 110,664 | 1,166 | ||||||
Atlantic Telegraph-Network | 12,100 | 415 | ||||||
Cincinnati Bell* | 306,300 | 747 | ||||||
Consolidated Communications Holdings | 32,786 | 604 | ||||||
Frontier Communications | 111,600 | 1,015 | ||||||
Global Crossing* | 34,400 | 460 | ||||||
IDT, Cl B | 18,900 | 393 | ||||||
Leap Wireless International* | 84,300 | 918 | ||||||
Neutral Tandem* | 105,900 | 1,522 | ||||||
Premiere Global Services* | 59,300 | 419 | ||||||
SBA Communications, Cl A* | 37,015 | 1,449 | ||||||
USA Mobility | 92,300 | 1,571 | ||||||
10,679 | ||||||||
Utilities — 2.3% | ||||||||
AGL Resources | 29,797 | 1,094 | ||||||
Allete | 59,692 | 2,109 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avista | 44,100 | $ | 942 | |||||
California Water Service Group | 14,000 | 521 | ||||||
Central Vermont Public Service | 17,800 | 360 | ||||||
CH Energy Group | 2,100 | 98 | ||||||
Cia de Saneamento de Minas Gerais-COPASA (Brazil) | 13,300 | 212 | ||||||
Cleco | 57,898 | 1,756 | ||||||
El Paso Electric* | 87,600 | 2,307 | ||||||
Empire District Electric (A) | 57,392 | 1,237 | ||||||
Great Plains Energy | 84,015 | 1,567 | ||||||
IDACORP | 34,056 | 1,237 | ||||||
Laclede Group | 6,900 | 244 | ||||||
Mirant* | 32,000 | 317 | ||||||
Nicor | 42,600 | 1,842 | ||||||
NorthWestern | 135,184 | 3,895 | ||||||
Portland General Electric | 274,374 | 5,808 | ||||||
South Jersey Industries | 7,374 | 378 | ||||||
UGI | 32,900 | 976 | ||||||
UIL Holdings | 28,500 | 837 | ||||||
Unisource Energy | 97,758 | 3,438 | ||||||
Vectren | 37,900 | 982 | ||||||
Westar Energy | 63,226 | 1,575 | ||||||
33,732 | ||||||||
Total Common Stock | 1,234,311 | |||||||
CASH EQUIVALENT — 14.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 205,242 | 205,242 | ||||||
Total Cash Equivalent | 205,242 | |||||||
U.S. TREASURY OBLIGATIONS (F)(G)— 0.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.137%, 12/16/10 | $ | 12,848 | 12,847 | |||||
0.181%, 06/30/11 | 369 | 369 | ||||||
Total U.S. Treasury Obligations (Cost $13,216) ($ Thousands) | 13,216 | |||||||
AFFILIATED PARTNERSHIP — 0.3% | ||||||||
SEI Liquidity Fund, L.P. | ||||||||
0.210% (C)**† | 4,175 | 3,735 | ||||||
Total Affiliated Partnership | 3,735 | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Callaway Golf (D) | 4,000 | 503 | ||||||
Energy — 0.0% | ||||||||
GeoMet* | 21,728 | 223 | ||||||
Financials — 0.1% | ||||||||
Grubb & Ellis* | 10,000 | 869 | ||||||
Total Preferred Stock | 1,595 | |||||||
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CONVERTIBLE BONDS — 0.0% | ||||||||
Consumer Discretionary — 0.0% | ||||||||
Eddie Bauer Holdings | ||||||||
5.250%, 04/01/14 (B)(H)(J) | $ | 3,147 | $ | 252 | ||||
Energy — 0.0% | ||||||||
Rentech | ||||||||
4.000%, 04/15/13 | 579 | 518 | ||||||
Total Convertible Bonds | 770 | |||||||
WARRANTS — 0.0% | ||||||||
Number Of Contracts | ||||||||
Oilsands Quest, Expires 05/12/11* | 247,050 | 8 | ||||||
Rentech, Expires 04/25/12 (H)(I)(J)* | 16,100 | — | ||||||
Sandstorm Resources, Expires 04/23/14* | 257,125 | 85 | ||||||
Titanium Asset Management, | 122,200 | — | ||||||
Washington Mutual (E) | 17,435 | 8 | ||||||
Total Warrants | 101 | |||||||
EXCHANGE TRADED FUNDS — 0.0% | ||||||||
iShares Russell 2000 Index Fund | 5,174 | 376 | ||||||
Total Exchange Traded Funds | 376 | |||||||
Number Of Rights | ||||||||
RIGHT — 0.0% | ||||||||
United States — 0.0% | ||||||||
Ligand Pharma, Expires 01/05/12 | 64,529 | — | ||||||
Total Right | — | |||||||
Total Investments — 100.6% | $ | 1,459,346 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
|
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||
Russell 2000 Index E-MINI | 2,682 | Dec-2010 | $ | 3,594 | ||||||
For the period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
|
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
12/2/10-12/14/10 | CAD | 1,503 | USD | 1,481 | $ | 18 | ||||||||||||||
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
|
Counterparty | Currency to ($ Thousands) | Currency to ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Barclays Capital | $ | 115 | $ | 116 | $ | 1 | ||||||
Credit Suisse First Boston | 110 | 111 | 1 | |||||||||
State Street | 307 | 308 | 1 | |||||||||
UBS | 931 | 946 | 15 | |||||||||
$ | 18 | |||||||||||
Percentages are based on a Net Assets of $1,449,947 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $3,735 ($ Thousands). |
(B) | Security in default on interest payments. |
(C) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $3,735 ($ Thousands). |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(E) | This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. |
(F) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(G) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(H) | Securities considered illiquid. The total value of such securities as of November 30, 2010 was $733 ($ Thousands) and represented 0.05% of Net Assets. |
(I) | Securities considered restricted. The total value of such securities as of November 30, 2010 was $733 ($ Thousands) and represented 0.05% of net assets. |
(J) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of November 30, 2010 was $472 ($ Thousands) and represented 0.03% of net assets. |
ADR — American Depositary Receipt
CAD — Canadian Dollar
Cl — Class
CV — Convertible Security
L.P.— Limited Partnership
Ser — Series
USD — United States Dollar
11 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2010
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,233,830 | $ | 130 | $ | 351 | $ | 1,234,311 | ||||||||
Cash Equivalent | 205,242 | — | — | 205,242 | ||||||||||||
U.S. Treasury Obligations | — | 13,216 | — | 13,216 | ||||||||||||
Affiliated Partnership | — | 3,735 | — | 3,735 | ||||||||||||
Preferred Stock | — | 1,595 | — | 1,595 | ||||||||||||
Convertible Bonds | — | 518 | 252 | 770 | ||||||||||||
Warrants | 8 | 93 | — | 101 | ||||||||||||
Exchange Traded Funds | 376 | — | — | 376 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Total Investments in Securities | $ | 1,439,456 | $ | 19,287 | $ | 603 | $ | 1,459,346 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 3,594 | $ | — | $ | — | $ | 3,594 | ||||||||
Total Other Financial Instruments | $ | 3,594 | $ | — | $ | — | $ | 3,594 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2010 | $ | 358 | $ | 1,031 | ||||
Accrued discounts/premiums | — | (32 | ) | |||||
Realized gain/(loss) | — | (201 | ) | |||||
Change in unrealized appreciation/(depreciation) | (7 | ) | 16 | |||||
Net purchases/sales | — | (562 | ) | |||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 351 | $ | 252 | ||||
Changes in unrealized gains/(losses included in earnings related to securities still held at reporting date | $ | (7 | ) | $ | — | |||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
Amounts designated as “—” are either $0 or have been rounded to $0.
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.6% | ||||||||
Consumer Discretionary — 15.3% | ||||||||
Abercrombie & Fitch, Cl A | 24,476 | $ | 1,230 | |||||
Aeropostale* | 66,525 | 1,798 | ||||||
AFC Enterprises* | 56,295 | 748 | ||||||
American Eagle Outfitters | 389,028 | 6,419 | ||||||
American Greetings, Cl A (A) | 33,400 | 670 | ||||||
AnnTaylor Stores* (A) | 57,183 | 1,539 | ||||||
Apollo Group, Cl A* | 26,909 | 915 | ||||||
Arctic Cat* (A) | 68,000 | 1,014 | ||||||
Autoliv (A) | 43,110 | 3,165 | ||||||
Belo, Cl A* | 147,440 | 855 | ||||||
Big 5 Sporting Goods (A) | 11,600 | 160 | ||||||
Big Lots* (A) | 121,350 | 3,719 | ||||||
Blue Nile* (A) | 6,000 | 297 | ||||||
Bob Evans Farms | 41,100 | 1,280 | ||||||
Bon-Ton Stores | 400 | 5 | ||||||
BorgWarner* (A) | 29,981 | 1,809 | ||||||
Bridgepoint Education* (A) | 270,950 | 4,146 | ||||||
Brinker International | 56,300 | 1,151 | ||||||
Brunswick (A) | 142,440 | 2,272 | ||||||
Buckle (A) | 3,800 | 145 | ||||||
Cabela’s* (A) | 29,900 | 665 | ||||||
Cablevision Systems, Cl A | 153,500 | 4,861 | ||||||
Callaway Golf (A) | 292,315 | 2,239 | ||||||
Capella Education* (A) | 922 | 51 | ||||||
Career Education* (A) | 70,226 | 1,249 | ||||||
Carter’s* | 30,600 | 969 | ||||||
Cato, Cl A | 120,282 | 3,434 | ||||||
CBS, Cl B | 62,000 | 1,044 | ||||||
CEC Entertainment* (A) | 52,254 | 1,960 | ||||||
Cheesecake Factory* (A) | 78,280 | 2,495 | ||||||
Childrens Place Retail Stores* (A) | 28,120 | 1,460 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 5,200 | 1,344 | ||||||
Christopher & Banks | 59,697 | 318 | ||||||
Cinemark Holdings | 108,900 | 1,911 | ||||||
Coinstar* (A) | 49,723 | 3,204 | ||||||
Columbia Sportswear (A) | 37,770 | 2,101 | ||||||
Cooper Tire & Rubber (A) | 239,110 | 4,995 | ||||||
Cracker Barrel Old Country Store (A) | 52,008 | 2,739 | ||||||
CROCS* (A) | 240,350 | 4,217 | ||||||
Darden Restaurants | 48,954 | 2,396 | ||||||
Dick’s Sporting Goods* (A) | 180,091 | 6,161 | ||||||
Dillard’s, Cl A (A) | 131,100 | 4,088 | ||||||
Dollar Tree* | 66,550 | 3,657 | ||||||
Domino’s Pizza* | 114,551 | 1,692 | ||||||
Domino’s Pizza UK & IRL | 296,359 | 2,428 | ||||||
DR Horton | 142,390 | 1,430 | ||||||
DSW, Cl A* (A) | 82,050 | 3,208 | ||||||
Eastman Kodak* (A) | 177,700 | 837 | ||||||
Ethan Allen Interiors (A) | 65,005 | 1,072 | ||||||
Expedia (A) | 87,214 | 2,296 | ||||||
Express* (A) | 69,421 | 1,047 | ||||||
Foot Locker | 110,800 | 2,091 | ||||||
Fortune Brands (A) | 42,708 | 2,524 | ||||||
Fossil* (A) | 30,800 | 2,084 | ||||||
GameStop, Cl A* (A) | 66,219 | 1,319 | ||||||
Gannett (A) | 185,362 | 2,430 | ||||||
Garmin (A) | 11,100 | 321 | ||||||
Gaylord Entertainment* (A) | 173,590 | 5,959 | ||||||
Genesco* | 33,900 | 1,304 | ||||||
Gentex | 116,733 | 2,451 | ||||||
Grand Canyon Education* (A) | 88,352 | 1,682 |
Description | Shares | Market Value ($ Thousands) | ||||||
Guess? | 113,109 | $ | 5,344 | |||||
Hanesbrands* (A) | 185,611 | 5,039 | ||||||
Harley-Davidson (A) | 96,028 | 3,004 | ||||||
Harman International Industries* | 41,811 | 1,823 | ||||||
hhgregg* (A) | 80,037 | 2,007 | ||||||
Hibbett Sports* | 16,883 | 578 | ||||||
Hillenbrand | 35,600 | 688 | ||||||
Home Inns & Hotels Management ADR* | 28,860 | 1,374 | ||||||
HOT Topic (A) | 157,700 | 967 | ||||||
Hyatt Hotels, Cl A* | 67,693 | 2,834 | ||||||
Intercontinental Hotels Group ADR | 202,600 | 3,624 | ||||||
International Game Technology | 118,723 | 1,838 | ||||||
International Speedway, Cl A | 33,006 | 782 | ||||||
Interpublic Group* (A) | 550,750 | 5,866 | ||||||
J Crew Group* (A) | 93,128 | 4,072 | ||||||
Jarden | 185,150 | 5,684 | ||||||
John Wiley & Sons, Cl A | 6,900 | 286 | ||||||
Jones Group | 176,412 | 2,389 | ||||||
Las Vegas Sands* (A) | 49,400 | 2,474 | ||||||
Leggett & Platt | 105,423 | 2,182 | ||||||
Life Time Fitness* (A) | 2,817 | 111 | ||||||
Limited Brands | 2,500 | 84 | ||||||
Lin TV, Cl A* | 6,200 | 28 | ||||||
Lincoln Educational Services (A) | 50,400 | 739 | ||||||
Live Nation* | 413,142 | 4,445 | ||||||
LKQ* | 179,327 | 3,869 | ||||||
Lululemon Athletica* (A) | 39,250 | 2,105 | ||||||
Lumber Liquidators Holdings* (A) | 42,800 | 1,008 | ||||||
Marriott International, Cl A (A) | 36,200 | 1,419 | ||||||
Men’s Wearhouse (A) | 42,106 | 1,201 | ||||||
Meredith (A) | 23,100 | 777 | ||||||
Meritage Homes* | 56,555 | 1,073 | ||||||
National American University Holdings (A) | 30,673 | 210 | ||||||
National CineMedia | 323,487 | 6,036 | ||||||
NetFlix* (A) | 22,150 | 4,561 | ||||||
Nordstrom (A) | 42,765 | 1,830 | ||||||
NutriSystem (A) | 19,400 | 401 | ||||||
NVR* (A) | 1,470 | 911 | ||||||
OfficeMax* | 119,139 | 2,036 | ||||||
Panera Bread, Cl A* (A) | 41,750 | 4,185 | ||||||
Penn National Gaming* | 239,393 | 8,405 | ||||||
Penske Auto Group* (A) | 405 | 6 | ||||||
PetMed Express (A) | 48,000 | 851 | ||||||
PetSmart (A) | 67,570 | 2,558 | ||||||
Phillips-Van Heusen | 82,280 | 5,582 | ||||||
Polaris Industries (A) | 51,126 | 3,716 | ||||||
Pre-Paid Legal Services* (A) | 9,200 | 595 | ||||||
RadioShack | 65,700 | 1,212 | ||||||
RC2* | 78,410 | 1,737 | ||||||
Red Robin Gourmet Burgers* (A) | 31,500 | 584 | ||||||
Regal Entertainment Group, Cl A | 93,515 | 1,262 | ||||||
Regis (A) | 86,994 | 1,550 | ||||||
Rent-A-Center, Cl A | 30,500 | 849 | ||||||
Royal Caribbean Cruises* (A) | 11,100 | 447 | ||||||
Ruby Tuesday* (A) | 64,900 | 830 | ||||||
Ryland Group (A) | 94,107 | 1,372 | ||||||
Saks* (A) | 241,345 | 2,689 | ||||||
Scholastic (A) | 46,500 | 1,307 | ||||||
Scientific Games, Cl A* (A) | 610,251 | 4,912 | ||||||
Scripps Networks Interactive, Cl A | 20,580 | 1,049 | ||||||
Shutterfly* (A) | 31,941 | 1,054 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Sinclair Broadcast Group, Cl A (A) | 93,100 | $ | 722 | |||||
Sirius XM Radio* (A) | 279,000 | 382 | ||||||
Skechers U.S.A., Cl A* (A) | 42,400 | 979 | ||||||
Sotheby’s (A) | 20,500 | 822 | ||||||
Spectrum Group International* | 3,929 | 7 | ||||||
Stage Stores | 84,635 | 1,281 | ||||||
Starwood Hotels & Resorts Worldwide (A) | 22,700 | 1,290 | ||||||
Steiner Leisure* (A) | 48,510 | 1,951 | ||||||
Strayer Education (A) | 3,700 | 503 | ||||||
Talbots* (A) | 139,250 | 1,601 | ||||||
Tempur-Pedic International* | 137,689 | 4,834 | ||||||
Tenneco* (A) | 113,170 | 4,126 | ||||||
Tesla Motors* (A) | 21,900 | 773 | ||||||
Tractor Supply | 26,665 | 1,132 | ||||||
True Religion Apparel* (A) | 51,055 | 1,145 | ||||||
TRW Automotive Holdings* | 51,824 | 2,461 | ||||||
Tupperware Brands | 33,122 | 1,539 | ||||||
Urban Outfitters* (A) | 111,219 | 4,203 | ||||||
Warnaco Group* (A) | 11,380 | 613 | ||||||
Whirlpool | 17,200 | 1,256 | ||||||
Whistler Blackcomb Holdings* | 55,700 | 642 | ||||||
Williams-Sonoma (A) | 49,344 | 1,642 | ||||||
WMS Industries* | 84,638 | 3,754 | ||||||
Wyndham Worldwide | 101,400 | 2,915 | ||||||
Xueda Education Group ADR* | 49,300 | 609 | ||||||
Zumiez* (A) | 103,816 | 3,302 | ||||||
304,005 | ||||||||
Consumer Staples — 2.7% | ||||||||
Avon Products | 38,469 | 1,099 | ||||||
BJ’s Wholesale Club* | 17,190 | 787 | ||||||
Cal-Maine Foods (A) | 31,900 | 978 | ||||||
Casey’s General Stores (A) | 20,349 | 809 | ||||||
Central European Distribution* | 55,990 | 1,345 | ||||||
Central Garden and Pet, Cl A* | 66,227 | 618 | ||||||
Central Garden and Pet* | 73,524 | 681 | ||||||
China-Biotics* (A) | 54,900 | 634 | ||||||
Chiquita Brands International* (A) | 13,400 | 150 | ||||||
ConAgra Foods | 88,255 | 1,896 | ||||||
Constellation Brands, Cl A* | 98,796 | 2,036 | ||||||
Corn Products International | 36,345 | 1,567 | ||||||
Cosan Industria e Comercio (Brazil) | 45,300 | 691 | ||||||
Del Monte Foods | 407,295 | 7,629 | ||||||
Diamond Foods (A) | 76,850 | 3,577 | ||||||
Dole Food* (A) | 90,424 | 856 | ||||||
Fresh Del Monte Produce (A) | 48,300 | 1,061 | ||||||
Fresh Market* | 53,900 | 1,954 | ||||||
Green Mountain Coffee Roasters* (A) | 161,131 | 5,975 | ||||||
Hansen Natural* | 15,600 | 830 | ||||||
Herbalife | 9,200 | 631 | ||||||
Kroger | 84,676 | 1,994 | ||||||
Kulim Malaysia | 103,000 | 395 | ||||||
Lancaster Colony (A) | 21,420 | 1,115 | ||||||
Lorillard | 3,389 | 270 | ||||||
Mead Johnson Nutrition, Cl A | 27,600 | 1,644 | ||||||
Molson Coors Brewing, Cl B | 53,567 | 2,553 | ||||||
Nash Finch (A) | 8,952 | 331 | ||||||
Omega Protein* | 41,900 | 292 | ||||||
Pantry* | 69,326 | 1,424 | ||||||
Prestige Brands Holdings* | 118,868 | 1,399 | ||||||
Primo Water* | 21,878 | 264 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ruddick (A) | 24,700 | $ | 908 | |||||
Saskatchewan Wheat Pool, Cl Common Subscription Recei | 83,700 | 746 | ||||||
Supervalu (A) | 94,000 | 850 | ||||||
TreeHouse Foods* (A) | 60,001 | 2,981 | ||||||
Weis Markets | 17,700 | 682 | ||||||
53,652 | ||||||||
Energy — 5.8% | ||||||||
Alpha Natural Resources* | 41,300 | 2,047 | ||||||
Arch Coal | 22,800 | 666 | ||||||
Atlas Energy* | 9,752 | 419 | ||||||
Atwood Oceanics* (A) | 32,900 | 1,171 | ||||||
Berry Petroleum, Cl A (A) | 231,611 | 8,827 | ||||||
BPZ Resources* (A) | 177,700 | 700 | ||||||
Brigham Exploration* (A) | 120,009 | 3,018 | ||||||
CARBO Ceramics (A) | 7,100 | 690 | ||||||
Clean Energy Fuels* (A) | 41,800 | 559 | ||||||
Complete Production Services* | 104,260 | 2,966 | ||||||
Concho Resources* | 4,474 | 370 | ||||||
Core Laboratories | 9,300 | 796 | ||||||
Crosstex Energy | 8,800 | 81 | ||||||
CVR Energy* | 79,400 | 955 | ||||||
DHT Maritime | 5,900 | 26 | ||||||
Dresser-Rand Group* | 64,264 | 2,438 | ||||||
Dril-Quip* | 80,090 | 6,202 | ||||||
Energy XXI Bermuda* (A) | 33,389 | 823 | ||||||
EQT (A) | 50,299 | 2,036 | ||||||
Exterran Holdings* (A) | 79,000 | 1,791 | ||||||
Frontier Oil (A) | 101,403 | 1,575 | ||||||
Frontline | 84,988 | 2,205 | ||||||
GMX Resources* (A) | 171,400 | 759 | ||||||
Golar LNG | 3,900 | 54 | ||||||
Goodrich Petroleum* (A) | 134,227 | 1,765 | ||||||
Gulfport Energy* | 18,687 | 348 | ||||||
Helix Energy Solutions Group* (A) | 158,631 | 2,226 | ||||||
Hornbeck Offshore Services* (A) | 52,100 | 1,149 | ||||||
Houston American Energy (A) | 6,700 | 115 | ||||||
ION Geophysical* | 279,150 | 2,007 | ||||||
Karoon Gas Australia* | 82,109 | 580 | ||||||
Key Energy Services* (A) | 509,623 | 5,249 | ||||||
Kinder Morgan Escrow* | 58,118 | — | ||||||
Lufkin Industries (A) | 25,351 | 1,284 | ||||||
McMoRan Exploration* (A) | 31,500 | 470 | ||||||
Murphy Oil | 31,877 | 2,152 | ||||||
Nabors Industries* | 112,376 | 2,483 | ||||||
Newfield Exploration* | 32,444 | 2,168 | ||||||
Newpark Resources* (A) | 147,074 | 841 | ||||||
Nordic American Tanker Shipping (A) | 100,649 | 2,604 | ||||||
Oceaneering International* | 30,060 | 2,077 | ||||||
Oilsands Quest* (A) | 1,772,024 | 797 | ||||||
Overseas Shipholding Group (A) | 129,070 | 4,514 | ||||||
Patterson-UTI Energy | 31,400 | 620 | ||||||
PetroHawk Energy* | 73,219 | 1,306 | ||||||
Petroleum Development* | 45,772 | 1,630 | ||||||
Petroquest Energy* (A) | 32,300 | 224 | ||||||
Pioneer Natural Resources (A) | 26,710 | 2,140 | ||||||
Quicksilver Resources* | 15,900 | 226 | ||||||
Range Resources (A) | 57,864 | 2,430 | ||||||
Rosetta Resources* (A) | 11,100 | 398 | ||||||
SEACOR Holdings* | 7,500 | 817 | ||||||
Ship Finance International (A) | 54,544 | 1,184 | ||||||
Southwestern Energy* | 4,909 | 178 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Spectra Energy (A) | 103,920 | $ | 2,470 | |||||
Superior Energy Services* | 14,442 | 482 | ||||||
Swift Energy* (A) | 93,844 | 3,424 | ||||||
Teekay | 42,612 | 1,359 | ||||||
Teekay Tankers, Cl A (A) | 9,000 | 107 | ||||||
Tesoro (A) | 47,600 | 777 | ||||||
Tidewater (A) | 57,124 | 2,804 | ||||||
USEC* (A) | 61,099 | 364 | ||||||
Vantage Drilling* (A) | 430,900 | 758 | ||||||
Venoco* | 9,800 | 171 | ||||||
W&T Offshore (A) | 258,000 | 4,322 | ||||||
Western Refining* (A) | 88,000 | 858 | ||||||
Whiting Petroleum* | 78,659 | 8,657 | ||||||
World Fuel Services (A) | 129,875 | 3,909 | ||||||
115,618 | ||||||||
Financials — 17.6% | ||||||||
1st Source | 800 | 15 | ||||||
Advance America Cash Advance Centers | 104,300 | 496 | ||||||
Affiliated Managers Group* | 21,985 | 1,922 | ||||||
Allied World Assurance Holdings (A) | 39,215 | 2,304 | ||||||
AMB Property‡ (A) | 92,200 | 2,690 | ||||||
American Capital Agency‡ (A) | 52,467 | 1,538 | ||||||
American Equity Investment Life Holding | 70,000 | 768 | ||||||
American Financial Group | 164,635 | 5,066 | ||||||
American National Insurance | 700 | 56 | ||||||
Ameriprise Financial | 78,774 | 4,084 | ||||||
Annaly Capital Management‡ (A) | 65,700 | 1,195 | ||||||
Anworth Mortgage Asset‡ (A) | 138,400 | 960 | ||||||
Apartment Investment & Management, Cl A‡ (A) | 122,458 | 2,954 | ||||||
Arch Capital Group* | 40,816 | 3,686 | ||||||
Ares Capital | 8,677 | 143 | ||||||
Arthur J Gallagher | 30,300 | 851 | ||||||
Aspen Insurance Holdings (A) | 54,500 | 1,575 | ||||||
Associated Banc (A) | 36,400 | 466 | ||||||
Assured Guaranty | 164,353 | 2,796 | ||||||
Astoria Financial (A) | 20,287 | 244 | ||||||
AvalonBay Communities‡ (A) | 20,563 | 2,269 | ||||||
Axis Capital Holdings | 8,700 | 307 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 80,200 | 1,302 | ||||||
Bancorpsouth (A) | 67,865 | 872 | ||||||
Bank Mutual | 15,100 | 69 | ||||||
BGC Partners, Cl A (A) | 113,900 | 871 | ||||||
BioMed Realty Trust‡ (A) | 68,456 | 1,207 | ||||||
BlackRock, Cl A | 1,859 | 303 | ||||||
Boston Private Financial Holdings (A) | 66,459 | 357 | ||||||
Boston Properties‡ (A) | 71,488 | 5,991 | ||||||
BR Malls Participacoes | 158,230 | 1,555 | ||||||
Brandywine Realty Trust‡ | 196,750 | 2,176 | ||||||
Brasil Brokers Participacoes | 104,400 | 570 | ||||||
Brasil Insurance Participacoes e Administracao* | 600 | 570 | ||||||
CapitalSource | 277,525 | 1,793 | ||||||
CapLease‡ | 183,600 | 1,120 | ||||||
Capstead Mortgage‡ (A) | 207,976 | 2,444 | ||||||
Cardinal Financial | 225,322 | 2,334 | ||||||
Cash Store Financial Services | 66,445 | 946 | ||||||
CB Richard Ellis Group, Cl A* | 121,979 | 2,341 | ||||||
CBL & Associates Properties‡ (A) | 241,039 | 3,977 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cedar Shopping Centers‡ (A) | 145,000 | $ | 879 | |||||
Chemical Financial | 20,942 | 438 | ||||||
Chimera Investment‡ | 245,200 | 981 | ||||||
Cincinnati Financial (A) | 11,700 | 353 | ||||||
City Holding (A) | 17,500 | 561 | ||||||
City National | 3,800 | 204 | ||||||
CNA Financial* | 74,900 | 1,934 | ||||||
CNO Financial Group* | 179,767 | 1,052 | ||||||
Colonial Properties Trust‡ | 102,050 | 1,837 | ||||||
Comerica (A) | 68,401 | 2,496 | ||||||
Commerce Bancshares | 1 | — | ||||||
CommonWealth REIT* | 25,000 | — | ||||||
CommonWealth REIT‡ | 138,850 | 3,475 | ||||||
Corporate Office Properties Trust‡ (A) | 52,800 | 1,790 | ||||||
Cowen Group, Cl A* (A) | 185,100 | 755 | ||||||
Credit Acceptance* | 16,933 | 1,050 | ||||||
CreXus Investment‡ | 62,200 | 786 | ||||||
Cullen/Frost Bankers | 10,600 | 567 | ||||||
CVB Financial (A) | 200,744 | 1,580 | ||||||
Developers Diversified Realty‡ (A) | 163,703 | 2,100 | ||||||
DiamondRock Hospitality‡ (A) | 301,394 | 3,174 | ||||||
Dollar Financial* (A) | 47,500 | 1,244 | ||||||
Duff & Phelps, Cl A | 37,655 | 504 | ||||||
DuPont Fabros Technology‡ (A) | 5,900 | 133 | ||||||
East West Bancorp | 77,940 | 1,351 | ||||||
Eaton Vance | 79,527 | 2,364 | ||||||
Education Realty Trust‡ | 379,777 | 2,788 | ||||||
EMC Insurance Group | 13,767 | 307 | ||||||
Employers Holdings | 139,741 | 2,257 | ||||||
Endurance Specialty Holdings | 119,406 | 5,267 | ||||||
Equity One‡ (A) | 81,824 | 1,416 | ||||||
Equity Residential‡ | 94,350 | 4,716 | ||||||
Essex Property Trust‡ (A) | 27,200 | 3,015 | ||||||
Everest Re Group | 26,100 | 2,179 | ||||||
Federal Realty Investment Trust‡ | 30,390 | 2,352 | ||||||
Federated Investors, Cl B (A) | 187,388 | 4,443 | ||||||
Fifth Third Bancorp (A) | 187,786 | 2,244 | ||||||
Financial Engines* (A) | 78,911 | 1,335 | ||||||
First Financial Bancorp (A) | 203,194 | 3,357 | ||||||
First Horizon National* (A) | 119,914 | 1,148 | ||||||
First Niagara Financial Group (A) | 15,300 | 189 | ||||||
First Potomac Realty Trust‡ | 16,400 | 258 | ||||||
FirstMerit (A) | 101,627 | 1,771 | ||||||
Flushing Financial | 128,200 | 1,718 | ||||||
General Growth Properties‡ | 59,350 | 961 | ||||||
General Shopping Brasil (Brazil)* | 57,200 | 424 | ||||||
Genworth Financial, Cl A* | 134,364 | 1,567 | ||||||
GFI Group (A) | 157,800 | 732 | ||||||
Gluskin Sheff + Associates | 31,900 | 577 | ||||||
Grubb & Ellis* (A) | 135,960 | 156 | ||||||
Hancock Holding (A) | 113,398 | 3,572 | ||||||
Hanover Insurance Group (A) | 97,050 | 4,394 | ||||||
Hatteras Financial‡ (A) | 24,100 | 747 | ||||||
HCP‡ | 117,300 | 3,863 | ||||||
Health Care REIT‡ (A) | 64,658 | 2,992 | ||||||
Hercules Technology Growth Capital | 94,618 | 944 | ||||||
Highwoods Properties‡ (A) | 62,000 | 1,892 | ||||||
Horace Mann Educators | 135,085 | 2,206 | ||||||
Hospitality Properties Trust‡ | 111,100 | 2,457 | ||||||
Host Hotels & Resorts‡ | 388,106 | 6,396 | ||||||
Hudson Valley Holding | 30,646 | 607 | ||||||
Huntington Bancshares (A) | 241,600 | 1,410 | ||||||
Iberiabank (A) | 29,490 | 1,487 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Infinity Property & Casualty (A) | 53,014 | $ | 3,060 | |||||
Inland Real Estate‡ (A) | 228,001 | 1,938 | ||||||
International Bancshares (A) | 47,046 | 809 | ||||||
Investors Real Estate Trust‡ (A) | 50,300 | 445 | ||||||
Jones Lang LaSalle | 21,309 | 1,701 | ||||||
Keycorp | 253,750 | 1,911 | ||||||
Kilroy Realty‡ (A) | 17,400 | 594 | ||||||
Knight Capital Group, Cl A* (A) | 58,000 | 762 | ||||||
Lexington Realty Trust ‡ (A) | 231,662 | 1,818 | ||||||
Liberty Property Trust ‡ | 78,645 | 2,465 | ||||||
LPL Investment Holdings* | 31,930 | 1,082 | ||||||
LTC Properties‡ | 22,000 | 594 | ||||||
M&T Bank (A) | 2,300 | 177 | ||||||
Macerich‡ (A) | 66,831 | 3,097 | ||||||
Mack-Cali Realty‡ | 35,700 | 1,133 | ||||||
Maiden Holdings | 4,800 | 36 | ||||||
MarketAxess Holdings | 127,645 | 2,322 | ||||||
MB Financial | 30,500 | 434 | ||||||
Meadowbrook Insurance Group | 184,100 | 1,741 | ||||||
Medical Properties Trust‡ | 100,753 | 1,056 | ||||||
MFA Mortgage Investments ‡ (A) | 693,707 | 5,654 | ||||||
MGIC Investment* (A) | 254,256 | 2,166 | ||||||
Mid-America Apartment Communities‡ (A) | 25,821 | 1,585 | ||||||
Montpelier Re Holdings (A) | 75,900 | 1,494 | ||||||
Moody’s (A) | 133,350 | 3,578 | ||||||
MSCI, Cl A* | 47,197 | 1,607 | ||||||
National Penn Bancshares | 499,246 | 3,350 | ||||||
National Retail Properties‡ (A) | 68,493 | 1,781 | ||||||
Nationwide Health Properties‡ | 64,100 | 2,311 | ||||||
Nelnet, Cl A | 78,800 | 1,682 | ||||||
New York Community Bancorp (A) | 65,686 | 1,104 | ||||||
NewAlliance Bancshares | 35,300 | 471 | ||||||
Old National Bancorp | 20,000 | 206 | ||||||
Oriental Financial Group | 50,000 | 580 | ||||||
PacWest Bancorp (A) | 77,278 | 1,314 | ||||||
PartnerRe | 40,000 | 3,100 | ||||||
Pennsylvania Real Estate Investment Trust‡ (A) | 125,372 | 1,684 | ||||||
People’s United Financial (A) | 282,801 | 3,504 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 33,450 | 665 | ||||||
Platinum Underwriters Holdings (A) | 62,734 | 2,712 | ||||||
Plum Creek Timber‡ (A) | 7,900 | 285 | ||||||
Post Properties‡ (A) | 54,958 | 1,872 | ||||||
PrivateBancorp, Cl A (A) | 64,640 | 786 | ||||||
ProAssurance* | 78,233 | 4,634 | ||||||
ProLogis‡ (A) | 129,050 | 1,679 | ||||||
Protective Life (A) | 78,979 | 1,857 | ||||||
Public Storage‡ | 48,454 | 4,681 | ||||||
Radian Group (A) | 34,500 | 245 | ||||||
RAIT Financial Trust‡* (A) | 69,000 | 111 | ||||||
Raymond James Financial (A) | 62,134 | 1,782 | ||||||
Rayonier‡ | 15,800 | 805 | ||||||
Redwood Trust‡ (A) | 103,030 | 1,425 | ||||||
Regency Centers‡ (A) | 71,200 | 2,899 | ||||||
Regions Financial | 118,700 | 639 | ||||||
Reinsurance Group of America, Cl A | 95,082 | 4,747 | ||||||
Republic Bancorp, Cl A (A) | 37,026 | 759 | ||||||
S&T Bancorp (A) | 23,500 | 461 | ||||||
Selective Insurance Group | 51,000 | 841 | ||||||
Senior Housing Properties Trust‡ | 96,350 | 2,151 |
Description | Shares | Market Value ($ Thousands) | ||||||
Signature Bank NY* (A) | 27,061 | $ | 1,189 | |||||
Simon Property Group‡ | 52,179 | 5,140 | ||||||
SL Green Realty‡ (A) | 36,050 | 2,358 | ||||||
Sovran Self Storage‡ (A) | 19,100 | 688 | ||||||
StanCorp Financial Group (A) | 36,700 | 1,527 | ||||||
Stifel Financial* (A) | 36,451 | 1,889 | ||||||
Sunstone Hotel Investors‡* (A) | 268,349 | 2,555 | ||||||
Susquehanna Bancshares (A) | 239,204 | 1,926 | ||||||
SVB Financial Group* | 26,425 | 1,187 | ||||||
SWS Group | 47,200 | 246 | ||||||
Synovus Financial (A) | 1,742,743 | 3,538 | ||||||
Taubman Centers‡ (A) | 72,850 | 3,535 | ||||||
TCF Financial (A) | 170,094 | 2,315 | ||||||
TD Ameritrade Holding (A) | 240,724 | 4,030 | ||||||
TFS Financial | 59,500 | 487 | ||||||
Titanium Asset Management* | 42,000 | 37 | ||||||
Titanium Asset Management PP (F)(G)(H)* | 105,000 | 301 | ||||||
Tower Group | 16,300 | 419 | ||||||
Trustco Bank (A) | 112,300 | 630 | ||||||
Trustmark (A) | 63,178 | 1,348 | ||||||
Unitrin | 78,100 | 1,848 | ||||||
Unum Group | 181,694 | 3,905 | ||||||
Uranium Participation* | 107,500 | 867 | ||||||
U-Store-It Trust‡ | 173,610 | 1,436 | ||||||
Validus Holdings (A) | 38,900 | 1,136 | ||||||
Value Creation (F)(G)(H)* | 85,600 | 87 | ||||||
Ventas‡ (A) | 37,050 | 1,900 | ||||||
Vornado Realty Trust‡ | 16,391 | 1,337 | ||||||
Waddell & Reed Financial, Cl A | 119,454 | 3,679 | ||||||
Walter Investment Management‡ | 13,300 | 229 | ||||||
Washington Federal | 58,500 | 863 | ||||||
Westamerica Bancorporation (A) | 8,200 | 401 | ||||||
Western Alliance Bancorp* (A) | 260,794 | 1,609 | ||||||
Whitney Holding (A) | 438,002 | 4,113 | ||||||
Willis Group Holdings | 69,814 | 2,222 | ||||||
World Acceptance* (A) | 74,877 | 3,299 | ||||||
WR Berkley (A) | 39,600 | 1,057 | ||||||
XL Group, Cl A | 18,500 | 364 | ||||||
Zions Bancorporation (A) | 407,007 | 7,916 | ||||||
350,930 | ||||||||
Health Care — 10.2% | ||||||||
Abaxis* (A) | 12,603 | 340 | ||||||
Acadia Pharmaceuticals* (A) | 306,000 | 205 | ||||||
Accelrys* | 16,394 | 138 | ||||||
Achillion Pharmaceuticals* | 128,847 | 369 | ||||||
Acorda Therapeutics* (A) | 121,589 | 3,204 | ||||||
Albany Molecular Research* | 6,900 | 35 | ||||||
Alere* (A) | 12,100 | 386 | ||||||
Alexion Pharmaceuticals* | 64,458 | 4,928 | ||||||
Align Technology* (A) | 83,664 | 1,463 | ||||||
Alkermes* | 107,000 | 1,121 | ||||||
Allscripts Healthcare Solutions* | 158,840 | 2,788 | ||||||
American Medical Systems Holdings* (A) | 17,340 | 311 | ||||||
AMERIGROUP* (A) | 73,370 | 3,157 | ||||||
AmerisourceBergen | 73,462 | 2,266 | ||||||
Amsurg, Cl A * | 133,891 | 2,461 | ||||||
Amylin Pharmaceuticals* (A) | 23,600 | 302 | ||||||
Analogic | 5,005 | 233 | ||||||
Arena Pharmaceuticals* (A) | 257,245 | 373 | ||||||
athenahealth* | 44,630 | 1,830 | ||||||
Auxilium Pharmaceuticals* (A) | 119,634 | 2,264 | ||||||
Brookdale Senior Living, Cl A* | 73,076 | 1,397 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Bruker* | 18,900 | $ | 291 | |||||
Catalyst Health Solutions* | 129,745 | 5,569 | ||||||
Celera* | 7,500 | 43 | ||||||
Cephalon* (A) | 16,800 | 1,067 | ||||||
Cepheid* (A) | 13,812 | 272 | ||||||
Chemed (A) | 21,077 | 1,284 | ||||||
Conceptus* (A) | 42,035 | 553 | ||||||
Cooper (A) | 112,584 | 6,023 | ||||||
Corvel* | 1,462 | 67 | ||||||
Coventry Health Care* | 54,000 | 1,367 | ||||||
Cyberonics* | 138,400 | 3,719 | ||||||
Dendreon* (A) | 2,906 | 104 | ||||||
Dentsply International (A) | 41,485 | 1,283 | ||||||
DexCom* | 16,161 | 182 | ||||||
Edwards Lifesciences* | 44,300 | 2,940 | ||||||
Emergency Medical Services, Cl A* | 3,449 | 171 | ||||||
Endo Pharmaceuticals Holdings* | 65,900 | 2,373 | ||||||
Ensign Group (A) | 54,000 | 1,162 | ||||||
Forest Laboratories* | 42,800 | 1,365 | ||||||
Genomic Health* | 3,600 | 66 | ||||||
Gen-Probe* | 121,286 | 6,290 | ||||||
Haemonetics* | 17,765 | 1,044 | ||||||
Health Management Associates, Cl A* (A) | 317,657 | 2,830 | ||||||
Health Net* | 100,218 | 2,706 | ||||||
Healthsouth* (A) | 59,385 | 1,069 | ||||||
HeartWare International* (A) | 42,093 | 3,871 | ||||||
Henry Schein* | 42,872 | 2,462 | ||||||
Hill-Rom Holdings (A) | 137,950 | 5,460 | ||||||
HMS Holdings* | 55,950 | 3,525 | ||||||
Hologic* | 135,595 | 2,224 | ||||||
Human Genome Sciences* (A) | 9,486 | 233 | ||||||
Humana* | 24,900 | 1,395 | ||||||
ICU Medical* | 22,000 | 806 | ||||||
Idexx Laboratories* (A) | 16,200 | 1,040 | ||||||
Impax Laboratories* | 59,517 | 1,060 | ||||||
Incyte* (A) | 230,105 | 3,339 | ||||||
Inspire Pharmaceuticals* | 55,400 | 387 | ||||||
Invacare (A) | 66,524 | 1,796 | ||||||
Kindred Healthcare* | 28,800 | 465 | ||||||
Kinetic Concepts* (A) | 44,000 | 1,747 | ||||||
King Pharmaceuticals* | 342,838 | 4,851 | ||||||
LHC Group* (A) | 27,800 | 735 | ||||||
LifePoint Hospitals* | 53,200 | 1,927 | ||||||
Lincare Holdings (A) | 123,650 | 3,184 | ||||||
Magellan Health Services* | 61,049 | 2,973 | ||||||
Medicines* | 97,700 | 1,288 | ||||||
Mednax* | 24,545 | 1,502 | ||||||
Meridian Bioscience | 39,500 | 878 | ||||||
Metropolitan Health Networks* | 81,437 | 351 | ||||||
Momenta Pharmaceuticals* (A) | 8,500 | 130 | ||||||
MWI Veterinary Supply* | 24,683 | 1,508 | ||||||
Mylan Laboratories* (A) | 127,565 | 2,496 | ||||||
Myriad Genetics* | 43,875 | 945 | ||||||
Nektar Therapeutics* | 4,800 | 61 | ||||||
NuVasive* (A) | 48,347 | 1,129 | ||||||
Omnicare (A) | 86,000 | 1,983 | ||||||
Omnicell* | 87,274 | 1,169 | ||||||
Onyx Pharmaceuticals* (A) | 156,025 | 4,595 | ||||||
Owens & Minor | 28,866 | 816 | ||||||
Par Pharmaceutical* | 170,239 | 6,117 | ||||||
Parexel International* | 89,908 | 1,579 | ||||||
Patterson | 33,012 | 982 | ||||||
PDL BioPharma (A) | 272,500 | 1,575 |
Description | Shares | Market Value ($ Thousands) | ||||||
PerkinElmer | 163,971 | $ | 3,821 | |||||
Perrigo (A) | 40,737 | 2,454 | ||||||
Pharmaceutical Product Development | 158,360 | 3,946 | ||||||
Pharmasset* | 34,660 | 1,501 | ||||||
PharMerica* | 141,802 | 1,540 | ||||||
PSS World Medical* (A) | 58,715 | 1,210 | ||||||
Quality Systems (A) | 48,005 | 3,096 | ||||||
Quest Diagnostics | 39,554 | 1,951 | ||||||
Quidel* (A) | 39,300 | 519 | ||||||
Regeneron Pharmaceuticals* (A) | 72,858 | 2,100 | ||||||
ResMed* (A) | 21,650 | 692 | ||||||
Rigel Pharmaceuticals* (A) | 219,730 | 1,753 | ||||||
Salix Pharmaceuticals* | 47,080 | 2,102 | ||||||
Sciclone Pharmaceuticals* | 39,933 | 149 | ||||||
Seattle Genetics* (A) | 104,705 | 1,581 | ||||||
Sirona Dental Systems* | 46,260 | 1,748 | ||||||
Skilled Healthcare Group, Cl A* | 98,400 | 626 | ||||||
STERIS | 4,452 | 153 | ||||||
SXC Health Solutions* | 78,210 | 2,999 | ||||||
Techne (A) | 50,103 | 3,010 | ||||||
Teleflex (A) | 71,157 | 3,554 | ||||||
Theravance* (A) | 10,773 | 269 | ||||||
United Therapeutics* (A) | 63,393 | 3,989 | ||||||
Universal Health Services, Cl B | 74,004 | 3,043 | ||||||
Valeant Pharmaceuticals International (A) | 132,995 | 3,441 | ||||||
Vertex Pharmaceuticals* (A) | 29,805 | 987 | ||||||
Viropharma* | 15,400 | 238 | ||||||
Vital Images* | 9,430 | 127 | ||||||
Volcano* (A) | 98,150 | 2,606 | ||||||
Waters* | 8,025 | 617 | ||||||
WellCare Health Plans* | 63,090 | 1,776 | ||||||
203,593 | ||||||||
Industrials — 15.7% | ||||||||
ABM Industries (A) | 54,489 | 1,255 | ||||||
ACCO Brands* | 96,500 | 677 | ||||||
Actuant, Cl A (A) | 103,012 | 2,434 | ||||||
Acuity Brands (A) | 14,344 | 772 | ||||||
Advisory Board* (A) | 68,970 | 3,273 | ||||||
Aecom Technology* | 132,648 | 3,417 | ||||||
AerCap Holdings* | 85,480 | 1,110 | ||||||
AGCO* | 82,450 | 3,722 | ||||||
Aircastle | 128,459 | 1,231 | ||||||
Alexander & Baldwin | 14,037 | 493 | ||||||
Allegiant Travel, Cl A (A) | 30,750 | 1,535 | ||||||
Alliant Techsystems (A) | 16,368 | 1,210 | ||||||
American Superconductor* (A) | 11,900 | 396 | ||||||
Ametek | 8,499 | 503 | ||||||
AO Smith (A) | 46,350 | 1,827 | ||||||
Apogee Enterprises | 78,209 | 880 | ||||||
Applied Industrial Technologies | 23,000 | 687 | ||||||
ArvinMeritor* (A) | 417,899 | 7,459 | ||||||
Atlas Air Worldwide Holdings* | 119,366 | 6,513 | ||||||
Avery Dennison | 110,650 | 4,154 | ||||||
Baldor Electric (A) | 49,580 | 3,139 | ||||||
Barnes Group (A) | 55,950 | 1,068 | ||||||
BE Aerospace* | 149,608 | 5,311 | ||||||
Beacon Roofing Supply* (A) | 132,340 | 2,275 | ||||||
Belden | 70,938 | 2,361 | ||||||
Brady, Cl A | 46,841 | 1,449 | ||||||
Briggs & Stratton (A) | 97,215 | 1,693 | ||||||
Bucyrus International, Cl A | 42,638 | 3,802 | ||||||
C.H. Robinson Worldwide (A) | 22,616 | 1,667 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Carlisle (A) | 92,520 | $ | 3,388 | |||||
Ceradyne* | 59,889 | 1,582 | ||||||
Chart Industries* | 15,846 | 501 | ||||||
Cintas (A) | 101,585 | 2,717 | ||||||
Clean Harbors* | 50,533 | 3,742 | ||||||
Columbus McKinnon* | 16,015 | 263 | ||||||
Commercial Vehicle Group* | 50,906 | 721 | ||||||
Consolidated Graphics* | 63,023 | 2,997 | ||||||
Con-way (A) | 69,370 | 2,345 | ||||||
Copa Holdings, Cl A | 51,740 | 2,886 | ||||||
Copart* | 29,435 | 1,044 | ||||||
Corporate Executive Board | 126,161 | 4,377 | ||||||
Corrections of America* (A) | 198,360 | 4,790 | ||||||
CoStar Group* (A) | 56,803 | 2,996 | ||||||
Courier (A) | 32,275 | 459 | ||||||
CRA International* | 46,200 | 1,021 | ||||||
Crane | 102,565 | 3,844 | ||||||
Delta Air Lines* | 31,200 | 427 | ||||||
Deluxe (A) | 87,800 | 1,861 | ||||||
DigitalGlobe* | 9,260 | 273 | ||||||
Douglas Dynamics | 63,500 | 937 | ||||||
Dover | 43,004 | 2,357 | ||||||
Dycom Industries* | 233,560 | 3,088 | ||||||
EMCOR Group* | 137,798 | 3,693 | ||||||
EnerNOC* (A) | 5,200 | 128 | ||||||
Ennis | 17,942 | 306 | ||||||
EnPro Industries* (A) | 43,700 | 1,602 | ||||||
Esterline Technologies* | 26,164 | 1,540 | ||||||
Fastenal (A) | 31,527 | 1,687 | ||||||
Flowserve | 19,442 | 2,050 | ||||||
Fluor (A) | 47,202 | 2,730 | ||||||
Force Protection* | 154,300 | 792 | ||||||
Foster Wheeler* | 55,200 | 1,546 | ||||||
G&K Services, Cl A | 55,957 | 1,552 | ||||||
Gardner Denver | 115,383 | 7,552 | ||||||
GATX | 10,600 | 352 | ||||||
GenCorp* (A) | 34,600 | 170 | ||||||
Geo Group* | 89,457 | 2,156 | ||||||
GeoEye* (A) | 24,089 | 960 | ||||||
Graco | 12,900 | 464 | ||||||
Graham | 21,233 | 347 | ||||||
Great Lakes Dredge & Dock | 265,415 | 2,038 | ||||||
H&E Equipment Services* (A) | 71,600 | 712 | ||||||
Heico, Cl A | 49,188 | 1,918 | ||||||
Hertz Global Holdings* (A) | 197,828 | 2,425 | ||||||
Hexcel* | 181,454 | 3,112 | ||||||
Horizon Lines, Cl A (A) | 169,449 | 618 | ||||||
ICF International* | 16,183 | 387 | ||||||
IDEX | 33,912 | 1,271 | ||||||
IHS, Cl A* | 61,851 | 4,473 | ||||||
II-VI* | 11,967 | 489 | ||||||
Interface, Cl A | 191,761 | 2,769 | ||||||
JB Hunt Transport Services (A) | 121,275 | 4,426 | ||||||
Joy Global | 23,998 | 1,832 | ||||||
Kadant* | 60,757 | 1,166 | ||||||
Kaman (A) | 13,404 | 378 | ||||||
Kansas City Southern* (A) | 85,700 | 4,057 | ||||||
Kaydon (A) | 68,388 | 2,392 | ||||||
Kennametal | 46,400 | 1,569 | ||||||
Kirby* | 16,000 | 715 | ||||||
Knoll | 97,150 | 1,491 | ||||||
Kratos Defense & Security Solutions* (A) | 69,926 | 739 | ||||||
Landstar System | 41,075 | 1,477 | ||||||
Lincoln Electric Holdings | 12,959 | 799 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lindsay Manufacturing (A) | 41,300 | $ | 2,438 | |||||
Localiza Rent a Car | 173,390 | 2,839 | ||||||
Manitowoc (A) | 72,400 | 795 | ||||||
Manpower (A) | 64,189 | 3,615 | ||||||
Michael Baker* | 27,800 | 892 | ||||||
Miller Industries | 1,300 | 18 | ||||||
Mine Safety Appliances | 28,000 | 807 | ||||||
Mistras Group* | 1,200 | 14 | ||||||
Moog, Cl A* (A) | 29,456 | 1,086 | ||||||
MSC Industrial Direct, Cl A | 60,850 | 3,660 | ||||||
Mueller Industries | 39,900 | 1,217 | ||||||
Mueller Water Products, Cl A | 292,583 | 1,030 | ||||||
MYR Group* (A) | 28,379 | 448 | ||||||
Navistar International* | 90,139 | 4,613 | ||||||
NN* | 85,100 | 851 | ||||||
Nordson | 8,300 | 659 | ||||||
Old Dominion Freight Line* (A) | 149,815 | 4,327 | ||||||
Oshkosh Truck* | 39,149 | 1,124 | ||||||
Owens Corning* | 3,300 | 87 | ||||||
Pall | 5,472 | 248 | ||||||
Pitney Bowes (A) | 97,797 | 2,146 | ||||||
PowerSecure International* (A) | 23,442 | 202 | ||||||
Quanta Services* | 11,822 | 208 | ||||||
Raven Industries | 800 | 35 | ||||||
Regal-Beloit | 10,000 | 610 | ||||||
Resources Connection | 217,412 | 3,637 | ||||||
Ritchie Bros Auctioneers (A) | 112,505 | 2,252 | ||||||
Roper Industries | 51,000 | 3,693 | ||||||
RSC Holdings* (A) | 313,100 | 2,439 | ||||||
Rush Enterprises, Cl A* (A) | 178,122 | 3,130 | ||||||
Ryder System | 17,100 | 737 | ||||||
School Specialty* | 88,385 | 1,116 | ||||||
SeaCube Container Leasing | 70,700 | 840 | ||||||
Sensata Technologies Holding* | 163,000 | 4,532 | ||||||
Skywest | 49,700 | 805 | ||||||
Spirit Aerosystems Holdings, Cl A* | 211,342 | 4,115 | ||||||
Standard Parking* | 97,170 | 1,726 | ||||||
Stericycle* (A) | 2,494 | 184 | ||||||
Sun Hydraulics | 1,000 | 31 | ||||||
SYKES Enterprises* | 326,783 | 6,013 | ||||||
TAL International Group (A) | 32,100 | 909 | ||||||
Teledyne Technologies* | 50,967 | 2,050 | ||||||
Tennant | 5,600 | 191 | ||||||
Terex* (A) | 70,236 | 1,705 | ||||||
Tetra Tech* | 146,857 | 3,394 | ||||||
Textainer Group Holdings (A) | 28,200 | 784 | ||||||
Thomas & Betts* | 16,700 | 742 | ||||||
Timken | 94,267 | 4,106 | ||||||
Towers Watson, Cl A | 82,685 | 4,151 | ||||||
TransDigm Group* | 18,350 | 1,257 | ||||||
Trex* (A) | 95,363 | 1,759 | ||||||
Triumph Group (A) | 14,377 | 1,210 | ||||||
TrueBlue* | 152,950 | 2,521 | ||||||
Tutor Perini (A) | 19,500 | 371 | ||||||
United Continental Holdings* (A) | 154,935 | 4,288 | ||||||
United Rentals* (A) | 195,230 | 3,830 | ||||||
United Stationers* | 19,100 | 1,212 | ||||||
URS* | 31,768 | 1,256 | ||||||
US Ecology | 4,300 | 68 | ||||||
UTi Worldwide | 76,522 | 1,473 | ||||||
Vitran, Cl A* | 131,940 | 1,531 | ||||||
Wabash National* (A) | 101,150 | 1,067 | ||||||
WABCO Holdings* | 25,800 | 1,282 | ||||||
Wabtec | 105,805 | 4,891 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Watsco (A) | 30,200 | $ | 1,820 | |||||
Watts Water Technologies, Cl A (A) | 38,210 | 1,244 | ||||||
WESCO International* | 147,738 | 7,050 | ||||||
Westport Innovations* | 12,505 | 227 | ||||||
Woodward Governor | 3,800 | 128 | ||||||
311,545 | ||||||||
Information Technology — 18.0% | ||||||||
AAC Acoustic Technologies Holdings | 668,000 | 1,841 | ||||||
Acme Packet* (A) | 181,169 | 8,874 | ||||||
Adobe Systems* | 62,014 | 1,720 | ||||||
ADTRAN | 58,200 | 1,812 | ||||||
Advanced Analogic Technologies* | 80,739 | 296 | ||||||
Advent Software* (A) | 19,722 | 1,017 | ||||||
Aeroflex Holding* | 53,866 | 776 | ||||||
Akamai Technologies* | 12,078 | 630 | ||||||
Alliance Data Systems* (A) | 78,111 | 4,927 | ||||||
Allot Communications* | 20,169 | 169 | ||||||
Amkor Technology* (A) | 75,300 | 524 | ||||||
Analog Devices | 72,401 | 2,575 | ||||||
Ancestry.com* | 62,593 | 1,789 | ||||||
Ansys* | 117,650 | 5,706 | ||||||
AOL* | 62,929 | 1,522 | ||||||
Applied Micro Circuits* (A) | 192,700 | 1,788 | ||||||
Archipelago Learning* | 1,000 | 9 | ||||||
Ariba* (A) | 13,908 | 282 | ||||||
Arris Group* | 81,500 | 816 | ||||||
Aruba Networks* (A) | 86,460 | 1,833 | ||||||
AsiaInfo Holdings* | 49,050 | 817 | ||||||
Atheros Communications* | 5,355 | 174 | ||||||
Atmel* | 263,518 | 2,738 | ||||||
ATMI* (A) | 34,785 | 624 | ||||||
Avid Technology* | 56,432 | 879 | ||||||
Avnet* | 34,300 | 1,051 | ||||||
AVX | 25,500 | 365 | ||||||
Baidu ADR* | 2,040 | 214 | ||||||
Benchmark Electronics* | 141,000 | 2,266 | ||||||
Black Box | 24,000 | 860 | ||||||
Blackbaud | 17,140 | 434 | ||||||
Blackboard* (A) | 119,239 | 4,954 | ||||||
Blue Coat Systems* | 66,568 | 1,771 | ||||||
Booz Allen Hamilton Holding, Cl A* (A) | 69,926 | 1,357 | ||||||
Brightpoint* | 199,785 | 1,638 | ||||||
Brocade Communications Systems* | 987,031 | 4,916 | ||||||
Cabot Microelectronics* (A) | 23,600 | 931 | ||||||
CACI International, Cl A* (A) | 32,011 | 1,611 | ||||||
Cadence Design Systems* | 293,600 | 2,308 | ||||||
Cardtronics* | 58,499 | 989 | ||||||
Cavium Networks* (A) | 183,579 | 6,755 | ||||||
Ceragon Networks* | 26,058 | 278 | ||||||
Ceva* | 122,420 | 2,840 | ||||||
Checkpoint Systems* | 30,234 | 542 | ||||||
Ciber* | 32,105 | 108 | ||||||
Cognex | 151,400 | 4,233 | ||||||
Cogo Group* | 17,200 | 129 | ||||||
Coherent* | 48,570 | 2,006 | ||||||
CommVault Systems* | 49,860 | 1,452 | ||||||
Compellent Technologies* | 5,200 | 135 | ||||||
Computer Sciences | 33,500 | 1,495 | ||||||
comScore* | 14,715 | 324 |
Description | Shares | Market Value ($ Thousands) | ||||||
Comtech Telecommunications (A) | 95,618 | $ | 2,836 | |||||
Comverse Technology* | 96,000 | 738 | ||||||
Concur Technologies* (A) | 46,750 | 2,394 | ||||||
Constant Contact* (A) | 15,400 | 394 | ||||||
Convergys* (A) | 118,100 | 1,522 | ||||||
CoreLogic | 17,300 | 315 | ||||||
Cree* (A) | 55,850 | 3,640 | ||||||
CSG Systems International* | 11,269 | 212 | ||||||
CTS | 127,190 | 1,309 | ||||||
Cymer* (A) | 28,415 | 1,082 | ||||||
Cypress Semiconductor* | 37,400 | 586 | ||||||
Daktronics (A) | 22,500 | 303 | ||||||
DealerTrack Holdings* (A) | 15,406 | 294 | ||||||
DG FastChannel* | 41,425 | 1,045 | ||||||
Diebold | 130,841 | 4,111 | ||||||
Digital River* (A) | 53,752 | 1,979 | ||||||
Dolby Laboratories, Cl A* (A) | 41,393 | 2,620 | ||||||
DST Systems | 20,400 | 874 | ||||||
DTS* | 30,440 | 1,429 | ||||||
Earthlink (A) | 75,600 | 678 | ||||||
EchoStar, Cl A* | 5,200 | 105 | ||||||
Electronics for Imaging* | 27,753 | 363 | ||||||
Emulex* | 215,050 | 2,434 | ||||||
Entropic Communications* (A) | 52,238 | 467 | ||||||
Equinix* (A) | 13,600 | 1,055 | ||||||
Euronet Worldwide* | 145,628 | 2,383 | ||||||
F5 Networks* | 32,900 | 4,339 | ||||||
Fairchild Semiconductor International, Cl A* (A) | 452,295 | 6,355 | ||||||
Finisar* (A) | 131,820 | 2,520 | ||||||
Fortinet* (A) | 40,100 | 1,278 | ||||||
Gartner* | 136,133 | 4,379 | ||||||
Gerber Scientific* (A) | 112,900 | 817 | ||||||
GSI Commerce* (A) | 438,062 | 10,448 | ||||||
Harris | 44,000 | 1,947 | ||||||
Heartland Payment Systems (A) | 82,375 | 1,301 | ||||||
iGate (A) | 6,700 | 134 | ||||||
Imation* (A) | 121,422 | 1,154 | ||||||
Informatica* (A) | 71,040 | 2,932 | ||||||
Infospace* (A) | 63,141 | 488 | ||||||
Ingram Micro, Cl A* | 142,160 | 2,538 | ||||||
Inphi* | 6,600 | 105 | ||||||
Insight Enterprises* | 72,500 | 914 | ||||||
Integrated Device Technology* | 373,866 | 2,404 | ||||||
Intermec* (A) | 123,620 | 1,398 | ||||||
Intersil, Cl A | 69,200 | 882 | ||||||
Itron* | 69,315 | 3,935 | ||||||
Ixia* | 76,730 | 1,217 | ||||||
JA Solar Holdings ADR* (A) | 203,300 | 1,409 | ||||||
Jabil Circuit | 308,820 | 4,666 | ||||||
JDA Software Group* | 130,403 | 3,443 | ||||||
JDS Uniphase* (A) | 150,140 | 1,782 | ||||||
KIT Digital* (A) | 70,231 | 967 | ||||||
Kla-Tencor | 27,500 | 1,008 | ||||||
Knot* (A) | 128,884 | 1,205 | ||||||
Lawson Software* | 366,316 | 3,147 | ||||||
Lender Processing Services (A) | 20,300 | 625 | ||||||
Lexmark International, Cl A* | 44,000 | 1,595 | ||||||
Linear Technology (A) | 18,000 | 587 | ||||||
Littelfuse | 32,300 | 1,495 | ||||||
LSI* | 679,050 | 3,898 | ||||||
Methode Electronics | 74,751 | 763 | ||||||
Micrel (A) | 21,600 | 267 | ||||||
Micros Systems* | 45,783 | 2,002 | ||||||
Microsemi* | 311,794 | 6,903 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Mitel Networks* | 117,600 | $ | 769 | |||||
MKS Instruments* | 13,272 | 270 | ||||||
Molex (A) | 157,534 | 3,277 | ||||||
Monolithic Power Systems* | 25,686 | 414 | ||||||
Monotype Imaging Holdings* | 18,673 | 209 | ||||||
Move* | 93,424 | 236 | ||||||
MTS Systems | 10,255 | 393 | ||||||
Multi-Fineline Electronix* | 1,900 | 44 | ||||||
National Instruments | 26,304 | 898 | ||||||
Netgear* | 38,400 | 1,220 | ||||||
Netlogic Microsystems* (A) | 66,208 | 2,066 | ||||||
Novatel Wireless* (A) | 58,000 | 569 | ||||||
Nuance Communications* | 12,608 | 223 | ||||||
Omnivision Technologies* (A) | 93,211 | 2,637 | ||||||
OpenTable* (A) | 18,600 | 1,349 | ||||||
OSI Systems* | 15,400 | 537 | ||||||
Parametric Technology* | 282,460 | 6,050 | ||||||
Park Electrochemical | 28,200 | 773 | ||||||
Parkervision* (A) | 209,685 | 89 | ||||||
Pegasystems (A) | 106,289 | 3,290 | ||||||
Pericom Semiconductor* (A) | 33,106 | 331 | ||||||
Plexus* | 49,738 | 1,350 | ||||||
PMC - Sierra* | 647,592 | 4,695 | ||||||
Polycom* | 113,630 | 4,205 | ||||||
Power Integrations (A) | 146,876 | 5,918 | ||||||
Power-One* (A) | 214,360 | 2,026 | ||||||
Progress Software* | 23,000 | 887 | ||||||
PROS Holdings* | 95,205 | 909 | ||||||
Pulse Electronics (A) | 43,000 | 176 | ||||||
Quantum* (A) | 225,300 | 818 | ||||||
Quest Software* | 100,700 | 2,548 | ||||||
QuinStreet* (A) | 22,112 | 442 | ||||||
Rambus* (A) | 51,200 | 1,025 | ||||||
RDA Microelectronics ADR* | 38,300 | 614 | ||||||
Riverbed Technology* (A) | 215,140 | 7,295 | ||||||
Rovi* | 7,174 | 396 | ||||||
SAIC* (A) | 116,700 | 1,788 | ||||||
Sanmina-SCI* | 154,493 | 1,614 | ||||||
Sapient (A) | 272,550 | 3,252 | ||||||
Scansource* (A) | 17,700 | 516 | ||||||
Seachange International* | 80,100 | 644 | ||||||
Silicon Laboratories* (A) | 16,597 | 705 | ||||||
Skyworks Solutions* (A) | 156,920 | 3,994 | ||||||
SolarWinds* | 206,750 | 3,693 | ||||||
Solera Holdings | 12,700 | 610 | ||||||
Sonic Solutions* (A) | 25,693 | 256 | ||||||
Sourcefire* (A) | 23,400 | 635 | ||||||
SPS Commerce* | 11,840 | 140 | ||||||
SS&C Technologies Holdings* (A) | 109,342 | 2,122 | ||||||
Stamps.com | 4,504 | 59 | ||||||
STEC* (A) | 52,000 | 884 | ||||||
SuccessFactors* (A) | 128,940 | 3,890 | ||||||
Synaptics* (A) | 13,800 | 393 | ||||||
Synchronoss Technologies* | 17,564 | 456 | ||||||
SYNNEX* (A) | 10,478 | 300 | ||||||
Synopsys* | 180,384 | 4,634 | ||||||
Syntel | 97,217 | 4,641 | ||||||
Taleo, Cl A* | 28,336 | 870 | ||||||
Tech Data* | 38,200 | 1,684 | ||||||
Tekelec* | 135,767 | 1,677 | ||||||
TeleNav* (A) | 78,300 | 510 | ||||||
Teradata* | 23,300 | 957 | ||||||
Teradyne* (A) | 149,464 | 1,773 | ||||||
TIBCO Software* | 184,600 | 3,626 | ||||||
TiVo* (A) | 236,481 | 1,944 |
Description | Shares | Market Value ($ Thousands) | ||||||
TNS* | 76,871 | $ | 1,477 | |||||
Totvs | 23,410 | 2,319 | ||||||
Trimble Navigation* | 63,417 | 2,362 | ||||||
TTM Technologies* (A) | 181,350 | 2,404 | ||||||
Unisys* | 57,350 | 1,297 | ||||||
United Online | 301,460 | 1,919 | ||||||
Valueclick* | 2,200 | 34 | ||||||
VanceInfo Technologies ADR* | 96,850 | 3,643 | ||||||
Varian Semiconductor Equipment Associates* (A) | 23,625 | 745 | ||||||
Vasco Data Security International* | 6,600 | 57 | ||||||
Veeco Instruments* (A) | 23,226 | 1,021 | ||||||
VeriFone Holdings* (A) | 40,209 | 1,397 | ||||||
VeriSign* | 3,500 | 120 | ||||||
Vishay Intertechnology* (A) | 118,400 | 1,688 | ||||||
Vishay Precision Group* (A) | 8,457 | 142 | ||||||
VistaPrint* (A) | 167,640 | 6,759 | ||||||
Vocus* (A) | 85,213 | 2,086 | ||||||
WebMD Health, Cl A* | 8,242 | 423 | ||||||
Western Digital* | 56,100 | 1,879 | ||||||
Wright Express* | 91,458 | 3,939 | ||||||
Xyratex* (A) | 98,116 | 1,499 | ||||||
Zebra Technologies, Cl A* | 52,954 | 1,930 | ||||||
Zoran* | 98,781 | 680 | ||||||
359,550 | ||||||||
Materials — 5.7% | ||||||||
A. Schulman | 35,999 | 729 | ||||||
AK Steel Holding (A) | 47,300 | 628 | ||||||
Albemarle | 49,876 | 2,698 | ||||||
Alcoa (A) | 120,608 | 1,582 | ||||||
Allegheny Technologies (A) | 52,724 | 2,726 | ||||||
Allied Nevada Gold* (A) | 29,500 | 789 | ||||||
American Vanguard | 2,700 | 18 | ||||||
Aptargroup | 33,201 | 1,516 | ||||||
Ashland | 34,700 | 1,766 | ||||||
Bemis | 50,682 | 1,592 | ||||||
Boise (A) | 110,100 | 809 | ||||||
Buckeye Technologies | 71,300 | 1,420 | ||||||
Cabot | 23,766 | 851 | ||||||
Carpenter Technology (A) | 83,042 | 3,029 | ||||||
Celanese, Cl A | 118,243 | 4,375 | ||||||
Cytec Industries | 59,232 | 2,833 | ||||||
Domtar (A) | 23,000 | 1,746 | ||||||
Eastman Chemical | 33,100 | 2,576 | ||||||
Greif, Cl A | 6,500 | 380 | ||||||
H.B. Fuller | 50,700 | 1,063 | ||||||
Headwaters* | 40,621 | 158 | ||||||
Huntsman | 266,625 | 4,125 | ||||||
Innophos Holdings | 113,475 | 3,865 | ||||||
Intrepid Potash* (A) | 127,350 | 3,903 | ||||||
Jaguar Mining* (A) | 112,400 | 744 | ||||||
Kaiser Aluminum (A) | 15,700 | 736 | ||||||
KMG Chemicals | 4,300 | 61 | ||||||
Koppers Holdings | 25,021 | 716 | ||||||
LSB Industries* | 100,845 | 2,325 | ||||||
Lubrizol | 55,150 | 5,766 | ||||||
Methanex | 84,220 | 2,469 | ||||||
Molycorp* (A) | 23,700 | 688 | ||||||
Nalco Holding | 98,550 | 2,899 | ||||||
Neenah Paper | 25,135 | 463 | ||||||
New Gold* (A) | 96,000 | 900 | ||||||
NewMarket (A) | 26,936 | 3,389 | ||||||
Nucor | 52,709 | 1,989 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Olin | 17,100 | $ | 312 | |||||
OM Group* | 43,730 | 1,644 | ||||||
Owens-Illinois* | 87,876 | 2,362 | ||||||
Packaging of America | 133,185 | 3,416 | ||||||
PolyOne* | 252,800 | 3,150 | ||||||
Reliance Steel & Aluminum (A) | 23,800 | 1,058 | ||||||
Rockwood Holdings* | 57,846 | 2,208 | ||||||
Royal Gold | 100 | 5 | ||||||
RTI International Metals* (A) | 95,927 | 2,721 | ||||||
Sandstorm Resources* | 1,108,000 | 734 | ||||||
Schnitzer Steel Industries, Cl A | 50,040 | 2,857 | ||||||
Schweitzer-Mauduit International | 18,819 | 1,182 | ||||||
Sensient Technologies | 24,400 | 829 | ||||||
Sherwin-Williams | 3,000 | 222 | ||||||
Silgan Holdings (A) | 123,116 | 4,216 | ||||||
Solutia* | 179,555 | 3,839 | ||||||
Sonoco Products | 25,600 | 839 | ||||||
Spartech* | 20,033 | 191 | ||||||
Steel Dynamics (A) | 132,800 | 2,117 | ||||||
Stillwater Mining* (A) | 88,950 | 1,683 | ||||||
STR Holdings* (A) | 180,007 | 3,231 | ||||||
Temple-Inland | 24,400 | 512 | ||||||
Titanium Metals* | 33,300 | 575 | ||||||
Universal Stainless & Alloy* | 29,300 | 916 | ||||||
Walter Industries | 12,600 | 1,293 | ||||||
Westlake Chemical | 11,130 | 420 | ||||||
Worthington Industries (A) | 44,300 | 710 | ||||||
WR Grace* | 44,025 | 1,474 | ||||||
Zep | 2,300 | 42 | ||||||
113,080 | ||||||||
Telecommunication Services — 1.8% | ||||||||
AboveNet* (A) | 3,271 | 192 | ||||||
Alaska Communications Systems Group (A) | 104,525 | 1,102 | ||||||
CenturyLink (A) | 33,900 | 1,457 | ||||||
Cincinnati Bell* (A) | 486,732 | 1,188 | ||||||
Frontier Communications (A) | 315,640 | 2,872 | ||||||
Leap Wireless International* (A) | 57,300 | 624 | ||||||
MetroPCS Communications* (A) | 584,289 | 7,099 | ||||||
Neutral Tandem* | 63,500 | 913 | ||||||
NII Holdings* | 294,229 | 11,404 | ||||||
NTELOS Holdings | 14,811 | 251 | ||||||
Qwest Communications International (A) | 76,400 | 535 | ||||||
SBA Communications, Cl A* (A) | 144,239 | 5,647 | ||||||
tw telecom, Cl A* (A) | 21,457 | 354 | ||||||
USA Mobility | 76,117 | 1,296 | ||||||
34,934 | ||||||||
Utilities — 3.8% | ||||||||
AGL Resources | 125,536 | 4,611 | ||||||
Alliant Energy | 41,884 | 1,521 | ||||||
Ameren | 42,000 | 1,206 | ||||||
American Water Works | 127,203 | 3,118 | ||||||
Avista | 16,800 | 359 | ||||||
Black Hills (A) | 13,417 | 407 | ||||||
Cia de Saneamento de Minas | 41,100 | 655 | ||||||
Cleco (A) | 56,172 | 1,704 | ||||||
CMS Energy (A) | 243,773 | 4,381 | ||||||
Consolidated Edison (A) | 31,009 | 1,500 | ||||||
Edison International | 50,675 | 1,872 | ||||||
El Paso Electric* | 115,650 | 3,046 | ||||||
Empire District Electric (A) | 40,548 | 874 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Plains Energy (A) | 303,460 | $ | 5,659 | |||||
Hawaiian Electric Industries (A) | 45,000 | 985 | ||||||
IDACORP | 68,260 | 2,479 | ||||||
ITC Holdings | 29,270 | 1,772 | ||||||
Laclede Group | 9,825 | 347 | ||||||
MDU Resources Group | 178,808 | 3,655 | ||||||
Mirant* | 50,600 | 502 | ||||||
New Jersey Resources (A) | 48,670 | 2,098 | ||||||
Northeast Utilities | 122,474 | 3,809 | ||||||
NorthWestern (A) | 58,725 | 1,692 | ||||||
NV Energy | 137,270 | 1,879 | ||||||
Pinnacle West Capital | 32,800 | 1,326 | ||||||
PNM Resources | 122,380 | 1,466 | ||||||
Portland General Electric | 304,234 | 6,441 | ||||||
SCANA (A) | 47,097 | 1,913 | ||||||
South Jersey Industries | 15,517 | 794 | ||||||
UGI | 147,647 | 4,381 | ||||||
Unisource Energy | 20,900 | 735 | ||||||
Vectren | 56,834 | 1,472 | ||||||
Westar Energy (A) | 56,609 | 1,410 | ||||||
Wisconsin Energy | 55,062 | 3,316 | ||||||
Xcel Energy | 95,329 | 2,240 | ||||||
75,625 | ||||||||
Total Common Stock (Cost $1,566,469) ($ Thousands) | 1,922,532 | |||||||
AFFILIATED PARTNERSHIP — 29.6% |
| |||||||
SEI Liquidity Fund, L.P. 0.210% (D)**† | 597,115 | 588,950 | ||||||
Total Affiliated Partnership (Cost $597,115) ($ Thousands) | 588,950 | |||||||
CASH EQUIVALENT — 4.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 83,708 | 83,708 | ||||||
Total Cash Equivalent (Cost $83,708) ($ Thousands) | 83,708 | |||||||
U.S. TREASURY OBLIGATION (B)(C) — 0.3% |
| |||||||
U.S. Treasury Bill 0.082%, 12/16/10 | $ | 6,756 | 6,756 | |||||
Total U.S. Treasury Obligation (Cost $6,756) ($ Thousands) | 6,756 | |||||||
EXCHANGE TRADED FUNDS —0.2% |
| |||||||
iShares Russell 2000 Growth Index Fund(A) | 29,800 | 2,427 | ||||||
iShares Russell 2000 Index Fund | 10,889 | 791 | ||||||
Powershares QQQ | 4,435 | 231 | ||||||
SPDR S&P MidCap 400 ETF Trust | 1,359 | 211 | ||||||
Total Exchange Traded Funds (Cost $3,519) ($ Thousands) | 3,660 | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Callaway Golf (E) | 6,300 | 791 | ||||||
Financials — 0.0% | ||||||||
Grubb & Ellis* | 8,000 | 696 | ||||||
Total Preferred Stock (Cost $1,420) ($ Thousands) | 1,487 | |||||||
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Description | Number of Contracts/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WARRANTS — 0.0% | ||||||||
Cullen Agricultural Holding, | 152,271 | $ | — | |||||
Oilsands Quest, Expires 05/12/11* | 179,650 | 6 | ||||||
Rentech, Expires 04/25/12 (F)(G)(H)* | 13,800 | — | ||||||
Sandstorm Resources, Expires 04/23/14* | 158,125 | 52 | ||||||
Titanium Asset Management, Expires 06/21/11(F)(G)(H)* | 105,000 | — | ||||||
Total Warrants (Cost $122) ($ Thousands) |
| 58 | ||||||
CONVERTIBLE BOND — 0.0% |
| |||||||
Energy — 0.0% | ||||||||
Rentech | ||||||||
4.000%, 04/15/13 | $ | 990 | 886 | |||||
Total Convertible Bond | 886 | |||||||
Total Investments — 131.0% |
| $ | 2,608,037 | |||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 331 | Dec-2010 | $ | 909 | ||||||||
S&P Mid 400 Index E-MINI | 182 | Dec-2010 | 492 | |||||||||
$ | 1,401 | |||||||||||
For the year ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||||||
1/5/11 | AUD | 1,236 | USD | 1,188 | $ | 8 | ||||||||||||||
1/5/11 | USD | 1,205 | AUD | 1,236 | (25 | ) | ||||||||||||||
$ | (17 | ) | ||||||||||||||||||
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized ($ Thousands) | |||||||||
Barclay’s Capital | $ | 1,265 | $ | 1,273 | $ | 8 | ||||||
Deutsche Bank Securities | 499 | 487 | (12 | ) | ||||||||
UBS | 293 | 284 | (9 | ) | ||||||||
Westpac Banking | 268 | 264 | (4 | ) | ||||||||
$ | (17 | ) | ||||||||||
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010
|
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2010
Percentages are based on a Net Assets of $1,991,012 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $577,992 ($ Thousands). |
(B) | Zero coupon security. The rate reported is the 7-day effective yield as of November 30, 2010. |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $588,950 ($ Thousands). |
(E) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(F) | Securities considered illiquid. The total value of such securities as of November 30, 2010 was $388 ($ Thousands) and represented 0.02% of Net Assets. |
(G) | Securities considered restricted. The total value of such securities as of November 30, 2010 was $388 ($ Thousands) and represented 0.02% of net assets. |
(H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of November 30, 2010 was $388 ($ Thousands) and represented 0.02% of net assets. |
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,922,107 | $ | 124 | $ | 301 | $ | 1,922,532 | ||||||||
Affiliated Partnership | — | 588,950 | — | 588,950 | ||||||||||||
Cash Equivalent | 83,708 | — | — | 83,708 | ||||||||||||
U.S. Treasury Obligations | — | 6,756 | — | 6,756 | ||||||||||||
Exchange Traded Funds | 3,660 | — | — | 3,660 | ||||||||||||
Preferred Stock | — | 1,487 | — | 1,487 | ||||||||||||
Convertible Bonds | — | 886 | — | 886 | ||||||||||||
Warrants | — | 58 | — | 58 | ||||||||||||
Total Investments in Securities | $ | 2,009,475 | $ | 598,261 | $ | 301 | $ | 2,608,037 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,401 | $ | — | $ | — | $ | 1,401 | ||||||||
Total Other Financial Instruments | $ | 1,401 | $ | — | $ | — | $ | 1,401 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2010 | $ | 308 | $ | 699 | ||||
Accrued discounts/premiums | — | (9 | ) | |||||
Realized gain/(loss) | — | (639 | ) | |||||
Change in unrealized appreciation/(depreciation) | (7 | ) | 414 | |||||
Net purchases/sales | — | (465 | ) | |||||
Net transfer in and/or out of Level 3 | — | — | ||||||
Ending balance as of November 30, 2010 | $ | 301 | $ | — | ||||
Changes in unrealized | ||||||||
gains/(losses) included | ||||||||
securities still held | $ | (7 | ) | $ | — | |||
For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
11 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.4% | ||||||||
Consumer Discretionary — 8.6% | ||||||||
Advance Auto Parts | 9,100 | $ | 601 | |||||
Amazon.com* | 10,734 | 1,883 | ||||||
Autoliv | 5,580 | 410 | ||||||
Career Education* | 15,550 | 277 | ||||||
Carter’s* | 14,390 | 455 | ||||||
Choice Hotels International | 7,100 | 264 | ||||||
Cinemark Holdings | 27,100 | 476 | ||||||
DeVry | 4,700 | 202 | ||||||
DIRECTV, Cl A* | 14,150 | 588 | ||||||
Discovery Communications, Cl A* | 15,980 | 652 | ||||||
DreamWorks Animation SKG, Cl A* | 15,500 | 480 | ||||||
GameStop, Cl A* | 23,100 | 460 | ||||||
Genuine Parts | 10,600 | 510 | ||||||
Gildan Activewear, Cl A | 7,410 | 223 | ||||||
H&R Block | 41,200 | 519 | ||||||
ITT Educational Services* | 6,900 | 403 | ||||||
Panera Bread, Cl A* | 6,200 | 622 | ||||||
PetSmart | 6,156 | 233 | ||||||
priceline.com* | 4,702 | 1,853 | ||||||
Regal Entertainment Group, Cl A | 14,780 | 199 | ||||||
Shaw Communications, Cl B | 14,200 | 285 | ||||||
Strayer Education | 3,000 | 407 | ||||||
12,002 | ||||||||
Consumer Staples — 17.5% | ||||||||
Altria Group | 71,246 | 1,710 | ||||||
Brown-Forman, Cl B | 24,736 | 1,618 | ||||||
Campbell Soup | 33,039 | 1,120 | ||||||
Church & Dwight | 8,130 | 530 | ||||||
Clorox | 7,300 | 451 | ||||||
Dean Foods* | 43,400 | 316 | ||||||
Flowers Foods | 25,840 | 677 | ||||||
General Mills | 15,980 | 565 | ||||||
Hansen Natural* | 7,826 | 417 | ||||||
Hershey | 44,189 | 2,068 | ||||||
Hormel Foods | 54,833 | 2,691 | ||||||
Kellogg | 20,460 | 1,007 | ||||||
Kimberly-Clark | 31,354 | 1,941 | ||||||
Kroger | 13,500 | 318 | ||||||
Lorillard | 20,920 | 1,665 | ||||||
McCormick | 22,330 | 983 | ||||||
Philip Morris International | 30,778 | 1,751 | ||||||
Ralcorp Holdings* | 7,510 | 465 | ||||||
Reynolds American | 54,646 | 1,690 | ||||||
Ruddick | 11,310 | 416 | ||||||
Sara Lee | 24,478 | 367 | ||||||
Sysco | 47,748 | 1,385 | ||||||
Tyson Foods, Cl A | 26,093 | 413 | ||||||
24,564 | ||||||||
Energy — 4.0% | ||||||||
Berry Petroleum, Cl A | 6,800 | 259 | ||||||
Chevron | 11,777 | 954 | ||||||
Dresser-Rand Group* | 10,970 | 416 | ||||||
Enbridge | 12,710 | 708 | ||||||
Exxon Mobil | 10,400 | 723 | ||||||
Imperial Oil | 6,310 | 229 |
Description | Shares | Market Value ($ Thousands) | ||||||
Murphy Oil | 4,910 | $ | 331 | |||||
PetroHawk Energy* | 34,700 | 619 | ||||||
Range Resources | 7,000 | 294 | ||||||
SEACOR Holdings* | 5,100 | 556 | ||||||
TransCanada | 16,080 | 568 | ||||||
5,657 | ||||||||
Financials — 13.9% | ||||||||
Allied World Assurance Holdings | 13,146 | 772 | ||||||
American Campus Communities‡ | 8,300 | 261 | ||||||
Arch Capital Group* | 20,721 | 1,871 | ||||||
Bank of Hawaii | 28,201 | 1,221 | ||||||
BOK Financial | 7,067 | 330 | ||||||
Brown & Brown | 11,800 | 270 | ||||||
Capitol Federal Financial | 22,926 | 535 | ||||||
Commerce Bancshares | 46,726 | 1,755 | ||||||
Corporate Office Properties Trust‡ | 13,770 | 467 | ||||||
Cullen/Frost Bankers | 26,418 | 1,414 | ||||||
East West Bancorp | 4,173 | 72 | ||||||
Endurance Specialty Holdings | 7,842 | 346 | ||||||
Erie Indemnity, Cl A | 9,500 | 598 | ||||||
Essex Property Trust‡ | 5,630 | 624 | ||||||
Federated Investors, Cl B | 18,100 | 429 | ||||||
First Citizens BancShares, Cl A | 2,849 | 495 | ||||||
Fulton Financial | 23,540 | 204 | ||||||
Health Care REIT‡ | 11,500 | 532 | ||||||
Home Properties‡ | 7,500 | 402 | ||||||
Hudson City Bancorp | 36,440 | 414 | ||||||
MFA Mortgage Investments‡ | 32,830 | 268 | ||||||
Moody’s | 7,400 | 199 | ||||||
NASDAQ OMX Group* | 9,200 | 197 | ||||||
PartnerRe | 4,739 | 367 | ||||||
Platinum Underwriters Holdings | 10,490 | 454 | ||||||
Prosperity Bancshares | 14,100 | 459 | ||||||
Public Storage‡ | 2,020 | 195 | ||||||
Realty Income‡ | 15,930 | 542 | ||||||
RenaissanceRe Holdings | 24,113 | 1,454 | ||||||
Senior Housing Properties Trust‡ | 16,200 | 362 | ||||||
Tanger Factory Outlet Centers‡ | 9,630 | 462 | ||||||
TFS Financial | 59,400 | 486 | ||||||
UMB Financial | 12,510 | 467 | ||||||
Washington Real Estate Investment Trust‡ | 18,390 | 564 | ||||||
19,488 | ||||||||
Health Care — 20.7% | ||||||||
Abbott Laboratories | 40,555 | 1,886 | ||||||
Alexion Pharmaceuticals* | 11,516 | 880 | ||||||
AmerisourceBergen | 76,620 | 2,364 | ||||||
Amgen* | 38,935 | 2,052 | ||||||
Becton Dickinson | 21,772 | 1,697 | ||||||
Biogen Idec* | 26,724 | 1,710 | ||||||
C.R. Bard | 25,860 | 2,194 | ||||||
Cardinal Health | 52,833 | 1,880 | ||||||
Celgene* | 6,740 | 400 | ||||||
Cephalon* | 1,721 | 109 | ||||||
Edwards Lifesciences* | 8,100 | 537 | ||||||
Eli Lilly | 42,271 | 1,423 | ||||||
Emergency Medical Services, Cl A* | 6,880 | 341 | ||||||
Endo Pharmaceuticals Holdings* | 15,200 | 547 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Forest Laboratories* | 42,613 | $ | 1,359 | |||||
Genzyme* | 10,908 | 777 | ||||||
Henry Schein* | 9,102 | 523 | ||||||
Johnson & Johnson | 23,581 | 1,452 | ||||||
LifePoint Hospitals* | 6,980 | 253 | ||||||
McKesson | 33,000 | 2,108 | ||||||
Myriad Genetics* | 16,030 | 345 | ||||||
Owens & Minor | 17,400 | 491 | ||||||
Patterson | 16,610 | 494 | ||||||
SXC Health Solutions* | 29,089 | 1,116 | ||||||
Techne | 23,180 | 1,392 | ||||||
United Therapeutics* | 10,400 | 654 | ||||||
28,984 | ||||||||
Industrials — 4.1% | ||||||||
Alliant Techsystems | 6,500 | 480 | ||||||
C.H. Robinson Worldwide | 9,140 | 674 | ||||||
CLARCOR | 4,910 | 200 | ||||||
FTI Consulting* | 10,490 | 374 | ||||||
Gardner Denver | 5,390 | 353 | ||||||
IHS, Cl A* | 3,800 | 275 | ||||||
KBR | 23,440 | 635 | ||||||
Landstar System | 11,940 | 429 | ||||||
Lennox International | 10,880 | 478 | ||||||
Lincoln Electric Holdings | 7,890 | 486 | ||||||
Nordson | 3,080 | 245 | ||||||
Raytheon | 4,430 | 205 | ||||||
Rollins | 22,720 | 614 | ||||||
Woodward Governor | 8,200 | 277 | ||||||
5,725 | ||||||||
Information Technology — 11.0% | ||||||||
Activision Blizzard | 50,540 | 593 | ||||||
ADTRAN | 17,280 | 538 | ||||||
Amdocs* | 10,617 | 276 | ||||||
Analog Devices | 45,810 | 1,629 | ||||||
CGI Group, Cl A* | 17,300 | 271 | ||||||
Cognizant Technology Solutions, Cl A* | 29,360 | 1,908 | ||||||
Computer Sciences | 7,287 | 325 | ||||||
Diebold | 8,370 | 263 | ||||||
FLIR Systems* | 9,190 | 246 | ||||||
Global Payments | 12,700 | 528 | ||||||
Harris | 11,020 | 488 | ||||||
IAC* | 9,300 | 262 | ||||||
Ingram Micro, Cl A* | 37,022 | 661 | ||||||
International Business Machines | 13,377 | 1,892 | ||||||
Lender Processing Services | 4,438 | 137 | ||||||
Microchip Technology | 11,288 | 380 | ||||||
NeuStar, Cl A* | 7,850 | 203 | ||||||
SAIC* | 4,396 | 67 | ||||||
Tech Data* | 32,513 | 1,433 | ||||||
Texas Instruments | 53,656 | 1,706 | ||||||
WebMD Health, Cl A* | 18,750 | 962 | ||||||
Xilinx | 3,578 | 97 | ||||||
Zebra Technologies, Cl A* | 15,113 | 551 | ||||||
15,416 | ||||||||
Materials — 3.1% | ||||||||
Aptargroup | 13,280 | 606 | ||||||
Compass Minerals International | 6,350 | 525 | ||||||
Greif, Cl A | 9,000 | 526 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intrepid Potash* | 15,590 | $ | 478 | |||||
Newmont Mining | 24,820 | 1,460 | ||||||
Reliance Steel & Aluminum | 4,800 | 213 | ||||||
Silgan Holdings | 16,170 | 554 | ||||||
4,362 | ||||||||
Telecommunication Services — 2.3% | ||||||||
AT&T | 24,100 | 670 | ||||||
BCE | 14,250 | 483 | ||||||
MetroPCS Communications* | 45,500 | 553 | ||||||
SBA Communications, Cl A* | 14,920 | 584 | ||||||
Telephone & Data Systems | 5,440 | 194 | ||||||
Verizon Communications | 24,494 | 784 | ||||||
3,268 | ||||||||
Utilities — 13.2% | ||||||||
AGL Resources | 27,868 | 1,024 | ||||||
Alliant Energy | 15,310 | 556 | ||||||
American Water Works | 17,800 | 436 | ||||||
Aqua America | 5,605 | 121 | ||||||
Atmos Energy | 39,928 | 1,201 | ||||||
Consolidated Edison | 13,810 | 668 | ||||||
DPL | 22,393 | 567 | ||||||
DTE Energy | 11,840 | 527 | ||||||
Edison International | 16,510 | 610 | ||||||
Energen | 5,680 | 247 | ||||||
Great Plains Energy | 24,400 | 455 | ||||||
Hawaiian Electric Industries | 18,920 | 414 | ||||||
IDACORP | 12,270 | 446 | ||||||
Integrys Energy Group | 13,369 | 651 | ||||||
ITC Holdings | 12,247 | 741 | ||||||
Nicor | 18,826 | 814 | ||||||
NSTAR | 43,325 | 1,794 | ||||||
OGE Energy | 13,330 | 593 | ||||||
Pepco Holdings | 12,510 | 230 | ||||||
PG&E | 9,770 | 459 | ||||||
Piedmont Natural Gas | 18,100 | 535 | ||||||
SCANA | 19,362 | 787 | ||||||
TECO Energy | 11,940 | 200 | ||||||
UGI | 30,226 | 897 | ||||||
Vectren | 39,829 | 1,032 | ||||||
WGL Holdings | 12,800 | 464 | ||||||
Wisconsin Energy | 32,156 | 1,936 | ||||||
18,405 | ||||||||
Total Common Stock (Cost $108,574) ($ Thousands) | 137,871 | |||||||
CASH EQUIVALENT — 1.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 2,205,050 | 2,205 | ||||||
Total Cash Equivalent | 2,205 | |||||||
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2010
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION — 0.5% | ||||||||
U.S. Treasury Bill | ||||||||
0.199%, 12/16/10 (A) (B) | $ | 779 | $ | 778 | ||||
Total U.S. Treasury Obligation | 778 | |||||||
Total Investments — 100.5% | $ | 140,854 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
|
| |||||||||
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||
S&P 500 Index E-MINI | 22 | Dec-2010 | $ | 39 | ||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $140,200 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust |
(A) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 137,871 | $ | — | $ | — | $ | 137,871 | ||||||||
Cash Equivalent | 2,205 | — | — | 2,205 | ||||||||||||
U.S. Treasury Obligation | — | 778 | — | 778 | ||||||||||||
Total Investments in Securities | $ | 140,076 | $ | 778 | $ | — | $ | 140,854 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
Total Other Financial Instruments | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
* | Future contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0, or have been rounded to $0.
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.9% | ||||||||
Argentina — 0.0% | ||||||||
Telecom Argentina ADR | 2,865 | $ | 69 | |||||
Australia — 4.0% | ||||||||
AGL Energy | 1,605 | 24 | ||||||
Alumina | 341,361 | 652 | ||||||
Amcor | 278,933 | 1,725 | ||||||
Asciano Group | 12,029 | 19 | ||||||
Ausdrill | 6,496 | 16 | ||||||
Australia & New Zealand Banking Group | 141,116 | 3,067 | ||||||
BGP Holdings* | 39,545 | — | ||||||
BHP Billiton | 63,563 | 2,605 | ||||||
Brambles | 11,792 | 77 | ||||||
Caltex Australia | 21,779 | 274 | ||||||
Centamin Egypt* | 419,300 | 1,212 | ||||||
Coca-Cola Amatil | 40,672 | 435 | ||||||
Cochlear | 2,007 | 151 | ||||||
Commonwealth Bank of Australia | 17,330 | 802 | ||||||
Dexus Property Group‡ | 146,774 | 110 | ||||||
Fairfax Media (A) | 171,953 | 226 | ||||||
Fortescue Metals Group* | 94,015 | 570 | ||||||
Foster’s Group | 13,165 | 71 | ||||||
Goodman Group‡ | 43,083 | 26 | ||||||
GPT Group‡ | 95,804 | 255 | ||||||
GrainCorp | 5,052 | 33 | ||||||
Intoll Group (B) | 123,498 | 179 | ||||||
MacArthur Coal | 7,425 | 85 | ||||||
Newcrest Mining | 62,683 | 2,384 | ||||||
Orica | 10,603 | 254 | ||||||
OZ Minerals | 361,403 | 530 | ||||||
Qantas Airways | 133,897 | 338 | ||||||
Rio Tinto (A) | 26,856 | 2,117 | ||||||
Santos | 92,609 | 1,104 | ||||||
SP AusNet, Cl Miscellaneous | 124,857 | 108 | ||||||
Stockland‡ | 68,639 | 242 | ||||||
STW Communications Group | 32,264 | 30 | ||||||
Suncorp-Metway | 1,677 | 14 | ||||||
Transurban Group | 17,229 | 86 | ||||||
Wesfarmers | 23,177 | 701 | ||||||
Westfield Group‡* | 27,123 | 256 | ||||||
Westpac Banking | 7,821 | 160 | ||||||
Whitehaven Coal | 65,400 | 423 | ||||||
Woolworths | 13,875 | 357 | ||||||
21,718 | ||||||||
Austria — 0.4% | ||||||||
IMMOFINANZ* | 84,583 | 301 | ||||||
OMV | 15,535 | 523 | ||||||
Telekom Austria | 1,154 | 16 | ||||||
Vienna Insurance Group | 22,905 | 1,068 | ||||||
Voestalpine | 3,263 | 133 | ||||||
2,041 | ||||||||
Belgium — 1.3% | ||||||||
Ageas | 232,475 | 533 | ||||||
Belgacom (A) | 27,430 | 931 | ||||||
Colruyt | 28,940 | 1,450 | ||||||
Delhaize Group | 1,011 | 69 |
Description | Shares | Market Value ($ Thousands) | ||||||
InBev | 62,091 | $ | 3,389 | |||||
KBC Groep | 13,548 | 476 | ||||||
Umicore | 4,283 | 204 | ||||||
7,052 | ||||||||
Bermuda — 0.1% | ||||||||
Axis Capital Holdings | 20,200 | 714 | ||||||
Brazil — 2.1% | ||||||||
Amil Participacoes | 152,917 | 1,489 | ||||||
Anhanguera Educacional Participacoes | 64,865 | 1,500 | ||||||
Banco Santander Brasil ADR | 75,300 | 983 | ||||||
Brasil Telecom ADR* | 26,400 | 542 | ||||||
Centrais Eletricas Brasileiras ADR | 99,901 | 1,337 | ||||||
Empresa Brasileira de Aeronautica ADR | 27,500 | 801 | ||||||
Itau Unibanco Holding ADR | 58,900 | 1,374 | ||||||
Petroleo Brasileiro ADR | 54,157 | 1,757 | ||||||
Porto Seguro | 94,100 | 1,412 | ||||||
11,195 | ||||||||
Canada — 4.2% | ||||||||
Agrium* | 500 | 40 | ||||||
Bankers Petroleum* | 129,900 | 838 | ||||||
Barrick Gold | 38,900 | 2,009 | ||||||
Canadian Natural Resources (A) | 13,700 | 527 | ||||||
Cenovus Energy | 37,600 | 1,081 | ||||||
CI Financial | 6,100 | 126 | ||||||
Domtar | 10,252 | 779 | ||||||
Dundee, Cl A* | 6,000 | 115 | ||||||
Eldorado Gold | 66,100 | 1,153 | ||||||
Fairfax Financial Holdings | 300 | 116 | ||||||
First Quantum Minerals | 24,529 | 2,178 | ||||||
Gildan Activewear | 5,700 | 172 | ||||||
Kinross Gold | 70,600 | 1,230 | ||||||
Magna International, Cl A | 17,292 | 824 | ||||||
Nexen | 63,700 | 1,333 | ||||||
Niko Resources | 19,547 | 1,754 | ||||||
Pacific Rubiales Energy | 63,600 | 1,981 | ||||||
Research In Motion* | 13,576 | 836 | ||||||
Silver Wheaton* | 68,200 | 2,517 | ||||||
Suncor Energy | 93,928 | 3,155 | ||||||
22,764 | ||||||||
Chile — 0.5% | ||||||||
Enersis ADR | 34,990 | 832 | ||||||
Sociedad Quimica y Minera de Chile ADR (A) | 36,100 | 1,831 | ||||||
2,663 | ||||||||
China — 0.9% | ||||||||
Bank of China, Cl H | 2,174,000 | 1,164 | ||||||
Baoye Group, Cl H | 44,000 | 26 | ||||||
China Minsheng Banking, Cl H | 20,900 | 19 | ||||||
China Vanke, Cl B | 456,800 | 577 | ||||||
Ctrip.com International ADR* | 28,061 | 1,230 | ||||||
Dongfeng Motor Group, Cl H | 34,000 | 65 | ||||||
Ping An Insurance Group of China, Cl H | 128,500 | 1,483 |
1 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Qingling Motors, Cl H | 298,000 | $ | 104 | |||||
4,668 | ||||||||
Cyprus — 0.0% | ||||||||
Bank of Cyprus Public | 3,500 | 13 | ||||||
Denmark — 1.2% | ||||||||
A P Moller - Maersk, Cl A | 4 | 32 | ||||||
A P Moller - Maersk, Cl B | 42 | 341 | ||||||
Carlsberg, Cl B | 9,344 | 885 | ||||||
Coloplast, Cl B | 2,707 | 361 | ||||||
Danske Bank | 2,521 | 63 | ||||||
Novo-Nordisk, Cl B | 29,206 | 2,897 | ||||||
Novozymes, Cl B | 2,691 | 352 | ||||||
PER Aarsleff, Cl B | 416 | 30 | ||||||
Royal UNIBREW | 858 | 45 | ||||||
TrygVesta | 28,322 | 1,225 | ||||||
6,231 | ||||||||
Finland — 1.3% | ||||||||
Kesko, Cl B | 3,899 | 179 | ||||||
Kone, Cl B | 14,654 | 769 | ||||||
Metso | 29,745 | 1,532 | ||||||
Nokia | 4,797 | 44 | ||||||
Nokia ADR(A) | 98,900 | 913 | ||||||
Nokian Renkaat | 5,767 | 186 | ||||||
Orion, Cl B | 9,494 | 193 | ||||||
Pohjola Bank, Cl A | 7,910 | 90 | ||||||
Sampo, Cl A | 16,074 | 394 | ||||||
Stora Enso, Cl R | 172,410 | 1,488 | ||||||
UPM-Kymmene | 32,351 | 482 | ||||||
Wartsila, Cl B | 12,192 | 846 | ||||||
7,116 | ||||||||
France — 8.0% | ||||||||
Accor | 732 | 31 | ||||||
Air Liquide | 272 | 32 | ||||||
Alcatel-Lucent | 633,361 | 1,725 | ||||||
Areva | 1,174 | 495 | ||||||
Arkema | 4,829 | 288 | ||||||
AXA | 49,914 | 718 | ||||||
BNP Paribas | 81,820 | 4,857 | ||||||
Bureau Veritas | 6,226 | 455 | ||||||
Carrefour | 22,873 | 1,038 | ||||||
Cegid Group | 1,081 | 30 | ||||||
Christian Dior | 2,031 | 282 | ||||||
Cie Generale d’Optique Essilor | 305 | 19 | ||||||
CNP Assurances | 42,662 | 686 | ||||||
Compagnie Generale des | 1,055 | 72 | ||||||
Danone | 1,370 | 80 | ||||||
Dassault Systemes | 2,043 | 140 | ||||||
Electricite de France(A) | 18,631 | 779 | ||||||
Eutelsat Communications | 46,264 | 1,562 | ||||||
Fonciere Des Regions‡ | 238 | 22 | ||||||
France Telecom | 4,268 | 87 | ||||||
Gaz de France | 46,780 | 1,556 | ||||||
Gecina‡ | 450 | 47 | ||||||
Gemalto | 13,047 | 512 | ||||||
Hermes International(A) | 2,112 | 401 |
Description | Shares | Market Value ($ Thousands) | ||||||
JC Decaux | 464 | $ | 12 | |||||
Lagardere S.C.A. | 371 | 14 | ||||||
Legrand | 2,686 | 103 | ||||||
L’Oreal | 835 | 89 | ||||||
LVMH Moet Hennessy Louis | 13,102 | 1,993 | ||||||
Natixis | 129,632 | 573 | ||||||
NetGem | 7,913 | 31 | ||||||
Peugeot | 34,335 | 1,284 | ||||||
PPR | 1,416 | 226 | ||||||
Publicis Groupe | 3,151 | 141 | ||||||
Renault | 9,169 | 482 | ||||||
Safran | 73,726 | 2,316 | ||||||
Sanofi-Aventis | 78,381 | 4,753 | ||||||
Schneider Electric | 33,671 | 4,740 | ||||||
SES Global | 259 | 6 | ||||||
Societe BIC | 463 | 38 | ||||||
Societe Generale | 20,272 | 942 | ||||||
Sodexo | 27,755 | 1,754 | ||||||
Technip | 17,055 | 1,328 | ||||||
Thales | 28,095 | 988 | ||||||
Total | 26,124 | 1,269 | ||||||
Vallourec | 18,702 | 1,781 | ||||||
Video Futur Entertainment Group* (A) | 7,913 | 3 | ||||||
Vinci(A) | 24,605 | 1,195 | ||||||
Vivendi | 45,312 | 1,108 | ||||||
43,083 | ||||||||
Germany — 7.6% | ||||||||
Adidas | 20,671 | 1,301 | ||||||
Allianz | 13,909 | 1,530 | ||||||
BASF | 38,191 | 2,859 | ||||||
Bayer | 8,987 | 654 | ||||||
Bayerische Motoren Werke | 9,141 | 689 | ||||||
Brenntag* | 13,160 | 1,140 | ||||||
Centrosolar Group* | 2,618 | 16 | ||||||
Commerzbank(A) | 33,225 | 243 | ||||||
Continental | 3,508 | 273 | ||||||
DaimlerChrysler | 15,215 | 988 | ||||||
Deutsche Bank | 7,843 | 374 | ||||||
Deutsche Boerse | 26,106 | 1,583 | ||||||
Deutsche Lufthansa | 13,024 | 278 | ||||||
Deutsche Post | 79,365 | 1,275 | ||||||
Deutsche Telekom | 18,664 | 240 | ||||||
E.ON | 31,053 | 894 | ||||||
Fraport Frankfurt Airport Services | 1,358 | 80 | ||||||
Fresenius | 1,482 | 127 | ||||||
Fresenius Medical Care | 60,515 | 3,503 | ||||||
GEA Group | 65,257 | 1,573 | ||||||
Hannover Rueckversicherung | 2,422 | 113 | ||||||
Henkel | 4,107 | 209 | ||||||
Infineon Technologies* | 118,494 | 1,056 | ||||||
Linde | 32,959 | 4,616 | ||||||
MAN | 5,214 | 615 | ||||||
Merck KGaA | 1,774 | 139 | ||||||
Muenchener Rueckversicherungs | 6,050 | 843 | ||||||
RWE | 6,031 | 376 | ||||||
SAP ADR(A) | 27,000 | 1,267 | ||||||
SAP | 47,810 | 2,237 | ||||||
Siemens | 48,041 | 5,271 |
2 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010
|
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value | ||||||
Suedzucker | 11,278 | $ | 242 | |||||
ThyssenKrupp | 57,685 | 2,209 | ||||||
Tognum | 72,183 | 1,716 | ||||||
TUI(A) | 18,991 | 201 | ||||||
Volkswagen | 212 | 29 | ||||||
Wacker Chemie | 903 | 156 | ||||||
40,915 | ||||||||
Greece — 0.1% | ||||||||
OPAP | 36,763 | 593 | ||||||
Hong Kong — 4.1% | ||||||||
AIA Group* | 478,100 | 1,382 | ||||||
ASM Pacific Technology | 20,400 | 193 | ||||||
Bank of East Asia | 6,200 | 26 | ||||||
BOC Hong Kong Holdings | 126,600 | 435 | ||||||
Cathay Pacific Airways | 487,200 | 1,421 | ||||||
Cheung Kong Holdings | 23,009 | 340 | ||||||
Cheung Kong Infrastructure Holdings | 2,000 | 9 | ||||||
China Mobile ADR | 27,800 | 1,386 | ||||||
China Mobile | 124,500 | 1,242 | ||||||
CLP Holdings | 11,900 | 98 | ||||||
CNOOC | 624,000 | 1,353 | ||||||
First Pacific | 36,000 | 31 | ||||||
Genting Singapore* | 262,000 | 395 | ||||||
Hang Lung Group | 36,200 | 232 | ||||||
Hang Lung Properties | 33,200 | 155 | ||||||
Hong Kong & China Gas | 55,200 | 135 | ||||||
Hong Kong Exchanges and Clearing | 3,400 | 78 | ||||||
HongKong Electric Holdings | 16,300 | 105 | ||||||
Hongkong Land Holdings | 69,000 | 468 | ||||||
Hutchison Telecommunications Hong Kong Holdings | 228,000 | 69 | ||||||
Hutchison Whampoa | 136,600 | 1,367 | ||||||
Hysan Development | 29,900 | 124 | ||||||
Jardine Strategic Holdings | 69,953 | 1,833 | ||||||
Kerry Properties | 179,500 | 906 | ||||||
Li & Fung | 59,100 | 368 | ||||||
New World Development | 161,000 | 320 | ||||||
Orient Overseas International | 60,100 | 583 | ||||||
Pico Far East Holdings | 202,000 | 39 | ||||||
Shangri-La Asia | 63,300 | 159 | ||||||
Sun Hung Kai Properties | 107,000 | 1,769 | ||||||
Swire Pacific, Cl A | 223,000 | 3,434 | ||||||
Vedan International Holdings | 220,000 | 18 | ||||||
Wharf Holdings | 44,300 | 298 | ||||||
Wheelock | 82,383 | 296 | ||||||
Wing Hang Bank | 7,000 | 92 | ||||||
Yue Yuen Industrial Holdings | 276,400 | 998 | ||||||
22,157 | ||||||||
India — 0.0% | ||||||||
ICICI Bank ADR | 264 | 13 | ||||||
State Bank of India GDR | 1,857 | 241 | ||||||
254 | ||||||||
Description | Shares | Market Value | ||||||
Ireland — 0.6% | ||||||||
Experian | 230,573 | $ | 2,637 | |||||
Smurfit Kappa Group(C) | 52,002 | 463 | ||||||
3,100 | ||||||||
Israel — 0.6% | ||||||||
Israel* | 90 | 96 | ||||||
Israel Chemicals | 18,410 | 265 | ||||||
Mizrahi Tefahot Bank | 3,885 | 39 | ||||||
Teva Pharmaceutical Industries ADR | 47,061 | 2,355 | ||||||
Teva Pharmaceutical Industries | 11,384 | 581 | ||||||
3,336 | ||||||||
Italy — 1.2% | ||||||||
Enel(A) | 207,489 | 978 | ||||||
Enel Green Power* | 7,400 | 15 | ||||||
ENI | 10,962 | 221 | ||||||
ERG | 39,871 | 499 | ||||||
Exor | 2,566 | 68 | ||||||
Fiat | 1,349 | 22 | ||||||
Mediaset | 133,802 | 742 | ||||||
Pirelli | 9,732 | 74 | ||||||
Saipem | 4,815 | 201 | ||||||
Servizi Italia | 2,512 | 20 | ||||||
Snam Rete Gas | 135,495 | 646 | ||||||
Telecom Italia | 1,964,655 | 2,129 | ||||||
UniCredito Italiano | 315,814 | 613 | ||||||
6,228 | ||||||||
Japan — 18.1% | ||||||||
Aeon | 107,500 | 1,310 | ||||||
Aeon Mall | 5,000 | 111 | ||||||
Airport Facilities | 14,700 | 57 | ||||||
Aisin Seiki | 12,500 | 405 | ||||||
All Nippon Airways | 51,700 | 183 | ||||||
Asahi Breweries | 10,600 | 206 | ||||||
Asahi Glass | 24,300 | 271 | ||||||
Asahi Kasei | 53,000 | 315 | ||||||
Asics | 2,100 | 23 | ||||||
Autobacs Seven | 1,400 | 51 | ||||||
Bando Chemical Industries | 25,000 | 89 | ||||||
BML | 3,500 | 90 | ||||||
Bridgestone | 115,900 | 2,134 | ||||||
Brother Industries | 70,700 | 1,003 | ||||||
Canon | 8,200 | 386 | ||||||
Central Glass | 20,000 | 84 | ||||||
Central Japan Railway | 145 | 1,118 | ||||||
Chubu Shiryo | 3,000 | 18 | ||||||
Coca-Cola Central Japan | 4,200 | 54 | ||||||
Coca-Cola West | 102,300 | 1,702 | ||||||
Cosmo Oil | 11,300 | 32 | ||||||
Credit Saison | 4,200 | 67 | ||||||
Dai Nippon Printing | 126,000 | 1,585 | ||||||
Daicel Chemical Industries | 122,200 | 832 | ||||||
Daido Steel | 60,500 | 324 | ||||||
Daihatsu Motor | 46,000 | 645 | ||||||
Dai-ichi Life Insurance | 66 | 95 |
3 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value | ||||||
Daiichikosho | 5,100 | $ | 91 | |||||
Daito Trust Construction | 3,600 | 223 | ||||||
Dena | 13,800 | 402 | ||||||
Denki Kagaku Kogyo | 3,900 | 17 | ||||||
Denso | 8,000 | 261 | ||||||
Dentsu | 4,300 | 116 | ||||||
Ebara | 22,000 | 94 | ||||||
EDION | 17,000 | 133 | ||||||
FamilyMart | 2,400 | 82 | ||||||
Fanuc | 12,400 | 1,775 | ||||||
Fuji Electric Holdings | 79,000 | 211 | ||||||
Fuji Heavy Industries | 44,100 | 326 | ||||||
FUJI SOFT INC | 2,400 | 35 | ||||||
FUJIFILM Holdings | 36,200 | 1,215 | ||||||
Fujitsu | 324,000 | 2,077 | ||||||
FuKoKu | 2,800 | 24 | ||||||
Fukuoka Financial Group | 19,000 | 73 | ||||||
HAJIME CONSTRUCTION | 4,400 | 135 | ||||||
Hamamatsu Photonics | 2,400 | 79 | ||||||
Haseko | 436,500 | 391 | ||||||
Hino Motors | 34,600 | 171 | ||||||
Hisamitsu Pharmaceutical | 1,900 | 76 | ||||||
Hitachi | 422,100 | 1,995 | ||||||
Hitachi Metals | 13,100 | 150 | ||||||
Hokkaido Electric Power | 900 | 18 | ||||||
Honda Motor | 106,800 | 3,837 | ||||||
IBJ Leasing | 2,700 | 63 | ||||||
Idemitsu Kosan | 9,200 | 855 | ||||||
IHI | 8,000 | 16 | ||||||
Iida Home Max | 10,500 | 100 | ||||||
Imasen Electric Industrial | 6,800 | 91 | ||||||
Inabata | 32,300 | 164 | ||||||
Isuzu Motors | 99,100 | 441 | ||||||
Itochu | 20,300 | 188 | ||||||
Japan Real Estate Investment, Cl A‡ | 5 | 48 | ||||||
Japan Retail Fund Investment, Cl A‡ | 90 | 145 | ||||||
Japan Tobacco | 8 | 27 | ||||||
JFE Shoji Holdings | 25,000 | 102 | ||||||
JGC | 46,000 | 890 | ||||||
Joshin Denki | 7,000 | 65 | ||||||
JS Group | 51,400 | 948 | ||||||
JSP | 10,400 | 137 | ||||||
Jupiter Telecommunications | 2,116 | 2,152 | ||||||
JX Holdings | 154,470 | 955 | ||||||
Kajima | 4,900 | 12 | ||||||
Kamei | 6,000 | 26 | ||||||
Kansai Electric Power | 2,600 | 62 | ||||||
Kao | 23,600 | 592 | ||||||
Kawasaki Kisen Kaisha | 160,100 | 667 | ||||||
Kawasumi Laboratories | 3,000 | 18 | ||||||
KDDI | 453 | 2,587 | ||||||
Keikyu | 15,800 | 139 | ||||||
Keisei Electric Railway | 5,000 | 33 | ||||||
Kinden | 2,000 | 17 | ||||||
Kobe Steel | 222,600 | 505 | ||||||
Komatsu | 14,000 | 387 | ||||||
Konishi | 2,300 | 26 | ||||||
Kuraray | 7,900 | 109 | ||||||
Kyocera | 4,700 | 479 | ||||||
Mabuchi Motor | 20,900 | 1,004 |
Description | Shares | Market Value | ||||||
Makita | 36,100 | $ | 1,303 | |||||
Marubeni | 228,400 | 1,481 | ||||||
Marui Group | 11,600 | 94 | ||||||
Maruichi Steel Tube | 5,700 | 109 | ||||||
McDonald’s Holdings Japan | 1,400 | 35 | ||||||
Medipal Holdings | 28,600 | 307 | ||||||
MEIJI Holdings | 3,300 | 143 | ||||||
Mikuni Coca-Cola Bottling | 5,900 | 52 | ||||||
Mitsubishi | 106,400 | 2,688 | ||||||
Mitsubishi Chemical Holdings | 138,200 | 794 | ||||||
Mitsubishi Electric | 61,500 | 609 | ||||||
Mitsubishi Gas Chemical | 145,663 | 892 | ||||||
Mitsubishi Materials | 32,000 | 99 | ||||||
Mitsubishi UFJ Financial Group | 308,000 | 1,456 | ||||||
Mitsubishi UFJ Lease & Finance | 3,320 | 121 | ||||||
Mitsui | 25,700 | 401 | ||||||
Mitsui Chemicals | 47,000 | 144 | ||||||
Mitsui Mining & Smelting | 111,000 | 337 | ||||||
Mitsui OSK Lines | 47,700 | 327 | ||||||
Mitsui Sumitomo Insurance Group Holdings | 43,700 | 1,001 | ||||||
Mitsui Trust Holdings | 58,000 | 204 | ||||||
Mizuho Financial Group | 360,900 | 573 | ||||||
NEC Networks & System Integration | 10,200 | 120 | ||||||
NGK Spark Plug | 2,500 | 36 | ||||||
Nichii Gakkan | 22,500 | 188 | ||||||
Nichireki | 10,000 | 37 | ||||||
Nidec | 1,600 | 160 | ||||||
Nihon Shokuhin Kako | 1,000 | 5 | ||||||
Nintendo | 3,900 | 1,059 | ||||||
Nippon Electric Glass | 152,100 | 2,133 | ||||||
Nippon Meat Packers | 18,000 | 215 | ||||||
Nippon Steel Trading | 24,000 | 68 | ||||||
Nippon Synthetic Chemical Industry | 8,000 | 46 | ||||||
Nippon Telegraph & Telephone ADR | 72,000 | 1,630 | ||||||
Nippon Telegraph & Telephone | 53,800 | 2,434 | ||||||
Nippon Yusen | 46,500 | 203 | ||||||
Nishi-Nippon City Bank | 150,600 | 415 | ||||||
Nishio Rent All | 2,900 | 16 | ||||||
Nissan Motor | 26,100 | 245 | ||||||
Nisshin Fudosan | 16,700 | 114 | ||||||
Nisshin Steel | 184,000 | 336 | ||||||
Nisshinbo Holdings | 1,400 | 14 | ||||||
Nissin Sugar Manufacturing | 11,000 | 24 | ||||||
Nitori | 250 | 22 | ||||||
Nitto Denko | 2,300 | 95 | ||||||
NOK | 4,200 | 79 | ||||||
NTT DoCoMo | 59 | 96 | ||||||
Obayashi | 9,500 | 40 | ||||||
Odakyu Electric Railway, Cl B | 4,500 | 41 | ||||||
OJI Paper | 10,100 | 46 | ||||||
Omron | 9,400 | 232 | ||||||
Onoken | 2,600 | 21 | ||||||
Oracle Japan | 2,000 | 88 | ||||||
Oriental Land | 2,700 | 244 | ||||||
ORIX | 1,650 | 141 | ||||||
Panasonic | 37,600 | 540 | ||||||
Penta-Ocean Construction | 114,000 | 176 | ||||||
Resona Holdings(A) | 64,500 | 393 |
4 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Rinnai | 500 | $ | 29 | |||||
Rohm | 12,400 | 748 | ||||||
Roland | 6,800 | 73 | ||||||
Ryoden Trading | 4,000 | 22 | ||||||
S Foods | 3,500 | 28 | ||||||
San-Ai Oil | 16,000 | 70 | ||||||
Sankyo | 40,200 | 2,126 | ||||||
Sanshin Electronics | 5,700 | 45 | ||||||
Sapporo Hokuyo Holdings | 118,900 | 493 | ||||||
Scroll | 26,700 | 100 | ||||||
Sega Sammy Holdings | 36,100 | 607 | ||||||
Seino Holdings | 19,000 | 119 | ||||||
Sekisui Chemical | 257,000 | 1,764 | ||||||
Sekisui House | 83,000 | 788 | ||||||
Sekisui Jushi | 9,000 | 84 | ||||||
Seven & I Holdings | 45,900 | 1,120 | ||||||
Shimadzu | 3,900 | 29 | ||||||
Shimano | 3,300 | 159 | ||||||
Shin-Etsu Chemical | 25,400 | 1,240 | ||||||
Shinsei Bank(A) | 392,000 | 342 | ||||||
Shiseido | 59,700 | 1,247 | ||||||
Showa Shell Sekiyu | 12,400 | 103 | ||||||
SMC | 5,700 | 905 | ||||||
Softbank | 23,000 | 796 | ||||||
Sojitz | 176,400 | 341 | ||||||
Sony | 84,300 | 2,990 | ||||||
Sony Financial Holdings | 437 | 1,578 | ||||||
Sumitomo | 139,100 | 1,813 | ||||||
Sumitomo Electric Industries | 10,300 | 135 | ||||||
Sumitomo Metal Mining | 5,000 | 78 | ||||||
Sumitomo Mitsui Financial Group | 22,100 | 678 | ||||||
Sumitomo Realty & Development | 2,000 | 43 | ||||||
Sumitomo Rubber Industries | 6,300 | 64 | ||||||
Sumitomo Trust & Banking | 124,000 | 657 | ||||||
Sysmex | 1,500 | 95 | ||||||
T&K Toka | 2,100 | 26 | ||||||
Taisei | 2,400 | 5 | ||||||
Takagi Securities | 10,000 | 13 | ||||||
Takara Leben | 21,000 | 143 | ||||||
Takashimaya | 7,400 | 62 | ||||||
Takeda Pharmaceutical | 20,100 | 933 | ||||||
Tanabe Seiyaku | 5,700 | 90 | ||||||
Tohoku Electric Power | 700 | 15 | ||||||
Tokuyama | 5,000 | 25 | ||||||
Tokyo Electric Power | 2,100 | 49 | ||||||
Tokyo Electron | 15,100 | 946 | ||||||
Tokyo Gas | 60,800 | 265 | ||||||
Tokyu Community | 500 | 14 | ||||||
Tokyu Land | 8,000 | 36 | ||||||
Tomoku | 20,000 | 50 | ||||||
Tosei | 42 | 16 | ||||||
Toshiba TEC | 47,000 | 197 | ||||||
Tosoh | 80,000 | 224 | ||||||
Totetsu Kogyo | 13,000 | 82 | ||||||
Toyo Seikan Kaisha | 1,100 | 20 | ||||||
Toyo Tire & Rubber | 29,000 | 63 | ||||||
Toyota Auto Body | 9,000 | 159 | ||||||
Toyota Industries | 3,100 | 91 | ||||||
Toyota Motor | 34,600 | 1,330 | ||||||
Toyota Motor ADR | 11,237 | 873 | ||||||
Toyota Tsusho | 9,000 | 146 | ||||||
Tsukishima Kikai | 6,000 | 39 |
Description | Shares | Market Value ($ Thousands) | ||||||
Unicharm | 66,400 | $ | 2,592 | |||||
Unipres | 7,400 | 130 | ||||||
Universe | 3,600 | 50 | ||||||
USS | 1,220 | 88 | ||||||
Wacoal Holdings | 74,723 | 1,011 | ||||||
Yamaha Motor | 2,700 | 39 | ||||||
97,500 | ||||||||
Jersey — 0.0% | ||||||||
Randgold Resources | 1,489 | 139 | ||||||
Macau — 0.1% | ||||||||
Sands China* | 6,100 | 13 | ||||||
Wynn Macau | 132,800 | 269 | ||||||
282 | ||||||||
Malaysia — 0.2% | ||||||||
Axiata Group* | 641,100 | 927 | ||||||
Mexico — 0.1% | ||||||||
Telefonos de Mexico ADR(A) | 17,708 | 283 | ||||||
Netherlands — 5.6% | ||||||||
Aegon | 16,575 | 91 | ||||||
Akzo Nobel | 60,597 | 3,268 | ||||||
ASML Holding | 24,098 | 782 | ||||||
Boskalis Westminster | 1,736 | 75 | ||||||
Corio‡ | 472 | 27 | ||||||
European Aeronautic Defense and Space | 56,651 | 1,273 | ||||||
Fugro | 28,266 | 1,910 | ||||||
Heineken | 1,900 | 88 | ||||||
Heineken Holding | 215 | 9 | ||||||
ING Groep | 278,455 | 2,466 | ||||||
Koninklijke Ahold | 147,035 | 1,782 | ||||||
Koninklijke DSM | 25,168 | 1,233 | ||||||
Koninklijke Philips Electronics | 17,085 | 462 | ||||||
Koninklijke Vopak | 1,225 | 56 | ||||||
Reed Elsevier | 121,133 | 1,421 | ||||||
Royal Dutch Shell, Cl A | 81,606 | 2,464 | ||||||
Royal Dutch Shell, Cl B | 23,687 | 704 | ||||||
Royal Dutch Shell, Cl A (GBP)(B) | 38,163 | 1,150 | ||||||
Royal Dutch Shell ADR, Cl B | 22,100 | 1,333 | ||||||
Royal KPN | 125,797 | 1,799 | ||||||
TNT | 117,582 | 2,814 | ||||||
Unilever | 156,378 | 4,451 | ||||||
Wolters Kluwer | 36,833 | 732 | ||||||
30,390 | ||||||||
New Zealand — 0.1% | ||||||||
Fletcher Building | 3,843 | 23 | ||||||
Telecom of New Zealand | 348,411 | 560 | ||||||
583 | ||||||||
Norway — 1.2% | ||||||||
Aker Kvaerner | 75,671 | 1,120 | ||||||
Atea | 11,500 | 93 | ||||||
DnB | 286,345 | 3,504 | ||||||
Seadrill | 15,715 | 481 |
5 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Statoil | 32,958 | $ | 653 | |||||
Telenor | 39,156 | 563 | ||||||
Yara International | 5,322 | 254 | ||||||
6,668 | ||||||||
Portugal — 0.2% | ||||||||
Banco Espirito Santo | 25,219 | 91 | ||||||
Energias de Portugal | 86,407 | 277 | ||||||
Jeronimo Martins | 32,124 | 456 | ||||||
Portugal Telecom | 2,177 | 28 | ||||||
852 | ||||||||
Russia — 0.1% | ||||||||
Gazprom OAO ADR | 24,389 | 542 | ||||||
Singapore — 1.2% | ||||||||
CapitaMalls Asia | 8,000 | 12 | ||||||
City Developments | 13,000 | 124 | ||||||
CSE Global | 78,000 | 67 | ||||||
DBS Group Holdings | 128,400 | 1,360 | ||||||
Fraser and Neave | 53,400 | 243 | ||||||
Global Logistic Properties* | 10,000 | 17 | ||||||
GP Batteries International | 16,000 | 21 | ||||||
Ho Bee Investment | 98,000 | 116 | ||||||
Jardine Cycle & Carriage | 7,300 | 205 | ||||||
Keppel | 15,800 | 127 | ||||||
Keppel Land | 43,600 | 157 | ||||||
Oversea-Chinese Banking | 203,100 | 1,526 | ||||||
SembCorp Marine | 9,000 | 33 | ||||||
Singapore Airlines | 95,500 | 1,114 | ||||||
Singapore Exchange | 14,000 | 91 | ||||||
Singapore Press Holdings | 54,200 | 172 | ||||||
Singapore Technologies Engineering | 47,900 | 118 | ||||||
Transpac Industrial Holdings | 15,000 | 20 | ||||||
United Overseas Bank | 5,000 | 70 | ||||||
UOL Group | 93,000 | 318 | ||||||
Wheelock Properties Singapore | 23,370 | 34 | ||||||
Yangzijiang Shipbuilding Holdings | 530,900 | 723 | ||||||
6,668 | ||||||||
South Africa — 0.9% | ||||||||
AngloGold Ashanti ADR(A) | 29,000 | 1,358 | ||||||
Gold Fields | 69,295 | 1,130 | ||||||
Impala Platinum Holdings | 19,071 | 544 | ||||||
MTN Group | 91,690 | 1,566 | ||||||
4,598 | ||||||||
South Korea — 2.6% | ||||||||
Honda Motor Company* | 530 | 14 | ||||||
Hyundai Heavy Industries | 3,615 | 1,158 | ||||||
Hyundai Mobis | 12,585 | 2,985 | ||||||
Hyundai Motor | 11,627 | 1,730 | ||||||
Korea Electric Power ADR(A) | 65,888 | 785 | ||||||
KT ADR | 42,600 | 867 | ||||||
KT&G | 11,601 | 627 | ||||||
LG Display ADR | 1,404 | 24 | ||||||
Samsung Electronics | 5,045 | 3,594 | ||||||
Samsung SDI | 5,713 | 816 |
Description | Shares | Market Value ($ Thousands) | ||||||
SK Telecom ADR | 88,000 | $ | 1,582 | |||||
14,182 | ||||||||
Spain — 0.9% | ||||||||
Banco Bilbao Vizcaya Argentaria | 11,792 | 109 | ||||||
Banco de Sabadell(A) | 23,217 | 90 | ||||||
Banco Santander Central Hispano | 117,494 | 1,117 | ||||||
Criteria Caixacorp(A) | 84,958 | 418 | ||||||
Enagas | 46,512 | 862 | ||||||
Ferrovial | 4,422 | 42 | ||||||
Gas Natural | 15,836 | 214 | ||||||
Iberia Lineas Aereas de Espana | 18,832 | 76 | ||||||
Inditex | 10,283 | 777 | ||||||
Repsol | 896 | 22 | ||||||
Telefonica | 59,891 | 1,278 | ||||||
5,005 | ||||||||
Sweden — 2.1% | ||||||||
AarhusKarlshamn | 2,841 | 71 | ||||||
Alfa Laval | 15,525 | 273 | ||||||
Assa Abloy, Cl B | 15,781 | 424 | ||||||
Atlas Copco, Cl A | 23,785 | 525 | ||||||
Atlas Copco, Cl B | 15,906 | 313 | ||||||
Bilia, Cl A | 5,165 | 88 | ||||||
Elekta, Cl B | 18,765 | 632 | ||||||
Getinge, Cl B | 8,079 | 169 | ||||||
Hennes & Mauritz, Cl B | 5,518 | 186 | ||||||
Hexagon, Cl B(A) | 8,510 | 161 | ||||||
Holmen, Cl B | 1,387 | 41 | ||||||
Industrivarden, Cl C | 30,502 | 450 | ||||||
Kinnevik Investment, Cl B | 19,044 | 376 | ||||||
Millicom International Cellular | 3,839 | 333 | ||||||
Modern Times Group, Cl B | 2,960 | 216 | ||||||
Nordea Bank | 50,761 | 506 | ||||||
Ratos, Cl B | 5,369 | 179 | ||||||
Sandvik | 8,878 | 150 | ||||||
Scania, Cl B | 56,387 | 1,152 | ||||||
Skandinaviska Enskilda Banken, Cl A | 138,092 | 1,001 | ||||||
Skanska, Cl B | 7,306 | 130 | ||||||
SKF, Cl B | 18,253 | 487 | ||||||
Svenska Cellulosa, Cl B | 19,694 | 287 | ||||||
Svenska Handelsbanken, Cl A | 53,207 | 1,589 | ||||||
Swedbank, Cl A | 28,594 | 361 | ||||||
Swedish Match | 7,015 | 196 | ||||||
Tele2, Cl B | 18,452 | 368 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 2,411 | 25 | ||||||
Volvo, Cl B | 43,934 | 638 | ||||||
11,327 | ||||||||
Switzerland — 7.3% | ||||||||
ABB | 8,341 | 163 | ||||||
Actelion* | 612 | 32 | ||||||
Aryzta | 2,164 | 93 | ||||||
Clariant | 8,066 | 146 | ||||||
Coltene Holding | 472 | 26 | ||||||
Compagnie Financiere Richemont | 26,059 | 1,414 | ||||||
Credit Suisse Group | 30,230 | 1,124 | ||||||
Emmi | 200 | 36 | ||||||
Geberit | 143 | 29 | ||||||
Givaudan | 3,293 | 3,324 |
6 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Informa | 232,641 | $ | 1,432 | |||||
Julius Baer Group | 3,433 | 131 | ||||||
Julius Baer Holding | 12,216 | 181 | ||||||
Kuehne + Nagel International | 920 | 119 | ||||||
Lindt & Spruengli | 20 | 55 | ||||||
Logitech International* | 2,500 | 48 | ||||||
Lonza Group | 248 | 19 | ||||||
Nestle | 107,294 | 5,872 | ||||||
Novartis | 116,974 | 6,250 | ||||||
Roche Holding | 25,750 | 3,560 | ||||||
Schindler Holding | 7,653 | 872 | ||||||
SGS | 1,469 | 2,421 | ||||||
Sika | 106 | 213 | ||||||
Sonova Holding | 1,160 | 146 | ||||||
STMicroelectronics | 30,079 | 270 | ||||||
Sulzer | 18,449 | 2,416 | ||||||
Swatch Group, Cl B | 1,808 | 731 | ||||||
Swatch Group | 6,909 | 504 | ||||||
Swiss Life Holding | 3,119 | 349 | ||||||
Swisscom | 77 | 32 | ||||||
Transocean* | 5,279 | 365 | ||||||
UBS | 221,932 | 3,346 | ||||||
Xstrata | 118,429 | 2,383 | ||||||
Zurich Financial Services | 5,895 | 1,321 | ||||||
39,423 | ||||||||
Taiwan — 0.2% | ||||||||
Chunghwa Telecom ADR | 7,831 | 189 | ||||||
United Microelectronics ADR(A) | 241,944 | 689 | ||||||
878 | ||||||||
Thailand — 0.3% | ||||||||
Kasikornbank | 354,500 | 1,419 | ||||||
Turkey — 0.2% | ||||||||
Turkiye Garanti Bankasi | 217,599 | 1,204 | ||||||
United Kingdom — 15.9% | ||||||||
3i Group | 35,555 | 165 | ||||||
Admiral Group | 10,658 | 254 | ||||||
Aggreko | 16,751 | 382 | ||||||
Amec | 119,506 | 2,012 | ||||||
Amlin | 295,988 | 1,731 | ||||||
Anglo American | 7,131 | 313 | ||||||
Antofagasta | 71,784 | 1,470 | ||||||
ARM Holdings | 85,143 | 525 | ||||||
Associated British Foods | 9,318 | 154 | ||||||
AstraZeneca | 91,508 | 4,269 | ||||||
Aviva | 257,593 | 1,422 | ||||||
BAE Systems | 41,653 | 214 | ||||||
Balfour Beatty | 131,355 | 560 | ||||||
Barclays | 178,418 | 712 | ||||||
BG Group | 209,756 | 3,794 | ||||||
BHP Billiton | 5,249 | 187 | ||||||
BP | 298,949 | 1,983 | ||||||
British Airways* (A) | 19,316 | 77 | ||||||
British American Tobacco | 65,467 | 2,376 | ||||||
British Land‡ | 5,298 | 40 | ||||||
British Sky Broadcasting Group | 41,713 | 468 | ||||||
BT Group, Cl A | 70,696 | 187 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bunzl | 6,887 | $ | 75 | |||||
Burberry Group | 25,168 | 390 | ||||||
Cairn Energy* | 375,249 | 2,259 | ||||||
Cape | 17,519 | 98 | ||||||
Capital Shopping Centres Group‡* | 12,791 | 78 | ||||||
Carnival | 1,528 | 63 | ||||||
Centrica | 118,353 | 566 | ||||||
Compass Group | 56,183 | 486 | ||||||
Davis Service Group PLC | 60,400 | 368 | ||||||
Diageo | 33,447 | 596 | ||||||
Education Development International | 15,291 | 25 | ||||||
Firstgroup | 5,879 | 33 | ||||||
Fresnillo | 9,686 | 213 | ||||||
GlaxoSmithKline | 106,154 | 2,004 | ||||||
Hammerson‡ | 5,359 | 33 | ||||||
Hogg Robinson Group | 38,599 | 21 | ||||||
HSBC Holdings | 454,089 | 4,599 | ||||||
ICAP | 148,453 | 1,098 | ||||||
Imperial Tobacco Group | 46,961 | 1,379 | ||||||
Inmarsat | 526 | 5 | ||||||
Intercontinental Hotels Group | 23,509 | 417 | ||||||
International Power | 63,640 | 404 | ||||||
Intertek Group | 7,017 | 198 | ||||||
Investec | 5,758 | 45 | ||||||
ITV | 68,335 | 71 | ||||||
J Sainsbury | 12,801 | 71 | ||||||
Johnson Matthey | 152 | 4 | ||||||
Kingfisher | 938,084 | 3,433 | ||||||
Land Securities Group‡ | 3,998 | 39 | ||||||
Legal & General Group | 359,399 | 512 | ||||||
Lloyds Banking Group | 2,567,596 | 2,415 | ||||||
Michael Page International | 81,391 | 604 | ||||||
Morgan Sindall | 3,027 | 30 | ||||||
Next | 11,473 | 359 | ||||||
Old Mutual | 112,018 | 207 | ||||||
Pearson | 39,208 | 566 | ||||||
Petrofac | 14,340 | 311 | ||||||
Prudential | 35,097 | 310 | ||||||
Reckitt Benckiser Group | 11,311 | 599 | ||||||
Reed Elsevier | 189,739 | 1,504 | ||||||
Rexam | 203,882 | 957 | ||||||
Rio Tinto | 91,225 | 5,795 | ||||||
Rio Tinto ADR(A) | 23,200 | 1,488 | ||||||
Rolls-Royce Group | 388,654 | 3,686 | ||||||
Royal & Sun Alliance Insurance Group | 93,104 | 174 | ||||||
Royal Bank of Scotland Group* | 1,772,809 | 1,038 | ||||||
SABMiller | 23,995 | 760 | ||||||
Sage Group | 298,473 | 1,196 | ||||||
Savills | 8,095 | 43 | ||||||
Schroders | 2,963 | 74 | ||||||
Serco Group | 9,752 | 83 | ||||||
Severn Trent | 13,634 | 307 | ||||||
Shire | 30,700 | 718 | ||||||
Smith & Nephew | 101,015 | 916 | ||||||
Smiths Group | 20,880 | 370 | ||||||
Standard Chartered | 13,676 | 369 | ||||||
Standard Life | 26,439 | 83 | ||||||
Tesco | 524,714 | 3,385 |
7 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Travis Perkins | 45,605 | $ | 574 | |||||
Tullett Prebon | 24,976 | 136 | ||||||
Tullow Oil | 76,356 | 1,364 | ||||||
Unilever | 19,906 | 551 | ||||||
United Utilities Group | 28,447 | 264 | ||||||
Vodafone Group | 3,629,339 | 9,086 | ||||||
Whitbread | 4,422 | 116 | ||||||
Willis Group Holdings | 45,300 | 1,442 | ||||||
WPP | 52,921 | 586 | ||||||
85,344 | ||||||||
United States — 0.4% | ||||||||
Boise | 10,195 | 75 | ||||||
Capital One Financial | 6,472 | 241 | ||||||
Central Garden and Pet* | 4,700 | 44 | ||||||
Clearwater Paper* | 1,900 | 153 | ||||||
ConocoPhillips | 4,900 | 295 | ||||||
Eli Lilly | 36,589 | 1,232 | ||||||
Horace Mann Educators | 13,859 | 226 | ||||||
Humana* | 256 | 14 | ||||||
M&F Worldwide* | 1,500 | 35 | ||||||
RAIT Financial Trust‡* (A) | 64,752 | 104 | ||||||
2,419 | ||||||||
Total Common Stock | 516,543 | |||||||
WARRANTS — 0.3% | ||||||||
India — 0.3% | ||||||||
Shriram Transport Finance, Expires 2014* (D) | 78,465 | 1,383 | ||||||
Total Warrants | 1,383 | |||||||
PREFERRED STOCK — 0.3% | ||||||||
Germany — 0.3% | ||||||||
Bayerische Motoren Werke | 2,760 | 132 | ||||||
Draegerwerk | 1,189 | 88 | ||||||
Fresenius | 2,827 | 244 | ||||||
Henkel | 5,457 | 336 | ||||||
KSB | 173 | 125 | ||||||
Sto | 300 | 35 | ||||||
Volkswagen | 3,869 | 624 | ||||||
Total Preferred Stock | 1,584 | |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
China — 0.0% | ||||||||
Bank of China, Expires 12/07/10 | 217,400 | 39 | ||||||
Ind & Comm Bank of China, Expires 12/20/10 | 43,470 | 14 | ||||||
53 | ||||||||
Sweden — 0.0% | ||||||||
Hexagon, Expires 12/07/10 | 8,510 | 24 | ||||||
Total Rights (Cost $0) ($ Thousands) | 77 | |||||||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 3.0% | ||||||||
SEI Liquidity Fund, L.P. 0.210%**† (B) | 16,734,018 | $ | 15,976 | |||||
Total Affiliated Partnership (Cost $16,734) ($ Thousands) | 15,976 | |||||||
CASH EQUIVALENT — 1.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.120%**† | 10,137,410 | 10,137 | ||||||
Total Cash Equivalent (Cost $10,137) ($ Thousands) | 10,137 | |||||||
U.S. TREASURY OBLIGATION — 0.6% | ||||||||
U.S. Treasury Bill | ||||||||
0.199%, 12/16/10 (E) (G) | $ | 3,406 | 3,405 | |||||
Total U.S. Treasury Obligation (Cost $3,405) ($ Thousands) | 3,405 | |||||||
Total Investments — 102.0% (Cost $511,750) ($ Thousands) | $ | 549,105 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 128 | Dec-2010 | $ | (261 | ) | |||||||
FTSE Index | 40 | Dec-2010 | (82 | ) | ||||||||
Hang Seng Index | 2 | Dec-2010 | (2 | ) | ||||||||
Nikkei 225 Index | 5 | Dec-2010 | 21 | |||||||||
SPI 200 Index | 9 | Dec-2010 | (16 | ) | ||||||||
Topix Index | 26 | Dec-2010 | 160 | |||||||||
$ | (180 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $538,304 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
8 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2010
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $15,751 ($ Thousands). |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | Variable Rate Security. The rate is the rate in effect as of November 30, 2010. The date reported is the final maturity date. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(E) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(F) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $15,976 ($ Thousands). |
(G) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
ARM — Adjustable Rate Mortgage
Cl — Class
DJ — Dow Jones
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound Sterling
GDR — Global Depositary Receipt
L.P. — Limited Partnership
SPI — Share Price Index
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 516,543 | $ | — | $ | — | $ | 516,543 | ||||||||
Warrants | — | 1,383 | — | 1,383 | ||||||||||||
Preferred Stock | 1,584 | — | — | 1,584 | ||||||||||||
Rights | 77 | — | — | 77 | ||||||||||||
Affiliated Partnership | — | 15,976 | — | 15,976 | ||||||||||||
Cash Equivalent | 10,137 | — | — | 10,137 | ||||||||||||
U.S. Treasury Obligation | — | 3,405 | — | 3,405 | ||||||||||||
Total Investments in Securities | $ | 528,341 | $ | 20,764 | $ | — | $ | 549,105 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (180 | ) | $ | — | $ | — | $ | (180 | ) | ||||||
Total Other Financial Instruments | $ | (180 | ) | $ | — | $ | — | $ | (180 | ) | ||||||
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $109,092 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
9 | SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.8% | ||||||||
Argentina — 0.1% | ||||||||
Tenaris ADR | 53,083 | $ | 2,260 | |||||
Australia — 3.3% | ||||||||
Aditya Birla Minerals* | 166,691 | 189 | ||||||
Australia & New Zealand Banking Group ADR(A) | 741,400 | 16,251 | ||||||
Australia & New Zealand Banking Group | 356,975 | 7,758 | ||||||
Beach Energy | 1,020,311 | 656 | ||||||
BGP Holdings* | 239,898 | — | ||||||
BHP Billiton | 696,200 | 28,537 | ||||||
Caltex Australia | 678,351 | 8,548 | ||||||
Coal & Allied Industries | 3,073 | 332 | ||||||
Coca-Cola Amatil | 90,736 | 969 | ||||||
Dexus Property Group‡ | 148,686 | 111 | ||||||
Equinox Minerals* (A) | 713,996 | 3,869 | ||||||
Fairfax Media(A) | 470,307 | 618 | ||||||
Fortescue Metals Group* | 478,664 | 2,901 | ||||||
Foster’s Group | 22,234 | 121 | ||||||
GPT Group‡ | 347,310 | 926 | ||||||
GrainCorp | 14,734 | 97 | ||||||
Myer Holdings | 1,088,000 | 3,809 | ||||||
New Hope | 153,778 | 720 | ||||||
Orica | 62,078 | 1,487 | ||||||
OZ Minerals | 7,175,438 | 10,529 | ||||||
Qantas Airways | 663,013 | 1,672 | ||||||
Rio Tinto(A) | 328,074 | 25,866 | ||||||
Santos | 820,280 | 9,778 | ||||||
SP AusNet, Cl Miscellaneous | 430,728 | 372 | ||||||
Stockland‡ | 368,448 | 1,297 | ||||||
Straits Resources | 50,042 | 106 | ||||||
Telstra ADR(A) | 1,087,700 | 14,738 | ||||||
Westfield Group‡* | 133,478 | 1,258 | ||||||
Woolworths | 143,059 | 3,677 | ||||||
147,192 | ||||||||
Austria — 0.1% | ||||||||
IMMOFINANZ* | 411,371 | 1,465 | ||||||
OMV | 8,162 | 275 | ||||||
Voestalpine | 53,401 | 2,173 | ||||||
3,913 | ||||||||
Belgium — 0.9% | ||||||||
Delhaize Group ADR(A) | 321,500 | 22,058 | ||||||
D’ieteren | 1,877 | 994 | ||||||
InBev | 210,219 | 11,473 | ||||||
KBC Groep | 83,410 | 2,934 | ||||||
Telenet Group Holding | 36,613 | 1,330 | ||||||
Umicore | 35,696 | 1,699 | ||||||
40,488 | ||||||||
Bermuda — 0.1% | ||||||||
Frontline(A) | 246,400 | 6,391 | ||||||
Brazil — 3.8% | ||||||||
Banco Bradesco ADR(A) | 784,400 | 15,735 |
Description | Shares | Market Value ($ Thousands) | ||||||
Banco do Brasil | 120,182 | $ | 2,299 | |||||
BM&F Bovespa SA | 2,071,700 | 15,719 | ||||||
BR Properties | 93,400 | 1,059 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR(A) | 718,700 | 32,449 | ||||||
Cia Paranaense de Energia ADR(A) | 1,025,600 | 25,681 | ||||||
Cia Vale do Rio Doce | 289,900 | 9,028 | ||||||
Embraer | 259,600 | 1,870 | ||||||
Empresa Brasileira de Aeronautica ADR(A) | 263,500 | 7,673 | ||||||
Fleury | 198,212 | 2,628 | ||||||
Hypermarcas* | 216,000 | 3,407 | ||||||
Iguatemi Empresa de Shopping Centers | 43,800 | 1,082 | ||||||
Julio Simoes Logistica* | 270,600 | 1,650 | ||||||
Lojas Renner | 98,400 | 3,434 | ||||||
Natura Cosmeticos | 455,000 | 12,191 | ||||||
Petroleo Brasileiro ADR | 398,700 | 12,934 | ||||||
Petroleo Brasileiro | 627,470 | 9,985 | ||||||
SLC Agricola | 176,802 | 1,929 | ||||||
Totvs | 72,300 | 7,162 | ||||||
Wilson Sons, Cl BDR | 74,361 | 1,237 | ||||||
169,152 | ||||||||
Canada — 7.0% | ||||||||
Agrium | 274,600 | 22,023 | ||||||
Alimentation Couche Tard, Cl B | 91,630 | 2,304 | ||||||
Atco, Cl I | 2,400 | 134 | ||||||
Bank of Montreal(A) | 43,325 | 2,539 | ||||||
Barrick Gold | 176,220 | 9,094 | ||||||
BCE(A) | 81,700 | 2,761 | ||||||
Brookfield Asset Management, Cl A | 143,894 | 4,207 | ||||||
Brookfield Properties(A) | 83,900 | 1,359 | ||||||
Canadian Imperial Bank of Commerce(A) | 94,600 | 7,281 | ||||||
Canadian National Railway | 445,828 | 28,466 | ||||||
Canadian Natural Resources(A) | 741,900 | 28,525 | ||||||
Canadian Pacific Railway | 38,016 | 2,426 | ||||||
Canadian Tire, Cl A | 31,900 | 1,973 | ||||||
Cascades | 32,900 | 195 | ||||||
Celestica* | 103,900 | 924 | ||||||
Cenovus Energy | 55,817 | 1,605 | ||||||
Centerra Gold | 109,500 | 2,137 | ||||||
CGI Group, Cl A* | 338,909 | 5,312 | ||||||
CI Financial | 19,500 | 402 | ||||||
Domtar | 59,590 | 4,524 | ||||||
Dorel Industries, Cl B | 33,200 | 1,073 | ||||||
Dundee, Cl A* | 11,100 | 213 | ||||||
Empire, Cl A | 10,300 | 573 | ||||||
Enbridge(A) | 136,980 | 7,620 | ||||||
EnCana | 218,513 | 6,048 | ||||||
Finning International | 38,579 | 931 | ||||||
George Weston | 20,382 | 1,555 | ||||||
Gildan Activewear | 74,400 | 2,241 | ||||||
IAMGOLD | 96,832 | 1,588 | ||||||
IESI-BFC | 8,400 | 182 | ||||||
Imax* (A) | 174,028 | 4,735 | ||||||
Intact Financial | 2,600 | 124 | ||||||
Loblaw(A) | 43,100 | 1,720 | ||||||
Lundin Mining* | 471,200 | 3,032 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Magna International, Cl A | 393,500 | $ | 18,760 | |||||
Manulife Financial | 22,800 | 317 | ||||||
Metro, Cl A | 6,200 | 280 | ||||||
National Bank of Canada(A) | 33,200 | 2,193 | ||||||
Nexen | 756,543 | 15,825 | ||||||
Norbord* | 48,403 | 570 | ||||||
Nordion* | 47 | 1 | ||||||
Northgate Minerals* | 241,700 | 722 | ||||||
Onex | 58,200 | 1,601 | ||||||
Pacific Rubiales Energy | 311,148 | 9,694 | ||||||
Potash Corp of Saskatchewan | 50,250 | 7,223 | ||||||
Potash Saskatchewan | 52,300 | 7,521 | ||||||
Quebecor, Cl B | 24,700 | 897 | ||||||
Research In Motion* | 252,942 | 15,621 | ||||||
RioCan Real Estate Investment Trust‡ (A) | 53,600 | 1,125 | ||||||
Rogers Communications, Cl B(A) | 49,500 | 1,749 | ||||||
Saputo | 88,500 | 3,223 | ||||||
SEMAFO* | 97,100 | 1,172 | ||||||
Teck Cominco, Cl B | 80,193 | 3,983 | ||||||
TELUS | 9,100 | 413 | ||||||
Tesco ADR | 23,996 | 317 | ||||||
Tim Hortons | 15,400 | 607 | ||||||
TMX Group | 8,700 | 298 | ||||||
Toronto-Dominion Bank(A) | 295,198 | 21,482 | ||||||
Transat AT, Cl B* | 300 | 5 | ||||||
TransCanada | 208,800 | 7,373 | ||||||
Trican Well Service | 249,000 | 4,786 | ||||||
Valeant Pharmaceuticals International | 158,900 | 4,117 | ||||||
West Fraser Timber | 12,000 | 524 | ||||||
Yamana Gold | 1,822,600 | 21,279 | ||||||
313,504 | ||||||||
Chile — 0.2% | ||||||||
Banco Santander Chile ADR | 1,918 | 176 | ||||||
Enersis ADR | 67,980 | 1,617 | ||||||
ENTEL Chile | 140,414 | 2,369 | ||||||
SACI Falabella | 444,604 | 4,251 | ||||||
8,413 | ||||||||
China — 2.7% | ||||||||
Air China, Cl H | 3,030,000 | 3,949 | ||||||
AirMedia Group ADR* | 141,345 | 977 | ||||||
Ajisen China Holdings | 1,795,909 | 3,029 | ||||||
China Construction Bank, Cl H | 5,759,000 | 5,198 | ||||||
China Merchants Bank, Cl H | 5,710,127 | 14,780 | ||||||
China Petroleum & Chemical, Cl H | 9,828,000 | 9,150 | ||||||
China Railway Construction, Cl H | 1,086,500 | 1,290 | ||||||
China Rongsheng Heavy Industry Group* | 2,054,000 | 1,997 | ||||||
China Telecom, Cl H | 1,710,000 | 861 | ||||||
Dongfeng Motor Group, Cl H | 3,152,000 | 5,999 | ||||||
Huaneng Power International ADR(A) | 367,500 | 7,908 | ||||||
Industrial & Commercial Bank of China, Cl H | 21,044,000 | 16,368 | ||||||
Mindray Medical International ADR | 80,060 | 2,101 | ||||||
Noah Holdings ADR* | 36,743 | 594 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ping An Insurance Group of China, Cl H | 548,000 | $ | 6,323 | |||||
Shanghai Friendship Group, Cl B | 241,620 | 573 | ||||||
Sina* (A) | 39,540 | 2,531 | ||||||
Sinopharm Group, Cl H(A) | 2,506,786 | 9,168 | ||||||
Springland International Holdings* | 1,871,000 | 1,532 | ||||||
Tingyi Cayman Islands Holding | 1,234,000 | 3,054 | ||||||
Yanzhou Coal Mining ADR(A) | 328,200 | 9,055 | ||||||
Zhaojin Mining Industry | 1,268,500 | 4,966 | ||||||
Zhuzhou CSR Times Electric, Cl H | 2,519,000 | 9,618 | ||||||
121,021 | ||||||||
Colombia — 0.0% | ||||||||
Grupo de Inversiones Suramericana | 79,201 | 1,572 | ||||||
Cyprus — 0.0% | ||||||||
Eurasia Drilling GDR(B) | 57,349 | 1,778 | ||||||
Czech Republic — 0.0% | ||||||||
Komercni Banka | 8,077 | 1,705 | ||||||
Denmark — 1.2% | ||||||||
Carlsberg, Cl B | 64,348 | 6,092 | ||||||
Coloplast, Cl B | 24,295 | 3,242 | ||||||
Danisco | 34,832 | 2,668 | ||||||
Novo-Nordisk, Cl B | 370,634 | 36,769 | ||||||
Royal UNIBREW | 1,523 | 80 | ||||||
Vestas Wind Systems* | 198,701 | 5,671 | ||||||
54,522 | ||||||||
Egypt — 0.1% | ||||||||
Egyptian Financial Group-Hermes Holding | 485,580 | 2,820 | ||||||
Orascom Construction Industries | 29,000 | 1,317 | ||||||
Talaat Moustafa Group* | 1,050,097 | 1,454 | ||||||
5,591 | ||||||||
Finland — 1.1% | ||||||||
Kesko, Cl B | 25,168 | 1,158 | ||||||
Kone, Cl B | 76,095 | 3,991 | ||||||
Metso | 39,901 | 2,055 | ||||||
Nokia ADR(A) | 811,800 | 7,493 | ||||||
Orion, Cl B | 73,844 | 1,502 | ||||||
Sampo, Cl A | 360,914 | 8,842 | ||||||
Stora Enso, Cl R | 1,835,378 | 15,841 | ||||||
UPM-Kymmene | 435,557 | 6,486 | ||||||
Wartsila, Cl B | 17,101 | 1,187 | ||||||
48,555 | ||||||||
France — 4.8% | ||||||||
Air Liquide | 108,563 | 12,747 | ||||||
Arkema | 62,788 | 3,751 | ||||||
AXA | 43,830 | 631 | ||||||
BNP Paribas | 425,325 | 25,247 | ||||||
Bureau Veritas | 14,534 | 1,062 | ||||||
Christian Dior(A) | 19,391 | 2,693 | ||||||
Compagnie de St.-Gobain | 17,622 | 792 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Danone | 1,268 | $ | 74 | |||||
Dassault Systemes | 36,759 | 2,522 | ||||||
Eutelsat Communications | 29,895 | 1,009 | ||||||
France Telecom | 23,178 | 471 | ||||||
France Telecom ADR | 1,020,400 | 20,826 | ||||||
Havas | 75,176 | 334 | ||||||
Lafarge | 231,658 | 12,681 | ||||||
L’Oreal | 2,275 | 243 | ||||||
LVMH Moet Hennessy Louis Vuitton(A) | 179,678 | 27,331 | ||||||
Natixis | 633,251 | 2,797 | ||||||
Peugeot | 300,443 | 11,233 | ||||||
PPR | 17,605 | 2,805 | ||||||
Publicis Groupe | 194,300 | 8,707 | ||||||
Renault | 88,085 | 4,630 | ||||||
Rhodia | 296,161 | 7,840 | ||||||
Safran | 143,155 | 4,498 | ||||||
Sanofi-Aventis | 232,552 | 14,101 | ||||||
Schneider Electric | 53,446 | 7,524 | ||||||
Societe Generale | 116,857 | 5,431 | ||||||
Technip | 17,501 | 1,363 | ||||||
Total | 190,390 | 9,248 | ||||||
Valeo | 150,814 | 7,579 | ||||||
Vinci(A) | 34,947 | 1,697 | ||||||
Vivendi | 506,561 | 12,394 | ||||||
214,261 | ||||||||
Germany — 5.1% | ||||||||
Adidas | 81,832 | 5,152 | ||||||
ADVA Optical Networking* | 49,708 | 345 | ||||||
Allianz | 122,357 | 13,459 | ||||||
BASF | 405,150 | 30,326 | ||||||
Bayerische Motoren Werke | 51,776 | 3,904 | ||||||
Bilfinger Berger | 12,470 | 910 | ||||||
Commerzbank(A) | 77,151 | 563 | ||||||
Continental | 25,129 | 1,956 | ||||||
DaimlerChrysler | 133,510 | 8,667 | ||||||
Deutsche Bank | 234,563 | 11,174 | ||||||
Deutsche Lufthansa | 345,734 | 7,379 | ||||||
Deutsche Post | 316,672 | 5,089 | ||||||
Deutsche Telekom | 615,857 | 7,909 | ||||||
Dialog Semiconductor* | 250,322 | 4,691 | ||||||
E.ON | 51,538 | 1,483 | ||||||
Fresenius Medical Care | 250,359 | 14,493 | ||||||
GEA Group | 166,112 | 4,005 | ||||||
Hannover Rueckversicherung | 34,416 | 1,609 | ||||||
Henkel | 96,645 | 4,908 | ||||||
Infineon Technologies* | 1,682,350 | 14,992 | ||||||
Kabel Deutschland Holding* | 104,450 | 4,854 | ||||||
Lanxess | 112,437 | 7,962 | ||||||
Linde | 13,141 | 1,841 | ||||||
MAN | 12,536 | 1,477 | ||||||
Merck KGaA | 6,582 | 515 | ||||||
Metro | 42,030 | 3,023 | ||||||
MTU Aero Engines Holding | 27,554 | 1,610 | ||||||
Norddeutsche Affinerie | 38,588 | 1,873 | ||||||
RWE | 25,450 | 1,589 | ||||||
SAP | 492,959 | 23,063 | ||||||
Siemens ADR(A) | 151,800 | 16,668 | ||||||
Siemens | 88,166 | 9,674 | ||||||
Suedzucker | 122,611 | 2,629 | ||||||
Symrise | 146,902 | 3,723 |
Description | Shares | Market Value ($ Thousands) | ||||||
TUI(A) | 146,226 | $ | 1,546 | |||||
United Internet | 55,980 | 794 | ||||||
Volkswagen | 1,098 | 149 | ||||||
Wacker Chemie | 20,690 | 3,570 | ||||||
229,574 | ||||||||
Guernsey — 0.2% | ||||||||
Amdocs* | 277,300 | 7,210 | ||||||
Hong Kong — 3.2% | ||||||||
AIA Group* | 693,000 | 2,003 | ||||||
ASM Pacific Technology | 115,600 | 1,096 | ||||||
Cathay Pacific Airways | 445,000 | 1,298 | ||||||
Chaoda Modern Agriculture | 3,378,000 | 2,736 | ||||||
Cheung Kong Holdings | 111,000 | 1,641 | ||||||
China Dongxiang Group | 4,322,000 | 1,931 | ||||||
China High Precision Automation Group | 2,004,000 | 1,419 | ||||||
China Mobile | 2,110,007 | 21,044 | ||||||
CLP Holdings | 1,171,000 | 9,636 | ||||||
CNOOC | 13,350,297 | 28,950 | ||||||
First Pacific | 1,406,000 | 1,215 | ||||||
Genting Singapore* | 1,279,000 | 1,926 | ||||||
GOME Electrical Appliances Holdings | 10,229,300 | 4,031 | ||||||
Hengdeli Holdings | 7,504,000 | 4,880 | ||||||
Hong Kong Exchanges and Clearing | 968,200 | 22,180 | ||||||
Hongkong Land Holdings | 433,007 | 2,936 | ||||||
Huabao International Holdings | 3,391,600 | 5,372 | ||||||
Hutchison Telecommunications Hong Kong Holdings | 1,170,000 | 353 | ||||||
Hutchison Whampoa | 70,000 | 700 | ||||||
Jardine Strategic Holdings | 29,000 | 760 | ||||||
L’Occitane International* | 1,466,000 | 3,955 | ||||||
Midland Holdings | 720,000 | 551 | ||||||
New World Development | 158,000 | 314 | ||||||
Orient Overseas International | 226,000 | 2,193 | ||||||
Polytec Asset Holdings | 1,560,000 | 259 | ||||||
RCG Holdings* | 137,229 | 56 | ||||||
Ruinian International | 5,791,000 | 4,362 | ||||||
SJM Holdings | 2,479,000 | 4,092 | ||||||
Sun Hung Kai Properties | 51,000 | 843 | ||||||
Swire Pacific, Cl A | 286,000 | 4,404 | ||||||
TPV Technology | 1,266,000 | 813 | ||||||
Wharf Holdings | 516,342 | 3,471 | ||||||
Wheelock | 393,270 | 1,413 | ||||||
Yue Yuen Industrial Holdings | 397,500 | 1,437 | ||||||
144,270 | ||||||||
Hungary — 0.1% | ||||||||
MOL Hungarian Oil and Gas | 18,064 | 1,550 | ||||||
OTP Bank | 206,777 | 4,699 | ||||||
6,249 | ||||||||
India — 1.7% | ||||||||
Allahabad Bank | 700,492 | 3,656 | ||||||
Andhra Bank | 787,173 | 2,707 | ||||||
Axis Bank | 10,315 | 307 | ||||||
Bank | 10,499 | 162 | ||||||
Bank of India | 414,753 | 4,228 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Cairn India* | 433,067 | $ | 2,974 | |||||
Canara Bank | 224,482 | 3,628 | ||||||
Central Bank of India | 134,696 | 554 | ||||||
Dena Bank | 480,718 | 1,319 | ||||||
HDFC Bank | 118,540 | 5,904 | ||||||
IDBI Bank | 1,247,033 | 4,444 | ||||||
India Cements | 862,364 | 1,998 | ||||||
Indian Bank | 128,394 | 780 | ||||||
Indian Overseas Bank | 519,843 | 1,668 | ||||||
ITC | 1,279,320 | 4,793 | ||||||
JBF Industries | 55,021 | 223 | ||||||
Nagarjuna Construction | 1,046,181 | 2,977 | ||||||
Oriental Bank of Commerce | 403,863 | 3,734 | ||||||
Power Finance | 367,341 | 2,696 | ||||||
Reliance Infrastructure | 141,226 | 2,598 | ||||||
State Bank of India | 175,914 | 11,472 | ||||||
State Bank of India GDR | 32,695 | 4,234 | ||||||
Syndicate Bank | 165,066 | 496 | ||||||
Union Bank of India | 275,100 | 2,112 | ||||||
Vijaya Bank | 1,550,331 | 3,250 | ||||||
Welspun | 439,556 | 2,011 | ||||||
Zuari Industries | 8,087 | 116 | ||||||
75,041 | ||||||||
Indonesia — 0.8% | ||||||||
Astra International | 1,213,000 | 6,969 | ||||||
Bank Mandiri | 5,352,000 | 3,792 | ||||||
Bank Negara Indonesia Persero | 8,631,000 | 3,869 | ||||||
Bank Rakyat Indonesia Persero | 3,781,500 | 4,395 | ||||||
Gudang Garam | 283,000 | 1,275 | ||||||
HM Sampoerna | 17,500 | 53 | ||||||
Indofood CBP Sukses Makmur TBK* | 2,230,000 | 1,259 | ||||||
Indofood Sukses Makmur | 7,786,500 | 3,943 | ||||||
Kalbe Farma | 14,741,500 | 5,711 | ||||||
Telekomunikasi Indonesia | 2,170,208 | 1,910 | ||||||
United Tractors | 1,856,000 | 4,725 | ||||||
37,901 | ||||||||
Ireland — 0.7% | ||||||||
Covidien | 595,000 | 25,032 | ||||||
CRH ADR(A) | 170,400 | 2,989 | ||||||
Experian | 390,706 | 4,469 | ||||||
32,490 | ||||||||
Israel — 1.1% | ||||||||
Bank Hapoalim* | 1,113,286 | 5,208 | ||||||
Bank Leumi Le-Israel | 405,369 | 1,907 | ||||||
Check Point Software Technologies* (A) | 87,880 | 3,767 | ||||||
Israel Chemicals | 48,147 | 694 | ||||||
Israel Discount Bank, Cl A* | 1,137,803 | 2,475 | ||||||
Mizrahi Tefahot Bank | 140,026 | 1,419 | ||||||
Teva Pharmaceutical Industries ADR | 620,591 | 31,055 | ||||||
Teva Pharmaceutical Industries | 46,483 | 2,370 | ||||||
48,895 | ||||||||
Italy — 1.0% | ||||||||
Banca Intesa | 2,772,192 | 7,235 | ||||||
Enel(A) | 3,664,214 | 17,267 | ||||||
ENI | 75,253 | 1,518 |
Description | Shares | Market Value ($ Thousands) | ||||||
Indesit | 34,599 | $ | 354 | |||||
Parmalat | 3,511,796 | 8,759 | ||||||
Saipem | 53,916 | 2,250 | ||||||
Snam Rete Gas | 186,070 | 887 | ||||||
Telecom Italia | 3,073,773 | 3,549 | ||||||
Terna Rete Elettrica Nazionale(A) | 265,875 | 1,093 | ||||||
42,912 | ||||||||
Japan — 12.3% | ||||||||
77 Bank | 109,000 | 519 | ||||||
Aeon | 461,800 | 5,629 | ||||||
Aeon Fantasy | 3,200 | 31 | ||||||
Aisin Seiki | 119,000 | 3,854 | ||||||
Alfresa Holdings | 12,600 | 522 | ||||||
Alps Electric | 103,700 | 1,021 | ||||||
Arnest One | 58,500 | 648 | ||||||
Asahi Breweries | 41,600 | 809 | ||||||
Asahi Glass ADR | 833,200 | 9,190 | ||||||
Asahi Glass | 182,000 | 2,027 | ||||||
Asahi Kasei | 564,000 | 3,353 | ||||||
Astellas Pharma | 220,500 | 7,897 | ||||||
Bank of Yokohama | 387,744 | 1,875 | ||||||
Canon | 370,716 | 17,458 | ||||||
Central Japan Railway | 31 | 239 | ||||||
Chiba Bank | 284,574 | 1,654 | ||||||
Coca-Cola West | 13,700 | 228 | ||||||
Daicel Chemical Industries | 779,219 | 5,302 | ||||||
Daido Steel | 189,000 | 1,013 | ||||||
Daihatsu Motor | 227,000 | 3,181 | ||||||
Dai-ichi Life Insurance | 5,940 | 8,523 | ||||||
Daiichi Sankyo | 77,800 | 1,682 | ||||||
Daiichikosho | 23,200 | 412 | ||||||
Daikyo(A) | 963,000 | 1,644 | ||||||
Dainippon Screen Manufacturing | 253,000 | 1,649 | ||||||
Daito Trust Construction | 67,700 | 4,186 | ||||||
Daiwa House Industry | 375,000 | 4,230 | ||||||
Dena | 225,500 | 6,579 | ||||||
Denso | 62,200 | 2,029 | ||||||
EDION(A) | 125,700 | 986 | ||||||
Eisai | 39,200 | 1,347 | ||||||
Fanuc | 159,600 | 22,844 | ||||||
Fuji Electric Holdings | 396,000 | 1,059 | ||||||
Fuji Heavy Industries | 975,000 | 7,216 | ||||||
Fuji Heavy Industries ADR | 134,600 | 9,981 | ||||||
FUJIFILM Holdings | 154,600 | 5,190 | ||||||
Fujitsu ADR(A) | 221,700 | 7,163 | ||||||
Fujitsu | 1,542,000 | 9,885 | ||||||
Fukuoka Financial Group | 104,000 | 400 | ||||||
Hanwa | 90,000 | 342 | ||||||
Hitachi | 5,304,000 | 25,073 | ||||||
Hitachi High-Technologies | 226,100 | 4,775 | ||||||
Hitachi Metals | 61,000 | 700 | ||||||
Honda Motor | 135,170 | 4,857 | ||||||
Idemitsu Kosan | 65,900 | 6,128 | ||||||
IHI | 882,000 | 1,821 | ||||||
Isuzu Motors | 1,083,000 | 4,822 | ||||||
IT Holdings | 29,900 | 352 | ||||||
Itochu Techno-Solutions | 6,100 | 220 | ||||||
JX Holdings | 908,760 | 5,620 | ||||||
Kaken Pharmaceutical | 85,000 | 930 | ||||||
Kamigumi | 16,000 | 123 | ||||||
Kansai Electric Power | 15,400 | 370 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Kao | 19,500 | $ | 489 | |||||
Kawasaki Kisen Kaisha | 592,000 | 2,466 | ||||||
Kewpie | 40,600 | 494 | ||||||
Keyence | 6,800 | 1,714 | ||||||
Kinden | 13,000 | 112 | ||||||
Kobe Steel | 1,102,000 | 2,499 | ||||||
Komatsu | 1,223,796 | 33,864 | ||||||
K’s Holdings | 145,300 | 3,779 | ||||||
Kuraray | 41,900 | 578 | ||||||
Kyocera | 23,800 | 2,426 | ||||||
Maeda Road Construction | 71,000 | 522 | ||||||
Marubeni | 2,228,819 | 14,447 | ||||||
Maruichi Steel Tube | 10,100 | 193 | ||||||
Medipal Holdings | 174,300 | 1,873 | ||||||
Millea Holdings | 107,000 | 3,024 | ||||||
Minebea | 134,000 | 793 | ||||||
Miraca Holdings | 50,400 | 1,788 | ||||||
Mitsubishi | 217,566 | 5,496 | ||||||
Mitsubishi Chemical Holdings | 435,000 | 2,498 | ||||||
Mitsubishi Electric | 667,000 | 6,601 | ||||||
Mitsubishi Gas Chemical | 161,000 | 986 | ||||||
Mitsubishi Materials | 162,000 | 501 | ||||||
Mitsubishi UFJ Financial Group | 4,478,686 | 21,172 | ||||||
Mitsui ADR(A) | 52,300 | 16,353 | ||||||
Mitsui | 338,300 | 5,278 | ||||||
Mitsui Chemicals | 293,000 | 895 | ||||||
Mitsui Mining & Smelting | 591,000 | 1,792 | ||||||
Mitsui OSK Lines | 194,000 | 1,332 | ||||||
Mitsui Trust Holdings | 993,000 | 3,497 | ||||||
Mizuho Financial Group | 2,072,100 | 3,290 | ||||||
Murata Manufacturing | 32,400 | 1,977 | ||||||
Nagase | 53,000 | 591 | ||||||
NEC Networks & System Integration | 39,800 | 469 | ||||||
Nichii Gakkan | 33,900 | 283 | ||||||
Nippo | 62,000 | 403 | ||||||
Nippon Flour Mills | 78,000 | 357 | ||||||
Nippon Light Metal | 617,000 | 1,105 | ||||||
Nippon Meat Packers | 210,000 | 2,509 | ||||||
Nippon Paper Group(A) | 76,500 | 1,815 | ||||||
Nippon Telegraph & Telephone | 434,900 | 19,676 | ||||||
Nippon Yusen | 210,000 | 915 | ||||||
Nippon Yusen ADR | 480,400 | 4,146 | ||||||
Nishi-Nippon City Bank | 336,000 | 926 | ||||||
Nissan Motor | 868,580 | 8,140 | ||||||
Nisshin Steel | 773,000 | 1,412 | ||||||
Nitto Denko ADR(A) | 41,200 | 17,057 | ||||||
Nitto Denko | 36,000 | 1,493 | ||||||
Nojima | 3,545 | 25 | ||||||
Noritsu Koki | 8,200 | 48 | ||||||
NSK | 37,000 | 312 | ||||||
NTT Data | 447 | 1,448 | ||||||
NTT DoCoMo | 2,749 | 4,456 | ||||||
Omron | 88,500 | 2,181 | ||||||
Oriental Land | 7,500 | 679 | ||||||
ORIX | 42,410 | 3,620 | ||||||
Osaka Gas | 356,000 | 1,330 | ||||||
Osaka Securities Exchange | 763 | 3,775 | ||||||
Resona Holdings(A) | 476,800 | 2,908 | ||||||
Saizeriya | 56,700 | 1,034 | ||||||
Sanrio(A) | 131,700 | 3,198 | ||||||
Sapporo Hokuyo Holdings | 290,300 | 1,202 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sega Sammy Holdings | 188,700 | $ | 3,176 | |||||
Seika | 23,000 | 56 | ||||||
Seiko Epson | 97,300 | 1,597 | ||||||
Seino Holdings | 165,000 | 1,034 | ||||||
Shinsei Bank(A) | 932,000 | 812 | ||||||
Showa Shell Sekiyu | 98,200 | 816 | ||||||
SMC | 35,600 | 5,652 | ||||||
Softbank | 181,400 | 6,280 | ||||||
Sojitz | 1,141,600 | 2,208 | ||||||
Sony | 339,700 | 12,048 | ||||||
Sumitomo | 404,211 | 5,269 | ||||||
Sumitomo Electric Industries | 103,700 | 1,355 | ||||||
Sumitomo Heavy Industries | 134,000 | 822 | ||||||
Sumitomo Metal Mining | 20,000 | 311 | ||||||
Sumitomo Mitsui Financial Group | 207,409 | 6,361 | ||||||
Sumitomo Trust & Banking | 172,000 | 912 | ||||||
Sysmex | 61,700 | 3,933 | ||||||
Takeda Pharmaceutical | 115,600 | 5,368 | ||||||
TDK | 24,916 | 1,603 | ||||||
Toagosei | 190,000 | 819 | ||||||
Tokyo Electron | 22,500 | 1,410 | ||||||
Tokyo Energy & Systems | 14,000 | 82 | ||||||
Tokyo Gas | 486,000 | 2,118 | ||||||
Tokyo Tatemono | 223,000 | 876 | ||||||
Tokyo Tekko | 30,000 | 65 | ||||||
Toshiba Plant Systems & Services | 318,000 | 3,956 | ||||||
Toshiba TEC | 168,000 | 706 | ||||||
Toyo Seikan Kaisha | 90,300 | 1,623 | ||||||
Toyota Industries | 7,200 | 212 | ||||||
Toyota Motor | 494,747 | 19,017 | ||||||
Toyota Tsusho | 32,700 | 530 | ||||||
Unicharm | 75,300 | 2,940 | ||||||
Warabeya Nichiyo | 6,500 | 75 | ||||||
Watabe Wedding | 7,955 | 82 | ||||||
West Japan Railway | 475 | 1,663 | ||||||
Yamada Denki | 16,410 | 1,042 | ||||||
Yokohama Rubber | 153,000 | 767 | ||||||
Zeon | 673,000 | 5,415 | ||||||
552,841 | ||||||||
Kazakhstan — 0.0% | ||||||||
KazMunaiGas Exploration Production GDR | 109,447 | 2,101 | ||||||
Macau — 0.0% | ||||||||
Wynn Macau | 598,800 | 1,214 | ||||||
Malaysia — 0.7% | ||||||||
Affin Holdings | 236,400 | 238 | ||||||
Axiata Group* | 2,627,700 | 3,799 | ||||||
CIMB Group Holdings | 5,055,200 | 13,470 | ||||||
EON Capital* | 119,600 | 266 | ||||||
Hong Leong Bank | 293,133 | 849 | ||||||
Hong Leong Financial Group | 94,700 | 265 | ||||||
Malayan Banking | 341,000 | 916 | ||||||
Proton Holdings | 131,700 | 204 | ||||||
RHB Capital | 764,700 | 1,917 | ||||||
Sime Darby | 1,814,400 | 4,972 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Telekom Malaysia | 2,081,500 | $ | 2,261 | |||||
29,157 | ||||||||
Mexico — 1.8% | ||||||||
Alfa, Cl A | 150,804 | 1,387 | ||||||
America Movil, Ser L | 2,954,974 | 8,354 | ||||||
America Movil ADR, Ser L | 251,150 | 14,180 | ||||||
Bolsa Mexicana de Valores | 903,185 | 1,890 | ||||||
Coca-Cola Femsa ADR(A) | 204,900 | 16,593 | ||||||
Genomma Lab Internacional, Cl B* | 2,555,203 | 5,977 | ||||||
Grupo Comercial Chedraui* | 1,443,900 | 4,512 | ||||||
Grupo Financiero Banorte, Ser O | 576,359 | 2,500 | ||||||
Grupo Lamosa* | 17,900 | 24 | ||||||
Grupo Televisa | 519,013 | 2,415 | ||||||
OHL Mexico* | 1,107,128 | 2,183 | ||||||
Telefonos de Mexico, Cl L | 436,600 | 351 | ||||||
Telefonos de Mexico ADR(A) | 213,045 | 3,409 | ||||||
Urbi Desarrollos Urbanos* | 967,216 | 2,218 | ||||||
Wal-Mart de Mexico | 5,848,500 | 16,530 | ||||||
82,523 | ||||||||
Netherlands — 3.0% | ||||||||
Aegon | 351,464 | 1,937 | ||||||
Akzo Nobel | 21,005 | 1,133 | ||||||
ArcelorMittal(A) | 534,000 | 16,881 | ||||||
ASML Holding | 101,174 | 3,282 | ||||||
CSM | 142,393 | 4,328 | ||||||
European Aeronautic Defense and Space | 254,525 | 5,719 | ||||||
Heineken | 54,175 | 2,517 | ||||||
ING Groep | 1,617,364 | 14,321 | ||||||
Koninklijke Ahold | 46,200 | 560 | ||||||
Koninklijke DSM | 192,662 | 9,436 | ||||||
Koninklijke Philips Electronics | 81,292 | 2,200 | ||||||
Nutreco | 45,878 | 3,231 | ||||||
Royal Dutch Shell ADR, Cl A(A) | 389,100 | 23,606 | ||||||
Royal Dutch Shell, Cl A | 802,107 | 24,219 | ||||||
Royal Dutch Shell, Cl B | 180,992 | 5,378 | ||||||
Royal Dutch Shell, Cl A (GBP)(C) | 345,073 | 10,404 | ||||||
Royal KPN | 224,660 | 3,213 | ||||||
Unilever | 63,529 | 1,797 | ||||||
134,162 | ||||||||
Netherlands Antilles — 0.4% | ||||||||
Schlumberger | 219,450 | 16,972 | ||||||
New Zealand — 0.0% | ||||||||
Telecom of New Zealand | 1,145,450 | 1,841 | ||||||
Norway — 1.3% | ||||||||
DnB | 590,454 | 7,226 | ||||||
Marine Harvest(A) | 4,618,096 | 4,294 | ||||||
Seadrill | 557,346 | 17,070 | ||||||
Statoil ADR(A) | 1,077,300 | 21,535 | ||||||
Statoil | 51,826 | 1,028 | ||||||
Telenor | 206,656 | 2,972 |
Description | Shares | Market Value ($ Thousands) | ||||||
Yara International | 68,697 | $ | 3,271 | |||||
57,396 | ||||||||
Pakistan — 0.0% | ||||||||
Pakistan Telecommunication | 1,439,600 | 324 | ||||||
Panama — 0.2% | ||||||||
Copa Holdings, Cl A | 140,700 | 7,847 | ||||||
Peru — 0.1% | ||||||||
Credicorp | 39,900 | 4,783 | ||||||
Poland — 0.4% | ||||||||
Getin Holding* | 185,131 | 659 | ||||||
KGHM Polska Miedz | 262,640 | 11,362 | ||||||
Netia* | 107,362 | 191 | ||||||
Polski Koncern Naftowy Orlen | 291,574 | 4,067 | ||||||
16,279 | ||||||||
Portugal — 0.3% | ||||||||
Energias de Portugal | 510,861 | 1,639 | ||||||
Galp Energia SGPS, Cl B | 70,452 | 1,183 | ||||||
Inapa-Invest Particip Gesta* | 122,900 | 61 | ||||||
Jeronimo Martins | 511,093 | 7,252 | ||||||
Portugal Telecom | 177,137 | 2,255 | ||||||
12,390 | ||||||||
Russia — 0.5% | ||||||||
Alliance Oil* | 129,628 | 1,825 | ||||||
Globaltrans Investment GDR | 116,208 | 2,005 | ||||||
LSR Group GDR* | 209,551 | 1,907 | ||||||
Lukoil ADR | 66,874 | 3,665 | ||||||
Magnit GDR | 166,083 | 4,385 | ||||||
Magnitogorsk Iron & Steel Works GDR | 267,691 | 3,464 | ||||||
Mail.ru Group GDR* | 103,498 | 4,243 | ||||||
Mobile Telesystems ADR | 147,804 | 3,099 | ||||||
24,593 | ||||||||
Singapore — 1.0% | ||||||||
CapitaCommercial Trust‡ (A) | 1,227,527 | 1,384 | ||||||
CapitaMall Trust‡ | 556,217 | 774 | ||||||
DBS Group Holdings | 358,261 | 3,795 | ||||||
Fraser and Neave | 93,000 | 423 | ||||||
Ho Bee Investment | 3,198,000 | 3,774 | ||||||
Jardine Cycle & Carriage | 54,144 | 1,517 | ||||||
Keppel Land | 383,000 | 1,376 | ||||||
SembCorp Marine | 51,000 | 188 | ||||||
Singapore Airlines | 282,000 | 3,290 | ||||||
United Overseas Bank ADR | 550,300 | 15,298 | ||||||
United Overseas Bank | 155,000 | 2,169 | ||||||
UOB-Kay Hian Holdings | 82,000 | 104 | ||||||
UOL Group | 436,000 | 1,491 | ||||||
Yangzijiang Shipbuilding Holdings | 7,001,000 | 9,533 | ||||||
45,116 | ||||||||
South Africa — 1.0% | ||||||||
ABSA Group | 142,490 | 2,592 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
African Bank Investments | 405,079 | $ | 2,006 | |||||
Harmony Gold Mining | 201,635 | 2,245 | ||||||
Impala Platinum Holdings | 173,585 | 4,954 | ||||||
Life Healthcare Group Holdings | 640,141 | 1,304 | ||||||
Mondi | 247,989 | 1,795 | ||||||
Mr Price Group | 264,975 | 2,399 | ||||||
MTN Group | 232,092 | 3,963 | ||||||
Sasol ADR | 542,100 | 24,215 | ||||||
Telkom | 114,662 | 568 | ||||||
46,041 | ||||||||
South Korea — 3.7% | ||||||||
Celltrion | 64,520 | 1,800 | ||||||
Daewoo Shipbuilding & Marine Engineering | 86,860 | 2,225 | ||||||
Daum Communications* | 58,588 | 3,866 | ||||||
Hana Financial Group | 282,130 | 9,247 | ||||||
Hyundai Motor | 167,655 | 24,944 | ||||||
Hyundai Steel | 43,625 | 4,139 | ||||||
Kia Motors | 490,730 | 20,719 | ||||||
KISCO Holdings | 4,036 | 184 | ||||||
LG | 145,449 | 10,250 | ||||||
LG Chemical | 16,140 | 5,401 | ||||||
LG Electronics | 30,028 | 2,668 | ||||||
LG Hausys | 1,304 | 96 | ||||||
LG.Philips LCD | 204,460 | 6,975 | ||||||
Lock & Lock | 129,790 | 4,237 | ||||||
MegaStudy | 8,276 | 1,316 | ||||||
POSCO ADR(A) | 140,000 | 13,782 | ||||||
Samsung Electronics | 27,357 | 19,490 | ||||||
Shinhan Financial Group | 80,610 | 3,108 | ||||||
Shinsegae | 5,794 | 2,833 | ||||||
SK Holdings | 51,809 | 5,675 | ||||||
SK Telecom ADR(A) | 897,800 | 16,142 | ||||||
STX Engine | 75,750 | 2,130 | ||||||
Woori Finance Holdings ADR | 54,700 | 2,052 | ||||||
Woori Finance Holdings | 347,520 | 4,286 | ||||||
167,565 | ||||||||
Spain — 0.9% | ||||||||
Banco Bilbao Vizcaya Argentaria(A) | 149,553 | 1,378 | ||||||
Banco Bilbao Vizcaya Argentaria ADR(A) | 350,100 | 3,224 | ||||||
Banco Pastor | 160 | — | ||||||
Banco Santander Central Hispano | 247,381 | 2,351 | ||||||
Criteria Caixacorp(A) | 255,796 | 1,260 | ||||||
Gas Natural | 23,643 | 320 | ||||||
Iberdrola | 23,624 | 163 | ||||||
Inditex | 50,831 | 3,842 | ||||||
Repsol | 83,659 | 2,023 | ||||||
Telefonica | 1,120,979 | 23,917 | ||||||
38,478 | ||||||||
Sweden — 1.8% | ||||||||
Assa Abloy, Cl B | 140,645 | 3,776 | ||||||
Atlas Copco, Cl A | 189,737 | 4,190 | ||||||
Billerud | 58,221 | 461 | ||||||
Electrolux, Cl B | 268,445 | 6,375 | ||||||
Elekta, Cl B | 40,624 | 1,367 | ||||||
Hennes & Mauritz, Cl B | 535,734 | 18,085 | ||||||
Industrivarden, Cl C | 15,292 | 226 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kinnevik Investment, Cl B | 47,351 | $ | 934 | |||||
Nordea Bank | 508,141 | 5,062 | ||||||
Scania, Cl B | 141,074 | 2,883 | ||||||
Skandinaviska Enskilda Banken, Cl A | 125,238 | 908 | ||||||
SKF, Cl B | 38,692 | 1,031 | ||||||
Svenska Cellulosa ADR | 1,031,600 | 15,051 | ||||||
Svenska Cellulosa, Cl B | 182,629 | 2,662 | ||||||
Swedbank, Cl A | 44,704 | 565 | ||||||
Swedish Match | 3,484 | 97 | ||||||
Tele2, Cl B | 212,250 | 4,240 | ||||||
TeliaSonera | 244,640 | 1,886 | ||||||
Volvo, Cl B | 631,203 | 9,164 | ||||||
78,963 | ||||||||
Switzerland — 4.3% | ||||||||
ABB | 28,341 | 553 | ||||||
Clariant | 186,400 | 3,389 | ||||||
Compagnie Financiere Richemont | 53,678 | 2,914 | ||||||
Credit Suisse Group | 26,455 | 983 | ||||||
Dufry Group | 41,036 | 4,973 | ||||||
EGL | 83 | 57 | ||||||
Julius Baer Group | 369,944 | 10,764 | ||||||
Logitech International* (A) | 387,449 | 7,464 | ||||||
Nestle | 715,273 | 39,147 | ||||||
Novartis | 579,337 | 30,952 | ||||||
Roche Holding | 115,025 | 15,903 | ||||||
Schindler Holding | 38,614 | 4,393 | ||||||
STMicroelectronics | 1,152,417 | 10,361 | ||||||
STMicroelectronics (EUR) | 190,403 | 1,709 | ||||||
Swatch Group, Cl B | 25,435 | 10,284 | ||||||
Swatch Group | 22,549 | 1,645 | ||||||
Swiss Life Holding | 15,642 | 1,753 | ||||||
Temenos Group* (A) | 160,386 | 5,383 | ||||||
UBS | 813,806 | 12,272 | ||||||
Xstrata | 63,225 | 1,272 | ||||||
Zurich Financial Services ADR | 1,014,600 | 22,626 | ||||||
Zurich Financial Services | 23,659 | 5,300 | ||||||
194,097 | ||||||||
Taiwan — 1.8% | ||||||||
Acer | 668,627 | 1,974 | ||||||
Asia Polymer | 531,600 | 633 | ||||||
Cathay Financial Holding | 1,252,900 | 1,893 | ||||||
Chang Hwa Commercial Bank | 3,173,000 | 2,108 | ||||||
Chinatrust Financial Holding | 2,888,063 | 1,739 | ||||||
Chunghwa Telecom | 724,000 | 1,758 | ||||||
CMC Magnetics* | 298,000 | 74 | ||||||
E Ink Holdings | 1,838,000 | 3,533 | ||||||
Elitegroup Computer Systems | 704,000 | 249 | ||||||
Far Eastern Textile | 1,503,194 | 2,221 | ||||||
Formosa Plastics | 1,524,000 | 4,535 | ||||||
Fubon Financial Holding | 4,407,674 | 5,379 | ||||||
High Tech Computer | 356,432 | 9,881 | ||||||
HON HAI Precision Industry | 1,221,400 | 4,347 | ||||||
Hwa Fong Rubber* | 616,000 | 178 | ||||||
Long Bon International | 488,000 | 204 | ||||||
MediaTek | 255,620 | 3,275 | ||||||
Mega Financial Holding | 1,349,000 | 896 | ||||||
Siliconware Precision Industries ADR(A) | 134,000 | 689 | ||||||
Taishin Financial Holding | 1,584,730 | 694 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Taiwan Fertilizer | 753,000 | $ | 2,717 | |||||
Taiwan Semiconductor Manufacturing | 5,116,925 | 10,642 | ||||||
Taiwan Semiconductor Manufacturing ADR(A) | 722,200 | 7,764 | ||||||
United Microelectronics ADR(A) | 1,211,600 | 3,453 | ||||||
United Microelectronics | 4,159,000 | 2,060 | ||||||
Wintek | 2,276,000 | 4,062 | ||||||
Yageo | 1,423,000 | 619 | ||||||
Young Fast Optoelectronics | 354,000 | 3,844 | ||||||
81,421 | ||||||||
Thailand — 1.0% | ||||||||
Bangkok Bank | 1,324,700 | 6,310 | ||||||
Bangkok Bank NVDR | 431,100 | 2,053 | ||||||
Bank of Ayudhya | 3,719,000 | 2,768 | ||||||
Banpu | 252,100 | 6,338 | ||||||
Bumrungrad Hospital | 1,057,400 | 1,146 | ||||||
CP ALL | 2,985,300 | 4,049 | ||||||
Glow Energy | 1,153,827 | 1,727 | ||||||
Kasikornbank | 1,637,400 | 6,473 | ||||||
Krung Thai Bank | 6,025,900 | 3,229 | ||||||
Quality Houses | 52,810,000 | 3,703 | ||||||
Siam Commercial Bank | 781,500 | 2,676 | ||||||
Thai Airways International | 719,300 | 1,309 | ||||||
Thanachart Capital | 695,600 | 857 | ||||||
Total Access Communication | 502,200 | 714 | ||||||
43,352 | ||||||||
Turkey — 1.0% | ||||||||
Albaraka Turk Katilim Bankasi | 2,193,989 | 4,017 | ||||||
Arcelik | 553,608 | 2,850 | ||||||
Cimsa Cimento Sanayi VE Tica | 217,817 | 1,399 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi‡* | 756,542 | 853 | ||||||
Ford Otomotiv Sanayi | 167,075 | 1,441 | ||||||
Haci Omer Sabanci Holding | 990,068 | 4,874 | ||||||
KOC Holding | 828,331 | 3,880 | ||||||
Tekfen Holding | 25,310 | 101 | ||||||
Turk Ekonomi Bankasi | 1,165,112 | 1,777 | ||||||
Turkcell Iletisim Hizmet ADR | 481,300 | 8,201 | ||||||
Turkiye Garanti Bankasi | 2,698,816 | 14,932 | ||||||
Turkiye Sinai Kalkinma Bankasi | 1,429,188 | 2,342 | ||||||
46,667 | ||||||||
United Kingdom — 14.0% | ||||||||
3i Group | 219,058 | 1,018 | ||||||
Acergy | 116,978 | 2,328 | ||||||
Aggreko | 246,189 | 5,617 | ||||||
Anglo American | 114,457 | 5,027 | ||||||
Antofagasta | 101,766 | 2,084 | ||||||
ARM Holdings | 1,712,572 | 10,556 | ||||||
Associated British Foods | 265,354 | 4,384 | ||||||
AstraZeneca ADR(A) | 415,800 | 19,513 | ||||||
AstraZeneca | 706,715 | 32,968 | ||||||
Aviva | 671,368 | 3,707 | ||||||
BAE Systems ADR | 755,100 | 15,608 | ||||||
BAE Systems | 148,324 | 763 | ||||||
Barclays | 579,471 | 2,312 | ||||||
Barclays ADR(A) | 439,600 | 7,095 | ||||||
BG Group | 994,405 | 17,987 | ||||||
BHP Billiton | 388,279 | 13,817 |
Description | Shares | Market Value ($ Thousands) | ||||||
BP | 1,932,671 | $ | 12,821 | |||||
British Airways* | 335,202 | 1,334 | ||||||
British American Tobacco ADR | 222,600 | 16,228 | ||||||
British American Tobacco | 1,052,118 | 38,185 | ||||||
British Sky Broadcasting Group | 964,823 | 10,826 | ||||||
BT Group, Cl A | 1,524,758 | 4,037 | ||||||
Cape | 112,128 | 625 | ||||||
Carnival | 443,879 | 18,125 | ||||||
Catlin Group | 110,899 | 573 | ||||||
Centrica | 3,138,172 | 15,009 | ||||||
Compass Group | 217,412 | 1,881 | ||||||
Compass Group ADR | 1,811,400 | 15,723 | ||||||
Diageo | 145,038 | 2,584 | ||||||
Diageo ADR | 215,600 | 15,450 | ||||||
DS Smith | 173,654 | 504 | ||||||
Fresnillo | 6,357 | 140 | ||||||
GlaxoSmithKline | 212,025 | 4,002 | ||||||
GlaxoSmithKline ADR | 565,300 | 21,640 | ||||||
Hamworthy | 22,253 | 135 | ||||||
HSBC Holdings | 1,866,130 | 18,841 | ||||||
Imperial Tobacco Group | 386,259 | 11,345 | ||||||
Intercontinental Hotels Group | 20,754 | 369 | ||||||
Intermediate Capital Group | 1,036,010 | 5,047 | ||||||
International Power | 217,241 | 1,379 | ||||||
Investec | 439,246 | 3,404 | ||||||
Johnson Matthey | 50,586 | 1,405 | ||||||
Kingfisher | 3,827,523 | 14,008 | ||||||
Legal & General Group | 2,717,049 | 3,867 | ||||||
Lloyds Banking Group | 4,490,680 | 4,225 | ||||||
Man Group | 1,040,614 | 4,293 | ||||||
Marks & Spencer Group ADR | 696,400 | 8,120 | ||||||
Next | 89,482 | 2,801 | ||||||
Pearson ADR(A) | 940,600 | 13,639 | ||||||
Pearson | 623,906 | 8,997 | ||||||
Pennon Group | 84,411 | 826 | ||||||
Petrofac | 364,270 | 7,891 | ||||||
Prudential | 183,912 | 1,627 | ||||||
Reckitt Benckiser Group | 429,674 | 22,751 | ||||||
Rexam | 353,210 | 1,658 | ||||||
Rio Tinto | 402,740 | 25,587 | ||||||
Rio Tinto ADR(A) | 137,600 | 8,824 | ||||||
Royal & Sun Alliance Insurance Group | 489,054 | 915 | ||||||
Royal Bank of Scotland Group* | 5,917,510 | 3,464 | ||||||
SABMiller | 422,505 | 13,383 | ||||||
Sage Group ADR | 488,800 | 7,943 | ||||||
Schroders | 40,193 | 999 | ||||||
Severn Trent | 51,828 | 1,167 | ||||||
Shire | 361,083 | 8,452 | ||||||
Smith & Nephew | 872,645 | 7,916 | ||||||
Standard Chartered | 947,304 | 25,537 | ||||||
Tesco | 3,072,495 | 19,824 | ||||||
Unilever | 90,013 | 2,491 | ||||||
Unilever ADR(A) | 537,300 | 15,023 | ||||||
United Utilities Group | 168,601 | 1,566 | ||||||
Vodafone Group | 4,726,125 | 11,832 | ||||||
Weir Group | 212,370 | 5,755 | ||||||
Whitbread | 55,102 | 1,449 | ||||||
WPP | 730,432 | 8,094 | ||||||
631,320 | ||||||||
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
United States — 2.0% | ||||||||
Advance America Cash Advance Centers | 171,640 | $ | 817 | |||||
Axis Capital Holdings | 472,600 | 16,702 | ||||||
Boise(A) | 478,443 | 3,516 | ||||||
Calamos Asset Management, Cl A | 36,343 | 434 | ||||||
Cardtronics* | 14,445 | 244 | ||||||
Central Garden and Pet* | 45,888 | 425 | ||||||
Clearwater Paper* | 5,300 | 427 | ||||||
ConocoPhillips | 46,703 | 2,810 | ||||||
Eli Lilly | 379,974 | 12,790 | ||||||
Golden Star Resources* | 377,686 | 1,632 | ||||||
Healthspring* | 36,722 | 985 | ||||||
Par Pharmaceutical* | 20,157 | 724 | ||||||
PHH* | 47,538 | 1,009 | ||||||
RenaissanceRe Holdings | 389,700 | 23,491 | ||||||
Southern Copper | 228,100 | 9,564 | ||||||
Thomson Reuters (CAD)(A) | 250,600 | 9,125 | ||||||
UnitedHealth Group | 7,351 | 269 | ||||||
USA Mobility | 17,647 | 300 | ||||||
Virgin Media(A) | 178,700 | 4,553 | ||||||
World Acceptance* (A) | 19,648 | 867 | ||||||
90,684 | ||||||||
Total Common Stock (Cost $3,785,262) ($ Thousands) | 4,172,987 | |||||||
PREFERRED STOCK — 1.4% | ||||||||
Brazil — 0.2% | ||||||||
Banco Bradesco | 265,410 | 5,180 | ||||||
Cia Energetica de Minas Gerais | 120,910 | 2,004 | ||||||
Randon Participacoes | 238,300 | 1,912 | ||||||
Tekno Industria e Comercio | 1 | — | ||||||
Tim Participacoes | 670,300 | 2,156 | ||||||
11,252 | ||||||||
Germany — 1.2% | ||||||||
Draegerwerk | 3,838 | 283 | ||||||
Henkel | 189,230 | 11,638 | ||||||
KSB | 304 | 220 | ||||||
ProSiebenSat.1 Media | 182,608 | 4,823 | ||||||
Volkswagen | 216,477 | 34,887 | ||||||
51,851 | ||||||||
Total Preferred Stock (Cost $40,187) ($ Thousands) | 63,103 | |||||||
EXCHANGE TRADED FUND — 0.0% | ||||||||
United States — 0.0% | ||||||||
iShares MSCI EAFE Index Fund | 4,900 | 266 | ||||||
Total Exchange Traded Fund (Cost $244) ($ Thousands) | 266 | |||||||
WARRANTS — 0.0% | ||||||||
Singapore — 0.0% | ||||||||
Golden Agri-Resources, Expires 05/29/12* | 176,797 | 24 | ||||||
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hong Kong — 0.0% | ||||||||
Henderson Land Development, Expires 12/31/49* | 43,200 | $ | 14 | |||||
Total Warrants (Cost $0) ($ Thousands) | 38 | |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Brazil — 0.0% | ||||||||
Hypermarcas, Expires 12/10/10 | 216 | — | ||||||
China — 0.0% | ||||||||
Ind & Comm Bank of China, Expires 12/20/10 | 946,980 | 311 | ||||||
Total Rights | 311 | |||||||
AFFILIATED PARTNERSHIP — 7.4% |
| |||||||
SEI Liquidity Fund, L.P. | 336,574,902 | 333,998 | ||||||
Total Affiliated Partnership (Cost $336,575) ($ Thousands) | 333,998 | |||||||
CASH EQUIVALENT — 3.8% | ||||||||
SEI Daily Income Trust, Prime | 172,448,084 | 172,448 | ||||||
Total Cash Equivalent (Cost $172,448) ($ Thousands) | 172,448 | |||||||
U.S. TREASURY OBLIGATION — 0.8% |
| |||||||
U.S. Treasury Bill | ||||||||
0.199%, 12/16/10 (C) (D) | $ | 34,809 | 34,807 | |||||
Total U.S. Treasury Obligation (Cost $34,805) ($ Thousands) | 34,807 | |||||||
Total Investments — 106.2% (Cost $4,369,521)($ Thousands) | $ | 4,777,958 | ||||||
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 1,871 | Dec-2010 | $ | (2,877 | ) | |||||||
FTSE Index | 577 | Dec-2010 | (65 | ) | ||||||||
Hang Seng Index | 42 | Dec-2010 | (38 | ) | ||||||||
Nikkei 225 Index | 11 | Dec-2010 | 45 | |||||||||
S&P TSE 60 Index | 170 | Dec-2010 | 1,305 | |||||||||
SPI 200 Index | 140 | Dec-2010 | (204 | ) | ||||||||
Topix Index | 398 | Dec-2010 | 2,082 | |||||||||
$ | 248 | |||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,500,797 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $317,808 ($ Thousands). |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | Zero coupon security. The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open future contracts. |
(E) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $333,998 ($ Thousands). |
ADR — American Depositary Receipt
ARM — Adjustable Rate Mortgage
CAD — Canadian Dollar
Cl — Class
DJ — Dow Jones
EGP — Egyptian Pound
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound Sterling
GDR — Global Depositary Receipt
IDR — Indonesian Rupiah
INR — Indian Rupee
L.P. — Limited Partnership
NVDR — Non-Voting Depositary Receipt
S&P — Standard & Poor’s
Ser — Series
SPI — Share Price Index
TSE — Toronto Stock Exchange
USD — U.S. Dollar
ZAR — South African Rand
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2010
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,172,987 | $ | — | $ | — | $ | 4,172,987 | ||||||||
Preferred Stock | 63,103 | — | — | 63,103 | ||||||||||||
Exchange Traded Fund | 266 | — | — | 266 | ||||||||||||
Warrants | 38 | — | — | 38 | ||||||||||||
Rights | 311 | — | — | 311 | ||||||||||||
Affiliated Partnership | — | 333,998 | — | 333,998 | ||||||||||||
Cash Equivalent | 172,448 | — | — | 172,448 | ||||||||||||
U.S. Treasury Obligation | — | 34,807 | — | 34,807 | ||||||||||||
Total Investments in Securities | $ | 4,409,153 | $ | 368,805 | $ | — | $ | 4,777,958 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 248 | $ | — | $ | — | $ | 248 | ||||||||
Total Other Financial Instruments | $ | 248 | $ | — | $ | — | $ | 248 | ||||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $411,166 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
11 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 90.7% | ||||||||
Australia — 3.6% | ||||||||
Australia & New Zealand Banking Group | 12,691 | $ | 276 | |||||
BGP Holdings* | 4,500 | — | ||||||
BHP Billiton | 21,279 | 872 | ||||||
Caltex Australia | 11,274 | 142 | ||||||
Coca-Cola Amatil | 2,904 | 31 | ||||||
Fortescue Metals Group* | 14,674 | 89 | ||||||
Orica | 3,588 | 86 | ||||||
OZ Minerals | 94,617 | 139 | ||||||
Qantas Airways | 25,268 | 64 | ||||||
Rio Tinto | 8,591 | 677 | ||||||
Santos | 15,426 | 184 | ||||||
SP AusNet, Cl Miscellaneous | 28,823 | 25 | ||||||
Stockland‡ | 13,954 | 49 | ||||||
Suncorp-Metway | 896 | 8 | ||||||
Thorn Group | 18,819 | 32 | ||||||
Westfield Group‡* | 7,076 | 63 | ||||||
Woodside Petroleum | 1,291 | 52 | ||||||
Woolworths | 4,253 | 109 | ||||||
2,898 | ||||||||
Austria — 0.1% | ||||||||
IMMOFINANZ* | 5,265 | 19 | ||||||
Voestalpine | 1,070 | 43 | ||||||
62 | ||||||||
Belgium — 0.8% | ||||||||
InBev | 5,698 | 311 | ||||||
KBC Groep | 2,233 | 79 | ||||||
Recticel | 5,843 | 54 | ||||||
Telenet Group Holding | 1,528 | 55 | ||||||
Umicore | 2,753 | 131 | ||||||
630 | ||||||||
Brazil — 1.3% | ||||||||
Banco Bradesco ADR | 6,612 | 133 | ||||||
Banco do Brasil | 4,700 | 90 | ||||||
BM&F Bovespa SA | 35,800 | 272 | ||||||
Empresa Brasileira de Aeronautica ADR | 6,200 | 180 | ||||||
Lojas Renner | 2,600 | 91 | ||||||
Natura Cosmeticos | 10,100 | 270 | ||||||
1,036 | ||||||||
Canada — 7.7% | ||||||||
Agrium | 1,400 | 112 | ||||||
Alimentation Couche Tard, Cl B | 3,400 | 85 | ||||||
Bank of Montreal | 1,900 | 111 | ||||||
Bank of Nova Scotia | 100 | 5 | ||||||
Barrick Gold | 4,190 | 217 | ||||||
Baytex Energy Trust | 2,600 | 109 | ||||||
BCE | 2,000 | 68 | ||||||
Brookfield Asset Management, Cl A | 4,700 | 137 | ||||||
Canadian Imperial Bank of Commerce | 3,000 | 231 | ||||||
Canadian National Railway | 11,610 | 741 | ||||||
Canadian Natural Resources | 17,800 | 684 |
Description | Shares | Market Value ($ Thousands) | ||||||
Canadian Oil Sands Trust | 2,800 | $ | 76 | |||||
Canadian Pacific Railway | 1,300 | 83 | ||||||
Canadian Tire, Cl A | 400 | 25 | ||||||
Cenovus Energy | 1,074 | 31 | ||||||
CGI Group, Cl A* | 5,600 | 88 | ||||||
Cott* | 19,900 | 165 | ||||||
Domtar | 519 | 39 | ||||||
Dorel Industries, Cl B | 1,100 | 36 | ||||||
Enbridge | 5,960 | 332 | ||||||
EnCana | 17,769 | 492 | ||||||
Finning International | 2,083 | 50 | ||||||
Flint Energy Services (Canada)* | 8,100 | 133 | ||||||
George Weston | 390 | 30 | ||||||
High Liner Foods* | 400 | 5 | ||||||
IAMGOLD | 5,238 | 86 | ||||||
Imperial Oil | 600 | 22 | ||||||
Loblaw | 200 | 8 | ||||||
Magna International, Cl A | 7,480 | 357 | ||||||
Manulife Financial | 700 | 10 | ||||||
Metro, Cl A | 400 | 18 | ||||||
National Bank of Canada | 1,400 | 92 | ||||||
Nexen | 2,106 | 44 | ||||||
Nordion* | 3 | — | ||||||
Onex | 100 | 3 | ||||||
Pacific Rubiales Energy | 7,900 | 246 | ||||||
Potash Corp of Saskatchewan | 1,400 | 201 | ||||||
Potash Saskatchewan | 1,200 | 173 | ||||||
Research In Motion* | 4,800 | 296 | ||||||
RioCan Real Estate Investment Trust‡ | 2,000 | 42 | ||||||
Rogers Communications, Cl B | 1,200 | 42 | ||||||
Royal Bank of Canada | 200 | 11 | ||||||
Sherritt International | 1,800 | 14 | ||||||
Talisman Energy | 2,400 | 46 | ||||||
Teck Cominco, Cl B | 3,200 | 159 | ||||||
Toronto-Dominion Bank | 2,400 | 173 | ||||||
6,128 | ||||||||
China — 1.9% | ||||||||
Air China, Cl H | 80,000 | 104 | ||||||
China Construction Bank, Cl H | 151,000 | 136 | ||||||
China Merchants Bank, Cl H | 110,624 | 287 | ||||||
China Telecom, Cl H | 6,000 | 3 | ||||||
China Yurun Food Group | 26,900 | 96 | ||||||
Dongfeng Motor Group, Cl H | 64,000 | 122 | ||||||
Industrial & Commercial Bank of China, Cl H | 432,000 | 336 | ||||||
Pacific Textile Holdings | 75,000 | 46 | ||||||
Ping An Insurance Group of China, Cl H | 14,500 | 167 | ||||||
Sina* | 1,040 | 67 | ||||||
Sinopharm Group, Cl H | 51,035 | 187 | ||||||
1,551 | ||||||||
Denmark — 1.7% | ||||||||
AP Moller - Maersk, Cl B | 2 | 16 | ||||||
AP Moller - Maersk | 1 | 8 | ||||||
Carlsberg, Cl B | 2,138 | 202 | ||||||
Coloplast, Cl B | 554 | 74 | ||||||
Danisco | 871 | 67 | ||||||
Novo-Nordisk, Cl B | 8,702 | 863 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Vestas Wind Systems* | 4,501 | $ | 129 | |||||
1,359 | ||||||||
Finland — 1.6% | ||||||||
Fortum | 512 | 14 | ||||||
Kesko, Cl B | 1,048 | 48 | ||||||
Kone, Cl B | 4,452 | 234 | ||||||
Metso | 4,411 | 227 | ||||||
Norvestia, Cl B | 38 | 1 | ||||||
Orion, Cl B | 300 | 6 | ||||||
Sampo, Cl A | 10,177 | 249 | ||||||
Stora Enso, Cl R | 40,344 | 348 | ||||||
UPM-Kymmene | 10,080 | 150 | ||||||
1,277 | ||||||||
France — 5.3% | ||||||||
Air Liquide | 2,825 | 332 | ||||||
Arkema | 611 | 36 | ||||||
AXA | 350 | 5 | ||||||
BNP Paribas | 13,225 | 785 | ||||||
Bureau Veritas | 632 | 46 | ||||||
Christian Dior | 779 | 108 | ||||||
Compagnie de St.-Gobain | 1,222 | 55 | ||||||
Danone | 140 | 8 | ||||||
Dassault Systemes | 1,010 | 69 | ||||||
Eutelsat Communications | 1,306 | 44 | ||||||
France Telecom | 1,576 | 32 | ||||||
Lafarge | 4,800 | 263 | ||||||
Les Nouveaux Constructeurs Investissement | 398 | 4 | ||||||
LVMH Moet Hennessy Louis Vuitton | 3,820 | 581 | ||||||
Natixis | 18,682 | 83 | ||||||
Peugeot | 5,450 | 204 | ||||||
PPR | 964 | 154 | ||||||
Publicis Groupe | 3,900 | 175 | ||||||
Rhodia | 4,014 | 106 | ||||||
Safran | 6,173 | 194 | ||||||
Sanofi-Aventis | 6,953 | 422 | ||||||
Societe Generale | 5,753 | 267 | ||||||
Valeo | 1,893 | 95 | ||||||
Vinci | 1,924 | 93 | ||||||
Vivendi | 3,147 | 77 | ||||||
4,238 | ||||||||
Germany — 5.6% | ||||||||
ADVA Optical Networking* | 1,667 | 12 | ||||||
Aleo Solar* | 600 | 13 | ||||||
Allianz | 3,374 | 371 | ||||||
BASF | 12,122 | 907 | ||||||
Bayer | 210 | 15 | ||||||
Bayerische Motoren Werke | 2,329 | 176 | ||||||
Bilfinger Berger | 637 | 46 | ||||||
Commerzbank | 2,794 | 20 | ||||||
Continental | 929 | 72 | ||||||
DaimlerChrysler | 4,494 | 292 | ||||||
Deutsche Bank | 5,170 | 246 | ||||||
Deutsche Lufthansa | 624 | 13 | ||||||
Deutsche Post | 9,130 | 147 | ||||||
Deutsche Telekom | 7,815 | 100 | ||||||
E.ON | 8,188 | 236 | ||||||
Fresenius Medical Care | 6,393 | 370 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hannover Rueckversicherung | 1,946 | $ | 91 | |||||
Henkel | 1,043 | 53 | ||||||
Infineon Technologies* | 2,341 | 21 | ||||||
Lanxess | 3,242 | 230 | ||||||
Leifheit | 675 | 16 | ||||||
Linde | 674 | 94 | ||||||
Metro | 1,578 | 114 | ||||||
MTU Aero Engines Holding | 1,480 | 86 | ||||||
RWE | 457 | 29 | ||||||
SAP | 9,739 | 456 | ||||||
Siemens | 609 | 67 | ||||||
TUI | 1,572 | 17 | ||||||
United Internet | 2,084 | 30 | ||||||
Volkswagen | 67 | 9 | ||||||
Wacker Chemie | 530 | 91 | ||||||
4,440 | ||||||||
Greece — 0.0% | ||||||||
OPAP | 1,421 | 23 | ||||||
Public Power | 651 | 9 | ||||||
32 | ||||||||
Guernsey — 0.2% | ||||||||
Amdocs* | 4,900 | 127 | ||||||
Hong Kong — 3.1% | ||||||||
Alco Holdings | 54,000 | 24 | ||||||
Allan International Holdings | 62,000 | 28 | ||||||
ASM Pacific Technology | 1,900 | 18 | ||||||
Cathay Pacific Airways | 24,000 | 70 | ||||||
Cheung Kong Holdings | 3,000 | 44 | ||||||
China Mobile | 32,000 | 319 | ||||||
CLP Holdings | 25,000 | 206 | ||||||
First Pacific | 56,000 | 48 | ||||||
Genting Singapore* | 50,000 | 75 | ||||||
Hong Kong Exchanges and Clearing | 18,800 | 431 | ||||||
Hong Kong Ferry Holdings | 10,000 | 10 | ||||||
Hongkong Land Holdings | 16,000 | 108 | ||||||
Hutchison Whampoa | 8,000 | 80 | ||||||
Jardine Matheson Holdings | 800 | 35 | ||||||
Jardine Strategic Holdings | 2,342 | 61 | ||||||
Orient Overseas International | 5,000 | 49 | ||||||
SJM Holdings | 66,000 | 109 | ||||||
Sun Hung Kai Properties | 2,000 | 33 | ||||||
Swire Pacific, Cl A | 25,500 | 393 | ||||||
Wharf Holdings | 19,000 | 128 | ||||||
Wheelock | 19,000 | 68 | ||||||
Wing On International | 30,111 | 58 | ||||||
Yue Yuen Industrial Holdings | 11,500 | 42 | ||||||
2,437 | ||||||||
Hungary — 0.1% | ||||||||
OTP Bank | 4,436 | 101 | ||||||
India — 0.2% | ||||||||
HDFC Bank ADR | 920 | 162 | ||||||
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Indonesia — 0.4% | ||||||||
Asahimas Flat Glass | 20,000 | $ | 13 | |||||
Astra International | 16,500 | 95 | ||||||
Bank Mandiri | 159,500 | 113 | ||||||
Charoen Pokphand Indonesia | 54,000 | 57 | ||||||
Titan Kimia Nusantara* | 396,000 | 7 | ||||||
285 | ||||||||
Ireland — 0.2% | ||||||||
Covidien | 4,300 | 181 | ||||||
Israel — 1.1% | ||||||||
Bank Leumi Le-Israel | 16,030 | 75 | ||||||
Check Point Software Technologies* | 2,300 | 99 | ||||||
Israel Chemicals | 340 | 5 | ||||||
Mizrahi Tefahot Bank | 4,142 | 42 | ||||||
Teva Pharmaceutical Industries | 1,519 | 78 | ||||||
Teva Pharmaceutical Industries ADR | 11,155 | 558 | ||||||
857 | ||||||||
Italy — 1.2% | ||||||||
Banca Intesa | 56,582 | 148 | ||||||
Danieli & C Officine Meccaniche | 620 | 16 | ||||||
Enel | 94,738 | 446 | ||||||
ENI | 994 | 20 | ||||||
Saipem | 2,497 | 104 | ||||||
Snam Rete Gas | 11,653 | 56 | ||||||
Telecom Italia | 76,888 | 90 | ||||||
Terna Rete Elettrica Nazionale | 10,230 | 42 | ||||||
922 | ||||||||
Japan — 15.2% | ||||||||
Adores | 9,000 | 7 | ||||||
Aeon | 8,900 | 108 | ||||||
Aisin Seiki | 1,800 | 58 | ||||||
Alps Electric | 3,900 | 38 | ||||||
Arc Land Sakamoto | 4,500 | 49 | ||||||
Arnest One | 800 | 9 | ||||||
Asahi Glass | 7,000 | 78 | ||||||
Asahi Kasei | 5,000 | 30 | ||||||
Astellas Pharma | 4,100 | 147 | ||||||
AT-Group | 1,000 | 10 | ||||||
Bank of Yokohama | 22,995 | 111 | ||||||
Belluna | 5,450 | 26 | ||||||
Best Denki | 14,000 | 43 | ||||||
Canon | 8,795 | 414 | ||||||
Century Tokyo Leasing | 2,900 | 43 | ||||||
Chiba Bank | 12,000 | 70 | ||||||
Chuo Spring | 3,000 | 11 | ||||||
Cosmo Oil | 31,000 | 88 | ||||||
Daicel Chemical Industries | 10,000 | 68 | ||||||
Daido Steel | 6,000 | 32 | ||||||
Daihatsu Motor | 3,000 | 42 | ||||||
Dai-ichi Life Insurance | 125 | 179 | ||||||
Daiichi Sankyo | 4,600 | 99 | ||||||
Dainichi | 1,700 | 11 | ||||||
Dainippon Screen Manufacturing | 6,000 | 39 | ||||||
Daito Trust Construction | 900 | 56 |
Description | Shares | Market Value ($ Thousands) | ||||||
Daiwa House Industry | 5,000 | $ | 56 | |||||
Dena | 4,600 | 134 | ||||||
Denso | 2,600 | 85 | ||||||
Fanuc | 3,600 | 515 | ||||||
Fields | 16 | 21 | ||||||
First Juken | 2,600 | 23 | ||||||
Fuji Electric Holdings | 20,000 | 53 | ||||||
Fuji Heavy Industries | 30,000 | 222 | ||||||
FUJIFILM Holdings | 5,100 | 171 | ||||||
Fujitsu | 26,000 | 167 | ||||||
Gunma Bank | 2,000 | 10 | ||||||
Happinet | 600 | 7 | ||||||
Hitachi | 131,000 | 619 | ||||||
Hitachi Metals | 1,000 | 11 | ||||||
Hokkan Holdings | 5,000 | 13 | ||||||
Hokuriku Gas | 1,000 | 2 | ||||||
Honda Motor | 4,935 | 177 | ||||||
Idemitsu Kosan | 1,500 | 139 | ||||||
Inpex | 5 | 26 | ||||||
Isuzu Motors | 35,000 | 156 | ||||||
IT Holdings | 200 | 2 | ||||||
Itochu-Shokuhin | 1,200 | 38 | ||||||
JFE Shoji Holdings | 4,000 | 16 | ||||||
JX Holdings | 18,200 | 113 | ||||||
Kamei | 4,000 | 17 | ||||||
Kanaden | 2,000 | 11 | ||||||
Kawasaki Kisen Kaisha | 16,000 | 67 | ||||||
Keiyo Gas | 1,000 | 4 | ||||||
Keyence | 300 | 76 | ||||||
Kikuchi | 600 | 9 | ||||||
Kobe Steel | 30,000 | 68 | ||||||
Komatsu | 27,600 | 764 | ||||||
KRS | 900 | 9 | ||||||
K’s Holdings | 9,500 | 247 | ||||||
Kuraray | 4,600 | 63 | ||||||
Kyocera | 800 | 82 | ||||||
Maruichi Steel Tube | 500 | 10 | ||||||
Maruzen -General Commercial Kitchen Appliances & Equipment | 1,000 | 5 | ||||||
Medipal Holdings | 900 | 10 | ||||||
Mikuni Coca-Cola Bottling | 2,300 | 20 | ||||||
Millea Holdings | 3,400 | 96 | ||||||
Minebea | 11,000 | 65 | ||||||
Mitani | 3,100 | 23 | ||||||
Mitsubishi Chemical Holdings | 6,000 | 34 | ||||||
Mitsubishi Electric | 26,000 | 257 | ||||||
Mitsubishi Gas Chemical | 1,000 | 6 | ||||||
Mitsubishi Materials | 8,000 | 25 | ||||||
Mitsubishi UFJ Financial Group | 149,100 | 705 | ||||||
Mitsui Chemicals | 7,000 | 21 | ||||||
Mitsui Mining & Smelting | 3,000 | 9 | ||||||
Mitsui OSK Lines | 6,000 | 41 | ||||||
Mitsui Trust Holdings | 25,000 | 88 | ||||||
Mizuho Financial Group | 45,700 | 73 | ||||||
Murakami | 1,000 | 12 | ||||||
Murata Manufacturing | 1,200 | 73 | ||||||
Nichireki | 8,000 | 30 | ||||||
NIFTY | 10 | 10 | ||||||
Nippon Game Card* | 10 | 13 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Nippon Light Metal | 18,000 | $ | 32 | |||||
Nippon Telegraph & Telephone | 9,300 | 421 | ||||||
Nippon Yusen | 2,000 | 9 | ||||||
Nishi-Nippon City Bank | 12,000 | 33 | ||||||
Nisshin Fudosan | 4,800 | 33 | ||||||
Nisshin Steel | 35,000 | 64 | ||||||
Nissin Sugar Manufacturing | 10,000 | 21 | ||||||
Nitto Denko | 500 | 21 | ||||||
Nitto Fuji Flour Milling | 2,000 | 7 | ||||||
NSK | 3,000 | 25 | ||||||
NTT Data | 8 | 26 | ||||||
NTT DoCoMo | 112 | 182 | ||||||
Obayashi Road | 14,000 | 25 | ||||||
Omron | 3,800 | 94 | ||||||
Onoken | 3,300 | 26 | ||||||
Oriental Land | 1,400 | 127 | ||||||
ORIX | 1,830 | 156 | ||||||
Osaka Gas | 14,000 | 52 | ||||||
Pacific Industrial | 4,000 | 19 | ||||||
Raysum | 59 | 17 | ||||||
Resona Holdings | 9,200 | 56 | ||||||
Saison Information Systems | 1,700 | 21 | ||||||
San-Ai Oil | 3,000 | 13 | ||||||
Sanei Architecture Planning | 200 | 6 | ||||||
Sanoh Industrial | 1,100 | 9 | ||||||
Sanrio | 3,500 | 85 | ||||||
Sanyo Housing Nagoya | 20 | 18 | ||||||
Sega Sammy Holdings | 4,000 | 67 | ||||||
Seiko Epson | 3,200 | 53 | ||||||
Seino Holdings | 21,000 | 132 | ||||||
Senshu Electric | 1,600 | 15 | ||||||
Shidax | 6,700 | 23 | ||||||
Shinsei Bank | 15,000 | 13 | ||||||
Shoei Foods | 1,000 | 6 | ||||||
Showa Shell Sekiyu | 11,800 | 98 | ||||||
SMC | 1,200 | 191 | ||||||
Softbank | 6,600 | 228 | ||||||
Soken Chemical & Engineering | 700 | 9 | ||||||
Sony | 6,000 | 213 | ||||||
Starts | 1,500 | 5 | ||||||
Sumikin Bussan | 6,000 | 13 | ||||||
Sumitomo | 3,300 | 43 | ||||||
Sumitomo Electric Industries | 5,800 | 76 | ||||||
Sumitomo Metal Mining | 1,000 | 16 | ||||||
Sumitomo Mitsui Financial Group | 3,400 | 104 | ||||||
Sumitomo Trust & Banking | 22,000 | 117 | ||||||
Takagi Securities | 12,000 | 16 | ||||||
Takeda Pharmaceutical | 8,700 | 404 | ||||||
TDK | 1,000 | 64 | ||||||
Tohoku Electric Power | 500 | 11 | ||||||
Tokai | 1,200 | 17 | ||||||
Tokyo Electron | 400 | 25 | ||||||
Tokyo Gas | 14,000 | 61 | ||||||
Tokyo Tatemono | 8,000 | 31 | ||||||
Tokyu Construction | 20,680 | 60 | ||||||
TonenGeneral Sekiyu | 1,000 | 10 | ||||||
Toyota Industries | 400 | 12 | ||||||
Toyota Motor | 10,072 | 387 | ||||||
Toyota Tsusho | 800 | 13 | ||||||
Unicharm | 2,100 | 82 | ||||||
West Japan Railway | 20 | 70 | ||||||
Yagi | 300 | 4 |
Description | Shares | Market Value ($ Thousands) | ||||||
Yahoo! Japan | 17 | $ | 6 | |||||
Yamada Denki | 660 | 42 | ||||||
Yokohama Rubber | 6,000 | 30 | ||||||
Zeon | 12,000 | 97 | ||||||
12,147 | ||||||||
Macau — 0.0% | ||||||||
Sands China* | 8,000 | 17 | ||||||
Wynn Macau | 10,400 | 21 | ||||||
38 | ||||||||
Malaysia — 1.2% | ||||||||
Axiata Group* | 54,000 | 78 | ||||||
CIMB Group Holdings | 155,600 | 415 | ||||||
DRB-Hicom | 169,400 | 68 | ||||||
EON Capital* | 9,500 | 21 | ||||||
General | 86,900 | 44 | ||||||
Hong Leong Financial Group | 7,200 | 20 | ||||||
Malayan Banking | 77,700 | 209 | ||||||
Sime Darby | 47,700 | 131 | ||||||
986 | ||||||||
Mexico — 1.4% | ||||||||
Alfa, Cl A | 4,500 | 41 | ||||||
America Movil, Ser L | 113,600 | 321 | ||||||
America Movil ADR, Ser L | 4,900 | 277 | ||||||
Grupo KUO De | 9,900 | 14 | ||||||
Telefonos de Mexico, Cl L | 99,400 | 80 | ||||||
Wal-Mart de Mexico | 128,600 | 364 | ||||||
1,097 | ||||||||
Netherlands — 1.9% | ||||||||
Akzo Nobel | 261 | 14 | ||||||
ArcelorMittal | 10,600 | 335 | ||||||
ASML Holding | 2,914 | 94 | ||||||
Core Laboratories | 1,510 | 129 | ||||||
European Aeronautic Defense and Space | 7,459 | 168 | ||||||
Fugro | 86 | 6 | ||||||
Heineken | 1,626 | 76 | ||||||
ING Groep | 35,296 | 312 | ||||||
Koninklijke Ahold | 3,792 | 46 | ||||||
Koninklijke Philips Electronics | 3,176 | 86 | ||||||
Nutreco | 766 | 54 | ||||||
Royal KPN | 9,768 | 140 | ||||||
Unilever | 2,550 | 72 | ||||||
1,532 | ||||||||
New Zealand — 0.1% | ||||||||
Telecom of New Zealand | 37,529 | 60 | ||||||
Norway — 0.8% | ||||||||
DnB | 18,954 | 232 | ||||||
Marine Harvest | 65,290 | 61 | ||||||
Seadrill | 4,353 | 133 | ||||||
Telenor | 8,938 | 128 | ||||||
Yara International | 2,407 | 115 | ||||||
669 | ||||||||
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
Peru — 0.2% | ||||||||
Credicorp | 1,045 | $ | 125 | |||||
Philippines — 0.1% | ||||||||
Alaska Milk | 33,900 | 10 | ||||||
Benpres Holdings* | 587,700 | 60 | ||||||
Philippine National Bank* | 31,100 | 43 | ||||||
113 | ||||||||
Poland — 0.7% | ||||||||
Getin Holding* | 3,605 | 13 | ||||||
KGHM Polska Miedz | 7,166 | 310 | ||||||
Polski Koncern Naftowy Orlen | 9,007 | 125 | ||||||
Tauron Polska Energia* | 54,387 | 109 | ||||||
557 | ||||||||
Portugal — 0.3% | ||||||||
Energias de Portugal | 15,649 | 50 | ||||||
Galp Energia SGPS, Cl B | 2,627 | 44 | ||||||
Jeronimo Martins | 6,093 | 87 | ||||||
Portugal Telecom | 6,607 | 84 | ||||||
265 | ||||||||
Russia — 0.0% | ||||||||
Surgutneftegaz ADR | 3,407 | 32 | ||||||
Singapore — 1.1% | ||||||||
CapitaCommercial Trust‡ | 47,000 | 53 | ||||||
CapitaMall Trust‡ | 21,000 | 29 | ||||||
DBS Group Holdings | 5,700 | 60 | ||||||
GP Batteries International | 40,000 | 52 | ||||||
Hiap Seng Engineering | 89,000 | 42 | ||||||
Ho Bee Investment | 55,000 | 65 | ||||||
Jardine Cycle & Carriage | 3,000 | 84 | ||||||
Keppel Land | 14,000 | 50 | ||||||
Oversea-Chinese Banking | 1,000 | 8 | ||||||
SembCorp Marine | 2,000 | 7 | ||||||
Singapore Airlines | 2,000 | 23 | ||||||
United Overseas Bank | 7,000 | 98 | ||||||
UOL Group | 18,000 | 62 | ||||||
Yangzijiang Shipbuilding Holdings | 170,000 | 232 | ||||||
865 | ||||||||
South Africa — 0.3% | ||||||||
MTN Group | 14,416 | 246 | ||||||
Stefanutti Stocks Holdings | 7,228 | 12 | ||||||
258 | ||||||||
South Korea — 2.4% | ||||||||
Celltrion | 1,700 | 47 | ||||||
Hana Financial Group | 5,850 | 192 | ||||||
Hyundai Steel | 1,148 | 109 | ||||||
Kia Motors | 11,310 | 477 | ||||||
Kolon Industries | 4,900 | 138 | ||||||
KT | 1,010 | 40 | ||||||
LG | 2,500 | 176 | ||||||
LG Chemical | 420 | 141 | ||||||
LG Electronics | 777 | 69 | ||||||
LG.Philips LCD | 4,110 | 140 | ||||||
Nexen | 1,031 | 51 | ||||||
Nong Shim Holdings | 604 | 30 |
Description | Shares | Market Value ($ Thousands) | ||||||
Shinhan Financial Group | 200 | $ | 8 | |||||
STX Engine | 2,000 | 56 | ||||||
Taekwang Industrial | 129 | 159 | ||||||
Woori Finance Holdings | 9,050 | 112 | ||||||
1,945 | ||||||||
Spain — 1.3% | ||||||||
Banco Bilbao Vizcaya Argentaria | 4,000 | 37 | ||||||
Banco Pastor | 23 | — | ||||||
Banco Santander Central Hispano | 7,132 | 68 | ||||||
Criteria Caixacorp | 5,626 | 28 | ||||||
Inditex | 1,916 | 145 | ||||||
Repsol | 6,711 | 162 | ||||||
Telefonica | 27,770 | 592 | ||||||
1,032 | ||||||||
Sweden — 2.6% | ||||||||
Assa Abloy, Cl B | 5,520 | 148 | ||||||
Atlas Copco, Cl A | 13,324 | 294 | ||||||
Billerud | 1,324 | 11 | ||||||
Elekta, Cl B | 1,775 | 60 | ||||||
Hennes & Mauritz, Cl B | 11,178 | 377 | ||||||
Husqvarna, Cl B | 24,300 | 169 | ||||||
Kabe Husvagnar, Cl B | 400 | 6 | ||||||
Nordea Bank | 15,911 | 158 | ||||||
Scania, Cl B | 6,482 | 132 | ||||||
Skandinaviska Enskilda Banken, Cl A | 7,262 | 53 | ||||||
SKF, Cl B | 1,309 | 35 | ||||||
Svenska Cellulosa, Cl B | 4,829 | 70 | ||||||
Svenska Handelsbanken, Cl A | 1,435 | 43 | ||||||
Tele2, Cl B | 3,701 | 74 | ||||||
TeliaSonera | 9,422 | 73 | ||||||
Volvo, Cl B | 23,253 | 338 | ||||||
2,041 | ||||||||
Switzerland — 5.3% | ||||||||
Clariant | 2,237 | 41 | ||||||
Compagnie Financiere Richemont | 1,915 | 104 | ||||||
Credit Suisse Group | 468 | 17 | ||||||
Julius Baer Group | 4,701 | 180 | ||||||
Julius Baer Holding | 5,537 | 82 | ||||||
Kuehne + Nagel International | 53 | 7 | ||||||
Logitech International* | 8,789 | 169 | ||||||
Nestle | 19,014 | 1,041 | ||||||
Novartis | 14,206 | 759 | ||||||
Roche Holding | 3,039 | 420 | ||||||
Schindler Holding | 1,529 | 174 | ||||||
STMicroelectronics | 18,078 | 162 | ||||||
Swatch Group | 920 | 67 | ||||||
Swatch Group, Cl B | 734 | 297 | ||||||
Swiss Life Holding | 421 | 47 | ||||||
Temenos Group* | 1,087 | 36 | ||||||
UBS | 23,257 | 351 | ||||||
Xstrata | 2,193 | 44 | ||||||
Zurich Financial Services | 931 | 209 | ||||||
4,207 | ||||||||
Taiwan — 1.5% | ||||||||
Asia Polymer | 30,000 | 36 | ||||||
Asustek Computer | 1,350 | 12 | ||||||
Chunghwa Telecom ADR | 6,399 | 154 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares | Market Value ($ Thousands) | ||||||
CMC Magnetics* | 78,000 | $ | 19 | |||||
Elitegroup Computer Systems | 52,000 | 19 | ||||||
Formosa Chemicals & Fibre | 5,000 | 15 | ||||||
Formosa Petrochemical | 7,000 | 19 | ||||||
Formosa Plastics | 40,000 | 119 | ||||||
High Tech Computer | 13,500 | 374 | ||||||
HON HAI Precision Industry | 6,720 | 24 | ||||||
Nan Ya Plastics | 6,000 | 13 | ||||||
Pegatron* | 3,633 | 5 | ||||||
Quanta Computer | 8,000 | 16 | ||||||
Taiwan Semiconductor Manufacturing | 63,258 | 132 | ||||||
United Microelectronics ADR | 41,062 | 117 | ||||||
Wintek | 60,000 | 107 | ||||||
Yageo | 72,000 | 31 | ||||||
Zenitron | 23,000 | 15 | ||||||
1,227 | ||||||||
Thailand — 0.8% | ||||||||
Bangchak Petroleum | 7,700 | 4 | ||||||
Bangkok Bank | 34,600 | 165 | ||||||
Banpu | 6,600 | 166 | ||||||
CP ALL | 78,500 | 106 | ||||||
Thai Airways International | 108,300 | 197 | ||||||
638 | ||||||||
Turkey — 0.6% | ||||||||
KOC Holding | 21,780 | 102 | ||||||
Turkiye Garanti Bankasi | 59,420 | 329 | ||||||
Turkiye Is Bankasi, Cl C | 5,107 | 20 | ||||||
Yapi ve Kredi Bankasi* | 3,676 | 12 | ||||||
463 | ||||||||
United Kingdom — 15.6% | ||||||||
3i Group | 18,337 | 85 | ||||||
Acergy | 4,500 | 90 | ||||||
Aggreko | �� | 6,004 | 137 | |||||
Anglo American | 5,117 | 225 | ||||||
ARM Holdings | 39,258 | 242 | ||||||
Associated British Foods | 8,858 | 146 | ||||||
AstraZeneca | 17,143 | 800 | ||||||
Aviva | 10,781 | 59 | ||||||
BAE Systems | 5,883 | 30 | ||||||
Barclays | 39,141 | 156 | ||||||
BG Group | 34,417 | 623 | ||||||
BHP Billiton | 14,445 | 514 | ||||||
BP | 68,569 | 455 | ||||||
British Airways* | 12,470 | 50 | ||||||
British American Tobacco | 27,187 | 987 | ||||||
British Sky Broadcasting Group | 19,833 | 223 | ||||||
BT Group, Cl A | 38,242 | 101 | ||||||
Carnival | 9,924 | 405 | ||||||
Catlin Group | 2,693 | 14 | ||||||
Centrica | 62,288 | 298 | ||||||
Compass Group | 8,114 | 70 | ||||||
Dart Group | 7,297 | 10 | ||||||
Diageo | 6,160 | 110 | ||||||
Firstgroup | 2,249 | 13 | ||||||
Fresnillo | 220 | 5 | ||||||
GlaxoSmithKline | 9,741 | 184 | ||||||
HSBC Holdings | 59,711 | 603 | ||||||
Imperial Tobacco Group | 9,536 | 280 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intermediate Capital Group | 6,930 | $ | 34 | |||||
International Power | 8,492 | 54 | ||||||
Investec | 17,283 | 134 | ||||||
ITV | 4,500 | 5 | ||||||
Johnson Matthey | 1,980 | 55 | ||||||
Kingfisher | 93,182 | 341 | ||||||
Legal & General Group | 120,697 | 172 | ||||||
Lloyds Banking Group | 134,502 | 126 | ||||||
Meggitt | 23,260 | 118 | ||||||
National Grid | 1,736 | 15 | ||||||
Next | 1,979 | 62 | ||||||
Pearson | 13,936 | 201 | ||||||
Pennon Group | 3,298 | 32 | ||||||
Prudential | 6,271 | 55 | ||||||
Reckitt Benckiser Group | 9,371 | 496 | ||||||
Rexam | 2,928 | 14 | ||||||
Rio Tinto | 12,502 | 794 | ||||||
Royal Bank of Scotland Group* | 223,280 | 131 | ||||||
SABMiller | 9,044 | 286 | ||||||
Schroders | 1,571 | 39 | ||||||
Severn Trent | 2,765 | 62 | ||||||
Shire | 10,500 | 246 | ||||||
Smith & Nephew | 19,355 | 176 | ||||||
Standard Chartered | 23,827 | 642 | ||||||
Tesco | 61,510 | 397 | ||||||
Unilever | 3,271 | 90 | ||||||
United Utilities Group | 6,379 | 59 | ||||||
Vodafone Group | 150,793 | 377 | ||||||
Whitbread | 2,050 | 54 | ||||||
WPP | 20,200 | 224 | ||||||
12,406 | ||||||||
United States — 1.2% | ||||||||
Boise | 9,225 | 68 | ||||||
Capital One Financial | 2,644 | 98 | ||||||
ConocoPhillips | 2,900 | 174 | ||||||
Eli Lilly | 6,983 | 235 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 97 | 10 | ||||||
Golden Star Resources* | 6,080 | 26 | ||||||
Southern Copper | 5,100 | 214 | ||||||
Thomson Reuters (CAD) | 3,200 | 117 | ||||||
942 | ||||||||
Total Common Stock | 72,368 | |||||||
PREFERRED STOCK — 1.3% | ||||||||
Germany — 1.3% | ||||||||
Henkel | 2,084 | 128 | ||||||
ProSiebenSat.1 Media | 6,263 | 165 | ||||||
RWE | 88 | 5 | ||||||
Volkswagen | 4,603 | 742 | ||||||
1,040 | ||||||||
South Korea — 0.0% | ||||||||
LG | 280 | 8 | ||||||
Total Preferred Stock | 1,048 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WARRANTS — 0.0% | ||||||||
Singapore — 0.0% | ||||||||
Golden Agri-Resources, Expires 05/29/12* | 5,951 | $ | 1 | |||||
Hong Kong — 0.0% | ||||||||
Henderson Land Development, Expires 12/31/49* | 2,600 | 1 | ||||||
Total Warrants | 2 | |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
China — 0.0% | ||||||||
Ind & Comm Bank of China, Expires 12/20/10 | 19,440 | 7 | ||||||
Total Rights | 7 | |||||||
CASH EQUIVALENT — 4.6% | ||||||||
SEI Daily Income Trust, Prime | ||||||||
0.120%**† | 3,635,154 | 3,635 | ||||||
Total Cash Equivalent (Cost $3,635) ($ Thousands) | 3,635 | |||||||
U.S. TREASURY OBLIGATION — 0.4% | ||||||||
U.S. Treasury Bill 0.198%, 12/16/10 (A) (B) | 318 | 318 | ||||||
Total U.S. Treasury Obligation | 318 | |||||||
Total Investments — 97.0% | $ | 77,378 | ||||||
A summary of the open futures contracts held by the Fund at November 30, 2010, is as
|
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 35 | Dec-2010 | $ | (66 | ) | |||||||
FTSE Index | 10 | Dec-2010 | (8 | ) | ||||||||
Hang Seng Index | 1 | Dec-2010 | (1 | ) | ||||||||
S&P TSE 60 Index | 3 | Dec-2010 | 19 | |||||||||
SPI 200 Index | 3 | Dec-2010 | (9 | ) | ||||||||
Topix Index | 9 | Dec-2010 | 43 | |||||||||
$ | (22 | ) | ||||||||||
For the six month period ended November 30, 2010, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $79,762 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2010. |
† | Investment in Affiliated Security (see Note 5). |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR | — American Depositary Receipt |
ARM | — Adjustable Rate Mortgage |
CAD | — Canadian Dollar |
Cl | — Class |
DJ | — Dow Jones |
FTSE | — Financial Times and London Stock Exchange |
S&P | — Standard & Poor’s |
SPI | — Stock Price Index |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2010
The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 72,368 | $ | — | $ | — | $ | 72,368 | ||||||||
Preferred Stock | 1,048 | — | — | 1.048 | ||||||||||||
Warrants | — | 2 | — | 2 | ||||||||||||
Rights | 7 | — | — | 7 | ||||||||||||
Cash Equivalent | 3,635 | — | — | 3,635 | ||||||||||||
U.S. Treasury Obligation | — | 318 | — | 318 | ||||||||||||
Total Investments in Securities | $ | 77,058 | $ | 320 | $ | — | $ | 77,378 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
Total Other Financial Instruments | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $10,942 ($ Thousands). The transfers related to the fair value of certain international securities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010 |
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
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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 Registrants 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 Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
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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.
SEI Institutional Investments Trust | ||
By (Signature and Title) | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO | ||
Date: February 9, 2011 |
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 & CEO | ||
Date: February 9, 2011 | ||
By (Signature and Title) | /s/ Stephen F. Panner | |
Stephen F. Panner, Controller & CFO | ||
Date: February 9, 2011 |